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)
Russell L. Kane, 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) 449-2822
Date of fiscal year end: December 31
Date of reporting period: September 30, 2016
ITEM 1 SCHEDULE OF INVESTMENTS
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
ASG Dynamic Allocation Fund
Shares |
Description |
Value () | ||||
Exchange-Traded Funds 47.7% |
| |||||
11,518 | iShares® Core U.S. Aggregate Bond ETF | $ | 1,294,853 | |||
6,044 | iShares® Edge MSCI Min Vol Emerging Markets ETF | 326,739 | ||||
2,666 | iShares® JP Morgan USD Emerging Markets Bond ETF | 312,482 | ||||
27,244 | SPDR® Barclays International Treasury Bond ETF(b) | 785,717 | ||||
4,422 | Vanguard FTSE All World ex-U.S. Small-Cap ETF | 440,109 | ||||
11,743 | Vanguard FTSE Developed Markets ETF | 439,306 | ||||
8,851 | Vanguard FTSE Emerging Markets ETF | 333,063 | ||||
8,967 | Vanguard FTSE Europe ETF | 436,962 | ||||
7,333 | Vanguard FTSE Pacific ETF | 444,233 | ||||
14,541 | Vanguard Intermediate-Term Corporate Bond ETF | 1,302,583 | ||||
8,474 | Vanguard Mid-Cap ETF | 1,096,875 | ||||
13,955 | Vanguard Total International Bond ETF | 782,038 | ||||
9,725 | Vanguard Total Stock Market ETF | 1,082,684 | ||||
12,299 | Vanguard Value ETF | 1,070,013 | ||||
|
|
|||||
Total Exchange-Traded Funds (Identified Cost $9,930,399) |
10,147,657 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 51.8% |
| |||||
Certificates of Deposit 37.7% | ||||||
$ 850,000 | Bank of Nova Scotia (TX), 0.843%, 10/03/2016(c) |
850,032 | ||||
800,000 | Abbey National Treasury Services PLC (CT), 0.380%, 10/06/2016 |
800,000 | ||||
800,000 | Credit Agricole Corporate & Investment Bank, 0.400%, 10/06/2016 |
800,004 | ||||
800,000 | Banco Del Estado de Chile (NY), 0.769%, 10/07/2016(c) |
800,058 | ||||
700,000 | Svenska Handelsbanken (NY), 0.835%, 11/02/2016(d) |
700,202 | ||||
500,000 | Rabobank Nederland NV, 0.882%, 11/21/2016(c)(d) |
500,202 | ||||
800,000 | State Street Bank and Trust Company, 0.869%, 12/07/2016(c)(d) |
800,313 | ||||
750,000 | Sumitomo Mitsui Bank (NY), 0.984%, 1/04/2017(c)(d) |
750,290 | ||||
800,000 | Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 0.893%, 1/09/2017(c) |
800,201 | ||||
500,000 | National Australia Bank, 1.100%, 2/08/2017 |
500,598 | ||||
700,000 | Toronto Dominion Bank, 1.316%, 8/10/2017(c) |
700,421 | ||||
|
|
|||||
8,002,321 | ||||||
|
|
|||||
Time Deposits 7.3% |
| |||||
650,000 | Canadian Imperial Bank of Commerce, 0.260%, 10/03/2016 |
650,000 | ||||
900,000 | National Bank of Kuwait, 0.330%, 10/03/2016(c) |
900,000 | ||||
|
|
|||||
1,550,000 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Other Notes 4.0% |
| |||||
$ 850,000 | Bank of America N.A., 0.700%, 11/03/2016(c) |
$ | 850,096 | |||
|
|
|||||
Treasuries 2.8% |
| |||||
150,000 | U.S. Treasury Bills, 0.252%, 10/20/2016(e)(f) |
149,991 | ||||
200,000 | U.S. Treasury Bills, 0.160%, 11/17/2016(e)(f) |
199,956 | ||||
250,000 | U.S. Treasury Bills, 0.260%, 12/22/2016(e)(f) |
249,869 | ||||
|
|
|||||
599,816 | ||||||
|
|
|||||
Total Short-Term Investments (Identified Cost $10,999,810) |
11,002,233 | |||||
|
|
|||||
Total Investments 99.5% (Identified Cost $20,930,209)(a) |
21,149,890 | |||||
Other assets less liabilities 0.5% | 96,447 | |||||
|
|
|||||
Net Assets 100.0% | $ | 21,246,337 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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 most recent settlement price on the exchange on which the adviser 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.
As of September 30, 2016, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||
$3,504,168 | $ | 52,140 | 0.25 | % |
* | Amounts represent gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments 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, 2016, the net unrealized appreciation on investments based on a cost of $20,930,209 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 |
$ | 221,170 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,489 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 219,681 | ||
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $187,294 with no expiration date and a long-term capital loss carryforward of $59,240 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | Variable rate security. Rate as of September 30, 2016 is disclosed. |
(d) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
ETF Exchange-Traded Fund
SPDR Standard & Poors Depositary Receipt
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.
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, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
ASX SPI 200 | 12/15/2016 | 3 | $ | 312,929 | $ | 13,141 | ||||||||
CAC 40® | 10/21/2016 | 6 | 299,740 | 5,423 | ||||||||||
E-mini Dow | 12/16/2016 | 22 | 2,004,090 | (15,895 | ) | |||||||||
E-mini NASDAQ 100 | 12/16/2016 | 20 | 1,948,100 | 77,815 | ||||||||||
E-mini S&P 500® | 12/16/2016 | 18 | 1,944,450 | 7,878 | ||||||||||
EURO STOXX 50® | 12/16/2016 | 10 | 336,726 | 743 | ||||||||||
FTSE 100 Index | 12/16/2016 | 3 | 266,771 | 7,547 | ||||||||||
FTSE/JSE Top 40 Index | 12/15/2016 | 13 | 435,083 | (5,030 | ) | |||||||||
German Euro Bund | 12/08/2016 | 2 | 372,278 | 1,977 | ||||||||||
Hang Seng Index® | 10/28/2016 | 2 | 302,707 | 389 | ||||||||||
Mini-Russell 2000 | 12/16/2016 | 16 | 1,997,280 | 58,045 | ||||||||||
MSCI Singapore | 10/28/2016 | 19 | 441,154 | 7,545 | ||||||||||
MSCI Taiwan Index | 10/28/2016 | 12 | 412,212 | (3,228 | ) | |||||||||
S&P CNX Nifty Futures Index | 10/27/2016 | 25 | 433,144 | (6,918 | ) | |||||||||
TOPIX | 12/08/2016 | 2 | 263,702 | 2,176 | ||||||||||
UK Long Gilt | 12/28/2016 | 2 | 337,647 | (2,592 | ) | |||||||||
5 Year U.S. Treasury Note | 12/30/2016 | 2 | 243,031 | 805 | ||||||||||
10 Year Australia Government Bond | 12/15/2016 | 3 | 314,596 | 2,870 | ||||||||||
10 Year U.S. Treasury Note | 12/20/2016 | 2 | 262,250 | 1,297 | ||||||||||
30 Year U.S. Treasury Bond | 12/20/2016 | 1 | 168,156 | (1,375 | ) | |||||||||
|
|
|||||||||||||
Total |
|
$ | 152,613 | |||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 10,147,657 | $ | | $ | | $ | 10,147,657 | ||||||||
Short-Term Investments* | | 11,002,233 | | 11,002,233 | ||||||||||||
Futures Contracts (unrealized appreciation) | 150,687 | 36,964 | | 187,651 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 10,298,344 | $ | 11,039,197 | $ | | $ | 21,337,541 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Futures Contracts (unrealized depreciation) | $ | (19,862 | ) | $ | (15,176 | ) | $ | | $ | (35,038 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2016, 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 an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund tactically allocates its investments across a range of asset classes and global markets. The Fund will typically use a variety of derivative instruments, in particular long positions in futures and forward contracts, to achieve exposures to global equity and fixed income securities. The Fund may also hold short positions in derivatives for hedging purposes. During the year ended September 30, 2016, the Fund used long contracts on U.S. and foreign equity market indices and U.S. and foreign government bonds to gain investment exposures in accordance with its objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2016:
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange-traded assets derivatives |
||||
Equity contracts |
$ | 180,702 | ||
Interest rate contracts |
6,949 | |||
|
|
|||
Total asset derivatives | $ | 187,651 | ||
|
|
|||
Liabilities |
Unrealized depreciation on futures contracts |
|||
Exchange-traded liability derivatives |
||||
Equity contracts |
$ | (31,071 | ) | |
Interest rate contracts |
(3,967 | ) | ||
|
|
|||
Total liability derivatives | $ | (35,038 | ) | |
|
|
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. The Funds risk of loss from counterparty credit risk on OTC 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts |
$ | 187,651 | $ | 187,651 | ||||
Margin with brokers |
516,948 | 516,948 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk | $ | 704,599 | $ | 704,599 | ||||
|
|
|
|
Industry Summary at September 30, 2016 (Unaudited)
Exchange-Traded Funds | 47.7 | % | ||
Certificates of Deposit | 37.7 | |||
Time Deposits | 7.3 | |||
Other Notes | 4.0 | |||
Treasuries | 2.8 | |||
|
|
|||
Total Investments | 99.5 | |||
Other assets less liabilities (including futures contracts) | 0.5 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
ASG Global Alternatives Fund
Principal Amount |
||||||
Short-Term Investments 97.3% |
| |||||
Certificates of Deposit 71.9% |
| |||||
$ 80,000,000 | Landesbank Hessen (NY), 0.460%, 10/03/2016 |
80,000,706 | ||||
60,000,000 | Bank of Nova Scotia (TX), 0.843%, 10/03/2016(b) |
60,002,280 | ||||
73,000,000 | Sumitomo Mitsui Trust Bank (NY), 0.420%, 10/05/2016 |
73,000,477 | ||||
79,800,000 | Abbey National Treasury Services PLC (CT), 0.380%, 10/06/2016 |
79,800,000 | ||||
90,000,000 | Credit Agricole Corporate & Investment Bank, 0.400%, 10/06/2016 |
90,000,419 | ||||
40,000,000 | National Bank of Canada, 0.420%, 10/06/2016 |
39,999,600 | ||||
50,000,000 | Banco Del Estado de Chile (NY), 0.769%, 10/07/2016(b) |
50,003,600 | ||||
50,000,000 | Deutsche Zentral-Genossenschaftsbank (NY), 0.570%, 10/11/2016 |
50,000,253 | ||||
85,000,000 | Bank of Tokyo-Mitsubishi UFJ Ltd. (NY), 0.530%, 10/24/2016 |
84,999,316 | ||||
5,000,000 | Sumitomo Mitsui Trust Bank (NY), 0.900%, 10/24/2016 |
5,001,457 | ||||
10,000,000 | Svenska Handelsbanken (NY), 0.835%, 11/02/2016 |
10,002,880 | ||||
57,000,000 | Royal Bank of Canada, 0.889%, 11/07/2016(b)(c) |
57,021,546 | ||||
90,000,000 | Rabobank Nederland NV, 0.882%, 11/21/2016(b)(c) |
90,036,360 | ||||
45,000,000 | Toronto Dominion Bank, 0.850%, 12/01/2016(c) |
45,017,730 | ||||
50,000,000 | State Street Bank and Trust Company, 0.869%, 12/07/2016(b)(c) |
50,019,550 | ||||
80,000,000 | Credit Industriel et Commercial (NY), 0.830%, 12/15/2016 |
80,015,301 | ||||
47,000,000 | National Bank of Canada, 0.860%, 1/05/2017 |
46,997,954 | ||||
50,000,000 | Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 0.893%, 1/09/2017(b)(c) |
50,012,600 | ||||
5,000,000 | Sumitomo Mitsui Bank (NY), 1.232%, 1/20/2017(b) |
5,004,925 | ||||
73,000,000 | Svenska Handelsbanken (NY), 1.096%, 2/03/2017(b) |
73,044,676 | ||||
25,000,000 | Westpac Banking Corp. (NY), 1.078%, 2/06/2017(b) |
25,016,600 | ||||
60,000,000 | National Australia Bank, 1.100%, 2/08/2017(c) |
60,071,765 | ||||
57,000,000 | Skandinaviska Enskilda Banken AB (NY), 1.108%, 2/09/2017(b) |
57,035,967 | ||||
25,000,000 | Royal Bank of Canada, 1.131%, 2/17/2017(b) |
25,015,000 | ||||
50,000,000 | Mizuho Bank Ltd. (NY), 1.231%, 2/17/2017(b)(c) |
50,020,200 | ||||
20,000,000 | Deutsche Zentral-Genossenschaftsbank (NY), 1.150%, 3/09/2017 |
19,991,705 |
Principal Amount |
Description |
Value () | ||||
Certificates of Deposit continued |
||||||
$ 95,000,000 | Bank of Montreal (IL), 1.218%, 5/12/2017(b)(c) |
$ | 95,036,765 | |||
15,000,000 | Toronto Dominion Bank, 1.316%, 8/10/2017(b) |
15,009,030 | ||||
|
|
|||||
1,467,178,662 | ||||||
|
|
|||||
Commercial Paper 9.6% |
| |||||
25,000,000 | BNP Paribas Fortis S.A. (NY), 0.370%, 10/06/2016(d) |
24,998,425 | ||||
46,950,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.440%, 10/13/2016(d) |
46,941,693 | ||||
69,000,000 | ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 0.752%, 11/02/2016(d) |
68,963,125 | ||||
55,000,000 | Swedbank (NY), 0.802%, 12/05/2016(d) |
54,950,390 | ||||
|
|
|||||
195,853,633 | ||||||
|
|
|||||
Time Deposits 7.6% |
| |||||
60,000,000 | Canadian Imperial Bank of Commerce, 0.260%, 10/03/2016 |
60,000,000 | ||||
95,400,000 | National Bank of Kuwait, 0.330%, 10/03/2016(b) |
95,400,000 | ||||
|
|
|||||
155,400,000 | ||||||
|
|
|||||
Treasuries 4.8% |
| |||||
36,000,000 | U.S. Treasury Bills, 0.253%, 10/20/2016(d)(e) |
35,997,696 | ||||
30,500,000 | U.S. Treasury Bills, 0.160%, 11/17/2016(d)(e) |
30,493,321 | ||||
31,500,000 | U.S. Treasury Bills, 0.260%, 12/22/2016(d)(e) |
31,483,462 | ||||
|
|
|||||
97,974,479 | ||||||
|
|
|||||
Other Notes 3.4% |
| |||||
50,000,000 | Wells Fargo Bank, National Association, 1.027%, 11/18/2016(b) |
50,001,850 | ||||
20,000,000 | JPMorgan Chase Bank NA, Series 1, 1.033%, 12/07/2016 |
19,999,280 | ||||
|
|
|||||
70,001,130 | ||||||
|
|
|||||
Total Short-Term Investments (Identified Cost $1,985,987,210) |
1,986,407,904 | |||||
|
|
|||||
Shares |
||||||
Exchange-Traded Funds 2.4% |
||||||
556,035 | iShares® iBoxx $ High Yield Corporate Bond ETF (Identified Cost $47,649,851) |
48,519,614 | ||||
|
|
|||||
Total Investments 99.7% (Identified Cost $2,033,637,061)(a) |
2,034,927,518 | |||||
Other assets less liabilities 0.3% | 6,089,916 | |||||
|
|
|||||
Net Assets 100.0% | $ | 2,041,017,434 | ||||
|
|
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, 2016, the value of the Funds investment in the Subsidiary was $22,079,927, representing 1.1% 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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 most recent 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.
As of September 30, 2016, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||
$740,249,843 | $ | 11,042,462 | 0.54 | % |
* | Amounts represent gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments 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, 2016, the net unrealized appreciation on investments based on a cost of $2,033,637,061 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 |
$ | 1,304,621 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(14,164 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 1,290,457 | ||
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $57,201,426 with no expiration date. At December 31, 2015, late-year ordinary and post-October capital loss deferrals were $1,007,908. 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, 2016 is disclosed. |
(c) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
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, 2016, 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 | 12/21/2016 | Australian Dollar | 68,500,000 | $ | 52,335,111 | $ | 1,036,968 | |||||||||
Sell1 | 12/21/2016 | Canadian Dollar | 59,300,000 | 45,225,747 | (74,483 | ) | ||||||||||
Sell1 | 12/21/2016 | Swedish Krona | 164,000,000 | 19,192,823 | 210,928 | |||||||||||
Buy1 | 12/21/2016 | Swiss Franc | 22,250,000 | 23,011,877 | 214 | |||||||||||
|
|
|||||||||||||||
Total | $ | 1,173,627 | ||||||||||||||
|
|
1 | Counterparty is UBS AG |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
DAX | 12/16/2016 | 612 | $ | 180,996,152 | $ | 1,969,394 | ||||||||
E-mini MSCI Emerging Markets Index | 12/16/2016 | 56 | 2,555,000 | (40,880 | ) | |||||||||
E-mini S&P 500® | 12/16/2016 | 4,712 | 509,013,800 | 2,059,030 | ||||||||||
FTSE 100 Index | 12/16/2016 | 3,524 | 313,366,838 | 8,544,676 | ||||||||||
German Euro Bund | 12/08/2016 | 681 | 126,760,654 | 1,210,240 | ||||||||||
Hang Seng Index® | 10/28/2016 | 486 | 73,557,889 | 100,221 | ||||||||||
Japanese Yen | 12/19/2016 | 568 | 70,222,550 | (111,525 | ) | |||||||||
Mini-Russell 2000 | 12/16/2016 | 809 | 100,987,470 | 3,085,475 | ||||||||||
TOPIX | 12/08/2016 | 1,307 | 172,328,964 | 428,171 | ||||||||||
10 Year U.S. Treasury Note | 12/20/2016 | 799 | 104,768,875 | (123,968 | ) | |||||||||
|
|
|||||||||||||
Total | $ | 17,120,834 | ||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Brent Crude Oil | 10/31/2016 | 326 | $ | 16,361,940 | $ | 1,287,700 | ||||||||
Copper LME | 12/21/2016 | 315 | 38,327,625 | 1,819,125 | ||||||||||
Gold | 12/28/2016 | 866 | 114,060,860 | (1,758,430 | ) | |||||||||
Nickel LME | 12/21/2016 | 34 | 2,156,688 | (17,136 | ) | |||||||||
WTI Crude Oil | 10/20/2016 | 90 | 4,341,600 | 248,400 | ||||||||||
|
|
|||||||||||||
Total | $ | 1,579,659 | ||||||||||||
|
|
At September 30, 2016, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Euro | 12/19/2016 | 1,390 | $ | 195,937,875 | $ | 122,682 | ||||||||
Eurodollar | 3/13/2017 | 6,527 | 1,616,329,962 | 39,450 | ||||||||||
2 Year U.S. Treasury Note | 12/30/2016 | 1,904 | 415,964,500 | 89,248 | ||||||||||
10 Year Japan Government Bond | 12/13/2016 | 123 | 184,782,013 | (693,753 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (442,373 | ) | |||||||||||
|
|
|||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME | 12/21/2016 | 37 | $ | 1,548,913 | $ | (84,175 | ) | |||||||
Copper LME | 12/21/2016 | 525 | 63,879,375 | (804,594 | ) | |||||||||
Nickel LME | 12/21/2016 | 34 | 2,156,688 | (97,818 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (986,587 | ) | |||||||||||
|
|
2 | Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange-Traded Funds | $ | 48,519,614 | $ | | $ | | $ | 48,519,614 | ||||||||
Short-Term Investments* | | 1,986,407,904 | | $ | 1,986,407,904 | |||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | | 1,248,110 | | 1,248,110 | ||||||||||||
Futures Contracts (unrealized appreciation) | 9,961,350 | 11,042,462 | | 21,003,812 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 58,480,964 | $ | 1,998,698,476 | $ | | $ | 2,057,179,440 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | | $ | (74,483 | ) | $ | | $ | (74,483 | ) | ||||||
Futures Contracts (unrealized depreciation) | (3,732,279 | ) | | | (3,732,279 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (3,732,279 | ) | $ | (74,483 | ) | $ | | $ | (3,806,762 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2016, 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 and underlying asset, reference rate or index. 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, 2016, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary), and short-term interest rates in accordance with these objectives.
The following is a summary of derivative instruments for the Fund, as of September 30, 2016:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 1,248,110 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 11,042,462 | ||||
Equity contracts |
| 6,606,125 | ||||||
Commodity contracts |
| 3,355,225 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives | $ | | $ | 21,003,812 | ||||
|
|
|
|
|||||
Total asset derivatives | $ | 1,248,110 | $ | 21,003,812 | ||||
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | ($74,483 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Equity contracts |
$ | | $ | (970,126 | ) | |||
Commodity contracts |
| (2,762,153 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives | $ | | $ | ($3,732,279 | ) | |||
|
|
|
|
|||||
Total liability derivatives | $ | ($74,483 | ) | $ | ($3,732,279 | ) | ||
|
|
|
|
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 (OTC) 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, 2016, 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 OTC 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 1,248,110 | $ | 1,173,627 | ||||
Collateral pledged to UBS AG |
2,640,000 | 2,640,000 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
3,888,110 | 3,813,627 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
21,003,812 | 21,003,812 | ||||||
Margin with brokers |
90,329,722 | 90,329,722 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
111,333,534 | 111,333,534 | ||||||
|
|
|
|
|||||
Total counterparty credit risk | $ | 115,221,644 | $ | 115,147,161 | ||||
|
|
|
|
Industry Summary at September 30, 2016 (Unaudited)
Certificates of Deposit | 71.9 | % | ||
Commercial Paper | 9.6 | |||
Time Deposits | 7.6 | |||
Treasuries | 4.8 | |||
Other Notes | 3.4 | |||
Exchange-Traded Funds | 2.4 | |||
|
|
|||
Total Investments | 99.7 | |||
Other assets less liabilities (including forward foreign currency contracts and futures contracts) |
0.3 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
ASG Global Macro Fund
Principal Amount |
Description |
Value () | ||||
Short-Term Investments 99.2% of Net Assets |
| |||||
Certificates of Deposit 73.7% |
| |||||
$ 750,000 | Bank of Nova Scotia (TX), 0.843%, 10/03/2016(b) |
$ | 750,029 | |||
500,000 | Abbey National Treasury Services PLC (CT), 0.380%, 10/06/2016 |
500,000 | ||||
1,100,000 | Credit Agricole Corporate & Investment Bank, 0.400%, 10/06/2016 |
1,100,005 | ||||
1,200,000 | Banco Del Estado de Chile (NY), 0.769%, 10/07/2016(b) |
1,200,086 | ||||
800,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 0.660%, 10/11/2016 |
800,044 | ||||
1,000,000 | Bank of Tokyo-Mitsubishi UFJ Ltd. (NY), 0.530%, 10/24/2016 |
999,992 | ||||
1,100,000 | Svenska Handelsbanken (NY), 0.835%, 11/02/2016 |
1,100,317 | ||||
1,000,000 | Rabobank Nederland NV, 0.882%, 11/21/2016(b) |
1,000,404 | ||||
500,000 | Toronto Dominion Bank, 0.850%, 12/01/2016 |
500,197 | ||||
1,000,000 | Norinchukin Bank (NY), 0.950%, 12/12/2016 |
1,000,436 | ||||
900,000 | State Street Bank and Trust Company, 0.878%, 12/14/2016(b) |
900,332 | ||||
1,200,000 | Credit Industriel et Commercial (NY), 0.830%, 12/15/2016 |
1,200,230 | ||||
1,000,000 | Sumitomo Mitsui Bank (NY), 0.984%, 1/04/2017(b) |
1,000,387 | ||||
1,000,000 | National Bank of Canada, 0.860%, 1/05/2017 |
999,957 | ||||
800,000 | Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 0.893%, 1/09/2017(b) |
800,202 | ||||
1,100,000 | Mizuho Bank Ltd. (NY), 1.177%, 1/13/2017(b) |
1,101,113 | ||||
1,200,000 | National Australia Bank, 1.100%, 2/08/2017(c) |
1,201,435 | ||||
1,200,000 | Skandinaviska Enskilda Banken AB (NY), 1.108%, 2/09/2017(b) |
1,200,757 | ||||
1,200,000 | Royal Bank of Canada, 1.131%, 2/17/2017(b)(c) |
1,200,720 | ||||
1,300,000 | Deutsche Zentral-Genossenschaftsbank (NY), 1.150%, 3/09/2017(c) |
1,299,461 | ||||
1,000,000 | Bank of Montreal (IL), 1.218%, 5/12/2017(b)(c) |
1,000,387 | ||||
500,000 | Toronto Dominion Bank, 1.316%, 8/10/2017(b) |
500,301 | ||||
|
|
|||||
21,356,792 | ||||||
|
|
|||||
Commercial Paper 11.7% |
| |||||
1,200,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.440%, 10/11/2016(d) |
1,199,824 | ||||
1,200,000 | ING (U.S.) Funding LLC, (Credit Support: ING Bank NV), 0.752%, 11/02/2016(d) |
1,199,359 |
Principal Amount |
Description |
Value () | ||||
Commercial Paper continued |
||||||
$ 1,000,000 | Swedbank (NY), 0.802%, 12/05/2016(d) |
$ | 999,098 | |||
|
|
|||||
3,398,281 | ||||||
|
|
|||||
Time Deposits 5.5% |
| |||||
600,000 | Canadian Imperial Bank of Commerce, 0.260%, 10/03/2016 |
600,000 | ||||
1,000,000 | National Bank of Kuwait, 0.330%, 10/03/2016(b) |
1,000,000 | ||||
|
|
|||||
1,600,000 | ||||||
|
|
|||||
Treasuries 4.5% |
| |||||
350,000 | U.S. Treasury Bills, 0.248%, 10/20/2016(d)(e) |
349,978 | ||||
600,000 | U.S. Treasury Bills, 0.163%-0.298%, 11/17/2016(d)(e)(f) |
599,868 | ||||
350,000 | U.S. Treasury Bills, 0.263%, 12/22/2016(d)(e) |
349,816 | ||||
|
|
|||||
1,299,662 | ||||||
|
|
|||||
Other Notes 3.8% |
| |||||
1,100,000 | Bank of America N.A., 0.700%, 11/03/2016(b) |
1,100,124 | ||||
|
|
|||||
Total Short-Term Investments (Identified Cost $28,746,922) |
28,754,859 | |||||
|
|
|||||
Total Investments 99.2% (Identified Cost $28,746,922)(a) |
28,754,859 | |||||
Other assets less liabilities 0.8% | 244,712 | |||||
|
|
|||||
Net Assets 100.0% | $ | 28,999,571 | ||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Global Macro Fund 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, 2016, the value of the Funds investment in the Subsidiary was $511,158, representing 1.8% 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: |
Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt 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 most recent 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.
As of September 30, 2016, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||
$ 4,404,192 | $ | 62,751 | 0.22 | % |
* | Amounts represent gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At September 30, 2016, the net unrealized appreciation on investments based on a cost of $28,746,922 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 |
$ | 8,557 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(620 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 7,937 | ||
|
|
At December 31, 2015, late-year ordinary loss deferrals were $205,011. This amount 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, 2016 is disclosed. |
(c) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | The Funds investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
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, 2016, 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 | 12/21/2016 | Australian Dollar | 1,400,000 | $ | 1,069,623 | $ | 15,223 | |||||||||
Buy1 | 12/21/2016 | Australian Dollar | 500,000 | 382,008 | (668 | ) | ||||||||||
Sell1 | 12/21/2016 | Australian Dollar | 1,200,000 | 916,819 | (18,166 | ) | ||||||||||
Buy1 | 12/21/2016 | Canadian Dollar | 700,000 | 533,862 | 2,158 | |||||||||||
Buy1 | 12/21/2016 | Canadian Dollar | 600,000 | 457,596 | (1,277 | ) | ||||||||||
Buy1 | 12/21/2016 | New Zealand Dollar | 1,900,000 | 1,379,333 | (3,432 | ) | ||||||||||
Sell1 | 12/21/2016 | New Zealand Dollar | 1,400,000 | 1,016,351 | (4,165 | ) | ||||||||||
Buy1 | 12/21/2016 | Norwegian Krone | 6,000,000 | 750,668 | 3,307 | |||||||||||
Sell1 | 12/21/2016 | Norwegian Krone | 8,000,000 | 1,000,890 | (27,682 | ) | ||||||||||
Buy1 | 12/21/2016 | Singapore Dollar | 125,000 | 91,691 | 13 | |||||||||||
Buy1 | 12/21/2016 | Singapore Dollar | 250,000 | 183,383 | (1,638 | ) | ||||||||||
Sell1 | 12/21/2016 | Singapore Dollar | 250,000 | 183,383 | (593 | ) | ||||||||||
Buy1 | 12/21/2016 | South African Rand | 1,000,000 | 71,780 | 3,182 | |||||||||||
Buy1 | 12/21/2016 | South African Rand | 1,500,000 | 107,670 | (1,731 | ) | ||||||||||
Sell1 | 12/21/2016 | South African Rand | 1,000,000 | 71,780 | (2,846 | ) | ||||||||||
Buy1 | 12/21/2016 | Swedish Krona | 6,000,000 | 702,177 | (7,717 | ) | ||||||||||
Sell1 | 12/21/2016 | Swiss Franc | 1,250,000 | 1,292,802 | (12 | ) | ||||||||||
Buy1 | 12/21/2016 | Turkish Lira | 2,400,000 | 787,342 | (4,781 | ) | ||||||||||
Sell1 | 12/21/2016 | Turkish Lira | 1,200,000 | 393,671 | 1,211 | |||||||||||
|
|
|||||||||||||||
Total | $ | (49,614 | ) | |||||||||||||
|
|
1 | Counterparty is UBS AG |
Futures Contracts
The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds or the Subsidiarys ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
AEX-Index® | 10/21/2016 | 3 | $ | 304,356 | $ | 2,871 | ||||||||
ASX SPI 200 | 12/15/2016 | 5 | 521,549 | 20,532 | ||||||||||
CAC 40® | 10/21/2016 | 3 | 149,870 | 2,633 | ||||||||||
E-mini Dow | 12/16/2016 | 7 | 637,665 | (5,865 | ) | |||||||||
E-mini NASDAQ 100 | 12/16/2016 | 7 | 681,835 | 28,352 | ||||||||||
E-mini S&P 500® | 12/16/2016 | 5 | 540,125 | 2,750 | ||||||||||
EURO STOXX 50® | 12/16/2016 | 4 | 134,690 | (336 | ) | |||||||||
Euro-BTP | 12/08/2016 | 2 | 321,480 | (2,471 | ) | |||||||||
Euro-OAT | 12/08/2016 | 5 | 899,354 | 3,224 | ||||||||||
FTSE 100 Index | 12/16/2016 | 4 | 355,694 | 6,816 | ||||||||||
Hang Seng Index® | 10/28/2016 | 5 | 756,768 | 973 | ||||||||||
IBEX 35 | 10/21/2016 | 1 | 98,457 | 888 | ||||||||||
Japanese Yen | 12/19/2016 | 13 | 1,607,206 | (431 | ) | |||||||||
Mini-Russell 2000 | 12/16/2016 | 4 | 499,320 | 15,255 | ||||||||||
MSCI Singapore | 10/28/2016 | 10 | 232,186 | 3,921 | ||||||||||
MSCI Taiwan Index | 10/28/2016 | 11 | 377,861 | (3,014 | ) | |||||||||
OMXS30® | 10/21/2016 | 31 | 519,926 | 9,620 | ||||||||||
S&P CNX Nifty Futures Index | 10/27/2016 | 30 | 519,773 | (8,442 | ) | |||||||||
S&P/TSX 60 Index | 12/15/2016 | 5 | 651,854 | 12,080 | ||||||||||
TOPIX | 12/08/2016 | 1 | 131,851 | 52 | ||||||||||
UK Long Gilt | 12/28/2016 | 2 | 337,647 | (1,568 | ) | |||||||||
2 Year U.S. Treasury Note | 12/30/2016 | 42 | 9,175,687 | 3,141 | ||||||||||
5 Year U.S. Treasury Note | 12/30/2016 | 34 | 4,131,531 | 5,109 | ||||||||||
10 Year Australia Government Bond | 12/15/2016 | 46 | 4,823,807 | 44,003 | ||||||||||
30 Year U.S. Treasury Bond | 12/20/2016 | 2 | 336,313 | (2,781 | ) | |||||||||
|
|
|||||||||||||
Total | $ | 137,312 | ||||||||||||
|
|
|||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME | 12/21/2016 | 13 | $ | 544,213 | $ | 16,082 | ||||||||
Coffee | 12/19/2016 | 3 | 170,494 | (75 | ) | |||||||||
Copper LME | 12/21/2016 | 4 | 486,700 | 8,177 | ||||||||||
Cotton | 12/07/2016 | 5 | 170,200 | (3,580 | ) | |||||||||
Low Sulfur Gasoil | 11/10/2016 | 1 | 44,775 | 75 | ||||||||||
Nickel LME | 12/21/2016 | 4 | 253,728 | 4,914 |
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Long Futures Contracts continued |
||||||||||||||||
Silver | 12/28/2016 | 1 | $ | 96,070 | $ | (2,255 | ) | |||||||||
Soybean | 11/14/2016 | 3 | 143,100 | (30,088 | ) | |||||||||||
Soybean Oil | 12/14/2016 | 10 | 200,640 | (2,052 | ) | |||||||||||
Sugar | 2/28/2017 | 20 | 515,200 | 21,392 | ||||||||||||
Zinc LME | 12/21/2016 | 10 | 594,812 | 17,790 | ||||||||||||
|
|
|||||||||||||||
Total | $ | 30,380 | ||||||||||||||
|
|
At September 30, 2016, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
FTSE/JSE Top 40 Index | 12/15/2016 | 9 | $ | 301,211 | $ | (2,653 | ) | |||||||
Euro | 12/19/2016 | 23 | 3,242,137 | (2,538 | ) | |||||||||
German Euro Bund | 12/08/2016 | 7 | 1,302,973 | (4,595 | ) | |||||||||
British Pound | 12/19/2016 | 13 | 1,056,006 | 12,213 | ||||||||||
3 Year Australia Government Bond | 12/15/2016 | 30 | 2,601,659 | (8,146 | ) | |||||||||
10 Year Canada Government Bond | 12/19/2016 | 17 | 1,903,762 | (3,948 | ) | |||||||||
10 Year U.S. Treasury Note | 12/20/2016 | 10 | 1,311,250 | (6,047 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (15,714 | ) | |||||||||||
|
|
|||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME | 12/21/2016 | 13 | $ | 544,213 | $ | (30,535 | ) | |||||||
Copper LME | 12/21/2016 | 4 | 486,700 | (23,100 | ) | |||||||||
Corn | 12/14/2016 | 3 | 50,512 | (2,625 | ) | |||||||||
Live Cattle | 12/30/2016 | 1 | 40,050 | 2,800 | ||||||||||
Nickel LME | 12/21/2016 | 3 | 190,296 | (5,898 | ) | |||||||||
Soybean Meal | 12/14/2016 | 3 | 89,880 | 120 | ||||||||||
Wheat | 12/14/2016 | 14 | 281,400 | (3,137 | ) | |||||||||
Zinc LME | 12/21/2016 | 2 | 118,963 | (7,373 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (69,748 | ) | |||||||||||
|
|
2 | Commodity futures are held by ASG Global Macro Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* | $ | | $ | 28,754,859 | $ | | $ | 28,754,859 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) | | 25,094 | | 25,094 | ||||||||||||
Futures Contracts (unrealized appreciation) | 197,477 | 48,306 | | 245,783 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 197,477 | $ | 28,828,259 | $ | | $ | 29,025,736 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) | $ | | $ | (74,708 | ) | $ | | $ | (74,708 | ) | ||||||
Futures Contracts (unrealized depreciation) | (149,108 | ) | (14,445 | ) | | (163,553 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (149,108 | ) | $ | (89,153 | ) | $ | | $ | (238,261 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2016, 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 an underlying asset, reference rate or index. 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, 2016, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies and commodities (through investments in the Subsidiary) 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, 2016:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 25,094 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 55,477 | ||||
Foreign exchange contracts |
| 12,213 | ||||||
Equity contracts |
| 106,743 | ||||||
Commodity contracts |
| 71,350 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives | $ | 25,094 | $ | 245,783 | ||||
|
|
|
|
|||||
Total asset derivatives | $ | 25,094 | $ | 245,783 | ||||
|
|
|
|
|||||
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | (74,708 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Interest rate contracts |
$ | | $ | (29,556 | ) | |||
Foreign exchange contracts |
| (2,969 | ) | |||||
Equity contracts |
| (20,310 | ) | |||||
Commodity contracts |
| (110,718 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives | $ | | $ | (163,553 | ) | |||
|
|
|
|
|||||
Total liability derivatives | $ | (74,708 | ) | $ | (163,553 | ) | ||
|
|
|
|
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 (OTC) 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, 2016, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG | $ | (49,614 | ) | $ | 198,229 |
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 OTC 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 25,094 | $ | | ||||
Collateral pledged to UBS AG |
198,229 | 198,229 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
223,323 | 198,229 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
245,783 | 245,783 | ||||||
Margin with brokers |
1,423,254 | 1,423,254 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
1,669,037 | 1,669,037 | ||||||
|
|
|
|
|||||
Total counterparty credit risk | $ | 1,892,360 | $ | 1,867,266 | ||||
|
|
|
|
Industry Summary at September 30, 2016 (Unaudited)
Certificates of Deposit | 73.7 | % | ||
Commercial Paper | 11.7 | |||
Time Deposits | 5.5 | |||
Treasuries | 4.5 | |||
Other Notes | 3.8 | |||
|
|
|||
Total Investments | 99.2 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
0.8 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
CONSOLIDATED PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
ASG Managed Futures Strategy Fund
Principal Amount |
Description |
Value () | ||||
Short-Term Investments 97.4% of Net Assets |
| |||||
Certificates of Deposit 65.2% |
| |||||
$ 61,000,000 | Landesbank Hessen (NY), 0.460%, 10/03/2016 |
$ | 61,000,538 | |||
75,000,000 | Bank of Nova Scotia (TX), 0.843%, 10/03/2016(b) |
75,002,850 | ||||
16,000,000 | Abbey National Treasury Services PLC (CT), 0.380%, 10/06/2016 |
16,000,000 | ||||
150,000,000 | Credit Agricole Corporate & Investment Bank, 0.400%, 10/06/2016 |
150,000,699 | ||||
60,000,000 | National Bank of Canada, 0.420%, 10/06/2016 |
59,999,399 | ||||
125,000,000 | Banco Del Estado de Chile (NY), 0.769%, 10/07/2016(b) |
125,009,000 | ||||
45,000,000 | Deutsche Zentral-Genossenschaftsbank (NY), 0.570%, 10/11/2016 |
45,000,228 | ||||
150,000,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 0.660%, 10/11/2016 |
150,008,250 | ||||
35,000,000 | Svenska Handelsbanken (NY), 0.835%, 11/02/2016 |
35,010,080 | ||||
39,000,000 | Toronto Dominion Bank, 1.000%, 11/07/2016(c) |
39,020,163 | ||||
46,000,000 | Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 0.870%, 11/14/2016 |
46,018,284 | ||||
100,000,000 | Rabobank Nederland NV, 0.882%, 11/21/2016(b) |
100,040,400 | ||||
50,000,000 | Toronto Dominion Bank, 0.850%, 12/01/2016 |
50,019,700 | ||||
50,000,000 | State Street Bank and Trust Company, 0.869%, 12/07/2016(b) |
50,019,550 | ||||
91,500,000 | Norinchukin Bank (NY), 0.950%, 12/12/2016 |
91,539,935 | ||||
75,000,000 | State Street Bank and Trust Company, 0.878%, 12/14/2016(b) |
75,027,675 | ||||
150,000,000 | Credit Industriel et Commercial (NY), 0.830%, 12/15/2016 |
150,028,691 | ||||
75,000,000 | Sumitomo Mitsui Trust Bank (NY), 1.026%, 1/03/2017(b)(c) |
75,026,025 | ||||
150,000,000 | Sumitomo Mitsui Bank (NY), 0.984%, 1/04/2017(b) |
150,058,050 | ||||
47,800,000 | National Bank of Canada, 0.860%, 1/05/2017 |
47,797,920 | ||||
100,000,000 | Dexia Credit Local, (Credit Support: Belgium/France/Luxembourg), 0.893%, 1/09/2017(b)(c) |
100,025,200 | ||||
90,000,000 | Mizuho Bank Ltd. (NY), 1.177%, 1/13/2017(b) |
90,091,080 | ||||
27,000,000 | Svenska Handelsbanken (NY), 1.096%, 2/03/2017(b) |
27,016,524 | ||||
75,000,000 | Westpac Banking Corp. (NY), 1.078%, 2/06/2017(b)(c) |
75,049,800 | ||||
75,000,000 | National Australia Bank, 1.100%, 2/08/2017(c) |
75,089,706 | ||||
50,000,000 | Skandinaviska Enskilda Banken AB (NY), 1.108%, 2/09/2017(b) |
50,031,550 |
Principal Amount |
Description |
Value () | ||||
Certificates of Deposit continued |
||||||
$ 50,000,000 | Royal Bank of Canada, 1.131%, 2/17/2017(b) |
$ | 50,030,000 | |||
50,000,000 | Mizuho Bank Ltd. (NY), 1.231%, 2/17/2017(b) |
50,020,200 | ||||
115,000,000 | Deutsche Zentral-Genossenschaftsbank (NY), 1.150%, 3/09/2017(c) |
114,952,304 | ||||
120,000,000 | Bank of Montreal (IL), 1.218%, 5/12/2017(b)(c) |
120,046,440 | ||||
50,000,000 | Toronto Dominion Bank, 1.316%, 8/10/2017(b) |
50,030,100 | ||||
|
|
|||||
2,394,010,341 | ||||||
|
|
|||||
Treasuries 13.1% |
| |||||
90,000,000 | U.S. Treasury Bills, 0.338%-0.360%, 10/20/2016(d)(e)(f) |
89,994,240 | ||||
114,000,000 | U.S. Treasury Bills, 0.290%-0.305%, 11/17/2016(d)(e)(f) |
113,975,034 | ||||
77,500,000 | U.S. Treasury Bills, 0.315%-0.360%, 12/22/2016(d)(e)(f) |
77,459,312 | ||||
101,000,000 | U.S. Treasury Bills, 0.245%-0.393%, 1/19/2017(d)(e)(f) |
100,920,109 | ||||
79,000,000 | U.S. Treasury Bills, 0.450%, 2/16/2017(d)(e) |
78,898,485 | ||||
18,500,000 | U.S. Treasury Bills, 0.455%, 3/23/2017(d) |
18,462,982 | ||||
|
|
|||||
479,710,162 | ||||||
|
|
|||||
Time Deposits 9.1% |
| |||||
164,850,000 | Canadian Imperial Bank of Commerce, 0.260%, 10/03/2016 |
164,850,000 | ||||
170,000,000 | National Bank of Kuwait, 0.330%, 10/03/2016(b) |
170,000,000 | ||||
|
|
|||||
334,850,000 | ||||||
|
|
|||||
Other Notes 5.0% |
| |||||
150,000,000 | Bank of America N.A., 0.700%, 11/03/2016(b) |
150,016,950 | ||||
30,000,000 | Wells Fargo Bank, National Association, 1.027%, 11/18/2016(b) |
30,001,110 | ||||
5,000,000 | JPMorgan Chase Bank NA, Series 1, 1.033%, 12/07/2016(b) |
4,999,820 | ||||
|
|
|||||
185,017,880 | ||||||
|
|
|||||
Commercial Paper 5.0% |
| |||||
95,000,000 | BNP Paribas Fortis S.A. (NY), 0.370%, 10/06/2016(d) |
94,994,015 | ||||
48,250,000 | Cofco Capital Corp., (Credit Support: Australian & New Zealand Banking Group Ltd.), 0.440%, 10/11/2016(d) |
48,242,923 | ||||
40,000,000 | Swedbank (NY), 0.802%, 12/05/2016(d) |
39,963,920 | ||||
|
|
|||||
183,200,858 | ||||||
|
|
|||||
Total Short-Term Investments (Identified Cost $3,575,936,945) |
3,576,789,241 | |||||
|
|
|||||
Total Investments 97.4% (Identified Cost $3,575,936,945)(a) |
3,576,789,241 | |||||
Other assets less liabilities 2.6% | 97,363,557 | |||||
|
|
|||||
Net Assets 100.0% | $ | 3,674,152,798 | ||||
|
|
Consolidation
The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy 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, 2016, the value of the Funds investment in the Subsidiary was $153,732,773, representing 4.2% 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: |
Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt 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 most recent 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.
As of September 30, 2016, futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts, as follows:
Notional Value |
Unrealized Appreciation/ Depreciation* |
Unrealized as a Percentage of Net Assets |
||||||
$1,813,336,650 | $ | 27,204,061 | 0.74 | % |
* | Amounts represent gross unrealized appreciation/(depreciation) at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information: |
At September 30, 2016, the net unrealized appreciation on investments based on a cost of $3,575,936,945 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 |
$ | 905,135 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(52,839 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 852,296 | ||
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $81,485,916 with no expiration date and a long-term capital loss carryforward of $46,508,902 with no expiration date. At December 31, 2015, late-year ordinary and post-October capital loss deferrals were $17,459,626. 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, 2016 is disclosed. |
(c) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(d) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(e) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(f) | The Funds investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
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, 2016, 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 | 12/21/2016 | Australian Dollar | 468,100,000 | $ | 357,635,991 | $ | 5,254,015 | |||||||||
Buy1 | 12/21/2016 | Australian Dollar | 22,100,000 | 16,884,758 | (83,690 | ) | ||||||||||
Sell1 | 12/21/2016 | Australian Dollar | 213,800,000 | 163,346,667 | (3,547,742 | ) | ||||||||||
Buy1 | 12/21/2016 | Canadian Dollar | 150,100,000 | 114,475,290 | 260,272 | |||||||||||
Buy1 | 12/21/2016 | Canadian Dollar | 271,100,000 | 206,757,169 | (1,562,987 | ) | ||||||||||
Sell1 | 12/21/2016 | Canadian Dollar | 504,500,000 | 384,762,050 | (1,567,672 | ) | ||||||||||
Buy1 | 12/21/2016 | Mexican Peso | 1,966,500,000 | 100,548,496 | 842,802 | |||||||||||
Buy1 | 12/21/2016 | Mexican Peso | 1,395,500,000 | 71,352,874 | (775,490 | ) | ||||||||||
Sell1 | 12/21/2016 | Mexican Peso | 3,897,000,000 | 199,256,287 | 2,619,283 | |||||||||||
Sell1 | 12/21/2016 | Mexican Peso | 2,056,500,000 | 105,150,258 | (1,198,379 | ) | ||||||||||
Buy1 | 12/21/2016 | New Zealand Dollar | 76,000,000 | 55,173,316 | 112,740 | |||||||||||
Buy1 | 12/21/2016 | New Zealand Dollar | 534,200,000 | 387,810,334 | (1,631,370 | ) | ||||||||||
Sell1 | 12/21/2016 | New Zealand Dollar | 142,300,000 | 103,304,774 | 288,639 | |||||||||||
Sell1 | 12/21/2016 | New Zealand Dollar | 177,300,000 | 128,713,538 | (436,537 | ) | ||||||||||
Buy1 | 12/21/2016 | Norwegian Krone | 2,766,000,000 | 346,057,818 | 7,671,416 | |||||||||||
Sell1 | 12/21/2016 | Norwegian Krone | 1,662,000,000 | 207,934,958 | (7,051,852 | ) | ||||||||||
Buy1 | 12/21/2016 | Polish Zloty | 257,500,000 | 67,239,995 | 649,754 | |||||||||||
Buy1 | 12/21/2016 | Polish Zloty | 577,000,000 | 150,669,815 | (367,834 | ) | ||||||||||
Sell1 | 12/21/2016 | Polish Zloty | 703,500,000 | 183,702,279 | (2,292,613 | ) | ||||||||||
Buy1 | 12/21/2016 | Singapore Dollar | 107,750,000 | 79,037,901 | 11,478 | |||||||||||
Buy1 | 12/21/2016 | Singapore Dollar | 730,875,000 | 536,119,037 | (2,604,469 | ) | ||||||||||
Sell1 | 12/21/2016 | Singapore Dollar | 605,000,000 | 443,785,897 | (1,344,220 | ) | ||||||||||
Buy1 | 12/21/2016 | South African Rand | 1,350,500,000 | 96,939,195 | 4,285,527 | |||||||||||
Buy1 | 12/21/2016 | South African Rand | 1,596,000,000 | 114,561,241 | (2,013,009 | ) | ||||||||||
Sell1 | 12/21/2016 | South African Rand | 1,795,000,000 | 128,845,506 | (5,118,860 | ) | ||||||||||
Buy1 | 12/21/2016 | Swedish Krona | 210,000,000 | 24,576,176 | 53,411 | |||||||||||
Buy1 | 12/21/2016 | Swedish Krona | 2,344,000,000 | 274,316,936 | (1,908,045 | ) | ||||||||||
Sell1 | 12/21/2016 | Swedish Krona | 4,748,000,000 | 555,655,637 | 4,780,040 | |||||||||||
Sell1 | 12/21/2016 | Swedish Krona | 312,000,000 | 36,513,176 | (94,583 | ) | ||||||||||
Buy1 | 12/21/2016 | Swiss Franc | 105,500,000 | 109,112,497 | 265,347 | |||||||||||
Buy1 | 12/21/2016 | Swiss Franc | 253,625,000 | 262,309,544 | (524,668 | ) | ||||||||||
Sell1 | 12/21/2016 | Swiss Franc | 490,875,000 | 507,683,381 | (1,928,844 | ) | ||||||||||
Buy1 | 12/21/2016 | Turkish Lira | 1,687,500,000 | 553,600,083 | (3,230,299 | ) | ||||||||||
Sell1 | 12/21/2016 | Turkish Lira | 818,400,000 | 268,483,738 | 1,188,054 | |||||||||||
Sell1 | 12/21/2016 | Turkish Lira | 150,000,000 | 49,208,896 | (151,164 | ) | ||||||||||
|
|
|||||||||||||||
Total | $ | (11,151,549 | ) | |||||||||||||
|
|
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, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
AEX-Index® | 10/21/2016 | 1,566 | $ | 158,873,614 | $ | 3,094,430 | ||||||||
ASX SPI 200 | 12/15/2016 | 1,773 | 184,941,330 | 7,636,670 | ||||||||||
CAC 40® | 10/21/2016 | 788 | 39,365,877 | 691,519 | ||||||||||
DAX | 12/16/2016 | 302 | 89,315,095 | 907,555 | ||||||||||
E-mini Dow | 12/16/2016 | 2,481 | 226,006,695 | (1,360,800 | ) | |||||||||
E-mini NASDAQ 100 | 12/16/2016 | 2,927 | 285,104,435 | 11,800,584 | ||||||||||
E-mini S&P 500® | 12/16/2016 | 1,644 | 177,593,100 | 883,715 | ||||||||||
Euribor | 3/13/2017 | 5,957 | 1,678,217,848 | (418,237 | ) | |||||||||
Euro Schatz | 12/08/2016 | 10,696 | 1,347,340,706 | 800,229 | ||||||||||
EURO STOXX 50® | 12/16/2016 | 488 | 16,432,224 | (41,021 | ) | |||||||||
Euro-BTP | 12/08/2016 | 2,493 | 400,724,976 | (31,982 | ) | |||||||||
Euro-OAT | 12/08/2016 | 3,590 | 645,735,822 | 2,948,230 | ||||||||||
FTSE 100 Index | 12/16/2016 | 1,735 | 154,282,481 | 3,391,463 | ||||||||||
German Euro BOBL | 12/08/2016 | 4,491 | 666,389,038 | 1,306,927 | ||||||||||
German Euro Bund | 12/08/2016 | 2,901 | 539,989,216 | 4,226,580 | ||||||||||
Hang Seng Index® | 10/28/2016 | 2,004 | 303,312,775 | 402,372 | ||||||||||
IBEX 35 | 10/21/2016 | 33 | 3,249,066 | 29,305 | ||||||||||
Japanese Yen | 12/19/2016 | 4,734 | 585,270,338 | 192,694 | ||||||||||
Mini-Russell 2000 | 12/16/2016 | 1,774 | 221,448,420 | 6,216,075 | ||||||||||
MSCI Singapore | 10/28/2016 | 767 | 17,808,692 | 288,034 | ||||||||||
MSCI Taiwan Index | 10/28/2016 | 5,373 | 184,567,878 | (1,462,047 | ) | |||||||||
OMXS30® | 10/21/2016 | 11,018 | 184,791,843 | 3,366,521 | ||||||||||
S&P CNX Nifty Futures Index | 10/27/2016 | 11,415 | 197,773,461 | (3,158,833 | ) | |||||||||
S&P/TSX 60 Index | 12/15/2016 | 2,337 | 304,676,611 | 5,646,200 | ||||||||||
Sterling | 3/15/2017 | 28,439 | 4,593,826,149 | (1,843,060 | ) | |||||||||
TOPIX | 12/08/2016 | 83 | 10,943,614 | (16,545 | ) | |||||||||
UK Long Gilt | 12/28/2016 | 2,352 | 397,072,776 | (543,177 | ) | |||||||||
Ultra Long U.S. Treasury Bond | 12/20/2016 | 822 | 151,145,250 | (751,719 | ) | |||||||||
2 Year U.S. Treasury Note | 12/30/2016 | 11,327 | 2,474,595,531 | 46,072 | ||||||||||
5 Year U.S. Treasury Note | 12/30/2016 | 11,317 | 1,375,192,328 | (323,980 | ) | |||||||||
10 Year Australia Government Bond | 12/15/2016 | 792 | 83,053,371 | 149,606 | ||||||||||
10 Year Canada Government Bond | 12/19/2016 | 7,796 | 873,042,662 | (44,361 | ) | |||||||||
10 Year Japan Government Bond | 12/13/2016 | 305 | 458,199,300 | 1,717,864 | ||||||||||
10 Year U.S. Treasury Note | 12/20/2016 | 7,466 | 978,979,250 | (1,670,798 | ) | |||||||||
30 Year U.S. Treasury Bond | 12/20/2016 | 1,061 | 178,413,781 | (1,321,906 | ) | |||||||||
|
|
|||||||||||||
Total | $ | 42,754,179 | ||||||||||||
|
|
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME | 12/21/2016 | 3,506 | $ | 146,769,925 | $ | 1,117,340 | ||||||||
Coffee | 12/19/2016 | 1,198 | 68,083,837 | (1,198,612 | ) | |||||||||
Copper | 12/28/2016 | 376 | 20,778,700 | 341,238 | ||||||||||
Copper LME | 12/21/2016 | 1,516 | 184,459,300 | 3,302,146 | ||||||||||
Cotton | 12/07/2016 | 1,757 | 59,808,280 | (2,199,095 | ) | |||||||||
Gold | 12/28/2016 | 1,015 | 133,685,650 | (2,972,960 | ) | |||||||||
Natural Gas | 10/27/2016 | 21 | 610,260 | (34,540 | ) | |||||||||
Nickel LME | 12/21/2016 | 1,527 | 96,860,664 | 2,426,109 | ||||||||||
Silver | 12/28/2016 | 971 | 93,283,970 | (1,034,500 | ) | |||||||||
Soybean | 11/14/2016 | 961 | 45,839,700 | (1,306,350 | ) | |||||||||
Soybean Oil | 12/14/2016 | 3,367 | 67,555,488 | (866,592 | ) | |||||||||
Sugar | 2/28/2017 | 7,441 | 191,680,160 | (366,946 | ) | |||||||||
Zinc LME | 12/21/2016 | 1,323 | 78,693,694 | 2,303,744 | ||||||||||
|
|
|||||||||||||
Total | $ | (489,018 | ) | |||||||||||
|
|
At September 30, 2016, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
British Pound | 12/19/2016 | 1,603 | $ | 130,213,694 | $ | 1,533,288 | ||||||||
Euro | 12/19/2016 | 2,021 | 284,885,212 | (1,948,775 | ) | |||||||||
Eurodollar | 3/13/2017 | 9,714 | 2,405,550,675 | (488,750 | ) | |||||||||
FTSE MIB | 12/16/2016 | 631 | 57,998,148 | 127,151 | ||||||||||
FTSE/JSE Top 40 Index | 12/15/2016 | 5,805 | 194,281,097 | (2,314,851 | ) | |||||||||
Nikkei 225 | 12/08/2016 | 94 | 15,399,455 | (275,744 | ) | |||||||||
3 Year Australia Government Bond | 12/15/2016 | 17,109 | 1,483,726,156 | (4,871,385 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (8,239,066 | ) | |||||||||||
|
|
|||||||||||||
Commodity Futures2 |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
Aluminum LME | 12/21/2016 | 2,566 | $ | 107,419,175 | $ | (6,067,458 | ) | |||||||
Brent Crude Oil | 10/31/2016 | 303 | 15,207,570 | (951,140 | ) | |||||||||
Cocoa | 12/14/2016 | 1,865 | 51,492,650 | 1,478,410 | ||||||||||
Copper LME | 12/21/2016 | 1,143 | 139,074,525 | (6,065,378 | ) | |||||||||
Corn | 12/14/2016 | 5,929 | 99,829,537 | (1,864,500 | ) | |||||||||
Gasoline | 10/31/2016 | 374 | 22,982,375 | (1,179,016 | ) | |||||||||
Live Cattle | 12/30/2016 | 2,694 | 107,894,700 | 7,164,920 | ||||||||||
Low Sulfur Gasoil | 11/10/2016 | 483 | 21,626,325 | (1,514,600 | ) | |||||||||
New York Harbor ULSD | 10/31/2016 | 512 | 33,079,603 | (2,003,072 | ) | |||||||||
Nickel LME | 12/21/2016 | 340 | 21,566,880 | (1,511,232 | ) | |||||||||
Soybean Meal | 12/14/2016 | 2,153 | 64,503,880 | (79,490 | ) | |||||||||
Wheat | 12/14/2016 | 8,232 | 165,463,200 | 1,367,188 | ||||||||||
WTI Crude Oil | 10/20/2016 | 499 | 24,071,760 | (1,964,740 | ) | |||||||||
Zinc LME | 12/21/2016 | 311 | 18,498,669 | (1,004,697 | ) | |||||||||
|
|
|||||||||||||
Total | $ | (14,194,805 | ) | |||||||||||
|
|
2 | Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments* |
$ | | $ | 3,576,789,241 | $ | | $ | 3,576,789,241 | ||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 28,282,778 | | 28,282,778 | ||||||||||||
Futures Contracts (unrealized appreciation) |
56,969,159 | 19,935,020 | | 76,904,179 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 56,969,159 | $ | 3,625,007,039 | $ | | $ | 3,681,976,198 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts(unrealized depreciation) |
$ | | $ | (39,434,327 | ) | $ | | $ | (39,434,327 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(49,803,848 | ) | (7,269,041 | ) | | (57,072,889 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (49,803,848 | ) | $ | (46,703,368 | ) | $ | | $ | (96,507,216 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Consolidated Portfolio of Investments. |
For the period ended September 30, 2016, 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 an underlying asset, reference rate or index. 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, 2016, the Fund used long and short contracts on U.S. and foreign government bonds, U.S. and foreign equity market indices, foreign currencies, commodities (through investments in the Subsidiary) and short-term interest rates 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, 2016:
Assets |
Unrealized appreciation on forward foreign currency contracts |
Unrealized appreciation on futures contracts |
||||||
Over-the-counter asset derivatives |
||||||||
Foreign exchange contracts |
$ | 28,282,778 | $ | | ||||
|
|
|
|
|||||
Exchange-traded asset derivatives |
||||||||
Interest rate contracts |
$ | | $ | 11,195,508 | ||||
Foreign exchange contracts |
| 1,725,982 | ||||||
Equity contracts |
| 44,481,594 | ||||||
Commodity contracts |
| 19,501,095 | ||||||
|
|
|
|
|||||
Total exchange-traded asset derivatives | $ | | $ | 76,904,179 | ||||
|
|
|
|
|||||
Total asset derivatives | $ | 28,282,778 | $ | 76,904,179 | ||||
|
|
|
|
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
Unrealized depreciation on futures contracts |
||||||
Over-the-counter liability derivatives |
||||||||
Foreign exchange contracts |
$ | (39,434,327 | ) | $ | | |||
|
|
|
|
|||||
Exchange-traded liability derivatives |
||||||||
Interest rate contracts |
$ | | $ | (12,309,355 | ) | |||
Foreign exchange contracts |
| (1,948,775 | ) | |||||
Equity contracts |
| (8,629,841 | ) | |||||
Commodity contracts |
| (34,184,918 | ) | |||||
|
|
|
|
|||||
Total exchange-traded liability derivatives | $ | | $ | (57,072,889 | ) | |||
|
|
|
|
|||||
Total liability derivatives | $ | (39,434,327 | ) | $ | (57,072,889 | ) | ||
|
|
|
|
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 (OTC) 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, 2016, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
UBS AG | $ | (11,151,549 | ) | $ | 79,601,041 |
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 OTC 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Over-the-counter counterparty credit risk |
||||||||
Forward foreign currency contracts |
$ | 28,282,778 | $ | | ||||
Collateral pledged to UBS AG |
79,601,041 | 79,601,041 | ||||||
|
|
|
|
|||||
Total over-the-counter counterparty credit risk |
107,883,819 | 79,601,041 | ||||||
|
|
|
|
|||||
Exchange-traded counterparty credit risk |
||||||||
Futures contracts |
76,904,179 | 76,904,179 | ||||||
Margin with brokers |
426,365,449 | 426,365,449 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
503,269,628 | 503,269,628 | ||||||
|
|
|
|
|||||
Total counterparty credit risk | $ | 611,153,447 | $ | 582,870,669 | ||||
|
|
|
|
Investment Summary at September 30, 2016 (Unaudited)
Certificates of Deposit |
65.2 | % | ||
Treasuries |
13.1 | |||
Time Deposits |
9.1 | |||
Other Notes |
5.0 | |||
Commercial Paper |
5.0 | |||
|
|
|||
Total Investments |
97.4 | |||
Other assets less liabilities (including forward foreign currency and futures contracts) |
2.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
ASG Tactical U.S. Market Fund
Shares |
Description |
Value () | ||||
Common Stocks 60.3% of Net Assets |
||||||
Aerospace & Defense 1.6% |
||||||
2,196 | Boeing Co. (The) | $ | 289,301 | |||
1,078 | Northrop Grumman Corp. | 230,638 | ||||
979 | Rockwell Collins, Inc. | 82,569 | ||||
7,880 | United Technologies Corp. | 800,608 | ||||
|
|
|||||
1,403,116 | ||||||
|
|
|||||
Air Freight & Logistics 0.6% |
||||||
1,146 | FedEx Corp. | 200,183 | ||||
2,992 | United Parcel Service, Inc., Class B | 327,205 | ||||
|
|
|||||
527,388 | ||||||
|
|
|||||
Banks 3.3% |
||||||
26,100 | Bank of America Corp. | 408,465 | ||||
7,728 | Citigroup, Inc. | 364,993 | ||||
10,547 | Fifth Third Bancorp | 215,792 | ||||
10,340 | JPMorgan Chase & Co. | 688,541 | ||||
10,833 | Peoples United Financial, Inc. | 171,378 | ||||
20,006 | Regions Financial Corp. | 197,459 | ||||
6,762 | U.S. Bancorp | 290,022 | ||||
10,983 | Wells Fargo & Co. | 486,327 | ||||
|
|
|||||
2,822,977 | ||||||
|
|
|||||
Beverages 1.5% |
||||||
13,824 | Coca-Cola Co. (The) | 585,032 | ||||
1,790 | Dr Pepper Snapple Group, Inc. | 163,445 | ||||
5,239 | PepsiCo, Inc. | 569,846 | ||||
|
|
|||||
1,318,323 | ||||||
|
|
|||||
Biotechnology 1.9% |
||||||
4,699 | AbbVie, Inc. | 296,366 | ||||
3,688 | Amgen, Inc. | 615,195 | ||||
748 | Biogen, Inc.(b) | 234,147 | ||||
1,866 | Celgene Corp.(b) | 195,053 | ||||
3,795 | Gilead Sciences, Inc. | 300,260 | ||||
|
|
|||||
1,641,021 | ||||||
|
|
|||||
Capital Markets 1.4% |
||||||
5,844 | Bank of New York Mellon Corp. (The) | 233,059 | ||||
1,620 | BlackRock, Inc. | 587,185 | ||||
1,863 | CME Group, Inc. | 194,721 | ||||
1,764 | S&P Global, Inc. | 223,252 | ||||
|
|
|||||
1,238,217 | ||||||
|
|
|||||
Chemicals 1.2% |
||||||
943 | Air Products & Chemicals, Inc. | 141,770 | ||||
2,396 | Dow Chemical Co. (The) | 124,185 | ||||
2,472 | E.I. du Pont de Nemours & Co. | 165,550 | ||||
508 | Ecolab, Inc. | 61,834 | ||||
3,277 | Monsanto Co. | 334,909 | ||||
1,333 | PPG Industries, Inc. | 137,779 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Chemicals continued |
||||||
418 | Sherwin-Williams Co. (The) | $ | 115,644 | |||
|
|
|||||
1,081,671 | ||||||
|
|
|||||
Commercial Services & Supplies 0.3% |
||||||
2,259 | Cintas Corp. | 254,363 | ||||
|
|
|||||
Communications Equipment 0.7% |
||||||
12,406 | Cisco Systems, Inc. | 393,518 | ||||
1,972 | Harris Corp. | 180,655 | ||||
|
|
|||||
574,173 | ||||||
|
|
|||||
Construction & Engineering 0.1% |
||||||
1,954 | Fluor Corp. | 100,279 | ||||
|
|
|||||
Consumer Finance 0.3% |
||||||
3,314 | Capital One Financial Corp. | 238,045 | ||||
|
|
|||||
Containers & Packaging 0.1% |
||||||
1,305 | Sealed Air Corp. | 59,795 | ||||
|
|
|||||
Diversified Financial Services 1.1% |
||||||
6,685 | Berkshire Hathaway, Inc., Class B(b) | 965,782 | ||||
|
|
|||||
Diversified Telecommunication Services 1.7% |
||||||
20,556 | AT&T, Inc. | 834,779 | ||||
5,315 | Frontier Communications Corp. | 22,111 | ||||
11,797 | Verizon Communications, Inc. | 613,208 | ||||
|
|
|||||
1,470,098 | ||||||
|
|
|||||
Electric Utilities 1.2% |
||||||
1,514 | American Electric Power Co., Inc. | 97,214 | ||||
1,583 | Duke Energy Corp. | 126,703 | ||||
6,599 | Eversource Energy | 357,534 | ||||
679 | NextEra Energy, Inc. | 83,055 | ||||
1,585 | PG&E Corp. | 96,955 | ||||
3,945 | PPL Corp. | 136,379 | ||||
2,361 | Southern Co. (The) | 121,119 | ||||
|
|
|||||
1,018,959 | ||||||
|
|
|||||
Energy Equipment & Services 0.4% |
||||||
2,773 | Halliburton Co. | 124,452 | ||||
3,295 | Schlumberger Ltd. | 259,119 | ||||
|
|
|||||
383,571 | ||||||
|
|
|||||
Food & Staples Retailing 1.2% |
||||||
1,871 | Costco Wholesale Corp. | 285,346 | ||||
3,498 | CVS Health Corp. | 311,287 | ||||
3,861 | Wal-Mart Stores, Inc. | 278,456 | ||||
2,586 | Walgreens Boots Alliance, Inc. | 208,483 | ||||
|
|
|||||
1,083,572 | ||||||
|
|
|||||
Food Products 0.6% |
||||||
877 | Archer-Daniels-Midland Co. | 36,983 | ||||
371 | Mead Johnson Nutrition Co. | 29,313 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Food Products continued |
||||||
10,131 | Mondelez International, Inc., Class A | $ | 444,751 | |||
|
|
|||||
511,047 | ||||||
|
|
|||||
Health Care Equipment & Supplies 2.0% |
||||||
10,425 | Boston Scientific Corp.(b) | 248,115 | ||||
2,135 | CR Bard, Inc. | 478,838 | ||||
2,836 | Danaher Corp. | 222,314 | ||||
220 | Intuitive Surgical, Inc.(b) | 159,462 | ||||
7,015 | Medtronic PLC | 606,096 | ||||
|
|
|||||
1,714,825 | ||||||
|
|
|||||
Health Care Providers & Services 1.4% |
||||||
2,334 | Aetna, Inc. | 269,460 | ||||
1,412 | Laboratory Corp. of America Holdings(b) | 194,122 | ||||
564 | McKesson Corp. | 94,047 | ||||
4,547 | UnitedHealth Group, Inc. | 636,580 | ||||
|
|
|||||
1,194,209 | ||||||
|
|
|||||
Hotels, Restaurants & Leisure 0.9% |
||||||
2,727 | Marriott International, Inc., Class A | 183,609 | ||||
2,914 | McDonalds Corp. | 336,159 | ||||
5,138 | Starbucks Corp. | 278,171 | ||||
|
|
|||||
797,939 | ||||||
|
|
|||||
Household Durables 0.3% |
||||||
3,193 | DR Horton, Inc. | 96,429 | ||||
3,106 | Lennar Corp., Class A | 131,508 | ||||
|
|
|||||
227,937 | ||||||
|
|
|||||
Household Products 0.9% |
||||||
8,886 | Procter & Gamble Co. (The) | 797,519 | ||||
|
|
|||||
Industrial Conglomerates 1.8% |
||||||
2,159 | 3M Co. | 380,481 | ||||
28,054 | General Electric Co. | 830,959 | ||||
2,675 | Honeywell International, Inc. | 311,878 | ||||
|
|
|||||
1,523,318 | ||||||
|
|
|||||
Insurance 1.4% |
||||||
2,233 | Aon PLC | 251,190 | ||||
3,108 | Assurant, Inc. | 286,713 | ||||
2,125 | Chubb Ltd. | 267,006 | ||||
2,487 | Lincoln National Corp. | 116,839 | ||||
2,804 | Torchmark Corp. | 179,148 | ||||
2,256 | XL Group Ltd. | 75,870 | ||||
|
|
|||||
1,176,766 | ||||||
|
|
|||||
Internet & Direct Marketing Retail 2.0% |
||||||
1,690 | Amazon.com, Inc.(b) | 1,415,054 | ||||
810 | Netflix, Inc.(b) | 79,825 | ||||
181 | Priceline Group, Inc. (The)(b) | 266,340 | ||||
|
|
|||||
1,761,219 | ||||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Internet Software & Services 3.4% |
||||||
1,273 | Alphabet, Inc., Class A(b) | $ | 1,023,569 | |||
962 | Alphabet, Inc., Class C(b) | 747,753 | ||||
8,240 | eBay, Inc.(b) | 271,096 | ||||
7,268 | Facebook, Inc., Class A(b) | 932,266 | ||||
|
|
|||||
2,974,684 | ||||||
|
|
|||||
IT Services 2.4% |
||||||
2,826 | Accenture PLC, Class A | 345,252 | ||||
1,781 | Automatic Data Processing, Inc. | 157,084 | ||||
3,120 | International Business Machines Corp. | 495,612 | ||||
2,662 | MasterCard, Inc., Class A | 270,912 | ||||
3,853 | Paychex, Inc. | 222,973 | ||||
6,747 | Visa, Inc., Class A | 557,977 | ||||
|
|
|||||
2,049,810 | ||||||
|
|
|||||
Life Sciences Tools & Services 0.1% |
||||||
807 | Waters Corp.(b) | 127,901 | ||||
|
|
|||||
Machinery 0.7% |
||||||
2,367 | Deere & Co. | 202,024 | ||||
1,418 | Fortive Corp. | 72,176 | ||||
1,540 | Illinois Tool Works, Inc. | 184,554 | ||||
2,312 | PACCAR, Inc. | 135,899 | ||||
|
|
|||||
594,653 | ||||||
|
|
|||||
Media 1.6% |
||||||
2,460 | CBS Corp., Class B | 134,660 | ||||
368 | Charter Communications, Inc., Class A(b) | 99,349 | ||||
7,677 | Comcast Corp., Class A | 509,292 | ||||
3,111 | Time Warner, Inc. | 247,667 | ||||
3,924 | Walt Disney Co. (The) | 364,383 | ||||
|
|
|||||
1,355,351 | ||||||
|
|
|||||
Metals & Mining 0.5% |
||||||
10,064 | Newmont Mining Corp. | 395,415 | ||||
|
|
|||||
Multi-Utilities 0.8% |
||||||
1,829 | CMS Energy Corp. | 76,836 | ||||
7,422 | Consolidated Edison, Inc. | 558,877 | ||||
797 | Sempra Energy | 85,430 | ||||
|
|
|||||
721,143 | ||||||
|
|
|||||
Multiline Retail 0.2% |
||||||
2,730 | Target Corp. | 187,496 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 3.7% |
||||||
7,409 | Apache Corp. | 473,213 | ||||
3,525 | Cabot Oil & Gas Corp. | 90,945 | ||||
4,353 | Chevron Corp. | 448,011 | ||||
3,373 | Cimarex Energy Co. | 453,230 | ||||
729 | Concho Resources, Inc.(b) | 100,128 | ||||
1,813 | EOG Resources, Inc. | 175,335 | ||||
9,226 | Exxon Mobil Corp. | 805,245 | ||||
1,064 | Marathon Petroleum Corp. | 43,188 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Oil, Gas & Consumable Fuels continued |
||||||
4,049 | Phillips 66 | $ | 326,147 | |||
2,907 | Spectra Energy Corp. | 124,274 | ||||
3,035 | Valero Energy Corp. | 160,855 | ||||
|
|
|||||
3,200,571 | ||||||
|
|
|||||
Pharmaceuticals 3.1% |
||||||
3,129 | Eli Lilly & Co. | 251,133 | ||||
10,613 | Johnson & Johnson | 1,253,714 | ||||
7,541 | Merck & Co., Inc. | 470,634 | ||||
20,093 | Pfizer, Inc. | 680,550 | ||||
|
|
|||||
2,656,031 | ||||||
|
|
|||||
Professional Services 0.5% |
||||||
2,941 | Equifax, Inc. | 395,800 | ||||
|
|
|||||
REITs - Apartments 0.5% |
||||||
2,394 | AvalonBay Communities, Inc. | 425,749 | ||||
|
|
|||||
REITs - Diversified 0.8% |
||||||
2,744 | American Tower Corp. | 310,977 | ||||
4,095 | Vornado Realty Trust | 414,455 | ||||
|
|
|||||
725,432 | ||||||
|
|
|||||
REITs - Health Care 0.3% |
||||||
3,348 | Ventas, Inc. | 236,469 | ||||
|
|
|||||
REITs - Regional Malls 0.8% |
||||||
3,271 | Simon Property Group, Inc. | 677,130 | ||||
|
|
|||||
REITs - Single Tenant 0.2% |
||||||
3,313 | Realty Income Corp. | 221,739 | ||||
|
|
|||||
REITs - Storage 0.6% |
||||||
2,158 | Public Storage | 481,536 | ||||
|
|
|||||
Road & Rail 0.4% |
||||||
3,375 | Union Pacific Corp. | 329,164 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 2.4% |
||||||
2,616 | Analog Devices, Inc. | 168,601 | ||||
1,600 | Broadcom Ltd. | 276,032 | ||||
26,699 | Intel Corp. | 1,007,887 | ||||
1,989 | Lam Research Corp. | 188,378 | ||||
2,908 | Linear Technology Corp. | 172,415 | ||||
4,118 | NVIDIA Corp. | 282,166 | ||||
|
|
|||||
2,095,479 | ||||||
|
|
|||||
Software 1.9% |
||||||
3,068 | Activision Blizzard, Inc. | 135,913 | ||||
2,663 | Adobe Systems, Inc.(b) | 289,042 | ||||
17,135 | Microsoft Corp. | 986,976 | ||||
3,413 | Salesforce.com, Inc.(b) | 243,449 | ||||
|
|
|||||
1,655,380 | ||||||
|
|
|||||
Specialty Retail 1.9% |
||||||
167 | AutoZone, Inc.(b) | 128,313 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Specialty Retail continued |
||||||
5,423 | Home Depot, Inc. (The) | $ | 697,832 | |||
4,599 | Lowes Cos., Inc. | 332,094 | ||||
675 | OReilly Automotive, Inc.(b) | 189,074 | ||||
2,648 | TJX Cos., Inc. (The) | 198,017 | ||||
495 | Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 117,800 | ||||
|
|
|||||
1,663,130 | ||||||
|
|
|||||
Technology Hardware, Storage & Peripherals 1.7% |
||||||
11,882 | Apple, Inc. | 1,343,260 | ||||
2,690 | Seagate Technology PLC | 103,700 | ||||
|
|
|||||
1,446,960 | ||||||
|
|
|||||
Textiles, Apparel & Luxury Goods 0.4% |
||||||
4,752 | NIKE, Inc., Class B | 250,193 | ||||
1,106 | Under Armour, Inc., Class A(b) | 42,780 | ||||
1,113 | Under Armour, Inc., Class C(b) | 37,686 | ||||
|
|
|||||
330,659 | ||||||
|
|
|||||
Tobacco 1.5% |
||||||
10,730 | Philip Morris International, Inc. | 1,043,171 | ||||
5,017 | Reynolds American, Inc. | 236,551 | ||||
|
|
|||||
1,279,722 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $45,755,602) |
52,113,533 | |||||
|
|
|||||
Exchange-Traded Funds 9.9% |
||||||
39,551 | SPDR® S&P 500® ETF Trust (Identified Cost $8,632,314) |
8,554,881 | ||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 29.1% |
||||||
Certificates of Deposit 15.9% |
||||||
$ 1,000,000 | Bank of Nova Scotia (TX), 0.843%, 10/03/2016 (c) |
1,000,038 | ||||
1,700,000 | Oversea-Chinese Banking Corp. Ltd. (NY), 0.660%, 10/11/2016 |
1,700,093 | ||||
500,000 | Sumitomo Mitsui Trust Bank (NY), 0.900%, 10/24/2016 |
500,146 | ||||
1,000,000 | State Street Bank and Trust Company, 0.869%, 12/07/2016 (c)(d) |
1,000,391 | ||||
2,000,000 | Norinchukin Bank (NY), 0.950%, 12/12/2016 |
2,000,873 | ||||
1,000,000 | Svenska Handelsbanken (NY), 1.096%, 2/03/2017 (c)(d) |
1,000,612 | ||||
1,000,000 | Royal Bank of Canada, 1.131%, 2/17/2017 (c)(d) |
1,000,600 | ||||
1,000,000 | Mizuho Bank Ltd. (NY), 1.231%, 2/17/2017 (c)(d) |
1,000,404 | ||||
2,500,000 | Deutsche Zentral-Genossenschaftsbank (NY), 1.150%, 3/09/2017 (d) |
2,498,963 | ||||
2,000,000 | Bank of Montreal (IL), 1.218%, 5/12/2017 (c)(d) |
2,000,774 | ||||
|
|
|||||
13,702,894 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Time Deposits 8.3% |
||||||
$ 1,200,000 | Canadian Imperial Bank of Commerce, 0.260%, 10/03/2016 |
$ | 1,200,000 | |||
3,000,000 | Credit Agricole, 0.300%, 10/03/2016 |
3,000,000 | ||||
3,000,000 | National Bank of Kuwait, 0.330%, 10/03/2016 (c) |
3,000,000 | ||||
|
|
|||||
7,200,000 | ||||||
|
|
|||||
Other Notes 2.3% |
||||||
2,000,000 | Bank of America N.A., 0.700%, 11/03/2016 (c)(d) |
2,000,226 | ||||
|
|
|||||
Treasuries 1.4% |
||||||
300,000 | U.S. Treasury Bills, 0.253%, 10/20/2016 (e)(f) |
299,981 | ||||
450,000 | U.S. Treasury Bills, 0.160%, 11/17/2016 (e)(f) |
449,901 | ||||
500,000 | U.S. Treasury Bills, 0.260%, 12/22/2016 (e)(f) |
499,738 | ||||
|
|
|||||
1,249,620 | ||||||
|
|
|||||
Commercial Paper 1.2% |
||||||
1,000,000 | Swedbank (NY), 0.802%, 12/05/2016 |
999,098 | ||||
|
|
|||||
Total Short-Term Investments (Identified Cost $ 25,148,125) |
25,151,838 | |||||
|
|
|||||
Total Investments 99.3% (Identified Cost $79,536,041)(a) |
85,820,252 | |||||
Other assets less liabilities 0.7% | 570,525 | |||||
|
|
|||||
Net Assets 100.0% | $ | 86,390,777 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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 most recent 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, 2016, the net unrealized appreciation on investments based on a cost of $79,536,041 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 |
$ | 6,880,664 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(596,453 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 6,284,211 | ||
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $4,351,516 with no expiration date. This amount may be available to offset future realized capital gains, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | Variable rate security. Rate as of September 30, 2016 is disclosed. |
(d) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(e) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(f) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
ETF Exchange-Traded Fund
REITs Real Estate Investment Trusts
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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 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, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
E-mini S&P 500® | 12/16/2016 | 233 | $ | 25,169,825 | $ | 99,913 | ||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 52,113,533 | $ | | $ | | $ | 52,113,533 | ||||||||
Exchange-Traded Funds | 8,554,881 | | | 8,554,881 | ||||||||||||
Short-Term Investments* | | 25,151,838 | | 25,151,838 | ||||||||||||
Futures Contracts (unrealized appreciation) | 99,913 | | | 99,913 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 60,768,327 | $ | 25,151,838 | $ | | $ | 85,920,165 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2016, 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 an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts.
The Fund seeks long-term capital appreciation, with emphasis on the protection of capital during unfavorable market conditions. The Fund uses long futures contracts on U.S. equity indices to increase exposure to the U.S. equity market to up to130% of the Funds total assets and short futures on U.S. equity indices to decrease exposure to the U.S. equity market to as low as 0% of the Funds total assets (to limit the effects of extreme market drawdowns). For the period ended September 30, 2016, the Fund used long contracts on U.S. equity market indices to increase exposure to the U.S. equity market and also used short contracts on U.S. equity market indices to decrease exposure to the U.S. equity market in order to limit the effects of market drawdowns.
The following is a summary of derivative instruments for the Fund, as of September 30, 2016:
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange-traded asset derivatives | ||||
Equity contracts |
$ | 99,913 |
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. The Funds risk of loss from counterparty credit risk on OTC 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||||
Exchange-traded counterparty credit risk | ||||||||
Futures contracts |
$ | 99,913 | $ | 99,913 | ||||
Margin with brokers |
1,289,488 | 1,289,488 | ||||||
|
|
|
|
|||||
Total exchange-traded counterparty credit risk |
1,389,401 | 1,389,401 | ||||||
|
|
|
|
Industry Summary at September 30, 2016 (Unaudited)
Exchange-Traded Funds | 9.9 | % | ||
Oil, Gas & Consumable Fuels | 3.7 | |||
Internet Software & Services | 3.4 | |||
Banks | 3.3 | |||
Pharmaceuticals | 3.1 | |||
Semiconductors & Semiconductor Equipment | 2.4 | |||
IT Services | 2.4 | |||
Internet & Direct Marketing Retail | 2.0 | |||
Health Care Equipment & Supplies | 2.0 | |||
Other Investments, less than 2% each | 28.1 | |||
Short-Term Investments | 39.0 | |||
|
|
|||
Total Investments | 99.3 | |||
Other assets less liabilities (including futures contracts) | 0.7 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
Loomis Sayles Strategic Alpha Fund
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes 74.7% of Net Assets |
||||||
Non-Convertible Bonds 73.2% |
||||||
ABS Car Loan 4.5% |
| |||||
$ 2,135,000 | Ally Auto Receivables Trust, Series 2016-3, Class A3, 1.440%, 8/17/2020(b) |
$ | 2,146,266 | |||
1,455,000 | AmeriCredit Automobile Receivables Trust, Series 2015-4, Class D, 3.720%, 12/08/2021(b) |
1,510,476 | ||||
295,000 | AmeriCredit Automobile Receivables Trust, Series 2016-2, Class D, 3.650%, 5/09/2022(b) |
306,144 | ||||
600,000 | CPS Auto Receivables Trust, Series 2014-D, Class C, 4.350%, 11/16/2020, 144A(b) |
607,745 | ||||
3,065,000 | CPS Auto Receivables Trust, Series 2016-B, Class E, 8.140%, 5/15/2023, 144A |
3,259,756 | ||||
655,000 | DT Auto Owner Trust, Series 2014-3A, Class D, 4.470%, 11/15/2021, 144A(b) |
668,875 | ||||
4,075,000 | DT Auto Owner Trust, Series 2016-1A, Class D, 4.660%, 12/15/2022, 144A(b) |
4,183,504 | ||||
3,045,000 | DT Auto Owner Trust, Series 2016-2A, Class D, 5.430%, 11/15/2022, 144A(b) |
3,196,294 | ||||
270,000 | First Investors Auto Owner Trust, Series 2014-1A, Class D, 3.280%, 4/15/2021, 144A(b) |
271,869 | ||||
440,000 | First Investors Auto Owner Trust, Series 2014-2A, Class D, 3.470%, 2/15/2021, 144A(b) |
445,338 | ||||
345,000 | First Investors Auto Owner Trust, Series 2015-1A, Class D, 3.590%, 1/18/2022, 144A(b) |
349,307 | ||||
1,710,000 | First Investors Auto Owner Trust, Series 2015-2A, Class D, 4.220%, 12/15/2021, 144A(b) |
1,762,632 | ||||
220,000 | First Investors Auto Owner Trust, Series 2016-2A, Class D, 3.350%, 11/15/2022, 144A |
220,439 | ||||
605,000 | Flagship Credit Auto Trust, Series 2015-1, Class C, 3.760%, 6/15/2021, 144A(b) |
601,836 | ||||
2,450,000 | Flagship Credit Auto Trust, Series 2015-2, Class D, 5.980%, 8/15/2022, 144A |
2,482,808 | ||||
2,610,000 | Flagship Credit Auto Trust, Series 2015-3, Class D, 7.120%, 11/15/2022, 144A |
2,693,947 | ||||
650,000 | Flagship Credit Auto Trust, Series 2016-3, Class D, 3.890%, 11/15/2022, 144A(b) |
647,754 | ||||
1,135,000 | Flagship Credit Auto Trust, Series 2016-3, Class E, 6.250%, 10/15/2023, 144A |
1,131,172 | ||||
1,775,095 | Ford Credit Auto Owner Trust, Series 2014-C, Class A3, 1.060%, 5/15/2019(b) |
1,776,104 | ||||
2,810,000 | Ford Credit Auto Owner Trust, Series 2015-A, Class A3, 1.280%, 9/15/2019(b) |
2,816,202 | ||||
2,020,000 | Ford Credit Auto Owner Trust, Series 2015-B, Class A3, 1.160%, 11/15/2019(b) |
2,022,957 | ||||
3,350,000 | Ford Credit Auto Owner Trust, Series 2015-C, Class A3, 1.410%, 2/15/2020(b) |
3,359,751 | ||||
1,693,582 | Honda Auto Receivables Owner Trust, Series 2014-4, Class A3, 0.990%, 9/17/2018(b) |
1,694,107 | ||||
3,385,000 | Honda Auto Receivables Owner Trust, Series 2015-3, Class A3, 1.270%, 4/18/2019(b) |
3,393,190 | ||||
2,135,000 | Honda Auto Receivables Owner Trust, Series 2016-2, Class A3, 1.390%, 4/15/2020(b) |
2,144,271 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Car Loan continued |
| |||||
$ 970,000 | Nissan Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.180%, 1/15/2021(b) |
$ | 970,103 | |||
3,045,000 | Prestige Auto Receivables Trust, Series 2016-1A, Class D, 5.150%, 11/15/2021, 144A(b) |
3,138,949 | ||||
3,215,000 | Toyota Auto Receivables Owner Trust, Series 2015-C, Class A3, 1.340%, 6/17/2019(b) |
3,224,598 | ||||
795,000 | Toyota Auto Receivables Owner Trust, Series 2016-C, Class A3, 1.140%, 8/17/2020(b) |
793,555 | ||||
1,345,000 | USAA Auto Owner Trust, Series 2016-1, Class A3, 1.200%, 6/15/2020(b) |
1,345,853 | ||||
|
|
|||||
53,165,802 | ||||||
|
|
|||||
ABS Credit Card 8.0% |
| |||||
3,145,000 | American Express Credit Account Master Trust, Series 2013-1, Class A, 0.944%, 2/16/2021(b)(c) |
3,155,908 | ||||
2,695,000 | American Express Credit Account Master Trust, Series 2014-4, Class A, 1.430%, 6/15/2020(b) |
2,706,866 | ||||
2,295,000 | American Express Credit Account Master Trust, Series 2014-5, Class A, 0.814%, 5/15/2020(b)(c) |
2,298,109 | ||||
4,050,000 | American Express Credit Account Secured Note Trust, Series 2012-4, Class A, 0.764%, 5/15/2020(b)(c) |
4,053,168 | ||||
2,765,000 | American Express Issuance Trust II, Series 2013-2, Class A, 0.954%, 8/15/2019(b)(c) |
2,774,821 | ||||
2,050,000 | BA Credit Card Trust, Series 2014-A1, Class A, 0.904%, 6/15/2021(b)(c) |
2,057,292 | ||||
5,865,000 | Bank of America Credit Card Trust, Series 2015-A1, Class A, 0.854%, 6/15/2020(b)(c) |
5,875,534 | ||||
995,000 | Bank of America Credit Card Trust, Series 2016-A1, Class A, 0.914%, 10/15/2021(b)(c) |
998,197 | ||||
3,600,000 | Capital One Multi-Asset Execution Trust, Series 2004-A7, Class A7, 1.450%, 8/16/2021(b) |
3,619,371 | ||||
5,865,000 | Capital One Multi-Asset Execution Trust, Series 2007-A2, Class A2, 0.604%, 12/16/2019(b)(c) |
5,865,673 | ||||
3,075,000 | Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3, 0.960%, 9/16/2019(b) |
3,075,264 | ||||
3,370,000 | Chase Issuance Trust, Series 2007-A12, Class A12, 0.574%, 8/15/2019(b)(c) |
3,368,809 | ||||
6,600,000 | Chase Issuance Trust, Series 2013-A8, Class A8, 1.010%, 10/15/2018(b) |
6,600,599 | ||||
6,640,000 | Chase Issuance Trust, Series 2014-A7, Class A, 1.380%, 11/15/2019(b) |
6,664,917 | ||||
3,780,000 | Chase Issuance Trust, Series 2014-A8, Class A, 0.774%, 11/15/2018(b)(c) |
3,780,740 | ||||
3,560,000 | Chase Issuance Trust, Series 2015-A1, Class A, 0.844%, 2/18/2020(b)(c) |
3,567,833 | ||||
3,500,000 | Chase Issuance Trust, Series 2015-A4, Class A, 1.840%, 4/15/2022(b) |
3,553,886 | ||||
6,090,000 | Chase Issuance Trust, Series 2016-A1, Class A, 0.934%, 5/17/2021(b)(c) |
6,116,108 | ||||
3,120,000 | Chase Issuance Trust, Series 2016-A2, Class A, 1.370%, 6/15/2021(b) |
3,129,129 | ||||
2,900,000 | Chase Issuance Trust, Sries 2016-A5, Class A5, 1.270%, 7/15/2021(b) |
2,899,888 | ||||
5,825,000 | Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7, 0.948%, 9/10/2020(b)(c) |
5,851,785 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Credit Card continued |
||||||
$ 3,000,000 | Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4, 1.230%, 4/24/2019(b) |
$ | 3,004,937 | |||
3,045,000 | Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8, 1.730%, 4/09/2020(b) |
3,073,776 | ||||
2,405,000 | Discover Card Execution Note Trust, Series 2013-A1, Class A1, 0.824%, 8/17/2020(b)(c) |
2,410,082 | ||||
990,000 | Discover Card Execution Note Trust, Series 2015-A1, Class A1, 0.874%, 8/17/2020(b)(c) |
992,757 | ||||
3,600,000 | World Financial Network Credit Card Master Trust, Series 2015-C, Class A, 1.260%, 3/15/2021(b) |
3,601,315 | ||||
|
|
|||||
95,096,764 | ||||||
|
|
|||||
ABS Home Equity 12.3% |
||||||
770,590 | Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1, 3.029%, 3/25/2035(b)(c) |
742,699 | ||||
2,003,538 | Ajax Mortgage Loan Trust, Series 2016-B, Class A, 4.000%, 9/25/2065, 144A(b)(c) |
1,999,206 | ||||
4,262,436 | Alliance Bancorp Trust, Series 2007-OA1, Class A1, 0.765%, 7/25/2037(c) |
3,107,916 | ||||
764,427 | Alternative Loan Trust, Series 2003-20CB, Class 2A1, 5.750%, 10/25/2033 |
787,356 | ||||
647,906 | Alternative Loan Trust, Series 2003-9T1, Class A7, 5.500%, 7/25/2033 |
643,591 | ||||
461,458 | Alternative Loan Trust, Series 2004-28CB, Class 5A1, 5.750%, 1/25/2035 |
464,949 | ||||
1,419,495 | Alternative Loan Trust, Series 2005-J1, Class 2A1, 5.500%, 2/25/2025 |
1,447,363 | ||||
1,097,392 | American Home Mortgage Investment Trust, Series 2005-2, Class 1A1, 0.825%, 9/25/2045(c) |
904,164 | ||||
1,500,000 | American Homes 4 Rent, Series 2014-SFR1, Class E, 3.031%, 6/17/2031, 144A(c) |
1,472,630 | ||||
300,000 | American Homes 4 Rent, Series 2014-SFR2, Class D, 5.149%, 10/17/2036, 144A(b) |
331,938 | ||||
1,980,000 | American Homes 4 Rent, Series 2014-SFR2, Class E, 6.231%, 10/17/2036, 144A |
2,181,200 | ||||
1,200,000 | American Homes 4 Rent, Series 2014-SFR3, Class E, 6.418%, 12/17/2036, 144A |
1,350,963 | ||||
912,068 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 |
929,908 | ||||
3,160,044 | Banc of America Alternative Loan Trust, Series 2004-6, Class 2A1, 6.000%, 7/25/2034 |
3,310,575 | ||||
1,168,399 | Banc of America Alternative Loan Trust, Series 2005-6, Class CB7, 5.250%, 7/25/2035 |
1,066,582 | ||||
861,133 | Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034 |
853,017 | ||||
1,678,651 | Banc of America Funding Trust, Series 2004-B, Class 4A2, 3.638%, 11/20/2034(c) |
1,561,269 | ||||
553,166 | Banc of America Funding Trust, Series 2005-5, Class A1, 5.500%, 9/25/2035(b) |
572,776 | ||||
1,138,904 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 |
1,166,833 | ||||
682,902 | Bayview Opportunity Master Fund Trust, Series 16-RPL3, Class A1, 3.475%, 7/28/2031, 144A(b)(c) |
682,403 | ||||
1,100,000 | Bayview Opportunity Master Fund Trust, Series 2016-RN3, Class A1, 3.598%, 9/28/2031, 144A(c) |
1,100,000 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Home Equity continued |
||||||
$ 1,193,522 | BCAP LLC Trust, Series 2007-AA2, Class 22A1, 6.000%, 3/25/2022 |
$ | 1,180,487 | |||
2,422,894 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1, 3.276%, 9/25/2034(c) |
2,220,847 | ||||
1,255,598 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1, 3.013%, 2/25/2036(c) |
1,073,983 | ||||
787,631 | CAM Mortgage Trust, Series 2016-1, Class A, 4.000%, 1/15/2056, 144A(c) |
783,940 | ||||
2,055,000 | CAM Mortgage Trust, Series 2016-1, Class M, 5.000%, 1/15/2056, 144A(c) |
1,992,363 | ||||
675,866 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.957%, 5/25/2035(c) |
629,426 | ||||
2,663,997 | Citigroup Mortgage Loan Trust, Inc., Series 2005-3, Class 2A3, 2.990%, 8/25/2035(c) |
2,468,747 | ||||
3,054,625 | Citigroup Mortgage Loan Trust, Inc., Series 2014-11, Class 2A1, 0.664%, 8/25/2036, 144A(b)(c) |
2,662,227 | ||||
2,830,671 | Citigroup Mortgage Loan Trust, Inc., Series 2015-2, Class 1A1, 0.724%, 6/25/2047, 144A(b)(c) |
2,439,580 | ||||
2,095,690 | CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1, 6.000%, 9/25/2036 |
1,865,928 | ||||
2,200,000 | Colony American Finance Ltd., Series 2015-1, Class D, 5.649%, 10/15/2047, 144A(b) |
2,249,509 | ||||
1,065,000 | Colony American Finance Ltd., Series 2016-1, Class C, 4.638%, 6/15/2048, 144A(b)(c) |
1,092,393 | ||||
400,000 | Colony American Homes, Series 2014-2A, Class E, 3.750%, 7/17/2031, 144A(c) |
396,335 | ||||
821,459 | Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11, 5.500%, 8/25/2034 |
855,914 | ||||
1,530,590 | Countrywide Alternative Loan Trust, Series 2004-J10, Class 2CB1, 6.000%, 9/25/2034 |
1,576,241 | ||||
854,281 | Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1, 5.500%, 4/25/2034(b) |
867,936 | ||||
6,539 | Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5, 5.301%, 8/25/2034(c)(d) |
6,350 | ||||
880,920 | Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1, 0.735%, 5/25/2035(c) |
730,745 | ||||
835,758 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1, 3.223%, 8/25/2034(c) |
717,289 | ||||
126,247 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1, 3.076%, 9/20/2034(b)(c)(d) |
119,328 | ||||
331,504 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.795%, 4/25/2035(c) |
260,013 | ||||
1,014,823 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17, 5.500%, 10/25/2035 |
914,005 | ||||
280,914 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-27, Class 4A4, 5.750%, 11/25/2033 |
293,541 | ||||
744,941 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1, 2.898%, 11/25/2033(b)(c) |
715,444 | ||||
527,019 | Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1, 2.894%, 12/25/2033(b)(c)(d) |
509,347 | ||||
1,896,265 | Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1, 2.996%, 5/25/2034(b)(c) |
1,779,193 | ||||
887,485 | Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4, 5.500%, 11/25/2035 |
819,745 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Home Equity continued |
||||||
$ 790,211 | Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4, 5.500%, 11/25/2035(c) |
$ | 746,749 | |||
833,936 | DSLA Mortgage Loan, Series 2005-AR5, Class 2A1A, 0.861%, 9/19/2045(c) |
613,942 | ||||
500,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2013-DN2, Class M2, 4.775%, 11/25/2023(c) |
529,431 | ||||
2,015,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN1, Class M2, 2.725%, 2/25/2024(b)(c) |
2,069,109 | ||||
1,785,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2014-DN2, Class M2, 2.175%, 4/25/2024(b)(c) |
1,801,244 | ||||
2,585,000 | Freddie Mac Structured Agency Credit Risk Debt Notes, Series 2015-DNA1, Class M2, 2.375%, 10/25/2027(b)(c) |
2,629,584 | ||||
541,384 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.558%, 7/19/2035(c) |
487,703 | ||||
1,128,289 | GSR Mortgage Loan Trust, Series 2004-14, Class 5A1, 3.189%, 12/25/2034(b)(c) |
1,118,616 | ||||
474,514 | GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1, 3.119%, 7/25/2035(c) |
419,721 | ||||
1,432,252 | HarborView Mortgage Loan Trust, Series 2006-10, Class 2A1A, 0.711%, 11/19/2036(c) |
1,181,508 | ||||
1,906,998 | IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1, 1.305%, 12/25/2034(c) |
1,594,380 | ||||
2,012,257 | IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1, 1.165%, 7/25/2045(c) |
1,681,621 | ||||
4,141,790 | IndyMac Index Mortgage Loan Trust, Series 2006-AR2, Class 2A1, 0.735%, 2/25/2046(c) |
3,278,084 | ||||
860,000 | Invitation Homes Trust, Series 2015-SFR1, Class E, 4.731%, 3/17/2032, 144A(c) |
866,951 | ||||
2,405,683 | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1, 2.775%, 3/25/2036(c) |
1,989,568 | ||||
733,798 | JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1, 2.503%, 11/25/2033(b)(c) |
695,563 | ||||
2,289,350 | JPMorgan Mortgage Trust, Series 2004-S1, Class 2A1, 6.000%, 9/25/2034 |
2,314,393 | ||||
1,712,809 | JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2, 2.752%, 4/25/2035(b)(c) |
1,687,024 | ||||
600,860 | JPMorgan Mortgage Trust, Series 2005-A3, Class 4A1, 2.959%, 6/25/2035(b)(c) |
602,526 | ||||
2,233,805 | JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9, 6.000%, 1/25/2036 |
1,911,879 | ||||
1,315,823 | JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2, 2.929%, 2/25/2036(c) |
1,160,300 | ||||
2,688,035 | JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4, 2.932%, 1/25/2037(c) |
2,391,624 | ||||
2,035,651 | JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22, 5.750%, 3/25/2037 |
1,666,466 | ||||
541,145 | Lehman XS Trust, Series 2005-7N, Class 3A1, 0.805%, 12/25/2035(c) |
406,196 | ||||
993 | Lehman XS Trust, Series 2006-12N, Class A2A1, 0.675%, 8/25/2046(c)(d) |
958 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Home Equity continued |
||||||
$ 833,748 | Lehman XS Trust, Series 2006-2N, Class 1A1, 0.785%, 2/25/2046(c) |
$ | 614,510 | |||
2,061,924 | Lehman XS Trust, Series 2006-4N, Class A2A, 0.745%, 4/25/2046(c) |
1,646,450 | ||||
590,070 | Ludgate Funding PLC, Series 2007-1, Class A2B, Zero Coupon, 1/01/2061, (EUR)(b)(c) |
603,088 | ||||
360,755 | MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1, 3.116%, 5/25/2034(b)(c)(d) |
345,041 | ||||
1,697,787 | MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1, 2.855%, 7/25/2034(c) |
1,639,523 | ||||
454,883 | MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1, 3.123%, 4/25/2036(c) |
415,970 | ||||
661,337 | MASTR Alternative Loan Trust, Series 2003-9, Class 4A1, 5.250%, 11/25/2033(b) |
675,283 | ||||
697,531 | MASTR Alternative Loan Trust, Series 2004-5, Class 1A1, 5.500%, 6/25/2034(b) |
715,056 | ||||
805,275 | MASTR Alternative Loan Trust, Series 2004-5, Class 2A1, 6.000%, 6/25/2034(b) |
821,650 | ||||
2,049,561 | MASTR Alternative Loan Trust, Series 2004-8, Class 2A1, 6.000%, 9/25/2034 |
2,118,725 | ||||
1,523,155 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8, 6.000%, 3/25/2037 |
1,182,055 | ||||
261,922 | MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A, 2.582%, 5/25/2036(b)(c) |
252,373 | ||||
744,011 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2, 5.500%, 11/25/2035(d) |
712,171 | ||||
1,586,023 | Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5, 5.500%, 11/25/2035 |
1,630,989 | ||||
2,062,280 | National City Mortgage Capital Trust, Series 2008-1, Class 2A1, 6.000%, 3/25/2038 |
2,141,877 | ||||
874,186 | Newgate Funding, Series 2007-3X, Class A2B, 0.298%, 12/15/2050, (EUR)(b)(c) |
933,643 | ||||
892,277 | NYMT Residential LLC, Series 2016-RP1A, Class A, 4.000%, 3/25/2021, 144A(b)(c) |
890,977 | ||||
1,475,921 | Oak Hill Advisors Residential Loan Trust, Series 15-NPL2 Class A1, 3.721%, 7/25/2055, 144A(b)(c) |
1,463,271 | ||||
2,062,033 | RCO Depositor II LLC, Series 2015-2A, Class A, 4.500%, 11/25/2045, 144A(b)(c) |
2,060,434 | ||||
2,700,000 | RCO Depositor II LLC, Series 2015-2A, Class M, 5.000%, 11/25/2045, 144A(c) |
2,584,620 | ||||
1,164,267 | Residential Accredit Loans, Inc., Series 2006-QO4, Class 2A1, 0.715%, 4/25/2046(c) |
939,191 | ||||
565,341 | Residential Accredit Loans, Inc. Trust, Series 2006-QO7, Class 3A2, 0.730%, 9/25/2046(c) |
416,511 | ||||
903,988 | Residential Accredit Loans, Inc. Trust, Series 2007-QO4, Class A1A, 0.715%, 5/25/2047(c) |
752,595 | ||||
1,800,263 | Residential Asset Securitization Trust, Series 2005-A8CB, Class A9, 5.375%, 7/25/2035 |
1,587,636 | ||||
638,980 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036(d) |
624,217 | ||||
273,097 | RMAC PLC, Series 2005-NS3X, Class A2C, 0.056%, 6/12/2043, (EUR)(b)(c) |
284,663 | ||||
485,647 | RMAC Securities No. 1 PLC, Series 2006-NS1X, Class A2C, Zero Coupon, 6/12/2044, (EUR)(b)(c) |
499,069 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Home Equity continued |
||||||
373,483 | RMAC Securities No. 1 PLC, Series 2007-NS1X, Class A2A, 0.530%, 6/12/2044, (GBP)(b)(c) |
$ | 445,023 | |||
678,999 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A, 3.039%, 9/25/2034(b)(c) |
668,226 | ||||
954,456 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A, 2.859%, 6/25/2034(b)(c) |
939,513 | ||||
4,093,355 | Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1, 0.835%, 7/25/2035(c) |
3,020,674 | ||||
905,613 | Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7, 5.750%, 11/25/2034(b) |
917,662 | ||||
468,623 | Structured Asset Securities Corp. Trust, Series 2005-1, Class 7A7, 5.500%, 2/25/2035 |
474,211 | ||||
934,563 | U.S. Residential Opportunity Fund III Trust, Series 2016-1III, Class A, 3.475%, 7/27/2036, 144A(b)(c) |
936,389 | ||||
979,492 | Vericrest Opportunity Loan Transferee, Series 16-NPL8, Class A1, 3.500%, 7/25/2046, 144A(b)(c) |
980,137 | ||||
1,565,000 | Vericrest Opportunity Loan Transferee, Series 2015-NP14, Class A2, 4.875%, 11/27/2045, 144A(c) |
1,505,769 | ||||
425,984 | Vericrest Opportunity Loan Transferee, Series 2015-NPL7, Class A1, 3.250%, 2/25/2055, 144A(c) |
424,691 | ||||
2,506,770 | VOLT XXVI LLC, Series 2014-NPL6, Class A1, 3.125%, 9/25/2043, 144A(b)(c) |
2,499,598 | ||||
948,891 | VOLT XXXI LLC, Series 2015-NPL2, Class A1, 3.375%, 2/25/2055, 144A(b)(c) |
948,887 | ||||
1,082,601 | VOLT XXXIII LLC, Series 2015-NPL5, Class A1, 3.500%, 3/25/2055, 144A(c) |
1,083,191 | ||||
1,360,000 | VOLT XXXV LLC, Series 2016-NPL9, Class A1, 3.500%, 9/25/2046, 144A(b)(c) |
1,359,908 | ||||
484,785 | WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A, 5.500%, 7/25/2034(b) |
497,178 | ||||
1,212,863 | WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A, 2.193%, 9/25/2046(c) |
1,141,549 | ||||
3,072,960 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.943%, 1/25/2047(c) |
2,747,577 | ||||
2,016,736 | WaMu Mortgage Pass Through Certificates, Series 2007-HY5, Class 2A3, 2.259%, 5/25/2037(c) |
1,668,769 | ||||
855,000 | Wedgewood Real Estate Trust, Series 2016-1, Class A2, 5.000%, 7/15/2046, 144A(c) |
851,655 | ||||
418,735 | Wells Fargo Mortgage Backed Securities Trust, Series 2004-O, Class A1, 2.992%, 8/25/2034(b)(c) |
424,382 | ||||
281,606 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3, 5.500%, 11/25/2035 |
290,955 | ||||
1,161,847 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18, 6.000%, 1/25/2036 |
1,149,294 | ||||
611,016 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4, 2.956%, 5/01/2035(b)(c) |
632,396 | ||||
|
|
|||||
145,902,556 | ||||||
|
|
|||||
ABS Other 3.9% |
||||||
4,323,661 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b)(c) |
4,161,869 | ||||
773,810 | AIM Aviation Finance Ltd., Series 2015-1A, Class C1, 4.750%, 2/15/2040, 144A |
696,429 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
ABS Other continued |
||||||
$ 2,906,481 | Cronos Containers Program I Ltd., 3.270%, 11/18/2029, 144A(b) |
$ | 2,826,219 | |||
609,284 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A(b) |
609,720 | ||||
1,920,910 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(d)(e) |
1,204,410 | ||||
747,901 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(d)(e) |
215,545 | ||||
3,410,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(d)(e)(f) |
47,740 | ||||
5,700,000 | GE Accounts Receivable Funding, 6.992%, 8/24/2017, 144A(d)(e) |
5,700,000 | ||||
1,348,292 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A(e)(g) |
1,318,546 | ||||
3,120,000 | OneMain Financial Issuance Trust, 4.160%, 11/20/2028, 144A(b) |
3,104,104 | ||||
895,168 | OneMain Financial Issuance Trust, Series 2014-1A, Class A, 2.430%, 6/18/2024, 144A(b) |
895,929 | ||||
603,877 | OneMain Financial Issuance Trust, Series 2014-2A, Class A, 2.470%, 9/18/2024, 144A(b) |
605,220 | ||||
745,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class B, 3.020%, 9/18/2024, 144A(b) |
743,950 | ||||
6,475,000 | OneMain Financial Issuance Trust, Series 2014-2A, Class D, 5.310%, 9/18/2024, 144A |
6,493,822 | ||||
1,265,000 | OneMain Financial Issuance Trust, Series 2015-1A, Class A, 3.190%, 3/18/2026, 144A(b) |
1,277,886 | ||||
3,100,000 | OneMain Financial Issuance Trust, Series 2016-1A, Class C, 6.000%, 2/20/2029, 144A |
3,217,358 | ||||
2,685,000 | OneMain Financial Issuance Trust, Series 2016-2A, Class B, 5.940%, 3/20/2028, 144A(b) |
2,817,799 | ||||
4,359,096 | Shenton Aircraft Investment I Ltd., Series 2015-1A, Class A, 4.750%, 10/15/2042, 144A(b) |
4,244,975 | ||||
167,241 | Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A, 2.840%, 11/20/2028, 144A |
167,596 | ||||
668,521 | Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A, 1.590%, 11/20/2029, 144A(b) |
665,796 | ||||
1,341,834 | Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A, 2.200%, 10/20/2030, 144A(b) |
1,344,877 | ||||
970,983 | Springleaf Funding Trust, Series 2014-AA, Class A, 2.410%, 12/15/2022, 144A(b) |
972,224 | ||||
2,658,833 | TAL Advantage V LLC, Series 2013-2A, Class A, 3.550%, 11/20/2038, 144A(b) |
2,632,435 | ||||
|
|
|||||
45,964,449 | ||||||
|
|
|||||
ABS Student Loan 0.4% |
||||||
337,358 | SoFi Professional Loan Program LLC, Series 2014-B, Class A1, 1.775%, 8/25/2032, 144A(b)(c) |
340,602 | ||||
1,750,649 | SoFi Professional Loan Program LLC, Series 2015-A, Class A1, 1.725%, 3/25/2033, 144A(b)(c) |
1,759,388 | ||||
3,110,000 | SoFi Professional Loan Program LLC, Series 2016-A, Class B, 3.570%, 1/26/2038, 144A(b) |
3,159,530 | ||||
|
|
|||||
5,259,520 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Aerospace & Defense 0.9% |
||||||
$ 1,135,000 | Embraer Netherlands Finance BV, 5.050%, 6/15/2025(b) |
$ | 1,140,675 | |||
1,195,000 | Embraer Overseas Ltd., 5.696%, 9/16/2023, 144A(b) |
1,259,231 | ||||
1,330,000 | Engility Corp., 8.875%, 9/01/2024, 144A |
1,346,625 | ||||
6,003,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
5,882,940 | ||||
825,000 | Rockwell Collins, Inc., 1.200%, 12/15/2016(b)(c) |
825,541 | ||||
|
|
|||||
10,455,012 | ||||||
|
|
|||||
Airlines 1.2% |
||||||
8,490,000 | Air Canada Pass Through Trust, Series 2015-2, Class B, 5.000%, 6/15/2025, 144A(b) |
8,541,195 | ||||
5,791,651 | Latam Airlines Pass Through Trust, Series 2015-1, Class B, 4.500%, 8/15/2025 |
5,574,464 | ||||
|
|
|||||
14,115,659 | ||||||
|
|
|||||
Automotive 2.1% |
||||||
3,700,000 | American Honda Finance Corp., Series MTN, 1.307%, 9/20/2017(b)(c) |
3,710,130 | ||||
5,785,000 | BMW U.S. Capital LLC, 1.260%, 9/13/2019, 144A(b)(c) |
5,780,974 | ||||
6,100,000 | Hyundai Capital Services, Inc., 1.657%, 3/18/2017, 144A(b)(c) |
6,103,483 | ||||
5,960,000 | Nissan Motor Acceptance Corp., 1.385%, 3/03/2017, 144A(b)(c) |
5,971,360 | ||||
3,210,000 | Volkswagen International Finance NV, 1.241%, 11/18/2016, 144A(b)(c) |
3,211,005 | ||||
|
|
|||||
24,776,952 | ||||||
|
|
|||||
Banking 3.3% |
||||||
3,200,000 | Ally Financial, Inc., 4.250%, 4/15/2021 |
3,260,000 | ||||
3,200,000 | Ally Financial, Inc., 5.750%, 11/20/2025 |
3,348,000 | ||||
1,334,000 | Bank of America NA, Series BKNT, 1.150%, 6/15/2017(b)(c) |
1,333,386 | ||||
4,603,000 | Citigroup, Inc., 1.525%, 11/24/2017(b)(c) |
4,615,884 | ||||
5,840,000 | Goldman Sachs Group, Inc. (The), MTN, 1.460%, 6/04/2017(b)(c) |
5,848,526 | ||||
5,800,000 | JPMorgan Chase Bank NA, 1.453%, 9/23/2019(b)(c) |
5,807,540 | ||||
12,840,000 | Santander Holdings USA, Inc., 4.500%, 7/17/2025(b) |
13,372,411 | ||||
1,330,000 | Wells Fargo & Co., MTN, 1.139%, 6/02/2017(b)(c) |
1,330,141 | ||||
|
|
|||||
38,915,888 | ||||||
|
|
|||||
Building Materials 0.5% |
||||||
5,500,000 | Cemex SAB de CV, 6.125%, 5/05/2025, 144A |
5,651,250 | ||||
|
|
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Cable Satellite 1.1% |
||||||
$ 1,325,000 | Cablevision S.A., 6.500%, 6/15/2021, 144A |
$ | 1,382,969 | |||
2,865,000 | Cox Communications, Inc., 4.500%, 6/30/2043, 144A(b) |
2,581,268 | ||||
1,575,000 | Cox Communications, Inc., 4.700%, 12/15/2042, 144A(b) |
1,469,543 | ||||
1,740,000 | DISH DBS Corp., 5.875%, 11/15/2024 |
1,718,250 | ||||
1,475,000 | DISH DBS Corp., 7.750%, 7/01/2026, 144A |
1,567,187 | ||||
2,065,000 | Time Warner Cable LLC, 4.500%, 9/15/2042(b) |
1,970,545 | ||||
2,015,000 | Ziggo Secured Finance BV, 5.500%, 1/15/2027, 144A |
2,012,481 | ||||
|
|
|||||
12,702,243 | ||||||
|
|
|||||
Chemicals 0.3% |
||||||
899,000 | Albemarle Corp., 4.150%, 12/01/2024 |
969,129 | ||||
3,170,000 | Hercules, Inc., 6.500%, 6/30/2029 |
2,853,000 | ||||
|
|
|||||
3,822,129 | ||||||
|
|
|||||
Collateralized Mortgage Obligations 0.6% |
||||||
57,020,462 | Government National Mortgage Association, Series 2012-135, Class IO, 0.665%, 1/16/2053(b)(c)(h) |
2,508,244 | ||||
1,379,337 | GSR Mortgage Loan Trust, Series 2005-AR5, Class 4A1, 3.241%, 10/25/2035(c) |
1,294,548 | ||||
554,914 | HarborView Mortgage Loan Trust, Series 2006-7, Class 2A1A, 0.731%, 9/19/2046(c) |
400,527 | ||||
3,094,465 | Merrill Lynch Mortgage Investors Trust, Series 2006-1, Class 1A, 2.966%, 2/25/2036(c) |
2,848,159 | ||||
|
|
|||||
7,051,478 | ||||||
|
|
|||||
Construction Machinery 0.5% |
||||||
5,810,000 | Caterpillar Financial Services Corp., GMTN, 1.517%, 2/23/2018(b)(c) |
5,851,594 | ||||
|
|
|||||
Electric 1.2% |
||||||
12,170,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(b) |
14,223,688 | ||||
|
|
|||||
Finance Companies 0.9% |
||||||
3,225,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A |
3,063,750 | ||||
5,813,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A |
5,769,403 | ||||
2,600,000 | Unifin Financiera SAB de CV SOFOM ENR, 7.250%, 9/27/2023, 144A |
2,590,250 | ||||
|
|
|||||
11,423,403 | ||||||
|
|
|||||
Financial Other 0.6% |
||||||
6,780,000 | Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A |
6,881,700 | ||||
|
|
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Food & Beverage 1.3% |
||||||
$ 5,340,000 | BRF GmbH, 4.350%, 9/29/2026, 144A |
$ | 5,213,015 | |||
10,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL)(b) |
3,081,776 | ||||
3,225,000 | Cosan Luxembourg S.A., 7.000%, 1/20/2027, 144A |
3,366,094 | ||||
2,300,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) |
675,399 | ||||
460,000 | JBS Investments GmbH, 7.250%, 4/03/2024, 144A |
468,050 | ||||
2,090,000 | JBS USA LLC/JBS USA Finance, Inc., 5.750%, 6/15/2025, 144A |
2,053,425 | ||||
145,000 | JBS USA LLC/JBS USA Finance, Inc., 7.250%, 6/01/2021, 144A |
149,894 | ||||
|
|
|||||
15,007,653 | ||||||
|
|
|||||
Government Owned - No Guarantee 1.9% |
||||||
18,670,000,000 | Financiera de Desarrollo Territorial S.A. Findeter, 7.875%, 8/12/2024, 144A, (COP)(b) |
5,842,593 | ||||
9,960,000 | Petrobras Global Finance BV, 5.375%, 1/27/2021 |
9,850,440 | ||||
1,530,000 | Petrobras Global Finance BV, 8.750%, 5/23/2026 |
1,690,650 | ||||
700,000() | Petroleos Mexicanos, 7.650%, 11/24/2021, 144A, (MXN)(b) |
3,512,680 | ||||
1,930,000 | YPF S.A., 31.354%, 7/07/2020, 144A(c) |
2,248,450 | ||||
|
|
|||||
23,144,813 | ||||||
|
|
|||||
Healthcare 1.0% |
||||||
5,665,000 | Aetna, Inc., 1.491%, 12/08/2017(b)(c) |
5,678,421 | ||||
5,840,000 | Becton Dickinson and Co., 1.750%, 11/08/2016(b) |
5,843,901 | ||||
|
|
|||||
11,522,322 | ||||||
|
|
|||||
Home Construction 0.3% |
||||||
180,000 | Beazer Homes USA, Inc., 8.750%, 3/15/2022, 144A |
189,900 | ||||
2,920,000 | PulteGroup, Inc., 5.000%, 1/15/2027 |
2,932,848 | ||||
|
|
|||||
3,122,748 | ||||||
|
|
|||||
Independent Energy 4.9% |
||||||
135,000 | Anadarko Petroleum Corp., 4.500%, 7/15/2044(b) |
123,862 | ||||
150,000 | Baytex Energy Corp., 5.125%, 6/01/2021, 144A |
124,875 | ||||
665,000 | Baytex Energy Corp., 5.625%, 6/01/2024, 144A |
541,975 | ||||
905,000 | Bonanza Creek Energy, Inc., 5.750%, 2/01/2023 |
411,775 | ||||
240,000 | Bonanza Creek Energy, Inc., 6.750%, 4/15/2021 |
109,200 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Independent Energy continued |
||||||
$ 74,000 | California Resources Corp., 5.500%, 9/15/2021 |
$ | 39,220 | |||
448,000 | California Resources Corp., 6.000%, 11/15/2024 |
213,920 | ||||
1,095,000 | California Resources Corp., 8.000%, 12/15/2022, 144A |
728,175 | ||||
3,180,000 | Callon Petroleum Co., 6.125%, 10/01/2024, 144A |
3,291,300 | ||||
245,000 | Canadian Natural Resources Ltd., 3.900%, 2/01/2025(b) |
245,994 | ||||
326,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022 |
274,655 | ||||
13,000 | Chesapeake Energy Corp., 6.125%, 2/15/2021 |
11,928 | ||||
16,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
15,060 | ||||
800,000 | Concho Resources, Inc., 5.500%, 10/01/2022 |
830,000 | ||||
3,105,000 | Concho Resources, Inc., 5.500%, 4/01/2023 |
3,202,031 | ||||
3,635,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
3,326,025 | ||||
560,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
537,600 | ||||
11,465,000 | Continental Resources, Inc., 5.000%, 9/15/2022 |
11,436,337 | ||||
1,342,000 | Devon Energy Corp., 5.000%, 6/15/2045(b) |
1,305,545 | ||||
2,890,000 | Devon Energy Corp., 5.850%, 12/15/2025(b) |
3,252,345 | ||||
1,195,000 | Halcon Resources Corp., 8.625%, 2/01/2020, 144A |
1,200,975 | ||||
4,519,000 | Matador Resources Co., 6.875%, 4/15/2023 |
4,677,165 | ||||
1,265,000 | MEG Energy Corp., 6.375%, 1/30/2023, 144A |
1,000,931 | ||||
180,000 | MEG Energy Corp., 6.500%, 3/15/2021, 144A |
146,925 | ||||
2,055,000 | MEG Energy Corp., 7.000%, 3/31/2024, 144A |
1,623,450 | ||||
1,260,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 |
1,206,450 | ||||
7,460,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A(d)(e)(i) |
| ||||
4,420,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A(d)(e)(i) |
| ||||
2,015,000 | Parsley Energy LLC/Parsley Finance Corp., 6.250%, 6/01/2024, 144A |
2,080,488 | ||||
495,000 | Parsley Energy LLC/Parsley Finance Corp., 7.500%, 2/15/2022, 144A |
525,938 | ||||
725,000 | PDC Energy, Inc., 6.125%, 9/15/2024, 144A |
750,375 | ||||
7,565,000 | RSP Permian, Inc., 6.625%, 10/01/2022 |
7,924,337 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Independent Energy continued |
||||||
$ 1,055,000 | SM Energy Co., 5.000%, 1/15/2024 |
$ | 991,700 | |||
1,750,000 | SM Energy Co., 6.125%, 11/15/2022 |
1,750,000 | ||||
700,000 | SM Energy Co., 6.750%, 9/15/2026 |
707,000 | ||||
400,000 | Whiting Petroleum Corp., 5.000%, 3/15/2019 |
387,000 | ||||
3,255,000 | Whiting Petroleum Corp., 6.500%, 10/01/2018 |
3,206,175 | ||||
|
|
|||||
58,200,731 | ||||||
|
|
|||||
Industrial Other 0.2% |
||||||
2,200,000 | Alfa SAB de CV, 6.875%, 3/25/2044, 144A(b) |
2,326,500 | ||||
|
|
|||||
Integrated Energy 1.8% |
||||||
2,935,000 | BP Capital Markets PLC, 1.208%, 11/07/2016(b)(c) |
2,936,109 | ||||
1,225,000 | BP Capital Markets PLC, 1.242%, 2/13/2018(b)(c) |
1,226,582 | ||||
6,595,000 | Chevron Corp., 0.987%, 11/15/2017(b)(c) |
6,602,024 | ||||
7,020,000 | Pacific Exploration and Production Corp., 5.125%, 3/28/2023, 144A(i) |
1,298,700 | ||||
2,090,000 | Pacific Exploration and Production Corp., 5.375%, 1/26/2019, 144A(i) |
386,650 | ||||
3,310,000 | Shell International Finance BV, 1.027%, 11/15/2016(b)(c) |
3,311,509 | ||||
5,795,000 | Shell International Finance BV, 1.195%, 9/12/2019(b)(c) |
5,791,737 | ||||
|
|
|||||
21,553,311 | ||||||
|
|
|||||
Life Insurance 0.5% |
||||||
5,785,000 | Metropolitan Life Global Funding I, 1.190%, 9/14/2018, 144A(b)(c) |
5,795,471 | ||||
|
|
|||||
Lodging 0.1% |
||||||
1,515,000 | Wyndham Worldwide Corp., 5.100%, 10/01/2025(b) |
1,656,169 | ||||
|
|
|||||
Media Entertainment 0.1% |
||||||
27,290,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN)(b) |
1,220,119 | ||||
|
|
|||||
Midstream 4.7% |
||||||
2,340,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.125%, 3/01/2022 |
2,363,400 | ||||
410,000 | Energy Transfer Partners LP, 5.150%, 3/15/2045(b) |
379,776 | ||||
5,595,000 | Energy Transfer Partners LP, 6.125%, 12/15/2045(b) |
5,843,597 | ||||
1,290,000 | EnLink Midstream Partners LP, 5.050%, 4/01/2045(b) |
1,141,935 | ||||
765,000 | EnLink Midstream Partners LP, 5.600%, 4/01/2044(b) |
707,919 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Midstream continued |
||||||
$ 1,195,000 | Kinder Morgan Energy Partners LP, 4.700%, 11/01/2042(b) |
$ | 1,102,350 | |||
2,155,000 | Kinder Morgan Energy Partners LP, 5.000%, 8/15/2042(b) |
2,044,218 | ||||
255,000 | Kinder Morgan Energy Partners LP, 5.000%, 3/01/2043(b) |
239,852 | ||||
1,750,000 | Kinder Morgan Energy Partners LP, 5.625%, 9/01/2041(b) |
1,735,870 | ||||
450,000 | MPLX LP, 4.000%, 2/15/2025(b) |
443,475 | ||||
765,000 | MPLX LP, 4.500%, 7/15/2023(b) |
779,860 | ||||
5,395,000 | MPLX LP, 4.875%, 12/01/2024(b) |
5,580,189 | ||||
475,000 | MPLX LP, 4.875%, 6/01/2025 |
490,809 | ||||
2,690,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019 |
2,542,050 | ||||
415,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021 |
393,212 | ||||
1,480,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.700%, 6/15/2044(b) |
1,301,318 | ||||
2,265,000 | Plains All American Pipeline LP/PAA Finance Corp., 4.900%, 2/15/2045(b) |
2,075,408 | ||||
1,710,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.750%, 9/01/2020(b) |
1,856,612 | ||||
5,055,000 | Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025 |
5,434,125 | ||||
180,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023 |
173,925 | ||||
690,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023 |
698,625 | ||||
1,120,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022 |
1,159,200 | ||||
6,015,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.750%, 3/15/2024 |
6,436,050 | ||||
1,310,000 | Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023 |
1,342,750 | ||||
2,395,000 | Williams Partners LP, 3.900%, 1/15/2025(b) |
2,390,006 | ||||
4,195,000 | Williams Partners LP, 4.000%, 9/15/2025(b) |
4,194,237 | ||||
965,000 | Williams Partners LP, 5.100%, 9/15/2045(b) |
941,475 | ||||
1,825,000 | Williams Partners LP, 6.300%, 4/15/2040(b) |
2,006,374 | ||||
|
|
|||||
55,798,617 | ||||||
|
|
|||||
Non-Agency Commercial Mortgage-Backed Securities 5.3% |
||||||
1,600,000 | BLCP Hotel Trust, Series 2014-CLRN, Class D, 3.024%, 8/15/2029, 144A(b)(c) |
1,573,895 | ||||
1,600,000 | BLCP Hotel Trust, Series 2014-CLRN, Class E, 4.194%, 8/15/2029, 144A(c) |
1,576,908 | ||||
3,442,048 | BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.717%, 5/15/2020, 144A(c)(e)(g) |
3,345,871 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Non-Agency Commercial Mortgage-Backed Securities continued |
||||||
$ 4,565,000 | CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D, 6.386%, 4/15/2044, 144A(b)(c) |
$ | 4,750,012 | |||
2,135,000 | Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.674%, 10/15/2031, 144A(c)(e)(g) |
2,135,600 | ||||
449,308 | Commercial Mortgage Trust, Series 2014-SAVA, Class A, 1.675%, 6/15/2034, 144A(b)(c) |
449,712 | ||||
855,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class B, 2.275%, 6/15/2034, 144A(b)(c) |
847,751 | ||||
1,605,000 | Commercial Mortgage Trust, Series 2014-SAVA, Class C, 2.925%, 6/15/2034, 144A(b)(c) |
1,587,124 | ||||
3,700,000 | Credit Suisse Mortgage Capital Certificates, Series 2015-TOWN, Class A, 1.774%, 3/15/2017, 144A(b)(c) |
3,698,369 | ||||
2,552,340 | DBUBS Mortgage Trust, Series 2011-LC1A, Class E, 5.884%, 11/10/2046, 144A(b)(c) |
2,723,509 | ||||
6,505,000 | GS Mortgage Securities Trust, Series 2007-GG10, Class AM, 5.988%, 8/10/2045(c) |
6,261,238 | ||||
1,915,000 | Hilton USA Trust, Series 2013-HLT, Class CFX, 3.714%, 11/05/2030, 144A(b) |
1,915,424 | ||||
1,460,000 | Hilton USA Trust, Series 2013-HLT, Class DFX, 4.407%, 11/05/2030, 144A(b) |
1,460,321 | ||||
1,580,000 | Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(c) |
1,582,439 | ||||
1,520,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b)(c) |
1,490,155 | ||||
3,090,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2015-SGP, Class D, 5.024%, 7/15/2036, 144A(b)(c) |
3,074,515 | ||||
1,325,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.902%, 4/12/2049(b)(c) |
1,329,195 | ||||
1,570,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class D, 5.646%, 6/15/2044, 144A(b)(c) |
1,652,861 | ||||
2,125,000 | Morgan Stanley Capital I Trust, Series 2011-C2, Class E, 5.646%, 6/15/2044, 144A(b)(c) |
2,220,020 | ||||
9,844,685 | Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(e)(g) |
9,909,291 | ||||
2,280,000 | SCG Trust, Series 2013-SRP1, Class B, 3.024%, 11/15/2026, 144A(b)(c) |
2,202,838 | ||||
2,200,000 | SCG Trust, Series 2013-SRP1, Class C, 3.774%, 11/15/2026, 144A(b)(c) |
2,130,083 | ||||
3,165,000 | SCG Trust, Series 2013-SRP1, Class D, 3.868%, 11/15/2026, 144A(b)(c) |
3,014,106 | ||||
2,587,500 | WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D, 5.788%, 2/15/2044, 144A(b)(c) |
2,727,549 | ||||
|
|
|||||
63,658,786 | ||||||
|
|
|||||
Oil Field Services 0.2% |
||||||
3,490,000 | Noble Holding International Ltd., 5.250%, 3/15/2042 |
1,971,850 | ||||
|
|
|||||
Pharmaceuticals 1.8% |
||||||
3,070,000 | Johnson & Johnson, 0.899%, 11/28/2016(b)(c) |
3,071,557 | ||||
5,570,000 | Merck & Co., Inc., 0.932%, 2/10/2017(b)(c) |
5,572,016 |
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Pharmaceuticals continued |
||||||
$ 3,175,000 | Valeant Pharmaceuticals International, Inc., 5.500%, 3/01/2023, 144A |
$ | 2,714,625 | |||
9,756,000 | Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023, 144A |
8,414,550 | ||||
1,605,000 | VRX Escrow Corp., 4.500%, 5/15/2023, 144A, (EUR) |
1,424,351 | ||||
|
|
|||||
21,197,099 | ||||||
|
|
|||||
Property & Casualty Insurance 0.5% |
||||||
2,370,000 | Old Republic International Corp., 3.875%, 8/26/2026(b) |
2,365,833 | ||||
3,885,000 | Old Republic International Corp., 4.875%, 10/01/2024(b) |
4,200,804 | ||||
|
|
|||||
6,566,637 | ||||||
|
|
|||||
Refining 0.2% |
||||||
2,090,000 | Ultrapar International S.A., 5.250%, 10/06/2026, 144A |
2,074,325 | ||||
|
|
|||||
Retailers 0.1% |
||||||
1,080,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023(b) |
1,250,100 | ||||
|
|
|||||
Supermarkets 0.1% |
||||||
885,000 | Albertsons Cos. LLC/Safeway, Inc./New Albertsons/Albertsons LLC, 5.750%, 3/15/2025, 144A |
882,788 | ||||
|
|
|||||
Technology 3.5% |
||||||
4,770,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
5,276,812 | ||||
1,542,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
1,680,780 | ||||
6,955,000 | Cisco Systems, Inc., 1.197%, 9/20/2019(b)(c) |
6,960,084 | ||||
1,375,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 5.875%, 6/15/2021, 144A |
1,460,899 | ||||
11,255,000 | Diamond 1 Finance Corp./Diamond 2 Finance Corp., 6.020%, 6/15/2026, 144A(b) |
12,338,890 | ||||
3,310,000 | Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024, 144A |
3,351,375 | ||||
3,080,000 | Keysight Technologies, Inc., 4.550%, 10/30/2024(b) |
3,183,741 | ||||
6,695,000 | Open Text Corp., 5.875%, 6/01/2026, 144A |
7,004,644 | ||||
|
|
|||||
41,257,225 | ||||||
|
|
|||||
Treasuries 1.9% |
||||||
38,000() | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2017, (BRL) |
11,584,129 | ||||
43,850,000 | Poland Government Bond, 4.750%, 4/25/2017, (PLN)(b) |
11,669,175 | ||||
|
|
|||||
23,253,304 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes continued |
||||||
Non-Convertible Bonds continued |
||||||
Wirelines 0.5% |
||||||
10,085,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL)(i) |
$ | 542,679 | |||
5,685,000 | Verizon Communications, Inc., 2.606%, 9/14/2018(b)(c) |
5,834,311 | ||||
|
|
|||||
6,376,990 | ||||||
|
|
|||||
Total Non-Convertible Bonds (Identified Cost $884,877,048) |
869,097,645 | |||||
|
|
|||||
Convertible Bonds 1.5% |
||||||
Building Materials 0.0% |
||||||
335,000 | CalAtlantic Group, Inc., 0.250%, 6/01/2019 |
310,294 | ||||
|
|
|||||
Diversified Operations 0.1% |
||||||
775,000 | RWT Holdings, Inc., 5.625%, 11/15/2019 |
784,688 | ||||
|
|
|||||
Healthcare 0.1% |
||||||
1,475,000 | Brookdale Senior Living, Inc., 2.750%, 6/15/2018 |
1,464,859 | ||||
|
|
|||||
Media Entertainment 0.1% |
||||||
885,000 | Liberty Media Corp., 2.250%, 9/30/2046, 144A |
918,741 | ||||
|
|
|||||
Midstream 0.6% |
||||||
7,718,000 | Whiting Petroleum Corp., Series 2, 1.250%, 6/05/2020 |
7,409,280 | ||||
|
|
|||||
Pharmaceuticals 0.3% |
||||||
4,330,000 | Ionis Pharmaceuticals, Inc., 1.000%, 11/15/2021 |
4,029,606 | ||||
|
|
|||||
Technology 0.3% |
||||||
200,000 | Advanced Micro Devices, Inc., 2.125%, 9/01/2026 |
217,500 | ||||
55,000 | CalAmp Corp., 1.625%, 5/15/2020 |
50,875 | ||||
970,000 | Cypress Semiconductor Corp., 4.500%, 1/15/2022, 144A |
1,096,706 | ||||
1,578,000 | Viavi Solutions, Inc., 0.625%, 8/15/2033 |
1,570,110 | ||||
|
|
|||||
2,935,191 | ||||||
|
|
|||||
Total Convertible Bonds (Identified Cost $17,809,395) |
17,852,659 | |||||
|
|
|||||
Total Bonds and Notes (Identified Cost $902,686,443) |
886,950,304 | |||||
|
|
|||||
Senior Loans 4.7% |
||||||
Aerospace & Defense 0.1% |
||||||
1,206,606 | Engility Corp., Term Loan B2, 5.750%, 8/12/2023(c) |
1,217,538 | ||||
|
|
Principal Amount () |
Description |
Value () | ||||
Senior Loans continued |
||||||
Automotive 0.1% |
||||||
$ 1,591,657 | Gates Global, Inc., Term Loan B, 4.250%, 7/06/2021(c) |
$ | 1,566,334 | |||
|
|
|||||
Building Materials 0.4% |
||||||
1,600,000 | HD Supply, Inc., Incremental Term Loan B, 9/14/2023(j) |
1,602,000 | ||||
2,154,545 | Headwaters, Inc., 2016 Term Loan B, 4.000%, 3/24/2022(c) |
2,164,413 | ||||
1,205,032 | Ply Gem Industries, Inc., Term Loan, 4.000%, 2/01/2021(c) |
1,211,564 | ||||
|
|
|||||
4,977,977 | ||||||
|
|
|||||
Cable Satellite 0.0% |
||||||
205,000 | CSC Holdings LLC, 2016 Term Loan B, 10/11/2024(j) |
205,359 | ||||
|
|
|||||
Environmental 0.1% |
||||||
755,000 | GFL Environmental, Inc., USD Term Loan B, 9/23/2023(j) |
753,429 | ||||
|
|
|||||
Gaming 0.1% |
||||||
743,116 | Boyd Gaming Corp., Term Loan B2, 3.527%, 9/15/2023(c) |
748,318 | ||||
|
|
|||||
Independent Energy 0.5% |
||||||
3,385,000 | California Resources Corp., Second Out Term Loan, 11.375%, 12/31/2021(c) |
3,552,151 | ||||
2,649,896 | Chesapeake Energy Corp., Term Loan, 8.500%, 8/23/2021(c) |
2,779,900 | ||||
|
|
|||||
6,332,051 | ||||||
|
|
|||||
Industrial Other 0.4% |
||||||
1,896,100 | Pinnacle Operating Corp., Term Loan, 4.750%, 11/15/2018(c) |
1,725,451 | ||||
2,947,725 | USAGM HoldCo LLC, 2015 Term Loan, 4.750%, 7/28/2022(c) |
2,929,302 | ||||
|
|
|||||
4,654,753 | ||||||
|
|
|||||
Media Entertainment 0.2% |
||||||
1,515,000 | Camelot UK Holdco Ltd., Term Loan B, 9/07/2023(j) |
1,516,136 | ||||
1,275,000 | Donnelley Financial Solutions, Inc., Term Loan B, 9/23/2023(j) |
1,278,188 | ||||
|
|
|||||
2,794,324 | ||||||
|
|
|||||
Midstream 0.2% |
||||||
1,002,817 | Energy Transfer Equity LP, 2015 Term Loan, 4.042%, 12/02/2019(c) |
1,001,092 | ||||
1,598,385 | Energy Transfer Equity LP, New Term Loan, 3.292%, 12/02/2019(c) |
1,584,399 | ||||
|
|
|||||
2,585,491 | ||||||
|
|
|||||
Natural Gas 0.1% |
||||||
957,852 | Southcross Energy Partners LP, 1st Lien Term Loan, 5.250%, 8/04/2021(c) |
774,423 | ||||
|
|
Principal Amount () |
Description |
Value () | ||||
Senior Loans continued |
||||||
Other Utility 0.3% |
||||||
$ 3,137,257 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(c) |
$ | 3,125,493 | |||
|
|
|||||
Pharmaceuticals 0.5% |
||||||
5,430,000 | inVentiv Health, Inc., 2016 Term Loan B, 9/28/2023(j) |
5,441,294 | ||||
|
|
|||||
Property & Casualty Insurance 0.1% |
||||||
1,467,650 | Hyperion Insurance Group Ltd., 2015 Term Loan B, 5.500%, 4/29/2022(c) |
1,433,248 | ||||
|
|
|||||
Retailers 0.3% |
||||||
1,357,027 | Harbor Freight Tools USA, Inc., 2016 Term Loan B, 4.000%, 8/19/2023(c) |
1,363,595 | ||||
1,869,678 | Talbots, Inc. (The), 1st Lien Term Loan, 5.500%, 3/19/2020(c) |
1,822,469 | ||||
|
|
|||||
3,186,064 | ||||||
|
|
|||||
Technology 0.5% |
||||||
2,817,750 | Aptean, Inc., 1st Lien Term Loan, 5.250%, 2/26/2020(c) |
2,814,228 | ||||
860,000 | Cavium, Inc., Term Loan B, 3.750%, 8/16/2022(c) |
868,600 | ||||
285,000 | NXP BV, Term Loan F, 3.405%, 12/07/2020(c) |
285,998 | ||||
2,135,884 | Western Digital Corp., USD 2016 Term Loan B1, 4.500%, 4/29/2023(c) |
2,155,918 | ||||
|
|
|||||
6,124,744 | ||||||
|
|
|||||
Transportation Services 0.3% |
||||||
431,080 | OSG Bulk Ships, Inc., OBS Term Loan, 5.250%, 8/05/2019(c) |
429,464 | ||||
3,000,000 | Uber Technologies, Term Loan B, 5.000%, 7/13/2023(c) |
3,015,000 | ||||
|
|
|||||
3,444,464 | ||||||
|
|
|||||
Wireless 0.2% |
||||||
2,965,000 | Lonestar Intermediate Super Holdings LLC, PIK Term Loan B, 10.000%, 8/31/2021(c) |
2,939,056 | ||||
|
|
|||||
Wirelines 0.3% |
||||||
3,486,900 | Integra Telecom, Inc., 2015 1st Lien Term Loan, 5.250%, 8/14/2020(c) |
3,460,748 | ||||
|
|
|||||
Total Senior Loans (Identified Cost $55,665,288) |
55,765,108 | |||||
|
|
|||||
Loan Participations 0.2% |
||||||
ABS Other 0.2% |
||||||
2,339,531 | Rise Ltd., Series 2014-1, Class A, 4.750%, 2/15/2039 (c)(e)(g)(k) (Identified Cost $2,357,078) |
2,313,211 | ||||
|
|
Shares |
Description |
Value () | ||||
Preferred Stocks 1.0% |
||||||
Convertible Preferred Stocks 0.6% |
||||||
Food & Beverage 0.2% |
||||||
25,620 | Bunge Ltd., 4.875% |
$ | 2,436,644 | |||
|
|
|||||
Pharmaceuticals 0.3% |
||||||
521 | Allergan PLC, Series A, 5.500% |
428,070 | ||||
3,322 | Teva Pharmaceutical Industries Ltd., 7.000% |
2,689,491 | ||||
|
|
|||||
3,117,561 | ||||||
|
|
|||||
Technology 0.1% |
||||||
16,661 | Belden, Inc., 6.750% |
1,673,264 | ||||
|
|
|||||
Total Convertible Preferred Stocks (Identified Cost $7,409,059) |
7,227,469 | |||||
|
|
|||||
Non-Convertible Preferred Stock 0.4% |
||||||
Cable Satellite 0.4% |
||||||
4,040,000 | NBCUniversal Enterprise, Inc., 5.250%, 144A(b) (Identified Cost $4,040,000) |
4,312,700 | ||||
|
|
|||||
Total Preferred Stocks (Identified Cost $11,449,059) |
11,540,169 | |||||
|
|
|||||
Common Stocks 0.6% |
||||||
Energy Equipment & Services 0.1% |
||||||
35,206 | Halliburton Co. | 1,580,045 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 0.3% |
||||||
188,463 | OGX Petroleo e Gas S.A., Sponsored ADR | 126,270 | ||||
356,208 | Whiting Petroleum Corp.(f) | 3,113,258 | ||||
|
|
|||||
3,239,528 | ||||||
|
|
|||||
Pharmaceuticals 0.2% |
||||||
38,880 | Bristol-Myers Squibb Co. | 2,096,410 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $7,717,652) |
6,915,983 | |||||
|
|
|||||
Other Investments 0.7% |
||||||
Aircraft ABS 0.7% |
||||||
900 | ECAF I Blocker Ltd.(d)(e) (Identified Cost $9,000,000) |
8,870,274 | ||||
|
|
|||||
Units
of |
Description |
Value() | ||||
Purchased Options 0.0% |
||||||
Over-the-Counter Options on Currency 0.0% |
||||||
39,990,000 | TWD Put expiring January 17, 2017 at 31.7800(f)(l)(m) (Identified Cost $738,576) |
348,832 | ||||
|
|
Shares () | Description |
Value() | ||||||
|
Purchased Options continued |
|||||||
Index Options 0.0% |
||||||||
300,000 | Nikkei 225, Call expiring October 14, 2016 at 17,500(f)(m) (Identified Cost $644,594) |
52,666 | ||||||
|
|
|||||||
Total Purchased Options (Identified Cost $1,383,170) |
401,498 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 15.7% |
|||||||
22,195,000 | () | Mexican Federal Treasury Certificates, 4.480%, 1/05/2017, (MXN)(b) | 11,297,962 | |||||
$ 153,268 | Repurchase Agreement with State Street Bank and Trust Company, dated 9/30/2016 at 0.000% to be repurchased at $153,268 on 10/03/2016 collateralized by $154,100 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $156,374 including accrued interest(n) | 153,268 | ||||||
139,363,886 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $139,364,234 on 10/03/2016 collateralized by $131,675,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $ 142,044,406; $100,000 U.S. Treasury Note, 3.500% due 5/15/2020 valued at $110,250 including accrued interest(n) | 139,363,886 | ||||||
5,400,000 | U.S. Treasury Bills, 0.381%, 01/12/2017(o)(p) | 5,396,047 | ||||||
30,200,000 | U.S. Treasury Bills, 0.458%, 11/25/2016(o) | 30,192,631 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $186,709,629) |
186,403,794 | |||||||
|
|
|||||||
Total Investments 97.6% (Identified Cost $1,176,968,319)(a) |
1,159,160,341 | |||||||
Other assets less liabilities 2.4% | 28,890,791 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,188,051,132 | ||||||
|
|
|||||||
Shares () | ||||||||
|
Written Options (0.0%) |
|||||||
Index Options (0.0%) |
||||||||
300,000 | Nikkei 225, Call expiring October 14, 2016 at 18,500(m) (Premiums Received $181,658) |
$ | (10,979 | ) | ||||
|
|
|||||||
Options on Securities (0.0%) |
||||||||
17,600 | Halliburton Co., Call expiring November 18, 2016 at 45(m) | $ | (33,088 | ) | ||||
160,300 | Whiting Petroleum Corp., Call expiring October 28, 2016 at 9.5000(m) | (64,120 | ) | |||||
178,100 | Whiting Petroleum Corp., Call expiring November 18, 2016 at 10(m) | (89,050 | ) | |||||
|
|
|||||||
(186,258 | ) | |||||||
|
|
|||||||
Total Written Options (Premiums Received $280,951) |
$ | (197,237 | ) | |||||
|
|
() | 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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 unlisted 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 most recent 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.
Bilateral interest rate swaps are valued based on prices supplied by an independent pricing source.
Domestic exchange-traded single name 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 quotations obtained from broker-dealers.
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.
Illiquid securities for which market quotations are readily available and have been evaluated by the adviser are considered and classified as fair valued securities.
As of September 30, 2016, securities held by the Fund were fair valued as follows:
Securities classified as fair valued |
Percentage of Net Assets |
Securities fair valued by the Funds adviser |
Percentage of Net Assets |
Options contracts1 |
Percentage of Net Assets |
|||||||||||||||
$19,022,519 | 1.6 | % | $ | 18,355,381 | 1.5 | % | $ | 63,645 | Less than 0.1 | % |
1 | Fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the contracts. Amount represents gross absolute value of purchased and written option contracts. |
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. |
() | Amount shown represents units. One unit represents a principal amount of 1,000. |
() | Options on currency are expressed as units of currency. Options on securities and indices are expressed as shares. |
(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, 2016, the net unrealized depreciation on investments based on a cost of $1,177,173,549 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 |
$ | 26,129,469 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(44,142,677 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (18,013,208 | ) | |
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $44,704,672 with no expiration date and a long-term capital loss carryforward of $5,507,048 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(c) | Variable rate security. Rate as of September 30, 2016 is disclosed. |
(d) | Fair valued by the Funds adviser. At September 30, 2016, the value of these securities amounted to $18,355,381 or 1.5% of net assets. |
(e) | Illiquid security. |
(f) | Non-income producing security. |
(g) | Securities classified as fair valued pursuant to the Funds pricing policies and procedures. At September 30, 2016, the value of these securities amounted to $19,022,519 or 1.6% of net assets. |
(h) | 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. |
(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, 2016 and does not take effect until settlement date. Maturity date is not finalized until settlement date. |
(k) | The Fund may invest in loans to corporate, governmental or other borrowers. A 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) a 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) a 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, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. |
(l) | Counterparty is JPMorgan Chase Bank, N.A. |
(m) | 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 are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index 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. OTC options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. |
(n) | 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, 2016, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(o) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(p) | Security (or a portion thereof) has been pledged as collateral for open derivative 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, 2016, the value of Rule 144A holdings amounted to $351,107,136 or 29.6% of net assets. | |
ABS | Asset-Backed Securities | |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
JIBAR | Johannesburg Interbank Agreed Rate | |
LIBOR | London Interbank Offered Rate | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
PRIBOR | Prague Interbank Offered Rate | |
SAFEX | South African Futures Exchange | |
TIIE | Equilibrium Interbank Interest Rate (Tasa de Interes de Equilibrio) | |
BRL | Brazilian Real | |
COP | Colombian Peso | |
CZK | Czech Koruna | |
EUR | Euro | |
GBP | British Pound | |
MXN | Mexican Peso | |
PLN | Polish Zloty | |
TWD | New Taiwan Dollar | |
USD | U.S. Dollar | |
ZAR | South African Rand |
Swap Agreements
The Fund may enter into credit default and interest rate swaps. A credit default swap is an agreement between two parties (the protection buyer and protection seller) to exchange the credit risk of an issuer (reference obligation) for a specified time period. The reference obligation may be one or more debt securities or an index of such securities. The Fund may be either the protection buyer or the protection seller. As a protection buyer, the Fund has the ability to hedge the downside risk of an issuer or group of issuers. As a protection seller, the Fund has the ability to gain exposure to an issuer or group of issuers whose bonds are unavailable or in short supply in the cash bond market, as well as realize additional income in the form of fees paid by the protection buyer. The protection buyer is obligated to pay the protection seller a stream of payments (fees) over the term of the contract, provided that no credit event, such as a default or a downgrade in credit rating, occurs on the reference obligation. The Fund may also pay or receive upfront premiums. If a credit event occurs, the protection seller must pay the protection buyer the difference between the agreed upon notional value and market value of the reference obligation. Market value in this case is determined by a facilitated auction whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the value. The maximum potential amount of undiscounted future payments that a Fund as the protection seller could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement.
An interest rate swap is an agreement with another party to receive or pay interest (e.g., an exchange of fixed rate payments for floating rate payments) to protect themselves from interest rate fluctuations. This type of swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals based upon or calculated by reference to a specified interest rate(s) for a specified notional amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
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 OTC 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, 2016, 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) |
|||||||||||||||||||
Barclays Bank PLC | Markit iTraxx Asia ex-Japan Index Series 25, 5-Year | (1.00 | %) | 6/20/2021 | 4,370,000 | $ | 80,530 | $ | 9,436 | $ | (71,094 | ) | ||||||||||||||
Barclays Bank PLC | Republic of Mexico | (1.00 | %) | 12/20/2021 | 11,700,000 | 386,118 | 373,641 | (12,477 | ) | |||||||||||||||||
Deutsche Bank AG | Republic of China | (1.00 | %) | 6/20/2021 | 5,900,000 | 28,958 | (7,447 | ) | (36,405 | ) | ||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Markit iTraxx Asia ex-Japan Index Series 25, 5-Year | (1.00 | %) | 6/20/2021 | 8,910,000 | 169,949 | 19,239 | (150,710 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
Total | $ | 394,869 | $ | (270,686 | ) | |||||||||||||||||||||
|
|
|
|
At September 30, 2016, 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) |
|||||||||||||||
CDX.HY Series 27, 5-Year | (5.00 | %) | 12/20/2021 | 35,600,000 | $ | (1,563,587 | ) | $ | (141,080 | ) | ||||||||||
CDX.HY Series 27, 5-Year | (5.00 | %) | 12/20/2021 | 12,000,000 | (527,052 | ) | (47,555 | ) | ||||||||||||
CDX.HY Series 27, 5-Year | (5.00 | %) | 12/20/2021 | 35,300,000 | (1,550,412 | ) | (139,892 | ) | ||||||||||||
|
|
|
|
|||||||||||||||||
Total | $ | (3,641,051 | ) | $ | (328,527 | ) | ||||||||||||||
|
|
|
|
At September 30, 2016, the Fund had the following open bilateral interest rate swap agreements:
Counterparty |
Notional Value |
Currency | Expiration Date |
Fund Pays | Fund Receives | Market Value1 | ||||||||||||||
Bank of America, N.A. | 36,000,000 | ZAR | 5/8/2025 | 7.950% | 3-month SAFEX-JIBAR | $ | 12,717 | |||||||||||||
Bank of America, N.A. | 330,558,000 | MXN | 7/3/2026 | 28-day TIIE | 6.130 | % | (328,620 | ) | ||||||||||||
Bank of America, N.A. | 2,874,300,000 | CZK | 8/3/2018 | 6-month PRIBOR | 0.300 | % | (23,887 | ) | ||||||||||||
Bank of America, N.A. | 862,000,000 | CZK | 8/3/2021 | 0.350% | 6-month PRIBOR | 546 | ||||||||||||||
Bank of America, N.A. | 344,900,000 | CZK | 8/4/2018 | 6-month PRIBOR | 0.305 | % | (1,434 | ) | ||||||||||||
Bank of America, N.A. | 143,600,000 | CZK | 8/4/2021 | 0.355% | 6-month PRIBOR | (1,385 | ) | |||||||||||||
Bank of America, N.A. | 1,741,000,000 | CZK | 7/29/2018 | 6-month PRIBOR | 0.320 | % | 11,552 | |||||||||||||
Bank of America, N.A. | 698,000,000 | CZK | 7/29/2021 | 0.370% | 6-month PRIBOR | (28,165 | ) | |||||||||||||
Barclays Bank PLC | 291,000,000 | ZAR | 5/5/2025 | 7.950% | 3-month SAFEX-JIBAR | 101,848 | ||||||||||||||
Deutsche Bank AG | 670,000,000 | CZK | 7/29/2021 | 0.375% | 6-month PRIBOR | (33,832 | ) | |||||||||||||
Deutsche Bank AG | 104,000,000 | MXN | 7/3/2026 | 28-day TIIE | 6.135 | % | (101,410 | ) | ||||||||||||
Deutsche Bank AG | 1,710,000,000 | CZK | 7/29/2018 | 6-month PRIBOR | 0.325 | % | 17,922 | |||||||||||||
JPMorgan Chase Bank, N.A. |
57,120,000 | ZAR | 4/17/2025 | 7.720% | 3-month SAFEX-JIBAR | 78,288 | ||||||||||||||
|
|
|||||||||||||||||||
Total | $ | (295,860 | ) | |||||||||||||||||
|
|
At September 30, 2016, the Fund had the following open centrally cleared interest rate swap agreements:
Notional Value |
Currency | Expiration Date |
Fund Pays | Fund Receives | Market Value1 | |||||||||||
76,950,000 |
GBP | 7/21/2018 | 6-month LIBOR | 0.526 | % | $ | 133,373 | |||||||||
76,950,000 |
GBP | 7/22/2018 | 6-month LIBOR | 0.499 | % | 86,728 | ||||||||||
130,830,000 |
USD | 7/18/2021 | 1.079% | 3-month LIBOR | 634,151 | |||||||||||
19,195,200 |
USD | 7/18/2026 | 1.410% | 3-month LIBOR | 127,658 | |||||||||||
25,650,000 |
GBP | 7/21/2021 | 0.621% | 6-month LIBOR | (206,810 | ) | ||||||||||
25,650,000 |
GBP | 7/22/2021 | 0.594% | 6-month LIBOR | (165,243 | ) | ||||||||||
347,100,000 |
USD | 7/18/2018 | 3-month LIBOR | 0.855 | % | (881,145 | ) | |||||||||
|
|
|||||||||||||||
Total | $ | (271,288 | ) | |||||||||||||
|
|
() | Notional value stated in U.S. dollars unless otherwise noted. |
1 | There are no up front payments on interest rate swap agreements; therefore unrealized appreciation (depreciation) is equal to market value. |
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, 2016, 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) |
|||||||||||||
Sell1 | 10/13/2016 | Brazilian Real | 23,300,000 | $ | 7,145,321 | $ | 3,014 | |||||||||||
Sell2 | 1/05/2017 | Brazilian Real | 37,900,000 | 11,338,997 | (75,996 | ) | ||||||||||||
Sell2 | 10/24/2016 | Canadian Dollar | 31,300,000 | 23,861,515 | (202,447 | ) | ||||||||||||
Sell2 | 10/31/2016 | Canadian Dollar | 39,200,000 | 29,885,596 | (282,034 | ) | ||||||||||||
Sell3 | 10/26/2016 | Colombian Peso | 18,400,000,000 | 6,354,297 | (46,879 | ) | ||||||||||||
Sell1 | 10/06/2016 | Euro | 15,950,000 | 17,919,063 | (120,139 | ) | ||||||||||||
Sell4 | 10/31/2016 | Euro | 1,344,000 | 1,511,676 | (5,254 | ) | ||||||||||||
Sell4 | 11/16/2016 | Euro | 1,050,000 | 1,181,819 | 5,889 | |||||||||||||
Sell4 | 11/16/2016 | Euro | 950,000 | 1,069,265 | (4,315 | ) | ||||||||||||
Buy1 | 10/06/2016 | Hungarian Forint | 4,962,600,000 | 18,099,404 | 270,450 | |||||||||||||
Sell3 | 10/26/2016 | Indonesian Rupiah | 196,800,000,000 | 15,030,215 | (125,641 | ) | ||||||||||||
Buy2 | 10/24/2016 | Mexican Peso | 445,000,000 | 22,896,870 | 381,185 | |||||||||||||
Sell1 | 10/11/2016 | Mexican Peso | 92,400,000 | 4,761,549 | 219,449 | |||||||||||||
Sell2 | 10/31/2016 | Mexican Peso | 11,230,986 | 577,403 | (3,433 | ) | ||||||||||||
Sell2 | 1/09/2017 | Mexican Peso | 219,200,000 | 11,185,056 | 157,862 | |||||||||||||
Sell5 | 10/11/2016 | New Zealand Dollar | 28,200,000 | 20,527,914 | 495,186 | |||||||||||||
Buy2 | 10/31/2016 | Norwegian Krone | 253,000,000 | 31,649,693 | 421,757 | |||||||||||||
Buy2 | 12/30/2016 | Norwegian Krone | 141,000,000 | 17,641,208 | 115,273 | |||||||||||||
Sell4 | 4/28/2017 | Polish Zloty | 45,000,000 | 11,731,426 | (49,941 | ) | ||||||||||||
Sell1 | 10/13/2016 | South Korean Won | 25,000,000,000 | 22,698,225 | 153,694 | |||||||||||||
Buy2 | 10/11/2016 | Swedish Krona | 150,100,000 | 17,503,250 | (373,565 | ) | ||||||||||||
Sell1 | 9/19/2017 | Yuan Renminbi | 235,000,000 | 34,926,279 | (697,163 | ) | ||||||||||||
|
|
|||||||||||||||||
Total | $ | 236,952 | ||||||||||||||||
|
|
1 | Counterparty is Bank of America, N.A. |
2 | Counterparty is Morgan Stanley & Co. |
3 | Counterparty is Credit Suisse International |
4 | Counterparty is Deutsche Bank AG |
5 | Counterparty is Commonwealth Bank of Australia Sydney |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund is reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At September 30, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
CBOE SPX Volatility Index | 12/21/2016 | 381 | $ | 6,648,450 | $ | 46,068 | ||||||||||
Eurodollar | 6/19/2017 | 2,350 | 581,713,125 | (358,540 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (312,472 | ) | |||||||||||||
|
|
|||||||||||||||
At September 30, 2016, open short futures contracts were as follows: |
| |||||||||||||||
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Eurodollar | 12/17/2018 | 2,350 | $ | 580,479,375 | $ | 530,172 | ||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Home Equity |
$ | | $ | 141,738,395 | $ | 4,164,161 | (a) | $ | 145,902,556 | |||||||
ABS Other |
| 38,187,034 | 7,777,415 | (b) | 45,964,449 | |||||||||||
Government OwnedNo Guarantee |
| 20,896,363 | 2,248,450 | (c) | 23,144,813 | |||||||||||
Independent Energy |
| 58,200,731 | | (d) | 58,200,731 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 58,177,315 | 5,481,471 | (c) | 63,658,786 | |||||||||||
All Other Non-Convertible Bonds* |
| 532,226,310 | | 532,226,310 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 849,426,148 | 19,671,497 | 869,097,645 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 17,852,659 | | 17,852,659 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes | | 867,278,807 | 19,671,497 | 886,950,304 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* | | 55,765,108 | | 55,765,108 | ||||||||||||
Loan Participations* | | | 2,313,211 | (c) | 2,313,211 | |||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Pharmaceuticals |
428,070 | 2,689,491 | | 3,117,561 | ||||||||||||
All Other Convertible Preferred Stocks* |
4,109,908 | | | 4,109,908 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
4,537,978 | 2,689,491 | 7,227,469 | |||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks * |
| 4,312,700 | | 4,312,700 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks | 4,537,978 | 7,002,191 | | 11,540,169 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* | 6,915,983 | | | 6,915,983 | ||||||||||||
Other Investments* | | | 8,870,274 | (e) | 8,870,274 | |||||||||||
Purchased Options* | | 401,498 | | 401,498 | ||||||||||||
Short-Term Investments | | 186,403,794 | | 186,403,794 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | 11,453,961 | 1,116,851,398 | 30,854,982 | 1,159,160,341 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Centrally Cleared Interest Rate Swap Agreements (unrealized appreciation) |
| 981,910 | | 981,910 | ||||||||||||
Bilateral Interest Rate Swap Agreements (unrealized appreciation) |
| 222,873 | | 222,873 | ||||||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 2,223,759 | | 2,223,759 | ||||||||||||
Futures Contracts (unrealized appreciation) |
576,240 | | | 576,240 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 12,030,201 | $ | 1,120,279,940 | $ | 30,854,982 | $ | 1,163,165,123 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* | $ | (186,258 | ) | $ | (10,979 | ) | $ | | $ | (197,237 | ) | |||||
Bilateral Credit Default Swap Agreements (unrealized depreciation) |
| (270,686 | ) | | (270,686 | ) | ||||||||||
Centrally Cleared Interest Rate Swap Agreements (unrealized depreciation) |
| (1,253,198 | ) | | (1,253,198 | ) | ||||||||||
Centrally Cleared Credit Default Swap Agreements (unrealized depreciation) |
| (328,527 | ) | | (328,527 | ) | ||||||||||
Bilateral Interest Rate Swap Agreements (unrealized depreciation) |
| (518,733 | ) | | (518,733 | ) | ||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
| (1,986,807 | ) | | (1,986,807 | ) | ||||||||||
Futures Contracts (unrealized depreciation) |
(358,540 | ) | | | (358,540 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (544,798 | ) | $ | (4,368,930 | ) | $ | | $ | (4,913,728 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices ($1,846,749) or fair valued by the Funds adviser ($2,317,412). |
(b) | Valued using broker-dealer bid prices ($609,720), fair valued by the Funds adviser ($5,700,000) or fair valued by the Funds adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund ($1,467,695). |
(c) | Valued using broker-dealer bid prices. |
(d) | Fair valued at zero using Level 3 inputs. |
(e) | Fair valued by the Funds adviser using broker-dealer bid prices for which the inputs are unobservable to the Fund. |
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the adviser, subject to oversight by Fund management and the Board of Trustees. If the adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds adviser pursuant to procedures approved by the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2015 and/or September 30, 2016:
Asset Valuation Inputs
Investments in |
Balance as of December 31, 2015 |
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, 2016 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at September 30, 2016 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Home Equity |
$ | 1,961,377 | $ | | $ | 30,182 | $ | (18,942 | ) | $ | 1,100,000 | $ | (700,544 | ) | $ | 1,792,088 | $ | | $ | 4,164,161 | $ | (19,439 | ) | |||||||||||||||||
ABS Other |
13,438,737 | | 1,363 | (3,003,766 | ) | 50,343 | (410,839 | ) | 814,713 | (3,113,136 | ) | 7,777,415 | (3,063,189 | ) | ||||||||||||||||||||||||||
Government OwnedNo Guarantee |
| | | 318,450 | 1,930,000 | | | | 2,248,450 | 318,450 | ||||||||||||||||||||||||||||||
Independent Energy |
| 227,376 | | (227,376 | ) | | | | | | (a) | (227,376 | ) | |||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
16,593,700 | | (3,250 | ) | (86,042 | ) | | (1,300,000 | ) | | (9,722,937 | ) | 5,481,471 | (91,632 | ) | |||||||||||||||||||||||||
Loan Participations |
2,445,609 | | (981 | ) | (636 | ) | | (130,781 | ) | | | 2,313,211 | (2,924 | ) | ||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Oil, Gas & Consumable Fuels |
| (a) | | | | | | | | | | |||||||||||||||||||||||||||||
Other Investments |
||||||||||||||||||||||||||||||||||||||||
Aircraft ABS |
8,820,000 | | | 50,274 | | | | | 8,870,274 | 50,274 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 43,259,423 | $ | 227,376 | $ | 27,314 | $ | (2,968,038 | ) | $ | 3,080,343 | $ | (2,542,164 | ) | $ | 2,606,801 | $ | (12,836,073 | ) | $ | 30,854,982 | $ | (3,035,836 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(a) | Fair valued at zero. |
Debt securities valued at $925,216 were transferred from Level 2 to Level 3 during the period ended September 30, 2016. At December 31, 2015, 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, 2016, 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.
A debt security valued at $866,872 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At December 31, 2015, this security was 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, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.
Debt securities valued at $12,836,073 were transferred from Level 3 to Level 2 during the period ended September 30, 2016. At December 31, 2015, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities. At September 30, 2016, 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.
A debt security valued at $814,713 was transferred from Level 2 to Level 3 during the period ended September 30, 2016. At December 31, 2015, this security was 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, 2016, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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, 2016, the Fund used futures, forward foreign currency and option contracts, swaptions, interest rate swap agreements 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, interest rate swap agreements 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, 2016, 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, 2016, the Fund engaged in forward foreign currency and option contracts 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, 2016, 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, 2016, the Fund engaged in futures and option contracts for hedging purposes.
The following is a summary of derivative instruments for the Fund, as of September 30, 2016:
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 |
$ | | $ | | $ | | $ | 222,873 | $ | 222,873 | ||||||||||
Foreign exchange contracts |
348,832 | 2,223,759 | | | 2,572,591 | |||||||||||||||
Credit contracts |
| | | 402,316 | 402,316 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter asset derivatives | $ | 348,832 | $ | 2,223,759 | $ | | $ | 625,189 | $ | 3,197,780 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange-traded/cleared asset derivatives |
||||||||||||||||||||
Equity contracts |
$ | 52,666 | $ | | $ | 46,068 | $ | | $ | 98,734 | ||||||||||
Interest rate contracts |
| | 530,172 | 981,910 | 1,512,082 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange-traded/cleared asset derivatives | $ | 52,666 | $ | | $ | 576,240 | $ | 981,910 | $ | 1,610,816 | ||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total asset derivatives | $ | 401,498 | $ | 2,223,759 | $ | 576,240 | $ | 1,607,099 | $ | 4,808,596 | ||||||||||
|
|
|
|
|
|
|
|
|
|
Liabilities |
Options 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 |
||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | (7,447 | ) | $ | (7,447 | ) | ||||||||
Interest rate contracts |
| | | (518,733 | ) | (518,733 | ) | |||||||||||||
Foreign exchange contracts |
| (1,986,807 | ) | | | (1,986,807 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total over-the-counter liability derivatives | $ | | $ | (1,986,807 | ) | $ | | $ | (526,180 | ) | $ | (2,512,987 | ) | |||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Exchange-traded/cleared liability derivatives |
||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | (3,641,051 | ) | $ | (3,641,051 | ) | ||||||||
Interest rate contracts |
| | (358,540 | ) | (1,253,198 | ) | (1,611,738 | ) | ||||||||||||
Equity contracts |
(197,237 | ) | | | | (197,237 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total exchange-traded/cleared liability derivatives |
$ | (197,237 | ) | $ | | $ | (358,540 | ) | $ | (4,894,249 | ) | $ | (5,450,026 | ) | ||||||
|
|
|
|
|
|
|
|
|
|
|||||||||||
Total liability derivatives | $ | (197,237 | ) | $ | (1,986,807 | ) | $ | (358,540 | ) | $ | (5,420,429 | ) | $ | (7,963,013 | ) | |||||
|
|
|
|
|
|
|
|
|
|
1 | Represents purchased options, 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.
OTC 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 NAV of the Fund declines beyond a certain threshold. As of September 30, 2016, the fair value of derivative positions subject to these provisions that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Bank of America, N.A. | $ | (529,371 | ) | $ | | |||
Credit Suisse International | (172,520 | ) | 410,000 | |||||
Deutsche Bank AG | (178,388 | ) | 150,000 |
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The 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 (including OTC derivative counterparties and brokers holding margin for exchange-traded derivatives) 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, 2016:
Maximum Amount of LossGross |
Maximum Amount of LossNet |
|||
$15,242,335 | $ | 13,059,266 |
These amounts include cash and U.S. government and agency securities received as collateral of $1,947,358.
Industry Summary at September 30, 2016 (Unaudited)
ABS Home Equity | 12.3 | % | ||
ABS Credit Card | 8.0 | |||
Midstream | 5.5 | |||
Independent Energy | 5.4 | |||
Non-Agency Commercial Mortgage-Backed Securities | 5.3 | |||
ABS Car Loan | 4.5 | |||
Technology | 4.4 | |||
ABS Other | 4.1 | |||
Banking | 3.3 | |||
Pharmaceuticals | 3.1 | |||
Automotive | 2.2 | |||
Other Investments, less than 2% each | 23.8 | |||
Short-Term Investments | 15.7 | |||
|
|
|||
Total Investments | 97.6 | |||
Other assets less liabilities (including open written options, swap agreements, forward foreign currency contracts and futures contracts) |
2.4 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
McDonnell Intermediate Municipal Bond Fund
Principal Amount |
Description |
Value () | ||||
Bonds and Notes 96.0% of Net Assets |
| |||||
Municipals 96.0% |
| |||||
Arizona 0.8% |
| |||||
$ 800,000 | Scottsdale Municipal Property Corp. Excise Tax Revenue, Water & Sewer Development Project, Prerefunded 07/01/2018@100, Series A, 5.000%, 7/01/2019 |
$ | 857,464 | |||
|
|
|||||
Arkansas 1.4% |
| |||||
750,000 | Arizona Board of Regents, State University System Revenue, Refunding, Series A, 5.000%, 7/01/2024 |
947,985 | ||||
400,000 | Pulaski County Hospital Revenue, Arkansas Childrens Hospital, Refunding, 5.000%, 3/01/2024 |
492,416 | ||||
|
|
|||||
1,440,401 | ||||||
|
|
|||||
California 3.5% |
| |||||
250,000 | Alameda Corridor Transportation Authority Revenue, Senior Lien, Refunding, Series A, 5.000%, 10/01/2024 |
308,410 | ||||
380,000 | Bay Area Water Supply & Conservation Agency Revenue, Series A, 5.000%, 10/01/2024 |
469,349 | ||||
485,000 | California School Finance Authority Revenue, Aspire Public Schools Obligated Group, Refunding, 5.000%, 8/01/2027 |
581,719 | ||||
700,000 | Garden Grove Unified School District, 2010 Election, GO, Series C, 5.000%, 8/01/2035 |
854,742 | ||||
400,000 | Los Angeles Harbor Department Revenue, Refunding, Series A, AMT, 5.000%, 8/01/2036 |
472,504 | ||||
760,000 | San Gorgonio Memorial Health Care District, GO, Refunding, 5.000%, 8/01/2024 |
940,439 | ||||
|
|
|||||
3,627,163 | ||||||
|
|
|||||
Colorado 3.5% |
| |||||
1,000,000 | Adams & Weld Counties School District No. 27J Brighton, GO, (State Aid Withholding), 5.000%, 12/01/2028 |
1,260,310 | ||||
260,000 | Colorado Springs Utilities System Revenue, Series B-2, 5.000%, 11/15/2033 |
318,016 | ||||
400,000 | Colorado State Health Facilities Authority Revenue, Craig Hospital Project, 5.000%, 12/01/2028 |
462,392 | ||||
400,000 | Denver City & County School District No. 1, GO, Series B, (State Aid Withholding), 5.000%, 12/01/2026 |
491,260 | ||||
500,000 | Regional Transportation District Sales Tax Revenue, Fastracks Project, Refunding, Series A, 5.000%, 11/01/2028 |
651,420 | ||||
450,000 | University of Colorado Revenue, Refunding, Series B, 5.000%, 6/01/2019 |
497,174 | ||||
|
|
|||||
3,680,572 | ||||||
|
|
|||||
District of Columbia 0.8% |
| |||||
800,000 | District of Columbia Water & Sewer Authority Public Utility Revenue, Prerefunded 10/01/2018@100, Series A, 5.000%, 10/01/2024 |
864,512 | ||||
|
|
Principal Amount |
Description |
Value () | ||||
Municipals continued |
| |||||
Florida 10.9% |
| |||||
$ 500,000 | Fernandina Beach Utility System Revenue, Refunding, Series A, 5.000%, 9/01/2027 |
$ | 602,730 | |||
1,000,000 | Florida Municipal Power Agency, Refunding, Series A, 5.000%, 10/01/2028 |
1,258,030 | ||||
400,000 | Florida State Board of Governors, University System Improvement Revenue, Refunding, Series A, 5.000%, 7/01/2018 |
428,444 | ||||
1,000,000 | Lee County Transportation Facilities Revenue, Refunding, (AGM insured), 5.000%, 10/01/2022 |
1,208,670 | ||||
750,000 | Miami-Dade County Aviation Revenue, Refunding, Series A, AMT, 5.000%, 10/01/2017 |
779,070 | ||||
1,000,000 | Miami-Dade County Water & Sewer System Revenue, Refunding, 5.000%, 10/01/2023 |
1,232,890 | ||||
1,000,000 | Orange County School Board, COP, Refunding, Series B, 5.000%, 8/01/2027 |
1,276,540 | ||||
400,000 | Orlando & Orange County Expressway Authority Revenue, Refunding, 5.000%, 7/01/2023 |
479,620 | ||||
1,000,000 | Orlando & Orange County Expressway Authority, Refunding, (AGM insured), 5.000%, 7/01/2024 |
1,192,350 | ||||
1,000,000 | Osceola County Sales Tax Revenue, Refunding, Series A, 5.000%, 10/01/2033 |
1,203,720 | ||||
600,000 | Sarasota County Infrastructure Sales Surtax Revenue, Refunding, 5.000%, 10/01/2022 |
726,354 | ||||
400,000 | Sarasota County Utility System Revenue, 5.000%, 10/01/2023 |
498,568 | ||||
400,000 | Volusia County Educational Facility Authority Revenue, Embry-Riddle Aeronautical University, Inc., Series B, 5.000%, 10/15/2025 |
493,300 | ||||
|
|
|||||
11,380,286 | ||||||
|
|
|||||
Georgia 2.6% |
| |||||
500,000 | Municipal Electric Authority of Georgia Revenue, Series B, 5.000%, 1/01/2021 |
578,960 | ||||
1,500,000 | Municipal Electric Authority of Georgia Revenue, Project One Subordinated Bonds, Refunding, Series A, 5.000%, 1/01/2032 |
1,797,360 | ||||
250,000 | Savannah Hospital Authority Revenue, St. Josephs/Candler Health System Obligated Group, Series A, 5.500%, 7/01/2027 |
301,225 | ||||
|
|
|||||
2,677,545 | ||||||
|
|
|||||
Hawaii 3.3% |
| |||||
1,500,000 | Hawaii, Refunding, Series EZ, 5.000%, 10/01/2025 |
1,915,305 | ||||
1,335,000 | Honolulu City & County, Prerefunded 4/01/2019@100, Series A, 5.000%, 4/01/2026 |
1,470,462 | ||||
|
|
|||||
3,385,767 | ||||||
|
|
|||||
Illinois 7.7% |
| |||||
210,000 | Chicago OHare International Airport, General Revenue, Refunding, Series C, AMT, 5.000%, 1/01/2022 |
245,969 | ||||
1,000,000 | Chicago OHare International Airport, Revenue, Series D, 5.000%, 1/01/2026 |
1,227,660 | ||||
2,000,000 | DuPage County Community Unit School District No. 200, GO, Refunding, 4.000%, 11/01/2020 |
2,205,960 | ||||
210,000 | Illinois Finance Authority Revenue, Art Institute of Chicago (The), Refunding, 5.000%, 3/01/2024 |
255,904 |
Principal Amount |
Description |
Value () | ||||
Municipals continued |
| |||||
Illinois continued |
||||||
$ 100,000 | Illinois Finance Authority Revenue, Art Institute of Chicago (The), Refunding, 5.000%, 3/01/2025 |
$ | 123,275 | |||
370,000 | Illinois Finance Authority Revenue, Childrens Memorial Hospital, Series B, 5.500%, 8/15/2028 |
400,047 | ||||
100,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2021 |
116,249 | ||||
500,000 | Illinois Finance Authority Revenue, Loyola University Chicago, Series B, 5.000%, 7/01/2020 |
567,685 | ||||
2,000,000 | Illinois Municipal Electric Agency Power Supply, Prerefunded 2/01/2017@100, Series A, 5.125%, 2/01/2029 |
2,028,080 | ||||
700,000 | Will County Forest Preservation District, GO, Refunding, Series A, 5.000%, 12/15/2020 |
806,617 | ||||
|
|
|||||
7,977,446 | ||||||
|
|
|||||
Indiana 2.1% |
| |||||
405,000 | Greenfield Middle School Building Corp. Revenue, 1st Mortgage, Refunding, 5.000%, 1/15/2020 |
456,545 | ||||
1,035,000 | Hobart Building Corp. Revenue, Refunding, 4.000%, 1/15/2021 |
1,147,701 | ||||
500,000 | Indianapolis Local Public Improvement Bond Bank Revenue, Indianapolis Airport Authority, Refunding, Series A1, AMT, 5.000%, 1/01/2023 |
598,250 | ||||
|
|
|||||
2,202,496 | ||||||
|
|
|||||
Iowa 2.3% |
| |||||
250,000 | City of Carter Lake Local Option Sales Tax Revenue, Prerefunded 06/01/2018@100, 5.500%, 6/01/2038 |
268,983 | ||||
1,110,000 | City of Des Moines Stormwater Utility Revenue, Refunding, Series C, 5.000%, 6/01/2017 |
1,140,481 | ||||
335,000 | Xenia Rural Water District Revenue, Capital Loan Notes, Refunding, 5.000%, 12/01/2022 |
393,350 | ||||
450,000 | Xenia Rural Water District Revenue, Capital Loan Notes, Refunding, 5.000%, 12/01/2023 |
534,955 | ||||
|
|
|||||
2,337,769 | ||||||
|
|
|||||
Kansas 0.8% |
| |||||
720,000 | Sedgwick County Unified School District No. 265 Goddard, GO, Refunding, Series B, 4.000%, 10/01/2022 |
828,518 | ||||
|
|
|||||
Kentucky 1.8% |
| |||||
1,000,000 | Kentucky State Property & Building Commission Revenue, Project No. 112, Refunding, Series B, 5.000%, 11/01/2022 |
1,193,430 | ||||
325,000 | Louisville & Jefferson County Metropolitan Government Health System Revenue, Norton Healthcare, Inc. Obligated Group, Refunding, Series A, 5.000%, 10/01/2020 |
371,459 | ||||
275,000 | Louisville & Jefferson County, Metropolitan Government Revenue, Jewish Hospital St. Marys Healthcare, Prerefunded 02/01/2018@100, 6.125%, 2/01/2037 |
293,953 | ||||
|
|
|||||
1,858,842 | ||||||
|
|
|||||
Massachusetts 0.5% |
| |||||
310,000 | Massachusetts State Development Finance Agency Revenue, Charles Stark Draper Laboratory, Prerefunded 09/01/2018@100, 5.500%, 9/01/2020 |
336,632 |
Principal Amount |
Description |
Value () | ||||
Municipals continued |
| |||||
Massachusetts continued |
||||||
$ 150,000 | Massachusetts State Development Finance Agency Revenue, Massachusetts College of Pharmacy Allied Health Science, Series F, 4.000%, 7/01/2018 |
$ | 157,710 | |||
|
|
|||||
494,342 | ||||||
|
|
|||||
Minnesota 0.5% |
| |||||
250,000 | Minneapolis-St. Paul Metropolitan Airports Commission Revenue, Refunding, 5.000%, 1/01/2017 |
252,480 | ||||
300,000 | Minnesota State Higher Education Facilities Authority Revenue, University of St. Thomas, Series 7-U, 5.000%, 4/01/2017 |
305,913 | ||||
|
|
|||||
558,393 | ||||||
|
|
|||||
Missouri 3.1% |
| |||||
735,000 | Clay County Public School District No. 53, Liberty Public School District, GO, Refunding, 4.000%, 3/01/2024 |
858,840 | ||||
700,000 | Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, 5.000%, 1/01/2024 |
848,729 | ||||
1,250,000 | Missouri Joint Municipal Electric Utility Commission Power Project Revenue, Refunding, Series A, 5.000%, 12/01/2034 |
1,507,038 | ||||
|
|
|||||
3,214,607 | ||||||
|
|
|||||
Nebraska 2.7% |
| |||||
1,000,000 | Metropolitan Utilities District of Omaha Revenue, System Improvements, Refunding, 5.000%, 12/01/2022 |
1,206,350 | ||||
1,000,000 | Nebraska Public Power District Revenue, Prerefunded 1/01/2018@100, Series C, 5.000%, 1/01/2024 |
1,051,410 | ||||
500,000 | Nebraska Public Power District, General Revenue, Refunding, Series A, 5.000%, 1/01/2028 |
590,885 | ||||
|
|
|||||
2,848,645 | ||||||
|
|
|||||
Nevada 0.6% |
| |||||
500,000 | City of Henderson, GO, Various Purpose, Refunding, 5.000%, 6/01/2026 |
621,615 | ||||
|
|
|||||
New Jersey 3.7% |
| |||||
500,000 | New Jersey Economic Development Authority, School Facilities, Prerefunded 09/01/2017@100, Series U, (AGM insured), 5.000%, 9/01/2022 |
518,305 | ||||
265,000 | New Jersey Health Care Facilities Financing Authority Revenue, Refunding, Virtual Health, Inc., 5.000%, 7/01/2023 |
323,282 | ||||
500,000 | New Jersey State Turnpike Authority Revenue, Series A, 5.000%, 1/01/2032 |
604,245 | ||||
1,500,000 | New Jersey State Turnpike Authority Revenue, Series E, 5.000%, 1/01/2032 |
1,809,840 | ||||
500,000 | Rutgers The State University of New Jersey, Refunding, Series J, 5.000%, 5/01/2024 |
615,815 | ||||
|
|
|||||
3,871,487 | ||||||
|
|
Principal Amount |
Description |
Value () | ||||
Municipals continued |
||||||
New Mexico 3.2% |
| |||||
$ 2,500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Prerefunded 08/01/2018@100, Series A, 6.000%, 8/01/2023 |
$ | 2,726,075 | |||
500,000 | New Mexico Hospital Equipment Loan Council Revenue, Presbyterian Healthcare Services Obligated Group, Refunding, 5.000%, 8/01/2031 |
604,115 | ||||
|
|
|||||
3,330,190 | ||||||
|
|
|||||
New York 4.9% |
| |||||
2,000,000 | New York City Transitional Finance Authority Future Tax Secured Revenue, Sub-Fiscal 2016, Series A-1, 5.000%, 8/01/2032 |
2,459,380 | ||||
1,025,000 | New York City, Fiscal 2015, GO, Refunding, Series A, 5.000%, 8/01/2021 |
1,208,004 | ||||
350,000 | New York State Dormitory Authority Revenue, Mental Health Services Facility Improvements, (State Appropriation), 5.000%, 2/15/2017 |
355,362 | ||||
1,000,000 | Port Authority of New York & New Jersey Revenue, 195th Series, Refunding, AMT, 5.000%, 10/01/2019 |
1,111,860 | ||||
|
|
|||||
5,134,606 | ||||||
|
|
|||||
Ohio 4.5% |
| |||||
400,000 | American Municipal Power Revenue, Hydroelectric Projects, Refunding, Series CA, (AGM insured), 5.000%, 2/15/2021 |
446,832 | ||||
250,000 | American Municipal Power, Inc. Revenue, Greenup Hydroelectric Project, Series A, 5.000%, 2/15/2028 |
310,595 | ||||
250,000 | American Municipal Power, Inc. Revenue, Meldahl Hydroelectric Project, Green Bond, Series A, 5.000%, 2/15/2022 |
296,465 | ||||
500,000 | Columbus, GO, Various Purpose, Series A, 5.000%, 8/15/2023 |
623,280 | ||||
500,000 | Hamilton County Hospital Facilities Revenue, UC Health Obligated Group, 5.000%, 2/01/2024 |
606,235 | ||||
500,000 | Ohio State Higher Educational Facility Commission Revenue, University of Dayton, 5.000%, 12/01/2030 |
589,950 | ||||
1,000,000 | Ohio State Hospital Revenue, University Hospitals Health System, Inc. Obligated Group, Refunding, Series A, 5.000%, 1/15/2027 |
1,239,470 | ||||
500,000 | Scioto County Hospital Revenue, Southern Ohio Medical Center Obligated Group, Refunding, 5.000%, 2/15/2030 |
602,815 | ||||
|
|
|||||
4,715,642 | ||||||
|
|
|||||
Pennsylvania 3.0% |
| |||||
335,000 | Delaware County Authority Revenue, Villanova University, 5.000%, 8/01/2019 |
371,796 | ||||
285,000 | Delaware River Joint Toll Bridge Commission Revenue, Refunding, Series A, 4.000%, 7/01/2027 |
315,102 | ||||
2,000,000 | Pennsylvania State University Revenue, Refunding, Series B, 5.000%, 9/01/2023 |
2,476,780 | ||||
|
|
|||||
3,163,678 | ||||||
|
|
|||||
Rhode Island 1.8% |
| |||||
500,000 | Rhode Island Clean Water Finance Agency Pollution Control Agency Revolving Fund-Pooled Loan, Series A, 5.000%, 10/01/2024 |
624,350 |
Principal Amount |
Description |
Value () | ||||
Municipals continued |
| |||||
Rhode Island continued |
||||||
$ 1,000,000 | Rhode Island Turnpike & Bridge Authority Motor Fuel Tax Revenue, Refunding, Series A, 5.000%, 10/01/2033 |
$ | 1,212,840 | |||
|
|
|||||
1,837,190 | ||||||
|
|
|||||
South Dakota 0.5% |
| |||||
465,000 | Sioux Falls Sales Tax Revenue, Series A-1, 4.750%, 11/15/2036 |
482,265 | ||||
|
|
|||||
Tennessee 3.3% |
| |||||
500,000 | Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board Revenue, Vanderbilt University Medical Center Obligated Group, Series A, 5.000%, 7/01/2030 |
612,770 | ||||
2,000,000 | Metropolitan Government of Nashville & Davidson County, GO, Refunding, Prerefunded 01/01/2018@100, 5.000%, 1/01/2024 |
2,100,260 | ||||
615,000 | Metropolitan Nashville Airport Authority (The) Revenue, Series B, AMT, 5.000%, 7/01/2023 |
736,327 | ||||
|
|
|||||
3,449,357 | ||||||
|
|
|||||
Texas 12.1% |
| |||||
500,000 | City of Dallas, GO, Prerefunded 2/15/2018@100, 5.000%, 2/15/2024 |
527,875 | ||||
700,000 | City of Denton, GO, Refunding, 5.000%, 2/15/2024 |
872,340 | ||||
250,000 | Denton Independent School District, GO, Prerefunded 08/15/2017@100, (PSF-GTD), 5.000%, 8/15/2030 |
258,815 | ||||
1,500,000 | Fort Worth Independent School District, GO, School Building, Refunding, (PSF-GTD), 5.000%, 2/15/2021 |
1,747,020 | ||||
1,550,000 | Harris County Cultural Education Facilities Finance Corp., Medical Facilities Revenue, Baylor College of Medicine, Refunding, 5.000%, 11/15/2027 |
1,966,950 | ||||
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 |
566,175 | ||||
1,000,000 | Houston Higher Education Finance Corp. Revenue, Harmony Public School, Refunding, Series A, (PSF-GTD), 5.000%, 2/15/2024 |
1,225,080 | ||||
1,000,000 | Lancaster Independent School District, GO, Refunding, (BAM insured), 5.000%, 2/15/2026 |
1,253,520 | ||||
940,000 | New Caney Independent School District, Refunding, Series A, (PSF-GTD), 5.000%, 2/15/2023 |
1,148,455 | ||||
350,000 | State of Texas Water Financial Assistance, GO, Series B, 5.000%, 8/01/2022 |
415,198 | ||||
1,275,000 | State of Texas, Transportation Commission Mobility Fund, GO, Prerefunded 4/01/2018@100, 5.000%, 4/01/2026 |
1,352,724 | ||||
400,000 | Tarrant County Cultural Education Facilities Finance Corp. Revenue, Methodist Hospitals of Dallas, 5.000%, 10/01/2024 |
487,520 |
Principal Amount |
Description |
Value () | ||||
Municipals continued |
| |||||
Texas continued |
||||||
$ 670,000 | Texas State Technical College System Revenue, Refunding, (AGM Insured), 4.000%, 10/15/2033 |
$ | 741,100 | |||
|
|
|||||
12,562,772 | ||||||
|
|
|||||
Utah 0.3% |
| |||||
250,000 | Utah State Transit Authority Sales Tax Revenue, Refunding, 5.000%, 6/15/2024 |
303,055 | ||||
|
|
|||||
Washington 5.3% |
| |||||
1,140,000 | Grant County Public Utility District No. 2, Refunding, Priest Rapids Hydroelectric Project, Series B, AMT, 5.000%, 1/01/2025 |
1,407,330 | ||||
500,000 | King County Public Hospital District No. 2, GO, Evergreen Healthcare, Series B, 5.000%, 12/01/2032 |
588,465 | ||||
1,500,000 | Pierce County School District No. 10 Tacoma, Refunding, 5.000%, 12/01/2026 |
1,913,640 | ||||
500,000 | Port of Seattle Revenue, AMT, 5.000%, 7/01/2029 |
581,440 | ||||
400,000 | Port of Seattle Special Facility Revenue, Refunding, AMT, SEATAC Fuel Facility LLC, 5.000%, 6/01/2020 |
446,584 | ||||
500,000 | Snohomish County School District No. 15 Edmonds, GO, 5.000%, 12/01/2031 |
606,760 | ||||
|
|
|||||
5,544,219 | ||||||
|
|
|||||
Wisconsin 4.5% |
| |||||
450,000 | Public Finance Authority Hospital Revenue, Renown Regional Medical Center Project Obligated Group, Refunding, Series A, 4.000%, 6/01/2020 |
493,232 | ||||
1,000,000 | Public Finance Authority Lease Development Revenue, Kansas University Development Corp., 5.000%, 3/01/2030 |
1,210,230 | ||||
225,000 | Wisconsin Health & Educational Facilities Authority Revenue, Aspirus, Inc. Obligated Group, Refunding, Series A, 5.000%, 8/15/2031 |
258,410 | ||||
2,150,000 | Wisconsin State Transportation Revenue, Series A, 5.000%, 7/01/2024 |
2,715,772 | ||||
|
|
|||||
4,677,644 | ||||||
|
|
|||||
Total Bonds and Notes (Identified Cost $96,853,087) |
99,928,488 | |||||
|
|
|||||
Short-Term Investments 3.1% |
||||||
3,286,230 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $3,286,238 on 10/03/2016 collateralized by $3,110,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $3,354,913 including accrued interest(b) (Identified Cost $3,286,230) |
3,286,230 | ||||
|
|
|||||
Total Investments 99.1% (Identified Cost $100,139,317)(a) |
103,214,718 | |||||
Other assets less liabilities 0.9% | 924,097 | |||||
|
|
|||||
Net Assets 100.0% | $ | 104,138,815 | ||||
|
|
() | 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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
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, 2016, the net unrealized appreciation on investments based on a cost of $100,139,317 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 3,152,988 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(77,587 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 3,075,401 | ||
|
|
At December 31, 2015, the Fund had a short-term capital loss carryforward of $332,683 with no expiration date and a long-term capital loss carryforward of $44,227 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | 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, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
AGM | Assured Guaranty Municipal Corporation | |
AMT | Alternative Minimum Tax | |
BAM | Build America Mutual | |
COP | Certificate of Participation | |
GO | General Obligation | |
PSF-GTD | Permanent School Fund Guarantee Program |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | | $ | 99,928,488 | $ | | $ | 99,928,488 | ||||||||
Short-Term Investments | | 3,286,230 | | 3,286,230 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | | $ | 103,214,718 | $ | | $ | 103,214,718 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.
Holdings Summary at September 30, 2016 (Unaudited)
General Obligation | 12.9 | % | ||
School District | 12.9 | |||
Higher Education | 12.2 | |||
Transportation | 11.5 | |||
Medical | 11.1 | |||
Power | 9.8 | |||
General | 8.8 | |||
Water | 7.2 | |||
Education | 3.8 | |||
Airport | 3.0 | |||
Utilities | 2.2 | |||
Bond Bank | 0.6 | |||
Short-Term Investments | 3.1 | |||
|
|
|||
Total Investments | 99.1 | |||
Other assets less liabilities | 0.9 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
Natixis Oakmark Fund
Shares |
Description |
Value () | ||||
Common Stocks 96.3% of Net Assets |
||||||
Air Freight & Logistics 2.3% |
| |||||
29,840 | FedEx Corp. | $ | 5,212,451 | |||
|
|
|||||
Automobiles 3.8% |
| |||||
364,300 | Fiat Chrysler Automobiles NV | 2,331,520 | ||||
117,800 | General Motors Co. | 3,742,506 | ||||
45,800 | Harley-Davidson, Inc. | 2,408,622 | ||||
|
|
|||||
8,482,648 | ||||||
|
|
|||||
Banks 11.3% |
| |||||
534,400 | Bank of America Corp. | 8,363,360 | ||||
149,100 | Citigroup, Inc. | 7,041,993 | ||||
98,200 | JPMorgan Chase & Co. | 6,539,138 | ||||
79,500 | Wells Fargo & Co. | 3,520,260 | ||||
|
|
|||||
25,464,751 | ||||||
|
|
|||||
Beverages 1.5% |
| |||||
29,700 | Diageo PLC, Sponsored ADR | 3,446,388 | ||||
|
|
|||||
Capital Markets 6.6% |
||||||
93,900 | Bank of New York Mellon Corp. (The) | 3,744,732 | ||||
26,110 | Goldman Sachs Group, Inc. (The) | 4,210,760 | ||||
71,100 | State Street Corp. | 4,950,693 | ||||
30,100 | T. Rowe Price Group, Inc. | 2,001,650 | ||||
|
|
|||||
14,907,835 | ||||||
|
|
|||||
Consumer Finance 4.2% |
| |||||
233,100 | Ally Financial, Inc. | 4,538,457 | ||||
70,000 | Capital One Financial Corp. | 5,028,100 | ||||
|
|
|||||
9,566,557 | ||||||
|
|
|||||
Electronic Equipment, Instruments & Components 2.1% | ||||||
73,500 | TE Connectivity Ltd. | 4,731,930 | ||||
|
|
|||||
Energy Equipment & Services 2.0% |
||||||
54,100 | Halliburton Co. | 2,428,008 | ||||
55,500 | National Oilwell Varco, Inc. | 2,039,070 | ||||
|
|
|||||
4,467,078 | ||||||
|
|
|||||
Food Products 0.8% |
||||||
23,190 | Nestle S.A., Sponsored ADR | 1,832,474 | ||||
|
|
|||||
Health Care Equipment & Supplies 0.7% |
||||||
18,580 | Medtronic PLC | 1,605,312 | ||||
|
|
|||||
Health Care Providers & Services 2.0% |
||||||
32,650 | UnitedHealth Group, Inc. | 4,571,000 | ||||
|
|
|||||
Hotels, Restaurants & Leisure 1.1% |
||||||
95,900 | MGM Resorts International(b) | 2,496,277 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Household Durables 1.9% | ||||||
26,500 | Whirlpool Corp. | $ | 4,297,240 | |||
|
|
|||||
Industrial Conglomerates 2.8% | ||||||
214,800 | General Electric Co. | 6,362,376 | ||||
|
|
|||||
Insurance 9.3% | ||||||
73,800 | Aflac, Inc. | 5,304,006 | ||||
106,700 | American International Group, Inc. | 6,331,578 | ||||
44,850 | Aon PLC | 5,045,176 | ||||
84,000 | Principal Financial Group, Inc. | 4,326,840 | ||||
|
|
|||||
21,007,600 | ||||||
|
|
|||||
Internet & Direct Marketing Retail 1.5% |
| |||||
172,300 | Liberty Interactive Corp./QVC Group, Class A(b) | 3,447,723 | ||||
|
|
|||||
Internet Software & Services 3.6% |
| |||||
9,970 | Alphabet, Inc., Class A(b) | 8,016,478 | ||||
|
|
|||||
IT Services 7.2% |
| |||||
50,300 | Automatic Data Processing, Inc. | 4,436,460 | ||||
61,300 | MasterCard, Inc., Class A | 6,238,501 | ||||
68,720 | Visa, Inc., Class A | 5,683,144 | ||||
|
|
|||||
16,358,105 | ||||||
|
|
|||||
Machinery 6.7% |
| |||||
60,600 | Caterpillar, Inc. | 5,379,462 | ||||
41,500 | Cummins, Inc. | 5,318,225 | ||||
36,200 | Parker Hannifin Corp. | 4,544,186 | ||||
|
|
|||||
15,241,873 | ||||||
|
|
|||||
Media 2.9% |
| |||||
43,700 | Comcast Corp., Class A | 2,899,058 | ||||
262,800 | News Corp., Class A | 3,673,944 | ||||
|
|
|||||
6,573,002 | ||||||
|
|
|||||
Oil, Gas & Consumable Fuels 5.4% |
| |||||
76,000 | Anadarko Petroleum Corp. | 4,815,360 | ||||
115,400 | Apache Corp. | 7,370,598 | ||||
|
|
|||||
12,185,958 | ||||||
|
|
|||||
Personal Products 0.8% |
| |||||
38,700 | Unilever PLC, Sponsored ADR | 1,834,380 | ||||
|
|
|||||
Pharmaceuticals 1.4% |
| |||||
83,800 | Sanofi, Sponsored ADR | 3,200,322 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 7.7% |
| |||||
26,500 | Applied Materials, Inc. | 798,975 | ||||
157,800 | Intel Corp. | 5,956,950 | ||||
72,700 | QUALCOMM, Inc. | 4,979,950 | ||||
79,700 | Texas Instruments, Inc. | 5,593,346 | ||||
|
|
|||||
17,329,221 | ||||||
|
|
|||||
Software 4.3% |
| |||||
78,300 | Microsoft Corp. | 4,510,080 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Software continued |
| |||||
132,000 | Oracle Corp. | $ | 5,184,960 | |||
|
|
|||||
9,695,040 | ||||||
|
|
|||||
Technology Hardware, Storage & Peripherals 2.4% |
| |||||
48,350 | Apple, Inc. | 5,465,968 | ||||
|
|
|||||
Total Common Stocks (Identified Cost $189,969,570) |
217,799,987 | |||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 4.0% |
||||||
$ 9,002,661 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $9,002,684 on 10/03/2016 collateralized by $8,515,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $9,185,556 including accrued interest(c) (Identified Cost $9,002,661) |
9,002,661 | ||||
|
|
|||||
Total Investments 100.3% (Identified Cost $198,972,231)(a) |
226,802,648 | |||||
Other assets less liabilities (0.3)% | (695,491 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 226,107,157 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
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, 2016, the net unrealized appreciation on investments based on a cost of $198,972,231 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 34,518,278 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(6,687,861 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 27,830,417 | ||
|
|
(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, 2016, the Fund had an investment in a repurchase agreement 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 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 217,799,987 | $ | | $ | | $ | 217,799,987 | ||||||||
Short-Term Investments | | 9,002,661 | | 9,002,661 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 217,799,987 | $ | 9,002,661 | $ | | $ | 226,802,648 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2016 (Unaudited)
Banks | 11.3 | % | ||
Insurance | 9.3 | |||
Semiconductors & Semiconductor Equipment | 7.7 | |||
IT Services | 7.2 | |||
Machinery | 6.7 | |||
Capital Markets | 6.6 | |||
Oil, Gas & Consumable Fuels | 5.4 | |||
Software | 4.3 | |||
Consumer Finance | 4.2 | |||
Automobiles | 3.8 | |||
Internet Software & Services | 3.6 | |||
Media | 2.9 | |||
Industrial Conglomerates | 2.8 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Air Freight & Logistics | 2.3 | |||
Electronic Equipment, Instruments & Components | 2.1 | |||
Health Care Providers & Services | 2.0 | |||
Energy Equipment & Services | 2.0 | |||
Other Investments, less than 2% each | 9.7 | |||
Short-Term Investments | 4.0 | |||
|
|
|||
Total Investments | 100.3 | |||
Other assets less liabilities | (0.3 | ) | ||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
SeeyondSM Multi-Asset Allocation Fund
Principal Amount () |
Description |
Value () | ||||
Bonds and Notes 14.1% of Net Assets |
| |||||
France 2.8% |
||||||
900,000 | France Government Bond OAT, 3.500%, 4/25/2020, (EUR)(b) |
$ | 1,158,528 | |||
|
|
|||||
Germany 3.0% |
||||||
390,000 | Bundesrepublik Deutschland, 1.500%, 2/15/2023, (EUR)(b) |
495,124 | ||||
600,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR)(b) |
761,989 | ||||
|
|
|||||
1,257,113 | ||||||
|
|
|||||
United Kingdom 0.7% |
||||||
200,000 | United Kingdom Gilt, 2.250%, 9/07/2023, (GBP)(b) |
291,499 | ||||
|
|
|||||
United States 7.6% |
||||||
3,038,490 | U.S. Treasury Inflation Indexed Note, 0.625%, 1/15/2026(c) |
3,195,610 | ||||
|
|
|||||
Total Bonds and Notes (Identified Cost $6,211,431) |
5,902,750 | |||||
|
|
|||||
Shares |
||||||
Exchange-Traded Funds 4.8% |
| |||||
United States 4.8% |
||||||
2,910 | iShares® MSCI China ETF(d) | 141,135 | ||||
13,710 | iShares® MSCI Emerging Markets ETF(b)(d) | 513,440 | ||||
2,500 | iShares® MSCI India ETF(d) | 73,525 | ||||
4,025 | iShares® MSCI South Korea Capped ETF(b)(d) | 233,973 | ||||
25,600 | iShares® MSCI Switzerland Capped ETF(b)(d) | 782,080 | ||||
13,030 | iShares® MSCI Taiwan ETF(b)(d) | 204,571 | ||||
700 | iShares® MSCI Thailand Capped ETF(b)(d) | 51,457 | ||||
|
|
|||||
Total Exchange-Traded Funds (Identified Cost $2,083,423) |
2,000,181 | |||||
|
|
|||||
Contracts |
||||||
Purchased Options 1.1% |
| |||||
Index Options 0.9% |
||||||
332 | EURO STOXX 50®,Call expiring December 16, 2016 at 3100(e)(f) | 219,713 | ||||
133 | EURO STOXX 50®,Call expiring December 16, 2016 at 3150(e)(f) | 59,799 | ||||
556 | EURO STOXX 50®,Put expiring December 16, 2016 at 2500(e)(f) | 86,612 | ||||
|
|
|||||
366,124 | ||||||
|
|
|||||
Options on Futures Contracts 0.2% |
||||||
68 | E-mini S&P 500® expiring December 16, 2016 at 2200(e)(f) | 100,300 | ||||
|
|
|||||
Total Purchased Options (Identified Cost $1,203,101) |
466,424 | |||||
|
|
Principal Amount () |
Description |
Value () | ||||
Short-Term Investments 52.9% |
| |||||
$ 6,970,000 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $6,970,017 on 10/03/2016 collateralized by $5,695,000 U.S. Treasury Bond, 3.375% due 5/15/2044 valued at $7,111,631 including accrued interest(b)(g) | $ | 6,970,000 | |||
6,635,483 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $6,635,500 on 10/03/2016 collateralized by $6,275,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $6,769,156 including accrued interest(g) | 6,635,483 | ||||
8,500,000 | U.S. Treasury Bills, 0.340%, 12/08/2016(h)(i) | 8,497,161 | ||||
|
|
|||||
Total Short-Term Investments (Identified Cost $22,100,032) |
22,102,644 | |||||
|
|
|||||
Total Investments 72.9% (Identified Cost $31,597,987)(a) |
30,471,999 | |||||
Other assets less liabilities 27.1% | 11,314,935 | |||||
|
|
|||||
Net Assets 100.0% | $ | 41,786,934 | ||||
|
|
|||||
Contracts |
||||||
Written Options (1.8%) |
| |||||
Index Options (1.8%) |
||||||
112 | EURO STOXX 50®, Call expiring December 15, 2017 at 3100(f) | $ | (211,896 | ) | ||
34 | EURO STOXX 50®, Put expiring December 16, 2016 at 3100(f) | (61,624 | ) | |||
112 | EURO STOXX 50®, Put expiring December 15, 2017 at 3100(f) | (482,770 | ) | |||
|
|
|||||
(Premiums Received $932,030) | $ | (756,290 | ) | |||
|
|
() | 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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 unlisted 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.
Futures contracts are valued at the most recent settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Option contracts on domestic indices are valued at the average of the closing bid and ask quotations as of the close of trading on the Chicago Board Options Exchange (CBOE).
Option contracts on foreign indices are priced at the most recent settlement price.
Options on futures contracts are valued using the current settlement price on the exchange on which, 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.
As of September 30, 2016, option and futures contracts of the Fund were fair valued, as follows:
Option contracts1 |
Percentage of Net Assets |
Futures contracts2 | Percentage of Net Assets | |||
$1,122,414 | 2.7% | $46,580 | 0.1% |
1 | Certain foreign options contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those contracts. Amount shown represents market value of open contracts (purchased and written), at absolute value. |
2 | Certain foreign index futures contracts were fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of those contracts. Amount shown represents gross unrealized appreciation/(depreciation) of open contracts, at absolute value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments 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, 2016, the net unrealized depreciation on investments based on a cost of $31,708,544 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 |
$ | 133,307 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,369,852 | ) | ||
|
|
|||
Net unrealized depreciation | $ | (1,236,545 | ) | |
|
|
At December 31, 2015, late- year ordinary and post-October capital loss deferrals were $1,081,274. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Security (or a portion thereof) has been designated to cover the Funds obligations under open derivative contracts. |
(c) | Treasury Inflation Protected Security (TIPS). |
(d) | 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. |
(e) | Non-income producing security. |
(f) | 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 are added to the cost or deducted from the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing sale transaction, the difference between the premium paid and the proceeds of the closing sale transaction is treated as a realized gain or loss. The risk associated with purchasing options is limited to the premium paid. When the Fund writes an option, an amount equal to the net premium received (the premium less commission) is recorded as a liability and is subsequently adjusted to the current value. Net premiums received for written options which expire are treated as realized gains. Net premiums received for written options which are exercised are deducted from the cost or added to the proceeds on the underlying instrument to determine the realized gain or loss. If the Fund enters into a closing purchase transaction, the difference between the net premium received and any amount paid on effecting a closing purchase transaction, including commissions, is treated as a realized gain or, if the net premium received is less than the amount paid, as a realized loss. The Fund, as writer of a written option, bears the risk of an unfavorable change in the market value of the instrument or index underlying the written option. Exchange-traded options contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced. Over-the-counter options are subject to the risk that the counterparty is unable or unwilling to meet its obligations under the option. |
(g) | 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, 2016, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(h) | Security (or a portion thereof) has been pledged as collateral for open derivative contracts. |
(i) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
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 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 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, 2016, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||
10 Year Australia Government Bond | 12/15/2016 | 6 | $ | 629,192 | $ | 7,845 | ||||||||
10 Year U.S. Treasury Note | 12/20/2016 | 13 | 1,704,625 | 2,281 | ||||||||||
ASX SPI 200 | 12/15/2016 | 6 | 625,859 | 4,969 | ||||||||||
British Pound | 12/19/2016 | 23 | 1,868,319 | (37,950 | ) | |||||||||
CBOE SPX Volatility Index | 10/19/2016 | 40 | 631,000 | (45,230 | ) | |||||||||
E-mini NASDAQ 100 | 12/16/2016 | 3 | 292,215 | 8,733 | ||||||||||
E-mini S&P 500® | 12/16/2016 | 70 | 7,561,750 | 87,307 | ||||||||||
Euro | 12/19/2016 | 9 | 1,268,663 | (2,925 | ) | |||||||||
Euro-BTP | 12/08/2016 | 5 | 803,700 | (5,561 | ) | |||||||||
Euro-Buxl® 30 Year Bond | 12/08/2016 | 1 | 215,885 | 1,707 | ||||||||||
FTSE 100 Index | 12/16/2016 | 5 | 444,618 | 13,908 | ||||||||||
German Euro Bund | 12/08/2016 | 9 | 1,675,251 | 2,730 | ||||||||||
Japanese Yen | 12/19/2016 | 14 | 1,730,838 | 11,025 | ||||||||||
Nikkei 225 | 12/08/2016 | 13 | 1,078,675 | (32,500 | ) | |||||||||
S&P/TSX 60 Index | 12/15/2016 | 4 | 521,483 | 7,476 | ||||||||||
Ultra Long U.S. Treasury Bond | 12/20/2016 | 6 | 1,103,250 | (11,109 | ) | |||||||||
|
|
|||||||||||||
Total | $ | 12,706 | ||||||||||||
|
|
At September 30, 2016, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
Canadian Dollar | 12/20/2016 | 22 | $ | 1,678,270 | $ | (5,170 | ) | |||||||||
Australian Dollar | 12/19/2016 | 33 | 2,524,170 | (49,995 | ) | |||||||||||
Swiss Franc | 12/19/2016 | 6 | 776,250 | (487 | ) | |||||||||||
EURO STOXX 50® | 12/16/2016 | 122 | 4,108,056 | (27,703 | ) | |||||||||||
|
|
|||||||||||||||
Total | $ | (83,355 | ) | |||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* | $ | | $ | 5,902,750 | $ | | $ | 5,902,750 | ||||||||
Exchange-Traded Funds* | 2,000,181 | | | 2,000,181 | ||||||||||||
Purchased Options * | 100,300 | 366,124 | | 466,424 | ||||||||||||
Short-Term Investments | | 22,102,644 | | 22,102,644 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments | $ | 2,100,481 | $ | 28,371,518 | $ | | $ | 30,471,999 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) | 129,104 | 18,877 | | 147,981 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 2,229,585 | $ | 28,390,395 | $ | | $ | 30,619,980 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options* | $ | | $ | (756,290 | ) | $ | | $ | (756,290 | ) | ||||||
Futures Contracts (unrealized depreciation) | (190,927 | ) | (27,703 | ) | | (218,630 | ) | |||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | (190,927 | ) | $ | (783,993 | ) | $ | | $ | (974,920 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2016, 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 an underlying asset, reference rate or index. Derivative instruments that the Fund used during the period include futures contracts and option 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, equity index options, options on futures 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, options on futures and fixed income ETFs. The Funds currency exposure typically will be obtained through investments in non-dollar denominated investments and futures contracts. The Funds exposure to volatility assets will result from both long and short positions in futures and options, such as futures contracts based on the Chicago Board Options Exchange Volatility Index (the VIX), listed equity index options, options on futures and equity index futures. During the period ended September 30, 2016, the Fund used futures, equity index options and options on futures contracts to gain investment exposure in accordance with its objective.
The following is a summary of derivative instruments for the Fund, as of September 30, 2016:
Assets |
Investments at value1 |
Unrealized appreciation on futures contracts |
Total | |||||||||
Exchange traded/cleared asset derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | 14,563 | $ | 14,563 | ||||||
Foreign exchange contracts |
| 11,025 | 11,025 | |||||||||
Equity contracts |
466,424 | 122,393 | 588,817 | |||||||||
|
|
|
|
|
|
|||||||
Total asset derivatives | $ | 466,424 | $ | 147,981 | $ | 614,405 | ||||||
|
|
|
|
|
|
Liabilities |
Options written at value |
Unrealized depreciation on futures contracts |
Total | |||||||||
Exchange traded/cleared liability derivatives |
||||||||||||
Interest rate contracts |
$ | | $ | (16,670 | ) | $ | (16,670 | ) | ||||
Foreign exchange contracts |
| (96,527 | ) | (96,527 | ) | |||||||
Equity contracts |
(756,290 | ) | (105,433 | ) | (861,723 | ) | ||||||
|
|
|
|
|
|
|||||||
Total liability derivatives | $ | (756,290 | ) | $ | (218,630 | ) | $ | (974,920 | ) | |||
|
|
|
|
|
|
1 | Represents purchased options, 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.
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 (including brokers holding margin for exchange-traded derivatives) 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 as of September 30, 2016:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||
$147,981 | $ | 147,981 |
Industry Summary at September 30, 2016 (Unaudited)
Treasuries | 14.1 | % | ||
Exchange-Traded Funds | 4.8 | |||
Purchased Options | 1.1 | |||
Short-Term Investments | 52.9 | |||
|
|
|||
Total Investments | 72.9 | |||
Other assets less liabilities (including open written options and futures contracts) |
27.1 | |||
|
|
|||
Net Assets | 100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of September 30, 2016 (Unaudited)
Vaughan Nelson Value Opportunity Fund
Shares |
Description |
Value () | ||||
Common Stocks 96.3% of Net Assets |
| |||||
Banks 5.2% | ||||||
539,775 | Chemical Financial Corp. | $ | 23,820,271 | |||
1,941,800 | Investors Bancorp, Inc. | 23,321,018 | ||||
480,900 | PacWest Bancorp | 20,635,419 | ||||
|
|
|||||
67,776,708 | ||||||
|
|
|||||
Building Products 1.8% | ||||||
618,300 | Caesarstone Ltd.(b) | 23,316,093 | ||||
|
|
|||||
Capital Markets 2.8% | ||||||
364,525 | Nasdaq, Inc. | 24,620,018 | ||||
257,975 | SEI Investments Co. | 11,766,240 | ||||
|
|
|||||
36,386,258 | ||||||
|
|
|||||
Commercial Services & Supplies 1.4% | ||||||
405,175 | KAR Auction Services, Inc. | 17,487,353 | ||||
|
|
|||||
Communications Equipment 0.8% | ||||||
340,700 | CommScope Holding Co., Inc.(b) | 10,258,477 | ||||
|
|
|||||
Consumer Finance 1.9% | ||||||
897,300 | Synchrony Financial | 25,124,400 | ||||
|
|
|||||
Containers & Packaging 6.7% | ||||||
243,950 | Avery Dennison Corp. | 18,976,871 | ||||
577,625 | Crown Holdings, Inc.(b) | 32,976,611 | ||||
279,000 | Packaging Corp. of America | 22,671,540 | ||||
253,775 | WestRock Co. | 12,303,012 | ||||
|
|
|||||
86,928,034 | ||||||
|
|
|||||
Diversified Consumer Services 5.2% | ||||||
790,725 | Grand Canyon Education, Inc.(b) | 31,937,383 | ||||
890,275 | H&R Block, Inc. | 20,609,866 | ||||
426,200 | ServiceMaster Global Holdings, Inc.(b) | 14,354,416 | ||||
|
|
|||||
66,901,665 | ||||||
|
|
|||||
Health Care Providers & Services 9.9% | ||||||
312,650 | Amsurg Corp.(b) | 20,963,182 | ||||
295,825 | Centene Corp.(b) | 19,808,442 | ||||
433,225 | Community Health Systems, Inc.(b) | 4,999,417 | ||||
419,200 | HCA Holdings, Inc.(b) | 31,704,096 | ||||
419,200 | MEDNAX, Inc.(b) | 27,772,000 | ||||
684,175 | Premier, Inc., Class A(b) | 22,126,219 | ||||
|
|
|||||
127,373,356 | ||||||
|
|
|||||
Health Care Technology 2.0% | ||||||
807,125 | IMS Health Holdings, Inc.(b) | 25,295,297 | ||||
|
|
|||||
Hotels, Restaurants & Leisure 1.1% |
||||||
360,325 | Aramark | 13,703,160 | ||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Household Durables 4.4% |
||||||
457,050 | Lennar Corp., Class A | $ | 19,351,497 | |||
701,460 | Newell Brands, Inc. | 36,938,884 | ||||
|
|
|||||
56,290,381 | ||||||
|
|
|||||
Household Products 2.0% |
||||||
192,075 | Spectrum Brands Holdings, Inc. | 26,446,807 | ||||
|
|
|||||
Insurance 8.6% |
||||||
701,000 | Arthur J. Gallagher & Co. | 35,659,870 | ||||
663,150 | First American Financial Corp. | 26,048,532 | ||||
405,175 | Hartford Financial Services Group, Inc. (The) | 17,349,594 | ||||
291,625 | Reinsurance Group of America, Inc., Class A | 31,478,002 | ||||
|
|
|||||
110,535,998 | ||||||
|
|
|||||
Internet & Direct Marketing Retail 0.4% |
||||||
143,000 | HSN, Inc. | 5,691,400 | ||||
|
|
|||||
IT Services 12.2% |
||||||
103,750 | Alliance Data Systems Corp.(b) | 22,257,487 | ||||
190,675 | Broadridge Financial Solutions, Inc. | 12,925,858 | ||||
189,275 | CACI International, Inc., Class A(b) | 19,097,848 | ||||
473,875 | Fidelity National Information Services, Inc. | 36,502,591 | ||||
1,382,375 | First Data Corp., Class A(b) | 18,192,055 | ||||
137,400 | Fiserv, Inc.(b) | 13,667,178 | ||||
257,975 | Global Payments, Inc. | 19,802,161 | ||||
560,800 | Sabre Corp. | 15,803,344 | ||||
|
|
|||||
158,248,522 | ||||||
|
|
|||||
Life Sciences Tools & Services 2.4% |
||||||
1,093,575 | VWR Corp.(b) | 31,013,787 | ||||
|
|
|||||
Machinery 2.3% |
||||||
911,675 | Milacron Holdings Corp.(b) | 14,550,333 | ||||
99,550 | Snap-on, Inc. | 15,127,618 | ||||
|
|
|||||
29,677,951 | ||||||
|
|
|||||
Metals & Mining 3.0% |
||||||
182,250 | Carpenter Technology Corp. | 7,519,635 | ||||
2,593,725 | Constellium NV, Class A(b) | 18,674,820 | ||||
175,250 | Reliance Steel & Aluminum Co. | 12,623,257 | ||||
|
|
|||||
38,817,712 | ||||||
|
|
|||||
Oil, Gas & Consumable Fuels 6.2% |
||||||
542,575 | Continental Resources, Inc.(b) | 28,192,197 | ||||
257,975 | Gulfport Energy Corp.(b) | 7,287,794 | ||||
1,306,675 | QEP Resources, Inc. | 25,519,362 | ||||
1,466,500 | WPX Energy, Inc.(b) | 19,343,135 | ||||
|
|
|||||
80,342,488 | ||||||
|
|
|||||
Pharmaceuticals 3.1% |
||||||
977,200 | Catalent, Inc.(b) | 25,250,848 | ||||
708,025 | Endo International PLC(b) | 14,266,704 | ||||
|
|
|||||
39,517,552 | ||||||
|
|
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
REITsDiversified 2.9% |
| |||||
2,746,550 | New Residential Investment Corp. | $ | 37,929,855 | |||
|
|
|||||
Road & Rail 0.7% |
| |||||
217,885 | Hertz Global Holdings, Inc.(b) | 8,750,262 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 1.2% |
| |||||
862,250 | Micron Technology, Inc.(b) | 15,330,805 | ||||
|
|
|||||
Software 2.4% |
| |||||
248,150 | Check Point Software Technologies Ltd.(b) | 19,258,921 | ||||
504,725 | RingCentral, Inc., Class A(b) | 11,941,794 | ||||
|
|
|||||
31,200,715 | ||||||
|
|
|||||
Specialty Retail 0.9% |
| |||||
82,725 | Signet Jewelers Ltd. | 6,165,494 | ||||
364,525 | Tailored Brands, Inc. | 5,723,043 | ||||
|
|
|||||
11,888,537 | ||||||
|
|
|||||
Technology Hardware, Storage & Peripherals 1.1% |
| |||||
433,225 | NCR Corp.(b) | 13,945,513 | ||||
|
|
|||||
Textiles, Apparel & Luxury Goods 1.8% |
| |||||
454,250 | Gildan Activewear, Inc. | 12,696,288 | ||||
99,550 | PVH Corp. | 11,000,275 | ||||
|
|
|||||
23,696,563 | ||||||
|
|
|||||
Trading Companies & Distributors 1.9% |
| |||||
440,225 | HD Supply Holdings, Inc.(b) | 14,078,395 | ||||
71,670 | Herc Holdings, Inc.(b) | 2,415,279 | ||||
103,750 | United Rentals, Inc.(b) | 8,143,338 | ||||
|
|
|||||
24,637,012 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $1,197,354,535) |
1,244,512,661 | |||||
|
|
|||||
Closed-End Investment Companies 2.7% |
||||||
2,223,600 | Ares Capital Corp. (Identified Cost $35,065,888) |
34,465,800 | ||||
|
|
|||||
Principal Amount |
||||||
Short-Term Investments 0.8% |
||||||
$ 10,510,428 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/2016 at 0.030% to be repurchased at $10,510,454 on 10/03/2016 collateralized by $9,940,000 U.S. Treasury Note, 2.500% due 8/15/2023 valued at $10,722,775 including accrued interest(c) (Identified Cost $10,510,428) |
10,510,428 | ||||
|
|
|||||
Total Investments 99.8% (Identified Cost $1,242,930,851)(a) |
1,289,488,889 | |||||
Other assets less liabilities 0.2% | 2,958,984 | |||||
|
|
|||||
Net Assets 100.0% | $ | 1,292,447,873 | ||||
|
|
() | 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: |
Listed equity securities (including shares of closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are 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. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
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 and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
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, 2016, the net unrealized appreciation on investments based on a cost of $1,242,930,851 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 |
$ | 112,494,333 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(65,936,295 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 46,558,038 | ||
|
|
(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, 2016, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of September 30, 2016, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* | $ | 1,244,512,661 | $ | | $ | | $ | 1,244,512,661 | ||||||||
Closed-End Investment Companies | 34,465,800 | | | 34,465,800 | ||||||||||||
Short-Term Investments | | 10,510,428 | | 10,510,428 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total | $ | 1,278,978,461 | $ | 10,510,428 | $ | | $ | 1,289,488,889 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended September 30, 2016, there were no transfers among Levels 1, 2 and 3.
Industry Summary at September 30, 2016 (Unaudited)
IT Services |
12.2 | % | ||
Health Care Providers & Services | 9.9 | |||
Insurance | 8.6 | |||
Containers & Packaging | 6.7 | |||
Oil, Gas & Consumable Fuels | 6.2 | |||
Capital Markets | 5.5 | |||
Banks | 5.2 | |||
Diversified Consumer Services | 5.2 | |||
Household Durables | 4.4 | |||
Pharmaceuticals | 3.1 | |||
Metals & Mining | 3.0 | |||
REITs - Diversified | 2.9 | |||
Closed-End Investment Companies | 2.7 | |||
Software | 2.4 | |||
Life Sciences Tools & Services | 2.4 | |||
Machinery | 2.3 | |||
Household Products | 2.0 | |||
Health Care Technology | 2.0 | |||
Other Investments, less than 2% each | 12.3 | |||
Short-Term Investments | 0.8 | |||
|
|
|||
Total Investments | 99.8 | |||
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, 2016 |
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, 2016 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | November 21, 2016 |
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, 2016
/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, 2016
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |