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, 2015
ITEM 1. SCHEDULE OF INVESTMENTS
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Global Equity and Income Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 64.1% of Net Assets |
|||||||
Belgium 1.6% | ||||||||
159,976 | Anheuser-Busch InBev NV |
$ | 19,251,566 | |||||
|
|
|||||||
Brazil 0.6% | ||||||||
539,920 | Companhia Brasileira de Meios de Pagamento |
7,609,692 | ||||||
|
|
|||||||
Canada 1.5% | ||||||||
465,600 | CGI Group, Inc., Class A(b) |
18,210,216 | ||||||
|
|
|||||||
China 3.1% | ||||||||
280,544 | Alibaba Group Holding Ltd., Sponsored ADR(b) |
23,080,355 | ||||||
1,323,000 | Hengan International Group Co. Ltd. |
15,704,127 | ||||||
|
|
|||||||
38,784,482 | ||||||||
|
|
|||||||
Denmark 1.5% | ||||||||
334,679 | Novo Nordisk AS, Class B |
18,365,464 | ||||||
|
|
|||||||
France 1.2% | ||||||||
237,457 | Thales S.A. |
14,347,377 | ||||||
|
|
|||||||
Germany 0.7% | ||||||||
151,581 | Brenntag AG |
8,697,927 | ||||||
|
|
|||||||
Hong Kong 1.6% | ||||||||
2,960,000 | AIA Group Ltd. |
19,354,428 | ||||||
|
|
|||||||
India 2.8% | ||||||||
912,885 | HCL Technologies Ltd. |
13,185,081 | ||||||
639,281 | HDFC Bank Ltd. |
12,234,979 | ||||||
1,117,808 | Motherson Sumi Systems Ltd. |
9,082,056 | ||||||
|
|
|||||||
34,502,116 | ||||||||
|
|
|||||||
Italy 0.7% | ||||||||
128,369 | Luxottica Group S.p.A. |
8,538,832 | ||||||
|
|
|||||||
Japan 3.2% | ||||||||
316,500 | Asahi Group Holdings Ltd. |
10,051,461 | ||||||
2,219,700 | Mitsubishi UFJ Financial Group, Inc. |
15,969,546 | ||||||
329,700 | Nomura Research Institute Ltd. |
12,892,546 | ||||||
|
|
|||||||
38,913,553 | ||||||||
|
|
|||||||
Netherlands 1.6% | ||||||||
1,198,076 | ING Groep NV |
19,894,489 | ||||||
|
|
|||||||
Philippines 0.7% | ||||||||
2,138,250 | Universal Robina Corp. |
9,194,065 | ||||||
|
|
|||||||
Sweden 1.1% | ||||||||
504,394 | Atlas Copco AB, A Shares |
14,112,090 | ||||||
|
|
|||||||
Switzerland 2.4% | ||||||||
26,676 | Geberit AG, (Registered) |
8,893,631 |
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Switzerland continued | ||||||||
73,498 | Roche Holding AG |
$ | 20,608,209 | |||||
|
|
|||||||
29,501,840 | ||||||||
|
|
|||||||
United Kingdom 2.8% | ||||||||
4,537,223 | Legal & General Group PLC |
17,740,822 | ||||||
448,479 | London Stock Exchange Group PLC |
16,683,705 | ||||||
|
|
|||||||
34,424,527 | ||||||||
|
|
|||||||
United States 37.0% | ||||||||
89,828 | Alexion Pharmaceuticals, Inc.(b) |
16,238,208 | ||||||
113,856 | Allergan PLC(b) |
34,550,742 | ||||||
38,603 | Amazon.com, Inc.(b) |
16,757,176 | ||||||
44,499 | AutoZone, Inc.(b) |
29,676,383 | ||||||
209,242 | Comcast Corp., Class A |
12,583,814 | ||||||
230,479 | Facebook, Inc., Class A(b) |
19,767,031 | ||||||
91,386 | FactSet Research Systems, Inc. |
14,851,139 | ||||||
194,103 | Genesee & Wyoming, Inc., Class A(b) |
14,786,766 | ||||||
94,621 | Goldman Sachs Group, Inc. (The) |
19,755,919 | ||||||
23,705 | Google, Inc., Class C(b) |
12,338,690 | ||||||
34,684 | Google, Inc., Class A(b) |
18,730,747 | ||||||
955 | Hawaiian Telcom Holdco, Inc.(b) |
24,925 | ||||||
440,357 | Jarden Corp.(b) |
22,788,475 | ||||||
382,824 | Kinder Morgan, Inc. |
14,696,613 | ||||||
103,574 | M&T Bank Corp. |
12,939,500 | ||||||
168,345 | Oceaneering International, Inc. |
7,843,194 | ||||||
19,866 | Priceline Group, Inc. (The)(b) |
22,873,116 | ||||||
192,930 | Schlumberger Ltd. |
16,628,637 | ||||||
72,426 | Signet Jewelers Ltd. |
9,287,910 | ||||||
234,123 | Texas Instruments, Inc. |
12,059,676 | ||||||
133,748 | TransDigm Group, Inc.(b) |
30,049,163 | ||||||
165,482 | Travelers Cos., Inc. (The) |
15,995,490 | ||||||
158,544 | UnitedHealth Group, Inc. |
19,342,368 | ||||||
167,000 | Valeant Pharmaceuticals International, Inc.(b) |
37,099,050 | ||||||
61,604 | W.W. Grainger, Inc. |
14,578,587 | ||||||
176,935 | Wells Fargo & Co. |
9,950,824 | ||||||
|
|
|||||||
456,194,143 | ||||||||
|
|
|||||||
Total Common Stocks (Identified Cost $665,467,586) |
789,896,807 | |||||||
|
|
Principal Amount () |
||||||||
|
Bonds and Notes 32.1% |
|||||||
|
Non-Convertible Bonds 31.4% |
|||||||
Argentina 0.2% | ||||||||
$ | 382,136 | Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A |
385,958 | |||||
1,755,000 | YPF S.A., 8.750%, 4/04/2024, 144A |
1,781,325 | ||||||
|
|
|||||||
2,167,283 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Australia 0.2% | ||||||||
$ | 110,000 | Incitec Pivot Finance LLC, 6.000%, 12/10/2019, 144A |
$ | 121,811 | ||||
500,000 | Macquarie Bank Ltd., 6.625%, 4/07/2021, 144A |
572,709 | ||||||
120,000 | Sydney Airport Finance Co., 5.125%, 2/22/2021, 144A |
133,368 | ||||||
95,000 | Sydney Airport Finance Co. Pty Ltd., 3.375%, 4/30/2025, 144A |
91,401 | ||||||
950,000 | Telstra Corp. Ltd., 3.125%, 4/07/2025, 144A |
923,656 | ||||||
|
|
|||||||
1,842,945 | ||||||||
|
|
|||||||
Belgium 0.0% | ||||||||
350,000 | Anheuser-Busch InBev NV, EMTN, 6.500%, 6/23/2017, (GBP) |
602,269 | ||||||
|
|
|||||||
Brazil 1.4% | ||||||||
800,000 | Banco do Brasil S.A., 3.875%, 10/10/2022 |
726,000 | ||||||
600,000 | Banco Santander Brasil S.A., 4.625%, 2/13/2017, 144A |
616,380 | ||||||
2,203,718 | Banco Votorantim S.A., 6.250%, 5/16/2016, 144A, (BRL) |
663,362 | ||||||
800,000 | Braskem Finance Ltd., 5.750%, 4/15/2021, 144A |
760,000 | ||||||
6,600 | () | Brazil Letras do Tesouro Nacional, Zero Coupon, 7/01/2016, (BRL)(c) |
1,857,098 | |||||
2,250 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2019, (BRL) |
633,092 | |||||
1,115 | () | Brazil Notas do Tesouro Nacional, Series F, 10.000%, 1/01/2021, (BRL) |
304,988 | |||||
2,300,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL) |
617,703 | ||||||
1,000,000 | CIMPOR Financial Operations BV, 5.750%, 7/17/2024, 144A |
810,000 | ||||||
400,000 | Cosan Luxembourg S.A., 5.000%, 3/14/2023, 144A |
369,000 | ||||||
240,000 | Embraer Netherlands Finance Corp., 5.050%, 6/15/2025 |
239,400 | ||||||
800,000 | Gerdau Trade, Inc., 5.750%, 1/30/2021, 144A |
820,000 | ||||||
226,000 | GTL Trade Finance, Inc., 5.893%, 4/29/2024, 144A |
220,463 | ||||||
915,000 | Itau Unibanco Holding S.A., 2.850%, 5/26/2018, 144A |
907,680 | ||||||
300,000 | Itau Unibanco Holding S.A., 6.200%, 12/21/2021, 144A |
317,025 | ||||||
100,000 | LPG International, Inc., 7.250%, 12/20/2015 |
102,272 | ||||||
170,000 | Odebrecht Drilling Norbe VIII/IX Ltd., 6.350%, 6/30/2022, 144A |
130,900 | ||||||
827,190 | Odebrecht Offshore Drilling Finance Ltd., 6.750%, 10/01/2023, 144A |
593,509 | ||||||
2,400,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) |
717,893 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Brazil continued | ||||||||
$ | 1,825,000 | Petrobras Global Finance BV, 4.375%, 5/20/2023(c) |
$ | 1,589,958 | ||||
320,000 | Petrobras Global Finance BV, 5.375%, 1/27/2021 |
307,776 | ||||||
775,000 | Petrobras Global Finance BV, 5.750%, 1/20/2020 |
767,901 | ||||||
300,000 | Petrobras Global Finance BV, 6.875%, 1/20/2040 |
267,258 | ||||||
800,000 | Samarco Mineracao S.A., 4.125%, 11/01/2022, 144A |
736,000 | ||||||
500,000 | Tupy Overseas S.A., 6.625%, 7/17/2024, 144A |
489,375 | ||||||
1,106,000 | Vale Overseas Ltd., 6.875%, 11/21/2036(c) |
1,069,292 | ||||||
470,000 | Vale S.A., 5.625%, 9/11/2042 |
395,820 | ||||||
|
|
|||||||
17,030,145 | ||||||||
|
|
|||||||
Canada 0.5% | ||||||||
1,085,000 | Air Canada, 7.625%, 10/01/2019, 144A, (CAD) |
931,675 | ||||||
3,000,000 | Canadian Government, 1.250%, 9/01/2018, (CAD)(c) |
2,460,673 | ||||||
2,065,000 | Canadian Government, 3.000%, 12/01/2015, (CAD)(c) |
1,669,806 | ||||||
1,335,000 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD) |
1,089,634 | ||||||
600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
541,033 | ||||||
|
|
|||||||
6,692,821 | ||||||||
|
|
|||||||
Chile 0.4% | ||||||||
1,450,000 | Banco de Credito e Inversiones, 3.000%, 9/13/2017, 144A(c) |
1,472,276 | ||||||
200,000 | Celulosa Arauco y Constitucion S.A., 4.750%, 1/11/2022 |
208,458 | ||||||
300,000,000 | Chile Government International Bond, 5.500%, 8/05/2020, (CLP)(c) |
500,848 | ||||||
550,000 | Corpbanca S.A., 3.125%, 1/15/2018 |
551,585 | ||||||
250,000 | E.CL S.A., 5.625%, 1/15/2021, 144A |
272,586 | ||||||
800,000 | Inversiones CMPC S.A., 4.375%, 5/15/2023, 144A |
803,815 | ||||||
1,120,000 | Transelec S.A., 4.250%, 1/14/2025, 144A(c) |
1,121,603 | ||||||
400,000 | VTR Finance BV, 6.875%, 1/15/2024, 144A |
408,740 | ||||||
|
|
|||||||
5,339,911 | ||||||||
|
|
|||||||
China 0.4% | ||||||||
800,000 | Baidu, Inc., 2.250%, 11/28/2017 |
804,344 | ||||||
700,000 | Baidu, Inc., 3.250%, 8/06/2018 |
720,426 |
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 |
$ | 414,994 | ||||
1,200,000 | CNOOC Finance 2013 Ltd., 3.000%, 5/09/2023(c) |
1,136,839 | ||||||
485,000 | CNOOC Finance 2015 Australia Pty Ltd., 2.625%, 5/05/2020 |
478,660 | ||||||
480,000 | CNOOC Finance 2015 USA LLC, 3.500%, 5/05/2025 |
461,711 | ||||||
1,000,000 | Parkson Retail Group Ltd., 4.500%, 5/03/2018 |
944,807 | ||||||
|
|
|||||||
4,961,781 | ||||||||
|
|
|||||||
Colombia 0.4% | ||||||||
555,000 | Colombia Telecomunicaciones S.A. E.S.P., 5.375%, 9/27/2022, 144A |
550,144 | ||||||
610,000 | Ecopetrol S.A., 4.125%, 1/16/2025 |
562,908 | ||||||
600,000 | Ecopetrol S.A., 5.875%, 9/18/2023(c) |
630,000 | ||||||
490,000 | Ecopetrol S.A., 5.875%, 5/28/2045 |
432,425 | ||||||
830,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) |
338,344 | ||||||
435,000,000 | Emgesa S.A. E.S.P., 8.750%, 1/25/2021, 144A, (COP) |
177,325 | ||||||
2,140,000,000 | Empresas Publicas de Medellin E.S.P., 8.375%, 2/01/2021, 144A, (COP) |
865,787 | ||||||
1,220,000 | Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A |
872,300 | ||||||
580,000 | Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A |
420,500 | ||||||
200,000,000 | Republic of Colombia, 7.750%, 4/14/2021, (COP) |
84,292 | ||||||
|
|
|||||||
4,934,025 | ||||||||
|
|
|||||||
Dominican Republic 0.1% | ||||||||
565,000 | Dominican Republic International Bond, 5.500%, 1/27/2025, 144A |
566,413 | ||||||
425,000 | Dominican Republic International Bond, 8.625%, 4/20/2027, 144A |
507,875 | ||||||
|
|
|||||||
1,074,288 | ||||||||
|
|
|||||||
France 0.4% | ||||||||
425,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
438,812 | ||||||
15,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
15,450 | ||||||
200,000 | AXA S.A., 7.125%, 12/15/2020, (GBP) |
369,787 | ||||||
435,000 | Credit Agricole S.A., 4.375%, 3/17/2025, 144A |
417,261 | ||||||
390,000 | Credit Agricole S.A., (fixed rate to 6/23/2026, variable rate thereafter), 7.500%, (GBP)(d) |
603,596 | ||||||
2,080,000 | Societe Generale S.A., 4.250%, 4/14/2025, 144A |
1,944,862 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
France continued | ||||||||
475,000 | Societe Generale S.A., (fixed rate to 4/07/2021, variable rate thereafter), 6.750%, (EUR)(d) |
$ | 527,568 | |||||
|
|
|||||||
4,317,336 | ||||||||
|
|
|||||||
Germany 0.1% | ||||||||
755,000 | RWE AG, (fixed rate to 9/28/2015, variable rate thereafter), 4.625%, (EUR)(d) |
842,149 | ||||||
|
|
|||||||
Hong Kong 0.1% | ||||||||
355,000 | AIA Group Ltd., 3.200%, 3/11/2025, 144A |
342,017 | ||||||
400,000 | Hutchison Whampoa International 11 Ltd., 3.500%, 1/13/2017, 144A |
412,240 | ||||||
|
|
|||||||
754,257 | ||||||||
|
|
|||||||
Hungary 0.2% | ||||||||
1,330,000 | Hungary Government International Bond, 5.375%, 3/25/2024 |
1,441,387 | ||||||
980,000 | Hungary Government International Bond, 5.750%, 11/22/2023 |
1,085,350 | ||||||
|
|
|||||||
2,526,737 | ||||||||
|
|
|||||||
Iceland 0.1% | ||||||||
1,000,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A(c) |
1,129,130 | ||||||
|
|
|||||||
India 0.5% | ||||||||
550,000 | Axis Bank Ltd., 3.250%, 5/21/2020, 144A |
546,879 | ||||||
1,155,000 | Bharti Airtel International BV, 5.125%, 3/11/2023, 144A(c) |
1,205,818 | ||||||
990,000 | Bharti Airtel International BV, 5.350%, 5/20/2024, 144A |
1,048,291 | ||||||
1,400,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
1,439,074 | ||||||
750,000 | Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A |
808,746 | ||||||
700,000 | State Bank of India/London, 4.125%, 8/01/2017, 144A |
727,328 | ||||||
|
|
|||||||
5,776,136 | ||||||||
|
|
|||||||
Indonesia 0.8% | ||||||||
400,000 | Gajah Tunggal Tbk PT, 7.750%, 2/06/2018, 144A |
337,000 | ||||||
300,000 | Indonesia Government International Bond, 4.125%, 1/15/2025, 144A |
294,375 | ||||||
725,000 | Indonesia Government International Bond, 5.125%, 1/15/2045, 144A |
691,469 | ||||||
3,500,000,000 | Indonesia Government International Bond, 9.500%, 7/15/2023, (IDR) |
279,317 | ||||||
781,000,000 | Indonesia Government International Bond, 11.500%, 9/15/2019, (IDR) |
65,180 | ||||||
12,100,000,000 | Indonesia Treasury Bond, 6.125%, 5/15/2028, (IDR) |
745,013 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Indonesia continued | ||||||||
24,000,000,000 | Indonesia Treasury Bond, 7.875%, 4/15/2019, (IDR)(c) |
$ | 1,784,380 | |||||
14,000,000,000 | Indonesia Treasury Bond, 8.375%, 3/15/2024, (IDR)(c) |
1,050,496 | ||||||
200,000 | Indosat Palapa Co. BV, 7.375%, 7/29/2020, 144A |
207,000 | ||||||
400,000 | Listrindo Capital BV, 6.950%, 2/21/2019, 144A |
418,000 | ||||||
2,800,000 | Pertamina Persero PT, 4.300%, 5/20/2023, 144A(c) |
2,681,000 | ||||||
545,000 | Republic of Indonesia, 2.875%, 7/08/2021, 144A, (EUR) |
612,150 | ||||||
500,000 | TBG Global Pte Ltd., 4.625%, 4/03/2018, 144A |
497,500 | ||||||
|
|
|||||||
9,662,880 | ||||||||
|
|
|||||||
Italy 0.7% | ||||||||
440,000 | Italy Buoni Poliennali Del Tesoro, 1.500%, 6/01/2025, (EUR) |
455,978 | ||||||
2,860,000 | Italy Buoni Poliennali Del Tesoro, 4.500%, 8/01/2018, (EUR)(c) |
3,558,651 | ||||||
2,295,000 | Italy Buoni Poliennali Del Tesoro, 4.750%, 8/01/2023, 144A, (EUR)(c) |
3,067,747 | ||||||
725,000 | UniCredit SpA, EMTN, 6.950%, 10/31/2022, (EUR) |
933,702 | ||||||
870,000 | Wind Acquisition Finance S.A., 7.375%, 4/23/2021, 144A |
879,787 | ||||||
|
|
|||||||
8,895,865 | ||||||||
|
|
|||||||
Japan 0.2% | ||||||||
900,000 | Bank of Tokyo-Mitsubishi UFJ Ltd. (The), 1.700%, 3/05/2018, 144A |
897,989 | ||||||
1,165,000 | Nomura Holdings, Inc., GMTN, 2.750%, 3/19/2019(c) |
1,175,766 | ||||||
850,000 | Softbank Corp., 4.500%, 4/15/2020, 144A |
853,188 | ||||||
|
|
|||||||
2,926,943 | ||||||||
|
|
|||||||
Korea 0.7% | ||||||||
3,700,000 | Export-Import Bank of Korea, 3.000%, 5/22/2018, 144A, (NOK) |
485,786 | ||||||
400,000 | Hana Bank, 4.000%, 11/03/2016, 144A |
413,876 | ||||||
600,000 | Hyundai Capital Services, Inc., 3.500%, 9/13/2017, 144A |
621,265 | ||||||
600,000 | Hyundai Steel Co., 4.625%, 4/21/2016, 144A |
613,514 | ||||||
600,000 | Industrial Bank of Korea, 2.375%, 7/17/2017, 144A |
609,570 | ||||||
400,000 | Kia Motors Corp., 3.625%, 6/14/2016, 144A(c) |
408,542 | ||||||
400,000 | Korea Development Bank (The), 4.625%, 11/16/2021 |
442,836 | ||||||
400,000 | Korea National Oil Corp., 3.125%, 4/03/2017, 144A |
410,328 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Korea continued | ||||||||
2,589,140,000 | Korea Treasury Bond, 2.750%, 9/10/2017, (KRW)(c) |
$ | 2,370,557 | |||||
250,000 | Lotte Shopping Co. Ltd., 3.375%, 5/09/2017, 144A |
257,489 | ||||||
1,125,000 | Minera y Metalurgica del Boleo S.A. de CV, 2.875%, 5/07/2019, 144A(c) |
1,135,645 | ||||||
950,000 | Shinhan Bank, 2.250%, 4/15/2020, 144A |
938,657 | ||||||
140,000 | SK Telecom Co. Ltd., 6.625%, 7/20/2027, 144A |
178,346 | ||||||
200,000 | Woori Bank, 5.875%, 4/13/2021, 144A |
229,275 | ||||||
|
|
|||||||
9,115,686 | ||||||||
|
|
|||||||
Luxembourg 0.2% | ||||||||
500,000 | Altice S.A., 7.750%, 5/15/2022, 144A |
483,750 | ||||||
970,000 | ArcelorMittal, 7.500%, 3/01/2041 |
950,600 | ||||||
430,000 | INEOS Group Holdings S.A., 5.750%, 2/15/2019, (EUR) |
484,179 | ||||||
500,000 | Millicom International Cellular S.A., 4.750%, 5/22/2020, 144A |
480,765 | ||||||
|
|
|||||||
2,399,294 | ||||||||
|
|
|||||||
Mexico 1.3% | ||||||||
10,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
609,512 | ||||||
300,000 | Banco Santander Mexico S.A. Institucion de Banca Multiple Grupo Financiero Santander, 4.125%, 11/09/2022, 144A |
298,650 | ||||||
640,000 | Cemex Finance LLC, 6.000%, 4/01/2024, 144A |
633,408 | ||||||
300,000 | Cemex SAB de CV, 4.375%, 3/05/2023, 144A, (EUR) |
321,495 | ||||||
10,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
542,306 | ||||||
746,500 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(c) |
4,945,608 | |||||
186,200 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/09/2022, (MXN)(c) |
1,227,297 | |||||
395,000 | () | Mexican Fixed Rate Bonds, Series M-10, 8.500%, 12/13/2018, (MXN)(c) |
2,802,463 | |||||
135,113 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
971,403 | |||||
196,000 | Mexico Government International Bond, 4.000%, 3/15/2115, (EUR) |
189,453 | ||||||
780,000 | Petroleos Mexicanos, 4.250%, 1/15/2025, 144A |
759,642 | ||||||
625,000 | Petroleos Mexicanos, 5.625%, 1/23/2046, 144A |
583,563 | ||||||
135,000 | () | Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN) |
812,937 | |||||
580,000 | Southern Copper Corp., 3.875%, 4/23/2025 |
558,621 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Mexico continued | ||||||||
$ | 925,000 | Unifin Financiera S.A.P.I. de CV SOFOM ENR, 6.250%, 7/22/2019, 144A |
$ | 914,594 | ||||
|
|
|||||||
16,170,952 | ||||||||
|
|
|||||||
Morocco 0.1% | ||||||||
965,000 | OCP S.A., 4.500%, 10/22/2025, 144A |
915,544 | ||||||
590,000 | OCP S.A., 6.875%, 4/25/2044, 144A |
615,193 | ||||||
|
|
|||||||
1,530,737 | ||||||||
|
|
|||||||
Netherlands 0.0% | ||||||||
500,000 | Shell International Finance BV, 3.250%, 5/11/2025 |
495,140 | ||||||
|
|
|||||||
New Zealand 0.5% | ||||||||
2,880,935 | New Zealand Government Bond, 3.000%, 9/20/2030, (NZD)(c) |
2,145,326 | ||||||
2,340,000 | New Zealand Government Bond, 5.000%, 3/15/2019, (NZD)(c) |
1,699,394 | ||||||
2,590,000 | New Zealand Government Bond, 5.500%, 4/15/2023, (NZD) |
2,019,483 | ||||||
120,000 | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg) S.A., 9.875%, 8/15/2019 |
126,000 | ||||||
|
|
|||||||
5,990,203 | ||||||||
|
|
|||||||
Norway 0.3% | ||||||||
13,275,000 | Norway Government Bond, 2.000%, 5/24/2023, 144A, (NOK) |
1,736,826 | ||||||
13,760,000 | Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK)(c) |
1,988,065 | ||||||
|
|
|||||||
3,724,891 | ||||||||
|
|
|||||||
Panama 0.1% | ||||||||
680,000 | Banco Latinoamericano de Comercio Exterior S.A., 3.250%, 5/07/2020, 144A |
676,600 | ||||||
300,000 | Banco Latinoamericano de Comercio Exterior S.A., 3.750%, 4/04/2017, 144A |
307,500 | ||||||
|
|
|||||||
984,100 | ||||||||
|
|
|||||||
Peru 0.2% | ||||||||
1,050,000 | Transportadora de Gas del Peru S.A., 4.250%, 4/30/2028, 144A |
1,031,625 | ||||||
1,050,000 | Union Andina de Cementos SAA, 5.875%, 10/30/2021, 144A |
1,061,813 | ||||||
|
|
|||||||
2,093,438 | ||||||||
|
|
|||||||
Philippines 0.1% | ||||||||
40,000,000 | Philippine Government International Bond, 3.900%, 11/26/2022, (PHP) |
878,243 | ||||||
30,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
698,603 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Philippines continued | ||||||||
$ | 175,000 | Philippine Long Distance Telephone Co., EMTN, 8.350%, 3/06/2017 |
$ | 190,750 | ||||
|
|
|||||||
1,767,596 | ||||||||
|
|
|||||||
Poland 0.5% | ||||||||
17,080,000 | Poland Government Bond, 4.000%, 10/25/2023, (PLN)(c) |
4,809,655 | ||||||
3,210,000 | Poland Government Bond, 5.500%, 10/25/2019, (PLN) |
957,024 | ||||||
|
|
|||||||
5,766,679 | ||||||||
|
|
|||||||
Portugal 0.0% | ||||||||
400,000 | EDP Finance BV, 4.125%, 1/15/2020, 144A |
403,883 | ||||||
125,000 | EDP Finance BV, EMTN, 2.000%, 4/22/2025, (EUR) |
125,741 | ||||||
|
|
|||||||
529,624 | ||||||||
|
|
|||||||
Singapore 0.2% | ||||||||
495,000 | BOC Aviation Pte Ltd., 3.000%, 3/30/2020 |
487,105 | ||||||
2,000,000 | DBS Bank Ltd., (fixed rate to 9/21/2017, variable rate thereafter), 3.625%, 9/21/2022, 144A(c) |
2,064,334 | ||||||
|
|
|||||||
2,551,439 | ||||||||
|
|
|||||||
South Africa 0.5% | ||||||||
895,000 | Eskom Holdings SOC Ltd., 7.125%, 2/11/2025, 144A |
905,543 | ||||||
930,000 | MTN (Mauritius) Investments Ltd., 4.755%, 11/11/2024, 144A |
923,025 | ||||||
500,000 | Myriad International Holdings BV, 6.000%, 7/18/2020, 144A |
542,125 | ||||||
285,000 | Republic of South Africa, EMTN, 4.500%, 4/05/2016, (EUR) |
326,756 | ||||||
11,500,000 | South Africa Government Bond, 7.750%, 2/28/2023, (ZAR) |
924,084 | ||||||
8,500,000 | South Africa Government Bond, Series R186, 10.500%, 12/21/2026, (ZAR) |
813,250 | ||||||
600,000 | South Africa Government International Bond, 5.875%, 9/16/2025 |
664,706 | ||||||
700,000 | Transnet SOC Ltd., 4.000%, 7/26/2022, 144A |
672,280 | ||||||
|
|
|||||||
5,771,769 | ||||||||
|
|
|||||||
Spain 0.3% | ||||||||
430,000 | Spain Government Bond, 1.600%, 4/30/2025, 144A, (EUR) |
451,054 | ||||||
2,115,000 | Spain Government Bond, 4.300%, 10/31/2019, 144A, (EUR)(c) |
2,681,883 | ||||||
800,000 | Spain Government Bond, 4.400%, 10/31/2023, 144A, (EUR)(c) |
1,047,976 | ||||||
|
|
|||||||
4,180,913 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Supranationals 0.5% | ||||||||
$ | 840,000 | Central American Bank for Economic Integration, 3.875%, 2/09/2017, 144A |
$ | 863,506 | ||||
1,115,000 | Corporacion Andina de Fomento, 4.375%, 6/15/2022(c) |
1,205,500 | ||||||
1,570,000 | European Financial Stability Facility, 1.625%, 7/17/2020, (EUR)(c) |
1,861,291 | ||||||
1,140,000 | International Bank for Reconstruction & Development, 2.500%, 3/12/2020, (AUD) |
866,602 | ||||||
70,000,000 | International Finance Corp., 7.800%, 6/03/2019, (INR)(c) |
1,134,202 | ||||||
|
|
|||||||
5,931,101 | ||||||||
|
|
|||||||
Sweden 0.0% | ||||||||
2,450,000 | Sweden Government Bond, 5.000%, 12/01/2020, (SEK) |
368,715 | ||||||
|
|
|||||||
Thailand 0.2% | ||||||||
1,010,000 | Siam Commercial Bank PCL (The), 3.500%, 4/07/2019, 144A |
1,036,933 | ||||||
950,000 | Thai Oil PCL, 3.625%, 1/23/2023, 144A |
935,037 | ||||||
|
|
|||||||
1,971,970 | ||||||||
|
|
|||||||
Turkey 0.5% | ||||||||
445,000 | Akbank TAS, 4.000%, 1/24/2020, 144A |
433,448 | ||||||
800,000 | Arcelik AS, 5.000%, 4/03/2023, 144A |
765,296 | ||||||
545,000 | Export Credit Bank of Turkey, 5.000%, 9/23/2021, 144A |
548,373 | ||||||
920,000 | TC Ziraat Bankasi AS, 4.250%, 7/03/2019, 144A |
918,620 | ||||||
2,745,000 | Turkey Government Bond, 6.300%, 2/14/2018, (TRY) |
950,472 | ||||||
600,000 | Turkiye Garanti Bankasi AS, 4.000%, 9/13/2017, 144A |
607,082 | ||||||
490,000 | Turkiye Halk Bankasi AS, 4.750%, 2/11/2021, 144A |
481,812 | ||||||
800,000 | Turkiye Is Bankasi, 3.875%, 11/07/2017, 144A |
806,144 | ||||||
875,000 | Yapi ve Kredi Bankasi, 5.250%, 12/03/2018, 144A |
901,250 | ||||||
|
|
|||||||
6,412,497 | ||||||||
|
|
|||||||
United Arab Emirates 0.2% | ||||||||
850,000 | DP World Ltd., 3.250%, 5/18/2020, 144A |
843,625 | ||||||
600,000 | Dubai Electricity & Water Authority, 6.375%, 10/21/2016, 144A |
636,774 | ||||||
545,000 | Mubadala GE Capital Ltd., 3.000%, 11/10/2019, 144A |
540,231 | ||||||
|
|
|||||||
2,020,630 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United Kingdom 0.5% | ||||||||
$ | 600,000 | Anglo American Capital PLC, 2.625%, 9/27/2017, 144A |
$ | 603,293 | ||||
525,000 | Barclays PLC, 3.650%, 3/16/2025 |
497,338 | ||||||
400,000 | Barclays PLC, (fixed rate to 9/15/2019, variable rate thereafter), 7.000%, (GBP)(d) |
613,572 | ||||||
470,000 | British Telecommunications PLC, 5.750%, 12/07/2028, (GBP) |
881,122 | ||||||
150,000 | Imperial Tobacco Finance PLC, EMTN, 6.250%, 12/04/2018, (GBP) |
266,045 | ||||||
400,000 | Lloyds Banking Group PLC, 4.500%, 11/04/2024 |
400,235 | ||||||
400,000 | Old Mutual PLC, EMTN, 8.000%, 6/03/2021, (GBP) |
706,087 | ||||||
1,130,000 | Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023(c) |
1,196,593 | ||||||
250,000 | Standard Chartered PLC, EMTN, (fixed rate to 10/21/2020, variable rate thereafter), 4.000%, 10/21/2025, (EUR) |
294,544 | ||||||
130,000 | Virgin Media Finance PLC, 4.500%, 1/15/2025, 144A, (EUR) |
143,843 | ||||||
115,000 | Virgin Media Finance PLC, 6.375%, 10/15/2024, 144A, (GBP) |
187,922 | ||||||
100,000 | WPP PLC, 6.000%, 4/04/2017, (GBP) |
168,950 | ||||||
|
|
|||||||
5,959,544 | ||||||||
|
|
|||||||
United States 17.8% | ||||||||
15,000 | 21st Century Fox America, Inc., 6.400%, 12/15/2035 |
17,747 | ||||||
9,890,000 | AbbVie, Inc., 2.500%, 5/14/2020 |
9,788,538 | ||||||
45,000 | AECOM Technology Corp., 5.750%, 10/15/2022, 144A |
45,563 | ||||||
45,000 | AECOM Technology Corp., 5.875%, 10/15/2024, 144A |
45,619 | ||||||
240,000 | AES Corp. (The), 4.875%, 5/15/2023 |
225,600 | ||||||
975,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
1,031,062 | ||||||
8,000,000 | Ally Financial, Inc., 3.750%, 11/18/2019 |
7,940,000 | ||||||
745,000 | Ally Financial, Inc., 5.125%, 9/30/2024 |
746,862 | ||||||
129,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
143,996 | ||||||
1,728,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
2,069,280 | ||||||
184,752 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027 |
185,968 | ||||||
51,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
67,524 | ||||||
7,145,000 | Amgen, Inc., 2.125%, 5/01/2020 |
6,996,334 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 12,046 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(e) |
$ | 12,046 | ||||
495,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
400,950 | ||||||
925,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
1,056,503 | ||||||
145,000 | Avnet, Inc., 6.000%, 9/01/2015 |
146,098 | ||||||
95,000 | Avon Products, Inc., 7.700%, 3/15/2043 |
77,663 | ||||||
200,000 | Bank of America Corp., 5.490%, 3/15/2019 |
219,031 | ||||||
115,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 |
112,654 | ||||||
50,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023 |
48,500 | ||||||
15,000 | Boston Scientific Corp., 5.125%, 1/12/2017 |
15,793 | ||||||
6,320,000 | California Resources Corp., 5.000%, 1/15/2020 |
5,561,600 | ||||||
670,000 | California Resources Corp., 5.500%, 9/15/2021 |
583,034 | ||||||
90,000 | California Resources Corp., 6.000%, 11/15/2024 |
77,400 | ||||||
1,995,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
2,009,962 | ||||||
510,000 | CenturyLink, Inc., 7.650%, 3/15/2042 |
461,550 | ||||||
55,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
52,800 | ||||||
605,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
548,281 | ||||||
1,025,000 | Chemours Co. (The), 6.625%, 5/15/2023, 144A |
992,969 | ||||||
190,000 | Chemours Co. (The), 7.000%, 5/15/2025, 144A |
184,300 | ||||||
5,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022 |
4,338 | ||||||
20,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
19,500 | ||||||
95,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
92,625 | ||||||
1,635,000 | Cimarex Energy Co., 4.375%, 6/01/2024 |
1,614,857 | ||||||
1,470,000 | Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 |
1,532,475 | ||||||
155,000 | Cleaver-Brooks, Inc., 8.750%, 12/15/2019, 144A |
152,675 | ||||||
265,000 | Constellation Brands, Inc., 4.750%, 11/15/2024 |
265,663 | ||||||
1,005,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
1,047,712 | ||||||
164,506 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
173,965 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 280,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
$ | 255,584 | ||||
25,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
24,105 | ||||||
155,000 | Cummins, Inc., 5.650%, 3/01/2098 |
162,943 | ||||||
191,836 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
220,131 | ||||||
42,000 | Dillards, Inc., 6.625%, 1/15/2018 |
46,043 | ||||||
50,000 | Dillards, Inc., 7.000%, 12/01/2028 |
55,250 | ||||||
8,000 | Dillards, Inc., 7.750%, 7/15/2026 |
9,260 | ||||||
395,000 | DISH DBS Corp., 5.000%, 3/15/2023 |
365,375 | ||||||
90,000 | DISH DBS Corp., 5.875%, 11/15/2024 |
86,456 | ||||||
315,000 | DPL, Inc., 6.750%, 10/01/2019, 144A |
334,687 | ||||||
310,000 | DR Horton, Inc., 4.375%, 9/15/2022 |
300,700 | ||||||
235,000 | DS Services of America, Inc., 10.000%, 9/01/2021, 144A |
274,950 | ||||||
1,121,000 | First Data Corp., 10.625%, 6/15/2021 |
1,241,507 | ||||||
150,000 | Foot Locker, Inc., 8.500%, 1/15/2022(e) |
164,155 | ||||||
25,000 | Ford Motor Co., 6.375%, 2/01/2029 |
29,493 | ||||||
50,000 | Ford Motor Co., 6.625%, 2/15/2028 |
57,263 | ||||||
2,105,000 | Ford Motor Co., 6.625%, 10/01/2028 |
2,563,465 | ||||||
40,000 | Ford Motor Co., 7.125%, 11/15/2025 |
48,869 | ||||||
835,000 | Ford Motor Co., 7.400%, 11/01/2046 |
1,105,674 | ||||||
5,000 | Ford Motor Co., 7.500%, 8/01/2026 |
6,231 | ||||||
5,000,000 | Ford Motor Credit Co. LLC, 2.459%, 3/27/2020 |
4,913,685 | ||||||
1,000,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 |
1,075,088 | ||||||
905,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
1,043,809 | ||||||
865,000 | Frontier Communications Corp., 6.875%, 1/15/2025 |
723,356 | ||||||
205,000 | FTS International, Inc., 6.250%, 5/01/2022 |
150,675 | ||||||
50,000 | General Electric Capital Corp., GMTN, 3.100%, 1/09/2023 |
49,862 | ||||||
600,000 | General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter), 7.125% (d) |
692,250 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 5,000,000 | General Motors Financial Co., Inc., 2.400%, 4/10/2018 |
$ | 5,012,430 | ||||
240,000 | General Motors Financial Co., Inc., 3.450%, 4/10/2022 |
235,164 | ||||||
195,000 | Genworth Holdings, Inc., 4.800%, 2/15/2024 |
170,138 | ||||||
500,000 | Genworth Holdings, Inc., 4.900%, 8/15/2023 |
442,655 | ||||||
215,000 | Genworth Holdings, Inc., 6.500%, 6/15/2034 |
193,500 | ||||||
3,435,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028(c) |
4,390,239 | ||||||
105,000 | Georgia-Pacific LLC, 7.375%, 12/01/2025 |
135,059 | ||||||
180,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
243,765 | ||||||
315,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
454,414 | ||||||
800,000 | Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD) |
665,294 | ||||||
2,295,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
2,691,916 | ||||||
3,045,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 |
3,310,676 | ||||||
165,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
174,900 | ||||||
70,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(f) |
71,295 | ||||||
425,000 | Halcon Resources Corp., 8.875%, 5/15/2021 |
279,438 | ||||||
410,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
473,469 | ||||||
1,000,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 |
1,077,500 | ||||||
20,000 | HCA, Inc., 4.750%, 5/01/2023 |
20,250 | ||||||
225,000 | HCA, Inc., 7.050%, 12/01/2027 |
235,125 | ||||||
245,000 | HCA, Inc., 7.190%, 11/15/2015 |
249,900 | ||||||
90,000 | HCA, Inc., 7.500%, 12/15/2023 |
99,000 | ||||||
820,000 | HCA, Inc., 7.500%, 11/06/2033 |
889,700 | ||||||
1,500,000 | HCA, Inc., 7.690%, 6/15/2025 |
1,702,500 | ||||||
395,000 | HCA, Inc., 8.360%, 4/15/2024 |
466,100 | ||||||
195,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
215,475 | ||||||
75,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
79,875 | ||||||
855,000 | Hecla Mining Co., 6.875%, 5/01/2021 |
809,044 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 585,000 | Hercules, Inc., 6.500%, 6/30/2029 |
$ | 532,350 | ||||
310,000 | Hexion, Inc., 7.875%, 2/15/2023(e)(g) |
197,625 | ||||||
470,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
501,767 | ||||||
450,000 | International Lease Finance Corp., 4.625%, 4/15/2021 |
454,500 | ||||||
1,250,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
1,351,562 | ||||||
745,000 | INVISTA Finance LLC, 4.250%, 10/15/2019, 144A |
733,825 | ||||||
45,000 | iStar Financial, Inc., 3.875%, 7/01/2016 |
45,167 | ||||||
145,000 | iStar Financial, Inc., 4.875%, 7/01/2018 |
142,644 | ||||||
3,460,000 | iStar Financial, Inc., 5.000%, 7/01/2019 |
3,412,425 | ||||||
70,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
71,838 | ||||||
200,000 | iStar Financial, Inc., 7.125%, 2/15/2018 |
208,240 | ||||||
48,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
35,520 | ||||||
5,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
3,775 | ||||||
665,000 | Jefferies Group LLC, 5.125%, 4/13/2018 |
706,154 | ||||||
30,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
30,971 | ||||||
1,070,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
1,061,015 | ||||||
685,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
743,727 | ||||||
1,410,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
1,613,907 | ||||||
15,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
12,788 | ||||||
110,000 | K. Hovnanian Enterprises, Inc., 7.000%, 1/15/2019, 144A |
99,550 | ||||||
165,000 | K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A |
152,625 | ||||||
1,665,000 | KB Home, 8.000%, 3/15/2020 |
1,831,500 | ||||||
190,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017 |
198,075 | ||||||
55,000 | Lennar Corp., Series B, 6.500%, 4/15/2016 |
56,788 | ||||||
140,000 | Level 3 Communications, Inc., 5.750%, 12/01/2022 |
138,950 | ||||||
365,000 | Level 3 Financing, Inc., 5.375%, 5/01/2025, 144A |
351,769 | ||||||
135,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
143,269 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 1,435,000 | Level 3 Financing, Inc., 8.625%, 7/15/2020 |
$ | 1,533,584 | ||||
165,000 | Masco Corp., 6.500%, 8/15/2032 |
174,075 | ||||||
865,000 | Masco Corp., 7.750%, 8/01/2029 |
999,075 | ||||||
2,700,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
3,026,209 | ||||||
825,000 | Morgan Stanley, 2.125%, 4/25/2018 |
830,575 | ||||||
220,000 | Morgan Stanley, 2.500%, 1/24/2019 |
222,041 | ||||||
450,000 | Morgan Stanley, 3.750%, 2/25/2023 |
455,013 | ||||||
725,000 | Morgan Stanley, 5.750%, 1/25/2021 |
826,004 | ||||||
500,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
397,602 | ||||||
3,150,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
3,155,887 | ||||||
600,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 |
719,272 | ||||||
100,000 | Morgan Stanley, Series F, MTN, 0.725%, 10/18/2016(f) |
99,872 | ||||||
3,000,000 | Navient Corp., 5.000%, 10/26/2020 |
2,940,000 | ||||||
45,000 | Navient Corp., 5.875%, 10/25/2024 |
42,300 | ||||||
175,000 | Navient LLC, 4.875%, 6/17/2019 |
173,250 | ||||||
915,000 | Navient LLC, 5.500%, 1/25/2023 |
869,250 | ||||||
1,600 | () | Navient LLC, 6.000%, 12/15/2043 |
34,507 | |||||
141,000 | Navient LLC, MTN, 3.875%, 9/10/2015 |
141,176 | ||||||
40,000 | Navient LLC, MTN, 4.625%, 9/25/2017 |
40,650 | ||||||
60,000 | Navient LLC, MTN, 5.500%, 1/15/2019 |
61,177 | ||||||
1,130,000 | Navient LLC, MTN, 7.250%, 1/25/2022 |
1,192,150 | ||||||
10,000 | Navient LLC, Series A, MTN, 5.000%, 6/15/2018 |
9,963 | ||||||
2,560,000 | Navient LLC, Series A, MTN, 5.625%, 8/01/2033 |
2,073,600 | ||||||
360,000 | Navient LLC, Series A, MTN, 8.450%, 6/15/2018 |
400,068 | ||||||
2,512,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
2,411,520 | ||||||
245,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
238,875 | ||||||
3,605,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
3,568,950 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 2,110,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
$ | 2,141,650 | ||||
315,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
267,750 | ||||||
365,000 | Newell Rubbermaid, Inc., 4.000%, 12/01/2024 |
369,713 | ||||||
20,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
21,200 | ||||||
420,000 | Old Republic International Corp., 4.875%, 10/01/2024 |
434,514 | ||||||
55,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022 |
55,688 | ||||||
140,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025 |
144,900 | ||||||
7,000 | Owens Corning, 6.500%, 12/01/2016 |
7,444 | ||||||
535,000 | Owens Corning, 7.000%, 12/01/2036 |
611,231 | ||||||
2,965,000 | Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025, 144A |
2,898,287 | ||||||
540,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
525,150 | ||||||
785,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
794,812 | ||||||
220,000 | Pulte Group, Inc., 7.875%, 6/15/2032 |
253,000 | ||||||
255,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A |
244,163 | ||||||
1,335,000 | Qwest Capital Funding, Inc., 6.500%, 11/15/2018 |
1,431,787 | ||||||
650,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
638,625 | ||||||
400,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
430,000 | ||||||
60,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
61,800 | ||||||
560,000 | Qwest Corp., 6.875%, 9/15/2033 |
553,722 | ||||||
115,000 | Qwest Corp., 7.250%, 9/15/2025 |
130,095 | ||||||
480,000 | R.R. Donnelley & Sons Co., 7.000%, 2/15/2022 |
516,000 | ||||||
200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A |
194,500 | ||||||
565,000 | Range Resources Corp., 5.000%, 8/15/2022 |
553,700 | ||||||
1,075,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.000%, 10/01/2022 |
1,091,982 | ||||||
230,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.500%, 4/15/2023 |
234,094 | ||||||
80,000 | Reynolds American, Inc., 6.750%, 6/15/2017 |
87,420 | ||||||
1,970,000 | Rosetta Resources, Inc., 5.625%, 5/01/2021 |
2,093,125 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 970,000 | Santander Holdings USA, Inc., 2.650%, 4/17/2020 |
$ | 953,617 | ||||
25,000 | Sealed Air Corp., 4.875%, 12/01/2022, 144A |
24,625 | ||||||
640,000 | Sealed Air Corp., 5.500%, 9/15/2025, 144A |
644,800 | ||||||
760,000 | Shearers Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A |
817,000 | ||||||
135,000 | Springleaf Finance Corp., 5.250%, 12/15/2019 |
133,144 | ||||||
330,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 |
358,050 | ||||||
130,000 | Springleaf Finance Corp., 8.250%, 10/01/2023 |
146,575 | ||||||
400,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
413,500 | ||||||
300,000 | Springleaf Finance Corp., Series I, MTN, 5.400%, 12/01/2015 |
303,000 | ||||||
2,349,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
2,020,140 | ||||||
2,240,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
2,178,400 | ||||||
26,000 | Sprint Communications, Inc., 6.000%, 12/01/2016 |
26,715 | ||||||
1,720,000 | Sprint Communications, Inc., 6.000%, 11/15/2022 |
1,571,650 | ||||||
120,000 | Sprint Corp., 7.125%, 6/15/2024 |
111,312 | ||||||
2,840,000 | Sprint Corp., 7.875%, 9/15/2023 |
2,769,852 | ||||||
2,910,000 | SUPERVALU, Inc., 6.750%, 6/01/2021 |
2,939,100 | ||||||
235,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A |
240,288 | ||||||
520,000 | Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A |
520,000 | ||||||
1,360,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
1,258,000 | ||||||
820,000 | Textron, Inc., 5.950%, 9/21/2021 |
938,950 | ||||||
100,000 | THC Escrow Corp. II, 6.750%, 6/15/2023, 144A |
102,000 | ||||||
90,000 | Time Warner Cable, Inc., 4.500%, 9/15/2042 |
73,413 | ||||||
565,000 | Time Warner Cable, Inc., 5.250%, 7/15/2042, (GBP) |
816,904 | ||||||
945,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
696,937 | ||||||
171,000 | TransDigm, Inc., 6.500%, 7/15/2024 |
168,863 | ||||||
185,000 | TransDigm, Inc., 6.500%, 5/15/2025, 144A |
183,150 | ||||||
90,000 | TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 |
88,200 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
United States continued | ||||||||
$ | 5,000 | TRI Pointe Holdings, Inc., 5.875%, 6/15/2024 |
$ | 4,900 | ||||
1,080,000 | U.S. Treasury Bond, 2.500%, 2/15/2045 |
950,486 | ||||||
7,725,000 | U.S. Treasury Bond, 3.000%, 5/15/2045 |
7,570,500 | ||||||
5,000,000 | U.S. Treasury Note, 0.250%, 2/29/2016 |
5,002,735 | ||||||
3,785,000 | U.S. Treasury Note, 0.250%, 5/15/2016 |
3,783,819 | ||||||
7,500,000 | U.S. Treasury Note, 0.375%, 3/31/2016(c) |
7,507,620 | ||||||
8,530,000 | U.S. Treasury Note, 0.375%, 10/31/2016(c) |
8,524,669 | ||||||
8,520,000 | U.S. Treasury Note, 0.500%, 11/30/2016(c) |
8,525,325 | ||||||
5,555,000 | U.S. Treasury Note, 1.000%, 3/15/2018(h) |
5,568,021 | ||||||
15,291 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
16,667 | ||||||
630,000 | United Continental Holdings, Inc., 6.375%, 6/01/2018 |
656,775 | ||||||
295,000 | United Rentals North America, Inc., 7.625%, 4/15/2022 |
319,337 | ||||||
1,940,000 | United States Steel Corp., 6.650%, 6/01/2037 |
1,726,600 | ||||||
770,000 | United States Steel Corp., 7.500%, 3/15/2022 |
791,175 | ||||||
120,695 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
136,386 | ||||||
64,862 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 |
73,294 | ||||||
458,780 | US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 |
477,131 | ||||||
230,000 | USG Corp., 9.750%, 1/15/2018 |
261,625 | ||||||
110,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
117,411 | ||||||
60,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
71,086 | ||||||
315,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
393,899 | ||||||
965,000 | Windstream Corp., 7.500%, 4/01/2023 |
841,962 | ||||||
125,000 | Xerox Corp., 6.750%, 2/01/2017 |
134,649 | ||||||
20,000 | Xerox Corp., MTN, 7.200%, 4/01/2016 |
20,912 | ||||||
|
|
|||||||
219,789,216 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $388,646,540) |
387,003,035 | |||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Convertible Bonds 0.7% |
| ||||||
United States 0.7% | ||||||||
$ | 495,000 | Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A |
$ | 514,800 | ||||
390,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
369,525 | ||||||
175,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
173,250 | ||||||
185,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
251,831 | ||||||
530,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i) |
698,938 | ||||||
1,125,000 | Intel Corp., 3.250%, 8/01/2039 |
1,711,406 | ||||||
175,000 | KB Home, 1.375%, 2/01/2019 |
170,297 | ||||||
83,000 | Macquarie Infrastructure Corp., 2.875%, 7/15/2019 |
97,784 | ||||||
2,200,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
2,597,375 | ||||||
40,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
141,625 | ||||||
1,450,000 | Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A |
1,382,938 | ||||||
40,000 | RPM International, Inc., 2.250%, 12/15/2020 |
46,550 | ||||||
90,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
113,906 | ||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $6,807,898) |
8,270,225 | |||||||
|
|
|||||||
|
Municipals 0.0% |
| ||||||
United States 0.0% | ||||||||
415,000 | State of Illinois, 5.100%, 6/01/2033 |
386,759 | ||||||
130,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
95,106 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $451,805) |
481,865 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $395,906,243) |
395,755,125 | |||||||
|
|
|||||||
|
Senior Loans 0.4% |
| ||||||
United States 0.4% | ||||||||
1,832,813 | Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(f) |
1,845,990 | ||||||
1,065,000 | Flying Fortress, Inc., New Term Loan, 3.500%, 4/30/2020(f) |
1,065,330 | ||||||
426,300 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(f) |
425,234 | ||||||
23,142 | PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(f) |
23,084 | ||||||
120,000 | PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(f) |
118,200 |
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
United States continued | ||||||||
$ | 14,832 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(f) |
$ | 8,788 | ||||
900,355 | Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(f) |
901,382 | ||||||
|
|
|||||||
Total Senior Loans (Identified Cost $4,374,904) |
4,388,008 | |||||||
|
|
|||||||
|
Preferred Stocks 0.1% |
| ||||||
Shares | ||||||||
|
Non-Convertible Preferred Stock 0.1% |
| ||||||
United States 0.1% | ||||||||
341 | Ally Financial, Inc., Series G, 7.000% 144A (Identified Cost $75,329) |
344,570 | ||||||
|
|
|||||||
|
Convertible Preferred Stocks 0.0% |
| ||||||
United States 0.0% | ||||||||
2,585 | Alcoa, Inc., Series 1, 5.375% |
102,185 | ||||||
460 | Chesapeake Energy Corp., 5.000% |
35,305 | ||||||
100 | Chesapeake Energy Corp., Series A, 5.750% 144A |
67,391 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $260,516) |
204,881 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $335,845) |
549,451 | |||||||
|
|
Principal Amount () |
||||||||
|
Short-Term Investments 2.7% |
| ||||||
$ | 49,525 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $49,525 on 7/01/2015 collateralized by $49,700 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $50,596 including accrued interest(j) |
49,525 | |||||
32,964,822 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $32,964,831 on 7/01/2015 collateralized by $34,140,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $33,627,900 including accrued interest(j) |
32,964,822 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $33,014,347) |
33,014,347 | |||||||
|
|
|||||||
Total Investments 99.4% (Identified Cost $1,099,098,925)(a) |
1,223,603,738 | |||||||
Other assets less liabilities 0.6% |
7,976,488 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,231,580,226 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
As of June 30, 2015, approximately 22% 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.
() | 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 that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $1,100,062,079 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 |
$ | 152,052,148 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(28,510,489 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 123,541,659 | ||
|
|
(b) | Non-income producing security. |
(c) | All of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(d) | Perpetual bond with no specified maturity date. |
(e) | Fair valued by the Funds adviser. At June 30, 2015, the value of these securities amounted to $373,826 or less than 0.1% (includes illiquid securities) of net assets. |
(f) | Variable rate security. Rate as of June 30, 2015 is disclosed. |
(g) | Illiquid security. At June 30, 2015, the value of this security amounted to $197,625 or less than 0.1% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
(h) | A portion of this security has been designated to cover the Funds obligations under open forward foreign currency contracts. |
(i) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(j) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2015, the value of Rule 144A holdings amounted to $99,430,335 or 8.1% 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. |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
GBP | British Pound |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
KRW | South Korean Won |
MXN | Mexican Peso |
NOK | Norwegian Krone |
NZD | New Zealand Dollar |
PHP | Philippine Peso |
PLN | Polish Zloty |
SEK | Swedish Krona |
TRY | Turkish Lira |
ZAR | South African Rand |
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. Contracts are traded over-the-counter directly with a counterparty. 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, 2015, 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 |
9/16/2015 | Australian Dollar | 1,543,000 | $ | 1,185,612 | $ | (6,575 | ) | ||||||||||
Sell1 |
9/09/2015 | Brazilian Real | 10,010,000 | 3,140,770 | (24,332 | ) | ||||||||||||
Buy1 |
9/16/2015 | British Pound | 3,740,000 | 5,873,266 | 86,476 | |||||||||||||
Sell1 |
9/08/2015 | Canadian Dollar | 2,895,000 | 2,315,748 | (9,095 | ) | ||||||||||||
Buy2 |
9/16/2015 | Euro | 24,250,000 | 27,063,797 | (407,016 | ) | ||||||||||||
Sell3 |
7/14/2015 | Indonesian Rupiah | 28,200,000,000 | 2,110,510 | 16,989 | |||||||||||||
Sell3 |
7/14/2015 | Indonesian Rupiah | 11,400,000,000 | 853,185 | (6,545 | ) | ||||||||||||
Buy1 |
9/16/2015 | Japanese Yen | 2,276,500,000 | 18,619,363 | 399,900 | |||||||||||||
Sell4 |
9/17/2015 | Mexican Peso | 107,500,000 | 6,802,732 | 106,102 | |||||||||||||
Sell1 |
9/16/2015 | New Zealand Dollar | 8,162,000 | 5,495,423 | 156,354 | |||||||||||||
Sell4 |
9/16/2015 | Norwegian Krone | 4,200,000 | 534,741 | (1,855 | ) | ||||||||||||
Sell3 |
9/16/2015 | Polish Zloty | 24,720,000 | 6,561,153 | 195,174 | |||||||||||||
Sell4 |
7/28/2015 | Swedish Krona | 3,100,000 | 374,143 | (18,316 | ) | ||||||||||||
|
|
|||||||||||||||||
Total |
$ | 487,261 | ||||||||||||||||
|
|
At June 30, 2015, the Fund had the following open forward cross currency contracts:
Settlement Date |
Deliver/Units of Currency | Receive/Units of Currency | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
7/28/2015 |
Norwegian Krone | 14,180,000 | Euro | 1 | 1,667,293 | $ | 51,919 | |||||||||||||
|
|
1 | Counterparty is Credit Suisse International |
2 | Counterparty is Morgan Stanley & Co. |
3 | Counterparty is Citibank N.A. |
4 | Counterparty is UBS AG |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Global Equity and Income Fund
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
||||||||||||||||
Belgium |
$ | | $ | 19,251,566 | $ | | $ | 19,251,566 | ||||||||
China |
23,080,355 | 15,704,127 | | 38,784,482 | ||||||||||||
Denmark |
| 18,365,464 | | 18,365,464 | ||||||||||||
France |
| 14,347,377 | | 14,347,377 | ||||||||||||
Germany |
| 8,697,927 | | 8,697,927 | ||||||||||||
Hong Kong |
| 19,354,428 | | 19,354,428 | ||||||||||||
India |
12,234,979 | 22,267,137 | | 34,502,116 | ||||||||||||
Italy |
| 8,538,832 | | 8,538,832 | ||||||||||||
Japan |
| 38,913,553 | | 38,913,553 | ||||||||||||
Netherlands |
| 19,894,489 | | 19,894,489 | ||||||||||||
Philippines |
| 9,194,065 | | 9,194,065 | ||||||||||||
Sweden |
| 14,112,090 | | 14,112,090 | ||||||||||||
Switzerland |
| 29,501,840 | | 29,501,840 | ||||||||||||
United Kingdom |
| 34,424,527 | | 34,424,527 | ||||||||||||
All Other Common Stocks* |
482,014,051 | | | 482,014,051 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Common Stocks |
517,329,385 | 272,567,422 | | 789,896,807 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
United States |
34,507 | 219,184,412 | 570,297 | 219,789,216 | ||||||||||||
All Other Non-Convertible Bonds* |
| 167,213,819 | | 167,213,819 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
34,507 | 386,398,231 | 570,297 | 387,003,035 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 8,270,225 | | 8,270,225 | ||||||||||||
Municipals* |
| 481,865 | | 481,865 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
34,507 | 395,150,321 | 570,297 | 395,755,125 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 4,388,008 | | 4,388,008 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Non-Convertible Preferred Stock* |
344,570 | | | 344,570 | ||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
United States |
102,185 | 35,305 | 67,391 | 204,881 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
446,755 | 35,305 | 67,391 | 549,451 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 33,014,347 | | 33,014,347 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
517,810,647 | 705,155,403 | 637,688 | 1,223,603,738 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Forward Foreign Currency Contracts (unrealized appreciation) |
| 1,012,914 | | 1,012,914 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 517,810,647 | $ | 706,168,317 | $ | 637,688 | $ | 1,224,616,652 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (473,734 | ) | $ | | $ | (473,734 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
A preferred stock valued at $45,080 was transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, this security was valued at the last sale price. At June 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.
All transfers are recognized as of the beginning of the reporting period.
The following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair values as of September 30, 2014 and/or June 30, 2015:
Asset Valuation Inputs
Investments in |
Balance as of September 30, 2014 |
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, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Korea |
$ | 4,567,994 | $ | | $ | 18,693 | $ | (43,564 | ) | $ | | $ | (911,424 | ) | $ | | $ | (3,631,699 | ) | $ | | $ | | |||||||||||||||||
United States |
2,546,713 | 1,466 | 7,648 | (19,544 | ) | | (122,731 | ) | | (1,843,255 | ) | 570,297 | (4,382 | ) | ||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
United States |
| | | (43,547 | ) | | | 110,938 | | 67,391 | (43,547 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 7,114,707 | $ | 1,466 | $ | 26,341 | $ | (106,655 | ) | $ | | $ | (1,034,155 | ) | $ | 110,938 | $ | (5,474,954 | ) | $ | 637,688 | $ | (47,929 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A preferred stock valued at $110,938 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
Debt securities valued at $5,474,954 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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.
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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, 2015, the Fund engaged in forward foreign currency transactions for hedging purposes and to gain exposure to foreign currencies.
The following is a summary of derivative instruments for the Fund, as of June 30, 2015:
Assets |
Unrealized appreciation on forward foreign currency contracts |
|||
Over-the-counter asset derivatives |
||||
Foreign exchange contracts |
$ | 1,012,914 |
Liabilities |
Unrealized depreciation on forward foreign currency contracts |
|||
Over-the-counter liability derivatives |
||||
Foreign exchange contracts |
$ | (473,734 | ) |
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.
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, 2015, 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 | ||||||
Morgan Stanley & Co. |
$ | (407,016 | ) | $ | 327,766 |
Timing differences may exist between when contracts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||
$ | 1,340,680 | $ | 416,196 |
These amounts include cash received as collateral of $530,000.
Industry Summary at June 30, 2015 (Unaudited)
Pharmaceuticals |
10.4 | % | ||
Treasuries |
8.3 | |||
Internet Software & Services |
5.9 | |||
Banks |
5.8 | |||
Banking |
4.4 | |||
Insurance |
4.3 | |||
IT Services |
4.3 | |||
Aerospace & Defense |
3.7 | |||
Internet & Catalog Retail |
3.3 | |||
Specialty Retail |
3.2 | |||
Beverages |
2.4 | |||
Government Owned - No Guarantee |
2.1 | |||
Other Investments, less than 2% each |
38.6 | |||
Short-Term Investments |
2.7 | |||
|
|
|||
Total Investments |
99.4 | |||
Other assets less liabilities (including forward foreign currency contracts) |
0.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2015 (Unaudited)
United States Dollar |
67.5 | % | ||
Euro |
7.2 | |||
British Pound |
3.3 | |||
Japanese Yen |
3.2 | |||
Indian Rupee |
2.9 | |||
Hong Kong Dollar |
2.9 | |||
Swiss Franc |
2.4 | |||
Canadian Dollar |
2.1 | |||
Other, less than 2% each |
7.9 | |||
|
|
|||
Total Investments |
99.4 | |||
Other assets less liabilities (including forward foreign currency contracts) |
0.6 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Growth Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 98.3% of Net Assets |
| ||||||
Air Freight & Logistics 6.0% | ||||||||
829,310 | Expeditors International of Washington, Inc. |
$ | 38,235,338 | |||||
354,488 | United Parcel Service, Inc., Class B |
34,353,432 | ||||||
|
|
|||||||
72,588,770 | ||||||||
|
|
|||||||
Beverages 10.1% | ||||||||
940,855 | Coca-Cola Co. (The) |
36,909,742 | ||||||
381,601 | Monster Beverage Corp.(b) |
51,142,166 | ||||||
633,233 | SABMiller PLC, Sponsored ADR |
33,073,759 | ||||||
|
|
|||||||
121,125,667 | ||||||||
|
|
|||||||
Biotechnology 2.3% | ||||||||
178,540 | Amgen, Inc. |
27,409,461 | ||||||
|
|
|||||||
Capital Markets 4.0% | ||||||||
146,414 | Greenhill & Co., Inc. |
6,051,290 | ||||||
869,995 | SEI Investments Co. |
42,655,855 | ||||||
|
|
|||||||
48,707,145 | ||||||||
|
|
|||||||
Communications Equipment 8.8% | ||||||||
2,333,676 | Cisco Systems, Inc. |
64,082,743 | ||||||
678,295 | QUALCOMM, Inc. |
42,481,616 | ||||||
|
|
|||||||
106,564,359 | ||||||||
|
|
|||||||
Consumer Finance 1.2% | ||||||||
180,952 | American Express Co. |
14,063,589 | ||||||
|
|
|||||||
Energy Equipment & Services 2.8% | ||||||||
389,766 | Schlumberger Ltd. |
33,593,932 | ||||||
|
|
|||||||
Food Products 3.8% | ||||||||
3,517,771 | Danone, Sponsored ADR |
45,555,134 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 4.2% | ||||||||
375,158 | Varian Medical Systems, Inc.(b) |
31,637,074 | ||||||
172,866 | Zimmer Biomet Holdings, Inc. |
18,882,153 | ||||||
|
|
|||||||
50,519,227 | ||||||||
|
|
|||||||
Hotels, Restaurants & Leisure 2.5% | ||||||||
338,233 | Yum! Brands, Inc. |
30,468,029 | ||||||
|
|
|||||||
Household Products 3.0% | ||||||||
463,630 | Procter & Gamble Co. (The) |
36,274,411 | ||||||
|
|
|||||||
Internet & Catalog Retail 6.2% | ||||||||
170,739 | Amazon.com, Inc.(b) |
74,116,093 | ||||||
|
|
|||||||
Internet Software & Services 13.0% | ||||||||
451,329 | Alibaba Group Holding Ltd., Sponsored ADR(b) |
37,130,837 | ||||||
775,918 | Facebook, Inc., Class A(b) |
66,546,607 | ||||||
49,645 | Google, Inc., Class A(b) |
26,810,286 |
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Internet Software & Services continued | ||||||||
49,770 | Google, Inc., Class C(b) |
$ | 25,905,783 | |||||
|
|
|||||||
156,393,513 | ||||||||
|
|
|||||||
IT Services 5.6% | ||||||||
126,406 | Automatic Data Processing, Inc. |
10,141,553 | ||||||
845,014 | Visa, Inc., Class A |
56,742,690 | ||||||
|
|
|||||||
66,884,243 | ||||||||
|
|
|||||||
Pharmaceuticals 8.6% | ||||||||
326,551 | Merck & Co., Inc. |
18,590,548 | ||||||
405,022 | Novartis AG, ADR |
39,829,864 | ||||||
825,853 | Novo Nordisk AS, Sponsored ADR |
45,223,710 | ||||||
|
|
|||||||
103,644,122 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.3% | ||||||||
78,053 | Altera Corp. |
3,996,313 | ||||||
93,333 | Analog Devices, Inc. |
5,990,579 | ||||||
608,214 | ARM Holdings PLC, Sponsored ADR |
29,966,704 | ||||||
|
|
|||||||
39,953,596 | ||||||||
|
|
|||||||
Software 11.5% | ||||||||
547,156 | Autodesk, Inc.(b) |
27,398,837 | ||||||
163,751 | FactSet Research Systems, Inc. |
26,611,175 | ||||||
632,023 | Microsoft Corp. |
27,903,815 | ||||||
1,415,342 | Oracle Corp. |
57,038,283 | ||||||
|
|
|||||||
138,952,110 | ||||||||
|
|
|||||||
Specialty Retail 1.4% | ||||||||
248,018 | Lowes Cos., Inc. |
16,609,765 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,044,691,364) |
1,183,423,166 | |||||||
|
|
|||||||
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 1.4% |
| ||||||
$ | 17,478,393 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $17,478,398 on 7/01/2015 collateralized by $17,375,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $17,831,094 including accrued interest(c) (Identified Cost $17,478,393) |
17,478,393 | |||||
|
|
|||||||
Total Investments 99.7% (Identified Cost $1,062,169,757)(a) |
$ | 1,200,901,559 | ||||||
Other assets less liabilities 0.3% |
3,192,867 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,204,094,426 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At June 30, 2015, the net unrealized appreciation on investments based on a cost of $1,062,169,757 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 |
$ | 157,572,346 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(18,840,544 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 138,731,802 | ||
|
|
At September 30, 2014, the Fund had a capital loss carryforward of $46,273,472 of which $11,593,528 expires on September 30, 2017 and $34,679,944 expires on September 30, 2018. 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) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,183,423,166 | $ | | $ | | $ | 1,183,423,166 | ||||||||
Short-Term Investments |
| 17,478,393 | | 17,478,393 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,183,423,166 | $ | 17,478,393 | $ | | $ | 1,200,901,559 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2015 there were no transfers among Levels 1, 2 and 3.
Industry Summary at June 30, 2015 (Unaudited)
Internet Software & Services |
13.0 | % | ||
Software |
11.5 | |||
Beverages |
10.1 | |||
Communications Equipment |
8.8 | |||
Pharmaceuticals |
8.6 | |||
Internet & Catalog Retail |
6.2 | |||
Air Freight & Logistics |
6.0 | |||
IT Services |
5.6 | |||
Health Care Equipment & Supplies |
4.2 | |||
Capital Markets |
4.0 | |||
Food Products |
3.8 | |||
Semiconductors & Semiconductor Equipment |
3.3 | |||
Household Products |
3.0 | |||
Energy Equipment & Services |
2.8 | |||
Hotels, Restaurants & Leisure |
2.5 | |||
Biotechnology |
2.3 | |||
Other Investments, less than 2% each |
2.6 | |||
Short-Term Investments |
1.4 | |||
|
|
|||
Total Investments |
99.7 | |||
Other assets less liabilities |
0.3 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles High Income Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 83.0% of Net Assets |
| ||||||
|
Non-Convertible Bonds 74.8% |
| ||||||
ABS Home Equity 3.4% | ||||||||
$ | 212,144 | American Home Mortgage Investment Trust, Series 2005-2, Class 4A1, 1.923%, 9/25/2045(b) |
$ | 204,285 | ||||
300,000 | American Homes 4 Rent, Series 2014-SFR1, Class E, 2.750%, 6/17/2031, 144A(b) |
294,752 | ||||||
159,374 | Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1, 5.500%, 10/25/2033 |
168,696 | ||||||
239,874 | Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1, 5.500%, 12/25/2033 |
245,406 | ||||||
145,094 | Banc of America Funding Corp., Series 2007-4, Class 5A1, 5.500%, 11/25/2034 |
147,467 | ||||||
288,695 | Banc of America Funding Corp., Series 2008-R4, Class 1A4, 0.635%, 7/25/2037, 144A(b) |
199,349 | ||||||
184,550 | Banc of America Funding Trust, Series 2005-7, Class 3A1, 5.750%, 11/25/2035 |
189,147 | ||||||
41,495 | Banc of America Mortgage Securities, Inc., Series 2005-A, Class 2A1, 2.673%, 2/25/2035(b) |
40,461 | ||||||
98,739 | Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-9, Class 12A3, 2.781%, 11/25/2034(b) |
97,273 | ||||||
89,581 | Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2, 6.000%, 8/25/2036 |
90,473 | ||||||
85,183 | Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4, 2.614%, 5/25/2035(b) |
82,764 | ||||||
79,716 | CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7, 6.000%, 7/25/2036 |
75,099 | ||||||
478,545 | Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1, 6.000%, 12/25/2034 |
488,847 | ||||||
255,412 | Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3, 6.250%, 7/25/2036 |
171,625 | ||||||
299,060 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1, 0.457%, 4/25/2035(b) |
258,903 | ||||||
245,285 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-HYB7, Class 2A, 2.661%, 11/20/2035(b) |
230,612 | ||||||
62,789 | GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7, 5.000%, 11/25/2033 |
63,084 | ||||||
368,256 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1, 2.837%, 6/19/2035(b) |
357,376 | ||||||
285,245 | GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1, 3.080%, 7/19/2035(b) |
270,975 | ||||||
69,568 | GSR Mortgage Loan Trust, Series 2004-14, Class 3A1, 2.816%, 12/25/2034(b) |
67,006 | ||||||
471,834 | GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5, 2.716%, 9/25/2035(b) |
475,304 | ||||||
164,081 | GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17, 6.000%, 9/25/2036 |
137,366 | ||||||
87,970 | JPMorgan Alternative Loan Trust, Series 2006-A1, Class 5A1, 4.958%, 3/25/2036(b) |
69,907 | ||||||
343,660 | Lehman Mortgage Trust, Series 2005-3, Class 1A6, 0.687%, 1/25/2036(b) |
227,917 | ||||||
133,322 | Lehman Mortgage Trust, Series 2006-1, Class 3A5, 5.500%, 2/25/2036 |
130,137 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
ABS Home Equity continued | ||||||||
$ | 465,170 | MASTR Adjustable Rate Mortgages Trust, Series 2005-2, Class 3A1, 2.663%, 3/25/2035(b) |
$ | 406,568 | ||||
435,852 | Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7, 6.000%, 3/25/2037 |
342,220 | ||||||
88,043 | New York Mortgage Trust, Series 2006-1, Class 2A2, 2.603%, 5/25/2036(b) |
79,501 | ||||||
278,803 | Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3, 5.750%, 1/25/2036 |
287,166 | ||||||
522,378 | WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A, 1.937%, 1/25/2047(b) |
469,949 | ||||||
101,432 | WaMu Mortgage Pass Through Certificates, Series 2007-OA3, Class 2A1A, 0.918%, 4/25/2047(b) |
88,689 | ||||||
|
|
|||||||
6,458,324 | ||||||||
|
|
|||||||
ABS Other 0.5% | ||||||||
302,619 | AIM Aviation Finance Ltd., Series 2015-1A, Class B1, 5.072%, 2/15/2040, 144A(b) |
300,743 | ||||||
124,790 | Sierra Receivables Funding Co. LLC, Series 2011-3A, Class C, 9.310%, 7/20/2028, 144A |
132,908 | ||||||
450,000 | Springleaf Funding Trust, Series 2014-AA, Class C, 4.450%, 12/15/2022, 144A |
450,970 | ||||||
|
|
|||||||
884,621 | ||||||||
|
|
|||||||
Aerospace & Defense 2.1% | ||||||||
125,000 | Huntington Ingalls Industries, Inc., 5.000%, 12/15/2021, 144A |
127,188 | ||||||
355,000 | KLX, Inc., 5.875%, 12/01/2022, 144A |
358,511 | ||||||
1,500,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
1,440,000 | ||||||
900,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
967,500 | ||||||
620,000 | TransDigm, Inc., 6.000%, 7/15/2022 |
612,250 | ||||||
515,000 | TransDigm, Inc., 6.500%, 7/15/2024 |
508,562 | ||||||
|
|
|||||||
4,014,011 | ||||||||
|
|
|||||||
Airlines 0.1% | ||||||||
117,433 | Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A |
121,043 | ||||||
180,407 | Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A |
182,965 | ||||||
|
|
|||||||
304,008 | ||||||||
|
|
|||||||
Automotive 0.9% | ||||||||
170,000 | General Motors Financial Co., Inc., 3.450%, 4/10/2022 |
166,575 | ||||||
620,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A |
618,450 | ||||||
310,000 | Nexteer Automotive Group Ltd., 5.875%, 11/15/2021, 144A |
317,750 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Automotive continued | ||||||||
$ | 735,000 | ZF North America Capital, Inc., 4.750%, 4/29/2025, 144A |
$ | 711,575 | ||||
|
|
|||||||
1,814,350 | ||||||||
|
|
|||||||
Banking 2.0% | ||||||||
730,000 | Ally Financial, Inc., 4.125%, 2/13/2022 |
700,800 | ||||||
2,100,000 | Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL) |
636,261 | ||||||
900,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
715,683 | ||||||
65,000 | Royal Bank of Scotland Group PLC, 5.250%, (EUR)(c) |
72,103 | ||||||
740,000 | Royal Bank of Scotland Group PLC, 5.500%, (EUR)(c) |
822,926 | ||||||
800,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022(d) |
861,426 | ||||||
|
|
|||||||
3,809,199 | ||||||||
|
|
|||||||
Brokerage 0.3% | ||||||||
535,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A |
521,625 | ||||||
|
|
|||||||
Building Materials 1.8% | ||||||||
890,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
720,900 | ||||||
556,000 | CPG Merger Sub LLC, 8.000%, 10/01/2021, 144A |
574,626 | ||||||
50,000 | Masco Corp., 6.500%, 8/15/2032 |
52,750 | ||||||
345,000 | Masco Corp., 7.750%, 8/01/2029 |
398,475 | ||||||
245,000 | NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A |
260,925 | ||||||
1,000,000 | Odebrecht Finance Ltd., 4.375%, 4/25/2025, 144A |
764,700 | ||||||
900,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
209,868 | ||||||
555,000 | Vulcan Materials Co., 4.500%, 4/01/2025 |
553,612 | ||||||
|
|
|||||||
3,535,856 | ||||||||
|
|
|||||||
Cable Satellite 4.3% | ||||||||
795,000 | Altice Financing S.A., 6.625%, 2/15/2023, 144A |
789,276 | ||||||
475,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 2/15/2023 |
463,125 | ||||||
625,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A |
607,812 | ||||||
430,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.250%, 9/30/2022 |
423,550 | ||||||
15,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024 |
15,075 | ||||||
895,000 | DISH DBS Corp., 5.125%, 5/01/2020 |
905,069 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Cable Satellite continued | ||||||||
$ | 1,620,000 | DISH DBS Corp., 5.875%, 11/15/2024 |
$ | 1,556,212 | ||||
155,000 | Numericable-SFR, 5.375%, 5/15/2022, 144A, (EUR) |
175,394 | ||||||
515,000 | Unitymedia Hessen GmbH & Co.KG/Unitymedia NRW GmbH, 5.000%, 1/15/2025, 144A |
511,138 | ||||||
1,485,000 | Unitymedia KabelBW GmbH, 6.125%, 1/15/2025, 144A |
1,551,825 | ||||||
265,000 | Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A |
268,975 | ||||||
485,000 | Virgin Media Finance PLC, 6.375%, 4/15/2023, 144A |
501,369 | ||||||
375,000 | Virgin Media Secured Finance PLC, 5.500%, 1/15/2025, 144A |
376,406 | ||||||
130,000 | Wave Holdco LLC/Wave Holdco Corp., PIK, 8.250%, 7/15/2019, 144A(e) |
132,301 | ||||||
|
|
|||||||
8,277,527 | ||||||||
|
|
|||||||
Chemicals 1.6% | ||||||||
265,000 | Braskem Finance Ltd., 6.450%, 2/03/2024 |
250,425 | ||||||
535,000 | Eagle Spinco, Inc., 4.625%, 2/15/2021 |
518,950 | ||||||
1,510,000 | Hercules, Inc., 6.500%, 6/30/2029 |
1,374,100 | ||||||
1,125,000 | TPC Group, Inc., 8.750%, 12/15/2020, 144A |
1,040,625 | ||||||
|
|
|||||||
3,184,100 | ||||||||
|
|
|||||||
Consumer Cyclical Services 1.1% | ||||||||
515,000 | IHS, Inc., 5.000%, 11/01/2022, 144A |
511,781 | ||||||
455,000 | Interval Acquisition Corp., 5.625%, 4/15/2023, 144A |
460,688 | ||||||
1,095,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 |
1,105,950 | ||||||
|
|
|||||||
2,078,419 | ||||||||
|
|
|||||||
Electric 1.7% | ||||||||
520,000 | AES Corp. (The), 5.500%, 4/15/2025 |
495,300 | ||||||
525,000 | Dynegy, Inc., 7.375%, 11/01/2022, 144A |
549,937 | ||||||
1,502,000 | Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter), 8.750%, 9/24/2073, 144A(d) |
1,723,545 | ||||||
12,063 | Red Oak Power LLC, Series A, 8.540%, 11/30/2019 |
12,848 | ||||||
175,000 | Talen Energy Supply LLC, 6.500%, 6/01/2025, 144A |
175,000 | ||||||
255,000 | TerraForm Power Operating LLC, 5.875%, 2/01/2023, 144A |
258,825 | ||||||
|
|
|||||||
3,215,455 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Environmental 0.2% | ||||||||
$ | 335,000 | GFL Environmental, Inc., 7.875%, 4/01/2020, 144A |
$ | 343,794 | ||||
|
|
|||||||
Finance Companies 5.3% | ||||||||
740,000 | AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 4.500%, 5/15/2021, 144A |
743,700 | ||||||
685,000 | AerCap Ireland Capital Ltd./AerCap Global Aviation Trust, 5.000%, 10/01/2021, 144A |
704,694 | ||||||
130,000 | Aircastle Ltd., 5.500%, 2/15/2022 |
132,682 | ||||||
910,000 | CIT Group, Inc., 3.875%, 2/19/2019 |
903,175 | ||||||
65,000 | CIT Group, Inc., 5.000%, 8/15/2022 |
64,350 | ||||||
545,000 | CIT Group, Inc., 5.000%, 8/01/2023 |
536,825 | ||||||
600,000 | iStar Financial, Inc., 4.000%, 11/01/2017 |
589,500 | ||||||
505,000 | iStar Financial, Inc., 5.000%, 7/01/2019 |
498,056 | ||||||
1,015,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 5.875%, 8/01/2021, 144A |
987,087 | ||||||
585,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017 |
609,863 | ||||||
870,000 | Navient Corp., 5.000%, 10/26/2020 |
852,600 | ||||||
200,000 | Navient Corp., 5.875%, 3/25/2021 |
199,874 | ||||||
435,000 | Oxford Finance LLC/Oxford Finance Co-Issuer, Inc., 7.250%, 1/15/2018, 144A |
448,050 | ||||||
540,000 | Provident Funding Associates LP/PFG Finance Corp., 6.750%, 6/15/2021, 144A |
515,700 | ||||||
750,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A |
718,125 | ||||||
445,000 | Springleaf Finance Corp., 5.250%, 12/15/2019 |
438,881 | ||||||
1,110,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 |
1,204,350 | ||||||
|
|
|||||||
10,147,512 | ||||||||
|
|
|||||||
Financial Other 0.9% | ||||||||
695,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 4.875%, 3/15/2019 |
700,212 | ||||||
180,000 | Icahn Enterprises LP/Icahn Enterprises Finance Corp., 5.875%, 2/01/2022 |
183,375 | ||||||
804,000 | Rialto Holdings LLC/Rialto Corp., 7.000%, 12/01/2018, 144A |
836,160 | ||||||
|
|
|||||||
1,719,747 | ||||||||
|
|
|||||||
Food & Beverage 0.6% | ||||||||
1,800,000 | BRF S.A., 7.750%, 5/22/2018, 144A, (BRL) |
483,419 | ||||||
600,000 | Cosan Luxembourg S.A., 9.500%, 3/14/2018, 144A, (BRL) |
168,377 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Food & Beverage continued | ||||||||
$ | 480,000 | WhiteWave Foods Co. (The), 5.375%, 10/01/2022 |
$ | 506,400 | ||||
|
|
|||||||
1,158,196 | ||||||||
|
|
|||||||
Gaming 1.5% | ||||||||
100,000 | GLP Capital LP/GLP Financing II, Inc., 4.375%, 11/01/2018 |
102,625 | ||||||
740,000 | GLP Capital LP/GLP Financing II, Inc., 4.875%, 11/01/2020 |
752,950 | ||||||
725,000 | MGM Resorts International, 6.000%, 3/15/2023 |
734,062 | ||||||
1,205,000 | MGM Resorts International, 6.750%, 10/01/2020 |
1,277,300 | ||||||
|
|
|||||||
2,866,937 | ||||||||
|
|
|||||||
Government Owned - No Guarantee 0.9% | ||||||||
530,000 | Petrobras Global Finance BV, 6.250%, 3/17/2024 |
511,699 | ||||||
129,850 | () | Petroleos Mexicanos, 7.470%, 11/12/2026, (MXN) |
781,925 | |||||
465,000 | Rio Oil Finance Trust, Series 2014-1, 6.250%, 7/06/2024, 144A |
456,863 | ||||||
|
|
|||||||
1,750,487 | ||||||||
|
|
|||||||
Health Insurance 0.5% | ||||||||
1,025,000 | WellCare Health Plans, Inc., 5.750%, 11/15/2020 |
1,066,000 | ||||||
|
|
|||||||
Healthcare 5.0% | ||||||||
360,000 | Amsurg Corp., 5.625%, 7/15/2022 |
363,150 | ||||||
215,000 | BioScrip, Inc., 8.875%, 2/15/2021 |
182,750 | ||||||
1,330,000 | CHS/Community Health Systems, Inc., 6.875%, 2/01/2022 |
1,403,150 | ||||||
560,000 | ExamWorks Group, Inc., 5.625%, 4/15/2023 |
574,202 | ||||||
155,000 | Fresenius Medical Care U.S. Finance II, Inc., 4.125%, 10/15/2020, 144A |
156,938 | ||||||
145,000 | Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024, 144A |
143,550 | ||||||
260,000 | HCA, Inc., 5.375%, 2/01/2025 |
264,238 | ||||||
170,000 | HCA, Inc., 7.050%, 12/01/2027 |
177,650 | ||||||
655,000 | HCA, Inc., 7.500%, 12/15/2023 |
720,500 | ||||||
145,000 | HCA, Inc., 7.500%, 11/06/2033 |
157,325 | ||||||
590,000 | HCA, Inc., 7.690%, 6/15/2025 |
669,650 | ||||||
480,000 | HCA, Inc., 8.360%, 4/15/2024 |
566,400 | ||||||
820,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
906,100 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Healthcare continued | ||||||||
$ | 515,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
$ | 548,475 | ||||
305,000 | LifePoint Health, Inc., 5.500%, 12/01/2021 |
314,912 | ||||||
540,000 | Tenet Healthcare Corp., 4.500%, 4/01/2021 |
534,600 | ||||||
310,000 | Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A |
310,000 | ||||||
635,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
587,375 | ||||||
225,000 | THC Escrow Corp. II, 6.750%, 6/15/2023, 144A |
229,500 | ||||||
720,000 | Universal Health Services, Inc., 4.750%, 8/01/2022, 144A |
743,400 | ||||||
|
|
|||||||
9,553,865 | ||||||||
|
|
|||||||
Home Construction 1.9% | ||||||||
1,200,000 | Corporacion GEO SAB de CV, 8.875%, 3/27/2022, 144A(f) |
24,120 | ||||||
750,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
639,375 | ||||||
2,005,000 | Lennar Corp., 4.750%, 5/30/2025 |
1,944,850 | ||||||
915,000 | TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 |
896,700 | ||||||
200,000 | Urbi Desarrollos Urbanos SAB de CV, 9.500%, 1/21/2020, 144A(f) |
22,100 | ||||||
900,000 | Urbi Desarrollos Urbanos SAB de CV, 9.750%, 2/03/2022, 144A(f) |
94,500 | ||||||
|
|
|||||||
3,621,645 | ||||||||
|
|
|||||||
Independent Energy 7.8% | ||||||||
235,000 | American Energy-Permian Basin LLC/AEPB Finance Corp., 7.125%, 11/01/2020, 144A |
159,800 | ||||||
490,000 | Antero Resources Corp., 5.125%, 12/01/2022 |
463,050 | ||||||
90,000 | Baytex Energy Corp., 5.125%, 6/01/2021, 144A |
84,375 | ||||||
840,000 | Baytex Energy Corp., 5.625%, 6/01/2024, 144A |
779,100 | ||||||
370,000 | Bonanza Creek Energy, Inc., 5.750%, 2/01/2023 |
332,075 | ||||||
625,000 | Bonanza Creek Energy, Inc., 6.750%, 4/15/2021 |
592,187 | ||||||
75,000 | California Resources Corp., 5.000%, 1/15/2020 |
66,000 | ||||||
845,000 | California Resources Corp., 5.500%, 9/15/2021 |
735,319 | ||||||
380,000 | California Resources Corp., 6.000%, 11/15/2024 |
326,800 | ||||||
550,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022 |
477,125 | ||||||
280,000 | Chesapeake Energy Corp., 6.625%, 8/15/2020 |
273,000 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Independent Energy continued | ||||||||
$ | 70,000 | Concho Resources, Inc., 5.500%, 10/01/2022 |
$ | 69,650 | ||||
125,000 | Concho Resources, Inc., 5.500%, 4/01/2023 |
125,000 | ||||||
335,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
305,788 | ||||||
215,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
207,305 | ||||||
170,000 | Halcon Resources Corp., 8.625%, 2/01/2020, 144A |
167,875 | ||||||
115,000 | Halcon Resources Corp., 8.875%, 5/15/2021 |
75,613 | ||||||
490,000 | Halcon Resources Corp., 9.750%, 7/15/2020 |
329,525 | ||||||
220,000 | Jones Energy Holdings LLC/Jones Energy Finance Corp., 6.750%, 4/01/2022 |
209,550 | ||||||
145,000 | Matador Resources Co., 6.875%, 4/15/2023, 144A |
148,081 | ||||||
410,000 | MEG Energy Corp., 6.375%, 1/30/2023, 144A |
379,250 | ||||||
60,000 | MEG Energy Corp., 6.500%, 3/15/2021, 144A |
57,750 | ||||||
265,000 | MEG Energy Corp., 7.000%, 3/31/2024, 144A |
254,069 | ||||||
625,000 | Oasis Petroleum, Inc., 6.875%, 3/15/2022 |
634,375 | ||||||
485,000 | Oasis Petroleum, Inc., 7.250%, 2/01/2019 |
497,125 | ||||||
400,000 | QEP Resources, Inc., 5.250%, 5/01/2023 |
383,000 | ||||||
520,000 | QEP Resources, Inc., 5.375%, 10/01/2022 |
502,164 | ||||||
1,000,000 | Rex Energy Corp., 6.250%, 8/01/2022 |
790,000 | ||||||
150,000 | Rex Energy Corp., 8.875%, 12/01/2020 |
135,000 | ||||||
1,025,000 | Rice Energy, Inc., 6.250%, 5/01/2022 |
1,017,312 | ||||||
155,000 | RKI Exploration & Production LLC/RKI Finance Corp., 8.500%, 8/01/2021, 144A |
153,450 | ||||||
1,435,000 | Rosetta Resources, Inc., 5.875%, 6/01/2022 |
1,531,862 | ||||||
330,000 | RSP Permian, Inc., 6.625%, 10/01/2022, 144A |
337,425 | ||||||
330,000 | Sanchez Energy Corp., 6.125%, 1/15/2023 |
295,350 | ||||||
70,000 | Sanchez Energy Corp., 7.750%, 6/15/2021 |
69,650 | ||||||
920,000 | SM Energy Co., 5.000%, 1/15/2024 |
871,700 | ||||||
35,000 | SM Energy Co., 6.125%, 11/15/2022, 144A |
35,970 | ||||||
395,000 | Southwestern Energy Co., 4.950%, 1/23/2025 |
399,072 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Independent Energy continued | ||||||||
$ | 115,000 | Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A |
$ | 110,400 | ||||
55,000 | Whiting Petroleum Corp., 5.000%, 3/15/2019 |
53,900 | ||||||
455,000 | Whiting Petroleum Corp., 5.750%, 3/15/2021 |
447,720 | ||||||
|
|
|||||||
14,883,762 | ||||||||
|
|
|||||||
Industrial Other 0.3% | ||||||||
265,000 | AECOM Technology Corp., 5.750%, 10/15/2022, 144A |
268,313 | ||||||
330,000 | Transfield Services Ltd., 8.375%, 5/15/2020, 144A |
351,450 | ||||||
|
|
|||||||
619,763 | ||||||||
|
|
|||||||
Integrated Energy 0.6% | ||||||||
100,000 | Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A |
71,500 | ||||||
800,000 | Pacific Rubiales Energy Corp., 5.375%, 1/26/2019, 144A |
657,200 | ||||||
580,000 | Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A |
420,500 | ||||||
|
|
|||||||
1,149,200 | ||||||||
|
|
|||||||
Life Insurance 0.2% | ||||||||
340,000 | CNO Financial Group, Inc., 5.250%, 5/30/2025 |
345,508 | ||||||
|
|
|||||||
Media Entertainment 0.6% | ||||||||
1,000,000 | Clear Channel Worldwide Holdings, Inc., Series B, 6.500%, 11/15/2022 |
1,041,250 | ||||||
151,000 | DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020, 144A |
149,490 | ||||||
|
|
|||||||
1,190,740 | ||||||||
|
|
|||||||
Metals & Mining 2.4% | ||||||||
1,395,000 | ArcelorMittal, 7.500%, 3/01/2041 |
1,367,100 | ||||||
795,000 | CONSOL Energy, Inc., 5.875%, 4/15/2022 |
675,750 | ||||||
180,000 | Constellium NV, 4.625%, 5/15/2021, 144A, (EUR) |
183,867 | ||||||
460,000 | Emeco Pty Ltd., 9.875%, 3/15/2019, 144A |
335,800 | ||||||
460,000 | Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A |
389,850 | ||||||
175,000 | First Quantum Minerals Ltd., 7.000%, 2/15/2021, 144A |
167,344 | ||||||
270,000 | First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A |
258,187 | ||||||
1,260,000 | Freeport-McMoRan, Inc., 4.550%, 11/14/2024(d) |
1,174,033 | ||||||
|
|
|||||||
4,551,931 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Midstream 3.7% | ||||||||
$ | 1,015,000 | Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., 6.250%, 4/01/2023, 144A |
$ | 1,055,600 | ||||
200,000 | Gibson Energy, Inc., 6.750%, 7/15/2021, 144A |
206,500 | ||||||
270,000 | MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875%, 12/01/2024 |
263,925 | ||||||
55,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 6.875%, 10/15/2021 |
57,200 | ||||||
405,000 | NGL Energy Partners LP/NGL Energy Finance Corp., 5.125%, 7/15/2019 |
403,987 | ||||||
445,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 4.500%, 11/01/2023 |
429,425 | ||||||
295,000 | Regency Energy Partners LP/Regency Energy Finance Corp., 5.875%, 3/01/2022 |
314,032 | ||||||
385,000 | Rose Rock Midstream LP/Rose Rock Finance Corp., 5.625%, 7/15/2022 |
376,337 | ||||||
385,000 | Sabine Pass Liquefaction LLC, 5.625%, 2/01/2021 |
392,700 | ||||||
480,000 | Sabine Pass Liquefaction LLC, 5.625%, 3/01/2025, 144A |
475,200 | ||||||
425,000 | Sabine Pass Liquefaction LLC, 6.250%, 3/15/2022 |
439,875 | ||||||
935,000 | Summit Midstream Holdings LLC/Summit Midstream Finance Corp., 5.500%, 8/15/2022 |
892,925 | ||||||
408,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.125%, 11/15/2019, 144A |
403,920 | ||||||
25,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 4.250%, 11/15/2023 |
23,125 | ||||||
100,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.250%, 5/01/2023 |
99,000 | ||||||
300,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.375%, 8/01/2022 |
312,000 | ||||||
15,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 6.875%, 2/01/2021 |
15,563 | ||||||
355,000 | Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.500%, 10/15/2019, 144A |
368,313 | ||||||
360,000 | Tesoro Logistics LP/Tesoro Logistics Finance Corp., 6.250%, 10/15/2022, 144A |
373,500 | ||||||
180,000 | Western Refining Logistics LP/WNRL Finance Corp., 7.500%, 2/15/2023, 144A |
185,400 | ||||||
|
|
|||||||
7,088,527 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 1.9% | ||||||||
935,000 | BXHTL Mortgage Trust, Series 2015-DRMZ, Class M, 8.400%, 5/15/2018, 144A(g)(i) |
935,000 | ||||||
1,690,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b) |
1,721,270 | ||||||
805,000 | Hilton USA Trust, Series 2013-HLT, Class EFX, 5.609%, 11/05/2030, 144A(b) |
815,883 | ||||||
125,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM, 5.464%, 1/15/2049(b) |
129,223 | ||||||
|
|
|||||||
3,601,376 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Oil Field Services 0.4% | ||||||||
$ | 285,000 | Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(g)(i)(j) |
$ | 98,325 | ||||
435,000 | Paragon Offshore PLC, 6.750%, 7/15/2022, 144A |
143,550 | ||||||
905,000 | Paragon Offshore PLC, 7.250%, 8/15/2024, 144A |
294,125 | ||||||
35,000 | Parker Drilling Co., 6.750%, 7/15/2022 |
30,188 | ||||||
155,000 | Pioneer Energy Services Corp., 6.125%, 3/15/2022 |
124,000 | ||||||
40,000 | Transocean, Inc., 4.300%, 10/15/2022 |
30,100 | ||||||
|
|
|||||||
720,288 | ||||||||
|
|
|||||||
Packaging 0.8% | ||||||||
755,000 | Sealed Air Corp., 6.875%, 7/15/2033, 144A |
762,550 | ||||||
775,000 | Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A |
751,750 | ||||||
|
|
|||||||
1,514,300 | ||||||||
|
|
|||||||
Pharmaceuticals 1.3% | ||||||||
1,540,000 | Valeant Pharmaceuticals International, 6.375%, 10/15/2020, 144A |
1,621,813 | ||||||
530,000 | Valeant Pharmaceuticals International, 7.250%, 7/15/2022, 144A |
563,125 | ||||||
335,000 | VRX Escrow Corp., 5.375%, 3/15/2020, 144A |
344,631 | ||||||
|
|
|||||||
2,529,569 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.4% | ||||||||
786,000 | Hockey Merger Sub 2, Inc., 7.875%, 10/01/2021, 144A |
801,720 | ||||||
|
|
|||||||
Retailers 1.7% | ||||||||
40,000 | Dillards, Inc., 7.000%, 12/01/2028 |
44,200 | ||||||
435,000 | Dillards, Inc., 7.750%, 7/15/2026 |
503,512 | ||||||
205,000 | Dillards, Inc., 7.750%, 5/15/2027 |
237,288 | ||||||
35,000 | Dillards, Inc., 7.875%, 1/01/2023 |
41,563 | ||||||
280,000 | Family Tree Escrow LLC, 5.750%, 3/01/2023, 144A |
292,600 | ||||||
1,035,000 | GameStop Corp., 5.500%, 10/01/2019, 144A |
1,063,462 | ||||||
280,000 | Group 1 Automotive, Inc., 5.000%, 6/01/2022 |
278,600 | ||||||
255,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
249,581 | ||||||
245,000 | J.C. Penney Corp., Inc., 8.125%, 10/01/2019 |
242,550 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Retailers continued | ||||||||
$ | 520,000 | Nine West Holdings, Inc., 6.125%, 11/15/2034 |
$ | 236,600 | ||||
|
|
|||||||
3,189,956 | ||||||||
|
|
|||||||
Supermarkets 0.5% | ||||||||
935,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
794,750 | ||||||
140,000 | SUPERVALU, Inc., 7.750%, 11/15/2022 |
146,913 | ||||||
|
|
|||||||
941,663 | ||||||||
|
|
|||||||
Supranational 2.0% | ||||||||
30,700,000 | European Bank for Reconstruction & Development, GMTN, 6.000%, 3/03/2016, (INR) |
479,716 | ||||||
458,000,000 | International Bank for Reconstruction & Development, EMTN, 4.250%, 2/05/2016, (CLP) |
723,601 | ||||||
21,150,000 | International Bank for Reconstruction & Development, Series GDIF, 5.000%, 5/24/2017, (INR) |
322,557 | ||||||
100,890,000 | International Finance Corp., 7.800%, 6/03/2019, (INR)(d) |
1,634,710 | ||||||
2,175,000 | International Finance Corp., GMTN, 10.500%, 4/17/2018, (BRL) |
680,916 | ||||||
|
|
|||||||
3,841,500 | ||||||||
|
|
|||||||
Technology 4.4% | ||||||||
1,545,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
1,595,212 | ||||||
1,930,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
1,987,900 | ||||||
550,000 | Blackboard, Inc., 7.750%, 11/15/2019, 144A |
517,000 | ||||||
445,000 | BMC Software Finance, Inc., 8.125%, 7/15/2021, 144A |
360,450 | ||||||
60,000 | CommScope Technologies Finance LLC, 6.000%, 6/15/2025, 144A |
59,775 | ||||||
75,000 | CommScope, Inc., 4.375%, 6/15/2020, 144A |
75,750 | ||||||
330,000 | CommScope, Inc., 5.000%, 6/15/2021, 144A |
321,750 | ||||||
430,000 | Equinix, Inc., 4.875%, 4/01/2020 |
434,300 | ||||||
480,000 | Equinix, Inc., 5.375%, 1/01/2022 |
481,200 | ||||||
260,000 | First Data Corp., 10.625%, 6/15/2021 |
287,950 | ||||||
510,000 | Micron Technology, Inc., 5.250%, 1/15/2024, 144A |
481,631 | ||||||
515,000 | Micron Technology, Inc., 5.625%, 1/15/2026, 144A |
475,731 | ||||||
215,000 | MSCI, Inc., 5.250%, 11/15/2024, 144A |
217,688 | ||||||
515,000 | Open Text Corp., 5.625%, 1/15/2023, 144A |
509,850 | ||||||
240,000 | Rolta Americas LLC, 8.875%, 7/24/2019, 144A |
198,000 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Technology continued | ||||||||
$ | 405,000 | Sabre GLBL, Inc., 5.375%, 4/15/2023, 144A |
$ | 398,925 | ||||
|
|
|||||||
8,403,112 | ||||||||
|
|
|||||||
Transportation Services 0.4% | ||||||||
275,000 | APL Ltd., 8.000%, 1/15/2024(g)(i) |
231,000 | ||||||
550,000 | Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 5.125%, 6/01/2022, 144A |
536,250 | ||||||
|
|
|||||||
767,250 | ||||||||
|
|
|||||||
Treasuries 5.6% | ||||||||
55,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(h) |
22,971 | ||||||
55,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(h) |
23,249 | ||||||
20,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(h) |
8,500 | ||||||
165,000 | () | Mexican Fixed Rate Bonds, Series M, 4.750%, 6/14/2018, (MXN)(d) |
1,054,053 | |||||
131,500 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN)(d) |
871,196 | |||||
116,500 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
837,584 | |||||
184,000 | () | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN)(d) |
1,498,984 | |||||
10,000,000 | Philippine Government International Bond, 4.950%, 1/15/2021, (PHP) |
232,868 | ||||||
120,000,000 | Philippine Government International Bond, 6.250%, 1/14/2036, (PHP)(d) |
3,020,625 | ||||||
1,050,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
320,832 | ||||||
2,250,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
761,314 | ||||||
2,070,000 | U.S. Treasury Note, 0.875%, 5/15/2017 |
2,079,704 | ||||||
|
|
|||||||
10,731,880 | ||||||||
|
|
|||||||
Wireless 1.8% | ||||||||
100,000 | Altice S.A., 7.250%, 5/15/2022, 144A, (EUR) |
112,600 | ||||||
355,000 | Altice S.A., 7.625%, 2/15/2025, 144A |
333,700 | ||||||
785,000 | Altice S.A., 7.750%, 5/15/2022, 144A |
759,488 | ||||||
6,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
365,707 | ||||||
6,100,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) |
375,443 | ||||||
786,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
675,960 | ||||||
370,000 | T-Mobile USA, Inc., 6.125%, 1/15/2022 |
382,025 | ||||||
180,000 | Wind Acquisition Finance S.A., 4.011%, 7/15/2020, 144A, (EUR)(b) |
199,168 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Wireless continued | ||||||||
$ | 200,000 | Wind Acquisition Finance S.A., 4.750%, 7/15/2020, 144A |
$ | 197,000 | ||||
|
|
|||||||
3,401,091 | ||||||||
Wirelines 1.4% | ||||||||
705,000 | CenturyLink, Inc., 7.650%, 3/15/2042 |
638,025 | ||||||
130,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
124,800 | ||||||
60,000,000 | Empresa de Telecomunicaniones de Bogota, 7.000%, 1/17/2023, 144A, (COP) |
21,810 | ||||||
405,000 | Frontier Communications Corp., 9.000%, 8/15/2031 |
368,550 | ||||||
705,000 | Level 3 Communications, Inc., 5.750%, 12/01/2022 |
699,712 | ||||||
345,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
353,625 | ||||||
35,000 | Telecom Italia Capital S.A., 7.200%, 7/18/2036 |
38,238 | ||||||
85,000 | Telecom Italia Capital S.A., 7.721%, 6/04/2038 |
95,625 | ||||||
450,000 | Telecom Italia SpA, 5.303%, 5/30/2024, 144A |
448,313 | ||||||
|
|
|||||||
2,788,698 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $147,648,628) |
143,387,512 | |||||||
|
|
|||||||
|
Convertible Bonds 8.2% |
| ||||||
Building Materials 0.7% | ||||||||
645,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
1,408,116 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.6% | ||||||||
875,000 | Jarden Corp., 1.125%, 3/15/2034 |
1,018,828 | ||||||
115,000 | Macquarie Infrastructure Corp., 2.875%, 7/15/2019 |
135,485 | ||||||
|
|
|||||||
1,154,313 | ||||||||
|
|
|||||||
Consumer Products 0.4% | ||||||||
755,000 | Iconix Brand Group, Inc., 1.500%, 3/15/2018 |
771,988 | ||||||
|
|
|||||||
Energy 0.4% | ||||||||
945,000 | Hornbeck Offshore Services, Inc., 1.500%, 9/01/2019 |
771,356 | ||||||
|
|
|||||||
Media Entertainment 0.5% | ||||||||
1,035,000 | Rovi Corp., 0.500%, 3/01/2020, 144A |
945,731 | ||||||
|
|
|||||||
Midstream 0.9% | ||||||||
420,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
397,950 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Convertible Bonds continued |
| ||||||
Midstream continued | ||||||||
$ | 1,290,000 | Whiting Petroleum Corp., 1.250%, 4/01/2020, 144A |
$ | 1,409,325 | ||||
|
|
|||||||
1,807,275 | ||||||||
|
|
|||||||
Pharmaceuticals 2.6% | ||||||||
58,000 | BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018 |
89,393 | ||||||
644,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020 |
1,025,570 | ||||||
844,000 | Emergent Biosolutions, Inc., 2.875%, 1/15/2021 |
1,045,505 | ||||||
250,000 | Gilead Sciences, Inc., Series D, 1.625%, 5/01/2016 |
1,289,062 | ||||||
285,000 | Mylan, Inc., 3.750%, 9/15/2015(d) |
1,448,334 | ||||||
|
|
|||||||
4,897,864 | ||||||||
|
|
|||||||
REITs - Mortgage 0.0% | ||||||||
15,000 | Redwood Trust, Inc., 4.625%, 4/15/2018 |
14,381 | ||||||
|
|
|||||||
Technology 2.1% | ||||||||
126,000 | Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A |
131,040 | ||||||
765,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
1,041,356 | ||||||
185,000 | MercadoLibre, Inc., 2.250%, 7/01/2019, 144A |
234,025 | ||||||
115,000 | Novellus Systems, Inc., 2.625%, 5/15/2041 |
273,484 | ||||||
108,000 | Nuance Communications, Inc., 1.500%, 11/01/2035 |
111,578 | ||||||
475,000 | Palo Alto Networks, Inc., Zero Coupon, 7/01/2019, 144A |
773,360 | ||||||
510,000 | SunEdison, Inc., 2.375%, 4/15/2022, 144A |
677,981 | ||||||
328,000 | SunEdison, Inc., 2.625%, 6/01/2023, 144A |
332,100 | ||||||
370,000 | SunEdison, Inc., 3.375%, 6/01/2025, 144A |
382,256 | ||||||
|
|
|||||||
3,957,180 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $13,267,964) |
15,728,204 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $160,916,592) |
159,115,716 | |||||||
|
|
|||||||
|
Senior Loans 1.7% |
| ||||||
Consumer Cyclical Services 0.3% | ||||||||
496,713 | SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b) |
456,146 | ||||||
|
|
|||||||
Media Entertainment 0.0% | ||||||||
91,002 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b) |
53,918 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
| ||||||
Other Utility 0.2% | ||||||||
$ | 230,300 | PowerTeam Services LLC, 1st Lien Term Loan, 4.250%, 5/06/2020(b) |
$ | 229,725 | ||||
12,623 | PowerTeam Services LLC, Delayed Draw Term Loan, 4.250%, 5/06/2020(b) |
12,591 | ||||||
95,000 | PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b) |
93,575 | ||||||
|
|
|||||||
335,891 | ||||||||
|
|
|||||||
Supermarkets 0.4% | ||||||||
548,625 | Albertsons LLC, Term Loan B4, 5.500%, 8/25/2021(b) |
550,732 | ||||||
281,870 | New Albertsons, Inc., Term Loan, 4.750%, 6/27/2021(b) |
282,163 | ||||||
|
|
|||||||
832,895 | ||||||||
|
|
|||||||
Transportation Services 0.1% | ||||||||
99,000 | OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b) |
98,939 | ||||||
|
|
|||||||
Wirelines 0.7% | ||||||||
1,221,875 | Fairpoint Communications, Inc., Refi Term Loan, 7.500%, 2/14/2019(b) |
1,230,660 | ||||||
159,324 | Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b) |
157,997 | ||||||
|
|
|||||||
1,388,657 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $3,209,464) |
3,166,446 | |||||||
|
|
|||||||
Shares | ||||||||
|
Preferred Stocks 5.4% |
| ||||||
|
Convertible Preferred Stocks 4.4% |
| ||||||
Consumer Non-Cyclical Services 0.8% | ||||||||
31,269 | Tyson Foods, Inc., 4.750% |
1,610,666 | ||||||
|
|
|||||||
Electric 0.7% | ||||||||
5,356 | Dominion Resources, Inc., Series B, 6.000% |
288,313 | ||||||
7,126 | Dominion Resources, Inc., Series A, 6.125% |
381,882 | ||||||
1,424 | Dominion Resources, Inc., 6.375% |
66,501 | ||||||
10,707 | NextEra Energy, Inc., 5.889% |
660,729 | ||||||
|
|
|||||||
1,397,425 | ||||||||
|
|
|||||||
Metals & Mining 1.0% | ||||||||
41,881 | Alcoa, Inc., Series 1, 5.375% |
1,655,556 | ||||||
21,500 | ArcelorMittal, 6.000% |
335,615 | ||||||
|
|
|||||||
1,991,171 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
| ||||||
|
Convertible Preferred Stocks continued |
| ||||||
Midstream 0.2% | ||||||||
20 | Chesapeake Energy Corp., 5.750%, 144A |
$ | 13,613 | |||||
605 | Chesapeake Energy Corp., 5.750% |
411,778 | ||||||
|
|
|||||||
425,391 | ||||||||
|
|
|||||||
Pharmaceuticals 1.1% | ||||||||
1,978 | Allergan PLC, Series A, 5.500% |
2,062,223 | ||||||
|
|
|||||||
REITs - Diversified 0.5% | ||||||||
1,035 | Crown Castle International Corp., Series A, 4.500% |
106,812 | ||||||
14,399 | Weyerhaeuser Co., Series A, 6.375% |
748,748 | ||||||
|
|
|||||||
855,560 | ||||||||
|
|
|||||||
REITs - Mortgage 0.1% | ||||||||
2,107 | iStar Financial, Inc., Series J, 4.500% |
120,078 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $8,807,732) |
8,462,514 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stocks 1.0% |
| ||||||
Banking 0.7% | ||||||||
32,853 | Ally Financial, Inc., Series A, (fixed rate to 5/15/2016, variable rate thereafter), 8.500% |
868,962 | ||||||
483 | Ally Financial, Inc., Series G, 7.000%, 144A |
488,056 | ||||||
|
|
|||||||
1,357,018 | ||||||||
|
|
|||||||
Finance Companies 0.3% | ||||||||
12,925 | iStar Financial, Inc., Series E, 7.875% |
317,955 | ||||||
7,500 | iStar Financial, Inc., Series F, 7.800% |
184,875 | ||||||
550 | iStar Financial, Inc., Series G, 7.650% |
13,547 | ||||||
|
|
|||||||
516,377 | ||||||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $1,701,534) |
1,873,395 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $10,509,266) |
10,335,909 | |||||||
|
|
|||||||
|
Common Stocks 1.8% |
| ||||||
Aircraft ABS 0.5% | ||||||||
100 | ECAF I Blocker Ltd.(g)(i) |
1,000,000 | ||||||
|
|
|||||||
Automobiles 0.9% | ||||||||
50,658 | General Motors Co. |
1,688,431 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 0.3% | ||||||||
14,882 | Kinder Morgan, Inc. |
571,320 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
| ||||||
Trading Companies & Distributors 0.1% | ||||||||
2,696 | United Rentals, Inc.(j) |
$ | 236,224 | |||||
|
|
|||||||
Total Common Stocks (Identified Cost $3,413,285) |
3,495,975 | |||||||
|
|
|||||||
|
Warrants 0.0% |
| ||||||
22,512 | Kinder Morgan, Inc., Expiration on 5/25/2017 at $40.00(j) |
60,782 | ||||||
10,360 | FairPoint Communications, Inc., Expiration on 1/24/2018 at $48.81(g)(i)(j) |
| ||||||
|
|
|||||||
Total Warrants (Identified Cost $29,892) |
60,782 | |||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 7.1% |
| ||||||
13,096,875 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $13,096,878 on 7/01/2015 collateralized by $13,020,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $13,361,775 including accrued interest(k) |
13,096,875 | ||||||
44,182 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $44,182 on 7/01/2015 collateralized by $44,300 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $45,098 including accrued interest(k) |
44,182 | ||||||
460,000 | U.S. Treasury Bills, 0.056%, 8/06/2015(l)(m) |
460,000 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $13,601,031) |
13,601,057 | |||||||
|
|
|||||||
Total Investments 99.0% (Identified Cost $191,679,530)(a) |
189,775,885 | |||||||
Other assets less liabilities 1.0% |
1,880,661 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 191,656,546 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service.
Futures contracts are valued at the current settlement price on the exchange on which the adviser believes that, over time, they are traded most extensively.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be 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, 2015, the net unrealized depreciation on investments based on a cost of $191,853,237 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 |
$ | 9,965,221 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(12,042,573 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (2,077,352 | ) | |
|
|
(b) | Variable rate security. Rate as of June 30, 2015 is disclosed. |
(c) | Perpetual bond with no specified maturity date. |
(d) | All of this security has been designated to cover the Funds obligations under open forward foreign currency and futures contracts. |
(e) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2015, interest payments were made in cash. |
(f) | The issuer is in default with respect to interest and/or principal payments. Income is not being accrued. |
(g) | Illiquid security. At June 30, 2015, the value of these securities amounted to $2,264,325 or 1.2% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
(h) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(i) | Fair valued by the Funds adviser. At June 30, 2015, the value of these securities amounted to $2,264,325 (includes illiquid securities) or 1.2% of net assets. |
(j) | Non-income producing security. |
(k) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
(l) | Interest rate represents discount rate at time of purchase; not a coupon rate. |
(m) | A portion of this security has been pledged as initial margin for open futures contracts. |
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, 2015, the value of Rule 144A holdings amounted to $59,217,434 or 30.9% of net assets. |
ABS | Asset-Backed Securities |
EMTN | Euro Medium Term Note |
GMTN | Global Medium Term Note |
MTN | Medium Term Note |
PIK | Payment-in-Kind |
REITs | Real Estate Investment Trusts |
AUD | Australian Dollar |
BRL | Brazilian Real |
CLP | Chilean Peso |
COP | Colombian Peso |
EUR | Euro |
INR | Indian Rupee |
MXN | Mexican Peso |
PHP | Philippine Peso |
Forward Foreign Currency Contracts
The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts. 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, 2015, the Fund had the following open forward foreign currency contracts:
Contract to Buy/Sell1 |
Delivery Date |
Currency | Units of Currency |
Notional Value |
Unrealized Appreciation (Depreciation) |
|||||||||||||
Sell |
7/30/2015 | Euro | 1,300,000 | $ | 1,449,830 | $ | (44,335 | ) | ||||||||||
|
|
1 | Counterparty is Bank of America, N.A. |
Futures Contracts
The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular 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. The aggregate principal amounts of the contracts are not recorded in the financial statements. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses). 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, commodities 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, 2015, open short futures contracts were as follows:
Financial Futures |
Expiration Date |
Contracts | Notional Value |
Unrealized Appreciation (Depreciation) |
||||||||||||
10 Year U.S. Treasury Note |
9/21/2015 | 66 | $ | 8,327,344 | $ | 79,157 | ||||||||||
30 Year U.S. Treasury Bond |
9/21/2015 | 23 | 3,469,406 | 96,582 | ||||||||||||
|
|
|||||||||||||||
175,739 | ||||||||||||||||
|
|
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | 132,908 | $ | 751,713 | (a) | $ | 884,621 | |||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 2,666,376 | 935,000 | (a) | 3,601,376 | |||||||||||
All Other Non-Convertible Bonds* |
| 138,901,515 | | 138,901,515 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
| 141,700,799 | 1,686,713 | 143,387,512 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 15,728,204 | | 15,728,204 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 157,429,003 | 1,686,713 | 159,115,716 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 3,166,446 | | 3,166,446 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Midstream |
| 425,391 | | 425,391 | ||||||||||||
REITs - Mortgage |
| 120,078 | | 120,078 | ||||||||||||
All Other Convertible Preferred Stocks* |
7,917,045 | | | 7,917,045 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
7,917,045 | 545,469 | | 8,462,514 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks* |
1,873,395 | | | 1,873,395 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
9,790,440 | 545,469 | | 10,335,909 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Common Stocks* |
2,495,975 | | 1,000,000 | (b) | 3,495,975 | |||||||||||
Warrants |
60,782 | | (c) | | 60,782 | |||||||||||
Short-Term Investments |
| 13,601,057 | | 13,601,057 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
12,347,197 | 174,741,975 | 2,686,713 | 189,775,885 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Futures Contracts (unrealized appreciation) |
175,739 | | | 175,739 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 12,522,936 | $ | 174,741,975 | $ | 2,686,713 | $ | 189,951,624 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Forward Foreign Currency Contracts (unrealized depreciation) |
$ | | $ | (44,335 | ) | $ | | $ | (44,335 | ) | ||||||
|
|
|
|
|
|
|
|
* | 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 Funds Adviser |
(c) | Fair valued at zero using level 2 inputs |
A preferred stock valued at $941,666 was transferred from Level 2 to Level 1 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, 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 adviser and approved by the Board of Trustees. Debt securities are valued based on 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 adviser pursuant to procedures approved by 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, 2015:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2014 |
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, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | 447,739 | $ | | $ | | $ | 1,355 | $ | 310,000 | $ | (7,381 | ) | $ | | $ | | $ | 751,713 | $ | 1,355 | |||||||||||||||||||
Airlines |
4,985 | | 934 | (1,031 | ) | | (4,888 | ) | | | | | ||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| | | | 935,000 | | | | 935,000 | | ||||||||||||||||||||||||||||||
Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Wirelines |
5,740 | | (1,628 | ) | 1,151 | | (5,263 | ) | | | | | ||||||||||||||||||||||||||||
Common Stocks |
||||||||||||||||||||||||||||||||||||||||
Aircraft ABS |
| | | | 1,000,000 | | | | 1,000,000 | | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 458,464 | $ | | $ | (694 | ) | $ | 1,475 | $ | 2,245,000 | $ | (17,532 | ) | $ | | $ | | $ | 2,686,713 | $ | 1,355 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivatives
Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of an underlying asset, reference rate or index. 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 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, 2015, the Fund engaged in forward foreign currency transactions for hedging purposes.
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 its duration without having to buy or sell portfolio securities. During the period ended June 30, 2015, the Fund used futures contracts to manage duration.
The following is a summary of derivative instruments for the Fund, as of June 30, 2015:
Assets |
Unrealized appreciation on futures contracts |
|||
Exchange-traded/cleared asset derivatives |
||||
Interest rate contracts |
$ | 175,739 | ||
Liabilities |
Unrealized depreciation forward foreign currency contracts |
|||
Over-the-counter liability derivatives |
||||
Foreign exchange contracts |
$ | (44,335 | ) |
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.
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 the 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, 2015, 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 | ||||||
Bank of America, N.A. |
$ | (44,335 | ) | |
Timing differences may exist between when contacts under the ISDA agreement are marked-to-market and when collateral moves. The ISDA agreements include tri-party control agreements under which collateral is held for the benefit of the secured party at a third party custodian, State Street Bank.
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 Funds risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Funds aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange-traded derivatives, there is minimal counterparty credit risk to the Fund because the exchanges clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange-traded derivatives with respect to initial and variation margin that is held in a brokers customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the brokers customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of June 30, 2015:
Maximum Amount of Loss - Gross |
Maximum Amount of Loss - Net |
|||||
$ | 193,500 | $ | 193,500 |
Industry Summary at June 30, 2015 (Unaudited)
Independent Energy |
7.8 | % | ||
Technology |
6.5 | |||
Treasuries |
5.6 | |||
Finance Companies |
5.6 | |||
Healthcare |
5.0 | |||
Pharmaceuticals |
5.0 | |||
Midstream |
4.8 | |||
Cable Satellite |
4.3 | |||
Metals & Mining |
3.4 | |||
ABS Home Equity |
3.4 | |||
Banking |
2.7 | |||
Building Materials |
2.5 | |||
Electric |
2.4 | |||
Wirelines |
2.1 | |||
Aerospace & Defense |
2.1 | |||
Supranational |
2.0 | |||
Consumer Cyclical Services |
2.0 | |||
Other Investments, less than 2% each |
24.7 | |||
Short-Term Investments |
7.1 | |||
|
|
|||
Total Investments |
99.0 | |||
Other assets less liabilities (including forward foreign currency contracts and futures contracts) |
1.0 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Investment Grade Bond Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 94.2% of Net Assets |
| ||||||
|
Non-Convertible Bonds 89.0% |
| ||||||
ABS Car Loan 0.2% | ||||||||
$ | 20,999,250 | Avis Budget Rental Car Funding AESOP LLC, Series 2010-5A, Class B, 5.110%, 3/20/2017, 144A |
$ | 21,393,574 | ||||
|
|
|||||||
ABS Other 2.4% | ||||||||
766,380 | Community Program Loan Trust, Series 1987-A, Class A5, 4.500%, 4/01/2029(b) |
772,907 | ||||||
57,694,000 | Crown Castle Towers LLC, 6.113%, 1/15/2040, 144A |
65,691,196 | ||||||
2,364,390 | Diamond Resorts Owner Trust, Series 2011-1, Class A, 4.000%, 3/20/2023, 144A |
2,413,905 | ||||||
57,339,951 | FAN Engine Securitization Ltd., Series 2013-1A, Class 1A, 4.625%, 10/15/2043, 144A(b) |
57,058,985 | ||||||
44,878,000 | John Deere Owner Trust, Series 2015-A, Class A3, 1.320%, 6/17/2019 |
45,015,686 | ||||||
11,600,000 | John Deere Owner Trust, Series 2015-A, Class A4, 1.650%, 12/15/2021 |
11,645,078 | ||||||
1,346,829 | SVO VOI Mortgage Corp., Series 2009-BA, Class NT, 5.810%, 12/20/2028, 144A |
1,347,150 | ||||||
34,862,345 | Trinity Rail Leasing LP, Series 2009-1A, Class A, 6.657%, 11/16/2039, 144A |
39,585,182 | ||||||
12,303,265 | Trinity Rail Leasing LP, Series 2010-1A, Class A, 5.194%, 10/16/2040, 144A |
12,725,107 | ||||||
3,211,481 | Trinity Rail Leasing LP, Series 2012-1A, Class A1, 2.266%, 1/15/2043, 144A |
3,154,070 | ||||||
7,116,790 | Trip Rail Master Funding LLC, Series 2011-1A, Class A1A, 4.370%, 7/15/2041, 144A |
7,330,237 | ||||||
|
|
|||||||
246,739,503 | ||||||||
|
|
|||||||
Aerospace & Defense 1.2% | ||||||||
2,100,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
1,974,000 | ||||||
78,795,000 | Textron, Inc., 5.950%, 9/21/2021 |
90,225,081 | ||||||
11,040,000 | Textron, Inc., EMTN, 6.625%, 4/07/2020, (GBP) |
19,845,186 | ||||||
10,280,000 | TransDigm, Inc., 6.500%, 5/15/2025, 144A |
10,177,200 | ||||||
|
|
|||||||
122,221,467 | ||||||||
|
|
|||||||
Airlines 2.5% | ||||||||
4,614,033 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A |
4,798,595 | ||||||
11,085,144 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027 |
11,158,084 | ||||||
18,340,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
19,119,450 | ||||||
260,361 | Continental Airlines Pass Through Trust, Series 1998-1, Class A, 6.648%, 3/15/2019 |
268,640 | ||||||
661,290 | Continental Airlines Pass Through Trust, Series 1999-1, Class A, 6.545%, 8/02/2020 |
724,509 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Airlines continued | ||||||||
$ | 5,438,878 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
$ | 6,166,057 | ||||
1,338,421 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,469,720 | ||||||
3,040,289 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
3,230,307 | ||||||
48,473,423 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
54,047,867 | ||||||
10,648,202 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
11,313,714 | ||||||
20,985,469 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
22,401,988 | ||||||
16,178,997 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
18,727,189 | ||||||
2,443,708 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021 |
2,578,112 | ||||||
1,526,122 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,751,225 | ||||||
10,091,562 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
11,580,067 | ||||||
21,038,309 | Delta Air Lines Pass Through Trust, Series 2009-1, Class A, 7.750%, 6/17/2021 |
24,036,268 | ||||||
2,032,473 | Delta Air Lines Pass Through Trust, Series 2009-1, Series B, 9.750%, 6/17/2018 |
2,215,396 | ||||||
13,892,061 | Delta Air Lines Pass Through Trust, Series 2010-1, Class A, 6.200%, 1/02/2020 |
15,038,156 | ||||||
19,589,422 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
21,009,655 | ||||||
249,918 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
272,411 | ||||||
13,638,616 | US Airways Pass Through Trust, Series 2011-1, Class A, 7.125%, 4/22/2025 |
15,820,795 | ||||||
8,595,631 | US Airways Pass Through Trust, Series 2012-2A, Class A, 4.625%, 12/03/2026 |
8,939,456 | ||||||
2,484,238 | Virgin Australia Pass Through Trust, Series 2013-1A, 5.000%, 4/23/2025, 144A |
2,597,420 | ||||||
|
|
|||||||
259,265,081 | ||||||||
|
|
|||||||
Automotive 1.0% | ||||||||
23,581,000 | Cummins, Inc., 5.650%, 3/01/2098 |
24,789,361 | ||||||
5,274,000 | Cummins, Inc., 6.750%, 2/15/2027 |
6,482,110 | ||||||
2,680,000 | Ford Motor Co., 6.375%, 2/01/2029 |
3,161,634 | ||||||
125,000 | Ford Motor Co., 6.500%, 8/01/2018 |
141,622 | ||||||
255,000 | Ford Motor Co., 6.625%, 2/15/2028 |
292,041 | ||||||
5,074,000 | Ford Motor Co., 6.625%, 10/01/2028 |
6,179,107 | ||||||
3,243,000 | Ford Motor Co., 7.400%, 11/01/2046 |
4,294,254 | ||||||
4,569,000 | Ford Motor Co., 7.450%, 7/16/2031 |
5,838,300 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Automotive continued | ||||||||
$ | 240,000 | Ford Motor Co., 7.500%, 8/01/2026 |
$ | 299,089 | ||||
5,000,000 | Ford Motor Credit Co. LLC, 5.000%, 5/15/2018 |
5,375,440 | ||||||
40,126,000 | Ford Motor Credit Co. LLC, 6.625%, 8/15/2017 |
44,021,553 | ||||||
2,370,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
2,512,200 | ||||||
|
|
|||||||
103,386,711 | ||||||||
|
|
|||||||
Banking 14.2% | ||||||||
22,547,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
28,030,340 | ||||||
1,468,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
1,871,700 | ||||||
7,200,000 | American Express Centurion Bank, Series BKN1, 6.000%, 9/13/2017 |
7,871,249 | ||||||
35,878,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
41,277,065 | ||||||
11,400,000 | Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL) |
3,453,990 | ||||||
11,641,000 | Bank of America Corp., 2.600%, 1/15/2019 |
11,767,770 | ||||||
3,590,000 | Bank of America Corp., 5.420%, 3/15/2017 |
3,803,975 | ||||||
3,132,000 | Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR) |
3,867,734 | ||||||
25,627,000 | Bank of America Corp., MTN, 3.300%, 1/11/2023 |
25,238,418 | ||||||
100,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 |
97,960 | ||||||
11,000,000 | Bank of America Corp., MTN, 5.000%, 5/13/2021 |
12,075,437 | ||||||
17,249,000 | Bank of America NA, 5.300%, 3/15/2017 |
18,269,520 | ||||||
1,056,000 | Barclays Bank PLC, 6.050%, 12/04/2017, 144A |
1,148,969 | ||||||
7,110,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
6,391,319 | ||||||
2,173,000 | Bear Stearns Cos., Inc. (The), 4.650%, 7/02/2018 |
2,341,497 | ||||||
370,000 | BNP Paribas/Australia, 7.000%, 5/24/2016, (AUD) |
295,919 | ||||||
8,994,000 | Capital One Financial Corp., 6.150%, 9/01/2016 |
9,493,041 | ||||||
56,000,000 | Citigroup, Inc., 2.500%, 9/26/2018 |
56,630,672 | ||||||
17,000,000 | Citigroup, Inc., 3.500%, 5/15/2023 |
16,597,593 | ||||||
1,660,000 | Citigroup, Inc., 4.500%, 1/14/2022 |
1,788,082 | ||||||
22,960,000 | Citigroup, Inc., 5.130%, 11/12/2019, (NZD) |
16,153,255 | ||||||
2,700,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(b) |
2,275,004 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Banking continued | ||||||||
$ | 5,445,000 | Citigroup, Inc., 6.125%, 5/15/2018 |
$ | 6,076,130 | ||||
44,910,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
31,890,498 | ||||||
2,398,000 | Citigroup, Inc., EMTN, 1.257%, 11/30/2017, (EUR)(c) |
2,666,458 | ||||||
4,750,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018 |
4,761,733 | ||||||
21,855,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022 |
22,735,909 | ||||||
5,265,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022 |
5,264,294 | ||||||
86,800,000 | Goldman Sachs Group, Inc. (The), 3.375%, 2/01/2018, (CAD) |
72,184,381 | ||||||
1,174,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
1,324,755 | ||||||
112,330,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
131,757,249 | ||||||
6,645,000 | Goldman Sachs Group, Inc. (The), GMTN, 5.375%, 3/15/2020 |
7,399,340 | ||||||
4,467,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
4,812,648 | ||||||
1,000,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
1,108,753 | ||||||
700,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
719,537 | ||||||
70,245,000 | JPMorgan Chase & Co., 4.125%, 12/15/2026 |
69,070,223 | ||||||
36,745,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD) |
25,108,292 | ||||||
2,950,000 | JPMorgan Chase & Co., EMTN, 1.068%, 5/30/2017, (GBP)(c) |
4,565,659 | ||||||
16,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
1,169,233 | ||||||
100,000 | Keybank NA, 6.950%, 2/01/2028 |
127,642 | ||||||
9,787,000 | Lloyds Bank PLC, EMTN, 4.570%, 10/13/2015, (CAD) |
7,901,220 | ||||||
81,622,000 | Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
94,077,925 | ||||||
103,309,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
115,790,587 | ||||||
40,126,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
45,822,287 | ||||||
78,200,000 | Morgan Stanley, 2.125%, 4/25/2018 |
78,728,476 | ||||||
4,250,000 | Morgan Stanley, 3.450%, 11/02/2015 |
4,288,535 | ||||||
1,845,000 | Morgan Stanley, 4.350%, 9/08/2026 |
1,807,879 | ||||||
30,000,000 | Morgan Stanley, 4.750%, 11/16/2018, (AUD) |
23,915,247 | ||||||
1,455,000 | Morgan Stanley, 4.875%, 11/01/2022 |
1,547,695 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Banking continued | ||||||||
$ | 56,867,000 | Morgan Stanley, 5.500%, 7/24/2020 |
$ | 63,774,862 | ||||
5,900,000 | Morgan Stanley, 5.750%, 1/25/2021 |
6,721,964 | ||||||
151,076,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) |
109,409,930 | ||||||
60,800,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
50,864,456 | ||||||
550,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) |
922,710 | ||||||
24,100,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
19,164,406 | ||||||
20,695,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
20,733,679 | ||||||
38,206,000 | Morgan Stanley, Series F, GMTN, 5.625%, 9/23/2019 |
42,813,414 | ||||||
2,239,000 | Morgan Stanley, Series G & H, GMTN, 5.125%, 11/30/2015, (GBP) |
3,572,431 | ||||||
2,875,000 | National City Bank of Indiana, 4.250%, 7/01/2018 |
3,053,348 | ||||||
8,638,000 | National City Corp., 6.875%, 5/15/2019 |
10,017,713 | ||||||
35,900,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 |
38,656,474 | ||||||
5,250,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) |
6,079,850 | ||||||
6,150,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) |
7,679,776 | ||||||
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) |
1,881,288 | ||||||
700,000 | Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015 |
711,607 | ||||||
16,175,000 | Santander Holdings USA, Inc., 4.625%, 4/19/2016 |
16,578,259 | ||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A |
1,868,161 | ||||||
3,300,000 | Standard Chartered Bank, 6.400%, 9/26/2017, 144A |
3,596,221 | ||||||
|
|
|||||||
1,445,463,643 | ||||||||
|
|
|||||||
Brokerage 1.0% | ||||||||
50,270,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
51,897,240 | ||||||
19,498,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
19,334,275 | ||||||
8,760,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
9,511,021 | ||||||
1,693,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
1,937,833 | ||||||
16,875,000 | Jefferies Group LLC, 8.500%, 7/15/2019 |
20,033,207 | ||||||
|
|
|||||||
102,713,576 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Building Materials 1.1% | ||||||||
$ | 10,942,000 | Masco Corp., 5.850%, 3/15/2017 |
$ | 11,598,520 | ||||
6,616,000 | Masco Corp., 6.125%, 10/03/2016 |
6,963,340 | ||||||
6,058,000 | Masco Corp., 6.500%, 8/15/2032 |
6,391,190 | ||||||
28,539,000 | Masco Corp., 7.125%, 3/15/2020 |
33,105,240 | ||||||
5,725,000 | Masco Corp., 7.750%, 8/01/2029 |
6,612,375 | ||||||
9,300,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
2,168,634 | ||||||
284,000 | Owens Corning, 6.500%, 12/01/2016 |
302,029 | ||||||
41,379,000 | Owens Corning, 7.000%, 12/01/2036 |
47,275,011 | ||||||
|
|
|||||||
114,416,339 | ||||||||
|
|
|||||||
Cable Satellite 1.1% | ||||||||
17,832,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
16,232,260 | ||||||
13,630,000 | Time Warner Cable, Inc., 4.125%, 2/15/2021 |
14,072,225 | ||||||
2,800,000 | Time Warner Cable, Inc., 4.500%, 9/15/2042 |
2,283,966 | ||||||
4,101,000 | Time Warner Cable, Inc., 5.850%, 5/01/2017 |
4,379,327 | ||||||
64,548,000 | Time Warner Cable, Inc., 6.750%, 7/01/2018 |
71,967,986 | ||||||
|
|
|||||||
108,935,764 | ||||||||
|
|
|||||||
Chemicals 0.5% | ||||||||
50,500,000 | INVISTA Finance LLC, 4.250%, 10/15/2019, 144A |
49,742,500 | ||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
6,787,000 | Toro Co., 6.625%, 5/01/2037(b) |
7,629,830 | ||||||
|
|
|||||||
Consumer Products 0.1% | ||||||||
7,458,000 | Hasbro, Inc., 6.600%, 7/15/2028 |
8,368,793 | ||||||
6,170,000 | Newell Rubbermaid, Inc., 4.000%, 12/01/2024 |
6,249,667 | ||||||
|
|
|||||||
14,618,460 | ||||||||
|
|
|||||||
Diversified Manufacturing 0.1% | ||||||||
1,395,000 | Ingersoll-Rand Global Holding Co. Ltd., 6.875%, 8/15/2018 |
1,585,985 | ||||||
11,754,000 | Snap-on, Inc., 6.700%, 3/01/2019 |
13,516,748 | ||||||
|
|
|||||||
15,102,733 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Electric 2.3% | ||||||||
$ | 29,767,079 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
$ | 34,601,283 | ||||
8,906,393 | Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034 |
9,097,524 | ||||||
9,066,000 | Cleveland Electric Illuminating Co. (The), 5.700%, 4/01/2017 |
9,677,701 | ||||||
30,430,000 | EDP Finance BV, 4.125%, 1/15/2020, 144A |
30,725,354 | ||||||
12,285,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
12,792,174 | ||||||
3,200,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
3,427,206 | ||||||
4,491,000 | Endesa S.A., 7.875%, 2/01/2027 |
5,841,601 | ||||||
40,453,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
44,920,063 | ||||||
9,007,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |
10,858,929 | ||||||
7,921,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) |
13,931,907 | ||||||
5,386,008 | Mackinaw Power LLC, 6.296%, 10/31/2023, 144A(b) |
5,921,776 | ||||||
50,026,000 | Southwestern Electric Power Co., 6.450%, 1/15/2019 |
56,904,225 | ||||||
|
|
|||||||
238,699,743 | ||||||||
|
|
|||||||
Finance Companies 5.3% | ||||||||
66,384,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
75,821,481 | ||||||
3,500,000 | GE Capital Australia Funding Pty Ltd., 7.000%, 10/08/2015, (AUD) |
2,731,948 | ||||||
1,874,000 | GE Capital Australia Funding Pty Ltd., MTN, 6.000%, 3/15/2019, (AUD) |
1,587,483 | ||||||
35,580,000 | General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD) |
24,537,693 | ||||||
14,225,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
10,012,517 | ||||||
51,370,000 | General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD) |
35,853,224 | ||||||
5,882,000 | General Electric Capital Corp., Series A, MTN, 0.575%, 5/13/2024(c) |
5,639,368 | ||||||
26,931,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
18,366,226 | ||||||
210,000 | International Lease Finance Corp., 3.875%, 4/15/2018 |
211,050 | ||||||
18,830,000 | International Lease Finance Corp., 4.625%, 4/15/2021 |
19,018,300 | ||||||
27,395,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
29,208,549 | ||||||
3,063,000 | International Lease Finance Corp., 5.875%, 8/15/2022 |
3,308,040 | ||||||
12,465,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
13,477,781 | ||||||
60,419,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
67,367,185 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
| ||||||
|
Non-Convertible Bonds continued |
| ||||||
Finance Companies continued | ||||||||
$ | 90,196,000 | Navient LLC, 5.500%, 1/25/2023 |
$ | 85,686,200 | ||||
62,425 | () | Navient LLC, 6.000%, 12/15/2043 |
1,346,299 | |||||
2,270,000 | Navient LLC, MTN, 4.625%, 9/25/2017 |
2,306,888 | ||||||
8,895,000 | Navient LLC, MTN, 7.250%, 1/25/2022 |
9,384,225 | ||||||
641,000 | Navient LLC, MTN, 8.000%, 3/25/2020 |
714,715 | ||||||
15,792,000 | Navient LLC, Series A, MTN, 5.000%, 6/15/2018 |
15,732,780 | ||||||
19,496,000 | Navient LLC, Series A, MTN, 5.625%, 8/01/2033 |
15,791,760 | ||||||
14,625,000 | Quicken Loans, Inc., 5.750%, 5/01/2025, 144A |
14,003,437 | ||||||
19,727,000 | Springleaf Finance Corp., 5.250%, 12/15/2019 |
19,455,754 | ||||||
48,535,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 |
52,660,475 | ||||||
19,414,000 | Springleaf Finance Corp., 8.250%, 10/01/2023 |
21,889,285 | ||||||
|
|
|||||||
546,112,663 | ||||||||
|
|
|||||||
Government Guaranteed 0.4% | ||||||||
12,910,000 | Instituto de Credito Oficial, EMTN, 4.530%, 3/17/2016, (CAD) |
10,511,056 | ||||||
4,000,000 | Japan Bank for International Cooperation (Japan), 2.300%, 3/19/2018, (CAD) |
3,293,995 | ||||||
31,142,000 | Queensland Treasury Corp., 7.125%, 9/18/2017, 144A, (NZD) |
22,800,447 | ||||||
|
|
|||||||
36,605,498 | ||||||||
|
|
|||||||
Government Owned No Guarantee 0.6% | ||||||||
3,720,000 | Abu Dhabi National Energy Co. PJSC, 6.500%, 10/27/2036, 144A |
4,503,060 | ||||||
36,975,000 | Abu Dhabi National Energy Co. PJSC, 7.250%, 8/01/2018, 144A |
42,316,039 | ||||||
12,575,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A |
12,386,375 | ||||||
7,565,000 | Petrobras Global Finance BV, 5.625%, 5/20/2043 |
5,846,988 | ||||||
1,000,000 | Telekom Malaysia Berhad, 7.875%, 8/01/2025, 144A |
1,295,310 | ||||||
|
|
|||||||
66,347,772 | ||||||||
|
|
|||||||
Health Insurance 0.0% | ||||||||
1,569,000 | Cigna Corp., 7.875%, 5/15/2027 |
2,088,171 | ||||||
1,174,000 | CIGNA Corp., (Step to 8.080% on 1/15/2023), 8.300%, 1/15/2033(d) |
1,569,450 | ||||||
|
|
|||||||
3,657,621 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Healthcare 1.9% | ||||||||
$ | 7,692,000 | Boston Scientific Corp., 6.000%, 1/15/2020 |
$ | 8,710,252 | ||||
7,374,000 | Covidien International Finance S.A., 6.000%, 10/15/2017 |
8,126,406 | ||||||
9,459,000 | Express Scripts, Inc., 7.250%, 6/15/2019 |
11,157,288 | ||||||
6,440,000 | HCA, Inc., 4.750%, 5/01/2023 |
6,520,500 | ||||||
73,785,000 | HCA, Inc., 5.250%, 4/15/2025 |
76,736,400 | ||||||
1,055,000 | HCA, Inc., 5.375%, 2/01/2025 |
1,072,196 | ||||||
802,000 | HCA, Inc., 5.875%, 3/15/2022 |
872,175 | ||||||
52,905,000 | HCA, Inc., 5.875%, 5/01/2023 |
56,211,562 | ||||||
2,936,000 | HCA, Inc., 7.050%, 12/01/2027 |
3,068,120 | ||||||
4,119,000 | HCA, Inc., 7.500%, 12/15/2023 |
4,530,900 | ||||||
1,282,000 | HCA, Inc., 7.500%, 11/06/2033 |
1,390,970 | ||||||
3,807,000 | HCA, Inc., 7.690%, 6/15/2025 |
4,320,945 | ||||||
4,164,000 | HCA, Inc., 8.360%, 4/15/2024 |
4,913,520 | ||||||
1,199,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
1,324,895 | ||||||
3,068,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
3,267,420 | ||||||
2,200,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
2,035,000 | ||||||
|
|
|||||||
194,258,549 | ||||||||
|
|
|||||||
Home Construction 0.1% | ||||||||
9,200,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
8,947,000 | ||||||
3,567,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
3,611,587 | ||||||
|
|
|||||||
12,558,587 | ||||||||
|
|
|||||||
Independent Energy 0.9% | ||||||||
8,105,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
7,398,236 | ||||||
610,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
588,167 | ||||||
9,787,000 | EQT Corp., 8.125%, 6/01/2019 |
11,455,997 | ||||||
60,038,000 | Equitable Resources, Inc., 6.500%, 4/01/2018 |
65,803,509 | ||||||
7,240,000 | Newfield Exploration Co., 5.625%, 7/01/2024 |
7,312,400 | ||||||
|
|
|||||||
92,558,309 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Integrated Energy 0.1% | ||||||||
$ | 7,700,000 | Reliance Holdings USA, Inc., 5.400%, 2/14/2022, 144A |
$ | 8,303,126 | ||||
|
|
|||||||
Life Insurance 1.2% | ||||||||
3,920,000 | American International Group, Inc., 4.125%, 2/15/2024 |
4,067,682 | ||||||
1,475,000 | American International Group, Inc., 4.875%, 6/01/2022 |
1,617,953 | ||||||
1,515,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
1,670,268 | ||||||
600,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e) |
1,012,681 | ||||||
5,900,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
7,356,375 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
17,300,700 | ||||||
9,063,000 | Mutual of Omaha Insurance Co., 6.800%, 6/15/2036, 144A |
11,269,605 | ||||||
26,914,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
40,697,144 | ||||||
6,440,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
7,287,098 | ||||||
2,872,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
3,360,832 | ||||||
14,489,000 | Penn Mutual Life Insurance Co. (The), 7.625%, 6/15/2040, 144A |
19,087,417 | ||||||
4,732,000 | Unum Group, 7.125%, 9/30/2016 |
5,053,606 | ||||||
|
|
|||||||
119,781,361 | ||||||||
|
|
|||||||
Local Authorities 2.0% | ||||||||
7,448,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
5,074,442 | ||||||
37,829,000 | New South Wales Treasury Corp., 3.500%, 3/20/2019, (AUD) |
30,304,628 | ||||||
152,895,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) |
129,031,507 | ||||||
17,930,000 | New South Wales Treasury Corp., Series 17RG, 5.500%, 3/01/2017, (AUD) |
14,608,980 | ||||||
6,166 | Province of Alberta, 5.930%, 9/16/2016, (CAD) |
5,115 | ||||||
489,000 | Province of Nova Scotia, 6.600%, 6/01/2027, (CAD) |
544,900 | ||||||
29,791,000 | Province of Quebec, Canada, Series QC, 6.750%, 11/09/2015, (NZD) |
20,406,345 | ||||||
|
|
|||||||
199,975,917 | ||||||||
|
|
|||||||
Lodging 0.6% | ||||||||
52,516,000 | Choice Hotels International, Inc., 5.700%, 8/28/2020 |
56,585,990 | ||||||
100,000 | Wyndham Worldwide Corp., 6.000%, 12/01/2016 |
105,515 | ||||||
|
|
|||||||
56,691,505 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Media Entertainment 0.4% | ||||||||
$ | 4,482,000 | 21st Century Fox America, Inc., 8.150%, 10/17/2036 |
$ | 6,205,024 | ||||
358,000,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
19,414,567 | ||||||
5,000,000 | iHeartCommunications, Inc., 9.000%, 3/01/2021 |
4,525,000 | ||||||
1,805,000 | R.R. Donnelley & Sons Co., 6.500%, 11/15/2023 |
1,863,663 | ||||||
4,445,000 | R.R. Donnelley & Sons Co., 7.875%, 3/15/2021 |
5,017,294 | ||||||
3,616,000 | Viacom, Inc., 6.125%, 10/05/2017 |
3,944,969 | ||||||
|
|
|||||||
40,970,517 | ||||||||
|
|
|||||||
Metals & Mining 2.4% | ||||||||
1,632,848 | 1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(f) |
963,380 | ||||||
15,000,000 | Alcoa, Inc., 5.400%, 4/15/2021 |
15,721,800 | ||||||
15,060,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
16,189,500 | ||||||
45,700,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
48,327,750 | ||||||
5,505,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
5,491,238 | ||||||
5,804,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
6,456,950 | ||||||
430,000 | ArcelorMittal, 6.250%, 3/01/2021 |
450,425 | ||||||
4,085,000 | ArcelorMittal, 7.000%, 2/25/2022 |
4,401,588 | ||||||
47,920,000 | ArcelorMittal, 7.500%, 3/01/2041 |
46,961,600 | ||||||
19,365,000 | ArcelorMittal, 7.750%, 10/15/2039 |
19,268,175 | ||||||
20,625,000 | Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
19,284,375 | ||||||
15,701,000 | Freeport-McMoran Oil & Gas LLC/FCX Oil & Gas, Inc., 6.500%, 11/15/2020 |
16,603,807 | ||||||
4,612,000 | United States Steel Corp., 6.650%, 6/01/2037 |
4,104,680 | ||||||
31,210,000 | United States Steel Corp., 7.000%, 2/01/2018 |
33,316,675 | ||||||
3,655,000 | Vale Overseas Ltd., 6.875%, 11/21/2036 |
3,533,691 | ||||||
4,893,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
5,539,859 | ||||||
|
|
|||||||
246,615,493 | ||||||||
|
|
|||||||
Midstream 2.5% | ||||||||
650,000 | DCP Midstream LP, 6.450%, 11/03/2036, 144A |
622,956 | ||||||
525,000 | Energy Transfer Partners LP, 4.150%, 10/01/2020 |
539,574 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Midstream continued | ||||||||
$ | 3,328,000 | Florida Gas Transmission Co., 7.900%, 5/15/2019, 144A |
$ | 3,919,279 | ||||
14,300,000 | IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
15,485,999 | ||||||
14,660,000 | Kinder Morgan Energy Partners LP, 3.500%, 9/01/2023 |
13,666,726 | ||||||
3,105,000 | Kinder Morgan Energy Partners LP, 5.300%, 9/15/2020 |
3,375,495 | ||||||
7,461,000 | Kinder Morgan Energy Partners LP, 5.800%, 3/01/2021 |
8,261,774 | ||||||
303,000 | Kinder Morgan Finance Co. LLC, 5.700%, 1/05/2016 |
309,705 | ||||||
8,715,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
8,932,875 | ||||||
85,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
90,100 | ||||||
1,745,000 | NiSource Finance Corp., 6.125%, 3/01/2022 |
2,015,751 | ||||||
8,900,000 | NiSource Finance Corp., 6.400%, 3/15/2018 |
9,974,221 | ||||||
21,614,000 | NiSource Finance Corp., 6.800%, 1/15/2019 |
24,915,431 | ||||||
46,655,000 | ONEOK Partners LP, 4.900%, 3/15/2025 |
46,150,800 | ||||||
9,899,000 | Panhandle Eastern Pipeline Co., 6.200%, 11/01/2017 |
10,852,125 | ||||||
47,594,000 | Panhandle Eastern Pipeline Co., 7.000%, 6/15/2018 |
53,760,802 | ||||||
1,404,000 | Panhandle Eastern Pipeline Co., 8.125%, 6/01/2019 |
1,642,867 | ||||||
1,880,000 | Plains All American Pipeline LP, 6.125%, 1/15/2017 |
2,009,630 | ||||||
15,683,000 | Plains All American Pipeline LP/PAA Finance Corp., 6.500%, 5/01/2018 |
17,655,984 | ||||||
4,125,000 | Southern Natural Gas Co., 5.900%, 4/01/2017, 144A |
4,393,335 | ||||||
19,574,000 | Texas Eastern Transmission LP, 6.000%, 9/15/2017, 144A |
21,329,005 | ||||||
8,405,000 | Williams Partners LP, 3.350%, 8/15/2022 |
7,954,013 | ||||||
|
|
|||||||
257,858,447 | ||||||||
|
|
|||||||
Mortgage Related 0.0% | ||||||||
29,806 | FHLMC, 5.000%, 12/01/2031 |
33,163 | ||||||
4,760 | FNMA, 6.000%, 7/01/2029 |
5,457 | ||||||
|
|
|||||||
38,620 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 2.3% | ||||||||
11,450,000 | CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 2.686%, 12/15/2027, 144A(c) |
11,477,205 | ||||||
1,588,139 | Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD) |
1,286,532 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Non-Agency Commercial Mortgage-Backed Securities continued | ||||||||
3,514,000 | Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD) |
$ | 2,910,205 | |||||
9,785,000 | Commercial Mortgage Trust, Series 2014-FL5, Class SV3, 3.136%, 10/15/2031, 144A(b)(c) |
9,793,904 | ||||||
8,515,000 | Commercial Mortgage Trust, Series 2014-FL5, Class SV4, 4.336%, 10/15/2031, 144A(b)(c) |
8,538,161 | ||||||
45,750,121 | Credit Suisse Mortgage Capital Certificates, Series 2007-C3, Class A4, 5.890%, 6/15/2039(c) |
48,223,190 | ||||||
23,914,111 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A4, 6.147%, 9/15/2039(c) |
25,413,908 | ||||||
6,711,090 | Credit Suisse Mortgage Capital Certificates, Series 2007-C5, Class A4, 5.695%, 9/15/2040(c) |
7,121,104 | ||||||
69,500,000 | Extended Stay America Trust, Series 2013, Class 7-ESH7, 3.902%, 12/05/2031, 144A |
70,165,741 | ||||||
8,822,041 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD) |
7,129,466 | ||||||
27,000,000 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A2, 2.616%, 7/12/2047, 144A, (CAD) |
22,037,534 | ||||||
9,786,870 | Morgan Stanley Re-REMIC Trust, Series 2009-GG10, Class A4B, 5.989%, 8/12/2045, 144A(c) |
10,426,217 | ||||||
6,851,000 | Vornado DP LLC, Series 2010-VNO, Class D, 6.356%, 9/13/2028, 144A |
7,874,649 | ||||||
2,125,000 | WFRBS Commercial Mortgage Trust, Series 2011-C3, Class D, 5.722%, 3/15/2044, 144A(c) |
2,261,306 | ||||||
|
|
|||||||
234,659,122 | ||||||||
|
|
|||||||
Oil Field Services 0.3% | ||||||||
5,000,000 | Nabors Industries, Inc., 5.100%, 9/15/2023 |
4,966,120 | ||||||
23,338,000 | Rowan Cos., Inc., 7.875%, 8/01/2019 |
26,435,653 | ||||||
587,000 | Transocean Ltd., 7.375%, 4/15/2018 |
607,545 | ||||||
|
|
|||||||
32,009,318 | ||||||||
|
|
|||||||
Packaging 0.1% | ||||||||
5,735,000 | Sealed Air Corp., 5.500%, 9/15/2025, 144A |
5,778,012 | ||||||
|
|
|||||||
Paper 1.1% | ||||||||
4,365,000 | Celulosa Arauco y Constitucion S.A., 7.250%, 7/29/2019 |
5,042,457 | ||||||
23,225,000 | Georgia-Pacific LLC, 5.400%, 11/01/2020, 144A |
25,925,580 | ||||||
644,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
872,138 | ||||||
1,031,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,487,304 | ||||||
7,049,000 | International Paper Co., 8.700%, 6/15/2038 |
9,659,167 | ||||||
5,270,000 | Mead Corp. (The), 7.550%, 3/01/2047(b) |
6,206,437 | ||||||
5,068,000 | Westvaco Corp., 8.200%, 1/15/2030 |
6,835,105 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Paper continued | ||||||||
$ | 26,007,000 | Weyerhaeuser Co., 6.875%, 12/15/2033 |
$ | 31,190,117 | ||||
7,374,000 | Weyerhaeuser Co., 7.375%, 10/01/2019 |
8,728,795 | ||||||
13,539,000 | Weyerhaeuser Co., 7.375%, 3/15/2032 |
16,930,140 | ||||||
|
|
|||||||
112,877,240 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.4% | ||||||||
2,740,000 | Fidelity National Financial, Inc., 5.500%, 9/01/2022 |
2,882,466 | ||||||
9,038,000 | Liberty Mutual Group, Inc., 6.500%, 3/15/2035, 144A |
10,568,739 | ||||||
4,245,000 | Loews Corp., 2.625%, 5/15/2023 |
4,058,946 | ||||||
1,889,000 | MBIA Insurance Corp., 11.535%, 1/15/2033, 144A(c)(g) |
897,275 | ||||||
6,555,000 | Old Republic International Corp., 4.875%, 10/01/2024 |
6,781,515 | ||||||
7,609,000 | Sirius International Group, 6.375%, 3/20/2017, 144A |
7,999,304 | ||||||
2,212,000 | XLIT Ltd., 6.250%, 5/15/2027 |
2,586,480 | ||||||
1,463,000 | XLIT Ltd., 6.375%, 11/15/2024 |
1,724,241 | ||||||
|
|
|||||||
37,498,966 | ||||||||
|
|
|||||||
Railroads 0.1% | ||||||||
9,787,000 | Canadian Pacific Railway Co., 7.250%, 5/15/2019 |
11,554,904 | ||||||
237,000 | Missouri Pacific Railroad Co., 4.750%, 1/01/2030(b) |
226,729 | ||||||
1,701,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(b) |
1,586,436 | ||||||
191,000 | Missouri Pacific Railroad Co., Series A, 4.750%, 1/01/2020(b) |
189,474 | ||||||
|
|
|||||||
13,557,543 | ||||||||
|
|
|||||||
Real Estate Operations/Development 0.3% | ||||||||
10,276,000 | First Industrial LP, 5.950%, 5/15/2017 |
11,033,238 | ||||||
18,869,000 | ProLogis LP, 7.375%, 10/30/2019 |
22,336,896 | ||||||
|
|
|||||||
33,370,134 | ||||||||
|
|
|||||||
REITs - Apartments 0.2% | ||||||||
16,491,000 | Camden Property Trust, 5.700%, 5/15/2017 |
17,690,935 | ||||||
|
|
|||||||
REITs - Diversified 0.2% | ||||||||
380,000 | Duke Realty LP, 5.950%, 2/15/2017 |
407,070 | ||||||
18,243,000 | Duke Realty LP, 6.500%, 1/15/2018 |
20,381,791 | ||||||
|
|
|||||||
20,788,861 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
REITs - Health Care 0.1% | ||||||||
$ | 5,972,000 | Health Care REIT, Inc., 6.500%, 3/15/2041 |
$ | 7,052,394 | ||||
|
|
|||||||
REITs - Office Property 0.3% | ||||||||
20,817,000 | Highwoods Properties, Inc., 5.850%, 3/15/2017 |
22,224,021 | ||||||
11,306,000 | Highwoods Properties, Inc., 7.500%, 4/15/2018 |
12,911,316 | ||||||
|
|
|||||||
35,135,337 | ||||||||
|
|
|||||||
REITs - Shopping Centers 0.1% | ||||||||
4,893,000 | Equity One, Inc., 6.000%, 9/15/2017 |
5,315,051 | ||||||
|
|
|||||||
REITs - Single Tenant 0.4% | ||||||||
8,690,000 | Realty Income Corp., 5.750%, 1/15/2021 |
9,775,789 | ||||||
22,701,000 | Realty Income Corp., 6.750%, 8/15/2019 |
26,275,091 | ||||||
|
|
|||||||
36,050,880 | ||||||||
|
|
|||||||
Restaurants 0.1% | ||||||||
10,320,000 | Darden Restaurants, Inc., 6.000%, 8/15/2035 |
10,527,380 | ||||||
|
|
|||||||
Retailers 0.4% | ||||||||
1,696,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
1,659,960 | ||||||
5,979,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
4,424,460 | ||||||
5,446,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
4,111,730 | ||||||
10,467,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
12,288,614 | ||||||
8,064,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
9,480,337 | ||||||
3,755,000 | Phillips-Van Heusen Corp., 7.750%, 11/15/2023 |
4,421,512 | ||||||
|
|
|||||||
36,386,613 | ||||||||
|
|
|||||||
Sovereigns 0.4% | ||||||||
33,600,000 | Republic of Iceland, 5.875%, 5/11/2022, 144A |
37,938,768 | ||||||
|
|
|||||||
Supermarkets 0.6% | ||||||||
23,950,000 | Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A |
25,446,875 | ||||||
1,120,000 | Delhaize Group S.A., 5.700%, 10/01/2040 |
1,136,690 | ||||||
3,269,000 | Kroger Co. (The), 6.400%, 8/15/2017 |
3,599,150 | ||||||
6,595,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
6,331,200 | ||||||
7,875,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
7,796,250 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Supermarkets continued | ||||||||
$ | 989,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
$ | 840,650 | ||||
17,290,000 | SUPERVALU, Inc., 6.750%, 6/01/2021 |
17,462,900 | ||||||
|
|
|||||||
62,613,715 | ||||||||
|
|
|||||||
Supranational 0.4% | ||||||||
9,640,000 | European Investment Bank, MTN, 6.000%, 8/06/2020, (AUD) |
8,454,662 | ||||||
12,982,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
9,359,028 | ||||||
58,420,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) |
18,053,435 | ||||||
|
|
|||||||
35,867,125 | ||||||||
|
|
|||||||
Technology 1.4% | ||||||||
4,600,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
4,749,500 | ||||||
1,028,000 | Arrow Electronics, Inc., 6.875%, 6/01/2018 |
1,141,516 | ||||||
1,507,000 | Avnet, Inc., 6.625%, 9/15/2016 |
1,592,024 | ||||||
7,487,000 | Corning, Inc., 7.250%, 8/15/2036 |
9,441,159 | ||||||
7,051,000 | Equifax, Inc., 7.000%, 7/01/2037 |
8,407,408 | ||||||
70,969,000 | Ingram Micro, Inc., 5.250%, 9/01/2017 |
75,934,346 | ||||||
7,795,000 | Intuit, Inc., 5.750%, 3/15/2017 |
8,340,260 | ||||||
16,735,000 | KLA-Tencor Corp., 5.650%, 11/01/2034 |
16,804,969 | ||||||
1,502,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
1,651,318 | ||||||
1,833,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
2,294,876 | ||||||
5,603,000 | Tyco Electronics Group S.A., 6.550%, 10/01/2017 |
6,216,988 | ||||||
561,000 | Xerox Corp., 6.350%, 5/15/2018 |
625,204 | ||||||
7,110,000 | Xerox Corp., 6.750%, 2/01/2017 |
7,658,828 | ||||||
|
|
|||||||
144,858,396 | ||||||||
|
|
|||||||
Transportation Services 0.7% | ||||||||
8,436,000 | Erac USA Finance Co., 6.375%, 10/15/2017, 144A |
9,273,391 | ||||||
2,824,000 | Erac USA Finance Co., 6.700%, 6/01/2034, 144A |
3,436,500 | ||||||
51,504,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
62,955,915 | ||||||
|
|
|||||||
75,665,806 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Treasuries 27.9% | ||||||||
372,145,000 | Canadian Government, 0.250%, 5/01/2017, (CAD) |
$ | 296,735,730 | |||||
312,405,000 | Canadian Government, 1.000%, 8/01/2016, (CAD) |
251,307,186 | ||||||
209,501,000 | Canadian Government, 1.250%, 9/01/2018, (CAD) |
171,837,786 | ||||||
61,795,000 | Canadian Government, 1.750%, 9/01/2019, (CAD) |
51,676,749 | ||||||
90,055,000 | Canadian Government, 2.750%, 9/01/2016, (CAD) |
73,940,995 | ||||||
156,655,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) |
126,674,820 | ||||||
4,159,000 | Canadian Government, 4.000%, 6/01/2016, (CAD) |
3,433,523 | ||||||
2,755,000 | () | Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN) |
19,548,519 | |||||
2,965,000 | () | Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN) |
20,723,572 | |||||
7,555,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
54,317,121 | |||||
1,925,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN) |
14,591,727 | |||||
23,970,000 | () | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) |
195,275,244 | |||||
36,850,000 | New Zealand Government Bond, 5.000%, 3/15/2019, (NZD) |
26,761,828 | ||||||
109,763,000 | New Zealand Government Bond, 6.000%, 12/15/2017, (NZD) |
79,878,837 | ||||||
290,574,000 | Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK) |
41,969,968 | ||||||
974,276,000 | Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK) |
132,259,074 | ||||||
416,760,000 | Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK) |
60,214,111 | ||||||
43,590,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
13,319,128 | ||||||
23,848,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
8,069,247 | ||||||
1,040,764,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
5,486,203 | ||||||
391,985,000 | Republic of Iceland, 7.250%, 10/26/2022, (ISK) |
2,104,534 | ||||||
1,195,394,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) |
6,691,993 | ||||||
53,645,000 | U.S. Treasury Bond, 2.500%, 2/15/2045 |
47,211,892 | ||||||
235,715,000 | U.S. Treasury Bond, 3.000%, 5/15/2045 |
231,000,700 | ||||||
282,105,000 | U.S. Treasury Note, 0.375%, 3/31/2016 |
282,391,619 | ||||||
110,000,000 | U.S. Treasury Note, 0.375%, 4/30/2016 |
110,077,330 | ||||||
125,000,000 | U.S. Treasury Note, 0.500%, 6/30/2016 |
125,205,125 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Treasuries continued | ||||||||
$ | 250,000,000 | U.S. Treasury Note, 0.500%, 1/31/2017 |
$ | 249,922,000 | ||||
150,000,000 | U.S. Treasury Note, 0.500%, 3/31/2017 |
149,847,600 | ||||||
|
|
|||||||
2,852,474,161 | ||||||||
|
|
|||||||
Wireless 0.5% | ||||||||
559,910,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
34,127,169 | ||||||
58,200,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) |
3,582,098 | ||||||
6,373,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
5,480,780 | ||||||
612,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
595,170 | ||||||
1,609,000 | Sprint Communications, Inc., 6.000%, 11/15/2022 |
1,470,224 | ||||||
985,000 | Sprint Corp., 7.125%, 6/15/2024 |
913,686 | ||||||
|
|
|||||||
46,169,127 | ||||||||
|
|
|||||||
Wirelines 4.5% | ||||||||
33,710,000 | AT&T, Inc., 2.625%, 12/01/2022 |
31,670,950 | ||||||
26,815,000 | AT&T, Inc., 3.000%, 2/15/2022 |
26,174,309 | ||||||
406,000 | Bell Canada, MTN, 7.300%, 2/23/2032, (CAD) |
423,615 | ||||||
2,936,000 | BellSouth Telecommunications LLC, 5.850%, 11/15/2045 |
2,998,114 | ||||||
62,040,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
62,505,300 | ||||||
4,990,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
4,790,400 | ||||||
2,708,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,454,125 | ||||||
24,103,000 | Embarq Corp., 7.995%, 6/01/2036 |
26,722,996 | ||||||
825,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
875,531 | ||||||
5,200,000 | Oi S.A., 9.750%, 9/15/2016, 144A, (BRL) |
1,555,434 | ||||||
8,450,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
8,761,045 | ||||||
18,850,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
21,379,523 | ||||||
2,755,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
2,706,788 | ||||||
4,370,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
4,697,750 | ||||||
3,469,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
3,573,070 | ||||||
333,000 | Qwest Corp., 6.500%, 6/01/2017 |
360,027 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wirelines continued | ||||||||
$ | 14,480,000 | Qwest Corp., 6.875%, 9/15/2033 |
$ | 14,317,679 | ||||
4,668,000 | Qwest Corp., 7.200%, 11/10/2026 |
4,706,945 | ||||||
9,077,000 | Qwest Corp., 7.250%, 9/15/2025 |
10,268,447 | ||||||
9,474,000 | Qwest Corp., 7.250%, 10/15/2035 |
9,710,405 | ||||||
46,411,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
45,163,008 | ||||||
23,660,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
24,251,500 | ||||||
4,200,000 | Telefonica Emisiones SAU, 4.570%, 4/27/2023 |
4,410,311 | ||||||
525,000 | Telefonica Emisiones SAU, 5.134%, 4/27/2020 |
574,288 | ||||||
975,000 | Telefonica Emisiones SAU, 5.462%, 2/16/2021 |
1,078,103 | ||||||
14,375,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
17,654,541 | ||||||
4,100,000 | Telefonica Emisiones SAU, EMTN, 5.289%, 12/09/2022, (GBP) |
7,118,767 | ||||||
9,100,000 | Telefonica Emisiones SAU, EMTN, 5.375%, 2/02/2026, (GBP) |
15,733,216 | ||||||
2,100,000 | Telefonica Emisiones SAU, EMTN, 5.445%, 10/08/2029, (GBP) |
3,642,060 | ||||||
14,137,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
11,962,460 | ||||||
54,665,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
49,292,599 | ||||||
32,509,000 | Verizon Communications, Inc., 2.450%, 11/01/2022 |
30,518,929 | ||||||
2,642,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
3,371,855 | ||||||
2,095,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
2,236,155 | ||||||
|
|
|||||||
457,660,245 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $8,903,260,909) |
9,084,608,038 | |||||||
|
|
|||||||
|
Convertible Bonds 4.3% |
|||||||
Consumer Products 0.0% | ||||||||
3,905,000 | Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A |
4,307,703 | ||||||
|
|
|||||||
Midstream 0.4% | ||||||||
34,700,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
32,878,250 | ||||||
11,225,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
11,112,750 | ||||||
|
|
|||||||
43,991,000 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Property & Casualty Insurance 0.9% | ||||||||
$ | 72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
$ | 86,085,272 | ||||
|
|
|||||||
Technology 3.0% | ||||||||
35,120,000 | Intel Corp., 2.950%, 12/15/2035 |
42,253,750 | ||||||
137,016,000 | Intel Corp., 3.250%, 8/01/2039 |
208,435,590 | ||||||
11,515,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 |
16,329,710 | ||||||
371,793 | Liberty Media LLC, 3.500%, 1/15/2031 |
328,335 | ||||||
44,755,000 | Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A |
42,685,081 | ||||||
|
|
|||||||
310,032,466 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $343,064,691) |
444,416,441 | |||||||
|
|
|||||||
|
Municipals 0.9% |
|||||||
District of Columbia 0.2% | ||||||||
14,680,000 | Metropolitan Washington Airports Authority, 7.462%, 10/01/2046 |
19,406,373 | ||||||
|
|
|||||||
Illinois 0.5% | ||||||||
24,640,000 | State of Illinois, 5.100%, 6/01/2033 |
22,963,248 | ||||||
33,395,000 | State of Illinois, Series B, 5.520%, 4/01/2038 |
29,092,388 | ||||||
|
|
|||||||
52,055,636 | ||||||||
|
|
|||||||
Michigan 0.0% | ||||||||
2,275,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 |
1,926,402 | ||||||
|
|
|||||||
Ohio 0.1% | ||||||||
5,075,000 | Buckeye Tobacco Settlement Financing Authority, Series A-2, 5.875%, 6/01/2047 |
3,921,503 | ||||||
|
|
|||||||
Virginia 0.1% | ||||||||
13,605,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
9,953,146 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $87,721,157) |
87,263,060 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $9,334,046,757) |
9,616,287,539 | |||||||
|
|
|||||||
|
Senior Loans 0.4% |
|||||||
Finance Companies 0.3% | ||||||||
22,076,802 | AWAS Finance Luxembourg 2012 S.A., New Term Loan, 3.500%, 7/16/2018(c) |
22,069,958 | ||||||
13,851,506 | AWAS Finance Luxembourg S.a.r.l., Term Loan B, 3.500%, 6/10/2016(c) |
13,840,009 | ||||||
|
|
|||||||
35,909,967 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Supermarkets 0.1% | ||||||||
$ | 9,003,549 | Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(c) |
$ | 9,013,813 | ||||
|
|
|||||||
Total Senior Loans (Identified Cost $44,923,597) |
44,923,780 | |||||||
|
|
|||||||
Shares | ||||||||
|
Common Stocks 4.0% |
|||||||
Automobiles 0.6% | ||||||||
4,063,816 | Ford Motor Co. |
60,997,878 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 3.4% | ||||||||
17,550,000 | Corning, Inc. |
346,261,500 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $261,481,587) |
407,259,378 | |||||||
|
|
|||||||
|
Preferred Stocks 0.2% |
|||||||
Metals & Mining 0.1% | ||||||||
340,285 | ArcelorMittal, 6.000% |
5,311,849 | ||||||
|
|
|||||||
Midstream 0.0% | ||||||||
43,031 | Chesapeake Energy Corp., 5.000% |
3,302,629 | ||||||
|
|
|||||||
REITs - Diversified 0.1% | ||||||||
258,873 | Weyerhaeuser Co., Series A, 6.375% |
13,461,396 | ||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $25,066,559) |
22,075,874 | |||||||
|
|
|||||||
Principal Amount |
||||||||
|
Short-Term Investments 0.3% |
|||||||
$ | 88,760 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000%, to be repurchased at $88,760 on 7/01/2015 collateralized by $89,000 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $90,604 including accrued interest(h) |
88,760 | |||||
25,253,107 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $25,253,114 on 7/01/2015 collateralized by $5,770,000 Federal Home Loan Bank, 2.500% due 7/05/2022 valued at $5,755,575; $7,000,000 Federal National Mortgage Association, 2.635% due 9/13/2023 valued at $6,947,500; 13,255,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at 13,056,175 including accrued interest(h) |
25,253,107 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $25,341,867) |
25,341,867 | |||||||
|
|
|||||||
Total Investments 99.1% (Identified Cost $9,690,860,367)(a) |
10,115,888,438 | |||||||
Other assets less liabilities 0.9% |
95,910,159 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 10,211,798,597 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted 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 rates determined based on information provided by an independent pricing service.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $9,724,225,382 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 |
$ | 854,359,289 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(462,696,233 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 391,663,056 | ||
|
|
(b) | Illiquid security. At June 30, 2015, the value of these securities amounted to $100,199,643 or 1.0% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
(c) | Variable rate security. Rate as of June 30, 2015 is disclosed. |
(d) | Coupon rate is a fixed rate for an initial period then resets at a specified date and rate. |
(e) | Perpetual bond with no specified maturity date. |
(f) | All or a portion of interest payment is paid-in-kind. |
(g) | Non-income producing security. |
(h) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2015, the value of Rule 144A holdings amounted to $1,621,938,623 or 15.9% of net assets. |
ABS | Asset-Backed Securities |
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 |
PIK | Payment-in-Kind |
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 |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | 131,802,254 | $ | 114,937,249 | (a) | $ | 246,739,503 | |||||||
Airlines |
| 223,668,288 | 35,596,793 | (a) | 259,265,081 | |||||||||||
Finance Companies |
1,346,299 | 544,766,364 | | 546,112,663 | ||||||||||||
Health Insurance |
| 2,088,171 | 1,569,450 | (a) | 3,657,621 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 216,327,057 | 18,332,065 | (a) | 234,659,122 | |||||||||||
All Other Non-Convertible Bonds* |
| 7,794,174,048 | | 7,794,174,048 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
1,346,299 | 8,912,826,182 | 170,435,557 | 9,084,608,038 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 444,416,441 | | 444,416,441 | ||||||||||||
Municipals* |
| 87,263,060 | | 87,263,060 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
1,346,299 | 9,444,505,683 | 170,435,557 | 9,616,287,539 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Senior Loans* |
| 44,923,780 | | 44,923,780 | ||||||||||||
Common Stocks* |
407,259,378 | | | 407,259,378 | ||||||||||||
Preferred Stocks |
18,773,245 | 3,302,629 | | 22,075,874 | ||||||||||||
Short-Term Investments |
| 25,341,867 | | 25,341,867 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 427,378,922 | $ | 9,518,073,959 | $ | 170,435,557 | $ | 10,115,888,438 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices. |
A preferred stock valued at $4,217,042 was transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, this security was valued at the last sale price. At June 30, 2015, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.
All transfers are recognized as of the beginning of the reporting period.
The Funds pricing policies and procedures are recommended by the adviser and approved by the Board of Trustees. Debt securities are valued based on 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 March 31, 2015 and/or June 30, 2015:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2014 |
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, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | 121,211,469 | $ | | $ | 133,610 | $ | (859,652 | ) | $ | | $ | (5,548,178 | ) | $ | | $ | | $ | 114,937,249 | $ | (527,166 | ) | |||||||||||||||||
Airlines |
272,473,977 | 96,039 | 783,925 | (1,767,037 | ) | | (9,658,698 | ) | | (226,331,413 | ) | 35,596,793 | (418,633 | ) | ||||||||||||||||||||||||||
Health Insurance |
| 2,865 | | (49,508 | ) | | | 1,616,093 | | 1,569,450 | (49,508 | ) | ||||||||||||||||||||||||||||
Metals & Mining |
1,720,500 | 8,836 | 376 | 553,716 | | (2,283,428 | ) | | | | | |||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| | | (115 | ) | 18,332,180 | | | | 18,332,065 | (114 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 395,405,946 | $ | 107,740 | $ | 917,911 | $ | (2,122,596 | ) | $ | 18,332,180 | $ | (17,490,304 | ) | $ | 1,616,093 | $ | (226,331,413 | ) | $ | 170,435,557 | $ | (995,421 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $1,616,093 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service in accordance with the Funds valuation policies. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
Debt securities valued at $226,331,413 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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, 2015 (Unaudited)
Treasuries |
27.9 | % | ||
Banking |
14.2 | |||
Finance Companies |
5.6 | |||
Wirelines |
4.5 | |||
Technology |
4.4 | |||
Electronic Equipment, Instruments & Components |
3.4 | |||
Midstream |
2.9 | |||
Airlines |
2.5 | |||
Local Authorities |
2.5 | |||
Metals & Mining |
2.5 | |||
ABS Other |
2.4 | |||
Electric |
2.3 | |||
Non-Agency Commercial Mortgage-Backed Securities |
2.3 | |||
Other Investments, less than 2% each |
21.4 | |||
Short-Term Investments |
0.3 | |||
|
|
|||
Total Investments |
99.1 | |||
Other assets less liabilities |
0.9 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Limited Term Government and Agency Fund
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes 97.8% of Net Assets |
|||||||
ABS Car Loan 1.3% | ||||||||
$ | 1,165,000 | Credit Acceptance Auto Loan Trust, Series 2013-2A, Class A, 1.500%, 4/15/2021, 144A |
$ | 1,169,190 | ||||
2,695,000 | Credit Acceptance Auto Loan Trust, Series 2014-2A, Class A, 1.880%, 3/15/2022, 144A |
2,703,861 | ||||||
1,045,000 | First Investors Auto Owner Trust, Series 2014-1A, Class A3, 1.490%, 1/15/2020, 144A |
1,046,499 | ||||||
3,500,000 | NextGear Floorplan Master Owner Trust, Series 2014-1A, Class A, 1.920%, 10/15/2019, 144A |
3,511,847 | ||||||
2,120,000 | Tidewater Auto Receivables Trust, Series 2014-AA, Class A3, 1.400%, 7/15/2018, 144A |
2,120,827 | ||||||
|
|
|||||||
10,552,224 | ||||||||
|
|
|||||||
ABS Home Equity 0.4% | ||||||||
2,936,363 | Towd Point Mortgage Trust, Series 2015-2, Class 1AE2, 2.750%, 11/25/2060 |
2,917,144 | ||||||
|
|
|||||||
Agency Commercial Mortgage-Backed Securities 11.6% | ||||||||
6,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K006, Class A2, 4.251%, 1/25/2020 |
6,562,122 | ||||||
4,305,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K014, Class A2, 3.871%, 4/25/2021 |
4,667,601 | ||||||
4,000,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K015, Class A2, 3.230%, 7/25/2021 |
4,199,764 | ||||||
6,625,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K017, Class A2, 2.873%, 12/25/2021 |
6,812,302 | ||||||
3,535,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K703, Class A2, 2.699%, 5/25/2018 |
3,663,734 | ||||||
700,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K704, Class A2, 2.412%, 8/25/2018 |
720,198 | ||||||
2,590,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K706, Class A2, 2.323%, 10/25/2018 |
2,658,050 | ||||||
7,910,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K708, Class A2, 2.130%, 1/25/2019 |
8,059,396 | ||||||
34,370,000 | FHLMC Multifamily Structured Pass Through Certificates, Series K711, Class A2, 1.730%, 7/25/2019 |
34,426,470 | ||||||
1,893,340 | FHLMC Multifamily Structured Pass Through Certificates, Series KF01, Class A, 0.537%, 4/25/2019(b) |
1,885,623 | ||||||
2,253,692 | FHLMC Multifamily Structured Pass Through Certificates, Series KF06, Class A, 0.511%, 11/25/2021(b) |
2,256,345 | ||||||
302,793 | Government National Mortgage Association, Series 2003-72, Class Z, 5.366%, 11/16/2045(b) |
328,159 | ||||||
206,086 | Government National Mortgage Association, Series 2003-88, Class Z, 4.898%, 3/16/2046(b) |
220,359 | ||||||
13,260,000 | Government National Mortgage Association, Series 2013-52, Class KX, 3.941%, 8/16/2051(b) |
14,127,080 | ||||||
|
|
|||||||
90,587,203 | ||||||||
|
|
|||||||
Collateralized Mortgage Obligations 16.7% | ||||||||
137,729 | Federal Home Loan Mortgage Corp., REMIC, Series 1500, Class FD, 1.760%, 5/15/2023(b) |
137,834 | ||||||
88,789 | Federal Home Loan Mortgage Corp., REMIC, Series 1552, Class I, 1.590%, 8/15/2023(b) |
90,268 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 331,908 | Federal Home Loan Mortgage Corp., REMIC, Series 2131, Class ZB, 6.000%, 3/15/2029 |
$ | 365,926 | ||||
306,152 | Federal Home Loan Mortgage Corp., REMIC, Series 2646, Class FM, 0.586%, 11/15/2032(b) |
307,234 | ||||||
1,971,844 | Federal Home Loan Mortgage Corp., REMIC, Series 2874, Class BC, 5.000%, 10/15/2019 |
2,083,305 | ||||||
3,063,562 | Federal Home Loan Mortgage Corp., REMIC, Series 2931, Class DE, 4.000%, 2/15/2020 |
3,187,850 | ||||||
2,911,256 | Federal Home Loan Mortgage Corp., REMIC, Series 2978, Class JG, 5.500%, 5/15/2035 |
3,277,830 | ||||||
3,510,000 | Federal Home Loan Mortgage Corp., REMIC, Series 3036, Class NE, 5.000%, 9/15/2035 |
3,910,010 | ||||||
2,205,525 | Federal Home Loan Mortgage Corp., REMIC, Series 3057, Class PE, 5.500%, 11/15/2034 |
2,263,961 | ||||||
5,034,733 | Federal Home Loan Mortgage Corp., REMIC, Series 3412, Class AY, 5.500%, 2/15/2038 |
5,552,873 | ||||||
2,604,175 | Federal Home Loan Mortgage Corp., REMIC, Series 3561, Class W, 4.023%, 6/15/2048(b) |
2,682,392 | ||||||
3,294,812 | Federal Home Loan Mortgage Corp., REMIC, Series 3620, Class AT, 4.317%, 12/15/2036(b) |
3,445,971 | ||||||
122,681 | Federal Home Loan Mortgage Corp., REMIC, Series 3802, Class BA, 4.500%, 11/15/2028 |
125,182 | ||||||
950,190 | Federal Home Loan Mortgage Corp., REMIC, Series 4212, Class FW, 2.286%, 6/15/2043(b) |
891,665 | ||||||
103,624 | Federal National Mortgage Association, REMIC, Series 1992-162, Class FB, 2.010%, 9/25/2022(b) |
106,476 | ||||||
87,469 | Federal National Mortgage Association, REMIC, Series 1994-42, Class FD, 1.730%, 4/25/2024(b) |
89,215 | ||||||
22,024 | Federal National Mortgage Association, REMIC, Series 2002-W10, Class A7, 3.741%, 8/25/2042(b) |
21,955 | ||||||
1,966,770 | Federal National Mortgage Association, REMIC, Series 2003-48, Class GH, 5.500%, 6/25/2033 |
2,223,630 | ||||||
1,357,532 | Federal National Mortgage Association, REMIC, Series 2005-33, Class QD, 5.000%, 1/25/2034 |
1,415,285 | ||||||
1,490,422 | Federal National Mortgage Association, REMIC, Series 2005-100, Class BQ, 5.500%, 11/25/2025 |
1,636,116 | ||||||
1,552,424 | Federal National Mortgage Association, REMIC, Series 2007-73, Class A1, 0.247%, 7/25/2037(b) |
1,457,430 | ||||||
3,157,932 | Federal National Mortgage Association, REMIC, Series 2008-86, Class LA, 3.699%, 8/25/2038(b) |
3,204,213 | ||||||
5,412,360 | Federal National Mortgage Association, REMIC, Series 2013-67, Class NF, 1.187%, 7/25/2043(b) |
5,227,555 | ||||||
75,116 | Federal National Mortgage Association, REMIC, Series G93-19, Class FD, 1.670%, 4/25/2023(b) |
76,437 | ||||||
13,339 | FHLMC Structured Pass Through Securities, Series T-60, Class 2A1, 3.342%, 3/25/2044(b) |
13,798 | ||||||
1,510,734 | Government National Mortgage Association, Series 2010-H20, Class AF, 0.512%, 10/20/2060(b) |
1,506,419 | ||||||
1,368,517 | Government National Mortgage Association, Series 2010-H24, Class FA, 0.532%, 10/20/2060(b) |
1,365,659 | ||||||
1,254,813 | Government National Mortgage Association, Series 2011-H06, Class FA, 0.632%, 2/20/2061(b) |
1,257,152 | ||||||
2,687,416 | Government National Mortgage Association, Series 2012-124, Class HT, 7.217%, 7/20/2032(b) |
3,067,992 | ||||||
6,549,502 | Government National Mortgage Association, Series 2012-H15, Class FA, 0.632%, 5/20/2062(b) |
6,570,892 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Collateralized Mortgage Obligations continued | ||||||||
$ | 1,445,612 | Government National Mortgage Association, Series 2012-H18, Class NA, 0.702%, 8/20/2062(b) |
$ | 1,453,968 | ||||
7,514,615 | Government National Mortgage Association, Series 2012-H29, Class HF, 0.682%, 10/20/2062(b) |
7,540,909 | ||||||
7,127,244 | Government National Mortgage Association, Series 2013-H02, Class GF, 0.682%, 12/20/2062(b) |
7,152,517 | ||||||
5,281,687 | Government National Mortgage Association, Series 2013-H08, Class FA, 0.532%, 3/20/2063(b) |
5,262,235 | ||||||
4,297,446 | Government National Mortgage Association, Series 2013-H10, Class FA, 0.582%, 3/20/2063(b) |
4,295,074 | ||||||
13,552,440 | Government National Mortgage Association, Series 2013-H22, Class FT, 0.900%, 4/20/2063(b) |
13,753,314 | ||||||
8,031,671 | Government National Mortgage Association, Series 2014-H14, Class FA, 0.682%, 7/20/2064(b) |
8,008,524 | ||||||
5,551,571 | Government National Mortgage Association, Series 2014-H15, Class FA, 0.682%, 7/20/2064(b) |
5,569,519 | ||||||
11,303,392 | Government National Mortgage Association, Series 2015-H10, Class JA, 2.250%, 4/20/2065 |
11,321,410 | ||||||
3,991,001 | Government National Mortgage Association, Series 2015-H11, Class FA, 0.432%, 4/20/2065(b) |
3,989,193 | ||||||
497,918 | NCUA Guaranteed Notes, Series 2010-A1, Class A, 0.524%, 12/07/2020(b) |
498,465 | ||||||
1,603,000 | NCUA Guaranteed Notes, Series 2010-C1, Class A2, 2.900%, 10/29/2020 |
1,644,716 | ||||||
1,131,131 | NCUA Guaranteed Notes, Series 2010-R1, Class 1A, 0.635%, 10/07/2020(b) |
1,136,879 | ||||||
1,656,992 | NCUA Guaranteed Notes, Series 2010-R3, Class 1A, 0.744%, 12/08/2020(b) |
1,668,978 | ||||||
104,455 | NCUA Guaranteed Notes, Series 2010-R3, Class 2A, 0.745%, 12/08/2020(b) |
105,182 | ||||||
|
|
|||||||
130,963,408 | ||||||||
|
|
|||||||
Hybrid ARMs 17.5% | ||||||||
1,428,592 | FHLMC, 2.129%, 6/01/2037(b) |
1,510,065 | ||||||
4,098,611 | FHLMC, 2.274%, 9/01/2035(b) |
4,360,339 | ||||||
3,015,237 | FHLMC, 2.345%, 7/01/2033(b) |
3,213,240 | ||||||
1,558,593 | FHLMC, 2.345%, 4/01/2036(b) |
1,654,711 | ||||||
1,906,277 | FHLMC, 2.377%, 9/01/2038(b) |
2,035,973 | ||||||
401,701 | FHLMC, 2.388%, 9/01/2038(b) |
429,528 | ||||||
1,186,796 | FHLMC, 2.389%, 11/01/2038(b) |
1,266,994 | ||||||
7,372,513 | FHLMC, 2.399%, 3/01/2037(b) |
7,870,689 | ||||||
969,024 | FHLMC, 2.400%, 4/01/2037(b) |
1,033,136 | ||||||
4,934,839 | FHLMC, 2.407%, 2/01/2036(b) |
5,264,300 | ||||||
2,526,001 | FHLMC, 2.424%, 2/01/2036(b) |
2,701,261 | ||||||
2,262,564 | FHLMC, 2.477%, 3/01/2036(b) |
2,404,934 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Hybrid ARMs continued | ||||||||
$ | 800,119 | FHLMC, 2.478%, 12/01/2034(b) |
$ | 855,477 | ||||
3,169,595 | FHLMC, 2.484%, 4/01/2037(b) |
3,398,646 | ||||||
748,950 | FHLMC, 2.487%, 2/01/2035(b) |
805,521 | ||||||
1,837,885 | FHLMC, 2.523%, 3/01/2038(b) |
1,964,304 | ||||||
761,034 | FHLMC, 2.727%, 11/01/2038(b) |
809,432 | ||||||
711,196 | FHLMC, 2.805%, 3/01/2037(b) |
769,851 | ||||||
1,321,425 | FHLMC, 3.572%, 9/01/2038(b) |
1,393,647 | ||||||
168,434 | FHLMC, 5.260%, 12/01/2037(b) |
178,130 | ||||||
263,432 | FNMA, 1.859%, 2/01/2037(b) |
277,304 | ||||||
2,845,214 | FNMA, 1.921%, 7/01/2035(b) |
2,982,544 | ||||||
5,851,147 | FNMA, 2.028%, 9/01/2037(b) |
6,276,976 | ||||||
506,754 | FNMA, 2.155%, 8/01/2035(b) |
539,541 | ||||||
4,526,299 | FNMA, 2.155%, 4/01/2037(b) |
4,799,512 | ||||||
1,291,317 | FNMA, 2.162%, 8/01/2034(b) |
1,380,873 | ||||||
4,308,603 | FNMA, 2.171%, 7/01/2035(b) |
4,590,875 | ||||||
924,430 | FNMA, 2.219%, 10/01/2033(b) |
985,789 | ||||||
1,576,323 | FNMA, 2.274%, 9/01/2036(b) |
1,684,840 | ||||||
2,341,240 | FNMA, 2.282%, 4/01/2037(b) |
2,497,502 | ||||||
3,885,688 | FNMA, 2.289%, 11/01/2033(b) |
4,139,975 | ||||||
848,262 | FNMA, 2.298%, 9/01/2034(b) |
903,830 | ||||||
794,195 | FNMA, 2.310%, 12/01/2034(b) |
846,222 | ||||||
1,556,429 | FNMA, 2.310%, 1/01/2036(b) |
1,665,177 | ||||||
3,841,225 | FNMA, 2.348%, 8/01/2035(b) |
4,070,526 | ||||||
8,279,556 | FNMA, 2.366%, 10/01/2034(b) |
8,843,507 | ||||||
5,914,136 | FNMA, 2.368%, 4/01/2034(b) |
6,304,574 | ||||||
4,091,769 | FNMA, 2.379%, 9/01/2037(b) |
4,349,127 | ||||||
2,120,067 | FNMA, 2.384%, 6/01/2036(b) |
2,269,962 | ||||||
2,726,918 | FNMA, 2.412%, 10/01/2033(b) |
2,911,375 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Hybrid ARMs continued | ||||||||
$ | 5,517,704 | FNMA, 2.423%, 3/01/2037(b) |
$ | 5,947,340 | ||||
2,039,809 | FNMA, 2.429%, 6/01/2033(b) |
2,158,539 | ||||||
4,990,632 | FNMA, 2.431%, 6/01/2037(b) |
5,351,593 | ||||||
1,643,809 | FNMA, 2.445%, 2/01/2047(b) |
1,763,682 | ||||||
1,794,611 | FNMA, 2.448%, 4/01/2034(b) |
1,909,769 | ||||||
524,432 | FNMA, 2.456%, 4/01/2033(b) |
562,163 | ||||||
918,154 | FNMA, 2.464%, 2/01/2037(b) |
980,971 | ||||||
4,927,425 | FNMA, 2.549%, 7/01/2037(b) |
5,250,816 | ||||||
459,752 | FNMA, 2.558%, 8/01/2033(b) |
492,908 | ||||||
610,412 | FNMA, 2.666%, 8/01/2036(b) |
655,195 | ||||||
1,572,622 | FNMA, 2.677%, 5/01/2035(b) |
1,692,478 | ||||||
2,813,661 | FNMA, 3.174%, 6/01/2035(b) |
3,011,298 | ||||||
977,889 | FNMA, 4.630%, 8/01/2038(b) |
1,043,191 | ||||||
|
|
|||||||
137,060,152 | ||||||||
|
|
|||||||
Mortgage Related 20.1% | ||||||||
153,936 | FHLMC, 3.000%, 10/01/2026 |
159,636 | ||||||
1,099,363 | FHLMC, 4.000%, with various maturities from 2024 to 2042(c) |
1,161,965 | ||||||
891,738 | FHLMC, 4.500%, with various maturities from 2025 to 2034(c) |
956,050 | ||||||
393,209 | FHLMC, 5.500%, 10/01/2023 |
430,338 | ||||||
35,609 | FHLMC, 6.000%, 11/01/2019 |
37,933 | ||||||
842,622 | FHLMC, 6.500%, with various maturities from 2017 to 2034(c) |
979,684 | ||||||
6,524 | FHLMC, 7.000%, 2/01/2016 |
6,567 | ||||||
572 | FHLMC, 7.500%, 6/01/2026 |
655 | ||||||
153 | FHLMC, 8.000%, 9/01/2015 |
154 | ||||||
1,727 | FHLMC, 10.000%, 7/01/2019 |
1,885 | ||||||
26,177 | FHLMC, 11.500%, 4/01/2020 |
26,684 | ||||||
202,189 | FNMA, 3.000%, 3/01/2042 |
202,010 | ||||||
3,079,676 | FNMA, 5.000%, with various maturities from 2037 to 2038(c) |
3,416,187 | ||||||
1,509,127 | FNMA, 5.500%, with various maturities from 2018 to 2033(c) |
1,681,162 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Mortgage Related continued | ||||||||
$ | 2,462,670 | FNMA, 6.000%, with various maturities from 2017 to 2022(c) |
$ | 2,722,864 | ||||
350,492 | FNMA, 6.500%, with various maturities from 2017 to 2037(c) |
399,324 | ||||||
20,659 | FNMA, 7.000%, 12/01/2022 |
20,723 | ||||||
134,445 | FNMA, 7.500%, with various maturities from 2015 to 2032(c) |
156,846 | ||||||
948 | FNMA, 8.000%, with various maturities from 2015 to 2016(c) |
954 | ||||||
4,972,988 | GNMA, 1.863%, 2/20/2061(b) |
5,233,279 | ||||||
3,844,039 | GNMA, 2.068%, 2/20/2063(b) |
4,066,536 | ||||||
4,706,303 | GNMA, 2.343%, 3/20/2063(b) |
5,036,582 | ||||||
2,746,285 | GNMA, 2.557%, 2/20/2063(b) |
2,950,579 | ||||||
4,596,110 | GNMA, 4.479%, 2/20/2062 |
4,961,289 | ||||||
4,679,351 | GNMA, 4.521%, 12/20/2061 |
5,040,021 | ||||||
6,994,137 | GNMA, 4.532%, 12/20/2062 |
7,640,157 | ||||||
18,272,999 | GNMA, 4.556%, 12/20/2061 |
19,668,636 | ||||||
2,372,037 | GNMA, 4.560%, 3/20/2062 |
2,557,165 | ||||||
12,331,289 | GNMA, 4.583%, 11/20/2062 |
13,441,833 | ||||||
1,518,311 | GNMA, 4.599%, 4/20/2063 |
1,665,706 | ||||||
4,345,151 | GNMA, 4.604%, 6/20/2062 |
4,714,363 | ||||||
1,470,137 | GNMA, 4.616%, 8/20/2061 |
1,574,479 | ||||||
1,868,449 | GNMA, 4.639%, 3/20/2062 |
2,020,109 | ||||||
7,932,196 | GNMA, 4.659%, 2/20/2062 |
8,588,340 | ||||||
3,673,037 | GNMA, 4.689%, 2/20/2062 |
3,964,816 | ||||||
1,959,115 | GNMA, 4.698%, 7/20/2061 |
2,094,564 | ||||||
8,204,018 | GNMA, 4.700%, with various maturities in 2061(c) |
8,783,589 | ||||||
1,796,517 | GNMA, 4.717%, 3/20/2061 |
1,914,212 | ||||||
1,523,741 | GNMA, 4.808%, 8/20/2062 |
1,643,305 | ||||||
816,912 | GNMA, 5.167%, 4/20/2061 |
876,900 | ||||||
21,609 | GNMA, 6.000%, 12/15/2031 |
25,226 | ||||||
101,106 | GNMA, 6.500%, 5/15/2031 |
119,283 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Mortgage Related continued | ||||||||
$ | 101,539 | GNMA, 7.000%, 10/15/2028 |
$ | 116,972 | ||||
4,864,580 | Government National Mortgage Association, Series 2015-H04, Class FL, 0.652%, 2/20/2065(b) |
4,864,074 | ||||||
7,382,648 | Government National Mortgage Association, Series 2015-H05, Class FA, 0.482%, 4/20/2061(b) |
7,384,176 | ||||||
16,408,393 | Government National Mortgage Association, Series 2015-H09, Class HA, 1.750%, 3/20/2065 |
16,531,160 | ||||||
7,515,673 | Government National Mortgage Association, Series 2015-H12, Class FL, 0.412%, 5/20/2065(b) |
7,526,135 | ||||||
|
|
|||||||
157,365,107 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 7.0% | ||||||||
1,290,000 | A10 Securitization LLC, Series 2014-1, Class A1, 1.720%, 4/15/2033, 144A |
1,286,629 | ||||||
1,780,000 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-2, Class A4, 5.783%, 4/10/2049(b) |
1,862,188 | ||||||
319,986 | Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-5, Class A4, 5.492%, 2/10/2051 |
337,838 | ||||||
3,700,000 | CDGJ Commercial Mortgage Trust Pass Through Certificates, Series 2014-BXCH, 1.586%, 12/15/2027, 144A(b) |
3,701,310 | ||||||
3,215,000 | CG-CCRE Commercial Mortgage Trust, Series 2014-FL1, Class A, 1.134%, 6/15/2031, 144A(b) |
3,208,097 | ||||||
3,040,000 | Commercial Mortgage Trust, Series 2014-FL5, Class SV1, 2.036%, 10/15/2031, 144A(b)(d) |
3,040,000 | ||||||
2,981,147 | GP Portfolio Trust, Series 2014-GPP, Class A, 1.136%, 2/15/2027, 144A(b) |
2,976,523 | ||||||
4,532,695 | Greenwich Capital Commercial Funding Corp., Series 2007-GG9, Class A4, 5.444%, 3/10/2039 |
4,765,399 | ||||||
4,163,000 | Greenwich Capital Commercial Funding Corp., Series 2007-GG11, Class A4, 5.736%, 12/10/2049 |
4,418,084 | ||||||
`5,535,000 | JPMorgan Chase Commercial Mortgage Securities Corp., Series 2014-CBM, Class A, 1.086%, 10/15/2029, 144A(b) |
5,500,102 | ||||||
248,913 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2006-CB15, Class A4, 5.814%, 6/12/2043(b) |
255,685 | ||||||
2,380,000 | JPMorgan Chase Commercial Mortgage Securities Trust, Series 2014-FL5, Class A, 1.166%, 7/15/2031, 144A(b) |
2,374,959 | ||||||
1,630,236 | LB-UBS Commercial Mortgage Trust, Series 2007-C2, Class A3, 5.430%, 2/15/2040 |
1,722,116 | ||||||
1,076,824 | Merrill Lynch/Countrywide Commercial Mortgage Trust, Series 2007-5, Class A4, 5.378%, 8/12/2048 |
1,122,374 | ||||||
4,535,000 | Morgan Stanley Capital I, Series 2007-HQ12, Class A5, 5.861%, 4/12/2049(b) |
4,541,553 | ||||||
849,654 | PFP III Ltd., Series 2014-1, Class A, 1.356%, 6/14/2031, 144A(b) |
848,663 | ||||||
3,420,000 | Resource Capital Corp. Ltd., Series 2014-CRE2, Class A, 1.236%, 4/15/2032, 144A(b) |
3,402,483 | ||||||
3,700,000 | Starwood Retail Property Trust, Inc., 1.402%, 11/15/2027, 144A(b) |
3,674,437 | ||||||
3,833,863 | Wachovia Bank Commercial Mortgage Trust, Series 2006-C28, Class A4, 5.572%, 10/15/2048 |
3,978,614 |
Principal Amount |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
Non-Agency Commercial Mortgage-Backed Securities continued | ||||||||
$ | 1,440,000 | Wachovia Bank Commercial Mortgage Trust, Series 2007-C34, Class A3, 5.678%, 5/15/2046 |
$ | 1,532,511 | ||||
|
|
|||||||
54,549,565 | ||||||||
|
|
|||||||
Sovereigns 0.3% | ||||||||
1,955,000 | U.S. Department of Housing and Urban Development, Series 4, 1.880%, 8/01/2019 |
1,955,919 | ||||||
|
|
|||||||
Treasuries 22.9% | ||||||||
19,145,000 | U.S. Treasury Note, 0.625%, 5/31/2017 |
19,142,013 | ||||||
8,375,000 | U.S. Treasury Note, 0.750%, 3/31/2018 |
8,332,472 | ||||||
31,080,000 | U.S. Treasury Note, 0.875%, 10/15/2017 |
31,150,427 | ||||||
30,745,000 | U.S. Treasury Note, 0.875%, 1/15/2018 |
30,754,592 | ||||||
12,805,000 | U.S. Treasury Note, 1.000%, 12/15/2017 |
12,860,023 | ||||||
13,400,000 | U.S. Treasury Note, 1.125%, 6/15/2018 |
13,450,250 | ||||||
23,950,000 | U.S. Treasury Note, 1.250%, 1/31/2020 |
23,628,160 | ||||||
4,860,000 | U.S. Treasury Note, 1.500%, 5/31/2020 |
4,833,421 | ||||||
21,810,000 | U.S. Treasury Note, 1.625%, 3/31/2019 |
22,070,695 | ||||||
2,385,000 | U.S. Treasury Note, 1.625%, 8/31/2019 |
2,404,192 | ||||||
10,050,000 | U.S. Treasury Note, 1.625%, 12/31/2019 |
10,091,617 | ||||||
|
|
|||||||
178,717,862 | ||||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $766,002,982) |
764,668,584 | |||||||
|
|
|||||||
|
Short-Term Investments 1.0% |
|||||||
7,682,656 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $7,682,658 on 7/01/2015 collateralized by $7,735,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $7,840,676 including accrued interest(e) (Identified Cost $7,682,656) |
7,682,656 | ||||||
|
|
|||||||
Total Investments 98.8% (Identified Cost $773,685,638)(a) |
772,351,240 | |||||||
Other assets less liabilities 1.2% |
9,684,657 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 782,035,897 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: Debt securities and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers. |
Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be 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, 2015, the net unrealized depreciation on investments based on a cost of $773,740,084 for federal income tax purposes was as follows:
Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost |
$ | 5,655,470 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(7,044,314 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (1,388,844 | ) | |
|
|
At September 30, 2014, the Fund had a short-term capital loss carryforward of $3,476,934 with no expiration date and a long-term capital loss carryforward of $8,321,892 with no expiration date. These amounts may be available to offset future realized capital gains, if any, to the extent provided by regulations.
(b) | Variable rate security. Rate as of June 30, 2015 is disclosed. |
(c) | The Funds investment in mortgage related securities of Federal Home Loan Mortgage Corporation, Federal National Mortgage Association and Government National Mortgage Association are interests in separate pools of mortgages. All separate investments in securities of each issuer which have the same coupon rate have been aggregated for the purpose of presentation in the Portfolio of Investments. |
(d) | Illiquid security. At June 30, 2015, the value of this security amounted to $3,040,000 or 0.4% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
(e) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2015, the value of Rule 144A holdings amounted to $40,565,427 or 5.2% of net assets. |
ARMs | Adjustable Rate Mortgages |
FHLMC | Federal Home Loan Mortgage Corp. |
FNMA | Federal National Mortgage Association |
GNMA | Government National Mortgage Association |
REMIC | Real Estate Mortgage Investment Conduit |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Agency Commercial Mortgage-Backed Securities |
$ | | $ | 76,460,123 | $ | 14,127,080 | (a) | $ | 90,587,203 | |||||||
Collateralized Mortgage Obligations |
| 130,442,988 | 520,420 | (a) | 130,963,408 | |||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 51,509,565 | 3,040,000 | (a) | 54,549,565 | |||||||||||
All Other Non-Convertible Bonds* |
| 488,568,408 | | 488,568,408 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
| 746,981,084 | 17,687,500 | 764,668,584 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Investments |
| 7,682,656 | | 7,682,656 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | | $ | 754,663,740 | $ | 17,687,500 | $ | 772,351,240 | ||||||||
|
|
|
|
|
|
|
|
* | 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 adviser and approved by the Board of Trustees. Debt securities are valued based on 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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, 2014 and/or June 30, 2015:
Asset Valuation inputs
Investments in Securities |
Balance as of September 30, 2014 |
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, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
ABS Car Loan |
$ | 2,694,542 | $ | | $ | | $ | | $ | | $ | | $ | | $ | (2,694,542 | ) | $ | | $ | | |||||||||||||||||||
ABS Home Equity |
160,459 | | 1,376 | 1,136 | | (162,971 | ) | | | | | |||||||||||||||||||||||||||||
Agency Commercial Mortgage-Backed Securities |
14,488,062 | | | (360,982 | ) | | | | | 14,127,080 | (360,982 | ) | ||||||||||||||||||||||||||||
Collateralized Mortgage Obligations |
604,116 | | 5 | (86 | ) | | (83,615 | ) | | | 520,420 | 25 | ||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| | | (3,950 | ) | 3,043,950 | | | | 3,040,000 | (3,950 | ) | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total |
$ | 17,947,179 | $ | | $ | 1,381 | $ | (363,882 | ) | $ | 3,043,950 | $ | (246,586 | ) | $ | | $ | (2,694,542 | ) | $ | 17,687,500 | $ | (364,907 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
A debt security valued at $2,694,542 was transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service was unable to price the security. At June 30, 2015, 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.
Industry Summary at June 30, 2015 (Unaudited)
Treasuries |
22.9 | % | ||
Mortgage Related |
20.1 | |||
Hybrid ARMs |
17.5 | |||
Collateralized Mortgage Obligations |
16.7 | |||
Agency Commercial Mortgage-Backed Securities |
11.6 | |||
Non-Agency Commercial Mortgage-Backed Securities |
7.0 | |||
Other Investments, less than 2% each |
2.0 | |||
Short-Term Investments |
1.0 | |||
|
|
|||
Total Investments |
98.8 | |||
Other assets less liabilities |
1.2 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Small Cap Growth Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 96.8% of Net Assets |
|||||||
Aerospace & Defense 1.6% | ||||||||
304,142 | DigitalGlobe, Inc.(b) |
$ | 8,452,106 | |||||
229,734 | Hexcel Corp. |
11,426,969 | ||||||
|
|
|||||||
19,879,075 | ||||||||
|
|
|||||||
Air Freight & Logistics 1.9% | ||||||||
336,749 | Echo Global Logistics, Inc.(b) |
10,998,222 | ||||||
282,138 | XPO Logistics, Inc.(b) |
12,746,995 | ||||||
|
|
|||||||
23,745,217 | ||||||||
|
|
|||||||
Airlines 0.5% | ||||||||
103,907 | Spirit Airlines, Inc.(b) |
6,452,625 | ||||||
|
|
|||||||
Auto Components 0.7% | ||||||||
165,369 | Gentherm, Inc.(b) |
9,080,412 | ||||||
|
|
|||||||
Banks 4.3% | ||||||||
324,744 | Bank of the Ozarks, Inc. |
14,857,038 | ||||||
249,952 | Pinnacle Financial Partners, Inc. |
13,589,890 | ||||||
347,443 | PrivateBancorp, Inc. |
13,835,180 | ||||||
681,520 | Talmer Bancorp, Inc., Class A |
11,415,460 | ||||||
|
|
|||||||
53,697,568 | ||||||||
|
|
|||||||
Biotechnology 8.2% | ||||||||
286,242 | Acorda Therapeutics, Inc.(b) |
9,540,446 | ||||||
454,724 | Amicus Therapeutics, Inc.(b) |
6,434,345 | ||||||
94,866 | Anacor Pharmaceuticals, Inc.(b) |
7,345,474 | ||||||
177,029 | Chimerix, Inc.(b) |
8,178,740 | ||||||
437,073 | Emergent Biosolutions, Inc.(b) |
14,401,555 | ||||||
394,186 | Insys Therapeutics, Inc.(b) |
14,159,161 | ||||||
815,868 | MiMedx Group, Inc.(b) |
9,455,910 | ||||||
154,286 | Neurocrine Biosciences, Inc.(b) |
7,368,699 | ||||||
51,960 | Receptos, Inc.(b) |
9,874,998 | ||||||
116,416 | TESARO, Inc.(b) |
6,844,097 | ||||||
220,059 | Zafgen, Inc.(b) |
7,620,643 | ||||||
|
|
|||||||
101,224,068 | ||||||||
|
|
|||||||
Building Products 3.5% | ||||||||
206,690 | Apogee Enterprises, Inc. |
10,880,162 | ||||||
173,148 | Caesarstone Sdot-Yam Ltd. |
11,867,564 | ||||||
449,118 | NCI Building Systems, Inc.(b) |
6,768,208 | ||||||
272,631 | Trex Co., Inc.(b) |
13,476,150 | ||||||
|
|
|||||||
42,992,084 | ||||||||
|
|
|||||||
Capital Markets 2.1% | ||||||||
246,985 | Artisan Partners Asset Management, Inc. |
11,474,923 | ||||||
342,365 | HFF, Inc., Class A |
14,286,892 | ||||||
|
|
|||||||
25,761,815 | ||||||||
|
|
|||||||
Commercial Services & Supplies 1.0% | ||||||||
368,838 | Healthcare Services Group, Inc. |
12,190,096 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Communications Equipment 0.6% | ||||||||
304,808 | Ciena Corp.(b) |
$ | 7,217,853 | |||||
|
|
|||||||
Consumer Finance 0.9% | ||||||||
253,680 | Encore Capital Group, Inc.(b) |
10,842,283 | ||||||
|
|
|||||||
Distributors 1.1% | ||||||||
186,570 | Pool Corp. |
13,093,483 | ||||||
|
|
|||||||
Diversified Consumer Services 3.1% | ||||||||
230,714 | 2U, Inc.(b) |
7,426,683 | ||||||
255,156 | Bright Horizons Family Solutions, Inc.(b) |
14,748,017 | ||||||
648,127 | Nord Anglia Education, Inc.(b) |
15,892,074 | ||||||
|
|
|||||||
38,066,774 | ||||||||
|
|
|||||||
Diversified Financial Services 1.2% | ||||||||
158,773 | MarketAxess Holdings, Inc. |
14,729,371 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 1.9% | ||||||||
139,167 | FEI Co. |
11,541,119 | ||||||
138,124 | IPG Photonics Corp.(b) |
11,764,712 | ||||||
|
|
|||||||
23,305,831 | ||||||||
|
|
|||||||
Energy Equipment & Services 0.8% | ||||||||
137,859 | Dril-Quip, Inc.(b) |
10,373,890 | ||||||
|
|
|||||||
Food Products 0.8% | ||||||||
508,551 | Freshpet, Inc.(b) |
9,459,049 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 3.6% | ||||||||
374,795 | Cynosure, Inc., Class A(b) |
14,459,591 | ||||||
268,089 | Inogen, Inc.(b) |
11,956,770 | ||||||
229,304 | LDR Holding Corp.(b) |
9,917,398 | ||||||
353,153 | Quidel Corp.(b) |
8,104,861 | ||||||
|
|
|||||||
44,438,620 | ||||||||
|
|
|||||||
Health Care Providers & Services 6.4% | ||||||||
264,269 | Acadia Healthcare Co., Inc.(b) |
20,700,191 | ||||||
76,427 | Adeptus Health, Inc., Class A(b) |
7,259,801 | ||||||
249,775 | Amsurg Corp.(b) |
17,471,761 | ||||||
151,130 | ExamWorks Group, Inc.(b) |
5,909,183 | ||||||
195,372 | Magellan Health, Inc.(b) |
13,689,716 | ||||||
220,456 | Team Health Holdings, Inc.(b) |
14,402,390 | ||||||
|
|
|||||||
79,433,042 | ||||||||
|
|
|||||||
Health Care Technology 1.1% | ||||||||
246,827 | Medidata Solutions, Inc.(b) |
13,407,643 | ||||||
|
|
|||||||
Hotels, Restaurants & Leisure 6.4% | ||||||||
275,787 | Dave & Busters Entertainment, Inc.(b) |
9,953,153 | ||||||
337,335 | Diamond Resorts International, Inc.(b) |
10,642,919 | ||||||
530,888 | Krispy Kreme Doughnuts, Inc.(b) |
10,224,903 | ||||||
206,425 | Popeyes Louisiana Kitchen, Inc.(b) |
12,383,436 | ||||||
246,561 | Texas Roadhouse, Inc. |
9,228,778 | ||||||
146,264 | Vail Resorts, Inc. |
15,972,029 |
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Hotels, Restaurants & Leisure continued | ||||||||
259,456 | Zoes Kitchen, Inc.(b) |
$ | 10,622,128 | |||||
|
|
|||||||
79,027,346 | ||||||||
|
|
|||||||
Internet & Catalog Retail 0.8% | ||||||||
265,143 | Wayfair, Inc., Class A(b) |
9,979,983 | ||||||
|
|
|||||||
Internet Software & Services 7.3% | ||||||||
280,351 | comScore, Inc.(b) |
14,931,494 | ||||||
307,751 | Criteo S.A., Sponsored ADR(b) |
14,670,490 | ||||||
136,215 | Dealertrack Technologies, Inc.(b) |
8,552,940 | ||||||
203,368 | Demandware, Inc.(b) |
14,455,398 | ||||||
547,996 | Endurance International Group Holdings, Inc.(b) |
11,321,597 | ||||||
210,925 | Envestnet, Inc.(b) |
8,527,698 | ||||||
340,644 | Q2 Holdings, Inc.(b) |
9,623,193 | ||||||
352,948 | Wix.com Ltd.(b) |
8,336,632 | ||||||
|
|
|||||||
90,419,442 | ||||||||
|
|
|||||||
IT Services 3.4% | ||||||||
272,277 | Cardtronics, Inc.(b) |
10,087,863 | ||||||
127,952 | EPAM Systems, Inc.(b) |
9,114,021 | ||||||
236,869 | Euronet Worldwide, Inc.(b) |
14,614,817 | ||||||
318,817 | InterXion Holding NV(b) |
8,815,290 | ||||||
|
|
|||||||
42,631,991 | ||||||||
|
|
|||||||
Life Sciences Tools & Services 1.7% | ||||||||
240,874 | Cambrex Corp.(b) |
10,584,004 | ||||||
250,079 | INC Research Holdings, Inc., Class A(b) |
10,033,169 | ||||||
|
|
|||||||
20,617,173 | ||||||||
|
|
|||||||
Machinery 2.7% | ||||||||
116,945 | Middleby Corp. (The)(b) |
13,124,738 | ||||||
176,709 | Proto Labs, Inc.(b) |
11,924,323 | ||||||
112,445 | RBC Bearings, Inc.(b) |
8,069,053 | ||||||
|
|
|||||||
33,118,114 | ||||||||
|
|
|||||||
Media 0.9% | ||||||||
281,861 | IMAX Corp.(b) |
11,350,542 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.7% | ||||||||
140,374 | Diamondback Energy, Inc.(b) |
10,581,392 | ||||||
188,423 | PDC Energy, Inc.(b) |
10,107,010 | ||||||
|
|
|||||||
20,688,402 | ||||||||
|
|
|||||||
Pharmaceuticals 2.3% | ||||||||
258,358 | Impax Laboratories, Inc.(b) |
11,863,799 | ||||||
191,898 | Tetraphase Pharmaceuticals, Inc.(b) |
9,103,641 | ||||||
149,838 | ZS Pharma, Inc.(b) |
7,850,013 | ||||||
|
|
|||||||
28,817,453 | ||||||||
|
|
|||||||
Professional Services 2.3% | ||||||||
187,033 | CEB, Inc. |
16,283,093 | ||||||
166,185 | Huron Consulting Group, Inc.(b) |
11,647,907 | ||||||
|
|
|||||||
27,931,000 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Road & Rail 0.8% | ||||||||
135,146 | Genesee & Wyoming, Inc., Class A(b) |
$ | 10,295,422 | |||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 5.6% | ||||||||
189,217 | Cavium, Inc.(b) |
13,020,022 | ||||||
384,722 | Inphi Corp.(b) |
8,794,745 | ||||||
703,394 | Intersil Corp. |
8,799,459 | ||||||
319,797 | MKS Instruments, Inc. |
12,133,098 | ||||||
264,600 | Monolithic Power Systems, Inc. |
13,417,866 | ||||||
241,039 | Silicon Laboratories, Inc.(b) |
13,018,516 | ||||||
|
|
|||||||
69,183,706 | ||||||||
|
|
|||||||
Software 7.3% | ||||||||
168,039 | Ellie Mae, Inc.(b) |
11,727,442 | ||||||
325,157 | FleetMatics Group PLC(b) |
15,227,102 | ||||||
348,785 | Guidewire Software, Inc.(b) |
18,461,190 | ||||||
195,041 | Imperva, Inc.(b) |
13,204,276 | ||||||
255,996 | Proofpoint, Inc.(b) |
16,299,265 | ||||||
94,311 | Ultimate Software Group, Inc. (The)(b) |
15,499,070 | ||||||
|
|
|||||||
90,418,345 | ||||||||
|
|
|||||||
Specialty Retail 4.7% | ||||||||
180,349 | Asbury Automotive Group, Inc.(b) |
16,343,226 | ||||||
324,612 | Boot Barn Holdings, Inc.(b) |
10,387,584 | ||||||
128,064 | Mattress Firm Holding Corp.(b) |
7,805,501 | ||||||
204,010 | Monro Muffler Brake, Inc. |
12,681,262 | ||||||
115,357 | Restoration Hardware Holdings, Inc.(b) |
11,262,304 | ||||||
|
|
|||||||
58,479,877 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 2.6% | ||||||||
156,589 | Columbia Sportswear Co. |
9,467,371 | ||||||
142,029 | Oxford Industries, Inc. |
12,420,436 | ||||||
228,374 | Steven Madden Ltd.(b) |
9,769,840 | ||||||
|
|
|||||||
31,657,647 | ||||||||
|
|
|||||||
Thrifts & Mortgage Finance 1.0% | ||||||||
438,860 | Essent Group Ltd.(b) |
12,002,821 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $916,218,200) |
1,196,010,063 | |||||||
|
|
|||||||
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 3.2% |
|||||||
$ | 40,079,151 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $40,079,162 on 7/01/2015 collateralized by $41,505,000 U.S. Treasury Note, 1.750% due 3/31/2022 valued at $40,882,425 including accrued interest(c) (Identified Cost $40,079,151) |
40,079,151 | |||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $956,297,351)(a) |
$ | 1,236,089,214 | ||||||
Other assets less liabilities (0.0)% |
(490,433 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,235,598,781 | ||||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At June 30, 2015, the net unrealized appreciation on investments based on a cost of $956,297,351 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 |
$ | 290,534,065 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(10,742,202 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 279,791,863 | ||
|
|
At September 30, 2014, late-year ordinary and post-October capital loss deferrals were $5,935,433. 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) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,196,010,063 | $ | | $ | | $ | 1,196,010,063 | ||||||||
Short-Term Investments |
| 40,079,151 | | 40,079,151 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,196,010,063 | $ | 40,079,151 | $ | | $ | 1,236,089,214 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2015, there were no transfers among Levels 1, 2 and 3.
Industry Summary at June 30, 2015 (Unaudited)
Biotechnology |
8.2 | % | ||
Internet Software & Services |
7.3 | |||
Software |
7.3 | |||
Health Care Providers & Services |
6.4 | |||
Hotels, Restaurants & Leisure |
6.4 | |||
Semiconductors & Semiconductor Equipment |
5.6 | |||
Specialty Retail |
4.7 | |||
Banks |
4.3 | |||
Health Care Equipment & Supplies |
3.6 | |||
Building Products |
3.5 | |||
IT Services |
3.4 | |||
Diversified Consumer Services |
3.1 | |||
Machinery |
2.7 | |||
Textiles, Apparel & Luxury Goods |
2.6 | |||
Pharmaceuticals |
2.3 | |||
Professional Services |
2.3 | |||
Capital Markets |
2.1 | |||
Other Investments, less than 2% each |
21.0 | |||
Short-Term Investments |
3.2 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
(0.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Small/Mid Cap Growth Fund
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 100.0% |
|||||||
$ | 10,000,000 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.010% to be repurchased at $10,000,003 on 7/01/2015 collateralized by $9,740,000 U.S. Treasury Note, 2.625% due 11/15/2020 valued at $10,202,650 including accrued interest(b) (Identified Cost $10,000,000) |
$ | 10,000,000 | ||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $10,000,000)(a) |
10,000,000 | |||||||
Other assets less liabilities 0.0% |
3 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 10,000,003 | ||||||
|
|
() | Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers. |
(a) | The aggregate cost for federal income tax purposes was $10,000,000. |
(b) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short-Term Investments |
$ | | $ | 10,000,000 | $ | | $ | 10,000,000 | ||||||||
|
|
|
|
|
|
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Strategic Income Fund
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes 72.8% of Net Assets |
|||||||
|
Non-Convertible Bonds 66.1% |
|||||||
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 |
$ | 4,170,622 | ||||
|
|
|||||||
ABS Home Equity 0.0% | ||||||||
2,568,485 | Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR4, Class 2A2, 2.632%, 4/25/2035(b) |
2,615,079 | ||||||
|
|
|||||||
ABS Other 0.4% | ||||||||
22,750,119 | GCA2014 Holdings Ltd., Series 2014-1, Class C, 6.000%, 1/05/2030, 144A(c)(d) |
22,750,119 | ||||||
8,271,488 | GCA2014 Holdings Ltd., Series 2014-1, Class D, 7.500%, 1/05/2030, 144A(c)(d) |
8,271,488 | ||||||
42,000,000 | GCA2014 Holdings Ltd., Series 2014-1, Class E, Zero Coupon, 1/05/2030, 144A(c)(d)(g) |
31,294,200 | ||||||
12,725,359 | Global Container Assets Ltd., Series 2015-1A, Class B, 4.500%, 2/05/2030, 144A |
12,600,650 | ||||||
|
|
|||||||
74,916,457 | ||||||||
|
|
|||||||
Aerospace & Defense 0.7% | ||||||||
620,000 | Bombardier, Inc., 7.350%, 12/22/2026, 144A, (CAD) |
486,469 | ||||||
11,800,000 | Bombardier, Inc., 7.450%, 5/01/2034, 144A |
11,092,000 | ||||||
2,425,000 | Ducommun, Inc., 9.750%, 7/15/2018 |
2,555,465 | ||||||
16,246,000 | KLX, Inc., 5.875%, 12/01/2022, 144A |
16,406,673 | ||||||
8,236,000 | Meccanica Holdings USA, Inc., 6.250%, 7/15/2019, 144A |
8,812,520 | ||||||
22,548,000 | Meccanica Holdings USA, Inc., 6.250%, 1/15/2040, 144A |
21,646,080 | ||||||
20,755,000 | Meccanica Holdings USA, Inc., 7.375%, 7/15/2039, 144A |
22,311,625 | ||||||
5,310,000 | Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter), 6.000%, 2/15/2067, 144A |
4,407,300 | ||||||
24,513,000 | TransDigm, Inc., 6.500%, 7/15/2024 |
24,206,588 | ||||||
17,765,000 | TransDigm, Inc., 6.500%, 5/15/2025, 144A |
17,587,350 | ||||||
|
|
|||||||
129,512,070 | ||||||||
|
|
|||||||
Airlines 3.0% | ||||||||
13,620,000 | Air Canada, 7.625%, 10/01/2019, 144A, (CAD) |
11,695,316 | ||||||
4,614,033 | Air Canada Pass Through Trust, Series 2013-1, Class B, 5.375%, 11/15/2022, 144A |
4,798,595 | ||||||
2,285,000 | Allegiant Travel Co., 5.500%, 7/15/2019 |
2,302,138 | ||||||
179,895,000 | American Airlines Group, Inc., 5.500%, 10/01/2019, 144A |
181,244,213 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Airlines continued | ||||||||
$ | 13,486,925 | American Airlines Pass Through Trust, Series 2013-1, Class A, 4.000%, 1/15/2027 |
$ | 13,575,669 | ||||
4,933,692 | American Airlines Pass Through Trust, Series 2013-1, Class B, 5.625%, 1/15/2021, 144A |
5,106,372 | ||||||
10,425,000 | American Airlines Pass Through Trust, Series 2013-2, Class C, 6.000%, 1/15/2017, 144A |
10,785,497 | ||||||
2,823,638 | Continental Airlines Pass Through Certificates, Series 2012-2, Class B, 5.500%, 4/29/2022 |
2,924,979 | ||||||
21,015,000 | Continental Airlines Pass Through Certificates, Series 2012-3, Class C, 6.125%, 4/29/2018 |
21,908,138 | ||||||
283,816 | Continental Airlines Pass Through Trust, Series 1997-4, Class B, 6.900%, 7/02/2018 |
294,090 | ||||||
954,674 | Continental Airlines Pass Through Trust, Series 1999-1, Class B, 6.795%, 2/02/2020 |
1,009,568 | ||||||
529,569 | Continental Airlines Pass Through Trust, Series 1999-2, Class B, 7.566%, 9/15/2021 |
542,808 | ||||||
801,871 | Continental Airlines Pass Through Trust, Series 2000-1, Class A-1, 8.048%, 5/01/2022 |
909,081 | ||||||
1,132,729 | Continental Airlines Pass Through Trust, Series 2000-2, Class A-1, 7.707%, 10/02/2022 |
1,243,850 | ||||||
1,128,292 | Continental Airlines Pass Through Trust, Series 2000-2, Class B, 8.307%, 10/02/2019 |
1,203,324 | ||||||
1,811,595 | Continental Airlines Pass Through Trust, Series 2001-1, Class A-1, 6.703%, 12/15/2022 |
1,924,820 | ||||||
1,063,631 | Continental Airlines Pass Through Trust, Series 2001-1, Class B, 7.373%, 6/15/2017 |
1,083,521 | ||||||
9,633,400 | Continental Airlines Pass Through Trust, Series 2007-1, Class A, 5.983%, 10/19/2023 |
10,741,240 | ||||||
17,509,643 | Continental Airlines Pass Through Trust, Series 2007-1, Class B, 6.903%, 10/19/2023 |
18,603,996 | ||||||
14,294,792 | Continental Airlines Pass Through Trust, Series 2009-1, 9.000%, 1/08/2018 |
15,259,690 | ||||||
13,031,294 | Continental Airlines Pass Through Trust, Series 2009-2, Class A, 7.250%, 5/10/2021 |
15,083,723 | ||||||
3,173,232 | Continental Airlines Pass Through Trust, Series 2012-1, Class B, 6.250%, 10/11/2021 |
3,347,760 | ||||||
1,096,484 | Delta Air Lines Pass Through Trust, Series 2007-1, Class A, 6.821%, 2/10/2024 |
1,258,216 | ||||||
5,048,305 | Delta Air Lines Pass Through Trust, Series 2007-1, Class B, 8.021%, 2/10/2024 |
5,792,930 | ||||||
814,665 | Northwest Airlines, Inc., Series 2002-1, Class G2, (MBIA insured), 6.264%, 5/20/2023 |
852,303 | ||||||
14,777,529 | UAL Pass Through Trust, Series 2007-1, Class A, 6.636%, 1/02/2024 |
15,848,900 | ||||||
351,439 | UAL Pass Through Trust, Series 2009-1, 10.400%, 5/01/2018 |
383,069 | ||||||
9,585,000 | United Airlines Pass Through Trust, Series 2014-1, Class B, 4.750%, 10/11/2023 |
9,738,168 | ||||||
10,375,000 | United Airlines Pass Through Trust, Series 2014-2, Class B, 4.625%, 3/03/2024 |
10,582,500 | ||||||
9,905,714 | US Airways Pass Through Trust, Series 2010-1B, Class B, 8.500%, 10/22/2018 |
10,586,632 | ||||||
40,645,067 | US Airways Pass Through Trust, Series 2011-1B, Class B, 9.750%, 4/22/2020 |
46,843,440 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Airlines continued | ||||||||
$ | 12,151,440 | US Airways Pass Through Trust, Series 2012-1A, Class A, 5.900%, 4/01/2026 |
$ | 13,731,127 | ||||
6,295,953 | US Airways Pass Through Trust, Series 2012-1B, Class B, 8.000%, 4/01/2021 |
7,114,426 | ||||||
2,400,341 | US Airways Pass Through Trust, Series 2012-1C, Class C, 9.125%, 10/01/2015 |
2,442,347 | ||||||
6,961,722 | US Airways Pass Through Trust, Series 2013-1, Class B, 5.375%, 5/15/2023 |
7,135,765 | ||||||
48,950,000 | Virgin Australia Holdings Ltd., 8.500%, 11/15/2019, 144A |
50,296,125 | ||||||
5,315,572 | Virgin Australia Pass Through Trust, Series 2013-1B, 6.000%, 4/23/2022, 144A |
5,479,025 | ||||||
8,594,870 | Virgin Australia Pass Through Trust, Series 2013-1C, 7.125%, 10/23/2018, 144A |
8,716,745 | ||||||
|
|
|||||||
522,390,106 | ||||||||
|
|
|||||||
Automotive 1.1% | ||||||||
19,011,000 | Ford Motor Co., 6.375%, 2/01/2029 |
22,427,543 | ||||||
1,220,000 | Ford Motor Co., 6.625%, 2/15/2028 |
1,397,217 | ||||||
74,829,000 | Ford Motor Co., 6.625%, 10/01/2028 |
91,126,607 | ||||||
2,365,000 | Ford Motor Co., 7.125%, 11/15/2025 |
2,889,394 | ||||||
1,345,000 | Ford Motor Co., 7.500%, 8/01/2026 |
1,676,146 | ||||||
29,265,000 | General Motors Financial Co., Inc., 4.375%, 9/25/2021 |
30,374,143 | ||||||
6,000,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 5/15/2022 |
6,523,500 | ||||||
4,977,000 | Goodyear Tire & Rubber Co. (The), 7.000%, 3/15/2028 |
5,275,620 | ||||||
25,345,000 | Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc., 7.875%, 10/01/2022, 144A |
25,281,637 | ||||||
|
|
|||||||
186,971,807 | ||||||||
|
|
|||||||
Banking 7.6% | ||||||||
1,175,000 | AgriBank FCB, 9.125%, 7/15/2019, 144A |
1,460,755 | ||||||
2,000,000 | Ally Financial, Inc., 5.125%, 9/30/2024 |
2,005,000 | ||||||
28,582,000 | Ally Financial, Inc., 8.000%, 12/31/2018 |
31,904,657 | ||||||
29,332,000 | Ally Financial, Inc., 8.000%, 11/01/2031 |
35,125,070 | ||||||
20,565,000 | Associates Corp. of North America, 6.950%, 11/01/2018 |
23,659,703 | ||||||
63,900,000 | Banco Santander Brasil S.A., 8.000%, 3/18/2016, 144A, (BRL) |
19,360,522 | ||||||
3,450,000 | Bank of America Corp., EMTN, 4.625%, 9/14/2018, (EUR) |
4,260,435 | ||||||
7,045,000 | Bank of America Corp., MTN, 3.300%, 1/11/2023 |
6,938,177 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued | ||||||||
$ | 265,000 | Bank of America Corp., MTN, 4.250%, 10/22/2026 |
$ | 259,595 | ||||
1,500,000 | Bank of America Corp., Series K, (fixed rate to 1/30/2018, variable rate thereafter), 8.000%(e) |
1,582,500 | ||||||
10,000,000 | Bank of Nova Scotia, 2.462%, 3/14/2019, (CAD) |
8,274,700 | ||||||
39,890,000,000 | Barclays Bank PLC, EMTN, 3.680%, 8/20/2015, (KRW) |
35,857,908 | ||||||
57,792,000,000 | Barclays Financial LLC, EMTN, 3.500%, 11/29/2016, (KRW) |
53,094,344 | ||||||
1,600,000 | BNP Paribas S.A., (fixed rate to 4/13/2017, variable rate thereafter), 5.019%, (EUR)(e) |
1,862,334 | ||||||
36,445,000 | Citigroup, Inc., 5.130%, 11/12/2019, (NZD) |
25,640,477 | ||||||
4,000,000 | Citigroup, Inc., 5.365%, 3/06/2036, (CAD)(c)(d) |
3,370,376 | ||||||
22,091,000 | Citigroup, Inc., 6.250%, 6/29/2017, (NZD) |
15,686,773 | ||||||
3,350,000 | Citigroup, Inc., EMTN, 1.257%, 11/30/2017, (EUR)(b) |
3,725,036 | ||||||
3,000,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 1.700%, 3/19/2018 |
3,007,410 | ||||||
14,330,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.875%, 2/08/2022 |
14,907,599 | ||||||
3,450,000 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 3.950%, 11/09/2022 |
3,449,538 | ||||||
25,000,000 | Goldman Sachs Group, Inc. (The), 3.550%, 2/12/2021, (CAD) |
21,099,680 | ||||||
400,000 | Goldman Sachs Group, Inc. (The), 6.450%, 5/01/2036 |
451,364 | ||||||
34,060,000 | Goldman Sachs Group, Inc. (The), 6.750%, 10/01/2037 |
39,950,609 | ||||||
32,705,000 | HBOS PLC, 6.000%, 11/01/2033, 144A |
35,235,647 | ||||||
50,604,000 | HBOS PLC, GMTN, 6.750%, 5/21/2018, 144A |
56,107,337 | ||||||
9,090,000 | ICICI Bank Ltd., (fixed rate to 4/30/2017, variable rate thereafter), 6.375%, 4/30/2022, 144A |
9,343,702 | ||||||
82,585,000 | Intesa Sanpaolo SpA, 3.875%, 1/15/2019 |
84,966,091 | ||||||
40,305,000 | Intesa Sanpaolo SpA, 5.017%, 6/26/2024, 144A |
39,158,081 | ||||||
45,620,000 | JPMorgan Chase & Co., 4.250%, 11/02/2018, (NZD) |
31,172,684 | ||||||
227,000,000,000 | JPMorgan Chase Bank NA, 7.700%, 6/01/2016, 144A, (IDR) |
16,588,494 | ||||||
27,555,000 | Lloyds Bank PLC, MTN, 6.500%, 9/14/2020, 144A |
31,760,031 | ||||||
18,500,000 | Lloyds Banking Group PLC, (fixed rate to 10/01/2015, variable rate thereafter), 5.920%, 144A(e) |
18,407,500 | ||||||
6,700,000 | Merrill Lynch & Co., Inc., 6.110%, 1/29/2037 |
7,509,481 | ||||||
800,000 | Merrill Lynch & Co., Inc., Series C, MTN, 6.050%, 6/01/2034 |
913,568 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Banking continued | ||||||||
$ | 36,195,000 | Morgan Stanley, 4.350%, 9/08/2026 |
$ | 35,466,757 | ||||
35,325,000 | Morgan Stanley, 4.750%, 11/16/2018, (AUD) |
28,160,203 | ||||||
10,540,000 | Morgan Stanley, 4.875%, 11/01/2022 |
11,211,482 | ||||||
185,000,000 | Morgan Stanley, 5.000%, 9/30/2021, (AUD) |
148,392,583 | ||||||
74,310,000 | Morgan Stanley, 7.600%, 8/08/2017, (NZD) |
53,815,642 | ||||||
100,265,000 | Morgan Stanley, 8.000%, 5/09/2017, (AUD) |
83,880,340 | ||||||
950,000 | Morgan Stanley, EMTN, 5.750%, 2/14/2017, (GBP) |
1,593,772 | ||||||
79,700,000 | Morgan Stanley, GMTN, 7.625%, 3/03/2016, (AUD) |
63,377,725 | ||||||
46,735,000 | Morgan Stanley, MTN, 4.100%, 5/22/2023 |
46,822,348 | ||||||
10,000,000 | Morgan Stanley, MTN, 6.250%, 8/09/2026 |
11,987,860 | ||||||
53,095,000 | Morgan Stanley, Series MPLE, 3.125%, 8/05/2021, (CAD) |
43,642,475 | ||||||
1,905,000 | RBS Capital Trust C, (fixed rate to 1/12/2016, variable rate thereafter), 4.243%, (EUR)(e) |
2,114,869 | ||||||
4,050,000 | RBS Capital Trust II, (fixed rate to 1/03/2034, variable rate thereafter), 6.425%(e) |
4,511,700 | ||||||
930,000 | Royal Bank of Scotland Group PLC, 5.250%, (EUR)(e) |
1,031,626 | ||||||
15,100,000 | Royal Bank of Scotland Group PLC, 5.500%, (EUR)(e) |
16,792,143 | ||||||
24,985,000 | Royal Bank of Scotland Group PLC, 6.000%, 12/19/2023 |
26,457,416 | ||||||
17,700,000 | Royal Bank of Scotland Group PLC, 6.125%, 12/15/2022 |
19,059,041 | ||||||
9,990,000 | Royal Bank of Scotland Group PLC, (fixed rate to 9/30/2017, variable rate thereafter), 7.640%(e) |
10,674,315 | ||||||
850,000 | Royal Bank of Scotland PLC (The), EMTN, 4.350%, 1/23/2017, (EUR) |
984,357 | ||||||
7,750,000 | Royal Bank of Scotland PLC (The), EMTN, 6.934%, 4/09/2018, (EUR) |
9,677,767 | ||||||
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) |
2,451,375 | ||||||
700,000 | Santander Central Hispano Issuances Ltd., 7.250%, 11/01/2015 |
711,607 | ||||||
1,800,000 | Santander Issuances SAU, 5.911%, 6/20/2016, 144A |
1,868,161 | ||||||
18,054,000 | Societe Generale S.A., (fixed rate to 4/05/2017, variable rate thereafter), 5.922%, 144A(e) |
18,482,782 | ||||||
|
|
|||||||
1,331,265,524 | ||||||||
|
|
|||||||
Brokerage 0.9% | ||||||||
5,000,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 6.875%, 4/15/2022, 144A |
4,875,000 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Brokerage continued | ||||||||
$ | 22,540,000 | Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.500%, 4/15/2021, 144A |
$ | 22,508,444 | ||||
43,025,000 | Jefferies Group LLC, 5.125%, 1/20/2023 |
44,417,719 | ||||||
20,010,000 | Jefferies Group LLC, 6.250%, 1/15/2036 |
19,841,976 | ||||||
15,215,000 | Jefferies Group LLC, 6.450%, 6/08/2027 |
16,519,428 | ||||||
39,040,000 | Jefferies Group LLC, 6.875%, 4/15/2021 |
44,685,769 | ||||||
|
|
|||||||
152,848,336 | ||||||||
|
|
|||||||
Building Materials 0.6% | ||||||||
19,945,000 | Atrium Windows & Doors, Inc., 7.750%, 5/01/2019, 144A |
16,155,450 | ||||||
6,995,000 | Masco Corp., 6.500%, 8/15/2032 |
7,379,725 | ||||||
5,510,000 | Masco Corp., 7.125%, 3/15/2020 |
6,391,600 | ||||||
2,630,000 | Masco Corp., 7.750%, 8/01/2029 |
3,037,650 | ||||||
2,000,000 | NCI Building Systems, Inc., 8.250%, 1/15/2023, 144A |
2,130,000 | ||||||
32,100,000 | Odebrecht Finance Ltd., 8.250%, 4/25/2018, 144A, (BRL) |
7,485,285 | ||||||
35,980,000 | Owens Corning, 7.000%, 12/01/2036 |
41,106,718 | ||||||
14,155,000 | USG Corp., 9.750%, 1/15/2018 |
16,101,313 | ||||||
|
|
|||||||
99,787,741 | ||||||||
|
|
|||||||
Cable Satellite 1.1% | ||||||||
850,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.125%, 5/01/2023, 144A |
826,625 | ||||||
975,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.375%, 5/01/2025, 144A |
949,406 | ||||||
3,315,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.750%, 1/15/2024 |
3,331,575 | ||||||
4,360,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 5.875%, 5/01/2027, 144A |
4,256,450 | ||||||
17,679,000 | DISH DBS Corp., 5.875%, 11/15/2024 |
16,982,889 | ||||||
11,620,000 | Intelsat Jackson Holdings S.A., 5.500%, 8/01/2023 |
10,289,510 | ||||||
3,995,000 | Intelsat Luxembourg S.A., 6.750%, 6/01/2018 |
3,780,269 | ||||||
28,785,000 | Intelsat Luxembourg S.A., 7.750%, 6/01/2021 |
24,035,475 | ||||||
16,000,000 | Intelsat Luxembourg S.A., 8.125%, 6/01/2023 |
13,280,000 | ||||||
25,270,000 | Shaw Communications, Inc., 5.650%, 10/01/2019, (CAD) |
23,002,984 | ||||||
4,835,000 | Time Warner Cable, Inc., 4.500%, 9/15/2042 |
3,943,919 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Cable Satellite continued | ||||||||
$ | 135,000 | Time Warner Cable, Inc., 5.875%, 11/15/2040 |
$ | 130,698 | ||||
44,800,000 | UPC Holding BV, 6.375%, 9/15/2022, 144A, (EUR) |
53,566,292 | ||||||
11,275,000 | Videotron Ltd., 5.625%, 6/15/2025, 144A, (CAD) |
9,219,050 | ||||||
7,000,000 | Virgin Media Finance PLC, 6.000%, 10/15/2024, 144A |
7,105,000 | ||||||
20,300,000 | VTR Finance BV, 6.875%, 1/15/2024, 144A |
20,743,555 | ||||||
|
|
|||||||
195,443,697 | ||||||||
|
|
|||||||
Chemicals 2.2% | ||||||||
19,810,000 | Aruba Investments, Inc., 8.750%, 2/15/2023, 144A |
20,206,200 | ||||||
99,610,000 | Chemours Co. (The), 6.625%, 5/15/2023, 144A |
96,497,187 | ||||||
18,370,000 | Chemours Co. (The), 7.000%, 5/15/2025, 144A |
17,818,900 | ||||||
85,854,000 | Consolidated Energy Finance S.A., 6.750%, 10/15/2019, 144A |
87,141,810 | ||||||
20,000,000 | Eco Services Operations LLC/Eco Finance Corp., 8.500%, 11/01/2022, 144A |
20,100,000 | ||||||
20,070,000 | Hercules, Inc., 6.500%, 6/30/2029 |
18,263,700 | ||||||
26,164,000 | Hexion, Inc., 7.875%, 2/15/2023(c)(d) |
16,679,550 | ||||||
6,010,000 | Hexion, Inc., 8.875%, 2/01/2018 |
5,424,025 | ||||||
16,660,000 | Hexion, Inc., 9.000%, 11/15/2020 |
11,995,200 | ||||||
8,757,000 | Hexion, Inc., 9.200%, 3/15/2021(c)(d) |
6,326,933 | ||||||
90,205,000 | INVISTA Finance LLC, 4.250%, 10/15/2019, 144A |
88,851,925 | ||||||
885,000 | TPC Group, Inc., 8.750%, 12/15/2020, 144A |
818,625 | ||||||
|
|
|||||||
390,124,055 | ||||||||
|
|
|||||||
Construction Machinery 0.1% | ||||||||
1,425,000 | Joy Global, Inc., 6.625%, 11/15/2036 |
1,690,405 | ||||||
5,105,000 | United Rentals North America, Inc., 5.750%, 11/15/2024 |
5,028,425 | ||||||
11,655,000 | United Rentals North America, Inc., 7.625%, 4/15/2022 |
12,616,537 | ||||||
|
|
|||||||
19,335,367 | ||||||||
|
|
|||||||
Consumer Cyclical Services 0.0% | ||||||||
670,000 | ServiceMaster Co. LLC (The), 7.100%, 3/01/2018 |
703,500 | ||||||
5,500,000 | ServiceMaster Co. LLC (The), 7.450%, 8/15/2027 |
5,555,000 | ||||||
|
|
|||||||
6,258,500 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Consumer Products 0.2% | ||||||||
$ | 11,545,000 | Avon Products, Inc., 7.700%, 3/15/2043 |
$ | 9,438,037 | ||||
33,945,000 | Newell Rubbermaid, Inc., 4.000%, 12/01/2024 |
34,383,298 | ||||||
|
|
|||||||
43,821,335 | ||||||||
|
|
|||||||
Electric 2.2% | ||||||||
5,093,000 | AES Corp. (The), 4.875%, 5/15/2023 |
4,787,420 | ||||||
23,940,000 | AES Corp. (The), 5.500%, 3/15/2024 |
23,042,250 | ||||||
10,185,000 | AES Corp. (The), 5.500%, 4/15/2025 |
9,701,212 | ||||||
40,736,120 | Alta Wind Holdings LLC, 7.000%, 6/30/2035, 144A |
47,351,706 | ||||||
53,605,030 | Bruce Mansfield Unit Pass Through Trust, 6.850%, 6/01/2034 |
54,755,393 | ||||||
1,680,384 | CE Generation LLC, 7.416%, 12/15/2018 |
1,621,571 | ||||||
38,368,000 | DPL, Inc., 6.750%, 10/01/2019, 144A |
40,766,000 | ||||||
9,300,000 | Dynegy, Inc., 7.375%, 11/01/2022, 144A |
9,741,750 | ||||||
56,530,000 | Dynegy, Inc., 7.625%, 11/01/2024, 144A |
59,780,475 | ||||||
53,785,000 | EDP Finance BV, 4.125%, 1/15/2020, 144A |
54,307,037 | ||||||
42,200,000 | EDP Finance BV, 4.900%, 10/01/2019, 144A |
43,942,185 | ||||||
14,800,000 | EDP Finance BV, 6.000%, 2/02/2018, 144A |
15,850,830 | ||||||
3,570,000 | Endesa S.A., 7.875%, 2/01/2027 |
4,643,624 | ||||||
13,642,000 | Enel Finance International NV, 6.000%, 10/07/2039, 144A |
15,148,431 | ||||||
1,435,000 | Enel Finance International NV, 6.800%, 9/15/2037, 144A |
1,730,050 | ||||||
2,732,000 | Enel Finance International NV, EMTN, 5.750%, 9/14/2040, (GBP) |
4,805,198 | ||||||
555,000 | Enersis S.A., 7.400%, 12/01/2016 |
595,906 | ||||||
570,999 | Red Oak Power LLC, Series A, 8.540%, 11/30/2019 |
608,114 | ||||||
|
|
|||||||
393,179,152 | ||||||||
|
|
|||||||
Finance Companies 5.3% | ||||||||
19,005,000 | Aviation Capital Group Corp., 6.750%, 4/06/2021, 144A |
21,706,846 | ||||||
57,000,000 | General Electric Capital Corp., GMTN, 4.250%, 1/17/2018, (NZD) |
39,309,964 | ||||||
79,035,000 | General Electric Capital Corp., Series A, EMTN, 6.750%, 9/26/2016, (NZD) |
55,630,177 | ||||||
25,320,000 | General Electric Capital Corp., Series A, GMTN, 5.500%, 2/01/2017, (NZD) |
17,671,863 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Finance Companies continued | ||||||||
215,797,000 | General Electric Capital Corp., Series A, MTN, 6.500%, 9/28/2015, (NZD) |
$ | 147,167,819 | |||||
325,000 | International Lease Finance Corp., 3.875%, 4/15/2018 |
326,625 | ||||||
1,435,000 | International Lease Finance Corp., 4.625%, 4/15/2021 |
1,449,350 | ||||||
2,085,000 | International Lease Finance Corp., 5.875%, 4/01/2019 |
2,223,027 | ||||||
24,940,000 | International Lease Finance Corp., 5.875%, 8/15/2022 |
26,935,200 | ||||||
950,000 | International Lease Finance Corp., 6.250%, 5/15/2019 |
1,027,188 | ||||||
20,610,000 | International Lease Finance Corp., 7.125%, 9/01/2018, 144A |
22,980,150 | ||||||
10,245,000 | International Lease Finance Corp., 8.250%, 12/15/2020 |
12,165,938 | ||||||
11,995,000 | iStar Financial, Inc., 4.875%, 7/01/2018 |
11,800,081 | ||||||
14,060,000 | iStar Financial, Inc., 5.000%, 7/01/2019 |
13,866,675 | ||||||
23,175,000 | iStar Financial, Inc., 5.850%, 3/15/2017 |
23,783,344 | ||||||
19,240,000 | iStar Financial, Inc., 7.125%, 2/15/2018 |
20,032,688 | ||||||
19,915,000 | Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp., 7.375%, 10/01/2017 |
20,761,387 | ||||||
1,875,000 | Navient Corp., 5.875%, 10/25/2024 |
1,762,500 | ||||||
19,155,000 | Navient Corp., MTN, 6.125%, 3/25/2024 |
18,340,913 | ||||||
23,020,000 | Navient LLC, 4.875%, 6/17/2019 |
22,789,800 | ||||||
22,945,000 | Navient LLC, 5.500%, 1/25/2023 |
21,797,750 | ||||||
109,950 | () | Navient LLC, 6.000%, 12/15/2043 |
2,371,255 | |||||
7,515,000 | Navient LLC, MTN, 4.625%, 9/25/2017 |
7,637,119 | ||||||
7,780,000 | Navient LLC, MTN, 5.500%, 1/15/2019 |
7,932,644 | ||||||
17,600,000 | Navient LLC, MTN, 7.250%, 1/25/2022 |
18,568,000 | ||||||
2,160,000 | Navient LLC, MTN, 8.000%, 3/25/2020 |
2,408,400 | ||||||
14,465,000 | Navient LLC, Series A, MTN, 5.000%, 6/15/2018 |
14,410,756 | ||||||
50,910,000 | Navient LLC, Series A, MTN, 5.625%, 8/01/2033 |
41,237,100 | ||||||
49,850,000 | Navient LLC, Series A, MTN, 8.450%, 6/15/2018 |
55,398,305 | ||||||
55,730,000 | Springleaf Finance Corp., 5.250%, 12/15/2019 |
54,963,712 | ||||||
137,545,000 | Springleaf Finance Corp., 7.750%, 10/01/2021 |
149,236,325 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Finance Companies continued | ||||||||
$ | 55,015,000 | Springleaf Finance Corp., 8.250%, 10/01/2023 |
$ | 62,029,412 | ||||
10,120,000 | Springleaf Finance Corp., MTN, 5.750%, 9/15/2016 |
10,461,550 | ||||||
800,000 | Springleaf Finance Corp., Series J, MTN, 6.500%, 9/15/2017 |
839,000 | ||||||
|
|
|||||||
931,022,863 | ||||||||
|
|
|||||||
Food & Beverage 0.2% | ||||||||
25,280,000 | DS Services of America, Inc., 10.000%, 9/01/2021, 144A |
29,577,600 | ||||||
4,880,000 | Shearers Foods LLC/Chip Finance Corp., 9.000%, 11/01/2019, 144A |
5,246,000 | ||||||
|
|
|||||||
34,823,600 | ||||||||
|
|
|||||||
Government Owned - No Guarantee 0.2% | ||||||||
22,160,000 | Pertamina Persero PT, 6.450%, 5/30/2044, 144A |
21,827,600 | ||||||
26,120,000 | Petrobras Global Finance BV, 5.625%, 5/20/2043 |
20,188,148 | ||||||
|
|
|||||||
42,015,748 | ||||||||
|
|
|||||||
Government Sponsored 0.0% | ||||||||
1,000,000 | EDP Finance BV, EMTN, 2.250%, 2/11/2021, (CHF) |
1,101,770 | ||||||
|
|
|||||||
Healthcare 3.4% | ||||||||
2,160,000 | BioScrip, Inc., 8.875%, 2/15/2021 |
1,836,000 | ||||||
2,795,000 | HCA Holdings, Inc., 6.250%, 2/15/2021 |
3,011,612 | ||||||
186,520,000 | HCA, Inc., 5.250%, 4/15/2025 |
193,980,800 | ||||||
9,960,000 | HCA, Inc., 5.875%, 3/15/2022 |
10,831,500 | ||||||
108,560,000 | HCA, Inc., 5.875%, 5/01/2023 |
115,345,000 | ||||||
14,620,000 | HCA, Inc., 7.050%, 12/01/2027 |
15,277,900 | ||||||
20,447,000 | HCA, Inc., 7.500%, 12/15/2023 |
22,491,700 | ||||||
24,215,000 | HCA, Inc., 7.500%, 11/06/2033 |
26,273,275 | ||||||
46,148,000 | HCA, Inc., 7.690%, 6/15/2025 |
52,377,980 | ||||||
32,745,000 | HCA, Inc., 8.360%, 4/15/2024 |
38,639,100 | ||||||
15,815,000 | HCA, Inc., MTN, 7.580%, 9/15/2025 |
17,475,575 | ||||||
9,492,000 | HCA, Inc., MTN, 7.750%, 7/15/2036 |
10,108,980 | ||||||
955,000 | Tenet Healthcare Corp., 4.375%, 10/01/2021 |
933,513 | ||||||
1,495,000 | Tenet Healthcare Corp., 4.500%, 4/01/2021 |
1,480,050 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Healthcare continued | ||||||||
$ | 29,130,000 | Tenet Healthcare Corp., 5.000%, 3/01/2019, 144A |
$ | 29,130,000 | ||||
32,559,000 | Tenet Healthcare Corp., 6.875%, 11/15/2031 |
30,117,075 | ||||||
25,530,000 | THC Escrow Corp. II, 6.750%, 6/15/2023, 144A |
26,040,600 | ||||||
|
|
|||||||
595,350,660 | ||||||||
|
|
|||||||
Home Construction 0.8% | ||||||||
3,075,000 | Beazer Homes USA, Inc., 7.250%, 2/01/2023 |
2,982,750 | ||||||
13,360,000 | K. Hovnanian Enterprises, Inc., 5.000%, 11/01/2021 |
11,389,400 | ||||||
29,735,000 | K. Hovnanian Enterprises, Inc., 8.000%, 11/01/2019, 144A |
27,504,875 | ||||||
3,620,000 | KB Home, 4.750%, 5/15/2019 |
3,592,850 | ||||||
11,315,000 | KB Home, 7.250%, 6/15/2018 |
12,276,775 | ||||||
5,865,000 | Lennar Corp., 4.500%, 6/15/2019 |
5,982,300 | ||||||
47,260,000 | Pulte Group, Inc., 6.000%, 2/15/2035 |
45,960,350 | ||||||
13,190,000 | Pulte Group, Inc., 6.375%, 5/15/2033 |
13,354,875 | ||||||
10,305,000 | TRI Pointe Holdings, Inc., 4.375%, 6/15/2019 |
10,098,900 | ||||||
195,000 | TRI Pointe Holdings, Inc., 5.875%, 6/15/2024 |
191,100 | ||||||
|
|
|||||||
133,334,175 | ||||||||
|
|
|||||||
Independent Energy 2.0% | ||||||||
7,550,000 | Baytex Energy Corp., 5.125%, 6/01/2021, 144A |
7,078,125 | ||||||
6,930,000 | Baytex Energy Corp., 5.625%, 6/01/2024, 144A |
6,427,575 | ||||||
15,000,000 | Bellatrix Exploration Ltd., 8.500%, 5/15/2020, 144A |
14,062,500 | ||||||
1,705,000 | Bonanza Creek Energy, Inc., 6.750%, 4/15/2021 |
1,615,488 | ||||||
4,945,000 | California Resources Corp., 5.000%, 1/15/2020 |
4,351,600 | ||||||
81,805,000 | California Resources Corp., 5.500%, 9/15/2021 |
71,186,711 | ||||||
11,240,000 | California Resources Corp., 6.000%, 11/15/2024 |
9,666,400 | ||||||
1,310,000 | Chesapeake Energy Corp., 4.875%, 4/15/2022 |
1,136,425 | ||||||
55,000 | Chesapeake Energy Corp., 6.875%, 11/15/2020 |
53,625 | ||||||
7,190,000 | Continental Resources, Inc., 3.800%, 6/01/2024 |
6,563,025 | ||||||
540,000 | Continental Resources, Inc., 4.500%, 4/15/2023 |
520,673 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Independent Energy continued | ||||||||
$ | 19,290,000 | Eclipse Resources Corp., 8.875%, 7/15/2023, 144A |
$ | 18,683,329 | ||||
2,990,000 | Halcon Resources Corp., 9.250%, 2/15/2022 |
1,936,025 | ||||||
9,700,000 | Halcon Resources Corp., 9.750%, 7/15/2020 |
6,523,250 | ||||||
1,940,000 | Oasis Petroleum, Inc., 6.875%, 1/15/2023 |
1,915,750 | ||||||
1,545,000 | Oasis Petroleum, Inc., 7.250%, 2/01/2019 |
1,583,625 | ||||||
7,170,000 | Pan American Energy LLC/Argentine Branch, 7.875%, 5/07/2021, 144A |
7,340,287 | ||||||
3,000,000 | QEP Resources, Inc., 5.250%, 5/01/2023 |
2,872,500 | ||||||
12,635,000 | QEP Resources, Inc., 6.875%, 3/01/2021 |
13,108,812 | ||||||
14,844,000 | Rex Energy Corp., 6.250%, 8/01/2022 |
11,726,760 | ||||||
2,343,000 | Rex Energy Corp., 8.875%, 12/01/2020 |
2,108,700 | ||||||
6,250,000 | Rice Energy, Inc., 6.250%, 5/01/2022 |
6,203,125 | ||||||
18,510,000 | RKI Exploration & Production LLC/RKI Finance Corp., 8.500%, 8/01/2021, 144A |
18,324,900 | ||||||
1,975,000 | Rosetta Resources, Inc., 5.625%, 5/01/2021 |
2,098,438 | ||||||
9,210,000 | RSP Permian, Inc., 6.625%, 10/01/2022, 144A |
9,417,225 | ||||||
17,508,000 | Sanchez Energy Corp., 6.125%, 1/15/2023 |
15,669,660 | ||||||
9,520,000 | Sanchez Energy Corp., 7.750%, 6/15/2021 |
9,472,400 | ||||||
765,000 | SandRidge Energy, Inc., 7.500%, 2/15/2023 |
323,366 | ||||||
8,241,000 | SM Energy Co., 5.000%, 1/15/2024 |
7,808,347 | ||||||
22,844,000 | SM Energy Co., 6.125%, 11/15/2022, 144A |
23,476,779 | ||||||
801,000 | SM Energy Co., 6.500%, 11/15/2021 |
835,043 | ||||||
2,522,000 | SM Energy Co., 6.500%, 1/01/2023 |
2,585,050 | ||||||
6,283,000 | Ultra Petroleum Corp., 5.750%, 12/15/2018, 144A |
6,031,680 | ||||||
45,515,000 | Ultra Petroleum Corp., 6.125%, 10/01/2024, 144A |
39,939,412 | ||||||
10,845,000 | Whiting Petroleum Corp., 5.000%, 3/15/2019 |
10,628,100 | ||||||
|
|
|||||||
343,274,710 | ||||||||
|
|
|||||||
Industrial Other 0.2% | ||||||||
7,875,000 | AECOM Technology Corp., 5.750%, 10/15/2022, 144A |
7,973,438 | ||||||
8,215,000 | AECOM Technology Corp., 5.875%, 10/15/2024, 144A |
8,327,956 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Industrial Other continued | ||||||||
$ | 11,370,000 | Permian Holdings, Inc., 10.500%, 1/15/2018, 144A |
$ | 7,276,800 | ||||
6,880,000 | Transfield Services Ltd., 8.375%, 5/15/2020, 144A |
7,327,200 | ||||||
|
|
|||||||
30,905,394 | ||||||||
|
|
|||||||
Integrated Energy 0.0% | ||||||||
5,385,000 | Pacific Rubiales Energy Corp., 5.125%, 3/28/2023, 144A |
3,850,275 | ||||||
3,125,000 | Pacific Rubiales Energy Corp., 5.625%, 1/19/2025, 144A |
2,265,625 | ||||||
|
|
|||||||
6,115,900 | ||||||||
|
|
|||||||
Life Insurance 1.0% | ||||||||
11,135,000 | American International Group, Inc., 4.125%, 2/15/2024 |
11,554,500 | ||||||
4,190,000 | American International Group, Inc., 4.875%, 6/01/2022 |
4,596,082 | ||||||
1,764,000 | American International Group, Inc., 6.250%, 3/15/2087 |
1,942,681 | ||||||
1,933,000 | American International Group, Inc., (fixed rate to 5/15/2038, variable rate thereafter), 8.175%, 5/15/2068 |
2,559,292 | ||||||
4,300,000 | American International Group, Inc., Series G, MTN, 5.850%, 1/16/2018 |
4,740,694 | ||||||
23,200,000 | AXA S.A., (fixed rate to 12/14/2036, variable rate thereafter), 6.379%, 144A(e) |
24,258,616 | ||||||
1,000,000 | AXA S.A., EMTN, (fixed rate to 10/16/2019, variable rate thereafter), 6.772%, (GBP)(e) |
1,687,802 | ||||||
1,350,000 | AXA S.A., EMTN, (fixed rate to 4/16/2020, variable rate thereafter), 5.250%, 4/16/2040, (EUR) |
1,683,238 | ||||||
15,000,000 | Forethought Financial Group, Inc., 8.625%, 4/15/2021, 144A |
17,300,700 | ||||||
1,225,000 | Genworth Financial, Inc., (fixed rate to 11/15/2016, variable rate thereafter), 6.150%, 11/15/2066 |
747,250 | ||||||
3,695,000 | Genworth Holdings, Inc., 4.800%, 2/15/2024 |
3,223,888 | ||||||
27,200,000 | Genworth Holdings, Inc., 4.900%, 8/15/2023 |
24,080,432 | ||||||
10,990,000 | Genworth Holdings, Inc., 6.500%, 6/15/2034 |
9,891,000 | ||||||
1,475,000 | MetLife Capital Trust X, 9.250%, 4/08/2068, 144A |
2,072,375 | ||||||
8,145,000 | MetLife, Inc., 10.750%, 8/01/2069 |
13,194,900 | ||||||
20,000,000 | National Life Insurance Co., 10.500%, 9/15/2039, 144A |
30,242,360 | ||||||
8,920,000 | NLV Financial Corp., 7.500%, 8/15/2033, 144A |
10,093,310 | ||||||
3,910,000 | Penn Mutual Life Insurance Co. (The), 6.650%, 6/15/2034, 144A |
4,575,506 | ||||||
|
|
|||||||
168,444,626 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Local Authorities 0.9% | ||||||||
3,905,000 | Manitoba (Province of), GMTN, 6.375%, 9/01/2015, (NZD) |
$ | 2,660,540 | |||||
95,480,000 | New South Wales Treasury Corp., 4.000%, 4/08/2021, (AUD) |
78,375,633 | ||||||
82,840,000 | New South Wales Treasury Corp., 6.000%, 2/01/2018, (AUD) |
69,910,527 | ||||||
|
|
|||||||
150,946,700 | ||||||||
|
|
|||||||
Media Entertainment 0.9% | ||||||||
111,590,000 | Grupo Televisa SAB, EMTN, 7.250%, 5/14/2043, (MXN) |
6,051,596 | ||||||
64,250,000 | iHeartCommunications, Inc., 9.000%, 3/01/2021 |
58,146,250 | ||||||
33,370,000 | iHeartCommunications, Inc., 9.000%, 9/15/2022 |
30,116,425 | ||||||
7,180,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.250%, 2/15/2022 |
7,269,750 | ||||||
17,950,000 | Outfront Media Capital LLC/Outfront Media Capital Corp., 5.875%, 3/15/2025 |
18,578,250 | ||||||
27,185,000 | R.R. Donnelley & Sons Co., 6.000%, 4/01/2024 |
27,320,925 | ||||||
2,410,000 | R.R. Donnelley & Sons Co., 6.500%, 11/15/2023 |
2,488,325 | ||||||
3,730,000 | R.R. Donnelley & Sons Co., 7.000%, 2/15/2022 |
4,009,750 | ||||||
5,925,000 | R.R. Donnelley & Sons Co., 7.875%, 3/15/2021 |
6,687,844 | ||||||
|
|
|||||||
160,669,115 | ||||||||
|
|
|||||||
Metals & Mining 1.7% | ||||||||
7,924,756 | 1839688 Alberta ULC, PIK, 14.000%, 2/13/2020(f) |
4,675,606 | ||||||
2,000,000 | AK Steel Corp., 7.625%, 10/01/2021 |
1,630,000 | ||||||
3,949,000 | Alcoa, Inc., 5.870%, 2/23/2022 |
4,245,175 | ||||||
5,075,000 | Alcoa, Inc., 5.900%, 2/01/2027 |
5,366,813 | ||||||
1,405,000 | Alcoa, Inc., 5.950%, 2/01/2037 |
1,401,488 | ||||||
4,330,000 | Alcoa, Inc., 6.750%, 1/15/2028 |
4,817,125 | ||||||
25,271,000 | ArcelorMittal, 7.500%, 3/01/2041 |
24,765,580 | ||||||
30,695,000 | Barminco Finance Pty Ltd., 9.000%, 6/01/2018, 144A |
28,699,825 | ||||||
8,705,000 | Barrick North America Finance LLC, 5.750%, 5/01/2043 |
8,373,487 | ||||||
8,625,000 | Cliffs Natural Resources, Inc., 4.800%, 10/01/2020 |
4,096,875 | ||||||
3,980,000 | Cliffs Natural Resources, Inc., 4.875%, 4/01/2021 |
1,870,600 | ||||||
46,334,000 | Cliffs Natural Resources, Inc., 6.250%, 10/01/2040 |
20,386,960 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Metals & Mining continued | ||||||||
$ | 20,408,000 | Emeco Pty Ltd., 9.875%, 3/15/2019, 144A |
$ | 14,897,840 | ||||
26,350,000 | Essar Steel Algoma, Inc., 9.500%, 11/15/2019, 144A |
22,331,625 | ||||||
12,315,000 | First Quantum Minerals Ltd., 7.250%, 5/15/2022, 144A |
11,776,219 | ||||||
14,645,000 | Lundin Mining Corp., 7.500%, 11/01/2020, 144A |
15,779,988 | ||||||
51,000,000 | Lundin Mining Corp., 7.875%, 11/01/2022, 144A |
54,570,000 | ||||||
4,200,000 | Rain CII Carbon LLC/CII Carbon Corp., 8.250%, 1/15/2021, 144A |
4,084,500 | ||||||
16,135,000 | Russel Metals, Inc., 6.000%, 4/19/2022, 144A, (CAD) |
13,176,701 | ||||||
11,719,000 | United States Steel Corp., 6.650%, 6/01/2037 |
10,429,910 | ||||||
7,490,000 | United States Steel Corp., 6.875%, 4/01/2021 |
7,490,000 | ||||||
16,435,000 | United States Steel Corp., 7.000%, 2/01/2018 |
17,544,362 | ||||||
10,000,000 | Worthington Industries, Inc., 6.500%, 4/15/2020 |
11,322,010 | ||||||
|
|
|||||||
293,732,689 | ||||||||
|
|
|||||||
Midstream 0.4% | ||||||||
750,000 | El Paso Corp., GMTN, 7.800%, 8/01/2031 |
856,567 | ||||||
8,935,000 | IFM U.S. Colonial Pipeline 2 LLC, 6.450%, 5/01/2021, 144A |
9,676,042 | ||||||
23,179,000 | NGPL PipeCo LLC, 7.119%, 12/15/2017, 144A |
23,758,475 | ||||||
505,000 | NGPL PipeCo LLC, 7.768%, 12/15/2037, 144A |
535,300 | ||||||
24,335,000 | Targa Resources Partners LP/Targa Resources Partners Finance Corp., 5.000%, 1/15/2018, 144A |
24,882,538 | ||||||
3,185,492 | Transportadora de Gas del Sur S.A., 9.625%, 5/14/2020, 144A |
3,217,346 | ||||||
|
|
|||||||
62,926,268 | ||||||||
|
|
|||||||
Non-Agency Commercial Mortgage-Backed Securities 0.9% | ||||||||
4,199,406 | Column Canada Issuer Corp., Series 2006-WEM, Class A1, 4.591%, 1/15/2022, (CAD) |
3,401,889 | ||||||
2,785,000 | Column Canada Issuer Corp., Series 2006-WEM, Class A2, 4.934%, 1/15/2022, (CAD) |
2,306,466 | ||||||
27,879,541 | Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR1, 1.886%, 5/13/2031, 144A(b)(c)(d) |
27,681,262 | ||||||
12,902,000 | Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR2, 2.386%, 5/13/2031, 144A(b)(c)(d) |
12,802,835 | ||||||
8,622,000 | Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR3, 2.836%, 5/13/2031, 144A(b)(c)(d) |
8,556,447 | ||||||
16,080,000 | Commercial Mortgage Pass Through Certificates, Series 2014-FL4, Class AR4, 3.936%, 5/13/2031, 144A(b)(c)(d) |
15,960,911 | ||||||
35,060,000 | GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM, 5.795%, 8/10/2045(b) |
35,708,715 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Non-Agency Commercial Mortgage-Backed Securities continued | ||||||||
16,191,723 | Institutional Mortgage Securities Canada, Inc., Series 2014-5A, Class A1, 2.003%, 7/12/2047, 144A, (CAD) |
$ | 13,085,219 | |||||
30,100,000 | Motel 6 Trust, Series 2015-M6MZ, Class M, 8.230%, 2/05/2020, 144A(c)(d) |
30,118,060 | ||||||
|
|
|||||||
149,621,804 | ||||||||
|
|
|||||||
Oil Field Services 0.6% | ||||||||
19,335,000 | FTS International, Inc., 6.250%, 5/01/2022 |
14,211,225 | ||||||
7,120,000 | Global Marine, Inc., 7.000%, 6/01/2028 |
5,304,400 | ||||||
5,636,000 | Hercules Offshore, Inc., 6.750%, 4/01/2022, 144A(c)(d)(g) |
1,944,420 | ||||||
952,000 | Hercules Offshore, Inc., 7.500%, 10/01/2021, 144A(c)(d)(g) |
328,440 | ||||||
6,101,000 | Hercules Offshore, Inc., 8.750%, 7/15/2021, 144A(c)(d)(g) |
2,104,845 | ||||||
1,053,000 | Hercules Offshore, Inc., 10.250%, 4/01/2019, 144A(c)(d)(g) |
367,234 | ||||||
17,482,000 | Paragon Offshore PLC, 6.750%, 7/15/2022, 144A |
5,769,060 | ||||||
40,403,000 | Paragon Offshore PLC, 7.250%, 8/15/2024, 144A |
13,130,975 | ||||||
18,385,000 | Pioneer Energy Services Corp., 6.125%, 3/15/2022 |
14,708,000 | ||||||
12,020,000 | Precision Drilling Corp., 5.250%, 11/15/2024 |
10,457,400 | ||||||
594,000 | Precision Drilling Corp., 6.500%, 12/15/2021 |
576,180 | ||||||
2,590,000 | Precision Drilling Corp., 6.625%, 11/15/2020 |
2,538,200 | ||||||
500,000 | Sidewinder Drilling, Inc., 9.750%, 11/15/2019, 144A |
315,000 | ||||||
39,300,000 | Transocean, Inc., 4.300%, 10/15/2022 |
29,573,250 | ||||||
1,500,000 | Transocean, Inc., 6.500%, 11/15/2020 |
1,389,375 | ||||||
1,320,000 | Transocean, Inc., 6.800%, 3/15/2038 |
986,700 | ||||||
4,355,000 | Transocean, Inc., 6.875%, 12/15/2021 |
3,919,500 | ||||||
|
|
|||||||
107,624,204 | ||||||||
|
|
|||||||
Packaging 0.1% | ||||||||
1,180,000 | Beverage Packaging Holdings Luxembourg II S.A./Beverage Packaging Holdings II Issuer, Inc., 6.000%, 6/15/2017, 144A |
1,180,000 | ||||||
10,055,000 | Sealed Air Corp., 5.500%, 9/15/2025, 144A |
10,130,413 | ||||||
1,705,000 | Signode Industrial Group Lux S.A./Signode Industrial Group U.S., Inc., 6.375%, 5/01/2022, 144A |
1,653,850 | ||||||
|
|
|||||||
12,964,263 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Paper 0.7% | ||||||||
$ | 14,715,000 | Georgia-Pacific LLC, 7.250%, 6/01/2028 |
$ | 18,807,094 | ||||
47,875,000 | Georgia-Pacific LLC, 7.750%, 11/15/2029 |
64,834,767 | ||||||
775,000 | Georgia-Pacific LLC, 8.875%, 5/15/2031 |
1,118,003 | ||||||
4,865,000 | Westvaco Corp., 7.950%, 2/15/2031 |
6,256,297 | ||||||
23,365,000 | Westvaco Corp., 8.200%, 1/15/2030 |
31,511,885 | ||||||
2,840,000 | Weyerhaeuser Co., 6.950%, 10/01/2027 |
3,364,735 | ||||||
|
|
|||||||
125,892,781 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.4% | ||||||||
14,855,000 | Hanover Insurance Group, Inc. (The), 6.375%, 6/15/2021 |
17,154,584 | ||||||
7,375,000 | Loews Corp., 2.625%, 5/15/2023 |
7,051,761 | ||||||
12,510,000 | MBIA Insurance Corp., 11.535%, 1/15/2033, 144A(b)(g) |
5,942,250 | ||||||
6,555,000 | Old Republic International Corp., 4.875%, 10/01/2024 |
6,781,515 | ||||||
11,200,000 | Sirius International Group, 6.375%, 3/20/2017, 144A |
11,774,504 | ||||||
3,000,000 | Sirius International Group, (fixed rate to 6/30/2017, variable rate thereafter), 7.506%, 144A(e) |
3,135,000 | ||||||
17,870,000 | XL Group PLC, (fixed rate to 4/15/2017, variable rate thereafter), 6.500%(e) |
15,290,108 | ||||||
1,425,000 | XLIT Ltd., 6.375%, 11/15/2024 |
1,679,455 | ||||||
|
|
|||||||
68,809,177 | ||||||||
|
|
|||||||
Railroads 0.3% | ||||||||
90,000,000 | Hellenic Railways Organization S.A., EMTN, 0.247%, 5/24/2016, (EUR)(b)(c)(d) |
53,303,745 | ||||||
1,153,000 | Missouri Pacific Railroad Co., 5.000%, 1/01/2045(c)(d) |
1,075,345 | ||||||
|
|
|||||||
54,379,090 | ||||||||
|
|
|||||||
Restaurants 0.0% | ||||||||
1,330,000 | Wagamama Finance PLC, 7.875%, 2/01/2020, 144A, (GBP) |
2,165,516 | ||||||
|
|
|||||||
Retailers 0.7% | ||||||||
3,325,000 | Dillards, Inc., 7.000%, 12/01/2028 |
3,674,125 | ||||||
4,187,000 | Dillards, Inc., 7.130%, 8/01/2018 |
4,720,842 | ||||||
1,500,000 | Dillards, Inc., 7.750%, 7/15/2026 |
1,736,250 | ||||||
425,000 | Dillards, Inc., 7.875%, 1/01/2023 |
504,688 | ||||||
10,270,000 | Foot Locker, Inc., 8.500%, 1/15/2022(c) |
11,239,116 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Retailers continued | ||||||||
$ | 5,930,000 | GameStop Corp., 5.500%, 10/01/2019, 144A |
$ | 6,093,075 | ||||
7,490,000 | J.C. Penney Corp., Inc., 5.750%, 2/15/2018 |
7,330,837 | ||||||
27,224,000 | J.C. Penney Corp., Inc., 6.375%, 10/15/2036 |
20,145,760 | ||||||
2,510,000 | J.C. Penney Corp., Inc., 7.625%, 3/01/2097 |
1,895,050 | ||||||
25,795,000 | J.C. Penney Corp., Inc., 8.125%, 10/01/2019 |
25,537,050 | ||||||
12,275,000 | Macys Retail Holdings, Inc., 6.790%, 7/15/2027 |
14,411,267 | ||||||
6,365,000 | Marks & Spencer PLC, 7.125%, 12/01/2037, 144A |
7,482,930 | ||||||
3,910,000 | Nine West Holdings, Inc., 6.125%, 11/15/2034 |
1,779,050 | ||||||
24,860,000 | Toys R Us, Inc., 7.375%, 10/15/2018 |
18,334,250 | ||||||
|
|
|||||||
124,884,290 | ||||||||
|
|
|||||||
Sovereigns 1.8% | ||||||||
317,570,000 | Portugal Government International Bond, 5.125%, 10/15/2024, 144A |
323,946,806 | ||||||
|
|
|||||||
Supermarkets 1.4% | ||||||||
47,456,000 | Albertsons Holdings LLC/Saturn Acquisition Merger Sub, Inc., 7.750%, 10/15/2022, 144A |
50,422,000 | ||||||
79,276,000 | New Albertsons, Inc., 7.450%, 8/01/2029 |
76,104,960 | ||||||
25,595,000 | New Albertsons, Inc., 7.750%, 6/15/2026 |
24,955,125 | ||||||
24,085,000 | New Albertsons, Inc., 8.000%, 5/01/2031 |
23,844,150 | ||||||
5,815,000 | New Albertsons, Inc., 8.700%, 5/01/2030 |
5,902,225 | ||||||
16,342,000 | New Albertsons, Inc., Series C, MTN, 6.625%, 6/01/2028 |
13,890,700 | ||||||
34,580,000 | SUPERVALU, Inc., 6.750%, 6/01/2021 |
34,925,800 | ||||||
23,400,000 | SUPERVALU, Inc., 7.750%, 11/15/2022 |
24,555,375 | ||||||
|
|
|||||||
254,600,335 | ||||||||
|
|
|||||||
Supranational 0.4% | ||||||||
16,375,000 | European Bank for Reconstruction & Development, 6.250%, 2/05/2016, (BRL) |
5,058,232 | ||||||
250,500,000,000 | European Bank for Reconstruction & Development, 7.200%, 6/08/2016, (IDR) |
18,367,056 | ||||||
24,450,000 | Inter-American Development Bank, EMTN, 6.000%, 12/15/2017, (NZD) |
17,626,577 | ||||||
72,900,000 | International Finance Corp., GMTN, 5.000%, 12/21/2015, (BRL) |
22,528,166 | ||||||
|
|
|||||||
63,580,031 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Technology 1.7% | ||||||||
$ | 6,475,000 | Advanced Micro Devices, Inc., 7.000%, 7/01/2024 |
$ | 5,471,375 | ||||
2,255,000 | Advanced Micro Devices, Inc., 7.750%, 8/01/2020 |
1,961,850 | ||||||
94,454,000 | Alcatel-Lucent USA, Inc., 6.450%, 3/15/2029 |
97,523,755 | ||||||
5,845,000 | Alcatel-Lucent USA, Inc., 6.500%, 1/15/2028 |
6,020,350 | ||||||
34,955,000 | Amkor Technology, Inc., 6.375%, 10/01/2022 |
35,391,937 | ||||||
9,100,000 | First Data Corp., 10.625%, 6/15/2021 |
10,078,250 | ||||||
5,210,000 | First Data Corp., 11.250%, 1/15/2021 |
5,783,100 | ||||||
50,531,000 | First Data Corp., 11.750%, 8/15/2021 |
56,847,375 | ||||||
56,340,000 | KLA-Tencor Corp., 4.650%, 11/01/2024 |
56,309,238 | ||||||
15,170,000 | KLA-Tencor Corp., 5.650%, 11/01/2034 |
15,233,426 | ||||||
2,562,000 | Motorola Solutions, Inc., 6.625%, 11/15/2037 |
2,816,696 | ||||||
195,000 | Samsung Electronics Co. Ltd., 7.700%, 10/01/2027, 144A |
244,136 | ||||||
1,400,000 | SunGard Data Systems, Inc., 6.625%, 11/01/2019 |
1,445,500 | ||||||
|
|
|||||||
295,126,988 | ||||||||
|
|
|||||||
Transportation Services 0.2% | ||||||||
10,503,000 | APL Ltd., 8.000%, 1/15/2024(c)(d) |
8,822,520 | ||||||
4,938,659 | Atlas Air Pass Through Trust, Series 1998-1, Class B, 7.680%, 1/02/2016(c) |
4,938,659 | ||||||
6,862,758 | Atlas Air Pass Through Trust, Series 1998-1, Class C, 8.010%, 7/02/2011(c)(g)(h) |
8,990,213 | ||||||
2,580,717 | Atlas Air Pass Through Trust, Series 1999-1, Class A-1, 7.200%, 7/02/2020(c) |
2,580,717 | ||||||
2,270,768 | Atlas Air Pass Through Trust, Series 1999-1, Class B, 7.630%, 7/02/2016(c) |
2,270,768 | ||||||
4,744,556 | Atlas Air Pass Through Trust, Series 1999-1, Class C, 8.770%, 7/02/2012(c)(g)(h) |
6,215,368 | ||||||
1,864,358 | Atlas Air Pass Through Trust, Series 2000-1, Class B, 9.057%, 7/02/2017(c) |
1,864,358 | ||||||
3,970,000 | Erac USA Finance Co., 7.000%, 10/15/2037, 144A |
4,852,730 | ||||||
|
|
|||||||
40,535,333 | ||||||||
|
|
|||||||
Treasuries 15.7% | ||||||||
201,485,000 | Canadian Government, 0.250%, 5/01/2017, (CAD) |
160,657,267 | ||||||
352,975,000 | Canadian Government, 1.000%, 8/01/2016, (CAD) |
283,942,812 | ||||||
317,256,000 | Canadian Government, 1.250%, 2/01/2016, (CAD) |
255,001,178 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Treasuries continued | ||||||||
29,490,000 | Canadian Government, 1.250%, 9/01/2018, (CAD) |
$ | 24,188,411 | |||||
80,645,000 | Canadian Government, 1.750%, 9/01/2019, (CAD) |
67,440,269 | ||||||
89,045,000 | Canadian Government, 3.000%, 12/01/2015, (CAD) |
72,003,826 | ||||||
6,710,000 | Hellenic Republic Government Bond, 3.375%, 7/17/2017, 144A, (EUR) |
4,263,628 | ||||||
1,010,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2024, (EUR)(i) |
477,671 | ||||||
1,100,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2035, (EUR)(i) |
459,427 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2036, (EUR)(i) |
1,690,870 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2037, (EUR)(i) |
1,712,810 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2038, (EUR)(i) |
1,708,797 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2039, (EUR)(i) |
1,672,899 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2040, (EUR)(i) |
1,704,650 | ||||||
5,970,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2041, (EUR)(i) |
2,537,374 | ||||||
4,000,000 | Hellenic Republic Government Bond, Series PSI, (Step to 3.650% on 2/24/2020), 3.000%, 2/24/2042, (EUR)(i) |
1,711,249 | ||||||
9,710,000 | () | Mexican Fixed Rate Bonds, Series M, 5.000%, 6/15/2017, (MXN) |
62,820,348 | |||||
9,930,439 | () | Mexican Fixed Rate Bonds, Series M, 6.500%, 6/10/2021, (MXN) |
65,789,766 | |||||
4,250,000 | () | Mexican Fixed Rate Bonds, Series M, 7.750%, 5/29/2031, (MXN) |
30,156,518 | |||||
7,740,000 | () | Mexican Fixed Rate Bonds, Series M-20, 7.500%, 6/03/2027, (MXN) |
54,097,959 | |||||
27,224,481 | () | Mexican Fixed Rate Bonds, Series M-20, 8.000%, 12/07/2023, (MXN) |
195,732,023 | |||||
3,035,000 | () | Mexican Fixed Rate Bonds, Series M-20, 8.500%, 5/31/2029, (MXN) |
23,005,657 | |||||
21,700,000 | () | Mexican Fixed Rate Bonds, Series M-20, 10.000%, 12/05/2024, (MXN) |
176,782,344 | |||||
252,700,000 | New Zealand Government Bond, 5.000%, 3/15/2019, (NZD) |
183,520,051 | ||||||
175,365,000 | New Zealand Government Bond, 6.000%, 5/15/2021, (NZD) |
137,084,091 | ||||||
458,725,000 | Norway Government Bond, 3.750%, 5/25/2021, 144A, (NOK) |
66,257,385 | ||||||
836,485,000 | Norway Government Bond, 4.250%, 5/19/2017, 144A, (NOK) |
113,553,790 | ||||||
658,049,000 | Norway Government Bond, 4.500%, 5/22/2019, 144A, (NOK) |
95,075,909 | ||||||
162,850,000 | Republic of Brazil, 8.500%, 1/05/2024, (BRL) |
49,759,577 | ||||||
55,925,000 | Republic of Brazil, 10.250%, 1/10/2028, (BRL) |
18,922,872 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Treasuries continued | ||||||||
49,120,000 | Republic of Brazil, 12.500%, 1/05/2016, (BRL) |
$ | 15,682,031 | |||||
3,842,906,000 | Republic of Iceland, 6.000%, 10/13/2016, (ISK) |
20,257,198 | ||||||
1,605,660,000 | Republic of Iceland, 7.250%, 10/26/2022, (ISK) |
8,620,653 | ||||||
4,496,156,000 | Republic of Iceland, 8.750%, 2/26/2019, (ISK) |
25,170,147 | ||||||
93,535,000 | U.S. Treasury Bond, 2.500%, 2/15/2045 |
82,318,283 | ||||||
187,065,000 | U.S. Treasury Bond, 3.000%, 5/15/2045 |
183,323,700 | ||||||
95,000,000 | U.S. Treasury Note, 0.375%, 4/30/2016 |
95,066,785 | ||||||
35,075,000 | U.S. Treasury Note, 0.500%, 6/30/2016 |
35,132,558 | ||||||
150,000,000 | U.S. Treasury Note, 0.500%, 3/31/2017 |
149,847,600 | ||||||
|
|
|||||||
2,769,150,383 | ||||||||
|
|
|||||||
Wireless 0.6% | ||||||||
293,000,000 | America Movil SAB de CV, 6.450%, 12/05/2022, (MXN) |
17,858,693 | ||||||
134,600,000 | America Movil SAB de CV, 8.460%, 12/18/2036, (MXN) |
8,284,372 | ||||||
31,041,000 | Sprint Capital Corp., 6.875%, 11/15/2028 |
26,695,260 | ||||||
6,260,000 | Sprint Capital Corp., 8.750%, 3/15/2032 |
6,087,850 | ||||||
21,052,000 | Sprint Communications, Inc., 6.000%, 11/15/2022 |
19,236,265 | ||||||
8,200,000 | Sprint Corp., 7.125%, 6/15/2024 |
7,606,320 | ||||||
23,641,000 | Sprint Corp., 7.250%, 9/15/2021 |
23,049,975 | ||||||
|
|
|||||||
108,818,735 | ||||||||
|
|
|||||||
Wirelines 3.5% | ||||||||
4,370,000 | Bell Canada, MTN, 6.550%, 5/01/2029, 144A, (CAD) |
4,248,277 | ||||||
7,545,000 | Bell Canada, Series M-17, 6.100%, 3/16/2035, (CAD) |
7,061,915 | ||||||
72,320,000 | CenturyLink, Inc., 6.450%, 6/15/2021 |
72,862,400 | ||||||
765,000 | CenturyLink, Inc., 7.650%, 3/15/2042 |
692,325 | ||||||
7,410,000 | CenturyLink, Inc., Series G, 6.875%, 1/15/2028 |
7,113,600 | ||||||
2,965,000 | CenturyLink, Inc., Series P, 7.600%, 9/15/2039 |
2,687,031 | ||||||
350,000 | Cincinnati Bell Telephone Co. LLC, 6.300%, 12/01/2028 |
336,000 | ||||||
10,703,000 | Consolidated Communications, Inc., 6.500%, 10/01/2022, 144A |
10,315,016 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wirelines continued | ||||||||
17,900,000 | Eircom Finance Ltd., 9.250%, 5/15/2020, 144A, (EUR) |
$ | 21,652,051 | |||||
5,330,000 | Embarq Corp., 7.995%, 6/01/2036 |
5,909,371 | ||||||
37,225,000 | FairPoint Communications, Inc., 8.750%, 8/15/2019, 144A |
38,714,000 | ||||||
16,755,000 | Frontier Communications Corp., 6.250%, 9/15/2021 |
15,247,050 | ||||||
18,725,000 | Frontier Communications Corp., 6.875%, 1/15/2025 |
15,658,781 | ||||||
38,336,000 | Frontier Communications Corp., 7.875%, 1/15/2027 |
35,460,800 | ||||||
1,120,000 | Koninklijke (Royal) KPN NV, EMTN, 5.750%, 3/18/2016, (GBP) |
1,815,001 | ||||||
25,745,000 | Level 3 Communications, Inc., 5.750%, 12/01/2022 |
25,551,912 | ||||||
11,690,000 | Level 3 Financing, Inc., 7.000%, 6/01/2020 |
12,406,012 | ||||||
4,667,000 | Oi S.A., 5.750%, 2/10/2022, 144A |
4,042,789 | ||||||
16,550,000 | Portugal Telecom International Finance BV, EMTN, 4.500%, 6/16/2025, (EUR) |
17,159,207 | ||||||
29,750,000 | Portugal Telecom International Finance BV, EMTN, 5.000%, 11/04/2019, (EUR) |
33,742,218 | ||||||
42,460,000 | Qwest Capital Funding, Inc., 6.875%, 7/15/2028 |
41,716,950 | ||||||
12,463,000 | Qwest Capital Funding, Inc., 7.625%, 8/03/2021 |
13,397,725 | ||||||
32,395,000 | Qwest Capital Funding, Inc., 7.750%, 2/15/2031 |
33,366,850 | ||||||
31,060,000 | Qwest Corp., 6.875%, 9/15/2033 |
30,711,817 | ||||||
3,075,000 | Qwest Corp., 7.200%, 11/10/2026 |
3,100,655 | ||||||
3,999,000 | Qwest Corp., 7.250%, 9/15/2025 |
4,523,909 | ||||||
39,171,000 | Telecom Italia Capital S.A., 6.000%, 9/30/2034 |
38,117,692 | ||||||
22,645,000 | Telecom Italia Capital S.A., 6.375%, 11/15/2033 |
23,211,125 | ||||||
7,200,000 | Telecom Italia SpA, EMTN, 5.250%, 3/17/2055, (EUR) |
8,122,887 | ||||||
5,250,000 | Telefonica Emisiones SAU, 4.570%, 4/27/2023 |
5,512,889 | ||||||
4,350,000 | Telefonica Emisiones SAU, 7.045%, 6/20/2036 |
5,342,418 | ||||||
31,690,000 | Telus Corp., 4.950%, 3/15/2017, (CAD) |
26,815,474 | ||||||
18,600,000 | Telus Corp., Series CG, 5.050%, 12/04/2019, (CAD) |
16,772,018 | ||||||
29,552,000 | Verizon Communications, Inc., 2.450%, 11/01/2022 |
27,742,945 | ||||||
3,346,000 | Verizon New England, Inc., 7.875%, 11/15/2029 |
4,270,336 |
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Non-Convertible Bonds continued |
|||||||
Wirelines continued | ||||||||
$ | 2,080,000 | Verizon Pennsylvania, Inc., 6.000%, 12/01/2028 |
$ | 2,220,144 | ||||
3,760,000 | Windstream Corp., 7.500%, 4/01/2023 |
3,280,600 | ||||||
1,225,000 | Windstream Services LLC, 7.500%, 6/01/2022 |
1,076,469 | ||||||
|
|
|||||||
621,978,659 | ||||||||
|
|
|||||||
Total Non-Convertible Bonds (Identified Cost $11,956,650,330) |
11,631,382,461 | |||||||
|
|
|||||||
|
Convertible Bonds 5.6% |
|||||||
Building Materials 0.8% | ||||||||
19,486,000 | KB Home, 1.375%, 2/01/2019 |
18,962,314 | ||||||
52,005,000 | Lennar Corp., 3.250%, 11/15/2021, 144A |
113,533,415 | ||||||
9,592,000 | Ryland Group, Inc. (The), 0.250%, 6/01/2019 |
9,256,280 | ||||||
|
|
|||||||
141,752,009 | ||||||||
|
|
|||||||
Chemicals 0.0% | ||||||||
4,305,000 | RPM International, Inc., 2.250%, 12/15/2020 |
5,009,944 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.1% | ||||||||
20,848,000 | Jarden Corp., 1.125%, 3/15/2034 |
24,274,890 | ||||||
|
|
|||||||
Consumer Products 0.1% | ||||||||
13,670,000 | Euronet Worldwide, Inc., 1.500%, 10/01/2044, 144A |
15,079,719 | ||||||
|
|
|||||||
Diversified Manufacturing 0.1% | ||||||||
16,727,000 | Trinity Industries, Inc., 3.875%, 6/01/2036 |
21,170,109 | ||||||
|
|
|||||||
Healthcare 0.1% | ||||||||
15,025,000 | Hologic, Inc., (accretes to principal after 3/01/2018), 2.000%, 3/01/2042(i) |
19,814,219 | ||||||
|
|
|||||||
Media Entertainment 0.2% | ||||||||
27,795,000 | Rovi Corp., 0.500%, 3/01/2020, 144A |
25,397,681 | ||||||
|
|
|||||||
Midstream 0.7% | ||||||||
63,121,000 | Chesapeake Energy Corp., 2.250%, 12/15/2038 |
54,757,467 | ||||||
49,165,000 | Chesapeake Energy Corp., 2.500%, 5/15/2037 |
46,583,838 | ||||||
12,006,000 | Chesapeake Energy Corp., 2.750%, 11/15/2035 |
11,885,940 | ||||||
|
|
|||||||
113,227,245 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Convertible Bonds continued |
|||||||
Pharmaceuticals 0.1% | ||||||||
$ | 1,195,000 | BioMarin Pharmaceutical, Inc., 0.750%, 10/15/2018 |
$ | 1,841,794 | ||||
1,655,000 | BioMarin Pharmaceutical, Inc., 1.500%, 10/15/2020 |
2,635,587 | ||||||
1,810,000 | Illumina, Inc., 0.250%, 3/15/2016 |
4,719,575 | ||||||
1,910,000 | Omnicare, Inc., 3.250%, 12/15/2035 |
2,374,369 | ||||||
2,047,000 | Omnicare, Inc., 3.750%, 12/15/2025 |
7,247,659 | ||||||
|
|
|||||||
18,818,984 | ||||||||
|
|
|||||||
Property & Casualty Insurance 0.5% | ||||||||
5,025,000 | Jefferies Group LLC, 3.875%, 11/01/2029 |
5,128,641 | ||||||
72,915,000 | Old Republic International Corp., 3.750%, 3/15/2018 |
86,085,272 | ||||||
|
|
|||||||
91,213,913 | ||||||||
|
|
|||||||
Technology 2.9% | ||||||||
7,680,000 | () | Alcatel-Lucent, Series ALU, 0.125%, 1/30/2020, (EUR) |
38,408,407 | |||||
7,520,000 | Brocade Communications Systems, Inc., 1.375%, 1/01/2020, 144A |
7,820,800 | ||||||
68,075,000 | Ciena Corp., 0.875%, 6/15/2017 |
68,330,281 | ||||||
7,185,000 | Ciena Corp., 3.750%, 10/15/2018, 144A |
9,780,581 | ||||||
2,429,000 | Intel Corp., 2.950%, 12/15/2035 |
2,922,391 | ||||||
205,005,000 | Intel Corp., 3.250%, 8/01/2039 |
311,863,856 | ||||||
11,570,000 | JDS Uniphase Corp., 0.625%, 8/15/2033 |
11,360,294 | ||||||
1,055,000 | Lam Research Corp., Series B, 1.250%, 5/15/2018 |
1,496,122 | ||||||
5,515,515 | Liberty Media LLC, 3.500%, 1/15/2031 |
4,870,818 | ||||||
39,460,000 | Nuance Communications, Inc., 1.500%, 11/01/2035 |
40,767,113 | ||||||
10,415,000 | Priceline Group, Inc. (The), 0.900%, 9/15/2021, 144A |
9,933,306 | ||||||
|
|
|||||||
507,553,969 | ||||||||
|
|
|||||||
Total Convertible Bonds (Identified Cost $764,113,557) |
983,312,682 | |||||||
|
|
|||||||
|
Municipals 1.1% |
|||||||
District of Columbia 0.0% | ||||||||
3,850,000 | Metropolitan Washington Airports Authority, Series D, 8.000%, 10/01/2047 |
4,870,404 | ||||||
|
|
|||||||
Illinois 0.3% | ||||||||
47,285,000 | State of Illinois, 5.100%, 6/01/2033 |
44,067,256 | ||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Bonds and Notes continued |
|||||||
|
Municipals continued |
|||||||
Michigan 0.1% | ||||||||
$ | 12,220,000 | Michigan Tobacco Settlement Finance Authority Taxable Turbo, Series A, 7.309%, 6/01/2034 |
$ | 10,347,529 | ||||
|
|
|||||||
Puerto Rico 0.2% | ||||||||
63,900,000 | Commonwealth of Puerto Rico, GO, Refunding, Series A, 8.000%, 7/01/2035 |
43,132,500 | ||||||
|
|
|||||||
Virginia 0.5% | ||||||||
123,115,000 | Virginia Tobacco Settlement Financing Corp., Series A-1, 6.706%, 6/01/2046 |
90,068,472 | ||||||
|
|
|||||||
Total Municipals (Identified Cost $229,139,030) |
192,486,161 | |||||||
|
|
|||||||
Total Bonds and Notes (Identified Cost $12,949,902,917) |
12,807,181,304 | |||||||
|
|
|||||||
|
Loan Participations 0.1% |
|||||||
ABS Other 0.1% | ||||||||
14,489,059 | Rise Ltd., Series 2014-1, Class B, 6.500%, 2/15/2039(b)(c)(d)(j) (Identified Cost $14,597,727) |
14,597,727 | ||||||
|
|
|||||||
|
Senior Loans 3.0% |
|||||||
Automotive 0.2% | ||||||||
22,249,577 | IBC Capital Ltd., 1st Lien Term Loan, 4.750%, 9/09/2021(b) |
21,637,714 | ||||||
5,948,124 | IBC Capital Ltd., 2nd Lien Term Loan, 8.000%, 9/09/2022(b) |
5,769,680 | ||||||
|
|
|||||||
27,407,394 | ||||||||
|
|
|||||||
Chemicals 0.3% | ||||||||
4,764,557 | Ascend Performance Materials LLC, Term Loan B, 6.750%, 4/10/2018(b) |
4,049,873 | ||||||
5,646,017 | Emerald Performance Materials LLC, New 1st Lien Term Loan, 4.500%, 8/01/2021(b) |
5,630,152 | ||||||
6,147,386 | Emerald Performance Materials LLC, New 2nd Lien Term Loan, 7.750%, 8/01/2022(b) |
6,098,699 | ||||||
31,355,000 | Houghton International, Inc., New 2nd Lien Term Loan, 9.500%, 12/20/2020(b) |
31,355,000 | ||||||
|
|
|||||||
47,133,724 | ||||||||
|
|
|||||||
Construction Machinery 0.2% | ||||||||
44,338,165 | Onsite U.S. Finco LLC, Term Loan, 5.500%, 7/30/2021(b) |
42,897,175 | ||||||
|
|
|||||||
Consumer Cyclical Services 0.4% | ||||||||
42,462,500 | SourceHov LLC, 2014 1st Lien Term Loan, 7.750%, 10/31/2019(b) |
38,994,588 | ||||||
43,000,000 | SourceHov LLC, 2014 2nd Lien Term Loan, 11.500%, 4/30/2020(b) |
37,625,000 | ||||||
|
|
|||||||
76,619,588 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Consumer Products 0.1% | ||||||||
$ | 14,471,289 | Visant Corp., New Term Loan, 7.000%, 9/23/2021(b) |
$ | 13,940,627 | ||||
|
|
|||||||
Diversified Manufacturing 0.2% | ||||||||
9,956,035 | Ameriforge Group, Inc., 1st Lien Term Loan, 5.000%, 12/19/2019(b) |
8,014,608 | ||||||
21,863,132 | Ameriforge Group, Inc., 2nd Lien Term Loan, 8.750%, 12/19/2020(b) |
18,146,400 | ||||||
|
|
|||||||
26,161,008 | ||||||||
|
|
|||||||
Finance Companies 0.4% | ||||||||
61,668,221 | iStar Financial, Inc., Add on Term Loan A2, 7.000%, 3/19/2017(b) |
63,826,608 | ||||||
|
|
|||||||
Financial Other 0.1% | ||||||||
21,130,042 | DBRS Ltd., Term Loan, 6.250%, 3/04/2022(b) |
21,130,042 | ||||||
|
|
|||||||
Industrial Other 0.0% | ||||||||
4,813,380 | Eastman Kodak Co., Exit Term Loan, 7.250%, 9/03/2019(b) |
4,807,363 | ||||||
|
|
|||||||
Media Entertainment 0.0% | ||||||||
6,703,449 | SuperMedia, Inc., Exit Term Loan, 11.600%, 12/30/2016(b) |
3,971,793 | ||||||
|
|
|||||||
Natural Gas 0.1% | ||||||||
10,139,640 | Southcross Holdings Borrower LP, Term Loan B, 6.000%, 8/04/2021(b) |
9,835,450 | ||||||
|
|
|||||||
Oil Field Services 0.1% | ||||||||
2,618,182 | FTS International, Inc., New Term Loan B, 5.750%, 4/16/2021(b) |
2,094,545 | ||||||
5,440,563 | Paragon Offshore Finance Co., Term Loan B, 3.750%, 7/18/2021(b) |
3,944,408 | ||||||
2,955,330 | Petroleum Geo-Services ASA, New Term Loan B, 3.250%, 3/19/2021(b) |
2,657,344 | ||||||
2,760,596 | UTEX Industries, Inc., 2nd Lien Term Loan 2014, 8.250%, 5/22/2022(b) |
2,332,704 | ||||||
|
|
|||||||
11,029,001 | ||||||||
|
|
|||||||
Other Utility 0.0% | ||||||||
1,298,000 | PowerTeam Services LLC, 2nd Lien Term Loan, 8.250%, 11/06/2020(b) |
1,278,530 | ||||||
|
|
|||||||
Property & Casualty Insurance 0.0% | ||||||||
2,250,800 | CGSC of Delaware Holding Corp., 2nd Lien Term Loan C, 8.250%, 10/16/2020(b) |
1,924,434 | ||||||
|
|
|||||||
Retailers 0.1% | ||||||||
14,228,094 | J.C. Penney Corp., Inc., New Term Loan, 5.000%, 6/20/2019(b) |
14,183,702 | ||||||
2,877,865 | Toys R Us Property Co. I LLC, New Term Loan B, 6.000%, 8/21/2019(b) |
2,732,188 | ||||||
|
|
|||||||
16,915,890 | ||||||||
|
|
Principal Amount () |
Description |
Value () | ||||||
|
Senior Loans continued |
|||||||
Supermarkets 0.3% | ||||||||
$ | 28,550,893 | Albertsons LLC, Term Loan B4, 5.500%, 8/25/2021(b) |
$ | 28,660,528 | ||||
17,994,819 | New Albertsons, Inc., Term Loan, 4.750%, 6/27/2021(b) |
18,013,534 | ||||||
13,505,323 | Supervalu, Inc., Refi Term Loan B, 4.500%, 3/21/2019(b) |
13,520,719 | ||||||
|
|
|||||||
60,194,781 | ||||||||
|
|
|||||||
Technology 0.1% | ||||||||
4,070,400 | Aptean, Inc., 2nd Lien Term Loan, 8.500%, 2/26/2021(b) |
3,917,760 | ||||||
9,507,380 | IQOR U.S., Inc., 2nd Lien Term Loan, 9.750%, 4/01/2022(b) |
8,723,021 | ||||||
|
|
|||||||
12,640,781 | ||||||||
|
|
|||||||
Transportation Services 0.0% | ||||||||
4,375,520 | OSG Bulk Ships, Inc., Exit Term Loan, 5.250%, 8/05/2019(b) |
4,372,807 | ||||||
|
|
|||||||
Wireless 0.0% | ||||||||
3,384,615 | Asurion LLC, New 2nd Lien Term Loan, 8.500%, 3/03/2021(b) |
3,434,335 | ||||||
|
|
|||||||
Wirelines 0.4% | ||||||||
39,062,000 | CWC Cayman Finance Ltd., Unsecured Term Loan, 6.500%, 4/28/2017(b) |
39,159,655 | ||||||
17,392,695 | Hawaiian Telcom Communications, Inc., Term Loan B, 5.000%, 6/06/2019(b) |
17,418,784 | ||||||
14,998,206 | Integra Telecom, Inc., 2nd Lien Term Loan, 9.750%, 2/21/2020(b) |
14,873,271 | ||||||
1,672,963 | LTS Buyer LLC, 2nd Lien Term Loan, 8.000%, 4/12/2021(b) |
1,661,804 | ||||||
|
|
|||||||
73,113,514 | ||||||||
|
|
|||||||
Total Senior Loans (Identified Cost $533,204,377) |
522,634,845 | |||||||
|
|
|||||||
Shares | ||||||||
|
Common Stocks 19.8% |
|||||||
Airlines 0.0% | ||||||||
38,455 | United Continental Holdings, Inc.(g) |
2,038,500 | ||||||
|
|
|||||||
Automobiles 2.0% | ||||||||
15,608,933 | Ford Motor Co. |
234,290,084 | ||||||
3,379,086 | General Motors Co. |
112,624,937 | ||||||
|
|
|||||||
346,915,021 | ||||||||
|
|
|||||||
Banks 0.4% | ||||||||
3,979,932 | Bank of America Corp. |
67,738,443 | ||||||
|
|
|||||||
Chemicals 0.4% | ||||||||
1,364,851 | Dow Chemical Co. (The) |
69,839,426 | ||||||
|
|
|||||||
Containers & Packaging 0.1% | ||||||||
460,656 | Owens-Illinois, Inc.(g) |
10,567,449 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Diversified Telecommunication Services 2.0% | ||||||||
283,397 | Hawaiian Telcom Holdco, Inc.(g) |
$ | 7,396,661 | |||||
607,219 | Level 3 Communications, Inc.(g) |
31,982,225 | ||||||
3,346,339 | Telecom Italia SpA, Sponsored ADR |
33,965,341 | ||||||
19,550,590 | Telefonica S.A., Sponsored ADR |
277,618,378 | ||||||
|
|
|||||||
350,962,605 | ||||||||
|
|
|||||||
Electric Utilities 0.0% | ||||||||
94,166 | Duke Energy Corp. |
6,650,003 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 3.6% | ||||||||
32,000,000 | Corning, Inc. |
631,360,000 | ||||||
|
|
|||||||
Food Products 0.6% | ||||||||
2,309,175 | ConAgra Foods, Inc. |
100,957,131 | ||||||
|
|
|||||||
Household Durables 0.2% | ||||||||
477,725 | KB Home |
7,930,235 | ||||||
549,450 | Lennar Corp., Class A |
28,043,928 | ||||||
|
|
|||||||
35,974,163 | ||||||||
|
|
|||||||
Insurance 0.8% | ||||||||
1,510,275 | Prudential Financial, Inc. |
132,179,268 | ||||||
|
|
|||||||
IT Services 1.8% | ||||||||
2,000,000 | International Business Machines Corp. |
325,320,000 | ||||||
|
|
|||||||
Multi-Utilities 0.0% | ||||||||
73,618 | CMS Energy Corp. |
2,343,997 | ||||||
|
|
|||||||
Oil, Gas & Consumable Fuels 1.3% | ||||||||
846,398 | Chesapeake Energy Corp. |
9,454,266 | ||||||
5,351,804 | Repsol YPF S.A., Sponsored ADR |
94,191,750 | ||||||
2,134,173 | Royal Dutch Shell PLC, ADR |
121,669,203 | ||||||
160,839 | SandRidge Energy, Inc.(g) |
141,056 | ||||||
141,249 | Spectra Energy Corp. |
4,604,717 | ||||||
|
|
|||||||
230,060,992 | ||||||||
|
|
|||||||
Pharmaceuticals 3.2% | ||||||||
8,514,190 | Bristol-Myers Squibb Co. |
566,534,202 | ||||||
2,288 | Teva Pharmaceutical Industries Ltd., Sponsored ADR |
135,221 | ||||||
|
|
|||||||
566,669,423 | ||||||||
|
|
|||||||
REITs - Apartments 0.2% | ||||||||
290,904 | Apartment Investment & Management Co., Class A |
10,743,085 | ||||||
460,000 | Equity Residential |
32,278,200 | ||||||
|
|
|||||||
43,021,285 | ||||||||
|
|
|||||||
REITs - Diversified 0.0% | ||||||||
227,043 | NexPoint Residential Trust, Inc. |
3,049,187 | ||||||
|
|
|||||||
REITs - Regional Malls 0.1% | ||||||||
123,159 | Simon Property Group, Inc. |
21,308,970 | ||||||
|
|
|||||||
REITs - Shopping Centers 0.0% | ||||||||
201,557 | DDR Corp. |
3,116,071 |
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
REITs - Shopping Centers continued | ||||||||
61,579 | WP GLIMCHER, Inc. |
$ | 833,164 | |||||
|
|
|||||||
3,949,235 | ||||||||
|
|
|||||||
Semiconductors & Semiconductor Equipment 3.0% | ||||||||
17,300,541 | Intel Corp. |
526,195,954 | ||||||
|
|
|||||||
Trading Companies & Distributors 0.1% | ||||||||
176,859 | United Rentals, Inc.(g) |
15,496,386 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $2,645,407,595) |
3,492,597,438 | |||||||
|
|
|||||||
|
Preferred Stocks 2.0% |
|||||||
|
Convertible Preferred Stocks 1.7% |
|||||||
Banking 0.2% | ||||||||
19,062 | Bank of America Corp., Series L, 7.250% |
21,196,944 | ||||||
8,533 | Wells Fargo & Co., Series L, Class A, 7.500% |
10,026,275 | ||||||
|
|
|||||||
31,223,219 | ||||||||
|
|
|||||||
Communications 0.0% | ||||||||
10,483 | Cincinnati Bell, Inc., 6.750% |
513,982 | ||||||
|
|
|||||||
Electric 0.1% | ||||||||
380,577 | AES Trust III, 6.750% |
19,352,340 | ||||||
|
|
|||||||
Energy 0.1% | ||||||||
242,297 | El Paso Energy Capital Trust I, 4.750% |
13,517,750 | ||||||
85,072 | SandRidge Energy, Inc., 7.000% |
1,807,780 | ||||||
69,304 | SandRidge Energy, Inc., 8.500% |
1,589,660 | ||||||
|
|
|||||||
16,915,190 | ||||||||
|
|
|||||||
Metals & Mining 0.6% | ||||||||
891,682 | Alcoa, Inc., Series 1, 5.375% |
35,248,189 | ||||||
4,549,323 | ArcelorMittal, 6.000% |
71,014,932 | ||||||
250,639 | Cliffs Natural Resources, Inc., 7.000% |
1,115,344 | ||||||
|
|
|||||||
107,378,465 | ||||||||
|
|
|||||||
Midstream 0.5% | ||||||||
172,972 | Chesapeake Energy Corp., 4.500% |
12,298,309 | ||||||
231,033 | Chesapeake Energy Corp., 5.000% |
17,731,783 | ||||||
38,539 | Chesapeake Energy Corp., Series A, 5.750%, 144A |
25,971,818 | ||||||
43,178 | Chesapeake Energy Corp., 5.750%, 144A |
29,388,026 | ||||||
|
|
|||||||
85,389,936 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
|||||||
|
Convertible Preferred Stocks continued |
|||||||
REITs - Diversified 0.1% | ||||||||
29,153 | Crown Castle International Corp., Series A, 4.500% |
$ | 3,008,590 | |||||
391,776 | Weyerhaeuser Co., Series A, 6.375% |
20,372,352 | ||||||
|
|
|||||||
23,380,942 | ||||||||
|
|
|||||||
REITs - Health Care 0.1% | ||||||||
116,700 | Health Care REIT, Inc., Series I, 6.500% |
6,936,648 | ||||||
|
|
|||||||
REITs - Hotels 0.0% | ||||||||
167,167 | FelCor Lodging Trust, Inc., Series A, 1.950% |
4,124,010 | ||||||
|
|
|||||||
REITs - Mortgage 0.0% | ||||||||
38,767 | iStar Financial, Inc., Series J, 4.500% |
2,209,331 | ||||||
|
|
|||||||
Total Convertible Preferred Stocks (Identified Cost $355,384,475) |
297,424,063 | |||||||
|
|
|||||||
|
Non-Convertible Preferred Stocks 0.3% |
|||||||
Banking 0.2% | ||||||||
22,952 | Ally Financial, Inc., Series G, 7.000%, 144A |
23,192,280 | ||||||
35,000 | Bank of America Corp., 6.375% |
879,900 | ||||||
389,800 | Countrywide Capital IV, 6.750% |
9,885,328 | ||||||
|
|
|||||||
33,957,508 | ||||||||
|
|
|||||||
Electric 0.0% | ||||||||
393 | Entergy New Orleans, Inc., 4.750% |
38,318 | ||||||
|
|
|||||||
Finance Companies 0.0% | ||||||||
39,200 | iStar Financial, Inc., Series E, 7.875% |
964,320 | ||||||
39,300 | iStar Financial, Inc., Series F, 7.800% |
968,745 | ||||||
10,425 | iStar Financial, Inc., Series G, 7.650% |
256,768 | ||||||
101,175 | SLM Corp., Series A, 6.970% |
5,033,456 | ||||||
|
|
|||||||
7,223,289 | ||||||||
|
|
|||||||
Home Construction 0.0% | ||||||||
208,246 | Hovnanian Enterprises, Inc., 7.625%(g) |
2,786,331 | ||||||
|
|
|||||||
REITs - Office Property 0.0% | ||||||||
1,596 | Highwoods Properties, Inc., Series A, 8.625% |
1,899,240 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Preferred Stocks continued |
|||||||
|
Non-Convertible Preferred Stocks continued |
|||||||
REITs - Warehouse/Industrials 0.1% | ||||||||
116,192 | ProLogis, Inc., Series Q, 8.540% |
$ | 7,690,458 | |||||
|
|
|||||||
Total Non-Convertible Preferred Stocks (Identified Cost $32,219,429) |
53,595,144 | |||||||
|
|
|||||||
Total Preferred Stocks (Identified Cost $387,603,904) |
351,019,207 | |||||||
|
|
|||||||
|
Closed-End Investment Companies 0.0% |
|||||||
681,131 | NexPoint Credit Strategies Fund (Identified Cost $10,230,352) |
4,992,690 | ||||||
|
|
|||||||
Principal Amount () |
||||||||
|
Short-Term Investments 1.6% |
|||||||
$ | 3,039,630 | Repurchase Agreement with State Street Bank and Trust Company, dated 6/30/2015 at 0.000% to be repurchased at $3,039,630 on 7/01/2015 collateralized by $3,045,600 U.S. Treasury Note, 1.500% due 8/31/2018 valued at $3,100,481 including accrued interest(k) |
3,039,630 | |||||
277,966,309 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $277,966,387 on 7/01/2015 collateralized by $35,915,000 U.S. Treasury Note, 2.000% due 2/28/2021 valued at $36,405,671; $239,695,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $245,986,994; $1,030,000 U.S. Treasury Note, 4.000% due 8/15/2018 valued at $1,142,013 including accrued interest(k) |
277,966,309 | ||||||
|
|
|||||||
Total Short-Term Investments (Identified Cost $281,005,939) |
281,005,939 | |||||||
|
|
|||||||
Total Investments 99.3% (Identified Cost $16,821,952,811)(a) |
17,474,029,150 | |||||||
Other assets less liabilities 0.7% |
116,602,181 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 17,590,631,331 | ||||||
|
|
() | Principal Amount stated in U.S. dollars unless otherwise noted. |
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Senior loans are valued at bid prices supplied by an independent pricing service, if available.
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Broker-dealer bid prices may be used to value debt and unlisted 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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. |
() | Amount shown represents units. One unit represents a principal amount of 4.02. |
(a) | Federal Tax Information (Amounts exclude certain adjustments that will be 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, 2015, the net unrealized appreciation on investments based on a cost of $16,844,891,899 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 |
$ | 1,954,432,182 | ||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
(1,325,294,931 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 629,137,251 | ||
|
|
(b) | Variable rate security. Rate as of June 30, 2015 is disclosed. |
(c) | Fair valued by the Funds adviser. At June 30, 2015, the value of these securities amounted to $304,455,656 or 1.7% (includes illiquid securities) of net assets. |
(d) | Illiquid security. At June 30, 2015, the value of these securities amounted to $266,356,457 or 1.5% of net assets. Illiquid securities are deemed to be fair valued pursuant to the Funds pricing policies and procedures. |
(e) | Perpetual bond with no specified maturity date. |
(f) | Payment-in-kind security for which the issuer has the option at each interest payment date of making interest payments in cash or additional debt securities. For the period ended June 30, 2015, interest payments were made in additional debt securities. |
(g) | Non-income producing security. |
(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) | The Fund may invest in loans to corporate, governmental or other borrowers. A Funds investments in loans may be in the form of participations in loans or assignments of all or a portion of loans. A loan is often administered by a bank or other financial institution that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan participation, (i) a Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the party from whom the Fund has purchased the participation and only upon receipt by that party of payments from the borrower and (ii) a Fund generally has no right to enforce compliance by the borrower with the terms of the loan agreement or to vote on matters arising under the loan agreement. Thus, a Fund may be subject to credit risk both of the party from whom it purchased the loan participation and the borrower and that Fund may have minimal control over the terms of any loan modification. When a Fund purchases assignments from lenders, it acquires direct rights against the borrower on the loan. |
(k) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had investments in a repurchase agreements for which the value of the related collateral exceeded the value of the repurchase agreement. |
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, 2015, the value of Rule 144A holdings amounted to $3,370,041,733 or 19.2% of net assets. | |
ABS | Asset-Backed 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. | |
EMTN | Euro Medium Term Note | |
GMTN | Global Medium Term Note | |
GO | General Obligation | |
MBIA | Municipal Bond Investors Assurance Corp. | |
MTN | Medium Term Note | |
PIK | Payment-in-Kind | |
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 |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Bonds and Notes |
||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||
ABS Other |
$ | | $ | | $ | 74,916,457 | (a) | $ | 74,916,457 | |||||||
Airlines |
| 441,499,445 | 80,890,661 | (b) | 522,390,106 | |||||||||||
Finance Companies |
2,371,255 | 928,651,608 | | 931,022,863 | ||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| 119,503,744 | 30,118,060 | (b) | 149,621,804 | |||||||||||
Retailers |
| 113,645,174 | 11,239,116 | (c) | 124,884,290 | |||||||||||
Transportation Services |
| 13,675,250 | 26,860,083 | (c) | 40,535,333 | |||||||||||
All Other Non-Convertible Bonds* |
| 9,788,011,608 | | 9,788,011,608 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Bonds |
2,371,255 | 11,404,986,829 | 224,024,377 | 11,631,382,461 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Convertible Bonds* |
| 983,312,682 | | 983,312,682 | ||||||||||||
Municipals* |
| 192,486,161 | | 192,486,161 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Bonds and Notes |
2,371,255 | 12,580,785,672 | 224,024,377 | 12,807,181,304 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Loan Participations* |
| | 14,597,727 | 14,597,727 | ||||||||||||
Senior Loans* |
| 522,634,845 | | 522,634,845 | ||||||||||||
Common Stocks* |
3,492,597,438 | | | 3,492,597,438 | ||||||||||||
Preferred Stocks |
||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||
Energy |
13,517,750 | 3,397,440 | | 16,915,190 | ||||||||||||
Midstream |
12,298,309 | 47,119,809 | 25,971,818 | (b) | 85,389,936 | |||||||||||
REITs - Mortgage |
| 2,209,331 | | 2,209,331 | ||||||||||||
All Other Convertible Preferred Stocks* |
192,909,606 | | | 192,909,606 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Convertible Preferred Stocks |
218,725,665 | 52,726,580 | 25,971,818 | 297,424,063 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Non-Convertible Preferred Stocks |
||||||||||||||||
Electric |
| 38,318 | | 38,318 | ||||||||||||
REITs - Office Property |
| 1,899,240 | | 1,899,240 | ||||||||||||
REITs - Warehouse/Industrials |
| 7,690,458 | | 7,690,458 | ||||||||||||
All Other Non-Convertible Preferred Stocks* |
43,967,128 | | | 43,967,128 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Non-Convertible Preferred Stocks |
43,967,128 | 9,628,016 | | 53,595,144 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Preferred Stocks |
262,692,793 | 62,354,596 | 25,971,818 | 351,019,207 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Closed-End Investment Companies |
4,992,690 | | | 4,992,690 | ||||||||||||
Short-Term Investments |
| 281,005,939 | | 281,005,939 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 3,762,654,176 | $ | 13,446,781,052 | $ | 264,593,922 | $ | 17,474,029,150 | ||||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
(a) | Valued using broker-dealer bid prices ($12,600,650) or fair valued by the Funds adviser ($62,315,807). |
(b) | Valued using broker-dealer bid prices. |
(c) | Fair valued by the Funds adviser. |
Preferred stocks valued at $21,217,832 were transferred from Level 1 to Level 2 during the period ended June 30, 2015. At September 31, 2014, these securities were valued at the last sale price. At June 30, 2015, these securities were valued on the basis of evaluated bids furnished to the Fund by an independent pricing service.
A preferred stock valued at $466,429 was transferred from Level 2 to Level 1 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, 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 adviser and approved by the Board of Trustees. Debt securities are valued based on 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 adviser, subject to oversight by Fund management and the Board of Trustees. If the 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 adviser pursuant to procedures approved by 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, 2014 and/or June 30, 2015:
Asset Valuation Inputs
Investments in Securities |
Balance as of September 30, 2014 |
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, 2015 |
Change in Unrealized Appreciation (Depreciation) from Investments Still Held at June 30, 2015 |
||||||||||||||||||||||||||||||
Bonds and Notes |
||||||||||||||||||||||||||||||||||||||||
Non-Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
ABS Other |
$ | | $ | | $ | 101 | $ | (3,409,147 | ) | $ | 84,202,992 | $ | (5,877,489 | ) | $ | | $ | | $ | 74,916,457 | $ | (3,409,147 | ) | |||||||||||||||||
Airlines |
270,539,686 | 134,765 | 266,091 | (2,265,296 | ) | | (43,898,440 | ) | | (143,886,145 | ) | 80,890,661 | (760,635 | ) | ||||||||||||||||||||||||||
Banking |
162,624,689 | | | | | | | (162,624,689 | ) | | | |||||||||||||||||||||||||||||
Metals & Mining |
8,350,160 | 41,591 | 2,237 | 2,687,201 | | (11,081,189 | ) | | | | | |||||||||||||||||||||||||||||
Non-Agency Commercial Mortgage-Backed Securities |
| | | 18,060 | 30,100,000 | | | | 30,118,060 | 18,060 | ||||||||||||||||||||||||||||||
Retailers |
11,232,004 | 27,693 | | (20,581 | ) | | | | | 11,239,116 | (20,581 | ) | ||||||||||||||||||||||||||||
Transportation Services |
29,689,394 | | 332,510 | (688,363 | ) | | (2,473,458 | ) | | | 26,860,083 | (311,929 | ) | |||||||||||||||||||||||||||
Convertible Bonds |
||||||||||||||||||||||||||||||||||||||||
Wirelines |
53,861 | | (21,838 | ) | 17,377 | | (49,400 | ) | | | | | ||||||||||||||||||||||||||||
Loan Participations |
15,059,064 | | (3,020 | ) | (55,843 | ) | | (402,474 | ) | | | 14,597,727 | (54,334 | ) | ||||||||||||||||||||||||||
Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Convertible Preferred Stocks |
||||||||||||||||||||||||||||||||||||||||
Midstream |
| | | (14,325,735 | ) | 12,942,584 | | 27,354,969 | | 25,971,818 | (14,325,735 | ) | ||||||||||||||||||||||||||||
|
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|
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|
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|
|
|||||||||||||||||||||
Total |
$ | 497,548,858 | $ | 204,049 | $ | 576,081 | $ | (18,042,327 | ) | $ | 127,245,576 | $ | (63,782,450 | ) | $ | 27,354,969 | $ | (306,510,834 | ) | $ | 264,593,922 | $ | (18,864,301 | ) | ||||||||||||||||
|
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|
A preferred stock valued at $27,354,969 was transferred from Level 2 to Level 3 during the period ended June 30, 2015. At September 30, 2014, this security was valued on the basis of evaluated bids furnished to the Fund by an independent pricing service. At June 30, 2015, this security was valued using broker-dealer bid prices based on inputs unobservable to the Fund as an independent pricing service did not provide a reliable price for the security.
Debt securities valued at $306,510,834 were transferred from Level 3 to Level 2 during the period ended June 30, 2015. At September 30, 2014, 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. At June 30, 2015, 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, 2015 (Unaudited)
Treasuries |
15.7 | % | ||
Banking |
8.0 | |||
Finance Companies |
5.7 | |||
Technology |
4.7 | |||
Wirelines |
3.9 | |||
Electronic Equipment, Instruments & Components |
3.6 | |||
Healthcare |
3.5 | |||
Pharmaceuticals |
3.3 | |||
Semiconductors & Semiconductor Equipment |
3.0 | |||
Airlines |
3.0 | |||
Chemicals |
2.9 | |||
Electric |
2.3 | |||
Metals & Mining |
2.3 | |||
Diversified Telecommunication Services |
2.0 | |||
Automobiles |
2.0 | |||
Independent Energy |
2.0 | |||
Other Investments, less than 2% each |
29.8 | |||
Short-Term Investments |
1.6 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
Currency Exposure Summary at June 30, 2015 (Unaudited)
United States Dollar |
77.6 | % | ||
Canadian Dollar |
6.2 | |||
New Zealand Dollar |
4.0 | |||
Mexican Peso |
3.7 | |||
Australian Dollar |
2.8 | |||
Other, less than 2% each |
5.0 | |||
|
|
|||
Total Investments |
99.3 | |||
Other assets less liabilities |
0.7 | |||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
PORTFOLIO OF INVESTMENTS as of June 30, 2015 (Unaudited)
Loomis Sayles Value Fund
Shares | Description |
Value () | ||||||
|
Common Stocks 98.3% of Net Assets |
|||||||
Aerospace & Defense 4.5% | ||||||||
254,121 | Honeywell International, Inc. |
$ | 25,912,718 | |||||
172,029 | Northrop Grumman Corp. |
27,288,960 | ||||||
228,405 | United Technologies Corp. |
25,336,967 | ||||||
|
|
|||||||
78,538,645 | ||||||||
|
|
|||||||
Automobiles 2.0% | ||||||||
629,624 | General Motors Co. |
20,985,368 | ||||||
267,227 | Harley-Davidson, Inc. |
15,058,241 | ||||||
|
|
|||||||
36,043,609 | ||||||||
|
|
|||||||
Banks 12.5% | ||||||||
2,237,827 | Bank of America Corp. |
38,087,816 | ||||||
665,629 | Citigroup, Inc. |
36,769,346 | ||||||
1,505,779 | Fifth Third Bancorp |
31,350,319 | ||||||
750,478 | JPMorgan Chase & Co. |
50,852,389 | ||||||
252,359 | PNC Financial Services Group, Inc. (The) |
24,138,138 | ||||||
674,764 | Wells Fargo & Co. |
37,948,727 | ||||||
|
|
|||||||
219,146,735 | ||||||||
|
|
|||||||
Beverages 1.4% | ||||||||
258,782 | PepsiCo, Inc. |
24,154,712 | ||||||
|
|
|||||||
Capital Markets 3.8% | ||||||||
209,614 | Ameriprise Financial, Inc. |
26,187,077 | ||||||
346,343 | Legg Mason, Inc. |
17,847,055 | ||||||
293,272 | State Street Corp. |
22,581,944 | ||||||
|
|
|||||||
66,616,076 | ||||||||
|
|
|||||||
Chemicals 1.2% | ||||||||
326,696 | E.I. du Pont de Nemours & Co. |
20,892,209 | ||||||
|
|
|||||||
Communications Equipment 2.6% | ||||||||
852,191 | Cisco Systems, Inc. |
23,401,165 | ||||||
342,370 | QUALCOMM, Inc. |
21,442,633 | ||||||
|
|
|||||||
44,843,798 | ||||||||
|
|
|||||||
Construction Materials 1.4% | ||||||||
297,923 | Vulcan Materials Co. |
25,004,677 | ||||||
|
|
|||||||
Consumer Finance 2.7% | ||||||||
236,867 | American Express Co. |
18,409,303 | ||||||
503,105 | Discover Financial Services |
28,988,910 | ||||||
|
|
|||||||
47,398,213 | ||||||||
|
|
|||||||
Containers & Packaging 1.7% | ||||||||
596,638 | Sealed Air Corp. |
30,655,260 | ||||||
|
|
|||||||
Diversified Telecommunication Services 1.3% | ||||||||
474,636 | Verizon Communications, Inc. |
22,122,784 | ||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Electric Utilities 1.1% | ||||||||
195,719 | NextEra Energy, Inc. |
$ | 19,186,334 | |||||
|
|
|||||||
Electrical Equipment 1.5% | ||||||||
391,526 | Eaton Corp. PLC |
26,424,090 | ||||||
|
|
|||||||
Electronic Equipment, Instruments & Components 0.9% | ||||||||
893,432 | Knowles Corp.(b) |
16,171,119 | ||||||
|
|
|||||||
Energy Equipment & Services 2.2% | ||||||||
557,832 | Halliburton Co. |
24,025,824 | ||||||
313,578 | National Oilwell Varco, Inc. |
15,139,546 | ||||||
|
|
|||||||
39,165,370 | ||||||||
|
|
|||||||
Food & Staples Retailing 1.2% | ||||||||
205,539 | CVS Health Corp. |
21,556,930 | ||||||
|
|
|||||||
Food Products 1.4% | ||||||||
584,812 | Mondelez International, Inc., Class A |
24,059,166 | ||||||
|
|
|||||||
Health Care Equipment & Supplies 1.6% | ||||||||
372,848 | Medtronic PLC |
27,628,037 | ||||||
|
|
|||||||
Health Care Providers & Services 4.9% | ||||||||
280,112 | Express Scripts Holding Co.(b) |
24,913,161 | ||||||
251,884 | HCA Holdings, Inc.(b) |
22,850,917 | ||||||
317,894 | UnitedHealth Group, Inc. |
38,783,068 | ||||||
|
|
|||||||
86,547,146 | ||||||||
|
|
|||||||
Independent Power & Renewable Electricity Producers 0.8% | ||||||||
772,892 | Calpine Corp.(b) |
13,904,327 | ||||||
|
|
|||||||
Insurance 7.1% | ||||||||
481,945 | American International Group, Inc. |
29,793,840 | ||||||
585,772 | FNF Group |
21,667,706 | ||||||
520,509 | MetLife, Inc. |
29,143,299 | ||||||
209,665 | Travelers Cos., Inc. (The) |
20,266,219 | ||||||
655,483 | Unum Group |
23,433,517 | ||||||
|
|
|||||||
124,304,581 | ||||||||
|
|
|||||||
Internet & Catalog Retail 1.3% | ||||||||
820,355 | Liberty Interactive Corp., Class A(b) |
22,764,851 | ||||||
|
|
|||||||
Machinery 3.0% | ||||||||
144,730 | Illinois Tool Works, Inc. |
13,284,767 | ||||||
290,493 | Ingersoll-Rand PLC |
19,585,038 | ||||||
297,034 | Pentair PLC |
20,421,087 | ||||||
|
|
|||||||
53,290,892 | ||||||||
|
|
|||||||
Media 4.8% | ||||||||
494,220 | Comcast Corp., Class A |
29,722,391 | ||||||
308,313 | Liberty Global PLC, Class A(b) |
16,670,484 | ||||||
278,597 | Omnicom Group, Inc. |
19,359,705 | ||||||
299,048 | Viacom, Inc., Class B |
19,330,463 | ||||||
|
|
|||||||
85,083,043 | ||||||||
|
|
Shares | Description |
Value () | ||||||
|
Common Stocks continued |
|||||||
Multi-Utilities 1.0% | ||||||||
358,329 | PG&E Corp. |
$ | 17,593,954 | |||||
|
|
|||||||
Oil, Gas & Consumable Fuels 6.3% | ||||||||
300,750 | Chevron Corp. |
29,013,352 | ||||||
278,166 | Hess Corp. |
18,603,742 | ||||||
904,871 | Marathon Oil Corp. |
24,015,276 | ||||||
386,755 | Royal Dutch Shell PLC, ADR |
22,048,903 | ||||||
279,801 | Valero Energy Corp. |
17,515,543 | ||||||
|
|
|||||||
111,196,816 | ||||||||
|
|
|||||||
Pharmaceuticals 10.4% | ||||||||
70,778 | Allergan PLC(b) |
21,478,292 | ||||||
406,850 | Eli Lilly & Co. |
33,967,907 | ||||||
518,080 | Merck & Co., Inc. |
29,494,294 | ||||||
1,248,789 | Pfizer, Inc. |
41,871,895 | ||||||
624,375 | Sanofi, ADR |
30,925,294 | ||||||
437,619 | Teva Pharmaceutical Industries Ltd., Sponsored ADR |
25,863,283 | ||||||
|
|
|||||||
183,600,965 | ||||||||
|
|
|||||||
REITs - Diversified 1.1% | ||||||||
632,746 | Weyerhaeuser Co. |
19,931,499 | ||||||
|
|
|||||||
Road & Rail 1.5% | ||||||||
298,886 | Norfolk Southern Corp. |
26,110,681 | ||||||
|
|
|||||||
Software 3.7% | ||||||||
860,637 | Microsoft Corp. |
37,997,124 | ||||||
1,166,120 | Symantec Corp. |
27,112,290 | ||||||
|
|
|||||||
65,109,414 | ||||||||
|
|
|||||||
Specialty Retail 1.1% | ||||||||
284,349 | Lowes Cos., Inc. |
19,042,853 | ||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals 2.5% | ||||||||
166,691 | Apple, Inc. |
20,907,219 | ||||||
865,740 | EMC Corp. |
22,846,878 | ||||||
|
|
|||||||
43,754,097 | ||||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods 1.4% | ||||||||
189,749 | Ralph Lauren Corp. |
25,115,178 | ||||||
|
|
|||||||
Tobacco 1.2% | ||||||||
254,876 | Philip Morris International, Inc. |
20,433,409 | ||||||
|
|
|||||||
Wireless Telecommunication Services 1.2% | ||||||||
590,051 | Vodafone Group PLC, Sponsored ADR |
21,507,359 | ||||||
|
|
|||||||
Total Common Stocks (Identified Cost $1,348,188,320) |
1,728,898,829 | |||||||
|
|
Principal Amount |
Description |
Value () | ||||||
|
Short-Term Investments 1.7% |
|||||||
$ | 29,655,988 | Tri-Party Repurchase Agreement with Fixed Income Clearing Corporation, dated 6/30/2015 at 0.010% to be repurchased at $29,655,996 on 7/01/2015 collateralized by $29,480,000 U.S. Treasury Note, 2.250% due 3/31/2021 valued at $30,253,850 including accrued interest(c) (Identified Cost $29,655,988) |
$ | 29,655,988 | ||||
|
|
|||||||
Total Investments 100.0% (Identified Cost $1,377,844,308)(a) |
1,758,554,817 | |||||||
Other assets less liabilities (0.0)% |
(751,456 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,757,803,361 | ||||||
|
|
|||||||
Shares | ||||||||
|
Common Stocks Sold Short (0.1)% |
|||||||
Chemicals (0.1)% | ||||||||
65,339 | Chemours Co. (The)(b)(d)(e) (Proceeds $1,387,370) |
$ | (1,045,424 | ) | ||||
|
|
() | Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows: |
Listed equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. 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 an NOCP, at the most recent bid quotations on the applicable NASDAQ Market. Unlisted equity securities (except unlisted preferred equity securities) are valued at the last sale price quoted in the market where they are traded most extensively or, if there is no reported sale during the day, the closing bid quotation. If there is no last sale price or closing bid quotation available, unlisted equity securities will be valued using evaluated bids furnished by an independent pricing service, if available.
In some foreign markets, an official close price and a last sale price may be available from the foreign exchange or market. In those cases, the official close price is used.
Debt securities and unlisted preferred equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service or bid prices obtained from broker-dealers.
Broker-dealer bid prices may be used to value debt and unlisted 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.
Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (NYSE). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuers security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Funds net asset value (NAV) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Funds NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.
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 that will be made at the end of the Funds fiscal year for tax purposes. Such adjustments are primarily due to wash sales.): |
At June 30, 2015, the net unrealized appreciation on investments based on a cost of $1,377,844,308 (excludes proceeds received from short sales of $(1,387,370)) 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 |
||||
Investment securities |
$ | 431,524,063 | ||
Securities sold short |
341,946 | |||
Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value |
||||
Investment securities |
$ | (50,813,554 | ) | |
Securities sold short |
| |||
|
|
|||
Net unrealized appreciation |
$ | 380,052,455 | ||
|
|
(b) | Non-income producing security. |
(c) | The Fund may enter into repurchase agreements, under the terms of a Master Repurchase Agreement, under which the Fund acquires securities as collateral and agrees to resell the securities at an agreed upon time and at an agreed upon price. 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 the Funds ability to dispose of the underlying securities. As of June 30, 2015, the Fund had an investment in a repurchase agreement for which the value of the related collateral exceeded the value of the repurchase agreement. |
(d) | When-issued security. When-issued refers to a transaction made conditionally because a security, although authorized, has not been issued. |
(e) | During the period ended June 30, 2015, the Fund received shares of this security as part of a corporate action. The Fund sold its shares on a when-issued basis prior to receiving them. This transaction is presented as a short sale. |
ADR | An American Depositary Receipt is a certificate issued by a custodian bank representing the right to receive securities of the foreign issuer described. The values of ADRs may be significantly influenced by trading on exchanges not located in the United States. | |
REITs | Real Estate Investment Trusts |
Fair Value Measurements
In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Funds assets or liabilities. These inputs are summarized in the three broad levels listed below:
| Level 1 - quoted prices in active markets for identical assets or liabilities; |
| Level 2 - prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and |
| Level 3 - prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Funds own assumptions in determining the fair value of assets or liabilities and would be based on the best information available). |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used to value the Funds investments as of June 30, 2015, at value:
Asset Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks* |
$ | 1,728,898,829 | $ | | $ | | $ | 1,728,898,829 | ||||||||
Short-Term Investments |
| 29,655,988 | | 29,655,988 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
$ | 1,728,898,829 | $ | 29,655,988 | $ | | $ | 1,758,554,817 | ||||||||
|
|
|
|
|
|
|
|
Liability Valuation Inputs
Description |
Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks Sold Short* |
$ | (1,045,424 | ) | $ | | $ | | $ | (1,045,424 | ) | ||||||
|
|
|
|
|
|
|
|
* | Details of the major categories of the Funds investments are reflected within the Portfolio of Investments. |
For the period ended June 30, 2015 there were no transfers among Levels 1, 2 and 3.
Industry Summary at June 30, 2015 (Unaudited)
Banks |
12.5 | % | ||
Pharmaceuticals |
10.4 | |||
Insurance |
7.1 | |||
Oil, Gas & Consumable Fuels |
6.3 | |||
Health Care Providers & Services |
4.9 | |||
Media |
4.8 | |||
Aerospace & Defense |
4.5 | |||
Capital Markets |
3.8 | |||
Software |
3.7 | |||
Machinery |
3.0 | |||
Consumer Finance |
2.7 | |||
Communications Equipment |
2.6 | |||
Technology Hardware, Storage & Peripherals |
2.5 | |||
Energy Equipment & Services |
2.2 | |||
Automobiles |
2.0 | |||
Other Investments, less than 2% each* |
25.3 | |||
Short-Term Investments |
1.7 | |||
|
|
|||
Total Investments |
100.0 | |||
Other assets less liabilities |
(0.0 | ) | ||
|
|
|||
Net Assets |
100.0 | % | ||
|
|
* | Net of securities sold short. |
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/ David Giunta | |
Name: | David Giunta | |
Title: | Chief Executive Officer | |
Date: | August 20, 2015 |
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/ David Giunta | |
Name: | David Giunta | |
Title: | Chief Executive Officer | |
Date: | August 20, 2015 | |
By: | /s/ Michael C. Kardok | |
Name: | Michael C. Kardok | |
Title: | Treasurer | |
Date: | August 20, 2015 |
Exhibit (a)(1)
Loomis Sayles Funds II
Exhibit to SEC Form N-Q
Section 302 Certification
I, David Giunta, 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, 2015
/s/ David Giunta |
David Giunta |
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, 2015
/s/ Michael C. Kardok |
Michael C. Kardok |
Treasurer |