UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-06241
Loomis Sayles Funds II
(Exact name of registrant as specified in charter)
399 Boylston Street,
Boston, Massachusetts 02116
(Address of principal executive offices) (Zip code)
Coleen Downs Dinneen, Esq.
NGAM Distribution, L.P.
399 Boylston Street
Boston, Massachusetts 02116
(Name and address of agent for service)
Registrants telephone number, including area code: (617) 449-2810
Date of fiscal year end: September 30
Date of reporting period: December 31, 2011
ITEM 1. | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Global Equity and Income Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 62.6% of Net Assets |
|||||||
Belgium 1.5% | ||||||||
137,302 | Anheuser-Busch InBev NV | $ | 8,379,987 | |||||
|
|
|||||||
Brazil 4.1% | ||||||||
370,400 | Cia Hering | 6,445,884 | ||||||
239,415 | Embraer S.A., ADR | 6,038,046 | ||||||
363,200 | Mills Estruturas e Servicos de Engenharia S.A. | 3,446,530 | ||||||
312,400 | Natura Cosmeticos S.A. | 6,072,979 | ||||||
|
|
|||||||
22,003,439 | ||||||||
|
|
|||||||
British Virgin Islands 0.5% | ||||||||
103,414 | Mail.ru Group Ltd., GDR, 144A(b) | 2,688,764 | ||||||
|
|
|||||||
Canada 0.1% | ||||||||
9,996 | Valeant Pharmaceuticals International, Inc.(b) | 466,713 | ||||||
|
|
|||||||
Cayman Islands 1.8% | ||||||||
81,448 | Baidu, Inc., Sponsored ADR(b) | 9,486,249 | ||||||
|
|
|||||||
Chile 2.1% | ||||||||
89,561 | Banco Santander Chile, ADR | 6,779,768 | ||||||
570,938 | S.A.C.I. Falabella | 4,440,018 | ||||||
|
|
|||||||
11,219,786 | ||||||||
|
|
|||||||
Curacao 1.4% | ||||||||
115,020 | Schlumberger Ltd. | 7,857,016 | ||||||
|
|
|||||||
Denmark 2.4% | ||||||||
114,011 | Novo Nordisk A/S, Class B | 13,097,947 | ||||||
|
|
|||||||
France 1.6% | ||||||||
117,518 | Sanofi | 8,590,295 | ||||||
|
|
|||||||
Germany 0.9% | ||||||||
50,731 | Siemens AG, (Registered) | 4,853,730 | ||||||
|
|
|||||||
Hong Kong 0.4% | ||||||||
846,000 | Hang Lung Properties Ltd. | 2,401,442 | ||||||
|
|
|||||||
Japan 2.3% | ||||||||
46,000 | FANUC Corp. | 7,016,484 | ||||||
554,000 | Mitsubishi Electric Corp. | 5,309,445 | ||||||
|
|
|||||||
12,325,929 | ||||||||
|
|
|||||||
Korea 0.7% | ||||||||
13,503 | LG Chem Ltd. | 3,723,532 | ||||||
|
|
|||||||
Mexico 1.1% | ||||||||
3,026,100 | Genomma Lab Internacional S.A. de CV, Class B(b) | 5,835,479 | ||||||
|
|
|||||||
Sweden 1.1% | ||||||||
273,138 | Atlas Copco AB, Class A | 5,852,394 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Switzerland 1.3% | ||||||||
99,203 | ACE Ltd. | $ | 6,956,114 | |||||
|
|
|||||||
United Kingdom 9.1% | ||||||||
249,156 | Antofagasta PLC | 4,712,176 | ||||||
172,199 | British American Tobacco PLC | 8,169,187 | ||||||
176,431 | Burberry Group PLC | 3,244,144 | ||||||
392,998 | Diageo PLC | 8,587,041 | ||||||
102,010 | Royal Dutch Shell PLC, ADR | 7,455,911 | ||||||
406,315 | Standard Chartered PLC | 8,887,130 | ||||||
2,943,916 | Vodafone Group PLC | 8,207,944 | ||||||
|
|
|||||||
49,263,533 | ||||||||
|
|
|||||||
United States 29.2% | ||||||||
156,342 | American Express Co. | 7,374,652 | ||||||
41,153 | Apple, Inc.(b) | 16,666,965 | ||||||
170,924 | AT&T, Inc. | 5,168,742 | ||||||
463,764 | Calpine Corp.(b) | 7,573,266 | ||||||
82,500 | Caterpillar, Inc. | 7,474,500 | ||||||
170,823 | CenturyLink, Inc. | 6,354,616 | ||||||
256,448 | Coca-Cola Enterprises, Inc. | 6,611,229 | ||||||
128,494 | CVS Caremark Corp. | 5,239,985 | ||||||
1,679 | Dex One Corp.(b) | 2,787 | ||||||
164,728 | FMC Technologies, Inc.(b) | 8,603,743 | ||||||
15,518 | Google, Inc., Class A(b) | 10,023,076 | ||||||
955 | Hawaiian Telcom Holdco, Inc.(b) | 14,707 | ||||||
73,123 | Jones Lang LaSalle, Inc. | 4,479,515 | ||||||
227,220 | Microsoft Corp. | 5,898,631 | ||||||
119,252 | National Oilwell Varco, Inc. | 8,107,944 | ||||||
235,655 | Oracle Corp. | 6,044,551 | ||||||
135,537 | PepsiCo, Inc. | 8,992,880 | ||||||
133,724 | PNC Financial Services Group, Inc. | 7,711,863 | ||||||
77,167 | Praxair, Inc. | 8,249,152 | ||||||
36,703 | Precision Castparts Corp. | 6,048,287 | ||||||
17,086 | Priceline.com, Inc.(b) | 7,991,293 | ||||||
105,458 | QUALCOMM, Inc. | 5,768,553 | ||||||
299 | SuperMedia, Inc.(b) | 789 | ||||||
111,135 | Texas Instruments, Inc. | 3,235,140 | ||||||
26,818 | Vertex Pharmaceuticals, Inc.(b) | 890,626 | ||||||
43,413 | VMware, Inc., Class A(b) | 3,611,528 | ||||||
|
|
|||||||
158,139,020 | ||||||||
|
|
|||||||
Virgin Islands 1.0% | ||||||||
269,026 | Arcos Dorados Holdings, Inc., Class A | 5,523,104 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $327,223,220) |
338,664,473 | |||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 28.1% |
|||||||
|
Non-Convertible Bonds 26.8% |
|||||||
Argentina 0.2% | ||||||||
$626,891 | Argentina Government International Bond, 8.280%, 12/31/2033(h) |
$ | 457,630 | |||||
190,000 | Pan American Energy LLC, 7.875%, 5/07/2021, 144A |
190,950 | ||||||
515,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A |
463,500 | ||||||
|
|
|||||||
1,112,080 | ||||||||
|
|
|||||||
Australia 0.2% | ||||||||
500,000 | Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A |
460,978 | ||||||
250,000 | New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD) |
257,257 | ||||||
155,000 | Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A |
157,272 | ||||||
|
|
|||||||
875,507 | ||||||||
|
|
|||||||
Barbados 0.0% | ||||||||
200,000 | Centrais Eletricas Brasileiras S.A., 5.750%, 10/27/2021, 144A |
207,800 | ||||||
|
|
|||||||
Bermuda 0.0% | ||||||||
100,000 | Noble Group Ltd., 6.750%, 1/29/2020, 144A |
86,000 | ||||||
|
|
|||||||
Brazil 0.6% | ||||||||
400,000 | Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A |
388,000 | ||||||
513,296 | Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL) |
269,883 | ||||||
300,000 | Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL) |
157,620 | ||||||
630,940 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL) |
345,166 | |||||
504,752 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL) |
277,011 | |||||
1,115 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL) |
556,932 | |||||
250,000 | Hypermarcas S.A., 6.500%, 4/20/2021, 144A |
221,875 | ||||||
300,000 | Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A |
308,908 | ||||||
200,000 | OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A |
196,000 | ||||||
129,000 | Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A |
127,065 | ||||||
400,000 | Votorantim Cimentos S.A., 7.250%, 4/05/2041, 144A |
387,000 | ||||||
|
|
|||||||
3,235,460 | ||||||||
|
|
|||||||
Canada 0.7% | ||||||||
2,265,000 | Canadian Government, 3.000%, 12/01/2015, (CAD)(c) |
2,377,744 | ||||||
650,000 | Canadian Government, 3.500%, 6/01/2013, (CAD) |
660,642 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Canada continued | ||||||||
180,000 | Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD) |
$ | 183,755 | |||||
465,000 | Pacific Rubiales Energy Corp., 7.250%, 12/12/2021, 144A |
467,325 | ||||||
100,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
107,544 | ||||||
|
|
|||||||
3,797,010 | ||||||||
|
|
|||||||
Cayman Islands 0.8% | ||||||||
200,000 | Braskem Finance Ltd., 5.750%, 4/15/2021, 144A |
198,500 | ||||||
300,000 | Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A |
273,750 | ||||||
119,000 | Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A |
116,323 | ||||||
100,000 | Hutchison Whampoa International Ltd., 7.625%, 4/09/2019, 144A |
123,194 | ||||||
100,000 | LPG International, Inc., 7.250%, 12/20/2015 |
109,500 | ||||||
700,000 | Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A |
518,000 | ||||||
170,000 | Marfrig Overseas Ltd., 9.625%, 11/16/2016, 144A |
148,750 | ||||||
200,000 | MBPS Finance Co., 11.250%, 11/15/2015, 144A |
134,000 | ||||||
196,000 | Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A |
201,880 | ||||||
500,000 | Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A |
501,250 | ||||||
320,000 | Petrobras International Finance Co., 5.875%, 3/01/2018 |
350,198 | ||||||
300,000 | Petrobras International Finance Co., 6.875%, 1/20/2040 |
347,455 | ||||||
400,000 | Tencent Holdings Ltd., 4.625%, 12/12/2016, 144A |
390,278 | ||||||
536,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 |
610,263 | ||||||
200,000 | Voto-Votorantim Ltd., 6.750%, 4/05/2021, 144A |
211,500 | ||||||
|
|
|||||||
4,234,841 | ||||||||
|
|
|||||||
Chile 0.2% | ||||||||
250,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) |
472,810 | ||||||
185,000 | Celulosa Arauco y Constitucion S.A., 5.000%, 1/21/2021 |
192,185 | ||||||
250,000 | E.CL S.A., 5.625%, 1/15/2021, 144A |
264,159 | ||||||
|
|
|||||||
929,154 | ||||||||
|
|
|||||||
Colombia 0.2% | ||||||||
450,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) |
249,131 | ||||||
1,430,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) |
774,051 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Colombia continued | ||||||||
200,000,000 | Republic of Colombia, 7.750%, 4/14/2021, (COP) |
$ | 123,343 | |||||
40,000 | Republic of Colombia, 8.125%, 5/21/2024 |
55,600 | ||||||
|
|
|||||||
1,202,125 | ||||||||
|
|
|||||||
France 0.1% | ||||||||
150,000 | Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR) |
169,870 | ||||||
240,000 | Veolia Environnement S.A., EMTN, 4.000%, 2/12/2016, (EUR) |
322,430 | ||||||
25,000 | Veolia Environnement S.A., EMTN, 5.125%, 5/24/2022, (EUR) |
33,694 | ||||||
200,000 | Vivendi S.A., EMTN, 4.250%, 12/01/2016, (EUR) |
269,200 | ||||||
|
|
|||||||
795,194 | ||||||||
|
|
|||||||
Germany 0.1% | ||||||||
240,000 | Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR) |
344,291 | ||||||
|
|
|||||||
Hungary 0.0% | ||||||||
200,000 | Hungary Government International Bond, 6.375%, 3/29/2021 |
179,000 | ||||||
|
|
|||||||
India 0.1% | ||||||||
200,000 | Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021 |
188,614 | ||||||
100,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
87,000 | ||||||
|
|
|||||||
275,614 | ||||||||
|
|
|||||||
Indonesia 0.1% | ||||||||
200,000 | Adaro Indonesia PT, 7.625%, 10/22/2019, 144A |
217,260 | ||||||
3,500,000,000 | Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR) |
478,998 | ||||||
781,000,000 | Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR) |
115,119 | ||||||
|
|
|||||||
811,377 | ||||||||
|
|
|||||||
Italy 0.4% | ||||||||
250,000 | Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR) |
211,256 | ||||||
1,535,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 9/15/2016, (EUR) |
1,891,016 | ||||||
100,000 | Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR) |
113,947 | ||||||
|
|
|||||||
2,216,219 | ||||||||
|
|
|||||||
Jersey 0.0% | ||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) |
171,978 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Korea 0.5% | ||||||||
8,000,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) |
$ | 177,913 | |||||
400,000 | Hana Bank, 4.000%, 11/03/2016, 144A |
397,587 | ||||||
600,000 | Hyundai Steel Co., 4.625%, 4/21/2016, 144A |
598,060 | ||||||
400,000 | Kia Motors Corp., 3.625%, 6/14/2016, 144A |
396,542 | ||||||
400,000,000 | Korea Treasury Bond, 5.000%, 9/10/2014, (KRW) |
361,259 | ||||||
260,000 | SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A |
260,083 | ||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A |
165,822 | ||||||
200,000 | Woori Bank, 5.875%, 4/13/2021, 144A |
200,007 | ||||||
|
|
|||||||
2,557,273 | ||||||||
|
|
|||||||
Luxembourg 0.1% | ||||||||
400,000 | ArcelorMittal, 6.750%, 3/01/2041 |
359,692 | ||||||
100,000 | CSN Resources S.A., 6.500%, 7/21/2020, 144A |
104,500 | ||||||
200,000 | Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A |
200,250 | ||||||
125,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
92,622 | ||||||
10,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
7,573 | ||||||
|
|
|||||||
764,637 | ||||||||
|
|
|||||||
Malaysia 0.2% | ||||||||
1,750,000 | Malaysia Government Bond, 3.434%, 8/15/2014, (MYR) |
557,517 | ||||||
1,000,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) |
328,306 | ||||||
|
|
|||||||
885,823 | ||||||||
|
|
|||||||
Mexico 0.7% | ||||||||
195,000 | Axtel SAB de CV, 7.625%, 2/01/2017, 144A |
138,450 | ||||||
145,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A |
108,025 | ||||||
200,000 | BBVA Bancomer S.A., 6.500%, 3/10/2021, 144A |
192,750 | ||||||
200,000 | Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A |
195,500 | ||||||
295,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 |
287,625 | ||||||
40,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
286,226 | |||||
74,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) |
578,983 | |||||
41,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN) |
336,804 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Mexico continued | ||||||||
65,000 | () | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) |
$ | 599,156 | ||||
80,000 | () | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) |
618,746 | |||||
100,000 | Mexichem SAB de CV, 8.750%, 11/06/2019, 144A |
116,000 | ||||||
330,000 | Petroleos Mexicanos, 8.000%, 5/03/2019 |
411,675 | ||||||
200,000 | Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A |
202,000 | ||||||
|
|
|||||||
4,071,940 | ||||||||
|
|
|||||||
Netherlands 0.2% | ||||||||
50,000 | British American Tobacco Holdings BV, 4.000%, 7/07/2020, (EUR) |
66,756 | ||||||
200,000 | EADS Finance BV, EMTN, 4.625%, 8/12/2016, (EUR) |
281,395 | ||||||
200,000 | Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A |
220,500 | ||||||
200,000 | Listrindo Capital BV, 9.250%, 1/29/2015, 144A |
217,598 | ||||||
300,000 | Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A |
220,500 | ||||||
100,000 | Myriad International Holding BV, 6.375%, 7/28/2017, 144A |
106,500 | ||||||
50,000 | OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR) |
65,036 | ||||||
|
|
|||||||
1,178,285 | ||||||||
|
|
|||||||
New Zealand 0.2% | ||||||||
1,000,000 | New Zealand Government Bond, 6.000%, 5/15/2021, (NZD) |
911,607 | ||||||
|
|
|||||||
Norway 0.4% | ||||||||
125,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
103,548 | ||||||
3,335,000 | Norwegian Government, 4.250%, 5/19/2017, (NOK) |
622,017 | ||||||
6,360,000 | Norwegian Government, 4.500%, 5/22/2019, (NOK) |
1,222,159 | ||||||
|
|
|||||||
1,947,724 | ||||||||
|
|
|||||||
Philippines 0.1% | ||||||||
30,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) |
694,334 | ||||||
|
|
|||||||
Poland 0.0% | ||||||||
95,000 | Poland Government International Bond, 3.000%, 9/23/2014, (CHF) |
102,333 | ||||||
|
|
|||||||
Qatar 0.1% | ||||||||
100,000 | Qatar Government International Bond, 4.000%, 1/20/2015, 144A |
104,650 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Qatar continued | ||||||||
$250,000 | Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.500%, 9/30/2014, 144A |
$ | 267,500 | |||||
|
|
|||||||
372,150 | ||||||||
|
|
|||||||
Republic of Korea 0.1% | ||||||||
400,000 | Korea Finance Corp., 4.625%, 11/16/2021 |
396,916 | ||||||
|
|
|||||||
Singapore 0.7% | ||||||||
3,355,000 | Singapore Government Bond, 1.625%, 4/01/2013, (SGD) |
2,627,634 | ||||||
345,000 | Singapore Government Bond, 2.250%, 7/01/2013, (SGD) |
273,579 | ||||||
605,000 | Singapore Government Bond, 2.250%, 6/01/2021, (SGD) |
492,232 | ||||||
150,000 | STATS ChipPAC Ltd., 7.500%, 8/12/2015, 144A |
156,750 | ||||||
|
|
|||||||
3,550,195 | ||||||||
|
|
|||||||
South Africa 0.2% | ||||||||
450,000 | Edcon Proprietary Ltd., 4.676%, 6/15/2014, (EUR)(d) |
429,530 | ||||||
130,000 | Edcon Proprietary Ltd., 4.676%, 6/15/2014, 144A, (EUR)(d) |
124,086 | ||||||
285,000 | Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR) |
379,005 | ||||||
400,000 | Transnet Ltd., 4.500%, 2/10/2016, 144A |
405,080 | ||||||
|
|
|||||||
1,337,701 | ||||||||
|
|
|||||||
Spain 0.2% | ||||||||
270,000 | Spain Government Bond, 4.100%, 7/30/2018, (EUR) |
338,755 | ||||||
465,000 | Spain Government Bond, 5.500%, 4/30/2021, (EUR) |
614,946 | ||||||
|
|
|||||||
953,701 | ||||||||
|
|
|||||||
Supranationals 0.1% | ||||||||
305,000 | European Investment Bank, 2.375%, 7/10/2020, (CHF) |
348,246 | ||||||
400,000,000 | International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW) |
346,181 | ||||||
|
|
|||||||
694,427 | ||||||||
|
|
|||||||
Sweden 0.1% | ||||||||
3,020,000 | Sweden Government Bond, 5.500%, 10/08/2012, (SEK) |
453,523 | ||||||
|
|
|||||||
Trinidad 0.0% | ||||||||
200,000 | Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A |
197,000 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Turkey 0.1% | ||||||||
$100,000 | Akbank TAS, 5.125%, 7/22/2015, 144A |
$ | 97,000 | |||||
665,820 | Republic of Turkey, 4.000%, 4/29/2015, (TRY) |
358,208 | ||||||
|
|
|||||||
455,208 | ||||||||
|
|
|||||||
United Arab Emirates 0.4% | ||||||||
400,000 | Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A |
393,000 | ||||||
400,000 | Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A |
458,000 | ||||||
500,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
452,500 | ||||||
300,000 | Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A |
306,750 | ||||||
200,000 | Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A |
216,000 | ||||||
250,000 | Mubadala Development Co., GMTN, 7.625%, 5/06/2019, 144A |
299,251 | ||||||
|
|
|||||||
2,125,501 | ||||||||
|
|
|||||||
United Kingdom 0.7% | ||||||||
410,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
358,309 | ||||||
100,000 | BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR) |
145,568 | ||||||
150,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) |
249,056 | ||||||
60,000 | BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) |
105,964 | ||||||
150,000 | Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP) |
266,360 | ||||||
100,000 | Rexam PLC, EMTN, 4.375%, 3/15/2013, (EUR) |
132,446 | ||||||
250,000 | Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR) |
318,282 | ||||||
260,000 | United Kingdom Treasury, 4.000%, 9/07/2016, (GBP) |
461,722 | ||||||
400,000 | United Kingdom Treasury, 4.250%, 3/07/2036, (GBP) |
762,274 | ||||||
300,000 | United Kingdom Treasury, 5.250%, 6/07/2012, (GBP) |
475,749 | ||||||
350,000 | Vedanta Resources PLC, 6.750%, 6/07/2016, 144A |
297,500 | ||||||
200,000 | Vedanta Resources PLC, 8.250%, 6/07/2021, 144A |
155,000 | ||||||
|
|
|||||||
3,728,230 | ||||||||
|
|
|||||||
United States 17.8% | ||||||||
310,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
222,425 | ||||||
15,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
10,763 | ||||||
975,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
964,028 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$257,000 | Ally Financial, Inc., 6.750%, 12/01/2014 |
$ | 258,285 | |||||
60,000 | Ally Financial, Inc., 6.875%, 8/28/2012 |
60,750 | ||||||
63,000 | Ally Financial, Inc., 7.000%, 2/01/2012 |
63,158 | ||||||
55,000 | Ally Financial, Inc., 7.500%, 12/31/2013 |
56,513 | ||||||
129,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
126,743 | ||||||
1,946,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
1,877,890 | ||||||
720,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
640,800 | ||||||
60,000 | Arrow Electronics, Inc., 6.875%, 7/01/2013 |
64,507 | ||||||
23,798 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 |
22,370 | ||||||
615,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
579,441 | ||||||
145,000 | Avnet, Inc., 6.000%, 9/01/2015 |
156,367 | ||||||
200,000 | Bank of America Corp., 5.490%, 3/15/2019 |
172,382 | ||||||
300,000 | Bank of America Corp., 6.500%, 9/15/2037 |
245,684 | ||||||
450,000 | Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR) |
417,590 | ||||||
115,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
104,746 | ||||||
15,000 | Boston Scientific Corp., 5.125%, 1/12/2017 |
16,158 | ||||||
5,000 | Boston Scientific Corp., 5.450%, 6/15/2014 |
5,343 | ||||||
15,000 | Boston Scientific Corp., 6.400%, 6/15/2016 |
16,817 | ||||||
60,000 | Boston Scientific Corp., 7.000%, 11/15/2035 |
69,116 | ||||||
1,520,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
1,447,870 | ||||||
1,995,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
1,998,675 | ||||||
55,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
51,271 | ||||||
605,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
593,665 | ||||||
75,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
80,250 | ||||||
2,300,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A |
2,093,000 | ||||||
119,429 | CIT Group, Inc., 7.000%, 5/01/2015 |
119,668 | ||||||
199,049 | CIT Group, Inc., 7.000%, 5/01/2016 |
199,049 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$278,673 | CIT Group, Inc., 7.000%, 5/01/2017 |
$ | 278,673 | |||||
300,000 | Comcast Corp., 5.650%, 6/15/2035 |
331,418 | ||||||
772,108 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
738,290 | ||||||
190,000 | CSX Corp., 6.250%, 3/15/2018 |
226,177 | ||||||
265,000 | Cummins, Inc., 5.650%, 3/01/2098 |
259,775 | ||||||
272,477 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
267,354 | ||||||
266,589 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 |
265,922 | ||||||
42,000 | Dillards, Inc., 6.625%, 1/15/2018 |
41,370 | ||||||
50,000 | Dillards, Inc., 7.000%, 12/01/2028 |
46,000 | ||||||
8,000 | Dillards, Inc., 7.750%, 7/15/2026 |
7,520 | ||||||
40,000 | Eastman Kodak Co., 7.250%, 11/15/2013 |
13,200 | ||||||
200,000 | Eastman Kodak Co., 9.750%, 3/01/2018, 144A |
152,000 | ||||||
310,000 | Eastman Kodak Co., 10.625%, 3/15/2019, 144A |
238,700 | ||||||
250,000 | Exelon Corp., 4.900%, 6/15/2015 |
269,370 | ||||||
150,000 | Foot Locker, Inc., 8.500%, 1/15/2022 |
154,875 | ||||||
25,000 | Ford Motor Co., 6.375%, 2/01/2029 |
25,684 | ||||||
50,000 | Ford Motor Co., 6.625%, 2/15/2028 |
52,591 | ||||||
2,105,000 | Ford Motor Co., 6.625%, 10/01/2028 |
2,216,481 | ||||||
40,000 | Ford Motor Co., 7.125%, 11/15/2025 |
41,400 | ||||||
835,000 | Ford Motor Co., 7.450%, 7/16/2031 |
1,002,000 | ||||||
5,000 | Ford Motor Co., 7.500%, 8/01/2026 |
5,313 | ||||||
2,250,000 | Ford Motor Credit Co. LLC, 7.000%, 10/01/2013 |
2,385,747 | ||||||
845,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 |
908,375 | ||||||
905,000 | Ford Motor Credit Co. LLC, 8.000%, 12/15/2016 |
1,026,821 | ||||||
905,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
915,097 | ||||||
80,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 |
84,200 | ||||||
45,000 | General Electric Capital Corp., 5.625%, 5/01/2018 |
50,400 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$205,000 | General Electric Capital Corp., MTN, 5.875%, 1/14/2038 |
$ | 217,215 | |||||
900,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
764,798 | ||||||
750,000 | General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015 |
813,708 | ||||||
3,435,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
4,144,224 | ||||||
105,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
129,498 | ||||||
180,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
226,540 | ||||||
405,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
556,698 | ||||||
200,000 | Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A |
211,000 | ||||||
510,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
474,562 | ||||||
50,000 | Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP) |
62,042 | ||||||
165,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
160,050 | ||||||
410,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
441,684 | ||||||
20,000 | HCA, Inc., 5.750%, 3/15/2014 |
20,400 | ||||||
90,000 | HCA, Inc., 6.375%, 1/15/2015 |
91,688 | ||||||
225,000 | HCA, Inc., 7.050%, 12/01/2027 |
188,719 | ||||||
245,000 | HCA, Inc., 7.190%, 11/15/2015 |
245,000 | ||||||
90,000 | HCA, Inc., 7.500%, 12/15/2023 |
80,550 | ||||||
250,000 | HCA, Inc., 7.500%, 11/06/2033 |
216,250 | ||||||
1,500,000 | HCA, Inc., 7.690%, 6/15/2025 |
1,327,500 | ||||||
395,000 | HCA, Inc., 8.360%, 4/15/2024 |
373,275 | ||||||
195,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
172,575 | ||||||
75,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
65,344 | ||||||
585,000 | Hercules, Inc., 6.500%, 6/30/2029 |
448,987 | ||||||
470,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
497,115 | ||||||
110,000 | Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A |
120,189 | ||||||
1,700,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
1,570,443 | ||||||
1,670,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
1,632,425 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$250,000 | iStar Financial, Inc., 5.150%, 3/01/2012 |
$ | 248,750 | |||||
95,000 | iStar Financial, Inc., 5.500%, 6/15/2012 |
92,863 | ||||||
70,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
55,475 | ||||||
405,000 | iStar Financial, Inc., 5.875%, 3/15/2016 |
328,050 | ||||||
145,000 | iStar Financial, Inc., 6.050%, 4/15/2015 |
118,538 | ||||||
985,000 | iStar Financial, Inc., 8.625%, 6/01/2013 |
911,125 | ||||||
35,000 | iStar Financial, Inc., Series B, 5.700%, 3/01/2014 |
29,138 | ||||||
950,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 |
814,625 | ||||||
5,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
5,025 | ||||||
64,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
53,520 | ||||||
15,000 | J.C. Penney Corp., Inc., 7.125%, 11/15/2023 |
15,000 | ||||||
5,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
4,475 | ||||||
370,000 | Jefferies Group, Inc., 3.875%, 11/09/2015 |
327,450 | ||||||
585,000 | Jefferies Group, Inc., 5.125%, 4/13/2018 |
514,800 | ||||||
600,000 | Jefferies Group, Inc., 6.250%, 1/15/2036 |
490,618 | ||||||
620,000 | Jefferies Group, Inc., 6.450%, 6/08/2027 |
516,150 | ||||||
65,000 | Jefferies Group, Inc., 6.875%, 4/15/2021 |
58,500 | ||||||
405,000 | Jefferies Group, Inc., 8.500%, 7/15/2019 |
411,075 | ||||||
15,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A |
8,325 | ||||||
260,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 |
101,400 | ||||||
375,000 | Kindred Healthcare, Inc., 8.250%, 6/01/2019 |
315,000 | ||||||
15,000 | Lennar Corp., Series B, 5.500%, 9/01/2014 |
15,000 | ||||||
1,090,000 | Lennar Corp., Series B, 5.600%, 5/31/2015 |
1,073,650 | ||||||
55,000 | Lennar Corp., Series B, 6.500%, 4/15/2016 |
54,450 | ||||||
235,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 |
239,112 | ||||||
6,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 |
6,135 | ||||||
30,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
31,313 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$110,000 | Masco Corp., 6.500%, 8/15/2032 |
$ | 98,389 | |||||
765,000 | Masco Corp., 7.125%, 3/15/2020 |
772,056 | ||||||
100,000 | Masco Corp., 7.750%, 8/01/2029 |
97,067 | ||||||
600,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
565,535 | ||||||
1,900,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
1,464,776 | ||||||
800,000 | Merrill Lynch & Co., Inc., 6.220%, 9/15/2026 |
659,893 | ||||||
310,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023 |
232,500 | ||||||
410,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016 |
295,200 | ||||||
230,000 | Morgan Stanley, 5.375%, 11/14/2013, (GBP) |
354,008 | ||||||
2,500,000 | Morgan Stanley, 5.750%, 1/25/2021 |
2,332,015 | ||||||
500,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
496,745 | ||||||
1,382,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
1,077,960 | ||||||
100,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
82,250 | ||||||
3,450,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
2,751,375 | ||||||
1,965,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
1,714,462 | ||||||
155,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
110,438 | ||||||
15,000 | News America, Inc., 6.400%, 12/15/2035 |
16,437 | ||||||
935,000 | Nextel Communications, Inc., Series D, 7.375%, 8/01/2015 |
855,525 | ||||||
30,000 | Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 |
29,850 | ||||||
250,000 | NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(b)(e) |
57,500 | ||||||
35,000 | Nortel Networks Capital Corp., 7.875%, 6/15/2026(f) |
37,100 | ||||||
50,000 | Ohio Edison Co., 6.875%, 7/15/2036 |
60,629 | ||||||
565,000 | Owens Corning, Inc., 6.500%, 12/01/2016 |
616,631 | ||||||
535,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
546,805 | ||||||
40,000 | Owens-Illinois, Inc., 7.800%, 5/15/2018 |
44,200 | ||||||
47,000 | Pulte Group, Inc., 5.200%, 2/15/2015 |
43,945 | ||||||
540,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
358,425 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$695,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
$ | 481,287 | |||||
1,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,317,696 | ||||||
650,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
610,330 | ||||||
400,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
412,000 | ||||||
60,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
59,603 | ||||||
560,000 | Qwest Corp., 6.875%, 9/15/2033 |
556,242 | ||||||
115,000 | Qwest Corp., 7.250%, 9/15/2025 |
125,877 | ||||||
600,000 | Residential Capital LLC, 9.625%, 5/15/2015 |
420,000 | ||||||
80,000 | Reynolds American, Inc., 6.750%, 6/15/2017 |
90,930 | ||||||
20,000 | Reynolds American, Inc., 7.250%, 6/15/2037 |
23,199 | ||||||
1,600 | () | SLM Corp., 6.000%, 12/15/2043 |
30,364 | |||||
120,000 | SLM Corp., MTN, 5.050%, 11/14/2014 |
118,356 | ||||||
35,000 | SLM Corp., MTN, 5.125%, 8/27/2012 |
35,179 | ||||||
228,000 | SLM Corp., Series A, MTN, 5.000%, 10/01/2013 |
228,000 | ||||||
10,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
8,669 | ||||||
115,000 | SLM Corp., Series A, MTN, 5.375%, 1/15/2013 |
115,793 | ||||||
75,000 | SLM Corp., Series A, MTN, 5.375%, 5/15/2014 |
75,053 | ||||||
265,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
197,669 | ||||||
625,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
643,750 | ||||||
400,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
282,000 | ||||||
100,000 | Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012 |
94,500 | ||||||
300,000 | Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012 |
288,000 | ||||||
300,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
218,250 | ||||||
330,000 | Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013 |
290,400 | ||||||
200,000 | Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012 |
191,250 | ||||||
400,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
288,000 | ||||||
294,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
209,842 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
United States continued | ||||||||
$420,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
$ | 345,450 | |||||
110,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
88,963 | ||||||
26,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
21,580 | ||||||
265,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
217,300 | ||||||
250,000 | Textron, Inc., 3.875%, 3/11/2013, (EUR) |
324,085 | ||||||
820,000 | Textron, Inc., 5.950%, 9/21/2021 |
864,891 | ||||||
1,431,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
1,284,322 | ||||||
3,150,000 | TXU Corp., Series P, 5.550%, 11/15/2014 |
2,236,500 | ||||||
2,570,000 | TXU Corp., Series Q, 6.500%, 11/15/2024 |
1,143,650 | ||||||
30,000 | TXU Corp., Series R, 6.550%, 11/15/2034 |
12,750 | ||||||
9,200,000 | U.S. Treasury Note, 0.375%, 6/30/2013 |
9,221,924 | ||||||
1,100,000 | U.S. Treasury Note, 0.750%, 3/31/2013 |
1,107,648 | ||||||
7,250,000 | U.S. Treasury Note, 0.875%, 1/31/2012 |
7,254,531 | ||||||
376,250 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
416,207 | ||||||
770,000 | United States Steel Corp., 6.650%, 6/01/2037 |
600,600 | ||||||
50,000 | USG Corp., 6.300%, 11/15/2016 |
39,000 | ||||||
230,000 | USG Corp., 9.750%, 1/15/2018 |
194,350 | ||||||
5,000 | Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033 |
5,227 | ||||||
110,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
117,707 | ||||||
85,000 | Wells Fargo & Co., 4.625%, 11/02/2035, (GBP) |
125,756 | ||||||
100,000 | Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP) |
129,923 | ||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
59,347 | ||||||
315,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
330,634 | ||||||
125,000 | Xerox Corp., 6.750%, 2/01/2017 |
143,185 | ||||||
20,000 | Xerox Corp., MTN, 7.200%, 4/01/2016 |
22,691 | ||||||
250,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
306,314 | ||||||
|
|
|||||||
96,630,608 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Uruguay 0.1% | ||||||||
3,988,834 | Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU) |
$ | 174,223 | |||||
5,064,268 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) |
253,161 | ||||||
|
|
|||||||
427,384 | ||||||||
|
|
|||||||
Venezuela 0.1% | ||||||||
800,000 | Petroleos de Venezuela S.A., 5.375%, 4/12/2027 |
394,000 | ||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $143,851,869) |
145,304,150 | |||||||
|
|
|||||||
|
Convertible Bonds 1.2% |
|||||||
United States 1.2% | ||||||||
125,000 | Ford Motor Co., 4.250%, 11/15/2016 |
179,219 | ||||||
745,000 | Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g) |
710,544 | ||||||
620,000 | Human Genome Sciences, Inc., 3.000%, 11/15/2018 |
553,350 | ||||||
1,125,000 | Intel Corp., 3.250%, 8/01/2039 |
1,409,063 | ||||||
430,000 | iStar Financial, Inc., 0.872%, 10/01/2012(d) |
387,000 | ||||||
365,000 | Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012 |
363,631 | ||||||
215,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(e) |
233,006 | ||||||
1,860,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
1,634,475 | ||||||
375,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
521,250 | ||||||
610,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A |
567,300 | ||||||
90,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
87,975 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $6,453,907) |
6,646,813 | |||||||
|
|
|||||||
|
Municipals 0.1% |
|||||||
United States 0.1% | ||||||||
415,000 | State of Illinois, 5.100%, 6/01/2033 |
376,670 | ||||||
135,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(e) |
84,702 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $448,971) |
461,372 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $150,754,747) |
152,412,335 | |||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans 0.0% |
|||||||
United States 0.0% | ||||||||
$28,697 | Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(d)(h) |
$ | 28,912 | |||||
2,676 | Sungard Data Systems, Inc., Tranche A, 2.029%, 2/28/2014(i) |
2,605 | ||||||
51,722 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(d) |
23,857 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $103,466) |
55,374 | |||||||
|
|
|||||||
Shares |
||||||||
|
Preferred Stocks 0.6% |
|||||||
|
Convertible Preferred Stocks 0.5% |
|||||||
United States 0.5% | ||||||||
70,730 | General Motors Co., Series B, 4.750% |
2,422,503 | ||||||
820 | Lucent Technologies Capital Trust I, 7.750% |
503,480 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $3,929,138) |
2,925,983 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stock 0.1% |
|||||||
United States 0.1% | ||||||||
682 | Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366) |
488,887 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $4,074,504) |
3,414,870 | |||||||
|
|
|||||||
Principal Amount |
||||||||
|
Short-Term Investments 5.7% |
|||||||
$3,246 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000%, to be repurchased at $3,246 on 1/03/2012 collateralized by $5,000 U.S. Treasury Bill, due 3/08/2012 valued at $5,000 including accrued interest(j) |
3,246 | ||||||
30,618,854 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $30,618,854 on 1/03/2012 collateralized by $30,925,000
U.S. Treasury Note, 0.625% due 7/15/2014 valued at $31,231,317 including accrued interest(j) |
30,618,854 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $30,622,100) |
30,622,100 | |||||||
|
|
|||||||
Total Investments 97.0% (Identified Cost $512,778,037)(a) |
525,169,152 | |||||||
Other assets less liabilities 3.0% | 16,203,533 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 541,372,685 | ||||||
|
|
() | Principal amount stated in U.S. dollars unless otherwise noted. |
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Senior loans are priced at bid prices supplied by a pricing service, if available. |
Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. |
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. |
Investments in other open-end investment companies are valued at their net asset value each day. |
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. |
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. At December 31, 2011, approximately 19% of the market value of investments was fair valued pursuant to procedures approved by the Board of Trustees. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
() | Security held in units. One unit represents a principal amount of 1,000. Amount shown represents principal amount including inflation adjustments. |
() | Amount shown represents units. One unit represents a principal amount of 1,000. |
() | Amount shown represents units. One unit represents a principal amount of 100. |
() | Amount shown represents units. One unit represents a principal amount of 25. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $513,045,100 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 36,417,642 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(24,293,590 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 12,124,052 | ||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $51,909,722 of which $13,460,729 expires on September 30, 2017 and $38,448,993 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. |
(b) | Non-income producing security. |
(c) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(d) | Variable rate security. Rate as of December 31, 2011 is disclosed. |
(e) | Illiquid security. At December 31, 2011, the value of these securities amounted to $375,208 or 0.1% of net assets. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(h) | All or a portion of interest payment is paid-in-kind. |
(i) | Variable rate security. Rate shown represents the weighted average rate at December 31, 2011. |
(j) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $27,113,036 or 5.0% of net assets. |
ADR/ | An American Depositary Receipt or Global Depositary Receipt is a certificate issued by a custodian bank representing the |
GDR | right to receive securities of the foreign issuer described. The values of ADRs and GDRs may be significantly influenced by trading on exchanges not located in the United States. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
SEK | Swedish Krona |
SGD | Singapore Dollar |
TRY | Turkish Lira |
UYU | Uruguayan Peso |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash or securities as collateral for the Funds and/or counterpartys net obligations under the contracts.
At December 31, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell1 |
03/21/2012 | Australian Dollar | 500,000 | $ | 507,046 | $ | 198 | |||||||||||
Sell1 |
03/02/2012 | Brazilian Real | 250,000 | 132,324 | 267 | |||||||||||||
Buy2 |
08/22/2012 | Chinese Renminbi | 11,630,000 | 1,842,376 | (5,122 | ) | ||||||||||||
Buy4 |
02/21/2012 | Malaysian Ringgit | 1,250,000 | 393,168 | (2,151 | ) | ||||||||||||
Buy3 |
03/12/2012 | South Korean Won | 780,000,000 | 674,009 | (12,279 | ) | ||||||||||||
Buy1 |
03/12/2012 | South Korean Won | 1,488,000,000 | 1,285,801 | (23,539 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | (42,626 | ) | |||||||||||||||
|
|
At December 31, 2011, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive5/Units of Currency | Net Unrealized Appreciation (Depreciation) |
|||||||||||||||||
01/31/2012 |
Singapore Dollar | 887,000 | Japanese Yen | 53,978,385 | $ | 17,753 | ||||||||||||||
|
|
|||||||||||||||||||
1Counterparty is Credit Suisse. 2Counterparty is Morgan Stanley. 3Counterparty is Barclays. 4Counterparty is JPMorgan Chase. 5Counterparty is Deutsche Bank AG. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
Belgium |
$ | | $ | 8,379,987 | $ | | $ | 8,379,987 | ||||||||
British Virgin Islands |
| 2,688,764 | | 2,688,764 | ||||||||||||
Denmark |
| 13,097,947 | | 13,097,947 | ||||||||||||
France |
| 8,590,295 | | 8,590,295 | ||||||||||||
Germany |
| 4,853,730 | | 4,853,730 | ||||||||||||
Hong Kong |
| 2,401,442 | | 2,401,442 | ||||||||||||
Japan |
| 12,325,929 | | 12,325,929 | ||||||||||||
Korea |
| 3,723,532 | | 3,723,532 | ||||||||||||
Sweden |
| 5,852,394 | | 5,852,394 | ||||||||||||
United Kingdom |
7,455,911 | 41,807,622 | | 49,263,533 | ||||||||||||
All Other Common Stocks* |
227,486,920 | | | 227,486,920 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
234,942,831 | 103,721,642 | | 338,664,473 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Korea |
| 2,196,014 | 361,259 | 2,557,273 | ||||||||||||
United States |
30,364 | 96,600,244 | | 96,630,608 | ||||||||||||
All Other Non-Convertible Bonds* |
| 46,116,269 | | 46,116,269 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
30,364 | 144,912,527 | 361,259 | 145,304,150 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 6,646,813 | | 6,646,813 | ||||||||||||
Municipals* |
| 461,372 | | 461,372 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
30,364 | 152,020,712 | 361,259 | 152,412,335 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 55,374 | | 55,374 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
2,925,983 | | | 2,925,983 | ||||||||||||
Non-Convertible Preferred Stock* |
| 488,887 | | 488,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
2,925,983 | 488,887 | | 3,414,870 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 30,622,100 | | 30,622,100 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
237,899,178 | 286,908,715 | 361,259 | 525,169,152 | ||||||||||||
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts (unrealized appreciation) |
| 18,218 | | 18,218 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 237,899,178 | $ | 286,926,933 | $ | 361,259 | $ | 525,187,370 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (43,091 | ) | $ | | $ | (43,091 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of December 31, 2011 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Korea |
$ | 351,758 | $ | (171 | ) | $ | | $ | 9,672 | $ | | $ | | $ | | $ | | $ | 361,259 | $ | 9,672 | |||||||||||||||||||
Supranationals |
983,784 | 229 | (168,909 | ) | 60,153 | | (875,257 | ) | | | | | ||||||||||||||||||||||||||||
United States |
10,000 | | | | | | | (10,000 | ) | | | |||||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
United States |
409,200 | | | | | | | (409,200 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 1,754,742 | $ | 58 | $ | (168,909 | ) | $ | 69,825 | $ | | $ | (875,257 | ) | $ | | $ | (419,200 | ) | $ | 361,259 | $ | 9,672 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $10,000 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.
A preferred stock valued at $409,200 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Barclays |
$ | (12,279 | ) | $ | | |||
Credit Suisse |
(23,074 | ) | | |||||
JPMorgan Chase |
(2,151 | ) | | |||||
Morgan Stanley |
(5,122 | ) | |
Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $18,218 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $17,753.
Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.
The following is a summary of derivative instruments for the Fund, as of December 31, 2011:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 18,218 | ||
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (43,091 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at December 31, 2011 (Unaudited)
Treasuries |
7.0 | % | ||
Beverages |
6.0 | |||
Pharmaceuticals |
5.3 | |||
Energy Equipment & Services |
4.5 | |||
Commercial Banks |
4.3 | |||
Internet Software & Services |
4.1 | |||
Machinery |
3.8 | |||
Computers & Peripherals |
3.1 | |||
Software |
2.9 | |||
Chemicals |
2.5 | |||
Automotive |
2.4 | |||
Aerospace & Defense |
2.3 | |||
Non-Captive Diversified |
2.2 | |||
Banking |
2.1 | |||
Diversified Telecommunication Services |
2.1 | |||
Other Investments, less than 2% each |
36.7 | |||
Short-Term Investments |
5.7 | |||
|
|
|||
Total Investments |
97.0 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
3.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure at December 31, 2011 (Unaudited)
United States Dollar |
67.6 | % | ||
British Pound |
8.3 | |||
Euro |
5.4 | |||
Brazilian Real |
3.2 | |||
Danish Krone |
2.4 | |||
Japanese Yen |
2.3 | |||
Other, less than 2% each |
7.8 | |||
|
|
|||
Total Investments |
97.0 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
3.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Growth Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 97.9% of Net Assets |
|||||||
Air Freight & Logistics 6.7% | ||||||||
80,553 | Expeditors International of Washington, Inc. | $ | 3,299,451 | |||||
64,206 | United Parcel Service, Inc., Class B | 4,699,237 | ||||||
|
|
|||||||
7,998,688 | ||||||||
|
|
|||||||
Beverages 4.2% | ||||||||
44,510 | Coca-Cola Co. (The) | 3,114,365 | ||||||
21,857 | Diageo PLC, Sponsored ADR | 1,910,739 | ||||||
|
|
|||||||
5,025,104 | ||||||||
|
|
|||||||
Biotechnology 4.5% | ||||||||
82,389 | Amgen, Inc. | 5,290,198 | ||||||
|
|
|||||||
Capital Markets 8.4% | ||||||||
15,935 | Franklin Resources, Inc. | 1,530,716 | ||||||
53,937 | Greenhill & Co., Inc. | 1,961,689 | ||||||
78,063 | Legg Mason, Inc. | 1,877,415 | ||||||
268,957 | SEI Investments Co. | 4,666,404 | ||||||
|
|
|||||||
10,036,224 | ||||||||
|
|
|||||||
Communications Equipment 10.6% | ||||||||
381,191 | Cisco Systems, Inc. | 6,891,933 | ||||||
104,899 | QUALCOMM, Inc. | 5,737,975 | ||||||
|
|
|||||||
12,629,908 | ||||||||
|
|
|||||||
Consumer Finance 3.5% | ||||||||
89,007 | American Express Co. | 4,198,460 | ||||||
|
|
|||||||
Energy Equipment & Services 3.3% | ||||||||
56,935 | Schlumberger Ltd. | 3,889,230 | ||||||
|
|
|||||||
Food Products 4.3% | ||||||||
405,442 | Danone S.A., Sponsored ADR | 5,124,787 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 5.3% | ||||||||
47,447 | Medtronic, Inc. | 1,814,848 | ||||||
82,867 | Zimmer Holdings, Inc.(b) | 4,426,755 | ||||||
|
|
|||||||
6,241,603 | ||||||||
|
|
|||||||
Household Products 4.2% | ||||||||
25,962 | Clorox Co. (The) | 1,728,031 | ||||||
49,667 | Procter & Gamble Co. (The) | 3,313,285 | ||||||
|
|
|||||||
5,041,316 | ||||||||
|
|
|||||||
Internet & Catalog Retail 6.5% | ||||||||
34,932 | Amazon.com, Inc.(b) | 6,046,729 | ||||||
40,196 | Blue Nile, Inc.(b) | 1,643,213 | ||||||
|
|
|||||||
7,689,942 | ||||||||
|
|
|||||||
Internet Software & Services 6.6% | ||||||||
12,191 | Google, Inc., Class A(b) | 7,874,167 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
IT Services 7.2% | ||||||||
35,333 | Automatic Data Processing, Inc. | $ | 1,908,335 | |||||
65,829 | Visa, Inc., Class A | 6,683,619 | ||||||
|
|
|||||||
8,591,954 | ||||||||
|
|
|||||||
Media 2.0% | ||||||||
53,136 | Omnicom Group, Inc. | 2,368,803 | ||||||
|
|
|||||||
Multiline Retail 0.3% | ||||||||
6,665 | Target Corp. | 341,381 | ||||||
|
|
|||||||
Pharmaceuticals 5.7% | ||||||||
67,947 | Merck & Co., Inc. | 2,561,602 | ||||||
72,716 | Novartis AG, ADR | 4,157,173 | ||||||
|
|
|||||||
6,718,775 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 1.0% | ||||||||
14,142 | Altera Corp. | 524,668 | ||||||
16,945 | Analog Devices, Inc. | 606,292 | ||||||
|
|
|||||||
1,130,960 | ||||||||
|
|
|||||||
Software 10.4% | ||||||||
42,001 | FactSet Research Systems, Inc. | 3,665,847 | ||||||
113,462 | Microsoft Corp. | 2,945,474 | ||||||
221,643 | Oracle Corp. | 5,685,143 | ||||||
|
|
|||||||
12,296,464 | ||||||||
|
|
|||||||
Specialty Retail 3.2% | ||||||||
46,867 | Home Depot, Inc. (The) | 1,970,289 | ||||||
71,875 | Lowes Cos., Inc. | 1,824,187 | ||||||
|
|
|||||||
3,794,476 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $104,534,489) |
116,282,440 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 2.1% |
|||||||
$2,537,522 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $2,537,522 on 1/03/2012 collateralized by $2,565,000
U.S. Treasury Note, 0.625% due 7/15/2014 valued at $2,590,407 including accrued interest(c) (Identified Cost $2,537,522) |
2,537,522 | ||||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $107,072,011)(a) |
118,819,962 | |||||||
Other assets less liabilities 0.0% | (17,870 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 118,802,092 | ||||||
|
|
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. |
Investments in other open-end investment companies are valued at their net asset value each day. |
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. |
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $107,072,011 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 15,227,675 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(3,479,724 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 11,747,951 | ||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $91,817,905 of which $75,866 expires on September 30, 2016; $57,062,095 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations. |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. |
(b) | Non-income producing security. |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
$ | 116,282,440 | $ | | $ | | $ | 116,282,440 | ||||||||
Short-Term Investments |
| 2,537,522 | | 2,537,522 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 116,282,440 | $ | 2,537,522 | $ | | $ | 118,819,962 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Industry Summary at December 31, 2011 (Unaudited)
Communications Equipment |
10.6 | % | ||
Software |
10.4 | |||
Capital Markets |
8.4 | |||
IT Services |
7.2 | |||
Air Freight & Logistics |
6.7 | |||
Internet Software & Services |
6.6 | |||
Internet & Catalog Retail |
6.5 | |||
Pharmaceuticals |
5.7 | |||
Health Care Equipment & Supplies |
5.3 | |||
Biotechnology |
4.5 | |||
Food Products |
4.3 | |||
Household Products |
4.2 | |||
Beverages |
4.2 | |||
Consumer Finance |
3.5 | |||
Energy Equipment & Services |
3.3 | |||
Specialty Retail |
3.2 | |||
Media |
2.0 | |||
Other Investments, less than 2% each |
1.3 | |||
Short-Term Investments |
2.1 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
(0.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles High Income Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 84.8% of Net Assets |
| ||||||
|
Non-Convertible Bonds 73.0% |
| ||||||
ABS Car Loan 0.3% | ||||||||
$ | 350,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A |
$ | 354,901 | ||||
|
|
|||||||
ABS Home Equity 2.1% | ||||||||
200,000 | Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.744%, 1/25/2036(b) |
114,708 | ||||||
600,000 | Ameriquest Mortgage Securities, Inc., Series 2005-R7, Class M2, 0.794%, 9/25/2035(b) |
281,294 | ||||||
523,564 | Argent Securities, Inc., Series 2003-W3, Class M2, 2.994%, 9/25/2033(b) |
353,810 | ||||||
372,583 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-5, Class A2, 2.250%, 8/25/2035(b) |
317,936 | ||||||
143,801 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.564%, 4/25/2035(b) |
76,150 | ||||||
562,356 | GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.364%, 12/25/2046(b) |
218,111 | ||||||
112,131 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.891%, 12/25/2034(b) |
76,509 | ||||||
464,837 | MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037 |
398,309 | ||||||
200,000 | New Century Home Equity Loan Trust, Series 2005-1, Class M3, 0.814%, 3/25/2035(b) |
136,766 | ||||||
300,000 | New Century Home Equity Loan Trust, Series 2005-2, Class M2, 0.744%, 6/25/2035(b) |
172,973 | ||||||
155,857 | New York Mortgage Trust, Series 2006-1, Class 2A2, 2.800%, 5/25/2036(b) |
113,753 | ||||||
575,000 | Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.794%, 7/25/2035(b) |
315,563 | ||||||
179,762 | Saxon Asset Securities Trust, Series 2004-3, Class M2, 0.944%, 12/26/2034(b) |
132,694 | ||||||
149,912 | WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.968%, 4/25/2047(b) |
94,370 | ||||||
|
|
|||||||
2,802,946 | ||||||||
|
|
|||||||
ABS Other 0.4% | ||||||||
576,110 | Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A |
576,006 | ||||||
|
|
|||||||
Airlines 0.4% | ||||||||
105,000 | Air Canada, 9.250%, 8/01/2015, 144A |
91,875 | ||||||
30,000 | Air Canada, 12.000%, 2/01/2016, 144A |
25,875 | ||||||
28,291 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 |
27,618 | ||||||
198,446 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 |
193,723 | ||||||
173,446 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
162,597 | ||||||
|
|
|||||||
501,688 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Banking 4.1% | ||||||||
2,210,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
$ | 1,931,373 | |||||
11,260,000,000 | Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR) |
1,199,092 | ||||||
820,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
501,637 | ||||||
1,100,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
881,971 | ||||||
900,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
894,141 | ||||||
200,000 | Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A |
169,935 | ||||||
|
|
|||||||
5,578,149 | ||||||||
|
|
|||||||
Building Materials 3.0% | ||||||||
50,000 | Masco Corp., 6.500%, 8/15/2032 |
44,722 | ||||||
360,000 | Masco Corp., 7.125%, 3/15/2020 |
363,321 | ||||||
345,000 | Masco Corp., 7.750%, 8/01/2029 |
334,880 | ||||||
845,000 | Masonite International Corp., 8.250%, 4/15/2021, 144A |
828,100 | ||||||
2,955,000 | USG Corp., 6.300%, 11/15/2016 |
2,304,900 | ||||||
100,000 | USG Corp., 8.375%, 10/15/2018, 144A |
92,000 | ||||||
75,000 | USG Corp., 9.750%, 1/15/2018 |
63,375 | ||||||
|
|
|||||||
4,031,298 | ||||||||
|
|
|||||||
Chemicals 2.1% | ||||||||
1,270,000 | Hercules, Inc., 6.500%, 6/30/2029 |
974,725 | ||||||
850,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
796,875 | ||||||
220,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020 |
181,500 | ||||||
420,000 | JM Huber Corp., 9.875%, 11/01/2019, 144A |
441,000 | ||||||
730,000 | Reichhold Industries, Inc., 9.000%, 8/15/2014, 144A(c) |
386,900 | ||||||
|
|
|||||||
2,781,000 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 3.8% | ||||||||
354,822 | Adjustable Rate Mortgage Trust, Series 2005-10, Class 5A1, 0.554%, 1/25/2036(b) |
200,139 | ||||||
170,599 | American Home Mortgage Investment Trust, Series 2004-3, Class 3A, 2.566%, 10/25/2034(b) |
107,194 | ||||||
380,336 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.301%, 9/25/2045(b) |
272,705 | ||||||
393,850 | American Home Mortgage Investment Trust, Series 2006-1, Class 11A1, 0.434%, 3/25/2046(b) |
211,529 | ||||||
82,144 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.926%, 2/25/2035(b) |
67,248 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Collateralized Mortgage Obligations continued | ||||||||
$221,355 | Countrywide Alternative Loan Trust, Series 2005-38, Class A3, 0.644%, 9/25/2035(b) |
$ | 104,965 | |||||
313,765 | GSR Mortgage Loan Trust, Series 2005-AR7, Class 2A1, 2.739%, 11/25/2035(b) |
258,681 | ||||||
633,399 | Indymac Index Mortgage Loan Trust, Series 2005-AR14, Class 2A1A, 0.594%, 7/25/2035(b) |
354,667 | ||||||
185,634 | Indymac Index Mortgage Loan Trust, Series 2005-AR3, Class 4A1, 4.249%, 4/25/2035(b) |
132,656 | ||||||
317,136 | Indymac Index Mortgage Loan Trust, Series 2005-AR35, Class 1A1, 5.320%, 2/25/2036(b) |
188,894 | ||||||
581,916 | Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.794%, 1/25/2036(b) |
334,921 | ||||||
616,664 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.414%, 7/25/2037(b)(d) |
237,281 | ||||||
560,326 | Luminent Mortgage Pass Through Trust, Series 2006-6, Class A1, 0.494%, 10/25/2046(b) |
313,548 | ||||||
396,405 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.615%, 3/25/2035(b) |
250,728 | ||||||
266,411 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 5A1, 2.660%, 3/25/2035(b) |
221,492 | ||||||
684,484 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.454%, 1/25/2047(b) |
362,812 | ||||||
650,905 | Merrill Lynch Alternative Note Asset, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 |
394,115 | ||||||
675,573 | Residential Accredit Loans, Inc., Series 2006-QO7, Class 1A1, 1.008%, 9/25/2046(b) |
243,481 | ||||||
613,363 | Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036 |
372,973 | ||||||
490,559 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.168%, 8/25/2046(b) | 199,828 | ||||||
675,120 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.534%, 1/25/2047(b) | 250,183 | ||||||
|
|
|||||||
5,080,040 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 1.3% | ||||||||
535,037 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.866%, 6/19/2035(b) |
453,219 | ||||||
1,690,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.984%, 8/10/2045(b) |
1,375,094 | ||||||
|
|
|||||||
1,828,313 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.6% | ||||||||
1,035,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 |
786,600 | ||||||
|
|
|||||||
Consumer Products 0.2% | ||||||||
275,000 | Visant Corp., 10.000%, 10/01/2017 |
251,625 | ||||||
|
|
|||||||
Electric 2.4% | ||||||||
19,493 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 |
20,078 | ||||||
375,000 | Dynegy Holdings, Inc., 7.125%, 5/15/2018(h) |
243,750 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Electric continued | ||||||||
$180,000 | Dynegy Holdings, Inc., 7.625%, 10/15/2026(e) |
$ | 115,200 | |||||
815,000 | Dynegy Holdings, Inc., 7.750%, 6/01/2019(h) |
533,825 | ||||||
1,055,000 | Edison Mission Energy, 7.625%, 5/15/2027 |
622,450 | ||||||
895,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
682,706 | ||||||
140,000 | NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(e) |
32,200 | ||||||
515,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A |
437,106 | ||||||
1,015,000 | TXU Corp., Series Q, 6.500%, 11/15/2024 |
451,675 | ||||||
370,000 | TXU Corp., Series R, 6.550%, 11/15/2034 |
157,250 | ||||||
|
|
|||||||
3,296,240 | ||||||||
|
|
|||||||
Food & Beverage 0.9% | ||||||||
475,000 | Del Monte Corp., 7.625%, 2/15/2019 |
456,000 | ||||||
400,000 | Marfrig Holding Europe BV, 8.375%, 5/09/2018, 144A |
294,000 | ||||||
700,000 | Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A |
518,000 | ||||||
|
|
|||||||
1,268,000 | ||||||||
|
|
|||||||
Gaming 3.1% | ||||||||
2,045,000 | Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/2018 |
1,400,825 | ||||||
275,000 | MGM Resorts International, 6.625%, 7/15/2015 |
261,250 | ||||||
1,360,000 | MGM Resorts International, 7.500%, 6/01/2016 |
1,302,200 | ||||||
1,250,000 | MGM Resorts International, 7.625%, 1/15/2017 |
1,190,625 | ||||||
|
|
|||||||
4,154,900 | ||||||||
|
|
|||||||
Government Owned - No Guarantee 1.0% | ||||||||
900,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
814,500 | ||||||
4,800,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
512,265 | ||||||
|
|
|||||||
1,326,765 | ||||||||
|
|
|||||||
Healthcare 2.3% | ||||||||
165,000 | HCA, Inc., 7.050%, 12/01/2027 |
138,394 | ||||||
640,000 | HCA, Inc., 7.500%, 12/15/2023 |
572,800 | ||||||
470,000 | HCA, Inc., 7.690%, 6/15/2025 |
415,950 | ||||||
480,000 | HCA, Inc., 8.360%, 4/15/2024 |
453,600 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Healthcare continued | ||||||||
$800,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
$ | 708,000 | |||||
515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
448,693 | ||||||
425,000 | Kindred Healthcare, Inc., 8.250%, 6/01/2019 |
357,000 | ||||||
90,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
73,800 | ||||||
|
|
|||||||
3,168,237 | ||||||||
|
|
|||||||
Home Construction 5.4% | ||||||||
35,000 | Beazer Homes USA, Inc., 9.125%, 6/15/2018 |
24,063 | ||||||
305,000 | K. Hovnanian Enterprises, Inc., 10.625%, 10/15/2016 |
243,238 | ||||||
105,000 | KB Home, 5.750%, 2/01/2014 |
100,800 | ||||||
65,000 | KB Home, 5.875%, 1/15/2015 |
59,800 | ||||||
105,000 | KB Home, 6.250%, 6/15/2015 |
96,600 | ||||||
2,580,000 | KB Home, 7.250%, 6/15/2018 |
2,322,000 | ||||||
1,850,000 | Lennar Corp., 6.950%, 6/01/2018 |
1,803,750 | ||||||
3,135,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
2,080,856 | ||||||
495,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
342,787 | ||||||
380,000 | Pulte Group, Inc., 7.875%, 6/15/2032 |
305,900 | ||||||
|
|
|||||||
7,379,794 | ||||||||
|
|
|||||||
Hybrid ARMs 0.1% | ||||||||
401,627 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.968%, 4/25/2035(b) |
172,346 | ||||||
|
|
|||||||
Independent Energy 0.8% | ||||||||
785,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A |
710,425 | ||||||
360,000 | SandRidge Energy, nc., 7.500%, 3/15/2021 |
357,300 | ||||||
|
|
|||||||
1,067,725 | ||||||||
|
|
|||||||
Life Insurance 0.6% | ||||||||
860,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
765,400 | ||||||
|
|
|||||||
Lodging 0.1% | ||||||||
180,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 |
176,400 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Media Non-Cable 2.9% | ||||||||
$755,000 | Clear Channel Communications, Inc., 5.750%, 1/15/2013 |
$ | 717,250 | |||||
2,275,000 | Intelsat S.A., 11.250%, 2/04/2017 |
2,201,062 | ||||||
1,100,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 |
1,067,000 | ||||||
|
|
|||||||
3,985,312 | ||||||||
|
|
|||||||
Metals & Mining 2.0% | ||||||||
780,000 | Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A |
670,800 | ||||||
700,000 | ArcelorMittal, 6.750%, 3/01/2041 |
629,461 | ||||||
35,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A |
33,950 | ||||||
1,845,000 | United States Steel Corp., 6.650%, 6/01/2037 |
1,439,100 | ||||||
|
|
|||||||
2,773,311 | ||||||||
|
|
|||||||
Non-Captive Consumer 3.7% | ||||||||
1,045,000 | International Lease Finance Corp., 8.625%, 1/15/2022 |
1,057,129 | ||||||
1,605,000 | Residential Capital LLC, 9.625%, 5/15/2015 |
1,123,500 | ||||||
1,920,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
1,353,600 | ||||||
2,000,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
1,440,000 | ||||||
|
|
|||||||
4,974,229 | ||||||||
|
|
|||||||
Non-Captive Diversified 1.3% | ||||||||
1,620,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
1,563,300 | ||||||
100,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
79,250 | ||||||
135,000 | iStar Financial, Inc., 5.875%, 3/15/2016 |
109,350 | ||||||
15,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 |
12,863 | ||||||
|
|
|||||||
1,764,763 | ||||||||
|
|
|||||||
Oil Field Services 0.1% | ||||||||
200,000 | OGX Petroleo e Gas Participacoes S.A., 8.500%, 6/01/2018, 144A |
196,000 | ||||||
|
|
|||||||
Packaging 1.2% | ||||||||
1,800,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021, 144A |
1,593,000 | ||||||
|
|
|||||||
Pharmaceuticals 0.8% | ||||||||
205,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A |
197,825 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Pharmaceuticals continued | ||||||||
$935,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A |
$ | 906,950 | |||||
|
|
|||||||
1,104,775 | ||||||||
|
|
|||||||
Refining 0.3% | ||||||||
745,000 | Petroplus Finance Ltd., 7.000%, 5/01/2017, 144A |
368,775 | ||||||
|
|
|||||||
Retailers 1.5% | ||||||||
40,000 | Dillards, Inc., 7.000%, 12/01/2028 |
36,800 | ||||||
435,000 | Dillards, Inc., 7.750%, 7/15/2026 |
408,900 | ||||||
205,000 | Dillards, Inc., 7.750%, 5/15/2027 |
190,650 | ||||||
35,000 | Dillards, Inc., 7.875%, 1/01/2023 |
33,600 | ||||||
1,565,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
1,404,587 | ||||||
|
|
|||||||
2,074,537 | ||||||||
|
|
|||||||
Sovereigns 1.0% | ||||||||
2,250,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
1,375,151 | ||||||
|
|
|||||||
Supermarkets 1.2% | ||||||||
315,000 | American Stores Co., 8.000%, 6/01/2026 |
271,688 | ||||||
955,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
785,487 | ||||||
735,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
523,688 | ||||||
|
|
|||||||
1,580,863 | ||||||||
|
|
|||||||
Supranational 2.8% | ||||||||
2,000,000 | European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL) |
1,080,327 | ||||||
24,630,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR)(f) |
2,118,710 | ||||||
700,000,000 | International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW) |
605,816 | ||||||
|
|
|||||||
3,804,853 | ||||||||
|
|
|||||||
Technology 2.6% | ||||||||
1,090,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
782,075 | ||||||
1,930,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
1,384,775 | ||||||
1,460,000 | First Data Corp., 8.250%, 1/15/2021, 144A |
1,306,700 | ||||||
10,000 | Seagate HDD Cayman, 6.875%, 5/01/2020 |
10,275 | ||||||
|
|
|||||||
3,483,825 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Textile 1.4% | ||||||||
$2,605,000 | Jones Apparel Group, Inc., 6.125%, 11/15/2034 |
$ | 1,803,962 | |||||
175,000 | Jones Group/Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 |
157,500 | ||||||
|
|
|||||||
1,961,462 | ||||||||
|
|
|||||||
Transportation Services 0.4% | ||||||||
275,000 | APL Ltd., 8.000%, 1/15/2024(c) |
178,750 | ||||||
640,000 | Overseas Shipholding Group, 7.500%, 2/15/2024 |
337,600 | ||||||
|
|
|||||||
516,350 | ||||||||
|
|
|||||||
Treasuries 6.0% | ||||||||
60,937 | Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR) |
14,297 | ||||||
55,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) |
14,116 | ||||||
50,000 | Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR) |
14,206 | ||||||
2,240,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) |
634,878 | ||||||
150,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
153,462 | ||||||
375,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
374,855 | ||||||
930,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
947,600 | ||||||
65,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) |
66,300 | ||||||
60,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) |
64,127 | ||||||
55,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) |
60,908 | ||||||
301,500 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
2,420,765 | |||||
10,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
231,445 | ||||||
120,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) |
2,777,334 | ||||||
50,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
32,337 | ||||||
400,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
256,262 | ||||||
|
|
|||||||
8,062,892 | ||||||||
|
|
|||||||
Wireless 3.9% | ||||||||
900,000 | Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A |
558,000 | ||||||
1,595,000 | Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A |
1,527,212 | ||||||
4,236,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
3,023,445 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wireless continued | ||||||||
$5,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
$ | 4,113 | |||||
285,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
230,494 | ||||||
|
|
|||||||
5,343,264 | ||||||||
|
|
|||||||
Wirelines 4.9% | ||||||||
665,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A |
495,425 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
98,800 | ||||||
1,105,000 | Cincinnati Bell, Inc., 8.750%, 3/15/2018 |
1,026,269 | ||||||
1,070,000 | Frontier Communications Corp., 9.000%, 8/15/2031 |
976,375 | ||||||
940,000 | Level 3 Escrow, Inc., 8.125%, 7/01/2019, 144A |
925,900 | ||||||
1,910,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 |
1,943,425 | ||||||
320,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 |
327,200 | ||||||
350,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
269,981 | ||||||
250,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
223,970 | ||||||
300,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) |
317,415 | ||||||
25,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
18,524 | ||||||
15,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
11,360 | ||||||
|
|
|||||||
6,634,644 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $106,819,022) |
98,946,379 | |||||||
|
|
|||||||
|
Convertible Bonds 11.8% |
|||||||
Automotive 2.6% | ||||||||
1,465,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g) |
944,925 | ||||||
1,760,000 | Ford Motor Co., 4.250%, 11/15/2016 |
2,523,400 | ||||||
|
|
|||||||
3,468,325 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.9% | ||||||||
1,325,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
1,295,187 | ||||||
|
|
|||||||
Healthcare 0.5% | ||||||||
35,000 | Hologic, Inc., (accretes to principal after 12/15/2016), 2.000%, 12/15/2037(g) |
38,281 | ||||||
515,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
715,850 | ||||||
|
|
|||||||
754,131 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Home Construction 0.1% | ||||||||
$70,000 | Lennar Corp., 2.000%, 12/01/2020, 144A |
$ | 70,350 | |||||
|
|
|||||||
Metals & Mining 0.3% | ||||||||
210,000 | Peabody Energy Corp., 4.750%, 12/15/2066 |
214,200 | ||||||
165,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 |
179,644 | ||||||
|
|
|||||||
393,844 | ||||||||
|
|
|||||||
Pharmaceuticals 2.1% | ||||||||
1,365,000 | Human Genome Sciences, Inc., 3.000%, 11/15/2018 |
1,218,263 | ||||||
1,515,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 |
1,588,856 | ||||||
|
|
|||||||
2,807,119 | ||||||||
|
|
|||||||
Technology 5.2% | ||||||||
4,155,000 | Ciena Corp., 0.875%, 6/15/2017 |
3,147,412 | ||||||
145,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
136,300 | ||||||
40,000 | Ciena Corp., 4.000%, 3/15/2015, 144A |
39,300 | ||||||
2,930,000 | Intel Corp., 2.950%, 12/15/2035 |
3,050,863 | ||||||
620,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A |
545,600 | ||||||
80,000 | SanDisk Corp., 1.500%, 8/15/2017 |
94,200 | ||||||
|
|
|||||||
7,013,675 | ||||||||
|
|
|||||||
Textile 0.1% | ||||||||
150,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A |
141,938 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $15,607,071) |
15,944,569 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $122,426,093) |
114,890,948 | |||||||
|
|
|||||||
|
Senior Loans 0.4% |
|||||||
Media Non-Cable 0.2% | ||||||||
317,336 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b) |
146,371 | ||||||
224,012 | Tribune Company, Term Loan X, 5.000%, 6/04/2009(b)(h)(i) |
126,246 | ||||||
|
|
|||||||
272,617 | ||||||||
|
|
|||||||
Wireless 0.0% | ||||||||
17,815 | Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(j) |
17,949 | ||||||
|
|
Principal |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Wirelines 0.2% | ||||||||
$370,146 | FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b) |
$ | 294,303 | |||||
|
|
|||||||
Total Senior Loans (Identified Cost $1,040,267) |
584,869 | |||||||
|
|
|||||||
Shares | ||||||||
|
Preferred Stocks 4.7% |
|||||||
|
Convertible Preferred Stocks 3.6% |
|||||||
Automotive 1.1% | ||||||||
41,200 | General Motors Co., Series B, 4.750% |
1,411,100 | ||||||
2,500 | Goodyear Tire & Rubber Co. (The), 5.875% |
121,625 | ||||||
|
|
|||||||
1,532,725 | ||||||||
|
|
|||||||
Banking 0.0% | ||||||||
25 | Bank of America Corp., Series L, 7.250% |
19,700 | ||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
2,213 | United Rentals Trust I, 6.500% |
104,011 | ||||||
|
|
|||||||
Consumer Products 1.7% | ||||||||
55,115 | Newell Financial Trust I, 5.250% |
2,328,609 | ||||||
|
|
|||||||
Pipelines 0.7% | ||||||||
20,675 | El Paso Energy Capital Trust I, 4.750% |
951,877 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $5,285,815) |
4,936,922 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stock 1.1% |
|||||||
Non-Captive Diversified 1.1% | ||||||||
78,785 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% |
1,448,856 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $7,329,285) |
6,385,778 | |||||||
|
|
|||||||
|
Common Stocks 3.0% |
|||||||
Automobiles 0.4% | ||||||||
53,720 | Ford Motor Co.(e) | 578,027 | ||||||
|
|
|||||||
Chemicals 0.0% | ||||||||
1,087 | Ashland, Inc. | 62,133 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.1% | ||||||||
14,623 | FairPoint Communications, Inc.(e) | 63,318 | ||||||
593 | Hawaiian Telcom Holdco, Inc.(e) | 9,132 | ||||||
|
|
|||||||
72,450 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Household Durables 0.2% | ||||||||
46,500 | KB Home | $ | 312,480 | |||||
|
|
|||||||
Media 0.0% | ||||||||
388 | Dex One Corp.(e) | 644 | ||||||
1,835 | SuperMedia, Inc.(e) | 4,845 | ||||||
|
|
|||||||
5,489 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.7% | ||||||||
35,176 | El Paso Corp. | 934,626 | ||||||
|
|
|||||||
Pharmaceuticals 1.6% | ||||||||
6,875 | Merck & Co., Inc. | 259,188 | ||||||
39,928 | Valeant Pharmaceuticals International, Inc.(e) | 1,864,238 | ||||||
|
|
|||||||
2,123,426 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $3,156,125) |
4,088,631 | |||||||
|
|
|||||||
|
Warrants 0.0% |
|||||||
10,023 | FairPoint Communications, Inc., Expiration on 1/24/2018(c)(e)(k) (Identified Cost $0) |
| ||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 5.0% |
|||||||
$19,916 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $19,916 on 1/03/2012 collateralized by $25,000 U.S. Treasury Bill, due 3/08/2012 valued at $24,999 including accrued interest(l) |
19,916 | ||||||
6,664,093 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011, at 0.000% to be repurchased at $6,664,093 on 1/03/2012 collateralized by $6,790,000
Federal National Mortgage Association, 0.750% due 9/08/2014 valued at $6,798,488 including accrued interest(l) |
6,664,093 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $6,684,009) |
6,684,009 | |||||||
|
|
|||||||
Total Investments 97.9% (Identified Cost $140,635,779)(a) |
132,634,235 | |||||||
Other assets less liabilities 2.1% | 2,816,202 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 135,450,437 | ||||||
|
|
() | Principal amount stated in U.S. dollars unless otherwise noted. | |||
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. | |||
Senior loans are priced at bid prices supplied by a pricing service, if available. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. | ||||
() | Amount shown represents units. One unit represents a principal amount of 100. | |||
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): At December 31, 2011, the net unrealized depreciation on investments based on a cost of $140,677,104 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 5,894,434 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(13,937,303 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (8,042,869 | ) | |
|
|
(b) | Variable rate security. Rate as of December 31, 2011 is disclosed. | |||
(c) | Illiquid security. At December 31, 2011, the value of these securities amounted to $597,850 or 0.4% of net assets. | |||
(d) | The issuer has made partial payment with respect to interest and/or principal. Income is not being accrued. | |||
(e) | Non-income producing security. | |||
(f) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. | |||
(g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. | |||
(h) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||
(i) | Issuer has filed for bankruptcy. | |||
(j) | All or a portion of interest payment is paid-in-kind. | |||
(k) | Fair valued security by the Funds investment adviser. At December 31, 2011, the value of this security amounted to $0. | |||
(l) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. | |||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $18,033,227 or 13.3% of net assets. | |||
ABS | Asset-Backed Securities | |||
ARMs | Adjustable Rate Mortgages | |||
EMTN | Euro Medium Term Note | |||
GMTN | Global Medium Term Note | |||
MTN | Medium Term Note |
AUD |
Australian Dollar | |
BRL |
Brazilian Real | |
EUR |
Euro | |
IDR |
Indonesian Rupiah | |
KRW |
South Korean Won | |
MXN |
Mexican Peso | |
PHP |
Philippine Peso |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At December 31, 2011, the Fund had the following open forward foreign currency contracts:
Contract to |
Delivery Date | Currency | Units | Notional Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Sell |
01/31/2012 | Euro | 2,610,000 | $ | 3,378,549 | $ | 230,661 | |||||||||||||
|
|
1Counterparty is Barclays.
Fair Value Measurement
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Treasuries |
$ | | $ | 7,399,692 | $ | 663,200 | $ | 8,062,892 | ||||||||
All Other Non-Convertible Bonds* |
| 90,883,487 | | 90,883,487 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 98,283,179 | 663,200 | 98,946,379 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 15,944,569 | | 15,944,569 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 114,227,748 | 663,200 | 114,890,948 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 584,869 | | 584,869 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Construction Machinery |
| 104,011 | | 104,011 | ||||||||||||
Consumer Products |
| 2,328,609 | | 2,328,609 | ||||||||||||
All Other Convertible Preferred Stocks* |
2,504,302 | | | 2,504,302 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
2,504,302 | 2,432,620 | | 4,936,922 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks* |
1,448,856 | | | 1,448,856 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
3,953,158 | 2,432,620 | | 6,385,778 | ||||||||||||
|
|
|
|
|
|
|
|
Common Stocks* |
4,088,631 | | | 4,088,631 | ||||||||||||
Warrants** |
| | | | ||||||||||||
Short-Term Investments |
| 6,684,009 | | 6,684,009 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
8,041,789 | 123,929,246 | 663,200 | 132,634,235 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 230,661 | | 230,661 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 8,041,789 | $ | 124,159,907 | $ | 663,200 | $ | 132,864,896 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
** | Fair valued at zero using Level 3 inputs. |
A preferred stock valued at $140,000 was transferred from Level 1 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued at market price in accordance with the Funds valuation policies; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.
All transfers are recognized as of the beginning of the reporting period.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of December 31, 2011 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Consumer Cyclical Services |
$ | 843,525 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (843,525 | ) | $ | | $ | | |||||||||||||||||||
Treasuries |
27,508 | 13,229 | | (346,162 | ) | | | 968,625 | | 663,200 | (346,162 | ) | ||||||||||||||||||||||||||||
Warrants*** |
| | | | | | | | | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 871,033 | $ | 13,229 | $ | | $ | (346,162 | ) | $ | | $ | | $ | 968,625 | $ | (843,525 | ) | $ | 663,200 | $ | (346,162 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*** | Fair valued at zero using Level 3 inputs. |
A debt security valued at $843,525 was transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.
Debt securities valued at $968,625 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.
All transfers are recognized as of the beginning of the reporting period.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the Fund did not hold any derivative positions (including open trades) subject to credit-risk-related contingent features that were in a net liability position by counterparty.
Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $230,661 and the amount of loss that the Fund would incur after taking into account master netting arrangement is $230,661.
Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to a Fund from counterparty default should be limited to the extent a Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.
The following is a summary of derivative instruments for the Fund, as of December 31, 2011:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 230,661 |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at December 31, 2011 (Unaudited)
Technology |
7.8 | % | ||
Treasuries |
6.0 | |||
Home Construction |
5.5 | |||
Wirelines |
5.1 | |||
Pharmaceuticals |
4.5 | |||
Banking |
4.1 | |||
Wireless |
3.9 | |||
Collateralized Mortgage Obligations |
3.8 | |||
Automotive |
3.7 | |||
Non-Captive Consumer |
3.7 | |||
Media Non-Cable |
3.1 | |||
Gaming |
3.1 | |||
Building Materials |
3.0 | |||
Healthcare |
2.8 | |||
Supranational |
2.8 | |||
Electric |
2.4 | |||
Non-Captive Diversified |
2.4 | |||
Metals & Mining |
2.3 | |||
Chemicals |
2.1 | |||
ABS Home Equity |
2.1 | |||
Other Investments, less than 2% each |
18.7 | |||
Short-Term Investments |
5.0 | |||
|
|
|||
Total Investments |
97.9 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
2.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles International Bond Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 96.7% of Net Assets |
|||||||
Argentina 0.6% | ||||||||
$ | 140,050 | Argentina Government International Bond, 8.280%, 12/31/2033(d) |
$ | 102,237 | ||||
Brazil 0.7% | ||||||||
100,000 | Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR) |
126,121 | ||||||
Canada 6.9% | ||||||||
95,000 | Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD) |
105,472 | ||||||
165,000 | Corus Entertainment, Inc., 7.250%, 2/10/2017, 144A, (CAD) |
168,442 | ||||||
25,000,000 | Province of Quebec Canada, 1.600%, 5/09/2013, (JPY) |
328,385 | ||||||
150,000 | Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR) |
207,567 | ||||||
200,000 | Province of Quebec Canada, Series 169, EMTN, 3.625%, 2/10/2015, (EUR) |
276,090 | ||||||
95,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
102,166 | ||||||
60,000 | Videotron Ltee, 6.875%, 7/15/2021, 144A, (CAD) |
58,898 | ||||||
1,247,020 | ||||||||
Cayman Islands 0.6% | ||||||||
119,000 | Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A |
116,323 | ||||||
China 1.1% | ||||||||
150,000 | Credit Suisse London, EMTN, 5.125%, 9/18/2017, (EUR) |
207,337 | ||||||
Colombia 0.5% | ||||||||
160,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) |
86,607 | ||||||
Denmark 0.7% | ||||||||
645,000 | Kingdom of Denmark, 4.000%, 11/15/2015, (DKK) |
127,897 | ||||||
Finland 0.3% | ||||||||
35,000 | Finland Government Bond, 3.125%, 9/15/2014, (EUR) |
48,312 | ||||||
France 1.8% | ||||||||
100,000 | Alstom S.A., 4.125%, 2/01/2017, (EUR) |
128,164 | ||||||
150,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
141,673 | ||||||
50,000 | Lafarge S.A., EMTN, 5.375%, 6/26/2017, (EUR) |
56,624 | ||||||
326,461 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
Germany 6.1% | ||||||||
45,000 | Bundesobligation, 1.250%, 10/14/2016, (EUR) |
$ | 59,508 | |||||
200,000 | Bundesobligation, 2.250%, 4/10/2015, (EUR) |
273,993 | ||||||
275,000 | Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR) |
394,500 | ||||||
145,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR) |
211,626 | ||||||
80,000 | Bundesrepublik Deutschland, 3.750%, 7/04/2013, (EUR) |
109,214 | ||||||
30,000 | Bundesrepublik Deutschland, 4.000%, 1/04/2037, (EUR) |
49,903 | ||||||
1,098,744 | ||||||||
Italy 5.9% | ||||||||
100,000 | Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR) |
84,502 | ||||||
670,000 | Italy Buoni Poliennali Del Tesoro, 4.000%, 9/01/2020, (EUR) |
722,534 | ||||||
210,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 9/15/2016, (EUR) |
258,706 | ||||||
1,065,742 | ||||||||
Japan 21.8% | ||||||||
47,000,000 | Japan Finance Organization for Municipal Enterprises, 1.350%, 11/26/2013, (JPY) |
623,444 | ||||||
53,000,000 | Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY) |
697,526 | ||||||
63,000,000 | Japan Government Ten Year Bond, 1.300%, 3/20/2019, (JPY)(c) |
858,894 | ||||||
59,000,000 | Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY) |
821,306 | ||||||
59,000,000 | Japan Government Twenty Year Bond, 2.000%, 9/20/2025, (JPY) |
826,645 | ||||||
9,000,000 | Japan Government Twenty Year Bond, 2.100%, 12/20/2030, (JPY) |
123,974 | ||||||
3,951,789 | ||||||||
Jersey 0.9% | ||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) |
171,978 | ||||||
Korea 0.4% | ||||||||
3,600,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) |
80,061 | ||||||
Luxembourg 1.6% | ||||||||
100,000 | Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP) |
136,700 | ||||||
50,000 | FMC Finance VIII S.A., 6.500%, 9/15/2018, 144A, (EUR) |
69,162 | ||||||
75,000 | Telecom Italia Finance S.A.,EMTN, 7.750%, 1/24/2033, (EUR) |
85,104 | ||||||
290,966 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
Malaysia 0.7% | ||||||||
370,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) |
$ | 121,473 | |||||
Mexico 4.1% | ||||||||
100,000 | America Movil SAB de CV, EMTN, 4.125%, 10/25/2019, (EUR) |
133,429 | ||||||
160,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A |
119,200 | ||||||
100,000 | BBVA Bancomer S.A., 7.250%, 4/22/2020, 144A |
100,000 | ||||||
15,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
107,335 | |||||
37,500 | () | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) |
290,037 | |||||
750,001 | ||||||||
Netherlands 5.5% | ||||||||
45,000 | Deutsche Telekom International Finance BV, EMTN, 4.875%, 4/22/2025, (EUR) |
61,400 | ||||||
50,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) |
53,711 | ||||||
50,000 | EDP Finance BV, EMTN, 8.625%, 1/04/2024, (GBP) |
64,838 | ||||||
300,000 | Kingdom of Netherlands, 4.500%, 7/15/2017, (EUR)(c) |
447,409 | ||||||
100,000 | Koninklijke KPN NV, GMTN, 5.625%, 9/30/2024, (EUR) |
144,097 | ||||||
50,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
44,794 | ||||||
100,000 | RWE Finance BV, EMTN, 5.500%, 7/06/2022, (GBP) |
174,163 | ||||||
990,412 | ||||||||
Norway 3.3% | ||||||||
30,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
24,851 | ||||||
1,800,000 | Norwegian Government, 4.250%, 5/19/2017, (NOK) |
335,722 | ||||||
1,250,000 | Norwegian Government, 4.500%, 5/22/2019, (NOK) |
240,204 | ||||||
600,777 | ||||||||
Philippines 0.6% | ||||||||
5,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
115,722 | ||||||
Singapore 2.1% | ||||||||
195,000 | Singapore Government Bond, 1.625%, 4/01/2013, (SGD) |
152,724 | ||||||
95,000 | Singapore Government Bond, 2.250%, 7/01/2013, (SGD) |
75,333 | ||||||
180,000 | Singapore Government Bond, 2.250%, 6/01/2021, (SGD) |
146,449 | ||||||
374,506 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
South Africa 0.8% | ||||||||
150,000 | Edcon Proprietary Ltd., 4.676%, 6/15/2014, 144A, (EUR)(b) |
$ | 143,176 | |||||
Spain 2.5% | ||||||||
185,000 | Spain Government Bond, 4.100%, 7/30/2018, (EUR) |
232,110 | ||||||
175,000 | Spain Government Bond, 5.500%, 4/30/2021, (EUR) |
231,431 | ||||||
463,541 | ||||||||
Supranationals 7.1% | ||||||||
40,000,000 | Asian Development Bank, EMTN, 2.350%, 6/21/2027, (JPY) |
578,209 | ||||||
921,000,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) |
90,937 | ||||||
1,090,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 8/20/2015, (IDR) |
93,763 | ||||||
5,700,000 | Inter-American Development Bank, EMTN, 4.750%, 1/10/2014, (INR) |
104,957 | ||||||
30,000,000 | Nordic Investment Bank, Series C, GMTN, 1.700%, 4/27/2017, (JPY) |
414,782 | ||||||
1,282,648 | ||||||||
United Arab Emirates 0.5% | ||||||||
100,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
90,500 | ||||||
United Kingdom 7.3% | ||||||||
100,000 | Anglo American Capital PLC, 4.375%, 12/02/2016, (EUR) |
137,783 | ||||||
50,000 | British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP) |
88,026 | ||||||
105,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) |
174,339 | ||||||
50,000 | BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) |
88,304 | ||||||
100,000 | Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR) |
127,313 | ||||||
160,000 | United Kingdom Treasury, 4.000%, 9/07/2016, (GBP) |
284,137 | ||||||
115,000 | United Kingdom Treasury, 4.750%, 12/07/2038, (GBP) |
238,496 | ||||||
95,000 | United Kingdom Treasury, 5.000%, 3/07/2025, (GBP) |
192,499 | ||||||
1,330,897 | ||||||||
United States 11.2% | ||||||||
100,000 | BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR) |
134,556 | ||||||
50,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) |
87,633 | ||||||
15,000,000 | Citigroup, Inc., 2.400%, 10/31/2025, (JPY) |
167,913 | ||||||
150,000 | Frontier Communications Corp., 9.000%, 8/15/2031 |
136,875 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
United States continued | ||||||||
50,000 | Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP) |
$ | 62,042 | |||||
45,000 | HCA, Inc., 8.360%, 4/15/2024 |
42,525 | ||||||
200,000 | HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR) |
266,067 | ||||||
100,000 | JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR) |
133,264 | ||||||
150,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
142,219 | ||||||
130,000 | Morgan Stanley, 5.375%, 11/14/2013, (GBP) |
200,091 | ||||||
140,000 | Nextel Communications, Inc., Series D, 7.375%, 8/01/2015 |
128,100 | ||||||
40,000 | NII Capital Corp., 7.625%, 4/01/2021 |
39,700 | ||||||
75,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A |
72,375 | ||||||
35,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A |
33,950 | ||||||
100,000 | Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR) |
119,156 | ||||||
100,000 | Wells Fargo & Co., 4.625%, 11/02/2035, (GBP) |
147,949 | ||||||
100,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
122,526 | ||||||
2,036,941 | ||||||||
Uruguay 1.1% | ||||||||
4,026,911 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) |
201,304 | ||||||
Total Bonds and Notes (Identified Cost $17,775,545) |
17,549,493 | |||||||
Total Investments 96.7% (Identified Cost $17,775,545)(a) |
17,549,493 | |||||||
Other assets less liabilities 3.3% | 598,577 | |||||||
Net Assets 100.0% | $ | 18,148,070 |
( | ) | Principal amount stated in U.S. dollars unless otherwise noted. | ||
( | ) | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted
equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal,
institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. | ||
( | ) | Amount shown represents units. One unit represents a principal amount of 100. | ||
(a | ) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): | ||
At December 31, 2011, the net unrealized depreciation on investments based on a cost of $17,831,361 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 697,504 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(979,372 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (281,868 | ) | |
|
|
(b | ) | Variable rate security. Rate as of December 31, 2011 is disclosed. | ||
(c | ) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. | ||
(d | ) | All or a portion of interest payment is paid-in-kind. | ||
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,355,752 or 7.5% of net assets. | |||
EMTN | Euro Medium Term Note | |||
GMTN | Global Medium Term Note | |||
CAD | Canadian Dollar | |||
COP | Colombian Peso | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound | |||
IDR | Indonesian Rupiah | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
MXN | Mexican Peso | |||
MYR | Malaysian Ringgit | |||
NOK | Norwegian Krone | |||
PHP | Philippine Peso | |||
SGD | Singapore Dollar | |||
UYU | Uruguayan Peso |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies and to hedge the Funds investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. Certain contracts may require the movement of cash and/or securities as collateral for the Funds or counterpartys net obligations under the contracts. At December 31, 2011, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units | Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell1 | 03/28/2012 | British Pound | 156,000 | $ | 242,070 | $ | (77 | ) | ||||||||||
Buy2 | 03/21/2012 | Canadian Dollar | 720,000 | 705,538 | (663 | ) | ||||||||||||
Buy3 | 03/21/2012 | Euro | 75,000 | 97,135 | (262 | ) | ||||||||||||
Sell3 | 03/21/2012 | Euro | 75,000 | 97,135 | 706 | |||||||||||||
Buy4 | 03/21/2012 | Japanese Yen | 67,000,000 | 871,677 | 8,609 | |||||||||||||
Sell4 | 03/21/2012 | Japanese Yen | 19,000,000 | 247,192 | (3,198 | ) | ||||||||||||
Buy4 | 02/21/2012 | Malaysian Ringgit | 775,000 | 243,764 | (1,334 | ) | ||||||||||||
Sell4 | 02/21/2012 | Malaysian Ringgit | 150,000 | 47,180 | 34 | |||||||||||||
Sell4 | 02/21/2012 | Malaysian Ringgit | 195,000 | 61,334 | (206 | ) | ||||||||||||
Buy1 | 01/31/2012 | New Zealand Dollar | 238,000 | 184,931 | 338 | |||||||||||||
Sell1 | 01/31/2012 | New Zealand Dollar | 238,000 | 184,931 | 9,094 | |||||||||||||
Buy3 | 03/12/2012 | South Korean Won | 226,130,000 | 195,402 | (3,577 | ) | ||||||||||||
Buy1 | 03/12/2012 | South Korean Won | 416,000,000 | 359,471 | (6,549 | ) | ||||||||||||
Sell3 | 03/12/2012 | South Korean Won | 54,000,000 | 46,662 | 51 | |||||||||||||
Buy2 | 03/06/2012 | Swiss Franc | 220,000 | 234,505 | (5,120 | ) | ||||||||||||
Buy3 | 02/02/2012 | Turkish Lira | 425,000 | 222,811 | (13,313 | ) | ||||||||||||
Sell3 | 02/02/2012 | Turkish Lira | 425,000 | 222,811 | 11,966 | |||||||||||||
|
|
|||||||||||||||||
Total | $ | (3,501 | ) | |||||||||||||||
|
|
1Counterparty is Barclays.
2Counterparty is UBS AG.
3Counterparty is Credit Suisse.
4Counterparty is JPMorgan Chase.
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Supranationals |
$ | | $ | 1,177,691 | $ | 104,957 | $ | 1,282,648 | ||||||||
All Other Bonds and Notes* |
| 16,266,845 | | 16,266,845 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 17,444,536 | 104,957 | 17,549,493 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 30,798 | | 30,798 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 17,475,334 | $ | 104,957 | $ | 17,580,291 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (34,299 | ) | $ | | $ (34,299) | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of December 31, 2011 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Supranationals |
$ | 118,679 | $ | 35 | $ | | $ | (13,757 | ) | $ | | $ | | $ | | $ | | $ | 104,957 | $ | (13,756 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts.
The Fund is subject to the risk that changes in foreign currency exchange rates will have an unfavorable effect on the value of Fund assets denominated in foreign currencies. The Fund may enter into forward foreign currency contracts for hedging purposes to protect the value of the Funds holdings of foreign securities. The Fund may also use forward foreign currency contracts to gain exposure to foreign currencies, regardless of whether securities denominated in such currencies are held in the Fund. During the period ended December 31, 2011, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is party to agreements with counterparties that govern transactions in forward foreign currency contracts. These agreements contain credit-risk-related contingent features that allow the counterparties to terminate open contracts early if the net asset value of a Fund declines beyond a certain threshold. If such features were to be triggered, the counterparties could request immediate settlement of open contracts at current fair value. As of December 31, 2011, the fair value of derivative positions (including open trades) subject to credit-risk-related contingent features that are in a net liability position by counterparty, and the value of collateral pledged to counterparties for such contracts is as follows:
Counterparty |
Derivatives | Collateral Pledged | ||||||
Credit Suisse |
$ | (4,429 | ) | $ | | |||
UBS AG |
(5,783 | ) | |
Forward foreign currency contracts are subject to the risk that the counterparty will be unwilling or unable to meet its obligations under the contracts. The Fund has mitigated this risk by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2011, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $30,798 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $6,711.
Counterparty risk is managed through the posting of collateral and, as a result, the risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized. In addition to collateral requirements, the Fund also requires counterparties to meet minimum credit quality requirements.
The following is a summary of derivative instruments for the Fund, as of December 31, 2011:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 30,798 | ||
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (34,299 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Funds investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.
Industry Summary at December 31, 2011 (Unaudited)
Treasuries |
48.5 | % | ||||
Banking |
7.8 | |||||
Supranational |
7.1 | |||||
Wirelines |
4.8 | |||||
Local Authorities |
4.5 | |||||
Government Guaranteed |
3.4 | |||||
Electric |
2.9 | |||||
Media Non-Cable |
2.8 | |||||
Wireless |
2.3 | |||||
Other Investments, less than 2% each |
12.6 | |||||
Total Investments |
96.7 | |||||
Other assets less liabilities (including open forward foreign currency contracts) |
3.3 | |||||
Net Assets |
100.0 | % |
Currency Exposure at December 31, 2011 (Unaudited)
Euro |
34.1 | % | ||
Japanese Yen |
30.0 | |||
British Pound |
11.6 | |||
United States Dollar |
5.5 | |||
Norwegian Krone |
3.2 | |||
Canadian Dollar |
2.4 | |||
Mexican Peso |
2.2 | |||
Singapore Dollar |
2.1 | |||
Other, less than 2% each |
5.6 | |||
|
|
|||
Total Investments |
96.7 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
3.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 93.6% of Net Assets |
|||||||
|
Non-Convertible Bonds 89.3% |
|||||||
ABS Car Loan 0.8% | ||||||||
$5,153,750 | Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.425%, 8/20/2013, 144A(b) |
$ | 5,106,435 | |||||
831,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A |
859,616 | ||||||
4,590,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A |
5,004,018 | ||||||
2,889,250 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A |
2,962,742 | ||||||
18,620,000 | Chesapeake Funding LLC, Series 2009-2A, Class B, 2.028%, 9/15/2021, 144A(b) |
18,757,430 | ||||||
16,736,000 | Chesapeake Funding LLC, Series 2009-2A, Class C, 2.028%, 9/15/2021, 144A(b) |
16,781,376 | ||||||
19,574,000 | Ford Auto Securitization Trust, Series 2010-R3A, Class A3, 2.714%, 9/15/2015, 144A, (CAD) |
19,450,071 | ||||||
5,481,000 | Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD) |
5,468,357 | ||||||
8,333,000 | Merrill Auto Trust Securitization Asset, Series 2008-1, Class B, 6.750%, 4/15/2015 |
8,470,993 | ||||||
|
|
|||||||
82,861,038 | ||||||||
|
|
|||||||
ABS Credit Card 0.8% | ||||||||
28,592,000 | Chase Issuance Trust, Series 2007-B1, Class B1, 0.528%, 4/15/2019(b) |
27,504,020 | ||||||
19,182,000 | GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A |
20,996,387 | ||||||
9,787,000 | MBNA Credit Card Master Note Trust, Series 2002-C1, Class C1, 6.800%, 7/15/2014 |
9,853,707 | ||||||
14,465,000 | MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016 |
15,371,306 | ||||||
2,324,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019 |
2,566,937 | ||||||
|
|
|||||||
76,292,357 | ||||||||
|
|
|||||||
ABS Other 1.7% | ||||||||
1,664,000 | Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029 |
1,600,795 | ||||||
8,529,950 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A |
8,580,666 | ||||||
40,157,712 | Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A |
41,020,994 | ||||||
4,322,432 | Sierra Receivables Funding Co., Series 2009-3A, Class A1, 7.620%, 7/20/2026, 144A |
4,329,916 | ||||||
38,096,779 | SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A |
39,941,216 | ||||||
41,387,817 | Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A |
46,847,921 | ||||||
16,154,975 | Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A |
15,607,674 |
1
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
ABS Other continued | ||||||||
$17,307,700 | Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A |
$ | 17,419,208 | |||||
|
|
|||||||
175,348,390 | ||||||||
|
|
|||||||
Airlines 2.8% | ||||||||
7,867,489 | American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021 |
8,309,956 | ||||||
307,868 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 |
306,713 | ||||||
895,042 | Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019 |
914,017 | ||||||
942,774 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
981,616 | ||||||
8,816,189 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
9,443,902 | ||||||
1,749,519 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,874,084 | ||||||
3,122,083 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
3,129,982 | ||||||
55,725,876 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
58,021,783 | ||||||
11,512,983 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
10,792,846 | ||||||
26,779,093 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
29,457,002 | ||||||
20,051,663 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
21,355,021 | ||||||
1,907,491 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,990,848 | ||||||
14,333,716 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
14,064,242 | ||||||
35,655,632 | Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021 |
38,329,805 | ||||||
2,707,898 | Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018 |
2,816,214 | ||||||
21,186,690 | Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020 |
22,563,825 | ||||||
6,717,300 | Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019 |
6,389,496 | ||||||
7,277,000 | Qantas Airways Ltd., 6.050%, 4/15/2016, 144A |
7,514,347 | ||||||
24,732,136 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
24,732,136 | ||||||
6,185,082 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
6,841,938 | ||||||
17,386,000 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 |
16,516,700 | ||||||
|
|
|||||||
286,346,473 | ||||||||
|
|
|||||||
Automotive 1.2% | ||||||||
40,992,000 | Cummins, Inc., 5.650%, 3/01/2098 |
40,183,761 | ||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 |
6,425,087 |
2
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Automotive continued | ||||||||
$1,948,000 | Ford Motor Co., 6.375%, 2/01/2029 |
$ | 2,001,301 | |||||
125,000 | Ford Motor Co., 6.500%, 8/01/2018 |
131,875 | ||||||
255,000 | Ford Motor Co., 6.625%, 2/15/2028 |
268,215 | ||||||
5,074,000 | Ford Motor Co., 6.625%, 10/01/2028 |
5,342,719 | ||||||
8,544,000 | Ford Motor Co., 7.450%, 7/16/2031 |
10,252,800 | ||||||
240,000 | Ford Motor Co., 7.500%, 8/01/2026 |
255,000 | ||||||
40,126,000 | Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 |
43,679,518 | ||||||
338,000 | Ford Motor Credit Co. LLC, 7.000%, 10/01/2013 |
358,392 | ||||||
5,319,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 |
5,717,925 | ||||||
4,540,000 | Ford Motor Credit Co. LLC, 8.000%, 12/15/2016 |
5,151,125 | ||||||
|
|
|||||||
119,767,718 | ||||||||
|
|
|||||||
Banking 9.9% | ||||||||
22,547,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
29,358,246 | ||||||
7,200,000 | American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017 |
8,141,818 | ||||||
35,878,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
38,986,219 | ||||||
3,590,000 | Bank of America Corp., 5.420%, 3/15/2017 |
3,238,934 | ||||||
9,805,000 | Bank of America Corp., 6.000%, 9/01/2017 |
9,575,837 | ||||||
2,393,000 | Bank of America Corp., 7.625%, 6/01/2019 |
2,474,881 | ||||||
11,100,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
10,110,268 | ||||||
5,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) |
5,026,414 | ||||||
17,249,000 | Bank of America NA, 5.300%, 3/15/2017 |
15,557,063 | ||||||
7,110,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
6,213,603 | ||||||
337,230,000,000 | Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR) |
35,912,066 | ||||||
2,173,000 | Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018 |
2,221,503 | ||||||
370,000 | BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD) |
361,030 | ||||||
8,994,000 | Capital One Financial Corp., 6.150%, 9/01/2016 |
9,358,545 | ||||||
6,473,000 | Citigroup, Inc., 5.000%, 9/15/2014 |
6,406,380 | ||||||
2,700,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) |
1,880,605 |
3
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued | ||||||||
$14,680,000 | Citigroup, Inc., 5.500%, 2/15/2017 |
$ | 14,790,805 | |||||
1,297,000 | Citigroup, Inc., 5.850%, 12/11/2034 |
1,278,586 | ||||||
2,740,000 | Citigroup, Inc., 5.875%, 2/22/2033 |
2,298,167 | ||||||
19,875,000 | Citigroup, Inc., 6.125%, 5/15/2018 |
21,154,095 | ||||||
8,705,000 | Citigroup, Inc., 6.125%, 8/25/2036 |
7,529,912 | ||||||
72,682,000 | Citigroup, Inc., 6.375%, 8/12/2014 |
76,281,285 | ||||||
2,398,000 | Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR) |
2,471,745 | ||||||
63,845,000 | Citigroup, Inc., MTN, 5.500%, 10/15/2014 |
65,635,661 | ||||||
3,546,000 | First Niagara Finance Group, Inc., 6.750%, 3/19/2020 |
3,734,051 | ||||||
1,174,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
1,059,325 | ||||||
98,890,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
92,018,431 | ||||||
6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020 |
6,558,774 | ||||||
1,527,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
934,145 | ||||||
700,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
609,000 | ||||||
67,364,716,380 | JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR) |
7,256,891 | ||||||
12,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) |
1,281,588 | ||||||
16,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
1,790,659 | ||||||
100,000 | Keybank NA, 6.950%, 2/01/2028 |
110,868 | ||||||
9,787,000 | Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD) |
9,082,144 | ||||||
81,622,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
68,298,025 | ||||||
6,479,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 |
5,950,229 | ||||||
4,300,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
4,053,004 | ||||||
93,791,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
72,306,765 | ||||||
24,887,000 | Merrill Lynch & Co., Inc., 6.220%, 9/15/2026 |
20,528,440 | ||||||
9,780,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) |
4,718,938 | ||||||
3,132,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
2,969,524 | ||||||
11,641,000 | Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018 |
11,477,316 |
4
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued | ||||||||
$40,126,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
$ | 30,790,927 | |||||
2,652,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 |
2,567,942 | ||||||
18,273,000 | Morgan Stanley, 4.750%, 4/01/2014 |
18,000,495 | ||||||
110,093,000 | Morgan Stanley, 5.500%, 7/24/2020 |
100,099,858 | ||||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 |
5,503,555 | ||||||
1,510,000 | Morgan Stanley, EMTN, 5.450%, 1/09/2017 |
1,453,774 | ||||||
5,400,000 | Morgan Stanley, GMTN, 5.500%, 1/26/2020 |
4,915,485 | ||||||
24,100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
23,943,106 | ||||||
36,756,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 |
34,038,960 | ||||||
5,187,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 |
5,121,867 | ||||||
9,699,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 |
9,240,586 | ||||||
2,789,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) |
4,134,112 | ||||||
2,875,000 | National City Bank of Indiana, 4.250%, 7/01/2018 |
2,895,585 | ||||||
8,638,000 | National City Corp., 6.875%, 5/15/2019 |
9,707,989 | ||||||
4,600,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) |
4,391,501 | ||||||
16,175,000 | Santander Holdings USA, Inc., 4.625%, 4/19/2016 |
15,532,998 | ||||||
16,392,000 | Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A |
13,927,905 | ||||||
3,300,000 | Standard Chartered Bank, 6.400%, 9/26/2017, 144A |
3,369,016 | ||||||
17,861,000 | Standard Chartered PLC, 5.500%, 11/18/2014, 144A |
18,907,512 | ||||||
|
|
|||||||
999,544,958 | ||||||||
|
|
|||||||
Brokerage 1.5% | ||||||||
59,450,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
56,628,860 | ||||||
44,990,000 | Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c) |
43,386,556 | ||||||
11,813,000 | Jefferies Group, Inc., 6.250%, 1/15/2036 |
9,659,443 | ||||||
44,188,000 | Jefferies Group, Inc., 8.500%, 7/15/2019 |
44,850,820 | ||||||
|
|
|||||||
154,525,679 | ||||||||
|
|
|||||||
Building Materials 1.3% | ||||||||
6,640,000 | Masco Corp., 4.800%, 6/15/2015 |
6,587,863 |
5
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Building Materials continued | ||||||||
$10,942,000 | Masco Corp., 5.850%, 3/15/2017 |
$ | 10,922,501 | |||||
6,616,000 | Masco Corp., 6.125%, 10/03/2016 |
6,789,359 | ||||||
4,808,000 | Masco Corp., 6.500%, 8/15/2032 |
4,300,492 | ||||||
29,341,000 | Masco Corp., 7.125%, 3/15/2020 |
29,611,641 | ||||||
4,923,000 | Masco Corp., 7.750%, 8/01/2029 |
4,778,599 | ||||||
24,394,000 | Owens Corning, Inc., 6.500%, 12/01/2016 |
26,623,172 | ||||||
41,379,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
42,292,069 | ||||||
1,037,000 | USG Corp., 6.300%, 11/15/2016 |
808,860 | ||||||
|
|
|||||||
132,714,556 | ||||||||
|
|
|||||||
Chemicals 0.5% | ||||||||
34,763,000 | Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A |
44,008,984 | ||||||
3,469,000 | Cytec Industries, Inc., 6.000%, 10/01/2015 |
3,791,083 | ||||||
2,349,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 |
2,418,756 | ||||||
|
|
|||||||
50,218,823 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.0% | ||||||||
1,203,876 | GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.767%, 4/25/2035(b) |
945,995 | ||||||
2,553,189 | WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.468%, 7/25/2047(b) |
1,315,464 | ||||||
82,991 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR12, Class 1A1, 2.743%, 9/25/2036(b) |
55,257 | ||||||
|
|
|||||||
2,316,716 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 3.8% | ||||||||
7,927,364 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 |
8,347,689 | ||||||
33,167,701 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 |
35,179,421 | ||||||
12,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 |
12,702,936 | ||||||
62,292,812 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.902%, 6/15/2039(b) |
65,396,240 | ||||||
34,381,273 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.987%, 9/15/2039(b) |
35,921,795 | ||||||
6,711,090 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 |
7,001,928 | ||||||
57,694,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A |
63,656,040 | ||||||
23,544,272 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 |
25,399,066 |
6
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$15,789,051 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP6, Class A4, 5.475%, 4/15/2043 |
$ | 17,368,667 | |||||
59,341,803 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 6.004%, 6/15/2049(b) |
63,064,136 | ||||||
21,524,263 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 |
23,268,826 | ||||||
3,131,798 | LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.067%, 6/15/2038(b) |
3,512,387 | ||||||
1,311,441 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
1,379,379 | ||||||
9,786,870 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.984%, 8/12/2045, 144A(b) |
9,614,230 | ||||||
6,851,000 | Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A |
6,802,166 | ||||||
3,621,142 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048 |
3,968,044 | ||||||
|
|
|||||||
382,582,950 | ||||||||
|
|
|||||||
Construction Machinery 0.3% | ||||||||
23,638,000 | Case New Holland, Inc., 7.750%, 9/01/2013 |
25,115,375 | ||||||
6,787,000 | Toro Co., 6.625%, 5/01/2037(c) |
7,095,327 | ||||||
|
|
|||||||
32,210,702 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.1% | ||||||||
6,955,000 | Western Union Co. (The), 6.200%, 11/17/2036 |
7,400,259 | ||||||
196,000 | Western Union Co. (The), 6.200%, 6/21/2040 |
209,889 | ||||||
|
|
|||||||
7,610,148 | ||||||||
|
|
|||||||
Consumer Products 0.2% | ||||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 8,200,713 | ||||||
11,754,000 | Snap-on, Inc., 6.700%, 3/01/2019 | 14,627,982 | ||||||
|
|
|||||||
22,828,695 | ||||||||
|
|
|||||||
Distributors 0.8% | ||||||||
9,787,000 | EQT Corp., 8.125%, 6/01/2019 |
11,479,848 | ||||||
60,038,000 | Equitable Resources, Inc., 6.500%, 4/01/2018 |
66,942,730 | ||||||
5,740,000 | ONEOK, Inc., 6.000%, 6/15/2035 |
6,143,769 | ||||||
|
|
|||||||
84,566,347 | ||||||||
|
|
|||||||
Diversified Manufacturing 1.3% | ||||||||
1,395,000 | Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018 |
1,689,740 |
7
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Diversified Manufacturing continued | ||||||||
$2,814,000 | Textron Financial Corp., 5.400%, 4/28/2013 |
$ | 2,894,860 | |||||
1,181,000 | Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014 |
1,222,600 | ||||||
18,800,000 | Textron, Inc., 3.875%, 3/11/2013, (EUR) |
24,371,228 | ||||||
78,795,000 | Textron, Inc., 5.950%, 9/21/2021 |
83,108,632 | ||||||
11,040,000 | Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP) |
18,372,368 | ||||||
|
|
|||||||
131,659,428 | ||||||||
|
|
|||||||
Electric 3.0% | ||||||||
35,959,293 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
39,530,051 | ||||||
46,556,000 | Ameren Illinois Co., 6.250%, 4/01/2018 |
53,751,928 | ||||||
39,539,000 | AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018 |
40,764,709 | ||||||
489,000 | Baltimore Gas & Electric Co., 5.200%, 6/15/2033 |
534,771 | ||||||
11,503,547 | Bruce Mansfield Unit, 6.850%, 6/01/2034 |
12,500,955 | ||||||
17,435,000 | Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017 |
19,179,198 | ||||||
18,687,000 | Cleveland Electric Illuminating Co. (The), 5.950%, 12/15/2036 |
19,915,297 | ||||||
876,000 | Commonwealth Edison Co., 4.700%, 4/15/2015 |
958,370 | ||||||
12,185,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
9,294,718 | ||||||
3,300,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
2,775,904 | ||||||
1,000,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) |
1,083,148 | ||||||
900,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) |
1,001,802 | ||||||
979,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 |
1,069,578 | ||||||
4,491,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 |
5,593,127 | ||||||
19,600,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
15,774,982 | ||||||
3,603,000 | Exelon Corp., 4.900%, 6/15/2015 |
3,882,157 | ||||||
1,864,000 | ITC Holdings Corp., 5.875%, 9/30/2016, 144A |
2,122,132 | ||||||
7,932,880 | Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c) |
8,034,976 | ||||||
1,532,000 | Ohio Edison Co., 6.875%, 7/15/2036 |
1,857,679 | ||||||
50,026,000 | Southwestern Electric Power Co., 6.450%, 1/15/2019 |
58,395,800 | ||||||
1,075,000 | White Pine Hydro LLC, 6.310%, 7/10/2017(c) |
1,156,044 |
8
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Electric continued | ||||||||
$1,600,000 | White Pine Hydro LLC, 6.960%, 7/10/2037(c) |
$ | 1,722,496 | |||||
|
|
|||||||
300,899,822 | ||||||||
|
|
|||||||
Entertainment 0.1% | ||||||||
494,000 | Time Warner, Inc., 7.625%, 4/15/2031 |
637,695 | ||||||
323,000 | Time Warner, Inc., 7.700%, 5/01/2032 |
421,414 | ||||||
3,616,000 | Viacom, Inc., 6.125%, 10/05/2017 |
4,180,255 | ||||||
|
|
|||||||
5,239,364 | ||||||||
|
|
|||||||
Financial Other 0.9% | ||||||||
58,115,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
54,754,791 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
33,069,904 | ||||||
|
|
|||||||
87,824,695 | ||||||||
|
|
|||||||
Food & Beverage 0.1% | ||||||||
2,450,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) |
4,294,009 | ||||||
8,446,000 | Corn Products International, Inc., 6.625%, 4/15/2037 |
10,041,694 | ||||||
|
|
|||||||
14,335,703 | ||||||||
|
|
|||||||
Government Guaranteed 0.6% | ||||||||
12,910,000 | Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD) |
11,531,244 | ||||||
13,005,000 | Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD) |
12,905,930 | ||||||
11,311,000 | Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD) |
10,772,919 | ||||||
31,142,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
27,725,290 | ||||||
|
|
|||||||
62,935,383 | ||||||||
|
|
|||||||
Government Owned No Guarantee 1.4% | ||||||||
3,720,000 | Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A |
3,654,900 | ||||||
36,975,000 | Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A |
42,336,375 | ||||||
58,060,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
52,544,300 | ||||||
26,030,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
2,777,969 | ||||||
27,800,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) |
3,043,207 | ||||||
22,478,000 | Federal Home Loan Mortgage Corp., 1.625%, 4/15/2013 |
22,855,720 | ||||||
15,170,000 | Korea Gas Corp., 6.000%, 7/15/2014, 144A |
16,289,698 |
9
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Government Owned No Guarantee continued | ||||||||
$1,000,000 | Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A |
$ | 1,325,133 | |||||
|
|
|||||||
144,827,302 | ||||||||
|
|
|||||||
Government Sponsored 0.7% | ||||||||
66,200,000 | Federal Home Loan Bank, 1.875%, 6/21/2013 |
67,679,835 | ||||||
|
|
|||||||
Health Insurance 0.0% | ||||||||
1,569,000 | CIGNA Corp., 7.875%, 5/15/2027 |
1,876,593 | ||||||
1,174,000 | CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d) |
1,430,660 | ||||||
|
|
|||||||
3,307,253 | ||||||||
|
|
|||||||
Healthcare 1.3% | ||||||||
42,555,000 | Aristotle Holding, Inc., 4.750%, 11/15/2021, 144A |
44,034,680 | ||||||
7,692,000 | Boston Scientific Corp., 6.000%, 1/15/2020 |
8,586,880 | ||||||
7,374,000 | Covidien International Finance S.A., 6.000%, 10/15/2017 |
8,738,197 | ||||||
17,416,000 | Express Scripts, Inc., 6.250%, 6/15/2014 |
18,982,325 | ||||||
9,459,000 | Express Scripts, Inc., 7.250%, 6/15/2019 |
11,271,997 | ||||||
9,278,000 | HCA, Inc., 5.750%, 3/15/2014 |
9,463,560 | ||||||
1,908,000 | HCA, Inc., 6.250%, 2/15/2013 |
1,946,160 | ||||||
3,729,000 | HCA, Inc., 6.375%, 1/15/2015 |
3,798,919 | ||||||
3,929,000 | HCA, Inc., 6.500%, 2/15/2016 |
3,987,935 | ||||||
357,000 | HCA, Inc., 6.750%, 7/15/2013 |
368,603 | ||||||
2,936,000 | HCA, Inc., 7.050%, 12/01/2027 |
2,462,570 | ||||||
2,241,000 | HCA, Inc., 7.190%, 11/15/2015 |
2,241,000 | ||||||
2,109,000 | HCA, Inc., 7.500%, 12/15/2023 |
1,887,555 | ||||||
1,282,000 | HCA, Inc., 7.500%, 11/06/2033 |
1,108,930 | ||||||
3,807,000 | HCA, Inc., 7.690%, 6/15/2025 |
3,369,195 | ||||||
4,164,000 | HCA, Inc., 8.360%, 4/15/2024 |
3,934,980 | ||||||
1,199,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
1,061,115 | ||||||
3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
2,672,995 | ||||||
2,256,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(c) |
2,449,754 | ||||||
|
|
|||||||
132,367,350 | ||||||||
|
|
10
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Home Construction 0.1% | ||||||||
$2,006,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 |
$ | 1,955,850 | |||||
2,546,000 | Pulte Group, Inc., 5.200%, 2/15/2015 |
2,380,510 | ||||||
9,200,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
6,106,500 | ||||||
3,567,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
2,470,148 | ||||||
|
|
|||||||
12,913,008 | ||||||||
|
|
|||||||
Independent Energy 0.1% | ||||||||
11,930,000 | Anadarko Petroleum Corp., 6.375%, 9/15/2017 |
13,828,469 | ||||||
|
|
|||||||
Industrial Other 0.1% | ||||||||
4,893,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
5,349,478 | ||||||
|
|
|||||||
Life Insurance 1.0% | ||||||||
5,500,000 | American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP) |
6,770,847 | ||||||
6,910,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
6,758,084 | ||||||
2,036,000 | American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017 |
1,945,683 | ||||||
9,777,000 | ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR) |
12,670,843 | ||||||
5,050,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
4,769,653 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
15,167,355 | ||||||
10,971,000 | MetLife, Inc., 6.400%, 12/15/2066 |
10,381,331 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A |
9,666,378 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
6,639,370 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
3,209,385 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A |
17,765,209 | ||||||
4,732,000 | Unum Group, 7.125%, 9/30/2016 |
5,399,718 | ||||||
|
|
|||||||
101,143,856 | ||||||||
|
|
|||||||
Local Authorities 2.5% | ||||||||
7,448,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
6,302,845 | ||||||
99,450,000 | New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD) |
104,269,578 | ||||||
47,456,000 | New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD) |
48,833,606 | ||||||
30,476,000 | New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD) |
31,341,833 |
11
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Local Authorities continued | ||||||||
17,930,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) |
$ | 19,461,712 | |||||
18,615 | Province of Alberta, 5.930%, 9/16/2016, (CAD) |
20,487 | ||||||
489,000 | Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) |
672,951 | ||||||
29,791,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) |
25,602,501 | ||||||
19,163,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) |
20,377,058 | ||||||
|
|
|||||||
256,882,571 | ||||||||
|
|
|||||||
Lodging 1.0% | ||||||||
52,516,000 | Choice Hotels International, Inc., 5.700%, 8/28/2020 |
54,607,450 | ||||||
4,522,000 | Wyndham Worldwide Corp., 5.750%, 2/01/2018 |
4,787,084 | ||||||
13,286,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 |
14,327,623 | ||||||
23,518,000 | Wyndham Worldwide Corp., 7.375%, 3/01/2020 |
26,842,857 | ||||||
|
|
|||||||
100,565,014 | ||||||||
|
|
|||||||
Media Cable 1.2% | ||||||||
2,923,000 | Comcast Corp., 6.950%, 8/15/2037 |
3,718,956 | ||||||
17,832,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
19,177,167 | ||||||
4,101,000 | Time Warner Cable, Inc., 5.850%, 5/01/2017 |
4,670,334 | ||||||
78,178,000 | Time Warner Cable, Inc., 6.750%, 7/01/2018 |
92,853,183 | ||||||
|
|
|||||||
120,419,640 | ||||||||
|
|
|||||||
Media Non-Cable 0.1% | ||||||||
7,536,000 | News America, Inc., 6.150%, 3/01/2037 |
8,237,699 | ||||||
4,482,000 | News America, Inc., 8.150%, 10/17/2036 |
5,638,401 | ||||||
|
|
|||||||
13,876,100 | ||||||||
|
|
|||||||
Metals & Mining 1.7% | ||||||||
20,000,000 | Alcoa, Inc., 5.400%, 4/15/2021 |
20,037,300 | ||||||
15,060,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
15,169,667 | ||||||
6,000,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
5,932,482 | ||||||
5,505,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
5,220,991 | ||||||
28,838,000 | Alcoa, Inc., 6.150%, 8/15/2020 |
29,961,990 | ||||||
5,804,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
5,968,004 |
12
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Metals & Mining continued | ||||||||
$430,000 | ArcelorMittal, 5.500%, 3/01/2021 |
$ | 394,701 | |||||
7,080,000 | ArcelorMittal, 6.125%, 6/01/2018 |
6,991,939 | ||||||
30,735,000 | ArcelorMittal, 6.750%, 3/01/2041 |
27,637,834 | ||||||
9,915,000 | ArcelorMittal, 7.000%, 10/15/2039 |
9,214,148 | ||||||
3,181,000 | Rio Tinto Alcan, Inc., 5.750%, 6/01/2035 |
3,760,896 | ||||||
1,943,000 | United States Steel Corp., 6.050%, 6/01/2017 |
1,855,565 | ||||||
4,612,000 | United States Steel Corp., 6.650%, 6/01/2037 |
3,597,360 | ||||||
31,210,000 | United States Steel Corp., 7.000%, 2/01/2018 |
30,897,900 | ||||||
3,655,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 |
4,161,404 | ||||||
|
|
|||||||
170,802,181 | ||||||||
|
|
|||||||
Mortgage Related 0.0% | ||||||||
87,853 | FHLMC, 5.000%, 12/01/2031 |
94,713 | ||||||
14,060 | FNMA, 6.000%, 7/01/2029 |
15,673 | ||||||
|
|
|||||||
110,386 | ||||||||
|
|
|||||||
Non-Captive Consumer 1.5% | ||||||||
62,425() | SLM Corp., 6.000%, 12/15/2043 |
1,184,670 | ||||||
6,342,000 | SLM Corp., MTN, 5.050%, 11/14/2014 |
6,255,115 | ||||||
347,000 | SLM Corp., MTN, 5.125%, 8/27/2012 |
348,770 | ||||||
641,000 | SLM Corp., MTN, 8.000%, 3/25/2020 |
647,410 | ||||||
4,796,000 | SLM Corp., Series A, MTN, 0.718%, 1/27/2014(b) |
4,335,517 | ||||||
9,224,000 | SLM Corp., Series A, MTN, 5.000%, 10/01/2013 |
9,224,000 | ||||||
6,547,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 |
6,299,883 | ||||||
1,957,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
1,696,541 | ||||||
6,141,000 | SLM Corp., Series A, MTN, 5.375%, 1/15/2013 |
6,183,367 | ||||||
5,368,000 | SLM Corp., Series A, MTN, 5.375%, 5/15/2014 |
5,371,763 | ||||||
19,496,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
14,542,456 | ||||||
30,667,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
31,587,010 | ||||||
4,893,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
3,559,657 |
13
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Non-Captive Consumer continued | ||||||||
$87,676,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
$ | 63,126,720 | |||||
|
|
|||||||
154,362,879 | ||||||||
|
|
|||||||
Non-Captive Diversified 3.5% | ||||||||
1,282,000 | Ally Financial, Inc., 6.625%, 5/15/2012 |
1,290,011 | ||||||
1,634,000 | Ally Financial, Inc., 6.750%, 12/01/2014 |
1,648,260 | ||||||
391,000 | Ally Financial, Inc., 6.875%, 8/28/2012 |
394,972 | ||||||
1,184,000 | Ally Financial, Inc., 7.000%, 2/01/2012 |
1,185,877 | ||||||
3,075,000 | Ally Financial, Inc., 7.500%, 12/31/2013 |
3,159,563 | ||||||
5,543,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
5,445,997 | ||||||
2,285,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
2,159,325 | ||||||
6,756,571 | CIT Group, Inc., 7.000%, 5/01/2015 |
6,770,084 | ||||||
10,302,540 | CIT Group, Inc., 7.000%, 5/01/2016 |
10,302,540 | ||||||
15,765,347 | CIT Group, Inc., 7.000%, 5/01/2017 |
15,765,347 | ||||||
15,688,000 | GATX Corp., 4.750%, 10/01/2012 |
16,004,756 | ||||||
3,500,000 | General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD) |
3,753,518 | ||||||
7,355,000 | General Electric Capital Australia Funding Pty Ltd., EMTN, 8.000%, 2/13/2012, (AUD) |
7,541,999 | ||||||
7,570,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD) |
7,845,915 | ||||||
3,100,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD) |
3,225,087 | ||||||
1,874,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD) |
1,879,522 | ||||||
969,000 | General Electric Capital Corp., 5.625%, 5/01/2018 |
1,085,282 | ||||||
4,673,000 | General Electric Capital Corp., MTN, 5.875%, 1/14/2038 |
4,951,450 | ||||||
14,225,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
11,833,610 | ||||||
6,000,000 | General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD) |
4,649,890 | ||||||
13,100,000 | General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD) |
10,124,698 | ||||||
36,850,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
31,314,212 | ||||||
10,247,000 | General Electric Capital Corp., Series A, MTN, 0.703%, 5/13/2024(b) |
8,029,139 | ||||||
16,696,000 | General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015 |
18,114,225 | ||||||
26,931,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
22,105,529 |
14
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Non-Captive Diversified continued | ||||||||
$73,590,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
$ | 67,981,706 | |||||
13,899,000 | International Lease Finance Corp., 6.375%, 3/25/2013 |
13,829,505 | ||||||
60,419,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
62,533,665 | ||||||
548,000 | International Lease Finance Corp., 8.625%, 9/15/2015 |
561,700 | ||||||
1,473,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
1,439,858 | ||||||
1,625,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 |
1,551,875 | ||||||
|
|
|||||||
348,479,117 | ||||||||
|
|
|||||||
Oil Field Services 0.6% | ||||||||
5,965,000 | Nabors Industries, Inc., 6.150%, 2/15/2018 |
6,663,436 | ||||||
22,583,000 | Nabors Industries, Inc., 9.250%, 1/15/2019 |
28,407,043 | ||||||
23,338,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 |
27,359,091 | ||||||
587,000 | Transocean Ltd., 7.375%, 4/15/2018 |
631,723 | ||||||
|
|
|||||||
63,061,293 | ||||||||
|
|
|||||||
Paper 1.2% | ||||||||
4,365,000 | Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019 |
5,166,689 | ||||||
23,225,000 | Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A |
25,725,125 | ||||||
715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
862,626 | ||||||
2,672,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
3,295,415 | ||||||
644,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
810,511 | ||||||
545,000 | Georgia-Pacific LLC, 8.000%, 1/15/2024 |
698,747 | ||||||
1,336,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,836,417 | ||||||
6,161,000 | International Paper Co., 5.250%, 4/01/2016 |
6,694,124 | ||||||
7,611,000 | International Paper Co., 8.700%, 6/15/2038 |
10,325,920 | ||||||
5,270,000 | Mead Corp. (The), 7.550%, 3/01/2047 |
5,133,897 | ||||||
5,764,000 | Westvaco Corp., 8.200%, 1/15/2030 |
6,553,409 | ||||||
24,007,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 |
23,634,699 | ||||||
7,374,000 | Weyerhaeuser Co., 7.375%, 10/01/2019 |
8,308,050 | ||||||
20,254,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
21,259,246 | ||||||
|
|
|||||||
120,304,875 | ||||||||
|
|
15
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Pharmaceuticals 0.6% | ||||||||
$56,052,000 | Roche Holdings, Inc., 5.000%, 3/01/2014, 144A |
$ | 60,637,222 | |||||
489,000 | Schering-Plough Corp., 5.300%, 12/01/2013 |
531,553 | ||||||
|
|
|||||||
61,168,775 | ||||||||
|
|
|||||||
Pipelines 3.9% | ||||||||
5,236,000 | CenterPoint Energy Resources Corp., 6.250%, 2/01/2037 |
6,280,634 | ||||||
1,967,000 | DCP Midstream LP, 6.450%, 11/03/2036, 144A |
2,243,304 | ||||||
528,000 | Energy Transfer Partners LP, 6.125%, 2/15/2017 |
579,706 | ||||||
1,571,000 | Energy Transfer Partners LP, 6.625%, 10/15/2036 |
1,651,905 | ||||||
9,257,000 | Enterprise Products Operating LLC, 4.050%, 2/15/2022 |
9,431,624 | ||||||
3,328,000 | Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A |
4,155,084 | ||||||
14,300,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
15,254,611 | ||||||
14,675,000 | Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020 |
15,981,721 | ||||||
66,165,000 | Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018 |
75,589,807 | ||||||
303,000 | Kinder Morgan Finance Co., 5.700%, 1/05/2016 |
309,817 | ||||||
29,082,463 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) |
30,972,823 | ||||||
8,886,000 | NGPL PipeCo LLC, 6.514%, 12/15/2012, 144A |
8,976,140 | ||||||
30,760,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
30,365,657 | ||||||
13,790,000 | NiSource Finance Corp., 6.125%, 3/01/2022 |
15,875,917 | ||||||
24,110,000 | NiSource Finance Corp., 6.400%, 3/15/2018 |
27,722,932 | ||||||
21,614,000 | NiSource Finance Corp., 6.800%, 1/15/2019 |
25,315,311 | ||||||
9,899,000 | Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017 |
11,263,409 | ||||||
47,594,000 | Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018 |
54,550,958 | ||||||
1,404,000 | Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019 |
1,719,260 | ||||||
2,085,000 | Plains All American Pipeline LP, 6.125%, 1/15/2017 |
2,357,176 | ||||||
15,683,000 | Plains All American Pipeline LP, 6.500%, 5/01/2018 |
18,240,960 | ||||||
4,497,000 | Plains All American Pipeline LP, 6.650%, 1/15/2037 |
5,358,432 | ||||||
4,125,000 | Southern Natural Gas Co., 5.900%, 4/01/2017, 144A |
4,714,347 |
16
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Pipelines continued | ||||||||
$19,574,000 | Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A |
$ | 23,618,967 | |||||
|
|
|||||||
392,530,502 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.9% | ||||||||
3,083,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 |
3,533,164 | ||||||
9,038,000 | Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A |
8,811,029 | ||||||
30,349,000 | Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033 |
33,344,507 | ||||||
944,000 | MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A |
528,640 | ||||||
14,575,000 | Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A |
13,362,608 | ||||||
7,609,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A |
7,980,692 | ||||||
13,521,000 | Willis North America, Inc., 7.000%, 9/29/2019 |
15,051,131 | ||||||
2,212,000 | XL Group PLC, 6.250%, 5/15/2027 |
2,241,493 | ||||||
1,463,000 | XL Group PLC, 6.375%, 11/15/2024 |
1,537,987 | ||||||
|
|
|||||||
86,391,251 | ||||||||
|
|
|||||||
Property Trust 0.4% | ||||||||
36,192,000 | WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A |
40,366,602 | ||||||
|
|
|||||||
Railroads 0.1% | ||||||||
9,787,000 | Canadian Pacific Railway Co., 7.250%, 5/15/2019 |
11,475,502 | ||||||
238,000 | Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c) |
221,340 | ||||||
1,701,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) |
1,224,720 | ||||||
191,000 | Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c) |
177,630 | ||||||
|
|
|||||||
13,099,192 | ||||||||
|
|
|||||||
Real Estate Operations/Development 0.1% | ||||||||
10,276,000 | First Industrial LP, 5.950%, 5/15/2017 |
9,565,702 | ||||||
|
|
|||||||
REITs Apartments 0.4% | ||||||||
12,243,000 | Camden Property Trust, 5.000%, 6/15/2015 |
13,003,168 | ||||||
16,491,000 | Camden Property Trust, 5.700%, 5/15/2017 |
18,057,232 | ||||||
988,000 | ERP Operating LP, 5.125%, 3/15/2016 |
1,058,566 |
17
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
REITs Apartments continued | ||||||||
$1,762,000 | ERP Operating LP, 5.375%, 8/01/2016 |
$ | 1,916,968 | |||||
1,508,000 | ERP Operating LP, 5.750%, 6/15/2017 |
1,671,977 | ||||||
|
|
|||||||
35,707,911 | ||||||||
|
|
|||||||
REITs Diversified 0.2% | ||||||||
4,140,000 | Duke Realty LP, 5.950%, 2/15/2017 |
4,451,017 | ||||||
19,574,000 | Duke Realty LP, 6.500%, 1/15/2018 |
21,629,642 | ||||||
|
|
|||||||
26,080,659 | ||||||||
|
|
|||||||
REITs Healthcare 0.1% | ||||||||
5,972,000 | Health Care REIT, Inc., 6.500%, 3/15/2041 |
5,983,711 | ||||||
|
|
|||||||
REITs Office Property 0.3% | ||||||||
20,817,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
22,017,954 | ||||||
11,306,000 | Highwoods Properties, Inc., 7.500%, 4/15/2018 |
12,732,489 | ||||||
|
|
|||||||
34,750,443 | ||||||||
|
|
|||||||
REITs Regional Malls 0.2% | ||||||||
2,427,000 | Simon Property Group LP, 5.250%, 12/01/2016 |
2,689,871 | ||||||
12,209,000 | Simon Property Group LP, 5.750%, 12/01/2015 |
13,659,038 | ||||||
1,889,000 | Simon Property Group LP, 5.875%, 3/01/2017 |
2,157,533 | ||||||
4,066,000 | Simon Property Group LP, 6.100%, 5/01/2016 |
4,621,582 | ||||||
|
|
|||||||
23,128,024 | ||||||||
|
|
|||||||
REITs Shopping Centers 0.1% | ||||||||
4,893,000 | Equity One, Inc., 6.000%, 9/15/2017 |
5,098,604 | ||||||
1,918,000 | Federal Realty Investment Trust, 5.650%, 6/01/2016 |
2,071,369 | ||||||
|
|
|||||||
7,169,973 | ||||||||
|
|
|||||||
REITs Single Tenant 0.4% | ||||||||
5,862,000 | Realty Income Corp., 5.750%, 1/15/2021 |
6,378,694 | ||||||
25,529,000 | Realty Income Corp., 6.750%, 8/15/2019 |
29,102,192 | ||||||
|
|
|||||||
35,480,886 | ||||||||
|
|
|||||||
REITs Warehouse/Industrials 0.6% | ||||||||
3,873,000 | ProLogis LP, 5.625%, 11/15/2015 |
4,119,148 | ||||||
11,179,000 | ProLogis LP, 5.625%, 11/15/2016 |
11,803,157 |
18
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
REITs Warehouse/Industrials continued | ||||||||
$10,889,000 | ProLogis LP, 5.750%, 4/01/2016 |
$ | 11,521,259 | |||||
9,698,000 | ProLogis LP, 6.625%, 5/15/2018 |
10,532,387 | ||||||
18,869,000 | ProLogis LP, 7.375%, 10/30/2019 |
21,317,989 | ||||||
|
|
|||||||
59,293,940 | ||||||||
|
|
|||||||
Restaurants 0.1% | ||||||||
10,320,000 | Darden Restaurants, Inc., 6.000%, 8/15/2035 |
10,564,068 | ||||||
|
|
|||||||
Retailers 0.6% | ||||||||
7,996,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
8,035,980 | ||||||
8,139,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
6,806,239 | ||||||
12,000 | J.C. Penney Corp., Inc., 7.125%, 11/15/2023 |
12,000 | ||||||
8,656,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
7,747,120 | ||||||
13,425,000 | Macys Retail Holdings, Inc., 6.375%, 3/15/2037 |
15,595,849 | ||||||
10,467,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
11,158,932 | ||||||
2,691,000 | Macys Retail Holdings, Inc., 6.900%, 4/01/2029 |
2,959,669 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
8,026,430 | ||||||
|
|
|||||||
60,342,219 | ||||||||
|
|
|||||||
Sovereigns 0.8% | ||||||||
24,178,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
14,777,065 | ||||||
6,035,000 | Republic of Brazil, 12.500%, 1/05/2022, (BRL) |
4,141,429 | ||||||
52,555,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A |
49,927,250 | ||||||
1,018,562,437 | Republic of Iceland, 4.250%, 8/24/2012, (ISK) |
4,916,033 | ||||||
776,294,507 | Republic of Iceland, 7.250%, 5/17/2013, (ISK) |
3,900,133 | ||||||
|
|
|||||||
77,661,910 | ||||||||
|
|
|||||||
Supermarkets 0.2% | ||||||||
4,130,000 | American Stores Co., Series B, MTN, 7.100%, 3/20/2028 |
3,123,312 | ||||||
3,269,000 | Kroger Co. (The), 6.400%, 8/15/2017 |
3,887,903 | ||||||
1,860,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
1,450,800 | ||||||
979,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
697,538 |
19
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Supermarkets continued | ||||||||
$ 10,863,000 | Safeway, Inc., 6.350%, 8/15/2017 |
$ | 12,316,763 | |||||
|
|
|||||||
21,476,316 | ||||||||
|
|
|||||||
Supranational 1.5% | ||||||||
11,745,000 | European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL) |
6,344,221 | ||||||
192,350,850,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) |
18,992,194 | ||||||
28,082,000 | European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD) |
21,892,356 | ||||||
9,640,000 | European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD) |
9,492,083 | ||||||
329,210,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR) |
32,962,753 | ||||||
410,030,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR) |
40,118,954 | ||||||
12,982,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
11,097,140 | ||||||
15,070,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) |
11,786,249 | ||||||
|
|
|||||||
152,685,950 | ||||||||
|
|
|||||||
Technology 3.3% | ||||||||
8,705,000 | Agilent Technologies, Inc., 6.500%, 11/01/2017 |
10,080,782 | ||||||
4,600,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
3,300,500 | ||||||
1,028,000 | Arrow Electronics, Inc., 6.875%, 6/01/2018 |
1,161,157 | ||||||
3,059,000 | Avnet, Inc., 5.875%, 3/15/2014 |
3,243,699 | ||||||
6,097,000 | Avnet, Inc., 6.000%, 9/01/2015 |
6,574,944 | ||||||
1,507,000 | Avnet, Inc., 6.625%, 9/15/2016 |
1,685,848 | ||||||
12,444,000 | BMC Software, Inc., 7.250%, 6/01/2018(c) |
14,350,309 | ||||||
13,457,000 | Corning, Inc., 6.750%, 9/15/2013 |
14,532,658 | ||||||
1,448,000 | Corning, Inc., 6.850%, 3/01/2029 |
1,756,960 | ||||||
57,571,000 | Corning, Inc., 7.000%, 5/15/2024 |
74,134,234 | ||||||
7,487,000 | Corning, Inc., 7.250%, 8/15/2036 |
9,032,002 | ||||||
55,237,000 | Dun & Bradstreet Corp. (The), 6.000%, 4/01/2013 |
58,246,036 | ||||||
7,051,000 | Equifax, Inc., 7.000%, 7/01/2037 |
7,875,473 | ||||||
323,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 |
339,958 | ||||||
70,969,000 | Ingram Micro, Inc., 5.250%, 9/01/2017 |
73,104,315 |
20
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
| |||||
Non-Convertible Bonds continued |
| |||||
Technology continued | ||||||
$7,795,000 |
Intuit, Inc., 5.750%, 3/15/2017 |
$ | 8,744,135 | |||
19,078,000 |
KLA-Tencor Corp., 6.900%, 5/01/2018 |
21,999,853 | ||||
1,502,000 |
Motorola Solutions, Inc., 6.625%, 11/15/2037 |
1,551,260 | ||||
2,256,000 |
Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
2,716,797 | ||||
5,603,000 |
Tyco Electronics Group S.A., 6.550%, 10/01/2017 |
6,472,574 | ||||
561,000 |
Xerox Corp., 6.350%, 5/15/2018 |
631,944 | ||||
7,110,000 |
Xerox Corp., 6.750%, 2/01/2017 |
8,144,391 | ||||
|
|
|||||
329,679,829 | ||||||
|
|
|||||
Textile 0.2% | ||||||
3,755,000 |
Phillips-Van Heusen Corp., 7.750%, 11/15/2023 |
4,224,375 | ||||
14,903,000 |
VF Corp., 6.450%, 11/01/2037 |
19,411,873 | ||||
|
|
|||||
23,636,248 | ||||||
|
|
|||||
Tobacco 0.1% | ||||||
8,128,000 |
Reynolds American, Inc., 6.750%, 6/15/2017 |
9,238,513 | ||||
1,992,000 |
Reynolds American, Inc., 7.250%, 6/15/2037 |
2,310,660 | ||||
|
|
|||||
11,549,173 | ||||||
|
|
|||||
Transportation Services 0.7% | ||||||
8,436,000 |
Erac USA Finance Co., 6.375%, 10/15/2017, 144A |
9,748,245 | ||||
2,824,000 |
Erac USA Finance Co., 6.700%, 6/01/2034, 144A |
3,192,580 | ||||
51,504,000 |
Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
61,963,123 | ||||
|
|
|||||
74,903,948 | ||||||
|
|
|||||
Treasuries 18.4% | ||||||
93,805,000 |
Canadian Government, 1.750%, 3/01/2013, (CAD) |
92,895,264 | ||||
360,010,000 |
Canadian Government, 2.000%, 9/01/2012, (CAD) |
355,886,008 | ||||
106,195,000 |
Canadian Government, 3.500%, 6/01/2013, (CAD) |
107,933,732 | ||||
194,485,000 |
Canadian Government, 3.750%, 6/01/2019, (CAD) |
218,409,280 | ||||
4,159,000 |
Canadian Government, 4.000%, 6/01/2016, (CAD) |
4,563,775 | ||||
183,949,000 |
Canadian Government, 4.250%, 6/01/2018, (CAD) |
210,639,887 | ||||
2,992,573 |
Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR) |
702,090 |
21
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Treasuries continued | ||||||||
1,420,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) |
$ | 364,443 | |||||
979,000 | Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR) |
278,160 | ||||||
47,042,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) |
13,333,015 | ||||||
85,198,516 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
87,164,819 | ||||||
24,638,126 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
24,628,623 | ||||||
5,049,296 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) |
5,291,629 | ||||||
63,183,488 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
64,379,205 | ||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) |
1,152,599 | ||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) |
1,207,735 | ||||||
1,120,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) |
1,240,302 | ||||||
4,111,400() | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
33,010,729 | ||||||
12,263,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) |
10,938,588 | ||||||
328,483,000 | New Zealand Government Bond, 6.500%, 4/15/2013, (NZD) |
268,708,308 | ||||||
726,401,000 | Norwegian Government, 4.250%, 5/19/2017, (NOK) |
135,482,468 | ||||||
118,387,000 | Norwegian Government, 5.000%, 5/15/2015, (NOK) |
21,992,624 | ||||||
994,369,000 | Norwegian Government, 6.500%, 5/15/2013, (NOK) |
177,690,765 | ||||||
18,301,446 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
11,836,221 | ||||||
4,599,829 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) |
3,137,244 | ||||||
927,108,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
4,664,379 | ||||||
|
|
|||||||
1,857,531,892 | ||||||||
|
|
|||||||
Wireless 0.8% | ||||||||
5,200,000 | Brasil Telecom S.A., 9.750%, 9/15/2016, 144A, (BRL) |
2,732,074 | ||||||
31,416,000 | Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018 |
42,402,175 | ||||||
15,375,000 | Nextel Communications, Inc., Series C, 5.950%, 3/15/2014 |
14,836,875 | ||||||
8,549,000 | Nextel Communications, Inc., Series D, 7.375%, 8/01/2015 |
7,822,335 | ||||||
279,000 | Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 |
277,605 | ||||||
6,373,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
4,548,729 | ||||||
2,594,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
2,133,565 |
22
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Wireless continued | ||||||||
$ 612,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
$ | 494,955 | |||||
91,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
75,530 | ||||||
1,619,000 | Vodafone Group PLC, 5.000%, 9/15/2015 |
1,807,283 | ||||||
|
|
|||||||
77,131,126 | ||||||||
|
|
|||||||
Wirelines 4.6% | ||||||||
406,000 | Bell Canada, MTN, 7.300%, 2/23/2032, (CAD) |
494,884 | ||||||
1,874,000 | BellSouth Corp., 6.000%, 11/15/2034 |
2,126,377 | ||||||
2,936,000 | BellSouth Telecommunications, Inc., 5.850%, 11/15/2045 |
3,109,761 | ||||||
6,665,000 | BellSouth Telecommunications, Inc., 7.000%, 12/01/2095 |
8,367,468 | ||||||
62,040,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
62,154,278 | ||||||
4,990,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
4,651,673 | ||||||
2,708,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,657,266 | ||||||
131,306,000 | Deutsche Telekom International Finance BV, 6.000%, 7/08/2019 |
150,739,288 | ||||||
24,103,000 | Embarq Corp., 7.995%, 6/01/2036 |
24,975,239 | ||||||
3,279,000 | GTE Corp., 6.940%, 4/15/2028 |
4,123,418 | ||||||
1,440,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 |
1,465,200 | ||||||
354,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 |
361,965 | ||||||
200,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
208,750 | ||||||
7,750,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
5,978,143 | ||||||
18,800,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
16,842,547 | ||||||
100,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) |
105,805 | ||||||
300,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) |
283,560 | ||||||
1,698,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,675,990 | ||||||
2,755,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
2,586,860 | ||||||
4,370,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
4,501,100 | ||||||
949,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
942,713 | ||||||
333,000 | Qwest Corp., 6.500%, 6/01/2017 |
363,802 | ||||||
14,480,000 | Qwest Corp., 6.875%, 9/15/2033 |
14,382,839 |
23
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Wirelines continued | ||||||||
$4,668,000 | Qwest Corp., 7.200%, 11/10/2026 |
$ | 4,657,273 | |||||
9,077,000 | Qwest Corp., 7.250%, 9/15/2025 |
9,935,493 | ||||||
9,474,000 | Qwest Corp., 7.250%, 10/15/2035 |
9,446,952 | ||||||
1,566,000 | Qwest Corp., 7.500%, 6/15/2023 |
1,566,468 | ||||||
27,331,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
20,251,533 | ||||||
9,713,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
7,356,092 | ||||||
3,125,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
3,047,094 | ||||||
1,700,000 | Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP) |
2,404,867 | ||||||
2,700,000 | Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP) |
3,669,214 | ||||||
14,137,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
15,213,702 | ||||||
54,665,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
58,978,639 | ||||||
3,598,000 | Verizon Communications, Inc., 6.100%, 4/15/2018 |
4,322,511 | ||||||
4,163,000 | Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033 |
4,351,967 | ||||||
2,642,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
3,208,463 | ||||||
5,260,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
5,628,526 | ||||||
|
|
|||||||
467,137,720 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $8,247,635,903) |
9,037,928,522 | |||||||
|
|
|||||||
|
Convertible Bonds 3.6% |
| ||||||
Automotive 0.5% | ||||||||
34,827,000 | Ford Motor Co., 4.250%, 11/15/2016 |
49,933,211 | ||||||
|
|
|||||||
Life Insurance 0.6% | ||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
64,074,056 | ||||||
|
|
|||||||
Media Non-Cable 0.0% | ||||||||
515,099 | Liberty Media LLC, 3.500%, 1/15/2031 |
291,675 | ||||||
|
|
|||||||
REITs Warehouse/Industrials 0.3% | ||||||||
27,359,000 | ProLogis LP, 3.250%, 3/15/2015 |
28,213,969 | ||||||
|
|
|||||||
Technology 2.2% | ||||||||
35,120,000 | Intel Corp., 2.950%, 12/15/2035 |
36,568,700 |
24
Principal |
Description |
Value () | ||||
Bonds and Notes continued |
| |||||
Convertible Bonds continued |
| |||||
Technology continued | ||||||
$137,016,000 |
Intel Corp., 3.250%, 8/01/2039 |
$ | 171,612,540 | |||
7,890,000 |
Lam Research Corp., 1.250%, 5/15/2018, 144A |
7,396,875 | ||||
880,000 |
Micron Technology, Inc., 1.875%, 6/01/2014 |
840,400 | ||||
|
|
|||||
216,418,515 | ||||||
|
|
|||||
Wirelines 0.0% | ||||||
2,926,000 |
Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) |
3,171,052 | ||||
|
|
|||||
Total Convertible Bonds (Identified Cost $318,310,220) |
362,102,478 | |||||
|
|
|||||
Municipals 0.7% |
| |||||
California 0.2% | ||||||
1,275,000 |
San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028 |
958,647 | ||||
470,000 |
San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028 |
419,978 | ||||
1,585,000 |
State of California, (AMBAC insured), 4.500%, 8/01/2027 |
1,645,341 | ||||
4,420,000 |
State of California, 4.500%, 10/01/2029 |
4,518,124 | ||||
1,285,000 |
State of California, (AMBAC insured), 4.500%, 8/01/2030 |
1,311,240 | ||||
1,450,000 |
State of California, 4.500%, 8/01/2030 |
1,479,609 | ||||
820,000 |
State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027 |
740,017 | ||||
3,880,000 |
State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033 |
3,912,126 | ||||
|
|
|||||
14,985,082 | ||||||
|
|
|||||
District of Columbia 0.2% | ||||||
14,680,000 |
Metropolitan Washington Airports Authority, 7.462%, 10/01/2046 |
15,989,016 | ||||
|
|
|||||
Illinois 0.2% | ||||||
530,000 |
Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 |
515,738 | ||||
24,640,000 |
State of Illinois, 5.100%, 6/01/2033 |
22,364,249 | ||||
|
|
|||||
22,879,987 | ||||||
|
|
|||||
Michigan 0.0% | ||||||
2,490,000 |
Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) |
1,824,249 | ||||
|
|
|||||
Ohio 0.0% | ||||||
6,430,000 |
Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c) |
4,606,966 | ||||
|
|
25
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Municipals continued |
| ||||||
Virginia 0.1% | ||||||||
$14,240,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c) |
$ | 8,934,461 | |||||
|
|
|||||||
Total Municipals (Identified Cost $70,118,511) |
69,219,761 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $8,636,064,634) |
9,469,250,761 | |||||||
|
|
|||||||
|
Senior Loans 0.2% |
| ||||||
Aerospace & Defense 0.2% | ||||||||
16,200,000 | AWAS Finance Luxembourg S.A.R.L., Term Loan B, 5.250%, 6/10/2016 (b) (Identified Cost $16,200,000) |
16,051,446 | ||||||
|
|
|||||||
|
Short-Term Investments 4.6% |
| ||||||
464,705,381 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $464,705,381 on 1/03/2012 collateralized by $65,800,000 Federal Home Loan Bank, 0.255% due 7/20/2012 valued at $65,882,250; $259,000,000 Federal Home Loan Bank Discount Note, due 6/20/2012 valued at $258,870,500; $71,325,000 Federal Home Loan Mortgage Corp. Discount Note, due 6/18/2012 valued at $71,289,338; $53,000,000 Federal National Mortgage Association Discount Note, due 6/20/2012 valued at $52,973,500; $25,000,000 U.S. Treasury Bill due 6/28/2012 valued at $24,987,500 including accrued interest(e) (Identified Cost $464,705,381) |
464,705,381 | ||||||
|
|
|||||||
Total Investments 98.4% (Identified Cost $9,116,970,015)(a) |
9,950,007,588 | |||||||
Other assets less liabilities 1.6% | 165,191,029 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 10,115,198,617 | ||||||
|
|
() | Principal amount stated in U.S. dollars unless otherwise noted. |
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Senior loans are priced at bid prices supplied by a pricing service, if available.
Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Amount shown represents units. One unit represents a principal amount of 25. |
26
() | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $9,151,597,338 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 999,120,298 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(200,710,048 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 798,410,250 | ||
|
|
(b) | Variable rate security. Rate as of December 31, 2011 is disclosed. |
(c) | Illiquid security. At December 31, 2011, the value of these securities amounted to $131,209,308 or 1.3% of net assets. |
(d) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(e) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,564,846,452 or 15.5% of net assets. |
ABS | Asset-Backed Securities |
AGMC | Assured Guaranty Municipal Corp. |
AMBAC | American Municipal Bond Assurance Corp. |
EMTN | Euro Medium Term Note |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GMTN | Global Medium Term Note |
MBIA | Municipal Bond Investors Assurance Corp. |
MTN | Medium Term Note |
REITs | Real Estate Investment Trusts |
REMIC | Real Estate Mortgage Investment Conduit |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
ISK | Icelandic Krona |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
SGD | Singapore Dollar |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
27
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Car Loan |
$ | | $ | 77,392,681 | $ | 5,468,357 | $ | 82,861,038 | ||||||||
Non-Captive Consumer |
1,184,670 | 153,178,209 | | 154,362,879 | ||||||||||||
Treasuries |
| 1,843,556,274 | 13,975,618 | 1,857,531,892 | ||||||||||||
All Other Non-Convertible Bonds* |
| 6,943,172,713 | | 6,943,172,713 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
1,184,670 | 9,017,299,877 | 19,443,975 | 9,037,928,522 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 362,102,478 | | 362,102,478 | ||||||||||||
Municipals* |
| 69,219,761 | | 69,219,761 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
1,184,670 | 9,448,622,116 | 19,443,975 | 9,469,250,761 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 16,051,446 | | 16,051,446 | ||||||||||||
Short-Term Investments |
| 464,705,381 | | 464,705,381 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,184,670 | $ | 9,929,378,943 | $ | 19,443,975 | $ | 9,950,007,588 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:
Asset Valuation Inputs
Investments in |
Balance as of September 30, 2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of December 31, 2011 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 5,230,461 | $ | | $ | | $ | 237,896 | $ | | $ | | $ | | $ | | $ | 5,468,357 | $ | 237,896 | ||||||||||||||||||||
Treasuries |
538,615 | 275,192 | | (7,290,966 | ) | | | 20,452,777 | | 13,975,618 | (7,290,966 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 5,769,076 | $ | 275,192 | $ | | $ | (7,053,070 | ) | $ | | $ | | $ | 20,452,777 | $ | | $ | 19,443,975 | $ | (7,053,070 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $20,452,777 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2011 (Unaudited) |
||||
Treasuries |
18.4 | % | ||
Banking |
9.9 | |||
Technology |
5.5 | |||
Wirelines |
4.6 | |||
Pipelines |
3.9 | |||
Commercial Mortgage-Backed Securities |
3.8 | |||
Non-Captive Diversified |
3.5 | |||
Electric |
3.0 | |||
Airlines |
2.8 | |||
Local Authorities |
2.5 | |||
Other Investments, less than 2% each |
35.9 | |||
Short-Term Investments |
4.6 | |||
|
|
|||
Total Investments |
98.4 | |||
Other assets less liabilities |
1.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
28
Currency Exposure at December 31, 2011 (Unaudited)
United States Dollar |
70.7 | % | ||
Canadian Dollar |
11.2 | |||
New Zealand Dollar |
4.3 | |||
Norwegian Krone |
3.3 | |||
Australian Dollar |
3.1 | |||
Euro |
2.9 | |||
Other, less than 2% each |
2.9 | |||
|
|
|||
Total Investments |
98.4 | |||
Other assets less liabilities |
1.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
29
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal |
Description |
Value () | ||||||
|
Bonds and Notes 98.0% of Net Assets |
|||||||
ABS Car Loan 0.7% | ||||||||
$1,380,000 | Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016 |
$ | 1,394,830 | |||||
413,350 | ARI Fleet Lease Trust, Series 2010-A, Class A, 1.728%, 8/15/2018, 144A(b) |
413,346 | ||||||
2,000,000 | World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015 |
2,005,978 | ||||||
|
|
|||||||
3,814,154 | ||||||||
|
|
|||||||
ABS Credit Card 0.6% | ||||||||
985,000 | American Express Credit Account Master, Series 2004-2, Class A, 0.448%, 12/15/2016(b) |
985,700 | ||||||
2,100,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019 |
2,240,869 | ||||||
|
|
|||||||
3,226,569 | ||||||||
|
|
|||||||
ABS Home Equity 0.2% | ||||||||
545,405 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 4.615%, 2/25/2035 |
514,074 | ||||||
390,580 | Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028(b) |
372,351 | ||||||
|
|
|||||||
886,425 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 15.0% | ||||||||
1,700,735 | Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.678%, 11/15/2032(b) |
1,699,728 | ||||||
3,825,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019 |
4,247,937 | ||||||
222,376 | Federal Home Loan Mortgage Corp., REMIC, Series 2901, Class UA, 5.000%, 1/15/2030 |
224,849 | ||||||
6,280,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020(c) |
6,805,617 | ||||||
7,205,037 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.317%, 6/15/2048(b) |
7,253,006 | ||||||
10,450,584 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.965%, 8/25/2038(b) |
10,671,520 | ||||||
1,816,116 | FHLMC, 3.044%, 12/01/2034(b) |
1,931,418 | ||||||
2,772,032 | FHLMC, 5.056%, 3/01/2038(b) |
2,944,402 | ||||||
3,936,091 | FHLMC, 5.339%, 11/01/2038(b) |
4,223,277 | ||||||
6,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020 |
6,643,979 | ||||||
4,305,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 |
4,701,779 | ||||||
3,535,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018 |
3,634,567 | ||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 |
710,610 | ||||||
7,395,353 | FNMA, 3.521%, 7/01/2037(b) |
7,859,122 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Collateralized Mortgage Obligations continued | ||||||||
$1,030,114 | FNMA, 3.685%, 9/01/2036(b) |
$ | 1,089,414 | |||||
1,152,601 | NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.646%, 12/07/2020(b) |
1,155,955 | ||||||
1,280,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 |
1,351,440 | ||||||
2,094,253 | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.745%, 10/07/2020(b) |
2,096,536 | ||||||
6,707,760 | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.855%, 12/08/2020(b) |
6,732,914 | ||||||
|
|
|||||||
75,978,070 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 15.3% | ||||||||
1,780,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.807%, 4/10/2049(b) |
1,902,405 | ||||||
1,500,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051 |
1,619,153 | ||||||
4,645,000 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 |
4,891,287 | ||||||
360,000 | Citigroup Commercial Mortgage Trust, Series 2006-C5, Class A4, 5.431%, 10/15/2049 |
399,864 | ||||||
1,500,000 | Citigroup Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.885%, 12/10/2049(b) |
1,653,755 | ||||||
1,470,000 | Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.276%, 12/10/2049(b) |
1,632,716 | ||||||
3,200,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 |
3,394,620 | ||||||
2,625,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 |
2,778,767 | ||||||
5,270,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 |
5,498,386 | ||||||
1,500,000 | Greenwich Capital Commercial Funding Corp., Series 2006-GG7, Class A4, 6.079%, 7/10/2038(b) |
1,666,373 | ||||||
7,778,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 |
8,390,743 | ||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 |
5,411,930 | ||||||
1,140,000 | GS Mortgage Securities Corp. II, Series 2006-GG8, Class A4, 5.560%, 11/10/2039 |
1,251,609 | ||||||
6,075,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class A4, 5.984%, 8/10/2045(b) |
6,597,365 | ||||||
295,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043 |
319,077 | ||||||
2,785,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047 |
2,984,996 | ||||||
5,000,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 |
5,405,255 | ||||||
2,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040 |
2,133,318 | ||||||
1,173,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 |
1,213,417 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$5,364,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
$ | 5,641,877 | |||||
5,000,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049 |
5,321,625 | ||||||
1,500,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.075%, 6/11/2049(b) |
1,648,991 | ||||||
4,410,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 |
4,782,768 | ||||||
580,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 |
611,399 | ||||||
|
|
|||||||
77,151,696 | ||||||||
|
|
|||||||
Government Guaranteed 0.5% | ||||||||
2,340,000 | US Central Federal Credit Union, (FDIC insured), 1.900%, 10/19/2012 |
2,372,645 | ||||||
|
|
|||||||
Government Owned - No Guarantee 10.1% | ||||||||
6,435,000 | Federal Home Loan Mortgage Corp., 1.750%, 6/15/2012(c) |
6,482,580 | ||||||
11,920,000 | Federal Home Loan Mortgage Corp., 2.125%, 3/23/2012(c) |
11,973,342 | ||||||
5,400,000 | Federal Home Loan Mortgage Corp., MTN, 0.191%, 2/02/2012(b) |
5,400,194 | ||||||
17,970,000 | Federal National Mortgage Association, 3.625%, 2/12/2013 |
18,635,807 | ||||||
8,265,000 | Federal National Mortgage Association, 4.750%, 11/19/2012 |
8,593,369 | ||||||
|
|
|||||||
51,085,292 | ||||||||
|
|
|||||||
Hybrid ARMs 21.6% | ||||||||
3,497,039 | FHLMC, 2.403%, 4/01/2036(b) |
3,682,434 | ||||||
8,151,483 | FHLMC, 2.473%, 5/01/2037(b) |
8,594,668 | ||||||
8,598,755 | FHLMC, 2.477%, 2/01/2036(b)(c) |
9,053,315 | ||||||
2,896,516 | FHLMC, 2.492%, 4/01/2035(b) |
3,052,307 | ||||||
5,622,579 | FHLMC, 2.529%, 9/01/2035(b) |
5,953,130 | ||||||
5,056,644 | FHLMC, 3.328%, 11/01/2036(b) |
5,339,688 | ||||||
1,247,953 | FHLMC, 5.273%, 12/01/2037(b) |
1,344,177 | ||||||
5,350,952 | FHLMC, 5.477%, 4/01/2037(b) |
5,644,612 | ||||||
1,591,920 | FHLMC, 5.677%, 9/01/2038(b) |
1,707,201 | ||||||
1,545,613 | FHLMC, 5.692%, 4/01/2037(b) |
1,639,452 | ||||||
3,229,711 | FHLMC, 5.923%, 6/01/2037(b) |
3,449,919 | ||||||
4,255,573 | FNMA, 1.988%, 7/01/2035(b) |
4,473,197 | ||||||
1,078,241 | FNMA, 2.310%, 12/01/2034(b) |
1,128,459 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Hybrid ARMs continued | ||||||||
$5,405,662 | FNMA, 2.347%, 8/01/2035(b) |
$ | 5,683,857 | |||||
1,652,052 | FNMA, 2.372%, 9/01/2034(b) |
1,729,323 | ||||||
4,011,809 | FNMA, 2.391%, 6/01/2036(b) |
4,240,861 | ||||||
2,117,911 | FNMA, 2.433%, 8/01/2034(b) |
2,238,040 | ||||||
1,026,265 | FNMA, 2.445%, 4/01/2033(b) |
1,077,629 | ||||||
3,360,857 | FNMA, 2.537%, 6/01/2033(b) |
3,539,859 | ||||||
888,341 | FNMA, 2.568%, 8/01/2033(b) |
939,193 | ||||||
5,310,223 | FNMA, 3.223%, 6/01/2035(b) |
5,624,077 | ||||||
903,680 | FNMA, 3.227%, 8/01/2036(b) |
957,235 | ||||||
2,497,550 | FNMA, 3.271%, 1/01/2036(b) |
2,641,501 | ||||||
6,975,717 | FNMA, 5.435%, 6/01/2037(b) |
7,416,465 | ||||||
3,117,375 | FNMA, 5.508%, 2/01/2047(b) |
3,289,769 | ||||||
13,013,858 | FNMA, 5.786%, 9/01/2037(b) |
14,033,443 | ||||||
524,935 | FNMA, 5.918%, 2/01/2037(b) |
557,433 | ||||||
|
|
|||||||
109,031,244 | ||||||||
|
|
|||||||
Mortgage Related 17.7% | ||||||||
6,308,968 | FHLMC, 4.000%, with various maturities from 2024 to 2025(d) |
6,623,257 | ||||||
4,760,800 | FHLMC, 4.500%, with various maturities from 2025 to 2034(d) |
5,049,191 | ||||||
1,497,179 | FHLMC, 5.500%, 10/01/2023 |
1,620,834 | ||||||
1,969,604 | FHLMC, 6.000%, with various maturities from 2019 to 2021(d) |
2,146,007 | ||||||
3,447,796 | FHLMC, 6.500%, with various maturities from 2014 to 2034(d) |
3,862,054 | ||||||
104,482 | FHLMC, 7.000%, 2/01/2016 |
112,621 | ||||||
4,944 | FHLMC, 7.500%, with various maturities from 2012 to 2026(d) |
5,312 | ||||||
6,382 | FHLMC, 8.000%, 9/01/2015 |
6,904 | ||||||
3,228 | FHLMC, 10.000%, 7/01/2019 |
3,826 | ||||||
84,773 | FHLMC, 11.500%, with various maturities from 2015 to 2020(d) |
100,122 | ||||||
19,045,000 | FNMA, 3.000%, with various maturities from 2026 to 2027(d) |
19,701,246 | ||||||
5,329,017 | FNMA, 4.000%, with various maturities from 2018 to 2019(d) |
5,668,595 | ||||||
6,615,959 | FNMA, 4.500%, with various maturities from 2019 to 2025(d) |
7,056,633 |
Principal |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Mortgage Related continued | ||||||||
$11,150,159 | FNMA, 5.000%, with various maturities from 2037 to 2038(d) |
$ | 12,058,245 | |||||
2,620,409 | FNMA, 5.500%, with various maturities from 2017 to 2033(d) |
2,861,934 | ||||||
8,667,068 | FNMA, 6.000%, with various maturities from 2017 to 2022(d) |
9,393,443 | ||||||
2,306,758 | FNMA, 6.500%, with various maturities from 2017 to 2037(d) |
2,590,477 | ||||||
98,805 | FNMA, 7.000%, 12/01/2022 |
109,324 | ||||||
267,915 | FNMA, 7.500%, with various maturities from 2015 to 2032(d) |
315,680 | ||||||
27,519 | FNMA, 8.000%, with various maturities from 2015 to 2016(d) |
29,750 | ||||||
9,195,000 | FNMA (TBA), 3.000%, 1/01/2027(e) |
9,495,274 | ||||||
56,318 | GNMA, 6.000%, 12/15/2031 |
64,261 | ||||||
209,622 | GNMA, 6.500%, 5/15/2031 |
243,023 | ||||||
246,516 | GNMA, 7.000%, 10/15/2028 |
287,223 | ||||||
1,207 | GNMA, 12.500%, 6/15/2014 |
1,214 | ||||||
533 | GNMA, 16.000%, with various maturities in 2012(d) |
532 | ||||||
|
|
|||||||
89,406,982 | ||||||||
|
|
|||||||
Treasuries 16.3% | ||||||||
10,060,000 | U.S. Treasury Note, 0.625%, 7/15/2014 |
10,137,804 | ||||||
35,660,000 | U.S. Treasury Note, 1.375%, 9/15/2012 |
35,973,416 | ||||||
35,445,000 | U.S. Treasury Note, 1.750%, 4/15/2013 |
36,148,370 | ||||||
|
|
|||||||
82,259,590 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $484,429,008) |
495,212,667 | |||||||
|
|
|||||||
|
Short-Term Investments 3.8% |
|||||||
19,232,380 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $19,232,380 on 1/03/2012 collateralized by $19,110,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $19,621,154 including accrued interest(f) (Identified Cost $19,232,380) | 19,232,380 | ||||||
|
|
|||||||
Total Investments 101.8% (Identified Cost $503,661,388)(a) |
514,445,047 | |||||||
Other assets less liabilities (1.8)% | (9,257,362 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 505,187,685 | ||||||
|
|
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. |
Investments in other open-end investment companies are valued at their net asset value each day. |
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. |
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $505,347,978 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 10,442,433 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,345,364 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 9,097,069 | ||
|
|
(b) | Variable rate security. Rate as of December 31, 2011 is disclosed. |
(c) | All or a portion of this security has been designated to cover the Funds obligations under open TBA transactions. |
(d) | The Funds investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(e) | Delayed delivery. The Fund may purchase securities, including those designated as TBAs in the Portfolio of Investments, for which delivery or payment will occur at a later date, beyond the normal settlement period. The price of the security and the date when the security will be delivered and paid for are fixed at the time the transaction is negotiated. The security and the obligation to pay for it are recorded by the Fund at the time the commitment is entered into. The actual security that will be delivered to fulfill a TBA trade is not designated at the time of the trade. The security is to be announced 48 hours prior to the established trade settlement date. The value of the security may vary with market fluctuations during the time before the Fund takes delivery of the security. When the Fund enters into such a transaction, collateral consisting of liquid securities or cash and cash equivalents is required to be segregated or earmarked at the custodian in an amount at least equal to the amount of the Funds commitment. No interest accrues to the Fund until the transaction settles. |
Purchases of delayed delivery securities may have a similar effect on the Funds net asset value as if the Fund had created a degree of leverage in the portfolio. Risks may arise upon entering into such transactions from the potential inability of counterparties to meet their obligations under the transactions. Additionally, losses may arise due to changes in the value of the underlying securities. |
(f) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $413,346 or 0.1% of net assets. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages | |
FDIC | Federal Deposit Insurance Corporation | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GNMA | Government National Mortgage Association | |
MTN | Medium Term Note | |
REMIC | Real Estate Mortgage Investment Conduit | |
TBA | To Be Announced |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
$ | | $ | 495,212,667 | $ | | $ | 495,212,667 | ||||||||
Short-Term Investments |
| 19,232,380 | | 19,232,380 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 514,445,047 | $ | | $ | 514,445,047 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Industry Summary at December 31, 2011 (Unaudited)
Hybrid ARMs |
21.6 | % | ||
Mortgage Related |
17.7 | |||
Treasuries |
16.3 | |||
Commercial Mortgage-Backed Securities |
15.3 | |||
Collateralized Mortgage Obligations |
15.0 | |||
Government Owned No Guarantee |
10.1 | |||
Other Investments, less than 2% each |
2.0 | |||
Short-Term Investments |
3.8 | |||
|
|
|||
Total Investments |
101.8 | |||
Other assets less liabilities |
(1.8 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Mid Cap Growth Fund
Shares |
Description |
Value () | ||||
Common Stocks 98.8% of Net Assets |
| |||||
Aerospace & Defense 1.9% | ||||||
19,521 | TransDigm Group, Inc.(b) | $ | 1,867,769 | |||
|
|
|||||
Biotechnology 5.2% | ||||||
38,267 | Alexion Pharmaceuticals, Inc.(b) | 2,736,090 | ||||
48,830 | ARIAD Pharmaceuticals, Inc.(b) | 598,168 | ||||
15,993 | BioMarin Pharmaceutical, Inc.(b) | 549,839 | ||||
46,288 | Inhibitex, Inc.(b) | 506,391 | ||||
11,084 | Regeneron Pharmaceuticals, Inc.(b) | 614,386 | ||||
|
|
|||||
5,004,874 | ||||||
|
|
|||||
Capital Markets 2.4% | ||||||
24,425 | Affiliated Managers Group, Inc.(b) | 2,343,579 | ||||
|
|
|||||
Commercial Services & Supplies 1.8% | ||||||
22,736 | Stericycle, Inc.(b) | 1,771,589 | ||||
|
|
|||||
Communications Equipment 2.6% | ||||||
23,819 | F5 Networks, Inc.(b) | 2,527,672 | ||||
|
|
|||||
Electrical Equipment 2.6% | ||||||
33,740 | Rockwell Automation, Inc. | 2,475,504 | ||||
|
|
|||||
Energy Equipment & Services 3.8% | ||||||
47,233 | Noble Corp.(b) | 1,427,381 | ||||
48,988 | Oceaneering International, Inc. | 2,259,817 | ||||
|
|
|||||
3,687,198 | ||||||
|
|
|||||
Food & Staples Retailing 2.1% | ||||||
28,679 | Whole Foods Market, Inc. | 1,995,485 | ||||
|
|
|||||
Food Products 3.1% | ||||||
25,297 | J.M. Smucker Co. (The) | 1,977,466 | ||||
16,297 | TreeHouse Foods, Inc.(b) | 1,065,498 | ||||
|
|
|||||
3,042,964 | ||||||
|
|
|||||
Health Care Equipment & Supplies 2.6% | ||||||
5,349 | Intuitive Surgical, Inc.(b) | 2,476,641 | ||||
|
|
|||||
Health Care Providers & Services 2.2% | ||||||
24,659 | Humana, Inc. | 2,160,375 | ||||
|
|
|||||
Hotels, Restaurants & Leisure 6.9% | ||||||
5,275 | Chipotle Mexican Grill, Inc.(b) | 1,781,578 | ||||
11,617 | Panera Bread Co., Class A(b) | 1,643,225 | ||||
38,144 | Starwood Hotels & Resorts Worldwide, Inc. | 1,829,768 | ||||
13,238 | Wynn Resorts Ltd. | 1,462,666 | ||||
|
|
|||||
6,717,237 | ||||||
|
|
|||||
Internet Software & Services 3.8% | ||||||
12,181 | MercadoLibre, Inc. | 968,877 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Internet Software & Services continued | ||||||
63,019 | Rackspace Hosting, Inc.(b) | $ | 2,710,447 | |||
|
|
|||||
3,679,324 | ||||||
|
|
|||||
Life Sciences Tools & Services 1.8% | ||||||
11,835 | Mettler-Toledo International, Inc.(b) | 1,748,148 | ||||
|
|
|||||
Machinery 5.4% | ||||||
17,596 | Cummins, Inc. | 1,548,800 | ||||
27,100 | Joy Global, Inc. | 2,031,687 | ||||
41,270 | Timken Co. (The) | 1,597,562 | ||||
|
|
|||||
5,178,049 | ||||||
|
|
|||||
Metals & Mining 3.7% | ||||||
24,049 | Cliffs Natural Resources, Inc. | 1,499,455 | ||||
154,710 | Steel Dynamics, Inc. | 2,034,437 | ||||
|
|
|||||
3,533,892 | ||||||
|
|
|||||
Multiline Retail 5.0% | ||||||
40,807 | Dollar General Corp.(b) | 1,678,800 | ||||
38,539 | Dollar Tree, Inc.(b) | 3,202,976 | ||||
|
|
|||||
4,881,776 | ||||||
|
|
|||||
Oil, Gas & Consumable Fuels 7.6% | ||||||
20,537 | Cabot Oil & Gas Corp. | 1,558,758 | ||||
27,443 | Concho Resources, Inc.(b) | 2,572,781 | ||||
36,484 | Rosetta Resources, Inc.(b) | 1,587,054 | ||||
22,083 | SM Energy Co. | 1,614,268 | ||||
|
|
|||||
7,332,861 | ||||||
|
|
|||||
Pharmaceuticals 2.4% | ||||||
23,825 | Perrigo Co. | 2,318,173 | ||||
|
|
|||||
Professional Services 2.1% | ||||||
51,323 | Verisk Analytics, Inc., Class A(b) | 2,059,592 | ||||
|
|
|||||
Real Estate Management & Development 2.2% | ||||||
140,378 | CBRE Group, Inc., Class A(b) | 2,136,553 | ||||
|
|
|||||
REITs Apartments 1.8% | ||||||
13,016 | AvalonBay Communities, Inc. | 1,699,890 | ||||
|
|
|||||
Road & Rail 3.3% | ||||||
47,135 | Kansas City Southern(b) | 3,205,651 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 5.4% | ||||||
81,321 | ARM Holdings PLC, Sponsored ADR | 2,250,152 | ||||
42,990 | Ceva, Inc.(b) | 1,300,877 | ||||
63,546 | Maxim Integrated Products, Inc. | 1,654,738 | ||||
|
|
|||||
5,205,767 | ||||||
|
|
|||||
Software 4.7% | ||||||
48,215 | Fortinet, Inc.(b) | 1,051,569 | ||||
66,476 | Nuance Communications, Inc.(b) | 1,672,536 | ||||
31,509 | QLIK Technologies, Inc.(b) | 762,518 |
Shares |
Description |
Value () | ||||
Common Stocks continued |
||||||
Software continued | ||||||
33,766 | Sourcefire, Inc.(b) | $ | 1,093,343 | |||
|
|
|||||
4,579,966 | ||||||
|
|
|||||
Specialty Retail 9.6% | ||||||
26,529 | OReilly Automotive, Inc.(b) | 2,120,994 | ||||
45,728 | PetSmart, Inc. | 2,345,389 | ||||
33,685 | Ross Stores, Inc. | 1,601,048 | ||||
25,054 | Tiffany & Co. | 1,660,078 | ||||
24,546 | Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 1,593,526 | ||||
|
|
|||||
9,321,035 | ||||||
|
|
|||||
Textiles, Apparel & Luxury Goods 2.8% | ||||||
15,844 | Fossil, Inc.(b) | 1,257,380 | ||||
20,270 | Under Armour, Inc., Class A(b) | 1,455,183 | ||||
|
|
|||||
2,712,563 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $91,103,349) |
95,664,127 | |||||
|
|
|||||
Principal |
||||||
Short-Term Investments 6.6% |
||||||
$6,396,603 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $6,396,603 on 1/03/2012 collateralized by $6,510,000 Federal National Mortgage Association, 1.070% due 09/21/2015 valued at $6,526,275, including accrued interest(c) (Identified Cost $6,396,603) | 6,396,603 | ||||
|
|
|||||
Total Investments 105.4% (Identified Cost $97,499,952)(a) |
102,060,730 | |||||
Other assets less liabilities (5.4)% | (5,267,340 | ) | ||||
|
|
|||||
Net Assets 100.0% | $ | 96,793,390 | ||||
|
|
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security.
Domestic exchange-traded single equity option contracts are valued at the mean of the National Best Bid and Offer quotations. Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $97,499,952 for federal income tax purposes was as follows: |
||||
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 6,843,076 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(2,282,298 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 4,560,778 | ||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $44,592,514 of which $26,022,721 expires on September 30, 2017 and $18,569,793 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
(b) | Non-income producing security. |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
$ | 95,664,127 | $ | | $ | | $ | 95,664,127 | ||||||||
Short-Term Investments |
| 6,396,603 | | 6,396,603 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 95,664,127 | $ | 6,396,603 | $ | | $ | 102,060,730 | ||||||||
|
|
|
|
|
|
|
|
* Details of the major categories of the Funds investments are reflected within the Portfolio of Investments.
Industry Summary at December 31, 2011 (Unaudited)
Specialty Retail |
9.6 | % | ||
Oil, Gas & Consumable Fuels |
7.6 | |||
Hotels, Restaurants & Leisure |
6.9 | |||
Semiconductors & Semiconductor Equipment |
5.4 | |||
Machinery |
5.4 | |||
Biotechnology |
5.2 | |||
Multiline Retail |
5.0 | |||
Software |
4.7 | |||
Energy Equipment & Services |
3.8 | |||
Internet Software & Services |
3.8 | |||
Metals & Mining |
3.7 | |||
Road & Rail |
3.3 | |||
Food Products |
3.1 | |||
Textiles, Apparel & Luxury Goods |
2.8 | |||
Communications Equipment |
2.6 | |||
Health Care Equipment & Supplies |
2.6 | |||
Electrical Equipment |
2.6 | |||
Capital Markets |
2.4 | |||
Pharmaceuticals |
2.4 | |||
Health Care Providers & Services |
2.2 | |||
Real Estate Management & Development |
2.2 | |||
Professional Services |
2.1 | |||
Food & Staples Retailing |
2.1 | |||
Other Investments, less than 2% each |
7.3 | |||
Short-Term Investments |
6.6 | |||
|
|
|||
Total Investments |
105.4 | |||
Other assets less liabilities |
(5.4 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Software 8.2% | ||||||||
263,537 | Allot Communications Ltd.(b) | $ | 4,005,762 | |||||
212,459 | Ariba, Inc.(b) | 5,965,849 | ||||||
83,214 | CommVault Systems, Inc.(b) | 3,554,902 | ||||||
71,508 | Imperva, Inc.(b) | 2,489,193 | ||||||
145,993 | QLIK Technologies, Inc.(b) | 3,533,031 | ||||||
151,962 | RealPage, Inc.(b) | 3,840,080 | ||||||
175,718 | Sourcefire, Inc.(b) | 5,689,749 | ||||||
54,381 | SuccessFactors, Inc.(b) | 2,168,170 | ||||||
77,904 | Ultimate Software Group, Inc.(The)(b) | 5,073,109 | ||||||
|
|
|||||||
36,319,845 | ||||||||
|
|
|||||||
Specialty Retail 5.4% | ||||||||
250,563 | Asbury Automotive Group, Inc.(b) | 5,402,138 | ||||||
85,864 | DSW, Inc., Class A | 3,796,048 | ||||||
91,006 | Hibbett Sports, Inc.(b) | 4,111,651 | ||||||
217,105 | Lumber Liquidators Holdings, Inc.(b) | 3,834,074 | ||||||
47,440 | Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 3,079,805 | ||||||
87,815 | Vitamin Shoppe, Inc.(b) | 3,502,062 | ||||||
|
|
|||||||
23,725,778 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 3.2% | ||||||||
46,628 | Deckers Outdoor Corp.(b) | 3,523,678 | ||||||
49,369 | Oxford Industries, Inc. | 2,227,529 | ||||||
64,338 | PVH Corp. | 4,535,186 | ||||||
108,862 | True Religion Apparel, Inc.(b) | 3,764,448 | ||||||
|
|
|||||||
14,050,841 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $372,205,579) |
408,238,547 | |||||||
|
|
|||||||
Principal |
||||||||
|
Short-Term Investments 3.4% |
| ||||||
$15,138,114 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $15,138,114 on 1/03/2012 collateralized by $15,405,000
Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $15,443,513 including accrued interest(c) (Identified Cost $15,138,114) |
15,138,114 | ||||||
|
|
94
Total Investments 96.1% (Identified Cost $387,343,693)(a) | 423,376,661 | |||||
Other assets less liabilities 3.9% | 17,206,719 | |||||
|
|
|||||
Net Assets 100.0% | $ | 440,583,380 | ||||
|
|
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. | |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): | |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $387,343,829 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 43,460,833 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(7,428,001 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 36,032,832 | ||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $26,874,285 of which $14,995,800 expires on September 30, 2017 and $11,878,485 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. | ||
(b) | Non-income producing security. | |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
95
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
$ | 408,238,547 | $ | | $ | | $ | 408,238,547 | ||||||||
Short-Term Investments |
| 15,138,114 | | 15,138,114 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 408,238,547 | $ | 15,138,114 | $ | | $ | 423,376,661 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
Industry Summary at December 31, 2011 (Unaudited)
Software |
8.2 | % | ||
Semiconductors & Semiconductor Equipment |
6.2 | |||
Health Care Equipment & Supplies |
6.0 | |||
Internet Software & Services |
5.4 | |||
Specialty Retail |
5.4 | |||
Health Care Providers & Services |
5.0 | |||
Professional Services |
4.8 | |||
Oil, Gas & Consumable Fuels |
4.6 | |||
Machinery |
4.5 | |||
Energy Equipment & Services |
4.1 | |||
Hotels, Restaurants & Leisure |
4.1 | |||
Biotechnology |
4.0 | |||
Aerospace & Defense |
3.3 | |||
Textiles, Apparel & Luxury Goods |
3.2 | |||
Commercial Banks |
3.1 | |||
Capital Markets |
2.9 | |||
Electronic Equipment, Instruments & Components |
2.0 | |||
Other Investments, less than 2% each |
15.9 | |||
Short-Term Investments |
3.4 | |||
|
|
|||
Total Investments |
96.1 | |||
Other assets less liabilities |
3.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Small Cap Growth Fund
Shares |
Description |
Value () | ||||
Common Stocks 92.7% of Net Assets |
| |||||
Aerospace & Defense 3.3% | ||||||
82,661 | HEICO Corp. | $ | 4,834,015 | |||
220,720 | Hexcel Corp.(b) | 5,343,631 | ||||
77,110 | Triumph Group, Inc. | 4,507,080 | ||||
|
|
|||||
14,684,726 | ||||||
|
|
|||||
Air Freight & Logistics 0.9% | ||||||
121,128 | HUB Group, Inc., Class A(b) | 3,928,181 | ||||
|
|
|||||
Auto Components 1.7% | ||||||
270,571 | Amerigon, Inc.(b) | 3,858,343 | ||||
124,763 | Tenneco, Inc.(b) | 3,715,442 | ||||
|
|
|||||
7,573,785 | ||||||
|
|
|||||
Biotechnology 4.0% | ||||||
162,559 | Aegerion Pharmaceuticals, Inc.(b) | 2,721,238 | ||||
208,980 | Alkermes PLC(b) | 3,627,893 | ||||
116,138 | Cepheid, Inc.(b) | 3,996,309 | ||||
115,936 | Cubist Pharmaceuticals, Inc.(b) | 4,593,384 | ||||
243,579 | Inhibitex, Inc.(b) | 2,664,754 | ||||
|
|
|||||
17,603,578 | ||||||
|
|
|||||
Building Products 0.7% | ||||||
281,088 | NCI Building Systems, Inc.(b) | 3,055,427 | ||||
|
|
|||||
Capital Markets 2.9% | ||||||
164,941 | Evercore Partners, Inc., Class A | 4,390,729 | ||||
188,593 | Financial Engines, Inc.(b) | 4,211,282 | ||||
133,574 | Stifel Financial Corp.(b) | 4,281,047 | ||||
|
|
|||||
12,883,058 | ||||||
|
|
|||||
Commercial Banks 3.1% | ||||||
80,754 | Signature Bank(b) | 4,844,432 | ||||
94,723 | SVB Financial Group(b) | 4,517,340 | ||||
134,569 | Texas Capital Bancshares, Inc.(b) | 4,119,157 | ||||
|
|
|||||
13,480,929 | ||||||
|
|
|||||
Commercial Services & Supplies 1.7% | ||||||
204,600 | Mobile Mini, Inc.(b) | 3,570,270 | ||||
118,383 | Waste Connections, Inc. | 3,923,213 | ||||
|
|
|||||
7,493,483 | ||||||
|
|
|||||
Communications Equipment 0.7% | ||||||
260,202 | Ciena Corp.(b) | 3,148,444 | ||||
|
|
|||||
Construction & Engineering 0.8% | ||||||
196,751 | MasTec, Inc.(b) | 3,417,565 | ||||
|
|
|||||
Consumer Finance 0.7% | ||||||
85,943 | First Cash Financial Services, Inc.(b) | 3,015,740 | ||||
|
|
97
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Diversified Consumer Services 0.6% | ||||||
173,428 | Grand Canyon Education, Inc.(b) | $ | 2,767,911 | |||
|
|
|||||
Electrical Equipment 0.6% | ||||||
59,137 | Polypore International, Inc.(b) | 2,601,437 | ||||
|
|
|||||
Electronic Equipment, Instruments & Components 2.0% | ||||||
63,590 | IPG Photonics Corp.(b) | 2,153,793 | ||||
205,064 | Maxwell Technologies, Inc.(b) | 3,330,239 | ||||
115,080 | Measurement Specialties, Inc.(b) | 3,217,637 | ||||
|
|
|||||
8,701,669 | ||||||
|
|
|||||
Energy Equipment & Services 4.1% | ||||||
53,299 | Dril-Quip, Inc.(b) | 3,508,140 | ||||
73,080 | Lufkin Industries, Inc. | 4,919,015 | ||||
477,220 | Newpark Resources, Inc.(b) | 4,533,590 | ||||
111,614 | Oceaneering International, Inc. | 5,148,754 | ||||
|
|
|||||
18,109,499 | ||||||
|
|
|||||
Food & Staples Retailing 0.9% | ||||||
93,449 | Fresh Market, Inc. (The)(b) | 3,728,615 | ||||
|
|
|||||
Health Care Equipment & Supplies 6.0% | ||||||
121,270 | Abaxis, Inc.(b) | 3,355,541 | ||||
91,323 | Cyberonics, Inc.(b) | 3,059,320 | ||||
252,804 | Insulet Corp.(b) | 4,760,299 | ||||
204,329 | NxStage Medical, Inc.(b) | 3,632,970 | ||||
199,576 | Tornier NV(b) | 3,592,368 | ||||
155,272 | Volcano Corp.(b) | 3,693,921 | ||||
193,477 | Zeltiq Aesthetics, Inc.(b) | 2,197,899 | ||||
33,663 | Zoll Medical Corp.(b) | 2,126,828 | ||||
|
|
|||||
26,419,146 | ||||||
|
|
|||||
Health Care Providers & Services 5.0% | ||||||
68,079 | Catalyst Health Solutions, Inc.(b) | 3,540,108 | ||||
219,224 | Hanger Orthopedic Group, Inc.(b) | 4,097,296 | ||||
159,334 | HMS Holdings Corp.(b) | 5,095,501 | ||||
167,314 | PSS World Medical, Inc.(b) | 4,047,326 | ||||
234,924 | Team Health Holdings, Inc.(b) | 5,184,773 | ||||
|
|
|||||
21,965,004 | ||||||
|
|
|||||
Health Care Technology 1.0% | ||||||
79,471 | SXC Health Solutions Corp.(b) | 4,488,522 | ||||
|
|
|||||
Hotels, Restaurants & Leisure 4.1% | ||||||
176,136 | Bravo Brio Restaurant Group, Inc.(b) | 3,020,733 | ||||
124,435 | Life Time Fitness, Inc.(b) | 5,817,336 | ||||
33,143 | Panera Bread Co., Class A(b) | 4,688,077 | ||||
304,569 | Texas Roadhouse, Inc. | 4,538,078 | ||||
|
|
|||||
18,064,224 | ||||||
|
|
|||||
Internet Software & Services 5.4% | ||||||
199,229 | Angies List, Inc.(b) | 3,207,587 | ||||
190,656 | Constant Contact, Inc.(b) | 4,425,126 | ||||
278,990 | DealerTrack Holdings, Inc.(b) | 7,605,267 | ||||
124,160 | Liquidity Services, Inc.(b) | 4,581,504 |
98
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Internet Software & Services continued | ||||||
186,569 | Vocus, Inc.(b) | $ | 4,121,309 | |||
|
|
|||||
23,940,793 | ||||||
|
|
|||||
IT Services 1.5% | ||||||
289,279 | InterXion Holding NV(b) | 3,890,802 | ||||
184,662 | ServiceSource International, Inc.(b) | 2,897,347 | ||||
|
|
|||||
6,788,149 | ||||||
|
|
|||||
Life Sciences Tools & Services 0.8% | ||||||
155,029 | Luminex Corp.(b) | 3,291,266 | ||||
|
|
|||||
Machinery 4.5% | ||||||
80,363 | Chart Industries, Inc.(b) | 4,345,227 | ||||
126,924 | RBC Bearings, Inc.(b) | 5,292,731 | ||||
112,664 | Robbins & Myers, Inc. | 5,469,837 | ||||
139,815 | Westport Innovations, Inc.(b) | 4,647,451 | ||||
|
|
|||||
19,755,246 | ||||||
|
|
|||||
Media 0.7% | ||||||
218,847 | MDC Partners, Inc., Class A | 2,958,811 | ||||
|
|
|||||
Oil, Gas & Consumable Fuels 4.6% | ||||||
151,871 | Approach Resources, Inc.(b) | 4,466,526 | ||||
122,830 | Oasis Petroleum, Inc.(b) | 3,573,125 | ||||
104,693 | Petroleum Development Corp.(b) | 3,675,771 | ||||
91,779 | Rosetta Resources, Inc.(b) | 3,992,387 | ||||
108,099 | World Fuel Services Corp. | 4,537,996 | ||||
|
|
|||||
20,245,805 | ||||||
|
|
|||||
Pharmaceuticals 1.5% | ||||||
175,747 | Auxilium Pharmaceuticals, Inc.(b) | 3,502,637 | ||||
73,153 | Questcor Pharmaceuticals, Inc.(b) | 3,041,702 | ||||
|
|
|||||
6,544,339 | ||||||
|
|
|||||
Professional Services 4.8% | ||||||
75,725 | Advisory Board Co. (The)(b) | 5,619,552 | ||||
143,291 | Corporate Executive Board Co. (The) | 5,459,387 | ||||
74,867 | CoStar Group, Inc.(b) | 4,995,875 | ||||
123,403 | FTI Consulting, Inc.(b) | 5,234,755 | ||||
|
|
|||||
21,309,569 | ||||||
|
|
|||||
Road & Rail 1.1% | ||||||
78,773 | Genesee & Wyoming, Inc., Class A(b) | 4,772,068 | ||||
|
|
|||||
Semiconductors & Semiconductor Equipment 6.2% | ||||||
142,465 | Cavium, Inc.(b) | 4,050,280 | ||||
141,457 | Ceva, Inc.(b) | 4,280,489 | ||||
99,341 | Cymer, Inc.(b) | 4,943,208 | ||||
121,295 | EZchip Semiconductor Ltd.(b) | 3,436,287 | ||||
74,315 | Hittite Microwave Corp.(b) | 3,669,675 | ||||
85,061 | Power Integrations, Inc. | 2,820,623 | ||||
96,834 | Silicon Laboratories, Inc.(b) | 4,204,532 | ||||
|
|
|||||
27,405,094 | ||||||
|
|
99
Shares |
Description |
Value () | ||||
Common Stocks continued |
| |||||
Software 8.2% | ||||||
263,537 | Allot Communications Ltd.(b) | $ | 4,005,762 | |||
212,459 | Ariba, Inc.(b) | 5,965,849 | ||||
83,214 | CommVault Systems, Inc.(b) | 3,554,902 | ||||
71,508 | Imperva, Inc.(b) | 2,489,193 | ||||
145,993 | QLIK Technologies, Inc.(b) | 3,533,031 | ||||
151,962 | RealPage, Inc.(b) | 3,840,080 | ||||
175,718 | Sourcefire, Inc.(b) | 5,689,749 | ||||
54,381 | SuccessFactors, Inc.(b) | 2,168,170 | ||||
77,904 | Ultimate Software Group, Inc.(The)(b) | 5,073,109 | ||||
|
|
|||||
36,319,845 | ||||||
|
|
|||||
Specialty Retail 5.4% | ||||||
250,563 | Asbury Automotive Group, Inc.(b) | 5,402,138 | ||||
85,864 | DSW, Inc., Class A | 3,796,048 | ||||
91,006 | Hibbett Sports, Inc.(b) | 4,111,651 | ||||
217,105 | Lumber Liquidators Holdings, Inc.(b) | 3,834,074 | ||||
47,440 | Ulta Salon, Cosmetics & Fragrance, Inc.(b) | 3,079,805 | ||||
87,815 | Vitamin Shoppe, Inc.(b) | 3,502,062 | ||||
|
|
|||||
23,725,778 | ||||||
|
|
|||||
Textiles, Apparel & Luxury Goods 3.2% | ||||||
46,628 | Deckers Outdoor Corp.(b) | 3,523,678 | ||||
49,369 | Oxford Industries, Inc. | 2,227,529 | ||||
64,338 | PVH Corp. | 4,535,186 | ||||
108,862 | True Religion Apparel, Inc.(b) | 3,764,448 | ||||
|
|
|||||
14,050,841 | ||||||
|
|
|||||
Total Common Stocks (Identified Cost $372,205,579) |
408,238,547 | |||||
|
|
|||||
Principal |
||||||
Short-Term Investments 3.4% |
| |||||
$15,138,114 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $15,138,114 on 1/03/2012 collateralized by $15,405,000
Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $15,443,513 including accrued interest(c) (Identified Cost $15,138,114) |
15,138,114 | ||||
|
|
100
Total Investments 96.1% (Identified Cost $387,343,693)(a) |
423,376,661 | |||||
Other assets less liabilities 3.9% |
17,206,719 | |||||
|
|
|||||
Net Assets 100.0% |
$ | 440,583,380 | ||||
|
|
() | Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. |
Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. |
Investments in other open-end investment companies are valued at their net asset value each day. |
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. |
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. |
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. |
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $387,343,829 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 43,460,833 | ||||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(7,428,001 | ) | ||||
|
|
|||||
Net unrealized appreciation |
$ | 36,032,832 | ||||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $26,874,285 of which $14,995,800 expires on September 30, 2017 and $11,878,485 expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations. |
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. |
(b) | Non-income producing security. |
(c) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
101
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
$ | 408,238,547 | $ | | $ | | $ | 408,238,547 | ||||||||
Short-Term Investments |
| 15,138,114 | | 15,138,114 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 408,238,547 | $ | 15,138,114 | $ | | $ | 423,376,661 | ||||||||
|
|
|
|
|
|
|
|
* Details of the major categories of the Funds investments are reflected within the Portfolio of Investments.
Industry Summary at December 31, 2011 (Unaudited)
Software |
8.2 | % | ||
Semiconductors & Semiconductor Equipment |
6.2 | |||
Health Care Equipment & Supplies |
6.0 | |||
Internet Software & Services |
5.4 | |||
Specialty Retail |
5.4 | |||
Health Care Providers & Services |
5.0 | |||
Professional Services |
4.8 | |||
Oil, Gas & Consumable Fuels |
4.6 | |||
Machinery |
4.5 | |||
Energy Equipment & Services |
4.1 | |||
Hotels, Restaurants & Leisure |
4.1 | |||
Biotechnology |
4.0 | |||
Aerospace & Defense |
3.3 | |||
Textiles, Apparel & Luxury Goods |
3.2 | |||
Commercial Banks |
3.1 | |||
Capital Markets |
2.9 | |||
Electronic Equipment, Instruments & Components |
2.0 | |||
Other Investments, less than 2% each |
15.9 | |||
Short-Term Investments |
3.4 | |||
|
|
|||
Total Investments |
96.1 | |||
Other assets less liabilities |
3.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
102
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 76.2% of Net Assets |
| ||||||
|
Non-Convertible Bonds 66.1% |
| ||||||
ABS Car Loan 0.1% | ||||||||
$ | 7,211,250 | Avis Budget Rental Car Funding AESOP LLC, Series 2007-2A, Class A, 0.425%, 8/20/2013, 144A(b) |
$ | 7,145,046 | ||||
4,093,750 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A |
4,197,879 | ||||||
|
|
|||||||
11,342,925 | ||||||||
|
|
|||||||
Aerospace & Defense 0.2% | ||||||||
620,000 | Bombardier, Inc., 7.350%, 12/22/2026, (CAD) |
609,167 | ||||||
11,800,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
11,711,500 | ||||||
2,425,000 | Ducommun, Inc., 9.750%, 7/15/2018, 144A |
2,461,375 | ||||||
3,900,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
2,789,963 | ||||||
12,630,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
9,484,170 | ||||||
|
|
|||||||
27,056,175 | ||||||||
|
|
|||||||
Airlines 2.7% | ||||||||
35,455,000 | Air Canada, 10.125%, 8/01/2015, 144A, (CAD) |
31,670,233 | ||||||
1,501,787 | American Airlines Pass Through Trust, Series 2009-1A, 10.375%, 1/02/2021 |
1,586,248 | ||||||
77,175 | Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015 |
78,912 | ||||||
3,417,993 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 |
3,405,175 | ||||||
2,534,842 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 |
2,474,513 | ||||||
2,181,612 | Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018 |
2,064,241 | ||||||
4,480,765 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
4,284,507 | ||||||
3,259,733 | Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021 |
3,214,749 | ||||||
1,299,798 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
1,392,344 | ||||||
1,480,648 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,586,070 | ||||||
3,274,793 | Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019 |
3,201,110 | ||||||
1,860,333 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
1,865,040 | ||||||
1,063,631 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 |
1,038,317 | ||||||
11,074,721 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
11,530,999 | ||||||
18,931,669 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
17,747,493 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Airlines continued | ||||||||
$ | 18,241,268 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
$ | 20,065,394 | ||||
16,150,515 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
17,200,298 | ||||||
1,370,489 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,430,379 | ||||||
7,170,443 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
7,035,639 | ||||||
23,512,410 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 |
23,453,629 | ||||||
2,496,000 | Delta Air Lines, Inc., 9.500%, 9/15/2014, 144A |
2,570,880 | ||||||
2,051,525 | Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023 |
2,056,653 | ||||||
1,500,000 | Qantas Airways Ltd., 5.125%, 6/20/2013, 144A |
1,522,607 | ||||||
29,995,000 | Qantas Airways Ltd., 6.050%, 4/15/2016, 144A |
30,973,317 | ||||||
18,657,001 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
18,657,001 | ||||||
8,695,972 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
9,619,484 | ||||||
17,985,491 | US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018 |
17,176,144 | ||||||
43,228,000 | US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A |
42,471,510 | ||||||
52,073,000 | US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020 |
50,510,810 | ||||||
22,168,000 | US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014 |
21,752,350 | ||||||
|
|
|||||||
353,636,046 | ||||||||
|
|
|||||||
Automotive 1.1% | ||||||||
265,000 | ArvinMeritor, Inc., 8.125%, 9/15/2015 |
237,175 | ||||||
3,800,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021, 144A |
3,458,000 | ||||||
6,500,000 | FCE Bank PLC, EMTN, 7.125%, 1/16/2012, (EUR) |
8,429,453 | ||||||
4,500,000 | FCE Bank PLC, EMTN, 7.125%, 1/15/2013, (EUR) |
5,955,170 | ||||||
19,011,000 | Ford Motor Co., 6.375%, 2/01/2029 |
19,531,179 | ||||||
1,975,000 | Ford Motor Co., 6.500%, 8/01/2018 |
2,083,625 | ||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 |
1,283,223 | ||||||
74,829,000 | Ford Motor Co., 6.625%, 10/01/2028 |
78,791,944 | ||||||
2,365,000 | Ford Motor Co., 7.125%, 11/15/2025 |
2,447,775 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 |
1,429,062 | ||||||
4,977,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
4,827,690 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Automotive continued | ||||||||
$ | 6,263,000 | Goodyear Tire & Rubber Co. (The), 10.500%, 5/15/2016 |
$ | 6,904,957 | ||||
3,100,000 | TRW Automotive, Inc., 7.250%, 3/15/2017, 144A |
3,317,000 | ||||||
5,300,000 | TRW Automotive, Inc., 8.875%, 12/01/2017, 144A |
5,750,500 | ||||||
|
|
|||||||
144,446,753 | ||||||||
|
|
|||||||
Banking 3.8% | ||||||||
1,175,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
1,529,957 | ||||||
20,565,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
22,346,608 | ||||||
1,675,000 | Bank of America Corp., 5.420%, 3/15/2017 |
1,511,202 | ||||||
900,000 | Bank of America Corp., 5.490%, 3/15/2019 |
775,720 | ||||||
4,560,000 | Bank of America Corp., 6.000%, 9/01/2017 |
4,453,424 | ||||||
700,000 | Bank of America Corp., 6.500%, 9/15/2037 |
573,262 | ||||||
265,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
241,371 | ||||||
1,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) |
1,005,283 | ||||||
8,020,000 | Bank of America NA, 5.300%, 3/15/2017 |
7,233,326 | ||||||
39,890,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
34,860,847 | ||||||
57,792,000,000 | Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW) |
48,284,915 | ||||||
19,965,000 | Citigroup, Inc., 5.000%, 9/15/2014 |
19,759,520 | ||||||
4,000,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) |
2,786,081 | ||||||
985,000 | Citigroup, Inc., 5.850%, 12/11/2034 |
971,016 | ||||||
24,610,000 | Citigroup, Inc., 5.875%, 2/22/2033 |
20,641,564 | ||||||
8,999,000 | Citigroup, Inc., 6.000%, 10/31/2033 |
7,709,641 | ||||||
6,060,000 | Citigroup, Inc., 6.125%, 8/25/2036 |
5,241,961 | ||||||
3,350,000 | Citigroup, Inc., EMTN, (fixed rate to 11/30/2012, variable rate thereafter), 3.625%, 11/30/2017, (EUR) |
3,453,022 | ||||||
5,050,000 | First Niagara Finance Group, Inc., 6.750%, 3/19/2020 |
5,317,812 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
360,928 | ||||||
30,870,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
28,724,936 | ||||||
6,120,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
3,743,922 | ||||||
3,000,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
2,405,376 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Banking continued | ||||||||
$ | 9,090,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
$ | 7,908,300 | ||||
229,157,783,660 | JPMorgan Chase & Co., Zero Coupon, 4/12/2012, 144A, (IDR) |
24,686,112 | ||||||
260,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) |
27,767,742 | ||||||
227,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
25,404,974 | ||||||
27,555,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
23,056,922 | ||||||
3,010,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 |
2,764,345 | ||||||
1,900,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
1,790,862 | ||||||
5,100,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
3,931,769 | ||||||
4,200,000 | Merrill Lynch & Co., Inc., 6.220%, 9/15/2026 |
3,464,437 | ||||||
51,500,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) |
24,849,216 | ||||||
3,450,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
3,271,027 | ||||||
5,410,000 | Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018 |
5,333,930 | ||||||
800,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
613,885 | ||||||
1,235,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 |
1,195,855 | ||||||
13,400,000 | Morgan Stanley, 5.500%, 7/24/2020 |
12,183,682 | ||||||
3,300,000 | Morgan Stanley, 5.750%, 1/25/2021 |
3,078,260 | ||||||
1,000,000 | Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR) |
1,192,341 | ||||||
79,700,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
79,181,143 | ||||||
6,600,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 |
6,112,121 | ||||||
7,900,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 |
7,800,800 | ||||||
5,210,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 |
4,963,755 | ||||||
5,050,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) |
7,485,574 | ||||||
3,255,000 | RBS Capital Trust II, (fixed rate to 1/31/2034, variable rate thereafter), 6.425%, 12/29/2049(d) |
1,676,325 | ||||||
|
|
|||||||
503,645,071 | ||||||||
|
|
|||||||
Brokerage 0.3% | ||||||||
2,850,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
2,714,756 | ||||||
8,935,000 | Jefferies Group, Inc., 3.875%, 11/09/2015 |
7,907,475 | ||||||
10,185,000 | Jefferies Group, Inc., 5.125%, 4/13/2018 |
8,962,800 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Brokerage continued | ||||||||
$ | 10,210,000 | Jefferies Group, Inc., 6.250%, 1/15/2036 |
$ | 8,348,676 | ||||
10,995,000 | Jefferies Group, Inc., 6.450%, 6/08/2027 |
9,153,338 | ||||||
1,160,000 | Jefferies Group, Inc., 6.875%, 4/15/2021 |
1,044,000 | ||||||
3,775,000 | Jefferies Group, Inc., 8.500%, 7/15/2019 |
3,831,625 | ||||||
|
|
|||||||
41,962,670 | ||||||||
|
|
|||||||
Building Materials 1.0% | ||||||||
3,255,000 | Masco Corp., 4.800%, 6/15/2015 |
3,229,442 | ||||||
2,220,000 | Masco Corp., 5.850%, 3/15/2017 |
2,216,044 | ||||||
13,440,000 | Masco Corp., 6.125%, 10/03/2016 |
13,792,168 | ||||||
6,345,000 | Masco Corp., 6.500%, 8/15/2032 |
5,675,253 | ||||||
5,665,000 | Masco Corp., 7.125%, 3/15/2020 |
5,717,254 | ||||||
2,475,000 | Masco Corp., 7.750%, 8/01/2029 |
2,402,403 | ||||||
9,460,000 | Owens Corning, Inc., 6.500%, 12/01/2016 |
10,324,474 | ||||||
35,980,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
36,773,935 | ||||||
46,412,000 | USG Corp., 6.300%, 11/15/2016 |
36,201,360 | ||||||
14,155,000 | USG Corp., 9.750%, 1/15/2018 |
11,960,975 | ||||||
|
|
|||||||
128,293,308 | ||||||||
|
|
|||||||
Chemicals 0.8% | ||||||||
36,355,000 | Chevron Phillips Chemical Co. LLC, 8.250%, 6/15/2019, 144A |
46,024,412 | ||||||
20,070,000 | Hercules, Inc., 6.500%, 6/30/2029 |
15,403,725 | ||||||
5,200,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
4,875,000 | ||||||
5,350,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 |
5,508,873 | ||||||
23,584,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023 |
17,688,000 | ||||||
8,020,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016 |
5,774,400 | ||||||
8,757,000 | Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021 |
7,126,009 | ||||||
|
|
|||||||
102,400,419 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.1% | ||||||||
5,146,648 | Banc of America Alternative Loan Trust, Series 2007-1, Class 2A1, 5.429%, 4/25/2037(b) |
3,473,045 | ||||||
4,572,699 | Banc of America Funding Corp., Series 2007-8, Class 4A1, 6.000%, 8/25/2037 |
3,974,407 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 3,126,101 | GSR Mortgage Loan Trust, Series 2005-AR2, Class 2A1, 2.767%, 4/25/2035(b) |
$ | 2,456,462 | ||||
6,613,987 | WaMu Mortgage Pass Through Certificates, Series 2007-OA6, Class 2A, 2.468%, 7/25/2047(b) |
3,407,685 | ||||||
5,449,298 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.736%, 4/25/2035(b) |
4,626,062 | ||||||
|
|
|||||||
17,937,661 | ||||||||
|
|
|||||||
Construction Machinery 0.3% | ||||||||
1,425,000 | Joy Global, Inc., 6.625%, 11/15/2036 |
1,546,163 | ||||||
1,335,000 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.500%, 12/01/2014 |
1,371,713 | ||||||
10,790,000 | Terex Corp., 8.000%, 11/15/2017 |
10,574,200 | ||||||
525,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 |
511,875 | ||||||
26,935,000 | United Rentals North America, Inc., 10.875%, 6/15/2016 |
29,897,850 | ||||||
|
|
|||||||
43,901,801 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.3% | ||||||||
670,000 | ServiceMaster Co. (The), 7.100%, 3/01/2018 |
609,700 | ||||||
5,500,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 |
4,180,000 | ||||||
37,528,000 | Western Union Co. (The), 6.200%, 11/17/2036 |
39,930,543 | ||||||
1,048,000 | Western Union Co. (The), 6.200%, 6/21/2040 |
1,122,262 | ||||||
|
|
|||||||
45,842,505 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.5% | ||||||||
6,100,000 | Fibria Overseas Finance Ltd., 7.500%, 5/04/2020, 144A |
5,962,750 | ||||||
1,441,000 | Textron Financial Corp., 5.400%, 4/28/2013 |
1,482,407 | ||||||
5,310,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A |
3,823,200 | ||||||
550,000 | Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014 |
569,373 | ||||||
13,850,000 | Textron, Inc., 3.875%, 3/11/2013, (EUR) |
17,954,336 | ||||||
5,020,000 | Textron, Inc., 5.600%, 12/01/2017 |
5,306,677 | ||||||
16,040,000 | Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP) |
26,693,187 | ||||||
|
|
|||||||
61,791,930 | ||||||||
|
|
|||||||
Electric 3.1% | ||||||||
7,883,141 | AES Ironwood LLC, 8.857%, 11/30/2025 |
7,961,973 | ||||||
922,677 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 |
950,357 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Electric continued | ||||||||
$ | 49,210,138 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
$ | 54,096,704 | ||||
69,236,555 | Bruce Mansfield Unit, 6.850%, 6/01/2034 |
75,239,669 | ||||||
2,912,256 | CE Generation LLC, 7.416%, 12/15/2018 |
3,057,869 | ||||||
11,275,000 | Dynegy Holdings, Inc., 7.125%, 5/15/2018(e) |
7,328,750 | ||||||
10,185,000 | Dynegy Holdings, Inc., 7.625%, 10/15/2026(d) |
6,518,400 | ||||||
8,955,000 | Dynegy Holdings, Inc., 7.750%, 6/01/2019(e) |
5,865,525 | ||||||
95,200,000 | Edison Mission Energy, 7.625%, 5/15/2027 |
56,168,000 | ||||||
27,800,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
21,205,840 | ||||||
3,400,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
2,860,022 | ||||||
1,600,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) |
1,733,037 | ||||||
100,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) |
111,311 | ||||||
250,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 |
273,130 | ||||||
4,070,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 |
5,068,811 | ||||||
5,940,000 | Energy Future Holdings Corp., 10.000%, 1/15/2020 |
6,237,000 | ||||||
555,000 | Enersis S.A., Cayman Islands, 7.400%, 12/01/2016 |
659,028 | ||||||
31,735,000 | NGC Corp. Capital Trust I, Series B, 8.316%, 6/01/2027(c)(d) |
7,299,050 | ||||||
25,230,000 | RRI Energy, Inc., 7.875%, 6/15/2017 |
24,346,950 | ||||||
16,670,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A |
14,148,662 | ||||||
655,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., Series A, 10.250%, 11/01/2015 |
232,525 | ||||||
50,270,000 | TXU Corp., Series P, 5.550%, 11/15/2014 |
35,691,700 | ||||||
101,735,000 | TXU Corp., Series Q, 6.500%, 11/15/2024 |
45,272,075 | ||||||
6,675,000 | TXU Corp., Series R, 6.550%, 11/15/2034 |
2,836,875 | ||||||
7,300,000 | White Pine Hydro LLC, 6.310%, 7/10/2017(c) |
7,850,347 | ||||||
10,935,000 | White Pine Hydro LLC, 6.960%, 7/10/2037(c) |
11,772,184 | ||||||
4,000,000 | White Pine Hydro Portfolio LLC, 7.260%, 7/20/2015(c) |
3,881,440 | ||||||
|
|
|||||||
408,667,234 | ||||||||
|
|
|||||||
Financial Other 0.3% | ||||||||
19,005,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
17,906,131 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Financial Other continued | ||||||||
$ | 20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
$ | 24,574,500 | ||||
|
|
|||||||
42,480,631 | ||||||||
|
|
|||||||
Food & Beverage 0.2% | ||||||||
2,085,000 | ARAMARK Corp., 5.000%, 6/01/2012 |
2,095,425 | ||||||
11,250,000 | Corn Products International, Inc., 6.625%, 4/15/2037 |
13,375,451 | ||||||
4,370,000 | Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD) |
4,494,183 | ||||||
|
|
|||||||
19,965,059 | ||||||||
|
|
|||||||
Gaming 0.0% | ||||||||
810,000 | MGM Resorts International, 6.625%, 7/15/2015 |
769,500 | ||||||
865,000 | MGM Resorts International, 6.875%, 4/01/2016 |
800,125 | ||||||
710,000 | MGM Resorts International, 7.500%, 6/01/2016 |
679,825 | ||||||
1,770,000 | MGM Resorts International, 7.625%, 1/15/2017 |
1,685,925 | ||||||
|
|
|||||||
3,935,375 | ||||||||
|
|
|||||||
Government Guaranteed 0.6% | ||||||||
11,038,000 | Instituto de Credito Oficial, MTN, 5.500%, 10/11/2012, (AUD) |
10,953,915 | ||||||
72,695,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
64,719,349 | ||||||
|
|
|||||||
75,673,264 | ||||||||
|
|
|||||||
Government Owned - No Guarantee 0.9% | ||||||||
26,435,000 | Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A |
30,268,075 | ||||||
19,500,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
17,647,500 | ||||||
70,300,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
7,502,543 | ||||||
499,300,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) |
54,657,312 | ||||||
8,935,000 | Petroleos de Venezuela S.A., 5.375%, 4/12/2027 |
4,400,488 | ||||||
|
|
|||||||
114,475,918 | ||||||||
|
|
|||||||
Government Sponsored 0.0% | ||||||||
2,700,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
2,236,626 | ||||||
|
|
|||||||
Healthcare 2.4% | ||||||||
4,075,000 | Boston Scientific Corp., 5.125%, 1/12/2017 |
4,389,582 | ||||||
2,765,000 | Boston Scientific Corp., 5.450%, 6/15/2014 |
2,954,707 | ||||||
4,155,000 | Boston Scientific Corp., 6.400%, 6/15/2016 |
4,658,436 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Healthcare continued | ||||||||
$ | 16,510,000 | Boston Scientific Corp., 7.000%, 11/15/2035 |
$ | 19,018,447 | ||||
17,785,000 | HCA, Inc., 5.750%, 3/15/2014 |
18,140,700 | ||||||
3,800,000 | HCA, Inc., 6.250%, 2/15/2013 |
3,876,000 | ||||||
17,035,000 | HCA, Inc., 6.375%, 1/15/2015 |
17,354,406 | ||||||
49,350,000 | HCA, Inc., 6.500%, 2/15/2016 |
50,090,250 | ||||||
2,074,000 | HCA, Inc., 6.750%, 7/15/2013 |
2,141,405 | ||||||
14,620,000 | HCA, Inc., 7.050%, 12/01/2027 |
12,262,525 | ||||||
11,104,000 | HCA, Inc., 7.190%, 11/15/2015 |
11,104,000 | ||||||
20,447,000 | HCA, Inc., 7.500%, 12/15/2023 |
18,300,065 | ||||||
24,215,000 | HCA, Inc., 7.500%, 11/06/2033 |
20,945,975 | ||||||
46,148,000 | HCA, Inc., 7.690%, 6/15/2025 |
40,840,980 | ||||||
32,745,000 | HCA, Inc., 8.360%, 4/15/2024 |
30,944,025 | ||||||
15,815,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
13,996,275 | ||||||
9,492,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
8,269,905 | ||||||
2,620,000 | Kindred Healthcare, Inc., 8.250%, 6/01/2019 |
2,200,800 | ||||||
3,260,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(c) |
3,539,982 | ||||||
32,559,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
26,698,380 | ||||||
4,765,000 | Tenet Healthcare Corp., 9.250%, 2/01/2015 |
5,009,206 | ||||||
|
|
|||||||
316,736,051 | ||||||||
|
|
|||||||
Home Construction 0.7% | ||||||||
11,265,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 |
10,983,375 | ||||||
13,360,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021, 144A |
7,414,800 | ||||||
16,075,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 |
6,269,250 | ||||||
6,290,000 | K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 |
2,421,650 | ||||||
1,685,000 | KB Home, 5.750%, 2/01/2014 |
1,617,600 | ||||||
8,340,000 | KB Home, 5.875%, 1/15/2015 |
7,672,800 | ||||||
5,805,000 | KB Home, 6.250%, 6/15/2015 |
5,340,600 | ||||||
11,315,000 | KB Home, 7.250%, 6/15/2018 |
10,183,500 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Home Construction continued | ||||||||
$ | 3,745,000 | Pulte Group, Inc., 5.200%, 2/15/2015 |
$ | 3,501,575 | ||||
47,260,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
31,368,825 | ||||||
13,190,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
9,134,075 | ||||||
|
|
|||||||
95,908,050 | ||||||||
|
|
|||||||
Independent Energy 0.2% | ||||||||
4,798,000 | Pioneer Natural Resources Co., 7.200%, 1/15/2028 |
5,485,246 | ||||||
12,635,000 | QEP Resources, Inc., 6.875%, 3/01/2021 |
13,614,213 | ||||||
2,499,000 | Swift Energy Co., 7.125%, 6/01/2017 |
2,486,505 | ||||||
|
|
|||||||
21,585,964 | ||||||||
|
|
|||||||
Industrial Other 0.1% | ||||||||
10,000,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
10,932,920 | ||||||
|
|
|||||||
Life Insurance 0.9% | ||||||||
27,655,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
24,612,950 | ||||||
2,185,000 | American International Group, Inc., Series G, MTN, 5.600%, 10/18/2016 |
2,105,986 | ||||||
19,625,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
19,193,544 | ||||||
4,815,000 | American International Group, Inc., Series MP, GMTN, 5.450%, 5/18/2017 |
4,601,407 | ||||||
2,855,000 | American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD) |
2,774,430 | ||||||
2,100,000 | AXA, S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A |
1,365,000 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
15,167,355 | ||||||
1,475,000 | MetLife Capital Trust X, 9.250%, 4/08/2068, 144A |
1,685,188 | ||||||
15,930,000 | MetLife, Inc., 6.400%, 12/15/2066 |
15,073,794 | ||||||
8,145,000 | MetLife, Inc., 10.750%, 8/01/2069 |
10,751,400 | ||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
9,196,145 | ||||||
3,910,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
4,369,323 | ||||||
6,700,000 | Unum Group, 7.125%, 9/30/2016 |
7,645,417 | ||||||
|
|
|||||||
118,541,939 | ||||||||
|
|
|||||||
Local Authorities 1.5% | ||||||||
3,905,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
3,304,593 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Local Authorities continued | ||||||||||
79,755,000 | New South Wales Treasury Corp., 6.000%, 5/01/2012, (AUD) |
$ | 82,070,217 | |||||||
10,530,000 | New South Wales Treasury Corp., Series 12RG, 6.000%, 5/01/2012, (AUD) |
10,829,161 | ||||||||
66,305,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) |
71,969,260 | ||||||||
26,730,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) |
28,423,460 | ||||||||
|
|
|||||||||
196,596,691 | ||||||||||
|
|
|||||||||
Media Cable 0.2% | ||||||||||
25,270,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
27,176,257 | ||||||||
|
|
|||||||||
Media Non-Cable 0.4% | ||||||||||
3,785,000 | Clear Channel Communications, Inc., 5.750%, 1/15/2013 |
3,595,750 | ||||||||
64,250,000 | Clear Channel Communications, Inc., 9.000%, 3/01/2021 |
54,130,625 | ||||||||
|
|
|||||||||
57,726,375 | ||||||||||
|
|
|||||||||
Metals & Mining 0.4% | ||||||||||
3,949,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
3,977,756 | ||||||||
1,405,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
1,332,515 | ||||||||
4,330,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
4,452,353 | ||||||||
17,905,000 | Algoma Acquisition Corp., 9.875%, 6/15/2015, 144A |
15,398,300 | ||||||||
7,000,000 | United States Steel Corp., 6.050%, 6/01/2017 |
6,685,000 | ||||||||
6,779,000 | United States Steel Corp., 6.650%, 6/01/2037 |
5,287,620 | ||||||||
16,435,000 | United States Steel Corp., 7.000%, 2/01/2018 |
16,270,650 | ||||||||
|
|
|||||||||
53,404,194 | ||||||||||
|
|
|||||||||
Non-Captive Consumer 4.0% | ||||||||||
69,019,000 | Residential Capital LLC, 9.625%, 5/15/2015 |
48,313,300 | ||||||||
995,000 | SLM Corp., 6.000%, 5/10/2012, (AUD) |
1,000,417 | ||||||||
109,950 | () | SLM Corp., 6.000%, 12/15/2043 |
2,086,576 | |||||||
20,970,000 | SLM Corp., MTN, 5.050%, 11/14/2014 |
20,682,711 | ||||||||
2,160,000 | SLM Corp., MTN, 8.000%, 3/25/2020 |
2,181,600 | ||||||||
41,770,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 |
40,193,391 | ||||||||
14,465,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
12,539,839 | ||||||||
24,705,000 | SLM Corp., Series A, MTN, 5.375%, 5/15/2014 |
24,722,318 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Non-Captive Consumer continued | ||||||||
$ | 35,405,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
$ | 26,409,298 | ||||
95,060,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
97,911,800 | ||||||
26,150,000 | Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR) |
29,200,215 | ||||||
10,120,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
7,134,600 | ||||||
6,900,000 | Springleaf Finance Corp., Series H, MTN, 5.375%, 10/01/2012 |
6,520,500 | ||||||
10,700,000 | Springleaf Finance Corp., Series I, MTN, 4.875%, 7/15/2012 |
10,272,000 | ||||||
14,232,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
10,353,780 | ||||||
14,430,000 | Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013 |
12,698,400 | ||||||
2,900,000 | Springleaf Finance Corp., Series J, MTN, 5.900%, 9/15/2012 |
2,773,125 | ||||||
800,000 | Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017 |
556,000 | ||||||
241,395,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
173,804,400 | ||||||
|
|
|||||||
529,354,270 | ||||||||
|
|
|||||||
Non-Captive Diversified 7.5% | ||||||||
22,211,000 | Ally Financial, Inc., 6.750%, 12/01/2014 |
22,322,055 | ||||||
2,947,000 | Ally Financial, Inc., 6.875%, 8/28/2012 |
2,983,838 | ||||||
17,038,000 | Ally Financial, Inc., 7.500%, 12/31/2013 |
17,506,545 | ||||||
35,400,000 | Ally Financial, Inc., 7.500%, 9/15/2020 |
35,754,000 | ||||||
32,711,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
32,138,557 | ||||||
25,955,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
25,046,575 | ||||||
49,800,000 | Ally Financial, Inc., 8.300%, 2/12/2015 |
52,539,000 | ||||||
27,144,615 | CIT Group, Inc., 7.000%, 5/01/2015 |
27,198,904 | ||||||
70,757,457 | CIT Group, Inc., 7.000%, 5/01/2017 |
70,757,457 | ||||||
3,100,000 | General Electric Capital Corp., EMTN, 6.125%, 5/17/2012, (GBP) |
4,884,117 | ||||||
79,035,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
65,748,287 | ||||||
65,300,000 | General Electric Capital Corp., Series A, GMTN, 2.960%, 5/18/2012, (SGD) |
50,606,304 | ||||||
115,000,000 | General Electric Capital Corp., Series A, GMTN, 3.485%, 3/08/2012, (SGD) |
88,880,934 | ||||||
58,490,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
49,703,345 | ||||||
15,305,000 | General Electric Capital Corp., Series A, MTN, 0.703%, 5/13/2024(b) |
11,992,386 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Non-Captive Diversified continued | ||||||||||
245,797,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
$ | 201,755,326 | |||||||
360,000 | International Lease Finance Corp., 5.875%, 5/01/2013 |
354,600 | ||||||||
5,605,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
5,177,843 | ||||||||
9,289,000 | International Lease Finance Corp., 6.375%, 3/25/2013 |
9,242,555 | ||||||||
20,610,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
21,331,350 | ||||||||
10,245,000 | International Lease Finance Corp., 8.250%, 12/15/2020 |
10,347,450 | ||||||||
24,750,000 | International Lease Finance Corp., 8.625%, 9/15/2015 |
25,368,750 | ||||||||
2,620,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
2,561,050 | ||||||||
2,547,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 |
2,432,385 | ||||||||
34,782,000 | iStar Financial, Inc., 5.150%, 3/01/2012 |
34,608,090 | ||||||||
3,010,000 | iStar Financial, Inc., 5.500%, 6/15/2012 |
2,942,275 | ||||||||
23,175,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
18,366,187 | ||||||||
20,478,000 | iStar Financial, Inc., 5.875%, 3/15/2016 |
16,587,180 | ||||||||
8,300,000 | iStar Financial, Inc., 6.050%, 4/15/2015 |
6,785,250 | ||||||||
35,130,000 | iStar Financial, Inc., 8.625%, 6/01/2013 |
32,495,250 | ||||||||
2,920,000 | iStar Financial, Inc., Series B, 5.700%, 3/01/2014 |
2,430,900 | ||||||||
44,610,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 |
38,253,075 | ||||||||
|
|
|||||||||
989,101,820 | ||||||||||
|
|
|||||||||
Oil Field Services 0.9% | ||||||||||
7,015,000 | Allis-Chalmers Energy, Inc., 8.500%, 3/01/2017 |
6,909,775 | ||||||||
77,565,000 | Nabors Industries, Inc., 9.250%, 1/15/2019 |
97,568,626 | ||||||||
3,095,000 | Parker Drilling Co., 9.125%, 4/01/2018 |
3,257,487 | ||||||||
7,275,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 |
8,528,468 | ||||||||
|
|
|||||||||
116,264,356 | ||||||||||
|
|
|||||||||
Packaging 0.3% | ||||||||||
2,450,000 | OI European Group BV, 6.875%, 3/31/2017, 144A, (EUR) |
3,186,768 | ||||||||
33,261,000 | Owens-Illinois, Inc., 7.800%, 5/15/2018 |
36,753,405 | ||||||||
|
|
|||||||||
39,940,173 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Paper 1.1% | ||||||||
$ | 14,715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
$ | 17,753,206 | ||||
12,410,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
15,305,427 | ||||||
120,000 | Georgia-Pacific LLC, 7.700%, 6/15/2015 |
139,421 | ||||||
47,875,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
60,253,416 | ||||||
1,003,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,378,688 | ||||||
14,520,000 | Westvaco Corp., 7.950%, 2/15/2031 |
16,100,546 | ||||||
25,210,000 | Westvaco Corp., 8.200%, 1/15/2030 |
28,662,635 | ||||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
2,809,106 | ||||||
5,490,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
5,762,480 | ||||||
|
|
|||||||
148,164,925 | ||||||||
|
|
|||||||
Pipelines 1.8% | ||||||||
750,000 | El Paso Corp., GMTN, 7.800%, 8/01/2031 |
864,375 | ||||||
5,255,000 | Energy Transfer Partners LP, 6.125%, 2/15/2017 |
5,769,617 | ||||||
9,115,000 | Energy Transfer Partners LP, 6.625%, 10/15/2036 |
9,584,413 | ||||||
13,175,000 | Enterprise Products Operating LLC, 4.050%, 2/15/2022 |
13,423,533 | ||||||
5,100,000 | Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A |
6,367,467 | ||||||
21,200,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
22,615,227 | ||||||
42,498,573 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) |
45,260,980 | ||||||
81,710,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
80,662,478 | ||||||
43,450,000 | NiSource Finance Corp., 6.400%, 3/15/2018 |
49,961,070 | ||||||
4,168,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A |
3,751,200 | ||||||
|
|
|||||||
238,260,360 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.4% | ||||||||
14,855,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
16,002,979 | ||||||
3,405,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 |
3,902,181 | ||||||
11,075,000 | Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033 |
12,168,125 | ||||||
11,865,000 | MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A |
6,644,400 | ||||||
2,275,000 | Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A |
2,085,759 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Property & Casualty Insurance continued | ||||||||
$ | 11,200,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A |
$ | 11,747,109 | ||||
3,000,000 | White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A |
2,733,120 | ||||||
1,425,000 | XL Group PLC, 6.375%, 11/15/2024 |
1,498,040 | ||||||
|
|
|||||||
56,781,713 | ||||||||
|
|
|||||||
Property Trust 0.4% | ||||||||
46,015,000 | WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A |
51,322,646 | ||||||
|
|
|||||||
Railroads 0.0% | ||||||||
1,153,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) |
830,160 | ||||||
|
|
|||||||
REITs - Apartments 0.3% | ||||||||
2,025,000 | Camden Property Trust, 5.000%, 6/15/2015 |
2,150,732 | ||||||
27,950,000 | Camden Property Trust, 5.700%, 5/15/2017 |
30,604,552 | ||||||
|
|
|||||||
32,755,284 | ||||||||
|
|
|||||||
REITs - Diversified 0.0% | ||||||||
4,030,000 | Duke Realty LP, 5.950%, 2/15/2017 |
4,332,754 | ||||||
|
|
|||||||
REITs - Office Property 0.4% | ||||||||
47,305,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
50,034,073 | ||||||
|
|
|||||||
REITs - Warehouse/Industrials 0.1% | ||||||||
4,180,000 | ProLogis LP, 5.625%, 11/15/2015 |
4,445,660 | ||||||
3,915,000 | ProLogis LP, 5.625%, 11/15/2016 |
4,133,586 | ||||||
4,635,000 | ProLogis LP, 5.750%, 4/01/2016 |
4,904,127 | ||||||
1,662,000 | ProLogis LP, 6.625%, 5/15/2018 |
1,804,993 | ||||||
1,100,000 | ProLogis LP, 6.875%, 3/15/2020 |
1,221,358 | ||||||
2,080,000 | ProLogis LP, 7.375%, 10/30/2019 |
2,349,961 | ||||||
|
|
|||||||
18,859,685 | ||||||||
|
|
|||||||
Retailers 1.1% | ||||||||
5,743,000 | Dillards, Inc., 6.625%, 1/15/2018 |
5,656,855 | ||||||
3,325,000 | Dillards, Inc., 7.000%, 12/01/2028 |
3,059,000 | ||||||
4,187,000 | Dillards, Inc., 7.130%, 8/01/2018 |
4,213,169 | ||||||
1,500,000 | Dillards, Inc., 7.750%, 7/15/2026 |
1,410,000 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Retailers continued | ||||||||
$ | 425,000 | Dillards, Inc., 7.875%, 1/01/2023 |
$ | 408,000 | ||||
10,270,000 | Foot Locker, Inc., 8.500%, 1/15/2022 |
10,603,775 | ||||||
3,685,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
3,703,425 | ||||||
37,064,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
30,994,770 | ||||||
635,000 | J.C. Penney Corp., Inc., 7.125%, 11/15/2023 |
635,000 | ||||||
3,985,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
3,566,575 | ||||||
15,907,000 | Macys Retail Holdings, Inc., 6.375%, 3/15/2037 |
18,479,194 | ||||||
12,275,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
13,086,451 | ||||||
2,365,000 | Macys Retail Holdings, Inc., 6.900%, 4/01/2029 |
2,601,121 | ||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
6,335,345 | ||||||
37,646,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
33,787,285 | ||||||
8,355,000 | Toys R Us, Inc., 7.875%, 4/15/2013 |
8,490,769 | ||||||
|
|
|||||||
147,030,734 | ||||||||
|
|
|||||||
Sovereigns 1.8% | ||||||||
64,132,000,000 | Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR) |
9,167,527 | ||||||
10,000,000,000 | Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR) |
1,416,335 | ||||||
272,460,000,000 | Indonesia Treasury Bond, Series ZC3, Zero Coupon, 11/20/2012, (IDR) |
28,946,806 | ||||||
56,700,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
34,653,800 | ||||||
49,120,000 | Republic of Brazil, 12.500%, 1/05/2016, (BRL) |
31,074,440 | ||||||
107,840,000 | Republic of Brazil, 12.500%, 1/05/2022, (BRL) |
74,003,592 | ||||||
18,400,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A |
17,480,000 | ||||||
3,639,662,000 | Republic of Iceland, 4.250%, 8/24/2012, (ISK) |
17,566,619 | ||||||
3,178,700,000 | Republic of Iceland, 7.250%, 5/17/2013, (ISK) |
15,969,911 | ||||||
|
|
|||||||
230,279,030 | ||||||||
|
|
|||||||
Supermarkets 0.8% | ||||||||
8,336,000 | American Stores Co., 7.900%, 5/01/2017 |
7,835,840 | ||||||
73,686,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
57,475,080 | ||||||
20,250,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
16,655,625 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Supermarkets continued | ||||||||
$ | 9,800,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
$ | 7,815,500 | ||||
3,425,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
2,988,313 | ||||||
13,707,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
9,766,237 | ||||||
|
|
|||||||
102,536,595 | ||||||||
|
|
|||||||
Supranational 2.0% | ||||||||
108,310,000 | European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL) |
59,351,151 | ||||||
20,250,000 | European Bank for Reconstruction & Development, GMTN, 9.250%, 9/10/2012, (BRL) |
10,938,311 | ||||||
16,375,000 | European Investment Bank, 11.250%, 2/14/2013, (BRL) |
8,975,633 | ||||||
460,500,000,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) |
45,468,503 | ||||||
24,398,000 | European Investment Bank, EMTN, 7.000%, 1/18/2012, (NZD) |
19,020,358 | ||||||
60,665,000 | European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD) |
63,237,456 | ||||||
244,840,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR) |
24,515,052 | ||||||
24,450,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
20,900,099 | ||||||
8,300,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) |
6,491,431 | ||||||
|
|
|||||||
258,897,994 | ||||||||
|
|
|||||||
Technology 1.7% | ||||||||
1,370,000 | Advanced Micro Devices, Inc., 7.750%, 8/01/2020 |
1,407,675 | ||||||
41,705,000 | Agilent Technologies, Inc., 6.500%, 11/01/2017 |
48,296,267 | ||||||
27,287,000 | Alcatel-Lucent, 8.500%, 1/15/2016, (EUR) |
29,224,165 | ||||||
832,000 | Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR) |
1,049,896 | ||||||
64,730,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
46,443,775 | ||||||
5,765,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
4,136,387 | ||||||
2,435,000 | Arrow Electronics, Inc., 6.875%, 6/01/2018 |
2,750,406 | ||||||
10,600,000 | Avnet, Inc., 5.875%, 3/15/2014 |
11,240,017 | ||||||
35,630,000 | Avnet, Inc., 6.000%, 9/01/2015 |
38,423,036 | ||||||
11,345,000 | Avnet, Inc., 6.625%, 9/15/2016 |
12,691,402 | ||||||
2,520,000 | Corning, Inc., 6.850%, 3/01/2029 |
3,057,692 | ||||||
6,960,000 | Eastman Kodak Co., 7.250%, 11/15/2013 |
2,296,800 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Technology continued | ||||||||
$ | 95,000 | Freescale Semiconductor, Inc., 8.875%, 12/15/2014 |
$ | 97,375 | ||||
6,290,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 |
6,620,225 | ||||||
475,000 | Motorola Solutions, Inc., 6.000%, 11/15/2017 |
533,463 | ||||||
2,562,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
2,646,023 | ||||||
9,260,000 | Nortel Networks Capital Corp., 7.875%, 6/15/2026(e) |
9,815,600 | ||||||
240,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
289,021 | ||||||
1,730,000 | Xerox Corp., MTN, 7.200%, 4/01/2016 |
1,962,782 | ||||||
|
|
|||||||
222,982,007 | ||||||||
|
|
|||||||
Tobacco 0.1% | ||||||||
5,805,000 | Reynolds American, Inc., 6.750%, 6/15/2017 |
6,598,125 | ||||||
6,175,000 | Reynolds American, Inc., 7.250%, 6/15/2037 |
7,162,815 | ||||||
|
|
|||||||
13,760,940 | ||||||||
|
|
|||||||
Transportation Services 0.4% | ||||||||
10,503,000 | APL Ltd., 8.000%, 1/15/2024(c) |
6,826,950 | ||||||
9,757,144 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 |
9,171,715 | ||||||
6,862,758 | Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(d)(f) |
5,147,069 | ||||||
6,781,958 | Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020 |
6,781,958 | ||||||
73,494 | Atlas Air Pass Through Trust, Series 1999-1, Class A-2, 6.880%, 4/02/2014 |
73,494 | ||||||
7,696,685 | Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016 |
6,619,149 | ||||||
4,744,556 | Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(d) |
3,558,417 | ||||||
3,874,970 | Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017 |
3,681,221 | ||||||
3,970,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
4,776,204 | ||||||
|
|
|||||||
46,636,177 | ||||||||
|
|
|||||||
Treasuries 13.0% | ||||||||
320,680,000 | Canadian Government, 2.000%, 9/01/2012, (CAD) |
317,006,542 | ||||||
80,216,000 | Canadian Government, 3.500%, 6/01/2013, (CAD) |
81,529,377 | ||||||
171,980,000 | Canadian Government, 3.750%, 6/01/2019, (CAD) |
193,135,861 | ||||||
25,445,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) |
29,137,054 | ||||||
4,226,829 | Hellenic Republic Government Bond, 2.300%, 7/25/2030, (EUR) |
991,658 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Treasuries continued | ||||||||||
2,520,000 | Hellenic Republic Government Bond, 4.500%, 9/20/2037, (EUR) |
$ | 646,758 | |||||||
1,350,000 | Hellenic Republic Government Bond, 4.600%, 7/20/2018, (EUR) |
383,571 | ||||||||
69,280,000 | Hellenic Republic Government Bond, 4.700%, 3/20/2024, (EUR) |
19,635,885 | ||||||||
47,935,000 | Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF) |
20,595,260 | ||||||||
118,375,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
121,106,985 | ||||||||
52,325,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
52,304,819 | ||||||||
7,325,000 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) |
7,676,552 | ||||||||
121,560,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
123,860,466 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) |
1,468,798 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) |
1,539,061 | ||||||||
1,435,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) |
1,589,137 | ||||||||
18,686,981 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
150,039,128 | |||||||
22,670,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) |
20,221,626 | ||||||||
151,035,000 | New Zealand Government Bond, 6.500%, 4/15/2013, (NZD) |
123,550,866 | ||||||||
457,420,000 | Norwegian Government, 4.250%, 5/19/2017, (NOK) |
85,314,296 | ||||||||
221,050,000 | Norwegian Government, 5.000%, 5/15/2015, (NOK) |
41,064,218 | ||||||||
1,520,540,000 | Norwegian Government, 6.500%, 5/15/2013, (NOK) |
271,715,949 | ||||||||
27,700,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
17,914,613 | ||||||||
250,000 | Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR) |
152,883 | ||||||||
6,225,000 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) |
4,245,668 | ||||||||
14,475,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
9,273,466 | ||||||||
3,481,377,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
17,515,176 | ||||||||
|
|
|||||||||
1,713,615,673 | ||||||||||
|
|
|||||||||
Utility Other 0.0% | ||||||||||
3,300,000 | Listrindo Capital BV, 9.250%, 1/29/2015, 144A |
3,590,367 | ||||||||
|
|
|||||||||
Wireless 1.0% | ||||||||||
42,310,000 | Nextel Communications, Inc., Series C, 5.950%, 3/15/2014 |
40,829,150 | ||||||||
30,755,000 | Nextel Communications, Inc., Series D, 7.375%, 8/01/2015 |
28,140,825 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Wireless continued | ||||||||
$ | 3,628,000 | Nextel Communications, Inc., Series E, 6.875%, 10/31/2013 |
$ | 3,609,860 | ||||
31,041,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
22,155,514 | ||||||
29,252,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
24,059,770 | ||||||
6,260,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
5,062,775 | ||||||
11,309,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
9,386,470 | ||||||
|
|
|||||||
133,244,364 | ||||||||
|
|
|||||||
Wirelines 3.9% | ||||||||
5,650,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A |
4,209,250 | ||||||
4,370,000 | Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD) |
5,058,648 | ||||||
21,480,000 | Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD) |
23,847,808 | ||||||
2,715,000 | BellSouth Telecommunications, Inc., 7.000%, 12/01/2095 |
3,408,503 | ||||||
72,320,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
72,453,213 | ||||||
7,410,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
6,907,595 | ||||||
2,965,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,909,451 | ||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
266,000 | ||||||
155,000 | Cincinnati Bell, Inc., 7.000%, 2/15/2015 |
155,581 | ||||||
5,330,000 | Embarq Corp., 7.995%, 6/01/2036 |
5,522,882 | ||||||
38,336,000 | Frontier Communications Corp., 7.875%, 1/15/2027 |
32,585,600 | ||||||
1,120,000 | Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP) |
1,926,133 | ||||||
1,800,000 | Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR) |
2,444,614 | ||||||
50,080,000 | Level 3 Financing, Inc., 8.750%, 2/15/2017 |
50,956,400 | ||||||
8,399,000 | Level 3 Financing, Inc., 9.250%, 11/01/2014 |
8,587,978 | ||||||
2,555,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
2,666,781 | ||||||
500,000 | OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR) |
366,817 | ||||||
11,550,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
8,909,361 | ||||||
28,750,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
25,756,554 | ||||||
200,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) |
211,610 | ||||||
800,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) |
756,161 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Wirelines continued | ||||||||
$ | 16,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
$ | 16,123,266 | ||||
42,460,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
39,868,624 | ||||||
12,463,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
12,836,890 | ||||||
32,395,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
32,180,383 | ||||||
31,060,000 | Qwest Corp., 6.875%, 9/15/2033 |
30,851,587 | ||||||
3,075,000 | Qwest Corp., 7.200%, 11/10/2026 |
3,067,934 | ||||||
3,999,000 | Qwest Corp., 7.250%, 9/15/2025 |
4,377,221 | ||||||
2,288,000 | Qwest Corp., 7.500%, 6/15/2023 |
2,288,684 | ||||||
5,470,000 | SK Broadband Co. Ltd., 7.000%, 2/01/2012, 144A |
5,471,750 | ||||||
25,655,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
19,009,662 | ||||||
20,965,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
15,877,738 | ||||||
31,690,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
34,103,573 | ||||||
18,600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
20,067,734 | ||||||
9,835,000 | Verizon Maryland, Inc., Series B, 5.125%, 6/15/2033 |
10,281,430 | ||||||
3,346,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
4,063,406 | ||||||
5,215,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
5,580,373 | ||||||
|
|
|||||||
515,957,195 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $8,505,958,295) |
8,712,833,107 | |||||||
|
|
|||||||
|
Convertible Bonds 8.7% |
| ||||||
Airlines 0.0% | ||||||||
890,000 | AMR Corp., 6.250%, 10/15/2014(e) |
189,125 | ||||||
1,255,000 | United Continental Holdings, Inc., 4.500%, 6/30/2021 |
1,129,500 | ||||||
|
|
|||||||
1,318,625 | ||||||||
|
|
|||||||
Automotive 1.5% | ||||||||
2,910,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g) |
1,876,950 | ||||||
125,580,000 | Ford Motor Co., 4.250%, 11/15/2016 |
180,050,325 | ||||||
8,460,000 | Navistar International Corp., 3.000%, 10/15/2014 |
9,115,650 | ||||||
|
|
|||||||
191,042,925 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Convertible Bonds continued |
| ||||||
Diversified Manufacturing 0.3% | ||||||||
$ | 30,570,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A |
$ | 28,430,100 | ||||
16,727,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
16,350,642 | ||||||
|
|
|||||||
44,780,742 | ||||||||
|
|
|||||||
Electric 0.0% | ||||||||
1,800,000 | CMS Energy Corp., 5.500%, 6/15/2029 |
2,889,000 | ||||||
|
|
|||||||
Healthcare 0.5% | ||||||||
19,215,000 | Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g) |
18,326,306 | ||||||
1,810,000 | Illumina, Inc., 0.250%, 3/15/2016, 144A |
1,450,263 | ||||||
12,005,000 | Life Technologies Corp., 1.500%, 2/15/2024 |
12,005,000 | ||||||
190,000 | LifePoint Hospitals, Inc., 3.250%, 8/15/2025 |
193,088 | ||||||
2,380,000 | LifePoint Hospitals, Inc., 3.500%, 5/15/2014 |
2,433,550 | ||||||
5,445,000 | Omnicare, Inc., 3.250%, 12/15/2035 |
4,995,787 | ||||||
20,495,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
28,488,050 | ||||||
|
|
|||||||
67,892,044 | ||||||||
|
|
|||||||
Home Construction 0.4% | ||||||||
52,005,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
56,880,469 | ||||||
|
|
|||||||
Independent Energy 0.2% | ||||||||
20,440,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 |
16,863,000 | ||||||
7,230,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
6,443,738 | ||||||
|
|
|||||||
23,306,738 | ||||||||
|
|
|||||||
Life Insurance 0.5% | ||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
64,074,056 | ||||||
|
|
|||||||
Media Non-Cable 0.0% | ||||||||
7,641,444 | Liberty Media LLC, 3.500%, 1/15/2031 |
4,326,967 | ||||||
|
|
|||||||
Metals & Mining 0.1% | ||||||||
1,000,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 |
1,088,750 | ||||||
11,270,000 | United States Steel Corp., 4.000%, 5/15/2014 |
12,467,438 | ||||||
|
|
|||||||
13,556,188 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Convertible Bonds continued |
| ||||||
Non-Captive Diversified 0.3% | ||||||||
$ | 44,035,000 | iStar Financial, Inc., 0.872%, 10/01/2012(b) |
$ | 39,631,500 | ||||
|
|
|||||||
Pharmaceuticals 0.9% | ||||||||
41,680,000 | Human Genome Sciences, Inc., 2.250%, 8/15/2012 |
41,263,200 | ||||||
85,100,000 | Human Genome Sciences, Inc., 3.000%, 11/15/2018 |
75,951,750 | ||||||
3,065,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 |
3,214,419 | ||||||
|
|
|||||||
120,429,369 | ||||||||
|
|
|||||||
REITs - Warehouse/Industrials 0.2% | ||||||||
19,445,000 | ProLogis LP, 3.250%, 3/15/2015 |
20,052,656 | ||||||
|
|
|||||||
Technology 3.0% | ||||||||
3,195,000 | Alcatel-Lucent USA, Inc., Series B, 2.875%, 6/15/2025 |
2,803,613 | ||||||
49,215,000 | Ciena Corp., 0.875%, 6/15/2017 |
37,280,362 | ||||||
5,535,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
5,202,900 | ||||||
6,075,000 | Ciena Corp., 4.000%, 3/15/2015, 144A |
5,968,687 | ||||||
11,463,000 | Intel Corp., 2.950%, 12/15/2035 |
11,935,849 | ||||||
220,000,000 | Intel Corp., 3.250%, 8/01/2039 |
275,550,000 | ||||||
4,487,000 | Kulicke & Soffa Industries, Inc., 0.875%, 6/01/2012 |
4,470,174 | ||||||
720,000 | Lam Research Corp., 1.250%, 5/15/2018, 144A |
675,000 | ||||||
50,625,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031, 144A |
44,550,000 | ||||||
|
|
|||||||
388,436,585 | ||||||||
|
|
|||||||
Wirelines 0.8% | ||||||||
6,000,000 | Level 3 Communications, Inc., 6.500%, 10/01/2016 |
7,297,500 | ||||||
54,075,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) |
58,603,781 | ||||||
32,895,000 | Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c) |
35,649,956 | ||||||
900,000 | Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR) |
955,157 | ||||||
|
|
|||||||
102,506,394 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $1,033,426,182) | 1,141,124,258 | |||||||
|
|
|||||||
|
Municipals 1.4% |
| ||||||
California 0.4% | ||||||||
4,170,000 | San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (MBIA insured), 3.750%, 8/01/2028 | 3,135,340 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Municipals continued |
| ||||||
California continued | ||||||||
$ | 1,530,000 | San Jose California Redevelopment Agency Tax Allocation (Merged Area Redevelopment), Series C, (Registered), (MBIA insured), 3.750%, 8/01/2028 |
$ | 1,367,162 | ||||
5,175,000 | State of California, (AMBAC insured), 4.500%, 8/01/2027 |
5,372,012 | ||||||
14,415,000 | State of California, 4.500%, 10/01/2029 |
14,735,013 | ||||||
4,190,000 | State of California, (AMBAC insured), 4.500%, 8/01/2030 |
4,275,560 | ||||||
4,075,000 | State of California, 4.500%, 8/01/2030 |
4,158,211 | ||||||
2,680,000 | State of California (Various Purpose), (MBIA insured), 3.250%, 12/01/2027 |
2,418,593 | ||||||
12,645,000 | State of California (Various Purpose), (AMBAC insured), 4.500%, 12/01/2033 |
12,749,700 | ||||||
|
|
|||||||
48,211,591 | ||||||||
|
|
|||||||
District of Columbia 0.0% | ||||||||
3,850,000 | Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 |
4,323,011 | ||||||
|
|
|||||||
Illinois 0.3% | ||||||||
1,725,000 | Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 |
1,678,580 | ||||||
47,285,000 | State of Illinois, 5.100%, 6/01/2033 |
42,917,758 | ||||||
|
|
|||||||
44,596,338 | ||||||||
|
|
|||||||
Michigan 0.1% | ||||||||
12,500,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) |
9,157,875 | ||||||
|
|
|||||||
Virginia 0.6% | ||||||||
128,820,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c) |
80,824,244 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $226,236,761) |
187,113,059 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $9,765,621,238) |
10,041,070,424 | |||||||
|
|
|||||||
|
Senior Loans 0.3% |
| ||||||
Electric 0.0% | ||||||||
4,788,467 | Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.776%, 10/10/2014(b) | 3,330,762 | ||||||
|
|
|||||||
Media Non-Cable 0.1% | ||||||||
2,837,119 | Dex Media West LLC, New Term Loan, 7.250%, 10/24/2014(b) |
1,574,601 | ||||||
23,375,907 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b) |
10,782,137 | ||||||
|
|
|||||||
12,356,738 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Wireless 0.1% | ||||||||
$ | 8,511,351 | Hawaiian Telcom Communications, Inc., Exit Term Loan, 9.000%, 11/01/2015(b)(h) |
$ | 8,575,186 | ||||
|
|
|||||||
Wirelines 0.1% | ||||||||
25,215,097 | FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b) |
20,048,524 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $71,177,012) |
44,311,210 | |||||||
|
|
Shares | ||||||||
|
Common Stocks 15.6% |
| ||||||
Biotechnology 0.2% | ||||||||
867,059 | Vertex Pharmaceuticals, Inc.(d) | 28,795,029 | ||||||
|
|
|||||||
Chemicals 1.6% | ||||||||
1,364,851 | Dow Chemical Co. (The) | 39,253,115 | ||||||
2,000,000 | PPG Industries, Inc. | 166,980,000 | ||||||
|
|
|||||||
206,233,115 | ||||||||
|
|
|||||||
Containers & Packaging 0.1% | ||||||||
460,656 | Owens-Illinois, Inc.(d) | 8,927,513 | ||||||
1,675 | Rock-Tenn Co., Class A | 96,648 | ||||||
|
|
|||||||
9,024,161 | ||||||||
|
|
|||||||
Diversified Financial Services 0.2% | ||||||||
3,979,932 | Bank of America Corp. | 22,128,422 | ||||||
|
|
|||||||
Diversified Telecommunication Services 2.9% | ||||||||
183,181 | FairPoint Communications, Inc.(d) | 793,174 | ||||||
283,397 | Hawaiian Telcom Holdco, Inc.(d) | 4,364,314 | ||||||
3,871,339 | Telecom Italia SpA, Sponsored ADR | 34,454,917 | ||||||
200,000 | Telecom Italia SpA, Sponsored ADR | 2,130,000 | ||||||
19,550,590 | Telefonica S.A., Sponsored ADR | 336,074,642 | ||||||
|
|
|||||||
377,817,047 | ||||||||
|
|
|||||||
Electric Utilities 0.0% | ||||||||
282,500 | Duke Energy Corp. | 6,215,000 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.0% | ||||||||
41,343 | Corning, Inc. | 536,632 | ||||||
|
|
|||||||
Food Products 0.5% | ||||||||
2,309,175 | ConAgra Foods, Inc. | 60,962,220 | ||||||
|
|
|||||||
Household Durables 0.1% | ||||||||
477,725 | KB Home | 3,210,312 | ||||||
549,450 | Lennar Corp., Class A | 10,796,693 | ||||||
|
|
|||||||
14,007,005 | ||||||||
|
|
|||||||
Media 0.0% | ||||||||
4,701 | Dex One Corp.(d) | 7,804 | ||||||
56,625 | SuperMedia, Inc.(d) | 149,490 | ||||||
|
|
|||||||
157,294 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Oil, Gas & Consumable Fuels 2.5% | ||||||||
846,398 | Chesapeake Energy Corp. | $ | 18,866,211 | |||||
5,119,117 | Repsol YPF S.A., Sponsored ADR | 156,184,260 | ||||||
2,134,173 | Royal Dutch Shell PLC, ADR | 155,986,704 | ||||||
141,249 | Spectra Energy Corp. | 4,343,407 | ||||||
|
|
|||||||
335,380,582 | ||||||||
|
|
|||||||
Pharmaceuticals 3.2% | ||||||||
8,514,190 | Bristol-Myers Squibb Co. | 300,040,055 | ||||||
2,288 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 92,344 | ||||||
2,691,177 | Valeant Pharmaceuticals International, Inc.(d) | 125,651,054 | ||||||
|
|
|||||||
425,783,453 | ||||||||
|
|
|||||||
REITs - Apartments 0.4% | ||||||||
290,904 | Apartment Investment & Management Co., Class A | 6,664,611 | ||||||
889,730 | Associated Estates Realty Corp. | 14,191,193 | ||||||
460,000 | Equity Residential | 26,233,800 | ||||||
|
|
|||||||
47,089,604 | ||||||||
|
|
|||||||
REITs - Regional Malls 0.1% | ||||||||
123,159 | Simon Property Group, Inc. | 15,880,121 | ||||||
|
|
|||||||
REITs - Shopping Centers 0.0% | ||||||||
201,557 | DDR Corp. | 2,452,949 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.5% | ||||||||
13,359,360 | Intel Corp. | 323,964,480 | ||||||
|
|
|||||||
Software 1.3% | ||||||||
6,568,091 | Microsoft Corp. | 170,507,642 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,799,739,510) |
2,046,934,756 | |||||||
|
|
|||||||
|
Preferred Stocks 2.7% |
| ||||||
|
Convertible Preferred Stocks 2.0% |
| ||||||
Automotive 1.0% | ||||||||
2,776,055 | General Motors Co., Series B, 4.750% |
95,079,884 | ||||||
649,840 | Goodyear Tire & Rubber Co. (The), 5.875% |
31,614,716 | ||||||
|
|
|||||||
126,694,600 | ||||||||
|
|
|||||||
Banking 0.2% | ||||||||
19,062 | Bank of America Corp., Series L, 7.250% |
15,021,237 | ||||||
203,658 | Sovereign Capital Trust IV, 4.375% |
9,673,755 | ||||||
8,533 | Wells Fargo & Co., Series L, Class A, 7.500% |
8,993,782 | ||||||
|
|
|||||||
33,688,774 | ||||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
145,110 | United Rentals Trust I, 6.500% |
6,820,170 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
| ||||||
|
Convertible Preferred Stocks continued |
| ||||||
Consumer Products 0.1% | ||||||||
192,518 | Newell Financial Trust I, 5.250% |
$ | 8,133,886 | |||||
|
|
|||||||
Electric 0.2% | ||||||||
380,577 | AES Trust III, 6.750% |
18,682,525 | ||||||
107,725 | CMS Energy Trust I, 7.750%(c)(i) |
4,632,175 | ||||||
|
|
|||||||
23,314,700 | ||||||||
|
|
|||||||
Home Construction 0.0% | ||||||||
355,000 | Hovnanian Enterprises, Inc., 7.250% |
2,715,750 | ||||||
|
|
|||||||
Independent Energy 0.1% | ||||||||
52,020 | Chesapeake Energy Corp., 4.500% |
4,817,572 | ||||||
99,800 | SandRidge Energy, Inc., 8.500% |
12,371,208 | ||||||
|
|
|||||||
17,188,780 | ||||||||
|
|
|||||||
Pipelines 0.1% | ||||||||
242,297 | El Paso Energy Capital Trust I, 4.750% |
11,155,354 | ||||||
|
|
|||||||
REITs - Healthcare 0.0% | ||||||||
116,700 | Health Care REIT, Inc., Series I, 6.500% |
5,971,539 | ||||||
|
|
|||||||
Technology 0.2% | ||||||||
39,920 | Lucent Technologies Capital Trust I, 7.750% |
24,510,880 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $304,089,347) |
260,194,433 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stocks 0.7% |
| ||||||
Banking 0.2% | ||||||||
35,000 | Bank of America Corp., 6.375% |
638,050 | ||||||
847,800 | Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875% |
22,093,668 | ||||||
389,800 | Countrywide Capital IV, 6.750% |
7,741,428 | ||||||
|
|
|||||||
30,473,146 | ||||||||
|
|
|||||||
Electric 0.0% | ||||||||
393 | Entergy New Orleans, Inc., 4.750% |
38,944 | ||||||
|
|
|||||||
Government Sponsored 0.2% | ||||||||
26,000 | Falcons Funding Trust I, (Step to 10.875% on 3/15/2015, variable rate after 3/15/2020), 8.875%, 144A(g) |
27,340,625 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
| ||||||
|
Non-Convertible Preferred Stocks continued |
| ||||||
Home Construction 0.0% | ||||||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(d) |
$ | 291,544 | |||||
|
|
|||||||
Non-Captive Consumer 0.0% | ||||||||
101,175 | SLM Corp., Series A, 6.970% |
4,057,117 | ||||||
|
|
|||||||
Non-Captive Diversified 0.2% | ||||||||
37,416 | Ally Financial, Inc., Series G, 7.000%, 144A |
26,821,428 | ||||||
|
|
|||||||
REITs - Office Property 0.0% | ||||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% |
1,760,588 | ||||||
|
|
|||||||
REITs - Warehouse/Industrials 0.1% | ||||||||
116,192 | ProLogis, Inc., Series Q, 8.540% | 6,369,645 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $75,886,834) |
97,153,037 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $379,976,181) |
357,347,470 | |||||||
|
|
|||||||
|
Closed End Investment Companies 0.1% |
| ||||||
681,131 | Highland Credit Strategies Fund | 4,209,390 | ||||||
104,115 | Morgan Stanley Emerging Markets Debt Fund, Inc. | 1,083,837 | ||||||
1,017,081 | Western Asset High Income Opportunity Fund, Inc. | 6,275,390 | ||||||
|
|
|||||||
Total Closed End Investment Companies (Identified Cost $17,761,684) |
11,568,617 | |||||||
|
|
Principal Amount () |
||||||||
|
Short-Term Investments 3.6% |
| ||||||
$ | 1,467,094 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/30/2011 at 0.000% to be repurchased at $1,467,094 on 1/03/2012 collateralized by $1,500,000 U.S. Treasury Bill, due 3/08/2012 valued at $1,499,946 including accrued interest(j) | 1,467,094 | |||||
468,042,632 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $468,042,632 on 1/03/2012 collateralized by $134,835,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $158,768,213; $48,415,000 Federal Home Loan Mortgage Corp., 2.500% due 5/27/2016 valued at $51,440,937; $78,265,000 U.S. Treasury Note, 1.250% due 10/31/2015 valued at $80,358,432; $175,000,000 U.S. Treasury Note, 2.125% due 2/29/2016 valued at $186,375,000; $465,000 Federal National Mortgage Association Discount Note, due 6/06/2012 valued at $464,768 including accrued interest(j) | 468,042,632 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $469,509,726) |
469,509,726 | |||||||
|
|
|||||||
Total Investments 98.5% (Identified Cost $12,503,785,351)(a) |
12,970,742,203 | |||||||
Other assets less liabilities 1.5% | 202,246,932 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 13,172,989,135 | ||||||
|
|
() | Principal amount stated in U.S. dollars unless otherwise noted. |
() | Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. |
Senior loans are priced at bid prices supplied by a pricing service, if available.
Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security.
Investments in other open-end investment companies are valued at their net asset value each day.
Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value.
Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees.
The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value.
The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.
() | Amount shown represents units. One unit represents a principal amount of 25. |
() | Amount shown represents units. One unit represents a principal amount of 100. |
(a) | Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales. Amortization of premium on debt securities is excluded for tax purposes.): |
At December 31, 2011, the net unrealized appreciation on investments based on a cost of $12,543,421,937 for federal income tax purposes was as follows: |
Aggregate gross unrealized appreciation for all investments in which there is an excess of tax cost over value |
$ | 1,319,494,332 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of value over tax cost |
(892,174,066 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 427,320,266 | ||
|
|
At September 30, 2011, the Fund had a capital loss carryforward of $440,508,454 which expires on September 30, 2018. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
(b) | Variable rate security. Rate as of December 31, 2011 is disclosed. |
(c) | Illiquid security. At December 31, 2011, the value of these securities amounted to $278,915,205 or 2.1% of net assets. |
(d) | Non-income producing security. |
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(f) | Maturity has been extended under the terms of a plan of reorganization. |
(g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(h) | All or a portion of interest payment is paid-in-kind. |
(i) | Fair valued security by the Funds investment adviser. At December 31, 2011, the value of this security amounted to $4,632,175 representing less than 0.1% of net assets. |
(j) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2011, the value of Rule 144A holdings amounted to $1,281,772,438 or 9.7% of net assets. | |||
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |||
ABS | Asset-Backed Securities | |||
AGMC | Assured Guaranty Municipal Corp. | |||
AMBAC | American Municipal Bond Assurance Corp. | |||
EMTN | Euro Medium Term Note | |||
GMTN | Global Medium Term Note | |||
MBIA | Municipal Bond Investors Assurance Corp. | |||
MTN | Medium Term Note | |||
REITs | Real Estate Investment Trusts | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
EUR | Euro | |||
GBP | British Pound | |||
IDR | Indonesian Rupiah | |||
ISK | Icelandic Krona | |||
KRW | South Korean Won | |||
MXN | Mexican Peso | |||
NOK | Norwegian Krone | |||
NZD | New Zealand Dollar | |||
SGD | Singapore Dollar |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Banking |
$ | | $ | 455,360,156 | $ | 48,284,915 | $ | 503,645,071 | ||||||||
Non-Captive Consumer |
2,086,576 | 527,267,694 | | 529,354,270 | ||||||||||||
Treasuries |
| 1,692,949,459 | 20,666,214 | 1,713,615,673 | ||||||||||||
All Other Non-Convertible Bonds* |
| 5,966,218,093 | | 5,966,218,093 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
2,086,576 | 8,641,795,402 | 68,951,129 | 8,712,833,107 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 1,141,124,258 | | 1,141,124,258 | ||||||||||||
Municipals* |
| 187,113,059 | | 187,113,059 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
2,086,576 | 9,970,032,719 | 68,951,129 | 10,041,070,424 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 44,311,210 | | 44,311,210 | ||||||||||||
Common Stocks* |
2,046,934,756 | | | 2,046,934,756 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Banking |
24,015,019 | 9,673,755 | | 33,688,774 | ||||||||||||
Construction Machinery |
| 6,820,170 | | 6,820,170 | ||||||||||||
Consumer Products |
| 8,133,886 | | 8,133,886 | ||||||||||||
Electric |
18,682,525 | | 4,632,175 | 23,314,700 |
Independent Energy |
4,817,572 | 12,371,208 | | 17,188,780 | ||||||||||||
All Other Convertible Preferred Stocks* |
171,048,123 | | | 171,048,123 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
218,563,239 | 36,999,019 | 4,632,175 | 260,194,433 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Electric |
| 38,944 | | 38,944 | ||||||||||||
Government Sponsored |
| 27,340,625 | | 27,340,625 | ||||||||||||
Non-Captive Diversified |
| 26,821,428 | | 26,821,428 | ||||||||||||
REITs - Office Property |
| 1,760,588 | | 1,760,588 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
41,191,452 | | | 41,191,452 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
41,191,452 | 55,961,585 | | 97,153,037 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
259,754,691 | 92,960,604 | 4,632,175 | 357,347,470 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Closed End Investment Companies |
11,568,617 | | | 11,568,617 | ||||||||||||
Short-Term Investments |
| 469,509,726 | | 469,509,726 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,320,344,640 | $ | 10,576,814,259 | $ | 73,583,304 | $ | 12,970,742,203 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A preferred stock valued at $9,179,640 was transferred from Level 1 to Level 2 during the period ended December 31, 2011. At September 30, 2011, this security was valued at market price in accordance with the Funds valuation policies; at December 31, 2011, this security was valued on the basis of evaluated bids furnished to the Fund by a pricing service.
All transfers are recognized as of the beginning of the reporting period.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of December 31, 2011:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of December 31, 2011 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2011 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Banking |
$ | | $ | | $ | | $ | (3,072,056 | ) | $ | 51,356,971 | $ | | $ | | $ | | $ | 48,284,915 | $ | (3,072,056 | ) | ||||||||||||||||||
Consumer Cyclical Services |
4,482,500 | | | | | | | (4,482,500 | ) | | | |||||||||||||||||||||||||||||
Technology |
1,740,000 | | | | | | | (1,740,000 | ) | | | |||||||||||||||||||||||||||||
Treasuries |
742,727 | 405,688 | | (10,782,814 | ) | | | 30,300,613 | | 20,666,214 | (10,782,814 | ) | ||||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Electric |
4,847,625 | | | (215,450 | ) | | | | | 4,632,175 | (215,450 | ) | ||||||||||||||||||||||||||||
Independent Energy |
9,980,000 | | | | | | | (9,980,000 | ) | | | |||||||||||||||||||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Non-Captive Diversified |
22,149,600 | | | | | | | (22,149,600 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 43,942,452 | $ | 405,688 | $ | | $ | (14,070,320 | ) | $ | 51,356,971 | $ | | $ | 30,300,613 | $ | (38,352,100 | )) | $ | 73,583,304 | $ | (14,070,320 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $6,222,500 and preferred stocks valued at $32,129,600 were transferred from Level 3 to Level 2 during the period ended December 31, 2011. At September 30, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund; at December 31, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service.
Debt securities valued at $30,300,613 were transferred from Level 2 to Level 3 during the period ended December 31, 2011. At September 30, 2011, these securities were valued on the basis of evaluated bids furnished to the Fund by a pricing service; at December 31, 2011, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2011 (Unaudited)
Treasuries |
13.0 | % | ||
Non-Captive Diversified |
8.0 | |||
Technology |
4.9 | |||
Wirelines |
4.8 | |||
Banking |
4.2 | |||
Pharmaceuticals |
4.1 | |||
Non-Captive Consumer |
4.0 | |||
Automotive |
3.6 | |||
Electric |
3.3 | |||
Healthcare |
2.9 | |||
Diversified Telecommunication Services |
2.9 | |||
Airlines |
2.7 | |||
Oil, Gas & Consumable Fuels |
2.5 | |||
Semiconductors & Semiconductor Equipment |
2.5 | |||
Chemicals |
2.4 | |||
Supranational |
2.0 | |||
Other Investments, less than 2% each |
27.1 | |||
Short-Term Investments |
3.6 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure at December 31, 2011 (Unaudited)
United States Dollar |
71.3 | % | ||
Canadian Dollar |
5.9 | |||
New Zealand Dollar |
4.3 | |||
Euro |
3.8 | |||
Norwegian Krone |
3.0 | |||
Australian Dollar |
2.6 | |||
Other, less than 2% each |
7.6 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2011 (Unaudited)
Loomis Sayles Value Fund
Shares |
Description |
Value () | ||||||
|
Common Stocks 98.8% of Net Assets |
|||||||
Aerospace & Defense 2.9% | ||||||||
309,143 | Honeywell International, Inc. |
$ | 16,801,922 | |||||
317,828 | Northrop Grumman Corp. |
18,586,582 | ||||||
|
|
|||||||
35,388,504 | ||||||||
|
|
|||||||
Auto Components 1.6% |
||||||||
697,131 | Goodyear Tire & Rubber Co. (The)(b) |
9,878,346 | ||||||
321,744 | Johnson Controls, Inc. |
10,057,718 | ||||||
|
|
|||||||
19,936,064 | ||||||||
|
|
|||||||
Automobiles 0.7% |
||||||||
409,915 | General Motors Co.(b) |
8,308,977 | ||||||
|
|
|||||||
Beverages 3.2% |
||||||||
651,759 | Coca-Cola Enterprises, Inc. |
16,802,347 | ||||||
329,309 | PepsiCo, Inc. |
21,849,652 | ||||||
|
|
|||||||
38,651,999 | ||||||||
|
|
|||||||
Biotechnology 1.4% |
||||||||
269,609 | Amgen, Inc. |
17,311,594 | ||||||
|
|
|||||||
Capital Markets 4.6% |
||||||||
320,300 | Ameriprise Financial, Inc. |
15,899,692 | ||||||
495,525 | Bank of New York Mellon Corp. |
9,865,903 | ||||||
494,848 | Legg Mason, Inc. |
11,901,094 | ||||||
437,176 | State Street Corp. |
17,622,565 | ||||||
|
|
|||||||
55,289,254 | ||||||||
|
|
|||||||
Chemicals 1.2% |
||||||||
171,700 | Air Products & Chemicals, Inc. |
14,627,123 | ||||||
|
|
|||||||
Commercial Banks 6.0% |
||||||||
1,379,621 | Fifth Third Bancorp |
17,548,779 | ||||||
343,999 | PNC Financial Services Group, Inc. |
19,838,422 | ||||||
462,311 | U.S. Bancorp |
12,505,513 | ||||||
803,313 | Wells Fargo & Co. |
22,139,306 | ||||||
|
|
|||||||
72,032,020 | ||||||||
|
|
|||||||
Communications Equipment 2.5% |
||||||||
854,019 | Cisco Systems, Inc. |
15,440,664 | ||||||
328,301 | Motorola Solutions, Inc. |
15,197,053 | ||||||
|
|
|||||||
30,637,717 | ||||||||
|
|
|||||||
Computers & Peripherals 0.9% |
||||||||
27,315 | Apple, Inc.(b) |
11,062,575 | ||||||
|
|
|||||||
Construction Materials 0.9% |
||||||||
276,995 | Vulcan Materials Co. |
10,899,753 | ||||||
|
|
|||||||
Consumer Finance 1.3% |
||||||||
647,252 | Discover Financial Services |
15,534,048 | ||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Diversified Financial Services 4.2% | ||||||||
1,521,931 | Bank of America Corp. | $ | 8,461,936 | |||||
599,534 | Citigroup, Inc. | 15,773,740 | ||||||
786,121 | JPMorgan Chase & Co. | 26,138,523 | ||||||
|
|
|||||||
50,374,199 | ||||||||
|
|
|||||||
Diversified Telecommunication Services 3.4% | ||||||||
725,387 | AT&T, Inc. | 21,935,703 | ||||||
503,544 | CenturyLink, Inc. | 18,731,837 | ||||||
|
|
|||||||
40,667,540 | ||||||||
|
|
|||||||
Electric Utilities 4.3% | ||||||||
462,040 | Edison International | 19,128,456 | ||||||
405,683 | Exelon Corp. | 17,594,472 | ||||||
521,601 | PPL Corp. | 15,345,501 | ||||||
|
|
|||||||
52,068,429 | ||||||||
|
|
|||||||
Electrical Equipment 1.2% | ||||||||
268,972 | Cooper Industries PLC | 14,564,834 | ||||||
|
|
|||||||
Energy Equipment & Services 2.5% | ||||||||
277,191 | Schlumberger Ltd. | 18,934,917 | ||||||
303,026 | Transocean Ltd. | 11,633,168 | ||||||
|
|
|||||||
30,568,085 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.6% | ||||||||
470,754 | CVS Caremark Corp. | 19,197,348 | ||||||
|
|
|||||||
Food Products 2.6% | ||||||||
307,730 | Kellogg Co. | 15,561,906 | ||||||
841,229 | Sara Lee Corp. | 15,916,053 | ||||||
|
|
|||||||
31,477,959 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 2.8% | ||||||||
382,477 | Covidien PLC | 17,215,290 | ||||||
445,291 | Medtronic, Inc. | 17,032,381 | ||||||
|
|
|||||||
34,247,671 | ||||||||
|
|
|||||||
Health Care Providers & Services 2.8% | ||||||||
465,541 | HCA Holdings, Inc.(b) | 10,255,868 | ||||||
461,375 | UnitedHealth Group, Inc. | 23,382,485 | ||||||
|
|
|||||||
33,638,353 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 1.5% | ||||||||
1,090,242 | Calpine Corp.(b) | 17,803,652 | ||||||
|
|
|||||||
Industrial Conglomerates 1.9% | ||||||||
1,266,233 | General Electric Co. | 22,678,233 | ||||||
|
|
|||||||
Insurance 3.6% | ||||||||
496,168 | MetLife, Inc. | 15,470,518 | ||||||
255,127 | Travelers Cos., Inc. (The) | 15,095,864 | ||||||
611,309 | Unum Group | 12,880,281 | ||||||
|
|
|||||||
43,446,663 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Internet & Catalog Retail 1.2% | ||||||||
913,488 | Liberty Interactive Corp., Class A(b) | $ | 14,812,208 | |||||
|
|
|||||||
Internet Software & Services 1.8% | ||||||||
482,041 | AOL, Inc.(b) | 7,278,819 | ||||||
482,290 | eBay, Inc.(b) | 14,627,856 | ||||||
|
|
|||||||
21,906,675 | ||||||||
|
|
|||||||
Machinery 3.3% | ||||||||
352,532 | Eaton Corp. | 15,345,718 | ||||||
290,390 | Harsco Corp. | 5,976,226 | ||||||
273,722 | Stanley Black & Decker, Inc. | 18,503,607 | ||||||
|
|
|||||||
39,825,551 | ||||||||
|
|
|||||||
Media 6.5% | ||||||||
392,725 | CBS Corp., Class B | 10,658,557 | ||||||
1,109,690 | Comcast Corp., Class A | 26,310,750 | ||||||
243,523 | DIRECTV, Class A(b) | 10,413,043 | ||||||
306,199 | Omnicom Group, Inc. | 13,650,351 | ||||||
382,480 | Viacom, Inc., Class B | 17,368,417 | ||||||
|
|
|||||||
78,401,118 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 10.3% | ||||||||
258,007 | Chevron Corp. | 27,451,945 | ||||||
247,018 | CONSOL Energy, Inc. | 9,065,561 | ||||||
495,832 | El Paso Corp. | 13,174,256 | ||||||
397,171 | ExxonMobil Corp. | 33,664,214 | ||||||
357,356 | Hess Corp. | 20,297,821 | ||||||
64,665 | Noble Energy, Inc. | 6,103,729 | ||||||
195,183 | SM Energy Co. | 14,267,877 | ||||||
|
|
|||||||
124,025,403 | ||||||||
|
|
|||||||
Pharmaceuticals 7.1% | ||||||||
390,886 | Bristol-Myers Squibb Co. | 13,774,823 | ||||||
747,607 | Merck & Co., Inc. | 28,184,784 | ||||||
1,139,394 | Pfizer, Inc. | 24,656,486 | ||||||
542,951 | Sanofi, Sponsored ADR | 19,839,429 | ||||||
|
|
|||||||
86,455,522 | ||||||||
|
|
|||||||
REITs - Diversified 1.2% | ||||||||
765,649 | Weyerhaeuser Co. | 14,294,667 | ||||||
|
|
|||||||
Road & Rail 1.3% | ||||||||
224,357 | Norfolk Southern Corp. | 16,346,651 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.2% | ||||||||
1,157,235 | Applied Materials, Inc. | 12,393,987 | ||||||
497,240 | Texas Instruments, Inc. | 14,474,656 | ||||||
|
|
|||||||
26,868,643 | ||||||||
|
|
|||||||
Software 2.6% | ||||||||
512,099 | Microsoft Corp. | 13,294,090 | ||||||
688,618 | Oracle Corp. | 17,663,052 | ||||||
|
|
|||||||
30,957,142 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Wireless Telecommunication Services 1.7% | ||||||||
735,456 | Vodafone Group PLC, Sponsored ADR |
$ | 20,614,832 | |||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,122,107,610) |
1,194,921,006 | |||||||
|
|
|||||||
Principal Amount |
||||||||
|
Short-Term Investments 1.7% |
|||||||
$20,695,804 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/30/2011 at 0.000% to be repurchased at $20,695,804 on 1/03/2012 collateralized by $21,060,000 Federal National Mortgage Association, 1.070% due 9/21/2015 valued at $21,112,650 including accrued interest(c) (Identified Cost $20,695,804) |
20,695,804 | ||||||
|
|
|||||||
Total Investments 100.5% (Identified Cost $1,142,803,414)(a) |
1,215,616,810 | |||||||
Other assets less liabilities (0.5)% |
(6,045,291 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,209,571,519 | ||||||
|
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() Equity securities, including shares of closed-end investment companies and exchange-traded funds, for which market quotations are readily available are valued at market value, as reported by pricing services recommended by the investment adviser and approved by the Board of Trustees. Such pricing services generally use the securitys last sale price on the exchange or market where the security is primarily traded or, if there is no reported sale during the day, the closing bid price. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (NOCP), or if lacking a NOCP, at the most recent bid quotation on the applicable NASDAQ Market. Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are generally valued on the basis of evaluated bids furnished to the Fund by a pricing service recommended by the investment adviser and approved by the Board of Trustees, which service determines valuations for normal, institutional-size trading units of such securities using market information, transactions for comparable securities and various relationships between securities which are generally recognized by institutional traders. Broker-dealer bid quotations may also be used to value debt and equity securities where a pricing service does not price a security or where a pricing service does not provide a reliable price for the security. Investments in other open-end investment companies are valued at their net asset value each day. Short-term obligations purchased with an original or remaining maturity of sixty days or less are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser using consistently applied procedures under the general supervision of the Board of Trustees. The Fund may hold securities traded in foreign markets. Foreign securities are valued at the market price in the foreign market. However, if events occurring after the close of the foreign market (but before the close of regular trading on the New York Stock Exchange) are believed to materially affect the value of those securities, such securities are fair valued pursuant to procedures approved by the Board of Trustees. When fair valuing securities, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities market activity and/or significant events that occur after the close of the foreign market and before the Fund calculates its net asset value. The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period. |
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(a) Federal Tax Information (Amounts exclude certain adjustments made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
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At December 31, 2011, the net unrealized appreciation on investments based on a cost of $1,142,803,414 for federal income tax purposes was as follows: |
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Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 142,189,517 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(69,376,121 | ) | ||
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Net unrealized appreciation |
$ | 72,813,396 | ||
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At September 30, 2011, the Fund had a capital loss carryforward of $55,601,112 of which $1,676,396 expires on September 30, 2017 and $53,924,716 expires on September 30, 2018. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations. On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the Act) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limited the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused. |
(b) Non-income producing security. |
(c) It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
ADR An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
REITs Real Estate Investment Trusts |
Fair Value Measurements |
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below: Level 1 quoted prices in active markets for identical assets or liabilities;
Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.);
Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2011, at value:
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Asset Valuation Inputs | ||||||||||||||||
Description* |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
$ | 1,194,921,006 | $ | | $ | | $ | 1,194,921,006 | ||||||||
Short-Term Investments |
| 20,695,804 | | 20,695,804 | ||||||||||||
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Total |
$ | 1,194,921,006 | $ | 20,695,804 | $ | | $ | 1,215,616,810 | ||||||||
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* Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
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Industry Summary at December 31, 2011 (Unaudited) |
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Oil, Gas & Consumable Fuels |
10.3 | % | ||
Pharmaceuticals |
7.1 | |||
Media |
6.5 | |||
Commercial Banks |
6.0 | |||
Capital Markets |
4.6 | |||
Electric Utilities |
4.3 | |||
Diversified Financial Services |
4.2 | |||
Insurance |
3.6 | |||
Diversified Telecommunication Services |
3.4 | |||
Machinery |
3.3 | |||
Beverages |
3.2 | |||
Aerospace & Defense |
2.9 | |||
Health Care Equipment & Supplies |
2.8 | |||
Health Care Providers & Services |
2.8 | |||
Food Products |
2.6 | |||
Software |
2.6 | |||
Communications Equipment |
2.5 | |||
Energy Equipment & Services |
2.5 | |||
Semiconductors & Semiconductor Equipment |
2.2 | |||
Other Investments, less than 2% each |
21.4 | |||
Short-Term Investments |
1.7 | |||
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Total Investments |
100.5 | |||
Other assets less liabilities |
(0.5 | ) | ||
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Net Assets |
100.0 | % | ||
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ITEM 2. | CONTROLS AND PROCEDURES. |
The registrants principal executive officer and principal financial officer have concluded that the registrants disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms, based upon such officers evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
There were no changes in the registrants internal control over financial reporting that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
ITEM 3. | EXHIBITS |
(a)(1) | Certification for the Principal Executive Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. | |
(a)(2) | Certification for the Principal Financial Officer pursuant to Rule 30a-2(a) of the Investment Company Act of 1940 (17 CFR 270.30a-2(a)), filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Loomis Sayles Funds II | ||
By: | /s/ Robert J. Blanding | |
Name: Robert J. Blanding Title: Chief Executive Officer Date: February 14, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Robert J. Blanding | |
Name: Robert J. Blanding Title: Chief Executive Officer Date: February 14, 2012 |
By: | /s/ Michael C. Kardok | |
Name: Michael C. Kardok Title: Treasurer Date: February 14, 2012 |
Exhibit (a)(1)
Loomis Sayles Funds II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Robert J. Blanding, certify that:
1. | I have reviewed this report on Form N-Q of Loomis Sayles Funds II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 14, 2012 | ||||||
/s/ Robert J. Blanding | ||||||
Robert J. Blanding | ||||||
Chief Executive Officer |
Exhibit (a)(2)
Loomis Sayles Funds II
Exhibit to SEC Form N-Q
Section 302 Certification
I, Michael C. Kardok, certify that:
1. | I have reviewed this report on Form N-Q of Loomis Sayles Funds II; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based upon such evaluation; and |
d. | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 14, 2012 | ||||||
/s/ Michael C. Kardok | ||||||
Michael C. Kardok | ||||||
Treasurer |