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: June 30, 2013
ITEM 1. SCHEDULE OF INVESTMENTS
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Global Equity and Income Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 68.4% of Net Assets |
||||||||||
Belgium 1.4% | ||||||||||
177,107 | Anheuser-Busch InBev NV |
$ | 15,945,495 | |||||||
|
|
|||||||||
Brazil 0.6% | ||||||||||
527,700 | Mills Estruturas e Servicos de Engenharia S.A. |
7,144,472 | ||||||||
|
|
|||||||||
Canada 1.0% | ||||||||||
282,938 | Potash Corp. of Saskatchewan, Inc. |
10,788,426 | ||||||||
|
|
|||||||||
Chile 0.7% | ||||||||||
759,310 | S.A.C.I. Falabella |
8,220,067 | ||||||||
|
|
|||||||||
China 2.1% | ||||||||||
960,000 | China Mobile Ltd. |
9,967,128 | ||||||||
1,300,000 | Hengan International Group Co. Ltd. |
14,041,050 | ||||||||
|
|
|||||||||
24,008,178 | ||||||||||
|
|
|||||||||
France 2.0% | ||||||||||
210,918 | Sanofi |
21,804,811 | ||||||||
|
|
|||||||||
Germany 2.5% | ||||||||||
168,622 | Adidas AG |
18,227,835 | ||||||||
97,867 | Siemens AG, (Registered) |
9,910,355 | ||||||||
|
|
|||||||||
28,138,190 | ||||||||||
|
|
|||||||||
Japan 0.9% | ||||||||||
419,900 | Asahi Group Holdings Ltd. |
10,401,651 | ||||||||
|
|
|||||||||
Mexico 1.2% | ||||||||||
6,913,900 | Genomma Lab Internacional S.A. de CV, Class B(b) |
13,654,438 | ||||||||
|
|
|||||||||
Russia 0.8% | ||||||||||
291,891 | Mail.ru Group Ltd., GDR, 144A(c) |
8,351,002 | ||||||||
|
|
|||||||||
Sweden 1.1% | ||||||||||
527,029 | Atlas Copco AB, Class A |
12,702,356 | ||||||||
|
|
|||||||||
Switzerland 2.1% | ||||||||||
96,848 | Roche Holding AG |
24,037,395 | ||||||||
|
|
|||||||||
Thailand 1.1% | ||||||||||
900,400 | Bangkok Bank PCL |
5,996,939 | ||||||||
413,700 | Siam Cement PCL |
6,070,408 | ||||||||
|
|
|||||||||
12,067,347 | ||||||||||
|
|
|||||||||
United Kingdom 10.0% | ||||||||||
1,603,471 | Aberdeen Asset Management PLC |
9,331,621 | ||||||||
2,535,930 | Barclays PLC |
10,799,869 | ||||||||
221,349 | British American Tobacco PLC |
11,352,885 |
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
United Kingdom continued |
||||||||||
343,076 | Burberry Group PLC |
$ | 7,057,924 | |||||||
758,263 | Diageo PLC |
21,744,167 | ||||||||
388,891 | Hikma Pharmaceuticals PLC |
5,627,827 | ||||||||
1,255,684 | HSBC Holdings PLC |
12,999,016 | ||||||||
540,672 | Shire PLC |
17,133,988 | ||||||||
721,999 | Standard Chartered PLC |
15,674,868 | ||||||||
|
|
|||||||||
111,722,165 | ||||||||||
|
|
|||||||||
United States 40.9% |
||||||||||
191,393 | ACE Ltd. |
17,125,846 | ||||||||
261,114 | American Express Co. |
19,520,883 | ||||||||
44,993 | Apple, Inc. |
17,820,827 | ||||||||
25,486 | AutoZone, Inc.(b) |
10,798,163 | ||||||||
154,118 | Cabot Oil & Gas Corp. |
10,945,460 | ||||||||
547,062 | Citigroup, Inc. |
26,242,564 | ||||||||
46,194 | Core Laboratories NV |
7,005,782 | ||||||||
317,906 | CVS Caremark Corp. |
18,177,865 | ||||||||
152,522 | Deere & Co. |
12,392,413 | ||||||||
109,641 | EOG Resources, Inc. |
14,437,527 | ||||||||
162,164 | Genesee & Wyoming, Inc., Class A(b) |
13,757,994 | ||||||||
103,803 | Gilead Sciences, Inc.(b) |
5,315,752 | ||||||||
27,005 | Google, Inc., Class A(b) |
23,774,392 | ||||||||
955 | Hawaiian Telcom Holdco, Inc.(b) |
24,028 | ||||||||
116,223 | Jones Lang LaSalle, Inc. |
10,592,564 | ||||||||
384,401 | Lowes Cos., Inc. |
15,722,001 | ||||||||
82,795 | M&T Bank Corp. |
9,252,341 | ||||||||
376,248 | Microsoft Corp. |
12,991,843 | ||||||||
224,048 | National Fuel Gas Co. |
12,983,582 | ||||||||
144,516 | National Oilwell Varco, Inc. |
9,957,152 | ||||||||
21,652 | NewMarket Corp. |
5,684,949 | ||||||||
331,664 | Noble Energy, Inc. |
19,913,107 | ||||||||
116,121 | PNC Financial Services Group, Inc. (The) |
8,467,543 | ||||||||
150,071 | Praxair, Inc. |
17,282,176 | ||||||||
64,383 | Precision Castparts Corp. |
14,551,202 | ||||||||
21,972 | Priceline.com, Inc.(b) |
18,173,700 | ||||||||
234,181 | QUALCOMM, Inc. |
14,303,776 | ||||||||
221,911 | Schlumberger Ltd. |
15,902,142 | ||||||||
115,451 | Signet Jewelers Ltd. |
7,784,861 | ||||||||
432,433 | Texas Instruments, Inc. |
15,078,939 | ||||||||
96,492 | TransDigm Group, Inc. |
15,127,051 | ||||||||
152,180 | UnitedHealth Group, Inc. |
9,964,746 | ||||||||
160,948 | Valspar Corp. (The) |
10,408,507 | ||||||||
26,818 | Vertex Pharmaceuticals, Inc.(b) |
2,141,954 | ||||||||
274,710 | Wyndham Worldwide Corp. |
15,721,653 | ||||||||
|
|
|||||||||
459,345,285 | ||||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $696,463,544) |
768,331,278 | |||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 28.2% | ||||||||||
Non-Convertible Bonds 27.4% | ||||||||||
Argentina 0.1% | ||||||||||
$ | 170,000 | Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A |
$ | 163,625 | ||||||
500,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A |
436,200 | ||||||||
|
|
|||||||||
599,825 | ||||||||||
|
|
|||||||||
Australia 0.2% | ||||||||||
1,200,000 | Macquarie Bank Ltd., 5.000%, 2/22/2017, 144A |
1,285,787 | ||||||||
500,000 | Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A |
529,055 | ||||||||
235,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) |
237,186 | ||||||||
155,000 | Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A |
162,436 | ||||||||
|
|
|||||||||
2,214,464 | ||||||||||
|
|
|||||||||
Belgium 0.1% | ||||||||||
350,000 | Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP) |
623,435 | ||||||||
|
|
|||||||||
Brazil 1.1% | ||||||||||
600,000 | Banco BTG Pactual S.A., 5.750%, 9/28/2022, 144A |
519,000 | ||||||||
800,000 | Banco do Brasil S.A., 3.875%, 10/10/2022 |
701,040 | ||||||||
400,000 | Banco Santander Brasil S.A., 4.500%, 4/06/2015, 144A |
402,000 | ||||||||
600,000 | Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A |
609,000 | ||||||||
1,909,834 | Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL) |
831,438 | ||||||||
800,000 | Braskem Finance Ltd., 5.750%, 4/15/2021, 144A |
780,000 | ||||||||
689,626 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 8/15/2014, (BRL) |
316,389 | |||||||
551,701 | () | Brazil Notas do Tesouro Nacional, Series B, 6.000%, 5/15/2015, (BRL) |
255,212 | |||||||
1,115 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL) |
476,229 | |||||||
1,700,000 | BRF S.A., 3.950%, 5/22/2023, 144A |
1,496,000 | ||||||||
600,000 | BRF S.A., 5.875%, 6/06/2022, 144A |
615,780 | ||||||||
2,300,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL) |
891,613 | ||||||||
400,000 | CSN Resources S.A., 6.500%, 7/21/2020, 144A |
389,500 | ||||||||
450,000 | Fibria Overseas Finance Ltd., 6.750%, 3/03/2021, 144A |
482,175 | ||||||||
300,000 | Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A |
303,750 | ||||||||
100,000 | LPG International, Inc., 7.250%, 12/20/2015 |
108,250 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Brazil continued |
||||||||||
$ | 185,000 | Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2021, 144A |
$ | 186,850 | ||||||
2,400,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) |
994,913 | ||||||||
320,000 | Petrobras International Finance Co., 5.375%, 1/27/2021 |
321,502 | ||||||||
300,000 | Petrobras International Finance Co., 6.875%, 1/20/2040 |
302,843 | ||||||||
800,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A |
716,000 | ||||||||
129,000 | Telemar Norte Leste S.A., 5.500%, 10/23/2020, 144A |
119,970 | ||||||||
536,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 |
542,694 | ||||||||
|
|
|||||||||
12,362,148 | ||||||||||
|
|
|||||||||
Canada 0.8% |
| |||||||||
1,570,000 | Bank of Nova Scotia, 1.375%, 12/18/2017 |
1,524,235 | ||||||||
650,000 | Canadian Government, 1.000%, 8/01/2016, (CAD) |
609,660 | ||||||||
2,880,000 | Canadian Government, 3.000%, 12/01/2015, (CAD)(d) |
2,847,495 | ||||||||
2,695,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) |
2,853,620 | ||||||||
875,000 | Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A |
826,875 | ||||||||
100,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
105,447 | ||||||||
600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
624,908 | ||||||||
|
|
|||||||||
9,392,240 | ||||||||||
|
|
|||||||||
Cayman Islands 0.1% |
||||||||||
1,000,000 | Parkson Retail Group Ltd., 4.500%, 5/03/2018 |
895,000 | ||||||||
|
|
|||||||||
Chile 0.4% |
||||||||||
1,450,000 | Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A |
1,421,197 | ||||||||
850,000,000 | Banco Santander Chile, 6.500%, 9/22/2020, 144A, (CLP) |
1,647,968 | ||||||||
200,000 | Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022 |
198,640 | ||||||||
250,000 | E.CL S.A., 5.625%, 1/15/2021, 144A |
259,572 | ||||||||
800,000 | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A |
765,700 | ||||||||
|
|
|||||||||
4,293,077 | ||||||||||
|
|
|||||||||
China 0.1% |
||||||||||
800,000 | Baidu, Inc., 2.250%, 11/28/2017 |
778,233 |
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 |
$ | 392,086 | ||||||
|
|
|||||||||
1,170,319 | ||||||||||
|
|
|||||||||
Colombia 0.3% |
||||||||||
400,000 | Banco Davivienda S.A., 5.875%, 7/09/2022, 144A |
396,000 | ||||||||
555,000 | Colombia Telecomunicaciones S.A., E.S.P., 5.375%, 9/27/2022, 144A |
524,475 | ||||||||
1,265,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) |
724,104 | ||||||||
2,140,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) |
1,191,559 | ||||||||
200,000,000 | Republic of Colombia, 7.750%, 4/14/2021, (COP) |
116,949 | ||||||||
40,000 | Republic of Colombia, 8.125%, 5/21/2024 |
53,000 | ||||||||
|
|
|||||||||
3,006,087 | ||||||||||
|
|
|||||||||
Costa Rica 0.1% |
||||||||||
600,000 | Costa Rica Government International Bond, 4.250%, 1/26/2023, 144A |
555,000 | ||||||||
800,000 | Costa Rica Government International Bond, 4.375%, 4/30/2025, 144A |
734,000 | ||||||||
|
|
|||||||||
1,289,000 | ||||||||||
|
|
|||||||||
Curacao 0.1% |
||||||||||
1,580,000 | Teva Pharmaceutical Finance Co. BV, 2.950%, 12/18/2022 |
1,480,324 | ||||||||
|
|
|||||||||
Czech Republic 0.0% |
||||||||||
400,000 | CEZ AS, 4.250%, 4/03/2022, 144A |
396,920 | ||||||||
|
|
|||||||||
France 0.0% |
||||||||||
200,000 | AXA S.A., 7.125%, 12/15/2020, (GBP) |
341,360 | ||||||||
|
|
|||||||||
Hong Kong 0.1% |
||||||||||
600,000 | Bank of East Asia Ltd., EMTN, (fixed rate to 5/04/2017, variable rate thereafter), 6.375%, 5/04/2022 |
639,577 | ||||||||
400,000 | Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A |
412,158 | ||||||||
400,000 | Noble Group Ltd., 6.750%, 1/29/2020, 144A |
406,000 | ||||||||
|
|
|||||||||
1,457,735 | ||||||||||
|
|
|||||||||
Hungary 0.0% |
||||||||||
200,000 | Hungary Government International Bond, 6.375%, 3/29/2021 |
208,000 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Iceland 0.1% |
||||||||||
$ | 1,000,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A |
$ | 1,060,000 | ||||||
|
|
|||||||||
India 0.2% |
||||||||||
200,000 | Canara Bank Ltd., (fixed rate to 11/28/2016, variable rate thereafter), 6.365%, 11/28/2021 |
192,396 | ||||||||
1,400,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
1,337,000 | ||||||||
700,000 | State Bank of India/London, 4.125%, 8/01/2017, 144A |
693,568 | ||||||||
|
|
|||||||||
2,222,964 | ||||||||||
|
|
|||||||||
Indonesia 0.4% |
||||||||||
200,000 | Adaro Indonesia PT, 7.625%, 10/22/2019, 144A |
210,000 | ||||||||
800,000 | Gajah Tunggal Tbk PT, 7.750%, 2/06/2018, 144A |
794,000 | ||||||||
3,500,000,000 | Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR) |
407,938 | ||||||||
781,000,000 | Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR) |
96,421 | ||||||||
2,800,000 | Pertamina Persero PT, 4.300%, 5/20/2023, 144A |
2,590,000 | ||||||||
|
|
|||||||||
4,098,359 | ||||||||||
|
|
|||||||||
Ireland 0.0% |
||||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) |
171,846 | ||||||||
|
|
|||||||||
Italy 0.7% |
||||||||||
500,000 | Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR) |
581,953 | ||||||||
4,295,000 | Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(d) |
5,857,099 | ||||||||
400,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 3/01/2022, (EUR) |
547,193 | ||||||||
125,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
113,351 | ||||||||
10,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
9,339 | ||||||||
100,000 | Telecom Italia SpA, EMTN, 5.375%, 1/29/2019, (EUR) |
135,851 | ||||||||
|
|
|||||||||
7,244,786 | ||||||||||
|
|
|||||||||
Japan 0.2% |
||||||||||
1,700,000 | Softbank Corp., 4.500%, 4/15/2020, 144A |
1,638,375 | ||||||||
|
|
|||||||||
Korea 1.0% |
||||||||||
3,700,000 | Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK) |
585,607 | ||||||||
8,000,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) |
189,296 | ||||||||
400,000 | Hana Bank, 4.000%, 11/03/2016, 144A |
420,478 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Korea continued |
||||||||||
$ | 600,000 | Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A |
$ | 610,948 | ||||||
600,000 | Hyundai Steel Co., 4.625%, 4/21/2016, 144A |
635,219 | ||||||||
600,000 | Industrial Bank of Korea, 2.375%, 7/17/2017, 144A |
582,653 | ||||||||
400,000 | Kia Motors Corp., 3.625%, 6/14/2016, 144A |
414,734 | ||||||||
400,000 | Korea Finance Corp., 4.625%, 11/16/2021 |
406,555 | ||||||||
400,000 | Korea National Oil Corp., 3.125%, 4/03/2017, 144A |
402,277 | ||||||||
3,784,140,000 | Korea Treasury Bond, 2.750%, 9/10/2017, (KRW) |
3,261,840 | ||||||||
970,000,000 | Korea Treasury Bond, 4.000%, 3/10/2016, (KRW) |
872,695 | ||||||||
2,700,000,000 | Korea Treasury Bond, 5.000%, 9/10/2014, (KRW) |
2,426,141 | ||||||||
250,000 | Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A |
250,552 | ||||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A |
164,810 | ||||||||
200,000 | Woori Bank, 5.875%, 4/13/2021, 144A |
213,291 | ||||||||
|
|
|||||||||
11,437,096 | ||||||||||
|
|
|||||||||
Luxembourg 0.2% |
||||||||||
400,000 | Altice Financing S.A., 7.875%, 12/15/2019, 144A |
418,000 | ||||||||
400,000 | ArcelorMittal, 7.250%, 3/01/2041 |
374,000 | ||||||||
400,000 | Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A |
380,000 | ||||||||
500,000 | INEOS Group Holdings S.A., 6.125%, 8/15/2018, 144A |
477,500 | ||||||||
500,000 | Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A |
475,130 | ||||||||
400,000 | VTB Bank OJSC, 6.000%, 4/12/2017, 144A |
414,272 | ||||||||
|
|
|||||||||
2,538,902 | ||||||||||
|
|
|||||||||
Malaysia 0.6% |
||||||||||
1,750,000 | Malaysia Government Bond, 3.434%, 8/15/2014, (MYR) |
555,847 | ||||||||
18,220,000 | Malaysia Government Bond, 4.012%, 9/15/2017, (MYR) |
5,883,148 | ||||||||
1,000,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) |
324,646 | ||||||||
|
|
|||||||||
6,763,641 | ||||||||||
|
|
|||||||||
Mexico 1.6% |
||||||||||
7,000,000 | America Movil SAB de CV, 3.500%, 2/08/2015, (CNY) |
1,108,413 | ||||||||
10,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
747,406 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Mexico continued |
||||||||||
$ | 300,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A |
$ | 281,250 | ||||||
600,000 | BBVA Bancomer S.A., 6.750%, 9/30/2022, 144A |
648,000 | ||||||||
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
654,546 | ||||||||
264,500 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
2,152,343 | |||||||
616,200 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN) |
4,998,532 | |||||||
424,200 | () | Mexican Fixed Rate Bonds, Series M-10, 7.750%, 12/14/2017, (MXN)(d) |
3,609,900 | |||||||
74,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.000%, 12/17/2015, (MXN) |
617,576 | |||||||
300,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN) |
2,650,140 | |||||||
|
|
|||||||||
17,468,106 | ||||||||||
|
|
|||||||||
Netherlands 0.3% |
||||||||||
525,000 | Bharti Airtel International Netherlands BV, 5.125%, 3/11/2023, 144A |
477,120 | ||||||||
200,000 | Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A |
214,000 | ||||||||
400,000 | Listrindo Capital BV, 6.950%, 2/21/2019, 144A |
408,000 | ||||||||
100,000 | Myriad International Holding BV, 6.375%, 7/28/2017, 144A |
109,500 | ||||||||
850,000 | Petrobras Global Finance BV, 3.000%, 1/15/2019 |
789,553 | ||||||||
1,750,000 | Petrobras Global Finance BV, 4.375%, 5/20/2023 |
1,605,349 | ||||||||
|
|
|||||||||
3,603,522 | ||||||||||
|
|
|||||||||
New Zealand 0.1% |
||||||||||
1,000,000 | New Zealand Government Bond, 6.000%, 5/15/2021, (NZD) |
881,598 | ||||||||
|
|
|||||||||
Norway 0.3% |
||||||||||
475,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
456,000 | ||||||||
13,760,000 | Norwegian Government Bond, 4.500%, 5/22/2019, (NOK) |
2,571,300 | ||||||||
|
|
|||||||||
3,027,300 | ||||||||||
|
|
|||||||||
Panama 0.0% |
||||||||||
300,000 | Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A |
303,750 | ||||||||
|
|
|||||||||
Peru 0.0% |
||||||||||
400,000 | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A |
354,000 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Philippines 0.1% |
||||||||||
40,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) |
$ | 880,222 | |||||||
30,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
707,021 | ||||||||
|
|
|||||||||
1,587,243 | ||||||||||
|
|
|||||||||
Poland 0.1% |
||||||||||
2,200,000 | Poland Government Bond, 4.750%, 4/25/2017, (PLN) |
690,351 | ||||||||
95,000 | Poland Government International Bond, 3.000%, 9/23/2014, (CHF) |
103,605 | ||||||||
800,000 | Poland Government International Bond, 3.000%, 3/17/2023 |
722,000 | ||||||||
|
|
|||||||||
1,515,956 | ||||||||||
|
|
|||||||||
Portugal 0.1% |
||||||||||
440,000 | Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR) |
398,941 | ||||||||
715,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
830,073 | ||||||||
|
|
|||||||||
1,229,014 | ||||||||||
|
|
|||||||||
Romania 0.1% |
||||||||||
2,600,000 | Romania Government Bond, 5.750%, 1/27/2016, (RON) |
766,640 | ||||||||
|
|
|||||||||
Russia 0.0% |
||||||||||
200,000 | Gazprom OAO Via Gaz Capital S.A., 4.950%, 5/23/2016, 144A |
207,666 | ||||||||
|
|
|||||||||
Singapore 0.7% |
||||||||||
2,000,000 | DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A |
2,002,434 | ||||||||
950,000 | Singapore Government Bond, 2.250%, 6/01/2021, (SGD) |
755,052 | ||||||||
2,470,000 | Singapore Government Bond, 2.500%, 6/01/2019, (SGD) |
2,034,805 | ||||||||
3,100,000 | Singapore Government Bond, 3.250%, 9/01/2020, (SGD) |
2,641,572 | ||||||||
500,000 | TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A |
477,500 | ||||||||
|
|
|||||||||
7,911,363 | ||||||||||
|
|
|||||||||
South Africa 0.1% |
||||||||||
650,000 | AngloGold Ashanti Holdings PLC, 5.125%, 8/01/2022 |
574,758 | ||||||||
285,000 | Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR) |
395,269 | ||||||||
700,000 | Transnet SOC Ltd., 4.000%, 7/26/2022, 144A |
612,080 | ||||||||
|
|
|||||||||
1,582,107 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Spain 0.4% |
||||||||||
820,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) |
$ | 865,119 | |||||||
1,270,000 | Spain Government Bond, 4.200%, 1/31/2037, (EUR) |
1,418,190 | ||||||||
645,000 | Spain Government Bond, 4.300%, 10/31/2019, (EUR) |
849,958 | ||||||||
1,250,000 | Spain Government Bond, 5.850%, 1/31/2022, (EUR) |
1,769,104 | ||||||||
|
|
|||||||||
4,902,371 | ||||||||||
|
|
|||||||||
Supranationals 0.2% |
||||||||||
840,000 | Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A |
872,963 | ||||||||
1,115,000 | Corp Andina de Fomento, 4.375%, 6/15/2022 |
1,135,392 | ||||||||
|
|
|||||||||
2,008,355 | ||||||||||
|
|
|||||||||
Sweden 0.3% |
||||||||||
400,000 | Eileme 2 AB, 11.625%, 1/31/2020 |
452,000 | ||||||||
1,000,000 | PKO Finance AB, 4.630%, 9/26/2022, 144A |
971,600 | ||||||||
9,195,000 | Sweden Government Bond, 4.500%, 8/12/2015, (SEK) |
1,466,297 | ||||||||
2,450,000 | Sweden Government Bond, 5.000%, 12/01/2020, (SEK) |
441,645 | ||||||||
|
|
|||||||||
3,331,542 | ||||||||||
|
|
|||||||||
Thailand 0.4% |
||||||||||
950,000 | Thai Oil PCL, 3.625%, 1/23/2023, 144A |
866,716 | ||||||||
93,000,000 | Thailand Government Bond, 3.250%, 6/16/2017, (THB) |
3,002,486 | ||||||||
|
|
|||||||||
3,869,202 | ||||||||||
|
|
|||||||||
Turkey 0.5% |
||||||||||
800,000 | Arcelik AS, 5.000%, 4/03/2023, 144A |
716,000 | ||||||||
600,000 | Export Credit Bank of Turkey, 5.375%, 11/04/2016, 144A |
623,250 | ||||||||
1,600,000 | Turkey Government International Bond, 3.250%, 3/23/2023 |
1,396,000 | ||||||||
1,200,000 | Turkey Government International Bond, 5.125%, 3/25/2022 |
1,230,000 | ||||||||
600,000 | Turkiye Garanti Bankasi A.S., 4.000%, 9/13/2017, 144A |
585,000 | ||||||||
800,000 | Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A |
780,000 | ||||||||
600,000 | Yapi ve Kredi Bankasi Via Unicredit Luxembourg S.A., 5.188%, 10/13/2015, 144A |
612,000 | ||||||||
|
|
|||||||||
5,942,250 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United Arab Emirates 0.1% |
||||||||||
$ | 600,000 | Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A |
$ | 655,500 | ||||||
200,000 | Dubai Electricity & Water Authority, 8.500%, 4/22/2015, 144A |
217,000 | ||||||||
|
|
|||||||||
872,500 | ||||||||||
|
|
|||||||||
United Kingdom 0.5% |
||||||||||
600,000 | Anglo American Capital PLC, 2.625%, 9/27/2017, 144A |
584,971 | ||||||||
410,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
374,344 | ||||||||
250,000 | BAT International Finance PLC, 3.250%, 6/07/2022, 144A |
244,708 | ||||||||
150,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) |
255,615 | ||||||||
60,000 | BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) |
104,152 | ||||||||
150,000 | Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP) |
266,682 | ||||||||
400,000 | Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP) |
625,974 | ||||||||
250,000 | Standard Chartered Bank, Series 17, EMTN, 5.875%, 9/26/2017, (EUR) |
366,340 | ||||||||
705,000 | United Kingdom Treasury, 1.750%, 1/22/2017, (GBP) |
1,103,033 | ||||||||
250,000 | United Kingdom Treasury, 4.250%, 3/07/2036, (GBP) |
432,762 | ||||||||
1,150,000 | Vedanta Resources PLC, 6.000%, 1/31/2019, 144A |
1,092,500 | ||||||||
|
|
|||||||||
5,451,081 | ||||||||||
|
|
|||||||||
United States 14.6% |
||||||||||
425,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
321,938 | ||||||||
15,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
11,250 | ||||||||
975,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
912,011 | ||||||||
1,325,000 | Ally Financial, Inc., 5.500%, 2/15/2017 |
1,384,373 | ||||||||
257,000 | Ally Financial, Inc., 6.750%, 12/01/2014 |
270,171 | ||||||||
55,000 | Ally Financial, Inc., 7.500%, 12/31/2013 |
56,375 | ||||||||
129,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
146,093 | ||||||||
1,728,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
2,077,920 | ||||||||
200,000 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A |
189,000 | ||||||||
720,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
878,400 | ||||||||
16,197 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 |
16,359 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 925,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
$ | 974,171 | ||||||
145,000 | Avnet, Inc., 6.000%, 9/01/2015 |
156,140 | ||||||||
1,820,000 | Ball Corp., 5.000%, 3/15/2022 |
1,810,900 | ||||||||
200,000 | Bank of America Corp., 5.490%, 3/15/2019 |
215,648 | ||||||||
450,000 | Bank of America Corp., (fixed rate to 5/06/2014, variable rate thereafter), 4.750%, 5/06/2019, (EUR) |
579,885 | ||||||||
115,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
122,620 | ||||||||
50,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A |
50,500 | ||||||||
15,000 | Boston Scientific Corp., 5.125%, 1/12/2017 |
16,293 | ||||||||
15,000 | Boston Scientific Corp., 6.400%, 6/15/2016 |
16,870 | ||||||||
1,415,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
1,422,337 | ||||||||
1,995,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
2,079,787 | ||||||||
510,000 | CenturyLink, Inc., 7.650%, 3/15/2042 |
484,500 | ||||||||
55,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
53,625 | ||||||||
605,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
574,750 | ||||||||
20,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
21,500 | ||||||||
95,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
103,075 | ||||||||
2,300,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021 |
2,538,625 | ||||||||
750,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
606,326 | ||||||||
1,470,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 |
1,521,450 | ||||||||
155,000 | Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A |
162,750 | ||||||||
1,005,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
1,015,050 | ||||||||
423,606 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
437,373 | ||||||||
235,000 | Cummins, Inc., 5.650%, 3/01/2098 |
222,579 | ||||||||
233,314 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
254,896 | ||||||||
217,731 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 |
219,909 | ||||||||
42,000 | Dillards, Inc., 6.625%, 1/15/2018 |
46,200 | ||||||||
50,000 | Dillards, Inc., 7.000%, 12/01/2028 |
52,500 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 8,000 | Dillards, Inc., 7.750%, 7/15/2026 |
$ | 8,780 | ||||||
310,000 | DR Horton, Inc., 4.375%, 9/15/2022 |
294,500 | ||||||||
4,214,118 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e) |
3,560,930 | ||||||||
250,000 | Exelon Corp., 4.900%, 6/15/2015 |
267,562 | ||||||||
1,725,000 | First Data Corp., 10.625%, 6/15/2021, 144A |
1,703,437 | ||||||||
150,000 | Foot Locker, Inc., 8.500%, 1/15/2022(c) |
168,316 | ||||||||
25,000 | Ford Motor Co., 6.375%, 2/01/2029 |
26,494 | ||||||||
50,000 | Ford Motor Co., 6.625%, 2/15/2028 |
53,118 | ||||||||
2,105,000 | Ford Motor Co., 6.625%, 10/01/2028 |
2,294,983 | ||||||||
40,000 | Ford Motor Co., 7.125%, 11/15/2025 |
45,471 | ||||||||
835,000 | Ford Motor Co., 7.400%, 11/01/2046 |
983,815 | ||||||||
5,000 | Ford Motor Co., 7.500%, 8/01/2026 |
5,782 | ||||||||
1,000,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 |
1,066,424 | ||||||||
845,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 |
916,074 | ||||||||
905,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
1,043,081 | ||||||||
28,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 |
28,735 | ||||||||
50,000 | General Electric Capital Corp., GMTN, 3.100%, 1/09/2023 |
47,233 | ||||||||
600,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125%, 12/29/2049 |
678,000 | ||||||||
900,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
732,840 | ||||||||
3,435,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
4,290,861 | ||||||||
105,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
133,714 | ||||||||
180,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
232,092 | ||||||||
315,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
440,021 | ||||||||
200,000 | Gerdau Holdings, Inc., 7.000%, 1/20/2020, 144A |
211,000 | ||||||||
800,000 | Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD) |
750,556 | ||||||||
2,295,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
2,350,915 | ||||||||
50,000 | Goldman Sachs Group, Inc. (The), 6.875%, 1/18/2038, (GBP) |
83,177 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 3,045,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 |
$ | 3,121,125 | ||||||
165,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
163,144 | ||||||||
70,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(f) |
67,295 | ||||||||
425,000 | Halcon Resources Corp., 8.875%, 5/15/2021 |
412,250 | ||||||||
410,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
455,158 | ||||||||
1,000,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 |
1,020,000 | ||||||||
20,000 | HCA, Inc., 5.750%, 3/15/2014 |
20,400 | ||||||||
90,000 | HCA, Inc., 6.375%, 1/15/2015 |
94,275 | ||||||||
225,000 | HCA, Inc., 7.050%, 12/01/2027 |
220,500 | ||||||||
245,000 | HCA, Inc., 7.190%, 11/15/2015 |
264,600 | ||||||||
90,000 | HCA, Inc., 7.500%, 12/15/2023 |
93,600 | ||||||||
820,000 | HCA, Inc., 7.500%, 11/06/2033 |
844,600 | ||||||||
1,500,000 | HCA, Inc., 7.690%, 6/15/2025 |
1,620,000 | ||||||||
395,000 | HCA, Inc., 8.360%, 4/15/2024 |
446,350 | ||||||||
195,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
206,700 | ||||||||
75,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
75,375 | ||||||||
855,000 | Hecla Mining Co., 6.875%, 5/01/2021, 144A |
793,013 | ||||||||
585,000 | Hercules, Inc., 6.500%, 6/30/2029 |
508,950 | ||||||||
470,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
513,751 | ||||||||
110,000 | Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A |
120,525 | ||||||||
80,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
80,800 | ||||||||
1,620,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
1,664,550 | ||||||||
1,370,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
1,379,590 | ||||||||
45,000 | iStar Financial, Inc., 3.875%, 7/01/2016 |
43,200 | ||||||||
145,000 | iStar Financial, Inc., 4.875%, 7/01/2018 |
136,300 | ||||||||
70,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
71,400 | ||||||||
405,000 | iStar Financial, Inc., 5.875%, 3/15/2016 |
413,100 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 145,000 | iStar Financial, Inc., 6.050%, 4/15/2015 |
$ | 147,900 | ||||||
200,000 | iStar Financial, Inc., 7.125%, 2/15/2018 |
207,500 | ||||||||
35,000 | iStar Financial, Inc., Series B, 5.700%, 3/01/2014 |
35,525 | ||||||||
5,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
4,388 | ||||||||
64,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
49,920 | ||||||||
10,000 | J.C. Penney Corp., Inc., 7.400%, 4/01/2037 |
8,125 | ||||||||
5,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
3,700 | ||||||||
2,995,000 | Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A |
2,995,000 | ||||||||
370,000 | Jefferies Group LLC, 3.875%, 11/09/2015 |
382,950 | ||||||||
665,000 | Jefferies Group LLC, 5.125%, 4/13/2018 |
694,926 | ||||||||
30,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
29,769 | ||||||||
1,070,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
1,032,550 | ||||||||
685,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
674,725 | ||||||||
1,410,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
1,550,707 | ||||||||
15,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
13,500 | ||||||||
260,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 |
263,900 | ||||||||
1,665,000 | KB Home, 8.000%, 3/15/2020 |
1,848,150 | ||||||||
190,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A |
193,800 | ||||||||
15,000 | Lennar Corp., Series B, 5.500%, 9/01/2014 |
15,488 | ||||||||
1,090,000 | Lennar Corp., Series B, 5.600%, 5/31/2015 |
1,144,500 | ||||||||
55,000 | Lennar Corp., Series B, 6.500%, 4/15/2016 |
59,400 | ||||||||
135,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
134,663 | ||||||||
1,435,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 |
1,528,275 | ||||||||
30,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
32,400 | ||||||||
165,000 | Masco Corp., 6.500%, 8/15/2032 |
164,175 | ||||||||
865,000 | Masco Corp., 7.750%, 8/01/2029 |
954,909 | ||||||||
600,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
649,684 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 2,700,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
$ | 2,657,780 | ||||||
310,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(g) |
223,200 | ||||||||
398,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(g) |
342,280 | ||||||||
1,270,000 | Morgan Stanley, 2.125%, 4/25/2018 |
1,215,429 | ||||||||
1,125,000 | Morgan Stanley, 4.875%, 11/01/2022 |
1,111,389 | ||||||||
230,000 | Morgan Stanley, 5.375%, 11/14/2013, (GBP) |
354,541 | ||||||||
2,500,000 | Morgan Stanley, 5.750%, 1/25/2021 |
2,713,630 | ||||||||
500,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
487,102 | ||||||||
475,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
438,862 | ||||||||
600,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 |
657,583 | ||||||||
100,000 | Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(f) |
96,807 | ||||||||
440,000 | Neenah Paper, Inc., 5.250%, 5/15/2021, 144A |
429,000 | ||||||||
1,552,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
1,218,320 | ||||||||
245,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
193,244 | ||||||||
3,605,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
2,865,975 | ||||||||
2,110,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
1,735,475 | ||||||||
315,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
217,350 | ||||||||
15,000 | News America, Inc., 6.400%, 12/15/2035 |
16,755 | ||||||||
155,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
136,400 | ||||||||
115,000 | Owens Corning, Inc., 6.500%, 12/01/2016 |
128,373 | ||||||||
535,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
572,482 | ||||||||
40,000 | Owens-Illinois, Inc., 7.800%, 5/15/2018 |
45,800 | ||||||||
540,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
496,800 | ||||||||
785,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
733,975 | ||||||||
220,000 | Pulte Group, Inc., 7.875%, 6/15/2032 |
242,000 | ||||||||
1,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,475,175 | ||||||||
650,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
624,000 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 400,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
$ | 440,000 | ||||||
60,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
59,100 | ||||||||
560,000 | Qwest Corp., 6.875%, 9/15/2033 |
541,800 | ||||||||
115,000 | Qwest Corp., 7.250%, 9/15/2025 |
128,586 | ||||||||
1,155,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 |
1,212,750 | ||||||||
200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A |
200,000 | ||||||||
500,000 | Range Resources Corp., 5.000%, 8/15/2022 |
488,750 | ||||||||
750,000 | Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A |
761,917 | ||||||||
80,000 | Reynolds American, Inc., 6.750%, 6/15/2017 |
92,703 | ||||||||
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 |
648,450 | ||||||||
855,000 | Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A |
735,300 | ||||||||
1,970,000 | Rosetta Resources, Inc., 5.625%, 5/01/2021 |
1,923,212 | ||||||||
760,000 | Shearers Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A |
803,700 | ||||||||
915,000 | SLM Corp., 5.500%, 1/25/2023 |
871,267 | ||||||||
1,600 | () | SLM Corp., 6.000%, 12/15/2043 |
36,529 | |||||||
141,000 | SLM Corp., MTN, 3.875%, 9/10/2015 |
142,417 | ||||||||
40,000 | SLM Corp., MTN, 4.625%, 9/25/2017 |
39,400 | ||||||||
1,130,000 | SLM Corp., MTN, 7.250%, 1/25/2022 |
1,186,500 | ||||||||
10,000 | SLM Corp., Series A, MTN, 0.576%, 1/27/2014(f) |
9,912 | ||||||||
10,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
9,699 | ||||||||
2,560,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
2,124,800 | ||||||||
595,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
660,450 | ||||||||
400,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
391,000 | ||||||||
300,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
299,250 | ||||||||
595,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
583,844 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 294,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
$ | 282,240 | ||||||
420,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
436,800 | ||||||||
110,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
121,000 | ||||||||
26,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
27,430 | ||||||||
2,910,000 | SUPERVALU, Inc., 6.750%, 6/01/2021, 144A |
2,706,300 | ||||||||
1,360,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
1,169,600 | ||||||||
820,000 | Textron, Inc., 5.950%, 9/21/2021 |
903,565 | ||||||||
1,431,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
1,291,478 | ||||||||
2,425,000 | U.S. Treasury Note, 0.125%, 12/31/2014 |
2,420,642 | ||||||||
21,000,000 | U.S. Treasury Note, 0.250%, 5/31/2014 |
21,012,306 | ||||||||
2,420,000 | U.S. Treasury Note, 0.250%, 10/31/2014 |
2,420,946 | ||||||||
6,595,000 | U.S. Treasury Note, 0.250%, 2/15/2015(d) |
6,591,135 | ||||||||
2,735,000 | U.S. Treasury Note, 0.250%, 12/15/2015 |
2,718,546 | ||||||||
2,420,000 | U.S. Treasury Note, 0.375%, 11/15/2015 |
2,414,705 | ||||||||
3,230,000 | U.S. Treasury Note, 1.625%, 11/15/2022 |
3,015,257 | ||||||||
33,418 | UAL Pass Through Trust, Series 2009-1, 10.400%, 05/01/2018 |
38,431 | ||||||||
630,000 | United Continental Holdings, Inc., 6.375%, 6/01/2018 |
618,975 | ||||||||
295,000 | United Rentals North America, Inc., 7.625%, 4/15/2022 |
319,338 | ||||||||
1,735,000 | United States Steel Corp., 6.650%, 6/01/2037 |
1,461,737 | ||||||||
770,000 | United States Steel Corp., 7.500%, 3/15/2022 |
754,600 | ||||||||
139,748 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
146,735 | ||||||||
74,946 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 |
81,316 | ||||||||
530,000 | US Airways Pass Through Trust, Series 2012-2A, Class A , 4.625%, 12/03/2026 |
524,700 | ||||||||
50,000 | USG Corp., 6.300%, 11/15/2016 |
51,000 | ||||||||
230,000 | USG Corp., 9.750%, 1/15/2018 |
261,050 | ||||||||
525,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A |
519,094 | ||||||||
110,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
115,330 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
||||||||||
$ | 260,000 | Visant Corp., 10.000%, 10/01/2017 |
$ | 239,850 | ||||||
85,000 | Wells Fargo & Co., 4.625%, 11/02/2035, (GBP) |
127,672 | ||||||||
100,000 | Wells Fargo & Co., Series F, EMTN, 4.875%, 11/29/2035, (GBP) |
145,769 | ||||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
68,648 | ||||||||
315,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
378,148 | ||||||||
125,000 | Xerox Corp., 6.750%, 2/01/2017 |
141,409 | ||||||||
20,000 | Xerox Corp., MTN, 7.200%, 4/01/2016 |
22,651 | ||||||||
250,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
335,988 | ||||||||
|
|
|||||||||
164,246,594 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $304,227,225) |
307,968,063 | |||||||||
|
|
|||||||||
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) |
309,313 | ||||||||
390,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
367,331 | ||||||||
175,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
173,688 | ||||||||
185,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
231,481 | ||||||||
125,000 | Ford Motor Co., 4.250%, 11/15/2016 |
225,859 | ||||||||
420,000 | Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(h) |
421,312 | ||||||||
325,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(h) |
321,547 | ||||||||
1,125,000 | Intel Corp., 3.250%, 8/01/2039 |
1,433,672 | ||||||||
215,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(g) |
250,206 | ||||||||
2,200,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
2,475,000 | ||||||||
375,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
693,750 | ||||||||
610,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A |
617,625 | ||||||||
90,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
105,525 | ||||||||
265,000 | United States Steel Corp., 2.750%, 4/01/2019 |
261,522 | ||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $6,637,500) |
7,887,831 | |||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Municipals 0.1% |
||||||||||
United States 0.1% |
||||||||||
$ | 415,000 | State of Illinois, 5.100%, 6/01/2033 |
$ | 385,104 | ||||||
130,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
97,614 | ||||||||
|
|
|||||||||
Total Municipals (Identified Cost $447,084) |
482,718 | |||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $311,311,809) |
316,338,612 | |||||||||
|
|
|||||||||
Senior Loans 0.5% |
||||||||||
United States 0.5% |
||||||||||
310,000 | Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(f) |
309,904 | ||||||||
1,870,313 | Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(f) |
1,828,230 | ||||||||
1,065,000 | Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(f) |
1,062,337 | ||||||||
435,000 | Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f) |
429,563 | ||||||||
120,000 | Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f) |
117,900 | ||||||||
44,015 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(f) |
34,525 | ||||||||
923,316 | Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(f) |
916,262 | ||||||||
344,138 | TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(f) |
347,366 | ||||||||
814,000 | US Airways Group, Inc., Term Loan B1, 4.250%, 5/23/2019(f) |
803,483 | ||||||||
|
|
|||||||||
Total Senior Loans (Identified Cost $5,907,641) |
5,849,570 | |||||||||
|
|
|||||||||
Shares |
||||||||||
Preferred Stocks 0.5% |
||||||||||
Convertible Preferred Stocks 0.4% |
||||||||||
United States 0.4% |
||||||||||
460 | Chesapeake Energy Corp., 5.000% |
39,822 | ||||||||
100 | Chesapeake Energy Corp., Series A, 5.750% 144A |
102,563 | ||||||||
71,820 | General Motors Co., Series B, 4.750% |
3,458,851 | ||||||||
820 | Lucent Technologies Capital Trust I, 7.750% |
783,100 | ||||||||
|
|
|||||||||
Total Convertible Preferred Stocks (Identified Cost $4,105,301) |
4,384,336 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks continued |
||||||||||
Non-Convertible Preferred Stock 0.1% |
||||||||||
United States 0.1% |
||||||||||
682 | Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $145,366) |
$ | 648,220 | |||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $4,250,667) |
5,032,556 | |||||||||
|
|
|||||||||
Principal Amount () |
||||||||||
Short-Term Investments 3.7% |
||||||||||
$ | 28,626 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $28,626 on 7/01/2013 collateralized by $35,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $32,969 including accrued interest(i) |
28,626 | |||||||
41,928,976 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $41,928,976 on 7/01/2013 collateralized by $44,320,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $42,768,800 including accrued interest(i) |
41,928,976 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $41,957,602) |
41,957,602 | |||||||||
|
|
|||||||||
Total Investments 101.3% (Identified Cost $1,059,891,263)(a) |
1,137,509,618 | |||||||||
Other assets less liabilities (1.3)% |
(14,362,358 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 1,123,147,260 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, approximately 23% of the market value of investments 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 those securities. |
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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $1,060,506,899 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 |
$ | 103,134,163 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(26,131,444 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 77,002,719 | ||
|
|
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 by the Funds investment adviser. At June 30, 2013, the value of these securities amounted to $8,519,318 or 0.8% of net assets. |
(d) | All 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) | Variable rate security. Rate as of June 30, 2013 is disclosed. |
(g) | Illiquid security. At June 30, 2013, the value of these securities amounted to $815,686 or 0.1% of net assets. |
(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 June 30, 2013, the value of Rule 144A holdings amounted to $83,869,845 or 7.5% of net assets. |
GDR | A 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 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 |
OJSC | Open Joint-Stock Company |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CHF | Swiss Franc |
CLP | Chilean Peso |
CNY | Chinese Yuan Renminbi |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
KRW | South Korean Won |
MXN | Mexican Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
RON | Romanian Leu |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
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 June 30, 2013, 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 |
9/18/2013 | Australian Dollar | 700,000 | $ | 636,567 | $ | 30,883 | |||||||||||||
Buy1 |
8/02/2013 | Brazilian Real | 1,980,000 | 881,155 | (97,202 | ) | ||||||||||||||
Sell1 |
8/02/2013 | Brazilian Real | 1,980,000 | 881,155 | 89,052 | |||||||||||||||
Sell1 |
7/08/2013 | Brazilian Real | 1,610,000 | 720,555 | 71,534 | |||||||||||||||
Sell1 |
9/05/2013 | Canadian Dollar | 6,610,000 | 6,275,378 | 96,198 | |||||||||||||||
Buy2 |
9/20/2013 | Malaysian Ringgit | 1,250,000 | 393,602 | 903 | |||||||||||||||
Buy3 |
7/31/2013 | New Zealand Dollar | 3,165,000 | 2,447,623 | (36,624 | ) | ||||||||||||||
Sell3 |
7/31/2013 | New Zealand Dollar | 3,165,000 | 2,447,623 | 195,215 | |||||||||||||||
Buy3 |
9/11/2013 | South Korean Won | 780,000,000 | 680,737 | (12,812 | ) | ||||||||||||||
Buy1 |
9/11/2013 | South Korean Won | 1,488,000,000 | 1,298,636 | (24,383 | ) | ||||||||||||||
|
|
|||||||||||||||||||
Total |
|
$ | 312,764 | |||||||||||||||||
|
|
At June 30, 2013, the Fund had the following open forward foreign cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive4/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
9/12/2013 |
Norwegian Krone | 5,600,000 | Euro | 730,768 | $ | 31,920 | ||||||||||||||
|
|
1Counterparty is Credit Suisse International.
2 Counterparty is JP Morgan Chase Bank, N.A.
3Counterparty 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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks |
||||||||||||||||
Belgium |
$ | | $ | 15,945,495 | $ | | $ | 15,945,495 | ||||||||
China |
| 24,008,178 | | 24,008,178 | ||||||||||||
France |
| 21,804,811 | | 21,804,811 | ||||||||||||
Germany |
| 28,138,190 | | 28,138,190 | ||||||||||||
Japan |
| 10,401,651 | | 10,401,651 | ||||||||||||
Russia |
| 8,351,002 | | 8,351,002 | ||||||||||||
Sweden |
| 12,702,356 | | 12,702,356 | ||||||||||||
Switzerland |
| 24,037,395 | | 24,037,395 | ||||||||||||
Thailand |
| 12,067,347 | | 12,067,347 | ||||||||||||
United Kingdom |
| 111,722,165 | | 111,722,165 | ||||||||||||
All Other Common Stocks* |
499,152,688 | | | 499,152,688 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
499,152,688 | 269,178,590 | | 768,331,278 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Korea |
| 4,876,420 | 6,560,676 | 11,437,096 | ||||||||||||
United States |
36,529 | 161,117,980 | 3,092,085 | 164,246,594 | ||||||||||||
All Other Non-Convertible Bonds* |
| 132,284,373 | | 132,284,373 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
36,529 | 298,278,773 | 9,652,761 | 307,968,063 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 7,887,831 | | 7,887,831 | ||||||||||||
Municipals* |
| 482,718 | | 482,718 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
36,529 | 306,649,322 | 9,652,761 | 316,338,612 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 5,849,570 | | 5,849,570 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
4,384,336 | | | 4,384,336 | ||||||||||||
Non-Convertible Preferred Stock* |
| 648,220 | | 648,220 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
4,384,336 | 648,220 | | 5,032,556 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 41,957,602 | | 41,957,602 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
503,573,553 | 624,283,304 | 9,652,761 | 1,137,509,618 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 515,705 | | 515,705 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 503,573,553 | $ | 624,799,009 | $ | 9,652,761 | $ | 1,138,025,323 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (171,021 | ) | $ | | $ | (171,021 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 and/or June 30, 2013:
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Korea |
$ | 2,528,229 | $ | (23,619 | ) | $ | | $ | (316,876 | ) | $ | 4,372,942 | $ | | $ | | $ | | $ | 6,560,676 | $ | (316,876 | ) | |||||||||||||||||
United States |
638,272 | 1,168 | 48,721 | (82,472 | ) | 1,735,000 | (535,664 | ) | 1,925,332 | (638,272 | ) | 3,092,085 | (82,472 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 3,166,501 | $ | (22,451 | ) | $ | 48,721 | $ | (399,348 | ) | $ | 6,107,942 | $ | (535,664 | ) | $ | 1,925,332 | $ | (638,272 | ) | $ | 9,652,761 | $ | (399,348 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $1,925,332 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
A debt valued at $638,272 was transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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 June 30, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of June 30, 2013, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $515,705 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $344,684.
The following is a summary of derivative instruments for the Fund, as of June 30, 2013:
Asset Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized appreciation) |
$ | 515,705 | ||
Liability Derivatives |
Foreign Exchange Contracts |
|||
Forwards (unrealized depreciation) |
$ | (171,021 | ) |
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.
Unfunded Loan Commitments
The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Funds books and records. As of June 30, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:
Borrower |
Unfunded Loan Commitment | |||
Power Team Services LLC |
$ | 55,000 |
Industry Summary at June 30, 2013 (Unaudited)
Treasuries |
9.3 | % | ||
Pharmaceuticals |
7.5 | |||
Commercial Banks |
5.7 | |||
Beverages |
4.3 | |||
Chemicals |
4.2 | |||
Oil, Gas & Consumable Fuels |
4.1 | |||
Banking |
3.5 | |||
Specialty Retail |
3.1 | |||
Energy Equipment & Services |
2.9 | |||
Internet Software & Services |
2.9 | |||
Aerospace & Defense |
2.8 | |||
Diversified Financial Services |
2.3 | |||
Textiles, Apparel & Luxury Goods |
2.2 | |||
Machinery |
2.2 | |||
Other Investments, less than 2% each |
40.6 | |||
Short-Term Investments |
3.7 | |||
|
|
|||
Total Investments |
101.3 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
(1.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2013 (Unaudited)
United States Dollar |
67.9 | % | ||
British Pound |
10.4 | |||
Euro |
7.2 | |||
Mexican Peso |
2.6 | |||
Swiss Franc |
2.1 | |||
Hong Kong Dollar |
2.1 | |||
Other, less than 2% each |
9.0 | |||
|
|
|||
Total Investments |
101.3 | |||
Other assets less liabilities (including open forward foreign currency contracts) |
(1.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Growth Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 97.8% of Net Assets |
||||||||||
Air Freight & Logistics 6.6% |
| |||||||||
167,217 | Expeditors International of Washington, Inc. |
$ | 6,355,918 | |||||||
87,311 | United Parcel Service, Inc., Class B |
7,550,655 | ||||||||
|
|
|||||||||
13,906,573 | ||||||||||
|
|
|||||||||
Beverages 7.4% |
| |||||||||
121,016 | Coca-Cola Co. (The) |
4,853,952 | ||||||||
6,779 | Diageo PLC, Sponsored ADR |
779,246 | ||||||||
80,451 | Monster Beverage Corp.(b) |
4,889,007 | ||||||||
105,305 | SABMiller PLC, Sponsored ADR |
5,074,648 | ||||||||
|
|
|||||||||
15,596,853 | ||||||||||
|
|
|||||||||
Biotechnology 2.4% |
| |||||||||
51,524 | Amgen, Inc. |
5,083,358 | ||||||||
|
|
|||||||||
Capital Markets 6.6% |
| |||||||||
21,657 | Franklin Resources, Inc. |
2,945,785 | ||||||||
57,603 | Greenhill & Co., Inc. |
2,634,761 | ||||||||
106,125 | Legg Mason, Inc. |
3,290,937 | ||||||||
178,656 | SEI Investments Co. |
5,079,190 | ||||||||
|
|
|||||||||
13,950,673 | ||||||||||
|
|
|||||||||
Communications Equipment 9.9% |
| |||||||||
495,532 | Cisco Systems, Inc. |
12,046,383 | ||||||||
142,639 | QUALCOMM, Inc. |
8,712,390 | ||||||||
|
|
|||||||||
20,758,773 | ||||||||||
|
|
|||||||||
Consumer Finance 2.8% |
| |||||||||
77,867 | American Express Co. |
5,821,337 | ||||||||
|
|
|||||||||
Energy Equipment & Services 3.0% |
| |||||||||
87,928 | Schlumberger Ltd. |
6,300,920 | ||||||||
|
|
|||||||||
Food Products 3.9% |
| |||||||||
551,247 | Danone S.A., Sponsored ADR |
8,268,705 | ||||||||
|
|
|||||||||
Health Care Equipment & Supplies 6.3% |
| |||||||||
72,398 | Varian Medical Systems, Inc.(b) |
4,883,245 | ||||||||
112,656 | Zimmer Holdings, Inc. |
8,442,441 | ||||||||
|
|
|||||||||
13,325,686 | ||||||||||
|
|
|||||||||
Household Products 4.5% |
| |||||||||
35,286 | Clorox Co. (The) |
2,933,678 | ||||||||
84,692 | Procter & Gamble Co. (The) |
6,520,437 | ||||||||
|
|
|||||||||
9,454,115 | ||||||||||
|
|
|||||||||
Internet & Catalog Retail 5.7% |
| |||||||||
43,033 | Amazon.com, Inc.(b) |
11,949,834 | ||||||||
|
|
|||||||||
Internet Software & Services 8.7% |
| |||||||||
230,237 | Facebook, Inc., Class A(b) |
5,723,692 |
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Internet Software & Services continued |
| |||||||||
14,218 | Google, Inc., Class A(b) |
$ | 12,517,100 | |||||||
|
|
|||||||||
18,240,792 | ||||||||||
|
|
|||||||||
IT Services 6.7% |
| |||||||||
48,028 | Automatic Data Processing, Inc. |
3,307,208 | ||||||||
58,707 | Visa, Inc., Class A |
10,728,704 | ||||||||
|
|
|||||||||
14,035,912 | ||||||||||
|
|
|||||||||
Pharmaceuticals 5.0% |
| |||||||||
77,441 | Merck & Co., Inc. |
3,597,134 | ||||||||
98,850 | Novartis AG, ADR |
6,989,684 | ||||||||
|
|
|||||||||
10,586,818 | ||||||||||
|
|
|||||||||
Semiconductors & Semiconductor Equipment 3.3% |
| |||||||||
19,302 | Altera Corp. |
636,773 | ||||||||
23,037 | Analog Devices, Inc. |
1,038,047 | ||||||||
148,364 | ARM Holdings PLC, Sponsored ADR |
5,367,810 | ||||||||
|
|
|||||||||
7,042,630 | ||||||||||
|
|
|||||||||
Software 11.2% |
| |||||||||
149,416 | Autodesk, Inc.(b) |
5,071,179 | ||||||||
45,017 | FactSet Research Systems, Inc. |
4,589,033 | ||||||||
154,248 | Microsoft Corp. |
5,326,184 | ||||||||
282,896 | Oracle Corp. |
8,690,565 | ||||||||
|
|
|||||||||
23,676,961 | ||||||||||
|
|
|||||||||
Specialty Retail 3.8% |
| |||||||||
195,159 | Lowes Cos., Inc. |
7,982,003 | ||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $162,773,913) |
205,981,943 | |||||||||
|
|
|||||||||
Principal Amount |
||||||||||
Short-Term Investments 3.7% |
||||||||||
$ | 7,785,563 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $7,785,563
on 7/01/2013 collateralized by $8,095,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $7,943,219 including accrued interest(c) |
7,785,563 | |||||||
|
|
|||||||||
Total Investments 101.5% (Identified Cost $170,559,476)(a) |
213,767,506 | |||||||||
Other assets less liabilities (1.5)% |
(3,142,949 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 210,624,557 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $170,559,476 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 |
$ | 44,347,025 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,138,995 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 43,208,030 | ||
|
|
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 205,981,943 | $ | | $ | | $ | 205,981,943 | ||||||||
Short-Term Investments |
| 7,785,563 | | 7,785,563 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 205,981,943 | $ | 7,785,563 | $ | | $ | 213,767,506 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at June 30, 2013 (Unaudited)
Software |
11.2 | % | ||
Communications Equipment |
9.9 | |||
Internet Software & Services |
8.7 | |||
Beverages |
7.4 | |||
IT Services |
6.7 | |||
Capital Markets |
6.6 | |||
Air Freight & Logistics |
6.6 | |||
Health Care Equipment & Supplies |
6.3 | |||
Internet & Catalog Retail |
5.7 | |||
Pharmaceuticals |
5.0 | |||
Household Products |
4.5 | |||
Food Products |
3.9 | |||
Specialty Retail |
3.8 | |||
Semiconductors & Semiconductor Equipment |
3.3 | |||
Energy Equipment & Services |
3.0 | |||
Consumer Finance |
2.8 | |||
Biotechnology |
2.4 | |||
Short-Term Investments |
3.7 | |||
|
|
|||
Total Investments |
101.5 | |||
Other assets less liabilities |
(1.5 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Institutional High Income Fund
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 79.5% of Net Assets |
||||||||||
Non-Convertible Bonds 64.6% |
||||||||||
Aerospace & Defense 2.4% |
||||||||||
135,000 | Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD) |
$ | 132,837 | |||||||
2,175,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
2,175,000 | ||||||||
500,000 | Ducommun, Inc., 9.750%, 7/15/2018 |
546,250 | ||||||||
3,220,000 | GenCorp, Inc., 7.125%, 3/15/2021, 144A |
3,332,700 | ||||||||
900,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
745,498 | ||||||||
5,200,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
4,722,110 | ||||||||
2,610,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A |
2,270,700 | ||||||||
1,580,000 | TransDigm, Inc., 7.500%, 7/15/2021, 144A |
1,615,550 | ||||||||
|
|
|||||||||
15,540,645 | ||||||||||
|
|
|||||||||
Airlines 2.5% |
||||||||||
985,000 | Air Canada, 10.125%, 8/01/2015, 144A, (CAD) |
985,749 | ||||||||
435,000 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A |
433,912 | ||||||||
327,905 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
357,416 | ||||||||
82,057 | Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019 |
86,980 | ||||||||
62,825 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 |
65,966 | ||||||||
306,992 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
335,389 | ||||||||
343,786 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 |
347,224 | ||||||||
1,150,000 | United Continental Holdings, Inc., 6.375%, 6/01/2018 |
1,129,875 | ||||||||
443,877 | US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018 |
468,290 | ||||||||
3,419,660 | US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A |
3,607,742 | ||||||||
1,538,132 | US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020 |
1,718,863 | ||||||||
464,716 | US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014 |
490,275 | ||||||||
309,777 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 |
336,107 | ||||||||
3,482,356 | US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015 |
3,691,298 | ||||||||
2,250,000 | US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023 |
2,227,500 | ||||||||
|
|
|||||||||
16,282,586 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Automotive 0.5% |
| |||||||||
$ | 1,000,000 | American Axle & Manufacturing, Inc., 6.625%, 10/15/2022 |
$ | 1,015,000 | ||||||
15,000 | Ford Motor Co., 6.375%, 2/01/2029 |
15,896 | ||||||||
95,000 | Ford Motor Co., 6.625%, 2/15/2028 |
100,925 | ||||||||
230,000 | Ford Motor Co., 7.125%, 11/15/2025 |
261,457 | ||||||||
40,000 | Ford Motor Co., 7.500%, 8/01/2026 |
46,258 | ||||||||
2,090,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
2,066,487 | ||||||||
|
|
|||||||||
3,506,023 | ||||||||||
|
|
|||||||||
Banking 4.9% |
| |||||||||
2,700,000 | Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL) |
1,113,227 | ||||||||
915,000 | Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049 |
1,019,081 | ||||||||
4,520,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
3,654,125 | ||||||||
7,410,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
6,836,244 | ||||||||
9,495,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
10,053,657 | ||||||||
7,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) |
679,476 | ||||||||
11,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
1,089,028 | ||||||||
1,700,000 | Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A |
1,258,000 | ||||||||
475,000 | RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b) |
383,645 | ||||||||
80,000 | RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR) |
67,686 | ||||||||
135,000 | RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049 |
93,825 | ||||||||
160,000 | RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049 |
128,000 | ||||||||
85,000 | RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049 |
62,050 | ||||||||
3,545,000 | Royal Bank of Scotland Group PLC, 4.700%, 7/03/2018 |
3,440,139 | ||||||||
105,000 | Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR) |
90,218 | ||||||||
1,545,000 | Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR) |
1,362,284 | ||||||||
85,000 | Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049 |
76,075 | ||||||||
435,000 | SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR) |
557,724 | ||||||||
|
|
|||||||||
31,964,484 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Brokerage 0.4% |
| |||||||||
$ | 1,615,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
$ | 1,558,475 | ||||||
1,045,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
1,029,325 | ||||||||
165,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
181,466 | ||||||||
|
|
|||||||||
2,769,266 | ||||||||||
|
|
|||||||||
Building Materials 0.8% |
||||||||||
3,200,000 | HD Supply, Inc., 10.500%, 1/15/2021 |
3,312,000 | ||||||||
670,000 | Masco Corp., 6.500%, 8/15/2032 |
666,650 | ||||||||
1,225,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
1,310,824 | ||||||||
|
|
|||||||||
5,289,474 | ||||||||||
|
|
|||||||||
Chemicals 2.4% |
||||||||||
3,043,000 | Hercules, Inc., 6.500%, 6/30/2029 |
2,647,410 | ||||||||
3,687,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
3,760,740 | ||||||||
1,240,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020 |
1,184,200 | ||||||||
1,824,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c) |
1,313,280 | ||||||||
539,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c) |
463,540 | ||||||||
2,641,000 | Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c) |
2,165,620 | ||||||||
4,416,092 | Reichhold Industries, Inc., 9.000%, 5/08/2017, 144A(c)(d) |
3,334,149 | ||||||||
600,000 | U.S. Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375%, 5/01/2021, 144A |
612,000 | ||||||||
|
|
|||||||||
15,480,939 | ||||||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities 0.0% |
||||||||||
320,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b) |
307,635 | ||||||||
|
|
|||||||||
Consumer Cyclical Services 0.3% |
||||||||||
135,000 | ServiceMaster Co. (The), 7.100%, 3/01/2018 |
130,275 | ||||||||
1,902,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 |
1,616,700 | ||||||||
|
|
|||||||||
1,746,975 | ||||||||||
|
|
|||||||||
Consumer Products 0.3% |
||||||||||
2,270,000 | Visant Corp., 10.000%, 10/01/2017 |
2,094,075 | ||||||||
|
|
|||||||||
Electric 0.9% |
||||||||||
215,000 | Edison Mission Energy, 7.625%, 5/15/2027(e) |
120,400 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Electric continued |
||||||||||
$ | 1,100,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
$ | 1,080,750 | ||||||
1,000,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
1,030,000 | ||||||||
3,540,028 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(d) |
2,991,323 | ||||||||
365,000 | PPL Energy Supply LLC, 4.600%, 12/15/2021 |
371,433 | ||||||||
|
|
|||||||||
5,593,906 | ||||||||||
|
|
|||||||||
Environmental 0.1% |
||||||||||
536,000 | ADS Waste Holdings, Inc., 8.250%, 10/01/2020, 144A |
546,720 | ||||||||
|
|
|||||||||
Food & Beverage 0.2% |
||||||||||
1,545,000 | Wells Enterprises, Inc., 6.750%, 2/01/2020, 144A |
1,618,388 | ||||||||
|
|
|||||||||
Government Guaranteed 0.8% |
||||||||||
1,185,000 | Autonomous Community of Catalonia, 4.950%, 2/11/2020, (EUR) |
1,356,768 | ||||||||
4,720,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
4,055,823 | ||||||||
|
|
|||||||||
5,412,591 | ||||||||||
|
|
|||||||||
Government OwnedNo Guarantee 0.4% |
||||||||||
9,000,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
884,584 | ||||||||
16,700,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) |
1,640,386 | ||||||||
|
|
|||||||||
2,524,970 | ||||||||||
|
|
|||||||||
Government Sponsored 0.7% |
||||||||||
3,440,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
3,302,400 | ||||||||
1,250,000 | Eksportfinans ASA, 2.375%, 5/25/2016 |
1,196,875 | ||||||||
|
|
|||||||||
4,499,275 | ||||||||||
|
|
|||||||||
Healthcare 3.2% |
||||||||||
2,825,000 | HCA, Inc., 5.875%, 5/01/2023 |
2,832,062 | ||||||||
1,065,000 | HCA, Inc., 7.050%, 12/01/2027 |
1,043,700 | ||||||||
970,000 | HCA, Inc., 7.500%, 12/15/2023 |
1,008,800 | ||||||||
4,660,000 | HCA, Inc., 7.500%, 11/06/2033 |
4,799,800 | ||||||||
1,815,000 | HCA, Inc., 7.690%, 6/15/2025 |
1,960,200 | ||||||||
375,000 | HCA, Inc., 8.360%, 4/15/2024 |
423,750 | ||||||||
945,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
1,001,700 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Healthcare continued |
||||||||||
$ | 1,550,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
$ | 1,557,750 | ||||||
7,644,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
6,573,840 | ||||||||
|
|
|||||||||
21,201,602 | ||||||||||
|
|
|||||||||
Home Construction 1.0% |
||||||||||
300,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A |
303,000 | ||||||||
882,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
793,800 | ||||||||
1,068,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 |
1,084,020 | ||||||||
755,000 | K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 |
781,425 | ||||||||
400,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
368,000 | ||||||||
2,460,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
2,300,100 | ||||||||
870,000 | Pulte Group, Inc., 7.875%, 6/15/2032 |
957,000 | ||||||||
|
|
|||||||||
6,587,345 | ||||||||||
|
|
|||||||||
Independent Energy 2.9% |
||||||||||
150,000 | Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR) |
203,545 | ||||||||
6,640,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A |
3,784,800 | ||||||||
9,150,000 | Connacher Oil and Gas Ltd., 8.750%, 8/01/2018, 144A, (CAD) |
4,915,613 | ||||||||
1,075,000 | OGX Austria GmbH, 8.375%, 4/01/2022, 144A |
311,750 | ||||||||
600,000 | OGX Austria GmbH, 8.500%, 6/01/2018, 144A |
189,000 | ||||||||
3,680,000 | Rex Energy Corp., 8.875%, 12/01/2020, 144A |
3,790,400 | ||||||||
2,400,000 | Rosetta Resources, Inc., 5.625%, 5/01/2021 |
2,343,000 | ||||||||
3,360,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 |
3,192,000 | ||||||||
|
|
|||||||||
18,730,108 | ||||||||||
|
|
|||||||||
Industrial Other 0.2% |
||||||||||
635,000 | Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A |
666,750 | ||||||||
320,000 | Permian Holdings, Inc., 10.500%, 1/15/2018, 144A |
310,400 | ||||||||
|
|
|||||||||
977,150 | ||||||||||
|
|
|||||||||
Life Insurance 2.5% |
||||||||||
1,600,000 | American International Group, Inc., 6.250%, 3/15/2087 |
1,634,000 | ||||||||
6,535,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
7,972,700 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Life Insurance continued |
||||||||||
$ | 4,400,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A |
$ | 4,279,000 | ||||||
280,000 | MetLife Capital Trust X, 9.250%, 4/08/2068, 144A |
369,600 | ||||||||
1,530,000 | MetLife, Inc., 10.750%, 8/01/2069 |
2,363,850 | ||||||||
|
|
|||||||||
16,619,150 | ||||||||||
|
|
|||||||||
Local Authorities 1.9% |
||||||||||
1,535,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) |
1,619,461 | ||||||||
100,000 | City of Madrid Spain, 4.550%, 6/16/2036, (EUR) |
93,857 | ||||||||
905,000 | City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR) |
1,083,753 | ||||||||
2,245,000 | New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD) |
2,057,675 | ||||||||
7,200,000 | Province of Ontario, Canada, 4.200%, 3/08/2018, (CAD) |
7,422,018 | ||||||||
|
|
|||||||||
12,276,764 | ||||||||||
|
|
|||||||||
Media Cable 0.3% |
||||||||||
2,215,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024 |
2,137,475 | ||||||||
|
|
|||||||||
Media Non-Cable 2.4% |
||||||||||
2,210,000 | Clear Channel Communications, Inc., 4.900%, 5/15/2015 |
2,044,250 | ||||||||
4,405,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 |
4,283,863 | ||||||||
1,770,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A |
1,787,700 | ||||||||
980,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A |
1,011,850 | ||||||||
1,206,000 | R.R. Donnelley & Sons Co., 7.625%, 6/15/2020 |
1,224,090 | ||||||||
1,665,000 | R.R. Donnelley & Sons Co., 7.875%, 3/15/2021 |
1,698,300 | ||||||||
3,230,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 |
3,391,500 | ||||||||
|
|
|||||||||
15,441,553 | ||||||||||
|
|
|||||||||
Metals & Mining 3.5% |
||||||||||
5,685,000 | Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
5,002,800 | ||||||||
377,000 | Essar Steel Algoma, Inc., 9.375%, 3/15/2015, 144A |
358,150 | ||||||||
11,060,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A |
8,516,200 | ||||||||
3,125,000 | Hecla Mining Co., 6.875%, 5/01/2021, 144A |
2,898,437 | ||||||||
800,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A |
800,000 | ||||||||
2,020,000 | United States Steel Corp., 6.650%, 6/01/2037 |
1,701,850 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Metals & Mining continued |
||||||||||
$ | 3,680,000 | United States Steel Corp., 7.500%, 3/15/2022 |
$ | 3,606,400 | ||||||
|
|
|||||||||
22,883,837 | ||||||||||
|
|
|||||||||
Non-Captive Consumer 1.4% |
||||||||||
1,000,000 | AGFC Capital Trust I, (fixed rate to 1/15/2017, variable rate thereafter), 6.000%, 1/15/2067, 144A |
750,000 | ||||||||
875,000 | SLM Corp., MTN, 7.250%, 1/25/2022 |
918,750 | ||||||||
115,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
111,543 | ||||||||
4,550,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
3,776,500 | ||||||||
3,630,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
3,561,938 | ||||||||
|
|
|||||||||
9,118,731 | ||||||||||
|
|
|||||||||
Non-Captive Diversified 1.8% |
||||||||||
970,000 | General Electric Capital Corp., GMTN, 5.500%, 2/01/2017, (NZD) |
778,534 | ||||||||
250,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
206,034 | ||||||||
3,035,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
2,454,067 | ||||||||
180,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
181,800 | ||||||||
135,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
138,713 | ||||||||
300,000 | International Lease Finance Corp., 8.250%, 12/15/2020 |
337,125 | ||||||||
1,325,000 | iStar Financial, Inc., 3.875%, 7/01/2016 |
1,272,000 | ||||||||
3,980,000 | iStar Financial, Inc., 4.875%, 7/01/2018 |
3,741,200 | ||||||||
840,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
856,800 | ||||||||
885,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A |
902,700 | ||||||||
1,040,000 | Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A |
1,081,600 | ||||||||
|
|
|||||||||
11,950,573 | ||||||||||
|
|
|||||||||
Oil Field Services 1.4% |
||||||||||
1,790,000 | Basic Energy Services, Inc., 7.750%, 10/15/2022 |
1,767,625 | ||||||||
3,425,000 | Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A |
3,425,000 | ||||||||
3,680,000 | Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A |
3,726,000 | ||||||||
|
|
|||||||||
8,918,625 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Packaging 1.1% |
||||||||||
$ | 6,050,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 8.250%, 2/15/2021 |
$ | 5,989,500 | ||||||
600,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.000%, 4/15/2019 |
619,500 | ||||||||
510,000 | Sealed Air Corp., 6.875%, 7/15/2033, 144A |
484,500 | ||||||||
|
|
|||||||||
7,093,500 | ||||||||||
|
|
|||||||||
Paper 0.2% |
||||||||||
1,615,000 | Neenah Paper, Inc., 5.250%, 5/15/2021, 144A |
1,574,625 | ||||||||
|
|
|||||||||
Pipelines 0.6% |
||||||||||
3,340,000 | Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A |
2,872,400 | ||||||||
1,000,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A |
872,400 | ||||||||
|
|
|||||||||
3,744,800 | ||||||||||
|
|
|||||||||
Property & Casualty Insurance 0.8% |
||||||||||
1,920,000 | MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(f) |
1,641,600 | ||||||||
3,245,000 | White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A |
3,347,892 | ||||||||
|
|
|||||||||
4,989,492 | ||||||||||
|
|
|||||||||
Railroads 0.0% |
||||||||||
314,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) |
266,900 | ||||||||
30,000 | Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c) |
27,900 | ||||||||
|
|
|||||||||
294,800 | ||||||||||
|
|
|||||||||
REITsOffice Property 0.1% |
||||||||||
470,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
513,751 | ||||||||
|
|
|||||||||
Retailers 1.8% |
||||||||||
450,000 | Dillards, Inc., 7.000%, 12/01/2028 |
472,500 | ||||||||
1,895,000 | Dillards, Inc., 7.750%, 7/15/2026 |
2,079,763 | ||||||||
125,000 | Dillards, Inc., 7.750%, 5/15/2027 |
135,625 | ||||||||
170,000 | Dillards, Inc., 7.875%, 1/01/2023 |
188,275 | ||||||||
1,679,000 | Foot Locker, Inc., 8.500%, 1/15/2022(g) |
1,884,019 | ||||||||
230,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
179,400 | ||||||||
280,000 | J.C. Penney Corp., Inc., 7.400%, 4/01/2037 |
227,500 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Retailers continued |
||||||||||
$ | 7,385,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
$ | 6,664,962 | ||||||
|
|
|||||||||
11,832,044 | ||||||||||
|
|
|||||||||
Sovereigns 0.6% |
||||||||||
1,153,000,000 | Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR) |
138,992 | ||||||||
6,561,000,000 | Indonesia Treasury Bond, Series FR52, 10.500%, 8/15/2030, (IDR) |
826,171 | ||||||||
4,170,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
1,915,544 | ||||||||
66,455,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
402,064 | ||||||||
24,750,000 | Republic of Iceland, 7.250%, 10/26/2022, (ISK) |
151,435 | ||||||||
32,615,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) |
215,352 | ||||||||
|
|
|||||||||
3,649,558 | ||||||||||
|
|
|||||||||
Supermarkets 3.0% |
||||||||||
600,000 | American Stores Co., 7.900%, 5/01/2017 |
661,500 | ||||||||
360,000 | American Stores Co., 8.000%, 6/01/2026 |
457,200 | ||||||||
1,865,000 | American Stores Co., Series B, MTN, 7.100%, 3/20/2028 |
2,238,000 | ||||||||
4,190,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
3,289,150 | ||||||||
2,170,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
1,711,588 | ||||||||
9,220,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
7,329,900 | ||||||||
4,125,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
3,392,812 | ||||||||
1,100,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
759,000 | ||||||||
|
|
|||||||||
19,839,150 | ||||||||||
|
|
|||||||||
Supranational 0.1% |
||||||||||
4,500,000,000 | European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR) |
448,912 | ||||||||
|
|
|||||||||
Technology 3.4% |
||||||||||
650,000 | Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR) |
898,952 | ||||||||
10,465,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
7,927,237 | ||||||||
4,210,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
3,157,500 | ||||||||
3,420,000 | Amkor Technology, Inc., 6.375%, 10/01/2022 |
3,360,150 | ||||||||
1,590,000 | First Data Corp., 11.250%, 1/15/2021, 144A |
1,586,025 | ||||||||
1,560,000 | Freescale Semiconductor, Inc., 8.050%, 2/01/2020 |
1,579,500 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Technology continued |
||||||||||
$ | 12,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
$ | 12,425 | ||||||
4,000,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A |
4,020,000 | ||||||||
|
|
|||||||||
22,541,789 | ||||||||||
|
|
|||||||||
Textile 0.8% |
||||||||||
3,235,000 | Jones Group, Inc. (The), 6.125%, 11/15/2034 |
2,571,825 | ||||||||
2,835,000 | Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 |
2,849,175 | ||||||||
|
|
|||||||||
5,421,000 | ||||||||||
|
|
|||||||||
Transportation Services 1.3% |
||||||||||
3,285,000 | APL Ltd., 8.000%, 1/15/2024(c) |
3,087,900 | ||||||||
834,121 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 |
842,462 | ||||||||
289,324 | Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h) |
376,121 | ||||||||
147,914 | Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016 |
149,393 | ||||||||
399,542 | Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h) |
559,358 | ||||||||
40,344 | Atlas Air Pass Through Trust, Series 2000-1, Class C, 9.702%, 7/02/2011(f)(h) |
56,482 | ||||||||
2,710,000 | Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A |
2,710,000 | ||||||||
740,000 | Teekay Corp., 8.500%, 1/15/2020 |
804,750 | ||||||||
|
|
|||||||||
8,586,466 | ||||||||||
|
|
|||||||||
Treasuries 4.1% |
||||||||||
24,214,000,000 | Indonesia Treasury Bond, Series FR44, 10.000%, 9/15/2024, (IDR) |
2,898,351 | ||||||||
2,425,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
3,366,533 | ||||||||
850,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
1,155,101 | ||||||||
175,000 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) |
244,076 | ||||||||
4,405,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
6,216,090 | ||||||||
1,590,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) |
286,681 | ||||||||
4,365,000 | Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) |
765,376 | ||||||||
770,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
855,618 | ||||||||
560,000 | Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR) |
507,743 | ||||||||
175,000 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) |
210,249 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries continued |
||||||||||
4,070,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
$ | 4,725,031 | |||||||
3,175,000 | U.S. Treasury Bond, 2.750%, 11/15/2042 |
2,737,447 | ||||||||
3,560,000 | U.S. Treasury Bond, 2.875%, 5/15/2043 |
3,150,600 | ||||||||
|
|
|||||||||
27,118,896 | ||||||||||
|
|
|||||||||
Wireless 1.2% |
||||||||||
11,300,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
844,569 | ||||||||
2,725,000 | NII Capital Corp., 7.625%, 4/01/2021 |
2,118,688 | ||||||||
4,085,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
3,921,600 | ||||||||
840,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
873,600 | ||||||||
215,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
236,500 | ||||||||
|
|
|||||||||
7,994,957 | ||||||||||
|
|
|||||||||
Wirelines 5.4% |
||||||||||
205,000 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i) |
188,600 | ||||||||
385,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
361,900 | ||||||||
5,540,000 | Cincinnati Bell, Inc., 8.750%, 3/15/2018 |
5,546,925 | ||||||||
800,000 | Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR) |
963,221 | ||||||||
1,620,000 | FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A |
1,603,800 | ||||||||
465,000 | Frontier Communications Corp., 7.000%, 11/01/2025 |
455,700 | ||||||||
4,351,000 | Frontier Communications Corp., 7.875%, 1/15/2027 |
4,215,031 | ||||||||
902,000 | Frontier Communications Corp., 8.750%, 4/15/2022 |
983,180 | ||||||||
2,600,000 | Frontier Communications Corp., 9.000%, 8/15/2031 |
2,574,000 | ||||||||
905,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
902,738 | ||||||||
250,000 | OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR) |
304,293 | ||||||||
900,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
1,045,034 | ||||||||
2,100,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
2,700,006 | ||||||||
1,100,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) |
1,433,604 | ||||||||
1,439,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,590,095 | ||||||||
800,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
768,000 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Wirelines continued |
||||||||||
$ | 1,385,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
$ | 1,523,500 | ||||||
5,332,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
5,252,020 | ||||||||
645,000 | Qwest Corp., 7.250%, 9/15/2025 |
721,200 | ||||||||
1,407,000 | Qwest Corp., 7.250%, 10/15/2035 |
1,414,035 | ||||||||
1,095,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
992,950 | ||||||||
140,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
130,750 | ||||||||
|
|
|||||||||
35,670,582 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $397,863,921) |
423,335,187 | |||||||||
|
|
|||||||||
Convertible Bonds 14.8% |
||||||||||
Airlines 0.3% |
||||||||||
1,705,000 | United Continental Holdings, Inc., 4.500%, 6/30/2021 |
1,772,467 | ||||||||
|
|
|||||||||
Automotive 1.6% |
||||||||||
1,090,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i) |
963,287 | ||||||||
3,530,000 | Ford Motor Co., 4.250%, 11/15/2016 |
6,378,269 | ||||||||
2,955,000 | Navistar International Corp., 3.000%, 10/15/2014 |
2,870,044 | ||||||||
|
|
|||||||||
10,211,600 | ||||||||||
|
|
|||||||||
Brokerage 0.3% |
||||||||||
2,145,000 | Jefferies Group LLC, 3.875%, 11/01/2029 |
2,285,766 | ||||||||
|
|
|||||||||
Diversified Manufacturing 0.4% |
||||||||||
2,315,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
2,714,337 | ||||||||
|
|
|||||||||
Electric 0.1% |
||||||||||
250,000 | CMS Energy Corp., 5.500%, 6/15/2029 |
494,844 | ||||||||
|
|
|||||||||
Healthcare 1.4% |
||||||||||
3,325,000 | Health Management Associates, Inc., 3.750%, 5/01/2028, 144A |
5,292,984 | ||||||||
1,325,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i) |
1,310,922 | ||||||||
660,000 | Illumina, Inc., 0.250%, 3/15/2016, 144A |
713,625 | ||||||||
860,000 | LifePoint Hospitals, Inc., 3.500%, 5/15/2014 |
929,875 | ||||||||
610,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
1,128,500 | ||||||||
|
|
|||||||||
9,375,906 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds continued |
||||||||||
Home Construction 1.0% |
||||||||||
$ | 2,295,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
$ | 3,852,731 | ||||||
2,050,000 | Standard Pacific Corp., 1.250%, 8/01/2032 |
2,615,031 | ||||||||
|
|
|||||||||
6,467,762 | ||||||||||
|
|
|||||||||
Independent Energy 1.3% |
||||||||||
5,585,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 |
4,893,856 | ||||||||
3,260,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
3,070,512 | ||||||||
695,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
689,788 | ||||||||
|
|
|||||||||
8,654,156 | ||||||||||
|
|
|||||||||
Life Insurance 1.1% |
||||||||||
6,533,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
7,349,625 | ||||||||
|
|
|||||||||
Media Non-Cable 0.0% |
||||||||||
45,932 | Liberty Media LLC, 3.500%, 1/15/2031 |
23,540 | ||||||||
|
|
|||||||||
Metals & Mining 0.4% |
||||||||||
1,250,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 |
1,333,594 | ||||||||
970,000 | United States Steel Corp., 2.750%, 4/01/2019 |
957,269 | ||||||||
|
|
|||||||||
2,290,863 | ||||||||||
|
|
|||||||||
Non-Captive Diversified 0.1% |
||||||||||
470,000 | iStar Financial, Inc., 3.000%, 11/15/2016 |
557,538 | ||||||||
|
|
|||||||||
Technology 5.6% |
||||||||||
7,895,000 | Ciena Corp., 0.875%, 6/15/2017 |
7,589,069 | ||||||||
4,140,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
5,180,175 | ||||||||
175,000 | Ciena Corp., 4.000%, 3/15/2015, 144A |
205,406 | ||||||||
3,595,000 | Intel Corp., 3.250%, 8/01/2039 |
4,581,378 | ||||||||
5,370,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 |
8,336,925 | ||||||||
3,130,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A |
5,000,175 | ||||||||
855,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A |
1,364,259 | ||||||||
960,000 | Nuance Communications, Inc., 2.750%, 11/01/2031 |
988,800 | ||||||||
230,000 | SanDisk Corp., 1.500%, 8/15/2017 |
306,619 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds continued |
||||||||||
Technology continued |
||||||||||
$ | 1,050,000 | Teradyne, Inc., 4.500%, 3/15/2014 |
$ | 3,375,094 | ||||||
|
|
|||||||||
36,927,900 | ||||||||||
|
|
|||||||||
Textile 0.5% |
||||||||||
3,080,000 | Iconix Brand Group, Inc., 2.500%, 6/01/2016 |
3,476,550 | ||||||||
|
|
|||||||||
Wirelines 0.7% |
||||||||||
233,700 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(g)(i)(j) |
30,320 | ||||||||
2,210,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) |
2,571,887 | ||||||||
1,190,000 | Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c) |
1,384,863 | ||||||||
400,000 | Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR) |
527,168 | ||||||||
|
|
|||||||||
4,514,238 | ||||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $72,439,227) |
97,117,092 | |||||||||
|
|
|||||||||
Municipals 0.1% |
||||||||||
District of Columbia 0.1% |
||||||||||
540,000 | Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 (Identified Cost $540,000) |
615,411 | ||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $470,843,148) |
521,067,690 | |||||||||
|
|
|||||||||
Senior Loans 2.6% |
||||||||||
Airlines 0.2% |
||||||||||
1,238,250 | Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b) |
1,235,601 | ||||||||
|
|
|||||||||
Automotive 0.2% |
||||||||||
1,251,863 | TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b) |
1,263,605 | ||||||||
|
|
|||||||||
Chemicals 0.3% |
||||||||||
500,000 | AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b) |
500,000 | ||||||||
1,610,000 | Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b) |
1,642,200 | ||||||||
|
|
|||||||||
2,142,200 | ||||||||||
|
|
|||||||||
Consumer Products 0.1% |
||||||||||
311,720 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) |
296,467 | ||||||||
|
|
|||||||||
Diversified Manufacturing 0.1% |
||||||||||
275,000 | Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b) |
277,063 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Senior Loans continued |
||||||||||
Food & Beverage 0.1% |
||||||||||
$ | 567,588 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b) |
$ | 581,777 | ||||||
|
|
|||||||||
Healthcare 0.2% |
||||||||||
1,125,000 | Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b) |
1,124,651 | ||||||||
|
|
|||||||||
Media Non-Cable 0.0% |
||||||||||
141,397 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b) |
110,909 | ||||||||
|
|
|||||||||
Metals & Mining 0.1% |
||||||||||
516,100 | Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b) |
523,522 | ||||||||
|
|
|||||||||
Non-Captive Diversified 0.6% |
||||||||||
4,000,000 | iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b) |
4,186,680 | ||||||||
|
|
|||||||||
Oil Field Services 0.2% |
||||||||||
1,213,300 | Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b) |
1,165,775 | ||||||||
|
|
|||||||||
Other Utility 0.1% |
||||||||||
400,000 | Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b) |
395,000 | ||||||||
325,000 | Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b) |
319,312 | ||||||||
|
|
|||||||||
Total Other Utility (Identified Cost $719,841) |
714,312 | |||||||||
|
|
|||||||||
Supermarket 0.1% |
||||||||||
923,316 | Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b) |
916,262 | ||||||||
|
|
|||||||||
Technology 0.1% |
||||||||||
201,562 | Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b) |
203,106 | ||||||||
441,221 | Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b) |
444,715 | ||||||||
|
|
|||||||||
Total Technology (Identified Cost $639,826) |
647,821 | |||||||||
|
|
|||||||||
Wirelines 0.2% |
||||||||||
748,125 | Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b) |
731,292 | ||||||||
740,689 | Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b) |
738,837 | ||||||||
65,000 | Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b) |
66,463 | ||||||||
|
|
|||||||||
1,536,592 | ||||||||||
|
|
|||||||||
Total Senior Loans (Identified Cost $16,435,423) |
16,723,237 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks 11.2% |
||||||||||
Automobiles 1.1% |
| |||||||||
465,000 | Ford Motor Co. |
$ | 7,193,550 | |||||||
|
|
|||||||||
Biotechnology 2.0% |
||||||||||
165,617 | Vertex Pharmaceuticals, Inc.(f) |
13,227,830 | ||||||||
|
|
|||||||||
Chemicals 1.5% |
||||||||||
156,958 | Dow Chemical Co. (The) |
5,049,339 | ||||||||
30,167 | PPG Industries, Inc. |
4,416,750 | ||||||||
|
|
|||||||||
9,466,089 | ||||||||||
|
|
|||||||||
Containers & Packaging 0.2% |
||||||||||
40,621 | Owens-Illinois, Inc.(f) |
1,128,857 | ||||||||
2,452 | Rock-Tenn Co., Class A |
244,906 | ||||||||
|
|
|||||||||
1,373,763 | ||||||||||
|
|
|||||||||
Diversified Telecommunication Services 0.3% |
||||||||||
22,435 | FairPoint Communications, Inc.(f) |
187,332 | ||||||||
2,627 | Hawaiian Telcom Holdco, Inc.(f) |
66,096 | ||||||||
117,962 | Telefonica S.A., Sponsored ADR(f) |
1,511,093 | ||||||||
|
|
|||||||||
1,764,521 | ||||||||||
|
|
|||||||||
Electronic Equipment, Instruments & Components 2.4% |
||||||||||
1,119,766 | Corning, Inc. |
15,934,270 | ||||||||
|
|
|||||||||
Food Products 0.0% |
||||||||||
3,100 | ConAgra Foods, Inc. |
108,283 | ||||||||
|
|
|||||||||
Household Durables 0.0% |
||||||||||
6,775 | KB Home |
132,993 | ||||||||
|
|
|||||||||
Oil, Gas & Consumable Fuels 0.6% |
||||||||||
2,846 | Chesapeake Energy Corp. |
58,001 | ||||||||
82,985 | Repsol YPF S.A., Sponsored ADR |
1,755,963 | ||||||||
33,796 | Royal Dutch Shell PLC, ADR |
2,156,185 | ||||||||
|
|
|||||||||
3,970,149 | ||||||||||
|
|
|||||||||
Pharmaceuticals 1.4% |
||||||||||
64,900 | Bristol-Myers Squibb Co. |
2,900,381 | ||||||||
74,297 | Valeant Pharmaceuticals International, Inc.(f) |
6,395,486 | ||||||||
|
|
|||||||||
9,295,867 | ||||||||||
|
|
|||||||||
REITsApartments 0.1% |
||||||||||
6,185 | Apartment Investment & Management Co., Class A |
185,798 | ||||||||
32,565 | Associated Estates Realty Corp. |
523,645 | ||||||||
|
|
|||||||||
709,443 | ||||||||||
|
|
|||||||||
REITsShopping Centers 0.0% |
||||||||||
7,868 | DDR Corp. |
131,002 | ||||||||
|
|
|||||||||
Semiconductors & Semiconductor Equipment 1.4% |
||||||||||
372,408 | Intel Corp. |
9,019,722 | ||||||||
|
|
|||||||||
Trading Companies & Distributors 0.2% |
||||||||||
20,913 | United Rentals, Inc.(f) |
1,043,768 | ||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $49,394,978) |
73,371,250 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks 4.0% |
||||||||||
Convertible Preferred Stocks 2.8% |
||||||||||
Automotive 1.2% |
||||||||||
148,570 | General Motors Co., Series B, 4.750% |
$ | 7,155,131 | |||||||
20,395 | Goodyear Tire & Rubber Co. (The), 5.875% |
1,004,658 | ||||||||
|
|
|||||||||
8,159,789 | ||||||||||
|
|
|||||||||
Banking 0.0% |
||||||||||
138 | Wells Fargo & Co., Series L, Class A, 7.500% |
164,772 | ||||||||
|
|
|||||||||
Electric 0.1% |
||||||||||
17,119 | AES Trust III, 6.750% |
861,428 | ||||||||
|
|
|||||||||
Home Construction 0.1% |
||||||||||
11,000 | Hovnanian Enterprises, Inc., 7.250% |
313,720 | ||||||||
|
|
|||||||||
Independent Energy 0.1% |
||||||||||
4,300 | Chesapeake Energy Corp., 5.000% |
372,251 | ||||||||
190 | Chesapeake Energy Corp., Series A, 5.750%, 144A |
194,869 | ||||||||
3,552 | SandRidge Energy, Inc., 7.000% |
304,362 | ||||||||
|
|
|||||||||
871,482 | ||||||||||
|
|
|||||||||
Metals & Mining 0.1% |
||||||||||
33,725 | ArcelorMittal, 6.000% |
633,018 | ||||||||
|
|
|||||||||
Pipelines 0.5% |
||||||||||
54,200 | El Paso Energy Capital Trust I, 4.750% |
3,170,158 | ||||||||
|
|
|||||||||
REITsDiversified 0.2% |
||||||||||
21,593 | Weyerhaeuser Co., Series A, 6.375% |
1,101,459 | ||||||||
|
|
|||||||||
Technology 0.5% |
||||||||||
3,260 | Lucent Technologies Capital Trust I, 7.750% |
3,113,300 | ||||||||
|
|
|||||||||
Total Convertible Preferred Stocks (Identified Cost $16,648,649) |
18,389,126 | |||||||||
|
|
|||||||||
Non-Convertible Preferred Stocks 1.2% |
||||||||||
Banking 0.8% |
||||||||||
4,153 | Ally Financial, Inc., Series G, 7.000%, 144A |
3,947,297 | ||||||||
18,000 | Bank of America Corp., 6.375% |
441,900 | ||||||||
23,925 | Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875% |
666,311 |
Shares |
Description |
Value () | ||||||||
Preferred Stocks continued |
||||||||||
Non-Convertible Preferred Stocks continued |
||||||||||
Banking continued |
||||||||||
7,075 | Countrywide Capital IV, 6.750% |
$ | 176,804 | |||||||
|
|
|||||||||
5,232,312 | ||||||||||
|
|
|||||||||
Home Construction 0.3% |
||||||||||
96,887 | Hovnanian Enterprises, Inc., 7.625%(f) |
1,752,686 | ||||||||
|
|
|||||||||
Non-Captive Consumer 0.1% |
||||||||||
12,475 | SLM Corp., Series A, 6.970% |
616,390 | ||||||||
|
|
|||||||||
Non-Captive Diversified 0.0% |
||||||||||
5,300 | iStar Financial, Inc., Series F, 7.800% |
127,571 | ||||||||
2,575 | iStar Financial, Inc., Series G, 7.650% |
60,435 | ||||||||
|
|
|||||||||
188,006 | ||||||||||
|
|
|||||||||
REITsWarehouse/Industrials 0.0% |
||||||||||
3,363 | ProLogis, Inc., Series Q, 8.540% |
208,506 | ||||||||
|
|
|||||||||
Total Non-Convertible Preferred Stocks (Identified Cost $5,528,921) |
7,997,900 | |||||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $22,177,570) |
26,387,026 | |||||||||
|
|
|||||||||
Warrants 0.0% |
||||||||||
34,303 | FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(c)(f)(g) (Identified Cost $0) |
| ||||||||
|
|
|||||||||
Principal Amount() |
||||||||||
Short-Term Investments 1.5% |
||||||||||
102,424 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $102,424 on 7/01/2013 collateralized by $115,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $108,328 including accrued interest(k) |
102,424 | ||||||||
9,766,812 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $9,766,812 on 7/01/2013 collateralized by $10,155,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $9,964,594 including accrued interest(k) |
9,766,812 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $9,869,236) |
9,869,236 | |||||||||
|
|
|||||||||
Total Investments 98.8% (Identified Cost $568,720,355)(a) |
647,418,439 | |||||||||
Other assets less liabilities 1.2% |
7,681,694 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 655,100,133 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $568,986,140 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 | $ | 99,592,885 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value | (21,160,586 | ) | ||
|
|
|||
Net unrealized appreciation | $ | 78,432,299 | ||
|
|
(b) | Variable rate security. Rate as of June 30, 2013 is disclosed. | |||||
(c) | Illiquid security. At June 30, 2013, the value of these securities amounted to $14,646,359 or 2.2% of net assets. | |||||
(d) | All or a portion of interest payment is paid-in-kind. | |||||
(e) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. | |||||
(f) | Non-income producing security. | |||||
(g) | Fair valued security by the Funds investment adviser. At June 30, 2013, the value of these securities amounted to $1,914,339 or 0.3% of net assets. | |||||
(h) | Maturity has been extended under the terms of a plan of reorganization. | |||||
(i) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. | |||||
(j) | Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD. | |||||
(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 June 30, 2013, the value of Rule 144A holdings amounted to $159,185,079 or 24.3% 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. | |||||
EMTN | Euro Medium Term Note | |||||
GMTN | Global Medium Term Note | |||||
MTN | Medium Term Note | |||||
REITs | Real Estate Investment Trusts |
AUD | Australian Dollar | |||||
BRL | Brazilian Real | |||||
CAD | Canadian Dollar | |||||
EUR | Euro | |||||
IDR | Indonesian Rupiah | |||||
ISK | Icelandic Krona | |||||
MXN | Mexican Peso | |||||
NOK | Norwegian Krone | |||||
NZD | New Zealand Dollar | |||||
USD | U.S. 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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Airlines |
$ | | $ | 2,115,624 | $ | 14,166,962 | (a) | $ | 16,282,586 | |||||||
Retailers |
| 9,948,025 | 1,884,019 | (b) | 11,832,044 | |||||||||||
Transportation Services |
| 6,602,650 | 1,983,816 | (a) | 8,586,466 | |||||||||||
All Other Non-Convertible Bonds* |
| 386,634,091 | | 386,634,091 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 405,300,390 | 18,034,797 | 423,335,187 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds |
||||||||||||||||
Wirelines |
| 4,483,918 | 30,320 | (b) | 4,514,238 | |||||||||||
All Other Convertible Bonds* |
| 92,602,854 | | 92,602,854 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 97,086,772 | 30,320 | 97,117,092 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Municipals* |
| 615,411 | | 615,411 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 503,002,573 | 18,065,117 | 521,067,690 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 16,723,237 | | 16,723,237 | ||||||||||||
Common Stocks* |
73,371,250 | | | 73,371,250 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
18,389,126 | | | 18,389,126 | ||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Banking |
1,285,015 | 3,947,297 | | 5,232,312 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
2,765,588 | | | 2,765,588 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
4,050,603 | 3,947,297 | | 7,997,900 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
22,439,729 | 3,947,297 | | 26,387,026 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Warrants** |
| | | | ||||||||||||
Short-Term Investments |
| 9,869,236 | | 9,869,236 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 95,810,979 | $ | 533,542,343 | $ | 18,065,117 | $ | 647,418,439 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
** | Fair valued at zero using Level 2 inputs. |
(a) | Valued using broker-dealer bid prices. |
(b) | Fair valued by the Funds investment adviser. |
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser under the general supervision of the Board of Trustees. Fair valued securities may be categorized in Level 3.
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 and/or June 30, 2013:
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Wirelines |
$ | | $ | | $ | (1 | ) | $ | (6,038 | ) | $ | 72,718 | $ | (36,359 | ) | $ | | $ | | $ | 30,320 | $ | (6,038 | ) | ||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Airlines |
| 1,591 | 8,429 | 326,575 | 2,685,000 | (1,123,395 | ) | 12,268,762 | | 14,166,962 | 326,575 | |||||||||||||||||||||||||||||
Banking |
3,846,651 | | | | | | | (3,846,651 | ) | | | |||||||||||||||||||||||||||||
Retailers |
| 10,511 | | 18,213 | | | 1,855,295 | | 1,884,019 | 18,213 | ||||||||||||||||||||||||||||||
Transportation Services |
2,800,463 | | 36,518 | 441,002 | | (143,572 | ) | 1,649,868 | (2,800,463 | ) | 1,983,816 | 441,002 | ||||||||||||||||||||||||||||
Warrants |
| | | | | | | | | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 6,647,114 | $ | 12,102 | $ | 44,946 | $ | 779,752 | $ | 2,757,718 | $ | (1,303,326 | ) | $ | 15,773,925 | $ | (6,647,114 | ) | $ | 18,065,117 | $ | 779,752 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $15,773,925 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.
Debt securities valued at $6,647,114 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.
Unfunded Loan Commitments
The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Funds books and records. As of June 30, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:
Borrower |
Unfunded Loan Commitment | |||
Power Team Services LLC |
$ | 50,000 |
Industry Summary at June 30, 2013 (Unaudited)
Technology |
9.6 | % | ||
Wirelines |
6.3 | |||
Banking |
5.7 | |||
Healthcare |
4.8 | |||
Independent Energy |
4.3 | |||
Chemicals |
4.2 | |||
Treasuries |
4.1 | |||
Metals & Mining |
4.1 | |||
Life Insurance |
3.6 | |||
Automotive |
3.5 | |||
Supermarkets |
3.1 | |||
Airlines |
3.0 | |||
Non-Captive Diversified |
2.5 | |||
Electronic Equipment, Instruments & Components |
2.4 | |||
Media Non-Cable |
2.4 | |||
Aerospace & Defense |
2.4 | |||
Home Construction |
2.4 | |||
Biotechnology |
2.0 | |||
Other Investments, less than 2% each |
26.9 | |||
Short-Term Investments |
1.5 | |||
|
|
|||
Total Investments |
98.8 | |||
Other assets less liabilities |
1.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles International Bond Fund
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 97.7% of Net Assets |
||||||||||
Non-Convertible Bonds 97.5% |
||||||||||
Belgium 2.9% |
| |||||||||
100,000 | Anheuser-Busch InBev NV, EMTN, 1.250%, 3/24/2017, (EUR) |
$ | 130,730 | |||||||
130,000 | Belgium Government Bond, 2.250%, 6/22/2023, (EUR) |
163,175 | ||||||||
130,000 | Belgium Government Bond, 3.500%, 6/28/2017, (EUR)(b) |
184,495 | ||||||||
|
|
|||||||||
478,400 | ||||||||||
|
|
|||||||||
Brazil 1.7% |
| |||||||||
350,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
144,307 | ||||||||
100,000 | Telemar Norte Leste S.A., 5.125%, 12/15/2017, 144A, (EUR) |
135,827 | ||||||||
|
|
|||||||||
280,134 | ||||||||||
|
|
|||||||||
Canada 4.1% |
| |||||||||
190,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) |
187,856 | ||||||||
100,000 | Ford Auto Securitization Trust, Series 2013-R1A, Class A2, 1.676%, 9/15/2016, 144A, (CAD) |
94,936 | ||||||||
70,000 | Province of Manitoba Canada, MTN, 4.400%, 9/05/2025, (CAD) |
72,467 | ||||||||
150,000 | Province of Quebec Canada, EMTN, 3.375%, 6/20/2016, (EUR) |
210,445 | ||||||||
95,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
100,175 | ||||||||
|
|
|||||||||
665,879 | ||||||||||
|
|
|||||||||
Finland 2.1% |
| |||||||||
220,000 | Finland Government Bond, 4.000%, 7/04/2025, (EUR) |
339,364 | ||||||||
|
|
|||||||||
France 4.3% |
| |||||||||
50,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
66,343 | ||||||||
100,000 | Bouygues, S.A., 3.641%, 10/29/2019, (EUR) |
138,680 | ||||||||
355,000 | France Government Bond OAT, 3.000%, 4/25/2022, (EUR)(b) |
493,554 | ||||||||
|
|
|||||||||
698,577 | ||||||||||
|
|
|||||||||
Germany 7.4% |
| |||||||||
525,000 | Bundesrepublik Deutschland, 1.750%, 7/04/2022, (EUR)(b) |
694,163 | ||||||||
30,000 | Bundesrepublik Deutschland, 3.250%, 1/04/2020, (EUR) |
44,445 | ||||||||
320,000 | Bundesrepublik Deutschland, 4.250%, 7/04/2017, (EUR)(b) |
477,882 | ||||||||
|
|
|||||||||
1,216,490 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Ireland 1.0% |
| |||||||||
100,000 | WPP 2008 Ltd., 6.000%, 4/04/2017, (GBP) |
$ | 171,846 | |||||||
|
|
|||||||||
Italy 8.2% |
| |||||||||
50,000 | Enel Finance International S.A., EMTN, 5.625%, 8/14/2024, (GBP) |
74,273 | ||||||||
355,000 | Italy Buoni Poliennali Del Tesoro, 4.000%, 2/01/2037, (EUR)(b) |
413,187 | ||||||||
370,000 | Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(b) |
504,570 | ||||||||
150,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 5/01/2017, (EUR) |
206,164 | ||||||||
60,000 | Republic of Italy, 6.875%, 9/27/2023 |
69,564 | ||||||||
45,000 | Telecom Italia Finance S.A., EMTN, 7.750%, 1/24/2033, (EUR) |
65,247 | ||||||||
|
|
|||||||||
1,333,005 | ||||||||||
|
|
|||||||||
Japan 24.1% |
| |||||||||
90,000,000 | Japan Finance Organization for Municipalities, 1.900%, 6/22/2018, (JPY) |
980,675 | ||||||||
43,000,000 | Japan Government Five Year Bond, 0.700%, 6/20/2014, (JPY) |
436,065 | ||||||||
87,000,000 | Japan Government Ten Year Bond, 1.700%, 12/20/2016, (JPY) |
922,866 | ||||||||
40,500,000 | Japan Government Ten Year Bond, 1.700%, 9/20/2017, (JPY) |
433,179 | ||||||||
26,000,000 | Japan Government Thirty Year Bond, 2.000%, 9/20/2040, (JPY) |
273,220 | ||||||||
81,500,000 | Japan Government Twenty Year Bond, 1.900%, 12/20/2028, (JPY) |
883,585 | ||||||||
|
|
|||||||||
3,929,590 | ||||||||||
|
|
|||||||||
Jersey 0.9% |
| |||||||||
100,000 | Heathrow Funding Ltd., 4.375%, 1/25/2019, (EUR) |
142,704 | ||||||||
|
|
|||||||||
Korea 1.3% |
| |||||||||
1,000,000 | Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK) |
158,272 | ||||||||
2,300,000 | Export-Import Bank of Korea, 4.000%, 11/26/2015, 144A, (PHP) |
54,423 | ||||||||
|
|
|||||||||
212,695 | ||||||||||
|
|
|||||||||
Luxembourg 0.3% |
| |||||||||
50,000 | ArcelorMittal, 6.000%, 3/01/2021 |
49,750 | ||||||||
|
|
|||||||||
Malaysia 1.9% |
| |||||||||
580,000 | Malaysia Government Bond, 3.314%, 10/31/2017, (MYR) |
182,929 | ||||||||
370,000 | Malaysia Government Bond, 4.262%, 9/15/2016, (MYR) |
120,119 | ||||||||
|
|
|||||||||
303,048 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Mexico 3.3% |
| |||||||||
2,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
$ | 149,481 | |||||||
47,000 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
382,458 | |||||||
|
|
|||||||||
531,939 | ||||||||||
|
|
|||||||||
Netherlands 3.6% |
| |||||||||
50,000 | BMW Finance NV, 2.375%, 1/24/2023, (EUR) |
64,484 | ||||||||
50,000 | Deutsche Telekom International Finance BV, EMTN, 5.750%, 4/14/2015, (EUR) |
70,766 | ||||||||
50,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) |
66,709 | ||||||||
190,000 | Netherlands Government Bond, 4.500%, 7/15/2017, 144A, (EUR) |
283,095 | ||||||||
75,000 | Volkswagen International Finance NV, EMTN, 1.875%, 5/15/2017, (EUR) |
99,588 | ||||||||
|
|
|||||||||
584,642 | ||||||||||
|
|
|||||||||
New Zealand 0.8% |
| |||||||||
155,000 | New Zealand Government Bond, 6.000%, 4/15/2015, (NZD) |
126,653 | ||||||||
|
|
|||||||||
Norway 1.3% |
| |||||||||
30,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
28,800 | ||||||||
1,000,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) |
180,302 | ||||||||
|
|
|||||||||
209,102 | ||||||||||
|
|
|||||||||
Philippines 0.7% |
| |||||||||
5,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
117,837 | ||||||||
|
|
|||||||||
Poland 2.5% |
| |||||||||
520,000 | Poland Government Bond, 4.750%, 4/25/2017, (PLN) |
163,174 | ||||||||
225,000 | Poland Government International Bond, EMTN, 2.625%, 5/12/2015, (CHF) |
246,903 | ||||||||
|
|
|||||||||
410,077 | ||||||||||
|
|
|||||||||
Singapore 1.6% |
| |||||||||
270,000 | Singapore Government Bond, 2.250%, 6/01/2021, (SGD) |
214,594 | ||||||||
65,000 | Singapore Government Bond, 3.250%, 9/01/2020, (SGD) |
55,388 | ||||||||
|
|
|||||||||
269,982 | ||||||||||
|
|
|||||||||
Spain 2.7% |
| |||||||||
50,000 | Iberdrola Finanzas SAU, EMTN, 6.000%, 7/01/2022, (GBP) |
81,645 | ||||||||
200,000 | Spain Government Bond, 5.850%, 1/31/2022, (EUR)(b) |
283,057 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Spain continued |
||||||||||
$ | 75,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 |
$ | 77,321 | ||||||
|
|
|||||||||
442,023 | ||||||||||
|
|
|||||||||
Sweden 1.0% |
||||||||||
1,050,000 | Sweden Government Bond, 4.500%, 8/12/2015, (SEK)(b) |
167,440 | ||||||||
|
|
|||||||||
Thailand 0.6% |
||||||||||
3,000,000 | Thailand Government Bond, 3.250%, 6/16/2017, (THB) |
96,854 | ||||||||
|
|
|||||||||
Turkey 0.7% |
||||||||||
215,000 | Turkey Government Bond, 9.000%, 3/05/2014, (TRY) |
112,588 | ||||||||
|
|
|||||||||
United Kingdom 8.5% |
||||||||||
90,000 | Barclays Bank PLC, EMTN, 5.750%, 9/14/2026, (GBP) |
134,778 | ||||||||
50,000 | BAT International Finance PLC, EMTN, 5.375%, 6/29/2017, (EUR) |
75,266 | ||||||||
50,000 | British Sky Broadcasting Group PLC, EMTN, 6.000%, 5/21/2027, (GBP) |
87,954 | ||||||||
105,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) |
178,931 | ||||||||
50,000 | BSKYB Finance UK PLC, 5.750%, 10/20/2017, (GBP) |
86,793 | ||||||||
100,000 | FCE Bank PLC, EMTN, 4.825%, 2/15/2017, (GBP) |
163,149 | ||||||||
80,000 | United Kingdom Treasury, 1.750%, 1/22/2017, (GBP)(b) |
125,167 | ||||||||
145,000 | United Kingdom Treasury, 4.250%, 3/07/2036, (GBP)(b) |
251,002 | ||||||||
40,000 | United Kingdom Treasury, 4.750%, 12/07/2038, (GBP) |
74,547 | ||||||||
110,000 | United Kingdom Treasury, 5.000%, 3/07/2025, (GBP)(b) |
206,162 | ||||||||
|
|
|||||||||
1,383,749 | ||||||||||
|
|
|||||||||
United States 10.0% |
||||||||||
130,000 | AmeriCredit Automobile Receivables Trust, Series 2013-3, Class C, 2.380%, 6/10/2019 |
128,712 | ||||||||
100,000 | BA Credit Card Trust, Series 04A1, 4.500%, 6/17/2016, (EUR) |
132,540 | ||||||||
50,000 | Capital One Multi-Asset Execution Trust, Series 2004-B7, Class B7, 0.700%, 8/17/2017, (EUR)(c) |
64,554 | ||||||||
50,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) |
83,986 | ||||||||
45,000 | Continental Resources, Inc., 4.500%, 4/15/2023, 144A |
43,763 | ||||||||
45,000 | HCA, Inc., 8.360%, 4/15/2024 |
50,850 | ||||||||
150,000 | HSBC Finance Corp., EMTN, 4.500%, 6/14/2016, (EUR)(b) |
213,079 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
United States continued |
| |||||||||
$ | 50,000 | International Lease Finance Corp., 5.875%, 8/15/2022 |
$ | 49,562 | ||||||
45,000 | iStar Financial, Inc., 3.875%, 7/01/2016 |
43,200 | ||||||||
50,000 | JPMorgan Chase & Co., EMTN, 0.611%, 10/12/2015, (EUR)(c) |
63,679 | ||||||||
50,000 | JPMorgan Chase & Co., EMTN, 4.375%, 1/30/2014, (EUR) |
66,566 | ||||||||
50,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
68,382 | ||||||||
15,000 | Morgan Stanley, 5.375%, 11/14/2013, (GBP) |
23,122 | ||||||||
50,000 | Pfizer, Inc., 4.550%, 5/15/2017, (EUR) |
73,606 | ||||||||
75,000 | Sprint Nextel Corp., 6.000%, 11/15/2022 |
73,500 | ||||||||
165,000 | U.S. Treasury Note, 0.250%, 11/30/2013(d) |
165,097 | ||||||||
45,000 | United Continental Holdings, Inc., 6.375%, 6/01/2018 |
44,212 | ||||||||
45,000 | US Airways Pass Through Trust, Series 2013-1, Class A, 3.950%, 5/15/2027 |
43,313 | ||||||||
100,000 | Wachovia Corp., EMTN, 4.375%, 11/27/2018, (EUR) |
142,310 | ||||||||
50,000 | Zurich Finance USA, Inc., EMTN, (fixed rate to 6/15/2015, variable rate thereafter), 4.500%, 6/15/2025, (EUR) |
67,198 | ||||||||
|
|
|||||||||
1,641,231 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $17,071,716) |
15,915,599 | |||||||||
|
|
|||||||||
Convertible Bonds 0.2% |
||||||||||
United States 0.2% |
| |||||||||
20,000 | Intel Corp., 2.950%, 12/15/2035 (Identified Cost $20,907) |
21,763 | ||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $17,092,623) |
15,937,362 | |||||||||
|
|
|||||||||
Shares |
||||||||||
Preferred Stocks 0.1% |
||||||||||
Non-Captive Diversified 0.1% |
| |||||||||
326 | iStar Financial, Inc., Series J, 4.500% (Identified Cost $16,300) |
17,604 | ||||||||
|
|
|||||||||
Principal |
||||||||||
Short-Term Investments 0.7% |
||||||||||
$ | 116,693 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $116,693 on
7/01/2013 collateralized by $125,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $122,656 including accrued interest(e) |
116,693 | |||||||
|
|
|||||||||
Total Investments 98.5% (Identified Cost $17,225,616)(a) |
$ | 16,071,659 | ||||||||
Other assets less liabilities 1.5% |
249,030 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 16,320,689 | ||||||||
|
|
() | 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 prices 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. |
Futures contracts are valued at their most recent settlement price. |
Credit default swap agreements are valued ay mid prices (between the bid and the ask price) supplied by an independent pricing service, if available, or prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized depreciation on investments based on a cost of $17,315,701 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 |
$ | 196,137 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,440,179 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (1,244,042 | ) | |
|
|
(b) | All or a portion of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(c) | Variable rate security. Rate as of June 30, 2013 is disclosed. |
(d) | All or a portion of this security has been pledged as initial margin for open futures contracts. |
(e) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $770,316 or 4.7% of net assets. |
EMTN | Euro Medium Term Note |
MTN | 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 |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | Turkish Lira |
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 June 30, 2013, 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 |
7/05/2013 | Brazilian Real | 330,000 | $ | 147,792 | $ | 3,169 | |||||||||||
Sell1 |
9/27/2013 | British Pound | 122,000 | 185,451 | 2,876 | |||||||||||||
Buy2 |
9/18/2013 | Canadian Dollar | 430,000 | 408,098 | (7,289 | ) | ||||||||||||
Buy1 |
9/18/2013 | Euro | 215,000 | 279,950 | (4,663 | ) | ||||||||||||
Buy3 |
9/20/2013 | Malaysian Ringgit | 290,000 | 91,316 | 209 | |||||||||||||
Sell1 |
9/24/2013 | Philippine Peso | 3,900,000 | 90,184 | (2,524 | ) | ||||||||||||
Buy1 |
9/11/2013 | South Korean Won | 630,000,000 | 549,826 | (10,348 | ) | ||||||||||||
Buy4 |
9/11/2013 | South Korean Won | 104,700,000 | 91,376 | (1,716 | ) | ||||||||||||
Sell1 |
9/24/2013 | Thai Baht | 4,300,000 | 138,051 | (1,282 | ) | ||||||||||||
Sell4 |
9/17/2013 | Turkish Lira | 224,000 | 114,759 | 4,198 | |||||||||||||
|
|
|||||||||||||||||
Total |
|
$ | (17,370 | ) | ||||||||||||||
|
|
At June 30, 2013, the Fund had the following open forward foreign cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||
7/03/2013 |
Japanese Yen | 4,694,702 | Singapore Dollar1 | 62,000 | $ | 1,580 | ||||||||||
8/02/2013 |
Japanese Yen | 20,669,560 | Thai Baht4 | 6,200,000 | (8,841 | ) | ||||||||||
10/03/2013 |
Japanese Yen | 4,813,984 | Singapore Dollar1 | 62,000 | 365 | |||||||||||
9/04/2013 |
Malaysian Ringgit | 150,000 | Japanese Yen4 | 4,506,600 | (1,829 | ) | ||||||||||
9/04/2013 |
Malaysian Ringgit | 430,000 | Japanese Yen4 | 14,327,600 | 8,964 | |||||||||||
7/03/2013 |
Singapore Dollar | 62,000 | Japanese Yen1 | 4,815,063 | (366 | ) | ||||||||||
9/24/2013 |
South Korean Won | 187,000,000 | Japanese Yen4 | 15,599,322 | (5,784 | ) | ||||||||||
|
|
|||||||||||||||
Total |
|
$ | (5,911 | ) | ||||||||||||
|
|
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. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.
When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as initial margin. As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as variation margin, are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Funds ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.
Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Funds claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.
At June 30, 2013, open long futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
German Euro BOBL |
9/06/2013 | 5 | $ | 814,833 | $ | (6,452 | ) | |||||||||
|
|
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
United States |
$ | | $ | 1,597,918 | $ | 43,313 | $ | 1,641,231 | ||||||||
All Other Non-Convertible Bonds* |
| 14,274,368 | | 14,274,368 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 15,872,286 | 43,313 | 15,915,599 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 21,763 | | 21,763 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 15,894,049 | 43,313 | 15,937,362 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Preferred Stocks* |
17,604 | | | 17,604 | ||||||||||||
Short-Term Investments |
| 116,693 | | 116,693 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
17,604 | 16,010,742 | 43,313 | 16,071,659 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 21,361 | | 21,361 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 17,604 | $ | 16,032,103 | $ | 43,313 | $ | 16,093,020 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (44,642 | ) | $ | | $ | (44,642 | ) | ||||||
Futures Contracts (unrealized depreciation) |
(6,452 | ) | | | (6,452 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | (6,452 | ) | $ | (44,642 | ) | $ | | $ | (51,094 | ) | |||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.
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 and/or June 30, 2013
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
United States |
$ | | $ | | $ | | $ | (1,687 | ) | $ | 45,000 | $ | | $ | | $ | | $ | 43,313 | $ | (1,687 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 and futures 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 exchange 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 June 30, 2013, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The Fund is subject to the risk that changes in interest rates will affect the value of the Funds investments in fixed income securities. The Fund will be subject to increased interest rate risk to the extent that it invests in fixed-income securities with longer maturities or durations, as compared to investing in fixed-income securities with shorter maturities or durations. The Fund may use futures contracts to hedge against changes in interest rates and to manage their duration without having to buy or sell portfolio securities. During the period ended June 30, 2013, the Fund used futures contracts to manage duration.
Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (ISDA) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for posting of collateral and master netting provisions in the event of a default or other termination event. Collateral is posted by the Fund or the counterparty to the extent of the net mark-to-market exposure to the other party of all open contracts under the agreement, subject to minimum transfer requirements. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Funds ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the net asset value of the Fund declines beyond a certain threshold. As of June 30, 2013, the fair value of derivative positions subject to these provisions 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 |
$ | (11,193 | ) | $ | | |||
Credit Suisse International |
(5,008 | ) | | |||||
UBS AG |
(7,289 | ) | |
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. The risk of loss to the Fund from counterparty default should be limited to the extent the Fund is under collateralized for over-the-counter derivatives; however, final settlement of the Funds claim against any collateral received may be subject to bankruptcy court proceedings. Additionally, cash or securities held at or pledged to counterparties for initial/variation margin or as collateral may be subject to bankruptcy court proceedings. As of June 30, 2013, the maximum amount of loss that the Fund would incur if counterparties failed to meet their obligations, including securities held at or pledged to counterparties for initial/variation margin or as collateral that could be subject to the terms of a final settlement in a bankruptcy court proceeding, is $46,869 and the amount of loss that the Fund would incur after taking into account master netting arrangements is $25,717.
The following is a summary of derivative instruments for the Fund, as of June 30, 2013:
Asset Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
||||||
Forwards (unrealized appreciation) |
$ | | $ | 21,361 | ||||
Liability Derivatives |
Interest Rate Contracts |
Foreign Exchange Contracts |
||||||
Forwards (unrealized depreciation) |
$ | | $ | (44,642 | ) | |||
Futures (unrealized depreciation) |
(6,452 | ) | |
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 June 30, 2013 (Unaudited)
Treasuries |
61.2 | % | ||
Government Guaranteed |
6.0 | |||
Wirelines |
3.2 | |||
Banking |
3.0 | |||
Sovereigns |
2.8 | |||
Media Non-Cable |
2.0 | |||
Automotive |
2.0 | |||
Other Investments, less than 2% each |
17.6 | |||
Short-Term Investments |
0.7 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities (including open forward foreign currency contracts and futures contracts) |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2013 (Unaudited)
Euro |
38.2 | % | ||
Japanese Yen |
24.1 | |||
British Pound |
10.6 | |||
United States Dollar |
6.4 | |||
Mexican Peso |
3.3 | |||
Canadian Dollar |
2.8 | |||
Norwegian Krone |
2.1 | |||
Other, less than 2% each |
11.0 | |||
|
|
|||
Total Investments |
98.5 | |||
Other assets less liabilities (including open forward foreign currency contracts and futures contracts) |
1.5 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 92.7% of Net Assets |
||||||||||
Non-Convertible Bonds 87.7% |
||||||||||
ABS Car Loan 0.8% |
||||||||||
$ | 277,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-2A, Class B, 5.740%, 8/20/2014, 144A |
$ | 278,031 | ||||||
21,683,000 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-3A, Class B, 6.740%, 5/20/2016, 144A |
23,351,897 | ||||||||
20,999,250 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A |
22,437,069 | ||||||||
18,620,000 | Chesapeake Funding LLC, Series 2009-2A, Class B, 1.943%, 9/15/2021, 144A(b) |
18,684,034 | ||||||||
16,736,000 | Chesapeake Funding LLC, Series 2009-2A, Class C, 1.943%, 9/15/2021, 144A(b) |
16,776,133 | ||||||||
5,481,000 | Ford Auto Securitization Trust, Series 2010-R3A, Class D, 4.526%, 3/15/2017, 144A, (CAD) |
5,379,479 | ||||||||
|
|
|||||||||
86,906,643 | ||||||||||
|
|
|||||||||
ABS Credit Card 0.3% |
| |||||||||
19,182,000 | GE Capital Credit Card Master Note Trust, Series 2009-4, Class B, 5.390%, 11/15/2017, 144A |
20,207,527 | ||||||||
14,465,000 | MBNA Credit Card Master Note Trust, Series 2004-B1, Class B1, 4.450%, 8/15/2016 |
14,839,007 | ||||||||
2,324,000 | World Financial Network Credit Card Master Trust, Series 2010-A, Class B, 6.750%, 4/15/2019 |
2,552,724 | ||||||||
|
|
|||||||||
37,599,258 | ||||||||||
|
|
|||||||||
ABS Other 1.1% |
| |||||||||
1,272,468 | Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029 |
1,285,571 | ||||||||
4,940,276 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A |
5,053,013 | ||||||||
22,735,078 | Marriott Vacation Club Owner Trust, Series 2009-2A, Class A, 4.809%, 7/20/2031, 144A |
23,467,716 | ||||||||
20,427,267 | SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A |
20,813,282 | ||||||||
38,695,034 | Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A |
44,150,221 | ||||||||
15,235,893 | Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A |
15,557,599 | ||||||||
4,287,110 | Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A |
4,340,025 | ||||||||
10,249,648 | Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A |
10,894,607 | ||||||||
|
|
|||||||||
125,562,034 | ||||||||||
|
|
|||||||||
Aerospace & Defense 0.8% |
| |||||||||
2,100,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
2,100,000 | ||||||||
78,795,000 | Textron, Inc., 5.950%, 9/21/2021 |
86,824,920 | ||||||||
|
|
|||||||||
88,924,920 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Airlines 2.7% |
||||||||||
$ | 5,215,000 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A |
$ | 5,201,963 | ||||||
12,000,000 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A |
11,340,000 | ||||||||
18,340,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
18,523,400 | ||||||||
57,977 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 |
58,557 | ||||||||
608,348 | Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019 |
641,807 | ||||||||
794,940 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
884,371 | ||||||||
8,369,500 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
9,373,840 | ||||||||
1,699,087 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,852,005 | ||||||||
3,095,792 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
3,297,018 | ||||||||
52,594,416 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
58,379,802 | ||||||||
11,158,179 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
11,827,669 | ||||||||
24,373,290 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
27,968,350 | ||||||||
18,418,281 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
21,549,389 | ||||||||
3,065,000 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021 |
3,187,600 | ||||||||
1,735,318 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,961,777 | ||||||||
12,273,549 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
13,408,853 | ||||||||
29,029,607 | Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021 |
33,746,918 | ||||||||
2,420,207 | Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018 |
2,662,228 | ||||||||
18,071,151 | Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020 |
19,381,310 | ||||||||
5,499,714 | Northwest Airlines, Inc., Series 2007-1, Class B, 8.028%, 5/01/2019 |
5,678,454 | ||||||||
22,780,759 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
24,375,412 | ||||||||
546,191 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
628,120 | ||||||||
15,830,279 | US Airways Pass Through Trust, Series 2011-1A, Class A, 7.125%, 4/22/2025 |
17,888,215 | ||||||||
9,930,000 | US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 |
9,830,700 | ||||||||
|
|
|||||||||
303,647,758 | ||||||||||
|
|
|||||||||
Automotive 1.0% |
||||||||||
36,651,000 | Cummins, Inc., 5.650%, 3/01/2098 |
34,713,811 | ||||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 |
6,110,114 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Automotive continued |
||||||||||
$ | 2,426,000 | Ford Motor Co., 6.375%, 2/01/2029 |
$ | 2,570,987 | ||||||
125,000 | Ford Motor Co., 6.500%, 8/01/2018 |
141,603 | ||||||||
255,000 | Ford Motor Co., 6.625%, 2/15/2028 |
270,903 | ||||||||
5,074,000 | Ford Motor Co., 6.625%, 10/01/2028 |
5,531,944 | ||||||||
3,243,000 | Ford Motor Co., 7.400%, 11/01/2046 |
3,820,971 | ||||||||
4,823,000 | Ford Motor Co., 7.450%, 7/16/2031 |
5,774,168 | ||||||||
240,000 | Ford Motor Co., 7.500%, 8/01/2026 |
277,545 | ||||||||
5,000,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 |
5,332,120 | ||||||||
40,126,000 | Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 |
45,414,326 | ||||||||
924,000 | Ford Motor Credit Co. LLC, 7.000%, 4/15/2015 |
1,001,719 | ||||||||
2,370,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
2,343,337 | ||||||||
|
|
|||||||||
113,303,548 | ||||||||||
|
|
|||||||||
Banking 14.1% |
| |||||||||
22,547,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
29,230,269 | ||||||||
1,634,000 | Ally Financial, Inc., 6.750%, 12/01/2014 |
1,719,785 | ||||||||
2,510,000 | Ally Financial, Inc., 7.500%, 12/31/2013 |
2,572,750 | ||||||||
2,285,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
2,730,575 | ||||||||
7,200,000 | American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017 |
8,273,837 | ||||||||
35,878,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
42,490,351 | ||||||||
11,400,000 | Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL) |
4,700,294 | ||||||||
3,590,000 | Bank of America Corp., 5.420%, 3/15/2017 |
3,844,761 | ||||||||
9,805,000 | Bank of America Corp., 6.000%, 9/01/2017 |
10,990,944 | ||||||||
11,100,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
11,835,519 | ||||||||
5,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) |
4,599,153 | ||||||||
2,393,000 | Bank of America Corp., Series L, MTN, 7.625%, 6/01/2019 |
2,875,848 | ||||||||
17,249,000 | Bank of America NA, 5.300%, 3/15/2017 |
18,707,989 | ||||||||
1,056,000 | Barclays Bank PLC, 6.050%, 12/04/2017, 144A |
1,142,296 | ||||||||
7,110,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
6,491,669 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Banking continued |
||||||||||
337,230,000,000 | Barclays Financial LLC, EMTN, 8.250%, 10/27/2014, (IDR) |
$ | 33,197,023 | |||||||
2,173,000 | Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018 |
2,347,392 | ||||||||
370,000 | BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD) |
361,473 | ||||||||
8,994,000 | Capital One Financial Corp., 6.150%, 9/01/2016 |
10,036,513 | ||||||||
2,770,000 | Citigroup, Inc., 3.375%, 3/01/2023 |
2,649,821 | ||||||||
17,000,000 | Citigroup, Inc., 3.500%, 5/15/2023 |
15,268,244 | ||||||||
51,425,000 | Citigroup, Inc., 4.450%, 1/10/2017 |
55,065,376 | ||||||||
1,660,000 | Citigroup, Inc., 4.500%, 1/14/2022 |
1,729,436 | ||||||||
2,700,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) |
2,428,665 | ||||||||
10,000,000 | Citigroup, Inc., 5.375%, 8/09/2020 |
11,057,990 | ||||||||
2,740,000 | Citigroup, Inc., 5.875%, 2/22/2033 |
2,634,318 | ||||||||
5,445,000 | Citigroup, Inc., 6.125%, 5/15/2018 |
6,233,098 | ||||||||
8,705,000 | Citigroup, Inc., 6.125%, 8/25/2036 |
8,522,970 | ||||||||
44,910,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
36,306,803 | ||||||||
2,398,000 | Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b) |
2,949,681 | ||||||||
4,625,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017 |
4,857,309 | ||||||||
27,045,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022 |
27,234,829 | ||||||||
86,800,000 | Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD) |
81,435,352 | ||||||||
1,174,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
1,181,278 | ||||||||
112,330,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
115,066,808 | ||||||||
6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020 |
7,210,184 | ||||||||
4,467,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
4,121,120 | ||||||||
1,000,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
1,058,837 | ||||||||
700,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
668,500 | ||||||||
36,745,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD) |
27,344,543 | ||||||||
2,950,000 | JPMorgan Chase & Co., EMTN, 1.053%, 5/30/2017, (GBP)(b) |
4,195,159 | ||||||||
12,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) |
1,164,816 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Banking continued |
||||||||||
16,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
$ | 1,584,040 | |||||||
100,000 | Keybank NA, 6.950%, 2/01/2028 |
121,664 | ||||||||
9,787,000 | Lloyds TSB Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD) |
9,699,339 | ||||||||
81,622,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
87,018,602 | ||||||||
6,479,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 |
6,977,624 | ||||||||
4,300,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
4,656,070 | ||||||||
103,309,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
101,693,557 | ||||||||
9,780,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) |
4,185,762 | ||||||||
3,132,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
4,283,442 | ||||||||
11,641,000 | Merrill Lynch & Co., Inc., MTN, 6.875%, 4/25/2018 |
13,397,895 | ||||||||
40,126,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
42,913,192 | ||||||||
2,652,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 |
2,994,543 | ||||||||
78,200,000 | Morgan Stanley, 2.125%, 4/25/2018 |
74,839,824 | ||||||||
4,250,000 | Morgan Stanley, 3.450%, 11/02/2015 |
4,385,422 | ||||||||
53,869,000 | Morgan Stanley, 3.750%, 2/25/2023 |
51,514,009 | ||||||||
14,023,000 | Morgan Stanley, 3.800%, 4/29/2016 |
14,584,775 | ||||||||
30,000,000 | Morgan Stanley, 4.750%, 11/16/2018, (AUD) |
27,165,700 | ||||||||
4,585,000 | Morgan Stanley, 4.875%, 11/01/2022 |
4,529,526 | ||||||||
56,867,000 | Morgan Stanley, 5.500%, 7/24/2020 |
61,239,162 | ||||||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 |
6,404,167 | ||||||||
151,076,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) |
123,971,307 | ||||||||
60,800,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
60,383,132 | ||||||||
550,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) |
921,597 | ||||||||
5,400,000 | Morgan Stanley, GMTN, 5.500%, 1/26/2020 |
5,796,290 | ||||||||
24,100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
23,478,321 | ||||||||
9,410,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
8,694,078 | ||||||||
3,800,000 | Morgan Stanley, MTN, 7.250%, 5/26/2015, (AUD) |
3,651,313 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Banking continued |
||||||||||
$ | 38,206,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 |
$ | 41,064,993 | ||||||
5,187,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 |
5,879,231 | ||||||||
9,400,000 | Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b) |
9,099,849 | ||||||||
9,044,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 |
10,034,689 | ||||||||
2,239,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) |
3,637,280 | ||||||||
2,875,000 | National City Bank of Indiana, 4.250%, 7/01/2018 |
3,073,205 | ||||||||
8,638,000 | National City Corp., 6.875%, 5/15/2019 |
10,332,154 | ||||||||
35,900,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 |
34,161,363 | ||||||||
5,250,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) |
6,703,451 | ||||||||
6,150,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) |
8,365,376 | ||||||||
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) |
1,938,856 | ||||||||
700,000 | Santander Financial Issuances Ltd., 7.250%, 11/01/2015 |
754,530 | ||||||||
16,175,000 | Santander Holdings USA, Inc., 4.625%, 4/19/2016 |
17,063,282 | ||||||||
1,000,000 | Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR) |
1,331,288 | ||||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A |
1,908,421 | ||||||||
1,400,000 | Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A |
1,427,926 | ||||||||
8,100,000 | Santander US Debt SAU, 3.724%, 1/20/2015, 144A |
8,175,816 | ||||||||
30,886,000 | Societe Generale S.A., MTN, 5.200%, 4/15/2021, 144A |
32,608,512 | ||||||||
3,300,000 | Standard Chartered Bank, 6.400%, 9/26/2017, 144A |
3,712,203 | ||||||||
|
|
|||||||||
1,570,890,356 | ||||||||||
|
|
|||||||||
Brokerage 1.5% |
| |||||||||
55,355,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
55,642,016 | ||||||||
13,100,000 | Cantor Fitzgerald LP, 7.875%, 10/15/2019, 144A(c) |
13,405,269 | ||||||||
43,310,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
42,976,036 | ||||||||
19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
18,815,570 | ||||||||
8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
8,628,600 | ||||||||
1,693,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
1,861,948 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Brokerage continued |
||||||||||
$ | 23,835,000 | Jefferies Group LLC, 8.500%, 7/15/2019 |
$ | 28,721,175 | ||||||
|
|
|||||||||
170,050,614 | ||||||||||
|
|
|||||||||
Building Materials 1.1% |
| |||||||||
6,640,000 | Masco Corp., 4.800%, 6/15/2015 |
6,806,000 | ||||||||
10,942,000 | Masco Corp., 5.850%, 3/15/2017 |
11,543,810 | ||||||||
6,616,000 | Masco Corp., 6.125%, 10/03/2016 |
7,145,280 | ||||||||
6,058,000 | Masco Corp., 6.500%, 8/15/2032 |
6,027,710 | ||||||||
28,539,000 | Masco Corp., 7.125%, 3/15/2020 |
31,820,985 | ||||||||
5,725,000 | Masco Corp., 7.750%, 8/01/2029 |
6,320,062 | ||||||||
9,300,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
3,729,003 | ||||||||
4,949,000 | Owens Corning, Inc., 6.500%, 12/01/2016 |
5,524,494 | ||||||||
41,379,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
44,278,013 | ||||||||
1,037,000 | USG Corp., 6.300%, 11/15/2016 |
1,057,740 | ||||||||
|
|
|||||||||
124,253,097 | ||||||||||
|
|
|||||||||
Chemicals 0.0% |
| |||||||||
1,700,000 | Methanex Corp., 5.250%, 3/01/2022 |
1,782,032 | ||||||||
2,349,000 | Methanex Corp., Senior Note, 6.000%, 8/15/2015 |
2,525,356 | ||||||||
|
|
|||||||||
4,307,388 | ||||||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities 3.5% |
| |||||||||
2,477,877 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 |
2,713,075 | ||||||||
33,167,701 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 |
36,512,199 | ||||||||
12,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 |
13,287,852 | ||||||||
52,326,248 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.871%, 6/15/2039(b) |
58,151,677 | ||||||||
34,381,273 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 5.954%, 9/15/2039(b) |
38,337,526 | ||||||||
6,711,090 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 |
7,493,791 | ||||||||
57,694,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A |
66,202,423 | ||||||||
69,500,000 | Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A |
66,424,834 | ||||||||
23,544,272 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 |
26,368,596 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Commercial Mortgage-Backed Securities continued |
||||||||||
$ | 21,524,263 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 |
$ | 23,831,104 | ||||||
15,928,923 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LD11, Class A4, 6.003%, 6/15/2049(b) |
17,825,994 | ||||||||
3,131,798 | LB-UBS Commercial Mortgage Trust, Series 2006-C4, Class A4, 6.061%, 6/15/2038(b) |
3,475,992 | ||||||||
1,311,441 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
1,451,048 | ||||||||
9,786,870 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.982%, 8/12/2045, 144A(b) |
10,677,700 | ||||||||
6,851,000 | Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A |
7,502,544 | ||||||||
3,621,142 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C29, Class A4, 5.308%, 11/15/2048 |
3,999,903 | ||||||||
6,222,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 |
6,905,673 | ||||||||
4,250,000 | WF-RBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.722%, 3/15/2044, 144A(b) |
4,030,619 | ||||||||
|
|
|||||||||
395,192,550 | ||||||||||
|
|
|||||||||
Construction Machinery 0.2% |
| |||||||||
12,074,000 | Case New Holland, Inc., 7.750%, 9/01/2013 |
12,149,463 | ||||||||
6,787,000 | Toro Co., 6.625%, 5/01/2037(c) |
6,768,410 | ||||||||
400,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 |
433,000 | ||||||||
|
|
|||||||||
19,350,873 | ||||||||||
|
|
|||||||||
Consumer Products 0.2% |
| |||||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 |
8,195,402 | ||||||||
11,754,000 | Snap-on, Inc., 6.700%, 3/01/2019 |
13,773,349 | ||||||||
|
|
|||||||||
21,968,751 | ||||||||||
|
|
|||||||||
Diversified Manufacturing 0.2% |
| |||||||||
1,395,000 | Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018 |
1,652,294 | ||||||||
1,181,000 | Textron Financial Corp., Series E, MTN, 5.125%, 8/15/2014 |
1,215,333 | ||||||||
11,040,000 | Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP) |
18,758,046 | ||||||||
|
|
|||||||||
21,625,673 | ||||||||||
|
|
|||||||||
Electric 1.9% |
| |||||||||
33,118,493 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
34,746,499 | ||||||||
10,331,144 | Bruce Mansfield Unit, 6.850%, 6/01/2034 |
11,286,878 | ||||||||
17,435,000 | Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017 |
19,211,435 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Electric continued |
||||||||||
$ | 12,285,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
$ | 12,070,013 | ||||||
3,200,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
3,296,000 | ||||||||
1,000,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) |
1,330,598 | ||||||||
900,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) |
1,221,273 | ||||||||
979,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 |
982,950 | ||||||||
4,491,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 |
5,220,316 | ||||||||
40,453,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
37,358,426 | ||||||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |
9,019,565 | ||||||||
7,921,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) |
10,409,700 | ||||||||
3,600,000 | Iberdrola Finance Ireland Ltd., 3.800%, 9/11/2014, 144A |
3,692,988 | ||||||||
7,210,570 | Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(c) |
7,379,240 | ||||||||
50,026,000 | Southwestern Electric Power Co., 6.450%, 1/15/2019 |
58,038,064 | ||||||||
2,850,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A |
2,130,375 | ||||||||
|
|
|||||||||
217,394,320 | ||||||||||
|
|
|||||||||
Entertainment 0.0% |
| |||||||||
3,616,000 | Viacom, Inc., 6.125%, 10/05/2017 |
4,163,567 | ||||||||
|
|
|||||||||
Financial Other 1.0% |
| |||||||||
66,384,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
69,912,841 | ||||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
36,955,344 | ||||||||
|
|
|||||||||
106,868,185 | ||||||||||
|
|
|||||||||
Food & Beverage 0.0% |
| |||||||||
2,450,000 | Cargill, Inc., EMTN, 5.375%, 3/02/2037, (GBP) |
4,115,318 | ||||||||
|
|
|||||||||
Government Guaranteed 0.5% |
| |||||||||
12,910,000 | Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD) |
12,142,667 | ||||||||
11,311,000 | Instituto de Credito Oficial, MTN, 6.125%, 2/27/2014, (AUD) |
10,244,971 | ||||||||
4,000,000 | Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD) |
3,735,628 | ||||||||
31,142,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
26,759,841 | ||||||||
|
|
|||||||||
52,883,107 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Government OwnedNo Guarantee 1.0% |
||||||||||
$ | 3,720,000 | Abu Dhabi National Energy Co., 6.500%, 10/27/2036, 144A |
$ | 4,129,200 | ||||||
36,975,000 | Abu Dhabi National Energy Co., 7.250%, 8/01/2018, 144A |
43,353,187 | ||||||||
58,060,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
59,946,950 | ||||||||
26,030,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
2,558,415 | ||||||||
27,800,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) |
2,730,702 | ||||||||
1,000,000 | Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A |
1,257,394 | ||||||||
|
|
|||||||||
113,975,848 | ||||||||||
|
|
|||||||||
Health Insurance 0.0% |
| |||||||||
1,569,000 | CIGNA Corp., 7.875%, 5/15/2027 |
1,992,806 | ||||||||
1,174,000 | CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d) |
1,545,324 | ||||||||
|
|
|||||||||
3,538,130 | ||||||||||
|
|
|||||||||
Healthcare 1.2% |
| |||||||||
7,692,000 | Boston Scientific Corp., 6.000%, 1/15/2020 |
8,706,398 | ||||||||
7,374,000 | Covidien International Finance S.A., 6.000%, 10/15/2017 |
8,545,028 | ||||||||
9,459,000 | Express Scripts, Inc., 7.250%, 6/15/2019 |
11,673,617 | ||||||||
9,278,000 | HCA, Inc., 5.750%, 3/15/2014 |
9,463,560 | ||||||||
802,000 | HCA, Inc., 5.875%, 3/15/2022 |
823,053 | ||||||||
52,905,000 | HCA, Inc., 5.875%, 5/01/2023 |
53,037,262 | ||||||||
3,729,000 | HCA, Inc., 6.375%, 1/15/2015 |
3,906,127 | ||||||||
3,127,000 | HCA, Inc., 6.500%, 2/15/2016 |
3,369,343 | ||||||||
357,000 | HCA, Inc., 6.750%, 7/15/2013 |
357,000 | ||||||||
2,936,000 | HCA, Inc., 7.050%, 12/01/2027 |
2,877,280 | ||||||||
2,241,000 | HCA, Inc., 7.190%, 11/15/2015 |
2,420,280 | ||||||||
4,119,000 | HCA, Inc., 7.500%, 12/15/2023 |
4,283,760 | ||||||||
1,282,000 | HCA, Inc., 7.500%, 11/06/2033 |
1,320,460 | ||||||||
3,807,000 | HCA, Inc., 7.690%, 6/15/2025 |
4,111,560 | ||||||||
4,164,000 | HCA, Inc., 8.360%, 4/15/2024 |
4,705,320 | ||||||||
1,199,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
1,270,940 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Healthcare continued |
||||||||||
$ | 3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
$ | 3,083,340 | ||||||
2,256,000 | Owens & Minor, Inc., 6.350%, 4/15/2016 |
2,447,164 | ||||||||
2,200,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
1,892,000 | ||||||||
|
|
|||||||||
128,293,492 | ||||||||||
|
|
|||||||||
Home Construction 0.1% |
| |||||||||
2,006,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015(e) |
682,040 | ||||||||
9,200,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
8,464,000 | ||||||||
3,567,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
3,335,145 | ||||||||
|
|
|||||||||
12,481,185 | ||||||||||
|
|
|||||||||
Independent Energy 0.8% |
| |||||||||
1,065,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
1,144,875 | ||||||||
1,015,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
1,101,275 | ||||||||
9,787,000 | EQT Corp., 8.125%, 6/01/2019 |
11,931,851 | ||||||||
60,038,000 | Equitable Resources, Inc., 6.500%, 4/01/2018 |
68,089,936 | ||||||||
7,240,000 | Newfield Exploration Co., 5.625%, 7/01/2024 |
7,022,800 | ||||||||
|
|
|||||||||
89,290,737 | ||||||||||
|
|
|||||||||
Industrial Other 0.0% |
| |||||||||
4,893,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
5,267,187 | ||||||||
|
|
|||||||||
Life Insurance 0.8% |
| |||||||||
7,100,000 | American International Group, Inc., EMTN, 5.000%, 4/26/2023, (GBP) |
11,554,654 | ||||||||
6,910,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
7,769,673 | ||||||||
2,036,000 | American International Group, Inc., Series MP, MTN, 5.450%, 5/18/2017 |
2,244,356 | ||||||||
600,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP) |
898,881 | ||||||||
5,900,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
7,828,488 | ||||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
17,288,640 | ||||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A |
10,474,698 | ||||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
6,710,590 | ||||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
3,324,021 | ||||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A |
18,821,211 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Life Insurance continued |
||||||||||
$ | 4,732,000 | Unum Group, 7.125%, 9/30/2016 |
$ | 5,472,497 | ||||||
|
|
|||||||||
92,387,709 | ||||||||||
|
|
|||||||||
Local Authorities 2.7% |
| |||||||||
59,530,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) |
62,805,538 | ||||||||
800,000 | City of Madrid Spain, 4.550%, 6/16/2036, (EUR) |
750,854 | ||||||||
7,448,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
6,087,500 | ||||||||
99,450,000 | New South Wales Treasury Corp., 5.500%, 8/01/2013, (AUD) |
91,151,813 | ||||||||
68,930,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) |
69,571,242 | ||||||||
17,930,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) |
17,682,310 | ||||||||
13,590 | Province of Alberta, 5.930%, 9/16/2016, (CAD) |
14,058 | ||||||||
489,000 | Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) |
608,858 | ||||||||
29,791,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) |
24,598,677 | ||||||||
26,518,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) |
25,220,589 | ||||||||
|
|
|||||||||
298,491,439 | ||||||||||
|
|
|||||||||
Lodging 0.5% |
| |||||||||
52,516,000 | Choice Hotels International, Inc., 5.700%, 8/28/2020 |
55,666,960 | ||||||||
100,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 |
111,567 | ||||||||
|
|
|||||||||
55,778,527 | ||||||||||
|
|
|||||||||
Media Cable 1.0% |
| |||||||||
17,832,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
18,803,375 | ||||||||
13,630,000 | Time Warner Cable, Inc., 4.125%, 2/15/2021 |
13,364,692 | ||||||||
4,101,000 | Time Warner Cable, Inc., 5.850%, 5/01/2017 |
4,518,515 | ||||||||
64,548,000 | Time Warner Cable, Inc., 6.750%, 7/01/2018 |
73,885,191 | ||||||||
|
|
|||||||||
110,571,773 | ||||||||||
|
|
|||||||||
Media Non-Cable 0.5% |
| |||||||||
5,000,000 | Clear Channel Communications, Inc., 9.000%, 3/01/2021 |
4,750,000 | ||||||||
358,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
23,432,755 | ||||||||
4,482,000 | News America, Inc., 8.150%, 10/17/2036 |
5,684,023 | ||||||||
5,000,000 | R.R. Donnelley & Sons Co., 7.250%, 5/15/2018 |
5,175,000 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Media Non-Cable continued |
||||||||||
$ | 6,250,000 | R.R. Donnelley & Sons Co., 7.875%, 3/15/2021 |
$ | 6,375,000 | ||||||
10,870,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 |
11,413,500 | ||||||||
|
|
|||||||||
56,830,278 | ||||||||||
|
|
|||||||||
Metals & Mining 2.2% |
| |||||||||
15,000,000 | Alcoa, Inc., 5.400%, 4/15/2021 |
14,601,195 | ||||||||
15,060,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
14,653,455 | ||||||||
45,700,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
42,747,597 | ||||||||
5,505,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
4,907,394 | ||||||||
5,804,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
5,767,632 | ||||||||
430,000 | ArcelorMittal, 6.000%, 3/01/2021 |
427,850 | ||||||||
6,885,000 | ArcelorMittal, 6.125%, 6/01/2018 |
7,091,550 | ||||||||
4,085,000 | ArcelorMittal, 6.750%, 2/25/2022 |
4,187,125 | ||||||||
47,920,000 | ArcelorMittal, 7.250%, 3/01/2041 |
44,805,200 | ||||||||
19,365,000 | ArcelorMittal, 7.500%, 10/15/2039 |
18,396,750 | ||||||||
20,625,000 | Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
18,150,000 | ||||||||
4,500,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A |
3,465,000 | ||||||||
24,155,000 | Plains Exploration & Production Co., 6.500%, 11/15/2020 |
25,609,252 | ||||||||
1,943,000 | United States Steel Corp., 6.050%, 6/01/2017 |
2,020,720 | ||||||||
4,612,000 | United States Steel Corp., 6.650%, 6/01/2037 |
3,885,610 | ||||||||
31,210,000 | United States Steel Corp., 7.000%, 2/01/2018 |
32,770,500 | ||||||||
3,655,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 |
3,700,644 | ||||||||
|
|
|||||||||
247,187,474 | ||||||||||
|
|
|||||||||
Mortgage Related 0.0% |
| |||||||||
55,085 | FHLMC, 5.000%, 12/01/2031 |
58,977 | ||||||||
8,105 | FNMA, 6.000%, 7/01/2029 |
9,013 | ||||||||
|
|
|||||||||
67,990 | ||||||||||
|
|
|||||||||
Non-Captive Consumer 2.5% |
| |||||||||
90,196,000 | SLM Corp., 5.500%, 1/25/2023 |
85,884,992 | ||||||||
62,425() | SLM Corp., 6.000%, 12/15/2043 |
1,425,215 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Non-Captive Consumer continued |
||||||||||
$ | 7,371,000 | SLM Corp., MTN, 3.875%, 9/10/2015 |
$ | 7,445,101 | ||||||
2,270,000 | SLM Corp., MTN, 4.625%, 9/25/2017 |
2,235,950 | ||||||||
6,550,000 | SLM Corp., MTN, 6.250%, 1/25/2016 |
6,943,000 | ||||||||
8,895,000 | SLM Corp., MTN, 7.250%, 1/25/2022 |
9,339,750 | ||||||||
641,000 | SLM Corp., MTN, 8.000%, 3/25/2020 |
693,882 | ||||||||
5,616,000 | SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b) |
5,566,613 | ||||||||
15,792,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
15,317,340 | ||||||||
19,496,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
16,181,680 | ||||||||
29,081,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
32,279,910 | ||||||||
4,893,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
4,880,767 | ||||||||
87,676,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
86,032,075 | ||||||||
|
|
|||||||||
274,226,275 | ||||||||||
|
|
|||||||||
Non-Captive Diversified 2.7% |
| |||||||||
5,543,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
6,277,448 | ||||||||
3,500,000 | General Electric Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD) |
3,415,233 | ||||||||
10,350,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 4/15/2015, (AUD) |
9,841,915 | ||||||||
1,874,000 | General Electric Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD) |
1,792,809 | ||||||||
1,365,000 | General Electric Capital Corp., GMTN, 3.100%, 1/09/2023 |
1,289,469 | ||||||||
35,580,000 | General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD) |
26,874,824 | ||||||||
14,225,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
11,723,312 | ||||||||
51,370,000 | General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD) |
41,230,205 | ||||||||
36,850,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
30,005,738 | ||||||||
10,247,000 | General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b) |
9,216,982 | ||||||||
26,931,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
21,776,108 | ||||||||
210,000 | International Lease Finance Corp., 3.875%, 4/15/2018 |
197,400 | ||||||||
35,005,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
35,355,050 | ||||||||
548,000 | International Lease Finance Corp., 5.875%, 8/15/2022 |
543,205 | ||||||||
26,200,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
26,920,500 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Non-Captive Diversified continued |
||||||||||
$ | 60,419,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
$ | 66,762,995 | ||||||
1,473,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
1,483,311 | ||||||||
1,415,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 |
1,439,763 | ||||||||
|
|
|||||||||
296,146,267 | ||||||||||
|
|
|||||||||
Oil Field Services 0.6% |
| |||||||||
5,965,000 | Nabors Industries, Inc., 6.150%, 2/15/2018 |
6,654,029 | ||||||||
22,583,000 | Nabors Industries, Inc., 9.250%, 1/15/2019 |
28,019,338 | ||||||||
23,338,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 |
28,058,204 | ||||||||
587,000 | Transocean Ltd., 7.375%, 4/15/2018 |
672,626 | ||||||||
|
|
|||||||||
63,404,197 | ||||||||||
|
|
|||||||||
Paper 1.1% |
| |||||||||
4,365,000 | Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019 |
4,993,268 | ||||||||
23,225,000 | Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A |
25,898,221 | ||||||||
715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
893,149 | ||||||||
2,672,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
3,402,709 | ||||||||
644,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
830,374 | ||||||||
1,031,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,440,196 | ||||||||
7,049,000 | International Paper Co., 8.700%, 6/15/2038 |
9,567,009 | ||||||||
5,270,000 | Mead Corp. (The), 7.550%, 3/01/2047(c) |
5,559,391 | ||||||||
5,068,000 | Westvaco Corp., 8.200%, 1/15/2030 |
5,997,623 | ||||||||
26,007,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 |
29,712,763 | ||||||||
7,374,000 | Weyerhaeuser Co., 7.375%, 10/01/2019 |
8,708,569 | ||||||||
18,254,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
21,913,361 | ||||||||
|
|
|||||||||
118,916,633 | ||||||||||
|
|
|||||||||
Pipelines 3.2% |
| |||||||||
650,000 | DCP Midstream LP, 6.450%, 11/03/2036, 144A |
683,296 | ||||||||
528,000 | Energy Transfer Partners LP, 6.125%, 2/15/2017 |
594,504 | ||||||||
3,328,000 | Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A |
4,157,887 | ||||||||
14,300,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
15,323,937 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Pipelines continued |
||||||||||
$ | 17,765,000 | Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020 |
$ | 19,726,114 | ||||||
7,461,000 | Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021 |
8,455,894 | ||||||||
55,614,000 | Kinder Morgan Energy Partners LP, 5.950%, 2/15/2018 |
64,448,228 | ||||||||
303,000 | Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016 |
324,542 | ||||||||
27,207,950 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) |
28,501,307 | ||||||||
26,165,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
25,380,050 | ||||||||
635,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
558,800 | ||||||||
13,790,000 | NiSource Finance Corp., 6.125%, 3/01/2022 |
15,562,898 | ||||||||
24,110,000 | NiSource Finance Corp., 6.400%, 3/15/2018 |
28,007,020 | ||||||||
21,614,000 | NiSource Finance Corp., 6.800%, 1/15/2019 |
25,575,846 | ||||||||
9,899,000 | Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017 |
11,452,589 | ||||||||
47,594,000 | Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018 |
56,985,438 | ||||||||
1,404,000 | Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019 |
1,717,496 | ||||||||
1,880,000 | Plains All American Pipeline LP, 6.125%, 1/15/2017 |
2,135,505 | ||||||||
15,683,000 | Plains All American Pipeline LP, 6.500%, 5/01/2018 |
18,508,685 | ||||||||
4,125,000 | Southern Natural Gas Co., 5.900%, 4/01/2017, 144A |
4,700,429 | ||||||||
19,574,000 | Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A |
22,290,871 | ||||||||
|
|
|||||||||
355,091,336 | ||||||||||
|
|
|||||||||
Property & Casualty Insurance 0.5% |
| |||||||||
2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 |
2,903,929 | ||||||||
3,083,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 |
3,543,372 | ||||||||
9,038,000 | Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A |
9,653,208 | ||||||||
1,889,000 | MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(e) |
1,615,095 | ||||||||
14,575,000 | Nationwide Mutual Insurance Co., 6.600%, 4/15/2034, 144A |
14,647,875 | ||||||||
7,609,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A |
8,319,041 | ||||||||
13,521,000 | Willis North America, Inc., 7.000%, 9/29/2019 |
15,529,031 | ||||||||
2,212,000 | XL Group PLC, 6.250%, 5/15/2027 |
2,527,073 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Property & Casualty Insurance continued |
||||||||||
$ | 1,463,000 | XL Group PLC, 6.375%, 11/15/2024 |
$ | 1,660,449 | ||||||
|
|
|||||||||
60,399,073 | ||||||||||
|
|
|||||||||
Property Trust 0.4% |
| |||||||||
36,192,000 | WEA Finance LLC/WT Finance Australia Property Ltd., 6.750%, 9/02/2019, 144A |
42,742,680 | ||||||||
|
|
|||||||||
Railroads 0.1% |
| |||||||||
9,787,000 | Canadian Pacific Railway Co., 7.250%, 5/15/2019 |
12,001,358 | ||||||||
237,000 | Missouri Pacific Railroad Co., 4.750%, 1/01/2030(c) |
227,875 | ||||||||
1,701,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) |
1,445,850 | ||||||||
191,000 | Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(c) |
177,630 | ||||||||
|
|
|||||||||
13,852,713 | ||||||||||
|
|
|||||||||
Real Estate Operations/Development 0.1% |
| |||||||||
10,276,000 | First Industrial LP, 5.950%, 5/15/2017 |
10,850,007 | ||||||||
|
|
|||||||||
Refining 0.1% |
| |||||||||
7,700,000 | Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A |
7,822,345 | ||||||||
|
|
|||||||||
REITsApartments 0.3% |
| |||||||||
12,243,000 | Camden Property Trust, 5.000%, 6/15/2015 |
13,102,005 | ||||||||
16,491,000 | Camden Property Trust, 5.700%, 5/15/2017 |
18,338,520 | ||||||||
|
|
|||||||||
31,440,525 | ||||||||||
|
|
|||||||||
REITsDiversified 0.2% |
| |||||||||
4,140,000 | Duke Realty LP, 5.950%, 2/15/2017 |
4,594,080 | ||||||||
19,574,000 | Duke Realty LP, 6.500%, 1/15/2018 |
22,508,710 | ||||||||
|
|
|||||||||
27,102,790 | ||||||||||
|
|
|||||||||
REITsHealthcare 0.1% |
| |||||||||
5,972,000 | Health Care REIT, Inc., 6.500%, 3/15/2041 |
6,626,537 | ||||||||
|
|
|||||||||
REITsOffice Property 0.3% |
| |||||||||
20,817,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
22,754,792 | ||||||||
11,306,000 | Highwoods Properties, Inc., 7.500%, 4/15/2018 |
13,274,205 | ||||||||
|
|
|||||||||
36,028,997 | ||||||||||
|
|
|||||||||
REITsShopping Centers 0.1% |
| |||||||||
4,893,000 | Equity One, Inc., 6.000%, 9/15/2017 |
5,444,935 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
REITsSingle Tenant 0.3% |
||||||||||
$ | 5,862,000 | Realty Income Corp., 5.750%, 1/15/2021 |
$ | 6,455,000 | ||||||
25,529,000 | Realty Income Corp., 6.750%, 8/15/2019 |
30,118,195 | ||||||||
|
|
|||||||||
36,573,195 | ||||||||||
|
|
|||||||||
REITsWarehouse/Industrials 0.6% |
| |||||||||
3,873,000 | ProLogis LP, 5.625%, 11/15/2015 |
4,194,711 | ||||||||
11,179,000 | ProLogis LP, 5.625%, 11/15/2016 |
12,486,216 | ||||||||
10,889,000 | ProLogis LP, 5.750%, 4/01/2016 |
11,954,086 | ||||||||
9,698,000 | ProLogis LP, 6.625%, 5/15/2018 |
11,162,398 | ||||||||
18,869,000 | ProLogis LP, 7.375%, 10/30/2019 |
22,707,841 | ||||||||
|
|
|||||||||
62,505,252 | ||||||||||
|
|
|||||||||
Restaurants 0.1% |
| |||||||||
10,320,000 | Darden Restaurants, Inc., 6.000%, 8/15/2035 |
10,051,907 | ||||||||
|
|
|||||||||
Retailers 0.4% |
| |||||||||
7,996,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
7,016,490 | ||||||||
8,139,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
6,348,420 | ||||||||
8,656,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
6,405,440 | ||||||||
10,467,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
11,755,236 | ||||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
8,098,587 | ||||||||
|
|
|||||||||
39,624,173 | ||||||||||
|
|
|||||||||
Sovereigns 1.2% |
| |||||||||
44,750,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
18,450,714 | ||||||||
24,178,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
11,106,483 | ||||||||
52,555,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A |
56,098,258 | ||||||||
33,600,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A |
35,616,000 | ||||||||
1,415,381,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
8,563,298 | ||||||||
391,985,000 | Republic of Iceland, 7.250%, 10/26/2022, (ISK) |
2,398,388 | ||||||||
820,777,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) |
5,419,473 | ||||||||
|
|
|||||||||
137,652,614 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Supermarkets 0.3% |
||||||||||
$ | 4,130,000 | American Stores Co., Series B, MTN, 7.100%, 3/20/2028 |
$ | 4,956,000 | ||||||
1,120,000 | Delhaize Group S.A., 5.700%, 10/01/2040 |
1,063,995 | ||||||||
3,269,000 | Kroger Co. (The), 6.400%, 8/15/2017 |
3,772,622 | ||||||||
6,595,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
5,177,075 | ||||||||
7,875,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
6,260,625 | ||||||||
979,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
675,510 | ||||||||
17,290,000 | SUPERVALU, Inc., 6.750%, 6/01/2021, 144A |
16,079,700 | ||||||||
|
|
|||||||||
37,985,527 | ||||||||||
|
|
|||||||||
Supranational 0.9% |
| |||||||||
11,745,000 | European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL) |
5,265,735 | ||||||||
9,640,000 | European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD) |
9,367,816 | ||||||||
410,030,000,000 | Inter-American Development Bank, EMTN, Zero Coupon, 9/23/2013, (IDR) |
39,974,310 | ||||||||
12,982,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
10,803,591 | ||||||||
15,070,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) |
11,959,445 | ||||||||
58,420,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) |
23,762,293 | ||||||||
|
|
|||||||||
101,133,190 | ||||||||||
|
|
|||||||||
Technology 2.0% |
| |||||||||
4,600,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
3,484,500 | ||||||||
1,028,000 | Arrow Electronics, Inc., 6.875%, 6/01/2018 |
1,178,139 | ||||||||
1,507,000 | Avnet, Inc., 6.625%, 9/15/2016 |
1,687,864 | ||||||||
56,271,000 | Corning, Inc., 7.000%, 5/15/2024 |
69,356,089 | ||||||||
7,487,000 | Corning, Inc., 7.250%, 8/15/2036 |
9,118,545 | ||||||||
7,051,000 | Equifax, Inc., 7.000%, 7/01/2037 |
8,183,306 | ||||||||
112,000 | Freescale Semiconductor, Inc., 10.125%, 12/15/2016 |
114,940 | ||||||||
70,969,000 | Ingram Micro, Inc., 5.250%, 9/01/2017 |
75,473,970 | ||||||||
7,795,000 | Intuit, Inc., 5.750%, 3/15/2017 |
8,660,557 | ||||||||
19,078,000 | KLA-Tencor Corp., 6.900%, 5/01/2018 |
22,208,910 | ||||||||
1,502,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
1,555,177 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Technology continued |
||||||||||
$ | 2,115,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
$ | 2,491,851 | ||||||
5,603,000 | Tyco Electronics Group S.A., 6.550%, 10/01/2017 |
6,486,033 | ||||||||
561,000 | Xerox Corp., 6.350%, 5/15/2018 |
642,951 | ||||||||
7,110,000 | Xerox Corp., 6.750%, 2/01/2017 |
8,043,358 | ||||||||
|
|
|||||||||
218,686,190 | ||||||||||
|
|
|||||||||
Textile 0.0% |
| |||||||||
3,755,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023 |
4,331,978 | ||||||||
|
|
|||||||||
Transportation Services 0.7% |
| |||||||||
8,436,000 | Erac USA Finance Co., 6.375%, 10/15/2017, 144A |
9,795,605 | ||||||||
2,824,000 | Erac USA Finance Co., 6.700%, 6/01/2034, 144A |
3,186,048 | ||||||||
51,504,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
60,646,011 | ||||||||
|
|
|||||||||
73,627,664 | ||||||||||
|
|
|||||||||
Treasuries 21.9% |
| |||||||||
106,195,000 | Canadian Government, 1.000%, 8/01/2016, (CAD) |
99,604,387 | ||||||||
206,210,000 | Canadian Government, 2.250%, 8/01/2014, (CAD) |
198,351,393 | ||||||||
372,145,000 | Canadian Government, 2.500%, 6/01/2015, (CAD) |
362,435,331 | ||||||||
90,055,000 | Canadian Government, 2.750%, 9/01/2016, (CAD) |
88,998,350 | ||||||||
156,655,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) |
154,886,915 | ||||||||
194,485,000 | Canadian Government, 3.750%, 6/01/2019, (CAD) |
202,987,824 | ||||||||
4,159,000 | Canadian Government, 4.000%, 6/01/2016, (CAD) |
4,245,723 | ||||||||
183,949,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) |
194,775,703 | ||||||||
45,023,516 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
62,504,401 | ||||||||
66,038,126 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
89,742,039 | ||||||||
29,854,296 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) |
41,638,306 | ||||||||
23,183,488 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
32,715,244 | ||||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) |
1,487,190 | ||||||||
1,130,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) |
1,533,964 | ||||||||
1,120,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) |
1,602,740 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries continued |
||||||||||
1,890,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
$ | 16,946,572 | ||||||
109,763,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) |
94,111,298 | ||||||||
974,276,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) |
175,664,320 | ||||||||
802,302,000 | Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) |
140,678,733 | ||||||||
18,786,446 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
20,875,351 | ||||||||
4,599,829 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) |
5,526,338 | ||||||||
43,375,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
50,355,822 | ||||||||
6,000,000 | Singapore Government Bond, 1.375%, 10/01/2014, (SGD) |
4,802,821 | ||||||||
227,965,000 | U.S. Treasury Bond, 2.750%, 11/15/2042 |
196,548,687 | ||||||||
235,390,000 | U.S. Treasury Bond, 2.875%, 5/15/2043 |
208,320,150 | ||||||||
|
|
|||||||||
2,451,339,602 | ||||||||||
|
|
|||||||||
Wireless 0.8% |
| |||||||||
559,910,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
41,848,027 | ||||||||
31,416,000 | Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/2018 |
40,803,007 | ||||||||
6,373,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
6,118,080 | ||||||||
2,594,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
2,697,760 | ||||||||
612,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
673,200 | ||||||||
91,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
96,005 | ||||||||
|
|
|||||||||
92,236,079 | ||||||||||
|
|
|||||||||
Wirelines 4.5% |
| |||||||||
406,000 | Bell Canada, MTN, 7.300%, 2/23/2032, (CAD) |
484,706 | ||||||||
2,936,000 | BellSouth Telecommunications, Inc., 5.850%, 11/15/2045 |
2,817,841 | ||||||||
62,040,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
64,676,700 | ||||||||
4,990,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
4,865,250 | ||||||||
2,708,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,572,600 | ||||||||
111,506,000 | Deutsche Telekom International Finance BV, 6.000%, 7/08/2019 |
131,043,524 | ||||||||
24,103,000 | Embarq Corp., 7.995%, 6/01/2036 |
25,432,184 | ||||||||
825,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
822,938 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Wirelines continued |
||||||||||
$ | 200,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
$ | 216,000 | ||||||
5,200,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) |
2,155,646 | ||||||||
8,450,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
9,811,713 | ||||||||
18,850,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
24,235,770 | ||||||||
200,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) |
272,045 | ||||||||
300,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) |
390,983 | ||||||||
1,698,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,876,290 | ||||||||
2,755,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
2,644,800 | ||||||||
4,370,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
4,807,000 | ||||||||
3,469,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
3,416,965 | ||||||||
333,000 | Qwest Corp., 6.500%, 6/01/2017 |
376,846 | ||||||||
14,480,000 | Qwest Corp., 6.875%, 9/15/2033 |
14,009,400 | ||||||||
4,668,000 | Qwest Corp., 7.200%, 11/10/2026 |
4,691,340 | ||||||||
9,077,000 | Qwest Corp., 7.250%, 9/15/2025 |
10,149,348 | ||||||||
9,474,000 | Qwest Corp., 7.250%, 10/15/2035 |
9,521,370 | ||||||||
46,411,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
42,085,680 | ||||||||
23,660,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
22,096,689 | ||||||||
4,200,000 | Telefonica Emisiones SAU, 4.570%, 4/27/2023 |
4,020,656 | ||||||||
525,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 |
538,177 | ||||||||
975,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 |
1,005,170 | ||||||||
14,375,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
15,782,212 | ||||||||
1,700,000 | Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP) |
2,531,833 | ||||||||
2,700,000 | Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP) |
3,894,139 | ||||||||
2,100,000 | Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP) |
2,928,394 | ||||||||
8,800,000 | Telefonica Emisiones SAU, EMTN, 5.597%, 3/12/2020, (GBP) |
13,761,393 | ||||||||
14,137,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
14,528,298 | ||||||||
54,665,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
56,934,349 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Wirelines continued |
||||||||||
$ | 2,642,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
$ | 3,291,129 | ||||||
2,095,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
2,196,507 | ||||||||
|
|
|||||||||
506,885,885 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $9,072,581,733) |
9,805,898,295 | |||||||||
|
|
|||||||||
Convertible Bonds 4.2% |
||||||||||
Automotive 0.6% |
| |||||||||
34,827,000 | Ford Motor Co., 4.250%, 11/15/2016 |
62,928,036 | ||||||||
|
|
|||||||||
Independent Energy 0.4% |
| |||||||||
34,700,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
32,683,062 | ||||||||
11,225,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
11,140,813 | ||||||||
|
|
|||||||||
43,823,875 | ||||||||||
|
|
|||||||||
Life Insurance 0.7% |
| |||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
82,029,375 | ||||||||
|
|
|||||||||
Media Non-Cable 0.0% |
| |||||||||
389,506 | Liberty Media LLC, 3.500%, 1/15/2031 |
199,622 | ||||||||
|
|
|||||||||
Metals & Mining 0.2% |
| |||||||||
17,800,000 | United States Steel Corp., 2.750%, 4/01/2019 |
17,566,375 | ||||||||
|
|
|||||||||
REITs - Warehouse/Industrials 0.3% |
| |||||||||
27,359,000 | ProLogis LP, 3.250%, 3/15/2015 |
31,582,546 | ||||||||
|
|
|||||||||
Technology 2.0% |
| |||||||||
35,120,000 | Intel Corp., 2.950%, 12/15/2035 |
38,214,950 | ||||||||
137,016,000 | Intel Corp., 3.250%, 8/01/2039 |
174,609,765 | ||||||||
11,515,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 |
12,774,453 | ||||||||
30,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 |
46,575 | ||||||||
85,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A |
135,787 | ||||||||
|
|
|||||||||
225,781,530 | ||||||||||
|
|
|||||||||
Wirelines 0.0% |
| |||||||||
2,926,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) |
3,405,132 | ||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $379,162,746) |
467,316,491 | |||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Municipals 0.8% |
||||||||||
District of Columbia 0.2% |
||||||||||
$ | 14,680,000 | Metropolitan Washington Airports Authority, 7.462%, 10/01/2046 |
$ | 17,015,588 | ||||||
|
|
|||||||||
Illinois 0.5% |
| |||||||||
530,000 | Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 |
508,715 | ||||||||
24,640,000 | State of Illinois, 5.100%, 6/01/2033 |
22,864,934 | ||||||||
33,395,000 | State of Illinois, Series B, 5.520%, 4/01/2038 |
29,656,764 | ||||||||
|
|
|||||||||
53,030,413 | ||||||||||
|
|
|||||||||
Michigan 0.0% |
| |||||||||
2,345,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 |
2,015,012 | ||||||||
|
|
|||||||||
Ohio 0.0% |
| |||||||||
5,075,000 | Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047 |
4,091,516 | ||||||||
|
|
|||||||||
Virginia 0.1% |
| |||||||||
13,845,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
10,395,933 | ||||||||
|
|
|||||||||
Total Municipals (Identified Cost $88,206,297) |
86,548,462 | |||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $9,539,950,776) |
10,359,763,248 | |||||||||
|
|
|||||||||
Senior Loans 1.4% |
||||||||||
Non-Captive Diversified 0.7% |
| |||||||||
28,074,826 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(b) |
28,238,502 | ||||||||
17,539,056 | AWAS Finance Luxembourg S.A.R.L., Term Loan B, 3.500%, 6/10/2016(b) |
17,525,902 | ||||||||
40,375,000 | Flying Fortress, Inc., New Term Loan, 3.500%, 6/30/2017(b) |
40,274,063 | ||||||||
|
|
|||||||||
86,038,467 | ||||||||||
|
|
|||||||||
Media Cable 0.3% |
| |||||||||
31,755,000 | CSC Holdings, Inc., New Term Loan B, 2.695%, 4/17/2020(b) |
31,358,062 | ||||||||
|
|
|||||||||
Chemicals 0.2% |
| |||||||||
21,878,361 | Tronox Pigments (Netherlands) B.V., 2013 Term Loan, 4.500%, 3/19/2020(b) |
21,947,934 | ||||||||
|
|
|||||||||
Supermarket 0.1% |
| |||||||||
9,233,158 | Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b) |
9,162,616 | ||||||||
|
|
|||||||||
Healthcare 0.1% |
| |||||||||
6,535,874 | Hologic, Inc., Term Loan B, 4.500%, 8/01/2019(b) |
6,547,704 | ||||||||
|
|
|||||||||
Total Senior Loans (Identified Cost $155,075,965) |
155,054,783 | |||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks 2.2% |
||||||||||
Electronic Equipment, Instruments & Components 2.2% |
||||||||||
17,550,000 | Corning, Inc. (Identified Cost $226,654,590) |
$ | 249,736,500 | |||||||
|
|
|||||||||
Preferred Stocks 0.2% |
||||||||||
Independent Energy 0.0% |
| |||||||||
43,031 | Chesapeake Energy Corp., 5.000% |
3,725,194 | ||||||||
|
|
|||||||||
Metals & Mining 0.1% |
| |||||||||
340,285 | ArcelorMittal, 6.000% |
6,387,150 | ||||||||
|
|
|||||||||
REITsDiversified 0.1% |
| |||||||||
258,873 | Weyerhaeuser Co., Series A, 6.375% |
13,205,112 | ||||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $25,066,559) |
23,317,456 | |||||||||
|
|
|||||||||
Principal Amount |
||||||||||
Short-Term Investments 0.9% |
||||||||||
$ | 397,203 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $397,204 on
7/01/2013 collateralized by $455,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $419,184 including accrued |
397,203 | |||||||
102,677,467 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $102,677,467 on 7/01/2013 collateralized by $106,420,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $104,424,625; $245,000 U.S. Treasury Bond, 5.250% due 2/15/2029 valued at $315,646 including accrued interest(f) |
102,677,467 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $103,074,670) |
103,074,670 | |||||||||
|
|
|||||||||
Total Investments 97.4% (Identified Cost $10,049,822,560)(a) |
10,890,946,657 | |||||||||
Other assets less liabilities 2.6% |
285,696,599 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 11,176,643,256 | ||||||||
|
|
() | 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. |
Broker-dealer bid prices 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. |
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. |
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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $10,087,607,695 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 |
$ | 1,008,227,217 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(204,888,255 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 803,338,962 | ||
|
|
(b) | Variable rate security. Rate as of June 30, 2013 is disclosed. |
(c) | Illiquid security. At June 30, 2013, the value of these securities amounted to $69,298,769 or 0.6% of net assets. |
(d) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(e) | Non-income producing security. |
(f) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $1,630,107,180 or 14.6% of net assets. |
ABS | Asset-Backed Securities |
AGMC | Assured Guaranty Municipal Corp. |
EMTN | Euro Medium Term Note |
FHLMC | Federal Home Loan Mortgage Corp. |
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | 56,461,176 | $ | 69,100,858 | (a) | $ | 125,562,034 | |||||||
Airlines |
| 3,187,600 | 300,460,158 | (a) | 303,647,758 | |||||||||||
Non-Captive Consumer |
1,425,215 | 272,801,060 | | 274,226,275 | ||||||||||||
All Other Non-Convertible Bonds* |
| 9,102,462,228 | | 9,102,462,228 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
1,425,215 | 9,434,912,064 | 369,561,016 | 9,805,898,295 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 467,316,491 | | 467,316,491 | ||||||||||||
Municipals* |
| 86,548,462 | | 86,548,462 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
1,425,215 | 9,988,777,017 | 369,561,016 | 10,359,763,248 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 155,054,783 | | 155,054,783 | ||||||||||||
Common Stocks* |
249,736,500 | | | 249,736,500 | ||||||||||||
Preferred Stocks* |
23,317,456 | | | 23,317,456 | ||||||||||||
Short-Term Investments |
| 103,074,670 | | 103,074,670 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 274,479,171 | $ | 10,246,906,470 | $ | 369,561,016 | $ | 10,890,946,657 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.
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 and/or June 30, 2013:
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 5,642,124 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (5,642,124 | ) | $ | | $ | | |||||||||||||||||||
ABS Other |
| | 540 | (1,743,318 | ) | 4,500,000 | (3,834,632 | ) | 70,178,268 | | 69,100,858 | (1,743,318 | ) | |||||||||||||||||||||||||||
Airlines |
| 294,804 | 856,577 | (2,168,569 | ) | 45,485,000 | (19,557,458 | ) | 275,549,804 | | 300,460,158 | (2,168,569 | ) | |||||||||||||||||||||||||||
Banking |
38,219,714 | | | | | | | (38,219,714 | ) | | | |||||||||||||||||||||||||||||
Electric |
1,889,250 | | | 785,750 | | (2,675,000 | ) | | | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 45,751,088 | $ | 294,804 | $ | 857,117 | $ | (3,126,137 | ) | $ | 49,985,000 | $ | (26,067,090 | ) | $ | 345,728,072 | $ | (43,861,838 | ) | $ | 369,561,016 | $ | (3,911,887 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $345,728,072 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.
Debt securities valued at $43,861,838 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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 June 30, 2013 (Unaudited)
Treasuries |
21.9 | % | ||
Banking |
14.1 | |||
Wirelines |
4.5 | |||
Technology |
4.0 | |||
Commercial Mortgage-Backed Securities |
3.5 | |||
Non-Captive Diversified |
3.4 | |||
Pipelines |
3.2 | |||
Local Authorities |
2.9 | |||
Airlines |
2.7 | |||
Non-Captive Consumer |
2.5 | |||
Metals & Mining |
2.5 | |||
Electronic Equipment, Instruments & Components |
2.2 | |||
Other Investments, less than 2% each |
29.1 | |||
Short-Term Investments |
0.9 | |||
|
|
|||
Total Investments |
97.4 | |||
Other assets less liabilities |
2.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2013 (Unaudited)
United States Dollar |
66.9 | % | ||
Canadian Dollar |
13.3 | |||
New Zealand Dollar |
4.4 | |||
Euro |
3.9 | |||
Australian Dollar |
3.1 | |||
Norwegian Krone |
2.9 | |||
Other, less than 2% each |
2.9 | |||
|
|
|||
Total Investments |
97.4 | |||
Other assets less liabilities |
2.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes 93.4% 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 |
$ | 2,160,829 | ||||||
910,000 | Credit Acceptance Auto Loan Trust, Series 2012-2A, Class A, 1.520%, 3/16/2020, 144A |
911,858 | ||||||||
1,275,000 | Credit Acceptance Auto Loan Trust, Series 2013-1A, Class A, 1.210%, 10/15/2020, 144A |
1,265,177 | ||||||||
1,971,358 | First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 5/15/2018, 144A |
1,982,307 | ||||||||
915,242 | First Investors Auto Owner Trust, Series 2013-1A, Class A2, 0.900%, 10/15/2018, 144A |
910,388 | ||||||||
1,565,000 | Prestige Auto Receivables Trust, Series 2013-1A, Class A2, 1.090%, 2/15/2018, 144A |
1,561,451 | ||||||||
634,898 | SNAAC Auto Receivables Trust, Series 2012-1A, Class A, 1.780%, 6/15/2016, 144A |
637,255 | ||||||||
5,067,547 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A2, 1.210%, 8/15/2015, 144A |
5,065,272 | ||||||||
3,000,000 | Tidewater Auto Receivables Trust, Series 2012-AA, Class A3, 1.990%, 4/15/2019, 144A |
3,008,709 | ||||||||
|
|
|||||||||
17,503,246 | ||||||||||
|
|
|||||||||
ABS Credit Card 0.9% |
||||||||||
3,220,000 | GE Capital Credit Card Master Note Trust, Series 2012-7, Class A, 1.760%, 9/15/2022 |
3,046,049 | ||||||||
3,400,000 | World Financial Network Credit Card Master Trust, Series 2012-A, Class A, 3.140%, 1/17/2023 |
3,521,476 | ||||||||
|
|
|||||||||
6,567,525 | ||||||||||
|
|
|||||||||
ABS Home Equity 0.1% |
||||||||||
374,867 | Countrywide Asset-Backed Certificates, Series 2004-S1, Class A3, 5.115%, 2/25/2035(b) |
383,173 | ||||||||
252,741 | Residential Funding Mortgage Securities II, Series 2002-HI5, Class A7, 5.700%, 1/25/2028(b) |
259,897 | ||||||||
|
|
|||||||||
643,070 | ||||||||||
|
|
|||||||||
ABS Other 0.6% |
||||||||||
3,000,000 | Ally Master Owner Trust, Series 2012-5, Class A, 1.540%, 9/15/2019 |
2,938,302 | ||||||||
1,250,000 | CCG Receivables Trust, Series 2013-1, Class A2, 1.050%, 8/14/2020, 144A |
1,248,419 | ||||||||
|
|
|||||||||
4,186,721 | ||||||||||
|
|
|||||||||
ABS Student Loan 0.3% |
||||||||||
1,829,873 | Montana Higher Education Student Assistance Corp., Series 2012-1, Class A1, 0.792%, 9/20/2022(b) |
1,848,172 | ||||||||
|
|
|||||||||
Collateralized Mortgage Obligations 32.0% |
||||||||||
225,078 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 0.930%, 5/15/2023(b) |
233,941 | ||||||||
147,918 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.080%, 8/15/2023(b) |
153,636 | ||||||||
528,198 | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029 |
593,402 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Collateralized Mortgage Obligations continued |
||||||||||
$ | 947,693 | Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.593%, 11/15/2032(b) |
$ | 949,791 | ||||||
3,825,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019 |
4,147,268 | ||||||||
6,280,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020 |
6,691,089 | ||||||||
3,631,000 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035 |
4,041,147 | ||||||||
3,510,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035 |
3,860,063 | ||||||||
7,658,705 | Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034 |
7,968,554 | ||||||||
4,415,756 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.599%, 6/15/2048(b) |
4,583,541 | ||||||||
5,405,401 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.757%, 12/15/2036(b) |
5,664,157 | ||||||||
477,731 | Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028 |
495,433 | ||||||||
166,767 | Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 1.550%, 9/25/2022(b) |
173,770 | ||||||||
141,327 | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.230%, 4/25/2024(b) |
147,096 | ||||||||
2,494,000 | Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025 |
2,767,290 | ||||||||
3,723,536 | Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034 |
3,860,614 | ||||||||
6,213,773 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 4.223%, 8/25/2038(b) |
6,099,919 | ||||||||
122,794 | Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.550%, 4/25/2023(b) |
127,496 | ||||||||
2,126,891 | FHLMC, 2.879%, 3/01/2038(b) |
2,274,885 | ||||||||
1,337,364 | FHLMC, 2.969%, 12/01/2034(b) |
1,426,701 | ||||||||
1,831,954 | FHLMC, 5.214%, 11/01/2038(b) |
1,969,391 | ||||||||
6,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020 |
6,582,948 | ||||||||
4,305,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 |
4,552,882 | ||||||||
3,535,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018 |
3,654,826 | ||||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 |
712,025 | ||||||||
2,590,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018 |
2,621,919 | ||||||||
7,910,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019 |
7,903,514 | ||||||||
34,370,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019 |
33,584,852 | ||||||||
18,531,754 | FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.543%, 4/25/2019(b) |
18,566,001 | ||||||||
1,905,421 | FNMA, 2.270%, 9/01/2036(b) |
2,014,890 | ||||||||
5,593,375 | FNMA, 2.306%, 11/01/2033(b) |
5,903,477 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Collateralized Mortgage Obligations continued |
||||||||||
$ | 2,597,728 | FNMA, 2.528%, 4/01/2037(b) |
$ | 2,765,246 | ||||||
1,293,546 | FNMA, 2.642%, 10/01/2033(b) |
1,374,027 | ||||||||
7,355,877 | FNMA, 2.651%, 9/01/2037(b) |
7,876,046 | ||||||||
6,156,710 | FNMA, 2.659%, 7/01/2037(b) |
6,574,398 | ||||||||
658,866 | FNMA, 2.758%, 8/01/2035(b) |
703,155 | ||||||||
3,341,160 | FNMA, 4.723%, 8/01/2038(b) |
3,591,541 | ||||||||
909,264 | Government National Mortgage Association, Series 1998-19, Class ZB, 6.500%, 7/20/2028 |
1,043,349 | ||||||||
5,926,130 | Government National Mortgage Association, Series 2012-124, Class HT, 7.235%, 7/20/2032(b) |
6,856,740 | ||||||||
8,360,233 | Government National Mortgage Association, Series 2012-H29, Class HF, 0.698%, 10/20/2062(b) |
8,386,493 | ||||||||
13,260,000 | Government National Mortgage Association, Series 2013-52, Class KX, 5.330%, 8/16/2051(b) |
15,226,727 | ||||||||
8,087,842 | Government National Mortgage Association, Series 2013-H02, Class GF, 0.698%, 12/20/2062(b) |
8,114,330 | ||||||||
5,243,228 | Government National Mortgage Association, Series 2013-H10, Class FA, 0.598%, 3/20/2063(b) |
5,222,386 | ||||||||
839,107 | NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.543%, 12/07/2020(b) |
841,457 | ||||||||
1,603,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 |
1,673,136 | ||||||||
1,558,055 | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.645%, 10/07/2020(b) |
1,565,845 | ||||||||
5,800,057 | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.755%, 12/08/2020(b) |
5,821,517 | ||||||||
127,139 | NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.755%, 12/08/2020(b) |
127,933 | ||||||||
|
|
|||||||||
222,090,844 | ||||||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities 13.8% |
||||||||||
1,780,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.793%, 4/10/2049(b) |
1,994,435 | ||||||||
375,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051 |
418,213 | ||||||||
1,445,000 | Bear Stearns Commercial Mortgage Securities, Series 2007-PW15, Class A4, 5.331%, 2/11/2044 |
1,582,158 | ||||||||
1,470,000 | Citigroup Commercial Mortgage Trust, Series 2008-C7, Class A4, 6.340%, 12/10/2049(b) |
1,677,695 | ||||||||
3,200,500 | Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A4, 5.322%, 12/11/2049 |
3,523,226 | ||||||||
1,140,000 | COBALT CMBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.484%, 4/15/2047 |
1,266,588 | ||||||||
1,135,000 | Commercial Mortgage Pass Through Certificates, Series 2012-CR2, Class A4, 3.147%, 8/15/2045 |
1,085,254 | ||||||||
2,625,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C2, Class A3, 5.542%, 1/15/2049 |
2,906,718 | ||||||||
5,270,000 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040 |
5,884,629 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Commercial Mortgage-Backed Securities continued |
||||||||||
$ | 3,000,000 | Credit Suisse Mortgage Capital Certificates, Series 2008-C1, Class A3, 6.253%, 2/15/2041(b) |
$ | 3,421,206 | ||||||
1,000,000 | Del Coronado Trust, Series 2013-HDC, Class A, 0.993%, 3/15/2026, 144A(b) |
997,440 | ||||||||
1,200,000 | Extended Stay America Trust, Series 2013-ESFL, Class A2FL, 0.894%, 12/05/2031, 144A(b) |
1,193,969 | ||||||||
7,778,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 |
8,711,033 | ||||||||
5,000,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 |
5,526,660 | ||||||||
6,840,000 | GS Mortgage Securities Corp. II, Series 2013-KYO, Class A, 1.043%, 11/08/2029, 144A(b) |
6,767,017 | ||||||||
3,500,000 | JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-JWRZ, Class A, 0.973%, 4/15/2030, 144A(b) |
3,490,284 | ||||||||
295,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB15, Class A4, 5.814%, 6/12/2043 |
323,991 | ||||||||
2,785,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB18, Class A4, 5.440%, 6/12/2047 |
3,085,624 | ||||||||
5,000,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LDPX, Class A3, 5.420%, 1/15/2049 |
5,535,870 | ||||||||
2,000,000 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040 |
2,193,750 | ||||||||
3,840,658 | LB-UBS Commercial Mortgage Trust, Series 2007-C7, Class A3, 5.866%, 9/15/2045 |
4,280,775 | ||||||||
1,173,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 |
1,287,715 | ||||||||
5,364,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-6, Class A4, 5.485%, 3/12/2051 |
5,935,014 | ||||||||
5,000,000 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-9, Class A4, 5.700%, 9/12/2049 |
5,600,040 | ||||||||
3,485,000 | Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.763%, 4/12/2049(b) |
3,775,806 | ||||||||
1,500,000 | Morgan Stanley Capital I, Series 2007-IQ15, Class A4, 6.090%, 6/11/2049(b) |
1,687,210 | ||||||||
2,684,049 | Motel 6 Trust, Series 2012-MTL6, Class A1, 1.500%, 10/05/2025, 144A |
2,639,128 | ||||||||
4,410,000 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 |
4,873,469 | ||||||||
3,775,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C30, Class A5, 5.342%, 12/15/2043 |
4,189,797 | ||||||||
|
|
|||||||||
95,854,714 | ||||||||||
|
|
|||||||||
Hybrid ARMs 18.0% |
| |||||||||
7,134,236 | FHLMC, 2.258%, 5/01/2037(b) |
7,560,078 | ||||||||
2,881,306 | FHLMC, 2.294%, 4/01/2036(b) |
3,060,916 | ||||||||
4,549,775 | FHLMC, 2.345%, 7/01/2033(b) |
4,754,134 | ||||||||
2,224,173 | FHLMC, 2.371%, 6/01/2037(b) |
2,357,864 | ||||||||
3,167,193 | FHLMC, 2.378%, 3/01/2036(b) |
3,360,029 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Hybrid ARMs continued |
||||||||||
$ | 1,086,416 | FHLMC, 2.386%, 2/01/2035(b) |
$ | 1,159,669 | ||||||
6,959,996 | FHLMC, 2.409%, 2/01/2036(b) |
7,423,438 | ||||||||
2,209,360 | FHLMC, 2.412%, 4/01/2035(b) |
2,366,945 | ||||||||
3,116,165 | FHLMC, 2.424%, 2/01/2036(b) |
3,324,105 | ||||||||
3,628,799 | FHLMC, 2.485%, 11/01/2036(b) |
3,884,048 | ||||||||
3,847,733 | FHLMC, 2.741%, 4/01/2037(b) |
4,105,446 | ||||||||
1,222,235 | FHLMC, 2.759%, 4/01/2037(b) |
1,305,658 | ||||||||
4,786,805 | FHLMC, 2.902%, 9/01/2035(b) |
5,071,524 | ||||||||
1,625,057 | FHLMC, 3.500%, 11/01/2038(b) |
1,731,391 | ||||||||
3,521,729 | FHLMC, 4.956%, 9/01/2038(b) |
3,768,989 | ||||||||
650,976 | FHLMC, 5.151%, 9/01/2038(b) |
693,874 | ||||||||
386,423 | FHLMC, 5.280%, 12/01/2037(b) |
414,972 | ||||||||
1,061,366 | FHLMC, 5.620%, 3/01/2037(b) |
1,139,618 | ||||||||
296,419 | FNMA, 2.029%, 2/01/2037(b) |
309,964 | ||||||||
3,835,891 | FNMA, 2.049%, 7/01/2035(b) |
4,033,861 | ||||||||
1,321,549 | FNMA, 2.306%, 9/01/2034(b) |
1,406,664 | ||||||||
858,685 | FNMA, 2.310%, 12/01/2034(b) |
909,632 | ||||||||
731,515 | FNMA, 2.316%, 4/01/2033(b) |
779,681 | ||||||||
2,661,693 | FNMA, 2.331%, 4/01/2034(b) |
2,832,127 | ||||||||
3,163,503 | FNMA, 2.343%, 6/01/2036(b) |
3,370,541 | ||||||||
4,550,160 | FNMA, 2.347%, 8/01/2035(b) |
4,787,265 | ||||||||
2,164,661 | FNMA, 2.353%, 1/01/2036(b) |
2,304,752 | ||||||||
10,444,845 | FNMA, 2.356%, 10/01/2034(b) |
11,146,324 | ||||||||
2,724,497 | FNMA, 2.412%, 6/01/2033(b) |
2,873,478 | ||||||||
3,576,548 | FNMA, 2.494%, 10/01/2033(b) |
3,807,666 | ||||||||
736,277 | FNMA, 2.552%, 8/01/2033(b) |
781,351 | ||||||||
3,146,471 | FNMA, 2.558%, 4/01/2037(b) |
3,348,893 | ||||||||
686,843 | FNMA, 2.647%, 8/01/2036(b) |
736,445 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Hybrid ARMs continued |
||||||||||
$ | 2,140,606 | FNMA, 2.677%, 5/01/2035(b) |
$ | 2,285,420 | ||||||
2,050,646 | FNMA, 2.695%, 2/01/2047(b) |
2,187,843 | ||||||||
1,778,650 | FNMA, 2.802%, 8/01/2034(b) |
1,913,298 | ||||||||
5,679,567 | FNMA, 3.232%, 6/01/2037(b) |
6,076,391 | ||||||||
3,759,806 | FNMA, 3.276%, 6/01/2035(b) |
3,994,753 | ||||||||
7,319,623 | FNMA, 5.748%, 9/01/2037(b) |
7,912,138 | ||||||||
|
|
|||||||||
125,281,185 | ||||||||||
|
|
|||||||||
Mortgage Related 24.9% |
| |||||||||
10,532,265 | FHLMC, 2.388%, 3/01/2037(b) |
11,196,106 | ||||||||
2,876,053 | FHLMC, 2.565%, 9/01/2038(b) |
3,039,944 | ||||||||
18,303,067 | FHLMC, 3.000%, with various maturities from 2026 to 2027(c) |
18,896,609 | ||||||||
1,803,430 | FHLMC, 4.000%, with various maturities from 2024 to 2042(c) |
1,885,024 | ||||||||
1,639,503 | FHLMC, 4.500%, with various maturities from 2025 to 2034(c) |
1,726,540 | ||||||||
776,312 | FHLMC, 5.500%, 10/01/2023 |
840,497 | ||||||||
62,800 | FHLMC, 6.000%, 11/01/2019 |
69,264 | ||||||||
2,037,954 | FHLMC, 6.500%, with various maturities from 2014 to 2034(c) |
2,290,508 | ||||||||
41,549 | FHLMC, 7.000%, 2/01/2016 |
43,617 | ||||||||
1,769 | FHLMC, 7.500%, with various maturities from 2014 to 2026(c) |
1,937 | ||||||||
2,845 | FHLMC, 8.000%, 9/01/2015 |
2,985 | ||||||||
2,645 | FHLMC, 10.000%, 7/01/2019 |
3,012 | ||||||||
43,487 | FHLMC, 11.500%, with various maturities from 2015 to 2020(c) |
48,882 | ||||||||
7,398,913 | FNMA, 2.470%, 4/01/2037(b) |
7,835,309 | ||||||||
6,332,125 | FNMA, 2.521%, 7/01/2035(b) |
6,722,917 | ||||||||
9,425,439 | FNMA, 3.000%, with various maturities from 2027 to 2042(c) |
9,693,352 | ||||||||
1,615,571 | FNMA, 4.000%, with various maturities in 2019(c) |
1,706,768 | ||||||||
3,244,782 | FNMA, 4.500%, 1/01/2025 |
3,440,644 | ||||||||
5,519,177 | FNMA, 5.000%, with various maturities from 2037 to 2038(c) |
5,970,728 | ||||||||
2,681,101 | FNMA, 5.500%, with various maturities from 2018 to 2033(c) |
2,906,271 | ||||||||
4,871,890 | FNMA, 6.000%, with various maturities from 2017 to 2022(c) |
5,348,196 |
Principal Amount |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Mortgage Related continued |
||||||||||
$ | 800,154 | FNMA, 6.500%, with various maturities from 2017 to 2037(c) |
$ | 902,592 | ||||||
30,796 | FNMA, 7.000%, 12/01/2022 |
31,019 | ||||||||
173,001 | FNMA, 7.500%, with various maturities from 2015 to 2032(c) |
197,610 | ||||||||
11,900 | FNMA, 8.000%, with various maturities from 2015 to 2016(c) |
12,491 | ||||||||
5,823,162 | GNMA, 1.966%, 2/20/2061(b) |
6,094,976 | ||||||||
4,941,750 | GNMA, 2.094%, 2/20/2063(b) |
5,213,136 | ||||||||
5,451,669 | GNMA, 2.368%, 3/20/2063(b) |
5,855,970 | ||||||||
3,589,746 | GNMA, 2.587%, 2/20/2063(b) |
3,868,497 | ||||||||
4,828,553 | GNMA, 4.479%, 2/20/2062 |
5,261,303 | ||||||||
5,058,529 | GNMA, 4.521%, 12/20/2061 |
5,566,557 | ||||||||
2,543,515 | GNMA, 4.528%, 3/20/2062 |
2,804,416 | ||||||||
7,293,667 | GNMA, 4.532%, 12/20/2062 |
8,059,385 | ||||||||
2,573,284 | GNMA, 4.560%, 3/20/2062 |
2,835,841 | ||||||||
12,826,879 | GNMA, 4.583%, 11/20/2062 |
14,199,804 | ||||||||
1,505,092 | GNMA, 4.599%, 4/20/2063 |
1,670,954 | ||||||||
4,480,283 | GNMA, 4.604%, 6/20/2062 |
4,956,989 | ||||||||
1,535,520 | GNMA, 4.616%, 8/20/2061 |
1,691,541 | ||||||||
9,127,878 | GNMA, 4.659%, 2/20/2062 |
10,095,770 | ||||||||
2,059,745 | GNMA, 4.698%, 7/20/2061 |
2,270,698 | ||||||||
4,728,967 | GNMA, 4.700%, 8/20/2061 |
5,220,453 | ||||||||
1,729,701 | GNMA, 4.808%, 8/20/2062 |
1,916,121 | ||||||||
34,842 | GNMA, 6.000%, 12/15/2031 |
39,191 | ||||||||
149,079 | GNMA, 6.500%, 5/15/2031 |
177,078 | ||||||||
150,586 | GNMA, 7.000%, 10/15/2028 |
176,179 | ||||||||
|
|
|||||||||
172,787,681 | ||||||||||
|
|
|||||||||
Treasuries 0.3% |
| |||||||||
2,245,000 | U.S. Treasury Note, 1.875%, 4/30/2014 |
2,276,569 | ||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $644,840,524) |
649,039,727 | |||||||||
|
|
Principal Amount |
Description |
Value () | ||||||||
Short-Term Investments 5.5% |
||||||||||
$ | 6,500,000 | Federal Home Loan Bank Discount Note, 9/27/2013 |
$ | 6,499,363 | ||||||
2,663,879 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $2,663,879 on 7/01/2013 collateralized by $2,770,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $2,718,063 including accrued interest(d) | 2,663,879 | ||||||||
6,000,000 | U.S. Treasury Bill, 0.035%, 8/29/2013(e) |
5,999,778 | ||||||||
12,200,000 | U.S. Treasury Bill, 0.047%, 9/12/2013(e) |
12,199,500 | ||||||||
10,675,000 | U.S. Treasury Bills, 0.041%-0.058%, 7/11/2013(e)(f) |
10,674,936 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $38,035,636) |
38,037,456 | |||||||||
|
|
|||||||||
Total Investments 98.9% (Identified Cost $682,876,160)(a) |
687,077,183 | |||||||||
Other assets less liabilities 1.1% |
7,894,008 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 694,971,191 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $682,895,872 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 10,883,883 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(6,702,572 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 4,181,311 | ||
|
|
(b) | Variable rate security. Rate as of June 30, 2013 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 June 30, 2013, the value of Rule 144A holdings amounted to $33,839,503 or 4.9% 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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
ABS Student Loan |
$ | | $ | | $ | 1,848,172 | (a) | $ | 1,848,172 | |||||||
Collateralized Mortgage Obligations |
| 198,507,365 | 23,583,479 | (a) | 222,090,844 | |||||||||||
All Other Bonds and Notes * |
| 425,100,711 | | 425,100,711 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 623,608,076 | 25,431,651 | 649,039,727 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 38,037,456 | | 38,037,456 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 661,645,532 | $ | 25,431,651 | $ | 687,077,183 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place.
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 and/or June 30, 2013:
Asset Valuation Inputs
Investments |
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 910,501 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (910,501 | ) | $ | | $ | | |||||||||||||||||||
ABS Student Loan |
| | | 18,299 | | (1,915,853 | ) | 3,745,726 | | 1,848,172 | 18,299 | |||||||||||||||||||||||||||||
Collateralized Mortgage Obligations |
| | (46 | ) | (437,763 | ) | 15,782,236 | (929,981 | ) | 9,169,033 | | 23,583,479 | (437,763 | ) | ||||||||||||||||||||||||||
Mortgage Related |
1,982,780 | | | | | | | (1,982,780 | ) | | | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 2,893,281 | $ | | $ | (46 | ) | $ | (419,464 | ) | $ | 15,782,236 | $ | (2,845,834 | ) | $ | 12,914,759 | $ | (2,893,281 | ) | $ | 25,431,651 | $ | (419,464 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $12,914,759 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price securities.
Debt securities valued at $2,893,281 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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 June 30, 2013 (Unaudited)
Collateralized Mortgage Obligations |
32.0 | % | ||
Mortgage Related |
24.9 | |||
Hybrid ARMs |
18.0 | |||
Commercial Mortgage-Backed Securities |
13.8 | |||
ABS Car Loan |
2.5 | |||
Other Investments, less than 2% each |
2.2 | |||
Short-Term Investments |
5.5 | |||
|
|
|||
Total Investments |
98.9 | |||
Other assets less liabilities |
1.1 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Mid Cap Growth Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 97.6% of Net Assets |
||||||||||
Aerospace & Defense 1.6% |
| |||||||||
9,827 | TransDigm Group, Inc. |
$ | 1,540,579 | |||||||
|
|
|||||||||
Biotechnology 6.8% |
| |||||||||
16,300 | BioMarin Pharmaceutical, Inc.(b) |
909,377 | ||||||||
12,530 | Onyx Pharmaceuticals, Inc.(b) |
1,365,895 | ||||||||
11,316 | Pharmacyclics, Inc.(b) |
899,282 | ||||||||
16,564 | Puma Biotechnology, Inc.(b) |
734,945 | ||||||||
4,127 | Regeneron Pharmaceuticals, Inc.(b) |
928,080 | ||||||||
22,861 | TESARO, Inc.(b) |
748,469 | ||||||||
10,840 | Vertex Pharmaceuticals, Inc.(b) |
865,791 | ||||||||
|
|
|||||||||
6,451,839 | ||||||||||
|
|
|||||||||
Building Products 2.0% |
| |||||||||
48,627 | Fortune Brands Home & Security, Inc. |
1,883,810 | ||||||||
|
|
|||||||||
Capital Markets 2.2% |
| |||||||||
12,692 | Affiliated Managers Group, Inc.(b) |
2,080,726 | ||||||||
|
|
|||||||||
Chemicals 1.9% |
| |||||||||
18,340 | Westlake Chemical Corp. |
1,768,159 | ||||||||
|
|
|||||||||
Commercial Banks 1.8% |
| |||||||||
20,222 | SVB Financial Group(b) |
1,684,897 | ||||||||
|
|
|||||||||
Commercial Services & Supplies 1.6% |
| |||||||||
14,134 | Stericycle, Inc.(b) |
1,560,818 | ||||||||
|
|
|||||||||
Construction Materials 1.9% |
| |||||||||
26,813 | Eagle Materials, Inc. |
1,776,898 | ||||||||
|
|
|||||||||
Diversified Financial Services 1.8% |
| |||||||||
36,370 | CBOE Holdings, Inc. |
1,696,297 | ||||||||
|
|
|||||||||
Energy Equipment & Services 1.7% |
| |||||||||
22,148 | Oceaneering International, Inc. |
1,599,086 | ||||||||
|
|
|||||||||
Food Products 4.0% |
| |||||||||
30,597 | Green Mountain Coffee Roasters, Inc.(b) |
2,296,611 | ||||||||
16,268 | Hershey Co. (The) |
1,452,407 | ||||||||
|
|
|||||||||
3,749,018 | ||||||||||
|
|
|||||||||
Health Care Equipment & Supplies 1.1% |
| |||||||||
32,657 | Insulet Corp.(b) |
1,025,756 | ||||||||
|
|
|||||||||
Health Care Technology 1.4% |
| |||||||||
15,636 | athenahealth, Inc.(b) |
1,324,682 | ||||||||
|
|
|||||||||
Hotels, Restaurants & Leisure 5.9% |
| |||||||||
3,790 | Chipotle Mexican Grill, Inc.(b) |
1,380,886 | ||||||||
49,498 | Dunkin Brands Group, Inc. |
2,119,504 | ||||||||
93,396 | Melco Crown Entertainment Ltd., Sponsored ADR(b) |
2,088,335 | ||||||||
|
|
|||||||||
5,588,725 | ||||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Household Durables 3.2% |
| |||||||||
63,662 | KB Home |
$ | 1,249,685 | |||||||
21,473 | Meritage Homes Corp.(b) |
931,069 | ||||||||
106,955 | Standard Pacific Corp.(b) |
890,935 | ||||||||
|
|
|||||||||
3,071,689 | ||||||||||
|
|
|||||||||
Household Products 1.4% |
| |||||||||
21,824 | Church & Dwight Co., Inc. |
1,346,759 | ||||||||
|
|
|||||||||
Internet & Catalog Retail 1.9% |
| |||||||||
8,404 | Netflix, Inc.(b) |
1,774,000 | ||||||||
|
|
|||||||||
Internet Software & Services 7.5% |
| |||||||||
53,870 | Angies List, Inc.(b) |
1,430,248 | ||||||||
39,779 | Cornerstone OnDemand, Inc.(b) |
1,722,033 | ||||||||
11,997 | LinkedIn Corp., Class A(b) |
2,139,065 | ||||||||
7,999 | MercadoLibre, Inc. |
861,972 | ||||||||
14,625 | OpenTable, Inc.(b) |
935,269 | ||||||||
|
|
|||||||||
7,088,587 | ||||||||||
|
|
|||||||||
Life Sciences Tools & Services 3.3% |
| |||||||||
7,484 | Mettler-Toledo International, Inc.(b) |
1,505,781 | ||||||||
34,857 | PAREXEL International Corp.(b) |
1,601,330 | ||||||||
|
|
|||||||||
3,107,111 | ||||||||||
|
|
|||||||||
Machinery 1.7% |
| |||||||||
17,219 | Chart Industries, Inc.(b) |
1,620,136 | ||||||||
|
|
|||||||||
Media 8.8% |
| |||||||||
28,381 | Discovery Communications, Inc., Class A(b) |
2,191,297 | ||||||||
114,395 | Lions Gate Entertainment Corp.(b) |
3,142,431 | ||||||||
55,174 | Sinclair Broadcast Group, Inc., Class A |
1,621,012 | ||||||||
63,939 | Starz, Class A (b) |
1,413,052 | ||||||||
|
|
|||||||||
8,367,792 | ||||||||||
|
|
|||||||||
Oil, Gas & Consumable Fuels 6.2% |
| |||||||||
29,667 | Cabot Oil & Gas Corp. |
2,106,950 | ||||||||
65,468 | Cheniere Energy, Inc.(b) |
1,817,392 | ||||||||
36,531 | Cobalt International Energy, Inc.(b) |
970,629 | ||||||||
21,713 | Gulfport Energy Corp.(b) |
1,022,031 | ||||||||
|
|
|||||||||
5,917,002 | ||||||||||
|
|
|||||||||
Pharmaceuticals 4.1% |
| |||||||||
19,806 | Actavis, Inc.(b) |
2,499,913 | ||||||||
20,887 | Jazz Pharmaceuticals PLC(b) |
1,435,564 | ||||||||
|
|
|||||||||
3,935,477 | ||||||||||
|
|
|||||||||
Road & Rail 3.9% |
| |||||||||
19,748 | J.B. Hunt Transport Services, Inc. |
1,426,595 | ||||||||
21,877 | Kansas City Southern |
2,318,087 | ||||||||
|
|
|||||||||
3,744,682 | ||||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Semiconductors & Semiconductor Equipment 4.3% |
| |||||||||
24,306 | Cree, Inc.(b) |
$ | 1,552,181 | |||||||
82,363 | NXP Semiconductors NV(b) |
2,551,606 | ||||||||
|
|
|||||||||
4,103,787 | ||||||||||
|
|
|||||||||
Software 6.3% |
| |||||||||
16,548 | CommVault Systems, Inc.(b) |
1,255,828 | ||||||||
21,320 | NetSuite, Inc.(b) |
1,955,897 | ||||||||
28,856 | ServiceNow, Inc.(b) |
1,165,494 | ||||||||
35,348 | Splunk, Inc.(b) |
1,638,733 | ||||||||
|
|
|||||||||
6,015,952 | ||||||||||
|
|
|||||||||
Specialty Retail 3.6% |
| |||||||||
17,986 | Lumber Liquidators Holdings, Inc.(b) |
1,400,570 | ||||||||
16,759 | Tractor Supply Co. |
1,971,026 | ||||||||
|
|
|||||||||
3,371,596 | ||||||||||
|
|
|||||||||
Textiles, Apparel & Luxury Goods 2.3% |
| |||||||||
34,538 | Michael Kors Holdings Ltd.(b) |
2,142,047 | ||||||||
|
|
|||||||||
Trading Companies & Distributors 1.9% |
| |||||||||
36,175 | United Rentals, Inc.(b) |
1,805,494 | ||||||||
|
|
|||||||||
Wireless Telecommunication Services 1.5% |
| |||||||||
19,609 | SBA Communications Corp., Class A(b) |
1,453,419 | ||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $78,939,735) |
92,596,820 | |||||||||
|
|
|||||||||
Principal |
||||||||||
Short-Term Investments 3.7% |
||||||||||
$ | 3,537,960 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $3,537,960 on 7/01/2013 collateralized by $3,680,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $3,611,000 including accrued interest(c) (Identified Cost $3,537,960) |
3,537,960 | |||||||
|
|
|||||||||
Total Investments 101.3% (Identified Cost $82,477,695)(a) |
96,134,780 | |||||||||
Other assets less liabilities (1.3)% |
(1,263,591 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 94,871,189 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $82,477,695 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 |
$ | 14,577,578 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(920,493 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 13,657,085 | ||
|
|
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 92,596,820 | $ | | $ | | $ | 92,596,820 | ||||||||
Short-Term Investments |
| 3,537,960 | | 3,537,960 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 92,596,820 | $ | 3,537,960 | $ | | $ | 96,134,780 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at June 30, 2013 (Unaudited)
Media |
8.8 | % | ||
Internet Software & Services |
7.5 | |||
Biotechnology |
6.8 | |||
Software |
6.3 | |||
Oil, Gas & Consumable Fuels |
6.2 | |||
Hotels, Restaurants & Leisure |
5.9 | |||
Semiconductors & Semiconductor Equipment |
4.3 | |||
Pharmaceuticals |
4.1 | |||
Food Products |
4.0 | |||
Road & Rail |
3.9 | |||
Specialty Retail |
3.6 | |||
Life Sciences Tools & Services |
3.3 | |||
Household Durables |
3.2 | |||
Textiles, Apparel & Luxury Goods |
2.3 | |||
Capital Markets |
2.2 | |||
Building Products |
2.0 | |||
Other Investments, less than 2% each |
23.2 | |||
Short-Term Investments |
3.7 | |||
|
|
|||
Total Investments |
101.3 | |||
Other assets less liabilities |
(1.3 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Small Cap Growth Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 95.7% of Net Assets |
||||||||||
Aerospace & Defense 2.4% |
||||||||||
348,255 | Hexcel Corp.(b) |
$ | 11,858,083 | |||||||
138,387 | Triumph Group, Inc. |
10,953,331 | ||||||||
|
|
|||||||||
22,811,414 | ||||||||||
|
|
|||||||||
Airlines 0.9% |
||||||||||
289,353 | Spirit Airlines, Inc.(b) |
9,192,745 | ||||||||
|
|
|||||||||
Auto Components 0.9% |
||||||||||
181,423 | Dorman Products, Inc. |
8,278,332 | ||||||||
|
|
|||||||||
Biotechnology 6.8% |
||||||||||
79,468 | Aegerion Pharmaceuticals, Inc.(b) |
5,033,503 | ||||||||
420,783 | Alkermes PLC(b) |
12,068,057 | ||||||||
82,157 | Clovis Oncology, Inc.(b) |
5,502,876 | ||||||||
193,577 | Cubist Pharmaceuticals, Inc.(b) |
9,349,769 | ||||||||
419,088 | Emergent Biosolutions, Inc.(b) |
6,043,249 | ||||||||
524,896 | Exact Sciences Corp.(b) |
7,301,303 | ||||||||
265,337 | Myriad Genetics, Inc.(b) |
7,129,605 | ||||||||
536,473 | Neurocrine Biosciences, Inc.(b) |
7,178,009 | ||||||||
422,361 | NPS Pharmaceuticals, Inc.(b) |
6,377,651 | ||||||||
|
|
|||||||||
65,984,022 | ||||||||||
|
|
|||||||||
Capital Markets 1.8% |
||||||||||
114,631 | Artisan Partners Asset Management, Inc.(b) |
5,721,233 | ||||||||
257,921 | Financial Engines, Inc. |
11,758,619 | ||||||||
|
|
|||||||||
17,479,852 | ||||||||||
|
|
|||||||||
Chemicals 1.2% |
||||||||||
635,235 | Flotek Industries, Inc.(b) |
11,396,116 | ||||||||
|
|
|||||||||
Commercial Banks 4.0% |
||||||||||
205,546 | Bank of the Ozarks, Inc. |
8,906,308 | ||||||||
844,746 | Boston Private Financial Holdings, Inc. |
8,988,098 | ||||||||
105,168 | Signature Bank(b) |
8,731,047 | ||||||||
68,516 | SVB Financial Group(b) |
5,708,753 | ||||||||
136,375 | Texas Capital Bancshares, Inc.(b) |
6,049,595 | ||||||||
|
|
|||||||||
38,383,801 | ||||||||||
|
|
|||||||||
Communications Equipment 1.0% |
||||||||||
503,058 | Ciena Corp.(b) |
9,769,386 | ||||||||
|
|
|||||||||
Construction & Engineering 1.0% |
||||||||||
292,223 | MasTec, Inc.(b) |
9,614,137 | ||||||||
|
|
|||||||||
Consumer Finance 0.8% |
||||||||||
242,167 | Encore Capital Group, Inc.(b) |
8,018,149 | ||||||||
|
|
|||||||||
Distributors 0.7% |
||||||||||
135,902 | Pool Corp. |
7,122,624 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Diversified Consumer Services 3.2% |
| |||||||||
249,312 | Bright Horizons Family Solutions, Inc.(b) |
$ | 8,653,620 | |||||||
474,624 | Grand Canyon Education, Inc.(b) |
15,297,131 | ||||||||
585,369 | LifeLock, Inc.(b) |
6,854,671 | ||||||||
|
|
|||||||||
30,805,422 | ||||||||||
|
|
|||||||||
Diversified Financial Services 1.1% |
| |||||||||
230,049 | MarketAxess Holdings, Inc. |
10,754,791 | ||||||||
|
|
|||||||||
Electrical Equipment 1.4% |
| |||||||||
161,377 | Polypore International, Inc.(b) |
6,503,493 | ||||||||
342,037 | Thermon Group Holdings, Inc.(b) |
6,977,555 | ||||||||
|
|
|||||||||
13,481,048 | ||||||||||
|
|
|||||||||
Electronic Equipment, Instruments & Components 2.8% |
| |||||||||
134,919 | FEI Co. |
9,847,738 | ||||||||
144,295 | IPG Photonics Corp. |
8,763,035 | ||||||||
183,526 | Measurement Specialties, Inc.(b) |
8,539,465 | ||||||||
|
|
|||||||||
27,150,238 | ||||||||||
|
|
|||||||||
Energy Equipment & Services 2.7% |
| |||||||||
103,017 | Dril-Quip, Inc.(b) |
9,301,405 | ||||||||
289,613 | Forum Energy Technologies, Inc.(b) |
8,812,924 | ||||||||
355,334 | Helix Energy Solutions Group, Inc.(b) |
8,186,895 | ||||||||
|
|
|||||||||
26,301,224 | ||||||||||
|
|
|||||||||
Food & Staples Retailing 1.0% |
| |||||||||
202,780 | Susser Holdings Corp.(b) |
9,709,106 | ||||||||
|
|
|||||||||
Health Care Equipment & Supplies 4.9% |
| |||||||||
213,246 | Abaxis, Inc. |
10,131,317 | ||||||||
106,285 | Analogic Corp. |
7,740,737 | ||||||||
523,626 | Endologix, Inc.(b) |
6,953,753 | ||||||||
66,223 | ICU Medical, Inc.(b) |
4,772,029 | ||||||||
294,824 | Insulet Corp.(b) |
9,260,422 | ||||||||
454,511 | Spectranetics Corp.(b) |
8,490,266 | ||||||||
|
|
|||||||||
47,348,524 | ||||||||||
|
|
|||||||||
Health Care Providers & Services 4.8% |
| |||||||||
253,034 | Acadia Healthcare Co., Inc.(b) |
8,367,834 | ||||||||
493,561 | BioScrip, Inc.(b) |
8,143,756 | ||||||||
334,770 | Emeritus Corp.(b) |
7,759,969 | ||||||||
376,566 | Hanger Orthopedic Group, Inc.(b) |
11,910,783 | ||||||||
254,372 | Team Health Holdings, Inc.(b) |
10,447,058 | ||||||||
|
|
|||||||||
46,629,400 | ||||||||||
|
|
|||||||||
Health Care Technology 1.8% |
| |||||||||
559,673 | MedAssets, Inc.(b) |
9,928,599 | ||||||||
102,371 | Medidata Solutions, Inc.(b) |
7,928,634 | ||||||||
|
|
|||||||||
17,857,233 | ||||||||||
|
|
|||||||||
Hotels, Restaurants & Leisure 3.1% |
| |||||||||
82,788 | AFC Enterprises, Inc.(b) |
2,975,401 | ||||||||
28,949 | Noodles & Co.(b) |
1,063,876 | ||||||||
558,479 | SHFL entertainment, Inc.(b) |
9,890,663 | ||||||||
251,450 | Texas Roadhouse, Inc. |
6,291,279 | ||||||||
150,821 | Vail Resorts, Inc. |
9,278,508 | ||||||||
|
|
|||||||||
29,499,727 | ||||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Insurance 1.1% |
| |||||||||
290,603 | Amtrust Financial Services, Inc. |
$ | 10,374,527 | |||||||
|
|
|||||||||
Internet & Catalog Retail 1.1% |
| |||||||||
334,124 | HomeAway, Inc.(b) |
10,805,570 | ||||||||
|
|
|||||||||
Internet Software & Services 5.5% |
| |||||||||
363,103 | Angies List, Inc.(b) |
9,640,385 | ||||||||
180,033 | Cornerstone OnDemand, Inc.(b) |
7,793,628 | ||||||||
111,166 | CoStar Group, Inc.(b) |
14,348,196 | ||||||||
358,082 | Dealertrack Technologies, Inc.(b) |
12,686,845 | ||||||||
138,058 | OpenTable, Inc.(b) |
8,828,809 | ||||||||
|
|
|||||||||
53,297,863 | ||||||||||
|
|
|||||||||
IT Services 1.6% |
| |||||||||
216,826 | EPAM Systems, Inc.(b) |
5,893,331 | ||||||||
375,212 | InterXion Holding NV(b) |
9,804,289 | ||||||||
|
|
|||||||||
15,697,620 | ||||||||||
|
|
|||||||||
Life Sciences Tools & Services 1.0% |
| |||||||||
200,395 | PAREXEL International Corp.(b) |
9,206,146 | ||||||||
|
|
|||||||||
Machinery 5.0% |
| |||||||||
123,401 | Chart Industries, Inc.(b) |
11,610,800 | ||||||||
441,959 | Manitowoc Co., Inc. (The) |
7,915,486 | ||||||||
62,011 | Middleby Corp. (The)(b) |
10,547,451 | ||||||||
143,877 | Proto Labs, Inc.(b) |
9,347,688 | ||||||||
174,624 | RBC Bearings, Inc.(b) |
9,071,717 | ||||||||
|
|
|||||||||
48,493,142 | ||||||||||
|
|
|||||||||
Oil, Gas & Consumable Fuels 3.4% |
| |||||||||
187,811 | Diamondback Energy, Inc.(b) |
6,257,862 | ||||||||
192,177 | Gulfport Energy Corp.(b) |
9,045,771 | ||||||||
256,395 | Oasis Petroleum, Inc.(b) |
9,966,074 | ||||||||
170,044 | Rosetta Resources, Inc.(b) |
7,230,271 | ||||||||
|
|
|||||||||
32,499,978 | ||||||||||
|
|
|||||||||
Pharmaceuticals 0.7% |
| |||||||||
232,162 | Pacira Pharmaceuticals, Inc.(b) |
6,732,698 | ||||||||
|
|
|||||||||
Professional Services 5.8% |
| |||||||||
224,621 | Advisory Board Co. (The)(b) |
12,275,538 | ||||||||
220,509 | Corporate Executive Board Co. (The) |
13,940,579 | ||||||||
221,485 | Huron Consulting Group, Inc.(b) |
10,241,466 | ||||||||
324,366 | On Assignment, Inc.(b) |
8,667,060 | ||||||||
327,154 | WageWorks, Inc.(b) |
11,270,455 | ||||||||
|
|
|||||||||
56,395,098 | ||||||||||
|
|
|||||||||
Road & Rail 1.2% |
| |||||||||
131,487 | Genesee & Wyoming, Inc., Class A(b) |
11,155,357 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Semiconductors & Semiconductor Equipment 5.1% |
| |||||||||
231,918 | Cavium, Inc.(b) |
$ | 8,202,940 | |||||||
180,535 | Hittite Microwave Corp.(b) |
10,471,030 | ||||||||
223,187 | Semtech Corp.(b) |
7,818,240 | ||||||||
205,859 | Silicon Laboratories, Inc.(b) |
8,524,621 | ||||||||
219,533 | Ultratech, Inc.(b) |
8,061,252 | ||||||||
414,058 | Volterra Semiconductor Corp.(b) |
5,846,499 | ||||||||
|
|
|||||||||
48,924,582 | ||||||||||
|
|
|||||||||
Software 8.2% |
| |||||||||
308,473 | Aspen Technology, Inc.(b) |
8,880,938 | ||||||||
106,136 | CommVault Systems, Inc.(b) |
8,054,661 | ||||||||
157,901 | FleetMatics Group PLC(b) |
5,247,050 | ||||||||
316,722 | Guidewire Software, Inc.(b) |
13,318,160 | ||||||||
230,265 | Imperva, Inc.(b) |
10,371,136 | ||||||||
344,630 | QLIK Technologies, Inc.(b) |
9,742,690 | ||||||||
171,329 | Sourcefire, Inc.(b) |
9,517,326 | ||||||||
118,386 | Ultimate Software Group, Inc. (The)(b) |
13,885,494 | ||||||||
|
|
|||||||||
79,017,455 | ||||||||||
|
|
|||||||||
Specialty Retail 5.7% |
| |||||||||
246,036 | Asbury Automotive Group, Inc.(b) |
9,866,043 | ||||||||
104,468 | Cabelas, Inc.(b) |
6,765,348 | ||||||||
457,054 | Chicos FAS, Inc. |
7,797,341 | ||||||||
180,602 | Hibbett Sports, Inc.(b) |
10,023,411 | ||||||||
74,987 | Lumber Liquidators Holdings, Inc.(b) |
5,839,238 | ||||||||
165,043 | rue21, Inc.(b) |
6,867,439 | ||||||||
285,979 | Tile Shop Holdings, Inc.(b) |
8,281,952 | ||||||||
|
|
|||||||||
55,440,772 | ||||||||||
|
|
|||||||||
Textiles, Apparel & Luxury Goods 2.0% |
| |||||||||
152,503 | Oxford Industries, Inc. |
9,516,187 | ||||||||
424,726 | Tumi Holdings, Inc.(b) |
10,193,424 | ||||||||
|
|
|||||||||
19,709,611 | ||||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $708,993,149) |
925,337,710 | |||||||||
|
|
|||||||||
Principal |
||||||||||
Short-Term Investments 5.0% |
||||||||||
$ | 48,252,790 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $48,252,790 on 7/01/2013 collateralized by $50,160,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $49,219,500 including accrued interest(c) (Identified Cost $48,252,790) |
48,252,790 | |||||||
|
|
|||||||||
Total Investments 100.7% (Identified Cost $757,245,939)(a) |
973,590,500 | |||||||||
Other assets less liabilities (0.7)% |
(6,732,161 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 966,858,339 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $757,245,939 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 |
$ | 224,448,328 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(8,103,767 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 216,344,561 | ||
|
|
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 925,337,710 | $ | | $ | | $ | 925,337,710 | ||||||||
Short-Term Investments |
| 48,252,790 | | 48,252,790 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 925,337,710 | $ | 48,252,790 | $ | | $ | 973,590,500 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at June 30, 2013 (Unaudited)
Software |
8.2 | % | ||
Biotechnology |
6.8 | |||
Professional Services |
5.8 | |||
Specialty Retail |
5.7 | |||
Internet Software & Services |
5.5 | |||
Semiconductors & Semiconductor Equipment |
5.1 | |||
Machinery |
5.0 | |||
Health Care Equipment & Supplies |
4.9 | |||
Health Care Providers & Services |
4.8 | |||
Commercial Banks |
4.0 | |||
Oil, Gas & Consumable Fuels |
3.4 | |||
Diversified Consumer Services |
3.2 | |||
Hotels, Restaurants & Leisure |
3.1 | |||
Electronic Equipment, Instruments & Components |
2.8 | |||
Energy Equipment & Services |
2.7 | |||
Aerospace & Defense |
2.4 | |||
Textiles, Apparel & Luxury Goods |
2.0 | |||
Other Investments, less than 2% each |
20.3 | |||
Short-Term Investments |
5.0 | |||
|
|
|||
Total Investments |
100.7 | |||
Other assets less liabilities |
(0.7 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes 72.3% of Net Assets |
||||||||||
Non-Convertible Bonds 63.2% |
||||||||||
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 |
$ | 4,374,049 | ||||||
|
|
|||||||||
ABS Home Equity 0.0% |
| |||||||||
4,133,328 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.726%, 4/25/2035(b) |
4,111,744 | ||||||||
|
|
|||||||||
Aerospace & Defense 0.4% |
| |||||||||
620,000 | Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD) |
610,067 | ||||||||
11,800,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
11,800,000 | ||||||||
2,425,000 | Ducommun, Inc., 9.750%, 7/15/2018 |
2,649,312 | ||||||||
8,236,000 | Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A |
8,454,756 | ||||||||
8,636,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
7,153,467 | ||||||||
20,755,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
18,847,574 | ||||||||
5,310,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A |
4,619,700 | ||||||||
|
|
|||||||||
54,134,876 | ||||||||||
|
|
|||||||||
Airlines 2.6% |
| |||||||||
35,455,000 | Air Canada, 10.125%, 8/01/2015, 144A, (CAD) |
35,481,970 | ||||||||
5,215,000 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A |
5,201,962 | ||||||||
14,600,000 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027, 144A |
13,797,000 | ||||||||
5,400,000 | American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A |
5,589,000 | ||||||||
3,280,000 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 |
3,312,800 | ||||||||
21,015,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
21,225,150 | ||||||||
4,568 | Continental Airlines Pass Through Trust, Series 1996-1, Class A, 6.940%, 4/15/2015 |
4,568 | ||||||||
643,667 | Continental Airlines Pass Through Trust, Series 1997-1, Class A, 7.461%, 10/01/2016 |
650,104 | ||||||||
1,204,549 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 |
1,246,709 | ||||||||
2,458,307 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
2,538,201 | ||||||||
1,542,834 | Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021 |
1,600,690 | ||||||||
1,233,941 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
1,382,014 | ||||||||
1,437,966 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,567,383 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Airlines continued |
| |||||||||
$ | 2,033,641 | Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019 |
$ | 2,155,659 | ||||||
1,844,668 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
1,964,571 | ||||||||
1,063,631 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 |
1,116,813 | ||||||||
10,452,388 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
11,602,151 | ||||||||
18,348,237 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
19,449,131 | ||||||||
16,602,493 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
19,051,361 | ||||||||
14,834,915 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
17,356,851 | ||||||||
3,980,000 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021 |
4,139,200 | ||||||||
1,246,787 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,409,493 | ||||||||
6,139,845 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
6,707,780 | ||||||||
19,203,323 | Delta Air Lines Pass Through Trust, Series 2007-1, Class C, 8.954%, 8/10/2014 |
19,395,356 | ||||||||
1,766,305 | Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023 |
1,881,114 | ||||||||
17,184,954 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
18,387,901 | ||||||||
768,064 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
883,274 | ||||||||
14,522,729 | US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018 |
15,321,479 | ||||||||
33,943,761 | US Airways Pass Through Trust, Series 2010-1C, Class C, 11.000%, 10/22/2014, 144A |
35,810,668 | ||||||||
47,534,220 | US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020 |
53,119,491 | ||||||||
14,822,754 | US Airways Pass Through Trust, Series 2011-1C, Class C, 10.875%, 10/22/2014 |
15,638,006 | ||||||||
14,069,606 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
14,773,086 | ||||||||
7,274,752 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 |
7,893,105 | ||||||||
5,675,691 | US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015 |
6,016,233 | ||||||||
7,200,000 | US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023 |
7,128,000 | ||||||||
|
|
|||||||||
374,798,274 | ||||||||||
|
|
|||||||||
Automotive 0.8% |
||||||||||
3,800,000 | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 6/15/2021 |
4,194,250 | ||||||||
19,011,000 | Ford Motor Co., 6.375%, 2/01/2029 |
20,147,173 | ||||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 |
1,296,087 | ||||||||
74,829,000 | Ford Motor Co., 6.625%, 10/01/2028 |
81,582,542 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Automotive continued |
| |||||||||
$ | 2,365,000 | Ford Motor Co., 7.125%, 11/15/2025 |
$ | 2,688,459 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 |
1,555,410 | ||||||||
6,000,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 |
6,150,000 | ||||||||
4,977,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
4,921,009 | ||||||||
|
|
|||||||||
122,534,930 | ||||||||||
|
|
|||||||||
Banking 7.3% |
| |||||||||
1,175,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
1,523,288 | ||||||||
29,332,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
35,271,730 | ||||||||
20,565,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
24,355,150 | ||||||||
63,900,000 | Banco Santander Brasil S.A./Cayman Islands, 8.000%, 3/18/2016, 144A, (BRL) |
26,346,382 | ||||||||
900,000 | Bank of America Corp., 5.490%, 3/15/2019 |
970,416 | ||||||||
265,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
282,560 | ||||||||
1,000,000 | Bank of America Corp., MTN, 6.750%, 9/09/2013, (AUD) |
919,831 | ||||||||
1,500,000 | Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%, 12/29/2049 |
1,670,625 | ||||||||
1,130,000 | Barclays Bank PLC, (fixed rate to 12/15/2017, variable rate thereafter), 6.000%, 6/29/2049, (GBP) |
1,487,168 | ||||||||
39,890,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
36,420,909 | ||||||||
7,320,000 | Barclays Bank PLC, EMTN, (fixed rate to 3/15/2020, variable rate thereafter), 4.750%, 3/29/2049, (EUR) |
6,845,540 | ||||||||
57,792,000,000 | Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW) |
53,338,365 | ||||||||
1,600,000 | BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, 4/29/2049, (EUR) |
1,999,334 | ||||||||
5,331,000 | BNP Paribas S.A., (fixed rate to 6/29/2015, variable rate thereafter), 5.186%, 6/29/2049, 144A |
5,064,450 | ||||||||
4,000,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c) |
3,598,022 | ||||||||
24,610,000 | Citigroup, Inc., 5.875%, 2/22/2033 |
23,660,792 | ||||||||
8,999,000 | Citigroup, Inc., 6.000%, 10/31/2033 |
8,774,430 | ||||||||
6,060,000 | Citigroup, Inc., 6.125%, 8/25/2036 |
5,933,279 | ||||||||
22,091,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
17,859,131 | ||||||||
3,350,000 | Citigroup, Inc., EMTN, 1.469%, 11/30/2017, (EUR)(b) |
4,120,697 | ||||||||
3,035,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.375%, 1/19/2017 |
3,187,445 | ||||||||
17,730,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrecht, 3.875%, 2/08/2022 |
17,854,447 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Banking continued |
| |||||||||
$ | 400,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
$ | 402,480 | ||||||
34,060,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
34,889,838 | ||||||||
11,000,000 | HBOS Capital Funding LP, (fixed rate to 6/30/2014, variable rate thereafter), 6.071%, 6/29/2049, 144A |
9,570,000 | ||||||||
32,705,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
30,172,652 | ||||||||
50,604,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
53,581,388 | ||||||||
9,090,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
8,680,950 | ||||||||
45,620,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD) |
33,949,055 | ||||||||
260,000,000,000 | JPMorgan Chase & Co., EMTN, 7.070%, 3/22/2014, (IDR) |
25,237,683 | ||||||||
227,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
22,473,572 | ||||||||
18,500,000 | Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 9/29/2049, 144A |
13,690,000 | ||||||||
27,555,000 | Lloyds TSB Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
29,376,854 | ||||||||
3,010,000 | Merrill Lynch & Co., Inc., 5.700%, 5/02/2017 |
3,241,650 | ||||||||
1,900,000 | Merrill Lynch & Co., Inc., 6.050%, 5/16/2016 |
2,057,333 | ||||||||
6,700,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
6,595,232 | ||||||||
51,500,000 | Merrill Lynch & Co., Inc., 10.710%, 3/08/2017, (BRL) |
22,041,589 | ||||||||
3,450,000 | Merrill Lynch & Co., Inc., EMTN, 4.625%, 9/14/2018, (EUR) |
4,718,351 | ||||||||
800,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
855,569 | ||||||||
1,235,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.400%, 8/28/2017 |
1,394,517 | ||||||||
35,325,000 | Morgan Stanley, 4.750%, 11/16/2018, (AUD) |
31,987,612 | ||||||||
55,795,000 | Morgan Stanley, 4.875%, 11/01/2022 |
55,119,936 | ||||||||
74,310,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) |
60,977,970 | ||||||||
100,265,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
99,577,545 | ||||||||
950,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) |
1,591,849 | ||||||||
1,000,000 | Morgan Stanley, GMTN, 4.500%, 2/23/2016, (EUR) |
1,387,426 | ||||||||
79,700,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
77,644,075 | ||||||||
17,175,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
15,868,309 | ||||||||
10,000,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 |
10,959,720 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Banking continued |
| |||||||||
$ | 6,600,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 |
$ | 7,093,885 | ||||||
7,900,000 | Morgan Stanley, Series F, GMTN, 6.625%, 4/01/2018 |
8,954,294 | ||||||||
12,100,000 | Morgan Stanley, Series F, MTN, 0.727%, 10/18/2016(b) |
11,713,635 | ||||||||
5,210,000 | Morgan Stanley, Series F, MTN, 5.950%, 12/28/2017 |
5,780,709 | ||||||||
2,850,000 | RBS Capital Trust A, 2.319%, 12/29/2049, (EUR)(b) |
2,301,869 | ||||||||
1,905,000 | RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, 12/29/2049, (EUR) |
1,611,767 | ||||||||
7,925,000 | RBS Capital Trust I, (fixed rate to 7/01/2013, variable rate thereafter), 4.709%, 12/29/2049 |
5,507,875 | ||||||||
4,050,000 | RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%, 12/29/2049 |
3,240,000 | ||||||||
2,085,000 | RBS Capital Trust III, (fixed rate to 9/30/2014, variable rate thereafter), 5.512%, 9/29/2049 |
1,522,050 | ||||||||
930,000 | Royal Bank of Scotland Group PLC, 5.250%, 6/29/2049, (EUR) |
799,073 | ||||||||
15,100,000 | Royal Bank of Scotland Group PLC, 5.500%, 11/29/2049, (EUR) |
13,314,234 | ||||||||
17,700,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 |
16,842,789 | ||||||||
9,990,000 | Royal Bank of Scotland Group PLC, (fixed rate to 9/29/2017, variable rate thereafter), 7.640%, 3/29/2049 |
8,941,050 | ||||||||
850,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) |
1,085,321 | ||||||||
7,750,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) |
10,541,733 | ||||||||
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) |
2,526,388 | ||||||||
700,000 | Santander Financial Issuances Ltd., 7.250%, 11/01/2015 |
754,530 | ||||||||
1,300,000 | Santander International Debt SAU, EMTN, 4.000%, 3/27/2017, (EUR) |
1,730,674 | ||||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A |
1,908,421 | ||||||||
1,500,000 | Santander Issuances SAU, (fixed rate to 8/11/2014, variable rate thereafter), 6.500%, 8/11/2019, 144A |
1,529,920 | ||||||||
4,140,000 | SG Capital Trust III, (fixed rate to 11/10/2013, variable rate thereafter), 5.419%, 11/29/2049, (EUR) |
5,307,996 | ||||||||
18,054,000 | Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 4/29/2049, 144A |
17,061,030 | ||||||||
|
|
|||||||||
1,069,596,389 | ||||||||||
|
|
|||||||||
Brokerage 0.8% |
| |||||||||
2,655,000 | Cantor Fitzgerald LP, 6.375%, 6/26/2015, 144A |
2,668,766 | ||||||||
43,025,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
42,693,234 | ||||||||
20,010,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
19,309,650 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Brokerage continued |
| |||||||||
$ | 15,215,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
$ | 14,986,775 | ||||||
39,040,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
42,935,880 | ||||||||
|
|
|||||||||
122,594,305 | ||||||||||
|
|
|||||||||
Building Materials 0.9% |
| |||||||||
6,995,000 | Masco Corp., 6.500%, 8/15/2032 |
6,960,025 | ||||||||
5,510,000 | Masco Corp., 7.125%, 3/15/2020 |
6,143,650 | ||||||||
2,630,000 | Masco Corp., 7.750%, 8/01/2029 |
2,903,365 | ||||||||
32,100,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
12,871,073 | ||||||||
35,980,000 | Owens Corning, Inc., 7.000%, 12/01/2036 |
38,500,759 | ||||||||
46,412,000 | USG Corp., 6.300%, 11/15/2016 |
47,340,240 | ||||||||
14,155,000 | USG Corp., 9.750%, 1/15/2018 |
16,065,925 | ||||||||
|
|
|||||||||
130,785,037 | ||||||||||
|
|
|||||||||
Chemicals 0.4% |
| |||||||||
20,070,000 | Hercules, Inc., 6.500%, 6/30/2029 |
17,460,900 | ||||||||
5,200,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875%, 2/01/2018 |
5,304,000 | ||||||||
4,555,000 | Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 9.000%, 11/15/2020 |
4,350,025 | ||||||||
23,584,000 | Momentive Specialty Chemicals, Inc., 7.875%, 2/15/2023(c) |
16,980,480 | ||||||||
7,789,000 | Momentive Specialty Chemicals, Inc., 8.375%, 4/15/2016(c) |
6,698,540 | ||||||||
8,757,000 | Momentive Specialty Chemicals, Inc., 9.200%, 3/15/2021(c) |
7,180,740 | ||||||||
|
|
|||||||||
57,974,685 | ||||||||||
|
|
|||||||||
Commercial Mortgage-Backed Securities 0.2% |
| |||||||||
35,060,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.982%, 8/10/2045(b) |
33,705,282 | ||||||||
|
|
|||||||||
Construction Machinery 0.1% |
| |||||||||
1,425,000 | Joy Global, Inc., 6.625%, 11/15/2036 |
1,540,335 | ||||||||
13,630,000 | United Rentals North America, Inc., 7.625%, 4/15/2022 |
14,754,475 | ||||||||
525,000 | United Rentals North America, Inc., 8.375%, 9/15/2020 |
568,313 | ||||||||
|
|
|||||||||
16,863,123 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Consumer Cyclical Services 0.0% |
| |||||||||
$ | 670,000 | ServiceMaster Co. (The), 7.100%, 3/01/2018 |
$ | 646,550 | ||||||
5,500,000 | ServiceMaster Co. (The), 7.450%, 8/15/2027 |
4,675,000 | ||||||||
|
|
|||||||||
5,321,550 | ||||||||||
|
|
|||||||||
Consumer Products 0.0% |
||||||||||
1,335,000 | Visant Corp., 10.000%, 10/01/2017 |
1,231,538 | ||||||||
|
|
|||||||||
Electric 2.3% |
||||||||||
787,434 | AES Red Oak LLC, Series A, 8.540%, 11/30/2019 |
826,806 | ||||||||
45,322,516 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
47,550,435 | ||||||||
62,180,200 | Bruce Mansfield Unit, 6.850%, 6/01/2034 |
67,932,491 | ||||||||
2,441,011 | CE Generation LLC, 7.416%, 12/15/2018 |
2,459,319 | ||||||||
28,105,000 | Edison Mission Energy, 7.625%, 5/15/2027(d) |
15,738,800 | ||||||||
42,200,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
41,461,500 | ||||||||
14,800,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
15,244,000 | ||||||||
2,800,000 | EDP Finance BV, EMTN, 4.625%, 6/13/2016, (EUR) |
3,725,675 | ||||||||
500,000 | EDP Finance BV, EMTN, 4.750%, 9/26/2016, (EUR) |
667,095 | ||||||||
100,000 | EDP Finance BV, EMTN, 5.875%, 2/01/2016, (EUR) |
135,697 | ||||||||
250,000 | Empresa Nacional de Electricidad S.A. (Endesa-Chile), 8.350%, 8/01/2013 |
251,009 | ||||||||
3,570,000 | Endesa S.A./Cayman Islands, 7.875%, 2/01/2027 |
4,149,750 | ||||||||
13,642,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
12,598,414 | ||||||||
1,435,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |
1,437,002 | ||||||||
2,732,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) |
3,590,368 | ||||||||
5,940,000 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 10.000%, 12/01/2020, 144A |
6,489,450 | ||||||||
108,541,101 | Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc., 11.250%, 12/01/2018, 144A(e) |
91,717,230 | ||||||||
555,000 | Enersis S.A., Cayman Islands, 7.400%, 12/01/2016 |
638,616 | ||||||||
9,600,000 | PPL Energy Supply LLC, 4.600%, 12/15/2021 |
9,769,190 | ||||||||
16,670,000 | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/2020, 144A |
12,460,825 | ||||||||
|
|
|||||||||
338,843,672 | ||||||||||
|
|
Principal Amount () |
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 |
$ | 20,015,268 | ||||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
27,461,800 | ||||||||
|
|
|||||||||
47,477,068 | ||||||||||
|
|
|||||||||
Food & Beverage 0.1% |
| |||||||||
4,880,000 | Shearers Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A |
5,160,600 | ||||||||
4,370,000 | Viterra, Inc., 6.406%, 2/16/2021, 144A, (CAD) |
4,542,731 | ||||||||
|
|
|||||||||
9,703,331 | ||||||||||
|
|
|||||||||
Government Guaranteed 0.4% |
| |||||||||
72,695,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
62,465,694 | ||||||||
|
|
|||||||||
Government Owned - No Guarantee 0.5% |
| |||||||||
19,500,000 | DP World Ltd., 6.850%, 7/02/2037, 144A |
20,133,750 | ||||||||
70,300,000,000 | Export-Import Bank of Korea, 6.600%, 11/04/2013, 144A, (IDR) |
6,909,587 | ||||||||
499,300,000,000 | Export-Import Bank of Korea, 8.300%, 3/15/2014, 144A, (IDR) |
49,044,591 | ||||||||
|
|
|||||||||
76,087,928 | ||||||||||
|
|
|||||||||
Government Sponsored 0.1% |
| |||||||||
1,000,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) |
927,426 | ||||||||
10,807,000 | Eksportfinans ASA, 2.000%, 9/15/2015 |
10,374,720 | ||||||||
9,005,000 | Eksportfinans ASA, 2.375%, 5/25/2016 |
8,622,287 | ||||||||
|
|
|||||||||
19,924,433 | ||||||||||
|
|
|||||||||
Healthcare 2.3% |
| |||||||||
2,795,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 |
2,850,900 | ||||||||
9,960,000 | HCA, Inc., 5.875%, 3/15/2022 |
10,221,450 | ||||||||
108,560,000 | HCA, Inc., 5.875%, 5/01/2023 |
108,831,400 | ||||||||
14,620,000 | HCA, Inc., 7.050%, 12/01/2027 |
14,327,600 | ||||||||
11,104,000 | HCA, Inc., 7.190%, 11/15/2015 |
11,992,320 | ||||||||
20,447,000 | HCA, Inc., 7.500%, 12/15/2023 |
21,264,880 | ||||||||
24,215,000 | HCA, Inc., 7.500%, 11/06/2033 |
24,941,450 | ||||||||
46,148,000 | HCA, Inc., 7.690%, 6/15/2025 |
49,839,840 | ||||||||
32,745,000 | HCA, Inc., 8.360%, 4/15/2024 |
37,001,850 | ||||||||
15,815,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
16,763,900 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Healthcare continued |
| |||||||||
$ | 9,492,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
$ | 9,539,460 | ||||||
32,559,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
28,000,740 | ||||||||
|
|
|||||||||
335,575,790 | ||||||||||
|
|
|||||||||
Home Construction 0.7% |
| |||||||||
1,350,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023, 144A |
1,363,500 | ||||||||
11,265,000 | Desarrolladora Homex SAB de CV, 7.500%, 9/28/2015(f) |
3,830,100 | ||||||||
13,360,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
12,024,000 | ||||||||
16,075,000 | K. Hovnanian Enterprises, Inc., 6.250%, 1/15/2016 |
16,316,125 | ||||||||
6,290,000 | K. Hovnanian Enterprises, Inc., 7.500%, 5/15/2016 |
6,510,150 | ||||||||
11,315,000 | KB Home, 7.250%, 6/15/2018 |
11,993,900 | ||||||||
47,260,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
43,479,200 | ||||||||
13,190,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
12,332,650 | ||||||||
|
|
|||||||||
107,849,625 | ||||||||||
|
|
|||||||||
Independent Energy 0.2% |
| |||||||||
1,150,000 | Chesapeake Energy Corp., 6.250%, 1/15/2017, (EUR) |
1,560,515 | ||||||||
1,375,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
1,478,125 | ||||||||
1,040,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
1,128,400 | ||||||||
21,470,000 | Connacher Oil and Gas Ltd., 8.500%, 8/01/2019, 144A |
12,237,900 | ||||||||
12,635,000 | QEP Resources, Inc., 6.875%, 3/01/2021 |
13,614,212 | ||||||||
1,975,000 | Rosetta Resources, Inc., 5.625%, 5/01/2021 |
1,928,094 | ||||||||
2,780,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 |
2,641,000 | ||||||||
|
|
|||||||||
34,588,246 | ||||||||||
|
|
|||||||||
Industrial Other 0.1% |
| |||||||||
7,475,000 | Permian Holdings, Inc., 10.500%, 1/15/2018, 144A |
7,250,750 | ||||||||
10,000,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
10,764,740 | ||||||||
|
|
|||||||||
18,015,490 | ||||||||||
|
|
|||||||||
Life Insurance 1.1% |
| |||||||||
34,562,000 | American International Group, Inc., 6.250%, 3/15/2087 |
35,296,442 | ||||||||
27,655,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
33,739,100 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Life Insurance continued |
| |||||||||
$ | 19,625,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
$ | 22,066,546 | ||||||
2,855,000 | American International Group, Inc., Series MPLE, 4.900%, 6/02/2014, (CAD) |
2,769,136 | ||||||||
23,200,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 12/29/2049, 144A |
22,562,000 | ||||||||
1,000,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, 10/29/2049, (GBP) |
1,498,135 | ||||||||
1,350,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
1,791,264 | ||||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
17,288,640 | ||||||||
1,475,000 | MetLife Capital Trust X, 9.250%, 4/08/2068, 144A |
1,947,000 | ||||||||
8,145,000 | MetLife, Inc., 10.750%, 8/01/2069 |
12,584,025 | ||||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
9,294,792 | ||||||||
3,910,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
4,525,391 | ||||||||
|
|
|||||||||
165,362,471 | ||||||||||
|
|
|||||||||
Local Authorities 1.9% |
| |||||||||
86,645,000 | Autonomous Community of Madrid Spain, 4.300%, 9/15/2026, 144A, (EUR) |
91,412,496 | ||||||||
900,000 | City of Madrid Spain, 4.550%, 6/16/2036, (EUR) |
844,711 | ||||||||
8,095,000 | City of Rome Italy, EMTN, 5.345%, 1/27/2048, (EUR) |
9,693,904 | ||||||||
3,905,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
3,191,687 | ||||||||
82,840,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) |
83,610,644 | ||||||||
66,305,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) |
65,389,044 | ||||||||
26,730,000 | Queensland Treasury Corp., Series 14, 5.750%, 11/21/2014, (AUD) |
25,422,217 | ||||||||
|
|
|||||||||
279,564,703 | ||||||||||
|
|
|||||||||
Media Cable 0.7% |
| |||||||||
3,315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024 |
3,198,975 | ||||||||
25,270,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
26,646,551 | ||||||||
44,800,000 | UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR) |
55,981,339 | ||||||||
11,275,000 | Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD) |
10,232,408 | ||||||||
|
|
|||||||||
96,059,273 | ||||||||||
|
|
|||||||||
Media Non-Cable 1.1% |
| |||||||||
1,035,000 | Clear Channel Communications, Inc., 4.900%, 5/15/2015 |
957,375 | ||||||||
3,760,000 | Clear Channel Communications, Inc., 5.500%, 9/15/2014 |
3,656,600 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Media Non-Cable continued |
| |||||||||
$ | 64,250,000 | Clear Channel Communications, Inc., 9.000%, 3/01/2021 |
$ | 61,037,500 | ||||||
90,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
5,890,916 | ||||||||
3,995,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018, 144A |
4,024,963 | ||||||||
28,785,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021, 144A |
29,072,850 | ||||||||
16,000,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023, 144A |
16,520,000 | ||||||||
8,335,000 | R.R. Donnelley & Sons Co., 7.875%, 3/15/2021 |
8,501,700 | ||||||||
28,455,000 | R.R. Donnelley & Sons Co., 8.250%, 3/15/2019 |
29,877,750 | ||||||||
|
|
|||||||||
159,539,654 | ||||||||||
|
|
|||||||||
Metals & Mining 0.9% |
| |||||||||
3,949,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
3,842,397 | ||||||||
1,405,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
1,252,477 | ||||||||
4,330,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
4,302,868 | ||||||||
25,271,000 | ArcelorMittal, 7.250%, 3/01/2041 |
23,628,385 | ||||||||
29,695,000 | Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
26,131,600 | ||||||||
21,905,000 | Essar Steel Algoma, Inc., 9.875%, 6/15/2015, 144A |
16,866,850 | ||||||||
4,200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A |
4,200,000 | ||||||||
16,135,000 | Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD) |
15,332,776 | ||||||||
7,000,000 | United States Steel Corp., 6.050%, 6/01/2017 |
7,280,000 | ||||||||
6,779,000 | United States Steel Corp., 6.650%, 6/01/2037 |
5,711,308 | ||||||||
7,490,000 | United States Steel Corp., 6.875%, 4/01/2021 |
7,265,300 | ||||||||
16,435,000 | United States Steel Corp., 7.000%, 2/01/2018 |
17,256,750 | ||||||||
|
|
|||||||||
133,070,711 | ||||||||||
|
|
|||||||||
Non-Captive Consumer 3.6% |
| |||||||||
22,945,000 | SLM Corp., 5.500%, 1/25/2023 |
21,848,321 | ||||||||
109,950 | () | SLM Corp., 6.000%, 12/15/2043 |
2,510,250 | |||||||
5,700,000 | SLM Corp., MTN, 3.875%, 9/10/2015 |
5,757,302 | ||||||||
7,515,000 | SLM Corp., MTN, 4.625%, 9/25/2017 |
7,402,275 | ||||||||
17,600,000 | SLM Corp., MTN, 7.250%, 1/25/2022 |
18,480,000 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Non-Captive Consumer continued |
||||||||||
$ | 2,160,000 | SLM Corp., MTN, 8.000%, 3/25/2020 |
$ | 2,338,200 | ||||||
3,750,000 | SLM Corp., Series A, MTN, 0.576%, 1/27/2014(b) |
3,717,023 | ||||||||
41,770,000 | SLM Corp., Series A, MTN, 5.000%, 4/15/2015 |
43,127,525 | ||||||||
14,465,000 | SLM Corp., Series A, MTN, 5.000%, 6/15/2018 |
14,030,225 | ||||||||
50,910,000 | SLM Corp., Series A, MTN, 5.625%, 8/01/2033 |
42,255,300 | ||||||||
90,150,000 | SLM Corp., Series A, MTN, 8.450%, 6/15/2018 |
100,066,500 | ||||||||
10,120,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
9,892,300 | ||||||||
14,232,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
14,196,420 | ||||||||
800,000 | Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017 |
772,000 | ||||||||
248,290,000 | Springleaf Finance Corp., Series J, MTN, 6.900%, 12/15/2017 |
243,634,562 | ||||||||
|
|
|||||||||
530,028,203 | ||||||||||
|
|
|||||||||
Non-Captive Diversified 4.2% |
||||||||||
7,855,000 | Aircastle Ltd., 7.625%, 4/15/2020 |
8,640,500 | ||||||||
32,711,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
37,045,207 | ||||||||
57,000,000 | General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD) |
43,054,103 | ||||||||
79,035,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
65,135,464 | ||||||||
25,320,000 | General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD) |
20,322,149 | ||||||||
58,490,000 | General Electric Capital Corp., Series A, GMTN, 7.625%, 12/10/2014, (NZD) |
47,626,476 | ||||||||
15,305,000 | General Electric Capital Corp., Series A, MTN, 0.577%, 5/13/2024(b) |
13,766,557 | ||||||||
245,797,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
198,748,732 | ||||||||
325,000 | International Lease Finance Corp., 3.875%, 4/15/2018 |
305,500 | ||||||||
2,665,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
2,691,650 | ||||||||
24,750,000 | International Lease Finance Corp., 5.875%, 8/15/2022 |
24,533,437 | ||||||||
1,995,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
2,049,862 | ||||||||
20,610,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
22,774,050 | ||||||||
10,245,000 | International Lease Finance Corp., 8.250%, 12/15/2020 |
11,512,819 | ||||||||
2,620,000 | International Lease Finance Corp., Series R, MTN, 5.625%, 9/20/2013 |
2,638,340 | ||||||||
2,222,000 | International Lease Finance Corp., Series R, MTN, 5.650%, 6/01/2014 |
2,260,885 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Non-Captive Diversified continued |
||||||||||
$ | 4,000,000 | iStar Financial, Inc., 3.875%, 7/01/2016 |
$ | 3,840,000 | ||||||
11,995,000 | iStar Financial, Inc., 4.875%, 7/01/2018 |
11,275,300 | ||||||||
23,175,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
23,638,500 | ||||||||
20,478,000 | iStar Financial, Inc., 5.875%, 3/15/2016 |
20,887,560 | ||||||||
8,300,000 | iStar Financial, Inc., 6.050%, 4/15/2015 |
8,466,000 | ||||||||
19,240,000 | iStar Financial, Inc., 7.125%, 2/15/2018 |
19,961,500 | ||||||||
19,915,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017, 144A |
20,313,300 | ||||||||
|
|
|||||||||
611,487,891 | ||||||||||
|
|
|||||||||
Oil Field Services 0.3% |
| |||||||||
41,550,000 | Edgen Murray Corp., 8.750%, 11/01/2020, 144A |
41,342,250 | ||||||||
7,170,000 | Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A |
6,901,125 | ||||||||
|
|
|||||||||
48,243,375 | ||||||||||
|
|
|||||||||
Paper 0.8% |
||||||||||
14,715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
18,381,375 | ||||||||
47,875,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
61,730,073 | ||||||||
775,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,082,591 | ||||||||
4,865,000 | Westvaco Corp., 7.950%, 2/15/2031 |
5,616,506 | ||||||||
23,365,000 | Westvaco Corp., 8.200%, 1/15/2030 |
27,650,842 | ||||||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
3,249,326 | ||||||||
|
|
|||||||||
117,710,713 | ||||||||||
|
|
|||||||||
Pharmaceuticals 0.4% |
||||||||||
54,390,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A |
53,778,113 | ||||||||
|
|
|||||||||
Pipelines 0.9% |
||||||||||
750,000 | El Paso Corp., GMTN, 7.800%, 8/01/2031 |
792,137 | ||||||||
8,935,000 | IFM US Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
9,574,782 | ||||||||
39,759,324 | Maritimes & Northeast Pipeline LLC, 7.500%, 5/31/2014, 144A(c) |
41,649,323 | ||||||||
69,505,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
67,419,850 | ||||||||
3,870,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
3,405,600 | ||||||||
3,065,000 | Rockies Express Pipeline LLC, 6.875%, 4/15/2040, 144A |
2,635,900 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Pipelines continued |
||||||||||
$ | 4,168,000 | Transportadora de Gas del Sur S.A., 7.875%, 5/14/2017, 144A |
$ | 3,636,163 | ||||||
|
|
|||||||||
129,113,755 | ||||||||||
|
|
|||||||||
Property & Casualty Insurance 0.5% |
||||||||||
14,855,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
16,491,160 | ||||||||
3,405,000 | Hanover Insurance Group, Inc. (The), 7.500%, 3/01/2020 |
3,913,455 | ||||||||
12,510,000 | MBIA Insurance Corp., 11.537%, 1/15/2033, 144A(b)(f) |
10,696,050 | ||||||||
11,200,000 | White Mountains Re Group Ltd., 6.375%, 3/20/2017, 144A |
12,245,139 | ||||||||
3,000,000 | White Mountains Re Group Ltd., (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 5/29/2049, 144A |
3,095,124 | ||||||||
1,425,000 | XL Group PLC, 6.375%, 11/15/2024 |
1,617,321 | ||||||||
17,870,000 | XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%, 12/29/2049 |
17,423,250 | ||||||||
|
|
|||||||||
65,481,499 | ||||||||||
|
|
|||||||||
Railroads 0.0% |
||||||||||
1,153,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c) |
980,050 | ||||||||
|
|
|||||||||
Retailers 0.8% |
||||||||||
1,185,000 | Dillards, Inc., 6.625%, 1/15/2018 |
1,303,500 | ||||||||
3,325,000 | Dillards, Inc., 7.000%, 12/01/2028 |
3,491,250 | ||||||||
4,187,000 | Dillards, Inc., 7.130%, 8/01/2018 |
4,741,777 | ||||||||
1,500,000 | Dillards, Inc., 7.750%, 7/15/2026 |
1,646,250 | ||||||||
425,000 | Dillards, Inc., 7.875%, 1/01/2023 |
470,688 | ||||||||
10,270,000 | Foot Locker, Inc., 8.500%, 1/15/2022(g) |
11,524,046 | ||||||||
3,685,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
3,233,588 | ||||||||
37,064,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
28,909,920 | ||||||||
160,000 | J.C. Penney Corp., Inc., 7.400%, 4/01/2037 |
130,000 | ||||||||
3,985,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
2,948,900 | ||||||||
12,275,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
13,785,758 | ||||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
6,392,299 | ||||||||
37,646,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
33,975,515 | ||||||||
|
|
|||||||||
112,553,491 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Sovereigns 1.8% |
||||||||||
47,935,000 | Hellenic Republic Government International Bond, 2.125%, 7/05/2013, (CHF) |
$ | 50,343,042 | |||||||
64,132,000,000 | Indonesia Treasury Bond, Series FR43, 10.250%, 7/15/2022, (IDR) |
7,730,985 | ||||||||
10,000,000,000 | Indonesia Treasury Bond, Series FR47, 10.000%, 2/15/2028, (IDR) |
1,204,093 | ||||||||
166,250,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
68,545,947 | ||||||||
56,700,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
26,045,891 | ||||||||
49,120,000 | Republic of Brazil, 12.500%, 1/05/2016, (BRL) |
23,444,462 | ||||||||
18,400,000 | Republic of Croatia, 6.750%, 11/05/2019, 144A |
19,640,528 | ||||||||
5,226,139,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
31,619,037 | ||||||||
1,605,660,000 | Republic of Iceland, 7.250%, 10/26/2022, (ISK) |
9,824,345 | ||||||||
3,112,923,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) |
20,554,186 | ||||||||
|
|
|||||||||
258,952,516 | ||||||||||
|
|
|||||||||
Supermarkets 1.0% |
||||||||||
8,336,000 | American Stores Co., 7.900%, 5/01/2017 |
9,190,440 | ||||||||
79,276,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
62,231,660 | ||||||||
22,640,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
17,857,300 | ||||||||
13,590,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
10,804,050 | ||||||||
5,815,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
4,782,838 | ||||||||
16,342,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
11,275,980 | ||||||||
34,580,000 | SUPERVALU, Inc., 6.750%, 6/01/2021, 144A |
32,159,400 | ||||||||
|
|
|||||||||
148,301,668 | ||||||||||
|
|
|||||||||
Supranational 1.4% |
||||||||||
16,375,000 | European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL) |
6,853,525 | ||||||||
250,500,000,000 | European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR) |
24,989,426 | ||||||||
128,560,000 | European Bank for Reconstruction & Development, EMTN, 9.000%, 4/28/2014, (BRL) |
57,638,391 | ||||||||
60,665,000 | European Investment Bank, MTN, 6.250%, 4/15/2015, (AUD) |
58,406,029 | ||||||||
24,450,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
20,347,235 | ||||||||
8,300,000 | International Bank for Reconstruction & Development, 1.430%, 3/05/2014, (SGD) |
6,586,821 | ||||||||
72,900,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) |
29,652,022 | ||||||||
|
|
|||||||||
204,473,449 | ||||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Technology 1.2% |
||||||||||
31,237,000 | Alcatel-Lucent France, Inc., 8.500%, 1/15/2016, (EUR) |
$ | 43,200,850 | |||||||
93,399,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
70,749,742 | ||||||||
5,845,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
4,383,750 | ||||||||
34,955,000 | Amkor Technology, Inc., 6.375%, 10/01/2022 |
34,343,287 | ||||||||
14,000,000 | First Data Corp., 10.625%, 6/15/2021, 144A |
13,825,000 | ||||||||
8,015,000 | First Data Corp., 11.250%, 1/15/2021, 144A |
7,994,963 | ||||||||
475,000 | Motorola Solutions, Inc., 6.000%, 11/15/2017 |
535,857 | ||||||||
2,562,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
2,652,705 | ||||||||
225,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
265,091 | ||||||||
3,615,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019, 144A |
3,633,075 | ||||||||
|
|
|||||||||
181,584,320 | ||||||||||
|
|
|||||||||
Textile 0.0% |
||||||||||
2,595,000 | Jones Group, Inc. (The), 6.125%, 11/15/2034 |
2,063,025 | ||||||||
3,450,000 | Jones Group, Inc./Apparel Group Holdings/Apparel Group USA/Footwear Accessories Retail, 6.875%, 3/15/2019 |
3,467,250 | ||||||||
|
|
|||||||||
5,530,275 | ||||||||||
|
|
|||||||||
Transportation Services 0.4% |
||||||||||
10,503,000 | APL Ltd., 8.000%, 1/15/2024(c) |
9,872,820 | ||||||||
6,640,573 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 7/02/2015 |
6,706,979 | ||||||||
6,862,758 | Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(f)(h) |
8,921,585 | ||||||||
5,629,813 | Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020 |
5,742,409 | ||||||||
4,736,525 | Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016 |
4,783,891 | ||||||||
4,744,556 | Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(f)(h) |
6,642,378 | ||||||||
2,349,241 | Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017 |
2,513,688 | ||||||||
3,970,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
4,674,679 | ||||||||
4,115,000 | Jack Cooper Holdings Corp., 9.250%, 6/01/2020, 144A |
4,115,000 | ||||||||
|
|
|||||||||
53,973,429 | ||||||||||
|
|
|||||||||
Treasuries 15.1% |
||||||||||
80,220,000 | Canadian Government, 1.000%, 8/01/2016, (CAD) |
75,241,432 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Treasuries continued |
| |||||||||
272,755,000 | Canadian Government, 2.250%, 8/01/2014, (CAD) |
$ | 262,360,381 | |||||||
201,485,000 | Canadian Government, 2.500%, 6/01/2015, (CAD) |
196,228,036 | ||||||||
89,045,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) |
88,039,995 | ||||||||
171,980,000 | Canadian Government, 3.750%, 6/01/2019, (CAD) |
179,498,913 | ||||||||
25,445,000 | Canadian Government, 4.250%, 6/01/2018, (CAD) |
26,942,619 | ||||||||
32,535,000 | Ireland Government Bond, 4.500%, 10/18/2018, (EUR) |
45,167,078 | ||||||||
80,820,000 | Ireland Government Bond, 4.500%, 4/18/2020, (EUR) |
109,829,761 | ||||||||
24,400,000 | Ireland Government Bond, 5.000%, 10/18/2020, (EUR) |
34,031,104 | ||||||||
121,560,000 | Ireland Government Bond, 5.400%, 3/13/2025, (EUR) |
171,538,689 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.000%, 8/01/2034, (EUR) |
1,895,181 | ||||||||
1,440,000 | Italy Buoni Poliennali Del Tesoro, 5.250%, 11/01/2029, (EUR) |
1,954,786 | ||||||||
1,435,000 | Italy Buoni Poliennali Del Tesoro, 5.750%, 2/01/2033, (EUR) |
2,053,510 | ||||||||
16,739,481 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
150,093,555 | |||||||
75,670,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) |
64,879,804 | ||||||||
836,485,000 | Norwegian Government Bond, 4.250%, 5/19/2017, (NOK) |
150,820,269 | ||||||||
1,266,835,000 | Norwegian Government Bond, 5.000%, 5/15/2015, (NOK) |
222,131,744 | ||||||||
23,580,000 | Portugal Obrigacoes do Tesouro OT, 3.850%, 4/15/2021, (EUR) |
26,201,910 | ||||||||
1,995,000 | Portugal Obrigacoes do Tesouro OT, 4.100%, 4/15/2037, (EUR) |
1,808,836 | ||||||||
6,225,000 | Portugal Obrigacoes do Tesouro OT, 4.800%, 6/15/2020, (EUR) |
7,478,855 | ||||||||
43,330,000 | Portugal Obrigacoes do Tesouro OT, 4.950%, 10/25/2023, (EUR) |
50,303,580 | ||||||||
65,300,000 | Singapore Government Bond, 1.375%, 10/01/2014, (SGD) |
52,270,705 | ||||||||
72,860,000 | U.S. Treasury Bond, 2.750%, 11/15/2042 |
62,819,018 | ||||||||
81,630,000 | U.S. Treasury Bond, 2.875%, 5/15/2043 |
72,242,550 | ||||||||
169,985,000 | U.S. Treasury Note, 0.250%, 6/30/2014 |
170,084,611 | ||||||||
|
|
|||||||||
2,225,916,922 | ||||||||||
|
|
|||||||||
Wireless 0.7% |
| |||||||||
293,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
21,899,005 | ||||||||
31,041,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
29,799,360 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Wireless continued |
| |||||||||
$ | 29,252,000 | Sprint Capital Corp., 6.900%, 5/01/2019 |
$ | 30,422,080 | ||||||
6,260,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
6,886,000 | ||||||||
11,309,000 | Sprint Nextel Corp., 6.000%, 12/01/2016 |
11,930,995 | ||||||||
|
|
|||||||||
100,937,440 | ||||||||||
|
|
|||||||||
Wirelines 3.9% |
| |||||||||
2,825,000 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A(i) |
2,599,000 | ||||||||
4,370,000 | Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD) |
4,895,547 | ||||||||
21,480,000 | Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD) |
22,940,526 | ||||||||
72,320,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
75,393,600 | ||||||||
765,000 | CenturyLink, Inc., 7.650%, 3/15/2042 |
726,750 | ||||||||
7,410,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
7,224,750 | ||||||||
2,965,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,816,750 | ||||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
329,000 | ||||||||
17,900,000 | Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR) |
21,552,061 | ||||||||
5,330,000 | Embarq Corp., 7.995%, 6/01/2036 |
5,623,928 | ||||||||
37,225,000 | FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A |
36,852,750 | ||||||||
38,336,000 | Frontier Communications Corp., 7.875%, 1/15/2027 |
37,138,000 | ||||||||
1,120,000 | Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP) |
1,865,916 | ||||||||
1,800,000 | Koninklijke (Royal) KPN NV, GMTN, 4.000%, 6/22/2015, (EUR) |
2,471,129 | ||||||||
28,505,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
28,433,737 | ||||||||
5,965,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 |
6,352,725 | ||||||||
2,555,000 | Level 3 Financing, Inc., 9.375%, 4/01/2019 |
2,759,400 | ||||||||
500,000 | OTE PLC, GMTN, 4.625%, 5/20/2016, (EUR) |
608,586 | ||||||||
16,550,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
19,217,023 | ||||||||
29,750,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
38,250,089 | ||||||||
750,000 | Portugal Telecom International Finance BV, EMTN, 5.625%, 2/08/2016, (EUR) |
1,020,168 | ||||||||
800,000 | Portugal Telecom International Finance BV, GMTN, 4.375%, 3/24/2017, (EUR) |
1,042,621 | ||||||||
16,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
18,050,175 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Non-Convertible Bonds continued |
||||||||||
Wirelines continued |
| |||||||||
$ | 42,460,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
$ | 40,761,600 | ||||||
12,463,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
13,709,300 | ||||||||
32,395,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
31,909,075 | ||||||||
31,060,000 | Qwest Corp., 6.875%, 9/15/2033 |
30,050,550 | ||||||||
3,075,000 | Qwest Corp., 7.200%, 11/10/2026 |
3,090,375 | ||||||||
3,999,000 | Qwest Corp., 7.250%, 9/15/2025 |
4,471,438 | ||||||||
28,906,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
26,212,076 | ||||||||
22,645,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
21,148,754 | ||||||||
5,250,000 | Telefonica Emisiones SAU, 4.570%, 4/27/2023 |
5,025,820 | ||||||||
4,350,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
4,775,835 | ||||||||
31,690,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
32,567,147 | ||||||||
18,600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
19,372,156 | ||||||||
3,346,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
4,168,099 | ||||||||
2,080,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
2,180,780 | ||||||||
|
|
|||||||||
577,607,236 | ||||||||||
|
|
|||||||||
Total Non-Convertible Bonds (Identified Cost $8,901,102,686) |
9,308,808,216 | |||||||||
|
|
|||||||||
Convertible Bonds 8.1% |
||||||||||
Airlines 0.0% |
| |||||||||
1,255,000 | United Continental Holdings, Inc., 4.500%, 6/30/2021 |
1,304,660 | ||||||||
|
|
|||||||||
Automotive 1.6% |
| |||||||||
4,240,000 | ArvinMeritor, Inc., (Step to Zero Coupon on 2/15/2019), 4.000%, 2/15/2027(i) |
3,747,100 | ||||||||
125,580,000 | Ford Motor Co., 4.250%, 11/15/2016 |
226,907,362 | ||||||||
8,460,000 | Navistar International Corp., 3.000%, 10/15/2014 |
8,216,775 | ||||||||
|
|
|||||||||
238,871,237 | ||||||||||
|
|
|||||||||
Brokerage 0.0% |
| |||||||||
5,025,000 | Jefferies Group LLC, 3.875%, 11/01/2029 |
5,354,766 | ||||||||
|
|
|||||||||
Diversified Manufacturing 0.3% |
| |||||||||
30,570,000 | Owens-Brockway Glass Container, Inc., 3.000%, 6/01/2015, 144A |
30,952,125 |
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds continued |
||||||||||
Diversified Manufacturing continued |
||||||||||
$ | 16,727,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
$ | 19,612,407 | ||||||
|
|
|||||||||
50,564,532 | ||||||||||
|
|
|||||||||
Electric 0.0% |
||||||||||
1,800,000 | CMS Energy Corp., 5.500%, 6/15/2029 |
3,562,875 | ||||||||
|
|
|||||||||
Healthcare 0.5% |
||||||||||
10,700,000 | Hologic, Inc., (accretes to principal after 12/15/2013), 2.000%, 12/15/2037(i) |
10,733,437 | ||||||||
9,815,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i) |
9,710,716 | ||||||||
1,810,000 | Illumina, Inc., 0.250%, 3/15/2016, 144A |
1,957,063 | ||||||||
2,380,000 | LifePoint Hospitals, Inc., 3.500%, 5/15/2014 |
2,573,375 | ||||||||
3,780,000 | Omnicare, Inc., 3.250%, 12/15/2035 |
3,893,400 | ||||||||
20,495,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
37,915,750 | ||||||||
|
|
|||||||||
66,783,741 | ||||||||||
|
|
|||||||||
Home Construction 0.6% |
||||||||||
52,005,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
87,303,394 | ||||||||
|
|
|||||||||
Independent Energy 0.3% |
||||||||||
20,440,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 |
17,910,550 | ||||||||
24,655,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
23,221,928 | ||||||||
9,196,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
9,127,030 | ||||||||
|
|
|||||||||
50,259,508 | ||||||||||
|
|
|||||||||
Life Insurance 0.6% |
||||||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
82,029,375 | ||||||||
|
|
|||||||||
Media Non-Cable 0.0% |
||||||||||
5,778,282 | Liberty Media LLC, 3.500%, 1/15/2031 |
2,961,370 | ||||||||
|
|
|||||||||
Metals & Mining 0.2% |
||||||||||
1,000,000 | Steel Dynamics, Inc., 5.125%, 6/15/2014 |
1,066,875 | ||||||||
21,845,000 | United States Steel Corp., 2.750%, 4/01/2019 |
21,558,284 | ||||||||
|
|
|||||||||
22,625,159 | ||||||||||
|
|
|||||||||
Non-Captive Diversified 0.1% |
||||||||||
10,660,000 | iStar Financial, Inc., 3.000%, 11/15/2016 |
12,645,425 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Convertible Bonds continued |
||||||||||
REITs - Warehouse/Industrials 0.2% |
| |||||||||
$ | 19,445,000 | ProLogis LP, 3.250%, 3/15/2015 |
$ | 22,446,822 | ||||||
|
|
|||||||||
Technology 2.9% |
| |||||||||
49,215,000 | Ciena Corp., 0.875%, 6/15/2017 |
47,307,919 | ||||||||
7,185,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
8,990,231 | ||||||||
6,075,000 | Ciena Corp., 4.000%, 3/15/2015, 144A |
7,130,531 | ||||||||
2,429,000 | Intel Corp., 2.950%, 12/15/2035 |
2,643,056 | ||||||||
205,005,000 | Intel Corp., 3.250%, 8/01/2039 |
261,253,247 | ||||||||
1,055,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 |
1,170,391 | ||||||||
52,965,000 | Micron Technology, Inc., Series B, 1.875%, 8/01/2031 |
82,228,162 | ||||||||
8,550,000 | Micron Technology, Inc., Series C, 2.375%, 5/01/2032, 144A |
13,658,625 | ||||||||
6,000,000 | Micron Technology, Inc., Series D, 3.125%, 5/01/2032, 144A |
9,573,750 | ||||||||
|
|
|||||||||
433,955,912 | ||||||||||
|
|
|||||||||
Wirelines 0.8% |
| |||||||||
3,220,500 | Axtel SAB de CV, (Step to 8.000% on 1/31/2014), 7.000%, 1/31/2020, 144A, (MXN)(c)(g)(i)(j) |
417,818 | ||||||||
6,000,000 | Level 3 Communications, Inc., 6.500%, 10/01/2016 |
8,186,250 | ||||||||
54,075,000 | Level 3 Communications, Inc., 7.000%, 3/15/2015, 144A(c) |
62,929,782 | ||||||||
32,895,000 | Level 3 Communications, Inc., Series B, 7.000%, 3/15/2015(c) |
38,281,556 | ||||||||
900,000 | Portugal Telecom International Finance BV, Series PTC, 4.125%, 8/28/2014, (EUR) |
1,186,128 | ||||||||
|
|
|||||||||
111,001,534 | ||||||||||
|
|
|||||||||
Total Convertible Bonds (Identified Cost $891,246,474) |
1,191,670,310 | |||||||||
|
|
|||||||||
Municipals 1.0% |
||||||||||
District of Columbia 0.0% |
| |||||||||
3,850,000 | Metropolitan Washington DC Airports Authority, Series D, 8.000%, 10/01/2047 |
4,387,653 | ||||||||
|
|
|||||||||
Illinois 0.3% |
| |||||||||
1,725,000 | Chicago OHare International Airport, Series A, (AGMC insured), 4.500%, 1/01/2038 |
1,655,724 | ||||||||
47,285,000 | State of Illinois, 5.100%, 6/01/2033 |
43,878,589 | ||||||||
|
|
|||||||||
45,534,313 | ||||||||||
|
|
|||||||||
Michigan 0.1% |
| |||||||||
12,580,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 |
10,809,742 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Bonds and Notes continued |
||||||||||
Municipals continued |
||||||||||
Virginia 0.6% |
||||||||||
$ | 125,265,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
$ | 94,058,983 | ||||||
|
|
|||||||||
Total Municipals (Identified Cost $179,266,554) |
154,790,691 | |||||||||
|
|
|||||||||
Total Bonds and Notes (Identified Cost $9,971,615,714) |
10,655,269,217 | |||||||||
|
|
|||||||||
Senior Loans 2.4% |
||||||||||
Airlines 0.2% |
||||||||||
28,014,971 | Delta Air Lines, Inc., New Term Loan B1, 4.000%, 10/18/2018(b) |
27,955,018 | ||||||||
|
|
|||||||||
Automotive 0.1% |
||||||||||
11,451,300 | TI Group Automotive Systems LLC, Term Loan B, 5.500%, 3/27/2019(b) |
11,558,713 | ||||||||
|
|
|||||||||
Chemicals 0.2% |
||||||||||
2,000,000 | AI Chem & Cy S.C.A., 2nd Lien Term Loan, 8.250%, 4/03/2020(b) |
2,000,000 | ||||||||
31,355,000 | Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/18/2020(b) |
31,982,100 | ||||||||
|
|
|||||||||
Total Chemicals |
33,982,100 | |||||||||
|
|
|||||||||
Consumer Products 0.1% |
||||||||||
8,589,669 | Visant Holding Corp., Term Loan B, 5.250%, 12/22/2016(b) |
8,169,377 | ||||||||
|
|
|||||||||
Diversified Manufacturing 0.0% |
||||||||||
6,385,000 | Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/18/2020(b) |
6,432,888 | ||||||||
|
|
|||||||||
Electric 0.0% |
||||||||||
4,788,467 | Texas Competitive Electric Holdings Company LLC, Non-Extended Term Loan, 3.720%, 10/10/2014(k) |
3,426,770 | ||||||||
|
|
|||||||||
Food & Beverage 0.1% |
||||||||||
13,547,054 | DS Waters Enterprises LP, 1st Lien Term Loan, 10.500%, 8/29/2017(b) |
13,885,730 | ||||||||
|
|
|||||||||
Healthcare 0.1% |
||||||||||
20,825,000 | Apria Healthcare Group I, Term Loan, 6.750%, 4/05/2020(b) |
20,818,544 | ||||||||
|
|
|||||||||
Media Non-Cable 0.1% |
||||||||||
19,892,721 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/31/2015(b) |
15,603,453 | ||||||||
|
|
|||||||||
Metals & Mining 0.3% |
||||||||||
11,532,850 | Essar Steel Algoma, Inc., ABL Term Loan, 8.750%, 9/19/2014(b) |
11,698,693 | ||||||||
33,501,838 | FMG America Finance, Inc., Term Loan, 5.250%, 10/18/2017(b) |
33,276,705 | ||||||||
|
|
|||||||||
Total Metals & Mining |
44,975,398 | |||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||||
Senior Loans continued |
||||||||||
Non-Captive Diversified 0.6% |
||||||||||
$ | 84,000,000 | iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/17/2017(b) |
$ | 87,920,280 | ||||||
|
|
|||||||||
Oil Field Services 0.2% |
||||||||||
24,930,164 | Frac Tech International LLC, Term Loan B, 8.500%, 5/06/2016(b) |
23,953,649 | ||||||||
|
|
|||||||||
Other Utility 0.0% |
||||||||||
1,165,000 | Power Team Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b) |
1,150,438 | ||||||||
1,298,000 | Power Team Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b) |
1,275,285 | ||||||||
|
|
|||||||||
Total Other Utility |
2,425,723 | |||||||||
|
|
|||||||||
Supermarket 0.1% |
||||||||||
13,849,737 | Supervalu, Inc., Refi Term Loan B, 5.000%, 3/21/2019(b) |
13,743,925 | ||||||||
|
|
|||||||||
Technology 0.1% |
||||||||||
4,159,375 | Alcatel-Lucent USA, Inc., USD Term Loan B, 6.250%, 8/01/2016(b) |
4,191,236 | ||||||||
9,104,872 | Alcatel-Lucent USA, Inc., USD Term Loan C, 7.250%, 1/30/2019(b) |
9,176,982 | ||||||||
|
|
|||||||||
Total Technology |
13,368,218 | |||||||||
|
|
|||||||||
Wirelines 0.2% |
||||||||||
17,709,218 | Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b) |
17,664,945 | ||||||||
1,495,000 | Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b) |
1,528,637 | ||||||||
2,645,000 | Light Tower Fiber LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b) |
2,645,000 | ||||||||
|
|
|||||||||
21,838,582 | ||||||||||
|
|
|||||||||
Total Senior Loans (Identified Cost $348,051,948) |
350,058,368 | |||||||||
|
|
|||||||||
Shares |
||||||||||
Common Stocks 19.7% |
||||||||||
Biotechnology 0.5% |
||||||||||
930,495 | Vertex Pharmaceuticals, Inc.(f) |
74,318,636 | ||||||||
|
|
|||||||||
Chemicals 2.3% |
||||||||||
1,364,851 | Dow Chemical Co. (The) |
43,907,257 | ||||||||
2,000,000 | PPG Industries, Inc. |
292,820,000 | ||||||||
|
|
|||||||||
336,727,257 | ||||||||||
|
|
|||||||||
Containers & Packaging 0.1% |
||||||||||
460,656 | Owens-Illinois, Inc.(f) |
12,801,630 | ||||||||
2,304 | Rock-Tenn Co., Class A |
230,124 | ||||||||
|
|
|||||||||
13,031,754 | ||||||||||
|
|
|||||||||
Diversified Financial Services 0.4% |
||||||||||
3,979,932 | Bank of America Corp. |
51,181,925 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Diversified Telecommunication Services 1.9% |
||||||||||
183,181 | FairPoint Communications, Inc.(f) |
$ | 1,529,561 | |||||||
283,397 | Hawaiian Telcom Holdco, Inc.(f) |
7,130,269 | ||||||||
200,000 | Telecom Italia SpA, Sponsored ADR |
1,390,000 | ||||||||
3,871,339 | Telecom Italia SpA, Sponsored ADR |
21,563,358 | ||||||||
19,550,590 | Telefonica S.A., Sponsored ADR(f) |
250,443,058 | ||||||||
|
|
|||||||||
282,056,246 | ||||||||||
|
|
|||||||||
Electric Utilities 0.0% |
||||||||||
94,166 | Duke Energy Corp. |
6,356,205 | ||||||||
|
|
|||||||||
Electronic Equipment, Instruments & Components 3.1% |
||||||||||
32,000,000 | Corning, Inc. |
455,360,000 | ||||||||
|
|
|||||||||
Food Products 0.6% |
||||||||||
2,309,175 | ConAgra Foods, Inc. |
80,659,483 | ||||||||
|
|
|||||||||
Household Durables 0.2% |
||||||||||
477,725 | KB Home |
9,377,742 | ||||||||
549,450 | Lennar Corp., Class A |
19,802,178 | ||||||||
|
|
|||||||||
29,179,920 | ||||||||||
|
|
|||||||||
Insurance 0.8% |
||||||||||
1,510,275 | Prudential Financial, Inc. |
110,295,383 | ||||||||
|
|
|||||||||
Oil, Gas & Consumable Fuels 1.8% |
||||||||||
846,398 | Chesapeake Energy Corp. |
17,249,591 | ||||||||
5,351,804 | Repsol YPF S.A., Sponsored ADR |
113,244,173 | ||||||||
2,134,173 | Royal Dutch Shell PLC, ADR |
136,160,237 | ||||||||
141,249 | Spectra Energy Corp. |
4,867,441 | ||||||||
|
|
|||||||||
271,521,442 | ||||||||||
|
|
|||||||||
Pharmaceuticals 3.6% |
||||||||||
8,514,190 | Bristol-Myers Squibb Co. |
380,499,151 | ||||||||
2,288 | Teva Pharmaceutical Industries, Ltd., Sponsored ADR |
89,690 | ||||||||
1,708,077 | Valeant Pharmaceuticals International, Inc.(f) |
147,031,268 | ||||||||
|
|
|||||||||
527,620,109 | ||||||||||
|
|
|||||||||
REITs - Apartments 0.3% |
||||||||||
290,904 | Apartment Investment & Management Co., Class A |
8,738,756 | ||||||||
889,730 | Associated Estates Realty Corp. |
14,306,858 | ||||||||
460,000 | Equity Residential |
26,707,600 | ||||||||
|
|
|||||||||
49,753,214 | ||||||||||
|
|
|||||||||
REITs - Regional Malls 0.1% |
||||||||||
123,159 | Simon Property Group, Inc. |
19,449,269 | ||||||||
|
|
|||||||||
REITs - Shopping Centers 0.0% |
||||||||||
201,557 | DDR Corp. |
3,355,924 | ||||||||
|
|
|||||||||
Semiconductors & Semiconductor Equipment 2.4% |
||||||||||
14,733,856 | Intel Corp. |
356,853,992 | ||||||||
|
|
|||||||||
Software 1.5% |
||||||||||
6,568,091 | Microsoft Corp. |
226,796,182 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Trading Companies & Distributors 0.1% |
||||||||||
176,859 | United Rentals, Inc.(f) |
$ | 8,827,033 | |||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $2,330,573,115) |
2,903,343,974 | |||||||||
|
|
|||||||||
Preferred Stocks 3.9% |
||||||||||
Convertible Preferred Stocks 3.0% |
||||||||||
Automotive 1.1% |
||||||||||
2,826,055 | General Motors Co., Series B, 4.750% |
136,102,809 | ||||||||
657,940 | Goodyear Tire & Rubber Co. (The), 5.875% |
32,410,124 | ||||||||
|
|
|||||||||
168,512,933 | ||||||||||
|
|
|||||||||
Banking 0.2% |
||||||||||
19,062 | Bank of America Corp., Series L, 7.250% |
21,168,351 | ||||||||
8,533 | Wells Fargo & Co., Series L, Class A, 7.500% |
10,188,402 | ||||||||
|
|
|||||||||
31,356,753 | ||||||||||
|
|
|||||||||
Electric 0.1% |
||||||||||
380,577 | AES Trust III, 6.750% |
19,150,635 | ||||||||
|
|
|||||||||
Home Construction 0.1% |
||||||||||
355,000 | Hovnanian Enterprises, Inc., 7.250% |
10,124,600 | ||||||||
|
|
|||||||||
Independent Energy 0.3% |
||||||||||
52,020 | Chesapeake Energy Corp., 4.500% |
4,656,830 | ||||||||
59,882 | Chesapeake Energy Corp., 5.000% |
5,183,985 | ||||||||
24,658 | Chesapeake Energy Corp., Series A, 5.750%, 144A |
25,289,861 | ||||||||
61,053 | SandRidge Energy, Inc., 7.000% |
5,231,479 | ||||||||
99,800 | SandRidge Energy, Inc., 8.500% |
9,555,850 | ||||||||
|
|
|||||||||
49,918,005 | ||||||||||
|
|
|||||||||
Metals & Mining 0.3% |
||||||||||
2,436,301 | ArcelorMittal, 6.000% |
45,729,370 | ||||||||
|
|
|||||||||
Non-Captive Diversified 0.2% |
||||||||||
433,535 | iStar Financial, Inc., Series J, 4.500% |
23,410,890 | ||||||||
|
|
|||||||||
Pipelines 0.1% |
||||||||||
242,297 | El Paso Energy Capital Trust I, 4.750% |
14,171,951 | ||||||||
|
|
|||||||||
REITs - Diversified 0.1% |
||||||||||
391,776 | Weyerhaeuser Co., Series A, 6.375% |
19,984,494 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks continued |
||||||||||
Convertible Preferred Stocks continued |
||||||||||
REITs - Healthcare 0.1% |
||||||||||
116,700 | Health Care REIT, Inc., Series I, 6.500% |
$ | 7,245,903 | |||||||
|
|
|||||||||
Technology 0.4% |
||||||||||
58,020 | Lucent Technologies Capital Trust I, 7.750% |
55,409,100 | ||||||||
|
|
|||||||||
Total Convertible Preferred Stocks (Identified Cost $426,913,406) |
445,014,634 | |||||||||
|
|
|||||||||
Non-Convertible Preferred Stocks 0.9% |
||||||||||
Banking 0.5% |
||||||||||
45,861 | Ally Financial, Inc., Series G, 7.000%, 144A |
43,589,450 | ||||||||
35,000 | Bank of America Corp., 6.375% |
859,250 | ||||||||
847,800 | Citigroup Capital XIII, (fixed rate to 10/30/2015, variable rate thereafter), 7.875% |
23,611,230 | ||||||||
389,800 | Countrywide Capital IV, 6.750% |
9,741,102 | ||||||||
|
|
|||||||||
77,801,032 | ||||||||||
|
|
|||||||||
Electric 0.0% |
||||||||||
393 | Entergy New Orleans, Inc., 4.750% |
38,305 | ||||||||
|
|
|||||||||
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(i) |
26,999,375 | ||||||||
|
|
|||||||||
Home Construction 0.0% |
||||||||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(f) |
3,767,170 | ||||||||
|
|
|||||||||
Non-Captive Consumer 0.1% |
||||||||||
101,175 | SLM Corp., Series A, 6.970% |
4,999,057 | ||||||||
|
|
|||||||||
Non-Captive Diversified 0.0% |
||||||||||
10,425 | iStar Financial, Inc., Series G, 7.650% |
244,675 | ||||||||
39,300 | iStar Financial, Inc., Series F, 7.800% |
945,951 | ||||||||
39,200 | iStar Financial, Inc., Series E, 7.875% |
936,880 | ||||||||
|
|
|||||||||
2,127,506 | ||||||||||
|
|
|||||||||
REITs - Office Property 0.0% |
||||||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% |
1,872,307 | ||||||||
|
|
|||||||||
REITs - Warehouse/Industrials 0.1% |
||||||||||
116,192 | ProLogis, Inc., Series Q, 8.540% |
7,203,904 | ||||||||
|
|
Shares |
Description |
Value () | ||||||||
Preferred Stocks continued |
||||||||||
Non-Convertible Preferred Stocks continued |
||||||||||
Total Non-Convertible Preferred Stocks (Identified Cost $84,691,051) |
$ | 124,808,656 | ||||||||
|
|
|||||||||
Total Preferred Stocks (Identified Cost $511,604,457) |
569,823,290 | |||||||||
|
|
|||||||||
Closed End Investment Companies 0.0% |
||||||||||
681,131 | NexPoint Credit Strategies Fund (Identified Cost $10,230,352) |
5,360,501 | ||||||||
|
|
|||||||||
Principal Amount () |
||||||||||
Short-Term Investments 0.5% |
||||||||||
$ | 2,699,059 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/28/2013 at 0.010% to be repurchased at $2,699,061 on 7/01/2013 collateralized by $3,010,000 Federal National Mortgage Association, 2.080% due 11/02/2022 valued at $2,835,377 including accrued interest(l) |
2,699,059 | |||||||
70,959,915 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $70,959,915
on 7/01/2013 collateralized by $75,005,000 Federal Home Loan Mortgage Corp., 1.650% due 11/15/2019 valued at $72,379,825 including accrued |
70,959,915 | ||||||||
|
|
|||||||||
Total Short-Term Investments (Identified Cost $73,658,974) |
73,658,974 | |||||||||
|
|
|||||||||
Total Investments 98.8% (Identified Cost $13,245,734,560)(a) |
14,557,514,324 | |||||||||
Other assets less liabilities 1.2% |
171,509,817 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 14,729,024,141 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $13,275,926,882 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 |
$ | 1,923,403,317 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(641,815,875 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 1,281,587,442 | ||
|
|
(b) | Variable rate security. Rate as of June 30, 2013 is disclosed. |
(c) | Illiquid security. At June 30, 2013, the value of these securities amounted to $188,589,131 or 1.3% of net assets. |
(d) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(e) | All or a portion of interest payment is paid-in-kind. |
(f) | Non-income producing security. |
(g) | Fair valued by the Funds investment adviser. At June 30, 2013, the value of this security amounted to $11,941,864 or 0.1% of net assets. |
(h) | Maturity has been extended under the terms of a plan of reorganization. |
(i) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(j) | Convertible dollar-indexed note. Coupon rate is based on MXN denominated par value and is payable in USD. |
(k) | Variable rate security. Rate shown represents the weighted average rate of underlying contracts at June 30, 2013. |
(l) | It is the Funds policy that the market value of the collateral for repurchase agreements be at least equal to 102% of the repurchase price, including interest. Certain repurchase agreements are tri-party arrangements whereby the collateral is held in a segregated account for the benefit of the Fund and on behalf of the counterparty. Repurchase agreements could involve certain risks in the event of default or insolvency of the counterparty including possible delays or restrictions upon a Funds ability to dispose of the underlying securities. |
144A | All or a portion of these securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At June 30, 2013, the value of Rule 144A holdings amounted to $1,936,055,258 or 13.1% 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 |
USD | U.S. 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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
Airlines |
$ | | $ | 42,933,970 | $ | 331,864,304 | (a) | $ | 374,798,274 | |||||||
Non-Captive Consumer |
2,510,250 | 527,517,953 | | 530,028,203 | ||||||||||||
Retailers |
| 101,029,445 | 11,524,046 | (a) | 112,553,491 | |||||||||||
Transportation Services |
| 18,662,499 | 35,310,930 | (a) | 53,973,429 | |||||||||||
All Other Non-Convertible Bonds* |
| 8,237,454,819 | | 8,237,454,819 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
2,510,250 | 8,927,598,686 | 378,699,280 | 9,308,808,216 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds |
||||||||||||||||
Wirelines |
| 110,583,716 | 417,818 | (b) | 111,001,534 | |||||||||||
All Other Convertible Bonds* |
| 1,080,668,776 | | 1,080,668,776 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Bonds |
| 1,191,252,492 | 417,818 | 1,191,670,310 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Municipals* |
| 154,790,691 | | 154,790,691 | ||||||||||||
Total Bonds and Notes |
2,510,250 | 10,273,641,869 | 379,117,098 | 10,655,269,217 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 350,058,368 | | 350,058,368 | ||||||||||||
Common Stocks* |
2,903,343,974 | | | 2,903,343,974 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks* |
445,014,634 | | | 445,014,634 | ||||||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Banking |
34,211,582 | 43,589,450 | | 77,801,032 | ||||||||||||
Electric |
| 38,305 | | 38,305 | ||||||||||||
Government Sponsored |
| 26,999,375 | | 26,999,375 | ||||||||||||
REITsOffice Property |
| 1,872,307 | | 1,872,307 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
18,097,637 | | | 18,097,637 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
52,309,219 | 72,499,437 | | 124,808,656 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
497,323,853 | 72,499,437 | | 569,823,290 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Closed End Investment Companies |
5,360,501 | | | 5,360,501 | ||||||||||||
Short-Term Investments |
| 73,658,974 | | 73,658,974 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 3,408,538,578 | $ | 10,769,858,648 | $ | 379,117,098 | $ | 14,557,514,324 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
(b) | Fair valued by the Funds investment adviser. |
A preferred stock valued at $10,859,238 was transferred from Level 2 to Level 1 during the period ended June 30, 2013. At June 30, 2013, this security was valued at the last sale price in accordance with the Funds valuation policies.
All transfers are recognized as of the beginning of the reporting period.
The Funds pricing policies and procedures are recommended by the investment adviser and approved by the Board of Trustees. Debt securities are generally valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. Broker-dealer bid prices may be used if an independent pricing service either is unable to price a security or does not provide a reliable price for a security. Broker-dealer bid prices for which the Fund does not have knowledge of the inputs used by the broker-dealer are categorized in Level 3. All security prices, including those obtained from an independent pricing service and broker-dealer bid prices, are reviewed on a daily basis by the investment adviser, subject to oversight by Fund management under the general supervision of the Board of Trustees. If the investment adviser, in good faith, believes that the price provided by an independent pricing service is unreliable, broker-dealer bid prices may be used until the price provided by the independent pricing service is considered to be reliable. Reliability of all security prices, including those obtained from an independent pricing service and broker-dealer bid prices, is tested in a variety of ways, including comparison to recent transaction prices and daily fluctuations, amongst other validation procedures in place. Securities for which market quotations are not readily available are valued at fair value as determined in good faith by the Funds investment adviser under the general supervision of the Board of Trustees. Fair valued securities may be categorized in Level 3.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value as of June 30, 2013:
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 June 30, 2013 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2013 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Airlines |
$ | | $ | 165,564 | $ | 1,460,390 | $ | 2,488,933 | $ | 53,430,000 | $ | (35,845,948 | ) | $ | 310,165,365 | $ | | $ | 331,864,304 | $ | 2,488,933 | |||||||||||||||||||
Banking |
18,800,082 | | | | | | | (18,800,082 | ) | | | |||||||||||||||||||||||||||||
Electric |
12,874,750 | | | 5,360,250 | | (18,235,000 | ) | | | | | |||||||||||||||||||||||||||||
Retailers |
| 23,026 | | 152,670 | | | 11,348,350 | | 11,524,046 | 152,670 | ||||||||||||||||||||||||||||||
Sovereigns |
21,173,458 | | | | | | | (21,173,458 | ) | | | |||||||||||||||||||||||||||||
Transportation Services |
8,953,808 | | 555,537 | 6,874,550 | | (3,454,634 | ) | 31,335,477 | (8,953,808 | ) | 35,310,930 | 6,874,550 | ||||||||||||||||||||||||||||
Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Wirelines |
| | (12 | ) | (83,210 | ) | 1,002,079 | (501,039 | ) | | | 417,818 | (83,210 | ) | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 61,802,098 | $ | 188,590 | $ | 2,015,915 | $ | 14,793,193 | $ | 54,432,079 | $ | (58,036,621 | ) | $ | 352,849,192 | $ | (48,927,348 | ) | $ | 379,117,098 | $ | 9,432,943 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Debt securities valued at $352,849,192 were transferred from Level 2 to Level 3 during the period ended June 30, 2013. At June 30, 2013, these securities were valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the securities.
Debt securities valued at $48,927,348 were transferred from Level 3 to Level 2 during the period ended June 30, 2013. At June 30, 2013, 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.
Unfunded Loan Commitments
The Fund may enter into unfunded loan commitments, which are contractual obligations for future funding. Unfunded loan commitments are marked-to-market daily with the resulting unrealized appreciation (depreciation) recorded on the Funds books and records. As of June 30, 2013, the Fund had one unfunded loan commitment which could be funded at the option of the following Borrower, pursuant to the loan agreement:
Borrower |
Unfunded Loan Commitment |
|||
Power Team Services LLC |
$ | 145,000 |
Industry Summary at June 30, 2013 (Unaudited)
Treasuries |
15.1 | % | ||
Banking |
8.0 | |||
Non-Captive Diversified |
5.1 | |||
Wirelines |
4.9 | |||
Technology |
4.6 | |||
Pharmaceuticals |
4.0 | |||
Non-Captive Consumer |
3.7 | |||
Automotive |
3.6 | |||
Electronic Equipment, Instruments & Components |
3.1 | |||
Chemicals |
2.9 | |||
Healthcare |
2.9 | |||
Airlines |
2.8 | |||
Electric |
2.4 | |||
Semiconductors & Semiconductor Equipment |
2.4 | |||
Other Investments, less than 2% each |
32.8 | |||
Short-Term Investments |
0.5 | |||
|
|
|||
Total Investments |
98.8 | |||
Other assets less liabilities |
1.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2013 (Unaudited)
United States Dollar |
70.7 | % | ||
Canadian Dollar |
6.8 | |||
Euro |
5.4 | |||
New Zealand Dollar |
4.1 | |||
Australian Dollar |
3.0 | |||
Norwegian Krone |
2.5 | |||
Brazilian Real |
2.1 | |||
Other, less than 2% each |
4.2 | |||
|
|
|||
Total Investments |
98.8 | |||
Other assets less liabilities |
1.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2013 (Unaudited)
Loomis Sayles Value Fund
Shares |
Description |
Value () | ||||||||
Common Stocks 96.8% of Net Assets |
||||||||||
Aerospace & Defense 2.8% |
| |||||||||
290,725 | Honeywell International, Inc. |
$ | 23,066,122 | |||||||
326,044 | Northrop Grumman Corp. |
26,996,443 | ||||||||
|
|
|||||||||
50,062,565 | ||||||||||
|
|
|||||||||
Automobiles 1.3% |
| |||||||||
685,163 | General Motors Co.(b) |
22,822,779 | ||||||||
|
|
|||||||||
Beverages 2.6% |
| |||||||||
526,035 | Coca-Cola Enterprises, Inc. |
18,495,391 | ||||||||
337,833 | PepsiCo, Inc. |
27,631,361 | ||||||||
|
|
|||||||||
46,126,752 | ||||||||||
|
|
|||||||||
Capital Markets 4.4% |
| |||||||||
373,729 | Ameriprise Financial, Inc. |
30,227,201 | ||||||||
507,662 | Legg Mason, Inc. |
15,742,599 | ||||||||
518,680 | State Street Corp. |
33,823,123 | ||||||||
|
|
|||||||||
79,792,923 | ||||||||||
|
|
|||||||||
Chemicals 1.3% |
| |||||||||
437,520 | E.I. du Pont de Nemours & Co. |
22,969,800 | ||||||||
|
|
|||||||||
Commercial Banks 6.0% |
| |||||||||
1,110,937 | Fifth Third Bancorp |
20,052,413 | ||||||||
383,378 | PNC Financial Services Group, Inc. (The) |
27,955,924 | ||||||||
469,701 | US Bancorp |
16,979,691 | ||||||||
1,016,659 | Wells Fargo & Co. |
41,957,517 | ||||||||
|
|
|||||||||
106,945,545 | ||||||||||
|
|
|||||||||
Communications Equipment 2.6% |
| |||||||||
886,339 | Cisco Systems, Inc. |
21,546,901 | ||||||||
427,380 | Motorola Solutions, Inc. |
24,672,647 | ||||||||
|
|
|||||||||
46,219,548 | ||||||||||
|
|
|||||||||
Computers & Peripherals 0.9% |
| |||||||||
41,510 | Apple, Inc. |
16,441,281 | ||||||||
|
|
|||||||||
Construction Materials 1.0% |
| |||||||||
354,519 | Vulcan Materials Co. |
17,162,265 | ||||||||
|
|
|||||||||
Consumer Finance 1.4% |
| |||||||||
522,576 | Discover Financial Services |
24,895,521 | ||||||||
|
|
|||||||||
Containers & Packaging 1.3% |
| |||||||||
951,284 | Sealed Air Corp. |
22,783,252 | ||||||||
|
|
|||||||||
Diversified Financial Services 5.7% |
| |||||||||
1,970,527 | Bank of America Corp. |
25,340,977 | ||||||||
605,560 | Citigroup, Inc. |
29,048,713 | ||||||||
926,972 | JPMorgan Chase & Co. |
48,934,852 | ||||||||
|
|
|||||||||
103,324,542 | ||||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
||||||||||
Diversified Telecommunication Services 1.2% |
| |||||||||
444,994 | Verizon Communications, Inc. |
$ | 22,400,998 | |||||||
|
|
|||||||||
Electric Utilities 2.2% |
| |||||||||
509,768 | FirstEnergy Corp. |
19,034,737 | ||||||||
261,550 | NextEra Energy, Inc. |
21,311,094 | ||||||||
|
|
|||||||||
40,345,831 | ||||||||||
|
|
|||||||||
Electrical Equipment 1.3% |
| |||||||||
360,606 | Eaton Corp. PLC |
23,731,481 | ||||||||
|
|
|||||||||
Energy Equipment & Services 2.2% |
| |||||||||
320,675 | Schlumberger Ltd. |
22,979,570 | ||||||||
337,447 | Transocean Ltd. |
16,180,584 | ||||||||
|
|
|||||||||
39,160,154 | ||||||||||
|
|
|||||||||
Food & Staples Retailing 1.3% |
| |||||||||
404,572 | CVS Caremark Corp. |
23,133,427 | ||||||||
|
|
|||||||||
Health Care Equipment & Supplies 2.6% |
| |||||||||
335,303 | Baxter International, Inc. |
23,226,439 | ||||||||
371,799 | Covidien PLC |
23,363,849 | ||||||||
|
|
|||||||||
46,590,288 | ||||||||||
|
|
|||||||||
Health Care Providers & Services 2.4% |
| |||||||||
390,326 | HCA Holdings, Inc. |
14,075,156 | ||||||||
455,907 | UnitedHealth Group, Inc. |
29,852,790 | ||||||||
|
|
|||||||||
43,927,946 | ||||||||||
|
|
|||||||||
Household Products 1.2% |
| |||||||||
291,937 | Procter & Gamble Co. (The) |
22,476,229 | ||||||||
|
|
|||||||||
Independent Power Producers & Energy Traders 1.7% |
| |||||||||
748,476 | Calpine Corp.(b) |
15,890,145 | ||||||||
560,541 | NRG Energy, Inc. |
14,966,445 | ||||||||
|
|
|||||||||
30,856,590 | ||||||||||
|
|
|||||||||
Industrial Conglomerates 1.7% |
| |||||||||
1,290,315 | General Electric Co. |
29,922,405 | ||||||||
|
|
|||||||||
Insurance 5.6% |
| |||||||||
488,678 | American International Group, Inc.(b) |
21,843,906 | ||||||||
669,947 | MetLife, Inc. |
30,656,775 | ||||||||
260,814 | Travelers Cos., Inc. (The) |
20,844,255 | ||||||||
910,024 | Unum Group |
26,727,405 | ||||||||
|
|
|||||||||
100,072,341 | ||||||||||
|
|
|||||||||
Internet & Catalog Retail 1.3% |
| |||||||||
1,039,255 | Liberty Interactive Corp., Class A(b) |
23,913,257 | ||||||||
|
|
|||||||||
Internet Software & Services 1.8% |
| |||||||||
464,297 | AOL, Inc.(b) |
16,937,555 | ||||||||
17,228 | Google, Inc., Class A(b) |
15,167,014 | ||||||||
|
|
|||||||||
32,104,569 | ||||||||||
|
|
Shares |
Description |
Value () | ||||||||
Common Stocks continued |
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Machinery 2.5% |
| |||||||||
275,738 | Dover Corp. |
$ | 21,413,813 | |||||||
335,524 | Illinois Tool Works, Inc. |
23,208,195 | ||||||||
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44,622,008 | ||||||||||
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Media 5.7% |
| |||||||||
356,150 | CBS Corp., Class B |
17,405,050 | ||||||||
610,278 | Comcast Corp., Class A |
25,558,443 | ||||||||
289,621 | DIRECTV(b) |
17,846,446 | ||||||||
322,824 | Omnicom Group, Inc. |
20,295,945 | ||||||||
318,535 | Viacom, Inc., Class B |
21,676,307 | ||||||||
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102,782,191 | ||||||||||
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Multiline Retail 2.7% |
| |||||||||
399,753 | Family Dollar Stores, Inc. |
24,908,609 | ||||||||
345,096 | Target Corp. |
23,763,311 | ||||||||
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48,671,920 | ||||||||||
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Oil, Gas & Consumable Fuels 9.7% |
| |||||||||
422,853 | Chevron Corp. |
50,040,424 | ||||||||
414,376 | CONSOL Energy, Inc. |
11,229,590 | ||||||||
205,549 | EOG Resources, Inc. |
27,066,692 | ||||||||
375,975 | ExxonMobil Corp. |
33,969,341 | ||||||||
383,147 | Hess Corp. |
25,475,444 | ||||||||
452,061 | Noble Energy, Inc. |
27,141,743 | ||||||||
|
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174,923,234 | ||||||||||
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Pharmaceuticals 8.3% |
| |||||||||
465,349 | Bristol-Myers Squibb Co. |
20,796,447 | ||||||||
536,646 | Forest Laboratories, Inc.(b) |
22,002,486 | ||||||||
841,741 | Merck & Co., Inc. |
39,098,869 | ||||||||
1,438,723 | Pfizer, Inc. |
40,298,631 | ||||||||
536,411 | Sanofi, ADR |
27,630,531 | ||||||||
|
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149,826,964 | ||||||||||
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|
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REITs - Diversified 1.3% |
| |||||||||
823,512 | Weyerhaeuser Co. |
23,461,857 | ||||||||
|
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Road & Rail 1.4% |
| |||||||||
338,605 | Norfolk Southern Corp. |
24,599,653 | ||||||||
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Semiconductors & Semiconductor Equipment 1.4% |
| |||||||||
697,109 | Texas Instruments, Inc. |
24,308,191 | ||||||||
|
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Software 1.9% |
| |||||||||
525,382 | Microsoft Corp. |
18,141,441 | ||||||||
517,242 | Oracle Corp. |
15,889,674 | ||||||||
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34,031,115 | ||||||||||
|
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Specialty Retail 1.5% |
| |||||||||
673,772 | Lowes Cos., Inc. |
27,557,275 | ||||||||
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Tobacco 1.4% |
| |||||||||
284,478 | Philip Morris International, Inc. |
24,641,484 | ||||||||
|
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Wireless Telecommunication Services 1.2% |
| |||||||||
754,546 | Vodafone Group PLC, Sponsored ADR |
21,685,652 | ||||||||
|
|
|||||||||
Total Common Stocks (Identified Cost $1,342,703,043) |
$ | 1,739,293,833 | ||||||||
|
|
Principal |
Description |
Value () | ||||||||
Short-Term Investments 3.2% |
||||||||||
$ | 56,632,948 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/28/2013 at 0.000% to be repurchased at $56,632,948 on 7/01/2013 collateralized by $58,870,000 U.S. Treasury Note, 0.625% due 8/31/2017 valued at $57,766,188 including accrued interest(c) (Identified Cost $56,632,948) |
56,632,948 | |||||||
|
|
|||||||||
Total Investments 100.0% (Identified Cost $1,399,335,991)(a) |
1,795,926,781 | |||||||||
Other assets less liabilities 0.0% |
147,303 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 1,796,074,084 | ||||||||
|
|
() | 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 prices 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 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 on a daily basis 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 June 30, 2013, the net unrealized appreciation on investments based on a cost of $1,399,335,991 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 |
$ | 408,093,356 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(11,502,566 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 396,590,790 | ||
|
|
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 1quoted prices in active markets for identical assets or liabilities; |
| Level 2prices 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 3prices 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 June 30, 2013, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,739,293,833 | $ | | $ | | $ | 1,739,293,833 | ||||||||
Short-Term Investments |
| 56,632,948 | | 56,632,948 | ||||||||||||
|
|
|
|
|
|
|
|
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Total |
$ | 1,739,293,833 | $ | 56,632,948 | $ | | $ | 1,795,926,781 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2013, there were no transfers between Levels 1, 2 and 3.
Industry Summary at June 30, 2013 (Unaudited)
Oil, Gas & Consumable Fuels |
9.7 | % | ||
Pharmaceuticals |
8.3 | |||
Commercial Banks |
6.0 | |||
Diversified Financial Services |
5.7 | |||
Media |
5.7 | |||
Insurance |
5.6 | |||
Capital Markets |
4.4 | |||
Aerospace & Defense |
2.8 | |||
Multiline Retail |
2.7 | |||
Health Care Equipment & Supplies |
2.6 | |||
Communications Equipment |
2.6 | |||
Beverages |
2.6 | |||
Machinery |
2.5 | |||
Health Care Providers & Services |
2.4 | |||
Electric Utilities |
2.2 | |||
Energy Equipment & Services |
2.2 | |||
Other Investments, less than 2% each |
28.8 | |||
Short-Term Investments |
3.2 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
| |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
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: | August 20, 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: | August 20, 2013 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 20, 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: August 20, 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: August 20, 2013
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |