UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: 811-06557
RidgeWorth Funds
(Exact name of registrant as specified in charter)
RidgeWorth Capital Management, Inc.
3333 Piedmont Road, Suite 1500
Atlanta, GA 30305
(Address of principal executive offices)(Zip code)
Julia R. Short, President
RidgeWorth Funds
3333 Piedmont Road, Suite 1500
Atlanta, GA 30305
(Name and Address of Agent for Service)
Copy to:
W. John McGuire, Esquire
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Registrants telephone number, including area code: 1-888-784-3863
Date of fiscal year end: March 31
Date of reporting period: December 31, 2011
Item 1. | Schedule of Investments. |
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Aggressive Growth Stock Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (99.7%) |
||||||||
Consumer Discretionary (21.8%) |
||||||||
Amazon.com, Inc.* |
22,000 | 3,808,200 | ||||||
Blue Nile, Inc.* |
20,500 | 838,040 | ||||||
Chipotle Mexican Grill, Inc.* |
4,500 | 1,519,830 | ||||||
Deckers Outdoor Corp.* |
22,500 | 1,700,325 | ||||||
Lululemon Athletica, Inc.* |
49,400 | 2,305,004 | ||||||
Netflix, Inc.* |
22,500 | 1,559,025 | ||||||
Nordstrom, Inc. |
36,700 | 1,824,357 | ||||||
Priceline.com, Inc.* |
5,800 | 2,712,718 | ||||||
Tesla Motors, Inc.* |
54,400 | 1,553,664 | ||||||
Vera Bradley, Inc.* |
28,800 | 928,800 | ||||||
|
|
|||||||
18,749,963 | ||||||||
|
|
|||||||
Energy (12.4%) |
||||||||
Berry Petroleum Co., Cl A |
56,500 | 2,374,130 | ||||||
Energy XXI Bermuda Ltd.* |
61,600 | 1,963,808 | ||||||
FMC Technologies, Inc.* |
27,700 | 1,446,771 | ||||||
Pioneer Natural Resources Co. |
16,600 | 1,485,368 | ||||||
SandRidge Energy, Inc.*(a) |
104,900 | 855,984 | ||||||
Whiting Petroleum Corp.* |
54,000 | 2,521,260 | ||||||
|
|
|||||||
10,647,321 | ||||||||
|
|
|||||||
Financials (6.0%) |
||||||||
BlackRock, Inc. |
8,000 | 1,425,920 | ||||||
Financial Engines, Inc.* |
61,400 | 1,371,062 | ||||||
Green Dot Corp., Cl A* |
25,750 | 803,915 | ||||||
Portfolio Recovery Associates, Inc.* |
22,700 | 1,532,704 | ||||||
|
|
|||||||
5,133,601 | ||||||||
|
|
|||||||
Health Care (10.9%) |
||||||||
Celgene Corp.* |
26,300 | 1,777,880 | ||||||
Dendreon Corp.* |
46,900 | 356,440 | ||||||
HMS Holdings Corp.* |
38,400 | 1,228,032 | ||||||
Human Genome Sciences, Inc.* |
46,300 | 342,157 | ||||||
Intuitive Surgical, Inc.* |
3,800 | 1,759,438 | ||||||
MAKO Surgical Corp.* |
40,300 | 1,015,963 | ||||||
Salix Pharmaceuticals Ltd.* |
30,200 | 1,445,070 | ||||||
SXC Health Solutions Corp.* |
18,700 | 1,056,176 | ||||||
Vertex Pharmaceuticals, Inc.* |
13,000 | 431,730 | ||||||
|
|
|||||||
9,412,886 | ||||||||
|
|
|||||||
Industrials (8.0%) |
||||||||
Alaska Air Group, Inc.* |
19,000 | 1,426,710 | ||||||
Joy Global, Inc. |
12,000 | 899,640 |
See Notes to Schedules of Portfolio Investments.
Polypore International, Inc.*(a) |
20,700 | 910,593 | ||||||
Precision Castparts Corp. |
22,100 | 3,641,859 | ||||||
|
|
|||||||
6,878,802 | ||||||||
|
|
|||||||
Information Technology (38.7%) |
||||||||
Acme Packet, Inc.* |
66,400 | 2,052,424 | ||||||
Alliance Data Systems Corp.*(a) |
8,100 | 841,104 | ||||||
Altera Corp. |
50,600 | 1,877,260 | ||||||
Apple, Inc.* |
6,900 | 2,794,500 | ||||||
Aruba Networks, Inc.* |
68,400 | 1,266,768 | ||||||
Cognizant Technology Solutions Corp., Cl A* |
67,000 | 4,308,770 | ||||||
EMC Corp.* |
50,500 | 1,087,770 | ||||||
F5 Networks, Inc.* |
35,100 | 3,724,812 | ||||||
Google, Inc., Cl A* |
5,900 | 3,810,810 | ||||||
MercadoLibre, Inc. |
37,300 | 2,966,842 | ||||||
OpenTable, Inc.* |
45,000 | 1,760,850 | ||||||
QUALCOMM, Inc. |
68,000 | 3,719,600 | ||||||
Skyworks Solutions, Inc.* |
50,600 | 820,732 | ||||||
VeriFone Systems, Inc.* |
53,200 | 1,889,664 | ||||||
Yandex NV Cl A*(a) |
17,800 | 350,660 | ||||||
|
|
|||||||
33,272,566 | ||||||||
|
|
|||||||
Telecommunication Services (1.9%) |
||||||||
NII Holdings, Inc.* |
39,900 | 849,870 | ||||||
tw telecom, Inc.* |
40,000 | 775,200 | ||||||
|
|
|||||||
1,625,070 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $63,065,402) |
85,720,209 | |||||||
|
|
|||||||
Short-Term Investment (3.1%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(b) |
2,689,350 | 2,689,350 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $2,689,350) |
2,689,350 | |||||||
|
|
|||||||
Money Market Fund (0.2%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(c) |
154,474 | 154,474 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $154,474) |
154,474 | |||||||
|
|
|||||||
Total Investments (Cost $65,909,226) 103.0% |
88,564,033 | |||||||
|
|
|||||||
Liabilities in excess of other assets (3.0)% |
(2,539,534 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 86,024,499 | ||||||
|
|
* | Non-income producing security. |
(a) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $2,623,002. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Emerging Growth Stock Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (99.9%) |
||||||||
Consumer Discretionary (21.0%) |
||||||||
Blue Nile, Inc.* |
3,000 | 122,640 | ||||||
Chipotle Mexican Grill, Inc.* |
1,200 | 405,288 | ||||||
Deckers Outdoor Corp.* |
3,200 | 241,824 | ||||||
HomeAway, Inc.*(a) |
8,700 | 202,275 | ||||||
Lululemon Athletica, Inc.* |
8,800 | 410,608 | ||||||
Michael Kors Holdings Ltd.* |
600 | 16,350 | ||||||
Netflix, Inc.* |
5,000 | 346,450 | ||||||
Tesla Motors, Inc.* |
13,700 | 391,272 | ||||||
Vera Bradley, Inc.* |
6,600 | 212,850 | ||||||
|
|
|||||||
2,349,557 | ||||||||
|
|
|||||||
Energy (11.0%) |
||||||||
Berry Petroleum Co., Cl A |
11,000 | 462,220 | ||||||
Energy XXI Bermuda Ltd.* |
16,500 | 526,020 | ||||||
McMoRan Exploration Co.* |
16,800 | 244,440 | ||||||
|
|
|||||||
1,232,680 | ||||||||
|
|
|||||||
Financials (10.2%) |
||||||||
Financial Engines, Inc.* |
19,300 | 430,969 | ||||||
Green Dot Corp., Cl A* |
9,400 | 293,468 | ||||||
Portfolio Recovery Associates, Inc.* |
6,100 | 411,872 | ||||||
|
|
|||||||
1,136,309 | ||||||||
|
|
|||||||
Health Care (18.9%) |
||||||||
Dendreon Corp.* |
23,900 | 181,640 | ||||||
HMS Holdings Corp.* |
14,800 | 473,304 | ||||||
Human Genome Sciences, Inc.* |
11,100 | 82,029 | ||||||
IPC The Hospitalist Co.* |
3,700 | 169,164 | ||||||
MAKO Surgical Corp.* |
15,000 | 378,150 | ||||||
Nektar Therapeutics*(a) |
10,700 | 59,867 | ||||||
Salix Pharmaceuticals Ltd.* |
5,500 | 263,175 | ||||||
SXC Health Solutions Corp.* |
8,300 | 468,784 | ||||||
Vertex Pharmaceuticals, Inc.* |
1,200 | 39,852 | ||||||
|
|
|||||||
2,115,965 | ||||||||
|
|
|||||||
Industrials (6.2%) |
||||||||
Alaska Air Group, Inc.* |
4,500 | 337,905 | ||||||
Polypore International, Inc.* |
8,100 | 356,319 | ||||||
|
|
|||||||
694,224 | ||||||||
|
|
|||||||
Information Technology (32.1%) |
||||||||
Acme Packet, Inc.* |
14,000 | 432,740 | ||||||
Alliance Data Systems Corp.* |
1,100 | 114,224 | ||||||
Aruba Networks, Inc.* |
21,600 | 400,032 |
See Notes to Schedules of Portfolio Investments.
BroadSoft, Inc.* |
6,700 | 202,340 | ||||||
F5 Networks, Inc.* |
5,000 | 530,600 | ||||||
MercadoLibre, Inc. |
5,600 | 445,424 | ||||||
Mitek Systems, Inc.*(a) |
22,400 | 162,400 | ||||||
OpenTable, Inc.* |
7,100 | 277,823 | ||||||
Skyworks Solutions, Inc.* |
20,800 | 337,376 | ||||||
VeriFone Systems, Inc.* |
10,700 | 380,064 | ||||||
Zillow, Inc.*(a) |
13,400 | 301,232 | ||||||
|
|
|||||||
3,584,255 | ||||||||
|
|
|||||||
Materials (0.5%) |
||||||||
Molycorp, Inc.*(a) |
2,500 | 59,950 | ||||||
|
|
|||||||
Total Common Stocks (Cost $9,675,194) |
11,172,940 | |||||||
|
|
|||||||
Short-Term Investment (7.0%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(b) |
777,668 | 777,668 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $777,668) |
777,668 | |||||||
|
|
|||||||
Total Investments (Cost $10,452,862) 106.9% |
11,950,608 | |||||||
|
|
|||||||
Liabilities in excess of other assets (6.9)% |
(772,771 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 11,177,837 | ||||||
|
|
* | Non-income producing security. |
(a) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $757,157. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011(See Notes to Schedules of Portfolio Investments). |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
International Equity Fund
Shares | Value($) | |||||||
Common Stocks (95.2%) |
||||||||
Australia (2.3%) |
||||||||
Australia & New Zealand Banking Group Ltd. |
129,215 | 2,713,268 | ||||||
Bendigo and Adelaide Bank Ltd. |
106,503 | 874,719 | ||||||
National Australia Bank Ltd. |
59,484 | 1,421,228 | ||||||
|
|
|||||||
5,009,215 | ||||||||
|
|
|||||||
Austria (0.6%) |
||||||||
Voestalpine AG |
45,132 | 1,265,790 | ||||||
|
|
|||||||
Belgium (2.0%) |
||||||||
Anheuser-Busch InBev NV |
70,397 | 4,310,022 | ||||||
|
|
|||||||
Canada (0.7%) |
||||||||
Potash Corp. of Saskatchewan, Inc. |
36,205 | 1,494,542 | ||||||
|
|
|||||||
China (0.1%) |
||||||||
Minth Group Ltd. |
206,000 | 193,094 | ||||||
|
|
|||||||
France (14.5%) |
||||||||
BNP Paribas |
31,335 | 1,230,854 | ||||||
Cap Gemini SA |
34,948 | 1,092,114 | ||||||
Compagnie Generale de Geophysique-Veritas* |
88,782 | 2,083,248 | ||||||
France Telecom SA |
106,988 | 1,680,325 | ||||||
Publicis Groupe SA |
70,387 | 3,238,093 | ||||||
Renault SA |
40,320 | 1,398,536 | ||||||
Sanofi-Aventis |
70,879 | 5,205,971 | ||||||
Schlumberger Ltd. |
32,494 | 2,219,665 | ||||||
Total SA |
119,177 | 6,092,673 | ||||||
Valeo SA |
37,402 | 1,486,596 | ||||||
Vinci SA |
52,370 | 2,288,249 | ||||||
Vivendi SA |
161,744 | 3,541,986 | ||||||
|
|
|||||||
31,558,310 | ||||||||
|
|
|||||||
Germany (9.3%) |
||||||||
Adidas AG |
29,668 | 1,929,875 | ||||||
Allianz SE |
26,786 | 2,562,296 | ||||||
BASF SE |
43,027 | 3,001,011 | ||||||
Deutsche Bank AG |
24,895 | 948,406 | ||||||
Deutsche Lufthansa AG |
99,280 | 1,180,210 | ||||||
Fresenius SE |
26,630 | 2,463,622 | ||||||
Infineon Technologies AG |
189,490 | 1,426,360 | ||||||
MAN SE |
16,993 | 1,510,933 | ||||||
Muenchener Rueckversicherungs AG |
11,805 | 1,448,108 | ||||||
Siemens AG |
39,151 | 3,746,628 | ||||||
|
|
|||||||
20,217,449 | ||||||||
|
|
|||||||
Hong Kong (3.6%) |
||||||||
China Mobile Ltd. |
213,500 | 2,086,453 |
See Notes to Schedules of Portfolio Investments.
Digital China Holdings Ltd. |
2,316,000 | 3,590,328 | ||||||
Texwinca Holdings Ltd. |
1,941,721 | 2,155,079 | ||||||
|
|
|||||||
7,831,860 | ||||||||
|
|
|||||||
India (0.3%) |
||||||||
IL&FS Transportation Networks Ltd. |
117,395 | 320,761 | ||||||
IRB Infrastructure Developers Ltd. |
183,257 | 448,955 | ||||||
|
|
|||||||
769,716 | ||||||||
|
|
|||||||
Ireland (1.0%) |
||||||||
WPP PLC |
203,923 | 2,139,257 | ||||||
|
|
|||||||
Italy (0.9%) |
||||||||
Enel SpA |
499,120 | 2,030,981 | ||||||
|
|
|||||||
Japan (16.7%) |
||||||||
FUJIFILM Holdings Corp. |
43,000 | 1,018,436 | ||||||
Honda Motor Co. Ltd. |
79,188 | 2,415,661 | ||||||
Isuzu Motors Ltd. |
160,000 | 740,028 | ||||||
ITOCHU Corp. |
392,780 | 3,990,567 | ||||||
JX Holdings, Inc. |
604,500 | 3,651,975 | ||||||
LINTEC Corp. |
88,900 | 1,610,064 | ||||||
Marubeni Corp. |
684,000 | 4,167,806 | ||||||
Mitsubishi Gas Chemical Co., Inc. |
434,000 | 2,407,665 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
717,602 | 3,048,666 | ||||||
Nidec Corp. |
13,700 | 1,190,763 | ||||||
NIPPON SHOKUBAI Co. Ltd. |
97,000 | 1,042,211 | ||||||
Nippon Telegraph & Telephone Corp. |
54,516 | 2,787,066 | ||||||
Sumitomo Corp. |
315,144 | 4,266,338 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
103,005 | 2,869,205 | ||||||
Takata Corp. |
59,277 | 1,213,727 | ||||||
|
|
|||||||
36,420,178 | ||||||||
|
|
|||||||
Luxembourg (0.7%) |
||||||||
AZ Electronic Materials SA |
404,815 | 1,508,827 | ||||||
|
|
|||||||
Netherlands (5.2%) |
||||||||
ING Groep NV* |
237,557 | 1,709,468 | ||||||
Koninklijke Ahold NV |
255,776 | 3,444,452 | ||||||
Koninklijke DSM NV |
32,495 | 1,507,732 | ||||||
Koninklijke KPN NV |
166,058 | 1,986,941 | ||||||
Royal Dutch Shell PLC ADR |
36,483 | 2,773,073 | ||||||
|
|
|||||||
11,421,666 | ||||||||
|
|
|||||||
Norway (1.2%) |
||||||||
Telenor ASA |
163,071 | 2,674,748 | ||||||
|
|
|||||||
Singapore (1.0%) |
||||||||
United Overseas Bank Ltd. |
45,116 | 531,145 | ||||||
Venture Corp. Ltd. |
334,685 | 1,599,820 | ||||||
|
|
|||||||
2,130,965 | ||||||||
|
|
|||||||
South Korea (3.4%) |
||||||||
Himart Co. Ltd.* |
5,941 | 417,211 | ||||||
Hyundai Motor Co.* |
6,659 | 1,231,221 | ||||||
Korea Gas Corp.* |
135,408 | 4,901,488 |
See Notes to Schedules of Portfolio Investments.
SKC Co. Ltd.* |
25,762 | 852,024 | ||||||
|
|
|||||||
7,401,944 | ||||||||
|
|
|||||||
Spain (1.2%) |
||||||||
Telefonica SA |
149,037 | 2,581,849 | ||||||
|
|
|||||||
Sweden (4.1%) |
||||||||
Alfa Laval AB |
96,572 | 1,829,831 | ||||||
Kinnevik Investment AB, Cl B |
187,343 | 3,650,467 | ||||||
Swedbank AB, Cl A |
275,469 | 3,568,422 | ||||||
|
|
|||||||
9,048,720 | ||||||||
|
|
|||||||
Switzerland (4.6%) |
||||||||
ABB Ltd.* |
148,285 | 2,791,098 | ||||||
Roche Holding AG |
25,984 | 4,403,974 | ||||||
Xstrata PLC |
185,711 | 2,820,642 | ||||||
|
|
|||||||
10,015,714 | ||||||||
|
|
|||||||
Thailand (1.7%) |
||||||||
Bangkok Dusit Medical Services PCL* |
470,200 | 1,222,073 | ||||||
Kasikornbank PCL |
353,200 | 1,365,782 | ||||||
Krung Thai Bank PCL |
2,575,300 | 1,216,227 | ||||||
|
|
|||||||
3,804,082 | ||||||||
|
|
|||||||
Turkey (0.5%) |
||||||||
Tofas Turk Otomobil Fabrikasi AS |
379,421 | 1,186,098 | ||||||
|
|
|||||||
United Kingdom (19.6%) |
||||||||
Anglo American PLC |
85,569 | 3,161,421 | ||||||
AstraZeneca PLC |
93,440 | 4,317,092 | ||||||
Aviva PLC |
284,922 | 1,330,992 | ||||||
BP PLC |
124,521 | 890,520 | ||||||
BP PLC SP ADR |
126,557 | 5,409,046 | ||||||
British American Tobacco PLC |
114,998 | 5,456,875 | ||||||
BT Group PLC |
1,058,873 | 3,139,217 | ||||||
Legal & General Group PLC |
1,197,864 | 1,912,371 | ||||||
Old Mutual PLC |
910,666 | 1,916,328 | ||||||
Rio Tinto PLC SP ADR |
95,099 | 4,652,243 | ||||||
Royal Dutch Shell PLC, Cl A |
110,471 | 4,067,722 | ||||||
Royal Dutch Shell PLC, Cl B |
75,311 | 2,870,149 | ||||||
SABMiller PLC |
68,315 | 2,404,602 | ||||||
Subsea 7 SA* |
74,182 | 1,376,761 | ||||||
|
|
|||||||
42,905,339 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $207,988,428) |
|
207,920,366 | ||||||
|
|
|||||||
Preferred Stocks (1.1%) |
||||||||
Brazil (0.5%) |
||||||||
Telefonica Brasil SA, 0.67% |
43,106 | 1,199,411 | ||||||
|
|
|||||||
Germany (0.6%) |
||||||||
Volkswagen AG, 1.84% |
8,261 | 1,237,576 | ||||||
|
|
|||||||
Total Preferred Stocks (Cost $2,205,900) |
|
2,436,987 | ||||||
|
|
|||||||
Money Market Fund (2.2%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(a) |
4,784,608 | 4,784,608 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Total Money Market Fund (Cost $4,784,608) |
4,784,608 | |||||
|
|
|||||
Total Investments (Cost $214,978,936) 98.5% |
215,141,961 | |||||
|
|
|||||
Other assets in excess of liabilities 1.5% |
3,196,441 | |||||
|
|
|||||
Net Assets 100.0% |
$ | 218,338,402 | ||||
|
|
* | Non-income producing security. |
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
ADR | American Depositary Receipt |
PCL | Public Company Limited |
SP ADR | Sponsored American Depositary Receipt |
The investment concentrations for the International Equity Fund as a percentage of total investments by sector, as of December 31, 2011, were as follows: |
||||
Financials |
15.9 | % | ||
Energy |
14.6 | |||
Industrials |
12.9 | |||
Materials |
11.8 | |||
Consumer Discretionary |
11.4 | |||
Telecommunication Services |
8.4 | |||
Health Care |
8.2 | |||
Consumer Staples |
7.3 | |||
Information Technology |
4.1 | |||
Utilities |
3.2 | |||
Money Market Fund |
2.2 |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
International Equity Index Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (94.7%) |
||||||||
Australia (5.3%) |
||||||||
AGL Energy Ltd. |
10,938 | 160,315 | ||||||
Alumina Ltd. |
58,186 | 66,357 | ||||||
Amcor Ltd. |
29,006 | 213,902 | ||||||
AMP Ltd. |
67,128 | 279,440 | ||||||
Asciano Ltd. |
23,379 | 107,604 | ||||||
ASX Ltd. |
4,165 | 130,270 | ||||||
Australia & New Zealand Banking Group Ltd. |
61,161 | 1,284,264 | ||||||
Bendigo and Adelaide Bank Ltd. |
8,879 | 72,924 | ||||||
BGP Holdings PLC(a)(b) |
737,041 | | ||||||
BHP Billiton Ltd. |
75,942 | 2,673,522 | ||||||
BlueScope Steel Ltd. |
43,222 | 17,904 | ||||||
Boral Ltd. |
17,079 | 62,886 | ||||||
Brambles Ltd. |
34,193 | 250,404 | ||||||
Caltex Australia Ltd. |
3,251 | 39,137 | ||||||
CFS Retail Property Trust REIT |
44,163 | 76,111 | ||||||
Coca-Cola Amatil Ltd. |
13,307 | 156,656 | ||||||
Cochlear Ltd. |
1,348 | 85,482 | ||||||
Commonwealth Bank of Australia |
36,558 | 1,840,411 | ||||||
Computershare Ltd. |
10,481 | 85,867 | ||||||
Crown Ltd. |
10,639 | 88,032 | ||||||
CSL Ltd. |
13,054 | 427,252 | ||||||
Dexus Property Group REIT |
115,486 | 98,039 | ||||||
Echo Entertainment Group Ltd.* |
12,563 | 46,129 | ||||||
Fairfax Media Ltd.(c) |
53,034 | 39,055 | ||||||
Fortescue Metals Group Ltd. |
29,555 | 129,077 | ||||||
Goodman Group |
164,716 | 96,029 | ||||||
GPT Group REIT |
41,637 | 130,740 | ||||||
Harvey Norman Holdings Ltd. |
12,556 | 23,566 | ||||||
Iluka Resources Ltd. |
9,660 | 153,144 | ||||||
Incitec Pivot Ltd. |
37,817 | 120,292 | ||||||
Insurance Australia Group Ltd. |
49,899 | 152,089 | ||||||
Leighton Holdings Ltd. |
3,581 | 69,737 | ||||||
Lend Lease Group |
12,666 | 92,756 | ||||||
Lynas Corp. Ltd.* |
40,503 | 43,291 | ||||||
Macquarie Group Ltd. |
8,135 | 197,944 | ||||||
Metcash Ltd. |
18,113 | 74,845 | ||||||
Mirvac Group REIT |
81,078 | 97,853 | ||||||
National Australia Bank Ltd. |
53,055 | 1,267,623 | ||||||
Newcrest Mining Ltd. |
18,288 | 553,667 | ||||||
OneSteel Ltd. |
30,904 | 22,126 | ||||||
Orica Ltd. |
8,635 | 214,085 |
See Notes to Schedules of Portfolio Investments.
Origin Energy Ltd. |
25,068 | 342,032 | ||||||
OZ Minerals Ltd. |
7,670 | 78,527 | ||||||
Paladin Energy Ltd.* |
16,500 | 23,120 | ||||||
Qantas Airways Ltd.* |
26,968 | 40,271 | ||||||
QBE Insurance Group Ltd. |
24,775 | 328,151 | ||||||
QR National Ltd. |
40,040 | 140,059 | ||||||
Ramsay Health Care Ltd. |
3,074 | 60,618 | ||||||
Rio Tinto Ltd. |
10,317 | 636,300 | ||||||
Santos Ltd. |
20,425 | 255,702 | ||||||
Sims Metal Management Ltd. |
3,910 | 50,589 | ||||||
Sonic Healthcare Ltd. |
8,736 | 100,789 | ||||||
SP Ausnet |
32,991 | 31,719 | ||||||
Stockland REIT |
56,563 | 184,550 | ||||||
Suncorp Group Ltd. |
30,415 | 260,689 | ||||||
Sydney Airport |
8,836 | 24,040 | ||||||
TABCORP Holdings Ltd. |
16,256 | 45,391 | ||||||
Tatts Group Ltd. |
30,466 | 76,032 | ||||||
Telstra Corp. Ltd. |
104,740 | 356,737 | ||||||
Toll Holdings Ltd. |
15,651 | 67,553 | ||||||
Transurban Group |
30,781 | 176,933 | ||||||
Wesfarmers Ltd. |
23,919 | 721,699 | ||||||
Wesfarmers Ltd. PPS |
3,610 | 109,846 | ||||||
Westfield Group REIT |
52,126 | 416,386 | ||||||
Westfield Retail Trust REIT |
69,660 | 177,408 | ||||||
Westpac Banking Corp. |
70,562 | 1,443,417 | ||||||
Woodside Petroleum Ltd. |
14,871 | 465,732 | ||||||
Woolworths Ltd. |
28,681 | 736,307 | ||||||
WorleyParsons Ltd. |
4,589 | 120,485 | ||||||
|
|
|||||||
19,211,909 | ||||||||
|
|
|||||||
Austria (1.2%) |
||||||||
Erste Group Bank AG |
36,237 | 637,133 | ||||||
Immofinanz AG* |
179,827 | 539,960 | ||||||
OMV AG |
28,446 | 862,973 | ||||||
Raiffeisen Bank International AG(c) |
9,394 | 243,954 | ||||||
Telekom Austria AG |
64,041 | 765,692 | ||||||
Verbund AG |
12,836 | 344,471 | ||||||
Vienna Insurance Group |
7,316 | 289,933 | ||||||
Voestalpine AG |
20,870 | 585,328 | ||||||
|
|
|||||||
4,269,444 | ||||||||
|
|
|||||||
Belgium (1.9%) |
||||||||
Ageas |
168,830 | 262,210 | ||||||
Anheuser-Busch InBev NV |
61,099 | 3,740,757 | ||||||
Bekaert SA |
2,917 | 93,571 | ||||||
Belgacom SA(c) |
11,667 | 366,024 | ||||||
Colruyt SA(c) |
5,799 | 219,532 | ||||||
Delhaize Group SA |
7,867 | 441,944 | ||||||
Dexia SA*(c) |
47,516 | 18,265 | ||||||
Groupe Bruxelles Lambert SA |
6,163 | 410,868 | ||||||
KBC Groep NV |
12,143 | 152,933 | ||||||
Mobistar SA |
2,290 | 120,006 |
See Notes to Schedules of Portfolio Investments.
Solvay SA |
4,467 | 368,045 | ||||||
UCB SA |
7,708 | 324,322 | ||||||
Umicore |
8,676 | 357,866 | ||||||
|
|
|||||||
6,876,343 | ||||||||
|
|
|||||||
Cayman Islands (0.0%)(d) |
||||||||
Sands China Ltd.* |
31,687 | 89,554 | ||||||
Wynn Macau Ltd.(c) |
21,016 | 52,712 | ||||||
|
|
|||||||
142,266 | ||||||||
|
|
|||||||
Cyprus (0.0%)(d) |
||||||||
Bank of Cyprus Public Co. Ltd. |
187,462 | 148,000 | ||||||
|
|
|||||||
Denmark (1.3%) |
||||||||
A.P. MollerMaersk A/S, Cl B |
63 | 415,956 | ||||||
A.P. MollerMaersk A/S, Cl A |
26 | 162,248 | ||||||
Carlsberg A/S, Cl B |
5,114 | 360,623 | ||||||
Coloplast A/S, Cl B |
1,038 | 149,285 | ||||||
Danske Bank A/S* |
31,441 | 399,356 | ||||||
DSV A/S |
9,628 | 172,668 | ||||||
Novo Nordisk A/S, Cl B |
19,610 | 2,253,513 | ||||||
Novozymes A/S, Cl B |
10,515 | 324,606 | ||||||
Pandora A/S(c) |
2,729 | 25,659 | ||||||
TDC A/S |
16,870 | 135,294 | ||||||
Tryg A/S |
1,149 | 63,819 | ||||||
Vestas Wind Systems A/S* |
9,291 | 100,298 | ||||||
William Demant Holding A/S* |
1,055 | 87,731 | ||||||
|
|
|||||||
4,651,056 | ||||||||
|
|
|||||||
Finland (0.8%) |
||||||||
Elisa Oyj |
5,172 | 107,972 | ||||||
Fortum Oyj |
15,760 | 336,353 | ||||||
Kesko Oyj, Cl B |
2,446 | 82,183 | ||||||
Kone Oyj, Cl B |
5,606 | 290,948 | ||||||
Metso Oyj |
4,604 | 170,718 | ||||||
Neste Oil Oyj |
4,731 | 47,791 | ||||||
Nokia Oyj |
136,867 | 668,173 | ||||||
Nokian Renkaat Oyj |
3,893 | 125,358 | ||||||
Orion Oyj, Cl B |
3,384 | 65,915 | ||||||
Outokumpu Oyj(c) |
4,734 | 31,125 | ||||||
Pohjola Bank PLC |
5,024 | 48,832 | ||||||
Rautaruukki Oyj(c) |
3,048 | 28,068 | ||||||
Sampo Oyj, Cl A |
15,065 | 373,774 | ||||||
Sanoma Oyj |
2,969 | 34,065 | ||||||
Stora Enso Oyj |
20,953 | 125,504 | ||||||
UPM-Kymmene Oyj |
18,791 | 206,965 | ||||||
Wartsila Oyj |
6,026 | 174,077 | ||||||
|
|
|||||||
2,917,821 | ||||||||
|
|
|||||||
France (9.5%) |
||||||||
Accor SA |
5,945 | 150,693 | ||||||
Aeroports de Paris |
1,406 | 96,445 | ||||||
Air France-KLM*(c) |
5,587 | 28,729 | ||||||
Air Liquide SA(b) |
17,547 | 2,170,869 |
See Notes to Schedules of Portfolio Investments.
Air Liquide SA(a)(b) |
2,545 | 314,861 | ||||||
Alcatel-Lucent*(c) |
94,060 | 146,937 | ||||||
Alstom |
8,268 | 250,721 | ||||||
Arkema SA |
2,258 | 159,856 | ||||||
Atos Origin SA |
2,047 | 89,839 | ||||||
AXA SA |
69,835 | 907,907 | ||||||
BNP Paribas |
39,237 | 1,541,249 | ||||||
Bouygues SA |
9,675 | 304,845 | ||||||
Bureau Veritas SA |
2,271 | 165,479 | ||||||
Cap Gemini SA |
6,038 | 188,686 | ||||||
Carrefour SA |
23,627 | 538,654 | ||||||
Casino Guichard-Perrachon SA |
2,260 | 190,359 | ||||||
Christian Dior SA |
2,234 | 264,877 | ||||||
CNP Assurances |
5,977 | 74,093 | ||||||
Compagnie de SaintGobain |
16,245 | 623,710 | ||||||
Compagnie Generale dOptique Essilor International SA |
8,188 | 578,084 | ||||||
Compagnie Generale de GeophysiqueVeritas* |
5,747 | 134,852 | ||||||
Compagnie Generale des Etablissements Michelin, Cl B |
7,080 | 418,533 | ||||||
Credit Agricole SA |
39,549 | 223,172 | ||||||
Danone SA |
23,705 | 1,490,138 | ||||||
Dassault Systemes SA |
2,410 | 193,169 | ||||||
Edenred |
6,452 | 158,827 | ||||||
Eiffage SA |
1,655 | 40,066 | ||||||
Electricite de France |
9,764 | 237,577 | ||||||
Eramet |
215 | 26,296 | ||||||
Eurazeo |
1,254 | 44,624 | ||||||
European Aeronautic Defence and Space Co. |
16,470 | 514,789 | ||||||
Eutelsat Communications |
4,038 | 157,569 | ||||||
Fonciere Des Regions |
1,129 | 72,476 | ||||||
France Telecom SA |
75,968 | 1,193,133 | ||||||
GDF SUEZ |
50,243 | 1,373,371 | ||||||
Gecina SA |
896 | 75,377 | ||||||
Groupe Eurotunnel SA |
21,289 | 144,930 | ||||||
ICADE REIT(c) |
952 | 74,901 | ||||||
Iliad SA |
779 | 96,134 | ||||||
Imerys |
1,385 | 63,796 | ||||||
JCDecaux SA* |
2,716 | 62,553 | ||||||
Klepierre |
4,257 | 121,432 | ||||||
LOreal SA |
9,732 | 1,016,469 | ||||||
Lagardere SCA |
4,849 | 128,027 | ||||||
Legrand SA |
7,952 | 255,753 | ||||||
LVMH Moet Hennessy Louis Vuitton SA |
10,000 | 1,415,910 | ||||||
Metropole Television SA |
2,377 | 35,456 | ||||||
Natixis |
35,703 | 89,830 | ||||||
Neopost SA |
1,313 | 88,468 | ||||||
Pernod-Ricard SA |
8,073 | 748,738 | ||||||
Peugeot SA |
6,095 | 95,529 | ||||||
PPR |
3,100 | 443,947 | ||||||
Publicis Groupe SA |
5,038 | 231,769 | ||||||
Renault SA |
7,786 | 270,064 | ||||||
Safran SA |
6,635 | 199,269 |
See Notes to Schedules of Portfolio Investments.
Sanofi-Aventis |
45,537 | 3,344,634 | ||||||
Schneider Electric SA |
19,488 | 1,026,045 | ||||||
Scor SE |
6,874 | 160,674 | ||||||
Societe BIC SA |
1,179 | 104,526 | ||||||
Societe Generale |
25,997 | 578,890 | ||||||
Societe Lafarge(a)(b) |
12,479 | 438,660 | ||||||
Societe Television Francaise 1 |
4,861 | 47,449 | ||||||
Sodexo |
3,818 | 274,102 | ||||||
Suez Environnement SA |
10,822 | 124,671 | ||||||
Technip SA |
3,946 | 370,878 | ||||||
Thales SA(c) |
4,064 | 128,340 | ||||||
Total SA |
85,749 | 4,383,737 | ||||||
Unibail-Rodamco |
3,718 | 668,390 | ||||||
Vallourec SA |
4,501 | 292,203 | ||||||
Veolia Environnement SA |
14,075 | 154,276 | ||||||
Vinci SA |
17,998 | 786,403 | ||||||
Vivendi SA |
50,171 | 1,098,680 | ||||||
Wendel SA |
1,324 | 88,250 | ||||||
|
|
|||||||
34,794,645 | ||||||||
|
|
|||||||
Germany (11.3%) |
||||||||
Adidas AG |
12,726 | 827,814 | ||||||
Allianz SE |
27,554 | 2,635,762 | ||||||
Axel Springer AG |
2,453 | 105,419 | ||||||
BASF SE |
55,295 | 3,856,669 | ||||||
Bayer AG |
50,480 | 3,227,488 | ||||||
Bayerische Motoren Werke AG |
19,825 | 1,328,085 | ||||||
Beiersdorf AG |
6,180 | 350,493 | ||||||
Brenntag AG |
2,063 | 192,109 | ||||||
Celesio AG |
5,307 | 84,072 | ||||||
Commerzbank AG*(c) |
224,661 | 378,870 | ||||||
Continental AG* |
4,847 | 301,711 | ||||||
Daimler AG |
55,832 | 2,451,079 | ||||||
Deutsche Bank AG |
57,302 | 2,182,992 | ||||||
Deutsche Boerse AG* |
12,094 | 634,089 | ||||||
Deutsche Lufthansa AG |
14,179 | 168,556 | ||||||
Deutsche Post AG |
51,804 | 796,522 | ||||||
Deutsche Telekom AG |
172,156 | 1,975,237 | ||||||
E.ON AG |
109,436 | 2,361,099 | ||||||
Fraport AG |
2,257 | 111,003 | ||||||
Fresenius SE |
6,885 | 636,952 | ||||||
GEA Group AG |
10,395 | 293,964 | ||||||
Hannover Rueckversicherung AG |
3,667 | 181,891 | ||||||
Heidelberg Cement AG |
8,606 | 365,225 | ||||||
Henkel AG & Co. KGaA |
8,021 | 388,256 | ||||||
Hochtief AG |
2,574 | 148,897 | ||||||
Infineon Technologies AG |
67,562 | 508,564 | ||||||
K+S AG |
10,465 | 472,968 | ||||||
Kabel Deutschland Holding AG* |
4,474 | 227,074 | ||||||
Lanxess AG |
5,068 | 262,370 | ||||||
Linde AG |
10,283 | 1,529,844 | ||||||
MAN SE |
4,117 | 366,063 |
See Notes to Schedules of Portfolio Investments.
Merck KGaA |
4,005 | 399,283 | ||||||
Metro AG |
7,959 | 290,486 | ||||||
Muenchener Rueckversicherungs AG |
11,564 | 1,418,545 | ||||||
RWE AG |
25,610 | 899,907 | ||||||
Salzgitter AG |
2,390 | 119,493 | ||||||
SAP AG |
56,217 | 2,972,200 | ||||||
Siemens AG |
49,865 | 4,771,925 | ||||||
Suedzucker AG |
4,048 | 129,144 | ||||||
ThyssenKrupp AG |
20,113 | 461,404 | ||||||
TUI AG*(c) |
9,441 | 58,615 | ||||||
United Internet AG |
6,871 | 122,721 | ||||||
Volkswagen AG |
1,758 | 235,834 | ||||||
Wacker Chemie AG(c) |
947 | 76,174 | ||||||
|
|
|||||||
41,306,868 | ||||||||
|
|
|||||||
Greece (0.6%) |
||||||||
Alpha Bank AE* |
118,749 | 83,454 | ||||||
Coca-Cola Hellenic Bottling Co. SA* |
43,048 | 727,079 | ||||||
EFG Eurobank Ergasias SA* |
70,781 | 33,987 | ||||||
Hellenic Telecommunications Organization SA |
56,536 | 204,149 | ||||||
National Bank of Greece SA* |
206,247 | 435,105 | ||||||
OPAP SA |
52,260 | 461,964 | ||||||
Public Power Corp. SA |
25,366 | 123,769 | ||||||
|
|
|||||||
2,069,507 | ||||||||
|
|
|||||||
Guernsey (0.0%)(d) |
||||||||
Resolution Ltd. |
23,371 | 91,246 | ||||||
|
|
|||||||
Hong Kong (0.9%) |
||||||||
AIA Group Ltd. |
99,881 | 311,863 | ||||||
ASM Pacific Technology Ltd. |
2,540 | 28,502 | ||||||
Bank of East Asia Ltd. |
20,230 | 76,710 | ||||||
BOC Hong Kong Holdings Ltd. |
48,528 | 114,969 | ||||||
Cathay Pacific Airways Ltd. |
14,843 | 25,456 | ||||||
Cheung Kong (Holdings) Ltd. |
17,239 | 205,427 | ||||||
Cheung Kong Infrastructure Holdings Ltd. |
5,854 | 34,107 | ||||||
CLP Holdings Ltd. |
24,866 | 211,630 | ||||||
Esprit Holdings Ltd. |
15,901 | 20,515 | ||||||
Foxconn International Holdings Ltd.*(c) |
28,624 | 18,464 | ||||||
Galaxy Entertainment Group Ltd.*(c) |
15,803 | 28,893 | ||||||
Hang Lung Group Ltd. |
11,503 | 62,650 | ||||||
Hang Lung Properties Ltd. |
31,935 | 90,872 | ||||||
Hang Seng Bank Ltd. |
9,924 | 117,747 | ||||||
Henderson Land Development Co. Ltd. |
14,358 | 71,359 | ||||||
Hong Kong & China Gas Co. Ltd. (The) |
61,662 | 143,068 | ||||||
Hong Kong Electric Holdings Ltd. |
18,200 | 134,626 | ||||||
Hong Kong Exchanges & Clearing Ltd. |
13,339 | 214,170 | ||||||
Hopewell Holdings Ltd. |
7,081 | 18,107 | ||||||
Hutchison Whampoa Ltd. |
27,113 | 227,961 | ||||||
Hysan Development Co. Ltd. |
8,257 | 27,110 | ||||||
Kerry Properties Ltd. |
9,007 | 29,805 | ||||||
Li & Fung Ltd. |
73,707 | 136,280 | ||||||
Lifestyle International Holdings Ltd. |
7,393 | 16,258 |
See Notes to Schedules of Portfolio Investments.
Link REIT (The) |
29,076 | 107,070 | ||||||
MTR Corp. |
18,621 | 60,419 | ||||||
New World Development Ltd. |
47,251 | 38,085 | ||||||
Newton Resources Ltd.* |
391 | 49 | ||||||
Noble Group Ltd. |
79,598 | 69,346 | ||||||
NWS Holdings Ltd. |
16,372 | 24,116 | ||||||
Orient Overseas International Ltd. |
3,031 | 17,698 | ||||||
PCCW Ltd. |
52,824 | 18,160 | ||||||
Shangri-La Asia Ltd. |
18,968 | 32,726 | ||||||
Sino Land Co. Ltd. |
35,602 | 50,699 | ||||||
SJM Holdings Ltd. |
22,210 | 36,032 | ||||||
Sun Hung Kai Properties Ltd. |
17,664 | 221,408 | ||||||
Swire Pacific Ltd. |
9,132 | 110,290 | ||||||
Wharf Holdings Ltd. (The) |
19,197 | 87,005 | ||||||
Wheelock & Co. Ltd. |
12,192 | 30,203 | ||||||
Wing Hang Bank Ltd. |
2,364 | 19,389 | ||||||
Yue Yuen Industrial (Holdings) Ltd. |
9,544 | 30,168 | ||||||
|
|
|||||||
3,319,412 | ||||||||
|
|
|||||||
Ireland (1.2%) |
||||||||
CRH PLC |
99,662 | 1,981,249 | ||||||
Elan Corp. PLC* |
65,674 | 911,185 | ||||||
Experian PLC |
16,243 | 220,848 | ||||||
Irish Bank Resolution Corp. Ltd.*(a)(b) |
8,839 | | ||||||
Irish Bank Resolution Corp. Ltd.*(a)(b)(c) |
143,993 | | ||||||
James Hardie Industries SE |
10,193 | 71,101 | ||||||
Kerry Group PLC, Cl A |
20,384 | 746,215 | ||||||
Ryanair Holdings PLC* |
51,193 | 240,313 | ||||||
WPP PLC |
20,829 | 218,507 | ||||||
|
|
|||||||
4,389,418 | ||||||||
|
|
|||||||
Israel (0.9%) |
||||||||
Bank Hapoalim BM |
52,298 | 170,439 | ||||||
Bank Leumi Le-Israel BM |
58,969 | 168,814 | ||||||
Bezeq Israeli Telecommunication Corp. Ltd. |
83,551 | 153,071 | ||||||
Cellcom Israel Ltd. |
2,649 | 44,298 | ||||||
Delek Group Ltd. |
232 | 43,661 | ||||||
Elbit Systems Ltd. |
1,174 | 48,211 | ||||||
Israel Chemicals Ltd. |
21,595 | 223,826 | ||||||
Israel Corp. Ltd. (The) |
114 | 71,194 | ||||||
Israel Discount Bank Ltd., Cl A* |
39,355 | 52,666 | ||||||
Mizrahi Tefahot Bank Ltd. |
6,033 | 47,697 | ||||||
NICE Systems Ltd.* |
3,077 | 104,639 | ||||||
Partner Communications Co. Ltd. |
4,130 | 36,478 | ||||||
Teva Pharmaceutical Industries Ltd. |
46,836 | 1,885,238 | ||||||
Teva Pharmaceutical Industries Ltd. SP ADR |
2,786 | 112,443 | ||||||
|
|
|||||||
3,162,675 | ||||||||
|
|
|||||||
Italy (6.7%) |
||||||||
A2A SpA |
129,105 | 121,394 | ||||||
Assicurazioni Generali SpA |
139,405 | 2,098,342 | ||||||
Atlantia SpA |
42,800 | 685,223 | ||||||
Autogrill SpA |
13,418 | 130,942 |
See Notes to Schedules of Portfolio Investments.
Banca Carige SpA(c) |
77,153 | 147,786 | ||||||
Banca Monte dei Paschi di Siena SpA |
290,740 | 94,788 | ||||||
Banco Popolare Scarl(c) |
212,605 | 275,164 | ||||||
Enel Green Power SpA |
209,666 | 437,976 | ||||||
Enel SpA |
773,851 | 3,148,895 | ||||||
Eni SpA |
282,262 | 5,848,737 | ||||||
Exor SpA |
7,502 | 150,982 | ||||||
Fiat Industrial SpA* |
89,114 | 764,100 | ||||||
Fiat SpA |
88,904 | 408,477 | ||||||
Finmeccanica SpA(c) |
47,802 | 176,818 | ||||||
Intesa Sanpaolo SpA |
1,205,719 | 2,019,290 | ||||||
Intesa Sanpaolo SpARSP |
111,753 | 139,357 | ||||||
Luxottica Group SpA |
13,833 | 388,503 | ||||||
Mediaset SpA |
84,385 | 233,502 | ||||||
Mediobanca SpA |
63,752 | 366,844 | ||||||
Parmalat SpA |
36,579 | 62,965 | ||||||
Pirelli & C SpA |
27,780 | 233,883 | ||||||
Prysmian SpA |
23,462 | 291,359 | ||||||
Saipem SpA |
31,132 | 1,323,612 | ||||||
Snam Rete Gas SpA |
189,824 | 836,785 | ||||||
Telecom Italia SpA |
1,119,811 | 1,204,381 | ||||||
Telecom Italia SpA |
716,213 | 641,456 | ||||||
Terna SpA |
142,249 | 479,412 | ||||||
UniCredit SpA(c) |
160,953 | 1,337,373 | ||||||
Unione di Banche Italiane ScpA(c) |
94,011 | 385,219 | ||||||
|
|
|||||||
24,433,565 | ||||||||
|
|
|||||||
Japan (25.8%) |
||||||||
ABC-Mart, Inc. |
1,223 | 46,508 | ||||||
ADVANTEST Corp. |
6,756 | 64,339 | ||||||
AEON Co. Ltd. |
27,505 | 377,716 | ||||||
AEON Credit Service Co. Ltd. |
3,694 | 58,359 | ||||||
AEON Mall Co. Ltd. |
3,444 | 73,113 | ||||||
Air Water, Inc. |
6,830 | 86,961 | ||||||
Aisin Seiki Co. Ltd. |
8,717 | 248,475 | ||||||
Ajinomoto Co., Inc. |
29,926 | 359,252 | ||||||
Alfresa Holdings Corp. |
1,729 | 72,893 | ||||||
All Nippon Airways Co. Ltd.(c) |
38,235 | 106,802 | ||||||
Amada Co. Ltd. |
15,807 | 100,218 | ||||||
Aozora Bank Ltd. |
25,660 | 70,676 | ||||||
Asahi Breweries Ltd. |
17,721 | 389,093 | ||||||
Asahi Glass Co. Ltd. |
46,262 | 388,271 | ||||||
Asahi Kasei Corp. |
58,287 | 351,373 | ||||||
ASICS Corp. |
6,821 | 76,921 | ||||||
Astellas Pharma, Inc. |
20,529 | 834,816 | ||||||
Bank of Kyoto Ltd. (The) |
14,469 | 124,632 | ||||||
Bank of Yokohama Ltd. (The) |
56,660 | 267,952 | ||||||
Benesse Holdings, Inc. |
3,186 | 154,188 | ||||||
Bridgestone Corp.(c) |
29,386 | 666,215 | ||||||
Brother Industries Ltd. |
10,998 | 135,028 | ||||||
Canon, Inc.(c) |
51,905 | 2,299,546 | ||||||
Casio Computer Co. Ltd. |
10,895 | 66,103 |
See Notes to Schedules of Portfolio Investments.
Central Japan Railway Co. |
69 | 582,695 | ||||||
Chiba Bank Ltd. (The) |
35,999 | 231,980 | ||||||
Chiyoda Corp. |
7,179 | 73,031 | ||||||
Chubu Electric Power Co., Inc. |
31,384 | 585,927 | ||||||
Chugai Pharmaceutical Co. Ltd. |
10,263 | 169,206 | ||||||
Chugoku Bank Ltd. (The) |
8,135 | 113,406 | ||||||
Chugoku Electric Power Co., Inc. (The) |
13,689 | 239,918 | ||||||
Chuo Mitsui Trust Holdings, Inc. |
141,910 | 416,677 | ||||||
Citizen Holdings Co. Ltd. |
11,986 | 69,608 | ||||||
Coca-Cola West Co. Ltd. |
2,785 | 48,304 | ||||||
Cosmo Oil Co. Ltd. |
27,080 | 75,642 | ||||||
Credit Saison Co. Ltd. |
6,825 | 136,819 | ||||||
Dai Nippon Printing Co. Ltd. |
25,230 | 242,565 | ||||||
Dai-ichi Life Insurance Co. Ltd. (The) |
414 | 407,169 | ||||||
Daicel Chemical Industries Ltd. |
13,771 | 83,911 | ||||||
Daido Steel Co. Ltd. |
12,950 | 81,263 | ||||||
Daihatsu Motor Co. Ltd. |
8,899 | 158,857 | ||||||
Daiichi Sankyo Co. Ltd. |
30,774 | 610,122 | ||||||
Daikin Industries Ltd. |
10,385 | 284,417 | ||||||
Dainippon Sumitomo Pharma Co. Ltd. |
7,183 | 81,843 | ||||||
Daito Trust Construction Co. Ltd. |
3,363 | 288,370 | ||||||
Daiwa House Industry Co. Ltd. |
22,232 | 265,155 | ||||||
Daiwa Securities Group, Inc. |
77,323 | 241,101 | ||||||
DeNa Co. Ltd. |
4,563 | 136,884 | ||||||
Denki Kagaku Kogyo Kabushiki Kaisha |
22,384 | 82,882 | ||||||
DENSO Corp. |
22,203 | 613,272 | ||||||
Dentsu, Inc. |
8,119 | 247,779 | ||||||
East Japan Railway Co. |
15,772 | 1,004,064 | ||||||
Eisai Co. Ltd. |
11,477 | 474,916 | ||||||
Electric Power Development Co. Ltd. |
5,420 | 144,144 | ||||||
Elpida Memory, Inc.*(c) |
8,844 | 41,135 | ||||||
FamilyMart Co. Ltd. |
2,862 | 115,640 | ||||||
FANUC Ltd. |
8,624 | 1,319,874 | ||||||
Fast Retailing Co. Ltd. |
2,354 | 428,167 | ||||||
Fuji Electric Holdings Co. Ltd. |
25,146 | 68,933 | ||||||
Fuji Heavy Industries Ltd. |
26,518 | 160,204 | ||||||
FUJIFILM Holdings Corp. |
20,993 | 497,210 | ||||||
Fujitsu Ltd. |
85,204 | 442,791 | ||||||
Fukuoka Financial Group, Inc. |
36,254 | 152,138 | ||||||
Furukawa Electric Co. Ltd. |
27,334 | 62,857 | ||||||
Gree, Inc. |
4,198 | 144,642 | ||||||
GS Yuasa Corp.(c) |
15,321 | 82,407 | ||||||
Gunma Bank Ltd. (The) |
17,490 | 96,119 | ||||||
Hachijuni Bank Ltd. (The) |
19,268 | 109,895 | ||||||
Hakuhodo DY Holdings, Inc. |
1,058 | 60,756 | ||||||
Hamamatsu Photonics K.K. |
3,120 | 109,162 | ||||||
Hino Motors Ltd. |
11,909 | 72,255 | ||||||
Hirose Electric Co. Ltd. |
1,495 | 131,106 | ||||||
Hiroshima Bank Ltd. (The) |
22,713 | 105,642 | ||||||
Hisamitsu Pharmaceutical Co., Inc. |
2,780 | 117,745 | ||||||
Hitachi Chemical Co. Ltd. |
4,786 | 84,316 |
See Notes to Schedules of Portfolio Investments.
Hitachi Construction Machinery Co. Ltd.(c) |
4,893 | 82,387 | ||||||
Hitachi High-Technologies Corp. |
2,738 | 59,406 | ||||||
Hitachi Ltd. |
204,314 | 1,072,403 | ||||||
Hitachi Metals Ltd. |
7,549 | 82,091 | ||||||
Hokkaido Electric Power Co., Inc. |
8,512 | 121,205 | ||||||
Hokuhoku Financial Group, Inc. |
58,719 | 114,432 | ||||||
Hokuriku Electric Power Co. |
8,246 | 153,950 | ||||||
Honda Motor Co. Ltd. |
75,303 | 2,297,148 | ||||||
Hoya Corp. |
19,860 | 427,802 | ||||||
Ibiden Co. Ltd. |
5,534 | 109,429 | ||||||
Idemitsu Kosan Co. Ltd. |
1,024 | 105,633 | ||||||
IHI Corp. |
60,016 | 145,810 | ||||||
Inpex Corp. |
100 | 630,116 | ||||||
Isetan Mitsukoshi Holdings Ltd. |
17,183 | 180,157 | ||||||
Isuzu Motors Ltd. |
55,565 | 256,998 | ||||||
ITOCHU Corp. |
69,719 | 708,331 | ||||||
Itochu Techno-Solutions Corp. |
1,355 | 60,823 | ||||||
Iyo Bank Ltd. (The) |
11,423 | 112,790 | ||||||
J. Front Retailing Co. Ltd. |
21,755 | 105,143 | ||||||
Japan Petroleum Exploration Co. |
1,322 | 51,698 | ||||||
Japan Prime Realty Investment Corp. REIT |
30 | 70,664 | ||||||
Japan Real Estate Investment Corp. REIT |
21 | 163,700 | ||||||
Japan Retail Fund Investment Corp. REIT |
72 | 106,639 | ||||||
Japan Steel Works Ltd. (The) |
14,640 | 101,759 | ||||||
Japan Tobacco, Inc. |
205 | 964,142 | ||||||
JFE Holdings, Inc. |
21,244 | 384,749 | ||||||
JGC Corp. |
9,708 | 233,083 | ||||||
Joyo Bank Ltd. (The) |
29,592 | 130,717 | ||||||
JS Group Corp. |
12,512 | 239,771 | ||||||
JSR Corp. |
8,257 | 152,331 | ||||||
JTEKT Corp. |
10,046 | 98,802 | ||||||
Jupiter Telecommunications Co. Ltd. |
80 | 81,071 | ||||||
JX Holdings, Inc. |
105,207 | 635,589 | ||||||
Kajima Corp. |
38,502 | 118,052 | ||||||
Kamigumi Co. Ltd. |
11,563 | 99,751 | ||||||
Kaneka Corp. |
13,076 | 69,653 | ||||||
Kansai Electric Power Co., Inc. (The) |
35,017 | 537,288 | ||||||
Kansai Paint Co. Ltd. |
10,377 | 92,621 | ||||||
Kao Corp. |
24,639 | 673,195 | ||||||
Kawasaki Heavy Industries Ltd. |
66,674 | 166,317 | ||||||
Kawasaki Kisen Kaisha Ltd. |
33,829 | 61,092 | ||||||
KDDI Corp. |
134 | 861,764 | ||||||
Keikyu Corp.(c) |
21,975 | 197,281 | ||||||
Keio Corp. |
26,210 | 184,904 | ||||||
Keisei Electric Railway Co. Ltd. |
12,824 | 94,301 | ||||||
Keyence Corp. |
1,786 | 430,663 | ||||||
Kikkoman Corp. |
7,267 | 83,461 | ||||||
Kinden Corp. |
6,098 | 51,497 | ||||||
Kintetsu Corp.(c) |
74,601 | 291,736 | ||||||
Kirin Holdings Co. Ltd. |
37,518 | 456,241 | ||||||
Kobe Steel Ltd. |
114,382 | 176,841 |
See Notes to Schedules of Portfolio Investments.
Koito Manufacturing Co. Ltd. |
4,484 | 62,917 | ||||||
Komatsu Ltd. |
43,841 | 1,024,684 | ||||||
Konami Corp. |
4,216 | 126,255 | ||||||
Konica Minolta Holdings, Inc. |
21,881 | 163,177 | ||||||
Kubota Corp. |
53,126 | 445,190 | ||||||
Kuraray Co. Ltd. |
15,602 | 221,959 | ||||||
Kurita Water Industries Ltd. |
5,231 | 135,923 | ||||||
Kyocera Corp. |
6,869 | 552,411 | ||||||
Kyowa Hakko Kirin Co. Ltd.(c) |
12,038 | 147,328 | ||||||
Kyushu Electric Power Co., Inc. |
18,861 | 270,038 | ||||||
Lawson, Inc. |
2,710 | 169,177 | ||||||
Mabuchi Motor Co. Ltd. |
1,173 | 48,843 | ||||||
Makita Corp. |
5,200 | 168,289 | ||||||
Marubeni Corp. |
76,541 | 466,386 | ||||||
Marui Group Co. Ltd. |
10,294 | 80,244 | ||||||
Maruichi Steel Tube Ltd. |
2,162 | 48,229 | ||||||
Mazda Motor Corp.* |
70,162 | 123,971 | ||||||
McDonalds Holdings Co. (Japan) Ltd. |
3,125 | 84,327 | ||||||
Medipal Holdings Corp. |
6,720 | 70,195 | ||||||
Meiji Holdings Co. Ltd. |
3,208 | 133,163 | ||||||
Minebea Co. Ltd. |
14,967 | 62,614 | ||||||
Miraca Holdings, Inc. |
2,493 | 99,273 | ||||||
Mitsubishi Chemical Holdings Corp. |
62,651 | 345,122 | ||||||
Mitsubishi Corp. |
62,463 | 1,261,920 | ||||||
Mitsubishi Electric Corp. |
87,740 | 841,264 | ||||||
Mitsubishi Estate Co. Ltd. |
57,440 | 858,205 | ||||||
Mitsubishi Gas Chemical Co., Inc. |
17,246 | 95,674 | ||||||
Mitsubishi Heavy Industries Ltd. |
140,533 | 598,867 | ||||||
Mitsubishi Logistics Corp. |
5,298 | 58,851 | ||||||
Mitsubishi Materials Corp. |
52,417 | 142,330 | ||||||
Mitsubishi Motors Corp.* |
178,041 | 210,494 | ||||||
Mitsubishi Tanabe Pharma Corp. |
10,166 | 160,870 | ||||||
Mitsubishi UFJ Financial Group, Inc. |
585,824 | 2,488,820 | ||||||
Mitsubishi UFJ Lease & Finance Co. Ltd. |
2,664 | 105,563 | ||||||
Mitsui & Co. Ltd. |
81,269 | 1,263,856 | ||||||
Mitsui Chemicals, Inc. |
37,183 | 113,525 | ||||||
Mitsui Engineering & Shipbuilding Co. Ltd. |
33,576 | 52,347 | ||||||
Mitsui Fudosan Co. Ltd. |
38,194 | 556,758 | ||||||
Mitsui O.S.K. Lines Ltd. |
52,908 | 204,841 | ||||||
Mizuho Financial Group, Inc. |
969,013 | 1,309,307 | ||||||
MS&AD Insurance Group Holdings, Inc. |
25,972 | 481,175 | ||||||
Murata Manufacturing Co. Ltd. |
9,386 | 482,287 | ||||||
Nabtesco Corp. |
4,254 | 77,541 | ||||||
Namco Bandai Holdings, Inc. |
9,003 | 128,197 | ||||||
NEC Corp.* |
122,648 | 248,579 | ||||||
NGK Insulators Ltd. |
11,762 | 139,671 | ||||||
NGK Spark Plug Co. Ltd. |
7,568 | 93,899 | ||||||
NHK Spring Co. Ltd. |
6,813 | 60,367 | ||||||
Nidec Corp. |
4,939 | 429,283 | ||||||
Nikon Corp. |
15,432 | 343,646 | ||||||
Nintendo Co. Ltd. |
4,751 | 654,289 |
See Notes to Schedules of Portfolio Investments.
Nippon Building Fund, Inc. REIT |
25 | 204,625 | ||||||
Nippon Electric Glass Co. Ltd. |
17,541 | 173,655 | ||||||
Nippon Express Co. Ltd. |
39,069 | 152,276 | ||||||
Nippon Meat Packers, Inc. |
8,001 | 99,376 | ||||||
Nippon Paper Group, Inc. |
4,520 | 98,657 | ||||||
Nippon Sheet Glass Co. Ltd. |
41,197 | 77,074 | ||||||
Nippon Steel Corp. |
235,450 | 587,325 | ||||||
Nippon Telegraph & Telephone Corp. |
21,984 | 1,123,906 | ||||||
Nippon Yusen Kabushiki Kaisha |
69,966 | 179,074 | ||||||
Nishi-Nippon City Bank Ltd. (The) |
31,627 | 90,809 | ||||||
Nissan Motor Co. Ltd. |
114,018 | 1,025,081 | ||||||
Nisshin Seifun Group, Inc. |
8,238 | 99,858 | ||||||
Nisshin Steel Co. Ltd. |
32,288 | 49,500 | ||||||
Nissin Foods Holdings Co. Ltd. |
2,607 | 102,119 | ||||||
Nitori Holdings Co. Ltd. |
1,712 | 160,590 | ||||||
Nitto Denko Corp. |
7,646 | 273,575 | ||||||
NKSJ Holdings, Inc. |
16,800 | 329,583 | ||||||
NOK Corp. |
4,740 | 81,474 | ||||||
Nomura Holdings, Inc. |
163,784 | 495,799 | ||||||
Nomura Real Estate Holdings, Inc. |
4,259 | 63,412 | ||||||
Nomura Real Estate Office Fund, Inc. REIT |
12 | 61,660 | ||||||
Nomura Research Institute Ltd. |
4,608 | 104,169 | ||||||
NSK Ltd. |
19,323 | 125,523 | ||||||
NTN Corp. |
21,962 | 88,453 | ||||||
NTT Data Corp. |
58 | 185,220 | ||||||
NTT DoCoMo, Inc. |
707 | 1,299,734 | ||||||
NTT Urban Development Corp. |
53 | 36,150 | ||||||
Obayashi Corp. |
29,583 | 131,446 | ||||||
Odakyu Electric Railway Co. Ltd. |
28,207 | 272,652 | ||||||
OJI Paper Co. Ltd. |
38,651 | 198,352 | ||||||
Olympus Corp. |
9,684 | 127,325 | ||||||
Omron Corp. |
9,300 | 186,918 | ||||||
Ono Pharmaceutical Co. Ltd. |
3,855 | 216,365 | ||||||
Oracle Corp. (Japan) |
1,685 | 55,758 | ||||||
Oriental Land Co. Ltd. |
2,238 | 236,390 | ||||||
ORIX Corp. |
4,840 | 399,927 | ||||||
Osaka Gas Co. Ltd. |
88,408 | 349,175 | ||||||
Otsuka Corp. |
742 | 51,093 | ||||||
Otsuka Holdings Co. Ltd. |
11,495 | 323,180 | ||||||
Panasonic Corp. |
101,644 | 863,650 | ||||||
Rakuten, Inc. |
333 | 358,223 | ||||||
Resona Holdings, Inc. |
86,839 | 382,466 | ||||||
Ricoh Co. Ltd. |
31,418 | 273,892 | ||||||
Rinnai Corp. |
1,500 | 107,380 | ||||||
Rohm Co. Ltd. |
4,487 | 209,281 | ||||||
Sankyo Co. Ltd. |
2,448 | 123,879 | ||||||
Santen Pharmaceutical Co. Ltd. |
3,465 | 142,706 | ||||||
SBI Holdings, Inc. |
928 | 67,999 | ||||||
Secom Co. Ltd. |
9,666 | 445,814 | ||||||
Sega Sammy Holdings, Inc. |
9,930 | 214,546 | ||||||
Seiko Epson Corp. |
5,956 | 79,161 |
See Notes to Schedules of Portfolio Investments.
Sekisui Chemical Co. Ltd. |
19,187 | 158,292 | ||||||
Sekisui House Ltd. |
25,975 | 230,491 | ||||||
Seven & I Holdings Co. Ltd. |
34,458 | 960,276 | ||||||
Seven Bank Ltd. |
24,000 | 47,083 | ||||||
Sharp Corp. |
45,876 | 401,124 | ||||||
Shikoku Electric Power Co., Inc. |
8,645 | 247,770 | ||||||
Shimadzu Corp. |
10,922 | 92,518 | ||||||
Shimamura Co. Ltd. |
1,030 | 105,315 | ||||||
Shimano, Inc. |
3,462 | 168,220 | ||||||
Shimizu Corp. |
26,779 | 112,376 | ||||||
Shin-Etsu Chemical Co. Ltd. |
18,864 | 928,863 | ||||||
Shinsei Bank Ltd. |
64,015 | 66,535 | ||||||
Shionogi & Co. Ltd. |
13,853 | 177,999 | ||||||
Shiseido Co. Ltd. |
16,403 | 301,549 | ||||||
Shizuoka Bank Ltd. (The) |
27,227 | 286,879 | ||||||
Showa Denko Kabushiki Kaisha |
67,496 | 136,798 | ||||||
Showa Shell Sekiyu Kabushiki Kaisha |
8,669 | 58,454 | ||||||
SMC Corp. |
2,415 | 389,688 | ||||||
Softbank Corp. |
40,345 | 1,188,283 | ||||||
Sojitz Corp.(c) |
58,690 | 90,738 | ||||||
Sony Corp. |
46,395 | 833,024 | ||||||
Sony Financial Holdings, Inc. |
8,201 | 120,825 | ||||||
Square Enix Holdings Co. Ltd. |
2,879 | 56,518 | ||||||
Stanley Electric Co. Ltd. |
6,690 | 98,303 | ||||||
Sumco Corp.* |
5,301 | 39,188 | ||||||
Sumitomo Chemical Co. Ltd. |
72,076 | 263,133 | ||||||
Sumitomo Corp. |
52,068 | 704,883 | ||||||
Sumitomo Electric Industries Ltd. |
34,185 | 372,184 | ||||||
Sumitomo Heavy Industries Ltd. |
24,687 | 144,010 | ||||||
Sumitomo Metal Industries Ltd. |
156,088 | 283,907 | ||||||
Sumitomo Metal Mining Co. Ltd. |
23,703 | 304,564 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
62,216 | 1,733,027 | ||||||
Sumitomo Realty & Development Co. Ltd. |
15,736 | 275,590 | ||||||
Sumitomo Rubber Industries Ltd. |
7,868 | 94,453 | ||||||
Suruga Bank Ltd. |
8,451 | 75,649 | ||||||
Suzuken Co. Ltd. |
3,364 | 93,267 | ||||||
Suzuki Motor Corp. |
15,699 | 324,708 | ||||||
Sysmex Corp. |
3,332 | 108,570 | ||||||
T&D Holdings, Inc. |
26,700 | 248,719 | ||||||
Taisei Corp. |
47,704 | 120,856 | ||||||
Taisho Pharmaceutical Holdings Co. Ltd.* |
1,600 | 123,477 | ||||||
Taiyo Nippon Sanso Corp. |
12,064 | 84,167 | ||||||
Takashimaya Co. Ltd. |
12,513 | 90,551 | ||||||
Takeda Pharmaceutical Co. Ltd. |
36,278 | 1,593,084 | ||||||
TDK Corp. |
5,768 | 255,540 | ||||||
Teijin Ltd. |
42,202 | 129,945 | ||||||
Terumo Corp. |
7,655 | 360,522 | ||||||
THK Co. Ltd. |
5,448 | 107,375 | ||||||
Tobu Railway Co. Ltd.(c) |
45,830 | 234,003 | ||||||
Toho Co. Ltd. |
5,241 | 93,422 | ||||||
Toho Gas Co. Ltd. |
17,843 | 113,591 |
See Notes to Schedules of Portfolio Investments.
Tohoku Electric Power Co., Inc. |
21,513 | 206,549 | ||||||
Tokio Marine Holdings, Inc. |
33,215 | 735,762 | ||||||
Tokyo Electric Power Co., Inc. (The)* |
69,059 | 164,191 | ||||||
Tokyo Electron Ltd. |
7,885 | 401,062 | ||||||
Tokyo Gas Co. Ltd. |
115,103 | 529,381 | ||||||
Tokyu Corp. |
51,940 | 255,752 | ||||||
Tokyu Land Corp. |
18,984 | 71,773 | ||||||
TonenGeneral Sekiyu Kabushiki Kaisha |
13,223 | 144,479 | ||||||
Toppan Printing Co. Ltd. |
25,351 | 186,419 | ||||||
Toray Industries, Inc. |
67,003 | 479,650 | ||||||
Toshiba Corp. |
185,922 | 760,886 | ||||||
Tosoh Corp. |
22,787 | 60,986 | ||||||
TOTO Ltd. |
13,861 | 106,969 | ||||||
Toyo Seikan Kaisha Ltd. |
7,173 | 97,852 | ||||||
Toyo Suisan Kaisha Ltd. |
4,080 | 98,859 | ||||||
Toyoda Gosei Co. Ltd. |
2,928 | 46,676 | ||||||
Toyota Boshoku Corp. |
2,977 | 31,058 | ||||||
Toyota Industries Corp. |
8,206 | 223,354 | ||||||
Toyota Motor Corp. |
127,309 | 4,242,531 | ||||||
Toyota Tsusho Corp. |
9,675 | 171,075 | ||||||
Trend Micro, Inc. |
4,719 | 141,073 | ||||||
Tsumura & Co. |
2,680 | 79,039 | ||||||
Ube Industries Ltd. |
46,321 | 126,981 | ||||||
Uni-Charm Corp. |
5,252 | 258,949 | ||||||
Ushio, Inc. |
4,750 | 68,624 | ||||||
USS Co. Ltd. |
1,004 | 90,787 | ||||||
West Japan Railway Co. |
7,800 | 338,976 | ||||||
Yahoo Japan Corp. |
667 | 214,823 | ||||||
Yakult Honsha Co. Ltd. |
4,410 | 138,941 | ||||||
Yamada Denki Co. Ltd. |
3,699 | 251,822 | ||||||
Yamaguchi Financial Group, Inc. |
9,991 | 95,406 | ||||||
Yamaha Corp. |
7,211 | 66,142 | ||||||
Yamaha Motor Co. Ltd. |
12,618 | 159,672 | ||||||
Yamato Holdings Co. Ltd. |
18,493 | 311,620 | ||||||
Yamato Kogyo Co. Ltd. |
1,865 | 53,549 | ||||||
Yamazaki Baking Co. Ltd. |
5,602 | 73,582 | ||||||
Yaskawa Electric Corp. |
10,063 | 85,634 | ||||||
Yokogawa Electric Corp.* |
9,582 | 86,521 | ||||||
|
|
|||||||
93,887,905 | ||||||||
|
|
|||||||
Jersey (0.2%) |
||||||||
Petrofac Ltd. |
4,293 | 96,072 | ||||||
Randgold Resources Ltd. |
1,510 | 154,420 | ||||||
Shire PLC |
9,431 | 328,517 | ||||||
|
|
|||||||
579,009 | ||||||||
|
|
|||||||
Luxembourg (0.6%) |
||||||||
ArcelorMittal |
34,698 | 634,548 | ||||||
Millicom International Cellular SA |
1,716 | 171,923 | ||||||
SES |
12,134 | 291,239 | ||||||
Tenaris SA |
55,946 | 1,033,988 | ||||||
|
|
|||||||
2,131,698 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Mauritius (0.0%)(d) |
| |||||||
Essar Energy PLC* |
5,378 | 14,315 | ||||||
Golden Agri-Resources Ltd. |
140,525 | 77,465 | ||||||
|
|
|||||||
91,780 | ||||||||
|
|
|||||||
Netherlands (3.3%) |
||||||||
Aegon NV* |
85,347 | 342,538 | ||||||
Akzo Nobel NV |
11,451 | 553,692 | ||||||
ASML Holding NV |
21,349 | 897,315 | ||||||
Corio NV REIT |
2,939 | 127,827 | ||||||
Delta Lloyd NV |
4,966 | 83,554 | ||||||
Fugro NV |
3,317 | 192,735 | ||||||
Heineken Holding NV |
5,757 | 235,601 | ||||||
Heineken NV |
12,920 | 598,136 | ||||||
ING Groep NV* |
189,747 | 1,365,426 | ||||||
Koninklijke Ahold NV |
59,918 | 806,896 | ||||||
Koninklijke Boskalis Westminster NV |
3,497 | 128,493 | ||||||
Koninklijke DSM NV |
7,624 | 353,745 | ||||||
Koninklijke KPN NV |
78,105 | 934,553 | ||||||
Koninklijke Philips Electronics NV |
49,414 | 1,041,173 | ||||||
Koninklijke Vopak NV |
3,494 | 184,615 | ||||||
QIAGEN NV* |
14,357 | 197,894 | ||||||
Randstad Holding NV |
5,837 | 172,697 | ||||||
Reed Elsevier NV |
33,895 | 395,125 | ||||||
SBM Offshore NV |
7,991 | 164,650 | ||||||
TNT Express NV* |
18,055 | 134,925 | ||||||
TNT NV |
18,356 | 58,443 | ||||||
Unilever NV |
80,960 | 2,784,071 | ||||||
Wolters Kluwer NV |
14,875 | 257,110 | ||||||
|
|
|||||||
12,011,214 | ||||||||
|
|
|||||||
New Zealand (0.7%) |
||||||||
Auckland International Airport Ltd. |
174,238 | 341,779 | ||||||
Chorus Ltd.* |
78,083 | 189,633 | ||||||
Contact Energy Ltd.* |
66,546 | 272,983 | ||||||
Fletcher Building Ltd. |
135,805 | 649,063 | ||||||
Sky City Entertainment Group Ltd. |
109,173 | 292,332 | ||||||
Telecom Corp. of New Zealand Ltd. |
389,344 | 627,345 | ||||||
|
|
|||||||
2,373,135 | ||||||||
|
|
|||||||
Norway (1.7%) |
||||||||
Aker Solutions ASA |
12,083 | 127,177 | ||||||
DnB NOR ASA |
71,766 | 702,559 | ||||||
Gjensidige Forsikring ASA |
14,665 | 169,923 | ||||||
Kvaerner ASA* |
12,083 | 19,698 | ||||||
Norsk Hydro ASA |
68,219 | 316,409 | ||||||
Orkla ASA |
56,329 | 420,524 | ||||||
Renewable Energy Corp. ASA*(c) |
37,370 | 20,744 | ||||||
Seadrill Ltd. |
22,558 | 754,341 | ||||||
StatoilHydro ASA |
84,788 | 2,176,105 | ||||||
Telenor ASA |
57,916 | 949,958 |
See Notes to Schedules of Portfolio Investments.
Yara International ASA |
14,286 | 573,270 | ||||||
|
|
|||||||
6,230,708 | ||||||||
|
|
|||||||
Portugal (0.8%) |
||||||||
Banco Comercial Portugues SA*(c) |
435,716 | 76,694 | ||||||
Banco Espirito Santo SA(c) |
71,753 | 125,370 | ||||||
CIMPOR-Cimentos de Portugal SGPS SA |
26,560 | 182,773 | ||||||
EDPEnergias de Portugal SA |
260,917 | 807,421 | ||||||
Galp Energia SGPS SA |
32,395 | 477,132 | ||||||
Jeronimo Martins SGPS SA* |
29,815 | 493,542 | ||||||
Portugal Telecom SGPS SA(c) |
95,509 | 550,076 | ||||||
|
|
|||||||
2,713,008 | ||||||||
|
|
|||||||
Singapore (0.8%) |
||||||||
Ascendas REIT |
36,653 | 51,714 | ||||||
CapitaLand Ltd. |
53,395 | 90,978 | ||||||
CapitaMall Trust REIT |
39,901 | 52,297 | ||||||
CapitaMalls Asia Ltd. |
27,618 | 24,061 | ||||||
City Developments Ltd. |
10,673 | 73,235 | ||||||
ComfortDelGro Corp. Ltd. |
39,404 | 42,987 | ||||||
Cosco Corp. (Singapore) Ltd.(c) |
21,348 | 14,402 | ||||||
DBS Group Holdings Ltd. |
36,475 | 323,960 | ||||||
Fraser and Neave Ltd. |
18,484 | 88,355 | ||||||
Genting Singapore PLC* |
126,031 | 146,723 | ||||||
Global Logistic Properties Ltd.* |
38,512 | 52,109 | ||||||
Jardine Cycle & Carriage Ltd. |
2,240 | 83,103 | ||||||
Keppel Corp. Ltd. |
29,216 | 209,482 | ||||||
Keppel Land Ltd. |
14,331 | 24,529 | ||||||
Neptune Orient Lines Ltd. |
18,505 | 16,050 | ||||||
Olam International Ltd. |
27,369 | 44,945 | ||||||
Oversea-Chinese Banking Corp. Ltd. |
53,697 | 324,157 | ||||||
SembCorp Industries Ltd. |
20,678 | 64,566 | ||||||
SembCorp Marine Ltd. |
16,764 | 49,372 | ||||||
Singapore Airlines Ltd. |
11,241 | 88,053 | ||||||
Singapore Exchange Ltd. |
17,207 | 81,322 | ||||||
Singapore Press Holdings Ltd. |
32,433 | 92,269 | ||||||
Singapore Technologies Engineering Ltd. |
32,124 | 66,623 | ||||||
Singapore Telecommunications Ltd. |
166,345 | 396,289 | ||||||
StarHub Ltd. |
12,593 | 28,253 | ||||||
United Overseas Bank Ltd. |
25,857 | 304,411 | ||||||
UOL Group Ltd. |
9,866 | 30,426 | ||||||
Wilmar International Ltd. |
39,895 | 153,791 | ||||||
Yangzijiang Shipbuilding Holdings Ltd. |
39,380 | 27,629 | ||||||
|
|
|||||||
3,046,091 | ||||||||
|
|
|||||||
Spain (5.4%) |
||||||||
Abertis Infraestructuras SA |
24,005 | 383,385 | ||||||
Acciona SA |
1,631 | 140,862 | ||||||
Acerinox SA(c) |
6,481 | 83,125 | ||||||
Actividades de Construccion y Servicios SA(c) |
9,108 | 269,946 | ||||||
Amadeus IT Holding SA, Cl A |
15,862 | 257,336 | ||||||
Banco Bilbao Vizcaya Argentaria SA |
277,716 | 2,401,020 | ||||||
Banco de Sabadell SA(c) |
72,654 | 275,891 |
See Notes to Schedules of Portfolio Investments.
Banco Popular Espanol SA(c) |
62,642 | 285,382 | ||||||
Banco Santander SA |
549,212 | 4,172,501 | ||||||
Bankinter SA(c) |
13,615 | 83,701 | ||||||
Criteria Caixacorp SA |
54,976 | 270,025 | ||||||
Distribuidora Internacional de Alimentacion SA* |
23,627 | 106,875 | ||||||
EDP Renovaveis SA* |
29,144 | 178,338 | ||||||
Enagas |
11,548 | 213,578 | ||||||
Ferrovial SA |
23,705 | 286,093 | ||||||
Fomento de Construcciones y Contratas SA(c) |
3,321 | 86,136 | ||||||
Gas Natural SDG SA(c) |
20,641 | 354,370 | ||||||
Grifols SA* |
9,000 | 151,427 | ||||||
Iberdrola SA |
261,927 | 1,640,417 | ||||||
Inditex SA |
14,196 | 1,162,655 | ||||||
Indra Sistemas SA(c) |
6,436 | 81,940 | ||||||
Mapfre SA |
48,534 | 154,211 | ||||||
Mediaset Espana Comunication SA |
10,818 | 61,745 | ||||||
Red Electrica Corporacion SA(c) |
6,963 | 297,977 | ||||||
Repsol YPF SA(c) |
51,265 | 1,574,811 | ||||||
Telefonica SA |
266,646 | 4,619,253 | ||||||
Zardoya Otis SA |
9,131 | 125,269 | ||||||
|
|
|||||||
19,718,269 | ||||||||
|
|
|||||||
Sweden (1.7%) |
||||||||
Alfa Laval AB |
7,568 | 143,397 | ||||||
Assa Abloy AB, Cl B |
6,962 | 174,605 | ||||||
Atlas Copco AB, Cl A |
14,966 | 321,847 | ||||||
Atlas Copco AB, Cl B |
8,691 | 165,181 | ||||||
Boliden AB |
6,253 | 91,314 | ||||||
Electrolux AB, Cl B |
5,502 | 87,702 | ||||||
Getinge AB |
4,466 | 113,174 | ||||||
Hennes & Mauritz AB, Cl B |
23,182 | 745,443 | ||||||
Hexagon AB, Cl B |
5,699 | 85,211 | ||||||
Holmen AB |
1,180 | 33,898 | ||||||
Husqvarna AB, Cl B |
10,044 | 46,279 | ||||||
Industrivarden AB, C SHS |
2,638 | 31,470 | ||||||
Investor AB, Cl B |
10,203 | 190,360 | ||||||
Kinnevik Investment AB, Cl B |
4,652 | 90,647 | ||||||
Modern Times Group AB, Cl B |
1,086 | 51,885 | ||||||
Nordea Bank AB |
59,612 | 461,249 | ||||||
Ratos AB, B Shares |
4,328 | 50,782 | ||||||
Sandvik AB |
22,710 | 278,676 | ||||||
Scania AB |
7,154 | 106,031 | ||||||
Securitas AB, Cl B |
7,060 | 60,936 | ||||||
Skandinaviska Enskilda Banken AB, Cl A |
31,871 | 185,658 | ||||||
Skanska AB, Cl B |
9,013 | 149,299 | ||||||
SKF AB, Cl B |
8,748 | 185,077 | ||||||
SSAB AB, A Shares |
3,556 | 31,338 | ||||||
Svenska Cellulosa AB, Cl B |
13,055 | 193,490 | ||||||
Svenska Handelsbanken AB, Cl A |
11,116 | 292,354 | ||||||
Swedbank AB, Cl A |
18,255 | 236,475 | ||||||
Swedish Match AB |
5,013 | 177,952 | ||||||
Tele2 AB, Cl B |
7,144 | 138,997 |
See Notes to Schedules of Portfolio Investments.
Telefonaktiebolaget LM Ericsson, Cl B |
66,926 | 684,620 | ||||||
TeliaSonera AB |
48,973 | 332,818 | ||||||
Volvo AB, Cl B |
30,825 | 337,272 | ||||||
|
|
|||||||
6,275,437 | ||||||||
|
|
|||||||
Switzerland (2.4%) |
||||||||
ABB Ltd.* |
21,393 | 402,670 | ||||||
Actelion Ltd.* |
1,090 | 37,424 | ||||||
Adecco SA* |
1,299 | 54,419 | ||||||
Aryzta AG |
844 | 40,794 | ||||||
Baloise Holding AG |
470 | 32,224 | ||||||
Compagnie Financiere Richemont SA, Cl A |
5,160 | 260,994 | ||||||
Credit Suisse Group AG* |
11,231 | 263,886 | ||||||
GAM Holding AG* |
2,109 | 22,902 | ||||||
Geberit AG* |
385 | 74,188 | ||||||
Givaudan SA* |
84 | 80,038 | ||||||
Glencore International PLC |
13,803 | 84,029 | ||||||
Holcim Ltd.* |
2,424 | 129,677 | ||||||
Julius Baer Group Ltd.* |
2,056 | 80,419 | ||||||
Kuehne + Nagel International AG |
531 | 59,641 | ||||||
Lindt & Spruengli AG PC |
9 | 26,771 | ||||||
Lindt & Spruengli AG RS |
1 | 33,419 | ||||||
Lonza Group AG* |
498 | 29,425 | ||||||
Nestle SA |
34,510 | 1,983,967 | ||||||
Novartis AG |
23,223 | 1,327,664 | ||||||
Pargesa Holding SA |
266 | 17,416 | ||||||
Roche Holding AG |
7,007 | 1,187,602 | ||||||
Schindler Holding AG PC |
476 | 55,440 | ||||||
Schindler Holding AG RS |
211 | 24,508 | ||||||
SGS SA |
54 | 89,396 | ||||||
Sika AG |
21 | 39,572 | ||||||
Sonova Holding AG* |
489 | 51,149 | ||||||
STMicroelectronics NV |
25,965 | 154,282 | ||||||
Straumann Holding AG |
78 | 13,461 | ||||||
Sulzer AG |
237 | 25,332 | ||||||
Swatch Group AG (The) BS |
307 | 114,884 | ||||||
Swatch Group AG (The) RS |
432 | 28,791 | ||||||
Swiss Life Holding AG* |
300 | 27,595 | ||||||
Swiss Re Ltd.* |
3,477 | 177,200 | ||||||
Swisscom AG |
233 | 88,284 | ||||||
Syngenta AG* |
921 | 269,642 | ||||||
Synthes, Inc.(e) |
645 | 108,152 | ||||||
Transocean Ltd. |
3,100 | 119,703 | ||||||
UBS AG* |
35,887 | 427,144 | ||||||
Xstrata PLC |
34,198 | 519,411 | ||||||
Zurich Financial Services AG* |
1,436 | 324,870 | ||||||
|
|
|||||||
8,888,385 | ||||||||
|
|
|||||||
United Kingdom (9.7%) |
||||||||
3i Group PLC |
16,376 | 46,032 | ||||||
Admiral Group PLC |
3,357 | 44,418 | ||||||
Aggreko PLC |
4,399 | 137,794 |
See Notes to Schedules of Portfolio Investments.
AMEC PLC |
5,458 | 76,922 | ||||||
Anglo American PLC |
21,619 | 798,733 | ||||||
Antofagasta PLC |
6,440 | 121,516 | ||||||
ARM Holdings PLC |
22,484 | 206,713 | ||||||
Associated British Foods PLC |
5,949 | 102,273 | ||||||
AstraZeneca PLC |
23,183 | 1,071,095 | ||||||
Aviva PLC |
46,447 | 216,974 | ||||||
Babcock International Group PLC |
5,962 | 68,100 | ||||||
BAE Systems PLC |
57,095 | 252,794 | ||||||
Balfour Beatty PLC |
11,196 | 46,042 | ||||||
Barclays PLC |
196,015 | 535,916 | ||||||
BG Group PLC |
55,893 | 1,194,827 | ||||||
BHP Billiton PLC |
36,051 | 1,051,160 | ||||||
BP PLC |
310,404 | 2,219,874 | ||||||
British American Tobacco PLC |
33,076 | 1,569,520 | ||||||
British Land Co. PLC (The) REIT |
14,054 | 100,945 | ||||||
British Sky Broadcasting Group PLC |
19,004 | 216,184 | ||||||
BT Group PLC |
129,008 | 382,467 | ||||||
Bunzl PLC |
5,471 | 75,109 | ||||||
Burberry Group PLC |
7,128 | 131,177 | ||||||
Cairn Energy PLC* |
23,268 | 95,867 | ||||||
Capita Group PLC |
10,356 | 101,081 | ||||||
Capital Shopping Centres Group PLC REIT |
9,252 | 44,872 | ||||||
Carnival PLC |
3,051 | 100,734 | ||||||
Centrica PLC |
84,935 | 381,598 | ||||||
Cobham PLC |
19,162 | 54,577 | ||||||
Compass Group PLC |
30,904 | 293,243 | ||||||
Diageo PLC |
41,144 | 898,706 | ||||||
Eurasian Natural Resources Corp. |
4,317 | 42,606 | ||||||
Fresnillo PLC |
2,950 | 69,957 | ||||||
G4S PLC |
23,657 | 99,857 | ||||||
GlaxoSmithKline PLC |
86,741 | 1,982,240 | ||||||
Hammerson PLC REIT |
11,715 | 65,496 | ||||||
Home Retail Group PLC |
15,785 | 20,445 | ||||||
HSBC Holdings PLC |
293,794 | 2,240,475 | ||||||
ICAP PLC |
9,354 | 50,393 | ||||||
Imperial Tobacco Group PLC |
17,271 | 653,112 | ||||||
Inmarsat PLC |
7,777 | 48,878 | ||||||
InterContinental Hotels Group PLC |
4,799 | 86,229 | ||||||
International Consolidated Airlines Group SA* |
60,729 | 136,761 | ||||||
International Power PLC |
25,238 | 132,164 | ||||||
Intertek Group PLC |
2,661 | 84,097 | ||||||
Invensys PLC |
13,505 | 44,254 | ||||||
Investec PLC |
8,040 | 42,328 | ||||||
ITV PLC |
62,227 | 65,859 | ||||||
J Sainsbury PLC |
20,528 | 96,564 | ||||||
Johnson Matthey PLC |
3,538 | 100,879 | ||||||
Kazakhmys PLC |
3,542 | 50,992 | ||||||
Kingfisher PLC |
39,561 | 154,026 | ||||||
Land Securities Group PLC REIT |
12,699 | 125,330 | ||||||
Legal & General Group PLC |
97,050 | 154,939 |
See Notes to Schedules of Portfolio Investments.
Lloyds Banking Group PLC* |
695,671 | 279,872 | ||||||
London Stock Exchange Group PLC |
2,496 | 30,817 | ||||||
Lonmin PLC |
2,694 | 41,001 | ||||||
Man Group PLC |
31,645 | 61,775 | ||||||
Marks & Spencer Group PLC |
26,802 | 129,449 | ||||||
National Grid PLC |
58,151 | 564,428 | ||||||
Next PLC |
3,020 | 128,367 | ||||||
Old Mutual PLC |
89,922 | 189,224 | ||||||
Pearson PLC |
13,323 | 250,357 | ||||||
Prudential PLC |
42,026 | 416,726 | ||||||
Reckitt Benckiser Group PLC |
10,222 | 504,818 | ||||||
Reed Elsevier PLC |
20,281 | 163,466 | ||||||
Rexam PLC |
14,565 | 79,801 | ||||||
Rio Tinto PLC |
23,913 | 1,160,528 | ||||||
Rolls-Royce Holdings PLC* |
31,193 | 361,625 | ||||||
Royal Bank of Scotland Group PLC (The)* |
295,941 | 92,747 | ||||||
Royal Dutch Shell PLC, Cl A |
59,013 | 2,172,955 | ||||||
Royal Dutch Shell PLC, Cl B |
44,536 | 1,697,295 | ||||||
RSA Insurance Group PLC |
58,303 | 95,253 | ||||||
SABMiller PLC |
15,722 | 553,395 | ||||||
Sage Group PLC (The) |
21,779 | 99,507 | ||||||
Schroders PLC |
1,909 | 38,956 | ||||||
Scottish & Southern Energy PLC |
15,299 | 306,733 | ||||||
Segro PLC |
12,314 | 39,873 | ||||||
Serco Group PLC |
8,303 | 61,120 | ||||||
Severn Trent PLC |
3,930 | 91,305 | ||||||
Smith & Nephew PLC |
14,857 | 144,321 | ||||||
Smiths Group PLC |
6,650 | 94,496 | ||||||
Standard Chartered PLC |
39,134 | 856,321 | ||||||
Standard Life PLC |
37,936 | 121,541 | ||||||
Subsea 7 SA* |
20,575 | 381,856 | ||||||
Tesco PLC |
134,433 | 842,301 | ||||||
TUI Travel PLC |
8,590 | 22,118 | ||||||
Tullow Oil PLC |
14,605 | 317,996 | ||||||
Unilever PLC |
21,472 | 721,274 | ||||||
United Utilities Group PLC |
11,263 | 105,998 | ||||||
Vedanta Resources PLC |
1,982 | 31,242 | ||||||
Vodafone Group PLC |
867,837 | 2,411,126 | ||||||
Weir Group PLC (The) |
3,364 | 106,158 | ||||||
Whitbread PLC |
2,928 | 71,118 | ||||||
WM Morrison Supermarkets PLC |
37,666 | 190,812 | ||||||
Wolseley PLC |
4,605 | 152,471 | ||||||
|
|
|||||||
35,367,686 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $266,126,410) |
|
345,098,500 | ||||||
|
|
|||||||
Preferred Stocks (1.0%) |
||||||||
Germany (1.0%) |
||||||||
Bayerische Motoren Werke AG, 3.44% |
3,180 | 150,430 | ||||||
Fresenius Medical Care AG, 1.38% |
11,902 | 808,719 | ||||||
Henkel AG & Co. KGaA, 1.56% |
10,837 | 625,410 | ||||||
Porsche Automobil Holding SE, 1.19% |
9,263 | 495,730 |
See Notes to Schedules of Portfolio Investments.
ProSiebenSat.1 Media AG, 7.69% |
4,656 | 85,057 | ||||||
RWE AG, 12.94% |
2,394 | 78,809 | ||||||
Volkswagen AG, 1.84% |
8,670 | 1,298,848 | ||||||
|
|
|||||||
3,543,003 | ||||||||
|
|
|||||||
Total Preferred Stocks (Cost $1,906,922) |
3,543,003 | |||||||
|
|
|||||||
RightsForeign (0.0%)(d) |
||||||||
Austria (0.0%) |
||||||||
IMMOEAST AG*(a)(b)(f) |
175,419 | | ||||||
|
|
|||||||
Total RightsForeign (Cost $) |
| |||||||
|
|
|||||||
Exchange Traded Funds (3.3%) |
||||||||
iShares MSCI Australia Index Fund(c) |
18,473 | 396,061 | ||||||
iShares MSCI Austria Investable Market Index Fund(c) |
8,995 | 127,909 | ||||||
iShares MSCI Belgium Investable Market Index Fund |
10,909 | 115,527 | ||||||
iShares MSCI EAFE Index Fund |
73,908 | 3,660,663 | ||||||
iShares MSCI EMU Index Fund(c) |
102,599 | 2,862,512 | ||||||
iShares MSCI Germany Index Fund |
27,028 | 519,478 | ||||||
iShares MSCI Italy Index Fund(c) |
47,309 | 567,235 | ||||||
iShares MSCI Japan Index Fund(c) |
286,859 | 2,613,286 | ||||||
iShares MSCI Netherlands Investable Market Index Fund |
4,299 | 74,072 | ||||||
iShares MSCI Singapore Index Fund |
5,728 | 62,034 | ||||||
iShares MSCI Spain Index Fund(c) |
8,348 | 252,694 | ||||||
iShares MSCI Sweden Index Fund |
5,202 | 130,778 | ||||||
iShares MSCI United Kingdom Index Fund(c) |
29,870 | 482,699 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Cost $12,427,175) |
11,864,948 | |||||||
|
|
|||||||
Units (0.0%)(d) |
||||||||
Singapore (0.0%) |
||||||||
Hutchison Port Holdings Trust |
112,590 | 69,806 | ||||||
|
|
|||||||
Total Units (Cost $93,610) |
69,806 | |||||||
|
|
|||||||
Short-Term Investment (3.9%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(g) |
14,307,075 | 14,307,075 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $14,307,075) |
14,307,075 | |||||||
|
|
|||||||
Money Market Fund (0.1%) |
||||||||
United States (0.1%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(h) |
548,112 | 548,112 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $548,112) |
548,112 | |||||||
|
|
|||||||
Total Investments (Cost $295,409,304) 103.0% |
375,431,444 | |||||||
|
|
|||||||
Liabilities in excess of other assets (3.0)% |
(10,862,602 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 364,568,842 | ||||||
|
|
* | Non-income producing security. |
(a) | The Funds adviser/subadviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees (See Notes to Schedules of Portfolio Investments). |
(b) | Valued at fair value using procedures approved by the Board of Trustees (See Notes to Schedules of Portfolio Investments). |
See Notes to Schedules of Portfolio Investments.
(c) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $13,494,113. |
(d) | Less than 0.05% of Net Assets. |
(e) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent less than 0.05% of net assets as of December 31, 2011. |
(f) | Escrowed rights that are not tradable. |
(g) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(h) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
BS | Bearer Shares | |
PC | Participation Certificate | |
PPS | Partially Protected Shares | |
REIT | Real Estate Investment Trust | |
RS | Registered Shares | |
RSP | Retirement Savings Plan | |
SP ADR | Sponsored American Depositary Receipt |
The investment concentrations for the International Equity Index Fund as a percentage of total investments by sector, as of December 31, 2011, were as follows:
Financials |
18.8 | % | ||
Industrials |
12.3 | |||
Consumer Discretionary |
10.6 | |||
Materials |
9.4 | |||
Consumer Staples |
8.9 | |||
Energy |
8.2 | |||
Health Care |
7.6 | |||
Telecommunication Services |
6.3 | |||
Utilities |
5.6 | |||
Information Technology |
5.2 | |||
Short-Term Investments |
3.8 | |||
Exchange Traded Funds |
3.2 | |||
Money Market Fund |
0.1 |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Large Cap Core Growth Stock Fund
Shares | Value($) | |||||||
Common Stocks (100.1%) |
||||||||
Consumer Discretionary (13.4%) |
||||||||
BorgWarner, Inc.* |
12,416 | 791,396 | ||||||
CBS Corp., Cl B |
52,018 | 1,411,769 | ||||||
Coach, Inc. |
21,885 | 1,335,860 | ||||||
DIRECTV, Cl A* |
4,736 | 202,511 | ||||||
Las Vegas Sands Corp.* |
31,346 | 1,339,415 | ||||||
Limited Brands, Inc. |
2,878 | 116,127 | ||||||
Macys, Inc. |
46,080 | 1,482,854 | ||||||
McDonalds Corp. |
15,819 | 1,587,120 | ||||||
Priceline.com, Inc.* |
2,218 | 1,037,381 | ||||||
Ross Stores, Inc. |
31,018 | 1,474,286 | ||||||
|
|
|||||||
10,778,719 | ||||||||
|
|
|||||||
Consumer Staples (15.0%) |
||||||||
Colgate-Palmolive Co. |
12,152 | 1,122,723 | ||||||
Costco Wholesale Corp. |
19,418 | 1,617,908 | ||||||
Hansen Natural Corp.* |
16,448 | 1,515,519 | ||||||
Kraft Foods, Inc., Cl A |
41,219 | 1,539,942 | ||||||
Mead Johnson Nutrition Co. |
20,972 | 1,441,406 | ||||||
Philip Morris International, Inc. |
26,225 | 2,058,138 | ||||||
Wal-Mart Stores, Inc. |
17,396 | 1,039,585 | ||||||
Walgreen Co. |
2,680 | 88,601 | ||||||
Whole Foods Market, Inc. |
23,013 | 1,601,244 | ||||||
|
|
|||||||
12,025,066 | ||||||||
|
|
|||||||
Energy (9.9%) |
||||||||
Apache Corp. |
14,458 | 1,309,606 | ||||||
Chevron Corp. |
21,719 | 2,310,902 | ||||||
Exxon Mobil Corp. |
714 | 60,519 | ||||||
Halliburton Co. |
34,744 | 1,199,015 | ||||||
National Oilwell Varco, Inc. |
22,828 | 1,552,076 | ||||||
Occidental Petroleum Corp. |
15,802 | 1,480,647 | ||||||
|
|
|||||||
7,912,765 | ||||||||
|
|
|||||||
Financials (10.0%) |
||||||||
Ameriprise Financial, Inc. |
23,283 | 1,155,768 | ||||||
Capital One Financial Corp. |
38,222 | 1,616,409 | ||||||
Discover Financial Services |
61,841 | 1,484,184 | ||||||
Goldman Sachs Group, Inc. (The) |
12,577 | 1,137,338 | ||||||
JPMorgan Chase & Co. |
37,556 | 1,248,737 | ||||||
Moodys Corp. |
35,901 | 1,209,146 | ||||||
NASDAQ OMX Group, Inc. (The)* |
7,834 | 192,011 | ||||||
|
|
|||||||
8,043,593 | ||||||||
|
|
|||||||
Health Care (14.2%) |
||||||||
Agilent Technologies, Inc.* |
1,923 | 67,170 |
See Notes to Schedules of Portfolio Investments.
Allergan, Inc. |
17,025 | 1,493,773 | ||||||
AmerisourceBergen Corp. |
35,191 | 1,308,753 | ||||||
Baxter International, Inc. |
25,882 | 1,280,641 | ||||||
Cerner Corp.* |
16,232 | 994,210 | ||||||
Eli Lilly & Co. |
12,907 | 536,415 | ||||||
Humana, Inc. |
15,608 | 1,367,417 | ||||||
Mylan, Inc.* |
82,733 | 1,775,450 | ||||||
Pfizer, Inc. |
24,915 | 539,161 | ||||||
UnitedHealth Group, Inc. |
36,864 | 1,868,268 | ||||||
WellPoint, Inc. |
2,847 | 188,614 | ||||||
|
|
|||||||
11,419,872 | ||||||||
|
|
|||||||
Industrials (10.6%) |
||||||||
Avery Dennison Corp. |
2,958 | 84,836 | ||||||
Boeing Co. (The) |
21,221 | 1,556,560 | ||||||
Caterpillar, Inc. |
11,918 | 1,079,771 | ||||||
CNH Global NV NYS* |
3,171 | 114,124 | ||||||
Cummins, Inc. |
12,402 | 1,091,624 | ||||||
Danaher Corp. |
22,827 | 1,073,782 | ||||||
Deere & Co. |
14,116 | 1,091,873 | ||||||
Fluor Corp. |
3,449 | 173,312 | ||||||
Joy Global, Inc. |
14,128 | 1,059,176 | ||||||
Norfolk Southern Corp. |
16,521 | 1,203,720 | ||||||
|
|
|||||||
8,528,778 | ||||||||
|
|
|||||||
Information Technology (24.7%) |
||||||||
Accenture PLC, Cl A |
8,304 | 442,022 | ||||||
Altera Corp. |
33,420 | 1,239,882 | ||||||
Analog Devices, Inc. |
30,404 | 1,087,855 | ||||||
Apple, Inc.* |
7,646 | 3,096,630 | ||||||
ARM Holdings PLC SP ADR |
41,954 | 1,160,867 | ||||||
Baidu, Inc. SP ADR* |
8,972 | 1,044,969 | ||||||
Dell, Inc.* |
68,591 | 1,003,486 | ||||||
Google, Inc., Cl A* |
2,476 | 1,599,248 | ||||||
International Business Machines Corp. |
13,777 | 2,533,315 | ||||||
MasterCard, Inc., CL A |
3,940 | 1,468,911 | ||||||
Microsoft Corp. |
53,413 | 1,386,602 | ||||||
NetApp, Inc.* |
29,451 | 1,068,188 | ||||||
Oracle Corp. |
49,799 | 1,277,344 | ||||||
QUALCOMM, Inc. |
26,430 | 1,445,721 | ||||||
STMicroelectronics NV NYS |
4,408 | 26,139 | ||||||
|
|
|||||||
19,881,179 | ||||||||
|
|
|||||||
Materials (2.3%) |
||||||||
E.I. du Pont de Nemours & Co. |
31,946 | 1,462,488 | ||||||
Freeport-McMoRan Copper & Gold, Inc. |
5,267 | 193,773 | ||||||
International Paper Co. |
5,607 | 165,967 | ||||||
|
|
|||||||
1,822,228 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $73,150,877) |
|
80,412,200 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Money Market Fund (0.0%)(b) |
| |||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(a) |
28,605 | 28,605 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $28,605) |
28,605 | |||||||
|
|
|||||||
Total Investments (Cost $73,179,482) 100.1% |
80,440,805 | |||||||
|
|
|||||||
Liabilities in excess of other assets (0.1)% |
(83,603 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 80,357,202 | ||||||
|
|
* | Non-income producing security. |
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
(b) | Less than 0.05% of Net Assets. |
Investment | Abbreviations |
NYS | New York Registered Shares |
SP ADR | Sponsored American Depositary Receipt |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Large Cap Growth Stock Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (99.9%) |
||||||||
Consumer Discretionary (13.5%) |
||||||||
Amazon.com, Inc.* |
31,029 | 5,371,120 | ||||||
Bed Bath & Beyond, Inc.* |
61,882 | 3,587,300 | ||||||
BorgWarner, Inc.* |
51,449 | 3,279,359 | ||||||
Coach, Inc. |
83,253 | 5,081,763 | ||||||
Las Vegas Sands Corp.* |
94,351 | 4,031,618 | ||||||
Macys, Inc. |
113,978 | 3,667,812 | ||||||
Priceline.com, Inc.* |
7,494 | 3,505,019 | ||||||
Scripps Networks Interactive, Inc., Cl A |
87,837 | 3,726,046 | ||||||
Viacom, Inc., Cl B |
58,423 | 2,652,988 | ||||||
Yum! Brands, Inc. |
78,191 | 4,614,051 | ||||||
|
|
|||||||
39,517,076 | ||||||||
|
|
|||||||
Consumer Staples (9.4%) |
||||||||
Colgate-Palmolive Co. |
51,975 | 4,801,970 | ||||||
Estee Lauder Cos., Inc. (The), Cl A |
39,937 | 4,485,724 | ||||||
Green Mountain Coffee Roasters, Inc.*(a) |
45,867 | 2,057,135 | ||||||
Hansen Natural Corp.* |
48,739 | 4,490,811 | ||||||
Philip Morris International, Inc. |
148,026 | 11,617,081 | ||||||
|
|
|||||||
27,452,721 | ||||||||
|
|
|||||||
Energy (10.5%) |
||||||||
Cameron International Corp.* |
97,558 | 4,798,878 | ||||||
EOG Resources, Inc. |
36,583 | 3,603,791 | ||||||
Halliburton Co. |
120,890 | 4,171,914 | ||||||
National Oilwell Varco, Inc. |
53,937 | 3,667,177 | ||||||
Occidental Petroleum Corp. |
43,588 | 4,084,195 | ||||||
Peabody Energy Corp. |
64,951 | 2,150,528 | ||||||
Schlumberger Ltd. |
118,682 | 8,107,167 | ||||||
|
|
|||||||
30,583,650 | ||||||||
|
|
|||||||
Financials (3.9%) |
||||||||
Capital One Financial Corp. |
77,939 | 3,296,040 | ||||||
Goldman Sachs Group, Inc. (The) |
14,142 | 1,278,861 | ||||||
Hartford Financial Services Group, Inc. (The) |
161,287 | 2,620,914 | ||||||
T. Rowe Price Group, Inc. |
71,311 | 4,061,162 | ||||||
|
|
|||||||
11,256,977 | ||||||||
|
|
|||||||
Health Care (12.2%) |
||||||||
Alexion Pharmaceuticals, Inc.* |
88,496 | 6,327,464 | ||||||
Allergan, Inc. |
69,372 | 6,086,699 | ||||||
Biogen Idec, Inc.* |
32,990 | 3,630,550 | ||||||
Cerner Corp.* |
61,878 | 3,790,027 | ||||||
Express Scripts, Inc.* |
72,282 | 3,230,283 |
See Notes to Schedules of Portfolio Investments.
Hospira, Inc.* |
56,998 | 1,731,029 | ||||||
Intuitive Surgical, Inc.* |
14,929 | 6,912,276 | ||||||
Mylan, Inc.* |
186,895 | 4,010,767 | ||||||
|
|
|||||||
35,719,095 | ||||||||
|
|
|||||||
Industrials (13.7%) |
||||||||
BE Aerospace, Inc.* |
87,062 | 3,370,170 | ||||||
Dover Corp. |
63,723 | 3,699,120 | ||||||
Fluor Corp. |
65,298 | 3,281,224 | ||||||
Honeywell International, Inc. |
125,745 | 6,834,241 | ||||||
J.B. Hunt Transport Services, Inc. |
104,280 | 4,699,900 | ||||||
Joy Global, Inc. |
35,021 | 2,625,524 | ||||||
Precision Castparts Corp. |
32,751 | 5,397,037 | ||||||
Union Pacific Corp. |
35,622 | 3,773,795 | ||||||
United Parcel Service, Inc., Cl B |
84,779 | 6,204,975 | ||||||
|
|
|||||||
39,885,986 | ||||||||
|
|
|||||||
Information Technology (32.9%) |
||||||||
Analog Devices, Inc. |
104,898 | 3,753,250 | ||||||
Apple, Inc.* |
55,058 | 22,298,490 | ||||||
ARM Holdings PLC SP ADR |
184,499 | 5,105,087 | ||||||
ASML Holding NV NYS |
81,556 | 3,408,225 | ||||||
Baidu, Inc. SP ADR* |
31,989 | 3,725,759 | ||||||
Broadcom Corp., Cl A* |
107,547 | 3,157,580 | ||||||
EMC Corp.* |
262,190 | 5,647,573 | ||||||
F5 Networks, Inc.* |
39,997 | 4,244,482 | ||||||
Google, Inc., Cl A* |
19,532 | 12,615,719 | ||||||
Juniper Networks, Inc.* |
136,524 | 2,786,455 | ||||||
NetApp, Inc.* |
112,362 | 4,075,370 | ||||||
Oracle Corp. |
314,614 | 8,069,849 | ||||||
QUALCOMM, Inc. |
135,110 | 7,390,517 | ||||||
Salesforce.com, Inc.* |
32,444 | 3,291,768 | ||||||
VeriFone Systems, Inc.* |
39,315 | 1,396,469 | ||||||
Visa, Inc., Cl A |
50,436 | 5,120,767 | ||||||
|
|
|||||||
96,087,360 | ||||||||
|
|
|||||||
Materials (3.8%) |
||||||||
International Paper Co. |
155,719 | 4,609,282 | ||||||
Praxair, Inc. |
61,150 | 6,536,935 | ||||||
|
|
|||||||
11,146,217 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $190,741,716) |
291,649,082 | |||||||
|
|
|||||||
Short-Term Investment (0.7%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(b) |
2,092,063 | 2,092,063 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $2,092,063) |
2,092,063 | |||||||
|
|
|||||||
Money Market Fund (0.1%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(c) |
176,886 | 176,886 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $176,886) |
176,886 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Total Investments (Cost $193,010,665) 100.7% |
293,918,031 | |||
|
|
|||
Liabilities in excess of other assets (0.7)% |
(2,131,476 | ) | ||
|
|
|||
Net Assets 100.0% |
$ | 291,786,555 | ||
|
|
* | Non-income producing security. |
(a) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $2,046,865. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
NYS New York Registered Shares
SP ADR Sponsored American Depositary Receipt
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Large Cap Value Equity Fund
Shares | Value($) | |||||||
Common Stocks (96.9%) |
||||||||
Consumer Discretionary (7.8%) |
||||||||
Comcast Corp., Cl A |
1,569,101 | 37,203,385 | ||||||
Honda Motor Co. Ltd. SP ADR |
1,285,800 | 39,281,190 | ||||||
International Game Technology |
900,700 | 15,492,040 | ||||||
Johnson Controls, Inc. |
378,900 | 11,844,414 | ||||||
Lowes Cos., Inc. |
1,102,900 | 27,991,602 | ||||||
Walt Disney Co. (The) |
508,250 | 19,059,375 | ||||||
|
|
|||||||
150,872,006 | ||||||||
|
|
|||||||
Consumer Staples (8.7%) |
||||||||
Avon Products, Inc. |
1,151,650 | 20,119,325 | ||||||
ConAgra Foods, Inc. |
1,075,974 | 28,405,713 | ||||||
CVS Caremark Corp. |
489,800 | 19,974,044 | ||||||
Kraft Foods, Inc., Cl A |
519,199 | 19,397,275 | ||||||
PepsiCo, Inc. |
427,759 | 28,381,810 | ||||||
Procter & Gamble Co. (The) |
783,200 | 52,247,272 | ||||||
|
|
|||||||
168,525,439 | ||||||||
|
|
|||||||
Energy (11.6%) |
||||||||
Baker Hughes, Inc. |
705,350 | 34,308,224 | ||||||
Chevron Corp. |
321,050 | 34,159,720 | ||||||
ConocoPhillips |
674,207 | 49,129,464 | ||||||
Murphy Oil Corp. |
482,400 | 26,888,976 | ||||||
National Oilwell Varco, Inc. |
140,800 | 9,572,992 | ||||||
Occidental Petroleum Corp. |
476,700 | 44,666,790 | ||||||
QEP Resources, Inc. |
845,008 | 24,758,734 | ||||||
|
|
|||||||
223,484,900 | ||||||||
|
|
|||||||
Financials (16.2%) |
||||||||
Citigroup, Inc. |
382,260 | 10,057,261 | ||||||
Comerica, Inc. |
610,500 | 15,750,900 | ||||||
Franklin Resources, Inc. |
119,300 | 11,459,958 | ||||||
General Growth Properties, Inc., REIT |
648,657 | 9,742,828 | ||||||
JPMorgan Chase & Co. |
1,648,816 | 54,823,132 | ||||||
MetLife, Inc. |
641,500 | 20,001,970 | ||||||
Northern Trust Corp. |
580,500 | 23,022,630 | ||||||
Prudential Financial, Inc. |
395,951 | 19,845,064 | ||||||
Realty Income Corp., REIT |
546,000 | 19,088,160 | ||||||
Travelers Cos., Inc. (The) |
646,300 | 38,241,571 | ||||||
U.S. Bancorp |
1,287,500 | 34,826,875 | ||||||
Wells Fargo & Co. |
2,051,300 | 56,533,828 | ||||||
|
|
|||||||
313,394,177 | ||||||||
|
|
|||||||
Health Care (13.8%) |
||||||||
Baxter International, Inc. |
759,450 | 37,577,586 | ||||||
Becton Dickinson and Co. |
261,700 | 19,554,224 |
See Notes to Schedules of Portfolio Investments.
CIGNA Corp. |
915,500 | 38,451,000 | ||||||
Johnson & Johnson |
801,900 | 52,588,602 | ||||||
Medtronic, Inc. |
1,041,250 | 39,827,813 | ||||||
Merck & Co., Inc. |
1,036,150 | 39,062,855 | ||||||
Pfizer, Inc. |
1,764,400 | 38,181,616 | ||||||
|
|
|||||||
265,243,696 | ||||||||
|
|
|||||||
Industrials (15.2%) |
||||||||
ABB Ltd. SP ADR* |
1,098,100 | 20,677,223 | ||||||
Cummins, Inc. |
173,700 | 15,289,074 | ||||||
Dover Corp. |
712,600 | 41,366,430 | ||||||
Eaton Corp. |
447,300 | 19,470,969 | ||||||
Emerson Electric Co. |
556,050 | 25,906,369 | ||||||
Flowserve Corp. |
113,377 | 11,260,604 | ||||||
General Electric Co. |
3,221,000 | 57,688,110 | ||||||
Ingersoll-Rand PLC |
1,099,300 | 33,495,671 | ||||||
Republic Services, Inc. |
679,998 | 18,733,945 | ||||||
Union Pacific Corp. |
145,450 | 15,408,973 | ||||||
United Parcel Service, Inc., Cl B |
457,536 | 33,487,060 | ||||||
|
|
|||||||
292,784,428 | ||||||||
|
|
|||||||
Information Technology (11.0%) |
||||||||
Broadcom Corp., Cl A* |
527,800 | 15,496,208 | ||||||
Cisco Systems, Inc. |
1,859,400 | 33,617,952 | ||||||
Corning, Inc. |
1,141,300 | 14,814,074 | ||||||
Harris Corp. |
497,125 | 17,916,385 | ||||||
Hewlett-Packard Co. |
1,033,000 | 26,610,080 | ||||||
Microsoft Corp. |
1,312,500 | 34,072,500 | ||||||
Texas Instruments, Inc. |
1,501,000 | 43,694,110 | ||||||
Xerox Corp. |
3,336,850 | 26,561,326 | ||||||
|
|
|||||||
212,782,635 | ||||||||
|
|
|||||||
Materials (1.9%) |
||||||||
Airgas, Inc. |
182,868 | 14,278,333 | ||||||
Ashland, Inc. |
388,050 | 22,180,938 | ||||||
|
|
|||||||
36,459,271 | ||||||||
|
|
|||||||
Telecommunication Services (4.3%) |
||||||||
AT&T, Inc. |
1,619,450 | 48,972,168 | ||||||
Windstream Corp. |
2,833,350 | 33,263,529 | ||||||
|
|
|||||||
82,235,697 | ||||||||
|
|
|||||||
Utilities (6.4%) |
||||||||
NextEra Energy, Inc. |
631,500 | 38,445,720 | ||||||
PG&E Corp. |
941,326 | 38,801,458 | ||||||
PPL Corp. |
1,550,350 | 45,611,297 | ||||||
|
|
|||||||
122,858,475 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $1,752,640,271) |
|
1,868,640,724 | ||||||
|
|
|||||||
Money Market Fund (4.4%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(a) |
84,324,635 | 84,324,635 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $84,324,635) |
|
84,324,635 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Total Investments (Cost $1,836,964,906) 101.3% |
1,952,965,359 | |||||
|
|
|||||
Liabilities in excess of other assets (1.3)% |
(25,048,335 | ) | ||||
|
|
|||||
Net Assets 100.0% |
$ | 1,927,917,024 | ||||
|
|
* | Non-income producing security. |
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
REIT Real Estate Investment Trust
SP ADR Sponsored American Depositary Receipt
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Mid-Cap Value Equity Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (97.2%) |
||||||||
Consumer Discretionary (11.4%) |
||||||||
Arcos Dorados Holdings, Inc., Cl A(a) |
581,300 | 11,934,089 | ||||||
Cablevision Systems Corp., Cl A |
1,035,000 | 14,717,700 | ||||||
Cooper Tire & Rubber Co. |
1,807,794 | 25,327,194 | ||||||
Darden Restaurants, Inc. |
212,500 | 9,685,750 | ||||||
Hasbro, Inc. |
536,300 | 17,102,607 | ||||||
International Game Technology |
1,297,200 | 22,311,840 | ||||||
Johnson Controls, Inc. |
637,400 | 19,925,124 | ||||||
M.D.C. Holdings, Inc. |
1,285,700 | 22,666,891 | ||||||
RadioShack Corp. |
1,449,600 | 14,075,616 | ||||||
Time Warner Cable, Inc., Cl A |
610,800 | 38,828,556 | ||||||
Whirlpool Corp. |
438,000 | 20,783,100 | ||||||
|
|
|||||||
217,358,467 | ||||||||
|
|
|||||||
Consumer Staples (5.2%) |
||||||||
Avon Products, Inc. |
1,740,200 | 30,401,294 | ||||||
Clorox Co. (The) |
322,400 | 21,458,944 | ||||||
ConAgra Foods, Inc. |
1,372,500 | 36,234,000 | ||||||
Molson Coors Brewing Co., Cl B |
228,800 | 9,961,952 | ||||||
|
|
|||||||
98,056,190 | ||||||||
|
|
|||||||
Energy (10.0%) |
||||||||
Arch Coal, Inc. |
1,376,200 | 19,968,662 | ||||||
Baker Hughes, Inc. |
622,600 | 30,283,264 | ||||||
Marathon Petroleum Corp. |
348,800 | 11,611,552 | ||||||
Murphy Oil Corp. |
512,000 | 28,538,880 | ||||||
Noble Energy, Inc. |
184,100 | 17,377,199 | ||||||
QEP Resources, Inc. |
1,391,900 | 40,782,670 | ||||||
Tidewater, Inc. |
867,200 | 42,752,960 | ||||||
|
|
|||||||
191,315,187 | ||||||||
|
|
|||||||
Financials (22.8%) |
||||||||
AllianceBernstein Holding LP(a) |
1,485,572 | 19,431,281 | ||||||
Allstate Corp. (The) |
798,200 | 21,878,662 | ||||||
American Campus Communities, Inc., REIT |
340,700 | 14,295,772 | ||||||
Assurant, Inc. |
434,100 | 17,824,146 | ||||||
Comerica, Inc. |
1,099,900 | 28,377,420 | ||||||
Fifth Third Bancorp |
2,801,500 | 35,635,080 | ||||||
Hancock Holding Co. |
1,031,100 | 32,964,267 | ||||||
Hanover Insurance Group, Inc. (The) |
1,061,900 | 37,113,405 | ||||||
Host Hotels & Resorts, Inc., REIT |
649,100 | 9,587,207 | ||||||
Lazard Ltd., Cl A |
2,389,600 | 62,392,456 | ||||||
MB Financial, Inc. |
1,918,598 | 32,808,026 |
See Notes to Schedules of Portfolio Investments.
National Retail Properties, Inc., REIT |
573,500 | 15,128,930 | ||||||
Northern Trust Corp. |
495,000 | 19,631,700 | ||||||
PartnerRe Ltd. |
575,200 | 36,933,592 | ||||||
Realty Income Corp., REIT(a) |
757,600 | 26,485,696 | ||||||
Weyerhaeuser Co., REIT |
1,282,300 | 23,940,541 | ||||||
|
|
|||||||
434,428,181 | ||||||||
|
|
|||||||
Health Care (8.9%) |
||||||||
Becton Dickinson and Co. |
276,800 | 20,682,496 | ||||||
CIGNA Corp. |
1,126,600 | 47,317,200 | ||||||
Cooper Cos., Inc. (The) |
284,100 | 20,034,732 | ||||||
St Jude Medical, Inc. |
1,348,100 | 46,239,830 | ||||||
STERIS Corp. |
1,183,400 | 35,288,988 | ||||||
|
|
|||||||
169,563,246 | ||||||||
|
|
|||||||
Industrials (10.8%) |
||||||||
Bombardier, Inc., Cl B |
4,771,500 | 18,856,968 | ||||||
Dover Corp. |
395,200 | 22,941,360 | ||||||
Flowserve Corp. |
181,600 | 18,036,512 | ||||||
Ingersoll-Rand PLC |
866,000 | 26,387,020 | ||||||
Interface, Inc., Cl A |
1,728,185 | 19,943,255 | ||||||
Parker Hannifin Corp. |
120,200 | 9,165,250 | ||||||
Regal-Beloit Corp. |
347,100 | 17,691,687 | ||||||
Republic Services, Inc. |
767,300 | 21,139,115 | ||||||
Rockwell Automation, Inc. |
140,600 | 10,315,822 | ||||||
Stanley Black & Decker, Inc. |
278,500 | 18,826,600 | ||||||
Timken Co. (The) |
593,500 | 22,974,385 | ||||||
|
|
|||||||
206,277,974 | ||||||||
|
|
|||||||
Information Technology (8.9%) |
||||||||
Broadcom Corp., Cl A* |
652,700 | 19,163,272 | ||||||
Broadridge Financial Solutions, Inc. |
830,300 | 18,723,265 | ||||||
Corning, Inc. |
737,300 | 9,570,154 | ||||||
Harris Corp. |
922,500 | 33,246,900 | ||||||
Intersil Corp., Cl A |
3,210,200 | 33,514,488 | ||||||
Maxim Integrated Products, Inc. |
841,500 | 21,912,660 | ||||||
Xerox Corp. |
4,164,800 | 33,151,808 | ||||||
|
|
|||||||
169,282,547 | ||||||||
|
|
|||||||
Materials (9.0%) |
||||||||
Ashland, Inc. |
932,600 | 53,307,416 | ||||||
Cabot Corp. |
772,400 | 24,824,936 | ||||||
Cytec Industries, Inc. |
207,500 | 9,264,875 | ||||||
Packaging Corp. of America |
575,700 | 14,530,668 | ||||||
Scotts Miracle-Gro Co. (The), Cl A(a) |
645,100 | 30,119,719 | ||||||
Sealed Air Corp. |
2,297,000 | 39,531,370 | ||||||
|
|
|||||||
171,578,984 | ||||||||
|
|
|||||||
Telecommunication Services (4.3%) |
||||||||
CenturyLink, Inc. |
1,228,200 | 45,689,040 | ||||||
Windstream Corp. |
3,138,300 | 36,843,642 | ||||||
|
|
|||||||
82,532,682 | ||||||||
|
|
|||||||
Utilities (5.9%) |
||||||||
American Water Works Co., Inc. |
629,900 | 20,068,614 |
See Notes to Schedules of Portfolio Investments.
Edison International |
497,800 | 20,608,920 | ||||||
PG&E Corp. |
1,233,600 | 50,848,992 | ||||||
UGI Corp. |
725,600 | 21,332,640 | ||||||
|
|
|||||||
112,859,166 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $1,905,777,423) |
1,853,252,624 | |||||||
|
|
|||||||
Short-Term Investment (2.3%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(b) |
45,174,100 | 45,174,100 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $45,174,100) |
45,174,100 | |||||||
|
|
|||||||
Money Market Fund (2.2%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(c) |
41,695,951 | 41,695,951 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $41,695,951) |
41,695,951 | |||||||
|
|
|||||||
Total Investments (Cost $1,992,647,474) 101.7% |
1,940,122,675 | |||||||
|
|
|||||||
Liabilities in excess of other assets (1.7)% |
(33,242,772 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,906,879,903 | ||||||
|
|
* | Non-income producing security. |
(a) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $44,192,770. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
REIT | Real Estate Investment Trust |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Select Large Cap Growth Stock Fund
Shares | Value($) | |||||||
Common Stocks (99.4%) |
||||||||
Consumer Discretionary (17.6%) |
||||||||
Amazon.com, Inc.* |
4,717 | 816,513 | ||||||
BorgWarner, Inc.* |
14,187 | 904,279 | ||||||
Coach, Inc. |
22,466 | 1,371,325 | ||||||
Las Vegas Sands Corp.* |
24,614 | 1,051,756 | ||||||
Macys, Inc. |
49,528 | 1,593,811 | ||||||
Priceline.com, Inc.* |
2,563 | 1,198,741 | ||||||
Viacom, Inc., Cl B |
32,827 | 1,490,674 | ||||||
|
|
|||||||
8,427,099 | ||||||||
|
|
|||||||
Consumer Staples (12.1%) |
||||||||
Costco Wholesale Corp. |
13,546 | 1,128,653 | ||||||
Estee Lauder Cos., Inc. (The), Cl A |
12,287 | 1,380,076 | ||||||
Hansen Natural Corp.* |
12,278 | 1,131,295 | ||||||
Mead Johnson Nutrition Co. |
13,178 | 905,724 | ||||||
Whole Foods Market, Inc. |
17,782 | 1,237,271 | ||||||
|
|
|||||||
5,783,019 | ||||||||
|
|
|||||||
Energy (8.7%) |
||||||||
Cameron International Corp.* |
13,951 | 686,250 | ||||||
Halliburton Co. |
28,193 | 972,940 | ||||||
Occidental Petroleum Corp. |
13,855 | 1,298,213 | ||||||
Schlumberger Ltd. |
17,844 | 1,218,924 | ||||||
|
|
|||||||
4,176,327 | ||||||||
|
|
|||||||
Financials (3.6%) |
||||||||
Capital One Financial Corp. |
20,263 | 856,922 | ||||||
Goldman Sachs Group, Inc. (The) |
9,603 | 868,400 | ||||||
|
|
|||||||
1,725,322 | ||||||||
|
|
|||||||
Health Care (11.7%) |
||||||||
Agilent Technologies, Inc.* |
26,001 | 908,215 | ||||||
Allergan, Inc. |
13,489 | 1,183,525 | ||||||
AmerisourceBergen Corp. |
36,895 | 1,372,125 | ||||||
Express Scripts, Inc.* |
19,216 | 858,763 | ||||||
Intuitive Surgical, Inc.* |
2,757 | 1,276,518 | ||||||
|
|
|||||||
5,599,146 | ||||||||
|
|
|||||||
Industrials (7.5%) |
||||||||
Joy Global, Inc. |
15,209 | 1,140,219 | ||||||
Precision Castparts Corp. |
4,759 | 784,235 | ||||||
Union Pacific Corp. |
15,556 | 1,648,003 | ||||||
|
|
|||||||
3,572,457 | ||||||||
|
|
|||||||
Information Technology (35.7%) |
||||||||
Analog Devices, Inc. |
46,564 | 1,666,060 | ||||||
Apple, Inc.* |
9,263 | 3,751,515 |
See Notes to Schedules of Portfolio Investments.
ARM Holdings PLC SP ADR |
26,757 | 740,366 | ||||||
ASML Holding NV NYS |
22,171 | 926,526 | ||||||
Baidu, Inc. SP ADR* |
6,702 | 780,582 | ||||||
F5 Networks, Inc.* |
14,829 | 1,573,654 | ||||||
Google, Inc., Cl A* |
2,286 | 1,476,527 | ||||||
NetApp, Inc.* |
24,716 | 896,449 | ||||||
Oracle Corp. |
54,991 | 1,410,519 | ||||||
QUALCOMM, Inc. |
37,571 | 2,055,134 | ||||||
Visa, Inc., Cl A |
17,918 | 1,819,215 | ||||||
|
|
|||||||
17,096,547 | ||||||||
|
|
|||||||
Materials (2.5%) |
||||||||
Praxair, Inc. |
11,319 | 1,210,001 | ||||||
|
|
|||||||
Total Common Stocks (Cost $38,113,690) |
47,589,918 | |||||||
|
|
|||||||
Money Market Fund (0.7%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(a) |
352,184 | 352,184 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $352,184) |
352,184 | |||||||
|
|
|||||||
Total Investments (Cost $38,465,874) 100.1% |
47,942,102 | |||||||
|
|
|||||||
Liabilities in excess of other assets (0.1)% |
(39,483 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 47,902,619 | ||||||
|
|
* | Non-income producing security. |
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
NYS | New York Registered Shares |
SP ADR Sponsored American Depositary Receipt
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Small Cap Growth Stock Fund
Shares or Principal Amount($) |
Value($) | |||||||
Common Stocks (99.0%) |
||||||||
Consumer Discretionary (15.1%) |
||||||||
ANN, Inc.* |
133,296 | 3,303,075 | ||||||
AscenaRetail Group, Inc.* |
136,292 | 4,050,598 | ||||||
Body Central Corp.* |
44,970 | 1,122,451 | ||||||
Buffalo Wild Wings, Inc.*(a) |
54,840 | 3,702,248 | ||||||
Chicos FAS, Inc. |
230,334 | 2,565,921 | ||||||
Coinstar, Inc.*(a) |
67,571 | 3,083,941 | ||||||
Cooper Tire & Rubber Co. |
163,519 | 2,290,901 | ||||||
CROCS, Inc.* |
179,317 | 2,648,512 | ||||||
Deckers Outdoor Corp.* |
13,273 | 1,003,041 | ||||||
DSW, Inc., Cl A |
53,658 | 2,372,220 | ||||||
eLong, Inc. SP ADR*(a) |
9,444 | 141,943 | ||||||
Hibbett Sports, Inc.* |
40,755 | 1,841,311 | ||||||
Life Time Fitness, Inc.* |
88,575 | 4,140,881 | ||||||
Makemytrip Ltd.*(a) |
27,911 | 670,980 | ||||||
Modine Manufacturing Co.* |
88,573 | 837,901 | ||||||
Panera Bread Co., CL A* |
16,101 | 2,277,487 | ||||||
Ruby Tuesday, Inc.* |
296,591 | 2,046,478 | ||||||
Skullcandy, Inc.*(a) |
123,805 | 1,550,039 | ||||||
Sonic Automotive, Inc., Cl A(a) |
149,756 | 2,217,886 | ||||||
Steven Madden Ltd.* |
113,254 | 3,907,263 | ||||||
Vera Bradley, Inc.*(a) |
66,325 | 2,138,981 | ||||||
|
|
|||||||
47,914,058 | ||||||||
|
|
|||||||
Consumer Staples (2.2%) |
||||||||
Diamond Foods, Inc.(a) |
39,091 | 1,261,467 | ||||||
Inter Parfums, Inc. |
141,242 | 2,197,725 | ||||||
Nu Skin Enterprises, Inc., Cl A |
75,412 | 3,662,761 | ||||||
|
|
|||||||
7,121,953 | ||||||||
|
|
|||||||
Energy (8.3%) |
||||||||
Basic Energy Services, Inc.* |
147,689 | 2,909,473 | ||||||
Bill Barrett Corp.* |
23,879 | 813,558 | ||||||
GeoResources, Inc.* |
40,415 | 1,184,564 | ||||||
Gulfport Energy Corp.* |
106,177 | 3,126,913 | ||||||
Hornbeck Offshore Services, Inc.*(a) |
40,788 | 1,265,244 | ||||||
Kodiak Oil & Gas Corp.*(a) |
393,866 | 3,741,727 | ||||||
Lufkin Industries, Inc. |
64,130 | 4,316,590 | ||||||
Mitcham Industries, Inc.* |
15,170 | 331,313 | ||||||
Oasis Petroleum, Inc.* |
50,725 | 1,475,590 | ||||||
Pioneer Drilling Co.* |
138,489 | 1,340,573 | ||||||
Stone Energy Corp.* |
60,813 | 1,604,247 |
See Notes to Schedules of Portfolio Investments.
World Fuel Services Corp. |
98,228 | 4,123,611 | ||||||
|
|
|||||||
26,233,403 | ||||||||
|
|
|||||||
Financials (6.3%) |
||||||||
Cardtronics, Inc.* |
131,164 | 3,549,298 | ||||||
Cathay General Bancorp |
122,462 | 1,828,357 | ||||||
Encore Capital Group, Inc.* |
128,118 | 2,723,789 | ||||||
Portfolio Recovery Associates, Inc.* |
59,380 | 4,009,337 | ||||||
Stifel Financial Corp.* |
116,154 | 3,722,736 | ||||||
World Acceptance Corp.*(a) |
56,186 | 4,129,671 | ||||||
|
|
|||||||
19,963,188 | ||||||||
|
|
|||||||
Health Care (19.1%) |
||||||||
Catalyst Health Solutions, Inc.* |
55,341 | 2,877,732 | ||||||
Cubist Pharmaceuticals, Inc.*(a) |
96,347 | 3,817,268 | ||||||
Endologix, Inc.* |
173,599 | 1,992,917 | ||||||
HealthSouth Corp.* |
125,476 | 2,217,161 | ||||||
HeartWare International, Inc.*(a) |
24,610 | 1,698,090 | ||||||
HMS Holdings Corp.* |
164,934 | 5,274,589 | ||||||
ICON PLC SP ADR* |
155,020 | 2,652,392 | ||||||
Impax Laboratories, Inc.* |
111,650 | 2,251,980 | ||||||
Incyte Corp. Ltd.*(a) |
116,660 | 1,751,067 | ||||||
Medicines Co. (The)* |
117,692 | 2,193,779 | ||||||
Medicis Pharmaceutical Corp., Cl A |
37,971 | 1,262,536 | ||||||
Medidata Solutions, Inc.* |
114,626 | 2,493,115 | ||||||
Merit Medical Systems, Inc.* |
118,832 | 1,589,972 | ||||||
Neogen Corp.* |
34,611 | 1,060,481 | ||||||
NuVasive, Inc.*(a) |
82,065 | 1,033,198 | ||||||
Onyx Pharmaceuticals, Inc.* |
77,468 | 3,404,719 | ||||||
Par Pharmaceutical Cos., Inc.* |
46,188 | 1,511,733 | ||||||
PSS World Medical, Inc.* |
79,784 | 1,929,975 | ||||||
Quality Systems, Inc. |
88,648 | 3,279,090 | ||||||
Questcor Pharmaceuticals, Inc.* |
99,634 | 4,142,782 | ||||||
Salix Pharmaceuticals Ltd.* |
37,672 | 1,802,605 | ||||||
SonoSite, Inc.* |
60,388 | 3,252,498 | ||||||
STERIS Corp. |
92,495 | 2,758,201 | ||||||
Team Health Holdings, Inc.* |
53,439 | 1,179,399 | ||||||
Viropharma, Inc.* |
67,290 | 1,843,073 | ||||||
West Pharmaceutical Services, Inc. |
41,614 | 1,579,251 | ||||||
|
|
|||||||
60,849,603 | ||||||||
|
|
|||||||
Industrials (18.6%) |
||||||||
AAR Corp. |
165,710 | 3,176,661 | ||||||
Acacia ResearchAcacia Technologies* |
89,938 | 3,283,636 | ||||||
Alaska Air Group, Inc.* |
30,105 | 2,260,584 | ||||||
American Science & Engineering, Inc. |
20,400 | 1,389,444 | ||||||
Barnes Group, Inc. |
125,200 | 3,018,572 | ||||||
Corporate Executive Board Co. (The) |
58,663 | 2,235,060 | ||||||
EnPro Industries, Inc.* |
65,924 | 2,174,174 | ||||||
Forward Air Corp. |
80,079 | 2,566,532 | ||||||
Hexcel Corp.* |
146,071 | 3,536,379 | ||||||
Higher One Holdings, Inc.*(a) |
144,620 | 2,666,793 | ||||||
Hub Group, Inc., Cl A* |
124,185 | 4,027,320 |
See Notes to Schedules of Portfolio Investments.
InnerWorkings, Inc.*(a) |
293,617 | 2,733,574 | ||||||
Kelly Services, Inc., Cl A |
101,321 | 1,386,071 | ||||||
Kforce, Inc.* |
134,992 | 1,664,451 | ||||||
Knight Transportation, Inc. |
135,857 | 2,124,803 | ||||||
MasTec, Inc.* |
108,583 | 1,886,087 | ||||||
MYR Group, Inc.* |
135,351 | 2,590,618 | ||||||
Raven Industries, Inc. |
38,208 | 2,365,075 | ||||||
RSC Holdings, Inc.* |
111,675 | 2,065,988 | ||||||
Ryder System, Inc. |
39,355 | 2,091,325 | ||||||
Titan Machinery, Inc.* |
91,814 | 1,995,118 | ||||||
Triumph Group, Inc. |
32,800 | 1,917,160 | ||||||
Valmont Industries, Inc. |
29,254 | 2,655,971 | ||||||
Woodward, Inc. |
84,931 | 3,476,226 | ||||||
|
|
|||||||
59,287,622 | ||||||||
|
|
|||||||
Information Technology (23.3%) |
||||||||
Anixter International, Inc.* |
19,803 | 1,181,051 | ||||||
Ariba, Inc.* |
96,904 | 2,721,064 | ||||||
Aruba Networks, Inc.*(a) |
173,148 | 3,206,701 | ||||||
Bottomline Technologies, Inc.* |
94,012 | 2,178,258 | ||||||
BroadSoft, Inc.*(a) |
86,581 | 2,614,746 | ||||||
Calix, Inc.* |
161,567 | 1,045,339 | ||||||
Cavium, Inc.* |
59,317 | 1,686,382 | ||||||
Cirrus Logic, Inc.* |
225,501 | 3,574,191 | ||||||
Coherent, Inc.* |
69,453 | 3,630,308 | ||||||
Concur Technologies, Inc.* |
87,304 | 4,434,170 | ||||||
Finisar Corp.* |
106,068 | 1,776,109 | ||||||
Inphi Corp.* |
246,155 | 2,944,014 | ||||||
InterDigital, Inc.(a) |
48,240 | 2,101,817 | ||||||
NETGEAR, Inc.* |
96,004 | 3,222,854 | ||||||
NetSuite, Inc.*(a) |
97,114 | 3,937,973 | ||||||
NIC, Inc. |
145,481 | 1,936,352 | ||||||
OpenTable, Inc.*(a) |
47,808 | 1,870,727 | ||||||
OPNET Technologies, Inc. |
70,512 | 2,585,675 | ||||||
QLIK Technologies, Inc.* |
107,536 | 2,602,371 | ||||||
Sapient Corp. |
106,293 | 1,339,292 | ||||||
Semtech Corp.* |
125,173 | 3,106,794 | ||||||
SolarWinds, Inc.* |
133,582 | 3,733,617 | ||||||
Sourcefire, Inc.* |
47,558 | 1,539,928 | ||||||
Stratasys, Inc.*(a) |
71,045 | 2,160,478 | ||||||
Taleo Corp., Cl A* |
116,967 | 4,525,453 | ||||||
Tangoe, Inc.* |
37,207 | 572,988 | ||||||
TriQuint Semiconductor, Inc.* |
274,995 | 1,339,226 | ||||||
Ultimate Software Group, Inc.* |
53,563 | 3,488,023 | ||||||
Universal Display Corp.*(a) |
30,444 | 1,116,990 | ||||||
VeriFone Systems, Inc.* |
49,740 | 1,766,765 | ||||||
|
|
|||||||
73,939,656 | ||||||||
|
|
|||||||
Materials (5.1%) |
||||||||
Balchem Corp. |
42,329 | 1,716,018 | ||||||
Buckeye Technologies, Inc. |
96,071 | 3,212,614 | ||||||
Flotek Industries, Inc.*(a) |
96,296 | 959,108 |
See Notes to Schedules of Portfolio Investments.
Haynes International, Inc. |
50,938 | 2,781,215 | ||||||
HB Fuller Co. |
91,969 | 2,125,404 | ||||||
PolyOne Corp. |
59,570 | 688,033 | ||||||
Rock-Tenn Co., Cl A |
43,144 | 2,489,409 | ||||||
Zagg, Inc.*(a) |
307,758 | 2,175,849 | ||||||
|
|
|||||||
16,147,650 | ||||||||
|
|
|||||||
Telecommunication Services (1.0%) |
||||||||
8x8, Inc.*(a) |
389,136 | 1,233,561 | ||||||
Cogent Communications Group, Inc.* |
122,411 | 2,067,522 | ||||||
|
|
|||||||
3,301,083 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $270,460,272) |
314,758,216 | |||||||
|
|
|||||||
Short-Term Investment (13.0%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(b) |
41,296,771 | 41,296,771 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $41,296,771) |
41,296,771 | |||||||
|
|
|||||||
Money Market Fund (1.3%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(c) |
4,262,439 | 4,262,439 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $4,262,439) |
4,262,439 | |||||||
|
|
|||||||
Total Investments (Cost $316,019,482) 113.3% |
360,317,426 | |||||||
|
|
|||||||
Liabilities in excess of other assets (13.3)% |
(42,368,435 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 317,948,991 | ||||||
|
|
* | Non-income producing security. |
(a) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $40,193,794. |
(b) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
SP ADR Sponsored American Depositary Receipt
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Small Cap Value Equity Fund
Shares | Value($) | |||||||
Common Stocks (93.7%) |
||||||||
Consumer Discretionary (15.6%) |
||||||||
Aarons, Inc. |
91,850 | 2,450,558 | ||||||
Brunswick Corp. |
218,400 | 3,944,304 | ||||||
Choice Hotels International, Inc. |
97,900 | 3,725,095 | ||||||
Cracker Barrel Old Country Store, Inc. |
195,500 | 9,855,155 | ||||||
Einstein Noah Restaurant Group, Inc. |
297,200 | 4,701,704 | ||||||
Gafisa SA ADR |
770,800 | 3,545,680 | ||||||
Guess?, Inc. |
853,554 | 25,452,980 | ||||||
Hillenbrand, Inc. |
122,900 | 2,743,128 | ||||||
HSN, Inc. |
223,300 | 8,096,858 | ||||||
Lithia Motors, Inc., Cl A |
287,700 | 6,289,122 | ||||||
M.D.C. Holdings, Inc. |
434,400 | 7,658,472 | ||||||
Meredith Corp. |
395,300 | 12,906,545 | ||||||
NutriSystem, Inc. |
659,250 | 8,524,103 | ||||||
RadioShack Corp. |
1,058,600 | 10,279,006 | ||||||
Rent-A-Center, Inc. |
292,100 | 10,807,700 | ||||||
Scholastic Corp. |
392,850 | 11,773,714 | ||||||
Sonic Automotive, Inc., Cl A |
734,900 | 10,883,869 | ||||||
Thor Industries, Inc. |
493,800 | 13,544,934 | ||||||
Wendys Co. (The) |
2,650,400 | 14,206,144 | ||||||
Williams-Sonoma, Inc. |
286,100 | 11,014,850 | ||||||
|
|
|||||||
182,403,921 | ||||||||
|
|
|||||||
Consumer Staples (0.7%) |
||||||||
WD-40 Co. |
202,150 | 8,168,882 | ||||||
|
|
|||||||
Energy (3.7%) |
||||||||
Arch Coal, Inc. |
430,700 | 6,249,457 | ||||||
Berry Petroleum Co., Cl A |
321,000 | 13,488,420 | ||||||
Bristow Group, Inc. |
280,200 | 13,278,678 | ||||||
Tidewater, Inc. |
213,200 | 10,510,760 | ||||||
|
|
|||||||
43,527,315 | ||||||||
|
|
|||||||
Financials (22.7%) |
||||||||
Advance America Cash Advance Centers, Inc. |
709,850 | 6,353,158 | ||||||
Banco Latinoamericano de Expectaciones SA, Cl E |
238,550 | 3,828,728 | ||||||
Bank of Hawaii Corp. |
140,800 | 6,264,192 | ||||||
Campus Crest Communities, Inc., REIT |
402,100 | 4,045,126 | ||||||
Cash America International, Inc. |
398,450 | 18,579,723 | ||||||
Cash Store Financial Services, Inc. (The) |
213,000 | 1,263,090 | ||||||
Compass Diversified Holdings |
559,600 | 6,933,444 | ||||||
E-House China Holdings Ltd. ADS |
767,300 | 3,276,371 | ||||||
Evercore Partners, Inc., Cl A |
344,050 | 9,158,611 | ||||||
Hancock Holding Co. |
602,074 | 19,248,306 | ||||||
Hanover Insurance Group, Inc. (The) |
592,450 | 20,706,127 |
See Notes to Schedules of Portfolio Investments.
HCC Insurance Holdings, Inc. |
947,300 | 26,050,750 | ||||||
JMP Group, Inc. |
650,600 | 4,651,790 | ||||||
LaSalle Hotel Properties, REIT |
459,000 | 11,112,390 | ||||||
Lazard Ltd., Cl A |
165,200 | 4,313,372 | ||||||
Mid-America Apartment Communities, Inc., REIT |
195,800 | 12,247,290 | ||||||
Monmouth Real Estate Investment Corp., Cl A REIT |
114,700 | 1,049,505 | ||||||
National Retail Properties, Inc., REIT |
427,050 | 11,265,579 | ||||||
Oppenheimer Holdings, Inc., Cl A |
222,900 | 3,588,690 | ||||||
Protective Life Corp. |
572,600 | 12,917,856 | ||||||
StanCorp Financial Group, Inc. |
615,400 | 22,615,950 | ||||||
Starwood Property Trust, Inc., REIT |
465,600 | 8,618,256 | ||||||
Summit Hotel Properties, Inc., REIT |
230,800 | 2,178,752 | ||||||
Tanger Factory Outlet Centers, Inc., REIT |
371,500 | 10,892,380 | ||||||
Tower Group, Inc. |
297,850 | 6,007,635 | ||||||
Trust Co Bank Corp. NY |
368,700 | 2,068,407 | ||||||
UMB Financial Corp. |
449,150 | 16,730,837 | ||||||
Washington REIT |
343,950 | 9,407,032 | ||||||
|
|
|||||||
265,373,347 | ||||||||
|
|
|||||||
Health Care (4.0%) |
||||||||
Cooper Cos., Inc. (The) |
268,896 | 18,962,546 | ||||||
Ensign Group, Inc. |
236,700 | 5,799,150 | ||||||
Landauer, Inc. |
133,400 | 6,870,100 | ||||||
Omnicare, Inc. |
154,600 | 5,325,970 | ||||||
STERIS Corp. |
299,057 | 8,917,880 | ||||||
|
|
|||||||
45,875,646 | ||||||||
|
|
|||||||
Industrials (28.7%) |
||||||||
A.O. Smith Corp. |
900,575 | 36,131,069 | ||||||
ABM Industries, Inc. |
517,600 | 10,672,912 | ||||||
Aceto Corp. |
140,800 | 971,520 | ||||||
Brinks Co. (The) |
372,100 | 10,002,048 | ||||||
China Yuchai International Ltd. |
138,800 | 1,914,052 | ||||||
CIRCOR International, Inc. |
133,800 | 4,724,478 | ||||||
Copa Holdings SA, Cl A |
397,107 | 23,298,268 | ||||||
Crane Co. |
240,100 | 11,215,071 | ||||||
Cubic Corp. |
69,150 | 3,014,249 | ||||||
Forward Air Corp. |
360,500 | 11,554,025 | ||||||
GATX Corp. |
343,471 | 14,995,944 | ||||||
Gol Linhas Aereas Inteligentes SA ADR |
882,750 | 5,852,632 | ||||||
Grupo Aeroportuario del Pacifico SA de CV SP ADR |
359,976 | 12,152,790 | ||||||
Harsco Corp. |
421,000 | 8,664,180 | ||||||
Herman Miller, Inc. |
448,800 | 8,280,360 | ||||||
Interface, Inc., Cl A |
2,084,571 | 24,055,949 | ||||||
John Beam Technologies Corp. |
278,125 | 4,274,781 | ||||||
Knoll, Inc. |
88,700 | 1,317,195 | ||||||
Lennox International, Inc. |
431,800 | 14,573,250 | ||||||
LSI Industries, Inc. |
177,265 | 1,063,590 | ||||||
Macquarie Infrastructure Co. LLC |
282,600 | 7,898,670 | ||||||
Manpower, Inc. |
102,700 | 3,671,525 | ||||||
Mine Safety Appliances Co. |
50,200 | 1,662,624 | ||||||
Nordson Corp. |
217,700 | 8,964,886 |
See Notes to Schedules of Portfolio Investments.
Progressive Waste Solutions Ltd. |
1,575,050 | 30,855,229 | ||||||
Regal-Beloit Corp. |
178,600 | 9,103,242 | ||||||
Ryder System, Inc. |
226,400 | 12,030,896 | ||||||
Snap-on, Inc. |
491,650 | 24,887,323 | ||||||
Tennant Co. |
138,400 | 5,379,608 | ||||||
Viad Corp. |
464,200 | 8,114,216 | ||||||
Watsco, Inc. |
214,100 | 14,057,806 | ||||||
|
|
|||||||
335,354,388 | ||||||||
|
|
|||||||
Information Technology (5.1%) |
||||||||
Aixtron AG SP ADR |
1,169,820 | 14,856,714 | ||||||
Black Box Corp. |
227,550 | 6,380,502 | ||||||
Broadridge Financial Solutions, Inc. |
106,500 | 2,401,575 | ||||||
Cohu, Inc. |
326,953 | 3,710,916 | ||||||
Intersil Corp., Cl A |
1,807,340 | 18,868,630 | ||||||
Plantronics, Inc. |
380,750 | 13,569,930 | ||||||
|
|
|||||||
59,788,267 | ||||||||
|
|
|||||||
Materials (11.4%) |
||||||||
A. Schulman, Inc. |
395,100 | 8,368,218 | ||||||
Buckeye Technologies, Inc. |
362,600 | 12,125,344 | ||||||
Cabot Corp. |
368,000 | 11,827,520 | ||||||
Carpenter Technology Corp. |
238,300 | 12,267,684 | ||||||
Cytec Industries, Inc. |
154,600 | 6,902,890 | ||||||
Globe Specialty Metals, Inc. |
607,100 | 8,129,069 | ||||||
Haynes International, Inc. |
133,300 | 7,278,180 | ||||||
Olin Corp. |
859,900 | 16,897,035 | ||||||
Schnitzer Steel Industries, Inc., Cl A |
119,500 | 5,052,460 | ||||||
Sensient Technologies Corp. |
252,565 | 9,572,214 | ||||||
Valspar Corp. (The) |
877,250 | 34,186,432 | ||||||
|
|
|||||||
132,607,046 | ||||||||
|
|
|||||||
Utilities (1.8%) |
||||||||
Avista Corp. |
283,250 | 7,293,688 | ||||||
California Water Service Group |
431,200 | 7,873,712 | ||||||
Unisource Energy Corp. |
163,000 | 6,017,960 | ||||||
|
|
|||||||
21,185,360 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $1,063,211,050) |
1,094,284,172 | |||||||
|
|
|||||||
Money Market Fund (6.2%) |
||||||||
State Street Institutional Liquid Reserves Fund, Institutional Class, 0.15%(a) |
72,205,551 | 72,205,551 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $72,205,551) |
72,205,551 | |||||||
|
|
|||||||
Total Investments (Cost $1,135,416,601) 99.9% |
1,166,489,723 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.1% |
1,141,658 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,167,631,381 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
ADR | American Depositary Receipt |
ADS | American Depositary Shares |
See Notes to Schedules of Portfolio Investments.
REIT | Real Estate Investment Trust |
SP ADR Sponsored American Depositary Receipt
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Aggressive Growth Allocation Strategy
Shares | Value($) | |||||||||
Equity Funds (76.5%)(a) |
||||||||||
RidgeWorth Aggressive Growth Stock Fund* |
70,072 | 946,672 | ||||||||
RidgeWorth International Equity Fund |
103,952 | 988,582 | ||||||||
RidgeWorth International Equity Index Fund |
91,828 | 963,279 | ||||||||
RidgeWorth Large Cap Core Growth Stock Fund |
125,427 | 1,586,658 | ||||||||
RidgeWorth Large Cap Growth Stock Fund |
285,169 | 3,111,195 | ||||||||
RidgeWorth Large Cap Value Equity Fund |
389,445 | 4,844,693 | ||||||||
RidgeWorth Mid-Cap Value Equity Fund |
220,905 | 2,169,290 | ||||||||
RidgeWorth Select Large Cap Growth Stock Fund* |
85,751 | 2,458,486 | ||||||||
RidgeWorth Small Cap Growth Stock Fund* |
77,658 | 1,193,598 | ||||||||
RidgeWorth Small Cap Value Equity Fund |
95,462 | 1,181,822 | ||||||||
|
|
|||||||||
Total Equity Funds (Cost $17,847,100) |
|
19,444,275 | ||||||||
|
|
|||||||||
Exchange Traded Funds (19.6%) |
||||||||||
iShares Dow Jones U.S. Real Estate Index Fund |
8,797 | 499,582 | ||||||||
iShares MSCI Emerging Markets Index Fund |
28,207 | 1,070,174 | ||||||||
iShares Russell 2000 Index Fund |
423 | 31,171 | ||||||||
iShares S&P 500 Index Fund |
21,990 | 2,769,860 | ||||||||
Market Vectors Gold Miners Fund |
11,614 | 597,308 | ||||||||
|
|
|||||||||
Total Exchange Traded Funds (Cost $5,148,462) |
|
4,968,095 | ||||||||
|
|
|||||||||
Money Market Fund (3.8%) |
||||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(b) |
975,338 | 975,338 | ||||||||
|
|
|||||||||
Total Money Market Fund (Cost $975,338) |
|
975,338 | ||||||||
|
|
|||||||||
Total Investments (Cost $23,970,900) 99.9% |
25,387,708 | |||||||||
|
|
|||||||||
Other assets in excess of liabilities 0.1% |
29,764 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 25,417,472 | ||||||||
|
|
* | Non-income producing security. |
(a) | Affiliated investment. Investment is in each Funds I Shares. |
(b) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Conservative Allocation Strategy
Shares | Value($) | |||||||||
Equity Funds (25.5%)(a) |
||||||||||
RidgeWorth Aggressive Growth Stock Fund* |
28,084 | 379,413 | ||||||||
RidgeWorth International Equity Fund |
61,208 | 582,088 | ||||||||
RidgeWorth International Equity Index Fund |
51,130 | 536,352 | ||||||||
RidgeWorth Large Cap Core Growth Stock Fund |
72,346 | 915,178 | ||||||||
RidgeWorth Large Cap Growth Stock Fund |
220,664 | 2,407,440 | ||||||||
RidgeWorth Large Cap Value Equity Fund |
221,802 | 2,759,217 | ||||||||
RidgeWorth Mid-Cap Value Equity Fund |
139,178 | 1,366,730 | ||||||||
RidgeWorth Select Large Cap Growth Stock Fund* |
37,569 | 1,077,103 | ||||||||
RidgeWorth Small Cap Growth Stock Fund* |
43,221 | 664,310 | ||||||||
RidgeWorth Small Cap Value Equity Fund |
53,228 | 658,965 | ||||||||
|
|
|||||||||
Total Equity Funds (Cost $10,860,279) |
|
11,346,796 | ||||||||
|
|
|||||||||
Fixed Income Funds (61.1%)(a) |
||||||||||
RidgeWorth Corporate Bond Fund |
310,918 | 2,903,975 | ||||||||
RidgeWorth High Income Fund |
241,705 | 1,588,001 | ||||||||
RidgeWorth Intermediate Bond Fund |
1,003,604 | 10,497,701 | ||||||||
RidgeWorth Seix Floating Rate High Income Fund |
74,412 | 643,667 | ||||||||
RidgeWorth Seix High Yield Fund |
176,773 | 1,663,438 | ||||||||
RidgeWorth Total Return Bond Fund |
726,113 | 7,827,496 | ||||||||
RidgeWorth U.S. Government Securities Ultra-Short Bond Fund |
204,593 | 2,066,392 | ||||||||
|
|
|||||||||
Total Fixed Income Funds (Cost $27,217,413) |
|
27,190,670 | ||||||||
|
|
|||||||||
Exchange Traded Funds (8.6%) |
||||||||||
iShares Barclays 20+ Year Treasury Bond Fund |
6,892 | 835,655 | ||||||||
iShares Barclays U.S. Treasury Inflation Protected Securities Fund |
263 | 30,689 | ||||||||
iShares Dow Jones U.S. Real Estate Index Fund |
5,085 | 288,777 | ||||||||
iShares MSCI Emerging Markets Index Fund |
15,950 | 605,143 | ||||||||
iShares Russell 2000 Index Fund |
466 | 34,340 | ||||||||
iShares S&P 500 Index Fund |
13,101 | 1,650,202 | ||||||||
Market Vectors Gold Miners Fund |
6,865 | 353,067 | ||||||||
|
|
|||||||||
Total Exchange Traded Funds (Cost $3,692,640) |
|
3,797,873 | ||||||||
|
|
|||||||||
Money Market Fund (5.3%) |
||||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(b) |
2,365,310 | 2,365,310 | ||||||||
|
|
|||||||||
Total Money Market Fund (Cost $2,365,310) |
|
2,365,310 | ||||||||
|
|
|||||||||
Total Investments (Cost $44,135,642) 100.5% |
44,700,649 | |||||||||
|
|
|||||||||
Liabilities in excess of other assets (0.5)% |
(206,555 | ) | ||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 44,494,094 | ||||||||
|
|
* | Non-income producing security. |
(a) | Affiliated investment. Investment is in each Funds I Shares. |
See Notes to Schedules of Portfolio Investments.
(b) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Growth Allocation Strategy
Shares | Value($) | |||||||
Equity Funds (57.2%)(a) |
||||||||
RidgeWorth Aggressive Growth Stock Fund* |
131,055 | 1,770,548 | ||||||
RidgeWorth International Equity Fund |
194,610 | 1,850,743 | ||||||
RidgeWorth International Equity Index Fund |
171,771 | 1,801,877 | ||||||
RidgeWorth Large Cap Core Growth Stock Fund |
238,431 | 3,016,154 | ||||||
RidgeWorth Large Cap Growth Stock Fund |
578,902 | 6,315,824 | ||||||
RidgeWorth Large Cap Value Equity Fund |
784,733 | 9,762,076 | ||||||
RidgeWorth Mid-Cap Value Equity Fund |
384,726 | 3,778,010 | ||||||
RidgeWorth Select Large Cap Growth Stock Fund* |
159,088 | 4,561,054 | ||||||
RidgeWorth Small Cap Growth Stock Fund* |
138,480 | 2,128,441 | ||||||
RidgeWorth Small Cap Value Equity Fund |
170,147 | 2,106,425 | ||||||
|
|
|||||||
Total Equity Funds (Cost $32,932,665) |
37,091,152 | |||||||
|
|
|||||||
Fixed Income Funds (24.1%)(a) |
||||||||
RidgeWorth Corporate Bond Fund |
130,902 | 1,222,622 | ||||||
RidgeWorth High Income Fund |
171,321 | 1,125,580 | ||||||
RidgeWorth Intermediate Bond Fund |
651,577 | 6,815,492 | ||||||
RidgeWorth Seix Floating Rate High Income Fund |
51,057 | 441,643 | ||||||
RidgeWorth Seix High Yield Fund |
121,640 | 1,144,634 | ||||||
RidgeWorth Total Return Bond Fund |
424,839 | 4,579,765 | ||||||
RidgeWorth U.S. Government Securities Ultra-Short Bond Fund |
32,951 | 332,809 | ||||||
|
|
|||||||
Total Fixed Income Funds (Cost $15,297,007) |
15,662,545 | |||||||
|
|
|||||||
Exchange Traded Funds (15.7%) |
||||||||
iShares Barclays 20+ Year Treasury Bond Fund |
3,168 | 384,120 | ||||||
iShares Barclays U.S. Treasury Inflation Protected Securities Fund |
354 | 41,308 | ||||||
iShares Dow Jones U.S. Real Estate Index Fund |
16,830 | 955,776 | ||||||
iShares MSCI Emerging Markets Index Fund |
52,320 | 1,985,021 | ||||||
iShares Russell 2000 Index Fund |
1,330 | 98,008 | ||||||
iShares S&P 500 Index Fund |
44,388 | 5,591,112 | ||||||
Market Vectors Gold Miners Fund |
22,262 | 1,144,934 | ||||||
|
|
|||||||
Total Exchange Traded Funds (Cost $10,533,136) |
10,200,279 | |||||||
|
|
|||||||
Money Market Fund (2.9%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(b) |
1,880,842 | 1,880,842 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $1,880,842) |
1,880,842 | |||||||
|
|
|||||||
Total Investments (Cost $60,643,650) 99.9% |
64,834,818 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.1% |
94,519 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 64,929,337 | ||||||
|
|
* | Non-income producing security. |
(a) | Affiliated investment. Investment is in each Funds I Shares. |
See Notes to Schedules of Portfolio Investments.
(b) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Moderate Allocation Strategy
Shares | Value($) | |||||||||
Equity Funds (41.5%)(a) |
||||||||||
RidgeWorth Aggressive Growth Stock Fund* |
216,797 | 2,928,932 | ||||||||
RidgeWorth International Equity Fund |
310,969 | 2,957,316 | ||||||||
RidgeWorth International Equity Index Fund |
274,572 | 2,880,262 | ||||||||
RidgeWorth Large Cap Core Growth Stock Fund |
391,912 | 4,957,693 | ||||||||
RidgeWorth Large Cap Growth Stock Fund |
1,025,126 | 11,184,124 | ||||||||
RidgeWorth Large Cap Value Equity Fund |
1,300,306 | 16,175,808 | ||||||||
RidgeWorth Mid-Cap Value Equity Fund |
641,258 | 6,297,150 | ||||||||
RidgeWorth Select Large Cap Growth Stock Fund* |
246,000 | 7,052,823 | ||||||||
RidgeWorth Small Cap Growth Stock Fund* |
221,479 | 3,404,131 | ||||||||
RidgeWorth Small Cap Value Equity Fund |
272,234 | 3,370,255 | ||||||||
|
|
|||||||||
Total Equity Funds (Cost $54,104,105) |
61,208,494 | |||||||||
|
|
|||||||||
Fixed Income Funds (43.6%)(a) |
||||||||||
RidgeWorth Corporate Bond Fund |
524,557 | 4,899,358 | ||||||||
RidgeWorth High Income Fund |
710,014 | 4,664,791 | ||||||||
RidgeWorth Intermediate Bond Fund |
2,487,572 | 26,020,000 | ||||||||
RidgeWorth Seix Floating Rate High Income Fund |
237,050 | 2,050,478 | ||||||||
RidgeWorth Seix High Yield Fund |
503,796 | 4,740,723 | ||||||||
RidgeWorth Total Return Bond Fund |
1,863,565 | 20,089,229 | ||||||||
RidgeWorth U.S. Government Securities Ultra-Short Bond Fund |
180,961 | 1,827,703 | ||||||||
|
|
|||||||||
Total Fixed Income Funds (Cost $62,893,185) |
64,292,282 | |||||||||
|
|
|||||||||
Exchange Traded Funds (12.0%) |
||||||||||
iShares Barclays 20+ Year Treasury Bond Fund |
12,995 | 1,575,644 | ||||||||
iShares Barclays U.S. Treasury Inflation Protected Securities Fund |
1,153 | 134,544 | ||||||||
iShares Dow Jones U.S. Real Estate Index Fund |
28,041 | 1,592,448 | ||||||||
iShares MSCI Emerging Markets Index Fund |
86,396 | 3,277,864 | ||||||||
iShares Russell 2000 Index Fund |
5,784 | 426,223 | ||||||||
iShares S&P 500 Index Fund |
69,207 | 8,717,314 | ||||||||
Market Vectors Gold Miners Fund |
37,353 | 1,921,065 | ||||||||
|
|
|||||||||
Total Exchange Traded Funds (Cost $17,770,886) |
17,645,102 | |||||||||
|
|
|||||||||
Money Market Fund (2.7%) |
||||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(b) |
3,961,660 | 3,961,660 | ||||||||
|
|
|||||||||
Total Money Market Fund (Cost $3,961,660) |
3,961,660 | |||||||||
|
|
|||||||||
Total Investments (Cost $138,729,836) 99.8% |
147,107,538 | |||||||||
|
|
|||||||||
Other assets in excess of liabilities 0.2% |
238,323 | |||||||||
|
|
|||||||||
Net Assets 100.0% |
$ | 147,345,861 | ||||||||
|
|
* | Non-income producing security. |
(a) | Affiliated investment. Investment is in each Funds I Shares. |
See Notes to Schedules of Portfolio Investments.
(b) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Core Bond Fund
|
||||||||
Shares
or Principal Amount($) |
Value($) | |||||||
Collateralized Mortgage Obligations (10.3%) |
||||||||
Agency Collateralized Mortgage Obligations (7.4%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3702, Cl MY, 4.000%, 08/15/30 |
2,410,790 | 2,578,739 | ||||||
Federal Home Loan Mortgage Corporation, Series 3788, Cl YB, 3.500%, 01/15/26 |
9,765,488 | 10,239,458 | ||||||
Federal Home Loan Mortgage Corporation, Series 3892, Cl EB, 3.500%, 07/15/26 |
295,486 | 308,048 | ||||||
Federal Home Loan Mortgage Corporation, Series 3907, Cl MD, 3.500%, 08/15/26 |
2,818,475 | 2,937,522 | ||||||
Federal National Mortgage Association, Series 2005-71, Cl F, 0.494%, 08/25/25(a) |
2,707,568 | 2,699,216 | ||||||
Federal National Mortgage Association, Series 2011-46, Cl B, 3.000%, 05/25/26 |
4,925,000 | 5,029,239 | ||||||
Federal National Mortgage Association, Series 2011-98, Cl FL, 0.594%, 10/25/26(a) |
1,062,358 | 1,061,254 | ||||||
Federal National Mortgage Association, Series 2011-98, Cl VE, 3.500%, 06/25/26 |
1,000,000 | 1,026,150 | ||||||
Government National Mortgage Association, Series 2011-104, Cl MY, 4.000%, 07/16/26 |
1,093,731 | 1,208,837 | ||||||
|
|
|||||||
27,088,463 | ||||||||
|
|
|||||||
Agency Collateralized Planned Amortization Class Mortgage Obligation (0.4%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3903, Cl GB, 4.000%, 08/15/26 |
1,277,000 | 1,382,536 | ||||||
|
|
|||||||
Commercial Mortgage Backed Securities (2.5%) |
||||||||
Banc of America Commercial Mortgage, Inc., Series 2005-3, Cl A3B, 5.090%, 07/10/43(a) |
330,000 | 345,818 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-6, Cl AM, 5.193%, 09/10/47(a) |
159,000 | 169,475 | ||||||
DBUBS Mortgage Trust, Series11-LC3A, Cl A2, 3.642%, 08/10/44 |
1,784,000 | 1,879,344 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Cl A4B, 4.996%, 08/15/42(a) |
2,065,000 | 2,156,820 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C3, Cl A5, 4.739%, 07/15/30 |
3,000,000 | 3,238,200 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Cl A3, 5.442%, 11/15/30(a) |
555,000 | 567,868 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Cl AMFX, 5.179%, 07/15/42(a) |
70,000 | 73,452 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Cl AM, 5.380%, 10/15/44(a) |
628,000 | 664,443 | ||||||
|
|
|||||||
9,095,420 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $36,352,601) |
|
37,566,419 | ||||||
|
|
|||||||
Corporate Bonds (26.6%) |
||||||||
Aerospace/Defense (0.7%) |
||||||||
Boeing Co. (The), 5.125%, 02/15/13 |
610,000 | 639,537 | ||||||
Raytheon Co., 1.400%, 12/15/14 |
704,000 | 707,410 | ||||||
United Technologies Corp., 6.125%, 02/01/19 |
1,075,000 | 1,328,359 | ||||||
|
|
|||||||
2,675,306 | ||||||||
|
|
|||||||
Auto Manufacturers (0.2%) |
||||||||
Daimler Finance N.A. LLC, 3.875%, 09/15/21(b) |
584,000 | 586,886 | ||||||
|
|
|||||||
Banks (0.9%) |
||||||||
HSBC Bank PLC, 3.100%, 05/24/16(b) |
407,000 | 407,024 | ||||||
HSBC Bank PLC, 3.500%, 06/28/15(b) |
772,000 | 778,233 | ||||||
JPMorgan Chase & Co., 4.400%, 07/22/20 |
1,033,000 | 1,054,916 | ||||||
JPMorgan Chase & Co., 6.300%, 04/23/19 |
245,000 | 277,496 | ||||||
Northern Trust Corp., 5.200%, 11/09/12 |
928,000 | 961,744 | ||||||
|
|
|||||||
3,479,413 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Beverages (0.3%) |
| |||||||
Anheuser-Busch InBev Worldwide, Inc., 3.000%, 10/15/12 |
772,000 | 784,083 | ||||||
Diageo Capital PLC, 5.200%, 01/30/13 |
389,000 | 407,361 | ||||||
|
|
|||||||
1,191,444 | ||||||||
|
|
|||||||
Biotechnology (0.1%) |
||||||||
Life Technologies Corp., 5.000%, 01/15/21, Callable 10/15/20 @ 100 |
198,000 | 207,177 | ||||||
|
|
|||||||
Chemicals (1.1%) |
||||||||
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
721,000 | 748,375 | ||||||
E.I. du Pont de Nemours & Co., 4.250%, 04/01/21 |
404,000 | 456,558 | ||||||
E.I. du Pont de Nemours & Co., 5.000%, 07/15/13 |
559,000 | 593,839 | ||||||
Praxair, Inc., 1.750%, 11/15/12 |
1,171,000 | 1,180,987 | ||||||
Praxair, Inc., 4.625%, 03/30/15 |
900,000 | 993,447 | ||||||
|
|
|||||||
3,973,206 | ||||||||
|
|
|||||||
Commercial Services (0.7%) |
||||||||
ERAC USA Finance LLC, 5.250%, 10/01/20(b) |
906,000 | 976,799 | ||||||
ERAC USA Finance LLC, 5.600%, 05/01/15(b) |
931,000 | 1,018,197 | ||||||
ERAC USA Finance LLC, 5.800%, 10/15/12(b) |
592,000 | 612,458 | ||||||
|
|
|||||||
2,607,454 | ||||||||
|
|
|||||||
Computers (1.0%) |
||||||||
Hewlett-Packard Co., 4.375%, 09/15/21 |
1,077,000 | 1,111,510 | ||||||
Hewlett-Packard Co., 4.500%, 03/01/13 |
345,000 | 354,815 | ||||||
IBM Corp., 0.875%, 10/31/14 |
1,573,000 | 1,573,566 | ||||||
IBM Corp., 5.600%, 11/30/39 |
592,000 | 760,531 | ||||||
|
|
|||||||
3,800,422 | ||||||||
|
|
|||||||
Diversified Financial Services (2.3%) |
||||||||
ABB Treasury Center USA, Inc., 4.000%, 06/15/21(b) |
665,000 | 683,146 | ||||||
CME Group, Inc., 5.400%, 08/01/13 |
573,000 | 610,608 | ||||||
CME Group, Inc., 5.750%, 02/15/14 |
514,000 | 560,268 | ||||||
John Deere Capital Corp., 1.250%, 12/02/14, MTN |
593,000 | 599,428 | ||||||
Lazard Group LLC, 7.125%, 05/15/15 |
961,000 | 1,031,908 | ||||||
MassMutual Global Funding LLC, 2.300%, 09/28/15(b) |
968,000 | 971,852 | ||||||
NASDAQ OMX Group, Inc. (The), 5.550%, 01/15/20 |
607,000 | 621,871 | ||||||
PACCAR Financial Corp., 1.550%, 09/29/14, MTN |
927,000 | 937,907 | ||||||
TIAA Global Markets, Inc., 5.125%, 10/10/12(b) |
848,000 | 874,928 | ||||||
Toyota Motor Credit Corp., 3.200%, 06/17/15, MTN |
360,000 | 378,654 | ||||||
Woodside Finance Ltd., 4.600%, 05/10/21, Callable 02/10/21 @ 100(b) |
1,124,000 | 1,147,680 | ||||||
|
|
|||||||
8,418,250 | ||||||||
|
|
|||||||
Electric (1.1%) |
||||||||
Alabama Power Co., 5.800%, 11/15/13 |
553,000 | 602,416 | ||||||
Dominion Resources, Inc., 1.950%, 08/15/16 |
292,000 | 293,438 | ||||||
Duke Energy Carolinas LLC, 4.300%, 06/15/20 |
215,000 | 242,157 | ||||||
Exelon Generation Co. LLC, 6.200%, 10/01/17 |
600,000 | 689,012 | ||||||
Georgia Power Co., 6.000%, 11/01/13 |
313,000 | 341,820 | ||||||
MidAmerican Energy Holdings Co., 6.125%, 04/01/36 |
455,000 | 543,429 | ||||||
Public Service Co. of Colorado, Series 17, 6.250%, 09/01/37 |
294,000 | 395,793 | ||||||
Southern California Edison Co., 5.750%, 03/15/14 |
578,000 | 636,684 | ||||||
Wisconsin Power & Light Co., 6.375%, 08/15/37 |
317,000 | 432,923 | ||||||
|
|
|||||||
4,177,672 | ||||||||
|
|
|||||||
Electronics (0.1%) |
||||||||
Thermo Fisher Scientific, Inc., 2.250%, 08/15/16 |
272,000 | 277,297 | ||||||
|
|
|||||||
Food (0.4%) |
||||||||
Kellogg Co., 4.250%, 03/06/13 |
525,000 | 545,136 | ||||||
Kraft Foods, Inc., 6.500%, 02/09/40 |
408,000 | 530,784 | ||||||
Kroger Co. (The), 7.500%, 01/15/14 |
340,000 | 379,977 | ||||||
|
|
|||||||
1,455,897 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Healthcare - Products (0.4%) |
||||||||
Becton Dickinson and Co., 3.250%, 11/12/20 |
234,000 | 242,333 | ||||||
Covidien International Finance SA, 6.000%, 10/15/17 |
597,000 | 707,446 | ||||||
Stryker Corp., 2.000%, 09/30/16 |
431,000 | 441,056 | ||||||
|
|
|||||||
1,390,835 | ||||||||
|
|
|||||||
Healthcare - Services (0.4%) |
||||||||
Roche Holdings, Inc., 7.000%, 03/01/39(b) |
1,040,000 | 1,473,614 | ||||||
|
|
|||||||
Insurance (1.4%) |
||||||||
Berkshire Hathaway, Inc., 3.200%, 02/11/15 |
953,000 | 1,010,334 | ||||||
Berkshire Hathaway, Inc., 4.600%, 05/15/13 |
626,000 | 658,453 | ||||||
Fairfax Financial Holdings Ltd., 5.800%, 05/15/21(b) |
450,000 | 428,939 | ||||||
Nationwide Financial Services, Inc., 5.375%, 03/25/21(b) |
1,728,000 | 1,697,321 | ||||||
OneBeacon U.S. Holdings, Inc., 5.875%, 05/15/13 |
475,000 | 488,167 | ||||||
Progressive Corp. (The), 3.750%, 08/23/21 |
196,000 | 203,667 | ||||||
Teachers Insurance & Annuity Association of America, 6.850%, 12/16/39(b) |
401,000 | 514,644 | ||||||
|
|
|||||||
5,001,525 | ||||||||
|
|
|||||||
Media (0.9%) |
||||||||
Comcast Corp., 6.450%, 03/15/37 |
257,000 | 311,547 | ||||||
NBC Universal Media LLC, 5.950%, 04/01/41 |
471,000 | 553,620 | ||||||
Thomson Reuters Corp., 5.950%, 07/15/13 |
178,000 | 189,657 | ||||||
Time Warner Cable, Inc., 5.850%, 05/01/17 |
1,237,000 | 1,408,730 | ||||||
Time Warner Cable, Inc., 8.250%, 02/14/14 |
588,000 | 662,768 | ||||||
Time Warner, Inc., 6.200%, 03/15/40 |
164,000 | 193,176 | ||||||
|
|
|||||||
3,319,498 | ||||||||
|
|
|||||||
Mining (1.3%) |
||||||||
Barrick (PD) Australia Finance Property Ltd., 4.950%, 01/15/20 |
215,000 | 238,676 | ||||||
Barrick (PD) Australia Finance Property Ltd., 5.950%, 10/15/39 |
405,000 | 468,863 | ||||||
Barrick International Barbados Corp., 6.350%, 10/15/36(b) |
673,000 | 831,750 | ||||||
BHP Billiton Finance USA Ltd., 1.125%, 11/21/14 |
614,000 | 615,441 | ||||||
Kinross Gold Corp., 5.125%, 09/01/21(b)(c) |
1,825,000 | 1,791,088 | ||||||
Newmont Mining Corp., 6.250%, 10/01/39 |
669,000 | 792,104 | ||||||
|
|
|||||||
4,737,922 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (1.5%) |
||||||||
3M Co., 1.375%, 09/29/16 |
413,000 | 416,544 | ||||||
Danaher Corp., 3.900%, 06/23/21 |
463,000 | 511,150 | ||||||
General Electric Co., 5.000%, 02/01/13 |
1,277,000 | 1,330,755 | ||||||
General Electric Co., 5.250%, 12/06/17 |
385,000 | 441,889 | ||||||
Illinois Tool Works, Inc., 6.250%, 04/01/19 |
1,347,000 | 1,662,252 | ||||||
Siemens Financieringsmat, 6.125%, 08/17/26(b) |
788,000 | 956,573 | ||||||
|
|
|||||||
5,319,163 | ||||||||
|
|
|||||||
Office/Business Equip (0.4%) |
||||||||
Xerox Corp., 5.500%, 05/15/12 |
418,000 | 424,931 | ||||||
Xerox Corp., 6.350%, 05/15/18 |
904,000 | 1,018,320 | ||||||
|
|
|||||||
1,443,251 | ||||||||
|
|
|||||||
Oil & Gas (1.1%) |
||||||||
BP Capital Markets PLC, 2.248%, 11/01/16 |
772,000 | 776,923 | ||||||
Ensco PLC, 4.700%, 03/15/21 |
617,000 | 642,547 | ||||||
Shell International Finance BV, 6.375%, 12/15/38 |
1,491,000 | 2,052,080 | ||||||
Statoil ASA, 3.125%, 08/17/17 |
245,000 | 258,402 | ||||||
Total Capital SA, 3.000%, 06/24/15 |
355,000 | 375,200 | ||||||
|
|
|||||||
4,105,152 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Oil & Gas Services (0.6%) |
| |||||||
Baker Hughes, Inc., 5.125%, 09/15/40 |
489,000 | 571,791 | ||||||
Schlumberger Investment SA, 3.300%, 09/14/21(b) |
685,000 | 703,726 | ||||||
Weatherford International Ltd., 5.125%, 09/15/20 |
445,000 | 462,434 | ||||||
Weatherford International Ltd., 6.500%, 08/01/36 |
370,000 | 402,959 | ||||||
|
|
|||||||
2,140,910 | ||||||||
|
|
|||||||
Pharmaceuticals (1.5%) |
||||||||
Abbott Laboratories, 5.600%, 11/30/17 |
1,001,000 | 1,195,347 | ||||||
Express Scripts, Inc., 5.250%, 06/15/12 |
817,000 | 832,446 | ||||||
GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 |
669,000 | 805,213 | ||||||
Novartis Securities Investment Ltd., 5.125%, 02/10/19 |
378,000 | 444,245 | ||||||
Sanofi-Aventis SA, 4.000%, 03/29/21 |
952,000 | 1,054,757 | ||||||
Schering-Plough Corp., 6.550%, 09/15/37 |
431,000 | 600,853 | ||||||
Teva Pharmaceutical Finance Co. LLC, 6.150%, 02/01/36 |
213,000 | 258,885 | ||||||
Teva Pharmaceutical Finance II/III, 3.000%, 06/15/15 |
410,000 | 426,958 | ||||||
|
|
|||||||
5,618,704 | ||||||||
|
|
|||||||
Pipelines (1.9%) |
||||||||
El Paso Natural Gas Co., 5.950%, 04/15/17 |
495,000 | 555,819 | ||||||
Energy Transfer Partners LP, 6.050%, 06/01/41, Callable 12/01/40 @ 100 |
450,000 | 441,247 | ||||||
Energy Transfer Partners LP, 6.625%, 10/15/36 |
425,000 | 446,887 | ||||||
Enterprise Products Operating LLC, 5.250%, 01/31/20 |
878,000 | 969,424 | ||||||
Enterprise Products Operating LLC, Series J, 5.750%, 03/01/35 |
585,000 | 621,936 | ||||||
Rockies Express Pipeline LLC, 6.850%, 07/15/18(b) |
935,000 | 966,042 | ||||||
Southern Natural Gas Co., 5.900%, 04/01/17(b) |
285,000 | 325,719 | ||||||
TC Pipelines LP, 4.650%, 06/15/21 |
563,000 | 589,483 | ||||||
TransCanada PipeLines Ltd., 6.100%, 06/01/40 |
529,000 | 677,680 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 6.050%, 06/15/18 |
394,000 | 450,967 | ||||||
Williams Partners LP, 4.125%, 11/15/20, Callable 08/15/20 @ 100 |
707,000 | 725,575 | ||||||
|
|
|||||||
6,770,779 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (1.2%) |
||||||||
BioMed Realty LP, 3.850%, 04/15/16 |
748,000 | 737,861 | ||||||
Digital Realty Trust LP, 4.500%, 07/15/15 |
1,824,000 | 1,860,472 | ||||||
Digital Realty Trust LP, 5.875%, 02/01/20 |
257,000 | 267,398 | ||||||
Healthcare Realty Trust, Inc., 6.500%, 01/17/17 |
1,481,000 | 1,590,501 | ||||||
|
|
|||||||
4,456,232 | ||||||||
|
|
|||||||
Retail (1.4%) |
||||||||
Family Dollar Stores, Inc., 5.000%, 02/01/21 |
284,000 | 292,277 | ||||||
Wal-Mart Stores, Inc., 5.250%, 09/01/35 |
193,000 | 230,865 | ||||||
Wal-Mart Stores, Inc., 6.500%, 08/15/37 |
1,577,000 | 2,178,605 | ||||||
Walgreen Co., 4.875%, 08/01/13 |
447,000 | 476,901 | ||||||
Wesfarmers Ltd., 6.998%, 04/10/13(b) |
1,668,000 | 1,769,541 | ||||||
|
|
|||||||
4,948,189 | ||||||||
|
|
|||||||
Semiconductors (0.7%) |
||||||||
Analog Devices, Inc., 3.000%, 04/15/16 |
169,000 | 178,117 | ||||||
Intel Corp., 1.950%, 10/01/16 |
479,000 | 492,420 | ||||||
Intel Corp., 4.800%, 10/01/41 |
1,596,000 | 1,788,648 | ||||||
|
|
|||||||
2,459,185 | ||||||||
|
|
|||||||
Software (0.5%) |
||||||||
Fiserv, Inc., 4.750%, 06/15/21 |
611,000 | 639,251 | ||||||
Oracle Corp., 5.750%, 04/15/18 |
937,000 | 1,137,035 | ||||||
|
|
|||||||
1,776,286 | ||||||||
|
|
|||||||
Telecommunication Services (2.0%) |
||||||||
AT&T, Inc., 4.950%, 01/15/13 |
647,000 | 674,316 | ||||||
AT&T, Inc., 5.550%, 08/15/41 |
624,000 | 734,708 |
See Notes to Schedules of Portfolio Investments.
CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17, Callable 05/01/13 @ 103.88(b) |
1,082,000 | 1,165,855 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
428,000 | 465,005 | ||||||
Cisco Systems, Inc., 5.500%, 02/22/16 |
418,000 | 486,439 | ||||||
Cisco Systems, Inc., 5.500%, 01/15/40 |
794,000 | 971,510 | ||||||
Juniper Networks, Inc., 3.100%, 03/15/16 |
137,000 | 141,703 | ||||||
Rogers Communications, Inc., 7.500%, 03/15/15 |
571,000 | 668,587 | ||||||
SBC Communications, Inc., 5.100%, 09/15/14 |
538,000 | 592,577 | ||||||
SBC Communications, Inc., 6.450%, 06/15/34 |
336,000 | 404,141 | ||||||
Verizon Communications, Inc., 5.250%, 04/15/13 |
472,000 | 498,070 | ||||||
Verizon Communications, Inc., 5.550%, 02/15/16 |
465,000 | 532,087 | ||||||
|
|
|||||||
7,334,998 | ||||||||
|
|
|||||||
Transportation (0.1%) |
||||||||
United Parcel Service, Inc., 3.125%, 01/15/21 |
392,000 | 415,833 | ||||||
|
|
|||||||
Trucking & Leasing (0.3%) |
||||||||
Aviation Capital Group Corp., 6.750%, 04/06/21(b) |
499,000 | 470,148 | ||||||
Aviation Capital Group Corp., 7.125%, 10/15/20(b) |
686,000 | 663,588 | ||||||
|
|
|||||||
1,133,736 | ||||||||
|
|
|||||||
Water (0.1%) |
||||||||
Veolia Environment SA, 6.000%, 06/01/18 |
408,000 | 445,446 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $88,557,588) |
|
97,141,682 | ||||||
|
|
|||||||
U.S. Government Agency Mortgages (28.3%) |
||||||||
Federal Home Loan Mortgage Corporation (16.3%) |
||||||||
Pool #A12413, 5.000%, 08/01/33 |
529,581 | 570,145 | ||||||
Pool #G05052, 5.000%, 10/01/33 |
313,295 | 337,293 | ||||||
Pool #G01797, 5.500%, 12/01/33 |
11,417,568 | 12,443,768 | ||||||
Pool #A30380, 5.500%, 12/01/34 |
969,476 | 1,069,033 | ||||||
Pool #G01779, 5.000%, 04/01/35 |
661,517 | 711,774 | ||||||
Pool #G08051, 5.000%, 04/01/35 |
1,173,836 | 1,263,016 | ||||||
Pool #A46278, 5.000%, 07/01/35 |
2,074,768 | 2,252,493 | ||||||
Pool #G01837, 5.000%, 07/01/35 |
4,689,322 | 5,045,582 | ||||||
Pool #A47402, 5.000%, 10/01/35 |
1,951,885 | 2,100,175 | ||||||
Pool #G02252, 5.500%, 07/01/36 |
9,326,630 | 10,143,039 | ||||||
Pool #G04997, 5.000%, 01/01/37 |
4,682,822 | 5,038,589 | ||||||
Pool #G03296, 6.000%, 09/01/37 |
888,146 | 991,286 | ||||||
Pool #1B8740, 2.427%, 09/01/41(a) |
6,139,692 | 6,351,600 | ||||||
3.000%, TBA, 15 Year Maturity(d) |
4,315,000 | 4,453,889 | ||||||
3.000%, TBA, 15 Year Maturity(d) |
4,315,000 | 4,440,405 | ||||||
6.000%, TBA, 30 Year Maturity(d) |
2,000,000 | 2,191,875 | ||||||
|
|
|||||||
59,403,962 | ||||||||
|
|
|||||||
Federal National Mortgage Association (10.9%) |
||||||||
Pool #468958, 3.770%, 09/01/21 |
7,428,000 | 7,980,866 | ||||||
Pool #469452, 3.380%, 11/01/21 |
3,495,556 | 3,670,341 | ||||||
Pool #735061, 6.000%, 11/01/34 |
3,367,379 | 3,742,119 | ||||||
Pool #735141, 5.500%, 01/01/35 |
1,008,067 | 1,101,348 | ||||||
Pool #827943, 5.000%, 05/01/35(d) |
519,914 | 562,094 | ||||||
Pool #735500, 5.500%, 05/01/35 |
2,775,675 | 3,030,788 | ||||||
Pool #357829, 6.000%, 06/01/35 |
1,682,493 | 1,860,792 | ||||||
Pool #831017, 6.000%, 09/01/35 |
866,101 | 957,885 | ||||||
Pool #888344, 5.000%, 10/01/35(d) |
3,945,784 | 4,265,902 | ||||||
Pool #878094, 6.000%, 04/01/36 |
3,729,098 | 4,148,753 | ||||||
Pool #190370, 6.000%, 06/01/36 |
3,373,312 | 3,721,303 | ||||||
Pool #995082, 5.500%, 08/01/37 |
1,854,546 | 2,026,157 | ||||||
Pool #AD0439, 6.000%, 07/01/39 |
865,675 | 954,167 | ||||||
2.500%, TBA, 15 Year Maturity(d) |
1,820,000 | 1,829,391 | ||||||
|
|
|||||||
39,851,906 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Government National Mortgage Association (1.1%) |
||||||||
Pool #751387, 4.743%, 01/20/61 |
3,686,592 | 4,045,346 | ||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $101,980,378) |
103,301,214 | |||||||
|
|
|||||||
U.S. Treasury Obligations (32.8%) |
||||||||
U.S. Treasury Bond (4.3%) |
||||||||
3.750%, 08/15/41 |
13,296,000 | 15,637,346 | ||||||
|
|
|||||||
U.S. Treasury Notes (28.5%) |
||||||||
0.500%, 10/15/14 |
24,620,000 | 24,721,951 | ||||||
0.875%, 02/29/12(e) |
17,345,000 | 17,368,034 | ||||||
1.250%, 10/31/15 |
26,780,000 | 27,466,238 | ||||||
1.750%, 05/31/16(e) |
32,777,000 | 34,275,007 | ||||||
2.000%, 11/15/21 |
308,000 | 311,513 | ||||||
|
|
|||||||
104,142,743 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $118,809,381) |
119,780,089 | |||||||
|
|
|||||||
Short-Term Investment (0.1%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(f) |
603,628 | 603,628 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $603,628) |
603,628 | |||||||
|
|
|||||||
Money Market Fund (5.7%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(g) |
20,798,454 | 20,798,454 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $20,798,454) |
20,798,454 | |||||||
|
|
|||||||
Total Investments (Cost $367,102,030) 103.8% |
379,191,486 | |||||||
|
|
|||||||
Liabilities in excess of other assets (3.8)% |
(13,925,207 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 365,266,279 | ||||||
|
|
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 6.0% of net assets as of December 31, 2011. |
(c) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $591,648. |
(d) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(e) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(g) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
MTN | | Medium Term Note | ||
TBA | | To Be Announced. Securities purchased on a forward commitment basis with an appropriate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Corporate Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Corporate Bonds (93.3%) |
||||||||
Aerospace/Defense (2.2%) |
||||||||
Raytheon Co., 1.400%, 12/15/14 |
751,000 | 754,638 | ||||||
United Technologies Corp., 5.700%, 04/15/40 |
757,000 | 934,572 | ||||||
|
|
|||||||
1,689,210 | ||||||||
|
|
|||||||
Banks (6.5%) |
||||||||
Citigroup, Inc., 4.500%, 01/14/22 |
1,356,000 | 1,304,503 | ||||||
HSBC Bank PLC, 3.100%, 05/24/16(a) |
416,000 | 416,025 | ||||||
HSBC Bank PLC, 3.500%, 06/28/15(a) |
585,000 | 589,723 | ||||||
JPMorgan Chase & Co., 4.400%, 07/22/20 |
1,382,000 | 1,411,320 | ||||||
Royal Bank of Canada, 2.100%, 07/29/13, MTN |
1,220,000 | 1,238,526 | ||||||
|
|
|||||||
4,960,097 | ||||||||
|
|
|||||||
Biotechnology (0.5%) |
||||||||
Life Technologies Corp., 5.000%, 01/15/21, Callable 10/15/20 @ 100 |
361,000 | 377,733 | ||||||
|
|
|||||||
Chemicals (0.6%) |
||||||||
E.I. du Pont de Nemours & Co., 4.250%, 04/01/21 |
426,000 | 481,420 | ||||||
|
|
|||||||
Commercial Services (2.3%) |
||||||||
ERAC USA Finance LLC, 5.250%, 10/01/20(a) |
1,095,000 | 1,180,569 | ||||||
ERAC USA Finance LLC, 5.800%, 10/15/12(a) |
588,000 | 608,319 | ||||||
|
|
|||||||
1,788,888 | ||||||||
|
|
|||||||
Computers (3.5%) |
||||||||
Hewlett-Packard Co., 4.650%, 12/09/21 |
701,000 | 739,611 | ||||||
Hewlett-Packard Co., 6.125%, 03/01/14 |
259,000 | 279,267 | ||||||
IBM Corp., 0.875%, 10/31/14 |
1,693,000 | 1,693,610 | ||||||
|
|
|||||||
2,712,488 | ||||||||
|
|
|||||||
Cosmetics/Personal Care (0.4%) |
||||||||
Colgate-Palmolive Co., 0.600%, 11/15/14, MTN(b) |
319,000 | 318,891 | ||||||
|
|
|||||||
Diversified Financial Services (14.9%) |
||||||||
ABB Treasury Center USA, Inc., 4.000%, 06/15/21(a) |
707,000 | 726,292 | ||||||
CME Group, Inc., 5.750%, 02/15/14 |
1,176,000 | 1,281,858 | ||||||
General Electric Capital Corp., 4.650%, 10/17/21, MTN |
1,573,000 | 1,641,688 | ||||||
John Deere Capital Corp., 1.250%, 12/02/14, MTN |
633,000 | 639,862 | ||||||
Lazard Group LLC, 6.850%, 06/15/17 |
1,545,000 | 1,620,660 | ||||||
Lazard Group LLC, 7.125%, 05/15/15 |
269,000 | 288,848 | ||||||
MassMutual Global Funding LLC, 2.300%, 09/28/15(a) |
843,000 | 846,354 | ||||||
NASDAQ OMX Group, Inc. (The), 5.550%, 01/15/20 |
1,217,000 | 1,246,815 | ||||||
PACCAR Financial Corp., 1.550%, 09/29/14, MTN |
938,000 | 949,037 | ||||||
Toyota Motor Credit Corp., 3.200%, 06/17/15, MTN |
724,000 | 761,515 | ||||||
Woodside Finance Ltd., 4.600%, 05/10/21, Callable 02/10/21 @ 100(a) |
1,389,000 | 1,418,264 | ||||||
|
|
|||||||
11,421,193 | ||||||||
|
|
|||||||
Electric (2.7%) |
||||||||
Alabama Power Co., 5.800%, 11/15/13 |
81,000 | 88,238 | ||||||
Dominion Resources, Inc., 1.950%, 08/15/16 |
299,000 | 300,473 | ||||||
Georgia Power Co., 6.000%, 11/01/13 |
480,000 | 524,196 | ||||||
Southern California Edison Co., 5.750%, 03/15/14 |
1,084,000 | 1,194,057 | ||||||
|
|
|||||||
2,106,964 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Electronics (0.4%) |
||||||||
Thermo Fisher Scientific, Inc., 2.250%, 08/15/16 |
279,000 | 284,433 | ||||||
|
|
|||||||
Food (1.0%) |
||||||||
Kraft Foods, Inc., 6.500%, 02/09/40 |
606,000 | 788,370 | ||||||
|
|
|||||||
Healthcare - Products (0.6%) |
||||||||
Stryker Corp., 2.000%, 09/30/16 |
449,000 | 459,476 | ||||||
|
|
|||||||
Insurance (4.2%) |
||||||||
Allied World Assurance Co. Holdings Ltd., 5.500%, 11/15/20 |
618,000 | 619,114 | ||||||
Fairfax Financial Holdings Ltd., 5.800%, 05/15/21(a) |
532,000 | 507,101 | ||||||
OneBeacon U.S. Holdings, Inc., 5.875%, 05/15/13 |
636,000 | 653,629 | ||||||
Progressive Corp. (The), 3.750%, 08/23/21 |
199,000 | 206,785 | ||||||
Teachers Insurance & Annuity Association of America, 6.850%, 12/16/39(a) |
994,000 | 1,275,702 | ||||||
|
|
|||||||
3,262,331 | ||||||||
|
|
|||||||
Machinery-Construction & Mining (1.7%) |
||||||||
Caterpillar, Inc., 5.200%, 05/27/41 |
1,060,000 | 1,269,662 | ||||||
|
|
|||||||
Media (7.1%) |
||||||||
Comcast Corp., 6.450%, 03/15/37 |
375,000 | 454,591 | ||||||
NBC Universal Media LLC, 5.950%, 04/01/41 |
962,000 | 1,130,748 | ||||||
Thomson Reuters Corp., 5.950%, 07/15/13 |
24,000 | 25,572 | ||||||
Time Warner Cable, Inc., 5.850%, 05/01/17 |
968,000 | 1,102,386 | ||||||
Time Warner Cable, Inc., 8.250%, 02/14/14 |
912,000 | 1,027,966 | ||||||
Time Warner, Inc., 6.200%, 03/15/40 |
377,000 | 444,070 | ||||||
Walt Disney Co. (The), 2.750%, 08/16/21 |
638,000 | 649,742 | ||||||
Walt Disney Co. (The), 3.750%, 06/01/21, MTN |
532,000 | 584,953 | ||||||
|
|
|||||||
5,420,028 | ||||||||
|
|
|||||||
Mining (4.9%) |
||||||||
Barrick (PD) Australia Finance Property Ltd., 5.950%, 10/15/39 |
816,000 | 944,672 | ||||||
Barrick International Barbados Corp., 6.350%, 10/15/36(a) |
753,000 | 930,621 | ||||||
BHP Billiton Finance USA Ltd., 1.125%, 11/21/14 |
661,000 | 662,551 | ||||||
Kinross Gold Corp., 5.125%, 09/01/21(a) |
1,272,000 | 1,248,364 | ||||||
|
|
|||||||
3,786,208 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (1.2%) |
||||||||
3M Co., 1.375%, 09/29/16 |
417,000 | 420,578 | ||||||
General Electric Co., 5.250%, 12/06/17 |
455,000 | 522,232 | ||||||
|
|
|||||||
942,810 | ||||||||
|
|
|||||||
Oil & Gas (6.2%) |
||||||||
BP Capital Markets PLC, 2.248%, 11/01/16 |
839,000 | 844,350 | ||||||
Ensco PLC, 4.700%, 03/15/21 |
757,000 | 788,344 | ||||||
Shell International Finance BV, 4.300%, 09/22/19 |
518,000 | 601,061 | ||||||
Shell International Finance BV, 5.500%, 03/25/40 |
859,000 | 1,073,369 | ||||||
Statoil ASA, 3.125%, 08/17/17 |
1,344,000 | 1,417,518 | ||||||
|
|
|||||||
4,724,642 | ||||||||
|
|
|||||||
Oil & Gas Services (2.5%) |
||||||||
Baker Hughes, Inc., 5.125%, 09/15/40 |
920,000 | 1,075,763 | ||||||
Weatherford International Ltd., 5.125%, 09/15/20 |
273,000 | 283,696 | ||||||
Weatherford International Ltd., 6.500%, 08/01/36 |
499,000 | 543,450 | ||||||
|
|
|||||||
1,902,909 | ||||||||
|
|
|||||||
Pharmaceuticals (1.6%) |
||||||||
Teva Pharmaceutical Finance Co. LLC, 6.150%, 02/01/36 |
322,000 | 391,366 | ||||||
Teva Pharmaceutical Finance II/III, 3.000%, 06/15/15 |
823,000 | 857,040 | ||||||
|
|
|||||||
1,248,406 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Pipelines (5.1%) |
||||||||
El Paso Natural Gas Co., 5.950%, 04/15/17 |
329,000 | 369,423 | ||||||
El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 |
355,000 | 391,255 | ||||||
Enbridge Energy Partners LP, 5.500%, 09/15/40, Callable 03/15/40 @ 100 |
714,000 | 795,687 | ||||||
Energy Transfer Partners LP, 6.050%, 06/01/41, Callable 12/01/40 @ 100 |
722,000 | 707,957 | ||||||
Energy Transfer Partners LP, 6.625%, 10/15/36 |
583,000 | 613,024 | ||||||
Rockies Express Pipeline LLC, 6.850%, 07/15/18(a) |
251,000 | 259,333 | ||||||
Southern Natural Gas Co., 5.900%, 04/01/17(a) |
39,000 | 44,572 | ||||||
TC Pipelines LP, 4.650%, 06/15/21 |
611,000 | 639,741 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 6.050%, 06/15/18 |
65,000 | 74,398 | ||||||
|
|
|||||||
3,895,390 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (3.7%) |
||||||||
BioMed Realty LP, 3.850%, 04/15/16 |
648,000 | 639,216 | ||||||
Digital Realty Trust LP, 5.875%, 02/01/20 |
994,000 | 1,034,216 | ||||||
Healthcare Realty Trust, Inc., 6.500%, 01/17/17 |
1,116,000 | 1,198,514 | ||||||
|
|
|||||||
2,871,946 | ||||||||
|
|
|||||||
Retail (2.2%) |
||||||||
Family Dollar Stores, Inc., 5.000%, 02/01/21 |
513,000 | 527,951 | ||||||
Wesfarmers Ltd., 6.998%, 04/10/13(a) |
1,102,000 | 1,169,085 | ||||||
|
|
|||||||
1,697,036 | ||||||||
|
|
|||||||
Semiconductors (3.4%) |
||||||||
Analog Devices, Inc., 3.000%, 04/15/16 |
237,000 | 249,785 | ||||||
Intel Corp., 1.950%, 10/01/16 |
497,000 | 510,924 | ||||||
Intel Corp., 4.800%, 10/01/41 |
1,664,000 | 1,864,857 | ||||||
|
|
|||||||
2,625,566 | ||||||||
|
|
|||||||
Telecommunication Services (11.5%) |
||||||||
AT&T, Inc., 5.550%, 08/15/41 |
636,000 | 748,837 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17, Callable 05/01/13 @ 103.88(a) |
1,884,000 | 2,030,010 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
784,000 | 851,785 | ||||||
CenturyLink, Inc., 6.450%, 06/15/21 |
777,000 | 778,431 | ||||||
Cisco Systems, Inc., 5.500%, 01/15/40 |
871,000 | 1,065,724 | ||||||
Juniper Networks, Inc., 4.600%, 03/15/21 |
247,000 | 261,752 | ||||||
SBC Communications, Inc., 5.100%, 09/15/14 |
1,171,000 | 1,289,791 | ||||||
SBC Communications, Inc., 6.450%, 06/15/34 |
313,000 | 376,477 | ||||||
Verizon Communications, Inc., 5.550%, 02/15/16 |
1,155,000 | 1,321,634 | ||||||
Verizon Communications, Inc., 5.850%, 09/15/35 |
120,000 | 143,372 | ||||||
|
|
|||||||
8,867,813 | ||||||||
|
|
|||||||
Trucking & Leasing (2.4%) |
||||||||
Aviation Capital Group, 7.125%, 10/15/20(a) |
1,928,000 | 1,865,012 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $67,292,766) |
|
71,768,922 | ||||||
|
|
|||||||
Short-Term Investment (0.4%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(c) |
306,000 | 306,000 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $306,000) |
|
306,000 | ||||||
|
|
|||||||
Money Market Fund (5.6%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(d) |
4,312,454 | 4,312,454 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $4,312,454) |
|
4,312,454 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Total Investments (Cost $71,911,220) 99.3% |
76,387,376 | |||
|
|
|||
Other assets in excess of liabilities 0.7% |
568,990 | |||
|
|
|||
Net Assets 100.0% |
$ | 76,956,366 | ||
|
|
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 19.6% of net assets as of December 31, 2011. |
(b) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $299,880. |
(c) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(d) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
MTN | Medium Term Note |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Georgia Tax-Exempt Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (91.3%) |
||||||||
Georgia (81.9%) |
||||||||
Association County Commissioners of Georgia Leasing Program, Georgia Public Purpose Project, COP, 5.250%, 04/01/21, Prerefunded 04/01/14 @ 102, XLCA |
2,680,000 | 2,884,886 | ||||||
Athens-Clarke County Unified Government Development Authority, RB, 5.250%, 07/01/27, Callable 07/01/21 @ 100 |
1,885,000 | 2,139,927 | ||||||
Athens-Clarke County Unified Government Development Authority, RB, 5.250%, 07/01/28, Callable 07/01/21 @ 100 |
1,725,000 | 1,943,471 | ||||||
Athens-Clarke County Unified Government Development Authority, RB, 5.250%, 07/01/29, Callable 07/01/21 @ 100 |
1,690,000 | 1,889,657 | ||||||
Athens-Clarke County Unified Government Development Authority, Catholic Health East, RB, 6.250%, 11/15/32, Callable 05/15/19 @ 100 |
1,470,000 | 1,595,273 | ||||||
Athens-Clarke County Unified Government Water & Sewerage, RB, 5.500%, 01/01/38, Callable 01/01/19 @ 100 |
4,000,000 | 4,394,040 | ||||||
Athens-Clarke County Unified Government Water & Sewerage, RB, 5.625%, 01/01/33, Callable 01/01/19 @ 100 |
3,000,000 | 3,351,450 | ||||||
Atlanta Airport Passenger Facility Charge, Series B, RB, 5.000%, 01/01/21, Callable 01/01/20 @ 100 |
2,000,000 | 2,343,220 | ||||||
Atlanta Airport Project, Series A, RB, 5.375%, 01/01/19, Callable 07/01/14 @ 100, AGM, AMT |
5,000,000 | 5,336,600 | ||||||
Atlanta Airport Project, Series C, RB, 5.000%, 01/01/19 |
1,000,000 | 1,188,660 | ||||||
Carroll County Water Authority, Water & Sewer, RB, 5.250%, 07/01/22, Callable 07/01/15 @ 100, AGM |
1,000,000 | 1,108,340 | ||||||
Central Valdosta Development Authority, Lowndes County Judicial Project, RB, 5.250%, 06/01/21, Callable 06/01/13 @ 102, XLCA/County Guaranteed |
1,885,000 | 2,014,368 | ||||||
Cherokee County Georgia Resource Recovery Development Authority, Solid Waste Disposal, RB, 5.000%, 07/01/37, Callable 07/01/17 @ 100, AMBAC/County Guaranteed, AMT |
1,000,000 | 1,024,620 | ||||||
Cobb County Development Authority, Solid Waste Disposal, Georgia Waste Management Project, Series A, RB, 5.000%, 04/01/33, Callable 04/01/16 @ 101, AMT |
1,000,000 | 974,380 | ||||||
Cobb County Kennestone Hospital Authority, RB, 5.250%, 04/01/41, Callable 04/01/21 @ 100 |
1,000,000 | 1,037,770 | ||||||
DeKalb County Government Authority Water & Sewerage, Series B, RB, 5.250%, 10/01/24 |
1,100,000 | 1,343,606 | ||||||
DeKalb County Government Authority Water & Sewerage, Series B, RB, 5.250%, 10/01/32, Callable 10/01/26 @ 100 |
2,725,000 | 3,118,054 | ||||||
DeKalb County Hospital Authority, DeKalb Medical Center, Inc. Project, RB, 6.125%, 09/01/40, Callable 01/01/20 @ 100 |
4,080,000 | 4,196,933 | ||||||
DeKalb County Transportation, Parks and Greenspace, GO, 5.000%, 12/01/17, Callable 12/01/15 @ 100 |
3,820,000 | 4,131,597 | ||||||
DeKalb Private Hospital Authority, Childrens Healthcare of Atlanta, Inc., RB, 5.000%, 11/15/29, Callable 11/15/19 @ 100 |
6,300,000 | 6,651,981 | ||||||
DeKalb Private Hospital Authority, Childrens Healthcare of Atlanta, Inc., RB, 5.250%, 11/15/39, Callable 11/15/19 @ 100 |
3,000,000 | 3,127,440 | ||||||
Douglasville-Douglas County Water & Sewer Authority, RB, 5.625%, 06/01/15, Callable 06/01/12 @ 100, AMBAC |
675,000 | 713,745 | ||||||
Downtown Smyrna Development Authority, RB, 5.250%, 02/01/28 |
1,000,000 | 1,185,450 | ||||||
Forsyth County, GO, 5.000%, 03/01/25, Callable 03/01/19 @ 100 |
6,825,000 | 7,906,762 | ||||||
Forsyth County School District, GO, 5.000%, 02/01/23, Callable 02/01/15 @ 100, NATL-RE |
3,000,000 | 3,298,950 |
See Notes to Schedules of Portfolio Investments.
Fulton County Development Authority, Molecular Science Building Project, RB, 5.250%, 05/01/22, Callable 05/01/14 @ 100, NATL-RE |
2,370,000 | 2,538,697 | ||||||
Fulton County Development Authority, Molecular Science Building Project, RB, 5.250%, 05/01/27, Callable 05/01/14 @ 100, NATL-RE |
3,375,000 | 3,534,604 | ||||||
Fulton County Development Authority, Robert Woodruff Arts Center, Inc., Series B, RB, 5.250%, 03/15/24, Callable 03/15/19 @ 100 |
1,300,000 | 1,397,266 | ||||||
Georgia State Higher Education Facilities Authority, USG Real Estate Foundation I LLC, RB, 6.000%, 06/15/34, Callable 06/15/18 @ 100 |
1,065,000 | 1,163,619 | ||||||
Georgia State Road & Tollway Authority, Series B, RB, 5.000%, 10/01/19, State Guaranteed |
3,450,000 | 4,364,595 | ||||||
Glynn County School District, GO, 4.000%, 09/01/15, State Aid Withholding |
720,000 | 802,202 | ||||||
Glynn-Brunswick Memorial Hospital Authority, SouthEast Health System, Series A, RB, 5.000%, 08/01/20, Callable 08/01/18 @ 100 |
425,000 | 461,338 | ||||||
Glynn-Brunswick Memorial Hospital Authority, SouthEast Health System, Series A, RB, 5.500%, 08/01/28, Callable 08/01/18 @ 100 |
1,800,000 | 1,865,214 | ||||||
Glynn-Brunswick Memorial Hospital Authority, SouthEast Health System, Series A, RB, 5.625%, 08/01/34, Callable 08/01/18 @ 100 |
2,000,000 | 2,063,660 | ||||||
Gwinnett County Development Authority, Public Schools Project, COP, 5.250%, 01/01/21, Prerefunded 01/01/14 @ 100, NATL-RE |
2,910,000 | 3,187,556 | ||||||
Gwinnett County School District, GO, 5.000%, 02/01/20 |
1,235,000 | 1,569,549 | ||||||
Gwinnett County School District, GO, 5.000%, 02/01/32, Callable 02/01/18 @ 100 |
4,745,000 | 5,183,628 | ||||||
Henry County Water & Sewerage Authority, RB, 6.150%, 02/01/20, AMBAC |
2,100,000 | 2,701,293 | ||||||
Lincoln County School District, GO, 5.500%, 04/01/37, Callable 04/01/19 @ 100, State Aid Withholding |
1,000,000 | 1,127,070 | ||||||
Metropolitan Atlanta Rapid Transit Authority, Series B, RB, 4.500%, 07/01/30, Callable 07/01/17 @ 100, AGM |
2,395,000 | 2,453,630 | ||||||
Milledgeville & Baldwin County Development Authority, Georgia College & State University Foundation, RB, 6.000%, 09/01/33, Prerefunded 09/01/14 @ 101 |
2,355,000 | 2,720,567 | ||||||
Municipal Electric Authority of Georgia, Series A, RB, 5.000%, 01/01/21 |
2,030,000 | 2,431,432 | ||||||
Private Colleges & Universities Authority, Emory University, Series B, RB, 5.000%, 09/01/29, Callable 09/01/19 @ 100 |
3,000,000 | 3,340,800 | ||||||
Private Colleges & Universities Authority, Emory University, Series C, RB, 5.250%, 09/01/39, Callable 09/01/19 @ 100 |
3,500,000 | 3,851,820 | ||||||
Richmond County Hospital Authority, University Health Services, Inc. Project, RB, 5.250%, 01/01/29, Callable 01/01/19 @ 100 |
2,250,000 | 2,331,270 | ||||||
Thomasville Hospital Authority, John D. Archhold Memorial Hospital, RB, 5.375%, 11/01/40, Callable 11/01/20 @ 100 |
2,510,000 | 2,572,775 | ||||||
Walton County School District, Series A, GO, 5.000%, 08/01/21, Callable 08/01/15 @ 100, NATL-RE |
2,575,000 | 2,829,358 | ||||||
|
|
|||||||
123,393,123 | ||||||||
|
|
|||||||
Puerto Rico (9.4%) |
||||||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway, Series CC, RB, 5.500%, 07/01/30 |
2,560,000 | 2,761,728 | ||||||
Puerto Rico Electric Power Authority, Series NN, RB, 5.500%, 07/01/20 |
1,125,000 | 1,305,394 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.250%, 08/01/57, Callable 08/01/17 @ 100 |
1,600,000 | 1,660,544 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.500%, 08/01/28, Prerefunded 08/01/19 @ 100 |
20,000 | 26,039 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.500%, 08/01/28, Callable 08/01/19 @ 100 |
2,280,000 | 2,476,924 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.500%, 08/01/42, Callable 02/01/20 @ 100 |
3,100,000 | 3,290,805 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 6.000%, 08/01/42, Callable 08/01/19 @ 100 |
2,335,000 | 2,557,899 | ||||||
|
|
|||||||
14,079,333 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $128,750,984) |
137,472,456 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Money Market Fund (7.5%) |
||||||||
Federated Tax-Free Obligations Fund, Institutional Shares, 0.02%(a) |
11,325,161 | 11,325,161 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $11,325,161) |
11,325,161 | |||||||
|
|
|||||||
Total Investments (Cost $140,076,145) 98.8% |
148,797,617 | |||||||
|
|
|||||||
Other assets in excess of liabilities 1.2% |
1,827,914 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 150,625,531 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
AGM | Security guaranteed by Assured Guaranty Municipal Corporation | |
AMBAC | Security guaranteed by American Municipal Bond Assurance Corporation | |
AMT | Income subject to Alternative Minimum Tax | |
COP | Certificate of Participation | |
GO | General Obligation | |
NATL-RE | Reinsurance provided by National Public Finance Guarantee Corporation | |
RB | Revenue Bond | |
XLCA | Security guaranteed by XL Capital Assurance, Inc. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
High Grade Municipal Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (87.2%) |
||||||||
Alabama (4.5%) |
||||||||
Birmingham Special Care Facilities Financing Authority Health Care Facilities, Childrens Hospital of Alabama, RB, 6.000%, 06/01/39, Callable 06/01/19 @ 100, AGC |
2,000,000 | 2,214,760 | ||||||
|
|
|||||||
Alaska (4.8%) |
||||||||
Matanuska-Susitna Borough Lease, Goose Creek Correctional Center, RB, 6.000%, 09/01/28, Callable 09/01/19 @ 100, AGC |
2,000,000 | 2,349,840 | ||||||
|
|
|||||||
California (4.8%) |
||||||||
California State, GO, 6.500%, 04/01/33, Callable 04/01/19 @ 100 |
2,000,000 | 2,382,100 | ||||||
|
|
|||||||
District of Columbia (4.7%) |
||||||||
District of Columbia, Income Tax, Series A, RB, 5.500%, 12/01/30, Callable 12/01/19 @ 100 |
2,000,000 | 2,313,440 | ||||||
|
|
|||||||
Florida (4.3%) |
||||||||
Miami Parking Facilities Authority, RB, 5.250%, 10/01/15, NATL-RE |
1,000,000 | 1,117,170 | ||||||
Osceola County Tourist Development Tax Authority, Series A, RB, 5.500%, 10/01/15, Callable 10/01/2012 @ 100, NATL-RE/FGIC |
1,000,000 | 1,033,780 | ||||||
|
|
|||||||
2,150,950 | ||||||||
|
|
|||||||
Georgia (5.3%) |
||||||||
Fulton County Development Authority, Georgia Tech Athletic Association, RB, 5.750%, 10/01/36, Callable 04/01/2021 @ 100 |
1,250,000 | 1,373,050 | ||||||
Georgia State Road & Tollway Authority, Series A, RB, 5.000%, 03/01/20 |
1,000,000 | 1,264,980 | ||||||
|
|
|||||||
2,638,030 | ||||||||
|
|
|||||||
Idaho (5.7%) |
||||||||
Idaho Health Facilities Authority, Series A, RB, 6.750%, 11/01/37, Callable 11/01/18 @ 100 |
2,500,000 | 2,799,575 | ||||||
|
|
|||||||
Illinois (6.5%) |
||||||||
Chicago Sales Tax Revenue, Series A, RB, 5.000%, 01/01/41, Callable 01/01/22 @ 100 |
2,000,000 | 2,124,540 | ||||||
University of Illinois, Auxiliary Facilities System, Series A, RB, 5.750%, 04/01/38, Callable 04/01/19 @ 100 |
1,000,000 | 1,092,710 | ||||||
|
|
|||||||
3,217,250 | ||||||||
|
|
|||||||
Iowa (2.3%) |
||||||||
Iowa Finance Authority, RB, 5.000%, 08/01/29, Callable 08/01/21 @ 100 |
1,000,000 | 1,152,910 | ||||||
|
|
|||||||
Kansas (3.3%) |
||||||||
Kansas State Development Finance Authority, Adventist Bolingbrook Hospital, RB, 5.750%, 11/15/38, Callable 11/15/19 @ 100 |
1,500,000 | 1,640,775 | ||||||
|
|
|||||||
Maine (5.7%) |
||||||||
Maine State Turnpike Authority, RB, 6.000%, 07/01/38, Callable 07/01/21 @ 100 |
2,500,000 | 2,840,400 | ||||||
|
|
|||||||
New Jersey (4.4%) |
||||||||
New Jersey State Transportation Trust Fund Authority, Transportation System, Series A, RB, 6.000%, 12/15/38, Prerefunded 12/15/18 @ 100 |
1,955,000 | 2,200,509 | ||||||
|
|
|||||||
New York (4.7%) |
||||||||
Erie County Industrial Development Agency, City School District Buffalo, Series A, RB, 5.750%, 05/01/29, Callable 05/01/18 @ 100, BHAC |
1,000,000 | 1,136,370 | ||||||
Port Authority of New York & New Jersey, AMT, RB, 5.000%, 10/15/18, GO of Authority |
1,000,000 | 1,178,750 | ||||||
|
|
|||||||
2,315,120 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Texas (14.4%) |
||||||||
Austin, Series 2005, GO, 5.000%, 09/01/19, Callable 03/01/15 @ 100, NATL-RE |
1,000,000 | 1,107,980 | ||||||
Dallas Independent School District, GO, 6.375%, 02/15/34, Callable 02/15/18 @ 100, PSF-GTD |
4,000,000 | 4,883,800 | ||||||
Harris County Health Facilities Development Authority, Memorial Hermann Healthcare System, Series B, RB, 7.125%, 12/01/31, Callable 12/01/18 @ 100 |
1,000,000 | 1,155,830 | ||||||
|
|
|||||||
7,147,610 | ||||||||
|
|
|||||||
Virginia (2.3%) |
||||||||
Virginia Public School Authority, RB, 5.000%, 01/15/28, Callable 01/15/21 @ 100 |
1,000,000 | 1,152,210 | ||||||
|
|
|||||||
Washington (9.5%) |
||||||||
Central Puget Sound Regional Transit Authority, Series A, RB, 5.000%, 11/01/23, Callable 05/01/15 @ 100, AMBAC |
1,500,000 | 1,657,125 | ||||||
Port of Seattle, Series B, AMT, RB, 5.000%, 09/01/24, Callable 09/01/21 @ 100 |
1,000,000 | 1,113,420 | ||||||
Seattle Washington Municipal Light & Power, RB, 5.750%, 04/01/29, Callable 04/01/19 @ 100, BHAC |
1,635,000 | 1,907,473 | ||||||
|
|
|||||||
4,678,018 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $39,332,938) |
43,193,497 | |||||||
|
|
|||||||
Money Market Fund (12.5%) |
||||||||
Federated Tax-Free Obligations Fund, Institutional Shares, 0.02%(a) |
6,205,285 | 6,205,285 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $6,205,285) |
6,205,285 | |||||||
|
|
|||||||
Total Investments (Cost $45,538,223) 99.7% |
49,398,782 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.3% |
136,260 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 49,535,042 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
AGC | Security guaranteed by Assured Guaranty Corporation | |
AMBAC | Security guaranteed by American Municipal Bond Assurance Corporation | |
AMT | Income subject to Alternative Minimum Tax | |
BHAC | Security guaranteed by Berkshire Hathaway Assurance Corporation | |
FGIC | Security guaranteed by Financial Guaranty Insurance Company | |
GO | General Obligation | |
NATL-RE | Reinsurance provided by National Public Finance Guarantee Corporation | |
PSF-GTD | Security guaranteed by Permanent School Fund Guarantee Program | |
RB | Revenue Bond |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
High Income Fund
Shares or Principal Amount($) |
Value($) | |||||||
Bank Loans (4.1%) |
||||||||
Aerospace/Defense (0.1%) |
||||||||
Hawker Beechcraft Acquisition Co. LLC, 2.580%, 03/26/14(a)(b) |
56,001 | 42,045 | ||||||
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 2.580%, 03/26/14(a)(b) |
905,621 | 679,922 | ||||||
|
|
|||||||
721,967 | ||||||||
|
|
|||||||
Diversified Financial Services (0.0%)(j) |
||||||||
American Capital Holdings, Inc., Term Loan, 7.500%, 12/31/13(a)(b) |
161,699 | 161,699 | ||||||
|
|
|||||||
Energy (1.7%) |
||||||||
Aventine Renewable Energy Holdings, Inc., Term Loan B, 10.500%, 12/21/15(a)(c) |
10,798,466 | 9,145,005 | ||||||
|
|
|||||||
Media (1.9%) |
||||||||
Tribune Co., Term Loan B, 5.250%, 06/04/14(a)(b)(d)(e)(f) |
17,500,000 | 10,186,400 | ||||||
|
|
|||||||
Telecommunication Services (0.4%) |
||||||||
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.250%, 04/02/18(a)(b) |
1,990,000 | 1,972,588 | ||||||
|
|
|||||||
Total Bank Loans (Cost $25,130,522) |
22,187,659 | |||||||
|
|
|||||||
Corporate Bonds (77.6%) |
||||||||
Advertising (0.6%) |
||||||||
Affinion Group, Inc., 7.875%, 12/15/18, Callable 12/15/14 @ 103.94 |
1,230,000 | 1,039,350 | ||||||
Affinion Group, Inc., 11.500%, 10/15/15, Callable 03/01/12 @ 103.83 |
1,500,000 | 1,308,750 | ||||||
Checkout Holding Corp., 0.000%, 11/15/15, Callable 03/01/12 @ 67.84(b)(c) |
1,890,000 | 1,001,700 | ||||||
|
|
|||||||
3,349,800 | ||||||||
|
|
|||||||
Aerospace/Defense (0.8%) |
||||||||
Ducommun, Inc., 9.750%, 07/15/18, Callable 07/15/15 @ 104.88(b) |
1,080,000 | 1,096,200 | ||||||
Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17, Callable 06/01/14 @ 105 |
1,700,000 | 1,742,500 | ||||||
Triumph Group, Inc., 8.625%, 07/15/18, Callable 07/15/14 @ 104.31 |
1,200,000 | 1,314,000 | ||||||
|
|
|||||||
4,152,700 | ||||||||
|
|
|||||||
Airlines (2.2%) |
||||||||
Air Canada Inc., 9.250%, 08/01/15, Callable 08/01/12 @ 106.94(b)(g) |
1,000,000 | 875,000 | ||||||
American Airlines, Inc., 7.500%, 03/15/16, Callable 03/15/13 @ 105.62(b)(d)(g) |
4,330,000 | 3,095,950 | ||||||
Delta Air Lines, Inc., 9.500%, 09/15/14, Callable 02/27/12 @ 107.12(b)(h) |
4,647,000 | 4,786,410 | ||||||
Delta Air Lines, Inc., 12.250%, 03/15/15, Callable 03/15/12 @ 108.81(b)(g) |
1,185,000 | 1,238,325 | ||||||
United Air Lines, Inc., 12.000%, 11/01/13, Callable 02/01/12 @ 109(b)(h) |
2,000,000 | 2,085,000 | ||||||
|
|
|||||||
12,080,685 | ||||||||
|
|
|||||||
Auto Manufacturers (3.3%) |
||||||||
Chrysler Group LLC, 8.000%, 06/15/19, Callable 06/15/15 @ 104(b)(g) |
11,020,000 | 10,083,300 | ||||||
Chrysler Group LLC, 8.250%, 06/15/21, Callable 06/15/16 @ 104.13(b) |
900,000 | 819,000 | ||||||
Ford Motor Co., 7.450%, 07/16/31(g) |
5,440,000 | 6,528,000 | ||||||
General Motors Liquidation Co., 7.200%, 01/15/49(c)(d)(g)(i) |
17,182,000 | 171,820 | ||||||
General Motors Liquidation Co., 8.375%, 07/15/49(c)(d)(g)(i) |
36,800,000 | 368,000 | ||||||
|
|
|||||||
17,970,120 | ||||||||
|
|
|||||||
Auto Parts & Equipment (1.4%) |
||||||||
Delphi Corp., 5.875%, 05/15/19, Callable 05/15/14 @ 104.41(b)(g) |
2,120,000 | 2,162,400 | ||||||
Delphi Corp., 6.125%, 05/15/21, Callable 05/15/16 @ 103.06(b) |
1,885,000 | 1,941,550 | ||||||
Exide Technologies, 8.625%, 02/01/18, Callable 02/01/15 @ 104.31 |
645,000 | 496,650 |
See Notes to Schedules of Portfolio Investments.
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 09/01/17, Callable 09/01/14 @ 105.31(b) |
540,000 | 542,700 | ||||||
Visteon Corp., 6.750%, 04/15/19, Callable 04/15/14 @ 105.06(b) |
2,700,000 | 2,693,250 | ||||||
|
|
|||||||
7,836,550 | ||||||||
|
|
|||||||
Banks (2.5%) |
||||||||
Ally Financial, Inc., 7.500%, 09/15/20 |
6,000,000 | 6,060,000 | ||||||
Ally Financial, Inc., 8.000%, 11/01/31 |
3,200,000 | 3,088,000 | ||||||
CIT Group, Inc., 7.000%, 05/01/17, Callable 03/01/12 @ 100(h) |
2,100,000 | 2,100,000 | ||||||
Provident Funding Associates LP / PFG Finance Corp., 10.125%, 02/15/19, Callable 02/15/15 @ 105.06(b) |
1,645,000 | 1,266,650 | ||||||
Provident Funding Association LP, 10.250%, 04/15/17, Callable 04/15/14 @ 105.13(b) |
440,000 | 410,300 | ||||||
Regions Financial Corp., 5.750%, 06/15/15 |
630,000 | 601,650 | ||||||
|
|
|||||||
13,526,600 | ||||||||
|
|
|||||||
Building Materials (0.3%) |
||||||||
USG Corp., 8.375%, 10/15/18, Callable 10/15/14 @ 104.19(b) |
855,000 | 786,600 | ||||||
USG Corp., 9.750%, 01/15/18 |
1,135,000 | 959,075 | ||||||
|
|
|||||||
1,745,675 | ||||||||
|
|
|||||||
Chemicals (0.7%) |
||||||||
Kinove German Bondco GmbH, 9.625%, 06/15/18, Callable 06/15/14 @ 107.22(b) |
1,100,000 | 1,045,000 | ||||||
Rain CII Carbon LLC, 8.000%, 12/01/18, Callable 12/01/14 @ 104(b) |
1,500,000 | 1,503,750 | ||||||
Vertellus Specialties, Inc., 9.375%, 10/01/15, Callable 04/01/13 @ 104.69(b)(c) |
1,500,000 | 1,147,500 | ||||||
|
|
|||||||
3,696,250 | ||||||||
|
|
|||||||
Coal (0.8%) |
||||||||
Arch Coal, Inc., 7.000%, 06/15/19, Callable 06/15/15 @ 103.50(b) |
2,220,000 | 2,264,400 | ||||||
Arch Coal, Inc., 7.250%, 06/15/21, Callable 06/15/16 @ 103.63(b) |
2,220,000 | 2,281,050 | ||||||
|
|
|||||||
4,545,450 | ||||||||
|
|
|||||||
Commercial Services (1.8%) |
||||||||
Avis Budget Car Rental LLC, 9.625%, 03/15/18, Callable 03/15/14 @ 104.81 |
660,000 | 683,100 | ||||||
Cenveo Corp., 7.875%, 12/01/13, Callable 03/01/12 @ 100(g) |
7,000,000 | 5,495,000 | ||||||
Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19, Callable 12/01/14 @ |
1,955,000 | 2,052,750 | ||||||
National Money Mart Co., 10.375%, 12/15/16, Callable 12/15/13 @ 105.19 |
155,000 | 165,462 | ||||||
Speedy Cash, Inc., 10.750%, 05/15/18, Callable 05/15/15 @ 105.38(b) |
1,635,000 | 1,643,175 | ||||||
|
|
|||||||
10,039,487 | ||||||||
|
|
|||||||
Cosmetics/Personal Care (0.2%) |
||||||||
Revlon Consumer Products Corp., 9.750%, 11/15/15, Callable 11/15/12 @ 104.88 |
815,000 | 866,956 | ||||||
|
|
|||||||
Diversified Financial Services (5.8%) |
||||||||
Aircastle Ltd., 9.750%, 08/01/18, Callable 08/01/14 @ 104.88(g) |
600,000 | 628,500 | ||||||
American General Finance Corp., Series H, 5.375%, 10/01/12(g) |
205,000 | 193,725 | ||||||
American General Finance Corp., Series I, 4.875%, 07/15/12, MTN |
3,000,000 | 2,880,000 | ||||||
American General Finance Corp., Series I, 5.850%, 06/01/13, MTN |
2,000,000 | 1,760,000 | ||||||
Community Choice Financial, Inc., 10.750%, 05/01/19, Callable 05/01/15 @ 105.38(b) |
1,885,000 | 1,866,150 | ||||||
E*Trade Financial Corp., 6.750%, 06/01/16 |
530,000 | 514,100 | ||||||
E*Trade Financial Corp. PIK, 12.500%, 11/30/17, Callable 11/30/12 @ 112.50 |
4,281,000 | 4,837,530 | ||||||
International Lease Finance Corp., 6.250%, 05/15/19 |
2,380,000 | 2,198,620 | ||||||
International Lease Finance Corp., 8.250%, 12/15/20 |
2,330,000 | 2,353,300 | ||||||
International Lease Finance Corp., 8.750%, 03/15/17 |
9,645,000 | 9,934,350 | ||||||
Springleaf Finance Corp., Series J, 6.900%, 12/15/17, MTN |
6,000,000 | 4,320,000 | ||||||
|
|
|||||||
31,486,275 | ||||||||
|
|
|||||||
Electric (5.8%) |
||||||||
Edison Mission Energy, 7.200%, 05/15/19 |
4,735,000 | 2,959,375 | ||||||
Edison Mission Energy, 7.750%, 06/15/16 |
11,150,000 | 8,139,500 | ||||||
Energy Future Holdings Corp., 10.000%, 01/15/20, Callable 01/15/15 @ 105 |
500,000 | 525,000 |
See Notes to Schedules of Portfolio Investments.
Energy Future Intermediate Holding Co. LLC / EFIH Finance, Inc., 10.000%, 12/01/20, Callable 12/01/15 @ 105 |
1,080,000 | 1,139,400 | ||||||
GenOn Energy, Inc., 9.500%, 10/15/18(g) |
2,625,000 | 2,657,812 | ||||||
GenOn Energy, Inc., 9.875%, 10/15/20, Callable 10/15/15 @ 104.94 |
2,405,000 | 2,441,075 | ||||||
Midwest Generation LLC, Series B, 8.560%, 01/02/16 |
675,046 | 681,797 | ||||||
NRG Energy, Inc., 7.625%, 05/15/19, Callable 05/15/14 @ 103.81(b) |
2,375,000 | 2,327,500 | ||||||
Texas Competitive Electric Holdings Co. LLC, 11.500%, 10/01/20, Callable 04/01/16 @ |
12,895,000 | 10,944,631 | ||||||
|
|
|||||||
31,816,090 | ||||||||
|
|
|||||||
Electronics (0.0%)(j) |
||||||||
Viasystems Group, Inc., 12.000%, 01/15/15, Callable 07/15/12 @ 106(b) |
250,000 | 267,813 | ||||||
|
|
|||||||
Energy-Alternate Sources (0.3%) |
||||||||
First Wind Capital LLC, 10.250%, 06/01/18, Callable 06/01/14 @ 107.69(b) |
1,600,000 | 1,572,000 | ||||||
|
|
|||||||
Engineering & Construction (0.2%) |
||||||||
Aguila 3 S.A., 7.875%, 01/31/18, Callable 01/31/14 @ 105.91(b) |
875,000 | 848,750 | ||||||
|
|
|||||||
Entertainment (2.5%) |
||||||||
Diamond Resorts Corp., 12.000%, 08/15/18, Callable 08/15/14 @ 106 |
8,475,000 | 8,347,875 | ||||||
FireKeepers Development Authority, 13.875%, 05/01/15, Callable 05/01/12 @ 110.50(b) |
1,680,000 | 1,906,800 | ||||||
Pinnacle Entertainment, Inc., 8.750%, 05/15/20, Callable 05/15/15 @ 104.38(g) |
750,000 | 735,000 | ||||||
Regal Entertainment Group, 9.125%, 08/15/18, Callable 08/15/14 @ 104.56 |
2,500,000 | 2,681,250 | ||||||
|
|
|||||||
13,670,925 | ||||||||
|
|
|||||||
Food (0.3%) |
||||||||
JBS USA Finance, Inc., 7.250%, 06/01/21, Callable 06/01/15 @ 105.44(b) |
1,905,000 | 1,776,413 | ||||||
|
|
|||||||
Gas (0.3%) |
||||||||
Sabine Pass LNG LP, 7.500%, 11/30/16 |
1,565,000 | 1,572,825 | ||||||
|
|
|||||||
Healthcare - Products (1.9%) |
||||||||
Kinetic Concepts Inc. / KCI USA, Inc., 10.500%, 11/01/18, Callable 11/01/15 @ 105.25(b) |
7,500,000 | 7,350,000 | ||||||
Rotech Healthcare, Inc., 10.500%, 03/15/18, Callable 03/15/15 @ 105.25(g) |
710,000 | 546,700 | ||||||
Rotech Healthcare, Inc., 10.750%, 10/15/15, Callable 04/15/13 @ 105.38 |
2,390,000 | 2,354,150 | ||||||
|
|
|||||||
10,250,850 | ||||||||
|
|
|||||||
Healthcare - Services (3.9%) |
||||||||
Apria Healthcare Group, Inc., 11.250%, 11/01/14, Callable 03/01/12 @ 105.62 |
500,000 | 516,250 | ||||||
Community Health Systems, Inc., 8.000%, 11/15/19, Callable 11/15/15 @ 104(b) |
1,000,000 | 1,010,000 | ||||||
Community Health Systems, Inc., 8.875%, 07/15/15, Callable 03/01/12 @ 104.44(g) |
217,000 | 224,053 | ||||||
HCA, Inc., 7.500%, 02/15/22 |
435,000 | 444,787 | ||||||
INC Research LLC, 11.500%, 07/15/19, Callable 07/15/15 @ 105.75(b) |
9,000,000 | 8,055,000 | ||||||
Kindred Healthcare, Inc., 8.250%, 06/01/19, Callable 06/01/14 @ 106.19 |
2,100,000 | 1,764,000 | ||||||
MedImpact Holdings, Inc., 10.500%, 02/01/18, Callable 02/01/15 @ 105.25(b)(c) |
7,270,000 | 6,179,500 | ||||||
Tenet Healthcare Corp., 6.250%, 11/01/18(b) |
3,240,000 | 3,296,700 | ||||||
|
|
|||||||
21,490,290 | ||||||||
|
|
|||||||
Household Products/Wares (0.8%) |
||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC, 9.875%, 08/15/19, Callable 08/15/15 @ 104.94(b) |
1,000,000 | 970,000 | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Luxembourg I SA, 7.875%, 08/15/19, Callable 08/15/15 @ 103.94(b) |
3,000,000 | 3,135,000 | ||||||
|
|
|||||||
4,105,000 | ||||||||
|
|
|||||||
Insurance (1.3%) |
||||||||
Genworth Financial, Inc., 6.150%, 11/15/66, Callable 11/15/16 @ 100(a) |
3,030,000 | 1,636,200 | ||||||
MBIA Insurance Corp., 14.000%, 01/15/33, Callable 01/15/13 @ 100(a)(b) |
3,680,000 | 2,060,800 | ||||||
MBIA, Inc., 5.700%, 12/01/34 |
2,025,000 | 1,251,754 | ||||||
MBIA, Inc., 6.625%, 10/01/28 |
2,650,000 | 1,869,625 | ||||||
|
|
|||||||
6,818,379 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Internet (1.0%) |
||||||||
Atlantic Broadband Finance LLC, 9.375%, 01/15/14, Callable 03/01/12 @ 100 |
725,000 | 726,813 | ||||||
Equinix, Inc., 7.000%, 07/15/21, Callable 07/15/16 @ 103.50 |
2,085,000 | 2,199,675 | ||||||
Zayo Group LLC, 10.250%, 03/15/17, Callable 03/15/13 @ 105.13 |
2,600,000 | 2,775,500 | ||||||
|
|
|||||||
5,701,988 | ||||||||
|
|
|||||||
Investment Companies (0.9%) |
||||||||
Offshore Group Investments Ltd., 11.500%, 08/01/15, Callable 02/01/13 @ 108.62 |
4,775,000 | 5,162,969 | ||||||
|
|
|||||||
Iron/Steel (0.8%) |
||||||||
APERAM, 7.375%, 04/01/16, Callable 10/01/13 @ 103.69(b) |
750,000 | 641,250 | ||||||
APERAM, 7.750%, 04/01/18, Callable 04/01/15 @ 103.88(b) |
750,000 | 622,500 | ||||||
JMC Steel Group, 8.250%, 03/15/18, Callable 03/15/14 @ 106.19(b) |
2,975,000 | 2,900,625 | ||||||
|
|
|||||||
4,164,375 | ||||||||
|
|
|||||||
Leisure Time (0.2%) |
||||||||
ClubCorp Club Operations, Inc., 10.000%, 12/01/18, Callable 12/01/14 @ 105 |
1,000,000 | 960,000 | ||||||
|
|
|||||||
Lodging (1.5%) |
||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19, Callable 07/01/15 @ 105.25(b) |
3,390,000 | 3,203,550 | ||||||
Harrahs Operating, Inc., 10.000%, 12/15/18, Callable 12/15/13 @ 105.19 |
475,000 | 325,375 | ||||||
Marina District Finance Co., Inc., 9.500%, 10/15/15, Callable 10/15/13 @ 104.75(g) |
295,000 | 275,825 | ||||||
Marina District Finance Co., Inc., 9.875%, 08/15/18, Callable 08/15/14 @ 104.94(g) |
400,000 | 365,000 | ||||||
MGM Resorts International, 7.625%, 01/15/17(g) |
3,325,000 | 3,167,062 | ||||||
Wynn Las Vegas LLC, 7.750%, 08/15/20, Callable 08/15/15 @ 103.88 |
590,000 | 654,900 | ||||||
|
|
|||||||
7,991,712 | ||||||||
|
|
|||||||
Machinery-Construction & Mining (0.0%)(j) |
||||||||
Terex Corp., 10.875%, 06/01/16, Callable 06/01/13 @ 105.44 |
200,000 | 221,000 | ||||||
|
|
|||||||
Machinery-Diversified (0.2%) |
||||||||
Manitowoc Co., Inc. (The), 8.500%, 11/01/20, Callable 11/01/15 @ 104.25(g) |
790,000 | 832,463 | ||||||
|
|
|||||||
Media (2.0%) |
||||||||
CCO Holdings LLC / Cap Corp., 6.500%, 04/30/21, Callable 04/30/15 @ 104.88 |
1,755,000 | 1,776,937 | ||||||
CCO Holdings LLC / Cap Corp., 7.375%, 06/01/20, Callable 12/01/15 @ 103.69 |
1,010,000 | 1,065,550 | ||||||
CCO Holdings LLC / Cap Corp., 7.875%, 04/30/18, Callable 04/30/13 @ 105.91 |
735,000 | 783,694 | ||||||
Cequel Communications Holdings I LLC, 8.625%, 11/15/17, Callable 11/15/12 @ 106.47(b) |
1,880,000 | 1,992,800 | ||||||
Gray Television, Inc., 10.500%, 06/29/15, Callable 11/01/12 @ 107.88(g) |
3,594,000 | 3,396,330 | ||||||
Insight Communications, Inc., 9.375%, 07/15/18, Callable 07/15/13 @ 107.03(b) |
1,330,000 | 1,519,525 | ||||||
Sirius XM Radio, Inc., 9.750%, 09/01/15, Callable 09/01/12 @ 104.88(b) |
450,000 | 488,250 | ||||||
|
|
|||||||
11,023,086 | ||||||||
|
|
|||||||
Mining (1.3%) |
||||||||
Consolidated Minerals Ltd., 8.875%, 05/01/16, Callable 05/01/14 @ 104.44(b) |
2,125,000 | 1,838,125 | ||||||
FMG Resources August 2006 Pty Ltd., 8.250%, 11/01/19, Callable 11/01/15 @ 104.13(b) |
2,405,000 | 2,447,088 | ||||||
Novelis, Inc., 8.750%, 12/15/20, Callable 12/15/15 @ 104.38 |
1,210,000 | 1,297,725 | ||||||
Teck Cominco Ltd., 6.125%, 10/01/35 |
530,000 | 581,473 | ||||||
Vulcan Materials Co., 7.500%, 06/15/21(g) |
940,000 | 1,015,200 | ||||||
|
|
|||||||
7,179,611 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (0.1%) |
||||||||
Amsted Industries, Inc., 8.125%, 03/15/18, Callable 03/15/14 @ 104.06(b) |
650,000 | 689,000 | ||||||
|
|
|||||||
Oil & Gas (5.3%) |
||||||||
CITGO Petroleum Corp., 11.500%, 07/01/17, Callable 07/01/14 @ 105.75(b) |
2,475,000 | 2,734,875 | ||||||
Comstock Resources, Inc., 7.750%, 04/01/19, Callable 04/01/15 @ 103.88 |
2,160,000 | 2,052,000 | ||||||
Connacher Oil and Gas Ltd., 8.500%, 08/01/19, Callable 08/01/15 @ 104.25(b) |
4,500,000 | 4,072,500 | ||||||
Linn Energy LLC/Finance Corp., 6.500%, 05/15/19, Callable 05/15/15 @ 103.25(b) |
3,335,000 | 3,309,988 | ||||||
Linn Energy LLC/Finance Corp., 8.625%, 04/15/20, Callable 04/15/15 @ 104.31 |
855,000 | 927,675 |
See Notes to Schedules of Portfolio Investments.
Northern Tier Energy LLC / Northern Tier Finance Corp., 10.500%, 12/01/17, Callable 12/01/13 @ 107.88(b) |
1,330,000 | 1,423,100 | ||||||
RDS Ultra-Deepwater Ltd., 11.875%, 03/15/17, Callable 03/15/14 @ 105.94(b) |
750,000 | 791,250 | ||||||
United Refining Co., 10.500%, 02/28/18, Callable 02/28/15 @ 105.25 |
11,010,000 | 10,294,350 | ||||||
WPX Energy, Inc., 6.000%, 01/15/22, Callable 10/15/21 @ 100(b) |
3,335,000 | 3,414,206 | ||||||
|
|
|||||||
29,019,944 | ||||||||
|
|
|||||||
Oil & Gas Services (1.6%) |
||||||||
American Petroleum Tankers LLC, 10.250%, 05/01/15, Callable 05/01/12 @ 105.13 |
453,000 | 462,060 | ||||||
Cie Generale de Geophysique - Veritas, 6.500%, 06/01/21, Callable 06/01/16 @ 103.25 |
4,500,000 | 4,365,000 | ||||||
Exterran Holdings, Inc., 7.250%, 12/01/18, Callable 12/01/13 @ 105.44 |
1,580,000 | 1,501,000 | ||||||
Oil States International, Inc., 6.500%, 06/01/19, Callable 06/01/14 @ 104.88 |
2,140,000 | 2,188,150 | ||||||
|
|
|||||||
8,516,210 | ||||||||
|
|
|||||||
Packaging & Containers (0.1%) |
||||||||
Plastipak Holdings, Inc., 10.625%, 08/15/19, Callable 08/15/14 @ 105.31(b) |
285,000 | 314,925 | ||||||
Smurfit-Stone Container Corp., 8.000%, 03/15/17(d) |
2,230,000 | 41,812 | ||||||
Smurfit-Stone Container Corp., 8.250%, 10/01/12 |
2,465,000 | 46,219 | ||||||
|
|
|||||||
402,956 | ||||||||
|
|
|||||||
Pharmaceuticals (2.1%) |
||||||||
ConvaTec Healthcare, 10.500%, 12/15/18, Callable 12/15/14 @ 105.25(b) |
9,770,000 | 8,719,725 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.000%, 07/15/19, Callable 07/15/15 @ 103.50 |
675,000 | 718,875 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.250%, 01/15/22, Callable 07/15/16 @ 103.63 |
940,000 | 999,925 | ||||||
Valeant Pharmaceuticals International, 6.500%, 07/15/16, Callable 07/15/13 @ 103.25(b) |
1,275,000 | 1,273,406 | ||||||
|
|
|||||||
11,711,931 | ||||||||
|
|
|||||||
Pipelines (0.1%) |
||||||||
Genesis Energy LP, 7.875%, 12/15/18, Callable 12/15/14 @ 103.94 |
620,000 | 620,000 | ||||||
|
|
|||||||
Real Estate Investment Trusts (0.4%) |
||||||||
Reckson Operating Partnership LP, 7.750%, 03/15/20 |
935,000 | 1,025,466 | ||||||
Rouse Co. LP (The), 6.750%, 11/09/15, Callable 05/09/13 @ 103.38 |
1,145,000 | 1,157,881 | ||||||
|
|
|||||||
2,183,347 | ||||||||
|
|
|||||||
Retail (0.9%) |
||||||||
Gymboree Corp., 9.125%, 12/01/18, Callable 12/01/14 @ 104.56(g) |
1,690,000 | 1,478,750 | ||||||
Sears Holdings Corp., 6.625%, 10/15/18 |
4,155,000 | 3,157,800 | ||||||
|
|
|||||||
4,636,550 | ||||||||
|
|
|||||||
Semiconductors (0.2%) |
||||||||
MEMC Electronic Materials, Inc., 7.750%, 04/01/19, Callable 04/01/14 @ 105.81 |
1,400,000 | 1,011,500 | ||||||
|
|
|||||||
Shipbuilding (1.5%) |
||||||||
Huntington Ingalls Industries, Inc., 6.875%, 03/15/18, Callable 03/15/15 @ 103.44(b) |
3,910,000 | 3,831,800 | ||||||
Huntington Ingalls Industries, Inc., 7.125%, 03/15/21, Callable 03/15/16 @ 103.56(b) |
4,575,000 | 4,483,500 | ||||||
|
|
|||||||
8,315,300 | ||||||||
|
|
|||||||
Storage/Warehousing (0.2%) |
||||||||
Niska Gas Storage US LLC / Niska Gas Storage Canada ULC, 8.875%, 03/15/18, Callable 03/15/14 @ 104.44 |
1,100,000 | 1,075,250 | ||||||
|
|
|||||||
Telecommunication Services (17.6%) |
||||||||
EH Holding Corp., 6.500%, 06/15/19(b) |
665,000 | 693,263 | ||||||
GeoEye, Inc., 8.625%, 10/01/16, Callable 10/01/13 @ 104.31 |
640,000 | 659,200 | ||||||
GeoEye, Inc., 9.625%, 10/01/15, Callable 10/01/13 @ 104.81 |
325,000 | 355,875 | ||||||
Integra Telecom, Inc., 10.750%, 04/15/16, Callable 04/15/13 @ 105.38(b) |
625,000 | 510,938 | ||||||
Intelsat Bermuda Ltd., 11.250%, 02/04/17, Callable 02/15/13 @ 105.62(h) |
15,120,000 | 14,628,600 | ||||||
Intelsat Luxembourg SA, PIK, 11.500%, 02/04/17, Callable 02/15/13 @ 105.75(b)(h) |
3,685,000 | 3,556,025 | ||||||
Level 3 Communications, Inc., 11.875%, 02/01/19, Callable 02/01/15 @ 105.94 |
7,315,000 | 7,790,475 | ||||||
Level 3 Financing, Inc., 8.125%, 07/01/19, Callable 07/01/15 @ 104.06(b) |
3,000,000 | 2,955,000 | ||||||
Level 3 Financing, Inc., 9.250%, 11/01/14, Callable 2/12/12 @ 102.31 |
1,291,000 | 1,320,047 | ||||||
Level 3 Financing, Inc., 10.000%, 02/01/18, Callable 02/01/14 @ 105(h) |
2,150,000 | 2,279,000 |
See Notes to Schedules of Portfolio Investments.
NII Capital Corp., 7.625%, 04/01/21, Callable 04/01/16 @ 103.81 |
8,300,000 | 8,237,750 | ||||||
Nortel Networks Ltd., 10.750%, 07/15/16, Callable 03/01/12 @ 105.38(d) |
8,300,000 | 9,130,000 | ||||||
PAETEC Holding Corp., 8.875%, 06/30/17, Callable 06/30/13 @ 104.44 |
980,000 | 1,058,400 | ||||||
Satmex Escrow SA de CV, 9.500%, 05/15/17, Callable 05/15/14 @ 104.75 |
2,320,000 | 2,366,400 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 |
3,545,000 | 2,530,244 | ||||||
Sprint Capital Corp., 6.900%, 05/01/19(h) |
9,459,000 | 7,780,027 | ||||||
Sprint Nextel Corp., 6.000%, 12/01/16 |
5,715,000 | 4,743,450 | ||||||
Sprint Nextel Corp., 11.500%, 11/15/21(b) |
1,080,000 | 1,069,200 | ||||||
Telcordia Technologies, Inc., 11.000%, 05/01/18, Callable 05/01/14 @ 105.50(b) |
4,700,000 | 5,969,000 | ||||||
Trilogy International Partners LLC, 10.250%, 08/15/16, Callable 08/15/13 @ 105.13(b) |
5,105,000 | 4,671,075 | ||||||
UPCB Finance V Ltd., 7.250%, 11/15/21, Callable 11/15/16 @ 103.63(b) |
3,300,000 | 3,341,250 | ||||||
US West Capital Funding, Inc., 6.875%, 07/15/28 |
1,635,000 | 1,535,214 | ||||||
Wind Acquisition Finance Holdings, PIK, 12.250%, 07/15/17, Callable 07/15/13 @ 106.12(b) |
4,518,962 | 3,310,140 | ||||||
Wind Acquisition Finance SA, 7.250%, 02/15/18, Callable 11/15/13 @ 105.44(b) |
6,400,000 | 5,824,000 | ||||||
|
|
|||||||
96,314,573 | ||||||||
|
|
|||||||
Transportation (1.0%) |
||||||||
CHC Helicopter SA, 9.250%, 10/15/20, Callable 04/15/15 @ 104.63(b) |
6,150,000 | 5,535,000 | ||||||
|
|
|||||||
Trucking & Leasing (0.9%) |
||||||||
Aviation Capital Group Corp., 6.750%, 04/06/21(b) |
5,000,000 | 4,710,900 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $437,959,512) |
423,465,548 | |||||||
|
|
|||||||
U.S. Treasury Obligation (0.0%)(j) |
||||||||
U.S. Treasury Bill (0.0%)(j) |
||||||||
0.000%, 01/05/12 |
100,000 | 100,000 | ||||||
|
|
|||||||
Total U.S. Treasury Obligation (Cost $100,000) |
100,000 | |||||||
|
|
|||||||
Preferred Stocks (1.5%) |
||||||||
Diversified Financial Services (1.5%) |
||||||||
Citigroup Capital XII, 8.500%, 03/30/40, Callable 03/30/15 @ 25 |
30,000 | 754,800 | ||||||
GMAC Capital Trust I, Series 2, 8.125%, 02/15/40, Callable 02/15/16 @ 25 |
380,035 | 7,349,877 | ||||||
|
|
|||||||
8,104,677 | ||||||||
|
|
|||||||
Total Preferred Stocks (Cost $10,278,306) |
8,104,677 | |||||||
|
|
|||||||
Convertible Preferred Stock (1.2%) |
||||||||
Auto Manufacturers (1.2%) |
||||||||
General Motors Co., Series B, 4.750%, 12/01/13 |
195,300 | 6,689,025 | ||||||
|
|
|||||||
Total Convertible Preferred Stock (Cost $8,905,464) |
6,689,025 | |||||||
|
|
|||||||
Warrants (0.7%) |
||||||||
Auto Manufacturers (0.7%) |
||||||||
General Motors Co. Expires at 07/10/16 at 10.00 USD*(g) |
199,906 | 2,344,897 | ||||||
General Motors Co. Expires at 07/10/19 at 18.33 USD*(g) |
199,906 | 1,563,265 | ||||||
|
|
|||||||
3,908,162 | ||||||||
|
|
|||||||
Total Warrants (Cost $8,489,022) |
3,908,162 | |||||||
|
|
|||||||
Common Stocks (1.0%) |
||||||||
Auto Manufacturers (1.0%) |
||||||||
Ford Motor Co.* |
118,279 | 1,272,682 | ||||||
General Motors Co.*(g) |
219,896 | 4,457,292 | ||||||
|
|
|||||||
5,729,974 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $8,999,877) |
5,729,974 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Short-Term Investment (7.0%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(k) |
38,184,157 | 38,184,157 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $38,184,157) |
38,184,157 | |||||||
|
|
|||||||
Money Market Fund (13.1%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(l) |
71,275,992 | 71,275,992 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $71,275,992) |
71,275,992 | |||||||
|
|
|||||||
Total Investments (Cost $609,322,852) 106.2% |
579,645,194 | |||||||
|
|
|||||||
Liabilities in excess of other assets (6.2)% |
(33,808,433 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 545,836,761 | ||||||
|
|
* | Non-income producing security. |
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 37.8% of net assets as of December 31, 2011. |
(c) | The Funds adviser/subadviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. |
(d) | Security is in default. |
(e) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(f) | Bankrupt issuer. |
(g) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $37,224,058. |
(h) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(i) | Valued at fair value using procedures approved by the Board. Fair valued securities held by the Fund represent 0.1 % of net assets as of December 31, 2011. |
(j) | Less than 0.05% of Net Assets. |
(k) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(l) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
MTN | Medium Term Note | |
PIK | Payment in-kind | |
ULC | Unlimited Liability Company |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Intermediate Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Collateralized Mortgage Obligations (1.7%) |
||||||||
Agency Collateralized Mortgage Obligation (1.5%) |
||||||||
Federal National Mortgage Association, Series 2011-46, Cl B, 3.000%, 05/25/26 |
17,592,000 | 17,964,338 | ||||||
|
|
|||||||
Commercial Mortgage Backed Security (0.2%) |
||||||||
LB-UBS Commercial Mortgage Trust, Series 2005-C7, Cl A3, 5.611%, 11/15/30(a) |
1,753,000 | 1,793,645 | ||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $17,339,933) |
|
19,757,983 | ||||||
|
|
|||||||
Corporate Bonds (32.8%) |
||||||||
Aerospace/Defense (0.9%) |
||||||||
Boeing Co. (The), 5.125%, 02/15/13 |
243,000 | 254,766 | ||||||
Raytheon Co., 1.400%, 12/15/14 |
3,200,000 | 3,215,501 | ||||||
United Technologies Corp., 6.125%, 02/01/19 |
5,343,000 | 6,602,254 | ||||||
|
|
|||||||
10,072,521 | ||||||||
|
|
|||||||
Auto Manufacturers (0.2%) |
||||||||
Daimler Finance N.A. LLC, 3.875%, 09/15/21(b) |
2,487,000 | 2,499,291 | ||||||
|
|
|||||||
Banks (1.2%) |
||||||||
HSBC Bank PLC, 3.100%, 05/24/16(b) |
1,780,000 | 1,780,105 | ||||||
HSBC Bank PLC, 3.500%, 06/28/15(b) |
2,840,000 | 2,862,930 | ||||||
JPMorgan Chase & Co., 4.400%, 07/22/20 |
4,388,000 | 4,481,096 | ||||||
JPMorgan Chase & Co., 6.300%, 04/23/19 |
780,000 | 883,456 | ||||||
Northern Trust Corp., 4.625%, 05/01/14 |
667,000 | 717,443 | ||||||
Northern Trust Corp., 5.200%, 11/09/12 |
2,995,000 | 3,103,904 | ||||||
|
|
|||||||
13,828,934 | ||||||||
|
|
|||||||
Beverages (0.5%) |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 3.000%, 10/15/12 |
4,385,000 | 4,453,634 | ||||||
Diageo Capital PLC, 5.200%, 01/30/13 |
1,305,000 | 1,366,596 | ||||||
|
|
|||||||
5,820,230 | ||||||||
|
|
|||||||
Biotechnology (0.1%) |
||||||||
Life Technologies Corp., 5.000%, 01/15/21, Callable 10/15/20 @ 100 |
977,000 | 1,022,285 | ||||||
|
|
|||||||
Chemicals (1.3%) |
||||||||
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
1,300,000 | 1,349,358 | ||||||
E.I. du Pont de Nemours & Co., 4.250%, 04/01/21 |
1,899,000 | 2,146,048 | ||||||
E.I. du Pont de Nemours & Co., 5.000%, 07/15/13 |
2,306,000 | 2,449,717 | ||||||
Praxair, Inc., 1.750%, 11/15/12 |
6,243,000 | 6,296,247 | ||||||
Praxair, Inc., 4.625%, 03/30/15 |
3,143,000 | 3,469,338 | ||||||
|
|
|||||||
15,710,708 | ||||||||
|
|
|||||||
Commercial Services (0.6%) |
||||||||
ERAC USA Finance LLC, 5.250%, 10/01/20(b) |
2,629,000 | 2,834,443 | ||||||
ERAC USA Finance LLC, 5.600%, 05/01/15(b) |
1,641,000 | 1,794,694 | ||||||
ERAC USA Finance LLC, 5.800%, 10/15/12(b) |
2,096,000 | 2,168,432 | ||||||
|
|
|||||||
6,797,569 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Computers (1.9%) |
| |||||||
Hewlett-Packard Co., 4.375%, 09/15/21 |
4,607,000 | 4,754,622 | ||||||
Hewlett-Packard Co., 4.500%, 03/01/13 |
1,139,000 | 1,171,403 | ||||||
Hewlett-Packard Co., 6.125%, 03/01/14 |
157,000 | 169,286 | ||||||
IBM Corp., 0.875%, 10/31/14 |
7,393,000 | 7,395,661 | ||||||
IBM Corp., 7.625%, 10/15/18 |
6,251,000 | 8,388,586 | ||||||
|
|
|||||||
21,879,558 | ||||||||
|
|
|||||||
Diversified Financial Services (4.0%) |
||||||||
ABB Treasury Center USA, Inc., 4.000%, 06/15/21(b) |
3,551,000 | 3,647,896 | ||||||
CME Group, Inc., 5.400%, 08/01/13 |
2,313,000 | 2,464,809 | ||||||
CME Group, Inc., 5.750%, 02/15/14 |
3,407,000 | 3,713,681 | ||||||
Ford Motor Credit Co. LLC, 5.000%, 05/15/18 |
5,316,000 | 5,329,785 | ||||||
John Deere Capital Corp., 1.250%, 12/02/14, MTN |
2,769,000 | 2,799,016 | ||||||
Lazard Group LLC, 6.850%, 06/15/17 |
405,000 | 424,833 | ||||||
Lazard Group LLC, 7.125%, 05/15/15 |
2,745,000 | 2,947,543 | ||||||
MassMutual Global Funding LLC, 2.300%, 09/28/15(b) |
2,796,000 | 2,807,125 | ||||||
NASDAQ OMX Group, Inc. (The), 5.550%, 01/15/20 |
2,861,000 | 2,931,092 | ||||||
PACCAR Financial Corp., 1.550%, 09/29/14, MTN |
3,914,000 | 3,960,052 | ||||||
TIAA Global Markets, Inc., 5.125%, 10/10/12(b) |
4,019,000 | 4,146,623 | ||||||
Toyota Motor Credit Corp., 3.200%, 06/17/15, MTN |
1,673,000 | 1,759,688 | ||||||
Woodside Finance Ltd., 4.600%, 05/10/21, Callable 02/10/21 @ 100(b) |
5,897,000 | 6,021,238 | ||||||
Woodside Finance Ltd., 8.125%, 03/01/14(b) |
3,378,000 | 3,777,530 | ||||||
|
|
|||||||
46,730,911 | ||||||||
|
|
|||||||
Electric (1.3%) |
||||||||
Alabama Power Co., 5.800%, 11/15/13 |
2,160,000 | 2,353,018 | ||||||
Dominion Resources, Inc., 1.950%, 08/15/16 |
1,328,000 | 1,334,540 | ||||||
Duke Energy Carolinas LLC, 4.300%, 06/15/20 |
880,000 | 991,155 | ||||||
Exelon Generation Co. LLC, 6.200%, 10/01/17 |
2,402,000 | 2,758,346 | ||||||
Georgia Power Co., 6.000%, 11/01/13 |
1,562,000 | 1,705,821 | ||||||
MidAmerican Energy Holdings Co., Series D, 5.000%, 02/15/14 |
2,905,000 | 3,121,280 | ||||||
Southern California Edison Co., 5.750%, 03/15/14 |
2,522,000 | 2,778,056 | ||||||
|
|
|||||||
15,042,216 | ||||||||
|
|
|||||||
Electronics (0.1%) |
||||||||
Thermo Fisher Scientific, Inc., 2.250%, 08/15/16 |
1,236,000 | 1,260,069 | ||||||
|
|
|||||||
Food (0.7%) |
||||||||
Kellogg Co., 4.250%, 03/06/13 |
2,001,000 | 2,077,748 | ||||||
Kraft Foods, Inc., 5.375%, 02/10/20 |
3,430,000 | 3,957,709 | ||||||
Kroger Co. (The), 7.500%, 01/15/14 |
1,526,000 | 1,705,426 | ||||||
|
|
|||||||
7,740,883 | ||||||||
|
|
|||||||
Healthcare - Products (0.5%) |
||||||||
Becton Dickinson and Co., 3.250%, 11/12/20 |
1,112,000 | 1,151,599 | ||||||
Covidien International Finance SA, 6.000%, 10/15/17 |
2,351,000 | 2,785,937 | ||||||
Stryker Corp., 2.000%, 09/30/16 |
1,827,000 | 1,869,628 | ||||||
|
|
|||||||
5,807,164 | ||||||||
|
|
|||||||
Healthcare - Services (0.8%) |
||||||||
Roche Holdings, Inc., 6.000%, 03/01/19(b) |
8,180,000 | 9,942,078 | ||||||
|
|
|||||||
Insurance (1.6%) |
||||||||
Berkshire Hathaway, Inc., 3.200%, 02/11/15 |
4,900,000 | 5,194,794 | ||||||
Berkshire Hathaway, Inc., 4.600%, 05/15/13 |
2,524,000 | 2,654,849 | ||||||
Fairfax Financial Holdings Ltd., 5.800%, 05/15/21(b) |
2,618,000 | 2,495,470 | ||||||
Nationwide Financial Services, Inc., 5.375%, 03/25/21(b) |
5,795,000 | 5,692,115 | ||||||
OneBeacon U.S. Holdings, Inc., 5.875%, 05/15/13 |
2,186,000 | 2,246,594 | ||||||
Progressive Corp. (The), 3.750%, 08/23/21 |
862,000 | 895,721 | ||||||
|
|
|||||||
19,179,543 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Media (1.3%) |
| |||||||
Comcast Corp., 4.950%, 06/15/16 |
1,522,000 | 1,685,577 | ||||||
NBCUniversal Media LLC, 4.375%, 04/01/21 |
3,999,000 | 4,220,329 | ||||||
Thomson Reuters Corp., 5.950%, 07/15/13 |
526,000 | 560,448 | ||||||
Time Warner Cable, Inc., 5.850%, 05/01/17 |
4,567,000 | 5,201,027 | ||||||
Time Warner Cable, Inc., 8.250%, 02/14/14 |
2,477,000 | 2,791,965 | ||||||
Time Warner, Inc., 4.875%, 03/15/20 |
534,000 | 578,658 | ||||||
|
|
|||||||
15,038,004 | ||||||||
|
|
|||||||
Mining (1.6%) |
||||||||
Barrick (PD) Australia Finance Property Ltd., 4.950%, 01/15/20 |
3,507,000 | 3,893,194 | ||||||
Barrick International Barbados Corp., 5.750%, 10/15/16(b) |
1,666,000 | 1,909,448 | ||||||
BHP Billiton Finance USA Ltd., 1.125%, 11/21/14 |
2,881,000 | 2,887,762 | ||||||
Kinross Gold Corp., 5.125%, 09/01/21(b)(c) |
5,521,000 | 5,418,409 | ||||||
Newmont Mining Corp., 5.125%, 10/01/19 |
4,182,000 | 4,632,267 | ||||||
|
|
|||||||
18,741,080 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (1.4%) |
||||||||
3M Co., 1.375%, 09/29/16 |
1,736,000 | 1,750,898 | ||||||
Danaher Corp., 3.900%, 06/23/21, Callable 03/23/21 @ 100 |
2,225,000 | 2,456,389 | ||||||
General Electric Co., 5.000%, 02/01/13 |
2,913,000 | 3,035,623 | ||||||
General Electric Co., 5.250%, 12/06/17 |
1,548,000 | 1,776,736 | ||||||
Illinois Tool Works, Inc., 6.250%, 04/01/19 |
4,078,000 | 5,032,415 | ||||||
Siemens Financieringsmaatschappij NV, 5.750%, 10/17/16(b) |
1,976,000 | 2,282,280 | ||||||
|
|
|||||||
16,334,341 | ||||||||
|
|
|||||||
Office/Business Equip (0.4%) |
||||||||
Xerox Corp., 5.500%, 05/15/12 |
1,972,000 | 2,004,698 | ||||||
Xerox Corp., 6.350%, 05/15/18 |
2,225,000 | 2,506,373 | ||||||
|
|
|||||||
4,511,071 | ||||||||
|
|
|||||||
Oil & Gas (0.8%) |
||||||||
BP Capital Markets PLC, 2.248%, 11/01/16 |
3,672,000 | 3,695,416 | ||||||
Ensco PLC, 4.700%, 03/15/21 |
3,536,000 | 3,682,412 | ||||||
Statoil ASA, 3.125%, 08/17/17 |
763,000 | 804,737 | ||||||
Total Capital SA, 3.000%, 06/24/15 |
1,662,000 | 1,756,569 | ||||||
|
|
|||||||
9,939,134 | ||||||||
|
|
|||||||
Oil & Gas Services (0.5%) |
||||||||
Schlumberger Investment SA, 3.300%, 09/14/21(b) |
2,925,000 | 3,004,961 | ||||||
Weatherford International Ltd., 4.950%, 10/15/13 |
1,160,000 | 1,218,900 | ||||||
Weatherford International Ltd., 5.125%, 09/15/20 |
2,064,000 | 2,144,863 | ||||||
|
|
|||||||
6,368,724 | ||||||||
|
|
|||||||
Pharmaceuticals (2.2%) |
||||||||
Abbott Laboratories, 5.600%, 11/30/17 |
3,979,000 | 4,751,535 | ||||||
Express Scripts, Inc., 5.250%, 06/15/12 |
3,566,000 | 3,633,415 | ||||||
GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 |
2,754,000 | 3,314,734 | ||||||
Novartis Securities Investment Ltd., 5.125%, 02/10/19 |
1,965,000 | 2,309,370 | ||||||
Sanofi-Aventis SA, 4.000%, 03/29/21 |
4,419,000 | 4,895,978 | ||||||
Schering-Plough Corp., Inc., 6.000%, 09/15/17 |
2,965,000 | 3,634,906 | ||||||
Teva Pharmaceutical Finance II/III, 3.000%, 06/15/15 |
1,996,000 | 2,078,557 | ||||||
Teva Pharmaceutical Finance LLC, 5.550%, 02/01/16 |
736,000 | 831,953 | ||||||
|
|
|||||||
25,450,448 | ||||||||
|
|
|||||||
Pipelines (2.7%) |
||||||||
El Paso Natural Gas Co., 5.950%, 04/15/17 |
597,000 | 670,352 | ||||||
El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 |
1,544,000 | 1,701,683 | ||||||
Energy Transfer Partners LP, 4.650%, 06/01/21, Callable 03/01/21 @ 100 |
1,916,000 | 1,876,906 | ||||||
Energy Transfer Partners LP, 6.700%, 07/01/18 |
4,349,000 | 4,824,889 | ||||||
Enterprise Products Operating LLC, 5.250%, 01/31/20 |
5,477,000 | 6,047,304 | ||||||
Enterprise Products Operating LLC, Series G, 5.600%, 10/15/14 |
2,975,000 | 3,259,609 | ||||||
Rockies Express Pipeline LLC, 6.850%, 07/15/18(b) |
2,458,000 | 2,539,606 | ||||||
Southern Natural Gas Co., 5.900%, 04/01/17(b) |
374,000 | 427,434 |
See Notes to Schedules of Portfolio Investments.
TC Pipelines LP, 4.650%, 06/15/21 |
3,066,000 | 3,210,222 | ||||||
TransCanada PipeLines Ltd., 3.800%, 10/01/20 |
2,470,000 | 2,665,641 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 6.050%, 06/15/18 |
1,074,000 | 1,229,286 | ||||||
Williams Partners LP, 4.125%, 11/15/20, Callable 08/15/20 @ 100 |
3,320,000 | 3,407,226 | ||||||
|
|
|||||||
31,860,158 | ||||||||
|
|
|||||||
Real Estate Investment Trusts (1.3%) |
||||||||
BioMed Realty LP, 3.850%, 04/15/16, Callable 03/15/16 @ 100 |
2,189,000 | 2,159,328 | ||||||
Digital Realty Trust LP, 4.500%, 07/15/15 |
5,955,000 | 6,074,076 | ||||||
Digital Realty Trust LP, 5.875%, 02/01/20 |
1,149,000 | 1,195,488 | ||||||
Healthcare Realty Trust, Inc., 6.500%, 01/17/17 |
5,605,000 | 6,019,417 | ||||||
|
|
|||||||
15,448,309 | ||||||||
|
|
|||||||
Retail (1.2%) |
||||||||
Family Dollar Stores, Inc., 5.000%, 02/01/21 |
1,432,000 | 1,473,734 | ||||||
Wal-Mart Stores, Inc., 4.250%, 04/15/21 |
5,849,000 | 6,758,485 | ||||||
Walgreen Co., 4.875%, 08/01/13 |
2,212,000 | 2,359,967 | ||||||
Wesfarmers Ltd., 6.998%, 04/10/13(b)(c) |
3,403,000 | 3,610,161 | ||||||
|
|
|||||||
14,202,347 | ||||||||
|
|
|||||||
Semiconductors (0.3%) |
||||||||
Analog Devices, Inc., 3.000%, 04/15/16 |
841,000 | 886,368 | ||||||
Intel Corp., 1.950%, 10/01/16 |
2,021,000 | 2,077,622 | ||||||
|
|
|||||||
2,963,990 | ||||||||
|
|
|||||||
Software (0.9%) |
||||||||
Fiserv, Inc., 4.750%, 06/15/21 |
2,946,000 | 3,082,214 | ||||||
Oracle Corp., 5.750%, 04/15/18 |
5,881,000 | 7,136,505 | ||||||
|
|
|||||||
10,218,719 | ||||||||
|
|
|||||||
Telecommunication Services (1.7%) |
||||||||
AT&T, Inc., 3.875%, 08/15/21 |
2,765,000 | 2,924,681 | ||||||
AT&T, Inc., 4.950%, 01/15/13 |
2,785,000 | 2,902,580 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17, Callable 05/01/13 @ 103.88(b) |
3,055,000 | 3,291,762 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
1,866,000 | 2,027,336 | ||||||
Cisco Systems, Inc., 5.500%, 02/22/16 |
1,761,000 | 2,049,329 | ||||||
Juniper Networks, Inc., 3.100%, 03/15/16 |
665,000 | 687,829 | ||||||
Rogers Communications, Inc., 7.500%, 03/15/15 |
1,045,000 | 1,223,596 | ||||||
SBC Communications, Inc., 5.100%, 09/15/14 |
2,496,000 | 2,749,204 | ||||||
Verizon Communications, Inc., 5.250%, 04/15/13 |
2,453,000 | 2,588,487 | ||||||
|
|
|||||||
20,444,804 | ||||||||
|
|
|||||||
Transportation (0.2%) |
||||||||
United Parcel Service, Inc., 3.125%, 01/15/21 |
1,952,000 | 2,070,678 | ||||||
|
|
|||||||
Trucking & Leasing (0.4%) |
||||||||
Aviation Capital Group Corp., 6.750%, 04/06/21(b) |
2,256,000 | 2,125,558 | ||||||
Aviation Capital Group Corp., 7.125%, 10/15/20(b) |
3,094,000 | 2,992,919 | ||||||
|
|
|||||||
5,118,477 | ||||||||
|
|
|||||||
Water (0.2%) |
||||||||
Veolia Environment SA, 6.000%, 06/01/18 |
1,768,000 | 1,930,267 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $357,525,547) |
383,974,511 | |||||||
|
|
|||||||
U.S. Government Agency Mortgages (9.6%) |
||||||||
Federal Home Loan Mortgage Corporation (5.2%) |
||||||||
3.000%, TBA, 15 Year Maturity(d) |
58,848,000 | 60,742,170 | ||||||
|
|
|||||||
Federal National Mortgage Association (3.0%) |
||||||||
Pool #469387, 2.600%, 10/01/18 |
3,323,000 | 3,320,760 | ||||||
Pool #468958, 3.770%, 09/01/21 |
29,957,000 | 32,186,699 | ||||||
|
|
|||||||
35,507,459 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Government National Mortgage Association (1.4%) |
| |||||||
Pool #751387, 4.743%, 01/20/61 |
14,758,687 | 16,194,904 | ||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $108,507,115) |
112,444,533 | |||||||
|
|
|||||||
U.S. Treasury Obligations (54.6%) |
||||||||
U.S. Treasury Notes (54.6%) |
||||||||
0.875%, 02/29/12 |
132,042,000 | 132,217,352 | ||||||
0.500%, 10/15/14 |
216,028,000 | 216,922,572 | ||||||
1.250%, 10/31/15(e) |
96,665,000 | 99,142,041 | ||||||
1.750%, 05/31/16 |
105,446,000 | 110,265,198 | ||||||
3.375%, 11/15/19 |
29,921,000 | 34,107,606 | ||||||
2.000%, 11/15/21 |
46,855,000 | 47,389,428 | ||||||
|
|
|||||||
640,044,197 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $626,831,547) |
640,044,197 | |||||||
|
|
|||||||
Short-Term Investment (0.6%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(f) |
6,405,080 | 6,405,080 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $6,405,080) |
6,405,080 | |||||||
|
|
|||||||
Money Market Fund (9.1%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(g) |
107,110,379 | 107,110,379 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $107,110,379) |
107,110,379 | |||||||
|
|
|||||||
Total Investments (Cost $1,223,719,601) 108.4% |
1,269,736,683 | |||||||
|
|
|||||||
Liabilities in excess of other assets (8.4)% |
(97,987,733 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 1,171,748,950 | ||||||
|
|
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 6.8% of net assets as of December 31, 2011. |
(c) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $6,278,485. |
(d) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(e) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(g) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
MTN | Medium Term Note | |
TBA | To Be Announced. Securities purchased on a forward commitment basis with an appropriate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Investment Grade Tax-Exempt Bond Fund
Shares
or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (87.9%) |
| |||||||
Alabama (1.1%) |
| |||||||
Birmingham Special Care Facilities Financing Authority Health Care Facilities, Childrens Hospital of Alabama, RB, 6.000%, 06/01/39, Callable 06/01/19 @ 100, AGC |
9,000,000 | 9,966,420 | ||||||
|
|
|||||||
Alaska (5.1%) |
| |||||||
Matanuska-Susitna Borough Lease, Goose Creek Correctional Center, RB, 5.500%, 09/01/23, Callable 09/01/19 @ 100, AGC |
18,000,000 | 21,497,220 | ||||||
Matanuska-Susitna Borough Lease, Goose Creek Correctional Center, RB, 6.000%, 09/01/28, Callable 09/01/19 @ 100, AGC |
15,500,000 | 18,211,260 | ||||||
Matanuska-Susitna Borough Lease, Goose Creek Correctional Center, RB, 6.000%, 09/01/32, Callable 09/01/19 @ 100, AGC |
7,250,000 | 8,271,018 | ||||||
|
|
|||||||
47,979,498 | ||||||||
|
|
|||||||
California (11.5%) |
| |||||||
California Health Facilities Financing Authority, Series C, RB, 6.250%, 10/01/24, Callable 10/01/18 @ 100 |
3,500,000 | 4,171,580 | ||||||
California Health Facilities Financing Authority, Series C, RB, 6.500%, 10/01/33, Callable 10/01/18 @ 100 |
6,500,000 | 7,473,570 | ||||||
California Health Facilities Financing Authority, Series C, RB, 6.500%, 10/01/38, Callable 10/01/18 @ 100 |
100,000 | 133,725 | ||||||
California Health Facilities Financing Authority, Series C, RB, 6.500%, 10/01/38, Callable 10/01/18 @ 100 |
5,400,000 | 6,157,296 | ||||||
California State, GO, 4.000%, 09/01/17 |
1,285,000 | 1,447,039 | ||||||
California State, GO, 5.000%, 10/01/18 |
11,390,000 | 13,611,050 | ||||||
California State, GO, 5.000%, 10/01/19 |
4,000,000 | 4,829,640 | ||||||
California State, GO, 6.500%, 04/01/33, Callable 04/01/19 @ 100(a) |
24,500,000 | 29,180,725 | ||||||
Los Angeles California Community College District, Series A, GO, 6.000%, 08/01/33, |
10,000,000 | 11,551,800 | ||||||
Los Angeles California Wastewater System, Series A, RB, 5.750%, 06/01/34, Callable |
5,000,000 | 5,726,550 | ||||||
Orange County Loma Ridge, COP, 6.000%, 06/01/21, Prerefunded 06/01/19 @ 100, AMBAC |
895,000 | 1,077,875 | ||||||
University of California, Series O, RB, 5.750%, 05/15/27, Callable 05/15/19 @ 100 |
3,000,000 | 3,577,080 | ||||||
University of California, Series O, RB, 5.750%, 05/15/28, Callable 05/15/19 @ 100 |
10,000,000 | 11,850,600 | ||||||
University of California, Series O, RB, 5.750%, 05/15/29, Callable 05/15/19 @ 100 |
5,095,000 | 5,989,835 | ||||||
|
|
|||||||
106,778,365 | ||||||||
|
|
|||||||
Connecticut (1.5%) |
| |||||||
Connecticut State, Series D, GO, 5.000%, 11/01/19 |
10,000,000 | 12,528,700 | ||||||
Connecticut State Health & Educational Facilities Authority, Ascension Health Credit Group, |
1,340,000 | 1,343,524 | ||||||
|
|
|||||||
13,872,224 | ||||||||
|
|
|||||||
District of Columbia (1.0%) |
| |||||||
District of Columbia, Income Tax, Series A, RB, 5.500%, 12/01/30, Callable 12/01/19 @ 100 |
8,000,000 | 9,253,760 | ||||||
|
|
|||||||
Florida (2.9%) |
| |||||||
Brevard County Utility Authority, RB, 5.250%, 03/01/13, Callable 03/01/12 @ 100, |
1,000,000 | 1,008,570 |
See Notes to Schedules of Portfolio Investments.
Brevard County Utility Authority, RB, 5.250%, 03/01/14, Callable 03/01/12 @ 100, |
1,000,000 | 1,008,570 | ||||||
Florida State Board of Education, Capital Outlay, Public Education Project, GO, 9.125%, 06/01/14, ETM |
950,000 | 1,128,410 | ||||||
Florida State Board of Education, Capital Outlay, Public Education Project, Series B, GO, 5.375%, 06/01/18, Callable 06/01/12 @ 101, NATL-RE/FGIC |
2,130,000 | 2,197,308 | ||||||
Florida State Board of Education, Lottery Revenue, Capital Outlay, Public Education Project, Series A, GO, 5.000%, 06/01/20, Callable 06/01/15 @ 101, NATL-RE/FGIC |
5,320,000 | 5,976,328 | ||||||
Florida State Board of Education, Lottery, Series A, RB, 5.375%, 07/01/15, Economically defeased 07/01/12 @ 101, NATL-RE/FGIC |
3,500,000 | 3,623,935 | ||||||
Highlands County Health Facilities Authority, Adventist Health, Series G, RB, 5.125%, 11/15/18, Callable 11/15/16 @ 100(b) |
2,900,000 | 3,279,407 | ||||||
Lee County Memorial Health Systems Hospital, Series A, RB, 5.750%, 04/01/15, Callable 04/01/12 @ 100, AGM |
1,000,000 | 1,012,640 | ||||||
Miami-Dade County, Building Better Communities Program, Series B, GO, 6.000%, 07/01/23, Callable 07/01/18 @ 100 |
2,000,000 | 2,332,160 | ||||||
Miami-Dade County, Building Better Communities Program, Series B, GO, 6.125%, 07/01/25, Callable 07/01/18 @ 100 |
3,000,000 | 3,450,510 | ||||||
Polk County School District Sales Tax Authority, RB, 5.250%, 10/01/15, Callable 10/01/14 |
2,000,000 | 2,187,660 | ||||||
|
|
|||||||
27,205,498 | ||||||||
|
|
|||||||
Georgia (0.9%) |
| |||||||
Fulton County Water & Sewer Revenue, RB, 5.000%, 01/01/19 |
3,500,000 | 4,303,600 | ||||||
Henry County School District, GO, 5.000%, 08/01/13, NATL-RE/FGIC |
4,030,000 | 4,325,681 | ||||||
|
|
|||||||
8,629,281 | ||||||||
|
|
|||||||
Illinois (3.7%) |
| |||||||
Chicago O Hare International Airport, AMT, RB, 5.000%, 01/01/17 |
3,645,000 | 4,078,318 | ||||||
Chicago O Hare International Airport, AMT, RB, 5.000%, 01/01/18 |
2,000,000 | 2,255,700 | ||||||
Chicago O Hare International Airport, Third Lien, Series D, RB, 5.250%, 01/01/19, Callable 01/01/15 @ 100, NATL-RE, AMT |
7,680,000 | 8,392,166 | ||||||
Chicago Sales Tax Revenue, Series A, RB, 5.000%, 01/01/41, Callable 01/01/22 @ 100 |
8,500,000 | 9,029,295 | ||||||
Grundy Kendall & Will Counties Community School District No. 201, GO, 5.750%, 10/15/21, Callable 10/15/18 @ 100, AGC |
4,340,000 | 5,184,434 | ||||||
Illinois State Sales Tax, First Series, RB, 5.000%, 06/15/22, Callable 06/15/13 @ 100(a) |
2,975,000 | 3,123,036 | ||||||
University of Illinois, Auxiliary Facilities System, Series A, RB, 5.750%, 04/01/38, Callable 04/01/19 @ 100 |
2,000,000 | 2,185,420 | ||||||
|
|
|||||||
34,248,369 | ||||||||
|
|
|||||||
Iowa (2.5%) |
| |||||||
Iowa Finance Authority, RB, 5.000%, 08/01/28, Callable 08/01/21 @ 100 |
10,000,000 | 11,601,000 | ||||||
Iowa Finance Authority, RB, 5.000%, 08/01/29, Callable 08/01/21 @ 100 |
10,000,000 | 11,529,100 | ||||||
|
|
|||||||
23,130,100 | ||||||||
|
|
|||||||
Kansas (3.3%) |
| |||||||
Kansas State Development Finance Authority, Adventist Bolingbrook Hospital, RB, 5.750%, 11/15/38, Callable 11/15/19 @ 100(a) |
26,090,000 | 28,538,547 | ||||||
Kansas State Development Finance Authority, Adventist Bolingbrook Hospital, Series D, RB, 5.000%, 11/15/22, Callable 11/15/17 @ 100 |
2,000,000 | 2,214,380 | ||||||
|
|
|||||||
30,752,927 | ||||||||
|
|
|||||||
Maryland (5.7%) |
| |||||||
Maryland State, Series B, GO, 5.000%, 03/01/18 |
5,000,000 | 6,180,500 | ||||||
Maryland State Department of Transportation, Consolidated Transportation, RB, 5.000%, 05/01/17, Callable 05/01/14 @ 100 |
4,500,000 | 4,973,805 | ||||||
Maryland State Department of Transportation, Consolidated Transportation, RB, 5.000%, 05/01/19 |
16,100,000 | 20,183,443 | ||||||
Montgomery County, Series A, GO, 5.000%, 07/01/19 |
17,065,000 | 21,573,061 | ||||||
|
|
|||||||
52,910,809 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Massachusetts (2.0%) |
| |||||||
Boston, Series A, GO, 5.000%, 04/01/15 |
4,585,000 | 5,220,298 | ||||||
Massachusetts School Building Authority, Series A, RB, 5.000%, 08/15/22, Callable |
5,000,000 | 5,589,750 | ||||||
Massachusetts State, Consolidated Lien, Series C, GO, 5.000%, 01/01/15 |
2,000,000 | 2,255,100 | ||||||
Massachusetts State, Consolidated Lien, Series C, GO, 5.000%, 09/01/18, Callable |
5,310,000 | 5,990,689 | ||||||
|
|
|||||||
19,055,837 | ||||||||
|
|
|||||||
Michigan (1.2%) |
| |||||||
Kent Hospital Finance Authority, Spectrum Health, Series A, RB, 5.000%, 01/15/47, Mandatory Put 01/15/12 @ 100(b) |
2,000,000 | 2,003,980 | ||||||
Michigan Finance State Authority, RB, 5.000%, 10/01/17 |
4,500,000 | 5,442,975 | ||||||
Michigan State Municipal Bond Authority, Clean Water State Revolving Fund, RB, 5.375%, 10/01/17, Callable 10/01/12 @ 100 |
3,300,000 | 3,426,588 | ||||||
|
|
|||||||
10,873,543 | ||||||||
|
|
|||||||
Minnesota (1.1%) |
| |||||||
Minnesota State, Series B, GO, 5.000%, 10/01/19 |
8,000,000 | 10,100,720 | ||||||
|
|
|||||||
Missouri (0.8%) |
| |||||||
Missouri State Highways & Transit Commission State Road, Second Lien, RB, 5.250%, 05/01/20, Callable 05/01/17 @ 100 |
6,500,000 | 7,773,350 | ||||||
|
|
|||||||
Nebraska (0.4%) |
| |||||||
Omaha Public Power District, Series C, RB, 5.000%, 02/01/30, Callable 02/01/21 @ 100 |
3,270,000 | 3,686,827 | ||||||
|
|
|||||||
New Jersey (9.5%) |
| |||||||
Garden State Preservation Trust, Open Space & Farmland Preservation, Series A, RB, 5.800%, 11/01/18, Callable 11/01/15 @ 100, AGM(a) |
8,000,000 | 9,368,320 | ||||||
Garden State Preservation Trust, Open Space & Farmland Preservation, Series A, RB, 5.800%, 11/01/20, Callable 11/01/15 @ 100, AGM(a) |
16,500,000 | 19,153,695 | ||||||
New Jersey State Transportation Trust Fund Authority, Transportation System, Series A, RB, 6.000%, 12/15/38, Prerefunded 12/15/18 @ 100 |
7,710,000 | 8,678,222 | ||||||
New Jersey State Transportation Trust Fund Authority, Transportation System, Series D, RB, 5.000%, 06/15/19, Callable 06/15/15 @ 100, AGM |
13,125,000 | 14,498,662 | ||||||
New Jersey Transportation Trust Fund Authority, Series A, RB, 6.000%, 06/15/35, Callable 06/15/21 @ 100, ST APPROP |
5,305,000 | 6,192,792 | ||||||
New Jersey Transportation Trust Fund Authority, Series B, RB, 5.000%, 06/15/20 |
5,250,000 | 6,220,357 | ||||||
New Jersey Transportation Trust Fund Authority, Series B, RB, 5.250%, 12/15/17, Callable 12/15/15 @ 100, NATL-RE/FGIC |
15,000,000 | 17,033,100 | ||||||
New Jersey Transportation Trust Fund Authority, Series B, RB, 5.250%, 06/15/26, Callable 06/15/21 @ 100 |
6,665,000 | 7,477,397 | ||||||
|
|
|||||||
88,622,545 | ||||||||
|
|
|||||||
New Mexico (0.7%) |
| |||||||
New Mexico Finance Authority, Public Project Revolving Fund, Series C, RB, 5.000%, 06/01/21, Callable 06/01/14 @ 100, AMBAC |
5,595,000 | 6,064,532 | ||||||
|
|
|||||||
New York (9.8%) |
| |||||||
Erie County Industrial Development Agency, City School District Buffalo, Series A, RB, 5.750%, 05/01/29, Callable 05/01/18 @ 100, BHAC |
5,340,000 | 6,068,216 | ||||||
New York City Municipal Water Finance Authority, Water & Sewer System, Series A, RB, 5.750%, 06/15/40, Callable 06/15/18 @ 100(a) |
15,330,000 | 17,488,771 | ||||||
New York City Transitional Finance Authority, Building Aid, Series S-2, RB, 6.000%, 07/15/38, Callable 07/15/18 @ 100, State Aid Withholding |
7,500,000 | 8,578,275 | ||||||
New York City Transitional Finance Authority, RB, 5.000%, 11/01/31, Callable 11/01/21 @ 100 |
2,475,000 | 2,792,567 | ||||||
New York City Transitional Finance Authority, RB, 5.000%, 11/01/32, Callable 11/01/21 @ 100 |
10,000,000 | 11,159,300 | ||||||
New York Local Government Assistance Corp., Series B, RB, 5.000%, 04/01/14, GO of Corporation |
8,925,000 | 9,841,597 |
See Notes to Schedules of Portfolio Investments.
New York State Dormitory Authority, Series E, RB, 5.000%, 08/15/19 |
10,000,000 | 12,380,300 | ||||||
New York State Thruway Authority, Series B, RB, 5.000%, 04/01/18, Callable 10/01/15 @ 100, AMBAC |
5,700,000 | 6,417,858 | ||||||
Port Authority of New York & New Jersey, AMT, RB, 5.000%, 10/15/17, GO of Authority |
5,500,000 | 6,409,095 | ||||||
Port Authority of New York & New Jersey, AMT, RB, 5.000%, 10/15/18, GO of Authority |
8,255,000 | 9,730,581 | ||||||
|
|
|||||||
90,866,560 | ||||||||
|
|
|||||||
North Carolina (4.2%) |
| |||||||
North Carolina State, GO, 5.000%, 05/01/16, Prerefunded 05/01/13 @ 100 |
3,500,000 | 3,717,560 | ||||||
North Carolina State, RB, 4.000%, 03/01/23, Callable 09/01/17 @ 100(b) |
12,500,000 | 14,188,250 | ||||||
North Carolina State, Series A, GO, 5.000%, 03/01/17 |
3,000,000 | 3,621,390 | ||||||
North Carolina State, Series C, GO, 5.000%, 05/01/19 |
12,315,000 | 15,529,584 | ||||||
University of North Carolina, Chapel Hill, Series A, RB, 5.000%, 02/01/14 |
1,885,000 | 2,031,842 | ||||||
|
|
|||||||
39,088,626 | ||||||||
|
|
|||||||
Oregon (0.9%) |
| |||||||
Oregon State Department of Transportation, Highway User Tax, Series B, RB, 5.000%, 11/15/17, Callable 11/15/14 @ 100 |
2,500,000 | 2,787,275 | ||||||
Tri-County Metropolitan Transportation District, Refunding Limited Tax Pledge, Series A, RB, 5.000%, 09/01/20, Callable 09/01/15 @ 100, AGM |
5,170,000 | 5,832,742 | ||||||
|
|
|||||||
8,620,017 | ||||||||
|
|
|||||||
Pennsylvania (3.3%) |
| |||||||
Allegheny County Port Authority, RB, 5.750%, 03/01/29, Callable 03/01/21 @ 100 |
7,500,000 | 8,511,075 | ||||||
Easton Area School District, Series 2006, GO, 7.750%, 04/01/25, Callable 04/01/16 @ 100, AGM |
8,790,000 | 10,456,408 | ||||||
University of Pittsburgh, Commonwealth System of Higher Education, Series B, RB, 5.500%, 09/15/23, Callable 03/15/19 @ 100, GO of University |
6,750,000 | 8,364,668 | ||||||
University of Pittsburgh, Commonwealth System of Higher Education, Series B, RB, 5.500%, 09/15/24, Callable 03/15/19 @ 100, GO of University |
2,500,000 | 3,070,625 | ||||||
|
|
|||||||
30,402,776 | ||||||||
|
|
|||||||
South Carolina (1.1%) |
| |||||||
Beaufort County School District, Series D, GO, 5.000%, 03/01/17, SCSDE |
6,500,000 | 7,789,210 | ||||||
South Carolina State Public Service Authority, Series A, RB, 5.000%, 01/01/17, Callable 01/01/14 @ 100, AGM |
2,300,000 | 2,504,539 | ||||||
|
|
|||||||
10,293,749 | ||||||||
|
|
|||||||
Texas (4.7%) |
| |||||||
Austin, Series 2005, GO, 5.000%, 09/01/19, Callable 03/01/15 @ 100, NATL-RE |
5,000,000 | 5,539,900 | ||||||
Dallas Independent School District, GO, 6.375%, 02/15/34, Callable 02/15/18 @ 100, PSF-GTD |
6,000,000 | 7,325,700 | ||||||
Frisco, GO, 5.000%, 02/15/19 |
5,000,000 | 6,180,200 | ||||||
Harris County Health Facilities Development Authority, Memorial Hermann Healthcare System, Series B, RB, 7.125%, 12/01/31, Callable 12/01/18 @ 100 |
4,050,000 | 4,681,111 | ||||||
Lower Colorado River Authority, Series A, RB, 5.875%, 05/15/15, Callable 2/27/12 @ 100, AGM |
1,185,000 | 1,189,930 | ||||||
North Harris County Regional Water Authority, RB, 5.250%, 12/15/18, Callable 12/15/14 @ 100, NATL-RE |
2,690,000 | 2,967,985 | ||||||
San Antonio Electric & Gas, RB, 5.000%, 02/01/24, Callable 02/01/15 @ 100 |
1,875,000 | 2,060,062 | ||||||
Texas State Public Finance Authority, Unemployment Comp., Series A, RB, 5.000%, 01/01/15 |
5,000,000 | 5,639,350 | ||||||
Texas State Public Finance Authority, Charter School Finance Corp., Series A, RB, 6.200%, 02/15/40, Callable 02/01/20 @ 100 |
2,850,000 | 2,952,657 | ||||||
Texas State University Systems Financing, RB, 5.000%, 03/15/18, Callable 03/15/15 @ 100, AGM |
5,035,000 | 5,624,850 | ||||||
|
|
|||||||
44,161,745 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Virginia (4.4%) |
| |||||||
Henrico County, Public Improvement Project, GO, 5.000%, 08/01/18 |
3,305,000 | 4,120,509 | ||||||
Henrico County, Public Improvement Project, GO, 5.000%, 08/01/20 |
3,305,000 | 4,221,972 | ||||||
Virginia College Building Authority Educational Facilities, 21st Century College & Equipment Program, Series D, RB, 5.000%, 02/01/13 |
4,130,000 | 4,341,704 | ||||||
Virginia Public Building Authority, Series A, RB, 5.000%, 08/01/15 |
2,500,000 | 2,867,375 | ||||||
Virginia Public Building Authority, Series D, RB, 5.000%, 08/01/17, Callable |
4,000,000 | 4,428,920 | ||||||
Virginia Public School Authority, RB, 5.000%, 01/15/23, Callable 01/15/21 @ 100 |
6,085,000 | 7,428,690 | ||||||
Virginia Public School Authority, RB, 5.000%, 01/15/28, Callable 01/15/21 @ 100 |
5,665,000 | 6,527,269 | ||||||
Virginia State, Series D, GO, 5.000%, 06/01/18 |
6,000,000 | 7,456,980 | ||||||
|
|
|||||||
41,393,419 | ||||||||
|
|
|||||||
Washington (4.6%) |
| |||||||
Central Puget Sound Regional Transit Authority, Series A, RB, 5.000%, 11/01/23, Callable 05/01/15 @ 100, AMBAC |
6,000,000 | 6,628,500 | ||||||
Energy Northwest, Series A, RB, 5.000%, 07/01/21(c) |
7,000,000 | 8,467,970 | ||||||
Pierce County School District No. 10, Tacoma, GO, 5.000%, 12/01/16, Callable 12/01/13 @ 100, NATL-RE/FGIC |
5,200,000 | 5,612,776 | ||||||
Port of Seattle, Series B, AMT, RB, 5.000%, 09/01/19 |
3,000,000 | 3,474,330 | ||||||
Port of Seattle, Series B, AMT, RB, 5.000%, 09/01/21 |
4,000,000 | 4,646,200 | ||||||
Port of Seattle, Series B, AMT, RB, 5.000%, 09/01/24, Callable 09/01/21 @ 100 |
2,055,000 | 2,288,078 | ||||||
Washington State, Series A, GO, 5.000%, 07/01/19, Callable 07/01/14 @ 100 |
2,855,000 | 3,130,251 | ||||||
Washington State, Series A, GO, 5.000%, 07/01/20, Callable 07/01/15 @ 100, AGM |
7,700,000 | 8,600,900 | ||||||
|
|
|||||||
42,849,005 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $766,949,587) |
818,580,502 | |||||||
|
|
|||||||
Money Market Fund (12.1%) |
| |||||||
Federated Tax-Free Obligations Fund, Institutional Shares, 0.02%(d) |
112,905,542 | 112,905,542 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $112,905,542) |
112,905,542 | |||||||
|
|
|||||||
Total Investments (Cost $879,855,129) 100.0% |
931,486,044 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.0%(e) |
98,856 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 931,584,900 | ||||||
|
|
(a) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(d) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
(e) | Less than 0.05% of Net Assets. |
Investment Abbreviations | ||
AGC | Security guaranteed by Assured Guaranty Corporation | |
AGM | Security guaranteed by Assured Guaranty Municipal Corporation | |
AMBAC | Security guaranteed by American Municipal Bond Assurance Corporation | |
AMT | Income subject to Alternative Minimum Tax | |
BHAC | Security guaranteed by Berkshire Hathaway Assurance Corporation | |
COP | Certificate of Participation | |
ETM | Escrowed to Maturity | |
FGIC | Security guaranteed by Financial Guaranty Insurance Company | |
GO | General Obligation | |
NATL-RE | Reinsurance provided by National Public Finance Guarantee Corporation | |
PSF-GTD | Security guaranteed by Permanent School Fund Guarantee Program | |
RB | Revenue Bond | |
SCSDE | Security guaranteed by South Carolina School Discount Enhancement | |
ST APPROP | State Appropriation |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Limited Duration Fund
Shares or Principal Amount($) |
Value($) | |||||||
Asset-Backed Securities (29.3%) |
||||||||
Automobiles (3.5%) |
||||||||
AmeriCredit Automobile Receivables Trust, Series 2007-DF, Cl A4B, 1.070%, 06/06/14(a) |
646,452 | 646,946 | ||||||
|
|
|||||||
Credit Card (16.3%) |
||||||||
Cabelas Master Credit Card Trust, Series 2010-2A, Cl A2, 0.978%, 09/17/18(a)(b) |
1,000,000 | 1,011,133 | ||||||
Discover Card Master Trust, Series 2007-A2, Cl A2, 0.886%, 06/15/15(a) |
1,000,000 | 1,002,759 | ||||||
Penarth Master Issuer PLC, Series 2011-1A, Cl A1, 0.935%, 05/18/15(a)(b) |
1,000,000 | 996,697 | ||||||
|
|
|||||||
3,010,589 | ||||||||
|
|
|||||||
Home Equity (4.1%) |
||||||||
HSBC Home Equity Loan Trust, Series 2006-2, Cl A1, 0.435%, 03/20/36(a) |
809,516 | 747,844 | ||||||
|
|
|||||||
Student Loan Asset-Backed Security (5.4%) |
||||||||
SLM Student Loan Trust, Series 2006-5, Cl A4, 0.498%, 04/25/23(a) |
1,015,000 | 1,003,654 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $5,415,871) |
5,409,033 | |||||||
|
|
|||||||
Collateralized Mortgage Obligations (68.6%) |
||||||||
Agency Collateralized Mortgage Obligations (66.8%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 2589, Cl F, 0.485%, 03/17/33(a) |
1,072,773 | 1,069,826 | ||||||
Federal Home Loan Mortgage Corporation, Series 2693, Cl BF, 0.678%, 07/15/22(a) |
883,985 | 884,852 | ||||||
Federal Home Loan Mortgage Corporation, Series 3877, Cl FN, 0.578%, 02/15/25(a) |
1,787,871 | 1,785,526 | ||||||
Federal National Mortgage Association, Series 2003-90, Cl FL, 0.744%, 03/25/31(a) |
1,430,528 | 1,431,438 | ||||||
Federal National Mortgage Association, Series 2004-79, Cl FM, 0.594%, 11/25/24(a) |
2,267,761 | 2,265,992 | ||||||
Federal National Mortgage Association, Series 2010-90, Cl MF, 0.694%, 04/25/28(a) |
2,013,893 | 2,012,013 | ||||||
Federal National Mortgage Association, Series 2011-98, Cl FL, 0.594%, 10/25/26(a) |
2,902,616 | 2,899,602 | ||||||
|
|
|||||||
12,349,249 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Securities (1.8%) |
||||||||
Citigroup Commercial Mortgage Trust, Series 2004-C2, Cl A3, 4.380%, 10/15/41 |
119,507 | 119,443 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Series 2004-CBX, Cl A4, 4.529%, 01/12/37 |
213,056 | 213,000 | ||||||
|
|
|||||||
332,443 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $12,637,007) |
12,681,692 | |||||||
|
|
|||||||
Money Market Fund (2.1%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(c) |
385,563 | 385,563 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $385,563) | 385,563 | |||||||
|
|
|||||||
Total Investments (Cost $18,438,441) 100.0% |
18,476,288 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.0%(d) | 5,878 | |||||||
|
|
|||||||
Net Assets 100.0% | $ | 18,482,166 | ||||||
|
|
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 10.9% of net assets as of December 31, 2011. |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
(d) | Less than 0.05% of Net Assets. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Limited-Term Federal Mortgage Securities Fund
Shares or Principal Amount($) |
Value($) | |||||||
Collateralized Mortgage Obligations (19.8%) |
||||||||
Agency Collateralized Mortgage Obligations (16.2%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 2945, Cl CZ, 5.000%, 03/15/35 |
778,654 | 896,502 | ||||||
Federal Home Loan Mortgage Corporation, Series 3774, Cl EW, 3.500%, 12/15/25 |
411,000 | 431,612 | ||||||
Federal Home Loan Mortgage Corporation, Series 3780, Cl CL, 3.500%, 12/15/25(a) |
1,464,695 | 1,525,204 | ||||||
Federal National Mortgage Association, Series 2003-90, Cl FL, REMIC, 0.740%, 03/25/31(b) |
363,127 | 363,358 | ||||||
Federal National Mortgage Association, Series 2010-134, Cl EB, 4.000%, 12/25/25(a) |
1,215,442 | 1,311,889 | ||||||
Federal National Mortgage Association, Series 2010-136, Cl FG, 0.794%, 12/25/30(b) |
1,141,912 | 1,144,985 | ||||||
Federal National Mortgage Association, Series 2010-144, Cl YB, 3.000%, 12/25/25 |
500,000 | 512,154 | ||||||
Federal National Mortgage Association, Series 2011-36, Cl DB, 3.000%, 05/25/26 |
849,584 | 869,233 | ||||||
|
|
|||||||
7,054,937 | ||||||||
|
|
|||||||
Agency Collateralized Planned Amortization Class Mortgage Obligations (2.4%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3763, Cl VQ, 4.000%, 07/15/27 |
180,000 | 190,340 | ||||||
Federal National Mortgage Association, Series 2011-8, Cl PV, 4.000%, 01/25/30 |
789,000 | 821,970 | ||||||
|
|
|||||||
1,012,310 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Security (1.2%) |
||||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Cl AM, 5.204%, 10/15/44(b) |
500,000 | 529,015 | ||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $7,830,634) |
8,596,262 | |||||||
|
|
|||||||
U.S. Government Agency Mortgages (77.6%) |
||||||||
Federal Home Loan Mortgage Corporation (41.9%) |
||||||||
Pool #J14868, 4.000%, 03/01/26 |
1,900,254 | 1,997,292 | ||||||
Pool #J16265, 4.000%, 08/01/26 |
733,674 | 771,140 | ||||||
Pool #C01785, 5.000%, 02/01/34 |
2,683,411 | 2,888,954 | ||||||
Pool #A30380, 5.500%, 12/01/34 |
556,290 | 613,416 | ||||||
Pool #A46278, 5.000%, 07/01/35 |
486,970 | 528,683 | ||||||
Pool #G02109, 6.000%, 03/01/36 |
770,510 | 850,839 | ||||||
Pool #G02163, 5.000%, 04/01/36 |
1,002,567 | 1,078,735 | ||||||
Pool #G02162, 5.500%, 05/01/36 |
358,009 | 389,348 | ||||||
Pool #G04997, 5.000%, 01/01/37 |
1,658,436 | 1,784,432 | ||||||
Pool #G03092, 5.500%, 07/01/37 |
604,150 | 661,093 | ||||||
Pool #G04337, 5.500%, 04/01/38(a) |
1,217,802 | 1,323,071 | ||||||
Pool #1B8266, 2.864%, 05/01/41(b) |
678,965 | 703,944 | ||||||
Pool #848553, 2.694%, 06/01/41(b) |
492,813 | 508,808 | ||||||
Pool #1B8553, 2.358%, 07/01/41(b) |
978,450 | 1,009,957 | ||||||
3.000%, TBA, 15 Year Maturity(c) |
1,300,000 | 1,341,844 | ||||||
3.000%, TBA, 15 Year Maturity(c) |
1,750,000 | 1,800,859 | ||||||
|
|
|||||||
18,252,415 | ||||||||
|
|
|||||||
Federal National Mortgage Association (35.7%) |
||||||||
Pool #697146, 5.500%, 03/01/23 |
142,495 | 156,304 | ||||||
Pool #655219, 3.500%, 08/01/32 |
161,223 | 167,113 | ||||||
Pool #254793, 5.000%, 07/01/33 |
219,913 | 237,824 | ||||||
Pool #730727, 5.000%, 08/01/33 |
412,471 | 450,188 | ||||||
Pool #745350, 5.500%, 03/01/34(a) |
1,121,053 | 1,225,491 |
See Notes to Schedules of Portfolio Investments.
Pool #725703, 6.000%, 08/01/34(a) |
1,360,853 | 1,516,974 | ||||||
Pool #725773, 5.500%, 09/01/34(a) |
2,424,562 | 2,648,919 | ||||||
Pool #735500, 5.500%, 05/01/35 |
439,762 | 480,181 | ||||||
Pool #831017, 6.000%, 09/01/35 |
499,407 | 552,330 | ||||||
Pool #888344, 5.000%, 10/01/35 |
610,991 | 660,560 | ||||||
Pool #255933, 5.500%, 11/01/35 |
585,087 | 638,862 | ||||||
Pool #AE0115, 5.500%, 12/01/35(a) |
1,460,292 | 1,601,861 | ||||||
Pool #745087, 5.500%, 12/01/35 |
345,831 | 377,617 | ||||||
Pool #745428, 5.500%, 01/01/36 |
367,900 | 401,714 | ||||||
Pool #995213, 6.000%, 07/01/36 |
498,370 | 551,183 | ||||||
Pool #889140, 5.500%, 05/01/37 |
460,235 | 505,411 | ||||||
Pool #995082, 5.500%, 08/01/37 |
250,006 | 273,141 | ||||||
Pool #976965, 6.000%, 02/01/38 |
256,521 | 285,389 | ||||||
Pool #889529, 6.000%, 03/01/38 |
791,402 | 877,990 | ||||||
Pool #995724, 6.000%, 04/01/39 |
742,650 | 823,903 | ||||||
Pool #AD0439, 6.000%, 07/01/39 |
492,622 | 542,979 | ||||||
2.500%, TBA, 15 Year Maturity(c) |
500,000 | 502,580 | ||||||
|
|
|||||||
15,478,514 | ||||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $33,305,095) |
33,730,929 | |||||||
|
|
|||||||
Money Market Fund (9.5%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(d) |
4,137,172 | 4,137,172 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $4,137,172) |
4,137,172 | |||||||
|
|
|||||||
Total Investments (Cost $45,272,901) 106.9% |
46,464,363 | |||||||
|
|
|||||||
Liabilities in excess of other assets (6.9)% |
(2,982,395 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 43,481,968 | ||||||
|
|
(a) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(d) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
TBA |
|
To Be Announced. Securities purchased on a forward commitment basis with an appropriate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Maryland Municipal Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (83.3%) |
||||||||
Maryland (76.5%) |
||||||||
Baltimore, GO, 5.000%, 10/15/19 |
545,000 | 677,152 | ||||||
Baltimore, GO, 5.000%, 10/15/29, Callable 10/15/19 @ 100 |
500,000 | 562,710 | ||||||
Baltimore, Series A, GO, 5.000%, 10/15/27, Callable 10/15/18 @ 100, AGM |
500,000 | 561,010 | ||||||
Baltimore Sewer Improvement, Wastewater Projects, Series C, RB, 5.000%, 07/01/22, Callable 07/01/16 @ 100, AMBAC |
500,000 | 566,820 | ||||||
Baltimore Sewer Improvement, Wastewater Projects, Series C, RB, 5.625%, 07/01/39, Callable 07/01/19 @ 100 |
215,000 | 241,750 | ||||||
Charles County, GO, 4.000%, 04/01/17 |
500,000 | 577,395 | ||||||
Frederick, GO, 5.000%, 03/01/27, Callable 03/01/19 @ 100 |
500,000 | 579,785 | ||||||
Frederick, GO, 5.000%, 03/01/34, Callable 03/01/19 @ 100 |
750,000 | 822,750 | ||||||
Frederick County, GO, 5.000%, 12/01/15 |
500,000 | 581,355 | ||||||
Frederick County, GO, 5.000%, 12/01/18 |
500,000 | 624,475 | ||||||
Harford County, GO, 5.000%, 07/15/25, Callable 07/15/15 @ 100 |
750,000 | 837,810 | ||||||
Howard County, GO, 5.000%, 02/15/15 |
1,000,000 | 1,134,610 | ||||||
Maryland Community Development Administration, Department of Housing & Community Development, RB, 5.000%, 09/01/27, Callable 03/01/17 @ 100, AMT |
500,000 | 509,305 | ||||||
Maryland Community Development Administration, Department of Housing & Community Development Residential, Series B, RB, 5.250%, 09/01/35, Callable 03/01/20 @ 100 |
300,000 | 316,269 | ||||||
Maryland Environmental Service, RB, 5.000%, 11/01/22, Callable 11/01/20 @ 100 |
500,000 | 594,215 | ||||||
Maryland Health & Higher Educational Facilities Authority, RB, 5.750%, 07/01/34 |
750,000 | 806,228 | ||||||
Maryland Health & Higher Educational Facilities Authority, Johns Hopkins University, Series A, RB, 5.250%, 07/01/38, Callable 07/01/18 @ 100 |
1,000,000 | 1,104,050 | ||||||
Maryland State, GO, 5.250%, 03/01/17 |
590,000 | 719,641 | ||||||
Maryland State, Series C, GO, 5.000%, 03/01/21, Callable 03/01/19 @ 100 |
500,000 | 611,370 | ||||||
Maryland State Transportation Authority, Grant & Revenue Anticipation, RB, 5.250%, 03/01/20, Callable 03/01/19 @ 100 |
750,000 | 937,822 | ||||||
Maryland State Transportation Authority, Transportation Facilities Project, RB, 5.000%, 07/01/23, Callable 07/01/18 @ 100 |
500,000 | 580,285 | ||||||
Montgomery County Revenue Authority, Lease, College Arts Center Project, Series A, RB, 5.000%, 05/01/28, Callable 05/01/15 @ 100 |
500,000 | 521,475 | ||||||
Prince Georges County, COP, 5.000%, 10/01/23, Callable 10/01/20 @ 100 |
500,000 | 590,035 | ||||||
St. Marys County, Construction Public Improvement, GO, 4.000%, 07/15/18 |
375,000 | 440,561 | ||||||
Wicomico County, GO, 4.000%, 02/01/20 |
250,000 | 288,430 | ||||||
|
|
|||||||
15,787,308 | ||||||||
|
|
|||||||
New York (2.7%) |
||||||||
Monroe County Industrial Development Corp., Unity Hospital Rochester Project, RB, 5.500%, 08/15/40, FHA, Callable 02/15/21 @ 100 |
500,000 | 546,840 | ||||||
|
|
|||||||
Puerto Rico (4.1%) |
||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 6.375%, 08/01/39, Callable 08/01/19 @ 100 |
750,000 | 851,355 | ||||||
|
|
|||||||
Total Municipal Bonds (Cost $15,621,637) |
17,185,503 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Money Market Fund (15.6%) |
||||||||
Federated Tax-Free Obligations Fund, Institutional Shares, 0.02%(a) |
3,229,558 | 3,229,558 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $3,229,558) |
3,229,558 | |||||||
|
|
|||||||
Total Investments (Cost $18,851,195) 98.9% |
20,415,061 | |||||||
|
|
|||||||
Other assets in excess of liabilities 1.1% |
222,458 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 20,637,519 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
AGM |
| Security guaranteed by Assured Guaranty Municipal Corporation | ||
AMBAC |
| Security guaranteed by American Municipal Bond Assurance Corporation | ||
AMT |
| Income subject to Alternative Minimum Tax | ||
COP |
| Certificate of Participation | ||
FHA |
| Security guaranteed by Federal Housing Administration | ||
GO |
| General Obligation | ||
RB |
| Revenue Bond |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
North Carolina Tax-Exempt Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (94.3%) |
||||||||
North Carolina (85.2%) |
||||||||
Cape Fear Public Utility Authority, Water & Sewer System, RB, 5.000%, 08/01/35, Callable 08/01/18 @ 100 |
1,855,000 | 1,982,457 | ||||||
Charlotte Douglas Airport Revenue, Series B, 5.000%, 07/01/36, Callable 07/01/21 @ 100 |
1,000,000 | 1,013,590 | ||||||
Charlotte Water & Sewer System, RB, 5.000%, 07/01/21, Callable 07/01/18 @ 100 |
1,080,000 | 1,291,550 | ||||||
Charlotte-Mecklenburg Hospital Authority, Health Care Systems, Series A, RB, 5.000%, 01/15/21, Callable 01/15/17 @ 100 |
1,000,000 | 1,100,740 | ||||||
Greensboro, Series C, GO, 5.000%, 02/01/19 |
1,385,000 | 1,737,635 | ||||||
Greensboro, Enterprise System, Series A, RB, 5.000%, 06/01/25, Callable 06/01/17 @ 100 |
1,605,000 | 1,798,338 | ||||||
Iredell County School Project, COP, 5.125%, 06/01/27, Callable 06/01/18 @ 100, AGM |
1,000,000 | 1,092,680 | ||||||
New Hanover County Hospital, New Hanover Regional Medical Center, Series B, RB, 5.125%, 10/01/31, Callable 10/01/19 @ 100, AGM |
2,000,000 | 2,122,560 | ||||||
North Carolina Capital Facilities Finance Agency, RB, 5.250%, 03/01/33 |
2,000,000 | 2,079,540 | ||||||
North Carolina Capital Facilities Finance Agency, Duke University Project, Series A, RB, 5.250%, 07/01/42, Prerefunded 10/01/12 @ 100 |
1,000,000 | 1,037,650 | ||||||
North Carolina Eastern Municipal Power Agency, RB, 6.000%, 01/01/18, AMBAC |
1,010,000 | 1,238,735 | ||||||
North Carolina Eastern Municipal Power Agency, Power System, Series C, RB, 5.375%, 01/01/16, Callable 01/01/13 @ 100 |
500,000 | 521,000 | ||||||
North Carolina Infrastructure Finance Corp., Series A, COP, 5.000%, 02/01/15 |
2,290,000 | 2,581,471 | ||||||
North Carolina Medical Care Commission, RB, 5.000%, 10/01/20 |
1,215,000 | 1,420,870 | ||||||
North Carolina Medical Care Commission Health Care Facilities, Series A, RB, 6.125%, 10/01/39, Callable 10/01/14 @ 100 |
750,000 | 782,347 | ||||||
North Carolina Medical Care Commission Health Care Facilities, Novant Health Obligations Group, Series A, RB, 5.000%, 11/01/17, Callable 11/01/13 @ 100 |
1,290,000 | 1,361,002 | ||||||
North Carolina Medical Care Commission Health Care Facilities, University Health Systems, Series D, RB, 6.000%, 12/01/29, Callable 10/01/18 @ 100 |
750,000 | 832,680 | ||||||
North Carolina Medical Care Commission Health Care Facilities, University Health Systems, Series D, RB, 6.250%, 12/01/33, Callable 12/01/18 @ 100 |
2,000,000 | 2,240,080 | ||||||
North Carolina Medical Care Commission Health Care Facilities, Wake County Hospital System, Series A, RB, 5.625%, 10/01/29, Callable 10/01/14 @ 100, AGM |
500,000 | 522,805 | ||||||
North Carolina Medical Care Commission Health Care Facilities, Wake County Hospital System, Series A, RB, 5.875%, 10/01/38, Callable 10/01/14 @ 100, AGM |
500,000 | 518,360 | ||||||
North Carolina Municipal Power Agency, No. 1 Catawba Electric, RB, ETM, 5.000%, 01/01/20, Sinkable 01/01/19 @ 100 |
1,600,000 | 2,018,064 | ||||||
North Carolina Municipal Power Agency, No. 1 Catawba Electric, Series A, RB, 5.000%, 01/01/30, Callable 01/01/19 @ 100 |
3,000,000 | 3,223,350 | ||||||
North Carolina Municipal Power Agency, No. 1 Catawba Electric, Series A, RB, 5.250%, 01/01/15 |
1,000,000 | 1,121,300 | ||||||
North Carolina State, Series A, GO, 5.000%, 03/01/16 |
1,000,000 | 1,131,850 | ||||||
North Carolina State, Series C, GO, 5.000%, 05/01/20 |
2,000,000 | 2,547,820 | ||||||
North Carolina State Ports Authority Facilities, Series A, RB, 5.250%, 02/01/40, Callable 02/01/20 @ 100 |
1,500,000 | 1,582,665 | ||||||
Wake County, Series C, GO, 5.000%, 03/01/23 |
1,000,000 | 1,287,940 | ||||||
Winston-Salem North Carolina Water & Sewer System, RB, 5.000%, 06/01/39, Callable 06/01/19 @ 100(a) |
2,000,000 | 2,229,040 | ||||||
|
|
|||||||
42,418,119 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Puerto Rico (9.1%) |
||||||||
Puerto Rico Commonwealth Highway & Transportation Authority Highway, Series CC, RB, 5.500%, 07/01/30 |
720,000 | 776,736 | ||||||
Puerto Rico Electric Power Authority, Series NN, RB, 5.500%, 07/01/20 |
375,000 | 435,131 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.250%, 08/01/57, Callable 08/01/17 @ 100 |
1,400,000 | 1,452,976 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 5.500%, 08/01/42, Callable 02/01/20 @ 100 |
650,000 | 690,008 | ||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series A, RB, 6.000%, 08/01/42, Callable 08/01/19 @ 100 |
1,100,000 | 1,205,006 | ||||||
|
|
|||||||
4,559,857 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $43,708,936) |
46,977,976 | |||||||
|
|
|||||||
Money Market Fund (4.5%) |
||||||||
Federated Tax-Free Obligations Fund, Institutional Shares, 0.02%(a) |
2,247,316 | 2,247,316 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $2,247,316) |
2,247,316 | |||||||
|
|
|||||||
Total Investments (Cost $45,956,252) 98.8% |
49,225,292 | |||||||
|
|
|||||||
Other assets in excess of liabilities 1.2% |
583,762 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 49,809,054 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
AGM |
Security guaranteed by Assured Guaranty Municipal Corporation | |
AMBAC |
Security guaranteed by American Municipal Bond Assurance Corporation | |
COP |
Certificate of Participation | |
ETM |
Escrowed to Maturity | |
GO |
General Obligation | |
RB |
Revenue Bond |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Seix Floating Rate High Income Fund
Shares or Principal Amount($) |
Value($) | |||||||
Bank Loans (90.7%) |
||||||||
Aerospace/Defense (3.0%) |
||||||||
AM General LLC, Synthetic Letter of Credit, 3.300%, 09/28/12(a)(b)(c) |
657,485 | 602,697 | ||||||
AM General LLC, Term Loan, 3.300%, 09/30/13(a)(b)(c) |
10,989,571 | 10,073,810 | ||||||
DAE Aviation Holdings, Inc., Tranche B2 Term Loan, 5.430%, 07/31/14(a)(b) |
10,409,474 | 10,149,237 | ||||||
DAE Aviation Holdings, Inc., Tranche B1 Term Loan, 5.430%, 07/31/14(a)(b) |
10,890,312 | 10,618,054 | ||||||
Delos Aircraft, Inc., Term Loan B2, 7.000%, 03/17/16(a)(b) |
9,114,808 | 9,130,029 | ||||||
DigitalGlobe, Inc., Term Loan B1, 5.750%, 10/07/18(a)(b) |
23,385,000 | 22,917,300 | ||||||
Huntington Ingalls Industries, Inc., Term Loan A, 3.060%, 03/30/16(a)(b) |
12,815,688 | 12,495,295 | ||||||
MacAndrews AMG Holdings LLC, Term Loan, 6.330%, 04/17/12(a)(b) |
19,488,370 | 18,806,277 | ||||||
Sequa Corp., Term Loan, 3.690%-3.840%, 12/03/14(a)(b) |
4,723,085 | 4,589,280 | ||||||
Sequa Corp., Incremental Term Loan, 6.250%, 12/03/14(a)(b) |
3,850,000 | 3,878,875 | ||||||
Transdigm, Inc., New Term Loan B, 4.000%, 02/14/17(a)(b) |
4,247,100 | 4,207,305 | ||||||
|
|
|||||||
107,468,159 | ||||||||
|
|
|||||||
Auto Manufacturers (1.3%) |
||||||||
Autoparts Holding Ltd., 1st Lien Term Loan, 6.500%, 07/28/17(a)(b) |
4,618,425 | 4,608,819 | ||||||
Chrysler Group LLC, Term Loan, 6.000%, 05/24/17(a)(b)(c) |
20,487,112 | 19,344,956 | ||||||
Delphi Corp., Term Loan B, 3.500%, 03/31/17(a)(b) |
23,421,900 | 23,304,790 | ||||||
|
|
|||||||
47,258,565 | ||||||||
|
|
|||||||
Auto Parts & Equipment (1.9%) |
||||||||
Allison Transmission, Inc., Term Loan B, 2.780%, 08/07/14(a)(b) |
21,940,001 | 21,339,722 | ||||||
HHI Holdings LLC, New Term Loan B, 7.000%-7.750%, 03/21/17(a)(b) |
9,815,825 | 9,656,318 | ||||||
Metaldyne, New Term Loan B, 5.250%, 05/18/17(a)(b) |
3,577,963 | 3,519,821 | ||||||
Remy International, Inc., Term Loan B, 6.250%, 12/16/16(a)(b) |
6,920,100 | 6,793,255 | ||||||
Tenneco, Inc., Tranche B Term Loan, 4.800%, 06/03/16(a)(b) |
5,097,375 | 5,080,401 | ||||||
TI Automotive Ltd., Term Loan, 9.500%, 07/29/16(a)(b) |
6,047,065 | 6,016,830 | ||||||
Tomkins LLC, New Term Loan B, 4.250%, 09/29/16(a)(b)(c) |
15,938,096 | 15,861,752 | ||||||
|
|
|||||||
68,268,099 | ||||||||
|
|
|||||||
Building Materials (0.3%) |
||||||||
Armstrong World Industries, Inc., New Term Loan B, 4.000%, 03/09/18(a)(b) |
5,194,009 | 5,134,641 | ||||||
Goodman Global Holdings, Inc., 1st Lien Term Loan, 5.750%, 10/28/16(a)(b) |
5,114,929 | 5,105,364 | ||||||
Goodman Global Holdings, Inc., 2nd Lien Term Loan, 9.000%, 10/30/17(a)(b) |
890,909 | 891,836 | ||||||
|
|
|||||||
11,131,841 | ||||||||
|
|
|||||||
Chemicals (4.0%) |
||||||||
Ashland, Inc., Term Loan B, 3.750%, 08/23/18(a)(b) |
32,296,658 | 32,345,103 | ||||||
Chemtura Corp., Term Loan B, 5.500%, 08/27/16(a)(b) |
4,035,000 | 4,045,088 | ||||||
Houghton International, Inc., New Term Loan B, 6.750%, 01/29/16(a)(b) |
4,387,662 | 4,356,597 | ||||||
Huntsman International LLC, Non-Extended Term Loan B, 1.930%, 04/21/14(a)(b)(c) |
4,702,648 | 4,569,422 | ||||||
Huntsman International LLC, Extended Term Loan B, 2.880%, 04/19/17(a)(b) |
7,573,385 | 7,235,309 | ||||||
INEOS U.S. Finance LLC, Term Loan B2, 7.500%, 12/16/13(a)(b)(c) |
11,354,240 | 11,507,522 | ||||||
INEOS U.S. Finance LLC, Term Loan C2, 8.000%, 12/16/14(a)(b)(c) |
10,322,678 | 10,513,648 | ||||||
MacDermid, Inc., Term Loan B, 2.300%, 04/11/14(a)(b) |
2,865,102 | 2,785,595 | ||||||
Momentive Specialty Chemicals, Inc., Term Loan C3, 2.500%, 05/03/13(a)(b) |
1,762,355 | 1,624,909 | ||||||
Momentive Specialty Chemicals, Inc., Term Loan C5, 2.880%, 05/05/12(a)(b) |
2,923,469 | 2,791,913 | ||||||
Momentive Specialty Chemicals, Inc., Extended Term Loan C1, 4.060%, 05/05/15(a)(b) |
3,213,356 | 3,098,896 | ||||||
Momentive Specialty Chemicals, Inc., Extended Term Loan C2, 4.380%, 05/05/15(a)(b) |
1,361,992 | 1,313,478 | ||||||
Nexeo Solutions, LLC, Term Loan B, 5.000%, 09/08/17(a)(b) |
13,731,238 | 13,319,301 |
See Notes to Schedules of Portfolio Investments.
Omnova Solutions, Inc., Term Loan B, 5.750%, 05/31/17(a)(b) |
1,881,000 | 1,843,380 | ||||||
PolyOne Corp., Term Loan, 5.000%, 11/01/17(a)(b) |
2,890,000 | 2,887,255 | ||||||
Styron S.A.R.L LLC, New Term Loan B, 6.000%, 08/02/17(a)(b) |
19,391,982 | 16,713,561 | ||||||
Univar, Inc., Term Loan B, 5.000%, 06/30/17(a)(b) |
19,391,954 | 18,643,618 | ||||||
|
|
|||||||
139,594,595 | ||||||||
|
|
|||||||
Commercial Services (3.0%) |
||||||||
Acosta, Inc., Term Loan, 4.750%-5.500%, 03/01/18(a)(b) |
4,452,625 | 4,341,309 | ||||||
Booz Allen Hamilton, Inc., Term Loan B, 4.000%, 08/03/17(a)(b) |
2,203,350 | 2,193,435 | ||||||
Catalina Marketing Corp., Term Loan, 3.050%, 10/01/14(a)(b) |
9,082,154 | 8,650,752 | ||||||
Cengage Learning Acquisitions, Inc., Term Loan, 2.550%, 07/03/14(a)(b) |
12,068,013 | 10,251,053 | ||||||
Hertz Corp. (The), Term Loan B, 3.750%, 03/09/18(a)(b) |
11,801,000 | 11,566,868 | ||||||
Instant Web, Inc., Term Loan B, 3.670%, 08/07/14(a)(b) |
9,949,854 | 9,327,989 | ||||||
Instant Web, Inc., Delayed Draw Term Loan, 3.670%, 08/07/14(a)(b) |
2,148,806 | 2,014,506 | ||||||
Merrill Communications LLC, Term Loan, 7.500%, 12/24/12(a)(b) |
2,824,065 | 2,699,637 | ||||||
Merrill Communications LLC, PIK 2nd Lien Term Loan, 13.750%-14.000%, 11/15/13(a)(b) |
2,108,422 | 1,988,937 | ||||||
Moneygram International, Inc., Term Loan B, 4.500%, 11/17/17(a)(b) |
11,873,846 | 11,673,534 | ||||||
Trans Union LLC, New Term Loan B, 4.750%, 02/12/18(a)(b) |
4,630,013 | 4,608,807 | ||||||
Vertafore, Inc., Term Loan, 5.250%, 07/29/16(a)(b) |
1,442,718 | 1,408,814 | ||||||
Vertafore, Inc., Term Loan, 5.250%, 07/29/16(a)(b) |
4,420,363 | 4,316,485 | ||||||
Vertafore, Inc., 2nd Lien Term Loan, 9.750%, 10/27/17(a)(b) |
2,800,000 | 2,719,500 | ||||||
Walter Industries, Inc., Term Loan B, 4.000%, 04/02/18(a)(b) |
20,442,600 | 20,218,958 | ||||||
Waste Industries USA, Inc., Term Loan B, 4.750%, 03/17/17(a)(b) |
6,947,500 | 6,808,550 | ||||||
|
|
|||||||
104,789,134 | ||||||||
|
|
|||||||
Consumer Discretionary (0.1%) |
||||||||
Collective Brands Finance, Inc., Term Loan A, 3.030%-3.220%, 08/18/14(a)(b) |
2,936,160 | 2,811,374 | ||||||
|
|
|||||||
Consumer Staples (0.2%) |
||||||||
Revlon Consumer Products Corp., New Term Loan B, 4.750%, 11/17/17(a)(b) |
7,437,971 | 7,337,038 | ||||||
|
|
|||||||
Diversified Financial Services (6.5%) |
||||||||
Affinion Group, Inc., Term Loan B, 5.000%, 10/10/16(a)(b) |
12,378,622 | 11,027,248 | ||||||
American Capital Holdings, Inc., Term Loan, 7.500%, 12/31/13(a)(b) |
646,926 | 646,926 | ||||||
Asset Acceptance Capital Corp., New Term Loan B, 8.750%, 11/08/17(a)(b) |
2,500,000 | 2,387,500 | ||||||
BNY ConvergEx Group LLC, Term Loan, 5.000%, 12/19/16(a)(b) |
4,560,471 | 4,416,041 | ||||||
BNY ConvergEx Group LLC, Top Borrower Term Loan, 5.000%, 12/19/16(a)(b) |
10,357,527 | 10,029,504 | ||||||
BNY ConvergEx Group LLC, Top Borrower 2nd Lien Term Loan, 8.750%, 12/18/17(a)(b) |
2,631,015 | 2,499,464 | ||||||
BNY ConvergEx Group LLC, 2nd Lien Term Loan, 8.750%, 12/18/17(a)(b) |
1,103,985 | 1,048,786 | ||||||
Fidelity National Information Solutions, Inc., New Term Loan B, 4.250%, 07/18/16(a)(b)(c) |
2,950,000 | 2,943,067 | ||||||
First Data Corp., Term Loan B1, 3.040%, 09/24/14(a)(b) |
8,531,872 | 7,726,720 | ||||||
First Data Corp., Term Loan B2, 3.040%, 09/24/14(a)(b) |
25,559,776 | 23,147,700 | ||||||
First Data Corp., Term Loan B3, 3.040%, 09/24/14(a)(b) |
4,984,679 | 4,514,275 | ||||||
Interactive Data Corp., New Term Loan B, 4.500%, 02/12/18(a)(b) |
11,746,238 | 11,540,678 | ||||||
International Lease Finance Corp., Term Loan B1, 6.750%, 03/17/15(a)(b) |
6,095,192 | 6,096,716 | ||||||
Metokote Corporation., New Term Loan, 10.000%, 11/27/13(a)(b) |
1,820,918 | 1,804,985 | ||||||
Mondrian Investment Partners Ltd., Term Loan, 5.500%, 07/12/18(a)(b) |
3,693,727 | 3,677,586 | ||||||
Moneygram International, Inc., Term Loan B1, 4.500%, 11/17/17(a)(b) |
2,743,125 | 2,692,844 | ||||||
MSCI, Inc., Term Loan B1, 3.750%, 03/14/17(a)(b) |
11,212,498 | 11,257,348 | ||||||
NDS Finance Ltd., New Term Loan B, 4.000%, 03/12/18(a)(b) |
27,323,525 | 26,537,974 | ||||||
Nuveen Investments, Inc., 1st Lien Term Loan, 3.430%-3.580%, 11/13/14(a)(b) |
9,146,700 | 8,717,994 | ||||||
Nuveen Investments, Inc., Extended Term Loan, 5.930%-6.080%, 05/12/17(a)(b) |
7,508,300 | 7,200,460 | ||||||
Peach Holdings, Inc., PIK Term Loan, 8.250%-10.750%, 11/21/13(a)(b) |
520,090 | 479,263 | ||||||
Springleaf Finance Corp., Term Loan, 5.500%, 05/10/17(a)(b)(d) |
52,660,000 | 45,737,316 | ||||||
SunGard Data Systems, Inc., Tranche A, 2.040%-2.050%, 02/28/14(a)(b) |
3,373,848 | 3,283,193 | ||||||
SunGard Data Systems, Inc., Incremental Term Loan, 3.780%, 02/28/14(a)(b) |
3,000,000 | 2,955,000 | ||||||
VFH Parent LLC, Term Loan, 7.500%, 07/08/16(a)(b) |
25,842,273 | 25,858,553 | ||||||
|
|
|||||||
228,227,141 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Electric (2.2%) |
||||||||
Aeroflex, Term Loan B, 4.250%, 05/09/18(a)(b) |
11,910,150 | 11,225,316 | ||||||
Calpine Corp., New Term Loan, 4.500%, 04/02/18(a)(b) |
19,194,950 | 18,778,995 | ||||||
Equipower Resources Holdings LLC, Term Loan B, 5.750%, 01/26/18(a)(b) |
2,137,900 | 2,009,626 | ||||||
FirstLight Power Resources, Inc., Term Loan B, 2.810%, 11/01/13(a)(b) |
892,339 | 855,905 | ||||||
FirstLight Power Resources, Inc., 2nd Lien Term Loan, 4.810%, 05/01/14(a)(b) |
4,720,000 | 4,238,560 | ||||||
GenOn Energy, Inc., Term Loan B, 6.000%, 12/01/17(a)(b) |
7,509,938 | 7,477,720 | ||||||
MACH Gen LLC, Letter of Credit, 2.580%, 02/22/13(a)(b) |
1,067,597 | 982,189 | ||||||
NRG Energy, Inc., New Term Loan B, 4.000%, 07/02/18(a)(b) |
19,131,668 | 19,052,846 | ||||||
Texas Competitive Electric Holdings Co. LLC, Extended Term Loan, 4.800%, 10/10/17(a)(b) |
22,671,642 | 14,307,393 | ||||||
|
|
|||||||
78,928,550 | ||||||||
|
|
|||||||
Electrical Components & Equipment (0.3%) |
||||||||
Rovi Solutions Corp., Tranche A Term Loan, 2.800%, 02/08/16(a)(b) |
5,355,000 | 5,314,838 | ||||||
Rovi Solutions Corp., Tranche B Term Loan, 4.000%, 02/07/18(a)(b) |
5,314,838 | 5,274,976 | ||||||
|
|
|||||||
10,589,814 | ||||||||
|
|
|||||||
Electronics (0.7%) |
||||||||
DG FastChannel, Inc., Term Loan B, 5.750%, 07/26/18(a)(b) |
11,969,850 | 11,710,583 | ||||||
Eagle Parent, Inc., Term Loan, 5.000%, 05/16/18(a)(b) |
5,716,275 | 5,361,866 | ||||||
Ipayment Inc., Term Loan B, 5.750%, 05/08/17(a)(b) |
6,436,127 | 6,331,540 | ||||||
Sophos Ltd., Incremental Term Loan B2, 7.630%, 06/15/16(a)(b) |
1,835,775 | 1,831,185 | ||||||
|
|
|||||||
25,235,174 | ||||||||
|
|
|||||||
Energy (2.1%) |
||||||||
Aventine Renewable Energy Holdings, Inc., Term Loan B, 10.500%, 12/21/15(b)(e) |
14,072,892 | 11,918,051 | ||||||
Brand Energy & Infrastructure Services, Inc., Revolver, 0.500%-2.250%, 02/05/13(a)(b) |
7,500,000 | 6,225,000 | ||||||
Glenn Pool Oil, Term Loan, 4.500%, 05/02/16(a)(b) |
57,067,969 | 56,782,629 | ||||||
|
|
|||||||
74,925,680 | ||||||||
|
|
|||||||
Entertainment (3.0%) |
||||||||
AMC Networks Inc., Term Loan B, 4.000%, 12/31/18(a)(b) |
13,631,500 | 13,401,537 | ||||||
Barrington Broadcasting Group LLC, Term Loan B, 7.500%, 06/14/17(a)(b) |
2,850,000 | 2,828,625 | ||||||
Caesars Entertainment Operating Co., Term Loan B2, 3.290%-3.420%, 01/28/15(a)(b) |
5,029,462 | 4,359,940 | ||||||
Caesars Entertainment Operating Co., Term Loan B1, 3.420%, 01/28/15(a)(b) |
8,285,000 | 7,182,101 | ||||||
Caesars Entertainment Operating Co., Incremental Term Loan B4, 9.500%, 10/31/16(a)(b) |
4,052,632 | 4,024,506 | ||||||
Carmike Cinemas, Inc., Term Loan B, 5.500%, 01/27/16(a)(b) |
5,031,072 | 4,975,378 | ||||||
CCM Merger, Inc., New Term Loan B, 7.000%, 03/01/17(a)(b) |
3,179,214 | 3,144,783 | ||||||
Cinedigm Digital Funding I LLC, Term Loan, 5.250%, 04/29/16(a)(b) |
3,894,079 | 3,777,257 | ||||||
Emmis Operating Co., Term Loan, 4.420%-4.570%, 11/01/13(a)(b) |
2,298,202 | 2,127,745 | ||||||
Harrahs Operating Company, Term Loan B3, 3.420%-3.580%, 01/28/15(a)(b) |
2,977,500 | 2,581,135 | ||||||
Hubbard Radio, Term Loan B, 5.250%, 04/28/17(a)(b) |
6,323,225 | 6,200,744 | ||||||
Hubbard Radio, 2nd Lien Term Loan, 8.750%, 04/30/18(a)(b) |
4,540,000 | 4,494,600 | ||||||
IMG Worldwide, Inc., New Term Loan B, 5.500%, 06/22/16(b)(e) |
14,648,293 | 14,327,935 | ||||||
Kasima, LLC, Term Loan B, 5.000%, 03/31/17(a)(b) |
11,910,000 | 11,731,350 | ||||||
Live Nation Entertainment, Inc., Term Loan B, 4.500%, 11/07/16(a)(b) |
3,276,824 | 3,246,120 | ||||||
Mediacom Illinois, LLC, Tranche D Term Loan, 5.500%, 01/30/15(a)(b)(c) |
1,011,716 | 948,990 | ||||||
Sea World Parks & Entertainment, Inc., Term Loan B, 4.000%, 08/17/17(a)(b) |
8,388,846 | 8,330,124 | ||||||
Six Flags Theme Parks, Inc., Term Loan B, 4.250%, 12/20/18(a)(b)(c) |
7,660,000 | 7,613,657 | ||||||
|
|
|||||||
105,296,527 | ||||||||
|
|
|||||||
Food (1.7%) |
||||||||
Aramark Corp., Synthetic Letter of Credit, 2.170%, 01/27/14(a)(b) |
1,155,561 | 1,132,808 | ||||||
Aramark Corp., Term Loan, 2.450%, 01/27/14(a)(b) |
14,344,439 | 14,061,997 | ||||||
Burger King Corp., New Term Loan B, 4.500%, 10/19/16(a)(b) |
4,284,813 | 4,199,116 | ||||||
Dean Foods Co., Tranche B Term Loan, 2.080%, 04/02/14(a)(b) |
4,566,108 | 4,350,862 | ||||||
DineEquity, Inc., New Term Loan B, 4.250%-5.250%, 10/19/17(a)(b) |
2,433,381 | 2,394,861 | ||||||
Dunkin Brands, Inc., Term Loan B2, 4.000%, 11/23/17(a)(b) |
16,043,925 | 15,764,761 | ||||||
JBS USA Holdings Inc., Term Loan, 4.250%, 05/25/18(a)(b) |
19,332,850 | 18,752,864 | ||||||
|
|
|||||||
60,657,269 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Food Service (0.1%) |
||||||||
NPC International, Inc., New Term Loan B, 6.750%, 12/07/18(a)(b)(c) |
4,615,000 | 4,615,000 | ||||||
|
|
|||||||
Forest Products & Paper (0.3%) |
||||||||
Rock-Tenn Co., Term Loan B, 3.500%, 03/28/18(a)(b) |
12,030,398 | 12,013,194 | ||||||
|
|
|||||||
Health Care (10.7%) |
||||||||
Aptalis Pharma, Inc., Term Loan B, 0.750%-5.500%, 02/10/17(a)(b) |
12,553,200 | 11,988,306 | ||||||
Ardent Medical Services, Inc., 1st Lien Term Loan, 6.500%, 09/15/15(a)(b) |
10,855,662 | 10,713,236 | ||||||
Biomet, Inc., New Term Loan B, 3.290%-3.570%, 03/25/15(a)(b) |
5,896,692 | 5,740,429 | ||||||
CareStream Health, Inc., Term Loan B, 5.000%, 02/25/17(a)(b) |
26,783,634 | 23,965,192 | ||||||
Community Health Systems, Inc., Delayed Draw Term Loan, 2.550%, 07/25/14(a)(b) |
3,088,410 | 2,988,037 | ||||||
Community Health Systems, Inc., Non Extended Term Loan, 2.550%-2.770%, 07/25/14(a)(b)(d) |
55,487,649 | 53,684,301 | ||||||
Community Health Systems, Inc., Extended Term Loan B, 3.800%-4.020%, 01/25/17(a)(b) |
7,471,943 | 7,211,247 | ||||||
Convatec, Inc., Term Loan, 5.750%, 12/22/16(a)(b) |
6,053,850 | 5,981,991 | ||||||
CRC Health Corp., Term Loan, 5.080%, 11/16/15(a)(b) |
4,161,089 | 3,744,980 | ||||||
DaVita, Inc., New Term Loan B, 4.500%, 10/20/16(a)(b) |
6,494,400 | 6,491,153 | ||||||
Drumm Investors LLC, Term Loan, 5.000%, 05/04/18(a)(b) |
29,253,816 | 25,450,820 | ||||||
Harlan Sprague Dawley, Inc., Term Loan B, 3.890%, 07/11/14(a)(b) |
4,753,606 | 3,892,015 | ||||||
HCA, Inc., Term Loan B, 2.550%, 11/18/13(a)(b) |
2,531,929 | 2,488,887 | ||||||
HCA, Inc., Term Loan B3, 3.550%, 05/01/18(a)(b)(d) |
36,840,135 | 34,832,347 | ||||||
HCA, Inc., Term Loan B2, 3.830%, 03/31/17(a)(b) |
12,000,000 | 11,368,320 | ||||||
IASIS Healthcare LLC, Term Loan, 5.000%, 05/03/18(a)(b)(d) |
29,432,588 | 28,347,408 | ||||||
Inc. Research, Inc., Term Loan B, 7.000%, 07/13/18(a)(b) |
22,154,475 | 21,600,613 | ||||||
Inventiv Health, Inc., Combined Term Loan, 6.500%, 08/04/16(a)(b) |
2,536,106 | 2,421,981 | ||||||
MultiPlan, Inc., New Term Loan B, 4.750%, 08/26/17(a)(b) |
6,693,630 | 6,353,393 | ||||||
RPI Financial Trust, Term Loan Tranche 2, 4.000%, 05/09/18(a)(b) |
76,714,500 | 76,330,927 | ||||||
Universal Health Services, Inc., New Term Loan B, 3.750%, 11/15/16(a)(b) |
12,800,329 | 12,743,112 | ||||||
Vanguard Health Holding Co. II LLC, Term Loan B, 5.000%, 01/29/16(a)(b) |
7,388,201 | 7,265,483 | ||||||
Warner Chilcott Co., LLC, New Term Loan B2, 4.250%, 03/15/18(a)(b) |
2,870,877 | 2,825,575 | ||||||
Warner Chilcott Corp., New Term Loan B1, 4.250%, 03/15/18(a)(b) |
5,741,754 | 5,651,149 | ||||||
WC Luxco S.A.R.L., New Term Loan B3, 4.250%, 03/15/18(a)(b) |
3,947,456 | 3,885,165 | ||||||
|
|
|||||||
377,966,067 | ||||||||
|
|
|||||||
Healthcare - Services (1.5%) |
||||||||
Capsugel Healthcare Ltd., Term Loan, 5.250%, 08/01/18(a)(b) |
6,463,800 | 6,464,834 | ||||||
Emdeon, Inc., Term Loan B, 6.750%, 08/03/18(a)(b) |
2,805,000 | 2,824,635 | ||||||
Endo Pharmaceuticals Holdings, Inc., Term Loan B, 4.000%, 06/18/18(a)(b) |
11,867,184 | 11,854,249 | ||||||
Grifols Inc., Term Loan B, 6.000%, 06/01/17(a)(b) |
2,913,679 | 2,904,122 | ||||||
Health Management Associates, Inc., New Term Loan B, 4.500%, 11/16/18(a)(b) |
4,640,000 | 4,613,088 | ||||||
Kinetic Concepts, Inc., Term Loan B2, 6.500%, 10/20/16(a)(b) |
7,485,000 | 7,461,647 | ||||||
Kinetic Concepts, Inc., Term Loan B, 7.000%, 07/12/18(a)(b) |
6,545,000 | 6,597,360 | ||||||
Regionalcare Hospital Partners, Inc., Term Loan B, 8.000%, 11/02/18(a)(b) |
12,134,588 | 11,709,877 | ||||||
|
|
|||||||
54,429,812 | ||||||||
|
|
|||||||
Information Technology (1.3%) |
||||||||
Allen Systems Group, Inc., Add on Term Loan B, 6.500%, 11/20/15(a)(b) |
5,766,622 | 5,665,706 | ||||||
Aspect Software, Inc., New Term Loan B, 6.250%, 05/06/16(a)(b) |
3,866,038 | 3,851,541 | ||||||
CDWC LLC, Term Loan, 4.000%, 07/14/17(a)(b) |
13,094,363 | 12,382,423 | ||||||
Flexera Software, Inc., New Term Loan B, 7.500%, 09/29/17(a)(b) |
4,313,325 | 4,183,925 | ||||||
Flextronics International Ltd., Term Loan A-1, 2.550%, 10/01/14(a)(b) |
448,203 | 438,190 | ||||||
Flextronics International Ltd., Term Loan A-2, 2.550%, 10/01/14(a)(b) |
743,680 | 727,066 | ||||||
Flextronics International Ltd., Term Loan A, 2.550%, 10/01/14(a)(b) |
1,897,429 | 1,855,040 | ||||||
Presidio, Inc., New Term Loan B, 7.250%, 03/31/17(a)(b) |
9,943,750 | 9,794,594 | ||||||
Verint Systems Inc., Term Loan, 4.500%, 10/27/17(a)(b) |
6,661,525 | 6,594,910 | ||||||
|
|
|||||||
45,493,395 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Insurance (1.5%) |
||||||||
Asurion Corp., 1st Lien Term Loan, 5.500%, 05/24/18(a)(b) |
30,855,682 | 30,187,039 | ||||||
Asurion Corp., 2nd Lien Term Loan, 9.000%, 05/24/19(a)(b) |
9,605,000 | 9,440,947 | ||||||
Hub International Holdings, Inc., Term Loan, 3.080%, 06/13/14(a)(b) |
780,229 | 743,901 | ||||||
Hub International Holdings, Inc., Delayed Draw Term Loan, 3.080%, 06/13/14(a)(b) |
175,389 | 167,223 | ||||||
Hub International Holdings, Inc., Add on Term Loan B, 6.750%, 06/13/14(a)(b) |
2,902,728 | 2,878,897 | ||||||
Sedgwick CMS Holdings, Inc., New Term Loan, 5.000%, 12/30/16(a)(b) |
7,896,108 | 7,718,445 | ||||||
|
|
|||||||
51,136,452 | ||||||||
|
|
|||||||
Leisure Time (0.1%) |
||||||||
Clubcorp Operations, Inc., Term Loan B, 6.000%, 11/30/16(a)(b) |
3,792,221 | 3,763,779 | ||||||
|
|
|||||||
Lodging (2.3%) |
||||||||
Ameristar Casinos, Inc., Term Loan B, 4.000%, 04/13/18(a)(b) |
7,190,663 | 7,159,239 | ||||||
Boyd Gaming Corp., Incremental Term Loan, 6.000%, 12/17/15(a)(b) |
7,485,000 | 7,382,081 | ||||||
Las Vegas Sands LLC, Delayed Draw Term Loan, 1.930%, 05/23/14(a)(b) |
1,712,248 | 1,678,722 | ||||||
Las Vegas Sands LLC, Term Loan B, 1.930%, 05/23/14(a)(b) |
8,531,365 | 8,364,321 | ||||||
Las Vegas Sands LLC, Delayed Draw Term Loan, 2.930%, 11/23/15(a)(b) |
4,657,714 | 4,457,339 | ||||||
Las Vegas Sands LLC, Term Loan B, 2.930%, 11/23/16(a)(b) |
13,561,179 | 12,977,777 | ||||||
Las Vegas Sands LLC, Delayed Draw Term Loan, 2.930%, 11/23/16(a)(b) |
2,725,594 | 2,608,339 | ||||||
MGM Mirage, Class E Term Loan, 7.000%, 02/21/14(a)(b) |
2,636,596 | 2,582,757 | ||||||
MGM Mirage, Class C Term Loan, 7.000%, 02/21/14(a)(b) |
28,704,654 | 28,118,505 | ||||||
Seminole Tribe of Florida, Term Loan B1, 2.130%, 03/05/14(a)(b) |
1,103,635 | 1,049,833 | ||||||
Seminole Tribe of Florida, Term Loan B2, 2.130%, 03/05/14(a)(b) |
3,983,011 | 3,788,839 | ||||||
Seminole Tribe of Florida, Term Loan B3, 2.130%, 03/05/14(a)(b) |
1,765,657 | 1,679,581 | ||||||
|
|
|||||||
81,847,333 | ||||||||
|
|
|||||||
Machinery Diversified (0.5%) |
||||||||
Alliance Laundry Systems LLC, Term Loan B, 6.250%, 09/30/16(a)(b) |
3,542,684 | 3,527,911 | ||||||
Milacron LLC, Term Loan B, 7.500%, 05/15/17(a)(b) |
9,750,000 | 9,603,750 | ||||||
NACCO Materials Handling Group, Inc., 1.800%-2.400%, 03/21/13(a)(b) |
3,307,500 | 3,257,888 | ||||||
|
|
|||||||
16,389,549 | ||||||||
|
|
|||||||
Media (8.6%) |
||||||||
Block Communications, Inc., Term Loan, 2.300%, 12/21/12(a)(b) |
959,184 | 944,796 | ||||||
CCO Holdings LLC, 3rd Lien Term Loan, 2.760%, 09/05/14(a)(b)(d) |
36,174,084 | 34,817,556 | ||||||
Charter Communications Operating, LLC, Term Loan C, 3.830%, 09/06/16(a)(b) |
9,849,746 | 9,614,239 | ||||||
Clear Channel Communications, Inc., Delayed Draw Term Loan 2, 0.180%-3.950%, |
896,544 | 640,706 | ||||||
Clear Channel Communications, Inc., Term Loan B, 3.950%, 01/28/16(a)(b) |
13,555,348 | 10,002,762 | ||||||
Clear Channel Communications, Inc., Term Loan C, 3.950%, 01/28/16(a)(b) |
30,273,024 | 21,645,212 | ||||||
Clear Channel Communications, Inc., Delayed Draw Term Loan 1, 3.950%, |
787,669 | 562,900 | ||||||
FoxCo Acquisition Sub LLC, Term Loan B, 4.750%, 07/14/15(a)(b) |
5,112,435 | 4,984,573 | ||||||
Getty Images, Inc., New Term Loan, 5.250%, 11/07/16(a)(b) |
7,124,705 | 7,121,713 | ||||||
Gray Television, Inc., Term Loan B, 3.800%, 12/31/14(a)(b) |
19,777,841 | 19,082,848 | ||||||
Insight Midwest Holdings, LLC, Initial Term Loan, 2.050%, 04/07/14(a)(b) |
20,587,128 | 20,286,967 | ||||||
Insight Midwest LP, Term Loan A, 1.300%, 10/07/13(a)(b) |
11,813,515 | 11,665,846 | ||||||
Lamar Media Corp., Term Loan B, 4.000%, 12/30/16(a)(b) |
1,542,880 | 1,538,251 | ||||||
Media General, Inc., Term Loan, 5.250%-5.320%, 03/29/13(a)(b) |
19,463,081 | 17,516,773 | ||||||
Mediacom Broadband LLC, Tranche F Term Loan, 4.500%, 10/23/17(a)(b) |
4,585,175 | 4,444,777 | ||||||
Mediacom Illinois LLC, Tranche D Term Loan, 5.500%, 03/31/17(a)(b) |
3,550,588 | 3,512,135 | ||||||
Nielsen Finance LLC, Class A, 2.300%, 08/09/13(a)(b) |
3,123,521 | 3,077,231 | ||||||
Radio One, Inc., Term Loan B, 7.500%, 03/23/16(a)(b) |
20,579,488 | 19,046,316 | ||||||
San Juan Cable Holdings, LLC, New Term Loan B, 6.000%, 06/09/17(a)(b) |
7,268,475 | 7,032,249 | ||||||
San Juan Cable, LLC, 2nd Lien Term Loan, 10.000%, 06/08/18(a)(b) |
11,745,000 | 11,363,287 | ||||||
Summit Entertainment LLC, New Term Loan, 7.500%, 09/07/19(a)(b) |
17,476,030 | 17,213,890 | ||||||
Syniverse Technologies, Inc., Term Loan B, 5.250%, 12/21/17(a)(b) |
10,159,980 | 10,138,847 | ||||||
Telesat Canada, Term Loan II, 3.300%, 10/31/14(a)(b) |
321,607 | 316,898 | ||||||
Telesat Canada, Term Loan I, 3.300%, 10/31/14(a)(b) |
3,743,926 | 3,689,115 | ||||||
Tribune Co., Term Loan B, 5.250%, 06/04/14(a)(b)(c)(f)(g) |
7,000,000 | 4,074,560 |
See Notes to Schedules of Portfolio Investments.
Univision Communications, Inc., Initial Term Loan, 2.300%, 09/29/14(a)(b) |
28,106,616 | 26,771,552 | ||||||
Village Roadshow Ltd., Term Loan A2, 5.500%, 05/27/15(b)(e) |
26,705,800 | 25,904,626 | ||||||
Weather Channel Interactive, Inc. (The), New Term Loan B, 4.250%, 02/13/17(a)(b) |
5,845,825 | 5,818,408 | ||||||
|
|
|||||||
302,829,033 | ||||||||
|
|
|||||||
Mining (0.9%) |
||||||||
American Rock Salt Holdings LLC, Term Loan, 5.500%, 04/25/17(a)(b) |
3,495,293 | 3,447,232 | ||||||
Fairmount Minerals Ltd., New Term Loan B, 5.250%, 03/15/17(a)(b) |
8,621,100 | 8,568,770 | ||||||
Novelis, Inc., Term Loan, 3.750%, 03/10/17(a)(b) |
21,819,600 | 21,419,647 | ||||||
|
|
|||||||
33,435,649 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (1.2%) |
||||||||
Capital Safety Group Ltd., Term Loan B, 12/14/18(a)(b)(c)(h) |
7,660,000 | 7,612,125 | ||||||
Clarke American Corp., Term Loan B, 2.800%-3.080%, 03/26/14(a)(b) |
17,157,689 | 14,455,353 | ||||||
Manitowoc Co., Inc., New Term Loan B, 4.250%, 11/13/17(a)(b) |
3,710,100 | 3,621,985 | ||||||
Sensata Technologies, Term Loan, 4.000%, 05/11/18(a)(b) |
15,158,825 | 14,972,523 | ||||||
|
|
|||||||
40,661,986 | ||||||||
|
|
|||||||
Oil & Gas (4.1%) |
||||||||
Buffalo Coast Terminals LLC, Term Loan B, 7.500%, 10/31/17(a)(b) |
2,398,988 | 2,398,988 | ||||||
CITGO Petroleum Corp., Term Loan B, 8.000%, 06/24/15(a)(b) |
2,262,857 | 2,257,200 | ||||||
CITGO Petroleum Corp., Term Loan C, 9.000%, 06/23/17(a)(b) |
3,940,000 | 3,994,884 | ||||||
Frac Tech International LLC, Term Loan B, 6.250%, 05/06/16(a)(b)(d) |
31,317,816 | 30,830,198 | ||||||
MEG Energy Corp., New Term Loan B, 4.000%, 03/16/18(a)(b) |
26,014,800 | 25,876,661 | ||||||
Obsidian Holdings LLC, Tranche A, 11/02/15(a)(b)(c)(h) |
3,408,458 | 3,382,894 | ||||||
Obsidian Natural Gas Trust, Term Loan, 7.000%, 11/02/15(a)(b) |
34,020,263 | 33,850,162 | ||||||
TPF Generation Holdings LLC, Term Loan B, 2.580%, 12/13/13(a)(b) |
7,150,316 | 6,926,868 | ||||||
TPF Generation Holdings LLC, Letter of Credit, 2.580%, 12/13/13(a)(b) |
3,923,773 | 3,801,156 | ||||||
TPF Generation Holdings LLC, 2nd Lien Term Loan C, 4.830%, 12/15/14(a)(b) |
10,250,000 | 9,594,000 | ||||||
Western Refining, Inc., New Term Loan B, 7.500%, 03/15/17(a)(b) |
20,425,650 | 20,438,518 | ||||||
|
|
|||||||
143,351,529 | ||||||||
|
|
|||||||
Packaging & Containers (1.0%) |
||||||||
Anchor Glass Container Corp., 1st Lien Term Loan, 6.000%, 03/02/16(a)(b) |
1,093,113 | 1,088,336 | ||||||
Berry Plastics Corp., Term Loan C, 2.280%, 04/03/15(a)(b) |
6,981,675 | 6,646,555 | ||||||
Reynolds Group Holdings, Inc., Term Loan E, 6.500%, 02/09/18(a)(b) |
5,139,837 | 5,102,367 | ||||||
Reynolds Group Holdings, Inc., Term Loan, 6.500%, 08/09/18(a)(b)(c) |
24,260,353 | 24,082,768 | ||||||
|
|
|||||||
36,920,026 | ||||||||
|
|
|||||||
Real Estate (6.0%) |
||||||||
CB Richard Ellis Services, Inc., Term Loan A, 2.530%, 11/07/15(a)(b) |
19,016,667 | 18,826,500 | ||||||
CB Richard Ellis Services, Inc., New Term Loan B, 3.530%, 11/06/16(a)(b) |
3,179,551 | 3,146,960 | ||||||
CB Richard Ellis Services, Inc., New Term Loan C, 3.550%, 03/05/18(a)(b) |
30,740,525 | 30,029,804 | ||||||
CB Richard Ellis Services, Inc., New Term Loan D, 3.780%, 09/04/19(a)(b) |
46,750,087 | 45,669,226 | ||||||
Grizzly Ventures LLC, Term Loan B, 3.300%, 12/02/14(a)(b) |
17,858,667 | 17,769,373 | ||||||
Istar Financial, Inc., Term Loan A1, 5.000%, 06/28/13(a)(b)(d) |
75,043,545 | 74,443,196 | ||||||
Istar Financial, Inc., Term Loan A2, 7.000%, 06/30/14(a)(b) |
17,600,000 | 16,973,088 | ||||||
Mattamy Funding Partnership, Term Loan B, 2.630%, 04/11/13(a)(b) |
2,861,722 | 2,654,248 | ||||||
Realogy Corp., Letter of Credit, 3.200%, 10/10/13(a)(b) |
187,143 | 173,693 | ||||||
Realogy Corp., Term Loan, 3.440%, 10/10/13(a)(b) |
1,758,507 | 1,632,123 | ||||||
|
|
|||||||
211,318,211 | ||||||||
|
|
|||||||
Retail (4.3%) |
||||||||
Capital Automotive LP, New Term Loan B, 5.000%, 03/10/17(a)(b) |
57,425,437 | 56,133,365 | ||||||
Dollar General Corp., Term Loan B, 3.030%-3.560%, 07/07/14(a)(b)(c) |
6,652,717 | 6,641,341 | ||||||
Dollar General Corp., Term Loan B2, 3.030%-3.330%, 07/07/14(a)(b) |
2,566,695 | 2,560,125 | ||||||
Harbor Freight Tools USA, Inc., 1st Lien Term Loan, 6.500%, 12/22/17(a)(b) |
7,395,455 | 7,335,404 | ||||||
J Crew Operating Corp., New Term Loan B, 4.750%, 03/07/18(a)(b) |
4,987,469 | 4,673,956 | ||||||
Jo-Ann Stores, Inc., Term Loan, 4.750%, 03/16/18(a)(b) |
12,437,500 | 11,823,461 | ||||||
Leslies Poolmart, Inc., Term Loan B, 4.500%, 11/21/16(a)(b) |
9,315,900 | 9,121,850 | ||||||
Lord & Taylor Ltd., Term Loan B, 12/21/18(a)(b)(c)(h) |
8,620,000 | 8,598,450 |
See Notes to Schedules of Portfolio Investments.
Michaels Stores, Inc., Term Loan B1, 2.690%-2.880%, 10/31/13(a)(b) |
3,703,058 | 3,635,181 | ||||||
NBTY, Inc., New Term Loan B, 4.250%, 10/02/17(a)(b) |
9,075,518 | 8,962,074 | ||||||
Neiman Marcus Group, Inc. (The), New Term Loan, 4.750%, 05/16/18(a)(b) |
2,000,000 | 1,925,000 | ||||||
PETCO Animal Supplies, Inc., New Term Loan, 4.500%, 11/24/17(a)(b) |
16,602,300 | 16,147,895 | ||||||
Pilot Travel Centers LLC, New Term Loan B, 4.250%, 03/30/18(a)(b) |
13,128,047 | 13,117,151 | ||||||
|
|
|||||||
150,675,253 | ||||||||
|
|
|||||||
Semiconductors (0.9%) |
||||||||
Freescale Semiconductor, Inc., Term Loan B, 4.550%, 12/01/16(a)(b) |
17,817,817 | 17,007,107 | ||||||
Microsemi Corp., New Term Loan B, 5.750%, 02/02/18(a)(b) |
9,234,412 | 9,204,400 | ||||||
NXP B.V., Term Loan A2, 5.500%, 03/03/17(a)(b)(c) |
6,448,838 | 6,231,189 | ||||||
|
|
|||||||
32,442,696 | ||||||||
|
|
|||||||
Software (0.2%) |
||||||||
Datatel, Inc., Term Loan B, 07/13/18(a)(b)(c)(h) |
5,745,000 | 5,741,438 | ||||||
VeriFone Inc., New Term Loan B, 4.250%, 12/31/18(a)(b)(c) |
2,660,000 | 2,645,051 | ||||||
|
|
|||||||
8,386,489 | ||||||||
|
|
|||||||
Telecommunication Services (10.1%) |
||||||||
Airvana, Inc., Term Loan B, 10.000%, 03/25/15(a)(b) |
6,722,571 | 6,710,000 | ||||||
Atlantic Broadband Finance LLC, New Term Loan B, 4.000%, 03/08/16(a)(b) |
4,928,406 | 4,818,551 | ||||||
Avaya, Inc., Term Loan B, 3.260%, 10/24/14(a)(b)(c) |
16,298,514 | 15,544,708 | ||||||
BBHI Acquisition LLC, Term Loan B, 4.500%, 12/14/17(a)(b) |
7,603,200 | 7,501,849 | ||||||
Bragg Communications, Inc., Term Loan B, 3.020%, 08/31/14(a)(b) |
2,771,429 | 2,733,322 | ||||||
Consolidated Communications, Inc., Term Loan B, 2.800%, 12/31/14(a)(b) |
5,115,000 | 4,808,100 | ||||||
CSC Holdings, Inc., Term Loan A4, 1.030%, 10/31/16(a)(b) |
18,720,000 | 18,164,203 | ||||||
Cumulus Media, Inc., Term Loan, 5.750%, 09/17/18(a)(b) |
41,645,000 | 40,767,540 | ||||||
Cumulus Media, Inc., 2nd Lien Term Loan, 7.500%, 02/11/19(a)(b) |
2,330,000 | 2,263,013 | ||||||
Entercom Radio, LLC, Term Loan B, 6.250%-7.250%, 11/23/18(a)(b) |
4,615,000 | 4,596,032 | ||||||
Integra Telecom, Inc., New Term Loan B, 9.250%, 04/15/15(a)(b) |
7,338,250 | 6,329,241 | ||||||
Intelsat Jackson Holdings Ltd., Term Loan, 3.390%, 02/03/14(a)(b) |
22,550,000 | 21,422,500 | ||||||
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.250%, 04/02/18(a)(b)(d) |
57,481,150 | 56,978,190 | ||||||
Level 3 Financing, Inc., Term Loan B3, 5.750%, 08/31/18(a)(b) |
25,515,000 | 25,113,139 | ||||||
Level 3 Financing, Inc., Term Loan B2, 5.750%, 09/03/18(a)(b) |
48,010,000 | 47,253,842 | ||||||
Level 3 Financing, Inc., Term Loan A, 2.650%, 03/13/14(a)(b) |
7,730,000 | 7,370,091 | ||||||
LIN Television Corp., Term Loan B, 5.000%, 12/21/18(a)(b) |
5,745,000 | 5,723,456 | ||||||
MetroPCS Wireless, Inc., New Term Loan B, 4.060%, 03/16/18(a)(b) |
25,276,334 | 24,492,768 | ||||||
NeuStar, Inc., Term Loan B, 5.000%, 11/08/18(a)(b) |
13,999,913 | 13,999,913 | ||||||
Telcordia Technologies, Inc., Term Loan B, 6.750%, 04/29/16(a)(b) |
8,473,609 | 8,452,425 | ||||||
Telx Group, Inc., Term Loan B, 7.750%, 09/26/17(a)(b) |
6,483,750 | 6,451,331 | ||||||
Tower Co. Finance LLC, Term Loan B, 5.250%, 02/02/17(a)(b) |
5,463,712 | 5,440,929 | ||||||
UPC Financing Partnership, Term Loan N, 2.050%, 12/31/14(a)(b) |
1,000,000 | 953,330 | ||||||
UPC Financing Partnership, Term Loan T, 3.800%, 12/30/16(a)(b) |
220,210 | 211,126 | ||||||
UPC Financing Partnership, New Term Loan, 4.750%, 12/29/17(a)(b) |
18,710,000 | 18,289,025 | ||||||
West Corp., Term Loan B2, 2.670%-2.900%, 10/24/13(a)(b) |
1,949,568 | 1,929,371 | ||||||
|
|
|||||||
358,317,995 | ||||||||
|
|
|||||||
Telecommunications (2.9%) |
||||||||
CommScope, Inc., New Term Loan B, 5.000%, 01/14/18(a)(b) |
4,967,463 | 4,920,272 | ||||||
Encompass Digital Media, Inc., Term Loan B, 7.750%, 02/25/16(a)(b) |
8,441,213 | 8,356,800 | ||||||
LightSquared LP, PIK Term Loan B, 12.000%, 10/01/14(a)(b) |
14,548,086 | 6,073,826 | ||||||
Vodafone Americas Finance, PIK Term Loan B, 6.250%, 07/11/16(b)(e) |
46,455,000 | 46,106,588 | ||||||
Vodafone Americas Finance 2, PIK Term Loan, 6.880%, 08/11/15(b)(e) |
21,208,771 | 21,155,749 | ||||||
Zayo Group, LLC, Term Loan, 7.000%, 12/01/16(a)(b) |
14,775,000 | 14,676,451 | ||||||
|
|
|||||||
101,289,686 | ||||||||
|
|
|||||||
Textiles (0.2%) |
||||||||
Warnaco Inc., Term Loan, 3.750%, 06/15/18(a)(b) |
7,268,475 | 7,213,962 | ||||||
|
|
|||||||
Transportation (0.2%) |
||||||||
Avis Budget Car Rental LLC, Term Loan, 6.250%, 09/21/18(a)(b) |
7,405,000 | 7,442,025 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Utilities (1.5%) |
||||||||
Aes Corp., New Term Loan, 4.250%, 06/01/18(a)(b) |
29,318,450 | 29,182,999 | ||||||
Astoria Generating Co. Acquisitions LLC, 2nd Lien Term Loan C, 4.170%, 08/23/13(a)(b) |
24,890,000 | 21,778,750 | ||||||
Calpine Corp., Term Loan B2, 4.500%, 04/02/18(a)(b) |
1,905,425 | 1,864,134 | ||||||
|
|
|||||||
52,825,883 | ||||||||
|
|
|||||||
Total Bank Loans (Cost $3,271,466,777) |
3,207,283,964 | |||||||
|
|
|||||||
Corporate Bonds (5.6%) |
||||||||
Auto Manufacturers (0.0%)(j) |
||||||||
General Motors Liquidation Co., 7.200%, 01/15/49(f)(i) |
10,000,000 | 100,000 | ||||||
General Motors Liquidation Co., 8.375%, 07/15/49(f)(i) |
10,000,000 | 100,000 | ||||||
|
|
|||||||
200,000 | ||||||||
|
|
|||||||
Auto Parts & Equipment (0.0%)(j) |
||||||||
Delphi Corp., 6.125%, 05/15/21, Callable 05/15/16 @ 103.06(a) |
225,000 | 231,750 | ||||||
|
|
|||||||
Diversified Financial Services (0.1%) |
||||||||
Ford Motor Credit Co. LLC, 3.875%, 01/15/15 |
5,000,000 | 4,981,340 | ||||||
|
|
|||||||
Electric (1.2%) |
||||||||
General Cable Corp., 2.956%, 04/01/15, Callable 02/27/12 @ 100(d) |
5,133,000 | 4,940,512 | ||||||
Glenn Pool Oil & Gas Trust, 6.000%, 08/02/21(a) |
38,426,252 | 38,041,990 | ||||||
|
|
|||||||
42,982,502 | ||||||||
|
|
|||||||
Healthcare - Products (0.1%) |
||||||||
Kinetic Concepts Inc./KCI USA, Inc., 10.500%, 11/01/18, Callable 11/01/15 @ 105.25(a) |
2,500,000 | 2,450,000 | ||||||
Rotech Healthcare, Inc., 10.500%, 03/15/18, Callable 03/15/15 @ 105.25 |
170,000 | 130,900 | ||||||
|
|
|||||||
2,580,900 | ||||||||
|
|
|||||||
Healthcare - Services (0.1%) |
||||||||
Kindred Healthcare, Inc., 8.250%, 06/01/19, Callable 06/01/14 @ 106.19 |
420,000 | 352,800 | ||||||
MedImpact Holdings, Inc., 10.500%, 02/01/18, Callable 02/01/15 @ 105.25(a)(e) |
1,315,000 | 1,117,750 | ||||||
Tenet Healthcare Corp., 6.250%, 11/01/18(a) |
500,000 | 508,750 | ||||||
|
|
|||||||
1,979,300 | ||||||||
|
|
|||||||
Insurance (0.1%) |
||||||||
MBIA, Inc., 5.700%, 12/01/34 |
8,285,000 | 5,121,373 | ||||||
|
|
|||||||
Media (0.0%)(j) |
||||||||
Block Communications, Inc., 8.250%, 12/15/15, Callable 03/01/12 @ 102.75(a) |
100,000 | 101,875 | ||||||
|
|
|||||||
Oil & Gas (0.1%) |
||||||||
SandRidge Energy, Inc., 4.206%, 04/01/14, Callable 03/19/12 @ 101 |
1,000,000 | 971,831 | ||||||
Western Refining, Inc., 11.250%, 06/15/17, Callable 06/15/13 @ 105.62(a) |
885,000 | 1,006,688 | ||||||
WPX Energy, Inc., 6.000%, 01/15/22, Callable 10/15/21 @ 100(a) |
835,000 | 854,831 | ||||||
|
|
|||||||
2,833,350 | ||||||||
|
|
|||||||
Packaging & Containers (0.0%)(j) |
||||||||
Smurfit-Stone Container Corp., 8.000%, 03/15/17(f) |
570,000 | 10,687 | ||||||
Smurfit-Stone Container Corp., 8.250%, 10/01/12(f) |
1,800,000 | 33,750 | ||||||
|
|
|||||||
44,437 | ||||||||
|
|
|||||||
Pharmaceuticals (0.1%) |
||||||||
ConvaTec Healthcare, 10.500%, 12/15/18, Callable 12/15/14 @ 105.25(a) |
3,200,000 | 2,856,000 | ||||||
|
|
|||||||
Pipelines (0.1%) |
||||||||
Atlas Pipeline Partners LP, 8.750%, 06/15/18, Callable 06/15/13 @ 104.38(d) |
3,855,000 | 4,047,750 | ||||||
|
|
|||||||
Semiconductors (0.0%)(j) |
||||||||
MEMC Electronic Materials, Inc., 7.750%, 04/01/19, Callable 04/01/14 @ 105.81(e) |
205,000 | 148,112 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Software (0.0%)(j) |
||||||||
Emdeon, Inc., 11.000%, 12/31/19, Callable 12/31/2015 @ 106(a) |
325,000 | 340,031 | ||||||
|
|
|||||||
Telecommunication Services (3.6%) |
||||||||
Cricket Communications, Inc., 7.750%, 05/15/16, Callable 05/15/12 @ 105.81(d) |
3,000,000 | 3,097,500 | ||||||
Integra Telecom, Inc., 10.750%, 04/15/16, Callable 04/15/13 @ 105.38(a) |
280,000 | 228,900 | ||||||
Intelsat Bermuda Ltd., 11.250%, 02/04/17, Callable 02/15/13 @ 105.62(d) |
1,800,000 | 1,741,500 | ||||||
Intelsat Bermuda Ltd. PIK, 11.500%, 02/04/17, Callable 02/15/13 @ 105.75(d) |
3,900,017 | 3,763,516 | ||||||
Intelsat Jackson Holdings SA, 7.500%, 04/01/21, Callable 04/01/16 @ 103.75(a) |
1,250,000 | 1,264,063 | ||||||
Intelsat Luxembourg SA, PIK, 11.500%, 02/04/17, Callable 02/15/13 @ 105.75(a) |
21,745,000 | 20,983,925 | ||||||
iPCS, Inc., 2.554%, 05/01/13, Callable 03/19/12 @ 100(d) |
10,318,000 | 9,569,945 | ||||||
Level 3 Communications, Inc., 11.875%, 02/01/19, Callable 02/01/15 @ 105.94 |
2,880,000 | 3,067,200 | ||||||
Level 3 Financing, Inc., 4.202%, 02/15/15, Callable 03/19/12 @ 100 |
500,000 | 445,000 | ||||||
Level 3 Financing, Inc., 8.125%, 07/01/19, Callable 07/01/15 @ 104.06(a) |
4,065,000 | 4,004,025 | ||||||
Level 3 Financing, Inc., 9.375%, 04/01/19, Callable 04/01/15 @ 104.69 |
330,000 | 344,438 | ||||||
Level 3 Financing, Inc., 10.000%, 02/01/18, Callable 02/01/14 @ 105(d) |
3,440,000 | 3,646,400 | ||||||
PAETEC Holding Corp., 8.875%, 06/30/17, Callable 06/30/13 @ 104.44(d) |
1,000,000 | 1,080,000 | ||||||
Satmex Escrow SA de CV, 9.500%, 05/15/17, Callable 05/15/14 @ 104.75 |
5,000,000 | 5,100,000 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 |
2,000,000 | 1,427,500 | ||||||
Sprint Capital Corp., 8.750%, 03/15/32(d) |
3,700,000 | 2,992,375 | ||||||
Sprint Nextel Corp., 9.000%, 11/15/18(a) |
2,105,000 | 2,210,250 | ||||||
Sprint Nextel Corp., 11.500%, 11/15/21(a) |
10,000,000 | 9,900,000 | ||||||
Trilogy International Partners LLC, 10.250%, 08/15/16, Callable 08/15/13 @ 105.13(e) |
7,958,000 | 7,281,570 | ||||||
UPCB Finance V Ltd., 7.250%, 11/15/21, Callable 11/15/16 @ 103.63(a) |
1,400,000 | 1,417,500 | ||||||
Wind Acquisition Finance Holdings, PIK, 12.250%, 07/15/17, Callable 07/15/13 @ 106.12(a) |
15,816,959 | 11,585,922 | ||||||
Wind Acquisition Finance SA, 7.250%, 02/15/18, Callable 11/15/13 @ 105.44(a) |
26,765,000 | 24,356,150 | ||||||
Wind Acquisition Finance SA, 11.750%, 07/15/17, Callable 07/15/13 @ 105.88(a) |
2,450,000 | 2,192,750 | ||||||
Windstream Holding of the Midwest, Inc., 6.750%, 04/01/28(d) |
4,750,000 | 4,674,005 | ||||||
|
|
|||||||
126,374,434 | ||||||||
|
|
|||||||
Transportation (0.1%) |
||||||||
CHC Helicopter SA, 9.250%, 10/15/20, Callable 04/15/15 @ 104.63(a) |
2,000,000 | 1,800,000 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $209,611,440) |
196,623,154 | |||||||
|
|
|||||||
Preferred Stocks (0.1%) |
||||||||
Diversified Financial Services (0.1%) |
||||||||
Citigroup Capital XII, 8.500%, 03/30/40, Callable 03/30/15 @ 25 |
13,520 | 340,163 | ||||||
GMAC Capital Trust I, Series 2, 8.125%, 02/15/40, Callable 02/15/16 @ 25 |
186,000 | 3,597,240 | ||||||
|
|
|||||||
3,937,403 | ||||||||
|
|
|||||||
Total Preferred Stocks (Cost $4,988,000) |
3,937,403 | |||||||
|
|
|||||||
Convertible Preferred Stock (0.1%) |
||||||||
Auto Manufacturers (0.1%) |
||||||||
General Motors Co., Series B, 4.750%, 12/01/13 |
57,000 | 1,952,250 | ||||||
|
|
|||||||
Total Convertible Preferred Stock (Cost $2,820,930) |
1,952,250 | |||||||
|
|
|||||||
Common Stock (0.0%)(j) |
||||||||
Auto Manufacturers (0.0%) |
||||||||
General Motors Co. |
81,566 | 1,653,343 | ||||||
|
|
|||||||
Total Common Stock (Cost $3,254,178) |
1,653,343 | |||||||
|
|
|||||||
Warrants (0.0%)(j) |
||||||||
Auto Manufacturers (0.0%)(j) |
||||||||
General Motors Co. Expires at 07/10/16 at 10.00 USD* |
74,151 | 869,791 |
See Notes to Schedules of Portfolio Investments.
General Motors Co. Expires at 07/10/19 at 18.33 USD* |
74,151 | 579,861 | ||||||
|
|
|||||||
1,449,652 | ||||||||
|
|
|||||||
Total Warrants (Cost $3,688,755) |
1,449,652 | |||||||
|
|
|||||||
Money Market Fund (4.6%) |
||||||||
State Street Institutional U.S. Government Money Market Fund, Institutional Class, |
160,968,822 | 160,968,822 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $160,968,822) |
160,968,822 | |||||||
|
|
|||||||
Total Investments (Cost $3,656,798,902) 101.1% |
3,573,868,588 | |||||||
|
|
|||||||
Liabilities in excess of other assets (1.1)% |
(38,719,834 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 3,535,148,754 | ||||||
|
|
* | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 91.0% of net assets as of December 31, 2011. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(d) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(e) | The Funds adviser/subadviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. |
(f) | Security is in default. |
(g) | Bankrupt issuer. |
(h) | The security has not settled as of December 31, 2011 and thus does not have a rate in effect. The security does not have a stated settlement date and will receive a rate upon settling with the custodian. |
(i) | Valued at fair value using procedures approved by the Board of Trustees. Fair valued securities held by the Fund represent 0.0 % of net assets as of December 31, 2011. |
(j) | Less than 0.05% of Net Assets. |
(k) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
PIK |
Payment in-kind |
At December 31, 2011, the Funds unfunded loan commitments were as follows:
Borrower |
Unfunded Commitments($) |
Unrealized Appreciation (Depreciation)($) |
||||||
Brand Energy & Infrastructure Services, Inc. |
7,500,000 | (1,222,439 | ) |
The commitments are available until the maturity date of the respective security.
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Seix High Yield Fund
Shares or Principal Amount($) |
Value($) | |||||||
Bank Loans (0.2%) |
||||||||
Telecommunication Services (0.2%) |
||||||||
Intelsat Jackson Holdings SA, Tranche B Term Loan, 5.250%, 04/02/18(a)(b) |
2,985,000 | 2,958,881 | ||||||
Level 3 Financing, Inc., Term Loan B3, 5.750%, 08/31/18(a)(b) |
1,000,000 | 984,250 | ||||||
|
|
|||||||
3,943,131 | ||||||||
|
|
|||||||
Total Bank Loans (Cost $3,923,041) |
3,943,131 | |||||||
|
|
|||||||
Corporate Bonds (86.3%) |
||||||||
Advertising (0.5%) |
||||||||
Affinion Group, Inc., 7.875%, 12/15/18, Callable 12/15/14 @ 103.94 |
9,145,000 | 7,727,525 | ||||||
Checkout Holding Corp., 0.000%, 11/15/15, Callable 03/01/12 @ 67.84(a)(c) |
5,850,000 | 3,100,500 | ||||||
|
|
|||||||
10,828,025 | ||||||||
|
|
|||||||
Aerospace/Defense (1.1%) |
||||||||
Ducommun, Inc., 9.750%, 07/15/18, Callable 07/15/15 @ 104.88(a) |
3,165,000 | 3,212,475 | ||||||
Kratos Defense & Security Solutions, Inc., 10.000%, 06/01/17, Callable 06/01/14 @ 105 |
7,430,000 | 7,615,750 | ||||||
Spirit AeroSystems, Inc., 6.750%, 12/15/20, Callable 12/15/15 @ 103.38 |
4,945,000 | 5,167,525 | ||||||
Spirit AeroSystems, Inc., 7.500%, 10/01/17, Callable 10/01/13 @ 103.75 |
1,525,000 | 1,654,625 | ||||||
Triumph Group, Inc., 8.000%, 11/15/17, Callable 11/15/13 @ 104 |
2,770,000 | 2,950,050 | ||||||
Triumph Group, Inc., 8.625%, 07/15/18, Callable 07/15/14 @ 104.31 |
1,455,000 | 1,593,225 | ||||||
|
|
|||||||
22,193,650 | ||||||||
|
|
|||||||
Airlines (0.8%) |
||||||||
American Airlines, Inc., 7.500%, 03/15/16, Callable 03/15/13 @ 105.62(a)(d)(e) |
3,590,000 | 2,566,850 | ||||||
Delta Air Lines, Inc., 9.500%, 09/15/14, Callable 02/27/12 @ 107.12(a)(e) |
7,777,000 | 8,010,310 | ||||||
Delta Air Lines, Inc., 12.250%, 03/15/15, Callable 03/15/12 @ 108.81(a)(e) |
3,610,000 | 3,772,450 | ||||||
Delta Air Lines, Inc., Series 2007-1, Cl C, 8.954%, 08/10/14 |
1,536,392 | 1,532,551 | ||||||
|
|
|||||||
15,882,161 | ||||||||
|
|
|||||||
Auto Manufacturers (1.5%) |
||||||||
Chrysler Group LLC, 8.000%, 06/15/19, Callable 06/15/15 @ 104(a)(e) |
2,650,000 | 2,424,750 | ||||||
Chrysler Group LLC, 8.250%, 06/15/21, Callable 06/15/16 @ 104.13(a) |
5,350,000 | 4,868,500 | ||||||
Ford Motor Co., 7.450%, 07/16/31(e) |
19,802,000 | 23,762,400 | ||||||
|
|
|||||||
31,055,650 | ||||||||
|
|
|||||||
Auto Parts & Equipment (1.7%) |
||||||||
AFFINIA Group, Inc., 10.750%, 08/15/16, Callable 08/15/12 @ 108.06(a) |
1,854,000 | 2,011,590 | ||||||
Cooper-Standard Automotive, Inc., 8.500%, 05/01/18, Callable 05/01/14 @ 104.25 |
8,893,000 | 9,304,301 | ||||||
Delphi Corp., 5.875%, 05/15/19, Callable 05/15/14 @ 104.41(a)(e) |
3,000,000 | 3,060,000 | ||||||
Delphi Corp., 6.125%, 05/15/21, Callable 05/15/16 @ 103.06(a)(e) |
4,000,000 | 4,120,000 | ||||||
Exide Technologies, 8.625%, 02/01/18, Callable 02/01/15 @ 104.31 |
2,985,000 | 2,298,450 | ||||||
Lear Corp., 7.875%, 03/15/18, Callable 03/15/14 @ 103.94 |
1,280,000 | 1,385,600 | ||||||
Lear Corp., 8.125%, 03/15/20, Callable 03/15/15 @ 104.06 |
1,280,000 | 1,408,000 | ||||||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc., 10.625%, 09/01/17, Callable 09/01/14 @ 105.31(a)(e) |
2,272,000 | 2,283,360 | ||||||
Visteon Corp., 6.750%, 04/15/19, Callable 04/15/14 @ 105.06(a) |
7,625,000 | 7,605,938 | ||||||
|
|
|||||||
33,477,239 | ||||||||
|
|
|||||||
Banks (6.1%) |
||||||||
Ally Financial, Inc., 7.500%, 09/15/20 |
17,661,000 | 17,837,610 |
See Notes to Schedules of Portfolio Investments.
Ally Financial, Inc., 8.000%, 11/01/31 |
33,850,000 | 32,665,250 | ||||||
Ally Financial, Inc., 8.300%, 02/12/15 |
2,202,000 | 2,323,110 | ||||||
Bank of America Corp., 8.000%, 01/30/18(b)(f) |
2,046,000 | 1,832,070 | ||||||
CIT Group, Inc., 7.000%, 05/01/16, Callable 03/01/12 @ 100 |
15,610,000 | 15,610,000 | ||||||
CIT Group, Inc., 7.000%, 05/01/17, Callable 03/01/12 @ 100 |
32,795,000 | 32,795,000 | ||||||
Provident Funding Associates LP / PFG Finance Corp., 10.125%, 02/15/19, Callable 02/15/15 @ 105.06(a) |
2,685,000 | 2,067,450 | ||||||
Provident Funding Association LP, 10.250%, 04/15/17, Callable 04/15/14 @ 105.13(a) |
3,455,000 | 3,221,787 | ||||||
Regions Bank, 6.450%, 06/26/37 |
2,825,000 | 2,337,688 | ||||||
Regions Bank, 7.500%, 05/15/18 |
2,050,000 | 2,029,500 | ||||||
Regions Financial Corp., 5.750%, 06/15/15 |
6,026,000 | 5,754,830 | ||||||
Regions Financial Corp., 7.750%, 11/10/14 |
4,745,000 | 4,768,725 | ||||||
|
|
|||||||
123,243,020 | ||||||||
|
|
|||||||
Beverages (0.1%) |
||||||||
Cott Beverages, Inc., 8.125%, 09/01/18, Callable 09/01/14 @ 104.06 |
1,500,000 | 1,620,000 | ||||||
|
|
|||||||
Building Materials (1.2%) |
||||||||
Building Materials Corp. of America, 6.750%, 05/01/21, Callable 05/01/16 @ 103.38(a) |
2,885,000 | 3,029,250 | ||||||
CEMEX Finance LLC, 9.500%, 12/14/16, Callable 12/14/13 @ 104.75(a)(e) |
3,800,000 | 3,334,500 | ||||||
USG Corp., 8.375%, 10/15/18, Callable 10/15/14 @ 104.19(a) |
11,650,000 | 10,718,000 | ||||||
USG Corp., 9.750%, 08/01/14(a) |
5,845,000 | 5,874,225 | ||||||
USG Corp., 9.750%, 01/15/18 |
1,715,000 | 1,449,175 | ||||||
|
|
|||||||
24,405,150 | ||||||||
|
|
|||||||
Chemicals (1.5%) |
||||||||
Huntsman International LLC, 5.500%, 06/30/16, Callable 03/01/12 @ 100 |
2,505,000 | 2,454,900 | ||||||
Huntsman International LLC, 8.625%, 03/15/21, Callable 09/15/15 @ 104.31(e) |
1,055,000 | 1,118,300 | ||||||
INEOS Finance PLC, 9.000%, 05/15/15, Callable 05/15/13 @ 104.50(a) |
1,775,000 | 1,801,625 | ||||||
Kinove German Bondco GmbH, 9.625%, 06/15/18, Callable 06/15/14 @ 107.22(a) |
4,050,000 | 3,847,500 | ||||||
LyondellBasell Industries, 6.000%, 11/15/21(a) |
2,025,000 | 2,100,938 | ||||||
Nova Chemicals Corp., 8.625%, 11/01/19, Callable 11/01/14 @ 104.31 |
2,845,000 | 3,136,612 | ||||||
Oxea Finance & Cy SCA, 9.500%, 07/15/17, Callable 07/15/13 @ 107.12(a) |
2,664,000 | 2,664,000 | ||||||
Rain CII Carbon LLC, 8.000%, 12/01/18, Callable 12/01/14 @ 104(a) |
4,610,000 | 4,621,525 | ||||||
Solutia, Inc., 7.875%, 03/15/20, Callable 03/15/15 @ 103.94(e) |
3,025,000 | 3,289,687 | ||||||
TPC Group LLC, 8.250%, 10/01/17, Callable 10/01/13 @ 106.19 |
2,000,000 | 2,000,000 | ||||||
Vertellus Specialties, Inc., 9.375%, 10/01/15, Callable 04/01/13 @ 104.69(a)(c) |
3,265,000 | 2,497,725 | ||||||
|
|
|||||||
29,532,812 | ||||||||
|
|
|||||||
Coal (1.2%) |
||||||||
Arch Coal, Inc., 7.000%, 06/15/19, Callable 06/15/15 @ 103.50(a) |
9,955,000 | 10,154,100 | ||||||
Arch Coal, Inc., 7.250%, 06/15/21, Callable 06/15/16 @ 103.63(a) |
2,905,000 | 2,984,888 | ||||||
Peabody Energy Corp., 6.250%, 11/15/21(a) |
9,780,000 | 10,122,300 | ||||||
|
|
|||||||
23,261,288 | ||||||||
|
|
|||||||
Commercial Services (2.1%) |
||||||||
Avis Budget Car Rental LLC, 9.625%, 03/15/18, Callable 03/15/14 @ 104.81 |
3,855,000 | 3,989,925 | ||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 8.250%, 01/15/19, Callable 10/15/14 @ 104.13 |
4,945,000 | 4,907,912 | ||||||
Cenveo Corp., 8.875%, 02/01/18, Callable 02/01/14 @ 104.44(e) |
3,095,000 | 2,700,388 | ||||||
Hertz Corp., 7.500%, 10/15/18, Callable 10/15/14 @ 103.75 |
2,580,000 | 2,696,100 | ||||||
Hertz Corp., 8.875%, 01/01/14, Callable 03/01/12 @ 100(e) |
295,000 | 296,475 | ||||||
Iron Mountain, Inc., 7.750%, 10/01/19, Callable 10/01/15 @ 103.88 |
4,135,000 | 4,367,594 | ||||||
Iron Mountain, Inc., 8.000%, 06/15/20, Callable 06/15/2013 @ 104 |
1,515,000 | 1,577,494 | ||||||
Jaguar Holding Co. II / Jaguar Merger Sub, Inc., 9.500%, 12/01/19, Callable 12/01/14 @ 107.12(a) |
2,470,000 | 2,593,500 | ||||||
Live Nation Entertainment, Inc., 8.125%, 05/15/18, Callable 05/15/14 @ 104.06(a) |
3,465,000 | 3,490,987 | ||||||
National Money Mart Co., 10.375%, 12/15/16, Callable 12/15/13 @ 105.19 |
4,175,000 | 4,456,812 | ||||||
Speedy Cash, Inc., 10.750%, 05/15/18, Callable 05/15/15 @ 105.38(a) |
4,661,000 | 4,684,305 | ||||||
United Rentals NA, Inc., 9.250%, 12/15/19, Callable 12/15/14 @ 104.63 |
5,616,000 | 5,882,760 | ||||||
|
|
|||||||
41,644,252 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Computers (0.7%) |
||||||||
Seagate HDD Cayman, 6.875%, 05/01/20, Callable 05/01/15 @ 103.44 |
1,610,000 | 1,654,275 | ||||||
Seagate HDD Cayman, 7.000%, 11/01/21, Callable 05/01/16 @ 103.50(a) |
1,845,000 | 1,891,125 | ||||||
Seagate HDD Cayman, 7.750%, 12/15/18, Callable 12/15/14 @ 103.88(a) |
4,500,000 | 4,786,875 | ||||||
Seagate Technology International Co. Ltd., 10.000%, 05/01/14, Callable 05/01/13 @ 105(a) |
532,000 | 601,825 | ||||||
SunGard Data Systems, Inc., 7.375%, 11/15/18, Callable 11/15/13 @ 105.53 |
1,375,000 | 1,407,656 | ||||||
SunGard Data Systems, Inc., 7.625%, 11/15/20, Callable 11/15/15 @ 103.81 |
3,490,000 | 3,585,975 | ||||||
|
|
|||||||
13,927,731 | ||||||||
|
|
|||||||
Cosmetics/Personal Care (0.4%) |
||||||||
Revlon Consumer Products Corp., 9.750%, 11/15/15, Callable 11/15/12 @ 104.88 |
7,065,000 | 7,515,394 | ||||||
|
|
|||||||
Diversified Financial Services (3.9%) |
||||||||
Aircastle Ltd., 9.750%, 08/01/18, Callable 08/01/14 @ 104.88(e) |
3,200,000 | 3,352,000 | ||||||
American General Finance Corp., Series H, 5.375%, 10/01/12(e) |
2,613,000 | 2,469,285 | ||||||
American General Finance Corp., Series H, 5.750%, 09/15/16 |
2,575,000 | 1,815,375 | ||||||
American General Finance Corp., Series I, 5.400%, 12/01/15 |
1,640,000 | 1,193,100 | ||||||
Community Choice Financial, Inc., 10.750%, 05/01/19, Callable 05/01/15 @ 105.38(a) |
3,970,000 | 3,930,300 | ||||||
E*Trade Financial Corp., 6.750%, 06/01/16 |
2,075,000 | 2,012,750 | ||||||
Ford Motor Credit Co. LLC, 3.875%, 01/15/15 |
15,300,000 | 15,242,901 | ||||||
Ford Motor Credit Co. LLC, 8.125%, 01/15/20 |
1,800,000 | 2,118,722 | ||||||
General Motors Financial Co., Inc., 6.750%, 06/01/18(a)(e) |
5,290,000 | 5,395,800 | ||||||
Icahn Enterprises Finance Corp., 8.000%, 01/15/18, Callable 01/15/14 @ 104 |
4,470,000 | 4,648,800 | ||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp., 7.750%, 01/15/16, Callable 01/15/13 @ 103.88 |
2,195,000 | 2,277,313 | ||||||
ILFC E-Capital Trust II, 6.250%, 12/21/65, Callable 12/21/15 @ 100(a)(b) |
2,490,000 | 1,680,750 | ||||||
International Lease Finance Corp., 5.650%, 06/01/14, MTN |
1,320,000 | 1,260,600 | ||||||
International Lease Finance Corp., 6.250%, 05/15/19 |
6,365,000 | 5,879,923 | ||||||
International Lease Finance Corp., 8.250%, 12/15/20 |
2,380,000 | 2,403,800 | ||||||
International Lease Finance Corp., 8.625%, 09/15/15 |
2,230,000 | 2,285,750 | ||||||
International Lease Finance Corp., 8.750%, 03/15/17 |
4,325,000 | 4,454,750 | ||||||
Springleaf Finance Corp., 6.900%, 12/15/17, MTN |
13,975,000 | 10,062,000 | ||||||
SquareTwo Financial Corp., 11.625%, 04/01/17, Callable 04/01/14 @ 105.80 |
5,570,000 | 5,375,050 | ||||||
|
|
|||||||
77,858,969 | ||||||||
|
|
|||||||
Electric (8.1%) |
||||||||
AES Corp. (The), 7.750%, 10/15/15 |
485,000 | 527,438 | ||||||
AES Corp. (The), 8.000%, 10/15/17 |
4,225,000 | 4,647,500 | ||||||
AES Corp. (The), 9.750%, 04/15/16 |
2,750,000 | 3,148,750 | ||||||
AES Ironwood LLC, 8.857%, 11/30/25 |
3,182,864 | 3,214,693 | ||||||
Calpine Corp., 7.500%, 02/15/21, Callable 11/01/15 @ 103.75(a) |
4,600,000 | 4,922,000 | ||||||
Calpine Corp., 7.875%, 01/15/23, Callable 01/15/17 @ 103.94(a) |
6,310,000 | 6,783,250 | ||||||
Edison Mission Energy, 7.000%, 05/15/17 |
2,740,000 | 1,781,000 | ||||||
Edison Mission Energy, 7.200%, 05/15/19 |
8,710,000 | 5,443,750 | ||||||
Edison Mission Energy, 7.500%, 06/15/13(e) |
6,087,000 | 5,904,390 | ||||||
Edison Mission Energy, 7.750%, 06/15/16 |
1,045,000 | 762,850 | ||||||
Energy Future Holdings Corp., 10.000%, 01/15/20, Callable 01/15/15 @ 105 |
9,145,000 | 9,602,250 | ||||||
GenOn Energy, Inc., 9.500%, 10/15/18(e) |
6,620,000 | 6,702,750 | ||||||
GenOn Energy, Inc., 9.875%, 10/15/20, Callable 10/15/15 @ 104.94(e) |
30,629,000 | 31,088,435 | ||||||
Midwest Generation LLC, Series B, 8.560%, 01/02/16 |
5,564,190 | 5,619,832 | ||||||
NRG Energy, Inc., 7.625%, 01/15/18 |
2,135,000 | 2,135,000 | ||||||
NRG Energy, Inc., 7.625%, 05/15/19, Callable 05/15/14 @ 103.81(a) |
12,240,000 | 11,995,200 | ||||||
NRG Energy, Inc., 7.875%, 05/15/21, Callable 05/15/16 @ 103.94(a) |
23,400,000 | 22,815,000 | ||||||
NRG Energy, Inc., 8.250%, 09/01/20, Callable 09/01/15 @ 104.13 |
2,000,000 | 2,010,000 | ||||||
NRG Energy, Inc., 8.500%, 06/15/19, Callable 06/15/14 @ 104.25 |
2,935,000 | 2,979,025 | ||||||
Texas Competitive Electric Holdings Co. LLC, 11.500%, 10/01/20, Callable 04/01/16 @ |
35,835,000 | 30,414,956 | ||||||
|
|
|||||||
162,498,069 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Electronics (0.3%) |
||||||||
Jabil Circuit, Inc., 8.250%, 03/15/18 |
3,460,000 | 3,987,650 | ||||||
Viasystems Group, Inc., 12.000%, 01/15/15, Callable 07/15/12 @ 106(a) |
1,410,000 | 1,510,463 | ||||||
|
|
|||||||
5,498,113 | ||||||||
|
|
|||||||
Energy-Alternate Sources (0.2%) |
||||||||
First Wind Capital LLC, 10.250%, 06/01/18, Callable 06/01/14 @ 107.69(a) |
5,075,000 | 4,986,188 | ||||||
|
|
|||||||
Engineering & Construction (0.4%) |
||||||||
Abengoa Finance SAU, 8.875%, 11/01/17(a) |
2,575,000 | 2,575,000 | ||||||
Aguila 3 S.A., 7.875%, 01/31/18, Callable 01/31/14 @ 105.91(a) |
2,900,000 | 2,813,000 | ||||||
Dycom Investments, Inc., 7.125%, 01/15/21, Callable 01/15/16 @ 103.56 |
2,570,000 | 2,595,700 | ||||||
|
|
|||||||
7,983,700 | ||||||||
|
|
|||||||
Entertainment (1.8%) |
||||||||
Cinemark USA, Inc., 7.375%, 06/15/21, Callable 06/15/16 @ 103.69(e) |
1,590,000 | 1,625,775 | ||||||
Cinemark USA, Inc., 8.625%, 06/15/19, Callable 06/15/14 @ 104.31 |
610,000 | 663,375 | ||||||
Diamond Resorts Corp., 12.000%, 08/15/18, Callable 08/15/14 @ 106 |
9,745,000 | 9,598,825 | ||||||
FireKeepers Development Authority, 13.875%, 05/01/15, Callable 05/01/12 @ 110.50(a) |
11,185,000 | 12,694,975 | ||||||
Pinnacle Entertainment, Inc., 8.750%, 05/15/20, Callable 05/15/15 @ 104.38(e) |
3,780,000 | 3,704,400 | ||||||
Regal Entertainment Group, 9.125%, 08/15/18, Callable 08/15/14 @ 104.56(e) |
4,295,000 | 4,606,387 | ||||||
Speedway Motorsports, Inc., 8.750%, 06/01/16, Callable 06/01/13 @ 104.38 |
2,395,000 | 2,610,550 | ||||||
|
|
|||||||
35,504,287 | ||||||||
|
|
|||||||
Environmental Control (0.4%) |
||||||||
Covanta Holding Corp., 7.250%, 12/01/20, Callable 12/01/15 @ 103.63 |
4,610,000 | 4,845,843 | ||||||
Darling International, Inc., 8.500%, 12/15/18, Callable 12/15/14 @ 104.25 |
2,330,000 | 2,586,300 | ||||||
|
|
|||||||
7,432,143 | ||||||||
|
|
|||||||
Food (0.6%) |
||||||||
JBS USA Finance, Inc., 7.250%, 06/01/21, Callable 06/01/15 @ 105.44(a) |
6,890,000 | 6,424,925 | ||||||
Stater Brothers Holdings, Inc., 7.750%, 04/15/15, Callable 03/01/12 @ 103.88 |
4,790,000 | 4,915,738 | ||||||
|
|
|||||||
11,340,663 | ||||||||
|
|
|||||||
Forest Products&Paper (0.2%) |
||||||||
Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16, Callable 06/01/13 @ 104(a) |
3,575,000 | 3,575,000 | ||||||
|
|
|||||||
Gas (0.3%) |
||||||||
Sabine Pass LNG LP, 7.250%, 11/30/13 |
1,845,000 | 1,863,450 | ||||||
Sabine Pass LNG LP, 7.500%, 11/30/16 |
3,685,000 | 3,703,425 | ||||||
|
|
|||||||
5,566,875 | ||||||||
|
|
|||||||
Hand/Machine Tools (0.2%) |
||||||||
Thermadyne Holdings Corp., 9.000%, 12/15/17, Callable 12/15/13 @ 106.75 |
4,860,000 | 5,030,100 | ||||||
|
|
|||||||
Healthcare - Products (0.7%) |
||||||||
Kinetic Concepts Inc./KCI USA, Inc., 10.500%, 11/01/18, Callable 11/01/15 @ 105.25(a) |
3,320,000 | 3,253,600 | ||||||
Rotech Healthcare, Inc., 10.500%, 03/15/18, Callable 03/15/15 @ 105.25(e) |
740,000 | 569,800 | ||||||
Rotech Healthcare, Inc., 10.750%, 10/15/15, Callable 04/15/13 @ 105.38 |
1,545,000 | 1,521,825 | ||||||
Universal Hospital Services, Inc., PIK, 8.500%, 06/01/15, Callable 03/01/12 @ 104.25 |
8,615,000 | 8,701,150 | ||||||
|
|
|||||||
14,046,375 | ||||||||
|
|
|||||||
Healthcare - Services (4.4%) |
||||||||
Apria Healthcare Group, Inc., 11.250%, 11/01/14, Callable 03/01/12 @ 105.62 |
5,925,000 | 6,117,563 | ||||||
Community Health Systems, Inc., 8.000%, 11/15/19, Callable 11/15/15 @ 104(a)(e) |
18,130,000 | 18,311,300 | ||||||
Community Health Systems, Inc., 8.875%, 07/15/15, Callable 03/01/12 @ 104.44(e) |
10,351,000 | 10,687,407 | ||||||
GCB US Oncology, Inc. Escrow, 0.000%, 08/15/17(c)(e)* |
3,420,000 | 42,750 | ||||||
HCA, Inc., 6.500%, 02/15/20 |
2,500,000 | 2,593,750 | ||||||
HCA, Inc., 7.500%, 02/15/22 |
31,200,000 | 31,902,000 | ||||||
Kindred Healthcare, Inc., 8.250%, 06/01/19, Callable 06/01/14 @ 106.19 |
5,880,000 | 4,939,200 | ||||||
Tenet Healthcare Corp., 6.250%, 11/01/18(a) |
6,920,000 | 7,041,100 | ||||||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II, Inc., 7.750%, 02/01/19, Callable 02/01/14 @ 105.81 |
6,135,000 | 5,889,600 | ||||||
|
|
|||||||
87,524,670 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Holding Companies-Divers (0.5%) |
||||||||
Leucadia National Corp., 7.125%, 03/15/17, Callable 03/15/12 @ 103.56 |
9,075,000 | 9,131,719 | ||||||
|
|
|||||||
Home Builders (0.4%) |
||||||||
KB Home, 9.100%, 09/15/17 |
3,180,000 | 3,028,950 | ||||||
Standard Pacific Corp., 8.375%, 05/15/18 |
5,300,000 | 5,035,000 | ||||||
|
|
|||||||
8,063,950 | ||||||||
|
|
|||||||
Household Products/Wares (1.3%) |
||||||||
ACCO Brands Corp., 10.625%, 03/15/15, Callable 09/15/12 @ 105.31 |
1,555,000 | 1,729,938 | ||||||
Jarden Corp., 7.500%, 01/15/20, Callable 01/15/15 @ 103.75 |
4,450,000 | 4,739,250 | ||||||
Reynolds Group Holdings, 6.875%, 02/15/21, Callable 02/15/16 @ 103.44(a) |
1,825,000 | 1,815,875 | ||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Luxembourg I SA, 7.875%, 08/15/19, Callable 08/15/15 @ 103.94(a) |
17,845,000 | 18,648,025 | ||||||
|
|
|||||||
26,933,088 | ||||||||
|
|
|||||||
Insurance (3.3%) |
||||||||
American General Institutional Capital, Series B, 8.125%, 03/15/46(a) |
2,750,000 | 2,488,750 | ||||||
American International Group, Inc., 8.175%, 05/15/68, Callable 05/15/38 @ 100(b) |
22,475,000 | 20,002,750 | ||||||
Fairfax Financial Holdings Ltd., 7.375%, 04/15/18 |
274,000 | 294,579 | ||||||
Genworth Financial, Inc., 6.150%, 11/15/66, Callable 11/15/16 @ 100(b) |
9,575,000 | 5,170,500 | ||||||
Genworth Financial, Inc., 7.625%, 09/24/21 |
745,000 | 696,574 | ||||||
Hartford Financial Services Group, Inc., 8.125%, 06/15/68, Callable 06/15/18 @ 100(b)(e) |
5,177,000 | 5,125,230 | ||||||
ILFC E-Capital Trust I, 4.340%, 12/21/65, Callable 03/01/12 @ 100(a)(b) |
12,420,000 | 7,327,551 | ||||||
Liberty Mutual Group, Inc., 7.000%, 03/15/37, Callable 03/15/17 @ 100(a)(b) |
2,730,000 | 2,293,200 | ||||||
Liberty Mutual Group, Inc., 7.800%, 03/15/37(a) |
2,900,000 | 2,581,000 | ||||||
Liberty Mutual Group, Inc., 10.750%, 06/15/58, Callable 06/15/38 @ 100(a)(b) |
2,740,000 | 3,438,700 | ||||||
Lincoln National Corp., 7.000%, 05/17/66, Callable 05/17/16 @ 100(b) |
1,220,000 | 1,101,050 | ||||||
MBIA, Inc., 5.700%, 12/01/34 |
17,040,000 | 10,533,276 | ||||||
White Mountains Re Group Ltd., 7.506%, 06/30/17(a)(b)(f) |
5,270,000 | 4,801,181 | ||||||
|
|
|||||||
65,854,341 | ||||||||
|
|
|||||||
Internet (0.4%) |
||||||||
Equinix, Inc., 7.000%, 07/15/21, Callable 07/15/16 @ 103.50 |
3,130,000 | 3,302,150 | ||||||
Zayo Group LLC, 10.250%, 03/15/17, Callable 03/15/13 @ 105.13 |
3,720,000 | 3,971,100 | ||||||
|
|
|||||||
7,273,250 | ||||||||
|
|
|||||||
Investment Companies (0.7%) |
||||||||
Offshore Group Investments Ltd., 11.500%, 08/01/15, Callable 02/01/13 @ 108.62 |
12,375,000 | 13,380,469 | ||||||
|
|
|||||||
Iron/Steel (0.9%) |
||||||||
APERAM, 7.375%, 04/01/16, Callable 10/01/13 @ 103.69(a) |
2,700,000 | 2,308,500 | ||||||
APERAM, 7.750%, 04/01/18, Callable 04/01/15 @ 103.88(a) |
2,550,000 | 2,116,500 | ||||||
JMC Steel Group, 8.250%, 03/15/18, Callable 03/15/14 @ 106.19(a) |
13,650,000 | 13,308,750 | ||||||
|
|
|||||||
17,733,750 | ||||||||
|
|
|||||||
Leisure Time (0.3%) |
||||||||
ClubCorp Club Operations, Inc., 10.000%, 12/01/18, Callable 12/01/14 @ 105 |
7,085,000 | 6,801,600 | ||||||
|
|
|||||||
Lodging (1.5%) |
||||||||
Downstream Development Authority of the Quapaw Tribe of Oklahoma, 10.500%, 07/01/19, Callable 07/01/15 @ 105.25(a) |
8,365,000 | 7,904,925 | ||||||
Harrahs Operating, Inc., 11.250%, 06/01/17, Callable 06/01/13 @ 105.62 |
12,320,000 | 13,074,600 | ||||||
Marina District Finance Co., Inc., 9.500%, 10/15/15, Callable 10/15/13 @ 104.75(e) |
650,000 | 607,750 | ||||||
Marina District Finance Co., Inc., 9.875%, 08/15/18, Callable 08/15/14 @ 104.94(e) |
6,570,000 | 5,995,125 | ||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 8.625%, 04/15/16, Callable 10/15/13 @ 104.31(a) |
1,610,000 | 1,650,250 | ||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 7.875%, 11/01/17, Callable 11/01/13 @ 103.94 |
1,385,000 | 1,520,037 | ||||||
|
|
|||||||
30,752,687 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Machinery-Construction & Mining (0.2%) |
||||||||
Terex Corp., 8.000%, 11/15/17, Callable 11/15/12 @ 104(e) |
220,000 | 215,600 | ||||||
Terex Corp., 10.875%, 06/01/16, Callable 06/01/13 @ 105.44 |
4,364,000 | 4,822,220 | ||||||
|
|
|||||||
5,037,820 | ||||||||
|
|
|||||||
Machinery-Diversified (0.3%) |
||||||||
Manitowoc Co., Inc. (The), 8.500%, 11/01/20, Callable 11/01/15 @ 104.25(e) |
4,805,000 | 5,063,269 | ||||||
|
|
|||||||
Media (4.5%) |
||||||||
Block Communications, Inc., 8.250%, 12/15/15, Callable 03/01/12 @ 102.75(a) |
3,050,000 | 3,107,188 | ||||||
Cablevision Systems Corp., 7.750%, 04/15/18 |
1,180,000 | 1,250,800 | ||||||
Cablevision Systems Corp., 8.000%, 04/15/20 |
3,940,000 | 4,225,650 | ||||||
CCO Holdings LLC, 7.250%, 10/30/17, Callable 10/30/13 @ 105.44 |
5,000,000 | 5,268,750 | ||||||
CCO Holdings LLC / Cap Corp., 6.500%, 04/30/21, Callable 04/30/15 @ 104.88 |
14,940,000 | 15,126,750 | ||||||
CCO Holdings LLC / Cap Corp., 7.375%, 06/01/20, Callable 12/01/15 @ 103.69 |
2,865,000 | 3,022,575 | ||||||
CCO Holdings LLC / Cap Corp., 7.875%, 04/30/18, Callable 04/30/13 @ 105.91 |
2,690,000 | 2,868,213 | ||||||
CCO Holdings LLC / Cap Corp., 8.125%, 04/30/20, Callable 04/30/15 @ 104.06 |
2,190,000 | 2,398,050 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 7.000%, 01/15/19, Callable 01/15/14 @ 105.25 |
4,985,000 | 5,196,862 | ||||||
Cequel Communications Holdings I LLC, 8.625%, 11/15/17, Callable 11/15/12 @ 106.47(a) |
6,440,000 | 6,826,400 | ||||||
Clear Channel Worldwide Holdings, Inc., Series B, 9.250%, 12/15/17, Callable 12/15/12 @ 106.94 |
395,000 | 426,600 | ||||||
Clear Channel Worldwide Holdings, Inc., Series REGS, 9.250%, 12/15/17, Callable 12/15/12 @ 106.94 |
5,700,000 | 6,127,500 | ||||||
Echostar DBS Corp., 7.750%, 05/31/15 |
3,430,000 | 3,773,000 | ||||||
Echostar DBS Corp., 7.125%, 02/01/16 |
3,800,000 | 4,094,500 | ||||||
Entravision Communications Corp., 8.750%, 08/01/17, Callable 08/01/13 @ 106.56(e) |
2,360,000 | 2,312,800 | ||||||
Insight Communications, Inc., 9.375%, 07/15/18, Callable 07/15/13 @ 107.03(a) |
3,850,000 | 4,398,625 | ||||||
Mediacom LLC/Capital Corp., 9.125%, 08/15/19, Callable 08/15/14 @ 104.56 |
1,145,000 | 1,215,131 | ||||||
Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc., 8.875%, 04/15/17, Callable 04/15/14 @ 104.44 |
1,975,000 | 2,024,375 | ||||||
Quebecor Media, Inc., 7.750%, 03/15/16, Callable 03/19/12 @ 102.58 |
3,095,000 | 3,180,112 | ||||||
Quebecor Media, Inc., 7.750%, 03/15/16, Callable 03/19/12 @ 102.58 |
705,000 | 724,388 | ||||||
Sinclair Television Group, Inc., 9.250%, 11/01/17, Callable 11/01/13 @ 104.63(a) |
2,690,000 | 2,932,100 | ||||||
Sirius XM Radio, Inc., 7.625%, 11/01/18, Callable 11/01/14 @ 103.81(a) |
2,910,000 | 3,055,500 | ||||||
Sirius XM Radio, Inc., 9.750%, 09/01/15, Callable 09/01/12 @ 104.88(a)(e) |
3,130,000 | 3,396,050 | ||||||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH, 8.125%, 12/01/17, Callable 12/01/12 @ 108.12(a) |
1,900,000 | 2,006,875 | ||||||
Univision Communications, Inc., 7.875%, 11/01/20, Callable 11/01/15 @ 103.94(a) |
1,650,000 | 1,674,750 | ||||||
|
|
|||||||
90,633,544 | ||||||||
|
|
|||||||
Mining (1.3%) |
||||||||
Consolidated Minerals Ltd., 8.875%, 05/01/16, Callable 05/01/14 @ 104.44(a) |
4,450,000 | 3,849,250 | ||||||
FMG Resources August 2006 Pty Ltd., 8.250%, 11/01/19, Callable 11/01/15 @ 104.13(a) |
8,870,000 | 9,025,225 | ||||||
Novelis, Inc., 8.375%, 12/15/17, Callable 12/15/13 @ 106.28 |
785,000 | 834,063 | ||||||
Novelis, Inc., 8.750%, 12/15/20, Callable 12/15/15 @ 104.38 |
2,900,000 | 3,110,250 | ||||||
Quadra FNX Mining Ltd., 7.750%, 06/15/19, Callable 06/15/15 @ 103.88(a) |
4,565,000 | 5,164,156 | ||||||
Teck Cominco Ltd., 6.125%, 10/01/35 |
920,000 | 1,009,349 | ||||||
Vulcan Materials Co., 7.500%, 06/15/21(e) |
3,345,000 | 3,612,600 | ||||||
|
|
|||||||
26,604,893 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (0.5%) |
||||||||
Amsted Industries, Inc., 8.125%, 03/15/18, Callable 03/15/14 @ 104.06(a) |
3,935,000 | 4,171,100 | ||||||
Polymer Group, Inc., 7.750%, 02/01/19, Callable 02/01/15 @ 103.88(a) |
5,260,000 | 5,444,100 | ||||||
|
|
|||||||
9,615,200 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Oil & Gas (4.3%) |
||||||||
Chesapeake Energy Corp., 6.500%, 08/15/17 |
1,295,000 | 1,379,175 | ||||||
Chesapeake Energy Corp., 6.625%, 08/15/20 |
7,000,000 | 7,507,500 | ||||||
Chesapeake Energy Corp., 6.875%, 11/15/20 |
1,530,000 | 1,637,100 | ||||||
Chesapeake Energy Corp., 7.250%, 12/15/18(e) |
3,105,000 | 3,431,025 | ||||||
CITGO Petroleum Corp., 11.500%, 07/01/17, Callable 07/01/14 @ 105.75(a) |
2,910,000 | 3,215,550 | ||||||
Coffeyville Resources LLC, 10.875%, 04/01/17, Callable 04/01/13 @ 108.16(a) |
3,015,000 | 3,376,800 | ||||||
Comstock Resources, Inc., 7.750%, 04/01/19, Callable 04/01/15 @ 103.88 |
4,780,000 | 4,541,000 | ||||||
Connacher Oil and Gas Ltd., 8.500%, 08/01/19, Callable 08/01/15 @ 104.25(a) |
5,420,000 | 4,905,100 | ||||||
Linn Energy LLC/Finance Corp., 6.500%, 05/15/19, Callable 05/15/15 @ 103.25(a) |
4,450,000 | 4,416,625 | ||||||
Linn Energy LLC/Finance Corp., 8.625%, 04/15/20, Callable 04/15/15 @ 104.31 |
4,865,000 | 5,278,525 | ||||||
Northern Tier Energy LLC / Northern Tier Finance Corp., 10.500%, 12/01/17, Callable 12/01/13 @ 107.88(a) |
5,020,000 | 5,371,400 | ||||||
Penn Virginia Corp., 10.375%, 06/15/16, Callable 06/15/13 @ 105.19 |
1,795,000 | 1,911,675 | ||||||
Plains Exploration & Production Co., 7.625%, 06/01/18, Callable 06/01/13 @ 103.81 |
2,510,000 | 2,660,600 | ||||||
Plains Exploration & Production Co., 8.625%, 10/15/19, Callable 10/15/14 @ 104.31 |
2,095,000 | 2,301,881 | ||||||
Range Resources Corp., 7.250%, 05/01/18, Callable 05/01/13 @ 103.63 |
2,130,000 | 2,279,100 | ||||||
RDS Ultra-Deepwater Ltd., 11.875%, 03/15/17, Callable 03/15/14 @ 105.94(a) |
3,895,000 | 4,109,225 | ||||||
SandRidge Energy, Inc., 8.000%, 06/01/18, Callable 06/01/13 @ 104(a) |
810,000 | 818,100 | ||||||
SandRidge Energy, Inc., 8.750%, 01/15/20, Callable 01/15/15 @ 104.38 |
6,825,000 | 7,046,812 | ||||||
United Refining Co., 10.500%, 02/28/18, Callable 02/28/15 @ 105.25 |
8,670,000 | 8,106,450 | ||||||
Western Refining, Inc., 11.250%, 06/15/17, Callable 06/15/13 @ 105.62(a) |
3,795,000 | 4,316,813 | ||||||
WPX Energy, Inc., 6.000%, 01/15/22, Callable 10/15/21 @ 100(a) |
7,735,000 | 7,918,706 | ||||||
|
|
|||||||
86,529,162 | ||||||||
|
|
|||||||
Oil & Gas Services (1.3%) |
||||||||
American Petroleum Tankers LLC, 10.250%, 05/01/15, Callable 05/01/12 @ 105.13 |
3,571,000 | 3,642,420 | ||||||
Cie Generale de Geophysique - Veritas, 6.500%, 06/01/21, Callable 06/01/16 @ 103.25 |
8,000,000 | 7,760,000 | ||||||
Geokinetics Holdings, Inc., 9.750%, 12/15/14, Callable 03/01/12 @ 104.88 |
6,145,000 | 3,871,350 | ||||||
Oil States International, Inc., 6.500%, 06/01/19, Callable 06/01/14 @ 104.88 |
11,185,000 | 11,436,663 | ||||||
|
|
|||||||
26,710,433 | ||||||||
|
|
|||||||
Packaging & Containers (0.6%) |
||||||||
Graphic Packaging International, Inc., 9.500%, 06/15/17, Callable 06/15/13 @ 104.75 |
2,175,000 | 2,381,625 | ||||||
Plastipak Holdings, Inc., 10.625%, 08/15/19, Callable 08/15/14 @ 105.31(a) |
2,010,000 | 2,221,050 | ||||||
Sealed Air Corp., 8.125%, 09/15/19, Callable 09/15/15 @ 104.06(a) |
3,605,000 | 3,947,475 | ||||||
Sealed Air Corp., 8.375%, 09/15/21, Callable 09/15/16 @ 104.19(a) |
2,775,000 | 3,066,375 | ||||||
|
|
|||||||
11,616,525 | ||||||||
|
|
|||||||
Pharmaceuticals (1.5%) |
||||||||
ConvaTec Healthcare, 10.500%, 12/15/18, Callable 12/15/14 @ 105.25(a) |
7,950,000 | 7,095,375 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.000%, 07/15/19, Callable 07/15/15 @ 103.50 |
3,195,000 | 3,402,675 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.000%, 12/15/20, Callable 12/15/15 @ 103.50 |
2,610,000 | 2,773,125 | ||||||
Endo Pharmaceuticals Holdings, Inc., 7.250%, 01/15/22, Callable 07/15/16 @ 103.63 |
4,460,000 | 4,744,325 | ||||||
Lantheus Medical Imaging, Inc., 9.750%, 05/15/17, Callable 05/15/14 @ 104.88 |
5,395,000 | 4,275,537 | ||||||
Valeant Pharmaceuticals International, 6.500%, 07/15/16, Callable 07/15/13 @ 103.25(a) |
4,000,000 | 3,995,000 | ||||||
Valeant Pharmaceuticals International, 7.000%, 10/01/20, Callable 10/01/15 @ 103.50(a) |
3,900,000 | 3,851,250 | ||||||
|
|
|||||||
30,137,287 | ||||||||
|
|
|||||||
Pipelines (1.4%) |
||||||||
Atlas Pipeline Partners LP, 8.750%, 06/15/18, Callable 06/15/13 @ 104.38 |
3,335,000 | 3,501,750 | ||||||
El Paso Corp., 6.500%, 09/15/20 |
6,885,000 | 7,442,644 | ||||||
El Paso Corp., 7.000%, 06/15/17 |
1,540,000 | 1,687,304 | ||||||
El Paso Corp., Series G,, 8.050%, 10/15/30, MTN |
1,320,000 | 1,537,800 | ||||||
Genesis Energy LP, 7.875%, 12/15/18, Callable 12/15/14 @ 103.94 |
1,630,000 | 1,630,000 | ||||||
MarkWest Energy Partners LP, 6.750%, 11/01/20, Callable 11/01/15 @ 103.38 |
7,600,000 | 7,961,000 | ||||||
Targa Resources Partners LP, 8.250%, 07/01/16, Callable 07/01/12 @ 104.13 |
4,790,000 | 5,017,525 | ||||||
|
|
|||||||
28,778,023 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Real Estate (0.3%) |
||||||||
Toys R Us Property Co. LLC, 10.750%, 07/15/17, Callable 07/15/13 @ 105.38 |
5,415,000 | 5,922,656 | ||||||
|
|
|||||||
Real Estate Investment Trusts (1.4%) |
||||||||
Host Hotels & Resorts LP, 6.000%, 11/01/20, Callable 11/01/15 @ 103 |
1,745,000 | 1,784,262 | ||||||
Host Hotels & Resorts LP, 9.000%, 05/15/17, Callable 05/15/13 @ 104.50(e) |
1,115,000 | 1,212,563 | ||||||
MPT Operating Partnership LP/MPT Finance Corp., 6.875%, 05/01/21, Callable 05/01/16 @ 103.44 |
10,830,000 | 10,735,237 | ||||||
Reckson Operating Partnership LP, 7.750%, 03/15/20 |
6,005,000 | 6,586,014 | ||||||
Rouse Co. LP (The), 6.750%, 11/09/15, Callable 05/09/13 @ 103.38 |
7,120,000 | 7,200,100 | ||||||
|
|
|||||||
27,518,176 | ||||||||
|
|
|||||||
Retail (2.7%) |
||||||||
Ferrellgas LP / Ferrellgas Finance Corp., 6.500%, 05/01/21, Callable 05/01/16 @ 103.25 |
2,775,000 | 2,442,000 | ||||||
Ferrellgas Partners LP, 9.125%, 10/01/17, Callable 10/01/13 @ 104.56 |
2,095,000 | 2,189,275 | ||||||
JC Penney Corp., Inc., 6.375%, 10/15/36 |
4,135,000 | 3,457,894 | ||||||
Limited Brands, Inc., 6.625%, 04/01/21 |
2,900,000 | 3,074,000 | ||||||
Limited Brands, Inc., 7.000%, 05/01/20 |
2,520,000 | 2,727,900 | ||||||
Macys Retail Holdings, Inc., 8.125%, 07/15/15 |
3,490,000 | 4,029,425 | ||||||
Phillips-Van Heusen Corp., 7.375%, 05/15/20, Callable 05/15/15 @ 103.69 |
2,005,000 | 2,175,425 | ||||||
QVC, Inc., 7.500%, 10/01/19, Callable 10/01/14 @ 103.75(a) |
1,600,000 | 1,716,000 | ||||||
Rite Aid Corp., 7.500%, 03/01/17, Callable 03/01/12 @ 103.75(e) |
3,615,000 | 3,610,481 | ||||||
Sally Holdings LLC / Sally Capital, Inc., 6.875%, 11/15/19, Callable 11/15/15 @ 103.44(a)(e) |
5,925,000 | 6,191,625 | ||||||
Sears Holdings Corp., 6.625%, 10/15/18(e) |
30,695,000 | 23,328,200 | ||||||
|
|
|||||||
54,942,225 | ||||||||
|
|
|||||||
Semiconductors (0.6%) |
||||||||
Advanced Micro Devices, Inc., 7.750%, 08/01/20, Callable 08/01/15 @ 103.88 |
4,115,000 | 4,228,162 | ||||||
Freescale Semiconductor, Inc., 9.250%, 04/15/18, Callable 04/15/14 @ 104.63(a) |
5,035,000 | 5,381,156 | ||||||
MEMC Electronic Materials, Inc., 7.750%, 04/01/19, Callable 04/01/14 @ 105.81 |
3,025,000 | 2,185,563 | ||||||
|
|
|||||||
11,794,881 | ||||||||
|
|
|||||||
Shipbuilding (0.8%) |
||||||||
Huntington Ingalls Industries, Inc., 6.875%, 03/15/18, Callable 03/15/15 @ 103.44(a) |
8,110,000 | 7,947,800 | ||||||
Huntington Ingalls Industries, Inc., 7.125%, 03/15/21, Callable 03/15/16 @ 103.56(a) |
9,255,000 | 9,069,900 | ||||||
|
|
|||||||
17,017,700 | ||||||||
|
|
|||||||
Storage/Warehousing (0.3%) |
||||||||
Niska Gas Storage US LLC / Niska Gas Storage Canada ULC, 8.875%, 03/15/18, Callable 03/15/14 @ 104.44 |
6,045,000 | 5,908,988 | ||||||
|
|
|||||||
Telecommunication Services (12.9%) |
||||||||
Avaya, Inc., 7.000%, 04/01/19, Callable 04/01/15 @ 103.50(a) |
6,395,000 | 6,203,150 | ||||||
Cricket Communications, Inc., 7.750%, 05/15/16, Callable 05/15/12 @ 105.81 |
1,535,000 | 1,584,888 | ||||||
EH Holding Corp., 6.500%, 06/15/19(a) |
6,765,000 | 7,052,512 | ||||||
EH Holding Corp., 7.625%, 06/15/21(a) |
1,270,000 | 1,333,500 | ||||||
GeoEye, Inc., 8.625%, 10/01/16, Callable 10/01/13 @ 104.31 |
2,055,000 | 2,116,650 | ||||||
Inmarsat Finance PLC, 7.375%, 12/01/17, Callable 12/01/13 @ 103.69(a)(e) |
5,890,000 | 6,155,050 | ||||||
Integra Telecom, Inc., 10.750%, 04/15/16, Callable 04/15/13 @ 105.38(a) |
3,400,000 | 2,779,500 | ||||||
Intelsat Jackson Holdings SA, 7.250%, 04/01/19, Callable 04/01/15 @ 103.63(a) |
4,000,000 | 4,060,000 | ||||||
Intelsat Jackson Holdings SA, 7.250%, 10/15/20, Callable 10/15/15 @ 103.63 |
5,000,000 | 5,075,000 | ||||||
Intelsat Jackson Holdings SA, 7.500%, 04/01/21, Callable 04/01/16 @ 103.75(a) |
14,340,000 | 14,501,325 | ||||||
Intelsat Jackson Holdings SA, 8.500%, 11/01/19, Callable 11/01/14 @ 104.25 |
850,000 | 901,000 | ||||||
Intelsat Jackson Holdings SA, 9.500%, 06/15/16, Callable 02/27/12 @ 104.75 |
2,805,000 | 2,931,225 | ||||||
Level 3 Financing, Inc., 8.125%, 07/01/19, Callable 07/01/15 @ 104.06(a) |
5,000,000 | 4,925,000 | ||||||
Level 3 Financing, Inc., 8.750%, 02/15/17, Callable 02/27/12 @ 104.38 |
2,900,000 | 2,950,750 | ||||||
Level 3 Financing, Inc., 9.250%, 11/01/14, Callable 2/12/12 @ 102.31 |
8,108,000 | 8,290,430 | ||||||
Level 3 Financing, Inc., 9.375%, 04/01/19, Callable 04/01/15 @ 104.69 |
9,305,000 | 9,712,094 | ||||||
Level 3 Financing, Inc., 10.000%, 02/01/18, Callable 02/01/14 @ 105 |
9,210,000 | 9,762,600 | ||||||
Nextel Communications, Inc., Series D, 7.375%, 08/01/15, Callable 02/10/12 @ 100 |
3,405,000 | 3,115,575 |
See Notes to Schedules of Portfolio Investments.
Nextel Communications, Inc., Series E, 6.875%, 10/31/13, Callable 02/10/12 @ 100 |
6,855,000 | 6,820,725 | ||||||
NII Capital Corp., 7.625%, 04/01/21, Callable 04/01/16 @ 103.81 |
11,440,000 | 11,354,200 | ||||||
NII Capital Corp., 8.875%, 12/15/19, Callable 12/15/14 @ 104.44 |
3,825,000 | 4,025,813 | ||||||
PAETEC Holding Corp., 8.875%, 06/30/17, Callable 06/30/13 @ 104.44 |
7,510,000 | 8,110,800 | ||||||
Qwest Capital Funding, Inc., 7.750%, 02/15/31 |
5,220,000 | 5,185,417 | ||||||
Satmex Escrow SA de CV, 9.500%, 05/15/17, Callable 05/15/14 @ 104.75 |
4,825,000 | 4,921,500 | ||||||
Sprint Capital Corp., 6.875%, 11/15/28 |
11,095,000 | 7,919,056 | ||||||
Sprint Capital Corp., 6.900%, 05/01/19 |
1,808,000 | 1,487,080 | ||||||
Sprint Capital Corp., 8.750%, 03/15/32 |
12,965,000 | 10,485,444 | ||||||
Sprint Nextel Corp., 6.000%, 12/01/16 |
11,430,000 | 9,486,900 | ||||||
Sprint Nextel Corp., 8.375%, 08/15/17 |
6,500,000 | 5,825,625 | ||||||
Sprint Nextel Corp., 9.000%, 11/15/18(a) |
4,820,000 | 5,061,000 | ||||||
Sprint Nextel Corp., 11.500%, 11/15/21(a) |
1,645,000 | 1,628,550 | ||||||
UPC Holding BV, 9.875%, 04/15/18, Callable 04/15/14 @ 104.94(a) |
3,600,000 | 3,838,500 | ||||||
UPCB Finance V Ltd., 7.250%, 11/15/21, Callable 11/15/16 @ 103.63(a) |
4,100,000 | 4,151,250 | ||||||
US West Capital Funding, Inc., 6.875%, 07/15/28 |
5,940,000 | 5,577,476 | ||||||
US West Communications, 7.250%, 10/15/35, Callable 10/15/15 @ 101.94 |
5,485,000 | 5,469,340 | ||||||
ViaSat, Inc., 8.875%, 09/15/16, Callable 09/15/12 @ 106.66 |
4,985,000 | 5,109,625 | ||||||
West Corp., 7.875%, 01/15/19, Callable 11/15/14 @ 103.94 |
395,000 | 392,038 | ||||||
West Corp., 8.625%, 10/01/18, Callable 10/01/14 @ 104.31 |
2,690,000 | 2,716,900 | ||||||
Wind Acquisition Finance Holdings, PIK, 12.250%, 07/15/17, Callable 07/15/13 @ 106.12(a) |
16,837,891 | 12,333,755 | ||||||
Wind Acquisition Finance SA, 7.250%, 02/15/18, Callable 11/15/13 @ 105.44(a) |
27,630,000 | 25,143,300 | ||||||
Windstream Corp., 7.500%, 06/01/22, Callable 06/01/17 @ 103.75(a) |
4,400,000 | 4,389,000 | ||||||
Windstream Corp., 7.500%, 04/01/23, Callable 04/01/16 @ 103.75 |
10,025,000 | 9,899,687 | ||||||
Windstream Corp., 7.750%, 10/15/20, Callable 10/15/15 @ 103.88 |
3,995,000 | 4,129,831 | ||||||
|
|
|||||||
258,913,061 | ||||||||
|
|
|||||||
Textiles (0.2%) |
||||||||
Mohawk Industries, Inc., 6.875%, 01/15/16 |
3,605,000 | 3,875,375 | ||||||
|
|
|||||||
Transportation (1.5%) |
||||||||
CHC Helicopter SA, 9.250%, 10/15/20, Callable 04/15/15 @ 104.63(a) |
17,875,000 | 16,087,500 | ||||||
Martin Midstream Partners LP, 8.875%, 04/01/18, Callable 04/01/14 @ 104.44 |
2,260,000 | 2,327,800 | ||||||
Navios Maritime Acquisition Corp. / Navios Acquisition Finance US Inc., 8.625%, 11/01/17, Callable 11/01/13 @ 104.31 |
3,945,000 | 2,860,125 | ||||||
Navios Maritime Holdings, Inc. / Navios Maritime Finance II US, Inc., 8.125%, 02/15/19, Callable 02/15/15 @ 104.06 |
3,895,000 | 2,901,775 | ||||||
RailAmerica, Inc., 9.250%, 07/01/17, Callable 07/01/13 @ 104.63 |
4,382,000 | 4,787,335 | ||||||
United Maritime Group LLC/Finance Corp., 11.750%, 06/15/15, Callable 12/15/12 @ 105.88 |
1,445,000 | 1,470,287 | ||||||
|
|
|||||||
30,434,822 | ||||||||
|
|
|||||||
Total Corporate Bonds (Cost $1,728,592,139) |
1,730,410,418 | |||||||
|
|
|||||||
Preferred Stock (0.2%) |
||||||||
Diversified Financial Service (0.2%) |
||||||||
Citigroup Capital XII, 8.500%, 03/30/40, Callable 03/30/15 @ 25 |
163,060 | 4,102,590 | ||||||
|
|
|||||||
Total Preferred Stock (Cost $4,076,500) |
4,102,590 | |||||||
|
|
|||||||
Convertible Preferred Stock (0.7%) |
||||||||
Auto Manufacturers (0.7%) |
||||||||
General Motors Co., Series B, 4.750%, 12/01/13 |
421,395 | 14,432,779 | ||||||
|
|
|||||||
Total Convertible Preferred Stock (Cost $18,845,998) |
14,432,779 | |||||||
|
|
|||||||
Short-Term Investment (8.2%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account (g) |
164,142,761 | 164,142,761 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $164,142,761) |
164,142,761 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Money Market Fund (11.2%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(h) |
223,591,060 | 223,591,060 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $223,591,060) |
223,591,060 | |||||||
|
|
|||||||
Total Investments (Cost $2,143,171,499) 106.8% |
2,140,622,739 | |||||||
|
|
|||||||
Liabilities in excess of other assets (6.8)% |
(136,776,852 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 2,003,845,887 | ||||||
|
|
* | Non-income producing security. |
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 31.3% of net assets as of December 31, 2011. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | The Funds adviser/subadviser has deemed this security to be illiquid based upon procedures approved by the Board of Trustees. |
(d) | Security is in default. |
(e) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $158,864,666. |
(f) | Perpetual maturity. |
(g) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(h) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
MTN |
Medium Term Note | |
PIK |
Payment in-kind |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Short-Term Bond Fund | ||||||||
Shares or Principal Amount($) |
Value($) | |||||||
Asset-Backed Securities (9.7%) |
||||||||
Automobiles (4.1%) |
||||||||
Ford Credit Auto Owner Trust, Series 2009-D, Cl A3, 2.170%, 10/15/13 |
511,981 | 514,598 | ||||||
Harley-Davidson Motorcycle Trust, Series 2011-2, Cl A3, 1.110%, 09/15/16 |
2,855,000 | 2,846,504 | ||||||
Honda Auto Receivables Owner Trust, Series 2009-3, Cl A3, 2.310%, 05/15/13 |
895,696 | 899,225 | ||||||
Honda Auto Receivables Owner Trust, Series 2010-2, Cl A3, 1.340%, 03/18/14 |
1,656,230 | 1,663,003 | ||||||
Hyundai Auto Receivables Trust, Series 2011-B, Cl A3, 1.040%, 09/15/15 |
1,300,000 | 1,302,910 | ||||||
Hyundai Auto Receivables Trust, Series 2011-B, Cl A4, 1.650%, 02/15/17 |
1,140,000 | 1,157,489 | ||||||
Mercedes-Benz Auto Lease Trust, Series 2011-B, Cl A3, 1.070%, 08/15/14(a) |
1,985,000 | 1,982,535 | ||||||
World Omni Auto Receivables Trust, Series 2011-A, Cl A3, 1.110%, 05/15/15 |
1,875,000 | 1,880,604 | ||||||
|
|
|||||||
12,246,868 | ||||||||
|
|
|||||||
Credit Card (4.6%) |
||||||||
American Express Credit Account Master Trust, Series 2007-7, Cl A, 0.318%, 02/17/15(b) |
3,560,000 | 3,559,507 | ||||||
Chase Issuance Trust, Series 2005-A2, Cl A2, 0.348%, 12/15/14(b)(c) |
5,825,000 | 5,824,427 | ||||||
Discover Card Master Trust, Series 2008-A4, Cl A4, 5.650%, 12/15/15 |
4,340,000 | 4,644,212 | ||||||
|
|
|||||||
14,028,146 | ||||||||
|
|
|||||||
Other (1.0%) |
||||||||
GE Equipment Transportation LLC, Series 2011-1, Cl A3, 1.000%, 10/20/14 |
1,385,000 | 1,383,355 | ||||||
John Deere Owner Trust, Series 2011-A, Cl A3, 1.290%, 01/15/16 |
1,555,000 | 1,563,562 | ||||||
|
|
|||||||
2,946,917 | ||||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $29,159,900) |
29,221,931 | |||||||
|
|
|||||||
Collateralized Mortgage Obligations (19.3%) |
||||||||
Agency Collateralized Mortgage Obligations (3.0%) |
||||||||
Federal National Mortgage Association, Series 2009-37, Cl HA, 4.000%, 04/25/19 |
2,122,856 | 2,234,223 | ||||||
Federal National Mortgage Association, Series 2011-38, Cl AH, 2.750%, 05/25/20 |
5,476,803 | 5,647,977 | ||||||
NCUA Guaranteed Notes, Series 2010-C1, Cl A1, 1.600%, 10/29/20 |
1,186,981 | 1,202,053 | ||||||
|
|
|||||||
9,084,253 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Securities (12.2%) |
||||||||
Banc of America Commercial Mortgage, Inc., Series 2004-1, Cl A4, 4.760%, 11/10/39 |
1,495,000 | 1,569,589 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-2, Cl AM, 4.913%, 07/10/43(b) |
2,105,000 | 2,192,160 | ||||||
Citigroup Commercial Mortgage Trust, Series 2004-C1, Cl A3, 5.251%, 04/15/40(b) |
2,428,497 | 2,507,505 | ||||||
Commercial Mortgage Asset Trust, Series 1999-C1, Cl A4, 6.975%, 01/17/32(b) |
4,409,630 | 4,561,361 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2001-J2A, Cl A2, 6.096%, 07/16/34(a) |
55,106 | 55,250 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-C5, Cl A3, 4.499%, 11/15/37 |
2,375,176 | 2,373,915 | ||||||
CS First Boston Mortgage Securities Corp., Series 2005-C5, Cl AM, 5.100%, 08/15/38(b) |
2,095,000 | 2,193,276 | ||||||
GE Capital Commercial Mortgage Corp., Series 2004-C2, Cl A3, 4.641%, 03/10/40 |
919,718 | 940,950 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C2, Cl A2, 5.453%, 05/10/40(b) |
5,555,000 | 5,856,536 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Cl A2, 4.305%, 08/10/42 |
822,193 | 821,672 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Series 2005-LDP1, Cl A2, 4.625%, 03/15/46 |
1,308,216 | 1,324,339 |
See Notes to Schedules of Portfolio Investments.
LB Commercial Conduit Mortgage Trust, Series 1998-C1, Cl D, 6.980%, 02/18/30 |
731,581 | 745,945 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2004-C4, Cl A4, 5.320%, 06/15/29(b) |
4,575,000 | 4,902,716 | ||||||
Merrill Lynch Mortgage Trust, Series 2004-BPC1, Cl A3, 4.467%, 10/12/41(b) |
297,804 | 300,484 | ||||||
Merrill Lynch Mortgage Trust, Series 2005-CIP1, Cl AM, 5.107%, 07/12/38(b) |
1,585,000 | 1,662,088 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C16, Cl A2, 4.380%, 10/15/41 |
810,782 | 810,304 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Cl A4, 5.269%, 12/15/44(b) |
3,800,000 | 4,181,440 | ||||||
|
|
|||||||
36,999,530 | ||||||||
|
|
|||||||
Whole Loan Collateral Mortgage Obligations (4.1%) |
||||||||
CS First Boston Mortgage Securities Corp., Series 2004-1, Cl 4A1, 5.000%, 02/25/19 |
2,075,343 | 2,111,288 | ||||||
FDIC Structured Sale Guaranteed Notes, Series 2010-L2A, Cl A, 3.000%, 09/30/19(a) |
1,975,215 | 1,987,412 | ||||||
First Horizon Mortgage Pass-Through Trust, Series 2004-AR4, Cl 2A1, 2.723%, 08/25/34(b) |
1,250,285 | 1,068,381 | ||||||
MASTR Alternative Loans Trust, Series 2004-5, Cl 4A1, 5.500%, 07/25/19(c) |
2,138,242 | 2,202,175 | ||||||
Provident Funding Mortgage Loan Trust, Series 2004-1, Cl 1A1, 2.619%, 04/25/34(b) |
760,626 | 709,548 | ||||||
Residential Funding Mortgage Securities I, Series 2004-S3, Cl A1, 4.750%, 03/25/19 |
971,980 | 994,552 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S12, Cl 2A, 4.750%, 11/25/18 |
639,005 | 656,881 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Cl 1A1, 6.000%, 12/28/37 |
2,628,058 | 2,696,072 | ||||||
|
|
|||||||
12,426,309 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $57,884,052) |
58,510,092 | |||||||
|
|
|||||||
Corporate Bonds (40.2%) |
||||||||
Auto Manufacturers (0.8%) |
||||||||
Daimler Finance North America LLC, 1.950%, 03/28/14(a) |
1,810,000 | 1,804,789 | ||||||
Kia Motors Corp., 3.625%, 06/14/16(a) |
500,000 | 495,677 | ||||||
|
|
|||||||
2,300,466 | ||||||||
|
|
|||||||
Banks (12.5%) |
||||||||
Bank of America Corp., 3.625%, 03/17/16 |
860,000 | 792,732 | ||||||
Bank of Montreal, 1.750%, 04/29/14, MTN |
1,680,000 | 1,706,791 | ||||||
Bank of Nova Scotia, 2.250%, 01/22/13 |
2,155,000 | 2,184,448 | ||||||
Bank of Nova Scotia, 2.375%, 12/17/13 |
1,625,000 | 1,668,386 | ||||||
BB&T Corp., 5.700%, 04/30/14, MTN |
3,765,000 | 4,118,857 | ||||||
Capital One Financial Corp., 7.375%, 05/23/14 |
1,500,000 | 1,648,068 | ||||||
Commonwealth Bank of Australia, 3.500%, 03/19/15(a) |
1,035,000 | 1,056,797 | ||||||
Fifth Third Bancorp, 3.625%, 01/25/16 |
1,480,000 | 1,501,596 | ||||||
JPMorgan Chase & Co., 3.150%, 07/05/16 |
1,875,000 | 1,883,775 | ||||||
JPMorgan Chase & Co., 5.750%, 01/02/13 |
3,145,000 | 3,262,434 | ||||||
PNC Funding Corp., 5.400%, 06/10/14 |
990,000 | 1,082,630 | ||||||
Royal Bank of Canada, 2.300%, 07/20/16, MTN |
4,250,000 | 4,320,312 | ||||||
Toronto-Dominion Bank (The), 1.375%, 07/14/14 |
1,360,000 | 1,376,040 | ||||||
US Bancorp, 4.200%, 05/15/14 |
2,115,000 | 2,264,368 | ||||||
Wells Fargo & Co., 3.625%, 04/15/15 |
2,245,000 | 2,350,167 | ||||||
Westpac Banking Corp., 2.250%, 11/19/12 |
1,455,000 | 1,469,464 | ||||||
Westpac Banking Corp., 4.200%, 02/27/15 |
4,790,000 | 4,992,301 | ||||||
|
|
|||||||
37,679,166 | ||||||||
|
|
|||||||
Beverages (1.3%) |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 3.625%, 04/15/15 |
1,870,000 | 1,991,262 | ||||||
Bottling Group LLC, 6.950%, 03/15/14 |
605,000 | 680,030 | ||||||
Dr. Pepper Snapple Group, Inc., 2.350%, 12/21/12 |
1,300,000 | 1,318,003 | ||||||
|
|
|||||||
3,989,295 | ||||||||
|
|
|||||||
Chemicals (0.5%) |
||||||||
Dow Chemical Co. (The), 4.850%, 08/15/12 |
1,540,000 | 1,575,537 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Computers (0.7%) |
| |||||||
IBM Corp., 2.000%, 01/05/16 |
2,150,000 | 2,205,292 | ||||||
|
|
|||||||
Diversified Financial Services (9.4%) |
||||||||
American Express Credit Corp., Series C, 5.875%, 05/02/13 |
2,010,000 | 2,112,822 | ||||||
American Honda Finance Corp., 1.850%, 09/19/14(a) |
1,780,000 | 1,788,339 | ||||||
BlackRock, Inc., 2.250%, 12/10/12 |
2,685,000 | 2,721,288 | ||||||
Citigroup, Inc., 5.500%, 04/11/13 |
3,110,000 | 3,175,071 | ||||||
General Electric Capital Corp., 2.100%, 01/07/14 |
3,035,000 | 3,080,434 | ||||||
General Electric Capital Corp., 4.875%, 03/04/15 |
3,855,000 | 4,182,459 | ||||||
Goldman Sachs Group, Inc. (The), 3.700%, 08/01/15 |
1,735,000 | 1,699,786 | ||||||
Goldman Sachs Group, Inc. (The), 5.150%, 01/15/14 |
1,730,000 | 1,762,927 | ||||||
Merrill Lynch & Co., Inc., Series C,, 5.000%, 02/03/14, MTN |
1,455,000 | 1,447,515 | ||||||
Morgan Stanley, 4.200%, 11/20/14 |
3,780,000 | 3,645,587 | ||||||
TD AMERITRADE Holding Corp., 4.150%, 12/01/14 |
995,000 | 1,051,605 | ||||||
Woodside Finance Ltd., 4.500%, 11/10/14(a) |
1,800,000 | 1,895,236 | ||||||
|
|
|||||||
28,563,069 | ||||||||
|
|
|||||||
Electric (1.1%) |
||||||||
Dominion Resources, Inc., Series B, 6.250%, 06/30/12 |
1,385,000 | 1,421,402 | ||||||
Duke Energy Corp., 6.300%, 02/01/14 |
1,765,000 | 1,947,296 | ||||||
|
|
|||||||
3,368,698 | ||||||||
|
|
|||||||
Electronics (0.4%) |
||||||||
Thermo Fisher Scientific, Inc., 2.150%, 12/28/12 |
300,000 | 303,601 | ||||||
Thermo Fisher Scientific, Inc., 3.200%, 03/01/16 |
705,000 | 744,711 | ||||||
|
|
|||||||
1,048,312 | ||||||||
|
|
|||||||
Food (0.5%) |
||||||||
General Mills, Inc., 5.200%, 03/17/15 |
1,450,000 | 1,615,290 | ||||||
|
|
|||||||
Healthcare - Services (0.1%) |
||||||||
UnitedHealth Group, Inc., 1.875%, 11/15/16 |
340,000 | 339,949 | ||||||
|
|
|||||||
Insurance (3.1%) |
||||||||
Berkshire Hathaway Finance Corp., 5.000%, 08/15/13 |
1,635,000 | 1,741,031 | ||||||
MetLife, Inc., 5.500%, 06/15/14 |
2,715,000 | 2,961,997 | ||||||
New York Life Global Funding, 3.000%, 05/04/15(a) |
1,530,000 | 1,602,392 | ||||||
Pricoa Global Funding I, 5.450%, 06/11/14(a) |
1,000,000 | 1,080,789 | ||||||
Prudential Financial, Inc., 5.150%, 01/15/13, MTN |
2,000,000 | 2,070,592 | ||||||
|
|
|||||||
9,456,801 | ||||||||
|
|
|||||||
Machinery-Construction & Mining (0.8%) |
||||||||
Caterpillar, Inc., 1.375%, 05/27/14 |
2,475,000 | 2,503,933 | ||||||
|
|
|||||||
Media (1.9%) |
||||||||
Comcast Corp., 5.300%, 01/15/14 |
1,915,000 | 2,063,512 | ||||||
DIRECTV Holdings LLC, 7.625%, 05/15/16 |
1,170,000 | 1,241,662 | ||||||
Time Warner Cable, Inc., 5.400%, 07/02/12 |
1,870,000 | 1,912,165 | ||||||
Time Warner, Inc., 3.150%, 07/15/15 |
615,000 | 639,674 | ||||||
|
|
|||||||
5,857,013 | ||||||||
|
|
|||||||
Mining (0.4%) |
||||||||
Rio Tinto Alcan, Inc., 4.875%, 09/15/12 |
1,230,000 | 1,263,540 | ||||||
|
|
|||||||
Miscellaneous Manufacturer (0.4%) |
||||||||
Ingersoll-Rand Global Holding Co. Ltd., 6.000%, 08/15/13 |
985,000 | 1,052,925 | ||||||
|
|
|||||||
Pharmaceuticals (0.6%) |
||||||||
McKesson Corp., 5.250%, 03/01/13 |
850,000 | 891,984 | ||||||
McKesson Corp., 6.500%, 02/15/14 |
850,000 | 940,683 | ||||||
|
|
|||||||
1,832,667 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Pipelines (2.5%) |
| |||||||
Energy Transfer Partners LP, 5.650%, 08/01/12 |
1,400,000 | 1,430,339 | ||||||
Enterprise Products Operating LLC, Series G, 5.600%, 10/15/14 |
710,000 | 777,924 | ||||||
Enterprise Products Operating LLC, Series M, 5.650%, 04/01/13 |
1,250,000 | 1,308,776 | ||||||
Kinder Morgan Energy Partners LP, 7.125%, 03/15/12 |
1,640,000 | 1,658,742 | ||||||
Plains All American Pipeline LP, 4.250%, 09/01/12 |
1,945,000 | 1,984,027 | ||||||
Williams Partners LP, 3.800%, 02/15/15 |
260,000 | 272,946 | ||||||
|
|
|||||||
7,432,754 | ||||||||
|
|
|||||||
Retail (0.8%) |
||||||||
Nordstrom, Inc., 6.750%, 06/01/14 |
490,000 | 549,454 | ||||||
Wal-Mart Stores, Inc., 1.500%, 10/25/15 |
1,690,000 | 1,716,533 | ||||||
|
|
|||||||
2,265,987 | ||||||||
|
|
|||||||
Semiconductors (0.4%) |
||||||||
Texas Instruments, Inc., 1.375%, 05/15/14 |
1,170,000 | 1,184,562 | ||||||
|
|
|||||||
Telecommunication Services (1.5%) |
||||||||
Verizon Communications, Inc., 1.250%, 11/03/14 |
1,455,000 | 1,462,196 | ||||||
Verizon Communications, Inc., 1.950%, 03/28/14 |
2,080,000 | 2,122,964 | ||||||
Verizon Communications, Inc., 3.000%, 04/01/16 |
845,000 | 884,876 | ||||||
|
|
|||||||
4,470,036 | ||||||||
|
|
|||||||
Toys/Games/Hobbies (0.5%) |
||||||||
Mattel, Inc., 5.625%, 03/15/13 |
1,550,000 | 1,628,568 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $120,247,036) |
121,633,860 | |||||||
|
|
|||||||
Municipal Bond (1.6%) |
||||||||
New Jersey (1.6%) |
||||||||
New Jersey Economic Development Authority, RB, BAB, 1.546%, 06/15/13(b) |
4,930,000 | 4,931,085 | ||||||
|
|
|||||||
Total Municipal Bond (Cost $4,930,000) |
4,931,085 | |||||||
|
|
|||||||
U.S. Government Agencies (7.2%) |
||||||||
Federal Agricultural Mortgage Corp. (1.4%) |
||||||||
2.000%, 07/27/16 |
4,305,000 | 4,422,526 | ||||||
|
|
|||||||
Federal Home Loan Mortgage Corp. (3.9%) |
||||||||
0.700%, 07/25/13 |
5,700,000 | 5,700,986 | ||||||
0.700%, 11/04/13 |
2,940,000 | 2,941,699 | ||||||
1.350%, 01/06/15 |
2,935,000 | 2,935,197 | ||||||
|
|
|||||||
11,577,882 | ||||||||
|
|
|||||||
Federal National Mortgage Association (1.9%) |
||||||||
1.250%, 07/18/14 |
5,775,000 | 5,776,577 | ||||||
|
|
|||||||
Total U.S. Government Agencies (Cost $21,659,177) |
21,776,985 | |||||||
|
|
|||||||
U.S. Government Agency Mortgages (13.2%) |
||||||||
Federal Home Loan Mortgage Corporation (1.6%) |
||||||||
Pool #847276, 2.621%, 04/01/34 (b) |
581,876 | 612,221 | ||||||
Pool #1B7142, 2.599%, 09/01/36 (b) |
1,061,330 | 1,129,328 | ||||||
Pool #1G1676, 5.481%, 04/01/37 (b) |
2,742,520 | 2,950,564 | ||||||
|
|
|||||||
4,692,113 | ||||||||
|
|
|||||||
Federal National Mortgage Association (11.6%) |
||||||||
Pool #555162, 4.826%, 01/01/13 |
1,191,199 | 1,216,159 | ||||||
Pool #555290, 4.927%, 02/01/13 |
2,480,399 | 2,518,096 | ||||||
Pool #873294, 5.100%, 02/01/13 |
4,665,931 | 4,816,404 | ||||||
Pool #735065, 4.484%, 08/01/13 |
2,002,247 | 2,047,064 | ||||||
Pool #555910, 4.919%, 10/01/13 |
2,511,843 | 2,611,035 |
See Notes to Schedules of Portfolio Investments.
Pool #958368, 4.710%, 03/01/14 |
5,290,388 | 5,600,726 | ||||||
Pool #725877, 5.072%, 09/01/14 |
298,793 | 320,138 | ||||||
Pool #466534, 2.040%, 11/01/15 |
3,605,000 | 3,690,578 | ||||||
Pool #466598, 2.180%, 11/01/15 |
2,055,000 | 2,111,027 | ||||||
Pool #462085, 5.315%, 11/01/15 |
1,697,559 | 1,898,352 | ||||||
Pool #745889, 5.970%, 08/01/16 |
4,779,159 | 5,465,152 | ||||||
Pool #555844, 2.349%, 10/01/33(b) |
344,412 | 362,474 | ||||||
Pool #822302, 2.587%, 05/01/35(b) |
2,311,634 | 2,449,252 | ||||||
|
|
|||||||
35,106,457 | ||||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $38,576,819) |
39,798,570 | |||||||
|
|
|||||||
U.S. Treasury Obligations (5.4%) |
||||||||
U.S. Treasury Bill (3.9%) |
||||||||
0.000%, 03/22/12 |
12,000,000 | 11,999,544 | ||||||
|
|
|||||||
U.S. Treasury Notes (1.5%) |
||||||||
0.500%, 08/15/14 |
1,130,000 | 1,135,120 | ||||||
0.250%, 09/15/14 |
200,000 | 199,500 | ||||||
0.500%, 10/15/14 |
840,000 | 843,478 | ||||||
1.000%, 09/30/16 |
2,050,000 | 2,071,140 | ||||||
|
|
|||||||
4,249,238 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $16,221,068) |
16,248,782 | |||||||
|
|
|||||||
Money Market Fund (2.5%) |
||||||||
State Street Institutional U.S. Government Money Market Fund, Institutional Class, 0.00%(d) |
7,699,175 | 7,699,175 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $7,699,175) |
7,699,175 | |||||||
|
|
|||||||
Total Investments (Cost $296,377,227) 99.1% |
299,820,480 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.9% |
2,644,912 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 302,465,392 | ||||||
|
|
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 4.6% of net assets as of December 31, 2011. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(d) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
BAB | Build America Bonds | |
MTN | Medium Term Note | |
RB | Revenue Bond |
Open Futures Contracts
At December 31, 2011, the Funds open futures contracts were as follows:
Description |
Position | Notional Amount($) |
Expiration Date |
Number of Contracts |
Unrealized (Depreciation)($) |
|||||||||||||||
U.S. Treasury 5 Year Note |
Short | (14,724,895 | ) | March 2012 | 120 | (66,043 | ) |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Short-Term U.S. Treasury Securities Fund
Shares or Principal Amount($) |
Value($) | |||||||
U.S. Treasury Obligations (96.5%) |
||||||||
U.S. Treasury Notes (96.5%) |
||||||||
4.625%, 02/29/12 |
1,140,000 | 1,148,149 | ||||||
1.000%, 04/30/12 |
1,420,000 | 1,424,437 | ||||||
1.750%, 08/15/12 |
2,160,000 | 2,181,937 | ||||||
4.125%, 08/31/12 |
1,440,000 | 1,477,968 | ||||||
1.375%, 01/15/13 |
2,480,000 | 2,510,807 | ||||||
3.125%, 04/30/13 |
1,580,000 | 1,640,917 | ||||||
1.125%, 06/15/13 |
3,525,000 | 3,571,403 | ||||||
2.000%, 11/30/13 |
1,745,000 | 1,802,599 | ||||||
0.375%, 11/15/14 |
1,000,000 | 1,000,625 | ||||||
2.375%, 02/28/15 |
720,000 | 763,932 | ||||||
2.500%, 04/30/15 |
3,080,000 | 3,286,939 | ||||||
1.750%, 07/31/15 |
295,000 | 307,906 | ||||||
|
|
|||||||
21,117,619 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $20,835,080) |
21,117,619 | |||||||
|
|
|||||||
Money Market Fund (3.5%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(a) |
760,823 | 760,823 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $760,823) |
760,823 | |||||||
|
|
|||||||
Total Investments (Cost $21,595,903) 100.0% |
21,878,442 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.0%(b) |
2,416 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 21,880,858 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
(b) | Less than 0.05% of Net Assets. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Total Return Bond Fund
Shares
or Principal Amount($) |
Value($) | |||||||
Asset-Backed Securities (1.0%) |
||||||||
Home Equity (0.5%) |
||||||||
HSBC Home Equity Loan Trust, Series 2005-1, Cl M, 0.815%, 01/20/34(a) |
1,748,340 | 1,469,323 | ||||||
HSBC Home Equity Loan Trust, Series 2006-2, Cl A1, 0.435%, 03/20/36(a) |
3,526,998 | 3,258,300 | ||||||
|
|
|||||||
4,727,623 | ||||||||
|
|
|||||||
Manufactured Housing (0.5%) |
||||||||
Newcastle Investment Trust, Series 2010-MH1, Cl M1, 6.000%, 07/10/35(b) |
4,160,000 | 4,328,984 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $9,083,099) |
|
9,056,607 | ||||||
|
|
|||||||
Collateralized Mortgage Obligations (12.9%) |
||||||||
Agency Collateralized Mortgage Obligations (9.1%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3703, Cl CF, 0.478%, 11/15/23(a) |
1,355,038 | 1,350,359 | ||||||
Federal Home Loan Mortgage Corporation, Series 3768, Cl CB, 3.500%, 12/15/25 |
2,022,874 | 2,114,789 | ||||||
Federal Home Loan Mortgage Corporation, Series 3774, Cl EW, 3.500%, 12/15/25 |
2,243,855 | 2,356,384 | ||||||
Federal Home Loan Mortgage Corporation, Series 3800, Cl BE, 3.500%, 02/15/26 |
2,699,707 | 2,831,227 | ||||||
Federal Home Loan Mortgage Corporation, Series 3800, Cl CB, 3.500%, 02/15/26 |
2,382,000 | 2,504,686 | ||||||
Federal Home Loan Mortgage Corporation, Series 3806, Cl L, 3.500%, 02/15/26 |
6,609,442 | 6,893,625 | ||||||
Federal Home Loan Mortgage Corporation, Series 3814, Cl B, 3.000%, 02/15/26 |
4,614,025 | 4,713,582 | ||||||
Federal Home Loan Mortgage Corporation, Series 3816, Cl GL, 3.000%, 02/15/26 |
2,865,000 | 2,923,356 | ||||||
Federal Home Loan Mortgage Corporation, Series 3826, Cl BK, 3.000%, 03/15/26 |
6,680,591 | 6,819,040 | ||||||
Federal Home Loan Mortgage Corporation, Series 3829, Cl BE, 3.500%, 03/15/26 |
3,173,000 | 3,330,308 | ||||||
Federal Home Loan Mortgage Corporation, Series 3877, Cl LM, 3.500%, 06/15/26 |
1,367,000 | 1,425,518 | ||||||
Federal Home Loan Mortgage Corporation, Series 3907, Cl FM, 0.628%, 05/15/26(a) |
4,803,953 | 4,803,919 | ||||||
Federal Home Loan Mortgage Corporation, Series 3907, Cl MF, 0.628%, 08/15/26(a) |
2,752,020 | 2,751,169 | ||||||
Federal Home Loan Mortgage Corporation, Series 3942, Cl KB,, 3.000%, 10/15/26 |
4,411,556 | 4,430,715 | ||||||
Federal National Mortgage Association, Series 2010-144, Cl YB, 3.000%, 12/25/25 |
6,365,471 | 6,520,201 | ||||||
Federal National Mortgage Association, Series 2011-36, Cl DB, 3.000%, 05/25/26 |
5,692,120 | 5,823,767 | ||||||
Federal National Mortgage Association, Series 2011-44, Cl EB, 3.000%, 05/25/26 |
4,869,000 | 4,962,051 | ||||||
Federal National Mortgage Association, Series 2011-45, Cl ZA, 4.000%, 05/25/31 |
3,943,603 | 4,156,486 | ||||||
Federal National Mortgage Association, Series 2011-46, Cl B, 3.000%, 05/25/26 |
645,000 | 658,652 | ||||||
Federal National Mortgage Association, Series 2011-98, Cl FL, 0.594%, 10/25/26(a) |
2,477,766 | 2,475,193 | ||||||
Federal National Mortgage Association, Series 2011-98, Cl VE,, 3.500%, 06/25/26 |
6,350,000 | 6,516,053 | ||||||
Government National Mortgage Association, Series 2011-17, Cl B, 4.000%, 02/16/26 |
900,232 | 1,004,520 | ||||||
|
|
|||||||
81,365,600 | ||||||||
|
|
|||||||
Agency Collateralized Planned Amortization Class Mortgage Obligations (0.8%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3745, Cl VE, 4.000%, 09/15/29 |
1,630,994 | 1,720,476 | ||||||
Federal Home Loan Mortgage Corporation, Series 3762, Cl BV, 4.000%, 10/15/29 |
1,513,000 | 1,576,257 | ||||||
Federal Home Loan Mortgage Corporation, Series 3763, Cl VQ, 4.000%, 07/15/27 |
929,000 | 982,365 | ||||||
Federal National Mortgage Association, Series 2011-8, Cl PV, 4.000%, 01/25/30 |
726,000 | 756,338 | ||||||
Government National Mortgage Association, Series 2010-167, Cl VA, 4.250%, 11/20/29 |
1,630,000 | 1,798,676 | ||||||
|
|
|||||||
6,834,112 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Securities (3.0%) |
||||||||
Americold LLC Trust, Series 2010-ARTA, Cl A2FX, 4.954%, 01/14/29(b) |
2,662,000 | 2,915,872 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-3, Cl A3B, 5.090%, 07/10/43(a) |
3,902,000 | 4,089,035 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2005-6, Cl AM, 5.193%, 09/10/47(a) |
3,321,000 | 3,539,781 | ||||||
Morgan Stanley Reremic Trust, Series 2010-HQ4B, Cl A7A, 4.970%, 04/16/40(a)(b) |
2,700,000 | 2,813,143 |
See Notes to Schedules of Portfolio Investments.
RBSCF Trust, Series 2010-RR3, Cl MS4A, 4.970%, 04/16/40(a)(b) |
5,030,000 | 5,263,201 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C20, Cl AMFX, 5.179%, 07/15/42(a) |
4,590,000 | 4,816,379 | ||||||
Wachovia Bank Commercial Mortgage Trust, Series 2005-C21, Cl AM, 5.204%, 10/15/44(a) |
3,142,000 | 3,324,330 | ||||||
|
|
|||||||
26,761,741 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $104,625,123) |
|
114,961,453 | ||||||
|
|
|||||||
Corporate Bonds (24.8%) |
||||||||
Aerospace/Defense (0.8%) |
||||||||
Boeing Co. (The), 5.125%, 02/15/13 |
1,622,000 | 1,700,536 | ||||||
Raytheon Co., 1.400%, 12/15/14 |
2,008,000 | 2,017,727 | ||||||
United Technologies Corp., 6.125%, 02/01/19 |
2,724,000 | 3,366,000 | ||||||
|
|
|||||||
7,084,263 | ||||||||
|
|
|||||||
Auto Manufacturers (0.2%) |
||||||||
Daimler Finance N.A. LLC, 3.875%, 09/15/21(b) |
1,476,000 | 1,483,294 | ||||||
|
|
|||||||
Banks (0.9%) |
||||||||
HSBC Bank PLC, 3.100%, 05/24/16(b) |
1,037,000 | 1,037,061 | ||||||
HSBC Bank PLC, 3.500%, 06/28/15(b) |
1,698,000 | 1,711,710 | ||||||
JPMorgan Chase & Co., 4.400%, 07/22/20 |
2,225,000 | 2,272,206 | ||||||
JPMorgan Chase & Co., 6.300%, 04/23/19 |
997,000 | 1,129,238 | ||||||
Northern Trust Corp., 5.200%, 11/09/12 |
1,783,000 | 1,847,833 | ||||||
|
|
|||||||
7,998,048 | ||||||||
|
|
|||||||
Beverages (0.3%) |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 3.000%, 10/15/12 |
1,740,000 | 1,767,234 | ||||||
Diageo Capital PLC, 5.200%, 01/30/13 |
999,000 | 1,046,153 | ||||||
|
|
|||||||
2,813,387 | ||||||||
|
|
|||||||
Biotechnology (0.1%) |
||||||||
Life Technologies Corp., 5.000%, 01/15/21, Callable 10/15/20 @ 100 |
438,000 | 458,302 | ||||||
|
|
|||||||
Chemicals (1.0%) |
||||||||
Air Products & Chemicals, Inc., 4.150%, 02/01/13 |
1,046,000 | 1,085,714 | ||||||
E.I. du Pont de Nemours & Co., 4.250%, 04/01/21 |
1,006,000 | 1,136,875 | ||||||
E.I. du Pont de Nemours & Co., 5.000%, 07/15/13 |
1,182,000 | 1,255,666 | ||||||
Praxair, Inc., 1.750%, 11/15/12 |
2,959,000 | 2,984,237 | ||||||
Praxair, Inc., 4.625%, 03/30/15 |
1,953,000 | 2,155,780 | ||||||
|
|
|||||||
8,618,272 | ||||||||
|
|
|||||||
Commercial Services (0.4%) |
||||||||
ERAC USA Finance LLC, 5.250%, 10/01/20(b) |
1,317,000 | 1,419,917 | ||||||
ERAC USA Finance LLC, 5.600%, 05/01/15(b) |
1,066,000 | 1,165,841 | ||||||
ERAC USA Finance LLC, 5.800%, 10/15/12(b) |
1,428,000 | 1,477,347 | ||||||
|
|
|||||||
4,063,105 | ||||||||
|
|
|||||||
Computers (1.1%) |
||||||||
Hewlett-Packard Co., 4.375%, 09/15/21 |
2,772,000 | 2,860,823 | ||||||
Hewlett-Packard Co., 4.500%, 03/01/13 |
840,000 | 863,897 | ||||||
IBM Corp., 0.875%, 10/31/14 |
4,354,000 | 4,355,568 | ||||||
IBM Corp., 5.600%, 11/30/39 |
1,437,000 | 1,846,085 | ||||||
|
|
|||||||
9,926,373 | ||||||||
|
|
|||||||
Diversified Financial Services (2.3%) |
||||||||
ABB Treasury Center USA, Inc., 4.000%, 06/15/21(b) |
1,351,000 | 1,387,865 | ||||||
CME Group, Inc., 5.400%, 08/01/13 |
1,230,000 | 1,310,729 | ||||||
CME Group, Inc., 5.750%, 02/15/14 |
1,428,000 | 1,556,541 | ||||||
Ford Motor Credit Co. LLC, 5.000%, 05/15/18 |
2,343,000 | 2,349,075 | ||||||
John Deere Capital Corp., 1.250%, 12/02/14, MTN |
1,699,000 | 1,717,417 |
See Notes to Schedules of Portfolio Investments.
Lazard Group LLC, 7.125%, 05/15/15 |
1,781,000 | 1,912,413 | ||||||
MassMutual Global Funding LLC, 2.300%, 09/28/15(b) |
1,174,000 | 1,178,671 | ||||||
NASDAQ OMX Group, Inc. (The), 5.550%, 01/15/20 |
1,560,000 | 1,598,219 | ||||||
PACCAR Financial Corp., 1.550%, 09/29/14, MTN |
2,494,000 | 2,523,344 | ||||||
TIAA Global Markets, Inc., 5.125%, 10/10/12(b) |
1,572,000 | 1,621,919 | ||||||
Toyota Motor Credit Corp., 3.200%, 06/17/15, MTN |
863,000 | 907,717 | ||||||
Woodside Finance Ltd., 4.600%, 05/10/21, Callable 02/10/2021 @ 100(b) |
2,954,000 | 3,016,235 | ||||||
|
|
|||||||
21,080,145 | ||||||||
|
|
|||||||
Electric (1.1%) |
||||||||
Alabama Power Co., 5.800%, 11/15/13 |
1,240,000 | 1,350,806 | ||||||
Dominion Resources, Inc., 1.950%, 08/15/16 |
622,000 | 625,063 | ||||||
Duke Energy Carolinas LLC, 4.300%, 06/15/20 |
467,000 | 525,988 | ||||||
Exelon Generation Co. LLC, 6.200%, 10/01/17 |
1,441,000 | 1,654,778 | ||||||
Georgia Power Co., 6.000%, 11/01/13 |
704,000 | 768,821 | ||||||
MidAmerican Energy Holdings Co., 6.125%, 04/01/36 |
1,278,000 | 1,526,378 | ||||||
Public Service Co. of Colorado, Series 17, 6.250%, 09/01/37 |
811,000 | 1,091,797 | ||||||
Southern California Edison Co., 5.750%, 03/15/14 |
1,083,000 | 1,192,956 | ||||||
Wisconsin Power & Light Co., 6.375%, 08/15/37 |
642,000 | 876,771 | ||||||
|
|
|||||||
9,613,358 | ||||||||
|
|
|||||||
Electronics (0.1%) |
||||||||
Thermo Fisher Scientific, Inc., 2.250%, 08/15/16 |
707,000 | 720,767 | ||||||
|
|
|||||||
Food (0.4%) |
||||||||
Kellogg Co., 4.250%, 03/06/13 |
1,266,000 | 1,314,557 | ||||||
Kraft Foods, Inc., 6.500%, 02/09/40 |
1,138,000 | 1,480,470 | ||||||
Kroger Co. (The), 7.500%, 01/15/14 |
678,000 | 757,719 | ||||||
|
|
|||||||
3,552,746 | ||||||||
|
|
|||||||
Healthcare - Products (0.4%) |
||||||||
Becton Dickinson and Co., 3.250%, 11/12/20 |
509,000 | 527,126 | ||||||
Covidien International Finance SA, 6.000%, 10/15/17 |
1,562,000 | 1,850,972 | ||||||
Stryker Corp., 2.000%, 09/30/16 |
1,109,000 | 1,134,875 | ||||||
|
|
|||||||
3,512,973 | ||||||||
|
|
|||||||
Healthcare - Services (0.3%) |
||||||||
Roche Holdings, Inc., 7.000%, 03/01/39(b) |
2,244,000 | 3,179,607 | ||||||
|
|
|||||||
Insurance (1.2%) |
||||||||
Berkshire Hathaway, Inc., 3.200%, 02/11/15 |
2,744,000 | 2,909,085 | ||||||
Berkshire Hathaway, Inc., 4.600%, 05/15/13 |
1,441,000 | 1,515,704 | ||||||
Fairfax Financial Holdings Ltd., 5.800%, 05/15/21(b) |
986,000 | 939,852 | ||||||
Nationwide Financial Services, Inc., 5.375%, 03/25/21(b) |
2,679,000 | 2,631,437 | ||||||
OneBeacon U.S. Holdings, Inc., 5.875%, 05/15/13 |
706,000 | 725,570 | ||||||
Progressive Corp. (The), 3.750%, 08/23/21 |
395,000 | 410,452 | ||||||
Teachers Insurance & Annuity Association of America, 6.850%, 12/16/39(b) |
1,144,000 | 1,468,212 | ||||||
|
|
|||||||
10,600,312 | ||||||||
|
|
|||||||
Media (1.0%) |
||||||||
Comcast Corp., 6.450%, 03/15/37 |
811,000 | 983,129 | ||||||
NBC Universal Media LLC, 5.950%, 04/01/41 |
1,372,000 | 1,612,668 | ||||||
Thomson Reuters Corp., 5.950%, 07/15/13 |
293,000 | 312,189 | ||||||
Time Warner Cable, Inc., 5.850%, 05/01/17 |
3,393,000 | 3,864,043 | ||||||
Time Warner Cable, Inc., 8.250%, 02/14/14 |
1,322,000 | 1,490,100 | ||||||
Time Warner, Inc., 6.200%, 03/15/40 |
403,000 | 474,696 | ||||||
|
|
|||||||
8,736,825 | ||||||||
|
|
|||||||
Mining (1.1%) |
||||||||
Barrick (PD) Australia Finance Property Ltd., 4.950%, 01/15/20 |
551,000 | 611,677 | ||||||
Barrick (PD) Australia Finance Property Ltd., 5.950%, 10/15/39 |
1,218,000 | 1,410,062 | ||||||
Barrick International Barbados Corp., 6.350%, 10/15/36(b) |
975,000 | 1,204,988 |
See Notes to Schedules of Portfolio Investments.
BHP Billiton Finance USA Ltd., 1.125%, 11/21/14 |
1,749,000 | 1,753,105 | ||||||
Kinross Gold Corp., 5.125%, 09/01/21(b)(c) |
2,647,000 | 2,597,813 | ||||||
Newmont Mining Corp., 6.250%, 10/01/39 |
2,194,000 | 2,597,722 | ||||||
|
|
|||||||
10,175,367 | ||||||||
|
|
|||||||
Miscellaneous Manufacturer (1.2%) |
||||||||
3M Co., 1.375%, 09/29/16 |
1,108,000 | 1,117,509 | ||||||
Danaher Corp., 3.900%, 06/23/21, Callable 03/23/2021 @ 100 |
1,192,000 | 1,315,962 | ||||||
General Electric Co., 5.000%, 02/01/13 |
3,677,000 | 3,831,783 | ||||||
General Electric Co., 5.250%, 12/06/17 |
994,000 | 1,140,876 | ||||||
Illinois Tool Works, Inc., 6.250%, 04/01/19 |
1,865,000 | 2,301,485 | ||||||
Siemens Financieringsmat, 6.125%, 08/17/26(b) |
982,000 | 1,192,074 | ||||||
|
|
|||||||
10,899,689 | ||||||||
|
|
|||||||
Office/Business Equip (0.3%) |
||||||||
Xerox Corp., 5.500%, 05/15/12 |
915,000 | 930,172 | ||||||
Xerox Corp., 6.350%, 05/15/18 |
1,424,000 | 1,604,079 | ||||||
|
|
|||||||
2,534,251 | ||||||||
|
|
|||||||
Oil & Gas (1.2%) |
||||||||
BP Capital Markets PLC, 2.248%, 11/01/16 |
2,158,000 | 2,171,761 | ||||||
Ensco PLC, 4.700%, 03/15/21 |
1,771,000 | 1,844,330 | ||||||
Shell International Finance BV, 6.375%, 12/15/38 |
3,629,000 | 4,994,633 | ||||||
Statoil ASA, 3.125%, 08/17/17 |
380,000 | 400,786 | ||||||
Total Capital SA, 3.000%, 06/24/15 |
1,043,000 | 1,102,348 | ||||||
|
|
|||||||
10,513,858 | ||||||||
|
|
|||||||
Oil & Gas Services (0.6%) |
||||||||
Baker Hughes, Inc., 5.125%, 09/15/40 |
1,333,000 | 1,558,686 | ||||||
Schlumberger Investment SA, 3.300%, 09/14/21(b) |
1,729,000 | 1,776,266 | ||||||
Weatherford International Ltd., 5.125%, 09/15/20 |
1,089,000 | 1,131,665 | ||||||
Weatherford International Ltd., 6.500%, 08/01/36 |
1,031,000 | 1,122,840 | ||||||
|
|
|||||||
5,589,457 | ||||||||
|
|
|||||||
Pharmaceuticals (1.6%) |
||||||||
Abbott Laboratories, 5.600%, 11/30/17 |
2,642,000 | 3,154,952 | ||||||
Express Scripts, Inc., 5.250%, 06/15/12 |
1,586,000 | 1,615,983 | ||||||
GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18 |
1,721,000 | 2,071,408 | ||||||
Novartis Securities Investment Ltd., 5.125%, 02/10/19 |
929,000 | 1,091,809 | ||||||
Sanofi-Aventis SA, 4.000%, 03/29/21 |
2,360,000 | 2,614,734 | ||||||
Schering-Plough Corp., 6.550%, 09/15/37 |
1,281,000 | 1,785,831 | ||||||
Teva Pharmaceutical Finance Co. LLC, 6.150%, 02/01/36 |
662,000 | 804,610 | ||||||
Teva Pharmaceutical Finance II/III, 3.000%, 06/15/15 |
1,115,000 | 1,161,117 | ||||||
|
|
|||||||
14,300,444 | ||||||||
|
|
|||||||
Pipelines (1.6%) |
||||||||
El Paso Natural Gas Co., 5.950%, 04/15/17 |
527,000 | 591,751 | ||||||
El Paso Pipeline Partners Operating Co. LLC, 6.500%, 04/01/20 |
734,000 | 808,960 | ||||||
Energy Transfer Partners LP, 6.050%, 06/01/41, Callable 12/01/40 @ 100 |
973,000 | 954,074 | ||||||
Energy Transfer Partners LP, 6.625%, 10/15/36 |
1,006,000 | 1,057,808 | ||||||
Enterprise Products Operating LLC, 5.250%, 01/31/20 |
2,856,000 | 3,153,387 | ||||||
Enterprise Products Operating LLC, Series J, 5.750%, 03/01/35 |
1,069,000 | 1,136,496 | ||||||
Rockies Express Pipeline LLC, 6.850%, 07/15/18(b) |
1,028,000 | 1,062,130 | ||||||
Southern Natural Gas Co., 5.900%, 04/01/17(b) |
339,000 | 387,434 | ||||||
TC Pipelines LP, 4.650%, 06/15/21 |
1,167,000 | 1,221,894 | ||||||
TransCanada PipeLines Ltd., 6.100%, 06/01/40 |
1,291,000 | 1,653,847 | ||||||
Transcontinental Gas Pipe Line Co. LLC, 6.050%, 06/15/18 |
365,000 | 417,774 | ||||||
Williams Partners LP, 4.125%, 11/15/20, Callable 08/15/20 @ 100 |
1,762,000 | 1,808,293 | ||||||
|
|
|||||||
14,253,848 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Real Estate Investment Trusts (0.8%) |
| |||||||
BioMed Realty LP, 3.850%, 04/15/16, Callable 03/15/2016 @ 100 |
978,000 | 964,743 | ||||||
Digital Realty Trust LP, 4.500%, 07/15/15 |
2,551,000 | 2,602,010 | ||||||
Digital Realty Trust LP, 5.875%, 02/01/20 |
667,000 | 693,986 | ||||||
Healthcare Realty Trust, Inc., 6.500%, 01/17/17 |
2,448,000 | 2,628,998 | ||||||
|
|
|||||||
6,889,737 | ||||||||
|
|
|||||||
Retail (1.2%) |
||||||||
Family Dollar Stores, Inc., 5.000%, 02/01/21 |
607,000 | 624,690 | ||||||
Wal-Mart Stores, Inc., 5.250%, 09/01/35 |
482,000 | 576,563 | ||||||
Wal-Mart Stores, Inc., 6.500%, 08/15/37 |
4,738,000 | 6,545,486 | ||||||
Walgreen Co., 4.875%, 08/01/13 |
1,077,000 | 1,149,044 | ||||||
Wesfarmers Ltd., 6.998%, 04/10/13(b) |
1,821,000 | 1,931,855 | ||||||
|
|
|||||||
10,827,638 | ||||||||
|
|
|||||||
Semiconductors (0.7%) |
||||||||
Analog Devices, Inc., 3.000%, 04/15/16 |
362,000 | 381,528 | ||||||
Intel Corp., 1.950%, 10/01/16 |
1,266,000 | 1,301,469 | ||||||
Intel Corp., 4.800%, 10/01/41 |
4,188,000 | 4,693,521 | ||||||
|
|
|||||||
6,376,518 | ||||||||
|
|
|||||||
Software (0.5%) |
||||||||
Fiserv, Inc., 4.750%, 06/15/21 |
1,288,000 | 1,347,553 | ||||||
Oracle Corp., 5.750%, 04/15/18 |
2,644,000 | 3,208,455 | ||||||
|
|
|||||||
4,556,008 | ||||||||
|
|
|||||||
Telecommunication Services (2.0%) |
||||||||
AT&T, Inc., 4.950%, 01/15/13 |
1,655,000 | 1,724,872 | ||||||
AT&T, Inc., 5.550%, 08/15/41 |
1,596,000 | 1,879,158 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 7.750%, 05/01/17, Callable 05/01/13 @ 103.88(b) |
1,395,000 | 1,503,112 | ||||||
Cellco Partnership/Verizon Wireless Capital LLC, 5.550%, 02/01/14 |
784,000 | 851,785 | ||||||
Cisco Systems, Inc., 5.500%, 02/22/16 |
1,224,000 | 1,424,406 | ||||||
Cisco Systems, Inc., 5.500%, 01/15/40 |
2,355,000 | 2,881,493 | ||||||
Juniper Networks, Inc., 3.100%, 03/15/16 |
330,000 | 341,329 | ||||||
Rogers Communications, Inc., 7.500%, 03/15/15 |
1,138,000 | 1,332,490 | ||||||
SBC Communications, Inc., 5.100%, 09/15/14 |
1,662,000 | 1,830,600 | ||||||
SBC Communications, Inc., 6.450%, 06/15/34 |
817,000 | 982,689 | ||||||
Verizon Communications, Inc., 5.250%, 04/15/13 |
1,193,000 | 1,258,893 | ||||||
Verizon Communications, Inc., 5.550%, 02/15/16 |
1,418,000 | 1,622,578 | ||||||
|
|
|||||||
17,633,405 | ||||||||
|
|
|||||||
Transportation (0.1%) |
||||||||
United Parcel Service, Inc., 3.125%, 01/15/21 |
1,033,000 | 1,095,804 | ||||||
|
|
|||||||
Trucking & Leasing (0.2%) |
||||||||
Aviation Capital Group Corp., 6.750%, 04/06/21(b) |
607,000 | 571,903 | ||||||
Aviation Capital Group Corp., 7.125%, 10/15/20(b) |
1,566,000 | 1,514,839 | ||||||
|
|
|||||||
2,086,742 | ||||||||
|
|
|||||||
Water (0.1%) |
||||||||
Veolia Environment SA, 6.000%, 06/01/18 |
863,000 | 942,206 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $204,712,116) |
|
222,116,749 | ||||||
|
|
|||||||
U.S. Government Agency Mortgages (25.6%) |
||||||||
Federal Home Loan Mortgage Corporation (10.0%) |
||||||||
Pool #A12413, 5.000%, 08/01/33 |
1,189,409 | 1,280,515 | ||||||
Pool #G05052, 5.000%, 10/01/33 |
690,927 | 743,851 | ||||||
Pool #G01797, 5.500%, 12/01/33 |
922,920 | 1,005,871 | ||||||
Pool #G01740, 5.500%, 12/01/34 |
1,948,511 | 2,122,423 | ||||||
Pool #G08051, 5.000%, 04/01/35 |
2,570,886 | 2,766,203 |
See Notes to Schedules of Portfolio Investments.
Pool #G01779, 5.000%, 04/01/35 |
1,448,221 | 1,558,247 | ||||||
Pool #G01837, 5.000%, 07/01/35 |
10,542,381 | 11,343,315 | ||||||
Pool #A47402, 5.000%, 10/01/35 |
4,782,385 | 5,145,716 | ||||||
Pool #A39731, 5.000%, 11/01/35 |
2,739,502 | 2,947,630 | ||||||
Pool #G02162, 5.500%, 05/01/36 |
2,895,466 | 3,148,922 | ||||||
Pool #G02252, 5.500%, 07/01/36 |
3,209,698 | 3,490,660 | ||||||
Pool #G02424, 5.500%, 12/01/36 |
819,027 | 890,721 | ||||||
Pool #G04997, 5.000%, 01/01/37 |
10,922,785 | 11,752,619 | ||||||
Pool #G05521, 5.500%, 05/01/37 |
1,562,664 | 1,709,951 | ||||||
Pool #G04337, 5.500%, 04/01/38 |
1,686,425 | 1,832,202 | ||||||
Pool #1B8266, 2.864%, 05/01/41(a) |
4,380,754 | 4,541,919 | ||||||
Pool #848553, 2.694%, 06/01/41(a) |
2,517,879 | 2,599,600 | ||||||
Pool #1B8553, 2.358%, 07/01/41(a) |
4,917,689 | 5,076,042 | ||||||
Pool #1B8740, 2.427%, 09/01/41(a) |
1,123,514 | 1,162,292 | ||||||
3.000%, TBA, 15 Year Maturity(d) |
12,834,000 | 13,247,094 | ||||||
3.000%, TBA, 15 Year Maturity(d) |
2,349,000 | 2,417,268 | ||||||
3.000%, TBA, 15 Year Maturity(d) |
9,096,000 | 9,330,506 | ||||||
|
|
|||||||
90,113,567 | ||||||||
|
|
|||||||
Federal National Mortgage Association (14.6%) |
||||||||
Pool #468958, 3.770%, 09/01/21 |
800,000 | 859,544 | ||||||
Pool #469452, 3.380%, 11/01/21 |
3,738,947 | 3,925,902 | ||||||
Pool #469252, 3.480%, 11/01/21 |
3,194,398 | 3,380,567 | ||||||
Pool #725773, 5.500%, 09/01/34 |
6,751,076 | 7,375,789 | ||||||
Pool #735061, 6.000%, 11/01/34 |
2,061,973 | 2,291,440 | ||||||
Pool #735036, 5.500%, 12/01/34 |
6,884,775 | 7,521,859 | ||||||
Pool #735141, 5.500%, 01/01/35 |
2,243,265 | 2,450,846 | ||||||
Pool #827943, 5.000%, 05/01/35(d) |
1,276,880 | 1,380,472 | ||||||
Pool #735500, 5.500%, 05/01/35 |
6,245,918 | 6,819,982 | ||||||
Pool #357829, 6.000%, 06/01/35 |
4,025,538 | 4,452,135 | ||||||
Pool #831017, 6.000%, 09/01/35 |
2,072,006 | 2,291,582 | ||||||
Pool #888344, 5.000%, 10/01/35(d) |
9,720,595 | 10,509,217 | ||||||
Pool #190363, 5.500%, 11/01/35 |
4,166,158 | 4,549,070 | ||||||
Pool #AE0115, 5.500%, 12/01/35 |
6,950,622 | 7,624,457 | ||||||
Pool #745087, 5.500%, 12/01/35 |
636,675 | 695,192 | ||||||
Pool #745428, 5.500%, 01/01/36 |
11,558,874 | 12,621,253 | ||||||
Pool #310011, 6.000%, 06/01/36 |
574,606 | 636,516 | ||||||
Pool #190370, 6.000%, 06/01/36 |
12,839,685 | 14,164,231 | ||||||
Pool #888173, 5.500%, 11/01/36 |
2,865,405 | 3,128,765 | ||||||
Pool #889140, 5.500%, 05/01/37 |
2,686,850 | 2,950,592 | ||||||
Pool #995082, 5.500%, 08/01/37 |
4,533,113 | 4,952,585 | ||||||
Pool #976965, 6.000%, 02/01/38 |
3,235,398 | 3,599,495 | ||||||
Pool #889529, 6.000%, 03/01/38 |
3,828,653 | 4,247,547 | ||||||
Pool #995724, 6.000%, 04/01/39 |
6,275,608 | 6,962,225 | ||||||
Pool #AD0439, 6.000%, 07/01/39 |
2,067,961 | 2,279,354 | ||||||
Pool #AJ9537, 2.739%, 11/01/41(a) |
4,000,000 | 4,150,422 | ||||||
2.500%, TBA, 15 Year Maturity(d) |
4,459,000 | 4,482,008 | ||||||
|
|
|||||||
130,303,047 | ||||||||
|
|
|||||||
Government National Mortgage Association (1.0%) |
||||||||
Pool #751387, 4.743%, 01/20/61 |
8,275,484 | 9,080,799 | ||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $225,423,779) |
|
229,497,413 | ||||||
|
|
|||||||
U.S. Treasury Obligations (32.8%) |
||||||||
U.S. Treasury Bond (3.9%) |
||||||||
3.750%, 08/15/41 |
29,888,000 | 35,151,098 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
U.S. Treasury Notes (28.9%) |
| |||||||
0.875%, 02/29/12 |
36,306,000 | 36,354,214 | ||||||
0.500%, 10/15/14 |
71,036,000 | 71,330,160 | ||||||
1.750%, 05/31/16(e) |
138,832,000 | 145,177,039 | ||||||
2.000%, 11/15/21 |
5,800,000 | 5,866,155 | ||||||
|
|
|||||||
258,727,568 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $291,020,850) |
|
293,878,666 | ||||||
|
|
|||||||
Short-Term Investment (0.1%) |
||||||||
RidgeWorth Funds Securities Lending Joint Account(f) |
1,176,060 | 1,176,060 | ||||||
|
|
|||||||
Total Short-Term Investment (Cost $1,176,060) |
|
1,176,060 | ||||||
|
|
|||||||
Money Market Fund (7.8%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(g) |
69,656,136 | 69,656,136 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $69,656,136) |
|
69,656,136 | ||||||
|
|
|||||||
Total Investments (Cost $905,697,163) 105.0% |
940,343,084 | |||||||
|
|
|||||||
Liabilities in excess of other assets (5.0)% |
(44,583,401 | ) | ||||||
|
|
|||||||
Net Assets 100.0% |
$ | 895,759,683 | ||||||
|
|
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(b) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 5.9% of net assets as of December 31, 2011. |
(c) | The security or a partial position of the security was on loan as of December 31, 2011. The total value of securities on loan as of December 31, 2011 was $1,150,371. |
(d) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(e) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(f) | Purchased with cash collateral held from securities lending. The value of the collateral could include collateral held for securities that were sold on or before December 31, 2011 (See Notes to Schedules of Portfolio Investments). |
(g) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations
MTN |
|
Medium Term Note | ||
TBA |
|
To Be Announced. Securities purchased on a forward commitment basis with an appropriate principal amount and no definitive maturity date. The actual principal and maturity date will be determined upon settlement date. |
At December 31, 2011, the Funds open swap agreements were as follows:
Credit Default Swap Agreements Buy Protection
Underlying Instrument |
Counterparty | Notional Amount($) |
Fixed Rate(%) |
Expiration Date |
Upfront Payments Made (Received)($) |
Value($) | Unrealized Appreciation (Depreciation)($) |
|||||||||||||||||||||
French Republic 5 Year |
JPMorgan | 17,495,000 | 1.000 | 12/20/16 | 1,210,321 | 1,529,827 | 319,506 | |||||||||||||||||||||
Republic of Turkey 5 Year |
JPMorgan | 16,680,000 | 1.000 | 12/20/16 | 1,489,967 | 1,492,027 | 2,060 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
2,700,288 | 3,021,854 | 321,566 | ||||||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Portfolio Investments.
As the buyer of protection, the Fund pays periodic fees in return for payment by the seller which is contingent upon an adverse credit event occurring in the underlying issuer or reference entity.
Credit Default Swap Agreements Sell Protection
Underlying Instrument |
Counterparty |
Notional Amount($) |
Fixed Rate(%) |
Expiration Date |
Upfront Payments Made (Received)($) |
Value($) | Unrealized Appreciation (Depreciation)($) |
|||||||||||||||||
CDX.NA.HY.17 |
JPMorgan | 75,460,000 | 5.000 | 12/20/16 | (8,432,111 | ) | (5,294,216 | ) | 3,137,895 | |||||||||||||||
|
|
|
|
|
|
The notional amount represents the maximum potential amount the Fund could be required to make as seller of credit protection if a credit event occurs, as defined under the terms of swap agreement, for each security included in the CDX.NA.HY.17.
The value column indicates the impact each respective swap agreement has on the Funds net assets at December 31, 2011.
Forward Foreign Currency Contracts
At December 31, 2011, the Funds forward foreign currency contracts were as follows:
Currency |
Counterparty |
Delivery Date |
Contract Amount in Local Currency |
Contract Value in USD($) |
Market Value($) |
Unrealized Appreciation (Depreciation)($) |
||||||||||||||||
Short: |
||||||||||||||||||||||
Australian Dollar |
JPMorgan | 02/22/12 | 13,150,000 | 12,996,292 | 13,375,437 | (379,145 | ) | |||||||||||||||
Euro |
JPMorgan | 01/03/12 | 9,442,686 | 12,635,000 | 12,221,201 | 413,799 | ||||||||||||||||
Euro |
JPMorgan | 01/17/12 | 6,079,606 | 8,300,000 | 7,869,156 | 430,844 | ||||||||||||||||
Euro |
JPMorgan | 01/19/12 | 14,979,274 | 19,522,600 | 19,388,702 | 133,898 | ||||||||||||||||
Euro |
JPMorgan | 01/23/12 | 12,308,267 | 16,720,000 | 15,931,822 | 788,178 | ||||||||||||||||
Japanese Yen |
JPMorgan | 01/04/12 | 987,038,090 | 12,710,000 | 12,823,673 | (113,673 | ) | |||||||||||||||
Japanese Yen |
JPMorgan | 02/28/12 | 987,038,090 | 12,722,678 | 12,835,342 | (112,664 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||
Total Short Contracts |
$ | 95,606,570 | $ | 94,445,333 | $ | 1,161,237 | ||||||||||||||||
|
|
|
|
|
|
Currency |
Counterparty |
Delivery |
Contract Amount in Local Currency |
Contract Value in USD($) |
Market Value($) |
Unrealized Appreciation (Depreciation)($) |
||||||||||||||
Long: |
||||||||||||||||||||
Euro |
JPMorgan | 01/03/12 | 9,442,686 | 12,372,280 | 12,221,201 | (151,079 | ) | |||||||||||||
Euro |
JPMorgan | 01/17/12 | 6,079,606 | 8,217,865 | 7,869,156 | (348,709 | ) | |||||||||||||
Euro |
JPMorgan | 01/19/12 | 4,989,637 | 6,499,351 | 6,458,429 | (40,922 | ) | |||||||||||||
Euro |
JPMorgan | 01/23/12 | 12,308,267 | 16,666,747 | 15,931,822 | (734,925 | ) | |||||||||||||
Japanese Yen |
JPMorgan | 01/04/12 | 987,038,090 | 12,709,736 | 12,823,673 | 113,937 | ||||||||||||||
Mexican Peso |
JPMorgan | 02/22/12 | 181,833,575 | 13,030,786 | 12,978,296 | (52,490 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||||
Total Long Contracts |
$ | 69,496,765 | $ | 68,282,577 | $ | (1,214,188 | ) | |||||||||||||
|
|
|
|
|
|
At December 31, 2011, liquid assets totaling $2,066,309 have been designated as collateral for open credit default swap agreements and open forward foreign currency contracts.
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Ultra-Short Bond Fund | ||||||||
Shares or Principal Amount($) |
Value($) | |||||||
Asset-Backed Securities (12.2%) |
||||||||
Automobiles (3.6%) |
||||||||
Ford Credit Auto Owner Trust, Series 2009-D, Cl A3, 2.170%, 10/15/13 |
56,887 | 57,178 | ||||||
Harley-Davidson Motorcycle Trust, Series 2009-4, Cl A3, 1.870%, 02/15/14 |
454,653 | 455,662 | ||||||
Harley-Davidson Motorcycle Trust, Series 2011-2, Cl A2, 0.710%, 05/15/15 |
560,000 | 559,217 | ||||||
Honda Auto Receivables Owner Trust, Series 2009-3, Cl A3, 2.310%, 05/15/13 |
237,901 | 238,838 | ||||||
Honda Auto Receivables Owner Trust, Series 2010-2, Cl A3, 1.340%, 03/18/14 |
164,096 | 164,767 | ||||||
Hyundai Auto Receivables Trust, Series 2011-A, Cl A2, 0.690%, 11/15/13 |
754,720 | 754,526 | ||||||
Hyundai Auto Receivables Trust, Series 2011-B, Cl A3, 1.040%, 09/15/15 |
520,000 | 521,164 | ||||||
Hyundai Auto Receivables Trust, Series 2011-B, Cl A4, 1.650%, 02/15/17 |
455,000 | 461,980 | ||||||
Mercedes-Benz Auto Lease Trust, Series 2011-B, Cl A3, 1.070%, 08/15/14(a) |
935,000 | 933,839 | ||||||
World Omni Auto Receivables Trust, Series 2011-A, Cl A3, 1.110%, 05/15/15 |
555,000 | 556,659 | ||||||
|
|
|||||||
4,703,830 | ||||||||
|
|
|||||||
Credit Card (6.4%) |
||||||||
American Express Credit Account Master Trust, Series 2009-1, Cl A, 1.628%, 12/15/14(b) |
1,100,000 | 1,105,386 | ||||||
American Express Credit Account Master Trust, Series 2010-1, Cl A, 0.528%, 11/16/15(b) |
1,185,000 | 1,187,314 | ||||||
Chase Issuance Trust, Series 2005-A2, Cl A2, 0.348%, 12/15/14(b) |
1,625,000 | 1,624,840 | ||||||
Chase Issuance Trust, Series 2007-A16, Cl A16, 0.846%, 06/16/14(b) |
340,000 | 340,274 | ||||||
Discover Card Master Trust, Series 2008-A4, Cl A4, 5.650%, 12/15/15 |
1,620,000 | 1,733,554 | ||||||
Discover Card Master Trust, Series 2009-A1, Cl A1, 1.578%, 12/15/14(b) |
2,412,000 | 2,426,262 | ||||||
|
|
|||||||
8,417,630 | ||||||||
|
|
|||||||
Other (2.2%) |
||||||||
GE Equipment Transportation LLC, Series 2011-1, Cl A2, 0.770%, 10/21/13 |
1,840,000 | 1,838,543 | ||||||
John Deere Owner Trust, Series 2011-A, Cl A2, 0.640%, 06/16/14 |
1,085,000 | 1,084,302 | ||||||
|
|
|||||||
2,922,845 | ||||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $16,026,651) |
16,044,305 | |||||||
|
|
|||||||
Certificate of Deposit (0.8%) |
||||||||
Banks (0.8%) |
||||||||
Deutsche Bank NY, 0.706%, 01/19/12 |
1,005,000 | 1,005,525 | ||||||
|
|
|||||||
Total Certificate of Deposit (Cost $1,005,525) |
1,005,525 | |||||||
|
|
|||||||
Collateralized Mortgage Obligations (29.7%) |
||||||||
Agency Collateralized Mortgage Obligations (12.6%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 2892, Cl F, 0.578%, 01/15/19(b) |
153,744 | 153,796 | ||||||
Federal Home Loan Mortgage Corporation, Series 3598, Cl DA, 2.750%, 11/15/14 |
606,858 | 612,782 | ||||||
Federal National Mortgage Association, Series 2002-M2, Cl C, 4.717%, 08/25/12 |
559,036 | 565,128 | ||||||
Federal National Mortgage Association, Series 2003-129, Cl GA, 4.680%, 04/25/30 |
818,713 | 828,252 | ||||||
Federal National Mortgage Association, Series 2005-92, Cl UF, 0.644%, 10/25/25(b) |
406,830 | 405,639 | ||||||
Federal National Mortgage Association, Series 2007-102, Cl FA, 0.864%, 11/25/37(b) |
1,242,238 | 1,244,759 | ||||||
Federal National Mortgage Association, Series 2007-109, Cl NF, 0.844%, 12/25/37(b) |
1,248,067 | 1,249,878 | ||||||
Federal National Mortgage Association, Series 2007-30, Cl WF, 0.534%, 04/25/37(b) |
2,058,216 | 2,043,562 | ||||||
Federal National Mortgage Association, Series 2007-54, Cl KF, 0.604%, 06/25/37(b) |
670,673 | 666,475 | ||||||
Federal National Mortgage Association, Series 2009-37, Cl HA, 4.000%, 04/25/19 |
164,350 | 172,972 | ||||||
Federal National Mortgage Association, Series 2010-134, Cl BF, 0.724%, 10/25/40(b) |
1,878,303 | 1,866,455 |
See Notes to Schedules of Portfolio Investments.
Federal National Mortgage Association, Series 2011-M1, Cl FA, 0.744%, 06/25/21(b) |
3,859,809 | 3,785,518 | ||||||
Government National Mortgage Association, Series 2005-50, Cl A, 4.015%, 10/16/26 |
773,878 | 789,341 | ||||||
Government National Mortgage Association, Series 2005-67, Cl B, 4.751%, 10/16/26(b) |
730,613 | 735,750 | ||||||
Government National Mortgage Association, Series 2010-66, Cl A, 1.869%, 09/16/27 |
388,758 | 390,993 | ||||||
NCUA Guaranteed Notes, Series 2011-R1, Cl 1A, 0.724%, 01/08/20(b) |
991,969 | 993,675 | ||||||
|
|
|||||||
16,504,975 | ||||||||
|
|
|||||||
Agency Collateralized Planned Amortization Class Mortgage Obligations (2.5%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 3136, Cl KF, 0.578%, 04/15/36(b) |
1,700,014 | 1,694,530 | ||||||
Federal Home Loan Mortgage Corporation, Series 3200, Cl FP, 0.478%, 08/15/36(b) |
705,142 | 700,948 | ||||||
Federal National Mortgage Association, Series 2003-63, Cl FE, 0.694%, 10/25/31(b) |
472,987 | 472,616 | ||||||
Federal National Mortgage Association, Series 2005-42, Cl PF, 0.494%, 05/25/35(b) |
435,488 | 433,348 | ||||||
|
|
|||||||
3,301,442 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Securities (12.4%) |
||||||||
Banc of America Commercial Mortgage, Inc., Series 2003-1, Cl A1, 3.878%, 09/11/36 |
42,217 | 42,216 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2004-1, Cl A4, 4.760%, 11/10/39 |
320,000 | 335,965 | ||||||
Banc of America Commercial Mortgage, Inc., Series 2004-6, Cl AJ, 4.870%, 12/10/42(b) |
1,535,000 | 1,543,869 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 1999-C1, Cl B, 6.200%, 02/14/31(b) |
419,490 | 424,821 | ||||||
Bear Stearns Commercial Mortgage Securities, Series 2007-T28, Cl A2, 5.588%, 09/11/42 |
1,080,000 | 1,096,421 | ||||||
Citigroup Commercial Mortgage Trust, Series 2004-C1, Cl A3, 5.251%, 04/15/40(b) |
900,983 | 930,296 | ||||||
Commercial Mortgage Asset Trust, Series 1999-C1, Cl A4, 6.975%, 01/17/32(b) |
858,090 | 887,616 | ||||||
Commercial Mortgage Asset Trust, Series 1999-C1, Cl B, 7.230%, 01/17/32(b) |
1,460,000 | 1,558,807 | ||||||
Commercial Mortgage Pass-Through Certificates, Series 2001-J2A, Cl A2, 6.096%, 07/16/34(a) |
13,927 | 13,963 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-CK2, Cl A4, 4.801%, 03/15/36 |
1,200,000 | 1,231,894 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C1, Cl A2, 4.079%, 05/10/36 |
1,320,000 | 1,348,519 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2003-C2, Cl A2, 5.453%, 05/10/40(b) |
1,190,000 | 1,254,596 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2004-C2, Cl A2, 4.760%, 08/10/38 |
155,197 | 155,356 | ||||||
GMAC Commercial Mortgage Securities, Inc., Series 2004-C3, Cl A4, 4.547%, 12/10/41 |
439,177 | 442,186 | ||||||
Greenwich Capital Commercial Funding Corp., Series 2005-GG3, Cl A2, 4.305%, 08/10/42 |
293,836 | 293,650 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Series 2004-CBX, Cl A4, 4.529%, 01/12/37 |
201,780 | 201,727 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Series 2004-CBX, Cl A5, 4.654%, 01/12/37 |
1,500,000 | 1,523,493 | ||||||
JPMorgan Chase Commercial Mortgage Securities, Series 2005-LDP1, Cl A2, 4.625%, 03/15/46 |
700,605 | 709,239 | ||||||
LB Commercial Conduit Mortgage Trust, Series 1998-C1, Cl D, 6.980%, 02/18/30 |
118,882 | 121,216 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2002-C4, Cl A3, 4.071%, 09/15/26 |
66,670 | 67,032 | ||||||
LB-UBS Commercial Mortgage Trust, Series 2003-C7, Cl A3, 4.559%, 09/15/27(b) |
870,000 | 874,652 | ||||||
Merrill Lynch Mortgage Trust, Series 2004-BPC1, Cl A3, 4.467%, 10/12/41(b) |
106,859 | 107,821 | ||||||
Morgan Stanley Capital I, Series 2004-IQ7, Cl A4, 5.408%, 06/15/38(b) |
540,000 | 576,675 | ||||||
Morgan Stanley Capital I, Series 2006-HQ8, Cl A3, 5.470%, 03/12/44(b) |
484,092 | 487,522 | ||||||
|
|
|||||||
16,229,552 | ||||||||
|
|
|||||||
Whole Loan Collateralized Mortgage Obligations (2.2%) |
||||||||
Banc of America Mortgage Securities, Inc., Series 2003-F, Cl 1A1, 2.748%, 07/25/33(b) |
418,436 | 365,900 | ||||||
Countrywide Home Loan Mortgage Pass-Through Certificates, Series 2003-15, Cl 1A1, 0.794%, 06/25/18(b) |
629,911 | 609,611 | ||||||
CS First Boston Mortgage Securities Corp., Series 2004-1, Cl 4A1, 5.000%, 02/25/19 |
202,791 | 206,304 | ||||||
FDIC Structured Sale Guaranteed Notes, Series 2010-L2A, Cl A, 3.000%, 09/30/19(a) |
400,845 | 403,320 | ||||||
First Horizon Mortgage Pass-Through Trust, Series 2004-AR4, Cl 2A1, 2.723%, 08/25/34(b) |
397,818 | 339,939 | ||||||
Provident Funding Mortgage Loan Trust, Series 2004-1, Cl 1A1, 2.619%, 04/25/34(b) |
243,291 | 226,953 | ||||||
Washington Mutual Mortgage Pass-Through Certificates, Series 2003-S12, Cl 2A, 4.750%, 11/25/18 |
157,272 | 161,671 | ||||||
Wells Fargo Mortgage Backed Securities Trust, Series 2007-16, Cl 1A1, 6.000%, 12/28/37 |
642,215 | 658,835 | ||||||
|
|
|||||||
2,972,533 | ||||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $39,129,270) |
39,008,502 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Corporate Bonds (36.1%) |
||||||||
Auto Manufacturers (0.5%) |
||||||||
Daimler Finance North America LLC, 1.950%, 03/28/14(a) |
615,000 | 613,229 | ||||||
|
|
|||||||
Banks (10.0%) |
||||||||
Bank of America Corp., 1.040%, 09/11/12(b) |
330,000 | 320,549 | ||||||
Bank of America Corp., 1.941%, 07/11/14(b) |
755,000 | 679,164 | ||||||
Bank of America Corp., MTN, 1.848%, 01/30/14(b) |
245,000 | 221,191 | ||||||
Bank of Montreal, MTN, 0.898%, 04/29/14(b) |
205,000 | 204,347 | ||||||
Bank of New York Mellon Corp. (The), MTN, 0.709%, 01/31/14(b) |
735,000 | 732,289 | ||||||
Bank of New York Mellon Corp. (The), MTN, 5.125%, 08/27/13 |
520,000 | 553,262 | ||||||
Bank of Nova Scotia, 2.250%, 01/22/13 |
440,000 | 446,013 | ||||||
Bank of Nova Scotia, 2.375%, 12/17/13 |
280,000 | 287,476 | ||||||
BB&T Corp., MTN, 3.850%, 07/27/12 |
1,150,000 | 1,168,762 | ||||||
Capital One Financial Corp., 1.553%, 07/15/14(b) |
690,000 | 667,969 | ||||||
Fifth Third Bank, 0.576%, 05/17/13(b) |
705,000 | 691,815 | ||||||
PNC Funding Corp., 5.400%, 06/10/14 |
1,000,000 | 1,093,566 | ||||||
Royal Bank of Canada, 0.703%, 04/17/14(b) |
1,230,000 | 1,217,377 | ||||||
Royal Bank of Canada, 1.128%, 10/30/14(b) |
625,000 | 623,207 | ||||||
State Street Corp., 0.528%, 04/30/12(b) |
400,000 | 400,230 | ||||||
Toronto-Dominion Bank (The), 0.701%, 07/14/14(b) |
255,000 | 254,722 | ||||||
Wachovia Corp., MTN, 5.500%, 05/01/13 |
1,400,000 | 1,477,139 | ||||||
Westpac Banking Corp., 2.250%, 11/19/12 |
2,012,000 | 2,032,001 | ||||||
|
|
|||||||
13,071,079 | ||||||||
|
|
|||||||
Beverages (1.5%) |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 1.500%, 07/14/14 |
250,000 | 251,787 | ||||||
Anheuser-Busch InBev Worldwide, Inc., 2.500%, 03/26/13 |
295,000 | 300,453 | ||||||
Dr Pepper Snapple Group, Inc., 2.350%, 12/21/12 |
565,000 | 572,824 | ||||||
PepsiCo, Inc., 0.524%, 05/10/13(b) |
890,000 | 890,954 | ||||||
|
|
|||||||
2,016,018 | ||||||||
|
|
|||||||
Chemicals (0.5%) |
||||||||
Dow Chemical Co. (The), 4.850%, 08/15/12 |
590,000 | 603,615 | ||||||
|
|
|||||||
Cosmetics/Personal Care (0.3%) |
||||||||
Procter & Gamble Co. (The), 0.493%, 11/14/12(b) |
410,000 | 410,058 | ||||||
|
|
|||||||
Diversified Financial Services (10.6%) |
||||||||
American Express Credit Corp., 1.424%, 06/24/14(b) |
735,000 | 720,880 | ||||||
BlackRock, Inc., 0.806%, 05/24/13(b) |
1,210,000 | 1,209,291 | ||||||
BlackRock, Inc., 2.250%, 12/10/12 |
640,000 | 648,650 | ||||||
Caterpillar Financial Services Corp., 5.750%, 02/15/12 |
1,185,000 | 1,192,574 | ||||||
Caterpillar Financial Services Corp., 6.125%, 02/17/14 |
605,000 | 669,842 | ||||||
Citigroup, Inc., 5.500%, 04/11/13 |
1,280,000 | 1,306,781 | ||||||
General Electric Capital Corp., 1.234%, 01/07/14(b) |
1,675,000 | 1,650,341 | ||||||
Goldman Sachs Group, Inc. (The), 1.435%, 02/07/14(b) |
1,265,000 | 1,182,395 | ||||||
Goldman Sachs Group, Inc. (The), 5.150%, 01/15/14 |
205,000 | 208,902 | ||||||
John Deere Capital Corp., 0.747%, 03/03/14(b) |
785,000 | 782,802 | ||||||
JPMorgan Chase & Co., 5.750%, 01/02/13 |
1,005,000 | 1,042,527 | ||||||
JPMorgan Chase & Co., MTN, 1.296%, 05/02/14(b) |
1,105,000 | 1,072,402 | ||||||
MassMutual Global Funding II, 0.781%, 01/14/14(a)(b) |
1,160,000 | 1,160,136 | ||||||
Morgan Stanley, 2.016%, 01/24/14(b) |
985,000 | 906,626 | ||||||
Woodside Finance Ltd., 4.500%, 11/10/14(a) |
160,000 | 168,465 | ||||||
|
|
|||||||
13,922,614 | ||||||||
|
|
See Notes to Schedules of Portfolio Investments.
Electric (2.1%) |
||||||||
Dominion Resources, Inc., Series B, 6.250%, 06/30/12 |
380,000 | 389,988 | ||||||
Duke Energy Corp., 6.300%, 02/01/14 |
550,000 | 606,806 | ||||||
Duke Energy Indiana, Inc., 5.000%, 09/15/13 |
525,000 | 555,658 | ||||||
Midamerican Energy Holdings Co., 5.875%, 10/01/12 |
475,000 | 491,708 | ||||||
NextEra Energy Capital Holdings, Inc., 2.550%, 11/15/13 |
295,000 | 300,118 | ||||||
Peco Energy Co., 4.750%, 10/01/12 |
420,000 | 432,554 | ||||||
|
|
|||||||
2,776,832 | ||||||||
|
|
|||||||
Electronics (0.6%) |
||||||||
Thermo Fisher Scientific, Inc., 2.150%, 12/28/12 |
760,000 | 769,122 | ||||||
|
|
|||||||
Food (0.5%) |
||||||||
General Mills, Inc., 5.650%, 09/10/12 |
610,000 | 628,709 | ||||||
|
|
|||||||
Gas (0.3%) |
||||||||
Sempra Energy, 2.000%, 03/15/14 |
405,000 | 410,131 | ||||||
|
|
|||||||
Insurance (4.1%) |
||||||||
Allstate Corp. (The), 7.500%, 06/15/13 |
450,000 | 485,050 | ||||||
Allstate Life Global Funding Trusts, MTN, 5.375%, 04/30/13 |
1,105,000 | 1,166,806 | ||||||
MetLife Institutional Funding II, 1.481%, 04/04/14(a)(b) |
1,025,000 | 1,022,731 | ||||||
MetLife, Inc., 5.500%, 06/15/14 |
220,000 | 240,015 | ||||||
New York Life Global Funding, 0.538%, 08/22/12(a)(b) |
600,000 | 599,884 | ||||||
New York Life Global Funding, 4.650%, 05/09/13(a) |
120,000 | 125,811 | ||||||
Pricoa Global Funding I, 5.450%, 06/11/14(a) |
900,000 | 972,710 | ||||||
Prudential Financial, Inc., MTN, 2.750%, 01/14/13 |
760,000 | 766,548 | ||||||
|
|
|||||||
5,379,555 | ||||||||
|
|
|||||||
Media (1.1%) |
||||||||
Comcast Corp., 5.300%, 01/15/14 |
585,000 | 630,368 | ||||||
DIRECTV Holdings LLC, 7.625%, 05/15/16, Callable 05/15/2012 @ 103.81 |
230,000 | 244,087 | ||||||
Time Warner Cable, Inc., 5.400%, 07/02/12 |
505,000 | 516,387 | ||||||
Time Warner Cable, Inc., 7.500%, 04/01/14 |
115,000 | 128,760 | ||||||
|
|
|||||||
1,519,602 | ||||||||
|
|
|||||||
Mining (0.9%) |
||||||||
Rio Tinto Alcan, Inc., 4.875%, 09/15/12 |
745,000 | 765,315 | ||||||
Teck Resources Ltd., 9.750%, 05/15/14 |
320,000 | 376,054 | ||||||
|
|
|||||||
1,141,369 | ||||||||
|
|
|||||||
Pharmaceuticals (0.4%) |
||||||||
McKesson Corp., 5.250%, 03/01/13 |
285,000 | 299,077 | ||||||
McKesson Corp., 6.500%, 02/15/14 |
200,000 | 221,337 | ||||||
|
|
|||||||
520,414 | ||||||||
|
|
|||||||
Pipelines (1.2%) |
||||||||
Enterprise Products Operating LLC, Series M, 5.650%, 04/01/13 |
680,000 | 711,974 | ||||||
Kinder Morgan Energy Partners LP, 7.125%, 03/15/12 |
150,000 | 151,714 | ||||||
Plains All American Pipeline LP, 4.250%, 09/01/12 |
675,000 | 688,544 | ||||||
|
|
|||||||
1,552,232 | ||||||||
|
|
|||||||
Retail (0.2%) |
||||||||
Nordstrom, Inc., 6.750%, 06/01/14 |
295,000 | 330,794 | ||||||
|
|
|||||||
Telecommunication Services (0.7%) |
||||||||
Verizon Communications, Inc., 1.184%, 03/28/14(b) |
470,000 | 469,392 | ||||||
Verizon Communications, Inc., 1.250%, 11/03/14 |
430,000 | 432,127 | ||||||
|
|
|||||||
901,519 | ||||||||
|
|
|||||||
Toys/Games/Hobbies (0.3%) |
||||||||
Mattel, Inc., 5.625%, 03/15/13 |
370,000 | 388,755 | ||||||
|
|
See Notes to Schedules of Portfolio Investments.
Transportation (0.3%) |
||||||||
Burlington Northern Santa Fe LLC, 4.300%, 07/01/13 |
435,000 | 454,817 | ||||||
|
|
|||||||
Total Corporate Bonds (Cost $47,776,881) |
47,410,464 | |||||||
|
|
|||||||
Municipal Bond (0.8%) |
||||||||
New Jersey (0.8%) |
||||||||
New Jersey Economic Development Authority, RB, BAB, 1.546%, 06/15/13(b) |
1,106,000 | 1,106,243 | ||||||
|
|
|||||||
Total Municipal Bond (Cost $1,105,863) |
1,106,243 | |||||||
|
|
|||||||
U.S. Government Agencies (7.9%) |
||||||||
Federal Home Loan Mortgage Corporation (3.6%) |
||||||||
0.600%, 08/22/13 |
1,500,000 | 1,500,546 | ||||||
0.500%, 08/23/13 |
1,300,000 | 1,297,826 | ||||||
0.500%, 09/06/13 |
1,350,000 | 1,348,395 | ||||||
1.000%, 08/27/14 |
500,000 | 504,867 | ||||||
|
|
|||||||
4,651,634 | ||||||||
|
|
|||||||
Federal National Mortgage Association (4.3%) |
||||||||
0.550%, 12/27/13 |
1,325,000 | 1,322,937 | ||||||
1.625%, 08/08/14 |
2,335,000 | 2,337,510 | ||||||
0.875%, 08/28/14 |
2,000,000 | 2,009,758 | ||||||
|
|
|||||||
5,670,205 | ||||||||
|
|
|||||||
Total U.S. Government Agencies (Cost $10,339,055) |
10,321,839 | |||||||
|
|
|||||||
U.S. Government Agency Mortgages (11.4%) |
||||||||
Federal Home Loan Mortgage Corporation (1.3%) |
||||||||
Pool #847276, 2.621%, 04/01/34(b) |
80,938 | 85,159 | ||||||
Pool #1H2581, 2.450%, 01/01/36(b) |
745,145 | 783,124 | ||||||
Pool #848154, 2.745%, 06/01/36(b) |
116,267 | 123,747 | ||||||
Pool #1B7142, 2.599%, 09/01/36(b) |
119,076 | 126,705 | ||||||
Pool #1Q0853, 4.001%, 01/01/37(b) |
197,249 | 209,257 | ||||||
Pool #1G1676, 5.481%, 04/01/37(b) |
308,842 | 332,271 | ||||||
|
|
|||||||
1,660,263 | ||||||||
|
|
|||||||
Federal National Mortgage Association (10.1%) |
||||||||
Pool #545471, 5.926%, 02/01/12 |
96,944 | 96,940 | ||||||
Pool #384762, 6.005%, 02/01/12 |
513,874 | 515,200 | ||||||
Pool #545527, 6.183%, 02/01/12 |
184,346 | 184,337 | ||||||
Pool #375493, 6.925%, 11/01/12 |
184,091 | 186,880 | ||||||
Pool #555162, 4.826%, 01/01/13 |
464,017 | 473,740 | ||||||
Pool #745503, 5.371%, 02/01/13 |
229,711 | 235,504 | ||||||
Pool #873590, 5.470%, 04/01/13 |
147,052 | 151,654 | ||||||
Pool #555910, 4.920%, 10/01/13 |
207,981 | 216,194 | ||||||
Pool #958368, 4.710%, 03/01/14 |
579,240 | 613,218 | ||||||
Pool #AD0172, 4.756%, 04/01/16 |
222,809 | 239,572 | ||||||
Pool #469408, 1.021%, 11/01/18(b) |
2,785,000 | 2,802,521 | ||||||
Pool #995511, 5.500%, 12/01/18 |
544,937 | 591,988 | ||||||
Pool #995426, 5.500%, 09/01/21 |
643,981 | 699,986 | ||||||
Pool #635082, 2.374%, 05/01/32(b) |
125,194 | 130,244 | ||||||
Pool #555844, 2.349%, 10/01/33(b) |
239,176 | 251,719 | ||||||
Pool #822302, 2.587%, 05/01/35(b) |
391,802 | 415,127 | ||||||
Pool #995540, 2.395%, 01/01/36(b) |
1,542,826 | 1,626,481 | ||||||
Pool #995542, 2.398%, 02/01/36(b) |
601,680 | 635,681 | ||||||
Pool #AL0968, 2.529%, 12/01/36(b) |
610,490 | 647,769 | ||||||
Pool #AD0380, 2.434%, 10/01/37(b) |
834,157 | 880,777 | ||||||
Pool #AL0966, 4.343%, 11/01/37(b) |
607,094 | 645,861 | ||||||
Pool #AL0967, 2.567%, 04/01/38(b) |
970,420 | 1,028,913 | ||||||
|
|
|||||||
13,270,306 | ||||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $14,581,557) |
14,930,569 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Money Market Fund (0.8%) |
||||||||
State Street Institutional U.S. Government Money Market Fund, Institutional Class, 0.00%(c) |
988,213 | 988,213 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $988,213) |
988,213 | |||||||
|
|
|||||||
Total Investments (Cost $130,953,015) 99.7% |
130,815,660 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.3% |
395,268 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 131,210,928 | ||||||
|
|
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 4.6% of net assets as of December 31, 2011. |
(b) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(c) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
BAB | Build America Bonds | |
MTN | Medium Term Note | |
RB | Revenue Bond |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
U.S. Government Securities Fund | ||||||||
Shares or Principal Amount($) |
Value($) | |||||||
U.S. Treasury Obligations (93.5%) |
||||||||
U.S. Treasury Bonds (18.6%) |
||||||||
7.125%, 02/15/23 |
1,111,000 | 1,680,214 | ||||||
6.875%, 08/15/25 |
724,000 | 1,114,960 | ||||||
6.000%, 02/15/26 |
1,452,000 | 2,092,695 | ||||||
4.500%, 02/15/36 |
2,150,000 | 2,813,477 | ||||||
3.750%, 08/15/41 |
1,790,000 | 2,105,208 | ||||||
|
|
|||||||
9,806,554 | ||||||||
|
|
|||||||
U.S. Treasury Notes (74.9%) |
||||||||
0.875%, 02/29/12 |
4,100,000 | 4,105,445 | ||||||
2.375%, 09/30/14 |
3,179,000 | 3,354,093 | ||||||
0.500%, 10/15/14 |
8,710,000 | 8,746,068 | ||||||
1.750%, 07/31/15 |
7,645,000 | 7,979,469 | ||||||
1.500%, 06/30/16 |
6,550,000 | 6,773,624 | ||||||
2.625%, 08/15/20 |
7,795,000 | 8,407,032 | ||||||
|
|
|||||||
39,365,731 | ||||||||
|
|
|||||||
Total U.S. Treasury Obligations (Cost $47,458,636) |
49,172,285 | |||||||
|
|
|||||||
Money Market Fund (6.2%) |
||||||||
State Street Institutional Treasury Money Market Fund, Institutional Class, 0.00%(a) |
3,275,797 | 3,275,797 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $3,275,797) |
3,275,797 | |||||||
|
|
|||||||
Total Investments (Cost $50,734,433) 99.7% |
52,448,082 | |||||||
|
|
|||||||
Other assets in excess of liabilities 0.3% |
175,285 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 52,623,367 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
U.S. Government Securities Ultra-Short Bond Fund |
||||||||
Shares or Principal Amount($) |
Value($) | |||||||
Asset-Backed Security (0.2%) |
||||||||
Student Loan Asset Backed Security (0.2%) |
||||||||
SMS Student Loan Trust, Series 1999-B, Cl A2, 0.665%, 04/30/29(a) |
3,116,538 | 3,107,774 | ||||||
|
|
|||||||
Total Asset-Backed Security (Cost $3,097,798) |
3,107,774 | |||||||
|
|
|||||||
Collateralized Mortgage Obligations (30.9%) |
||||||||
Agency Collateralized Mortgage Obligations (25.0%) |
||||||||
Federal Home Loan Bank, Series Y2-2015, Cl 1, 2.600%, 04/20/15 |
5,911,164 | 6,092,850 | ||||||
Federal Home Loan Mortgage Corporation, Series 2840, Cl LJ, 4.250%, 11/15/17 |
799,555 | 812,691 | ||||||
Federal Home Loan Mortgage Corporation, Series 2877, Cl WF, 0.678%, 10/15/34(a) |
4,263,885 | 4,259,114 | ||||||
Federal Home Loan Mortgage Corporation, Series 2892, Cl F, 0.578%, 01/15/19(a) |
2,099,349 | 2,100,055 | ||||||
Federal Home Loan Mortgage Corporation, Series 3000, Cl FG, 0.578%, 07/15/25(a) |
5,622,953 | 5,606,409 | ||||||
Federal Home Loan Mortgage Corporation, Series 3135, Cl FC, 0.578%, 04/15/26(a) |
4,527,448 | 4,522,594 | ||||||
Federal Home Loan Mortgage Corporation, Series 3232, Cl KF, 0.728%, 10/15/36(a)(b) |
8,102,880 | 8,074,572 | ||||||
Federal Home Loan Mortgage Corporation, Series 3264, Cl FB, 0.648%, 01/15/37(a) |
4,877,470 | 4,840,430 | ||||||
Federal Home Loan Mortgage Corporation, Series 3320, Cl FC, 0.448%, 05/15/37(a)(b) |
9,995,279 | 9,955,626 | ||||||
Federal Home Loan Mortgage Corporation, Series 3450, Cl AF, 0.988%, 05/15/38(a)(b) |
5,240,491 | 5,263,567 | ||||||
Federal Home Loan Mortgage Corporation, Series 3511, Cl FA, 1.278%, 02/15/39(a)(b) |
19,795,246 | 19,994,140 | ||||||
Federal Home Loan Mortgage Corporation, Series 3574, Cl MA, 4.000%, 09/15/21 |
8,424,945 | 8,802,514 | ||||||
Federal Home Loan Mortgage Corporation, Series 3593, Cl F, 0.746%, 03/15/36(a) |
9,204,479 | 9,249,047 | ||||||
Federal Home Loan Mortgage Corporation, Series 3812, Cl BE, 2.750%, 09/15/18 |
14,297,506 | 14,749,672 | ||||||
Federal National Mortgage Association, Series 2002-M2, Cl C, 4.717%, 08/25/12 |
11,066,891 | 11,187,487 | ||||||
Federal National Mortgage Association, Series 2003-129, Cl GA, 4.680%, 04/25/30 |
3,445,842 | 3,485,990 | ||||||
Federal National Mortgage Association, Series 2003-32, Cl VT, 6.000%, 09/25/15 |
2,448,869 | 2,466,750 | ||||||
Federal National Mortgage Association, Series 2005-40, Cl FB, 0.544%, 05/25/35(a) |
3,043,108 | 3,030,093 | ||||||
Federal National Mortgage Association, Series 2005-92, Cl UF, 0.644%, 10/25/25(a) |
4,842,588 | 4,828,402 | ||||||
Federal National Mortgage Association, Series 2006-84, Cl FQ, 0.844%, 09/25/36(a)(b) |
10,630,994 | 10,641,606 | ||||||
Federal National Mortgage Association, Series 2007-102, Cl FA, 0.864%, 11/25/37(a)(b) |
8,948,498 | 8,966,659 | ||||||
Federal National Mortgage Association, Series 2007-109, Cl NF, 0.844%, 12/25/37(a)(b) |
17,111,724 | 17,136,562 | ||||||
Federal National Mortgage Association, Series 2007-2, Cl FM, 0.544%, 02/25/37(a) |
4,783,917 | 4,751,325 | ||||||
Federal National Mortgage Association, Series 2007-30, Cl WF, 0.534%, 04/25/37(a) |
21,229,030 | 21,077,886 | ||||||
Federal National Mortgage Association, Series 2007-4, Cl DF, 0.739%, 02/25/37(a)(b) |
4,133,966 | 4,107,150 | ||||||
Federal National Mortgage Association, Series 2007-54, Cl KF, 0.604%, 06/25/37(a) |
8,657,776 | 8,603,581 | ||||||
Federal National Mortgage Association, Series 2007-88 CI JF, 0.844%, 04/25/37(b) |
8,471,074 | 8,479,292 | ||||||
Federal National Mortgage Association, Series 2008-12, Cl FE, 0.894%, 01/25/33(a) |
4,152,261 | 4,156,205 | ||||||
Federal National Mortgage Association, Series 2008-18, Cl FE, 1.024%, 03/25/38(a)(b) |
9,406,470 | 9,455,091 | ||||||
Federal National Mortgage Association, Series 2009-37, Cl HA, 4.000%, 04/25/19 |
502,181 | 528,526 | ||||||
Federal National Mortgage Association, Series 2010-134, Cl BF, 0.724%, 10/25/40(a) |
20,179,815 | 20,052,528 | ||||||
Federal National Mortgage Association, Series 2010-42, Cl AF, 0.894%, 05/25/40(a) |
18,952,183 | 18,992,735 | ||||||
Federal National Mortgage Association, Series 2011-38, Cl AH, 2.750%, 05/25/20 |
6,929,750 | 7,146,335 | ||||||
Federal National Mortgage Association, Series 2011-M1, Cl FA, 0.744%, 06/25/21(a)(b) |
49,171,916 | 48,225,499 | ||||||
Government National Mortgage Association, Series 2002-56, Cl C, 5.677%, 07/16/27 |
6,140,218 | 6,281,480 | ||||||
Government National Mortgage Association, Series 2005-67, Cl B, 4.751%, 10/16/26(a) |
2,674,018 | 2,692,819 | ||||||
Government National Mortgage Association, Series 2010-66, Cl A, 1.869%, 09/16/27 |
12,908,654 | 12,982,866 | ||||||
Government National Mortgage Association, Series 2010-97, Cl A, 2.321%, 01/16/32 |
3,481,638 | 3,542,320 | ||||||
NCUA Guaranteed Notes, Series 2010-C1, Cl A1, 1.600%, 10/29/20 |
4,053,651 | 4,105,126 | ||||||
NCUA Guaranteed Notes, Series 2010-R2, Cl 1A, 0.644%, 11/06/17(a) |
4,925,966 | 4,925,966 | ||||||
NCUA Guaranteed Notes, Series 2011-C1, Cl 2A, 0.804%, 03/09/21(a) |
33,567,224 | 33,624,959 | ||||||
NCUA Guaranteed Notes, Series 2011-R1, Cl 1A, 0.724%, 01/08/20(a) |
14,589,090 | 14,614,183 |
See Notes to Schedules of Portfolio Investments.
NCUA Guaranteed Notes, Series 2011-R2, Cl 1A, 0.674%, 02/06/20(a) |
1,564,646 | 1,564,646 | ||||||
NCUA Guaranteed Notes, Series 2011-R4, Cl 1A, 0.654%, 03/06/20(a) |
27,200,475 | 27,200,475 | ||||||
NCUA Guaranteed Notes, Series 2011-R6, Cl 1A, 0.654%, 05/07/20(a) |
22,216,157 | 22,216,157 | ||||||
|
|
|||||||
455,393,980 | ||||||||
|
|
|||||||
Agency Collateralized Planned Amortization Class Mortgage Obligations (4.3%) |
||||||||
Federal Home Loan Mortgage Corporation, Series 2575, Cl FG, 0.678%, 05/15/32(a) |
1,714,327 | 1,715,182 | ||||||
Federal Home Loan Mortgage Corporation, Series 3200, Cl FP, 0.478%, 08/15/36(a)(b) |
10,443,378 | 10,381,266 | ||||||
Federal National Mortgage Association, Series 2003-63, Cl FE, 0.694%, 10/25/31(a) |
6,857,873 | 6,852,495 | ||||||
Federal National Mortgage Association, Series 2003-73, Cl DF, 0.744%, 10/25/32(a) |
7,506,550 | 7,500,118 | ||||||
Federal National Mortgage Association, Series 2005-42, Cl PF, 0.494%, 05/25/35(a) |
6,191,605 | 6,161,191 | ||||||
Federal National Mortgage Association, Series 2005-57, Cl EG, 0.594%, 03/25/35(a) |
4,996,902 | 4,982,438 | ||||||
Federal National Mortgage Association, Series 2006-123, Cl PF, 0.554%, 01/25/37(a)(b) |
12,878,334 | 12,792,646 | ||||||
Federal National Mortgage Association, Series 2006-79, Cl GF, 0.694%, 08/25/36(a)(b) |
28,083,617 | 28,021,114 | ||||||
|
|
|||||||
78,406,450 | ||||||||
|
|
|||||||
Commercial Mortgage Backed Security (1.4%) |
||||||||
FDIC Structured Sale Guaranteed Notes, Series 2011-C1, Cl A, 1.840%, 04/25/31(a)(b)(c) |
26,541,006 | 26,791,420 | ||||||
|
|
|||||||
Whole Loan Collateralized Mortgage Obligation (0.2%) |
||||||||
FDIC Structured Sale Guaranteed Notes, Series 2010-L2A, Cl A, 3.000%, 09/30/19(c) |
3,496,843 | 3,518,436 | ||||||
|
|
|||||||
Total Collateralized Mortgage Obligations (Cost $563,236,134) |
564,110,286 | |||||||
|
|
|||||||
U.S. Government Agency Mortgages (62.6%) |
||||||||
Federal Home Loan Mortgage Corporation (19.4%) |
||||||||
Pool #972122, 2.225%, 06/01/33(a) |
49,021 | 49,899 | ||||||
Pool #847615, 2.602%, 07/01/33(a) |
8,235,009 | 8,704,160 | ||||||
Pool #781028, 2.349%, 11/01/33(a) |
5,128,933 | 5,371,997 | ||||||
Pool #847276, 2.621%, 04/01/34(a) |
599,905 | 631,191 | ||||||
Pool #847522, 2.740%, 05/01/34(a) |
223,387 | 237,455 | ||||||
Pool #847308, 2.552%, 07/01/34(a) |
374,367 | 394,639 | ||||||
Pool #1G0077, 2.486%, 02/01/35(a) |
176,369 | 184,543 | ||||||
Pool # 847404, 4.434%, 04/01/35(a) |
5,484,235 | 5,792,341 | ||||||
Pool #1B2282, 5.138%, 07/01/35(a) |
3,149,543 | 3,342,145 | ||||||
Pool #1H2511, 4.930%, 08/01/35(a) |
10,605,292 | 11,247,728 | ||||||
Pool #1L0256, 2.375%, 11/01/35(a) |
7,394,699 | 7,738,597 | ||||||
Pool #1H2581, 2.450%, 01/01/36(a) |
9,064,982 | 9,527,013 | ||||||
Pool #848154, 2.745%, 06/01/36(a) |
10,113,657 | 10,764,325 | ||||||
Pool #1N0169, 2.001%, 07/01/36(a) |
848,043 | 889,874 | ||||||
Pool #1Q0852, 2.474%, 07/01/36(a) |
14,376,900 | 15,151,049 | ||||||
Pool #1Q0140, 2.468%, 08/01/36(a) |
3,176,224 | 3,356,261 | ||||||
Pool #1B7142, 2.599%, 09/01/36(a) |
1,469,295 | 1,563,431 | ||||||
Pool #1J0129, 2.600%, 09/01/36(a) |
1,315,066 | 1,392,274 | ||||||
Pool #848153, 2.554%, 10/01/36(a) |
2,996,145 | 3,176,979 | ||||||
Pool #847935, 2.547%, 11/01/36(a) |
16,437,362 | 17,347,247 | ||||||
Pool #1G2555, 2.903%, 11/01/36(a) |
5,984,147 | 6,301,357 | ||||||
Pool #848569, 4.844%, 11/01/36(a) |
35,698,165 | 37,810,504 | ||||||
Pool #848133, 5.154%, 11/01/36(a) |
3,705,466 | 3,932,588 | ||||||
Pool #1G2585, 3.032%, 12/01/36(a) |
212,136 | 225,724 | ||||||
Pool #1Q0853, 4.001%, 01/01/37(a) |
15,013,465 | 15,927,443 | ||||||
Pool #1J0331, 2.673%, 03/01/37(a) |
1,079,203 | 1,149,907 | ||||||
Pool #1G1676, 5.481%, 04/01/37(a) |
311,313 | 334,929 | ||||||
Pool #1Q1195, 2.401%, 05/01/37(a) |
24,864,329 | 26,249,746 | ||||||
Pool #848048, 5.052%, 05/01/37(a) |
4,358,347 | 4,628,250 | ||||||
Pool #1J0533, 2.617%, 07/01/37(a) |
38,020 | 40,491 | ||||||
Pool #1N1664, 5.924%, 07/01/37(a) |
10,219,708 | 10,908,501 | ||||||
Pool #1J0681, 5.923%, 10/01/37(a) |
9,583,833 | 10,215,986 | ||||||
Pool #1Q0652, 4.920%, 02/01/38(a) |
4,613,913 | 4,880,110 | ||||||
Pool #1Q1266, 3.729%, 11/01/38(a) |
90,613,587 | 95,916,821 |
See Notes to Schedules of Portfolio Investments.
Pool #1Q1039, 4.859%, 03/01/39(a) |
6,060,556 | 6,462,189 | ||||||
Pool #1Q1016, 4.585%, 04/01/39(a) |
6,712,445 | 7,159,299 | ||||||
Pool #1B4755, 3.493%, 06/01/40(a) |
13,894,375 | 14,546,151 | ||||||
|
|
|||||||
353,553,144 | ||||||||
|
|
|||||||
Federal National Mortgage Association (43.2%) |
||||||||
Pool #545387, 5.969%, 01/01/12 |
608,552 | 608,528 | ||||||
Pool #384569, 6.200%, 01/01/12 |
1,275,000 | 1,270,277 | ||||||
Pool #874333, 5.620%, 02/01/12 |
6,915,000 | 6,934,979 | ||||||
Pool #545471, 5.926%, 02/01/12 |
2,636,245 | 2,636,132 | ||||||
Pool #384762, 6.005%, 02/01/12 |
2,900,339 | 2,907,826 | ||||||
Pool #545423, 6.083%, 02/01/12 |
937,721 | 937,681 | ||||||
Pool #545425, 6.163%, 02/01/12 |
1,339,003 | 1,342,711 | ||||||
Pool #545527, 6.183%, 02/01/12 |
2,800,464 | 2,800,333 | ||||||
Pool #545547, 6.038%, 03/01/12 |
194,734 | 197,374 | ||||||
Pool #760762, 4.890%, 04/01/12 |
3,825,000 | 3,804,607 | ||||||
Pool #545685, 5.688%, 04/01/12 |
294,544 | 294,321 | ||||||
Pool #545708, 6.123%, 05/01/12 |
517,457 | 522,697 | ||||||
Pool #385082, 6.180%, 05/01/12 |
4,357,006 | 4,356,861 | ||||||
Pool #385284, 5.610%, 07/01/12 |
108,759 | 108,676 | ||||||
Pool #385290, 5.780%, 07/01/12 |
1,419,326 | 1,447,722 | ||||||
Pool #545745, 6.053%, 07/01/12 |
478,125 | 483,191 | ||||||
Pool #555088, 6.316%, 08/01/12 |
490,863 | 490,414 | ||||||
Pool #385520, 5.410%, 09/01/12 |
294,032 | 295,874 | ||||||
Pool #385395, 5.530%, 09/01/12 |
1,726,398 | 1,737,327 | ||||||
Pool #545987, 5.835%, 09/01/12 |
654,634 | 661,269 | ||||||
Pool #545892, 5.217%, 10/01/12 |
503,741 | 508,625 | ||||||
Pool #375459, 6.775%, 10/01/12 |
2,314,886 | 2,340,353 | ||||||
Pool #313755, 7.000%, 10/01/12 |
10,176 | 10,222 | ||||||
Pool #545978, 4.764%, 11/01/12 |
1,264,165 | 1,275,149 | ||||||
Pool #545938, 5.123%, 11/01/12 |
1,249,117 | 1,265,587 | ||||||
Pool #385578, 5.450%, 11/01/12 |
2,270,000 | 2,285,619 | ||||||
Pool #375493, 6.925%, 11/01/12 |
1,748,864 | 1,775,359 | ||||||
Pool #555058, 4.719%, 12/01/12 |
1,881,912 | 1,898,302 | ||||||
Pool #873198, 5.150%, 12/01/12 |
1,378,807 | 1,380,940 | ||||||
Pool #555162, 4.826%, 01/01/13 |
2,941,871 | 3,003,514 | ||||||
Pool #385683, 4.830%, 02/01/13 |
4,267,424 | 4,368,175 | ||||||
Pool #385921, 4.830%, 02/01/13 |
189,960 | 193,880 | ||||||
Pool #555191, 4.857%, 02/01/13 |
1,580,446 | 1,618,555 | ||||||
Pool #555264, 4.860%, 02/01/13 |
1,000,194 | 1,018,914 | ||||||
Pool #873294, 5.100%, 02/01/13 |
1,757,511 | 1,814,190 | ||||||
Pool #385998, 4.635%, 03/01/13 |
383,028 | 391,681 | ||||||
Pool #555317, 4.879%, 04/01/13 |
2,847,791 | 2,925,211 | ||||||
Pool #873590, 5.470%, 04/01/13 |
362,728 | 374,079 | ||||||
Pool #555435, 4.501%, 05/01/13 |
155,645 | 159,155 | ||||||
Pool #555505, 4.663%, 05/01/13 |
137,851 | 140,445 | ||||||
Pool #386210, 4.080%, 06/01/13 |
4,266,241 | 4,379,843 | ||||||
Pool #386287, 4.115%, 06/01/13 |
8,540,620 | 8,850,319 | ||||||
Pool #555648, 4.542%, 06/01/13 |
166,040 | 170,269 | ||||||
Pool #873612, 5.770%, 06/01/13 |
1,260,673 | 1,309,886 | ||||||
Pool #386314, 3.790%, 07/01/13 |
3,955,064 | 4,059,077 | ||||||
Pool #386424, 4.190%, 07/01/13 |
335,954 | 347,658 | ||||||
Pool #386380, 4.210%, 07/01/13 |
357,954 | 368,720 | ||||||
Pool #386441, 4.220%, 08/01/13 |
119,972 | 124,180 | ||||||
Pool #735065, 4.484%, 08/01/13 |
358,611 | 366,638 | ||||||
Pool #360500, 6.255%, 09/01/13 |
1,000,000 | 1,076,264 | ||||||
Pool #555910, 4.920%, 10/01/13(b) |
6,025,819 | 6,263,777 | ||||||
Pool #555806, 5.159%, 10/01/13 |
3,383,862 | 3,548,959 | ||||||
Pool #555850, 4.818%, 11/01/13 |
656,998 | 688,132 | ||||||
Pool #725324, 5.391%, 11/01/13 |
408,265 | 424,988 |
See Notes to Schedules of Portfolio Investments.
Pool #380935, 6.250%, 12/01/13 |
574,846 | 596,558 | ||||||
Pool #AD0192, 4.721%, 01/01/14 |
3,031,303 | 3,183,449 | ||||||
Pool #386742, 4.870%, 01/01/14 |
4,821,285 | 5,090,081 | ||||||
Pool #386802, 4.900%, 01/01/14 |
5,144,299 | 5,415,917 | ||||||
Pool #958216, 5.370%, 01/01/14 |
2,965,279 | 3,152,557 | ||||||
Pool #958368, 4.710%, 03/01/14 |
13,407,465 | 14,193,956 | ||||||
Pool #386925, 4.360%, 04/01/14 |
435,269 | 458,278 | ||||||
Pool #958806, 3.850%, 05/01/14 |
963,451 | 1,011,765 | ||||||
Pool #958789, 3.920%, 06/01/14 |
8,396,367 | 8,841,458 | ||||||
Pool #462846, 4.150%, 07/01/14 |
1,543,816 | 1,634,131 | ||||||
Pool #735028, 5.735%, 09/01/14 |
4,070,436 | 4,437,895 | ||||||
Pool #375190, 7.440%, 11/01/14 |
3,110,729 | 3,138,731 | ||||||
Pool #387302, 4.700%, 03/01/15 |
498,415 | 537,314 | ||||||
Pool #735387, 4.894%, 04/01/15 |
187,926 | 205,585 | ||||||
Pool #387352, 5.160%, 04/01/15 |
233,029 | 253,125 | ||||||
Pool #375103, 7.660%, 05/01/15 |
1,215,697 | 1,236,451 | ||||||
Pool #735675, 4.988%, 06/01/15 |
4,778,654 | 5,202,167 | ||||||
Pool #387486, 4.700%, 07/01/15 |
717,915 | 730,175 | ||||||
Pool #735953, 4.997%, 08/01/15 |
24,013 | 26,223 | ||||||
Pool #462011, 5.155%, 08/01/15 |
85,203 | 92,776 | ||||||
Pool #465821, 2.900%, 09/01/15 |
1,078,322 | 1,128,959 | ||||||
Pool #462018, 5.365%, 09/01/15 |
406,774 | 443,505 | ||||||
Pool #466534, 2.040%, 11/01/15 |
625,000 | 639,837 | ||||||
Pool #462085, 5.315%, 11/01/15 |
3,705,424 | 4,143,715 | ||||||
Pool #387740, 5.245%, 12/01/15 |
1,187,306 | 1,306,466 | ||||||
Pool #745504, 5.152%, 02/01/16 |
12,727,999 | 14,204,083 | ||||||
Pool #745530, 5.273%, 04/01/16 |
131,520 | 147,384 | ||||||
Pool #745727, 5.260%, 05/01/16 |
276,787 | 298,354 | ||||||
Pool #380240, 6.590%, 05/01/16 |
901,330 | 940,749 | ||||||
Pool #468647, 2.260%, 07/01/16 |
17,930,000 | 18,400,493 | ||||||
Pool #462237, 5.525%, 07/01/16 |
162,368 | 179,516 | ||||||
Pool #745764, 5.725%, 07/01/16 |
468,119 | 517,997 | ||||||
Pool #468795, 2.470%, 08/01/16 |
15,200,000 | 15,715,681 | ||||||
Pool #463420, 4.050%, 09/01/16 |
6,511,962 | 6,910,824 | ||||||
Pool #888015, 5.543%, 11/01/16 |
484,417 | 537,697 | ||||||
Pool #469673, 2.080%, 12/01/16 |
4,935,000 | 5,020,547 | ||||||
Pool #470340, 2.090%, 01/01/17(d) |
4,675,000 | 4,762,656 | ||||||
Pool #735745, 4.989%, 01/01/17 |
82,195 | 88,452 | ||||||
Pool #545414, 5.500%, 01/01/17 |
1,000,447 | 1,086,828 | ||||||
Pool #888969, 5.932%, 11/01/17 |
3,187,887 | 3,491,896 | ||||||
Pool #931675, 5.500%, 01/01/18(b) |
3,761,348 | 4,086,110 | ||||||
Pool #469178, 0.675%, 09/01/18(a) |
14,683,496 | 14,794,325 | ||||||
Pool #469334, 0.675%, 10/01/18(a) |
12,790,000 | 12,853,125 | ||||||
Pool #469482, 1.075%, 10/01/18(a) |
13,420,000 | 13,573,103 | ||||||
Pool #469408, 0.990%, 11/01/18(a) |
35,335,000 | 35,557,302 | ||||||
Pool #995511, 5.500%, 12/01/18 |
7,507,762 | 8,155,997 | ||||||
Pool #466804, 0.825%, 12/01/20(a) |
13,370,000 | 13,509,046 | ||||||
Pool #995426, 5.500%, 09/01/21 |
8,864,652 | 9,635,583 | ||||||
Pool #469386, 0.865%, 10/01/21(a) |
30,015,000 | 30,186,537 | ||||||
Pool #469856, 1.042%, 12/01/21(a) |
17,690,000 | 17,769,769 | ||||||
Pool #995434, 5.000%, 09/01/23 |
5,987,280 | 6,466,813 | ||||||
Pool #635082, 2.374%, 05/01/32(a) |
142,437 | 148,184 | ||||||
Pool #604921, 2.142%, 10/01/32(a) |
117,548 | 122,181 | ||||||
Pool #671993, 2.369%, 12/01/32(a) |
15,947 | 16,190 | ||||||
Pool #AE0044, 5.131%, 03/01/33(a) |
3,424,013 | 3,640,105 | ||||||
Pool #689966, 2.385%, 04/01/33(a) |
1,117,882 | 1,165,403 | ||||||
Pool #555468, 2.303%, 05/01/33(a) |
324,069 | 340,308 | ||||||
Pool #711466, 2.755%, 05/01/33(a) |
33,222 | 33,730 | ||||||
Pool #733703, 2.354%, 08/01/33(a) |
4,308,876 | 4,541,585 | ||||||
Pool #555756, 4.599%, 08/01/33(a) |
3,518,107 | 3,809,979 |
See Notes to Schedules of Portfolio Investments.
Pool #555844, 2.349%, 10/01/33(a) |
371,405 | 390,883 | ||||||
Pool #386320, 4.550%, 10/01/33 |
186,496 | 195,055 | ||||||
Pool #725126, 2.714%, 12/01/33(a) |
2,748,060 | 2,902,262 | ||||||
Pool #793025, 1.940%, 07/01/34(a) |
730,319 | 772,203 | ||||||
Pool #801510, 1.908%, 08/01/34(a) |
1,884,098 | 1,963,135 | ||||||
Pool #794939, 1.760%, 10/01/34(a) |
29,500 | 30,070 | ||||||
Pool #813565, 2.159%, 12/01/34(a) |
6,020,810 | 6,266,514 | ||||||
Pool #745707, 2.439%, 12/01/34(a) |
15,783,418 | 16,658,924 | ||||||
Pool #AD0064, 1.950%, 01/01/35(a) |
17,958,727 | 18,863,639 | ||||||
Pool #805338, 2.326%, 01/01/35(a) |
343,609 | 362,538 | ||||||
Pool #809384, 2.341%, 01/01/35(a) |
425,180 | 440,514 | ||||||
Pool #813718, 2.421%, 01/01/35(a) |
13,241,202 | 13,935,515 | ||||||
Pool #809772, 2.404%, 02/01/35(a)(b) |
431,878 | 448,392 | ||||||
Pool #820598, 1.828%, 03/01/35(a) |
896,014 | 925,534 | ||||||
Pool #814686, 2.274%, 03/01/35(a) |
257,961 | 260,079 | ||||||
Pool #735545, 2.507%, 03/01/35(a) |
5,199,504 | 5,484,261 | ||||||
Pool #822302, 2.587%, 05/01/35(a) |
1,057,344 | 1,120,291 | ||||||
Pool #821373, 5.256%, 06/01/35(a) |
1,776,122 | 1,888,377 | ||||||
Pool #735766, 4.690%, 07/01/35(a) |
1,803,554 | 1,905,723 | ||||||
Pool #735810, 2.932%, 08/01/35(a) |
1,773,227 | 1,876,145 | ||||||
Pool #829334, 2.365%, 09/01/35(a) |
133,570 | 140,894 | ||||||
Pool #817467, 5.145%, 09/01/35(a) |
4,768,249 | 5,065,069 | ||||||
Pool #AL0505, 2.478%, 11/01/35(a) |
19,827,316 | 20,793,223 | ||||||
Pool #AD0377, 1.963%, 01/01/36(a) |
3,588,070 | 3,774,175 | ||||||
Pool #995540, 2.395%, 01/01/36(a)(b) |
9,542,667 | 10,060,087 | ||||||
Pool #995542, 2.398%, 02/01/36(a) |
4,751,535 | 5,020,047 | ||||||
Pool #AL0854, 2.529%, 06/01/36(a) |
13,065,584 | 13,740,340 | ||||||
Pool #AE0329, 4.752%, 06/01/36(a) |
3,384,238 | 3,575,443 | ||||||
Pool #888859, 2.501%, 10/01/36(a)(b) |
1,511,158 | 1,590,547 | ||||||
Pool #745975, 2.299%, 11/01/36(a) |
4,735,836 | 4,980,094 | ||||||
Pool #903166, 2.400%, 11/01/36(a) |
3,620,217 | 3,803,283 | ||||||
Pool #AL0968, 2.516%, 12/01/36(a) |
30,524,482 | 32,388,428 | ||||||
Pool #905857, 2.625%, 12/01/36(a) |
255,597 | 272,121 | ||||||
Pool #909313, 4.970%, 12/01/36(a) |
1,125,492 | 1,180,844 | ||||||
Pool #888180, 2.436%, 01/01/37(a) |
3,235,090 | 3,398,576 | ||||||
Pool #906216, 5.841%, 01/01/37(a) |
3,065,803 | 3,271,952 | ||||||
Pool #535990, 2.443%, 04/01/37(a) |
1,042,473 | 1,103,619 | ||||||
Pool #AA3518, 2.323%, 05/01/37(a) |
14,840,560 | 15,650,905 | ||||||
Pool #AL0960, 3.206%, 07/01/37(a) |
33,870,161 | 35,914,027 | ||||||
Pool #AL0872, 3.607%, 07/01/37(a) |
5,822,542 | 6,166,224 | ||||||
Pool #995059, 5.359%, 08/01/37(a) |
3,246,445 | 3,429,096 | ||||||
Pool #AD0380, 2.434%, 10/01/37(a) |
13,003,777 | 13,730,540 | ||||||
Pool #AL0966, 4.979%, 11/01/37(a) |
9,636,416 | 10,251,759 | ||||||
Pool #AE0332, 5.368%, 11/01/37(a) |
10,795,561 | 11,387,287 | ||||||
Pool #AL0967, 2.655%, 04/01/38(a) |
29,112,604 | 30,867,383 | ||||||
Pool #976778, 4.481%, 04/01/38(a) |
10,347,085 | 11,043,887 | ||||||
Pool #AE0107, 5.349%, 10/01/38(a) |
7,035,073 | 7,506,875 | ||||||
Pool #AE0279, 4.690%, 11/01/38(a) |
3,103,516 | 3,310,061 | ||||||
Pool #725874, 2.439%, 09/01/39(a) |
131,845 | 138,814 | ||||||
Pool #AE0066, 2.742%, 09/01/39(a) |
31,578,370 | 33,281,652 | ||||||
|
|
|||||||
787,902,377 | ||||||||
|
|
|||||||
Total U.S. Government Agency Mortgages (Cost $1,122,407,817) |
1,141,455,521 | |||||||
|
|
|||||||
Money Market Fund (5.7%) |
||||||||
State Street Institutional U.S. Government Money Market Fund, Institutional Class, 0.00%(e) |
103,761,680 | 103,761,680 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $103,761,680) |
103,761,680 | |||||||
|
|
See Notes to Schedules of Portfolio Investments.
Total Investments (Cost $1,792,503,429) 99.4% |
1,812,435,261 | |||
|
|
|||
Other assets in excess of liabilities 0.6% |
10,961,094 | |||
|
|
|||
Net Assets 100.0% |
$ | 1,823,396,355 | ||
|
|
(a) | Variable or floating rate security. Rate disclosed is as of December 31, 2011. |
(b) | All or a portion of this security has been segregated in connection with obligations for when-issued or delayed-delivery purchase commitments. |
(c) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Funds adviser/subadviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent 1.7% of net assets as of December 31, 2011. |
(d) | All or a portion of this security has been purchased on a when-issued or delayed-delivery basis. |
(e) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
See Notes to Schedules of Portfolio Investments.
SCHEDULES OF PORTFOLIO INVESTMENTS
RIDGEWORTH FUNDS December 31, 2011
(Unaudited)
Virginia Intermediate Municipal Bond Fund
Shares or Principal Amount($) |
Value($) | |||||||
Municipal Bonds (96.4%) |
||||||||
District of Columbia (4.5%) |
||||||||
Metropolitan Washington D.C. Airports Authority, Airport System, Series A, RB, 5.000%, 10/01/29, Callable 10/01/20 @ 100 |
2,500,000 | 2,740,975 | ||||||
Metropolitan Washington D.C. Airports Authority, Airport System, Series B, RB, 5.000%, 10/01/26, Callable 10/01/19 @ 100, BHAC |
2,175,000 | 2,411,879 | ||||||
Washington D.C. Metropolitan Area Transit Authority, Gross Revenue, Series A, RB, 5.125%, 07/01/32, Callable 07/01/19 @ 100 |
2,000,000 | 2,177,040 | ||||||
|
|
|||||||
7,329,894 | ||||||||
|
|
|||||||
Puerto Rico (1.1%) |
||||||||
Puerto Rico Sales Tax Financing Corp., Sales Tax Revenue, Series C, RB, 5.000%, 08/01/22, Callable 08/01/21 @ 100 |
1,500,000 | 1,777,665 | ||||||
|
|
|||||||
Virginia (90.8%) |
||||||||
Arlington County, GO, 5.000%, 03/15/15 |
4,500,000 | 5,133,465 | ||||||
Bedford County Economic Development Authority, Public Facilities Lease, RB, 5.250%, 05/01/24, Callable 05/10/16 @ 100, NATL-RE |
2,890,000 | 3,145,071 | ||||||
Chesapeake Water & Sewer, GO, 5.000%, 12/01/19, Callable 12/01/14 @ 101 |
2,465,000 | 2,752,715 | ||||||
Fairfax County Economic Development Authority, RB, 5.000%, 08/01/22, Callable 08/01/20 @ 100 |
3,700,000 | 4,473,004 | ||||||
Fairfax County Economic Development Authority, Lease Revenue, RB, 5.000%, 05/15/18 |
1,770,000 | 2,134,036 | ||||||
Fauquier County, GO, 5.000%, 07/01/19, Callable 07/01/16 @ 100, NATL-RE |
2,100,000 | 2,436,357 | ||||||
Greater Richmond Convention Center Authority, Hotel Tax, RB, 5.000%, 06/15/16, Callable 06/15/15 @ 100, NATL-RE |
2,855,000 | 3,174,903 | ||||||
Hampton, Series A, GO, 5.000%, 01/15/20, Callable 01/15/19 @ 100 |
1,000,000 | 1,233,200 | ||||||
Hampton Roads Sanitation District Wastewater, RB, 5.000%, 04/01/23, Callable 04/01/18 @ 100 |
1,060,000 | 1,225,625 | ||||||
Hampton Roads Sanitation District Wastewater, RB, 5.000%, 04/01/24, Callable 04/01/18 @ 100 |
2,425,000 | 2,776,552 | ||||||
Hanover County Development Authority, Regional Medical Care Project, RB, 6.375%, 08/15/18, NATL-RE |
5,495,000 | 6,146,872 | ||||||
Henrico County Economic Development Authority, Residential Care Facilities, Series A, RB, 6.500%, 06/01/22, Callable 06/01/12 @ 100, MSF |
980,000 | 985,410 | ||||||
Henry County Public Service Authority, Water & Sewer, RB, 5.250%, 11/15/13, MSF, AGM |
1,500,000 | 1,631,760 | ||||||
James City County Economic Development Authority, Public Facility Project, RB, 5.000%, 06/15/21, Callable 06/15/17 @ 100, AGM |
2,215,000 | 2,518,411 | ||||||
Loudoun County Industrial Development Authority, Series A, RB, 5.000%, 06/01/31 |
2,000,000 | 2,205,140 | ||||||
Loudoun County Sanitation Authority, Water & Sewage, RB, 5.000%, 01/01/21 |
2,460,000 | 3,125,602 | ||||||
Loudoun County Sanitation Authority, Water & Sewage, RB, 5.000%, 01/01/25, Callable 01/01/15 @ 100 |
1,000,000 | 1,104,250 | ||||||
Loudoun County, Public Improvement, GO, 5.000%, 06/01/14 |
3,500,000 | 3,878,735 | ||||||
New Kent County Economic Development Authority, School & Governmental Projects, RB, 5.000%, 02/01/18, Callable 02/01/17 @ 100, AGM |
2,225,000 | 2,600,558 | ||||||
Newport News, GO, 5.250%, 07/01/15 |
3,000,000 | 3,464,730 | ||||||
Peninsula Ports Authority, Residential Care Facility, Series A, RB, 7.375%, 12/01/23, Prerefunded 12/01/13 @ 100 |
3,520,000 | 3,970,278 | ||||||
Pittsylvania County, GO, 5.000%, 03/01/21, Callable 03/01/20 @ 100 |
1,000,000 | 1,213,040 |
See Notes to Schedules of Portfolio Investments.
Pittsylvania County, Series B, GO, 5.000%, 03/01/22, Callable 03/01/20 @ 100 |
1,000,000 | 1,198,290 | ||||||
Portsmouth, Series B, GO, 5.250%, 07/15/24, Callable 07/15/19 @ 100 |
1,000,000 | 1,197,200 | ||||||
Portsmouth, Series D, GO, 5.000%, 07/15/23, Callable 07/15/20 @ 100 |
1,250,000 | 1,519,225 | ||||||
Powhatan County, GO, 5.000%, 01/15/32, Callable 01/15/20 @ 100 |
1,580,000 | 1,741,350 | ||||||
Richmond, GO, 5.000%, 07/15/24, Callable 07/15/16 @ 100, AGM |
1,435,000 | 1,592,147 | ||||||
Richmond, Series B, GO, 5.000%, 07/15/18 |
2,000,000 | 2,473,640 | ||||||
Richmond Industrial Development Authority, Government Facilities, RB, 5.000%, 07/15/18, AMBAC |
1,795,000 | 1,996,973 | ||||||
Richmond Industrial Development Authority, Student Housing, RB, 5.450%, 01/01/21, Callable 01/01/13 @ 100 |
1,000,000 | 1,010,150 | ||||||
Roanoke, GO, 5.000%, 10/01/18 |
2,450,000 | 3,026,681 | ||||||
Roanoke, Series B, GO, 5.000%, 02/01/24, Callable 02/01/15 @ 101 |
2,500,000 | 2,723,375 | ||||||
Roanoke Industrial Development Authority, Carilion Health System, Series A, RB, 5.500%, 07/01/21, Callable 07/01/12 @ 100, NATL-RE |
1,000,000 | 1,017,930 | ||||||
Smyth County Industrial Development Authority, Mountain States Health Alliance, RB, 5.000%, 07/01/23, Callable 07/01/20 @ 100 |
1,000,000 | 1,046,510 | ||||||
Stafford County & Staunton Industrial Development Authority, Series B, RB, 5.000%, 08/01/25, Callable 08/01/27 @ 100, XLCA |
2,500,000 | 2,645,775 | ||||||
Tobacco Settlement Financing Corp., RB, 5.500%, 06/01/26, Prerefunded 06/01/15 @ 100, MSF |
4,940,000 | 5,443,485 | ||||||
Virginia Beach, Public Improvement, Series C, GO, 5.000%, 09/15/16 |
2,325,000 | 2,773,283 | ||||||
Virginia College Building Authority, Educational Facilities Project, Series B, RB, 5.000%, 03/01/21 |
1,250,000 | 1,568,900 | ||||||
Virginia College Building Authority, Educational Facilities Project, Washington & Lee University, RB, 5.375%, 01/01/21, Sinkable 01/01/16 @ 100, MSF |
3,950,000 | 4,752,047 | ||||||
Virginia College Building Authority, Public Higher Educational Financing Program, Series A, RB, 5.000%, 09/01/17, Callable 09/01/16 @ 100 |
3,000,000 | 3,529,110 | ||||||
Virginia College Building Authority, Public Higher Educational Financing Program, Series A, RB, 5.000%, 09/01/27, Callable 09/01/18 @ 100 |
5,000,000 | 5,622,700 | ||||||
Virginia Commonwealth University, Health System Authority, RB, 5.000%, 07/01/30, Callable 07/01/21 @ 100 |
1,460,000 | 1,549,571 | ||||||
Virginia Housing Development Authority, Commonwealth Mortgage, Series A-1, RB, 3.650%, 01/01/18 GO |
1,205,000 | 1,290,133 | ||||||
Virginia Housing Development Authority, Commonwealth Mortgage, Series E, RB, 6.000%, 07/01/25, Callable 07/01/18 @ 100, GO of Authority |
2,450,000 | 2,701,615 | ||||||
Virginia Polytechnic Institute & State University, Series D, RB, 5.125%, 06/01/21, Callable 06/01/14 @ 101, AMBAC |
2,095,000 | 2,293,543 | ||||||
Virginia Public Building Authority Facilities, Series A, RB, 5.000%, 08/01/26, Callable 08/01/21 @ 100 |
2,500,000 | 2,948,025 | ||||||
Virginia Public Building Authority Facilities, Series B, RB, 5.000%, 08/01/20, Callable 08/01/19 @ 100 |
4,000,000 | 4,952,400 | ||||||
Virginia Public School Authority, School Financing, RB, 5.000%, 07/15/26, Callable 07/15/18 @ 100 |
2,000,000 | 2,266,440 | ||||||
Virginia Resources Authority, Clean Water State Revolving Fund, Series B, RB, 5.000%, 10/01/30, Callable 10/01/20 @ 100 |
1,000,000 | 1,171,380 | ||||||
Virginia Resources Authority, Clean Water State Revolving Fund, RB, 5.000%, 10/01/20, Callable 10/01/17 @ 100 |
2,000,000 | 2,365,620 | ||||||
Virginia Resources Authority, Clean Water State Revolving Fund, RB, 5.000%, 10/01/27, Callable 10/01/19 @ 100 |
2,065,000 | 2,428,295 | ||||||
Virginia Resources Authority, Series B, AMT, RB, 4.000%, 08/01/17 |
1,085,000 | 1,218,238 | ||||||
Virginia Resources Authority, Series B, AMT, RB, 4.000%, 08/01/18 |
1,130,000 | 1,277,657 | ||||||
Virginia Resources Authority Clean Water, Revolving Fund, RB, 5.000%, 10/01/16 |
2,030,000 | 2,416,350 | ||||||
Virginia Resources Authority Infrastructure, Pooled Financing Program, Series A, RB, 5.000%, 11/01/18 |
2,775,000 | 3,440,390 | ||||||
Virginia State, Series A, GO, 5.000%, 06/01/19, Prerefunded 06/01/14 @ 100 |
3,170,000 | 3,514,484 | ||||||
Western Regional Jail Authority, Jail Facilities, RB, 4.750%, 06/01/23, Callable 06/01/17 @ 100, NATL-RE |
1,000,000 | 1,099,670 |
See Notes to Schedules of Portfolio Investments.
Winchester, GO, 5.000%, 11/01/18, Callable 11/01/15 @ 100, NATL-RE/FGIC |
2,000,000 | 2,321,060 | ||||||
|
|
|||||||
147,463,356 | ||||||||
|
|
|||||||
Total Municipal Bonds (Cost $144,068,774) |
156,570,915 | |||||||
|
|
|||||||
Money Market Fund (2.5%) |
||||||||
Federated Virginia Municipal Cash Trust, Institutional Shares, 0.01%(a) |
4,140,133 | 4,140,133 | ||||||
|
|
|||||||
Total Money Market Fund (Cost $4,140,133) |
4,140,133 | |||||||
|
|
|||||||
Total Investments (Cost $148,208,907) 98.9% |
160,711,048 | |||||||
|
|
|||||||
Other assets in excess of liabilities 1.1% |
1,718,680 | |||||||
|
|
|||||||
Net Assets 100.0% |
$ | 162,429,728 | ||||||
|
|
(a) | Rate disclosed, the 7 day net yield, is as of December 31, 2011. |
Investment Abbreviations | ||
AGM | Security guaranteed by Assured Guaranty Municipal Corporation | |
AMBAC | Security guaranteed by American Municipal Bond Assurance Corporation | |
AMT | Income subject to Alternative Minimum Tax | |
BHAC | Security guaranteed by Berkshire Hathaway Assurance Corporation | |
FGIC | Security guaranteed by Financial Guaranty Insurance Company | |
GO | General Obligation | |
MSF | Mandatory Sinking Fund | |
NATL-RE | Reinsurance provided by National Public Finance Guarantee Corporation | |
RB | Revenue Bond | |
XLCA | Security guaranteed by XL Capital Assurance, Inc. |
See Notes to Schedules of Portfolio Investments.
Notes to Schedule of Portfolio Investments
1. Organization
The RidgeWorth Funds (the Trust) is organized as a Massachusetts business trust under a Declaration of Trust dated January 15, 1992. The Trust is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company offering the following funds as of December 31, 2011: Aggressive Growth Stock Fund, Emerging Growth Stock Fund, International Equity Fund, International Equity Index Fund, Large Cap Core Growth Stock Fund, Large Cap Growth Stock Fund, Large Cap Value Equity Fund, Mid-Cap Value Equity Fund, Select Large Cap Growth Stock Fund, Small Cap Growth Stock Fund, Small Cap Value Equity Fund, Aggressive Growth Allocation Strategy, Conservative Allocation Strategy, Growth Allocation Strategy, Moderate Allocation Strategy, Core Bond Fund, Corporate Bond Fund, Georgia Tax-Exempt Bond Fund, High Grade Municipal Bond Fund, High Income Fund, Intermediate Bond Fund, Investment Grade Tax-Exempt Bond Fund, Limited Duration Fund, Limited-Term Federal Mortgage Securities Fund, Maryland Municipal Bond Fund, North Carolina Tax-Exempt Bond Fund, Seix Floating Rate High Income Fund, Seix High Yield Fund, Short-Term Bond Fund, Short-Term U.S. Treasury Securities Fund, Total Return Bond Fund, Ultra-Short Bond Fund, U.S. Government Securities Fund, U.S. Government Securities Ultra-Short Bond Fund, and Virginia Intermediate Municipal Bond Fund (each, a Fund and collectively, the Funds). The Funds prospectuses provide a description of each Funds investment objective, policies and strategies.
Under the Trusts organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, in the normal course of business, the Trust enters into contracts with its vendors and others that provide for general indemnifications. The Trusts maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust. However, based on experience, the Trust expects that risk of loss to be remote.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its Schedules of Portfolio Investments (each, a Schedule and collectively, the Schedules). These policies are in conformity with accounting principles generally accepted in the United States of America (GAAP). The preparation of the Schedules in accordance with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the Schedules. The actual results could differ from these estimates.
Security ValuationSecurities listed on a securities exchange, market or automated quotation system for which quotations are readily available (except for securities traded on NASDAQ), including securities traded over the counter, are valued at the last quoted sale price on the primary exchange or market (foreign or domestic) on which they are traded on valuation date (or at approximately 4:00 p.m. Eastern Time if a securitys primary exchange is normally open at that time) or, if there is no such reported sale on the valuation date, at the most recent quoted bid price. For securities traded on NASDAQ, the NASDAQ Official Closing Price is used. If available, debt securities are priced based upon valuations provided by independent, third-party pricing agents. Such values generally reflect the last reported sale price if the security is actively traded. The third-party pricing agents may also value debt securities at an evaluated bid price by employing methodologies that utilize actual market transactions, broker-supplied valuations, or other methodologies designed to identify the market value for such securities and such securities are considered Level 2 in the fair value hierarchy. Debt obligations with remaining maturities of sixty days or less may be valued at their amortized cost, which approximates market value. The prices for foreign securities are reported in local currency and converted to U.S. dollars at the exchange rate of such currencies against the U.S. dollar, as of the close of regular trading on the New York Stock Exchange (NYSE) (usually 4:00 p.m. Eastern Time), as provided by an independent, third-party pricing agent approved by the Trusts Board of Trustees (the Board). If a security price cannot be obtained from an independent, third-party pricing agent, the Funds accounting agent shall seek to obtain a bid price from at least one independent broker. Investments in other investment companies are valued at their respective net asset value (NAV).
Securities for which market prices are not readily available are valued in accordance with Pricing and Valuation Procedures established by the Board. The Funds Pricing and Valuation Procedures are performed and monitored by a Valuation Committee (the Committee) designated by the Board. Some of the more common reasons which may necessitate that a security be valued using the Pricing and Valuation Procedures include, but are not limited to: the securitys trading has been halted or suspended; the security has been de-listed from a national exchange; the securitys primary trading market is temporarily closed at a time when under normal conditions it would be open; or
the securitys primary pricing source is not able or willing to provide a price. When a security is valued in accordance with the Funds Pricing and Valuation Procedures, the Committee determines the value after taking into consideration relevant information reasonably available to the Committee and such securities may be considered Level 2 or Level 3 in the fair value hierarchy.
For securities that principally trade on a foreign market or exchange, a significant gap in time can exist between the time of a particular securitys last trade and the time at which a Fund calculates its NAV. The closing prices of such securities may no longer reflect their market value at the time the Fund calculates NAV if an event that could materially affect the value of those securities (a Significant Event) has occurred between the time of the securitys last close and the time that the Fund calculates NAV. A Significant Event may relate to a single issuer or to an entire market sector. If the investment adviser or subadviser of a Fund becomes aware of a Significant Event that has occurred with respect to a security or group of securities after the closing of the exchange or market on which the security or securities principally trade, but before the time at which the Fund calculates NAV, it will request that a Committee meeting be called, and the securities may be valued using the Funds Pricing and Valuation Procedures and such securities may be considered Level 2 in the fair value hierarchy. On a day when a Fair Value Pricing Service is so utilized pursuant to a preauthorization, the Committee need not meet. If the investment adviser or subadviser does not authorize the Funds accounting agent to utilize a Fair Value Pricing Service, the investment adviser or subadviser will request that a Committee meeting be called. In addition, the Funds accounting agent monitors price movements among certain selected indices, securities and/or groups of securities that may be an indicator that the closing prices received earlier in the day from foreign exchanges or markets may not reflect market value at the time the Fund calculates NAV. If price movements in a monitored index or security exceed levels established by the Funds (Trigger Points), the Funds may use a systematic valuation model provided by an independent third party to fair value its international equity securities.
Futures are valued at the settlement price established each day by the board of exchange on which they are traded. The daily settlement prices for financial futures are provided by an independent source. Using the Funds Pricing and Valuation Procedures, such securities may be considered Level 1 in the fair value hierarchy.
Forward foreign currency contracts are valued at the current days interpolated foreign exchange rate, as calculated using the current days spot rate, and the thirty, sixty, ninety and one-hundred eighty day forward rates and converted to U.S. dollars at the exchange rate of such currencies against the U.S. dollar, as of the close of regular trading on the NYSE (usually 4:00 p.m. Eastern Time), as provided by an independent, third-party pricing agent approved by the Board. Using the Funds Pricing and Valuation Procedures, such securities may be considered Level 2 in the fair value hierarchy.
Credit Default Swaps (CDS) are priced based upon valuations provided by an independent, third-party pricing agent approved by the Board. Such valuations are based on the market perception of the credit strength of the insured companys debt. Inputs include data from market makers from their official books and records. Using the Funds Pricing and Valuation Procedures, such securities may be considered Level 2 in the fair value hierarchy.
Interest Rate Swaps (IRS) are priced based upon valuations provided by an independent, third-party pricing agent approved by the Board. Inputs include data from market makers from their official books and records. Using the Funds Pricing and Valuation Procedures, such securities may be considered Level 2 in the fair value hierarchy.
The assets of Aggressive Growth Allocation Strategy, Conservative Allocation Strategy, Growth Allocation Strategy and Moderate Allocation Strategy (the Allocation Strategies) consist of investments in underlying investment companies (most of which are affiliated), which are valued at their respective daily NAVs.
The Trust has a three-tier fair value hierarchy that is dependent upon the various inputs used to determine the value of the Funds investments. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical assets |
| Level 2 other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including each Funds own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, short-term debt securities that mature in 60 days or less are generally valued using amortized cost, in accordance with rules under the 1940 Act. Generally, amortized cost approximates the current fair value of a security, but since the valuation is not obtained from a quoted price in an active market, such securities are reflected as Level 2 in the fair value hierarchy. When determining the fair value of the Funds investments, additional consideration is given to those assets or liabilities that have experienced a decrease in the volume or level of activity or when market prices do not reflect orderly transactions.
The following is a summary of the inputs as of December 31, 2011 used to value each Funds securities based upon the three levels defined above:
Aggressive Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
85,720,209 | | | 85,720,209 | ||||||||||||
Short-Term Investment |
| 2,689,350 | | 2,689,350 | ||||||||||||
Money Market Fund |
154,474 | | | 154,474 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
85,874,683 | 2,689,350 | | 88,564,033 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Emerging Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
11,172,940 | | | 11,172,940 | ||||||||||||
Short-Term Investment |
| 777,668 | | 777,668 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
11,172,940 | 777,668 | | 11,950,608 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
International Equity Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
207,920,366 | | | 207,920,366 | ||||||||||||
Preferred Stocks1 |
2,436,987 | | | 2,436,987 | ||||||||||||
Money Market Fund |
4,784,608 | | | 4,784,608 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
215,141,961 | | | 215,141,961 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
International Equity Index Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
342,174,110 | 2,924,390 | 0 | 4 | 345,098,500 | |||||||||||
Preferred Stocks1 |
3,543,003 | | | 3,543,003 | ||||||||||||
Rights - Foreign1 |
| | 0 | 4 | 0 | |||||||||||
Exchange Traded Funds |
11,864,948 | | | 11,864,948 | ||||||||||||
Units1 |
69,806 | | | 69,806 | ||||||||||||
Short-Term Investment |
| 14,307,075 | | 14,307,075 | ||||||||||||
Money Market Fund |
548,112 | | | 548,112 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
358,199,979 | 17,231,465 | 0 | 375,431,444 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Large Cap Core Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
80,412,200 | | | 80,412,200 | ||||||||||||
Money Market Fund |
28,605 | | | 28,605 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
80,440,805 | | | 80,440,805 | ||||||||||||
|
|
|
|
|
|
|
|
Large Cap Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
291,649,082 | | | 291,649,082 | ||||||||||||
Short-Term Investment |
| 2,092,063 | | 2,092,063 | ||||||||||||
Money Market Fund |
176,886 | | | 176,886 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
291,825,968 | 2,092,063 | | 293,918,031 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Large Cap Value Equity Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
1,868,640,724 | | | 1,868,640,724 | ||||||||||||
Money Market Fund |
84,324,635 | | | 84,324,635 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
1,952,965,359 | | | 1,952,965,359 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Mid-Cap Value Equity Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
1,853,252,624 | | | 1,853,252,624 | ||||||||||||
Short-Term Investment |
| 45,174,100 | | 45,174,100 | ||||||||||||
Money Market Fund |
41,695,951 | | | 41,695,951 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
1,894,948,575 | 45,174,100 | | 1,940,122,675 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Select Large Cap Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
47,589,918 | | | 47,589,918 | ||||||||||||
Money Market Fund |
352,184 | | | 352,184 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
47,942,102 | | | 47,942,102 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Small Cap Growth Stock Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
314,758,216 | | | 314,758,216 | ||||||||||||
Short-Term Investment |
| 41,296,771 | | 41,296,771 | ||||||||||||
Money Market Fund |
4,262,439 | | | 4,262,439 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
319,020,655 | 41,296,771 | | 360,317,426 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Small Cap Value Equity Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Common Stocks1 |
1,094,284,172 | | | 1,094,284,172 | ||||||||||||
Money Market Fund |
72,205,551 | | | 72,205,551 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
1,166,489,723 | | | 1,166,489,723 | ||||||||||||
|
|
|
|
|
|
|
|
Aggressive Growth Allocation Strategy |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Equity Funds |
19,444,275 | | | 19,444,275 | ||||||||||||
Exchange Traded Funds |
4,968,095 | | | 4,968,095 | ||||||||||||
Money Market Fund |
975,338 | | | 975,338 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
25,387,708 | | | 25,387,708 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Conservative Allocation Strategy |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Equity Funds |
11,346,796 | | | 11,346,796 | ||||||||||||
Fixed Income Funds |
27,190,670 | | | 27,190,670 | ||||||||||||
Exchange Traded Funds |
3,797,873 | | | 3,797,873 | ||||||||||||
Money Market Fund |
2,365,310 | | | 2,365,310 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
44,700,649 | | | 44,700,649 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Growth Allocation Strategy |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Equity Funds |
37,091,152 | | | 37,091,152 | ||||||||||||
Fixed Income Funds |
15,662,545 | | | 15,662,545 | ||||||||||||
Exchange Traded Funds |
10,200,279 | | | 10,200,279 | ||||||||||||
Money Market Fund |
1,880,842 | | | 1,880,842 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
64,834,818 | | | 64,834,818 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Moderate Allocation Strategy |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Equity Funds |
61,208,494 | | | 61,208,494 | ||||||||||||
Fixed Income Funds |
64,292,282 | | | 64,292,282 | ||||||||||||
Exchange Traded Funds |
17,645,102 | | | 17,645,102 | ||||||||||||
Money Market Fund |
3,961,660 | | | 3,961,660 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
147,107,538 | | | 147,107,538 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Core Bond Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Collateralized Mortgage Obligations1 |
| 37,566,419 | | 37,566,419 | ||||||||||||
Corporate Bonds1 |
| 97,141,682 | | 97,141,682 | ||||||||||||
U.S. Government Agency Mortgages |
| 103,301,214 | | 103,301,214 | ||||||||||||
U.S. Treasury Obligations |
| 119,780,089 | | 119,780,089 | ||||||||||||
Short-Term Investment |
| 603,628 | | 603,628 | ||||||||||||
Money Market Fund |
20,798,454 | | | 20,798,454 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
20,798,454 | 358,393,032 | | 379,191,486 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Corporate Bond Fund |
Level 1 - Quoted Prices($) |
Level 2 - Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Corporate Bonds1 |
| 71,768,922 | | 71,768,922 | ||||||||||||
Short-Term Investment |
| 306,000 | | 306,000 | ||||||||||||
Money Market Fund |
4,312,454 | | | 4,312,454 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,312,454 | 72,074,922 | | 76,387,376 | ||||||||||||
|
|
|
|
|
|
|
|
Georgia Tax-Exempt Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 137,472,456 | | 137,472,456 | ||||||||||||
Money Market Fund |
11,325,161 | | | 11,325,161 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
11,325,161 | 137,472,456 | | 148,797,617 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
High Grade Municipal Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 43,193,497 | | 43,193,497 | ||||||||||||
Money Market Fund |
6,205,285 | | | 6,205,285 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
6,205,285 | 43,193,497 | | 49,398,782 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
High Income Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Bank Loans1 |
| 22,187,659 | | 22,187,659 | ||||||||||||
Corporate Bonds1 |
| 422,925,728 | 539,820 | 5 | 423,465,548 | |||||||||||
U.S. Treasury Obligation |
| 100,000 | | 100,000 | ||||||||||||
Preferred Stocks1 |
8,104,677 | | | 8,104,677 | ||||||||||||
Convertible Preferred Stock1 |
6,689,025 | | | 6,689,025 | ||||||||||||
Warrants1 |
3,908,162 | | | 3,908,162 | ||||||||||||
Common Stocks1 |
5,729,974 | | | 5,729,974 | ||||||||||||
Short-Term Investment |
| 38,184,157 | | 38,184,157 | ||||||||||||
Money Market Fund |
71,275,992 | | | 71,275,992 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
95,707,830 | 483,397,544 | 539,820 | 579,645,194 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Intermediate Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Collateralized Mortgage Obligations1 |
| 19,757,983 | | 19,757,983 | ||||||||||||
Corporate Bonds1 |
| 383,974,511 | | 383,974,511 | ||||||||||||
U.S. Government Agency Mortgages |
| 112,444,533 | | 112,444,533 | ||||||||||||
U.S. Treasury Obligations |
| 640,044,197 | | 640,044,197 | ||||||||||||
Short-Term Investment |
| 6,405,080 | | 6,405,080 | ||||||||||||
Money Market Fund |
107,110,379 | | | 107,110,379 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
107,110,379 | 1,162,626,304 | | 1,269,736,683 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Investment Grade Tax-Exempt Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 818,580,502 | | 818,580,502 | ||||||||||||
Money Market Fund |
112,905,542 | | | 112,905,542 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
112,905,542 | 818,580,502 | | 931,486,044 | ||||||||||||
|
|
|
|
|
|
|
|
Limited Duration Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Asset-Backed Securities1 |
| 5,409,033 | | 5,409,033 | ||||||||||||
Collateralized Mortgage Obligations1 |
| 12,681,692 | | 12,681,692 | ||||||||||||
Money Market Fund |
385,563 | | | 385,563 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
385,563 | 18,090,725 | | 18,476,288 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Limited-Term Federal Mortgage Securities Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Collateralized Mortgage Obligations1 |
| 8,596,262 | | 8,596,262 | ||||||||||||
U.S. Government Agency Mortgages |
| 33,730,929 | | 33,730,929 | ||||||||||||
Money Market Fund |
4,137,172 | | | 4,137,172 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,137,172 | 42,327,191 | | 46,464,363 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Maryland Municipal Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 17,185,503 | | 17,185,503 | ||||||||||||
Money Market Fund |
3,229,558 | | | 3,229,558 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
3,229,558 | 17,185,503 | | 20,415,061 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
North Carolina Tax-Exempt Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 46,977,976 | | 46,977,976 | ||||||||||||
Money Market Fund |
2,247,316 | | | 2,247,316 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
2,247,316 | 46,977,976 | | 49,225,292 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Seix Floating Rate High Income Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Bank Loans1 |
| 3,207,283,964 | | 3,207,283,964 | ||||||||||||
Corporate Bonds1 |
| 196,423,154 | 200,000 | 5 | 196,623,154 | |||||||||||
Preferred Stocks1 |
3,937,403 | | | 3,937,403 | ||||||||||||
Convertible Preferred Stock1 |
1,952,250 | | | 1,952,250 | ||||||||||||
Common Stock1 |
1,653,343 | | | 1,653,343 | ||||||||||||
Warrants1 |
1,449,652 | | | 1,449,652 | ||||||||||||
Money Market Fund |
160,968,822 | | | 160,968,822 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
169,961,470 | 3,403,707,118 | 200,000 | 3,573,868,588 | ||||||||||||
|
|
|
|
|
|
|
|
Seix High Yield Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Bank Loans1 |
| 3,943,131 | | 3,943,131 | ||||||||||||
Corporate Bonds1 |
| 1,730,410,418 | | 1,730,410,418 | ||||||||||||
Preferred Stock1 |
4,102,590 | | | 4,102,590 | ||||||||||||
Convertible Preferred Stock1 |
14,432,779 | | | 14,432,779 | ||||||||||||
Short-Term Investment |
| 164,142,761 | | 164,142,761 | ||||||||||||
Money Market Fund |
223,591,060 | | | 223,591,060 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
242,126,429 | 1,898,496,310 | | 2,140,622,739 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Asset-Backed Securities1 |
| 29,221,931 | | 29,221,931 | ||||||||||||
Collateralized Mortgage Obligations1 |
| 58,510,092 | | 58,510,092 | ||||||||||||
Corporate Bonds1 |
| 121,633,860 | | 121,633,860 | ||||||||||||
Municipal Bond2 |
| 4,931,085 | | 4,931,085 | ||||||||||||
U.S. Government Agencies |
| 21,776,985 | | 21,776,985 | ||||||||||||
U.S. Government Agency Mortgages |
| 39,798,570 | | 39,798,570 | ||||||||||||
U.S. Treasury Obligations |
| 16,248,782 | | 16,248,782 | ||||||||||||
Money Market Fund |
7,699,175 | | | 7,699,175 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
7,699,175 | 292,121,305 | | 299,820,480 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Short-Term U.S. Treasury Securities Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
U.S. Treasury Obligations |
| 21,117,619 | | 21,117,619 | ||||||||||||
Money Market Fund |
760,823 | | | 760,823 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
760,823 | 21,117,619 | | 21,878,442 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Return Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Asset-Backed Securities1 |
| 9,056,607 | | 9,056,607 | ||||||||||||
Collateralized Mortgage Obligations1 |
| 114,961,453 | | 114,961,453 | ||||||||||||
Corporate Bonds1 |
| 222,116,749 | | 222,116,749 | ||||||||||||
U.S. Government Agency Mortgages |
| 229,497,413 | | 229,497,413 | ||||||||||||
U.S. Treasury Obligations |
| 293,878,666 | | 293,878,666 | ||||||||||||
Short-Term Investment |
| 1,176,060 | | 1,176,060 | ||||||||||||
Money Market Fund |
69,656,136 | | | 69,656,136 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
69,656,136 | 870,686,948 | | 940,343,084 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Other Financial Instruments3 |
||||||||||||||||
Credit Default Swap Agreements Buy Protection |
| 3,021,854 | | 3,021,854 | ||||||||||||
Forward Foreign Currency Contracts |
| 1,880,656 | | 1,880,656 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Other Financial Instruments |
| 4,902,510 | | 4,902,510 | ||||||||||||
|
|
|
|
|
|
|
|
Ultra-Short Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Asset-Backed Securities1 |
| 16,044,305 | | 16,044,305 | ||||||||||||
Certificate of Deposit1 |
| 1,005,525 | | 1,005,525 | ||||||||||||
Collateralized Mortgage Obligations1 |
| 39,008,502 | | 39,008,502 | ||||||||||||
Corporate Bonds1 |
| 47,410,464 | | 47,410,464 | ||||||||||||
Municipal Bond2 |
| 1,106,243 | | 1,106,243 | ||||||||||||
U.S. Government Agencies |
| 10,321,839 | | 10,321,839 | ||||||||||||
U.S. Government Agency Mortgages |
| 14,930,569 | | 14,930,569 | ||||||||||||
Money Market Fund |
988,213 | | | 988,213 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
988,213 | 129,827,447 | | 130,815,660 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
U.S. Government Securities Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
U.S. Treasury Obligations |
| 49,172,285 | | 49,172,285 | ||||||||||||
Money Market Fund |
3,275,797 | | | 3,275,797 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
3,275,797 | 49,172,285 | | 52,448,082 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
U.S. Government Securities Ultra-Short Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Asset-Backed Security1 |
| 3,107,774 | | 3,107,774 | ||||||||||||
Collateralized Mortgage Obligations1 |
| 564,110,286 | | 564,110,286 | ||||||||||||
U.S. Government Agency Mortgages |
| 1,141,455,521 | | 1,141,455,521 | ||||||||||||
Money Market Fund |
103,761,680 | | | 103,761,680 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
103,761,680 | 1,708,673,581 | | 1,812,435,261 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Virginia Intermediate Municipal Bond Fund |
Level 1 - Quoted Prices($) |
Level 2
- Other Significant Observable Inputs($) |
Level 3 - Significant Unobservable Inputs($) |
Total($) | ||||||||||||
Municipal Bonds2 |
| 156,570,915 | | 156,570,915 | ||||||||||||
Money Market Fund |
4,140,133 | | | 4,140,133 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments |
4,140,133 | 156,570,915 | | 160,711,048 | ||||||||||||
|
|
|
|
|
|
|
|
LIABILITIES VALUATION INPUT
Short-Term Bond Fund |
Level 1- Quoted Prices ($) |
Level 2- Other Significant Observable Inputs ($) |
Level 3- Significant Unobservable Inputs ($) |
Total($) | ||||||||||||
Other Financial Instruments3 |
||||||||||||||||
Futures Contracts |
(66,043 | ) | | | (66,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
(66,043 | ) | | | (66,043 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Return Bond Fund |
||||||||||||||||
Other Financial Instruments3 |
||||||||||||||||
Credit Default Swap Agreements-Sell Protection |
| (5,294,216 | ) | | (5,294,216 | ) | ||||||||||
Forward Foreign Currency Contracts |
| (1,933,607 | ) | | (1,933,607 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total |
| (7,227,823 | ) | | (7,227,823 | ) | ||||||||||
|
|
|
|
|
|
|
|
1 | Please see the Schedule of Portfolio Investments for Sector or Country Classification. |
2 | Please see the Schedule of Portfolio Investments for State Classification. |
3 | Other Financial Instruments are derivative instruments not reflected in the value of Total Investments in the Schedules of Portfolio Investments, such as credit default swaps, forward foreign currency contracts and futures, which are valued at the unrealized appreciation (depreciation) on the instrument. |
4 | As of December 31, 2011 the securities designated as Level 3 were fair valued using significant unobservable inputs under procedures adopted by the Board. Such valuations were based on a review of inputs such as, but not limited to; similar securities, company specific financial information, and company specific news. For each of these securities there were no changes in the valuation techniques used since the March 31, 2011 annual report. The Level 3 securities comprised 0.0% of net assets of each Fund. As such, the Level 3 roll forward and change in unrealized appreciation (depreciation) of Level 3 securities held at period end have not been presented. |
5 | As of December 31, 2011 the securities designated as Level 3 were fair valued using significant unobservable inputs under procedures adopted by the Board. Such valuations were based on quotations from principal market makers. The Level 3 roll forward and change in unrealized appreciation (depreciation) of these Level 3 securities held at the period end is presented below. |
The following is a reconciliation of investments for which significant unobservable inputs (Level 3) were used in determining fair value:
Balance as of 3/31/2011 |
Accrued Discounts (Premiums) |
Realized Gain (Loss) |
Change in Unrealized Appreciation (Depreciation) |
Purchases | Sales | Transfers into Level 3 |
Transfers out of Level 3 |
Balance as of 12/31/2011 |
Net Change in Unrealized Appreciation (Depreciation) from Investments Still Held as of 12/31/2011 |
|||||||||||||||||||||||||||||||
High Income Fund Corporate Bonds |
$ | | $ | | $ | | $ | 213,687 | $ | 539,820 | $ | (213,687 | ) | $ | | $ | | $ | 539,820 | $ | 213,687 | |||||||||||||||||||
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|
|
|||||||||||||||||||||
Seix Floating Rate |
$ | | $ | | $ | | $ | 79,817 | $ | 200,000 | $ | (79,817 | ) | $ | | $ | | $ | 200,000 | $ | 79,817 | |||||||||||||||||||
|
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|
|
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|
|
The Funds policy is to disclose significant transfers between Levels based on valuations at the end of the reporting period. Each portfolio may hold securities which are periodically fair valued in accordance with the Funds Pricing and Valuation Procedures. This may result in movements between Level 1 and Level 2 throughout the period. There were no significant transfers between Levels 1, 2 or 3 as of December 31, 2011, based on the valuation input levels assigned to securities on March 31, 2011 for the Funds.
Security TransactionsSecurity transactions are recorded on trade date for financial reporting purposes.
Foreign Currency TranslationThe books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars on the following basis: (i) market value of investment securities, other assets and liabilities at the current rate of exchange; and (ii) purchases and sales of investment securities, income and expenses at the relevant rates of exchange prevailing on the respective dates of such transactions. The Funds do not isolate the portion of operations resulting from changes in foreign exchange rates on investments from fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments and foreign currency contracts.
Derivative and Hedging Instruments Certain of the Funds may enter into derivative contracts for the purposes of pursuing their investment objectives, to use as a substitute for a purchase or sale of a position in the underlying assets and/or as part of a strategy designed to reduce exposure to other risks. While Funds may receive rights and warrants in connection with their investments in securities, these right and warrants are not considered derivative instruments. Open derivative positions at period end are included within each applicable Funds Schedule.
Forward Foreign Currency Contracts Certain of the Funds may enter into forward foreign currency contracts. All commitments are marked-to-market daily at the applicable foreign exchange rate and any resulting unrealized gains or losses are recorded currently. The Funds realize gains and losses at the time forward contracts are extinguished. Unrealized gains or losses on outstanding positions in forward foreign currency contracts held at the close of the fiscal year are recognized as ordinary income or loss for U.S. federal income tax purposes. The Funds could be exposed to risk if a counterparty is unable to meet the terms of a forward foreign currency contract or if the value of the foreign currency changes unfavorably. Open forward foreign currency contracts at period end are included within each applicable Funds Schedule.
Futures Contracts Certain of the Funds may be subject to equity price risk, interest rate risk, or foreign currency exchange rate risk in the normal course of pursuing its investments objective. Certain of the Funds may use futures contracts to gain exposure to, or hedge against, changes in value of equities, interest rates or foreign currencies caused by changes in prevailing market interest rates. With futures, there is minimal counterparty credit risk to the Fund since futures are exchange traded and the exchanges clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default. Upon entering into a futures contract, a Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made periodically, depending on the daily fluctuations in the fair value of the underlying security. A gain or loss equal to the variation margin is recognized at the time the futures contract is extinguished. Should market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates and the underlying hedged-assets. Open futures contracts at period end are included within each applicable Funds Schedule.
Swap Agreements Certain of the Funds may enter into swap agreements, which are two-party contracts entered into primarily by institutional investors for periods ranging from a day to more than one year. In a standard swap transaction, two parties agree to exchange the returns (or differentials in rates of return) earned or realized on particular predetermined investments or instruments. The gross returns to be exchanged or swapped between the parties are calculated based on a notional amount, i.e., the return on or increase in value of a particular dollar amount invested in a basket of securities representing a particular index. The primary risks associated with the use of swap agreements are market risk, an imperfect correlation between movements in the notional amount and the price of the underlying instruments and the inability of counterparties to fulfill their obligations under the agreement. A Fund bears the risk of loss of the amount expected to be received under a swap agreement in the event of the default or bankruptcy of a counterparty to a swap agreement.
Swap agreements typically are settled on a net basis, which means that the two payment streams are netted, with the Fund receiving or paying, as the case may be, only the net amount of the two payments. Payments may be made at the conclusion of a swap agreement, at the time a Fund enters into a swap agreement or periodically during its term. Up-front receipts and payments are recorded as deferred income (liability) or expense (asset), as the case may be, and are disclosed in the swap tables included within each applicable Funds Schedule. These upfront receipts and payments are amortized to income or expense over the life of the swap contracts. Until a swap agreement is settled in cash, the gain or loss on the notional amount plus income on the instruments, less the interest paid by the Fund on the notional amount, is recorded as unrealized appreciation or depreciation on swap agreements and, when cash is exchanged, the gain or loss realized is recorded as realized gains or losses on swap agreements. A Funds current obligations under swap agreements (offset against any amounts owed to the Fund) will be accrued daily and any accrued but unpaid net amounts owed to a swap counterparty will be covered by segregating cash or other assets deemed to be liquid with the Funds custodian. Swap agreements do not involve the delivery of securities or other underlying assets. Accordingly, the risk of loss with respect to swap agreements is equal to the net amount of payments that a Fund is contractually obligated to make.
A Fund is subject to credit risk in the normal course of pursuing its investment objective. A Fund may enter into a CDS to manage its exposure to the market or certain sectors of the market, to reduce its risk exposure to defaults of corporate and sovereign issuers, or to create exposure to corporate or sovereign issuers to which it is not otherwise exposed. CDS agreements are a specific kind of counterparty agreement designed to transfer third-party credit risk between parties. One party to the CDS is a lender and faces credit risk from a third party, while the counterparty to the CDS agrees to insure this risk in exchange for regular periodic payments (essentially an insurance premium).
If a credit event (e.g., bankruptcy, default) occurs, as defined by the swap agreement, the party providing insurance will have to purchase the referenced obligation of the third party from the insured party. If a Fund is providing insurance, the maximum potential liability to which a Fund is subject is the notional amount of the swap agreement, as disclosed in the swap tables included within each applicable Funds Schedule. The potential liability amount may be reduced by anticipated recovery rates of the referenced obligation of the third party, upfront premiums received and net amounts received if the Fund has also purchased a CDS where the referenced obligation of the third party is identical. Open CDSs at period end are presented within each applicable Funds Schedule.
A Fund is subject to interest rate risk exposure in the normal course of pursuing its investment objective. Because certain Funds hold fixed rate bonds, the value of these bonds may decrease if interest rates rise. To help hedge against this risk and to maintain its ability to generate income at prevailing market rates, a Fund may enter into interest rate swap (IRS) agreements. IRS agreements involve the exchange of commitments to pay and receive interest based on a notional principal amount. The risks of IRS include changes in market conditions which will affect the value of the contract or the cash flows and the possible inability of the counterparty to fulfill its obligations under the agreement. The Funds maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from/paid to the counterparty over the contracts remaining life, to the extent that that amount is positive. Net periodic interest payments to be received or paid are accrued daily and are recorded as realized gains or losses. Open IRSs at period end are included within each applicable Funds Schedule.
Securities Lending Each Fund may lend portfolio securities to brokers, dealers and other financial organizations that meet capital and other credit requirements or other criteria established by the Board. These loans may not exceed either (i) 50% of the sum of the market value of all securities of a Fund and the market value of securities purchased with cash collateral or (ii) 33.33% of the total market value of all securities of a Fund. No Fund will lend portfolio securities to its investment adviser, subadviser, or its affiliates unless it has applied for and received specific authority to do so from the Securities and Exchange Commission (SEC). Loans of portfolio securities are required to be fully collateralized by cash, letters of credit or U.S. government securities. The initial value of the collateral must be at least 102% of the market value of the securities loaned, if the securities loaned are U.S. securities (105% for non-U.S. securities); and maintained in an amount equal to at least 102% (103% for non-U.S. securities) thereafter. However, due to market fluctuations during the day, the value of securities loaned on a particular day may exceed the value of collateral. On each business day, the amount of collateral is adjusted based on the prior days market fluctuations and the current days lending activity. Income from lending activity is determined by the amount of interest earned on collateral, less any amounts payable to the borrowers of the securities and the lending agent. Lending securities involves certain risks, including the risk that a Fund may be delayed or prevented from recovering the collateral if the borrower fails to return the securities. A fee will be obtained from the borrower if letters of credit or U.S. government securities are used as collateral.
The joint account aggregates the cash collateral received by the Funds, providing RidgeWorth Capital Management, Inc. (the Investment Adviser) a pool of assets to invest in short-term investments that have a remaining maturity of 397 days or less as calculated in accordance with Rule 2a-7 under the 1940 Act. The Funds are joint participants with other affiliated funds of the Trust. At December 31, 2011, the cash collateral received by the Funds was pooled and invested in the following securities. Each of the Funds participating in securities lending at December 31, 2011 owned a pro-rata portion of the assets and liabilities listed below:
Shares or Principal Amount($) |
Value($) | |||||||
JPMorgan U.S. Government Money Market Fund, Capital Shares, 0.01% |
100,015,104 | 100,015,104 | ||||||
Merrill Lynch Tri-Party Repurchase Agreement, 0.01%, dated 12/30/11 to be repurchased on 01/03/12, repurchase price $30,000,033 (collateralized by Federal Home Loan Bank, 0.18%, due 11/28/12, total market value $30,612,245) |
30,000,000 | 30,000,000 | ||||||
State Street Institutional U.S. Government Money Market Fund, Institutional Class, 0.00% |
187,150,084 | 187,150,084 | ||||||
|
|
|||||||
Total Investments (Cost $317,165,188) |
317,165,188 | |||||||
Amount due to Lending Agent |
(52,759 | ) | ||||||
|
|
|||||||
Net Investment Value |
317,112,429 | |||||||
|
|
Repurchase Agreements The Funds may purchase instruments from financial institutions, such as banks and broker-dealers, subject to the sellers agreement to repurchase them at an agreed upon date and price (repurchase agreement). A third party custodian bank takes possession of the underlying securities (collateral) of a repurchase agreement, the value of which exceeds the principal amount of the repurchase transaction, including accrued interest. In the event of default on the obligation to repurchase, each Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the counterparty to the repurchase agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings.
Real Estate Investment Trusts Certain Funds may own shares of real estate investment trusts (REITs) which report information on the source of their distributions annually. Certain distributions received from REITs during the period are estimated and recorded as realized gains or return of capital. These estimates are adjusted when the actual source of distributions becomes known upon notification from issuers.
Securities Purchased on a When-Issued Basis Delivery and payment for securities that have been purchased by a Fund on a forward commitment or when-issued basis can take place up to a month or more after the transaction date. During this period, such securities are subject to market fluctuations. The purchase of securities on a when-issued or forward commitment basis may increase the volatility of a Funds NAV if the Fund makes such investments while remaining substantially fully invested. A Fund records when-issued securities on trade date and will segregate or earmark liquid assets in an amount at least equal in value to its commitments to purchase when-issued and forward commitment securities. When-issued securities and the segregated liquid assets associated with such investments are included within each applicable Funds Schedules.
TBA Purchase Commitments The Funds may enter into TBA (To Be Announced) purchase commitments to purchase securities for a fixed price at a future date beyond customary settlement time. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities, generally according to the procedures described under Security Valuation. TBA purchase commitments are included within each applicable Funds Schedules.
Bank Loans Certain Funds may invest in first and second lien senior floating-rate loans (bank loans). These loans are made by banks and other large financial institutions to various companies and are senior in the borrowing companies capital structure. Coupon rates are floating, not fixed, and are tied to a benchmark lending rate. A Fund records an investment when the borrower withdraws money and records the interest as earned. Some types of senior loans in which these Funds may invest require that an open loan for a specific amount be continually offered to a borrower. These types of senior loans, commonly referred to as revolvers, contractually obligate the lender (and therefore those with an interest in the loan) to fund the loan at the borrowers discretion. Therefore, a Fund must have funds sufficient to cover its contractual obligation. A Fund will maintain, on a daily basis, high quality, liquid assets in an amount at least equal in value to its contractual obligation to fulfill the revolving senior loan. These unfunded loan commitments, which are marked-to-market daily, are included with the Schedules.
Restricted Securities Certain Funds investments are restricted as to resale. As of December 31, 2011, all of these restricted securities have been deemed liquid by the Funds Investment Adviser based upon procedures approved by the Board, unless stated otherwise in the applicable Funds Schedules.
3. Tax Basis of Investments
At December 31, 2011, the cost and aggregate gross unrealized appreciation and depreciation on securities were substantially the same for federal income tax purposes on securities and are listed below:
Fund |
Cost($) | Gross Unrealized Appreciation($) |
Gross Unrealized Depreciation($) |
Net Unrealized Appreciation (Depreciation)($) |
||||||||||||
Aggressive Growth Stock Fund |
65,909,226 | 31,006,446 | (8,351,639 | ) | 22,654,807 | |||||||||||
Emerging Growth Stock |
10,452,862 | 2,869,701 | (1,371,955 | ) | 1,497,746 | |||||||||||
International Equity Fund |
214,978,936 | 16,599,704 | (16,436,679 | ) | 163,025 | |||||||||||
International Equity Index Fund |
295,409,304 | 108,590,189 | (28,568,049 | ) | 80,022,140 | |||||||||||
Large Cap Core Growth Stock Fund |
73,179,482 | 12,595,323 | (5,334,000 | ) | 7,261,323 | |||||||||||
Large Cap Growth Stock Fund |
193,010,665 | 107,524,846 | (6,617,480 | ) | 100,907,366 | |||||||||||
Large Cap Value Equity Fund |
1,836,964,906 | 157,187,885 | (41,187,432 | ) | 116,000,453 | |||||||||||
Mid-Cap Value Equity Fund |
1,992,647,474 | 72,832,572 | (125,357,371 | ) | (52,524,799 | ) | ||||||||||
Select Large Cap Growth Stock |
38,465,874 | 11,525,212 | (2,048,984 | ) | 9,476,228 | |||||||||||
Small Cap Growth Stock Fund |
316,019,482 | 63,713,708 | (19,415,764 | ) | 44,297,944 | |||||||||||
Small Cap Value Equity Fund |
1,135,416,601 | 121,653,608 | (90,580,486 | ) | 31,073,122 | |||||||||||
Aggressive Growth Allocation Strategy |
23,970,900 | 1,875,557 | (458,749 | ) | 1,416,808 | |||||||||||
Conservative Allocation Strategy |
44,135,642 | 1,181,185 | (616,178 | ) | 565,007 | |||||||||||
Growth Allocation Strategy |
60,643,650 | 5,382,979 | (1,191,811 | ) | 4,191,168 | |||||||||||
Moderate Allocation Strategy |
138,729,836 | 10,561,157 | (2,183,455 | ) | 8,377,702 | |||||||||||
Core Bond Fund |
367,102,030 | 12,236,100 | (146,644 | ) | 12,089,456 | |||||||||||
Corporate Bond Fund |
71,911,220 | 4,641,112 | (164,956 | ) | 4,476,156 | |||||||||||
Georgia Tax-Exempt Bond Fund |
140,076,145 | 8,850,331 | (128,859 | ) | 8,721,472 | |||||||||||
High Grade Municipal Bond Fund |
45,538,223 | 3,861,872 | (1,313 | ) | 3,860,559 | |||||||||||
High Income Fund |
609,322,852 | 8,817,180 | (38,494,838 | ) | (29,677,658 | ) | ||||||||||
Intermediate Bond Fund |
1,223,719,601 | 46,601,992 | (584,910 | ) | 46,017,082 | |||||||||||
Investment Grade Tax-Exempt Bond Fund |
879,855,129 | 51,652,974 | (22,059 | ) | 51,630,915 | |||||||||||
Limited Duration Fund |
18,438,441 | 62,247 | (24,400 | ) | 37,847 | |||||||||||
Limited-Term Federal Mortgage Securities Fund |
45,272,901 | 1,214,446 | (22,984 | ) | 1,191,462 | |||||||||||
Maryland Municipal Bond Fund |
18,851,195 | 1,563,866 | | 1,563,866 | ||||||||||||
North Carolina Tax-Exempt Bond Fund |
45,956,252 | 3,275,449 | (6,409 | ) | 3,269,040 | |||||||||||
Seix Floating Rate High Income Fund |
3,656,798,902 | 16,186,997 | (99,117,311 | ) | (82,930,314 | ) | ||||||||||
Seix High Yield Fund |
2,143,171,499 | 55,610,722 | (58,159,482 | ) | (2,548,760 | ) | ||||||||||
Short-Term Bond Fund |
296,377,227 | 4,301,678 | (858,425 | ) | 3,443,253 | |||||||||||
Short-Term U.S. Treasury Securities Fund |
21,595,903 | 282,539 | | 282,539 | ||||||||||||
Total Return Bond Fund |
905,697,163 | 35,130,372 | (484,451 | ) | 34,645,921 | |||||||||||
Ultra-Short Bond Fund |
130,953,015 | 589,927 | (727,282 | ) | (137,355 | ) | ||||||||||
U.S. Government Securities Fund |
50,734,433 | 1,713,978 | (329 | ) | 1,713,649 | |||||||||||
U.S. Government Securities Ultra-Short Bond Fund |
1,792,503,429 | 21,241,069 | (1,309,237 | ) | 19,931,832 | |||||||||||
Virginia Intermediate Municipal Bond Fund |
148,208,907 | 12,502,141 | | 12,502,141 |
4. Investments in Affiliated Issuers
Affiliated holdings are mutual funds which are managed by the Investment Adviser or an affiliate of the Investment Adviser or which are distributed by an affiliate of the Funds distributor. With respect to each Fund, the Investment Adviser was paid an investment advisory fee by the affiliated Funds listed beneath its name below. Investments in affiliated issuers during the period ended December 31, 2011, were as follows:
Name of Affiliated Issuer |
Share Balance at March 31, 2011 |
Purchases | Sales | Share Balance at December 31, 2011 |
Value at December 31, 2011 |
Dividend Income |
Realized Gain Distributions |
Net Realized Gain (Loss) |
||||||||||||||||||||||||
Aggressive Growth Allocation Strategy |
||||||||||||||||||||||||||||||||
RidgeWorth Aggressive Growth Stock Fund |
70,255 | 1,901 | 2,084 | 70,072 | $ | 946,672 | $ | | $ | | $ | 8,231 | ||||||||||||||||||||
RidgeWorth International Equity 130/30 Fund ** |
189,610 | | 189,610 | | | | | 158,093 | ||||||||||||||||||||||||
RidgeWorth International Equity Fund |
36,479 | 67,473 | | 103,952 | 988,582 | 23,702 | | | ||||||||||||||||||||||||
RidgeWorth International Equity Index Fund |
34,688 | 57,140 | | 91,828 | 963,279 | 39,706 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Core Growth Stock Fund*** |
144,517 | 216,246 | 235,336 | 125,427 | 1,586,658 | 2,605 | | 147,103 | ||||||||||||||||||||||||
RidgeWorth Large Cap Growth Stock Fund |
198,203 | 86,966 | | 285,169 | 3,111,195 | | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Quantitative Equity Fund*** |
165,893 | 698 | 166,591 | | | 8,562 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Value Equity Fund |
340,393 | 64,260 | 15,208 | 389,445 | 4,844,693 | 54,482 | | 8,427 | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Core Equity Fund * |
94,710 | | 94,710 | | | | | | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Value Equity Fund * |
97,693 | 133,495 | 10,283 | 220,905 | 2,169,290 | 26,686 | 193,660 | 8,808 | ||||||||||||||||||||||||
RidgeWorth Real Estate 130/30 Fund ** |
124,829 | | 124,829 | | | | | 217,255 | ||||||||||||||||||||||||
RidgeWorth Select Large Cap Growth Stock Fund |
69,934 | 15,817 | | 85,751 | 2,458,486 | | 67,993 | | ||||||||||||||||||||||||
RidgeWorth Small Cap Growth Stock Fund |
78,139 | 2,312 | 2,793 | 77,658 | 1,193,598 | | | 2,653 | ||||||||||||||||||||||||
RidgeWorth Small Cap Value Equity Fund |
88,216 | 8,510 | 1,264 | 95,462 | 1,181,822 | 9,861 | 60,513 | 553 | ||||||||||||||||||||||||
RidgeWorth U.S. Equity 130/30 Fund ** |
143,688 | | 143,688 | | | | | 320,608 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | 19,444,275 | $ | 165,604 | $ | 322,166 | $ | 871,731 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Conservative Allocation Strategy |
||||||||||||||||||||||||||||||||
RidgeWorth Aggressive Growth Stock Fund |
19,748 | 8,336 | | 28,084 | $ | 379,413 | $ | | $ | | $ | | ||||||||||||||||||||
RidgeWorth Corporate Bond Fund |
138,572 | 174,240 | 1,894 | 310,918 | 2,903,975 | 59,458 | 158,498 | (1,152 | ) | |||||||||||||||||||||||
RidgeWorth High Income Fund |
184,635 | 59,259 | 2,189 | 241,705 | 1,588,001 | 78,486 | 14,635 | (1,497 | ) | |||||||||||||||||||||||
RidgeWorth Intermediate Bond Fund |
764,136 | 281,789 | 42,321 | 1,003,604 | 10,497,701 | 141,754 | 326,547 | (7,436 | ) | |||||||||||||||||||||||
RidgeWorth International Equity 130/30 Fund ** |
53,247 | | 53,247 | | | | | 34,806 | ||||||||||||||||||||||||
RidgeWorth International Equity Fund |
10,351 | 50,857 | | 61,208 | 582,088 | 12,361 | | | ||||||||||||||||||||||||
RidgeWorth International Equity Index Fund |
9,842 | 41,288 | | 51,130 | 536,352 | 20,480 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Core Growth Stock |
52,812 | 170,382 | 150,848 | 72,346 | 915,178 | 2,017 | | 197,886 | ||||||||||||||||||||||||
RidgeWorth Large Cap Growth Stock Fund |
86,200 | 144,557 | 10,093 | 220,664 | 2,407,440 | | | (3,863 | ) | |||||||||||||||||||||||
RidgeWorth Large Cap Quantitative Equity |
46,562 | 1,295 | 47,857 | | | 2,460 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Value Equity Fund |
135,178 | 108,192 | 21,568 | 221,802 | 2,759,217 | 26,791 | | (10,212 | ) | |||||||||||||||||||||||
RidgeWorth Mid-Cap Core Equity Fund * |
26,638 | | 26,638 | | | | | | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Value Equity Fund * |
27,271 | 111,907 | | 139,178 | 1,366,730 | 12,255 | 109,586 | | ||||||||||||||||||||||||
RidgeWorth Real Estate 130/30 Fund ** |
34,552 | | 34,552 | | | | | 41,439 | ||||||||||||||||||||||||
RidgeWorth Seix Floating Rate High Income Fund |
83,840 | 5,763 | 15,191 | 74,412 | 643,667 | 27,575 | | (8,708 | ) | |||||||||||||||||||||||
RidgeWorth Seix High Yield Fund |
132,877 | 45,472 | 1,576 | 176,773 | 1,663,438 | 75,480 | | (1,798 | ) | |||||||||||||||||||||||
RidgeWorth Select Large Cap Growth Stock Fund |
30,481 | 8,699 | 1,611 | 37,569 | 1,077,103 | | 28,947 | (2,255 | ) | |||||||||||||||||||||||
RidgeWorth Small Cap Growth Stock Fund |
22,050 | 21,171 | | 43,221 | 664,310 | | | | ||||||||||||||||||||||||
RidgeWorth Small Cap Value Equity Fund |
24,912 | 28,316 | | 53,228 | 658,965 | 3,981 | 31,473 | | ||||||||||||||||||||||||
RidgeWorth Total Return Bond Fund |
328,671 | 403,155 | 5,713 | 726,113 | 7,827,496 | 138,584 | 163,627 | (628 | ) | |||||||||||||||||||||||
RidgeWorth U.S. Equity 130/30 Fund ** |
40,193 | | 40,193 | | | | | 71,559 | ||||||||||||||||||||||||
RidgeWorth U.S. Government Securities |
130,053 | 271,687 | 197,147 | 204,593 | 2,066,392 | 12,264 | | 2,175 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | 38,537,466 | $ | 613,946 | $ | 833,313 | $ | 310,316 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
Growth Allocation Strategy |
||||||||||||||||||||||||||||||||
RidgeWorth Aggressive Growth Stock Fund |
130,370 | 1,868 | 1,183 | 131,055 | $ | 1,770,548 | $ | | $ | | $ | 4,712 | ||||||||||||||||||||
RidgeWorth Corporate Bond Fund |
126,503 | 12,652 | 8,253 | 130,902 | 1,222,622 | 38,020 | 85,142 | (2,056 | ) | |||||||||||||||||||||||
RidgeWorth High Income Fund |
170,283 | 10,576 | 9,538 | 171,321 | 1,125,580 | 68,270 | 11,408 | (5,023 | ) | |||||||||||||||||||||||
RidgeWorth Intermediate Bond Fund |
515,477 | 234,756 | 98,656 | 651,577 | 6,815,492 | 97,458 | 218,434 | (12,371 | ) | |||||||||||||||||||||||
RidgeWorth International Equity 130/30 Fund ** |
351,522 | | 351,522 | | | | | 292,763 | ||||||||||||||||||||||||
RidgeWorth International Equity Fund |
67,899 | 136,351 | 9,640 | 194,610 | 1,850,743 | 44,373 | | (9,448 | ) | |||||||||||||||||||||||
RidgeWorth International Equity Index Fund |
64,437 | 120,275 | 12,941 | 171,771 | 1,801,877 | 74,274 | | (17,081 | ) | |||||||||||||||||||||||
RidgeWorth Large Cap Core Growth Stock Fund*** |
335,081 | 414,747 | 511,397 | 238,431 | 3,016,154 | 4,894 | | 710,238 | ||||||||||||||||||||||||
RidgeWorth Large Cap Growth Stock Fund |
367,834 | 211,068 | | 578,902 | 6,315,824 | | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Quantitative Equity Fund*** |
307,946 | 1,296 | 309,242 | | | 15,983 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Value Equity Fund |
631,768 | 168,410 | 15,445 | 784,733 | 9,762,076 | 106,368 | | 5,240 | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Core Equity Fund * |
175,772 | | 175,772 | | | | | | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Value Equity Fund * |
181,026 | 215,436 | 11,736 | 384,726 | 3,778,010 | 47,399 | 337,276 | 4,605 | ||||||||||||||||||||||||
RidgeWorth Real Estate 130/30 Fund ** |
230,974 | | 230,974 | | | | | 424,718 | ||||||||||||||||||||||||
RidgeWorth Seix Floating Rate High Income Fund |
89,388 | 2,681 | 41,012 | 51,057 | 441,643 | 25,434 | | (25,215 | ) | |||||||||||||||||||||||
RidgeWorth Seix High Yield Fund |
122,414 | 6,094 | 6,868 | 121,640 | 1,144,634 | 65,792 | | (4,609 | ) | |||||||||||||||||||||||
RidgeWorth Select Large Cap Growth Stock Fund |
129,791 | 29,297 | | 159,088 | 4,561,054 | | 126,142 | | ||||||||||||||||||||||||
RidgeWorth Small Cap Growth Stock Fund |
145,281 | 2,262 | 9,063 | 138,480 | 2,128,441 | | | 129 | ||||||||||||||||||||||||
RidgeWorth Small Cap Value Equity Fund |
164,046 | 13,787 | 7,686 | 170,147 | 2,106,425 | 18,052 | 107,856 | (6,255 | ) | |||||||||||||||||||||||
RidgeWorth Total Return Bond Fund |
531,374 | 22,204 | 128,739 | 424,839 | 4,579,765 | 141,177 | 108,017 | 99,176 | ||||||||||||||||||||||||
RidgeWorth U.S. Equity 130/30 Fund ** |
266,686 | | 266,686 | | | | | 604,060 | ||||||||||||||||||||||||
RidgeWorth U.S. Government Securities Ultra-Short Bond Fund |
77,952 | 49,405 | 94,406 | 32,951 | 332,809 | 4,601 | | 2,809 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | 52,753,697 | $ | 752,095 | $ | 994,275 | $ | 2,066,392 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Moderate Allocation Strategy |
||||||||||||||||||||||||||||||||
RidgeWorth Aggressive Growth Stock Fund |
209,099 | 20,618 | 12,920 | 216,797 | $ | 2,928,932 | $ | | $ | | $ | 23,631 | ||||||||||||||||||||
RidgeWorth Corporate Bond Fund |
511,173 | 57,254 | 43,870 | 524,557 | 4,899,358 | 155,527 | 355,005 | (27,125 | ) | |||||||||||||||||||||||
RidgeWorth High Income Fund |
689,293 | 49,909 | 29,188 | 710,014 | 4,664,791 | 279,720 | 47,416 | (18,513 | ) | |||||||||||||||||||||||
RidgeWorth Intermediate Bond Fund |
2,118,119 | 640,446 | 270,993 | 2,487,572 | 26,020,000 | 379,622 | 827,103 | (33,622 | ) | |||||||||||||||||||||||
RidgeWorth International Equity 130/30 Fund ** |
563,608 | | 563,608 | | | | | 487,518 | ||||||||||||||||||||||||
RidgeWorth International Equity Fund |
109,057 | 267,955 | 66,043 | 310,969 | 2,957,316 | 73,874 | | (90,024 | ) | |||||||||||||||||||||||
RidgeWorth International Equity Index Fund |
103,515 | 235,663 | 64,606 | 274,572 | 2,880,262 | 123,703 | | (116,338 | ) | |||||||||||||||||||||||
RidgeWorth Large Cap Core Growth Stock Fund*** |
540,702 | 818,084 | 966,874 | 391,912 | 4,957,693 | 9,897 | | 1,378,579 | ||||||||||||||||||||||||
RidgeWorth Large Cap Growth Stock Fund |
589,850 | 478,249 | 42,973 | 1,025,126 | 11,184,124 | | | (13,113 | ) | |||||||||||||||||||||||
RidgeWorth Large Cap Quantitative Equity Fund*** |
493,478 | 2,077 | 495,555 | | | 25,468 | | | ||||||||||||||||||||||||
RidgeWorth Large Cap Value Equity Fund |
1,012,938 | 398,839 | 111,471 | 1,300,306 | 16,175,808 | 182,027 | | (23,249 | ) | |||||||||||||||||||||||
RidgeWorth Mid-Cap Core Equity Fund * |
281,997 | | 281,997 | | | | | | ||||||||||||||||||||||||
RidgeWorth Mid-Cap Value Equity Fund * |
290,318 | 374,924 | 23,984 | 641,258 | 6,297,150 | 76,306 | 543,905 | 17,479 | ||||||||||||||||||||||||
RidgeWorth Real Estate 130/30 Fund ** |
369,921 | | 369,921 | | | | | 673,678 | ||||||||||||||||||||||||
RidgeWorth Seix Floating Rate High Income Fund |
360,957 | 13,227 | 137,134 | 237,050 | 2,050,478 | 105,817 | | (78,777 | ) | |||||||||||||||||||||||
RidgeWorth Seix High Yield Fund |
495,652 | 29,544 | 21,400 | 503,796 | 4,740,723 | 269,477 | | (15,512 | ) | |||||||||||||||||||||||
RidgeWorth Select Large Cap Growth Stock Fund |
208,127 | 48,194 | 10,321 | 246,000 | 7,052,823 | | 203,239 | (22,788 | ) | |||||||||||||||||||||||
RidgeWorth Small Cap Growth Stock Fund |
233,166 | 7,146 | 18,833 | 221,479 | 3,404,131 | | | 4,681 | ||||||||||||||||||||||||
RidgeWorth Small Cap Value Equity Fund |
263,223 | 25,573 | 16,562 | 272,234 | 3,370,255 | 29,438 | 179,749 | (17,001 | ) | |||||||||||||||||||||||
RidgeWorth Total Return Bond Fund |
2,047,750 | 108,375 | 292,560 | 1,863,565 | 20,089,229 | 573,558 | 453,505 | 235,987 | ||||||||||||||||||||||||
RidgeWorth U.S. Equity 130/30 Fund ** |
427,128 | | 427,128 | | | | | 977,054 | ||||||||||||||||||||||||
RidgeWorth U.S. Government Securities Ultra-Short Bond Fund |
339,704 | 167,998 | 326,741 | 180,961 | 1,827,703 | 28,932 | | 8,172 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||||||
Total |
$ | 125,500,776 | $ | 2,313,366 | $ | 2,609,922 | $ | 3,350,717 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | On April 29, 2011, RidgeWorth Mid-Cap Core Equity Fund reorganized into the RidgeWorth Mid-Cap Value Equity Fund . |
** | On May 27, 2011, the Fund liquidated. |
*** | On July 15, 2011, RidgeWorth Large Cap Quantitative Equity Fund reorganized into the RidgeWorth Large Cap Core Growth Stock Fund. |
5. Risks
Certain Funds may invest in securities of foreign issuers in various countries. Investments in securities of foreign issuers carry certain risks not ordinarily associated with investments in securities of U.S. issuers. These risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is a possibility of expropriation of assets, confiscatory taxation, political or social instability or diplomatic developments, which could adversely affect investments in those countries. Emerging market countries are countries that the World Bank or the United Nations considers to be emerging or developing. Emerging markets may be more likely to experience political turmoil or rapid changes in market or economic conditions than more developed countries. In addition, the financial stability of issuers (including governments) in emerging market countries may be more precarious than in other countries. As a result, there will tend to be an increased risk of price volatility associated with a Funds investments in emerging market countries, which may be magnified by currency fluctuations relative to the U.S. dollar.
The prices of the Funds fixed income securities respond to economic developments, particularly interest rate changes, as well as to perceptions about the creditworthiness of individual issuers, including governments. Generally, the Funds fixed-income securities will decrease in value if interest rates rise and vice versa, and the volatility of lower-rated securities is even greater than that of higher-rated securities. Also, longer-term securities are generally more volatile, so the average maturity or duration of these securities affects risk.
Certain Funds invest in high yield corporate, government, and other debt instruments of U.S. and non-U.S. issuers. High yield securities involve greater risk of default or downgrade and are more volatile than investment grade securities.
Certain Funds may invest in first and second lien senior floating rate loans. The risk associated with floating rate loans is similar to the risks of below investment grade securities. In addition, the value of the collateral securing the loan may decline, causing a loan to be substantially unsecured. Difficulty in selling a floating rate loan may result in a loss. Borrowers may pay back principal before the scheduled due date when interest rates decline, which may require the Fund to replace a particular loan with a lower-yielding security. There may be less extensive public information available with respect to loans than for rated, registered or exchange listed securities. The Fund may assume the credit risk of the primary lender in addition to the borrower, and investments in loan assignments may involve the risks of being a lender.
A Funds concentration of investments in securities of issuers located in a specific region subjects that Fund to the economic and government policies of that region and may increase risk versus that of a fund whose investments are more diversified.
Certain Funds invest in securities whose value is derived from an underlying pool of mortgages or consumer loans. Prepayment of these loans shortens the stated maturity of these respective obligations and may result in a loss of premium, if any has been paid. Estimates of such prepayments are used to calculate expected maturity dates and a Funds average duration.
Certain securities are backed by letters of credit from various financial institutions and financial guaranty assurance agencies. These letters of credit enhance the credit quality of the individual securities; however, if any of the financial institutions or financial guaranty assurance agencies credit quality should deteriorate, it could cause the individual securitys credit quality to change. Additionally, if any of the Funds concentrate its letters of credit in any one financial institution, the risk of the Funds overall credit quality deterioration increases.
Certain Funds hold certain securities the issuer of which operates under a congressional charter. These securities (Federal Home Loan Mortgage Corporation, Federal Home Loan Bank, Federal Agricultural Mortgage Corporation and Federal National Mortgage Association) are neither issued nor guaranteed by the U.S. government. If needed, access to additional funding from the U.S. Treasury (beyond the issuers line of credit) would require congressional action.
Please refer to each Funds prospectus for a complete description of risks associated with the Fund.
6. Accounting Pronouncements
In May 2011, the Financial Accounting Standards Board issued Accounting Standards Update (ASU) No. 2011-04 Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and International Financial Reporting Standards (IFRSs). ASU 2011-04 includes common requirements for measurement of and disclosure about fair value between U.S. GAAP and IFRS. ASU 2011-04 will require reporting entities to make disclosures about amounts and reasons for all transfers in and out of Level 1 and Level 2 fair value measurements. In addition, ASU 2011-04 will require reporting entities to disclose the following information for fair value measurements categorized within Level 3 of the fair value hierarchy: quantitative information about the unobservable inputs used in the fair value measurement, the valuation processes used by the reporting entity and a narrative description of the sensitivity of the fair value measurement to changes in unobservable inputs and the interrelationships between those unobservable inputs. The new and revised disclosures are effective for interim and annual reporting periods beginning after December 15, 2011. Management is currently evaluating the implications of ASU No. 2011-04 and its impact on the Funds financial statements.
7. Subsequent Events
Management has evaluated subsequent events for potential recognition or disclosure in this report through the date the report was issued and has determined that, except as set forth below, there were no material events that would require disclosure through this date.
On November 15, 2011, the Board approved changing the name of the RidgeWorth Maryland Municipal Bond Fund (the Fund) to the Ridgeworth Short-Term Municipal Bond Fund and revising the Funds investment objective and policies, subject to the approval of the Funds shareholders at a special meeting to be held on or about April 9, 2012.
Item 2. | Controls and Procedures. |
(a) The registrants principal executive officer and principal financial officer have concluded, based on their evaluation of the registrants disclosure controls and procedures as conducted within 90 days of the filing date of this report, that these disclosure controls and procedures are adequately designed and are operating effectively to ensure that information required to be disclosed by the registrant on Form N-Q is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commissions rules and forms.
(b) There were no changes in the registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 3. | Exhibits. |
The certifications required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
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.
RidgeWorth Funds
By: | /s/ Julia R. Short | |
Julia R. Short | ||
President and Chief Executive Officer |
Date: February 27, 2012
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Julia R. Short | |
Julia R. Short | ||
President and Chief Executive Officer |
Date: February 27, 2012
By: | /s/ Cynthia L. Morse-Griffin | |
Cynthia L. Morse-Griffin | ||
Treasurer and Chief Financial Officer |
Date: February 27, 2012
Exhibit 3(a)(1)
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:
I, Julia R. Short, President and Chief Executive Officer of RidgeWorth Funds, certify that:
1. | I have reviewed this report on Form N-Q of RidgeWorth Funds; |
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 portfolio 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(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the 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(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 27, 2012
By: | /s/ Julia R. Short | |
Julia R. Short | ||
President and Chief Executive Officer |
Exhibit 3(a)(2)
CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002:
I, Cynthia L. Morse-Griffin, Treasurer of RidgeWorth Funds, certify that:
1. | I have reviewed this report on Form N-Q of RidgeWorth Funds; |
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 portfolio 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(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
(d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the 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(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: February 27, 2012
By: | /s/ Cynthia Morse-Griffin | |
Cynthia L. Morse-Griffin | ||
Treasurer and Chief Financial Officer |