Portfolio Allocation |
||||
Foreign Government Obligations |
28.7 | % | ||
Corporate Bonds and Notes |
26.0 | |||
Mortgage-Backed Obligations: |
||||
Non-Agency |
12.1 | |||
Government Agency |
6.7 | |||
Investment Companies |
14.8 | |||
U.S. Government Obligations |
4.9 | |||
Structured Securities |
3.6 | |||
Cash Equivalent |
0.9 | |||
Loan Participations |
0.9 | |||
Asset-Backed Securities |
0.5 | |||
Swaptions Purchased |
0.4 | |||
Common Stocks |
0.3 | |||
Preferred Stocks |
0.1 | |||
Options Purchased |
0.1 | |||
Wholly-Owned Subsidiary |
| * | ||
Rights, Warrants and Certificates |
| * |
* | Represents a value of less than 0.05%. |
Corporate Bonds & NotesTop Ten Industries |
||||
Oil, Gas & Consumable Fuels |
4.7 | % | ||
Commercial Banks |
3.3 | |||
Electric Utilities |
1.6 | |||
Media |
1.5 | |||
Hotels, Restaurants & Leisure |
1.2 | |||
Diversified Telecommunication Services |
1.0 | |||
Wireless Telecommunication Services |
0.9 | |||
Capital Markets |
0.9 | |||
Chemicals |
0.8 | |||
Food Products |
0.6 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
October 1, 2011 | March 30, 2012 | March 30, 20121,2 | ||||||||||
Actual |
||||||||||||
Class A |
$ | 1,000.00 | $ | 1,070.60 | $ | 4.70 | ||||||
Class B |
1,000.00 | 1,065.70 | 9.39 | |||||||||
Class C |
1,000.00 | 1,066.70 | 8.62 | |||||||||
Class I |
1,000.00 | 1,017.60 | 0.88 | |||||||||
Class N |
1,000.00 | 1,068.50 | 6.76 | |||||||||
Class Y |
1,000.00 | 1,069.10 | 3.71 | |||||||||
Hypothetical |
||||||||||||
(5% return before expenses) |
||||||||||||
Class A |
1,000.00 | 1,020.34 | 4.58 | |||||||||
Class B |
1,000.00 | 1,015.81 | 9.16 | |||||||||
Class C |
1,000.00 | 1,016.56 | 8.41 | |||||||||
Class I |
1,000.00 | 1,022.38 | 2.52 | |||||||||
Class N |
1,000.00 | 1,018.35 | 6.60 | |||||||||
Class Y |
1,000.00 | 1,021.28 | 3.62 |
1. | Actual expenses paid for Classes A, B, C, N and Y are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Actual expenses paid for Class I are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 64/366 to reflect the period from January 27, 2012 (inception of offering) to March 30, 2012. | |
2. | Hypothetical expenses paid for all classes are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
Class | Expense Ratios | |||
Class A |
0.91% | |||
Class B |
1.82 | |||
Class C |
1.67 | |||
Class I |
0.50 | |||
Class N |
1.31 | |||
Class Y |
0.72 |
Shares | Value | |||||||
Wholly-Owned Subsidiary0.0% |
||||||||
Oppenheimer Global Strategic Income Fund (Cayman) Ltd.1,2 (Cost $1,500,000) |
15,000 | $ | 1,469,259 | |||||
Principal | ||||||||
Amount | ||||||||
Asset-Backed Securities0.6% |
||||||||
DLJ Ltd., Collateralized Bond Obligations,
Series 1A, Cl. C2, 11.96%, 4/15/113,4 |
$ | 15,000,000 | 150 | |||||
DSC Floorplan Master Owner Trust, Automobile
Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
1,945,000 | 1,973,737 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts.,
Series 2011-1A, Cl. C, 3.05%, 8/15/155 |
2,710,000 | 2,718,534 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts.,
Series 2000-A, Cl. B, 0.656%, 8/15/253,4 |
2,730,094 | | ||||||
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 | 4,614,842 | ||||||
Greenpoint Credit Manufactured Housing Contract Trust,
Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/1/316 |
1,325,088 | 203,094 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: |
||||||||
Series 2007-1A, Cl. B, 2.456%, 8/15/224,7 |
21,000,000 | 13,230,000 | ||||||
Series 2007-1A, Cl. C, 3.756%, 8/15/224,7 |
17,780,000 | 10,490,200 | ||||||
Series 2007-1A, Cl. D, 5.756%, 8/15/224,7 |
17,780,000 | 10,312,400 | ||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations,
Series 2A, Cl. C1, 2.99%, 3/24/144,6,7 |
4,426,820 | 8,854 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile
Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 |
736,535 | 734,811 | ||||||
SLM Student Loan Trust, Student Loan Receivables,
Series 2005-B, Cl. B, 0.874%, 6/15/397 |
6,586,000 | 3,186,477 | ||||||
Total Asset-Backed Securities (Cost $93,920,376) |
47,473,099 | |||||||
Mortgage-Backed Obligations19.5% |
||||||||
Government Agency7.0% |
||||||||
FHLMC/FNMA/FHLB/Sponsored6.6% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
4.50%, 4/1/428 |
16,120,000 | 17,097,275 | ||||||
5%, 12/15/34 |
2,203,007 | 2,378,662 | ||||||
5.50%, 9/1/39 |
5,162,883 | 5,623,484 | ||||||
6%, 1/15/19-7/15/24 |
4,375,824 | 4,791,413 | ||||||
6.50%, 4/15/18-6/15/35 |
3,230,231 | 3,596,946 | ||||||
7%, 8/15/21-3/1/35 |
2,963,582 | 3,460,572 | ||||||
7.50%, 1/1/32-2/15/32 |
3,731,573 | 4,473,840 | ||||||
8.50%, 8/15/31 |
216,829 | 266,592 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp.: Continued |
||||||||
10%, 5/15/20 |
$ | 113,965 | $ | 132,954 | ||||
10.50%, 6/14/20 |
66,102 | 79,953 | ||||||
11.50%, 11/14/16 |
13,542 | 13,863 | ||||||
12%, 7/15/15-6/15/17 |
56,562 | 61,927 | ||||||
Federal Home
Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 |
3,352,765 | 3,901,003 | ||||||
Series 151, Cl. F, 9%, 5/15/21 |
7,506 | 8,711 | ||||||
Series 1590, Cl. IA, 1.30%, 10/15/237 |
2,877,249 | 2,942,217 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 |
151,082 | 173,868 | ||||||
Series 2006-11, Cl. PS, 23.68%, 3/25/367 |
1,707,329 | 2,592,333 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
27,295 | 31,301 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 |
36,529 | 41,879 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
2,754,004 | 3,207,190 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
26,233 | 30,087 | ||||||
Series 2116, Cl. ZA, 6%, 1/15/29 |
1,751,131 | 1,980,769 | ||||||
Series 2122, Cl. F, 0.692%, 2/15/297 |
75,574 | 76,070 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 |
45,319 | 49,363 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
408,529 | 470,640 | ||||||
Series 2344, Cl. FP, 1.192%, 8/15/317 |
1,044,348 | 1,067,856 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 |
60,468 | 69,697 | ||||||
Series 2368, Cl. TG, 6%, 10/15/16 |
327,086 | 348,901 | ||||||
Series 2401, Cl. FA, 0.892%, 7/15/297 |
140,220 | 141,845 | ||||||
Series 2412, Cl. GF, 1.192%, 2/15/327 |
1,914,130 | 1,957,225 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 |
1,912,359 | 2,205,664 | ||||||
Series 2451, Cl. FD, 1.242%, 3/15/327 |
714,969 | 731,735 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 |
78,227 | 84,268 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
272,180 | 314,094 | ||||||
Series 2464, Cl. FI, 1.242%, 2/15/327 |
703,707 | 718,511 | ||||||
Series 2470, Cl. AF, 1.242%, 3/15/327 |
1,153,537 | 1,180,588 | ||||||
Series 2470, Cl. LF, 1.242%, 2/15/327 |
719,695 | 734,835 | ||||||
Series 2471, Cl. FD, 1.242%, 3/15/327 |
1,066,748 | 1,089,150 | ||||||
Series 2475, Cl. FB, 1.242%, 2/15/327 |
985,668 | 1,006,403 | ||||||
Series 2500, Cl. FD, 0.742%, 3/15/327 |
309,242 | 311,821 | ||||||
Series 2517, Cl. GF, 1.242%, 2/15/327 |
595,059 | 607,577 | ||||||
Series 2526, Cl. FE, 0.642%, 6/15/297 |
346,811 | 348,482 | ||||||
Series 2551, Cl. FD, 0.642%, 1/15/337 |
234,376 | 235,493 | ||||||
Series 2551, Cl. LF, 0.742%, 1/15/337 |
104,576 | 105,140 | ||||||
Series 2668, Cl. AZ, 4%, 9/1/18 |
574,449 | 608,977 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 |
2,251,204 | 2,476,031 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 |
2,807,000 | 3,166,425 | ||||||
Series 3025, Cl. SJ, 23.864%, 8/15/357 |
1,649,765 | 2,585,191 | ||||||
Series 3094, Cl. HS, 23.497%, 6/15/347 |
960,629 | 1,382,146 | ||||||
Series 3465, Cl. HA, 4%, 7/1/17 |
346,795 | 361,533 | ||||||
Series 3617, Cl. DC, 4%, 7/1/27 |
1,606,616 | 1,666,626 | ||||||
Series 3676, Cl. DA, 4%, 4/1/22 |
1,499,488 | 1,528,532 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
3,752,764 | 4,035,605 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
2,755,766 | 2,898,542 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 |
4,480,871 | 4,656,226 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home
Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 13.028%, 4/1/279 |
$ | 456,187 | $ | 100,602 | ||||
Series 192, Cl. IO, 11.476%, 2/1/289 |
194,894 | 37,462 | ||||||
Series 2035, Cl. PE, 0.909%, 3/15/289 |
54,592 | 9,165 | ||||||
Series 2049, Cl. PL, 23.395%, 4/15/289 |
328,634 | 55,406 | ||||||
Series 205, Cl. IO, 12.668%, 9/1/299 |
1,142,678 | 214,177 | ||||||
Series 206, Cl. IO, 0%, 12/1/299,10 |
363,432 | 82,855 | ||||||
Series 207, Cl. IO, 0%, 4/1/309,10 |
385,284 | 74,759 | ||||||
Series 2074, Cl. S, 61.505%, 7/17/289 |
284,179 | 58,491 | ||||||
Series 2079, Cl. S, 73.194%, 7/17/289 |
480,437 | 102,496 | ||||||
Series 214, Cl. IO, 0%, 6/1/319,10 |
344,592 | 65,837 | ||||||
Series 2177, Cl. SB, 99.999%, 8/15/299 |
297,751 | 72,103 | ||||||
Series 243, Cl. 6, 1.022%, 12/15/329 |
1,183,744 | 267,903 | ||||||
Series 2526, Cl. SE, 40.525%, 6/15/299 |
626,687 | 129,215 | ||||||
Series 2795, Cl. SH, 16.652%, 3/15/249 |
4,338,120 | 637,048 | ||||||
Series 2802, Cl. AS, 90.059%, 4/15/339 |
907,039 | 56,958 | ||||||
Series 2819, Cl. S, 54.841%, 6/15/349 |
6,548,170 | 1,165,612 | ||||||
Series 2920, Cl. S, 66.196%, 1/15/359 |
3,721,174 | 738,626 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/359 |
6,742,901 | 1,175,083 | ||||||
Series 3110, Cl. SL, 34.843%, 2/15/269 |
1,323,394 | 169,668 | ||||||
Series 3450, Cl. BI, 10.188%, 5/15/389 |
1,898,343 | 263,930 | ||||||
Series 3451, Cl. SB, 15.774%, 5/15/389 |
4,012,058 | 497,226 | ||||||
Series 3662, Cl. SM, 24.714%, 10/15/329 |
1,339,992 | 183,100 | ||||||
Federal Home
Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22 |
8,263,808 | 8,378,053 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 4/1/278 |
34,360,000 | 34,843,188 | ||||||
2.647%, 10/1/367 |
10,972,524 | 11,724,448 | ||||||
3.50%, 4/1/278 |
16,865,000 | 17,692,439 | ||||||
4%, 9/1/18-10/1/18 |
7,257,544 | 7,748,424 | ||||||
4%, 4/1/27-4/1/428 |
38,175,000 | 40,050,731 | ||||||
4.50%, 4/1/27-4/1/428 |
53,507,000 | 56,998,372 | ||||||
5%, 2/25/18-12/25/21 |
16,877,296 | 18,328,721 | ||||||
5%, 4/1/428 |
40,008,000 | 43,221,151 | ||||||
5.50%, 1/25/22-1/1/36 |
3,245,502 | 3,551,992 | ||||||
5.50%, 4/1/27-4/1/428 |
21,266,000 | 23,172,572 | ||||||
6%, 6/25/17-10/1/40 |
144,847 | 155,622 | ||||||
6%, 4/1/428 |
8,965,000 | 9,878,312 | ||||||
6.50%, 4/25/18-1/1/34 |
10,567,739 | 12,101,673 | ||||||
7%, 11/1/17-9/25/34 |
16,268,909 | 18,759,758 | ||||||
7.50%, 2/25/27-3/25/33 |
6,569,106 | 7,844,446 | ||||||
8.50%, 7/1/32 |
29,065 | 35,501 | ||||||
9.50%, 4/25/20-4/8/21 |
25,793 | 29,697 | ||||||
11%, 7/25/16-2/25/26 |
175,167 | 201,155 | ||||||
13%, 6/25/15 |
28,969 | 32,171 | ||||||
15%, 5/9/13 |
3,120 | 3,228 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal
National Mortgage Assn. Grantor Trust, Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-T10, Cl. IO, 34.80%, 12/25/419 |
$ | 80,920,463 | $ | 822,354 | ||||
Trust 2001-T3, Cl. IO, 51.321%, 11/25/409 |
10,467,706 | 225,175 | ||||||
Federal National Mortgage Assn., 15 yr., 3%, 4/1/278 |
36,670,000 | 37,970,637 | ||||||
Federal National Mortgage Assn., 30 yr., 3.50%, 4/1/428 |
6,310,000 | 6,481,553 | ||||||
Federal
National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1996-35, Cl. Z, 7%, 7/25/26 |
157,172 | 184,533 | ||||||
Trust 1997-45, Cl. CD, 8%, 7/18/27 |
1,066,324 | 1,264,795 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 |
927,598 | 1,063,460 | ||||||
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 |
44,624 | 50,892 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
1,768,282 | 2,025,679 | ||||||
Trust 2001-19, Cl. Z, 6%, 5/1/31 |
890,821 | 1,008,648 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 |
169,625 | 181,356 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
264,337 | 307,014 | ||||||
Trust 2001-65, Cl. F, 0.842%, 11/25/317 |
1,410,895 | 1,417,202 | ||||||
Trust 2001-69, Cl. PF, 1.242%, 12/25/317 |
1,567,197 | 1,600,226 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 |
1,818,773 | 2,055,460 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 |
988,015 | 1,071,339 | ||||||
Trust 2002-19, Cl. PE, 6%, 4/25/17 |
515,203 | 550,624 | ||||||
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 |
1,786,863 | 2,005,230 | ||||||
Trust 2002-29, Cl. F, 1.242%, 4/25/327 |
758,971 | 775,058 | ||||||
Trust 2002-60, Cl. FH, 1.242%, 8/25/327 |
1,506,421 | 1,537,943 | ||||||
Trust 2002-64, Cl. FJ, 1.242%, 4/25/327 |
233,276 | 238,220 | ||||||
Trust 2002-68, Cl. FH, 0.742%, 10/18/327 |
496,891 | 500,560 | ||||||
Trust 2002-81, Cl. FM, 0.742%, 12/25/327 |
915,294 | 921,882 | ||||||
Trust 2002-84, Cl. FB, 1.242%, 12/25/327 |
152,030 | 155,270 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 |
1,115,772 | 1,210,706 | ||||||
Trust 2003-11, Cl. FA, 1.242%, 9/25/327 |
207,462 | 211,884 | ||||||
Trust 2003-112, Cl. AN, 4%, 11/1/18 |
1,069,867 | 1,133,873 | ||||||
Trust 2003-116, Cl. FA, 0.642%, 11/25/337 |
389,309 | 391,537 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
5,556,000 | 6,179,386 | ||||||
Trust 2003-3, Cl. FM, 0.742%, 4/25/337 |
898,579 | 903,765 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
3,866,644 | 4,145,470 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 |
589,683 | 592,567 | ||||||
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 |
1,142,400 | 1,324,935 | ||||||
Trust 2005-25, Cl. PS, 27.096%, 4/25/357 |
664,081 | 1,161,788 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 |
110,974 | 110,993 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
2,865,000 | 3,445,821 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
2,438,448 | 2,545,326 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 |
3,700,000 | 4,043,151 | ||||||
Trust 2006-46, Cl. SW, 23.313%, 6/25/367 |
2,375,046 | 3,586,339 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
3,061,208 | 3,220,193 | ||||||
Trust 2008-14, Cl. BA, 4.25%, 3/1/23 |
564,414 | 601,035 | ||||||
Trust 2009-114, Cl. AC, 2.50%, 12/1/23 |
1,081,534 | 1,116,409 | ||||||
Trust 2009-36, Cl. FA, 1.182%, 6/25/377 |
3,222,244 | 3,270,676 | ||||||
Trust 2011-122, Cl. EA, 3%, 11/1/29 |
3,791,295 | 3,917,016 | ||||||
Trust 2011-122, Cl. EC, 1.50%, 1/1/20 |
3,171,909 | 3,220,028 |
Principal | ||||||||
Amount | Value | |||||||
| | | ||||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal
National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued |
||||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
$ | 3,164,969 | $ | 3,321,004 | ||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
2,673,530 | 2,924,088 | ||||||
Trust 2011-88, Cl. AB, 2.50%, 9/1/26 |
1,727,400 | 1,787,040 | ||||||
Federal
National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-61, Cl. SH, 39.137%, 11/18/319 |
1,601,466 | 309,538 | ||||||
Trust 2001-63, Cl. SD, 22.947%, 12/18/319 |
44,949 | 8,294 | ||||||
Trust 2001-68, Cl. SC, 15.497%, 11/25/319 |
29,363 | 5,602 | ||||||
Trust 2001-81, Cl. S, 29.60%, 1/25/329 |
415,237 | 87,424 | ||||||
Trust 2002-28, Cl. SA, 36.533%, 4/25/329 |
326,440 | 64,635 | ||||||
Trust 2002-38, Cl. SO, 49.379%, 4/25/329 |
324,284 | 62,567 | ||||||
Trust 2002-39, Cl. SD, 40.267%, 3/18/329 |
504,536 | 103,318 | ||||||
Trust 2002-48, Cl. S, 33.926%, 7/25/329 |
503,092 | 99,977 | ||||||
Trust 2002-52, Cl. SL, 36.423%, 9/25/329 |
311,203 | 63,133 | ||||||
Trust 2002-53, Cl. SK, 38.949%, 4/25/329 |
314,505 | 65,846 | ||||||
Trust 2002-56, Cl. SN, 36.011%, 7/25/329 |
689,967 | 137,195 | ||||||
Trust 2002-65, Cl. SC, 66.042%, 6/25/269 |
1,018,112 | 184,677 | ||||||
Trust 2002-77, Cl. IS, 45.154%, 12/18/329 |
552,481 | 115,241 | ||||||
Trust 2002-77, Cl. SH, 40.57%, 12/18/329 |
558,920 | 115,760 | ||||||
Trust 2002-89, Cl. S, 60.501%, 1/25/339 |
3,429,357 | 723,260 | ||||||
Trust 2002-9, Cl. MS, 31.355%, 3/25/329 |
592,560 | 120,503 | ||||||
Trust 2003-13, Cl. IO, 15.166%, 3/25/339 |
2,528,259 | 480,770 | ||||||
Trust 2003-23, Cl. ES, 59.63%, 10/25/229 |
5,545,238 | 371,914 | ||||||
Trust 2003-26, Cl. DI, 9.563%, 4/25/339 |
1,481,092 | 267,842 | ||||||
Trust 2003-26, Cl. IK, 13.023%, 4/25/339 |
259,557 | 46,939 | ||||||
Trust 2003-33, Cl. SP, 43.956%, 5/25/339 |
1,923,229 | 283,709 | ||||||
Trust 2003-4, Cl. S, 37.153%, 2/25/339 |
952,197 | 156,046 | ||||||
Trust 2003-46, Cl. IH, 82.819%, 6/1/239 |
338,980 | 42,828 | ||||||
Trust 2004-56, Cl. SE, 19.737%, 10/25/339 |
1,934,347 | 307,261 | ||||||
Trust 2005-14, Cl. SE, 41.989%, 3/25/359 |
983,539 | 157,071 | ||||||
Trust 2005-40, Cl. SA, 62.078%, 5/25/359 |
5,627,630 | 1,077,396 | ||||||
Trust 2005-40, Cl. SB, 72.351%, 5/25/359 |
2,587,024 | 495,566 | ||||||
Trust 2005-71, Cl. SA, 66.183%, 8/25/259 |
2,581,716 | 350,146 | ||||||
Trust 2006-129, Cl. SM, 27.13%, 1/25/379 |
3,497,594 | 538,421 | ||||||
Trust 2006-51, Cl. SA, 18.539%, 6/25/369 |
22,067,947 | 2,943,226 | ||||||
Trust 2006-60, Cl. DI, 40.371%, 4/25/359 |
1,456,423 | 195,897 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/369 |
5,762,209 | 1,237,363 | ||||||
Trust 2007-77, Cl. SB, 69.835%, 12/25/319 |
2,951,575 | 141,088 | ||||||
Trust 2007-88, Cl. XI, 39.412%, 6/25/379 |
13,709,045 | 1,927,153 | ||||||
Trust 2008-46, Cl. EI, 9.748%, 6/25/389 |
1,892,817 | 269,771 | ||||||
Trust 2008-55, Cl. SA, 23.718%, 7/25/389 |
2,375,676 | 327,985 | ||||||
Trust 2009-8, Cl. BS, 17.59%, 2/25/249 |
2,396,994 | 257,977 | ||||||
Trust 2011-84, Cl. IG, 5.965%, 8/1/139 |
16,343,041 | 352,124 | ||||||
Trust 221, Cl. 2, 36.428%, 5/1/239 |
488,719 | 106,720 | ||||||
Trust 247, Cl. 2, 26.436%, 10/1/239 |
208,297 | 47,867 | ||||||
Trust 252, Cl. 2, 25.083%, 11/1/239 |
57,004 | 12,612 | ||||||
Trust 254, Cl. 2, 11.391%, 1/1/249 |
165,633 | 36,102 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/339 |
2,316,571 | 430,329 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal
National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued |
||||||||
Trust 2981, Cl. BS, 99.999%, 5/15/359 |
$ | 4,193,013 | $ | 722,276 | ||||
Trust 301, Cl. 2, 0.77%, 4/1/299 |
639,288 | 118,922 | ||||||
Trust 303, Cl. IO, 29.033%, 11/1/299 |
445,514 | 96,653 | ||||||
Trust 313, Cl. 2, 41.049%, 6/1/319 |
5,432,023 | 1,047,095 | ||||||
Trust 319, Cl. 2, 5.605%, 2/1/329 |
1,796,096 | 346,638 | ||||||
Trust 321, Cl. 2, 4.703%, 4/1/329 |
2,914,715 | 535,112 | ||||||
Trust 324, Cl. 2, 8.922%, 7/1/329 |
1,257,156 | 237,459 | ||||||
Trust 328, Cl. 2, 66.602%, 12/1/329 |
1,320,859 | 212,080 | ||||||
Trust 331, Cl. 5, 1.364%, 2/1/339 |
2,493,319 | 511,780 | ||||||
Trust 332, Cl. 2, 36.467%, 3/1/339 |
6,279,826 | 993,734 | ||||||
Trust 334, Cl. 10, 8.812%, 2/1/339 |
2,144,542 | 456,038 | ||||||
Trust 334, Cl. 12, 8.606%, 2/1/339 |
3,168,477 | 632,248 | ||||||
Trust 338, Cl. 2, 46.036%, 7/1/339 |
7,143,787 | 1,082,461 | ||||||
Trust 339, Cl. 7, 0%, 7/1/339,10 |
7,179,362 | 1,126,092 | ||||||
Trust 345, Cl. 9, 99.999%, 1/1/349 |
2,347,677 | 330,613 | ||||||
Trust 351, Cl. 10, 7.225%, 4/1/349 |
877,707 | 139,274 | ||||||
Trust 351, Cl. 8, 1.402%, 4/1/349 |
1,465,280 | 236,480 | ||||||
Trust 356, Cl. 10, 18.317%, 6/1/359 |
1,205,610 | 188,993 | ||||||
Trust 356, Cl. 12, 0%, 2/1/359,10 |
592,735 | 92,141 | ||||||
Trust 362, Cl. 13, 1.976%, 8/1/359 |
79,094 | 14,913 | ||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1992-2, Cl. IO, 21.422%, 9/15/229 |
8,197,010 | 152,982 | ||||||
Series 1995-2B, Cl. 2IO, 25.082%, 6/15/259 |
604,365 | 14,024 | ||||||
Series 1995-3, Cl. 1IO, 13.531%, 9/15/259 |
19,886,610 | 97,208 | ||||||
560,311,856 | ||||||||
GNMA/Guaranteed0.2% |
||||||||
Government National Mortgage Assn.: |
||||||||
1.625%, 7/1/277 |
5,374 | 5,556 | ||||||
5%, 11/1/34 |
669,018 | 706,641 | ||||||
7%, 1/29/28-2/8/30 |
1,115,872 | 1,319,605 | ||||||
8%, 1/29/28-9/29/28 |
504,602 | 559,915 | ||||||
11%, 11/8/19 |
6,364 | 7,109 | ||||||
12%, 12/9/13-9/1/15 |
11,399 | 12,758 | ||||||
12.50%, 12/29/13-11/29/15 |
187,345 | 190,225 | ||||||
13%, 10/30/15 |
340,602 | 357,499 | ||||||
13.50%, 6/30/15 |
398,784 | 414,675 | ||||||
Government
National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: |
||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 |
4,905,022 | 5,790,038 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 |
2,450,791 | 2,945,747 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 |
2,301,063 | 2,765,231 | ||||||
Government
National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1998-19, Cl. SB, 67.525%, 7/16/289 |
1,024,678 | 221,668 | ||||||
Series 1998-6, Cl. SA, 80.644%, 3/16/289 |
608,238 | 132,147 | ||||||
Series 2007-17, Cl. AI, 21.527%, 4/16/379 |
2,835,260 | 576,688 | ||||||
Series 2010-111, Cl. GI, 29.615%, 9/1/139 |
40,794,471 | 910,443 | ||||||
Series 2011-52, Cl. HS, 7.51%, 4/16/419 |
4,943,369 | 1,160,270 | ||||||
18,076,215 |
Principal | ||||||||
Amount | Value | |||||||
Other Agency0.2% |
||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: |
||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 |
$ | 1,928,935 | $ | 1,937,118 | ||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 |
3,855,000 | 4,063,390 | ||||||
Series 2010-C1, Cl. APT, 2.65%, 10/29/20 |
4,337,383 | 4,510,162 | ||||||
NCUA
Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.693%, 10/7/207 |
3,739,229 | 3,745,062 | ||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts.: |
||||||||
Series 2010-R3, Cl. 2A, 0.826%, 12/8/207 |
1,218,510 | 1,223,750 | ||||||
Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 |
2,937,036 | 2,983,383 | ||||||
18,462,865 | ||||||||
Non-Agency12.5% |
||||||||
Commercial7.6% |
||||||||
Banc of
America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3,
Cl. AM, 5.858%, 7/10/447 |
24,665,000 | 24,144,569 | ||||||
Banc of
America Commercial Mortgage Trust 2006-5, Commercial Mtg. Pass-Through Certificates, Series 2006-5,
Cl. AM, 5.448%, 9/1/47 |
15,065,000 | 14,640,913 | ||||||
Banc of
America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1,
Cl. AMFX, 5.482%, 1/1/49 |
8,000,000 | 8,158,464 | ||||||
Banc of
America Commercial Mortgage Trust 2007-5, Commercial Mtg. Pass-Through Certificates, Series 2007-5,
Cl. AM, 5.772%, 2/1/51 |
27,490,000 | 28,174,652 | ||||||
Banc of
America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-3, Cl. AM, 5.633%, 6/1/497 |
14,315,000 | 13,996,914 | ||||||
Series 2007-3, Cl. A4, 5.633%, 6/1/497 |
1,810,000 | 2,017,783 | ||||||
Series 2008-1, Cl. AM, 6.243%, 2/10/517 |
8,165,000 | 8,664,939 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates,
Series 2007-4, Cl. 22A1, 5.589%, 6/1/477 |
20,140,213 | 14,673,213 | ||||||
Bear Stearns
Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates,
Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 |
24,370,000 | 21,338,128 | ||||||
Bear Stearns
Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-PWR17, Cl. AJ, 5.898%, 6/1/507 |
27,600,000 | 22,004,100 | ||||||
Series 2007-PWR17, Cl. AM, 5.898%, 6/1/507 |
13,340,000 | 14,021,841 | ||||||
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 | 8,089,820 | ||||||
Capital Lease Funding Securitization LP, Interest-Only
Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/245,9,10 |
899,828 | 44,901 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
CD 2007-CD5 Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2007-CD5, Cl. AM, 6.138%, 11/1/447 |
$ | 9,071,000 | $ | 9,640,083 | ||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through
Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
7,842,680 | 7,684,795 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through
Certificates, Series 2005-HYB8, Cl. 4A1, 4.959%, 12/20/357 |
429,894 | 328,053 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through
Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
31,960,733 | 25,627,330 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg.
Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.074%, 12/1/497 |
21,955,000 | 21,793,532 | ||||||
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 | 3,502,520 | ||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.714%, 6/1/397 |
4,210,000 | 4,560,935 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through
Certificates, Series 2011-LC1, Cl. E, 5.557%, 11/1/465,7 |
9,405,000 | 8,646,242 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates,
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
2,034,202 | 1,172,759 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through
Certificates, Interest-Only Stripped Mtg.-Backed Security,
Series 2010-C1, Cl. XPA, 4.721%, 9/1/205,9 |
21,475,156 | 1,491,235 | ||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations,
Series 1997-CF2, Cl. B30C, 6.99%, 10/15/304,7 |
27,237,025 | 5,185,930 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2,
Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
1,975,409 | 1,256,387 | ||||||
GMAC
Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1,
Cl. F, 6.986%, 5/15/307 |
2,000,000 | 1,998,031 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial
Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through
Certificates, Series 2006-GG7, Cl. AJ, 5.883%, 7/10/387 |
14,200,000 | 12,137,216 | ||||||
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 |
10,834,000 | 12,007,003 | ||||||
Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 |
24,450,000 | 23,669,079 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage
Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates,
Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 |
10,695,000 | 10,653,108 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations,
Series 2011-GC3, Cl. D, 5.543%, 3/1/445,7 |
11,396,000 | 10,252,434 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates,
Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
1,731,471 | 1,690,199 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through
Certificates, Series 2005-AR23, Cl. 6A1, 5.051%, 11/1/357 |
5,994,138 | 4,405,026 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
JPMorgan Chase Commercial Mortgage Securities Corp.,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 |
$ | 8,605,000 | $ | 9,612,843 | ||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 |
20,139,000 | 20,820,866 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 |
30,690,000 | 23,110,537 | ||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 |
12,893,000 | 12,644,075 | ||||||
JPMorgan
Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial
Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 |
8,030,000 | 5,962,307 | ||||||
JPMorgan
Chase Commercial Mortgage Securities Trust
2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.871%, 4/1/457 |
440,000 | 476,171 | ||||||
JPMorgan
Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg.
Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.734%, 2/1/497 |
25,504,000 | 25,238,567 | ||||||
JPMorgan
Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial
Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 5.816%, 6/1/497 |
2,110,872 | 2,267,440 | ||||||
JPMorgan
Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.721%, 1/1/377 |
1,011,599 | 715,676 | ||||||
LB-UBS Commercial Mortgage Trust 2006-C3,
Commercial Mtg. Pass-Through Certificates, Series 2006-C3,
Cl. AJ, 5.72%, 3/11/39 |
3,675,000 | 3,202,386 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6,
Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-C6, Cl. A4, 5.858%, 7/11/40 |
4,125,000 | 4,686,903 | ||||||
Series 2007-C6, Cl. AM, 6.114%, 7/11/40 |
14,600,000 | 14,611,607 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1,
Commercial Mtg. Pass-Through Certificates,
Series 2008-C1, Cl. AM, 6.143%, 4/11/417 |
6,930,000 | 7,350,880 | ||||||
Lehman Structured Securities Corp.,
Commercial Mtg. Pass-Through Certificates,
Series 2002-GE1, Cl. A, 2.514%, 7/1/245 |
210,733 | 165,131 | ||||||
Lehman Structured Securities Corp.,
Mtg.-Backed Security, 6%, 5/1/29 |
300,835 | 57,652 | ||||||
Mastr
Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 |
2,304,174 | 2,370,639 | ||||||
Merrill
Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.66%, 5/1/397 |
11,155,000 | 9,877,312 | ||||||
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 | 3,698,977 | ||||||
Series 2006-3, Cl. AJ, 5.485%, 7/1/46 |
21,180,000 | 17,502,220 | ||||||
Morgan
Stanley Capital I Trust 2006-IQ12, Commercial Mtg. Pass-Through Certificates, Series 2006-IQ12, Cl. AJ, 5.399%, 12/1/43 |
27,580,000 | 20,006,891 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued |
||||||||
Morgan
Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.882%, 6/1/497 |
$ | 24,430,000 | $ | 24,215,187 | ||||
Morgan
Stanley Capital I Trust 2007-IQ16, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ16, Cl. AM, 6.108%, 12/1/497 |
7,833,000 | 8,278,615 | ||||||
RALI
Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.307%, 4/25/357 |
303,169 | 38,060 | ||||||
Residential
Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 |
1,835,926 | 1,239,917 | ||||||
Sequoia Mortgage Trust, Mtg. Pass-Through Certificates,
Series 2012-2, Cl. A2, 3.50%, 3/1/42 |
2,010,000 | 2,048,316 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates,
Series 2007-1, Cl. 2A1, 5.807%, 2/1/377 |
17,907,589 | 12,589,948 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C23,
Commercial Mtg. Pass-Through Certificates, Series 2006-C23,
Cl. AJ, 5.515%, 1/1/45 |
16,865,000 | 16,160,996 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25,
Commercial Mtg. Pass-Through Certificates, Series 2006-C25,
Cl. AJ, 5.737%, 5/1/437 |
15,780,000 | 15,212,038 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33,
Commercial Mtg. Pass-Through Certificates, Series 2007-C33,
Cl. A4, 5.899%, 2/1/517 |
16,020,000 | 17,818,389 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A,
0.999%, 11/1/467 |
3,071,582 | 2,044,169 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust,
Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.474%, 4/1/477 |
2,173,492 | 1,277,267 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust,
Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.608%, 11/1/347 |
1,637,629 | 64,397 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust,
Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1,
2.613%, 2/1/357 |
9,750,615 | 9,158,621 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.771%, 4/1/377 |
8,401,846 | 7,364,079 | ||||||
WFRBS
Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3,
Cl. XA, 9.116%, 3/1/449 |
25,276,716 | 2,230,380 | ||||||
651,791,593 | ||||||||
Multifamily0.6% |
||||||||
Banc of
America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.766%, 5/1/457 |
10,705,000 | 9,691,547 | ||||||
Citigroup
Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1 A2A, 5.652%, 6/1/367 |
21,917,646 | 19,355,648 |
Principal | ||||||||
Amount | Value | |||||||
Multifamily Continued |
||||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates,
Series 2007-A3, Cl. 3A2M, 5.178%, 5/1/377 |
$ | 16,939,538 | $ | 14,746,232 | ||||
Wells Fargo
Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.028%, 9/1/357 |
1,548,570 | 1,368,127 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1,
2.668%, 3/25/367 |
4,638,313 | 3,969,742 | ||||||
49,131,296 | ||||||||
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 | 9,505,591 | ||||||
Residential4.2% |
||||||||
Argent
Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.202%, 5/25/347 |
4,625,802 | 3,902,574 | ||||||
Argent
Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.342%, 9/25/367 |
1,493,235 | 491,426 | ||||||
Banc of
America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/517 |
23,790,000 | 23,884,779 | ||||||
Banc of
America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.538%, 5/1/367 |
7,545,000 | 7,217,415 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates,
Series 2004-2, Cl. 12A2, 2.896%, 5/1/347 |
7,612,808 | 6,724,888 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates,
Series 2004-9, Cl. 23A1, 3.372%, 11/1/347 |
2,388,136 | 2,401,066 | ||||||
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates,
Series 2003-2, Cl. 2A2, 0.802%, 2/25/337 |
23,548 | 21,363 | ||||||
Chase
Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 2.773%, 2/1/377 |
2,692,181 | 2,644,684 | ||||||
CHL Mortgage
Pass-Through Trust 2005-24, Mtg. Pass-Through Certificates, Series 2005-24, Cl. A35, 5.50%, 11/1/35 |
536,885 | 534,500 | ||||||
CHL Mortgage
Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 |
5,643,994 | 5,066,128 | ||||||
CHL Mortgage
Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
20,586,207 | 18,084,901 | ||||||
CHL Mortgage
Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 |
5,170,112 | 5,113,282 | ||||||
CHL Mortgage
Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 |
4,983,775 | 4,969,232 | ||||||
CHL Mortgage
Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
1,095,041 | 1,071,257 | ||||||
CHL Mortgage
Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 3.051%, 6/1/477 |
5,620,848 | 4,056,754 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
Citigroup
Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 3.105%, 5/1/357 |
$ | 6,301,503 | $ | 5,719,253 | ||||
Citigroup
Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 4.979%, 8/1/357 |
12,472,297 | 9,214,034 | ||||||
Citigroup
Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 1 A2, 2.963%, 3/1/367 |
15,230,687 | 11,339,506 | ||||||
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 | 22,158,538 | ||||||
CitiMortgage
Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 |
3,235,316 | 3,083,049 | ||||||
Countrywide
Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 |
25,576,458 | 17,509,426 | ||||||
Countrywide
Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 |
9,705,634 | 6,835,081 | ||||||
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16,
Cl. 2AF2, 5.343%, 5/1/367 |
1,306,059 | 1,012,304 | ||||||
CWABS
Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.362%, 6/25/477 |
7,755,981 | 6,938,012 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: |
||||||||
Series 2006-H, Cl. 2A1A, 0.392%, 11/15/367 |
173,989 | 47,410 | ||||||
Series 2005-G, Cl. 2A, 0.472%, 12/15/357 |
433,869 | 235,712 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates,
Series 2004-5, Cl. 2A1, 2.776%, 5/1/347 |
7,837,915 | 6,959,199 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates,
Series 2005-AR6, Cl. 1A4, 2.673%, 9/1/357 |
16,170,475 | 15,514,892 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates,
Series 2005-AR7, Cl. 4A1, 5.193%, 11/1/357 |
5,255,866 | 4,246,701 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates,
Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
1,780,285 | 1,727,452 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates,
Series 2005-1, Cl. M6, 5.863%, 6/1/35 |
2,774,000 | 1,530,575 | ||||||
JPMorgan
Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
5,569,906 | 4,934,238 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates,
Series 2007-A1, Cl. 7A1, 4.233%, 7/1/357 |
7,303,348 | 6,600,736 | ||||||
LB-UBS
Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.158%, 9/11/457 |
27,890,000 | 28,204,320 | ||||||
Lehman Mortgage Trust, Mtg. Pass-Through Certificates, Series 2006-1,
Cl. 1A3, 5.50%, 2/1/36 |
1,313,251 | 1,010,438 | ||||||
Mastr
Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 2.744%, 4/1/367 |
5,481,273 | 4,088,541 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
Mastr
Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.342%, 8/25/367 |
$ | 5,148,948 | $ | 1,709,371 | ||||
Merrill
Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.485%, 10/25/367 |
7,323,382 | 6,711,492 | ||||||
Merrill Lynch Mortgage Loans, Inc., Mtg. Pass-Through Certificates,
Series 2005-A1, Cl. 2A1, 2.595%, 12/25/347 |
322,221 | 320,627 | ||||||
NC Finance
Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,4 |
4,475,119 | 358,010 | ||||||
Popular ABS
Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 |
919,466 | 662,012 | ||||||
RALI
Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 |
19,682 | 20,416 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: |
||||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
161,553 | 109,873 | ||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 |
6,313,592 | 4,293,934 | ||||||
RALI
Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
2,949,437 | 1,895,780 | ||||||
Residential
Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 |
9,121,699 | 7,626,634 | ||||||
Residential
Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
14,186,558 | 11,331,329 | ||||||
Residential
Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 |
11,726,420 | 9,800,180 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities,
Series 2006-4SL, Cl. A1, 3.201%, 5/1/375,6,7 |
445,863 | 219,530 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust,
Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8,
2.466%, 10/1/357 |
6,219,294 | 5,380,958 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2,
2.52%, 9/1/367 |
2,689,139 | 1,939,848 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust,
Mtg. Pass-Through Certificates: |
||||||||
Series 2007-HY1, Cl. 4A1, 2.634%, 2/1/377 |
35,799,687 | 25,679,241 | ||||||
Series 2007-HY1, Cl. 5A1, 5.066%, 2/1/377 |
21,822,473 | 16,277,099 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.388%, 5/1/377 |
3,888,523 | 3,495,732 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust,
Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.135%, 6/25/377 |
9,581,503 | 7,031,214 | ||||||
WaMu
Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.937%, 1/1/377 |
2,987,092 | 2,304,881 | ||||||
Wells Fargo
Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
2,144,277 | 2,173,614 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued |
||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust,
Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.669%,
10/1/367 |
$ | 8,824,444 | $ | 8,011,055 | ||||
362,446,496 | ||||||||
Total Mortgage-Backed Obligations (Cost $1,716,527,898) |
1,669,725,912 | |||||||
U.S. Government Obligations5.1% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
1.125%, 7/27/12 |
69,170,000 | 69,381,937 | ||||||
2%, 8/25/16 |
4,140,000 | 4,306,635 | ||||||
2.375%, 1/13/22 |
4,097,000 | 4,028,916 | ||||||
2.50%, 5/27/16 |
5,880,000 | 6,249,170 | ||||||
5%, 2/16/17 |
22,895,000 | 27,012,986 | ||||||
5.50%, 7/18/16 |
6,710,000 | 7,992,154 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
1.125%, 4/27/17 |
26,932,000 | 26,784,224 | ||||||
4.375%, 10/15/15 |
10,660,000 | 12,015,142 | ||||||
5.375%, 6/12/17 |
18,790,000 | 22,640,860 | ||||||
U.S. Treasury Nts.: |
||||||||
2%, 11/15/21 |
10,000,000 | 9,841,410 | ||||||
2%, 2/15/2211,12 |
237,000,000 | 232,371,153 | ||||||
STRIPS, 0.891%, 8/15/1612,13 |
11,000,000 | 10,552,861 | ||||||
Total U.S. Government Obligations (Cost $436,626,248) |
433,177,448 | |||||||
Foreign Government Obligations29.8% |
||||||||
Argentina0.4% |
||||||||
Argentina (Republic of) Bonds: |
||||||||
2.50%, 12/31/387 |
15,875,000 | 5,715,000 | ||||||
7%, 10/3/15 |
15,695,000 | 14,812,156 | ||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 |
7,240,000 | 6,200,457 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/215 |
5,985,000 | 4,488,750 | ||||||
31,216,363 | ||||||||
Australia0.3% |
||||||||
New South Wales Treasury Corp. Nts., Series 15, 6%, 4/1/25 |
2,290,000 | AUD | 2,494,729 | |||||
Queensland Treasury Corp. Nts.: |
||||||||
Series 15, 6%, 10/14/15 |
3,480,000 | AUD | 3,822,806 | |||||
Series 17, 6%, 9/14/17 |
2,750,000 | AUD | 3,070,327 | |||||
Series 21, 6%, 6/14/21 |
4,305,000 | AUD | 4,856,923 | |||||
Series 24, 5.75%, 7/22/24 |
3,820,000 | AUD | 4,109,791 | |||||
Victoria Treasury Corp. Nts., Series 1116, 5.75%, 11/15/16 |
5,775,000 | AUD | 6,344,041 | |||||
Western Australia Treasury Corp. Nts., Series 15, 7%, 4/15/15 |
2,295,000 | AUD | 2,568,710 | |||||
27,267,327 |
Principal | ||||||||
Amount | Value | |||||||
Austria0.1% |
||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/195 |
4,805,000 | EUR | $ | 7,239,010 | ||||
Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 3.50%, 9/15/215 |
765,000 | EUR | 1,086,531 | |||||
8,325,541 | ||||||||
Belgium0.2% |
||||||||
Belgium (Kingdom of) Bonds, Series 58, 3.75%, 9/28/20 |
9,195,000 | EUR | 12,834,750 | |||||
Belgium (Kingdom of) Treasury Bills, 0.359%, 4/19/1213 |
4,755,000 | EUR | 6,341,211 | |||||
19,175,961 | ||||||||
Brazil3.1% |
||||||||
Brazil
(Federative Republic of) Nota Do Tesouro Nacional Bonds, 12.719%, 8/15/2014 |
30,925,000 | BRR | 38,917,777 | |||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: |
||||||||
9.762%, 1/1/14 |
49,120,000 | BRR | 27,042,976 | |||||
9.762%, 1/1/17 |
243,762,000 | BRR | 130,076,729 | |||||
9.762%, 1/1/21 |
94,893,000 | BRR | 48,604,429 | |||||
12.322%, 5/15/4514 |
12,885,000 | BRR | 17,051,299 | |||||
261,693,210 | ||||||||
Canada0.2% |
||||||||
Canada (Government of) Nts., 3.75%, 6/1/19 |
6,750,000 | CAD | 7,615,532 | |||||
Canada (Government of) Treasury Bills, Series 364, 0.896%, 7/5/1213 |
6,670,000 | CAD | 6,671,003 | |||||
14,286,535 | ||||||||
Colombia0.4% |
||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/285 |
9,872,000,000 | COP | 7,526,785 | |||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 |
19,990,000 | 24,587,700 | ||||||
32,114,485 | ||||||||
Denmark0.1% |
||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 |
20,305,000 | DKK | 4,321,422 | |||||
Finland0.0% |
||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 |
2,110,000 | EUR | 3,169,714 | |||||
France0.2% |
||||||||
France (Republic of) Bonds: |
||||||||
3.25%, 10/25/21 |
5,975,000 | EUR | 8,268,098 | |||||
3.75% 10/25/19 |
3,540,000 | EUR | 5,145,953 | |||||
4%, 4/25/60 |
1,890,000 | EUR | 2,706,263 | |||||
4.50%, 4/25/41 |
2,295,000 | EUR | 3,525,826 | |||||
19,646,140 | ||||||||
Germany0.1% |
||||||||
Germany (Federal Republic of) Bonds, 3.50%, 7/4/19 |
3,300,000 | EUR | 5,059,982 |
Principal | ||||||||
Amount | Value | |||||||
Ghana0.1% |
||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/175 |
$ | 5,625,000 | $ | 6,468,750 | ||||
Hungary1.8% |
||||||||
Hungary (Republic of) Bonds: |
||||||||
Series 12/C, 6%, 10/24/12 |
767,000,000 | HUF | 3,442,437 | |||||
Series 12/B, 7.25%, 6/12/12 |
21,797,000,000 | HUF | 98,397,274 | |||||
Series 14/D, 6.75%, 8/22/14 |
1,549,000,000 | HUF | 6,830,428 | |||||
Series 16/C, 5.50%, 2/12/16 |
1,048,000,000 | HUF | 4,282,780 | |||||
Series 17/B, 6.75%, 2/24/17 |
1,829,000,000 | HUF | 7,638,292 | |||||
Series 19/A, 6.50%, 6/24/19 |
1,253,000,000 | HUF | 4,973,364 | |||||
Series 20/A, 7.50%, 11/12/20 |
1,554,000,000 | HUF | 6,434,985 | |||||
Hungary (Republic of) Sr. Unsec. Bonds: |
||||||||
4.50%, 1/29/14 |
5,340,000 | EUR | 6,810,051 | |||||
7.625%, 3/29/41 |
3,940,000 | 3,585,400 | ||||||
Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 |
4,320,000 | EUR | 5,039,280 | |||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 |
10,780,000 | 9,917,600 | ||||||
157,351,891 | ||||||||
Indonesia0.4% |
||||||||
Indonesia (Republic of) Nts., 5.25%, 1/17/425 |
11,170,000 | 11,770,388 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/215 |
3,150,000 | 3,429,563 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/385 |
9,610,000 | 13,381,925 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/375 |
1,860,000 | 2,306,400 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/355 |
4,780,000 | 7,134,150 | ||||||
38,022,426 | ||||||||
Israel0.1% |
||||||||
Israel (State of) Sr. Unsec. Bonds, 4%, 6/30/22 |
10,835,000 | 10,733,303 | ||||||
Italy0.4% |
||||||||
Italy (Republic of) Bonds: |
||||||||
4%, 9/1/20 |
5,635,000 | EUR | 7,162,949 | |||||
5%, 9/1/40 |
3,730,000 | EUR | 4,397,658 | |||||
Series EU, 2.575%, 10/15/177 |
2,295,000 | EUR | 2,720,444 | |||||
Italy (Republic of) Nts., 1.50%, 3/1/147 |
920,000 | EUR | 1,189,648 | |||||
Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/2314 |
2,240,000 | EUR | 2,851,844 | |||||
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 |
364,000,000 | JPY | 4,396,071 | |||||
Italy (Republic of) Treasury Bonds: |
||||||||
4.75%, 9/1/21 |
6,660,000 | EUR | 8,758,132 | |||||
5.75%, 2/1/33 |
3,210,000 | EUR | 4,256,522 | |||||
Italy (Repuplic of) Treasury Bonds, 4.75%, 9/15/16 |
1,830,000 | EUR | 2,518,202 | |||||
38,251,470 |
Principal | ||||||||
Amount | Value | |||||||
Japan2.2% |
||||||||
Japan Bonds, 20 yr., Series 112, 2.10%, 6/20/29 |
4,894,000,000 | JPY | $ | 63,185,638 | ||||
Japan Sr. Unsec. Unsub. Bonds: |
||||||||
2 yr., Series 304, 0.20%, 5/15/13 |
749,000,000 | JPY | 9,058,258 | |||||
5 yr., Series 96, 0.50%, 3/20/16 |
6,038,000,000 | JPY | 73,696,938 | |||||
10 yr., Series 307, 1.30%, 3/20/20 |
3,106,000,000 | JPY | 39,165,283 | |||||
185,106,117 | ||||||||
Latvia0.1% |
||||||||
Latvia (Republic of) Nts., 5.25%, 2/22/175 |
8,315,000 | 8,595,631 | ||||||
Lithuanua0.1% |
||||||||
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/225 |
7,655,000 | 8,497,050 | ||||||
Malaysia0.1% |
||||||||
Malaysia (Government of) Sr. Unsec. Bonds, Series1/06, 4.262%, 9/15/16 |
8,050,000 | MYR | 2,727,666 | |||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/215 |
7,840,000 | 8,497,525 | ||||||
11,225,191 | ||||||||
Mexico5.9% |
||||||||
United Mexican States Bonds: |
||||||||
4.50%, 12/18/1414 |
555,775,406 | MXN | 46,686,298 | |||||
Series M, 6.50%, 6/10/217 |
640,640,000 | MXN | 51,323,657 | |||||
Series M20, 7.50%, 6/3/277 |
557,110,000 | MXN | 46,185,724 | |||||
Series M10, 7.75%, 12/14/17 |
278,745,000 | MXN | 24,241,956 | |||||
Series M10, 8%, 12/17/15 |
166,910,000 | MXN | 14,305,248 | |||||
Series M, 8%, 6/11/20 |
280,300,000 | MXN | 24,817,388 | |||||
Series MI10, 9%, 12/20/127 |
1,303,900,000 | MXN | 105,221,503 | |||||
Series M20, 10%, 12/5/247 |
135,110,000 | MXN | 13,829,549 | |||||
United Mexican States Treasury Bills: |
||||||||
4.49%, 5/31/1213 |
128,000,000 | MXN | 9,933,311 | |||||
4.507%, 5/3/1213 |
256,000,000 | MXN | 19,928,853 | |||||
4.534%, 12/13/1213 |
197,500,000 | MXN | 14,948,579 | |||||
4.544%, 6/14/1213 |
785,000,000 | MXN | 60,790,899 | |||||
4.586%, 10/18/1213 |
941,900,000 | MXN | 71,789,156 | |||||
504,002,121 | ||||||||
Panama0.2% |
||||||||
Panama (Republic of) Bonds: |
||||||||
6.70%, 1/26/36 |
4,415,000 | 5,827,800 | ||||||
8.875%, 9/30/27 |
3,430,000 | 5,273,625 | ||||||
9.375%, 4/1/29 |
3,495,000 | 5,614,718 | ||||||
16,716,143 | ||||||||
Peru0.8% |
||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 |
11,600,000 | 15,903,600 | ||||||
Peru (Republic of) Sr. Unsec. Bonds, 6.95%, 8/12/315 |
25,019,000 | PEN | 10,139,884 | |||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/205 |
83,345,000 | PEN | 36,294,571 | |||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 |
7,850,000 | 8,831,250 | ||||||
71,169,305 |
Principal | ||||||||
Amount | Value | |||||||
Philippines0.1% |
||||||||
Philippines (Republic of the) Sr. Unsec. Bonds, 5%, 1/13/37 |
$ | 7,285,000 | $ | 7,631,038 | ||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 |
4,180,000 | 5,167,525 | ||||||
12,798,563 | ||||||||
Poland1.4% |
||||||||
Poland (Republic of) Bonds: |
||||||||
Series 0415, 5.50%, 4/25/15 |
7,905,000 | PLZ | 2,599,886 | |||||
Series 0416, 5%, 4/25/16 |
207,590,000 | PLZ | 67,272,342 | |||||
Series 1017, 5.25%, 10/25/17 |
96,995,000 | PLZ | 31,597,877 | |||||
Poland (Republic of) Sr. Unsec. Nts.: |
||||||||
5%, 3/23/22 |
6,110,000 | 6,470,612 | ||||||
5.125%, 4/21/21 |
9,005,000 | 9,662,365 | ||||||
117,603,082 | ||||||||
Qatar0.2% |
||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/205 |
6,050,000 | 6,700,375 | ||||||
Qatar (State of) Sr. Unsec. Nts.: |
||||||||
5.75%, 1/20/425 |
4,605,000 | 5,001,951 | ||||||
6.40%, 1/20/405 |
2,700,000 | 3,165,750 | ||||||
14,868,076 | ||||||||
Romania0.2% |
||||||||
Romania Sr. Unsec. Bonds, 6.75%, 2/7/225 |
16,995,000 | 17,844,750 | ||||||
Russia1.2% |
||||||||
Russian Federation Bonds: |
||||||||
5%, 4/29/205 |
2,005,000 | 2,147,054 | ||||||
Series 5077, 7.35%, 1/20/16 |
459,900,000 | RUR | 15,851,579 | |||||
Series 5079, 7%, 6/3/15 |
698,400,000 | RUR | 23,888,668 | |||||
Series 6206, 7.40%, 6/14/17 |
889,000,000 | RUR | 30,513,393 | |||||
Russian Federation Unsec. Bonds: |
||||||||
4.50%, 4/4/224,8 |
10,505,000 | 10,578,535 | ||||||
5.625%, 4/4/424,8 |
15,760,000 | 15,893,960 | ||||||
98,873,189 | ||||||||
Singapore0.0% |
||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 |
2,440,000 | SGD | 2,108,831 | |||||
South Africa2.4% |
||||||||
South Africa (Republic of) Bonds: |
||||||||
Series R209, 6.25%, 3/31/36 |
230,990,000 | ZAR | 22,301,029 | |||||
Series R208, 6.75%, 3/31/21 |
278,920,000 | ZAR | 33,808,224 | |||||
Series R213, 7%, 2/28/31 |
296,640,000 | ZAR | 32,297,449 | |||||
Series R207, 7.25%, 1/15/20 |
427,410,000 | ZAR | 54,063,493 | |||||
Series R186, 10.50%, 12/21/26 |
357,465,000 | ZAR | 55,016,245 | |||||
South Africa (Republic of) Sr. Unsec. Nts., 4.665%, 1/17/24 |
4,155,000 | 4,269,263 | ||||||
201,755,703 |
Principal | ||||||||
Amount | Value | |||||||
Spain0.2% |
||||||||
Instituto de Credito Oficial Sr. Unsec. Unsub. Nts., 5%, 11/14/16 |
$ | 1,470,000 | $ | 1,476,615 | ||||
Spain (Kingdom of) Bonds: |
||||||||
4.25%, 10/31/16 |
4,945,000 | EUR | 6,646,425 | |||||
5.85%, 1/31/22 |
3,620,000 | EUR | 5,005,738 | |||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.30%, 10/31/19 |
2,750,000 | EUR | 3,521,719 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 |
1,835,000 | EUR | 1,998,043 | |||||
18,648,540 | ||||||||
Sri Lanka0.1% |
||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: |
||||||||
6.25%, 10/4/205 |
5,520,000 | 5,520,000 | ||||||
6.25% 7/27/215 |
6,920,000 | 6,921,882 | ||||||
12,441,882 | ||||||||
The Netherlands0.2% |
||||||||
Netherlands (Kingdom of the) Bonds: |
||||||||
4%, 7/15/18 |
1,965,000 | EUR | 2,984,547 | |||||
4%, 7/15/19 |
6,430,000 | EUR | 9,832,560 | |||||
12,817,107 | ||||||||
Turkey4.5% |
||||||||
Turkey (Republic of) Bonds: |
||||||||
6.875%, 3/17/36 |
11,435,000 | 12,750,025 | ||||||
7%, 3/11/19 |
5,350,000 | 6,139,125 | ||||||
8.68%, 2/20/1313 |
63,730,000 | TRY | 32,953,091 | |||||
8.984%, 11/7/1213 |
353,200,000 | TRY | 187,380,497 | |||||
9%, 3/5/14 |
25,800,000 | TRY | 14,475,678 | |||||
9%, 3/8/17 |
26,010,000 | TRY | 14,484,052 | |||||
10.012%, 7/17/1313 |
83,765,000 | TRY | 41,854,301 | |||||
10.50%, 1/15/207 |
4,165,000 | TRY | 2,486,428 | |||||
11%, 8/6/14 |
31,040,000 | TRY | 18,094,911 | |||||
15.577%, 8/14/1314 |
8,410,000 | TRY | 7,016,423 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 |
6,870,000 | 7,952,025 | ||||||
Turkey (Republic of) Unsec. Bonds, 6.25%, 9/26/22 |
22,740,000 | 24,559,200 | ||||||
Turkey (Republic of) Unsec. Nts.: |
||||||||
5.125%, 3/25/22 |
5,015,000 | 4,989,925 | ||||||
6%, 1/14/41 |
10,130,000 | 10,028,700 | ||||||
385,164,381 | ||||||||
Ukraine0.2% |
||||||||
Financing of
Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/175 |
6,430,000 | 5,538,159 | ||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/205 |
4,055,000 | 3,487,300 |
Principal | ||||||||
Amount | Value | |||||||
Ukraine Continued |
||||||||
Ukraine (Republic of) Sr. Unsec. Nts.: |
||||||||
6.75%, 11/14/175 |
$ | 6,120,000 | $ | 5,385,600 | ||||
7.95%, 2/23/215 |
3,850,000 | 3,330,250 | ||||||
17,741,309 | ||||||||
United Kingdom0.5% |
||||||||
United Kingdom Treasury Bonds: |
||||||||
4%, 9/7/16 |
6,800,000 | GBP | 12,352,387 | |||||
4.75%, 3/7/20 |
4,850,000 | GBP | 9,474,473 | |||||
4.75%, 12/7/38 |
8,430,000 | GBP | 16,952,094 | |||||
38,778,954 | ||||||||
Uruguay0.3% |
||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 |
10,705,000 | 14,960,238 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 |
9,285,000 | 12,836,513 | ||||||
27,796,751 | ||||||||
Venezuela1.0% |
||||||||
Venezuela (Republic of) Bonds: |
||||||||
9%, 5/7/23 |
20,115,000 | 17,248,613 | ||||||
11.95%, 8/5/31 |
9,535,000 | 9,439,650 | ||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 |
9,685,000 | 7,772,213 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||
7.75%, 10/13/19 |
7,305,000 | 6,172,725 | ||||||
12.75%, 8/23/22 |
5,235,000 | 5,522,925 | ||||||
Venezuela (Republic of) Unsec. Bonds: |
||||||||
7%, 3/31/38 |
14,630,000 | 10,460,450 | ||||||
7.65%, 4/21/25 |
16,795,000 | 12,764,200 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/185 |
17,155,000 | 18,184,300 | ||||||
87,565,076 | ||||||||
Total Foreign Government Obligations (Cost $2,524,715,393) |
2,549,222,272 | |||||||
Loan Participations0.9% |
||||||||
Brock
Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/187 |
2,315,000 | 2,286,063 | ||||||
Cengage
Learning Holdings II LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.50%, 7/3/147 |
6,262,837 | 5,795,360 | ||||||
Cengage
Learning Holdings II LP, Sr. Sec. Credit Facilities Term Loan, 2.50%, 7/3/147 |
1,994,778 | 1,845,882 | ||||||
Clear
Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 2.50%, 1/29/167 |
13,454,916 | 10,943,893 | ||||||
Crestwood
Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 8.25%, 3/8/187,8 |
3,645,000 | 3,716,380 |
Principal | ||||||||
Amount | Value | |||||||
Loan Participations Continued |
||||||||
Entegra
Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.92%, 10/19/157,15 |
$ | 919,010 | $ | 526,899 | ||||
Entegra
Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.898%, 10/19/157,15 |
29,261,166 | 16,776,393 | ||||||
iStar
Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 5.75%, 3/19/177,8 |
7,320,000 | 7,312,043 | ||||||
Lone Star
Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 9.50%, 8/7/197,8 |
4,435,000 | 4,507,069 | ||||||
Nuveen
Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 3/1/197,8 |
8,310,000 | 8,476,200 | ||||||
OneLink
Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche B, 10%, 10/31/137 |
3,945,000 | 3,851,306 | ||||||
Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan: |
||||||||
7.50%, 2/17/177,8 |
1,115,000 | 1,101,461 | ||||||
9%, 2/17/177,8 |
6,490,000 | 6,411,192 | ||||||
Springleaf
Financial Services, Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.50%, 5/10/177,8 |
4,000,000 | 3,692,500 | ||||||
Texas
Competitive Electric Holdings Co. LLC, Non-Extended Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.743%, 10/10/147,8 |
5,810,000 | 3,570,727 | ||||||
Total Loan Participations (Cost $81,823,726) |
80,813,368 | |||||||
Corporate Bonds and Notes27.0% |
||||||||
Consumer Discretionary3.8% |
||||||||
Auto Components0.5% |
||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 |
8,145,000 | 8,694,788 | ||||||
Tower
Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/175 |
17,338,000 | 18,898,420 | ||||||
UCI International, Inc., 8.625% Sr. Unsec. Nts., 2/15/19 |
2,210,000 | 2,281,825 | ||||||
Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 |
9,180,000 | 9,363,600 | ||||||
39,238,633 | ||||||||
Automobiles0.0% |
||||||||
Jaguar Land Rover plc: |
||||||||
7.75% Sr. Unsec. Bonds, 5/15/185 |
1,455,000 | 1,498,650 | ||||||
8.25% Sr. Nts., 3/15/204 |
900,000 | GBP | 1,443,138 | |||||
2,941,788 | ||||||||
Diversified Consumer Services0.1% |
||||||||
Monitronics International, Inc., 9.125% Sr. Nts., 4/1/205 |
1,655,000 | 1,683,963 | ||||||
ServiceMaster Co., 8% Sr. Nts., 2/15/205 |
2,220,000 | 2,375,400 | ||||||
4,059,363 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure1.2% |
||||||||
Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18
|
$ | 6,875,000 | $ | 7,192,969 | ||||
Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18
|
3,160,000 | 3,555,000 | ||||||
Chester Downs & Marina LLC, 9.25% Sr. Sec. Nts., 1/15/205
|
3,555,000 | 3,763,856 | ||||||
CKE Restaurants, Inc., 11.375% Sec. Nts., 7/15/18
|
1,495,000 | 1,715,513 | ||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/165
|
6,635,000 | 7,128,478 | ||||||
Harrahs Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18
|
35,012,000 | 27,221,830 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/175
|
9,230,000 | 9,160,775 | ||||||
Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19
|
7,545,000 | 7,658,175 | ||||||
Landrys Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15
|
5,360,000 | 5,996,500 | ||||||
MCE Finance Ltd., 10.25% Sr. Sec. Nts., 5/15/18
|
3,650,000 | 4,115,375 | ||||||
MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15
|
14,560,000 | 15,033,200 | ||||||
Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12
|
4,751,000 | 4,751,000 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19
|
5,780,000 | 6,516,950 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/083,4
|
10,850,000 | | ||||||
103,809,621 | ||||||||
Household Durables0.2% |
||||||||
Beazer Homes USA, Inc.: |
||||||||
6.875% Sr. Unsec. Nts., 7/15/15
|
3,690,000 | 3,477,825 | ||||||
9.125% Sr. Unsec. Nts., 5/15/19
|
10,500,000 | 9,082,500 | ||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22
|
830,000 | 873,575 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: |
||||||||
9% Sr. Nts., 4/15/195
|
3,670,000 | 3,633,300 | ||||||
9% Sr. Nts., 5/15/185
|
3,830,000 | 3,839,575 | ||||||
20,906,775 | ||||||||
Media1.5% |
||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15
|
4,275,000 | 3,890,250 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18
|
11,690,000 | 10,696,350 | ||||||
AMC Entertainment, Inc., 8.75% Sr. Unsec. Nts., 6/1/19
|
3,435,000 | 3,615,338 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27
|
11,109,000 | 10,747,958 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/175
|
6,535,000 | 7,049,631 | ||||||
Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13
|
11,275,000 | 11,246,813 | ||||||
Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/195
|
4,605,000 | 4,374,750 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17
|
7,095,000 | 7,547,306 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15
|
6,761,000 | 7,065,245 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued |
||||||||
Kabel BW
Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/195 |
$ | 5,970,000 | $ | 6,477,450 | ||||
Lamar Media Corp., 5.875% Sr. Sub. Nts., 2/1/225 |
2,885,000 | 2,949,913 | ||||||
Newport Television LLC/NTV Finance Corp., 13.75% Sr. Nts., 3/15/175 |
8,461,647 | 8,588,572 | ||||||
Nexstar
Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 |
6,625,000 | 7,138,438 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 |
9,350,000 | 10,144,750 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/205 |
3,420,000 | 3,608,100 | ||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/215 |
4,595,000 | 4,882,188 | ||||||
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/224 |
7,220,000 | 7,454,650 | ||||||
Virgin Media Finance plc: |
||||||||
5.25% Sr. Unsec. Unsub. Nts., 2/15/22 |
2,770,000 | 2,759,613 | ||||||
8.375% Sr. Unsec. Unsub. Nts., 10/15/19 |
3,175,000 | 3,571,875 | ||||||
123,809,190 | ||||||||
Specialty Retail0.2% |
||||||||
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 |
1,830,000 | 1,912,350 | ||||||
J. Crew Group, Inc., 8.125% Sr. Unsec. Nts., 3/1/19 |
3,610,000 | 3,691,225 | ||||||
Limited Brands, Inc., 5.625% Sr. Nts., 2/15/22 |
7,265,000 | 7,364,894 | ||||||
Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 |
580,000 | 620,600 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/195 |
6,705,000 | 7,174,350 | ||||||
20,763,419 | ||||||||
Textiles, Apparel & Luxury Goods0.1% |
||||||||
Levi Strauss & Co., 7.625% Sr. Unsec. Unsub. Nts., 5/15/20 |
3,435,000 | 3,649,688 | ||||||
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 |
2,675,000 | 2,701,750 | ||||||
6,351,438 | ||||||||
Consumer Staples0.9% |
||||||||
Beverages0.0% |
||||||||
AmBev
International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/177 |
5,535,000 | BRR | 3,177,823 | |||||
Food & Staples Retailing0.2% |
||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/215 |
8,970,000 | 9,511,026 | ||||||
Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 |
3,440,000 | 3,526,000 | ||||||
13,037,026 | ||||||||
Food Products0.6% |
||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/165 |
8,035,000 | 7,372,113 | ||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/175,15 |
19,988,391 | 15,640,916 |
Principal | ||||||||
Amount | Value | |||||||
Food Products Continued |
||||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/175 |
$ | 6,088,000 | $ | 6,240,200 | ||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/155 |
7,511,000 | 7,285,670 | ||||||
Post Holdings, Inc., 7.375% Sr. Unsec. Nts., 2/15/225 |
6,930,000 | 7,276,500 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/155 |
9,220,000 | 9,888,450 | ||||||
53,703,849 | ||||||||
Household Products0.1% |
||||||||
Central Garden & Pet Co., 8.25% Sr. Sub. Nts., 3/1/18 |
500,000 | 518,125 | ||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 |
3,250,000 | 3,680,625 | ||||||
4,198,750 | ||||||||
Personal Products0.0% |
||||||||
NBTY, Inc., 9% Sr. Unsec. Nts., 10/1/18 |
1,695,000 | 1,875,094 | ||||||
Energy5.2% |
||||||||
Energy Equipment & Services0.5% |
||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 |
6,100,000 | 5,978,000 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 |
5,525,000 | 5,525,000 | ||||||
Hercules Offshore, Inc., 7.125% Sr. Sec. Nts., 4/1/175,8 |
3,650,000 | 3,659,125 | ||||||
Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/205 |
7,365,000 | 7,420,238 | ||||||
Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 |
11,630,000 | 12,851,150 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 |
6,800,000 | 7,157,000 | ||||||
SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 |
2,595,000 | 2,763,675 | ||||||
45,354,188 | ||||||||
Oil, Gas & Consumable Fuels4.7% |
||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/155 |
5,600,000 | 5,980,800 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 |
7,625,000 | 8,292,188 | ||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.,
8.75% Sr. Unsec. Sub. Nts., 6/15/18 |
5,750,000 | 6,152,500 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 |
2,710,000 | 1,991,850 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 |
4,395,000 | 4,482,900 | ||||||
Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625%
Sr. Unsec. Nts., 10/15/20 |
10,725,000 | 11,448,938 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 |
6,615,000 | 7,408,800 | ||||||
Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125%
Sr. Unsec. Nts., 7/15/225 |
6,915,000 | 7,001,438 | ||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/228 |
11,040,000 | 11,288,400 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp.,
8.50% Sr. Unsec. Unsub. Nts., 12/15/19 |
1,385,000 | 1,450,788 | ||||||
Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/225 |
4,425,000 | 4,452,656 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Gaz Capital SA: |
||||||||
7.288% Sr. Sec. Nts., 8/16/375 |
$ | 25,775,000 | $ | 29,354,632 | ||||
8.146% Sr. Sec. Nts., 4/11/185 |
13,190,000 | 15,528,983 | ||||||
8.625% Sr. Sec. Nts., 4/28/345 |
8,315,000 | 10,514,484 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/195 |
18,045,000 | 22,375,800 | ||||||
James River Coal Co., 7.875% Sr. Unsec. Unsub. Nts., 4/1/19 |
5,100,000 | 3,493,500 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/215 |
5,775,000 | 6,407,651 | ||||||
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/185 |
14,135,000 | 17,664,085 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625%
Sr. Unsec. Nts., 4/15/20 |
13,555,000 | 14,673,288 | ||||||
Lukoil International Finance BV: |
||||||||
6.125% Sr. Unsec. Nts., 11/9/205 |
18,830,000 | 20,053,950 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/225 |
3,955,000 | 4,390,050 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/195 |
3,015,000 | 3,429,563 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/215 |
11,935,000 | 12,561,588 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/155 |
4,905,000 | 4,794,638 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 |
2,595,000 | 2,348,475 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/215 |
6,213,200 | 6,648,124 | ||||||
OGX Austria GmbH, 8.375% Sr. Unsec. Nts., 4/1/225 |
3,070,000 | 3,108,375 | ||||||
Pemex Project Funding Master Trust: |
||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 |
3,110,000 | 3,576,500 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 |
15,340,000 | 17,641,000 | ||||||
Pertamina PT (Persero): |
||||||||
5.25% Nts., 5/23/215 |
8,765,000 | 9,312,813 | ||||||
6.50% Sr. Unsec. Nts., 5/27/415 |
3,930,000 | 4,283,700 | ||||||
Petrobras International Finance Co., 5.75% Sr. Unsec. Unsub.
Nts., 1/20/20 |
6,185,000 | 6,880,497 | ||||||
Petroleos de Venezuela SA: |
||||||||
4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 |
10,430,000 | 9,360,925 | ||||||
8.50% Sr. Nts., 11/2/175 |
16,085,000 | 14,339,778 | ||||||
12.75% Sr. Unsec. Nts., 2/17/225 |
7,465,000 | 7,483,663 | ||||||
Petroleos Mexicanos: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 |
6,310,000 | 6,988,325 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 |
7,460,000 | 8,530,510 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts.,
8/14/195 |
9,010,000 | 11,199,430 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/195 |
7,470,000 | 8,179,650 | ||||||
Quicksilver Resources, Inc.: |
||||||||
8.25% Sr. Unsec. Nts., 8/1/15 |
3,600,000 | 3,582,000 | ||||||
11.75% Sr. Nts., 1/1/16 |
5,115,000 | 5,434,688 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
3,215,000 | 3,544,538 | ||||||
Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/204 |
5,550,000 | 5,619,375 | ||||||
SandRidge Energy, Inc.: |
||||||||
8.75% Sr. Unsec. Nts., 1/15/20 |
3,230,000 | 3,359,200 | ||||||
9.875% Sr. Unsec. Nts., 5/15/16 |
4,820,000 | 5,253,800 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts.,
9/25/225 |
$ | 8,225,000 | $ | 8,266,125 | ||||
Tengizchevroil LLP, 6.124% Nts., 11/15/145 |
2,952,145 | 3,114,956 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 |
5,100,000 | 4,692,000 | ||||||
397,941,917 | ||||||||
Financials5.4% |
||||||||
Capital Markets0.9% |
||||||||
Credit Suisse AG (Guernsey), 1.625% Sec. Bonds, 3/6/155 |
1,101,000 | 1,104,865 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 |
5,345,000 | 5,478,625 | ||||||
Korea Development Bank (The), 3.875% Sr. Unsec. Nts., 5/4/17 |
4,700,000 | 4,875,700 | ||||||
Nationstar
Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 |
20,140,000 | 21,298,050 | ||||||
Nuveen Investments, Inc.: |
||||||||
5.50% Sr. Unsec. Nts., 9/15/15 |
3,087,000 | 2,840,040 | ||||||
10.50% Sr. Unsec. Unsub. Nts., 11/15/15 |
3,100,000 | 3,227,875 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 |
10,306,000 | 11,465,425 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 |
4,765,000 | 3,740,525 | ||||||
UBS AG (London), 2.25% Sec. Nts., 3/30/175 |
1,800,000 | 1,797,296 | ||||||
Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts.,
Series B, 8/1/16 |
19,955,000 | 12,821,088 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 8.75%
Sr. Sec. Nts., 2/1/19 |
9,375,000 | 5,203,125 | ||||||
73,852,614 | ||||||||
Commercial Banks3.3% |
||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/155 |
7,950,000 | 8,017,575 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/175 |
5,860,000 | 6,073,890 | ||||||
Australia
& New Zealand Banking Group Ltd., 2.40% Sec. Bonds, 11/23/165 |
1,800,000 | 1,816,767 | ||||||
Banco BMG SA: |
||||||||
9.15% Nts., 1/15/165 |
4,272,000 | 4,165,200 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/195 |
4,180,000 | 3,870,680 | ||||||
Banco de Credito del Peru, 5.375% Sr. Nts., 9/16/205 |
1,790,000 | 1,843,700 | ||||||
Banco de Credito del Peru/Panama, 6.875% Sub. Nts., 9/16/265,7 |
3,298,000 | 3,611,310 | ||||||
Banco del Estado de Chile, 3.875% Sr. Unsec. Nts., 2/8/225 |
5,245,000 | 5,218,775 | ||||||
Banco do Brasil SA, 5.875% Unsec. Sub. Nts., 1/26/225 |
4,220,000 | 4,363,480 | ||||||
Banco do Brasil SA (Cayman), 9.25% Perpetual Jr. Sub. Bonds5,16 |
10,115,000 | 11,025,350 | ||||||
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/225 |
7,060,000 | 7,448,300 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/205 |
4,335,000 | 4,898,550 | ||||||
Bank of Scotland plc: |
||||||||
3.875% Sr. Sec. Nts., 2/7/20 |
2,370,000 | EUR | 3,321,072 | |||||
4.50% Sr. Sec. Nts., 7/13/21 |
6,690,000 | EUR | 9,718,983 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued |
||||||||
Bank of Scotland plc: Continued |
||||||||
4.875% Sr. Sec. Nts., 12/20/24 |
770,000 | GBP | $ | 1,278,161 | ||||
4.875% Sr. Sec. Unsub. Nts., 11/8/16 |
460,000 | GBP | 794,998 | |||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/155 |
13,955,000 | 14,582,975 | ||||||
BPCE SFH SA, 3.75% Sr. Sec. Nts., 9/13/21 |
2,105,000 | EUR | 2,957,800 | |||||
CIT Group, Inc., 7% Sec. Bonds, 5/2/175 |
14,220,000 | 14,273,325 | ||||||
Compagnie de Financement Foncier: |
||||||||
4.875% Sec. Nts., 5/25/21 |
1,375,000 | EUR | 2,070,508 | |||||
5.75% Sec. Nts., 10/4/21 |
550,000 | EUR | 879,773 | |||||
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/225 |
5,365,000 | 5,552,775 | ||||||
Grupo Aval Ltd., 5.25% Sr. Unsec. Nts., 2/1/175 |
7,290,000 | 7,599,825 | ||||||
Halyk Savings Bank of Kazakhstan JSC: |
||||||||
7.25% Unsec. Unsub. Nts., 5/3/175 |
1,615,000 | 1,665,873 | ||||||
9.25% Sr. Nts., 10/16/135 |
29,880,000 | 31,822,200 | ||||||
ICICI Bank Ltd.: |
||||||||
5.50% Sr. Unsec. Nts., 3/25/155 |
11,525,000 | 11,981,909 | ||||||
6.375% Bonds, 4/30/225,7 |
11,415,000 | 10,901,325 | ||||||
Lloyds TSB Bank plc: |
||||||||
4.875% Sec. Nts., 1/13/23 |
830,000 | EUR | 1,241,780 | |||||
6% Sr. Sec. Nts., 2/8/29 |
920,000 | GBP | 1,678,027 | |||||
Sberbank of Russia Via SB Capital SA: |
||||||||
5.40% Sr. Unsec. Nts., 3/24/17 |
12,585,000 | 13,044,353 | ||||||
6.125% Sr. Nts., 2/7/225 |
10,305,000 | 10,627,031 | ||||||
Societe Generale SCF SA, 2.024% Sec. Unsub. Nts., 6/19/177 |
400,000 | 379,627 | ||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/174,8 |
2,250,000 | 2,243,385 | ||||||
Stadshypotek AB: |
||||||||
6% Sec. Unsub. Bonds, 3/18/25 |
25,000,000 | SEK | 4,169,624 | |||||
6% Sec. Unsub. Bonds, 9/21/16 |
15,000,000 | SEK | 2,556,850 | |||||
Swedbank Hypotek AB: |
||||||||
2.375% Sec. Nts., 4/5/175 |
1,710,000 | 1,717,834 | ||||||
3.75% Sr. Sec. Unsub. Nts., 3/18/15 |
24,700,000 | SEK | 3,876,266 | |||||
Toronto-Dominion Bank (The), 1.50% Sec. Bonds, 3/13/175 |
1,470,000 | 1,455,716 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/165 |
4,820,000 | 4,856,150 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/205 |
13,055,000 | 14,164,675 | ||||||
VTB Capital SA: |
||||||||
6.315% Nts., 2/22/185 |
4,750,000 | 4,776,600 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/155 |
2,995,000 | 3,189,675 | ||||||
Westpac Banking Corp., 2.45% Sr. Sec. Bonds, 11/28/165 |
1,800,000 | 1,820,183 | ||||||
WM Covered Bond Program, 4% Sec. Mtg. Nts., Series 2, 9/27/16 |
15,405,000 | EUR | 21,946,151 | |||||
Yapi ve Kredi Bankasi AS, 6.75% Sr. Unsec. Nts., 2/8/175 |
3,965,000 | 4,078,796 | ||||||
279,577,802 |
Principal | ||||||||
Amount | Value | |||||||
Consumer Finance0.1% |
||||||||
JSC Astana Finance, 9.16% Nts., 3/14/123 |
$ | 27,100,000 | $ | 2,981,000 | ||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/185 |
3,500,000 | 3,640,000 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 |
3,295,000 | 3,657,450 | ||||||
10,278,450 | ||||||||
Diversified Financial Services0.5% |
||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/264 |
9,238,368 | 8,759,820 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 |
3,040,000 | EUR | 4,187,334 | |||||
Banco Invex SA, 30.695% Mtg.-Backed Certificates,
Series 062U, 3/13/347,14 |
17,962,375 | MXN | 1,811,068 | |||||
Bank of America Corp., 4.75% Sr. Unsec. Nts., 4/3/17 |
935,000 | EUR | 1,293,607 | |||||
Caisse Centrale Desjardins du Quebec, 1.60% Sec. Bonds, 3/6/175 |
1,470,000 | 1,457,778 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 |
4,780,000 | 5,293,850 | ||||||
JPMorgan Hipotecaria su Casita: |
||||||||
8.103% Sec. Nts., 8/26/354,14 |
20,232,960 | MXN | 1,799,050 | |||||
29.03% Mtg.-Backed Certificates, Series 06U, 9/25/3514 |
7,291,801 | MXN | 1,062,848 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 |
5,515,000 | 5,775,043 | ||||||
PHH Corp., 9.25% Sr. Unsec. Unsub. Nts., 3/1/16 |
7,470,000 | 7,628,738 | ||||||
39,069,136 | ||||||||
Insurance0.1% |
||||||||
International Lease Finance Corp.: |
||||||||
8.625% Sr. Unsec. Unsub. Nts., 9/15/15 |
6,140,000 | 6,777,025 | ||||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 |
5,635,000 | 6,283,025 | ||||||
13,060,050 | ||||||||
Real Estate Investment Trusts0.2% |
||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 |
7,390,000 | 7,500,850 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 |
9,235,000 | 9,835,275 | ||||||
17,336,125 | ||||||||
Real Estate Management & Development0.3% |
||||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/155,15 |
11,148,375 | 8,807,216 | ||||||
Realogy Corp.: |
||||||||
7.625% Sr. Sec. Nts., 1/15/204 |
7,270,000 | 7,597,150 | ||||||
9% Sr. Sec. Nts., 1/15/204 |
3,720,000 | 3,831,600 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/135,7 |
8,535,000 | 7,553,475 | ||||||
27,789,441 | ||||||||
Thrifts & Mortgage Finance0.0% |
||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/165 |
2,585,000 | 2,484,961 | ||||||
Compagnie de Financement Foncier, 5.625% Sr. Sec. Nts., 6/19/17 |
255,000 | 284,396 | ||||||
2,769,357 |
Principal | ||||||||
Amount | Value | |||||||
Health Care1.1% |
||||||||
Biotechnology0.1% |
||||||||
Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 |
$ | 3,000,000 | $ | 3,262,500 | ||||
Health Care Equipment & Supplies0.3% |
||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 |
4,220,000 | 3,465,675 | ||||||
Alere, Inc.: |
||||||||
7.875% Sr. Unsec. Unsub. Nts., 2/1/16 |
3,900,000 | 4,085,250 | ||||||
8.625% Sr. Unsec. Sub. Nts., 10/1/18 |
3,835,000 | 3,988,400 | ||||||
Biomet, Inc.: |
||||||||
10.375% Sr. Unsec. Nts., 10/15/1715 |
7,605,000 | 8,232,413 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 |
7,021,000 | 7,626,561 | ||||||
27,398,299 | ||||||||
Health Care Providers & Services0.5% |
||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/1515 |
5,953,831 | 6,147,331 | ||||||
Fresenius Medical Care US Finance II, Inc.: |
||||||||
5.625% Sr. Unsec. Nts., 7/31/195 |
2,305,000 | 2,379,913 | ||||||
5.875% Sr. Unsec. Nts., 1/31/225 |
1,150,000 | 1,184,500 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 |
4,415,000 | 4,139,063 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 |
8,090,000 | 7,088,863 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/185 |
4,240,000 | 4,600,400 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 |
4,245,000 | 2,801,700 | ||||||
PSS World Medical, Inc., 6.375% Sr. Unsec. Unsub. Nts., 3/1/225 |
1,660,000 | 1,713,950 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 |
4,470,000 | 3,609,525 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 |
5,479,000 | 5,444,756 | ||||||
US Oncology,
Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)3 |
6,485,000 | 162,125 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II,
Inc., 8% Sr. Nts., 2/1/18 |
5,940,000 | 6,088,500 | ||||||
45,360,626 | ||||||||
Health Care Technology0.0% |
||||||||
MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 |
1,175,000 | 1,239,625 | ||||||
Life Sciences Tools & Services0.0% |
||||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec.
Nts., 12/1/195 |
2,875,000 | 3,133,750 | ||||||
Pharmaceuticals0.2% |
||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 |
2,015,000 | 2,055,300 | ||||||
Mylan, Inc., 6% Sr. Nts., 11/15/185 |
3,100,000 | 3,255,000 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec.
Nts., 12/1/185 |
2,915,000 | 2,951,438 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec.
Nts., 9/15/18 |
8,635,000 | 9,045,163 | ||||||
17,306,901 |
Principal | ||||||||
Amount | Value | |||||||
Industrials2.6% |
||||||||
Aerospace & Defense0.6% |
||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 |
$ | 3,136,000 | $ | 3,449,600 | ||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 |
15,220,000 | 13,298,475 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub.
Nts., 3/15/21 |
5,260,000 | 5,661,075 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 |
4,195,000 | 4,562,063 | ||||||
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/194 |
1,665,000 | 1,769,063 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 |
9,905,000 | 10,771,688 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 |
10,290,000 | 11,576,250 | ||||||
51,088,214 | ||||||||
Air Freight & Logistics0.0% |
||||||||
AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/185 |
2,940,000 | 3,072,300 | ||||||
Airlines0.2% |
||||||||
American Airlines 2011-2 Class A Pass Through Trust, 8.625%
Sec. Certificates, 4/15/23 |
1,580,000 | 1,666,900 | ||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/155 |
13,555,000 | 14,673,288 | ||||||
16,340,188 | ||||||||
Building Products0.2% |
||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/175 |
4,230,000 | 4,134,825 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 |
11,400,000 | 11,571,000 | ||||||
Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625%
Sr. Sec. Nts., 12/1/175 |
3,785,000 | 4,031,025 | ||||||
19,736,850 | ||||||||
Commercial Services & Supplies0.2% |
||||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 |
7,455,000 | 7,268,625 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/185 |
2,980,000 | 3,173,700 | ||||||
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 |
6,500,000 | 7,166,250 | ||||||
17,608,575 | ||||||||
Construction & Engineering0.3% |
||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/245 |
14,564,977 | 17,132,783 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/205 |
3,590,000 | 4,020,082 | ||||||
21,152,865 | ||||||||
Electrical Equipment0.1% |
||||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 |
6,166,000 | 6,813,430 | ||||||
Machinery0.4% |
||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/164 |
6,930,000 | 7,207,200 | ||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/165 |
1,945,000 | 2,095,738 |
Principal | ||||||||
Amount | Value | |||||||
Machinery Continued |
||||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 |
$ | 9,755,000 | $ | 10,779,275 | ||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 |
7,000,000 | 7,280,000 | ||||||
Thermadyne Holdings Corp.: |
||||||||
9% Sr. Sec. Nts., 12/15/17 |
5,180,000 | 5,335,400 | ||||||
9% Sr. Sec. Nts., 12/15/175 |
2,215,000 | 2,281,450 | ||||||
34,979,063 | ||||||||
Marine0.2% |
||||||||
Marquette
Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 |
10,430,000 | 11,042,763 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S.,
Inc., 8.875% Sr. Sec. Nts., 11/1/17 |
2,115,000 | 2,178,450 | ||||||
13,221,213 | ||||||||
Professional Services0.0% |
||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/154 |
3,643,000 | 3,479,065 | ||||||
Road & Rail0.3% |
||||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 |
13,610,000 | 14,511,663 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/205 |
3,050,000 | 3,393,125 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/155 |
13,924,000 | 5,848,080 | ||||||
23,752,868 | ||||||||
Trading Companies & Distributors0.1% |
||||||||
UR Financing Escrow Corp.: |
||||||||
7.375% Sr. Unsec. Nts., 5/15/205 |
8,860,000 | 9,081,500 | ||||||
7.625% Sr. Unsec. Nts., 4/15/225 |
2,215,000 | 2,281,450 | ||||||
11,362,950 | ||||||||
Information Technology1.2% |
||||||||
Communications Equipment0.1% |
||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/195 |
7,145,000 | 7,198,588 | ||||||
ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/205 |
3,321,000 | 3,420,630 | ||||||
10,619,218 | ||||||||
Computers & Peripherals0.1% |
||||||||
Seagate HDD Cayman, 7% Sr. Unsec. Nts., 11/1/215 |
6,095,000 | 6,582,600 | ||||||
Electronic Equipment & Instruments0.1% |
||||||||
CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 |
7,150,000 | 7,802,438 | ||||||
Internet Software & Services0.2% |
||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 |
13,410,000 | 14,147,550 | ||||||
Lawson Software, Inc., 9.375% Sr. Nts., 4/1/195,8 |
1,385,000 | 1,436,938 | ||||||
15,584,488 |
Principal | ||||||||
Amount | Value | |||||||
IT Services0.2% |
||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 |
$ | 8,195,000 | $ | 7,436,963 | ||||
First Data Corp.: |
||||||||
8.875% Sr. Sec. Nts., 8/15/205 |
8,875,000 | 9,662,656 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 |
3,485,000 | 3,519,850 | ||||||
12.625% Sr. Unsec. Nts., 1/15/21 |
3,465,000 | 3,490,988 | ||||||
24,110,457 | ||||||||
Semiconductors & Semiconductor Equipment0.4% |
||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 |
9,960,000 | 11,005,800 | ||||||
Amkor Technologies, Inc., 6.625% Sr. Unsec. Nts., 6/1/21 |
3,435,000 | 3,568,106 | ||||||
Freescale Semiconductor, Inc.: |
||||||||
9.25% Sr. Sec. Nts., 4/15/185 |
6,025,000 | 6,627,500 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 |
7,467,000 | 8,419,043 | ||||||
NXP BV/NXP Funding LLC, 9.75% Sr. Sec. Nts., 8/1/185 |
3,195,000 | 3,626,325 | ||||||
33,246,774 | ||||||||
Software0.1% |
||||||||
SunGard Data Systems, Inc.: |
||||||||
7.375% Sr. Unsec. Nts., 11/15/18 |
2,085,000 | 2,225,738 | ||||||
7.625% Sr. Unsec. Nts., 11/15/20 |
2,935,000 | 3,147,788 | ||||||
5,373,526 | ||||||||
Materials2.3% |
||||||||
Chemicals0.8% |
||||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/415 |
2,980,000 | 3,005,330 | ||||||
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/215 |
12,705,000 | 13,363,119 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 |
5,830,000 | 5,975,750 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: |
||||||||
8.875% Sr. Sec. Nts., 2/1/18 |
3,680,000 | 3,827,200 | ||||||
9% Sec. Nts., 11/15/20 |
5,000,000 | 4,675,000 | ||||||
Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/195 |
5,560,000 | 5,893,600 | ||||||
Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 |
12,709,000 | 14,329,398 | ||||||
LyondellBasell Industries NV, 6% Sr. Nts., 11/15/215 |
5,745,000 | 6,060,975 | ||||||
Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 |
8,120,000 | 7,145,600 | ||||||
Scotts Miracle-Gro Co. (The), 6.625% Sr. Unsec. Unsub. Nts., 12/15/20 |
925,000 | 978,188 | ||||||
65,254,160 | ||||||||
Construction Materials0.2% |
||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/215 |
5,765,000 | 6,132,519 | ||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/205 |
4,024,000 | 3,732,260 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/185 |
6,590,000 | 6,244,025 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 |
4,825,000 | 4,879,281 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/205 |
620,000 | 659,866 | ||||||
21,647,951 |
Principal | ||||||||
Amount | Value | |||||||
Containers & Packaging0.2% |
||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 |
$ | 5,895,000 | $ | 6,469,763 | ||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 |
7,805,000 | 8,253,788 | ||||||
Rock-Tenn Co., 4.45% Sr. Unsec. Nts., 3/1/195 |
1,660,000 | 1,669,329 | ||||||
16,392,880 | ||||||||
Metals & Mining0.5% |
||||||||
Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 |
14,170,000 | 14,896,213 | ||||||
Alrosa Finance SA, 7.75% Nts., 11/3/205 |
6,070,000 | 6,510,075 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/165 |
4,650,000 | 3,964,125 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/195 |
3,050,000 | 3,482,490 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/165 |
4,805,000 | 4,492,675 | ||||||
JSC Severstal, 6.70% Nts., 10/25/175 |
7,410,000 | 7,530,413 | ||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 |
1,740,000 | 1,914,000 | ||||||
42,789,991 | ||||||||
Paper & Forest Products0.6% |
||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/185 |
5,801,000 | 6,685,653 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/155 |
13,895,000 | 14,485,538 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/163,5 |
14,799,000 | 7,769,475 | ||||||
Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 |
7,540,000 | 7,841,600 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/143 |
16,450,000 | 11,103,750 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/155 |
5,600,000 | 4,144,000 | ||||||
52,030,016 | ||||||||
Telecommunication Services1.9% |
||||||||
Diversified Telecommunication Services1.0% |
||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/195 |
7,318,000 | 6,037,350 | ||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/165 |
11,210,000 | BRR | 6,355,885 | |||||
Cincinnati Bell, Inc.: |
||||||||
8.25% Sr. Nts., 10/15/17 |
4,975,000 | 5,105,594 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 |
7,115,000 | 6,679,206 | ||||||
Frontier Communications Corp.: |
||||||||
8.25% Sr. Unsec. Nts., 4/15/17 |
3,500,000 | 3,780,000 | ||||||
8.50% Sr. Unsec. Nts., 4/15/20 |
2,325,000 | 2,458,688 | ||||||
Intelsat Bermuda Ltd.: |
||||||||
11.25% Sr. Unsec. Nts., 2/4/17 |
7,640,000 | 7,964,700 | ||||||
11.50% Sr. Unsec. Nts., 2/4/1715 |
5,259,375 | 5,482,898 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/20 |
2,810,000 | 2,961,038 | ||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 |
6,670,000 | 7,320,325 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/205 |
18,024,000 | 18,618,792 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/185 |
7,235,000 | 6,837,075 | ||||||
Windstream Corp., 7.50% Sr. Unsec. Nts., 6/1/225 |
7,405,000 | 7,756,738 | ||||||
87,358,289 |
Principal | ||||||||
Amount | Value | |||||||
Wireless Telecommunication Services0.9% |
||||||||
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
42,300,000 | MXN | $ | 3,232,026 | ||||
Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 |
9,120,000 | 8,994,600 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
7,085,000 | 7,058,431 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/205 |
7,605,000 | 8,835,565 | ||||||
Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 |
7,715,000 | 7,483,550 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 |
1,805,000 | 1,556,813 | ||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/185 |
6,635,000 | 7,298,500 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: |
||||||||
7.748% Sec. Nts., 2/2/215 |
4,515,000 | 4,475,494 | ||||||
9.125% Sr. Unsec. Nts., 4/30/185 |
16,220,000 | 17,801,450 | ||||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/225 |
7,585,000 | 7,395,375 | ||||||
74,131,804 | ||||||||
Utilities2.6% |
||||||||
Electric Utilities1.6% |
||||||||
Centrais Eletricas Brasileiras SA: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 10/27/215 |
8,925,000 | 9,813,038 | ||||||
6.875% Sr. Unsec. Unsub. Nts., 7/30/195 |
4,575,000 | 5,438,760 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75%
Nts., 10/25/225 |
3,000,000 | 1,830,000 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts.,
7/29/195 |
5,270,000 | 6,316,095 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec.
Nts., 12/1/20 |
6,594,000 | 7,220,430 | ||||||
Eskom Holdings Ltd.: |
||||||||
5.75% Sr. Unsec. Bonds, 1/26/215 |
5,870,000 | 6,192,850 | ||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 |
115,000,000 | ZAR | 13,678,629 | |||||
10% Nts., Series ES23, 1/25/23 |
137,000,000 | ZAR | 19,739,269 | |||||
Israel Electric Corp. Ltd.: |
||||||||
6.70% Sr. Unsec. Nts., 2/10/175 |
5,145,000 | 5,308,261 | ||||||
7.25% Nts., 1/15/195 |
22,400,000 | 22,887,693 | ||||||
Majapahit Holding BV: |
||||||||
7.75% Nts., 10/17/165 |
8,660,000 | 10,056,425 | ||||||
8% Sr. Unsec. Nts., 8/7/195 |
5,990,000 | 7,307,800 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
421,000,000 | PHP | 10,004,454 | |||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/215 |
8,060,000 | 8,483,150 | ||||||
Texas Competitive Electric Holdings Co. LLC: |
||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 |
20,940,000 | 4,894,725 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 |
5,445,000 | 1,211,513 | ||||||
140,383,092 | ||||||||
Energy Traders0.6% |
||||||||
AES Corp. (The): |
||||||||
7.375% Sr. Unsec. Nts., 7/1/215 |
1,910,000 | 2,120,100 | ||||||
8% Sr. Unsec. Unsub. Nts., 10/15/17 |
3,190,000 | 3,608,688 |
Principal | ||||||||
Amount | Value | |||||||
Energy Traders Continued |
||||||||
Calpine Corp.: |
||||||||
7.50% Sr. Sec. Nts., 2/15/215 |
$ | 3,310,000 | $ | 3,549,975 | ||||
7.875% Sr. Sec. Nts., 1/15/235 |
2,030,000 | 2,202,550 | ||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/205 |
6,540,000 | 6,980,175 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/215 |
6,265,000 | 6,703,550 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 |
6,860,000 | 7,477,400 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/185 |
998,000 | 1,007,980 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/175 |
2,085,000 | 2,199,675 | ||||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 |
13,563,000 | 14,156,381 | ||||||
50,006,474 | ||||||||
Gas Utilities0.2% |
||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec.
Nts., 5/20/20 |
7,040,000 | 7,163,200 | ||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec.
Unsub. Nts., 11/10/215 |
4,180,000 | 4,451,700 | ||||||
Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 |
2,590,000 | 2,350,425 | ||||||
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec.
Nts., 3/20/225 |
5,200,000 | 5,293,600 | ||||||
19,258,925 | ||||||||
Multi-Utilities0.1% |
||||||||
Abu Dhabi National Energy Co. (TAQA), 5.875% Sr. Unsec.
Nts., 12/13/215 |
6,315,000 | 6,757,050 | ||||||
Water Utilities0.1% |
||||||||
Cia de Saneamento Basico do Estado de Sao Paulo, 6.25%
Sr. Unsec. Nts., 12/16/205 |
5,585,000 | 5,975,950 | ||||||
Total Corporate Bonds and Notes (Cost $2,313,883,730) |
2,310,517,214 | |||||||
Shares | ||||||||
Preferred Stocks0.1% |
||||||||
Ally Financial, Inc., 7% Cum., Series G, Non-Vtg.2 |
7,587 | 6,321,157 | ||||||
Greektown Superholdings, Inc., Cv., Series A-11,2 |
109,250 | 5,930,909 | ||||||
Total Preferred Stocks (Cost $17,913,763) |
12,252,066 | |||||||
Common Stocks0.4% |
||||||||
AbitibiBowater, Inc.2 |
235,955 | 3,369,437 | ||||||
American Media Operations, Inc.2 |
535,548 | 6,962,124 | ||||||
Arco Capital Corp. Ltd.1,2,4 |
2,494,716 | 3,742,074 | ||||||
Dana Holding Corp. |
228,213 | 3,537,302 | ||||||
Gaylord Entertainment Co., Cl. A2 |
49,483 | 1,524,076 | ||||||
Global Aviation Holdings, Inc.2 |
3,200 | | ||||||
Greektown Superholdings, Inc., Series A-11,2 |
8,267 | 417,484 |
Shares | Value | |||||||
Common Stocks Continued |
||||||||
Huntsman Corp. |
95,115 | $ | 1,332,561 | |||||
Kaiser Aluminum Corp. |
2,405 | 113,660 | ||||||
LyondellBasell Industries NV, Cl. A |
89,036 | 3,886,421 | ||||||
Orbcomm, Inc.2 |
30,391 | 117,005 | ||||||
Premier Holdings Ltd.2 |
799,833 | | ||||||
USA Mobility, Inc. |
44 | 613 | ||||||
Visteon Corp.2 |
71,615 | 3,795,595 | ||||||
Walter Industries, Inc. |
14,535 | 860,617 | ||||||
Whiting Petroleum Corp.2 |
29,236 | 1,587,515 | ||||||
Total Common Stocks (Cost $80,652,472) |
31,246,484 | |||||||
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 2
(Cost $9,381,486) |
31,274 | 1,125 | ||||||
Principal | ||||||||
Amount | ||||||||
Structured Securities3.7% |
||||||||
Barclays Bank plc: |
||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 |
39,800,000,000 | IDR | 5,973,917 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22,
11%, 9/17/25 |
12,169,000,000 | IDR | 1,866,472 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 50,
10.50%, 8/19/30 |
30,680,000,000 | IDR | 4,605,020 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51,
10.50%, 8/19/30 |
4,080,000,000 | IDR | 612,402 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51,
11%, 9/17/25 |
26,580,000,000 | IDR | 4,076,821 | |||||
Russian Federation Total Return Linked Bonds, 7%, 6/5/157 |
216,000,000 | RUR | 7,371,307 | |||||
Russian Federation Total Return Linked Bonds, 7%, 6/5/157 |
73,000,000 | RUR | 2,491,229 | |||||
Citigroup Funding, Inc.: |
||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts.,
8.25%, 6/25/154,7 |
71,890,000 | RUR | 2,475,901 | |||||
Russian Federation Credit Linked Nts., 7.35%, 1/22/167 |
254,000,000 | RUR | 8,713,149 | |||||
Citigroup Global Markets Holdings, Inc.: |
||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/184 |
8,155,000,000 | COP | 5,610,433 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 10%, 7/25/244,14 |
10,250,000,000 | COP | 6,988,883 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
41,194,000,000 | COP | 28,087,808 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series 2,
11%, 7/27/20 |
10,191,000,000 | COP | 7,064,583 | |||||
Credit
Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/113 |
196,587,000 | RUR | 20,110 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch),
Russian Specialized Construction & Installation Administration
Total Return Linked Nts., 13%, 5/24/103 |
335,100,000 | RUR | 1,143 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance |
||||||||
Total Return Linked Nts., 9.25%, 6/27/12 |
154,040,000 | RUR | 5,200,631 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
Deutsche Bank AG: |
||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/254,13 |
$ | 4,853,781 | $ | 3,422,948 | ||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/254,13 |
6,184,463 | 4,361,362 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/254,13 |
5,339,294 | 3,765,338 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/254,13 |
4,772,655 | 3,365,737 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/254,13 |
5,942,343 | 4,190,616 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.238%, 5/6/254,13 |
6,782,283 | 4,782,952 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/254,13 |
5,418,250 | 3,821,019 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.338%, 5/6/254,13 |
5,092,924 | 3,591,595 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 12.79%, 12/31/174,14 |
43,260,000 | BRR | 26,052,294 | |||||
JSC VTB Bank Credit Linked Nts., 12%, 6/19/124,7 |
76,400,000 | UAH | 9,449,959 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/154,7 |
1,803,555 | MXN | 135,896 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/154,7 |
3,155,364 | MXN | 237,753 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/154,7 |
47,575,229 | MXN | 3,584,746 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/154,7 |
3,467,217 | MXN | 261,251 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/154,7 |
2,518,999 | MXN | 189,804 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.265%, 5/22/154,7 |
1,608,758 | MXN | 121,218 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/154,7 |
296,268 | MXN | 22,323 | |||||
Russian Federation Credit Linked Nts., 7.35%, 1/22/164,7 |
190,600,000 | RUR | 6,551,291 | |||||
Russian Federation Credit Linked Nts., 7.40%, 6/16/174,7 |
190,600,000 | RUR | 6,518,795 | |||||
Eirles Two Ltd. Sec. Nts.: |
||||||||
Series 324, 3.798%, 4/30/124,7 |
15,000,000 | 14,043,000 | ||||||
Series 335, 2.248%, 4/30/124,7 |
17,500,000 | 16,814,000 | ||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of)
Credit Linked Nts., 10.479%, 2/8/374,13 |
245,971,200,000 | COP | 8,658,340 | |||||
Hallertau SPC Credit Linked Nts.: |
||||||||
Series 2007-01, 2.838%, 12/20/174,7 |
24,000,000 | 21,571,200 | ||||||
Series 2008-01, 9.878%, 8/2/103,4,13 |
37,994,727 | BRR | 2,081,390 | |||||
Series 2008-2A, 8.253%, 9/17/133,4 |
32,556,250 | 18,284,741 | ||||||
HSBC Bank USA NA, Indonesia (Republic of) Credit Linked
Nts., Series 2, 9.50%, 7/15/315 |
47,791,000,000 | IDR | 6,689,904 | |||||
JPMorgan Chase & Co.: |
||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/204 |
4,890,000,000 | COP | 3,389,805 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/255 |
30,680,000,000 | IDR | 4,705,676 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53,
11%, 9/17/255 |
28,180,000,000 | IDR | 4,322,228 | |||||
JPMorgan Chase Bank NA: |
||||||||
Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/315 |
7,317,000,000 | IDR | 1,024,252 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/255 |
30,855,000,000 | IDR | 4,732,517 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.541%, 2/28/163,13 |
14,029,589 | 1,402,959 | ||||||
Lehman Brothers Treasury Co. BV, Microvest Capital
Management LLC Credit Linked Nts., 7.55%, 5/24/124 |
3,634,866 | 1,146,437 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts.,
10%, 11/17/164 |
7,928,000,000 | COP | 4,680,754 | |||||
Morgan Stanley: |
||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/175 |
15,932,000 | PEN | 5,137,909 | |||||
Russian Federation Total Return Linked Bonds, Series 007,
Cl. VR, 5%, 8/22/34 |
201,753,254 | RUR | 3,247,431 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
Morgan Stanley Capital Services, Inc.: |
||||||||
Brazil (Federative Republic of) Credit Linked Nts., 12.561%, 1/5/225,13 |
113,353,000 | BRR | $ | 10,469,372 | ||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/155 |
300,000 | 257,850 | ||||||
UBS AG, Indonesia (Republic of) Total Return Linked Nts.,
Series 1, 9.50%, 7/17/31 |
61,875,000,000 | IDR | 8,661,417 | |||||
Total Structured Securities (Cost $401,881,426) |
316,907,888 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased0.1% |
||||||||||||||||
Canadian Dollar (CAD) Put2 |
9/24/12 | 1AUD per 1.0198CAD | 4,495,000 | 116,252 | ||||||||||||
Canadian Dollar (CAD) Put2 |
7/19/12 | 1AUD per 1.0349CAD | 3,640,000 | 89,724 | ||||||||||||
Euro (EUR) FX Futures, 5/21/12 Call2 |
5/7/12 | 1.390 | 181 | 24,888 | ||||||||||||
Euro (EUR) FX Futures, 5/21/12 Call2 |
5/7/12 | 1.410 | 908 | 45,400 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call2 |
4/9/12 | 1.370 | 48 | 600 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call2 |
4/9/12 | 1.360 | 48 | 1,800 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call2 |
5/7/12 | 1.380 | 363 | 86,213 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call2 |
5/7/12 | 1.370 | 364 | 186,550 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call2 |
5/7/12 | 1.390 | 364 | 63,700 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.240 | 692 | 4,325 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.270 | 705 | 4,406 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.280 | 163 | 1,019 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.290 | 258 | 1,613 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.250 | 726 | 4,538 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.290 | 102 | 638 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.310 | 189 | 8,269 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
4/9/12 | 1.320 | 504 | 63,000 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
5/7/12 | 1.190 | 363 | 2,269 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
5/7/12 | 1.210 | 363 | 4,538 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
5/7/12 | 1.240 | 727 | 27,263 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
5/7/12 | 1.280 | 363 | 95,288 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
5/7/12 | 1.270 | 692 | 121,100 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
6/11/12 | 1.250 | 308 | 119,350 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
6/11/12 | 1.280 | 182 | 147,875 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put2 |
6/11/12 | 1.300 | 75 | 99,375 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/6/12 | 132.500 | 96 | 600 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/6/12 | 135.000 | 72 | 450 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/6/12 | 138.000 | 72 | 450 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/6/12 | 129.500 | 96 | 600 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/9/12 | 123.000 | 55 | 9,625 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
4/9/12 | 125.000 | 73 | 2,738 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased0.1% Continued |
||||||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
6/11/12 | 139.000 | 72 | $ | 1,350 | |||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
6/11/12 | 143.000 | 72 | 450 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call2 |
6/12/12 | 134.000 | 181 | 18,100 | ||||||||||||
Japanese Yen (JPY) Put2 |
3/29/13 | 1USD per 85JPY | 740,000,000 | 299,315 | ||||||||||||
Mexican Nuevo Peso (MXN) Put2 |
9/26/12 | 1AUD per 13MXN | 4,505,000 | 99,271 | ||||||||||||
U.S. Long Bonds Futures, 6/20/12 Put2 |
4/9/12 | 135.000 | 338 | 52,813 | ||||||||||||
U.S. Long Bonds Futures, 6/20/12 Put2 |
4/9/12 | 137.000 | 304 | 166,250 | ||||||||||||
U.S. Treasury Nts., 10 yr. |
||||||||||||||||
Futures, 6/20/12 Call2 |
4/9/12 | 131.000 | 337 | 10,531 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/9/12 | 129.000 | 378 | 289,406 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/23/12 | 125.500 | 186 | 11,625 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/23/12 | 126.500 | 1,684 | 184,188 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/23/12 | 127.500 | 875 | 164,063 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/23/12 | 128.000 | 1,819 | 483,172 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
4/23/12 | 129.000 | 384 | 198,000 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
5/29/12 | 123.500 | 1,755 | 164,531 | ||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 Put2 |
5/29/12 | 127.000 | 2,565 | 1,001,953 | ||||||||||||
U.S. Treasury Nts., 3.125%, 11/15/41 Call2 |
5/30/12 | 103.470 | 264,000,000 | 1,188,000 | ||||||||||||
Worst
performing of: Euro (EUR) Put/United States Dollar
(USD) Call, or the United States
Dollar (USD) Call/Japanese Yen (JPY) Put,2 |
1EUR per 1.275USD | |||||||||||||||
7/26/12 | /1USD per 79.50JPY | 18,171,000 | 99,759 | |||||||||||||
Total Options Purchased (Cost $24,403,884) |
5,767,233 |
Swaption | Notional | |||||||||
Expiration Date | Amount | |||||||||
Swaptions Purchased0.4% |
||||||||||
Bank of America NA, Swap Counterparty, Interest
Rate Swaption (European); Swap Terms: Paid: 2.195%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 10/2/192
|
10/1/12 | $ | 14,000,000 | 154,969 |
Swaption | Notional | |||||||||||
Expiration Date | Amount | Value | ||||||||||
Swaptions Purchased Continued |
||||||||||||
Bank of America NA, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.275%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 7/9/222 |
7/6/12 | $ | 108,130,000 | $ | 2,416,262 | |||||||
Goldman
Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 1.88%; Received:
Three-Month
USD BBA LIBOR; Termination Date: 7/24/192 |
7/23/12 | 72,370,000 | 983,715 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 1.945%; Received: Three-Month USD BBA LIBOR;
Termination Date: 10/2/192 |
10/1/12 | 36,325,000 | 635,938 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 2.495%; Received: Three-Month USD BBA LIBOR;
Termination Date: 11/22/222 |
11/23/12 | 140,900,000 | 4,025,108 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty;
Interest Rate Swaption (European); Swap Terms: Paid: 2.185%; Received: Three-Month
USD BBA LIBOR; Termination Date: 7/13/222 |
7/12/12 | 54,240,000 | 1,507,354 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received:
2.185%; Termination Date: 7/13/222 |
7/12/12 | 54,240,000 | 535,729 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty, Interest
Rate Swaption (European); Swap Terms: Paid: 1.65%; Received: Three-Month
USD BBA LIBOR; Termination Date: 2/25/182 |
2/22/13 | 90,585,000 | 1,371,259 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty, Interest
Rate Swaption (European); Swap Terms: Paid: 2.245%; Received: Three-Month
USD BBA LIBOR; Termination Date: 7/10/222 |
7/9/12 | 108,395,000 | 2,600,249 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 2.557%; Received: Six-Month EUR EURIBOR;
Termination Date: 2/20/232 |
2/19/13 | 72,420,000 | EUR | 2,372,554 | ||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 1.17%;
Received: Six-Month JPY BBA LIBOR;
Termination Date: 9/26/222 |
9/25/12 | 3,595,000,000 | JPY | 429,984 | ||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.215%; Received: Three-Month
USD BBA LIBOR; Termination Date: 12/4/222 |
12/3/12 | 361,350,000 | 15,421,241 | |||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.98%; Received: Six-Month
EUR EURIBOR; Termination Date: 3/4/232 |
3/1/13 | 90,820,000 | EUR | 1,630,440 |
Swaption | Notional | |||||||||||
Expiration Date | Amount | Value | ||||||||||
Swaptions Purchased Continued |
||||||||||||
UBS AG, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 3.025%; Received: Six-Month EUR EURIBOR; Termination Date: 2/27/232 |
2/26/13 | 90,615,000 | EUR | $ | 1,493,325 | |||||||
Total Swaptions Purchased (Cost $42,579,514) |
35,578,127 | |||||||||||
Shares | ||||||||||||
Investment Companies16.4% |
||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.22%1,17 |
85,554,870 | 85,554,870 | ||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC1 |
14,660,095 | 166,354,954 | ||||||||||
Oppenheimer Master Loan Fund, LLC1 |
90,902,934 | 1,127,484,295 | ||||||||||
Oppenheimer Short Duration Fund, Cl. Y1 |
2,005,994 | 20,100,059 | ||||||||||
Total Investment Companies (Cost $1,401,138,427) |
1,399,494,178 | |||||||||||
Total Investments, at Value (Cost $9,146,948,343) |
104.0 | % | 8,893,645,673 | |||||||||
Liabilities in Excess of Other Assets |
(4.0 | ) | (342,984,686 | ) | ||||||||
Net Assets |
100.0 | % | $ | 8,550,660,987 | ||||||||
* | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. Principal and notional amounts are reported in U.S. Dollars, except for those denoted in the following currencies: |
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
COP
|
Colombian Peso | |
DKK
|
Danish Krone | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
HUF
|
Hungarian Forint | |
IDR
|
Indonesia Rupiah | |
JPY
|
Japanese Yen | |
MXN
|
Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NZD | New Zealand Dollar | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
ZAR | South African Rand |
1. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 30, 2012, 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: |
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2011 | Additions | Reductions | March 30, 2012 | |||||||||||||
Arco Capital Corp. Ltd. |
2,494,716 | | | 2,494,716 | ||||||||||||
Greektown Superholdings, Inc. |
8,267 | | | 8,267 | ||||||||||||
Greektown Superholdings, Inc., Series A-1 |
109,250 | | | 109,250 | ||||||||||||
Oppenheimer
Global Strategic Income Fund (Cayman) Ltd.a |
| 15,000 | | 15,000 | ||||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
757,814,623 | 1,112,031,950 | 1,784,291,703 | 85,554,870 |
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2011 | Additions | Reductions | March 30, 2012 | |||||||||||||
Oppenheimer
Master Event-Linked Bond Fund, LLC |
15,272,235 | | 612,140 | 14,660,095 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
98,621,193 | | 7,718,259 | 90,902,934 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
2,000,139 | 5,855 | | 2,005,994 |
Realized | ||||||||||||
Value | Income | Loss | ||||||||||
Arco Capital Corp. Ltd. |
$ | 3,742,074 | $ | | $ | | ||||||
Greektown Superholdings, Inc. |
417,484 | | | |||||||||
Greektown Superholdings, Inc., Series A-1 |
5,930,909 | | | |||||||||
Oppenheimer Global Strategic Income Fund (Cayman) Ltd.a |
1,469,259 | | | |||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
85,554,870 | 568,850 | | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
166,354,954 | 7,297,163 | b | 5,868,251 | b | |||||||
Oppenheimer Master Loan Fund, LLC |
1,127,484,295 | 43,259,848 | c | 4,344,026 | c | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
20,100,059 | 63,192 | | |||||||||
$ | 1,411,053,904 | $ | 51,189,053 | $ | 10,212,277 | |||||||
a. | Investment in a wholly-owned subsidiary. See Note 1 of the accompanying Notes and individual financial statements of the entity included herein. | ||
b. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | ||
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
2. | Non-income producing security. | |
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 30, 2012 was $311,910,201, which represents 3.65% of the Funds net assets. See Note 7 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 |
2/8/10-4/28/10 | $ | 3,498,869 | $ | 3,479,065 | $ | (19,804 | ) | ||||||||
Arco Capital Corp. Ltd. |
2/27/07 | 37,420,740 | 3,742,074 | (33,678,666 | ) | |||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts.,
1/15/26 |
5/11/06-11/21/06 | 9,343,876 | 8,759,820 | (584,056 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Nts., Series 02, 10%, 7/25/24 |
3/28/12 | 7,249,277 | 6,988,883 | (260,394 | ) | |||||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate
Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 |
3/1/11 | 2,537,877 | 2,475,901 | (61,976 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Bonds, 11.25%, 10/25/18 |
12/9/08 | 3,454,369 | 5,610,433 | 2,156,064 | ||||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 |
4/21/10-5/3/11 | 6,991,429 | 7,207,200 | 215,771 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit
Linked Bonds, Series 128, 3.006%, 5/6/25 |
10/8/10 | 3,315,130 | 3,422,948 | 107,818 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit
Linked Bonds, 3.338%, 5/6/25 |
4/16/09 | 3,380,163 | 3,591,595 | 211,432 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit
Linked Bonds, 3.266%, 5/6/25 |
8/18/09 | 3,616,450 | 3,821,019 | 204,569 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit
Linked Bonds, 3.238%, 5/6/25 |
9/25/09 | 4,536,997 | 4,782,952 | 245,955 |
Unrealized | ||||||||||||||
Acquisition | Appreciation | |||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked
Bonds, 3.187%, 5/6/25
|
12/17/09 | $ | 3,991,914 | $ | 4,190,616 | $ | 198,702 | |||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked
Bonds, 3.134%, 5/6/25
|
3/30/10 | 3,220,830 | 3,365,737 | 144,907 | ||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked
Bonds, 3.10%, 5/6/25
|
5/18/10 | 3,615,196 | 3,765,338 | 150,142 | ||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked
Bonds, 3.061%, 5/6/25
|
7/16/10 | 4,201,788 | 4,361,362 | 159,574 | ||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit
Linked Nts., 12.79%, 12/31/17
|
9/19/07 | 19,396,178 | 26,052,294 | 6,656,116 | ||||||||||
Deutsche Bank AG, JSC VTB Bank Credit Linked Nts.,
12%, 6/19/12
|
6/30/11 | 9,604,054 | 9,449,959 | (154,095 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2A, 8.265%, 5/22/15
|
5/21/08 | 173,895 | 135,896 | (37,999 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2B, 8.265%, 5/22/15
|
6/12/08 | 297,596 | 237,753 | (59,843 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2C, 8.265%, 5/22/15
|
6/18/08 | 4,615,780 | 3,584,746 | (1,031,034 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2D, 8.265%, 5/22/15
|
7/8/08 | 336,091 | 261,251 | (74,840 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2E, 8.265%, 5/22/15
|
7/15/08 | 244,584 | 189,804 | (54,780 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2F, 8.265%, 5/22/15
|
8/8/08 | 158,390 | 121,218 | (37,172 | ) | |||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts.,
Cl. 2G, 8.265%, 5/22/15
|
8/22/08 | 28,080 | 22,323 | (5,757 | ) | |||||||||
Deutsche Bank AG, Russian Federation Credit Linked Nts.,
7.35%, 1/22/16
|
2/2/12 | 6,345,592 | 6,551,291 | 205,699 | ||||||||||
Deutsche Bank AG, Russian Federation Credit Linked Nts.,
7.40%, 6/16/17
|
2/2/12 | 6,299,181 | 6,518,795 | 219,614 | ||||||||||
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 | 19,050,072 | 5,185,930 | (13,864,142 | ) | |||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.798%, 4/30/12
|
4/17/07 | 15,000,781 | 14,043,000 | (957,781 | ) | |||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.248%, 4/30/12
|
9/17/07 | 17,487,840 | 16,814,000 | (673,840 | ) | |||||||||
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 | ) | |||||||||
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 | 25,715,146 | 8,658,340 | (17,056,806 | ) | |||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01,
2.838%, 12/20/17
|
12/13/07-10/23/09 | 22,997,867 | 21,571,200 | (1,426,667 | ) | |||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01,
9.878%, 8/2/10
|
4/18/08-10/1/08 | 19,017,779 | 2,081,390 | (16,936,389 | ) | |||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A,
8.253%, 9/17/13
|
10/23/08 | 32,704,803 | 18,284,741 | (14,420,062 | ) |
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. B, 2.456%, 8/15/22
|
11/6/07 | $ | 18,715,206 | $ | 13,230,000 | $ | (5,485,206 | ) | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub.
Term Nts., Series 2007-1A, Cl. C, 3.756%, 8/15/22
|
6/8/07 | 17,780,000 | 10,490,200 | (7,289,800 | ) | |||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub.
Term Nts., Series 2007-1A, Cl. D, 5.756%, 8/15/22
|
6/8/07 | 17,780,000 | 10,312,400 | (7,467,600 | ) | |||||||||
Jaguar Land Rover plc, 8.25% Sr. Nts., 3/15/20
|
3/22/12 | 1,413,322 | 1,443,138 | 29,816 | ||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit
Linked Nts., 11%, 7/28/20
|
8/24/10 | 3,340,945 | 3,389,805 | 48,860 | ||||||||||
JPMorgan Hipotecaria su Casita, 8.103% Sec. Nts., 8/26/35
|
3/21/07 | 1,834,690 | 1,799,050 | (35,640 | ) | |||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital
Management LLC Credit Linked Nts., 7.55%, 5/24/12
|
6/20/07 | 3,636,762 | 1,146,437 | (2,490,325 | ) | |||||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations,
Series 2A, Cl. C1, 2.99%, 3/24/14
|
2/23/01 | 3,209,935 | 8,854 | (3,201,081 | ) | |||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts.,
10%, 11/17/16
|
10/20/06 | 3,387,746 | 4,680,754 | 1,293,008 | ||||||||||
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 | 358,010 | (4,019,844 | ) | |||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08
|
3/6/98 | 10,532,095 | | (10,532,095 | ) | |||||||||
Realogy Corp., 7.625% Sr. Sec. Nts., 1/15/20
|
1/25/12-2/1/12 | 7,298,028 | 7,597,150 | 299,122 | ||||||||||
Realogy Corp., 9% Sr. Sec. Nts., 1/15/20
|
1/25/12-2/1/12 | 3,712,925 | 3,831,600 | 118,675 | ||||||||||
Russian Federation Unsec. Bonds, 4.50%, 4/4/22
|
3/28/12 | 10,429,049 | 10,578,535 | 149,486 | ||||||||||
Russian Federation Unsec. Bonds, 5.625%, 4/4/42
|
3/28/12 | 15,374,353 | 15,893,960 | 519,607 | ||||||||||
Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/20
|
2/3/12 | 5,550,000 | 5,619,375 | 69,375 | ||||||||||
Santander Drive Auto Receivables Trust 2011-S1A,
Automobile Receivables Nts., Series 2011-S1A, Cl. D,
3.10%, 5/15/17
|
2/4/11-4/14/11 | 737,488 | 734,811 | (2,677 | ) | |||||||||
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19
|
2/2/12 | 1,665,000 | 1,769,063 | 104,063 | ||||||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/17
|
3/29/12 | 2,244,510 | 2,243,385 | (1,125 | ) | |||||||||
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/22
|
1/31/12 | 7,244,619 | 7,454,650 | 210,031 | ||||||||||
$ | 461,690,082 | $ | 311,910,201 | $ | (149,779,881 | ) | ||||||||
5. | 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 $1,388,164,177 or 16.23% of the Funds net assets as of March 30, 2012. | |
6. | 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. | |
7. | Represents the current interest rate for a variable or increasing rate security. | |
8. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See Note 1 of the accompanying Notes. | |
9. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. 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 or asset-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 $38,487,292 or 0.45% of the Funds net assets as of March 30, 2012. |
10. | 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. | |
11. | 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 $15,893,402. See Note 6 of the accompanying Notes. | |
12. | 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 $19,461,554. See Note 6 of the accompanying Notes. | |
13. | Zero coupon bond reflects effective yield on the date of purchase. | |
14. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
15. | Interest or dividend is paid-in-kind, when applicable. | |
16. | 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. | |
17. | Rate shown is the 7-day yield as of March 30, 2012. |
Geographic Holdings | Value | Percent | ||||||
United States |
$ | 4,987,168,541 | 56.1 | % | ||||
Mexico |
576,171,474 | 6.5 | ||||||
Brazil |
453,166,823 | 5.1 | ||||||
Turkey |
402,116,902 | 4.5 | ||||||
Russia |
372,100,009 | 4.2 | ||||||
South Africa |
241,366,451 | 2.7 | ||||||
Japan |
185,869,779 | 2.1 | ||||||
Hungary |
157,351,891 | 1.8 | ||||||
Peru |
137,152,308 | 1.5 | ||||||
Indonesia |
132,916,590 | 1.5 | ||||||
Colombia |
120,256,311 | 1.4 | ||||||
Venezuela |
118,749,442 | 1.3 | ||||||
Poland |
117,603,082 | 1.3 | ||||||
Kazakhstan |
67,048,890 | 0.8 | ||||||
Supranational |
66,135,796 | 0.7 | ||||||
United Kingdom |
65,647,363 | 0.7 | ||||||
Canada |
59,816,183 | 0.7 | ||||||
Italy |
45,088,545 | 0.5 | ||||||
Philippines |
44,374,217 | 0.5 | ||||||
Ukraine |
38,969,613 | 0.4 | ||||||
Israel |
38,929,257 | 0.4 | ||||||
The Netherlands |
38,727,666 | 0.4 | ||||||
Argentina |
35,531,324 | 0.4 | ||||||
Australia |
35,173,649 | 0.4 | ||||||
Uruguay |
27,796,751 | 0.3 | ||||||
France |
26,218,244 | 0.3 | ||||||
India |
24,797,234 | 0.3 | ||||||
Spain |
21,911,040 | 0.3 | ||||||
Chile |
21,709,976 | 0.2 | ||||||
Belgium |
19,175,961 | 0.2 | ||||||
Romania |
17,844,750 | 0.2 | ||||||
Germany |
16,870,908 | 0.2 | ||||||
Panama |
16,716,143 | 0.2 | ||||||
Qatar |
14,868,076 | 0.2 | ||||||
Luxembourg |
13,447,598 | 0.2 |
Geographic Holdings | Value | Percent | ||||||
Sri Lanka |
$ | 12,441,882 | 0.1 | % | ||||
Sweden |
12,320,574 | 0.1 | ||||||
Malaysia |
11,225,191 | 0.1 | ||||||
Trinidad & Tobago |
11,199,430 | 0.1 | ||||||
Korea, Republic of South |
10,650,743 | 0.1 | ||||||
Dominican Republic |
8,759,820 | 0.1 | ||||||
Latvia |
8,595,631 | 0.1 | ||||||
Lithuanua |
8,497,050 | 0.1 | ||||||
Austria |
8,325,541 | 0.1 | ||||||
United Arab Emirates |
6,757,050 | 0.1 | ||||||
European Union |
6,610,336 | 0.1 | ||||||
Ghana |
6,468,750 | 0.1 | ||||||
Norway |
6,387,385 | 0.1 | ||||||
Denmark |
4,321,422 | 0.1 | ||||||
China |
4,115,375 | 0.1 | ||||||
Finland |
3,169,714 | 0.0 | ||||||
Switzerland |
2,902,161 | 0.0 | ||||||
Singapore |
2,108,831 | 0.0 | ||||||
Total |
$ | 8,893,645,673 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Bank of America: |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Buy | 1,000 | CLP | 4/17/12 | $ | 2,042 | $ | 8 | $ | | ||||||||||||||
Chilean Peso (CLP) |
Sell | 453,300 | CLP | 4/17/12 | 925,759 | | 3,574 | |||||||||||||||||
Colombian Peso (COP) |
Sell | 11,288,000 | COP | 5/29/12 | 6,269,683 | 29,425 | | |||||||||||||||||
Euro (EUR) |
Buy | 13,307 | EUR | 4/17/12-5/23/12 | 17,751,714 | 134,242 | 34,456 | |||||||||||||||||
Euro (EUR) |
Sell | 249 | EUR | 4/17/12 | 332,116 | | 2,094 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 871,000 | INR | 4/9/12 | 17,060,632 | | 439,871 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 17,161,000 | IDR | 4/17/12 | 1,873,604 | 6,025 | 14,477 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 89,115,000 | IDR | 4/9/12 | 9,737,061 | | 46,435 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 366,036 | MYR | 4/17/12-6/26/12 | 118,932,957 | 682,021 | 520,872 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 350 | MYR | 4/17/12 | 114,108 | | 786 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 1,600 | MXN | 4/17/12 | 124,855 | 804 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 547,630 | TWD | 4/6/12-4/12/12 | 18,555,145 | 18,343 | 4,343 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 28,480 | TWD | 4/17/12 | 965,024 | | 9,019 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 36,875 | TRY | 4/25/12 | 20,570,721 | | 850,543 | |||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 25,430 | PEN | 4/12/12 | 9,533,808 | | 113,004 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 44,301 | PLZ | 4/2/12 | 14,250,923 | 109,857 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 90,590 | PLZ | 4/10/12 | 29,108,661 | | 475,229 | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 1,560 | SGD | 4/17/12 | 1,241,018 | | 3,905 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 520 | SGD | 4/17/12 | 413,673 | | 2,361 | |||||||||||||||||
980,725 | 2,520,969 | |||||||||||||||||||||||
Bank Paribas Asia |
||||||||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 740,000 | HUF | 4/25/12 | 3,339,990 | | 78,196 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Barclays Capital: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 670 | GBP | 4/17/12 | $ | 1,071,541 | $ | 7,289 | $ | | ||||||||||||||
British Pound Sterling (GBP) |
Sell | 1,323 | GBP | 4/17/12 | 2,115,893 | | 31,309 | |||||||||||||||||
Chilean Peso (CLP) |
Buy | 443,000 | CLP | 4/17/12 | 904,724 | | 5,394 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 1,720 | CNY | 4/17/12 | 273,029 | 160 | | |||||||||||||||||
Euro (EUR) |
Buy | 86,759 | EUR | 4/17/12-7/23/12 | 115,725,487 | 1,801,114 | 1,174 | |||||||||||||||||
Euro (EUR) |
Sell | 4,773 | EUR | 4/3/12-4/17/12 | 6,365,763 | | 25,389 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 490,000 | HUF | 4/25/12 | 2,211,615 | | 10,910 | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 1,310,000 | HUF | 6/12/12 | 5,875,190 | 846,230 | 11,460 | |||||||||||||||||
Israeli Shekel (ILS) |
Buy | 7,580 | ILS | 4/2/13 | 2,016,056 | 38,493 | | |||||||||||||||||
Israeli Shekel (ILS) |
Sell | 7,580 | ILS | 4/2/13 | 2,016,056 | | 14,947 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 123,900 | MXN | 10/18/12 | 9,506,373 | | 289,337 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 1,900 | TWD | 4/17/12 | 64,380 | 61 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 8,150 | TWD | 4/17/12 | 276,157 | | 2,465 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 300 | NOK | 4/17/12 | 52,646 | | 201 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 1,690 | PLZ | 5/23/12 | 540,442 | 1,932 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 65,550 | RUR | 4/17/12 | 2,229,746 | 36,340 | 84 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 16,920 | SEK | 4/17/12 | 2,555,729 | 61,976 | | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 21,880 | SEK | 4/30/12 | 3,303,160 | | 38,122 | |||||||||||||||||
2,793,595 | 430,792 | |||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 27,957 | AUD | 4/17/12-4/30/12 | 28,867,533 | | 708,749 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 22,430 | AUD | 4/17/12-5/23/12 | 23,104,581 | 734,397 | | |||||||||||||||||
Brazilian Real (BRR) |
Buy | 5,940 | BRR | 5/3/12 | 3,229,808 | | 17,958 | |||||||||||||||||
Brazilian Real (BRR) |
Sell | 139,911 | BRR | 5/3/12 | 76,075,019 | 419,289 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 895 | GBP | 5/23/12 | 1,431,022 | | 16,229 | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 15,175 | CAD | 4/19/12 | 15,208,099 | | 81,620 | |||||||||||||||||
Chilean Peso (CLP) |
Buy | 3,270,300 | CLP | 4/17/12-6/14/12 | 6,633,452 | | 46,487 | |||||||||||||||||
Chilean Peso (CLP) |
Sell | 1,553,000 | CLP | 4/17/12 | 3,171,639 | 7,329 | 10,557 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Buy | 1,720 | CNY | 4/17/12 | 273,029 | | 269 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 37,903,455 | COP | 4/2/12-6/12/12 | 21,145,193 | 54,529 | 62,340 | |||||||||||||||||
Colombian Peso (COP) |
Sell | 23,874,700 | COP | 4/9/12-5/29/12 | 13,303,325 | 32,921 | 44,966 | |||||||||||||||||
Egyptian Pounds (EGP) |
Buy | 66,330 | EGP | 4/17/12 | 10,886,824 | 307,876 | | |||||||||||||||||
Euro (EUR) |
Buy | 69,040 | EUR | 4/23/12-4/26/12 | 92,088,128 | 2,131,743 | | |||||||||||||||||
Euro (EUR) |
Sell | 4,975 | EUR | 4/26/12-5/10/12 | 6,636,498 | 58,869 | 110,332 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 1,310,000 | HUF | 6/12/12 | 5,875,190 | 40,781 | | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 23,306,000 | HUF | 6/12/12 | 104,524,567 | | 725,520 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 1,660 | INR | 4/17/12 | 32,454 | 273 | | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 18,500 | JPY | 4/17/12 | 223,546 | 926 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 55,000 | JPY | 4/17/12 | 664,597 | 25,774 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 32,400 | MXN | 10/18/12 | 2,485,928 | 4,904 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 1,387,290 | MXN | 4/17/12-10/18/12 | 106,946,699 | 245,779 | 241,499 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 511,000 | TWD | 4/6/12 | 17,313,993 | 37,450 | | |||||||||||||||||
Philippines Peso (PHP) |
Buy | 4,910 | PHP | 4/17/12 | 114,216 | | 343 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 2,080 | SGD | 4/17/12 | 1,654,690 | 370 | 7 | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 18,130 | SEK | 5/23/12 | 2,734,502 | | 79,318 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 110 | CHF | 5/10/12 | 121,917 | 721 | | |||||||||||||||||
4,103,931 | 2,146,194 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Credit Suisse: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 1,175 | GBP | 5/23/12 | $ | 1,878,715 | $ | | $ | 25,622 | ||||||||||||||
New Turkish Lira (TRY) |
Sell | 125,210 | TRY | 5/10/12-7/17/13 | 69,067,631 | | 1,590,523 | |||||||||||||||||
Norwegian Krone (NOK) |
Sell | 229,025 | NOK | 5/10/12 | 40,154,313 | | 615,776 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 40,030 | PLZ | 4/10/12 | 12,862,564 | 238,786 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 504,570 | RUR | 4/26/12 | 17,141,209 | 40,619 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 960 | ZAR | 4/17/12 | 124,837 | | 1,612 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 790,510 | ZAR | 4/11/12-5/15/12 | 102,624,852 | 7,388 | 3,871,391 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 21,880 | SEK | 4/30/12 | 3,303,160 | 70,826 | | |||||||||||||||||
357,619 | 6,104,924 | |||||||||||||||||||||||
Deutsche Bank Securities, Inc.: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 23,260 | AUD | 4/30/12 | 24,012,306 | 75,285 | | |||||||||||||||||
British Pound Sterling (GBP) |
Buy | 9,550 | GBP | 4/19/12 | 15,273,255 | 263,960 | | |||||||||||||||||
Euro (EUR) |
Sell | 32,800 | EUR | 4/23/12 | 43,749,608 | | 1,440,790 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 1,658,000 | HUF | 4/25/12 | 7,483,383 | 11,066 | 19,113 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 61,330 | INR | 4/17/12 | 1,199,028 | 14,138 | 2,310 | |||||||||||||||||
Indian Rupee (INR) |
Sell | 871,000 | INR | 4/9/12 | 17,060,632 | 383,791 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 5,802,300 | IDR | 4/17/12 | 633,484 | 13,373 | | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 26,145 | MYR | 5/10/12 | 8,510,012 | | 171,709 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 8,160 | MXN | 4/17/12 | 636,760 | | 6,438 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 113,080 | TRY | 5/10/12 | 62,859,831 | | 288,659 | |||||||||||||||||
Philippines Peso (PHP) |
Sell | 473,000 | PHP | 4/19/12 | 11,001,249 | | 127,686 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 7,870 | PLZ | 4/10/12 | 2,528,813 | 47,533 | | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 1,340 | RUR | 4/17/12 | 45,581 | | 72 | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 65,130 | SGD | 4/17/12 | 51,812,482 | 1,170,298 | 97 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 486,085 | ZAR | 6/12/12 | 62,689,734 | 1,003,987 | | |||||||||||||||||
South Korean Won (KRW) |
Buy | 73,456,000 | KRW | 4/17/12-6/19/12 | 64,453,524 | | 155,318 | |||||||||||||||||
2,983,431 | 2,212,192 | |||||||||||||||||||||||
Goldman Sachs & Co.: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 1,033 | GBP | 4/17/12 | 1,652,092 | 32,766 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 522 | GBP | 4/17/12 | 834,842 | | 3,286 | |||||||||||||||||
Czech Koruna (CZK) |
Sell | 26,490 | CZK | 4/17/12 | 1,425,194 | | 71,874 | |||||||||||||||||
Euro (EUR) |
Sell | 37,210 | EUR | 4/25/12 | 49,632,194 | | 1,101,051 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 3,450,000 | HUF | 4/25/12 | 15,571,575 | 202,711 | | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 2,505,000 | HUF | 4/25/12 | 11,306,318 | | 534,473 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 2,822,000 | JPY | 5/23/12 | 34,110,860 | | 975,032 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 2,767,200 | MXN | 5/3/12-12/20/12 | 212,837,455 | 628 | 1,188,022 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 31,689 | TRY | 4/3/12-4/25/12 | 17,720,153 | 704,265 | 1,521 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 18,000 | TRY | 4/25/12 | 10,041,301 | 50,374 | 48,891 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 67,250 | PLZ | 4/10/12 | 21,608,979 | 582,982 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 34,720 | PLZ | 4/10/12-5/23/12 | 11,146,590 | | 37,536 | |||||||||||||||||
South African Rand (ZAR) |
Buy | 140 | ZAR | 4/17/12 | 18,205 | 164 | | |||||||||||||||||
South African Rand (ZAR) |
Sell | 870 | ZAR | 4/17/12 | 113,133 | | 1,017 | |||||||||||||||||
1,573,890 | 3,962,703 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
HSBC: |
||||||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 61,548,000 | IDR | 5/9/12 | $ | 6,704,547 | $ | | $ | 126,530 | ||||||||||||||
New Turkish Lira (TRY) |
Buy | 12,130 | TRY | 7/17/13 | 6,207,800 | | 20,698 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 333,540 | TRY | 11/7/12 | 178,752,801 | 184,968 | | |||||||||||||||||
184,968 | 147,228 | |||||||||||||||||||||||
JP Morgan Chase: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 1,098 | AUD | 4/17/12 | 1,135,182 | | 38,161 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 510 | AUD | 4/17/12 | 527,270 | 12,898 | | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 178 | CAD | 4/2/12-4/17/12 | 178,361 | 63 | 1,139 | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 570 | CAD | 4/17/12 | 571,266 | | 1,229 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 3,441,000 | COP | 4/17/12 | 1,920,818 | 7,087 | 3,737 | |||||||||||||||||
Czech Koruna (CZK) |
Buy | 26,490 | CZK | 4/17/12 | 1,425,194 | 14,875 | | |||||||||||||||||
Egyptian Pounds (EGP) |
Sell | 66,330 | EGP | 4/17/12 | 10,886,824 | | 274,024 | |||||||||||||||||
Euro (EUR) |
Sell | 79,002 | EUR | 4/2/12-7/23/12 | 105,383,672 | | 2,518,223 | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 767,000 | HUF | 10/24/12 | 3,383,772 | 87,134 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 126,416,000 | IDR | 5/9/12 | 13,770,748 | | 280,851 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 1,440 | MYR | 4/17/12 | 469,474 | | 4,013 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 5,890 | MXN | 4/17/12 | 459,622 | 2,444 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 4,550 | TWD | 4/17/12 | 154,173 | 93 | | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 110 | NOK | 4/17/12 | 19,303 | 16 | | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 1,040 | SGD | 4/17/12 | 827,345 | 776 | 2,772 | |||||||||||||||||
South African Rand (ZAR) |
Buy | 489,290 | ZAR | 5/10/12 | 63,409,805 | | 95,588 | |||||||||||||||||
South Korean Won (KRW) |
Buy | 266,100 | KRW | 4/17/12 | 234,542 | 142 | 80 | |||||||||||||||||
125,528 | 3,219,817 | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. |
||||||||||||||||||||||||
Japanese Yen (JPY) |
Buy | 1,828,000 | JPY | 4/19/12 | 22,089,210 | 162,069 | | |||||||||||||||||
Nomura Securities: |
||||||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 520 | CAD | 4/17/12 | 521,155 | 757 | 1,141 | |||||||||||||||||
Euro (EUR) |
Sell | 32,585 | EUR | 4/23/12 | 43,462,835 | | 600,852 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 55,000 | JPY | 4/17/12 | 664,597 | | 11,161 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 229,025 | NOK | 5/10/12 | 40,154,313 | 542,946 | | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 140 | SEK | 4/17/12 | 21,147 | 201 | | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 16,720 | SEK | 4/17/12 | 2,525,519 | | 68,728 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 1,635 | CHF | 5/10/12 | 1,812,123 | | 16,102 | |||||||||||||||||
543,904 | 697,984 | |||||||||||||||||||||||
RBS Greenwich Capital: |
||||||||||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 813 | NZD | 4/17/12 | 664,923 | | 13,127 | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 1,008 | NZD | 4/17/12 | 824,406 | 97 | 6,345 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 7,770 | CHF | 4/19/12-4/26/12 | 8,609,844 | 197,346 | | |||||||||||||||||
Swiss Franc (CHF) |
Sell | 4,365 | CHF | 4/26/12 | 4,836,980 | | 118,045 | |||||||||||||||||
197,443 | 137,517 | |||||||||||||||||||||||
Standard Chartered Bank |
||||||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 78,090 | MYR | 5/10/12 | 25,417,740 | | 474,170 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
State Street: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 390 | AUD | 4/17/12 | $ | 403,207 | $ | | $ | 4,328 | ||||||||||||||
Australian Dollar (AUD) |
Sell | 1,090 | AUD | 4/17/12 | 1,126,911 | 16,077 | | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 2,200 | TRY | 4/17/12 | 1,229,539 | 20,972 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 8,100 | ZAR | 4/17/12 | 1,053,312 | 174 | 7,035 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 60 | ZAR | 4/17/12 | 7,802 | 9 | | |||||||||||||||||
37,232 | 11,363 | |||||||||||||||||||||||
UBS Investment Bank: |
||||||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 137,658,000 | IDR | 4/9/12-7/9/12 | 14,989,705 | 4,752 | 205,480 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 202,480 | PLZ | 5/10/12 | 64,843,974 | 1,412,377 | | |||||||||||||||||
1,417,129 | 205,480 | |||||||||||||||||||||||
Westpac: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 1,602 | AUD | 4/17/12 | 1,656,249 | | 23,832 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 2,372 | AUD | 4/17/12 | 2,452,324 | 44,532 | | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 1,738 | CAD | 4/17/12 | 1,741,860 | 4,900 | 5,132 | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 1,790 | CAD | 4/17/12 | 1,793,975 | | 10,848 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 47,000 | JPY | 4/17/12 | 567,929 | | 4,175 | |||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 1,299 | NZD | 4/17/12 | 1,062,404 | 5,302 | 122 | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 1,813 | NZD | 4/17/12 | 1,482,786 | 12,888 | 3,977 | |||||||||||||||||
67,622 | 48,086 | |||||||||||||||||||||||
Total unrealized
appreciation and depreciation |
$ | 15,529,086 | $ | 22,397,615 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Euro-Bundesobligation |
Sell | 37 | 6/7/12 | $ | 6,124,475 | $ | 5,877 | |||||||||||||
Euro-Bundesobligation |
Sell | 42 | 6/7/12 | 7,757,612 | (25,757 | ) | ||||||||||||||
Financial Times Stock Exchange 100 Index |
Sell | 50 | 6/15/12 | 4,582,134 | 147,626 | |||||||||||||||
NIKKEI 225 Index |
Sell | 104 | 6/7/12 | 12,678,023 | (763,491 | ) | ||||||||||||||
SPI 200 Index |
Sell | 50 | 6/21/12 | 5,625,965 | (70,461 | ) | ||||||||||||||
Standard & Poors 500 E-Mini Index |
Buy | 1,579 | 6/15/12 | 110,782,640 | 990,999 | |||||||||||||||
Standard & Poors 500 E-Mini Index |
Sell | 1,761 | 6/15/12 | 123,551,760 | (1,113,216 | ) | ||||||||||||||
Standard
& Poors/Toronto Stock Exchange 60 Index |
Sell | 22 | 6/14/12 | 3,108,607 | 14,905 | |||||||||||||||
U.S. Long Bonds |
Buy | 1,285 | 6/20/12 | 177,008,750 | (3,867,032 | ) | ||||||||||||||
U.S. Long Bonds |
Sell | 473 | 6/20/12 | 65,155,750 | 1,389,152 | |||||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 1,075 | 6/29/12 | 236,651,173 | 92,181 | |||||||||||||||
U.S. Treasury Nts., 5 yr. |
Buy | 176 | 6/29/12 | 21,566,875 | (147,285 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 650 | 6/29/12 | 79,650,391 | 362,748 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 1,288 | 6/20/12 | 166,775,875 | 1,504,184 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 4,949 | 6/20/12 | 640,818,172 | (7,999,894 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 806 | 6/20/12 | 121,680,813 | (5,119,722 | ) | ||||||||||||||
$ | (14,599,186 | ) | ||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Euro (EUR) FX
Futures, 5/21/12 |
Call | 1,455 | $ | 1.400 | 5/7/12 | $ | 161,403 | $ | (109,125 | ) | $ | 52,278 | ||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 727 | 1.375 | 5/7/12 | 262,396 | (227,188 | ) | 35,208 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 363 | 1.370 | 5/7/12 | 130,959 | (145,200 | ) | (14,241 | ) | |||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 182 | 1.400 | 6/11/12 | 63,332 | (68,250 | ) | (4,918 | ) | |||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 97 | 1.365 | 4/9/12 | 33,446 | (1,819 | ) | 31,627 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 90 | 1.420 | 6/11/12 | 76,318 | (16,875 | ) | 59,443 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,610 | 1.250 | 4/9/12 | 158,694 | (10,063 | ) | 148,631 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,390 | 1.260 | 4/9/12 | 259,221 | (8,688 | ) | 250,533 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,082 | 1.255 | 4/9/12 | 187,651 | (6,763 | ) | 180,888 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 729 | 1.260 | 5/7/12 | 126,430 | (82,013 | ) | 44,417 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 726 | 1.200 | 5/7/12 | 153,135 | (4,538 | ) | 148,597 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 726 | 1.220 | 5/7/12 | 93,821 | (13,613 | ) | 80,208 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 725 | 1.250 | 5/7/12 | 171,049 | (45,313 | ) | 125,736 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 724 | 1.150 | 6/11/12 | 553,836 | (13,575 | ) | 540,261 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 544 | 1.200 | 6/11/12 | 180,214 | (47,600 | ) | 132,614 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 493 | 1.300 | 4/9/12 | 26,609 | (12,325 | ) | 14,284 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 239 | 1.275 | 4/9/12 | 17,565 | (1,494 | ) | 16,071 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 103 | 1.295 | 4/9/12 | 2,362 | (1,288 | ) | 1,074 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 14 | 1.265 | 4/9/12 | 5,053 | (88 | ) | 4,965 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 6 | 1.220 | 6/11/12 | 1,116 | (975 | ) | 141 | ||||||||||||||||||||
Japanese Yen (JPY) |
Call | 2,456,000,000 | 1USD per 82JPY | 4/5/12 | 168,326 | (168,310 | ) | 16 | ||||||||||||||||||||
Japanese Yen (JPY) |
Call | 755,370,000 | 1USD per 82JPY | 9/20/12 | 194,830 | (249,008 | ) | (54,178 | ) | |||||||||||||||||||
Japanese Yen (JPY) |
Put | 2,456,000,000 | 1USD per 82JPY | 4/5/12 | 168,326 | (168,310 | ) | 16 | ||||||||||||||||||||
Japanese Yen (JPY) |
Put | 740,000,000 | 1USD per 90JPY | 3/29/13 | 140,189 | (150,124 | ) | (9,935 | ) | |||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 192 | 131.000 | 4/6/12 | 19,053 | (1,200 | ) | 17,853 | ||||||||||||||||||||
Japanese Yen
(JPY) Futures, 6/18/12 |
Call | 182 | 136.000 | 6/11/12 | 8,814 | (7,963 | ) | 851 | ||||||||||||||||||||
Japanese Yen
(JPY) Futures, 6/18/12 |
Call | 181 | 138.000 | 6/11/12 | 27,545 | (4,525 | ) | 23,020 |
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 145 | 124.000 | 4/9/12 | $ | 20,118 | $ | (10,875 | ) | $ | 9,243 | |||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 145 | 136.500 | 4/6/12 | 24,150 | (906 | ) | 23,244 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 145 | 141.000 | 6/11/12 | 21,522 | (1,813 | ) | 19,709 | ||||||||||||||||||||
U.S. Long Bonds
Futures, 6/20/12 |
Put | 674 | 136.000 | 4/9/12 | 93,413 | (200,094 | ) | (106,681 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 3,591 | 127.000 | 4/23/12 | 1,144,769 | (504,984 | ) | 639,785 | ||||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 1,460 | 126.000 | 4/23/12 | 74,099 | (114,063 | ) | (39,964 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 1,383 | 124.500 | 4/23/12 | 141,451 | (43,219 | ) | 98,232 | ||||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 876 | 125.000 | 4/23/12 | 39,854 | (41,063 | ) | (1,209 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 824 | 128.000 | 4/9/12 | 39,191 | (77,250 | ) | (38,059 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 3,510 | 124.500 | 5/29/12 | 598,437 | (493,594 | ) | 104,843 | ||||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 810 | 125.500 | 5/29/12 | 138,101 | (164,531 | ) | (26,430 | ) | |||||||||||||||||||
$ | 5,726,798 | $ | (3,218,625 | ) | $ | 2,508,173 | ||||||||||||||||||||||
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. |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | $ | 16,760 | 1.0 | % | 3/20/17 | $ | (1,970,453 | ) | $ | 1,333,812 | $ | (636,641 | ) | ||||||||||||||
Total | 16,760 | (1,970,453 | ) | 1,333,812 | (636,641 | ) | ||||||||||||||||||||||
Barrick Gold Corp. |
||||||||||||||||||||||||||||
Barclays Bank plc |
Buy | 17,320 | 1.0 | 3/20/17 | (112,150 | ) | 172,164 | 60,014 | ||||||||||||||||||||
Total | 17,320 | (112,150 | ) | 172,164 | 60,014 | |||||||||||||||||||||||
Brazil (Federative Republic of) |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | 14,190 | 1.0 | 6/20/17 | 126,426 | (168,321 | ) | (41,895 | ) | |||||||||||||||||||
Total | 14,190 | 126,426 | (168,321 | ) | (41,895 | ) | ||||||||||||||||||||||
Carnival Corp. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 17,320 | 1.0 | 3/20/17 | (560,434 | ) | 378,915 | (181,519 | ) | |||||||||||||||||||
Total | 17,320 | (560,434 | ) | 378,915 | (181,519 | ) | ||||||||||||||||||||||
CDX Emerging Market Index,
Series 17 |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Buy | 21,650 | 5.0 | 6/20/17 | 2,820,514 | (2,655,875 | ) | 164,639 | ||||||||||||||||||||
Total | 21,650 | 2,820,514 | (2,655,875 | ) | 164,639 |
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) | |||||||||||||||||||||
Expedia, Inc. |
||||||||||||||||||||||||||||
Citibank NA |
Sell | $ | 17,320 | 1.0 | % | 3/20/17 | $ | 900,834 | $ | (908,803 | ) | $ | (7,969 | ) | ||||||||||||||
Total | 17,320 | 900,834 | (908,803 | ) | (7,969 | ) | ||||||||||||||||||||||
GATX Corp. |
||||||||||||||||||||||||||||
UBS AG |
Sell | 16,760 | 1.0 | 3/20/17 | 945,949 | (487,303 | ) | 458,646 | ||||||||||||||||||||
Total | 16,760 | 945,949 | (487,303 | ) | 458,646 | |||||||||||||||||||||||
Halliburton Co. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 16,760 | 1.0 | 3/20/17 | (197,279 | ) | (273,739 | ) | (471,018 | ) | ||||||||||||||||||
Total | 16,760 | (197,279 | ) | (273,739 | ) | (471,018 | ) | |||||||||||||||||||||
Istanbul Bond Co. SA for
Finansbank AS |
||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Sell | 15,590 | 1.3 | 3/24/13 | | (328,819 | ) | (328,819 | ) | |||||||||||||||||||
Total | 15,590 | | (328,819 | ) | (328,819 | ) | ||||||||||||||||||||||
Macys, Inc. |
||||||||||||||||||||||||||||
Credit Suisse International |
Sell | 17,090 | 1.0 | 3/20/17 | 19,924 | (25,875 | ) | (5,951 | ) | |||||||||||||||||||
Total | 17,090 | 19,924 | (25,875 | ) | (5,951 | ) | ||||||||||||||||||||||
Nabors Industries, Inc. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 17,090 | 1.0 | 3/20/17 | (434,724 | ) | 257,344 | (177,380 | ) | |||||||||||||||||||
Total | 17,090 | (434,724 | ) | 257,344 | (177,380 | ) | ||||||||||||||||||||||
Russian Federation |
||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
Buy | 54,140 | 1.0 | 6/20/17 | (2,040,523 | ) | 2,245,534 | 205,011 | ||||||||||||||||||||
Total | 54,140 | (2,040,523 | ) | 2,245,534 | 205,011 | |||||||||||||||||||||||
SLM Corp. |
||||||||||||||||||||||||||||
Bank of America NA |
Sell | 16,760 | 5.0 | 3/20/17 | 587,383 | 651,978 | 1,239,361 | |||||||||||||||||||||
Total | 16,760 | 587,383 | 651,978 | 1,239,361 | ||||||||||||||||||||||||
The Gap, Inc. |
||||||||||||||||||||||||||||
Bank of America NA |
Sell | 17,320 | 1.0 | 3/20/17 | 893,299 | (905,385 | ) | (12,086 | ) | |||||||||||||||||||
Total | 17,320 | 893,299 | (905,385 | ) | (12,086 | ) | ||||||||||||||||||||||
Turkey (Republic of) |
||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
Sell | 54,140 | 1.0 | 6/20/17 | 3,025,409 | (3,373,047 | ) | (347,638 | ) | |||||||||||||||||||
Total | 54,140 | 3,025,409 | (3,373,047 | ) | (347,638 | ) | ||||||||||||||||||||||
United Mexican States |
||||||||||||||||||||||||||||
HSBC Bank USA NA |
Sell | 3,010 | 1.0 | 6/20/17 | 14,903 | (29,469 | ) | (14,566 | ) | |||||||||||||||||||
Total | 3,010 | 14,903 | (29,469 | ) | (14,566 | ) | ||||||||||||||||||||||
Grand Total Buys | (2,495,049 | ) | 1,458,155 | (1,036,894 | ) | |||||||||||||||||||||||
Grand Total Sells | 6,514,127 | (5,575,044 | ) | 939,083 | ||||||||||||||||||||||||
Total Credit Default Swaps | $ | 4,019,078 | $ | (4,116,889 | ) | $ | (97,811 | ) | ||||||||||||||||||||
Total Maximum | ||||||||||||
Type of Reference | Potential Payments | |||||||||||
Asset on which | for Selling Credit | Reference | ||||||||||
the Fund Sold | Protection | Amount | Asset Rating | |||||||||
Protection | (Undiscounted) | Receivable* | Range** | |||||||||
Investment Grade Single Name Corporate Debt |
$ | 83,520,000 | $ | | BBB to BBB- | |||||||
Non-Investment Grade Single Name Corporate Debt |
17,320,000 | | BB+ | |||||||||
Investment Grade Sovereign Debt |
17,200,000 | | BBB | |||||||||
Non-Investment Grade Sovereign Debt |
54,140,000 | | BB | |||||||||
Total |
$ | 172,180,000 | $ | | ||||||||
* | 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: |
||||||||||||||||||||
Bank of America NA |
30,670 | BRR | BZDI | 9.565 | % | 1/2/14 | $ | 27,393 | ||||||||||||
Citibank NA |
30,610 | BRR | BZDI | 9.490 | 1/2/14 | 16,830 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
40,510 | BRR | BZDI | 11.390 | 1/5/15 | 675,937 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
60,000 | BRR | BZDI | 10.380 | 1/2/17 | (39,865 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) |
94,585 | BRR | BZDI | 9.490 | 1/2/14 | 33,357 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
30,610 | BRR | BZDI | 9.480 | 1/2/14 | 6,676 | ||||||||||||||
Total |
286,985 | BRR | 720,328 | |||||||||||||||||
MXN TIIE BANXICO: |
||||||||||||||||||||
Credit Suisse International |
49,800 | MXN | MXN TIIE BANXICO |
7.010 | 7/24/31 | (290,360 | ) | |||||||||||||
Merrill Lynch & Co., Inc. |
26,745 | MXN | MXN TIIE BANXICO |
6.990 | 7/24/31 | (160,362 | ) | |||||||||||||
Total |
76,545 | MXN | (450,722 | ) | ||||||||||||||||
Six-Month AUD BBR BBSW: |
||||||||||||||||||||
Barclays Bank plc |
10,200 | AUD | 4.533 | Six-Month AUD BBR BBSW |
9/14/17 | 35,603 | ||||||||||||||
Westpac Banking Corp. |
19,920 | AUD | 4.990 | Six-Month AUD BBR BBSW |
11/3/21 | (399,769 | ) | |||||||||||||
Total where Fund pays a fixed rate |
30,120 | AUD | (364,166 | ) | ||||||||||||||||
Barclays Bank plc |
23,940 | AUD | Three-Month AUD BBR BBSW |
4.140 | 9/14/14 | 75,832 | ||||||||||||||
Total where Fund pays a variable rate |
23,940 | AUD | 75,832 | |||||||||||||||||
Total |
54,060 | AUD | (288,334 | ) | ||||||||||||||||
Six-Month EUR EURIBOR |
||||||||||||||||||||
Bank of America Merrill Lynch |
2,760 | EUR | Six-Month EUR EURIBOR |
2.218 | 1/4/21 | 10,653 | ||||||||||||||
Royal Bank of Scotland plc (The) |
8,240 | EUR | Six-Month EUR EURIBOR |
1.475 | 1/4/17 | (33,587 | ) | |||||||||||||
11,000 | EUR | (22,934 | ) |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
Three-Month CAD BA CDOR: |
||||||||||||||||||||
Bank of America Merrill Lynch |
6,760 | CAD | Three-Month CAD BA CDOR |
1.861 | % | 3/28/17 | $ | 3,512 | ||||||||||||
JPMorgan Chase Bank NA |
7,340 | CAD | Three-Month CAD BA CDOR |
2.390 | 3/6/22 | (92,736 | ) | |||||||||||||
Total |
14,100 | CAD | (89,224 | ) | ||||||||||||||||
Three-Month NZD BBR FRA |
||||||||||||||||||||
Deutsche Bank AG |
25,610 | NZD | Three-Month NZD BBR FRA |
4.050 | 2/2/22 | (596,331 | ) | |||||||||||||
Three-Month SEK STIBOR SIDE |
||||||||||||||||||||
Goldman Sachs Group, Inc. (The) |
143,700 | SEK | 2.440 | Three-Month SEK STIBOR SIDE |
11/3/21 | 201,739 | ||||||||||||||
Three-Month USD BBA LIBOR: |
||||||||||||||||||||
JPMorgan Chase Bank NA |
7,265 | 2.040 | Three-Month USD BBA LIBOR |
3/8/22 | 149,402 | |||||||||||||||
Total where Fund pays a fixed rate |
7,265 | 149,402 | ||||||||||||||||||
Barclays Bank plc |
21,440 | Three-Month USD BBA LIBOR |
2.358 | 11/2/21 | 431,640 | |||||||||||||||
Total where Fund pays a variable rate |
21,440 | 431,640 | ||||||||||||||||||
Total |
28,705 | 581,042 | ||||||||||||||||||
Three-Month ZAR JIBAR SAFEX: |
||||||||||||||||||||
Barclays Bank plc |
49,800 | ZAR | Three-Month ZAR JIBAR SAFEX |
7.480 | 8/17/21 | (33,914 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) |
50,500 | ZAR | Three-Month ZAR JIBAR SAFEX |
7.480 | 8/17/21 | (34,390 | ) | |||||||||||||
HSBC Bank USA NA |
49,800 | ZAR | Three-Month ZAR JIBAR SAFEX |
7.470 | 8/17/21 | (38,401 | ) | |||||||||||||
Total |
150,100 | ZAR | (106,705 | ) | ||||||||||||||||
Total Interest Rate Swaps |
$ | (51,141 | ) | |||||||||||||||||
AUD | Australian Dollar |
|
BRR | Brazilian Real |
|
CAD | Canadian Dollar |
|
EUR | Euro |
|
MXN | Mexican Nuevo Peso |
|
NZD | New Zealand Dollar |
|
SEK | Swedish Krona |
|
ZAR | South African Rand |
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate |
|
BANXICO | Banco de Mexico |
|
BBA LIBOR | British Bankers Association London-Interbank Offered Rate |
|
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) |
|
BBR FRA | Bank Bill Rate Forward Rate Agreement |
|
BZDI | Brazil Interbank Deposit Rate |
|
EURIBOR | Euro Interbank Offered Rate |
|
JIBAR | South Africa Johannesburg Interbank Agreed Rate |
|
SAFEX | South African Futures Exchange |
|
STIBOR SIDE | Stockholm Interbank Offered Rate |
|
TIIE | Interbank Equilibrium Interest Rate |
Notional | ||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||
AMEX Materials Select Sector | ||||||||||||||||||
UBS AG | $ | 7,138 | One-Month USD
BBA LIBOR plus 12
basis points and if negative, the absolute value of the Total Return of the AMEX Materials Select Sector Index |
If positive, the Total Return of the AMEX Materials Select Sector Index | 2/6/13 | $ | (72,776 | ) | ||||||||||
Custom Basket of Securities: | ||||||||||||||||||
Citibank NA | 1,177,341 | 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 | 4/16/12 | 318,985 | ||||||||||||
Citibank NA | 11,370 | CAD | One-Month CAD BA
CDOR 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 | 3/6/13 | 92,090 | ||||||||||||
Citibank NA | 10,756 | AUD | One-Month AUD 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 | 3/8/13 | 518,859 | ||||||||||||
Goldman Sachs Group, Inc. (The) | 86,334 | 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 | 3/7/13 | 2,921,582 | |||||||||||||
Morgan Stanley | 3,615 | 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 | 1/10/13 | 23,634 | ||||||||||||
Reference Entity Total | 3,875,150 | |||||||||||||||||
Energy Select Sector Index | ||||||||||||||||||
UBS AG | 6,833 | One-Month USD
BBA LIBOR plus 12 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 | 2/6/13 | (349,135 | ) |
Notional | ||||||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
Financial Select
Sector Index |
||||||||||||||||||||
UBS AG |
$ | 7,191 | One-Month USD BBA LIBOR plus 5 basis points and if negative, the absolute value of the Total Return of the Financial Select Sector Index | If potisive, the Total Return of the Financial Select Sector Index | 3/7/13 | $ | 450,479 | |||||||||||||
Total of Total Return Swaps |
$ | 3,903,718 | ||||||||||||||||||
AUD | Australian Dollar |
|
CAD | Canadian Dollar |
|
GBP | British Pounds Sterling |
|
JPY | Japanese Yen |
AMEX | American Stock Exchange |
|
BA CDOR | Canada Bankers Acceptances Deposit offering Rate |
|
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 |
||||||||||||||||||||
Goldman Sachs Group, Inc. (The) |
118 AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the period 3/7/12 to 4/4/12 | 7.450 | % | 4/10/12 | $ | 77,389 | |||||||||||||
EUR/NZD Spot
Exchange Rate |
||||||||||||||||||||
Bank of America NA |
95 EUR | 9.900 | % | The Historic Volatility of the mid EUR/NZD spot exchange rate during the period 3/5/12 to 4/4/12 | 4/10/12 | 67,730 | ||||||||||||||
NZD/CAD Spot
Exchange Rate |
||||||||||||||||||||
Bank of America NA |
242 NZD | 9.400 | The Historic Volatility of the mid NZD/CAD spot exchange rate during the period 3/19/12 to 4/19/12 | 4/21/12 | (247,581 | ) |
Reference Entity/ | Notional | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | Amount (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
NZD/JPY Spot
Exchange Rate: |
||||||||||||||||||||
Credit Suisse International |
154 NZD | 14.600 | % | The Historic Volatility of the mid NZD/JPY spot exchange rate during the period 3/6/12 to 4/4/12 | 4/10/12 | $ | (71,817 | ) | ||||||||||||
USD/NOK Spot
Exchange Rate: |
||||||||||||||||||||
Bank of America NA |
200 | 13.200 | The Historic Volatility of the mid USD/NOK spot exchange rate during the Period 3/14/12 to 4/12/12 | 4/16/12 | (612,184 | ) | ||||||||||||||
Credit Suisse International |
200 | 12.150 | The Historic Volatility of the mid USD/NOK spot exchange rate during the period 3/13/12 to 4/12/12 | 4/16/12 | 116,483 | |||||||||||||||
Deutsche Bank AG |
125 | 11.450 | The Historic Volatility of the mid USD/NOK spot exchange rate during the period 3/9/12 to 4/11/12 | 4/13/12 | 105,927 | |||||||||||||||
Goldman Sachs Group, Inc. (The) |
200 | 12.100 | The Historic Volatility of the mid USD/NOK spot exchange rate during the period 3/12/12 to 4/12/12 | 4/16/12 | 79,778 | |||||||||||||||
Goldman Sachs Group, Inc. (The) |
200 | 12.900 | The Historic Volatility of the mid USD/NOK spot exchange rate during the period 3/15/12 to 4/17/12 | 4/19/12 | (515,944 | ) | ||||||||||||||
Royal Bank of Scotland plc (The) |
200 | 12.400 | The Historic Volatility of the mid USD/NOK spot exchange rate during the period 3/16/12 to 4/18/12 | 4/20/12 | (434,908 | ) | ||||||||||||||
Reference Entity Total | (1,260,848 | ) | ||||||||||||||||||
USD/SEK Spot
Exchange Rate |
||||||||||||||||||||
Goldman Sachs Group, Inc. (The) |
125 | 11.500 | The Historic Volatility of the mid USD/SEK spot exchange rate during the period 3/8/12 to 4/10/12 | 4/12/12 | (88,957 | ) | ||||||||||||||
Total Volatility Swaps | $ | (1,524,084 | ) | |||||||||||||||||
AUD | Australian Dollar |
|
EUR | Euro |
|
NZD | New Zealand Dollar |
CAD | Canadian Dollar |
|
JPY | Japanese Yen |
|
NOK | Norwegian Krone |
|
SEK | Swedish Krona |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||
Bank of America Merrill Lynch: |
Interest Rate | $6,760 | CAD | $ | 3,512 | |||||
Interest Rate | 2,760 | EUR | 10,653 | |||||||
14,165 | ||||||||||
Bank of America NA: |
||||||||||
Credit Default Sell Protection | 34,080 | (253,407 | ) | |||||||
Interest Rate | 30,670 | BRR | 27,393 | |||||||
Volatility | 95 | EUR | 67,730 | |||||||
Volatility | 242 | NZD | (247,581 | ) | ||||||
Volatility | 200 | (612,184 | ) | |||||||
(1,018,049 | ) | |||||||||
Barclays Bank plc: |
||||||||||
Credit Default Buy Protection | 17,320 | 172,164 | ||||||||
Interest Rate | 34,140 | AUD | 111,435 | |||||||
Interest Rate | 21,440 | 431,640 | ||||||||
Interest Rate | 49,800 | ZAR | (33,914 | ) | ||||||
681,325 | ||||||||||
Citibank NA: |
||||||||||
Credit Default Sell Protection | 17,320 | (908,803 | ) | |||||||
Interest Rate | 30,610 | BRR | 16,830 | |||||||
Total Return | 10,756 | AUD | 518,859 | |||||||
Total Return | 11,370 | CAD | 92,090 | |||||||
Total Return | 1,177,341 | JPY | 318,985 | |||||||
37,961 | ||||||||||
Credit Suisse International: |
||||||||||
Credit Default Buy Protection | 51,170 | 362,520 | ||||||||
Credit Default Sell Protection | 17,090 | (25,875 | ) | |||||||
Interest Rate | 49,800 | MXN | (290,360 | ) | ||||||
Volatility | 154 | NZD | (71,817 | ) | ||||||
Volatility | 200 | 116,483 | ||||||||
90,951 |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection |
$ | 21,650 | $ | (2,655,875 | ) | |||||
Credit Default Sell Protection |
14,190 | (168,321 | ) | |||||||
Interest Rate |
25,610 | NZD | (596,331 | ) | ||||||
Volatility |
125 | 105,927 | ||||||||
(3,314,600 | ) | |||||||||
Goldman Sachs Bank USA: | ||||||||||
Credit Default Buy Protection |
54,140 | 2,245,534 | ||||||||
Credit Default Sell Protection |
54,140 | (3,373,047 | ) | |||||||
(1,127,513 | ) | |||||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate |
225,705 | BRR | 676,105 | |||||||
Interest Rate |
143,700 | SEK | 201,739 | |||||||
Interest Rate |
50,500 | ZAR | (34,390 | ) | ||||||
Total Return |
86,334 | 2,921,582 | ||||||||
Volatility |
118 | AUD | 77,389 | |||||||
Volatility |
525 | (525,123 | ) | |||||||
3,317,302 | ||||||||||
Goldman Sachs International | Credit Default Buy Protection |
16,760 | 1,333,812 | |||||||
HSBC Bank USA NA | ||||||||||
Credit Default Sell Protection |
3,010 | (29,469 | ) | |||||||
Interest Rate |
49,800 | ZAR | (38,401 | ) | ||||||
(67,870 | ) | |||||||||
JPMorgan Chase Bank NA: | ||||||||||
Interest Rate |
7,340 | CAD | (92,736 | ) | ||||||
Interest Rate |
7,265 | 149,402 | ||||||||
56,666 | ||||||||||
Merrill Lynch & Co., Inc. | Interest Rate |
26,745 | MXN | (160,362 | ) | |||||
Morgan Stanley | Total Return |
3,615 | GBP | 23,634 | ||||||
Morgan Stanley Capital Services, Inc. | Credit Default Sell Protection |
15,590 | (328,819 | ) | ||||||
Royal Bank of Scotland plc (The): | ||||||||||
Interest Rate |
8,240 | EUR | (33,587 | ) | ||||||
Volatility |
200 | (434,908 | ) | |||||||
(468,495 | ) | |||||||||
UBS AG: | ||||||||||
Credit Default Sell Protection |
16,760 | (487,303 | ) | |||||||
Total Return |
21,162 | 28,568 | ||||||||
(458,735 | ) | |||||||||
Westpac Banking Corp. | Interest Rate |
19,920 | AUD | (399,769 | ) | |||||
Total Swaps |
$ | (1,788,396 | ) | |||||||
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
EUR
|
Euro | |
GBP
|
British Pounds Sterling | |
JPY
|
Japanese Yen | |
MXN
|
Mexican Nuevo Peso | |
NZD
|
New Zealand Dollar | |
SEK
|
Swedish Krona | |
ZAR
|
South African Rand |
Underlying | ||||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||||
Six-Month EUR EURIBOR: | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.65%;
Received: Six-Month
EUR EURIBOR; Termination Date: 12/1/42 |
Interest Rate Pay Fixed |
54,490 | EUR | 11/30/12 | $ | 2,744,174 | $ | (2,014,293 | ) | $ | 729,881 | ||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.71%;
Received: Six-Month
EUR EURIBOR; Termination Date: 11/17/42 |
Interest Rate Pay Fixed |
54,325 | EUR | 11/16/12 | 2,945,810 | (2,209,477 | ) | 736,333 | |||||||||||||||
5,689,984 | (4,223,770 | ) | 1,466,214 | |||||||||||||||||||||
Six-Month GBP BBA LIBOR | ||||||||||||||||||||||||
JPMorgan Chase Bank NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 3.231%;
Received: Six-Month
GBP BBA LIBOR; Termination Date: 2/14/43 |
Interest Rate Pay Fixed |
1,825 | GBP | 2/15/13 | 181,026 | (144,198 | ) | 36,828 |
Underlying | ||||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||||
Six-Month JPY BBA LIBOR | ||||||||||||||||||||||||
UBS AG | Interest Rate
Swaption
(European); Swap
Terms: Paid: 1.67%;
Received: Six-Month
JPY BBA LIBOR; Termination Date: 9/26/22 |
Interest Rate Pay Fixed |
3,597,175 | JPY | 9/25/12 | $ | 135,093 | $ | (51,194 | ) | $ | 83,899 | ||||||||||||
Three-Month CAD BA CDOR: | ||||||||||||||||||||||||
Bank of America NA | Interest Rate
Swaption
(Euorpean); Swap
Terms: Paid: 2.27%;
Received: Three-Month
CAD BA CDOR; Termination Date: 8/27/22 |
Interest Rate Pay Fixed |
36,275 | CAD | 8/28/12 | 410,297 | (353,452 | ) | 56,845 | |||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.30%;
Received: Three-Month
CAD BA CDOR; Termination Date: 9/5/22 |
Interest Rate Pay Fixed |
18,150 | CAD | 9/6/12 | 195,358 | (200,535 | ) | (5,177 | ) | ||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.53%;
Received: Three-Month
CAD BA CDOR; Termination Date: 9/24/22 |
Interest Rate Pay Fixed |
18,165 | CAD | 9/25/12 | 205,532 | (370,035 | ) | (164,503 | ) | ||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.61%;
Received: Three-Month
CAD BA CDOR; Termination Date: 9/21/22 |
Interest Rate Pay Fixed |
36,335 | CAD | 9/24/12 | 413,792 | (863,889 | ) | (450,097 | ) |
Underlying | ||||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||||
Three-Month BA CDOR: Continued | ||||||||||||||||||||||||
Bank of America NA | Interest Rat
Swaption
(European); Swap
Terms: Paid: 2.665%;
Received: Three-Month
CAD BA CDOR; Termination Date: 6/27/22 |
Interest Rate Pay Fixed |
36,370 | CAD | 6/28/12 | $ | 555,630 | $ | (800,374 | ) | $ | (244,744 | ) | |||||||||||
1,780,609 | (2,588,285 | ) | (807,676 | ) | ||||||||||||||||||||
Three-Month USD BBA LIBOR: | ||||||||||||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.93%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 8/18/22 |
Interest Rate Pay Fixed |
72,420 | 8/17/12 | 782,136 | (538,512 | ) | 243,624 | ||||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.315%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 5/31/22 |
Interest Rate Pay Fixed |
160,400 | 5/30/12 | 4,643,580 | (1,997,826 | ) | 2,645,754 | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.1625%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 8/20/24 |
Interest Rate Pay Fixed |
271,575 | 8/17/12 | 4,350,632 | (2,110,907 | ) | 2,239,725 | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.89%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 8/30/22 |
Interest Rate Pay Fixed |
181,375 | 8/29/12 | 1,890,834 | (1,333,241 | ) | 557,593 |
Underlying | ||||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||||
Three-Month USD BBA LIBOR: Continued | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.91%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 8/17/22 |
Interest Rate Pay Fixed |
90,545 | 8/16/12 | $ | 959,777 | $ | (643,757 | ) | $ | 316,020 | |||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 2.92%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 9/10/22 |
Interest Rate Pay Fixed |
181,440 | 9/7/12 | 1,914,192 | (1,500,747 | ) | 413,445 | ||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: 3%;
Received: Three-Month
USD BBA LIBOR; Termination Date: 8/24/22 |
Interest Rate Pay Fixed |
72,430 | 8/23/12 | 767,758 | (634,232 | ) | 133,526 | ||||||||||||||||
Total where Fund pays a fixed rate | 15,308,909 | (8,759,222 | ) | 6,549,687 | ||||||||||||||||||||
Bank of America NA | Interest Rate
Swaption
(European); Swap
Terms: Paid: Three-Month
USD BBA LIBOR;
Received: 1.175%; Termination Date: 10/2/15 |
Interest Rate Pay Floating |
32,000 | 10/1/12 | 64,320 | (67,836 | ) | (3,516 | ) | |||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: Three-Month
USD BBA LIBOR;
Received: 1.115%; Termination Date: 10/2/15 |
Interest Rate Pay Floating |
106,840 | 10/1/12 | 387,295 | (390,339 | ) | (3,044 | ) |
Underlying | ||||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||||
Three-Month USD BBA LIBOR Continued | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: Three-Month
USD BBA LIBOR;
Received: 2.25%; Termination Date: 12/19/16 |
Interest Rate Pay Floating |
181,555 | 12/18/12 | $ | 907,775 | $ | (835,832 | ) | $ | 71,943 | |||||||||||||
Goldman Sachs Group, Inc. (The) | Interest Rate
Swaption
(European); Swap
Terms: Paid: Termination Date: 12/19/16 |
Interest Rate Pay Floating |
109,020 | 12/18/12 | 572,355 | (448,045 | ) | 124,310 | ||||||||||||||||
JPMorgan Chase Bank NA, | Interest Rate
Swaption
(European); Swap
Terms: Paid: Three-Month
USD BBA LIBOR;
Received: 3%; Termination Date: 9/19/22 |
Interest Rate Pay Floating |
90,780 | 9/18/12 | 1,021,275 | (758,992 | ) | 262,283 | ||||||||||||||||
Total where Fund pays a floating rate | 2,953,020 | (2,501,044 | ) | 451,976 | ||||||||||||||||||||
Total | 18,261,929 | (11,260,266 | ) | 7,001,663 | ||||||||||||||||||||
Total Written Swaptions | $ | 26,048,641 | $ | (18,267,713 | ) | $ | 7,780,928 | |||||||||||||||||
CAD
|
Canadian Dollar | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
JPY
|
Japanese Yen | |
Abbreviations/Definitions are as follows: | ||
BA CDOR
|
Canada Bankers Acceptances | |
Deposit Offering Rate | ||
BBA LIBOR
|
British Bankers Association London-Interbank Offered Rate | |
EURIBOR
|
Euro Interbank Offered Rate |
Assets |
||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $7,690,868,093) |
$ | 7,482,591,769 | ||
Affiliated companies (cost $1,454,580,250) |
1,409,584,645 | |||
Wholly-owned subsidiary (cost $1,500,000) |
1,469,259 | |||
8,893,645,673 | ||||
Cash |
3,265,855 | |||
Cashforeign currencies (cost $3,791,703) |
3,535,396 | |||
Unrealized appreciation on foreign currency exchange contracts |
15,529,086 | |||
Appreciated swaps, at value (net upfront payments paid $1,565,290) |
9,511,186 | |||
Depreciated swaps, at value (upfront payments paid $2,965,611) |
1,970,071 | |||
Receivables and other assets: |
||||
Interest, dividends and principal paydowns |
110,367,459 | |||
Investments sold (including $10,617,076 sold on a when-issued or delayed delivery basis) |
103,326,956 | |||
Closed foreign currency contracts |
10,873,089 | |||
Shares of beneficial interest sold |
8,798,172 | |||
Futures margins |
1,614,846 | |||
Other |
277,340 | |||
Total assets |
9,162,715,129 | |||
Liabilities |
||||
Appreciated options written, at value (premiums received $4,812,830) |
2,009,042 | |||
Depreciated options written, at value (premiums received $913,968) |
1,209,583 | |||
Appreciated swaptions written, at value (premiums received $24,226,714) |
15,574,705 | |||
Depreciated swaptions written, at value (premiums received $1,821,927) |
2,693,008 | |||
Unrealized depreciation on foreign currency exchange contracts |
22,397,615 | |||
Appreciated swaps, at value (upfront payments received $3,766,463) |
3,143,178 | |||
Depreciated swaps, at value (net upfront payments received $4,783,516) |
10,126,475 | |||
Payables and other liabilities: |
||||
Investments purchased (including $362,475,027 purchased on a
when-issued or delayed delivery basis) |
512,799,136 | |||
Shares of beneficial interest redeemed |
14,099,391 | |||
Closed foreign currency contracts |
9,157,301 | |||
Dividends |
8,521,979 | |||
Futures margins |
5,429,101 | |||
Distribution and service plan fees |
1,659,303 | |||
Foreign capital gains tax |
1,270,104 | |||
Transfer and shareholder servicing agent fees |
1,006,836 | |||
Shareholder communications |
605,204 | |||
Trustees compensation |
164,075 | |||
Other |
188,106 | |||
Total liabilities |
612,054,142 | |||
Net Assets |
$ | 8,550,660,987 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 2,033,208 | ||
Additional paid-in capital |
9,412,864,747 | |||
Accumulated net investment income |
3,174,034 | |||
Accumulated net realized loss on investments and foreign currency transactions |
(603,341,337 | ) | ||
Net unrealized depreciation on investments and translation of assets and
liabilities denominated in foreign currencies |
(264,069,665 | ) | ||
Net Assets |
$ | 8,550,660,987 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of $5,871,848,747 and
1,395,830,855 shares of beneficial interest outstanding) |
$ | 4.21 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) |
$ | 4.42 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $275,422,905 and 65,248,517
shares of beneficial interest outstanding) |
$ | 4.22 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $1,419,448,100 and 338,111,421
shares of beneficial interest outstanding) |
$ | 4.20 | ||
Class I Shares: |
||||
Net asset value, redemption price and offering price per share
(based on net assets of $10,070 and 2,398 shares of beneficial interest outstanding) |
$ | 4.20 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $233,464,189 and 55,462,498
shares of beneficial interest outstanding) |
$ | 4.21 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net
assets of $750,466,976 and 178,552,548 shares of beneficial interest outstanding) |
$ | 4.20 |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. |
Allocation of Income and Expenses from Master Funds2 |
||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: |
||||
Interest |
$ | 7,291,086 | ||
Dividends |
6,077 | |||
Expenses3 |
(356,087 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC |
6,941,076 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: |
||||
Interest |
43,107,532 | |||
Dividends |
152,316 | |||
Expenses4 |
(1,897,844 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC |
41,362,004 | |||
Total allocation of net investment income from master funds |
48,303,080 | |||
Investment Income |
||||
Interest from unaffiliated companies (net of foreign withholding taxes of $82,297) |
237,684,254 | |||
Dividends: |
||||
Unaffiliated companies (net of foreign withholding taxes of $203,777) |
1,753,618 | |||
Affiliated companies |
632,042 | |||
Fee income on when-issued securities |
3,099,960 | |||
Total investment income |
243,169,874 | |||
Expenses |
||||
Management fees |
21,827,737 | |||
Distribution and service plan fees: |
||||
Class A |
7,154,922 | |||
Class B |
1,388,273 | |||
Class C |
6,994,087 | |||
Class N |
568,943 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
3,940,505 | |||
Class B |
372,391 | |||
Class C |
920,158 | |||
Class I |
1 | |||
Class N |
316,755 | |||
Class Y |
671,810 | |||
Shareholder communications: |
||||
Class A |
402,127 | |||
Class B |
36,822 | |||
Class C |
91,469 | |||
Class N |
16,093 | |||
Class Y |
44,311 | |||
Custodian fees and expenses |
258,085 | |||
Trustees compensation |
73,273 | |||
Administration service fees |
750 |
Other |
$ | 268,494 | ||
Total expenses |
45,347,006 | |||
Less waivers and reimbursements of expenses |
(2,386,974 | ) | ||
Net expenses |
42,960,032 | |||
Net Investment Income |
248,512,922 | |||
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments from unaffiliated companies |
||||
(including premiums on options exercised) |
(38,354,525 | ) | ||
Closing and expiration of option contracts written |
30,260,671 | |||
Closing and expiration of swaption contracts |
9,184,381 | |||
Closing and expiration of futures contracts |
(9,012,030 | ) | ||
Foreign currency transactions |
(70,778,632 | ) | ||
Swap contracts |
13,024,399 | |||
Increase from payment by affiliate |
21,363 | |||
Net realized loss allocated from: |
||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
(5,868,251 | ) | ||
Oppenheimer Master Loan Fund, LLC |
(4,344,026 | ) | ||
Net realized loss |
(75,866,650 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investments (net of foreign capital gains tax of $1,167,624) |
294,359,041 | |||
Translation of assets and liabilities denominated in foreign currencies |
83,442,667 | |||
Futures contracts |
(42,086,118 | ) | ||
Option contracts written |
5,884,236 | |||
Swaption contracts |
8,052,649 | |||
Swap contracts |
1,426,708 | |||
Net change in unrealized appreciation/deprecation allocated from: |
||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
1,144,727 | |||
Oppenheimer Master Loan Fund, LLC |
44,898,290 | |||
Net change in unrealized appreciation/depreciation |
397,122,200 | |||
Net Increase in Net Assets Resulting from Operations |
$ | 569,768,472 | ||
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. | |
3. | Net of expense waivers and/or reimbursements of $2,834. | |
4. | Net of expense waivers and/or reimbursements of $27,055. |
Six Months | Year | |||||||
Ended | Ended | |||||||
March 30, 20121 | September 30, | |||||||
(Unaudited) | 2011 | |||||||
Operations |
||||||||
Net investment income |
$ | 248,512,922 | $ | 548,170,137 | ||||
Net realized gain (loss) |
(75,866,650 | ) | 223,849,484 | |||||
Net change in unrealized appreciation/depreciation |
397,122,200 | (793,418,486 | ) | |||||
Net increase (decrease) in net assets resulting from operations |
569,768,472 | (21,398,865 | ) | |||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(173,760,587 | ) | (382,490,965 | ) | ||||
Class B |
(6,986,933 | ) | (16,567,355 | ) | ||||
Class C |
(36,287,127 | ) | (77,576,438 | ) | ||||
Class I |
(103 | ) | | |||||
Class N |
(6,373,762 | ) | (13,475,211 | ) | ||||
Class Y |
(22,289,817 | ) | (45,233,275 | ) | ||||
(245,698,329 | ) | (535,343,244 | ) | |||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from
beneficial interest transactions: |
||||||||
Class A |
(208,562,949 | ) | (124,884,015 | ) | ||||
Class B |
(19,974,060 | ) | (38,939,680 | ) | ||||
Class C |
(18,522,279 | ) | 26,600,521 | |||||
Class I |
10,000 | | ||||||
Class N |
(1,210,820 | ) | 10,298,920 | |||||
Class Y |
15,705,445 | 87,192,160 | ||||||
(232,554,663 | ) | (39,732,094 | ) | |||||
Net Assets |
||||||||
Total increase (decrease) |
91,515,480 | (596,474,203 | ) | |||||
Beginning of period |
8,459,145,507 | 9,055,619,710 | ||||||
End of period (including accumulated net investment income of
$3,174,034 and $359,441, respectively) |
$ | 8,550,660,987 | $ | 8,459,145,507 | ||||
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class A | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.05 | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.12 | .27 | .28 | .24 | .24 | .23 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.16 | (.28 | ) | .40 | (.05 | ) | (.40 | ) | .23 | |||||||||||||||
Total from investment operations |
.28 | (.01 | ) | .68 | .19 | (.16 | ) | .46 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.12 | ) | (.26 | ) | (.27 | ) | (.18 | ) | (.29 | ) | (.23 | ) | ||||||||||||
Tax return of capital distribution |
| | | (.06 | ) | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.12 | ) | (.26 | ) | (.27 | ) | (.24 | ) | (.29 | ) | (.23 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.21 | $ | 4.05 | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | ||||||||||||
Total Return, at Net Asset Value3 |
7.06 | % | (0.31 | )% | 18.17 | % | 5.59 | % | (4.01 | )% | 11.14 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 5,871,849 | $ | 5,857,280 | $ | 6,368,118 | $ | 6,019,723 | $ | 7,719,384 | $ | 6,430,790 | ||||||||||||
Average net assets (in thousands) |
$ | 5,855,584 | $ | 6,278,335 | $ | 6,047,257 | $ | 5,942,116 | $ | 7,560,427 | $ | 5,655,265 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
6.00 | % | 6.23 | % | 6.91 | % | 6.74 | % | 5.44 | % | 5.25 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
0.97 | % | 0.97 | % | 0.99 | % | 0.97 | % | 0.91 | % | 0.90 | % | ||||||||||||
Interest and fees from borrowings |
| | 6 | 0.28 | % | 0.01 | % | | | |||||||||||||||
Total expenses |
0.97 | %7 | 0.97 | %8 | 1.27 | %8 | 0.98 | %8 | 0.91 | %8 | 0.90 | %8 | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
0.91 | %9 | 0.92 | % | 1.23 | % | 0.96 | % | 0.89 | % | 0.89 | % | ||||||||||||
Portfolio turnover rate10 |
33 | % | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
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. | Less than 0.005%. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 | 0.99% |
8. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 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 | % |
9. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
0.93 | % |
10. | 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 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 | ||||
Year Ended September 30, 2011 |
$ | 3,961,769,663 | $ | 3,820,541,826 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class B | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.06 | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | ||||||||||||
Income
(loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.11 | .23 | .24 | .20 | .20 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) | .15 | (.28 | ) | .40 | (.04 | ) | (.39 | ) | .22 | |||||||||||||||
Total from investment operations |
.26 | (.05 | ) | .64 | .16 | (.19 | ) | .41 | ||||||||||||||||
Dividends
and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.10 | ) | (.22 | ) | (.24 | ) | (.16 | ) | (.25 | ) | (.19 | ) | ||||||||||||
Tax return of capital distribution |
| | | (.05 | ) | | | |||||||||||||||||
Total
dividends and/or distributions to shareholders |
(.10 | ) | (.22 | ) | (.24 | ) | (.21 | ) | (.25 | ) | (.19 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.22 | $ | 4.06 | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | ||||||||||||
Total Return, at Net Asset Value3 |
6.57 | % | (1.21 | )% | 16.74 | % | 4.64 | % | (4.54 | )% | 9.99 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 275,423 | $ | 284,757 | $ | 342,069 | $ | 353,248 | $ | 483,485 | $ | 569,523 | ||||||||||||
Average net assets (in thousands) |
$ | 277,732 | $ | 320,622 | $ | 331,317 | $ | 355,973 | $ | 540,865 | $ | 635,237 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
5.10 | % | 5.31 | % | 5.96 | % | 5.83 | % | 4.61 | % | 4.43 | % | ||||||||||||
Expenses
excluding interest and fees from borrowings |
1.88 | % | 1.89 | % | 1.93 | % | 1.89 | % | 1.73 | % | 1.71 | % | ||||||||||||
Interest and fees from borrowings |
| | 6 | 0.28 | % | 0.01 | % | | | |||||||||||||||
Total expenses |
1.88 | %7 | 1.89 | %8 | 2.21 | %8 | 1.90 | %8 | 1.73 | %8 | 1.71 | %8 | ||||||||||||
Expenses
after payments, waivers and/or reimbursements and reduction to
custodian expenses |
1.82 | %9 | 1.84 | % | 2.17 | % | 1.88 | % | 1.71 | % | 1.70 | % | ||||||||||||
Portfolio turnover rate10 |
33 | % | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
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. | Less than 0.005%. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
1.90 | % |
8. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 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 | % |
9. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months
Ended March 30, 2012 |
1.84 | % |
10. | 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 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 | ||||
Year Ended September 30, 2011 |
$ | 3,961,769,663 | $ | 3,820,541,826 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class C | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.04 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | ||||||||||||
Income
(loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.11 | .24 | .25 | .21 | .20 | .19 | ||||||||||||||||||
Net realized
and unrealized gain (loss) |
.16 | (.28 | ) | .39 | (.05 | ) | (.38 | ) | .22 | |||||||||||||||
Total from investment operations |
.27 | (.04 | ) | .64 | .16 | (.18 | ) | .41 | ||||||||||||||||
Dividends
and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends
from net investment income |
(.11 | ) | (.23 | ) | (.24 | ) | (.16 | ) | (.26 | ) | (.19 | ) | ||||||||||||
Tax return of capital distribution |
| | | (.05 | ) | | | |||||||||||||||||
Total
dividends and/or distributions to shareholders |
(.11 | ) | (.23 | ) | (.24 | ) | (.21 | ) | (.26 | ) | (.19 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.20 | $ | 4.04 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | ||||||||||||
Total Return, at Net Asset Value3 |
6.67 | % | (1.08 | )% | 17.01 | % | 4.79 | % | (4.52 | )% | 10.06 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets,
end of period (in thousands) |
$ | 1,419,448 | $ | 1,384,378 | $ | 1,448,886 | $ | 1,292,721 | $ | 1,493,804 | $ | 1,086,918 | ||||||||||||
Average net assets (in thousands) |
$ | 1,399,888 | $ | 1,453,972 | $ | 1,330,764 | $ | 1,201,421 | $ | 1,381,340 | $ | 959,439 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
5.25 | % | 5.48 | % | 6.15 | % | 6.00 | % | 4.68 | % | 4.49 | % | ||||||||||||
Expenses
excluding interest and fees from borrowings |
1.73 | % | 1.73 | % | 1.75 | % | 1.73 | % | 1.66 | % | 1.66 | % | ||||||||||||
Interest and fees from borrowings |
| | 6 | 0.28 | % | 0.01 | % | | | |||||||||||||||
Total expenses |
1.73 | %7 | 1.73 | %8 | 2.03 | %8 | 1.74 | %8 | 1.66 | %8 | 1.66 | %8 | ||||||||||||
Expenses
after payments, waivers and/or reimbursements and reduction to
custodian expenses |
1.67 | %9 | 1.68 | % | 1.99 | % | 1.72 | % | 1.64 | % | 1.65 | % | ||||||||||||
Portfolio turnover rate10 |
33 | % | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
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. | Less than 0.005%. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
1.75 | % |
8. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 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 | % |
9. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
1.69 | % |
10. | 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 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 | ||||
Year Ended September 30, 2011 |
$ | 3,961,769,663 | $ | 3,820,541,826 | ||||
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 |
Period Ended | ||||||||||||||||||||||||
March 30, 20121,2 | ||||||||||||||||||||||||
Class I | (Unaudited) | |||||||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.17 | ||||||||||||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income3 |
.04 | |||||||||||||||||||||||
Net realized and unrealized gain |
.03 | |||||||||||||||||||||||
Total from investment operations |
.07 | |||||||||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.04 | ) | ||||||||||||||||||||||
Tax return of capital distribution |
| |||||||||||||||||||||||
Total dividends and/or distributions to shareholders |
(.04 | ) | ||||||||||||||||||||||
Net asset value, end of period |
$ | 4.20 | ||||||||||||||||||||||
Total Return, at Net Asset Value4 |
1.76 | % | ||||||||||||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 10 | ||||||||||||||||||||||
Average net assets (in thousands) |
$ | 10 | ||||||||||||||||||||||
Ratios to average net assets:5,6 |
||||||||||||||||||||||||
Net investment income |
6.12 | % | ||||||||||||||||||||||
Expenses excluding interest and fees from
borrowings |
0.54 | % | ||||||||||||||||||||||
Interest and fees from borrowings |
| |||||||||||||||||||||||
Total expenses7 |
0.54 | % | ||||||||||||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to custodian expenses8 |
0.50 | % | ||||||||||||||||||||||
Portfolio turnover rate9 |
33 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | For the period from January 27, 2012 (inception of offering) to March 30, 2012. | |
3. | Per share amounts calculated based on the average shares outstanding during the period. | |
4. | 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. | |
5. | Annualized for periods less than one full year. | |
6. | Includes the Funds share of the allocated expenses and/or net investment income from the master funds. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Period Ended March 30, 2012 |
0.56 | % |
8. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30,
2012 |
0.52 | % |
9. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Period Ended March 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class N | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.05 | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.12 | .25 | .26 | .22 | .22 | .21 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.15 | (.28 | ) | .40 | (.05 | ) | (.39 | ) | .22 | |||||||||||||||
Total from investment operations |
.27 | (.03 | ) | .66 | .17 | (.17 | ) | .43 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.11 | ) | (.24 | ) | (.26 | ) | (.16 | ) | (.27 | ) | (.21 | ) | ||||||||||||
Tax return of capital distribution |
| | | (.06 | ) | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.11 | ) | (.24 | ) | (.26 | ) | (.22 | ) | (.27 | ) | (.21 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.21 | $ | 4.05 | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | ||||||||||||
Total Return, at Net Asset Value3 |
6.85 | % | (0.73 | )% | 17.34 | % | 5.14 | % | (4.17 | )% | 10.42 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 233,464 | $ | 225,889 | $ | 230,532 | $ | 186,857 | $ | 186,353 | $ | 145,685 | ||||||||||||
Average net assets (in thousands) |
$ | 230,024 | $ | 237,655 | $ | 202,619 | $ | 164,067 | $ | 175,884 | $ | 126,935 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
5.61 | % | 5.81 | % | 6.45 | % | 6.34 | % | 5.03 | % | 4.84 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
1.37 | % | 1.39 | % | 1.44 | % | 1.47 | % | 1.32 | % | 1.32 | % | ||||||||||||
Interest and fees from borrowings |
| | 6 | 0.28 | % | 0.01 | % | | | |||||||||||||||
Total expenses |
1.37 | %7 | 1.39 | %8 | 1.72 | %8 | 1.48 | %8 | 1.32 | %8 | 1.32 | %8 | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction
to custodian expenses |
1.31 | %9 | 1.34 | % | 1.68 | % | 1.39 | % | 1.30 | % | 1.31 | % | ||||||||||||
Portfolio turnover rate10 |
33 | % | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
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. | Less than 0.005%. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
1.39 | % |
8. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 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 | % |
9. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
1.33 | % |
10. | 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 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 | ||||
Year Ended September 30, 2011 |
$ | 3,961,769,663 | $ | 3,820,541,826 | ||||
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 |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class Y | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 4.05 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.13 | .28 | .29 | .24 | .25 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.15 | (.27 | ) | .39 | (.05 | ) | (.38 | ) | .22 | |||||||||||||||
Total from investment operations |
.28 | .01 | .68 | .19 | (.13 | ) | .46 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.13 | ) | (.27 | ) | (.28 | ) | (.18 | ) | (.30 | ) | (.24 | ) | ||||||||||||
Tax return of capital distribution |
| | | (.06 | ) | | | |||||||||||||||||
Total dividends and/or distributions
to shareholders |
(.13 | ) | (.27 | ) | (.28 | ) | (.24 | ) | (.30 | ) | (.24 | ) | ||||||||||||
Net asset value, end of period |
$ | 4.20 | $ | 4.05 | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | ||||||||||||
Total Return, at Net Asset Value3 |
6.91 | % | 0.13 | % | 18.10 | % | 5.67 | % | (3.33 | )% | 11.28 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 750,467 | $ | 706,842 | $ | 666,015 | $ | 290,726 | $ | 313,760 | $ | 347,689 | ||||||||||||
Average net assets (in thousands) |
$ | 727,874 | $ | 718,536 | $ | 545,045 | $ | 266,712 | $ | 220,416 | $ | 260,589 | ||||||||||||
Ratios to average net assets:4,5 |
||||||||||||||||||||||||
Net investment income |
6.19 | % | 6.44 | % | 7.08 | % | 6.82 | % | 5.68 | % | 5.61 | % | ||||||||||||
Expenses excluding interest and fees
from borrowings |
0.78 | % | 0.77 | % | 0.85 | % | 0.79 | % | 0.66 | % | 0.56 | % | ||||||||||||
Interest and fees from borrowings |
| | 6 | 0.28 | % | 0.01 | % | | | |||||||||||||||
Total expenses |
0.78 | %7 | 0.77 | %8 | 1.13 | %8 | 0.80 | %8 | 0.66 | %8 | 0.56 | %8 | ||||||||||||
Expenses after payments, waivers and/or
reimbursements and reduction to
custodian expenses |
0.72 | %9 | 0.72 | % | 1.05 | % | 0.78 | % | 0.64 | % | 0.55 | % | ||||||||||||
Portfolio turnover rate10 |
33 | % | 53 | % | 94 | % | 96 | % | 71 | % | 72 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
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. | Less than 0.005%. | |
7. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
0.80 | % |
8. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2011 |
0.77 | % | ||
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 | % |
9. | Ratio including all expenses of the wholly-owned subsidiary and indirect expenses from affiliated funds were as follows: |
Six Months Ended March 30, 2012 |
0.74 | % |
10. | 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 30, 2012 |
$ | 1,878,014,780 | $ | 1,882,111,139 | ||||
Year Ended September 30, 2011 |
$ | 3,961,769,663 | $ | 3,820,541,826 | ||||
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 |
When-Issued or | ||||
Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities |
$ | 362,475,027 | ||
Sold securities |
10,617,076 |
Cost |
$ | 175,190,612 | ||
Market Value |
$ | 44,164,853 | ||
Market Value as a % of Net Assets |
0.52 | % |
Expiring | ||||
2012 |
$ | 122,914,725 | ||
2016 |
3,243,816 | |||
2017 |
101,514,149 | |||
2018 |
240,345,967 | |||
No expiration |
75,866,650 | |||
Total |
$ | 543,885,307 | ||
Federal tax cost of securities |
$ | 9,152,703,100 | ||
Federal tax cost of other investments |
342,755,815 | |||
Total federal tax cost |
$ | 9,495,458,915 | ||
Gross unrealized appreciation |
$ | 290,232,533 | ||
Gross unrealized depreciation |
(552,895,774 | ) | ||
Net unrealized depreciation |
$ | (262,663,241 | ) | |
2. | Securities Valuation Continued |
Standard inputs generally considered | ||
Security Type | by third-party pricing vendors | |
Corporate debt, government
|
Reported trade data, broker-dealer price quotations, | |
debt, municipal, mortgage-backed
|
benchmark yields, issuer spreads on comparable | |
and asset-backed securities
|
securities, the credit quality, yield, maturity, and other | |
appropriate factors. | ||
Loans
|
Information obtained from market participants | |
regarding reported trade data and | ||
broker-dealer price quotations. | ||
Structured securities
|
Relevant market information such as the | |
price of underlying financial instruments, stock | ||
market indices, foreign currencies, interest | ||
rate spreads, commodities, or the | ||
occurrence of other specific events. | ||
Swaps
|
Relevant market information, including | |
underlying reference assets such as credit | ||
spreads, credit event probabilities, | ||
index values, individual security values, | ||
forward interest rates, variable interest rates, | ||
volatility measures, and forward currency rates. | ||
Event-linked bonds
|
Information obtained from market participants regarding | |
reported trade data and broker-dealer price quotations. |
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 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Wholly-Owned Subsidiary |
$ | | $ | 1,469,259 | $ | | $ | 1,469,259 | ||||||||
Asset-Backed Securities |
| 13,440,499 | 34,032,600 | 47,473,099 | ||||||||||||
Mortgage-Backed Obligations |
| 1,666,642,863 | 3,083,049 | 1,669,725,912 | ||||||||||||
U.S. Government Obligations |
| 433,177,448 | | 433,177,448 | ||||||||||||
Foreign Government Obligations |
| 2,549,222,272 | | 2,549,222,272 | ||||||||||||
Loan Participations |
| 80,813,368 | | 80,813,368 | ||||||||||||
Corporate Bonds and Notes |
1,443,138 | 2,309,074,076 | | 2,310,517,214 | ||||||||||||
Preferred Stocks |
| 6,321,157 | 5,930,909 | 12,252,066 | ||||||||||||
Common Stocks |
16,329,207 | 14,917,277 | | 31,246,484 | ||||||||||||
Rights, Warrants and Certificates |
| | 1,125 | 1,125 | ||||||||||||
Structured Securities |
| 296,052,498 | 20,855,390 | 316,907,888 | ||||||||||||
Options Purchased |
3,874,912 | 1,892,321 | | 5,767,233 | ||||||||||||
Swaptions Purchased |
| 35,578,127 | | 35,578,127 | ||||||||||||
Investment Companies |
105,654,929 | 1,293,839,249 | | 1,399,494,178 | ||||||||||||
Total Investments, at Value |
127,302,186 | 8,702,440,414 | 63,903,073 | 8,893,645,673 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
| 9,511,186 | | 9,511,186 | ||||||||||||
Depreciated swaps, at value |
| 1,970,071 | | 1,970,071 | ||||||||||||
Futures margins |
1,614,846 | | | 1,614,846 | ||||||||||||
Foreign currency exchange contracts |
| 15,529,086 | | 15,529,086 | ||||||||||||
Total Assets |
$ | 128,917,032 | $ | 8,729,450,757 | $ | 63,903,073 | $ | 8,922,270,862 | ||||||||
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
$ | | $ | (3,143,178 | ) | $ | | $ | (3,143,178 | ) | ||||||
Depreciated swaps, at value |
| (10,126,475 | ) | | (10,126,475 | ) | ||||||||||
Appreciated
swaptions written, at value |
| (15,574,705 | ) | | (15,574,705 | ) | ||||||||||
Depreciated
swaptions written, at value |
| (2,693,008 | ) | | (2,693,008 | ) | ||||||||||
Appreciated
options written, at value |
(1,672,422 | ) | (336,620 | ) | | (2,009,042 | ) | |||||||||
Depreciated options written, at value |
(810,451 | ) | (399,132 | ) | | (1,209,583 | ) | |||||||||
Futures margins |
(5,429,101 | ) | | | (5,429,101 | ) | ||||||||||
Foreign currency exchange contracts |
| (22,397,615 | ) | | (22,397,615 | ) | ||||||||||
Total Liabilities |
$ | (7,911,974 | ) | $ | (54,670,733 | ) | $ | | $ | (62,582,707 | ) | |||||
Six Months Ended March 30, 20121 | Year Ended September 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
92,235,366 | $ | 380,773,048 | 248,013,417 | $ | 1,071,416,084 | ||||||||||
Dividends and/or distributions reinvested |
35,409,942 | 145,855,601 | 70,663,847 | 303,589,497 | ||||||||||||
Redeemed |
(178,391,556 | ) | (735,191,598 | ) | (347,586,613 | ) | (1,499,889,596 | ) | ||||||||
Net decrease |
(50,746,248 | ) | $ | (208,562,949 | ) | (28,909,349 | ) | $ | (124,884,015 | ) | ||||||
Six Months Ended March 30, 20121 | Year Ended September 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B |
||||||||||||||||
Sold |
5,786,008 | $ | 23,990,818 | 15,333,850 | $ | 66,448,173 | ||||||||||
Dividends
and/or distributions reinvested |
1,459,518 | 6,035,119 | 3,207,096 | 13,828,747 | ||||||||||||
Redeemed |
(12,086,568 | ) | (49,999,997 | ) | (27,437,132 | ) | (119,216,600 | ) | ||||||||
Net decrease |
(4,841,042 | ) | $ | (19,974,060 | ) | (8,896,186 | ) | $ | (38,939,680 | ) | ||||||
Class C |
||||||||||||||||
Sold |
28,244,142 | $ | 116,306,036 | 67,246,894 | $ | 289,327,451 | ||||||||||
Dividends
and/or distributions reinvested |
7,506,045 | 30,871,788 | 14,585,663 | 62,522,873 | ||||||||||||
Redeemed |
(40,233,423 | ) | (165,700,103 | ) | (75,620,751 | ) | (325,249,803 | ) | ||||||||
Net increase (decrease) |
(4,483,236 | ) | $ | (18,522,279 | ) | 6,211,806 | $ | 26,600,521 | ||||||||
Class I |
||||||||||||||||
Sold |
2,398 | $ | 10,000 | | $ | | ||||||||||
Dividends
and/or distributions reinvested |
| | | | ||||||||||||
Redeemed |
| | | | ||||||||||||
Net increase |
2,398 | $ | 10,000 | | $ | | ||||||||||
Class N |
||||||||||||||||
Sold |
8,034,716 | $ | 33,180,148 | 18,963,770 | $ | 82,037,573 | ||||||||||
Dividends
and/or distributions reinvested |
1,362,062 | 5,615,832 | 2,700,968 | 11,610,969 | ||||||||||||
Redeemed |
(9,686,458 | ) | (40,006,800 | ) | (19,292,561 | ) | (83,349,622 | ) | ||||||||
Net increase (decrease) |
(289,680 | ) | $ | (1,210,820 | ) | 2,372,177 | $ | 10,298,920 | ||||||||
Class Y |
||||||||||||||||
Sold |
31,241,834 | $ | 128,675,323 | 78,483,612 | $ | 338,500,436 | ||||||||||
Dividends
and/or distributions reinvested |
4,705,613 | 19,368,550 | 9,274,828 | 39,812,222 | ||||||||||||
Redeemed |
(32,118,818 | ) | (132,338,428 | ) | (67,474,536 | ) | (291,120,498 | ) | ||||||||
Net increase |
3,828,629 | $ | 15,705,445 | 20,283,904 | $ | 87,192,160 | ||||||||||
1. | For the six months ended March 30, 2012, for Class A, Class B, Class C, Class N and Class Y shares, and for the period from January 27, 2012 (inception of offering) to March 30, 2012, for Class I shares. |
The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in the Subsidiary and IMMF, for the six months ended March 30, 2012, were as follows: |
Purchases | Sales | |||||||
Investment securities |
$ | 1,725,346,670 | $ | 1,915,541,904 | ||||
U.S. government and government agency obligations |
431,801,665 | 249,266,411 | ||||||
To Be Announced (TBA) mortgage-related securities |
1,878,014,780 | 1,882,111,139 |
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 |
$ | 122,946,886 | ||
Class C |
47,439,596 | |||
Class N |
4,493,400 |
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 30, 2012 |
$ | 715,109 | $ | 8,568 | $ | 246,519 | $ | 49,620 | $ | 2,931 |
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 |
$ | 3,069,676 | Appreciated swaps, at value |
$ | 3,143,178 | ||||||||||
Credit contracts |
Depreciated swaps, at value |
1,970,071 | Depreciated swaps, at value |
6,013,458 | ||||||||||||
Equity contracts |
Appreciated swaps, at value |
4,325,629 | Depreciated swaps, at value |
421,911 | ||||||||||||
Equity contracts |
Futures margins | 422,086 | * | Futures margins | 475,915 | * | ||||||||||
Foreign exchange contracts |
Investments, at value | 1,852,701 | ** | |||||||||||||
Foreign exchange contracts |
Unrealized appreciation on foreign currency exchange contracts |
15,529,086 | Unrealized depreciation on foreign currency exchange contracts |
22,397,615 | ||||||||||||
Foreign exchange contracts |
Appreciated options written, at value |
967,245 | ||||||||||||||
Foreign exchange contracts |
Depreciated options written, at value |
612,582 | ||||||||||||||
Interest rate contracts |
Appreciated swaps, at value |
1,668,574 | Depreciated swaps, at value |
1,719,715 | ||||||||||||
Interest rate contracts |
Futures margins | 1,192,760 | * | Futures margins | 4,953,186 | * | ||||||||||
Interest rate contracts |
Investments, at value | 39,492,659 | ** |
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 | ||||||||||||
Interest rate contracts |
Appreciated options written, at value | $ | 1,041,797 | |||||||||||||
Interest rate contracts |
Depreciated options written, at value | 597,001 | ||||||||||||||
Interest rate contracts |
Appreciated swaptions written, at value | 15,574,705 | ||||||||||||||
Interest rate contracts |
Depreciated swaptions written, at value | 2,693,008 | ||||||||||||||
Volatility contracts |
Appreciated swaps, at value | $ | 447,307 | Depreciated swaps, at value | 1,971,391 | |||||||||||
Total |
$ | 69,970,549 | $ | 62,582,707 | ||||||||||||
* | 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 and swaptions. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||||||
companies | Closing and | Closing and | ||||||||||||||||||||||||||
Derivatives Not | (including | expiration | expiration | Closing and | ||||||||||||||||||||||||
Accounted | premiums on | of option | of swaption | expiration | Foreign | |||||||||||||||||||||||
for as Hedging | options | contracts | contracts | of futures | currency | Swap | ||||||||||||||||||||||
Instruments | exercised)* | written | written | contracts | transactions | contracts | Total | |||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | | $ | (6,084,354 | ) | $ | (6,084,354 | ) | ||||||||||||
Equity contracts |
| | | (20,080,342 | ) | | 5,920,033 | (14,160,309 | ) | |||||||||||||||||||
Foreign exchange |
||||||||||||||||||||||||||||
contracts |
(7,728,519 | ) | 12,694,135 | | 1,373,313 | (52,332,685 | ) | 59,835 | (45,933,921 | ) | ||||||||||||||||||
Interest rate contracts |
(16,544,196 | ) | 17,566,536 | 9,184,381 | 9,694,999 | | 8,080,420 | 27,982,140 | ||||||||||||||||||||
Volatility contracts |
| | | | | 5,048,465 | 5,048,465 | |||||||||||||||||||||
Total |
$ | (24,272,715 | ) | $ | 30,260,671 | $ | 9,184,381 | $ | (9,012,030 | ) | $ | (52,332,685 | ) | $ | 13,024,399 | $ | (33,147,979 | ) | ||||||||||
* | 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 | Swaption | denominated | |||||||||||||||||||||||||
for as Hedging | contracts | contracts | Futures | in foreign | Swap | |||||||||||||||||||||||
Instruments | Investments* | written | written | contracts | currencies | contracts | Total | |||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | | $ | (3,776,884 | ) | $ | (3,776,884 | ) | ||||||||||||
Equity contracts |
| | | (6,976,519 | ) | | 11,273,551 | 4,297,032 | ||||||||||||||||||||
Foreign exchange |
||||||||||||||||||||||||||||
contracts |
(5,228,825 | ) | 5,816,848 | | | 1,249,103 | | 1,837,126 | ||||||||||||||||||||
Interest rate contracts |
(42,014,345 | ) | 67,388 | 8,052,649 | (35,109,599 | ) | | (6,096,271 | ) | (75,100,178 | ) | |||||||||||||||||
Volatility contracts |
| | | | | 26,312 | 26,312 | |||||||||||||||||||||
Total |
$ | (47,243,170 | ) | $ | 5,884,236 | $ | 8,052,649 | $ | (42,086,118 | ) | $ | 1,249,103 | $ | 1,426,708 | $ | (72,716,592 | ) | |||||||||||
* | 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, 2011 |
5,987,346,351 | $ | 1,744,360 | 11,143,090,933 | $ | 4,723,086 | ||||||||||
Options written |
440,927,662,454 | 20,114,508 | 509,112,391,593 | 30,506,878 | ||||||||||||
Options closed or expired |
(443,098,164,901 | ) | (19,268,640 | ) | (507,896,924,542 | ) | (28,135,517 | ) | ||||||||
Options exercised |
(605,470,000 | ) | (1,378,016 | ) | (9,162,535,745 | ) | (2,579,861 | ) | ||||||||
Options outstanding as of
March 30, 2012 |
3,211,373,904 | $ | 1,212,212 | 3,196,022,239 | $ | 4,514,586 | ||||||||||
Call Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of
September 30, 2011 |
$ | 18,780,000 | $ | 231,182 | ||||
Swaptions written |
6,823,640,000 | 53,578,267 | ||||||
Swaptions closed or expired |
(1,438,930,000 | ) | (27,760,808 | ) | ||||
Swaptions outstanding as of
March 30, 2012 |
$ | 5,403,490,000 | $ | 26,048,641 | ||||
Nominee/Proposal | ||||||||
Trustees | For | Withheld | ||||||
William L. Armstrong |
1,221,130,579 | 33,320,165 | ||||||
Edward L. Cameron |
1,222,185,276 | 32,265,468 | ||||||
Jon S. Fossel |
1,222,703,288 | 31,747,455 | ||||||
Sam Freedman |
1,222,329,065 | 32,121,679 | ||||||
Richard F. Grabish |
1,223,424,467 | 31,026,276 | ||||||
Beverly L. Hamilton |
1,223,047,867 | 31,402,876 | ||||||
Robert J. Malone |
1,223,218,579 | 31,232,164 | ||||||
F. William Marshall, Jr. |
1,223,064,117 | 31,386,626 | ||||||
Victoria J. Herget |
1,223,290,815 | 31,159,928 | ||||||
Karen L. Stuckey |
1,223,398,678 | 31,052,065 | ||||||
James D. Vaughn |
1,222,698,645 | 31,752,098 | ||||||
William F. Glavin, Jr. |
1,223,030,579 | 31,420,164 |
For | Against | Abstain | Broker Non Vote | |||
899,390,764 | 45,860,518 | 31,246,095 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
901,079,509 | 44,078,331 | 31,339,529 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
913,091,061 | 31,966,596 | 31,439,714 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
913,399,458 | 31,013,589 | 32,084,327 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
899,446,229 | 44,891,955 | 32,159,189 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
899,899,550 | 44,637,839 | 31,959,984 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
913,556,916 | 30,196,779 | 32,743,678 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
888,514,427 | 54,526,265 | 33,456,680 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
912,857,485 | 31,796,665 | 31,843,219 | 277,953,366 |
For | Against | Abstain | Broker Non Vote | |||
922,143,358 | 23,307,869 | 31,046,147 | 277,953,366 |
Trustees and Officers
|
William L. Armstrong, Chairman of the Board of Trustees and 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 | ||
Richard F. Grabish, Trustee | ||
Victoria J. Herget, Trustee | ||
James D. Vaughn, Trustee | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Arthur Steinmetz, Vice President | ||
Krishna Memani, Vice President | ||
Joseph Welsh, Vice President | ||
Sara Zervos, Ph.D., Vice President | ||
Arthur S. Gabinet, Secretary and Chief Legal Officer | ||
Christina M. Nasta, 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 | ||
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. |
127 | Statement of Assets and Liabilities |
|||
128 | Statement of Operations |
|||
129 | Statement of Changes in Net Assets |
|||
130 | Notes to Financial Statements |
Assets |
||||
Cash |
$ | 1,483,338 | ||
Receivables and other assets: |
||||
Other |
12,649 | |||
Total assets |
1,495,987 | |||
Liabilities |
||||
Payables and other liabilities: |
||||
Legal, auditing and other professional fees |
24,034 | |||
Trustees compensation |
2,694 | |||
Total liabilities |
26,728 | |||
Net Assets |
$ | 1,469,259 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 150 | ||
Additional paid-in capital |
1,499,850 | |||
Accumulated net investment loss |
(30,741 | ) | ||
Net Assetsapplicable to 15,000 shares of beneficial interest outstanding |
$ | 1,469,259 | ||
Net Asset Value, Redemption Price Per Share and Offering Price Per Share |
$ | 97.95 |
Expenses |
||||
Legal, auditing and other professional fees |
$ | 24,034 | ||
Management fees |
3,973 | |||
Trustees compensation |
2,695 | |||
Other |
39 | |||
Total expenses |
30,741 | |||
Net Investment Loss |
(30,741 | ) | ||
Net Decrease in Net Assets Resulting from Operations |
$ | (30,741 | ) | |
Period Ended | ||||
March 30, 20121,2 | ||||
Operations |
||||
Net investment loss |
$ | (30,741 | ) | |
Net decrease in net assets resulting from operations |
(30,741 | ) | ||
Capital Transactions |
||||
Net increase in net assets resulting from capital transactions |
1,500,000 | |||
Net Assets |
||||
Total increase |
1,469,259 | |||
Beginning of period |
| |||
End of period (including accumulated net investment loss
of $30,741 for the period ended March 30, 2012) |
$ | 1,469,259 | ||
Standard inputs generally considered | ||
Security Type | by third-party pricing vendors | |
Corporate debt, government
debt, municipal,
mortgage-backed and
asset-backed securities
|
Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
Loans
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
Event-linked bonds
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
Period Ended March 30, 20121 | ||||
Amount | ||||
Contributions |
$ | 1,500,000 | ||
Withdrawals |
| |||
Net increase |
$ | 1,500,000 | ||
1. | For the period from November 21, 2011 (commencement of operations) to March 30, 2012. |
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 |
Fee Schedule | ||||
Up to $200 million |
0.375 | % | ||
Next $200 million |
0.360 | |||
Next $200 million |
0.345 | |||
Next $200 million |
0.330 | |||
Next $200 million |
0.300 | |||
Next $4 billion |
0.250 | |||
Over $5 billion |
0.240 |
Period Ended
March 30,
20121 |
(2.05 | )% |
Period Ended March 30, 20121 | ||||
Ratios to average net assets: |
||||
Net investment income (loss) |
(5.76 | )% | ||
Total expenses |
5.76 | % |
1. | For the period from November 21, 2011 (commencement of operations) through March 30, 2012. |
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a) | Not applicable. The complete schedule of investments is included in Item 1 of this Form N-CSR. | |
b) | Not applicable. |
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. |
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. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
By: | /s/ William F. Glavin, Jr. | |||
William F. Glavin, Jr. | ||||
Principal Executive Officer | ||||
By: | /s/ Brian W. Wixted | |||
Brian W. Wixted | ||||
Principal Financial 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/ William F. Glavin, Jr. | ||||
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 | ||||
Brian W. Wixted | ||||
Principal Financial Officer |
1. | The Registrants periodic report on Form N-CSR for the period ended 3/30/2012 (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 | |
William F. Glavin, Jr. Date: 5/8/2012 |
Brian W. Wixted Date: 5/8/2012 |
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