March 31, 2011 Oppenheimer Management Global Strategic Commentary and Income Fund Semiannual Report M A N A G E M E N T C O M M E N TA R Y An Interview with Your Funds Portfolio Managers S E M I A N N U A L R E P O RT Listing of Top Holdings Financial Statements |
Portfolio Allocation | ||||
Corporate Bonds and Notes |
30.1 | % | ||
Foreign Government Obligations |
21.1 | |||
Mortgage-Backed Obligations: |
||||
Government Agency |
6.8 | |||
Non-Agency |
12.5 | |||
Investment Companies |
14.9 | |||
Structured Securities |
6.0 | |||
U.S. Government Obligations |
3.0 | |||
Cash Equivalent |
2.8 | |||
Asset-Backed Securities |
1.4 | |||
Common Stocks |
0.6 | |||
Loan Participations |
0.4 | |||
Preferred Stocks |
0.4 | |||
Rights, Warrants and Certificates |
| |||
Options Purchased |
|
Corporate Bonds & NotesTop Ten Industries | ||||||||
Oil, Gas & Consumable Fuels |
4.6 | % | ||||||
Commercial Banks |
2.3 | |||||||
Media |
1.7 | |||||||
Hotels, Restaurants & Leisure |
1.6 | |||||||
Electric Utilities |
1.6 | |||||||
Paper & Forest Products |
1.3 | |||||||
Diversified Telecommunication Services |
1.3 | |||||||
Chemicals |
1.1 | |||||||
Aerospace & Defense |
1.1 | |||||||
Food Products |
1.0 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
October 1, 2010 | March 31, 2011 | March 31, 2011 | ||||||||||
Actual |
||||||||||||
Class A |
$ | 1,000.00 | $ | 1,033.00 | $ | 4.72 | ||||||
Class B |
1,000.00 | 1,030.60 | 9.41 | |||||||||
Class C |
1,000.00 | 1,029.10 | 8.58 | |||||||||
Class N |
1,000.00 | 1,033.20 | 6.87 | |||||||||
Class Y |
1,000.00 | 1,036.50 | 3.56 | |||||||||
Hypothetical (5% return before expenses) |
||||||||||||
Class A |
1,000.00 | 1,020.29 | 4.70 | |||||||||
Class B |
1,000.00 | 1,015.71 | 9.34 | |||||||||
Class C |
1,000.00 | 1,016.50 | 8.53 | |||||||||
Class N |
1,000.00 | 1,018.20 | 6.82 | |||||||||
Class Y |
1,000.00 | 1,021.44 | 3.53 |
Class | Expense Ratios | |||
Class A |
0.93 | % | ||
Class B |
1.85 | |||
Class C |
1.69 | |||
Class N |
1.35 | |||
Class Y |
0.70 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities1.5% |
||||||||
Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts.,
Series 2010-2, Cl. A4, 2.09%, 5/15/15 |
$ | 1,720,000 | $ | 1,735,988 | ||||
Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts.,
Series 2010-4, Cl. A3, 0.91%, 11/17/14 |
1,210,000 | 1,205,633 | ||||||
Ally Master Owner Trust, Asset-Backed Nts.,
Series 2011-1, Cl. A2, 2.15%, 1/15/16 |
3,175,000 | 3,177,620 | ||||||
AmeriCredit Automobile Receivables Trust 2010-4, Automobile
Receivables-Backed Nts., Series 2010-4, Cl. A3, 1.27%, 4/8/15 |
885,000 | 884,025 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile
Receivables Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 |
3,495,000 | 3,590,222 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1,
Automobile Receivables Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 |
1,585,777 | 1,586,318 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through
Certificates, Series 2004-W8, Cl. A2, 1.21%, 5/25/341 |
4,647,879 | 4,126,606 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through
Certificates, Series 2006-M3, Cl. A2B, 0.35%, 9/25/361 |
1,565,639 | 554,635 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables,
Series 2010-2, Cl. A4, 1.94%, 6/15/17 |
1,060,000 | 1,070,648 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed
Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 |
693,000 | 711,621 | ||||||
Capital One Auto Finance Trust, Automobile Receivables,
Series 2006-C, Cl. A4, 0.285%, 5/15/131 |
1,335,963 | 1,331,628 | ||||||
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed
Certificates, Series 2003-2, Cl. 2A2, 0.81%, 2/25/331 |
24,359 | 21,058 | ||||||
Citibank Omni Master Trust, Credit Card Receivables: |
||||||||
Series 2009-A13, Cl. A13, 5.35%, 8/15/182 |
2,005,000 | 2,183,379 | ||||||
Series 2009-A17, Cl. A17, 4.90%, 11/15/182 |
2,005,000 | 2,146,250 | ||||||
Series 2009-A8, Cl. A8, 2.355%, 5/16/161,2 |
3,035,000 | 3,081,702 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed
Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.35%, 10/25/361 |
27,746 | 27,721 | ||||||
CNH Equipment Trust, Asset-Backed Certificates,
Series 2009-B, Cl. A3, 2.97%, 3/15/13 |
118,761 | 118,874 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 |
1,614,031 | 1,350,648 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 |
764,629 | 620,137 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed
Certificates, Series 2006-25, Cl. 2A2, 0.37%, 6/25/471 |
10,144,000 | 9,400,054 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: |
||||||||
Series 2005-G, Cl. 2A, 0.485%, 12/15/351 |
493,425 | 276,554 | ||||||
Series 2006-H, Cl. 2A1A, 0.405%, 11/15/361 |
188,012 | 72,945 | ||||||
DLJ Ltd., Collateralized Bond Obligations,
Series 1A, Cl. C2, 11.96%, 4/15/113,4 |
15,000,000 | 150 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
DSC Floorplan Master Owner Trust, Automobile Receivable
Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
$ | 1,945,000 | $ | 1,945,000 | ||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/154 |
2,710,000 | 2,709,160 | ||||||
DVI Receivables Corp., Equipment Asset-Backed Certificates,
Series 2001-2, Cl. C, 4.405%, 6/11/113 |
3,083,887 | 31 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 0.656%, 8/15/253,4 |
2,730,094 | | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through
Certificates, Series 2006-FF10, Cl. A3, 0.34%, 7/25/361 |
286,030 | 282,968 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through
Certificates, Series 2006-FF9, Cl. 2A2, 0.36%, 6/25/361 |
202,493 | 201,457 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts.,
Series 2011-1, Cl. A2, 1.47%, 3/16/15 |
2,275,000 | 2,274,932 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts.,
Series 2010-B, Cl. A2, 0.75%, 10/15/122 |
2,370,000 | 2,370,808 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.,
Series 2010-A, Cl. A4, 2.15%, 6/15/15 |
2,940,000 | 2,984,626 | ||||||
Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts.,
Series 2011-1, Cl. A1, 2.12%, 2/15/16 |
2,340,000 | 2,345,377 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts.,
Series 2009-2, Cl. A, 3.69%, 7/15/15 |
2,050,000 | 2,123,141 | ||||||
GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts.,
Series 2011-1A, Cl. A, 3.72%, 2/15/234 |
2,160,000 | 2,171,297 | ||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond
Obligations, Series 1A, Cl. D, 12.54%, 6/13/113,4 |
9,183,876 | | ||||||
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub.
Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 |
5,000,000 | 4,545,549 | ||||||
Greenpoint Credit Manufactured Housing Contract Trust,
Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/1/3119 |
1,980,732 | 392,562 | ||||||
Harley-Davidson Motorcycle Trust 2010-1, Motorcycle Contract-Backed
Nts., Series 2010-1, Cl. A3, 1.16%, 2/15/15 |
1,630,000 | 1,628,589 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts.,
Series 2010-1A, Cl. A1, 2.60%, 2/25/152 |
2,560,000 | 2,595,791 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates,
Series 2005-1, Cl. M6, 5.863%, 6/1/35 |
2,774,000 | 1,462,250 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan
Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.514%, 1/20/351 |
1,174,584 | 1,130,689 | ||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan
Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.364%, 3/20/361 |
374,991 | 373,816 | ||||||
Hyundai Auto Receivables Trust 2010-A, Automobile Receivable Nts.,
Series 2010-A, Cl. A3, 1.50%, 10/15/14 |
1,125,000 | 1,135,224 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued |
||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: |
||||||||
Series 2007-1A, Cl. B, 2.165%, 8/15/221,4 |
$ | 21,000,000 | $ | 14,070,000 | ||||
Series 2007-1A, Cl. C, 3.465%, 8/15/221,4 |
17,780,000 | 11,379,200 | ||||||
Series 2007-1A, Cl. D, 5.465%, 8/15/221,4 |
17,780,000 | 10,668,000 | ||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations,
Series 2A, Cl. C1, 2.71%, 3/24/141,4 |
4,305,676 | 86,114 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through
Certificates, Series 2006-WMC3, Cl. A3, 0.35%, 8/25/361 |
5,450,178 | 2,041,007 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through
Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,4 |
4,475,119 | 402,761 | ||||||
Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts.,
Series 2010-B, Cl. A3, 1.12%, 12/15/13 |
2,100,000 | 2,102,079 | ||||||
Nissan Auto Lease Trust, Automobile Receivable Nts.,
Series 2010-A, Cl. A3, 1.39%, 1/15/16 |
2,225,000 | 2,236,458 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through
Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 |
1,050,784 | 954,623 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.35%, 9/25/361 |
594,936 | 591,228 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables
Nts., Series 2010-3, Cl. A3, 1.20%, 6/16/14 |
1,305,000 | 1,307,894 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 |
908,861 | 909,406 | ||||||
SLM Student Loan Trust, Student Loan Receivables,
Series 2005-B, Cl. B, 0.71%, 6/15/391 |
6,586,000 | 3,054,148 | ||||||
SSB RV Trust 2001-1, Recreational Vehicles Mtg. Obligations,
Series 2001-1, Cl. B, 6.64%, 4/1/18 |
93,406 | 93,344 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities,
Series 2006-4SL, Cl. A1, 4.50%, 5/1/371,2,19 |
475,077 | 142,925 | ||||||
Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable
Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 |
2,535,000 | 2,537,483 | ||||||
Volkswagen Auto Lease Trust 2010-A, Automobile Receivable
Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 |
2,090,000 | 2,088,600 | ||||||
Volvo Financial Equipment LLC, Asset-Backed Certificates,
Series 2010-1A, Cl. A3, 1.56%, 6/17/132 |
1,130,000 | 1,134,933 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card
Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 |
2,060,000 | 2,102,287 | ||||||
Total Asset-Backed Securities (Cost $186,775,085) |
129,850,173 |
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations19.9% |
||||||||
Government Agency7.0% |
||||||||
FHLMC/FNMA/FHLB/Sponsored6.7% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
5%, 12/15/34 |
$ | 3,090,830 | $ | 3,248,837 | ||||
5.50%, 9/1/39 |
6,260,215 | 6,684,621 | ||||||
6%, 1/15/19-7/15/24 |
5,622,925 | 6,154,081 | ||||||
6%,
4/1/415 |
17,045,000 | 18,517,790 | ||||||
6.50%, 4/15/18-6/15/35 |
4,321,672 | 4,803,787 | ||||||
7%, 8/15/21-3/1/35 |
3,657,013 | 4,209,615 | ||||||
7.50%, 1/1/32-2/15/32 |
4,468,304 | 5,177,416 | ||||||
8.50%, 8/15/31 |
256,198 | 306,210 | ||||||
10%, 5/15/20 |
125,287 | 142,709 | ||||||
10.50%, 6/14/20 |
82,899 | 95,480 | ||||||
11.50%, 11/14/16 |
19,800 | 19,959 | ||||||
12%, 7/15/15-6/15/17 |
106,068 | 106,722 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 |
4,177,393 | 4,696,007 | ||||||
Series 151, Cl. F, 9%, 5/15/21 |
8,600 | 9,777 | ||||||
Series 1590, Cl. IA, 1.363%, 10/15/231 |
3,648,202 | 3,683,748 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 |
191,324 | 211,542 | ||||||
Series 2006-11, Cl. PS, 23.652%, 3/25/361 |
2,070,955 | 2,934,403 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
31,740 | 36,027 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 |
46,425 | 53,903 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
3,151,989 | 3,250,669 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
32,148 | 36,674 | ||||||
Series 2116, Cl. ZA, 6%, 1/15/29 |
2,297,961 | 2,532,113 | ||||||
Series 2122, Cl. F, 0.705%, 2/15/291 |
94,535 | 94,687 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 |
55,334 | 60,307 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
516,812 | 600,427 | ||||||
Series 2344, Cl. FP, 1.205%, 8/15/311 |
1,290,287 | 1,306,354 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 |
76,541 | 83,385 | ||||||
Series 2368, Cl. TG, 6%, 10/15/16 |
480,011 | 513,329 | ||||||
Series 2401, Cl. FA, 0.905%, 7/15/291 |
176,574 | 178,013 | ||||||
Series 2412, Cl. GF, 1.205%, 2/15/321 |
2,501,974 | 2,537,280 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 |
2,351,071 | 2,645,184 | ||||||
Series 2451, Cl. FD, 1.255%, 3/15/321 |
911,146 | 924,634 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 |
117,714 | 126,412 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
339,167 | 375,526 | ||||||
Series 2464, Cl. FI, 1.255%, 2/15/321 |
918,538 | 930,655 | ||||||
Series 2470, Cl. AF, 1.255%, 3/15/321 |
1,470,052 | 1,499,809 | ||||||
Series 2470, Cl. LF, 1.255%, 2/15/321 |
939,407 | 954,537 | ||||||
Series 2471, Cl. FD, 1.255%, 3/15/321 |
1,462,420 | 1,484,740 | ||||||
Series 2475, Cl. FB, 1.255%, 2/15/321 |
1,286,577 | 1,308,368 | ||||||
Series 2500, Cl. FD, 0.755%, 3/15/321 |
366,830 | 368,444 | ||||||
Series 2517, Cl. GF, 1.255%, 2/15/321 |
776,722 | 789,005 | ||||||
Series 2526, Cl. FE, 0.655%, 6/15/291 |
430,007 | 430,950 | ||||||
Series 2551, Cl. FD, 0.655%, 1/15/331 |
298,415 | 299,104 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: Continued |
||||||||
Series 2551, Cl. LF, 0.755%, 1/15/331 |
$ | 142,662 | $ | 143,391 | ||||
Series 2676, Cl. KY, 5%, 9/15/23 |
2,635,000 | 2,837,995 | ||||||
Series 2676, Cl. TF, 0.855%, 1/15/321 |
1,406,997 | 1,408,356 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 |
740,000 | 776,901 | ||||||
Series 2754, Cl. PE, 5%, 2/15/34 |
5,000,000 | 5,248,758 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 |
750,000 | 787,541 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 |
914,468 | 922,778 | ||||||
Series 2915, Cl. GA, 4.50%, 12/1/21 |
1,150,703 | 1,171,964 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 |
630,545 | 634,898 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 |
2,807,000 | 2,942,765 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 |
561,187 | 564,590 | ||||||
Series 3025, Cl. SJ, 23.815%, 8/15/351 |
2,014,298 | 2,732,247 | ||||||
Series 3057, Cl. LG, 5%, 10/15/35 |
5,000,000 | 5,246,273 | ||||||
Series 3094, Cl. HS, 23.448%, 6/15/341 |
1,153,578 | 1,553,400 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped
Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 12.635%, 4/1/276 |
570,088 | 115,531 | ||||||
Series 192, Cl. IO, 13.258%, 2/1/286 |
252,713 | 51,238 | ||||||
Series 2035, Cl. PE, 0.493%, 3/15/286 |
67,459 | 13,748 | ||||||
Series 2049, Cl. PL, 23.855%, 4/15/286 |
414,495 | 84,616 | ||||||
Series 205, Cl. IO, 10.233%, 9/1/296 |
1,341,207 | 286,961 | ||||||
Series 206, Cl. IO, 0%, 12/1/296,7 |
432,624 | 99,733 | ||||||
Series 207, Cl. IO, 0%, 4/1/306,7 |
466,866 | 95,028 | ||||||
Series 2074, Cl. S, 59.893%, 7/17/286 |
339,799 | 65,834 | ||||||
Series 2079, Cl. S, 74.696%, 7/17/286 |
573,504 | 110,411 | ||||||
Series 214, Cl. IO, 0%, 6/1/316,7 |
444,755 | 98,422 | ||||||
Series 2177, Cl. SB, 99.999%, 8/15/296 |
359,386 | 72,556 | ||||||
Series 243, Cl. 6, 5.328%, 12/15/326 |
1,508,578 | 330,019 | ||||||
Series 2526, Cl. SE, 38.83%, 6/15/296 |
777,023 | 146,085 | ||||||
Series 2802, Cl. AS, 83.859%, 4/15/336 |
1,592,326 | 148,262 | ||||||
Series 2819, Cl. S, 50.871%, 6/15/346 |
7,807,563 | 1,249,499 | ||||||
Series 2920, Cl. S, 65.869%, 1/15/356 |
4,467,368 | 735,041 | ||||||
Series 3004, Cl. SB, 8.906%, 7/15/356 |
8,427,864 | 1,168,077 | ||||||
Series 3110, Cl. SL, 34.861%, 2/15/266 |
1,683,443 | 201,140 | ||||||
Series 3451, Cl. SB, 25.903%, 5/15/386 |
5,586,164 | 635,897 | ||||||
Federal National Mortgage Assn.: |
||||||||
3.50%,
4/1/265 |
27,405,000 | 27,482,063 | ||||||
4%, 4/1/26-4/1/415 |
18,300,000 | 18,061,007 | ||||||
4.002%, 10/1/361 |
13,207,311 | 13,868,508 | ||||||
4.50%, 4/1/26-4/1/415 |
69,762,000 | 71,388,300 | ||||||
5%, 11/25/21-12/25/21 |
126,454 | 135,019 | ||||||
5%, 4/1/415 |
54,358,000 | 56,872,058 | ||||||
5.50%, 1/25/22-1/1/36 |
4,699,068 | 5,062,714 | ||||||
5.50%, 4/1/26-4/1/415 |
78,152,000 | 83,648,584 | ||||||
6%, 6/25/17-1/25/19 |
206,791 | 225,542 | ||||||
6%, 4/1/405 |
48,510,000 | 52,762,193 | ||||||
6.50%, 4/25/18-1/1/34 |
13,372,793 | 15,159,030 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn.: Continued |
||||||||
7%, 11/1/17-9/25/34 |
$ | 13,785,809 | $ | 15,848,391 | ||||
7%, 4/1/348 |
6,509,360 | 7,525,613 | ||||||
7.50%, 2/25/27-3/25/33 |
8,143,572 | 9,448,120 | ||||||
8.50%, 7/1/32 |
37,122 | 42,286 | ||||||
9.50%, 4/25/20-4/8/21 |
63,389 | 75,131 | ||||||
11%, 7/25/16-2/25/26 |
220,203 | 258,634 | ||||||
13%, 6/25/15 |
41,574 | 48,503 | ||||||
15%, 5/9/13 |
32,957 | 35,612 | ||||||
Federal National Mortgage Assn. Grantor Trust: |
||||||||
Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T10, Cl. IO, 45.468%, 12/25/416 |
101,386,616 | 1,686,495 | ||||||
Interest-Only Stripped Mtg.-Backed Security,
Trust 2001-T3, Cl. IO, 47.329%, 11/25/406 |
11,551,082 | 244,056 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1996-35, Cl. Z, 7%, 7/25/26 |
192,069 | 213,349 | ||||||
Trust 1997-45, Cl. CD, 8%, 7/18/27 |
1,241,747 | 1,434,153 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 |
1,215,986 | 1,333,621 | ||||||
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 |
53,725 | 59,281 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
2,234,630 | 2,450,686 | ||||||
Trust 2001-19, Cl. Z, 6%, 5/1/31 |
1,152,742 | 1,268,678 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 |
246,282 | 264,536 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
329,428 | 371,457 | ||||||
Trust 2001-65,
Cl. F, 0.85%, 11/25/311 |
1,989,325 | 1,996,785 | ||||||
Trust 2001-69, Cl. PF, 1.25%, 12/25/311 |
2,149,996 | 2,192,183 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 |
2,449,777 | 2,695,785 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 |
1,428,703 | 1,539,179 | ||||||
Trust 2002-19, Cl. PE, 6%, 4/25/17 |
746,056 | 801,050 | ||||||
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 |
2,364,523 | 2,608,414 | ||||||
Trust 2002-29, Cl. F, 1.25%, 4/25/321 |
1,068,811 | 1,089,915 | ||||||
Trust 2002-60, Cl. FH, 1.25%, 8/25/321 |
2,085,527 | 2,120,785 | ||||||
Trust 2002-64, Cl. FJ, 1.25%, 4/25/321 |
328,508 | 334,994 | ||||||
Trust 2002-68, Cl. FH, 0.754%, 10/18/321 |
700,603 | 704,742 | ||||||
Trust 2002-81, Cl. FM, 0.75%, 12/25/321 |
1,230,985 | 1,238,402 | ||||||
Trust 2002-84, Cl. FB, 1.25%, 12/25/321 |
204,467 | 208,518 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 |
1,621,132 | 1,762,783 | ||||||
Trust 2003-11, Cl. FA, 1.25%, 9/25/321 |
279,018 | 284,547 | ||||||
Trust 2003-116, Cl. FA, 0.65%, 11/25/331 |
485,168 | 486,350 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
5,556,000 | 6,090,264 | ||||||
Trust 2003-3, Cl. FM, 0.75%, 4/25/331 |
1,444,958 | 1,453,650 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
5,855,266 | 6,227,480 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 |
2,339,681 | 2,396,554 | ||||||
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 |
1,360,706 | 1,620,898 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 |
1,782,643 | 1,820,731 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 |
1,255,411 | 1,283,980 | ||||||
Trust 2005-25, Cl. PS, 27.062%, 4/25/351 |
770,253 | 1,188,972 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 |
955,973 | 982,546 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
2,865,000 | 3,162,586 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment
Conduit Multiclass Pass-Through Certificates: Continued |
||||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
$ | 4,206,977 | $ | 4,473,577 | ||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 |
3,700,000 | 3,932,338 | ||||||
Trust 2006-46, Cl. SW, 23.284%, 6/25/361 |
3,055,478 | 4,155,778 | ||||||
Trust 2009-36, Cl. FA, 1.19%, 6/25/371 |
3,992,388 | 4,052,291 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
4,385,389 | 4,587,919 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: |
||||||||
Trust 2001-61, Cl. SH, 48.744%, 11/18/316 |
2,258,029 | 377,325 | ||||||
Trust 2001-63, Cl. SD, 25.42%, 12/18/316 |
60,131 | 9,782 | ||||||
Trust 2001-68, Cl. SC, 20.996%, 11/25/316 |
39,849 | 6,594 | ||||||
Trust 2001-81,
Cl. S, 39.803%, 1/25/326 |
579,629 | 104,411 | ||||||
Trust 2002-28, Cl. SA, 41.727%, 4/25/326 |
416,719 | 88,399 | ||||||
Trust 2002-38, Cl. SO, 58.585%, 4/25/326 |
406,825 | 70,258 | ||||||
Trust 2002-39, Cl. SD, 44.396%, 3/18/326 |
632,958 | 118,874 | ||||||
Trust 2002-48, Cl. S, 38.549%, 7/25/326 |
656,269 | 119,620 | ||||||
Trust 2002-52, Cl. SL, 39.563%, 9/25/326 |
397,268 | 73,709 | ||||||
Trust 2002-53, Cl. SK, 44.088%, 4/25/326 |
394,557 | 74,909 | ||||||
Trust 2002-56, Cl. SN, 40.992%, 7/25/326 |
900,041 | 165,137 | ||||||
Trust 2002-65, Cl. SC, 74.895%, 6/25/266 |
1,271,534 | 212,768 | ||||||
Trust 2002-77, Cl. IS, 50.333%, 12/18/326 |
693,106 | 130,812 | ||||||
Trust 2002-77, Cl. SH, 47.705%, 12/18/326 |
747,882 | 140,650 | ||||||
Trust 2002-89, Cl. S, 69.908%, 1/25/336 |
4,261,678 | 854,472 | ||||||
Trust 2002-9, Cl. MS, 37.798%, 3/25/326 |
779,306 | 145,278 | ||||||
Trust 2003-13, Cl. IO, 15.222%, 3/25/336 |
3,150,627 | 678,632 | ||||||
Trust 2003-23, Cl. ES, 77.949%, 10/25/226 |
9,358,473 | 860,269 | ||||||
Trust 2003-26, Cl. DI, 11.612%, 4/25/336 |
1,851,118 | 390,246 | ||||||
Trust 2003-26, Cl. IK, 15.216%, 4/25/336 |
324,404 | 68,390 | ||||||
Trust 2003-33, Cl. SP, 52.786%, 5/25/336 |
2,553,758 | 425,400 | ||||||
Trust 2003-4, Cl. S, 47.743%, 2/25/336 |
1,294,639 | 230,478 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/236,7 |
473,374 | 59,488 | ||||||
Trust 2004-56, Cl. SE, 21.643%, 10/25/336 |
2,497,345 | 430,580 | ||||||
Trust 2005-14, Cl. SE, 41.652%, 3/25/356 |
1,208,180 | 161,263 | ||||||
Trust 2005-40, Cl. SA, 68.122%, 5/25/356 |
6,966,415 | 1,287,794 | ||||||
Trust 2005-40, Cl. SB, 80.687%, 5/25/356 |
3,191,556 | 497,748 | ||||||
Trust 2005-71, Cl. SA, 69.838%, 8/25/256 |
3,314,635 | 483,947 | ||||||
Trust 2006-129, Cl. SM, 16.867%, 1/25/376 |
4,652,144 | 639,668 | ||||||
Trust 2006-51, Cl. SA, 23.027%, 6/25/366 |
29,480,274 | 4,287,514 | ||||||
Trust 2006-60, Cl. DI, 44.27%, 4/25/356 |
1,916,716 | 279,247 | ||||||
Trust 2006-90, Cl. SX, 95.959%, 9/25/366 |
6,633,935 | 1,457,454 | ||||||
Trust 2007-88, Cl. XI, 25.022%, 6/25/376 |
16,653,513 | 2,347,594 | ||||||
Trust 2008-55, Cl. SA, 18.889%, 7/25/386 |
2,894,516 | 299,390 | ||||||
Trust 221, Cl. 2, 33.33%, 5/1/236 |
594,136 | 119,116 | ||||||
Trust 247, Cl. 2, 19.512%, 10/1/236 |
243,560 | 49,624 | ||||||
Trust 252, Cl. 2, 23.606%, 11/1/236 |
70,539 | 13,837 | ||||||
Trust 254, Cl. 2, 9.686%, 1/1/246 |
201,554 | 39,287 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/336 |
2,761,924 | 454,651 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/356 |
4,831,279 | 763,842 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: Continued |
||||||||
Trust 301, Cl. 2, 2.572%, 4/1/296 |
$ | 855,421 | $ | 166,876 | ||||
Trust 303, Cl. IO, 28.556%, 11/1/296 |
536,485 | 137,565 | ||||||
Trust 313, Cl. 2, 17.251%, 6/1/316 |
7,582,551 | 1,683,868 | ||||||
Trust 319, Cl. 2, 7.402%, 2/1/326 |
2,362,137 | 515,085 | ||||||
Trust 321, Cl. 2, 5.437%, 4/1/326 |
3,720,791 | 879,001 | ||||||
Trust 324, Cl. 2, 0.053%, 7/1/326 |
1,639,921 | 361,133 | ||||||
Trust 328, Cl. 2, 0%, 12/1/326,7 |
1,795,885 | 382,935 | ||||||
Trust 331, Cl. 5, 0%, 2/1/336,7 |
3,121,330 | 689,843 | ||||||
Trust 332, Cl. 2, 0%, 3/1/336,7 |
8,718,095 | 2,043,810 | ||||||
Trust 334, Cl. 10, 3.747%, 2/1/336 |
2,636,141 | 582,542 | ||||||
Trust 334, Cl. 12, 0%, 2/1/336,7 |
3,941,609 | 855,768 | ||||||
Trust 338, Cl. 2, 0%, 7/1/336,7 |
9,664,423 | 2,052,802 | ||||||
Trust 339, Cl. 7, 0%, 7/1/336,7 |
9,140,265 | 1,851,270 | ||||||
Trust 345, Cl. 9, 0%, 1/1/346,7 |
3,645,088 | 741,797 | ||||||
Trust 351, Cl. 10, 0%, 4/1/346,7 |
1,097,014 | 207,562 | ||||||
Trust 351, Cl. 8, 0%, 4/1/346,7 |
1,802,691 | 340,410 | ||||||
Trust 356, Cl. 10, 0%, 6/1/356,7 |
1,491,946 | 291,185 | ||||||
Trust 356, Cl. 12, 0%, 2/1/356,7 |
736,780 | 133,973 | ||||||
Trust 362, Cl. 13, 0.145%, 8/1/356 |
98,137 | 21,453 | ||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1992-2, Cl. IO, 17.22%, 9/15/226 |
9,435,856 | 196,497 | ||||||
Series 1995-2B, Cl. 2IO, 26.60%, 6/15/256 |
676,897 | 20,681 | ||||||
Series 1995-3, Cl. 1IO, 12.585%, 9/15/256 |
22,244,497 | 170,044 | ||||||
605,215,368 | ||||||||
GNMA/Guaranteed0.2% |
||||||||
Government National Mortgage Assn.: |
||||||||
2.625%, 7/1/271 |
5,835 | 6,027 | ||||||
7%, 1/29/28-2/8/30 |
1,363,922 | 1,576,806 | ||||||
8%, 1/29/28-9/29/28 |
588,591 | 690,796 | ||||||
11%, 11/8/19 |
8,518 | 9,495 | ||||||
12%, 12/9/13-9/1/15 |
17,798 | 19,785 | ||||||
12.50%, 12/29/13-11/29/15 |
383,083 | 398,918 | ||||||
13%, 10/30/15 |
522,571 | 571,975 | ||||||
13.50%, 6/30/15 |
746,887 | 809,444 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg.
Investment Conduit Pass-Through Certificates: |
||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 |
5,568,189 | 6,662,300 | ||||||
Series 2000-12,Cl. ZA, 8%, 2/16/30 |
2,893,749 | 3,295,968 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 |
2,636,136 | 2,996,771 | ||||||
Government National Mortgage Assn., Interest-Only Stripped
Mtg.-Backed Security: |
||||||||
Series 1998-19, Cl. SB, 63.395%, 7/16/286 |
1,205,095 | 234,542 | ||||||
Series 1998-6, Cl. SA, 73.034%, 3/16/286 |
705,857 | 126,324 | ||||||
Series 2007-17, Cl. AI, 17.194%, 4/16/376 |
3,289,972 | 491,856 | ||||||
17,891,007 |
Principal | ||||||||
Amount | Value | |||||||
Other Agency0.1% |
||||||||
NCUA
Guaranteed Notes Trust 2010-C1, Gtd. Nts.: |
||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 |
$ | 2,120,703 | $ | 2,069,731 | ||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 |
3,075,000 | 2,998,363 | ||||||
NCUA
Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.709%, 10/7/201 |
4,500,214 | 4,505,840 | ||||||
NCUA
Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.819%, 12/8/201 |
1,321,405 | 1,328,012 | ||||||
10,901,946 | ||||||||
Non-Agency12.9% |
||||||||
Commercial7.8% |
||||||||
Banc of America Commercial Mortgage Trust 2006-5, Commercial
Mtg. Pass-Through Certificates, Series 2006-5, Cl. AM, 5.448%, 9/1/47 |
14,870,000 | 14,760,772 | ||||||
Banc of America Commercial Mortgage Trust 2007-5, Commercial
Mtg. Pass-Through Certificates, Series 2007-5, Cl. AM, 5.772%, 2/1/51 |
24,090,000 | 24,140,628 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates: |
||||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 |
18,440,000 | 18,298,335 | ||||||
Series 2008-1, Cl. A4, 6.202%, 2/1/511 |
9,860,000 | 10,912,051 | ||||||
Series 2008-1, Cl. AM, 6.245%, 2/10/511 |
8,165,000 | 8,214,255 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates,
Series 2007-4, Cl. 22A1, 5.803%, 6/1/471 |
9,475,891 | 8,036,005 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13,
Commercial Mtg. Pass-Through Certificates,
Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 |
19,675,000 | 18,715,214 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 |
14,480,000 | 14,726,063 | ||||||
Series 2007-PWR17, Cl. AJ, 5.944%, 6/1/501 |
27,600,000 | 25,157,414 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18,
Commercial Mtg. Pass-Through Certificates,
Series 2007-PWR18, Cl. AM, 6.084%, 6/13/50 |
7,657,000 | 7,715,291 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed
Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/242,6,7 |
1,512,669 | 69,317 | ||||||
CD 2007-CD5 Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2007-CD5, Cl. AM, 6.175%, 11/1/441 |
9,071,000 | 9,403,335 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through
Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
8,931,049 | 8,399,558 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through
Certificates, Series 2005-HYB8, Cl. 4A1, 5.189%, 12/20/351 |
472,411 | 392,706 | ||||||
Citigroup Commercial Mortgage Trust 2007-C6, Commercial Mtg.
Pass-Through Certificates, Series 2007-C6, Cl. AM, 5.698%, 12/1/491 |
2,285,000 | 2,312,864 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg.
Pass-Through Certificates, Series 2008-C7, Cl. AM, 5.822%, 12/1/491 |
21,955,000 | 22,660,625 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage
Trust, Commercial Mtg. Pass-Through Certificates,
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 |
$ | 3,190,000 | $ | 3,357,444 | ||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.525%, 6/1/391 |
4,210,000 | 4,464,418 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates,
Series 2011-LC1, Cl. E, 5.557%, 1/1/212 |
9,405,000 | 8,937,990 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates,
Series 2007-RS1, Cl. A2, 0.748%, 1/27/371,4 |
3,754,672 | 1,038,401 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates,
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
2,408,335 | 1,424,841 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/462 |
2,759,632 | 2,754,299 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg.
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed
Security, Series 2010-C1, Cl. XPA, 4.737%, 9/1/202,6 |
22,235,000 | 1,948,609 | ||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/301,4 |
30,350,799 | 5,159,636 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg.
Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
2,141,071 | 1,556,932 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg.
Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.034%, 11/1/371 |
9,783,074 | 7,719,012 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg.
Pass-Through Certificates, Series 1998-C1, Cl. F, 6.94%, 5/15/301 |
2,000,000 | 1,997,935 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2005-GG5, Commercial Mtg. Pass-Through Certificates,
Series 2005-GG5, Cl. AM, 5.277%, 4/1/37 |
4,345,000 | 4,389,488 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2006-GG7, Cl. AM, 5.89%, 7/1/381 |
2,305,000 | 2,395,997 | ||||||
Series 2006-GG7, Cl. AJ, 5.89%, 7/10/381 |
14,200,000 | 13,734,063 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 |
19,960,000 | 21,142,377 | ||||||
Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 |
14,450,000 | 14,252,955 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations: |
||||||||
Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
1,965,000 | 1,981,659 | ||||||
Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 |
9,277,000 | 9,990,335 | ||||||
Series 2011-GC3, Cl. D, 5.728%, 3/1/44 |
11,396,000 | 10,863,134 | ||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds,
Series 2005-4, Cl. 1A1A, 0.79%, 5/25/351 |
24,140,474 | 19,035,500 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through
Certificates, Series 2005-AR31, Cl. 2A2, 2.641%, 1/1/361,19 |
283,892 | 5,894 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through
Certificates, Series 2005-AR23, Cl. 6A1, 5.21%,
11/1/351 |
$ | 6,852,639 | $ | 5,359,483 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462 |
2,155,000 | 2,145,453 | ||||||
Series 2010-C2, Cl. A2, 3.616%, 11/1/432 |
3,285,000 | 3,157,301 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/494 |
5,615,000 | 5,671,566 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 |
11,430,000 | 12,070,869 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 |
8,605,000 | 9,085,937 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 |
20,139,000 | 19,924,266 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 |
26,755,000 | 23,554,586 | ||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 |
12,893,000 | 12,996,139 | ||||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 |
18,630,000 | 19,181,187 | ||||||
Series 2008-C2, Cl. AM, 6.568%, 2/1/511 |
13,140,000 | 12,547,515 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7,
Commercial Mtg. Pass-Through Certificates,
Series 2006-LDP7, 5.863%, 4/1/451 |
2,615,000 | 2,706,433 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19,
Commercial Mtg. Pass-Through Certificates,
Series 2007-CB19, Cl. AM, 5.738%, 2/1/491 |
22,794,000 | 22,660,461 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11,
Commercial Mtg. Pass-Through Certificates,
Series 2007-LDP11, Cl. ASB, 5.818%, 6/1/491 |
2,170,000 | 2,298,422 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates,
Series 2006-A7, Cl. 2A2, 5.653%, 1/1/371 |
1,227,519 | 905,164 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C2, Commercial Mtg.
Pass-Through Certificates, Series 2007-C2, Cl. AM, 5.493%, 2/11/40 |
6,739,000 | 6,624,094 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg.
Pass-Through Certificates, Series 2007-C6, Cl. AM, 6.114%, 7/11/40 |
14,600,000 | 14,579,170 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg.
Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.092%, 4/11/411 |
6,930,000 | 7,071,597 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through
Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/242 |
259,970 | 196,875 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 |
1,903,019 | 420,020 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates,
Series 2004-6, Cl. 10A1, 6%, 7/25/34 |
2,564,437 | 2,630,358 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through
Certificates, Series 2006-C1, Cl. AJ, 5.659%, 5/1/391 |
11,155,000 | 11,054,704 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg.
Pass-Through Certificates: |
||||||||
Series 2006-3, Cl. AM, 5.456%, 7/12/46 |
3,602,000 | 3,649,789 | ||||||
Series 2006-3, Cl. AJ, 5.485%, 7/1/46 |
12,110,000 | 11,096,140 | ||||||
Morgan Stanley Capital I Trust 2006-IQ12, Commercial Mtg.
Pass-Through Certificates, Series 2006-IQ12, Cl. AJ, 5.399%, 12/1/43 |
19,705,000 | 17,831,878 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg.
Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6/1/491 |
$ | 22,125,000 | $ | 22,069,238 | ||||
Morgan Stanley Capital I Trust 2007-IQ16, Commercial Mtg.
Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.11%, 12/1/491 |
9,798,000 | 10,066,233 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg.
Pass-Through Certificates: |
||||||||
Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 |
15,820,000 | 16,201,248 | ||||||
Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 |
8,890,000 | 9,620,436 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2005-QA4, Cl. A32, 3.271%, 4/25/351 |
327,193 | 56,457 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through
Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 |
2,069,173 | 1,558,207 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates,
Series 2007-1, Cl. 2A1, 5.824%, 2/1/371 |
20,895,249 | 15,937,809 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial
Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.90%, 2/1/511 |
15,020,000 | 16,106,593 | ||||||
Wachovia Bank Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates: |
||||||||
Series 2006-C23, Cl. AJ, 5.515%, 1/1/45 |
16,865,000 | 16,837,436 | ||||||
Series 2006-C25, Cl. AJ, 5.738%, 5/1/431 |
15,780,000 | 15,581,963 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.152%, 11/1/461 |
3,356,802 | 2,384,726 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg.
Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.734%, 4/1/471 |
2,381,911 | 1,448,496 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg.
Pass-Through Certificates, Series 2004-W, Cl. B2, 2.762%, 11/1/341 |
2,818,334 | 475,478 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.739%, 2/1/351 |
11,141,540 | 10,074,482 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 2.854%, 4/25/361 |
7,146,266 | 6,752,363 | ||||||
706,655,924 | ||||||||
Multifamily0.5% |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.775%, 5/1/451 |
10,705,000 | 10,610,944 | ||||||
Citigroup Commercial Mortgage Trust 2006-C5, Commercial Mtg.
Pass-Through Certificates, Series 2006-C5, Cl. AJ, 5.482%, 10/1/49 |
16,525,000 | 15,650,604 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through
Certificates, Series 2006-AR3, Cl. 1A2A, 5.75%, 6/1/361 |
6,252,965 | 5,718,355 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16,
Commercial Mtg. Pass-Through Certificates,
Series 2006-CIBC16, Cl. AM, 5.593%, 5/1/45 |
1,480,000 | 1,474,007 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.055%, 9/1/351 |
1,817,897 | 1,780,955 |
Principal | ||||||||
Amount | Value | |||||||
Multifamily Continued |
||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.825%, 3/25/361 |
$ | 5,222,309 | $ | 4,659,038 | ||||
39,893,903 | ||||||||
Other0.1% |
||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates,
Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 |
8,605,000 | 9,120,248 | ||||||
Residential4.5% |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg.
Pass-Through Certificates, Series 2007-4, Cl. AM, 5.809%, 2/1/511 |
17,290,000 | 17,438,661 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 12A2, 2.833%, 5/1/341 |
9,191,634 | 8,085,618 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates,
Series 2004-9, Cl. 23A1, 4.976%, 11/1/341 |
3,226,710 | 3,227,967 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg.
Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 3.573%, 2/1/371 |
4,034,548 | 4,097,499 | ||||||
CHL Mortgage Pass-Through Trust 2005-24, Mtg. Pass-Through
Certificates, Series 2005-24, Cl. A35, 5.50%, 11/1/35 |
1,921,604 | 1,945,408 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through
Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 |
6,770,980 | 6,532,181 | ||||||
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through
Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 |
7,416,142 | 7,279,882 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through
Certificates, Series 2005-HYB7, Cl. 6A1, 5.446%, 11/1/351 |
18,588,452 | 14,421,766 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through
Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 |
5,305,150 | 4,873,979 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through
Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
1,827,503 | 1,763,916 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through
Certificates, Series 2007-HY3, Cl. 1A1, 3.41%, 6/1/471 |
5,903,836 | 3,848,475 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through
Certificates, Series 2007-HY4, Cl. 1A1, 5.783%, 9/1/471 |
28,781,127 | 20,870,908 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through
Certificates, Series 2005-2, Cl. 1A3, 4.96%, 5/1/351 |
7,241,509 | 6,604,549 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through
Certificates, Series 2005-3, Cl. 2A4, 5.111%, 8/1/351 |
14,420,719 | 11,822,675 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through
Certificates, Series 2006-AR2, Cl. 1 A2, 2.882%, 3/1/361 |
17,060,093 | 13,318,917 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage
Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4,
Cl. AMFX, 5.366%, 12/1/49 |
23,105,000 | 21,827,626 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg.
Investment Conduit Pass-Through Certificates,
Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 |
$ | 4,701,269 | $ | 4,608,226 | ||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through
Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 |
28,784,977 | 19,795,227 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates,
Series 2004-5, Cl. 2A1, 2.895%, 5/1/341 |
9,333,966 | 8,473,608 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates,
Series 2005-AR6, Cl. 1A4, 2.815%, 9/1/351 |
18,717,420 | 18,723,831 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 4A1, 5.269%, 11/1/351 |
6,164,865 | 5,198,369 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates,
Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
2,959,241 | 2,896,607 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through
Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
5,904,515 | 5,358,410 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates,
Series 2007-A1, Cl. 7A1, 5.279%, 7/1/351 |
9,348,193 | 8,713,344 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg.
Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.166%, 9/11/451 |
27,890,000 | 28,410,779 | ||||||
Lehman Mortgage Trust, Mtg. Pass-Through Certificates,
Series 2006-1, Cl. 1A3, 5.50%, 2/1/36 |
1,581,497 | 1,369,330 | ||||||
Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through
Certificates, Series 2006-2, Cl. 1A1, 2.864%, 4/1/361 |
6,038,602 | 4,871,971 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Pass-Through
Certificates, Series 2005-A1, Cl. 2A1, 2.833%, 12/25/341 |
378,798 | 379,079 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through
Certificates, Series MLCC 2006-3, Cl. 2A1, 5.866%, 10/25/361 |
8,796,952 | 8,359,761 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 |
27,143 | 27,792 | ||||||
RALI Series 2006-QS13 Trust: |
||||||||
Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 |
7,486,905 | 4,783,111 | ||||||
Mtg. Asset-Backed Pass-Through Certificates,
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
191,575 | 122,391 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
3,423,371 | 2,217,437 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through
Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 |
9,580,408 | 8,265,866 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through
Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 |
13,000,733 | 11,712,952 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg.
Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.725%, 10/1/351 |
6,970,221 | 6,001,845 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.846%, 9/1/361 |
4,232,859 | 3,771,261 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg.
Pass-Through Certificates: |
||||||||
Series 2007-HY1, Cl. 4A1, 3.648%, 2/1/371 |
$ | 40,039,890 | $ | 32,137,677 | ||||
Series 2007-HY1, Cl. 5A1, 5.485%, 2/1/371 |
24,065,224 | 20,128,839 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 4.868%, 12/1/361 |
27,990,171 | 22,021,547 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.731%, 5/1/371 |
4,438,687 | 4,103,145 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg.
Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.531%, 6/25/371 |
10,894,079 | 8,822,031 | ||||||
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through
Certificates, Series 2006-AR18, Cl. 3A1, 5.359%, 1/1/371 |
4,755,939 | 4,239,836 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg.
Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.759%, 10/1/351 |
4,168,965 | 3,897,999 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg.
Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.713%, 10/1/361 |
11,006,122 | 10,077,134 | ||||||
407,449,432 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,784,658,094) |
1,797,127,828 | |||||||
U.S. Government Obligations3.1% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
1.125%, 7/27/12 |
69,170,000 | 69,723,291 | ||||||
1.75%, 9/10/15 |
10,895,000 | 10,691,438 | ||||||
3%,
7/28/148 |
11,290,000 | 11,796,594 | ||||||
5%, 2/16/17 |
9,895,000 | 11,063,995 | ||||||
5.25%, 4/18/16 |
14,835,000 | 16,785,847 | ||||||
5.50%, 7/18/16 |
6,710,000 | 7,677,535 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
1.125%, 7/30/12 |
63,790,000 | 64,276,909 | ||||||
1.625%, 10/26/15 |
15,675,000 | 15,249,126 | ||||||
4.375%, 10/15/159 |
15,004,000 | 16,365,658 | ||||||
4.875%, 12/15/16 |
7,060,000 | 7,860,639 | ||||||
5%, 3/15/16 |
6,670,000 | 7,470,540 | ||||||
5.375%, 7/15/16 |
7,948,000 | 9,049,474 | ||||||
U.S. Treasury Bills, 0.13%, 6/2/118,9 |
21,000,000 | 20,997,942 | ||||||
U.S. Treasury Bonds, STRIPS, 4.989%, 2/15/168,10 |
11,271,000 | 10,094,263 | ||||||
Total U.S. Government Obligations (Cost $277,070,786) |
279,103,251 | |||||||
Foreign Government Obligations21.7% |
||||||||
Argentina0.9% |
||||||||
Argentina (Republic of) Bonds: |
||||||||
2.50%, 12/31/381 |
15,625,000 | 6,820,313 | ||||||
7%, 10/3/15 |
42,585,000 | 40,136,363 | ||||||
Series VII, 7%, 9/12/13 |
10,880,000 | 11,043,804 |
Principal | |||||||||
Amount | Value | ||||||||
Argentina Continued |
|||||||||
Argentina (Republic of) Sr. Unsec. Nts., 13.692%, 1/30/141 |
4,920,000 | ARP | $ | 1,160,672 | |||||
Argentina (Republic of) Sr. Unsec. Unsub. Nts., 9.083%, 12/31/331 |
48,115,482 | ARP | 15,800,415 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/214 |
$ | 6,245,000 | 5,817,218 | ||||||
80,778,785 | |||||||||
Australia0.3% |
|||||||||
Australia (Commonwealth of) Sr. Unsec. Bonds: |
|||||||||
Series 119, 6.25%, 4/15/15 |
2,700,000 | AUD | 2,907,610 | ||||||
Series 120, 6%, 2/15/17 |
1,635,000 | AUD | 1,750,167 | ||||||
New South
Wales Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/1/16 |
14,700,000 | AUD | 15,466,999 | ||||||
Queensland Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/21/16 |
3,330,000 | AUD | 3,486,086 | ||||||
23,610,862 | |||||||||
Austria0.1% |
|||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/192 |
2,360,000 | EUR | 3,520,137 | ||||||
Austria (Republic of) Sr. Unsec. Unsub. Bonds, Series 2, 4.65%, 1/15/18 |
2,475,000 | EUR | 3,767,856 | ||||||
7,287,993 | |||||||||
Belgium0.1% |
|||||||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 |
7,205,000 | EUR | 11,157,417 | ||||||
Belize0.0% |
|||||||||
Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/291,2 |
1,810,000 | 1,524,925 | |||||||
Brazil2.9% |
|||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: |
|||||||||
10%, 1/1/17 |
366,472,000 | BRR | 199,009,682 | ||||||
10%, 1/1/21 |
94,893,000 | BRR | 49,305,734 | ||||||
11.879%, 5/15/4511 |
12,575,000 | BRR | 16,036,057 | ||||||
264,351,473 | |||||||||
Canada0.3% |
|||||||||
Canada (Government of) Nts.: |
|||||||||
3%, 12/1/15 |
17,355,000 | CAD | 18,170,569 | ||||||
3.75%, 6/1/19 |
4,460,000 | CAD | 4,777,605 | ||||||
4%, 6/1/17 |
6,510,000 | CAD | 7,122,121 | ||||||
30,070,295 | |||||||||
Colombia0.5% |
|||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/282 |
9,872,000,000 | COP | 6,133,142 | ||||||
Colombia (Republic of) Bonds, 7.375%, 9/18/37 |
7,485,000 | 8,925,863 | |||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 |
6,330,000 | 7,627,650 |
Principal | ||||||||
Amount | Value | |||||||
Colombia Continued |
||||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 |
$ | 11,700,000 | $ | 11,992,500 | ||||
Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 |
8,792,000,000 | COP | 5,090,575 | |||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 |
5,320,000 | 6,304,200 | ||||||
Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 |
2,870,000,000 | COP | 1,855,877 | |||||
47,929,807 | ||||||||
Denmark0.0% |
||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 |
17,850,000 | DKK | 3,540,052 | |||||
Dominican Republic0.1% |
||||||||
Dominican Republic Bonds, 7.50%, 5/6/212 |
5,795,000 | 5,925,388 | ||||||
Finland0.0% |
||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 |
1,705,000 | EUR | 2,511,249 | |||||
France0.0% |
||||||||
France (Government of) Bonds, 4%, 4/25/60 |
1,465,000 | EUR | 1,990,643 | |||||
Germany0.7% |
||||||||
Germany (Federal Republic of) Bonds: |
||||||||
0.50%, 6/15/12 |
5,455,000 | EUR | 7,643,880 | |||||
3.50%, 7/4/19 |
10,345,000 | EUR | 14,960,270 | |||||
Series 07, 4.25%, 7/4/39 |
2,895,000 | EUR | 4,398,979 | |||||
Series 08, 4.25%, 7/4/18 |
11,750,000 | EUR | 17,897,594 | |||||
Series 157, 2.25%, 4/10/15 |
10,960,000 | EUR | 15,437,505 | |||||
60,338,228 | ||||||||
Ghana0.1% |
||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/172 |
5,165,000 | 5,862,275 | ||||||
Greece0.2% |
||||||||
Hellenic Republic Bonds: |
||||||||
4.30%, 3/20/12 |
4,770,000 | EUR | 6,232,732 | |||||
4.60%, 5/20/13 |
905,000 | EUR | 1,038,001 | |||||
Hellenic Republic Sr. Unsec. Unsub. Bonds: |
||||||||
30 yr., 4.50%, 9/20/37 |
11,250,000 | EUR | 8,835,846 | |||||
30 yr., 4.60%, 9/20/40 |
5,340,000 | EUR | 4,194,839 | |||||
20,301,418 | ||||||||
Hungary0.8% |
||||||||
Hungary (Republic of) Bonds: |
||||||||
Series 15/A, 8%, 2/12/15 |
3,121,540,000 HUF | 17,380,246 | ||||||
Series 16/C, 5.50%, 2/12/16 |
3,126,500,000 HUF | 15,780,664 | ||||||
Series 17/B, 6.75%, 2/24/17 |
1,841,900,000 HUF | 9,711,604 | ||||||
Series 19/A, 6.50%, 6/24/19 |
2,029,000,000 HUF | 10,406,091 | ||||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 |
21,955,000 | 22,057,398 | ||||||
75,336,003 |
Principal | ||||||||
Amount | Value | |||||||
Indonesia0.5% |
||||||||
Indonesia (Republic of) Nts., 6.875%, 1/17/182 |
$ | 14,410,000 | $ | 16,463,425 | ||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/382 |
10,805,000 | 12,993,013 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/372 |
7,115,000 | 7,719,775 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/352 |
6,855,000 | 8,894,363 | ||||||
46,070,576 | ||||||||
Italy0.5% |
||||||||
Italy (Republic of) Bonds: |
||||||||
3.75%, 3/1/21 |
6,815,000 | EUR | 8,911,355 | |||||
4%, 9/1/20 |
10,565,000 | EUR | 14,213,909 | |||||
5%, 9/1/40 |
2,315,000 EUR | 3,007,807 | ||||||
Italy (Republic of) Treasury Bonds, 3.75%, 12/15/13 |
11,550,000 EUR | 16,601,590 | ||||||
42,734,661 | ||||||||
Ivory Coast0.0% |
||||||||
Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/322,3 |
4,355,000 | 2,057,738 | ||||||
Japan2.6% |
||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29 |
2,818,000,000 | JPY | 34,542,419 | |||||
Japan (Government of) Sr. Unsec. Bonds: |
||||||||
2 yr., 0.20%, 1/15/12 |
3,436,000,000 | JPY | 41,321,969 | |||||
5 yr., 0.50%, 12/20/14 |
3,491,000,000 | JPY | 42,188,890 | |||||
10 yr., Series 308, 1.30%, 6/20/20 |
3,123,000,000 | JPY | 38,082,991 | |||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: |
||||||||
5 yr., Series 91, 0.40%, 9/20/15 |
4,430,000,000 | JPY | 53,173,368 | |||||
10 yr., Series 311, 0.80%, 9/20/20 |
2,205,000,000 | JPY | 25,632,767 | |||||
234,942,404 | ||||||||
Korea, Republic of South1.3% |
||||||||
Korea (Republic of) Sr. Unsec. Bonds, Series 2006, 5%, 6/10/20 |
42,931,000,000 KRW | 40,830,651 | ||||||
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds: |
||||||||
Series 1208, 3.81%, 8/2/12 |
49,420,000,000 KRW | 45,238,796 | ||||||
Series 1210, 3.28%, 10/2/12 |
19,323,000,000 KRW | 17,553,570 | ||||||
Korea (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||
5.125%, 12/7/16 |
6,075,000 | 6,510,760 | ||||||
7.125%, 4/16/19 |
5,685,000 | 6,714,974 | ||||||
116,848,751 | ||||||||
Malaysia0.4% |
||||||||
1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/152 |
9,105,000 | 9,502,105 | ||||||
Malaysia (Government of) Bonds, Series 0110, 3.835%, 8/12/15 |
11,240,000 MYR | 3,751,701 | ||||||
Malaysia (Government of) Sr. Unsec. Bonds,
Series 0309, 2.711%, 2/14/12 |
78,240,000 MYR | 25,820,815 | ||||||
39,074,621 |
Principal | ||||||||
Amount | Value | |||||||
Mexico1.8% |
||||||||
United Mexican States Bonds: |
||||||||
5.625%, 1/15/17 |
$ | 1,985,000 | $ | 2,199,380 | ||||
Series M, 6.50%, 6/10/211 |
613,280,000 | MXN | 47,439,131 | |||||
Series M20, 7.50%, 6/3/27 |
575,570,000 MXN | 45,742,873 | ||||||
Series M10, 7.75%, 12/14/17 |
41,770,000 MXN | 3,633,579 | ||||||
Series M10, 8%, 12/17/15 |
196,800,000 | MXN | 17,263,608 | |||||
Series M20, 10%, 12/5/24 |
424,740,000 | MXN | 42,275,993 | |||||
United Mexican States Sr. Nts., 5.75%, 10/12/2110 |
4,470,000 | 4,049,820 | ||||||
162,604,384 | ||||||||
Norway0.0% |
||||||||
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 |
5,790,000 | NOK | 1,114,832 | |||||
Panama0.2% |
||||||||
Panama (Republic of) Bonds: |
||||||||
7.25%, 3/15/15 |
1,165,000 | 1,360,138 | ||||||
8.875%, 9/30/27 |
2,990,000 | 4,051,450 | ||||||
9.375%, 4/1/29 |
4,465,000 | 6,317,975 | ||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 |
4,470,000 | 5,326,005 | ||||||
17,055,568 | ||||||||
Peru0.1% |
||||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/202 |
24,950,000 PEN | 9,213,847 | ||||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/502 |
70,000 | 63,700 | ||||||
9,277,547 | ||||||||
Philippines0.1% |
||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 |
2,040,000 | 2,157,300 | ||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Nts., 4.95%, 1/15/21 |
143,000,000 PHP | 3,238,680 | ||||||
5,395,980 | ||||||||
Poland1.6% |
||||||||
Poland (Republic of) Bonds: |
||||||||
Series 0415, 5.50%, 4/25/15 |
222,630,000 | PLZ | 78,048,373 | |||||
Series 0416, 5%, 4/25/16 |
124,030,000 | PLZ | 42,477,829 | |||||
Series 1015, 6.25%, 10/24/15 |
62,500,000 | PLZ | 22,514,483 | |||||
Series 1017, 5.25%, 10/25/17 |
1,445,000 | PLZ | 489,854 | |||||
143,530,539 | ||||||||
Qatar0.1% |
||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/202 |
6,010,000 | 6,268,430 | ||||||
Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/402 |
2,810,000 | 2,971,575 | ||||||
9,240,005 |
Principal | ||||||||
Amount | Value | |||||||
South Africa1.7% |
||||||||
South Africa (Republic of) Bonds: |
||||||||
5.50%, 3/9/20 |
$ | 6,735,000 | $ | 7,164,356 | ||||
Series R208, 6.75%, 3/31/21 |
123,520,000 | ZAR | 15,990,901 | |||||
Series R207, 7.25%, 1/15/20 |
427,410,000 ZAR | 57,883,444 | ||||||
Series R204, 8%, 12/21/18 |
165,830,000 ZAR | 23,682,289 | ||||||
Series R186, 10.50%, 12/21/26 |
279,640,000 ZAR | 46,585,999 | ||||||
151,306,989 | ||||||||
Spain0.2% |
||||||||
Spain (Kingdom of) Bonds, 5.50%, 7/30/17 |
7,495,000 EUR | 11,084,447 | ||||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 |
5,620,000 EUR | 7,639,750 | ||||||
18,724,197 | ||||||||
Sri Lanka0.1% |
||||||||
Sri Lanka
(Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/202 |
5,090,000 | 4,975,475 | ||||||
Sweden0.0% |
||||||||
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 |
17,420,000 SEK | 2,842,372 | ||||||
The Netherlands0.1% |
||||||||
Netherlands (Kingdom of the) Bonds, 4%, 7/15/18 |
3,845,000 EUR | 5,689,017 | ||||||
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 |
2,905,000 EUR | 4,430,428 | ||||||
10,119,445 | ||||||||
Turkey1.4% |
||||||||
Turkey (Republic of) Bonds: |
||||||||
6.75%, 4/3/18 |
13,150,000 | 14,728,000 | ||||||
6.875%, 3/17/36 |
8,840,000 | 9,401,340 | ||||||
7%, 3/11/19 |
5,250,000 | 5,958,750 | ||||||
10.50%, 1/15/201 |
8,865,000 TRY | 6,151,904 | ||||||
11%, 8/6/14 |
42,490,000 TRY | 29,169,651 | ||||||
Series CPI, 14.419%, 8/14/131 |
16,255,000 TRY | 15,372,644 | ||||||
Turkey (Republic of) Nts.: |
||||||||
7%, 6/5/20 |
4,535,000 | 5,147,225 | ||||||
7.50%, 7/14/17 |
6,740,000 | 7,852,100 | ||||||
Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 |
8,170,000 | 9,558,900 | ||||||
Turkey (Republic of) Unsec. Nts.: |
||||||||
6%, 1/14/41 |
9,230,000 | 8,676,200 | ||||||
6.75%, 5/30/40 |
6,535,000 | 6,812,738 | ||||||
7.25%, 3/5/38 |
4,290,000 | 4,756,538 | ||||||
123,585,990 | ||||||||
Ukraine0.4% |
||||||||
Financing of
Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/174 |
7,560,000 | 7,975,800 |
Principal | ||||||||
Amount | Value | |||||||
Ukraine Continued |
||||||||
Ukraine (Republic of) Sr. Unsec. Nts., 7.95%, 2/23/212 |
$ | 5,860,000 | $ | 6,072,425 | ||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/202 |
7,520,000 | 7,792,600 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/172 |
5,020,000 | 5,115,380 | ||||||
Ukraine (Republic of) Sr. Unsec. Unsub. Bonds, 6.58%, 11/21/162 |
4,080,000 | 4,166,700 | ||||||
Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/122 |
3,270,000 | 3,412,245 | ||||||
34,535,150 | ||||||||
United Kingdom0.4% |
||||||||
United Kingdom Treasury Bonds: |
||||||||
2.25%, 3/7/14 |
5,280,000 | GBP | 8,575,697 | |||||
4.75%, 3/7/20 |
7,885,000 GBP | 13,764,812 | ||||||
4.75%, 12/7/38 |
5,675,000 GBP | 9,710,745 | ||||||
32,051,254 | ||||||||
Uruguay0.4% |
||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 |
7,305,000 | 8,766,000 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 |
7,740,000 | 8,939,700 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 |
13,835,000 | 17,293,750 | ||||||
34,999,450 | ||||||||
Venezuela0.8% |
||||||||
Venezuela (Republic of) Bonds, 9%, 5/7/23 |
14,020,000 | 9,673,800 | ||||||
Venezuela (Republic of) Nts.: |
||||||||
8.25%, 10/13/24 |
4,450,000 | 2,888,050 | ||||||
8.50%, 10/8/14 |
3,760,000 | 3,447,920 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||
7.75%, 10/13/19 |
12,960,000 | 8,961,840 | ||||||
12.75%, 8/23/22 |
1,490,000 | 1,296,300 | ||||||
Venezuela (Republic of) Unsec. Bonds: |
||||||||
7%, 3/31/38 |
13,425,000 | 7,618,688 | ||||||
7.65%, 4/21/25 |
30,525,000 | 18,696,563 | ||||||
9.375%, 1/13/34 |
7,815,000 | 5,353,275 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/182 |
17,155,000 | 16,554,575 | ||||||
74,491,011 | ||||||||
Total Foreign Government Obligations (Cost $1,853,707,169) |
1,960,095,752 | |||||||
Loan Participations0.5% |
||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term
Loan, 8.25%, 2/15/181,5 |
2,315,000 | 2,361,300 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan: |
||||||||
Tranche B, 4.125%, 10/19/151,5,12 |
14,079,223 | 10,559,417 | ||||||
Tranche B, 4.125%, 10/19/151,12 |
23,684,475 | 17,763,356 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations Continued |
||||||||
Nuveen
Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15 |
$ | 9,866,875 | $ | 10,606,891 | ||||
Total Loan Participations (Cost $33,919,975) |
41,290,964 | |||||||
Corporate Bonds and Notes30.9% |
||||||||
Consumer Discretionary4.7% |
||||||||
Auto Components0.4% |
||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub.
Nts., 8/15/20 |
10,065,000 | 10,819,875 | ||||||
Tower
Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr.
Sec. Nts., 9/1/174 |
20,298,000 | 22,733,760 | ||||||
33,553,635 | ||||||||
Automobiles0.1% |
||||||||
Ford Motor Credit Co. LLC, 5.75% Sr. Unsec. Unsub. Nts., 2/1/21 |
8,960,000 | 8,851,261 | ||||||
Hotels, Restaurants & Leisure1.6% |
||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/162 |
7,590,000 | 8,206,688 | ||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/152 |
5,095,000 | 4,954,888 | ||||||
Harrahs Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 |
36,932,000 | 33,885,110 | ||||||
HOA
Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/172 |
9,825,000 | 10,070,625 | ||||||
Isle of Capri Casinos, Inc.: |
||||||||
7% Sr. Unsec. Sub. Nts., 3/1/14 |
6,961,000 | 6,943,598 | ||||||
7.75% Sr. Unsec. Nts., 3/15/192 |
10,150,000 | 10,150,000 | ||||||
Landrys Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 |
4,835,000 | 5,233,888 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/152,3 |
12,065,000 | 1,266,825 | ||||||
MCE Finance Ltd., 10.25% Sr. Sec. Nts., 5/15/18 |
3,650,000 | 4,247,688 | ||||||
MGM Mirage, Inc.: |
||||||||
5.875% Sr. Nts., 2/27/14 |
6,130,000 | 5,884,800 | ||||||
6.625% Sr. Unsec. Nts., 7/15/15 |
14,560,000 | 13,868,400 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 |
17,261,000 | 15,491,748 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 |
9,570,000 | 10,610,738 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/083,4 |
10,850,000 | | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/143 |
22,435,000 | 2,244 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 |
8,280,000 | 7,762,500 | ||||||
Wynn Las
Vegas LLC/Wynn Las Vegas Capital Corp., 7.75% Sec. Nts., 8/15/20 |
9,735,000 | 10,367,775 | ||||||
148,947,515 |
Principal | ||||||||
Amount | Value | |||||||
Household Durables0.3% |
||||||||
Beazer Homes USA, Inc.: |
||||||||
6.875% Sr. Unsec. Nts., 7/15/15 |
$ | 4,065,000 | $ | 4,024,350 | ||||
9.125% Sr. Nts., 5/15/192 |
10,710,000 | 10,884,038 | ||||||
Reynolds
Group Issuer, Inc. Trust/Reynolds Group Issuer LLC/ Reynolds Group Issuer Luxembourg SA, 8.50% Sr. Nts., 5/15/182 |
5,115,000 | 5,204,513 | ||||||
Reynolds
Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA, 9% Sr. Nts., 4/15/192 |
4,990,000 | 5,189,600 | ||||||
25,302,501 | ||||||||
Leisure Equipment & Products0.4% |
||||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/182 |
36,460,000 | 36,004,250 | ||||||
Media1.7% |
||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Nts., 11/15/152 |
6,770,000 | 6,922,325 | ||||||
Affinion Group, Inc., 7.875% Sr. Nts., 12/15/182 |
11,690,000 | 11,047,050 | ||||||
Belo (A.H.) Corp.: |
||||||||
7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 |
1,775,000 | 1,584,188 | ||||||
7.75% Sr. Unsec. Unsub. Debs., 6/1/27 |
11,109,000 | 10,164,735 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp.: |
||||||||
7% Sr. Nts., 1/15/192 |
2,995,000 | 3,077,363 | ||||||
7% Sr. Unsec. Unsub. Nts., 1/15/19 |
2,405,000 | 2,477,150 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/152 |
20,395,000 | 20,904,875 | ||||||
Cequel Communications Holdings I LLC, |
||||||||
8.625% Sr. Unsec. Nts., 11/15/172 |
8,845,000 | 9,265,138 | ||||||
Clear
Channel Communications, Inc., 10.75% Sr. Unsec. Unsub. Nts., 8/1/16 |
11,465,000 | 10,977,738 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 |
2,370,000 | 2,535,900 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 |
18,651,000 | 19,933,256 | ||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/184 |
3,550,000 | 3,940,500 | ||||||
Kabel BW
Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/192 |
5,970,000 | 6,149,100 | ||||||
Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/174,12 |
10,189,462 | 10,304,093 | ||||||
Nexstar
Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 |
7,560,000 | 8,221,500 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Nts., 10/15/182 |
10,050,000 | 10,678,125 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/202 |
1,760,000 | 1,870,000 | ||||||
Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 |
2,255,000 | 2,446,675 | ||||||
WMG Holdings Corp., 9.50% Sr. Unsec. Nts., 12/15/14 |
9,610,000 | 9,850,250 | ||||||
152,349,961 | ||||||||
Specialty Retail0.1% |
||||||||
Limited
Brands, Inc., 6.625% Sr. Nts., 4/1/215 |
10,450,000 | 10,737,375 |
Principal | ||||||||
Amount | Value | |||||||
Textiles, Apparel & Luxury Goods0.1% |
||||||||
Jones Group,
Inc. (The)/Jones Apparel Group Holdings, Inc./Jones Apparel
Group USA, Inc./JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 |
$ | 8,940,000 | $ | 8,794,725 | ||||
Consumer Staples1.1% |
||||||||
Beverages0.0% |
||||||||
AmBev
International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/171 |
5,535,000 | BRR | 3,330,865 | |||||
Food & Staples Retailing0.1% |
||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/212 |
7,765,000 | 7,677,597 | ||||||
Real Time Data Co., 11% Nts., 5/31/093,4,12 |
8,836,185 | | ||||||
7,677,597 | ||||||||
Food Products1.0% |
||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/162 |
14,305,000 | 15,592,450 | ||||||
Arcor, 7.25% Sr. Unsec. Nts., 11/9/172 |
3,005,000 | 3,185,300 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/172,12 |
17,296,608 | 18,896,544 | ||||||
Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/192 |
10,150,000 | 10,340,313 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/172 |
10,800,000 | 11,286,000 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/152 |
5,541,000 | 5,956,575 | ||||||
Pilgrims Pride Corp., 7.875% Sr. Nts., 12/15/182 |
9,240,000 | 9,009,000 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/154 |
9,465,000 | 10,340,513 | ||||||
84,606,695 | ||||||||
Energy5.0% |
||||||||
Energy Equipment & Services0.4% |
||||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 |
9,905,000 | 10,697,400 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/202 |
8,780,000 | 9,065,350 | ||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 |
9,090,000 | 9,862,650 | ||||||
Vantage Drilling Co., 11.50% Sr. Sec. Nts., 8/1/152 |
9,590,000 | 10,692,850 | ||||||
40,318,250 | ||||||||
Oil, Gas & Consumable Fuels4.6% |
||||||||
Afren plc, 11.50% Sr. Sec. Nts., 2/1/162 |
6,400,000 | 6,768,000 | ||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/152 |
5,500,000 | 6,009,300 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 |
9,700,000 | 10,621,500 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 |
5,275,000 | 5,489,297 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 |
19,035,000 | 20,081,869 | ||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 |
8,700,000 | 9,831,000 | ||||||
BreitBurn Energy Partners LP, 8.625% Sr. Unsec. Nts., 10/15/202 |
10,725,000 | 11,288,063 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Chaparral Energy, Inc.: |
||||||||
8.875% Sr. Unsec. Nts., 2/1/17 |
$ | 3,330,000 | $ | 3,513,150 | ||||
9.875% Sr. Nts., 10/1/202 |
10,135,000 | 11,300,525 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/202 |
3,025,000 | 3,024,782 | ||||||
Gaz Capital SA: |
||||||||
6.212% Sr. Unsec. Unsub. Nts., 11/22/162 |
7,230,000 | 7,931,310 | ||||||
7.288% Sr. Sec. Nts., 8/16/372 |
19,545,000 | 21,206,325 | ||||||
8.125% Nts., 7/31/142 |
2,625,000 | 3,012,188 | ||||||
8.146% Sr. Sec. Nts., 4/11/182 |
10,210,000 | 12,085,577 | ||||||
8.625% Sr. Sec. Nts., 4/28/342 |
6,450,000 | 8,021,865 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/192 |
10,250,000 | 12,799,175 | ||||||
James River Coal Co., 7.875% Sr. Nts., 4/1/192 |
2,385,000 | 2,480,400 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/212 |
7,490,000 | 7,789,600 | ||||||
KMG Finance Sub BV: |
||||||||
7% Sr. Unsec. Bonds, 5/5/202 |
4,100,000 | 4,438,250 | ||||||
9.125% Sr. Unsec. Unsub. Nts., 7/2/182 |
12,000,000 | 14,580,000 | ||||||
Linn Energy LLC, 8.625% Sr. Unsec. Nts., 4/15/202 |
15,280,000 | 17,037,200 | ||||||
Lukoil International Finance BV: |
||||||||
6.125% Sr. Unsec. Nts., 11/9/202 |
13,600,000 | 13,940,000 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/222 |
3,450,000 | 3,622,500 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/192 |
2,250,000 | 2,488,950 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/212,5 |
11,935,000 | 12,143,863 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/152 |
24,420,000 | 26,373,600 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 |
17,610,000 | 19,459,050 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/212 |
4,540,000 | 4,806,725 | ||||||
Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/212 |
7,060,000 | 7,633,978 | ||||||
Pemex Project Funding Master Trust: |
||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 |
11,540,000 | 11,540,035 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 |
7,690,000 | 7,746,844 | ||||||
Petrobras International Finance Co.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 |
3,480,000 | 3,603,540 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 |
3,760,000 | 4,429,077 | ||||||
Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/17 |
17,035,000 | 12,128,920 | ||||||
Petroleos Mexicanos: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 |
6,070,000 | 6,191,400 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 |
2,750,000 | 2,932,875 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/192 |
8,790,000 | 10,701,825 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/112 |
2,836,529 | 2,834,055 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/192 |
7,570,000 | 8,402,700 | ||||||
Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 |
9,710,000 | 11,360,700 | ||||||
Range Resources Corp.: |
||||||||
7.50% Sr. Unsec. Unsub. Nts., 10/1/17 |
1,935,000 | 2,070,450 | ||||||
8% Sr. Unsec. Sub. Nts., 5/15/19 |
4,695,000 | 5,199,713 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
SandRidge Energy, Inc.: |
||||||||
8.75% Sr. Unsec. Nts., 1/15/20 |
$ | 9,535,000 | $ | 10,440,825 | ||||
9.875% Sr. Unsec. Nts., 5/15/162 |
4,820,000 | 5,374,300 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/142 |
11,693,682 | 12,395,303 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/192 |
5,100,000 | 5,106,375 | ||||||
412,236,979 | ||||||||
Financials4.6% |
||||||||
Capital Markets0.9% |
||||||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/692 |
3,000,000 | 3,480,000 | ||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 |
3,354,000 | 3,278,535 | ||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine,
7.65% Sr. Sec. Bonds, 9/7/11 |
2,900,000 | 2,943,326 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 |
5,345,000 | 5,271,506 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875%
Sr. Nts., 4/1/152 |
27,165,000 | 28,115,775 | ||||||
Nuveen Investments, Inc.: |
||||||||
5.50% Sr. Unsec. Nts., 9/15/15 |
4,182,000 | 3,690,615 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 |
9,620,000 | 9,932,650 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/182 |
11,245,000 | 12,257,050 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 |
10,100,000 | 9,279,375 | ||||||
78,248,832 | ||||||||
Commercial Banks2.3% |
||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/154 |
7,590,000 | 7,656,792 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/172 |
6,020,000 | 6,396,250 | ||||||
Banco BMG SA: |
||||||||
9.15% Nts., 1/15/162 |
18,050,000 | 19,042,750 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/192 |
4,270,000 | 4,547,550 | ||||||
Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/162 |
3,110,000 | 3,094,450 | ||||||
Banco de Credito del Peru: |
||||||||
5.375% Sr. Nts., 9/16/202 |
1,790,000 | 1,700,500 | ||||||
6.95% Sub. Nts., 11/7/211,2 |
2,920,000 | 3,066,000 | ||||||
Banco do Brasil SA: |
||||||||
5.375% Unsec. Sub. Nts., 1/15/212 |
3,705,000 | 3,612,375 | ||||||
8.50% Jr. Sub. Perpetual Bonds2,13 |
4,900,000 | 5,641,125 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/202 |
2,475,000 | 2,611,125 | ||||||
Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/162 |
3,120,000 | 3,221,400 | ||||||
Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/162 |
6,160,000 | 6,113,800 | ||||||
Bank of Scotland plc: |
||||||||
4.375% Sr. Sec. Nts., 7/13/16 |
7,872,000 | EUR | 11,177,131 | |||||
4.50% Sr. Sec. Nts., 7/13/21 |
5,385,000 EUR | 7,346,905 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued |
||||||||
CIT Group, Inc., 7% Sr. Sec. Bonds, 5/1/17 |
$ | 20,945,000 | $ | 21,023,544 | ||||
Halyk Savings Bank of Kazakhstan JSC: |
||||||||
7.25% Unsec. Unsub. Nts., 5/3/172 |
3,585,000 | 3,741,665 | ||||||
9.25% Sr. Nts., 10/16/132 |
22,290,000 | 24,797,625 | ||||||
ICICI Bank Ltd.: |
||||||||
5.50% Sr. Unsec. Nts., 3/25/152 |
11,665,000 | 12,160,179 | ||||||
6.375% Bonds, 4/30/221,2 |
11,895,000 | 11,865,001 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/043,4 |
5,010,000 | | ||||||
PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/122 |
4,580,000 | 4,640,113 | ||||||
Salisbury
International Investments Ltd., 4.453% Sec. Nts.,
Series 2006-003,
Tranche E, 7/22/111,4 |
5,200,000 | 4,925,960 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/162 |
4,660,000 | 4,643,981 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/202 |
13,905,000 | 14,999,324 | ||||||
VTB Capital SA: |
||||||||
6.315% Nts., 2/22/182 |
7,790,000 | 7,991,372 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/152 |
4,490,000 | 4,832,138 | ||||||
6.551% Sr. Unsec. Nts., 10/13/202 |
5,970,000 | 6,081,639 | ||||||
206,930,694 | ||||||||
Consumer Finance0.2% |
||||||||
JSC Astana Finance, 9.16% Nts., 3/14/123 |
27,100,000 | 3,411,890 | ||||||
SLM Corp., 8% Sr. Nts., 3/25/20 |
5,270,000 | 5,753,602 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/152 |
9,010,000 | 10,046,150 | ||||||
19,211,642 | ||||||||
Diversified Financial Services0.6% |
||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 |
10,508,362 | 9,299,901 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 |
1,590,000 | EUR | 2,232,161 | |||||
Banco Invex SA, 29.593% Mtg.-Backed Certificates, Series 062U, 3/13/341,11 |
17,962,375 MXN | 3,346,259 | ||||||
BM&F BOVESPA SA, 5.50% Sr. Unsec. Nts., 7/16/202 |
2,785,000 | 2,859,577 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 |
8,755,000 | 9,586,725 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds13 |
11,230,000 | 10,443,900 | ||||||
JPMorgan Hipotecaria su Casita: |
||||||||
7.812% Sec. Nts., 8/26/354 |
20,232,960 MXN | 1,741,518 | ||||||
27.987%
Mtg.-Backed Certificates, Series 06U, 9/25/351 |
8,204,835 MXN | 1,311,305 | ||||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/6/16 |
5,475,000 | 5,538,849 | ||||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/972,14 |
12,450,000 | 7,520,759 | ||||||
TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/202 |
1,700,000 | 1,878,500 | ||||||
55,759,454 |
Principal | ||||||||
Amount | Value | |||||||
Insurance0.1% |
||||||||
International Lease Finance Corp.: |
||||||||
8.875% Sr. Nts., 9/15/152 |
$ | 6,140,000 | $ | 6,769,350 | ||||
8.875% Sr. Unsec. Nts., 9/1/17 |
1,125,000 | 1,274,063 | ||||||
9% Sr. Unsec. Unsub. Nts., 3/15/172 |
5,635,000 | 6,353,463 | ||||||
14,396,876 | ||||||||
Real Estate Management & Development0.3% |
||||||||
Realogy Corp., 11.50% Sr. Unsec. Nts., 4/15/172 |
16,400,000 | 17,015,000 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,4 |
8,535,000 | 8,705,700 | ||||||
25,720,700 | ||||||||
Thrifts & Mortgage Finance0.2% |
||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/162 |
2,715,000 | 2,810,025 | ||||||
WM Covered Bond Program: |
||||||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 |
10,375,000 | EUR | 14,665,564 | |||||
4.375% Sec. Nts., 5/19/14 |
1,330,000 EUR | 1,933,666 | ||||||
19,409,255 | ||||||||
Health Care1.4% |
||||||||
Biotechnology0.1% |
||||||||
Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/182 |
3,000,000 | 3,093,750 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/182 |
2,980,000 | 3,099,200 | ||||||
6,192,950 | ||||||||
Health Care Equipment & Supplies0.4% |
||||||||
Accellent, Inc., 10% Sr. Sub. Nts., 11/1/172 |
8,810,000 | 8,854,050 | ||||||
Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 |
3,940,000 | 4,191,175 | ||||||
Biomet, Inc.: |
||||||||
10.375% Sr. Unsec. Nts., 10/15/1712 |
7,605,000 | 8,394,019 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 |
7,546,000 | 8,451,520 | ||||||
DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/172 |
2,820,000 | 2,975,100 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 |
3,160,000 | 3,314,050 | ||||||
36,179,914 | ||||||||
Health Care Providers & Services0.7% |
||||||||
Capella Healthcare, Inc., 9.25% Sr. Unsec. Nts., 7/1/172 |
1,475,000 | 1,578,250 | ||||||
Catalent Pharma Solutions, Inc., 10.25% Sr. Unsec. Nts., 4/15/1512 |
5,103,831 | 5,263,326 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 |
8,875,000 | 10,084,219 | ||||||
HCA, Inc., 6.375% Nts., 1/15/15 |
9,435,000 | 9,670,875 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/182 |
4,140,000 | 4,315,950 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/182 |
7,115,000 | 7,648,625 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 |
4,070,000 | 4,100,525 |
Principal | ||||||||
Amount | Value | |||||||
Health Care Providers & Services Continued |
||||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 |
$ | 3,780,000 | $ | 3,874,500 | ||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 |
10,371,000 | 10,604,348 | ||||||
US Oncology, Inc. (Escrow), 9.125% Sr. Sec. Nts., 8/15/17 |
6,485,000 | 64,850 | ||||||
Vanguard
Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 |
5,940,000 | 6,110,775 | ||||||
63,316,243 | ||||||||
Health Care Technology0.0% |
||||||||
MedAssets, Inc., 8% Sr. Nts., 11/15/182 |
3,520,000 | 3,616,800 | ||||||
Pharmaceuticals0.2% |
||||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182 |
3,100,000 | 3,115,500 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/182 |
2,915,000 | 2,871,275 | ||||||
Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/182 |
12,615,000 | 13,277,288 | ||||||
19,264,063 | ||||||||
Industrials3.6% |
||||||||
Aerospace & Defense1.1% |
||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 |
3,450,000 | 3,588,000 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/172 |
18,725,000 | 20,363,438 | ||||||
Hawker Beechcraft Acquisition Co. LLC: |
||||||||
8.50% Sr. Unsec. Nts., 4/1/15 |
20,955,000 | 17,864,138 | ||||||
9.75% Sr. Unsec. Sub. Nts., 4/1/17 |
3,575,000 | 2,636,563 | ||||||
Huntington
Ingalls Industries, Inc.: |
||||||||
6.875% Sr. Unsec. Nts., 3/15/182 |
2,980,000 | 3,125,275 | ||||||
7.125% Sr. Unsec. Nts., 3/15/212 |
2,385,000 | 2,498,288 | ||||||
Kratos
Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 |
3,430,000 | 3,798,725 | ||||||
Lanza Acquisition Co., 10% Sr. Sec. Nts., 6/1/172 |
3,880,000 | 4,297,100 | ||||||
TransDigm, Inc., 7.75% Sr. Sub. Nts., 12/15/182 |
24,705,000 | 26,650,519 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 |
14,065,000 | 15,576,988 | ||||||
100,399,034 | ||||||||
Air Freight & Logistics0.0% |
||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/182 |
2,940,000 | 3,171,525 | ||||||
Airlines0.2% |
||||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/152 |
14,710,000 | 16,548,750 | ||||||
Building Products0.3% |
||||||||
Associated
Materials LLC, 9.125% Sr. Sec. Nts., 11/1/172 |
4,230,000 | 4,536,675 | ||||||
Ply Gem
Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 |
14,965,000 | 16,611,150 | ||||||
Roofing
Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/172 |
4,205,000 | 4,446,788 | ||||||
25,594,613 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Services & Supplies0.2% |
||||||||
West Corp.: |
||||||||
7.875% Sr. Nts., 1/15/192 |
$ | 4,680,000 | $ | 4,779,450 | ||||
8.625% Sr. Unsec. Nts., 10/1/182 |
10,130,000 | 10,712,475 | ||||||
15,491,925 | ||||||||
Construction & Engineering0.2% |
||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/242 |
15,251,043 | 17,081,168 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/202 |
3,020,000 | 3,317,470 | ||||||
20,398,638 | ||||||||
Industrial Conglomerates0.1% |
||||||||
Sequa Corp., 11.75% Sr. Unsec. Nts., 12/1/152 |
9,440,000 | 10,242,400 | ||||||
Machinery0.5% |
||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/162 |
9,350,000 | 9,864,250 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 |
10,735,000 | 11,566,963 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 |
19,585,000 | 20,735,619 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/172 |
5,180,000 | 5,497,275 | ||||||
47,664,107 | ||||||||
Marine0.2% |
||||||||
Marquette Transportation Co., 10.875% Sr. Sec. Nts., 1/15/172 |
11,205,000 | 11,737,238 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 |
2,820,000 | 2,932,800 | ||||||
Navios
Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts.,
11/1/17 |
2,435,000 | 2,651,106 | ||||||
17,321,144 | ||||||||
Professional Services0.2% |
||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/152 |
11,398,000 | 12,138,870 | ||||||
TransUnion
LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/182 |
2,355,000 | 2,702,363 | ||||||
14,841,233 | ||||||||
Road & Rail0.5% |
||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/182 |
20,365,000 | 21,179,600 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/202 |
3,000,000 | 3,142,200 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/262 |
5,552,960 | 5,024,318 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/152 |
16,084,000 | 15,601,480 | ||||||
44,947,598 | ||||||||
Trading Companies & Distributors0.1% |
||||||||
RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/172 |
1,525,000 | 1,746,125 |
Principal | ||||||||
Amount | Value | |||||||
Trading Companies & Distributors Continued |
||||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.25% Sr. Unsec.
Nts., 2/1/212 |
$ | 2,990,000 | $ | 3,124,550 | ||||
United Rentals North America, Inc., 9.25% Sr. Unsec. Unsub.
Nts., 12/15/19 |
3,305,000 | 3,693,338 | ||||||
8,564,013 | ||||||||
Transportation Infrastructure0.0% |
||||||||
Aeropuertos Argentina 2000 SA, 10.75% Sr. Sec. Nts., 12/1/202 |
1,524,600 | 1,654,191 | ||||||
Information Technology1.6% |
||||||||
Computers & Peripherals0.1% |
||||||||
Seagate HDD Cayman, 6.875% Sr. Unsec. Nts., 5/1/202 |
10,490,000 | 10,516,225 | ||||||
Electronic Equipment & Instruments0.2% |
||||||||
CDW LLC/CDW Finance Corp., 11% Sr. Unsec. Nts., 10/12/15 |
14,045,000 | 15,309,050 | ||||||
Internet Software & Services0.4% |
||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 |
19,575,000 | 21,679,313 | ||||||
Telcordia Technologies, Inc., 11% Sr. Sec. Nts., 5/1/182 |
15,190,000 | 16,974,825 | ||||||
38,654,138 | ||||||||
IT Services0.5% |
||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 |
8,195,000 | 8,563,775 | ||||||
First Data Corp.: |
||||||||
8.875% Sr. Sec. Nts., 8/15/202 |
8,875,000 | 9,784,688 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 |
21,160,000 | 21,794,800 | ||||||
SunGard Data Systems, Inc., 7.625% Sr. Unsec. Nts., 11/15/202 |
2,935,000 | 3,030,388 | ||||||
43,173,651 | ||||||||
Semiconductors & Semiconductor Equipment0.4% |
||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 |
5,015,000 | 5,177,988 | ||||||
Amkor Technology, Inc., 7.375% Sr. Unsec. Nts., 5/1/18 |
5,325,000 | 5,538,000 | ||||||
Freescale Semiconductor, Inc.: |
||||||||
9.25% Sr. Sec. Nts., 4/15/182 |
6,025,000 | 6,627,500 | ||||||
10.75% Sr. Unsec. Nts., 8/1/202 |
16,865,000 | 19,015,288 | ||||||
36,358,776 | ||||||||
Materials4.0% |
||||||||
Chemicals1.1% |
||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/182 |
11,215,000 | 12,392,575 | ||||||
Braskem SA, 7% Sr. Unsec. Nts., 5/7/202 |
4,100,000 | 4,469,000 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 |
10,140,000 | 10,799,100 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: |
||||||||
8.875% Sr. Sec. Nts., 2/1/18 |
14,720,000 | 15,640,000 | ||||||
9% Sr. Sec. Nts., 11/15/202 |
5,385,000 | 5,597,034 | ||||||
Huntsman International LLC, 8.625% Sr. Sub. Nts., 3/15/212 |
1,130,000 | 1,237,350 |
Principal | ||||||||
Amount | Value | |||||||
Chemicals Continued |
||||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/172 |
$ | 11,945,000 | $ | 13,199,225 | ||||
Momentive Performance Materials, Inc.: |
||||||||
9% Sec. Nts., 1/15/212 |
10,775,000 | 11,165,594 | ||||||
11.50% Sr. Unsec. Sub. Nts., 12/1/16 |
9,395,000 | 10,123,113 | ||||||
Nalco Co., 6.625% Sr. Nts., 1/15/192 |
1,850,000 | 1,912,438 | ||||||
Rhodia SA, 6.875% Sr. Nts., 9/15/202 |
14,818,000 | 15,169,928 | ||||||
101,705,357 | ||||||||
Construction Materials0.3% |
||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/202 |
4,134,000 | 4,304,528 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/162 |
4,545,000 | 4,919,963 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/182 |
4,965,000 | 5,231,869 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/182 |
7,970,000 | 8,229,025 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/202 |
3,640,000 | 3,967,600 | ||||||
West China Cement Ltd., 7.50% Sr. Nts., 1/25/162 |
4,040,000 | 4,105,448 | ||||||
30,758,433 | ||||||||
Containers & Packaging0.4% |
||||||||
Berry Plastics Corp., 9.75% Sr. Sec. Nts., 1/15/212 |
14,645,000 | 14,571,775 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/192 |
7,805,000 | 8,087,931 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 |
11,690,000 | 10,521,000 | ||||||
33,180,706 | ||||||||
Metals & Mining0.9% |
||||||||
Aleris International, Inc., 7.625% Sr. Nts., 2/15/182 |
17,915,000 | 18,049,363 | ||||||
Alrosa Finance SA, 7.75% Nts., 11/3/202 |
6,070,000 | 6,537,390 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/192 |
2,700,000 | 3,010,500 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/162,5 |
4,970,000 | 4,970,000 | ||||||
JSC Severstal, 6.70% Nts., 10/25/172 |
7,410,000 | 7,595,250 | ||||||
Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/182 |
6,235,000 | 6,484,400 | ||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/182 |
28,320,000 | 31,152,000 | ||||||
77,798,903 | ||||||||
Paper & Forest Products1.3% |
||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/182 |
8,415,000 | 9,340,650 | ||||||
Abitibi-Consolidated Co. of Canada (Escrow), 10.60% Sr. Unsec.
Unsub. Nts., 1/15/113 |
5,080,000 | 355,600 | ||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/152,12 |
15,118,820 | 15,364,501 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/152 |
19,545,000 | 20,668,838 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/162 |
15,009,000 | 15,159,090 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/172 |
8,765,000 | 9,641,500 |
Principal | ||||||||
Amount | Value | |||||||
Paper & Forest Products Continued |
||||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 |
$ | 17,500,000 | $ | 17,609,375 | ||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/152 |
3,275,000 | 2,963,875 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 |
17,085,000 | 18,195,525 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/192 |
9,375,000 | 9,796,875 | ||||||
119,095,829 | ||||||||
Telecommunication Services2.2% |
||||||||
Diversified Telecommunication Services1.3% |
||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/192 |
9,115,000 | 8,795,975 | ||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 |
4,815,000 | 4,742,775 | ||||||
Cincinnati Bell, Inc.: |
||||||||
8.25% Sr. Nts., 10/15/17 |
4,585,000 | 4,642,313 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 |
7,505,000 | 7,120,369 | ||||||
Intelsat Bermuda Ltd.: |
||||||||
11.25% Sr. Unsec. Nts., 2/4/17 |
9,665,000 | 10,607,338 | ||||||
12.50% Sr. Unsec. Nts., 2/4/1712 |
5,259,375 | 5,798,461 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/202 |
2,810,000 | 2,824,050 | ||||||
Level 3 Financing, Inc.: |
||||||||
9.25% Sr. Unsec. Unsub. Nts., 11/1/14 |
13,784,000 | 14,163,060 | ||||||
9.375% Sr. Unsec. Unsub. Nts., 4/1/192 |
13,410,000 | 13,041,225 | ||||||
PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 |
14,495,000 | 15,255,988 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/202 |
15,409,000 | 15,216,388 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/182 |
4,550,000 | 4,766,125 | ||||||
Windstream Corp., 8.125% Sr. Unsec. Unsub. Nts., 9/1/18 |
4,845,000 | 5,196,263 | ||||||
112,170,330 | ||||||||
Wireless Telecommunication Services0.9% |
||||||||
America Movil SAB de CV: |
||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 |
4,750,000 | 4,987,742 | ||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
42,300,000 | MXN | 3,104,772 | |||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 |
20,400,000 | 20,604,000 | ||||||
MetroPCS Wireless, Inc.: |
||||||||
6.625% Sr. Unsec. Nts., 11/15/20 |
10,545,000 | 10,558,181 | ||||||
7.875% Sr. Unsec. Nts., 9/1/18 |
9,595,000 | 10,314,625 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/202 |
8,165,000 | 9,379,136 | ||||||
Vimpel
Communications/VIP Finance Ireland Ltd. OJSC, 7.748%
Nts., 2/2/212 |
4,665,000 | 4,921,575 | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/182 |
17,250,000 | 19,716,750 | ||||||
83,586,781 | ||||||||
Utilities2.7% |
||||||||
Electric Utilities1.6% |
||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/192 |
8,725,000 | 9,815,625 |
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued |
||||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 |
$ | 14,520,000 | $ | 11,724,900 | ||||
Empresa
Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/222 |
3,120,000 | 3,229,200 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/192 |
5,140,000 | 5,885,300 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 |
10,704,000 | 11,386,562 | ||||||
Eskom Holdings Ltd.: |
||||||||
5.75% Sr. Unsec. Bonds., 1/26/212 |
10,875,000 | 11,078,906 | ||||||
9.25% Bonds, Series ES18, 4/20/18 |
38,000,000 | ZAR | 5,634,133 | |||||
10% Nts., Series ES23, 1/25/23 |
137,000,000 ZAR | 21,112,723 | ||||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/192 |
17,680,000 | 18,792,744 | ||||||
Majapahit Holding BV: |
||||||||
7.75% Nts., 10/17/162 |
8,820,000 | 9,966,600 | ||||||
8% Sr. Unsec. Nts., 8/7/192 |
4,000,000 | 4,560,000 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
421,000,000 | PHP | 10,300,202 | |||||
Texas Competitive Electric Holdings Co. LLC: |
||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 |
32,800,000 | 19,352,000 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 |
6,290,000 | 3,695,375 | ||||||
146,534,270 | ||||||||
Energy Traders0.9% |
||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/202 |
5,760,000 | 5,917,720 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 |
10,745,000 | 11,430,176 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/172 |
20,035,000 | 21,662,844 | ||||||
GenOn Escrow Corp.: |
||||||||
9.50% Sr. Unsec. Nts., 10/15/182 |
5,635,000 | 5,888,575 | ||||||
9.875% Sr. Nts., 10/15/202 |
5,630,000 | 5,911,500 | ||||||
Power Sector Assets & Liabilities Management Corp.: |
||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/192 |
4,920,000 | 5,633,400 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/242 |
4,370,000 | 5,003,650 | ||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/152 |
4,240,000 | 4,694,549 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 |
13,913,000 | 14,504,303 | ||||||
80,646,717 | ||||||||
Gas Utilities0.1% |
||||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Nts., 5/1/212 |
2,590,000 | 2,525,250 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/172 |
5,268,000 | 5,926,500 | ||||||
8,451,750 | ||||||||
Water Utilities0.1% |
||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec.
Nts., 12/16/202 |
5,585,000 | 5,766,513 | ||||||
Total Corporate Bonds and Notes (Cost $2,671,600,364) |
2,791,505,632 |
Shares | Value | |||||||
Preferred Stocks0.4% |
||||||||
Ally Financial, Inc., 7%, Non-Vtg.2 |
26,074 | $ | 24,263,487 | |||||
GMAC Capital Trust I, 8.125% Cum. |
120,000 | 3,060,000 | ||||||
Greektown Superholdings, Inc., Series A-115,16 |
109,250 | 11,605,628 | ||||||
Total Preferred Stocks (Cost $35,713,020) |
38,929,115 | |||||||
Common Stocks0.6% |
||||||||
AbitibiBowater, Inc.16 |
419,436 | 11,270,245 | ||||||
American Media Operations, Inc.15,16 |
535,548 | 6,962,124 | ||||||
Arco Capital Corp. Ltd.4,15,16 |
2,494,716 | 4,989,432 | ||||||
Gaylord Entertainment Co., Cl. A16 |
141,326 | 4,901,186 | ||||||
Global Aviation Holdings, Inc.16 |
3,200 | 32,000 | ||||||
Greektown Superholdings, Inc.15,16 |
8,267 | 816,945 | ||||||
Kaiser Aluminum Corp. |
2,405 | 118,446 | ||||||
LyondellBasell Industries NV, Cl. A16 |
281,316 | 11,126,048 | ||||||
MHP SA, GDR2,16 |
243,656 | 4,622,154 | ||||||
Orbcomm, Inc.16 |
30,391 | 100,290 | ||||||
Premier Holdings Ltd.16 |
799,833 | | ||||||
USA Mobility, Inc. |
44 | 638 | ||||||
Visteon Corp.16 |
180,703 | 10,275,839 | ||||||
Total Common Stocks (Cost $91,019,445) |
55,215,347 |
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/184,16 |
17,071 | 2,133,875 | ||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/1716 |
31,274 | 1,125 | ||||||
Total Rights, Warrants and Certificates (Cost $928,060) |
2,135,000 |
Principal | ||||||||
Amount | ||||||||
Structured Securities6.1% |
||||||||
Barclays Bank plc: |
||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 |
49,300,000,000 | IDR | 6,242,872 | |||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 |
37,140,000,000 | IDR | 4,703,048 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 |
36,870,000,000 | IDR | 4,952,872 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 |
13,030,000,000 IDR | 1,634,772 | ||||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 |
29,460,000,000 IDR | 3,696,116 | ||||||
Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 |
30,680,000,000 IDR | 3,885,016 | ||||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 |
26,580,000,000 IDR | 3,365,832 | ||||||
Indonesia
(Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 |
26,580,000,000 IDR | 3,570,582 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
Barclays Bank plc: Continued |
||||||||
Russian Federation Total Return Linked Bonds, 7.15%, 1/25/131 |
216,840,000 | RUR | $ | 7,828,723 | ||||
Russian Federation Total Return Linked Bonds, 6.70%, 2/8/131 |
222,190,000 | RUR | 7,959,360 | |||||
Citigroup Funding, Inc.: |
||||||||
ALROSA
Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/151,4 |
71,890,000 | RUR | 2,579,059 | |||||
Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 |
23,000,000,000 | IDR | 2,885,630 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 |
24,580,000,000 | IDR | 3,301,915 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 25, 11%, 9/17/25 |
46,020,000,000 | IDR | 5,827,525 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 10.50%, 8/19/30 |
46,020,000,000 | IDR | 6,182,023 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 |
28,180,000,000 | IDR | 3,785,515 | |||||
Instituto
Costarricense De Eletricidad Total Return Linked Nts., 2.303%, 10/25/111 |
7,495,000 | 7,542,714 | ||||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/131,4 |
148,920,000 | RUR | 5,295,899 | |||||
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/151,4 |
65,722,500 | UAH | 7,393,936 | |||||
Citigroup Global Markets Holdings, Inc.: |
||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 |
8,155,000,000 | COP | 5,064,859 | |||||
Colombia (Republic of) Credit Linked Nts., 13.661%, 2/26/154,11 |
5,870,000,000 | COP | 6,711,372 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 13.661%, 2/26/154,11 |
2,175,000,000 | COP | 2,486,752 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 13.661%, 2/26/154,11 |
3,317,000,000 | COP | 3,792,440 | |||||
Colombia
(Republic of) Total Return Linked Bonds, 7.25%, 6/16/165 |
23,918,000,000 COP | 12,493,081 | ||||||
Colombia (Republic of) Total Return Linked Bonds, Series 2,
11%, 7/27/20 |
10,191,000,000 COP | 6,364,869 | ||||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/124 |
182,600,000 DOP | 4,989,042 | ||||||
Credit Suisse First Boston International: |
||||||||
Moitk Total Return Linked Nts., 21%, 3/30/113 |
196,587,000 RUR | 20,743 | ||||||
Pemex
Project Funding Master Total Return Linked Nts., 1.554%, 5/12/11 |
50,000,000 | 50,270,080 | ||||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/121 |
305,165,000 RUR | 10,573,229 | ||||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized
Construction & Installation Administration Total Return Linked Nts., 13%, 5/20/103 |
335,100,000 RUR | 1,179 | ||||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%,
6/27/12 |
269,570,000 RUR | 9,282,113 | ||||||
Credit Suisse International: |
||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 |
85,510,000 RUR | 3,267,678 | ||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 |
79,950,000 RUR | 3,055,208 | ||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 |
59,420,000 RUR | 2,270,675 | ||||||
Deutsche Bank AG: |
||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.01%, 4/30/254,10 |
5,213,320 | 3,366,133 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/252,10 |
6,642,572 | 4,288,971 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/252,10 |
5,734,797 | 3,702,839 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/252,10 |
5,126,185 | 3,309,871 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/252,10 |
6,382,516 | 4,121,058 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.241%, 4/30/252,10 |
7,284,674 | 4,703,563 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/252,10 |
5,819,602 | 3,757,596 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
Deutsche Bank AG: Continued |
||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.342%, 4/30/252,10 |
$ | 5,470,177 | $ | 3,531,980 | ||||
Coriolanus Ltd. Sec. Credit Linked Nts., 11.417%, 12/31/174,11 |
50,470,000 | BRR | 27,154,804 | |||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/111,4 |
6,050,000 | 7,089,995 | ||||||
Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 |
57,330,000,000 | IDR | 7,259,713 | |||||
Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 |
23,160,000,000 | IDR | 3,514,796 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 |
35,580,000,000 | IDR | 4,779,582 | |||||
JSC Gazprom Credit Linked Nts., Series 4, 13.12%, 6/28/121 |
88,460,000 RUR | 3,380,409 | ||||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 |
74,280,000 RUR | 2,838,535 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.315%, 5/22/151,4 |
3,664,197 MXN | 307,067 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.315%, 5/22/151,4 |
6,410,601 MXN | 537,220 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.315%, 5/22/151,4 |
96,656,316 MXN | 8,099,979 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.315%, 5/22/151,4 |
7,044,180 MXN | 590,315 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.315%, 5/22/151,4 |
5,117,729 MXN | 428,875 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.315%, 5/22/151,4 |
3,268,436 MXN | 273,901 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.315%, 5/22/151,4 |
601,913 MXN | 50,441 | ||||||
Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 |
6,160,000 | 5,550,222 | ||||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 |
6,160,000 | 4,895,167 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 |
6,160,000 | 4,379,575 | ||||||
Eirles Two Ltd. Sec. Nts.: |
||||||||
Series 324, 3.653%, 4/30/121,4 |
15,000,000 | 13,810,500 | ||||||
Series 335, 2.103%, 4/30/121,4 |
17,500,000 | 16,810,500 | ||||||
Goldman
Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.798%, 3/29/172,10 |
81,020,000 TRY | 25,918,424 | ||||||
Goldman
Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.479%,
2/8/374,10 |
245,971,200,000 | COP | 4,862,909 | |||||
Hallertau SPC Credit Linked Nts.: |
||||||||
Series 2007-01, 2.51%, 12/20/171,4 |
24,000,000 | 22,140,000 | ||||||
Series 2008-01, 9.878%, 8/2/103,4,10 |
37,994,727 BRR | 2,327,181 | ||||||
Series 2008-2A, 7.91%, 9/17/131,4 |
32,556,250 | 33,236,676 | ||||||
JPMorgan Chase & Co.: |
||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/204 |
4,890,000,000 COP | 3,054,976 | ||||||
Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/212 |
51,300,000,000 | IDR | 5,949,669 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/252 |
26,580,000,000 | IDR | 3,570,582 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/302 |
24,990,000,000 | IDR | 3,164,490 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/302 |
30,680,000,000 | IDR | 3,885,016 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/252 |
30,680,000,000 | IDR | 4,121,348 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/302 |
11,890,000,000 | IDR | 1,505,634 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/252 |
28,180,000,000 | IDR | 3,785,515 | |||||
JPMorgan Chase Bank NA: |
||||||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/302 |
57,330,000,000 | IDR | 7,259,713 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/252 |
22,150,000,000 | IDR | 2,975,485 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/252 |
44,300,000,000 | IDR | 5,950,969 | |||||
Russian Federation Credit Linked Bonds, 6.70%, 2/8/131,4 |
149,000,000 RUR | 5,339,097 | ||||||
Russian Federation Credit Linked Bonds, 10%, 9/30/111,2 |
244,200,000 RUR | 8,834,162 | ||||||
Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/131,4 |
182,420,000 RUR | 6,589,242 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
LB Peru Trust II Certificates, Series 1998-A, 4.541%, 2/28/163,10 |
$ | 14,029,589 | $ | 1,402,959 | ||||
Lehman Brothers Treasury Co. BV, Microvest Capital
Management LLC Credit Linked Nts., 7.55%, 5/24/124 |
6,864,387 | 4,324,564 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts.,
10%, 11/17/164 |
7,928,000,000 | COP | 4,553,887 | |||||
Morgan Stanley: |
||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/172 |
15,932,000 | PEN | 4,728,871 | |||||
Russian Federation Total Return Linked Bonds, Series 007,
Cl. VR, 5%, 8/22/34 |
240,460,496 | RUR | 3,992,632 | |||||
Morgan Stanley Capital Services, Inc.: |
||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.561%, 1/5/222,10 |
113,353,000 BRR | 9,540,356 | ||||||
GISAD Sr. Unsec. Credit Linked Nts., 166.572%, 4/2/1310 |
23,262,400 | EUR | 1,648,366 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 |
300,000 | 272,588 | ||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds,
11.155%, 9/21/112,10 |
6,380,000 | GHS | 3,996,767 | |||||
Standard Charter Bank: |
||||||||
Kenya (Republic of) Credit Linked Bonds, 11.441%, 9/1/114,10 |
1,530,000 | GHS | 967,482 | |||||
Kenya (Republic of) Credit Linked Bonds, 11.44%, 9/8/114,10 |
7,180,000 GHS | 4,530,433 | ||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/114 |
4,821,752 GHS | 3,232,593 | ||||||
Total Structured Securities (Cost $612,086,781) |
553,472,922 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased0.0% |
||||||||||||||||
Japanese Yen (JPY) Call16 |
4/25/11 | $ | 76.00 | 1,120,000,000 | 1,400 | |||||||||||
Japanese Yen (JPY) Call16 |
4/25/11 | $ | 76.00 | 1,120,000,000 | 1,176 | |||||||||||
Japanese Yen (JPY) Call16 |
4/25/11 | $ | 76.00 | 1,120,000,000 | 1,109 | |||||||||||
Japanese Yen (JPY) Call16 |
4/26/11 | $ | 76.30 | 1,050,000,000 | 1,701 | |||||||||||
Total Options Purchased (Cost $180,422) |
5,386 |
Shares | ||||||||
Investment Companies18.2% |
||||||||
JPMorgan
U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%17,18 |
4,207,381 | 4,207,381 | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.20%15,18 |
251,481,649 | 251,481,649 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC15 |
15,859,814 | 169,556,069 | ||||||
Oppenheimer Master Loan Fund, LLC15 |
101,922,130 | 1,212,893,505 | ||||||
Total Investment Companies (Cost $1,614,465,107) |
1,638,138,604 | |||||||
Total Investments, at Value (Cost $9,162,124,308) |
102.9 | % | 9,286,869,974 | |||||
Liabilities in Excess of Other Assets |
(2.9 | ) | (258,252,334 | ) | ||||
Net Assets |
100.0 | % | $ | 9,028,617,640 | ||||
ARP
|
Argentine Peso | |
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
COP
|
Colombian Peso | |
DKK
|
Danish Krone | |
DOP
|
Dominican Republic Peso | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
GHS
|
Ghana Cedi | |
HUF
|
Hungarian Forint | |
IDR
|
Indonesia Rupiah | |
JPY
|
Japanese Yen | |
KRW
|
South Korean Won | |
MXN
|
Mexican Nuevo Peso | |
MYR
|
Malaysian Ringgit | |
NOK
|
Norwegian Krone | |
PEN
|
Peruvian New Sol | |
PHP
|
Philippines Peso | |
PLZ
|
Polish Zloty | |
RUR
|
Russian Ruble | |
SEK
|
Swedish Krona | |
TRY
|
New Turkish Lira | |
UAH
|
Ukraine Hryvnia | |
ZAR
|
South African Rand |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $1,950,401,615 or 21.60% of the Funds net assets as of March 31, 2011. | |
3. | This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes. | |
4. | Restricted security. The aggregate value of restricted securities as of March 31, 2011 was $367,095,470, which represents 4.07% of the Funds net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15 |
7/15/10 | $ | 7,546,813 | $ | 7,656,792 | $ | 109,979 | |||||||||
Arco Capital Corp. Ltd. |
2/27/07 | 37,420,740 | 4,989,432 | (32,431,308 | ) | |||||||||||
ASG Warrant Corp. Wts., Strike Price $0.01, Exp. 5/15/18 |
4/28/10-12/6/10 | 928,060 | 2,133,875 | 1,205,815 | ||||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 |
2/22/06-11/21/06 | 10,635,629 | 9,299,901 | (1,335,728 | ) | |||||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate
Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 |
3/1/11 | 2,547,405 | 2,579,059 | 31,654 | ||||||||||||
Citigroup Funding, Inc., Russian Federation Credit
Linked Bonds, 6.70%, 2/8/13 |
3/2/11 | 5,297,041 | 5,295,899 | (1,142 | ) | |||||||||||
Citigroup Funding, Inc., Ukraine (Republic of) Credit
Linked Nts., 5.50%, 9/1/15 |
9/7/10 | 6,846,133 | 7,393,936 | 547,803 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Bonds, 11.25%, 10/25/18 |
12/9/08 | 3,444,478 | 5,064,859 | 1,620,381 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Nts., 13.661%, 2/26/15 |
7/18/08 | 5,001,597 | 6,711,372 | 1,709,775 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Nts., Series 01, 13.661%, 2/26/15 |
7/31/08 | 1,873,281 | 2,486,752 | 613,471 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Nts., Series 02, 13.661%, 2/26/15 |
8/8/08 | 2,877,466 | 3,792,440 | 914,974 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican
Republic Unsec. Credit Linked Nts., 15%, 3/12/12 |
3/7/07 | 5,482,278 | 4,989,042 | (493,236 | ) |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates,
Series 2007-RS1, Cl. A2, 0.748%, 1/27/37 |
5/29/08 | $ | 2,719,937 | $ | 1,038,401 | $ | (1,681,536 | ) | ||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds,
Series 128, 3.01%, 4/30/25 |
10/8/10 | 3,434,299 | 3,366,133 | (68,166 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts.,
11.417%, 12/31/17 |
9/19/07 | 21,672,018 | 27,154,804 | 5,482,786 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts.,
Series 113, 9%, 4/26/11 |
12/8/08 | 6,046,892 | 7,089,995 | 1,043,103 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2A, 8.315%, 5/22/15 |
5/21/08 | 353,295 | 307,067 | (46,228 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2B, 8.315%, 5/22/15 |
6/12/08 | 617,992 | 537,220 | (80,772 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2C, 8.315%, 5/22/15 |
6/18/08 | 9,377,660 | 8,099,979 | (1,277,681 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2D, 8.315%, 5/22/15 |
7/8/08 | 682,820 | 590,315 | (92,505 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2E, 8.315%, 5/22/15 |
7/15/08 | 496,911 | 428,875 | (68,036 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2F, 8.315%, 5/22/15 |
8/8/08 | 321,793 | 273,901 | (47,892 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2G, 8.315%, 5/22/15 |
8/22/08 | 59,373 | 50,441 | (8,932 | ) | |||||||||||
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl.
C2, 11.96%, 4/15/11 |
4/9/99 | 15,000,000 | 150 | (14,999,850 | ) | |||||||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg.
Obligations, Series 1997-CF2, Cl. B30C, 6.99%, 10/15/30 |
6/27/01 | 20,734,773 | 5,159,636 | (15,575,137 | ) | |||||||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/15 |
2/2/11 | 2,709,678 | 2,709,160 | (518 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.653%, 4/30/12 |
4/17/07 | 15,010,645 | 13,810,500 | (1,200,145 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.103%, 4/30/12 |
9/17/07 | 17,347,206 | 16,810,500 | (536,706 | ) | |||||||||||
Embarcadero Aircraft Securitization Trust, Airplane
Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25 |
8/17/00 | 2,730,094 | | (2,730,094 | ) | |||||||||||
Financing of Infrastructural Projects State Enterprise
Gtd. Nts., 8.375%, 11/3/17 |
10/29/10 | 7,664,576 | 7,975,800 | 311,224 | ||||||||||||
GMAC Mortgage Servicer Advance Funding Ltd.,
Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23 |
3/11/11 | 2,159,976 | 2,171,297 | 11,321 | ||||||||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized
Bond Obligations, Series 1A, Cl. D,12.54%, 6/13/11 |
6/8/99-12/31/04 | 3,846,847 | | (3,846,847 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of)
Credit Linked Nts., 10.479%, 2/8/37 |
1/18/07 | 21,424,361 | 4,862,909 | (16,561,452 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.51%,12/20/17 |
12/13/07-10/23/09 | 22,857,509 | 22,140,000 | (717,509 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.878%, 8/2/10 |
4/18/08-10/1/08 | 19,017,779 | 2,327,181 | (16,690,598 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.91%, 9/17/13 |
10/23/08 | 32,832,757 | 33,236,676 | 403,919 | ||||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.,
Series 2007-1A, Cl. B, 2.165%, 8/15/22 |
11/6/07 | 18,583,636 | 14,070,000 | (4,513,636 | ) |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.,
Series 2007-1A, Cl. C, 3.465%, 8/15/22 |
6/8/07 | $ | 17,780,000 | $ | 11,379,200 | $ | (6,400,800 | ) | ||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.,
Series 2007-1A, Cl. D, 5.465%, 8/15/22 |
6/8/07 | 17,780,000 | 10,668,000 | (7,112,000 | ) | |||||||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/18 |
7/20/10 | 3,550,000 | 3,940,500 | 390,500 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit
Linked Nts., 11%, 7/28/20 |
8/24/10 | 3,397,110 | 3,054,976 | (342,134 | ) | |||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked
Bonds, 6.70%, 2/8/13 |
3/1/11 | 5,234,792 | 5,339,097 | 104,305 | ||||||||||||
JPMorgan Chase Bank NA, Russian Federation Credit Linked
Bonds, Series 2, 7.15%, 1/25/13 |
2/28/11 | 6,430,784 | 6,589,242 | 158,458 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX,
Cl. A2S2, 5.187%, 1/1/49 |
7/14/10 | 5,544,813 | 5,671,566 | 126,753 | ||||||||||||
JPMorgan Hipotecaria su Casita, 7.812% Sec. Nts., 8/26/35 |
3/21/07 | 1,834,690 | 1,741,518 | (93,172 | ) | |||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital
Management LLC Credit Linked Nts., 7.55%, 5/24/12 |
6/20/07 | 6,891,638 | 4,324,564 | (2,567,074 | ) | |||||||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations,
Series 2A, Cl. C1, 2.71%, 3/24/14 |
2/23/01 | 3,209,935 | 86,114 | (3,123,821 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts.,
10%, 11/17/16 |
10/20/06 | 3,387,746 | 4,553,887 | 1,166,141 | ||||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States
Credit Linked Nts., 5.64%, 11/20/15 |
11/3/05 | 300,000 | 272,588 | (27,412 | ) | |||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through
Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 |
8/10/10 | 4,377,854 | 402,761 | (3,975,093 | ) | |||||||||||
Newport Television LLC/NTV Finance Corp., 13.509%
Sr. Nts., 3/15/17 |
11/1/10-3/15/11 | 9,449,955 | 10,304,093 | 854,138 | ||||||||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/04 |
6/30/09 | 4,987,533 | | (4,987,533 | ) | |||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 |
3/6/98 | 10,532,095 | | (10,532,095 | ) | |||||||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts.,10.875%,1/26/21 |
1/19/11 | 6,116,155 | 5,817,218 | (298,937 | ) | |||||||||||
Real Time Data Co., 11% Nts., 5/31/09 |
6/30/99-5/31/01 | 6,781,954 | | (6,781,954 | ) | |||||||||||
Salisbury International Investments Ltd., 4.453% Sec.
Nts., Series 2006-003, Tranche E, 7/22/11 |
7/12/06 | 5,200,000 | 4,925,960 | (274,040 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 |
2/4/11 | 908,801 | 909,406 | 605 | ||||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 |
4/28/10-9/23/10 | 9,592,909 | 10,340,513 | 747,604 | ||||||||||||
Standard Charter Bank, Kenya (Republic of) Credit Linked
Bonds, 11.441%, 9/1/11 |
3/3/11 | 959,610 | 967,482 | 7,872 | ||||||||||||
Standard Charter Bank, Kenya (Republic of) Credit
Linked Bonds, 11.44%, 9/8/11 |
3/8/11 | 4,497,322 | 4,530,433 | 33,111 | ||||||||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance,
Inc., 10.625% Sr. Sec. Nts., 9/1/17 |
8/13/10-12/31/10 | 19,913,261 | 22,733,760 | 2,820,499 |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts.,
14.47%, 12/28/11 |
12/22/06 | $ | 5,253,425 | $ | 3,232,593 | $ | (2,020,832 | ) | ||||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13 |
9/30/10-10/6/10 | 8,662,766 | 8,705,700 | 42,934 | ||||||||||||
$ | 510,178,896 | $ | 367,095,470 | $ | (143,083,426 | ) | ||||||||||
5. | When-issued security or delayed delivery to be delivered and settled after March 31, 2011. See Note 1 of the accompanying Notes. | |
6. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $43,853,854 or 0.49% of the Funds net assets as of March 31, 2011. | |
7. | The current amortization rate of the securitys cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
8. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $40,314,411. See Note 5 of the accompanying Notes. | |
9. | All or a portion of the security position is held in collateral accounts to cover the Funds obligations under certain derivative contracts. The aggregate market value of such securities is $10,583,343. See Note 5 of the accompanying Notes. | |
10. | Zero coupon bond reflects effective yield on the date of purchase. | |
11. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
12. | Interest or dividend is paid-in-kind, when applicable. | |
13. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
14. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
15. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Principal | Principal | |||||||||||||||
Amount/Shares | Gross | Gross | Amount/Shares | |||||||||||||
September 30, 2010 | Additions | Reductions | March 31, 2011 | |||||||||||||
American Media Operations, Inc.a |
| 535,548 | b | | 535,548 | |||||||||||
American Media Operations, Inc. |
| 535,548 | c | 535,548 | b | | ||||||||||
American Media Operations, Inc., 13.50% |
||||||||||||||||
2nd Lien Nts., 6/15/18 |
| 2,371 | c | 2,371 | | |||||||||||
American Media Operations, Inc.,
9% Sr. Unsec. Nts., 5/1/13 |
2,261 | 101 | 2,362 | c | | |||||||||||
American Media Operations, Inc.,
9.17% Sr. Sub. Nts., 11/1/13 |
21,831,214 | | 21,831,214 | c | | |||||||||||
Arco Capital Corp. Ltd. |
2,494,716 | | | 2,494,716 | ||||||||||||
Greektown Holdings LLC, Preferred Stock |
109,250 | | 109,250 | c | | |||||||||||
Greektown Superholdings, Inc. |
8,267 | | | 8,267 | ||||||||||||
Greektown Superholdings, Inc., Series A-1 |
| 109,250 | c | | 109,250 |
Principal | Principal | |||||||||||||||
Amount/Shares | Gross | Gross | Amount/Shares | |||||||||||||
September 30, 2010 | Additions | Reductions | March 31, 2011 | |||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
415,669,338 | 988,548,336 | 1,152,736,025 | 251,481,649 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
3,292,391 | 12,836,880 | 269,457 | 15,859,814 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
105,623,787 | | 3,701,657 | 101,922,130 |
Realized | ||||||||||||
Value | Income | Gain (Loss) | ||||||||||
American Media Operations, Inc.a |
$ | | d | $ | | $ | | |||||
American Media Operations, Inc. |
| | | |||||||||
American Media Operations, Inc., 13.50% 2nd Lien Nts., 6/15/18 |
| 30 | 177 | |||||||||
American Media Operations, Inc., 9% Sr. Unsec. Nts., 5/1/13 |
| 54 | | |||||||||
American Media Operations, Inc., 9.17% Sr. Sub. Nts., 11/1/13 |
| 601,083 | | |||||||||
Arco Capital Corp. Ltd. |
4,989,432 | | | |||||||||
Greektown Holdings LLC, Preferred Stock |
| | | |||||||||
Greektown Superholdings, Inc. |
816,945 | | | |||||||||
Greektown Superholdings, Inc., Series A-1 |
11,605,628 | | | |||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
251,481,649 | 464,758 | | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
169,556,069 | 3,301,410 | e | (920,707 | )e | |||||||
Oppenheimer Master Loan Fund, LLC |
1,212,893,505 | 52,649,707 | f | 4,165,861 | f | |||||||
$ | 1,651,343,228 | $ | 57,017,042 | $ | 3,245,331 | |||||||
a. | No longer an affiliate as of March 31, 2011. | |
b. | Due to mandatory exchange. | |
c. | All or a portion is the result of a corporate action. | |
d. | The security is no longer an affiliate, therefore, the value has been excluded from this table. | |
e. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
f. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. | |
16. | Non-income producing security. | |
17. | Interest rate is less than 0.0005%. | |
18. | Rate shown is the 7-day yield as of March 31, 2011. | |
19. | This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the original contractual interest rate. |
1) | Level 1unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 2 | ||||||||||||||||
Other | Level 3 | |||||||||||||||
Level 1 | Significant | Significant | ||||||||||||||
Unadjusted | Observable | Unobservable | ||||||||||||||
Quoted Prices | Inputs | Inputs | Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Asset-Backed Securities |
$ | | $ | 93,732,792 | $ | 36,117,381 | $ | 129,850,173 | ||||||||
Mortgage-Backed Obligations |
| 1,787,359,966 | 9,767,862 | 1,797,127,828 | ||||||||||||
U.S. Government Obligations |
| 279,103,251 | | 279,103,251 | ||||||||||||
Foreign Government Obligations |
| 1,960,095,752 | | 1,960,095,752 | ||||||||||||
Loan Participations |
| 41,290,964 | | 41,290,964 | ||||||||||||
Corporate Bonds and Notes |
| 2,791,505,632 | | 2,791,505,632 | ||||||||||||
Preferred Stocks |
| 27,323,487 | 11,605,628 | 38,929,115 | ||||||||||||
Common Stocks |
32,139,007 | 22,227,395 | 848,945 | 55,215,347 | ||||||||||||
Rights, Warrants and Certificates |
| 2,133,875 | 1,125 | 2,135,000 | ||||||||||||
Structured Securities |
| 547,723,477 | 5,749,445 | 553,472,922 | ||||||||||||
Options Purchased |
| 5,386 | | 5,386 | ||||||||||||
Investment Companies |
1,638,138,604 | | | 1,638,138,604 | ||||||||||||
Total Investments, at Value |
1,670,277,611 | 7,552,501,977 | 64,090,386 | 9,286,869,974 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
| 15,493,626 | | 15,493,626 | ||||||||||||
Depreciated swaps, at value |
| 252,846 | | 252,846 | ||||||||||||
Futures margins |
937,599 | | | 937,599 | ||||||||||||
Foreign currency exchange contracts |
| 55,202,456 | | 55,202,456 | ||||||||||||
Total Assets |
$ | 1,671,215,210 | $ | 7,623,450,905 | $ | 64,090,386 | $ | 9,358,756,501 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
$ | | $ | (6,735,648 | ) | $ | | $ | (6,735,648 | ) | ||||||
Depreciated swaps, at value |
| (24,919,452 | ) | | (24,919,452 | ) | ||||||||||
Appreciated options written, at value |
| (64,855 | ) | | (64,855 | ) | ||||||||||
Futures margins |
(1,580,356 | ) | | | (1,580,356 | ) | ||||||||||
Foreign currency exchange contracts |
| (12,116,296 | ) | | (12,116,296 | ) | ||||||||||
Total Liabilities |
$ | (1,580,356 | ) | $ | (43,836,251 | ) | $ | | $ | (45,416,607 | ) | |||||
Transfers out of Level 2* | Transfers into Level 3* | |||||||
Assets Table |
||||||||
Investments, at Value: |
||||||||
Asset-Backed Securities |
$ | (150 | ) | $ | 150 | |||
Mortgaged-Backed Obligations |
(10,622,814 | ) | 10,622,814 | |||||
Total Assets |
$ | (10,622,964 | ) | $ | 10,622,964 | |||
* | Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. |
Change in | Accretion/ | Transfers | ||||||||||||||||||||||||||
Value as of | Realized | unrealized | (amortization) | Net | in and/ | Value as of | ||||||||||||||||||||||
September 30, | gain | appreciation | of premium/ | purchases | or out of | March 31, | ||||||||||||||||||||||
2010 | (loss) | (depreciation) | discount1 | (sales) | Level 3 | 2011 | ||||||||||||||||||||||
Assets Table |
||||||||||||||||||||||||||||
Investments, at Value: |
||||||||||||||||||||||||||||
Asset Backed Securities |
$ | 27,067,631 | $ | | $ | 8,988,449 | $ | 61,151 | $ | | $ | 150 | $ | 36,117,381 | ||||||||||||||
Mortgage-Backed
Obligations |
| | (306,639 | ) | (548,313 | ) | | 10,622,814 | 9,767,862 | |||||||||||||||||||
Foreign Government
Obligations |
11,895,689 | | | | | (11,895,689 | ) | | ||||||||||||||||||||
Corporate Bonds
and Notes |
1,124 | (15,984,897 | ) | 15,983,773 | | | | | ||||||||||||||||||||
Preferred Stocks |
11,580,500 | (15,761,480 | ) | 15,786,608 | | | | 11,605,628 | ||||||||||||||||||||
Common Stocks |
5,767,297 | (243,381 | ) | 328,695 | | | (5,003,666 | ) | 848,945 | |||||||||||||||||||
Rights, Warrants,
and Certificates |
40 | (30,592 | ) | 31,677 | | | | 1,125 | ||||||||||||||||||||
Structured Securities |
7,158,320 | | (13,433,660 | ) | (4,678,867 | ) | 4,807,963 | 11,895,689 | 5,749,445 | |||||||||||||||||||
Total Assets |
$ | 63,470,601 | $ | (32,020,350 | ) | $ | 27,378,903 | $ | (5,166,029 | ) | $ | 4,807,963 | $ | 5,619,298 | $ | 64,090,386 | ||||||||||||
Liabilities Table |
||||||||||||||||||||||||||||
Other Financial Instruments: |
||||||||||||||||||||||||||||
TALF loans, at value |
$ | (553,713,724 | ) | $ | | $ | 82,115 | $ | | $ | 553,631,609 | $ | | $ | | |||||||||||||
Total Liabilities |
$ | (553,713,724 | ) | $ | | $ | 82,115 | $ | | $ | 553,631,609 | $ | | $ | | |||||||||||||
1. | Included in net investment income. |
Geographic Holdings | Value | Percent | ||||||
United States |
$ | 5,752,965,792 | 62.0 | % | ||||
Brazil |
455,366,720 | 4.9 | ||||||
Mexico |
294,544,823 | 3.2 | ||||||
Russia |
271,644,452 | 2.9 | ||||||
Japan |
234,947,790 | 2.5 | ||||||
South Africa |
189,132,751 | 2.0 | ||||||
Indonesia |
185,450,655 | 2.0 | ||||||
Turkey |
163,453,553 | 1.8 | ||||||
Poland |
143,530,539 | 1.6 | ||||||
Korea, Republic of South |
122,387,600 | 1.3 | ||||||
Colombia |
115,240,552 | 1.3 | ||||||
Ukraine |
105,829,668 | 1.1 | ||||||
Argentina |
99,291,479 | 1.1 | ||||||
Canada |
96,300,219 | 1.0 | ||||||
Venezuela |
86,619,931 | 0.9 | ||||||
Supranational |
75,988,724 | 0.8 | ||||||
Hungary |
75,336,003 | 0.8 |
Geographic Holdings | Value | Percent | ||||||
Kazakhstan |
$ | 74,296,533 | 0.8 | % | ||||
Peru |
71,519,056 | 0.8 | ||||||
Germany |
66,487,328 | 0.7 | ||||||
Philippines |
55,993,991 | 0.6 | ||||||
India |
55,177,180 | 0.6 | ||||||
United Kingdom |
50,575,290 | 0.6 | ||||||
Italy |
47,500,786 | 0.5 | ||||||
Malaysia |
39,074,621 | 0.4 | ||||||
Uruguay |
34,999,450 | 0.4 | ||||||
The Netherlands |
31,689,393 | 0.3 | ||||||
Australia |
23,610,862 | 0.3 | ||||||
Panama |
22,079,886 | 0.2 | ||||||
Spain |
21,817,947 | 0.2 | ||||||
Greece |
20,301,418 | 0.2 | ||||||
Dominican Republic |
20,214,331 | 0.2 | ||||||
Israel |
18,792,744 | 0.2 | ||||||
Ghana |
18,589,550 | 0.2 | ||||||
France |
17,160,571 | 0.2 | ||||||
Chile |
16,620,099 | 0.2 | ||||||
Luxembourg |
16,405,799 | 0.2 | ||||||
Belgium |
11,157,417 | 0.1 | ||||||
Trinidad & Tobago |
10,701,825 | 0.1 | ||||||
Cayman Islands |
10,516,225 | 0.1 | ||||||
Qatar |
9,240,005 | 0.1 | ||||||
China |
8,353,136 | 0.1 | ||||||
Costa Rica |
7,542,714 | 0.1 | ||||||
Austria |
7,287,993 | 0.1 | ||||||
Nigeria |
6,768,000 | 0.1 | ||||||
Sri Lanka |
4,975,475 | 0.1 | ||||||
Norway |
4,078,707 | 0.1 | ||||||
Denmark |
3,540,052 | | ||||||
Sweden |
2,842,372 | | ||||||
Egypt |
2,834,055 | | ||||||
Finland |
2,511,249 | | ||||||
Ivory Coast |
2,057,738 | | ||||||
Belize |
1,524,925 | | ||||||
Total |
$ | 9,286,869,974 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: |
||||||||||||||||||||||||
Argentine Peso (ARP) |
Buy | 123,870 | ARP | 4/28/11-6/29/11 | $ | 30,255,285 | $ | | $ | 40,513 | ||||||||||||||
Australian Dollar (AUD) |
Sell | 18,050 | AUD | 4/15/11 | 18,635,592 | | 601,837 | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 1,970 | CAD | 5/24/11 | 2,029,547 | 29,270 | | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 7,380 | CAD | 5/24/11 | 7,603,075 | | 99,164 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 164,500 | CNY | 6/7/11 | 25,208,687 | 870,290 | | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 38,750 | CNY | 5/24/11 | 5,933,425 | | 9,254 | |||||||||||||||||
Euro (EUR) |
Sell | 11,170 | EUR | 4/6/11 | 15,828,301 | | 543,385 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 27,012,000 | IDR | 5/18/11-6/1/11 | 3,075,469 | 59,783 | 3,706 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 8,574,000 | IDR | 5/18/11-6/1/11 | 975,138 | | 12,243 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 56,925 | TRY | 4/25/11 | 36,709,561 | 635,187 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 28,575 | TRY | 4/1/11 | 18,506,525 | | 554,247 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 420,005 | PLZ | 5/9/11 | 147,407,284 | 1,594,998 | | |||||||||||||||||
South African Rand (ZAR) |
Sell | 125,400 | ZAR | 4/4/11 | 18,526,072 | | 631,470 | |||||||||||||||||
South Korean Won (KRW) |
Sell | 28,654,000 | KRW | 5/3/11 | 26,069,381 | | 565,153 | |||||||||||||||||
3,189,528 | 3,060,972 | |||||||||||||||||||||||
Bank Paribas Asia FGN |
||||||||||||||||||||||||
South African Rand (ZAR) |
Buy | 18,120 | ZAR | 5/24/11 | 2,656,800 | 45,458 | | |||||||||||||||||
Barclays Capital: |
||||||||||||||||||||||||
Colombian Peso (COP) |
Sell | 4,806,000 | COP | 7/5/11 | 2,581,533 | | 35,982 | |||||||||||||||||
Euro (EUR) |
Buy | 15,080 | EUR | 4/27/11-5/24/11 | 21,358,147 | 656,657 | | |||||||||||||||||
Euro (EUR) |
Sell | 3,135 | EUR | 4/11/11 | 4,442,001 | | 169,623 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 2,912,000 | HUF | 4/11/11 | 15,500,183 | 213,393 | | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 1,113,000 | JPY | 4/7/11 | 13,381,146 | | 127,775 | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,343,000 | JPY | 4/27/11 | 16,148,154 | 211,022 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 37,800 | MXN | 5/24/11 | 3,161,578 | 47,966 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 12,300 | MXN | 5/24/11 | 1,028,768 | | 12,246 | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 378,350 | RUR | 4/29/11 | 13,275,822 | 251,725 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 1,166,800 | ZAR | 4/4/11-5/9/11 | 171,588,686 | 11,957,259 | | |||||||||||||||||
South African Rand (ZAR) |
Sell | 40,660 | ZAR | 4/6/11 | 6,005,234 | | 470,748 | |||||||||||||||||
South Korean Won (KRW) |
Sell | 24,173,000 | KRW | 5/2/11-5/11/11 | 21,988,429 | | 323,669 | |||||||||||||||||
13,338,022 | 1,140,043 | |||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 6,220 | AUD | 5/24/11 | 6,388,980 | 156,340 | | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 890 | AUD | 5/24/11 | 914,179 | | 23,504 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 4,806,000 | COP | 7/5/11 | 2,581,533 | 31,931 | | |||||||||||||||||
Euro (EUR) |
Buy | 80,535 | EUR | 4/7/11-6/22/11 | 114,039,400 | 1,315,542 | | |||||||||||||||||
Euro (EUR) |
Sell | 1,600 | EUR | 5/10/11 | 2,265,776 | | 89,977 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 809,000 | INR | 5/24/11 | 17,954,536 | 184,080 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 197,000 | IDR | 6/1/11 | 22,381 | 119 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 89,000 | IDR | 6/1/11 | 10,111 | | 54 | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 740,000 | JPY | 4/27/11 | 8,897,717 | 104,826 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 532,000 | TWD | 5/24/11 | 18,112,428 | 19,815 | | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 30,885 | TRY | 4/1/11-6/14/11 | 19,983,277 | 40,429 | |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Citigroup: (Continued) |
||||||||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 28,575 | TRY | 6/1/11 | $ | 18,309,155 | $ | 2,284 | $ | | ||||||||||||||
New Zealand Dollar (NZD) |
Buy | 4,960 | NZD | 5/24/11 | 3,770,633 | 122,581 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 14,430 | ZAR | 5/24/11 | 2,115,763 | 116,414 | | |||||||||||||||||
South African Rand (ZAR) |
Sell | 14,750 | ZAR | 5/24/11 | 2,162,682 | | 53,142 | |||||||||||||||||
2,094,361 | 166,677 | |||||||||||||||||||||||
Citigroup EM: |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Buy | 1,249,000 | CLP | 6/30/11 | 2,591,007 | 14,155 | | |||||||||||||||||
Chilean Peso (CLP) |
Sell | 1,125,000 | CLP | 6/1/11 | 2,341,053 | 5,782 | 18,334 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 24,955,969 | COP | 4/5/11 | 13,341,886 | 137,669 | | |||||||||||||||||
Colombian Peso (COP) |
Sell | 22,802,815 | COP | 4/1/11-4/18/11 | 12,187,858 | | 115,413 | |||||||||||||||||
Egyptian Pounds (EGP) |
Buy | 36,550 | EGP | 5/5/11 | 6,046,720 | | 55,014 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 1,236,000 | IDR | 6/1/11 | 140,422 | 1,592 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 1,238,000 | IDR | 6/1/11 | 140,649 | | 1,078 | |||||||||||||||||
159,198 | 189,839 | |||||||||||||||||||||||
Credit Suisse: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 5,580 | GBP | 6/22/11 | 8,940,985 | | 52,301 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 70,835 | MYR | 7/5/11 | 23,232,392 | | 140,328 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 268,980 | TRY | 4/11/11-5/9/11 | 173,218,031 | 4,447,220 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 69,335 | TRY | 4/4/11-4/11/11 | 44,851,496 | | 1,643,151 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 16,100 | SEK | 5/24/11 | 2,543,349 | 10,392 | 123 | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 12,600 | SEK | 5/24/11 | 1,990,447 | | 24,315 | |||||||||||||||||
4,457,612 | 1,860,218 | |||||||||||||||||||||||
Deutsche Bank Capital Corp.: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 2,254 | AUD | 4/7/11 | 2,329,420 | 53,389 | | |||||||||||||||||
British Pound Sterling (GBP) |
Buy | 5,610 | GBP | 4/7/11 | 8,998,908 | | 128,304 | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 1,060 | GBP | 5/24/11 | 1,699,235 | 21,314 | | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 8,900 | CAD | 4/7/11 | 9,178,577 | 49,079 | | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 195,530 | CNY | 1/6/12 | 30,280,266 | | 69,229 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 195,570 | CNY | 4/11/11-6/20/11 | 29,973,617 | | 33,161 | |||||||||||||||||
Euro (EUR) |
Buy | 11,950 | EUR | 4/27/11 | 16,927,041 | 591,033 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,341,000 | JPY | 4/27/11 | 16,124,106 | 240,349 | | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 52,600 | PLZ | 4/15/11 | 18,499,824 | 461,354 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 52,600 | PLZ | 4/26/11 | 18,482,289 | | 19,412 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 10,260 | CHF | 4/7/11-5/24/11 | 11,173,742 | 244,483 | 14,385 | |||||||||||||||||
Swiss Franc (CHF) |
Sell | 6,770 | CHF | 5/24/11 | 7,373,427 | | 195,997 | |||||||||||||||||
1,661,001 | 460,488 | |||||||||||||||||||||||
Deutsche Bank EM: |
||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 3,510 | CNY | 4/11/11 | 536,316 | | 1,255 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 208,580 | MYR | 4/18/11 | 68,785,001 | 661,674 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 106,300 | MXN | 4/19/11 | 8,921,045 | | 237,114 | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 517,610 | RUR | 4/11/11-6/2/11 | 18,181,847 | 557,722 | | |||||||||||||||||
1,219,396 | 238,369 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Goldman Sachs EM: |
||||||||||||||||||||||||
Brazilian Real (BRR) |
Buy | 38,600 | BRR | 5/3/11 | $ | 23,490,650 | $ | 350,551 | $ | | ||||||||||||||
Brazilian Real (BRR) |
Sell | 146,770 | BRR | 5/3/11 | 89,319,242 | | 1,332,910 | |||||||||||||||||
Chilean Peso (CLP) |
Buy | 746,000 | CLP | 6/1/11 | 1,552,378 | | 7,475 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 172,620 | CNY | 2/16/12 | 26,785,809 | 3,171 | 30,437 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 1,740,000 | HUF | 4/11/11 | 9,261,785 | 31,750 | | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 68,910 | MYR | 4/18/11 | 22,724,971 | 112,994 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 740,945 | MXN | 4/18/11-4/19/11 | 62,186,872 | 1,110,939 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 290,910 | MXN | 4/18/11 | 24,416,411 | | 398,082 | |||||||||||||||||
1,609,405 | 1,768,904 | |||||||||||||||||||||||
Goldman, Sachs & Co.: |
||||||||||||||||||||||||
Euro (EUR) |
Buy | 107,645 | EUR | 5/9/11 | 152,440,376 | 6,241,243 | | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 2,947,000 | HUF | 4/11/11 | 15,686,483 | 387,803 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 314,000 | JPY | 5/24/11 | 3,776,195 | 48,552 | 1,608 | |||||||||||||||||
6,677,598 | 1,608 | Hong Kong
& Shanghai Bank Corp. |
||||||||||||||||||||||
New Turkish Lira (TRY) |
Buy | 5,980 | TRY | 4/4/11 | 3,870,280 | 43,790 | | |||||||||||||||||
HSBC EM: |
||||||||||||||||||||||||
Brazilian Real (BRR) |
Sell | 83,680 | BRR | 5/3/11 | 50,924,809 | | 729,859 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 46,480 | TRY | 4/4/11 | 30,082,041 | 1,424,824 | | |||||||||||||||||
1,424,824 | 729,859 | |||||||||||||||||||||||
JP Morgan Chase: |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Sell | 1,397,000 | CLP | 6/1/11 | 2,907,068 | | 24,079 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 79,250 | CNY | 5/24/11 | 12,134,811 | | 19,853 | |||||||||||||||||
Czech Koruna (CZK) |
Sell | 300,715 | CZK | 5/18/11 | 17,361,226 | 17,506 | 71,814 | |||||||||||||||||
Euro (EUR) |
Buy | 8,960 | EUR | 4/27/11 | 12,691,740 | 438,492 | | |||||||||||||||||
Indian Rupee (INR) |
Buy | 42,250 | INR | 4/11/11 | 945,460 | 25,084 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,007,000 | JPY | 4/27/11 | 12,108,110 | 177,128 | | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 5,130 | MYR | 5/10/11 | 1,689,095 | | 14,813 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 83,520 | MXN | 4/18/11 | 7,009,930 | 109,367 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 17,050 | TWD | 4/11/11 | 579,934 | 1,993 | | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 42,200 | TRY | 4/11/11 | 27,279,260 | 755,588 | | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 3,460 | NZD | 5/24/11 | 2,630,321 | | 99,943 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 892,890 | NOK | 5/9/11-5/24/11 | 161,111,528 | 7,142,273 | | |||||||||||||||||
Norwegian Krone (NOK) |
Sell | 12,600 | NOK | 5/24/11 | 2,271,456 | | 79,182 | |||||||||||||||||
Philippines Peso (PHP) |
Sell | 782,000 | PHP | 6/1/11 | 17,966,412 | 43,722 | | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 24,905 | SGD | 4/25/11-5/10/11 | 19,758,737 | 37,981 | 7,003 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 22,775 | SGD | 4/25/11 | 18,068,824 | | 45,595 | |||||||||||||||||
8,749,134 | 362,282 | |||||||||||||||||||||||
JP Morgan EM: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 18,050 | AUD | 4/15/11 | 18,635,592 | 546,243 | | |||||||||||||||||
Chilean Peso (CLP) |
Buy | 1,279,000 | CLP | 6/1/11 | 2,661,517 | 16,496 | |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
JP Morgan EM: (Continued) |
||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 413,690 | CNY | 6/20/11-2/17/12 | $ | 64,046,368 | $ | 258,486 | $ | 190,185 | ||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 22,930 | CNY | 6/7/11 | 3,513,892 | 4,059 | | |||||||||||||||||
Czech Koruna (CZK) |
Buy | 300,715 | CZK | 5/18/11 | 17,361,226 | 196,540 | | |||||||||||||||||
Egyptian Pounds (EGP) |
Buy | 66,550 | EGP | 6/6/11 | 10,855,931 | | 71,820 | |||||||||||||||||
Hong Kong Dollar (HKD) |
Sell | 140,200 | HKD | 5/24/11 | 18,032,642 | | 43,753 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 23,610 | INR | 4/11/11 | 528,339 | 9,893 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 153,081,000 | IDR | 4/18/11 | 17,529,765 | 463,878 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 17,050 | TWD | 4/11/11 | 579,934 | | 3,336 | |||||||||||||||||
Philippines Peso (PHP) |
Buy | 1,385,000 | PHP | 5/2/11 | 31,860,202 | 94,147 | | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 5,310 | PLZ | 4/4/11 | 1,869,338 | | 5,993 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 61,705 | PLZ | 6/6/11 | 21,602,627 | 72,588 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 380,360 | RUR | 4/25/11 | 13,350,700 | 291,129 | | |||||||||||||||||
South Korean Won (KRW) |
Sell | 28,672,000 | KRW | 5/2/11 | 26,087,678 | | 163,628 | |||||||||||||||||
1,953,459 | 478,715 | |||||||||||||||||||||||
Nomura Securities: |
||||||||||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 83,590 | CNY | 2/19/13 | 13,187,567 | | 43,933 | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 4,218,000 | JPY | 6/22/11 | 50,737,225 | 886,448 | | |||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 3,280 | NZD | 5/24/11 | 2,493,483 | 22,632 | | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 7,910 | NZD | 5/24/11 | 6,013,247 | | 88,199 | |||||||||||||||||
909,080 | 132,132 | |||||||||||||||||||||||
RBS Greenwich Capital: |
||||||||||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,457,000 | JPY | 4/25/11 | 17,518,687 | 477,855 | | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 999,140 | SEK | 5/9/11 | 157,979,647 | 3,672,311 | | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 2,185 | CHF | 5/10/11 | 2,379,500 | 110,549 | | |||||||||||||||||
4,260,715 | | |||||||||||||||||||||||
Santander EM |
||||||||||||||||||||||||
Colombian Peso (COP) |
Sell | 34,597,000 | COP | 4/15/11 | 18,515,968 | 75,233 | 12,643 | |||||||||||||||||
Standard Chartered Bank EM |
||||||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 78,455 | MYR | 4/5/11 | 25,894,800 | | 74,987 | |||||||||||||||||
Standard NY EM |
||||||||||||||||||||||||
South African Rand (ZAR) |
Sell | 156,800 | ZAR | 4/6/11 | 23,158,404 | | 1,350,511 | |||||||||||||||||
State Street: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 530 | GBP | 5/24/11 | 849,618 | | 18,284 | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 1,470 | GBP | 5/24/11 | 2,356,487 | 18,140 | | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 11,395,000 | HUF | 4/11/11 | 60,654,047 | 3,286,076 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 5,310 | PLZ | 4/4/11 | 1,869,338 | | 69,765 | |||||||||||||||||
South African Rand (ZAR) |
Buy | 5,470 | ZAR | 6/1/11 | 801,022 | 30,426 | | |||||||||||||||||
3,334,642 | 88,049 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 55,202,456 | $ | 12,116,296 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index |
Buy | 60 | 6/17/11 | $ | 15,047,405 | $ | (3,007 | ) | ||||||||||||
Euro-Bundesobligation |
Buy | 243 | 6/8/11 | 41,766,163 | (31,979 | ) | ||||||||||||||
Japan (Government of) Bonds,10 yr. |
Buy | 10 | 6/9/11 | 16,776,869 | 123,926 | |||||||||||||||
Japan (Government of)
Mini Bonds, 10 yr. |
Buy | 157 | 6/8/11 | 26,343,460 | (17,327 | ) | ||||||||||||||
NASDAQ 100 E-Mini Index |
Buy | 664 | 6/17/11 | 31,025,400 | 1,041,584 | |||||||||||||||
New Financial Times Stock
Exchange 100 Index |
Sell | 226 | 6/17/11 | 21,334,333 | (1,043,824 | ) | ||||||||||||||
NIKKEI 225 Index |
Sell | 185 | 6/9/11 | 21,707,141 | 1,732,929 | |||||||||||||||
NIKKEI 225 Index |
Sell | 53 | 6/9/11 | 3,096,658 | (356,067 | ) | ||||||||||||||
Standard & Poors 500 E-Mini Index |
Sell | 1,511 | 6/17/11 | 99,801,550 | (5,079,544 | ) | ||||||||||||||
U.S. Treasury Long Bonds, 30 yr. |
Buy | 4,458 | 6/21/11 | 535,795,875 | 1,566,610 | |||||||||||||||
U.S. Treasury Nts., 2 yr. |
Buy | 398 | 6/30/11 | 86,813,750 | 39,927 | |||||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 1,617 | 6/30/11 | 352,708,125 | (52,747 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Buy | 79 | 6/30/11 | 9,226,336 | 51,482 | |||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 2,040 | 6/30/11 | 238,249,689 | (204,921 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 6,763 | 6/21/11 | 805,008,344 | 1,501,459 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 1,471 | 6/21/11 | 175,094,969 | 353,500 | |||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 184 | 6/21/11 | 22,735,500 | 100,412 | |||||||||||||||
United Kingdom Long Gilt |
Sell | 28 | 6/28/11 | 5,263,026 | 6,939 | |||||||||||||||
$ | (270,648 | ) | ||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Unrealized | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | Appreciation | |||||||||||||||||||||
Japanese Yen (JPY) |
Call | 524,000,000 | $ | 83 | 4/6/11 | $ | 40,563 | $ | (38,063 | ) | $ | 2,500 | ||||||||||||||||
Japanese Yen (JPY) |
Put | 524,000,000 | 83 | 4/6/11 | 40,563 | (26,792 | ) | 13,771 | ||||||||||||||||||||
$ | 81,126 | $ | (64,855 | ) | $ | 16,271 | ||||||||||||||||||||||
Pay/ | Upfront | |||||||||||||||||||||||||||
Reference | Buy/Sell | Notional | Receive | Payment | Unrealized | |||||||||||||||||||||||
Entity/Swap | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Alcoa, Inc. |
||||||||||||||||||||||||||||
Morgan Stanley Capital |
||||||||||||||||||||||||||||
Services, Inc. |
Sell | $ | 17,940 | 1.00 | % | 3/20/16 | $ | 561,315 | $ | (560,618 | ) | $ | 697 | |||||||||||||||
Total | 17,940 | 561,315 | (560,618 | ) | 697 | |||||||||||||||||||||||
American International Group, Inc. |
||||||||||||||||||||||||||||
JPMorgan Chase
Bank NA, NY Branch |
Sell | 17,950 | 1.00 | 3/20/16 | 702,457 | (639,198 | ) | 63,259 | ||||||||||||||||||||
Total | 17,950 | 702,457 | (639,198 | ) | 63,259 |
Pay/ | Upfront | |||||||||||||||||||||||||||
Reference | Buy/Sell | Notional | Receive | Payment | Unrealized | |||||||||||||||||||||||
Entity/Swap | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Amgen, Inc. |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | $ | 17,940 | 1.00 | % | 3/20/16 | $ | 514,399 | $ | (481,385 | ) | $ | 33,014 | |||||||||||||||
Total | 17,940 | 514,399 | (481,385 | ) | 33,014 | |||||||||||||||||||||||
Bristol-Myers Squibb Co. |
||||||||||||||||||||||||||||
Citibank NA, New York |
Buy | 18,070 | 1.00 | 3/20/16 | 588,626 | (555,211 | ) | 33,415 | ||||||||||||||||||||
Total | 18,070 | 588,626 | (555,211 | ) | 33,415 | |||||||||||||||||||||||
Campbell Soup Co. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 17,950 | 1.00 | 3/20/16 | 471,262 | (189,724 | ) | 281,538 | ||||||||||||||||||||
Total | 17,950 | 471,262 | (189,724 | ) | 281,538 | |||||||||||||||||||||||
CBS Corp. |
||||||||||||||||||||||||||||
Barclays Bank plc |
Sell | 18,070 | 1.00 | 3/20/16 | (147,333 | ) | 114,546 | (32,787 | ) | |||||||||||||||||||
Total | 18,070 | (147,333 | ) | 114,546 | (32,787 | ) | ||||||||||||||||||||||
CDX
Emerging Markets Index, Series 15: |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 39,475 | 5.00 | 6/20/16 | 5,334,608 | (5,658,354 | ) | (323,746 | ) | |||||||||||||||||||
Merrill Lynch International |
Buy | 40,265 | 5.00 | 6/20/16 | 5,433,314 | (5,771,593 | ) | (338,279 | ) | |||||||||||||||||||
Total | 79,740 | 10,767,922 | (11,429,947 | ) | (662,025 | ) | ||||||||||||||||||||||
CDX North America High
Yield Index, Series 15: |
||||||||||||||||||||||||||||
Credit Suisse International |
Sell | 19,750 | 5.00 | 12/20/15 | (747,483 | ) | 982,103 | 234,620 | ||||||||||||||||||||
JPMorgan Chase Bank NA,
NY Branch |
Sell | 19,750 | 5.00 | 12/20/15 | (735,139 | ) | 982,103 | 246,964 | ||||||||||||||||||||
JPMorgan Chase Bank NA,
NY Branch |
Sell | 23,700 | 5.00 | 12/20/15 | (896,979 | ) | 1,178,524 | 281,545 | ||||||||||||||||||||
UBS AG |
Sell | 23,700 | 5.00 | 12/20/15 | (899,444 | ) | 1,178,524 | 279,080 | ||||||||||||||||||||
Total | 86,900 | (3,279,045 | ) | 4,321,254 | 1,042,209 | |||||||||||||||||||||||
Cisco Systems, Inc. |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 17,950 | 1.00 | 3/20/16 | 430,403 | (420,888 | ) | 9,515 | ||||||||||||||||||||
Total | 17,950 | 430,403 | (420,888 | ) | 9,515 | |||||||||||||||||||||||
Federative Republic of Brazil: |
||||||||||||||||||||||||||||
Barclays Bank plc |
Sell | 7,360 | 1.00 | 3/20/16 | 33,519 | (48,763 | ) | (15,244 | ) | |||||||||||||||||||
Credit Suisse International |
Sell | 6,485 | 1.00 | 6/20/16 | 44,366 | (44,707 | ) | (341 | ) | |||||||||||||||||||
Total | 13,845 | 77,885 | (93,470 | ) | (15,585 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for
Finansbank AS |
||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Sell | 15,590 | 1.30 | 3/24/13 | | (919,396 | ) | (919,396 | ) | |||||||||||||||||||
Total | 15,590 | | (919,396 | ) | (919,396 | ) | ||||||||||||||||||||||
Petroleos de Venezuela SA |
||||||||||||||||||||||||||||
Barclays Bank plc |
Sell | 15,535 | 5.00 | 7/20/11 | 401,620 | (109,427 | ) | 292,193 | ||||||||||||||||||||
Total | 15,535 | 401,620 | (109,427 | ) | 292,193 | |||||||||||||||||||||||
Republic of Hungary: |
||||||||||||||||||||||||||||
Barclays Bank plc |
Sell | 4,670 | 1.00 | 3/20/16 | 393,087 | (351,734 | ) | 41,353 | ||||||||||||||||||||
Barclays Bank plc |
Sell | 8,970 | 1.00 | 6/20/16 | 723,370 | (701,778 | ) | 21,592 |
Pay/ | Upfront | |||||||||||||||||||||||||||
Reference | Buy/Sell | Notional | Receive | Payment | Unrealized | |||||||||||||||||||||||
Entity/Swap | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Republic of Hungary: Continued |
||||||||||||||||||||||||||||
HSBC Bank USA |
Sell | $ | 7,800 | 1.00 | % | 3/20/16 | $ | 680,114 | $ | (587,479 | ) | $ | 92,635 | |||||||||||||||
JPMorgan Chase
Bank NA, NY Branch |
Sell | 6,225 | 1.00 | 3/20/16 | 518,793 | (468,854 | ) | 49,939 | ||||||||||||||||||||
Merrill Lynch Capital Services, Inc. |
Sell | 7,800 | 1.00 | 3/20/16 | 680,114 | (587,479 | ) | 92,635 | ||||||||||||||||||||
UBS AG |
Sell | 7,810 | 1.00 | 3/20/16 | 680,076 | (588,232 | ) | 91,844 | ||||||||||||||||||||
Total | 43,275 | 3,675,554 | (3,285,556 | ) | 389,998 | |||||||||||||||||||||||
Republic of Peru |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Buy | 7,680 | 1.71 | 12/20/16 | | (219,912 | ) | (219,912 | ) | |||||||||||||||||||
Total | 7,680 | | (219,912 | ) | (219,912 | ) | ||||||||||||||||||||||
Republic of the Philippines: |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 6,390 | 1.76 | 12/20/14 | | (134,812 | ) | (134,812 | ) | |||||||||||||||||||
JPMorgan Chase
Bank NA, London Branch |
Buy | 9,590 | 1.74 | 12/20/14 | | (195,461 | ) | (195,461 | ) | |||||||||||||||||||
Total | 15,980 | | (330,273 | ) | (330,273 | ) | ||||||||||||||||||||||
SLM Corp.: |
||||||||||||||||||||||||||||
Citibank NA, New York |
Sell | 14,065 | 5.00 | 3/20/16 | (1,186,925 | ) | 1,396,570 | 209,645 | ||||||||||||||||||||
UBS AG |
Sell | 3,885 | 5.00 | 3/20/16 | (327,850 | ) | 385,757 | 57,907 | ||||||||||||||||||||
Total | 17,950 | (1,514,775 | ) | 1,782,327 | 267,552 | |||||||||||||||||||||||
State of Qatar: |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 7,335 | 1.00 | 3/20/16 | (51,413 | ) | 34,196 | (17,217 | ) | |||||||||||||||||||
HSBC Bank USA |
Buy | 14,665 | 1.00 | 3/20/16 | (95,942 | ) | 68,368 | (27,574 | ) | |||||||||||||||||||
JPMorgan Chase
Bank NA, NY Branch |
Buy | 7,335 | 1.00 | 6/20/16 | (54,461 | ) | 35,736 | (18,725 | ) | |||||||||||||||||||
Total | 29,335 | (201,816 | ) | 138,300 | (63,516 | ) | ||||||||||||||||||||||
United Mexican States: |
||||||||||||||||||||||||||||
Goldman Sachs International |
Sell | 9,365 | 1.00 | 6/20/16 | 36,575 | (37,677 | ) | (1,102 | ) | |||||||||||||||||||
HSBC Bank USA |
Sell | 7,810 | 1.00 | 3/20/16 | 8,033 | (30,241 | ) | (22,208 | ) | |||||||||||||||||||
Merrill Lynch Capital Services, Inc. |
Sell | 7,810 | 1.00 | 3/20/16 | 11,018 | (30,241 | ) | (19,223 | ) | |||||||||||||||||||
Total | 24,985 | 55,626 | (98,159 | ) | (42,533 | ) | ||||||||||||||||||||||
Valero Energy Corp. |
||||||||||||||||||||||||||||
Credit Suisse International |
Sell | 18,070 | 1.00 | 3/20/16 | 114,672 | (185,684 | ) | (71,012 | ) | |||||||||||||||||||
Total | 18,070 | 114,672 | (185,684 | ) | (71,012 | ) | ||||||||||||||||||||||
Wal-Mart Stores, Inc. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 18,070 | 1.00 | 3/20/16 | 533,198 | (493,641 | ) | 39,557 | ||||||||||||||||||||
Total | 18,070 | 533,198 | (493,641 | ) | 39,557 | |||||||||||||||||||||||
Grand Total Buys |
13,103,994 | (13,982,681 | ) | (878,687 | ) | |||||||||||||||||||||||
Grand Total Sells |
647,976 | 326,619 | 974,595 | |||||||||||||||||||||||||
Total
Credit Default Swaps |
$ | 13,751,970 | $ | (13,656,062 | ) | $ | 95,908 | |||||||||||||||||||||
Total Maximum | ||||||||||||
Type of Reference | Potential Payments | |||||||||||
Asset on which | for Selling Credit | Reference | ||||||||||
the Fund Sold | Protection | Amount | Asset Rating | |||||||||
Protection | (Undiscounted) | Recoverable* | Range** | |||||||||
Investment Grade |
||||||||||||
Corporate Debt Indexes |
$ | 86,900,000 | $ | | AA to AA- | |||||||
Investment Grade Single |
||||||||||||
Name Corporate Debt |
89,980,000 | | A- to BBB- | |||||||||
Investment Grade Sovereign Debt |
97,695,000 | | BBB to BBB- | |||||||||
Non-Investment Grade Sovereign Debt |
15,535,000 | | BB- | |||||||||
Total |
$ | 290,110,000 | $ | | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Notional | ||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
BZDI: |
||||||||||||||
Banco Santander SA, Inc.
|
22,500 BRR | BZDI | 12.320 | % | 1/2/17 | $ | 142,168 | |||||||
Goldman Sachs Group, Inc. (The)
|
40,510 BRR | BZDI | 11.390 | 1/5/15 | (382,205 | ) | ||||||||
Goldman Sachs Group, Inc. (The)
|
47,000 BRR | BZDI | 12.800 | 1/2/17 | 1,513,247 | |||||||||
Goldman Sachs Group, Inc. (The)
|
37,860 BRR | BZDI | 11.420 | 1/3/14 | (301,758 | ) | ||||||||
JPMorgan Chase Bank NA
|
41,300 BRR | BZDI | 13.900 | 1/2/17 | 2,113,835 | |||||||||
Morgan Stanley
|
21,800 BRR | BZDI | 12.300 | 1/2/17 | 137,224 | |||||||||
Total
|
210,970 BRR | 3,222,511 | ||||||||||||
MXN TIIE BANXICO: |
||||||||||||||
Bank of America Merrill Lynch
|
333,500 MXN | MXN TIIE BANXICO |
5.875 | 12/6/12 | (35,888 | ) | ||||||||
Bank of America Merrill Lynch
|
840,000 MXN | MXN TIIE BANXICO |
5.735 | 11/29/12 | (130,516 | ) | ||||||||
Bank of America Merrill Lynch
|
513,500 MXN | MXN TIIE BANXICO |
5.750 | 12/5/12 | (71,167 | ) | ||||||||
Barclays Bank plc
|
323,200 MXN | MXN TIIE BANXICO |
5.630 | 1/21/13 | (27,196 | ) | ||||||||
Citibank NA
|
322,500 MXN | MXN TIIE BANXICO |
5.640 | 1/16/13 | (27,835 | ) | ||||||||
Deutsche Bank AG
|
674,000 MXN | MXN TIIE BANXICO |
5.890 | 1/10/13 | (62,264 | ) | ||||||||
Goldman Sachs Group, Inc. (The)
|
824,500 MXN | MXN TIIE BANXICO |
5.880 | 12/14/12 | (81,711 | ) | ||||||||
Total
|
3,831,200 MXN | (436,577 | ) |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
Six-Month AUD BBR BBSW |
||||||||||||||||||||
Westpac Banking Corp |
43,990 AUD | 6.098 | % | Six-Month AUD BBR BBSW | 1/5/21 | $ | (437,594 | ) | ||||||||||||
Six-Month CZK PRIBOR PRBO: |
||||||||||||||||||||
Barclays Bank plc |
695,700 CZK | 3.200 | Six-Month CZK PRIBOR PRBO | 12/21/15 | 211,607 | |||||||||||||||
Morgan Stanley |
660,000 CZK | 3.060 | Six-Month CZK PRIBOR PRBO | 12/16/15 | 294,298 | |||||||||||||||
Total |
1,355,700 CZK | 505,905 | ||||||||||||||||||
Six-Month EUR EURIBOR: |
||||||||||||||||||||
Barclays Bank plc |
27,050 EUR | Six-Month EUR EURIBOR | 3.580 | % | 2/21/15 | (95,815 | ) | |||||||||||||
Morgan Stanley |
26,300 EUR | Six-Month EUR EURIBOR | 3.410 | 12/16/15 | (203,168 | ) | ||||||||||||||
Total |
53,350 EUR | (298,983 | ) | |||||||||||||||||
Six-Month GBP BBA LIBOR |
||||||||||||||||||||
Barclays Bank plc |
28,965 GBP | Six-Month GBP BBA LIBOR | 3.605 | 1/4/21 | (547,189 | ) | ||||||||||||||
Six-Month JPY BBA LIBOR |
||||||||||||||||||||
JPMorgan Chase Bank NA |
3,714,000 JPY | 1.233 | Six-Month JPY BBA LIBOR | 1/7/21 | 169,090 | |||||||||||||||
Three-Month USD BBA LIBOR |
||||||||||||||||||||
Barclays Bank plc |
44,800 | Three-Month USD BBA LIBOR | 3.371 | 1/6/21 | (533,578 | ) | ||||||||||||||
Three-Month ZAR JIBAR SAFEX: |
||||||||||||||||||||
Barclays Bank plc |
170,930 ZAR | 7.040 | Three-Month ZAR JIBAR SAFEX | 1/21/14 | 3,916 | |||||||||||||||
Barclays Bank plc |
169,280 ZAR | 7.050 | Three-Month ZAR JIBAR SAFEX | 1/24/14 | 3,879 | |||||||||||||||
Total where Fund pays a fixed rate |
340,210 ZAR | 7,795 | ||||||||||||||||||
Barclays Bank plc |
66,880 ZAR | Three-Month ZAR JIBAR SAFEX | 8.350 | 1/24/21 | (74,810 | ) | ||||||||||||||
Barclays Bank plc |
67,440 ZAR | Three-Month ZAR JIBAR SAFEX | 8.310 | 1/21/21 | (74,917 | ) | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
543,310 ZAR | Three-Month ZAR JIBAR SAFEX | 8.700 | 3/11/14 | 4,738 | |||||||||||||||
JPMorgan Chase Bank NA |
548,950 ZAR | Three-Month ZAR JIBAR SAFEX | 8.480 | 3/1/14 | 4,625 | |||||||||||||||
JPMorgan Chase Bank NA |
548,640 ZAR | Three-Month ZAR JIBAR SAFEX | 8.390 | 3/2/14 | 4,542 | |||||||||||||||
JPMorgan Chase Bank NA |
429,560 ZAR | Three-Month ZAR JIBAR SAFEX | 8.650 | 3/4/14 | 3,746 | |||||||||||||||
Total where Fund pays a variable rate |
2,204,780 ZAR | (132,076 | ) | |||||||||||||||||
Total |
2,544,990 ZAR | (124,281 | ) | |||||||||||||||||
Total Interest Rate Swaps |
$ | 1,519,304 | ||||||||||||||||||
AUD | Australian Dollar |
|||||||
BRR | Brazilian Real |
|||||||
CZK | Czech Koruna |
|||||||
EUR | Euro |
|||||||
GBP | British Pound Sterling |
|||||||
JPY | Japanese Yen |
|||||||
MXN | Mexican Nuevo Peso |
|||||||
ZAR | South African Rand |
BANIXCO
|
Banco de Mexico | |
BBA LIBOR
|
British Bankers Association London-Interbank Offered Rate | |
BBR BBSW
|
Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI
|
Brazil Interbank Deposit Rate | |
EURIBOR
|
Euro Interbank Offered Rate | |
JIBAR
|
South Africa Johannesburg Interbank Agreed Rate | |
PRIBOR PRBO
|
Prague Interbank Offering Rate | |
SAFEX
|
South African Futures Exchange | |
TIIE
|
Interbank Equilibrium Interest Rate |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
Custom Basket
of Securities: |
||||||||||||||
Citibank NA
|
4,644 CHF | One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | $ | 84,169 | ||||||||
Citibank NA
|
10,417 EUR | One-Month EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 233,437 | |||||||||
Citibank NA
|
7,952 GBP | One-Month GBP BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | (178,442 | ) | ||||||||
Citibank NA
|
18,090 SEK | One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/11/12 | 110,599 | |||||||||
Citibank NA
|
740 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 16,625 | |||||||||
Citibank NA, New York
|
2,184,472 JPY | One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/14/11 | (2,332,542 | ) | ||||||||
Goldman Sachs Group,
Inc. (The)
|
91,537 | One-Month USD BBA LIBOR plus 18 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 9/9/11 | (257,930 | ) |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
Custom Basket
of Securities: Continued |
||||||||||||||
Morgan Stanley
|
16,560 | GBP | One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/16/12 | $ | (695,892 | ) | ||||||
Reference Entity Total | (3,019,976 | ) | ||||||||||||
Custom Basket of
securities replicating
STATOIL ASA
ordinary shares |
||||||||||||||
Citibank NA
|
3,993 | NOK | One-Month NOK NIBOR plus 30 basis points and if negative, the value of the Total Return of a custom basket of securities replicating STATOIL ASA ordinary shares | If positive, the Total Return of a custom basket of securities replicating STATOILASA ordinary shares | 1/12/12 | 26,635 | ||||||||
MSCI Daily TR Gross EAFE USD Index: |
||||||||||||||
Citibank NA
|
6,813 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 171,790 | |||||||||
Citibank NA
|
8,094 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 15 basis points and if negative, the Total Return of the MSCI Daily Gross EAFE USD Index | 1/9/12 | 189,502 | |||||||||
Goldman Sachs Group,
Inc. (The)
|
320 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 5/11/11 | 6,209 | |||||||||
Goldman Sachs Group,
Inc. (The)
|
5,977 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | 113,616 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Gross EAFE USD Index: Continued |
||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
$ | 852 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | $ | 14,781 | |||||||
Morgan Stanley
|
9,426 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 153,646 | |||||||||
UBS AG
|
13,787 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/11 | 338,667 | |||||||||
Reference Entity Total | 988,211 | |||||||||||||
MSCI Daily TR Net Italy USD Index |
||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
9,140 | One-Month USD BBA LIBOR minus 25 basis points and if negative, the absolute value of the MSCI Daily Net Italy USD Index | If positive, the absolute value of the Total Return of the MSCI Daily Net Italy USD Index | 3/6/12 | 41,730 | |||||||||
S&P 500 Growth Index |
||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
22,926 | If positive, the Total Return of the S&P 500 Growth Index | One-Month USD BBA LIBOR plus 6 basis points and if negative, the absolute value of the Total Return of the S&P 500 Growth Index | 3/9/12 | (2,595 | ) | ||||||||
Consumer Staples Select Sector Index: |
||||||||||||||
Morgan Stanley
|
391 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 9/14/11 | 8,292 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
Consumer Staples Select Sector Index: Continued |
||||||||||||||
Morgan Stanley
|
$ | 7,205 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 3/6/12 | $ | 116,666 | |||||||
Reference Entity Total | 124,958 | |||||||||||||
Energy Select Sector Index |
||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
7,463 | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the Energy Select Sector Index | If positive, the Total Return of the Energy Select Sector Index | 2/8/12 | 121,322 | |||||||||
S&P SMALLCAP 600 Index |
||||||||||||||
UBS AG
|
22,562 | One-Month USD BBA LIBOR minus 13 basis points and if negative, the absolute value of the Total Return of the S&P SMALLCAP 600 Index | If positive, the Total Return of the S&P SMALLCAP 600 Index | 2/9/12 | 1,080,172 | |||||||||
MSCI Daily TR Gross Europe EURO Index: |
||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
24,041 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/12/12 | 597,883 | ||||||||
Goldman Sachs Group,
Inc. (The)
|
913 EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EURIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/12/12 | 22,487 | |||||||||
Citibank NA
|
1,241 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe EURO Index | One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe EURO Index | 1/6/12 | 27,393 | ||||||||
Reference Entity Total | 647,763 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net Belgium USD Index |
||||||||||||||
Nomura International
|
$ | 9,124 | One-Month USD BBA LIBOR minus 37 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Belgium USD Index | If positive, the Total Return of the MSCI Daily Net Belgium USD Index | 3/6/12 | $ | 84,597 | |||||||
MSCI Daily TR Net Netherlands USD Index |
||||||||||||||
Deutsche Bank AG
|
9,028 | One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the MSCI Daily Net Netherlands USD Index | If positive, the Total Return of the MSCI Daily Net Netherlands USD Index | 3/6/12 | 176,026 | |||||||||
MSCI Daily TR Net Spain USD Index |
||||||||||||||
Nomura International
|
8,974 | One-Month USD BBA LIBOR minus 33 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the Total Return of the MSCI Daily Net Spain USD Index | 3/6/12 | 317,600 | |||||||||
MSCI Daily TR Net France USD Index |
||||||||||||||
Citibank NA
|
8,348 | One-Month USD BBA LIBOR minus 57 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net France USD Index | If positive, the Total Return of the MSCI Daily Net France USD Index | 1/9/12 | (6,262 | ) | ||||||||
Health Care Select Sector Index |
||||||||||||||
UBS AG
|
7,485 | One-Month USD BBA LIBOR plus 8 basis points and if negative, the absolute value of the Total Return of the Health Care Select Sector Index | If positive, the Total Return of the Health Care Select Sector Index | 11/4/11 | 182,923 | |||||||||
Total of Total Return Swaps | $ | 763,104 |
CHF
|
Swiss Franc | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
JPY
|
Japanese Yen | |
NOK
|
Norwegian Krone | |
SEK
|
Swedish Krona |
BBA LIBOR
|
British Bankers Association London-Interbank Offered Rate | |
EAFE
|
Europe, Australasia, Far East | |
EURIBOR
|
Euro Interbank Offered Rate | |
LIBOR
|
London-Interbank Offered Rate | |
MSCI
|
Morgan Stanley Capital International | |
NIBOR
|
Norwegian Interbank Offered Rate | |
S&P
|
Standard & Poors | |
STIBOR SIDE
|
Stockholm Interbank Offered Rate | |
TR
|
Total Return |
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||
Swap Counterparty | Amount (000s) | the Fund | the Fund | Date | Value | |||||||
Each of JSC Rushydro
(Open Joint Stock
Company, Federal
Hydrogeneration
Company) and OJSC
Saratovskaya HPP and
any Successor(s) to
these Reference
Entities |
||||||||||||
Morgan Stanley
Capital Services, Inc.
|
980,430 RUR | Three-Month USD BBA LIBOR |
7.75% from debt obligations of JSC Rushydro and OJSC Saratovskaya HPP | 12/26/13 | $ | (3,258,543 | ) |
RUR | Russian Ruble |
BBA LIBOR | British Bankers Association London-Interbank Offered Rate |
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | Amount (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
AUD/CAD Spot Exchange Rate |
||||||||||||||||||||
Citibank NA |
47 | AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the Observation Period | 9.15 | % | 4/7/11 | $ | 16,923 | ||||||||||||
AUD/JPY Spot Exchange Rate: |
||||||||||||||||||||
Citibank NA |
47 | AUD | The Historic Volatility of the mid AUD/JPY spot exchange rate during the Observation Period | 9.75 | 4/11/11 | (592,846 | ) | |||||||||||||
Credit Suisse International |
47 | AUD | The Historic Volatility of the mid AUD/JPY spot exchange rate during the Observation Period | 9.50 | 4/11/11 | (633,985 | ) | |||||||||||||
Reference Entity Total | (1,226,831 | ) | ||||||||||||||||||
AUD/USD Spot Exchange Rate |
||||||||||||||||||||
JPMorgan Chase Bank NA |
47 | The Historic Volatility of the mid AUD/USD spot exchange rate during the Observation Period | 9.75 | 4/11/11 | (107,649 | ) | ||||||||||||||
CHF/JPY Spot Exchange Rate: |
||||||||||||||||||||
Barclays Bank plc |
43 | CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.55 | 4/18/11 | (45,033 | ) | |||||||||||||
Deutsche Bank AG |
42 | CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 14.10 | 4/26/11 | 71,740 | ||||||||||||||
JPMorgan Chase Bank NA |
43 | CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.15 | 4/18/11 | (52,214 | ) | |||||||||||||
Reference Entity Total | (25,507 | ) | ||||||||||||||||||
GBP/NZD Spot Exchange Rate: |
||||||||||||||||||||
Bank of America Merrill Lynch |
29 | GBP | The Historic Volatility of the mid GBP/NZD spot exchange rate during the Observation Period | 10.70 | 4/28/11 | 37,197 |
Notional | ||||||||||||||||
Reference Entity/ Swap Counterparty |
Amount (000s) | Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
GBP/NZD Spot Exchange Rate: Continued |
||||||||||||||||
Bank of America Merrill Lynch
|
29 | GPB | 11.00 | % | The Historic Volatility of the mid GBP/NZD spot exchange rate during the Observation Period | 4/28/11 | $ | (48,427 | ) | |||||||
Reference Entity Total | (11,230 | ) | ||||||||||||||
GBP/SEK Spot Exchange Rate: |
||||||||||||||||
Citibank NA
|
29 | GPB | The Historic Volatility of the mid GBP/SEK spot exchange rate during the Observation Period | 8.75 | % | 4/14/11 | (45,595 | ) | ||||||||
Credit Suisse International
|
30 | GPB | The Historic Volatility of the mid GBP/SEK spot exchange rate during the Observation Period | 8.90 | 4/15/11 | (37,900 | ) | |||||||||
Deutsche Bank AG
|
29 | GPB | The Historic Volatility of the mid GBP/SEK spot exchange rate during the Observation Period | 8.60 | 4/18/11 | (63,914 | ) | |||||||||
Reference Entity Total | (147,409 | ) | ||||||||||||||
NZD/CHF Spot Exchange Rate |
||||||||||||||||
Credit Suisse International
|
64 | NZD | 12.50 | The Historic Volatility of the mid NZD/CHF spot exchange rate during the Observation Period | 4/8/11 | 279,181 | ||||||||||
NZD/JPY Spot Exchange Rate: |
||||||||||||||||
Bank of America Merrill Lynch
|
62 | NZD | 12.85 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/28/11 | 50,872 | ||||||||||
Bank of America Merrill Lynch
|
64 | NZD | 14.80 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/26/11 | (38,135 | ) | |||||||||
Barclays Bank plc
|
63 | NZD | 13.10 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/28/11 | 32,256 |
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | Amount (000s) | the Fund | the Fund | Date | Value | |||||||||
NZD/JPY Spot Exchange Rate: Continued |
||||||||||||||
Citibank NA
|
64 | NZD | 16.25 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/26/11 | $ | (113,913 | ) | ||||||
Citibank NA
|
64 | NZD | 15.05 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/26/11 | (43,183 | ) | |||||||
Deutsche Bank AG
|
64 | NZD | 13.75 | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 4/26/11 | 58,194 | ||||||||
Reference Entity Total | (53,909 | ) | ||||||||||||
Total Volatility Swaps | $ | (1,276,431 | ) | |||||||||||
AUD
|
Australian Dollar | |
CAD
|
Canadian Dollar | |
CHF
|
Swiss Franc | |
GBP
|
British Pound Sterling | |
JPY
|
Japanese Yen | |
NZD
|
New Zealand Dollar | |
SEK
|
Swedish Krona |
Notional | ||||||||||||||
Swap Type from | Amount | |||||||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||||||
Banco Santander SA, Inc. |
Interest Rate | 22,500 | BRR | $ | 142,168 | |||||||||
Bank of America Merrill Lynch: |
||||||||||||||
Interest Rate | 1,687,000 | MXN | (237,571 | ) | ||||||||||
Volatility | 58 | GBP | (11,230 | ) | ||||||||||
Volatility | 126 | NZD | 12,737 | |||||||||||
(236,064 | ) | |||||||||||||
Barclays Bank plc: |
||||||||||||||
Credit Default Buy Protection | 89,090 | (6,661,243 | ) | |||||||||||
Credit Default Sell Protection | 54,605 | (1,097,156 | ) | |||||||||||
Interest Rate | 695,700 | CZK | 211,607 | |||||||||||
Interest Rate | 27,050 | EUR | (95,815 | ) | ||||||||||
Interest Rate | 28,965 | GBP | (547,189 | ) | ||||||||||
Interest Rate | 323,200 | MXN | (27,196 | ) | ||||||||||
Interest Rate | 44,800 | (533,578 | ) |
Swap Summary: Continued |
Notional | ||||||||||||||
Swap Type from | Amount | |||||||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||||||
Barclays Bank plc: Continued |
||||||||||||||
Interest Rate | 474,530 | ZAR | $ | (141,932 | ) | |||||||||
Volatility | 43 | CHF | (45,033 | ) | ||||||||||
Volatility | 63 | NZD | 32,256 | |||||||||||
(8,905,279 | ) | |||||||||||||
Citibank NA: |
||||||||||||||
Interest Rate | 322,500 | MXN | (27,835 | ) | ||||||||||
Total Return | 4,644 | CHF | 84,169 | |||||||||||
Total Return | 11,658 | EUR | 260,830 | |||||||||||
Total Return | 7,952 | GBP | (178,442 | ) | ||||||||||
Total Return | 3,993 | NOK | 26,635 | |||||||||||
Total Return | 18,090 | SEK | 110,599 | |||||||||||
Total Return | 23,995 | 371,655 | ||||||||||||
Volatility | 94 | AUD | (575,923 | ) | ||||||||||
Volatility | 29 | GBP | (45,595 | ) | ||||||||||
Volatility | 128 | NZD | (157,096 | ) | ||||||||||
(131,003 | ) | |||||||||||||
Citibank NA, New York: |
||||||||||||||
Credit Default Buy Protection | 18,070 | (555,211 | ) | |||||||||||
Credit Default Sell Protection | 14,065 | 1,396,570 | ||||||||||||
Total Return | 2,184,472 | JPY | (2,332,542 | ) | ||||||||||
(1,491,183 | ) | |||||||||||||
Credit Suisse International: |
||||||||||||||
Credit Default Buy Protection | 36,020 | (683,365 | ) | |||||||||||
Credit Default Sell Protection | 44,305 | 751,712 | ||||||||||||
Volatility | 47 | AUD | (633,985 | ) | ||||||||||
Volatility | 30 | GBP | (37,900 | ) | ||||||||||
Volatility | 64 | NZD | 279,181 | |||||||||||
(324,357 | ) | |||||||||||||
Deutsche Bank AG: |
||||||||||||||
Credit Default Buy Protection | 7,680 | (219,912 | ) | |||||||||||
Interest Rate | 674,000 | MXN | (62,264 | ) | ||||||||||
Total Return | 9,028 | 176,026 | ||||||||||||
Volatility | 42 | CHF | 71,740 | |||||||||||
Volatility | 29 | GBP | (63,914 | ) | ||||||||||
Volatility | 64 | NZD | 58,194 | |||||||||||
(40,130 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The): |
||||||||||||||
Interest Rate | 125,370 | BRR | 829,284 | |||||||||||
Interest Rate | 824,500 | MXN | (81,711 | ) | ||||||||||
Interest Rate | 543,310 | ZAR | 4,738 | |||||||||||
Total Return | 24,954 | EUR | 620,370 | |||||||||||
Total Return | 138,215 | 37,133 | ||||||||||||
1,409,814 | ||||||||||||||
Goldman Sachs International |
Credit Default Sell Protection | 9,365 | (37,677 | ) |
Notional | ||||||||||||||
Swap Type from | Amount | |||||||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||||||
HSBC Bank USA: |
||||||||||||||
Credit Default Buy Protection | $ | 14,665 | $ | 68,368 | ||||||||||
Credit Default Sell Protection | 15,610 | (617,720 | ) | |||||||||||
(549,352 | ) | |||||||||||||
JPMorgan Chase Bank NA: |
||||||||||||||
Interest Rate | 41,300 | BRR | 2,113,835 | |||||||||||
Interest Rate | 3,714,000 | JPY | 169,090 | |||||||||||
Interest Rate | 1,527,150 | ZAR | 12,913 | |||||||||||
Volatility | 43 | CHF | (52,214 | ) | ||||||||||
Volatility | 47 | (107,649 | ) | |||||||||||
2,135,975 | ||||||||||||||
JPMorgan Chase Bank NA, London Branch |
Credit Default Buy Protection | 9,590 | (195,461 | ) | ||||||||||
JPMorgan Chase Bank NA, NY Branch: |
||||||||||||||
Credit Default Buy Protection | 7,335 | 35,736 | ||||||||||||
Credit Default Sell Protection | 67,625 | 1,052,575 | ||||||||||||
1,088,311 | ||||||||||||||
Merrill Lynch Capital Services, Inc. |
Credit Default Sell Protection | 15,610 | (617,720 | ) | ||||||||||
Merrill Lynch International |
Credit Default Buy Protection | 40,265 | (5,771,593 | ) | ||||||||||
Morgan Stanley: |
||||||||||||||
Interest Rate | 21,800 | BRR | 137,224 | |||||||||||
Interest Rate | 660,000 | CZK | 294,298 | |||||||||||
Interest Rate | 26,300 | EUR | (203,168 | ) | ||||||||||
Total Return | 16,560 | GBP | (695,892 | ) | ||||||||||
Total Return | 17,022 | 278,604 | ||||||||||||
(188,934 | ) | |||||||||||||
Morgan Stanley Capital Services, Inc.: |
||||||||||||||
Credit Default Sell Protection | 33,530 | (1,480,014 | ) | |||||||||||
Currency | 980,430 | RUR | (3,258,543 | ) | ||||||||||
(4,738,557 | ) | |||||||||||||
Nomura International |
Total Return | 18,098 | 402,197 | |||||||||||
UBS AG: |
||||||||||||||
Credit Default Sell Protection | 35,395 | 976,049 | ||||||||||||
Total Return | 43,834 | 1,601,762 | ||||||||||||
2,577,811 | ||||||||||||||
Westpac Banking Corp. |
Interest Rate | 43,990 | AUD | (437,594 | ) | |||||||||
Total Swaps | $ | (15,908,628 | ) | |||||||||||
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CHF
|
Swiss Franc | |
CZK
|
Czech Koruna | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
JPY
|
Japanese Yen | |
MXN | Mexican Nuevo Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
ZAR | South African Rand | |
March 31, 2011 | ||||
Assets |
||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $7,498,424,759) |
$ | 7,635,526,746 | ||
Affiliated companies (cost $1,663,699,549) |
1,651,343,228 | |||
9,286,869,974 | ||||
Cashforeign currencies (cost $3,788,769) |
3,779,424 | |||
Unrealized appreciation on foreign currency exchange contracts |
55,202,456 | |||
Appreciated swaps, at value (upfront payments paid $4,793,820) |
15,493,626 | |||
Depreciated swaps, at value (upfront payments paid $349,149) |
252,846 | |||
Receivables and other assets: |
||||
Interest, dividends and principal paydowns |
120,963,643 | |||
Investments sold (including $30,035,303 sold on a when-issued or delayed delivery basis) |
79,321,567 | |||
Shares of beneficial interest sold |
10,111,286 | |||
Closed foreign currency contracts |
5,196,569 | |||
Futures margins |
937,599 | |||
Other |
246,889 | |||
Total assets |
9,578,375,879 | |||
Liabilities |
||||
Appreciated options written, at value (premiums received $81,126) |
64,855 | |||
Unrealized depreciation on foreign currency exchange contracts |
12,116,296 | |||
Appreciated swaps, at value (upfront payments received $7,878,834) |
6,735,648 | |||
Depreciated swaps, at value (upfront payments received $11,016,105) |
24,919,452 | |||
Payables and other liabilities: |
||||
Investments purchased (including $382,792,099 purchased on a
when-issued or delayed delivery basis) |
461,489,507 | |||
Shares of beneficial interest redeemed |
16,131,681 | |||
Closed foreign currency contracts |
12,951,728 | |||
Dividends |
5,966,583 | |||
Distribution and service plan fees |
5,104,221 | |||
Futures margins |
1,580,356 | |||
Transfer and shareholder servicing agent fees |
1,032,644 | |||
Shareholder communications |
400,636 | |||
Trustees compensation |
143,318 | |||
Foreign capital gains tax |
140,550 | |||
Other |
980,764 | |||
Total liabilities |
549,758,239 | |||
Net Assets |
$ | 9,028,617,640 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 2,084,143 | ||
Additional paid-in capital |
9,699,976,897 | |||
Accumulated net investment loss |
(35,623,979 | ) | ||
Accumulated net realized loss on investments and foreign currency transactions |
(803,809,181 | ) | ||
Net unrealized appreciation on investments and translation of assets
and liabilities denominated in foreign currencies |
165,989,760 | |||
Net Assets |
$ | 9,028,617,640 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of
$6,279,454,006 and 1,449,165,942 shares of beneficial interest outstanding) |
$ | 4.33 | ||
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) |
$ | 4.55 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$324,647,306 and 74,666,386 shares of beneficial interest outstanding) |
$ | 4.35 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$1,452,978,152 and 335,996,499 shares of beneficial interest outstanding) |
$ | 4.32 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of
$240,987,819 and 55,578,358 shares of beneficial interest outstanding) |
$ | 4.34 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net
assets of $730,550,357 and 168,736,212 shares of beneficial interest outstanding) |
$ | 4.33 |
For the Six Months Ended March 31, 2011 |
||||
Allocation of Income and Expenses from Master Funds1 |
||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: |
||||
Interest |
$ | 3,298,419 | ||
Dividends |
2,991 | |||
Expenses2 |
(214,165 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC |
3,087,245 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: |
||||
Interest |
52,376,568 | |||
Dividends (net of foreign withholding taxes of $78,578) |
273,139 | |||
Expenses3 |
(1,986,240 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC |
50,663,467 | |||
Total allocation of net investment income from master funds |
53,750,712 | |||
Investment Income |
||||
Interest: |
||||
Unaffiliated companies (net of foreign withholding taxes of $415,857) |
259,799,401 | |||
Affiliated companies |
601,167 | |||
Fee income on when-issued securities |
3,151,239 | |||
Dividends: |
||||
Unaffiliated companies |
890,498 | |||
Affiliated companies |
464,758 | |||
Total investment income |
264,907,063 | |||
Expenses |
||||
Management fees |
23,005,523 | |||
Distribution and service plan fees: |
||||
Class A |
7,704,789 | |||
Class B |
1,652,159 | |||
Class C |
7,221,542 | |||
Class N |
585,506 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
4,033,968 | |||
Class B |
458,524 | |||
Class C |
949,113 | |||
Class N |
345,891 | |||
Class Y |
555,425 | |||
Shareholder communications: |
||||
Class A |
324,655 | |||
Class B |
44,354 | |||
Class C |
72,593 | |||
Class N |
8,743 | |||
Class Y |
27,905 | |||
Custodian fees and expenses |
449,218 | |||
Interest expense on borrowings |
277,708 | |||
Trustees compensation |
83,778 | |||
Administration service fees |
750 |
Other |
$ | 352,162 | ||
Total expenses |
48,154,306 | |||
Less waivers and reimbursements of expenses |
(2,211,308 | ) | ||
Net expenses |
45,942,998 | |||
Net Investment Income |
272,714,777 | |||
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments: |
||||
Unaffiliated companies (Including premiums on options exercised) |
46,466,372 | |||
Affiliated companies |
177 | |||
Closing and expiration of option contracts written |
3,314,967 | |||
Closing and expiration of futures contracts |
(67,048,460 | ) | ||
Foreign currency transactions |
(30,537,055 | ) | ||
Swap contracts |
37,966,509 | |||
Net realized gain (loss) allocated from: |
||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
(920,707 | ) | ||
Oppenheimer Master Loan Fund, LLC |
4,165,861 | |||
Total net realized loss |
(6,592,336 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investments |
(20,445,284 | ) | ||
Translation of assets and liabilities denominated in foreign currencies |
70,222,852 | |||
Futures contracts |
(9,604,002 | ) | ||
Option contracts written |
(669,699 | ) | ||
Swap contracts |
(18,976,443 | ) | ||
Unfunded purchase agreements |
(66,760 | ) | ||
Net change in unrealized appreciation/deprecation allocated from: |
||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
(10,707,672 | ) | ||
Oppenheimer Master Loan Fund, LLC |
24,010,147 | |||
Total net change in unrealized appreciation/depreciation |
33,763,139 | |||
Net Increase in Net Assets Resulting from Operations |
$ | 299,885,580 | ||
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. | |
2. | Net of expense waivers and/or reimbursements of $1,409. | |
3. | Net of expense waivers and/or reimbursements of $32,554. |
Six Months | Year | |||||||
Ended | Ended | |||||||
March 31, 2011 | September 30, | |||||||
(Unaudited) | 2010 | |||||||
Operations |
||||||||
Net investment income |
$ | 272,714,777 | $ | 570,790,598 | ||||
Net realized gain (loss) |
(6,592,336 | ) | 568,262,557 | |||||
Net change in unrealized appreciation/depreciation |
33,763,139 | 256,995,596 | ||||||
Net increase in net assets resulting from operations |
299,885,580 | 1,396,048,751 | ||||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(190,102,676 | ) | (408,567,488 | ) | ||||
Class B |
(8,455,133 | ) | (19,254,456 | ) | ||||
Class C |
(38,162,729 | ) | (79,800,650 | ) | ||||
Class N |
(6,582,554 | ) | (12,774,553 | ) | ||||
Class Y |
(21,611,221 | ) | (37,803,494 | ) | ||||
(264,914,313 | ) | (558,200,641 | ) | |||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from beneficial
interest transactions: |
||||||||
Class A |
(113,252,237 | ) | (248,824,485 | ) | ||||
Class B |
(18,649,682 | ) | (43,564,941 | ) | ||||
Class C |
(1,481,046 | ) | 23,353,598 | |||||
Class N |
9,546,868 | 23,205,215 | ||||||
Class Y |
61,862,760 | 320,327,686 | ||||||
(61,973,337 | ) | 74,497,073 | ||||||
Net Assets |
||||||||
Total increase (decrease) |
(27,002,070 | ) | 912,345,183 | |||||
Beginning of period |
9,055,619,710 | 8,143,274,527 | ||||||
End of period (including accumulated net investment loss of
$35,623,979 and $43,424,443, respectively) |
$ | 9,028,617,640 | $ | 9,055,619,710 | ||||
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class A | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | $ | 4.34 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.13 | .28 | .24 | .24 | .23 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.01 | .40 | (.05 | ) | (.40 | ) | .23 | (.05 | ) | |||||||||||||||
Total from investment operations |
.14 | .68 | .19 | (.16 | ) | .46 | .16 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.27 | ) | (.18 | ) | (.29 | ) | (.23 | ) | (.32 | ) | ||||||||||||
Tax return of capital distribution |
| | (.06 | ) | | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.13 | ) | (.27 | ) | (.24 | ) | (.29 | ) | (.23 | ) | (.32 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.33 | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | ||||||||||||
Total Return, at Net Asset Value2 |
3.30 | % | 18.17 | % | 5.59 | % | (4.01 | )% | 11.14 | % | 3.77 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 6,279,454 | $ | 6,368,118 | $ | 6,019,723 | $ | 7,719,384 | $ | 6,430,790 | $ | 5,077,400 | ||||||||||||
Average net assets (in thousands) |
$ | 6,312,746 | $ | 6,047,257 | $ | 5,942,116 | $ | 7,560,427 | $ | 5,655,265 | $ | 4,888,392 | ||||||||||||
Ratios to average net assets:3,4 |
||||||||||||||||||||||||
Net investment income |
6.21 | % | 6.91 | % | 6.74 | % | 5.44 | % | 5.25 | % | 5.03 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
0.96 | % | 0.99 | % | 0.97 | % | 0.91 | % | 0.90 | % | 0.93 | % | ||||||||||||
Interest and fees from borrowings |
0.01 | % | 0.28 | % | 0.01 | % | | | | |||||||||||||||
Total expenses |
0.97 | %5 | 1.27 | %5 | 0.98 | %5 | 0.91 | %5 | 0.90 | %5 | 0.93 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.93 | % | 1.23 | % | 0.96 | % | 0.89 | % | 0.89 | % | 0.92 | % | ||||||||||||
Portfolio turnover rate6 |
29 | % | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended March 31, 2011 |
0.97 | % | ||
Year Ended September 30, 2010 |
1.27 | % | ||
Year Ended September 30, 2009 |
0.99 | % | ||
Year Ended September 30, 2008 |
0.92 | % | ||
Year Ended September 30, 2007 |
0.91 | % |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended March 31, 2011 |
$ | 1,904,932,098 | $ | 1,715,201,301 | ||||
Year Ended September 30, 2010 |
$ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class B | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | $ | 4.35 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.11 | .24 | .20 | .20 | .19 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.02 | .40 | (.04 | ) | (.39 | ) | .22 | (.05 | ) | |||||||||||||||
Total from investment operations |
.13 | .64 | .16 | (.19 | ) | .41 | .13 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.24 | ) | (.16 | ) | (.25 | ) | (.19 | ) | (.28 | ) | ||||||||||||
Tax return of capital distribution |
| | (.05 | ) | | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.11 | ) | (.24 | ) | (.21 | ) | (.25 | ) | (.19 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.35 | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | ||||||||||||
Total Return, at Net Asset Value2 |
3.06 | % | 16.74 | % | 4.64 | % | (4.54 | )% | 9.99 | % | 3.23 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 324,647 | $ | 342,069 | $ | 353,248 | $ | 483,485 | $ | 569,523 | $ | 718,742 | ||||||||||||
Average net assets (in thousands) |
$ | 331,588 | $ | 331,317 | $ | 355,973 | $ | 540,865 | $ | 635,237 | $ | 802,936 | ||||||||||||
Ratios to average net assets:3,4 |
||||||||||||||||||||||||
Net investment income |
5.29 | % | 5.96 | % | 5.83 | % | 4.61 | % | 4.43 | % | 4.25 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
1.88 | % | 1.93 | % | 1.89 | % | 1.73 | % | 1.71 | % | 1.71 | % | ||||||||||||
Interest and fees from borrowings |
0.01 | % | 0.28 | % | 0.01 | % | | | | |||||||||||||||
Total expenses |
1.89 | %5 | 2.21 | %5 | 1.90 | %5 | 1.73 | %5 | 1.71 | %5 | 1.71 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.85 | % | 2.17 | % | 1.88 | % | 1.71 | % | 1.70 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate6 |
29 | % | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended March 31, 2011 |
1.89 | % | ||
Year Ended September 30, 2010 |
2.21 | % | ||
Year Ended September 30, 2009 |
1.91 | % | ||
Year Ended September 30, 2008 |
1.74 | % | ||
Year Ended September 30, 2007 |
1.72 | % |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended March 31, 2011 |
$ | 1,904,932,098 | $ | 1,715,201,301 | ||||
Year Ended September 30, 2010 |
$ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class C | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | $ | 4.33 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.12 | .25 | .21 | .20 | .19 | .18 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
| 2 | .39 | (.05 | ) | (.38 | ) | .22 | (.05 | ) | ||||||||||||||
Total from investment operations |
.12 | .64 | .16 | (.18 | ) | .41 | .13 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.24 | ) | (.16 | ) | (.26 | ) | (.19 | ) | (.28 | ) | ||||||||||||
Tax return of capital distribution |
| | (.05 | ) | | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.11 | ) | (.24 | ) | (.21 | ) | (.26 | ) | (.19 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.32 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | ||||||||||||
Total Return, at Net Asset Value3 |
2.91 | % | 17.01 | % | 4.79 | % | (4.52 | )% | 10.06 | % | 3.22 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 1,452,978 | $ | 1,448,886 | $ | 1,292,721 | $ | 1,493,804 | $ | 1,086,918 | $ | 857,843 | ||||||||||||
Average net assets (in thousands) |
$ | 1,448,408 | $ | 1,330,764 | $ | 1,201,421 | $ | 1,381,340 | $ | 959,439 | $ | 814,425 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
5.46 | % | 6.15 | % | 6.00 | % | 4.68 | % | 4.49 | % | 4.27 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
1.72 | % | 1.75 | % | 1.73 | % | 1.66 | % | 1.66 | % | 1.68 | % | ||||||||||||
Interest and fees from borrowings |
0.01 | % | 0.28 | % | 0.01 | % | | | | |||||||||||||||
Total expenses |
1.73 | %6 | 2.03 | %6 | 1.74 | %6 | 1.66 | %6 | 1.66 | %6 | 1.68 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.69 | % | 1.99 | % | 1.72 | % | 1.64 | % | 1.65 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate7 |
29 | % | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Less than $0.005 per share. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
6. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended March 31, 2011 |
1.73 | % | ||
Year Ended September 30, 2010 |
2.03 | % | ||
Year Ended September 30, 2009 |
1.75 | % | ||
Year Ended September 30, 2008 |
1.67 | % | ||
Year Ended September 30, 2007 |
1.67 | % |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended March 31, 2011 |
$ | 1,904,932,098 | $ | 1,715,201,301 | ||||
Year Ended September 30, 2010 |
$ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class N | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | $ | 4.34 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.12 | .26 | .22 | .22 | .21 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.02 | .40 | (.05 | ) | (.39 | ) | .22 | (.04 | ) | |||||||||||||||
Total from investment operations |
.14 | .66 | .17 | (.17 | ) | .43 | .15 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.12 | ) | (.26 | ) | (.16 | ) | (.27 | ) | (.21 | ) | (.30 | ) | ||||||||||||
Tax return of capital distribution |
| | (.06 | ) | | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.12 | ) | (.26 | ) | (.22 | ) | (.27 | ) | (.21 | ) | (.30 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.34 | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | ||||||||||||
Total Return, at Net Asset Value2 |
3.32 | % | 17.34 | % | 5.14 | % | (4.17 | )% | 10.42 | % | 3.60 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 240,988 | $ | 230,532 | $ | 186,857 | $ | 186,353 | $ | 145,685 | $ | 108,324 | ||||||||||||
Average net assets (in thousands) |
$ | 234,905 | $ | 202,619 | $ | 164,067 | $ | 175,884 | $ | 126,935 | $ | 94,281 | ||||||||||||
Ratios to average net assets:3,4 |
||||||||||||||||||||||||
Net investment income |
5.79 | % | 6.45 | % | 6.34 | % | 5.03 | % | 4.84 | % | 4.62 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
1.38 | % | 1.44 | % | 1.47 | % | 1.32 | % | 1.32 | % | 1.33 | % | ||||||||||||
Interest and fees from borrowings |
0.01 | % | 0.28 | % | 0.01 | % | | | | |||||||||||||||
Total expenses |
1.39 | %5 | 1.72 | %5 | 1.48 | %5 | 1.32 | %5 | 1.32 | %5 | 1.33 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.35 | % | 1.68 | % | 1.39 | % | 1.30 | % | 1.31 | % | 1.33 | % | ||||||||||||
Portfolio turnover rate6 |
29 | % | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended March 31, 2011 |
1.39 | % | ||
Year Ended September 30, 2010 |
1.72 | % | ||
Year Ended September 30, 2009 |
1.49 | % | ||
Year Ended September 30, 2008 |
1.33 | % | ||
Year Ended September 30, 2007 |
1.33 | % |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended March 31, 2011 |
$ | 1,904,932,098 | $ | 1,715,201,301 | ||||
Year Ended September 30, 2010 |
$ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 31, 2011 | Year Ended September 30, | |||||||||||||||||||||||
Class Y | (Unaudited) | 2010 | 2009 | 2008 | 2007 | 2006 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | $ | 4.32 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income1 |
.14 | .29 | .24 | .25 | .24 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.01 | .39 | (.05 | ) | (.38 | ) | .22 | (.04 | ) | |||||||||||||||
Total from investment operations |
.15 | .68 | .19 | (.13 | ) | .46 | .18 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.28 | ) | (.18 | ) | (.30 | ) | (.24 | ) | (.33 | ) | ||||||||||||
Tax return of capital distribution |
| | (.06 | ) | | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.13 | ) | (.28 | ) | (.24 | ) | (.30 | ) | (.24 | ) | (.33 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.33 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | ||||||||||||
Total Return, at Net Asset Value2 |
3.65 | % | 18.10 | % | 5.67 | % | (3.33 | )% | 11.28 | % | 4.35 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 730,551 | $ | 666,015 | $ | 290,726 | $ | 313,760 | $ | 347,689 | $ | 179,309 | ||||||||||||
Average net assets (in thousands) |
$ | 692,512 | $ | 545,045 | $ | 266,712 | $ | 220,416 | $ | 260,589 | $ | 118,239 | ||||||||||||
Ratios to average net assets:3,4 |
||||||||||||||||||||||||
Net investment income |
6.43 | % | 7.08 | % | 6.82 | % | 5.68 | % | 5.61 | % | 5.38 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
0.74 | % | 0.85 | % | 0.79 | % | 0.66 | % | 0.56 | % | 0.58 | % | ||||||||||||
Interest and fees from borrowings |
0.01 | % | 0.28 | % | 0.01 | % | | | | |||||||||||||||
Total expenses |
0.75 | %5 | 1.13 | %5 | 0.80 | %5 | 0.66 | %5 | 0.56 | %5 | 0.58 | % | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
0.70 | % | 1.05 | % | 0.78 | % | 0.64 | % | 0.55 | % | 0.58 | % | ||||||||||||
Portfolio turnover rate6 |
29 | % | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Six Months Ended March 31, 2011 |
0.75 | % | ||
Year Ended September 30, 2010 |
1.13 | % | ||
Year Ended September 30, 2009 |
0.81 | % | ||
Year Ended September 30, 2008 |
0.67 | % | ||
Year Ended September 30, 2007 |
0.57 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Six Months Ended March 31, 2011 |
$ | 1,904,932,098 | $ | 1,715,201,301 | ||||
Year Ended September 30, 2010 |
$ | 2,754,184,019 | $ | 2,975,421,694 | ||||
Year Ended September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 |
When-Issued or | ||||
Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities |
$ | 382,792,099 | ||
Sold securities |
30,035,303 |
Cost |
$ | 145,512,957 | ||
Market Value |
$ | 11,249,301 | ||
Market Value as a % of Net Assets |
0.12 | % |
Expiring | ||||
2011 |
$ | 294,188,800 | ||
2012 |
122,914,725 | |||
2016 |
3,243,816 | |||
2017 |
101,514,149 | |||
2018 |
238,793,506 | |||
Total |
$ | 760,654,996 | ||
Federal tax cost of securities |
$ | 9,169,405,789 | ||
Federal tax cost of other investments |
663,509,932 | |||
Total federal tax cost |
$ | 9,832,915,721 | ||
Gross unrealized appreciation |
$ | 514,297,856 | ||
Gross unrealized depreciation |
(399,394,601 | ) | ||
Net unrealized appreciation |
$ | 114,903,255 | ||
Six Months Ended March 31, 2011 | Year Ended September 30, 2010 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
120,163,913 | $ | 518,333,610 | 235,187,068 | $ | 954,508,707 | ||||||||||
Dividends and/or
distributions reinvested |
34,435,130 | 148,198,090 | 78,687,221 | 319,054,450 | ||||||||||||
AcquisitionNote 7 |
| | 8,863,443 | 35,010,600 | ||||||||||||
Redeemed |
(180,919,553 | ) | (779,783,937 | ) | (385,392,376 | ) | (1,557,398,242 | ) | ||||||||
Net decrease |
(26,320,510 | ) | $ | (113,252,237 | ) | (62,654,644 | ) | $ | (248,824,485 | ) | ||||||
Class B |
||||||||||||||||
Sold |
7,589,478 | $ | 32,868,816 | 17,525,083 | $ | 71,388,525 | ||||||||||
Dividends and/or
distributions reinvested |
1,612,847 | 6,964,979 | 3,850,628 | 15,678,441 | ||||||||||||
Redeemed |
(13,521,684 | ) | (58,483,477 | ) | (32,345,662 | ) | (130,631,907 | ) | ||||||||
Net decrease |
(4,319,359 | ) | $ | (18,649,682 | ) | (10,969,951 | ) | $ | (43,564,941 | ) | ||||||
Class C |
||||||||||||||||
Sold |
32,481,267 | $ | 139,853,094 | 64,418,131 | $ | 261,204,979 | ||||||||||
Dividends and/or
distributions reinvested |
7,039,778 | 30,223,847 | 15,142,485 | 61,358,453 | ||||||||||||
Redeemed |
(39,907,397 | ) | (171,557,987 | ) | (74,160,500 | ) | (299,209,834 | ) | ||||||||
Net increase (decrease) |
(386,352 | ) | $ | (1,481,046 | ) | 5,400,116 | $ | 23,353,598 | ||||||||
Class N |
||||||||||||||||
Sold |
10,004,569 | $ | 43,205,755 | 17,763,889 | $ | 72,158,565 | ||||||||||
Dividends and/or
distributions reinvested |
1,302,096 | 5,606,805 | 2,657,542 | 10,806,955 | ||||||||||||
AcquisitionNote 7 |
| | 217,203 | 857,952 | ||||||||||||
Redeemed |
(9,108,308 | ) | (39,265,692 | ) | (14,973,356 | ) | (60,618,257 | ) | ||||||||
Net increase |
2,198,357 | $ | 9,546,868 | 5,665,278 | $ | 23,205,215 | ||||||||||
Class Y |
||||||||||||||||
Sold |
36,513,400 | $ | 157,297,855 | 65,083,214 | $ | 264,818,990 | ||||||||||
Dividends and/or
distributions reinvested |
4,444,410 | 19,113,560 | 8,615,557 | 34,980,121 | ||||||||||||
AcquisitionNote 7 |
| | 59,510,245 | 235,065,467 | ||||||||||||
Redeemed |
(26,661,613 | ) | (114,548,655 | ) | (53,116,318 | ) | (214,536,892 | ) | ||||||||
Net increase |
14,296,197 | $ | 61,862,760 | 80,092,698 | $ | 320,327,686 | ||||||||||
Purchases | Sales | |||||||
Investment securities |
$ | 1,935,633,561 | $ | 2,506,785,625 | ||||
U.S. government and government agency obligations |
36,660,670 | 38,712,115 | ||||||
To Be Announced (TBA) mortgage-related securities |
1,904,932,098 | 1,715,201,301 |
Fee Schedule | ||||
Up to $200 million |
0.75 | % | ||
Next $200 million |
0.72 | |||
Next $200 million |
0.69 | |||
Next $200 million |
0.66 | |||
Next $200 million |
0.60 | |||
Next $4 billion |
0.50 | |||
Over $5 billion |
0.48 |
Class B |
$ | 118,890,882 | ||
Class C |
44,230,967 | |||
Class N |
3,925,451 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Six Months | Retained by | Retained by | Retained by | Retained by | Retained by | |||||||||||||||
Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
March 31, 2011 |
$ | 976,799 | $ | 13,601 | $ | 271,772 | $ | 60,256 | $ | 8,120 |
Asset Derivatives | Liability Derivatives | |||||||||||||||
Derivatives Not | Statement of | Statement of | ||||||||||||||
Accounted for as | Assets and | Assets and | ||||||||||||||
Hedging Instruments | Liabilities Location | Value | Liabilities Location | Value | ||||||||||||
Credit contracts |
Appreciated swaps, at value | $ | 6,103,581 | Appreciated swaps, at value | $ | 6,735,648 | ||||||||||
Credit contracts |
Depreciated swaps, at value | 252,846 | Depreciated swaps, at value | 13,276,841 | ||||||||||||
Equity contracts |
Appreciated swaps, at value | 4,236,767 | Depreciated swaps, at value | 3,473,663 | ||||||||||||
Equity contracts |
Futures margins | 309,407 | * | Futures margins | 135,902 | * | ||||||||||
Foreign exchange contracts |
Appreciated options written, at value | 64,855 | ||||||||||||||
Foreign exchange contracts |
Depreciated swaps, at value | 3,258,543 | ||||||||||||||
Foreign exchange contracts |
Investments, at value | 5,386 | ** | |||||||||||||
Foreign exchange contracts |
Unrealized appreciation on foreign currency exchange contracts | 55,202,456 | Unrealized depreciation on foreign currency exchange contracts | 12,116,296 | ||||||||||||
Interest rate contracts |
Appreciated swaps, at value | 4,606,915 | Depreciated swaps, at value | 3,087,611 | ||||||||||||
Interest rate contracts |
Futures margins | 628,192 | * | Futures margins | 1,444,454 | * | ||||||||||
Volatility contracts |
Appreciated swaps, at value | 546,363 | Depreciated swaps, at value | 1,822,794 | ||||||||||||
Total |
$ | 71,891,913 | $ | 45,416,607 | ||||||||||||
* | Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||
from | ||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||
companies | Closing and | |||||||||||||||||||||||
Derivatives Not | (including | expiration of | Closing and | |||||||||||||||||||||
Accounted | premiums | option | expiration of | Foreign | ||||||||||||||||||||
for as Hedging | on options | contracts | futures | currency | Swap | |||||||||||||||||||
Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | 15,124,522 | $ | 15,124,522 | ||||||||||||
Equity contracts |
| | (15,576,964 | ) | | 17,078,231 | 1,501,267 | |||||||||||||||||
Foreign
exchange contracts |
(4,257,377 | ) | 3,314,967 | | (35,260,968 | ) | 1,202,783 | (35,000,595 | ) | |||||||||||||||
Interest
rate contracts |
(28,700,224 | ) | | (51,471,496 | ) | | 536,236 | (79,635,484 | ) | |||||||||||||||
Volatility contracts |
| | | | 4,024,737 | 4,024,737 | ||||||||||||||||||
Total |
$ | (32,957,601 | ) | $ | 3,314,967 | $ | (67,048,460 | ) | $ | (35,260,968 | ) | $ | 37,966,509 | $ | (93,985,553 | ) | ||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Translation | ||||||||||||||||||||||||
of assets and | ||||||||||||||||||||||||
Derivatives Not | liabilities | |||||||||||||||||||||||
Accounted | Option | denominated | ||||||||||||||||||||||
for as Hedging | contracts | Futures | in foreign | Swap | ||||||||||||||||||||
Instruments | Investments* | written | contracts | currencies | contracts | Total | ||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | (7,284,429 | ) | $ | (7,284,429 | ) | ||||||||||
Equity contracts |
| | (45,321 | ) | | (6,521,853 | ) | (6,567,174 | ) | |||||||||||||||
Foreign
exchange contracts |
535,690 | (669,699 | ) | | 38,908,600 | 1,813,352 | 40,587,943 | |||||||||||||||||
Interest
rate contracts |
1,592,992 | | (9,558,681 | ) | | (6,929,671 | ) | (14,895,360 | ) | |||||||||||||||
Volatility contracts |
| | | | (53,842 | ) | (53,842 | ) | ||||||||||||||||
Total |
$ | 2,128,682 | $ | (669,699 | ) | $ | (9,604,002 | ) | $ | 38,908,600 | $ | (18,976,443 | ) | $ | 11,787,138 | |||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of
September 30, 2010 |
2,858,000,000 | $ | 745,282 | | $ | | ||||||||||
Options written |
5,357,560,000 | 2,610,886 | 5,357,560,000 | 2,620,276 | ||||||||||||
Options closed or expired |
(6,508,785,000 | ) | (2,156,772 | ) | (1,182,775,000 | ) | (1,158,194 | ) | ||||||||
Options exercised |
(1,182,775,000 | ) | (1,158,833 | ) | (3,650,785,000 | ) | (1,421,519 | ) | ||||||||
Options outstanding as of
March 31, 2011 |
524,000,000 | $ | 40,563 | 524,000,000 | $ | 40,563 | ||||||||||
Exchange Ratio to | Shares of | Value of Issued | ||||||||||||||
One Share of the | Beneficial | Shares of | Combined Net | |||||||||||||
MassMutual Premier | Interest Issued | Beneficial | Assets on | |||||||||||||
Strategic Income Fund | by the Fund | Interest | October 26, 20091 | |||||||||||||
Class A |
2.355509 | 8,863,443 | $ | 35,010,600 | $ | 6,097,055,173 | ||||||||||
Class B |
| | $ | | $ | | ||||||||||
Class C |
| | $ | | $ | | ||||||||||
Class N |
2.371623 | 217,203 | $ | 857,952 | $ | 191,170,636 | ||||||||||
Class L2 |
2.379824 | 49,229,917 | $ | 194,458,173 | Combined in Class Y | |||||||||||
Class S2 |
2.376329 | 8,730,464 | $ | 34,485,333 | Combined in Class Y | |||||||||||
Class Y |
2.379555 | 1,549,864 | $ | 6,121,961 | $ | 535,597,320 |
1. | The net assets acquired included net unrealized depreciation of $6,342,309 and an unused capital loss carryforward of $27,330,332, potential utilization subject to tax limitations. | |
2. | The Fund issued Class Y shares in exchange for Class L and Class S shares of MassMutual Premier Strategic Income Fund. |
Trustees and Officers
|
William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
George C. Bowen, Trustee | ||
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Arthur Steinmetz, Vice President and Portfolio Manager | ||
Krishna Memani, Vice President and Portfolio Manager | ||
Joseph Welsh, Vice President and Portfolio Manager | ||
Caleb Wong, Vice President and Portfolio Manager | ||
Sara Zervos, Ph.D., Vice President and Portfolio Manager | ||
Arthur S. Gabinet, Secretary | ||
Thomas W. Keffer, Vice President and Chief Business Officer | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial and Accounting Officer | ||
Robert G. Zack, Vice President | ||
Manager
|
OppenheimerFunds, Inc. | |
Distributor
|
OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder
Servicing Agent
|
OppenheimerFunds Services | |
Independent
Registered Public
Accounting Firm
|
KPMG llp | |
Counsel
|
K&L Gates LLP | |
The financial statements included herein have been taken from the records of the Fund without examination of those records by the independent registered public accounting firm. |
| Applications or other forms | |
| When you create a user ID and password for online account access | |
| When you enroll in eDocs Direct, our electronic document delivery service | |
| Your transactions with us, our affiliates or others | |
| A software program on our website, often referred to as a cookie, which indicates which parts of our site youve visited | |
| When you set up challenge questions to reset your password online |
| All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds server. It transmits information in an encrypted and scrambled format. | |
| Encryption is achieved through an electronic scrambling technology that uses a key to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | |
| You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
1. | The Funds Governance Committee (the Committee) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individuals background, skills, and experience; whether the individual is an interested person as defined in the Investment Company Act of 1940; and whether the individual would be deemed an audit committee financial expert within the meaning of applicable SEC rules. The Committee also considers whether the individuals background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
| the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
| a statement concerning whether the person is an interested person as defined in the Investment Company Act of 1940; | ||
| any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
| the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. |
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds investment adviser) would be deemed an interested person under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds outside legal counsel may cause a person to be deemed an interested person. |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) Not applicable to semiannual reports. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b) | Exhibit attached hereto. |
By:
|
/s/ William F. Glavin, Jr.
|
|||
Principal Executive Officer | ||||
Date:
|
05/10/2011 |
By:
|
/s/ William F. Glavin, Jr.
|
|||
Principal Executive Officer | ||||
Date:
|
05/10/2011 | |||
By:
|
/s/ Brian W. Wixted
|
|||
Brian W. Wixted | ||||
Principal Financial Officer | ||||
Date:
|
05/10/2011 |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Global Strategic Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and | ||
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ William F. Glavin, Jr.
|
||
Principal Executive Officer |
1. | I have reviewed this report on Form N-CSR of Oppenheimer Global Strategic Income Fund; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and | ||
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and | ||
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
/s/ Brian W. Wixted
|
||
Principal Financial Officer |
1. | The Registrants periodic report on Form N-CSR for the period ended 03/31/2011 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer
|
Principal Financial Officer | |||
Oppenheimer Global Strategic Income Fund |
Oppenheimer Global Strategic Income Fund |
|||
/s/ William F. Glavin, Jr.
|
/s/ Brian W. Wixted
|
|||
Date: 05/10/2011
|
Date: 05/10/2011 |