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, 2014
ITEM 1 SCHEDULE OF INVESTMENTS
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
ASG Global Alternatives Fund
Principal |
Description |
Value () | ||||||
|
Short-Term Investments 92.4% of Net Assets |
|||||||
Certificates of Deposit 80.1% |
||||||||
$59,100,000 | Canadian Imperial Bank of Commerce, 0.010%, 10/01/2014 |
$ | 59,100,000 | |||||
15,000,000 | BNP Paribas, 0.010%, 10/01/2014 |
15,000,000 | ||||||
10,000,000 | National Bank of Kuwait, 0.050%, 10/01/2014 |
10,000,000 | ||||||
75,000,000 | Abbey National, 0.080%, 10/01/2014 |
75,000,000 | ||||||
45,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014 |
45,000,000 | ||||||
50,000,000 | Mizuho Corporate Bank, 0.210%, 10/02/2014 |
50,000,100 | ||||||
100,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014 |
100,000,000 | ||||||
25,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.080%, 10/07/2014 |
25,000,000 | ||||||
95,000,000 | Oversea-Chinese Banking Corp., 0.190%, 10/08/2014 |
95,001,520 | ||||||
99,650,000 | Toronto Dominion Bank, 0.250%, 10/10/2014 |
99,654,385 | ||||||
30,000,000 | Oversea-Chinese Banking Corp., 0.180%, 10/14/2014 |
30,000,325 | ||||||
37,200,000 | Agricultural Bank of China, 0.380%, 10/14/2014 |
37,200,000 | ||||||
50,000,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014 |
50,000,650 | ||||||
50,000,000 | Banco Del Estado de Chile, 0.200%, 10/20/2014 |
50,001,100 | ||||||
40,000,000 | China Construction Bank Corp. (NY), 0.350%, 10/22/2014 |
40,000,116 | ||||||
45,000,000 | National Australia Bank, 0.224%, 10/23/2014(b)(c) |
45,001,215 | ||||||
125,000,000 | Credit Agricole, 0.110%, 11/03/2014 |
125,000,000 | ||||||
75,000,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014(b) |
75,012,300 | ||||||
30,000,000 | Sumitomo Mitsui Bank (NY), 0.210%, 11/10/2014 |
30,001,020 | ||||||
49,550,000 | Banco Del Estado de Chile, 0.233%, 11/10/2014(c) |
49,548,959 | ||||||
40,000,000 | Mizuho Corporate Bank, 0.190%, 11/12/2014 |
40,000,480 | ||||||
100,000,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014 |
100,020,300 | ||||||
120,000,000 | National Bank of Kuwait, 0.280%, 11/13/2014 |
120,013,200 | ||||||
35,000,000 | Mizuho Corporate Bank, 0.190%, 11/25/2014 |
35,000,560 | ||||||
50,000,000 | Standard Chartered Bank (NY), 0.190%, 12/02/2014 |
50,000,850 | ||||||
70,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(b) |
70,017,850 |
Principal |
Description |
Value () | ||||||
Certificates of Deposit continued | ||||||||
$100,000,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(b) |
$ | 100,011,800 | |||||
50,000,000 | DNB Bank ASA, 0.180%, 1/05/2015 |
49,997,300 | ||||||
25,000,000 | Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015 |
24,999,325 | ||||||
25,000,000 | Bank of Montreal (IL), 0.180%, 1/08/2015 |
24,999,300 | ||||||
70,000,000 | Norinchukin Bank, 0.260%, 1/08/2015(d) |
70,003,850 | ||||||
25,000,000 | Toronto Dominion Bank, 0.210%, 1/16/2015 |
25,005,250 | ||||||
25,000,000 | Banco Del Estado de Chile, 0.240%, 1/23/2015 |
25,001,600 | ||||||
50,000,000 | Societe Generale S.A., 0.284%, 2/02/2015(c)(e) |
49,997,000 | ||||||
20,000,000 | Bank of Nova Scotia (TX), 0.250%, 2/17/2015 |
20,003,100 | ||||||
75,200,000 | Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015 |
75,203,083 | ||||||
50,000,000 | Rabobank Nederland, 0.220%, 4/01/2015 |
49,992,400 | ||||||
50,000,000 | Rabobank Nederland, 0.284%, 6/15/2015(c) |
49,992,700 | ||||||
120,000,000 | Dexia Credit Local, 0.281%, 7/01/2015(c) |
120,000,000 | ||||||
30,000,000 | Bank of Montreal (IL), 0.234%, 7/16/2015(c) |
29,995,380 | ||||||
40,000,000 | Westpac Banking Corp. (NY), 0.224%, 7/17/2015(c) |
39,993,840 | ||||||
25,000,000 | China Construction Bank Corp. (NY), 0.404%, 7/20/2015(c)(e) |
25,000,000 | ||||||
70,000,000 | Bank of Montreal (IL), 0.226%, 8/07/2015(b)(c) |
69,988,170 | ||||||
|
|
|||||||
2,370,759,028 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 6.8% |
||||||||
70,000,000 | General Electric Capital Corp., 0.120%, 10/03/2014(f) |
69,999,720 | ||||||
50,000,000 | ING (U.S.) Funding LLC, 0.200%, 10/03/2014(f) |
49,999,600 | ||||||
29,500,000 | Swedbank, 0.100%, 11/24/2014(f) |
29,493,864 | ||||||
50,000,000 | General Electric Capital Corp., 0.180%, 12/11/2014(f) |
49,991,400 | ||||||
|
|
|||||||
199,484,584 | ||||||||
|
|
|||||||
Commercial Paper 4.0% | ||||||||
50,000,000 | Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China), 0.400%, 10/02/2014(f) |
49,999,444 | ||||||
35,000,000 | Cofco Capital Corp., (Credit Support: Bank of China), 0.430%, 10/07/2014(f) |
34,997,492 | ||||||
33,750,000 | Vermont Economic Development Authority, (Credit Support: JPMorgan Chase), 0.200%, 11/06/2014 |
33,750,000 | ||||||
|
|
|||||||
118,746,936 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Other Notes 1.5% |
||||||||
$20,000,000 | JPMorgan Chase Bank NA, Series 1, 0.353%, 10/07/2015(c) |
$ | 20,000,920 | |||||
25,000,000 | Wells Fargo, 0.353%, 10/20/2015(c) |
25,004,550 | ||||||
|
|
|||||||
45,005,470 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $2,733,925,739) |
2,733,996,018 | |||||||
|
|
|||||||
Total Investments 92.4% (Identified Cost $2,733,925,739)(a) |
2,733,996,018 | |||||||
Other assets less liabilities 7.6% |
224,192,823 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 2,958,188,841 | ||||||
|
|
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, 2014, the value of the Funds investment in the Subsidiary was $39,593,491, representing 1.3% of the Funds net assets.
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
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 valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. |
Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service. |
Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively. |
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund. |
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, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,733,925,739 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 |
$ | 117,616 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(47,337 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 70,279 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b) | 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, 2014 is disclosed. |
(d) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(e) | Security payable on demand at par including accrued interest. |
(f) | 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, 2014, the Fund had the following open forward foreign currency contracts:
Contract |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy |
12/17/2014 | British Pound | 25,875,000 | $ | 41,919,373 | $ | 133,344 | |||||||||||
Sell |
12/17/2014 | Canadian Dollar | 315,300,000 | 281,021,052 | 5,415,587 | |||||||||||||
Sell |
12/17/2014 | Euro | 315,375,000 | 398,550,619 | 9,693,995 | |||||||||||||
Buy |
12/17/2014 | Japanese Yen | 12,675,000,000 | 115,648,377 | (2,563,622 | ) | ||||||||||||
Sell |
12/17/2014 | Japanese Yen | 23,225,000,000 | 211,907,972 | 6,048,855 | |||||||||||||
Buy |
12/17/2014 | Swedish Krona | 672,000,000 | 93,105,571 | (1,485,854 | ) | ||||||||||||
Sell |
12/17/2014 | Swiss Franc | 52,000,000 | 54,507,438 | 1,082,742 | |||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | 18,325,047 | |||||||||||||||
|
|
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 security or commodity group or index of securities, commodities, currencies or other assets 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, 2014, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
DAX |
12/19/2014 | 1,729 | $ | 518,137,231 | $ | (6,675,127 | ) | |||||||||
E-mini S&P 500® |
12/19/2014 | 9,302 | 914,154,050 | (10,069,418 | ) | |||||||||||
Eurodollar |
3/16/2015 | 25,297 | 6,303,063,762 | 1,471,213 | ||||||||||||
FTSE 100 Index |
12/19/2014 | 2,844 | 304,549,953 | (6,837,144 | ) | |||||||||||
German Euro Bund |
12/08/2014 | 1,798 | 339,963,422 | 1,664,221 |
Financial Futures (continued) |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Hang Seng Index® |
10/30/2014 | 2,735 | $ | 401,892,503 | $ | (17,750,845 | ) | |||||||
TOPIX |
12/11/2014 | 2,026 | 245,041,167 | 6,798,942 | ||||||||||
UK Long Gilt |
12/29/2014 | 1,097 | 201,208,373 | 796,957 | ||||||||||
10 Year Japan Government Bond |
12/11/2014 | 183 | 243,343,697 | 333,713 | ||||||||||
10 Year U.S. Treasury Note |
12/19/2014 | 2,964 | 369,434,813 | (1,805,476 | ) | |||||||||
|
|
|||||||||||||
Total |
|
$ | (32,072,964 | ) | ||||||||||
|
|
|||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME |
12/17/2014 | 147 | $ | 7,196,569 | $ | (569,258 | ) | |||||||
Brent Crude Oil |
11/13/2014 | 167 | 15,918,440 | | ||||||||||
Copper LME |
12/17/2014 | 1,026 | 171,175,275 | (9,413,550 | ) | |||||||||
Gas Oil |
11/12/2014 | 89 | 7,193,425 | (57,850 | ) | |||||||||
Gold |
12/29/2014 | 420 | 50,887,200 | (4,005,120 | ) | |||||||||
Natural Gas |
10/29/2014 | 197 | 8,118,370 | 287,620 | ||||||||||
New York Harbor ULSD |
10/31/2014 | 63 | 7,013,223 | (183,368 | ) | |||||||||
Nickel LME |
12/15/2014 | 61 | 5,967,264 | (1,300,398 | ) | |||||||||
WTI Crude Oil |
10/21/2014 | 248 | 22,607,680 | (657,200 | ) | |||||||||
Zinc LME |
12/15/2014 | 129 | 7,377,187 | (411,187 | ) | |||||||||
|
|
|||||||||||||
Total |
|
$ | (16,310,311 | ) | ||||||||||
|
|
2 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 2,733,996,018 | $ | | $ | 2,733,996,018 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 22,374,523 | | 22,374,523 | ||||||||||||
Futures Contracts (unrealized appreciation) |
11,352,666 | | | 11,352,666 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 11,352,666 | $ | 2,756,370,541 | $ | | $ | 2,767,723,207 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (4,049,476 | ) | $ | | $ | (4,049,476 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(59,735,941 | ) | | | (59,735,941 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (59,735,941 | ) | $ | (4,049,476 | ) | $ | | $ | (63,785,417 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2014, 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, 2014 the Fund used long contracts on U.S. and foreign equity market indices and long and short contracts on U.S. and foreign government bonds, short-term interest rates, 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, 2014:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | 22,374,523 | $ | | $ | 22,374,523 | ||||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 4,266,104 | $ | 4,266,104 | ||||||
Equity contracts |
| 6,798,942 | 6,798,942 | |||||||||
Commodity contracts |
| 287,620 | 287,620 | |||||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
$ | | $ | 11,352,666 | $ | 11,352,666 | ||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 22,374,523 | $ | 11,352,666 | $ | 33,727,189 | ||||||
|
|
|
|
|
|
|||||||
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Total | |||||||||
Over-the-counter liability derivatives |
||||||||||||
Foreign exchange contracts |
$ | (4,049,476 | ) | $ | | $ | (4,049,476 | ) | ||||
|
|
|
|
|
|
|||||||
Exchange traded liability derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (1,805,476 | ) | $ | (1,805,476 | ) | ||||
Equity contracts |
| (41,332,534 | ) | (41,332,534 | ) | |||||||
Commodity contracts |
| (16,597,931 | ) | (16,597,931 | ) | |||||||
|
|
|
|
|
|
|||||||
Total exchange traded liability derivatives |
$ | | $ | (59,735,941 | ) | $ | (59,735,941 | ) | ||||
|
|
|
|
|
|
|||||||
Total liability derivatives |
$ | (4,049,476 | ) | $ | (59,735,941 | ) | $ | (63,785,417 | ) | |||
|
|
|
|
|
|
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. 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 NAV of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 22,374,523 | $ | 18,325,047 | ||||
Collateral pledged to UBS AG |
6,748,496 | 6,748,496 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
29,123,019 | 25,073,543 | ||||||
|
|
|
|
|||||
Exchange traded counterparty credit risk |
||||||||
Futures contracts |
11,352,666 | 11,352,666 | ||||||
Margin with brokers |
234,416,405 | 234,416,405 | ||||||
|
|
|
|
|||||
Total exchange traded counterparty credit risk |
245,769,071 | 245,769,071 | ||||||
|
|
|
|
|||||
Total counterparty credit risk |
$ | 274,892,090 | $ | 270,842,614 | ||||
|
|
|
|
Investment Summary at September 30, 2014 (Unaudited)
Certificates of Deposit |
80.1 | % | ||
Financial Company Commercial Paper |
6.8 | |||
Commercial Paper |
4.0 | |||
Other Notes |
1.5 | |||
|
|
|||
Total Investments |
92.4 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
7.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
ASG Managed Futures Strategy Fund
Principal |
Description |
Value () | ||||||
|
Short-Term Investments 89.0% of Net Assets |
| ||||||
Certificates of Deposit 76.2% | ||||||||
$ | 50,000,000 | BNP Paribas, 0.010%, 10/01/2014 |
$ | 50,000,000 | ||||
7,900,000 | Canadian Imperial Bank of Commerce, 0.010%, 10/01/2014 |
7,900,000 | ||||||
10,000,000 | National Bank of Kuwait, 0.050%, 10/01/2014 |
10,000,000 | ||||||
5,000,000 | Sumitomo Mitsui Bank (NY), 0.060%, 10/02/2014 |
5,000,000 | ||||||
25,000,000 | Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014 |
25,000,000 | ||||||
5,000,000 | Mizuho Corporate Bank, 0.210%, 10/02/2014 |
5,000,010 | ||||||
50,000,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014 |
50,000,000 | ||||||
15,000,000 | Oversea-Chinese Banking Corp., 0.190%, 10/08/2014 |
15,000,240 | ||||||
25,000,000 | Toronto Dominion Bank, 0.250%, 10/10/2014(b) |
25,001,100 | ||||||
30,000,000 | Oversea-Chinese Banking Corp., 0.180%, 10/14/2014 |
30,000,325 | ||||||
15,000,000 | Agricultural Bank of China, 0.380%, 10/14/2014 |
15,000,000 | ||||||
25,000,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014 |
25,000,325 | ||||||
15,000,000 | Banco Del Estado de Chile, 0.200%, 10/20/2014 |
15,000,330 | ||||||
20,000,000 | China Construction Bank Corp. (NY), 0.350%, 10/22/2014 |
20,000,058 | ||||||
50,000,000 | Credit Agricole, 0.110%, 11/03/2014 |
50,000,000 | ||||||
30,000,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014(c) |
30,004,920 | ||||||
25,000,000 | Mizuho Corporate Bank, 0.190%, 11/12/2014 |
25,000,300 | ||||||
30,000,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014 |
30,006,090 | ||||||
40,000,000 | National Bank of Kuwait, 0.280%, 11/13/2014 |
40,004,400 | ||||||
15,000,000 | Mizuho Corporate Bank, 0.190%, 11/25/2014 |
15,000,240 | ||||||
30,000,000 | Standard Chartered Bank (NY), 0.190%, 12/02/2014 |
30,000,510 | ||||||
25,000,000 | Sumitomo Mitsui Bank (NY), 0.360%, 12/05/2014(c) |
25,006,375 | ||||||
35,000,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014(c) |
35,004,130 | ||||||
50,000,000 | DNB Bank ASA, 0.180%, 1/05/2015 |
49,997,300 | ||||||
20,000,000 | Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015 |
19,999,460 | ||||||
15,000,000 | Bank of Montreal (IL), 0.180%, 1/08/2015 |
14,999,580 |
Principal |
Description |
Value () | ||||||
Certificates of Deposit continued | ||||||||
$ | 40,000,000 | Norinchukin Bank, 0.260%, 1/08/2015(c) |
$ | 40,002,200 | ||||
20,000,000 | Toronto Dominion Bank, 0.210%, 1/16/2015 |
20,004,200 | ||||||
30,000,000 | Banco Del Estado de Chile, 0.240%, 1/23/2015 |
30,001,920 | ||||||
30,500,000 | Societe Generale S.A., 0.284%, 2/02/2015(b)(d)(e) |
30,498,170 | ||||||
10,000,000 | Bank of Nova Scotia (TX), 0.250%, 2/17/2015 |
10,001,550 | ||||||
45,000,000 | Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015 |
45,001,845 | ||||||
45,000,000 | Rabobank Nederland, 0.220%, 4/01/2015 |
44,993,160 | ||||||
5,000,000 | Rabobank Nederland, 0.284%, 6/15/2015(d) |
4,999,270 | ||||||
35,000,000 | Dexia Credit Local, 0.281%, 7/01/2015(d) |
35,000,000 | ||||||
20,000,000 | Bank of Montreal (IL), 0.234%, 7/16/2015(d) |
19,996,920 | ||||||
10,000,000 | Westpac Banking Corp. (NY), 0.224%, 7/17/2015(d) |
9,998,460 | ||||||
15,000,000 | China Construction Bank Corp. (NY), 0.404%, 7/20/2015(d)(e) |
15,000,000 | ||||||
15,000,000 | Bank of Montreal (IL), 0.226%, 8/07/2015(d) |
14,997,465 | ||||||
|
|
|||||||
983,420,853 | ||||||||
|
|
|||||||
Financial Company Commercial Paper 8.3% | ||||||||
5,000,000 | General Electric Capital Corp., 0.120%, 10/03/2014(f) |
4,999,980 | ||||||
40,000,000 | ING (U.S.) Funding LLC, 0.200%, 10/03/2014(f) |
39,999,680 | ||||||
6,700,000 | ICICI Bank LTD, (Credit Support: Wells Fargo), 0.200%, 11/03/2014(f) |
6,699,022 | ||||||
20,000,000 | Swedbank, 0.100%, 11/24/2014(f) |
19,995,840 | ||||||
35,000,000 | General Electric Capital Corp., 0.180%, 12/11/2014(f) |
34,993,980 | ||||||
|
|
|||||||
106,688,502 | ||||||||
|
|
|||||||
Commercial Paper 3.0% | ||||||||
39,000,000 | Cofco Capital Corp., (Credit Support: Bank of China), 0.430%, 10/09/2014(f) |
38,996,273 | ||||||
|
|
|||||||
38,996,273 | ||||||||
|
|
|||||||
Other Notes 1.5% | ||||||||
5,000,000 | JPMorgan Chase Bank NA, Series 1, 0.353%, 10/07/2015(d) |
5,000,230 | ||||||
15,000,000 | Wells Fargo, 0.353%, 10/20/2015(d) |
15,002,730 | ||||||
|
|
|||||||
20,002,960 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $1,149,080,407) |
1,149,108,588 | |||||||
|
|
Description |
Value () | |||||
Total Investments 89.0% (Identified Cost $1,149,080,407)(a) |
$ | 1,149,108,588 | ||||
Other assets less liabilities 11.0% | 141,326,705 | |||||
|
|
|||||
Net Assets 100.0% | $ | 1,290,435,293 | ||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the Subsidiary). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2014, the value of the Funds investment in the Subsidiary was $48,739,337, representing 3.8% of the Funds net assets.
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
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 valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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, 2014, the net unrealized appreciation on short-term investments based on a cost of $1,149,080,407 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 |
$ | 49,556 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(21,375 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 28,181 | ||
|
|
Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.
(b) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(c) | A portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(d) | Variable rate security. Rate as of September 30, 2014 is disclosed. |
(e) | Security payable on demand at par including accrued interest. |
(f) | 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, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy | 12/17/2014 | Australian Dollar | 9,600,000 | $ | 8,359,922 | $ | (365,057 | ) | ||||||||||
Sell | 12/17/2014 | Australian Dollar | 24,700,000 | 21,509,383 | 497,386 | |||||||||||||
Sell | 12/17/2014 | Australian Dollar | 18,100,000 | 15,761,937 | (32,530 | ) | ||||||||||||
Sell | 12/17/2014 | British Pound | 1,625,000 | 2,632,618 | (8,374 | ) | ||||||||||||
Sell | 12/17/2014 | Canadian Dollar | 26,100,000 | 23,262,447 | 448,293 | |||||||||||||
Sell | 12/17/2014 | Euro | 65,625,000 | 82,932,650 | 1,980,982 | |||||||||||||
Sell | 12/17/2014 | Japanese Yen | 15,375,000,000 | 140,283,534 | 3,011,471 | |||||||||||||
Sell | 12/17/2014 | New Zealand Dollar | 24,700,000 | 19,138,014 | 883,391 | |||||||||||||
Sell | 12/17/2014 | New Zealand Dollar | 25,000,000 | 19,370,459 | (128,309 | ) | ||||||||||||
Sell | 12/17/2014 | Norwegian Krone | 326,000,000 | 50,605,597 | 568,150 | |||||||||||||
Buy | 12/17/2014 | Singapore Dollar | 64,875,000 | 50,852,838 | (414,766 | ) | ||||||||||||
Sell | 12/17/2014 | Singapore Dollar | 66,000,000 | 51,734,679 | 463,163 | |||||||||||||
Sell | 12/17/2014 | South African Rand | 378,000,000 | 33,071,599 | 912,922 | |||||||||||||
Sell | 12/17/2014 | Swedish Krona | 412,000,000 | 57,082,582 | 910,970 | |||||||||||||
Sell | 12/17/2014 | Swiss Franc | 23,500,000 | 24,633,169 | 173,156 | |||||||||||||
Sell | 12/17/2014 | Turkish Lira | 66,900,000 | 28,824,776 | 554,583 | |||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | 9,455,431 | |||||||||||||||
|
|
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. 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 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, 2014, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
AEX-Index® |
10/17/2014 | 488 | $ | 51,947,548 | $ | 554,732 | ||||||||||
ASX SPI 200 |
12/18/2014 | 393 | 45,445,848 | (1,548,410 | ) | |||||||||||
CAC 40® |
10/17/2014 | 421 | 23,471,191 | (141,026 | ) | |||||||||||
DAX |
12/19/2014 | 49 | 14,684,051 | (188,763 | ) | |||||||||||
E-mini Dow |
12/19/2014 | 685 | 58,105,125 | (30,825 | ) | |||||||||||
E-mini NASDAQ 100 |
12/19/2014 | 826 | 66,819,270 | (638,213 | ) | |||||||||||
E-mini S&P 500® |
12/19/2014 | 594 | 58,375,350 | (643,005 | ) | |||||||||||
Euribor |
3/16/2015 | 5,259 | 1,659,433,187 | 1,577,566 | ||||||||||||
Euro Schatz |
12/08/2014 | 4,114 | 576,803,030 | 467,657 | ||||||||||||
EURO STOXX 50® |
12/19/2014 | 708 | 28,821,346 | 187,790 | ||||||||||||
Euro-BTP |
12/08/2014 | 891 | 146,839,317 | 1,297,620 | ||||||||||||
Euro-OAT |
12/08/2014 | 1,402 | 254,552,034 | 1,458,053 | ||||||||||||
Eurodollar |
3/16/2015 | 8,637 | 2,152,016,512 | 598,163 | ||||||||||||
FTSE 100 Index |
12/19/2014 | 333 | 35,659,330 | (798,968 | ) | |||||||||||
FTSE MIB |
12/19/2014 | 92 | 12,126,118 | 128,402 | ||||||||||||
FTSE/JSE Top 40 Index |
12/18/2014 | 743 | 29,326,201 | (1,101,434 | ) | |||||||||||
German Euro BOBL |
12/08/2014 | 2,341 | 378,234,003 | 1,300,993 | ||||||||||||
German Euro Bund |
12/08/2014 | 1,149 | 217,251,375 | 869,497 | ||||||||||||
Hang Seng Index® |
10/30/2014 | 309 | 45,405,771 | (1,932,870 | ) | |||||||||||
IBEX 35 |
10/17/2014 | 291 | 39,910,533 | 367,915 | ||||||||||||
Mini-Russell 2000 |
12/19/2014 | 161 | 17,655,260 | (1,141,935 | ) | |||||||||||
MSCI Singapore |
10/30/2014 | 653 | 37,807,149 | (174,038 | ) | |||||||||||
MSCI Taiwan Index |
10/30/2014 | 1,067 | 34,560,130 | (810,920 | ) | |||||||||||
Nikkei 225 |
12/11/2014 | 240 | 35,406,428 | 1,264,737 | ||||||||||||
OMXS30® |
10/17/2014 | 1,758 | 34,211,079 | 454,970 | ||||||||||||
S&P CNX Nifty Futures Index |
10/30/2014 | 2,664 | 42,562,728 | (1,116,216 | ) | |||||||||||
S&P/TSX 60 Index |
12/18/2014 | 355 | 54,596,366 | (1,869,539 | ) | |||||||||||
Sterling |
3/18/2015 | 6,257 | 1,257,354,763 | 320,349 | ||||||||||||
TOPIX |
12/11/2014 | 422 | 51,040,164 | 1,419,813 | ||||||||||||
UK Long Gilt |
12/29/2014 | 502 | 92,075,299 | 422,731 | ||||||||||||
Ultra Long U.S. Treasury Bond |
12/19/2014 | 449 | 68,472,500 | (529,688 | ) | |||||||||||
2 Year U.S. Treasury Note |
12/31/2014 | 3,400 | 744,068,750 | (12,845 | ) | |||||||||||
3 Year Australia Government Bond |
12/15/2014 | 1,865 | 178,521,270 | 492,385 |
Financial Futures (continued) |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
5 Year U.S. Treasury Note |
12/31/2014 | 1,098 | $ | 129,847,079 | $ | (248,765 | ) | |||||||||
10 Year Australia Government Bond |
12/15/2014 | 688 | 72,767,464 | 742,028 | ||||||||||||
10 Year Canada Government Bond |
12/18/2014 | 988 | 119,518,050 | (793,973 | ) | |||||||||||
10 Year Japan Government Bond |
12/11/2014 | 257 | 341,744,974 | 468,657 | ||||||||||||
10 Year U.S. Treasury Note |
12/19/2014 | 785 | 97,842,891 | (619,414 | ) | |||||||||||
30 Year U.S. Treasury Bond |
12/19/2014 | 539 | 74,331,469 | (644,273 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (591,062 | ) | ||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/17/2014 | 367 | $ | 17,966,944 | $ | (1,421,207 | ) | |||||||||
Cocoa |
12/15/2014 | 448 | 14,784,000 | 98,460 | ||||||||||||
Coffee |
12/18/2014 | 41 | 2,972,756 | 68,419 | ||||||||||||
Copper LME |
12/17/2014 | 11 | 1,835,213 | (100,925 | ) | |||||||||||
Live Cattle |
12/31/2014 | 381 | 24,913,590 | 716,900 | ||||||||||||
Nickel LME |
12/15/2014 | 82 | 8,021,568 | (1,748,076 | ) | |||||||||||
Zinc LME |
12/15/2014 | 419 | 23,961,562 | (1,335,562 | ) | |||||||||||
|
|
|||||||||||||||
Total |
|
$ | (3,721,991 | ) | ||||||||||||
|
|
At September 30, 2014, open short futures contracts were as follows:
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Aluminum LME |
12/17/2014 | 377 | $ | 18,456,506 | $ | 26,861 | ||||||||||
Brent Crude Oil |
11/13/2014 | 122 | 11,629,040 | | ||||||||||||
Copper High Grade |
12/29/2014 | 159 | 11,954,813 | 120,550 | ||||||||||||
Copper LME |
12/17/2014 | 11 | 1,835,212 | 45,540 | ||||||||||||
Corn |
12/12/2014 | 1,967 | 31,545,763 | 5,340,387 | ||||||||||||
Cotton |
12/08/2014 | 672 | 20,620,320 | 1,631,110 | ||||||||||||
Gas Oil |
11/12/2014 | 441 | 35,643,825 | 341,100 | ||||||||||||
Gasoline |
10/31/2014 | 174 | 17,811,788 | 517,944 | ||||||||||||
Gold |
12/29/2014 | 445 | 53,916,200 | 1,538,400 | ||||||||||||
Natural Gas |
10/29/2014 | 263 | 10,838,230 | (383,980 | ) | |||||||||||
New York Harbor ULSD |
10/31/2014 | 126 | 14,026,446 | 366,735 | ||||||||||||
Silver |
12/29/2014 | 185 | 15,777,725 | 1,472,125 | ||||||||||||
Soybean |
11/14/2014 | 1,113 | 50,822,363 | 3,494,837 | ||||||||||||
Soybean Meal |
12/12/2014 | 990 | 29,591,100 | 658,250 | ||||||||||||
Soybean Oil |
12/12/2014 | 1,561 | 30,317,742 | 2,424,408 | ||||||||||||
Sugar |
2/27/2015 | 1,540 | 28,372,960 | (1,342,398 | ) | |||||||||||
Wheat |
12/12/2014 | 1,340 | 32,009,250 | 3,021,825 | ||||||||||||
WTI Crude Oil |
10/21/2014 | 136 | 12,397,760 | 360,400 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 19,634,094 | |||||||||||||
|
|
2 | Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 1,149,108,588 | $ | | $ | 1,149,108,588 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 10,404,467 | | 10,404,467 | ||||||||||||
Futures Contracts (unrealized appreciation) |
36,638,309 | | | 36,638,309 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 36,638,309 | $ | 1,159,513,055 | $ | | $ | 1,196,151,364 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (949,036 | ) | $ | | $ | (949,036 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(21,317,268 | ) | | | (21,317,268 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (21,317,268 | ) | $ | (949,036 | ) | $ | | $ | (22,266,304 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2014, 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. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2014, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies, short-term interest rates and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices, to capture the exposures suggested by the quantitative investment models.
The following is a summary of derivative instruments for the Fund, as of September 30, 2014:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
Total | |||||||||
Over-the-counter asset derivatives |
||||||||||||
Foreign exchange contracts |
$ | 10,404,467 | $ | | $ | 10,404,467 | ||||||
|
|
|
|
|
|
|||||||
Exchange traded asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 10,015,699 | $ | 10,015,699 | ||||||
Equity contracts |
| 4,378,359 | 4,378,359 | |||||||||
Commodity contracts |
| 22,244,251 | 22,244,251 | |||||||||
|
|
|
|
|
|
|||||||
Total exchange traded asset derivatives |
$ | | $ | 36,638,309 | $ | 36,638,309 | ||||||
|
|
|
|
|
|
|||||||
Total asset derivatives |
$ | 10,404,467 | $ | 36,638,309 | $ | 47,042,776 | ||||||
|
|
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
Total | |||||||||
Over-the-counter liability derivatives |
||||||||||||
Foreign exchange contracts |
$ | (949,036 | ) | $ | | $ | (949,036 | ) | ||||
|
|
|
|
|
|
|||||||
Exchange traded liability derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (2,848,958 | ) | $ | (2,848,958 | ) | ||||
Equity contracts |
| (12,136,162 | ) | (12,136,162 | ) | |||||||
Commodity contracts |
| (6,332,148 | ) | (6,332,148 | ) | |||||||
|
|
|
|
|
|
|||||||
Total exchange traded liability derivatives |
$ | | $ | (21,317,268 | ) | $ | (21,317,268 | ) | ||||
|
|
|
|
|
|
|||||||
Total liability derivatives |
$ | (949,036 | ) | $ | (21,317,268 | ) | $ | (22,266,304 | ) | |||
|
|
|
|
|
|
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. 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 NAV of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 10,404,467 | $ | 9,455,431 | ||||
Collateral pledged to UBS AG |
10,298,540 | 10,298,540 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
20,703,007 | 19,753,971 | ||||||
|
|
|
|
|||||
Exchange traded counterparty credit risk |
||||||||
Futures contracts |
36,638,309 | 36,638,309 | ||||||
Margin with brokers |
97,589,194 | 97,589,194 | ||||||
|
|
|
|
|||||
Total exchange traded counterparty credit risk |
134,227,503 | 134,227,503 | ||||||
|
|
|
|
|||||
Total counterparty credit risk |
$ | 154,930,510 | $ | 153,981,474 | ||||
|
|
|
|
Investment Summary at September 30, 2014 (Unaudited)
Certificates of Deposit |
76.2 | % | ||
Financial Company Commercial Paper |
8.3 | |||
Commercial Paper |
3.0 | |||
Other Notes |
1.5 | |||
|
|
|||
Total Investments |
89.0 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
11.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
ASG Tactical U.S. Market Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 49.1% of Net Assets |
| ||||||
Aerospace & Defense 1.3% |
||||||||
514 | Boeing Co. (The) |
$ | 65,473 | |||||
1,869 | Honeywell International, Inc. |
174,041 | ||||||
764 | Lockheed Martin Corp. |
139,644 | ||||||
718 | Northrop Grumman Corp. |
94,604 | ||||||
979 | Rockwell Collins, Inc. |
76,852 | ||||||
828 | United Technologies Corp. |
87,437 | ||||||
|
|
|||||||
638,051 | ||||||||
|
|
|||||||
Air Freight & Logistics 0.3% |
||||||||
827 | FedEx Corp. |
133,519 | ||||||
|
|
|||||||
Airlines 0.2% |
||||||||
3,142 | Southwest Airlines Co. |
106,105 | ||||||
|
|
|||||||
Auto Components 0.2% |
||||||||
1,807 | Johnson Controls, Inc. |
79,508 | ||||||
|
|
|||||||
Automobiles 0.3% |
||||||||
8,684 | Ford Motor Co. |
128,436 | ||||||
|
|
|||||||
Banks 3.5% |
||||||||
14,514 | Bank of America Corp. |
247,464 | ||||||
6,025 | Citigroup, Inc. |
312,215 | ||||||
6,944 | JPMorgan Chase & Co. |
418,307 | ||||||
1,383 | PNC Financial Services Group, Inc. (The) |
118,357 | ||||||
4,410 | U.S. Bancorp |
184,470 | ||||||
8,618 | Wells Fargo & Co. |
447,016 | ||||||
|
|
|||||||
1,727,829 | ||||||||
|
|
|||||||
Beverages 1.5% |
||||||||
3,742 | Coca-Cola Co. (The) |
159,634 | ||||||
2,010 | Coca-Cola Enterprises, Inc. |
89,163 | ||||||
1,790 | Dr Pepper Snapple Group, Inc. |
115,115 | ||||||
4,102 | PepsiCo, Inc. |
381,855 | ||||||
|
|
|||||||
745,767 | ||||||||
|
|
|||||||
Biotechnology 2.1% |
||||||||
1,780 | Amgen, Inc. |
250,019 | ||||||
515 | Biogen Idec, Inc.(b) |
170,367 | ||||||
1,866 | Celgene Corp.(b) |
176,860 | ||||||
3,036 | Gilead Sciences, Inc.(b) |
323,182 | ||||||
358 | Regeneron Pharmaceuticals, Inc.(b) |
129,066 | ||||||
|
|
|||||||
1,049,494 | ||||||||
|
|
|||||||
Capital Markets 0.4% |
||||||||
3,500 | Bank of New York Mellon Corp. (The) |
135,555 | ||||||
1,865 | Invesco Ltd. |
73,630 | ||||||
|
|
|||||||
209,185 | ||||||||
|
|
|||||||
Chemicals 1.6% |
||||||||
490 | Air Products & Chemicals, Inc. |
63,788 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Chemicals continued |
||||||||
2,364 | Dow Chemical Co. (The) |
$ | 123,968 | |||||
1,676 | E.I. du Pont de Nemours & Co. |
120,270 | ||||||
508 | Ecolab, Inc. |
58,334 | ||||||
933 | LyondellBasell Industries NV, Class A |
101,380 | ||||||
879 | Monsanto Co. |
98,896 | ||||||
618 | Praxair, Inc. |
79,722 | ||||||
275 | Sherwin-Williams Co. (The) |
60,222 | ||||||
479 | Sigma-Aldrich Corp. |
65,149 | ||||||
|
|
|||||||
771,729 | ||||||||
|
|
|||||||
Commercial Services & Supplies 0.2% |
||||||||
513 | Stericycle, Inc.(b) |
59,795 | ||||||
1,158 | Tyco International Ltd. |
51,612 | ||||||
|
|
|||||||
111,407 | ||||||||
|
|
|||||||
Communications Equipment 0.9% |
||||||||
8,800 | Cisco Systems, Inc. |
221,496 | ||||||
3,301 | QUALCOMM, Inc. |
246,816 | ||||||
|
|
|||||||
468,312 | ||||||||
|
|
|||||||
Construction & Engineering 0.1% |
||||||||
1,454 | Quanta Services, Inc.(b) |
52,766 | ||||||
|
|
|||||||
Consumer Finance 0.3% |
||||||||
1,709 | American Express Co. |
149,606 | ||||||
|
|
|||||||
Containers & Packaging 0.2% |
||||||||
1,304 | MeadWestvaco Corp. |
53,386 | ||||||
1,305 | Sealed Air Corp. |
45,518 | ||||||
|
|
|||||||
98,904 | ||||||||
|
|
|||||||
Distributors 0.1% |
||||||||
743 | Genuine Parts Co. |
65,169 | ||||||
|
|
|||||||
Diversified Financial Services 1.1% |
||||||||
3,270 | Berkshire Hathaway, Inc., Class B(b) |
451,718 | ||||||
1,279 | McGraw Hill Financial, Inc. |
108,011 | ||||||
|
|
|||||||
559,729 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 1.1% |
||||||||
2,456 | CenturyLink, Inc. |
100,426 | ||||||
13,274 | Frontier Communications Corp. |
86,414 | ||||||
7,692 | Verizon Communications, Inc. |
384,523 | ||||||
|
|
|||||||
571,363 | ||||||||
|
|
|||||||
Electric Utilities 0.8% |
||||||||
1,514 | American Electric Power Co., Inc. |
79,046 | ||||||
1,583 | Duke Energy Corp. |
118,361 | ||||||
679 | NextEra Energy, Inc. |
63,745 | ||||||
814 | Northeast Utilities |
36,060 | ||||||
1,329 | PPL Corp. |
43,644 | ||||||
1,688 | Southern Co. (The) |
73,681 | ||||||
|
|
|||||||
414,537 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Electrical Equipment 0.2% |
||||||||
1,600 | Eaton Corp. PLC |
$ | 101,392 | |||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.4% |
||||||||
6,246 | Corning, Inc. |
120,798 | ||||||
1,860 | TE Connectivity Ltd. |
102,839 | ||||||
|
|
|||||||
223,637 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.9% |
||||||||
2,346 | Halliburton Co. |
151,341 | ||||||
1,112 | National Oilwell Varco, Inc. |
84,623 | ||||||
2,255 | Schlumberger Ltd. |
229,311 | ||||||
|
|
|||||||
465,275 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.1% |
||||||||
3,498 | CVS Health |
278,406 | ||||||
1,769 | Wal-Mart Stores, Inc. |
135,275 | ||||||
2,586 | Walgreen Co. |
153,272 | ||||||
|
|
|||||||
566,953 | ||||||||
|
|
|||||||
Food Products 0.9% |
||||||||
2,814 | Archer-Daniels-Midland Co. |
143,796 | ||||||
1,265 | Mead Johnson Nutrition Co. |
121,718 | ||||||
5,729 | Mondelez International, Inc., Class A |
196,304 | ||||||
|
|
|||||||
461,818 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 0.6% |
||||||||
508 | CR Bard, Inc. |
72,497 | ||||||
2,624 | Medtronic, Inc. |
162,557 | ||||||
1,388 | St. Jude Medical, Inc. |
83,460 | ||||||
|
|
|||||||
318,514 | ||||||||
|
|
|||||||
Health Care Providers & Services 0.5% |
||||||||
1,584 | DaVita HealthCare Partners, Inc.(b) |
115,854 | ||||||
720 | McKesson Corp. |
140,162 | ||||||
|
|
|||||||
256,016 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 0.4% |
||||||||
101 | Chipotle Mexican Grill, Inc.(b) |
67,326 | ||||||
397 | McDonalds Corp. |
37,639 | ||||||
843 | Starwood Hotels & Resorts Worldwide, Inc. |
70,146 | ||||||
|
|
|||||||
175,111 | ||||||||
|
|
|||||||
Household Durables 0.2% |
||||||||
1,215 | Garmin Ltd. |
63,168 | ||||||
809 | Lennar Corp., Class A |
31,413 | ||||||
|
|
|||||||
94,581 | ||||||||
|
|
|||||||
Household Products 0.6% |
||||||||
965 | Colgate-Palmolive Co. |
62,937 | ||||||
2,648 | Procter & Gamble Co. (The) |
221,744 | ||||||
|
|
|||||||
284,681 | ||||||||
|
|
|||||||
Industrial Conglomerates 1.3% |
||||||||
1,397 | 3M Co. |
197,927 | ||||||
1,729 | Danaher Corp. |
131,369 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Industrial Conglomerates continued |
||||||||
12,006 | General Electric Co. |
$ | 307,594 | |||||
|
|
|||||||
636,890 | ||||||||
|
|
|||||||
Insurance 1.6% |
||||||||
3,509 | American International Group, Inc. |
189,556 | ||||||
932 | Assurant, Inc. |
59,928 | ||||||
626 | Chubb Corp. (The) |
57,016 | ||||||
1,288 | Lincoln National Corp. |
69,011 | ||||||
1,848 | Marsh & McLennan Cos., Inc. |
96,724 | ||||||
2,355 | MetLife, Inc. |
126,511 | ||||||
1,415 | Principal Financial Group, Inc. |
74,245 | ||||||
1,065 | Torchmark Corp. |
55,774 | ||||||
2,256 | XL Group PLC |
74,831 | ||||||
|
|
|||||||
803,596 | ||||||||
|
|
|||||||
Internet & Catalog Retail 0.8% |
||||||||
703 | Amazon.com, Inc.(b) |
226,675 | ||||||
714 | Expedia, Inc. |
62,561 | ||||||
100 | Priceline Group, Inc. (The)(b) |
115,858 | ||||||
|
|
|||||||
405,094 | ||||||||
|
|
|||||||
Internet Software & Services 1.6% |
||||||||
2,976 | Facebook, Inc., Class A(b) |
235,223 | ||||||
458 | Google, Inc., Class A(b) |
269,492 | ||||||
460 | Google, Inc., Class C(b) |
265,585 | ||||||
|
|
|||||||
770,300 | ||||||||
|
|
|||||||
IT Services 0.8% |
||||||||
1,657 | International Business Machines Corp. |
314,549 | ||||||
1,496 | Paychex, Inc. |
66,123 | ||||||
|
|
|||||||
380,672 | ||||||||
|
|
|||||||
Machinery 0.7% |
||||||||
1,558 | Caterpillar, Inc. |
154,289 | ||||||
926 | Dover Corp. |
74,385 | ||||||
1,292 | Illinois Tool Works, Inc. |
109,071 | ||||||
|
|
|||||||
337,745 | ||||||||
|
|
|||||||
Media 2.0% |
||||||||
456 | CBS Corp., Class B |
24,396 | ||||||
4,604 | Comcast Corp., Class A |
247,603 | ||||||
1,240 | DIRECTV(b) |
107,285 | ||||||
678 | Time Warner Cable, Inc. |
97,286 | ||||||
1,536 | Time Warner, Inc. |
115,522 | ||||||
2 | Time, Inc.(b) |
47 | ||||||
4,196 | Twenty-First Century Fox, Inc., Class A |
143,881 | ||||||
2,858 | Walt Disney Co. (The) |
254,448 | ||||||
|
|
|||||||
990,468 | ||||||||
|
|
|||||||
Multi-Utilities 0.6% |
||||||||
1,829 | CMS Energy Corp. |
54,248 | ||||||
681 | Consolidated Edison, Inc. |
38,585 | ||||||
1,153 | Dominion Resources, Inc. |
79,661 | ||||||
1,716 | NiSource, Inc. |
70,322 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Multi-Utilities continued |
||||||||
1,585 | PG&E Corp. |
$ | 71,388 | |||||
|
|
|||||||
314,204 | ||||||||
|
|
|||||||
Multiline Retail 0.3% |
||||||||
1,301 | Macys, Inc. |
75,692 | ||||||
972 | Nordstrom, Inc. |
66,456 | ||||||
|
|
|||||||
142,148 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.9% |
||||||||
2,947 | Chevron Corp. |
351,636 | ||||||
2,330 | ConocoPhillips |
178,292 | ||||||
2,089 | CONSOL Energy, Inc. |
79,090 | ||||||
1,438 | EOG Resources, Inc. |
142,391 | ||||||
6,233 | Exxon Mobil Corp. |
586,214 | ||||||
913 | Hess Corp. |
86,114 | ||||||
2,766 | Kinder Morgan, Inc. |
106,048 | ||||||
1,010 | Marathon Petroleum Corp. |
85,517 | ||||||
1,406 | Murphy Oil Corp. |
80,015 | ||||||
1,607 | Phillips 66 |
130,665 | ||||||
125 | Pioneer Natural Resources Co. |
24,621 | ||||||
2,654 | Spectra Energy Corp. |
104,196 | ||||||
|
|
|||||||
1,954,799 | ||||||||
|
|
|||||||
Pharmaceuticals 3.6% |
||||||||
3,926 | AbbVie, Inc. |
226,766 | ||||||
769 | Actavis PLC(b) |
185,544 | ||||||
934 | Allergan, Inc. |
166,429 | ||||||
4,596 | Johnson & Johnson |
489,888 | ||||||
5,323 | Merck & Co., Inc. |
315,547 | ||||||
1,688 | Mylan, Inc.(b) |
76,787 | ||||||
10,373 | Pfizer, Inc. |
306,730 | ||||||
|
|
|||||||
1,767,691 | ||||||||
|
|
|||||||
Professional Services 0.2% |
||||||||
681 | Equifax, Inc. |
50,898 | ||||||
745 | Robert Half International, Inc. |
36,505 | ||||||
|
|
|||||||
87,403 | ||||||||
|
|
|||||||
REITs - Apartments 0.2% |
||||||||
582 | AvalonBay Communities, Inc. |
82,045 | ||||||
|
|
|||||||
REITs - Diversified 0.4% |
||||||||
1,183 | American Tower Corp. |
110,764 | ||||||
2,692 | Weyerhaeuser Co. |
85,767 | ||||||
|
|
|||||||
196,531 | ||||||||
|
|
|||||||
REITs - Storage 0.2% |
||||||||
519 | Public Storage |
86,071 | ||||||
|
|
|||||||
REITs - Warehouse/Industrials 0.2% |
||||||||
2,007 | ProLogis, Inc. |
75,664 | ||||||
|
|
|||||||
Road & Rail 0.7% |
||||||||
3,505 | CSX Corp. |
112,370 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Road & Rail continued |
||||||||
2,025 | Union Pacific Corp. |
$ | 219,551 | |||||
|
|
|||||||
331,921 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.4% |
||||||||
1,946 | Analog Devices, Inc. |
96,307 | ||||||
3,814 | Applied Materials, Inc. |
82,421 | ||||||
9,795 | Intel Corp. |
341,062 | ||||||
1,006 | Lam Research Corp. |
75,148 | ||||||
1,907 | Microchip Technology, Inc. |
90,068 | ||||||
|
|
|||||||
685,006 | ||||||||
|
|
|||||||
Software 1.9% |
||||||||
1,876 | Adobe Systems, Inc.(b) |
129,800 | ||||||
11,995 | Microsoft Corp. |
556,088 | ||||||
6,792 | Oracle Corp. |
259,998 | ||||||
|
|
|||||||
945,886 | ||||||||
|
|
|||||||
Specialty Retail 1.2% |
||||||||
127 | AutoZone, Inc.(b) |
64,727 | ||||||
2,551 | Home Depot, Inc. (The) |
234,029 | ||||||
2,431 | Lowes Cos., Inc. |
128,649 | ||||||
1,901 | TJX Cos., Inc. (The) |
112,482 | ||||||
979 | Tractor Supply Co. |
60,218 | ||||||
|
|
|||||||
600,105 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 2.5% |
||||||||
9,094 | Apple, Inc. |
916,220 | ||||||
5,164 | EMC Corp. |
151,099 | ||||||
5,161 | Hewlett-Packard Co. |
183,061 | ||||||
|
|
|||||||
1,250,380 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 0.4% |
||||||||
1,524 | NIKE, Inc., Class B |
135,941 | ||||||
702 | Under Armour, Inc., Class A(b) |
48,508 | ||||||
|
|
|||||||
184,449 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 0.1% |
||||||||
6,681 | Hudson City Bancorp, Inc. |
64,939 | ||||||
|
|
|||||||
Tobacco 0.5% |
||||||||
1,689 | Philip Morris International, Inc. |
140,863 | ||||||
1,946 | Reynolds American, Inc. |
114,814 | ||||||
|
|
|||||||
255,677 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $22,077,901) |
24,379,078 | |||||||
|
|
|||||||
|
Exchange Traded Funds 10.2% |
|||||||
25,720 | SPDR® S&P 500® ETF Trust (Identified Cost $4,790,422) |
5,067,354 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 36.9% |
|||||||
Certificates of Deposit 32.7% |
||||||||
$150,000 | Royal Bank of Canada, 0.010%, 10/01/2014 |
$ | 150,000 | |||||
850,000 | Landesbank Hessen Thueringen Girozentrale, 0.145%, 10/02/2014 (c) |
850,000 | ||||||
800,000 | Bank of Tokyo-Mitsubishi UFJ (NY), 0.150%, 10/03/2014 (c) |
800,000 | ||||||
600,000 | Oversea-Chinese Banking Corp., 0.190%, 10/08/2014 (c) |
600,010 | ||||||
350,000 | Toronto Dominion Bank, 0.250%, 10/10/2014 (c) |
350,015 | ||||||
800,000 | Agricultural Bank of China, 0.380%, 10/14/2014 (c) |
800,000 | ||||||
700,000 | Svenska Handelsbanken (NY), 0.170%, 10/16/2014 (c) |
700,009 | ||||||
700,000 | China Construction Bank Corp. (NY), 0.350%, 10/22/2014 (c) |
700,002 | ||||||
300,000 | National Australia Bank, 0.224%, 10/23/2014 (c)(d) |
300,008 | ||||||
800,000 | Credit Agricole, 0.110%, 11/03/2014 (c) |
800,000 | ||||||
700,000 | Westpac Banking Corp. (NY), 0.290%, 11/06/2014 (c) |
700,115 | ||||||
650,000 | Sumitomo Mitsui Bank (NY), 0.210%, 11/10/2014 (c) |
650,022 | ||||||
600,000 | Mizuho Corporate Bank, 0.190%, 11/12/2014 (c) |
600,007 | ||||||
400,000 | Bank of Nova Scotia (TX), 0.250%, 11/12/2014 (c) |
400,081 | ||||||
800,000 | National Bank of Kuwait, 0.280%, 11/13/2014 (c) |
800,088 | ||||||
250,000 | Mizuho Corporate Bank, 0.190%, 11/25/2014 (c) |
250,004 | ||||||
800,000 | Standard Chartered Bank (NY), 0.190%, 12/02/2014 (c) |
800,014 | ||||||
700,000 | Skandinaviska Enskilda Banken (NY), 0.240%, 12/10/2014 (c) |
700,083 | ||||||
800,000 | DNB Bank ASA, 0.180%, 1/05/2015 (c) |
799,957 | ||||||
200,000 | Sumitomo Mitsui Bank (NY), 0.230%, 1/05/2015 (c) |
199,995 | ||||||
800,000 | Norinchukin Bank, 0.260%, 1/08/2015 (c) |
800,044 | ||||||
300,000 | Toronto Dominion Bank, 0.210%, 1/16/2015 (c) |
300,063 | ||||||
800,000 | Banco Del Estado de Chile, 0.240%, 1/23/2015 (c) |
800,051 | ||||||
100,000 | Societe Generale S.A., 0.284%, 2/02/2015 (c)(d)(e) |
99,994 | ||||||
800,000 | Deutsche Zentral-Genossenschaftsbank, 0.310%, 2/25/2015 (c) |
800,033 | ||||||
300,000 | Rabobank Nederland, 0.220%, 4/01/2015 (c) |
299,954 | ||||||
500,000 | Rabobank Nederland, 0.284%, 6/15/2015 (c)(d) |
499,927 | ||||||
700,000 | Dexia Credit Local, 0.281%, 7/01/2015 (c)(d) |
700,000 | ||||||
|
|
|||||||
16,250,476 | ||||||||
|
|
Principal Amount |
Description |
Value () | ||||||
Financial Company Commercial Paper 4.2% |
||||||||
$700,000 | ING (U.S.) Funding LLC, 0.200%, 10/03/2014 (f) |
$ | 699,994 | |||||
150,000 | ING (U.S.) Funding LLC, 0.180%, 11/04/2014 (c)(f) |
149,975 | ||||||
500,000 | Swedbank, 0.100%, 11/24/2014 (c)(f) |
499,896 | ||||||
700,000 | General Electric Capital Corp., 0.180%, 12/11/2014 (c)(f) |
699,880 | ||||||
|
|
|||||||
2,049,745 | ||||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $18,299,705) |
18,300,221 | |||||||
|
|
|||||||
Total Investments 96.2% (Identified Cost $45,168,028)(a) |
47,746,653 | |||||||
Other assets less liabilities 3.8% |
1,911,771 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 49,658,424 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations 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 valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Broker-dealer bid prices may 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 the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2014, the net unrealized appreciation on investments based on a cost of $45,168,028 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 |
$ | 2,705,346 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(126,721 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 2,578,625 | ||
|
|
(b) | Non-income producing security. |
(c) | All of this security has been designated to cover the Funds obligations under open futures contracts. |
(d) | Variable rate security. Rate as of September 30, 2014 is disclosed. |
(e) | Security payable on demand at par including accrued interest. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ETF REITs SPDR |
Exchange Traded Fund Real Estate Investment Trusts Standard & Poors Depositary Receipt |
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, 2014, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/19/2014 | 359 | $ | 35,280,725 | $ | (395,035 | ) | |||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 24,379,078 | $ | | $ | | $ | 24,379,078 | ||||||||
Exchange Traded Funds |
5,067,354 | | | 5,067,354 | ||||||||||||
Short-Term Investments* |
| 18,300,221 | | 18,300,221 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 29,446,432 | $ | 18,300,221 | $ | | $ | 47,746,653 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (395,035 | ) | $ | | $ | | $ | (395,035 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2014 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. During the period ended September 30, 2014, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2014:
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange traded liability derivatives |
||||
Equity contracts |
$ | (395,035 | ) | |
|
|
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. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:
Maximum Amount of Loss - Gross |
||||
Exchange traded counterparty credit risk |
||||
Margin with brokers |
$ | 2,024,895 |
Industry Summary at September 30, 2014 (Unaudited)
Exchange Traded Funds |
10.2 | % | ||
Oil, Gas & Consumable Fuels |
3.9 | |||
Pharmaceuticals |
3.6 | |||
Banks |
3.5 | |||
Technology Hardware, Storage & Peripherals |
2.5 | |||
Biotechnology |
2.1 | |||
Media |
2.0 | |||
Other Investments, less than 2% each |
31.5 | |||
Short-Term Investments |
36.9 | |||
|
|
|||
Total Investments |
96.2 | |||
Other assets less liabilities (including futures contracts) |
3.8 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 59.3% of Net Assets |
|||||||
|
Non-Convertible Bonds 55.4% |
|||||||
ABS Car Loan 1.7% | ||||||||
$4,050,000 | Ally Master Owner Trust, Series 2014-2, Class A, 0.524%, 1/16/2018(b)(c) |
$ | 4,052,118 | |||||
2,259,000 | AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D, 3.310%, 10/08/2019(c) |
2,306,592 | ||||||
1,524,213 | Ford Credit Auto Owner Trust, Series 2013-C, Class A2, 0.550%, 4/15/2016(c) |
1,524,762 | ||||||
5,575,000 | Honda Auto Receivables Owner Trust, Series 2013-4, Class A3, 0.690%, 9/18/2017(c) |
5,578,077 | ||||||
1,889,983 | Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2, 0.520%, 4/15/2016(c) |
1,890,934 | ||||||
4,625,000 | Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3, 0.670%, 8/15/2018(c) |
4,614,057 | ||||||
1,565,000 | USAA Auto Owner Trust, Series 2012-1, Class A4, 0.570%, 8/15/2017(c) |
1,565,606 | ||||||
|
|
|||||||
21,532,146 | ||||||||
|
|
|||||||
ABS Credit Card 3.4% | ||||||||
1,015,000 | American Express Credit Account Master Trust, Series 2014-3, Class A, 1.490%, 4/15/2020 |
1,013,687 | ||||||
3,145,000 | American Express Credit Account Master Trust, Series 2013-1, Class A, 0.574%, 2/16/2021(b)(c) |
3,154,514 | ||||||
1,860,000 | American Express Credit Account Master Trust, Series 2013-3, Class A, 0.980%, 5/15/2019(c) |
1,858,268 | ||||||
2,050,000 | BA Credit Card Trust, Series 2014-A1, Class A, 0.534%, 6/15/2021(b)(c) |
2,048,237 | ||||||
3,075,000 | Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(c) |
3,066,049 | ||||||
6,600,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(c) |
6,592,126 | ||||||
6,700,000 | Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10, 0.730%, 2/07/2018(c) |
6,703,109 | ||||||
3,165,000 | Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6, 1.320%, 9/07/2018(c) |
3,186,190 | ||||||
5,825,000 | Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.584%, 9/10/2020(b)(c) |
5,847,508 | ||||||
2,925,000 | Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3, 0.353%, 5/09/2018(b)(c) |
2,925,000 | ||||||
3,000,000 | Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(c) |
2,993,319 | ||||||
3,045,000 | Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020 |
3,042,019 | ||||||
1,990,000 | World Financial Network Credit Card Master Trust, Series 2014-A, Class A, 0.534%, 12/15/2019(b)(c) |
1,991,387 | ||||||
|
|
|||||||
44,421,413 | ||||||||
|
|
|||||||
ABS Home Equity 12.8% |
| |||||||
1,080,510 | Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 2.702%, 3/25/2035(b)(c) |
1,032,853 | ||||||
1,237,387 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1, 2.590%, 4/25/2035(b)(c) |
1,215,485 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued | ||||||||
$2,232,748 | Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1, 2.632%, 4/25/2035(b)(c) |
$ | 2,226,249 | |||||
1,110,921 | Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033(c) |
1,166,548 | ||||||
900,266 | Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033(c) |
918,056 | ||||||
679,240 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035 |
694,618 | ||||||
2,318,260 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025(c) |
2,363,514 | ||||||
400,000 | American Homes 4 Rent, 6.231%, 10/17/2036, 144A |
400,508 | ||||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A |
300,178 | ||||||
1,544,464 | Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1, 5.500%, 12/25/2033(c) |
1,589,152 | ||||||
2,300,294 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033(c) |
2,360,037 | ||||||
1,387,601 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033(c) |
1,429,713 | ||||||
1,883,430 | Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035(c) |
1,696,353 | ||||||
808,744 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.605%, 7/25/2037, 144A(b) |
620,995 | ||||||
2,312,891 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 2.523%, 11/20/2034(b)(c) |
2,184,933 | ||||||
909,480 | Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(c) |
949,851 | ||||||
1,784,164 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035(c) |
1,830,303 | ||||||
3,108,059 | Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A, 3.228%, 7/28/2034, 144A(b)(c) |
3,117,079 | ||||||
1,787,030 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 2.973%, 2/25/2036(b) |
1,408,938 | ||||||
810,604 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 2.656%, 9/25/2034(b) |
759,736 | ||||||
1,798,252 | Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1, 2.567%, 2/25/2037(b)(c) |
1,783,116 | ||||||
1,827,972 | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036(c) |
1,869,969 | ||||||
1,027,560 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.612%, 5/25/2035(b)(c) |
1,016,817 | ||||||
594,287 | CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 |
532,850 | ||||||
2,889,729 | CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036(c) |
2,535,289 | ||||||
2,078,105 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11, 6.000%, 6/25/2037(c) |
1,745,959 | ||||||
1,129,823 | CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3, 6.000%, 6/25/2037 |
949,242 | ||||||
1,855,000 | Colony American Homes, Series 2014-1A, Class C, 2.100%, 5/17/2031, 144A(c) |
1,826,858 | ||||||
2,510,849 | Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1, 5.750%, 4/25/2033(d) |
2,559,685 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued | ||||||||
$1,235,188 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034(c) |
$ | 1,306,661 | |||||
4,274,063 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034(d) |
4,279,858 | ||||||
1,133,148 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(c) |
1,198,633 | ||||||
131,582 | Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.527%, 8/25/2034(e) |
133,018 | ||||||
1,201,598 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.365%, 5/25/2035(b)(c) |
1,029,618 | ||||||
975,855 | Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2, 5.500%, 4/25/2036 |
903,314 | ||||||
748,873 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 |
512,875 | ||||||
852,967 | Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7, 5.750%, 4/25/2037 |
778,986 | ||||||
1,409,546 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11, 5.500%, 1/25/2034(c) |
1,470,944 | ||||||
1,458,135 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 2.581%, 8/25/2034(b)(c) |
1,373,500 | ||||||
225,654 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 2.395%, 9/20/2034(b) |
223,277 | ||||||
507,597 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.425%, 4/25/2035(b) |
441,106 | ||||||
1,695,398 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035(c) |
1,587,657 | ||||||
1,956,919 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16, 6.000%, 5/25/2036(c) |
1,832,792 | ||||||
2,720,346 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35, 6.000%, 2/25/2037(c) |
2,549,976 | ||||||
948,097 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.565%, 11/25/2033(b) |
917,118 | ||||||
826,795 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.606%, 12/25/2033(b) |
804,190 | ||||||
2,529,978 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.579%, 5/25/2034(b)(c) |
2,505,647 | ||||||
282,245 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4, 5.250%, 5/25/2028 |
285,621 | ||||||
1,267,783 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035(c) |
1,127,921 | ||||||
622,553 | Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1, 6.500%, 10/25/2021 |
545,717 | ||||||
1,372,071 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4, 5.250%, 6/25/2035(c) |
1,392,998 | ||||||
1,208,967 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(c) |
1,142,889 | ||||||
1,492,159 | FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/2018, 144A(c) |
1,505,292 | ||||||
213,985 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 |
220,859 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
ABS Home Equity continued | ||||||||
$2,139,324 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.738%, 6/19/2035(b)(c) |
$ | 2,142,511 | |||||
882,582 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 2.959%, 7/19/2035(b) |
827,945 | ||||||
294,154 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.814%, 12/25/2034(b) |
283,604 | ||||||
1,773,070 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 2.731%, 12/25/2034(b)(c) |
1,770,029 | ||||||
812,338 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 2.470%, 7/25/2035(b) |
760,591 | ||||||
2,811,480 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.682%, 9/25/2035(b)(c) |
2,839,572 | ||||||
1,630,752 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036(c) |
1,340,659 | ||||||
2,466,242 | Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A, 0.265%, 5/25/2037(b)(c) |
1,661,811 | ||||||
1,200,973 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 0.935%, 12/25/2034(b)(c) |
995,407 | ||||||
2,581,641 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 0.795%, 7/25/2045(b)(c) |
2,429,121 | ||||||
3,035,000 | Invitation Homes Trust, Series 2014-SFR1, Class B, 1.654%, 6/17/2031, 144A(b)(c) |
2,988,871 | ||||||
3,053,488 | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.487%, 3/25/2036(b)(c) |
2,671,316 | ||||||
1,279,573 | JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 1.990%, 11/25/2033(b) |
1,281,199 | ||||||
2,785,250 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.367%, 4/25/2035(b)(c) |
2,722,741 | ||||||
1,134,962 | JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2, 2.656%, 8/25/2035(b)(c) |
1,138,417 | ||||||
2,841,603 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036(c) |
2,575,831 | ||||||
1,921,885 | JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.444%, 2/25/2036(b)(c) |
1,678,423 | ||||||
3,504,317 | JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.612%, 1/25/2037(b)(c) |
3,128,230 | ||||||
2,903,833 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037(c) |
2,525,261 | ||||||
2,605,565 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.375%, 4/25/2046(b)(c) |
1,886,517 | ||||||
448,504 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 2.542%, 5/25/2034(b)(e) |
430,562 | ||||||
3,068,920 | MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.484%, 7/25/2034(b)(c) |
3,095,033 | ||||||
691,935 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 2.599%, 4/25/2036(b) |
667,646 | ||||||
619,365 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.315%, 1/25/2047(b) |
471,682 | ||||||
943,662 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(c) |
978,244 | ||||||
370,279 | MASTR Alternative Loan Trust, Series 2004-12, Class 6A2, 5.250%, 12/25/2034(e) |
364,420 | ||||||
1,072,971 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(c) |
1,121,842 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
ABS Home Equity continued | ||||||||
$1,145,166 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(c) |
$ | 1,207,913 | |||||
2,621,033 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034(c) |
2,684,352 | ||||||
2,025,299 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037(c) |
1,529,806 | ||||||
1,868,772 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037(c) |
1,411,574 | ||||||
388,730 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.112%, 5/25/2036(b) |
388,928 | ||||||
1,211,637 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(c) |
1,146,195 | ||||||
2,574,922 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035(c) |
2,617,835 | ||||||
815,113 | Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A, 2.414%, 10/25/2035(b) |
802,595 | ||||||
2,518,739 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035(c) |
2,078,848 | ||||||
1,005,298 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(c) |
1,033,991 | ||||||
1,182,515 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 2.630%, 9/25/2034(b)(c) |
1,177,543 | ||||||
6,852,104 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A, 2.433%, 11/25/2034(b)(d) |
6,814,815 | ||||||
1,969,152 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.360%, 6/25/2034(b) |
1,958,044 | ||||||
713,310 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.465%, 7/25/2035(b) |
537,527 | ||||||
1,586,890 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(c) |
1,669,967 | ||||||
1,459,409 | Vericrest Opportunity Loan Transferee, Series 2013-NPL4, Class A1, 3.960%, 11/25/2053, 144A(c) |
1,466,004 | ||||||
2,108,582 | WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1, 2.396%, 1/25/2035(b)(c) |
2,125,826 | ||||||
769,432 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034 |
811,262 | ||||||
6,150,000 | WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3, 2.364%, 8/25/2035(b) |
6,015,297 | ||||||
1,364,766 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.176%, 9/25/2046(b)(c) |
1,276,471 | ||||||
2,984,859 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.926%, 1/25/2047(b)(c) |
2,864,390 | ||||||
379,355 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9, 2.612%, 10/25/2033(b) |
381,785 | ||||||
1,341,995 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1, 2.637%, 2/25/2034(b)(c) |
1,357,248 | ||||||
542,977 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
567,057 | ||||||
683,566 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2, 5.500%, 11/25/2035 |
704,202 | ||||||
2,625,000 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036(c) |
2,597,157 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Home Equity continued | ||||||||
$ 993,364 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.614%, 6/25/2035(b)(c) |
$ | 1,003,614 | |||||
|
|
|||||||
166,163,082 | ||||||||
|
|
|||||||
ABS Other 1.8% | ||||||||
1,253,530 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(c) |
1,278,452 | ||||||
1,495,000 | OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(c) |
1,494,970 | ||||||
1,995,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(c) |
1,995,624 | ||||||
745,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A |
744,999 | ||||||
6,475,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A(c) |
6,473,576 | ||||||
409,211 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
416,716 | ||||||
1,651,194 | Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(c) |
1,652,325 | ||||||
3,482,802 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(c) |
3,476,059 | ||||||
1,895,000 | Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(c) |
1,891,354 | ||||||
3,400,833 | TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(c) |
3,436,409 | ||||||
|
|
|||||||
22,860,484 | ||||||||
|
|
|||||||
Aerospace & Defense 0.9% | ||||||||
6,003,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A(c) |
5,672,835 | ||||||
825,000 | Rockwell Collins, Inc., 0.584%, 12/15/2016(b) |
824,468 | ||||||
5,905,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A(c) |
5,373,550 | ||||||
|
|
|||||||
11,870,853 | ||||||||
|
|
|||||||
Automotive 3.2% | ||||||||
6,590,000 | Daimler Finance North America LLC, 0.920%, 8/01/2016, 144A(b)(c) |
6,651,353 | ||||||
5,250,000 | Ford Motor Credit Co. LLC, 1.483%, 5/09/2016(b)(c) |
5,322,056 | ||||||
2,471,000 | General Motors Financial Co., Inc., 4.375%, 9/25/2021 |
2,526,598 | ||||||
5,960,000 | Nissan Motor Acceptance Corp., 0.784%, 3/03/2017, 144A(b)(c) |
5,979,978 | ||||||
6,640,000 | Nissan Motor Acceptance Corp., 0.935%, 9/26/2016, 144A(b)(c) |
6,693,525 | ||||||
10,650,000 | Toyota Motor Credit Corp., 0.521%, 5/17/2016(b)(c) |
10,688,265 | ||||||
3,210,000 | Volkswagen International Finance NV, 0.671%, 11/18/2016, 144A(b)(c) |
3,224,946 | ||||||
|
|
|||||||
41,086,721 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking 4.2% | ||||||||
$3,310,000 | Bank of America Corp., 1.274%, 1/15/2019(b)(c) |
$ | 3,357,204 | |||||
6,825,000 | Bank of America Corp., MTN, 4.200%, 8/26/2024 |
6,765,984 | ||||||
12,955,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A(d) |
12,622,523 | ||||||
9,280,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD)(c) |
7,091,407 | ||||||
7,200,000 | Morgan Stanley, 4.350%, 9/08/2026 |
7,076,282 | ||||||
11,135,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(c) |
11,785,707 | ||||||
6,150,000 | Societe Generale S.A., 5.000%, 1/17/2024, 144A(c) |
6,191,445 | ||||||
|
|
|||||||
54,890,552 | ||||||||
|
|
|||||||
Brokerage 0.2% | ||||||||
3,085,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A |
3,038,725 | ||||||
|
|
|||||||
Building Materials 0.5% |
| |||||||
3,660,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A(c) |
3,550,200 | ||||||
1,745,000 | CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A(c) |
1,771,175 | ||||||
3,900,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL)(c) |
1,437,953 | ||||||
|
|
|||||||
6,759,328 | ||||||||
|
|
|||||||
Cable Satellite 0.2% | ||||||||
765,000 | Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A |
765,956 | ||||||
800,000 | Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP) |
1,291,434 | ||||||
720,000 | Wave Holdco LLC/Wave Holdco Corp., 8.250% (9.000% PIK), 7/15/2019, 144A(f) |
738,000 | ||||||
|
|
|||||||
2,795,390 | ||||||||
|
|
|||||||
Chemicals 0.7% | ||||||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029(c) |
2,821,300 | ||||||
2,950,000 | Mexichem SAB de CV, 5.875%, 9/17/2044, 144A |
2,868,875 | ||||||
2,905,000 | Perstorp Holding AB, 11.000%, 8/15/2017, 144A(c) |
2,992,150 | ||||||
|
|
|||||||
8,682,325 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.6% | ||||||||
28,611,080 | Government National Mortgage Association, Series 2010-83, Class IO, 0.489%, 7/16/2050(b)(g) |
793,814 | ||||||
73,490,447 | Government National Mortgage Association, Series 2012-135, Class IO, 1.046%, 1/16/2053(b)(c)(g) |
5,571,090 | ||||||
12,661,738 | Government National Mortgage Association, Series 2012-78, Class IO, 1.046%, 6/16/2052(b)(g) |
881,713 | ||||||
|
|
|||||||
7,246,617 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Construction Machinery 1.4% | ||||||||
$17,660,000 | Caterpillar Financial Services Corp., MTN, 0.475%, 2/26/2016(b)(c) |
$ | 17,708,247 | |||||
|
|
|||||||
Consumer Cyclical Services 0.5% |
| |||||||
5,915,000 | ServiceMaster Co. (The), 7.000%, 8/15/2020(c) |
6,151,600 | ||||||
|
|
|||||||
Electric 1.2% |
| |||||||
4,205,000 | Cia de Eletricidade do Estado da Bahia, 11.750%, 4/27/2016, 144A, (BRL)(c) |
1,683,546 | ||||||
11,740,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(c) |
13,604,312 | ||||||
|
|
|||||||
15,287,858 | ||||||||
|
|
|||||||
Finance Companies 3.0% | ||||||||
8,365,000 | Air Lease Corp., 4.250%, 9/15/2024 |
8,229,069 | ||||||
4,700,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%(c)(h) |
5,440,250 | ||||||
12,535,000 | iStar Financial, Inc., 4.000%, 11/01/2017(c) |
12,158,950 | ||||||
1,504,000 | iStar Financial, Inc., 5.000%, 7/01/2019 |
1,447,600 | ||||||
11,630,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A(c) |
11,513,700 | ||||||
|
|
|||||||
38,789,569 | ||||||||
|
|
|||||||
Financial Other 1.5% | ||||||||
630,000 | Corporacion Financiera de Desarrollo S.A., 3.250%, 7/15/2019, 144A |
628,425 | ||||||
1,240,000 | Corporacion Financiera de Desarrollo S.A., (fixed rate to 7/15/2024, variable rate thereafter), 5.250%, 7/15/2029, 144A(c) |
1,257,050 | ||||||
6,100,000 | Hyundai Capital Services, Inc., 1.034%, 3/18/2017, 144A(b)(c) |
6,122,161 | ||||||
2,518,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019(c) |
2,480,230 | ||||||
8,700,000 | Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A(c) |
8,874,000 | ||||||
|
|
|||||||
19,361,866 | ||||||||
|
|
|||||||
Food & Beverage 0.7% | ||||||||
10,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(c) |
3,860,688 | ||||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) |
840,977 | ||||||
1,101,000 | Crestview DS Merger Sub II, Inc., 10.000%, 9/01/2021 |
1,216,605 | ||||||
3,500,000 | General Mills, Inc., 0.534%, 1/29/2016(b)(c) |
3,504,326 | ||||||
|
|
|||||||
9,422,596 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Government OwnedNo Guarantee 1.4% | ||||||||
18,670,000,000 | Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(c) |
$ | 9,387,576 | |||||
6,000,000 | Petroleos de Venezuela S.A., 5.500%, 4/12/2037 |
2,910,000 | ||||||
700,000 | () | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(c) |
5,528,168 | |||||
|
|
|||||||
17,825,744 | ||||||||
|
|
|||||||
Healthcare 0.8% | ||||||||
5,450,000 | Baxter International, Inc., 0.405%, 12/11/2014(b)(c) |
5,451,591 | ||||||
2,505,000 | BioScrip, Inc., 8.875%, 2/15/2021, 144A(c) |
2,564,494 | ||||||
2,656,000 | Universal Health Services, Inc., 4.750%, 8/01/2022, 144A(d) |
2,652,680 | ||||||
|
|
|||||||
10,668,765 | ||||||||
|
|
|||||||
Independent Energy 0.0% | ||||||||
140,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
154,420 | ||||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(i) |
246,180 | ||||||
4,420,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(i) |
176,800 | ||||||
|
|
|||||||
577,400 | ||||||||
|
|
|||||||
Industrial Other 0.2% | ||||||||
2,200,000 | Alfa SAB de CV, 6.875%, 3/25/2044, 144A(c) |
2,444,750 | ||||||
|
|
|||||||
Integrated Energy 0.2% | ||||||||
2,935,000 | BP Capital Markets PLC, 0.657%, 11/07/2016(b)(c) |
2,939,282 | ||||||
|
|
|||||||
Leisure 0.2% | ||||||||
3,575,000 | 24 Hour Holdings III LLC, 8.000%, 6/01/2022, 144A(c) |
3,306,875 | ||||||
|
|
|||||||
Life Insurance 1.0% | ||||||||
8,600,000 | Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter), 7.750%, 12/12/2042, (EUR)(c) |
13,414,859 | ||||||
|
|
|||||||
Lodging 0.2% | ||||||||
2,105,000 | Host Hotels & Resorts LP, 5.250%, 3/15/2022(c) |
2,314,132 | ||||||
|
|
|||||||
Media Entertainment 0.4% | ||||||||
2,820,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020(c) |
2,925,750 | ||||||
27,290,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(c) |
1,709,701 | ||||||
|
|
|||||||
4,635,451 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
|||||||
Metals & Mining 0.1% |
| |||||||
$975,000 | Emeco Pty Ltd., 9.875%, 3/15/2019, 144A |
$ | 970,125 | |||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 3.6% | ||||||||
950,000 | Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E, 6.647%, 5/11/2039, 144A(b) |
963,450 | ||||||
4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 5.730%, 4/15/2044, 144A(b)(c) |
4,954,865 | ||||||
2,765,000 | Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D, 3.635%, 5/10/2035, 144A(b)(c) |
2,574,035 | ||||||
850,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.304%, 6/15/2034, 144A(b) |
850,319 | ||||||
855,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class B, 1.904%, 6/15/2034, 144A(b) |
854,584 | ||||||
1,605,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.554%, 6/15/2034, 144A(b)(c) |
1,603,541 | ||||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.730%, 11/10/2046, 144A(b)(c) |
2,752,678 | ||||||
1,300,000 | Del Coronado Trust, Series 2013-HDMZ, Class M, 5.154%, 3/15/2018, 144A(b)(c) |
1,303,640 | ||||||
7,430,000 | Extended Stay America Trust, Series 2013-ESH7, Class D7, 5.521%, 12/05/2031, 144A(b)(c) |
7,704,591 | ||||||
4,340,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.991%, 8/10/2045(b)(c) |
4,499,747 | ||||||
1,915,000 | Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(c) |
1,945,560 | ||||||
1,460,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(c) |
1,488,493 | ||||||
1,580,000 | Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b)(c) |
1,604,496 | ||||||
1,520,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(c) |
1,589,697 | ||||||
945,264 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M, 6.154%, 4/15/2018, 144A(b) |
952,070 | ||||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.773%, 4/12/2049(b)(c) |
1,422,707 | ||||||
2,125,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.481%, 6/15/2044, 144A(b)(c) |
2,204,668 | ||||||
2,280,000 | SCG Trust, Series 2013-SRP1, Class B, 2.654%, 11/15/2026, 144A(b)(c) |
2,285,775 | ||||||
2,200,000 | SCG Trust, Series 2013-SRP1, Class C, 3.404%, 11/15/2026, 144A(b)(c) |
2,207,966 | ||||||
2,587,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.647%, 2/15/2044, 144A(b)(c) |
2,734,297 | ||||||
|
|
|||||||
46,497,179 | ||||||||
|
|
|||||||
Oil Field Services 0.7% | ||||||||
2,230,000 | Paragon Offshore Ltd., 6.750%, 7/15/2022, 144A(c) |
1,884,350 | ||||||
4,115,000 | Paragon Offshore Ltd., 7.250%, 8/15/2024, 144A(d) |
3,477,175 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Oil Field Services continued |
| |||||||
$3,310,000 | Shell International Finance BV, 0.444%, 11/15/2016(b)(c) |
$ | 3,319,791 | |||||
|
|
|||||||
8,681,316 | ||||||||
|
|
|||||||
Packaging 0.1% |
||||||||
800,000 | Ardagh Finance Holdings, 8.375% (8.375% PIK), 6/15/2019, 144A, (EUR)(c)(f) |
985,179 | ||||||
|
|
|||||||
Pharmaceuticals 0.2% |
||||||||
3,070,000 | Johnson & Johnson, 0.308%, 11/28/2016(b)(c) |
3,075,299 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.4% |
||||||||
5,435,000 | Old Republic International Corp., 4.875%, 10/01/2024 |
5,442,218 | ||||||
|
|
|||||||
Railroads 0.4% |
||||||||
4,700,000 | Canadian National Railway Co., 0.437%, 11/06/2015(b)(c) |
4,705,142 | ||||||
|
|
|||||||
Retailers 0.2% |
||||||||
1,975,000 | Group 1 Automotive, Inc., 5.000%, 6/01/2022, 144A(c) |
1,910,813 | ||||||
1,080,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023(c) |
1,300,730 | ||||||
|
|
|||||||
3,211,543 | ||||||||
|
|
|||||||
Technology 1.4% |
||||||||
1,425,000 | Advanced Micro Devices, Inc., 7.000%, 7/01/2024 |
1,360,875 | ||||||
4,000,000 | Blackboard, Inc., 7.750%, 11/15/2019, 144A(c) |
3,960,000 | ||||||
4,900,000 | Jabil Circuit, Inc., 4.700%, 9/15/2022(c) |
4,930,625 | ||||||
3,030,000 | Rolta Americas LLC, 8.875%, 7/24/2019, 144A(c) |
3,109,537 | ||||||
5,230,000 | Sanmina Corp., 4.375%, 6/01/2019, 144A(c) |
5,125,400 | ||||||
|
|
|||||||
18,486,437 | ||||||||
|
|
|||||||
Treasuries 4.5% |
||||||||
4,271,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c) |
33,158,708 | |||||
465,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c) |
3,584,362 | |||||
405,000 | () | Mexican Fixed Rate Bonds, Series M, 7.750%, 11/13/2042, (MXN)(c) |
3,303,450 | |||||
1,700,500 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c) |
14,290,708 | |||||
130,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN)(c) |
1,096,287 | |||||
7,091,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL)(c) |
2,621,736 | ||||||
|
|
|||||||
58,055,251 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Wireless 0.6% |
| |||||||
|
3,350,000 |
|
Altice S.A., 7.250%, 5/15/2022, 144A, (EUR)(c) |
$ | 4,379,312 | |||
3,025,000 | Wind Acquisition Finance S.A., 4.203%, 7/15/2020, 144A, (EUR)(b)(c) |
3,806,400 | ||||||
|
|
|||||||
8,185,712 | ||||||||
|
|
|||||||
Wirelines 0.3% |
| |||||||
12,060,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(c) |
4,487,488 | ||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $729,235,647) |
718,979,519 | |||||||
|
|
|||||||
Convertible Bonds 3.9% | ||||||||
Automotive 0.6% |
| |||||||
3,195,000 | Ford Motor Co., 4.250%, 11/15/2016(c) |
5,475,431 | ||||||
755,000 | TRW Automotive, Inc., 3.500%, 12/01/2015(c) |
2,583,044 | ||||||
|
|
|||||||
8,058,475 | ||||||||
|
|
|||||||
Consumer Products 0.2% |
| |||||||
2,485,000 | Jarden Corp., 1.125%, 3/15/2034, 144A(c) |
2,477,234 | ||||||
|
|
|||||||
Energy 0.1% |
| |||||||
425,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
430,312 | ||||||
2,075,000 | Peabody Energy Corp., 4.750%, 12/15/2066(c) |
1,421,375 | ||||||
|
|
|||||||
1,851,687 | ||||||||
|
|
|||||||
Home Construction 0.1% |
| |||||||
635,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
1,089,025 | ||||||
|
|
|||||||
Pharmaceuticals 1.1% |
| |||||||
449,000 | BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018 |
475,379 | ||||||
1,168,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020(c) |
1,278,960 | ||||||
1,600,000 | Emergent Biosolutions, Inc., 2.875%, 1/15/2021, 144A(c) |
1,608,000 | ||||||
1,125,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016(c) |
5,253,047 | ||||||
1,670,000 | Mylan, Inc., 3.750%, 9/15/2015(d) |
5,705,137 | ||||||
|
|
|||||||
14,320,523 | ||||||||
|
|
|||||||
Retailers 0.6% |
| |||||||
4,430,000 | Priceline Group, Inc. (The), 0.350%, 6/15/2020(c) |
4,931,144 | ||||||
2,295,000 | Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A |
2,164,472 | ||||||
|
|
|||||||
7,095,616 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued | ||||||||||
Convertible Bonds continued | ||||||||||
Technology 1.2% |
| |||||||||
$1,810,000 | Ciena Corp., 3.750%, 10/15/2018, 144A(c) |
$ | 2,108,650 | |||||||
3,815,000 | JDS Uniphase Corp., 0.625%, 8/15/2033(c) |
3,812,616 | ||||||||
2,045,000 | MercadoLibre, Inc., 2.250%, 7/01/2019, 144A(c) |
2,214,991 | ||||||||
915,000 | Novellus Systems, Inc., 2.625%, 5/15/2041(c) |
1,994,128 | ||||||||
1,985,000 | Nuance Communications, Inc., 2.750%, 11/01/2031(c) |
1,957,706 | ||||||||
3,145,000 | Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A(c) |
3,490,950 | ||||||||
|
|
|
||||||||
15,579,041 | ||||||||||
|
|
|
||||||||
Total Convertible Bonds (Identified Cost $46,245,480) |
50,471,601 | |||||||||
|
|
|
||||||||
Total Bonds and Notes (Identified Cost $775,481,127) |
769,451,120 | |||||||||
|
|
|
||||||||
Loan Participations 0.2% | ||||||||||
ABS Other 0.2% |
| |||||||||
2,688,281 | Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039(b)(e)(l)(m) (Identified Cost $2,708,443) |
2,718,524 | ||||||||
|
|
|
||||||||
Senior Loans 15.1% | ||||||||||
Aerospace & Defense 0.2% |
| |||||||||
638,625 | Sequa Corp., New Term Loan B, 5.250%, 6/19/2017(b) |
607,096 | ||||||||
690,219 | Transdigm, Inc., Term Loan C, 3.750%, 2/28/2020(b) |
677,795 | ||||||||
837,900 | Transdigm, Inc., Term Loan D, 3.750%, 6/04/2021(b) |
822,189 | ||||||||
|
|
|
||||||||
2,107,080 | ||||||||||
|
|
|
||||||||
Automotive 0.7% |
| |||||||||
775,035 | American Tire Distributors Holdings, Inc., Term Loan B, 5.750%, 6/01/2018(b) |
773,586 | ||||||||
899,415 | Dealertrack Technologies, Inc., Term Loan B, 3.500%, 2/28/2021(b) |
884,421 | ||||||||
4,148,873 | IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b) |
4,128,129 | ||||||||
92,755 | Midas Intermediate Holdco II LLC, Delayed Draw Term Loan, 8/18/2021(j) |
92,465 | ||||||||
823,196 | Midas Intermediate Holdco II LLC, Term Loan B, 8/18/2021(j) |
820,628 | ||||||||
1,769,565 | Visteon Corp., Delayed Draw Term Loan B, 3.500%, 4/09/2021(b) |
1,738,049 | ||||||||
|
|
|
||||||||
8,437,278 | ||||||||||
|
|
|
Principal Amount () |
Description |
Value () | ||||||
Senior Loans continued | ||||||||
Banking 0.1% |
| |||||||
$1,711,875 | Harland Clarke Holdings Corp., Extended Term Loan B2, 5.483%, 6/30/2017(b) |
$ | 1,708,673 | |||||
|
|
|||||||
Building Materials 0.8% |
| |||||||
3,162,015 | ABC Supply Co., Inc., Term Loan, 3.500%, 4/16/2020(b) |
3,097,795 | ||||||
2,579,710 | Continental Building Products LLC, 1st Lien Term Loan, 4.000%, 8/28/2020(b) |
2,541,015 | ||||||
793,008 | Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(b) |
776,402 | ||||||
1,068,927 | Quikrete Holdings, Inc., 1st Lien Term Loan, 4.000%, 9/28/2020(b) |
1,055,565 | ||||||
2,797,295 | Wilsonart LLC, Term Loan B, 4.000%, 10/31/2019(b) |
2,739,615 | ||||||
|
|
|||||||
10,210,392 | ||||||||
|
|
|||||||
Cable Satellite 0.2% |
| |||||||
3,295,000 | Virgin Media Bristol LLC, USD Term Loan B, 3.500%, 6/07/2020(b) |
3,205,145 | ||||||
|
|
|||||||
Chemicals 0.9% |
| |||||||
1,607,648 | Arysta LifeScience SPC LLC, 1st Lien Term Loan, 4.500%, 5/29/2020(b) |
1,591,572 | ||||||
1,556,307 | Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan, 3.750%, 2/01/2020(b) |
1,523,563 | ||||||
443,000 | Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b) |
438,459 | ||||||
1,185,000 | MacDermid, Inc., USD 1st Lien Term Loan, 4.000%, 6/07/2020(b) |
1,162,485 | ||||||
677,127 | Nexeo Solutions LLC, Incremental Term Loan, 5.000%, 9/08/2017(b) |
669,936 | ||||||
2,495,596 | Nexeo Solutions LLC, Term Loan B, 5.000%, 9/08/2017(b) |
2,469,093 | ||||||
3,302,191 | Univar, Inc., Term Loan B, 5.000%, 6/30/2017(b) |
3,263,654 | ||||||
|
|
|||||||
11,118,762 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.6% |
| |||||||
293,155 | Garda World Security Corp., Delayed Draw Term Loan, 4.000%, 11/06/2020(b) |
288,025 | ||||||
1,145,970 | Garda World Security Corp., New Term Loan B, 4.000%, 11/06/2020(b) |
1,125,916 | ||||||
2,405,671 | Inmar Holdings, Inc., 1st Lien Term Loan, 4.250%, 1/27/2021(b) |
2,360,564 | ||||||
3,173,689 | ServiceMaster Co., 2014 Term Loan B, 4.250%, 7/01/2021(b) |
3,122,624 | ||||||
616,782 | Spin Holdco, Inc., New Term Loan B, 4.250%, 11/14/2019(b) |
604,835 | ||||||
|
|
|||||||
7,501,964 | ||||||||
|
|
|||||||
Consumer Products 0.5% |
| |||||||
637,621 | Bauer Performance Sports Ltd., Term Loan B, 4.000%, 4/15/2021(b) |
630,053 | ||||||
424,163 | Libbey Glass, Inc., Term Loan B, 3.750%, 4/09/2021(b) |
419,658 | ||||||
2,275,278 | Tempur-Pedic International, Inc., Refi Term Loan B, 3.500%, 3/18/2020(b) |
2,243,993 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Consumer Products continued |
| |||||||
$3,317,932 | Zebra Technologies Corp., Term Loan B, 9/30/2021(j) |
$ | 3,293,047 | |||||
|
|
|||||||
6,586,751 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.0% |
| |||||||
620,896 | Doncasters Finance U.S. LLC, USD Term Loan, 4.500%, 4/09/2020(b) |
615,854 | ||||||
|
|
|||||||
Electric 0.1% |
| |||||||
1,827,863 | Calpine Construction Finance Co. LP, Original Term Loan B1, 3.250%, 5/03/2020(b) |
1,763,887 | ||||||
|
|
|||||||
Finance Companies 0.3% |
| |||||||
1,137,566 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b) |
1,129,511 | ||||||
2,955,000 | Delos Finance S.a.r.l., Term Loan B, 3.500%, 3/06/2021(b) |
2,913,128 | ||||||
|
|
|||||||
4,042,639 | ||||||||
|
|
|||||||
Financial Other 0.4% |
| |||||||
2,361,933 | American Beacon Advisors, Inc., Term Loan B, 4.750%, 11/22/2019(b) |
2,356,029 | ||||||
1,080,333 | Duff & Phelps Investment Management Co., Term Loan B, 4.500%, 4/23/2020(b) |
1,072,230 | ||||||
1,235,663 | Grosvenor Capital Management Holdings LLP, New Term Loan B, 3.750%, 1/04/2021(b) |
1,218,672 | ||||||
600,695 | Harbourvest Partners LLC, New Term Loan, 3.250%, 2/04/2021(b) |
590,934 | ||||||
|
|
|||||||
5,237,865 | ||||||||
|
|
|||||||
Food & Beverage 0.7% |
| |||||||
2,686,500 | Aramark Corp., USD Term Loan F, 3.250%, 2/24/2021(b) |
2,631,104 | ||||||
5,124,250 | Big Heart Pet Brands, New Term Loan, 3.500%, 3/08/2020(b) |
4,912,875 | ||||||
1,109,425 | Del Monte Foods, Inc., 1st Lien Term Loan, 4.256%, 2/18/2021(k) |
1,037,312 | ||||||
823,996 | Reddy Ice Corp., 1st Lien Term Loan, 6.751%, 5/01/2019(k) |
778,676 | ||||||
|
|
|||||||
9,359,967 | ||||||||
|
|
|||||||
Health Insurance 0.2% |
| |||||||
3,008,574 | Sedgwick, Inc., 1st Lien Term Loan, 3.750%, 3/01/2021(b) |
2,912,059 | ||||||
|
|
|||||||
Healthcare 0.8% |
| |||||||
370,091 | Amsurg Corp., 1st Lien Term Loan B, 3.750%, 7/16/2021(b) |
365,813 | ||||||
2,437,474 | Evergreen Skills Lux S.a.r.l., 1st Lien Term Loan, 5.750%, 4/28/2021(b) |
2,389,748 | ||||||
3,052,138 | Millennium Laboratories, Inc., Term Loan B, 5.250%, 4/16/2021(b) |
3,037,823 | ||||||
1,496,250 | Ortho-Clinical Diagnostics, Inc., Term Loan B, 4.750%, 6/30/2021(b) |
1,476,844 | ||||||
1,433,892 | Planet Fitness Holdings LLC, Term Loan, 4.750%, 3/31/2021(b) |
1,429,705 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Healthcare continued | ||||||||
$1,720,417 | Renaissance Learning, Inc., New 1st Lien Term Loan, 4.500%, 4/09/2021(b) |
$ | 1,682,791 | |||||
|
|
|||||||
10,382,724 | ||||||||
|
|
|||||||
Independent Energy 0.2% | ||||||||
2,127,549 | SRAM LLC, New Term Loan B, 4.018%, 4/10/2020(k) |
2,053,085 | ||||||
|
|
|||||||
Industrial Other 1.4% |
| |||||||
1,040,000 | AECOM Technology Corp., Term Loan B, 10/30/2021(j) |
1,037,213 | ||||||
1,091,757 | Brickman Group Ltd. LLC, 1st Lien Term Loan, 4.000%, 12/18/2020(b) |
1,066,734 | ||||||
2,321,458 | Crosby U.S. Acquisition Corp., 1st Lien Term Loan, 3.750%, 11/23/2020(b) |
2,216,992 | ||||||
1,648,000 | Gates Global, Inc., Term Loan B, 4.250%, 7/05/2021(b) |
1,616,754 | ||||||
2,671,967 | Generac Power Systems, Inc., Term Loan B, 3.250%, 5/31/2020(b) |
2,620,210 | ||||||
516,691 | Mirror Bidco Corp., New Term Loan, 4.250%, 12/28/2019(b) |
508,620 | ||||||
1,935,398 | Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(b) |
1,916,043 | ||||||
6,234,295 | Silver II U.S. Holdings LLC, Term Loan, 4.000%, 12/13/2019(b) |
6,119,334 | ||||||
751,429 | Virtuoso U.S. LLC, USD Term Loan, 4.750%, 2/11/2021(b) |
743,915 | ||||||
92,368 | WESCO Distribution, Inc., Term Loan B, 3.750%, 12/12/2019(b) |
91,945 | ||||||
|
|
|||||||
17,937,760 | ||||||||
|
|
|||||||
Leisure 0.1% | ||||||||
1,808,468 | Time, Inc., Term Loan B, 4.250%, 4/26/2021(b) |
1,788,122 | ||||||
|
|
|||||||
Lodging 0.5% | ||||||||
6,169,409 | Hilton Worldwide Finance LLC, USD Term Loan B2, 3.500%, 10/26/2020(b) |
6,066,565 | ||||||
|
|
|||||||
Media Entertainment 0.5% | ||||||||
621,220 | Sinclair Television Group, Inc., Term Loan B, 3.000%, 4/09/2020(b) |
610,088 | ||||||
3,153,210 | Springer Science+Business Media Deutschland GmbH, USD Term Loan B3, 8/16/2021(j) |
3,095,664 | ||||||
2,609,582 | Tribune Co., 2013 Term Loan, 4.000%, 12/27/2020(b) |
2,572,891 | ||||||
|
|
|||||||
6,278,643 | ||||||||
|
|
|||||||
Metals & Mining 0.1% | ||||||||
1,533,096 | Metal Services LLC, Term Loan B, 6.000%, 6/30/2017(b) |
1,532,452 | ||||||
|
|
|||||||
Midstream 0.1% | ||||||||
1,930,000 | Energy Transfer Equity LP, New Term Loan, 3.250%, 12/02/2019(b) |
1,878,797 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Other Utility 0.2% | ||||||||
$3,038,069 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b) |
$ | 2,969,712 | |||||
160,706 | PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b) |
157,090 | ||||||
|
|
|||||||
3,126,802 | ||||||||
|
|
|||||||
Packaging 0.2% | ||||||||
450,735 | Ardagh Holdings USA, Inc., Incremental Term Loan, 4.000%, 12/17/2019(b) |
443,974 | ||||||
1,904,881 | Signode Industrial Group U.S., Inc., USD Term Loan B, 4.000%, 5/01/2021(b) |
1,867,984 | ||||||
|
|
|||||||
2,311,958 | ||||||||
|
|
|||||||
Pharmaceuticals 1.0% | ||||||||
2,260,174 | Amneal Pharmaceuticals LLC, New Term Loan, 4.752%, 11/01/2019(k) |
2,254,524 | ||||||
3,226,785 | Grifols Worldwide Operations USA, Inc., USD Term Loan B, 3.154%, 2/27/2021(b) |
3,164,282 | ||||||
989,030 | IMS Health, Inc., New USD Term Loan, 3.500%, 3/17/2021(b) |
968,013 | ||||||
1,558,095 | JLL/Delta Dutch Newco BV, USD Term Loan, 4.250%, 3/11/2021(b) |
1,519,984 | ||||||
3,020,820 | Mallinckrodt International Finance S.A., Term Loan B, 3.500%, 3/19/2021(b) |
2,971,248 | ||||||
2,595,260 | Quintiles Transnational Corp., Term Loan B3, 3.750%, 6/08/2018(b) |
2,553,087 | ||||||
|
|
|||||||
13,431,138 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.6% | ||||||||
1,149,542 | AmWINS Group LLC, New Term Loan, 5.000%, 9/06/2019(b) |
1,146,668 | ||||||
2,608,584 | CGSC of Delaware Holding Corp., 1st Lien Term Loan, 5.000%, 4/16/2020(b) |
2,404,254 | ||||||
1,115,000 | CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(b) |
970,050 | ||||||
3,077,535 | Hub International Ltd., Term Loan B, 4.250%, 10/02/2020(b) |
3,006,998 | ||||||
|
|
|||||||
7,527,970 | ||||||||
|
|
|||||||
Restaurants 0.2% | ||||||||
2,273,966 | 1011778 B.C. Unlimited Liability Co., 2014 Term Loan B, 9/24/2021(j) |
2,256,274 | ||||||
246,429 | Brasa Holdings, Inc., 2nd Lien Term Loan, 11.000%, 1/20/2020(b) |
247,353 | ||||||
|
|
|||||||
2,503,627 | ||||||||
|
|
|||||||
Retailers 0.2% | ||||||||
323,417 | Hillman Group, Inc. (The), Term Loan B, 4.500%, 6/30/2021(b) |
321,800 | ||||||
1,910,962 | Talbots, Inc. (The), 1st Lien Term Loan, 4.750%, 3/19/2020(b) |
1,848,856 | ||||||
|
|
|||||||
2,170,656 | ||||||||
|
|
|||||||
Supermarkets 0.3% | ||||||||
2,977,325 | Checkout Holding Corp., 1st Lien Term Loan, 4.500%, 4/09/2021(b) |
2,893,216 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Supermarkets continued | ||||||||
$804,277 | Sprouts Farmers Markets Holdings LLC, New Term Loan, 4.000%, 4/23/2020(b) |
$ | 799,250 | |||||
|
|
|||||||
3,692,466 | ||||||||
|
|
|||||||
Technology 1.6% | ||||||||
2,875,550 | Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(b) |
2,852,776 | ||||||
1,523,151 | BMC Foreign Holding Co., Term Loan, 5.000%, 9/10/2020(b) |
1,496,496 | ||||||
2,944,644 | BMC Software Finance, Inc., USD Term Loan, 5.000%, 9/10/2020(b) |
2,893,112 | ||||||
1,169,509 | Entegris, Inc., Term Loan B, 3.500%, 4/30/2021(b) |
1,148,072 | ||||||
3,069,404 | Infor (U.S.), Inc., USD Term Loan B5, 3.750%, 6/03/2020(b) |
2,997,150 | ||||||
3,292,620 | IQOR U.S., Inc., Term Loan B, 6.000%, 4/01/2021(b) |
2,996,284 | ||||||
1,663,690 | M/A-COM Technology Solutions Holdings, Inc., Term Loan, 4.500%, 5/07/2021(b) |
1,662,659 | ||||||
760,990 | Microsemi Corp., Incremental Term Loan B2, 3.500%, 2/19/2020(b) |
753,571 | ||||||
960,276 | Nuance Communications, Inc., Term Loan C, 2.910%, 8/07/2019(b) |
935,472 | ||||||
1,450,350 | NXP BV, Term Loan D, 3.250%, 1/11/2020(b) |
1,424,519 | ||||||
1,064,953 | Oberthur Technologies of America Corp., USD Term Loan B2, 4.500%, 10/18/2019(b) |
1,059,095 | ||||||
732,080 | Verint Systems, Inc., USD Term Loan, 3.500%, 9/06/2019(b) |
727,138 | ||||||
|
|
|||||||
20,946,344 | ||||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
785,128 | FPC Holdings, Inc., 1st Lien Term Loan, 5.250%, 11/19/2019(b) |
776,295 | ||||||
521,844 | OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b) |
518,150 | ||||||
|
|
|||||||
1,294,445 | ||||||||
|
|
|||||||
Wireless 0.6% | ||||||||
3,057,975 | Asurion LLC, New Term Loan B1, 5.000%, 5/24/2019(b) |
3,040,025 | ||||||
923,313 | Asurion LLC, New Term Loan B2, 4.250%, 7/08/2020(b) |
907,542 | ||||||
2,158,475 | Crown Castle Operating Co., Term Loan B2, 3.000%, 1/31/2021(b) |
2,128,796 | ||||||
1,366,575 | SBA Senior Finance II LLC, Term Loan B1, 3.250%, 3/24/2021(b) |
1,336,019 | ||||||
|
|
|||||||
7,412,382 | ||||||||
|
|
|||||||
Wirelines 0.7% | ||||||||
1,301,850 | Cincinnati Bell, Inc., New Term Loan B, 4.000%, 9/10/2020(b) |
1,288,832 | ||||||
2,830,275 | Level 3 Financing, Inc., 2020 Term Loan B, 4.000%, 1/15/2020(b) |
2,777,207 | ||||||
2,012,036 | LTS Buyer LLC, 1st Lien Term Loan, 4.000%, 4/13/2020(b) |
1,974,733 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Wirelines continued | ||||||||
$3,049,072 | Zayo Group LLC, Term Loan B, 4.000%, 7/02/2019(b) |
$ | 3,001,049 | |||||
|
|
|||||||
9,041,821 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $199,204,137) |
196,186,073 | |||||||
|
|
|||||||
Shares |
||||||||
|
Common Stocks 6.0% |
|||||||
Automobiles 0.4% | ||||||||
88,460 | General Motors Co.(c) |
$ | 2,825,412 | |||||
19,989 | Toyota Motor Corp., Sponsored ADR(c) |
2,349,307 | ||||||
|
|
|||||||
5,174,719 | ||||||||
|
|
|||||||
Banks 0.1% | ||||||||
23,543 | HSBC Holdings PLC, Sponsored ADR(c) |
1,197,868 | ||||||
|
|
|||||||
Chemicals 0.6% | ||||||||
82,634 | Dow Chemical Co. (The)(c) |
4,333,327 | ||||||
29,800 | Rockwood Holdings, Inc.(c) |
2,278,210 | ||||||
54,452 | Tronox Ltd., Class A(c) |
1,418,474 | ||||||
|
|
|||||||
8,030,011 | ||||||||
|
|
|||||||
Communications Equipment 0.5% | ||||||||
250,172 | Cisco Systems, Inc. |
6,296,829 | ||||||
|
|
|||||||
Food & Staples Retailing 0.4% | ||||||||
35,903 | CVS Health(c) |
2,857,520 | ||||||
25,113 | Wal-Mart Stores, Inc.(c) |
1,920,391 | ||||||
|
|
|||||||
4,777,911 | ||||||||
|
|
|||||||
Gas Utilities 0.1% | ||||||||
58,444 | Tokyo Gas Co Ltd., ADR(c) |
1,317,328 | ||||||
|
|
|||||||
Industrial Conglomerates 0.1% | ||||||||
10,144 | Siemens AG, Sponsored ADR(c) |
1,207,846 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.5% | ||||||||
21,550 | Exxon Mobil Corp.(c) |
2,026,778 | ||||||
79,618 | Kinder Morgan, Inc. |
3,052,554 | ||||||
54,651 | Statoil ASA, Sponsored ADR(c) |
1,484,321 | ||||||
|
|
|||||||
6,563,653 | ||||||||
|
|
|||||||
Pharmaceuticals 1.6% | ||||||||
28,438 | Bayer AG, Sponsored ADR(c) |
3,984,448 | ||||||
64,155 | Eli Lilly & Co.(c) |
4,160,452 | ||||||
51,896 | GlaxoSmithKline PLC, Sponsored ADR(c) |
2,385,659 | ||||||
29,105 | Johnson & Johnson(c) |
3,102,302 | ||||||
62,096 | Pfizer, Inc.(c) |
1,836,178 | ||||||
71,312 | Roche Holding AG, ADR(c) |
2,637,831 | ||||||
36,223 | Sanofi, ADR(c) |
2,044,064 | ||||||
|
|
|||||||
20,150,934 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 0.2% | ||||||||
19,771 | KLA-Tencor Corp.(c) |
1,557,559 |
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Semiconductors & Semiconductor Equipment continued |
||||||||
32,227 | Texas Instruments, Inc.(c) |
$ | 1,536,906 | |||||
|
|
|||||||
3,094,465 | ||||||||
|
|
|||||||
Specialty Retail 0.6% |
||||||||
39,070 | Home Depot, Inc. (The)(c) |
3,584,282 | ||||||
65,673 | Lowes Cos., Inc.(c) |
3,475,415 | ||||||
|
|
|||||||
7,059,697 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 0.2% |
||||||||
12,269 | Canon, Inc., Sponsored ADR |
399,847 | ||||||
80,565 | EMC Corp.(c) |
2,357,332 | ||||||
|
|
|||||||
2,757,179 | ||||||||
|
|
|||||||
Tobacco 0.3% |
||||||||
34,555 | Altria Group, Inc.(c) |
1,587,457 | ||||||
11,732 | British American Tobacco PLC, Sponsored ADR(c) |
1,326,654 | ||||||
14,375 | Philip Morris International, Inc.(c) |
1,198,875 | ||||||
|
|
|||||||
4,112,986 | ||||||||
|
|
|||||||
Trading Companies & Distributors 0.3% |
||||||||
47,823 | Mitsubishi Corp., Sponsored ADR(c) |
1,959,309 | ||||||
6,777 | Mitsui & Co. Ltd., Sponsored ADR(c) |
2,137,330 | ||||||
|
|
|||||||
4,096,639 | ||||||||
|
|
|||||||
Wireless Telecommunication Services 0.1% |
||||||||
40,938 | Vodafone Group PLC, Sponsored ADR(c) |
1,346,451 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $70,184,946) |
77,184,516 | |||||||
|
|
|||||||
|
Preferred Stocks 3.8% |
|||||||
|
Convertible Preferred Stocks 2.7% |
|||||||
Electric 0.0% |
||||||||
9,050 | NextEra Energy, Inc., 5.889% |
542,186 | ||||||
|
|
|||||||
Energy 0.2% |
||||||||
1,977 | Chesapeake Energy Corp., Series A, 5.750%, 144A(c) |
2,193,234 | ||||||
|
|
|||||||
Food & Beverage 0.5% |
||||||||
128,521 | Tyson Foods, Inc., 4.750% |
6,464,606 | ||||||
|
|
|||||||
Metals & Mining 0.2% |
||||||||
131,000 | ArcelorMittal, 6.000%(c) |
2,768,030 | ||||||
|
|
|||||||
REITs - Diversified 1.3% | ||||||||
49,042 | Crown Castle International Corp., Series A, 4.500%(c) |
5,158,237 | ||||||
223,896 | Weyerhaeuser Co., Series A, 6.375%(c) |
12,097,101 | ||||||
|
|
|||||||
17,255,338 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Preferred Stocks continued | ||||||||
Convertible Preferred Stocks continued | ||||||||
REITs - Health Care 0.0% |
||||||||
8,000 | Health Care REIT, Inc., Series I, 6.500% |
$ | 457,440 | |||||
|
|
|||||||
REITs - Mortgage 0.3% |
||||||||
67,436 | iStar Financial, Inc., Series J, 4.500%(c) |
4,012,442 | ||||||
|
|
|||||||
Utility Other 0.2% |
||||||||
17,432 | Dominion Resources, Inc., 6.375% |
869,857 | ||||||
11,055 | Dominion Resources, Inc., Series A, 6.125% |
619,743 | ||||||
9,938 | Dominion Resources, Inc., Series B, 6.000% |
559,013 | ||||||
|
|
|||||||
2,048,613 | ||||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $33,819,097) |
35,741,889 | |||||||
|
|
|||||||
Non-Convertible Preferred Stocks 1.1% | ||||||||
Banking 0.6% |
||||||||
6,776 | Ally Financial, Inc., Series G, 7.000%, 144A(c) |
6,782,353 | ||||||
9,905 | SunTrust Banks, Inc., Series E, 5.875% |
228,310 | ||||||
|
|
|||||||
7,010,663 | ||||||||
|
|
|||||||
Cable Satellite 0.3% |
||||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(c) |
4,201,600 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.2% |
||||||||
102,000 | Montpelier Re Holdings Ltd., 8.875%(c) |
2,796,840 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $13,436,093) |
14,009,103 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $47,255,190) |
49,750,992 | |||||||
|
|
|||||||
Exchange Traded Funds 0.9% | ||||||||
257,556 | iShares® MSCI Germany ETF |
7,134,301 | ||||||
82,571 | WisdomTree Japan Hedged Equity Fund(c) |
4,320,115 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Identified Cost $11,611,608) |
11,454,416 | |||||||
|
|
Notional Amount/Shares/ Units of Currency() |
Description |
Value() | ||||||
|
Purchased Swaptions 0.1% |
|||||||
Interest Rate Swaptions 0.1% | ||||||||
$ | 43,725,000 | 5-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.0725%, Receive 3-month LIBOR (n)(o) | $ | 501,263 | ||||
15,800,000 | 10-year Interest Rate Swap Call, expiring 2/23/2015, Pay 2.7350%, Receive 3-month LIBOR (n)(o) | 299,600 | ||||||
|
|
|||||||
Total Purchased Swaptions (Identified Cost $710,903) |
800,863 | |||||||
|
|
|||||||
|
Purchased Options 0.0% |
|||||||
Options on Securities 0.0% | ||||||||
567,800 | Citigroup, Inc., Call expiring October 18, 2014 at 55(p) | 93,687 | ||||||
|
|
|||||||
Over-the-Counter Options on Currency 0.0% | ||||||||
52,000,000 | JPY Put, expiring November 26, 2014 at 111.1000(p)(q) | 384,488 | ||||||
|
|
|||||||
Total Purchased Options (Identified Cost $496,541) |
478,175 | |||||||
|
|
|||||||
Principal Amount () |
Description |
Value () | ||||||
|
Short-Term Investments 8.4% |
|||||||
4,036,533 | Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2014 at 0.000% to be repurchased at $4,036,866 on 10/01/2014 collateralized by $4,114,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $4,117,285 including accrued interest(r) | 4,036,533 | ||||||
96,055,722 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $96,055,722 on 10/01/2014 collateralized by $365,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $360,438; $90,150,000 U.S. Treasury Note, 1.375% due 9/30/2018 valued at $89,699,250; $7,975,000 U.S. Treasury Note, 1.250% due 10/31/2018 valued at $7,925,156 including accrued interest(r) | 96,055,722 | ||||||
9,400,000 | U.S. Treasury Bills 0.048%, 2/19/2015(s)(t) | 9,399,079 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $109,490,506) |
109,491,334 | |||||||
|
|
|||||||
Total Investments 93.8% (Identified Cost $1,217,143,401)(a) |
1,217,516,013 | |||||||
Other assets less liabilities 6.2% | 80,978,228 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,298,494,241 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.
Broker-dealer bid prices may 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 rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Centrally cleared swap agreements are valued at settlement prices of the clearinghouse on which the contracts were traded or prices obtained from broker-dealers.
Bilateral credit default swaps are valued based on mid prices (between the bid price and the ask price) supplied by an independent pricing service.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations.
Options on futures contracts are valued using the current settlement price on the exchange on which, over time, they are traded most extensively.
Other exchange-traded options are valued at the average of the closing bid and ask quotations on the exchange on which, over time, they are traded most extensively.
Over-the-counter (OTC) currency options and swaptions are valued at mid prices (between the bid and the ask price) supplied by an independent pricing service, if available.
Other OTC option contracts (including currency options and swaptions not priced through an independent pricing service) are valued based on prices obtained from broker-dealers.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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. Options on currency are expressed as units of currency. |
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2014, the net unrealized depreciation on investments based on a cost of $1,218,114,434 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 |
$ | 33,082,921 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(33,681,342 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (598,421 | ) | |
|
|
At December 31, 2013, the Fund had a short-term capital loss carryforward of $28,564,283 with no expiration date and a long-term capital loss carryforward of $6,849,896 with no expiration date. 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, 2014 is disclosed. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts or swap agreements. |
(d) | A portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts, futures contracts or swap agreements. |
(e) | Fair valued by the Funds adviser or deemed to be fair valued pursuant to the Funds pricing policies and procedures. At September 30, 2014, the value of these securities amounted to $3,646,524 or 0.3% of net assets. |
(f) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended September 30, 2014, the issuer has not paid out any interest payments. |
(g) | 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. |
(h) | Perpetual bond with no specified maturity date. |
(i) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(j) | Position is unsettled. Contract rate was not determined at September 30, 2014 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(k) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at September 30, 2014. |
(l) | Illiquid security. At September 30, 2014, the value of this security amounted to $2,718,524 or 0.2% of net assets. |
(m) | The Fund may invest in loans to corporate, governmental or other borrowers. The Funds investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) the Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, the Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and the Fund may have minimal control over the terms of any loan modification. When the Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. |
(n) | 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.
(o) | Counterparty is Deutsche Bank AG. |
(p) | The Fund 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 or closed are added to the cost or deducted from the proceeds on the underlying instrument to determine the 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.
(q) | Counterparty is Bank of America, N.A. |
(r) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(s) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(t) | A portion of this security has been pledged as initial margin for open futures contracts. |
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, 2014, the value of Rule 144A holdings amounted to $282,054,590 or 21.7% 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 | |
EMTN | Euro Medium Term Note | |
ETF | Exchange Traded Fund | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
REITs | Real Estate Investment Trusts | |
BRL | Brazilian Real | |
CLP | Chilean Peso | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
MXN | Mexican Peso | |
NZD | New Zealand Dollar | |
USD | U.S. Dollar |
Swap Agreements
The Fund may enter into credit default swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that the Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
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. The Fund covers its net obligations under outstanding swap agreements by segregating or earmarking cash or securities.
At September 30, 2014, the Fund had the following open bilateral credit default swap agreements:
Buy Protection
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) |
||||||||||||||||||||||
Bank of America, N.A |
CDX.NA.HY Series 22, 5-Year** | (5.00 | %) | 9/20/2019 | $ | 3,000,000 | $ | 688,316 | $ | 986,281 | $ | 297,965 | $ | (3,750 | ) | |||||||||||||||
Bank of America, N.A. |
iTraxx Europe Crossover Series 18, 5-Year | (5.00 | %) | 12/20/2017 | 3,797,500 | * | 60,554 | (513,063 | ) | (573,617 | ) | (6,056 | ) | |||||||||||||||||
Bank of America, N.A. |
Republic of Brazil | (1.00 | %) | 6/20/2019 | 24,550,000 | 866,027 | 681,894 | (184,133 | ) | (6,138 | ) | |||||||||||||||||||
JPMorgan Chase Bank N.A. |
General Mills, Inc. | (1.00 | %) | 12/20/2019 | 12,500,000 | (369,109 | ) | (356,965 | ) | 12,144 | (35,069 | ) | ||||||||||||||||||
JPMorgan Chase Bank N.A. |
Kellogg Co. | (1.00 | %) | 12/20/2019 | 12,300,000 | (139,412 | ) | (121,024 | ) | 18,388 | (34,508 | ) |
JPMorgan Chase Bank N.A. |
Safeway, Inc. | (1.00 | %) | 9/20/2019 | 11,175,000 | 1,071,050 | 1,288,496 | 217,446 | (2,794 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
|
$ | 1,965,619 | $ | (211,807 | ) | $ | (88,315 | ) | |||||||||||||||||||||
|
|
|
|
|
|
At September 30, 2014, the Fund had the following open centrally cleared credit default swap agreements:
Buy Protection
Reference Obligation |
(Pay)/ Receive Fixed Rate |
Expiration Date |
Notional Value() |
Market Value |
Unrealized Appreciation (Depreciation) |
Fees Receivable/ (Payable) |
||||||||||||||||||
CDX.NA.HY** Series 22, 5-Year |
(5.00 | %) | 6/20/2019 | $ | 37,224,000 | $ | (2,223,501 | ) | $ | 44,272 | $ | (5,170 | ) | |||||||||||
CDX.NA.HY** Series 22, 5-Year |
(5.00 | %) | 6/20/2019 | 3,069,000 | (185,173 | ) | 57,839 | (431 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total |
|
$ | (2,408,674 | ) | $ | 102,111 | $ | (5,601 | ) | |||||||||||||||
|
|
|
|
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
* | Notional value denominated in euros |
** | CDX.NA.HY is an index composed of North American high yield credit default swaps. |
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, 2014, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Buy1 |
10/07/2014 | Australian Dollar | 27,000,000 | $ | 23,631,486 | $ | (1,553,034 | ) | ||||||||||
Sell1 |
10/22/2014 | Brazilian Real | 35,880,000 | 14,579,624 | 577,523 | |||||||||||||
Sell2 |
10/27/2014 | British Pound | 800,000 | 1,296,639 | 14,241 | |||||||||||||
Buy1 |
10/02/2014 | Canadian Dollar | 13,500,000 | 12,053,823 | (64,289 | ) | ||||||||||||
Buy3 |
10/14/2014 | Canadian Dollar | 1,460,000 | 1,303,226 | (16,681 | ) | ||||||||||||
Sell1 |
10/02/2014 | Canadian Dollar | 13,500,000 | 12,053,823 | 373,020 | |||||||||||||
Sell3 |
10/14/2014 | Canadian Dollar | 1,460,000 | 1,303,226 | 21,153 | |||||||||||||
Buy1 |
10/06/2014 | Colombian Peso | 23,600,000,000 | 11,650,689 | 10,738 | |||||||||||||
Sell1 |
10/06/2014 | Colombian Peso | 23,600,000,000 | 11,650,688 | 593,786 | |||||||||||||
Sell4 |
10/14/2014 | Colombian Peso | 18,400,000,000 | 9,077,884 | 263,166 | |||||||||||||
Sell4 |
10/14/2014 | Euro | 825,000 | 1,042,097 | 23,240 | |||||||||||||
Sell1 |
10/20/2014 | Euro | 9,845,000 | 12,436,172 | 311,499 | |||||||||||||
Sell1 |
10/29/2014 | Euro | 17,665,000 | 22,315,662 | 206,330 | |||||||||||||
Sell2 |
10/29/2014 | Euro | 3,025,000 | 3,821,391 | 35,272 | |||||||||||||
Sell1 |
10/31/2014 | Euro | 3,350,000 | 4,232,008 | 21,835 | |||||||||||||
Sell1 |
10/14/2014 | Japanese Yen | 841,200,000 | 7,670,552 | 218,114 | |||||||||||||
Sell1 |
10/31/2014 | Mexican Peso | 870,300,000 | 64,669,357 | (41,840 | ) | ||||||||||||
Sell1 |
10/07/2014 | New Zealand Dollar | 29,700,000 | 23,173,762 | 1,465,061 | |||||||||||||
Sell5 |
10/15/2014 | New Zealand Dollar | 8,860,000 | 6,907,615 | 316,387 | |||||||||||||
Buy4 |
10/15/2014 | Norwegian Krone | 154,200,000 | 23,990,057 | (191,350 | ) | ||||||||||||
Buy1 |
10/14/2014 | South African Rand | 134,000,000 | 11,853,215 | (12,228 | ) | ||||||||||||
Sell1 |
10/14/2014 | South African Rand | 134,000,000 | 11,853,215 | 357,939 | |||||||||||||
Buy4 |
10/27/2014 | Swedish Krona | 87,000,000 | 12,055,327 | 43,207 | |||||||||||||
Sell4 |
10/27/2014 | Swedish Krona | 87,000,000 | 12,055,327 | 152,698 |
Sell1 |
12/11/2014 | Swiss Franc | 2,156,000 | 2,259,762 | 51,450 | |||||||||||||
Sell1 |
10/08/2014 | Turkish Lira | 27,000,000 | 11,838,850 | 613,072 | |||||||||||||
Sell4 |
10/08/2014 | Turkish Lira | 14,600,000 | 6,401,748 | 200,106 | |||||||||||||
|
|
|||||||||||||||||
Total |
$ | 3,990,415 | ||||||||||||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is Deutsche Bank AG. |
3 | Counterparty is Barclays Bank PLC. |
4 | Counterparty is Bank of America, N.A. |
5 | 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, 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 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, 2014, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® |
12/19/2014 | 1,042 | $ | 102,402,550 | $ | 575,799 | ||||||||||
5 Year U.S. Treasury Note |
12/31/2014 | 428 | 50,614,344 | 132,967 | ||||||||||||
10 Year U.S. Treasury Note |
12/19/2014 | 1,052 | 131,121,937 | 829,610 | ||||||||||||
30 Year U.S. Treasury Bond |
12/19/2014 | 184 | 25,374,750 | 218,413 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | 1,756,789 | |||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Home Equity |
$ | | $ | 165,235,082 | $ | 928,000 | (a) | $ | 166,163,082 | |||||||
ABS Other |
| 8,981,509 | 13,878,975 | (b) | 22,860,484 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 44,241,469 | 2,255,710 | (b) | 46,497,179 | |||||||||||
All Other Non-Convertible Bonds* |
| 483,458,774 | | 483,458,774 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 701,916,834 | 17,062,685 | 718,979,519 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 50,471,601 | | 50,471,601 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 752,388,435 | 17,062,685 | 769,451,120 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Participations* |
| | 2,718,524 | (b) | 2,718,524 | |||||||||||
Senior Loans* |
| 196,186,073 | | 196,186,073 | ||||||||||||
Common Stocks* |
77,184,516 | | | 77,184,516 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Energy |
| 2,193,234 | | 2,193,234 | ||||||||||||
Food & Beverage |
| 6,464,606 | | 6,464,606 | ||||||||||||
REITs - Mortgage |
| 4,012,442 | | 4,012,442 | ||||||||||||
All Other Convertible Preferred Stocks* |
23,071,607 | | | 23,071,607 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
23,071,607 | 12,670,282 | | 35,741,889 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Cable Satellite |
| 4,201,600 | | 4,201,600 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
9,807,503 | | | 9,807,503 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
9,807,503 | 4,201,600 | | 14,009,103 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
32,879,110 | 16,871,882 | | 49,750,992 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Exchange Traded Funds* |
11,454,416 | | | 11,454,416 | ||||||||||||
Purchased Swaptions* |
| 800,863 | | 800,863 | ||||||||||||
Purchased Options* |
93,687 | 384,488 | | 478,175 | ||||||||||||
Short-Term Investments |
| 109,491,334 | | 109,491,334 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
121,611,729 | 1,076,123,075 | 19,781,209 | 1,217,516,013 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bilateral Credit Default Swap Agreements (unrealized appreciation) |
| 545,943 | | 545,943 | ||||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized appreciation) |
102,111 | | | 102,111 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 5,869,837 | | 5,869,837 | ||||||||||||
Futures Contracts (unrealized appreciation) |
1,756,789 | | | 1,756,789 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 123,470,629 | $ | 1,082,538,855 | $ | 19,781,209 | $ | 1,225,790,693 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
$ | | $ | (757,750 | ) | $ | | $ | (757,750 | ) | ||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (1,879,422 | ) | | (1,879,422 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | (2,637,172 | ) | $ | | $ | (2,637,172 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Fair valued by the Funds adviser. |
(b) | Valued using broker-dealer bid prices. |
A preferred stock valued at $2,290,849 was transferred from Level 1 to Level 2 during the period ended September 30, 2014. At December 31, 2013, this security was valued at the last sale price in accordance with the Funds valuation policies. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available.
A preferred stock valued at $1,378,651 was transferred from Level 2 to Level 1 during the period ended September 30, 2014. At December 31, 2013, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service as a market price was not available. At September 30, 2014, this security was 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 following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2013 and/or September 30, 2014:
Asset Valuation Inputs
Investments in |
Balance as of December 31, 2013 |
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, 2014 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2014 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Home Equity |
$ | | $ | | $ | (3,176 | ) | $ | (11,187 | ) | $ | 566,931 | $ | (496,829 | ) | $ | 872,261 | $ | | $ | 928,000 | $ | (11,187 | ) | ||||||||||||||||
ABS Other |
1,703,269 | | 2,783 | (52,297 | ) | 12,628,062 | (402,842 | ) | | | 13,878,975 | (38,108 | ) | |||||||||||||||||||||||||||
Airlines |
6,428,650 | | 155,058 | (63,650 | ) | | (6,520,058 | ) | | | | | ||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
2,300,373 | | (485 | ) | (5,330 | ) | | (38,848 | ) | | | 2,255,710 | (5,353 | ) | ||||||||||||||||||||||||||
Loan Participations |
| | (763 | ) | 10,081 | 2,810,925 | (101,719 | ) | | | 2,718,524 | 10,081 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 10,432,292 | $ | | $ | 153,417 | $ | (122,383 | ) | $ | 16,005,918 | $ | (7,560,296 | ) | $ | 872,261 | $ | | $ | 19,781,209 | $ | (44,567 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $872,261 were transferred from Level 2 to Level 3 during the period ended September 30, 2014. At December 31, 2013, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At September 30, 2014, these securities were valued at fair value as determined in good faith by the Funds adviser as an independent pricing service did not provide a reliable price for the securities.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts, futures contracts, option contracts, swaptions and swap agreements.
The Fund seeks to achieve positive total returns over a full market cycle. The Fund pursues its objective by utilizing a flexible investment approach that allocates investments across a global range of investment opportunities related to credit, currencies and interest rates, while employing risk management techniques to mitigate downside risk. At times, the Fund expects to gain its investment exposure substantially through the use of derivatives, including forward foreign currency contracts, futures and option contracts, interest rate swaptions and swap
agreements. During the period ended September 30, 2014, 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, 2014, 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, 2014, 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 it holds without having to sell the bonds. During the period ended September 30, 2014, 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, 2014, 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, 2014:
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 |
$ | 800,863 | $ | | $ | | $ | | $ | 800,863 | ||||||||||
Foreign exchange contracts |
384,488 | 5,869,837 | | | 6,254,325 | |||||||||||||||
Credit contracts |
| | | 2,956,671 | 2,956,571 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter asset derivatives |
$ | 1,185,351 | $ | 5,869,837 | $ | | $ | 2,956,671 | $ | 10,011,759 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/centrally cleared asset derivatives |
||||||||||||||||||||
Equity contracts |
$ | 93,687 | $ | | $ | 575,799 | $ | | $ | 669,486 | ||||||||||
Interest rate contracts |
| | 1,180,990 | | 1,180,990 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/centrally cleared asset derivatives |
$ | 93,687 | $ | | $ | 1,756,789 | $ | | $ | 1,274,677 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives |
$ | 1,279,038 | $ | 5,869,837 | $ | 1,756,789 | $ | 2,956,671 | $ | 11,862,235 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Liabilities |
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 |
$ | | $ | | $ | | $ | | $ | | ||||||||||
Foreign exchange contracts |
| (1,879,422 | ) | | | (1,879,422 | ) | |||||||||||||
Credit contracts |
| | | (991,052 | ) | (991,052 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter liability derivatives |
$ | | $ | (1,879,422 | ) | $ | | $ | (991,052 | ) | $ | (2,870,474 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange traded/centrally cleared liability derivatives |
||||||||||||||||||||
Interest rate contracts |
$ | | $ | | $ | | $ | | $ | | ||||||||||
Credit contracts |
| | | (2,408,674 | ) | (2,408,674 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange traded/centrally cleared liability derivatives |
$ | | $ | | $ | | $ | | $ | | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives |
$ | | $ | (1,879,422 | ) | $ | | $ | (3,399,726 | ) | $ | (5,279,148 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
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, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||
$ | 21,016,241 | $ | 11,615,748 |
These amounts include cash received as collateral of $9,130,000.
Industry Summary at September 30, 2014 (Unaudited)
ABS Home Equity |
12.8 | % | ||
Banking |
4.9 | |||
Treasuries |
4.5 | |||
Automotive |
4.5 | |||
Technology |
4.2 | |||
Pharmaceuticals |
3.9 | |||
Non-Agency Commercial Mortgage-Backed Securities |
3.6 | |||
ABS Credit Card |
3.4 | |||
Finance Companies |
3.3 | |||
Chemicals |
2.2 | |||
ABS Other |
2.0 | |||
Other Investments, less than 2% each |
36.1 | |||
Short-Term Investments |
8.4 | |||
|
|
|||
Total Investments |
93.8 | |||
Other assets less liabilities (including open swap agreements, forward foreign currency contracts and futures contracts) |
6.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes 89.3% of Net Assets |
|||||||
|
Municipals 89.3% |
|||||||
California 4.9% |
||||||||
$250,000 | Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024 |
$ | 299,842 | |||||
380,000 | Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024 |
459,409 | ||||||
700,000 | Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035 |
793,898 | ||||||
|
|
|||||||
1,553,149 | ||||||||
|
|
|||||||
Colorado 7.5% |
||||||||
260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033(b) |
301,200 | ||||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028(b) |
450,420 | ||||||
400,000 | Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026 |
476,000 | ||||||
500,000 | Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028 |
618,030 | ||||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 |
526,837 | ||||||
|
|
|||||||
2,372,487 | ||||||||
|
|
|||||||
Connecticut 2.7% |
||||||||
375,000 | Connecticut State Health & Educational Facility Authority Revenue, Yale-New Haven Hospital, Series N, 5.000%, 7/01/2024 |
447,240 | ||||||
375,000 | State of Connecticut Special Tax Revenue, Second Lien, Transportation Infrastructure, Refunding, Series 1, 5.000%, 2/01/2016 |
398,183 | ||||||
|
|
|||||||
845,423 | ||||||||
|
|
|||||||
Florida 11.9% |
||||||||
500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 |
565,145 | ||||||
250,000 | Florida State Board of Education, GO, Capital Outlay 2011, Refunding, Series B, 5.000%, 6/01/2015 |
258,042 | ||||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 |
459,608 | ||||||
500,000 | JEA Water & Sewer System Revenue, Series A, 5.000%, 10/01/2016 |
544,805 | ||||||
250,000 | Miami Beach Health Facilities Authority Revenue, Mt. Sinai Medical Center, Refunding, 5.000%, 11/15/2025 |
285,370 | ||||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 |
477,768 | ||||||
600,000 | Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022(c) |
724,008 |
Principal Amount |
Description |
Value () | ||||||
|
Municipals continued |
|||||||
Florida continued |
||||||||
$400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 |
$ | 483,684 | |||||
|
|
|||||||
3,798,430 | ||||||||
|
|
|||||||
Georgia 2.8% |
||||||||
500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 |
589,880 | ||||||
250,000 | Savannah Hospital Authority Revenue, St. Josephs/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 |
290,850 | ||||||
|
|
|||||||
880,730 | ||||||||
|
|
|||||||
Hawaii 1.4% |
||||||||
400,000 | Honolulu City and County, GO, Series B, 5.000%, 8/01/2016 |
433,780 | ||||||
|
|
|||||||
Illinois 4.5% |
||||||||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028(b) |
406,785 | ||||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 |
116,436 | ||||||
500,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020 |
577,480 | ||||||
320,000 | Illinois State Toll Highway Authority Revenue, Senior Priority, Series A, (AGM insured), 5.000%, 1/01/2017 |
331,469 | ||||||
|
|
|||||||
1,432,170 | ||||||||
|
|
|||||||
Kentucky 1.0% |
||||||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037 |
323,488 | ||||||
Massachusetts 0.5% |
||||||||
150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 |
165,042 | ||||||
Michigan 1.8% |
||||||||
545,000 | State of Michigan, GO, Prerefunded 11/01/2015@100, Series A, (NATL-RE insured), 5.000%, 11/01/2018 |
573,269 | ||||||
|
|
|||||||
Minnesota 2.6% |
||||||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 |
274,898 | ||||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 |
327,234 | ||||||
200,000 | Northern Municipal Power Agency, Electric System Revenue, Series A, 5.000%, 1/01/2023 |
232,824 | ||||||
|
|
|||||||
834,956 | ||||||||
|
|
|||||||
Missouri 1.7% |
||||||||
500,000 | Southeast Missouri State University Revenue, Series A, 5.000%, 4/01/2016 |
530,980 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
|
Municipals continued |
|||||||
Nebraska 1.8% |
||||||||
$500,000 | Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028 |
$ | 576,970 | |||||
|
|
|||||||
Nevada 1.9% |
||||||||
500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 |
595,000 | ||||||
|
|
|||||||
New Jersey 7.8% |
||||||||
400,000 | New Jersey Economic Development Authority Revenue, School Facilities Construction, Prerefunded 03/01/2015@100, Series O, 5.125%, 3/01/2030 |
408,140 | ||||||
265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023 |
309,483 | ||||||
580,000 | New Jersey State Transportation Trust Fund Authority Revenue, Prerefunded 06/15/2015@100, Series D, (AGM insured), 5.000%, 6/15/2019 |
599,755 | ||||||
500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 |
574,360 | ||||||
500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 |
602,380 | ||||||
|
|
|||||||
2,494,118 | ||||||||
|
|
|||||||
New York 1.2% |
||||||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 |
386,047 | ||||||
North Carolina 1.7% |
||||||||
450,000 | City of Raleigh, Limited Obligation, Revenue, Series A, 5.000%, 10/01/2024 |
553,869 | ||||||
Ohio 7.0% |
||||||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 |
454,872 | ||||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023(b) |
612,205 | ||||||
500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 |
582,590 | ||||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 |
561,880 | ||||||
|
|
|||||||
2,211,547 | ||||||||
|
|
|||||||
Pennsylvania 3.7% |
||||||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 |
390,422 | ||||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 |
301,521 | ||||||
450,000 | Philadelphia Airport Revenue, Refunding, Series D, AMT, 5.000%, 6/15/2016 |
483,593 | ||||||
|
|
|||||||
1,175,536 | ||||||||
|
|
|||||||
Rhode Island 1.9% |
||||||||
500,000 | Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 |
610,030 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||||
|
Municipals continued |
|||||||
South Dakota 1.6% |
| |||||||
$465,000 | Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036(b) |
$ | 491,012 | |||||
|
|
|||||||
Texas 10.7% |
| |||||||
250,000 | Corpus Christi Utility System Revenue, Junior Lien Improvement, 5.000%, 7/15/2021 |
292,505 | ||||||
400,000 | Garland, GO, Refunding, (AGM insured), 5.000%, 2/15/2016 |
424,652 | ||||||
500,000 | Harris County Health Facilities Development Authority Revenue, Memorial Hermann Healthcare System, Prerefunded 12/01/2018@100, Series B, 7.125%, 12/01/2031 |
624,970 | ||||||
500,000 | Keller Independent School District, GO, Refunding, Series A, (PSF-GTD), 5.000%, 8/15/2022(c) |
605,835 | ||||||
350,000 | State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022 |
420,651 | ||||||
400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024(b) |
477,612 | ||||||
500,000 | West Harris County Regional Water Authority, Water System Revenue, Refunding, (AGM insured), 4.000%, 12/15/2019 |
562,565 | ||||||
|
|
|||||||
3,408,790 | ||||||||
|
|
|||||||
Utah 0.9% |
| |||||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 |
288,785 | ||||||
Washington 5.8% |
| |||||||
500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 |
553,670 | ||||||
400,000 | Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020 |
457,924 | ||||||
500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 |
590,670 | ||||||
250,000 | Spokane County, GO, Limited Tax, Refunding, 4.000%, 12/01/2014 |
251,605 | ||||||
|
|
|||||||
1,853,869 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $27,847,331) |
28,389,477 | |||||||
|
|
|||||||
|
Short-Term Investments 14.0% |
|||||||
4,464,687 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $4,464,687 on 10/01/2014 collateralized by $4,175,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $4,555,969 including accrued interest(d) (Identified Cost $4,464,687) |
4,464,687 | ||||||
|
|
|||||||
Total Investments 103.3% (Identified Cost $32,312,018)(a) |
32,854,164 | |||||||
Other assets less liabilities (3.3)% |
(1,046,408 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 31,807,756 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2014, the net unrealized appreciation on investments based on a cost of $32,312,018 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 |
$ | 576,499 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(34,353 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 542,146 | ||
|
|
At December 31, 2013, the Fund had a short-term capital loss carryforward of $342,616 with no expiration date and a long-term capital loss carryforward of $5,710 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | All 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) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
AGM AMT GO NATL-RE PSF-GTD |
Assured Guaranty Municipal Corporation Alternative Minimum Tax General Obligation National Public Finance Guarantee Corporation Permanent School Fund Guarantee Program |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 28,389,477 | $ | | $ | 28,389,477 | ||||||||
Short-Term Investments |
| 4,464,687 | | 4,464,687 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 32,854,164 | $ | | $ | 32,854,164 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.
Holdings Summary at September 30, 2014 (Unaudited)
Medical |
14.4 | % | ||
Higher Education |
13.4 | |||
General |
13.3 | |||
General Obligation |
11.2 | |||
Water |
10.2 | |||
School District |
7.8 | |||
Transportation |
7.6 | |||
Power |
5.1 | |||
Utilities |
2.6 | |||
Airport |
2.4 | |||
Education |
1.3 | |||
Short-Term Investments |
14.0 | |||
|
|
|||
Total Investments |
103.3 | |||
Other assets less liabilities |
(3.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
Natixis Oakmark Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 93.5% of Net Assets |
| ||||||
Air Freight & Logistics 2.1% | ||||||||
33,000 | FedEx Corp. |
$ | 5,327,850 | |||||
|
|
|||||||
Automobiles 1.9% | ||||||||
123,300 | General Motors Co. |
3,938,202 | ||||||
17,800 | Harley-Davidson, Inc. |
1,035,960 | ||||||
|
|
|||||||
4,974,162 | ||||||||
|
|
|||||||
Banks 9.2% | ||||||||
502,300 | Bank of America Corp. |
8,564,215 | ||||||
106,900 | Citigroup, Inc. |
5,539,558 | ||||||
90,500 | JPMorgan Chase & Co. |
5,451,720 | ||||||
81,700 | Wells Fargo & Co. |
4,237,779 | ||||||
|
|
|||||||
23,793,272 | ||||||||
|
|
|||||||
Beverages 1.5% | ||||||||
33,100 | Diageo PLC, Sponsored ADR |
3,819,740 | ||||||
|
|
|||||||
Capital Markets 8.2% | ||||||||
100,400 | Bank of New York Mellon Corp. (The) |
3,888,492 | ||||||
85,500 | Franklin Resources, Inc. |
4,669,155 | ||||||
27,200 | Goldman Sachs Group, Inc. (The) |
4,993,104 | ||||||
67,400 | State Street Corp. |
4,961,314 | ||||||
33,300 | T. Rowe Price Group, Inc. |
2,610,720 | ||||||
|
|
|||||||
21,122,785 | ||||||||
|
|
|||||||
Chemicals 1.5% | ||||||||
34,400 | Monsanto Co. |
3,870,344 | ||||||
|
|
|||||||
Communications Equipment 2.0% | ||||||||
67,300 | QUALCOMM, Inc. |
5,032,021 | ||||||
|
|
|||||||
Consumer Finance 2.0% | ||||||||
64,800 | Capital One Financial Corp. |
5,288,976 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.6% | ||||||||
74,700 | TE Connectivity Ltd. |
4,130,163 | ||||||
|
|
|||||||
Energy Equipment & Services 3.2% | ||||||||
61,900 | Halliburton Co. |
3,993,169 | ||||||
55,600 | National Oilwell Varco, Inc. |
4,231,160 | ||||||
|
|
|||||||
8,224,329 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.4% | ||||||||
48,400 | Wal-Mart Stores, Inc. |
3,701,148 | ||||||
|
|
|||||||
Food Products 4.7% | ||||||||
91,900 | General Mills, Inc. |
4,636,355 | ||||||
52,500 | Nestle S.A., Sponsored ADR |
3,865,575 | ||||||
83,800 | Unilever PLC, Sponsored ADR |
3,511,220 | ||||||
|
|
|||||||
12,013,150 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Health Care Equipment & Supplies 2.5% | ||||||||
25,100 | Baxter International, Inc. |
$ | 1,801,427 | |||||
73,200 | Medtronic, Inc. |
4,534,740 | ||||||
|
|
|||||||
6,336,167 | ||||||||
|
|
|||||||
Health Care Providers & Services 1.9% | ||||||||
56,500 | UnitedHealth Group, Inc. |
4,873,125 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 1.1% | ||||||||
47,500 | Las Vegas Sands Corp. |
2,954,975 | ||||||
|
|
|||||||
Household Durables 0.7% | ||||||||
12,000 | Whirlpool Corp. |
1,747,800 | ||||||
|
|
|||||||
Insurance 7.0% | ||||||||
72,500 | Aflac, Inc. |
4,223,125 | ||||||
108,700 | American International Group, Inc. |
5,871,974 | ||||||
47,400 | Aon PLC |
4,155,558 | ||||||
71,900 | Principal Financial Group, Inc. |
3,772,593 | ||||||
|
|
|||||||
18,023,250 | ||||||||
|
|
|||||||
Internet & Catalog Retail 3.7% | ||||||||
16,830 | Amazon.com, Inc.(b) |
5,426,665 | ||||||
143,700 | Liberty Interactive Corp., Class A(b) |
4,098,324 | ||||||
|
|
|||||||
9,524,989 | ||||||||
|
|
|||||||
Internet Software & Services 2.3% | ||||||||
8,490 | Google, Inc., Class A(b) |
4,995,601 | ||||||
1,410 | Google, Inc., Class C(b) |
814,077 | ||||||
|
|
|||||||
5,809,678 | ||||||||
|
|
|||||||
IT Services 7.1% | ||||||||
33,200 | Accenture PLC, Class A |
2,699,824 | ||||||
63,400 | Automatic Data Processing, Inc. |
5,267,272 | ||||||
73,600 | MasterCard, Inc., Class A |
5,440,512 | ||||||
22,680 | Visa, Inc., Class A |
4,839,232 | ||||||
|
|
|||||||
18,246,840 | ||||||||
|
|
|||||||
Machinery 2.9% | ||||||||
48,700 | Illinois Tool Works, Inc. |
4,111,254 | ||||||
30,500 | Parker Hannifin Corp. |
3,481,575 | ||||||
|
|
|||||||
7,592,829 | ||||||||
|
|
|||||||
Media 3.8% | ||||||||
61,000 | Comcast Corp., Special Class A |
3,263,500 | ||||||
157,700 | News Corp., Class A(b) |
2,578,395 | ||||||
58,000 | Omnicom Group, Inc. |
3,993,880 | ||||||
|
|
|||||||
9,835,775 | ||||||||
|
|
|||||||
Metals & Mining 1.1% | ||||||||
488,000 | Glencore PLC |
2,715,128 | ||||||
|
|
|||||||
Multiline Retail 1.7% | ||||||||
72,600 | Kohls Corp. |
4,430,778 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Oil, Gas & Consumable Fuels 2.9% | ||||||||
61,400 | Apache Corp. |
$ | 5,763,618 | |||||
62,400 | Cenovus Energy, Inc. |
1,677,312 | ||||||
|
|
|||||||
7,440,930 | ||||||||
|
|
|||||||
Pharmaceuticals 1.9% | ||||||||
88,300 | Sanofi, ADR |
4,982,769 | ||||||
|
|
|||||||
Road & Rail 1.2% | ||||||||
27,800 | Union Pacific Corp. |
3,014,076 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 4.7% | ||||||||
111,300 | Applied Materials, Inc. |
2,405,193 | ||||||
163,100 | Intel Corp. |
5,679,142 | ||||||
86,900 | Texas Instruments, Inc. |
4,144,261 | ||||||
|
|
|||||||
12,228,596 | ||||||||
|
|
|||||||
Software 3.9% | ||||||||
94,900 | Microsoft Corp. |
4,399,564 | ||||||
145,500 | Oracle Corp. |
5,569,740 | ||||||
|
|
|||||||
9,969,304 | ||||||||
|
|
|||||||
Specialty Retail 2.0% | ||||||||
57,600 | Home Depot, Inc. (The) |
5,284,224 | ||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 1.8% | ||||||||
44,950 | Apple, Inc. |
4,528,713 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $208,827,752) |
240,837,886 | |||||||
|
|
|||||||
Principal Amount |
||||||||
|
Short-Term Investments 7.5% |
|||||||
$19,379,256 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $19,379,256 on 10/01/2014 collateralized by $19,695,000 U.S Treasury Note, 1.625% due 4/30/2019 valued at $19,768,856 including accrued interest(c) (Identified Cost $19,379,256) |
19,379,256 | ||||||
|
|
|||||||
Total Investments 101.0% (Identified Cost $228,207,008)(a) |
260,217,142 | |||||||
Other assets less liabilities (1.0)% |
(2,586,996 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 257,630,146 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2014, the net unrealized appreciation on investments based on a cost of $228,207,008 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 |
$ | 33,923,019 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,912,885 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 32,010,134 | ||
|
|
(b) | Non-income producing security. |
(c) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements |
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
Level 1quoted prices in active markets for identical assets or liabilities;
Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and
Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value: |
Asset Valuation Inputs |
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 240,837,886 | $ | | $ | | $ | 240,837,886 | ||||||||
Short-Term Investments |
| 19,379,256 | | 19,379,256 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 240,837,886 | $ | 19,379,256 | $ | | $ | 260,217,142 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2014 (Unaudited)
Banks |
9.2 | % | ||
Capital Markets |
8.2 | |||
IT Services |
7.1 | |||
Insurance |
7.0 | |||
Semiconductors & Semiconductor Equipment |
4.7 | |||
Food Products |
4.7 | |||
Software |
3.9 | |||
Media |
3.8 | |||
Internet & Catalog Retail |
3.7 | |||
Energy Equipment & Services |
3.2 | |||
Machinery |
2.9 | |||
Oil, Gas & Consumable Fuels |
2.9 | |||
Health Care Equipment & Supplies |
2.5 | |||
Internet Software & Services |
2.3 | |||
Air Freight & Logistics |
2.1 | |||
Consumer Finance |
2.0 | |||
Specialty Retail |
2.0 | |||
Communications Equipment |
2.0 | |||
Other Investments, less than 2% each |
19.3 | |||
Short-Term Investments |
7.5 | |||
|
|
|||
Total Investments |
101.0 | |||
Other assets less liabilities |
(1.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
SeeyondSM Multi-Asset Allocation Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 8.9% of Net Assets |
| ||||||
France 2.7% |
| |||||||
900,000 | France Government Bond OAT, 3.500%, 4/25/2020, (EUR)(b) |
$ | 1,330,365 | |||||
|
|
|||||||
Germany 2.9% |
| |||||||
400,000 | Bundesrepublik Deutschland, 1.500%, 2/15/2023, (EUR)(b) |
538,226 | ||||||
600,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b) |
880,076 | ||||||
|
|
|||||||
1,418,302 | ||||||||
|
|
|||||||
Spain 2.6% |
| |||||||
850,000 | Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(b) |
1,291,457 | ||||||
|
|
|||||||
United Kingdom 0.7% |
| |||||||
200,000 | United Kingdom Gilt, 2.250%, 9/07/2023, (GBP) |
322,606 | ||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $4,518,058) |
4,362,730 | |||||||
|
|
|||||||
Shares |
||||||||
|
Exchange Traded Funds 9.5% |
| ||||||
10,000 | iShares® MSCI China ETF(b)(c) |
473,800 | ||||||
38,610 | iShares® MSCI Emerging Markets ETF(b)(c) |
1,604,632 | ||||||
5,900 | iShares® MSCI India ETF(b)(c) |
179,124 | ||||||
2,425 | iShares® MSCI Indonesia ETF(b)(c) |
66,008 | ||||||
6,350 | iShares® MSCI Malaysia ETF(b)(c) |
97,790 | ||||||
800 | iShares® MSCI Philippines ETF(b)(c) |
30,448 | ||||||
6,025 | iShares® MSCI South Korea Capped ETF(b)(c) |
364,573 | ||||||
45,000 | iShares® MSCI Switzerland Capped ETF(b)(c) |
1,462,950 | ||||||
19,530 | iShares® MSCI Taiwan ETF(b)(c) |
298,223 | ||||||
700 | iShares® MSCI Thailand Capped ETF(b)(c) |
58,681 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Identified Cost $4,882,902) |
4,636,229 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 54.7% |
| ||||||
$26,846,396 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $26,846,396 on 10/01/2014 collateralized by $25,095,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $27,384,919 including accrued interest(d) (Identified Cost $26,846,396) |
26,846,396 | ||||||
|
|
Description |
Value () | |||||
Total Investments 73.1% (Identified Cost $36,247,356)(a) |
$ | 35,845,355 | ||||
Other assets less liabilities 26.9% |
13,190,262 | |||||
|
|
|||||
Net Assets 100.0% |
$ | 49,035,617 | ||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may 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 the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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, 2014, the net unrealized depreciation on investments based on a cost of $36,256,490 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 |
(411,135 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (411,135 | ) | |
|
|
(b) | All of this security has been designated to cover the Funds obligations under open futures contracts. |
(c) | iShares® is a registered trademark of BlackRock Institutional Trust Company, N.A. Neither BlackRock Institutional Trust Company, N.A. nor the iShares® Funds make any representations regarding the advisability of investing in the SeeyondSM Multi-Asset Allocation Fund. |
(d) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2014, the value of Rule 144A holdings amounted to $1,291,457 or 2.6% of net assets. |
ETF | Exchange Traded Fund |
EUR | Euro |
GBP | British Pound |
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, 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 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, 2014, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
ASX SPI 200 |
12/18/2014 | 8 | $ | 925,106 | $ | (22,698 | ) | |||||||||
E-mini NASDAQ 100 |
12/19/2014 | 19 | 1,537,005 | 7,286 | ||||||||||||
E-mini S&P 500® |
12/19/2014 | 149 | 14,642,975 | (95,998 | ) | |||||||||||
EURO STOXX 50® |
12/19/2014 | 44 | 1,791,157 | (2,295 | ) | |||||||||||
Euro-BTP |
12/08/2014 | 16 | 2,636,845 | 30,487 | ||||||||||||
FTSE 100 Index |
12/19/2014 | 21 | 2,248,787 | (63,027 | ) | |||||||||||
FTSE MIB |
12/19/2014 | 13 | 1,713,473 | (4,027 | ) | |||||||||||
German Euro Bund |
12/08/2014 | 9 | 1,701,708 | 8,282 | ||||||||||||
IBEX 35 |
10/17/2014 | 7 | 960,047 | (544 | ) | |||||||||||
Nikkei 225 |
12/11/2014 | 40 | 3,245,000 | 64,736 | ||||||||||||
S&P/TSX 60 Index |
12/18/2014 | 7 | 1,076,548 | (36,818 | ) | |||||||||||
UK Long Gilt |
12/29/2014 | 2 | 366,834 | 1,423 | ||||||||||||
Ultra Long U.S. Treasury Bond |
12/19/2014 | 3 | 457,500 | (4,787 | ) | |||||||||||
10 Year Japan Government Bond |
12/11/2014 | 4 | 5,318,988 | 1,094 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | (116,886 | ) | ||||||||||||
|
|
At September 30, 2014, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
CBOE SPX Volatility Index |
10/21/2014 | 40 | $ | 652,000 | $ | (46,606 | ) | |||||||||
CBOE SPX Volatility Index |
11/18/2014 | 24 | 399,600 | (24,079 | ) | |||||||||||
Swiss Franc |
12/15/2014 | 3 | 392,963 | 8,147 | ||||||||||||
|
|
|||||||||||||||
Total |
|
$ | (62,538 | ) | ||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 4,362,730 | $ | | $ | 4,362,730 | ||||||||
Exchange Traded Funds* |
4,636,229 | | | 4,636,229 | ||||||||||||
Short-Term Investments |
| 26,846,396 | | 26,846,396 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,636,229 | 31,209,126 | | 35,845,355 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) |
121,455 | | | 121,455 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 4,757,684 | $ | 31,209,126 | $ | | $ | 35,966,810 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) |
$ | (300,879 | ) | $ | | $ | | $ | (300,879 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2014, 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 seeks to gain exposure to a combination of four asset classes: equity, fixed income, currency and volatility. The Fund pursues its objective by utilizing a variety of listed and other liquid derivative instruments. The Funds equity exposure typically will be obtained through investments in broad, equity index listed futures, options and exchange-traded funds (ETFs). The Funds fixed income exposure may consist of, but is not limited to, U.S. and non-U.S. government bonds, listed bond futures and fixed income ETFs. The Funds currency exposure typically will be obtained through investments in non-dollar denominated investments, futures and forward foreign currency contracts. The Funds exposure to volatility assets will result from both long and short positions in index futures and options, such as futures contracts based on the Chicago Board Options Exchange Volatility Index (the VIX), listed equity index options and equity index futures. During the period ended September 30, 2014, the Fund used futures and options contracts to gain investment exposure in accordance with its objective.
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.
The following is a summary of derivative instruments for the Fund, as of September 30, 2014:
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange traded/cleared asset derivatives |
||||
Interest rate contracts |
$ | 41,286 | ||
Foreign Exchange contracts |
8,147 | |||
Equity contracts |
72,022 | |||
|
|
|||
Total asset derivatives |
$ | 121,455 | ||
|
|
|||
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange traded/cleared liability derivatives |
||||
Interest rate contracts |
$ | (4,787 | ) | |
Equity contracts |
(296,092 | ) | ||
|
|
|||
Total liability derivatives |
$ | (300,879 | ) | |
|
|
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. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:
Maximum Amount of Loss - Gross | ||
$2,302,457 | ||
Industry Summary at September 30, 2014 (Unaudited)
Exchange Traded Funds |
9.5 | % | ||
Sovereign |
8.9 | |||
Short-Term Investments |
54.7 | |||
|
|
|||
Total Investments |
73.1 | |||
Other assets less liabilities (including open futures contracts) |
26.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2014 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares |
Description |
Value () | ||||||
Common Stocks 95.5% of Net Assets | ||||||||
Auto Components 2.5% | ||||||||
151,025 | Delphi Automotive PLC |
$ | 9,263,873 | |||||
170,425 | Tenneco, Inc.(b) |
8,914,932 | ||||||
|
|
|||||||
18,178,805 | ||||||||
|
|
|||||||
Banks 6.0% | ||||||||
254,100 | CIT Group, Inc. |
11,678,436 | ||||||
1,105,250 | Investors Bancorp, Inc. |
11,196,183 | ||||||
307,150 | PacWest Bancorp |
12,663,794 | ||||||
880,650 | Regions Financial Corp. |
8,841,726 | ||||||
|
|
|||||||
44,380,139 | ||||||||
|
|
|||||||
Capital Markets 3.2% | ||||||||
269,400 | LPL Financial Holdings, Inc. |
12,405,870 | ||||||
303,075 | SEI Investments Co. |
10,959,192 | ||||||
|
|
|||||||
23,365,062 | ||||||||
|
|
|||||||
Chemicals 1.3% | ||||||||
168,375 | FMC Corp. |
9,629,366 | ||||||
|
|
|||||||
Commercial Services & Supplies 0.8% | ||||||||
202,050 | KAR Auction Services, Inc. |
5,784,692 | ||||||
|
|
|||||||
Communications Equipment 2.0% | ||||||||
626,550 | CommScope Holding Co., Inc.(b) |
14,980,810 | ||||||
|
|
|||||||
Construction & Engineering 1.0% | ||||||||
214,300 | Quanta Services, Inc.(b) |
7,776,947 | ||||||
|
|
|||||||
Consumer Finance 1.7% | ||||||||
241,850 | Portfolio Recovery Associates, Inc.(b) |
12,631,826 | ||||||
|
|
|||||||
Containers & Packaging 2.8% | ||||||||
256,125 | Crown Holdings, Inc.(b) |
11,402,685 | ||||||
142,850 | Packaging Corp. of America |
9,116,687 | ||||||
|
|
|||||||
20,519,372 | ||||||||
|
|
|||||||
Diversified Consumer Services 1.2% | ||||||||
362,050 | ServiceMaster Global Holdings, Inc.(b) |
8,761,610 | ||||||
|
|
|||||||
Diversified Financial Services 1.8% | ||||||||
313,275 | NASDAQ OMX Group, Inc. (The) |
13,289,126 | ||||||
|
|
|||||||
Energy Equipment & Services 2.6% | ||||||||
212,250 | Atwood Oceanics, Inc.(b) |
9,273,203 | ||||||
307,150 | Superior Energy Services, Inc. |
10,096,020 | ||||||
|
|
|||||||
19,369,223 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 1.5% | ||||||||
291,850 | Alere, Inc.(b) |
11,317,943 | ||||||
|
|
|||||||
Health Care Providers & Services 6.0% | ||||||||
268,700 | Amsurg Corp.(b) |
13,448,435 |
Shares |
Description |
Value () | ||||||
Common Stocks continued | ||||||||
Health Care Providers & Services continued | ||||||||
214,300 | Community Health Systems, Inc.(b) |
$ | 11,741,497 | |||||
269,400 | HCA Holdings, Inc.(b) |
18,998,088 | ||||||
|
|
|||||||
44,188,020 | ||||||||
|
|
|||||||
Household Durables 3.8% | ||||||||
65,300 | Harman International Industries, Inc. |
6,402,012 | ||||||
224,500 | Jarden Corp.(b) |
13,494,695 | ||||||
220,425 | Lennar Corp., Class A |
8,559,103 | ||||||
|
|
|||||||
28,455,810 | ||||||||
|
|
|||||||
Household Products 1.4% | ||||||||
117,350 | Spectrum Brands Holdings, Inc. |
10,623,696 | ||||||
|
|
|||||||
Insurance 2.9% | ||||||||
399,000 | First American Financial Corp. |
10,820,880 | ||||||
130,625 | Reinsurance Group of America, Inc., Class A |
10,466,981 | ||||||
|
|
|||||||
21,287,861 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.6% | ||||||||
197,975 | HSN, Inc. |
12,149,726 | ||||||
|
|
|||||||
IT Services 8.9% | ||||||||
180,625 | Broadridge Financial Solutions, Inc. |
7,519,419 | ||||||
176,525 | CACI International, Inc., Class A(b) |
12,580,937 | ||||||
197,975 | Fiserv, Inc.(b) |
12,796,114 | ||||||
148,975 | Global Payments, Inc. |
10,410,373 | ||||||
674,725 | Sabre Corp. |
12,087,698 | ||||||
344,900 | Total System Services, Inc. |
10,678,104 | ||||||
|
|
|||||||
66,072,645 | ||||||||
|
|
|||||||
Machinery 5.3% | ||||||||
90,825 | Flowserve Corp. |
6,404,979 | ||||||
176,525 | Pentair PLC |
11,560,622 | ||||||
63,275 | Snap-on, Inc. |
7,661,337 | ||||||
151,100 | WABCO Holdings, Inc.(b) |
13,742,545 | ||||||
|
|
|||||||
39,369,483 | ||||||||
|
|
|||||||
Metals & Mining 3.9% | ||||||||
193,875 | Carpenter Technology Corp. |
8,753,456 | ||||||
468,375 | Constellium NV, Class A(b) |
11,526,709 | ||||||
130,625 | Reliance Steel & Aluminum Co. |
8,934,750 | ||||||
|
|
|||||||
29,214,915 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 4.1% | ||||||||
186,750 | Gulfport Energy Corp.(b) |
9,972,450 | ||||||
140,825 | Noble Energy, Inc. |
9,626,797 | ||||||
135,525 | Whiting Petroleum Corp.(b) |
10,509,964 | ||||||
|
|
|||||||
30,109,211 | ||||||||
|
|
|||||||
Pharmaceuticals 4.8% | ||||||||
388,175 | Catalent, Inc.(b) |
9,716,020 | ||||||
147,050 | Mallinckrodt PLC(b) |
13,256,558 | ||||||
94,986 | Valeant Pharmaceuticals International, Inc.(b) |
12,462,163 | ||||||
|
|
|||||||
35,434,741 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued | ||||||||
Professional Services 1.2% | ||||||||
357,150 | TriNet Group, Inc.(b) |
$ | 9,196,613 | |||||
|
|
|||||||
Road & Rail 2.7% | ||||||||
216,325 | Con-way, Inc. |
10,275,437 | ||||||
386,750 | Hertz Global Holdings, Inc.(b) |
9,819,583 | ||||||
|
|
|||||||
20,095,020 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 5.1% | ||||||||
128,650 | Avago Technologies Ltd. |
11,192,550 | ||||||
380,625 | Micron Technology, Inc.(b) |
13,040,213 | ||||||
231,650 | Skyworks Solutions, Inc. |
13,447,282 | ||||||
|
|
|||||||
37,680,045 | ||||||||
|
|
|||||||
Software 2.2% | ||||||||
138,775 | Check Point Software Technologies Ltd.(b) |
9,608,781 | ||||||
454,100 | Nuance Communications, Inc.(b) |
6,999,951 | ||||||
|
|
|||||||
16,608,732 | ||||||||
|
|
|||||||
Specialty Retail 6.2% | ||||||||
190,825 | Cabelas, Inc.(b) |
11,239,592 | ||||||
315,325 | GNC Holdings, Inc., Class A |
12,215,690 | ||||||
179,475 | Mens Wearhouse, Inc. (The) |
8,474,810 | ||||||
124,500 | Signet Jewelers Ltd. |
14,181,795 | ||||||
|
|
|||||||
46,111,887 | ||||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 2.4% | ||||||||
521,450 | NCR Corp.(b) |
17,421,644 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.9% | ||||||||
115,300 | PVH Corp. |
13,968,595 | ||||||
|
|
|||||||
Trading Companies & Distributors 2.7% | ||||||||
388,800 | HD Supply Holdings, Inc.(b) |
10,598,688 | ||||||
81,625 | United Rentals, Inc.(b) |
9,068,537 | ||||||
|
|
|||||||
19,667,225 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $638,151,685) |
707,640,790 | |||||||
|
|
|||||||
Closed-End Investment Companies 1.7% | ||||||||
778,700 | Ares Capital Corp. (Identified Cost $13,136,956) |
12,583,792 | ||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 3.0% | ||||||||
$22,444,259 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2014 at 0.000% to be repurchased at $22,444,259 on 10/01/2014 collateralized by $20,980,000 U.S. Treasury Note, 3.625% due 8/15/2019 valued at $22,894,425 including accrued interest(c) (Identified Cost $22,444,259) |
22,444,259 | ||||||
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Description |
Value () | |||||
Total Investments 100.2% (Identified Cost $673,732,900)(a) |
$ | 742,668,841 | ||||
Other assets less liabilities (0.2)% |
(1,511,184 | ) | ||||
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|
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Net Assets 100.0% |
$ | 741,157,657 | ||||
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() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At September 30, 2014, the net unrealized appreciation on investments based on a cost of $673,732,900 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 |
$ | 86,390,317 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(17,454,376 | ) | ||
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|
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Net unrealized appreciation |
$ | 68,935,941 | ||
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|
(b) | Non-income producing security. |
(c) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of September 30, 2014, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2014, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 707,640,790 | $ | | $ | | $ | 707,640,790 | ||||||||
Closed-End Investment Companies |
12,583,792 | | | 12,583,792 | ||||||||||||
Short-Term Investments |
| 22,444,259 | | 22,444,259 | ||||||||||||
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|
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Total |
$ | 720,224,582 | $ | 22,444,259 | $ | | $ | 742,668,841 | ||||||||
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* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2014 (Unaudited)
IT Services |
8.9 | % | ||
Specialty Retail |
6.2 | |||
Banks |
6.0 | |||
Health Care Providers & Services |
6.0 | |||
Machinery |
5.3 | |||
Semiconductors & Semiconductor Equipment |
5.1 | |||
Pharmaceuticals |
4.8 | |||
Oil, Gas & Consumable Fuels |
4.1 | |||
Metals & Mining |
3.9 | |||
Household Durables |
3.8 | |||
Capital Markets |
3.2 | |||
Insurance |
2.9 | |||
Containers & Packaging |
2.8 | |||
Road & Rail |
2.7 | |||
Trading Companies & Distributors |
2.7 | |||
Energy Equipment & Services |
2.6 | |||
Auto Components |
2.5 | |||
Technology Hardware, Storage & Peripherals |
2.4 | |||
Software |
2.2 | |||
Communications Equipment |
2.0 | |||
Other Investments, less than 2% each |
17.1 | |||
Short-Term Investments |
3.0 | |||
|
|
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Total Investments |
100.2 | |||
Other assets less liabilities |
(0.2 | ) | ||
|
|
|||
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, 2014 |
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, 2014 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | November 21, 2014 |
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, 2014
/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, 2014
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |