IVY Funds VIP
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-5017
Ivy Funds Variable Insurance
Portfolios
(Exact name of registrant as specified in charter)
6300 Lamar Avenue, Overland Park, Kansas 66202
(Address of principal executive offices) (Zip code)
Mara D. Herrington
6300 Lamar Avenue
Overland Park, Kansas 66202
(Name and address of agent for service)
Registrants telephone number, including area code: 913-236-2000
Date of fiscal year end: December 31
Date of reporting period: September 30, 2011
ITEM 1. SCHEDULE OF INVESTMENTS.
|
|
|
SCHEDULE OF INVESTMENTS Pathfinder Aggressive (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
AFFILIATED MUTUAL FUNDS |
|
Shares |
|
|
Value |
|
Ivy Funds VIP Bond |
|
|
669 |
|
|
$ |
3,822 |
|
Ivy Funds VIP Dividend Opportunities |
|
|
1,216 |
|
|
|
6,902 |
|
Ivy Funds VIP Growth |
|
|
1,014 |
|
|
|
9,294 |
|
Ivy Funds VIP International Core Equity |
|
|
586 |
|
|
|
8,175 |
|
Ivy Funds VIP International Growth |
|
|
1,291 |
|
|
|
9,410 |
|
Ivy Funds VIP Limited-Term Bond |
|
|
2,216 |
|
|
|
11,204 |
|
Ivy Funds VIP Mid Cap Growth |
|
|
391 |
|
|
|
2,894 |
|
Ivy Funds VIP Small Cap Growth |
|
|
186 |
|
|
|
1,530 |
|
Ivy Funds VIP Small Cap Value |
|
|
347 |
|
|
|
4,512 |
|
Ivy Funds VIP Value |
|
|
811 |
|
|
|
4,075 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS 99.8% |
|
|
$ |
61,818 |
|
(Cost: $68,406) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 0.1% |
|
|
Principal |
|
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (A) |
|
$ |
62 |
|
|
$ |
62 |
|
|
|
|
|
|
|
|
|
|
(Cost: $62) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.9% |
|
|
$ |
61,880 |
|
(Cost: $68,468) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET
OF LIABILITIES 0.1% |
|
|
|
32 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
61,912 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Mutual Funds |
|
$ |
61,818 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
62 |
|
|
|
|
|
Total |
|
$ |
61,818 |
|
|
$ |
62 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
68,468 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
524 |
|
Gross unrealized depreciation |
|
|
(7,112 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(6,588 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Pathfinder Conservative (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
AFFILIATED MUTUAL FUNDS |
|
Shares |
|
|
Value |
|
Ivy Funds VIP Bond |
|
|
4,384 |
|
|
$ |
25,054 |
|
Ivy Funds VIP Dividend Opportunities |
|
|
1,911 |
|
|
|
10,848 |
|
Ivy Funds VIP Growth |
|
|
524 |
|
|
|
4,799 |
|
Ivy Funds VIP International Core Equity |
|
|
232 |
|
|
|
3,237 |
|
Ivy Funds VIP International Growth |
|
|
447 |
|
|
|
3,256 |
|
Ivy Funds VIP Limited-Term Bond |
|
|
1,616 |
|
|
|
8,173 |
|
Ivy Funds VIP Mid Cap Growth |
|
|
174 |
|
|
|
1,288 |
|
Ivy Funds VIP Money Market |
|
|
16,257 |
|
|
|
16,257 |
|
Ivy Funds VIP Small Cap Growth |
|
|
69 |
|
|
|
571 |
|
Ivy Funds VIP Small Cap Value |
|
|
48 |
|
|
|
628 |
|
Ivy Funds VIP Value |
|
|
257 |
|
|
|
1,293 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS 99.9% |
|
|
$ |
75,404 |
|
(Cost: $75,663) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 0.3% |
|
Principal |
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (A) |
|
$ |
243 |
|
|
$ |
243 |
|
|
|
|
|
|
|
|
|
|
(Cost: $243) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.2% |
|
|
$ |
75,647 |
|
(Cost: $75,906) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.2%) |
|
|
|
(149 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
75,498 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Mutual Funds |
|
$ |
75,404 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
243 |
|
|
|
|
|
Total |
|
$ |
75,404 |
|
|
$ |
243 |
|
|
$ |
|
|
There |
were no significant transfers between any levels during the period ended September 30, 2011. |
(A) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
75,906 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
963 |
|
Gross unrealized depreciation |
|
|
(1,222 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(259 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Pathfinder Moderate
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
AFFILIATED MUTUAL FUNDS |
|
Shares |
|
|
Value |
|
Ivy Funds VIP Bond |
|
|
20,876 |
|
|
$ |
119,311 |
|
Ivy Funds VIP Dividend Opportunities |
|
|
11,959 |
|
|
|
67,891 |
|
Ivy Funds VIP Growth |
|
|
5,311 |
|
|
|
48,659 |
|
Ivy Funds VIP International Core Equity |
|
|
2,635 |
|
|
|
36,778 |
|
Ivy Funds VIP International Growth |
|
|
7,618 |
|
|
|
55,522 |
|
Ivy Funds VIP Limited-Term Bond |
|
|
11,540 |
|
|
|
58,346 |
|
Ivy Funds VIP Mid Cap Growth |
|
|
2,465 |
|
|
|
18,232 |
|
Ivy Funds VIP Money Market |
|
|
57,995 |
|
|
|
57,995 |
|
Ivy Funds VIP Small Cap Growth |
|
|
980 |
|
|
|
8,069 |
|
Ivy Funds VIP Small Cap Value |
|
|
1,369 |
|
|
|
17,783 |
|
Ivy Funds VIP Value |
|
|
4,562 |
|
|
|
22,921 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS 100.0% |
|
|
$ |
511,507 |
|
(Cost: $520,891) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 0.2% |
|
|
Principal |
|
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (A) |
|
$ |
850 |
|
|
$ |
850 |
|
|
|
|
|
|
|
|
|
|
(Cost: $850) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.2% |
|
|
$ |
512,357 |
|
(Cost: $521,741) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.2%) |
|
|
|
(766 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
511,591 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Mutual Funds |
|
$ |
511,507 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
850 |
|
|
|
|
|
Total |
|
$ |
511,507 |
|
|
$ |
850 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
521,741 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
5,303 |
|
Gross unrealized depreciation |
|
|
(14,687 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(9,384 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Pathfinder Moderately Aggressive (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
AFFILIATED MUTUAL FUNDS |
|
Shares |
|
|
Value |
|
Ivy Funds VIP Bond |
|
|
12,971 |
|
|
$ |
74,136 |
|
Ivy Funds VIP Dividend Opportunities |
|
|
14,887 |
|
|
|
84,518 |
|
Ivy Funds VIP Growth |
|
|
6,610 |
|
|
|
60,565 |
|
Ivy Funds VIP International Core Equity |
|
|
4,100 |
|
|
|
57,226 |
|
Ivy Funds VIP International Growth |
|
|
11,852 |
|
|
|
86,378 |
|
Ivy Funds VIP Limited-Term Bond |
|
|
21,515 |
|
|
|
108,784 |
|
Ivy Funds VIP Mid Cap Growth |
|
|
3,839 |
|
|
|
28,389 |
|
Ivy Funds VIP Money Market |
|
|
36,049 |
|
|
|
36,049 |
|
Ivy Funds VIP Small Cap Growth |
|
|
1,834 |
|
|
|
15,089 |
|
Ivy Funds VIP Small Cap Value |
|
|
2,984 |
|
|
|
38,762 |
|
Ivy Funds VIP Value |
|
|
5,681 |
|
|
|
28,542 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS 100.0% |
|
|
$ |
618,438 |
|
(Cost: $646,247) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 0.2% |
|
Principal |
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (A) |
|
$ |
977 |
|
|
$ |
977 |
|
|
|
|
|
|
|
|
|
|
(Cost: $977) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.2% |
|
|
$ |
619,415 |
|
(Cost: $647,224) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.2%) |
|
|
|
(892 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
618,523 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Mutual Funds |
|
$ |
618,438 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
977 |
|
|
|
|
|
Total |
|
$ |
618,438 |
|
|
$ |
977 |
|
|
$ |
|
|
There |
were no significant transfers between any levels during the period ended September 30, 2011. |
(A) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
647,224 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
3,865 |
|
Gross unrealized depreciation |
|
|
(31,674 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(27,809 |
) |
|
|
|
SCHEDULE OF INVESTMENTS
Pathfinder Moderately Conservative (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
AFFILIATED MUTUAL FUNDS |
|
Shares |
|
|
Value |
|
Ivy Funds VIP Bond |
|
|
8,415 |
|
|
$ |
48,098 |
|
Ivy Funds VIP Dividend Opportunities |
|
|
3,854 |
|
|
|
21,877 |
|
Ivy Funds VIP Growth |
|
|
1,541 |
|
|
|
14,120 |
|
Ivy Funds VIP International Core Equity |
|
|
530 |
|
|
|
7,404 |
|
Ivy Funds VIP International Growth |
|
|
2,045 |
|
|
|
14,906 |
|
Ivy Funds VIP Limited-Term Bond |
|
|
3,721 |
|
|
|
18,815 |
|
Ivy Funds VIP Mid Cap Growth |
|
|
795 |
|
|
|
5,878 |
|
Ivy Funds VIP Money Market |
|
|
28,054 |
|
|
|
28,054 |
|
Ivy Funds VIP Small Cap Growth |
|
|
158 |
|
|
|
1,300 |
|
Ivy Funds VIP Small Cap Value |
|
|
110 |
|
|
|
1,433 |
|
Ivy Funds VIP Value |
|
|
1,470 |
|
|
|
7,387 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL AFFILIATED MUTUAL FUNDS 99.9% |
|
|
$ |
169,272 |
|
(Cost: $170,957) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 0.3% |
|
|
Principal |
|
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (A) |
|
$ |
430 |
|
|
$ |
430 |
|
|
|
|
|
|
|
|
|
|
(Cost: $430) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.2% |
|
|
$ |
169,702 |
|
(Cost: $171,387) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.2%) |
|
|
|
(341 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
169,361 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Affiliated Mutual Funds |
|
$ |
169,272 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
430 |
|
|
|
|
|
Total |
|
$ |
169,272 |
|
|
$ |
430 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
171,387 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
2,125 |
|
Gross unrealized depreciation |
|
|
(3,810 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(1,685 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Asset Strategy (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Airlines 0.4% |
|
|
|
|
|
|
|
|
Cathay Pacific Airways Limited, H Shares (A) |
|
|
2,506 |
|
|
$ |
4,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 0.7% |
|
|
|
|
|
|
|
|
PRADA S.p.A. (A)(B)(C) |
|
|
1,875 |
|
|
|
7,908 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel, Accessories & Luxury Goods 4.5% |
|
|
|
|
|
|
|
|
Compagnie Financiere Richemont S.A. (A) |
|
|
662 |
|
|
|
29,499 |
|
LVMH Moet Hennessy - Louis Vuitton (A) |
|
|
163 |
|
|
|
21,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,962 |
|
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 1.7% |
|
|
|
|
|
Blackstone Group L.P. (The) |
|
|
1,067 |
|
|
|
12,779 |
|
KKR & Co. L.P. |
|
|
595 |
|
|
|
6,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,963 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobile Manufacturers 4.9% |
|
|
|
|
|
|
|
|
Bayerische Motoren Werke AG (A) |
|
|
266 |
|
|
|
17,592 |
|
Hyundai Motor Company (A) |
|
|
142 |
|
|
|
24,807 |
|
Porsche Automobil Holding SE (A) |
|
|
270 |
|
|
|
12,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
55,236 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.4% |
|
|
|
|
|
|
|
|
CBS Corporation, Class B (D) |
|
|
806 |
|
|
|
16,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 11.3% |
|
|
|
|
|
|
|
|
Sands China Ltd. (A)(B) |
|
|
3,136 |
|
|
|
7,337 |
|
Sands China Ltd. (A)(B)(C) |
|
|
13,604 |
|
|
|
31,829 |
|
Wynn Macau, Limited (A) |
|
|
7,187 |
|
|
|
16,995 |
|
Wynn Macau, Limited (A)(C) |
|
|
839 |
|
|
|
1,984 |
|
Wynn Resorts, Limited |
|
|
612 |
|
|
|
70,476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.4% |
|
|
|
|
|
|
|
|
Juniper Networks, Inc. (B) |
|
|
902 |
|
|
|
15,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 4.1% |
|
|
|
|
|
|
|
|
Apple Inc. (B)(D) |
|
|
122 |
|
|
|
46,313 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Storage & Peripherals 1.5% |
|
|
|
|
|
|
|
|
NetApp, Inc. (B)(D) |
|
|
502 |
|
|
|
17,048 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 4.1% |
|
|
|
|
|
|
|
|
AB Volvo, Class B (A) |
|
|
1,663 |
|
|
|
16,341 |
|
AB Volvo, Class B (A)(C) |
|
|
162 |
|
|
|
1,589 |
|
Caterpillar Inc. |
|
|
211 |
|
|
|
15,558 |
|
Cummins Inc. |
|
|
177 |
|
|
|
14,478 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,966 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 0.2% |
|
|
|
|
|
|
|
|
BOC Hong Kong (Holdings) Limited (A) |
|
|
1,303 |
|
|
|
2,756 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.4% |
|
|
|
|
|
|
|
|
Freeport-McMoRan Copper & Gold Inc., Class B (D) |
|
|
162 |
|
|
|
4,936 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.9% |
|
|
|
|
|
|
|
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
570 |
|
|
|
22,127 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.4% |
|
|
|
|
|
|
|
|
Hutchison Port Holdings Trust (A) |
|
|
116 |
|
|
|
77 |
|
Hutchison Whampoa Limited, Ordinary Shares (A) |
|
|
2,097 |
|
|
|
15,519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 6.7% |
|
|
|
|
|
|
|
|
ConocoPhillips (D) |
|
|
756 |
|
|
|
47,839 |
|
Exxon Mobil Corporation |
|
|
165 |
|
|
|
11,998 |
|
Occidental Petroleum Corporation |
|
|
197 |
|
|
|
14,078 |
|
StatoilHydro ASA (A) |
|
|
114 |
|
|
|
2,455 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
76,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 0.3% |
|
|
|
|
|
|
|
|
France Telecom (A) |
|
|
234 |
|
|
|
3,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 5.6% |
|
|
|
|
|
|
|
|
Baidu.com, Inc., ADR (B) |
|
|
296 |
|
|
|
31,602 |
|
Google Inc., Class A (B) |
|
|
34 |
|
|
|
17,283 |
|
Tencent Holdings Limited (A) |
|
|
766 |
|
|
|
15,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 1.0% |
|
|
|
|
|
|
|
|
CITIC Securities Company Limited, H Shares (A)(B)(C) |
|
|
6,664 |
|
|
|
11,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 2.6% |
|
|
|
|
|
|
|
|
Cognizant Technology Solutions Corporation, Class A (B) |
|
|
469 |
|
|
|
29,413 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 2.0% |
|
|
|
|
|
|
|
|
AIA Group Limited (A) |
|
|
1,460 |
|
|
|
4,135 |
|
AIA Group Limited (A)(C) |
|
|
5,558 |
|
|
|
15,739 |
|
Ping An Insurance (Group) Company of China, Ltd., A Shares (A) |
|
|
351 |
|
|
|
1,829 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,703 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine 0.1% |
|
|
|
|
|
|
|
|
A.P. Moller - Maersk A/S (A) |
|
|
|
* |
|
|
587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 1.2% |
|
|
|
|
|
|
|
|
Vivendi Universal (A) |
|
|
668 |
|
|
|
13,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Line Insurance 1.5% |
|
|
|
|
|
|
|
|
China Pacific Insurance (Group) Co. Ltd., H Shares (A) |
|
|
6,102 |
|
|
|
17,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 1.7% |
|
|
|
|
|
|
|
|
Seadrill Limited (A) |
|
|
703 |
|
|
|
19,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 4.8% |
|
|
|
|
|
|
|
|
Halliburton Company (D) |
|
|
661 |
|
|
|
20,177 |
|
National Oilwell Varco, Inc. |
|
|
309 |
|
|
|
15,837 |
|
Schlumberger Limited (D) |
|
|
307 |
|
|
|
18,343 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
54,357 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.5% |
|
|
|
|
|
|
|
|
Allergan, Inc. |
|
|
65 |
|
|
|
5,338 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 1.4% |
|
|
|
|
|
|
|
|
Starbucks Corporation |
|
|
439 |
|
|
|
16,381 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 1.8% |
|
|
|
|
|
|
|
|
ASML Holding N.V., Ordinary Shares (A) |
|
|
582 |
|
|
|
20,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 1.2% |
|
|
|
|
|
|
|
|
Broadcom Corporation, Class A |
|
|
398 |
|
|
|
13,243 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.4% |
|
|
|
|
|
|
|
|
Oracle Corporation |
|
|
569 |
|
|
|
16,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 2.0% |
|
|
|
|
|
|
|
|
Philip Morris International Inc. (D) |
|
|
357 |
|
|
|
22,276 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 75.7% |
|
|
$ |
861,213 |
|
(Cost: $845,516) |
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS |
|
|
|
|
|
Automobile Manufacturers 4.8% |
|
|
|
|
|
|
|
|
Volkswagen AG (A) |
|
|
303 |
|
|
|
40,002 |
|
Volkswagen AG (A)(C) |
|
|
114 |
|
|
|
15,097 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS 4.8% |
|
|
$ |
55,099 |
|
(Cost: $40,453) |
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS |
|
Number of Contracts (Unrounded) |
|
|
|
|
AB Volvo, Class B, |
|
|
|
|
|
|
|
|
Call SEK85.00, Expires 121611, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E) |
|
|
1,033 |
|
|
|
17 |
|
ARM Holdings plc, ADR, |
|
|
|
|
|
|
|
|
Call $28.00, Expires 112111, OTC (Ctrpty: Morgan Stanley Smith Barney LLC) |
|
|
664 |
|
|
|
55 |
|
Bayerische Motoren Werke AG, |
|
|
|
|
|
|
|
|
Call EUR62.00, Expires 121611, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E) |
|
|
184 |
|
|
|
22 |
|
Blackstone Group L.P. (The), |
|
|
|
|
|
|
|
|
Call $15.00, Expires 121911, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
1,253 |
|
|
|
46 |
|
CBS Corporation, Class B, |
|
|
|
|
|
|
|
|
Call $27.00, Expires 121911, OTC (Ctrpty: Morgan Stanley Smith Barney LLC) |
|
|
735 |
|
|
|
24 |
|
DAX Index: |
|
|
|
|
|
|
|
|
Put EUR4,850.00, Expires 102111, OTC (Ctrpty: Goldman, Sachs & Company)(E) |
|
|
1,403 |
|
|
|
679 |
|
Put EUR4,950.00, Expires 102111, OTC (Ctrpty: Goldman, Sachs & Company)(E) |
|
|
1,400 |
|
|
|
859 |
|
Put EUR5,000.00, Expires 102411, OTC (Ctrpty: Morgan Stanley Smith Barney LLC)(E) |
|
|
1,403 |
|
|
|
965 |
|
Put EUR5,200.00, Expires 112111, OTC (Ctrpty: JP Morgan Securities LLC)(E) |
|
|
1,445 |
|
|
|
2,509 |
|
Put EUR5,350.00, Expires 112111, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.)(E) |
|
|
1,408 |
|
|
|
2,991 |
|
Euro (Currency): |
|
|
|
|
|
|
|
|
Put $1.44, Expires 112311, OTC (Ctrpty: Deutsche Bank AG) |
|
|
1 |
|
|
|
4,883 |
|
Put $1.44, Expires 112911, OTC (Ctrpty: Deutsche Bank AG) |
|
|
1 |
|
|
|
4,267 |
|
Exxon Mobil Corporation, |
|
|
|
|
|
|
|
|
Call $77.50, Expires 102411, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
192 |
|
|
|
13 |
|
Freeport-McMoRan Copper & Gold Inc., Class B, |
|
|
|
|
|
|
|
|
Call $50.00, Expires 112111, OTC (Ctrpty: Goldman, Sachs & Company) |
|
|
344 |
|
|
|
3 |
|
Halliburton Company, |
|
|
|
|
|
|
|
|
Call $50.00, Expires 102411, OTC (Ctrpty: JP Morgan Securities LLC) |
|
|
355 |
|
|
|
1 |
|
|
|
|
|
|
|
|
|
|
Juniper Networks, Inc., |
|
|
|
|
|
|
|
|
Call $24.00, Expires 102411, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
700 |
|
|
|
2 |
|
NASDAQ 100: |
|
|
|
|
|
|
|
|
Put $2,075.00, Expires 102411, OTC (Ctrpty: Morgan Stanley Smith Barney LLC) |
|
|
240 |
|
|
|
1,600 |
|
Put $2,100.00, Expires 102411, OTC (Ctrpty: UBS Securities LLC) |
|
|
240 |
|
|
|
1,817 |
|
Put $2,050.00, Expires 112111, OTC (Ctrpty: JP Morgan Securities LLC) |
|
|
244 |
|
|
|
2,374 |
|
Put $2,075.00, Expires 112111, OTC (Ctrpty: Goldman, Sachs & Company) |
|
|
235 |
|
|
|
2,489 |
|
Put $2,150.00, Expires 112111, OTC (Ctrpty: Morgan Stanley Smith Barney LLC) |
|
|
241 |
|
|
|
3,305 |
|
National Oilwell Varco, Inc., |
|
|
|
|
|
|
|
|
Call $77.50, Expires 112111, OTC (Ctrpty: UBS Securities LLC) |
|
|
277 |
|
|
|
2 |
|
Russell 2000 Index: |
|
|
|
|
|
|
|
|
Put $620.00, Expires 102111, OTC (Ctrpty: UBS Securities LLC) |
|
|
625 |
|
|
|
1,431 |
|
Put $610.00, Expires 102411, OTC (Ctrpty: UBS Securities LLC) |
|
|
625 |
|
|
|
1,222 |
|
Put $625.00, Expires 102411, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
601 |
|
|
|
1,487 |
|
Put $650.00, Expires 111911, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
612 |
|
|
|
3,103 |
|
Starbucks Corporation, |
|
|
|
|
|
|
|
|
Call $42.00, Expires 102411, OTC (Ctrpty: Deutsche Banc Alex. Brown Inc.) |
|
|
654 |
|
|
|
16 |
|
Starwood Hotels & Resorts Worldwide, Inc., |
|
|
|
|
|
|
|
|
Call $49.00, Expires 112111, OTC (Ctrpty: Citigroup Global Markets) |
|
|
373 |
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS 3.2% |
|
|
|
|
|
$ |
36,203 |
|
(Cost: $28,326) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
Principal |
|
|
|
|
Automobile Manufacturers 0.2% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 5.130%, 11815 (F) |
|
$ |
1,050 |
|
|
|
1,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brewers 0.0% |
|
|
|
|
|
|
|
|
Companhia Brasileira de Bebidas, 10.500%, 121511 |
|
|
500 |
|
|
|
508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Homebuilding 0.0% |
|
|
|
|
|
|
|
|
Desarrolladora Homex, S.A. de C.V., 7.500%, 92815 |
|
|
327 |
|
|
|
317 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 0.1% |
|
|
|
|
|
|
|
|
CESP - Companhia Energetica de Sao Paulo, 9.750%, 11515 (C)(E) |
|
|
BRL1,550 |
|
|
|
1,176 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE DEBT SECURITIES 0.3% |
|
|
$ |
3,033 |
|
(Cost: $2,593) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS |
|
Mortgage-Backed Obligations 0.1% |
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corporation Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
5.500%, 91517 (G) |
|
$ |
1,528 |
|
|
|
100 |
|
5.000%, 111517 (G) |
|
|
116 |
|
|
|
5 |
|
5.000%, 41519 (G) |
|
|
366 |
|
|
|
16 |
|
|
|
|
|
|
|
|
|
|
5.000%, 111522 (G) |
|
|
43 |
|
|
|
1 |
|
5.500%, 31523 (G) |
|
|
295 |
|
|
|
31 |
|
5.000%, 51523 (G) |
|
|
141 |
|
|
|
4 |
|
5.000%, 81523 (G) |
|
|
145 |
|
|
|
6 |
|
5.500%, 41525 (G) |
|
|
27 |
|
|
|
|
* |
5.500%, 101525 (G) |
|
|
764 |
|
|
|
94 |
|
5.500%, 21530 (G) |
|
|
37 |
|
|
|
|
* |
5.000%, 81530 (G) |
|
|
51 |
|
|
|
1 |
|
5.500%, 31531 (G) |
|
|
170 |
|
|
|
5 |
|
6.000%, 111535 (G) |
|
|
457 |
|
|
|
76 |
|
Federal National Mortgage Association Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
5.000%, 52522 (G) |
|
|
37 |
|
|
|
|
* |
5.500%, 62523 (G) |
|
|
378 |
|
|
|
45 |
|
5.000%, 82523 (G) |
|
|
185 |
|
|
|
8 |
|
5.000%, 112523 (G) |
|
|
271 |
|
|
|
15 |
|
5.000%, 92530 (G) |
|
|
92 |
|
|
|
1 |
|
5.500%, 82533 (G) |
|
|
547 |
|
|
|
77 |
|
5.500%, 42534 (G) |
|
|
991 |
|
|
|
146 |
|
5.500%, 112536 (G) |
|
|
1,410 |
|
|
|
200 |
|
Government National Mortgage Association Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
5.000%, 12030 (G) |
|
|
147 |
|
|
|
1 |
|
5.000%, 62031 (G) |
|
|
470 |
|
|
|
17 |
|
5.500%, 32032 (G) |
|
|
355 |
|
|
|
35 |
|
5.000%, 72033 (G) |
|
|
192 |
|
|
|
19 |
|
5.500%, 112033 (G) |
|
|
795 |
|
|
|
78 |
|
5.500%, 62035 (G) |
|
|
643 |
|
|
|
114 |
|
5.500%, 72035 (G) |
|
|
490 |
|
|
|
72 |
|
5.500%, 101635 (G) |
|
|
310 |
|
|
|
52 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS 0.1% |
|
|
$ |
1,219 |
|
(Cost: $2,428) |
|
|
|
|
|
|
|
|
|
|
|
BULLION 13.4% |
|
Troy Ounces |
|
|
|
|
Gold |
|
|
94 |
|
|
$ |
152,663 |
|
|
|
|
|
|
|
|
|
|
(Cost: $90,594) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 3.9% |
|
|
|
|
|
|
|
|
Corporacion Andina de Fomento, 0.190%, 101711 (H) |
|
$ |
10,000 |
|
|
|
9,999 |
|
E.I. du Pont de Nemours and Company, 0.170%, 121211 (H) |
|
|
9,000 |
|
|
|
8,997 |
|
HarleyDavidson Funding Corp., 0.320%, 101311 (H) |
|
|
2,000 |
|
|
|
2,000 |
|
Heinz (H.J.) Finance Co. (GTD by Heinz (H.J.) Co.), 0.290%, 102511 (H) |
|
|
4,940 |
|
|
|
4,939 |
|
McCormick & Co. Inc., 0.240%, 112811 (H) |
|
|
5,000 |
|
|
|
4,998 |
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), 0.070%, 102411
(H) |
|
|
3,300 |
|
|
|
3,300 |
|
St. Jude Medical, Inc., 0.210%, 102711 (H) |
|
|
5,000 |
|
|
|
4,999 |
|
StraightA Funding, LLC (GTD by Federal Financing Bank), 0.170%, 12111 (H) |
|
|
5,000 |
|
|
|
4,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.0% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (I) |
|
|
218 |
|
|
|
218 |
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 0.2% |
|
|
|
|
|
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.110%, 10711
(I) |
|
|
2,000 |
|
|
|
2,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 4.1% |
|
$ |
46,449 |
|
(Cost: $46,449) |
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 101.6% |
|
$ |
1,155,879 |
|
(Cost: $1,056,359) |
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (1.6%) |
|
|
(17,802 |
) |
|
|
NET ASSETS 100.0% |
|
$ |
1,138,077 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
$ |
133,316 |
|
|
$ |
177,936 |
|
|
$ |
|
|
Consumer Staples |
|
|
22,276 |
|
|
|
|
|
|
|
|
|
Energy |
|
|
128,272 |
|
|
|
21,857 |
|
|
|
|
|
Financials |
|
|
18,963 |
|
|
|
42,047 |
|
|
|
11,381 |
|
Health Care |
|
|
5,338 |
|
|
|
|
|
|
|
|
|
Industrials |
|
|
30,036 |
|
|
|
38,202 |
|
|
|
|
|
Information Technology |
|
|
186,811 |
|
|
|
36,011 |
|
|
|
|
|
Materials |
|
|
4,936 |
|
|
|
|
|
|
|
|
|
Telecommunication Services |
|
|
|
|
|
|
3,831 |
|
|
|
|
|
Total Common Stocks |
|
$ |
529,948 |
|
|
$ |
319,884 |
|
|
$ |
11,381 |
|
Preferred Stocks |
|
|
|
|
|
|
55,099 |
|
|
|
|
|
Purchased Options |
|
|
|
|
|
|
36,203 |
|
|
|
|
|
Corporate Debt Securities |
|
|
|
|
|
|
3,033 |
|
|
|
|
|
United States Government Agency Obligations |
|
|
|
|
|
|
1,219 |
|
|
|
|
|
Bullion |
|
|
152,663 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
46,449 |
|
|
|
|
|
Total |
|
$ |
682,611 |
|
|
$ |
461,887 |
|
|
$ |
11,381 |
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
2,227 |
|
|
$ |
|
|
Futures Contracts |
|
|
3,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
2,063 |
|
|
$ |
|
|
Futures Contracts |
|
|
237 |
|
|
|
|
|
|
|
|
|
Written Options |
|
|
|
|
|
|
16,363 |
|
|
|
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair
value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
Investment Funds |
|
|
Corporate
Debt Securities |
|
Beginning Balance 1111 |
|
$ |
|
|
|
$ |
1,593 |
|
|
$ |
1,026 |
|
Net realized gain (loss) |
|
|
|
|
|
|
(893 |
) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
|
(104 |
) |
|
|
|
|
|
|
|
|
Purchases |
|
|
11,485 |
|
|
|
|
|
|
|
|
|
Sales |
|
|
|
|
|
|
(700 |
) |
|
|
|
|
Transfers into Level 3 during the period |
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 during the period |
|
|
|
|
|
|
|
|
|
|
(1,026 |
) |
Ending Balance 93011 |
|
$ |
11,381 |
|
|
$ |
|
|
|
$ |
|
|
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 93011 |
|
$ |
(104 |
) |
|
$ |
|
|
|
$ |
|
|
Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due
to increased market activity or information. During the period ended September 30, 2011, securities totaling $353,954 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign
securities due to significant market movement of the S&P 500 on September 30, 2011.
The following forward foreign currency contracts were
outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Buy |
|
Chinese Yuan Renminbi |
|
Deutsche Bank AG |
|
|
195,850 |
|
|
|
62512 |
|
|
$ |
183 |
|
|
$ |
|
|
Buy |
|
Chinese Yuan Renminbi |
|
Deutsche Bank AG |
|
|
14,000 |
|
|
|
62512 |
|
|
|
|
|
|
|
13 |
|
Buy |
|
Chinese Yuan Renminbi |
|
Citibank, N.A. |
|
|
62,400 |
|
|
|
62812 |
|
|
|
123 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
32,100 |
|
|
|
31312 |
|
|
|
837 |
|
|
|
|
|
Sell |
|
Euro |
|
Morgan Stanley International |
|
|
12,000 |
|
|
|
31412 |
|
|
|
247 |
|
|
|
|
|
Sell |
|
Euro |
|
Goldman Sachs International |
|
|
30,000 |
|
|
|
61512 |
|
|
|
837 |
|
|
|
|
|
Buy |
|
Singapore Dollar |
|
Deutsche Bank AG |
|
|
32,314 |
|
|
|
112311 |
|
|
|
|
|
|
|
2,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,227 |
|
|
$ |
2,063 |
|
The following futures contracts were outstanding at September 30, 2011 (contracts unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Type |
|
|
Expiration Date |
|
|
Number of Contracts |
|
|
Market Value |
|
|
Unrealized Appreciation (Depreciation) |
|
DAX Index |
|
|
Short |
|
|
|
121611 |
|
|
|
20 |
|
|
$ |
(3,638 |
) |
|
$ |
(237 |
) |
Nasdaq 100 Emini |
|
|
Short |
|
|
|
121611 |
|
|
|
1,242 |
|
|
|
(53,021 |
) |
|
|
991 |
|
Russell 2000 Index |
|
|
Short |
|
|
|
121611 |
|
|
|
166 |
|
|
|
(10,649 |
) |
|
|
480 |
|
S&P 500 E-mini |
|
|
Short |
|
|
|
121611 |
|
|
|
1,511 |
|
|
|
(85,069 |
) |
|
|
2,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(152,377 |
) |
|
$ |
3,711 |
|
The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Security |
|
Counterparty, if OTC |
|
Type |
|
Number of Contracts |
|
|
Expiration Month |
|
|
Exercise Price(E) |
|
|
Premium Received |
|
|
Market Value |
|
AB Volvo, Class B |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
1,033 |
|
|
|
December 2011 |
|
|
|
SEK65.00 |
|
|
$ |
78 |
|
|
$ |
(78 |
) |
ARM Holdings plc, ADR |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
641 |
|
|
|
October 2011 |
|
|
$ |
23.00 |
|
|
|
101 |
|
|
|
(61 |
) |
Bayerische Motoren Werke AG |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
184 |
|
|
|
December 2011 |
|
|
|
EUR50.00 |
|
|
|
89 |
|
|
|
(137 |
) |
Blackstone Group L.P. (The) |
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
1,229 |
|
|
|
December 2011 |
|
|
$ |
12.00 |
|
|
|
160 |
|
|
|
(181 |
) |
CBS Corporation, Class B |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
670 |
|
|
|
December 2011 |
|
|
|
22.00 |
|
|
|
97 |
|
|
|
(214 |
) |
DAX Index: |
|
Goldman, Sachs & Company |
|
Put |
|
|
2,803 |
|
|
|
October 2011 |
|
|
|
EUR4,400.00 |
|
|
|
1,054 |
|
|
|
(415 |
) |
|
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
1,403 |
|
|
|
October 2011 |
|
|
|
4,550.00 |
|
|
|
569 |
|
|
|
(301 |
) |
|
|
JP Morgan Securities LLC |
|
Put |
|
|
1,445 |
|
|
|
November 2011 |
|
|
|
4,650.00 |
|
|
|
1,036 |
|
|
|
(1,136 |
) |
|
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
1,408 |
|
|
|
November 2011 |
|
|
|
4,800.00 |
|
|
|
1,043 |
|
|
|
(1,371 |
) |
Euro (Currency): |
|
Deutsche Bank AG |
|
Put |
|
|
1 |
|
|
|
November 2011 |
|
|
$ |
1.35 |
|
|
|
643 |
|
|
|
(1,828 |
) |
|
|
Deutsche Bank AG |
|
Put |
|
|
1 |
|
|
|
November 2011 |
|
|
|
1.35 |
|
|
|
483 |
|
|
|
(1,656 |
) |
Exxon Mobil Corporation |
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
192 |
|
|
|
October 2011 |
|
|
|
65.00 |
|
|
|
36 |
|
|
|
(14 |
) |
Freeport-McMoRan Copper & Gold Inc., Class B |
|
Goldman, Sachs & Company |
|
Put |
|
|
360 |
|
|
|
November 2011 |
|
|
|
41.00 |
|
|
|
80 |
|
|
|
(404 |
) |
Halliburton Company |
|
JP Morgan Securities LLC |
|
Put |
|
|
351 |
|
|
|
October 2011 |
|
|
|
42.00 |
|
|
|
72 |
|
|
|
(405 |
) |
Juniper Networks, Inc. |
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
737 |
|
|
|
October 2011 |
|
|
|
20.00 |
|
|
|
96 |
|
|
|
(223 |
) |
NASDAQ 100: |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
240 |
|
|
|
October 2011 |
|
|
|
1,850.00 |
|
|
|
360 |
|
|
|
(427 |
) |
|
|
UBS Securities LLC |
|
Put |
|
|
240 |
|
|
|
October 2011 |
|
|
|
1,875.00 |
|
|
|
408 |
|
|
|
(500 |
) |
|
|
JP Morgan Securities LLC |
|
Put |
|
|
244 |
|
|
|
November 2011 |
|
|
|
1,825.00 |
|
|
|
839 |
|
|
|
(1,017 |
) |
|
|
Goldman, Sachs & Company |
|
Put |
|
|
235 |
|
|
|
November 2011 |
|
|
|
1,850.00 |
|
|
|
823 |
|
|
|
(1,080 |
) |
|
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
241 |
|
|
|
November 2011 |
|
|
|
1,925.00 |
|
|
|
675 |
|
|
|
(1,476 |
) |
National Oilwell Varco, Inc. |
|
UBS Securities LLC |
|
Put |
|
|
236 |
|
|
|
November 2011 |
|
|
|
62.50 |
|
|
|
99 |
|
|
|
(296 |
) |
Russell 2000 Index: |
|
UBS Securities LLC |
|
Put |
|
|
1,226 |
|
|
|
October 2011 |
|
|
|
560.00 |
|
|
|
1,106 |
|
|
|
(1,018 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UBS Securities LLC |
|
Put |
|
|
625 |
|
|
|
October 2011 |
|
|
|
550.00 |
|
|
|
516 |
|
|
|
(413 |
) |
|
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
612 |
|
|
|
November 2011 |
|
|
|
580.00 |
|
|
|
829 |
|
|
|
(1,524 |
) |
Starbucks Corporation |
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
434 |
|
|
|
October 2011 |
|
|
|
34.00 |
|
|
|
36 |
|
|
|
(35 |
) |
Starwood Hotels & Resorts Worldwide, Inc. |
|
Citigroup Global Markets |
|
Put |
|
|
369 |
|
|
|
November 2011 |
|
|
|
40.00 |
|
|
|
88 |
|
|
|
(153 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
11,416 |
|
|
$ |
(16,363 |
) |
* |
Not shown due to rounding. |
(A) |
Listed on an exchange outside the United States. |
(B) |
No dividends were paid during the preceding 12 months. |
(C) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $86,703 or 7.6% of net assets. |
(D) |
All or a portion of the security position has been pledged as collateral on open futures contracts. |
(E) |
Principal amount and exercise prices are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real, EUR - Euro and SEK - Swedish Krona).
|
(F) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(G) |
Interest Only Security. Amount shown as principal represents notional amount for computation of interest. |
(H) |
Rate shown is the yield to maturity at September 30, 2011. |
(I) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
OTC = Over the Counter
REMIC = Real Estate Mortgage Investment Conduit
For Federal income
tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
1,059,828 |
|
|
|
Gross unrealized appreciation |
|
|
188,425 |
|
Gross unrealized depreciation |
|
|
(92,374 |
) |
Net unrealized appreciation |
|
$ |
96,051 |
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
Balanced (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Aerospace & Defense 2.9% |
|
|
|
|
|
|
|
|
General Dynamics Corporation |
|
|
37 |
|
|
$ |
2,094 |
|
Honeywell International Inc. |
|
|
94 |
|
|
|
4,144 |
|
Precision Castparts Corp. |
|
|
22 |
|
|
|
3,358 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 1.2% |
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc. |
|
|
95 |
|
|
|
3,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 1.9% |
|
|
|
|
|
|
|
|
Limited Brands, Inc. |
|
|
161 |
|
|
|
6,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 1.2% |
|
|
|
|
|
|
|
|
Intuit Inc. |
|
|
85 |
|
|
|
4,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 2.0% |
|
|
|
|
|
|
|
|
BorgWarner Inc. (A) |
|
|
76 |
|
|
|
4,569 |
|
Johnson Controls, Inc. |
|
|
82 |
|
|
|
2,170 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brewers 1.7% |
|
|
|
|
|
|
|
|
Anheuser-Busch Inbev S.A., ADR |
|
|
105 |
|
|
|
5,579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.9% |
|
|
|
|
|
|
|
|
CBS Corporation, Class B |
|
|
296 |
|
|
|
6,028 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 1.3% |
|
|
|
|
|
|
|
|
Wynn Resorts, Limited |
|
|
36 |
|
|
|
4,097 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 3.3% |
|
|
|
|
|
|
|
|
Apple Inc. (A) |
|
|
28 |
|
|
|
10,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 0.6% |
|
|
|
|
|
|
|
|
Cummins Inc. |
|
|
25 |
|
|
|
2,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 1.3% |
|
|
|
|
|
|
|
|
Macys Inc. |
|
|
160 |
|
|
|
4,214 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 1.7% |
|
|
|
|
|
|
|
|
Brown-Forman Corporation, Class B |
|
|
81 |
|
|
|
5,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.0% |
|
|
|
|
|
|
|
|
PPL Corporation |
|
|
112 |
|
|
|
3,191 |
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 1.0% |
|
Monsanto Company |
|
|
55 |
|
|
|
3,321 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Retail 1.0% |
|
|
|
|
|
|
|
|
Whole Foods Market, Inc. |
|
|
52 |
|
|
|
3,396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Footwear 1.6% |
|
|
|
|
|
|
|
|
NIKE, Inc., Class B |
|
|
59 |
|
|
|
5,062 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Distributors 1.6% |
|
|
|
|
|
|
|
|
Henry Schein, Inc. (A) |
|
|
83 |
|
|
|
5,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 1.2% |
|
|
|
|
|
|
|
|
DENTSPLY International Inc. |
|
|
124 |
|
|
|
3,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.4% |
|
Hyatt Hotels Corporation, Class A (A) |
|
|
147 |
|
|
|
4,621 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 1.2% |
|
|
|
|
|
|
|
|
Colgate-Palmolive Company |
|
|
43 |
|
|
|
3,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 0.7% |
|
|
|
|
|
|
|
|
Praxair, Inc. |
|
|
23 |
|
|
|
2,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 2.1% |
|
|
|
|
|
|
|
|
ConocoPhillips |
|
|
110 |
|
|
|
6,959 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 1.3% |
|
AT&T Inc. |
|
|
143 |
|
|
|
4,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 1.2% |
|
|
|
|
|
|
|
|
Google Inc., Class A (A) |
|
|
8 |
|
|
|
3,858 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 1.0% |
|
|
|
|
|
|
|
|
Accenture plc, Class A |
|
|
65 |
|
|
|
3,403 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Motorcycle Manufacturers 1.2% |
|
|
|
|
|
|
|
|
Harley-Davidson, Inc. |
|
|
113 |
|
|
|
3,883 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 3.7% |
|
|
|
|
|
Halliburton Company |
|
|
106 |
|
|
|
3,247 |
|
National Oilwell Varco, Inc. |
|
|
109 |
|
|
|
5,593 |
|
Schlumberger Limited |
|
|
52 |
|
|
|
3,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 0.6% |
|
|
|
|
|
|
|
|
Southwestern Energy Company (A) |
|
|
61 |
|
|
|
2,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 1.9% |
|
|
|
|
|
|
|
|
JPMorgan Chase & Co. |
|
|
209 |
|
|
|
6,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 3.0% |
|
|
|
|
|
|
|
|
General Mills, Inc. |
|
|
79 |
|
|
|
3,031 |
|
Mead Johnson Nutrition Company |
|
|
94 |
|
|
|
6,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 1.5% |
|
|
|
|
|
|
|
|
Estee Lauder Companies Inc. (The), Class A |
|
|
57 |
|
|
|
4,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 3.5% |
|
|
|
|
|
|
|
|
Allergan, Inc. |
|
|
81 |
|
|
|
6,690 |
|
Johnson & Johnson |
|
|
75 |
|
|
|
4,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,487 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 1.2% |
|
|
|
|
|
|
|
|
Travelers Companies, Inc. (The) |
|
|
78 |
|
|
|
3,806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Railroads 1.2% |
|
|
|
|
|
|
|
|
Union Pacific Corporation |
|
|
47 |
|
|
|
3,798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 1.4% |
|
|
|
|
|
|
|
|
PNC Financial Services Group, Inc. (The) |
|
|
96 |
|
|
|
4,636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 1.7% |
|
|
|
|
|
|
|
|
McDonalds Corporation |
|
|
63 |
|
|
|
5,568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 1.3% |
|
|
|
|
|
|
|
|
ASML Holding N.V., NY Registry Shares |
|
|
118 |
|
|
|
4,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 1.8% |
|
|
|
|
|
|
|
|
Microchip Technology Incorporated |
|
|
188 |
|
|
|
5,852 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 1.0% |
|
|
|
|
|
|
|
|
PepsiCo, Inc. |
|
|
54 |
|
|
|
3,355 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.5% |
|
|
|
|
|
|
|
|
Oracle Corporation |
|
|
169 |
|
|
|
4,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 1.7% |
|
|
|
|
|
|
|
|
Philip Morris International Inc. |
|
|
87 |
|
|
|
5,440 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 65.5% |
|
|
|
$212,818 |
|
(Cost: $178,416) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
|
Principal |
|
|
|
|
|
Apparel Retail 0.5% |
|
|
|
|
|
|
|
|
Limited Brands, Inc., 6.625%, 4121 |
|
$ |
1,460 |
|
|
|
1,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automobile Manufacturers 0.7% |
|
|
|
|
|
|
|
|
Ford Motor Company, Convertible, 4.250%, 111516 |
|
|
2,000 |
|
|
|
2,598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brewers 0.3% |
|
|
|
|
|
|
|
|
Anheuser-Busch InBev Worldwide Inc.: 3.000%, 101512 |
|
|
500 |
|
|
|
510 |
|
5.375%, 111514 |
|
|
500 |
|
|
|
559 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 0.7% |
|
|
|
|
|
|
|
|
CBS Corporation: 8.875%, 51519 |
|
|
1,500 |
|
|
|
1,918 |
|
4.300%, 21521 |
|
|
500 |
|
|
|
503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 0.3% |
|
|
|
|
|
|
|
|
DirecTV Holdings LLC and DirecTV Financing Co., Inc., 3.500%, 3116 |
|
|
500 |
|
|
|
516 |
|
Discovery Communications, LLC, 4.375%, 61521 |
|
|
500 |
|
|
|
518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,034 |
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 0.5% |
|
|
|
|
|
Caterpillar Inc.: 0.398%, 112112 (B) |
|
|
300 |
|
|
|
300 |
|
1.375%, 52714 |
|
|
500 |
|
|
|
504 |
|
John Deere Capital Corporation, 5.250%, 10112 |
|
|
750 |
|
|
|
783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.8% |
|
|
|
|
|
|
|
|
American Express Credit Corporation, 5.125%, 82514 |
|
|
400 |
|
|
|
433 |
|
Capital One Financial Corporation, 2.125%, 71514 |
|
|
500 |
|
|
|
495 |
|
Caterpillar Financial Services Corporation, 1.550%, 122013 |
|
|
500 |
|
|
|
506 |
|
Ford Motor Credit Company LLC, 7.000%, 41515 |
|
|
750 |
|
|
|
788 |
|
USAA Capital Corporation, 1.050%, 93014 (C) |
|
|
500 |
|
|
|
499 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,721 |
|
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 0.3% |
|
|
|
|
|
Western Union Company (The), 6.500%, 22614 |
|
|
1,000 |
|
|
|
1,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 0.5% |
|
|
|
|
|
|
|
|
Bank of New York Mellon Corporation (The), 1.500%, 13114 |
|
|
500 |
|
|
|
504 |
|
Barclays Bank plc, 2.375%, 11314 |
|
|
300 |
|
|
|
294 |
|
U.S. Bancorp, 4.200%, 51514 |
|
|
500 |
|
|
|
537 |
|
|
|
|
|
|
|
|
|
|
Wells Fargo & Company, |
|
|
|
|
|
|
|
|
3.676%, 61516 (B) |
|
|
250 |
|
|
|
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Markets 0.4% |
|
|
|
|
|
|
|
|
Deutsche Bank AG: 3.450%, 33015 |
|
|
750 |
|
|
|
746 |
|
3.250%, 11116 |
|
|
500 |
|
|
|
491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.2% |
|
|
|
|
|
|
|
|
Rio Tinto Finance (USA) Limited, 8.950%, 5114 |
|
|
500 |
|
|
|
592 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Drug Retail 0.3% |
|
|
|
|
|
|
|
|
CVS Caremark Corporation, 3.250%, 51815 |
|
|
950 |
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 0.5% |
|
|
|
|
|
|
|
|
Hydro-Quebec, 8.000%, 2113 |
|
|
1,500 |
|
|
|
1,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 0.2% |
|
|
|
|
|
|
|
|
Monsanto Company, 2.750%, 41516 |
|
|
500 |
|
|
|
527 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Distributors 0.4% |
|
|
|
|
|
|
|
|
Cargill, Inc., 4.307%, 51421 (C) |
|
|
1,219 |
|
|
|
1,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Retail 0.6% |
|
|
|
|
|
|
|
|
Kroger Co. (The), 6.200%, 61512 |
|
|
2,000 |
|
|
|
2,068 |
|
|
|
|
|
|
|
|
|
|
|
|
|
General Merchandise Stores 0.2% |
|
|
|
|
|
|
|
|
Target Corporation, 1.125%, 71814 |
|
|
500 |
|
|
|
504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Gold 0.7% |
|
|
|
|
|
|
|
|
Newmont Mining Corporation, Convertible, 3.000%, 21512 |
|
|
1,800 |
|
|
|
2,485 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 0.2% |
|
|
|
|
|
|
|
|
Stryker Corporation, 2.000%, 93016 |
|
|
500 |
|
|
|
503 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 0.3% |
|
|
|
|
|
|
|
|
Quest Diagnostics Incorporated, 3.200%, 4116 |
|
|
1,000 |
|
|
|
1,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 0.1% |
|
|
|
|
|
|
|
|
DENTSPLY International Inc., 2.750%, 81516 |
|
|
250 |
|
|
|
252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Improvement Retail 0.1% |
|
|
|
|
|
|
|
|
Home Depot, Inc. (The), 4.400%, 4121 |
|
|
375 |
|
|
|
408 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.1% |
|
|
|
|
|
|
|
|
Colgate-Palmolive Company, 1.250%, 5114 |
|
|
250 |
|
|
|
253 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hypermarkets & Super Centers 0.3% |
|
|
|
|
|
|
|
|
Wal-Mart Stores, Inc., 2.875%, 4115 |
|
|
875 |
|
|
|
924 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 0.7% |
|
|
|
|
|
|
|
|
Praxair, Inc.: 4.375%, 33114 |
|
|
1,500 |
|
|
|
1,621 |
|
3.000%, 9121 |
|
|
500 |
|
|
|
502 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 0.6% |
|
|
|
|
|
|
|
|
Eaton Corporation, 0.679%, 61614 (B) |
|
|
500 |
|
|
|
501 |
|
Illinois Tool Works Inc., 5.150%, 4114 |
|
|
1,500 |
|
|
|
1,643 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 0.6% |
|
|
|
|
|
|
|
|
Cenovus Energy Inc., 4.500%, 91514 |
|
|
250 |
|
|
|
270 |
|
|
|
|
|
|
|
|
|
|
ConocoPhillips, 4.750%, 2114 |
|
|
1,500 |
|
|
|
1,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 0.4% |
|
|
|
|
|
|
|
|
AT&T Inc., 4.850%, 21514 |
|
|
1,000 |
|
|
|
1,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 0.4% |
|
|
|
|
|
|
|
|
Morgan Stanley, 4.100%, 12615 |
|
|
1,500 |
|
|
|
1,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 0.3% |
|
|
|
|
|
|
|
|
International Business Machines Corporation, 1.250%, 51214 |
|
|
1,000 |
|
|
|
1,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 0.7% |
|
|
|
|
|
|
|
|
MetLife Global Funding I: |
|
|
|
|
|
|
|
|
2.000%, 11014 (C) |
|
|
800 |
|
|
|
804 |
|
2.500%, 92915 (C) |
|
|
1,000 |
|
|
|
1,008 |
|
Prudential Financial, Inc., 4.750%, 91715 |
|
|
500 |
|
|
|
522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 0.2% |
|
|
|
|
|
|
|
|
Viacom Inc., 4.375%, 91514 |
|
|
500 |
|
|
|
534 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 0.2% |
|
|
|
|
|
|
|
|
Schlumberger S.A. (GTD by Schlumberger Limited), 2.650%, 11516 (C) |
|
|
500 |
|
|
|
515 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 0.3% |
|
|
|
|
|
|
|
|
EOG Resources, Inc., 2.500%, 2116 |
|
|
1,000 |
|
|
|
1,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 1.4% |
|
|
|
|
|
|
|
|
JPMorgan Chase & Co.: |
|
|
|
|
|
|
|
|
4.650%, 6114 |
|
|
1,000 |
|
|
|
1,059 |
|
3.450%, 3116 |
|
|
1,000 |
|
|
|
1,005 |
|
3.150%, 7516 |
|
|
500 |
|
|
|
497 |
|
7.900%, 42949 (B) |
|
|
500 |
|
|
|
515 |
|
Principal Life Global, 6.250%, 21512 (C) |
|
|
1,500 |
|
|
|
1,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Non-Agency REMIC/CMO 0.0% |
|
|
|
|
|
|
|
|
Banco Hipotecario Nacional: |
|
|
|
|
|
|
|
|
7.916%, 72509 (C)(D) |
|
|
17 |
|
|
|
|
* |
8.000%, 33111 (C)(D) |
|
|
4 |
|
|
|
|
* |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
* |
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.0% |
|
|
|
|
|
|
|
|
Kraft Foods Inc., 4.125%, 2916 |
|
|
1,000 |
|
|
|
1,066 |
|
Unilever Capital Corporation, 5.900%, 111532 |
|
|
1,450 |
|
|
|
1,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.7% |
|
|
|
|
|
|
|
|
Pfizer Inc., 4.450%, 31512 |
|
|
1,500 |
|
|
|
1,525 |
|
Roche Holdings Ltd, 5.000%, 3114 (C) |
|
|
952 |
|
|
|
1,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,572 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 0.7% |
|
|
|
|
|
|
|
|
Berkshire Hathaway Finance Corporation, 4.000%, 41512 (C) |
|
|
500 |
|
|
|
509 |
|
Fidelity National Financial, Inc., 6.600%, 51517 |
|
|
1,600 |
|
|
|
1,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.2% |
|
|
|
|
|
|
|
|
YUM! Brands, Inc., 4.250%, 91515 |
|
|
500 |
|
|
|
537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 0.2% |
|
|
|
|
|
|
|
|
Texas Instruments Incorporated, 0.466%, 51513 (B) |
|
|
500 |
|
|
|
500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 0.2% |
|
|
|
|
|
|
|
|
PepsiCo, Inc., 3.750%, 3114 |
|
|
750 |
|
|
|
801 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 0.2% |
|
|
|
|
|
|
|
|
Microsoft Corporation, 2.950%, 6114 |
|
|
500 |
|
|
|
531 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.3% |
|
|
|
|
|
|
|
|
Philip Morris International Inc., 4.500%, 32620 |
|
|
750 |
|
|
|
835 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 0.2% |
|
|
|
|
|
|
|
|
America Movil, S.A.B. de C.V., 3.625%, 33015 |
|
|
700 |
|
|
|
725 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE DEBT SECURITIES 18.7% |
|
|
$ |
60,740 |
|
(Cost: $56,719) |
|
|
|
|
|
|
|
|
|
|
|
OTHER GOVERNMENT SECURITIES |
|
|
|
|
|
|
|
|
Qatar 0.2% |
|
|
|
|
|
|
|
|
State of Qatar, 4.000%, 12015 (C) |
|
|
750 |
|
|
|
789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Supranational 0.3% |
|
|
|
|
|
|
|
|
International Bank for Reconstruction and Development, 2.375%, 52615 |
|
|
900 |
|
|
|
950 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OTHER GOVERNMENT SECURITIES 0.5% |
|
|
$ |
1,739 |
|
(Cost: $1,646) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS |
|
Mortgage-Backed Obligations 2.2% |
|
|
|
|
|
|
|
|
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: |
|
|
|
|
|
|
|
|
6.000%, 9117 |
|
|
226 |
|
|
|
245 |
|
5.000%, 1118 |
|
|
138 |
|
|
|
149 |
|
5.500%, 4118 |
|
|
45 |
|
|
|
49 |
|
5.000%, 5118 |
|
|
73 |
|
|
|
79 |
|
4.500%, 7118 |
|
|
1,038 |
|
|
|
1,112 |
|
7.000%, 9125 |
|
|
71 |
|
|
|
81 |
|
6.500%, 10128 |
|
|
235 |
|
|
|
272 |
|
6.500%, 2129 |
|
|
121 |
|
|
|
140 |
|
7.500%, 4131 |
|
|
115 |
|
|
|
135 |
|
7.000%, 7131 |
|
|
183 |
|
|
|
210 |
|
7.000%, 9131 |
|
|
287 |
|
|
|
332 |
|
6.500%, 2132 |
|
|
594 |
|
|
|
672 |
|
7.000%, 2132 |
|
|
356 |
|
|
|
410 |
|
7.000%, 3132 |
|
|
128 |
|
|
|
148 |
|
7.000%, 7132 |
|
|
287 |
|
|
|
330 |
|
6.000%, 9132 |
|
|
1,189 |
|
|
|
1,321 |
|
6.000%, 2133 |
|
|
173 |
|
|
|
192 |
|
5.500%, 5133 |
|
|
763 |
|
|
|
834 |
|
5.500%, 6133 |
|
|
311 |
|
|
|
340 |
|
United States Department of Veterans Affairs, Guaranteed REMIC Pass-Through Certificates, Vendee Mortgage Trust, 1997-A Class
3-A, 8.293%, 121526 |
|
|
65 |
|
|
|
78 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS 2.2% |
|
|
$ |
7,129 |
|
(Cost: $6,524) |
|
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT OBLIGATIONS |
|
|
|
|
|
Treasury Inflation Protected Obligations 0.4% |
|
|
|
|
|
United States Treasury Notes, 3.000%, 71512 (E) |
|
|
1,257 |
|
|
|
1,292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Treasury Obligations 9.7% |
|
|
|
|
|
|
|
|
United States Treasury Bonds: 7.500%, 111516 |
|
|
1,500 |
|
|
|
1,990 |
|
|
|
|
|
|
|
|
|
|
6.250%, 81523 |
|
|
5,250 |
|
|
|
7,498 |
|
United States Treasury Notes: |
|
|
|
|
|
|
|
|
3.875%, 21513 |
|
|
3,000 |
|
|
|
3,149 |
|
3.625%, 51513 |
|
|
3,000 |
|
|
|
3,162 |
|
4.250%, 81513 |
|
|
4,000 |
|
|
|
4,296 |
|
4.250%, 81515 |
|
|
10,000 |
|
|
|
11,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,466 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS 10.1% |
|
|
|
|
|
$ |
32,758 |
|
(Cost: $28,382) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Commercial Paper 0.6% |
|
|
|
|
|
|
|
|
Wisconsin Electric Power Co., 0.120%, 10311 (F) |
|
|
1,838 |
|
|
|
1,838 |
|
|
|
|
|
|
|
|
|
|
Master Note 1.7% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (G) |
|
|
5,532 |
|
|
|
5,532 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 2.3% |
|
|
|
|
|
$ |
7,370 |
|
(Cost: $7,370) |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.3% |
|
|
|
|
|
$ |
322,554 |
|
(Cost: $279,057) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.7% |
|
|
|
|
|
|
2,191 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
324,745 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
212,818 |
|
|
$ |
|
|
|
$ |
|
|
Corporate Debt Securities |
|
|
|
|
|
|
60,740 |
|
|
|
|
|
Other Government Securities |
|
|
|
|
|
|
1,739 |
|
|
|
|
|
United States Government Agency Obligations |
|
|
|
|
|
|
7,129 |
|
|
|
|
|
United States Government Obligations |
|
|
|
|
|
|
32,758 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
7,370 |
|
|
|
|
|
Total |
|
$ |
212,818 |
|
|
$ |
109,736 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
* |
Not shown due to rounding. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(C) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $8,023 or 2.5% of net assets. |
(D) |
Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
(E) |
The interest rate for this security is a stated rate, but the interest payments are determined by multiplying the inflation-adjusted principal by one half of the stated rate for
each semiannual interest payment date. |
(F) |
Rate shown is the yield to maturity at September 30, 2011. |
(G) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
CMO = Collateralized Mortgage Obligation
REMIC = Real Estate Mortgage Investment Conduit
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
279,307 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
51,553 |
|
Gross unrealized depreciation |
|
|
(8,306 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
43,247 |
|
|
|
|
SCHEDULE OF INVESTMENTS Bond (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES 0.0% |
|
Principal |
|
|
Value |
|
Lehman ABS Manufactured Housing Contract Trust 2001-B, |
|
|
|
|
|
|
|
|
3.010%, 31512 |
|
$ |
67 |
|
|
$ |
66 |
|
|
|
|
|
|
|
|
|
|
(Cost: $67) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
|
|
|
|
|
|
|
Aerospace & Defense 1.8% |
|
Bombardier Inc., |
|
|
|
|
|
|
|
|
7.500%, 31518 (A) |
|
|
3,800 |
|
|
|
4,009 |
|
Honeywell International Inc., |
|
|
|
|
|
|
|
|
5.000%, 21519 |
|
|
2,225 |
|
|
|
2,579 |
|
United Technologies Corporation, |
|
|
|
|
|
|
|
|
6.125%, 2119 |
|
|
3,000 |
|
|
|
3,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,271 |
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 0.9% |
|
Limited Brands, Inc.: |
|
|
|
|
|
|
|
|
8.500%, 61519 |
|
|
3,485 |
|
|
|
3,938 |
|
7.000%, 5120 |
|
|
1,000 |
|
|
|
1,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,988 |
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 1.3% |
|
Amgen Inc., |
|
|
|
|
|
|
|
|
6.150%, 6118 |
|
|
6,500 |
|
|
|
7,911 |
|
|
|
|
|
|
|
|
|
|
|
Brewers 1.2% |
|
Anheuser-Busch InBev Worldwide Inc., |
|
|
|
|
|
|
|
|
5.375%, 11520 |
|
|
6,000 |
|
|
|
7,000 |
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.8% |
|
CBS Corporation, |
|
|
|
|
|
|
|
|
8.875%, 51519 |
|
|
6,000 |
|
|
|
7,672 |
|
NBCUniversal Media, LLC, |
|
|
|
|
|
|
|
|
5.150%, 43020 |
|
|
2,810 |
|
|
|
3,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,757 |
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 2.7% |
|
Comcast Corporation, |
|
|
|
|
|
|
|
|
5.150%, 3120 |
|
|
5,000 |
|
|
|
5,651 |
|
DirecTV Holdings LLC and DirecTV Financing Co., Inc., |
|
|
|
|
|
|
|
|
3.500%, 3116 |
|
|
4,000 |
|
|
|
4,130 |
|
Time Warner Inc., |
|
|
|
|
|
|
|
|
4.750%, 32921 |
|
|
5,750 |
|
|
|
6,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,827 |
|
|
|
|
|
|
|
|
|
|
|
Coal & Consumable Fuels 0.4% |
|
Peabody Energy Corporation, |
|
|
|
|
|
|
|
|
6.500%, 91520 |
|
|
2,000 |
|
|
|
2,103 |
|
|
|
|
|
|
|
|
|
|
|
Computer & Electronics Retail 0.9% |
|
Best Buy Co., Inc., |
|
|
|
|
|
|
|
|
6.750%, 71513 |
|
|
5,000 |
|
|
|
5,365 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 0.7% |
|
Caterpillar Inc., |
|
|
|
|
|
|
|
|
3.900%, 52721 |
|
|
3,575 |
|
|
|
3,862 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 1.8% |
|
American Express Credit Corporation, |
|
|
|
|
|
2.750%, 91515 |
|
|
2,000 |
|
|
|
2,011 |
|
Capital One Financial Corporation, |
|
|
|
|
|
|
|
|
3.150%, 71516 |
|
|
3,500 |
|
|
|
3,467 |
|
Ford Motor Credit Company LLC, |
|
|
|
|
|
|
|
|
7.000%, 41515 |
|
|
5,000 |
|
|
|
5,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,728 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 0.9% |
|
Western Union Company (The), |
|
|
|
|
|
|
|
|
3.650%, 82218 |
|
|
5,000 |
|
|
|
5,052 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 1.3% |
|
Diageo Capital plc, |
|
|
|
|
|
|
|
|
5.750%, 102317 |
|
|
6,500 |
|
|
|
7,598 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 3.1% |
|
HSBC Holdings plc, |
|
|
|
|
|
|
|
|
5.100%, 4521 |
|
|
7,000 |
|
|
|
7,218 |
|
U.S. Bancorp, |
|
|
|
|
|
|
|
|
4.125%, 52421 |
|
|
4,000 |
|
|
|
4,319 |
|
Wells Fargo & Company, |
|
|
|
|
|
|
|
|
3.676%, 61516 (B) |
|
|
6,000 |
|
|
|
6,247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Markets 1.3% |
|
|
|
|
|
|
|
|
Credit Suisse AG, |
|
|
|
|
|
|
|
|
3.500%, 32315 |
|
|
3,000 |
|
|
|
3,002 |
|
Deutsche Bank AG, |
|
|
|
|
|
|
|
|
3.250%, 11116 |
|
|
5,000 |
|
|
|
4,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,907 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 2.1% |
|
Dow Chemical Company, (The), |
|
|
|
|
|
|
|
|
8.550%, 51519 |
|
|
5,500 |
|
|
|
7,054 |
|
E.I. du Pont de Nemours and Company, |
|
|
|
|
|
|
|
|
5.750%, 31519 |
|
|
3,725 |
|
|
|
4,467 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,521 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.9% |
|
Rio Tinto Finance (USA) Limited, |
|
|
|
|
|
|
|
|
3.750%, 92021 |
|
|
5,500 |
|
|
|
5,487 |
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 1.9% |
|
Detroit Edison Company (The), |
|
|
|
|
|
|
|
|
3.900%, 6121 |
|
|
4,875 |
|
|
|
5,194 |
|
NextEra Energy Capital Holdings, Inc., |
|
|
|
|
|
|
|
|
7.875%, 121515 |
|
|
5,000 |
|
|
|
5,969 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,163 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 0.5% |
|
Emerson Electric Co., |
|
|
|
|
|
|
|
|
4.875%, 101519 |
|
|
2,500 |
|
|
|
2,906 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 1.0% |
|
Jabil Circuit, Inc.: |
|
|
|
|
|
|
|
|
7.750%, 71516 |
|
|
2,000 |
|
|
|
2,205 |
|
8.250%, 31518 |
|
|
3,150 |
|
|
|
3,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,772 |
|
|
|
|
|
|
|
|
|
|
|
Environmental & Facilities Services 1.9% |
|
Republic Services, Inc., |
|
|
|
|
|
|
|
|
4.750%, 51523 |
|
|
5,000 |
|
|
|
5,438 |
|
Waste Management, Inc., |
|
|
|
|
|
|
|
|
4.600%, 3121 |
|
|
5,600 |
|
|
|
6,016 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,454 |
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 0.4% |
|
Potash Corporation of Saskatchewan Inc., |
|
|
|
|
|
|
|
|
3.250%, 12117 |
|
|
2,500 |
|
|
|
2,604 |
|
|
|
|
|
|
|
|
|
|
|
Forest Products 1.0% |
|
Georgia-Pacific LLC, |
|
|
|
|
|
|
|
|
5.400%, 11120 (A) |
|
|
6,000 |
|
|
|
6,112 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 2.4% |
|
Medco Health Solutions, Inc.: |
|
|
|
|
|
|
|
|
7.125%, 31518 |
|
|
3,000 |
|
|
|
3,641 |
|
4.125%, 91520 |
|
|
3,500 |
|
|
|
3,483 |
|
Quest Diagnostics Incorporated, |
|
|
|
|
|
|
|
|
3.200%, 4116 |
|
|
6,000 |
|
|
|
6,234 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,358 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 0.4% |
|
DENTSPLY International Inc., |
|
|
|
|
|
|
|
|
4.125%, 81521 |
|
|
2,500 |
|
|
|
2,618 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Improvement Retail 0.9% |
|
Home Depot, Inc. (The), |
|
|
|
|
|
|
|
|
4.400%, 4-1-21 |
|
|
5,000 |
|
|
|
5,441 |
|
|
|
|
|
|
|
|
|
|
|
Household Products 0.5% |
|
Procter & Gamble Company (The), |
|
|
|
|
|
|
|
|
8.000%, 9-1-24 |
|
|
2,000 |
|
|
|
2,963 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.1% |
|
General Electric Capital Corporation, |
|
|
|
|
|
|
|
|
5.625%, 5-1-18 |
|
|
6,000 |
|
|
|
6,566 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 1.8% |
|
AT&T Inc., |
|
|
|
|
|
|
|
|
3.875%, 8-15-21 |
|
|
2,950 |
|
|
|
3,039 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
8.750%, 11-1-18 |
|
|
5,500 |
|
|
|
7,373 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,412 |
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 1.7% |
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
|
|
|
|
5.375%, 3-15-20 |
|
|
5,500 |
|
|
|
5,469 |
|
Morgan Stanley, |
|
|
|
|
|
|
|
|
4.100%, 1-26-15 |
|
|
5,000 |
|
|
|
4,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,239 |
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 0.5% |
|
International Business Machines Corporation, |
|
|
|
|
|
|
|
|
7.625%, 10-15-18 |
|
|
2,000 |
|
|
|
2,655 |
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 0.7% |
|
Prudential Financial, Inc., |
|
|
|
|
|
|
|
|
4.750%, 9-17-15 |
|
|
4,000 |
|
|
|
4,178 |
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 2.7% |
|
Dominion Resources, Inc., |
|
|
|
|
|
|
|
|
5.250%, 8-1-33 |
|
|
2,500 |
|
|
|
2,839 |
|
Duke Energy Carolinas, LLC, |
|
|
|
|
|
|
|
|
4.300%, 6-15-20 |
|
|
2,000 |
|
|
|
2,212 |
|
Duke Energy Indiana, Inc., |
|
|
|
|
|
|
|
|
3.750%, 7-15-20 |
|
|
3,000 |
|
|
|
3,194 |
|
NorthWestern Corporation, |
|
|
|
|
|
|
|
|
6.340%, 4-1-19 |
|
|
3,000 |
|
|
|
3,523 |
|
Pacific Gas and Electric Company, |
|
|
|
|
|
|
|
|
3.500%, 10-1-20 |
|
|
4,000 |
|
|
|
4,105 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,873 |
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 1.1% |
|
Xerox Corporation, |
|
|
|
|
|
|
|
|
6.350%, 5-15-18 |
|
|
5,952 |
|
|
|
6,773 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 2.0% |
|
Baker Hughes Incorporated, |
|
|
|
|
|
|
|
|
3.200%, 8-15-21 (A) |
|
|
2,000 |
|
|
|
2,019 |
|
Enterprise Products Operating LLC, |
|
|
|
|
|
|
|
|
4.050%, 2-15-22 |
|
|
2,000 |
|
|
|
2,007 |
|
Halliburton Company: |
|
|
|
|
|
|
|
|
6.150%, 9-15-19 |
|
|
4,000 |
|
|
|
4,849 |
|
6.750%, 2-1-27 |
|
|
1,400 |
|
|
|
1,767 |
|
Schlumberger Investment S.A. (GTD by Schlumberger Limited), |
|
|
|
|
|
|
|
|
3.300%, 9-14-21 (A) |
|
|
1,500 |
|
|
|
1,504 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,146 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 0.7% |
|
EOG Resources, Inc., |
|
|
|
|
|
|
|
|
2.500%, 2-1-16 |
|
|
4,000 |
|
|
|
4,085 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 1.1% |
|
Maritimes & Northeast Pipeline, L.L.C., |
|
|
|
|
|
|
|
|
7.500%, 5-31-14 (A) |
|
|
3,675 |
|
|
|
3,973 |
|
Tennessee Gas Pipeline Company, |
|
|
|
|
|
|
|
|
7.000%, 3-15-27 |
|
|
2,000 |
|
|
|
2,325 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,298 |
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 2.7% |
|
Bank of America Corporation: |
|
|
|
|
|
|
|
|
3.625%, 3-17-16 |
|
|
4,000 |
|
|
|
3,643 |
|
6.500%, 8-1-16 |
|
|
2,000 |
|
|
|
1,987 |
|
ING Bank N.V., |
|
|
|
|
|
|
|
|
4.000%, 3-15-16 (A) |
|
|
3,000 |
|
|
|
3,020 |
|
|
|
|
|
|
|
|
|
|
JPMorgan Chase & Co., |
|
|
|
|
|
|
|
|
6.000%, 1-15-18 |
|
|
6,000 |
|
|
|
6,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,339 |
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.3% |
|
H.J. Heinz Company, |
|
|
|
|
|
|
|
|
3.125%, 9-12-21 |
|
|
1,500 |
|
|
|
1,496 |
|
Kraft Foods Inc., |
|
|
|
|
|
|
|
|
5.375%, 2-10-20 |
|
|
5,500 |
|
|
|
6,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,728 |
|
|
|
|
|
|
|
|
|
|
|
Paper Products 0.0% |
|
Westvaco Corporation, |
|
|
|
|
|
|
|
|
7.500%, 6-15-27 |
|
|
236 |
|
|
|
268 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 1.0% |
|
Express Scripts, Inc., |
|
|
|
|
|
|
|
|
3.125%, 5-15-16 |
|
|
3,000 |
|
|
|
3,031 |
|
GlaxoSmithKline Capital Inc., |
|
|
|
|
|
|
|
|
5.650%, 5-15-18 |
|
|
2,500 |
|
|
|
3,026 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,057 |
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 2.3% |
|
Berkshire Hathaway Inc., |
|
|
|
|
|
|
|
|
3.750%, 8-15-21 |
|
|
5,000 |
|
|
|
5,079 |
|
Fidelity National Financial, Inc., |
|
|
|
|
|
|
|
|
6.600%, 5-15-17 |
|
|
8,000 |
|
|
|
8,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,513 |
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 0.7% |
|
PNC Funding Corp, |
|
|
|
|
|
|
|
|
4.250%, 9-21-15 |
|
|
4,000 |
|
|
|
4,322 |
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.8% |
|
YUM! Brands, Inc., |
|
|
|
|
|
|
|
|
6.250%, 3-15-18 |
|
|
3,792 |
|
|
|
4,488 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 0.5% |
|
Broadcom Corporation, |
|
|
|
|
|
|
|
|
2.375%, 11-1-15 (A) |
|
|
3,000 |
|
|
|
3,028 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 1.2% |
|
Lubrizol Corporation (The), |
|
|
|
|
|
|
|
|
8.875%, 2-1-19 |
|
|
5,000 |
|
|
|
6,788 |
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.1% |
|
CA, Inc., |
|
|
|
|
|
|
|
|
5.375%, 12-1-19 |
|
|
6,000 |
|
|
|
6,609 |
|
|
|
|
|
|
|
|
|
|
|
Water Utilities 0.4% |
|
California Water Service Company, |
|
|
|
|
|
|
|
|
5.875%, 5-1-19 |
|
|
2,000 |
|
|
|
2,386 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.0% |
|
America Movil, S.A.B. de C.V., |
|
|
|
|
|
|
|
|
5.000%, 3-30-20 |
|
|
5,500 |
|
|
|
5,808 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE DEBT SECURITIES 60.4% |
|
|
$ |
354,111 |
|
(Cost: $337,742) |
|
|
|
|
|
|
|
|
|
|
|
MORTGAGE-BACKED SECURITIES |
|
|
|
|
|
|
|
|
Commercial Mortgage-Backed Securities 1.9% |
|
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2005-2, |
|
|
|
|
|
|
|
|
4.783%, 7-10-43 (B) |
|
|
2,368 |
|
|
|
2,392 |
|
Bear Stearns Commercial Mortgage Securities Inc., Series 2000-WF1 Trust Fund, |
|
|
|
|
|
|
|
|
6.500%, 2-15-32 |
|
|
150 |
|
|
|
68 |
|
Deutsche Mortgage and Asset Receiving Corporation COMM 2005-C6 Commercial Mortgage Pass-Through Certificates, |
|
|
|
|
|
|
|
|
5.144%, 6-10-44 |
|
|
6,000 |
|
|
|
6,076 |
|
|
|
|
|
|
|
|
|
|
Hometown Commercial Capital, LLC Hometown Commercial Mortgage Pass-Through Notes 2006-1, |
|
|
|
|
|
|
|
|
5.506%, 111138 (A) |
|
|
154 |
|
|
|
91 |
|
J.P. Morgan Chase Commercial Mortgage Securities Corp., Commercial Mortgage Pass-Through Certificates, Series 2004-C1, |
|
|
|
|
|
|
|
|
4.719%, 11538 |
|
|
2,000 |
|
|
|
2,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,730 |
|
|
|
|
|
|
|
|
|
|
|
Non-Agency REMIC/CMO 0.6% |
|
MASTR Adjustable Rate Mortgage Trust 2005-1, |
|
|
|
|
|
|
|
|
3.345%, 32535 (B) |
|
|
2,626 |
|
|
|
253 |
|
Merrill Lynch Mortgage Trust 2005-CIP1, |
|
|
|
|
|
|
|
|
4.949%, 71238 (B) |
|
|
2,000 |
|
|
|
2,044 |
|
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-1, |
|
|
|
|
|
|
|
|
2.502%, 22534 (B) |
|
|
618 |
|
|
|
71 |
|
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-3AC, |
|
|
|
|
|
|
|
|
2.412%, 32534 (B) |
|
|
1,156 |
|
|
|
138 |
|
Structured Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2004-5, |
|
|
|
|
|
|
|
|
2.918%, 52534 (B) |
|
|
1,052 |
|
|
|
29 |
|
Wells Fargo Mortgage Pass-Through Certificates, Series 2003-10, |
|
|
|
|
|
|
|
|
4.500%, 92518 |
|
|
1,155 |
|
|
|
1,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,722 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MORTGAGE-BACKED SECURITIES 2.5% |
|
|
$ |
14,452 |
|
(Cost: $18,748) |
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS TAXABLE |
|
California 1.6% |
|
|
|
|
|
|
|
|
Stockton, CA, 2007 Taxable Pension Oblig Bonds, Ser A, |
|
|
|
|
|
|
|
|
5.140%, 9117 |
|
|
9,155 |
|
|
|
9,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Massachusetts 0.5% |
|
|
|
|
|
|
|
|
Cmnwlth of MA, Fed Hwy Grant Anticipation Notes (Accelerated Bridge Prog), Ser 2010A, |
|
|
|
|
|
|
|
|
4.285%, 121518 |
|
|
2,500 |
|
|
|
2,785 |
|
|
|
|
|
|
|
|
|
|
|
|
|
New York 0.8% |
|
|
|
|
|
|
|
|
NYC Indl Dev Agy, Rental Rev Bonds (Yankee Stadium Proj), Ser 2009, |
|
|
|
|
|
|
|
|
11.000%, 3129 (A) |
|
|
4,000 |
|
|
|
4,887 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MUNICIPAL BONDS TAXABLE 2.9% |
|
|
|
|
|
$ |
17,227 |
|
(Cost: $15,453) |
|
|
|
|
|
|
|
|
|
OTHER GOVERNMENT SECURITIES 0.4% |
|
Canada |
|
|
|
|
|
|
|
|
Province de Quebec, 7.140%, 22726 |
|
|
1,500 |
|
|
$ |
2,088 |
|
|
|
|
|
|
|
|
|
|
(Cost: $1,539) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS |
|
Agency Obligations 1.6% |
|
|
|
|
|
|
|
|
Private Export Funding Corporation, |
|
|
|
|
|
|
|
|
4.375%, 31519 |
|
|
8,000 |
|
|
|
9,282 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 24.8% |
|
Federal Home Loan Mortgage Corporation Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
5.000%, 51519 |
|
|
1,000 |
|
|
|
1,102 |
|
5.000%, 51523 |
|
|
1,500 |
|
|
|
1,663 |
|
5.000%, 91531 (C) |
|
|
1,018 |
|
|
|
46 |
|
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates: |
|
|
|
|
|
|
|
|
5.000%, 6123 |
|
|
3,952 |
|
|
|
4,246 |
|
4.000%, 7125 |
|
|
5,408 |
|
|
|
5,702 |
|
4.500%, 61527 |
|
|
3,502 |
|
|
|
3,667 |
|
|
|
|
|
|
|
|
|
|
4.500%, 51532 |
|
|
4,000 |
|
|
|
4,355 |
|
4.000%, 111536 |
|
|
2,757 |
|
|
|
2,895 |
|
4.500%, 51539 |
|
|
1,650 |
|
|
|
1,763 |
|
Federal National Mortgage Association Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
4.780%, 12517 |
|
|
3,077 |
|
|
|
3,152 |
|
5.000%, 32518 |
|
|
3,019 |
|
|
|
3,255 |
|
5.000%, 62518 |
|
|
2,173 |
|
|
|
2,376 |
|
3.000%, 31525 |
|
|
4,616 |
|
|
|
4,807 |
|
4.000%, 22526 |
|
|
4,526 |
|
|
|
4,788 |
|
3.500%, 31526 |
|
|
3,332 |
|
|
|
3,499 |
|
5.000%, 32529 |
|
|
674 |
|
|
|
676 |
|
4.500%, 122534 |
|
|
1,060 |
|
|
|
1,124 |
|
4.000%, 101535 |
|
|
5,702 |
|
|
|
6,127 |
|
5.500%, 71536 |
|
|
3,006 |
|
|
|
3,213 |
|
5.500%, 112536 (C) |
|
|
5,540 |
|
|
|
789 |
|
4.500%, 32537 |
|
|
4,566 |
|
|
|
4,815 |
|
5.500%, 42537 |
|
|
3,072 |
|
|
|
3,393 |
|
4.500%, 91537 |
|
|
5,155 |
|
|
|
5,445 |
|
4.000%, 32539 |
|
|
2,083 |
|
|
|
2,165 |
|
4.000%, 52539 |
|
|
3,532 |
|
|
|
3,758 |
|
4.500%, 81539 |
|
|
5,379 |
|
|
|
5,867 |
|
3.000%, 112539 |
|
|
4,120 |
|
|
|
4,266 |
|
4.500%, 62540 |
|
|
4,202 |
|
|
|
4,566 |
|
4.500%, 102540 |
|
|
4,750 |
|
|
|
5,182 |
|
4.750%, 121540 |
|
|
2,810 |
|
|
|
3,057 |
|
5.000%, 72550 |
|
|
4,707 |
|
|
|
5,160 |
|
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: |
|
|
|
|
|
|
|
|
5.506%, 4117 |
|
|
3,838 |
|
|
|
4,365 |
|
4.500%, 6119 |
|
|
1,222 |
|
|
|
1,310 |
|
4.500%, 8119 |
|
|
1,697 |
|
|
|
1,819 |
|
4.500%, 9119 |
|
|
2,796 |
|
|
|
2,979 |
|
5.500%, 10121 |
|
|
4,355 |
|
|
|
4,738 |
|
6.000%, 6122 |
|
|
2,994 |
|
|
|
3,260 |
|
6.000%, 9122 |
|
|
4,379 |
|
|
|
4,767 |
|
5.000%, 9123 |
|
|
2,995 |
|
|
|
3,222 |
|
4.000%, 3124 |
|
|
4,952 |
|
|
|
5,230 |
|
4.500%, 72524 |
|
|
1,000 |
|
|
|
1,088 |
|
5.000%, 62532 |
|
|
2,062 |
|
|
|
2,145 |
|
5.500%, 2133 |
|
|
863 |
|
|
|
943 |
|
5.500%, 2135 |
|
|
2,462 |
|
|
|
2,724 |
|
Government National Mortgage Association Agency REMIC/CMO, |
|
|
|
|
|
|
|
|
0.483%, 61745 (B)(C) |
|
|
791 |
|
|
|
19 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
145,528 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS 26.4% |
|
|
|
|
|
$ |
154,810 |
|
(Cost: $150,605) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT OBLIGATIONS |
|
Treasury Obligations 4.7% |
|
|
|
|
|
|
|
|
United States Treasury Bonds, |
|
|
|
|
|
|
|
|
8.000%, 111521 |
|
|
1,000 |
|
|
|
1,564 |
|
United States Treasury Notes: |
|
|
|
|
|
|
|
|
3.625%, 81519 |
|
|
2,000 |
|
|
|
2,305 |
|
3.625%, 21521 |
|
|
10,000 |
|
|
|
11,569 |
|
3.125%, 51521 |
|
|
11,000 |
|
|
|
12,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS 4.7% |
|
|
|
|
|
$ |
27,667 |
|
(Cost: $24,812) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Commercial Paper 1.4% |
|
|
|
|
|
|
|
|
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited), |
|
|
|
|
|
|
|
|
0.120%, 101811 (D) |
|
|
3,000 |
|
|
|
3,000 |
|
Sonoco Products Co., |
|
|
|
|
|
|
|
|
0.310%, 10311 (D) |
|
|
5,337 |
|
|
|
5,337 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,337 |
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.1% |
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (E) |
|
|
723 |
|
|
|
723 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 1.5% |
|
$ |
9,060 |
|
(Cost: $9,060) |
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 98.8% |
|
$ |
579,481 |
|
(Cost: $558,026) |
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 1.2% |
|
|
7,289 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
$ |
586,770 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities |
|
$ |
|
|
|
$ |
66 |
|
|
$ |
|
|
Corporate Debt Securities |
|
|
|
|
|
|
354,111 |
|
|
|
|
|
Mortgage-Backed Securities |
|
|
|
|
|
|
14,452 |
|
|
|
|
|
Municipal Bonds |
|
|
|
|
|
|
17,227 |
|
|
|
|
|
Other Government Securities |
|
|
|
|
|
|
2,088 |
|
|
|
|
|
United States Government Agency Obligations |
|
|
|
|
|
|
154,810 |
|
|
|
|
|
United States Government Obligations |
|
|
|
|
|
|
27,667 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
9,060 |
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
579,481 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $28,643 or 4.9% of net assets. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(C) |
Interest Only Security. Amount shown as principal represents notional amount for computation of interest. |
(D) |
Rate shown is the yield to maturity at September 30, 2011. |
(E) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
558,031 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
28,455 |
|
Gross unrealized depreciation |
|
|
(7,005 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
21,450 |
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
Core Equity (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON
STOCKS |
|
Shares |
|
|
Value |
|
|
|
Aerospace & Defense 7.1% |
|
|
|
|
|
Honeywell International Inc. |
|
|
147 |
|
|
$ |
6,464 |
|
Precision Castparts Corp. |
|
|
119 |
|
|
|
18,423 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,887 |
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 0.9% |
|
|
|
|
|
Intuit Inc. |
|
|
70 |
|
|
|
3,311 |
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 0.9% |
|
|
|
|
|
Johnson Controls, Inc. |
|
|
114 |
|
|
|
2,996 |
|
|
|
|
|
|
|
|
|
|
|
|
Automobile Manufacturers 2.1% |
|
|
|
|
|
Bayerische Motoren Werke AG (A) |
|
|
113 |
|
|
|
7,452 |
|
|
|
|
|
|
|
|
|
|
|
|
Brewers 2.5% |
|
|
|
|
|
Anheuser-Busch Inbev S.A., ADR |
|
|
163 |
|
|
|
8,636 |
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 5.4% |
|
|
|
|
|
CBS Corporation, Class B |
|
|
710 |
|
|
|
14,461 |
|
Discovery Holding Company, Class A (B) |
|
|
108 |
|
|
|
4,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,528 |
|
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 4.9% |
|
|
|
|
|
DirecTV Group, Inc. (The) (B) |
|
|
150 |
|
|
|
6,353 |
|
Time Warner Cable Inc. |
|
|
171 |
|
|
|
10,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,044 |
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.4% |
|
|
|
|
|
Juniper Networks, Inc. (B) |
|
|
292 |
|
|
|
5,043 |
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 5.6% |
|
|
|
|
|
Apple Inc. (B) |
|
|
50 |
|
|
|
19,174 |
|
|
|
|
|
|
|
|
|
|
|
|
Computer Storage & Peripherals 0.8% |
|
|
|
|
|
NetApp, Inc. (B) |
|
|
80 |
|
|
|
2,708 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 1.0% |
|
Cummins Inc. |
|
|
41 |
|
|
|
3,370 |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 3.5% |
|
|
|
|
|
Capital One Financial Corporation |
|
|
302 |
|
|
|
11,967 |
|
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 2.0% |
|
|
|
|
|
MasterCard Incorporated, Class A |
|
|
22 |
|
|
|
6,914 |
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 3.0% |
|
|
|
|
|
Macys Inc. |
|
|
399 |
|
|
|
10,500 |
|
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 2.1% |
|
|
|
|
|
Monsanto Company |
|
|
117 |
|
|
|
7,025 |
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 1.4% |
|
|
|
|
|
Covidien plc |
|
|
111 |
|
|
|
4,900 |
|
|
|
|
|
|
|
|
|
|
|
|
Hypermarkets & Super Centers 2.0% |
|
|
|
|
|
Costco Wholesale Corporation |
|
|
83 |
|
|
|
6,813 |
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 1.0% |
|
|
|
|
|
Air Products and Chemicals, Inc. |
|
|
48 |
|
|
|
3,635 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.4% |
|
|
|
|
|
Parker Hannifin Corporation |
|
|
76 |
|
|
|
4,821 |
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 4.8% |
|
|
|
|
|
ConocoPhillips |
|
|
266 |
|
|
|
16,814 |
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 1.1% |
|
|
|
|
|
AT&T Inc. |
|
|
138 |
|
|
|
3,924 |
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 3.2% |
|
|
|
|
|
Google Inc., Class A (B) |
|
|
22 |
|
|
|
11,162 |
|
|
|
|
|
|
|
|
|
|
|
|
Motorcycle Manufacturers 4.9% |
|
|
|
|
|
Harley-Davidson, Inc. |
|
|
502 |
|
|
|
17,242 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 3.6% |
|
|
|
|
|
Halliburton Company |
|
|
203 |
|
|
|
6,191 |
|
National Oilwell Varco, Inc. |
|
|
58 |
|
|
|
2,986 |
|
Schlumberger Limited |
|
|
60 |
|
|
|
3,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,734 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 1.6% |
|
|
|
|
|
Noble Energy, Inc. |
|
|
78 |
|
|
|
5,493 |
|
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 2.6% |
|
|
|
|
|
JPMorgan Chase & Co. |
|
|
306 |
|
|
|
9,205 |
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 2.6% |
|
|
|
|
|
Mead Johnson Nutrition Company |
|
|
134 |
|
|
|
9,238 |
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 1.7% |
|
|
|
|
|
Estee Lauder Companies Inc. (The), Class A |
|
|
69 |
|
|
|
6,023 |
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 5.0% |
|
|
|
|
|
Allergan, Inc. |
|
|
109 |
|
|
|
8,947 |
|
Johnson & Johnson |
|
|
134 |
|
|
|
8,556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,503 |
|
|
|
|
|
|
|
|
|
|
|
|
Railroads 2.6% |
|
|
|
|
|
Union Pacific Corporation |
|
|
111 |
|
|
|
9,030 |
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 2.3% |
|
|
|
|
|
McDonalds Corporation |
|
|
90 |
|
|
|
7,886 |
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 5.3% |
|
|
|
|
|
Altera Corporation |
|
|
86 |
|
|
|
2,715 |
|
Broadcom Corporation, Class A |
|
|
259 |
|
|
|
8,631 |
|
Microchip Technology Incorporated |
|
|
235 |
|
|
|
7,302 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,648 |
|
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 2.5% |
|
|
|
|
|
Coca-Cola Company (The) |
|
|
128 |
|
|
|
8,680 |
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 2.8% |
|
|
|
|
|
Oracle Corporation |
|
|
346 |
|
|
|
9,935 |
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 2.2% |
|
|
|
|
|
Philip Morris International Inc. |
|
|
125 |
|
|
|
7,808 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 97.8% |
|
|
$ |
341,049 |
|
(Cost: $334,913) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 1.4% |
|
|
|
|
|
Shell International Finance B.V. and Royal
Dutch Shell plc (GTD by Royal Dutch Shell plc), |
|
|
|
|
|
|
|
|
0.070%, 102411 (C) |
|
$ |
2,000 |
|
|
|
2,000 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
0.310%, 10411 (C) |
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,000 |
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.7% |
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (D) |
|
|
2,457 |
|
|
|
2,457 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 2.1% |
|
|
$ |
7,457 |
|
(Cost: $7,457) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.9% |
|
|
$ |
348,506 |
|
(Cost: $342,370) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.1% |
|
|
|
477 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
348,983 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly
transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an
asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in
pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing
the asset or liability developed based on the best information available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall
valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
$ |
74,196 |
|
|
$ |
7,452 |
|
|
$ |
|
|
Other Sectors |
|
|
259,401 |
|
|
|
|
|
|
|
|
|
Total Common Stocks |
|
$ |
333,597 |
|
|
$ |
7,452 |
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
7,457 |
|
|
|
|
|
Total |
|
$ |
333,597 |
|
|
$ |
14,909 |
|
|
$ |
|
|
During the period ended September 30, 2011, securities totaling $7,452 were transferred from Level 1 to Level 2. These
transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.
(A) |
Listed on an exchange outside the United States. |
(B) |
No dividends were paid during the preceding 12 months. |
(C) |
Rate shown is the yield to maturity at September 30, 2011. |
(D) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR |
= American Depositary Receipts |
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
342,615 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
31,347 |
|
Gross unrealized depreciation |
|
|
(25,456 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
5,891 |
|
|
|
|
SCHEDULE OF INVESTMENTS Dividend Opportunities
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
Aerospace & Defense 5.7% |
|
Boeing Company (The) |
|
|
135 |
|
|
$ |
8,154 |
|
General Dynamics Corporation |
|
|
61 |
|
|
|
3,496 |
|
Honeywell International Inc. |
|
|
86 |
|
|
|
3,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,433 |
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 1.3% |
|
T. Rowe Price Group, Inc. |
|
|
72 |
|
|
|
3,451 |
|
|
|
|
|
|
|
|
|
|
|
Brewers 0.5% |
|
Anheuser-Busch Inbev S.A., ADR |
|
|
24 |
|
|
|
1,287 |
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.0% |
|
CBS Corporation, Class B |
|
|
138 |
|
|
|
2,821 |
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 2.8% |
|
Wynn Resorts, Limited |
|
|
66 |
|
|
|
7,610 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.5% |
|
QUALCOMM Incorporated |
|
|
83 |
|
|
|
4,053 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 1.4% |
|
Fluor Corporation |
|
|
82 |
|
|
|
3,818 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 5.7% |
|
Caterpillar Inc. |
|
|
74 |
|
|
|
5,472 |
|
Cummins Inc. |
|
|
42 |
|
|
|
3,405 |
|
Deere & Company |
|
|
101 |
|
|
|
6,519 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,396 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.1% |
|
Capital One Financial Corporation |
|
|
142 |
|
|
|
5,631 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 2.3% |
|
Visa Inc., Class A |
|
|
74 |
|
|
|
6,360 |
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 0.4% |
|
Diageo plc, ADR |
|
|
16 |
|
|
|
1,203 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 2.4% |
|
Wells Fargo & Company |
|
|
274 |
|
|
|
6,607 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 0.7% |
|
Dow Chemical Company (The) |
|
|
82 |
|
|
|
1,838 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 2.6% |
|
Rio Tinto plc, ADR |
|
|
88 |
|
|
|
3,893 |
|
Southern Copper Corporation |
|
|
121 |
|
|
|
3,013 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,906 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 1.3% |
|
Emerson Electric Co. |
|
|
87 |
|
|
|
3,609 |
|
|
|
|
|
|
|
|
|
|
|
Home Improvement Retail 0.4% |
|
Home Depot, Inc. (The) |
|
|
37 |
|
|
|
1,205 |
|
|
|
|
|
|
|
|
|
|
|
Homebuilding 1.2% |
|
D.R. Horton, Inc. |
|
|
362 |
|
|
|
3,276 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.5% |
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
105 |
|
|
|
4,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 2.3% |
|
Colgate-Palmolive Company |
|
|
40 |
|
|
|
3,561 |
|
Procter & Gamble Company (The) |
|
|
42 |
|
|
|
2,633 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,194 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.5% |
|
General Electric Company |
|
|
273 |
|
|
|
4,155 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 0.8% |
|
Air Products and Chemicals, Inc. |
|
|
30 |
|
|
|
2,283 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 0.5% |
|
Eaton Corporation |
|
|
15 |
|
|
|
547 |
|
Ingersoll-Rand plc |
|
|
27 |
|
|
|
769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,316 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 2.5% |
|
ConocoPhillips |
|
|
23 |
|
|
|
1,462 |
|
Exxon Mobil Corporation |
|
|
73 |
|
|
|
5,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,786 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 1.8% |
|
AT&T Inc. |
|
|
173 |
|
|
|
4,937 |
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 2.1% |
|
Goldman Sachs Group, Inc. (The) |
|
|
59 |
|
|
|
5,578 |
|
|
|
|
|
|
|
|
|
|
|
Mortgage REITs 1.5% |
|
American Capital Agency Corp. |
|
|
102 |
|
|
|
2,752 |
|
Annaly Capital Management, Inc. |
|
|
80 |
|
|
|
1,335 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,087 |
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 1.5% |
|
Walt Disney Company (The) |
|
|
132 |
|
|
|
3,969 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 1.9% |
|
Seadrill Limited |
|
|
192 |
|
|
|
5,291 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 10.4% |
|
Baker Hughes Incorporated |
|
|
78 |
|
|
|
3,580 |
|
Halliburton Company |
|
|
168 |
|
|
|
5,115 |
|
National Oilwell Varco, Inc. |
|
|
152 |
|
|
|
7,785 |
|
Schlumberger Limited |
|
|
199 |
|
|
|
11,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,343 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 2.4% |
|
Anadarko Petroleum Corporation |
|
|
41 |
|
|
|
2,604 |
|
Apache Corporation |
|
|
48 |
|
|
|
3,824 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,428 |
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 2.5% |
|
JPMorgan Chase & Co. |
|
|
234 |
|
|
|
7,039 |
|
|
|
|
|
|
|
|
|
|
|
Personal Products 1.1% |
|
Estee Lauder Companies Inc. (The), Class A |
|
|
34 |
|
|
|
3,013 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 4.1% |
|
Johnson & Johnson |
|
|
82 |
|
|
|
5,209 |
|
Merck & Co., Inc. |
|
|
29 |
|
|
|
940 |
|
Pfizer Inc. |
|
|
288 |
|
|
|
5,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,239 |
|
|
|
|
|
|
|
|
|
|
|
Railroads 3.4% |
|
Norfolk Southern Corporation |
|
|
38 |
|
|
|
2,316 |
|
Union Pacific Corporation |
|
|
85 |
|
|
|
6,960 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 4.1% |
|
McDonalds Corporation |
|
|
84 |
|
|
|
7,360 |
|
Starbucks Corporation |
|
|
95 |
|
|
|
3,537 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,897 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 3.9% |
|
Microchip Technology Incorporated |
|
|
334 |
|
|
|
10,389 |
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 1.6% |
|
Coca-Cola Company (The) |
|
|
65 |
|
|
|
4,395 |
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.4% |
|
Oracle Corporation |
|
|
136 |
|
|
|
3,904 |
|
|
|
|
|
|
|
|
|
|
|
Tobacco 5.1% |
|
Altria Group, Inc. |
|
|
173 |
|
|
|
4,641 |
|
Philip Morris International Inc. |
|
|
149 |
|
|
|
9,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,915 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 91.2% |
|
|
$ |
248,022 |
|
(Cost: $263,459) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 8.1% |
|
|
|
|
|
|
|
|
Danaher Corporation, |
|
|
|
|
|
|
|
|
0.070%, 10511 (A) |
|
$ |
4,000 |
|
|
|
4,000 |
|
General Mills, Inc., |
|
|
|
|
|
|
|
|
0.170%, 101711 (A) |
|
|
4,000 |
|
|
|
4,000 |
|
McCormick & Co. Inc., |
|
|
|
|
|
|
|
|
0.100%, 10311 (A) |
|
|
4,018 |
|
|
|
4,017 |
|
Sonoco Products Co., |
|
|
|
|
|
|
|
|
0.310%, 10311 (A) |
|
|
3,000 |
|
|
|
3,000 |
|
Straight-A Funding, LLC (GTD by Federal Financing Bank), |
|
|
|
|
|
|
|
|
0.130%, 101811 (A) |
|
|
3,000 |
|
|
|
3,000 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
0.310%, 10411 (A) |
|
|
4,000 |
|
|
|
4,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,017 |
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 1.3% |
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (B) |
|
|
3,613 |
|
|
|
3,613 |
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations Taxable 1.7% |
|
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York
(The)), |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
4,534 |
|
|
|
4,534 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 11.1% |
|
|
$ |
30,164 |
|
(Cost: $30,164) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 102.3% |
|
|
$ |
278,186 |
|
(Cost: $293,623) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (2.3%) |
|
|
|
(6,229 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
271,957 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair
value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of
September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
248,022 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
30,164 |
|
|
|
|
|
Total |
|
$ |
248,022 |
|
|
$ |
30,164 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Rate shown is the yield to maturity at September 30, 2011. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
293,631 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
11,824 |
|
Gross unrealized depreciation |
|
|
(27,269 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(15,445 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Energy (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
Auto Parts & Equipment 1.1% |
|
BorgWarner Inc. (A) |
|
|
9 |
|
|
$ |
572 |
|
|
|
|
|
|
|
|
|
|
|
Coal & Consumable Fuels 3.0% |
|
Alpha Natural Resources, Inc. (A) |
|
|
12 |
|
|
|
219 |
|
Arch Coal, Inc. |
|
|
28 |
|
|
|
415 |
|
Cameco Corporation |
|
|
16 |
|
|
|
298 |
|
Peabody Energy Corporation |
|
|
18 |
|
|
|
601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,533 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 4.2% |
|
Chicago Bridge & Iron Company N.V., NY Shares |
|
|
22 |
|
|
|
643 |
|
Fluor Corporation |
|
|
24 |
|
|
|
1,119 |
|
Jacobs Engineering Group Inc. (A) |
|
|
10 |
|
|
|
334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,096 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 1.5% |
|
Caterpillar Inc. |
|
|
3 |
|
|
|
255 |
|
Cummins Inc. |
|
|
6 |
|
|
|
522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
777 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 1.4% |
|
BHP Billiton Limited, ADR |
|
|
10 |
|
|
|
688 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.3% |
|
Gardner Denver, Inc. |
|
|
11 |
|
|
|
674 |
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 9.7% |
|
ConocoPhillips |
|
|
21 |
|
|
|
1,301 |
|
Exxon Mobil Corporation |
|
|
23 |
|
|
|
1,663 |
|
Occidental Petroleum Corporation |
|
|
19 |
|
|
|
1,384 |
|
Suncor Energy Inc. |
|
|
22 |
|
|
|
570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,918 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 5.3% |
|
ENSCO International Incorporated |
|
|
11 |
|
|
|
439 |
|
Helmerich & Payne, Inc. |
|
|
29 |
|
|
|
1,187 |
|
Nabors Industries Ltd. (A) |
|
|
28 |
|
|
|
340 |
|
Seadrill Limited |
|
|
26 |
|
|
|
721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,687 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 29.2% |
|
Baker Hughes Incorporated |
|
|
34 |
|
|
|
1,581 |
|
C&J Energy Services, Inc. (A) |
|
|
24 |
|
|
|
401 |
|
Cameron International Corporation (A) |
|
|
29 |
|
|
|
1,192 |
|
Core Laboratories N.V. |
|
|
13 |
|
|
|
1,208 |
|
Dresser-Rand Group Inc. (A) |
|
|
19 |
|
|
|
784 |
|
Dril-Quip, Inc. (A) |
|
|
11 |
|
|
|
580 |
|
FMC Technologies, Inc. (A) |
|
|
27 |
|
|
|
1,028 |
|
Halliburton Company |
|
|
48 |
|
|
|
1,468 |
|
McDermott International, Inc. (A) |
|
|
18 |
|
|
|
194 |
|
National Oilwell Varco, Inc. |
|
|
45 |
|
|
|
2,296 |
|
Schlumberger Limited |
|
|
37 |
|
|
|
2,201 |
|
Superior Energy Services, Inc. (A) |
|
|
25 |
|
|
|
649 |
|
Tenaris S.A., ADR |
|
|
21 |
|
|
|
537 |
|
Weatherford International Ltd. (A) |
|
|
64 |
|
|
|
780 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,899 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 28.3% |
|
Anadarko Petroleum Corporation |
|
|
27 |
|
|
|
1,700 |
|
Apache Corporation |
|
|
17 |
|
|
|
1,380 |
|
Cabot Oil & Gas Corporation |
|
|
14 |
|
|
|
873 |
|
CNOOC Limited, ADR |
|
|
4 |
|
|
|
585 |
|
Concho Resources Inc. (A) |
|
|
7 |
|
|
|
484 |
|
Continental Resources, Inc. (A) |
|
|
31 |
|
|
|
1,522 |
|
Devon Energy Corporation |
|
|
7 |
|
|
|
399 |
|
EOG Resources, Inc. |
|
|
10 |
|
|
|
703 |
|
Kosmos Energy Ltd. (A) |
|
|
32 |
|
|
|
375 |
|
Newfield Exploration Company (A) |
|
|
30 |
|
|
|
1,187 |
|
Noble Energy, Inc. |
|
|
15 |
|
|
|
1,051 |
|
Oasis Petroleum LLC (A) |
|
|
47 |
|
|
|
1,047 |
|
Plains Exploration and Production Company (A) |
|
|
21 |
|
|
|
471 |
|
Southwestern Energy Company (A) |
|
|
43 |
|
|
|
1,428 |
|
St. Mary Land & Exploration Company |
|
|
10 |
|
|
|
625 |
|
Ultra Petroleum Corp. (A) |
|
|
21 |
|
|
|
568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Refining & Marketing 0.7% |
|
|
|
|
|
|
|
|
Clean Energy Fuels Corp. (A) |
|
|
31 |
|
|
|
340 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 7.7% |
|
El Paso Corporation |
|
|
69 |
|
|
|
1,209 |
|
El Paso Pipeline Partners, L.P. |
|
|
25 |
|
|
|
881 |
|
Enbridge Inc. |
|
|
40 |
|
|
|
1,277 |
|
Williams Companies, Inc. (The) |
|
|
23 |
|
|
|
550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,917 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 93.4% |
|
|
$ |
47,499 |
|
(Cost: $55,305) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 10.7% |
|
Principal |
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10-3-11 (B) |
|
$ |
5,453 |
|
|
$ |
5,453 |
|
|
|
|
|
|
|
|
|
|
(Cost: $5,453) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 104.1% |
|
|
$ |
52,952 |
|
(Cost: $60,758) |
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (4.1%) |
|
|
|
|
|
|
(2,065 |
) |
|
|
NET ASSETS 100.0% |
|
|
$ |
50,887 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair
value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
47,499 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
5,453 |
|
|
|
|
|
Total |
|
$ |
47,499 |
|
|
$ |
5,453 |
|
|
$ |
|
|
There |
were no significant transfers between any levels during the period ended September 30, 2011. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
60,746 |
|
|
|
Gross unrealized appreciation |
|
|
2,410 |
|
Gross unrealized depreciation |
|
|
(10,204 |
) |
Net unrealized depreciation |
|
$ |
(7,794 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Global Bond (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Diversified Metals & Mining 0.7% |
|
|
|
|
|
|
|
|
Southern Copper Corporation |
|
|
3 |
|
|
$ |
64 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 0.3% |
|
|
|
|
|
Plains All American Pipeline, L.P. |
|
|
|
* |
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 0.3% |
|
|
|
|
|
|
|
|
Altria Group, Inc. |
|
|
1 |
|
|
|
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Water Utilities 0.2% |
|
|
|
|
|
|
|
|
Aguas Andinas S.A. (A) |
|
|
34 |
|
|
|
18 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 1.5% |
|
|
|
|
|
$ |
126 |
|
(Cost: $134) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
Principal |
|
|
|
|
|
|
|
Aerospace & Defense 1.7% |
|
|
|
|
|
|
|
|
Bombardier Inc., |
|
|
|
|
|
|
|
|
7.500%, 31518 (B) |
|
$ |
50 |
|
|
|
53 |
|
Embraer Overseas Limited, |
|
|
|
|
|
|
|
|
6.375%, 12417 |
|
|
100 |
|
|
|
107 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agricultural Products 1.3% |
|
|
|
|
|
|
|
|
CCL Finance Limited, |
|
|
|
|
|
|
|
|
9.500%, 81514 |
|
|
100 |
|
|
|
112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 1.7% |
|
|
|
|
|
|
|
|
Aeropuertos Argentina 2000 S.A., |
|
|
|
|
|
|
|
|
10.750%, 12120 (B) |
|
|
49 |
|
|
|
49 |
|
TAM Capital 2 Inc., |
|
|
|
|
|
|
|
|
9.500%, 12920 |
|
|
100 |
|
|
|
99 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
148 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 2.3% |
|
|
|
|
|
|
|
|
Globo Comunicacoe e Participacoes S.A., |
|
|
|
|
|
|
|
|
6.250%, 122049 (C) |
|
|
200 |
|
|
|
203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal & Consumable Fuels 2.3% |
|
|
|
|
|
|
|
|
Indo Integrated Energy II B.V., |
|
|
|
|
|
|
|
|
9.750%, 11516 |
|
|
100 |
|
|
|
97 |
|
PT Adaro Indonesia, |
|
|
|
|
|
|
|
|
7.625%, 102219 |
|
|
100 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 0.6% |
|
|
|
|
|
|
|
|
Central European Distribution Corporation, Convertible, |
|
|
|
|
|
|
|
|
3.000%, 31513 |
|
|
75 |
|
|
|
51 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 9.3% |
|
|
|
|
|
|
|
|
Banco Bradesco S.A., |
|
|
|
|
|
|
|
|
4.125%, 51616 (B) |
|
|
200 |
|
|
|
198 |
|
Banco Cruzeiro do Sul S.A., |
|
|
|
|
|
|
|
|
7.000%, 7813 |
|
|
115 |
|
|
|
107 |
|
Banco de Credito del Peru, |
|
|
|
|
|
|
|
|
4.750%, 31616 (B) |
|
|
100 |
|
|
|
97 |
|
Banco Santander Chile, S.A., |
|
|
|
|
|
|
|
|
3.750%, 92215 (B) |
|
|
100 |
|
|
|
100 |
|
Bancolombia S.A., |
|
|
|
|
|
|
|
|
4.250%, 11216 (B) |
|
|
100 |
|
|
|
98 |
|
Sberbank Rossii OAO, |
|
|
|
|
|
|
|
|
6.480%, 51513 |
|
|
100 |
|
|
|
104 |
|
State Bank of India, |
|
|
|
|
|
|
|
|
4.500%, 102314 |
|
|
100 |
|
|
|
102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
806 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.7% |
|
|
|
|
|
|
|
|
Glencore Funding LLC, |
|
|
|
|
|
|
|
|
6.000%, 41514 (B) |
|
|
60 |
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 4.6% |
|
|
|
|
|
|
|
|
Compania de Transporte de Energia Electrica en Alta Tension TRANSENER S.A., |
|
|
|
|
|
|
|
|
9.750%, 81521 (B) |
|
|
50 |
|
|
|
43 |
|
EEB International Ltd., |
|
|
|
|
|
|
|
|
8.750%, 103114 |
|
|
100 |
|
|
|
102 |
|
Empresa Distribuidora y Comercializadora Norte S.A., |
|
|
|
|
|
|
|
|
9.750%, 102522 (B) |
|
|
50 |
|
|
|
42 |
|
Majapahit Holding B.V., |
|
|
|
|
|
|
|
|
7.750%, 101716 |
|
|
100 |
|
|
|
111 |
|
Rural Electrification Corporation Limited, |
|
|
|
|
|
|
|
|
4.250%, 12516 |
|
|
100 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Distributors 1.0% |
|
|
|
|
|
|
|
|
Olam International Limited, |
|
|
|
|
|
|
|
|
7.500%, 81220 |
|
|
100 |
|
|
|
89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Homebuilding 1.2% |
|
|
|
|
|
|
|
|
URBI, Desarrollos Urbanos, S.A. de C.V., |
|
|
|
|
|
|
|
|
8.500%, 41916 |
|
|
100 |
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Appliances 0.9% |
|
|
|
|
|
|
|
|
Controladora Mabe, S.A. de C.V.: |
|
|
|
|
|
|
|
|
6.500%, 121515 |
|
|
50 |
|
|
|
51 |
|
6.500%, 121515 (B) |
|
|
25 |
|
|
|
26 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
77 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 2.2% |
|
China Resources Power Holdings Company Limited, |
|
|
|
|
|
|
|
|
3.750%, 8315 |
|
|
100 |
|
|
|
96 |
|
Listrindo Capital B.V., |
|
|
|
|
|
|
|
|
9.250%, 12915 (B) |
|
|
100 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.4% |
|
|
|
|
|
|
|
|
Jaiprakash Associates Limited, Convertible, |
|
|
|
|
|
|
|
|
0.000%, 91212 (D) |
|
|
100 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 0.3% |
|
|
|
|
|
|
|
|
iGATE Corporation, |
|
|
|
|
|
|
|
|
9.000%, 51 16 (B) |
|
|
25 |
|
|
|
23 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine 2.8% |
|
|
|
|
|
|
|
|
PB Issuer (No. 2) Limited, Convertible, |
|
|
|
|
|
|
|
|
1.750%, 41216 |
|
|
80 |
|
|
|
66 |
|
SCF Capital Limited, |
|
|
|
|
|
|
|
|
5.375%, 102717 |
|
|
200 |
|
|
|
181 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
247 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine Ports & Services 1.2% |
|
|
|
|
|
|
|
|
Novorossiysk Port Capital S.A., |
|
|
|
|
|
|
|
|
7.000%, 51712 |
|
|
100 |
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities 0.9% |
|
|
|
|
|
|
|
|
Black Hills Corporation, |
|
|
|
|
|
|
|
|
9.000%, 51514 |
|
|
65 |
|
|
|
75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 4.0% |
|
|
|
|
|
|
|
|
Lancer Finance Company (SPV) Limited, |
|
|
|
|
|
|
|
|
5.850%, 121216 (B) |
|
|
86 |
|
|
|
84 |
|
Noble Group Limited, |
|
|
|
|
|
|
|
|
4.875%, 8515 |
|
|
100 |
|
|
|
92 |
|
QGOG Atlantic/Alaskan Rigs Ltd., |
|
|
|
|
|
|
|
|
5.250%, 73018 (B) |
|
|
200 |
|
|
|
180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
356 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 1.1% |
|
|
|
|
|
Petroleum Geo-Services ASA, Convertible, |
|
|
|
|
|
|
|
|
2.700%, 12312 |
|
|
100 |
|
|
|
96 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 5.3% |
|
|
|
|
|
Essar Energy Investment Limited, Convertible, 4.250%, 2116 |
|
|
100 |
|
|
|
63 |
|
Novatek Finance Limited, 5.326%, 2316 (B) |
|
|
200 |
|
|
|
197 |
|
Pacific Rubiales Energy Corp., 8.750%, 111016 (B) |
|
|
100 |
|
|
|
107 |
|
Pan American Energy LLC, 7.875%, 5721 |
|
|
100 |
|
|
|
100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
467 |
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 2.7% |
|
|
|
|
|
|
|
|
Empresas Publicas de Medellin E.S.P., 8.375%, 2121 (E) |
|
|
COP60,000 |
|
|
|
31 |
|
TransCapital Limited, 5.670%, 3514 (B) |
|
$ |
200 |
|
|
|
201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
232 |
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 2.5% |
|
|
|
|
|
|
|
|
BFF International Limited, 7.250%, 12820 |
|
|
100 |
|
|
|
104 |
|
Bunge Limited Finance Corp., 5.350%, 41514 |
|
|
25 |
|
|
|
26 |
|
JBS Finance II Ltd., 8.250%, 12918 (B) |
|
|
100 |
|
|
|
83 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
213 |
|
|
|
|
|
|
|
|
|
|
Paper Products 0.3% |
|
|
|
|
|
|
|
|
Inversiones CMPC S.A., 4.750%, 11918 (B) |
|
|
25 |
|
|
|
25 |
|
|
|
|
|
|
|
|
|
|
Railroads 0.6% |
|
|
|
|
|
|
|
|
Kansas City Southern Railway Company (The), 8.000%, 6115 |
|
|
50 |
|
|
|
53 |
|
|
|
|
|
|
|
|
|
|
Steel 1.9% |
|
|
|
|
|
|
|
|
ArcelorMittal, 5.375%, 6113 |
|
|
75 |
|
|
|
77 |
|
Steel Capital S.A., 6.700%, 102517 |
|
|
100 |
|
|
|
85 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
162 |
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.2% |
|
|
|
|
|
|
|
|
VIP Finance Ireland Limited, 8.375%, 43013 |
|
|
100 |
|
|
|
100 |
|
|
|
TOTAL CORPORATE DEBT SECURITIES 56.0% |
|
|
$ |
4,860 |
|
(Cost: $5,140) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTHER GOVERNMENT SECURITIES |
|
|
|
|
|
|
|
|
Argentina 1.1% |
|
|
|
|
|
|
|
|
City of Buenos Aires, 12.500%, 4615 (B) |
|
|
100 |
|
|
|
99 |
|
|
|
|
|
|
|
|
|
|
Supranational 0.7% |
|
|
|
|
|
|
|
|
Central American Bank for Economic Integration, 5.375%, 92414 |
|
|
58 |
|
|
|
62 |
|
|
|
|
|
|
|
|
|
|
Venezuela 1.9% |
|
|
|
|
|
|
|
|
Corporacion Andina de Fomento, 3.750%, 11516 |
|
|
155 |
|
|
|
157 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OTHER GOVERNMENT SECURITIES 3.7% |
|
|
$ |
318 |
|
(Cost: $332) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT OBLIGATIONS |
|
Treasury Obligations 28.0% |
|
|
|
|
|
|
|
|
United States Treasury Bonds, 3.750%, 81541 |
|
|
100 |
|
|
|
117 |
|
United States Treasury Notes: 1.750%, 81512 |
|
|
2,150 |
|
|
|
2,180 |
|
2.125%, 81521 |
|
|
125 |
|
|
|
127 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS 28.0% |
|
|
$ |
2,424 |
|
(Cost: $2,412) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 14.4% |
|
|
|
|
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (F) |
|
|
1,250 |
|
|
$ |
1,250 |
|
|
|
|
|
|
|
|
|
|
(Cost: $1,250) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 103.6% |
|
|
$ |
8,978 |
|
(Cost: $9,268) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (3.6%) |
|
|
|
(312 |
) |
|
|
NET ASSETS 100.0% |
|
|
$ |
8,666 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly
transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an
asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in
pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing
the asset or liability developed based on the best information available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall
valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following tables summarize the valuation of the Portfolios investments by the above fair value hierarchy
levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
126 |
|
|
$ |
|
|
|
$ |
|
|
Corporate Debt Securities |
|
|
|
|
|
|
4,669 |
|
|
|
191 |
|
Other Government Securities |
|
|
|
|
|
|
318 |
|
|
|
|
|
United States Government Obligations |
|
|
|
|
|
|
2,424 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
1,250 |
|
|
|
|
|
Total |
|
$ |
126 |
|
|
$ |
8,661 |
|
|
$ |
191 |
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
4 |
|
|
$ |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
27 |
|
|
$ |
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair
value:
|
|
|
|
|
|
|
Corporate Debt Securities |
|
Beginning Balance 1111 |
|
$ |
267 |
|
Net realized gain (loss) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
|
(11 |
) |
Purchases |
|
|
|
|
Sales |
|
|
(11 |
) |
Transfers into Level 3 during the period |
|
|
|
|
Transfers out of Level 3 during the period |
|
|
(54 |
) |
Ending Balance 93011 |
|
$ |
191 |
|
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 93011 |
|
$ |
(11 |
) |
Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due to increased
market activity or information. There were no significant transfers between Level 1 and Level 2 during the period ended September 30, 2011.
The
following forward foreign currency contracts were outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Buy |
|
Chinese Yuan Renminbi |
|
Citibank, N.A. |
|
|
1,050 |
|
|
|
31113 |
|
|
$ |
|
|
|
$ |
5 |
|
Buy |
|
Chinese Yuan Renminbi |
|
Deutsche Bank AG |
|
|
1,050 |
|
|
|
61013 |
|
|
|
|
|
|
|
5 |
|
Buy |
|
Chinese Yuan Renminbi |
|
Goldman Sachs International |
|
|
1,550 |
|
|
|
91313 |
|
|
|
|
|
|
|
8 |
|
Buy |
|
Chinese Yuan Renminbi |
|
Citibank, N.A. |
|
|
650 |
|
|
|
92313 |
|
|
|
|
|
|
|
2 |
|
Buy |
|
Chinese Yuan Renminbi |
|
Deutsche Bank AG |
|
|
600 |
|
|
|
92613 |
|
|
|
|
|
|
|
1 |
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
158 |
|
|
|
82212 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Japanese Yen |
|
Deutsche Bank AG |
|
|
18,000 |
|
|
|
21012 |
|
|
|
|
|
|
|
6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
4 |
|
|
$ |
27 |
|
* |
Not shown due to rounding. |
(A) |
Listed on an exchange outside the United States. |
(B) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $1,865 or 21.5% of net assets. |
(C) |
This security currently pays the stated rate but this rate will increase in the future. |
(E) |
Principal amounts are denominated in the indicated foreign currency, where applicable (COP Columbian Peso). |
(F) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
9,268 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
21 |
|
Gross unrealized depreciation |
|
|
(311 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(290 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Global Natural
Resources (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON
STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Brazil 2.7% |
|
|
|
|
|
|
|
|
Companhia de Saneamento de Minas Gerais |
|
|
33 |
|
|
$ |
512 |
|
Companhia Energetica de Minas Gerais - CEMIG, ADR |
|
|
75 |
|
|
|
1,113 |
|
Suzano Bahia Sul Papel E Celulose S.A. |
|
|
465 |
|
|
|
2,095 |
|
Tractebel Energia S.A. |
|
|
55 |
|
|
|
759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,479 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada 14.2% |
|
|
|
|
|
|
|
|
Advantage Oil & Gas Ltd. (A) |
|
|
121 |
|
|
|
456 |
|
Agrium Inc. |
|
|
30 |
|
|
|
2,000 |
|
Athabasca Oil Sands Corp. (A) |
|
|
135 |
|
|
|
1,381 |
|
Barrick Gold Corporation |
|
|
40 |
|
|
|
1,866 |
|
Canadian Natural Resources Limited |
|
|
30 |
|
|
|
881 |
|
Cenovus Energy Inc. |
|
|
40 |
|
|
|
1,231 |
|
Connacher Oil and Gas Limited (A) |
|
|
267 |
|
|
|
83 |
|
First Quantum Minerals Ltd. |
|
|
275 |
|
|
|
3,661 |
|
Goldcorp Inc. |
|
|
25 |
|
|
|
1,141 |
|
IAMGOLD Corporation |
|
|
130 |
|
|
|
2,584 |
|
Neo Material Technologies Inc. (A) |
|
|
100 |
|
|
|
609 |
|
Potash Corporation of Saskatchewan Inc. |
|
|
95 |
|
|
|
4,105 |
|
Progress Energy Resources Corp. |
|
|
20 |
|
|
|
246 |
|
Silver Wheaton Corp. |
|
|
70 |
|
|
|
2,062 |
|
Southern Pacific Resource Corp. (A) |
|
|
245 |
|
|
|
281 |
|
Teck Cominco Limited |
|
|
29 |
|
|
|
856 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
China 3.5% |
|
|
|
|
|
|
|
|
China Metal Recycling (Holdings) Limited |
|
|
2,300 |
|
|
|
1,976 |
|
GCL-Poly Energy Holdings Limited |
|
|
7,900 |
|
|
|
2,056 |
|
Hidili Industry International Development Limited, ADR |
|
|
800 |
|
|
|
232 |
|
Sino-Forest Corporation, Class A (A) |
|
|
590 |
|
|
|
46 |
|
Trina Solar Limited, ADR (A) |
|
|
155 |
|
|
|
942 |
|
Yingli Green Energy Holding Company Limited, ADR (A) |
|
|
150 |
|
|
|
465 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,717 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cyprus 0.1% |
|
|
|
|
|
|
|
|
Buried Hill Energy (Cyprus) Public Company Limited (A)(B) |
|
|
70 |
|
|
|
140 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hong Kong 0.1% |
|
|
|
|
|
|
|
|
China Vanadium Titano-Magnetite Mining Company Limited, H Shares |
|
|
600 |
|
|
|
94 |
|
|
|
|
|
|
|
|
|
|
|
|
|
India 2.1% |
|
|
|
|
|
|
|
|
Adani Enterprises Limited |
|
|
55 |
|
|
|
590 |
|
Infrastructure Development Finance Company Limited |
|
|
500 |
|
|
|
1,123 |
|
Shree Renuka Sugars Limited |
|
|
350 |
|
|
|
391 |
|
Sterlite Industries (India) Limited |
|
|
575 |
|
|
|
1,324 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Indonesia 0.5% |
|
|
|
|
|
|
|
|
PT Adaro Energy Tbk |
|
|
2,903 |
|
|
|
559 |
|
PT Harum Energy Tbk |
|
|
300 |
|
|
|
239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
798 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 1.1% |
|
|
|
|
|
|
|
|
Israel Chemicals Ltd. |
|
|
160 |
|
|
|
1,822 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan 0.5% |
|
|
|
|
|
|
|
|
Mitsubishi Corporation |
|
|
40 |
|
|
|
814 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands
0.3% |
|
|
|
|
|
|
|
|
LyondellBasell Industries N.V., Class A |
|
|
20 |
|
|
|
489 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Norway 0.1% |
|
|
|
|
|
|
|
|
DNO International ASA (A) |
|
|
100 |
|
|
|
92 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Russia 1.6% |
|
|
|
|
|
|
|
|
Mechel OAO, ADR |
|
|
39 |
|
|
|
158 |
|
Mechel Steel Group OAO, ADR |
|
|
166 |
|
|
|
1,691 |
|
Open Joint Stock Company RusHydro, ADR |
|
|
100 |
|
|
|
341 |
|
Open Joint Stock Company Gazprom, ADR |
|
|
40 |
|
|
|
383 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,573 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Singapore 0.3% |
|
|
|
|
|
|
|
|
Indofood Agri Resources Ltd. (A) |
|
|
450 |
|
|
|
417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
South Korea 2.9% |
|
|
|
|
|
|
|
|
LG Chem, Ltd. |
|
|
18 |
|
|
|
4,771 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thailand 0.9% |
|
|
|
|
|
|
|
|
Banpu Public Company Limited |
|
|
90 |
|
|
|
1,508 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 11.3% |
|
|
|
|
|
|
|
|
Antofagasta plc |
|
|
60 |
|
|
|
857 |
|
Chariot Oil & Gas Limited (A) |
|
|
105 |
|
|
|
203 |
|
ENSCO International Incorporated |
|
|
100 |
|
|
|
4,043 |
|
Hochschild Mining plc, ADR |
|
|
9 |
|
|
|
58 |
|
Randgold Resources Limited, ADR |
|
|
20 |
|
|
|
1,934 |
|
Rio Tinto plc |
|
|
80 |
|
|
|
3,548 |
|
Xstrata plc |
|
|
625 |
|
|
|
7,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 42.8% |
|
|
|
|
|
|
|
|
Allegheny Technologies Incorporated |
|
|
125 |
|
|
|
4,624 |
|
Alpha Natural Resources, Inc. (A) |
|
|
120 |
|
|
|
2,123 |
|
Baker Hughes Incorporated |
|
|
118 |
|
|
|
5,447 |
|
Boise Inc. |
|
|
100 |
|
|
|
517 |
|
Cabot Oil & Gas Corporation |
|
|
145 |
|
|
|
8,977 |
|
Cameron International Corporation (A) |
|
|
115 |
|
|
|
4,777 |
|
Celanese Corporation, Series A |
|
|
120 |
|
|
|
3,904 |
|
Chart Industries, Inc. (A) |
|
|
12 |
|
|
|
506 |
|
Cliffs Natural Resources Inc. |
|
|
35 |
|
|
|
1,791 |
|
CONSOL Energy Inc. |
|
|
50 |
|
|
|
1,697 |
|
Dow Chemical Company (The) |
|
|
30 |
|
|
|
674 |
|
Energy XXI (Bermuda) Limited (A) |
|
|
12 |
|
|
|
257 |
|
EXCO Resources, Inc. |
|
|
60 |
|
|
|
643 |
|
Freeport-McMoRan Copper & Gold Inc., Class B |
|
|
10 |
|
|
|
305 |
|
Halliburton Company (C) |
|
|
238 |
|
|
|
7,263 |
|
International Paper Company |
|
|
84 |
|
|
|
1,960 |
|
Kodiak Oil & Gas Corp. (A) |
|
|
350 |
|
|
|
1,824 |
|
Marathon Oil Corporation |
|
|
4 |
|
|
|
86 |
|
National Oilwell Varco, Inc. |
|
|
9 |
|
|
|
461 |
|
Noble Energy, Inc. |
|
|
8 |
|
|
|
566 |
|
Occidental Petroleum Corporation (C) |
|
|
50 |
|
|
|
3,575 |
|
Peabody Energy Corporation |
|
|
108 |
|
|
|
3,658 |
|
Plains Exploration and Production Company (A) |
|
|
210 |
|
|
|
4,769 |
|
Rock-Tenn Company, Class A |
|
|
2 |
|
|
|
88 |
|
Schlumberger Limited (C) |
|
|
63 |
|
|
|
3,763 |
|
Solutia Inc. (A) |
|
|
125 |
|
|
|
1,606 |
|
Southwestern Energy Company (A) |
|
|
20 |
|
|
|
667 |
|
St. Mary Land & Exploration Company |
|
|
5 |
|
|
|
303 |
|
|
|
|
|
|
|
|
|
|
Walter Industries, Inc. |
|
|
25 |
|
|
|
1,500 |
|
Whiting Petroleum Corporation (A) |
|
|
16 |
|
|
|
561 |
|
Williams Companies, Inc. (The) |
|
|
67 |
|
|
|
1,636 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
70,528 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 85.0% |
|
|
$ |
139,649 |
|
(Cost: $196,426) |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS |
|
|
|
|
|
|
|
|
Brazil 0.3% |
|
|
|
|
|
|
|
|
Bradespar S.A. |
|
|
25 |
|
|
|
436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Russia 0.3% |
|
|
|
|
|
|
|
|
Mechel |
|
|
80 |
|
|
|
610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 0.1% |
|
|
|
|
|
|
|
|
Konarka Technologies, Inc., 8.0% Cumulative (A)(B) |
|
|
68 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS 0.7% |
|
|
$ |
1,164 |
|
(Cost: $1,942) |
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS |
|
Number of
Contracts
(Unrounded) |
|
|
|
|
Barrick Gold Corporation, |
|
|
|
|
|
|
|
|
Call $35.00, Expires 12312 |
|
|
2,100 |
|
|
|
2,667 |
|
Energy Select Sector SPDR, |
|
|
|
|
|
|
|
|
Put $90.00, Expires 121911 |
|
|
700 |
|
|
|
2,210 |
|
Occidental Petroleum Corporation: |
|
|
|
|
|
|
|
|
Call $40.00, Expires 12312 |
|
|
600 |
|
|
|
1,987 |
|
Call $60.00, Expires 12312 |
|
|
550 |
|
|
|
844 |
|
Williams Companies, Inc. (The): |
|
|
|
|
|
|
|
|
Call $17.50, Expires 12312 |
|
|
1,800 |
|
|
|
1,359 |
|
Call $20.00, Expires 12312 |
|
|
1,000 |
|
|
|
578 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS 5.8% |
|
|
$ |
9,645 |
|
(Cost: $11,357) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES 0.0% |
|
Principal |
|
|
|
|
Brazil |
|
|
|
|
|
|
|
|
Bahia Sul Celulose S.A., |
|
|
|
|
|
|
|
|
8.614%, 12112 (D)(E)(F) |
|
|
BRL180 |
|
|
$ |
47 |
|
|
|
|
|
|
|
|
|
|
(Cost: $85) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Commercial Paper 6.1% |
|
|
|
|
|
|
|
|
CVS Caremark Corporation, |
|
|
|
|
|
|
|
|
0.250%, 10311 (G) |
|
$ |
5,000 |
|
|
|
5,000 |
|
McCormick & Co. Inc., |
|
|
|
|
|
|
|
|
0.100%, 10311 (G) |
|
|
2,890 |
|
|
|
2,890 |
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), |
|
|
|
|
|
|
|
|
0.070%, 102411 (G) |
|
|
2,000 |
|
|
|
2,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,890 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.6% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (H) |
|
|
1,042 |
|
|
|
1,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 0.6% |
|
|
|
|
|
|
|
|
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York
(The)), |
|
|
|
|
|
|
|
|
0.120%, 10311 (H) |
|
|
1,000 |
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 7.3% |
|
|
$ |
11,932 |
|
(Cost: $11,932) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 98.8% |
|
|
|
$ |
162,437 |
|
(Cost: $221,742) |
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 1.2% |
|
|
|
|
2,053 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
$ |
164,490 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples |
|
$ |
|
|
|
$ |
808 |
|
|
$ |
|
|
Energy |
|
|
61,656 |
|
|
|
2,986 |
|
|
|
140 |
|
Financials |
|
|
|
|
|
|
1,123 |
|
|
|
|
|
Industrials |
|
|
506 |
|
|
|
1,404 |
|
|
|
|
|
Information Technology |
|
|
1,407 |
|
|
|
2,056 |
|
|
|
|
|
Materials |
|
|
42,218 |
|
|
|
22,573 |
|
|
|
46 |
|
Utilities |
|
|
2,385 |
|
|
|
341 |
|
|
|
|
|
Total Common Stocks |
|
$ |
108,172 |
|
|
$ |
31,291 |
|
|
$ |
186 |
|
Preferred Stocks |
|
|
1,046 |
|
|
|
|
|
|
|
118 |
|
Purchased Options |
|
|
9,645 |
|
|
|
|
|
|
|
|
|
Corporate Debt Securities |
|
|
|
|
|
|
|
|
|
|
47 |
|
Short-Term Securities |
|
|
|
|
|
|
11,932 |
|
|
|
|
|
Total |
|
$ |
118,863 |
|
|
$ |
43,223 |
|
|
$ |
351 |
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
1,151 |
|
|
$ |
|
|
Futures Contracts |
|
|
1,336 |
|
|
|
|
|
|
|
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
34 |
|
|
$ |
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair
value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
Preferred Stocks |
|
|
Corporate Debt Securities |
|
Beginning Balance 1-1-11 |
|
$ |
140 |
|
|
$ |
244 |
|
|
$ |
56 |
|
Net realized gain (loss) |
|
|
111 |
|
|
|
|
|
|
|
|
|
Net unrealized appreciation (depreciation) |
|
|
(13,193 |
) |
|
|
(126 |
) |
|
|
(9 |
) |
Purchases |
|
|
9,793 |
|
|
|
|
|
|
|
|
|
Sales |
|
|
(178 |
) |
|
|
|
|
|
|
|
|
Transfers into Level 3 during the period |
|
|
3,513 |
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 during the period |
|
|
|
|
|
|
|
|
|
|
|
|
Ending Balance 9-30-11 |
|
$ |
186 |
|
|
$ |
118 |
|
|
$ |
47 |
|
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 9-30-11 |
|
$ |
(13,193 |
) |
|
$ |
(126 |
) |
|
$ |
(9 |
) |
Transfers from Level 2 to Level 3 occurred generally due to the lack of observable market data due to decreased market activity or
information for these securities. During the period ended September 30, 2011, securities totaling $28,005 were transferred from Level 1 to Level 2. These transfers were the result of fair value procedures applied to foreign securities due to
significant market movement of the S&P 500 on September 30, 2011.
The following forward foreign currency contracts were outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized
Appreciation |
|
|
Unrealized
Depreciation |
|
Sell |
|
Brazilian Real |
|
Bank of New York Mellon (The) |
|
|
1,165 |
|
|
|
10-21-11 |
|
|
$ |
111 |
|
|
$ |
|
|
Sell |
|
Brazilian Real |
|
Toronto-Dominion Bank (The) |
|
|
710 |
|
|
|
10-28-11 |
|
|
|
53 |
|
|
|
|
|
Sell |
|
Brazilian Real |
|
Toronto-Dominion Bank (The) |
|
|
1,100 |
|
|
|
12-2-11 |
|
|
|
100 |
|
|
|
|
|
Sell |
|
Brazilian Real |
|
Royal Bank of Canada |
|
|
1,000 |
|
|
|
12-16-11 |
|
|
|
24 |
|
|
|
|
|
Sell |
|
British Pound |
|
Canadian Imperial Bank of Commerce |
|
|
240 |
|
|
|
10-21-11 |
|
|
|
9 |
|
|
|
|
|
Sell |
|
British Pound |
|
State Street Global Markets |
|
|
1,950 |
|
|
|
10-28-11 |
|
|
|
105 |
|
|
|
|
|
Sell |
|
British Pound |
|
Royal Bank of Canada |
|
|
280 |
|
|
|
11-4-11 |
|
|
|
15 |
|
|
|
|
|
Sell |
|
British Pound |
|
Toronto-Dominion Bank (The) |
|
|
1,380 |
|
|
|
11-18-11 |
|
|
|
133 |
|
|
|
|
|
Sell |
|
British Pound |
|
Canadian Imperial Bank of Commerce |
|
|
1,150 |
|
|
|
12-2-11 |
|
|
|
77 |
|
|
|
|
|
Sell |
|
British Pound |
|
Bank of New York Mellon (The) |
|
|
1,270 |
|
|
|
12-9-11 |
|
|
|
1 |
|
|
|
|
|
Sell |
|
British Pound |
|
Bank of New York Mellon (The) |
|
|
1,785 |
|
|
|
12-16-11 |
|
|
|
33 |
|
|
|
|
|
Sell |
|
Canadian Dollar |
|
Bank of New York Mellon (The) |
|
|
2,550 |
|
|
|
10-21-11 |
|
|
|
265 |
|
|
|
|
|
Sell |
|
Canadian Dollar |
|
Bank of New York Mellon (The) |
|
|
260 |
|
|
|
10-28-11 |
|
|
|
16 |
|
|
|
|
|
Sell |
|
Canadian Dollar |
|
State Street Global Markets |
|
|
1,900 |
|
|
|
10-28-11 |
|
|
|
170 |
|
|
|
|
|
Sell |
|
Canadian Dollar |
|
Canadian Imperial Bank of Commerce |
|
|
2,100 |
|
|
|
12-16-11 |
|
|
|
39 |
|
|
|
|
|
Sell |
|
Japanese Yen |
|
State Street Global Markets |
|
|
21,650 |
|
|
|
10-5-11 |
|
|
|
|
|
|
|
13 |
|
Sell |
|
Japanese Yen |
|
Canadian Imperial Bank of Commerce |
|
|
41,000 |
|
|
|
10-19-11 |
|
|
|
|
|
|
|
21 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
1,151 |
|
|
$ |
34 |
|
The following futures contracts were outstanding at September 30, 2011 (contracts unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description |
|
Type |
|
|
Expiration
Date |
|
|
Number
of
Contracts |
|
|
Market
Value |
|
|
Unrealized
Appreciation |
|
S&P 500 E-mini |
|
|
Short |
|
|
|
12-16-11 |
|
|
|
200 |
|
|
$ |
(11,260 |
) |
|
$ |
658 |
|
S&P/Toronto Stock Exchange 60 Index |
|
|
Short |
|
|
|
12-16-11 |
|
|
|
85 |
|
|
|
(10,783 |
) |
|
|
678 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(22,043 |
) |
|
$ |
1,336 |
|
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Restricted securities. At September 30, 2011, the Portfolio owned the following restricted securities: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Security |
|
Acquisition Date(s) |
|
Shares |
|
|
Cost |
|
|
Market Value |
|
Buried Hill Energy (Cyprus) Public Company Limited |
|
5-1-07 to 4-17-08 |
|
|
70 |
|
|
$ |
118 |
|
|
$ |
140 |
|
Konarka Technologies, Inc., 8.0% Cumulative |
|
8-31-07 |
|
|
68 |
|
|
|
211 |
|
|
|
118 |
|
|
|
|
|
|
|
|
|
$ |
329 |
|
|
$ |
258 |
|
The total value of these securities represented 0.2% of net assets at September 30, 2011.
(C) |
All or a portion of the security position has been pledged as collateral on open futures contracts. |
(D) |
Principal amounts are denominated in the indicated foreign currency, where applicable (BRL - Brazilian Real). |
(E) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $47 or 0.0% of net assets. |
(F) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(G) |
Rate shown is the yield to maturity at September 30, 2011. |
(H) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
224,538 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
1,628 |
|
Gross unrealized depreciation |
|
|
(63,729 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(62,101 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Growth (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Aerospace & Defense 5.4% |
|
|
|
|
|
|
|
|
Boeing Company (The) |
|
|
227 |
|
|
$ |
13,724 |
|
Precision Castparts Corp. |
|
|
189 |
|
|
|
29,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 1.3% |
|
|
|
|
|
|
|
|
Expeditors International of Washington, Inc. |
|
|
244 |
|
|
|
9,878 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 3.4% |
|
|
|
|
|
|
|
|
Intuit Inc. |
|
|
434 |
|
|
|
20,598 |
|
salesforce.com, inc. (A) |
|
|
54 |
|
|
|
6,183 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,781 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 2.6% |
|
|
|
|
|
|
|
|
T. Rowe Price Group, Inc. |
|
|
424 |
|
|
|
20,274 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 2.5% |
|
|
|
|
|
|
|
|
BorgWarner Inc. (A) |
|
|
148 |
|
|
|
8,946 |
|
Gentex Corporation |
|
|
458 |
|
|
|
11,015 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive Retail 2.5% |
|
|
|
|
|
|
|
|
AutoZone, Inc. (A) |
|
|
43 |
|
|
|
13,789 |
|
OReilly Automotive, Inc. (A) |
|
|
89 |
|
|
|
5,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 3.6% |
|
|
|
|
|
|
|
|
CBS Corporation, Class B |
|
|
1,211 |
|
|
|
24,688 |
|
Discovery Holding Company, Class A (A) |
|
|
104 |
|
|
|
3,905 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,593 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 3.7% |
|
|
|
|
|
|
|
|
Wynn Resorts, Limited |
|
|
250 |
|
|
|
28,758 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 3.4% |
|
|
|
|
|
|
|
|
Juniper Networks, Inc. (A) |
|
|
245 |
|
|
|
4,222 |
|
QUALCOMM Incorporated |
|
|
463 |
|
|
|
22,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,716 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 8.0% |
|
|
|
|
|
|
|
|
Apple Inc. (A) |
|
|
165 |
|
|
|
63,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Storage & Peripherals 0.2% |
|
|
|
|
|
|
|
|
NetApp, Inc. (A) |
|
|
57 |
|
|
|
1,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 3.8% |
|
|
|
|
|
|
|
|
MasterCard Incorporated, Class A |
|
|
95 |
|
|
|
29,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Environmental & Facilities Services 0.8% |
|
|
|
|
|
|
|
|
Stericycle, Inc. (A) |
|
|
75 |
|
|
|
6,022 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Fertilizers & Agricultural Chemicals 2.5% |
|
|
|
|
|
|
|
|
Monsanto Company |
|
|
327 |
|
|
|
19,603 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Footwear 1.4% |
|
|
|
|
|
|
|
|
NIKE, Inc., Class B |
|
|
130 |
|
|
|
11,108 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 0.6% |
|
|
|
|
|
|
|
|
Intuitive Surgical, Inc. (A) |
|
|
13 |
|
|
|
4,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.0% |
|
|
|
|
|
|
|
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
205 |
|
|
|
7,968 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 3.0% |
|
|
|
|
|
|
|
|
Praxair, Inc. |
|
|
252 |
|
|
|
23,548 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.5% |
|
|
|
|
|
|
|
|
Danaher Corporation |
|
|
280 |
|
|
|
11,726 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Retail 1.8% |
|
|
|
|
|
|
|
|
Amazon.com, Inc. (A) |
|
|
64 |
|
|
|
13,817 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 3.8% |
|
|
|
|
|
|
|
|
Google Inc., Class A (A) |
|
|
58 |
|
|
|
30,071 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 3.1% |
|
|
|
|
|
|
|
|
Cognizant Technology Solutions Corporation, Class A (A) |
|
|
394 |
|
|
|
24,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services 0.7% |
|
|
|
|
|
|
|
|
Thermo Fisher Scientific Inc. (A) |
|
|
114 |
|
|
|
5,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 0.5% |
|
|
|
|
|
|
|
|
Walt Disney Company (The) |
|
|
132 |
|
|
|
3,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 8.3% |
|
|
|
|
|
|
|
|
Halliburton Company |
|
|
499 |
|
|
|
15,217 |
|
National Oilwell Varco, Inc. |
|
|
420 |
|
|
|
21,518 |
|
Schlumberger Limited |
|
|
480 |
|
|
|
28,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.4% |
|
|
|
|
|
|
|
|
Mead Johnson Nutrition Company |
|
|
159 |
|
|
|
10,972 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 2.0% |
|
|
|
|
|
|
|
|
Estee Lauder Companies Inc. (The), Class A |
|
|
182 |
|
|
|
16,004 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 4.8% |
|
|
|
|
|
|
|
|
Allergan, Inc. |
|
|
458 |
|
|
|
37,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 6.0% |
|
|
|
|
|
|
|
|
McDonalds Corporation |
|
|
172 |
|
|
|
15,123 |
|
Starbucks Corporation |
|
|
849 |
|
|
|
31,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
46,768 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 0.5% |
|
|
|
|
|
|
|
|
Lam Research Corporation (A) |
|
|
106 |
|
|
|
4,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 3.3% |
|
|
|
|
|
|
|
|
ARM Holdings plc, ADR |
|
|
165 |
|
|
|
4,197 |
|
Broadcom Corporation, Class A |
|
|
176 |
|
|
|
5,872 |
|
Microchip Technology Incorporated |
|
|
501 |
|
|
|
15,571 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 1.8% |
|
|
|
|
|
|
|
|
Coca-Cola Company (The) |
|
|
111 |
|
|
|
7,479 |
|
PepsiCo, Inc. |
|
|
102 |
|
|
|
6,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,811 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Stores 1.3% |
|
|
|
|
|
|
|
|
Tiffany & Co. |
|
|
171 |
|
|
|
10,400 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 4.6% |
|
|
|
|
|
|
|
|
Oracle Corporation |
|
|
891 |
|
|
|
25,596 |
|
VMware, Inc., Class A (A) |
|
|
136 |
|
|
|
10,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 95.1% |
|
|
|
|
|
$ |
748,912 |
|
(Cost: $686,548) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
|
|
|
Commercial Paper 3.5% |
|
|
|
|
|
|
|
|
Baxter International Inc., |
|
|
|
|
|
|
|
|
0.110%, 10611 (B) |
|
$ |
3,000 |
|
|
|
3,000 |
|
Clorox Co., |
|
|
|
|
|
|
|
|
0.320%, 101411 (B) |
|
|
5,000 |
|
|
|
4,999 |
|
Danaher Corporation, |
|
|
|
|
|
|
|
|
0.070%, 10511 (B) |
|
|
8,000 |
|
|
|
8,000 |
|
Diageo Capital plc (GTD by Diageo plc), |
|
|
|
|
|
|
|
|
0.400%, 102111 (B) |
|
|
3,000 |
|
|
|
2,999 |
|
Straight-A Funding, LLC (GTD by Federal Financing Bank), |
|
|
|
|
|
|
|
|
0.130%, 101811 (B) |
|
|
4,000 |
|
|
|
4,000 |
|
Wisconsin Electric Power Co., |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
4,590 |
|
|
|
4,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27,588 |
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.5% |
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (C) |
|
|
3,740 |
|
|
|
3,740 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 0.2% |
|
|
|
|
|
|
|
|
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co), Ser C (GTD by JPMorgan Chase Bank, N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10311 (C) |
|
|
1,815 |
|
|
|
1,815 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 4.2% |
|
|
$ |
33,143 |
|
(Cost: $33,143) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.3% |
|
|
$ |
782,055 |
|
(Cost: $719,691) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.7% |
|
|
|
|
|
|
5,423 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
787,478 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
748,912 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
33,143 |
|
|
|
|
|
Total |
|
$ |
748,912 |
|
|
$ |
33,143 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Rate shown is the yield to maturity at September 30, 2011. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
720,342 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
107,964 |
|
Gross unrealized depreciation |
|
|
(46,251 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
61,713 |
|
|
|
|
SCHEDULE OF INVESTMENTS High Income (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Casinos & Gaming 0.0% |
|
|
|
|
|
|
|
|
Pinnacle Entertainment, Inc. (A) |
|
|
13 |
|
|
$ |
114 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 0.1% |
|
|
|
|
|
|
|
|
Dole Food Company, Inc. (A) |
|
|
18 |
|
|
|
177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Railroads 0.3% |
|
|
|
|
|
|
|
|
Kansas City Southern (A) |
|
|
15 |
|
|
|
749 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 0.4% |
|
|
|
|
|
$ |
1,040 |
|
(Cost: $1,147) |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS |
|
|
|
|
|
|
|
|
Consumer Finance 0.3% |
|
|
|
|
|
|
|
|
Ally Financial Inc., Preferred 8.5% |
|
|
18 |
|
|
|
308 |
|
GMAC Capital Trust I, Preferred 8.125% |
|
|
22 |
|
|
|
401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Trucking 0.0% |
|
|
|
|
|
|
|
|
Swift Services Holdings, Inc., 6.0% Cumulative (B) |
|
|
15 |
|
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS 0.3% |
|
|
|
|
|
$ |
826 |
|
(Cost: $1,129) |
|
|
|
|
|
|
|
|
|
|
|
WARRANTS 0.1% |
|
|
|
|
|
|
|
|
Agricultural Products |
|
|
|
|
|
|
|
|
ASG Consolidated LLC |
|
|
1 |
|
|
$ |
150 |
|
|
|
|
|
|
|
|
|
|
(Cost: $72) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
Principal |
|
|
|
|
Aerospace & Defense 0.4% |
|
|
|
|
|
|
|
|
Acquisition Co., |
|
|
|
|
|
|
|
|
10.000%, 6117 |
|
$ |
335 |
|
|
|
333 |
|
Ducommun Incorporated, |
|
|
|
|
|
|
|
|
9.750%, 71518 (B) |
|
|
325 |
|
|
|
325 |
|
Kratos Defense & Security Solutions, Inc., |
|
|
|
|
|
|
|
|
10.000%, 6117 (B) |
|
|
419 |
|
|
|
417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,075 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Agricultural Products 1.1% |
|
|
|
|
|
|
|
|
American Rock Salt Company LLC and American Rock Salt Capital Corporation, |
|
|
|
|
|
|
|
|
8.250%, 5118 (B) |
|
|
195 |
|
|
|
171 |
|
American Seafoods Group LLC, |
|
|
|
|
|
|
|
|
10.750%, 51516 (B) |
|
|
1,475 |
|
|
|
1,430 |
|
ASG Consolidated LLC, |
|
|
|
|
|
|
|
|
15.000%, 51517 (B)(C) |
|
|
1,391 |
|
|
|
1,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Alternative Carriers 2.7% |
|
|
|
|
|
|
|
|
Level 3 Communications, Inc.: |
|
|
|
|
|
|
|
|
11.875%, 2119 (B) |
|
|
2,965 |
|
|
|
2,816 |
|
8.125%, 7119 (B) |
|
|
2,051 |
|
|
|
1,813 |
|
Level 3 Financing, Inc.: |
|
|
|
|
|
|
|
|
10.000%, 2118 |
|
|
700 |
|
|
|
672 |
|
9.375%, 4119 (B) |
|
|
200 |
|
|
|
186 |
|
PAETEC Escrow Corporation, |
|
|
|
|
|
|
|
|
9.875%, 12118 |
|
|
1,160 |
|
|
|
1,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,702 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 1.1% |
|
|
|
|
|
|
|
|
Burlington Coat Factory Investments Holdings, Inc., |
|
|
|
|
|
|
|
|
10.000%, 21519 (B) |
|
|
764 |
|
|
|
649 |
|
J.Crew Group, Inc., |
|
|
|
|
|
|
|
|
8.125%, 3119 |
|
|
2,443 |
|
|
|
2,046 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,695 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel, Accessories & Luxury Goods 0.2% |
|
|
|
|
|
|
|
|
Norcraft Companies, L.P. and Norcraft Finance Corp., |
|
|
|
|
|
|
|
|
10.500%, 121515 |
|
|
590 |
|
|
|
538 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 0.4% |
|
|
|
|
|
|
|
|
Nexeo Solutions, LLC, |
|
|
|
|
|
|
|
|
8.375%, 3118 (B) |
|
|
1,037 |
|
|
|
1,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 2.7% |
|
|
|
|
|
|
|
|
Affinia Group Inc.: |
|
|
|
|
|
|
|
|
9.000%, 113014 |
|
|
290 |
|
|
|
280 |
|
10.750%, 81516 (B) |
|
|
1,656 |
|
|
|
1,689 |
|
Exide Technologies, |
|
|
|
|
|
|
|
|
8.625%, 2118 |
|
|
807 |
|
|
|
751 |
|
Icahn Enterprises L.P., |
|
|
|
|
|
|
|
|
8.000%, 11518 |
|
|
2,721 |
|
|
|
2,710 |
|
Icahn Enterprises L.P. and Icahn Enterprises Finance Corp., |
|
|
|
|
|
|
|
|
7.750%, 11516 |
|
|
980 |
|
|
|
979 |
|
Visteon Corporation, |
|
|
|
|
|
|
|
|
6.750%, 41519 (B) |
|
|
440 |
|
|
|
396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive Manufacturers 0.5% |
|
|
|
|
|
|
|
|
Chrysler Group LLC and CG: |
|
|
|
|
|
|
|
|
8.000%, 61519 (B) |
|
|
450 |
|
|
|
351 |
|
8.250%, 61521 (B) |
|
|
1,137 |
|
|
|
875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,226 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive Retail 2.4% |
|
|
|
|
|
|
|
|
Asbury Automotive Group, Inc.: |
|
|
|
|
|
|
|
|
7.625%, 31517 |
|
|
725 |
|
|
|
692 |
|
8.375%, 111520 |
|
|
2,405 |
|
|
|
2,321 |
|
Sonic Automotive, Inc., |
|
|
|
|
|
|
|
|
9.000%, 31518 |
|
|
2,940 |
|
|
|
2,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,961 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.0% |
|
|
|
|
|
|
|
|
Cumulus Media Inc., |
|
|
|
|
|
|
|
|
7.750%, 5119 (B) |
|
|
2,145 |
|
|
|
1,808 |
|
dcp LLC, |
|
|
|
|
|
|
|
|
10.750%, 81515 (B) |
|
|
490 |
|
|
|
407 |
|
Gray Television, Inc., |
|
|
|
|
|
|
|
|
10.500%, 62915 |
|
|
460 |
|
|
|
416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 0.7% |
|
|
|
|
|
|
|
|
Ply Gem Holdings, Inc., |
|
|
|
|
|
|
|
|
8.250%, 21518 |
|
|
2,050 |
|
|
|
1,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 1.5% |
|
|
|
|
|
|
|
|
Inn of the Mountain Gods Resort and Casino, |
|
|
|
|
|
|
|
|
1.250%, 113020 |
|
|
1,187 |
|
|
|
656 |
|
MGM MIRAGE: |
|
|
|
|
|
|
|
|
11.375%, 3118 |
|
|
600 |
|
|
|
600 |
|
9.000%, 31520 |
|
|
400 |
|
|
|
416 |
|
MGM Resorts International, |
|
|
|
|
|
|
|
|
10.000%, 11116 (B) |
|
|
560 |
|
|
|
531 |
|
Peninsula Gaming, LLC: |
|
|
|
|
|
|
|
|
8.375%, 81515 |
|
|
990 |
|
|
|
985 |
|
10.750%, 81517 |
|
|
617 |
|
|
|
595 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,783 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Catalog Retail 1.0% |
|
|
|
|
|
|
|
|
QVC, Inc., |
|
|
|
|
|
|
|
|
7.500%, 10119 (B) |
|
|
2,330 |
|
|
|
2,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.0% |
|
|
|
|
|
|
|
|
Brightstar Corporation, |
|
|
|
|
|
|
|
|
9.500%, 12116 (B) |
|
|
2,415 |
|
|
|
2,463 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 0.3% |
|
ArvinMeritor, Inc., |
|
|
|
|
|
|
|
|
10.625%, 31518 |
|
|
751 |
|
|
|
723 |
|
Greenbrier Companies, Inc., (The), Convertible, |
|
|
|
|
|
|
|
|
3.500%, 4118 (B) |
|
|
200 |
|
|
|
143 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
866 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction Materials 2.3% |
|
|
|
|
|
|
|
|
Cemex Finance LLC, |
|
|
|
|
|
|
|
|
9.500%, 121416 (B) |
|
|
1,050 |
|
|
|
761 |
|
Cemex SAB de CV, |
|
|
|
|
|
|
|
|
9.000%, 11118 (B) |
|
|
1,100 |
|
|
|
745 |
|
Headwaters Incorporated, |
|
|
|
|
|
|
|
|
7.625%, 4119 |
|
|
1,340 |
|
|
|
1,025 |
|
Headwaters Incorporated, Convertible: |
|
|
|
|
|
|
|
|
2.500%, 2114 |
|
|
375 |
|
|
|
299 |
|
14.750%, 2114 (B) |
|
|
1,366 |
|
|
|
1,431 |
|
Hillman Group, Inc. (The): |
|
|
|
|
|
|
|
|
10.875%, 6118 |
|
|
1,005 |
|
|
|
995 |
|
10.875%, 6118 (B) |
|
|
402 |
|
|
|
398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.7% |
|
|
|
|
|
|
|
|
American General Finance Corporation, |
|
|
|
|
|
|
|
|
6.900%, 121517 |
|
|
500 |
|
|
|
360 |
|
Bankrate, Inc., |
|
|
|
|
|
|
|
|
11.750%, 71515 |
|
|
1,397 |
|
|
|
1,566 |
|
Credit Acceptance Corporation: |
|
|
|
|
|
|
|
|
9.125%, 2117 |
|
|
640 |
|
|
|
630 |
|
9.125%, 2117 (B) |
|
|
270 |
|
|
|
265 |
|
Speedy Cash Intermediate Holdings Corp., |
|
|
|
|
|
10.750%, 51518 (B) |
|
|
1,085 |
|
|
|
1,093 |
|
TMX Finance LLC and TitleMax Finance Corporation: |
|
|
|
|
|
|
|
|
13.250%, 71515 (B) |
|
|
350 |
|
|
|
376 |
|
13.250%, 71515 |
|
|
188 |
|
|
|
202 |
|
WM Holdings Finance Corp.: |
|
|
|
|
|
|
|
|
11.500%, 10118 (B) |
|
|
959 |
|
|
|
882 |
|
13.750%, 10119 (B) |
|
|
1,495 |
|
|
|
1,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,742 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Products 0.6% |
|
|
|
|
|
|
|
|
Prestige Brands, Inc., |
|
|
|
|
|
|
|
|
8.250%, 4118 |
|
|
1,417 |
|
|
|
1,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 1.4% |
|
|
|
|
|
|
|
|
Kinove German Bondco GmbH: |
|
|
|
|
|
|
|
|
9.625%, 61518 (B) |
|
|
715 |
|
|
|
647 |
|
10.000%, 61518 (B)(D) |
|
|
EUR1,364 |
|
|
|
1,563 |
|
Styrolution Group GmbH, |
|
|
|
|
|
|
|
|
7.625%, 51516 (B)(D) |
|
|
1,390 |
|
|
|
1,350 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 1.3% |
|
|
|
|
|
|
|
|
FMG Resources Pty Ltd.: |
|
|
|
|
|
|
|
|
7.000%, 11115 (B) |
|
$ |
1,360 |
|
|
|
1,265 |
|
6.375%, 2116 (B) |
|
|
300 |
|
|
|
270 |
|
6.875%, 2118 (B) |
|
|
300 |
|
|
|
264 |
|
Taseko Mines Limited, |
|
|
|
|
|
|
|
|
7.750%, 41519 |
|
|
1,495 |
|
|
|
1,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Support Services 0.6% |
|
|
|
|
|
|
|
|
ARAMARK Holdings Corporation, |
|
|
|
|
|
|
|
|
8.625%, 5116 (B) |
|
|
825 |
|
|
|
813 |
|
SITEL, LLC and SITEL Finance Corp., |
|
|
|
|
|
|
|
|
11.500%, 4118 |
|
|
995 |
|
|
|
786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Education Services 4.0% |
|
|
|
|
|
|
|
|
Laureate Education, Inc.: |
|
|
|
|
|
|
|
|
10.000%, 81515 (B) |
|
|
1,750 |
|
|
|
1,715 |
|
10.250%, 81515 (B) |
|
|
5,328 |
|
|
|
5,249 |
|
11.750%, 81517 (B) |
|
|
3,040 |
|
|
|
3,116 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,080 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 0.3% |
|
International Wire Group, Inc., |
|
|
|
|
|
|
|
|
9.750%, 41515 (B) |
|
|
800 |
|
|
|
786 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments 2.5% |
|
|
|
|
|
|
|
|
CDW Escrow Corporation, |
|
|
|
|
|
|
|
|
8.500%, 4119 (B) |
|
|
2,760 |
|
|
|
2,429 |
|
CDW LLC and CDW Finance Corporation, |
|
|
|
|
|
|
|
|
12.535%, 101217 |
|
|
3,990 |
|
|
|
3,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,239 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 1.9% |
|
|
|
|
|
|
|
|
Jabil Circuit, Inc.: |
|
|
|
|
|
|
|
|
7.750%, 71516 |
|
|
1,520 |
|
|
|
1,676 |
|
8.250%, 31518 |
|
|
1,885 |
|
|
|
2,135 |
|
KEMET Corporation, |
|
|
|
|
|
|
|
|
10.500%, 5118 |
|
|
1,040 |
|
|
|
1,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Distributors 1.3% |
|
|
|
|
|
|
|
|
U.S. Foodservice, Inc., |
|
|
|
|
|
|
|
|
8.500%, 63019 (B) |
|
|
1,115 |
|
|
|
1,006 |
|
Viskase Companies, Inc., |
|
|
|
|
|
|
|
|
9.875%, 11518 (B) |
|
|
2,225 |
|
|
|
2,248 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,254 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Forest Products 1.0% |
|
|
|
|
|
|
|
|
Ainsworth Lumber Co. Ltd., |
|
|
|
|
|
|
|
|
11.000%, 72915 (B)(C) |
|
|
4,230 |
|
|
|
2,632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 0.4% |
|
|
|
|
|
|
|
|
Biomet, Inc., |
|
|
|
|
|
|
|
|
11.625%, 101517 |
|
|
533 |
|
|
|
553 |
|
DJO Finance LLC and DJO Finance Corporation, |
|
|
|
|
|
|
|
|
9.750%, 101517 (B) |
|
|
420 |
|
|
|
351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Facilities 3.2% |
|
|
|
|
|
|
|
|
HCA Inc., |
|
|
|
|
|
|
|
|
8.000%, 10118 |
|
|
900 |
|
|
|
879 |
|
HealthSouth Corporation, |
|
|
|
|
|
|
|
|
8.125%, 21520 |
|
|
1,371 |
|
|
|
1,285 |
|
INC Research, LLC, |
|
|
|
|
|
|
|
|
11.500%, 71519 (B) |
|
|
375 |
|
|
|
335 |
|
Kindred Escrow Corp., |
|
|
|
|
|
|
|
|
8.250%, 6119 (B) |
|
|
756 |
|
|
|
577 |
|
Radiation Therapy Services, Inc., |
|
|
|
|
|
|
|
|
9.875%, 41517 |
|
|
1,598 |
|
|
|
1,362 |
|
Tenet Healthcare Corporation, |
|
|
|
|
|
|
|
|
6.875%, 111531 |
|
|
2,303 |
|
|
|
1,750 |
|
United Surgical Partners International, Inc., |
|
|
|
|
|
|
|
|
8.875%, 5117 |
|
|
2,000 |
|
|
|
2,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 1.3% |
|
|
|
|
|
|
|
|
Air Medical Group Holdings Inc., |
|
|
|
|
|
|
|
|
9.250%, 11118 (B) |
|
|
1,620 |
|
|
|
1,620 |
|
ExamWorks Group, Inc., |
|
|
|
|
|
|
|
|
9.000%, 71519 (B) |
|
|
599 |
|
|
|
560 |
|
OnCure Holdings, Inc., |
|
|
|
|
|
|
|
|
11.750%, 51517 |
|
|
250 |
|
|
|
221 |
|
WP Rocket Merger Sub, Inc., |
|
|
|
|
|
|
|
|
10.125%, 71519 (B) |
|
|
830 |
|
|
|
789 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,190 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 1.1% |
|
|
|
|
|
|
|
|
IVD Acquisition Corporation, |
|
|
|
|
|
|
|
|
11.125%, 81519 (B) |
|
|
2,913 |
|
|
|
2,833 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.9% |
|
|
|
|
|
|
|
|
MedAssets, Inc., |
|
|
|
|
|
|
|
|
8.000%, 111518 (B) |
|
|
2,248 |
|
|
|
2,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.2% |
|
|
|
|
|
|
|
|
Empire Today, LLC and Empire Today Finance Corp., |
|
|
|
|
|
|
|
|
11.375%, 2117 (B) |
|
|
340 |
|
|
|
311 |
|
Simmons Bedding Company, |
|
|
|
|
|
|
|
|
11.250%, 71515 (B) |
|
|
300 |
|
|
|
309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products 1.3% |
|
|
|
|
|
|
|
|
Reynolds Group Holdings Limited: |
|
|
|
|
|
|
|
|
7.125%, 41519 (B) |
|
|
950 |
|
|
|
884 |
|
9.000%, 41519 (B) |
|
|
1,880 |
|
|
|
1,598 |
|
7.875%, 81519 (B) |
|
|
446 |
|
|
|
430 |
|
9.875%, 81519 (B) |
|
|
255 |
|
|
|
224 |
|
8.250%, 21521 (B) |
|
|
280 |
|
|
|
221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,357 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Human Resource & Employment Services 0.4% |
|
|
|
|
|
CDRT Merger Sub, Inc., |
|
|
|
|
|
|
|
|
8.125%, 6119 (B) |
|
|
985 |
|
|
|
911 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 1.2% |
|
Calpine Corporation, |
|
|
|
|
|
|
|
|
7.875%, 11523 (B) |
|
|
285 |
|
|
|
275 |
|
NRG Energy, Inc.: |
|
|
|
|
|
|
|
|
7.625%, 51519 (B) |
|
|
1,280 |
|
|
|
1,165 |
|
7.875%, 51521 (B) |
|
|
1,600 |
|
|
|
1,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,904 |
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 0.5% |
|
|
|
|
|
Pinafore, LLC and Pinafore, Inc., |
|
|
|
|
|
|
|
|
9.000%, 10118 (B) |
|
|
1,283 |
|
|
|
1,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.7% |
|
|
|
|
|
|
|
|
CPM Holdings, Inc., |
|
|
|
|
|
|
|
|
10.625%, 9114 (E) |
|
|
1,250 |
|
|
|
1,325 |
|
RBS Global, Inc. and Rexnord LLC, |
|
|
|
|
|
|
|
|
11.750%, 8116 |
|
|
2,215 |
|
|
|
2,258 |
|
Tempel Steel Company, |
|
|
|
|
|
|
|
|
12.000%, 81516 (B) |
|
|
637 |
|
|
|
599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,182 |
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 0.2% |
|
Equinix, Inc., |
|
|
|
|
|
|
|
|
7.000%, 71521 |
|
|
550 |
|
|
|
548 |
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 1.0% |
|
|
|
|
|
E*TRADE Financial Corporation, |
|
|
|
|
|
|
|
|
6.750%, 6116 |
|
|
780 |
|
|
|
778 |
|
GFI Group Inc., |
|
|
|
|
|
|
|
|
8.375%, 71918 (B) |
|
|
1,735 |
|
|
|
1,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,392 |
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 2.0% |
|
iGATE Corporation, |
|
9.000%, 5116 (B) |
|
|
4,425 |
|
|
|
4,115 |
|
SRA International, Inc. and Sterling Merger, Inc., |
|
|
|
|
|
|
|
|
11.000%, 10119 (B) |
|
|
1,089 |
|
|
|
1,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Facilities 0.8% |
|
|
|
|
|
|
|
|
Palace Entertainment Holdings, LLC, |
|
|
|
|
|
|
|
|
8.875%, 41517 (B) |
|
|
2,242 |
|
|
|
2,051 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 0.7% |
|
|
|
|
|
|
|
|
CNO Financial Group, Inc., |
|
|
|
|
|
|
|
|
9.000%, 11518 (B) |
|
|
1,756 |
|
|
|
1,817 |
|
|
|
|
|
|
|
|
|
|
|
|
Metal & Glass Containers 0.4% |
|
|
|
|
|
Plastipak Holdings, Inc., |
|
|
|
|
|
|
|
|
10.625%, 81519 (B) |
|
|
1,070 |
|
|
|
1,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 1.2% |
|
|
|
|
|
|
|
|
AMC Entertainment Holdings, Inc., |
|
|
|
|
|
|
|
|
9.750%, 12120 |
|
|
990 |
|
|
|
896 |
|
AMC Entertainment Inc., |
|
|
|
|
|
|
|
|
8.000%, 3114 |
|
|
510 |
|
|
|
492 |
|
Cinemark USA, Inc., |
|
|
|
|
|
|
|
|
8.625%, 61519 |
|
|
1,000 |
|
|
|
1,030 |
|
Regal Enertainment Group, |
|
|
|
|
|
|
|
|
9.125%, 81518 |
|
|
725 |
|
|
|
718 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,136 |
|
|
|
|
|
|
|
|
|
|
|
|
Multi-Line Insurance 0.4% |
|
|
|
|
|
American International Group, Inc., |
|
|
|
|
|
|
|
|
8.175%, 51558 |
|
|
1,135 |
|
|
|
1,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 0.6% |
|
|
|
|
|
|
|
|
RDS Ultra-Deepwater Ltd, |
|
|
|
|
|
|
|
|
11.875%, 31517 (B) |
|
|
1,560 |
|
|
|
1,634 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 2.4% |
|
|
|
|
|
|
|
|
Forbes Energy Services Ltd., |
|
|
|
|
|
|
|
|
9.000%, 61519 (B) |
|
|
1,415 |
|
|
|
1,309 |
|
|
|
|
|
|
|
|
|
|
Geokinetics Holdings USA, Inc., |
|
|
|
|
|
|
|
|
9.750%, 121514 |
|
|
966 |
|
|
|
761 |
|
Global Geophysical Services, Inc., |
|
|
|
|
|
|
|
|
10.500%, 5117 |
|
|
3,767 |
|
|
|
3,654 |
|
Thermon Industries, Inc., |
|
|
|
|
|
|
|
|
9.500%, 5117 |
|
|
328 |
|
|
|
341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,065 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 0.4% |
|
Quicksilver Resources Inc.: |
|
|
|
|
|
|
|
|
11.750%, 1116 |
|
|
600 |
|
|
|
648 |
|
7.125%, 4116 |
|
|
400 |
|
|
|
352 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Refining & Marketing 2.7% |
|
Energy Partners Ltd., |
|
|
|
|
|
|
|
|
8.250%, 21518 |
|
|
2,516 |
|
|
|
2,315 |
|
Offshore Group Investment Limited: |
|
|
|
|
|
|
|
|
11.500%, 8115 |
|
|
3,390 |
|
|
|
3,491 |
|
11.500%, 8115 (B) |
|
|
740 |
|
|
|
762 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,568 |
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 0.6% |
|
Bank of America Corporation: |
|
|
|
|
|
|
|
|
8.000%, 122949 (E) |
|
|
1,450 |
|
|
|
1,233 |
|
8.125%, 122949 (E) |
|
|
426 |
|
|
|
362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,595 |
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.5% |
|
Bumble Bee Foods, LLC: |
|
|
|
|
|
|
|
|
9.000%, 121517 (B) |
|
|
2,100 |
|
|
|
1,974 |
|
9.625%, 31518 (B) |
|
|
2,175 |
|
|
|
1,745 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,719 |
|
|
|
|
|
|
|
|
|
|
|
Paper Packaging 1.3% |
|
Sealed Air Corporation: |
|
|
|
|
|
|
|
|
8.125%, 91519 (B) |
|
|
1,626 |
|
|
|
1,642 |
|
8.375%, 91521 (B) |
|
|
1,689 |
|
|
|
1,706 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,348 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper Products 0.3% |
|
|
|
|
|
|
|
|
Appleton Papers Inc., |
|
|
|
|
|
|
|
|
10.500%, 61515 (B) |
|
|
720 |
|
|
|
706 |
|
Verso Paper Corp., |
|
|
|
|
|
|
|
|
8.750%, 2119 |
|
|
142 |
|
|
|
98 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
804 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 1.1% |
|
|
|
|
|
|
|
|
Capsugel FinanceCo S.C.A., |
|
|
|
|
|
|
|
|
9.875%, 8119 (B)(D) |
|
|
EUR1,879 |
|
|
|
2,342 |
|
ConvaTec Healthcare E S.A., |
|
|
|
|
|
|
|
|
10.500%, 121518 (B) |
|
$ |
280 |
|
|
|
246 |
|
InVentiv Health, Inc., |
|
|
|
|
|
|
|
|
10.000%, 81518 (B) |
|
|
325 |
|
|
|
286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,874 |
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 0.7% |
|
|
|
|
|
Fidelity National Information Services, Inc.: |
|
|
|
|
|
7.625%, 71517 |
|
|
1,235 |
|
|
|
1,284 |
|
7.875%, 71520 |
|
|
420 |
|
|
|
437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,721 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Railroads 1.0% |
|
|
|
|
|
|
|
|
Kansas City Southern de Mexico, S.A. de C.V.: |
|
|
|
|
|
8.000%, 2118 |
|
|
1,990 |
|
|
|
2,119 |
|
6.625%, 121520 |
|
|
420 |
|
|
|
433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,552 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 0.9% |
|
|
|
|
|
|
|
|
CIT Group, Inc., |
|
|
|
|
|
|
|
|
7.000%, 5217 (B) |
|
|
2,330 |
|
|
|
2,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 5.2% |
|
|
|
|
|
|
|
|
CKE Holdings, Inc., |
|
|
|
|
|
|
|
|
10.500%, 31416 (B)(C) |
|
|
2,068 |
|
|
|
1,802 |
|
CKE Restaurants, Inc., |
|
|
|
|
|
|
|
|
11.375%, 71518 |
|
|
3,174 |
|
|
|
3,301 |
|
Dave & Busters, Inc., |
|
|
|
|
|
|
|
|
0.000%, 21516 (B)(F) |
|
|
4,180 |
|
|
|
2,320 |
|
DineEquity, Inc., |
|
|
|
|
|
|
|
|
9.500%, 103018 |
|
|
1,734 |
|
|
|
1,721 |
|
NPC International, Inc., |
|
|
|
|
|
|
|
|
9.500%, 5114 |
|
|
4,192 |
|
|
|
4,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,264 |
|
|
|
|
|
|
|
|
|
|
|
|
Security & Alarm Services 0.5% |
|
|
|
|
|
DynCorp International Inc., |
|
|
|
|
|
|
|
|
10.375%, 7117 |
|
|
1,325 |
|
|
|
1,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 0.1% |
|
Phototronics, Inc., Convertible, |
|
|
|
|
|
|
|
|
3.250%, 4116 (B) |
|
|
170 |
|
|
|
151 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 0.4% |
|
Freescale Semiconductor, Inc., |
|
|
|
|
|
|
|
|
8.050%, 2120 |
|
|
302 |
|
|
|
273 |
|
Micron Technology, Inc., Convertible: |
|
|
|
|
|
|
|
|
1.500%, 8131 (B) |
|
|
707 |
|
|
|
543 |
|
1.875%, 8131 (B) |
|
|
159 |
|
|
|
122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
938 |
|
|
|
|
|
|
|
|
|
|
|
Specialized Consumer Services 0.7% |
|
B-Corp Merger Sub, Inc., |
|
|
|
|
|
|
|
|
8.250%, 6119 (B) |
|
|
1,944 |
|
|
|
1,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized Finance 0.3% |
|
|
|
|
|
|
|
|
PHH Corporation, |
|
|
|
|
|
|
|
|
9.250%, 3116 |
|
|
700 |
|
|
|
719 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized REITs 0.9% |
|
|
|
|
|
|
|
|
CNL Lifestyles Properties, Inc., |
|
|
|
|
|
|
|
|
7.250%, 41519 |
|
|
2,696 |
|
|
|
2,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Steel 1.5% |
|
|
|
|
|
|
|
|
Ryerson Inc., |
|
|
|
|
|
|
|
|
12.000%, 11115 |
|
|
750 |
|
|
|
750 |
|
Severstal Columbus LLC, |
|
|
|
|
|
|
|
|
10.250%, 21518 |
|
|
720 |
|
|
|
734 |
|
WireCo WorldGroup Inc., |
|
|
|
|
|
|
|
|
9.750%, 51517 (B) |
|
|
2,090 |
|
|
|
2,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,595 |
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.1% |
|
|
|
|
|
Atlantis Merger Sub, Inc. and SoftBrands, Inc., |
|
|
|
|
|
|
|
|
11.500%, 71518 (B) |
|
|
3,091 |
|
|
|
2,751 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 0.6% |
|
|
|
|
|
|
|
|
Provident Funding Associates, L.P. and PFG Finance Corp., |
|
|
|
|
|
|
|
|
10.125%, 21519 (B) |
|
|
1,745 |
|
|
|
1,509 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 0.6% |
|
|
|
|
|
|
|
|
United Rentals (North America), Inc., |
|
|
|
|
|
|
|
|
8.375%, 91520 |
|
|
1,590 |
|
|
|
1,459 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.2% |
|
Cricket Communications, Inc., |
|
|
|
|
|
|
|
|
7.750%, 101520 |
|
|
695 |
|
|
|
605 |
|
Digicel Group Limited: |
|
|
|
|
|
|
|
|
8.250%, 9117 (B) |
|
|
284 |
|
|
|
267 |
|
10.500%, 41518 (B) |
|
|
928 |
|
|
|
914 |
|
MetroPCS Wireless, Inc., |
|
|
|
|
|
|
|
|
6.625%, 111520 |
|
|
810 |
|
|
|
713 |
|
Wind Acquisition Finance S.A., |
|
|
|
|
|
|
|
|
11.750%, 71517 (B) |
|
|
685 |
|
|
|
582 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,081 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE DEBT SECURITIES 82.4% |
|
|
$ |
207,455 |
|
(Cost: $222,154) |
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS - TAXABLE 0.6% |
|
|
|
|
|
|
|
|
Arizona |
|
|
|
|
|
|
|
|
AZ Hlth Fac Auth, Rev Bonds (Banner Hlth), Ser 2007B, |
|
|
|
|
|
|
|
|
0.975%, 1137 (E) |
|
|
2,175 |
|
|
$ |
1,398 |
|
|
|
|
|
|
|
|
|
|
(Cost: $1,402) |
|
|
|
|
|
|
|
|
|
|
|
SENIOR LOANS |
|
|
|
|
|
|
|
|
Application Software 0.3% |
|
|
|
|
|
|
|
|
Blackboard, Inc., |
|
|
|
|
|
|
|
|
7.500%, 63018 (E) |
|
|
750 |
|
|
|
696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Building Products 2.4% |
|
|
|
|
|
|
|
|
Goodman Global, Inc., |
|
|
|
|
|
|
|
|
9.000%, 10617 (E) |
|
|
5,945 |
|
|
|
5,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Casinos & Gaming 0.1% |
|
|
|
|
|
|
|
|
Revel AC, Inc., |
|
|
|
|
|
|
|
|
9.000%, 12417 (E) |
|
|
350 |
|
|
|
288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 0.1% |
|
|
|
|
|
|
|
|
Mitel Networks Corporation, |
|
|
|
|
|
|
|
|
7.303%, 81515 (E) |
|
|
224 |
|
|
|
203 |
|
|
|
|
|
|
|
|
|
|
|
Diversified Support Services 3.4% |
|
Advantage Sales & Marketing, Inc., |
|
|
|
|
|
|
|
|
9.250%, 52918 (E) |
|
|
5,184 |
|
|
|
4,963 |
|
Applied Systems, Inc., |
|
|
|
|
|
|
|
|
9.250%, 51717 (E) |
|
|
215 |
|
|
|
208 |
|
N.E.W. Holdings I, LLC, |
|
|
|
|
|
|
|
|
9.500%, 3517 (E) |
|
|
3,675 |
|
|
|
3,588 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,759 |
|
|
|
|
|
|
|
|
|
|
|
Environmental & Facilities Services 0.4% |
|
K2 Pure Solutions Nocal, L.P., |
|
|
|
|
|
|
|
|
10.000%, 72015 (E) |
|
|
998 |
|
|
|
948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Distributors 0.4% |
|
|
|
|
|
|
|
|
Fairway Group Acquisition Company, |
|
|
|
|
|
|
|
|
7.500%, 21117 (E) |
|
|
936 |
|
|
|
881 |
|
U.S. Foodservice, Inc.: |
|
|
|
|
|
|
|
|
2.730%, 7314 (E) |
|
|
33 |
|
|
|
30 |
|
2.740%, 7314 (E) |
|
|
97 |
|
|
|
89 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 0.3% |
|
|
|
|
|
|
|
|
Immucor, Inc., |
|
|
|
|
|
|
|
|
7.250%, 7218 (E) |
|
|
750 |
|
|
|
738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Facilities 0.8% |
|
|
|
|
|
|
|
|
National Surgical Hospitals, Inc.: |
|
|
|
|
|
|
|
|
8.250%, 1417 (E) |
|
|
1,843 |
|
|
|
1,760 |
|
0.000%, 2317 (E)(F) |
|
|
323 |
|
|
|
308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,068 |
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.7% |
|
Spring Windows Fashions, LLC, |
|
|
|
|
|
|
|
|
11.250%, 42718 (E) |
|
|
1,800 |
|
|
|
1,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hypermarkets & Super Centers 0.5% |
|
|
|
|
|
|
|
|
Roundys Supermarkets, Inc., |
|
|
|
|
|
|
|
|
10.000%, 4516 (E) |
|
|
1,195 |
|
|
|
1,167 |
|
|
|
|
|
|
|
|
|
|
|
Independent Power Producers & Energy Traders 0.9% |
|
Texas Competitive Electric Holdings Company, LLC: |
|
|
|
|
|
|
|
|
4.726%, 101017 (E) |
|
|
1,595 |
|
|
|
1,061 |
|
4.772%, 101017 (E) |
|
|
1,696 |
|
|
|
1,129 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,190 |
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 0.5% |
|
Nextag, Inc., |
|
|
|
|
|
|
|
|
7.000%, 122917 (E) |
|
|
1,396 |
|
|
|
1,291 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 0.7% |
|
|
|
|
|
|
|
|
Presidio, Inc., |
|
|
|
|
|
|
|
|
7.250%, 33117 (E) |
|
|
1,663 |
|
|
|
1,604 |
|
Vertafore, Inc., |
|
|
|
|
|
|
|
|
9.750%, 101817 (E) |
|
|
222 |
|
|
|
212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,816 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SENIOR LOANS 11.5% |
|
|
$ |
28,822 |
|
(Cost: $30,227) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Commercial Paper 3.2% |
|
Clorox Co., |
|
|
|
|
|
|
|
|
0.340%, 10611 (G) |
|
|
3,068 |
|
|
|
3,068 |
|
Diageo Capital plc (GTD by Diageo plc), |
|
|
|
|
|
|
|
|
0.400%, 102111 (G) |
|
|
3,000 |
|
|
|
2,999 |
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), |
|
|
|
|
|
|
|
|
0.070%, 102411 (G) |
|
|
2,000 |
|
|
|
2,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 1.1% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (H) |
|
|
2,777 |
|
|
|
2,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 0.2% |
|
|
|
|
|
|
|
|
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp Proj), Ser 1996 (GTD by Exxon Mobil Corporation), |
|
|
|
|
|
|
|
|
0.100%, 10311 (H) |
|
|
575 |
|
|
|
575 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 4.5% |
|
|
|
|
|
$ |
11,419 |
|
(Cost: $11,419) |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.8% |
|
|
|
|
|
$ |
251,110 |
|
(Cost: $267,550) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.2% |
|
|
|
|
|
|
416 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
251,526 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
1,040 |
|
|
$ |
|
|
|
$ |
|
|
Preferred Stocks |
|
|
709 |
|
|
|
117 |
|
|
|
|
|
Warrants |
|
|
|
|
|
|
|
|
|
|
150 |
|
Corporate Debt Securities |
|
|
|
|
|
|
206,856 |
|
|
|
599 |
|
Municipal Bonds |
|
|
|
|
|
|
1,398 |
|
|
|
|
|
Senior Loans |
|
|
|
|
|
|
22,492 |
|
|
|
6,330 |
|
Short-Term Securities |
|
|
|
|
|
|
11,419 |
|
|
|
|
|
Total |
|
$ |
1,749 |
|
|
$ |
242,282 |
|
|
$ |
7,079 |
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
546 |
|
|
$ |
|
|
The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair
value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
Warrants |
|
|
Corporate Debt Securities |
|
|
Senior Loans |
|
Beginning Balance 1111 |
|
$ |
540 |
|
|
$ |
150 |
|
|
$ |
8,715 |
|
|
$ |
16,078 |
|
Net realized gain (loss) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115 |
|
Net unrealized appreciation (depreciation) |
|
|
|
|
|
|
|
|
|
|
(19 |
) |
|
|
(287 |
) |
Purchases |
|
|
|
|
|
|
|
|
|
|
618 |
|
|
|
6,262 |
|
Sales |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(6,071 |
) |
Transfers into Level 3 during the period |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transfers out of Level 3 during the period |
|
|
(540 |
) |
|
|
|
|
|
|
(8,715 |
) |
|
|
(9,767 |
) |
Ending Balance 93011 |
|
$ |
|
|
|
$ |
150 |
|
|
$ |
599 |
|
|
$ |
6,330 |
|
Net change in unrealized appreciation (depreciation) for all Level 3 investments still held as of 93011 |
|
$ |
|
|
|
$ |
|
|
|
$ |
(19 |
) |
|
$ |
(153 |
) |
Transfers from Level 2 to Level 3 occurred generally due to the lack of observable market data due to decreased market
activity or information for these securities. Transfers from Level 3 to Level 2 occurred generally due to the increased availability of observable market data due to increased market activity or information. There were no significant transfers
between Levels 1 and 2 during the period ended September 30, 2011.
The following forward foreign currency contracts were outstanding at
September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount
of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
11-15-11 |
|
|
$ |
7 |
|
|
$ |
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-15-11 |
|
|
|
5 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-12 |
|
|
|
9 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
5-15-12 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-15-12 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
93 |
|
|
|
8-1-12 |
|
|
|
8 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
11-15-12 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-17-12 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-13 |
|
|
|
7 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
5-15-13 |
|
|
|
5 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-17-13 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-1-13 |
|
|
|
7 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
11-15-13 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-16-13 |
|
|
|
3 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-3-14 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
95 |
|
|
|
5-15-14 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-16-14 |
|
|
|
2 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-1-14 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Morgan Stanley International |
|
|
84 |
|
|
|
11-14-14 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
11 |
|
|
|
11-17-14 |
|
|
|
|
* |
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-15-14 |
|
|
|
2 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-2-15 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
1,189 |
|
|
|
5-15-15 |
|
|
|
54 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-15-15 |
|
|
|
3 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-3-15 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
11 |
|
|
|
11-16-15 |
|
|
|
|
* |
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-15-15 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-16 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
301 |
|
|
|
5-16-16 |
|
|
|
15 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-15-16 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-1-16 |
|
|
|
6 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-15-16 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-17 |
|
|
|
7 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
6-15-17 |
|
|
|
4 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-1-17 |
|
|
|
7 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
70 |
|
|
|
12-15-17 |
|
|
|
5 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-18 |
|
|
|
8 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
1,454 |
|
|
|
6-15-18 |
|
|
|
106 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
8-1-18 |
|
|
|
8 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
94 |
|
|
|
2-1-19 |
|
|
|
8 |
|
|
|
|
|
Sell |
|
Euro |
|
Deutsche Bank AG |
|
|
2,000 |
|
|
|
8-1-19 |
|
|
|
182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
546 |
|
|
$ |
|
|
* |
Not shown due to rounding. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $116,119 or 46.2% of net assets. |
(C) |
Payment-in-kind bonds. |
(D) |
Principal amounts are denominated in the indicated foreign currency, where applicable (EUR - Euro). |
(E) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(G) |
Rate shown is the yield to maturity at September 30, 2011. |
(H) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
267,557 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
1,943 |
|
Gross unrealized depreciation |
|
|
(18,390 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(16,447 |
) |
|
|
|
SCHEDULE OF INVESTMENTS
International Core Equity (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Australia 10.6% |
|
|
|
|
|
|
|
|
Fosters Group Limited |
|
|
876 |
|
|
$ |
4,446 |
|
Myer Holdings Limited |
|
|
2,759 |
|
|
|
5,369 |
|
Newcrest Mining Limited |
|
|
288 |
|
|
|
9,503 |
|
Orica Limited |
|
|
233 |
|
|
|
5,228 |
|
QBE Insurance Group Limited |
|
|
412 |
|
|
|
5,060 |
|
Telstra Corporation Limited |
|
|
6,014 |
|
|
|
17,911 |
|
Toll Holdings Limited |
|
|
907 |
|
|
|
3,805 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Brazil 0.2% |
|
|
|
|
|
|
|
|
Vivo Participacoes S.A., ADR |
|
|
36 |
|
|
|
959 |
|
|
|
|
|
|
|
|
|
|
|
|
|
China 5.3% |
|
|
|
|
|
|
|
|
China Construction Bank Corporation |
|
|
8,093 |
|
|
|
4,895 |
|
China Unicom Limited |
|
|
4,500 |
|
|
|
9,149 |
|
SINA Corporation (A) |
|
|
66 |
|
|
|
4,705 |
|
ZTE Corporation, H Shares |
|
|
2,427 |
|
|
|
6,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,623 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Denmark 0.3% |
|
|
|
|
|
|
|
|
PANDORA Holding A/S |
|
|
134 |
|
|
|
896 |
|
PANDORA Holding A/S (B) |
|
|
109 |
|
|
|
724 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,620 |
|
|
|
|
|
|
|
|
|
|
|
|
|
France 15.0% |
|
|
|
|
|
|
|
|
Alstom |
|
|
180 |
|
|
|
5,925 |
|
Cap Gemini S.A. |
|
|
186 |
|
|
|
6,184 |
|
Danone |
|
|
176 |
|
|
|
10,849 |
|
Safran |
|
|
175 |
|
|
|
5,347 |
|
Sanofi-Aventis |
|
|
195 |
|
|
|
12,842 |
|
Total S.A. |
|
|
456 |
|
|
|
20,116 |
|
Vivendi Universal |
|
|
544 |
|
|
|
11,084 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Germany 4.3% |
|
|
|
|
|
|
|
|
Bayer AG |
|
|
156 |
|
|
|
8,581 |
|
DaimlerChrysler AG, Registered Shares |
|
|
138 |
|
|
|
6,147 |
|
Dialog Semiconductor plc (A) |
|
|
361 |
|
|
|
6,111 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hong Kong 1.8% |
|
|
|
|
|
|
|
|
Cheung Kong (Holdings) Limited |
|
|
780 |
|
|
|
8,456 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 2.7% |
|
|
|
|
|
|
|
|
Bezeq - Israel Telecommunication Corp., Ltd. (The) |
|
|
2,598 |
|
|
|
4,860 |
|
Teva Pharmaceutical Industries Limited, ADR |
|
|
218 |
|
|
|
8,132 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,992 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy 0.9% |
|
|
|
|
|
|
|
|
Saipem S.p.A. |
|
|
125 |
|
|
|
4,372 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan 11.1% |
|
|
|
|
|
|
|
|
Chiyoda Corporation |
|
|
555 |
|
|
|
5,411 |
|
Hoya Corporation |
|
|
100 |
|
|
|
2,316 |
|
Kao Corporation |
|
|
292 |
|
|
|
8,125 |
|
Mitsubishi Corporation |
|
|
325 |
|
|
|
6,613 |
|
Mitsubishi Electric Corporation |
|
|
548 |
|
|
|
4,854 |
|
Nissin Kogyo Co., Ltd. |
|
|
604 |
|
|
|
9,043 |
|
Softbank Corp. |
|
|
325 |
|
|
|
9,504 |
|
Tokyo Gas Co., Ltd. |
|
|
1,646 |
|
|
|
7,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
53,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexico 1.4% |
|
|
|
|
|
|
|
|
America Movil, S.A. de C.V. |
|
|
313 |
|
|
|
6,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 4.5% |
|
|
|
|
|
|
|
|
Fugro N.V. |
|
|
116 |
|
|
|
5,835 |
|
Koninklijke Ahold N.V. |
|
|
707 |
|
|
|
8,316 |
|
Koninklijke KPN N.V. |
|
|
559 |
|
|
|
7,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,516 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Singapore 1.5% |
|
|
|
|
|
|
|
|
United Overseas Bank Limited |
|
|
558 |
|
|
|
7,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sweden 2.5% |
|
|
|
|
|
|
|
|
Tele2 AB |
|
|
371 |
|
|
|
6,717 |
|
Telefonaktiebolaget LM Ericsson, B Shares |
|
|
564 |
|
|
|
5,417 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland 5.0% |
|
|
|
|
|
|
|
|
Credit Suisse Group AG, Registered Shares |
|
|
286 |
|
|
|
7,487 |
|
Novartis AG, Registered Shares |
|
|
136 |
|
|
|
7,623 |
|
Syngenta AG |
|
|
25 |
|
|
|
6,572 |
|
TEMENOS Group AG (A) |
|
|
185 |
|
|
|
2,493 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Taiwan 4.5% |
|
|
|
|
|
|
|
|
Advanced Semiconductor Engineering, Inc. |
|
|
6,358 |
|
|
|
5,421 |
|
High Tech Computer Corp. |
|
|
219 |
|
|
|
4,809 |
|
Hon Hai Precision Ind. Co., Ltd. |
|
|
210 |
|
|
|
468 |
|
Taiwan Semiconductor Manufacturing Company Ltd. |
|
|
2,342 |
|
|
|
5,271 |
|
Unimicron Technology Corp. |
|
|
4,036 |
|
|
|
5,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 16.6% |
|
|
|
|
|
|
|
|
Barclays plc |
|
|
2,331 |
|
|
|
5,717 |
|
Barclays plc (B) |
|
|
733 |
|
|
|
1,798 |
|
HSBC Holdings plc |
|
|
677 |
|
|
|
5,186 |
|
Invensys plc, ADR |
|
|
1,547 |
|
|
|
5,388 |
|
Prudential plc |
|
|
735 |
|
|
|
6,309 |
|
Rolls-Royce Group plc |
|
|
720 |
|
|
|
6,615 |
|
Royal Dutch Shell plc, Class A |
|
|
366 |
|
|
|
11,276 |
|
Unilever plc |
|
|
504 |
|
|
|
15,776 |
|
Vodafone Group plc |
|
|
2,838 |
|
|
|
7,314 |
|
WPP Group plc |
|
|
875 |
|
|
|
8,109 |
|
Xstrata plc |
|
|
461 |
|
|
|
5,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79,303 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 1.5% |
|
|
|
|
|
|
|
|
InBev NV |
|
|
140 |
|
|
|
7,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 89.7% |
|
|
|
|
|
$ |
432,315 |
|
(Cost: $507,328) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 7.4% |
|
|
|
|
|
|
|
|
Bemis Company, Inc., 0.330%, 10511 (C) |
|
$ |
5,000 |
|
|
|
5,000 |
|
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited), 0.120%, 101811 (C) |
|
|
3,000 |
|
|
|
3,000 |
|
Danaher Corporation, 0.070%, 10511 (C) |
|
|
4,000 |
|
|
|
4,000 |
|
John Deere Credit Limited (GTD by John Deere Capital Corporation), 0.100%, 10711 (C) |
|
|
5,000 |
|
|
|
5,000 |
|
|
|
|
|
|
|
|
|
|
Mattel Inc., 0.310%, 101711 (C) |
|
|
5,000 |
|
|
|
4,999 |
|
Sara Lee Corporation, 0.280%, 101811 (C) |
|
|
7,000 |
|
|
|
6,998 |
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), 0.070%, 102411
(C) |
|
|
4,000 |
|
|
|
4,000 |
|
St. Jude Medical, Inc., 0.210%, 102711 (C) |
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.2% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (D) |
|
|
1,165 |
|
|
|
1,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 1.3% |
|
|
|
|
|
|
|
|
Los Angeles, CA, Wastewater Sys Sub Rev Bonds, Var Rate Rfdg, Ser 2008-A (GTD by Bank of America, N.A.), 0.100%, 10-3-11
(D) |
|
|
2,864 |
|
|
|
2,864 |
|
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America, N.A.), 0.180%, 10-3-11 (D) |
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,864 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 8.9% |
|
|
$ |
43,026 |
|
(Cost: $43,026) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 98.6% |
|
|
$ |
475,341 |
|
(Cost: $550,354) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 1.4% |
|
|
|
|
|
|
6,684 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
482,025 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Health Care |
|
$ |
8,132 |
|
|
$ |
29,047 |
|
|
$ |
|
|
Information Technology |
|
|
4,705 |
|
|
|
51,009 |
|
|
|
|
|
Telecommunication Services |
|
|
7,863 |
|
|
|
62,820 |
|
|
|
|
|
Other Sectors |
|
|
|
|
|
|
268,739 |
|
|
|
|
|
Total Common Stocks |
|
$ |
20,700 |
|
|
$ |
411,615 |
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
43,026 |
|
|
|
|
|
Total |
|
$ |
20,700 |
|
|
$ |
454,641 |
|
|
$ |
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
3,266 |
|
|
$ |
|
|
During the period ended September 30, 2011, securities totaling $263,034 were transferred from Level 1 to Level
2. These transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.
The following forward foreign currency contracts were outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Sell |
|
Australian Dollar |
|
Goldman Sachs International |
|
|
24,500 |
|
|
|
11-10-11 |
|
|
$ |
1,605 |
|
|
$ |
|
|
Sell |
|
Euro |
|
Goldman Sachs International |
|
|
36,200 |
|
|
|
6-19-12 |
|
|
|
1,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
3,266 |
|
|
$ |
|
|
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $2,522 or 0.5% of net assets. |
(C) |
Rate shown is the yield to maturity at September 30, 2011. |
(D) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
550,744 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
9,263 |
|
Gross unrealized depreciation |
|
|
(84,666 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(75,403 |
) |
|
|
|
SCHEDULE OF INVESTMENTS
International Growth (in
thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Australia 5.7% |
|
|
|
|
|
|
|
|
Coca-Cola Amatil Limited |
|
|
318 |
|
|
$ |
3,639 |
|
David Jones Limited |
|
|
847 |
|
|
|
2,435 |
|
Orica Limited |
|
|
147 |
|
|
|
3,297 |
|
Telstra Corporation Limited |
|
|
2,603 |
|
|
|
7,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Canada 1.0% |
|
|
|
|
|
|
|
|
Canadian Natural Resources Limited |
|
|
107 |
|
|
|
3,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
China 6.2% |
|
|
|
|
|
|
|
|
China Unicom Limited |
|
|
3,092 |
|
|
|
6,286 |
|
SINA Corporation (A) |
|
|
36 |
|
|
|
2,556 |
|
Tingyi Holding Corp. |
|
|
1,440 |
|
|
|
3,530 |
|
Wynn Macau, Limited |
|
|
2,700 |
|
|
|
6,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
France 8.6% |
|
|
|
|
|
|
|
|
Danone |
|
|
94 |
|
|
|
5,769 |
|
LVMH Moet Hennessy - Louis Vuitton |
|
|
32 |
|
|
|
4,274 |
|
Pinault-Printemps-Redoute S.A. |
|
|
44 |
|
|
|
5,704 |
|
Safran |
|
|
100 |
|
|
|
3,060 |
|
Vinci |
|
|
166 |
|
|
|
7,112 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,919 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Germany 10.6% |
|
|
|
|
|
|
|
|
adidas AG |
|
|
109 |
|
|
|
6,639 |
|
Bayer AG |
|
|
106 |
|
|
|
5,825 |
|
Fresenius SE & Co. KGaA |
|
|
87 |
|
|
|
7,715 |
|
Linde AG |
|
|
40 |
|
|
|
5,294 |
|
MTU Aero Engines Holding AG |
|
|
55 |
|
|
|
3,432 |
|
Siemens AG |
|
|
31 |
|
|
|
2,794 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
31,699 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hong Kong 1.4% |
|
|
|
|
|
|
|
|
Yue Yuen Industrial (Holdings) Limited |
|
|
1,653 |
|
|
|
4,275 |
|
|
|
|
|
|
|
|
|
|
|
|
|
India 0.8% |
|
|
|
|
|
|
|
|
Infrastructure Development Finance Company Limited |
|
|
653 |
|
|
|
1,466 |
|
Infrastructure Development Finance Company Limited (B) |
|
|
453 |
|
|
|
1,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,483 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Israel 1.5% |
|
|
|
|
|
|
|
|
Teva Pharmaceutical Industries Limited, ADR |
|
|
119 |
|
|
|
4,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Italy 1.5% |
|
|
|
|
|
|
|
|
Saipem S.p.A. |
|
|
127 |
|
|
|
4,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan 11.5% |
|
|
|
|
|
|
|
|
Canon Inc. |
|
|
81 |
|
|
|
3,664 |
|
Honda Motor Co., Ltd. |
|
|
105 |
|
|
|
3,082 |
|
JGC Corporation |
|
|
149 |
|
|
|
3,644 |
|
KONAMI Corporation |
|
|
152 |
|
|
|
5,110 |
|
Mitsubishi Corporation |
|
|
256 |
|
|
|
5,206 |
|
Mitsubishi Electric Corporation |
|
|
365 |
|
|
|
3,233 |
|
Mitsui & Co., Ltd. |
|
|
330 |
|
|
|
4,780 |
|
Nissin Kogyo Co., Ltd. |
|
|
270 |
|
|
|
4,040 |
|
ORIX Corporation |
|
|
21 |
|
|
|
1,631 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,390 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Luxembourg 1.3% |
|
|
|
|
|
|
|
|
Tenaris S.A. |
|
|
317 |
|
|
|
3,993 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexico 1.5% |
|
|
|
|
|
|
|
|
Grupo Modelo, S.A.B. de C.V., Series C |
|
|
810 |
|
|
|
4,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Netherlands 2.9% |
|
|
|
|
|
|
|
|
ASML Holding N.V., Ordinary Shares |
|
|
82 |
|
|
|
2,843 |
|
Unilever N.V., Certicaaten Van Aandelen |
|
|
185 |
|
|
|
5,848 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,691 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Norway 1.4% |
|
|
|
|
|
|
|
|
Seadrill Limited |
|
|
157 |
|
|
|
4,323 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Sweden 2.9% |
|
|
|
|
|
|
|
|
Tele2 AB |
|
|
253 |
|
|
|
4,581 |
|
Telefonaktiebolaget LM Ericsson, B Shares |
|
|
431 |
|
|
|
4,141 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,722 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Switzerland 5.9% |
|
|
|
|
|
|
|
|
ABB Ltd |
|
|
268 |
|
|
|
4,579 |
|
Credit Suisse Group AG, Registered Shares |
|
|
111 |
|
|
|
2,897 |
|
Swatch Group Ltd (The), Bearer Shares |
|
|
7 |
|
|
|
2,211 |
|
Syngenta AG |
|
|
22 |
|
|
|
5,756 |
|
TEMENOS Group AG (A) |
|
|
179 |
|
|
|
2,421 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United Kingdom 15.0% |
|
|
|
|
|
|
|
|
Barclays plc |
|
|
2,037 |
|
|
|
4,996 |
|
British American Tobacco plc |
|
|
137 |
|
|
|
5,783 |
|
Diageo plc |
|
|
356 |
|
|
|
6,785 |
|
Experian plc |
|
|
454 |
|
|
|
5,097 |
|
GlaxoSmithKline plc |
|
|
307 |
|
|
|
6,326 |
|
Meggitt plc |
|
|
707 |
|
|
|
3,658 |
|
Prudential plc |
|
|
344 |
|
|
|
2,957 |
|
Rio Tinto plc |
|
|
63 |
|
|
|
2,802 |
|
Virgin Media Inc. |
|
|
143 |
|
|
|
3,483 |
|
Xstrata plc |
|
|
220 |
|
|
|
2,776 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
44,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
United States 8.5% |
|
|
|
|
|
|
|
|
Apple Inc. (A) |
|
|
31 |
|
|
|
11,764 |
|
InBev NV |
|
|
92 |
|
|
|
4,903 |
|
QUALCOMM Incorporated |
|
|
87 |
|
|
|
4,249 |
|
Schlumberger Limited |
|
|
75 |
|
|
|
4,486 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,402 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 88.2% |
|
|
$ |
264,917 |
|
(Cost: $287,188) |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS 1.6% |
|
|
|
|
|
|
|
|
Germany |
|
|
|
|
|
|
|
|
Volkswagen AG |
|
|
37 |
|
|
$ |
4,846 |
|
|
|
|
|
|
|
|
|
|
(Cost: $6,882) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 3.0% |
|
|
|
|
|
|
|
|
Danaher Corporation, 0.120%, 10711 (C) |
|
$ |
5,000 |
|
|
|
5,000 |
|
Straight-A Funding, LLC (GTD by Federal Financing Bank), 0.130%, 101811 (C) |
|
|
4,000 |
|
|
|
4,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 1.3% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (D) |
|
|
3,760 |
|
|
|
3,760 |
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations - Taxable 3.9% |
|
|
|
|
|
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.), 0.110%, 10711
(D) |
|
|
2,000 |
|
|
|
2,000 |
|
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2007B (GTD by Chevron Corporation), 0.100%,
10311 (D) |
|
|
10,000 |
|
|
|
10,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,000 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 8.2% |
|
|
$ |
24,760 |
|
(Cost: $24,760) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 98.0% |
|
|
$ |
294,523 |
|
(Cost: $318,830) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 2.0% |
|
|
|
6,055 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
300,578 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary |
|
$ |
3,483 |
|
|
$ |
39,047 |
|
|
$ |
|
|
Consumer Staples |
|
|
4,580 |
|
|
|
36,257 |
|
|
|
|
|
Energy |
|
|
7,631 |
|
|
|
12,775 |
|
|
|
|
|
Health Care |
|
|
4,425 |
|
|
|
19,866 |
|
|
|
|
|
Information Technology |
|
|
18,569 |
|
|
|
18,179 |
|
|
|
|
|
Other Sectors |
|
|
|
|
|
|
100,105 |
|
|
|
|
|
Total Common Stocks |
|
$ |
38,688 |
|
|
$ |
226,229 |
|
|
$ |
|
|
Preferred Stocks |
|
|
|
|
|
|
4,846 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
24,760 |
|
|
|
|
|
Total |
|
$ |
38,688 |
|
|
$ |
255,835 |
|
|
$ |
|
|
Forward Foreign Currency Contracts |
|
$ |
|
|
|
$ |
845 |
|
|
$ |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Swap Agreements |
|
$ |
|
|
|
$ |
884 |
|
|
$ |
|
|
During the period ended September 30, 2011, securities totaling $177,393 were transferred from Level 1 to Level 2. These
transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.
The following forward foreign currency contracts were outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type |
|
Currency |
|
Counterparty |
|
Principal Amount of Contract (Denominated in Indicated Currency) |
|
|
Settlement Date |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
|
Sell |
|
Euro |
|
Citibank, N.A. |
|
|
31,900 |
|
|
|
3-13-12 |
|
|
$ |
845 |
|
|
$ |
|
|
The following total return swap agreements were outstanding at September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty |
|
Notional Amount |
|
Underlying Security |
|
Termination Date |
|
|
Financing Fee# |
|
|
Unrealized Depreciation |
|
UBS AG, London |
|
$3,118 |
|
Ping An Insurance (Group) Company of China, Ltd. |
|
|
10-21-11 |
|
|
|
USD LIBOR + 0.700 |
% |
|
$ |
(884 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
# |
The Portfolio pays the financing fee multiplied by the notional amount each quarter. On the termination date of the swap contracts, the Portfolio will pay/receive the return of
the underlying security. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $1,017 or 0.3% of net assets. |
(C) |
Rate shown is the yield to maturity at September 30, 2011. |
(D) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
GTD = Guaranteed
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
318,896 |
|
|
|
Gross unrealized appreciation |
|
|
12,684 |
|
Gross unrealized depreciation |
|
|
(37,057 |
) |
Net unrealized depreciation |
|
$ |
(24,373 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Limited-Term Bond
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES |
|
Principal |
|
|
Value |
|
|
|
|
Aerospace & Defense 0.4% |
|
|
|
|
|
|
|
|
Bombardier Inc., |
|
|
|
|
|
|
|
|
7.500%, 31518 (A) |
|
$ |
750 |
|
|
$ |
791 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.8% |
|
|
|
|
|
|
|
|
FedEx Corporation, |
|
|
|
|
|
|
|
|
7.375%, 11514 |
|
|
1,500 |
|
|
|
1,698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines 0.5% |
|
|
|
|
|
|
|
|
Southwest Airlines Co., |
|
|
|
|
|
|
|
|
6.500%, 3112 |
|
|
1,000 |
|
|
|
1,021 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 1.1% |
|
|
|
|
|
|
|
|
Limited Brands, Inc., |
|
|
|
|
|
|
|
|
8.500%, 61519 |
|
|
2,000 |
|
|
|
2,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 1.2% |
|
|
|
|
|
|
|
|
CBS Corporation, |
|
|
|
|
|
|
|
|
8.200%, 51514 |
|
|
2,200 |
|
|
|
2,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 2.0% |
|
|
|
|
|
|
|
|
DirecTV Holdings LLC and DirecTV Financing Co., |
|
|
|
|
|
|
|
|
7.625%, 51516 |
|
|
2,000 |
|
|
|
2,150 |
|
Time Warner Cable Inc., |
|
|
|
|
|
|
|
|
3.500%, 2115 |
|
|
2,000 |
|
|
|
2,081 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,231 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer & Electronics Retail 0.5% |
|
|
|
|
|
|
|
|
Best Buy Co., Inc., |
|
|
|
|
|
|
|
|
6.750%, 71513 |
|
|
1,000 |
|
|
|
1,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 1.0% |
|
|
|
|
|
|
|
|
Caterpillar Inc., |
|
|
|
|
|
|
|
|
1.375%, 52714 |
|
|
2,000 |
|
|
|
2,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.1% |
|
|
|
|
|
|
|
|
American Express Credit Corporation, |
|
|
|
|
|
|
|
|
2.750%, 91515 |
|
|
2,000 |
|
|
|
2,011 |
|
Capital One Financial Corporation, |
|
|
|
|
|
|
|
|
2.125%, 71514 |
|
|
1,500 |
|
|
|
1,486 |
|
USAA Capital Corporation, |
|
|
|
|
|
|
|
|
1.050%, 93014 (A) |
|
|
1,000 |
|
|
|
997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 0.8% |
|
|
|
|
|
|
|
|
Western Union Company (The), |
|
|
|
|
|
|
|
|
6.500%, 22614 |
|
|
1,500 |
|
|
|
1,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 0.8% |
|
|
|
|
|
|
|
|
Diageo Capital plc, |
|
|
|
|
|
|
|
|
5.750%, 102317 |
|
|
1,500 |
|
|
|
1,753 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 4.4% |
|
|
|
|
|
|
|
|
Bank of New York Mellon Corporation (The), |
|
|
|
|
|
|
|
|
1.500%, 13114 |
|
|
2,000 |
|
|
|
2,016 |
|
Bank of Nova Scotia (The), |
|
|
|
|
|
|
|
|
2.375%, 121713 |
|
|
1,500 |
|
|
|
1,542 |
|
Barclays Bank plc, |
|
|
|
|
|
|
|
|
2.375%, 11314 |
|
|
1,500 |
|
|
|
1,468 |
|
HSBC Bank plc, |
|
|
|
|
|
|
|
|
3.100%, 52416 (A) |
|
|
2,000 |
|
|
|
1,990 |
|
Wells Fargo & Company, |
|
|
|
|
|
|
|
|
3.676%, 61516 (B) |
|
|
2,000 |
|
|
|
2,082 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Capital Markets 0.5% |
|
|
|
|
|
|
|
|
Deutsche Bank AG, |
|
|
|
|
|
|
|
|
3.250%, 11116 |
|
|
1,000 |
|
|
|
981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 2.0% |
|
|
|
|
|
|
|
|
Dow Chemical Company, (The), |
|
|
|
|
|
|
|
|
5.900%, 21515 |
|
|
2,000 |
|
|
|
2,209 |
|
E.I. du Pont de Nemours and Company, |
|
|
|
|
|
|
|
|
2.750%, 4116 |
|
|
2,000 |
|
|
|
2,101 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,310 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 2.8% |
|
|
|
|
|
|
|
|
BHP Billiton plc and BHP Billiton Limited, |
|
|
|
|
|
|
|
|
5.250%, 121515 |
|
|
2,000 |
|
|
|
2,292 |
|
Freeport-McMoRan Copper & Gold Inc., |
|
|
|
|
|
|
|
|
8.375%, 4117 |
|
|
2,000 |
|
|
|
2,145 |
|
Rio Tinto Finance (USA) Limited, |
|
|
|
|
|
|
|
|
2.250%, 92016 |
|
|
1,500 |
|
|
|
1,498 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,935 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Drug Retail 0.8% |
|
|
|
|
|
|
|
|
CVS Caremark Corporation, |
|
|
|
|
|
|
|
|
3.250%, 51815 |
|
|
1,675 |
|
|
|
1,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 3.9% |
|
|
|
|
|
|
|
|
Carolina Power & Light Company, |
|
|
|
|
|
|
|
|
5.125%, 91513 |
|
|
2,000 |
|
|
|
2,160 |
|
Great Plains Energy Incorporated, |
|
|
|
|
|
|
|
|
2.750%, 81513 |
|
|
2,000 |
|
|
|
2,035 |
|
National Rural Utilities Cooperative Finance Corporation: |
|
|
|
|
|
|
|
|
1.125%, 11113 |
|
|
1,000 |
|
|
|
1,002 |
|
1.900%, 11115 |
|
|
1,000 |
|
|
|
1,003 |
|
Oncor Electric Delivery Company LLC: |
|
|
|
|
|
|
|
|
6.375%, 5112 |
|
|
1,000 |
|
|
|
1,030 |
|
5.950%, 9113 |
|
|
1,000 |
|
|
|
1,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 1.0% |
|
|
|
|
|
|
|
|
Jabil Circuit, Inc., |
|
|
|
|
|
|
|
|
7.750%, 71516 |
|
|
2,000 |
|
|
|
2,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Environmental & Facilities Services 3.0% |
|
|
|
|
|
|
|
|
Allied Waste North America, Inc., |
|
|
|
|
|
|
|
|
6.875%, 6117 |
|
|
2,000 |
|
|
|
2,138 |
|
Waste Management, Inc.: |
|
|
|
|
|
|
|
|
6.375%, 111512 |
|
|
2,050 |
|
|
|
2,171 |
|
6.100%, 31518 |
|
|
2,000 |
|
|
|
2,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,617 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 1.0% |
|
|
|
|
|
|
|
|
Stryker Corporation, |
|
|
|
|
|
|
|
|
2.000%, 93016 |
|
|
2,000 |
|
|
|
2,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 1.8% |
|
|
|
|
|
|
|
|
Medco Health Solutions, Inc., |
|
|
|
|
|
|
|
|
2.750%, 91515 |
|
|
2,000 |
|
|
|
2,012 |
|
Quest Diagnostics Incorporated, |
|
|
|
|
|
|
|
|
3.200%, 4116 |
|
|
2,000 |
|
|
|
2,077 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,089 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 0.5% |
|
|
|
|
|
|
|
|
DENTSPLY International Inc., |
|
|
|
|
|
|
|
|
2.750%, 81516 |
|
|
1,000 |
|
|
|
1,008 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates 1.4% |
|
|
|
|
|
|
|
|
General Electric Capital Corporation, |
|
|
|
|
|
|
|
|
2.950%, 5916 |
|
|
3,000 |
|
|
|
3,009 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 0.3% |
|
|
|
|
|
|
|
|
Illinois Tool Works Inc., |
|
|
|
|
|
|
|
|
5.150%, 4114 |
|
|
540 |
|
|
|
591 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 2.1% |
|
|
|
|
|
|
|
|
AT&T Inc., |
|
|
|
|
|
|
|
|
2.400%, 81516 |
|
|
1,000 |
|
|
|
1,010 |
|
Deutsche Telekom International Finance B.V., |
|
|
|
|
|
|
|
|
4.875%, 7814 |
|
|
1,000 |
|
|
|
1,067 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
3.000%, 4116 |
|
|
2,250 |
|
|
|
2,354 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 2.0% |
|
|
|
|
|
|
|
|
Goldman Sachs Group, Inc. (The), |
|
|
|
|
|
|
|
|
3.625%, 2716 |
|
|
2,000 |
|
|
|
1,948 |
|
Morgan Stanley, |
|
|
|
|
|
|
|
|
4.100%, 12615 |
|
|
2,500 |
|
|
|
2,385 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 1.2% |
|
|
|
|
|
|
|
|
MetLife Global Funding I, |
|
|
|
|
|
|
|
|
2.500%, 92915 (A) |
|
|
1,500 |
|
|
|
1,513 |
|
Prudential Financial, Inc., |
|
|
|
|
|
|
|
|
4.750%, 91715 |
|
|
1,000 |
|
|
|
1,044 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 0.8% |
|
|
|
|
|
|
|
|
Viacom Inc., |
|
|
|
|
|
|
|
|
4.375%, 91514 |
|
|
1,600 |
|
|
|
1,710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 0.9% |
|
|
|
|
|
|
|
|
Schlumberger Investment SA (GTD by Schlumberger Limited), |
|
|
|
|
|
|
|
|
1.950%, 91416 (A) |
|
|
2,000 |
|
|
|
1,990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 1.0% |
|
|
|
|
|
|
|
|
EOG Resources, Inc., |
|
|
|
|
|
|
|
|
2.500%, 2116 |
|
|
2,000 |
|
|
|
2,043 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 1.8% |
|
|
|
|
|
|
|
|
DCP Midstream Operating, LP, |
|
|
|
|
|
|
|
|
3.250%, 10115 |
|
|
1,500 |
|
|
|
1,507 |
|
Sunoco Logistics Partners Operations L.P., |
|
|
|
|
|
|
|
|
8.750%, 21514 |
|
|
2,000 |
|
|
|
2,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,770 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 3.4% |
|
|
|
|
|
|
|
|
Bank of America Corporation, |
|
|
|
|
|
|
|
|
3.625%, 31716 |
|
|
2,000 |
|
|
|
1,822 |
|
ING Bank NV, |
|
|
|
|
|
|
|
|
2.375%, 6914 (A) |
|
|
2,500 |
|
|
|
2,425 |
|
JPMorgan Chase & Co., |
|
|
|
|
|
|
|
|
3.150%, 7516 |
|
|
3,000 |
|
|
|
2,982 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,229 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 2.1% |
|
|
|
|
|
|
|
|
General Mills, Inc., |
|
|
|
|
|
|
|
|
5.250%, 81513 |
|
|
2,000 |
|
|
|
2,157 |
|
Kraft Foods Inc., |
|
|
|
|
|
|
|
|
4.125%, 2916 |
|
|
2,000 |
|
|
|
2,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 0.7% |
|
|
|
|
|
|
|
|
Roche Holdings Ltd, |
|
|
|
|
|
|
|
|
5.000%, 3114 (A) |
|
|
1,270 |
|
|
|
1,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 2.0% |
|
|
|
|
|
|
|
|
Berkshire Hathaway Inc., |
|
|
|
|
|
|
|
|
2.200%, 81516 |
|
|
2,000 |
|
|
|
2,014 |
|
Fidelity National Financial, Inc., |
|
|
|
|
|
|
|
|
6.600%, 51517 |
|
|
2,000 |
|
|
|
2,109 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 1.0% |
|
|
|
|
|
|
|
|
PNC Funding Corp, |
|
|
|
|
|
|
|
|
4.250%, 92115 |
|
|
2,000 |
|
|
|
2,161 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Restaurants 0.3% |
|
|
|
|
|
|
|
|
YUM! Brands, Inc., |
|
|
|
|
|
|
|
|
4.250%, 91515 |
|
|
555 |
|
|
|
596 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 0.8% |
|
|
|
|
|
|
|
|
Broadcom Corporation, |
|
|
|
|
|
|
|
|
1.500%, 11113 (A) |
|
|
1,669 |
|
|
|
1,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 1.1% |
|
|
|
|
|
|
|
|
Lubrizol Corporation (The), |
|
|
|
|
|
|
|
|
5.500%, 10114 |
|
|
2,000 |
|
|
|
2,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.1% |
|
|
|
|
|
|
|
|
CA, Inc., |
|
|
|
|
|
|
|
|
6.125%, 12114 |
|
|
2,000 |
|
|
|
2,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.9% |
|
|
|
|
|
|
|
|
America Movil, S.A.B. de C.V.: |
|
|
|
|
|
|
|
|
3.625%, 33015 |
|
|
2,000 |
|
|
|
2,070 |
|
2.375%, 9816 |
|
|
1,000 |
|
|
|
967 |
|
American Tower Corporation, |
|
|
|
|
|
|
|
|
4.625%, 4115 |
|
|
1,000 |
|
|
|
1,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,098 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE DEBT SECURITIES 58.8% |
|
|
$ |
124,312 |
|
(Cost: $124,173) |
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL BONDS TAXABLE |
|
|
|
|
|
|
Massachusetts 0.7% |
|
|
|
|
|
|
|
|
MA Hlth and Edu Fac Auth, Rev Bonds, Harvard Univ Issue, Ser 2008C, |
|
|
|
|
|
|
|
|
5.260%, 10118 |
|
|
1,250 |
|
|
|
1,471 |
|
|
|
|
|
|
|
|
|
|
|
|
|
North Carolina 0.7% |
|
|
|
|
|
|
|
|
Charlotte-Mecklenburg Hosp Auth, Spl Oblig Bonds, Ser 2003, |
|
|
|
|
|
|
|
|
5.000%, 8113 |
|
|
1,380 |
|
|
|
1,436 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Rhode Island 1.0% |
|
|
|
|
|
|
|
|
Providence Hlth & Svc Oblig Group, Direct Oblig Notes, Ser 2009A, |
|
|
|
|
|
|
|
|
5.050%, 10114 |
|
|
2,000 |
|
|
|
2,193 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MUNICIPAL BONDS TAXABLE 2.4% |
|
|
$ |
5,100 |
|
(Cost: $5,002) |
|
|
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT AGENCY OBLIGATIONS |
|
|
|
|
|
|
|
|
Agency Obligations 7.3% |
|
|
|
|
|
|
|
|
Federal Home Loan Bank: |
|
|
|
|
|
|
|
|
1.750%, 92214 |
|
|
3,000 |
|
|
|
3,019 |
|
1.750%, 91115 |
|
|
2,000 |
|
|
|
2,061 |
|
3.500%, 32216 |
|
|
2,000 |
|
|
|
2,089 |
|
Federal National Mortgage Association: |
|
|
|
|
|
|
|
|
1.150%, 41414 |
|
|
3,000 |
|
|
|
3,001 |
|
2.375%, 72815 |
|
|
2,000 |
|
|
|
2,106 |
|
1.725%, 91415 |
|
|
2,000 |
|
|
|
2,020 |
|
2.000%, 123015 |
|
|
1,000 |
|
|
|
1,038 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Obligations 16.1% |
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corporation Fixed Rate Participation Certificates: |
|
|
|
|
|
|
|
|
4.500%, 10120 |
|
|
1,402 |
|
|
|
1,498 |
|
5.500%, 12124 |
|
|
3,576 |
|
|
|
3,876 |
|
Federal National Mortgage Association Agency REMIC/CMO: |
|
|
|
|
|
|
|
|
3.000%, 31525 |
|
|
1,847 |
|
|
|
1,923 |
|
4.000%, 41525 |
|
|
2,645 |
|
|
|
2,790 |
|
4.000%, 52539 |
|
|
1,177 |
|
|
|
1,253 |
|
3.000%, 112539 |
|
|
1,648 |
|
|
|
1,706 |
|
4.000%, 112539 |
|
|
2,558 |
|
|
|
2,701 |
|
4.750%, 121540 |
|
|
2,342 |
|
|
|
2,548 |
|
Federal National Mortgage Association Fixed Rate Pass-Through Certificates: |
|
|
|
|
|
|
|
|
4.000%, 8118 |
|
|
3,366 |
|
|
|
3,587 |
|
5.000%, 12119 |
|
|
1,014 |
|
|
|
1,098 |
|
5.500%, 10121 |
|
|
3,392 |
|
|
|
3,690 |
|
5.500%, 11122 |
|
|
1,303 |
|
|
|
1,417 |
|
5.000%, 4124 |
|
|
983 |
|
|
|
1,072 |
|
5.000%, 9133 |
|
|
1,904 |
|
|
|
2,057 |
|
Government National Mortgage Association Agency REMIC/CMO, |
|
|
|
|
|
|
|
|
4.000%, 101632 |
|
|
2,764 |
|
|
|
2,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT AGENCY OBLIGATIONS 23.4% |
|
|
|
|
|
$ |
49,436 |
|
(Cost: $48,717) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT OBLIGATIONS |
|
|
|
|
|
|
|
|
Treasury Obligations 12.7% |
|
|
|
|
|
|
|
|
United States Treasury Notes: |
|
|
|
|
|
|
|
|
2.375%, 83114 |
|
|
5,000 |
|
|
|
5,283 |
|
1.250%, 83115 |
|
|
5,000 |
|
|
|
5,119 |
|
1.750%, 53116 |
|
|
6,000 |
|
|
|
6,244 |
|
1.500%, 73116 |
|
|
5,000 |
|
|
|
5,138 |
|
1.500%, 83118 |
|
|
5,000 |
|
|
|
5,030 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT OBLIGATIONS 12.7% |
|
|
|
|
|
$ |
26,814 |
|
(Cost: $26,242) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Master Note 2.0% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (C) |
|
|
4,184 |
|
|
|
4,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations Taxable 0.3% |
|
|
|
|
|
|
|
|
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York
(The)), |
|
|
|
|
|
|
|
|
0.120%, 10311 (C) |
|
|
732 |
|
|
|
732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 2.3% |
|
|
|
|
|
$ |
4,916 |
|
(Cost: $4,916) |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.6% |
|
|
|
|
|
$ |
210,578 |
|
(Cost: $209,050) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.4% |
|
|
|
|
|
|
822 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
211,400 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following tables summarize the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Debt Securities |
|
$ |
|
|
|
$ |
124,312 |
|
|
$ |
|
|
Municipal Bonds |
|
|
|
|
|
|
5,100 |
|
|
|
|
|
United States Government Agency Obligations |
|
|
|
|
|
|
49,436 |
|
|
|
|
|
United States Government Obligations |
|
|
|
|
|
|
26,814 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
4,916 |
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
210,578 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $12,775 or 6.0% of net assets. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
CMO = Collateralized Mortgage Obligation
GTD = Guaranteed
REMIC = Real Estate Mortgage Investment Conduit
For Federal income tax purposes, cost of investments owned at
September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
209,050 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
2,390 |
|
Gross unrealized depreciation |
|
|
(862 |
) |
|
|
|
|
|
Net unrealized appreciation |
|
$ |
1,528 |
|
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
Micro Cap Growth (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
Advertising - 2.5% |
|
interclick, Inc. (A) |
|
|
56 |
|
|
$ |
309 |
|
MDC Partners Inc., Class A |
|
|
37 |
|
|
|
536 |
|
ReachLocal, Inc. (A) |
|
|
13 |
|
|
|
145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
990 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Freight & Logistics 0.7% |
|
|
|
|
|
|
|
|
Pacer International, Inc. (A) |
|
|
77 |
|
|
|
288 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 1.4% |
|
|
|
|
|
|
|
|
bebe stores, inc. |
|
|
59 |
|
|
|
393 |
|
Francescas Holdings Corporation (A) |
|
|
8 |
|
|
|
163 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
556 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 5.9% |
|
|
|
|
|
|
|
|
Callidus Software Inc. (A) |
|
|
129 |
|
|
|
596 |
|
ClickSoftware Technologies Ltd. |
|
|
23 |
|
|
|
178 |
|
Kenexa Corporation (A) |
|
|
12 |
|
|
|
192 |
|
NetScout Systems, Inc. (A) |
|
|
37 |
|
|
|
424 |
|
RealPage, Inc. (A) |
|
|
30 |
|
|
|
611 |
|
Tangoe, Inc. (A) |
|
|
30 |
|
|
|
339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 3.3% |
|
|
|
|
|
|
|
|
Achillion Pharmaceuticals, Inc. (A) |
|
|
77 |
|
|
|
363 |
|
ArQule, Inc. (A) |
|
|
31 |
|
|
|
157 |
|
Astex Pharmaceuticals, Inc. (A) |
|
|
105 |
|
|
|
202 |
|
Idenix Pharmaceuticals, Inc. (A) |
|
|
52 |
|
|
|
259 |
|
SciClone Pharmaceuticals, Inc. (A) |
|
|
84 |
|
|
|
320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,301 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Catalog Retail 0.5% |
|
|
|
|
|
|
|
|
ValueVision Media, Inc. (A) |
|
|
90 |
|
|
|
212 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 3.4% |
|
|
|
|
|
|
|
|
Digi International Inc. (A) |
|
|
27 |
|
|
|
297 |
|
Ixia (A) |
|
|
35 |
|
|
|
268 |
|
Meru Networks, Inc. (A) |
|
|
13 |
|
|
|
108 |
|
Procera Networks, Inc. (A) |
|
|
73 |
|
|
|
698 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,371 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 1.0% |
|
|
|
|
|
|
|
|
Silicon Graphics, Inc. (A) |
|
|
33 |
|
|
|
396 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Storage & Peripherals 1.6% |
|
|
|
|
|
|
|
|
OCZ Technology Group, Inc. (A) |
|
|
135 |
|
|
|
653 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 4.9% |
|
|
|
|
|
|
|
|
Commercial Vehicle Group, Inc. (A) |
|
|
34 |
|
|
|
221 |
|
Twin Disc, Incorporated |
|
|
11 |
|
|
|
291 |
|
Wabash National Corporation (A) |
|
|
59 |
|
|
|
283 |
|
Westport Innovations Inc. (A) |
|
|
40 |
|
|
|
1,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,952 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Electronics 1.1% |
|
|
|
|
|
|
|
|
SGOCO Technology Ltd. (A) |
|
|
51 |
|
|
|
130 |
|
Skullcandy, Inc. (A) |
|
|
23 |
|
|
|
322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
452 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 0.1% |
|
|
|
|
|
|
|
|
China New Borun Corporation, ADR (A) |
|
|
15 |
|
|
|
50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Components 0.4% |
|
|
|
|
|
|
|
|
BCD Semiconductor Manufacturing Limited, ADR (A) |
|
|
32 |
|
|
|
158 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments 1.3% |
|
|
|
|
|
|
|
|
FARO Technologies, Inc. (A) |
|
|
17 |
|
|
|
530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 1.8% |
|
|
|
|
|
|
|
|
Fabrinet (A) |
|
|
24 |
|
|
|
439 |
|
Maxwell Technologies, Inc. (A) |
|
|
15 |
|
|
|
271 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
710 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Distributors 0.8% |
|
|
|
|
|
|
|
|
Chefs Warehouse Holdings, LLC (The) (A) |
|
|
26 |
|
|
|
309 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Retail 0.8% |
|
|
|
|
|
|
|
|
Fresh Market, Inc. (The) (A) |
|
|
8 |
|
|
|
305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
General Merchandise Stores 1.1% |
|
|
|
|
|
|
|
|
Gordmans Stores, Inc. (A) |
|
|
36 |
|
|
|
429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 4.0% |
|
|
|
|
|
|
|
|
ABIOMED, Inc. (A) |
|
|
36 |
|
|
|
393 |
|
Spectranetics Corporation (The) (A) |
|
|
106 |
|
|
|
758 |
|
Synovis Life Technologies, Inc. (A) |
|
|
29 |
|
|
|
476 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,627 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 1.3% |
|
|
|
|
|
|
|
|
Epocrates, Inc. (A) |
|
|
26 |
|
|
|
233 |
|
ExamWorks Group, Inc. (A) |
|
|
29 |
|
|
|
292 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
525 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Supplies 3.9% |
|
|
|
|
|
|
|
|
Quidel Corporation (A) |
|
|
59 |
|
|
|
972 |
|
Rochester Medical Corporation (A) |
|
|
24 |
|
|
|
186 |
|
Synergetics USA, Inc. (A) |
|
|
72 |
|
|
|
389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,547 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 0.3% |
|
|
|
|
|
|
|
|
HealthStream, Inc. (A) |
|
|
9 |
|
|
|
113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Human Resource & Employment Services 1.1% |
|
|
|
|
|
|
|
|
On Assignment, Inc. (A) |
|
|
61 |
|
|
|
431 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 12.8% |
|
|
|
|
|
|
|
|
Constant Contact, Inc. (A) |
|
|
38 |
|
|
|
659 |
|
Envestnet, Inc. (A) |
|
|
40 |
|
|
|
397 |
|
IntraLinks Holdings, Inc. (A) |
|
|
43 |
|
|
|
325 |
|
Keynote Systems, Inc. |
|
|
30 |
|
|
|
632 |
|
KIT digital, Inc. (A) |
|
|
98 |
|
|
|
821 |
|
Liquidity Services, Inc. (A) |
|
|
17 |
|
|
|
542 |
|
Responsys, Inc. (A) |
|
|
9 |
|
|
|
93 |
|
SciQuest, Inc. (A) |
|
|
29 |
|
|
|
426 |
|
SPS Commerce, Inc. (A) |
|
|
49 |
|
|
|
795 |
|
Vocus, Inc. (A) |
|
|
10 |
|
|
|
168 |
|
Website Pros, Inc. (A) |
|
|
33 |
|
|
|
232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,090 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 2.2% |
|
|
|
|
|
|
|
|
InterXion Holding N.V. (A) |
|
|
18 |
|
|
|
215 |
|
ServiceSource International, LLC (A) |
|
|
27 |
|
|
|
354 |
|
Virtusa Corporation (A) |
|
|
23 |
|
|
|
306 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Managed Health Care 0.7% |
|
|
|
|
|
|
|
|
Molina Healthcare, Inc. (A) |
|
|
19 |
|
|
|
286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 1.6% |
|
|
|
|
|
Rentrak Corporation (A) |
|
|
51 |
|
|
|
636 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 1.3% |
|
|
|
|
|
Pioneer Drilling Company (A) |
|
|
64 |
|
|
|
459 |
|
Union Drilling, Inc. (A) |
|
|
9 |
|
|
|
40 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
499 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 3.4% |
|
|
|
|
|
Basic Energy Services, Inc. (A) |
|
|
37 |
|
|
|
528 |
|
Natural Gas Services Group, Inc. (A) |
|
|
22 |
|
|
|
280 |
|
RigNet, Inc. (A) |
|
|
35 |
|
|
|
568 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,376 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 1.2% |
|
Callon Petroleum Company (A) |
|
|
78 |
|
|
|
300 |
|
Triangle Petroleum Corporation (A) |
|
|
50 |
|
|
|
179 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
479 |
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 0.2% |
|
57th Street General Acquisition Corp. (A) |
|
|
20 |
|
|
|
79 |
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 3.4% |
|
BioMimetic Therapeutics, Inc. (A) |
|
|
42 |
|
|
|
139 |
|
NuPathe Inc. (A) |
|
|
39 |
|
|
|
79 |
|
Obagi Medical Products, Inc. (A) |
|
|
58 |
|
|
|
529 |
|
Pacira Pharmaceuticals, Inc. (A) |
|
|
60 |
|
|
|
598 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,345 |
|
|
|
|
|
|
|
|
|
|
|
Research & Consulting Services 1.8% |
|
Mistras Group, Inc. (A) |
|
|
36 |
|
|
|
636 |
|
RPX Corporation (A) |
|
|
5 |
|
|
|
93 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
729 |
|
|
|
|
|
|
|
|
|
|
|
Restaurants 4.5% |
|
BJs Restaurants, Inc. (A) |
|
|
17 |
|
|
|
754 |
|
Bravo Brio Restaurant Group, Inc. (A) |
|
|
20 |
|
|
|
333 |
|
Caribou Coffee Company, Inc. (A) |
|
|
15 |
|
|
|
178 |
|
McCormick & Schmicks Seafood Restaurants, Inc. (A) |
|
|
20 |
|
|
|
139 |
|
Red Robin Gourmet Burgers, Inc. (A) |
|
|
16 |
|
|
|
376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,780 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 1.2% |
|
Nanometrics Incorporated (A) |
|
|
34 |
|
|
|
490 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 3.6% |
|
Diodes Incorporated (A) |
|
|
14 |
|
|
|
249 |
|
Inphi Corporation (A) |
|
|
13 |
|
|
|
117 |
|
Mellanox Technologies, Ltd. (A) |
|
|
17 |
|
|
|
521 |
|
MIPS Technologies, Inc. (A) |
|
|
28 |
|
|
|
136 |
|
Pericom Semiconductor Corporation (A) |
|
|
26 |
|
|
|
190 |
|
RDA Microelectronics, Inc., ADR (A) |
|
|
28 |
|
|
|
237 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,450 |
|
|
|
|
|
|
|
|
|
|
|
Specialized Consumer Services 1.2% |
|
Active Network, Inc., (The) (A) |
|
|
33 |
|
|
|
488 |
|
|
|
|
|
|
|
|
|
|
|
Systems Software 4.6% |
|
Allot Communications Ltd. (A) |
|
|
27 |
|
|
|
264 |
|
OPNET Technologies, Inc. |
|
|
28 |
|
|
|
992 |
|
Velti plc (A) |
|
|
89 |
|
|
|
587 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,843 |
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 2.2% |
|
CAI International, Inc. (A) |
|
|
25 |
|
|
|
291 |
|
DXP Enterprises, Inc. (A) |
|
|
31 |
|
|
|
585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trucking 3.8% |
|
|
|
|
|
Celadon Group, Inc. |
|
|
44 |
|
|
|
394 |
|
Marten Transport, Ltd. |
|
|
32 |
|
|
|
558 |
|
Roadrunner Transportation Systems, Inc. (A) |
|
|
32 |
|
|
|
435 |
|
Vitran Corporation Inc., Class A (A) |
|
|
30 |
|
|
|
117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,504 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 92.9% |
|
|
$ |
37,070 |
|
(Cost: $41,166) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 4.4% |
|
Principal |
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, 0.113%, 10311 (B) |
|
$ |
1,735 |
|
|
$ |
1,735 |
|
|
|
|
|
|
|
|
|
|
(Cost: $1,735) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 97.3% |
|
|
$ |
38,805 |
|
(Cost: $42,901) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 2.7% |
|
|
|
1,072 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
39,877 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants
would use in pricing the asset or liability developed based on the best information available in the circumstances. An individual investments fair value measurement is assigned a level
based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized below.
Level
1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the
Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios
investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
37,070 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
1,735 |
|
|
|
|
|
Total |
|
$ |
37,070 |
|
|
$ |
1,735 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronym is used throughout this schedule:
ADR = American Depositary Receipts
For Federal income tax purposes, cost of investments owned at September 30,
2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
43,315 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
4,493 |
|
Gross unrealized depreciation |
|
|
(9,003 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(4,510 |
) |
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
Mid Cap Growth (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
Air Freight & Logistics - 1.5% |
|
Expeditors International of Washington, Inc. |
|
|
53 |
|
|
$ |
2,133 |
|
|
|
|
|
|
|
|
|
|
|
Apparel, Accessories & Luxury Goods 4.0% |
|
Columbia Sportswear Company |
|
|
26 |
|
|
|
1,216 |
|
lululemon athletica inc. (A) |
|
|
27 |
|
|
|
1,331 |
|
Vera Bradley, Inc. (A) |
|
|
34 |
|
|
|
1,240 |
|
Warnaco Group, Inc. (The) (A) |
|
|
41 |
|
|
|
1,870 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,657 |
|
|
|
|
|
|
|
|
|
|
|
Application Software 5.1% |
|
ANSYS, Inc. (A) |
|
|
51 |
|
|
|
2,506 |
|
Solera Holdings, Inc. |
|
|
56 |
|
|
|
2,810 |
|
SuccessFactors, Inc. (A) |
|
|
80 |
|
|
|
1,846 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,162 |
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 1.8% |
|
BorgWarner Inc. (A) |
|
|
43 |
|
|
|
2,597 |
|
|
|
|
|
|
|
|
|
|
|
Automotive Retail 3.0% |
|
CarMax, Inc. (A) |
|
|
177 |
|
|
|
4,219 |
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 1.1% |
|
Vertex Pharmaceuticals Incorporated (A) |
|
|
36 |
|
|
|
1,597 |
|
|
|
|
|
|
|
|
|
|
|
Brewers 0.7% |
|
Boston Beer Company, Inc. (The), Class A (A) |
|
|
14 |
|
|
|
1,036 |
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 1.8% |
|
Acme Packet, Inc. (A) |
|
|
29 |
|
|
|
1,237 |
|
Aruba Networks, Inc. (A) |
|
|
62 |
|
|
|
1,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,541 |
|
|
|
|
|
|
|
|
|
|
|
Construction Materials 1.0% |
|
Martin Marietta Materials, Inc. |
|
|
22 |
|
|
|
1,381 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Electronics 2.5% |
|
Harman International Industries, Incorporated |
|
|
91 |
|
|
|
2,603 |
|
Skullcandy, Inc. (A) |
|
|
64 |
|
|
|
904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,507 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.3% |
|
Discover Financial Services |
|
|
140 |
|
|
|
3,207 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 2.2% |
|
Fiserv, Inc. (A) |
|
|
60 |
|
|
|
3,031 |
|
|
|
|
|
|
|
|
|
|
|
Department Stores 1.0% |
|
Nordstrom, Inc. |
|
|
31 |
|
|
|
1,432 |
|
|
|
|
|
|
|
|
|
|
|
Distillers & Vintners 1.9% |
|
Brown-Forman Corporation, Class B |
|
|
37 |
|
|
|
2,565 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 4.9% |
|
Acuity Brands, Inc. |
|
|
36 |
|
|
|
1,301 |
|
Polypore International, Inc. (A) |
|
|
69 |
|
|
|
3,872 |
|
Roper Industries, Inc. |
|
|
25 |
|
|
|
1,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,882 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 2.3% |
|
Trimble Navigation Limited (A) |
|
|
96 |
|
|
|
3,224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Retail 1.8% |
|
Whole Foods Market, Inc. |
|
|
39 |
|
|
|
2,557 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Distributors 2.3% |
|
Henry Schein, Inc. (A) |
|
|
53 |
|
|
|
3,280 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 7.0% |
|
Gen-Probe Incorporated (A) |
|
|
28 |
|
|
|
1,623 |
|
IDEXX Laboratories, Inc. (A) |
|
|
30 |
|
|
|
2,079 |
|
Intuitive Surgical, Inc. (A) |
|
|
5 |
|
|
|
1,694 |
|
Varian Medical Systems, Inc. (A) |
|
|
82 |
|
|
|
4,281 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,677 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 1.2% |
|
Accretive Health, Inc. (A) |
|
|
80 |
|
|
|
1,699 |
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 2.2% |
|
Cerner Corporation (A) |
|
|
45 |
|
|
|
3,114 |
|
|
|
|
|
|
|
|
|
|
|
Homefurnishing Retail 1.6% |
|
Williams-Sonoma, Inc. |
|
|
71 |
|
|
|
2,189 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 3.2% |
|
Orient-Express Hotels Ltd. (A) |
|
|
130 |
|
|
|
900 |
|
Wyndham Worldwide Corporation |
|
|
125 |
|
|
|
3,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,449 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Gases 1.1% |
|
Airgas, Inc. |
|
|
25 |
|
|
|
1,615 |
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 3.6% |
|
Donaldson Company, Inc. |
|
|
30 |
|
|
|
1,655 |
|
IDEX Corporation |
|
|
79 |
|
|
|
2,474 |
|
Kaydon Corporation |
|
|
34 |
|
|
|
985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,114 |
|
|
|
|
|
|
|
|
|
|
|
Insurance Brokers 1.3% |
|
Arthur J. Gallagher & Co. |
|
|
69 |
|
|
|
1,816 |
|
|
|
|
|
|
|
|
|
|
|
Internet Retail 0.8% |
|
Netflix, Inc. (A) |
|
|
9 |
|
|
|
1,064 |
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 1.4% |
|
DealerTrack Holdings, Inc. (A) |
|
|
88 |
|
|
|
1,378 |
|
WebMD Health Corp., Class A (A) |
|
|
21 |
|
|
|
644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,022 |
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 1.1% |
|
Greenhill & Co., Inc. |
|
|
53 |
|
|
|
1,504 |
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 1.7% |
|
Teradata Corporation (A) |
|
|
45 |
|
|
|
2,382 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Drilling 1.4% |
|
Patterson-UTI Energy, Inc. |
|
|
116 |
|
|
|
2,005 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 2.7% |
|
Dresser-Rand Group Inc. (A) |
|
|
59 |
|
|
|
2,396 |
|
Dril-Quip, Inc. (A) |
|
|
26 |
|
|
|
1,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,776 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 2.5% |
|
Continental Resources, Inc. (A) |
|
|
29 |
|
|
|
1,415 |
|
Ultra Petroleum Corp. (A) |
|
|
77 |
|
|
|
2,134 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,549 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.6% |
|
Mead Johnson Nutrition Company |
|
|
32 |
|
|
|
2,227 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 1.3% |
|
CB Richard Ellis Group, Inc., Class A (A) |
|
|
133 |
|
|
|
1,797 |
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 5.7% |
|
First Republic Bank (A) |
|
|
117 |
|
|
|
2,717 |
|
Huntington Bancshares Incorporated |
|
|
283 |
|
|
|
1,358 |
|
Signature Bank (A) |
|
|
60 |
|
|
|
2,875 |
|
TCF Financial Corporation |
|
|
125 |
|
|
|
1,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,099 |
|
|
|
|
|
|
|
|
|
|
|
Research & Consulting Services 0.3% |
|
IHS Inc., Class A (A) |
|
|
6 |
|
|
|
471 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 1.9% |
|
Lam Research Corporation (A) |
|
|
70 |
|
|
|
2,653 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 5.3% |
|
ARM Holdings plc, ADR |
|
|
53 |
|
|
|
1,341 |
|
Cavium Inc. (A) |
|
|
46 |
|
|
|
1,234 |
|
Microchip Technology Incorporated |
|
|
112 |
|
|
|
3,498 |
|
Semtech Corporation (A) |
|
|
71 |
|
|
|
1,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,573 |
|
|
|
|
|
|
|
|
|
|
|
Specialty Stores 3.5% |
|
PetSmart, Inc. |
|
|
76 |
|
|
|
3,229 |
|
Ulta Salon, Cosmetics & Fragrance, Inc. (A) |
|
|
28 |
|
|
|
1,764 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,993 |
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.5% |
|
Red Hat, Inc. (A) |
|
|
49 |
|
|
|
2,071 |
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 3.5% |
|
Fastenal Company |
|
|
146 |
|
|
|
4,874 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 98.6% |
|
|
$ |
138,741 |
|
(Cost: $140,767) |
|
|
|
|
|
|
|
|
|
|
|
PURCHASED OPTIONS |
|
Number of Contracts (Unrounded) |
|
|
|
|
Netflix, Inc., |
|
|
|
|
|
|
|
|
Call $205.00, Expires 121611, OTC (Ctrpty: UBS Securities LLC) |
|
|
44 |
|
|
|
3 |
|
Whole Foods Market, Inc., |
|
|
|
|
|
|
|
|
Call $65.00, Expires 112111, OTC (Ctrpty: Morgan Stanley Smith Barney LLC) |
|
|
166 |
|
|
|
93 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PURCHASED OPTIONS 0.1% |
|
|
$ |
96 |
|
(Cost: $89) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 1.9% |
|
Principal |
|
|
|
|
Master Note |
|
Toyota Motor Credit Corporation, 0.113%, 10311 (B) |
|
$ |
2,736 |
|
|
$ |
2,736 |
|
|
|
|
|
|
|
|
|
|
(Cost: $2,736) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.6% |
|
|
$ |
141,573 |
|
(Cost: $143,592) |
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.6%) |
|
|
|
(856 |
) |
|
|
NET ASSETS 100.0% |
|
|
$ |
140,717 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable
inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data
obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best
information available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is
summarized below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
138,741 |
|
|
$ |
|
|
|
$ |
|
|
Purchased Options |
|
|
|
|
|
|
96 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
2,736 |
|
|
|
|
|
Total |
|
$ |
138,741 |
|
|
$ |
2,832 |
|
|
$ |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Written Options |
|
$ |
32 |
|
|
$ |
230 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Security |
|
Counterparty, if OTC |
|
Type |
|
Number of
Contracts |
|
|
Expiration Month |
|
|
Exercise Price |
|
|
Premium Received |
|
|
Market Value |
|
Aruba Networks, Inc. |
|
N/A |
|
Put |
|
|
255 |
|
|
|
October 2011 |
|
|
$ |
20.00 |
|
|
$ |
63 |
|
|
$ |
(32 |
) |
Netflix, Inc. |
|
UBS Securities LLC |
|
Put |
|
|
44 |
|
|
|
December 2011 |
|
|
|
140.00 |
|
|
|
42 |
|
|
|
(148 |
) |
Noble Energy, Inc. |
|
Deutsche Banc Alex. Brown Inc. |
|
Put |
|
|
211 |
|
|
|
November 2011 |
|
|
|
60.00 |
|
|
|
48 |
|
|
|
(43 |
) |
Whole Foods Market, Inc. |
|
Morgan Stanley Smith Barney LLC |
|
Put |
|
|
258 |
|
|
|
November 2011 |
|
|
|
52.50 |
|
|
|
88 |
|
|
|
(39 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
241 |
|
|
$ |
(262 |
) |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
ADR = American Depositary Receipts
OTC = Over the Counter
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
143,667 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
15,965 |
|
Gross unrealized depreciation |
|
|
(18,059 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(2,094 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Money Market
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
CORPORATE OBLIGATIONS |
|
Principal |
|
|
Value |
|
|
|
|
Commercial Paper |
|
|
|
|
|
|
|
|
American Honda Finance Corp. (GTD by Honda Motor Co.): |
|
|
|
|
|
|
|
|
0.170%, 10611 (A) |
|
$ |
1,000 |
|
|
$ |
1,000 |
|
0.210%, 121211 (A) |
|
|
3,500 |
|
|
|
3,498 |
|
Axis Bank Limited (GTD by Bank of America, N.A.), |
|
|
|
|
|
|
|
|
0.370%, 10311 (A) |
|
|
2,100 |
|
|
|
2,100 |
|
Baxter International Inc., |
|
|
|
|
|
|
|
|
0.110%, 10611 (A) |
|
|
3,020 |
|
|
|
3,020 |
|
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited), |
|
|
|
|
|
|
|
|
0.130%, 111511 (A) |
|
|
3,000 |
|
|
|
2,999 |
|
Corporacion Andina de Fomento: |
|
|
|
|
|
0.190%, 101711 (A) |
|
|
2,500 |
|
|
|
2,500 |
|
0.170%, 102611 (A) |
|
|
3,000 |
|
|
|
2,999 |
|
0.250%, 112111 (A) |
|
|
750 |
|
|
|
750 |
|
0.770%, 12711 (A) |
|
|
2,000 |
|
|
|
1,997 |
|
0.700%, 51512 (A) |
|
|
1,800 |
|
|
|
1,792 |
|
E.I. du Pont de Nemours and Company: |
|
|
|
|
|
|
|
|
0.120%, 102511 (A) |
|
|
1,828 |
|
|
|
1,828 |
|
0.130%, 102711 (A) |
|
|
4,000 |
|
|
|
4,000 |
|
0.160%, 12111 (A) |
|
|
700 |
|
|
|
700 |
|
0.170%, 12811 (A) |
|
|
4,500 |
|
|
|
4,498 |
|
HewlettPackard Company, |
|
|
|
|
|
|
|
|
0.110%, 10411 (A) |
|
|
3,000 |
|
|
|
3,000 |
|
PACCAR Financial Corp., |
|
|
|
|
|
|
|
|
0.110%, 10411 (A) |
|
|
2,500 |
|
|
|
2,500 |
|
River Fuel Company #2, Inc. (GTD by Bank of Nova Scotia), |
|
|
|
|
|
|
|
|
0.200%, 103111 (A) |
|
|
7,188 |
|
|
|
7,187 |
|
Sonoco Products Co., |
|
|
|
|
|
|
|
|
0.310%, 10311 (A) |
|
|
1,100 |
|
|
|
1,100 |
|
St. Jude Medical, Inc.: |
|
|
|
|
|
|
|
|
0.190%, 101111 (A) |
|
|
2,300 |
|
|
|
2,300 |
|
0.180%, 101311 (A) |
|
|
1,000 |
|
|
|
1,000 |
|
0.210%, 102711 (A) |
|
|
7,000 |
|
|
|
6,999 |
|
StraightA Funding, LLC (GTD by Federal Financing Bank): |
|
|
|
|
|
|
|
|
0.160%, 10411 (A) |
|
|
3,000 |
|
|
|
3,000 |
|
0.160%, 11811 (A) |
|
|
6,513 |
|
|
|
6,512 |
|
0.190%, 121611 (A) |
|
|
764 |
|
|
|
764 |
|
0.190%, 121911 (A) |
|
|
830 |
|
|
|
830 |
|
0.190%, 122011 (A) |
|
|
1,000 |
|
|
|
999 |
|
Wisconsin Electric Power Co., |
|
|
|
|
|
|
|
|
0.120%, 10311 (A) |
|
|
7,687 |
|
|
|
7,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Paper 34.4% |
|
|
|
|
|
|
77,559 |
|
Notes |
|
|
|
|
|
|
|
|
American Honda Finance Corp. (GTD by Honda Motor Co.): |
|
|
|
|
|
|
|
|
0.530%, 122811 (B) |
|
|
2,600 |
|
|
|
2,602 |
|
0.610%, 122811 (B) |
|
|
1,000 |
|
|
|
1,000 |
|
0.470%, 122911 (B) |
|
|
1,875 |
|
|
|
1,875 |
|
5.100%, 32712 |
|
|
500 |
|
|
|
511 |
|
Bank of America, N.A., |
|
|
|
|
|
|
|
|
0.550%, 102411 (B) |
|
|
1,300 |
|
|
|
1,300 |
|
BellSouth Corporation (GTD by AT&T Inc.), |
|
|
|
|
|
|
|
|
4.370%, 42612 (C) |
|
|
6,700 |
|
|
|
6,836 |
|
Citigroup Funding Inc. (GTD by Federal Deposit Insurance Corporation), |
|
|
|
|
|
|
|
|
0.670%, 10311 (B)(D) |
|
|
3,000 |
|
|
|
3,006 |
|
Citigroup Inc.: |
|
|
|
|
|
|
|
|
0.470%, 121611 (B) |
|
|
541 |
|
|
|
540 |
|
6.000%, 22112 |
|
|
2,389 |
|
|
|
2,438 |
|
5.250%, 22712 |
|
|
955 |
|
|
|
972 |
|
|
|
|
|
|
|
|
|
|
Eli Lilly and Company, |
|
|
|
|
|
|
|
|
3.550%, 3612 |
|
|
300 |
|
|
|
304 |
|
General Electric Capital Corporation: |
|
|
|
|
|
|
|
|
0.480%, 112111 (C) |
|
|
930 |
|
|
|
930 |
|
5.875%, 21512 |
|
|
1,100 |
|
|
|
1,122 |
|
3.500%, 81312 |
|
|
2,800 |
|
|
|
2,871 |
|
5.250%, 101912 |
|
|
5,700 |
|
|
|
5,959 |
|
IBM International Group Capital LLC (GTD by International Business Machines Corporation), |
|
|
|
|
|
|
|
|
0.590%, 112811 (B) |
|
|
1,500 |
|
|
|
1,500 |
|
KimberlyClark Corporation, |
|
|
|
|
|
|
|
|
4.428%, 121911 |
|
|
2,000 |
|
|
|
2,016 |
|
Rabobank Nederland: |
|
|
|
|
|
|
|
|
0.450%, 102611 (B) |
|
|
2,000 |
|
|
|
2,001 |
|
0.430%, 111611 (B) |
|
|
1,000 |
|
|
|
1,000 |
|
The Academy of the New Church, Var Rate Demand Bonds, Ser 2008 (GTD by Wachovia Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
2,465 |
|
|
|
2,465 |
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.330%, 10311 (B) |
|
|
4,000 |
|
|
|
4,000 |
|
Trap Rock Industries, Inc., Var Demand Bonds, Ser 2005 (GTD by Wachovia Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
1,335 |
|
|
|
1,335 |
|
Wachovia Corporation, |
|
|
|
|
|
|
|
|
0.480%, 12111 (B) |
|
|
2,400 |
|
|
|
2,401 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Notes 21.8% |
|
|
|
|
|
|
48,984 |
|
|
|
TOTAL CORPORATE OBLIGATIONS 56.2% |
|
|
$ |
126,543 |
|
(Cost: $126,543) |
|
|
|
|
|
|
|
|
|
|
|
MUNICIPAL OBLIGATIONS |
|
|
|
|
|
|
|
|
Arizona 0.3% |
|
|
|
|
|
|
|
|
The Indl Dev Auth of Phoenix, AZ, Adj Mode Multifam Hsng Rev Rfdg Bonds (Paradise Lakes Apt Proj), Ser 2007A (GTD by Wachovia Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.140%, 10711 (B) |
|
|
579 |
|
|
|
579 |
|
|
|
|
|
|
|
|
|
|
|
|
|
California 10.8% |
|
|
|
|
|
|
|
|
CA Hlth Fac Fin Auth, Var Rate Hosp Rev Bonds (Adventist Hlth Sys/West), Ser 1998B (GTD by Bank of America, N.A.), |
|
|
|
|
|
|
|
|
0.180%, 10311 (B) |
|
|
1,900 |
|
|
|
1,900 |
|
CA Muni Fin Auth, Recovery Zone Fac Bonds (Chevron U.S.A. Inc. Proj), Ser 2010C (GTD by Chevron Corporation), |
|
|
|
|
|
|
|
|
0.090%, 10311 (B) |
|
|
2,000 |
|
|
|
2,000 |
|
CA Pollutn Ctl Fin Auth, Pollutn Ctl Rfdg Rev Bonds (Pacific Gas and Elec Co), Ser C (GTD by JPMorgan Chase Bank, N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
4,250 |
|
|
|
4,250 |
|
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (The Crossings Sr Apts/Phase I), Ser 2005 I (GTD by United States
Government), |
|
|
|
|
|
|
|
|
0.160%, 10711 (B) |
|
|
5,200 |
|
|
|
5,200 |
|
CA Statewide Cmnty Dev Auth, Multifam Hsng Rev Bonds (Wyndover Apts), Ser 2004 LL (GTD by United States Government), |
|
|
|
|
|
|
|
|
0.150%, 10711 (B) |
|
|
2,210 |
|
|
|
2,210 |
|
|
|
|
|
|
|
|
|
|
City of Whittier, Hlth Fac Rev Bonds (Presbyterian Intercmnty Hosp), Ser 2009 (GTD by U.S. Bank, N.A.): |
|
|
|
|
|
|
|
|
0.110%, 10711 (B) |
|
|
2,895 |
|
|
|
2,895 |
|
0.110%, 10711 (B) |
|
|
2,715 |
|
|
|
2,715 |
|
Fremont (Alameda Cnty, CA), Fremont Public Fin Auth (GTD by U.S. Bank, N.A.), |
|
|
|
|
|
|
|
|
0.140%, 10711 (B) |
|
|
1,950 |
|
|
|
1,950 |
|
Santa Clara Cnty Fin Auth, Var Rate Rev Bonds, El Camino Hosp, Ser 2009A (GTD by Wells Fargo Bank, N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10711 (B) |
|
|
1,085 |
|
|
|
1,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Colorado 4.9% |
|
|
|
|
|
|
|
|
Castle Rock, CO, Cert of Part, Ser 2008 (GTD by Wells Fargo Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
4,520 |
|
|
|
4,520 |
|
CO Hsng and Fin Auth, Multifam Hsng Rev Bonds (Greentree Vlg Apts Proj), Ser 2007 (GTD by U.S. Bank, N.A.), |
|
|
|
|
|
|
|
|
0.170%, 10711 (B) |
|
|
1,900 |
|
|
|
1,900 |
|
Exempla Gen Impvt Dist of Lafayette, CO, Spl Impvt Dist No. 0201, Spl Assmt Rev Rfdg and Impvt Bonds, Ser 2002 (GTD by Wells
Fargo Bank, N.A.), |
|
|
|
|
|
|
|
|
0.150%, 10711 (B) |
|
|
250 |
|
|
|
250 |
|
Harvest Junction Metro Dist (Longmont, CO), Ltd Tax GO Var Rate Bonds, Ser 2006 (GTD by U.S Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
1,105 |
|
|
|
1,105 |
|
Sheridan Redev Agy CO Tax, Var Rfdg S Santa Fe Dr Corridor Redev PJSer A1 (GTD by JPMorgan Chase &
Co.): |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
1,500 |
|
|
|
1,500 |
|
0.450%, 10711 (B) |
|
|
550 |
|
|
|
550 |
|
Westminster Econ Dev Auth, Tax Incr Rev Rfdg Bonds (Mandalay Gardens Urban Renewal Proj), Ser 2009 (GTD by U.S. Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
1,145 |
|
|
|
1,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,970 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Florida 1.1% |
|
|
|
|
|
|
|
|
Pinellas Cnty Edu Fac Auth, Rfdg Prog Rev Bonds (Pooled Independent Higher Edu Institutions Loan Prog), Ser 1985 (GTD by Wachovia Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.200%, 10511 |
|
|
2,500 |
|
|
|
2,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Georgia 4.5% |
|
|
|
|
|
|
|
|
Dev Auth of Talbot Cnty, Incr Indl Dev Rev Bonds (Junction City Mining Co, LLC Proj), Ser 2000 (GTD by Wachovia Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.270%, 10711 (B) |
|
|
205 |
|
|
|
205 |
|
Muni Elec Auth of GA (GTD by Wells Fargo Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 101711 |
|
|
10,000 |
|
|
|
10,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Illinois 1.0% |
|
|
|
|
|
|
|
|
Elmurst, IL, Adj Demand Rev Bonds, Joint Comsn on Accrediation of Hlthcare Org, Ser 1988 (GTD by JPMorgan Chase Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.150%, 10711 (B) |
|
|
835 |
|
|
|
835 |
|
IL Fin Auth, Var Rate Demand Rev Bonds (The Carle Fndtn), Ser 2009 (GTD by JPMorgan Chase Bank, N.A.), |
|
|
|
|
|
|
|
|
0.080%, 10711 (B) |
|
|
1,409 |
|
|
|
1,409 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Louisiana 2.3% |
|
|
|
|
|
|
|
|
LA Pub Fac Auth, Rev Bonds (Air Products and Chemicals Proj), Ser 2009A (GTD by Air Products and Chemicals, Inc.), |
|
|
|
|
|
|
|
|
0.110%, 10711 (B) |
|
|
2,350 |
|
|
|
2,350 |
|
LA Pub Fac Auth, Var Rate Rev Rfdg Bonds (CHRISTUS Hlth), Ser 2009B1 (GTD by Bank of New York (The)), |
|
|
|
|
|
|
|
|
0.120%, 10711 (B) |
|
|
1,750 |
|
|
|
1,750 |
|
Parish of St. Bernard, LA, Exempt Fac Rev Bonds (Mobil Oil Corp Proj), Ser 1996 (GTD by Exxon Mobil Corporation), |
|
|
|
|
|
|
|
|
0.100%, 10311 (B) |
|
|
1,000 |
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Maryland 0.4% |
|
|
|
|
|
|
|
|
MD Hlth and Higher Edu Fac Auth Rev Bonds, Anne Arundel Hlth Sys Issue, Ser 2009A (GTD by Toronto Dominion Bank), 0.210%,
10711 (B) |
|
|
915 |
|
|
|
915 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Massachusetts 1.3% |
|
|
|
|
|
|
|
|
MA Hlth and Edu Fac Auth, Var Rate Rev Bonds, DanaFarber Cancer Institute Issue, Ser 2008L1 (GTD by JPMorgan Chase Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10711 (B) |
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mississippi 5.9% |
|
|
|
|
|
|
|
|
MS Business Fin Corp, Adj Mode Indl Dev Rev Bonds (Belk, Inc. Proj), Ser 2005 (GTD by Wachovia Bank, N.A.), |
|
|
|
|
|
|
|
|
0.220%, 10711 (B) |
|
|
3,936 |
|
|
|
3,936 |
|
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2007D (GTD by Chevron Corporation), |
|
|
|
|
|
|
|
|
0.100%, 10311 (B) |
|
|
7,600 |
|
|
|
7,600 |
|
MS Business Fin Corp, Gulf Opp Zone Indl Dev Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 2010J (GTD by Chevron Corporation), |
|
|
|
|
|
|
|
|
0.100%, 10311 (B) |
|
|
1,750 |
|
|
|
1,750 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,286 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Missouri 0.6% |
|
|
|
|
|
|
|
|
Kansas City, MO, Var Rate Demand Spl Oblig Rfdg Bonds (President Hotel Redev Proj), Ser 2009B (GTD by JPMorgan Chase &
Co.), |
|
|
|
|
|
|
|
|
0.230%, 10711 (B) |
|
|
1,370 |
|
|
|
1,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
New York 0.9% |
|
|
|
|
|
|
|
|
NY Hsng Fin Agy, RelatedCaroline Apt Hsng Rev Bonds, Ser 2008A (GTD by Federal Home Loan Mortgage Corporation), |
|
|
|
|
|
|
|
|
0.160%, 10711 (B) |
|
|
900 |
|
|
|
900 |
|
NYC Hsng Dev Corp, MultiFam Mtg Rev Bonds (Target V Apt), Ser 2006 A (GTD by Citibank, N.A.), |
|
|
|
|
|
|
|
|
0.170%, 10711 (B) |
|
|
1,200 |
|
|
|
1,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oregon 0.3% |
|
|
|
|
|
|
|
|
Hosp Fac Auth of Clackamas Cnty, OR, Rev Bonds (Legacy Hlth Sys), Ser 2008B (GTD by U.S. Bank, N.A.), |
|
|
|
|
|
|
|
|
0.130%, 10711 (B) |
|
|
700 |
|
|
|
700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Texas 3.9% |
|
|
|
|
|
|
|
|
Harris Cnty Hosp Dist, Sr Lien Rfdg Rev Bonds, Ser 2010 (GTD by JPMorgan Chase & Co.), |
|
|
|
|
|
|
|
|
0.160%, 10711 (B) |
|
|
2,960 |
|
|
|
2,960 |
|
|
|
|
|
|
|
|
|
|
Port Arthur Navigation Dist Indl Dev Corp, Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2005 (GTD by Air Products and Chemicals,
Inc.), |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
2,250 |
|
|
|
2,250 |
|
Port Arthur Navigation Dist Indl Dev Corp, Exempt Fac Var Rate Rev Bonds (Air Products Proj), Ser 2006 (GTD by Air Products and Chemicals,
Inc.), |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
3,585 |
|
|
|
3,585 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,795 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wisconsin 1.5% |
|
|
|
|
|
|
|
|
WI Hlth and Edu Fac Auth, Var Rate Demand Rev Bonds (Wausau Hosp, Inc.), Ser 1998B (GTD by JPMorgan Chase Bank, N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10711 (B) |
|
|
600 |
|
|
|
600 |
|
WI Hlth and Edu Fac Auth, Var Rate Rev Bonds (Aurora Hlth Care Inc.), Ser 2008A (GTD by U.S. Bank, N.A.), |
|
|
|
|
|
|
|
|
0.120%, 10711 (B) |
|
|
2,700 |
|
|
|
2,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Wyoming 0.5% |
|
|
|
|
|
|
|
|
Uinta Cnty, WY, Pollutn Ctl Rfdg Rev Bonds (Chevron U.S.A. Inc. Proj), Ser 1992 (GTD by Chevron Corporation), |
|
|
|
|
|
|
|
|
0.100%, 10311 (B) |
|
|
1,156 |
|
|
|
1,156 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL MUNICIPAL OBLIGATIONS 40.2% |
|
|
$ |
90,425 |
|
(Cost: $90,425) |
|
|
|
|
|
|
|
|
|
UNITED STATES GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS |
|
United States Government Agency Obligations |
|
|
|
|
|
Overseas Private Investment Corporation (GTD by United States Government): |
|
|
|
|
|
|
|
|
0.080%, 10711 (B) |
|
|
2,500 |
|
|
|
2,500 |
|
0.080%, 10711 (B) |
|
|
1,970 |
|
|
|
1,969 |
|
0.080%, 10711 (B) |
|
|
1,622 |
|
|
|
1,622 |
|
Totem Ocean Trailer Express, Inc. (GTD by United States Government), |
|
|
|
|
|
0.600%, 101711 (B) |
|
|
1,626 |
|
|
|
1,626 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL UNITED STATES GOVERNMENT
AND GOVERNMENT AGENCY OBLIGATIONS 3.4% |
|
|
$ |
7,717 |
|
(Cost: $7,717) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.8% |
|
|
$ |
224,685 |
|
(Cost: $224,685) |
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.2% |
|
|
|
|
|
|
496 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
225,181 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair
value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of
September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Corporate Obligations |
|
$ |
|
|
|
$ |
126,543 |
|
|
$ |
|
|
Municipal Obligations |
|
|
|
|
|
|
90,425 |
|
|
|
|
|
United States Government Agency Obligations |
|
|
|
|
|
|
7,717 |
|
|
|
|
|
Total |
|
$ |
|
|
|
$ |
224,685 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
Rate shown is the yield to maturity at September 30, 2011. |
(B) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets or
the next demand date. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. |
(D) |
Security is fully guaranteed by the Federal Deposit Insurance Corporation for both interest and principal under the Debt Guarantee Program of the Temporary Liquidity Guarantee
Program. The guarantee expires at the earlier of the securitys maturity date or December 31, 2012. |
The following acronym is used throughout this schedule:
GTD = Guaranteed
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the
related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
224,685 |
|
|
|
Gross unrealized appreciation |
|
|
|
|
Gross unrealized depreciation |
|
|
|
|
Net unrealized appreciation |
|
$ |
|
|
|
|
|
SCHEDULE OF INVESTMENTS Real Estate Securities
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Diversified REITs 4.7% |
|
|
|
|
|
|
|
|
Cousins Properties Incorporated |
|
|
18 |
|
|
$ |
104 |
|
PS Business Parks, Inc. |
|
|
8 |
|
|
|
416 |
|
Retail Opportunity Investments Corp. |
|
|
20 |
|
|
|
224 |
|
Vornado Realty Trust |
|
|
7 |
|
|
|
522 |
|
Washington Real Estate Investment Trust |
|
|
12 |
|
|
|
344 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Homebuilding 0.3% |
|
|
|
|
|
|
|
|
Lennar Corporation |
|
|
8 |
|
|
|
110 |
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.0% |
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
|
9 |
|
|
|
345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial REITs 4.3% |
|
|
|
|
|
|
|
|
DuPont Fabros Technology, Inc. |
|
|
8 |
|
|
|
161 |
|
EastGroup Properties, Inc. |
|
|
4 |
|
|
|
145 |
|
ProLogis |
|
|
49 |
|
|
|
1,185 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,491 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage REITs 0.2% |
|
|
|
|
|
|
|
|
Colony Financial, Inc. |
|
|
6 |
|
|
|
80 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Office REITs 16.0% |
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc. |
|
|
13 |
|
|
|
774 |
|
BioMed Realty Trust, Inc. |
|
|
38 |
|
|
|
633 |
|
Boston Properties, Inc. |
|
|
17 |
|
|
|
1,532 |
|
Digital Realty Trust, Inc. |
|
|
16 |
|
|
|
882 |
|
Douglas Emmett, Inc. |
|
|
13 |
|
|
|
218 |
|
Kilroy Realty Corporation |
|
|
24 |
|
|
|
761 |
|
SL Green Realty Corp. |
|
|
12 |
|
|
|
709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,509 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Management & Development 0.9% |
|
CB Richard Ellis Group, Inc., Class A (A) |
|
|
22 |
|
|
|
297 |
|
|
|
|
|
|
|
|
|
|
|
Real Estate Operating Companies 3.0% |
|
Brookfield Properties Corporation |
|
|
62 |
|
|
|
857 |
|
Forest City Enterprises, Inc., Class A (A) |
|
|
16 |
|
|
|
168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,025 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential REITs 20.9% |
|
|
|
|
|
|
|
|
American Campus Communities, Inc. |
|
|
17 |
|
|
|
621 |
|
Associated Estates Realty Corporation |
|
|
30 |
|
|
|
466 |
|
AvalonBay Communities, Inc. |
|
|
6 |
|
|
|
696 |
|
Boardwalk Real Estate Investment Trust (B) |
|
|
5 |
|
|
|
230 |
|
BRE Properties, Inc., Class A |
|
|
7 |
|
|
|
275 |
|
Camden Property Trust |
|
|
17 |
|
|
|
928 |
|
Equity Lifestyle Properties, Inc. |
|
|
1 |
|
|
|
75 |
|
Equity Residential |
|
|
38 |
|
|
|
1,956 |
|
Essex Property Trust, Inc. |
|
|
4 |
|
|
|
523 |
|
Home Properties, Inc. |
|
|
15 |
|
|
|
846 |
|
Mid-America Apartment Communities, Inc. |
|
|
10 |
|
|
|
614 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Retail REITs 21.2% |
|
|
|
|
|
|
|
|
Acadia Realty Trust |
|
|
30 |
|
|
|
557 |
|
Agree Realty Corporation |
|
|
15 |
|
|
|
327 |
|
CBL & Associates Properties, Inc. |
|
|
24 |
|
|
|
276 |
|
Cedar Shopping Centers, Inc. |
|
|
41 |
|
|
|
128 |
|
DDR Corp. |
|
|
48 |
|
|
|
525 |
|
Equity One, Inc. |
|
|
8 |
|
|
|
124 |
|
General Growth Properties, Inc. |
|
|
25 |
|
|
|
303 |
|
Macerich Company (The) |
|
|
22 |
|
|
|
946 |
|
Primaris Retail Real Estate Investment Trust (B) |
|
|
11 |
|
|
|
213 |
|
Regency Centers Corporation |
|
|
2 |
|
|
|
64 |
|
Simon Property Group, Inc. |
|
|
29 |
|
|
|
3,194 |
|
Taubman Centers, Inc. |
|
|
4 |
|
|
|
206 |
|
Weingarten Realty Investors |
|
|
22 |
|
|
|
468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized REITs 19.8% |
|
|
|
|
|
|
|
|
Entertainment Properties Trust |
|
|
4 |
|
|
|
140 |
|
Extra Space Storage Inc. |
|
|
11 |
|
|
|
197 |
|
HCP, Inc. |
|
|
39 |
|
|
|
1,368 |
|
Health Care REIT, Inc. |
|
|
25 |
|
|
|
1,179 |
|
Hersha Hospitality Trust |
|
|
76 |
|
|
|
264 |
|
Host Hotels & Resorts, Inc. |
|
|
68 |
|
|
|
744 |
|
LaSalle Hotel Properties |
|
|
13 |
|
|
|
248 |
|
LTC Properties, Inc. |
|
|
6 |
|
|
|
152 |
|
Public Storage, Inc. |
|
|
8 |
|
|
|
913 |
|
Sabra Health Care REIT, Inc. |
|
|
18 |
|
|
|
168 |
|
Sovran Self Storage, Inc. |
|
|
9 |
|
|
|
323 |
|
Sunstone Hotel Investors, Inc. (A) |
|
|
25 |
|
|
|
141 |
|
Ventas, Inc. |
|
|
20 |
|
|
|
1,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,837 |
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Service 1.8% |
|
American Tower Corporation, Class A (A) |
|
|
6 |
|
|
|
339 |
|
Crown Castle International Corp. (A) |
|
|
6 |
|
|
|
260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
599 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 94.1% |
|
|
|
|
|
$ |
32,464 |
|
(Cost: $34,319) |
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT FUNDS 0.1% |
|
|
|
|
|
|
|
|
Registered Investment Companies |
|
|
|
|
|
|
|
|
ProShares UltraShort Real Estate |
|
|
3 |
|
|
$ |
49 |
|
|
|
|
|
|
|
|
|
|
(Cost: $44) |
|
|
|
|
|
|
|
|
|
|
|
PREFERRED STOCKS |
|
|
|
|
|
|
|
|
Diversified REITs 0.5% |
|
|
|
|
|
|
|
|
CapLease, Inc., 8.125% Series A Cumulative |
|
|
8 |
|
|
|
180 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Office REITs 0.9% |
|
|
|
|
|
|
|
|
Digital Realty Trust, Inc., Preferred 7% (A) |
|
|
12 |
|
|
|
299 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized REITs 0.6% |
|
|
|
|
|
|
|
|
Pebblebrook Hotel Trust, Ser B Preferred 8% |
|
|
9 |
|
|
|
221 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL PREFERRED STOCKS 2.0% |
|
|
|
|
|
$ |
700 |
|
(Cost: $699) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES 4.0% |
|
Principal |
|
|
|
|
Master Note |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (C) |
|
$ |
1,391 |
|
|
$ |
1,391 |
|
|
|
|
|
|
|
|
|
|
(Cost: $1,391) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.2% |
|
|
$ |
34,604 |
|
(Cost: $36,453) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS (0.2%) |
|
|
(66 |
) |
|
|
NET ASSETS 100.0% |
|
$ |
34,538 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly
transaction between market participants at the measurement date. Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an
asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in
pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing
the asset or liability developed based on the best information available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall
valuation. The three-tier hierarchy of inputs is summarized below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk,
etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
32,464 |
|
|
$ |
|
|
|
$ |
|
|
Investment Funds |
|
|
49 |
|
|
|
|
|
|
|
|
|
Preferred Stocks |
|
|
700 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
1,391 |
|
|
|
|
|
Total |
|
$ |
33,213 |
|
|
$ |
1,391 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Listed on an exchange outside the United States. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronym is used throughout this schedule:
REIT = Real Estate Investment Trust
For Federal income tax purposes, cost of investments owned at September 30,
2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
36,645 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
1,988 |
|
Gross unrealized depreciation |
|
|
(4,029 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(2,041 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Science and
Technology (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Agricultural Products 5.2% |
|
|
|
|
|
|
|
|
Archer Daniels Midland Company |
|
|
267 |
|
|
$ |
6,623 |
|
Bunge Limited |
|
|
102 |
|
|
|
5,946 |
|
Darling International Inc. (A) |
|
|
125 |
|
|
|
1,578 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,147 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 13.6% |
|
|
|
|
|
|
|
|
ACI Worldwide, Inc. (A) |
|
|
522 |
|
|
|
14,373 |
|
Aspen Technology, Inc. (A) |
|
|
1,261 |
|
|
|
19,250 |
|
Intuit Inc. |
|
|
64 |
|
|
|
3,050 |
|
S1 Corporation (A) |
|
|
34 |
|
|
|
308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
36,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 5.6% |
|
|
|
|
|
|
|
|
Isis Pharmaceuticals, Inc. (A) |
|
|
155 |
|
|
|
1,053 |
|
Vertex Pharmaceuticals Incorporated (A) |
|
|
325 |
|
|
|
14,453 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,506 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 0.1% |
|
|
|
|
|
|
|
|
Brocade Communications Systems, Inc. (A) |
|
|
57 |
|
|
|
244 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 6.9% |
|
|
|
|
|
|
|
|
Apple Inc. (A) |
|
|
49 |
|
|
|
18,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 1.0% |
|
|
|
|
|
|
|
|
Abengoa, S.A. (B) |
|
|
79 |
|
|
|
1,673 |
|
Insituform Technologies, Inc., Class A (A) |
|
|
102 |
|
|
|
1,182 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,855 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 0.4% |
|
|
|
|
|
|
|
|
NetSpend Holdings, Inc. (A) |
|
|
207 |
|
|
|
1,065 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 15.9% |
|
Alliance Data Systems Corporation (A) |
|
|
260 |
|
|
|
24,120 |
|
Euronet Worldwide, Inc. (A) |
|
|
449 |
|
|
|
7,068 |
|
VeriFone Holdings, Inc. (A) |
|
|
186 |
|
|
|
6,507 |
|
Visa Inc., Class A |
|
|
49 |
|
|
|
4,183 |
|
WNS (Holdings) Limited, ADR (A) |
|
|
144 |
|
|
|
1,723 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,601 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Support Services 0.3% |
|
|
|
|
|
|
|
|
EnerNOC, Inc. (A) |
|
|
98 |
|
|
|
883 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Components 3.4% |
|
|
|
|
|
|
|
|
Corning Incorporated |
|
|
444 |
|
|
|
5,483 |
|
Power-One, Inc. (A) |
|
|
860 |
|
|
|
3,869 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,352 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments 3.0% |
|
Elster Group SE, ADR (A) |
|
|
189 |
|
|
|
2,829 |
|
Ingenico S.A. (B) |
|
|
58 |
|
|
|
2,154 |
|
Itron, Inc. (A) |
|
|
104 |
|
|
|
3,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Facilities 1.8% |
|
|
|
|
|
|
|
|
Tenet Healthcare Corporation (A) |
|
|
1,182 |
|
|
|
4,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 0.8% |
|
|
|
|
|
|
|
|
Fleury S.A. (B) |
|
|
46 |
|
|
|
530 |
|
Fleury S.A. (B)(C) |
|
|
131 |
|
|
|
1,520 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 2.4% |
|
|
|
|
|
|
|
|
Cerner Corporation (A) |
|
|
95 |
|
|
|
6,482 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 4.1% |
|
|
|
|
|
|
|
|
ESCO Technologies Inc. |
|
|
256 |
|
|
|
6,533 |
|
Pentair, Inc. |
|
|
139 |
|
|
|
4,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,976 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Telecommunication Services 0.6% |
|
CenturyLink, Inc. |
|
|
51 |
|
|
|
1,679 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 8.0% |
|
|
|
|
|
|
|
|
21Vianet Group, Inc., ADR (A) |
|
|
131 |
|
|
|
1,303 |
|
eBay Inc. (A) |
|
|
232 |
|
|
|
6,839 |
|
Google Inc., Class A (A) |
|
|
17 |
|
|
|
8,487 |
|
SINA Corporation (A) |
|
|
73 |
|
|
|
5,199 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 3.0% |
|
|
|
|
|
|
|
|
Acxiom Corporation (A) |
|
|
582 |
|
|
|
6,196 |
|
iGate Corporation |
|
|
160 |
|
|
|
1,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Life & Health Insurance 0.9% |
|
|
|
|
|
|
|
|
Qualicorp S.A. (A)(B) |
|
|
48 |
|
|
|
355 |
|
Qualicorp S.A. (A)(B)(C) |
|
|
270 |
|
|
|
2,014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Managed Health Care 1.1% |
|
|
|
|
|
|
|
|
Amil Participacoes S.A. (B) |
|
|
332 |
|
|
|
2,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 0.4% |
|
|
|
|
|
|
|
|
Xerox Corporation |
|
|
171 |
|
|
|
1,189 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment 1.1% |
|
|
|
|
|
|
|
|
Nanometrics Incorporated (A) |
|
|
53 |
|
|
|
771 |
|
Photronics, Inc. (A) |
|
|
419 |
|
|
|
2,088 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,859 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 13.1% |
|
|
|
|
|
|
|
|
Cree, Inc. (A) |
|
|
316 |
|
|
|
8,220 |
|
First Solar, Inc. (A) |
|
|
102 |
|
|
|
6,441 |
|
Micron Technology, Inc. (A) |
|
|
1,563 |
|
|
|
7,879 |
|
PMC-Sierra, Inc. (A) |
|
|
512 |
|
|
|
3,059 |
|
Samsung Electronics Co., Ltd. (B) |
|
|
14 |
|
|
|
9,985 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
35,584 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 1.1% |
|
|
|
|
|
|
|
|
Oracle Corporation |
|
|
83 |
|
|
|
2,382 |
|
Velti plc (A) |
|
|
82 |
|
|
|
545 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,927 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 93.8% |
|
|
|
|
|
$ |
255,151 |
|
(Cost: $261,813) |
|
|
|
|
|
|
|
|
|
|
|
CORPORATE DEBT SECURITIES 0.2% |
|
Principal |
|
|
|
|
Semiconductors |
|
|
|
|
|
|
|
|
JinkoSolar Holding Co., Ltd., Convertible, |
|
|
|
|
|
|
|
|
4.000%, 51516 (C) |
|
$ |
2,230 |
|
|
$ |
594 |
|
|
|
|
|
|
|
|
|
|
(Cost: $2,180) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
|
|
|
|
|
|
|
Commercial Paper 5.4% |
|
|
|
|
|
|
|
|
Baxter International Inc., |
|
|
|
|
|
|
|
|
0.110%, 10611 (D) |
|
|
5,000 |
|
|
|
5,000 |
|
Danaher Corporation, |
|
|
|
|
|
|
|
|
0.120%, 10711 (D) |
|
|
3,000 |
|
|
|
3,000 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
0.310%, 10411 (D) |
|
|
3,000 |
|
|
|
3,000 |
|
Wisconsin Electric Power Co., |
|
|
|
|
|
|
|
|
0.120%, 10311 (D) |
|
|
3,563 |
|
|
|
3,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,563 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 0.6% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (E) |
|
|
1,765 |
|
|
|
1,765 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 6.0% |
|
|
$ |
16,328 |
|
(Cost: $16,328) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.0% |
|
|
|
$ |
272,073 |
|
(Cost: $280,321) |
|
|
|
|
|
|
|
|
|
LIABILITIES, NET OF CASH AND OTHER ASSETS 0.0% |
|
|
|
|
(103 |
) |
|
|
|
NET ASSETS 100.0% |
|
|
|
$ |
271,970 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
|
|
|
|
|
|
|
|
|
|
|
Industrials |
|
$ |
13,041 |
|
|
$ |
1,673 |
|
|
$ |
|
|
Information Technology |
|
|
177,176 |
|
|
|
12,139 |
|
|
|
|
|
Other Sectors |
|
|
51,122 |
|
|
|
|
|
|
|
|
|
Total Common Stocks |
|
$ |
241,339 |
|
|
$ |
13,812 |
|
|
$ |
|
|
Corporate Debt Securities |
|
|
|
|
|
|
594 |
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
16,328 |
|
|
|
|
|
Total |
|
$ |
241,339 |
|
|
$ |
30,734 |
|
|
$ |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Written Options |
|
$ |
71 |
|
|
$ |
|
|
|
$ |
|
|
During the period ended September 30, 2011, securities totaling $9,985 were transferred from Level 1 to Level 2. These
transfers were the result of fair value procedures applied to foreign securities due to significant market movement of the S&P 500 on September 30, 2011.
The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Security |
|
Counterparty, if OTC |
|
Type |
|
Number of Contracts |
|
|
Expiration Month |
|
|
Exercise Price |
|
|
Premium Received |
|
|
Market Value |
|
SINA Corporation |
|
N/A |
|
Put |
|
|
91 |
|
|
|
October 2011 |
|
|
$ |
70.00 |
|
|
$ |
55 |
|
|
$ |
(71 |
) |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Listed on an exchange outside the United States. |
(C) |
Securities were purchased pursuant to Rule 144A under the Securities Act of 1933 and may be resold in transactions exempt from registration, normally to qualified institutional
buyers. At September 30, 2011, the total value of these securities amounted to $4,128 or 1.5% of net assets. |
(D) |
Rate shown is the yield to maturity at September 30, 2011. |
(E) Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
The following acronyms are used throughout this schedule:
ADR |
= American Depositary Receipts |
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
280,583 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
42,844 |
|
Gross unrealized depreciation |
|
|
(51,354 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(8,510 |
) |
|
|
|
SCHEDULE OF INVESTMENTS |
|
|
Small Cap Growth (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Airport Services 1.0% |
|
|
|
|
|
|
|
|
Wesco Aircraft Holdings, Inc. (A) |
|
|
292 |
|
|
$ |
3,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 1.3% |
|
|
|
|
|
|
|
|
Zumiez Inc. (A) |
|
|
227 |
|
|
|
3,983 |
|
|
|
|
|
|
|
|
|
|
|
Apparel, Accessories & Luxury Goods 5.3% |
|
Columbia Sportswear Company |
|
|
107 |
|
|
|
4,966 |
|
Under Armour, Inc., Class A (A) |
|
|
86 |
|
|
|
5,728 |
|
Warnaco Group, Inc. (The) (A) |
|
|
125 |
|
|
|
5,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,469 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 5.3% |
|
|
|
|
|
|
|
|
BroadSoft, Inc. (A) |
|
|
228 |
|
|
|
6,916 |
|
Synchronoss Technologies, Inc. (A) |
|
|
176 |
|
|
|
4,388 |
|
Ultimate Software Group, Inc. (The) (A) |
|
|
109 |
|
|
|
5,093 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,397 |
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 1.7% |
|
Affiliated Managers Group, Inc. (A) |
|
|
39 |
|
|
|
3,061 |
|
WisdomTree Investment, Inc. (A) |
|
|
307 |
|
|
|
2,157 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications Equipment 8.0% |
|
|
|
|
|
|
|
|
Acme Packet, Inc. (A) |
|
|
67 |
|
|
|
2,834 |
|
Aruba Networks, Inc. (A) |
|
|
344 |
|
|
|
7,191 |
|
DG FastChannel, Inc. (A) |
|
|
543 |
|
|
|
9,206 |
|
Finisar Corporation (A) |
|
|
309 |
|
|
|
5,428 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,659 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 1.1% |
|
|
|
|
|
|
|
|
Stratasys, Inc. (A) |
|
|
184 |
|
|
|
3,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering 3.8% |
|
|
|
|
|
|
|
|
Chicago Bridge & Iron Company N.V., NY Shares |
|
|
410 |
|
|
|
11,728 |
|
|
|
|
|
|
|
|
|
|
|
Construction & Farm Machinery & Heavy Trucks 5.0% |
|
Manitowoc Company, Inc. (The) |
|
|
427 |
|
|
|
2,863 |
|
Westinghouse Air Brake Technologies Corporation |
|
|
235 |
|
|
|
12,437 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.8% |
|
|
|
|
|
|
|
|
EZCORP, Inc., Class A (A) |
|
|
308 |
|
|
|
8,777 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Distributors 3.1% |
|
|
|
|
|
|
|
|
LKQ Corporation (A) |
|
|
396 |
|
|
|
9,562 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Support Services 1.1% |
|
|
|
|
|
|
|
|
Mobile Mini, Inc. (A) |
|
|
199 |
|
|
|
3,276 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Education Services 1.7% |
|
|
|
|
|
|
|
|
American Public Education, Inc. (A) |
|
|
150 |
|
|
|
5,108 |
|
|
|
|
|
|
|
|
|
|
|
Electrical Components & Equipment 2.7% |
|
Acuity Brands, Inc. |
|
|
104 |
|
|
|
3,734 |
|
Polypore International, Inc. (A) |
|
|
79 |
|
|
|
4,468 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,202 |
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments 3.4% |
|
FARO Technologies, Inc. (A) |
|
|
179 |
|
|
|
5,644 |
|
OSI Systems, Inc. (A) |
|
|
143 |
|
|
|
4,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment 11.1% |
|
|
|
|
|
|
|
|
DexCom, Inc. (A) |
|
|
436 |
|
|
|
5,227 |
|
Masimo Corporation |
|
|
129 |
|
|
|
2,787 |
|
NuVasive, Inc. (A) |
|
|
368 |
|
|
|
6,281 |
|
Volcano Corporation (A) |
|
|
481 |
|
|
|
14,256 |
|
ZOLL Medical Corporation (A) |
|
|
149 |
|
|
|
5,624 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
34,175 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Services 1.6% |
|
|
|
|
|
|
|
|
Healthways, Inc. (A) |
|
|
511 |
|
|
|
5,023 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Technology 1.6% |
|
|
|
|
|
|
|
|
Omnicell, Inc. (A) |
|
|
353 |
|
|
|
4,863 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 3.2% |
|
|
|
|
|
|
|
|
Tempur-Pedic International Inc. (A) |
|
|
185 |
|
|
|
9,757 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Retail 2.0% |
|
|
|
|
|
|
|
|
Shutterfly, Inc. (A) |
|
|
151 |
|
|
|
6,205 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services 9.1% |
|
|
|
|
|
|
|
|
Constant Contact, Inc. (A) |
|
|
579 |
|
|
|
10,005 |
|
DealerTrack Holdings, Inc. (A) |
|
|
388 |
|
|
|
6,086 |
|
Dice Holdings, Inc. (A) |
|
|
441 |
|
|
|
3,446 |
|
VistaPrint Limited (A) |
|
|
147 |
|
|
|
3,965 |
|
Vocus, Inc. (A) |
|
|
280 |
|
|
|
4,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,198 |
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 4.3% |
|
Greenhill & Co., Inc. |
|
|
237 |
|
|
|
6,770 |
|
Stifel Financial Corp. (A) |
|
|
243 |
|
|
|
6,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,217 |
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 3.4% |
|
|
|
|
|
Dril-Quip, Inc. (A) |
|
|
85 |
|
|
|
4,591 |
|
Superior Energy Services, Inc. (A) |
|
|
222 |
|
|
|
5,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,419 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Exploration & Production 1.2% |
|
Carrizo Oil & Gas, Inc. (A) |
|
|
173 |
|
|
|
3,734 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 2.1% |
|
|
|
|
|
|
|
|
Salix Pharmaceuticals, Ltd. (A) |
|
|
214 |
|
|
|
6,340 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 1.5% |
|
|
|
|
|
|
|
|
Cavium Inc. (A) |
|
|
176 |
|
|
|
4,748 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 1.1% |
|
|
|
|
|
|
|
|
Primo Water Corporation (A) |
|
|
581 |
|
|
|
3,278 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 4.8% |
|
|
|
|
|
|
|
|
MICROS Systems, Inc. (A) |
|
|
336 |
|
|
|
14,773 |
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors 1.4% |
|
RSC Holdings Inc. (A) |
|
|
619 |
|
|
|
4,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 95.7% |
|
|
|
|
|
$ |
294,883 |
|
(Cost: $337,572) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 2.2% |
|
|
|
|
|
|
|
|
BHP Billiton Finance (USA) Limited (GTD by BHP Billiton Limited), |
|
|
|
|
|
|
|
|
0.120%, 101811 (B) |
|
$ |
4,000 |
|
|
|
4,000 |
|
|
|
|
|
|
|
|
|
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), |
|
|
|
|
|
|
|
|
0.070%, 102411 (B) |
|
|
3,000 |
|
|
|
3,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 1.5% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (C) |
|
|
4,501 |
|
|
|
4,501 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations Taxable 0.6% |
|
|
|
|
|
|
|
|
Los Angeles, CA, Wastewater Sys Sub Rev Bonds, Var Rate Rfdg, Ser 2008-A (GTD by Bank of America, N.A.), |
|
|
|
|
|
|
|
|
0.100%, 10311 (C) |
|
|
1,836 |
|
|
|
1,836 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 4.3% |
|
|
|
|
|
$ |
13,337 |
|
(Cost: $13,337) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 100.0% |
|
|
$ |
308,220 |
|
(Cost: $350,909) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 0.0% |
|
|
|
23 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
|
|
$ |
308,243 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
294,883 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
13,337 |
|
|
|
|
|
Total |
|
$ |
294,883 |
|
|
$ |
13,337 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Rate shown is the yield to maturity at September 30, 2011. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronym is used throughout this schedule:
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized
appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
351,686 |
|
|
|
Gross unrealized appreciation |
|
|
31,555 |
|
Gross unrealized depreciation |
|
|
(75,021 |
) |
Net unrealized depreciation |
|
$ |
(43,466 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Small Cap Value
(in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
|
|
Aerospace & Defense 5.6% |
|
|
|
|
|
|
|
|
AAR Corp. |
|
|
207 |
|
|
$ |
3,456 |
|
Ceradyne, Inc. (A) |
|
|
39 |
|
|
|
1,046 |
|
Triumph Group, Inc. |
|
|
129 |
|
|
|
6,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Apparel Retail 0.9% |
|
|
|
|
|
|
|
|
Payless ShoeSource, Inc. (A) |
|
|
127 |
|
|
|
1,651 |
|
|
|
|
|
|
|
|
|
|
|
|
Apparel, Accessories & Luxury Goods 4.1% |
|
|
|
|
|
Jones Apparel Group, Inc. |
|
|
389 |
|
|
|
3,579 |
|
Warnaco Group, Inc. (The) (A) |
|
|
98 |
|
|
|
4,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,092 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Application Software 1.0% |
|
|
|
|
|
|
|
|
Quest Software, Inc. (A) |
|
|
120 |
|
|
|
1,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset Management & Custody Banks 1.3% |
|
|
|
|
|
|
|
|
American Capital Strategies, Ltd. (A) |
|
|
357 |
|
|
|
2,433 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Auto Parts & Equipment 2.0% |
|
|
|
|
|
|
|
|
Tenneco Automotive Inc. (A) |
|
|
152 |
|
|
|
3,882 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 2.6% |
|
|
|
|
|
|
|
|
Belo Corp., Class A |
|
|
500 |
|
|
|
2,443 |
|
Entercom Communications Corp. (A) |
|
|
483 |
|
|
|
2,533 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,976 |
|
|
|
|
|
|
|
|
|
|
|
Data Processing & Outsourced Services 1.5% |
|
CoreLogic Inc. (A) |
|
|
266 |
|
|
|
2,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Chemicals 2.6% |
|
|
|
|
|
|
|
|
Ashland Inc. |
|
|
54 |
|
|
|
2,361 |
|
Solutia Inc. (A) |
|
|
191 |
|
|
|
2,449 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 2.4% |
|
|
|
|
|
|
|
|
NV Energy, Inc. |
|
|
319 |
|
|
|
4,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Manufacturing Services 1.1% |
|
|
|
|
|
|
|
|
Celestica Inc. (A) |
|
|
283 |
|
|
|
2,053 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities 2.4% |
|
|
|
|
|
|
|
|
Southwest Gas Corporation |
|
|
127 |
|
|
|
4,605 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Facilities 3.7% |
|
|
|
|
|
|
|
|
Community Health Systems, Inc. (A) |
|
|
126 |
|
|
|
2,098 |
|
LifePoint Hospitals, Inc. (A) |
|
|
141 |
|
|
|
5,152 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Homebuilding 0.4% |
|
|
|
|
|
|
|
|
M/I Homes, Inc. (A) |
|
|
118 |
|
|
|
708 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Hotels, Resorts & Cruise Lines 1.9% |
|
|
|
|
|
|
|
|
Gaylord Entertainment Company (A) |
|
|
189 |
|
|
|
3,661 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 0.8% |
|
|
|
|
|
|
|
|
Piper Jaffray Companies (A) |
|
|
84 |
|
|
|
1,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Managed Health Care 1.0% |
|
|
|
|
|
|
|
|
Coventry Health Care, Inc. (A) |
|
|
65 |
|
|
|
1,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage REITs 1.8% |
|
|
|
|
|
|
|
|
Invesco Mortgage Capital, Inc. |
|
|
241 |
|
|
|
3,407 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Movies & Entertainment 1.5% |
|
|
|
|
|
|
|
|
Cinemark Holdings, Inc. |
|
|
151 |
|
|
|
2,843 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Office REITs 2.1% |
|
|
|
|
|
|
|
|
Lexington Corporation Properties Trust |
|
|
613 |
|
|
|
4,011 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Equipment & Services 1.9% |
|
|
|
|
|
|
|
|
Hornbeck Offshore Services, Inc. (A) |
|
|
44 |
|
|
|
1,096 |
|
Superior Energy Services, Inc. (A) |
|
|
101 |
|
|
|
2,637 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,733 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 7.4% |
|
|
|
|
|
|
|
|
Atlas Pipeline Partners, L.P. |
|
|
90 |
|
|
|
2,673 |
|
MarkWest Energy Partners, L.P. |
|
|
30 |
|
|
|
1,365 |
|
Regency Energy Partners LP |
|
|
263 |
|
|
|
5,882 |
|
Targa Resources Corp. |
|
|
143 |
|
|
|
4,257 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Packaged Foods & Meats 1.0% |
|
|
|
|
|
|
|
|
Dean Foods Company (A) |
|
|
214 |
|
|
|
1,897 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Paper Packaging 1.9% |
|
|
|
|
|
|
|
|
Boise Inc. |
|
|
718 |
|
|
|
3,709 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Personal Products 1.0% |
|
|
|
|
|
|
|
|
Inter Parfums, Inc. |
|
|
130 |
|
|
|
2,007 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 3.4% |
|
|
|
|
|
|
|
|
Argo Group International Holdings, Ltd. |
|
|
172 |
|
|
|
4,889 |
|
SeaBright Insurance Holdings, Inc. |
|
|
244 |
|
|
|
1,755 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,644 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 3.4% |
|
|
|
|
|
|
|
|
E. W. Scripps Company (The) (A) |
|
|
202 |
|
|
|
1,417 |
|
Valassis Communications, Inc. (A) |
|
|
175 |
|
|
|
3,280 |
|
Washington Post Company, Class B (The) |
|
|
6 |
|
|
|
1,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,626 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Regional Banks 4.3% |
|
|
|
|
|
|
|
|
Bank of Marin Bancorp |
|
|
88 |
|
|
|
2,916 |
|
First Horizon National Corporation |
|
|
350 |
|
|
|
2,085 |
|
Synovus Financial Corp. |
|
|
1,399 |
|
|
|
1,497 |
|
Wintrust Financial Corporation |
|
|
69 |
|
|
|
1,769 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,267 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Reinsurance 4.0% |
|
|
|
|
|
|
|
|
Endurance Specialty Holdings Ltd. |
|
|
120 |
|
|
|
4,105 |
|
Reinsurance Group of America, Incorporated |
|
|
79 |
|
|
|
3,630 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,735 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Residential REITs 2.8% |
|
|
|
|
|
|
|
|
Campus Crest Communities, Inc. |
|
|
493 |
|
|
|
5,361 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialized REITs 1.4% |
|
|
|
|
|
|
|
|
Strategic Hotels & Resorts, Inc. (A) |
|
|
613 |
|
|
|
2,642 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 2.3% |
|
|
|
|
|
|
|
|
Cytec Industries Inc. |
|
|
86 |
|
|
|
3,011 |
|
RPM International Inc. |
|
|
80 |
|
|
|
1,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,511 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Technology Distributors 1.9% |
|
|
|
|
|
|
|
|
Insight Enterprises, Inc. (A) |
|
|
108 |
|
|
|
1,629 |
|
Tech Data Corporation (A) |
|
|
50 |
|
|
|
2,149 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,778 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Thrifts & Mortgage Finance 1.9% |
|
|
|
|
|
|
|
|
Capitol Federal Financial |
|
|
348 |
|
|
|
3,672 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trucking 3.2% |
|
|
|
|
|
|
|
|
Marten Transport, Ltd. |
|
|
123 |
|
|
|
2,112 |
|
Werner Enterprises, Inc. |
|
|
198 |
|
|
|
4,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,245 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 82.5% |
|
|
$ |
158,963 |
|
(Cost: $187,521) |
|
|
|
|
|
|
|
|
|
|
|
INVESTMENT FUNDS 2.1% |
|
|
|
|
|
|
|
|
Asset Management & Custody Banks |
|
|
|
|
|
|
|
|
THL Credit, Inc. |
|
|
377 |
|
|
$ |
4,114 |
|
|
|
|
|
|
|
|
|
|
(Cost: $4,902) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 2.8% |
|
|
|
|
|
|
|
|
Straight-A Funding, LLC (GTD by Federal Financing Bank), |
|
|
|
|
|
|
|
|
0.130%, 101811 (B) |
|
$ |
3,000 |
|
|
|
3,000 |
|
Wisconsin Electric Power Co., |
|
|
|
|
|
|
|
|
0.120%, 10311 (B) |
|
|
2,446 |
|
|
|
2,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Master Note 4.7% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (C) |
|
|
9,142 |
|
|
|
9,142 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Obligations Taxable 7.7% |
|
|
|
|
|
|
|
|
Cert of Part, Denver Pub Sch, Var Rate Rfdg Ser 2011A-3 (GTD by Wells Fargo Bank, N.A.), |
|
|
|
|
|
|
|
|
0.140%, 101511 (C) |
|
|
125 |
|
|
|
125 |
|
Franklin, OH, Var Rate Demand Hosp Fac Rfdg and Impvt Rev Bonds (U.S. Hlth Corp of Columbus), Ser 1996A (GTD by U.S. Bank,
N.A.), |
|
|
|
|
|
|
|
|
0.130%, 10711 (C) |
|
|
2,000 |
|
|
|
2,000 |
|
MI Strategic Fund, Var Rate Demand Ltd Oblig Rev Bonds (Air Products and Chemicals, Inc. Proj), Ser 2007 (GTD by Bank of New York
(The)), |
|
|
|
|
|
|
|
|
0.120%, 10311 (C) |
|
|
2,000 |
|
|
|
2,000 |
|
NYC GO Bonds, Fiscal 2006 Ser E (GTD by Bank of America, N.A.), |
|
|
|
|
|
|
|
|
0.180%, 10311 (C) |
|
|
10,683 |
|
|
|
10,683 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,808 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 15.2% |
|
|
$ |
29,396 |
|
(Cost: $29,396) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 99.8% |
|
|
$ |
192,473 |
|
(Cost: $221,819) |
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES
0.2% |
|
|
|
457 |
|
|
|
NET ASSETS 100.0% |
|
|
$ |
192,930 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
158,963 |
|
|
$ |
|
|
|
$ |
|
|
Investment Funds |
|
|
4,114 |
|
|
|
|
|
|
|
|
|
Short-Term Securities |
|
|
|
|
|
|
29,396 |
|
|
|
|
|
Total |
|
$ |
163,077 |
|
|
$ |
29,396 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
Rate shown is the yield to maturity at September 30, 2011. |
(C) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
GTD = Guaranteed
REIT = Real Estate Investment Trust
|
|
|
|
|
For Federal income tax purposes, cost of investments owned at September 30, 2011 and the related unrealized appreciation
(depreciation) were as follows: |
|
Cost |
|
$ |
221,846 |
|
Gross unrealized appreciation |
|
|
8,225 |
|
Gross unrealized depreciation |
|
|
(37,598 |
) |
Net unrealized depreciation |
|
$ |
(29,373 |
) |
|
|
|
SCHEDULE OF INVESTMENTS Value (in thousands) |
|
SEPTEMBER 30, 2011 (UNAUDITED) |
|
|
|
|
|
|
|
|
|
COMMON STOCKS |
|
Shares |
|
|
Value |
|
|
Auto Parts & Equipment 1.3% |
|
TRW Automotive Holdings Corp. (A) |
|
|
102 |
|
|
$ |
3,335 |
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology 2.4% |
|
|
|
|
|
Amgen Inc. |
|
|
113 |
|
|
|
6,220 |
|
|
|
|
|
|
|
|
|
|
|
|
Broadcasting 0.6% |
|
|
|
|
|
CBS Corporation, Class B |
|
|
71 |
|
|
|
1,445 |
|
|
|
|
|
|
|
|
|
|
|
Cable & Satellite 2.6% |
|
Time Warner Cable Inc. |
|
|
104 |
|
|
|
6,518 |
|
|
|
|
|
|
|
|
|
|
|
Computer Hardware 1.8% |
|
Hewlett-Packard Company |
|
|
202 |
|
|
|
4,526 |
|
|
|
|
|
|
|
|
|
|
|
Consumer Finance 2.6% |
|
Capital One Financial Corporation |
|
|
169 |
|
|
|
6,713 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Department Stores 1.8% |
|
|
|
|
|
|
|
|
Macys Inc. |
|
|
175 |
|
|
|
4,611 |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Banks 4.5% |
|
|
|
|
|
Wells Fargo & Company |
|
|
477 |
|
|
|
11,503 |
|
|
|
|
|
|
|
|
|
|
|
|
Diversified Metals & Mining 0.6% |
|
|
|
|
|
Freeport-McMoRan Copper & Gold Inc., Class B |
|
|
48 |
|
|
|
1,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Drug Retail 4.1% |
|
|
|
|
|
|
|
|
CVS Corporation (B) |
|
|
308 |
|
|
|
10,339 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Electric Utilities 2.7% |
|
|
|
|
|
|
|
|
PPL Corporation |
|
|
242 |
|
|
|
6,918 |
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Distributors 3.0% |
|
|
|
|
|
McKesson Corporation |
|
|
103 |
|
|
|
7,517 |
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Machinery 1.8% |
|
|
|
|
|
Ingersoll-Rand plc |
|
|
162 |
|
|
|
4,562 |
|
|
|
|
|
|
|
|
|
|
|
|
Integrated Oil & Gas 8.9% |
|
|
|
|
|
ConocoPhillips |
|
|
208 |
|
|
|
13,176 |
|
Marathon Oil Corporation |
|
|
367 |
|
|
|
7,918 |
|
Occidental Petroleum Corporation |
|
|
22 |
|
|
|
1,580 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,674 |
|
|
|
|
|
|
|
|
|
|
|
|
Investment Banking & Brokerage 4.2% |
|
|
|
|
|
Goldman Sachs Group, Inc. (The) |
|
|
70 |
|
|
|
6,657 |
|
Morgan Stanley |
|
|
302 |
|
|
|
4,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,727 |
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Other Services 1.6% |
|
International Business Machines Corporation |
|
|
23 |
|
|
|
3,991 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Managed Health Care 4.1% |
|
|
|
|
|
|
|
|
WellPoint, Inc. |
|
|
162 |
|
|
|
10,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage REITs 5.6% |
|
|
|
|
|
|
|
|
American Capital Agency Corp. (B) |
|
|
295 |
|
|
|
8,002 |
|
Invesco Mortgage Capital, Inc. (B) |
|
|
444 |
|
|
|
6,277 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,279 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics 3.4% |
|
|
|
|
|
|
|
|
Xerox Corporation |
|
|
1,237 |
|
|
|
8,624 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Refining & Marketing 2.8% |
|
Marathon Petroleum Corporation |
|
|
265 |
|
|
|
7,163 |
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas Storage & Transportation 5.6% |
|
MarkWest Energy Partners, L.P. |
|
|
111 |
|
|
|
5,119 |
|
Regency Energy Partners LP |
|
|
405 |
|
|
|
9,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,182 |
|
|
|
|
|
|
|
|
|
|
|
Other Diversified Financial Services 2.4% |
|
Bank of America Corporation |
|
|
1,008 |
|
|
|
6,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals 2.3% |
|
|
|
|
|
|
|
|
Johnson & Johnson |
|
|
91 |
|
|
|
5,823 |
|
|
|
|
|
|
|
|
|
|
|
Property & Casualty Insurance 9.9% |
|
ACE Limited |
|
|
190 |
|
|
|
11,520 |
|
Travelers Companies, Inc. (The) |
|
|
157 |
|
|
|
7,641 |
|
XL Group plc |
|
|
307 |
|
|
|
5,779 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,940 |
|
|
|
|
|
|
|
|
|
|
|
Reinsurance 2.7% |
|
RenaissanceRe Holdings Ltd. |
|
|
107 |
|
|
|
6,827 |
|
|
|
|
|
|
|
|
|
|
|
Semiconductors 2.1% |
|
Freescale Semiconductor, Inc. (A) |
|
|
495 |
|
|
|
5,457 |
|
|
|
|
|
|
|
|
|
|
|
Soft Drinks 2.2% |
|
Dr Pepper Snapple Group, Inc. |
|
|
147 |
|
|
|
5,712 |
|
|
|
|
|
|
|
|
|
|
|
|
Specialty Chemicals 0.5% |
|
|
|
|
|
LyondellBasell Industries N.V., Class A |
|
|
60 |
|
|
|
1,461 |
|
|
|
|
|
|
|
|
|
|
|
|
Systems Software 2.3% |
|
|
|
|
|
Symantec Corporation (A) |
|
|
358 |
|
|
|
5,837 |
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco 1.4% |
|
|
|
|
|
Philip Morris International Inc. |
|
|
55 |
|
|
|
3,450 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS 91.8% |
|
|
$ |
233,516 |
|
(Cost: $271,378) |
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM SECURITIES |
|
Principal |
|
|
|
|
Commercial Paper 5.2% |
|
|
|
|
|
|
|
|
Shell International Finance B.V. and Royal Dutch Shell plc (GTD by Royal Dutch Shell plc), |
|
|
|
|
|
|
|
|
0.070%, 102411 (C) |
|
$ |
3,000 |
|
|
|
3,000 |
|
Verizon Communications Inc., |
|
|
|
|
|
|
|
|
0.310%, 10411 (C) |
|
|
3,000 |
|
|
|
3,000 |
|
Wisconsin Electric Power Co., |
|
|
|
|
|
|
|
|
0.120%, 10311 (C) |
|
|
7,269 |
|
|
|
7,269 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,269 |
|
|
|
|
|
|
|
|
|
|
Master Note 1.2% |
|
|
|
|
|
|
|
|
Toyota Motor Credit Corporation, |
|
|
|
|
|
|
|
|
0.113%, 10311 (D) |
|
|
2,992 |
|
|
|
2,992 |
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SHORT-TERM SECURITIES 6.4% |
|
|
$ |
16,261 |
|
(Cost: $16,261) |
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENT SECURITIES 98.2% |
|
|
$ |
249,777 |
|
(Cost: $287,639) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CASH AND OTHER ASSETS, NET OF LIABILITIES 1.8% |
|
|
4,505 |
|
|
|
|
NET ASSETS 100.0% |
|
|
|
$ |
254,282 |
|
Notes to Schedule of Investments
Fair value is defined as the price that the Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and
refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from
sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information
available in the circumstances. An individual investments fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized
below.
Level 1 unadjusted quoted prices in active markets for identical securities
Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 significant unobservable inputs (including the Portfolios own assumptions in determining the fair value of investments)
The following table summarizes the valuation of the Portfolios investments by the above fair value hierarchy levels as of September 30, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Level 1 |
|
|
Level 2 |
|
|
Level 3 |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ |
233,516 |
|
|
$ |
|
|
|
$ |
|
|
Short-Term Securities |
|
|
|
|
|
|
16,261 |
|
|
|
|
|
Total |
|
$ |
233,516 |
|
|
$ |
16,261 |
|
|
$ |
|
|
Liabilities |
|
|
|
|
|
|
|
|
|
|
|
|
Written Options |
|
$ |
439 |
|
|
$ |
9 |
|
|
$ |
|
|
There were no significant transfers between any levels during the period ended September 30, 2011.
The following written options were outstanding at September 30, 2011 (contracts and exercise prices unrounded):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Underlying Security |
|
Counterparty, if OTC |
|
Type |
|
Number of Contracts |
|
|
Expiration Month |
|
|
Exercise Price |
|
|
Premium Received |
|
|
Market Value |
|
American Capital Agency Corp. |
|
N/A |
|
Call |
|
|
2,953 |
|
|
|
October 2011 |
|
|
$ |
30.00 |
|
|
$ |
49 |
|
|
$ |
(7 |
) |
CVS Corporation: |
|
N/A |
|
Call |
|
|
383 |
|
|
|
January 2012 |
|
|
|
39.00 |
|
|
|
23 |
|
|
|
(16 |
) |
|
|
N/A |
|
Call |
|
|
383 |
|
|
|
January 2012 |
|
|
|
40.00 |
|
|
|
16 |
|
|
|
(11 |
) |
|
|
N/A |
|
Call |
|
|
766 |
|
|
|
January 2012 |
|
|
|
41.00 |
|
|
|
22 |
|
|
|
(14 |
) |
Invesco Mortgage Capital, Inc. |
|
N/A |
|
Call |
|
|
180 |
|
|
|
October 2011 |
|
|
|
17.50 |
|
|
|
3 |
|
|
|
|
* |
Johnson & Johnson: |
|
N/A |
|
Put |
|
|
220 |
|
|
|
October 2011 |
|
|
|
60.00 |
|
|
|
13 |
|
|
|
(14 |
) |
|
|
N/A |
|
Put |
|
|
220 |
|
|
|
October 2011 |
|
|
|
62.50 |
|
|
|
21 |
|
|
|
(27 |
) |
LyondellBasell Industries N.V., Class A |
|
N/A |
|
Put |
|
|
412 |
|
|
|
October 2011 |
|
|
|
28.00 |
|
|
|
39 |
|
|
|
(176 |
) |
Marathon Oil Corporation |
|
N/A |
|
Put |
|
|
417 |
|
|
|
October 2011 |
|
|
|
22.00 |
|
|
|
16 |
|
|
|
(62 |
) |
PPL Corporation |
|
Deutsche Banc Alex. Brown Inc. |
|
Call |
|
|
247 |
|
|
|
November 2011 |
|
|
|
30.00 |
|
|
|
9 |
|
|
|
(9 |
) |
TRW Automotive Holdings Corp. |
|
N/A |
|
Put |
|
|
339 |
|
|
|
October 2011 |
|
|
|
35.00 |
|
|
|
31 |
|
|
|
(112 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
242 |
|
|
$ |
(448 |
) |
* |
Not shown due to rounding. |
(A) |
No dividends were paid during the preceding 12 months. |
(B) |
All or a portion of the security position is held in collateralized accounts to cover potential obligations with respect to outstanding written options. |
(C) |
Rate shown is the yield to maturity at September 30, 2011. |
(D) |
Variable rate security. Interest rate disclosed is that which is in effect at September 30, 2011. Date shown represents the date that the variable rate resets.
|
The following acronyms are used throughout this schedule:
GTD = Guaranteed
OTC = Over the Counter
REIT |
= Real Estate Investment Trust |
For Federal income tax purposes,
cost of investments owned at September 30, 2011 and the related unrealized appreciation (depreciation) were as follows:
|
|
|
|
|
Cost |
|
$ |
286,936 |
|
|
|
|
|
|
|
|
Gross unrealized appreciation |
|
|
14,150 |
|
Gross unrealized depreciation |
|
|
(51,309 |
) |
|
|
|
|
|
Net unrealized depreciation |
|
$ |
(37,159 |
) |
ITEM 2. CONTROLS AND PROCEDURES.
(a) |
The Registrants Principal Executive Officer and Principal Financial Officer, or persons performing similar functions, based on their evaluation of the
Registrants disclosure controls and procedures as of a date within 90 days of the filing date of this report, have concluded that such controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended)
are effective and adequately designed to ensure that information required to be disclosed by the Registrant in its reports that it files or submits is accumulated and communicated to the Registrants management, including the Principal
Executive Officer and Principal Financial Officer, or persons performing similar functions, as appropriate, to allow timely decisions regarding required disclosure. |
(b) |
There were no significant changes in the registrants internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of
1940, as amended) 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 separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the
Investment Company Act of 1940 (17 CFR 270.30a-2(a)).
Attached hereto as Exhibit 99.CERT.
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.
|
|
|
Ivy Funds Variable Insurance Portfolios |
(Registrant) |
|
|
By |
|
/s/ Mara D. Herrington |
|
|
Mara D. Herrington, Vice President and Secretary |
Date: November 21, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
By |
|
/s/ Henry J. Herrmann |
|
|
Henry J. Herrmann, Principal Executive Officer |
Date: November 21, 2011
|
|
|
By |
|
/s/ Joseph W. Kauten |
|
|
Joseph W. Kauten, Principal Financial Officer |
Date: November 21, 2011