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, 2012
ITEM 1. | SCHEDULE OF INVESTMENTS |
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Global Equity and Income Fund
Shares |
Description |
Value () | ||||||
Common Stocks 66.6% of Net Assets |
| |||||||
Belgium 1.4% | ||||||||
158,503 |
Anheuser-Busch InBev NV | $ | 13,803,164 | |||||
|
|
|||||||
Brazil 3.8% | ||||||||
538,800 |
Cia Hering | 11,049,677 | ||||||
541,100 |
Mills Estruturas e Servicos de Engenharia S.A. | 8,985,299 | ||||||
383,100 |
Natura Cosmeticos S.A. | 10,971,909 | ||||||
699,900 |
Qualicorp, S.A.(b) | 7,250,246 | ||||||
|
|
|||||||
38,257,131 | ||||||||
|
|
|||||||
Canada 0.8% | ||||||||
208,808 |
Potash Corp. of Saskatchewan, Inc. | 8,496,397 | ||||||
|
|
|||||||
Chile 2.4% | ||||||||
403,293 |
Banco Santander Chile, ADR | 11,489,818 | ||||||
1,277,956 |
S.A.C.I. Falabella | 13,133,250 | ||||||
|
|
|||||||
24,623,068 | ||||||||
|
|
|||||||
China 1.3% | ||||||||
1,166,500 |
China Mobile Ltd. | 13,727,015 | ||||||
|
|
|||||||
France 1.8% | ||||||||
189,523 |
Sanofi | 17,972,436 | ||||||
|
|
|||||||
Germany 0.9% | ||||||||
87,588 |
Siemens AG, (Registered) | 9,577,800 | ||||||
|
|
|||||||
Hong Kong 1.0% | ||||||||
2,420,000 |
Hang Lung Properties Ltd. | 9,739,085 | ||||||
|
|
|||||||
Japan 1.4% | ||||||||
78,300 |
FANUC Corp. | 14,567,673 | ||||||
|
|
|||||||
Mexico 1.3% | ||||||||
6,212,800 |
Genomma Lab Internacional S.A. de CV, Class B(b) | 12,765,599 | ||||||
|
|
|||||||
Netherlands 2.9% | ||||||||
1,198,049 |
DE Master Blenders 1753 NV(b) | 13,764,032 | ||||||
222,441 |
Royal Dutch Shell PLC, ADR | 15,337,307 | ||||||
|
|
|||||||
29,101,339 | ||||||||
|
|
|||||||
Russia 0.9% | ||||||||
261,794 |
Mail.ru Group Ltd., GDR, 144A(c) | 9,018,803 | ||||||
|
|
|||||||
Sweden 2.4% | ||||||||
471,660 |
Atlas Copco AB, Class A | 13,079,255 | ||||||
712,303 |
Elekta AB, Class B | 11,106,544 | ||||||
|
|
|||||||
24,185,799 | ||||||||
|
|
|||||||
Switzerland 1.7% | ||||||||
86,677 |
Roche Holding AG | 17,524,454 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Thailand 0.2% | ||||||||
131,800 | Siam Cement PCL | $ | 2,018,486 | |||||
|
|
|||||||
United Kingdom 9.0% | ||||||||
468,826 | Antofagasta PLC | 10,274,296 | ||||||
2,269,500 | Barclays PLC | 9,858,660 | ||||||
451,243 | BG Group PLC | 7,526,641 | ||||||
242,678 | British American Tobacco PLC | 12,336,525 | ||||||
306,131 | Burberry Group PLC | 6,153,683 | ||||||
678,597 | Diageo PLC | 19,765,224 | ||||||
570,770 | Standard Chartered PLC | 14,771,380 | ||||||
4,093,445 | Vodafone Group PLC | 10,304,281 | ||||||
|
|
|||||||
90,990,690 | ||||||||
|
|
|||||||
United States 33.4% | ||||||||
171,980 | ACE Ltd. | 13,724,004 | ||||||
271,231 | American Express Co. | 15,590,358 | ||||||
32,665 | Apple, Inc. | 17,411,425 | ||||||
210,057 | AT&T, Inc. | 7,081,021 | ||||||
790,370 | Calpine Corp.(b) | 14,329,408 | ||||||
80,675 | Caterpillar, Inc. | 7,226,866 | ||||||
218,826 | CenturyLink, Inc. | 8,560,473 | ||||||
581,919 | Citigroup, Inc. | 23,020,716 | ||||||
290,642 | CVS Caremark Corp. | 14,052,541 | ||||||
1,622 | Dynegy, Inc.(b) | 31,029 | ||||||
114,002 | Genesee & Wyoming, Inc., Class A(b) | 8,673,272 | ||||||
26,049 | Google, Inc., Class A(b) | 18,478,379 | ||||||
955 | Hawaiian Telcom Holdco, Inc.(b) | 18,623 | ||||||
126,765 | Jones Lang LaSalle, Inc. | 10,640,654 | ||||||
245,205 | Lowes Cos., Inc. | 8,709,682 | ||||||
393,934 | Microsoft Corp. | 10,529,856 | ||||||
196,390 | National Fuel Gas Co. | 9,955,009 | ||||||
122,689 | National Oilwell Varco, Inc. | 8,385,793 | ||||||
139,338 | Noble Energy, Inc. | 14,176,248 | ||||||
598,788 | Oracle Corp. | 19,951,616 | ||||||
273,078 | PNC Financial Services Group, Inc. | 15,923,178 | ||||||
150,373 | Praxair, Inc. | 16,458,325 | ||||||
51,353 | Precision Castparts Corp. | 9,727,285 | ||||||
19,745 | Priceline.com, Inc.(b) | 12,265,594 | ||||||
182,823 | QUALCOMM, Inc. | 11,338,682 | ||||||
199,403 | Schlumberger Ltd. | 13,816,634 | ||||||
359,617 | Texas Instruments, Inc. | 11,126,550 | ||||||
136,716 | UnitedHealth Group, Inc. | 7,415,476 | ||||||
119,354 | Valspar Corp. | 7,447,690 | ||||||
26,818 | Vertex Pharmaceuticals, Inc.(b) | 1,124,747 | ||||||
|
|
|||||||
337,191,134 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $619,574,009) | 673,560,073 | |||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 28.3% |
| |||||||||
Non-Convertible Bonds 27.5% |
| |||||||||
Argentina 0.2% | ||||||||||
$ | 485,000 | Argentina Boden Bonds, 7.000%, 10/03/2015 | $ | 433,145 | ||||||
1,176,049 | Argentina Government International Bond, 8.280%, 12/31/2033 | 840,875 | ||||||||
170,000 | Pan American Energy LLC, 7.875%, 5/07/2021, 144A | 146,625 | ||||||||
500,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A | 415,000 | ||||||||
|
|
|||||||||
1,835,645 | ||||||||||
|
|
|||||||||
Australia 0.2% | ||||||||||
1,200,000 | Macquarie Bank Ltd., 5.000%, 2/22/2017, 144A | 1,312,440 | ||||||||
500,000 | Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A | 552,670 | ||||||||
235,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) | 272,733 | ||||||||
155,000 | Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A | 172,391 | ||||||||
|
|
|||||||||
2,310,234 | ||||||||||
|
|
|||||||||
Belgium 0.1% | ||||||||||
350,000 | Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP) | 685,123 | ||||||||
|
|
|||||||||
Brazil 1.2% | ||||||||||
600,000 | Banco BTG Pactual S.A., 5.750%, 9/28/2022, 144A | 615,000 | ||||||||
800,000 | Banco do Brasil S.A., 3.875%, 10/10/2022 | 806,000 | ||||||||
400,000 | Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A | 414,000 | ||||||||
600,000 | Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A | 634,500 | ||||||||
1,841,784 | Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL) | 952,697 | ||||||||
800,000 | Braskem Finance Ltd., 5.750%, 4/15/2021, 144A | 842,000 | ||||||||
666,421 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL) | 349,286 | |||||||
533,137 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL) | 284,877 | |||||||
1,115 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL) | 573,925 | |||||||
600,000 | BRFBrazil Foods S.A., 5.875%, 6/06/2022, 144A | 661,500 | ||||||||
400,000 | CSN Resources S.A., 6.500%, 7/21/2020, 144A | 434,000 | ||||||||
450,000 | Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A | 498,375 | ||||||||
300,000 | Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A | 331,500 | ||||||||
100,000 | LPG International, Inc., 7.250%, 12/20/2015 | 111,800 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Brazil continued | ||||||||||
$ | 100,000 | Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A | $ | 86,250 | ||||||
190,000 | Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A | 213,275 | ||||||||
420,000 | Odebrecht Finance Ltd., 6.000%, 4/05/2023, 144A | 485,625 | ||||||||
600,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A | 540,000 | ||||||||
2,400,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) | 1,230,769 | ||||||||
320,000 | Petrobras International Finance Co., 5.375%, 1/27/2021 | 360,262 | ||||||||
300,000 | Petrobras International Finance Co., 6.875%, 1/20/2040 | 381,110 | ||||||||
800,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A | 814,000 | ||||||||
129,000 | Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A | 134,160 | ||||||||
536,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 | 664,415 | ||||||||
|
|
|||||||||
12,419,326 | ||||||||||
|
|
|||||||||
Canada 1.0% | ||||||||||
1,570,000 | Bank of Nova Scotia, 1.375%, 12/18/2017 | 1,572,175 | ||||||||
2,880,000 | Canadian Government, 3.000%, 12/01/2015, (CAD)(d) | 3,039,910 | ||||||||
650,000 | Canadian Government, 3.500%, 6/01/2013, (CAD) | 660,076 | ||||||||
2,695,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) | 3,105,062 | ||||||||
465,000 | Pacific Rubiales Energy Corp., 7.250%, 12/12/2021, 144A | 537,075 | ||||||||
100,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) | 112,845 | ||||||||
600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) | 686,299 | ||||||||
|
|
|||||||||
9,713,442 | ||||||||||
|
|
|||||||||
Chile 0.3% | ||||||||||
1,450,000 | Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A | 1,477,633 | ||||||||
250,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) | 522,193 | ||||||||
200,000 | Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022 | 209,781 | ||||||||
250,000 | E.CL S.A., 5.625%, 1/15/2021, 144A | 280,850 | ||||||||
|
|
|||||||||
2,490,457 | ||||||||||
|
|
|||||||||
China 0.1% | ||||||||||
800,000 | Baidu, Inc., 2.250%, 11/28/2017 | 804,960 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
China continued | ||||||||||
$ | 400,000 | China Resources Gas Group Ltd., 4.500%, 4/05/2022, 144A | $ | 439,956 | ||||||
|
|
|||||||||
1,244,916 | ||||||||||
|
|
|||||||||
Colombia 0.2% | ||||||||||
400,000 | Banco Davivienda S.A., 5.875%, 7/09/2022, 144A | 416,000 | ||||||||
555,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A | 564,019 | ||||||||
435,000,000 | Emegas S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) | 288,424 | ||||||||
1,300,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) | 849,819 | ||||||||
200,000,000 | Republic of Colombia, 7.750%, 4/14/2021, (COP) | 141,653 | ||||||||
40,000 | Republic of Colombia, 8.125%, 5/21/2024 | 60,200 | ||||||||
|
|
|||||||||
2,320,115 | ||||||||||
|
|
|||||||||
Costa Rica 0.1% | ||||||||||
600,000 | Costa Rica Government International Bond, 4.250%, 1/26/2023, 144A | 605,400 | ||||||||
370,000,000 | Republic of Costa Rica, 10.580%, 9/23/2015, (CRC) | 752,093 | ||||||||
|
|
|||||||||
1,357,493 | ||||||||||
|
|
|||||||||
Curacao 0.2% | ||||||||||
1,580,000 | Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/2022 | 1,598,262 | ||||||||
|
|
|||||||||
Czech Republic 0.0% | ||||||||||
400,000 | CEZ AS, 4.250%, 4/03/2022, 144A | 428,176 | ||||||||
|
|
|||||||||
France 0.0% | ||||||||||
200,000 | AXA S.A., 7.125%, 12/15/2020, (GBP) | 372,802 | ||||||||
|
|
|||||||||
Hong Kong 0.2% | ||||||||||
600,000 | Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter), 6.375%, 5/04/2022 |
676,733 | ||||||||
400,000 | Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A | 424,446 | ||||||||
400,000 | Noble Group Ltd., 6.750%, 1/29/2020, 144A | 421,500 | ||||||||
|
|
|||||||||
1,522,679 | ||||||||||
|
|
|||||||||
Hungary 0.0% | ||||||||||
200,000 | Hungary Government International Bond, 6.375%, 3/29/2021 | 220,800 | ||||||||
|
|
|||||||||
Iceland 0.1% | ||||||||||
1,000,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A | 1,116,450 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
India 0.2% | ||||||||
$ |
200,000 |
Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021 | $ | 198,727 | ||||
1,400,000 |
ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
1,412,250 | ||||||
700,000 |
State Bank of India/London, 4.125%, 8/01/2017, 144A | 720,860 | ||||||
|
|
|||||||
2,331,837 | ||||||||
|
|
|||||||
Indonesia 0.1% | ||||||||
200,000 |
Adaro Indonesia PT, 7.625%, 10/22/2019, 144A | 222,000 | ||||||
3,500,000,000 |
Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR) | 477,602 | ||||||
781,000,000 |
Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR) | 110,501 | ||||||
|
|
|||||||
810,103 | ||||||||
|
|
|||||||
Ireland 0.0% | ||||||||
100,000 |
WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) | 185,790 | ||||||
|
|
|||||||
Italy 0.5% | ||||||||
250,000 |
Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR) | 321,334 | ||||||
500,000 |
Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR) | 573,517 | ||||||
2,645,000 |
Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR) | 3,667,020 | ||||||
400,000 |
Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR) | 555,541 | ||||||
125,000 |
Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 122,187 | ||||||
10,000 |
Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 10,075 | ||||||
100,000 |
Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR) | 145,023 | ||||||
|
|
|||||||
5,394,697 | ||||||||
|
|
|||||||
Korea 1.0% | ||||||||
8,000,000 |
Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) | 206,144 | ||||||
400,000 |
Hana Bank, 4.000%, 11/03/2016, 144A | 429,892 | ||||||
600,000 |
Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A | 633,606 | ||||||
600,000 |
Hyundai Steel Co., 4.625%, 4/21/2016, 144A | 643,357 | ||||||
600,000 |
Industrial Bank of Korea, 2.375%, 7/17/2017, 144A | 609,296 | ||||||
400,000 |
Kia Motors Corp., 3.625%, 6/14/2016, 144A | 419,296 | ||||||
400,000 |
Korea Finance Corp., 4.625%, 11/16/2021 | 452,073 | ||||||
400,000 |
Korea National Oil Corp., 3.125%, 4/03/2017, 144A | 419,641 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Korea continued | ||||||||||
3,384,140,000 | Korea Treasury Bond, 2.750%, 9/10/2017, (KRW) | $ | 3,125,176 | |||||||
2,700,000,000 | Korea Treasury Bond, 5.000%, 9/10/2014, (KRW) | 2,610,305 | ||||||||
250,000 | Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A | 259,327 | ||||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A | 180,600 | ||||||||
200,000 | Woori Bank, 5.875%, 4/13/2021, 144A | 231,595 | ||||||||
|
|
|||||||||
10,220,308 | ||||||||||
|
|
|||||||||
Luxembourg 0.1% | ||||||||||
400,000 | Altice Financing SA, 7.875%, 12/15/2019, 144A | 423,000 | ||||||||
400,000 | ArcelorMittal, 7.250%, 3/01/2041 | 371,000 | ||||||||
400,000 | VTB Bank OJSC, 6.000%, 4/12/2017, 144A | 431,212 | ||||||||
|
|
|||||||||
1,225,212 | ||||||||||
|
|
|||||||||
Malaysia 0.7% | ||||||||||
1,750,000 | Malaysia Government Bond, 3.434%, 8/15/2014, (MYR) | 575,818 | ||||||||
18,220,000 | Malaysia Government Bond, 4.012%, 9/15/2017, (MYR) | 6,157,085 | ||||||||
1,000,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) | 339,868 | ||||||||
|
|
|||||||||
7,072,771 | ||||||||||
|
|
|||||||||
Mexico 1.5% | ||||||||||
7,000,000 | America Movil SAB de CV, 3.500%, 2/08/2015, (CNY) | 1,130,427 | ||||||||
10,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 794,081 | ||||||||
300,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A |
305,250 | ||||||||
600,000 | BBVA Bancomer S.A., 6.750%, 9/30/2022, 144A | 675,000 | ||||||||
700,000 | Corporacion GEO SAB de CV, 9.250%, 6/30/2020, 144A | 752,500 | ||||||||
600,000 | Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A | 651,000 | ||||||||
94,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) | 785,895 | |||||||
668,400 | () | Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN) | 5,755,687 | |||||||
74,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) | 620,530 | |||||||
282,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN) | 2,552,728 | |||||||
65,000 | () | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) | 703,638 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Mexico continued | ||||||||||
80,000 | () | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) | $ | 782,096 | ||||||
|
|
|||||||||
15,508,832 | ||||||||||
|
|
|||||||||
Netherlands 0.1% | ||||||||||
200,000 | Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A | 226,000 | ||||||||
400,000 | Listrindo Capital BV, 6.950%, 2/21/2019, 144A | 446,172 | ||||||||
100,000 | Myriad International Holding BV, 6.375%, 7/28/2017, 144A | 112,750 | ||||||||
|
|
|||||||||
784,922 | ||||||||||
|
|
|||||||||
New Zealand 0.1% | ||||||||||
1,000,000 | New Zealand Government Bond, 6.000%, 5/15/2021, (NZD) | 982,345 | ||||||||
|
|
|||||||||
Norway 0.4% | ||||||||||
475,000 | Eksportfinans ASA, 2.000%, 9/15/2015 | 454,654 | ||||||||
3,335,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) | 668,427 | ||||||||
13,760,000 | Norwegian Government Bond, 4.500%, 5/22/2019, (NOK) | 2,886,722 | ||||||||
|
|
|||||||||
4,009,803 | ||||||||||
|
|
|||||||||
Panama 0.0% | ||||||||||
300,000 | Banco Latinoamericano de Comercio Exterior, S.A., 3.750%, 4/04/2017, 144A | 307,050 | ||||||||
|
|
|||||||||
Philippines 0.2% | ||||||||||
40,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) | 1,008,219 | ||||||||
30,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP) | 876,712 | ||||||||
|
|
|||||||||
1,884,931 | ||||||||||
|
|
|||||||||
Poland 0.2% | ||||||||||
2,200,000 | Poland Government Bond, 4.750%, 4/25/2017, (PLN) | 754,923 | ||||||||
95,000 | Poland Government International Bond, 3.000%, 9/23/2014, (CHF) | 108,175 | ||||||||
800,000 | Poland Government International Bond, 3.000%, 3/17/2023 | 798,000 | ||||||||
|
|
|||||||||
1,661,098 | ||||||||||
|
|
|||||||||
Russia 0.0% | ||||||||||
200,000 | Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A | 214,750 | ||||||||
|
|
|||||||||
Singapore 0.8% | ||||||||||
2,000,000 | DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A |
2,092,238 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Singapore continued | ||||||||||
3,355,000 | Singapore Government Bond, 1.625%, 4/01/2013, (SGD) | $ | 2,755,376 | |||||||
345,000 | Singapore Government Bond, 2.250%, 7/01/2013, (SGD) | 285,282 | ||||||||
605,000 | Singapore Government Bond, 2.250%, 6/01/2021, (SGD) | 538,015 | ||||||||
2,470,000 | Singapore Government Bond, 2.500%, 6/01/2019, (SGD) | 2,239,207 | ||||||||
150,000 | STATS ChipPAC Ltd., 7.500%, 8/12/2015, 144A | 159,750 | ||||||||
|
|
|||||||||
8,069,868 | ||||||||||
|
|
|||||||||
South Africa 0.2% | ||||||||||
650,000 | AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022 | 658,764 | ||||||||
300,000 | Edcon Proprietary Ltd., 3.433%, 6/15/2014, (EUR)(e) | 380,146 | ||||||||
285,000 | Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR) | 410,321 | ||||||||
700,000 | Transnet SOC Ltd., 4.000%, 7/26/2022, 144A | 704,375 | ||||||||
|
|
|||||||||
2,153,606 | ||||||||||
|
|
|||||||||
Spain 0.4% | ||||||||||
2,370,000 | Spain Government Bond, 4.200%, 1/31/2037, (EUR) | 2,496,289 | ||||||||
550,000 | Spain Government Bond, 4.250%, 10/31/2016, (EUR) | 736,427 | ||||||||
645,000 | Spain Government Bond, 4.300%, 10/31/2019, (EUR) | 833,064 | ||||||||
|
|
|||||||||
4,065,780 | ||||||||||
|
|
|||||||||
Supranationals 0.3% | ||||||||||
840,000 | Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A | 892,619 | ||||||||
1,115,000 | Corp Andina de Fomento, 4.375%, 6/15/2022 | 1,207,281 | ||||||||
305,000 | European Investment Bank, 2.375%, 7/10/2020, (CHF) | 372,655 | ||||||||
400,000,000 | International Bank for Reconstruction & Development, GMTN, 2.300%, 2/26/2013, (KRW) | 373,220 | ||||||||
|
|
|||||||||
2,845,775 | ||||||||||
|
|
|||||||||
Sweden 0.3% | ||||||||||
1,000,000 | PKO Finance AB, 4.630%, 9/26/2022, 144A | 1,052,500 | ||||||||
9,195,000 | Sweden Government Bond, 4.500%, 8/12/2015, (SEK) | 1,546,576 | ||||||||
2,450,000 | Sweden Government Bond, 5.000%, 12/01/2020, (SEK) | 477,311 | ||||||||
|
|
|||||||||
3,076,387 | ||||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Thailand 0.3% | ||||||||
93,000,000 |
Thailand Government Bond, 3.250%, 6/16/2017, (THB) | $ | 3,058,846 | |||||
|
|
|||||||
Turkey 0.8% | ||||||||
1,350,000 |
Akbank TAS, 3.875%, 10/24/2017, 144A | 1,388,232 | ||||||
600,000 |
Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A | 653,400 | ||||||
400,000 |
Finansbank AS, 5.150%, 11/01/2017, 144A | 390,000 | ||||||
1,200,000 |
Turkey Government Bond, Zero Coupon, 5/15/2013, (TRY) | 657,503 | ||||||
2,410,000 |
Turkey Government Bond, 9.000%, 3/08/2017, (TRY) | 1,480,624 | ||||||
1,200,000 |
Turkey Government International Bond, 5.125%, 3/25/2022 | 1,380,000 | ||||||
600,000 |
Turkiye Garanti Bankasi A.S., 4.000%, 9/13/2017, 144A | 618,750 | ||||||
800,000 |
Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A | 814,800 | ||||||
600,000 |
Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A., 5.188%, 10/13/2015, 144A | 626,100 | ||||||
|
|
|||||||
8,009,409 | ||||||||
|
|
|||||||
United Arab Emirates 0.1% | ||||||||
600,000 |
Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A | 663,000 | ||||||
200,000 |
Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A | 226,000 | ||||||
|
|
|||||||
889,000 | ||||||||
|
|
|||||||
United Kingdom 0.6% | ||||||||
600,000 |
Anglo American Capital PLC, 2.625%, 9/27/2017, 144A | 612,316 | ||||||
410,000,000 |
Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) | 392,853 | ||||||
250,000 |
BAT International Finance PLC, 3.250%, 6/07/2022, 144A | 260,585 | ||||||
150,000 |
British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) | 288,805 | ||||||
60,000 |
BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) | 113,161 | ||||||
150,000 |
Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP) | 290,578 | ||||||
400,000 |
Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP) | 704,710 | ||||||
250,000 |
Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR) | 384,865 | ||||||
705,000 |
United Kingdom Treasury, 1.750%, 1/22/2017, (GBP) | 1,194,024 | ||||||
250,000 |
United Kingdom Treasury, 4.250%, 3/07/2036, (GBP) | 497,269 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
United Kingdom continued | ||||||||||
790,000 | Virgin Media Finance PLC, 5.125%, 2/15/2022, (GBP) | $ | 1,302,565 | |||||||
|
|
|||||||||
6,041,731 | ||||||||||
|
|
|||||||||
United States 14.4% | ||||||||||
425,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 323,000 | ||||||||
15,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 11,288 | ||||||||
975,000 | Alcoa, Inc., 5.900%, 2/01/2027 | 1,003,561 | ||||||||
1,325,000 | Ally Financial, Inc., 5.500%, 2/15/2017 | 1,417,436 | ||||||||
257,000 | Ally Financial, Inc., 6.750%, 12/01/2014 | 277,560 | ||||||||
55,000 | Ally Financial, Inc., 7.500%, 12/31/2013 | 58,094 | ||||||||
129,000 | Ally Financial, Inc., 8.000%, 12/31/2018 | 150,930 | ||||||||
1,728,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 2,188,080 | ||||||||
720,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 937,800 | ||||||||
60,000 | Arrow Electronics, Inc., 6.875%, 7/01/2013 | 61,688 | ||||||||
17,358 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 | 16,316 | ||||||||
925,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A | 956,172 | ||||||||
145,000 | Avnet, Inc., 6.000%, 9/01/2015 | 158,173 | ||||||||
1,820,000 | Ball Corp., 5.000%, 3/15/2022 | 1,947,400 | ||||||||
200,000 | Bank of America Corp., 5.490%, 3/15/2019 | 222,164 | ||||||||
450,000 | Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR) | 577,605 | ||||||||
115,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 | 131,290 | ||||||||
15,000 | Boston Scientific Corp., 5.125%, 1/12/2017 | 16,580 | ||||||||
5,000 | Boston Scientific Corp., 5.450%, 6/15/2014 | 5,316 | ||||||||
15,000 | Boston Scientific Corp., 6.400%, 6/15/2016 | 17,242 | ||||||||
1,415,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A | 1,433,167 | ||||||||
1,995,000 | CenturyLink, Inc., 6.450%, 6/15/2021 | 2,204,473 | ||||||||
510,000 | CenturyLink, Inc., 7.650%, 3/15/2042 | 533,006 | ||||||||
55,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 | 56,830 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued |
||||||||
$ |
605,000 |
CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | $ | 627,991 | ||||
20,000 |
Chesapeake Energy Corp., 6.625%, 8/15/2020 | 21,450 | ||||||
95,000 |
Chesapeake Energy Corp., 6.875%, 11/15/2020 | 102,956 | ||||||
2,300,000 |
Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021 | 2,530,000 | ||||||
750,000 |
Citigroup, Inc., 6.250%, 6/29/2017, (NZD) | 656,479 | ||||||
1,470,000 |
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 | 1,481,025 | ||||||
155,000 |
Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A | 160,038 | ||||||
1,005,000 |
Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A |
1,012,537 | ||||||
568,224 |
Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 | 591,635 | ||||||
190,000 |
CSX Corp., 6.250%, 3/15/2018 | 231,617 | ||||||
265,000 |
Cummins, Inc., 5.650%, 3/01/2098 | 275,402 | ||||||
243,858 |
Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 | 266,708 | ||||||
234,054 |
Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 | 242,527 | ||||||
42,000 |
Dillards, Inc., 6.625%, 1/15/2018 | 45,465 | ||||||
50,000 |
Dillards, Inc., 7.000%, 12/01/2028 | 50,375 | ||||||
8,000 |
Dillards, Inc., 7.750%, 7/15/2026 | 8,420 | ||||||
3,976,000 |
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A | 3,797,080 | ||||||
250,000 |
Exelon Corp., 4.900%, 6/15/2015 | 272,132 | ||||||
150,000 |
Foot Locker, Inc., 8.500%, 1/15/2022 | 168,443 | ||||||
25,000 |
Ford Motor Co., 6.375%, 2/01/2029 | 27,958 | ||||||
50,000 |
Ford Motor Co., 6.625%, 2/15/2028 | 55,862 | ||||||
2,105,000 |
Ford Motor Co., 6.625%, 10/01/2028 | 2,430,980 | ||||||
40,000 |
Ford Motor Co., 7.125%, 11/15/2025 | 46,200 | ||||||
835,000 |
Ford Motor Co., 7.400%, 11/01/2046 | 1,026,006 | ||||||
5,000 |
Ford Motor Co., 7.500%, 8/01/2026 | 5,938 | ||||||
1,000,000 |
Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 | 1,103,436 | ||||||
2,250,000 |
Ford Motor Credit Co. LLC, 7.000%, 10/01/2013 | 2,351,475 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued | ||||||||
$ |
845,000 |
Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 | $ | 942,207 | ||||
905,000 |
Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A | 1,094,642 | ||||||
28,000 |
Freescale Semiconductor, Inc., 10.125%, 12/15/2016 | 28,840 | ||||||
45,000 |
General Electric Capital Corp., 5.625%, 5/01/2018 | 53,439 | ||||||
600,000 |
General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/15/2049 |
678,174 | ||||||
900,000 |
General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) | 797,817 | ||||||
750,000 |
General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015 | 812,190 | ||||||
3,435,000 |
Georgia-Pacific LLC, 7.250%, 6/01/2028 | 4,497,470 | ||||||
105,000 |
Georgia-Pacific LLC, 7.375%, 12/01/2025 | 143,071 | ||||||
180,000 |
Georgia-Pacific LLC, 7.750%, 11/15/2029 | 246,162 | ||||||
315,000 |
Georgia-Pacific LLC, 8.875%, 5/15/2031 | 472,308 | ||||||
200,000 |
Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A | 232,500 | ||||||
2,295,000 |
Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 2,600,985 | ||||||
50,000 |
Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP) | 89,997 | ||||||
3,045,000 |
Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 | 3,265,762 | ||||||
165,000 |
Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 166,238 | ||||||
70,000 |
GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.791%, 8/10/2045(e) | 67,761 | ||||||
425,000 |
Halcon Resources Corp., 8.875%, 5/15/2021, 144A | 450,500 | ||||||
410,000 |
Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 | 459,673 | ||||||
1,000,000 |
HCA Holdings, Inc., 6.250%, 2/15/2021 | 1,025,000 | ||||||
20,000 |
HCA, Inc., 5.750%, 3/15/2014 | 20,900 | ||||||
90,000 |
HCA, Inc., 6.375%, 1/15/2015 | 97,313 | ||||||
225,000 |
HCA, Inc., 7.050%, 12/01/2027 | 216,563 | ||||||
245,000 |
HCA, Inc., 7.190%, 11/15/2015 | 269,500 | ||||||
90,000 |
HCA, Inc., 7.500%, 12/15/2023 | 92,025 | ||||||
580,000 |
HCA, Inc., 7.500%, 11/06/2033 | 582,900 | ||||||
1,500,000 |
HCA, Inc., 7.690%, 6/15/2025 | 1,533,750 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued | ||||||||
$ |
395,000 |
HCA, Inc., 8.360%, 4/15/2024 | $ | 425,612 | ||||
195,000 |
HCA, Inc., MTN, 7.580%, 9/15/2025 | 197,438 | ||||||
75,000 |
HCA, Inc., MTN, 7.750%, 7/15/2036 | 76,313 | ||||||
585,000 |
Hercules, Inc., 6.500%, 6/30/2029 | 526,500 | ||||||
470,000 |
Highwoods Properties, Inc., 5.850%, 3/15/2017 | 530,065 | ||||||
110,000 |
Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A | 126,103 | ||||||
80,000 |
International Lease Finance Corp., 5.875%, 4/01/2019 | 84,320 | ||||||
1,620,000 |
International Lease Finance Corp., 6.250%, 5/15/2019 | 1,725,300 | ||||||
1,670,000 |
International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 | 1,711,750 | ||||||
70,000 |
iStar Financial, Inc., 5.850%, 3/15/2017 | 68,600 | ||||||
405,000 |
iStar Financial, Inc., 5.875%, 3/15/2016 | 405,000 | ||||||
145,000 |
iStar Financial, Inc., 6.050%, 4/15/2015 | 145,725 | ||||||
200,000 |
iStar Financial, Inc., 7.125%, 2/15/2018 | 203,750 | ||||||
238,000 |
iStar Financial, Inc., 8.625%, 6/01/2013 | 244,248 | ||||||
35,000 |
iStar Financial, Inc., Series B, 5.700%, 3/01/2014 | 35,788 | ||||||
950,000 |
iStar Financial, Inc., Series B, 5.950%, 10/15/2013 | 970,187 | ||||||
5,000 |
J.C. Penney Corp., Inc., 5.750%, 2/15/2018 | 4,400 | ||||||
64,000 |
J.C. Penney Corp., Inc., 6.375%, 10/15/2036 | 48,000 | ||||||
15,000 |
J.C. Penney Corp., Inc., 7.125%, 11/15/2023 | 12,938 | ||||||
10,000 |
J.C. Penney Corp., Inc., 7.400%, 4/01/2037 | 8,350 | ||||||
5,000 |
J.C. Penney Corp., Inc., 7.625%, 3/01/2097 | 3,925 | ||||||
370,000 |
Jefferies Group, Inc., 3.875%, 11/09/2015 | 382,025 | ||||||
665,000 |
Jefferies Group, Inc., 5.125%, 4/13/2018 | 698,250 | ||||||
1,070,000 |
Jefferies Group, Inc., 6.250%, 1/15/2036 | 1,107,450 | ||||||
685,000 |
Jefferies Group, Inc., 6.450%, 6/08/2027 | 729,525 | ||||||
1,410,000 |
Jefferies Group, Inc., 6.875%, 4/15/2021 | 1,579,200 | ||||||
15,000 |
K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 | 12,750 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued | ||||||||
$ |
260,000 |
K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 | $ | 253,500 | ||||
1,665,000 |
KB Home, 8.000%, 3/15/2020 | 1,889,775 | ||||||
190,000 |
Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A |
195,225 | ||||||
15,000 |
Lennar Corp., Series B, 5.500%, 9/01/2014 | 15,825 | ||||||
1,090,000 |
Lennar Corp., Series B, 5.600%, 5/31/2015 | 1,160,850 | ||||||
55,000 |
Lennar Corp., Series B, 6.500%, 4/15/2016 | 60,913 | ||||||
135,000 |
Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A | 141,075 | ||||||
1,435,000 |
Level 3 Financing, Inc., 8.625%, 7/15/2020 | 1,592,850 | ||||||
30,000 |
Level 3 Financing, Inc., 9.375%, 4/01/2019 | 33,525 | ||||||
165,000 |
Masco Corp., 6.500%, 8/15/2032 | 170,673 | ||||||
865,000 |
Masco Corp., 7.750%, 8/01/2029 | 962,050 | ||||||
600,000 |
Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 | 660,514 | ||||||
2,700,000 |
Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 2,947,185 | ||||||
115,000 |
MGM Resorts International, 8.625%, 2/01/2019, 144A | 128,225 | ||||||
310,000 |
Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(f) | 244,900 | ||||||
410,000 |
Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(f) | 381,300 | ||||||
1,470,000 |
Morgan Stanley, 4.875%, 11/01/2022 | 1,522,029 | ||||||
230,000 |
Morgan Stanley, 5.375%, 11/14/2013, (GBP) | 384,094 | ||||||
2,500,000 |
Morgan Stanley, 5.750%, 1/25/2021 | 2,855,087 | ||||||
500,000 |
Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 559,439 | ||||||
600,000 |
Morgan Stanley, MTN, 6.250%, 8/09/2026 | 704,167 | ||||||
100,000 |
Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(e) | 95,064 | ||||||
1,382,000 |
New Albertsons, Inc., 7.450%, 8/01/2029 | 773,920 | ||||||
100,000 |
New Albertsons, Inc., 7.750%, 6/15/2026 | 56,250 | ||||||
3,450,000 |
New Albertsons, Inc., 8.000%, 5/01/2031 | 1,940,625 | ||||||
1,965,000 |
New Albertsons, Inc., 8.700%, 5/01/2030 | 1,139,700 | ||||||
155,000 |
New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 | 82,538 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued | ||||||||
$ |
15,000 |
News America, Inc., 6.400%, 12/15/2035 | $ | 18,620 | ||||
155,000 |
NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 162,750 | ||||||
2,475,000 |
NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A | 2,846,250 | ||||||
115,000 |
Owens Corning, Inc., 6.500%, 12/01/2016 | 129,221 | ||||||
535,000 |
Owens Corning, Inc., 7.000%, 12/01/2036 | 591,959 | ||||||
40,000 |
Owens-Illinois, Inc., 7.800%, 5/15/2018 | 46,100 | ||||||
540,000 |
Pulte Group, Inc., 6.000%, 2/15/2035 | 502,200 | ||||||
785,000 |
Pulte Group, Inc., 6.375%, 5/15/2033 | 783,037 | ||||||
220,000 |
Pulte Group, Inc., 7.875%, 6/15/2032 | 239,250 | ||||||
1,335,000 |
Qwest Capital Funding, Inc., 6.500%, 11/15/2018 | 1,514,176 | ||||||
650,000 |
Qwest Capital Funding, Inc., 6.875%, 7/15/2028 | 662,492 | ||||||
400,000 |
Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 438,416 | ||||||
60,000 |
Qwest Capital Funding, Inc., 7.750%, 2/15/2031 | 62,843 | ||||||
560,000 |
Qwest Corp., 6.875%, 9/15/2033 | 562,800 | ||||||
115,000 |
Qwest Corp., 7.250%, 9/15/2025 | 133,253 | ||||||
1,155,000 |
R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 | 1,166,550 | ||||||
200,000 |
Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A | 204,500 | ||||||
500,000 |
Range Resources Corp., 5.000%, 8/15/2022 | 522,500 | ||||||
750,000 |
Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A | 838,858 | ||||||
403,000 |
Residential Capital LLC, 9.625%, 5/15/2015(g) | 423,654 | ||||||
80,000 |
Reynolds American, Inc., 6.750%, 6/15/2017 | 96,609 | ||||||
10,000 |
Reynolds American, Inc., 7.250%, 6/15/2037 | 13,113 | ||||||
400,000 |
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019 |
428,000 | ||||||
655,000 |
Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A | 651,725 | ||||||
855,000 |
Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A | 769,500 | ||||||
760,000 |
Shearers Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A | 798,000 |
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
United States continued | ||||||||||
$ | 1,600 | () | SLM Corp., 6.000%, 12/15/2043 | $ | 38,155 | |||||
40,000 | SLM Corp., MTN, 4.625%, 9/25/2017 | 40,950 | ||||||||
80,000 | SLM Corp., MTN, 5.050%, 11/14/2014 | 83,973 | ||||||||
1,130,000 | SLM Corp., MTN, 7.250%, 1/25/2022 | 1,245,825 | ||||||||
10,000 | SLM Corp., Series A, MTN, 0.615%, 1/27/2014(e) | 9,906 | ||||||||
228,000 | SLM Corp., Series A, MTN, 5.000%, 10/01/2013 | 233,415 | ||||||||
10,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | 10,038 | ||||||||
115,000 | SLM Corp., Series A, MTN, 5.375%, 1/15/2013 | 114,999 | ||||||||
65,000 | SLM Corp., Series A, MTN, 5.375%, 5/15/2014 | 67,958 | ||||||||
2,560,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 | 2,374,400 | ||||||||
625,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 731,250 | ||||||||
400,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 | 362,000 | ||||||||
300,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 | 283,500 | ||||||||
330,000 | Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013 | 335,362 | ||||||||
595,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 532,525 | ||||||||
294,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 305,760 | ||||||||
420,000 | Sprint Capital Corp., 6.900%, 5/01/2019 | 457,800 | ||||||||
110,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 134,475 | ||||||||
26,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 | 28,275 | ||||||||
1,360,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 1,224,000 | ||||||||
820,000 | Textron, Inc., 5.950%, 9/21/2021 | 953,292 | ||||||||
1,431,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 1,302,210 | ||||||||
2,425,000 | U.S. Treasury Note, 0.125%, 12/31/2014 | 2,418,937 | ||||||||
2,420,000 | U.S. Treasury Note, 0.250%, 10/31/2014 | 2,420,566 | ||||||||
6,595,000 | U.S. Treasury Note, 0.250%, 2/15/2015(d) | 6,591,907 | ||||||||
2,735,000 | U.S. Treasury Note, 0.250%, 12/15/2015 | 2,726,880 | ||||||||
4,745,000 | U.S. Treasury Note, 0.375%, 6/30/2013 | 4,750,931 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
United States continued | ||||||||
$ |
2,420,000 |
U.S. Treasury Note, 0.375%, 11/15/2015 | $ | 2,422,270 | ||||
1,100,000 |
U.S. Treasury Note, 0.750%, 3/31/2013 | 1,101,762 | ||||||
3,230,000 |
U.S. Treasury Note, 1.625%, 11/15/2022 | 3,194,670 | ||||||
311,524 |
UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 | 358,627 | ||||||
1,735,000 |
United States Steel Corp., 6.650%, 6/01/2037 | 1,509,450 | ||||||
770,000 |
United States Steel Corp., 7.500%, 3/15/2022 | 810,425 | ||||||
295,000 |
UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A | 329,662 | ||||||
140,000 |
US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 152,600 | ||||||
75,000 |
US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 | 80,063 | ||||||
530,000 |
US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 | 539,275 | ||||||
50,000 |
USG Corp., 6.300%, 11/15/2016 | 51,750 | ||||||
230,000 |
USG Corp., 9.750%, 1/15/2018 | 260,475 | ||||||
110,000 |
Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 117,975 | ||||||
110,000 |
Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 | 128,957 | ||||||
415,000 |
VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 445,087 | ||||||
85,000 |
Wells Fargo & Co., 4.625%, 11/02/2035, (GBP) | 150,260 | ||||||
100,000 |
Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP) | 163,574 | ||||||
60,000 |
Weyerhaeuser Co., 6.950%, 10/01/2027 | 69,525 | ||||||
315,000 |
Weyerhaeuser Co., 7.375%, 3/15/2032 | 396,924 | ||||||
125,000 |
Xerox Corp., 6.750%, 2/01/2017 | 145,387 | ||||||
20,000 |
Xerox Corp., MTN, 7.200%, 4/01/2016 | 22,967 | ||||||
250,000 |
Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
346,447 | ||||||
|
|
|||||||
145,431,600 | ||||||||
|
|
|||||||
Uruguay 0.2% | ||||||||
4,349,484 |
Uruguay Government International Bond, 3.700%, 6/26/2037, (UYU) | 255,119 | ||||||
5,522,153 |
Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) | 343,394 | ||||||
19,168,742 |
Uruguay Government International Bond, 5.000%, 9/14/2018, (UYU) | 1,148,187 | ||||||
|
|
|||||||
1,746,700 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Venezuela 0.1% | ||||||||
$ |
800,000 |
Petroleos de Venezuela S.A., 5.375%, 4/12/2027 | $ | 560,000 | ||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $259,706,733) | 278,179,071 | |||||||
|
|
|||||||
Convertible Bonds 0.7% |
| |||||||
United States 0.7% | ||||||||
350,000 |
ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h) | 261,844 | ||||||
365,000 |
Chesapeake Energy Corp., 2.500%, 5/15/2037 | 328,500 | ||||||
175,000 |
Chesapeake Energy Corp., 2.750%, 11/15/2035 | 167,344 | ||||||
185,000 |
Ciena Corp., 3.750%, 10/15/2018, 144A | 208,241 | ||||||
125,000 |
Ford Motor Co., 4.250%, 11/15/2016 | 198,125 | ||||||
520,000 |
Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h) | 518,375 | ||||||
225,000 |
Hologic, Inc., (accretes to principal after 3/1/2018), 2.000%, 3/01/2042(h) | 223,172 | ||||||
1,125,000 |
Intel Corp., 3.250%, 8/01/2039 | 1,318,359 | ||||||
215,000 |
Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(f) | 255,715 | ||||||
2,200,000 |
Old Republic International Corp., 3.750%, 3/15/2018 | 2,289,375 | ||||||
375,000 |
Omnicare, Inc., 3.750%, 12/15/2025 | 552,656 | ||||||
610,000 |
Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A | 603,519 | ||||||
90,000 |
Trinity Industries, Inc., 3.875%, 6/01/2036 | 100,631 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $6,336,916) | 7,025,856 | |||||||
|
|
|||||||
Municipals 0.1% |
| |||||||
United States 0.1% | ||||||||
415,000 |
State of Illinois, 5.100%, 6/01/2033 | 410,502 | ||||||
135,000 |
Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(f) | 96,062 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $451,013) | 506,564 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $266,494,662) | 285,711,491 | |||||||
|
|
|||||||
Senior Loans 0.1% |
| |||||||
United States 0.1% | ||||||||
1,270,000 |
Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(e) | 1,279,525 | ||||||
45,860 |
SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(e) | 32,809 |
Description |
Value () | |||||||
Total Senior Loans (Identified Cost $1,304,749) | 1,312,334 | |||||||
|
|
|||||||
Shares |
||||||||
Preferred Stocks 0.4% |
||||||||
Convertible Preferred Stocks 0.3% |
||||||||
United States 0.3% | ||||||||
71,820 |
General Motors Co., Series B, 4.750% | $ | 3,169,417 | |||||
820 |
Lucent Technologies Capital Trust I, 7.750% | 680,329 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $3,969,958) | 3,849,746 | |||||||
|
|
|||||||
Non-Convertible Preferred Stock 0.1% |
||||||||
United States 0.1% | ||||||||
682 |
Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366) | 669,831 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $4,115,324) | 4,519,577 | |||||||
|
|
|||||||
Principal |
|
|
||||||
Short-Term Investments 3.8% |
||||||||
$ |
16,582 |
Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $16,650 on 1/02/2013 collateralized by $20,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $20,032 including accrued interest(i) |
16,582 | |||||
37,933,837 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $37,933,858 on 1/02/2013 collateralized by $38,610,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $38,696,470 including accrued interest(i) |
37,933,837 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $37,950,419) | 37,950,419 | |||||||
|
|
|||||||
Total Investments 99.2% (Identified Cost $929,439,163)(a) | 1,003,053,894 | |||||||
|
|
|||||||
Other assets less liabilities 0.8% | 7,764,755 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,010,818,649 | ||||||
|
|
() | 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent 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 an independent pricing service, if available.
Broker-dealer bid quotations may also be used to value debt and equity securities and senior loans where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated 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 closing 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, 2012, approximately 23% 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, 2012, the net unrealized appreciation on investments based on a cost of $929,872,224 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 |
$ | 86,906,724 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(13,725,054 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 73,181,670 | ||
|
|
At September 30, 2012, the Fund had a short-term capital loss carryforward of $25,714,481 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.
(b) | Non-income producing security. |
(c) | Fair valued security by the Funds investment adviser. At December 31, 2012, the value of this security amounted to $9,018,803 or 0.9% of net assets. |
(d) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(e) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(f) | Illiquid security. At December 31, 2012, the value of these securities amounted to $977,977 or 0.1% of net assets. |
(g) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(h) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(i) | 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, 2012, the value of Rule 144A holdings amounted to $69,593,611 or 6.9% of net assets. | |
ADR/GDR |
An American Depositary Receipt or Global 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 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 | |
CNY |
Chinese Yuan Renminbi | |
COP |
Colombian Peso | |
CRC |
Costa Rican Colon | |
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 | |
PLN |
Polish Zloty | |
SEK |
Swedish Krona | |
SGD |
Singapore Dollar | |
THB |
Thai Baht | |
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. Contracts to buy generally are used to acquire exposure to foreign currencies, while contracts to sell generally are used to hedge the Funds investments against currency fluctuation. Also, a contract to buy or sell can 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 or counterpartys net obligations under the contracts. At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency |
Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell1 |
3/20/2013 | Australian Dollar | 700,000 | $ | 722,862 | $ | 2,605 | |||||||||||
Buy1 |
2/06/2013 | Brazilian Real | 1,980,000 | 962,736 | (653 | ) | ||||||||||||
Buy1 |
3/21/2013 | Brazilian Real | 1,280,000 | 619,036 | 13,577 | |||||||||||||
Buy2 |
3/21/2013 | Malaysian Ringgit | 1,250,000 | 406,578 | (151 | ) | ||||||||||||
Sell3 |
1/31/2013 | New Zealand Dollar | 3,165,000 | 2,610,978 | (40,555 | ) | ||||||||||||
Buy1 |
3/11/2013 | South Korean Won | 1,488,000,000 | 1,384,351 | 18,838 | |||||||||||||
Buy3 |
3/11/2013 | South Korean Won | 780,000,000 | 725,668 | 9,809 | |||||||||||||
|
|
|||||||||||||||||
Total |
$ | 3,470 | ||||||||||||||||
|
|
At December 31, 2012, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive4/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
3/12/2013 |
Norwegian Krone | 5,600,000 | Euro | 758,345 | $ | (3,504 | ) | |||||||||||||
|
|
1 | Counterparty is Credit Suisse International. |
2 | Counterparty is JP Morgan Chase Bank, N.A. |
3 | Counterparty is Barclays Bank PLC. |
4 | Counterparty 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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value: |
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
||||||||||||||||
Belgium |
$ | | $ | 13,803,164 | $ | | $ | 13,803,164 | ||||||||
China |
| 13,727,015 | | 13,727,015 | ||||||||||||
France |
| 17,972,436 | | 17,972,436 | ||||||||||||
Germany |
| 9,577,800 | | 9,577,800 | ||||||||||||
Hong Kong |
| 9,739,085 | | 9,739,085 | ||||||||||||
Japan |
| 14,567,673 | | 14,567,673 | ||||||||||||
Netherlands |
15,337,307 | 13,764,032 | | 29,101,339 | ||||||||||||
Russia |
| 9,018,803 | | 9,018,803 | ||||||||||||
Sweden |
11,106,544 | 13,079,255 | | 24,185,799 | ||||||||||||
Switzerland |
| 17,524,454 | | 17,524,454 | ||||||||||||
Thailand |
| 2,018,486 | | 2,018,486 | ||||||||||||
United Kingdom |
| 90,990,690 | | 90,990,690 | ||||||||||||
All Other Common Stocks* |
421,333,329 | | | 421,333,329 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
447,777,180 | 225,782,893 | | 673,560,073 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Costa Rica |
| 605,400 | 752,093 | 1,357,493 | ||||||||||||
Korea |
| 7,610,003 | 2,610,305 | 10,220,308 | ||||||||||||
United States |
38,155 | 145,393,445 | | 145,431,600 | ||||||||||||
All Other Non-Convertible Bonds* |
| 121,169,670 | | 121,169,670 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
38,155 | 274,778,518 | 3,362,398 | 278,179,071 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 7,025,856 | | 7,025,856 | ||||||||||||
Municipals* |
| 506,564 | | 506,564 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
38,155 | 282,310,938 | 3,362,398 | 285,711,491 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 1,312,334 | | 1,312,334 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
3,849,746 | | | 3,849,746 | ||||||||||||
Non-Convertible Preferred Stock* |
| 669,831 | | 669,831 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
3,849,746 | 669,831 | | 4,519,577 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 37,950,419 | | 37,950,419 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
451,665,081 | 548,026,415 | 3,362,398 | 1,003,053,894 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 44,829 | | 44,829 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 451,665,081 | $ | 548,071,244 | $ | 3,362,398 | $ | 1,003,098,723 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (44,863 | ) | $ | | $ | (44,863 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A common stock valued at $11,744,289 was transferred from Level 2 to Level 1 during the period ended December 31, 2012. At September 30, 2012, this security was fair valued pursuant to procedures approved by the Board of Trustees as events occurring after the close of the foreign market were believed to materially affect the value of the security; at December 31, 2012, this security was valued at market price in accordance with the Funds valuation policies.
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, 2012:
Asset Valuation Inputs
Investments in Securities |
Balance
as of September 30, 2012 |
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, 2012 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Costa Rica |
$ | | $ | | $ | | $ | (9,885 | ) | $ | 761,978 | $ | | $ | | $ | | $ | 752,093 | $ | (9,885 | ) | ||||||||||||||||||
Korea |
2,528,229 | (8,375 | ) | | 90,451 | | | | | 2,610,305 | 90,451 | |||||||||||||||||||||||||||||
United States |
638,272 | | | | | | | (638,272 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 3,166,501 | $ | (8,375 | ) | $ | $ | 80,566 | $ | 761,978 | $ | | $ | | $ | (638,272 | ) | $ | 3,362,398 | $ | 80,566 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $638,272 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.
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, 2012, 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, 2012, 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 PLC |
$ | (30,746 | ) | $ | | |||
Deutsche Bank AG |
(3,504 | ) | | |||||
JP Morgan Chase Bank, N.A. |
(151 | ) | |
Derivatives 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 with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $44,829 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $34,367.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.
Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the fund and the derivative counterparties. This risk of loss to a fund counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of December 31, 2012:
Asset Derivatives |
Foreign
Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 44,829 | ||
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (44,863 | ) |
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, 2012 (Unaudited)
Treasuries |
8.8 | % | ||
Commercial Banks |
5.1 | |||
Pharmaceuticals |
5.0 | |||
Oil, Gas & Consumable Fuels |
3.7 | |||
Banking |
3.6 | |||
Machinery |
3.5 | |||
Chemicals |
3.4 | |||
Beverages |
3.3 | |||
Software |
3.0 | |||
Internet Software & Services |
2.7 | |||
Wireless Telecommunication Services |
2.4 | |||
Diversified Financial Services |
2.3 | |||
Energy Equipment & Services |
2.2 | |||
Real Estate Management & Development |
2.0 | |||
Other Investments, less than 2% each |
44.4 | |||
Short-Term Investments |
3.8 | |||
|
|
|||
Total Investments |
99.2 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
0.8 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
|||
Currency Exposure Summary at December 31, 2012 (Unaudited) | ||||
United States Dollar |
62.0 | % | ||
British Pound |
9.5 | |||
Euro |
6.5 | |||
Brazilian Real |
4.1 | |||
Swedish Krona |
2.6 | |||
Mexican Peso |
2.4 | |||
Hong Kong Dollar |
2.3 | |||
Other, less than 2% each |
9.8 | |||
|
|
|||
Total Investments |
99.2 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
0.8 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Growth Fund
Shares | Description |
Value () | ||||||||
Common Stocks 99.0% of Net Assets |
| |||||||||
Air Freight & Logistics 6.2% | ||||||||||
107,163 | Expeditors International of Washington, Inc. | $ | 4,238,297 | |||||||
70,866 | United Parcel Service, Inc., Class B | 5,224,950 | ||||||||
|
|
|||||||||
9,463,247 | ||||||||||
|
|
|||||||||
Beverages 4.7% | ||||||||||
98,223 | Coca-Cola Co. (The) | 3,560,584 | ||||||||
5,504 | Diageo PLC, Sponsored ADR | 641,656 | ||||||||
62,833 | SABMiller PLC, Sponsored ADR | 2,939,956 | ||||||||
|
|
|||||||||
7,142,196 | ||||||||||
|
|
|||||||||
Biotechnology 2.4% | ||||||||||
41,803 | Amgen, Inc. | 3,608,435 | ||||||||
|
|
|||||||||
Capital Markets 9.6% | ||||||||||
17,580 | Franklin Resources, Inc. | 2,209,806 | ||||||||
59,586 | Greenhill & Co., Inc. | 3,097,876 | ||||||||
86,135 | Legg Mason, Inc. | 2,215,392 | ||||||||
303,570 | SEI Investments Co. | 7,085,324 | ||||||||
|
|
|||||||||
14,608,398 | ||||||||||
|
|
|||||||||
Communications Equipment 9.9% | ||||||||||
406,171 | Cisco Systems, Inc. | 7,981,260 | ||||||||
115,748 | QUALCOMM, Inc. | 7,178,691 | ||||||||
|
|
|||||||||
15,159,951 | ||||||||||
|
|
|||||||||
Consumer Finance 3.4% | ||||||||||
90,775 | American Express Co. | 5,217,747 | ||||||||
|
|
|||||||||
Energy Equipment & Services 3.2% | ||||||||||
71,366 | Schlumberger Ltd. | 4,944,950 | ||||||||
|
|
|||||||||
Food Products 3.9% | ||||||||||
447,394 | Danone S.A., Sponsored ADR | 5,990,606 | ||||||||
|
|
|||||||||
Health Care Equipment & Supplies 5.8% | ||||||||||
39,699 | Varian Medical Systems, Inc.(b) | 2,788,458 | ||||||||
91,436 | Zimmer Holdings, Inc. | 6,095,124 | ||||||||
|
|
|||||||||
8,883,582 | ||||||||||
|
|
|||||||||
Household Products 3.8% | ||||||||||
28,643 | Clorox Co. (The) | 2,097,240 | ||||||||
54,801 | Procter & Gamble Co. (The) | 3,720,440 | ||||||||
|
|
|||||||||
5,817,680 | ||||||||||
|
|
|||||||||
Internet & Catalog Retail 6.9% | ||||||||||
35,271 | Amazon.com, Inc.(b) | 8,857,959 | ||||||||
44,350 | Blue Nile, Inc.(b) | 1,707,475 | ||||||||
|
|
|||||||||
10,565,434 | ||||||||||
|
|
|||||||||
Internet Software & Services 8.2% | ||||||||||
122,474 | Facebook, Inc., Class A(b) | 3,261,482 |
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Internet Software & Services continued | ||||||||
12,986 |
Google, Inc., Class A(b) | $ | 9,211,879 | |||||
|
|
|||||||
12,473,361 | ||||||||
|
|
|||||||
IT Services 6.5% | ||||||||
38,985 |
Automatic Data Processing, Inc. | 2,222,535 | ||||||
50,544 |
Visa, Inc., Class A | 7,661,459 | ||||||
|
|
|||||||
9,883,994 | ||||||||
|
|
|||||||
Pharmaceuticals 5.0% | ||||||||
62,853 |
Merck & Co., Inc. | 2,573,202 | ||||||
80,232 |
Novartis AG, ADR | 5,078,685 | ||||||
|
|
|||||||
7,651,887 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.9% | ||||||||
15,619 |
Altera Corp. | 537,918 | ||||||
18,693 |
Analog Devices, Inc. | 786,228 | ||||||
120,417 |
ARM Holdings PLC, Sponsored ADR | 4,555,375 | ||||||
|
|
|||||||
5,879,521 | ||||||||
|
|
|||||||
Software 11.9% | ||||||||
108,820 |
Autodesk, Inc.(b) | 3,846,787 | ||||||
36,540 |
FactSet Research Systems, Inc. | 3,217,713 | ||||||
125,195 |
Microsoft Corp. | 3,346,462 | ||||||
231,837 |
Oracle Corp. | 7,724,809 | ||||||
|
|
|||||||
18,135,771 | ||||||||
|
|
|||||||
Specialty Retail 3.7% | ||||||||
158,399 |
Lowes Cos., Inc. | 5,626,333 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $122,361,785) | 151,053,093 | |||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 1.0% |
| |||||||
$ |
1,482,218 |
Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $1,482,219 on 1/2/2013 collateralized by $1,510,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $1,511,888 including accrued interest(c) (Identified Cost $1,482,218) |
1,482,218 | |||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $123,844,003)(a) | 152,535,311 | |||||||
Other assets less liabilities 0.0% | 60,334 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 152,595,645 | ||||||
|
|
() | 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 closing 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: |
At December 31, 2012, the net unrealized appreciation on investments based on a cost of $123,844,003 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 |
$ | 30,032,652 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,341,344 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 28,691,308 | ||
|
|
At September 30, 2012, the Fund had a short-term capital loss carryforward of $87,460,109 of which $52,780,165 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. At September 30, 2012, late year ordinary and post-October capital loss deferrals were $63,747. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | 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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 151,053,093 | $ | | $ | | $ | 151,053,093 | ||||||||
Short-Term Investments |
| 1,482,218 | | 1,482,218 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 151,053,093 | $ | 1,482,218 | $ | | $ | 152,535,311 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Industry Summary at December 31, 2012 (Unaudited)
Software |
11.9 | % | ||
Communications Equipment |
9.9 | |||
Capital Markets |
9.6 | |||
Internet Software & Services |
8.2 | |||
Internet & Catalog Retail |
6.9 | |||
IT Services |
6.5 | |||
Air Freight & Logistics |
6.2 | |||
Health Care Equipment & Supplies |
5.8 | |||
Pharmaceuticals |
5.0 | |||
Beverages |
4.7 | |||
Food Products |
3.9 | |||
Semiconductors & Semiconductor Equipment |
3.9 | |||
Household Products |
3.8 | |||
Specialty Retail |
3.7 | |||
Consumer Finance |
3.4 | |||
Energy Equipment & Services |
3.2 | |||
Biotechnology |
2.4 | |||
Short-Term Investments |
1.0 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
0.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles High Income Fund
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes 88.7% of Net Assets | ||||||||
Non-Convertible Bonds 78.9% | ||||||||
ABS Home Equity 3.8% | ||||||||
$ | 200,000 | Ameriquest Mortgage Securities, Inc., Series 2005-R11, Class M1, 0.660%, 1/25/2036(b) | $ | 164,363 | ||||
375,080 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.658%, 7/25/2037, 144A(b) | 225,935 | ||||||
70,654 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 3.002%, 2/25/2035(b) | 68,391 | ||||||
219,206 | Banc of America Mortgage Securities, Inc., Series 2006-B, Class 4A1, 6.131%, 11/20/2046(b) | 194,891 | ||||||
117,217 | Citimortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 | 89,735 | ||||||
355,726 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 | 241,474 | ||||||
947,243 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 3A3, 2.733%, 4/25/2035(b) | 526,920 | ||||||
217,114 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.480%, 4/25/2035(b) | 151,831 | ||||||
544,121 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-13, Class A3, 5.500%, 6/25/2035 | 546,399 | ||||||
534,115 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.615%, |
470,062 | ||||||
491,185 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 3.415%, 6/19/2035(b) | 483,818 | ||||||
415,914 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.580%, 7/19/2035(b) | 380,469 | ||||||
516,060 | GSAA Home Equity Trust, Series 2006-20, Class 1A1, 0.280%, 12/25/2046(b) | 256,697 | ||||||
91,772 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 3.123%, 12/25/2034(b) | 80,208 | ||||||
589,871 | GSR Mortgage Loan Trust, Series 2005-AR3, Class 5A1, 3.050%, 5/25/2035(b) | 536,759 | ||||||
246,048 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 | 212,027 | ||||||
132,296 | JP Morgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 5.096%, 3/25/2036(b) | 104,348 | ||||||
521,872 | Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.710%, 1/25/2036(b) | 345,910 | ||||||
204,597 | Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036 | 201,701 | ||||||
507,758 | Lehman XS Trust, Series 2007-10H, Class 1A11, 0.330%, 7/25/2037(b)(c) | 252,333 | ||||||
370,058 | MASTR Asset Securitization Trust, Series 2007-1, Class 1A4, 6.500%, 11/25/2037 | 329,877 | ||||||
595,924 | Merrill Lynch Alternative Note Asset, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 | 397,266 | ||||||
135,983 | New York Mortgage Trust, Series 2006-1, Class 2A2, 2.988%, 5/25/2036(b) | 113,802 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
ABS Home Equity continued | ||||||||
$ | 575,000 | Park Place Securities, Inc., Series 2005-WCW2, Class M1, 0.710%, 7/25/2035(b) | $ | 518,739 | ||||
538,821 | Residential Accredit Loans, Inc., Series 2006-QS6, Class 1A16, 6.000%, 6/25/2036 | 397,918 | ||||||
479,072 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 | 481,542 | ||||||
133,256 | WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.920%, 4/25/2047(b) | 119,417 | ||||||
453,873 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 2A, 1.120%, 8/25/2046(b) | 245,356 | ||||||
557,597 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2007-OC1, Class A1, 0.450%, 1/25/2047(b) | 299,471 | ||||||
|
|
|||||||
8,437,659 | ||||||||
|
|
|||||||
ABS Other 0.3% | ||||||||
350,000 | DSC Floorplan Master Owner Trust, Series 2011-1, Class B, 8.110%, 3/15/2016, 144A | 353,312 | ||||||
363,602 | Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A | 374,944 | ||||||
|
|
|||||||
728,256 | ||||||||
|
|
|||||||
Aerospace & Defense 1.6% | ||||||||
800,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A | 690,139 | ||||||
900,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A | 836,011 | ||||||
2,090,000 | TransDigm, Inc., 5.500%, 10/15/2020, 144A | 2,173,600 | ||||||
|
|
|||||||
3,699,750 | ||||||||
|
|
|||||||
Airlines 1.3% | ||||||||
2,005,000 | Air Canada, 9.250%, 8/01/2015, 144A | 2,095,225 | ||||||
30,000 | Air Canada, 12.000%, 2/01/2016, 144A | 30,975 | ||||||
345,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A | 347,587 | ||||||
19,836 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 | 20,134 | ||||||
198,446 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 | 210,849 | ||||||
169,923 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 | 183,041 | ||||||
|
|
|||||||
2,887,811 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Automotive 1.0% | ||||||||
$ | 2,190,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 | $ | 2,348,775 | ||||
|
|
|||||||
Banking 3.3% | ||||||||
800,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) | 1,671,018 | ||||||
820,000 | HBOS PLC, 6.000%, 11/01/2033, 144A | 741,009 | ||||||
1,400,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A | 1,506,750 | ||||||
900,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 1,006,991 | ||||||
1,000,000 | Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018 | 1,006,453 | ||||||
65,000 | Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR) | 63,361 | ||||||
740,000 | Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR) | 746,247 | ||||||
200,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) | 297,948 | ||||||
250,000 | Societe Generale, S.A., (fixed rate to 9/04/2019, variable rate thereafter), 9.375%, 9/29/2049, (EUR) | 368,692 | ||||||
|
|
|||||||
7,408,469 | ||||||||
|
|
|||||||
Building Materials 2.9% | ||||||||
50,000 | Masco Corp., 6.500%, 8/15/2032 | 51,719 | ||||||
360,000 | Masco Corp., 7.125%, 3/15/2020 | 418,835 | ||||||
345,000 | Masco Corp., 7.750%, 8/01/2029 | 383,708 | ||||||
845,000 | Masonite International Corp., 8.250%, 4/15/2021, 144A | 904,150 | ||||||
1,300,000 | Ply Gem Industries, Inc., 8.250%, 2/15/2018 | 1,404,000 | ||||||
2,955,000 | USG Corp., 6.300%, 11/15/2016(d) | 3,058,425 | ||||||
100,000 | USG Corp., 8.375%, 10/15/2018, 144A | 111,000 | ||||||
75,000 | USG Corp., 9.750%, 1/15/2018 | 84,937 | ||||||
|
|
|||||||
6,416,774 | ||||||||
|
|
|||||||
Chemicals 2.5% | ||||||||
1,510,000 | Hercules, Inc., 6.500%, 6/30/2029 | 1,359,000 | ||||||
850,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 | 873,375 | ||||||
420,000 | JM Huber Corp., 9.875%, 11/01/2019, 144A | 466,200 | ||||||
819,919 | Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(e)(f) | 594,441 | ||||||
635,000 | TPC Group, Inc., 8.750%, 12/15/2020, 144A | 639,763 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Chemicals continued | ||||||||
$ | 1,600,000 | Tronox Finance LLC, 6.375%, 8/15/2020, 144A | $ | 1,616,000 | ||||
|
|
|||||||
5,548,779 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 0.6% | ||||||||
342,605 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 2.027%, 9/25/2045(b) | 325,347 | ||||||
356,008 | American Home Mortgage Investment Trust, Series 2006-1, Class 11A1, 0.350%, 3/25/2046(b) | 273,862 | ||||||
343,647 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.930%, 3/25/2035(b) | 261,791 | ||||||
619,230 | MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1, 0.370%, 1/25/2047(b) | 408,210 | ||||||
|
|
|||||||
1,269,210 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 1.0% | ||||||||
1,690,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.789%, 8/10/2045(b) | 1,635,952 | ||||||
125,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class AM, 5.464%, 1/15/2049 | 134,818 | ||||||
525,000 | Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM, 5.575%, 4/12/2049(b) | 555,054 | ||||||
|
|
|||||||
2,325,824 | ||||||||
|
|
|||||||
Construction Machinery 0.9% | ||||||||
450,000 | United Rentals North America, Inc., 6.125%, 6/15/2023 | 474,750 | ||||||
205,000 | UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A | 229,088 | ||||||
200,000 | Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A | 189,000 | ||||||
1,100,000 | Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A | 1,042,250 | ||||||
|
|
|||||||
1,935,088 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.6% | ||||||||
615,000 | ServiceMaster Co. (The), 7.000%, 8/15/2020, 144A | 616,538 | ||||||
1,035,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 | 838,350 | ||||||
|
|
|||||||
1,454,888 | ||||||||
|
|
|||||||
Consumer Products 0.8% | ||||||||
2,040,000 | Visant Corp., 10.000%, 10/01/2017 | 1,830,900 | ||||||
|
|
|||||||
Electric 1.5% | ||||||||
17,408 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 | 18,975 | ||||||
1,395,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 1,382,145 | ||||||
200,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A | 209,698 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Electric continued | ||||||||
$ | 773,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A | $ | 738,215 | ||||
455,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.750%, 3/01/2022, 144A | 505,050 | ||||||
515,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A | 402,987 | ||||||
|
|
|||||||
3,257,070 | ||||||||
|
|
|||||||
Environmental 0.1% | ||||||||
255,000 | ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A | 267,750 | ||||||
|
|
|||||||
Food & Beverage 0.6% | ||||||||
1,020,000 | Del Monte Corp., 7.625%, 2/15/2019 | 1,063,350 | ||||||
400,000 | Marfrig Overseas Ltd., 9.500%, 5/04/2020, 144A | 345,000 | ||||||
|
|
|||||||
1,408,350 | ||||||||
|
|
|||||||
Gaming 1.6% | ||||||||
740,000 | MGM Resorts International, 6.750%, 10/01/2020, 144A | 755,725 | ||||||
1,360,000 | MGM Resorts International, 7.500%, 6/01/2016 | 1,458,600 | ||||||
1,250,000 | MGM Resorts International, 7.625%, 1/15/2017 | 1,337,500 | ||||||
|
|
|||||||
3,551,825 | ||||||||
|
|
|||||||
Healthcare 2.2% | ||||||||
555,000 | DJO Finance LLC/DJO Finance Corp., 9.875%, 4/15/2018, 144A | 573,037 | ||||||
570,000 | HCA, Inc., 5.875%, 5/01/2023 | 589,950 | ||||||
165,000 | HCA, Inc., 7.050%, 12/01/2027 | 158,813 | ||||||
640,000 | HCA, Inc., 7.500%, 12/15/2023 | 654,400 | ||||||
470,000 | HCA, Inc., 7.690%, 6/15/2025 | 480,575 | ||||||
480,000 | HCA, Inc., 8.360%, 4/15/2024 | 517,200 | ||||||
800,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 810,000 | ||||||
515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 524,012 | ||||||
635,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 571,500 | ||||||
|
|
|||||||
4,879,487 | ||||||||
|
|
|||||||
Home Construction 6.1% | ||||||||
845,000 | Beazer Homes USA, Inc., 9.125%, 6/15/2018 | 880,912 | ||||||
1,132,000 | Beazer Homes USA, Inc., 9.125%, 5/15/2019 | 1,184,355 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Home Construction continued | ||||||||
$ | 600,000 | Corp GEO SAB de CV, 8.875%, 3/27/2022, 144A | $ | 639,000 | ||||
975,000 | Desarrolladora Homex SAB de CV, 9.750%, 3/25/2020, 144A | 1,057,875 | ||||||
750,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 | 637,500 | ||||||
500,000 | K. Hovnanian Enterprises, Inc., 9.125%, 11/15/2020, 144A | 530,000 | ||||||
2,580,000 | KB Home, 7.250%, 6/15/2018 | 2,805,750 | ||||||
1,850,000 | Lennar Corp., 6.950%, 6/01/2018 | 2,067,375 | ||||||
3,135,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 2,915,550 | ||||||
495,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 493,763 | ||||||
380,000 | Pulte Group, Inc., 7.875%, 6/15/2032 | 413,250 | ||||||
70,000 | Standard Pacific Corp., 8.375%, 1/15/2021 | 81,200 | ||||||
|
|
|||||||
13,706,530 | ||||||||
|
|
|||||||
Independent Energy 3.6% | ||||||||
30,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 | 32,175 | ||||||
405,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 | 438,919 | ||||||
1,365,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 928,200 | ||||||
115,000 | Halcon Resources Corp., 8.875%, 5/15/2021, 144A | 121,900 | ||||||
685,000 | Halcon Resources Corp., 9.750%, 7/15/2020, 144A | 739,800 | ||||||
3,200,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A | 2,672,000 | ||||||
200,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A | 180,000 | ||||||
1,100,000 | Plains Exploration & Production Co., 6.500%, 11/15/2020 | 1,218,250 | ||||||
810,000 | SandRidge Energy, Inc., 7.500%, 3/15/2021 | 866,700 | ||||||
200,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 | 214,000 | ||||||
675,000 | SandRidge Energy, Inc., 8.125%, 10/15/2022 | 739,125 | ||||||
|
|
|||||||
8,151,069 | ||||||||
|
|
|||||||
Life Insurance 0.5% | ||||||||
860,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 | 1,120,150 | ||||||
|
|
|||||||
Lodging 0.1% | ||||||||
180,000 | Royal Caribbean Cruises Ltd., 7.500%, 10/15/2027 | 203,400 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Media Cable 0.1% | ||||||||
200,000 | Numericable Finance & Co. SCA, 8.750%, 2/15/2019, 144A, (EUR) | $ | 281,150 | |||||
|
|
|||||||
Media Non-Cable 3.1% | ||||||||
1,565,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 | 1,459,362 | ||||||
290,000 | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A | 297,975 | ||||||
785,000 | Clear Channel Worldwide Holdings, Inc., 6.500%, 11/15/2022, 144A | 814,438 | ||||||
1,080,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 | 1,088,100 | ||||||
2,905,000 | Intelsat Luxembourg S.A., 11.250%, 2/04/2017 | 3,072,037 | ||||||
165,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 | 159,225 | ||||||
|
|
|||||||
6,891,137 | ||||||||
|
|
|||||||
Metals & Mining 3.5% | ||||||||
2,395,000 | ArcelorMittal, 7.250%, 3/01/2041 | 2,221,362 | ||||||
2,100,000 | Arch Coal, Inc., 7.250%, 6/15/2021 | 1,937,250 | ||||||
140,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A | 126,700 | ||||||
780,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A | 534,300 | ||||||
330,000 | FMG Resources August 2006 Pty Ltd., 6.875%, 4/01/2022, 144A | 337,425 | ||||||
660,000 | Inmet Mining Corp., 7.500%, 6/01/2021, 144A | 684,750 | ||||||
2,375,000 | United States Steel Corp., 6.650%, 6/01/2037 | 2,066,250 | ||||||
|
|
|||||||
7,908,037 | ||||||||
|
|
|||||||
Mortgage Related 0.3% | ||||||||
676,328 | FHLMC, 3.500%, 8/01/2042 | 721,242 | ||||||
|
|
|||||||
Non-Captive Consumer 2.3% | ||||||||
1,605,000 | Residential Capital LLC, 9.625%, 5/15/2015(g) | 1,687,256 | ||||||
1,920,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 | 1,737,600 | ||||||
2,000,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 1,790,000 | ||||||
|
|
|||||||
5,214,856 | ||||||||
|
|
|||||||
Non-Captive Diversified 2.2% | ||||||||
1,825,000 | Air Lease Corp., 4.500%, 1/15/2016, 144A | 1,843,250 | ||||||
240,000 | Aircastle Ltd., 7.625%, 4/15/2020 | 268,200 | ||||||
1,045,000 | International Lease Finance Corp., 8.625%, 1/15/2022 | 1,290,575 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Non-Captive Diversified continued | ||||||||
$ | 100,000 | iStar Financial, Inc., 5.850%, 3/15/2017 | $ | 98,000 | ||||
135,000 | iStar Financial, Inc., 5.875%, 3/15/2016 | 135,000 | ||||||
615,000 | iStar Financial, Inc., 7.125%, 2/15/2018 | 626,531 | ||||||
15,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 | 15,319 | ||||||
585,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A | 601,088 | ||||||
|
|
|||||||
4,877,963 | ||||||||
|
|
|||||||
Oil Field Services 1.2% | ||||||||
385,000 | Basic Energy Services, Inc., 7.750%, 10/15/2022, 144A | 375,375 | ||||||
1,745,000 | Edgen Murray Corp., 8.750%, 11/01/2020, 144A | 1,762,450 | ||||||
515,000 | Global Geophysical Services, Inc., 10.500%, 5/01/2017 | 458,350 | ||||||
|
|
|||||||
2,596,175 | ||||||||
|
|
|||||||
Packaging 1.8% | ||||||||
3,000,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021 |
3,045,000 | ||||||
275,000 | Sealed Air Corp., 6.500%, 12/01/2020, 144A | 297,000 | ||||||
755,000 | Sealed Air Corp., 6.875%, 7/15/2033, 144A | 724,800 | ||||||
|
|
|||||||
4,066,800 | ||||||||
|
|
|||||||
Pharmaceuticals 1.3% | ||||||||
450,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 482,625 | ||||||
140,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 150,150 | ||||||
530,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A | 579,025 | ||||||
1,690,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 1,812,525 | ||||||
|
|
|||||||
3,024,325 | ||||||||
|
|
|||||||
Pipelines 1.0% | ||||||||
615,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 645,750 | ||||||
655,000 | NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A | 753,250 | ||||||
215,000 | Rockies Express Pipeline LLC, 3.900%, 4/15/2015, 144A | 213,925 | ||||||
700,000 | Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A | 630,000 | ||||||
|
|
|||||||
2,242,925 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Retailers 1.9% | ||||||||
$ | 40,000 | Dillards, Inc., 7.000%, 12/01/2028 | $ | 40,300 | ||||
435,000 | Dillards, Inc., 7.750%, 7/15/2026 | 457,837 | ||||||
205,000 | Dillards, Inc., 7.750%, 5/15/2027 | 213,713 | ||||||
35,000 | Dillards, Inc., 7.875%, 1/01/2023 | 38,325 | ||||||
3,015,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 | 2,261,250 | ||||||
1,440,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 1,310,400 | ||||||
|
|
|||||||
4,321,825 | ||||||||
|
|
|||||||
Sovereigns 1.5% | ||||||||
1,050,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 624,359 | ||||||
2,250,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 1,447,802 | ||||||
19,265,585 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) | 1,198,028 | ||||||
|
|
|||||||
3,270,189 | ||||||||
|
|
|||||||
Supermarkets 0.5% | ||||||||
315,000 | American Stores Co., 8.000%, 6/01/2026 | 273,263 | ||||||
955,000 | New Albertsons, Inc., 7.750%, 6/15/2026 | 537,187 | ||||||
735,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 | 391,388 | ||||||
|
|
|||||||
1,201,838 | ||||||||
|
|
|||||||
Supranational 0.5% | ||||||||
2,000,000 | European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL) | 1,015,971 | ||||||
|
|
|||||||
Technology 2.6% | ||||||||
1,485,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 1,128,600 | ||||||
1,930,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 1,452,325 | ||||||
475,000 | Amkor Technology, Inc., 6.375%, 10/01/2022, 144A | 467,875 | ||||||
85,000 | Amkor Technology, Inc., 6.625%, 6/01/2021 | 84,787 | ||||||
1,460,000 | First Data Corp., 8.250%, 1/15/2021, 144A | 1,460,000 | ||||||
960,000 | Freescale Semiconductor, Inc., 8.050%, 2/01/2020 | 955,200 | ||||||
340,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A | 347,650 | ||||||
|
|
|||||||
5,896,437 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Textile 2.0% | ||||||||||
$ | 1,925,000 | Hanesbrands, Inc., 6.375%, 12/15/2020(d) | $ | 2,117,500 | ||||||
2,605,000 | Jones Group, Inc. (The), 6.125%, 11/15/2034 | 2,240,300 | ||||||||
175,000 | Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 |
182,000 | ||||||||
|
|
|||||||||
4,539,800 | ||||||||||
|
|
|||||||||
Transportation Services 0.1% | ||||||||||
275,000 | APL Ltd., 8.000%, 1/15/2024(f) | 254,375 | ||||||||
|
|
|||||||||
Treasuries 8.6% | ||||||||||
150,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 205,897 | ||||||||
375,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 494,968 | ||||||||
930,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 1,247,682 | ||||||||
65,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) | 85,721 | ||||||||
60,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) | 81,747 | ||||||||
55,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) | 78,971 | ||||||||
246,500 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) | 2,306,733 | |||||||
229,000 | () | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) | 2,238,750 | |||||||
20,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) | 504,110 | ||||||||
10,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) | 268,798 | ||||||||
120,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(d) | 3,506,849 | ||||||||
850,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 912,961 | ||||||||
1,525,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 1,703,236 | ||||||||
2,920,000 | Spain Government Bond, 4.650%, 7/30/2025, (EUR) | 3,521,746 | ||||||||
2,255,000 | U.S. Treasury Note, 0.250%, 10/15/2015 | 2,249,890 | ||||||||
|
|
|||||||||
19,408,059 | ||||||||||
|
|
|||||||||
Wireless 3.3% | ||||||||||
6,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 476,449 | ||||||||
900,000 | Bakrie Telecom Pte Ltd., 11.500%, 5/07/2015, 144A | 418,500 | ||||||||
955,000 | Clearwire Communications LLC/Clearwire Finance, Inc., 12.000%, 12/01/2015, 144A | 1,026,625 | ||||||||
795,000 | SBA Communications Corp., 5.625%, 10/01/2019, 144A | 834,750 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Wireless continued | ||||||||
$ | 4,236,000 | Sprint Capital Corp., 6.875%, 11/15/2028(d) | $ | 4,405,440 | ||||
5,000 | Sprint Capital Corp., 6.900%, 5/01/2019 | 5,450 | ||||||
285,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 348,412 | ||||||
|
|
|||||||
7,515,626 | ||||||||
|
|
|||||||
Wirelines 4.2% | ||||||||
665,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A | 352,450 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 126,100 | ||||||
1,105,000 | Cincinnati Bell, Inc., 8.750%, 3/15/2018 | 1,140,912 | ||||||
735,000 | Frontier Communications Corp., 9.000%, 8/15/2031 | 808,500 | ||||||
605,000 | Level 3 Communications, Inc., 8.875%, 6/01/2019, 144A | 644,325 | ||||||
1,090,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A | 1,139,050 | ||||||
940,000 | Level 3 Financing, Inc., 8.125%, 7/01/2019 | 1,024,600 | ||||||
350,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) | 417,651 | ||||||
250,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) | 331,162 | ||||||
300,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) | 418,279 | ||||||
25,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 24,438 | ||||||
15,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 15,113 | ||||||
1,575,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 1,655,719 | ||||||
75,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 | 79,969 | ||||||
1,125,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 1,215,000 | ||||||
|
|
|||||||
9,393,268 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $165,434,104) | 177,479,812 | |||||||
|
|
|||||||
Convertible Bonds 9.8% |
| |||||||
Automotive 1.6% | ||||||||
1,235,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(h) | 923,934 | ||||||
1,760,000 | Ford Motor Co., 4.250%, 11/15/2016 | 2,789,600 | ||||||
|
|
|||||||
3,713,534 | ||||||||
|
|
|||||||
Brokerage 0.8% | ||||||||
1,714,000 | Jefferies Group, Inc., 3.875%, 11/01/2029 | 1,697,931 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Convertible Bonds continued |
| |||||||
Construction Machinery 0.3% | ||||||||
$ | 555,000 | Ryland Group, Inc. (The), 1.625%, 5/15/2018 | $ | 751,331 | ||||
|
|
|||||||
Diversified Manufacturing 0.7% | ||||||||
1,325,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 | 1,481,516 | ||||||
|
|
|||||||
Home Construction 0.5% | ||||||||
70,000 | Lennar Corp., 2.000%, 12/01/2020, 144A | 101,544 | ||||||
925,000 | Standard Pacific Corp., 1.250%, 8/01/2032 | 1,084,562 | ||||||
|
|
|||||||
1,186,106 | ||||||||
|
|
|||||||
Independent Energy 0.4% | ||||||||
800,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 | 720,000 | ||||||
120,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 | 114,750 | ||||||
|
|
|||||||
834,750 | ||||||||
|
|
|||||||
Metals & Mining 0.5% | ||||||||
1,060,000 | Peabody Energy Corp., 4.750%, 12/15/2066 | 1,020,912 | ||||||
165,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 | 179,541 | ||||||
|
|
|||||||
1,200,453 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.1% | ||||||||
310,000 | iStar Financial, Inc., 3.000%, 11/15/2016 | 315,813 | ||||||
|
|
|||||||
Pharmaceuticals 1.0% | ||||||||
315,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016 | 531,169 | ||||||
100,000 | Mylan, Inc., 3.750%, 9/15/2015 | 212,562 | ||||||
1,335,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 1,501,041 | ||||||
|
|
|||||||
2,244,772 | ||||||||
|
|
|||||||
Technology 3.6% | ||||||||
3,780,000 | Ciena Corp., 0.875%, 6/15/2017(d) | 3,257,887 | ||||||
145,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 163,216 | ||||||
40,000 | Ciena Corp., 4.000%, 3/15/2015, 144A | 45,400 | ||||||
2,700,000 | Intel Corp., 2.950%, 12/15/2035 | 2,799,563 | ||||||
620,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 | 566,525 | ||||||
1,185,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A | 1,142,044 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Convertible Bonds continued |
| |||||||
Technology continued | ||||||||
$ | 80,000 | SanDisk Corp., 1.500%, 8/15/2017 | $ | 92,800 | ||||
|
|
|||||||
8,067,435 | ||||||||
|
|
|||||||
Textile 0.3% | ||||||||
570,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016, 144A | 590,306 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $20,150,705) | 22,083,947 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $185,584,809) | 199,563,759 | |||||||
|
|
|||||||
Senior Loans 0.2% |
| |||||||
Media Non-Cable 0.1% | ||||||||
281,368 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b) | 201,296 | ||||||
|
|
|||||||
Wirelines 0.1% | ||||||||
354,230 | FairPoint Communications, Inc., New Term Loan B, 6.500%, 1/22/2016(b) | 341,967 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $730,125) | 543,263 | |||||||
|
|
Shares |
||||||||
Preferred Stocks 3.7% |
| |||||||
Convertible Preferred Stocks 2.2% |
| |||||||
Automotive 1.5% | ||||||||
73,400 | General Motors Co., Series B, 4.750% | 3,239,142 | ||||||
2,500 | Goodyear Tire & Rubber Co. (The), 5.875% | 118,025 | ||||||
|
|
|||||||
3,357,167 | ||||||||
|
|
|||||||
Banking 0.0% | ||||||||
94 | Bank of America Corp., Series L, 7.250% | 106,690 | ||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
2,213 | United Rentals Trust I, 6.500% | 132,573 | ||||||
|
|
|||||||
Independent Energy 0.1% | ||||||||
185 | Chesapeake Energy Corp., Series A, 5.750%, 144A | 164,303 | ||||||
|
|
|||||||
Pipelines 0.5% | ||||||||
20,675 | El Paso Energy Capital Trust I, 4.750% | 1,141,260 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $4,801,699) | 4,901,993 | |||||||
|
|
Shares |
Description |
Value () | ||||||
Preferred Stocks continued |
| |||||||
Non-Convertible Preferred Stocks 1.5% |
| |||||||
Independent Energy 0.0% | ||||||||
50 | Chesapeake Energy Corp., 5.000% | $ | 3,770 | |||||
|
|
|||||||
Non-Captive Diversified 1.5% | ||||||||
78,785 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% | 2,069,682 | ||||||
965 | Ally Financial, Inc., Series G, 7.000%, 144A | 947,781 | ||||||
12,925 | iStar Financial, Inc., Series E, 7.875% | 288,357 | ||||||
7,500 | iStar Financial, Inc., Series F, 7.800% | 163,500 | ||||||
550 | iStar Financial, Inc., Series G, 7.650% | 11,797 | ||||||
|
|
|||||||
3,481,117 | ||||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $3,283,611) | 3,484,887 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $8,085,310) | 8,386,880 | |||||||
|
|
|||||||
Common Stocks 1.7% |
| |||||||
Automobiles 0.3% | ||||||||
53,720 | Ford Motor Co. | 695,674 | ||||||
|
|
|||||||
Chemicals 0.1% | ||||||||
1,087 | Ashland, Inc. | 87,406 | ||||||
|
|
|||||||
Diversified Telecommunication Services 0.0% | ||||||||
68 | FairPoint Communications, Inc.(i) | 540 | ||||||
593 | Hawaiian Telcom Holdco, Inc.(i) | 11,563 | ||||||
|
|
|||||||
12,103 | ||||||||
|
|
|||||||
Gas Utilities 0.4% | ||||||||
17,600 | National Fuel Gas Co. | 892,144 | ||||||
|
|
|||||||
Household Durables 0.3% | ||||||||
46,500 | KB Home | 734,700 | ||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.3% | ||||||||
34,210 | Dynegy, Inc.(i) | 654,437 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.2% | ||||||||
14,882 | Kinder Morgan, Inc. | 525,781 | ||||||
|
|
|||||||
Pharmaceuticals 0.1% | ||||||||
6,875 | Merck & Co., Inc. | 281,463 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $3,982,097) | 3,883,708 | |||||||
|
|
|||||||
Warrants 0.1% |
| |||||||
10,360 | FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(f)(i)(j) | | ||||||
22,512 | Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(i) | 85,095 | ||||||
|
|
|||||||
Total Warrants (Identified Cost $29,892) | 85,095 | |||||||
|
|
Principal |
Description |
Value () | ||||||
Short-Term Investments 4.1% |
| |||||||
$ | 6,012 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $6,012 on 1/02/2013 collateralized by $10,000 Federal National Mortgage Association, 2.080%, due 11/02/2022 valued at $10,015 including accrued interest(k) |
$ | 6,012 | ||||
9,092,917 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $9,092,922 on 1/02/2013 collateralized by $9,255,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $9,275,727 including accrued interest(k) |
9,092,917 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $9,098,929) | 9,098,929 | |||||||
|
|
|||||||
Total Investments 98.5% (Identified Cost $207,511,162)(a) | 221,561,634 | |||||||
Other assets less liabilities 1.5% | 3,375,282 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 224,936,916 | ||||||
|
|
() | 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 an independent 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated 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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $207,597,038 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 |
$ | 19,414,936 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(5,450,340 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 13,964,596 | ||
|
|
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(c) | The issuer is making partial payments with respect to interest and/or principal. Income is not being accrued. |
(d) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(e) | All or a portion of interest payment is paid-in-kind. |
(f) | Illiquid security. At December 31, 2012, the value of these securities amounted to $848,816 or 0.4% of net assets. |
(g) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(h) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(i) | Non-income producing security. |
(j) | Fair valued security by the Funds investment adviser. |
(k) | 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, 2012, the value of Rule 144A holdings amounted to $53,297,087 or 23.7% of net assets. | |||
ABS | Asset-Backed Securities | |||
EMTN | Euro Medium Term Note | |||
FHLMC | Federal Home Loan Mortgage Corp. | |||
GMTN | Global Medium Term Note | |||
MTN | Medium Term Note | |||
AUD | Australian Dollar | |||
BRL | Brazilian Real | |||
CLP | Chilean Peso | |||
EUR | Euro | |||
MXN | Mexican Peso | |||
PHP | Philippine Peso | |||
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 and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||||
Sell |
1/31/2013 | Euro | 390,000 | $ | 514,903 | $ | 1,578 | |||||||||||||||||||||
Sell |
1/31/2013 | Euro | 8,220,000 | 10,852,585 | (230,105 | ) | ||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total |
|
$ | (228,527 | ) | ||||||||||||||||||||||||
|
|
1 | Counterparty is Barclays Bank PLC. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1- quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 199,563,759 | $ | | $ | 199,563,759 | ||||||||
Senior Loans* |
| 543,263 | | 543,263 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Construction Machinery |
| 132,573 | | 132,573 | ||||||||||||
Independent Energy |
| 164,303 | | 164,303 | ||||||||||||
All Other Convertible Preferred Stocks* |
4,605,117 | | | 4,605,117 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
4,605,117 | 296,876 | | 4,901,993 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Non-Captive Diversified |
2,533,336 | 947,781 | | 3,481,117 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
3,770 | | | 3,770 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
7,142,223 | 1,244,657 | | 8,386,880 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* |
3,883,708 | | | 3,883,708 | ||||||||||||
Warrants** |
85,095 | | | 85,095 | ||||||||||||
Short-Term Investments |
| 9,098,929 | | 9,098,929 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
11,111,026 | 210,450,608 | | 221,561,634 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 1,578 | | 1,578 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 11,111,026 | $ | 210,452,186 | $ | | $ | 221,563,212 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (230,105 | ) | $ | | $ | (230,105 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
** | Includes a security fair valued at zero using Level 2 inputs. |
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of September 30, 2012:
Asset Valuation Inputs
Investments in |
Balance as of September 30, 2012 |
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, 2012 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Transportation Service |
$ | 23,438 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (234,438 | ) | $ | | $ | | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $234,438 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
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, 2012, 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, 2012, 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 Bank PLC |
$ | (228,527 | ) | $ | 280,000 |
Derivatives 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 with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty. As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including cash pledged to counterparties as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $281,578 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $280,000.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.
Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the derivative counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent a Fund is undercollateralized; however, final settlement of a Funds claim against any collateral received may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of December 31, 2012:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 1,578 |
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (230,105 | ) |
The Funds derivatives do not qualify for hedge accounting under authoritative guidance for derivative instrument. 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, 2012 (Unaudited) |
| |||
Treasuries |
8.6 | % | ||
Home Construction |
6.6 | |||
Technology |
6.2 | |||
Wirelines |
4.3 | |||
Automotive |
4.1 | |||
Independent Energy |
4.1 | |||
Metals & Mining |
4.0 | |||
Non-Captive Diversified |
3.8 | |||
ABS Home Equity |
3.8 | |||
Wireless |
3.3 | |||
Banking |
3.3 | |||
Media Non-Cable |
3.2 | |||
Building Materials |
2.9 | |||
Chemicals |
2.6 | |||
Pharmaceuticals |
2.4 | |||
Non-Captive Consumer |
2.3 | |||
Textile |
2.3 | |||
Healthcare |
2.2 | |||
Other Investments, less than 2% each |
24.4 | |||
Short-Term Investments |
4.1 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles International Bond Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 97.0% of Net Assets |
| ||||||
Belgium 1.9% | ||||||||
260,000 | Belgium Government Bond, 3.500%, 6/28/2017, (EUR) | $ | 384,713 | |||||
|
|
|||||||
Brazil 1.8% | ||||||||
350,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 208,119 | ||||||
100,000 | Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR) | 142,456 | ||||||
|
|
|||||||
350,575 | ||||||||
|
|
|||||||
Canada 3.7% | ||||||||
75,000 | Canada Government International Bond, 3.500%, 1/13/2020, (EUR)(b) | 117,404 | ||||||
285,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 300,825 | ||||||
150,000 | Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR) | 217,292 | ||||||
95,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) | 107,203 | ||||||
|
|
|||||||
742,724 | ||||||||
|
|
|||||||
Finland 2.7% | ||||||||
390,000 | Finland Government Bond, 1.875%, 4/15/2017, (EUR)(b) | 548,047 | ||||||
|
|
|||||||
France 5.7% | ||||||||
50,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
68,911 | ||||||
530,000 | France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b) | 766,008 | ||||||
195,000 | France Government Bond OAT, 3.750%, 4/25/2021, (EUR) | 299,394 | ||||||
|
|
|||||||
1,134,313 | ||||||||
|
|
|||||||
Germany 8.4% | ||||||||
795,000 | Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR) | 1,093,143 | ||||||
390,000 | Bundesrepublik Deutschland, 3.000%, 7/04/2020, (EUR) | 593,937 | ||||||
|
|
|||||||
1,687,080 | ||||||||
|
|
|||||||
Ireland 0.9% | ||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) | 185,790 | ||||||
|
|
|||||||
Italy 6.9% | ||||||||
50,000 | Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP) | 82,058 | ||||||
50,000 | Finmeccanica SpA, EMTN, 4.875%, 3/24/2025, (EUR) | 64,267 | ||||||
350,000 | Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR) | 401,462 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Italy continued | ||||||||
320,000 | Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b) | $ | 443,647 | |||||
150,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR) | 210,981 | ||||||
60,000 | Republic of Italy, 6.875%, 9/27/2023 | 69,681 | ||||||
75,000 | Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR) | 114,195 | ||||||
|
|
|||||||
1,386,291 | ||||||||
|
|
|||||||
Japan 25.9% | ||||||||
90,000,000 | Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY) | 1,134,433 | ||||||
43,000,000 | Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY) | 500,666 | ||||||
92,650,000 | Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY) | 1,135,612 | ||||||
89,400,000 | Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY) | 1,105,924 | ||||||
26,000,000 | Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY) | 304,251 | ||||||
82,000,000 | Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY) | 1,007,598 | ||||||
|
|
|||||||
5,188,484 | ||||||||
|
|
|||||||
Korea 0.5% | ||||||||
3,600,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) | 92,765 | ||||||
|
|
|||||||
Luxembourg 0.3% | ||||||||
50,000 | ArcelorMittal, 6.000%, 3/01/2021 | 49,857 | ||||||
|
|
|||||||
Malaysia 1.6% | ||||||||
580,000 | Malaysia Government Bond, 3.314%, 10/31/2017, (MYR) | 190,169 | ||||||
370,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) | 125,751 | ||||||
|
|
|||||||
315,920 | ||||||||
|
|
|||||||
Mexico 3.1% | ||||||||
2,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 158,816 | ||||||
11,500 | () | Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN) | 99,028 | |||||
37,500 | () | Mexican Fixed Rate Bonds, Series M-30, 8.500%, 11/18/2038, (MXN) | 366,608 | |||||
|
|
|||||||
624,452 | ||||||||
|
|
|||||||
Netherlands 0.3% | ||||||||
50,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) | 68,179 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Norway 3.3% | ||||||||
$ |
30,000 |
Eksportfinans ASA, 2.000%, 9/15/2015 | $ | 28,715 | ||||
2,205,000 |
Norwegian Government Bond, 4.250%, 5/19/2017, (NOK)(b) | 441,944 | ||||||
595,000 |
Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) | 115,698 | ||||||
370,000 |
Norwegian Government Bond, 6.500%, 5/15/2013, (NOK) | 67,703 | ||||||
|
|
|||||||
654,060 | ||||||||
|
|
|||||||
Philippines 0.7% | ||||||||
5,000,000 |
Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) | 134,399 | ||||||
|
|
|||||||
Poland 2.3% | ||||||||
605,000 |
Poland Government Bond, 4.750%, 4/25/2017, (PLN) | 207,604 | ||||||
225,000 |
Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF) | 256,942 | ||||||
|
|
|||||||
464,546 | ||||||||
|
|
|||||||
Singapore 2.0% | ||||||||
135,000 |
Singapore Government Bond, 1.625%, 4/01/2013, (SGD) | 110,872 | ||||||
360,000 |
Singapore Government Bond, 2.250%, 7/01/2013, (SGD) | 297,685 | ||||||
|
|
|||||||
408,557 | ||||||||
|
|
|||||||
South Africa 0.3% | ||||||||
50,000 |
Edcon Proprietary Ltd., 3.433%, 6/15/2014, 144A, (EUR)(c) | 63,358 | ||||||
|
|
|||||||
Spain 2.2% | ||||||||
335,000 |
Spain Government Bond, 4.300%, 10/31/2019, (EUR) | 432,677 | ||||||
|
|
|||||||
Sweden 1.9% | ||||||||
2,300,000 |
Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b) | 386,854 | ||||||
|
|
|||||||
Thailand 0.5% | ||||||||
3,000,000 |
Thailand Government Bond, 3.250%, 6/16/2017, (THB) | 98,673 | ||||||
|
|
|||||||
United Kingdom 9.4% | ||||||||
50,000 |
British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP) | 99,072 | ||||||
105,000 |
British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) | 202,164 | ||||||
50,000 |
BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) | 94,301 | ||||||
100,000 |
FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP) | 175,168 | ||||||
215,000 |
United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b) | 364,135 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
United Kingdom continued | ||||||||
150,000 | United Kingdom Treasury, 4.250%, 3/07/2036, (GBP) | $ | 298,361 | |||||
40,000 | United Kingdom Treasury, 4.750%, 12/07/2038, (GBP) | 85,701 | ||||||
265,000 | United Kingdom Treasury, 5.000%, 3/07/2025, (GBP) | 568,228 | ||||||
|
|
|||||||
1,887,130 | ||||||||
|
|
|||||||
United States 9.3% | ||||||||
100,000 | BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR) | 137,309 | ||||||
50,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) | 94,810 | ||||||
45,000 | HCA, Inc., 8.360%, 4/15/2024 | 48,487 | ||||||
150,000 | HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR) | 219,472 | ||||||
50,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 52,961 | ||||||
50,000 | JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR) | 68,661 | ||||||
100,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) | 139,012 | ||||||
75,000 | Sprint Nextel Corp., 6.000%, 11/15/2022 | 77,062 | ||||||
710,000 | U.S. Treasury Note, 0.250%, 11/30/2013 | 710,416 | ||||||
15,000 | Valeant Pharmaceuticals International, 6.750%, 8/15/2021, 144A | 16,088 | ||||||
100,000 | Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR) | 146,548 | ||||||
100,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
138,579 | ||||||
|
|
|||||||
1,849,405 | ||||||||
|
|
|||||||
Uruguay 1.4% | ||||||||
4,391,003 | Uruguay Government International Bond, 4.375%, 12/15/2028, (UYU) | 273,054 | ||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $19,166,653) | 19,411,903 | |||||||
|
|
|||||||
|
Short-Term Investments 1.0% |
|||||||
190,753 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $190,753 on 1/02/2013 collateralized by $195,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $195,244 including accrued interest(d) (Identified Cost $190,753) |
190,753 | ||||||
|
|
|||||||
Total Investments 98.0% (Identified Cost $19,357,406)(a) | 19,602,656 | |||||||
Other assets less liabilities 2.0% | 401,547 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 20,004,203 | ||||||
|
|
() | 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
Forward foreign currency contracts are valued utilizing interpolated prices determined from information provided by an independent pricing service.
Credit default swap agreements are valued based on mid prices supplied by an independent pricing service, if available, or quotations obtained from broker-dealers.
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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $19,436,959 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 |
$ | 759,855 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(594,158 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 165,697 | ||
|
|
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(c) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(d) | 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. |
EMTN |
Euro Medium Term Note | |
BRL |
Brazilian Real | |
CAD |
Canadian Dollar | |
CHF |
Swiss Franc | |
EUR |
Euro | |
GBP |
British Pound | |
JPY |
Japanese Yen | |
MXN |
Mexican Peso | |
MYR |
Malaysian Ringgit | |
NOK |
Norwegian Krone | |
PHP |
Philippine Peso |
PLN |
Polish Zloty | |
SEK |
Swedish Krona | |
SGD |
Singapore Dollar | |
THB |
Thailand Baht | |
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 and/or securities as collateral for the Funds or counterpartys net obligations under the contracts.
At December 31, 2012, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
Sell1 |
3/28/2013 | British Pound | 122,000 | $ | 198,129 | $ | (139 | ) | ||||||||||||||||
Buy2 |
3/20/2013 | Canadian Dollar | 650,000 | 652,401 | (2,395 | ) | ||||||||||||||||||
Buy1 |
3/20/2013 | Euro | 215,000 | 283,982 | 3,913 | |||||||||||||||||||
Buy3 |
3/21/2013 | Malaysian Ringgit | 290,000 | 94,326 | (35 | ) | ||||||||||||||||||
Buy1 |
3/11/2013 | South Korean Won | 630,000,000 | 586,117 | 7,923 | |||||||||||||||||||
Buy4 |
3/11/2013 | South Korean Won | 104,700,000 | 97,407 | 1,325 | |||||||||||||||||||
|
|
|||||||||||||||||||||||
Total |
$ | 10,592 | ||||||||||||||||||||||
|
|
At December 31, 2012, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||
3/12/2013 | Norwegian Krone | 1,255,000 | Euro5 | 169,951 | $ | (785 | ) | |||||||||
4/04/2013 | Japanese Yen | 4,360,534 | Singapore Dollar1 | 62,000 | 384 | |||||||||||
2/04/2013 | Japanese Yen | 17,440,600 | Thailand Baht4 | 6,200,000 | 952 | |||||||||||
3/04/2013 | Japanese Yen | 4,347,750 | Malaysian Ringgit4 | 155,000 | 266 | |||||||||||
|
|
|||||||||||||||
Total |
$ | 817 | ||||||||||||||
|
|
1 | Counterparty is Barclays Bank PLC. |
2 | Counterparty is UBS AG. |
3 | Counterparty is JP Morgan Chase Bank, N.A. |
4 | Counterparty is Credit Suisse International. |
5 | Counterparty 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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes* |
$ | | $ | 19,411,903 | $ | | $ | 19,411,903 | ||||||||
Short-Term Investments |
| 190,753 | | 190,753 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
| 19,602,656 | | 19,602,656 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 14,763 | | 14,763 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 19,617,419 | $ | | $ | 19,617,419 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liability Valuation Inputs | ||||||||||||||||
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (3,354 | ) | $ | | $ | (3,354 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund currently uses 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, 2012, 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, 2012, 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 | ||||||
Deutsche Bank AG |
$ | (785 | ) | $ | | |||
JP Morgan Chase Bank, N.A. |
(35 | ) | | |||||
UBS AG |
(2,395 | ) | |
Derivatives 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 with respect to forward foreign currency contracts by entering into master netting agreements with counterparties that allow the Fund and the counterparty to offset amounts owed by each related to these derivative contracts to one net amount payable by either the Fund or the counterparty.
As of December 31, 2012, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations is $14,763 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $14,624.
Counterparty risk is managed based on policies and procedures established by the Funds adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral.
Collateral for forward foreign currency contracts is posted based on the requirements established under International Swaps and Derivatives Association (ISDA) agreements negotiated between the Fund and the derivative counterparties. This risk of loss to the Fund from counterparty default should be limited to the extent the Fund is undercollateralized; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings.
The following is a summary of derivative instruments for the Fund, as of December 31, 2012:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 14,763 | ||
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (3,354 | ) |
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, 2012 (Unaudited)
Treasuries |
71.0 | % | ||
Government Guaranteed |
5.7 | |||
Sovereigns |
4.6 | |||
Other Investments, less than 2% each |
15.7 | |||
Short-Term Investments |
1.0 | |||
|
|
|||
Total Investments |
98.0 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
2.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at December 31, 2012 (Unaudited)
Euro |
34.3 | % | ||
Japanese Yen |
25.9 | |||
British Pound |
11.2 | |||
United States Dollar |
6.4 | |||
Norwegian Krone |
3.1 | |||
Mexican Peso |
3.1 | |||
Singapore Dollar |
2.0 | |||
Canadian Dollar |
2.0 | |||
Other, less than 2% each |
10.0 | |||
|
|
|||
Total Investments |
98.0 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
2.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal |
Description |
Value () | ||||||
Bonds and Notes 92.8% of Net Assets | ||||||||
Non-Convertible Bonds 88.9% | ||||||||
ABS Car Loan 0.6% | ||||||||
$ | 831,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A | $ | 844,397 | ||||
4,590,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A | 5,068,411 | ||||||
2,889,250 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A | 3,153,637 | ||||||
18,620,000 | Chesapeake Funding LLC, Series 2009-2A, Class B, 1.959%, 9/15/2021, 144A(b) | 18,791,993 | ||||||
16,736,000 | Chesapeake Funding LLC, Series 2009-2A, Class C, 1.959%, 9/15/2021, 144A(b) | 16,864,934 | ||||||
19,574,000 | Ford Auto Securitization Trust, Series 2010-R3A, Class A3, 2.714%, 9/15/2015, 144A, (CAD) | 19,913,451 | ||||||
5,481,000 | Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD) | 5,620,959 | ||||||
|
|
|||||||
70,257,782 | ||||||||
|
|
|||||||
ABS Credit Card 0.5% | ||||||||
28,592,000 | Chase Issuance Trust, Series 2007-B1, Class B1, 0.459%, 4/15/2019(b) | 28,444,951 | ||||||
19,182,000 | GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A | 20,800,884 | ||||||
14,465,000 | MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016 | 15,117,965 | ||||||
2,324,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019 | 2,563,490 | ||||||
|
|
|||||||
66,927,290 | ||||||||
|
|
|||||||
ABS Other 1.2% | ||||||||
1,454,106 | Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029 | 1,469,112 | ||||||
6,054,855 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A | 6,230,591 | ||||||
28,084,793 | Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A | 29,245,706 | ||||||
25,834,600 | SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A | 26,550,321 | ||||||
39,645,389 | Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A | 46,780,052 | ||||||
15,570,923 | Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A | 16,270,323 | ||||||
4,500,000 | Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A | 4,477,730 | ||||||
11,029,560 | Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A | 11,768,044 | ||||||
|
|
|||||||
142,791,879 | ||||||||
|
|
|||||||
Aerospace & Defense 0.8% | ||||||||
2,100,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A | 2,136,750 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Aerospace & Defense continued | ||||||||
$ | 78,795,000 | Textron, Inc., 5.950%, 9/21/2021 | $ | 91,603,206 | ||||
|
|
|||||||
93,739,956 | ||||||||
|
|
|||||||
Airlines 2.5% | ||||||||
18,340,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A | 18,477,550 | ||||||
100,553 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 | 103,570 | ||||||
769,912 | Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019 | 824,730 | ||||||
871,126 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 | 949,527 | ||||||
8,572,640 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 | 9,708,515 | ||||||
1,718,519 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 | 1,941,926 | ||||||
3,095,792 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 | 3,339,771 | ||||||
53,634,359 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 | 59,732,585 | ||||||
11,279,083 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 | 12,149,828 | ||||||
25,175,224 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 | 29,140,322 | ||||||
18,963,928 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 | 21,903,337 | ||||||
3,065,000 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021 | 3,248,900 | ||||||
1,789,851 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 | 1,997,831 | ||||||
12,828,217 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 | 14,030,221 | ||||||
31,172,617 | Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021 | 35,692,647 | ||||||
2,514,151 | Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018 | 2,815,849 | ||||||
19,137,928 | Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020 | 21,578,013 | ||||||
5,783,610 | Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019 | 6,253,239 | ||||||
7,277,000 | Qantas Airways Ltd., 6.050%, 4/15/2016, 144A | 7,711,459 | ||||||
23,414,984 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 | 25,171,108 | ||||||
5,121,076 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 | 5,895,382 | ||||||
16,403,484 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 | 18,453,919 | ||||||
9,930,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 | 10,103,775 | ||||||
|
|
|||||||
311,224,004 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Automotive 1.0% | ||||||||
$ | 40,992,000 | Cummins, Inc., 5.650%, 3/01/2098 | $ | 42,601,059 | ||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 | 6,551,474 | ||||||
2,426,000 | Ford Motor Co., 6.375%, 2/01/2029 | 2,713,013 | ||||||
125,000 | Ford Motor Co., 6.500%, 8/01/2018 | 144,687 | ||||||
255,000 | Ford Motor Co., 6.625%, 2/15/2028 | 284,896 | ||||||
5,074,000 | Ford Motor Co., 6.625%, 10/01/2028 | 5,859,760 | ||||||
3,243,000 | Ford Motor Co., 7.400%, 11/01/2046 | 3,984,836 | ||||||
4,823,000 | Ford Motor Co., 7.450%, 7/16/2031 | 6,125,210 | ||||||
240,000 | Ford Motor Co., 7.500%, 8/01/2026 | 285,000 | ||||||
5,000,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 | 5,517,180 | ||||||
40,126,000 | Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 | 46,885,867 | ||||||
338,000 | Ford Motor Credit Co. LLC, 7.000%, 10/01/2013 | 353,244 | ||||||
5,319,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 | 5,930,887 | ||||||
2,370,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 2,387,775 | ||||||
|
|
|||||||
129,624,888 | ||||||||
|
|
|||||||
Banking 12.7% | ||||||||
22,547,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A | 30,577,678 | ||||||
7,200,000 | American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017 | 8,704,663 | ||||||
35,878,000 | Associates Corp. of North America, 6.950%, 11/01/2018 | 43,218,639 | ||||||
3,590,000 | Bank of America Corp., 5.420%, 3/15/2017 | 3,932,350 | ||||||
9,805,000 | Bank of America Corp., 6.000%, 9/01/2017 | 11,481,802 | ||||||
11,100,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 | 12,672,337 | ||||||
5,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) | 5,297,246 | ||||||
2,393,000 | Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019 | 3,062,013 | ||||||
17,249,000 | Bank of America NA, 5.300%, 3/15/2017 | 19,400,123 | ||||||
10,227,000 | Barclays Bank PLC, 6.050%, 12/04/2017, 144A | 11,315,030 | ||||||
7,110,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) | 6,812,636 | ||||||
337,230,000,000 | Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR) | 36,580,051 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Banking continued | ||||||||
$ | 2,173,000 | Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018 | $ | 2,459,751 | ||||
370,000 | BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD) | 414,799 | ||||||
8,994,000 | Capital One Financial Corp., 6.150%, 9/01/2016 | 10,289,316 | ||||||
51,425,000 | Citigroup, Inc., 4.450%, 1/10/2017 | 56,968,615 | ||||||
6,473,000 | Citigroup, Inc., 5.000%, 9/15/2014 | 6,810,166 | ||||||
2,700,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) | 2,616,940 | ||||||
10,000,000 | Citigroup, Inc., 5.375%, 8/09/2020 | 11,784,480 | ||||||
14,680,000 | Citigroup, Inc., 5.500%, 2/15/2017 | 16,273,264 | ||||||
460,000 | Citigroup, Inc., 5.850%, 12/11/2034 | 539,318 | ||||||
2,740,000 | Citigroup, Inc., 5.875%, 2/22/2033 | 2,903,937 | ||||||
9,875,000 | Citigroup, Inc., 6.125%, 5/15/2018 | 11,834,309 | ||||||
8,705,000 | Citigroup, Inc., 6.125%, 8/25/2036 | 9,487,379 | ||||||
44,910,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) | 39,309,963 | ||||||
21,257,000 | Citigroup, Inc., 6.375%, 8/12/2014 | 22,971,377 | ||||||
2,398,000 | Citigroup, Inc., EMTN, 1.458%, 11/30/2017, (EUR)(b) | 2,974,644 | ||||||
55,770,000 | Citigroup, Inc., MTN, 5.500%, 10/15/2014 | 59,832,343 | ||||||
4,625,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017 | 4,968,573 | ||||||
27,045,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022 | 29,103,774 | ||||||
1,174,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 | 1,287,684 | ||||||
112,330,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 127,306,622 | ||||||
6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020 | 7,615,369 | ||||||
1,527,000 | HBOS PLC, 6.000%, 11/01/2033, 144A | 1,379,904 | ||||||
1,000,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A | 1,076,250 | ||||||
700,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A | 706,125 | ||||||
2,950,000 | JPMorgan Chase & Co., EMTN, 1.053%, 5/30/2017, (GBP)(b) | 4,481,003 | ||||||
12,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) | 1,247,876 | ||||||
16,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) | 1,766,599 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Banking continued | ||||||||
$ | 100,000 | Keybank NA, 6.950%, 2/01/2028 | $ | 119,246 | ||||
9,787,000 | Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD) | 10,254,950 | ||||||
81,622,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A | 90,189,861 | ||||||
6,479,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 | 7,110,703 | ||||||
4,300,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 | 4,733,685 | ||||||
103,309,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 112,766,939 | ||||||
9,780,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) | 5,313,919 | ||||||
3,132,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) | 4,353,854 | ||||||
11,641,000 | Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018 | 14,032,690 | ||||||
40,126,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 | 43,819,037 | ||||||
2,652,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 | 3,114,389 | ||||||
1,500,000 | Morgan Stanley, 0.820%, 10/15/2015(b) | 1,453,449 | ||||||
4,250,000 | Morgan Stanley, 3.450%, 11/02/2015 | 4,428,113 | ||||||
14,023,000 | Morgan Stanley, 3.800%, 4/29/2016 | 14,721,135 | ||||||
5,995,000 | Morgan Stanley, 4.875%, 11/01/2022 | 6,207,187 | ||||||
110,093,000 | Morgan Stanley, 5.500%, 7/24/2020 | 123,855,726 | ||||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 | 6,738,007 | ||||||
151,076,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) | 134,416,375 | ||||||
60,800,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) | 69,770,989 | ||||||
550,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) | 984,517 | ||||||
5,400,000 | Morgan Stanley, GMTN, 5.500%, 1/26/2020 | 6,057,682 | ||||||
24,100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 26,964,974 | ||||||
3,800,000 | Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD) | 4,167,051 | ||||||
38,206,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 | 43,210,222 | ||||||
5,187,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 | 6,113,269 | ||||||
9,400,000 | Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(b) | 8,935,969 | ||||||
9,699,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 | 10,983,186 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Banking continued | ||||||||
2,239,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) | $ | 3,891,274 | |||||
2,875,000 | National City Bank of Indiana, 4.250%, 7/01/2018 | 3,185,359 | ||||||
8,638,000 | National City Corp., 6.875%, 5/15/2019 | 10,776,605 | ||||||
35,900,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 | 37,891,804 | ||||||
5,250,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) | 7,098,231 | ||||||
6,150,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) | 9,161,901 | ||||||
1,650,000 | Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR) |
2,058,053 | ||||||
700,000 | Santander Financial Issuances Ltd., 7.250%, 11/01/2015 | 728,000 | ||||||
16,175,000 | Santander Holdings USA, Inc., 4.625%, 4/19/2016 | 16,910,801 | ||||||
1,000,000 | Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR) | 1,349,887 | ||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A | 1,845,000 | ||||||
1,400,000 | Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A |
1,416,080 | ||||||
8,100,000 | Santander US Debt SAU, 3.724%, 1/20/2015, 144A | 8,136,774 | ||||||
30,886,000 | Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A | 34,231,788 | ||||||
3,300,000 | Standard Chartered Bank, 6.400%, 9/26/2017, 144A | 3,841,761 | ||||||
17,861,000 | Standard Chartered PLC, 5.500%, 11/18/2014, 144A | 19,234,511 | ||||||
|
|
|||||||
1,558,039,901 | ||||||||
|
|
|||||||
Brokerage 1.0% | ||||||||
55,355,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A | 56,065,703 | ||||||
13,100,000 | Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c) | 13,430,500 | ||||||
19,498,000 | Jefferies Group, Inc., 6.250%, 1/15/2036 | 20,180,430 | ||||||
8,760,000 | Jefferies Group, Inc., 6.450%, 6/08/2027 | 9,329,400 | ||||||
1,693,000 | Jefferies Group, Inc., 6.875%, 4/15/2021 | 1,896,160 | ||||||
23,835,000 | Jefferies Group, Inc., 8.500%, 7/15/2019 | 28,482,825 | ||||||
|
|
|||||||
129,385,018 | ||||||||
|
|
|||||||
Building Materials 1.0% | ||||||||
6,640,000 | Masco Corp., 4.800%, 6/15/2015 | 6,955,300 | ||||||
10,942,000 | Masco Corp., 5.850%, 3/15/2017 | 11,908,179 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Building Materials continued | ||||||||
$ | 6,616,000 | Masco Corp., 6.125%, 10/03/2016 | $ | 7,307,650 | ||||
4,808,000 | Masco Corp., 6.500%, 8/15/2032 | 4,973,318 | ||||||
28,539,000 | Masco Corp., 7.125%, 3/15/2020 | 33,203,157 | ||||||
5,725,000 | Masco Corp., 7.750%, 8/01/2029 | 6,367,322 | ||||||
4,949,000 | Owens Corning, Inc., 6.500%, 12/01/2016 | 5,561,018 | ||||||
41,379,000 | Owens Corning, Inc., 7.000%, 12/01/2036 | 45,784,457 | ||||||
1,037,000 | USG Corp., 6.300%, 11/15/2016 | 1,073,295 | ||||||
|
|
|||||||
123,133,696 | ||||||||
|
|
|||||||
Chemicals 0.1% | ||||||||
3,469,000 | Cytec Industries, Inc., 6.000%, 10/01/2015 | 3,827,739 | ||||||
1,700,000 | Methanex Corp., 5.250%, 3/01/2022 | 1,885,506 | ||||||
2,349,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 | 2,538,515 | ||||||
|
|
|||||||
8,251,760 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 2.9% | ||||||||
2,477,877 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 | 2,804,788 | ||||||
33,167,701 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 |
38,047,001 | ||||||
12,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 | 13,641,792 | ||||||
62,292,812 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.679%, 6/15/2039(b) | 71,716,905 | ||||||
34,381,273 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.762%, 9/15/2039(b) | 39,679,358 | ||||||
6,711,090 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 7,776,851 | ||||||
57,694,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A | 69,491,442 | ||||||
23,544,272 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 | 27,754,082 | ||||||
15,928,923 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class A4, 5.812%, 6/15/2049(b) |
18,575,514 | ||||||
21,524,263 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 |
24,895,092 | ||||||
3,131,798 | LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 5.865%, 6/15/2038(b) | 3,616,284 | ||||||
1,311,441 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
1,513,188 | ||||||
9,786,870 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.789%, 8/12/2045, 144A(b) | 10,959,083 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$ | 6,851,000 | Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A | $ | 7,854,377 | ||||
3,621,142 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048 | 4,164,078 | ||||||
6,222,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 | 7,128,819 | ||||||
4,250,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.549%, 3/15/2044, 144A(b) | 4,202,893 | ||||||
|
|
|||||||
353,821,547 | ||||||||
|
|
|||||||
Construction Machinery 0.3% | ||||||||
23,638,000 | Case New Holland, Inc., 7.750%, 9/01/2013 | 24,583,520 | ||||||
6,787,000 | Toro Co., 6.625%, 5/01/2037(c) | 7,125,054 | ||||||
400,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 | 443,000 | ||||||
|
|
|||||||
32,151,574 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.0% | ||||||||
196,000 | Western Union Co. (The), 6.200%, 6/21/2040 | 199,274 | ||||||
|
|
|||||||
Consumer Products 0.2% | ||||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 | 8,821,844 | ||||||
11,754,000 | Snap-on, Inc., 6.700%, 3/01/2019 | 14,237,691 | ||||||
|
|
|||||||
23,059,535 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.4% | ||||||||
1,395,000 | Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018 | 1,703,420 | ||||||
2,814,000 | Textron Financial Corp., 5.400%, 4/28/2013 | 2,852,873 | ||||||
1,181,000 | Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014 | 1,234,783 | ||||||
18,800,000 | Textron, Inc., 3.875%, 3/11/2013, (EUR) | 24,939,895 | ||||||
11,040,000 | Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP) | 20,239,333 | ||||||
|
|
|||||||
50,970,304 | ||||||||
|
|
|||||||
Electric 2.0% | ||||||||
33,870,592 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 36,448,144 | ||||||
5,915,000 | AmerenEnergy Generating Co., Series H, 7.000%, 4/15/2018 | 4,288,375 | ||||||
10,973,249 | Bruce Mansfield Unit, 6.850%, 6/01/2034 | 11,434,125 | ||||||
17,435,000 | Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017 | 19,693,286 | ||||||
876,000 | Commonwealth Edison Co., 4.700%, 4/15/2015 | 952,074 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Electric continued | ||||||||
$ | 12,285,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | $ | 12,171,794 | ||||
3,200,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A | 3,355,162 | ||||||
1,000,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) | 1,359,219 | ||||||
900,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) | 1,259,169 | ||||||
979,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 | 1,016,536 | ||||||
4,491,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 | 5,468,816 | ||||||
40,453,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 39,172,541 | ||||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 9,407,811 | ||||||
7,921,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) | 11,716,895 | ||||||
3,603,000 | Exelon Corp., 4.900%, 6/15/2015 | 3,921,966 | ||||||
3,600,000 | Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A | 3,697,693 | ||||||
1,864,000 | ITC Holdings Corp., 5.875%, 9/30/2016, 144A | 2,118,317 | ||||||
7,210,570 | Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c) | 7,615,660 | ||||||
50,026,000 | Southwestern Electric Power Co., 6.450%, 1/15/2019 | 60,884,343 | ||||||
2,850,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A | 2,230,125 | ||||||
1,075,000 | White Pine Hydro LLC, 6.310%, 7/10/2017(c) | 1,068,545 | ||||||
1,600,000 | White Pine Hydro LLC, 6.960%, 7/10/2037(c) | 1,539,882 | ||||||
|
|
|||||||
240,820,478 | ||||||||
|
|
|||||||
Entertainment 0.0% | ||||||||
3,616,000 | Viacom, Inc., 6.125%, 10/05/2017 | 4,326,338 | ||||||
|
|
|||||||
Financial Other 0.9% | ||||||||
66,384,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A | 68,621,141 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 37,485,469 | ||||||
|
|
|||||||
106,106,610 | ||||||||
|
|
|||||||
Food & Beverage 0.0% | ||||||||
2,450,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) | 4,645,692 | ||||||
|
|
|||||||
Government Guaranteed 0.4% | ||||||||
12,910,000 | Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD) | 12,177,996 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Government Guaranteed continued | ||||||||
11,311,000 | Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD) | $ | 11,351,289 | |||||
31,142,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) | 29,550,347 | ||||||
|
|
|||||||
53,079,632 | ||||||||
|
|
|||||||
Government Owned No Guarantee 1.3% | ||||||||
3,720,000 | Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A | 4,956,900 | ||||||
36,975,000 | Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A | 45,941,437 | ||||||
58,060,000 | DP World Ltd., 6.850%, 7/02/2037, 144A | 68,002,775 | ||||||
26,030,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) | 2,725,756 | ||||||
27,800,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) | 2,959,853 | ||||||
22,478,000 | Federal Home Loan Mortgage Corp., 1.625%, 4/15/2013 | 22,574,723 | ||||||
15,170,000 | Korea Gas Corp., 6.000%, 7/15/2014, 144A | 16,236,603 | ||||||
1,000,000 | Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A | 1,436,169 | ||||||
|
|
|||||||
164,834,216 | ||||||||
|
|
|||||||
Government Sponsored 0.5% | ||||||||
66,200,000 | Federal Home Loan Bank, 1.875%, 6/21/2013 | 66,742,112 | ||||||
|
|
|||||||
Health Insurance 0.0% | ||||||||
1,569,000 | CIGNA Corp., 7.875%, 5/15/2027 | 2,072,115 | ||||||
1,174,000 | CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d) | 1,649,726 | ||||||
|
|
|||||||
3,721,841 | ||||||||
|
|
|||||||
Healthcare 1.2% | ||||||||
7,692,000 | Boston Scientific Corp., 6.000%, 1/15/2020 | 8,972,356 | ||||||
7,374,000 | Covidien International Finance S.A., 6.000%, 10/15/2017 | 8,931,824 | ||||||
17,416,000 | Express Scripts, Inc., 6.250%, 6/15/2014 | 18,754,907 | ||||||
9,459,000 | Express Scripts, Inc., 7.250%, 6/15/2019 | 12,122,531 | ||||||
9,278,000 | HCA, Inc., 5.750%, 3/15/2014 | 9,695,510 | ||||||
802,000 | HCA, Inc., 5.875%, 3/15/2022 | 872,175 | ||||||
52,905,000 | HCA, Inc., 5.875%, 5/01/2023 | 54,756,675 | ||||||
1,908,000 | HCA, Inc., 6.250%, 2/15/2013 | 1,917,540 | ||||||
3,729,000 | HCA, Inc., 6.375%, 1/15/2015 | 4,031,981 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Healthcare continued | ||||||||
$ | 3,127,000 | HCA, Inc., 6.500%, 2/15/2016 | $ | 3,400,613 | ||||
357,000 | HCA, Inc., 6.750%, 7/15/2013 | 365,925 | ||||||
2,936,000 | HCA, Inc., 7.050%, 12/01/2027 | 2,825,900 | ||||||
2,241,000 | HCA, Inc., 7.190%, 11/15/2015 | 2,465,100 | ||||||
4,119,000 | HCA, Inc., 7.500%, 12/15/2023 | 4,211,677 | ||||||
1,282,000 | HCA, Inc., 7.500%, 11/06/2033 | 1,288,410 | ||||||
3,807,000 | HCA, Inc., 7.690%, 6/15/2025 | 3,892,658 | ||||||
4,164,000 | HCA, Inc., 8.360%, 4/15/2024 | 4,486,710 | ||||||
1,199,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 1,213,988 | ||||||
3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 3,121,690 | ||||||
2,256,000 | Owens & Minor, Inc., 6.350%, 4/15/2016(c) | 2,474,503 | ||||||
2,200,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 1,980,000 | ||||||
|
|
|||||||
151,782,673 | ||||||||
|
|
|||||||
Home Construction 0.1% | ||||||||
2,006,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 | 2,031,075 | ||||||
9,200,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 8,556,000 | ||||||
3,567,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 3,558,082 | ||||||
|
|
|||||||
14,145,157 | ||||||||
|
|
|||||||
Independent Energy 1.1% | ||||||||
11,930,000 | Anadarko Petroleum Corp., 6.375%, 9/15/2017 | 14,250,325 | ||||||
1,065,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 | 1,142,213 | ||||||
1,015,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 | 1,100,006 | ||||||
9,787,000 | EQT Corp., 8.125%, 6/01/2019 | 12,114,613 | ||||||
60,038,000 | Equitable Resources, Inc., 6.500%, 4/01/2018 | 69,794,415 | ||||||
7,240,000 | Newfield Exploration Co., 5.625%, 7/01/2024 | 7,819,200 | ||||||
24,155,000 | Plains Exploration & Production Co., 6.500%, 11/15/2020 | 26,751,663 | ||||||
|
|
|||||||
132,972,435 | ||||||||
|
|
|||||||
Industrial Other 0.0% | ||||||||
4,893,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 | 5,396,857 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Life Insurance 1.0% | ||||||||
7,100,000 | American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP) | $ | 12,618,329 | |||||
6,910,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 | 8,168,981 | ||||||
2,036,000 | American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017 | 2,338,377 | ||||||
9,777,000 | ASIF III Jersey Ltd., Series 2003-G, EMTN, 4.750%, 9/11/2013, (EUR) | 13,232,756 | ||||||
600,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP) | 935,613 | ||||||
5,900,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) | 8,131,561 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A | 18,143,235 | ||||||
10,971,000 | MetLife, Inc., 6.400%, 12/15/2066 | 11,730,479 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A | 10,639,255 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 6,843,331 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 3,205,528 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A | 18,325,832 | ||||||
4,732,000 | Unum Group, 7.125%, 9/30/2016 | 5,574,537 | ||||||
|
|
|||||||
119,887,814 | ||||||||
|
|
|||||||
Local Authorities 2.2% | ||||||||
7,448,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) | 6,613,969 | ||||||
99,450,000 | New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD) | 104,809,291 | ||||||
68,930,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) | 79,997,751 | ||||||
17,930,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) | 20,265,432 | ||||||
15,314 | Province of Alberta, 5.930%, 9/16/2016, (CAD) | 16,908 | ||||||
489,000 | Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) | 684,836 | ||||||
29,791,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) | 26,794,662 | ||||||
26,518,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) | 28,945,550 | ||||||
|
|
|||||||
268,128,399 | ||||||||
|
|
|||||||
Lodging 0.7% | ||||||||
52,516,000 | Choice Hotels International, Inc., 5.700%, 8/28/2020 | 56,979,860 | ||||||
4,522,000 | Wyndham Worldwide Corp., 5.750%, 2/01/2018 | 5,054,755 | ||||||
100,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 | 113,097 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Lodging continued | ||||||||
$ | 23,518,000 | Wyndham Worldwide Corp., 7.375%, 3/01/2020 | $ | 28,309,110 | ||||
|
|
|||||||
90,456,822 | ||||||||
|
|
|||||||
Media Cable 1.0% | ||||||||
17,832,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) | 20,122,534 | ||||||
4,101,000 | Time Warner Cable, Inc., 5.850%, 5/01/2017 | 4,844,585 | ||||||
|
|
|||||||
78,178,000 | Time Warner Cable, Inc., 6.750%, 7/01/2018 | 97,658,629 | ||||||
|
|
|||||||
122,625,748 | ||||||||
Media Non-Cable 0.2% | ||||||||
5,000,000 | Clear Channel Communications, Inc., 9.000%, 3/01/2021 | 4,462,500 | ||||||
4,482,000 | News America, Inc., 8.150%, 10/17/2036 | 6,103,355 | ||||||
5,000,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 | 4,825,000 | ||||||
10,870,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 | 10,978,700 | ||||||
|
|
|||||||
26,369,555 | ||||||||
|
|
|||||||
Metals & Mining 1.7% | ||||||||
15,060,000 | Alcoa, Inc., 5.870%, 2/23/2022 | 16,244,454 | ||||||
26,000,000 | Alcoa, Inc., 5.900%, 2/01/2027 | 26,761,618 | ||||||
5,505,000 | Alcoa, Inc., 5.950%, 2/01/2037 | 5,317,725 | ||||||
28,838,000 | Alcoa, Inc., 6.150%, 8/15/2020 | 31,495,249 | ||||||
5,804,000 | Alcoa, Inc., 6.750%, 1/15/2028 | 6,276,626 | ||||||
430,000 | ArcelorMittal, 6.000%, 3/01/2021 | 428,767 | ||||||
6,885,000 | ArcelorMittal, 6.125%, 6/01/2018 | 6,977,947 | ||||||
4,085,000 | ArcelorMittal, 6.750%, 2/25/2022 | 4,287,269 | ||||||
47,920,000 | ArcelorMittal, 7.250%, 3/01/2041 | 44,445,800 | ||||||
19,365,000 | ArcelorMittal, 7.500%, 10/15/2039 | 18,203,100 | ||||||
4,500,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A | 3,082,500 | ||||||
1,943,000 | United States Steel Corp., 6.050%, 6/01/2017 | 2,035,292 | ||||||
4,612,000 | United States Steel Corp., 6.650%, 6/01/2037 | 4,012,440 | ||||||
31,210,000 | United States Steel Corp., 7.000%, 2/01/2018 | 33,316,675 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Metals & Mining continued | ||||||||
$ | 3,655,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 | $ | 4,530,665 | ||||
|
|
|||||||
207,416,127 | ||||||||
|
|
|||||||
Mortgage Related 0.0% | ||||||||
67,939 | FHLMC, 5.000%, 12/01/2031 | 73,319 | ||||||
9,935 | FNMA, 6.000%, 7/01/2029 | 11,100 | ||||||
|
|
|||||||
84,419 | ||||||||
|
|
|||||||
Non-Captive Consumer 1.7% | ||||||||
62,425() | SLM Corp., 6.000%, 12/15/2043 | 1,488,629 | ||||||
2,270,000 | SLM Corp., MTN, 4.625%, 9/25/2017 | 2,323,915 | ||||||
4,067,000 | SLM Corp., MTN, 5.050%, 11/14/2014 | 4,268,963 | ||||||
8,895,000 | SLM Corp., MTN, 7.250%, 1/25/2022 | 9,806,737 | ||||||
641,000 | SLM Corp., MTN, 8.000%, 3/25/2020 | 732,343 | ||||||
5,616,000 | SLM Corp., Series A, MTN, 0.615%, 1/27/2014(b) | 5,563,271 | ||||||
9,224,000 | SLM Corp., Series A, MTN, 5.000%, 10/01/2013 | 9,443,070 | ||||||
6,547,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 | 6,901,304 | ||||||
15,792,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | 15,851,946 | ||||||
6,141,000 | SLM Corp., Series A, MTN, 5.375%, 1/15/2013 | 6,140,963 | ||||||
4,548,000 | SLM Corp., Series A, MTN, 5.375%, 5/15/2014 | 4,754,998 | ||||||
19,496,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 | 18,082,540 | ||||||
30,667,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 35,880,390 | ||||||
4,893,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 | 4,623,885 | ||||||
87,676,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | 78,470,020 | ||||||
|
|
|||||||
204,332,974 | ||||||||
|
|
|||||||
Non-Captive Diversified 2.7% | ||||||||
1,634,000 | Ally Financial, Inc., 6.750%, 12/01/2014 | 1,764,277 | ||||||
3,075,000 | Ally Financial, Inc., 7.500%, 12/31/2013 | 3,247,969 | ||||||
5,543,000 | Ally Financial, Inc., 8.000%, 12/31/2018 | 6,485,310 | ||||||
2,285,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 2,884,813 | ||||||
3,500,000 | General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD) | 3,931,213 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Non-Captive Diversified continued | ||||||||
7,570,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 5/15/2013, (AUD) | $ | 7,932,167 | |||||
3,100,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD) | 3,374,101 | ||||||
1,874,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD) | 2,079,817 | ||||||
969,000 | General Electric Capital Corp., 5.625%, 5/01/2018 | 1,150,720 | ||||||
51,370,000 | General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD) | 44,625,753 | ||||||
14,225,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) | 12,859,195 | ||||||
36,850,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) | 32,666,176 | ||||||
10,247,000 | General Electric Capital Corp., Series A, MTN, 0.640%, 5/13/2024(b) | 8,967,806 | ||||||
16,696,000 | General Electric Capital Corp., Series A, MTN, 4.875%, 3/04/2015 | 18,080,432 | ||||||
26,931,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) | 23,743,728 | ||||||
35,005,000 | International Lease Finance Corp., 5.875%, 4/01/2019 | 36,895,235 | ||||||
548,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 580,448 | ||||||
26,200,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 27,903,000 | ||||||
13,899,000 | International Lease Finance Corp., 6.375%, 3/25/2013 | 14,044,939 | ||||||
60,419,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A | 70,086,040 | ||||||
1,473,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 | 1,509,825 | ||||||
1,625,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 | 1,691,008 | ||||||
691,000 | iStar Financial, Inc., 8.625%, 6/01/2013 | 709,139 | ||||||
|
|
|||||||
327,213,111 | ||||||||
|
|
|||||||
Oil Field Services 0.5% | ||||||||
5,965,000 | Nabors Industries, Inc., 6.150%, 2/15/2018 | 7,015,085 | ||||||
22,583,000 | Nabors Industries, Inc., 9.250%, 1/15/2019 | 29,855,832 | ||||||
23,338,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 | 28,816,992 | ||||||
587,000 | Transocean Ltd., 7.375%, 4/15/2018 | 698,428 | ||||||
|
|
|||||||
66,386,337 | ||||||||
|
|
|||||||
Paper 1.1% | ||||||||
4,365,000 | Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019 | 5,178,701 | ||||||
23,225,000 | Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A | 27,629,250 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Paper continued | ||||||||
$ | 715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | $ | 936,155 | ||||
2,672,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 | 3,640,816 | ||||||
644,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 | 880,714 | ||||||
1,031,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 | 1,545,873 | ||||||
6,161,000 | International Paper Co., 5.250%, 4/01/2016 | 6,839,930 | ||||||
7,611,000 | International Paper Co., 8.700%, 6/15/2038 | 11,311,788 | ||||||
5,270,000 | Mead Corp. (The), 7.550%, 3/01/2047 | 5,965,840 | ||||||
5,764,000 | Westvaco Corp., 8.200%, 1/15/2030 | 7,605,212 | ||||||
26,007,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 | 31,062,397 | ||||||
7,374,000 | Weyerhaeuser Co., 7.375%, 10/01/2019 | 9,113,792 | ||||||
18,254,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 | 23,001,409 | ||||||
|
|
|||||||
134,711,877 | ||||||||
|
|
|||||||
Pharmaceuticals 0.5% | ||||||||
56,052,000 | Roche Holdings, Inc., 5.000%, 3/01/2014, 144A | 58,880,160 | ||||||
489,000 | Schering-Plough Corp., 5.300%, 12/01/2013 | 511,223 | ||||||
|
|
|||||||
59,391,383 | ||||||||
|
|
|||||||
Pipelines 3.2% | ||||||||
650,000 | DCP Midstream LP, 6.450%, 11/03/2036, 144A | 743,311 | ||||||
528,000 | Energy Transfer Partners LP, 6.125%, 2/15/2017 | 611,017 | ||||||
1,571,000 | Energy Transfer Partners LP, 6.625%, 10/15/2036 | 1,844,704 | ||||||
9,257,000 | Enterprise Products Operating LLC, 4.050%, 2/15/2022 | 10,232,345 | ||||||
3,328,000 | Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A | 4,278,567 | ||||||
14,300,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 15,803,674 | ||||||
17,765,000 | Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020 | 20,706,227 | ||||||
63,075,000 | Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018 | 75,520,517 | ||||||
303,000 | Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016 | 331,219 | ||||||
27,777,750 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) | 29,213,860 | ||||||
30,760,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A | 33,528,400 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
| |||||||
Pipelines continued | ||||||||
$ | 635,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | $ | 666,750 | ||||
4,950,000 | NGPL PipeCo LLC, 9.625%, 6/01/2019, 144A | 5,692,500 | ||||||
13,790,000 | NiSource Finance Corp., 6.125%, 3/01/2022 | 16,526,474 | ||||||
24,110,000 | NiSource Finance Corp., 6.400%, 3/15/2018 | 29,064,195 | ||||||
21,614,000 | NiSource Finance Corp., 6.800%, 1/15/2019 | 26,522,496 | ||||||
9,899,000 | Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017 | 11,845,282 | ||||||
47,594,000 | Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018 | 57,992,051 | ||||||
1,404,000 | Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019 | 1,756,000 | ||||||
2,085,000 | Plains All American Pipeline LP, 6.125%, 1/15/2017 | 2,458,697 | ||||||
15,683,000 | Plains All American Pipeline LP, 6.500%, 5/01/2018 | 19,360,899 | ||||||
4,125,000 | Southern Natural Gas Co., 5.900%, 4/01/2017, 144A | 4,846,974 | ||||||
19,574,000 | Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A | 23,444,954 | ||||||
|
|
|||||||
392,991,113 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.8% | ||||||||
2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 | 3,032,701 | ||||||
3,083,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 | 3,654,798 | ||||||
9,038,000 | Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A | 9,876,175 | ||||||
30,054,000 | Marsh & McLennan Cos., Inc., 5.875%, 8/01/2033 | 35,053,633 | ||||||
1,889,000 | MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A |
321,130 | ||||||
14,575,000 | Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A | 14,666,531 | ||||||
7,609,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A | 8,310,245 | ||||||
13,521,000 | Willis North America, Inc., 7.000%, 9/29/2019 | 15,934,039 | ||||||
2,212,000 | XL Group PLC, 6.250%, 5/15/2027 | 2,626,998 | ||||||
1,463,000 | XL Group PLC, 6.375%, 11/15/2024 | 1,758,498 | ||||||
|
|
|||||||
95,234,748 | ||||||||
|
|
|||||||
Property Trust 0.4% | ||||||||
36,192,000 | WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A | 44,835,808 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued | ||||||||
Non-Convertible Bonds continued | ||||||||
Railroads 0.1% | ||||||||
$ | 9,787,000 | Canadian Pacific Railway Co., 7.250%, 5/15/2019 | $ | 12,215,624 | ||||
237,000 | Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c) | 229,890 | ||||||
1,701,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) | 1,462,860 | ||||||
191,000 | Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c) | 193,865 | ||||||
|
|
|||||||
14,102,239 | ||||||||
|
|
|||||||
Real Estate Operations/Development 0.1% | ||||||||
10,276,000 | First Industrial LP, 5.950%, 5/15/2017 | 10,996,214 | ||||||
|
|
|||||||
Refining 0.1% | ||||||||
7,700,000 | Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A | 8,612,273 | ||||||
|
|
|||||||
REITs Apartments 0.3% | ||||||||
12,243,000 | Camden Property Trust, 5.000%, 6/15/2015 | 13,317,409 | ||||||
16,491,000 | Camden Property Trust, 5.700%, 5/15/2017 | 18,980,564 | ||||||
988,000 | ERP Operating LP, 5.125%, 3/15/2016 | 1,101,873 | ||||||
1,762,000 | ERP Operating LP, 5.375%, 8/01/2016 | 2,005,825 | ||||||
1,508,000 | ERP Operating LP, 5.750%, 6/15/2017 | 1,778,915 | ||||||
|
|
|||||||
37,184,586 | ||||||||
|
|
|||||||
REITs Diversified 0.2% | ||||||||
4,140,000 | Duke Realty LP, 5.950%, 2/15/2017 | 4,732,624 | ||||||
19,574,000 | Duke Realty LP, 6.500%, 1/15/2018 | 23,208,403 | ||||||
|
|
|||||||
27,941,027 | ||||||||
|
|
|||||||
REITs Healthcare 0.1% | ||||||||
5,972,000 | Health Care REIT, Inc., 6.500%, 3/15/2041 | 6,942,205 | ||||||
|
|
|||||||
REITs Office Property 0.3% | ||||||||
20,817,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 | 23,477,350 | ||||||
11,306,000 | Highwoods Properties, Inc., 7.500%, 4/15/2018 | 13,641,368 | ||||||
|
|
|||||||
37,118,718 | ||||||||
|
|
|||||||
REITs Regional Malls 0.2% | ||||||||
2,427,000 | Simon Property Group LP, 5.250%, 12/01/2016 | 2,776,820 | ||||||
12,209,000 | Simon Property Group LP, 5.750%, 12/01/2015 | 13,752,755 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
REITs Regional Malls continued | ||||||||
$ | 1,889,000 | Simon Property Group LP, 5.875%, 3/01/2017 | $ | 2,236,566 | ||||
4,066,000 | Simon Property Group LP, 6.100%, 5/01/2016 | 4,690,355 | ||||||
|
|
|||||||
23,456,496 | ||||||||
|
|
|||||||
REITs Shopping Centers 0.1% | ||||||||
4,893,000 | Equity One, Inc., 6.000%, 9/15/2017 | 5,604,569 | ||||||
1,918,000 | Federal Realty Investment Trust, 5.650%, 6/01/2016 | 2,157,681 | ||||||
|
|
|||||||
7,762,250 | ||||||||
|
|
|||||||
REITs Single Tenant 0.3% | ||||||||
5,862,000 | Realty Income Corp., 5.750%, 1/15/2021 | 6,882,234 | ||||||
25,529,000 | Realty Income Corp., 6.750%, 8/15/2019 | 31,602,656 | ||||||
|
|
|||||||
38,484,890 | ||||||||
|
|
|||||||
REITs Warehouse/Industrials 0.5% | ||||||||
3,873,000 | ProLogis LP, 5.625%, 11/15/2015 | 4,273,449 | ||||||
11,179,000 | ProLogis LP, 5.625%, 11/15/2016 | 12,614,406 | ||||||
10,889,000 | ProLogis LP, 5.750%, 4/01/2016 | 12,135,758 | ||||||
9,698,000 | ProLogis LP, 6.625%, 5/15/2018 | 11,713,487 | ||||||
18,869,000 | ProLogis LP, 7.375%, 10/30/2019 | 23,394,220 | ||||||
|
|
|||||||
64,131,320 | ||||||||
|
|
|||||||
Restaurants 0.1% | ||||||||
10,320,000 | Darden Restaurants, Inc., 6.000%, 8/15/2035 | 11,374,735 | ||||||
|
|
|||||||
Retailers 0.4% | ||||||||
7,996,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 | 7,036,480 | ||||||
8,139,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 | 6,104,250 | ||||||
12,000 | J.C. Penney Corp., Inc., 7.125%, 11/15/2023 | 10,350 | ||||||
8,656,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 | 6,794,960 | ||||||
10,467,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 | 11,971,464 | ||||||
2,691,000 | Macys Retail Holdings, Inc., 6.900%, 4/01/2029 | 3,246,767 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 8,922,404 | ||||||
|
|
|||||||
44,086,675 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Sovereigns 1.3% | ||||||||
44,750,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | $ | 26,609,585 | |||||
24,178,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 15,557,761 | ||||||
52,555,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A | 60,241,169 | ||||||
33,600,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A | 37,512,720 | ||||||
1,415,381,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) | 8,031,866 | ||||||
776,294,507 | Republic of Iceland, 7.250%, 5/17/2013, (ISK) | 4,251,157 | ||||||
479,712,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) | 2,945,885 | ||||||
|
|
|||||||
155,150,143 | ||||||||
|
|
|||||||
Supermarkets 0.1% | ||||||||
4,130,000 | American Stores Co., Series B, MTN, 7.100%, 3/20/2028 | 3,376,275 | ||||||
1,120,000 | Delhaize Group S.A., 5.700%, 10/01/2040 | 1,049,805 | ||||||
3,269,000 | Kroger Co. (The), 6.400%, 8/15/2017 | 3,945,761 | ||||||
6,595,000 | New Albertsons, Inc., 7.450%, 8/01/2029 | 3,693,200 | ||||||
7,875,000 | New Albertsons, Inc., 8.000%, 5/01/2031 | 4,429,688 | ||||||
979,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 | 521,318 | ||||||
|
|
|||||||
17,016,047 | ||||||||
|
|
|||||||
Supranational 1.3% | ||||||||
11,745,000 | European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL) | 5,966,288 | ||||||
192,350,850,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) | 19,689,143 | ||||||
9,640,000 | European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD) | 11,065,888 | ||||||
329,210,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR) | 33,564,902 | ||||||
410,030,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR) | 41,047,673 | ||||||
12,982,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) | 11,941,406 | ||||||
15,070,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) | 12,406,414 | ||||||
58,420,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) | 27,861,846 | ||||||
|
|
|||||||
163,543,560 | ||||||||
|
|
|||||||
Technology 1.9% | ||||||||
4,600,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 3,496,000 | ||||||
1,028,000 | Arrow Electronics, Inc., 6.875%, 6/01/2018 | 1,205,050 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Technology continued | ||||||||
$ | 3,059,000 | Avnet, Inc., 5.875%, 3/15/2014 | $ | 3,196,851 | ||||
6,097,000 | Avnet, Inc., 6.000%, 9/01/2015 | 6,650,918 | ||||||
1,507,000 | Avnet, Inc., 6.625%, 9/15/2016 | 1,704,444 | ||||||
1,448,000 | Corning, Inc., 6.850%, 3/01/2029 | 1,776,379 | ||||||
56,271,000 | Corning, Inc., 7.000%, 5/15/2024 | 73,395,728 | ||||||
7,487,000 | Corning, Inc., 7.250%, 8/15/2036 | 9,533,916 | ||||||
7,051,000 | Equifax, Inc., 7.000%, 7/01/2037 | 8,884,895 | ||||||
112,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 | 115,360 | ||||||
70,969,000 | Ingram Micro, Inc., 5.250%, 9/01/2017 | 77,071,908 | ||||||
7,795,000 | Intuit, Inc., 5.750%, 3/15/2017 | 8,991,860 | ||||||
19,078,000 | KLA-Tencor Corp., 6.900%, 5/01/2018 | 22,917,219 | ||||||
1,502,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 | 1,724,014 | ||||||
2,115,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A | 2,733,151 | ||||||
5,603,000 | Tyco Electronics Group S.A., 6.550%, 10/01/2017 | 6,718,619 | ||||||
561,000 | Xerox Corp., 6.350%, 5/15/2018 | 647,002 | ||||||
7,110,000 | Xerox Corp., 6.750%, 2/01/2017 | 8,269,584 | ||||||
|
|
|||||||
239,032,898 | ||||||||
|
|
|||||||
Textile 0.0% | ||||||||
3,755,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023 | 4,584,964 | ||||||
|
|
|||||||
Tobacco 0.1% | ||||||||
8,128,000 | Reynolds American, Inc., 6.750%, 6/15/2017 | 9,815,519 | ||||||
962,000 | Reynolds American, Inc., 7.250%, 6/15/2037 | 1,261,501 | ||||||
|
|
|||||||
11,077,020 | ||||||||
|
|
|||||||
Transportation Services 0.6% | ||||||||
8,436,000 | Erac USA Finance Co., 6.375%, 10/15/2017, 144A | 10,203,030 | ||||||
2,824,000 | Erac USA Finance Co., 6.700%, 6/01/2034, 144A | 3,419,268 | ||||||
51,504,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A | 65,401,273 | ||||||
|
|
|||||||
79,023,571 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries 25.1% | ||||||||||
93,805,000 | Canadian Government, 1.750%, 3/01/2013, (CAD) | $ | 94,423,640 | |||||||
306,210,000 | Canadian Government, 2.250%, 8/01/2014, (CAD) | 313,207,239 | ||||||||
372,145,000 | Canadian Government, 2.500%, 6/01/2015, (CAD) | 385,976,508 | ||||||||
156,655,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 165,353,156 | ||||||||
106,195,000 | Canadian Government, 3.500%, 6/01/2013, (CAD) | 107,841,252 | ||||||||
194,485,000 | Canadian Government, 3.750%, 6/01/2019, (CAD) | 221,662,455 | ||||||||
4,159,000 | Canadian Government, 4.000%, 6/01/2016, (CAD) | 4,556,879 | ||||||||
183,949,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) | 211,938,023 | ||||||||
85,198,516 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 116,947,166 | ||||||||
66,038,126 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 87,164,636 | ||||||||
29,854,296 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) | 40,407,277 | ||||||||
63,183,488 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 84,766,589 | ||||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) | 1,490,229 | ||||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) | 1,539,569 | ||||||||
1,120,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) | 1,608,138 | ||||||||
1,890,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) | 17,686,515 | |||||||
12,263,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) | 11,561,940 | ||||||||
108,370,000 | New Zealand Government Bond, 6.500%, 4/15/2013, (NZD) | 90,565,362 | ||||||||
726,401,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) | 145,591,137 | ||||||||
118,387,000 | Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) | 23,020,427 | ||||||||
994,369,000 | Norwegian Government Bond, 6.500%, 5/15/2013, (NOK) | 181,950,875 | ||||||||
13,956,446 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 14,990,224 | ||||||||
4,599,829 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) | 5,388,498 | ||||||||
6,000,000 | Singapore Government Bond, 1.375%, 10/01/2014, (SGD) | 5,007,179 | ||||||||
181,645,000 | U.S. Treasury Note, 0.125%, 12/31/2014 | 181,190,887 | ||||||||
181,650,000 | U.S. Treasury Note, 0.250%, 10/31/2014 | 181,692,506 | ||||||||
205,055,000 | U.S. Treasury Note, 0.250%, 12/15/2015 | 204,446,192 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Treasuries continued | ||||||||
$ | 181,650,000 | U.S. Treasury Note, 0.375%, 11/15/2015 | $ | 181,820,388 | ||||
|
|
|||||||
3,083,794,886 | ||||||||
|
|
|||||||
Wireless 0.8% | ||||||||
559,910,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 44,461,393 | ||||||
31,416,000 | Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018 | 43,218,991 | ||||||
6,373,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | 6,627,920 | ||||||
2,594,000 | Sprint Capital Corp., 6.900%, 5/01/2019 | 2,827,460 | ||||||
612,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 748,170 | ||||||
91,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 | 98,962 | ||||||
1,619,000 | Vodafone Group PLC, 5.000%, 9/15/2015 | 1,796,062 | ||||||
|
|
|||||||
99,778,958 | ||||||||
|
|
|||||||
Wirelines 4.5% | ||||||||
8,017,000 | AT&T, Inc., 4.300%, 12/15/2042, 144A | 8,051,898 | ||||||
1,970,000 | AT&T, Inc., 4.350%, 6/15/2045, 144A | 1,978,857 | ||||||
406,000 | Bell Canada, MTN, 7.300%, 2/23/2032, (CAD) | 542,710 | ||||||
2,936,000 | BellSouth Telecommunications, Inc., 5.850%, 11/15/2045 | 3,103,261 | ||||||
62,040,000 | CenturyLink, Inc., 6.450%, 6/15/2021 | 68,554,138 | ||||||
4,990,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 | 5,156,027 | ||||||
2,708,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 2,810,910 | ||||||
121,506,000 | Deutsche Telekom International Finance BV, 6.000%, 7/08/2019 | 148,180,091 | ||||||
24,103,000 | Embarq Corp., 7.995%, 6/01/2036 | 26,622,270 | ||||||
825,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A | 862,125 | ||||||
200,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 | 223,500 | ||||||
5,200,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) | 2,666,667 | ||||||
8,450,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) | 10,083,286 | ||||||
18,850,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) | 24,969,649 | ||||||
200,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) | 278,853 | ||||||
300,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) | 401,545 |
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Wirelines continued | ||||||||
$ | 1,698,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 | $ | 1,925,895 | ||||
2,755,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 | 2,807,948 | ||||||
4,370,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 4,789,695 | ||||||
3,469,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 | 3,633,361 | ||||||
333,000 | Qwest Corp., 6.500%, 6/01/2017 | 388,812 | ||||||
14,480,000 | Qwest Corp., 6.875%, 9/15/2033 | 14,552,400 | ||||||
4,668,000 | Qwest Corp., 7.200%, 11/10/2026 | 4,693,674 | ||||||
9,077,000 | Qwest Corp., 7.250%, 9/15/2025 | 10,517,711 | ||||||
9,474,000 | Qwest Corp., 7.250%, 10/15/2035 | 10,016,860 | ||||||
43,116,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 42,145,890 | ||||||
23,240,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 23,414,300 | ||||||
525,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 | 551,906 | ||||||
975,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 | 1,039,594 | ||||||
14,375,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 15,525,000 | ||||||
1,700,000 | Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP) | 2,776,256 | ||||||
2,700,000 | Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP) | 4,284,338 | ||||||
2,100,000 | Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP) | 3,236,377 | ||||||
8,800,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP) | 14,934,839 | ||||||
14,137,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) | 15,679,322 | ||||||
54,665,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) | 62,527,593 | ||||||
3,598,000 | Verizon Communications, Inc., 6.100%, 4/15/2018 | 4,424,054 | ||||||
2,642,000 | Verizon New England, Inc., 7.875%, 11/15/2029 | 3,509,860 | ||||||
5,260,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 | 6,166,487 | ||||||
|
|
|||||||
558,027,959 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $9,563,322,022) | 10,945,442,318 | |||||||
|
|
|||||||
Convertible Bonds 3.4% |
||||||||
Automotive 0.5% | ||||||||
34,827,000 | Ford Motor Co., 4.250%, 11/15/2016 | 55,200,795 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Convertible Bonds continued |
||||||||
Independent Energy 0.3% | ||||||||
$ | 32,380,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 | $ | 29,142,000 | ||||
14,080,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 | 13,464,000 | ||||||
|
|
|||||||
42,606,000 | ||||||||
|
|
|||||||
Life Insurance 0.6% | ||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 | 75,877,172 | ||||||
|
|
|||||||
Media Non-Cable 0.0% | ||||||||
393,745 | Liberty Media LLC, 3.500%, 1/15/2031 | 187,275 | ||||||
|
|
|||||||
REITs Warehouse/Industrials 0.3% | ||||||||
27,359,000 | ProLogis LP, 3.250%, 3/15/2015 | 31,001,167 | ||||||
|
|
|||||||
Technology 1.7% | ||||||||
35,120,000 | Intel Corp., 2.950%, 12/15/2035 | 36,415,050 | ||||||
137,016,000 | Intel Corp., 3.250%, 8/01/2039 | 160,565,625 | ||||||
11,515,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 | 11,378,259 | ||||||
765,000 | Micron Technology, Inc., 1.875%, 6/01/2014 | 758,306 | ||||||
30,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 | 27,413 | ||||||
85,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A | 81,919 | ||||||
|
|
|||||||
209,226,572 | ||||||||
|
|
|||||||
Wirelines 0.0% | ||||||||
2,926,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) | 3,480,111 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $362,553,738) | 417,579,092 | |||||||
|
|
|||||||
Municipals 0.5% | ||||||||
District of Columbia 0.1% | ||||||||
14,680,000 | Metropolitan Washington Airports Authority, 7.462%, 10/01/2046 | 17,837,668 | ||||||
|
|
|||||||
Illinois 0.2% | ||||||||
530,000 | Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 | 560,300 | ||||||
24,640,000 | State of Illinois, 5.100%, 6/01/2033 | 24,372,902 | ||||||
|
|
|||||||
24,933,202 | ||||||||
|
|
|||||||
Michigan 0.0% | ||||||||
2,465,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) | 2,063,797 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Municipals continued |
||||||||
Ohio 0.1% | ||||||||
$ | 6,430,000 | Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047(c) | $ | 5,751,185 | ||||
|
|
|||||||
Virginia 0.1% | ||||||||
14,240,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c) | 10,132,757 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $56,577,381) | 60,718,609 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $9,982,453,141) | 11,423,740,019 | |||||||
|
|
|||||||
Senior Loans 0.9% | ||||||||
Non-Captive Diversified 0.8% | ||||||||
28,784,992 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 4.750%, 7/16/2018(b) | 28,976,988 | ||||||
14,322,574 | AWAS Finance Luxembourg S.A.R.L., Term Loan B, 5.250%, 6/10/2016(b) | 14,447,897 | ||||||
55,685,000 | Flying Fortress, Inc., 1st Lien Term Loan, 5.000%, 6/30/2017(b) | 56,102,637 | ||||||
|
|
|||||||
99,527,522 | ||||||||
|
|
|||||||
Healthcare 0.1% | ||||||||
12,149,550 | Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(b) | 12,284,045 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $110,356,318) | 111,811,567 | |||||||
|
|
|||||||
Shares |
||||||||
Common Stocks 1.8% | ||||||||
Electronic Equipment, Instruments & Components 1.8% | ||||||||
17,550,000 | Corning, Inc. (Identified Cost $226,654,590) | 221,481,000 | ||||||
|
|
|||||||
Principal Amount () |
||||||||
Short-Term Investments 3.2% | ||||||||
$ | 774,079 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $774,079 on 1/02/2013 collateralized by $815,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $816,250 including accrued interest(e) |
774,079 | |||||
389,196,489 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $389,196,705 on 1/02/2013 collateralized by $32,250,000 Federal Home Loan Bank, 5.375% due 5/18/2016 valued at $37,692,188; $100,000,000 Federal National Mortgage Association, 5.000% due 3/15/2016 valued at $115,806,200; $92,620,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $92,827,430; $80,840,000 Federal National Mortgage Association, 0.700% due 2/22/2016 valued at $81,042,774; $3,875,000 Federal National Mortgage Association, 1.150% due 2/22/2017 valued at $3,897,053; $7,145,000 Federal Home Loan Mortgage Corp., 1.000% due 3/08/2017 valued at $7,265,489; $50,000,000 U.S. Treasury Note, 2.750% due 11/30/2016 valued at $54,437,500; $2,045,000 U.S. Treasury Note, 3.250% due 3/31/2017 valued at $2,290,742; $1,720,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $1,722,150 including accrued interest(e) |
389,196,489 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $389,970,568) | 389,970,568 | |||||||
|
|
Total Investments 98.7% (Identified Cost $10,709,434,617)(a) |
12,147,003,154 | |||
Other assets less liabilities 1.3% |
155,080,703 | |||
|
|
|||
Net Assets 100.0% |
$ | 12,302,083,857 | ||
|
|
() | 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 an independent 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. Forward foreign currency contracts are valued utilizing interpolated 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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $10,764,452,956 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 1,424,595,992 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(42,045,794 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,382,550,198 | ||
|
|
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(c) | Illiquid security. At December 31, 2012, the value of these securities amounted to $88,399,409 or 0.7% 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. |
PLN |
Polish Zloty | |
SEK |
Swedish Krona | |
SGD |
Singapore Dollar | |
THB |
Thailand Baht | |
UYU |
Uruguayan Peso |
FNMA |
Federal National Mortgage Association | |
GMTN |
Global Medium Term Note | |
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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Car Loan |
$ | | $ | 64,636,823 | $ | 5,620,959 | $ | 70,257,782 | ||||||||
Health Insurance |
| 2,072,115 | 1,649,726 | 3,721,841 | ||||||||||||
Non-Captive Consumer |
1,488,629 | 202,844,345 | | 204,332,974 | ||||||||||||
All Other Non-Convertible Bonds* |
| 10,667,129,721 | | 10,667,129,721 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
1,488,629 | 10,936,683,004 | 7,270,685 | 10,945,442,318 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 417,579,092 | | 417,579,092 | ||||||||||||
Municipals* |
| 60,718,609 | | 60,718,609 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
1,488,629 | 11,414,980,705 | 7,270,685 | 11,423,740,019 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 111,811,567 | | 111,811,567 | ||||||||||||
Common Stocks* |
221,481,000 | | | 221,481,000 | ||||||||||||
Short-Term Investments |
| 389,970,568 | | 389,970,568 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 222,969,629 | $ | 11,916,762,840 | $ | 7,270,685 | $ | 12,147,003,154 | ||||||||
|
|
|
|
|
|
|
|
* | 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, 2012:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2012 |
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, 2012 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 5,642,124 | $ | | $ | | $ | (21,165 | ) | $ | | $ | | $ | | $ | | $ | 5,620,959 | $ | (21,165 | ) | ||||||||||||||||||
Banking |
38,219,714 | | | | | | | (38,219,714 | ) | | | |||||||||||||||||||||||||||||
Electric |
1,889,250 | | | | | | | (1,889,250 | ) | | | |||||||||||||||||||||||||||||
Health Insurance |
| 758 | | 158,944 | | | 1,490,024 | | 1,649,726 | 158,944 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 45,751,088 | $ | 758 | $ | | $ | 137,779 | $ | | $ | | $ | 1,490,024 | $ | (40,108,964 | ) | $ | 7,270,685 | $ | 137,779 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $1,490,024 was transferred from Level 2 to Level 3 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies; at December 31, 2012, this security was valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security.
A debt security valued at $38,219,714 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.
Debt securities valued at $1,889,250 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued at fair value as determined in good faith by the Funds investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2012 (Unaudited)
Treasuries |
25.1 | % | ||
Banking |
12.7 | |||
Wirelines |
4.5 | |||
Technology |
3.6 | |||
Non-Captive Diversified |
3.5 | |||
Pipelines |
3.2 | |||
Commercial Mortgage-Backed Securities |
2.9 | |||
Airlines |
2.5 | |||
Local Authorities |
2.2 | |||
Electric |
2.0 | |||
Other Investments, less than 2% each |
33.3 | |||
Short-Term Investments |
3.2 | |||
|
|
|||
Total Investments |
98.7 | |||
Other assets less liabilities |
1.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at December 31, 2012 (Unaudited)
United States Dollar |
68.4 | % | ||
Canadian Dollar |
13.5 | |||
Euro |
3.8 | |||
New Zealand Dollar |
3.8 | |||
Australian Dollar |
3.1 | |||
Norwegian Krone |
2.8 | |||
Other, less than 2% each |
3.3 | |||
Total Investments |
98.7 | |||
Other assets less liabilities |
1.3 | |||
Net Assets |
100.0 | % |
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal |
Description |
Value () | ||||||
Bonds and Notes 94.7% of Net Assets |
| |||||||
ABS Car Loan 2.5% | ||||||||
$ | 2,200,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2012-3A, Class A, 2.100%, 3/20/2019, 144A | $ | 2,244,196 | ||||
910,000 | Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A | 910,254 | ||||||
2,500,000 | First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 5/15/2018, 144A | 2,504,720 | ||||||
1,149,338 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A | 1,154,387 | ||||||
7,000,000 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A | 6,999,895 | ||||||
3,000,000 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A | 2,999,109 | ||||||
1,509,616 | World Omni Auto Receivables Trust, Series 2011-A, Class A3, 1.110%, 5/15/2015 | 1,515,509 | ||||||
|
|
|||||||
18,328,070 | ||||||||
|
|
|||||||
ABS Credit Card 0.9% | ||||||||
985,000 | American Express Credit Account Master, Series 2004-2, Class A, 0.379%, 12/15/2016(b) | 986,536 | ||||||
3,220,000 | GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022 | 3,233,389 | ||||||
2,100,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class A, 3.960%, 4/15/2019 | 2,263,859 | ||||||
|
|
|||||||
6,483,784 | ||||||||
|
|
|||||||
ABS Home Equity 0.1% | ||||||||
432,511 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b) | 433,470 | ||||||
303,404 | Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 6.200%, 1/25/2028(b) | 290,437 | ||||||
|
|
|||||||
723,907 | ||||||||
|
|
|||||||
ABS Other 0.6% | ||||||||
1,380,000 | Ally Master Owner Trust, Series 2011-1, Class A2, 2.150%, 1/15/2016 | 1,402,563 | ||||||
3,000,000 | Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019 | 3,010,686 | ||||||
|
|
|||||||
4,413,249 | ||||||||
|
|
|||||||
ABS Student Loan 0.4% | ||||||||
3,064,838 | Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.811%, 9/20/2022(b) | 3,069,741 | ||||||
Collateralized Mortgage Obligations 27.7% | ||||||||
255,339 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 0.990%, 5/15/2023(b) | 260,767 | ||||||
168,050 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.140%, 8/15/2023(b) | 172,006 | ||||||
1,167,627 | Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.609%, 11/15/2032(b) | 1,171,436 | ||||||
3,825,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019 | 4,194,736 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 6,280,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020 | $ | 6,757,688 | ||||
3,631,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035 | 4,195,134 | ||||||
3,510,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035 | 3,961,937 | ||||||
8,610,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034 | 9,178,639 | ||||||
5,223,191 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 5.016%, 6/15/2048(b) | 5,494,118 | ||||||
6,362,482 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.941%, 12/15/2036(b) | 6,769,828 | ||||||
697,305 | Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028 | 724,127 | ||||||
190,837 | Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.050%, 9/25/2022(b) | 196,178 | ||||||
161,101 | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.310%, 4/25/2024(b) | 165,513 | ||||||
4,155,000 | Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034 | 4,374,999 | ||||||
7,746,817 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.645%, 8/25/2038(b) | 7,935,266 | ||||||
136,136 | Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.040%, 4/25/2023(b) | 139,678 | ||||||
1,562,758 | FHLMC, 2.948%, 12/01/2034(b) | 1,672,215 | ||||||
2,263,778 | FHLMC, 3.354%, 3/01/2038(b) | 2,409,955 | ||||||
2,667,570 | FHLMC, 5.282%, 11/01/2038(b) | 2,885,367 | ||||||
6,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020 | 6,933,132 | ||||||
4,305,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 | 4,889,864 | ||||||
3,535,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018 | 3,795,399 | ||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 | 740,559 | ||||||
2,590,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018 | 2,732,813 | ||||||
7,910,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019 | 8,242,513 | ||||||
34,370,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019 | 34,904,797 | ||||||
19,733,559 | FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.562%, 4/25/2019(b) | 19,817,742 | ||||||
1,910,745 | FNMA, 2.270%, 9/01/2036(b) | 2,041,244 | ||||||
5,942,617 | FNMA, 2.306%, 11/01/2033(b) | 6,299,967 | ||||||
1,383,667 | FNMA, 2.644%, 10/01/2033(b) | 1,469,493 | ||||||
7,391,761 | FNMA, 2.659%, 9/01/2037(b) | 7,899,235 | ||||||
6,460,659 | FNMA, 2.880%, 7/01/2037(b) | 6,877,285 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 4,577,873 | FNMA, 4.739%, 8/01/2038(b) | $ | 4,895,729 | ||||
6,444,245 | Government National Mortgage Association, Series 2012-124, Class HT, 7.225%, 7/20/2032(b) | 7,601,058 | ||||||
8,400,749 | Government National Mortgage Association, Series 2012-H29, Class HF, 0.710%, 10/20/2062(b) | 8,446,474 | ||||||
945,230 | NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.558%, 12/07/2020(b) | 948,066 | ||||||
1,603,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 | 1,708,744 | ||||||
1,692,145 | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.658%, 10/07/2020(b) | 1,698,491 | ||||||
6,149,362 | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.768%, 12/08/2020(b) | 6,180,109 | ||||||
133,551 | NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.768%, 12/08/2020(b) | 134,219 | ||||||
|
|
|||||||
200,916,520 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 12.9% | ||||||||
1,780,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.625%, 4/10/2049(b) | 2,081,851 | ||||||
375,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051 | 438,579 | ||||||
1,445,000 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 | 1,635,642 | ||||||
1,470,000 | Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.060%, 12/10/2049(b) | 1,773,945 | ||||||
3,200,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 | 3,671,326 | ||||||
1,135,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045 | 1,197,737 | ||||||
2,625,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 | 2,984,142 | ||||||
5,270,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 | 6,106,908 | ||||||
3,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.052%, 2/15/2041(b) | 3,499,152 | ||||||
1,140,000 | CW Capital Cobalt Ltd., Series 2007-C2, Class A3, 5.484%, 4/15/2047 | 1,321,581 | ||||||
7,778,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 | 9,168,737 | ||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 | 5,758,605 | ||||||
295,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043 | 336,625 | ||||||
2,785,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047 | 3,205,407 | ||||||
5,000,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 | 5,783,030 | ||||||
2,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040 | 2,295,338 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Commercial Mortgage-Backed Securities continued | ||||||||
$ | 4,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045 | $ | 4,768,912 | ||||
1,173,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 |
1,342,477 | ||||||
5,364,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
6,189,176 | ||||||
2,670,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-8, Class A3, 5.949%, |
3,090,416 | ||||||
5,000,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049 |
5,863,555 | ||||||
3,485,000 | Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.575%, 4/12/2049(b) | 3,935,847 | ||||||
3,000,000 | Morgan Stanley Capital I, Series 2007-HQ13, Class A3, 5.569%, 12/15/2044 | 3,389,400 | ||||||
1,500,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 5.882%, 6/11/2049(b) | 1,763,449 | ||||||
2,690,000 | Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A | 2,679,808 | ||||||
4,410,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 | 5,058,561 | ||||||
3,775,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 | 4,325,184 | ||||||
|
|
|||||||
93,665,390 | ||||||||
|
|
|||||||
Government Owned No Guarantee 2.5% | ||||||||
17,970,000 | Federal National Mortgage Association, 3.625%, 2/12/2013 | 18,039,526 | ||||||
|
|
|||||||
Hybrid ARMs 19.1% | ||||||||
3,065,677 | FHLMC, 2.294%, 4/01/2036(b) | 3,261,227 | ||||||
5,019,983 | FHLMC, 2.345%, 7/01/2033(b) | 5,341,105 | ||||||
3,550,232 | FHLMC, 2.370%, 3/01/2036(b) | 3,762,057 | ||||||
2,455,988 | FHLMC, 2.372%, 4/01/2035(b) | 2,629,337 | ||||||
1,153,171 | FHLMC, 2.376%, 2/01/2035(b) | 1,208,636 | ||||||
7,425,907 | FHLMC, 2.387%, 2/01/2036(b) | 7,890,456 | ||||||
3,188,416 | FHLMC, 2.416%, 2/01/2036(b) | 3,397,021 | ||||||
2,431,136 | FHLMC, 2.433%, 6/01/2037(b) | 2,588,901 | ||||||
7,548,959 | FHLMC, 2.483%, 5/01/2037(b) | 8,032,527 | ||||||
4,025,650 | FHLMC, 2.706%, 11/01/2036(b) | 4,292,590 | ||||||
1,358,690 | FHLMC, 2.748%, 4/01/2037(b) | 1,453,455 | ||||||
5,142,120 | FHLMC, 2.902%, 9/01/2035(b) | 5,490,550 | ||||||
3,889,923 | FHLMC, 2.992%, 4/01/2037(b) | 4,131,431 | ||||||
2,191,830 | FHLMC, 3.481%, 11/01/2038(b) | 2,344,004 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Hybrid ARMs continued | ||||||||
$ | 4,514,651 | FHLMC, 5.038%, 9/01/2038(b) | $ | 4,842,839 | ||||
623,942 | FHLMC, 5.264%, 12/01/2037(b) | 672,207 | ||||||
888,624 | FHLMC, 5.620%, 9/01/2038(b) | 958,767 | ||||||
1,536,949 | FHLMC, 5.736%, 3/01/2037(b) | 1,654,518 | ||||||
3,975,322 | FNMA, 2.267%, 7/01/2035(b) | 4,222,825 | ||||||
1,429,354 | FNMA, 2.270%, 9/01/2034(b) | 1,524,068 | ||||||
343,770 | FNMA, 2.270%, 2/01/2037(b) | 360,208 | ||||||
874,374 | FNMA, 2.310%, 12/01/2034(b) | 929,087 | ||||||
2,392,789 | FNMA, 2.310%, 1/01/2036(b) | 2,553,634 | ||||||
809,806 | FNMA, 2.316%, 4/01/2033(b) | 862,980 | ||||||
2,997,880 | FNMA, 2.335%, 4/01/2034(b) | 3,141,612 | ||||||
3,450,897 | FNMA, 2.346%, 6/01/2036(b) | 3,699,956 | ||||||
4,614,755 | FNMA, 2.347%, 8/01/2035(b) | 4,920,826 | ||||||
11,662,179 | FNMA, 2.355%, 10/01/2034(b) | 12,416,083 | ||||||
2,847,930 | FNMA, 2.412%, 6/01/2033(b) | 2,998,655 | ||||||
4,227,193 | FNMA, 2.490%, 10/01/2033(b) | 4,510,439 | ||||||
809,968 | FNMA, 2.551%, 8/01/2033(b) | 863,628 | ||||||
804,540 | FNMA, 2.644%, 8/01/2036(b) | 863,820 | ||||||
2,192,027 | FNMA, 2.672%, 5/01/2035(b) | 2,369,163 | ||||||
1,807,535 | FNMA, 2.795%, 8/01/2034(b) | 1,938,274 | ||||||
3,369,280 | FNMA, 2.823%, 4/01/2037(b) | 3,594,480 | ||||||
2,219,548 | FNMA, 2.916%, 2/01/2047(b) | 2,354,230 | ||||||
5,687,675 | FNMA, 3.403%, 6/01/2037(b) | 6,055,315 | ||||||
4,579,359 | FNMA, 3.473%, 6/01/2035(b) | 4,864,727 | ||||||
9,221,884 | FNMA, 5.789%, 9/01/2037(b) | 9,948,849 | ||||||
|
|
|||||||
138,944,487 | ||||||||
|
|
|||||||
Mortgage Related 23.3% | ||||||||
11,349,213 | FHLMC, 2.389%, 3/01/2037(b) | 12,083,509 | ||||||
20,175,480 | FHLMC, 3.000%, with various maturities in 2027(c) | 21,292,278 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Mortgage Related continued | ||||||||
$ | 1,124,666 | FHLMC, 4.000%, 12/01/2024 | $ | 1,189,358 | ||||
3,216,632 | FHLMC, 4.500%, with various maturities from 2025 to 2034(c) | 3,425,182 | ||||||
982,553 | FHLMC, 5.500%, 10/01/2023 | 1,060,410 | ||||||
71,366 | FHLMC, 6.000%, 11/01/2019 | 79,083 | ||||||
2,528,529 | FHLMC, 6.500%, with various maturities from 2014 to 2034(c) | 2,867,370 | ||||||
60,777 | FHLMC, 7.000%, 2/01/2016 | 64,373 | ||||||
2,379 | FHLMC, 7.500%, with various maturities from 2014 to 2026(c) | 2,616 | ||||||
4,104 | FHLMC, 8.000%, 9/01/2015 | 4,382 | ||||||
2,853 | FHLMC, 10.000%, 7/01/2019 | 3,361 | ||||||
58,537 | FHLMC, 11.500%, with various maturities from 2015 to 2020(c) | 69,321 | ||||||
8,189,889 | FNMA, 2.601%, 4/01/2037(b) | 8,677,010 | ||||||
6,927,307 | FNMA, 2.650%, 7/01/2035(b) | 7,353,829 | ||||||
17,162,416 | FNMA, 3.000%, with various maturities from 2026 to 2042(c) | 18,130,452 | ||||||
1,900,127 | FNMA, 4.000%, with various maturities in 2019(c) | 2,041,785 | ||||||
4,465,181 | FNMA, 4.500%, 1/01/2025 | 4,805,047 | ||||||
7,184,046 | FNMA, 5.000%, with various maturities from 2037 to 2038(c) | 7,827,005 | ||||||
1,763,212 | FNMA, 5.500%, with various maturities from 2018 to 2033(c) | 1,924,598 | ||||||
6,095,012 | FNMA, 6.000%, with various maturities from 2017 to 2022(c) | 6,700,209 | ||||||
1,038,989 | FNMA, 6.500%, with various maturities from 2017 to 2037(c) | 1,185,174 | ||||||
33,096 | FNMA, 7.000%, 12/01/2022 | 36,565 | ||||||
200,226 | FNMA, 7.500%, with various maturities from 2015 to 2032(c) | 241,612 | ||||||
17,780 | FNMA, 8.000%, with various maturities from 2015 to 2016(c) | 19,000 | ||||||
6,024,745 | GNMA, 1.967%, 2/20/2061(b) | 6,428,945 | ||||||
4,888,918 | GNMA, 4.479%, 2/20/2062 | 5,529,351 | ||||||
5,011,466 | GNMA, 4.521%, 12/20/2061 | 5,721,641 | ||||||
2,580,635 | GNMA, 4.528%, 3/20/2062 | 2,956,589 | ||||||
7,000,000 | GNMA, 4.532%, 12/20/2062 | 8,043,437 | ||||||
2,549,952 | GNMA, 4.560%, 3/20/2062 | 2,918,933 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Mortgage Related continued | ||||||||
$ | 12,545,000 | GNMA, 4.583%, 11/20/2062 | $ | 14,473,794 | ||||
4,516,681 | GNMA, 4.604%, 6/20/2062 | 5,207,480 | ||||||
1,544,651 | GNMA, 4.616%, 8/20/2061 | 1,761,006 | ||||||
8,919,290 | GNMA, 4.659%, 2/20/2062 | 10,245,436 | ||||||
2,080,256 | GNMA, 4.698%, 7/20/2061 | 2,369,969 | ||||||
1,742,974 | GNMA, 4.808%, 8/20/2062 | 1,996,322 | ||||||
40,842 | GNMA, 6.000%, 12/15/2031 | 46,145 | ||||||
166,275 | GNMA, 6.500%, 5/15/2031 | 189,551 | ||||||
183,176 | GNMA, 7.000%, 10/15/2028 | 219,149 | ||||||
278 | GNMA, 12.500%, 6/15/2014 | 279 | ||||||
|
|
|||||||
169,191,556 | ||||||||
|
|
|||||||
Treasuries 4.7% | ||||||||
31,440,000 | U.S. Treasury Note, 1.750%, 4/15/2013 | 31,587,391 | ||||||
2,245,000 | U.S. Treasury Note, 1.875%, 4/30/2014 | 2,294,197 | ||||||
|
|
|||||||
33,881,588 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $670,539,270) | 687,657,818 | |||||||
|
|
|||||||
Short-Term Investments 6.0% |
| |||||||
10,482,930 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $10,482,936 on 1/02/2013 collateralized by $10,670,000 Federal National Mortgage Association, 0.700% due 2/22/2016 valued at $10,696,764 including accrued interest(d) |
10,482,930 | ||||||
5,000,000 | U.S. Treasury Bill, 0.075%, 2/28/2013(e) | 4,999,780 | ||||||
27,970,000 | U.S. Treasury Bills, 0.031%-0.055%, 3/14/2013(e)(f) | 27,968,070 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $43,449,988) | 43,450,780 | |||||||
|
|
|||||||
Total Investments 100.7% (Identified Cost $713,989,258)(a) | 731,108,598 | |||||||
Other assets less liabilities (0.7)% | (5,195,505 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 725,913,093 | ||||||
|
|
() | 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $715,350,798 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 |
$ | 17,947,504 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(2,189,704 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 15,757,800 | ||
|
|
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(c) | The Funds investment in mortgage related securities of Federal Home Loan Mortgage Corporation and Federal 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. |
(d) | 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. |
(e) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(f) | The Funds investment in U.S. Treasury Bills is comprised of various lots with differing discount rates. These separate investments, which have the same maturity date, have been aggregated for the purpose of presentation in the Portfolio of Investments. |
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, 2012, the value of Rule 144A holdings amounted to $19,492,369 or 2.7% of net assets. |
ABS | Asset-Backed Securities |
ARMs | Adjustable Rate Mortgages |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
REMIC | Real Estate Mortgage Investment Conduit |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets or liabilities; |
| Level 2 prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Mortgage Related |
$ | | $ | 146,674,325 | $ | 22,517,231 | $ | 169,191,556 | ||||||||
All Other Bonds and Notes * |
| 518,466,262 | | 518,466,262 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 665,140,587 | 22,517,231 | 687,657,818 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 43,450,780 | | 43,450,780 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 708,591,367 | $ | 22,517,231 | $ | 731,108,598 | ||||||||
|
|
|
|
|
|
|
|
* | 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, 2012:
Asset Valuation Inputs
Investments in Securities |
Balance
as of September 30, 2012 |
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, 2012 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 910,501 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (910,501 | ) | $ | | $ | | |||||||||||||||||||
Mortgage Related |
1,982,780 | | | 31,005 | 22,486,226 | | | (1,982,780 | ) | 22,517,231 | 31,005 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 2,893,281 | $ | | $ | | $ | 31,005 | $ | 22,486,226 | $ | | $ | | $ | (2,893,281 | ) | $ | 22,517,231 | $ | 31,005 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2012 (Unaudited) |
| |||
Collateralized Mortgage Obligations |
27.7 | % | ||
Mortgage Related |
23.3 | |||
Hybrid ARMs |
19.1 | |||
Commercial Mortgage-Backed Securities |
12.9 | |||
Treasuries |
4.7 | |||
ABS Car Loan |
2.5 | |||
Government Owned No Guarantee |
2.5 | |||
Other Investments, less than 2% each |
2.0 | |||
Short-Term Investments |
6.0 | |||
|
|
|||
Total Investments |
100.7 | |||
Other assets less liabilities |
(0.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Mid Cap Growth Fund
Shares |
Description |
Value () | ||||||
Common Stocks 97.4% of Net Assets |
| |||||||
Aerospace & Defense 2.0% | ||||||||
14,182 | TransDigm Group, Inc. | $ | 1,933,857 | |||||
|
|
|||||||
Biotechnology 6.8% | ||||||||
10,588 | Alexion Pharmaceuticals, Inc.(b) | 993,260 | ||||||
44,320 | ARIAD Pharmaceuticals, Inc.(b) | 850,058 | ||||||
26,263 | Medivation, Inc.(b) | 1,343,615 | ||||||
12,761 | Onyx Pharmaceuticals, Inc.(b) | 963,838 | ||||||
10,081 | Regeneron Pharmaceuticals, Inc.(b) | 1,724,557 | ||||||
14,317 | Synageva BioPharma Corp.(b) | 662,734 | ||||||
|
|
|||||||
6,538,062 | ||||||||
|
|
|||||||
Building Products 1.7% | ||||||||
56,945 | Fortune Brands Home & Security, Inc.(b) | 1,663,933 | ||||||
|
|
|||||||
Capital Markets 4.3% | ||||||||
16,889 | Affiliated Managers Group, Inc.(b) | 2,198,103 | ||||||
29,767 | T. Rowe Price Group, Inc. | 1,938,725 | ||||||
|
|
|||||||
4,136,828 | ||||||||
|
|
|||||||
Chemicals 5.4% | ||||||||
38,260 | Eastman Chemical Co. | 2,603,593 | ||||||
31,856 | Westlake Chemical Corp. | 2,526,181 | ||||||
|
|
|||||||
5,129,774 | ||||||||
|
|
|||||||
Commercial Banks 1.0% | ||||||||
28,237 | First Republic Bank | 925,609 | ||||||
|
|
|||||||
Commercial Services & Supplies 2.1% | ||||||||
21,411 | Stericycle, Inc.(b) | 1,997,004 | ||||||
|
|
|||||||
Construction Materials 1.5% | ||||||||
25,256 | Eagle Materials, Inc. | 1,477,476 | ||||||
|
|
|||||||
Energy Equipment & Services 3.7% | ||||||||
38,879 | Oceaneering International, Inc. | 2,091,301 | ||||||
77,539 | Patterson-UTI Energy, Inc. | 1,444,552 | ||||||
|
|
|||||||
3,535,853 | ||||||||
|
|
|||||||
Food & Staples Retailing 2.3% | ||||||||
23,814 | Whole Foods Market, Inc. | 2,174,933 | ||||||
|
|
|||||||
Food Products 2.0% | ||||||||
29,532 | McCormick & Co., Inc. | 1,876,168 | ||||||
|
|
|||||||
Health Care Providers & Services 3.6% | ||||||||
42,885 | Catamaran Corp.(b) | 2,020,312 | ||||||
13,292 | DaVita HealthCare Partners, Inc.(b) | 1,469,165 | ||||||
|
|
|||||||
3,489,477 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 1.8% | ||||||||
99,841 | Melco Crown Entertainment Ltd., Sponsored ADR(b) | 1,681,322 | ||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Household Durables 5.2% | ||||||||
66,786 | Lennar Corp., Class A | $ | 2,582,615 | |||||
132,470 | PulteGroup, Inc.(b) | 2,405,655 | ||||||
|
|
|||||||
4,988,270 | ||||||||
|
|
|||||||
Internet Software & Services 7.5% | ||||||||
34,130 | Cornerstone OnDemand, Inc.(b) | 1,007,859 | ||||||
11,490 | Equinix, Inc.(b) | 2,369,238 | ||||||
15,957 | LinkedIn Corp., Class A(b) | 1,832,183 | ||||||
26,802 | Rackspace Hosting, Inc.(b) | 1,990,584 | ||||||
|
|
|||||||
7,199,864 | ||||||||
|
|
|||||||
Machinery 3.8% | ||||||||
13,500 | Flowserve Corp. | 1,981,800 | ||||||
26,191 | Joy Global, Inc. | 1,670,462 | ||||||
|
|
|||||||
3,652,262 | ||||||||
|
|
|||||||
Media 3.9% | ||||||||
34,597 | Liberty Global, Inc., Class A(b) | 2,179,265 | ||||||
95,215 | Lions Gate Entertainment Corp.(b) | 1,561,526 | ||||||
|
|
|||||||
3,740,791 | ||||||||
|
|
|||||||
Metals & Mining 1.0% | ||||||||
68,607 | Steel Dynamics, Inc. | 941,974 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 4.1% | ||||||||
49,221 | Cabot Oil & Gas Corp. | 2,448,253 | ||||||
37,615 | Gulfport Energy Corp.(b) | 1,437,645 | ||||||
|
|
|||||||
3,885,898 | ||||||||
|
|
|||||||
Road & Rail 2.5% | ||||||||
29,209 | Kansas City Southern | 2,438,367 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 4.1% | ||||||||
50,920 | Linear Technology Corp. | 1,746,556 | ||||||
84,243 | NXP Semiconductors NV(b) | 2,221,488 | ||||||
|
|
|||||||
3,968,044 | ||||||||
|
|
|||||||
Software 5.5% | ||||||||
23,338 | NetSuite, Inc.(b) | 1,570,648 | ||||||
28,113 | SolarWinds, Inc.(b) | 1,474,527 | ||||||
25,623 | Sourcefire, Inc.(b) | 1,209,918 | ||||||
10,647 | Ultimate Software Group, Inc. (The)(b) | 1,005,183 | ||||||
|
|
|||||||
5,260,276 | ||||||||
|
|
|||||||
Specialty Retail 7.5% | ||||||||
28,252 | PetSmart, Inc. | 1,930,741 | ||||||
17,086 | Tractor Supply Co. | 1,509,719 | ||||||
23,808 | Ulta Salon, Cosmetics & Fragrance, Inc. | 2,339,374 | ||||||
36,319 | Urban Outfitters, Inc.(b) | 1,429,516 | ||||||
|
|
|||||||
7,209,350 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 6.1% | ||||||||
27,885 | Gildan Activewear, Inc. | 1,020,033 | ||||||
37,454 | Michael Kors Holdings Ltd.(b) | 1,911,278 | ||||||
29,199 | Under Armour, Inc., Class A(b) | 1,417,028 |
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Textiles, Apparel & Luxury Goods continued | ||||||||
9,590 | VF Corp. | $ | 1,447,802 | |||||
|
|
|||||||
5,796,141 | ||||||||
|
|
|||||||
Trading Companies & Distributors 2.5% | ||||||||
52,554 | United Rentals, Inc.(b) | 2,392,258 | ||||||
|
|
|||||||
Wireless Telecommunication Services 5.5% | ||||||||
30,864 | Crown Castle International Corp.(b) | 2,227,146 | ||||||
42,697 | SBA Communications Corp., Class A(b) | 3,032,341 | ||||||
|
|
|||||||
5,259,487 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $81,269,771) | 93,293,278 | |||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 2.9% |
| |||||||
$ | 2,826,507 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $2,826,509 on 1/02/2013 collateralized by $2,880,000 U.S. Treasury Note, 0.625% due 5/31/2017 valued at $2,883,600, including accrued interest(c) (Identified Cost $2,826,507) |
2,826,507 | |||||
|
|
|||||||
Total Investments 100.3% (Identified Cost $84,096,278)(a) | 96,119,785 | |||||||
Other assets less liabilities (0.3)% | (287,124 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 95,832,661 | ||||||
|
|
() | 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $84,096,278 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 |
$ | 12,326,699 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(303,192 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 12,023,507 | ||
|
|
At September 30, 2012, the Fund had a short-term capital loss carryforward of $39,194,160 of which $20,624,367 expires on September 30, 2017 and $18,569,793 expires on September 30, 2018. At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $3,686,631. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | 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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 93,293,278 | $ | | $ | | $ | 93,293,278 | ||||||||
Short-Term Investments |
| 2,826,507 | | 2,826,507 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 93,293,278 | $ | 2,826,507 | $ | | $ | 96,119,785 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Industry Summary at December 31, 2012 (Unaudited)
Specialty Retail |
7.5 | % | ||
Internet Software & Services |
7.5 | |||
Biotechnology |
6.8 | |||
Textiles, Apparel & Luxury Goods |
6.1 | |||
Software |
5.5 | |||
Wireless Telecommunication Services |
5.5 | |||
Chemicals |
5.4 | |||
Household Durables |
5.2 | |||
Capital Markets |
4.3 | |||
Semiconductors & Semiconductor Equipment |
4.1 | |||
Oil, Gas & Consumable Fuels |
4.1 | |||
Media |
3.9 |
Machinery |
3.8 | |||
Energy Equipment & Services |
3.7 | |||
Health Care Providers & Services |
3.6 | |||
Road & Rail |
2.5 | |||
Trading Companies & Distributors |
2.5 | |||
Food & Staples Retailing |
2.3 | |||
Commercial Services & Supplies |
2.1 | |||
Aerospace & Defense |
2.0 | |||
Food Products |
2.0 | |||
Other Investments, less than 2% each |
7.0 | |||
Short-Term Investments |
2.9 | |||
|
|
|||
Total Investments |
100.3 | |||
Other assets less liabilities |
(0.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Small Cap Growth Fund
Shares |
Description |
Value () | ||||||
Common Stocks 97.1% of Net Assets |
| |||||||
Aerospace & Defense 2.6% | ||||||||
392,533 | Hexcel Corp.(b) | $ | 10,582,690 | |||||
164,333 | Triumph Group, Inc. | 10,730,945 | ||||||
|
|
|||||||
21,313,635 | ||||||||
|
|
|||||||
Airlines 0.6% | ||||||||
260,131 | Spirit Airlines, Inc.(b) | 4,609,521 | ||||||
|
|
|||||||
Biotechnology 6.1% | ||||||||
254,061 | Aegerion Pharmaceuticals, Inc.(b) | 6,450,609 | ||||||
555,404 | Alkermes PLC(b) | 10,286,082 | ||||||
206,563 | Cubist Pharmaceuticals, Inc.(b) | 8,688,040 | ||||||
192,233 | Emergent Biosolutions, Inc.(b) | 3,083,417 | ||||||
640,724 | Exact Sciences Corp.(b) | 6,785,267 | ||||||
262,308 | Myriad Genetics, Inc.(b) | 7,147,893 | ||||||
665,864 | Neurocrine Biosciences, Inc.(b) | 4,980,663 | ||||||
83,170 | Synageva BioPharma Corp.(b) | 3,849,939 | ||||||
|
|
|||||||
51,271,910 | ||||||||
|
|
|||||||
Capital Markets 2.5% | ||||||||
448,028 | Financial Engines, Inc.(b) | 12,432,777 | ||||||
262,727 | Stifel Financial Corp.(b) | 8,399,382 | ||||||
|
|
|||||||
20,832,159 | ||||||||
|
|
|||||||
Chemicals 1.1% | ||||||||
770,890 | Flotek Industries, Inc.(b) | 9,404,858 | ||||||
|
|
|||||||
Commercial Banks 4.0% | ||||||||
198,763 | Bank of the Ozarks, Inc. | 6,652,598 | ||||||
830,618 | Boston Private Financial Holdings, Inc. | 7,483,868 | ||||||
113,984 | Signature Bank(b) | 8,131,618 | ||||||
72,889 | SVB Financial Group(b) | 4,079,597 | ||||||
163,390 | Texas Capital Bancshares, Inc.(b) | 7,323,140 | ||||||
|
|
|||||||
33,670,821 | ||||||||
|
|
|||||||
Communications Equipment 2.1% | ||||||||
596,830 | Ciena Corp.(b) | 9,370,231 | ||||||
504,825 | Ixia(b) | 8,571,928 | ||||||
|
|
|||||||
17,942,159 | ||||||||
|
|
|||||||
Construction & Engineering 1.0% | ||||||||
348,588 | MasTec, Inc.(b) | 8,690,299 | ||||||
|
|
|||||||
Consumer Finance 0.8% | ||||||||
208,909 | Encore Capital Group, Inc.(b) | 6,396,794 | ||||||
|
|
|||||||
Distributors 0.8% | ||||||||
159,428 | Pool Corp. | 6,746,993 | ||||||
|
|
|||||||
Diversified Consumer Services 1.2% | ||||||||
422,629 | Grand Canyon Education, Inc.(b) | 9,919,103 | ||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Diversified Financial Services 0.9% | ||||||||
204,101 | MarketAxess Holdings, Inc. | $ | 7,204,765 | |||||
|
|
|||||||
Electrical Equipment 1.6% | ||||||||
102,076 | Polypore International, Inc.(b) | 4,746,534 | ||||||
366,348 | Thermon Group Holdings, Inc.(b) | 8,253,820 | ||||||
|
|
|||||||
13,000,354 | ||||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 3.1% | ||||||||
143,904 | FEI Co. | 7,980,916 | ||||||
155,576 | IPG Photonics Corp. | 10,369,140 | ||||||
208,199 | Measurement Specialties, Inc.(b) | 7,153,718 | ||||||
|
|
|||||||
25,503,774 | ||||||||
|
|
|||||||
Energy Equipment & Services 3.7% | ||||||||
118,138 | Dril-Quip, Inc.(b) | 8,629,981 | ||||||
338,041 | Forum Energy Technologies, Inc.(b) | 8,366,515 | ||||||
129,565 | Lufkin Industries, Inc. | 7,531,613 | ||||||
121,258 | Oceaneering International, Inc. | 6,522,468 | ||||||
|
|
|||||||
31,050,577 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.6% | ||||||||
130,250 | Fresh Market, Inc. (The)(b) | 6,263,722 | ||||||
209,728 | Susser Holdings Corp.(b) | 7,233,519 | ||||||
|
|
|||||||
13,497,241 | ||||||||
|
|
|||||||
Health Care Equipment & Supplies 6.3% | ||||||||
240,330 | Abaxis, Inc. | 8,916,243 | ||||||
425,474 | Conceptus, Inc.(b) | 8,939,209 | ||||||
184,701 | Cyberonics, Inc.(b) | 9,702,343 | ||||||
447,387 | Endologix, Inc.(b) | 6,370,791 | ||||||
108,302 | ICU Medical, Inc.(b) | 6,598,841 | ||||||
384,434 | Insulet Corp.(b) | 8,157,689 | ||||||
173,052 | Volcano Corp.(b) | 4,085,758 | ||||||
|
|
|||||||
52,770,874 | ||||||||
|
|
|||||||
Health Care Providers & Services 3.0% | ||||||||
178,917 | Acadia Healthcare Co., Inc.(b) | 4,174,134 | ||||||
406,323 | Hanger Orthopedic Group, Inc.(b) | 11,116,997 | ||||||
338,200 | Team Health Holdings, Inc.(b) | 9,730,014 | ||||||
|
|
|||||||
25,021,145 | ||||||||
|
|
|||||||
Health Care Technology 1.5% | ||||||||
479,100 | MedAssets, Inc.(b) | 8,034,507 | ||||||
106,103 | Medidata Solutions, Inc.(b) | 4,158,177 | ||||||
|
|
|||||||
12,192,684 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 4.8% | ||||||||
176,466 | Life Time Fitness, Inc.(b) | 8,683,892 | ||||||
38,198 | Panera Bread Co., Class A(b) | 6,066,988 | ||||||
602,144 | SHFL entertainment, Inc.(b) | 8,731,088 | ||||||
433,004 | Texas Roadhouse, Inc. | 7,274,467 | ||||||
177,076 | Vail Resorts, Inc. | 9,578,041 | ||||||
|
|
|||||||
40,334,476 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Insurance 1.0% | ||||||||
293,393 | Amtrust Financial Services, Inc. | $ | 8,417,445 | |||||
|
|
|||||||
Internet & Catalog Retail 0.7% | ||||||||
251,731 | HomeAway, Inc.(b) | 5,538,082 | ||||||
|
|
|||||||
Internet Software & Services 3.9% | ||||||||
258,929 | Cornerstone OnDemand, Inc.(b) | 7,646,174 | ||||||
155,197 | CoStar Group, Inc.(b) | 13,869,956 | ||||||
382,074 | DealerTrack Holdings, Inc.(b) | 10,973,165 | ||||||
|
|
|||||||
32,489,295 | ||||||||
|
|
|||||||
IT Services 2.3% | ||||||||
285,188 | Heartland Payment Systems, Inc. | 8,413,046 | ||||||
457,660 | InterXion Holding NV(b) | 10,874,002 | ||||||
|
|
|||||||
19,287,048 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 1.1% | ||||||||
307,654 | PAREXEL International Corp.(b) | 9,103,482 | ||||||
|
|
|||||||
Machinery 5.0% | ||||||||
164,865 | Chart Industries, Inc.(b) | 10,991,550 | ||||||
258,883 | Manitowoc Co., Inc. (The) | 4,059,285 | ||||||
75,508 | Middleby Corp. (The)(b) | 9,680,881 | ||||||
183,439 | Proto Labs, Inc.(b) | 7,231,165 | ||||||
188,690 | RBC Bearings, Inc.(b) | 9,447,708 | ||||||
|
|
|||||||
41,410,589 | ||||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 3.9% | ||||||||
279,433 | Approach Resources, Inc.(b) | 6,988,619 | ||||||
208,610 | Gulfport Energy Corp.(b) | 7,973,074 | ||||||
291,647 | Oasis Petroleum, Inc.(b) | 9,274,375 | ||||||
183,390 | Rosetta Resources, Inc.(b) | 8,318,571 | ||||||
|
|
|||||||
32,554,639 | ||||||||
|
|
|||||||
Pharmaceuticals 0.7% | ||||||||
357,542 | Pacira Pharmaceuticals, Inc.(b) | 6,246,259 | ||||||
|
|
|||||||
Professional Services 5.1% | ||||||||
216,560 | Advisory Board Co. (The)(b) | 10,132,842 | ||||||
270,002 | Corporate Executive Board Co. (The) | 12,814,295 | ||||||
235,282 | Huron Consulting Group, Inc.(b) | 7,926,651 | ||||||
253,183 | On Assignment, Inc.(b) | 5,134,551 | ||||||
349,270 | WageWorks, Inc.(b) | 6,217,006 | ||||||
|
|
|||||||
42,225,345 | ||||||||
|
|
|||||||
Road & Rail 1.3% | ||||||||
137,481 | Genesee & Wyoming, Inc., Class A(b) | 10,459,554 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 5.6% | ||||||||
250,331 | Cavium, Inc.(b) | 7,812,831 | ||||||
186,504 | EZchip Semiconductor Ltd.(b) | 6,167,687 | ||||||
160,411 | Hittite Microwave Corp.(b) | 9,961,523 | ||||||
182,446 | Silicon Laboratories, Inc.(b) | 7,628,067 | ||||||
234,170 | Ultratech, Inc.(b) | 8,734,541 |
Shares |
Description |
Value () | ||||||
Common Stocks continued |
| |||||||
Semiconductors & Semiconductor Equipment continued | ||||||||
384,279 | Volterra Semiconductor Corp.(b) | $ | 6,598,071 | |||||
|
|
|||||||
46,902,720 | ||||||||
|
|
|||||||
Software 8.7% | ||||||||
350,336 | Allot Communications Ltd.(b) | 6,242,988 | ||||||
239,403 | Aspen Technology, Inc.(b) | 6,617,099 | ||||||
127,221 | CommVault Systems, Inc.(b) | 8,868,576 | ||||||
262,844 | Ellie Mae, Inc.(b) | 7,293,921 | ||||||
300,550 | Guidewire Software, Inc.(b) | 8,932,346 | ||||||
210,931 | Imperva, Inc.(b) | 6,650,654 | ||||||
331,590 | QLIK Technologies, Inc.(b) | 7,202,135 | ||||||
186,286 | Sourcefire, Inc.(b) | 8,796,425 | ||||||
126,274 | Ultimate Software Group, Inc. (The)(b) | 11,921,528 | ||||||
|
|
|||||||
72,525,672 | ||||||||
|
|
|||||||
Specialty Retail 6.6% | ||||||||
306,126 | Asbury Automotive Group, Inc.(b) | 9,805,216 | ||||||
174,145 | Cabelas, Inc.(b) | 7,270,554 | ||||||
428,807 | Chicos FAS, Inc. | 7,915,777 | ||||||
138,690 | Hibbett Sports, Inc.(b) | 7,308,963 | ||||||
118,589 | Lumber Liquidators Holdings, Inc.(b) | 6,265,057 | ||||||
256,100 | rue21, Inc.(b) | 7,270,679 | ||||||
166,054 | Vitamin Shoppe, Inc.(b) | 9,524,857 | ||||||
|
|
|||||||
55,361,103 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.9% | ||||||||
200,712 | Oxford Industries, Inc. | 9,305,008 | ||||||
296,430 | Tumi Holdings, Inc.(b) | 6,180,566 | ||||||
|
|
|||||||
15,485,574 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $722,503,589) | 809,380,949 | |||||||
|
|
|||||||
Principal Amount |
||||||||
Short-Term Investments 2.8% |
| |||||||
$23,005,539 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at
$23,095,552 on 1/02/2013 collateralized by $23,080,000 Federal Home Loan Mortgage Corp., 1.000% due 3/08/2017 valued at $23,469,209 including accrued interest(c) |
23,005,539 | ||||||
|
|
Total Investments 99.9% (Identified Cost $745,509,128)(a) | 832,386,488 | |||
Other assets less liabilities 0.1% | 1,059,096 | |||
|
|
|||
Net Assets 100.0% | $ | 833,445,584 | ||
|
|
() | 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $745,509,128 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 |
$ | 97,622,637 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(10,745,277 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 86,877,360 | ||
|
|
At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $16,260,177. This amount may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(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. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value: |
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 809,380,949 | $ | | $ | | $ | 809,380,949 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 23,005,539 | | 23,005,539 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 809,380,949 | $ | 23,005,539 | $ | | $ | 832,386,488 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Industry Summary at December 31, 2012 (Unaudited)
Software |
8.7 | % | ||
Specialty Retail |
6.6 | |||
Health Care Equipment & Supplies |
6.3 | |||
Biotechnology |
6.1 | |||
Semiconductors & Semiconductor Equipment |
5.6 | |||
Professional Services |
5.1 | |||
Machinery |
5.0 | |||
Hotels, Restaurants & Leisure |
4.8 | |||
Commercial Banks |
4.0 | |||
Oil, Gas & Consumable Fuels |
3.9 | |||
Internet Software & Services |
3.9 | |||
Energy Equipment & Services |
3.7 | |||
Electronic Equipment, Instruments & Components |
3.1 | |||
Health Care Providers & Services |
3.0 | |||
Aerospace & Defense |
2.6 | |||
Capital Markets |
2.5 | |||
IT Services |
2.3 | |||
Communications Equipment |
2.1 | |||
Other Investments, less than 2% each |
17.8 | |||
Short-Term Investments |
2.8 | |||
|
|
|||
Total Investments |
99.9 | |||
Other assets less liabilities |
0.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal |
Description |
Value () | ||||||
Bonds and Notes 74.2% of Net Assets |
| |||||||
Non-Convertible Bonds 65.8% |
| |||||||
ABS Car Loan 0.0% | ||||||||
$ | 4,093,750 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A | $ | 4,468,357 | ||||
|
|
|||||||
ABS Home Equity 0.0% | ||||||||
4,488,733 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.698%, 4/25/2035(b) | 4,535,075 | ||||||
|
|
|||||||
Aerospace & Defense 0.4% | ||||||||
620,000 | Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD) | 652,100 | ||||||
11,800,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A | 12,006,500 | ||||||
2,425,000 | Ducommun, Inc., 9.750%, 7/15/2018 | 2,606,875 | ||||||
8,236,000 | Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A | 8,259,885 | ||||||
5,436,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A | 4,689,496 | ||||||
20,755,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A | 19,279,340 | ||||||
5,310,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A | 4,619,700 | ||||||
|
|
|||||||
52,113,896 | ||||||||
|
|
|||||||
Airlines 2.6% | ||||||||
35,455,000 | Air Canada, 10.125%, 8/01/2015, 144A, (CAD) | 37,247,889 | ||||||
3,280,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 | 3,427,600 | ||||||
21,015,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018, 144A | 21,172,612 | ||||||
27,379 | Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015 | 27,242 | ||||||
1,116,353 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 | 1,149,844 | ||||||
1,777,301 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 | 1,803,960 | ||||||
1,992,872 | Continental Airlines Pass Through Trust, Series 1998-1, Class B, 6.748%, 9/15/2018 | 2,094,908 | ||||||
3,297,567 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 | 3,433,427 | ||||||
2,231,607 | Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021 | 2,320,871 | ||||||
1,263,891 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 | 1,431,357 | ||||||
1,454,412 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 | 1,643,486 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
| |||||||
Airlines continued | ||||||||
$ | 2,473,631 | Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019 | $ | 2,634,417 | ||||
1,844,668 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 | 1,990,046 | ||||||
1,063,631 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 | 1,130,108 | ||||||
10,659,062 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 | 11,870,997 | ||||||
18,547,049 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 | 19,978,881 | ||||||
17,148,751 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 | 19,849,680 | ||||||
15,274,403 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 | 17,641,936 | ||||||
3,980,000 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/22/2021 | 4,218,800 | ||||||
1,285,967 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 | 1,435,397 | ||||||
6,417,317 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 | 7,018,620 | ||||||
20,642,922 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 | 21,390,196 | ||||||
1,864,802 | Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023 | 1,976,691 | ||||||
1,500,000 | Qantas Airways Ltd., 5.125%, 6/20/2013, 144A | 1,531,114 | ||||||
8,740,000 | Qantas Airways Ltd., 6.050%, 4/15/2016, 144A | 9,261,804 | ||||||
17,663,390 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 | 18,988,144 | ||||||
7,200,022 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 | 8,288,666 | ||||||
15,676,983 | US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018 | 16,382,448 | ||||||
36,898,577 | US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A | 39,112,491 | ||||||
49,191,763 | US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020 | 52,204,758 | ||||||
18,190,209 | US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014 | 18,917,817 | ||||||
14,095,000 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 | 15,363,550 | ||||||
7,280,000 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 | 7,771,400 | ||||||
5,680,000 | US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015 | 5,857,500 | ||||||
|
|
|||||||
380,568,657 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
| |||||||
Non-Convertible Bonds continued |
||||||||
Automotive 0.9% | ||||||||
$ | 265,000 | ArvinMeritor, Inc., 8.125%, 9/15/2015 | $ | 278,913 | ||||
3,800,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021 | 4,180,000 | ||||||
19,011,000 | Ford Motor Co., 6.375%, 2/01/2029 | 21,260,134 | ||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 | 1,363,034 | ||||||
74,829,000 | Ford Motor Co., 6.625%, 10/01/2028 | 86,417,019 | ||||||
2,365,000 | Ford Motor Co., 7.125%, 11/15/2025 | 2,731,575 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 | 1,597,188 | ||||||
6,000,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 | 6,435,000 | ||||||
4,977,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 | 5,014,327 | ||||||
|
|
|||||||
129,277,190 | ||||||||
|
|
|||||||
Banking 6.9% | ||||||||
1,175,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A | 1,593,506 | ||||||
20,565,000 | Associates Corp. of North America, 6.950%, 11/01/2018 | 24,772,599 | ||||||
900,000 | Bank of America Corp., 5.490%, 3/15/2019 | 999,736 | ||||||
265,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 | 302,538 | ||||||
1,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) | 1,059,449 | ||||||
1,500,000 | Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049 | 1,659,120 | ||||||
1,130,000 | Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP) | 1,551,106 | ||||||
39,890,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) | 38,221,668 | ||||||
7,320,000 | Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR) | 7,367,305 | ||||||
57,792,000,000 | Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW) | 55,423,531 | ||||||
1,600,000 | BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR) | 1,993,466 | ||||||
5,331,000 | BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A | 5,144,415 | ||||||
4,000,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) | 3,876,948 | ||||||
350,000 | Citigroup, Inc., 5.850%, 12/11/2034 | 410,351 | ||||||
24,610,000 | Citigroup, Inc., 5.875%, 2/22/2033 | 26,082,441 | ||||||
8,999,000 | Citigroup, Inc., 6.000%, 10/31/2033 | 9,699,032 | ||||||
6,060,000 | Citigroup, Inc., 6.125%, 8/25/2036 | 6,604,655 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Banking continued | ||||||||
22,091,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) | $ | 19,336,371 | |||||
3,350,000 | Citigroup, Inc., EMTN, 1.458%, 11/30/2017, (EUR)(b) | 4,155,570 | ||||||
3,035,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017 | 3,260,458 | ||||||
17,730,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022 | 19,079,679 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 | 438,734 | ||||||
34,060,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 | 38,601,118 | ||||||
29,215,000 | HBOS PLC, 6.000%, 11/01/2033, 144A | 26,400,719 | ||||||
50,604,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A | 54,462,555 | ||||||
9,090,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A | 9,169,538 | ||||||
260,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) | 27,037,302 | ||||||
227,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) | 25,063,626 | ||||||
11,700,000 | Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A | 8,892,000 | ||||||
27,555,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A | 30,447,448 | ||||||
3,010,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 | 3,303,475 | ||||||
1,900,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 | 2,091,628 | ||||||
6,700,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 | 7,313,385 | ||||||
51,500,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) | 27,982,295 | ||||||
3,450,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) | 4,795,912 | ||||||
800,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 | 873,629 | ||||||
1,235,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 | 1,450,328 | ||||||
2,000,000 | Morgan Stanley, 0.820%, 10/15/2015(b) | 1,937,932 | ||||||
72,970,000 | Morgan Stanley, 4.875%, 11/01/2022 | 75,552,700 | ||||||
74,310,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) | 66,115,603 | ||||||
100,265,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) | 115,059,016 | ||||||
950,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) | 1,700,530 | ||||||
1,000,000 | Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR) | 1,418,369 | ||||||
79,700,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) | 89,174,624 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Banking continued | ||||||||
$ | 10,000,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 | $ | 11,736,120 | ||||
6,600,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 | 7,464,468 | ||||||
7,900,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 | 9,310,743 | ||||||
12,100,000 | Morgan Stanley, Series F, MTN, 0.775%, 10/18/2016(b) | 11,502,684 | ||||||
5,210,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 | 5,899,825 | ||||||
4,100,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) | 7,125,603 | ||||||
2,850,000 | RBS Capital Trust A, 2.285%, 12/29/2049, (EUR)(b) | 2,612,235 | ||||||
1,905,000 | RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR) |
1,750,096 | ||||||
6,290,000 | RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049 | 4,874,750 | ||||||
4,050,000 | RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049 | 3,523,500 | ||||||
2,085,000 | RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049 | 1,636,725 | ||||||
930,000 | Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR) | 906,549 | ||||||
15,100,000 | Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR) | 15,227,480 | ||||||
17,700,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 | 18,682,031 | ||||||
1,990,000 | Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049 | 1,791,000 | ||||||
850,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) | 1,149,237 | ||||||
7,750,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) | 11,545,485 | ||||||
2,150,000 | Royal Bank of Scotland PLC (The), EMTN, (fixed rate to 9/22/2016, variable rate thereafter), 4.625%, 9/22/2021, (EUR) | 2,681,705 | ||||||
700,000 | Santander Financial Issuances Ltd., 7.250%, 11/01/2015 | 728,000 | ||||||
1,300,000 | Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR) | 1,754,853 | ||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A | 1,845,000 | ||||||
1,500,000 | Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A | 1,517,229 | ||||||
4,140,000 | SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR) | 5,219,236 | ||||||
12,705,000 | Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 4/29/2049, 144A | 11,688,727 | ||||||
8,750,000 | Societe Generale S.A., (fixed rate to 5/22/2013, variable rate thereafter), 7.756%, 5/29/2049, (EUR) | 11,028,661 | ||||||
|
|
|||||||
1,005,078,352 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Brokerage 0.7% | ||||||||
$ | 2,655,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A | $ | 2,689,088 | ||||
13,425,000 | Jefferies Group, Inc., 5.125%, 4/13/2018 | 14,096,250 | ||||||
20,010,000 | Jefferies Group, Inc., 6.250%, 1/15/2036 | 20,710,350 | ||||||
15,215,000 | Jefferies Group, Inc., 6.450%, 6/08/2027 | 16,203,975 | ||||||
39,040,000 | Jefferies Group, Inc., 6.875%, 4/15/2021 | 43,724,800 | ||||||
|
|
|||||||
97,424,463 | ||||||||
|
|
|||||||
Building Materials 0.8% | ||||||||
6,995,000 | Masco Corp., 6.500%, 8/15/2032 | 7,235,516 | ||||||
5,510,000 | Masco Corp., 7.125%, 3/15/2020 | 6,410,505 | ||||||
2,630,000 | Masco Corp., 7.750%, 8/01/2029 | 2,925,075 | ||||||
35,980,000 | Owens Corning, Inc., 7.000%, 12/01/2036 | 39,810,647 | ||||||
46,412,000 | USG Corp., 6.300%, 11/15/2016 | 48,036,420 | ||||||
14,155,000 | USG Corp., 9.750%, 1/15/2018 | 16,030,538 | ||||||
|
|
|||||||
120,448,701 | ||||||||
|
|
|||||||
Chemicals 0.4% | ||||||||
20,070,000 | Hercules, Inc., 6.500%, 6/30/2029 | 18,063,000 | ||||||
5,200,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 | 5,343,000 | ||||||
23,584,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c) | 18,631,360 | ||||||
8,020,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c) | 7,458,600 | ||||||
8,757,000 | Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c) | 7,793,730 | ||||||
4,200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A | 4,294,500 | ||||||
|
|
|||||||
61,584,190 | ||||||||
|
|
|||||||
Commercial Mortgage-Backed Securities 0.2% | ||||||||
35,060,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.789%, 8/10/2045(b) | 33,938,746 | ||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
1,425,000 | Joy Global, Inc., 6.625%, 11/15/2036 | 1,631,530 | ||||||
525,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 | 581,437 | ||||||
13,630,000 | UR Financing Escrow Corp., 7.625%, 4/15/2022, 144A | 15,231,525 | ||||||
|
|
|||||||
17,444,492 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Consumer Cyclical Services 0.1% | ||||||||
$ | 670,000 | ServiceMaster Co. (The), 7.100%, 3/01/2018 | $ | 636,500 | ||||
5,500,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 | 4,455,000 | ||||||
1,048,000 | Western Union Co. (The), 6.200%, 6/21/2040 | 1,065,508 | ||||||
|
|
|||||||
6,157,008 | ||||||||
|
|
|||||||
Electric 2.5% | ||||||||
7,559,326 | AES Ironwood LLC, 8.857%, 11/30/2025 | 8,863,310 | ||||||
823,987 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 | 898,146 | ||||||
46,351,759 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A | 49,879,128 | ||||||
66,044,844 | Bruce Mansfield Unit, 6.850%, 6/01/2034 | 68,818,727 | ||||||
2,597,683 | CE Generation LLC, 7.416%, 12/15/2018 | 2,682,108 | ||||||
28,105,000 | Edison Mission Energy, 7.625%, 5/15/2027(d) | 14,895,650 | ||||||
42,200,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A | 41,811,127 | ||||||
14,800,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A | 15,517,622 | ||||||
2,800,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) | 3,805,814 | ||||||
500,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) | 681,794 | ||||||
100,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) | 139,908 | ||||||
250,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 | 259,585 | ||||||
3,570,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 | 4,347,289 | ||||||
13,642,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A | 13,210,190 | ||||||
1,435,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A | 1,498,858 | ||||||
2,732,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) | 4,041,227 | ||||||
5,940,000 | Energy Future Holdings Corp., 10.000%, 1/15/2020 | 6,637,950 | ||||||
101,073,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A | 96,524,715 | ||||||
555,000 | Enersis S.A., Cayman Islands, 7.400%, 12/01/2016 | 653,534 | ||||||
16,670,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A | 13,044,275 | ||||||
7,300,000 | White Pine Hydro LLC, 6.310%, 7/10/2017(c) | 7,256,163 | ||||||
10,935,000 | White Pine Hydro LLC, 6.960%, 7/10/2037(c) | 10,524,128 | ||||||
|
|
|||||||
365,991,248 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Financial Other 0.3% | ||||||||
$ | 19,005,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A | $ | 19,645,468 | ||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A | 27,855,740 | ||||||
|
|
|||||||
47,501,208 | ||||||||
|
|
|||||||
Food & Beverage 0.0% | ||||||||
4,370,000 | Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD) | 4,843,157 | ||||||
|
|
|||||||
Gaming 0.1% | ||||||||
840,000 | MGM Resorts International, 7.625%, 1/15/2017 | 898,800 | ||||||
13,715,000 | MGM Resorts International, 8.625%, 2/01/2019, 144A | 15,292,225 | ||||||
|
|
|||||||
16,191,025 | ||||||||
|
|
|||||||
Government Guaranteed 0.5% | ||||||||
72,695,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) | 68,979,593 | ||||||
|
|
|||||||
Government Owned No Guarantee 0.6% | ||||||||
19,500,000 | DP World Ltd., 6.850%, 7/02/2037, 144A | 22,839,375 | ||||||
70,300,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) | 7,361,532 | ||||||
499,300,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) | 53,160,231 | ||||||
8,935,000 | Petroleos de Venezuela S.A., 5.375%, 4/12/2027 | 6,254,500 | ||||||
|
|
|||||||
89,615,638 | ||||||||
|
|
|||||||
Government Sponsored 0.1% | ||||||||
1,000,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) | 982,988 | ||||||
10,807,000 | Eksportfinans ASA, 2.000%, 9/15/2015 | 10,344,093 | ||||||
9,005,000 | Eksportfinans ASA, 2.375%, 5/25/2016 | 8,590,806 | ||||||
|
|
|||||||
19,917,887 | ||||||||
|
|
|||||||
Healthcare 2.3% | ||||||||
2,795,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 | 2,864,875 | ||||||
9,960,000 | HCA, Inc., 5.875%, 3/15/2022 | 10,831,500 | ||||||
108,560,000 | HCA, Inc., 5.875%, 5/01/2023 | 112,359,600 | ||||||
14,620,000 | HCA, Inc., 7.050%, 12/01/2027 | 14,071,750 | ||||||
11,104,000 | HCA, Inc., 7.190%, 11/15/2015 | 12,214,400 | ||||||
20,447,000 | HCA, Inc., 7.500%, 12/15/2023 | 20,907,057 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Healthcare continued | ||||||||
$ | 24,215,000 | HCA, Inc., 7.500%, 11/06/2033 | $ | 24,336,075 | ||||
46,148,000 | HCA, Inc., 7.690%, 6/15/2025 | 47,186,330 | ||||||
32,745,000 | HCA, Inc., 8.360%, 4/15/2024 | 35,282,737 | ||||||
15,815,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 | 16,012,688 | ||||||
9,492,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 | 9,658,110 | ||||||
32,559,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 | 29,303,100 | ||||||
|
|
|||||||
335,028,222 | ||||||||
|
|
|||||||
Home Construction 0.8% | ||||||||
11,265,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015 | 11,405,813 | ||||||
13,360,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 | 11,356,000 | ||||||
16,075,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 | 15,673,125 | ||||||
6,290,000 | K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 | 6,132,750 | ||||||
11,315,000 | KB Home, 7.250%, 6/15/2018 | 12,305,062 | ||||||
47,260,000 | Pulte Group, Inc., 6.000%, 2/15/2035 | 43,951,800 | ||||||
13,190,000 | Pulte Group, Inc., 6.375%, 5/15/2033 | 13,157,025 | ||||||
|
|
|||||||
113,981,575 | ||||||||
|
|
|||||||
Independent Energy 0.3% | ||||||||
1,150,000 | Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR) | 1,616,610 | ||||||
1,375,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 | 1,474,688 | ||||||
1,040,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 | 1,127,100 | ||||||
21,470,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A | 14,599,600 | ||||||
12,635,000 | QEP Resources, Inc., 6.875%, 3/01/2021 | 14,561,837 | ||||||
2,780,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 | 2,974,600 | ||||||
|
|
|||||||
36,354,435 | ||||||||
|
|
|||||||
Industrial Other 0.1% | ||||||||
10,000,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 | 11,029,750 | ||||||
|
|
|||||||
Life Insurance 1.3% | ||||||||
34,562,000 | American International Group, Inc., 6.250%, 3/15/2087 | 36,894,935 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Life Insurance continued | ||||||||
$ | 27,655,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
$ | 36,020,638 | ||||
19,625,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 | 23,200,616 | ||||||
2,855,000 | American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD) | 2,960,279 | ||||||
23,200,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A | 22,736,000 | ||||||
1,000,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP) | 1,559,355 | ||||||
1,350,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) | 1,860,611 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A | 18,143,235 | ||||||
1,475,000 | MetLife Capital Trust X, 9.250%, 4/08/2068, 144A | 2,035,500 | ||||||
15,930,000 | MetLife, Inc., 6.400%, 12/15/2066 | 17,032,770 | ||||||
8,145,000 | MetLife, Inc., 10.750%, 8/01/2069 | 12,298,950 | ||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A | 9,478,651 | ||||||
3,910,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A | 4,364,072 | ||||||
|
|
|||||||
188,585,612 | ||||||||
|
|
|||||||
Local Authorities 1.5% | ||||||||
8,095,000 | City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR) | 8,586,222 | ||||||
3,905,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) | 3,467,716 | ||||||
82,840,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) | 96,141,211 | ||||||
66,305,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) | 74,941,408 | ||||||
26,730,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) | 29,176,958 | ||||||
|
|
|||||||
212,313,515 | ||||||||
|
|
|||||||
Media Cable 0.6% | ||||||||
25,270,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) | 28,515,952 | ||||||
44,800,000 | UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR) | 60,316,471 | ||||||
|
|
|||||||
88,832,423 | ||||||||
|
|
|||||||
Media Non-Cable 0.6% | ||||||||
4,795,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 | 4,471,337 | ||||||
64,250,000 | Clear Channel Communications, Inc., 9.000%, 3/01/2021 | 57,343,125 | ||||||
28,455,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 | 28,739,550 | ||||||
|
|
|||||||
90,554,012 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
| |||||||||
Non-Convertible Bonds continued |
| |||||||||
Metals & Mining 0.6% | ||||||||||
$ | 3,949,000 | Alcoa, Inc., 5.870%, 2/23/2022 | $ | 4,259,585 | ||||||
1,405,000 | Alcoa, Inc., 5.950%, 2/01/2037 | 1,357,203 | ||||||||
4,330,000 | Alcoa, Inc., 6.750%, 1/15/2028 | 4,682,596 | ||||||||
25,271,000 | ArcelorMittal, 7.250%, 3/01/2041 | 23,438,853 | ||||||||
18,750,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A | 12,843,750 | ||||||||
16,135,000 | Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD) | 16,543,606 | ||||||||
7,000,000 | United States Steel Corp., 6.050%, 6/01/2017 | 7,332,500 | ||||||||
6,779,000 | United States Steel Corp., 6.650%, 6/01/2037 | 5,897,730 | ||||||||
16,435,000 | United States Steel Corp., 7.000%, 2/01/2018 | 17,544,363 | ||||||||
|
|
|||||||||
93,900,186 | ||||||||||
|
|
|||||||||
Non-Captive Consumer 4.3% | ||||||||||
63,088,000 | Residential Capital LLC, 9.625%, 5/15/2015(d) | 66,321,260 | ||||||||
109,950 | () | SLM Corp., 6.000%, 12/15/2043 | 2,621,941 | |||||||
7,515,000 | SLM Corp., MTN, 4.625%, 9/25/2017 | 7,693,489 | ||||||||
13,455,000 | SLM Corp., MTN, 5.050%, 11/14/2014 | 14,123,162 | ||||||||
17,600,000 | SLM Corp., MTN, 7.250%, 1/25/2022 | 19,404,000 | ||||||||
2,160,000 | SLM Corp., MTN, 8.000%, 3/25/2020 | 2,467,800 | ||||||||
3,750,000 | SLM Corp., Series A, MTN, 0.615%, 1/27/2014(b) | 3,714,791 | ||||||||
41,770,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 | 44,030,467 | ||||||||
14,465,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 | 14,519,909 | ||||||||
50,910,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 | 47,219,025 | ||||||||
95,060,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 | 111,220,200 | ||||||||
26,150,000 | Springleaf Finance Corp., 3.250%, 1/16/2013, (EUR) | 34,505,392 | ||||||||
10,120,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 | 9,158,600 | ||||||||
14,232,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 | 13,449,240 | ||||||||
14,430,000 | Springleaf Finance Corp., Series I, MTN, 5.850%, 6/01/2013 | 14,664,487 | ||||||||
800,000 | Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017 | 708,000 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Non-Captive Consumer continued | ||||||||
$ | 248,290,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 | $ | 222,219,550 | ||||
|
|
|||||||
628,041,313 | ||||||||
|
|
|||||||
Non-Captive Diversified 4.6% | ||||||||
7,855,000 | Aircastle Ltd., 7.625%, 4/15/2020 | 8,777,963 | ||||||
32,711,000 | Ally Financial, Inc., 8.000%, 12/31/2018 | 38,271,870 | ||||||
29,332,000 | Ally Financial, Inc., 8.000%, 11/01/2031 | 37,141,645 | ||||||
25,320,000 | General Electric Capital Corp., Series A, EMTN, 5.500%, 2/01/2017, (NZD) | 21,995,796 | ||||||
79,035,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) | 71,446,499 | ||||||
58,490,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) | 51,849,245 | ||||||
15,305,000 | General Electric Capital Corp., Series A, MTN, 0.640%, 5/13/2024(b) | 13,394,385 | ||||||
245,797,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) | 216,707,036 | ||||||
2,665,000 | International Lease Finance Corp., 5.875%, 4/01/2019 | 2,808,907 | ||||||
24,750,000 | International Lease Finance Corp., 5.875%, 8/15/2022 | 26,215,497 | ||||||
1,995,000 | International Lease Finance Corp., 6.250%, 5/15/2019 | 2,124,675 | ||||||
20,610,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A | 23,907,600 | ||||||
10,245,000 | International Lease Finance Corp., 8.250%, 12/15/2020 | 12,217,163 | ||||||
2,620,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 | 2,685,500 | ||||||
2,547,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 | 2,650,459 | ||||||
23,175,000 | iStar Financial, Inc., 5.850%, 3/15/2017 | 22,711,500 | ||||||
20,478,000 | iStar Financial, Inc., 5.875%, 3/15/2016 | 20,478,000 | ||||||
8,300,000 | iStar Financial, Inc., 6.050%, 4/15/2015 | 8,341,500 | ||||||
19,240,000 | iStar Financial, Inc., 7.125%, 2/15/2018 | 19,600,750 | ||||||
6,778,000 | iStar Financial, Inc., 8.625%, 6/01/2013 | 6,955,923 | ||||||
2,920,000 | iStar Financial, Inc., Series B, 5.700%, 3/01/2014 | 2,985,700 | ||||||
44,610,000 | iStar Financial, Inc., Series B, 5.950%, 10/15/2013 | 45,557,962 | ||||||
19,915,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A | 20,462,662 | ||||||
|
|
|||||||
679,288,237 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Oil Field Services 0.4% | ||||||||
$ | 41,550,000 | Edgen Murray Corp., 8.750%, 11/01/2020, 144A | $ | 41,965,500 | ||||
7,275,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 | 8,982,930 | ||||||
|
|
|||||||
50,948,430 | ||||||||
|
|
|||||||
Paper 1.0% | ||||||||
14,715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 | 19,266,453 | ||||||
1,160,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 | 1,580,594 | ||||||
47,875,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 | 65,472,366 | ||||||
775,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 | 1,162,029 | ||||||
14,520,000 | Westvaco Corp., 7.950%, 2/15/2031 | 18,976,507 | ||||||
25,210,000 | Westvaco Corp., 8.200%, 1/15/2030 | 33,262,906 | ||||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 | 3,290,844 | ||||||
|
|
|||||||
143,011,699 | ||||||||
|
|
|||||||
Pharmaceuticals 0.4% | ||||||||
11,225,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A | 12,038,813 | ||||||
43,165,000 | VPI Escrow Corp., 6.375%, 10/15/2020, 144A | 46,294,462 | ||||||
|
|
|||||||
58,333,275 | ||||||||
|
|
|||||||
Pipelines 1.1% | ||||||||
750,000 | El Paso Corp., GMTN, 7.800%, 8/01/2031 | 874,464 | ||||||
9,115,000 | Energy Transfer Partners LP, 6.625%, 10/15/2036 | 10,703,043 | ||||||
8,935,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A | 9,874,533 | ||||||
40,591,980 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) | 42,690,585 | ||||||
81,710,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A | 89,063,900 | ||||||
3,870,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A | 4,063,500 | ||||||
3,065,000 | Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A | 2,758,500 | ||||||
4,168,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A | 3,459,440 | ||||||
|
|
|||||||
163,487,965 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.3% | ||||||||
14,855,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 | 16,654,743 | ||||||
3,405,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 | 4,036,518 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Property & Casualty Insurance continued | ||||||||
$ | 12,510,000 | MBIA Insurance Corp., (fixed rate to 1/15/2013, variable rate thereafter), 14.000%, 1/15/2033, 144A |
$ | 2,126,700 | ||||
2,275,000 | Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A | 2,289,287 | ||||||
11,200,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A | 12,232,192 | ||||||
3,000,000 | White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A |
3,095,940 | ||||||
1,425,000 | XL Group PLC, 6.375%, 11/15/2024 | 1,712,823 | ||||||
|
|
|||||||
42,148,203 | ||||||||
|
|
|||||||
Railroads 0.0% | ||||||||
1,153,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) | 991,580 | ||||||
|
|
|||||||
Restaurants 0.0% | ||||||||
4,880,000 | Shearers Foods LLC/ Chip Finance Corp., 9.000%, 11/01/2019, 144A | 5,124,000 | ||||||
|
|
|||||||
Retailers 0.8% | ||||||||
2,500,000 | Dillards, Inc., 6.625%, 1/15/2018 | 2,706,250 | ||||||
3,325,000 | Dillards, Inc., 7.000%, 12/01/2028 | 3,349,937 | ||||||
4,187,000 | Dillards, Inc., 7.130%, 8/01/2018 | 4,668,505 | ||||||
1,500,000 | Dillards, Inc., 7.750%, 7/15/2026 | 1,578,750 | ||||||
425,000 | Dillards, Inc., 7.875%, 1/01/2023 | 465,375 | ||||||
10,270,000 | Foot Locker, Inc., 8.500%, 1/15/2022 | 11,532,696 | ||||||
3,685,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 | 3,242,800 | ||||||
37,064,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 | 27,798,000 | ||||||
635,000 | J.C. Penney Corp., Inc., 7.125%, 11/15/2023 | 547,688 | ||||||
160,000 | J.C. Penney Corp., Inc., 7.400%, 4/01/2037 | 133,600 | ||||||
3,985,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 | 3,128,225 | ||||||
12,275,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 | 14,039,335 | ||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A | 7,042,548 | ||||||
37,646,000 | Toys R Us, Inc., 7.375%, 10/15/2018 | 34,257,860 | ||||||
|
|
|||||||
114,491,569 | ||||||||
|
|
|||||||
Sovereigns 2.0% | ||||||||
47,935,000 | Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF) | 42,473,769 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Sovereigns continued | ||||||||
64,132,000,000 | Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR) | $ | 9,043,846 | |||||
10,000,000,000 | Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR) | 1,445,705 | ||||||
166,250,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) | 98,856,838 | ||||||
56,700,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) | 36,484,615 | ||||||
49,120,000 | Republic of Brazil, 12.500%, 1/05/2016, (BRL) | 29,567,961 | ||||||
18,400,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A | 21,091,000 | ||||||
5,226,139,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) | 29,656,785 | ||||||
3,178,700,000 | Republic of Iceland, 7.250%, 5/17/2013, (ISK) | 17,407,249 | ||||||
1,715,823,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) | 10,536,776 | ||||||
|
|
|||||||
296,564,544 | ||||||||
|
|
|||||||
Supermarkets 0.5% | ||||||||
8,336,000 | American Stores Co., 7.900%, 5/01/2017 | 7,898,360 | ||||||
73,686,000 | New Albertsons, Inc., 7.450%, 8/01/2029 | 41,264,160 | ||||||
20,250,000 | New Albertsons, Inc., 7.750%, 6/15/2026 | 11,390,625 | ||||||
10,950,000 | New Albertsons, Inc., 8.000%, 5/01/2031 | 6,159,375 | ||||||
3,425,000 | New Albertsons, Inc., 8.700%, 5/01/2030 | 1,986,500 | ||||||
13,707,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 | 7,298,977 | ||||||
|
|
|||||||
75,997,997 | ||||||||
|
|
|||||||
Supranational 2.1% | ||||||||
250,500,000,000 | European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR) | 27,900,047 | ||||||
128,560,000 | European Bank for Reconstruction & Development, GMTN, 9.000%, 4/28/2014, (BRL) | 65,306,596 | ||||||
16,375,000 | European Investment Bank, 11.250%, 2/14/2013, (BRL) | 8,035,946 | ||||||
460,500,000,000 | European Investment Bank, EMTN, Zero Coupon, 4/24/2013, 144A, (IDR) | 47,137,043 | ||||||
60,665,000 | European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD) | 66,894,450 | ||||||
244,840,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 5/20/2013, (IDR) | 24,962,883 | ||||||
24,450,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) | 22,490,170 | ||||||
8,300,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) | 6,832,995 | ||||||
72,900,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) | 34,767,692 | ||||||
|
|
|||||||
304,327,822 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Technology 1.0% | ||||||||
832,000 | Alcatel-Lucent, EMTN, 6.375%, 4/07/2014, (EUR) | $ | 1,125,654 | |||||
31,237,000 | Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR) | 42,674,398 | ||||||
79,074,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 | 60,096,240 | ||||||
5,845,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 | 4,398,362 | ||||||
34,955,000 | Amkor Technology, Inc., 6.375%, 10/01/2022, 144A | 34,430,675 | ||||||
31,000 | Freescale Semiconductor, Inc., 8.875%, 12/15/2014 | 31,271 | ||||||
475,000 | Motorola Solutions, Inc., 6.000%, 11/15/2017 | 561,555 | ||||||
2,562,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 | 2,940,694 | ||||||
225,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A | 290,761 | ||||||
3,615,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A | 3,696,338 | ||||||
|
|
|||||||
150,245,948 | ||||||||
|
|
|||||||
Textile 0.0% | ||||||||
2,595,000 | Jones Group, Inc. (The), 6.125%, 11/15/2034 | 2,231,700 | ||||||
3,450,000 | Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 |
3,588,000 | ||||||
|
|
|||||||
5,819,700 | ||||||||
|
|
|||||||
Tobacco 0.0% | ||||||||
3,015,000 | Reynolds American, Inc., 7.250%, 6/15/2037 | 3,953,663 | ||||||
|
|
|||||||
Transportation Services 0.3% | ||||||||
10,503,000 | APL Ltd., 8.000%, 1/15/2024(c) | 9,715,275 | ||||||
7,116,499 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 | 6,689,509 | ||||||
6,862,758 | Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(e)(f) | 6,382,365 | ||||||
5,994,406 | Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020 | 5,994,406 | ||||||
6,267,285 | Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016 | 5,452,538 | ||||||
4,744,556 | Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(e)(f) | 3,653,308 | ||||||
2,815,458 | Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017 | 2,730,994 | ||||||
3,970,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A | 5,041,221 | ||||||
|
|
|||||||
45,659,616 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries 17.2% | ||||||||||
272,755,000 | Canadian Government, 2.250%, 8/01/2014, (CAD) | $ | 278,987,755 | |||||||
201,485,000 | Canadian Government, 2.500%, 6/01/2015, (CAD) | 208,973,590 | ||||||||
89,045,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) | 93,989,159 | ||||||||
80,216,000 | Canadian Government, 3.500%, 6/01/2013, (CAD) | 81,459,521 | ||||||||
171,980,000 | Canadian Government, 3.750%, 6/01/2019, (CAD) | 196,012,593 | ||||||||
25,445,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) | 29,316,620 | ||||||||
118,375,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) | 162,486,642 | ||||||||
80,820,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) | 106,675,436 | ||||||||
24,400,000 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) | 33,024,981 | ||||||||
121,560,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) | 163,084,170 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) | 1,899,053 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) | 1,961,929 | ||||||||
1,435,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) | 2,060,426 | ||||||||
16,739,481 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) | 156,647,137 | |||||||
22,670,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) | 21,373,986 | ||||||||
53,301,000 | New Zealand Government Bond, 6.500%, 4/15/2013, (NZD) | 44,543,918 | ||||||||
457,420,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) | 91,679,799 | ||||||||
221,050,000 | Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) | 42,983,312 | ||||||||
1,520,540,000 | Norwegian Government Bond, 6.500%, 5/15/2013, (NOK) | 278,230,298 | ||||||||
21,120,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) | 22,684,394 | ||||||||
1,995,000 | Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR) | 1,740,929 | ||||||||
6,225,000 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) | 7,292,316 | ||||||||
14,475,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) | 16,166,785 | ||||||||
65,300,000 | Singapore Government Bond, 1.375%, 10/01/2014, (SGD) | 54,494,802 | ||||||||
419,985,000 | U.S. Treasury Note, 0.250%, 6/30/2014 | 420,149,214 | ||||||||
|
|
|||||||||
2,517,918,765 | ||||||||||
|
|
|||||||||
Wireless 0.7% | ||||||||||
293,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) | 23,266,575 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Wireless continued | ||||||||
$ | 31,041,000 | Sprint Capital Corp., 6.875%, 11/15/2028 | $ | 32,282,640 | ||||
29,252,000 | Sprint Capital Corp., 6.900%, 5/01/2019 | 31,884,680 | ||||||
6,260,000 | Sprint Capital Corp., 8.750%, 3/15/2032 | 7,652,850 | ||||||
11,309,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 | 12,298,538 | ||||||
|
|
|||||||
107,385,283 | ||||||||
|
|
|||||||
Wirelines 3.8% | ||||||||
3,265,000 | AT&T, Inc., 4.300%, 12/15/2042, 144A | 3,279,213 | ||||||
5,650,000 | Axtel SAB de CV, 9.000%, 9/22/2019, 144A | 2,994,500 | ||||||
4,370,000 | Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD) | 5,451,802 | ||||||
21,480,000 | Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD) | 26,190,398 | ||||||
72,320,000 | CenturyLink, Inc., 6.450%, 6/15/2021 | 79,913,528 | ||||||
765,000 | CenturyLink, Inc., 7.650%, 3/15/2042 | 799,509 | ||||||
7,410,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 | 7,656,546 | ||||||
2,965,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 | 3,077,676 | ||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 | 339,500 | ||||||
5,330,000 | Embarq Corp., 7.995%, 6/01/2036 | 5,887,097 | ||||||
38,336,000 | Frontier Communications Corp., 7.875%, 1/15/2027 | 38,911,040 | ||||||
1,120,000 | Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP) | 2,012,162 | ||||||
1,800,000 | Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR) | 2,525,831 | ||||||
28,505,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020, 144A | 29,787,725 | ||||||
5,965,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 | 6,621,150 | ||||||
2,555,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 | 2,855,213 | ||||||
500,000 | OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR) | 583,022 | ||||||
16,550,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) | 19,748,922 | ||||||
29,750,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) | 39,408,332 | ||||||
750,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) | 1,045,698 | ||||||
800,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) | 1,070,786 | ||||||
16,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 | 18,527,386 |
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Non-Convertible Bonds continued |
||||||||
Wirelines continued | ||||||||
$ | 42,460,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 | $ | 43,276,039 | ||||
12,463,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 | 13,659,947 | ||||||
32,395,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 | 33,929,875 | ||||||
31,060,000 | Qwest Corp., 6.875%, 9/15/2033 | 31,215,300 | ||||||
3,075,000 | Qwest Corp., 7.200%, 11/10/2026 | 3,091,912 | ||||||
3,999,000 | Qwest Corp., 7.250%, 9/15/2025 | 4,633,725 | ||||||
27,091,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 | 26,481,452 | ||||||
22,415,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 | 22,583,112 | ||||||
4,350,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 | 4,698,000 | ||||||
31,690,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) | 35,147,323 | ||||||
18,600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) | 21,275,281 | ||||||
3,346,000 | Verizon New England, Inc., 7.875%, 11/15/2029 | 4,445,114 | ||||||
5,215,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 | 6,113,732 | ||||||
|
|
|||||||
549,237,848 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $8,747,259,586) | 9,639,636,070 | |||||||
|
|
|||||||
Convertible Bonds 7.3% |
||||||||
Airlines 0.0% | ||||||||
1,255,000 | United Continental Holdings, Inc., 4.500%, 6/30/2021 | 1,200,320 | ||||||
|
|
|||||||
Automotive 1.4% | ||||||||
4,240,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(g) | 3,172,050 | ||||||
125,580,000 | Ford Motor Co., 4.250%, 11/15/2016 | 199,044,300 | ||||||
8,460,000 | Navistar International Corp., 3.000%, 10/15/2014 | 7,725,037 | ||||||
|
|
|||||||
209,941,387 | ||||||||
|
|
|||||||
Brokerage 0.0% | ||||||||
5,025,000 | Jefferies Group, Inc., 3.875%, 11/01/2029 | 4,977,891 | ||||||
|
|
|||||||
Diversified Manufacturing 0.3% | ||||||||
30,570,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A | 30,245,194 | ||||||
16,727,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 | 18,702,877 | ||||||
|
|
|||||||
48,948,071 | ||||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Convertible Bonds continued |
||||||||
Electric 0.0% | ||||||||
$ | 1,800,000 | CMS Energy Corp., 5.500%, 6/15/2029 | $ | 3,192,750 | ||||
|
|
|||||||
Healthcare 0.4% | ||||||||
13,305,000 | Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(g) | 13,263,422 | ||||||
7,210,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(g) | 7,151,419 | ||||||
1,810,000 | Illumina, Inc., 0.250%, 3/15/2016, 144A | 1,754,569 | ||||||
190,000 | LifePoint Hospitals, Inc., 3.250%, 8/15/2025 | 190,237 | ||||||
2,380,000 | LifePoint Hospitals, Inc., 3.500%, 5/15/2014 | 2,446,937 | ||||||
3,780,000 | Omnicare, Inc., 3.250%, 12/15/2035 | 3,770,550 | ||||||
20,495,000 | Omnicare, Inc., 3.750%, 12/15/2025 | 30,204,506 | ||||||
|
|
|||||||
58,781,640 | ||||||||
|
|
|||||||
Home Construction 0.6% | ||||||||
52,005,000 | Lennar Corp., 3.250%, 11/15/2021, 144A | 93,283,969 | ||||||
|
|
|||||||
Independent Energy 0.4% | ||||||||
20,440,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 | 16,505,300 | ||||||
24,655,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 | 22,189,500 | ||||||
11,536,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 | 11,031,300 | ||||||
|
|
|||||||
49,726,100 | ||||||||
|
|
|||||||
Life Insurance 0.5% | ||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 | 75,877,172 | ||||||
|
|
|||||||
Media Non-Cable 0.0% | ||||||||
5,841,174 | Liberty Media LLC, 3.500%, 1/15/2031 | 2,778,208 | ||||||
|
|
|||||||
Metals & Mining 0.1% | ||||||||
1,000,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 | 1,088,125 | ||||||
11,270,000 | United States Steel Corp., 4.000%, 5/15/2014 | 12,150,469 | ||||||
|
|
|||||||
13,238,594 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.1% | ||||||||
10,660,000 | iStar Financial, Inc., 3.000%, 11/15/2016 | 10,859,875 | ||||||
|
|
|||||||
Pharmaceuticals 0.0% | ||||||||
3,065,000 | Vertex Pharmaceuticals, Inc., 3.350%, 10/01/2015 | 3,446,209 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Convertible Bonds continued |
||||||||
REITs Warehouse/Industrials 0.2% | ||||||||
$ | 19,445,000 | ProLogis LP, 3.250%, 3/15/2015 | $ | 22,033,616 | ||||
|
|
|||||||
Technology 2.5% | ||||||||
49,215,000 | Ciena Corp., 0.875%, 6/15/2017 | 42,417,178 | ||||||
7,185,000 | Ciena Corp., 3.750%, 10/15/2018, 144A | 8,087,616 | ||||||
6,075,000 | Ciena Corp., 4.000%, 3/15/2015, 144A | 6,895,125 | ||||||
2,429,000 | Intel Corp., 2.950%, 12/15/2035 | 2,518,569 | ||||||
205,005,000 | Intel Corp., 3.250%, 8/01/2039 | 240,240,234 | ||||||
1,055,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 | 1,042,472 | ||||||
52,965,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 | 48,396,769 | ||||||
8,550,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A | 8,240,063 | ||||||
6,000,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A | 5,842,500 | ||||||
|
|
|||||||
363,680,526 | ||||||||
|
|
|||||||
Wirelines 0.8% | ||||||||
6,000,000 | Level 3 Communications, Inc., 6.500%, 10/01/2016 | 8,486,250 | ||||||
54,075,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) | 64,315,453 | ||||||
32,895,000 | Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c) | 39,124,490 | ||||||
900,000 | Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR) | 1,214,685 | ||||||
|
|
|||||||
113,140,878 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $884,094,747) | 1,075,107,206 | |||||||
|
|
|||||||
Municipals 1.1% |
||||||||
District of Columbia 0.1% | ||||||||
3,850,000 | Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 | 4,761,911 | ||||||
|
|
|||||||
Illinois 0.3% | ||||||||
1,725,000 | Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 | 1,823,618 | ||||||
47,285,000 | State of Illinois, 5.100%, 6/01/2033 | 46,772,431 | ||||||
|
|
|||||||
48,596,049 | ||||||||
|
|
|||||||
Michigan 0.1% | ||||||||
13,225,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034(c) | 11,072,499 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Bonds and Notes continued |
||||||||
Municipals continued |
||||||||
Virginia 0.6% | ||||||||
$ | 128,820,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046(c) | $ | 91,664,447 | ||||
|
|
|||||||
Total Municipals (Identified Cost $183,186,678) | 156,094,906 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $9,814,541,011) | 10,870,838,182 | |||||||
|
|
|||||||
Senior Loans 2.3% |
||||||||
Airlines 0.3% | ||||||||
42,885,000 | Delta Air Lines, Inc., Term Loan B1, 5.250%, 10/10/2018(b) | 43,195,916 | ||||||
|
|
|||||||
Automotive 0.1% | ||||||||
19,034,110 | TI Group Automotive Systems, LLC, New Term Loan, 6.750%, 3/14/2018(b) | 19,129,281 | ||||||
|
|
|||||||
Chemicals 0.2% | ||||||||
31,355,000 | Houghton International, Inc., New 2nd Lien Term Loan, 10.500%, 12/21/2020(b) | 30,923,869 | ||||||
|
|
|||||||
Consumer Products 0.0% | ||||||||
1,570,027 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) | 1,422,837 | ||||||
|
|
|||||||
Electric 0.0% | ||||||||
4,788,467 | Texas Competitive Electric Holdings Company, LLC, Non-Extended Term Loan, 3.746%, 10/10/2014(h) | 3,601,837 | ||||||
|
|
|||||||
Food & Beverage 0.1% | ||||||||
13,667,549 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b) | 14,009,237 | ||||||
|
|
|||||||
Media Non-Cable 0.1% | ||||||||
20,726,381 | SuperMedia, Inc., Exit Term Loan, 11.000%, 12/31/2015(b) | 14,828,068 | ||||||
|
|
|||||||
Metals & Mining 0.3% | ||||||||
11,590,950 | Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b) | 11,417,086 | ||||||
33,670,613 | FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b) | 33,923,142 | ||||||
|
|
|||||||
45,340,228 | ||||||||
|
|
|||||||
Non-Captive Diversified 0.6% | ||||||||
84,000,000 | iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b) | 87,990,000 | ||||||
|
|
|||||||
Supermarkets 0.2% | ||||||||
29,136,342 | Supervalu, Inc., New Term Loan B, 8.000%, 8/30/2018(b) | 29,531,431 | ||||||
|
|
|||||||
Wireless 0.2% | ||||||||
19,675,688 | Hawaiian Telcom Communications, Inc., Term Loan B, 7.000%, 2/28/2017(b) | 20,029,850 | ||||||
|
|
Principal |
Description |
Value () | ||||||
Senior Loans continued | ||||||||
Wirelines 0.2% | ||||||||
$ | 24,130,848 | FairPoint Communications, Inc., New Term Loan B, 6.449%, 1/22/2016(b) | $ | 23,295,438 | ||||
|
|
|||||||
Total Senior Loans (Identified Cost $333,169,440) | 333,297,992 | |||||||
|
|
|||||||
Shares |
|
|||||||
Common Stocks 17.6% | ||||||||
Biotechnology 0.2% | ||||||||
867,059 | Vertex Pharmaceuticals, Inc.(f) | 36,364,454 | ||||||
|
|
|||||||
Chemicals 2.1% | ||||||||
1,364,851 | Dow Chemical Co. (The) | 44,111,984 | ||||||
2,000,000 | PPG Industries, Inc. | 270,700,000 | ||||||
|
|
|||||||
314,811,984 | ||||||||
|
|
|||||||
Containers & Packaging 0.1% | ||||||||
460,656 | Owens-Illinois, Inc.(f) | 9,798,153 | ||||||
2,304 | Rock-Tenn Co., Class A | 161,073 | ||||||
|
|
|||||||
9,959,226 | ||||||||
|
|
|||||||
Diversified Financial Services 0.3% | ||||||||
3,979,932 | Bank of America Corp. | 46,167,211 | ||||||
|
|
|||||||
Diversified Telecommunication Services 2.1% | ||||||||
183,181 | FairPoint Communications, Inc.(f) | 1,454,457 | ||||||
283,397 | Hawaiian Telcom Holdco, Inc.(f) | 5,526,242 | ||||||
200,000 | Telecom Italia SpA, Sponsored ADR | 1,810,000 | ||||||
3,871,339 | Telecom Italia SpA, Sponsored ADR | 30,583,578 | ||||||
19,550,590 | Telefonica S.A., Sponsored ADR | 263,737,459 | ||||||
|
|
|||||||
303,111,736 | ||||||||
|
|
|||||||
Electric Utilities 0.0% | ||||||||
94,166 | Duke Energy Corp. | 6,007,791 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 2.8% | ||||||||
32,000,000 | Corning, Inc. | 403,840,000 | ||||||
|
|
|||||||
Food Products 0.5% | ||||||||
2,309,175 | ConAgra Foods, Inc. | 68,120,663 | ||||||
|
|
|||||||
Household Durables 0.2% | ||||||||
477,725 | KB Home | 7,548,055 | ||||||
549,450 | Lennar Corp., Class A | 21,247,232 | ||||||
|
|
|||||||
28,795,287 | ||||||||
|
|
|||||||
Independent Power Producers & Energy Traders 0.1% | ||||||||
936,622 | Dynegy, Inc.(f) | 17,917,579 | ||||||
|
|
|||||||
Insurance 0.6% | ||||||||
1,510,275 | Prudential Financial, Inc. | 80,542,966 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.9% | ||||||||
846,398 | Chesapeake Energy Corp. | 14,067,135 | ||||||
5,351,804 | Repsol YPF S.A., Sponsored ADR | 111,852,703 |
Shares |
Description |
Value () | ||||||
Common Stocks continued | ||||||||
Oil, Gas & Consumable Fuels continued | ||||||||
2,134,173 | Royal Dutch Shell PLC, ADR | $ | 147,151,228 | |||||
141,249 | Spectra Energy Corp. | 3,867,398 | ||||||
|
|
|||||||
276,938,464 | ||||||||
|
|
|||||||
Pharmaceuticals 3.0% | ||||||||
8,514,190 | Bristol-Myers Squibb Co. | 277,477,452 | ||||||
2,288 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR | 85,434 | ||||||
2,691,177 | Valeant Pharmaceuticals International, Inc.(f) | 160,851,649 | ||||||
|
|
|||||||
438,414,535 | ||||||||
|
|
|||||||
REITs Apartments 0.3% | ||||||||
290,904 | Apartment Investment & Management Co., Class A | 7,871,862 | ||||||
889,730 | Associated Estates Realty Corp. | 14,342,448 | ||||||
460,000 | Equity Residential | 26,068,200 | ||||||
|
|
|||||||
48,282,510 | ||||||||
|
|
|||||||
REITs Regional Malls 0.1% | ||||||||
123,159 | Simon Property Group, Inc. | 19,470,206 | ||||||
|
|
|||||||
REITs Shopping Centers 0.0% | ||||||||
201,557 | DDR Corp. | 3,156,383 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.1% | ||||||||
14,733,856 | Intel Corp. | 303,959,449 | ||||||
|
|
|||||||
Software 1.2% | ||||||||
6,568,091 | Microsoft Corp. | 175,565,072 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $2,382,109,322) | 2,581,425,516 | |||||||
|
|
|||||||
Preferred Stocks 3.1% | ||||||||
Convertible Preferred Stocks 2.2% | ||||||||
Automotive 1.1% | ||||||||
2,826,055 | General Motors Co., Series B, 4.750% | 124,713,807 | ||||||
657,940 | Goodyear Tire & Rubber Co. (The), 5.875% | 31,061,348 | ||||||
|
|
|||||||
155,775,155 | ||||||||
|
|
|||||||
Banking 0.2% | ||||||||
19,062 | Bank of America Corp., Series L, 7.250% | 21,635,370 | ||||||
8,533 | Wells Fargo & Co., Series L, Class A, 7.500% | 10,452,925 | ||||||
|
|
|||||||
32,088,295 | ||||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
145,110 | United Rentals Trust I, 6.500% | 8,692,989 | ||||||
|
|
|||||||
Electric 0.1% | ||||||||
380,577 | AES Trust III, 6.750% | 18,895,648 | ||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks continued | ||||||||||
Convertible Preferred Stocks continued | ||||||||||
Home Construction 0.1% | ||||||||||
355,000 | Hovnanian Enterprises, Inc., 7.250% | $ | 12,219,100 | |||||||
|
|
|||||||||
Independent Energy 0.2% | ||||||||||
52,020 | Chesapeake Energy Corp., 4.500% | 4,179,807 | ||||||||
19,318 | Chesapeake Energy Corp., Series A, 5.750%, 144A | 17,156,799 | ||||||||
32,500 | SandRidge Energy, Inc., 7.000% | 3,335,312 | ||||||||
99,800 | SandRidge Energy, Inc., 8.500% | 10,409,140 | ||||||||
|
|
|||||||||
35,081,058 | ||||||||||
|
|
|||||||||
Pipelines 0.1% | ||||||||||
242,297 | El Paso Energy Capital Trust I, 4.750% | 13,374,794 | ||||||||
|
|
|||||||||
REITs Healthcare 0.0% | ||||||||||
116,700 | Health Care REIT, Inc., Series I, 6.500% | 6,674,073 | ||||||||
|
|
|||||||||
Technology 0.3% | ||||||||||
55,430 | Lucent Technologies Capital Trust I, 7.750% | 45,988,608 | ||||||||
|
|
|||||||||
Total Convertible Preferred Stocks (Identified Cost $321,648,535) | 328,789,720 | |||||||||
|
|
|||||||||
Non-Convertible Preferred Stocks 0.9% | ||||||||||
Banking 0.3% | ||||||||||
35,000 | Bank of America Corp., 6.375% | 869,050 | ||||||||
847,800 | Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875% | 23,653,620 | ||||||||
389,800 | Countrywide Capital IV, 6.750% | 9,674,836 | ||||||||
|
|
|||||||||
34,197,506 | ||||||||||
|
|
|||||||||
Electric 0.0% | ||||||||||
393 | Entergy New Orleans, Inc., 4.750% | 38,318 | ||||||||
|
|
|||||||||
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 |
27,235,000 | ||||||||
|
|
|||||||||
Home Construction 0.0% | ||||||||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(f) | 2,832,146 | ||||||||
|
|
|||||||||
Independent Energy 0.0% | ||||||||||
23,900 | Chesapeake Energy Corp., 5.000% | 1,802,060 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Preferred Stocks continued | ||||||||
Non-Convertible Preferred Stocks continued | ||||||||
Non-Captive Consumer 0.0% | ||||||||
101,175 | SLM Corp., Series A, 6.970% | $ | 4,878,658 | |||||
|
|
|||||||
Non-Captive Diversified 0.3% | ||||||||
45,861 | Ally Financial, Inc., Series G, 7.000%, 144A | 45,042,670 | ||||||
10,425 | iStar Financial, Inc., Series G, 7.650% | 223,616 | ||||||
39,300 | iStar Financial, Inc., Series F, 7.800% | 856,740 | ||||||
39,200 | iStar Financial, Inc., Series E, 7.875% | 874,552 | ||||||
|
|
|||||||
46,997,578 | ||||||||
|
|
|||||||
REITs Office Property 0.0% | ||||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% | 1,903,230 | ||||||
|
|
|||||||
REITs Warehouse/Industrials 0.1% | ||||||||
116,192 | ProLogis, Inc., Series Q, 8.540% | 7,417,697 | ||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $86,483,031) | 127,302,193 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $408,131,566) | 456,091,913 | |||||||
|
|
|||||||
Closed End Investment Companies 0.0% | ||||||||
2,151 | Morgan Stanley Emerging Markets Debt Fund, Inc. | 25,704 | ||||||
681,131 | NexPoint Credit Strategies Fund | 4,522,710 | ||||||
|
|
|||||||
Total Closed End Investment Companies (Identified Cost $10,250,899) | 4,548,414 | |||||||
|
|
|||||||
Principal |
||||||||
Short-Term Investments 1.7% | ||||||||
$ | 822,071 | Repurchase Agreement with State Street Bank and Trust Company, dated 12/31/2012 at 0.010% to be repurchased at $822,071 on 1/02/2013 collateralized by $865,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $866,327 including accrued interest(i) |
822,071 | |||||
241,472,636 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $241,472,770 on 1/02/2013 collateralized by $244,040,000 Federal National Mortgage Association, 0.625% due 2/22/2016 valued at $244,586,548; $1,715,000 Federal Home Loan Bank, 0.370% due 8/09/2013 valued at $1,719,288 including accrued interest(i) |
241,472,636 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $242,294,707) | 242,294,707 | |||||||
|
|
|||||||
Total Investments 98.9% (Identified Cost $13,190,496,945)(a) | 14,488,496,724 | |||||||
Other assets less liabilities 1.1% | 158,653,571 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 14,647,150,295 | ||||||
|
|
() | 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 an independent 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 an independent 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security. 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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $13,243,568,738 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 1,833,311,993 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(588,384,007 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,244,927,986 | ||
|
|
At September 30, 2012, the Fund had a short-term capital loss carryforward of $242,738,243 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.
(b) | Variable rate security. Rate as of December 31, 2012 is disclosed. |
(c) | Illiquid security. At December 31, 2012, the value of these securities amounted to $315,115,258 or 2.2% of net assets. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | Maturity has been extended under the terms of a plan of reorganization. |
(f) | Non-income producing security. |
(g) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(h) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at December 31, 2012. |
(i) | 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, 2012, the value of Rule 144A holdings amounted to $1,763,054,683 or 12.0% 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. |
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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Non-Captive Consumer |
$ | 2,621,941 | $ | 625,419,372 | $ | | $ | 628,041,313 | ||||||||
All Other Non-Convertible Bonds* |
| 9,011,594,757 | | 9,011,594,757 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
2,621,941 | 9,637,014,129 | | 9,639,636,070 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 1,075,107,206 | | 1,075,107,206 | ||||||||||||
Municipals* |
| 156,094,906 | | 156,094,906 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
2,621,941 | 10,868,216,241 | | 10,870,838,182 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 333,297,992 | | 333,297,992 | ||||||||||||
Common Stocks* |
2,581,425,516 | | | 2,581,425,516 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Construction Machinery |
| 8,692,989 | | 8,692,989 | ||||||||||||
Independent Energy |
4,179,807 | 30,901,251 | | 35,081,058 | ||||||||||||
All Other Convertible Preferred Stocks* |
285,015,673 | | | 285,015,673 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
289,195,480 | 39,594,240 | | 328,789,720 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Electric |
| 38,318 | | 38,318 | ||||||||||||
Government Sponsored |
| 27,235,000 | | 27,235,000 | ||||||||||||
Non-Captive Diversified |
1,954,908 | 45,042,670 | | 46,997,578 | ||||||||||||
REITs - Office Property |
| 1,903,230 | | 1,903,230 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
51,128,067 | | | 51,128,067 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
53,082,975 | 74,219,218 | | 127,302,193 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
342,278,455 | 113,813,458 | | 456,091,913 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Closed End Investment Companies |
4,548,414 | | | 4,548,414 | ||||||||||||
Short-Term Investments |
| 242,294,707 | | 242,294,707 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 2,930,874,326 | $ | 11,557,622,398 | $ | | $ | 14,488,496,724 | ||||||||
|
|
|
|
|
|
|
|
* | 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 September 30, 2012:
Asset Valuation Inputs
Investments in |
Balance as of September 30, 2012 |
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, 2012 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at December 31, 2012 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Banking |
$ | 18,800,082 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (18,800,082 | ) | $ | | $ | | |||||||||||||||||||
Electric |
12,874,750 | | | | | | | (12,874,750 | ) | | | |||||||||||||||||||||||||||||
Sovereigns |
21,173,458 | | | | | | | (21,173,458 | ) | | | |||||||||||||||||||||||||||||
Transportation Services |
8,953,808 | | | | | | | (8,953,808 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 61,802,098 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (61,802,098 | ) | $ | | $ | | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $18,800,082 was transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies but was misclassified as Level 3; at December 31, 2012, this security was valued using the same method and was appropriately classified as Level 2.
Debt securities valued at $30,127,266 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued using broker-dealer bid quotations based on inputs unobservable to the Fund as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
Debt securities valued at $12,874,750 were transferred from Level 3 to Level 2 during the period ended December 31, 2012. At September 30, 2012, these securities were valued at fair value as determined in good faith by the Funds investment adviser as an independent pricing service either was unable to price the security or did not provide a reliable price for the security; at December 31, 2012, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
Industry Summary at December 31, 2012 (Unaudited)
Treasuries |
17.2 | % | ||
Banking |
7.4 | |||
Non-Captive Diversified |
5.6 | |||
Wirelines |
4.8 | |||
Non-Captive Consumer |
4.3 | |||
Technology |
3.8 | |||
Automotive |
3.5 | |||
Pharmaceuticals |
3.4 | |||
Airlines |
2.9 | |||
Electronic Equipment, Instruments & Components |
2.8 | |||
Chemicals |
2.7 | |||
Healthcare |
2.7 | |||
Electric |
2.6 | |||
Supranational |
2.1 | |||
Semiconductors & Semiconductor Equipment |
2.1 | |||
Diversified Telecommunication Services |
2.1 | |||
Sovereigns |
2.0 | |||
Other Investments, less than 2% each |
25.2 | |||
Short-Term Investments |
1.7 | |||
|
|
|||
Total Investments |
98.9 | |||
Other assets less liabilities |
1.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
|||
Currency Exposure Summary at December 31, 2012 (Unaudited) | ||||
United States Dollar |
69.2 | % | ||
Canadian Dollar |
7.3 | |||
Euro |
5.6 | |||
New Zealand Dollar |
4.2 | |||
Australian Dollar |
3.2 | |||
Norwegian Krone |
2.8 | |||
Brazilian Real |
2.1 | |||
Other, less than 2% each |
4.5 | |||
|
|
|||
Total Investments |
98.9 | |||
Other assets less liabilities |
1.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of December 31, 2012 (Unaudited)
Loomis Sayles Value Fund
Shares |
Description |
Value () | ||||||
Common Stocks 97.2% of Net Assets |
| |||||||
Aerospace & Defense 2.8% | ||||||||
300,794 | Honeywell International, Inc. | $ | 19,091,395 | |||||
309,245 | Northrop Grumman Corp. | 20,898,777 | ||||||
|
|
|||||||
39,990,172 | ||||||||
|
|
|||||||
Auto Components 0.7% | ||||||||
678,305 | Goodyear Tire & Rubber Co. (The)(b) | 9,367,392 | ||||||
|
|
|||||||
Automobiles 1.1% | ||||||||
540,724 | General Motors Co.(b) | 15,589,073 | ||||||
|
|
|||||||
Beverages 2.8% | ||||||||
554,697 | Coca-Cola Enterprises, Inc. | 17,600,536 | ||||||
320,416 | PepsiCo, Inc. | 21,926,067 | ||||||
|
|
|||||||
39,526,603 | ||||||||
|
|
|||||||
Capital Markets 4.0% | ||||||||
346,478 | Ameriprise Financial, Inc. | 21,699,917 | ||||||
481,484 | Legg Mason, Inc. | 12,383,769 | ||||||
486,795 | State Street Corp. | 22,884,233 | ||||||
|
|
|||||||
56,967,919 | ||||||||
|
|
|||||||
Chemicals 1.3% | ||||||||
412,731 | E.I. du Pont de Nemours & Co. | 18,560,513 | ||||||
|
|
|||||||
Commercial Banks 6.0% | ||||||||
1,342,365 | Fifth Third Bancorp | 20,390,524 | ||||||
359,807 | PNC Financial Services Group, Inc. | 20,980,346 | ||||||
449,826 | U.S. Bancorp | 14,367,443 | ||||||
862,365 | Wells Fargo & Co. | 29,475,636 | ||||||
|
|
|||||||
85,213,949 | ||||||||
|
|
|||||||
Communications Equipment 2.6% | ||||||||
748,689 | Cisco Systems, Inc. | 14,711,739 | ||||||
396,965 | Motorola Solutions, Inc. | 22,103,011 | ||||||
|
|
|||||||
36,814,750 | ||||||||
|
|
|||||||
Computers & Peripherals 0.7% | ||||||||
19,707 | Apple, Inc. | 10,504,422 | ||||||
|
|
|||||||
Construction Materials 1.0% | ||||||||
283,091 | Vulcan Materials Co. | 14,734,886 | ||||||
|
|
|||||||
Consumer Finance 1.5% | ||||||||
539,213 | Discover Financial Services | 20,786,661 | ||||||
|
|
|||||||
Diversified Financial Services 5.7% | ||||||||
1,480,833 | Bank of America Corp. | 17,177,663 | ||||||
649,585 | Citigroup, Inc. | 25,697,582 | ||||||
859,335 | JPMorgan Chase & Co. | 37,784,960 | ||||||
|
|
|||||||
80,660,205 | ||||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued | ||||||||
Diversified Telecommunication Services 2.4% | ||||||||
592,924 | AT&T, Inc. | $ | 19,987,468 | |||||
376,771 | CenturyLink, Inc. | 14,739,282 | ||||||
|
|
|||||||
34,726,750 | ||||||||
|
|
|||||||
Electric Utilities 2.7% | ||||||||
462,730 | Edison International | 20,910,769 | ||||||
428,543 | FirstEnergy Corp. | 17,895,955 | ||||||
|
|
|||||||
38,806,724 | ||||||||
|
|
|||||||
Electrical Equipment 1.3% | ||||||||
343,012 | Eaton Corp. PLC | 18,591,250 | ||||||
|
|
|||||||
Energy Equipment & Services 2.4% | ||||||||
277,007 | Schlumberger Ltd. | 19,193,815 | ||||||
340,318 | Transocean Ltd. | 15,195,199 | ||||||
|
|
|||||||
34,389,014 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.3% | ||||||||
381,646 | CVS Caremark Corp. | 18,452,584 | ||||||
|
|
|||||||
Food Products 1.3% | ||||||||
488,763 | Unilever NV | 18,719,623 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 2.3% | ||||||||
218,849 | Baxter International, Inc. | 14,588,474 | ||||||
315,540 | Covidien PLC | 18,219,280 | ||||||
|
|
|||||||
32,807,754 | ||||||||
|
|
|||||||
Health Care Providers & Services 2.5% | ||||||||
426,557 | HCA Holdings, Inc. | 12,869,225 | ||||||
425,192 | UnitedHealth Group, Inc. | 23,062,414 | ||||||
|
|
|||||||
35,931,639 | ||||||||
|
|
|||||||
Household Products 1.4% | ||||||||
289,963 | Procter & Gamble Co. (The) | 19,685,588 | ||||||
|
|
|||||||
Independent Power Producers & Energy Traders 1.9% | ||||||||
810,082 | Calpine Corp.(b) | 14,686,787 | ||||||
528,793 | NRG Energy, Inc. | 12,156,951 | ||||||
|
|
|||||||
26,843,738 | ||||||||
|
|
|||||||
Industrial Conglomerates 1.8% | ||||||||
1,232,039 | General Electric Co. | 25,860,499 | ||||||
|
|
|||||||
Insurance 3.9% | ||||||||
624,012 | MetLife, Inc. | 20,554,955 | ||||||
248,237 | Travelers Cos., Inc. (The) | 17,828,382 | ||||||
847,628 | Unum Group | 17,647,615 | ||||||
|
|
|||||||
56,030,952 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.3% | ||||||||
976,407 | Liberty Interactive Corp., Class A(b) | 19,215,690 | ||||||
|
|
|||||||
Internet Software & Services 2.5% | ||||||||
325,480 | AOL, Inc.(b) | 9,637,463 | ||||||
286,784 | eBay, Inc.(b) | 14,631,719 |
Shares |
Description |
Value () | ||||||
Common Stocks continued | ||||||||
Internet Software & Services continued | ||||||||
16,243 | Google, Inc., Class A(b) | $ | 11,522,297 | |||||
|
|
|||||||
35,791,479 | ||||||||
|
|
|||||||
Machinery 2.4% | ||||||||
281,562 | Dover Corp. | 18,501,439 | ||||||
205,226 | Stanley Black & Decker, Inc. | 15,180,567 | ||||||
|
|
|||||||
33,682,006 | ||||||||
|
|
|||||||
Media 5.8% | ||||||||
331,932 | CBS Corp., Class B | 12,630,013 | ||||||
692,732 | Comcast Corp., Class A | 25,894,322 | ||||||
186,781 | DIRECTV(b) | 9,368,935 | ||||||
352,986 | Omnicom Group, Inc. | 17,635,181 | ||||||
320,929 | Viacom, Inc., Class B | 16,925,795 | ||||||
|
|
|||||||
82,454,246 | ||||||||
|
|
|||||||
Multiline Retail 1.2% | ||||||||
289,313 | Target Corp. | 17,118,650 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 10.7% | ||||||||
283,595 | Chevron Corp. | 30,667,963 | ||||||
240,348 | CONSOL Energy, Inc. | 7,715,171 | ||||||
136,050 | EOG Resources, Inc. | 16,433,480 | ||||||
456,837 | ExxonMobil Corp. | 39,539,242 | ||||||
434,894 | Hess Corp. | 23,031,986 | ||||||
238,984 | Noble Energy, Inc. | 24,314,232 | ||||||
200,321 | SM Energy Co. | 10,458,760 | ||||||
|
|
|||||||
152,160,834 | ||||||||
|
|
|||||||
Pharmaceuticals 8.0% | ||||||||
537,861 | Bristol-Myers Squibb Co. | 17,528,890 | ||||||
442,716 | Forest Laboratories, Inc.(b) | 15,636,729 | ||||||
727,418 | Merck & Co., Inc. | 29,780,493 | ||||||
1,108,625 | Pfizer, Inc. | 27,804,315 | ||||||
499,760 | Sanofi, ADR | 23,678,629 | ||||||
|
|
|||||||
114,429,056 | ||||||||
|
|
|||||||
REITs Diversified 1.4% | ||||||||
710,332 | Weyerhaeuser Co. | 19,761,436 | ||||||
|
|
|||||||
Road & Rail 1.5% | ||||||||
349,866 | Norfolk Southern Corp. | 21,635,713 | ||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 2.0% | ||||||||
875,337 | Applied Materials, Inc. | 10,013,855 | ||||||
591,925 | Texas Instruments, Inc. | 18,314,160 | ||||||
|
|
|||||||
28,328,015 | ||||||||
|
|
|||||||
Software 2.3% | ||||||||
498,270 | Microsoft Corp. | 13,318,757 | ||||||
606,447 | Oracle Corp. | 20,206,814 | ||||||
|
|
|||||||
33,525,571 | ||||||||
|
|
|||||||
Specialty Retail 1.4% | ||||||||
582,247 | Lowes Cos., Inc. | 20,681,413 | ||||||
|
|
Shares |
Description |
Value () | ||||||
Common Stocks continued |
||||||||
Wireless Telecommunication Services 1.3% | ||||||||
715,595 | Vodafone Group PLC, Sponsored ADR | $ | 18,025,838 | |||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,155,847,799) | 1,386,372,607 | |||||||
|
|
Principal |
||||||||
Short-Term Investments 2.8% | ||||||||
$ | 39,642,919 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 12/31/2012 at 0.010% to be repurchased at $39,642,941 on 1/02/2013 collateralized by $36,100,000 U.S. Treasury Note, 3.250% due 3/31/2017 valued at $40,438,029 including accrued interest(c) (Identified Cost $39,642,919) |
39,642,919 | |||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $1,195,490,718)(a) | 1,426,015,526 | |||||||
Other assets less liabilities 0.0% | (181,259 | ) | ||||||
|
|
|||||||
Net Assets 100.0% | $ | 1,425,834,267 | ||||||
|
|
() | 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 independent pricing services recommended by the investment adviser and approved by the Board of Trustees. Such independent 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 an independent 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 an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.
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 closing 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, 2012, the net unrealized appreciation on investments based on a cost of $1,195,490,718 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 |
$ | 252,942,293 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(22,417,485 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 230,524,808 | ||
|
|
At September 30, 2012, the Fund had a short-term capital loss carryforward of $6,350,604, which expires on September 30, 2018. At September 30, 2012, late-year ordinary and post-October capital loss deferrals were $ 5,542,012. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Non-income producing security. |
(c) | 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.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of December 31, 2012, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,386,372,607 | $ | | $ | | $ | 1,386,372,607 | ||||||||
Short-Term Investments |
| 39,642,919 | | 39,642,919 | ||||||||||||
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Total |
$ | 1,386,372,607 | $ | 39,642,919 | $ | | $ | 1,426,015,526 | ||||||||
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* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended December 31, 2012, there were no transfers between Levels 1, 2 and 3.
Industry Summary at December 31, 2012 (Unaudited)
Oil, Gas & Consumable Fuels |
10.7 | % | ||
Pharmaceuticals |
8.0 | |||
Commercial Banks |
6.0 | |||
Media |
5.8 | |||
Diversified Financial Services |
5.7 | |||
Capital Markets |
4.0 | |||
Insurance |
3.9 | |||
Aerospace & Defense |
2.8 | |||
Beverages |
2.8 | |||
Electric Utilities |
2.7 | |||
Communications Equipment |
2.6 | |||
Health Care Providers & Services |
2.5 | |||
Internet Software & Services |
2.5 | |||
Diversified Telecommunication Services |
2.4 | |||
Energy Equipment & Services |
2.4 | |||
Machinery |
2.4 | |||
Software |
2.3 | |||
Health Care Equipment & Supplies |
2.3 | |||
Semiconductors & Semiconductor Equipment |
2.0 | |||
Other Investments, less than 2% each |
23.4 | |||
Short-Term Investments |
2.8 | |||
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Total Investments |
100.0 | |||
Other assets less liabilities |
0.0 | |||
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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 22, 2013 |
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 22, 2013 |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | February 22, 2013 |
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 22, 2013
/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 22, 2013
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |