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: September 30, 2013
ITEM 1 SCHEDULE OF INVESTMENTS
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
ASG Diversifying Strategies Fund
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 80.1% of Net Assets |
|||||||
Certificates of Deposit 46.0% |
| |||||||
$1,300,000 | BNP Paribas, 0.010%, 10/01/2013 |
$ | 1,300,000 | |||||
2,000,000 | Credit Agricole, 0.030%, 10/01/2013 |
2,000,000 | ||||||
2,000,000 | Royal Bank of Canada, 0.030%, 10/01/2013 |
2,000,000 | ||||||
2,000,000 | National Bank of Kuwait, 0.230%, 10/02/2013 |
2,000,000 | ||||||
1,500,000 | Credit Industriel et Commercial, 0.150%, 10/08/2013 |
1,500,000 | ||||||
1,000,000 | Industrial & Commercial Bank of China, 0.330%, 10/15/2013 |
1,000,000 | ||||||
1,500,000 | Agricultural Bank of China, 0.330%, 10/28/2013 |
1,500,011 | ||||||
1,000,000 | Mizuho Corporate Bank, 0.210%, 12/19/2013 |
999,956 | ||||||
1,000,000 | Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014 |
1,000,113 | ||||||
1,500,000 | Norinchukin Bank, 0.280%, 1/10/2014 |
1,500,128 | ||||||
2,000,000 | National Australia Bank, 0.220%, 1/16/2014(b) |
2,000,420 | ||||||
2,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b) |
2,000,828 | ||||||
1,000,000 | Deutsche Bank A.G., 0.250%, 2/26/2014 |
999,917 | ||||||
1,500,000 | Bank of Montreal (IL), 0.270%, 7/28/2014(b)(c) |
1,500,256 | ||||||
2,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(c) |
2,000,086 | ||||||
2,000,000 | China Construction Bank Corp. (NY), 0.429%, 7/20/2015(c)(d) |
2,000,000 | ||||||
|
|
|||||||
25,301,715 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 20.5% |
| |||||||
1,500,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e) |
1,499,987 | ||||||
2,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(b)(e) |
1,999,962 | ||||||
2,000,000 | United Overseas Bank Limited, 0.220%, 10/11/2013(b)(e) |
1,999,970 | ||||||
2,000,000 | ING (U.S.) Funding LLC, 0.210%, 10/22/2013(e) |
1,999,848 | ||||||
800,000 | General Electric Capital Corp., 0.200%, 12/12/2013(e) |
799,833 | ||||||
1,500,000 | Societe Generale North America, 0.405%, 1/09/2014(e) |
1,499,053 | ||||||
1,500,000 | Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(e) |
1,498,016 | ||||||
|
|
|||||||
11,296,669 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Commercial Paper 10.0% |
| |||||||
$1,500,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e) |
$ | 1,499,858 | |||||
2,000,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013 |
2,000,060 | ||||||
2,000,000 | Tennessee School Bond Authority, 0.170%, 11/20/2013 |
2,000,060 | ||||||
|
|
|||||||
5,499,978 | ||||||||
|
|
|||||||
Other Notes 3.6% |
| |||||||
2,000,000 | Wells Fargo, 0.342%, 10/20/2014(c) |
2,000,136 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $44,095,182) |
44,098,498 | |||||||
|
|
|||||||
Total Investments 80.1% (Identified Cost $44,095,182)(a) |
44,098,498 | |||||||
Other assets less liabilities 19.9% |
10,954,105 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 55,052,603 | ||||||
|
|
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 September 30, 2013, the value of the Funds investment in the Subsidiary was $4,730,884, representing 8.6% 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 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 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 September 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $44,095,182 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 |
$ | 3,443 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(127 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 3,316 | ||
|
|
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 September 30, 2013 is disclosed. |
(d) | Security payable on demand at par including accrued interest with thirty days notice. |
(e) | 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 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. Contracts are traded over-the-counter directly with a counterparty. 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. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2013, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||
Buy |
12/18/2013 | Australian Dollar | 5,200,000 | $ | 4,826,925 | $ | 97,769 | |||||||||
Buy |
12/18/2013 | Australian Dollar | 1,000,000 | 928,255 | (13,207 | ) | ||||||||||
Sell |
12/18/2013 | Australian Dollar | 1,600,000 | 1,485,208 | (19,038 | ) | ||||||||||
Buy |
12/18/2013 | British Pound | 562,500 | 910,120 | 26,575 | |||||||||||
Sell |
12/18/2013 | British Pound | 1,875,000 | 3,033,732 | (96,314 | ) | ||||||||||
Buy |
12/18/2013 | Canadian Dollar | 200,000 | 193,791 | (375 | ) | ||||||||||
Buy |
12/18/2013 | Euro | 875,000 | 1,183,982 | 27,394 | |||||||||||
Sell |
12/18/2013 | Euro | 250,000 | 338,280 | 107 | |||||||||||
Sell |
12/18/2013 | Euro | 3,000,000 | 4,059,366 | (101,528 | ) | ||||||||||
Buy |
12/18/2013 | Japanese Yen | 112,500,000 | 1,145,083 | 17,860 | |||||||||||
Sell |
12/18/2013 | Japanese Yen | 12,500,000 | 127,231 | 60 | |||||||||||
Sell |
12/18/2013 | Japanese Yen | 400,000,000 | 4,071,406 | (45,176 | ) | ||||||||||
Buy |
12/18/2013 | New Zealand Dollar | 6,500,000 | 5,370,230 | 266,982 | |||||||||||
Buy |
12/18/2013 | New Zealand Dollar | 500,000 | 413,095 | (3,740 | ) | ||||||||||
Sell |
12/18/2013 | New Zealand Dollar | 1,800,000 | 1,487,141 | (57,539 | ) | ||||||||||
Buy |
12/18/2013 | Norwegian Krone | 10,000,000 | 1,658,239 | 18,365 | |||||||||||
Buy |
12/18/2013 | Norwegian Krone | 2,000,000 | 331,648 | (5,781 | ) | ||||||||||
Sell |
12/18/2013 | Norwegian Krone | 2,000,000 | 331,648 | 4,274 | |||||||||||
Sell |
12/18/2013 | Norwegian Krone | 2,000,000 | 331,648 | (4,363 | ) | ||||||||||
Buy |
12/18/2013 | Singapore Dollar | 125,000 | 99,647 | 842 | |||||||||||
Sell |
12/18/2013 | Singapore Dollar | 125,000 | 99,647 | (2,055 | ) | ||||||||||
Buy |
12/18/2013 | Swiss Franc | 1,000,000 | 1,106,488 | 38,514 | |||||||||||
Sell |
12/18/2013 | Swiss Franc | 4,250,000 | 4,702,576 | (151,645 | ) | ||||||||||
|
|
|||||||||||||||
Total |
|
$ | (2,019 | ) | ||||||||||||
|
|
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 September 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
10/18/2013 | 16 | $ | 1,623,853 | $ | (4,881 | ) | |||||||||
ASX SPI 200 |
12/19/2013 | 21 | 2,558,082 | (21,340 | ) | |||||||||||
E-mini Dow |
12/20/2013 | 105 | 7,899,150 | (64,535 | ) | |||||||||||
E-mini NASDAQ 100 |
12/20/2013 | 97 | 6,225,460 | 48,496 | ||||||||||||
Euro Schatz |
12/06/2013 | 147 | 21,955,140 | 25,981 | ||||||||||||
Euro STOXX 50® |
12/20/2013 | 5 | 194,743 | (68 | ) | |||||||||||
FTSE/JSE Top 40 Index |
12/19/2013 | 58 | 2,296,142 | 10,522 | ||||||||||||
German Euro BOBL |
12/06/2013 | 43 | 7,238,995 | 36,189 | ||||||||||||
German Euro Bund |
12/06/2013 | 93 | 17,677,021 | 304,472 | ||||||||||||
Mini-Russell 2000 |
12/20/2013 | 165 | 17,678,100 | 341,550 | ||||||||||||
Nikkei 225 |
12/12/2013 | 7 | 1,029,757 | (1,536 | ) | |||||||||||
OMXS30® |
10/18/2013 | 110 | 2,157,056 | (17,196 | ) | |||||||||||
S&P/TSX 60 Index |
12/19/2013 | 3 | 425,513 | 1,456 | ||||||||||||
2 Year U.S. Treasury Note |
12/31/2013 | 169 | 37,224,891 | 47,860 | ||||||||||||
3 Year Australia Government Bond |
12/16/2013 | 74 | 7,522,422 | 22,140 | ||||||||||||
5 Year U.S. Treasury Note |
12/31/2013 | 27 | 3,268,266 | 32,602 | ||||||||||||
10 Year Australia Government Bond |
12/16/2013 | 52 | 5,705,589 | 23,414 | ||||||||||||
10 Year Canada Government Bond |
12/18/2013 | 21 | 2,643,017 | 3,165 | ||||||||||||
10 Year Japan Government Bond |
12/11/2013 | 12 | 17,594,384 | (8,749 | ) | |||||||||||
30 Year U.S. Treasury Bond |
12/19/2013 | 8 | 1,067,000 | 15,344 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 794,886 | |||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
10/16/2013 | 18 | $ | 1,950,660 | $ | (69,080 | ) | |||||||||
Cotton |
12/06/2013 | 62 | 2,703,510 | 57,455 | ||||||||||||
Gas Oil |
11/12/2013 | 14 | 1,276,800 | (23,700 | ) | |||||||||||
Gasoline |
10/31/2013 | 3 | 331,153 | (2,684 | ) | |||||||||||
Light Sweet Crude Oil |
10/22/2013 | 24 | 2,455,920 | (108,040 | ) | |||||||||||
New York Harbor ULSD |
10/31/2013 | 6 | 748,818 | (13,847 | ) | |||||||||||
Nickel |
12/18/2013 | 1 | 83,679 | (237 | ) | |||||||||||
Soybean |
11/14/2013 | 35 | 2,244,812 | (117,500 | ) | |||||||||||
Soybean Meal |
12/13/2013 | 75 | 3,040,500 | (113,770 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (391,403 | ) | ||||||||||||
|
|
At September 30, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
CAC 40® |
10/18/2013 | 77 | $ | 4,318,867 | $ | (11,378 | ) | |||||||||
CBOE SPX Volatility Index |
10/15/2013 | 119 | 1,927,800 | 26,990 | ||||||||||||
DAX |
12/20/2013 | 3 | 871,472 | 2,469 | ||||||||||||
E-mini S&P 500® |
12/20/2013 | 246 | 20,593,890 | (210,450 | ) | |||||||||||
FTSE 100 Index |
12/20/2013 | 15 | 1,561,309 | 21,329 | ||||||||||||
FTSE MIB |
12/20/2013 | 16 | 1,885,116 | 22,403 | ||||||||||||
Hang Seng Index® |
10/30/2013 | 26 | 3,835,519 | 60,844 | ||||||||||||
IBEX 35 |
10/18/2013 | 14 | 1,730,085 | (37,770 | ) | |||||||||||
MSCI Singapore |
10/30/2013 | 33 | 1,903,902 | 29,987 | ||||||||||||
MSCI Taiwan Index |
10/30/2013 | 68 | 1,952,280 | 31,960 | ||||||||||||
S&P CNX Nifty Futures |
10/31/2013 | 189 | 2,179,359 | 80,616 | ||||||||||||
UK Long Gilt |
12/27/2013 | 105 | 18,752,701 | 12,320 | ||||||||||||
10 Year U.S. Treasury Note |
12/19/2013 | 71 | 8,973,734 | (49,594 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (20,274 | ) | ||||||||||||
|
|
|||||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
12/18/2013 | 7 | $ | 321,956 | $ | (7,139 | ) | |||||||||
Cocoa |
12/13/2013 | 16 | 422,400 | (37,540 | ) | |||||||||||
Coffee |
12/18/2013 | 91 | 3,880,013 | 252,000 | ||||||||||||
Copper High Grade |
12/27/2013 | 3 | 249,225 | 2,888 | ||||||||||||
Copper LME |
12/18/2013 | 1 | 182,550 | (4,700 | ) | |||||||||||
Corn |
12/13/2013 | 129 | 2,847,675 | 202,688 | ||||||||||||
Gold |
12/27/2013 | 5 | 663,500 | 850 | ||||||||||||
KC Wheat |
12/13/2013 | 37 | 1,368,075 | (65,963 | ) | |||||||||||
Natural Gas |
10/29/2013 | 45 | 1,602,000 | 105,750 | ||||||||||||
Nickel |
12/18/2013 | 4 | 334,716 | (4,632 | ) | |||||||||||
Silver |
12/27/2013 | 4 | 434,160 | 56,960 | ||||||||||||
Soybean Oil |
12/13/2013 | 103 | 2,539,980 | 121,092 | ||||||||||||
Sugar |
2/28/2014 | 110 | 2,234,848 | (75,152 | ) | |||||||||||
Wheat |
12/13/2013 | 58 | 1,967,650 | (20,338 | ) | |||||||||||
Zinc |
12/18/2013 | 6 | 287,212 | (4,012 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | 522,752 | |||||||||||||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 44,098,498 | $ | | $ | 44,098,498 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 498,742 | | 498,742 | ||||||||||||
Futures Contracts (unrealized appreciation) |
2,001,792 | | | 2,001,792 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,001,792 | $ | 44,597,240 | $ | | $ | 46,599,032 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs |
||||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (500,761 | ) | $ | | $ | (500,761 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(1,095,831 | ) | | | (1,095,831 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (1,095,831 | ) | $ | (500,761 | ) | $ | | $ | (1,596,592 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among 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 September 30, 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 following is a summary of derivative instruments for the Fund as of September 30, 2013:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | 498,742 | $ | | $ | 498,742 | ||||||
|
|
|
|
|
|
|||||||
Total over-the-counter asset derivatives |
$ | 498,742 | $ | | $ | 498,742 | ||||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 523,487 | $ | 523,487 | ||||||
Equity contracts |
| 678,622 | 678,622 | |||||||||
Commodity contracts |
| 799,683 | 799,683 | |||||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
| 2,001,792 | 2,001,792 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 498,742 | $ | 2,001,792 | $ | 2,500,534 | ||||||
|
|
|
|
|
|
|||||||
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Total | |||||||||
Over-the-counter liability derivatives |
||||||||||||
Foreign exchange contracts |
$ | (500,761 | ) | $ | | $ | (500,761 | ) | ||||
|
|
|
|
|
|
|||||||
Total over-the-counter liability derivatives |
$ | (500,761 | ) | $ | | $ | (500,761 | ) | ||||
|
|
|
|
|
|
|||||||
Exchange traded liability derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (58,343 | ) | $ | (58,343 | ) | ||||
Equity contracts |
| (369,154 | ) | (369,154 | ) | |||||||
Commodity contracts |
| (668,334 | ) | (668,334 | ) | |||||||
|
|
|
|
|
|
|||||||
Total exchange traded liability derivatives |
| (1,095,831 | ) | (1,095,831 | ) | |||||||
|
|
|
|
|
|
|||||||
Total liability derivatives |
$ | (500,761 | ) | $ | (1,095,831 | ) | $ | (1,596,592 | ) | |||
|
|
|
|
|
|
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.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Collateral posted by the Fund may be in addition to the independent amount required by the counterparty. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (2,019 | ) | $ | 324,027 |
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 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 $9,198,376 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $8,699,634.
Investment Summary at September 30, 2013 (Unaudited)
Certificates of Deposit |
46.0 | % | ||
Financial Company Commercial Paper |
20.5 | |||
Commercial Paper |
10.0 | |||
Other Notes |
3.6 | |||
Total Investments |
80.1 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
19.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
ASG Global Alternatives Fund
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 94.9% of Net Assets |
|||||||
Certificates of Deposit 63.9% |
| |||||||
$90,000,000 | Credit Agricole, 0.030%, 10/01/2013 |
$ | 90,000,000 | |||||
40,600,000 | Royal Bank of Canada, 0.030%, 10/01/2013 |
40,600,000 | ||||||
90,000,000 | Abbey National, 0.030%, 10/01/2013 |
90,000,000 | ||||||
80,000,000 | National Bank of Kuwait, 0.230%, 10/02/2013 |
80,000,000 | ||||||
30,000,000 | Sumitomo Mitsui Bank (NY), 0.260%, 10/03/2013 |
30,000,000 | ||||||
85,000,000 | Credit Industriel et Commercial, 0.150%, 10/08/2013 |
85,000,000 | ||||||
40,000,000 | Industrial & Commercial Bank of China, 0.330%, 10/15/2013 |
40,000,000 | ||||||
60,000,000 | Agricultural Bank of China, 0.330%, 10/28/2013 |
60,000,450 | ||||||
35,000,000 | Mizuho Corporate Bank, 0.210%, 11/05/2013 |
35,000,700 | ||||||
50,000,000 | Westpac Banking Corp. (NY), 0.312%, 11/06/2013(b)(c) |
50,007,000 | ||||||
20,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013(c) |
20,005,060 | ||||||
15,000,000 | China Construction Bank Corp. (NY), 0.350%, 11/12/2013 |
15,002,685 | ||||||
15,000,000 | Industrial & Commercial Bank of China, 0.550%, 11/18/2013 |
15,007,140 | ||||||
10,000,000 | China Construction Bank Corp. (NY), 0.550%, 11/19/2013 |
10,004,860 | ||||||
50,000,000 | Mizuho Corporate Bank, 0.210%, 12/19/2013 |
49,997,800 | ||||||
50,000,000 | Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014(c) |
50,005,650 | ||||||
50,000,000 | Norinchukin Bank, 0.280%, 1/10/2014(c) |
50,004,250 | ||||||
50,000,000 | National Australia Bank, 0.220%, 1/16/2014 |
50,010,500 | ||||||
25,000,000 | Norinchukin Bank, 0.279%, 1/29/2014(b) |
25,003,425 | ||||||
75,000,000 | Credit Suisse (NY), 0.290%, 2/07/2014(b) |
75,010,800 | ||||||
40,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014(c) |
40,016,560 | ||||||
80,000,000 | Deutsche Bank A.G., 0.250%, 2/26/2014 |
79,993,360 | ||||||
70,000,000 | Bank of Montreal (IL), 0.270%, 7/28/2014(b) |
70,011,970 | ||||||
75,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(b) |
75,003,225 | ||||||
25,000,000 | Westpac Banking Corp. (NY), 0.272%, 8/15/2014(b) |
25,002,175 |
Principal Amount |
Description |
Value () | ||||||
|
Certificates of Deposit continued |
|||||||
$25,000,000 | China Construction Bank Corp. (NY), 0.429%, 7/20/2015(b)(d) |
$ | 25,000,000 | |||||
|
|
|||||||
1,275,687,610 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 24.4% |
| |||||||
25,700,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e) |
25,699,771 | ||||||
40,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(e) |
39,999,240 | ||||||
20,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/09/2013(e) |
19,999,289 | ||||||
40,000,000 | United Overseas Bank Limited, 0.220%, 10/11/2013(e) |
39,999,400 | ||||||
32,650,000 | ING (U.S.) Funding LLC, 0.210%, 10/22/2013(e) |
32,647,519 | ||||||
40,000,000 | ICICI Bank Ltd., (Credit Support: Wells Fargo), 0.180%, 10/23/2013(e) |
39,997,080 | ||||||
75,000,000 | Barclays U.S. Funding, 0.110%, 11/27/2013(e) |
74,977,425 | ||||||
39,200,000 | Oversea-Chinese Banking Corp. Ltd., 0.180%, 12/03/2013(e) |
39,183,340 | ||||||
50,000,000 | General Electric Capital Corp., 0.200%, 12/12/2013(e) |
49,989,550 | ||||||
50,000,000 | Societe Generale North America, 0.405%, 1/09/2014(c)(e) |
49,968,450 | ||||||
50,000,000 | Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(c)(e) |
49,933,850 | ||||||
25,000,000 | Dexia Credit Local S.A. (NY), 0.360%, 3/05/2014(e) |
24,961,650 | ||||||
|
|
|||||||
487,356,564 | ||||||||
|
|
|||||||
Commercial Paper 4.4% |
| |||||||
25,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/10/2013(e) |
24,998,750 | ||||||
28,400,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e) |
28,397,317 | ||||||
19,500,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013 |
19,500,585 | ||||||
10,000,000 | Tennessee School Bond Authority, 0.170%, 11/14/2013 |
10,000,400 | ||||||
4,200,000 | Tennessee School Bond Authority, 0.170%, 11/20/2013 |
4,200,126 | ||||||
|
|
|||||||
87,097,178 | ||||||||
|
|
|||||||
Other Notes 2.2% |
| |||||||
20,000,000 | JPMorgan Chase Bank NA, Series 1, 0.338%, 10/07/2014(b) |
20,000,240 | ||||||
25,000,000 | Wells Fargo, 0.342%, 10/20/2014(b) |
25,001,700 | ||||||
|
|
|||||||
45,001,940 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $1,895,019,397) |
1,895,143,292 | |||||||
|
|
|||||||
Total Investments 94.9% (Identified Cost $1,895,019,397)(a) |
1,895,143,292 | |||||||
Other assets less liabilities 5.1% |
100,921,270 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,996,064,562 | ||||||
|
|
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 September 30, 2013, the value of the Funds investment in the Subsidiary was $25,599,336, representing 1.3% 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 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 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 September 30, 2013, the net unrealized appreciation on short-term investments based on a cost of $1,895,019,397 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 |
$ | 146,560 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(22,665 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 123,895 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b) | Variable rate security. Rate as of September 30, 2013 is disclosed. |
(c) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(d) | Security payable on demand at par including accrued interest with thirty days notice. |
(e) | 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 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. Contracts are traded over-the-counter directly with a counterparty. 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. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Funds may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2013, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell |
12/18/2013 | Australian Dollar | 11,500,000 | $ | 10,674,930 | $ | (216,221 | ) | ||||||||||
Sell |
12/18/2013 | British Pound | 5,437,500 | 8,797,824 | (316,161 | ) | ||||||||||||
Sell |
12/18/2013 | Canadian Dollar | 5,000,000 | 4,844,784 | (95,490 | ) | ||||||||||||
Buy |
12/18/2013 | Euro | 55,625,000 | 75,267,415 | 1,756,138 | |||||||||||||
Sell |
12/18/2013 | Euro | 54,000,000 | 73,068,592 | (1,418,707 | ) | ||||||||||||
Buy |
12/18/2013 | Japanese Yen | 9,112,500,000 | 92,751,714 | 894,296 | |||||||||||||
Sell |
12/18/2013 | Japanese Yen | 34,412,500,000 | 350,268,133 | (4,160,464 | ) | ||||||||||||
Buy |
12/18/2013 | Swedish Krona | 172,000,000 | 26,716,070 | 789,474 | |||||||||||||
Sell |
12/18/2013 | Swedish Krona | 92,000,000 | 14,289,991 | 166,255 | |||||||||||||
Sell |
12/18/2013 | Swiss Franc | 30,250,000 | 33,471,275 | (1,168,881 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (3,769,761 | ) | ||||||||||||||
|
|
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 September 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
DAX |
12/20/2013 | 827 | $ | 240,235,903 | $ | (195,791 | ) | |||||||||
E-mini S&P 500® |
12/20/2013 | 5,661 | 473,910,615 | 4,828,642 | ||||||||||||
Eurodollar |
6/16/2014 | 1,163 | 289,688,762 | 249,288 | ||||||||||||
FTSE 100 Index |
12/20/2013 | 1,260 | 131,149,922 | (2,915,115 | ) | |||||||||||
Hang Seng Index® |
10/30/2013 | 303 | 44,698,546 | (709,067 | ) | |||||||||||
TOPIX |
12/12/2013 | 755 | 91,902,691 | 1,219,035 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 2,476,992 | |||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
10/16/2013 | 43 | $ | 4,659,910 | $ | (223,600 | ) | |||||||||
Copper LME |
12/18/2013 | 221 | 40,343,550 | 316,859 | ||||||||||||
Gas Oil |
11/12/2013 | 57 | 5,198,400 | (118,800 | ) | |||||||||||
Light Sweet Crude Oil |
10/22/2013 | 675 | 69,072,750 | (3,658,500 | ) | |||||||||||
Natural Gas |
10/29/2013 | 197 | 7,013,200 | (462,950 | ) | |||||||||||
New York Harbor ULSD |
10/31/2013 | 4 | 499,212 | (11,760 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (4,158,751 | ) | ||||||||||||
|
|
At September 30, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
German Euro Bund |
12/06/2013 | 607 | $ | 115,375,822 | $ | (2,694,580 | ) | |||||||||
UK Long Gilt |
12/27/2013 | 146 | 26,075,185 | (333,267 | ) | |||||||||||
10 Year Japan Government Bond |
12/11/2013 | 116 | 170,079,048 | (1,089,374 | ) | |||||||||||
10 Year U.S. Treasury Note |
12/19/2013 | 1,045 | 132,078,203 | (1,903,836 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (6,021,057 | ) | ||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
12/18/2013 | 5 | $ | 229,969 | $ | (5,219 | ) | |||||||||
Copper LME |
12/18/2013 | 250 | 45,637,500 | (1,175,000 | ) | |||||||||||
Gold |
12/27/2013 | 233 | 30,919,100 | (116,180 | ) | |||||||||||
Nickel |
12/18/2013 | 95 | 7,949,505 | (143,355 | ) | |||||||||||
Zinc |
12/18/2013 | 5 | 239,344 | (3,344 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (1,443,098 | ) | ||||||||||||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 1,895,143,293 | $ | | $ | 1,895,143,293 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 3,606,163 | | 3,606,163 | ||||||||||||
Futures Contracts (unrealized appreciation) |
6,613,824 | | | 6,613,824 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 6,613,824 | $ | 1,898,749,456 | $ | | $ | 1,905,363,280 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (7,375,924 | ) | $ | | $ | (7,375,924 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(15,759,738 | ) | | | (15,759,738 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (15,759,738 | ) | $ | (7,375,924 | ) | $ | | $ | (23,135,662 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among 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 September 30, 2013, the Fund used long contracts on U.S. and foreign equity market indices and short-term interest rates, and long and short contracts on U.S. and foreign government bonds, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.
The following is a summary of derivative instruments for the Fund as of September 30, 2013:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | 3,606,163 | $ | | $ | 3,606,163 | ||||||
|
|
|
|
|
|
|||||||
Total over-the-counter asset derivatives |
$ | 3,606,163 | $ | | $ | 3,606,163 | ||||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 249,288 | $ | 249,288 | ||||||
Equity contracts |
| 6,047,677 | 6,047,677 | |||||||||
Commodity contracts |
| 316,859 | 316,859 | |||||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
| 6,613,824 | 6,613,824 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 3,606,163 | $ | 6,613,824 | $ | 10,219,987 | ||||||
|
|
|
|
|
|
|||||||
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Total | |||||||||
Over-the-counter liability derivatives |
||||||||||||
Foreign exchange contracts |
$ | (7,375,924 | ) | $ | | $ | (7,375,924 | ) | ||||
|
|
|
|
|
|
|||||||
Total over-the-counter liability derivatives |
$ | (7,375,924 | ) | $ | | $ | (7,375,924 | ) | ||||
|
|
|
|
|
|
|||||||
Exchange traded liability derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (6,021,057 | ) | $ | (6,021,057 | ) | ||||
Equity contracts |
| (3,819,973 | ) | (3,819,973 | ) | |||||||
Commodity contracts |
| (5,918,708 | ) | (5,918,708 | ) | |||||||
|
|
|
|
|
|
|||||||
Total exchange traded liability derivatives |
| (15,759,738 | ) | (15,759,738 | ) | |||||||
|
|
|
|
|
|
|||||||
Total liability derivatives |
$ | (7,375,924 | ) | $ | (15,759,738 | ) | $ | (23,135,662 | ) | |||
|
|
|
|
|
|
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.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Collateral posted by the Fund may be in addition to the independent amount required by the counterparty. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (3,769,761 | ) | $ | 14,390,000 |
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 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 $90,261,337 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $86,655,174.
Investment Summary at September 30, 2013 (Unaudited)
Certificates of Deposit |
63.9 | % | ||
Financial Company Commercial Paper |
24.4 | |||
Commercial Paper |
4.4 | |||
Other Notes |
2.2 | |||
Total Investments |
94.9 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
5.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
ASG Managed Futures Strategy Fund
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 88.7% of Net Assets |
| ||||||
Certificates of Deposit 54.6% |
| |||||||
$22,700,000 | Credit Agricole, 0.030%, 10/01/2013 |
$ | 22,700,000 | |||||
30,000,000 | National Bank of Kuwait, 0.230%, 10/02/2013 |
30,000,000 | ||||||
30,000,000 | Credit Industriel et Commericial, 0.150%, 10/08/2013 |
30,000,000 | ||||||
20,000,000 | Industrial & Commercial Bank of China, 0.330%, 10/15/2013 |
20,000,000 | ||||||
20,000,000 | Agricultural Bank of China, 0.330%, 10/28/2013 |
20,000,150 | ||||||
25,050,000 | Westpac Banking Corp. (NY), 0.312%, 11/06/2013(b)(c) |
25,053,507 | ||||||
15,000,000 | Toronto Dominion Bank, 0.330%, 11/07/2013(b) |
15,003,795 | ||||||
5,000,000 | China Construction Bank Corp. (NY), 0.350%, 11/12/2013 |
5,000,895 | ||||||
30,000,000 | Mizuho Corporate Bank, 0.210%, 12/19/2013 |
29,998,680 | ||||||
25,000,000 | Sumitomo Mitsui Trust (NY), 0.270%, 1/10/2014(b) |
25,002,825 | ||||||
25,000,000 | Norinchukin Bank, 0.279%, 1/10/2014(c) |
25,002,125 | ||||||
25,000,000 | National Australia Bank, 0.220%, 1/16/2014 |
25,005,250 | ||||||
30,000,000 | Credit Suisse (NY), 0.290%, 2/07/2014(b)(c) |
30,004,320 | ||||||
25,000,000 | Bank of Nova Scotia (TX), 0.320%, 2/13/2014(b) |
25,010,350 | ||||||
25,000,000 | Deutsche Bank A.G., 0.250%, 2/26/2014 |
24,997,925 | ||||||
15,000,000 | Bank of Montreal (IL), 0.270%, 7/28/2014(c) |
15,002,565 | ||||||
25,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.370%, 8/11/2014(c) |
25,001,075 | ||||||
15,000,000 | China Construction Bank Corp. (NY), 0.429%, 7/20/2015(c)(d) |
15,000,000 | ||||||
|
|
|||||||
407,783,462 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 24.4% |
| |||||||
22,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/03/2013(e) |
21,999,804 | ||||||
25,000,000 | Oversea-Chinese Banking Corp. Ltd., 0.200%, 10/08/2013(e) |
24,999,525 | ||||||
5,000,000 | Sinochem Co. Ltd., (Credit Support: ANZ Banking), 0.160%, 10/09/2013(e) |
4,999,822 | ||||||
30,000,000 | United Overseas Bank Limited, 0.220%, 10/11/2013(e) |
29,999,550 | ||||||
30,000,000 | Barclays U.S. Funding, 0.110%, 11/27/2013(e) |
29,990,970 | ||||||
25,000,000 | General Electric Capital Corp., 0.200%, 12/12/2013(e) |
24,994,775 | ||||||
25,500,000 | Societe Generale North America, 0.405%, 1/09/2014(b)(e) |
25,483,910 |
Principal Amount |
Description |
Value () | ||||||
Financial Company Commercial Paper continued |
| |||||||
20,000,000 | Dexia Credit Local S.A. (NY), 0.390%, 2/20/2014(e) |
$ | 19,973,540 | |||||
|
|
|||||||
182,441,896 | ||||||||
|
|
|||||||
Commercial Paper 7.0% |
| |||||||
20,000,000 | Cofco Capital Corp., (Credit Support: Rabobank), 0.200%, 10/18/2013(e) |
19,998,111 | ||||||
20,800,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.170%, 11/05/2013 |
20,800,624 | ||||||
11,761,000 | Tennessee School Bond Authority, 0.170%, 11/20/2013 |
11,761,353 | ||||||
|
|
|||||||
52,560,088 | ||||||||
|
|
|||||||
Other Notes 2.7% |
| |||||||
5,000,000 | JPMorgan Chase Bank NA, Series 1, 0.338%, 10/07/2014(c) |
5,000,060 | ||||||
15,000,000 | Wells Fargo, 0.342%, 10/20/2014(c) |
15,001,020 | ||||||
|
|
|||||||
20,001,080 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $662,732,627) |
662,786,526 | |||||||
|
|
|||||||
Total Investments 88.7% (Identified Cost $662,732,627)(a) |
662,786,526 | |||||||
Other assets less liabilities 11.3% |
84,187,879 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 746,974,405 | ||||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Fund, a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2013, the value of the Funds investment in the Subsidiary was $31,136,184, representing 4.2% 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 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 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. Amortization of premium on debt securities is excluded for tax purposes.): |
At September 30, 2013, the net unrealized appreciation on investments based on a cost of $662,732,627 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 |
$ | 61,099 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(7,200 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 53,899 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than 60 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 September 30, 2013 is disclosed. |
(d) | Security payable on demand at par including accrued interest with thirty days notice. |
(e) | 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 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. Contracts are traded over-the-counter directly with a counterparty. 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. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.
At September 30, 2013, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy |
12/18/2013 | Australian Dollar | 15,200,000 | $ | 14,109,473 | $ | 203,693 | |||||||||||
Buy |
12/18/2013 | Australian Dollar | 9,400,000 | 8,725,595 | (146,892 | ) | ||||||||||||
Sell |
12/18/2013 | Australian Dollar | 24,200,000 | 22,463,766 | (455,004 | ) | ||||||||||||
Buy |
12/18/2013 | British Pound | 17,375,000 | 28,112,588 | 541,947 | |||||||||||||
Sell |
12/18/2013 | British Pound | 812,500 | 1,314,617 | (47,243 | ) | ||||||||||||
Buy |
12/18/2013 | Canadian Dollar | 37,000,000 | 35,851,402 | 199,005 | |||||||||||||
Buy |
12/18/2013 | Canadian Dollar | 11,300,000 | 10,949,212 | (21,206 | ) | ||||||||||||
Sell |
12/18/2013 | Canadian Dollar | 52,000,000 | 50,385,754 | (993,094 | ) | ||||||||||||
Buy |
12/18/2013 | Euro | 35,750,000 | 48,374,114 | 525,911 | |||||||||||||
Buy |
12/18/2013 | Euro | 6,875,000 | 9,302,714 | (6,029 | ) | ||||||||||||
Sell |
12/18/2013 | Japanese Yen | 2,887,500,000 | 29,390,461 | (243,146 | ) | ||||||||||||
Buy |
12/18/2013 | New Zealand Dollar | 23,400,000 | 19,332,829 | 346,261 | |||||||||||||
Buy |
12/18/2013 | New Zealand Dollar | 14,400,000 | 11,897,125 | (107,708 | ) | ||||||||||||
Sell |
12/18/2013 | New Zealand Dollar | 21,100,000 | 17,432,594 | (911,568 | ) | ||||||||||||
Buy |
12/18/2013 | Norwegian Krone | 68,000,000 | 11,276,026 | 28,794 | |||||||||||||
Buy |
12/18/2013 | Norwegian Krone | 176,000,000 | 29,185,008 | (841,709 | ) | ||||||||||||
Sell |
12/18/2013 | Norwegian Krone | 230,000,000 | 38,139,499 | (422,406 | ) | ||||||||||||
Buy |
12/18/2013 | Singapore Dollar | 77,250,000 | 61,581,770 | 208,359 | |||||||||||||
Sell |
12/18/2013 | Singapore Dollar | 44,125,000 | 35,175,348 | (563,243 | ) | ||||||||||||
Buy |
12/18/2013 | Swedish Krona | 102,000,000 | 15,843,251 | 155,218 | |||||||||||||
Buy |
12/18/2013 | Swedish Krona | 82,000,000 | 12,736,731 | (154,885 | ) | ||||||||||||
Sell |
12/18/2013 | Swedish Krona | 82,000,000 | 12,736,731 | (376,377 | ) | ||||||||||||
Buy |
12/18/2013 | Swiss Franc | 37,375,000 | 41,355,006 | 774,948 | |||||||||||||
Sell |
12/18/2013 | Swiss Franc | 8,875,000 | 9,820,085 | (347,710 | ) | ||||||||||||
Buy |
12/18/2013 | Turkish Lira | 17,100,000 | 8,349,532 | 133,616 | |||||||||||||
Buy |
12/18/2013 | Turkish Lira | 43,500,000 | 21,240,037 | (406,523 | ) | ||||||||||||
Sell |
12/18/2013 | Turkish Lira | 74,700,000 | 36,474,271 | (931,056 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (3,858,047 | ) | ||||||||||||||
|
|
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 September 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
10/18/2013 | 446 | $ | 45,264,915 | $ | (580,154 | ) | |||||||||
ASX SPI 200 |
12/19/2013 | 488 | 59,444,962 | (489,399 | ) | |||||||||||
CAC 40® |
10/18/2013 | 543 | 30,456,425 | (11,019 | ) | |||||||||||
DAX |
12/20/2013 | 140 | 40,668,714 | (120,810 | ) | |||||||||||
E-mini Dow |
12/20/2013 | 577 | 43,407,710 | (399,780 | ) | |||||||||||
E-mini NASDAQ 100 |
12/20/2013 | 737 | 47,300,660 | 487,157 | ||||||||||||
E-mini S&P 500® |
12/20/2013 | 451 | 37,755,465 | 272,303 | ||||||||||||
Euribor |
6/16/2014 | 3,446 | 1,161,168,389 | 149,879 | ||||||||||||
Euro Schatz |
12/06/2013 | 1,357 | 202,674,315 | 44,272 | ||||||||||||
Euro STOXX 50® |
12/20/2013 | 903 | 35,170,554 | 97,730 | ||||||||||||
Eurodollar |
6/16/2014 | 5,496 | 1,368,984,900 | 1,011,263 | ||||||||||||
FTSE 100 Index |
12/20/2013 | 401 | 41,738,983 | (868,459 | ) | |||||||||||
FTSE MIB |
12/20/2013 | 213 | 25,095,606 | (312,651 | ) | |||||||||||
FTSE/JSE Top 40 Index |
12/19/2013 | 858 | 33,967,067 | 335,842 | ||||||||||||
German Euro BOBL |
12/06/2013 | 732 | 123,231,256 | 662,071 | ||||||||||||
German Euro Bund |
12/06/2013 | 225 | 42,766,985 | 225,615 | ||||||||||||
Hang Seng Index® |
10/30/2013 | 295 | 43,518,386 | (690,345 | ) | |||||||||||
IBEX 35 |
10/18/2013 | 281 | 34,725,271 | 871,075 | ||||||||||||
Mini-Russell 2000 |
12/20/2013 | 374 | 40,070,360 | 748,210 | ||||||||||||
MSCI Singapore |
10/30/2013 | 738 | 42,578,167 | (658,850 | ) | |||||||||||
MSCI Taiwan Index |
10/30/2013 | 1,442 | 41,399,820 | (677,740 | ) | |||||||||||
Nikkei 225 |
12/12/2013 | 233 | 34,276,209 | 104,512 | ||||||||||||
OMXS30® |
10/18/2013 | 2,149 | 42,141,025 | (499,038 | ) | |||||||||||
S&P CNX Nifty Futures Index |
10/31/2013 | 1,374 | 15,843,594 | (613,576 | ) | |||||||||||
S&P/TSX 60 Index |
12/19/2013 | 338 | 47,941,168 | (234,292 | ) | |||||||||||
Sterling |
6/18/2014 | 145 | 29,153,321 | (1,467 | ) | |||||||||||
TOPIX |
12/12/2013 | 313 | 38,100,056 | 202,899 | ||||||||||||
2 Year U.S. Treasury Note |
12/31/2013 | 2,335 | 514,320,237 | 371,315 | ||||||||||||
3 Year Australia Government Bond |
12/16/2013 | 546 | 55,503,275 | 100,128 | ||||||||||||
5 Year U.S. Treasury Note |
12/31/2013 | 370 | 44,787,344 | 116,008 | ||||||||||||
10 Year Japan Government Bond |
12/11/2013 | 152 | 222,862,200 | 1,576,479 | ||||||||||||
10 Year U.S. Treasury Note |
12/19/2013 | 229 | 28,943,453 | 72,781 | ||||||||||||
30 Year U.S. Treasury Bond |
12/19/2013 | 3 | 400,125 | 94 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 1,292,053 | |||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
10/16/2013 | 154 | $ | 16,688,980 | $ | (800,800 | ) | |||||||||
Cocoa |
12/13/2013 | 379 | 10,005,600 | 321,280 | ||||||||||||
Cotton |
12/06/2013 | 17 | 741,285 | | ||||||||||||
Gas Oil |
11/12/2013 | 9 | 820,800 | (17,775 | ) | |||||||||||
Gasoline |
10/31/2013 | 44 | 4,856,913 | (39,362 | ) | |||||||||||
Light Sweet Crude Oil |
10/22/2013 | 125 | 12,791,250 | (677,500 | ) | |||||||||||
Live Cattle |
12/31/2013 | 77 | 4,064,830 | 4,690 | ||||||||||||
Soybean |
11/14/2013 | 148 | 9,492,350 | (459,175 | ) | |||||||||||
Soybean Meal |
12/13/2013 | 264 | 10,702,560 | (255,140 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (1,923,782 | ) | ||||||||||||
|
|
At September 30, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
UK Long Gilt |
12/27/2013 | 78 | $ | 13,930,578 | $ | (168,544 | ) | |||||||||
10 Year Australia Government Bond |
12/16/2013 | 74 | 8,119,493 | (203,758 | ) | |||||||||||
10 Year Canada Government Bond |
12/18/2013 | 68 | 8,558,342 | (81,627 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (453,929 | ) | ||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum HG |
12/18/2013 | 382 | $ | 17,569,612 | $ | (398,712 | ) | |||||||||
Coffee |
12/18/2013 | 362 | 15,434,775 | 983,288 | ||||||||||||
Copper High Grade |
12/27/2013 | 13 | 1,079,975 | (27,525 | ) | |||||||||||
Copper LME |
12/18/2013 | 4 | 730,200 | (18,800 | ) | |||||||||||
Corn |
12/13/2013 | 845 | 18,653,375 | 1,276,325 | ||||||||||||
Gold |
12/27/2013 | 72 | 9,554,400 | (59,520 | ) | |||||||||||
KC Wheat |
12/13/2013 | 232 | 8,578,200 | (425,900 | ) | |||||||||||
Natural Gas |
10/29/2013 | 128 | 4,556,800 | 106,760 | ||||||||||||
Nickel |
12/18/2013 | 111 | 9,288,369 | (167,499 | ) | |||||||||||
NY Harbor ULSD |
10/31/2013 | 1 | 124,803 | (1,235 | ) | |||||||||||
Silver |
12/27/2013 | 57 | 6,186,780 | (19,480 | ) | |||||||||||
Soybean Oil |
12/13/2013 | 1,110 | 27,372,600 | 2,200,314 | ||||||||||||
Sugar |
2/28/2014 | 539 | 10,950,755 | (368,245 | ) | |||||||||||
Wheat |
12/13/2013 | 473 | 16,046,525 | (56,850 | ) | |||||||||||
Zinc |
12/18/2013 | 325 | 15,557,344 | (327,247 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | 2,695,674 | |||||||||||||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 662,786,526 | $ | | $ | 662,786,526 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 3,117,752 | | 3,117,752 | ||||||||||||
Futures Contracts (unrealized appreciation) |
12,342,290 | | | 12,342,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 12,342,290 | $ | 665,904,278 | $ | | $ | 678,246,568 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (6,975,799 | ) | $ | | $ | (6,975,799 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(10,732,274 | ) | | $ | | (10,732,274 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (10,732,274 | ) | $ | (6,975,799 | ) | $ | | $ | (17,708,073 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among 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 September 30, 2013, the Fund used long contracts on U.S. equity market indices and long and short contracts on short-term interest rates, foreign equity market indices, U.S. and foreign government bonds, foreign currencies and commodities (through investments in the Subsidiary) in accordance with these objectives.
The following is a summary of derivative instruments for the Fund as of September 30, 2013:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | 3,117,752 | $ | | $ | 3,117,752 | ||||||
|
|
|
|
|
|
|||||||
Total over-the-counter asset derivatives |
$ | 3,117,752 | $ | | $ | 3,117,752 | ||||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 4,329,905 | $ | 4,329,905 | ||||||
Equity contracts |
| 3,119,728 | 3,119,728 | |||||||||
Commodity contracts |
| 4,892,657 | 4,892,657 | |||||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
| 12,342,290 | 12,342,290 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 3,117,752 | $ | 12,342,290 | $ | 12,342,290 | ||||||
|
|
|
|
|
|
Liabilities |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | (6,975,799 | ) | $ | | $ | (6,975,799 | ) | ||||
|
|
|
|
|
|
|||||||
Total over-the-counter asset derivatives |
$ | (6,975,799 | ) | $ | | $ | (6,975,799 | ) | ||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (455,397 | ) | $ | (455,397 | ) | ||||
Equity contracts |
| (6,156,112 | ) | (6,156,112 | ) | |||||||
Commodity contracts |
| (4,120,765 | ) | (4,120,765 | ) | |||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
| 10,732,274 | 10,732,274 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | (6,975,799 | ) | $ | 10,732,274 | $ | 10,732,274 | |||||
|
|
|
|
|
|
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.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Collateral posted by the Fund may be in addition to the independent amount required by the counterparty. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (3,858,047 | ) | $ | 10,114,855 |
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 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 for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $92,132,796 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $89,015,044.
Investment Summary at September 30, 2013 (Unaudited)
Certificates of Deposit |
54.6 | % | ||
Financial Company Commercial Paper |
24.4 | |||
Commercial Paper |
7.0 | |||
Other Notes |
2.7 | |||
|
|
|||
Total Investments |
88.7 | |||
Other assets less liabilities (including open forward foreign currency and futures contracts) |
11.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
ASG Tactical U.S. Market Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 49.0% of Net Assets |
| ||||||
Aerospace & Defense 1.2% |
| |||||||
514 | Boeing Co. (The) |
$ | 60,395 | |||||
319 | Northrop Grumman Corp. |
30,388 | ||||||
354 | Rockwell Collins, Inc. |
24,022 | ||||||
603 | United Technologies Corp. |
65,016 | ||||||
|
|
|||||||
179,821 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.8% |
| |||||||
405 | C.H. Robinson Worldwide, Inc. |
24,122 | ||||||
321 | FedEx Corp. |
36,629 | ||||||
578 | United Parcel Service, Inc., Class B |
52,812 | ||||||
|
|
|||||||
113,563 | ||||||||
|
|
|||||||
Auto Components 0.1% |
| |||||||
875 | Goodyear Tire & Rubber Co. (The)(b) |
19,644 | ||||||
|
|
|||||||
Automobiles 0.2% |
| |||||||
936 | General Motors Co.(b) |
33,668 | ||||||
|
|
|||||||
Beverages 1.3% |
| |||||||
2,440 | Coca-Cola Co. (The) |
92,427 | ||||||
553 | Dr Pepper Snapple Group, Inc. |
24,785 | ||||||
1,025 | PepsiCo, Inc. |
81,488 | ||||||
|
|
|||||||
198,700 | ||||||||
|
|
|||||||
Biotechnology 1.3% |
| |||||||
604 | Amgen, Inc. |
67,612 | ||||||
223 | Biogen Idec, Inc.(b) |
53,689 | ||||||
1,171 | Gilead Sciences, Inc.(b) |
73,586 | ||||||
|
|
|||||||
194,887 | ||||||||
|
|
|||||||
Chemicals 1.2% |
| |||||||
227 | Air Products & Chemicals, Inc. |
24,191 | ||||||
685 | E.I. du Pont de Nemours & Co. |
40,114 | ||||||
269 | Ecolab, Inc. |
26,566 | ||||||
391 | Monsanto Co. |
40,809 | ||||||
256 | Praxair, Inc. |
30,774 | ||||||
213 | Sigma-Aldrich Corp. |
18,169 | ||||||
|
|
|||||||
180,623 | ||||||||
|
|
|||||||
Commercial Banks 1.0% |
| |||||||
2,950 | Huntington Bancshares, Inc. |
24,367 | ||||||
2,924 | Wells Fargo & Co. |
120,820 | ||||||
|
|
|||||||
145,187 | ||||||||
|
|
|||||||
Communications Equipment 1.1% |
| |||||||
3,563 | Cisco Systems, Inc. |
83,445 | ||||||
1,163 | QUALCOMM, Inc. |
78,340 | ||||||
|
|
|||||||
161,785 | ||||||||
|
|
|||||||
Computers & Peripherals 2.3% |
| |||||||
498 | Apple, Inc. |
237,421 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Computers & Peripherals continued |
| |||||||
1,826 | EMC Corp. |
$ | 46,673 | |||||
1,928 | Hewlett-Packard Co. |
40,449 | ||||||
650 | NetApp, Inc. |
27,703 | ||||||
|
|
|||||||
352,246 | ||||||||
|
|
|||||||
Construction & Engineering 0.2% |
| |||||||
818 | Quanta Services, Inc.(b) |
22,503 | ||||||
|
|
|||||||
Consumer Finance 0.9% |
| |||||||
739 | American Express Co. |
55,809 | ||||||
596 | Capital One Financial Corp. |
40,969 | ||||||
649 | Discover Financial Services |
32,801 | ||||||
|
|
|||||||
129,579 | ||||||||
|
|
|||||||
Diversified Financial Services 2.9% |
| |||||||
6,886 | Bank of America Corp. |
95,027 | ||||||
1,084 | Berkshire Hathaway, Inc., Class B(b) |
123,045 | ||||||
1,951 | Citigroup, Inc. |
94,643 | ||||||
2,286 | JPMorgan Chase & Co. |
118,163 | ||||||
|
|
|||||||
430,878 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 1.1% |
| |||||||
2,800 | AT&T, Inc. |
94,696 | ||||||
1,533 | Verizon Communications, Inc. |
71,530 | ||||||
|
|
|||||||
166,226 | ||||||||
|
|
|||||||
Electric Utilities 1.0% |
| |||||||
513 | American Electric Power Co., Inc. |
22,239 | ||||||
529 | Duke Energy Corp. |
35,327 | ||||||
358 | NextEra Energy, Inc. |
28,697 | ||||||
439 | Northeast Utilities |
18,109 | ||||||
701 | PPL Corp. |
21,296 | ||||||
722 | Southern Co. (The) |
29,732 | ||||||
|
|
|||||||
155,400 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.2% |
| |||||||
2,119 | Corning, Inc. |
30,916 | ||||||
|
|
|||||||
Energy Equipment & Services 1.1% |
| |||||||
440 | Cameron International Corp.(b) |
25,683 | ||||||
810 | Halliburton Co. |
39,002 | ||||||
624 | Noble Corp. |
23,568 | ||||||
873 | Schlumberger Ltd. |
77,138 | ||||||
|
|
|||||||
165,391 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.8% |
| |||||||
1,088 | Wal-Mart Stores, Inc. |
80,468 | ||||||
807 | Walgreen Co. |
43,417 | ||||||
|
|
|||||||
123,885 | ||||||||
|
|
|||||||
Food Products 0.7% |
| |||||||
877 | Archer-Daniels-Midland Co. |
32,309 | ||||||
371 | Mead Johnson Nutrition Co. |
27,550 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Food Products continued |
| |||||||
1,530 | Mondelez International, Inc., Class A |
$ | 48,073 | |||||
|
|
|||||||
107,932 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.4% |
| |||||||
261 | CR Bard, Inc. |
30,067 | ||||||
633 | St. Jude Medical, Inc. |
33,954 | ||||||
|
|
|||||||
64,021 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.5% |
| |||||||
584 | Aetna, Inc. |
37,388 | ||||||
822 | Express Scripts Holding Co.(b) |
50,783 | ||||||
351 | Humana, Inc. |
32,759 | ||||||
312 | McKesson Corp. |
40,030 | ||||||
866 | UnitedHealth Group, Inc. |
62,014 | ||||||
|
|
|||||||
222,974 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.7% |
| |||||||
675 | McDonalds Corp. |
64,942 | ||||||
595 | Starbucks Corp. |
45,797 | ||||||
|
|
|||||||
110,739 | ||||||||
|
|
|||||||
Household Durables 0.4% |
| |||||||
435 | Garmin Ltd. |
19,657 | ||||||
756 | Newell Rubbermaid, Inc. |
20,790 | ||||||
154 | Whirlpool Corp. |
22,552 | ||||||
|
|
|||||||
62,999 | ||||||||
|
|
|||||||
Household Products 0.8% |
| |||||||
1,636 | Procter & Gamble Co. (The) |
123,665 | ||||||
|
|
|||||||
Industrial Conglomerates 1.6% |
| |||||||
489 | 3M Co. |
58,391 | ||||||
581 | Danaher Corp. |
40,275 | ||||||
5,929 | General Electric Co. |
141,644 | ||||||
|
|
|||||||
240,310 | ||||||||
|
|
|||||||
Insurance 2.5% |
| |||||||
391 | ACE Ltd. |
36,582 | ||||||
640 | Allstate Corp. (The) |
32,352 | ||||||
1,164 | American International Group, Inc. |
56,605 | ||||||
360 | Chubb Corp. (The) |
32,134 | ||||||
895 | Hartford Financial Services Group, Inc. (The) |
27,852 | ||||||
627 | Lincoln National Corp. |
26,328 | ||||||
597 | Loews Corp. |
27,904 | ||||||
1,003 | MetLife, Inc. |
47,091 | ||||||
620 | Principal Financial Group, Inc. |
26,548 | ||||||
499 | Prudential Financial, Inc. |
38,912 | ||||||
332 | Torchmark Corp. |
24,020 | ||||||
|
|
|||||||
376,328 | ||||||||
|
|
|||||||
Internet & Catalog Retail 0.8% |
| |||||||
239 | Amazon.com, Inc.(b) |
74,721 | ||||||
42 | priceline.com, Inc.(b) |
42,460 | ||||||
|
|
|||||||
117,181 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Internet Software & Services 1.0% |
| |||||||
163 | Google, Inc., Class A(b) |
$ | 142,773 | |||||
|
|
|||||||
IT Services 1.4% |
| |||||||
625 | International Business Machines Corp. |
115,738 | ||||||
669 | Paychex, Inc. |
27,188 | ||||||
364 | Visa, Inc., Class A |
69,560 | ||||||
|
|
|||||||
212,486 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 0.2% |
| |||||||
281 | Waters Corp.(b) |
29,845 | ||||||
|
|
|||||||
Machinery 0.5% |
| |||||||
553 | Caterpillar, Inc. |
46,104 | ||||||
463 | Illinois Tool Works, Inc. |
35,313 | ||||||
|
|
|||||||
81,417 | ||||||||
|
|
|||||||
Media 2.2% |
| |||||||
1,694 | Comcast Corp., Class A |
76,484 | ||||||
314 | Discovery Communications, Inc., Class A(b) |
26,508 | ||||||
1,196 | Interpublic Group of Cos., Inc. (The) |
20,547 | ||||||
293 | Time Warner Cable, Inc. |
32,699 | ||||||
717 | Time Warner, Inc. |
47,186 | ||||||
1,505 | Twenty-First Century Fox, Inc., Class A |
50,417 | ||||||
1,093 | Walt Disney Co. (The) |
70,488 | ||||||
|
|
|||||||
324,329 | ||||||||
|
|
|||||||
Metals & Mining 0.3% |
| |||||||
911 | Freeport-McMoRan Copper & Gold, Inc. |
30,136 | ||||||
427 | Nucor Corp. |
20,931 | ||||||
|
|
|||||||
51,067 | ||||||||
|
|
|||||||
Multi Utilities 0.3% |
| |||||||
358 | Consolidated Edison, Inc. |
19,740 | ||||||
477 | Dominion Resources, Inc. |
29,803 | ||||||
|
|
|||||||
49,543 | ||||||||
|
|
|||||||
Multiline Retail 0.2% |
| |||||||
580 | Target Corp. |
37,108 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 4.1% |
| |||||||
449 | Anadarko Petroleum Corp. |
41,753 | ||||||
714 | Cabot Oil & Gas Corp. |
26,646 | ||||||
1,121 | Chevron Corp. |
136,202 | ||||||
878 | ConocoPhillips |
61,030 | ||||||
672 | CONSOL Energy, Inc. |
22,613 | ||||||
2,422 | ExxonMobil Corp. |
208,389 | ||||||
383 | Hess Corp. |
29,621 | ||||||
891 | Marathon Oil Corp. |
31,078 | ||||||
168 | Pioneer Natural Resources Co. |
31,718 | ||||||
882 | Spectra Energy Corp. |
30,191 | ||||||
|
|
|||||||
619,241 | ||||||||
|
|
|||||||
Personal Products 0.2% |
| |||||||
1,196 | Avon Products, Inc. |
24,638 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Pharmaceuticals 3.1% |
| |||||||
1,373 | AbbVie, Inc. |
$ | 61,414 | |||||
244 | Actavis, Inc.(b) |
35,136 | ||||||
1,709 | Johnson & Johnson |
148,153 | ||||||
2,005 | Merck & Co., Inc. |
95,458 | ||||||
4,209 | Pfizer, Inc. |
120,841 | ||||||
|
|
|||||||
461,002 | ||||||||
|
|
|||||||
Professional Services 0.2% |
| |||||||
389 | Equifax, Inc. |
23,282 | ||||||
|
|
|||||||
REITs - Apartments 0.2% |
| |||||||
550 | Equity Residential |
29,464 | ||||||
|
|
|||||||
REITs - Diversified 0.2% |
| |||||||
1,013 | Weyerhaeuser Co. |
29,002 | ||||||
|
|
|||||||
REITs - Office Property 0.2% |
| |||||||
271 | Boston Properties, Inc. |
28,970 | ||||||
|
|
|||||||
Road & Rail 0.6% |
| |||||||
1,271 | CSX Corp. |
32,715 | ||||||
358 | Union Pacific Corp. |
55,612 | ||||||
|
|
|||||||
88,327 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.0% |
| |||||||
591 | Analog Devices, Inc. |
27,807 | ||||||
3,386 | Intel Corp. |
77,607 | ||||||
481 | Lam Research Corp.(b) |
24,622 | ||||||
572 | Xilinx, Inc. |
26,804 | ||||||
|
|
|||||||
156,840 | ||||||||
|
|
|||||||
Software 1.9% |
| |||||||
626 | Adobe Systems, Inc.(b) |
32,514 | ||||||
941 | Electronic Arts, Inc.(b) |
24,042 | ||||||
4,418 | Microsoft Corp. |
147,164 | ||||||
2,392 | Oracle Corp. |
79,343 | ||||||
|
|
|||||||
283,063 | ||||||||
|
|
|||||||
Specialty Retail 1.2% |
| |||||||
327 | Bed Bath & Beyond, Inc.(b) |
25,297 | ||||||
942 | Home Depot, Inc. (The) |
71,451 | ||||||
881 | Lowes Cos., Inc. |
41,944 | ||||||
187 | OReilly Automotive, Inc.(b) |
23,859 | ||||||
1,488 | Staples, Inc. |
21,799 | ||||||
|
|
|||||||
184,350 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.3% |
| |||||||
452 | Coach, Inc. |
24,648 | ||||||
183 | PVH Corp. |
21,720 | ||||||
|
|
|||||||
46,368 | ||||||||
|
|
|||||||
Tobacco 1.2% |
| |||||||
1,589 | Altria Group, Inc. |
54,582 | ||||||
1,043 | Philip Morris International, Inc. |
90,313 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Tobacco continued |
| |||||||
570 | Reynolds American, Inc. |
$ | 27,805 | |||||
|
|
|||||||
172,700 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.4% |
| |||||||
530 | Fastenal Co. |
26,632 | ||||||
105 | W.W. Grainger, Inc. |
27,480 | ||||||
|
|
|||||||
54,112 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $7,363,088) |
7,360,978 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 93.2% |
| ||||||
$14,002,000 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $14,002,000 on 10/01/2013 collateralized by $8,000,000 U.S. Treasury Note, 0.875% due 7/31/2019 valued at $7,651,600; $6,940,000 U.S. Treasury Note, 1.125% due 4/30/2020 valued at $6,636,375 including accrued interest(c) (Identified Cost $14,002,000) |
14,002,000 | ||||||
|
|
|||||||
Total Investments 142.2% (Identified Cost $21,365,088)(a) |
21,362,978 | |||||||
Other assets less liabilities (42.2)% |
(6,340,089 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 15,022,889 | ||||||
|
|
|||||||
|
|
() | 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 subadvisers 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 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.
Futures contracts are valued at their most recent settlement price.
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 subadvisers 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 September 30, 2013, the net unrealized depreciation on investments based on a cost of $21,365,088 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 |
$ | | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(2,110 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (2,110 | ) | |
|
|
(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. |
REITs | Real Estate Investment Trusts |
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. 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 contracts 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, 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 September 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/20/2013 | 142 | $ | 11,887,530 | $ | 1,814 | ||||||||||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 7,360,978 | $ | | $ | | $ | 7,360,978 | ||||||||
Short-Term Investments |
| 14,002,000 | | 14,002,000 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
7,360,978 | 14,002,000 | | 21,362,978 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) |
1,814 | | | 1,814 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 7,362,792 | $ | 14,002,000 | $ | | $ | 21,364,792 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among 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 futures contracts.
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 to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. For the period ended September 30, 2013, the Fund engaged in futures transactions to gain investment exposure in accordance with its objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2013.
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange traded asset derivatives |
||||
Equity contracts |
$ | 1,814 |
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.
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. Cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 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 for initial/variation margin that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $1,001,814.
Industry Summary at September 30, 2013 (Unaudited)
Oil, Gas & Consumable Fuels |
4.1 | % | ||
Pharmaceuticals |
3.1 | |||
Diversified Financial Services |
2.9 | |||
Insurance |
2.5 | |||
Computers & Peripherals |
2.3 | |||
Media |
2.2 | |||
Other Investments, less than 2% each |
31.9 | |||
Short-Term Investments |
93.2 | |||
|
|
|||
Total Investments |
142.2 | |||
Other assets less liabilities (including open futures contracts) |
(42.2 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
Harris Associates Large Cap Value Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 93.1% of Net Assets |
| ||||||
Air Freight & Logistics 3.4% |
| |||||||
47,500 | FedEx Corp. |
$ | 5,420,225 | |||||
|
|
|||||||
Auto Components 6.8% |
| |||||||
41,600 | Autoliv, Inc. |
3,635,424 | ||||||
76,000 | Delphi Automotive PLC |
4,439,920 | ||||||
38,800 | TRW Automotive Holdings Corp.(b) |
2,766,828 | ||||||
|
|
|||||||
10,842,172 | ||||||||
|
|
|||||||
Automobiles 3.9% |
| |||||||
173,800 | General Motors Co.(b) |
6,251,586 | ||||||
|
|
|||||||
Capital Markets 7.9% |
| |||||||
11,000 | BlackRock, Inc. |
2,976,820 | ||||||
93,400 | Franklin Resources, Inc. |
4,721,370 | ||||||
30,500 | Goldman Sachs Group, Inc. (The) |
4,825,405 | ||||||
|
|
|||||||
12,523,595 | ||||||||
|
|
|||||||
Commercial Banks 6.7% |
| |||||||
79,500 | US Bancorp |
2,908,110 | ||||||
185,800 | Wells Fargo & Co. |
7,677,256 | ||||||
|
|
|||||||
10,585,366 | ||||||||
|
|
|||||||
Consumer Finance 2.3% |
| |||||||
52,000 | Capital One Financial Corp. |
3,574,480 | ||||||
|
|
|||||||
Diversified Financial Services 3.8% |
| |||||||
118,000 | JPMorgan Chase & Co. |
6,099,420 | ||||||
|
|
|||||||
Electrical Equipment 1.5% |
| |||||||
22,000 | Rockwell Automation, Inc. |
2,352,680 | ||||||
|
|
|||||||
Energy Equipment & Services 3.1% |
| |||||||
62,200 | National Oilwell Varco, Inc. |
4,858,442 | ||||||
|
|
|||||||
Food Products 1.9% |
| |||||||
76,500 | Unilever PLC, Sponsored ADR |
2,951,370 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 1.0% |
| |||||||
30,500 | Medtronic, Inc. |
1,624,125 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 5.7% |
| |||||||
114,900 | Marriott International, Inc., Class A |
4,832,694 | ||||||
21,800 | McDonalds Corp. |
2,097,378 | ||||||
31,300 | Starwood Hotels & Resorts Worldwide, Inc. |
2,079,885 | ||||||
|
|
|||||||
9,009,957 | ||||||||
|
|
|||||||
Insurance 3.9% |
| |||||||
125,900 | American International Group, Inc. |
6,122,517 | ||||||
|
|
|||||||
Internet Software & Services 0.8% |
| |||||||
1,400 | Google, Inc., Class A(b) |
1,226,274 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
IT Services 5.7% |
| |||||||
7,000 | MasterCard, Inc., Class A |
$ | 4,709,460 | |||||
22,600 | Visa, Inc., Class A |
4,318,860 | ||||||
|
|
|||||||
9,028,320 | ||||||||
|
|
|||||||
Machinery 6.8% |
| |||||||
24,700 | Cummins, Inc. |
3,281,889 | ||||||
79,700 | Illinois Tool Works, Inc. |
6,078,719 | ||||||
13,400 | Parker Hannifin Corp. |
1,456,848 | ||||||
|
|
|||||||
10,817,456 | ||||||||
|
|
|||||||
Media 3.6% |
| |||||||
75,800 | Comcast Corp., Special Class A |
3,287,446 | ||||||
38,500 | Omnicom Group, Inc. |
2,442,440 | ||||||
|
|
|||||||
5,729,886 | ||||||||
|
|
|||||||
Multiline Retail 1.4% |
| |||||||
31,100 | Family Dollar Stores, Inc. |
2,239,822 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 2.0% |
| |||||||
36,800 | ExxonMobil Corp. |
3,166,272 | ||||||
|
|
|||||||
Road & Rail 1.5% |
| |||||||
15,100 | Union Pacific Corp. |
2,345,634 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 10.9% |
| |||||||
325,700 | Applied Materials, Inc. |
5,712,778 | ||||||
297,900 | Intel Corp. |
6,827,868 | ||||||
59,200 | Lam Research Corp.(b) |
3,030,448 | ||||||
41,400 | Texas Instruments, Inc. |
1,667,178 | ||||||
|
|
|||||||
17,238,272 | ||||||||
|
|
|||||||
Software 3.5% |
| |||||||
166,200 | Oracle Corp. |
5,512,854 | ||||||
|
|
|||||||
Specialty Retail 3.9% |
| |||||||
29,400 | Advance Auto Parts, Inc. |
2,430,792 | ||||||
30,200 | CarMax, Inc.(b) |
1,463,794 | ||||||
29,300 | Tiffany & Co. |
2,244,966 | ||||||
|
|
|||||||
6,139,552 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.1% |
| |||||||
24,600 | NIKE, Inc., Class B |
1,786,944 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $105,458,068) |
147,447,221 | |||||||
|
|
|||||||
Principal Amount |
|
|||||||
|
Short-Term Investments 7.2% |
| ||||||
$11,434,536 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $11,434,536 on 10/01/2013 collateralized by $11,665,000 Federal Home Loan Bank, 0.120% due 3/28/2014 valued at $11,665,000 including accrued interest(c) (Identified Cost $11,434,536) |
11,434,536 | ||||||
|
|
Description |
Value () | |||
Total Investments 100.3% (Identified Cost $116,892,604)(a) |
$ | 158,881,757 | ||
Other assets less liabilities (0.3)% |
(472,467 | ) | ||
|
|
|||
Net Assets 100.0% |
$ | 158,409,290 | ||
|
|
() | 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 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 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 September 30, 2013, the net unrealized appreciation on investments based on a cost of $116,892,604 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 |
$ | 42,213,037 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(223,884 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 41,989,153 | ||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 147,447,221 | $ | | $ | | $ | 147,447,221 | ||||||||
Short-Term Investments |
| 11,434,536 | | 11,434,536 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 147,447,221 | $ | 11,434,536 | $ | | $ | 158,881,757 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2013 (Unaudited)
Semiconductors & Semiconductor Equipment |
10.9 | % | ||
Capital Markets |
7.9 | |||
Auto Components |
6.8 | |||
Machinery |
6.8 | |||
Commercial Banks |
6.7 | |||
IT Services |
5.7 | |||
Hotels, Restaurants & Leisure |
5.7 | |||
Automobiles |
3.9 | |||
Specialty Retail |
3.9 | |||
Insurance |
3.9 | |||
Diversified Financial Services |
3.8 | |||
Media |
3.6 | |||
Software |
3.5 | |||
Air Freight & Logistics |
3.4 | |||
Energy Equipment & Services |
3.1 | |||
Consumer Finance |
2.3 | |||
Oil, Gas & Consumable Fuels |
2.0 | |||
Other Investments, less than 2% each |
9.2 | |||
Short-Term Investments |
7.2 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 64.1% of Net Assets |
|||||||
|
Non-Convertible Bonds 60.4% |
|||||||
ABS Car Loan 0.9% |
| |||||||
$2,259,000 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019 |
$ | 2,266,570 | |||||
5,510,000 | Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(b) |
5,514,568 | ||||||
4,300,000 | Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(b) |
4,302,098 | ||||||
|
|
|||||||
12,083,236 | ||||||||
|
|
|||||||
ABS Credit Card 0.2% |
| |||||||
3,145,000 | American Express Credit Account Master Trust, Series 2013-1, Class A, 0.602%, 2/16/2021(b)(c) |
3,145,000 | ||||||
|
|
|||||||
ABS Home Equity 9.4% |
| |||||||
2,615,389 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033 |
2,653,901 | ||||||
867,527 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.629%, 7/25/2037, 144A(c) |
531,573 | ||||||
2,515,836 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.858%, 11/20/2034(c) |
2,320,977 | ||||||
2,146,498 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 |
2,151,806 | ||||||
946,999 | Bear Stearns ARM Trust, Series 2004-6, Class 2A1, 2.842%, 9/25/2034(c) |
876,410 | ||||||
1,486,456 | Bella Vista Mortgage Trust, Series 2005-1, Class 2A, 0.449%, 2/22/2035(c) |
1,266,500 | ||||||
788,411 | Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.842%, 2/25/2037(c) |
766,397 | ||||||
2,477,608 | CHL Mortgage Pass-Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036 |
2,183,784 | ||||||
2,527,733 | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036 |
2,558,668 | ||||||
691,267 | CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 |
608,357 | ||||||
2,059,085 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037 |
1,637,685 | ||||||
1,322,295 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037 |
1,051,682 | ||||||
2,173,897 | CitiMortgage Alternative Loan Trust, Series 2007-A8, Class A1, 6.000%, 10/25/2037 |
1,908,633 | ||||||
3,047,911 | Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(b) |
3,135,404 | ||||||
1,425,196 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034 |
1,410,318 | ||||||
4,919,147 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034 |
4,741,281 | ||||||
1,394,336 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034 |
1,423,515 | ||||||
580,473 | Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.027%, 8/25/2034 |
593,595 | ||||||
1,308,463 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.389%, 5/25/2035(c) |
1,058,229 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued |
| |||||||
$1,130,027 | Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036 |
$ | 1,019,218 | |||||
891,177 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 |
592,825 | ||||||
964,068 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 |
825,704 | ||||||
264,434 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.501%, 9/20/2034(c) |
249,749 | ||||||
3,851,115 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.691%, 4/25/2035(c) |
2,671,380 | ||||||
533,994 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.449%, 4/25/2035(c) |
421,603 | ||||||
849,669 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035(b) |
838,592 | ||||||
3,310,911 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037 |
2,910,728 | ||||||
470,881 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 |
480,974 | ||||||
1,397,112 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 |
1,212,186 | ||||||
755,707 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 |
632,978 | ||||||
2,448,010 | Fremont Home Loan Trust, Series 2006-D, Class 2A3, 0.334%, 11/25/2036(c) |
1,017,542 | ||||||
283,012 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 |
288,002 | ||||||
2,290,768 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.165%, 6/19/2035(b)(c) |
2,250,904 | ||||||
1,050,440 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.410%, 7/19/2035(c) |
950,930 | ||||||
328,113 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.068%, 12/25/2034(c) |
282,123 | ||||||
2,148,201 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.718%, 12/25/2034(c) |
2,122,526 | ||||||
994,648 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.714%, 7/25/2035(c) |
900,043 | ||||||
2,945,000 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.663%, 9/25/2035(b)(c) |
2,868,171 | ||||||
1,819,871 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 |
1,531,727 | ||||||
1,708,483 | HarborView Mortgage Loan Trust, Series 2005-14, Class 3A1A, 2.783%, 12/19/2035(c) |
1,423,313 | ||||||
2,659,638 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.289%, 5/25/2037(c) |
1,694,383 | ||||||
1,302,322 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.959%, 12/25/2034(c) |
914,834 | ||||||
2,897,842 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.499%, 7/25/2045(c) |
2,528,657 | ||||||
964,376 | JPMorgan Alternative Loan Trust, Series 2006-A7, Class 1A1, 0.339%, 12/25/2036(c) |
658,881 | ||||||
3,127,667 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.554%, 4/25/2035(b)(c) |
3,094,779 | ||||||
1,330,532 | JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.881%, 8/25/2035(c) |
1,304,611 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued |
| |||||||
$3,467,563 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A11, 6.000%, 1/25/2036(b) |
$ | 3,015,014 | |||||
3,115,062 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036 |
2,708,537 | ||||||
3,308,841 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037 |
2,689,545 | ||||||
2,794,540 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.404%, 4/25/2046(c) |
1,981,541 | ||||||
541,400 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 5.455%, 5/25/2034(c) |
523,670 | ||||||
849,509 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.840%, 4/25/2036(c) |
787,623 | ||||||
670,503 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.339%, 1/25/2047(c) |
482,448 | ||||||
2,122,207 | MASTR Adjustable Rate Mortgages Trust, Series 2007-HF1, Class A1, 0.419%, 5/25/2037(c) |
1,426,121 | ||||||
1,142,285 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033 |
1,187,765 | ||||||
1,224,144 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034 |
1,251,500 | ||||||
1,333,220 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034 |
1,376,124 | ||||||
2,988,247 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 |
2,988,125 | ||||||
2,302,090 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 |
1,629,859 | ||||||
2,124,171 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037 |
1,503,894 | ||||||
472,002 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.171%, 5/25/2036(c) |
461,804 | ||||||
1,413,416 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035 |
1,291,797 | ||||||
2,800,000 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(b) |
2,796,489 | ||||||
308,658 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.654%, 10/25/2035(c) |
312,761 | ||||||
2,825,180 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(b) |
2,376,321 | ||||||
949,523 | Residential Asset Securitization Trust, Series 2007-A5, Class 2A5, 6.000%, 5/25/2037 |
825,215 | ||||||
1,162,867 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 |
1,171,292 | ||||||
1,519,649 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.652%, 9/25/2034(c) |
1,473,604 | ||||||
7,515,508 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.510%, 11/25/2034(b)(c) |
7,193,784 | ||||||
726,587 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.489%, 7/25/2035(c) |
597,647 | ||||||
2,253,400 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034 |
2,381,855 | ||||||
2,576,378 | WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.430%, 1/25/2035(c) |
2,607,629 | ||||||
862,147 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034 |
888,965 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued |
| |||||||
$1,518,344 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.454%, 9/25/2046(c) |
$ | 1,412,818 | |||||
286,136 | WaMu Mortgage Pass Through Certificates, Series 2006-AR17, Class 1A1A, 0.963%, 12/25/2046(c) |
263,612 | ||||||
3,329,518 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 2.204%, 1/25/2047(c) |
2,939,818 | ||||||
460,610 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.649%, 10/25/2033(c) |
462,530 | ||||||
1,800,725 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 4.743%, 2/25/2034(c) |
1,815,556 | ||||||
698,621 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
709,420 | ||||||
821,937 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 |
826,266 | ||||||
|
|
|||||||
124,927,027 | ||||||||
|
|
|||||||
ABS Other 0.3% |
| |||||||
1,814,347 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A |
1,850,645 | ||||||
730,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class A, 3.910%, 3/15/2016, 144A |
735,136 | ||||||
425,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A |
424,593 | ||||||
648,863 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
652,512 | ||||||
|
|
|||||||
3,662,886 | ||||||||
|
|
|||||||
Aerospace & Defense 1.2% |
| |||||||
10,003,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(b) |
8,352,505 | ||||||
2,335,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
2,147,413 | ||||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(b) |
5,218,544 | ||||||
|
|
|||||||
15,718,462 | ||||||||
|
|
|||||||
Airlines 2.5% |
| |||||||
2,180,000 | Air Canada Pass Through Trust, Series 2013-1, Class A, 4.125%, 11/15/2026, 144A |
2,051,925 | ||||||
2,900,000 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A |
2,718,750 | ||||||
3,800,000 | American Airlines Pass Through Trust, Series 2013-2, Class A, 4.950%, 7/15/2024, 144A(b) |
3,819,000 | ||||||
2,890,000 | British Airways PLC, 4.625%, 6/20/2024, 144A(b) |
2,902,282 | ||||||
2,890,000 | British Airways PLC, 5.625%, 12/20/2021, 144A(b) |
2,986,353 | ||||||
680,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class A, 4.000%, 4/29/2026 |
657,900 | ||||||
505,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 |
506,894 | ||||||
965,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
981,888 | ||||||
2,289,043 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
2,489,335 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Airlines continued |
| |||||||
$105,023 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
$ | 109,092 | |||||
1,940,883 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
2,159,232 | ||||||
5,003,535 | Doric Nimrod Air Finance Alpha Ltd., Pass Through Trust, Series 2012-1, Class A, 5.125%, 11/30/2024, 144A(b) |
5,016,044 | ||||||
1,802,827 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 |
1,978,603 | ||||||
1,612,090 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
1,684,634 | ||||||
3,055,000 | US Airways Pass Through Trust, Series 2013-1, Class 1A, 3.950%, 5/15/2027(b) |
2,825,875 | ||||||
|
|
|||||||
32,887,807 | ||||||||
|
|
|||||||
Automotive 4.4% |
| |||||||
6,590,000 | Daimler Finance North America LLC, 0.945%, 8/01/2016, 144A(b)(c) |
6,604,827 | ||||||
3,000,000 | Ford Credit Canada Ltd., 4.875%, 3/17/2014, (CAD)(b) |
2,951,915 | ||||||
5,250,000 | Ford Motor Credit Co. LLC, 1.516%, 5/09/2016(b)(c) |
5,321,521 | ||||||
4,220,000 | General Motors Co., 4.875%, 10/02/2023, 144A |
4,125,050 | ||||||
8,750,000 | General Motors Co., 6.250%, 10/02/2043, 144A |
8,618,750 | ||||||
4,590,000 | Hyundai Capital America, 2.875%, 8/09/2018, 144A(b) |
4,628,359 | ||||||
6,640,000 | Nissan Motor Acceptance Corp., 0.950%, 9/26/2016, 144A(b)(c) |
6,650,850 | ||||||
10,650,000 | Toyota Motor Credit Corp., 0.553%, 5/17/2016(b)(c) |
10,677,945 | ||||||
8,500,000 | Toyota Motor Credit Corp., MTN, 0.406%, 3/10/2015(b)(c) |
8,504,182 | ||||||
|
|
|||||||
58,083,399 | ||||||||
|
|
|||||||
Banking 7.0% |
| |||||||
15,025,000 | Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL)(b) |
6,270,868 | ||||||
2,484,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP)(b) |
4,859,732 | ||||||
3,950,000 | Barclays Bank PLC, EMTN, 6.000%, 1/14/2021, (EUR)(b) |
5,926,699 | ||||||
6,545,000 | ING Bank NV, 5.800%, 9/25/2023, 144A(b) |
6,610,424 | ||||||
9,320,000 | Intesa Sanpaolo S.p.A., 6.500%, 2/24/2021, 144A(b) |
9,694,571 | ||||||
9,280,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(b) |
7,286,615 | ||||||
5,285,000 | Lloyds Bank PLC, EMTN, 6.500%, 3/24/2020, (EUR)(b) |
8,115,326 | ||||||
6,455,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023(b) |
6,020,695 | ||||||
11,135,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(b) |
11,217,622 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued |
| |||||||
$6,600,000 | Standard Chartered PLC, 3.950%, 1/11/2023, 144A(b) |
$ | 6,208,283 | |||||
9,975,000 | Standard Chartered PLC, 5.200%, 1/26/2024, 144A(b) |
10,022,082 | ||||||
7,420,000 | UniCredit S.p.A., EMTN, 6.950%, 10/31/2022, (EUR)(b) |
10,330,341 | ||||||
|
|
|||||||
92,563,258 | ||||||||
|
|
|||||||
Building Materials 0.9% |
| |||||||
155,000 | American Builders & Contractors Supply Co., Inc., 5.625%, 4/15/2021, 144A |
152,481 | ||||||
3,030,000 | Builders FirstSource, Inc., 7.625%, 6/01/2021, 144A(b) |
3,030,000 | ||||||
2,590,000 | CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A |
2,632,088 | ||||||
5,800,000 | Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A(b) |
5,031,500 | ||||||
3,900,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
1,460,102 | ||||||
|
|
|||||||
12,306,171 | ||||||||
|
|
|||||||
Chemicals 1.0% |
| |||||||
6,640,000 | Alpek S.A. de CV, 5.375%, 8/08/2023, 144A(b) |
6,573,600 | ||||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029(b) |
2,821,300 | ||||||
3,200,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
3,312,000 | ||||||
|
|
|||||||
12,706,900 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.1% |
| |||||||
33,246,112 | Government National Mortgage Association, Series 2010-83, Class IO, 0.522%, 7/16/2050(c)(d) |
1,160,921 | ||||||
629,063 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 3A1, 2.827%, 1/25/2036(c) |
591,383 | ||||||
|
|
|||||||
1,752,304 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 3.1% |
| |||||||
950,000 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.466%, 5/11/2039, 144A(c) |
961,997 | ||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.731%, 4/15/2044, 144A(b)(c) |
4,667,037 | ||||||
2,765,000 | Citigroup Commercial Mortgage Trust, 3.634%, 5/10/2035, 144A |
2,345,702 | ||||||
2,376,607 | CW Capital Cobalt Ltd., Series 2006-C1, Class AM, 5.254%, 8/15/2048(b) |
2,430,449 | ||||||
5,109,000 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.729%, 11/10/2046, 144A(b)(c) |
4,930,655 | ||||||
1,300,000 | Del Coronado Trust, Series 2013-HDMZ, Class M, 5.183%, 3/15/2018, 144A(c) |
1,305,720 | ||||||
7,430,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c) |
7,436,858 | ||||||
4,340,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.993%, 8/10/2045(b)(c) |
4,242,606 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Commercial Mortgage-Backed Securities continued |
| |||||||
$1,520,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 |
$ | 1,527,749 | |||||
984,112 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.182%, 4/15/2018, 144A(c) |
995,036 | ||||||
1,300,000 | Morgan Stanley Capital I, Series 2011-C1, Class E, 5.420%, 9/15/2047, 144A(c) |
1,236,673 | ||||||
2,125,000 | Morgan Stanley Capital I, Series 2011-C2, Class E, 5.493%, 6/15/2044, 144A(c) |
1,997,557 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.760%, 4/12/2049(c) |
1,406,743 | ||||||
5,175,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c) |
5,073,839 | ||||||
|
|
|||||||
40,558,621 | ||||||||
|
|
|||||||
Construction Machinery 1.3% |
| |||||||
17,660,000 | Caterpillar Financial Services Corp., MTN, 0.502%, 2/26/2016(b)(c) |
17,669,536 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.2% |
| |||||||
3,025,000 | ServiceMaster Co. (The), 7.000%, 8/15/2020(b) |
2,858,625 | ||||||
|
|
|||||||
Diversified Manufacturing 0.7% |
| |||||||
3,000,000 | Mcron Finance Sub LLC/Mcron Finance Corp., 8.375%, 5/15/2019, 144A(b) |
3,277,500 | ||||||
7,860,000 | Ottawa Holdings Pte Ltd., 5.875%, 5/16/2018, 144A(b) |
6,170,100 | ||||||
|
|
|||||||
9,447,600 | ||||||||
|
|
|||||||
Electric 0.5% |
| |||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL) |
1,769,238 | ||||||
5,150,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b) |
5,210,842 | ||||||
|
|
|||||||
6,980,080 | ||||||||
|
|
|||||||
Entertainment 0.0% |
| |||||||
611,000 | DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A |
633,913 | ||||||
|
|
|||||||
Financial Other 0.4% |
| |||||||
1,625,000 | Aviation Capital Group Corp., 4.625%, 1/31/2018, 144A |
1,615,833 | ||||||
2,390,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
2,522,796 | ||||||
1,200,000 | Cielo S.A./Cielo USA, Inc., 3.750%, 11/16/2022, 144A |
1,032,000 | ||||||
|
|
|||||||
5,170,629 | ||||||||
|
|
|||||||
Food & Beverage 1.8% |
| |||||||
800,000 | Alicorp SAA, 3.875%, 3/20/2023, 144A |
708,000 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Food & Beverage continued |
| |||||||
$3,520,000 | BRF S.A., 3.950%, 5/22/2023, 144A(b) |
$ | 3,027,200 | |||||
2,945,000 | BRF S.A., 5.875%, 6/06/2022, 144A(b) |
2,930,275 | ||||||
10,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b) |
3,861,842 | ||||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) |
910,640 | ||||||
2,336,000 | Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021, 144A |
2,406,080 | ||||||
3,500,000 | General Mills, Inc., Series FRN, 0.564%, 1/29/2016(b)(c) |
3,502,562 | ||||||
4,435,000 | Hawk Acquisition Sub, Inc., 4.250%, 10/15/2020, 144A(b) |
4,229,881 | ||||||
810,000 | KeHE Distributors LLC/KeHE Finance Corp., 7.625%, 8/15/2021, 144A |
822,150 | ||||||
960,000 | Sun Merger Sub, Inc., 5.250%, 8/01/2018, 144A |
984,000 | ||||||
|
|
|||||||
23,382,630 | ||||||||
|
|
|||||||
Gaming 0.2% |
| |||||||
3,251,000 | PNK Finance Corp., 6.375%, 8/01/2021, 144A(b) |
3,316,020 | ||||||
|
|
|||||||
Government Owned - No Guarantee 1.7% |
| |||||||
8,000,000 | Gazprom Neft OAO Via GPN Capital S.A., 4.375%, 9/19/2022, 144A(b) |
7,360,000 | ||||||
700,000 | () | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b) |
5,593,775 | |||||
9,715,000 | Rosneft Oil Co. via Rosneft International Finance Ltd., 4.199%, 3/06/2022, 144A(b) |
8,962,088 | ||||||
|
|
|||||||
21,915,863 | ||||||||
|
|
|||||||
Government Sponsored 0.3% |
| |||||||
1,410,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) |
1,330,562 | ||||||
2,275,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
2,218,125 | ||||||
55,000 | Eksportfinans ASA, 2.375%, 5/25/2016 |
53,213 | ||||||
|
|
|||||||
3,601,900 | ||||||||
|
|
|||||||
Healthcare 0.9% |
| |||||||
10,900,000 | Baxter International, Inc., 0.426%, 12/11/2014(b)(c) |
10,904,327 | ||||||
450,000 | Owens & Minor, Inc., 6.350%, 4/15/2016 |
487,378 | ||||||
|
|
|||||||
11,391,705 | ||||||||
|
|
|||||||
Home Construction 0.0% |
| |||||||
1,920,000 | Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A(e) |
460,800 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Independent Energy 1.1% |
| |||||||
$670,000 | Halcon Resources Corp., 8.875%, 5/15/2021 |
$ | 686,750 | |||||
1,575,000 | Halcon Resources Corp., 9.250%, 2/15/2022, 144A |
1,638,000 | ||||||
2,660,000 | Halcon Resources Corp., 9.750%, 7/15/2020(b) |
2,812,950 | ||||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(f) |
1,193,600 | ||||||
5,575,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(b) |
892,000 | ||||||
4,670,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023(b) |
4,623,300 | ||||||
3,080,000 | Whiting Petroleum Corp., 5.000%, 3/15/2019 |
3,087,700 | ||||||
|
|
|||||||
14,934,300 | ||||||||
|
|
|||||||
Life Insurance 1.9% |
| |||||||
8,600,000 | Assicurazioni Generali S.p.A., EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(b) |
12,565,275 | ||||||
9,263,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(b)(p) |
8,904,059 | ||||||
3,300,000 | MetLife Capital Trust IV, 7.875%, 12/15/2067, 144A(b) |
3,712,500 | ||||||
|
|
|||||||
25,181,834 | ||||||||
|
|
|||||||
Local Authorities 1.1% |
| |||||||
11,978,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR)(b) |
14,294,150 | ||||||
|
|
|||||||
Lodging 0.2% |
| |||||||
2,105,000 | Host Hotels & Resorts LP, 5.250%, 3/15/2022 |
2,184,938 | ||||||
1,050,000 | Host Hotels & Resorts LP, Series D, 3.750%, 10/15/2023 |
971,928 | ||||||
|
|
|||||||
3,156,866 | ||||||||
|
|
|||||||
Media Non-Cable 1.3% |
| |||||||
8,095,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014(b) |
7,953,337 | ||||||
3,695,000 | Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A(b) |
3,454,825 | ||||||
745,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A |
772,938 | ||||||
5,355,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(b) |
5,542,425 | ||||||
|
|
|||||||
17,723,525 | ||||||||
|
|
|||||||
Metals & Mining 2.3% |
| |||||||
5,700,000 | Anglo American Capital PLC, 4.125%, 9/27/2022, 144A(b) |
5,300,589 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Metals & Mining continued |
| |||||||
$2,940,000 | AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022(b) |
$ | 2,478,320 | |||||
11,100,000 | Glencore Funding LLC, 4.125%, 5/30/2023, 144A(b) |
10,268,244 | ||||||
5,455,000 | Newcrest Finance Pty Ltd., 4.200%, 10/01/2022, 144A(b) |
4,522,866 | ||||||
2,020,000 | Plains Exploration & Production Co., 6.750%, 2/01/2022 |
2,161,982 | ||||||
6,815,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A(b) |
5,929,050 | ||||||
|
|
|||||||
30,661,051 | ||||||||
|
|
|||||||
Non-Captive Consumer 0.6% |
| |||||||
6,415,000 | Springleaf Finance Corp., 6.000%, 6/01/2020, 144A(b) |
6,158,400 | ||||||
1,834,000 | Stearns Holdings, Inc., 9.375%, 8/15/2020, 144A |
1,870,680 | ||||||
|
|
|||||||
8,029,080 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.4% |
| |||||||
4,700,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(b)(p) |
5,111,250 | ||||||
|
|
|||||||
Oil Field Services 1.3% |
| |||||||
1,465,000 | Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A |
1,465,000 | ||||||
2,900,000 | Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(b) |
3,074,000 | ||||||
10,200,000 | Lukoil International Finance BV, 4.563%, 4/24/2023, 144A(b) |
9,488,550 | ||||||
3,544,600 | Schahin II Finance Co. SPV Ltd., 5.875%, 9/25/2023, 144A(b) |
3,385,093 | ||||||
|
|
|||||||
17,412,643 | ||||||||
|
|
|||||||
Pharmaceuticals 0.8% |
| |||||||
9,125,000 | Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(b) |
8,676,096 | ||||||
2,085,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A |
2,168,400 | ||||||
|
|
|||||||
10,844,496 | ||||||||
|
|
|||||||
Pipelines 0.3% |
| |||||||
3,825,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A(b) |
4,019,176 | ||||||
|
|
|||||||
Retailers 0.6% |
| |||||||
5,530,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/2017(b) |
5,792,675 | ||||||
1,697,000 | William Carter Co. (The), 5.250%, 8/15/2021, 144A |
1,697,000 | ||||||
|
|
|||||||
7,489,675 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Sovereigns 0.2% |
| |||||||
7,091,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
$ | 2,890,727 | |||||
|
|
|||||||
Supermarkets 0.4% |
| |||||||
5,073,000 | SUPERVALU, Inc., 6.750%, 6/01/2021, 144A(b) |
4,819,350 | ||||||
|
|
|||||||
Technology 0.9% |
| |||||||
3,840,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029(b) |
3,244,800 | ||||||
1,805,000 | Broadridge Financial Solutions, Inc., 3.950%, 9/01/2020 |
1,822,640 | ||||||
4,900,000 | Jabil Circuit, Inc., 4.700%, 9/15/2022(b) |
4,691,750 | ||||||
2,650,000 | VeriSign, Inc., 4.625%, 5/01/2023, 144A |
2,491,000 | ||||||
|
|
|||||||
12,250,190 | ||||||||
|
|
|||||||
Textile 0.1% |
| |||||||
1,080,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023 |
1,251,300 | ||||||
|
|
|||||||
Treasuries 5.4% |
| |||||||
4,150,000,000 | Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(b) |
8,324,666 | ||||||
696,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(b) |
5,561,497 | |||||
465,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(b) |
3,678,162 | |||||
4,043,800 | () | Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(b) |
32,830,701 | |||||
325,500 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(b) |
2,881,145 | |||||
130,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
1,135,308 | |||||
2,890,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, 144A, (EUR)(b) |
3,257,875 | ||||||
5,460,000 | Portugal Obrigacoes do Tesouro OT, 5.650%, 2/15/2024, 144A, (EUR)(b) |
6,655,294 | ||||||
72,280,523 | Uruguay Government International Bond, 4.250%, 4/05/2027, (UYU)(b) |
3,472,556 | ||||||
70,212,063 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU)(b) |
3,423,837 | ||||||
|
|
|||||||
71,221,041 | ||||||||
|
|
|||||||
Wireless 0.3% |
| |||||||
3,440,000 | Sprint Corp., 7.250%, 9/15/2021, 144A(b) |
3,474,400 | ||||||
|
|
|||||||
Wirelines 2.2% |
| |||||||
3,000,000 | Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A(b) |
2,685,000 | ||||||
2,315,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A |
2,129,800 | ||||||
2,430,000 | Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR)(b) |
3,287,427 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wirelines continued |
| |||||||
7,800,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(b) |
$ | 3,082,272 | |||||
7,594,000 | Qwest Corp., 7.200%, 11/10/2026(b) |
7,597,987 | ||||||
2,800,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
2,302,868 | ||||||
850,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 |
789,789 | ||||||
2,237,000 | Telecom Italia Capital S.A., 7.721%, 6/04/2038 |
2,153,171 | ||||||
250,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 |
255,958 | ||||||
525,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 |
537,580 | ||||||
2,000,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
2,122,794 | ||||||
1,500,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP)(b) |
2,547,953 | ||||||
|
|
|||||||
29,492,599 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $820,547,559) |
801,482,025 | |||||||
|
|
|||||||
|
Convertible Bonds 3.7% |
|||||||
Automotive 0.4% |
| |||||||
1,610,000 | Ford Motor Co., 4.250%, 11/15/2016(b) |
3,180,756 | ||||||
755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015 |
1,843,144 | ||||||
|
|
|||||||
5,023,900 | ||||||||
|
|
|||||||
Independent Energy 0.4% |
| |||||||
425,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
438,812 | ||||||
4,060,000 | Cobalt International Energy, Inc., 2.625%, 12/01/2019(b) |
4,293,450 | ||||||
|
|
|||||||
4,732,262 | ||||||||
|
|
|||||||
Metals & Mining 0.3% |
| |||||||
2,515,000 | Peabody Energy Corp., 4.750%, 12/15/2066 |
2,018,288 | ||||||
1,840,000 | United States Steel Corp., 2.750%, 4/01/2019 |
2,036,650 | ||||||
|
|
|||||||
4,054,938 | ||||||||
|
|
|||||||
Oil Field Services 0.2% |
| |||||||
2,210,000 | Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019 |
2,856,425 | ||||||
|
|
|||||||
Pharmaceuticals 0.6% |
| |||||||
2,210,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(b) |
6,118,937 | ||||||
750,000 | Mylan, Inc., 3.750%, 9/15/2015 |
2,173,594 | ||||||
|
|
|||||||
8,292,531 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Retailers 0.5% |
| |||||||
$4,430,000 | priceline.com, Inc., 0.350%, 6/15/2020, 144A |
$ | 4,637,656 | |||||
1,603,000 | priceline.com, Inc., 1.000%, 3/15/2018 |
2,059,855 | ||||||
|
|
|||||||
6,697,511 | ||||||||
|
|
|||||||
Technology 1.3% |
| |||||||
1,330,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
1,959,256 | ||||||
1,440,000 | EMC Corp., Series B, 1.750%, 12/01/2013 |
2,301,300 | ||||||
2,085,000 | Intel Corp., 3.250%, 8/01/2039 |
2,581,491 | ||||||
2,320,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032(b) |
4,399,300 | ||||||
1,825,000 | Nuance Communications, Inc., 2.750%, 11/01/2031 |
1,844,391 | ||||||
1,675,000 | SanDisk Corp., 1.500%, 8/15/2017 |
2,215,187 | ||||||
1,015,000 | Xilinx, Inc., 2.625%, 6/15/2017 |
1,646,838 | ||||||
|
|
|||||||
16,947,763 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $43,454,287) |
48,605,330 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $864,001,846) |
850,087,355 | |||||||
|
|
|||||||
|
Senior Loans 15.4% |
|||||||
Aerospace & Defense 0.1% |
| |||||||
645,125 | Sequa Corporation, New Term Loan B, 5.250%, 12/19/2017(c) |
646,738 | ||||||
582,598 | Six3 Systems, Inc., Term Loan B, 7.000%, 10/04/2019(c) |
591,336 | ||||||
697,244 | Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(c) |
693,646 | ||||||
|
|
|||||||
1,931,720 | ||||||||
|
|
|||||||
Airlines 0.2% |
| |||||||
2,846,000 | US Airways Group, Inc., Term Loan B1, 4.250%, 5/23/2019(c) |
2,825,680 | ||||||
|
|
|||||||
Automotive 0.7% |
| |||||||
667,600 | Affinia Group Intermediate Holdings, Inc., Term Loan B2, 4.750%, 4/27/2020(c) |
667,600 | ||||||
4,099,033 | Chrysler Group LLC, New Term Loan B, 4.250%, 5/24/2017(c) |
4,123,627 | ||||||
1,163,000 | Navistar International Corporation, Term Loan B, 5.750%, 8/17/2017(c) |
1,176,444 | ||||||
2,577,050 | TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(c) |
2,601,223 | ||||||
230,670 | Transtar Holding Company, 1st Lien Term Loan, 5.500%, 10/09/2018(c) |
231,438 | ||||||
|
|
|||||||
8,800,332 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Banking 0.1% |
| |||||||
$1,925,089 | Harland Clarke Holdings Corp., Extended Term Loan B2, 5.429%, 6/30/2017(c) |
$ | 1,897,021 | |||||
|
|
|||||||
Building Materials 0.4% |
| |||||||
1,822,000 | ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(c) |
1,806,513 | ||||||
1,123,000 | Quikrete Holdings, Inc., 1st Lien Term Loan, 9/25/2020(g) |
1,122,001 | ||||||
2,825,765 | Wilsonart International Holdings LLC, Term Loan B, 4.000%, 10/31/2019(c) |
2,790,443 | ||||||
|
|
|||||||
5,718,957 | ||||||||
|
|
|||||||
Chemicals 1.0% |
| |||||||
577,280 | Allnex USA, Inc., USD Term Loan B1, 4.500%, 10/03/2019(c) |
576,922 | ||||||
299,523 | Allnex USA, Inc., USD Term Loan B2, 4.500%, 10/03/2019(c) |
299,337 | ||||||
1,623,930 | Arysta LifeScience Corporation, 1st Lien Term Loan, 4.500%, 5/29/2020(c) |
1,619,188 | ||||||
3,272,419 | Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(c) |
3,096,527 | ||||||
1,197,000 | MacDermid, Inc., 1st Lien Term Loan, 4.000%, 6/08/2020(c) |
1,191,015 | ||||||
656,582 | Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(c) |
641,809 | ||||||
396,271 | OCI Beaumont LLC, Term Loan B1, 6.250%, 8/20/2019(c) |
396,271 | ||||||
744,990 | OCI Beaumont LLC, Term Loan B2, 6.250%, 8/20/2019(c) |
744,990 | ||||||
1,238,640 | Taminco Global Chemical Corporation, USD Term Loan B2, 4.250%, 2/15/2019(c) |
1,242,765 | ||||||
735,158 | Tata Chemicals North America, Inc., Term Loan B, 3.750%, 8/07/2020(c) |
732,400 | ||||||
3,336,438 | Univar, Inc., Term Loan B, 5.000%, 6/30/2017(c) |
3,212,156 | ||||||
|
|
|||||||
13,753,380 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.1% |
| |||||||
92,239 | Instant Web, Inc., Delayed Draw Term Loan, 3.554%, 8/07/2014(c) |
73,791 | ||||||
879,342 | Instant Web, Inc., Term Loan B, 3.554%, 8/07/2014(c) |
703,474 | ||||||
623,000 | Spin Holdco, Inc., New Term Loan B, 4.253%, 11/14/2019(h) |
620,664 | ||||||
|
|
|||||||
1,397,929 | ||||||||
|
|
|||||||
Consumer Products 0.5% |
| |||||||
1,070,000 | Jarden Corporation, Add-On Term Loan B1, 9/30/2020(g) |
1,068,138 | ||||||
961,733 | Serta/Simmons Holdings LLC, Term Loan, 5.000%, 10/01/2019(c) |
962,588 | ||||||
2,296,944 | SRAM LLC, New Term Loan B, 4.024%, 4/10/2020(h) |
2,256,748 | ||||||
2,831,292 | Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(c) |
2,802,272 | ||||||
|
|
|||||||
7,089,746 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Diversified Manufacturing 0.3% |
| |||||||
$598,478 | Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(c) |
$ | 598,478 | |||||
1,208,925 | Doncasters Finance US LLC, USD Term Loan, 5.500%, 4/09/2020(c) |
1,211,947 | ||||||
2,093,330 | Edwards (Cayman Islands II) Limited, New Term Loan B, 4.750%, 3/26/2020(c) |
2,091,760 | ||||||
|
|
|||||||
3,902,185 | ||||||||
|
|
|||||||
Electric 0.5% |
| |||||||
1,846,373 | Calpine Construction Finance Company LP, Original Term Loan B1, 3.000%, 5/04/2020(c) |
1,802,983 | ||||||
618,750 | Calpine Corporation, Term Loan B3, 4.000%, 10/09/2019(c) |
618,286 | ||||||
1,183,879 | Dynegy Holdings, Inc., Term Loan B2, 4.000%, 4/23/2020(c) |
1,180,031 | ||||||
2,800,925 | NRG Energy, Inc., Refi Term Loan B, 2.750%, 7/02/2018(c) |
2,780,142 | ||||||
|
|
|||||||
6,381,442 | ||||||||
|
|
|||||||
Entertainment 0.2% |
| |||||||
1,925,000 | Kasima LLC, New Term Loan B, 3.250%, 5/17/2021(c) |
1,906,963 | ||||||
881,321 | WMG Acquisition Corp., New Term Loan, 3.750%, 7/01/2020(c) |
876,640 | ||||||
|
|
|||||||
2,783,603 | ||||||||
|
|
|||||||
Environmental 0.1% |
| |||||||
977,000 | Allflex Holdings III, Inc., New 1st Lien Term Loan, 4.250%, 7/20/2020(c) |
978,837 | ||||||
|
|
|||||||
Financial Other 0.3% |
| |||||||
1,091,265 | Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(c) |
1,093,993 | ||||||
704,685 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(c) |
709,089 | ||||||
2,535,000 | Triple Point Technology, Inc., 2nd Lien Term Loan, 9.250%, 7/09/2021(c) |
2,395,575 | ||||||
|
|
|||||||
4,198,657 | ||||||||
|
|
|||||||
Food & Beverage 1.4% |
| |||||||
6,575,000 | Del Monte Foods Company, Term Loan, 4.000%, 3/08/2018(c) |
6,543,769 | ||||||
797,990 | Dole Food Company, Inc., New Term Loan, 3.753%, 4/01/2020(h) |
796,849 | ||||||
2,840,000 | DS Waters of America, Inc., New Term Loan, 5.250%, 8/19/2020(c) |
2,859,539 | ||||||
2,622,428 | H.J. Heinz Company, Term Loan B2, 3.500%, 6/05/2020(c) |
2,628,092 | ||||||
1,628,000 | New HB Acquisition LLC, Term Loan, 6.750%, 4/09/2020(c) |
1,667,349 | ||||||
723,365 | Pinnacle Foods Finance LLC, Term Loan G, 3.250%, 4/29/2020(c) |
716,312 | ||||||
2,844,870 | US Foods, Inc., Refi Term Loan, 4.500%, 3/29/2019(c) |
2,825,325 | ||||||
|
|
|||||||
18,037,235 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Gaming 0.1% |
| |||||||
$1,350,000 | Boyd Gaming Corporation, Term Loan B, 4.000%, 8/14/2020(c) |
$ | 1,346,288 | |||||
|
|
|||||||
Healthcare 0.6% |
| |||||||
2,438,888 | Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(c) |
2,455,106 | ||||||
3,185,000 | Springer Science & Business Media Deutschland GmbH, USD Term Loan B2, 5.000%, 8/14/2020(c) |
3,161,112 | ||||||
265,000 | TriZetto Group, Inc. (The), 2nd Lien Term Loan D, 8.500%, 3/28/2019(c) |
229,225 | ||||||
1,282,023 | TriZetto Group, Inc. (The), Term Loan B, 4.750%, 5/02/2018(c) |
1,187,153 | ||||||
396,010 | United Surgical Partners International, Inc., Incremental Term Loan, 4.750%, 4/03/2019(c) |
397,250 | ||||||
|
|
|||||||
7,429,846 | ||||||||
|
|
|||||||
Independent Energy 0.1% |
| |||||||
1,221,000 | Fieldwood Energy LLC, 1st Lien Term Loan, 9/28/2018(g) |
1,218,460 | ||||||
|
|
|||||||
Industrial Other 1.7% |
| |||||||
1,104,450 | Apex Tool Group LLC, Term Loan B, 4.500%, 1/31/2020(c) |
1,105,146 | ||||||
276,755 | Belden, Inc., Term Loan B, 10/02/2020(g) |
276,755 | ||||||
239,516 | Brand Energy & Infrastructure Services, Inc., Term Loan 1 Canadian, 6.250%, 10/23/2018(c) |
240,115 | ||||||
997,984 | Brand Energy & Infrastructure Services, Inc., USD Term Loan B1, 6.250%, 10/23/2018(c) |
1,000,479 | ||||||
39,383 | CeramTec Acquisition Corporation, USD Term Loan B2, 4.250%, 8/28/2020(c) |
39,448 | ||||||
399,963 | Faenza Acquisition GmbH, USD Term Loan B1, 4.250%, 8/31/2020(c) |
400,630 | ||||||
121,655 | Faenza Acquisition GmbH, USD Term Loan B3, 4.250%, 8/28/2020(c) |
121,858 | ||||||
4,000,000 | Gardner Denver, Inc., USD Term Loan, 4.250%, 7/30/2020(c) |
3,957,280 | ||||||
2,840,000 | Generac Power Systems, Inc., Term Loan B, 3.500%, 5/29/2020(c) |
2,823,670 | ||||||
1,617,000 | MEI Conlux Holdings (US), Inc., Term Loan B, 5.000%, 8/21/2020(c) |
1,616,321 | ||||||
550,838 | Mirror Bidco Corp., USD Term Loan, 5.250%, 12/27/2019(c) |
552,672 | ||||||
1,990,000 | Pacific Industrial Services US Finco LLC, USD 1st Lien Term Loan, 9/24/2018(g) |
1,993,323 | ||||||
1,955,046 | Pinnacle Operating Corp., Term Loan, 4.750%, 11/06/2018(c) |
1,957,490 | ||||||
6,563,467 | Silver II US Holdings LLC, Term Loan, 4.000%, 12/13/2019(c) |
6,497,833 | ||||||
361,939 | WESCO Distribution, Inc., Term Loan B, 4.500%, 12/12/2019(c) |
362,663 | ||||||
|
|
|||||||
22,945,683 | ||||||||
|
|
|||||||
Lodging 0.3% |
| |||||||
3,423,902 | Hilton Worldwide Finance LLC, USD Term Loan B2, 10/26/2020(g) |
3,417,670 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Media Cable 0.8% |
| |||||||
$1,963,080 | Charter Communications Operating LLC, Term Loan E, 3.000%, 7/01/2020(c) |
$ | 1,939,601 | |||||
1,305,728 | Charter Communications Operating LLC, Term Loan F, 3.000%, 1/04/2021(c) |
1,290,490 | ||||||
2,847,863 | CSC Holdings, Inc., New Term Loan B, 2.679%, 4/17/2020(c) |
2,812,663 | ||||||
671,000 | TWCC Holding Corp., 2nd Lien Term Loan, 7.000%, 6/26/2020(c) |
687,775 | ||||||
3,295,000 | Virgin Media Investment Holdings Limited, USD Term Loan B, 3.500%, 6/08/2020(c) |
3,273,484 | ||||||
|
|
|||||||
10,004,013 | ||||||||
|
|
|||||||
Media Non-Cable 0.2% |
| |||||||
1,255,000 | Activision Blizzard, Inc., Term Loan B, 9/11/2020(g) |
1,252,904 | ||||||
1,132,443 | Getty Images, Inc., Term Loan B, 4.750%, 10/18/2019(c) |
1,013,253 | ||||||
|
|
|||||||
2,266,157 | ||||||||
|
|
|||||||
Metals & Mining 1.0% |
| |||||||
2,804,670 | FMG Resources (August 2006) Pty Ltd., Term Loan, 5.250%, 10/18/2017(c) |
2,811,177 | ||||||
1,358,733 | Metal Services LLC, Term Loan, 7.750%, 6/30/2017(c) |
1,365,526 | ||||||
116,708 | Murray Energy Corporation, New Term Loan B, 4.750%, 5/24/2019(c) |
116,374 | ||||||
5,793,750 | Patriot Coal Corporation, DIP First-Out Term Loan, 9.250%, 12/31/2013(c) |
5,822,719 | ||||||
2,290,000 | Peabody Energy Corporation, Term Loan B, 4.250%, 9/24/2020(c) |
2,263,757 | ||||||
558,777 | Tube City IMS Corporation, Term Loan, 6.000%, 3/20/2019(c) |
558,777 | ||||||
|
|
|||||||
12,938,330 | ||||||||
|
|
|||||||
Non-Captive Consumer 0.1% |
| |||||||
785,111 | Springleaf Financial Funding Company, Term Loan, 5.500%, 5/10/2017(c) |
785,276 | ||||||
|
|
|||||||
Oil Field Services 0.2% |
| |||||||
1,450,365 | Pacific Drilling S.A., Term Loan B, 4.500%, 6/04/2018(c) |
1,455,078 | ||||||
340,000 | Pinnacle Holdco S.A.R.L., 2nd Lien Term Loan, 10.500%, 7/24/2020(c) |
341,700 | ||||||
648,375 | Stallion Oilfield Services Ltd., Term Loan B, 8.000%, 6/19/2018(c) |
653,238 | ||||||
|
|
|||||||
2,450,016 | ||||||||
|
|
|||||||
Other Utility 0.0% |
| |||||||
459,848 | Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c) |
452,375 | ||||||
55,000 | Power Team Services LLC, Delayed Draw Term Loan(i) |
54,106 | ||||||
|
|
|||||||
506,481 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Packaging 0.2% |
| |||||||
$1,720,000 | Berlin Packaging LLC, 1st Lien Term Loan, 4.750%, 4/02/2019(c) |
$ | 1,719,278 | |||||
1,077,300 | Pact Group (USA), Inc., USD Term Loan B, 3.750%, 5/29/2020(c) |
1,058,447 | ||||||
|
|
|||||||
2,777,725 | ||||||||
|
|
|||||||
Pharmaceuticals 0.4% |
| |||||||
2,378,933 | inVentiv Health, Inc., Combined Term Loan, 7.500%, 8/04/2016(c) |
2,289,723 | ||||||
1,526,612 | Quintiles Transnational Corp., New Term Loan B, 4.000%, 6/08/2018(c) |
1,527,086 | ||||||
2,024,700 | Valeant Pharmaceuticals International, Inc., Term Loan E, 4.500%, 8/05/2020(c) |
2,034,540 | ||||||
|
|
|||||||
5,851,349 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.2% |
| |||||||
1,161,225 | AmWINS Group, Inc., New Term Loan, 5.000%, 9/06/2019(c) |
1,165,580 | ||||||
330,000 | Applied Systems, Inc., 2nd Lien Term Loan, 8.250%, 6/08/2017(c) |
331,376 | ||||||
1,115,000 | Cooper Gay Swett & Crawford Ltd., 2nd Lien Term Loan, 8.250%, 10/16/2020(c) |
1,098,275 | ||||||
|
|
|||||||
2,595,231 | ||||||||
|
|
|||||||
Restaurants 0.1% |
| |||||||
443,571 | Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(c) |
445,789 | ||||||
536,655 | Seminole Hard Rock Entertainment, Inc., Term Loan B, 3.500%, 5/14/2020(c) |
534,643 | ||||||
|
|
|||||||
980,432 | ||||||||
|
|
|||||||
Retailers 0.1% |
| |||||||
710,000 | Harbor Freight Tools USA, Inc., New 1st Lien Term Loan, 4.750%, 7/26/2019(c) |
714,139 | ||||||
|
|
|||||||
Supermarkets 0.4% |
| |||||||
635,000 | Acosta, Inc., Term Loan D, 5.000%, 3/02/2018(c) |
634,682 | ||||||
1,102,898 | Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(c) |
1,101,520 | ||||||
3,336,980 | Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(c) |
3,324,466 | ||||||
|
|
|||||||
5,060,668 | ||||||||
|
|
|||||||
Technology 1.9% |
| |||||||
3,096,600 | Alcatel-Lucent USA, Inc., Euro Term Loan D, 6.250%, 1/30/2019, (EUR)(c) |
4,208,298 | ||||||
7,903,751 | Alcatel-Lucent USA, Inc., USD Term Loan C, 5.750%, 1/30/2019(c) |
7,955,125 | ||||||
1,868,094 | Blackboard, Inc., Term Loan B2, 6.250%, 10/04/2018(c) |
1,875,099 | ||||||
1,534,661 | BMC Software Finance, Inc., Term Loan, 5.000%, 8/07/2020(c) |
1,532,743 | ||||||
3,074,454 | BMC Software Finance, Inc., USD Term Loan, 5.000%, 8/07/2020(c) |
3,072,917 | ||||||
2,900,000 | Dell, Inc., USD Term Loan B, 4/29/2020(g) |
2,846,524 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
|
Technology continued |
|||||||
$470,445 | Deltek, Inc., 1st Lien Term Loan, 5.000%, 10/10/2018(c) |
$ | 470,798 | |||||
1,006,395 | NXP B.V., Term Loan C, 4.750%, 1/11/2020(c) |
1,014,698 | ||||||
850,000 | Rocket Software, Inc., 2nd Lien Term Loan, 10.250%, 2/08/2019(c) |
847,875 | ||||||
452,580 | SunGard Data Systems, Inc., Term Loan D, 4.500%, 1/31/2020(c) |
457,097 | ||||||
950,225 | SunGard Data Systems, Inc., Term Loan E, 4.000%, 3/09/2020(c) |
951,812 | ||||||
323,375 | Verint Systems, Inc., New Term Loan B, 4.000%, 9/06/2019(c) |
324,102 | ||||||
|
|
|||||||
25,557,088 | ||||||||
|
|
|||||||
Transportation Services 0.0% |
| |||||||
514,115 | FleetPride Corporation, 1st Lien Term Loan, 5.250%, 11/19/2019(c) |
494,836 | ||||||
|
|
|||||||
Utility Other 0.0% |
| |||||||
380,000 | Sensus USA, Inc., 2nd Lien Term Loan, 8.500%, 5/09/2018(c) |
370,975 | ||||||
|
|
|||||||
Wireless 0.6% |
| |||||||
1,718,018 | Asurion LLC, New Term Loan B1, 5/24/2019(g) |
1,700,562 | ||||||
1,424,043 | Asurion LLC, New Term Loan B1, 4.500%, 5/24/2019(c) |
1,409,575 | ||||||
932,663 | Asurion LLC, New Term Loan B2, 3.500%, 7/08/2020(c) |
900,411 | ||||||
3,381,511 | Crown Castle International Corporation, New Term Loan, 3.250%, 1/31/2019(c) |
3,337,146 | ||||||
|
|
|||||||
7,347,694 | ||||||||
|
|
|||||||
Wirelines 0.5% |
| |||||||
477,600 | Integra Telecom, Inc., 1st Lien Term Loan, 5.250%, 2/22/2019(c) |
479,988 | ||||||
542,007 | Level 3 Financing, Inc., New 2019 Term Loan, 4.000%, 8/01/2019(c) |
540,923 | ||||||
2,140,810 | Level 3 Financing, Inc., New Term Loan B2, 1/15/2020(g) |
2,136,357 | ||||||
1,440,000 | Level 3 Financing, Inc., Term Loan, 4.750%, 8/01/2019(c) |
1,437,293 | ||||||
1,696,748 | Light Tower Fiber LLC, 1st Lien Term Loan, 4.500%, 4/13/2020(c) |
1,701,515 | ||||||
814,749 | Zayo Group LLC, Term Loan B, 4.500%, 7/02/2019(c) |
814,285 | ||||||
|
|
|||||||
7,110,361 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $204,143,227) |
203,865,442 | |||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks 4.7% |
|||||||
|
Convertible Preferred Stocks 2.7% |
|||||||
Automotive 0.3% |
| |||||||
72,200 | General Motors Co., Series B, 4.750%(b) |
$ | 3,620,830 | |||||
|
|
|||||||
Banking 0.2% |
| |||||||
2,240 | Wells Fargo & Co., Series L, Class A, 7.500%(b) |
2,548,022 | ||||||
|
|
|||||||
Independent Energy 0.2% |
| |||||||
1,500 | Chesapeake Energy Corp., Series A, 5.750%, 144A |
1,654,688 | ||||||
5,963 | SandRidge Energy, Inc., 7.000% |
594,809 | ||||||
|
|
|||||||
2,249,497 | ||||||||
|
|
|||||||
Metals & Mining 0.6% |
| |||||||
128,475 | ArcelorMittal, 6.000% |
2,760,928 | ||||||
282,067 | Cliffs Natural Resources, Inc., 7.000%(b) |
5,576,464 | ||||||
|
|
|||||||
8,337,392 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.1% |
| |||||||
1,388 | Bank of America Corp., Series L, 7.250% |
1,499,040 | ||||||
|
|
|||||||
REITs - Diversified 0.8% |
| |||||||
213,072 | Weyerhaeuser Co., Series A, 6.375%(b) |
11,288,555 | ||||||
|
|
|||||||
REITs - Healthcare 0.0% |
| |||||||
8,000 | Health Care REIT, Inc., Series I, 6.500% |
460,400 | ||||||
|
|
|||||||
REITs - Mortgage 0.2% |
| |||||||
56,286 | iStar Financial, Inc., Series J, 4.500%(b) |
3,117,119 | ||||||
|
|
|||||||
Utility Other 0.3% |
| |||||||
34,648 | Dominion Resources, Inc., Series B, 6.000% |
1,851,935 | ||||||
28,391 | Dominion Resources, Inc., Series A, 6.125% |
1,514,376 | ||||||
|
|
|||||||
3,366,311 | ||||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $34,835,578) |
36,487,166 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stocks 2.0% |
|||||||
Banking 1.5% |
| |||||||
11,660 | Ally Financial, Inc., Series G, 7.000%, 144A(b) |
11,141,130 | ||||||
148,056 | Capital One Financial Corp., Series B, 6.000%(b) |
3,240,946 | ||||||
247,273 | SunTrust Banks, Inc., 5.875%(b) |
5,355,933 | ||||||
|
|
|||||||
19,738,009 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
|||||||
|
Non-Convertible Preferred Stocks continued |
|||||||
Media Cable 0.3% |
| |||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(b) |
$ | 3,999,600 | |||||
|
|
|||||||
Non-Captive Diversified 0.2% |
| |||||||
102,000 | Montpelier Re Holdings Ltd., 8.875%(b) |
2,652,000 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $27,537,054) |
26,389,609 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $62,372,632) |
62,876,775 | |||||||
|
|
|||||||
|
Common Stocks 3.7% |
|||||||
Chemicals 0.5% |
| |||||||
82,634 | Dow Chemical Co. (The) |
3,173,146 | ||||||
24,216 | Rockwood Holdings, Inc. |
1,620,050 | ||||||
54,452 | Tronox Ltd., Class A |
1,332,440 | ||||||
|
|
|||||||
6,125,636 | ||||||||
|
|
|||||||
Commercial Banks 0.1% |
| |||||||
18,731 | HSBC Holdings PLC, Sponsored ADR |
1,016,344 | ||||||
|
|
|||||||
Diversified Financial Services 0.2% |
| |||||||
39,821 | JPMorgan Chase & Co. |
2,058,348 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.5% |
| |||||||
58,003 | AT&T, Inc. |
1,961,661 | ||||||
87,030 | Deutsche Telekom AG, Sponsored ADR |
1,270,638 | ||||||
35,730 | Orange S.A., Sponsored ADR |
446,982 | ||||||
83,776 | Telefonica S.A., Sponsored ADR(f) |
1,296,853 | ||||||
43,618 | Verizon Communications, Inc. |
2,035,216 | ||||||
|
|
|||||||
7,011,350 | ||||||||
|
|
|||||||
Food & Staples Retailing 0.2% |
| |||||||
32,945 | CVS Caremark Corp. |
1,869,629 | ||||||
13,873 | Wal-Mart Stores, Inc. |
1,026,047 | ||||||
|
|
|||||||
2,895,676 | ||||||||
|
|
|||||||
Industrial Conglomerates 0.1% |
| |||||||
5,425 | Siemens AG, Sponsored ADR |
653,767 | ||||||
|
|
|||||||
Machinery 0.1% |
| |||||||
76,802 | Komatsu Ltd., Sponsored ADR |
1,925,426 | ||||||
|
|
|||||||
Office Electronics 0.0% |
| |||||||
12,269 | Canon, Inc., Sponsored ADR |
392,608 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.6% |
| |||||||
16,420 | Chevron Corp. |
1,995,030 | ||||||
17,200 | ExxonMobil Corp. |
1,479,888 | ||||||
21,700 | Royal Dutch Shell PLC, ADR |
1,425,256 | ||||||
39,804 | Statoil ASA, Sponsored ADR |
902,755 | ||||||
40,268 | Total S.A., Sponsored ADR |
2,332,322 | ||||||
|
|
|||||||
8,135,251 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Pharmaceuticals 0.5% |
| |||||||
28,438 | Bayer AG, Sponsored ADR |
$ | 3,353,978 | |||||
10,500 | GlaxoSmithKline PLC, Sponsored ADR |
526,785 | ||||||
48,626 | Pfizer, Inc. |
1,396,052 | ||||||
36,223 | Sanofi, ADR |
1,833,971 | ||||||
|
|
|||||||
7,110,786 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.3% |
| |||||||
19,771 | KLA-Tencor Corp. |
1,203,065 | ||||||
65,920 | Texas Instruments, Inc. |
2,654,599 | ||||||
|
|
|||||||
3,857,664 | ||||||||
|
|
|||||||
Software 0.0% |
| |||||||
16,290 | Microsoft Corp. |
542,620 | ||||||
|
|
|||||||
Tobacco 0.2% |
| |||||||
29,055 | Altria Group, Inc. |
998,039 | ||||||
9,290 | British American Tobacco PLC, Sponsored ADR |
976,843 | ||||||
5,330 | Philip Morris International, Inc. |
461,525 | ||||||
|
|
|||||||
2,436,407 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.2% |
| |||||||
26,589 | Mitsubishi Corp., Sponsored ADR |
1,074,196 | ||||||
3,235 | Mitsui & Co. Ltd., Sponsored ADR |
943,002 | ||||||
|
|
|||||||
2,017,198 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.2% |
| |||||||
75,054 | Vodafone Group PLC, Sponsored ADR |
2,640,400 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $45,791,509) |
48,819,481 | |||||||
|
|
|||||||
Notional Amount/ Shares () |
||||||||
|
Purchased Swaptions 0.4% |
|||||||
Interest Rate Swaptions 0.4% |
| |||||||
$125,000,000 | 1-year Interest Rate Swap Put, expiring 9/15/2014, Pay 3-month LIBOR, Receive 0.843%(j)(k) |
451,375 | ||||||
83,500,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 3-month LIBOR, Receive 1.171%(j)(k) |
| ||||||
114,500,000 | 10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3.518%, Receive 3-month LIBOR(j)(k) |
5,069,373 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $6,711,835) |
5,520,748 | |||||||
|
|
|||||||
|
Purchased Options 0.0% |
|||||||
Options on Securities 0.0% |
| |||||||
474,700 | iShares MSCI EAFE ETF, Put expiring October 19, 2013 at 60(l) |
94,940 | ||||||
355,000 | iShares MSCI Emerging Markets ETF, Put expiring October 19, 2013 at 39(l) |
106,500 | ||||||
97,200 | SPDR® S&P 500® ETF Trust, Put expiring October 19, 2013 at 165(l) |
118,098 | ||||||
|
|
|||||||
Total Purchased Options (Identified Cost $1,385,975) |
319,538 | |||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Short-Term Investments 10.2% |
|||||||
$2,870,578 | Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2013 at 0.000% to be repurchased at $2,870,578 on 10/01/2013 collateralized by $3,245,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $3,015,176 including accrued interest(m) |
$ | 2,870,578 | |||||
70,014,881 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $70,014,881 on 10/01/2013 collateralized by $68,420,000 U.S. Treasury Note, 2.125% due 12/31/2015 valued at $71,418,712 including accrued interest(m) |
70,014,881 | ||||||
9,800,000 | U.S. Treasury Bills, 0.021% - 0.053%, 2/27/2014(n)(o) |
9,799,598 | ||||||
52,600,000 | U.S. Treasury Bills, 0.106%, 8/21/2014(b)(o) |
52,564,495 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $135,234,351) |
135,249,552 | |||||||
|
|
|||||||
Total Investments 98.5% (Identified Cost $1,319,641,375)(a) |
1,306,738,891 | |||||||
Other assets less liabilities 1.5% |
20,121,687 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,326,860,578 | ||||||
|
|
|||||||
Notional Amount/ Shares () |
||||||||
|
Written Swaptions (0.2%) |
|||||||
Interest Rate Swaptions (0.2%) |
| |||||||
$83,500,000 | 5-year Interest Rate Swap Put, expiring 10/03/2013, Pay 0.880%, Receive 3-month LIBOR(j)(k) |
$ | | |||||
114,500,000 | 10-year Interest Rate Swap Call, expiring 6/22/2015, Pay 3-month LIBOR, Receive 4.018%(j)(k) |
(3,229,244 | ) | |||||
|
|
|||||||
Total Written Swaptions (Premiums Received $3,965,333) |
$ | (3,229,244 | ) | |||||
|
|
() | 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 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 and centrally cleared credit default swap agreements are valued at their most recent settlement price. |
Bilateral 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. |
Credit default swap agreements are valued based on 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 asked 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 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 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 September 30, 2013, the net unrealized depreciation on investments based on a cost of $1,322,404,727 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 |
$ | 30,509,171 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(46,175,007 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (15,665,836 | ) | |
|
|
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, post-October capital 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) | 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 or interest rate swaptions. |
(c) | Variable rate security. Rate as of September 30, 2013 is disclosed. |
(d) | 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. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Non-income producing security. |
(g) | Position is unsettled. Contract rate was not determined at September 30, 2013 and does not take effect until settlement date. |
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2013. |
(i) | Unfunded loan commitment. Represents a contractual obligation for future funding at the option of the Borrower. |
(j) | 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. |
(k) | Counterparty is Citibank, 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 enter 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 contracts 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) | A portion of this security has been pledged as collateral for open forward foreign currency contracts or swap agreements, and as initial margin for open futures contracts. |
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(p) | Perpetual bond with no specified maturity date. |
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 September 30, 2013, the value of Rule 144A holdings amounted to $395,039,278 or 29.8% 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 |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
SPDR | Standard &Poors Depositary Receipt |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
EUR | Euro |
GBP | British Pound |
MXN | Mexican Peso |
NZD | New Zealand Dollar |
UYU | Uruguayan Peso |
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.
Swap agreements 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 receivable or payable. When received or paid, fees are recorded as realized gain or loss. 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.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swaps). Bilateral swap agreements are 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. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as variation margin, are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty; 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. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2013, the Fund had the following open bilateral 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. |
CDX.NA.EM Series 20, 5-Year | (5.00 | %) | 12/20/2018 | $ | 33,875,000 | $ | (3,150,375 | ) | $ | (3,255,245 | ) | $ | (104,870 | ) | $ | (51,753 | ) | ||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 3,000,000 | (14,338 | ) | (45,806 | ) | (31,468 | ) | (917 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 5,075,000 | (33,962 | ) | (77,490 | ) | (43,528 | ) | (1,551 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 1,000,000 | (8,165 | ) | (15,269 | ) | (7,104 | ) | (306 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 20, 5-Year | (1.00 | %) | 6/20/2018 | 3,100,000 | (14,023 | ) | (38,022 | ) | (23,999 | ) | (947 | ) | |||||||||||||||||
Bank of America, N.A. |
CDX.NA.IG Series 20, 5-Year | (1.00 | %) | 6/20/2018 | 7,000,000 | (85,940 | ) | (85,856 | ) | 84 | (2,139 | ) |
Bank of America, N.A. |
Electricite de France | (1.00 | %) | 12/20/2017 | 3,700,000 | * | 10,112 | (79,381 | ) | (89,493 | ) | (1,528 | ) | |||||||||||||||||
Bank of America, N.A. |
Iberdrola Finanzas SAU | (1.00 | %) | 9/20/2018 | 4,500,000 | * | 318,838 | 182,238 | (136,600 | ) | (1,858 | ) | ||||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Crossover Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 3,875,000 | * | 82,893 | (340,022 | ) | (422,915 | ) | (8,000 | ) | |||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 550,000 | * | (57,194 | ) | (96,911 | ) | (39,717 | ) | (1,135 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 500,000 | * | (51,361 | ) | (88,101 | ) | (36,740 | ) | (1,032 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 450,000 | * | (49,301 | ) | (79,291 | ) | (29,990 | ) | (929 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 1,500,000 | * | (145,562 | ) | (264,302 | ) | (118,740 | ) | (3,097 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 1,180,000 | * | (157,622 | ) | (207,917 | ) | (50,295 | ) | (2,436 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 5,000,000 | * | (717,687 | ) | (881,007 | ) | (163,320 | ) | (10,322 | ) | ||||||||||||||||
Bank of America, N.A. |
iTraxx Europe Sub Financial Series 19, 5-Year | (5.00 | %) | 6/20/2018 | 6,500,000 | * | (893,551 | ) | (1,186,808 | ) | (293,257 | ) | (13,419 | ) | ||||||||||||||||
Bank of America, N.A. |
Russian Foreign Bond | (1.00 | %) | 12/20/2018 | 11,000,000 | 352,804 | 411,540 | 58,736 | (3,667 | ) | ||||||||||||||||||||
Bank of America, N.A. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 975,000 | (20,772 | ) | (22,842 | ) | (2,070 | ) | (298 | ) | |||||||||||||||||
Bank of America, N.A. |
Textron Financial Corp. | (1.00 | %) | 6/20/2017 | 1,250,000 | (27,480 | ) | (29,455 | ) | (1,975 | ) | (382 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.IG Series 19, 5-Year | (1.00 | %) | 12/20/2017 | 9,000,000 | (74,630 | ) | (137,420 | ) | (62,790 | ) | (2,750 | ) | |||||||||||||||||
Credit Suisse International |
CDX.NA.IG Series 20, 5-Year | (1.00 | %) | 6/20/2018 | 3,300,000 | (13,426 | ) | (40,475 | ) | (27,049 | ) | (1,008 | ) | |||||||||||||||||
Credit Suisse International |
HJ Heinz Co. | (1.00 | %) | 3/20/2018 | 7,650,000 | 222,119 | 64,825 | (157,294 | ) | (2,338 | ) | |||||||||||||||||||
Credit Suisse International |
Intesa Sanpaolo S.p.A., GMTN | (3.00 | %) | 12/20/2018 | 3,450,000 | * | (25,594 | ) | (33,660 | ) | (8,066 | ) | (4,278 | ) | ||||||||||||||||
Credit Suisse International |
iTraxx Europe Sub Financial Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 4,400,000 | * | (384,482 | ) | (775,286 | ) | (390,804 | ) | (9,084 | ) | ||||||||||||||||
Credit Suisse International |
UniCredit S.p.A., EMTN | (5.00 | %) | 12/20/2018 | 3,700,000 | * | (118,875 | ) | (157,481 | ) | (38,606 | ) | (7,647 | ) | ||||||||||||||||
Deutsche Bank AG |
Russian Foreign Bond | (1.00 | %) | 12/20/2018 | 16,900,000 | 542,034 | 632,275 | 90,241 | (5,633 | ) | ||||||||||||||||||||
Morgan Stanley Capital Services Inc. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 2,000,000 | (40,492 | ) | (46,856 | ) | (6,364 | ) | (611 | ) | |||||||||||||||||
Morgan Stanley Capital Services Inc. |
Textron Financial Corp. | (1.00 | %) | 3/20/2017 | 1,300,000 | (26,383 | ) | (30,456 | ) | (4,073 | ) | (397 | ) | |||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | (6,724,481 | ) | $ | (2,142,066 | ) | $ | (139,462 | ) | |||||||||||||||||||||
|
|
|
|
|
|
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 |
||||||||||||||||||||||||||||||||||
Bank of America, N.A. |
International Lease Finance Corp. | 5.00 | % | 9/20/2018 | 3.20 | % | $ | 3,275,000 | $ | 222,788 | $ | 258,801 | $ | 36,013 | $ | 5,003 | ||||||||||||||||||
Credit Suisse International |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. | 5.00 | % | 6/20/2015 | 41.63 | % | 3,900,000 | (318,398 | ) | (1,440,502 | ) | (1,122,104 | ) | 5,958 | ||||||||||||||||||||
Credit Suisse International |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. | 5.00 | % | 6/20/2015 | 56.55 | % | 5,300,000 | (459,717 | ) | (1,620,575 | ) | (1,160,858 | ) | 8,097 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||||
Total |
$ | (2,802,276 | ) | $ | (2,246,949 | ) | $ | 19,058 | ||||||||||||||||||||||||||
|
|
|
|
|
|
At September 30, 2013, the Fund had the following open centrally cleared credit default swap agreements:
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||
Buy Protection |
||||||||||||||||||||||||
CDX.NA.HY Series 21, 5-Year |
(5.00 | %) | 12/20/2018 | $ | 65,375,000 | $ | (2,916,379 | ) | $ | (137,941 | ) | $ | (99,878 | ) | ||||||||||
CDX.NA.IG Series 20, 5-Year |
(1.00 | %) | 6/20/2018 | 4,900,000 | (59,374 | ) | (22,784 | ) | (1,497 | ) | ||||||||||||||
CDX.NA.IG Series 20, 5-Year |
(1.00 | %) | 6/20/2018 | 12,000,000 | (145,405 | ) | (20,306 | ) | (3,667 | ) | ||||||||||||||
CDX.NA.IG Series 20, 5-Year |
(1.00 | %) | 6/20/2018 | 92,500,000 | (1,120,833 | ) | (580,265 | ) | (28,264 | ) | ||||||||||||||
CDX.NA.HY Series 21, 5-Year |
(5.00 | %) | 12/20/2018 | 25,000,000 | (1,115,235 | ) | (52,735 | ) | (38,194 | ) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total |
$ | (5,357,226 | ) | $ | (814,031 | ) | $ | (171,500 | ) | |||||||||||||||
|
|
|
|
|
|
() | 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. Contracts are traded over-the-counter directly with a counterparty. 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 September 30, 2013, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy1 |
10/15/2013 | Australian Dollar | 14,200,000 | $ | 13,235,869 | $ | 59,873 | |||||||||||
Sell1 |
10/15/2013 | Australian Dollar | 14,200,000 | 13,235,868 | 49,297 | |||||||||||||
Sell1 |
10/28/2013 | Brazilian Real | 47,600,000 | 21,345,204 | 136,879 | |||||||||||||
Sell1 |
12/04/2013 | British Pound | 1,495,000 | 2,419,119 | (107,206 | ) | ||||||||||||
Buy2 |
10/07/2013 | Chilean Peso | 4,000,000,000 | 7,919,438 | (40,761 | ) | ||||||||||||
Sell2 |
10/07/2013 | Chilean Peso | 3,900,000,000 | 7,721,452 | 15,108 | |||||||||||||
Sell2 |
10/07/2013 | Chilean Peso | 6,750,000,000 | 13,364,051 | (152,072 | ) | ||||||||||||
Buy1 |
10/01/2013 | Euro | 8,930,000 | 12,080,955 | (5,800 | ) | ||||||||||||
Buy3 |
10/16/2013 | Euro | 1,380,000 | 1,866,998 | 23,293 | |||||||||||||
Buy2 |
10/18/2013 | Euro | 685,000 | 926,739 | (415 | ) | ||||||||||||
Sell1 |
10/01/2013 | Euro | 8,930,000 | 12,080,955 | (178,158 | ) | ||||||||||||
Sell1 |
10/08/2013 | Euro | 3,155,000 | 4,268,306 | (98,532 | ) | ||||||||||||
Sell1 |
10/09/2013 | Euro | 9,845,000 | 13,319,042 | (393,367 | ) | ||||||||||||
Sell1 |
10/15/2013 | Euro | 4,265,000 | 5,770,092 | (115,585 | ) | ||||||||||||
Sell3 |
10/16/2013 | Euro | 6,895,000 | 9,328,226 | (149,353 | ) | ||||||||||||
Sell1 |
10/16/2013 | Euro | 7,380,000 | 9,984,381 | (159,874 | ) | ||||||||||||
Sell1 |
10/17/2013 | Euro | 6,270,000 | 8,482,686 | (133,949 | ) | ||||||||||||
Sell2 |
10/18/2013 | Euro | 3,160,000 | 4,275,176 | (71,997 | ) | ||||||||||||
Sell2 |
10/30/2013 | Euro | 8,100,000 | 10,958,845 | (19,795 | ) | ||||||||||||
Sell1 |
11/01/2013 | Euro | 8,930,000 | 12,081,848 | 5,774 | |||||||||||||
Buy1 |
10/15/2013 | Japanese Yen | 2,600,000,000 | 26,452,908 | (9,334 | ) | ||||||||||||
Sell1 |
10/15/2013 | Japanese Yen | 2,600,000,000 | 26,452,908 | (531,580 | ) | ||||||||||||
Buy2 |
10/03/2013 | Malaysian Ringgit | 43,300,000 | 13,283,363 | 7,263 | |||||||||||||
Sell2 |
10/03/2013 | Malaysian Ringgit | 43,300,000 | 13,283,363 | (193,883 | ) | ||||||||||||
Sell1 |
10/28/2013 | Mexican Peso | 173,700,000 | 13,241,247 | 194,706 | |||||||||||||
Sell3 |
10/03/2013 | New Zealand Dollar | 8,860,000 | 7,358,175 | (499,029 | ) | ||||||||||||
Buy2 |
10/03/2013 | Philippine Peso | 580,000,000 | 13,321,327 | 308,089 | |||||||||||||
Buy2 |
11/04/2013 | Philippine Peso | 580,000,000 | 13,325,216 | (8,118 | ) | ||||||||||||
Sell2 |
10/03/2013 | Philippine Peso | 580,000,000 | 13,321,327 | (21,625 | ) | ||||||||||||
Buy1 |
10/09/2013 | Polish Zloty | 42,200,000 | 13,507,654 | 328,392 | |||||||||||||
Sell1 |
10/09/2013 | Polish Zloty | 42,200,000 | 13,507,654 | (643,958 | ) | ||||||||||||
Sell1 |
12/13/2013 | Swiss Franc | 990,000 | 1,095,367 | (31,007 | ) | ||||||||||||
Buy1 |
10/01/2013 | Turkish Lira | 13,200,000 | 6,534,492 | 45,135 | |||||||||||||
Sell1 |
10/01/2013 | Turkish Lira | 13,200,000 | 6,534,492 | (131,387 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (2,522,976 | ) | ||||||||||||||
|
|
At September 30, 2013, the Fund had the following open forward foreign cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency1 | Unrealized Appreciation (Depreciation) |
|||||||||||
10/28/2013 |
Euro | 9,833,204 | Norwegian Krone | 80,000,000 | $ | (12,553 | ) | |||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is Deutsche Bank AG. |
3 | Counterparty is Citibank, N.A. |
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 is 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 September 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Nikkei 225 |
12/12/2013 | 13 | $ | 1,912,407 | $ | (47,678 | ) | |||||||||
|
|
At September 30, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/20/2013 | 575 | $ | 48,136,125 | $ | 214,239 | ||||||||||
Euro STOXX 50® |
12/20/2013 | 175 | 6,815,999 | (12,233 | ) | |||||||||||
Ultra Long U.S. Treasury Bond |
12/19/2013 | 145 | 20,603,594 | (137,336 | ) | |||||||||||
10 Year U.S. Treasury Note |
12/19/2013 | 794 | 100,354,156 | (2,248,359 | ) | |||||||||||
30 Year U.S. Treasury Bond |
12/19/2013 | 32 | 4,268,000 | (51,308 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (2,234,997 | ) | ||||||||||||
|
|
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | 1,812,241 | $ | 1,850,645 | (a) | $ | 3,662,886 | |||||||
Airlines |
| 6,395,529 | 26,492,278 | (a) | 32,887,807 | |||||||||||
Commercial Mortgage-Backed Securities |
| 38,257,865 | 2,300,756 | (a) | 40,558,621 | |||||||||||
All Other Non-Convertible Bonds* |
| 724,372,711 | | 724,372,711 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 770,838,346 | 30,643,679 | 801,482,025 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 48,605,330 | | 48,605,330 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 819,443,676 | 30,643,679 | 850,087,355 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 203,865,442 | | 203,865,442 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
36,487,166 | | | 36,487,166 | ||||||||||||
Non-Convertible Preferred Stocks* |
22,390,009 | 3,999,600 | | 26,389,609 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
58,877,175 | 3,999,600 | | 62,876,775 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* |
48,819,481 | | | 48,819,481 | ||||||||||||
Purchased Swaptions* |
| 5,520,748 | | 5,520,748 | ||||||||||||
Purchased Options* |
319,538 | | | 319,538 | ||||||||||||
Short-Term Investments |
| 135,249,552 | | 135,249,552 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
108,016,194 | 1,168,079,018 | 30,643,679 | 1,306,738,891 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) |
| 185,074 | | 185,074 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 1,173,809 | | 1,173,809 | ||||||||||||
Futures Contracts (unrealized appreciation) |
214,239 | | | 214,239 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 108,230,433 | $ | 1,169,437,901 | $ | 30,643,679 | $ | 1,308,312,013 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Swaptions* |
$ | | $ | (3,229,244 | ) | $ | | $ | (3,229,244 | ) | ||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
| (4,574,089 | ) | | (4,574,089 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) |
| (814,031 | ) | | (814,031 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (3,709,338 | ) | | (3,709,338 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(2,496,914 | ) | | | (2,496,914 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (2,496,914 | ) | $ | (12,326,702 | ) | $ | | $ | (14,823,616 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
Preferred stocks valued at $3,875,972 were transferred from Level 2 to Level 1 during the period ended September 30, 2013. At September 30, 2013, these securities were valued at the last sale price in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
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 under the general supervision of 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 September 30, 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 September 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | | $ | | $ | 4,474 | $ | (39,631 | ) | $ | | $ | (647,580 | ) | $ | 2,533,382 | $ | | $ | 1,850,645 | $ | (39,631 | ) | |||||||||||||||||
Airlines |
| 1,090 | (31,667 | ) | (807,242 | ) | 11,807,737 | (598,124 | ) | 16,120,484 | | 26,492,278 | (807,242 | ) | ||||||||||||||||||||||||||
Commercial Mortgage-Backed Securities |
| | (136 | ) | 1,092 | 2,310,688 | (10,888 | ) | | | 2,300,756 | 1,092 | ||||||||||||||||||||||||||||
Treasuries |
6,211,796 | | (187,627 | ) | (31,634 | ) | | (5,992,535 | ) | | | | | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 6,211,796 | $ | 1,090 | $ | (214,956 | ) | $ | (877,415 | ) | $ | 14,118,425 | $ | (7,249,127 | ) | $ | 18,653,866 | $ | | $ | 30,643,679 | $ | (845,781 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $18,653,866 were transferred from Level 2 to Level 3 during the period ended September 30, 2013. At September 30, 2013, these securities were valued using broker-dealer bid prices based on 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 (including credit default swaps).
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 and option contracts, interest rate swaptions and swap agreements. During the period ended September 30, 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 duration without having to buy or sell portfolio securities. During the period ended September 30, 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 September 30, 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 September 30, 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 September 30, 2013, the Fund engaged in futures and option transactions for hedging purposes.
The following is a summary of derivative instruments for the Fund as of September 30, 2013:
Assets |
Investments at value1 |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter asset derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | 5,520,748 | $ | | $ | | $ | | $ | 5,520,748 | ||||||||||
Foreign exchange contracts |
| 1,173,809 | | | 1,173,809 | |||||||||||||||
Credit contracts |
| | | 1,549,679 | 1,549,679 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter asset derivatives |
$ | 5,520,748 | $ | 1,173,809 | $ | | $ | 1,549,679 | $ | 8,244,236 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/centrally cleared asset derivatives |
||||||||||||||||||||
Equity contracts |
$ | 319,538 | $ | | $ | 214,239 | $ | | $ | 533,777 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/centrally cleared asset derivatives |
319,538 | | 214,239 | | 533,777 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives |
$ | 5,840,286 | $ | 1,173,809 | $ | 214,239 | $ | 1,549,679 | $ | 8,778,013 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
Options/swaptions written at value |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | (3,229,244 | ) | $ | | $ | | $ | | $ | (3,229,244 | ) | ||||||||
Foreign exchange contracts |
| (3,709,338 | ) | | | (3,709,338 | ) | |||||||||||||
Credit contracts |
| | | (11,076,436 | ) | (11,076,436 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter liability derivatives |
$ | (3,229,244 | ) | $ | (3,709,338 | ) | $ | | $ | (11,076,436 | ) | $ | (18,015,018 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/centrally cleared liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | | $ | | $ | (2,437,003 | ) | $ | | $ | (2,437,003 | ) | ||||||||
Credit contracts |
| | | (5,357,225 | ) | (5,357,225 | ) | |||||||||||||
Equity contracts |
| | (59,911 | ) | | (59,911 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/centrally cleared liability derivatives |
$ | | $ | | $ | (2,496,914 | ) | $ | (5,357,225 | ) | $ | (7,854,139 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives |
$ | (3,229,244 | ) | $ | (3,709,338 | ) | $ | (2,496,914 | ) | $ | (16,433,661 | ) | $ | (25,869,157 | ) | |||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options/swaptions, at value. |
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.
Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (5,872,808 | ) | $ | 6,025,887 | |||
Morgan Stanley Capital Services, Inc. |
(77,312 | ) | | |||||
Bank of America, N.A. |
(5,941,146 | ) | 9,881,925 |
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 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 $34,557,350 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $28,433,598. These amounts do not take into account collateral received by the Fund in the amount of $1,334,110.
Industry Summary at September 30, 2013 (Unaudited)
ABS Home Equity |
9.4 | % | ||
Banking |
8.8 | |||
Automotive |
5.8 | |||
Treasuries |
5.4 | |||
Metals & Mining |
4.2 | |||
Technology |
4.1 | |||
Food & Beverage |
3.2 | |||
Commercial Mortgage-Backed Securities |
3.1 | |||
Wirelines |
2.7 | |||
Airlines |
2.7 | |||
Chemicals |
2.5 | |||
Pharmaceuticals |
2.3 | |||
Other Investments, less than 2% each |
34.1 | |||
Short-Term Investments |
10.2 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities (including open written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes 90.1% of Net Assets |
|||||||
|
Municipals 90.1% |
|||||||
Alaska 2.3% |
| |||||||
$400,000 | Anchorage, GO, Schools, Refunding, Series B, (NATL-RE insured, FGIC insured), 5.000%, 9/01/2018 |
$ | 464,392 | |||||
|
|
|||||||
Arizona 4.0% |
| |||||||
300,000 | Phoenix Civic Improvement, Corporate Excise Tax Revenue, Series A, 5.000%, 7/01/2024 |
341,874 | ||||||
400,000 | Pima County Sewer System Revenue, Series A, 5.000%, 7/01/2022 |
463,784 | ||||||
|
|
|||||||
805,658 | ||||||||
|
|
|||||||
California 10.6% |
| |||||||
250,000 | Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024 |
283,880 | ||||||
400,000 | Bay Area Toll Authority, Toll Bridge Revenue, San Francisco Bay Area, 4.000%, 4/01/2030(b) |
397,132 | ||||||
380,000 | Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024 |
444,782 | ||||||
500,000 | Kern High School District, GO, Refunding, 5.000%, 8/01/2023 |
580,390 | ||||||
400,000 | Tehachapi Valley Healthcare District, GO, 5.000%, 11/01/2025 |
449,488 | ||||||
|
|
|||||||
2,155,672 | ||||||||
|
|
|||||||
Colorado 10.4% |
| |||||||
260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(c) |
278,985 | ||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 |
418,220 | ||||||
400,000 | Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026 |
452,016 | ||||||
400,000 | Denver City & County, Airport System Revenue, Series B, 5.000%, 11/15/2029(b) |
423,700 | ||||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 |
527,958 | ||||||
|
|
|||||||
2,100,879 | ||||||||
|
|
|||||||
Connecticut 4.1% |
| |||||||
375,000 | Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024 |
426,731 | ||||||
375,000 | State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016 |
413,359 | ||||||
|
|
|||||||
840,090 | ||||||||
|
|
|||||||
Florida 8.5% |
| |||||||
500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 |
540,990 | ||||||
250,000 | Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015 |
269,322 |
Principal |
Description |
Value () | ||||||
|
Municipals continued |
|||||||
Florida continued |
||||||||
$400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 |
$ | 461,888 | |||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 |
450,944 | ||||||
|
|
|||||||
1,723,144 | ||||||||
|
|
|||||||
Georgia 2.9% |
||||||||
500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 |
577,325 | ||||||
|
|
|||||||
Hawaii 2.2% |
||||||||
400,000 | Honolulu City and County, GO, Series B, 5.000%, 8/01/2016 |
446,756 | ||||||
|
|
|||||||
Illinois 4.2% |
||||||||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028(b) |
401,283 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 |
113,799 | ||||||
320,000 | Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017 |
346,029 | ||||||
|
|
|||||||
861,111 | ||||||||
|
|
|||||||
Kentucky 1.6% |
||||||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 2/01/2018@100, 6.125%, 2/01/2037 |
332,335 | ||||||
Massachusetts 0.8% |
||||||||
150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 |
165,443 | ||||||
Michigan 2.9% |
||||||||
545,000 | State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018 |
597,178 | ||||||
|
|
|||||||
Minnesota 3.0% |
||||||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 |
279,458 | ||||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 |
335,724 | ||||||
|
|
|||||||
615,182 | ||||||||
|
|
|||||||
Missouri 2.7% |
||||||||
500,000 | Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016 |
548,240 | ||||||
|
|
|||||||
New Jersey 3.1% |
||||||||
580,000 | New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM Insured), 5.000%, 6/15/2019 |
625,466 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
|
Municipals continued |
|||||||
New York 2.0% |
||||||||
$350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 |
$ | 395,112 | |||||
Ohio 7.7% |
||||||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 |
449,240 | ||||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 |
597,575 | ||||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 |
522,775 | ||||||
|
|
|||||||
1,569,590 | ||||||||
|
|
|||||||
Pennsylvania 5.8% |
||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 |
386,034 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 |
286,661 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 |
494,532 | ||||||
|
|
|||||||
1,167,227 | ||||||||
|
|
|||||||
Texas 6.4% |
||||||||
400,000 | Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016 |
440,396 | ||||||
350,000 | State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022 |
411,576 | ||||||
400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 |
447,012 | ||||||
|
|
|||||||
1,298,984 | ||||||||
|
|
|||||||
Utah 1.4% |
||||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 |
280,695 | ||||||
Washington 3.5% |
||||||||
400,000 | Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020 |
447,960 | ||||||
250,000 | Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014 |
260,713 | ||||||
|
|
|||||||
708,673 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $18,771,178) |
18,279,152 | |||||||
|
|
|||||||
|
Short-Term Investments 10.4% |
|||||||
2,108,249 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $2,108,249 on 10/01/2013 collateralized by $2,155,000 Federal Home Loan Bank, 0.120% due 3/28/2014 valued at $2,155,000 including accrued interest(d) (Identified Cost $2,108,249) |
2,108,249 | ||||||
|
|
Description |
Value () | |||
Total Investments 100.5% (Identified Cost $20,879,427)(a) |
$ | 20,387,401 | ||
Other assets less liabilities (0.5)% |
(105,860 | ) | ||
|
|
|||
Net Assets 100.0% |
$ | 20,281,541 | ||
|
|
() | 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 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 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. |
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 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 September 30, 2013, the net unrealized depreciation on investments based on a cost of $20,879,427 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 |
$ | 61,622 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(553,648 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (492,026 | ) | |
|
|
(b) | All or a portion of this security has been designated to cover the Funds obligations under delayed delivery securities. |
(c) | Delayed delivery. The Fund may purchase securities for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds commitment. No interest accrues to the Fund until the transaction settles. Purchases of delayed delivery securities may have a similar effect on the Funds net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities. |
(d) | 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 |
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 18,279,152 | $ | | $ | 18,279,152 | ||||||||
Short-Term Investments |
| 2,108,249 | | 2,108,249 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 20,387,401 | $ | | $ | 20,387,401 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.
Holdings Summary at September 30, 2013 (Unaudited)
General Obligation |
17.2 | % | ||
Higher Education |
15.1 | |||
Medical |
14.1 | |||
Transportation |
10.9 | |||
General |
8.2 | |||
Water |
7.1 | |||
Airport |
5.9 | |||
School District |
5.1 | |||
Power |
5.1 | |||
Utilities |
1.4 | |||
Short-Term Investments |
10.4 | |||
|
|
|||
Total Investments |
100.5 | |||
Other assets less liabilities |
(0.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
Loomis Sayles Multi-Asset Real Return Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 34.0% of Net Assets |
|||||||
|
Non-Convertible Bonds 32.4% |
|||||||
ABS Home Equity 0.9% |
| |||||||
$ | 396,669 | Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.123%, 8/25/2046(b)(c) |
$ | 247,156 | ||||
|
|
|||||||
Airlines 0.2% |
| |||||||
55,000 | US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026(c) |
53,075 | ||||||
|
|
|||||||
Automotive 2.9% |
| |||||||
500,000 | Ford Motor Credit Co. LLC, 4.375%, 8/06/2023(c) |
500,282 | ||||||
275,000 | General Motors Co., 4.875%, 10/02/2023, 144A |
268,813 | ||||||
|
|
|||||||
769,095 | ||||||||
|
|
|||||||
Banking 0.8% |
| |||||||
250,000 | JPMorgan Chase & Co., Series Q, (fixed rate to 5/01/2023, variable rate thereafter), 5.150%(c)(o) |
218,750 | ||||||
|
|
|||||||
Chemicals 2.6% |
| |||||||
200,000 | INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A(c) |
195,500 | ||||||
500,000 | PetroLogistics LP/PetroLogistics Finance Corp., 6.250%, 4/01/2020, 144A(c) |
490,000 | ||||||
|
|
|||||||
685,500 | ||||||||
|
|
|||||||
Construction Machinery 1.2% |
| |||||||
300,000 | United Rentals North America, Inc., 7.625%, 4/15/2022(c) |
326,250 | ||||||
|
|
|||||||
Government Owned - No Guarantee 4.0% |
| |||||||
500,000 | Gazprom OAO Via Gaz Capital S.A., 4.950%, 7/19/2022, 144A(c) |
483,125 | ||||||
250,000 | Petrobras Global Finance BV, 4.375%, 5/20/2023(c) |
228,696 | ||||||
370,000 | Petroleos Mexicanos, 4.875%, 1/18/2024(c) |
370,000 | ||||||
|
|
|||||||
1,081,821 | ||||||||
|
|
|||||||
Independent Energy 0.0% |
| |||||||
5,000 | Bonanza Creek Energy, Inc., 6.750%, 4/15/2021(c) |
5,050 | ||||||
|
|
|||||||
Life Insurance 4.2% |
| |||||||
250,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(c)(o) |
411,808 | ||||||
55,000 | ING U.S., Inc., 5.700%, 7/15/2043, 144A(c) |
54,591 | ||||||
625,000 | MetLife, Inc., Series D, 4.368%, 9/15/2023(c) |
653,378 | ||||||
|
|
|||||||
1,119,777 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Media Non-Cable 2.8% |
| |||||||
$ | 500,000 | Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023, 144A(c) |
$ | 467,500 | ||||
175,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A(c) |
181,125 | ||||||
100,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A(c) |
105,500 | ||||||
|
|
|||||||
754,125 | ||||||||
|
|
|||||||
Oil Field Services 1.6% |
| |||||||
75,000 | Hercules Offshore, Inc., 7.125%, 4/01/2017, 144A(c) |
79,781 | ||||||
350,000 | Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2022, 144A(c) |
358,750 | ||||||
|
|
|||||||
438,531 | ||||||||
|
|
|||||||
Pharmaceuticals 0.5% |
| |||||||
135,000 | Mallinckrodt International Finance S.A., 4.750%, 4/15/2023, 144A(c) |
128,359 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.6% |
| |||||||
175,000 | Trinity Acquisition PLC, 6.125%, 8/15/2043(c) |
171,071 | ||||||
|
|
|||||||
Technology 1.3% |
| |||||||
325,000 | Alcatel-Lucent USA, Inc., 8.875%, 1/01/2020, 144A(c) |
342,875 | ||||||
|
|
|||||||
Wireless 6.1% |
| |||||||
905,000 | Sprint Corp., 7.875%, 9/15/2023, 144A(c) |
923,100 | ||||||
420,000 | Verizon Communications, Inc., 6.400%, 9/15/2033 |
466,415 | ||||||
250,000 | VimpelCom Holdings BV, 5.950%, 2/13/2023, 144A(c) |
236,415 | ||||||
|
|
|||||||
1,625,930 | ||||||||
|
|
|||||||
Wirelines 2.7% |
| |||||||
235,000 | Frontier Communications Corp., 9.000%, 8/15/2031(c) |
230,300 | ||||||
300,000 | Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP)(c) |
487,526 | ||||||
|
|
|||||||
717,826 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $8,564,108) |
8,685,191 | |||||||
|
|
|||||||
|
Convertible Bonds 1.6% |
|||||||
Independent Energy 0.8% |
| |||||||
190,000 | Cobalt International Energy, Inc., 2.625%, 12/01/2019 (c) |
200,925 | ||||||
|
|
|||||||
Technology 0.8% |
| |||||||
195,000 | Intel Corp., 2.950%, 12/15/2035 (c) |
211,088 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Total Convertible Bonds (Identified Cost $405,461) |
$ | 412,013 | ||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $8,969,569) |
9,097,204 | |||||||
|
|
|||||||
|
Senior Loans 4.7% |
|||||||
Airlines 1.6% |
| |||||||
$ | 423,798 | Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b) |
424,484 | |||||
|
|
|||||||
Chemicals 2.2% |
| |||||||
180,000 | Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b) |
180,225 | ||||||
422,074 | Houghton International, Inc., Term Loan B, 4.000%, 12/20/2019(b) |
419,259 | ||||||
|
|
|||||||
599,484 | ||||||||
|
|
|||||||
Financial Other 0.4% |
| |||||||
102,624 | Harbourvest Partners LLC, Term Loan B, 4.750%, 11/21/2017(b) |
103,265 | ||||||
|
|
|||||||
Food & Beverage 0.5% |
| |||||||
129,675 | H.J. Heinz Company, Term Loan B2, 3.500%, 6/05/2020(b) |
129,955 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $1,254,171) |
1,257,188 | |||||||
|
|
|||||||
Shares | ||||||||
|
Common Stocks 5.9% |
|||||||
Automobiles 1.1% |
| |||||||
8,000 | General Motors Co.(c)(d) |
287,760 | ||||||
|
|
|||||||
Commercial Banks 0.7% |
| |||||||
168,702 | Lloyds Banking Group PLC(d) |
200,865 | ||||||
|
|
|||||||
Computers & Peripherals 0.3% |
| |||||||
156 | Apple, Inc.(c) |
74,373 | ||||||
|
|
|||||||
Diversified Financial Services 0.4% |
| |||||||
2,000 | Citigroup, Inc. |
97,020 | ||||||
|
|
|||||||
Energy Equipment & Services 1.2% |
| |||||||
3,640 | Halliburton Co. |
175,266 | ||||||
1,600 | Schlumberger Ltd. |
141,376 | ||||||
|
|
|||||||
316,642 | ||||||||
|
|
|||||||
Industrial Conglomerates 1.1% |
| |||||||
12,000 | General Electric Co. |
286,680 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.1% |
| |||||||
12,404 | Cobalt International Energy, Inc.(c)(d) |
308,363 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,583,542) |
1,571,703 | |||||||
|
|
Shares | Description |
Value () | ||||||
|
Exchange Traded Funds 1.7% |
|||||||
7,700 | Consumer Discretionary Select Sector SPDR® Fund(c) (Identified Cost $453,785) |
$ | 466,851 | |||||
|
|
|||||||
Units of Currency/Notional Amount () |
||||||||
|
Purchased Options 0.1% |
|||||||
Over-the-Counter Options on Currency 0.1% |
| |||||||
1,300,000 | EUR Put, expiring April 25, 2014 at 1.3053(e)(f) |
15,972 | ||||||
630,000 | JPY Call, expiring January 14, 2015 at 88.3000(e)(f) |
12,043 | ||||||
315,000 | JPY Call, expiring March 12, 2015 at 94.8000(e)(g) |
13,149 | ||||||
|
|
|||||||
Total Purchased Options (Identified Cost $106,334) |
41,164 | |||||||
|
|
|||||||
|
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)(f)(h) |
34,478 | ||||||
190,000,000 | 10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 1.01%, Receive 6-month LIBOR(JPY)(h)(i) |
10,280 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $97,229) |
44,758 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 51.6% |
|||||||
$ | 1,659,589 | Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2013 at 0.000% to be repurchased at $1,659,589 on 10/01/2013 collateralized by $5,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $4,646; $1,680,000 U.S. Treasury Note, 1.750% due 3/31/2014 valued at $1,694,043 including accrued interest(c)(j)(k) |
1,659,589 | |||||
7,212,612 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $7,212,612 on 10/01/2013 collateralized by $7,180,000 U.S. Treasury Note, 2.625% due 7/31/2014 valued at $7,359,500 including accrued interest(k) |
7,212,612 | ||||||
4,950,000 | U.S. Treasury Bills, 0.010%-0.021%, 2/27/2014(c)(j)(l)(m)(n) |
4,949,797 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $13,821,966) |
13,821,998 | |||||||
|
|
|||||||
Total Investments 98.2% (Identified Cost $26,286,596)(a) |
26,300,866 | |||||||
Other assets less liabilities 1.8% |
480,468 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 26,781,334 | ||||||
|
|
|||||||
Units of Currency/Notional Amount () |
||||||||
|
Written Options (0.1%) |
|||||||
Over-the-Counter Options on Currency (0.1%) |
| |||||||
630,000 | JPY Call, expiring January 14, 2015 at 84(e)(f) |
(7,597 | ) | |||||
315,000 | JPY Call, expiring March 12, 2015 at 90(e)(g) |
(8,270 | ) | |||||
|
|
|||||||
Total Written Options (Premiums Received $36,426) |
$ | (15,867 | ) | |||||
|
|
Units of Currency/Notional Amount () |
Description |
Value () | ||||||
|
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)(f)(h) |
$ | (15,432 | ) | ||||
190,000,000 | 10-year Interest Rate Swap Call, expiring 2/10/2014, Pay 6-month LIBOR, Receive 1.760% (JPY)(h)(i) |
(415 | ) | |||||
|
|
|||||||
Total Written Swaptions (Premiums Received $43,966) |
$ | (15,847 | ) | |||||
|
|
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 September 30, 2013, the value of the Funds investment in the Subsidiary was $3,745,524, representing 14.0% 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 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 and centrally cleared credit default swap agreements are valued at their most recent settlement price.
Bilateral credit default swap agreements and options on interest rate swaps (interest rate swaptions) are valued at on mid prices (between the bid and 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 prices 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 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 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 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 September 30, 2013, the net unrealized appreciation on investments based on a cost of $26,288,639 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 |
$ | 284,883 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(272,656 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 12,227 | ||
|
|
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 September 30, 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) | Non-income producing security. |
(e) | 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.
(f) | Counterparty is Citibank, N.A. |
(g) | Counterparty is Credit Suisse AG. |
(h) | 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.
(i) | Counterparty is Bank of America, N.A. |
(j) | A portion of this security is held by Loomis Sayles Multi-Asset Real Return Cayman Fund, Ltd., a wholly-owned subsidiary. |
(k) | 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. | |||
(l) | A portion of this security has been pledged as collateral for outstanding options, interest rate swaptions or as initial margin for open futures contracts. | |||
(m) | Interest rate represents discount rate at time of purchase; not a coupon rate. | |||
(n) | The Funds investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. | |||
(o) | Perpetual bond with no specific maturity date. | |||
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 September 30, 2013, the value of Rule 144A holdings amounted to $4,315,434 or 16.1% of net assets. | |||
ABS | Asset-Backed Securities | |||
EMTN | Euro Medium Term Note | |||
SPDR | Standard & Poors Depositary Receipt | |||
EUR | Euro | |||
GBP | British Pound | |||
JPY | Japanese Yen |
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.
Swap agreements 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 receivable or payable. When received or paid, fees are recorded as realized gain or loss. 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.
Swap agreements are privately negotiated in the over-the-counter market and may be entered into as a bilateral contract or centrally cleared (centrally cleared swaps). Bilateral swap agreements are 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. In a centrally cleared swap, immediately following execution of the swap agreement, the swap agreement is novated to a central counterparty (the CCP) and the Fund faces the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Subsequent payments, known as variation margin, are made or received by the Fund based on the daily change in the value of the centrally cleared swap agreement. For centrally cleared swaps, the Funds counterparty credit risk is reduced as the CCP stands between the Fund and the counterparty; 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. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2013, the Fund had the following open bilateral credit default swap agreements:
Counterparty |
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Unamortized Up Front Premium Paid/(Received) |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||||||||
Buy Protection |
||||||||||||||||||||||||||||||||
Morgan Stanley Capital Services Inc. |
France Telecom | (1.00 | %) | 6/20/2017 | 500,000 | * | 11,814 | $ | (6,845 | ) | $ | (18,659 | ) | $ | (206 | ) | ||||||||||||||||
UBS AG |
Japan Government | (1.00 | %) | 6/20/2017 | 1,000,000 | (1,323 | ) | (19,941 | ) | (18,618 | ) | (306 | ) | |||||||||||||||||||
UBS AG |
State of Israel | (1.00 | %) | 9/20/2017 | 1,000,000 | 20,699 | (2,159 | ) | (22,858 | ) | (306 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||||
Total |
|
$ | (28,945 | ) | $ | (60,135 | ) | $ | (818 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
At September 30, 2013, the Fund had the following open centrally cleared credit default swap agreements:
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||||
Buy Protection |
||||||||||||||||||||||||||
CDX.NA.HY Series 21, 5-Year |
(5.00 | %) | 12/20/2018 | $ | 1,000,000 | $ | (41,410 | ) | $ | | $ | (1,528 | ) | |||||||||||||
|
|
|
|
|
|
() | 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 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. Contracts are traded over-the-counter directly with a counterparty. 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 September 30, 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) |
|||||||||||||
Buy2 |
10/15/2013 | Australian Dollar | 900,000 | $ | 838,893 | $ | 3,918 | |||||||||||
Buy1 |
10/17/2013 | Australian Dollar | 1,040,000 | 969,260 | (8,852 | ) | ||||||||||||
Sell2 |
10/15/2013 | Australian Dollar | 900,000 | 838,893 | (8,193 | ) | ||||||||||||
Buy1 |
10/21/2013 | Brazilian Real | 915,000 | 410,992 | (3,035 | ) | ||||||||||||
Sell1 |
10/21/2013 | Brazilian Real | 915,000 | 410,992 | (679 | ) | ||||||||||||
Buy1 |
10/22/2013 | British Pound | 665,000 | 1,076,400 | 4,554 | |||||||||||||
Sell4 |
10/07/2013 | British Pound | 300,000 | 485,651 | (18,992 | ) | ||||||||||||
Sell1 |
10/21/2013 | British Pound | 380,000 | 615,091 | (5,840 | ) | ||||||||||||
Buy2 |
10/07/2013 | Chilean Peso | 280,300,000 | 554,955 | 3,996 | |||||||||||||
Sell2 |
10/07/2013 | Chilean Peso | 280,300,000 | 554,955 | (9,624 | ) |
Buy1 |
10/15/2013 | Colombian Peso | 1,060,000,000 | 555,458 | 3,949 | |||||||||||||
Sell1 |
10/15/2013 | Colombian Peso | 1,060,000,000 | 555,458 | 3,260 | |||||||||||||
Sell1 |
10/25/2013 | Euro | 200,000 | 270,585 | 147 | |||||||||||||
Sell1 |
10/25/2013 | Euro | 330,000 | 446,466 | (1,100 | ) | ||||||||||||
Buy1 |
2/04/2014 | Indian Rupee | 14,400,000 | 222,875 | (32,444 | ) | ||||||||||||
Sell1 |
2/04/2014 | Indian Rupee | 14,400,000 | 222,875 | 23,362 | |||||||||||||
Buy4 |
10/15/2013 | Japanese Yen | 54,800,000 | 557,546 | 5,655 | |||||||||||||
Sell4 |
10/15/2013 | Japanese Yen | 54,800,000 | 557,546 | (10,951 | ) | ||||||||||||
Sell3 |
10/21/2013 | Japanese Yen | 4,940,750 | 50,270 | 51 | |||||||||||||
Buy1 |
10/17/2013 | Malaysian Ringgit | 3,140,000 | 962,378 | (15,851 | ) | ||||||||||||
Sell1 |
10/17/2013 | Malaysian Ringgit | 3,140,000 | 962,378 | 31,922 | |||||||||||||
Buy1 |
10/15/2013 | Mexican Peso | 3,600,000 | 274,729 | (48 | ) | ||||||||||||
Sell1 |
10/15/2013 | Mexican Peso | 3,600,000 | 274,729 | 4,226 | |||||||||||||
Buy1 |
10/21/2013 | New Zealand Dollar | 845,000 | 700,909 | (2,688 | ) | ||||||||||||
Sell1 |
10/21/2013 | New Zealand Dollar | 845,000 | 700,909 | (6,953 | ) | ||||||||||||
Buy1 |
10/15/2013 | Philippine Peso | 30,500,000 | 700,595 | 1,855 | |||||||||||||
Buy1 |
10/16/2013 | Philippine Peso | 24,200,000 | 555,887 | 76 | |||||||||||||
Buy1 |
10/21/2013 | Philippine Peso | 24,200,000 | 555,912 | (7,534 | ) | ||||||||||||
Sell1 |
10/15/2013 | Philippine Peso | 30,500,000 | 700,595 | 1,847 | |||||||||||||
Sell1 |
10/21/2013 | Philippine Peso | 24,200,000 | 555,912 | 4,273 | |||||||||||||
Buy1 |
10/21/2013 | South African Rand | 5,440,000 | 540,349 | (18,038 | ) | ||||||||||||
Sell1 |
10/21/2013 | South African Rand | 5,440,000 | 540,349 | 12,177 | |||||||||||||
Sell1 |
10/28/2013 | South African Rand | 5,325,000 | 528,397 | 5,202 | |||||||||||||
Sell1 |
10/16/2013 | South Korean Won | 600,000,000 | 557,802 | (5,010 | ) | ||||||||||||
Buy1 |
10/21/2013 | Turkish Lira | 1,100,000 | 542,636 | (13,678 | ) | ||||||||||||
Sell1 |
10/21/2013 | Turkish Lira | 1,100,000 | 542,636 | 11,035 | |||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (48,005 | ) | ||||||||||||||
|
|
At September 30, 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) |
|||||||||||||
10/16/2013 |
British Pound | 699,845 | Euro | 833,000 | $ | (5,892 | ) | |||||||||
10/16/2013 |
Euro | 415,000 | British Pound | 348,792 | 3,145 | |||||||||||
10/16/2013 |
Euro | 418,000 | British Pound | 349,721 | 590 | |||||||||||
10/07/2013 |
Mexican Peso | 9,000,000 | Polish Zloty | 2,174,717 | 8,896 | |||||||||||
10/07/2013 |
Polish Zloty | 2,187,934 | Mexican Peso | 9,000,000 | (13,127 | ) | ||||||||||
|
|
|||||||||||||||
Total |
|
$ | (6,388 | ) | ||||||||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is Deutsche Bank AG. |
3 | Counterparty is Morgan Stanley Capital Services Inc. |
4 | 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 September 30, 2013, open long futures contracts were as follows:
Commodity Futures5 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Brent Crude Oil |
10/16/2013 | 3 | $ | 325,110 | $ | 82 | ||||||||||
Cotton |
12/06/2013 | 4 | 174,420 | 443 | ||||||||||||
Lead |
10/16/2013 | 8 | 419,450 | (1,800 | ) | |||||||||||
Lead |
12/18/2013 | 10 | 528,813 | 6,250 | ||||||||||||
Nickel |
10/16/2013 | 12 | 1,000,476 | (41,241 | ) | |||||||||||
Nickel |
12/18/2013 | 3 | 251,037 | 638 | ||||||||||||
Palladium |
12/27/2013 | 3 | 218,145 | 3,520 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | (32,108 | ) | ||||||||||||
|
|
At September 30, 2013, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
ASX SPI 200 |
12/19/2013 | 6 | $ | 730,881 | $ | 2,086 | ||||||||||
S&P CNX Nifty Futures Index |
10/31/2013 | 23 | 265,213 | 8,625 | ||||||||||||
UK Long Gilt |
12/27/2013 | 1 | 178,597 | (1,880 | ) | |||||||||||
10 Year U.S. Treasury Note |
12/19/2013 | 21 | 2,654,203 | (77,757 | ) | |||||||||||
30 Year U.S. Treasury Bond |
12/19/2013 | 5 | 666,875 | (19,447 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (88,373 | ) | ||||||||||||
|
|
|||||||||||||||
Commodity Futures5 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Gold |
12/27/2013 | 3 | $ | 398,100 | $ | (1,255 | ) | |||||||||
Lead |
10/16/2013 | 8 | 419,450 | 17,300 | ||||||||||||
Nickel |
10/16/2013 | 12 | 1,000,476 | 28,041 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 44,086 | |||||||||||||
|
|
5 | 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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Airlines |
$ | | $ | | $ | 53,075 | $ | 53,075 | ||||||||
All Other Non-Convertible Bonds* |
| 8,632,116 | | 8,632,116 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 8,632,116 | 53,075 | 8,685,191 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 412,013 | | 412,013 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 9,044,129 | 53,075 | 9,097,204 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 1,257,188 | | 1,257,188 | ||||||||||||
Common Stocks |
||||||||||||||||
Commercial Banks |
| 200,865 | | 200,865 | ||||||||||||
All Other Common Stocks* |
1,370,838 | | | 1,370,838 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
1,370,838 | 200,865 | | 1,571,703 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Exchange Traded Funds |
466,851 | | | 466,851 | ||||||||||||
Purchased Options* |
| 41,164 | | 41,164 | ||||||||||||
Purchased Swaptions* |
| 44,758 | | 44,758 | ||||||||||||
Short-Term Investments |
| 13,821,998 | | 13,821,998 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
1,837,689 | 24,410,102 | 53,075 | 26,300,866 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 134,136 | | 134,136 | ||||||||||||
Futures Contracts (unrealized appreciation) |
66,985 | | | 66,985 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,904,674 | $ | 24,544,238 | $ | 53,075 | $ | 26,501,987 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs |
||||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* |
$ | | $ | (15,867 | ) | $ | | $ | (15,867 | ) | ||||||
Written Swaptions* |
| (15,847 | ) | | (15,847 | ) | ||||||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
| (60,135 | ) | | (60,135 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (188,529 | ) | | (188,529 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(143,380 | ) | | | (143,380 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (143,380 | ) | $ | (280,378 | ) | $ | | $ | (423,758 | ) | |||||
|
|
|
|
|
|
|
|
* | 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 September 30, 2013:
Asset Valuation Inputs
Investments in |
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 September 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Airlines |
$ | | $ | | $ | | $ | (2,888 | ) | $ | | $ | | $ | 55,963 | $ | | $ | 53,075 | $ | (2,888 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $55,963 was transferred from Level 2 to Level 3 during the period ended September 30, 2013. At September 30, 2013, this security was valued using broker-dealer bid prices based on 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 (including credit default swaps).
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 September 30, 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 Funds may use futures contracts and interest rate swaptions to hedge against changes in interest rates and to manage duration without having to buy or sell portfolio securities. During the period ended September 30, 2013, the Fund engaged in futures contracts for hedging purposes and to manage duration and in interest rate swaptions to manage duration.
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 September 30, 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 September 30, 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 September 30, 2013, the Fund engaged in futures and option transactions for hedging purposes.
The following is a summary of derivative instruments for the Fund as of September 30, 2013:
Assets |
Investments at value1 |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter asset derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | 44,758 | $ | | $ | | $ | | $ | 44,758 | ||||||||||
Foreign exchange contracts |
41,164 | 134,136 | | | 175,300 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter asset derivatives |
$ | 85,922 | $ | 134,136 | $ | | $ | | $ | 220,058 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/cleared asset derivatives |
||||||||||||||||||||
Equity contracts |
$ | | $ | | $ | 10,711 | $ | | $ | 10,711 | ||||||||||
Commodity contracts |
| | 56,274 | | 56,274 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/cleared asset derivatives |
$ | | $ | | $ | 66,985 | $ | | $ | 66,985 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives |
$ | 85,922 | $ | 134,136 | $ | 66,985 | $ | | $ | 287,043 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
Options/swaptions written at value |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Swap Agreements at value |
Total | |||||||||||||||
Over-the-counter liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | (15,847 | ) | $ | | $ | | $ | | $ | (15,847 | ) | ||||||||
Foreign exchange contracts |
(15,867 | ) | (188,529 | ) | | | (204,396 | ) | ||||||||||||
Credit contracts |
| | | (28,945 | ) | (28,945 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter liability derivatives |
$ | (31,714 | ) | $ | (188,529 | ) | $ | | $ | (28,945 | ) | $ | (249,188 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/cleared liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | | $ | | $ | (99,084 | ) | $ | | $ | (99,084 | ) | ||||||||
Credit contracts |
| | | (41,410 | ) | (41,410 | ) | |||||||||||||
Commodity contracts |
| | (44,296 | ) | | (44,296 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/cleared liability derivatives |
$ | | $ | | $ | (143,380 | ) | $ | (41,410 | ) | $ | (184,790 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives |
$ | (31,714 | ) | $ | (188,529 | ) | $ | (143,380 | ) | $ | (70,355 | ) | $ | (433,978 | ) | |||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options/swaptions, at value. |
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.
Over-the-counter derivatives, including forward foreign currency contracts, options, interest rate swaptions, and swap agreements, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of September 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (15,374 | ) | $ | | |||
Deutsche Bank AG |
(9,903 | ) | | |||||
Morgan Stanley Capital Services Inc. |
(6,794 | ) | 75,000 | |||||
UBS AG |
(46,388 | ) | |
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of September 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash and 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 $1,026,060 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $855,331.
Industry Summary at September 30, 2013 (Unaudited)
Wireless |
6.1 | % | ||
Chemicals |
4.8 | |||
Life Insurance |
4.2 | |||
Government Owned - No Guarantee |
4.0 | |||
Automotive |
2.9 | |||
Media Non-Cable |
2.8 | |||
Wirelines |
2.7 | |||
Technology |
2.1 | |||
Other Investments, less than 2% each |
17.0 | |||
Short-Term Investments |
51.6 | |||
|
|
|||
Total Investments |
98.2 | |||
Other assets less liabilities (including open written options, written swaptions, swap agreements, forward foreign currency contracts and futures contracts) |
1.8 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2013 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 95.5% of Net Assets |
|||||||
Aerospace & Defense 1.1% |
| |||||||
56,250 | B/E Aerospace, Inc.(b) |
$ | 4,152,375 | |||||
|
|
|||||||
Auto Components 2.4% |
| |||||||
88,075 | Delphi Automotive PLC |
5,145,341 | ||||||
72,175 | Tenneco, Inc.(b) |
3,644,838 | ||||||
|
|
|||||||
8,790,179 | ||||||||
|
|
|||||||
Capital Markets 1.3% |
| |||||||
148,325 | SEI Investments Co. |
4,584,726 | ||||||
|
|
|||||||
Chemicals 4.1% |
| |||||||
37,500 | Airgas, Inc. |
3,976,875 | ||||||
81,825 | FMC Corp. |
5,868,489 | ||||||
78,975 | Rockwood Holdings, Inc. |
5,283,427 | ||||||
|
|
|||||||
15,128,791 | ||||||||
|
|
|||||||
Commercial Banks 6.8% |
| |||||||
103,425 | CIT Group, Inc.(b) |
5,044,037 | ||||||
293,800 | Fifth Third Bancorp |
5,300,152 | ||||||
495,525 | First Niagara Financial Group, Inc. |
5,138,594 | ||||||
638,725 | Huntington Bancshares, Inc. |
5,275,868 | ||||||
489,275 | Regions Financial Corp. |
4,530,687 | ||||||
|
|
|||||||
25,289,338 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.9% |
| |||||||
117,050 | KAR Auction Services, Inc. |
3,301,981 | ||||||
|
|
|||||||
Computers & Peripherals 2.3% |
| |||||||
217,075 | NCR Corp.(b) |
8,598,341 | ||||||
|
|
|||||||
Construction & Engineering 1.4% |
| |||||||
190,375 | Quanta Services, Inc.(b) |
5,237,216 | ||||||
|
|
|||||||
Containers & Packaging 4.0% |
| |||||||
172,750 | Crown Holdings, Inc.(b) |
7,303,870 | ||||||
151,150 | Owens-Illinois, Inc.(b) |
4,537,523 | ||||||
52,275 | Packaging Corp. of America |
2,984,380 | ||||||
|
|
|||||||
14,825,773 | ||||||||
|
|
|||||||
Distributors 0.9% |
| |||||||
102,275 | LKQ Corp.(b) |
3,258,482 | ||||||
|
|
|||||||
Energy Equipment & Services 3.8% |
| |||||||
107,400 | Atwood Oceanics, Inc.(b) |
5,911,296 | ||||||
45,450 | Helmerich & Payne, Inc. |
3,133,777 | ||||||
200,025 | Superior Energy Services, Inc.(b) |
5,008,626 | ||||||
|
|
|||||||
14,053,699 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.6% |
| |||||||
1,259,250 | Rite Aid Corp.(b) |
5,994,030 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Food Products 1.1% |
| |||||||
63,650 | Ingredion, Inc. |
$ | 4,211,721 | |||||
|
|
|||||||
Health Care Providers & Services 2.0% |
| |||||||
174,450 | HCA Holdings, Inc. |
7,457,737 | ||||||
|
|
|||||||
Health Care Technology 1.3% |
| |||||||
188,100 | MedAssets, Inc.(b) |
4,781,502 | ||||||
|
|
|||||||
Household Durables 3.1% |
| |||||||
102,275 | Harman International Industries, Inc. |
6,773,673 | ||||||
127,850 | Lennar Corp., Class A |
4,525,890 | ||||||
|
|
|||||||
11,299,563 | ||||||||
|
|
|||||||
Household Products 0.5% |
| |||||||
28,975 | Spectrum Brands Holdings, Inc. |
1,907,714 | ||||||
|
|
|||||||
Insurance 8.3% |
| |||||||
107,400 | Endurance Specialty Holdings Ltd. |
5,769,528 | ||||||
152,400 | First American Financial Corp. |
3,710,940 | ||||||
208,550 | Hartford Financial Services Group, Inc. (The) |
6,490,076 | ||||||
75,575 | Reinsurance Group of America, Inc., Class A |
5,062,769 | ||||||
49,450 | RenaissanceRe Holdings Ltd. |
4,476,709 | ||||||
136,375 | Validus Holdings Ltd. |
5,043,147 | ||||||
|
|
|||||||
30,553,169 | ||||||||
|
|
|||||||
Internet Software & Services 1.5% |
| |||||||
103,425 | IAC/InterActiveCorp |
5,654,245 | ||||||
|
|
|||||||
IT Services 3.8% |
| |||||||
57,400 | Fiserv, Inc.(b) |
5,800,270 | ||||||
102,275 | Global Payments, Inc. |
5,224,207 | ||||||
67,050 | MAXIMUS, Inc. |
3,019,932 | ||||||
|
|
|||||||
14,044,409 | ||||||||
|
|
|||||||
Machinery 5.7% |
| |||||||
92,625 | AGCO Corp. |
5,596,402 | ||||||
52,275 | Flowserve Corp. |
3,261,437 | ||||||
92,050 | Navistar International Corp.(b) |
3,357,984 | ||||||
77,850 | Pentair Ltd. (Registered) |
5,055,579 | ||||||
36,375 | Snap-on, Inc. |
3,619,313 | ||||||
|
|
|||||||
20,890,715 | ||||||||
|
|
|||||||
Media 1.6% |
| |||||||
85,250 | AMC Networks, Inc., Class A(b) |
5,837,920 | ||||||
|
|
|||||||
Metals & Mining 4.9% |
| |||||||
111,950 | Carpenter Technology Corp. |
6,505,415 | ||||||
316,050 | Constellium NV, Class A(b) |
6,131,370 | ||||||
75,575 | Reliance Steel & Aluminum Co. |
5,537,380 | ||||||
|
|
|||||||
18,174,165 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.0% |
| |||||||
81,825 | Noble Energy, Inc. |
5,483,093 | ||||||
29,550 | Pioneer Natural Resources Co. |
5,579,040 | ||||||
|
|
|||||||
11,062,133 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Personal Products 1.3% |
| |||||||
131,825 | Elizabeth Arden, Inc.(b) |
$ | 4,866,979 | |||||
|
|
|||||||
Pharmaceuticals 4.0% |
| |||||||
62,561 | Valeant Pharmaceuticals International, Inc.(b) |
6,526,989 | ||||||
365,950 | Warner Chilcott PLC, Class A |
8,361,958 | ||||||
|
|
|||||||
14,888,947 | ||||||||
|
|
|||||||
Professional Services 0.9% |
| |||||||
30,675 | Towers Watson & Co., Class A |
3,280,998 | ||||||
|
|
|||||||
Road & Rail 3.0% |
| |||||||
106,275 | Con-way, Inc. |
4,579,390 | ||||||
297,350 | Hertz Global Holdings, Inc.(b) |
6,589,276 | ||||||
|
|
|||||||
11,168,666 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.4% |
| |||||||
132,975 | Avago Technologies Ltd. |
5,733,882 | ||||||
276,750 | Skyworks Solutions, Inc.(b) |
6,874,470 | ||||||
|
|
|||||||
12,608,352 | ||||||||
|
|
|||||||
Software 4.3% |
| |||||||
93,750 | Check Point Software Technologies Ltd.(b) |
5,302,500 | ||||||
264,250 | Nuance Communications, Inc.(b) |
4,940,154 | ||||||
295,500 | Rovi Corp.(b) |
5,664,735 | ||||||
|
|
|||||||
15,907,389 | ||||||||
|
|
|||||||
Specialty Retail 5.3% |
| |||||||
126,725 | Abercrombie & Fitch Co., Class A |
4,482,263 | ||||||
134,100 | GNC Holdings, Inc., Class A |
7,325,883 | ||||||
119,325 | Rent-A-Center, Inc. |
4,546,283 | ||||||
46,025 | Signet Jewelers Ltd. |
3,297,691 | ||||||
|
|
|||||||
19,652,120 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.3% |
| |||||||
41,475 | PVH Corp. |
4,922,668 | ||||||
|
|
|||||||
Trading Companies & Distributors 4.6% |
| |||||||
192,075 | MRC Global, Inc.(b) |
5,147,610 | ||||||
109,675 | United Rentals, Inc.(b) |
6,392,955 | ||||||
70,475 | WESCO International, Inc.(b) |
5,393,452 | ||||||
|
|
|||||||
16,934,017 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $288,775,950) |
353,320,060 | |||||||
|
|
|||||||
|
Closed End Investment Companies 1.7% |
|||||||
350,025 | Ares Capital Corp. (Identified Cost $5,741,200) |
6,051,932 | ||||||
|
|
|||||||
Principal Amount |
||||||||
|
Short-Term Investments 2.1% |
|||||||
$7,855,022 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2013 at 0.000% to be repurchased at $7,855,022 on 10/01/2013 collateralized by $8,015,000 Federal Home Loan Bank, 0.120% due 03/28/2014 valued at $8,015,000 including accrued interest(c) (Identified Cost $7,855,022) |
7,855,022 | ||||||
|
|
|||||||
Total Investments 99.3% (Identified Cost $302,372,172)(a) |
367,227,014 | |||||||
Other assets less liabilities 0.7% |
2,646,243 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 369,873,257 | ||||||
|
|
() | 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 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 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 September 30, 2013, the net unrealized appreciation on investments based on a cost of $302,372,172 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 |
$ | 68,063,569 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(3,208,727 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 64,854,842 | ||
|
|
(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. |
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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices 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 3 - prices 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 September 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 353,320,060 | $ | | $ | | $ | 353,320,060 | ||||||||
Closed End Investment Companies |
6,051,932 | | | 6,051,932 | ||||||||||||
Short-Term Investments |
| 7,855,022 | | 7,855,022 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 359,371,992 | $ | 7,855,022 | $ | | $ | 367,227,014 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2013, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2013 (Unaudited)
Insurance |
8.3 | % | ||
Commercial Banks |
6.8 | |||
Machinery |
5.7 | |||
Specialty Retail |
5.3 | |||
Metals & Mining |
4.9 | |||
Trading Companies & Distributors |
4.6 | |||
Software |
4.3 | |||
Chemicals |
4.1 | |||
Pharmaceuticals |
4.0 | |||
Containers & Packaging |
4.0 | |||
Energy Equipment & Services |
3.8 | |||
IT Services |
3.8 | |||
Semiconductors & Semiconductor Equipment |
3.4 | |||
Household Durables |
3.1 | |||
Road & Rail |
3.0 | |||
Oil, Gas & Consumable Fuels |
3.0 | |||
Auto Components |
2.4 | |||
Computers & Peripherals |
2.3 | |||
Health Care Providers & Services |
2.0 | |||
Other Investments, less than 2% each |
18.4 | |||
Short-Term Investments |
2.1 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
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: | November 21, 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: | November 21, 2013 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | November 21, 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: November 21, 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: November 21, 2013
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |