N-Q 1 v320102_nq.htm FORM N-Q

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANY

 

 

Investment Company Act file number 811-02120

 

security INCOME fund

(Exact name of registrant as specified in charter)

 

805 KING FARM BOULEVARD, SUITE 600, ROCKVILLE, MD 20850

(Address of principal executive offices) (Zip code)

 

DONALD C. CACCIAPAGLIA, PRESIDENT

security INCOME fund

805 KING FARM BOULEVARD,
SUITE 600, ROCKVILLE, MD 20850

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (301) 296-5100

 

Date of fiscal year end: September 30

 

Date of reporting period: June 30, 2012

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 
 

    

Item 1. Schedule of Investments.

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Face
Amount		   Value 
FLOATING RATE INTERESTS†† - 70.7%          
Industrials -  27.0%          
Novell, Inc.          
7.25% due 11/24/17  $2,000,000   $1,975,000 
Osmose Holdings, Inc.          
6.50% due 05/02/18   1,500,000    1,488,749 
Sequa Corp.          
3.71% due 12/03/14   966,266    943,771 
3.71% due 02/03/18   533,734    521,309 
CDW LLC          
3.99% due 07/15/17   1,263,136    1,233,932 
NAB Holdings          
6.99% due 04/01/17   1,000,000    996,250 
Servicemaster Co.          
2.73% due 07/24/14   798,791    788,375 
2.97% due 07/24/14   198,242    195,657 
AWAS Aviation Capital Ltd.          
due 03/01/18   750,000    745,785 
5.24% due 06/10/16   233,696    233,111 
Misys plc          
due 12/08/18   1,000,000    977,710 
Laureate Education, Inc.          
5.24% due 06/15/18   998,114    951,013 
AP Alternative          
4.25% due 06/30/15   1,000,000    900,000 
SRA International, Inc.          
6.50% due 07/20/18   922,635    892,936 
Avaya, Inc.          
4.96% due 10/26/17   998,032    882,140 
First Data Corp.          
5.24% due 02/03/18   798,569    759,926 
Unifrax Corp.          
6.50% due 11/18/18   749,375    754,373 
Mirion Technologies          
6.24% due 02/07/18   750,000    746,250 
RGIS Inventory          
5.50% due 10/03/17   750,000    740,625 
Mitchell International, Inc.          
5.74% due 02/03/18   750,000    728,123 
Semtech Corp.          
4.25% due 02/03/18   500,000    498,125 
Avis Budget Care Rental, llc          
4.25% due 03/13/19   498,750    495,509 
Go Daddy Group, Inc.          
5.50% due 02/03/18   496,872    489,314 
Epicor Software Corp.          
5.00% due 05/16/18   496,237    488,918 
CPG International, Inc.          
6.00% due 02/18/17   497,475    476,332 
Doncasters Group          
due 04/04/18   250,000    235,470 
due 04/03/18   250,000    234,220 
Open Solutions, Inc.          
2.59% due 01/23/14   498,035    467,904 
Smile Brands          
6.99% due 12/21/17   462,741    459,270 
Hyland Software, Inc.          
6.00% due 02/03/18   350,000    347,813 
Ceva Group plc          
5.46% due 08/31/16  350,000   328,783 
Genesys International Corporation Ltd.          
6.75% due 01/25/19   249,375    249,922 
Total Safety U.S., Inc.          
7.49% due 10/31/17   248,750    247,922 
7.49% due 04/30/12   625    623 
Kronos, Inc.          
5.21% due 06/09/17   249,375    248,545 
Targus Group International          
11.00% due 05/16/16   248,120    247,914 
11.75% due 05/16/16   627    626 
Plato Learning, Inc.          
7.49% due 05/09/18   250,000    248,438 
Flexera Software, Inc.          
7.49% due 09/30/17   246,250    246,866 
Mosaid Technologies, Inc.          
8.49% due 12/20/16   245,313    242,859 
SI Organization, Inc.          
4.50% due 11/22/16   248,741    242,522 
Ceridian Corp.          
3.19% due 11/09/14   246,144    238,144 
Freescale Semiconductor, Inc.          
4.48% due 12/01/16   250,000    236,250 
Wyle Services Corp.          
5.74% due 03/26/17   237,772    235,097 
Aspect Software, Inc.          
6.24% due 05/09/16   235,025    232,969 
ClientLogic          
7.21% due 01/30/17   250,000    223,750 
DynCorp International LLC          
6.24% due 07/07/16   223,249    222,552 
Endurance International          
7.75% due 04/19/18   177,500    175,281 
CKX Entertainment, Inc.          
9.00% due 08/01/17   57,375    45,326 
Total Industrials        25,562,299 
Consumer Discretionary -  18.5%          
Caesars Entertainment Operating Company, Inc.          
5.49% due 02/03/18   1,850,000    1,644,761 
Zayo Group LLC          
due 06/15/19   1,000,000    1,002,320 
6.99% due 11/22/17   249,375    250,103 
Guitar Center, Inc.          
5.72% due 04/09/17   1,250,000    1,164,950 
HD Supply, Inc.          
7.25% due 10/05/17   1,000,000    1,005,630 
Charter Communications          
3.99% due 02/03/18   997,500    989,839 
Ennis-Flint          
6.24% due 02/03/18   997,500    982,537 

  

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

   

 

   Face
Amount		   Value 
FLOATING RATE INTERESTS†† - 70.7% (continued)          
Consumer Discretionary -  18.5% (continued)          
Mattress Firm          
2.72% due 01/18/14  $997,391   $977,443 
IPC Systems, Inc.          
5.72% due 06/02/14   734,185    713,076 
5.48% due 06/02/14   242,906    235,923 
Federal-Mogul Corp.          
2.17% due 12/29/14   642,025    609,923 
2.17% due 02/03/18   313,613    297,932 
2.17% due 12/27/15   35,237    33,476 
2.18% due 12/29/14   3,453    3,281 
2.18% due 12/27/15   1,762    1,674 
Crestwood (First Reserve Crestwood Holdings LLC)          
9.74% due 02/03/18   500,000    501,565 
Sleepy's LLC          
7.25% due 02/03/18   500,000    500,000 
Yankee Candle          
5.24% due 03/14/19   500,000    498,125 
Totes Isotoner          
7.25% due 07/07/17   493,595    488,659 
7.99% due 07/07/17   4,519    4,474 
Armored AutoGroup, Inc.          
6.00% due 11/05/16   498,109    488,147 
TI Automotive Ltd.          
6.75% due 02/03/18   500,000    487,915 
Univision Communications, Inc.          
4.49% due 03/31/17   500,000    472,815 
Schrader, Inc.          
6.24% due 04/27/18   423,910    422,850 
Schrader Inc.          
6.24% due 04/27/18   326,090    325,275 
Pharmaceutical Product Development, Inc.          
6.24% due 11/18/18   249,375    250,310 
FleetPride Corp.          
6.75% due 11/30/17   250,000    249,895 
Level 3 Financing, Inc.          
5.74% due 09/01/18   250,000    249,765 
KAR Auction Services, Inc.          
5.00% due 05/19/17   248,797    249,730 
Schaeffler AG          
6.00% due 02/03/18   250,000    249,610 
Renaissance Learning, Inc.          
7.75% due 10/19/17   248,750    248,439 
Kabel Deutschland          
4.25% due 01/20/19   250,000    248,048 
Amscan Holdings, Inc.          
6.75% due 12/02/17   248,106    247,590 
OSI Restaurant Partners, Inc.          
2.56% due 06/14/14   226,315    222,462 
0.06% due 06/14/14   22,219    21,840 
Cequel Communications LLC          
3.99% due 02/10/19   249,375    243,951 
Convatec, Inc.          
5.74% due 12/22/17   243,200    242,896 
Burlington Coat Factory Warehouse Corp.          
5.50% due 02/18/17  238,085   236,564 
Digital Generation, Inc.          
5.74% due 08/05/18   197,434    194,473 
Boyd Gaming Corp.          
6.00% due 12/17/15   165,750    166,199 
Summit Entertainment, llc          
6.75% due 08/21/16   149,580    148,458 
Focus Brands, Inc.          
7.37% due 02/22/18   3,750    3,752 
Total Consumer Discretionary        17,576,675 
Financials -  5.4%          
UPC Financing Partnership          
3.73% due 02/03/18   1,325,000    1,288,562 
Nuveen Investments, Inc.          
5.96% due 05/13/17   1,000,000    983,000 
Istar Financial, Inc.          
6.99% due 02/03/18   333,333    332,083 
5.24% due 03/15/16   251,359    248,846 
5.24% due 02/03/18   233,696    231,359 
Ocwen Financial          
6.99% due 09/01/16   500,000    501,250 
Helm Financial Corp.          
6.24% due 06/01/17   498,744    493,756 
Lpl Holdings, Inc.          
3.99% due 02/03/18   325,000    321,506 
Hamilton Lane Advisors LLC          
6.50% due 02/03/18   250,000    248,750 
AmWINS Group, Inc.          
9.24% due 12/07/19   250,000    245,313 
First Data Corp.          
2.99% due 09/24/14   250,000    240,490 
Total Financials        5,134,915 
Bank Loans -  4.7%          
AlixPartners          
6.50% due 05/28/19   750,000    740,249 
Wolverine World Wide          
due 03/01/18   500,000    499,374 
Wireco Worldgroup          
due 01/28/17   500,000    498,750 
LHP Hospital Group, Inc.          
due 06/28/19   500,000    487,500 
Bushnell, Inc.          
5.74% due 03/01/18   500,000    483,750 
Gogo, Inc.          
11.25% due 06/21/17   200,000    193,000 
due 06/21/17   200,000    193,000 
Residential Capital LLC          
5.24% due 11/14/13   250,000    249,751 
7.25% due 05/14/13   125,000    125,313 
P.F. Chang’s China Bistro, Inc.          
due 07/01/19   300,000    300,189 

   

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

  

   Face
Amount		   Value 
FLOATING RATE INTERESTS†† - 70.7% (continued)          
Bank Loans -  4.7% (continued)          
Equipower          
6.50% due 12/29/18  $200,000   $199,812 
due 06/20/19   50,000    49,907 
Wastequip          
8.25% due 01/05/18   250,000    247,500 
Acosta, Inc.          
due 03/01/18   200,000    199,500 
Total Bank Loans        4,467,595 
Consumer Staples -  4.4%          
Container Store          
6.24% due 02/03/18   997,500    989,190 
Pinnacle Foods          
4.74% due 10/17/18   997,500    985,032 
4.74% due 02/03/18   2,500    2,469 
U.S. Foodservice, Inc.          
5.74% due 03/31/17   998,114    954,290 
Wendy's Co.          
4.74% due 04/20/19   444,938    441,392 
due 05/15/19   355,062    352,232 
Bausch & Lomb, Inc.          
5.24% due 05/10/18   250,000    248,375 
Focus Brands, Inc.          
6.24% due 02/22/18   222,951    223,091 
6.24% due 02/03/18   12,295    12,303 
Total Consumer Staples        4,208,374 
Health Care -  3.8%          
Catalent Pharma Solutions          
5.24% due 02/03/18   526,744    521,365 
5.24% due 09/15/17   270,633    267,870 
4.24% due 04/10/14   198,953    196,840 
Biomet, Inc.          
3.46% due 03/25/15   579,496    571,737 
Physiotherapy          
6.00% due 04/25/18   500,000    495,835 
VWR International LLC          
2.73% due 06/27/14   498,080    491,645 
Aspen Dental Management, Inc.          
6.99% due 10/06/16   454,295    449,375 
6.99% due 02/03/18   3,306    3,270 
Biomet, Inc.          
3.24% due 03/25/15   417,886    412,290 
Grifols S.A          
4.50% due 06/01/17   247,760    245,062 
Total Health Care        3,655,289 
Information Technology -  3.5%          
API Technologies Corp.          
8.75% due 06/27/16   997,071    992,085 
Syniverse          
5.00% due 04/20/19   1,000,000    992,080 
Sabre Holdings          
5.98% due 09/30/14   998,032    957,861 
Telx Group, Inc.          
7.75% due 09/22/17   248,750    246,885 
Allen Systems Group, Inc.          
6.50% due 11/21/15  100,301   95,286 
Total Information Technology        3,284,197 
Telecommunication Services -  2.1%          
Asurion Corp.          
5.50% due 02/03/18   999,091    992,686 
Level 3 Financing, Inc.          
2.71% due 02/03/18   535,714    525,670 
2.49% due 03/13/14   214,286    210,268 
Mitel U.S. Holdings, Inc.          
3.71% due 10/16/14   249,993    246,451 
Total Telecommunication Services        1,975,075 
Materials -  0.8%          
Envirosolutions          
7.99% due 02/03/18   540,281    531,729 
Univar, Inc.          
5.00% due 06/30/17   203,741    199,688 
Total Materials        731,417 
Energy -  0.5%          
El Paso (EP Energy)          
6.50% due 02/03/18   500,000    504,220 
Total Floating Rate Interests          
(Cost $66,984,590)        67,100,056 
ASSET BACKED SECURITIES†† - 28.8%          
Triaxx Prime CDO          
0.51% due 03/03/391,2,3   3,379,805    2,445,389 
Aerco Ltd.          
0.70% due 07/15/251,2,3   3,173,376    2,316,565 
TCW Global Project Fund          
1.12% due 09/01/171,2,3   2,250,000    1,849,823 
Accredited Mortgage Loan Trust          
0.40% due 09/25/361   2,119,422    1,840,943 
GSC Partners CDO Fund Ltd.          
1.32% due 10/23/171,2,3   750,000    680,250 
1.47% due 05/25/201,2,3   750,000    603,150 
Total GSC Partners CDO Fund Ltd.        1,283,400 
Diversified Asset Securitization Holdings II Limited Partnership          
0.96% due 09/15/351,2,3   1,087,445    1,012,738 
Stone Tower CDO Ltd.          
1.72% due 01/29/401,2,3   1,250,000    998,925 
Black Diamond CLO Ltd.          
1.16% due 04/29/191,2,3   1,350,000    983,462 
Rockwall CDO Ltd.          
0.72% due 08/01/241,2,3   1,157,170    966,237 
Global Leveraged Capital Credit Opportunity Fund          
1.47% due 12/20/181,2,3   1,288,000    944,671 
Aircastle Aircraft Lease Backed Trust          
0.50% due 06/14/371,2,3   726,950    639,716 
0.51% due 06/20/311,2,3   322,570    277,945 
Total Aircastle Aircraft Lease Backed Trust        917,661 

   

 
 

 

Floating Rate Strategies Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

  

   Face
Amount		   Value 
ASSET BACKED SECURITIES†† - 28.8% (continued)
Centurion CDO VII Ltd.          
1.87% due 01/30/161,2,3  $1,000,000   $903,400 
Zais Investment Grade Ltd.          
1.79% due 07/27/181,2,3   1,000,000    900,000 
FM Leveraged Capital Fund          
1.32% due 11/15/201,2,3   1,000,000    821,130 
Westchester CLO Ltd.          
0.81% due 08/01/221,2,3   1,000,000    778,880 
Churchill Financial Cayman Ltd.          
3.07% due 07/10/191,2,3   1,000,000    762,770 
Drug Royalty Corporation, Inc.          
5.72% due 07/15/241,2,3   706,538    706,533 
Genesis CLO Ltd.          
4.47% due 01/10/161,2,3   750,000    705,000 
Aircraft Lease Securitisation Ltd.          
0.50% due 05/10/321,2,3   745,274    700,558 
Structured Asset Receivables Trust          
0.97% due 01/21/151,2,3   573,291    528,861 
Babcock & Brown Air Funding I Ltd.          
0.54% due 11/14/331,2,3   593,844    486,952 
Airplanes Pass Through Trust          
0.79% due 03/15/191   844,971    481,633 
DFR Middle Market CLO Ltd.          
2.77% due 07/20/191,2,3   500,000    471,010 
Northwind Holdings LLC          
1.25% due 12/01/371,2,3   570,571    456,457 
Raspro Trust          
0.87% due 03/23/241,2,3   529,735    444,977 
Kennecott Funding Ltd.          
1.27% due 01/13/181,2,3   500,000    415,000 
Colts Trust          
1.27% due 03/20/211,2,3   250,000    205,000 
1.32% due 12/20/181,2,3   184,205    179,460 
Total Colts Trust        384,460 
OFSI Fund Ltd.          
1.32% due 09/20/191,2,3   370,000    269,264 
Asset Backed Securities Corporation Home Equity          
1.30% due 12/25/341   350,000    262,367 
Hewett's Island CDO Ltd.          
0.87% due 12/05/181,2,3   250,000    205,000 
RAMP Trust          
0.80% due 12/25/341   250,000    193,488 
Newstar Trust          
0.74% due 03/30/221,2,3   204,153    192,925 
Genesis Funding Ltd.          
0.48% due 12/19/321,2,3  220,225   192,802 
Whitney CLO Ltd.          
2.57% due 03/01/171,2,3   200,000    170,468 
Castle Trust          
0.99% due 05/15/271,2,3   175,465    163,183 
LCP Dakota Fund          
10.75% due 01/16/142   125,000    122,813 
Vega Containervessel plc          
5.56% due 02/10/212,3   63,438    57,728 
CapitalSource Commercial Loan Trust          
0.92% due 09/20/221,2,3   41,613    40,358 
Total Asset Backed Securities          
(Cost $27,336,816)        27,377,831 
MORTGAGE BACKED SECURITIES†† - 1.0%          
Nomura Resecuritization Trust          
2012-1R, 0.69% due 04/27/181,2,3   1,183,837    982,585 
Total Mortgage Backed Securities          
(Cost $984,153)        982,585 
CORPORATE BONDS†† - 0.9%          
Financials -  0.6%          
USI Holdings Corp.          
4.34% due 11/15/141,2,3   350,000    324,625 
Nationstar Mortgage LLC / Nationstar Capital Corp.          
9.63% due 05/01/192,3   250,000    264,375 
Total Financials        589,000 
Consumer Discretionary -  0.3%          
Atlas Air 1999-1 Class A-1 Pass Through Trust          
7.20% due 01/02/19   131,321    131,321 
WMG Acquisition Corp.          
11.50% due 10/01/18   50,000    55,250 
Atlas Air 1999-1 Class A-2 Pass Through Trust          
6.88% due 04/02/14   33,527    33,527 
Seminole Hard Rock Entertainment, Inc.          
2.97% due 03/15/141,2,3   20,000    19,400 
Total Consumer Discretionary        239,498 
Total Corporate Bonds          
(Cost $811,428)        828,498 
Total Investments - 101.4%          
(Cost $96,116,987)       $96,288,970 
Other Assets & Liabilities, net - (1.4)%        (1,340,888)
Total Net Assets - 100.0%       $94,948,082 

 

  

†† Value determined based on Level 2 inputs — See Note 2.
1 Variable rate security.  Rate indicated is rate effective at June 30, 2012.
2 Security was acquired through a private placement.
3 Security is a 144A or Section 4(2) security.  The total market value of 144A or Section 4(2) securities is $26,067,572 (cost $25,954,928), or 27.5% of total net assets.

 

plc Public Limited Company

 

 
 

 

Macro Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Shares   Value 
EXCHANGE TRADED FUND† - 1.5%          
ProShares UltraShort 20+ Year Treasury   117,600   $1,862,784 
Total Exchange Traded Fund          
(Cost $2,001,552)        1,862,784 
    Face
Amount		    Value 
ASSET BACKED SECURITIES†† - 27.2%          
Triaxx Prime CDO          
0.51% due 03/03/391,2,3  $3,379,805    2,445,389 
GSC Partners CDO Fund Ltd.          
1.72% due 11/20/161   1,250,000    1,095,500 
1.32% due 10/23/171,2,3   750,000    680,250 
1.47% due 05/25/201,2,3   750,000    603,150 
Total GSC Partners CDO Fund Ltd.        2,378,900 
Aerco Ltd.          
0.70% due 07/15/251,2,3   3,021,521    2,205,710 
Global Leveraged Capital Credit Opportunity Fund          
1.47% due 12/20/181,2,3   2,376,000    1,742,652 
TCW Global Project Fund          
1.12% due 09/01/171,2,3   2,100,000    1,713,729 
Aircastle Aircraft Lease Backed Trust          
0.50% due 06/14/371,2,3   1,163,120    1,023,546 
0.51% due 06/20/311,2,3   645,139    555,891 
Total Aircastle Aircraft Lease Backed Trust        1,579,437 
Diversified Asset Securitization Holdings II Limited Partnership          
0.96% due 09/15/351,2,3   1,641,427    1,528,660 
Accredited Mortgage Loan Trust          
0.40% due 09/25/361   1,319,640    1,146,248 
Centurion CDO VII Ltd.          
1.87% due 01/30/161,2,3   1,250,000    1,129,250 
FM Leveraged Capital Fund          
1.32% due 11/15/201,2,3   1,250,000    1,026,413 
Airplanes Pass Through Trust          
0.79% due 03/15/191   1,800,306    1,026,174 
Babcock & Brown Air Funding I Ltd.          
0.54% due 11/14/331,2,3   1,249,980    1,024,984 
Stone Tower CDO Ltd.          
1.72% due 01/29/401,2,3   1,250,000    998,925 
Rockwall CDO Ltd.          
0.72% due 08/01/241,2,3   1,157,170    966,237 
Fortress Credit Opportunities          
0.66% due 07/15/12   1,100,000    956,175 
Pacifica CDO Ltd.          
5.81% due 01/26/202,3   950,000    908,618 
Genesis Funding Ltd.          
0.48% due 12/19/321,2,3   1,004,225    879,179 
Structured Asset Receivables Trust          
0.97% due 01/21/151,2,3   907,710    837,363 
Black Diamond CLO Ltd.          
1.16% due 04/29/191,2,3   1,100,000    801,339 
Westchester CLO Ltd.          
0.81% due 08/01/221,2,3   1,000,000    778,880 
Churchill Financial Cayman Ltd.          
3.07% due 07/10/191,2,3  1,000,000   762,770 
Colts Trust          
1.32% due 12/20/181,2,3   552,615    538,381 
1.27% due 03/20/211,2,3   250,000    205,000 
Total Colts Trust        743,381 
Northwind Holdings LLC          
1.25% due 12/01/371,2,3   882,395    705,916 
Kennecott Funding Ltd.          
1.27% due 01/13/181,2,3   700,000    581,000 
Asset Backed Securities Corporation Home Equity          
1.30% due 12/25/341   750,000    562,214 
DFR Middle Market CLO Ltd.          
2.77% due 07/20/191,2,3   500,000    471,010 
Aircraft Lease Securitisation Ltd.          
0.50% due 05/10/321,2,3   491,203    461,731 
Hewett's Island CDO Ltd.          
0.87% due 12/05/181,2,3   500,000    410,000 
MC Funding Limited / MC Funding 2006-1 LLC          
1.42% due 12/20/201,2,3   500,000    402,495 
Shinnecock CLO          
1.37% due 07/15/181,2,3   500,000    381,400 
Drug Royalty Corporation, Inc.          
5.72% due 07/15/241,2,3   376,821    376,817 
Genesis CLO Ltd.          
4.47% due 01/10/161,2,3   400,000    376,000 
Whitney CLO Ltd.          
2.57% due 03/01/171,2,3   350,000    298,319 
LCP Dakota Fund          
10.75% due 01/16/142   300,000    294,752 
OFSI Fund Ltd.          
1.32% due 09/20/191,2,3   370,000    269,264 
Raspro Trust          
0.87% due 03/23/241,2,3   288,946    242,715 
Vega Containervessel plc          
5.56% due 02/10/212,3   236,449    215,169 
Newstar Trust          
0.74% due 03/30/221,2,3   204,153    192,925 
Castle Trust          
0.99% due 05/15/271,2,3   175,465    163,183 
CapitalSource Commercial Loan Trust          
0.92% due 09/20/221,2,3   41,613    40,358 
Total Asset Backed Securities          
(Cost $34,054,679)        34,025,681 
CORPORATE BONDS†† - 25.1%          
Financials -  7.1%          
Schahin II Finance Company SPV Ltd.          
5.88% due 09/25/222,3  1,800,000   1,804,499 
General Electric Capital Corp.          
7.13% due 12/15/491,4   1,300,000    1,373,398 
City National Bank          
5.38% due 07/15/22   1,000,000    1,026,834 
QBE Capital Funding III Ltd.          
7.25% due 05/24/411,2,3,5   900,000    812,181 

  

 
 

 

Macro Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

  

   Face
Amount		   Value 
CORPORATE BONDS†† - 25.1% (continued)          
Financials -  7.1% (continued)          
Symetra Financial Corp.          
6.13% due 04/01/162,3  $750,000   $766,815 
CNO Financial Group, Inc.          
9.00% due 01/15/182,3   250,000    269,375 
Ohana Military Communities LLC          
5.88% due 10/01/512,3,5   199,399    177,613 
6.15% due 10/01/512,3,5   100,000    89,924 
Nationstar Mortgage LLC / Nationstar Capital Corp.          
9.63% due 05/01/192,3   250,000    264,375 
Nationwide Mutual Insurance Co.          
9.38% due 08/15/392,3,5   200,000    263,135 
Icahn Enterprises Limited Partnership / Icahn Enterprises Finance Corp.          
7.75% due 01/15/16   250,000    262,813 
Jefferies Group, Inc.          
6.88% due 04/15/21   250,000    251,402 
USI Holdings Corp.          
9.75% due 05/15/152,3   250,000    250,938 
Endurance Specialty Holdings Ltd.          
6.15% due 10/15/15   200,000    214,126 
Blackstone Holdings Finance Company LLC          
5.88% due 03/15/212,3   200,000    208,760 
Axis Bank Ltd.          
5.13% due 09/05/172,3   200,000    200,398 
JPMorgan Chase Capital XXV          
6.80% due 10/01/37   150,000    149,999 
Kennedy-Wilson, Inc.          
8.75% due 04/01/19   125,000    128,750 
Scottrade Financial Services, Inc.          
6.13% due 07/11/212,3   125,000    126,943 
Lancer Finance Company SPV Ltd.          
5.85% due 12/12/162,3   110,491    114,747 
Total Financials        8,757,025 
Consumer Discretionary -  5.5%          
GRD Holdings III Corp.          
10.75% due 06/01/192,3   850,000    841,499 
Wok Acquisition Corp.          
10.25% due 06/30/202,3   750,000    772,500 
Ceridian Corp.          
8.88% due 07/15/192,3   750,000    750,000 
Sabre, Inc.          
8.50% due 05/15/192,3,5   700,000    710,500 
WMG Acquisition Corp.          
11.50% due 10/01/18   465,000    513,824 
Expedia, Inc.          
5.95% due 08/15/205   490,000    513,377 
Lions Gate Entertainment, Inc.          
10.25% due 11/01/162,3   415,000    454,425 
Mastro's Restaurants LLC/RRG Finance Corp.          
12.00% due 06/01/172,3   340,000    345,950 
Continental Airlines 2009-2 Class B Pass Through Trust          
9.25% due 05/10/17  312,793   340,944 
AmeriGas Finance LLC / AmeriGas Finance Corp.          
7.00% due 05/20/22   250,000    257,500 
Stanadyne Corp.          
10.00% due 08/15/14   250,000    218,438 
Continental Airlines 2012-1 Class B Pass Thru Trusts          
6.25% due 04/11/20   200,000    202,000 
Caesars Entertainment Operating Company, Inc.          
8.50% due 02/15/202,3   150,000    151,125 
Seminole Indian Tribe of Florida          
7.75% due 10/01/172,3,5   125,000    136,250 
MGM Resorts International          
8.63% due 02/01/192,3   125,000    133,750 
Burlington Coat Factory Warehouse Corp.          
10.00% due 02/15/19   125,000    132,500 
Atlas Air 1999-1 Class A-1 Pass Through Trust          
7.20% due 01/02/195   131,321    131,321 
Empire Today LLC / Empire Today Finance Corp.          
11.38% due 02/01/172,3   125,000    126,563 
Logan's Roadhouse, Inc.          
10.75% due 10/15/17   85,000    81,388 
INTCOMEX, Inc.          
13.25% due 12/15/14   50,000    50,000 
Atlas Air 1999-1 Class A-2 Pass Through Trust          
6.88% due 04/02/145   33,527    33,527 
Seminole Hard Rock Entertainment, Inc.          
2.97% due 03/15/141,2,3   20,000    19,400 
Total Consumer Discretionary        6,916,781 
Industrials -  3.2%          
AWAS Aviation Capital Ltd.          
7.00% due 10/17/162,3   1,284,000    1,328,940 
Embraer S.A.          
5.15% due 06/15/22   750,000    769,875 
CEVA Group plc          
8.38% due 12/01/172,3   725,000    703,250 
International Lease Finance Corp.          
7.13% due 09/01/182,3,5   500,000    551,250 
CPM Holdings, Inc.          
10.63% due 09/01/14   250,000    265,000 
Marquette Transportation Company / Marquette Transportation Finance Corp.          
10.88% due 01/15/17   250,000    263,125 

  

 
 

 

Macro Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

  

   Face
Amount		   Value 
CORPORATE BONDS†† - 25.1% (continued)          
Industrials -  3.2% (continued)          
Thermadyne Holdings Corp.          
9.00% due 12/15/17  $100,000   $102,250 
Total Industrials        3,983,690 
Energy -  2.7%          
Penn Virginia Resource Partners Limited Partnership / Penn Virginia Resource Finance Corporation II          
8.38% due 06/01/202,3,5   750,000    761,250 
Exterran Holdings, Inc.          
7.25% due 12/01/18   750,000    720,000 
Dolphin Energy Ltd.          
5.50% due 12/15/212,3   350,000    389,829 
BreitBurn Energy Partners Limited Partnership / BreitBurn Finance Corp.          
7.88% due 04/15/222,3   325,000    325,000 
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.          
7.75% due 04/01/19   325,000    322,563 
Eagle Rock Energy Partners Limited Partnership / Eagle Rock Energy Finance Corp.          
8.38% due 06/01/19   250,000    249,375 
Quicksilver Resources, Inc.          
7.13% due 04/01/16   250,000    192,500 
Precision Drilling Corp.          
6.50% due 12/15/212,3   125,000    127,500 
SandRidge Energy, Inc.          
7.50% due 03/15/21   125,000    123,438 
EP Energy LLC / EP Energy Finance, Inc.          
6.88% due 05/01/192,3   100,000    104,500 
Total Energy        3,315,955 
Telecommunication Services -  2.3%          
Zayo Group LLC / Zayo Capital, Inc.          
10.13% due 07/01/202,3   600,000    637,500 
8.13% due 01/01/202,3   400,000    418,000 
Open Solutions, Inc.          
9.75% due 02/01/152,3   500,000    440,000 
CommScope, Inc.          
8.25% due 01/15/192,3   325,000    343,688 
DISH DBS Corp.          
6.75% due 06/01/21   250,000    270,000 
Sprint Nextel Corp.          
7.00% due 03/01/202,3   250,000    260,000 
Level 3 Financing, Inc.          
4.51% due 02/15/151   250,000    241,250 
Oi S.A.          
5.75% due 02/10/222,3   200,000    203,800 
Sitel LLC / Sitel Finance Corp.          
11.00% due 08/01/172,3  100,000   97,000 
Total Telecommunication Services        2,911,238 
Health Care -  1.9%          
Apria Healthcare Group, Inc.          
11.25% due 11/01/14   750,000    776,249 
12.38% due 11/01/14   400,000    379,000 
Symbion, Inc.          
8.00% due 06/15/16   350,000    348,250 
Physiotherapy Associates Holdings, Inc.          
11.88% due 05/01/192,3   275,000    278,438 
Express Scripts Holding Co.          
4.75% due 11/15/212,3,5   250,000    276,645 
HCA, Inc.          
6.50% due 02/15/20   125,000    135,469 
Physio-Control International, Inc.          
9.88% due 01/15/192,3   125,000    133,125 
Total Health Care        2,327,176 
Information Technology -  1.0%          
Lawson Software, Inc.          
11.50% due 07/15/182,3   750,000    847,500 
Stream Global Services, Inc.          
11.25% due 10/01/14   325,000    331,500 
Compucom Systems, Inc.          
12.50% due 10/01/152,3   100,000    103,875 
Total Information Technology        1,282,875 
Consumer Staples -  0.8%          
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC          
6.88% due 02/15/212,3   325,000    338,000 
Central Garden and Pet Co.          
8.25% due 03/01/18   325,000    325,813 
US Foods, Inc.          
8.50% due 06/30/192,3   250,000    253,750 
BI-LO LLC / BI-LO Finance Corp.          
9.25% due 02/15/192,3   125,000    134,375 
Yankee Candle Company, Inc.          
8.50% due 02/15/15   6,000    6,120 
Total Consumer Staples        1,058,058 
Materials -  0.5%          
Kaiser Aluminum Corp.          
8.25% due 06/01/202,3   250,000    255,000 
APERAM          
7.75% due 04/01/182,3   250,000    212,500 
Mirabela Nickel Ltd.          
8.75% due 04/15/182,3   250,000    171,250 
Total Materials        638,750 
Utilities -  0.1%          
AES Corp.          
7.38% due 07/01/212,3   125,000    139,063 
Total Corporate Bonds          
(Cost $30,924,703)        31,330,611 

   

 
 

 

Macro Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Face
Amount		   Value 
FLOATING RATE INTERESTS†† - 8.0%          
Industrials -  3.4%          
Novell, Inc.          
7.25% due 11/24/17  $750,000   $740,625 
AP Alternative          
4.25% due 06/30/15   595,215    535,693 
Genesys International Corporation Ltd.          
6.75% due 01/25/19   249,375    249,922 
Targus Group International          
11.00% due 05/16/16   248,120    247,914 
11.75% due 05/16/16   627    626 
Misys plc          
11.99% due 12/06/19   250,000    244,583 
Servicemaster Co.          
2.73% due 07/24/14   198,432    195,845 
2.97% due 07/24/14   49,264    48,621 
Ceridian Corp.          
3.19% due 11/09/14   246,144    238,144 
Freescale Semiconductor, Inc.          
4.48% due 12/01/16   250,000    236,250 
CEVA Group plc          
5.46% due 08/31/16   250,000    234,845 
Open Solutions, Inc.          
2.59% due 01/23/14   248,691    233,646 
Smile Brands, Inc.          
6.99% due 12/21/17   208,000    206,440 
Tasc, Inc.          
4.50% due 12/18/15   188,898    184,804 
Endurance International          
7.75% due 04/19/18   177,500    175,281 
NAB Holdings          
6.99% due 04/01/17   175,000    174,344 
First Data Corp.          
5.24% due 02/03/18   178,213    169,589 
Plato Learning, Inc.          
7.49% due 05/09/18   100,000    99,375 
CKX Entertainment Inc.          
9.00% due 08/01/17   57,375    45,326 
Total Industrials        4,261,873 
Consumer Discretionary -  1.9%          
Schaeffler AG          
6.00% due 02/14/17   250,000    249,610 
Kabel Deutschland          
4.25% due 01/20/19   250,000    248,047 
API Technologies Corp.          
8.75% due 06/27/16   248,798    247,554 
Crown Castle International          
3.99% due 01/25/19   248,750    244,708 
Armored Autogroup Inc.          
6.00% due 11/05/16   249,369    244,381 
Cequel Communications LLC          
3.99% due 02/03/18   249,375    243,951 
OSI Restaurant Partners LLC          
2.56% due 06/14/14   224,659    220,834 
0.06% due 06/14/14   22,219    21,840 
Boyd Gaming Corp.          
6.00% due 12/17/15   165,750    166,199 
HD Supply Inc.          
7.25% due 02/03/18  150,000   150,845 
Summit Entertainment, LLC          
6.75% due 08/21/16   149,580    148,458 
Caesars Entertainment Operating Company, Inc.          
5.49% due 02/03/18   150,000    133,359 
Total Consumer Discretionary        2,319,786 
Financials -  0.7%          
Nuveen Investments, Inc.          
5.96% due 05/13/17   250,000    245,750 
AmWINS Group, Inc.          
9.24% due 12/07/19   250,000    245,313 
Ocwen Financial          
6.99% due 09/01/16   223,029    223,586 
Helm Financial Corp.          
6.24% due 06/01/17   150,000    148,500 
Total Financials        863,149 
Health Care -  0.6%          
HCA, Inc.          
2.49% due 11/18/13   250,000    248,528 
VWR International LLC          
2.73% due 06/27/14   248,721    245,507 
Catalent Pharma Solutions          
4.24% due 04/10/14   248,042    245,408 
Total Health Care        739,443 
Bank Loans -  0.5%          
Gogo, Inc.          
11.25% due 06/21/17   500,000    482,500 
Zayo Group LLC          
due 06/15/19   200,000    200,464 
Total Bank Loans        682,964 
Telecommunication Services -  0.4%          
Asurion Corp.          
11.00% due 02/03/18   250,000    258,750 
Mitel U.S. Holdings, Inc.          
3.71% due 10/16/14   249,993    246,451 
Total Telecommunication Services        505,201 
Consumer Staples -  0.4%          
U.S. Foodservice, Inc.          
5.74% due 03/31/17   249,370    238,694 

  

 
 

 

Macro Opportunities Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Face
Amount		   Value 
FLOATING RATE INTERESTS†† - 8.0% (continued)          
Consumer Staples -  0.4% (continued)          
Prestige Brands          
5.24% due 01/27/19  $220,833   $221,593 
6.24% due 01/27/19   2,652    2,661 
Total Consumer Staples        462,948 
Energy -  0.1%          
El Paso (EP Energy)          
6.50% due 02/03/18   100,000    100,844 
Total Energy        100,844 
Total Floating Rate Interests          
(Cost $9,820,470)        9,936,208 
MORTGAGE BACKED SECURITIES†† - 1.7%          
Nomura Resecuritization Trust          
2012-1R,0.69% due 04/27/181,2,3   2,367,674    1,965,169 
BAMLL-DB Trust          
2012-OSI,6.79% due 04/13/292,3   150,000    151,121 
Total Mortgage Backed Securities          
(Cost $2,118,303)        2,116,290 
REPURCHASE AGREEMENT†† - 1.6%          
Jefferies & Co.
issued 06/14/12 at 2.74%
due 07/02/12 (secured by Master Reperforming Loan Trust, at a rate of 2.74% and maturing
07/03/12 as collateral, with a value of $1,995,000) to be repurchased at $1,997,885		  1,995,000    1,995,000 
Total Repurchase Agreement          
(Cost $1,995,000)        1,995,000 

      

   Contracts    
         
OPTIONS PURCHASED† - 0.2%          
Call Options Purchased on:          
September 2012 SPDR Gold Shares Expiring with strike price of $152.00   199   148,255 
January 2013 ProShares UltraShort 20+ Year Treasury Expiring with strike price of $18.00   1,807    140,946 
September 2012 SPDR Gold Shares Expiring with strike price of $157.00   110    57,200 
January 2013 ProShares UltraShort 20+ Year Treasury Expiring with strike price of $21.00   513    14,877 
Total Call Options Purchased        361,278 
Total Options Purchased     
(Cost $401,142)        361,278 
Total Long Investments - 65.3%          
(Cost $81,315,849)       $81,627,852 
         
OPTIONS WRITTEN† - (0.3)%          
Call Options Written on:          
SPDR Gold Shares Expiring September 2012 with strike price of $170.00   165    (26,400)
SPDR Gold Shares Expiring September 2012 with strike price of $165.00   298    (70,030)
Total Call Options Written        (96,430)
Put Options Written on:          
ProShares UltraShort 20+ Year Treasury Expiring January 2013 with strike price of $19.00   513    (194,940)
ProShares UltraShort 20+ Year Treasury Expiring January 2013 with strike price of $15.00   1,807    (200,577)
Total Put Options Written        (395,517)
Total Options Written          
(Premiums received $376,063)        (491,947)
Other Assets & Liabilities, net - 35.0%        43,632,392 
Total Net Assets - 100.0%       $124,768,297 

 

   

† Value determined based on Level 1 inputs — See Note 2.
†† Value determined based on Level 2 inputs — See Note 2.
1 Variable rate security.  Rate indicated is rate effective at June 30, 2012.
2 Security was acquired through a private placement.
3 Security is a 144A or Section 4(2) security.  The total market value of 144A or Section 4(2) securities is $50,687,601 (cost $50,245,308), or 40.6% of total net assets.
4 Perpetual maturity.
5 All or portion of this security is pledged or collateral for open written option contracts at June 30, 2012.

 

plc Public Limited Company
REIT Real Estate Investment Trust

 

 
 

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Face
Amount		   Value 
CORPORATE BONDS†† - 38.7%          
Financials -  18.1%          
Schahin II Finance Company SPV Ltd.          
5.88% due 09/25/221,2  $900,000   $902,250 
Symetra Financial Corp.          
6.13% due 04/01/161,2   515,000    526,545 
Bank of America North America          
6.10% due 06/15/17   300,000    320,770 
5.30% due 03/15/17   140,000    145,758 
General Electric Capital Corp.          
7.13% due 12/15/493,4   400,000    422,584 
City National Bank          
5.38% due 07/15/22   350,000    359,392 
CubeSmart Limited Partnership          
4.80% due 07/15/22   350,000    353,813 
Blackstone Holdings Finance Company LLC          
5.88% due 03/15/211,2   150,000    156,570 
6.63% due 08/15/191,2   125,000    136,944 
Nationwide Mutual Insurance Co.          
9.38% due 08/15/391,2   210,000    276,291 
Western Group Housing Limited Partnership          
6.75% due 03/15/571,2   250,000    257,480 
Alleghany Corp.          
4.95% due 06/27/22   250,000    254,729 
Jefferies Group, Inc.          
6.88% due 04/15/21   250,000    251,402 
IPIC GMTN Ltd.          
5.50% due 03/01/221,2   225,000    245,250 
Endurance Specialty Holdings Ltd.          
6.15% due 10/15/15   200,000    214,126 
Nationstar Mortgage LLC / Nationstar Capital Corp.          
9.63% due 05/01/191,2   200,000    211,500 
WEA Finance LLC          
4.63% due 05/10/211,2   130,000    137,388 
First Niagara Financial Group, Inc.          
6.75% due 03/19/20   120,000    136,070 
WR Berkley Corp.          
5.38% due 09/15/20   125,000    134,637 
Ohana Military Communities LLC          
5.88% due 10/01/511,2   149,549    133,209 
National Life Insurance Co.          
10.50% due 09/15/391,2   100,000    133,159 
Digital Realty Trust, LP          
5.25% due 03/15/21   125,000    133,064 
Korea Development Bank          
3.88% due 05/04/17   125,000    132,895 
Allied World Assurance Company Ltd.          
7.50% due 08/01/16   115,000    132,592 
Ironshore Holdings US, Inc.          
8.50% due 05/15/201,2   120,000    131,044 
Aflac, Inc.          
8.50% due 05/15/19   100,000    130,541 
Macquarie Group Ltd.          
6.25% due 01/14/211,2   130,000    129,351 
Metlife Capital Trust IV          
7.88% due 12/15/371,2  115,000   127,650 
Aspen Insurance Holdings Ltd.          
6.00% due 08/15/14   120,000    127,596 
Scottrade Financial Services, Inc.          
6.13% due 07/11/211,2   125,000    126,943 
QBE Capital Funding III Ltd.          
7.25% due 05/24/411,2,3   140,000    126,339 
Morgan Stanley          
3.80% due 04/29/16   130,000    125,944 
Nationwide Health Properties, Inc.          
6.00% due 05/20/15   115,000    124,715 
Total Financials        7,258,541 
Energy -  6.6%          
Murphy Oil Corp.          
4.00% due 06/01/22   350,000    356,458 
Reliance Holdings USA, Inc.          
5.40% due 02/14/221,2   350,000    349,979 
Dolphin Energy Ltd.          
5.50% due 12/15/211,2   250,000    278,450 
Phillips 66          
4.30% due 04/01/221,2   250,000    262,992 
Odebrecht Drilling Norbe VIII/IX Ltd.          
6.35% due 06/30/211,2   220,500    230,974 
Korea National Oil Corp.          
4.00% due 10/27/161,2   125,000    132,462 
DCP Midstream LLC          
4.75% due 09/30/211,2   125,000    132,073 
Valero Energy Corp.          
9.38% due 03/15/19   100,000    131,422 
Equities Corp.          
4.88% due 11/15/21   125,000    127,679 
Bill Barrett Corp.          
7.63% due 10/01/19   125,000    125,000 
Eagle Rock Energy Partners Limited Partnership / Eagle Rock Energy Finance Corp.          
8.38% due 06/01/19   125,000    124,688 
Crestwood Midstream Partners Limited Partnership / Crestwood Midstream Finance Corp.          
7.75% due 04/01/19   125,000    124,063 
SandRidge Energy, Inc.          
7.50% due 03/15/21   125,000    123,438 
DCP Midstream Operating, LP          
4.95% due 04/01/22   100,000    102,634 
Total Energy        2,602,312 
Consumer Discretionary -  5.3%          
Expedia, Inc.          
5.95% due 08/15/20   490,000    513,377 
Wyndham Worldwide Corp.          
4.25% due 03/01/22   500,000    503,471 
QVC, Inc.          
5.13% due 07/02/221,2   150,000    153,116 

   

 
 

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

 

   Face
Amount		   Value 
CORPORATE BONDS†† - 38.7% (continued)          
Consumer Discretionary -  5.3% (continued)          
Continental Airlines 2012-1 Class A Pass Thru Trusts          
4.15% due 04/11/24  $150,000   $147,375 
International Game Technology          
5.50% due 06/15/20   125,000    134,914 
Grupo Televisa SAB          
6.63% due 03/18/25   110,000    134,701 
Delta Air Lines 2011-1 Class B Pass Through Trust          
7.13% due 10/15/141   130,000    132,925 
Atlas Air 1999-1 Class A-1 Pass Through Trust          
7.20% due 01/02/19   131,321    131,321 
Hyatt Hotels Corp.          
6.88% due 08/15/191,2   110,000    129,847 
Newcrest Finance Pty Ltd.          
4.45% due 11/15/211,2   125,000    128,269 
Atlas Air 1999-1 Class A-2 Pass Through Trust          
6.88% due 04/02/14   33,527    33,527 
Total Consumer Discretionary        2,142,843 
Industrials -  3.0%          
International Lease Finance Corp.          
7.13% due 09/01/181,2   250,000    275,625 
Asciano Finance Ltd.          
4.63% due 09/23/201,2   230,000    228,819 
Embraer S.A.          
5.15% due 06/15/22   200,000    205,300 
Sequa Corp.          
11.75% due 12/01/151,2   125,000    131,875 
Marquette Transportation Company / Marquette Transportation Finance Corp.          
10.88% due 01/15/17   125,000    131,563 
Coleman Cable, Inc.          
9.00% due 02/15/18   125,000    128,750 
AWAS Aviation Capital Ltd.          
7.00% due 10/17/161,2   115,560    119,605 
Total Industrials        1,221,537 
Materials -  1.3%          
POSCO          
5.25% due 04/14/211,2   120,000    131,438 
Alcoa, Inc.          
5.40% due 04/15/21   130,000    129,450 
Xstrata Finance Canada Ltd.          
4.95% due 11/15/211,2   125,000    129,155 
Sonoco Products Co.          
4.38% due 11/01/21   120,000    126,572 
Total Materials        516,615 
Telecommunication Services -  1.2%          
Oi S.A.          
5.75% due 02/10/221,2   200,000    203,800 
Qtel International Finance Ltd.          
4.75% due 02/16/211,2   125,000    133,125 
WPP Finance 2010          
4.75% due 11/21/21  125,000   131,168 
Total Telecommunication Services        468,093 
Bermuda -  0.9%          
Bermuda Government International Bond          
4.14% due 01/03/231,2   350,000    352,194 
Information Technology -  0.8%          
Freescale Semiconductor, Inc.          
9.25% due 04/15/181,2   125,000    133,750 
Stream Global Services, Inc.          
11.25% due 10/01/14   125,000    127,500 
iGATE Corp.          
9.00% due 05/01/16   75,000    80,250 
Total Information Technology        341,500 
Utilities -  0.6%          
Abu Dhabi National Energy Co.          
5.88% due 12/13/211,2   125,000    138,281 
ONEOK, Inc.          
4.25% due 02/01/22   100,000    104,726 
Total Utilities        243,007 
Consumer Staples -  0.3%          
Grupo Bimbo SAB de CV          
4.88% due 06/30/201,2   120,000    132,288 
Yankee Candle Company, Inc.          
8.50% due 02/15/15   5,000    5,100 
Total Consumer Staples        137,388 
Cayman Islands -  0.3%          
Government of the Cayman Islands          
5.95% due 11/24/191,2   125,000    136,875 
Bahamas -  0.3%          
Commonwealth of the Bahamas          
6.95% due 11/20/291,2   110,000    127,600 
Total Corporate Bonds          
(Cost $15,059,303)        15,548,505 
ASSET BACKED SECURITIES†† - 37.9%          
GSC Partners CDO Fund Ltd.          
1.32% due 10/23/171,2,3   500,000    453,500 
1.72% due 11/20/163   500,000    438,200 
1.47% due 05/25/201,2,3   250,000    201,050 
Total GSC Partners CDO Fund Ltd.        1,092,750 
Dominos Pizza Master Issuer LLC          
5.22% due 01/25/421,2   996,250    1,038,852 
Rockwall CDO Ltd.          
0.72% due 08/01/241,2,3   1,157,170    966,237 
Aircastle Aircraft Lease Backed Trust          
0.50% due 06/14/371,2,3   763,298    671,702 
0.51% due 06/20/311,2,3   322,570    277,945 
Total Aircastle Aircraft Lease Backed Trust        949,647 
Aerco Ltd.          
0.70% due 07/15/251,2,3   1,271,297    928,047 
Churchill Financial Cayman Ltd.          
3.07% due 07/10/191,2,3   1,000,000    762,770 

 

 
 

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

    

   Face
Amount		   Value 
ASSET BACKED SECURITIES†† - 37.9% (continued)
Global Leveraged Capital Credit Opportunity Fund          
1.47% due 12/20/181,2,3  $1,036,000   $759,844 
Babcock & Brown Air Funding I Ltd.          
0.54% due 11/14/331,2,3   876,232    718,510 
Genesis Funding Ltd.          
0.48% due 12/19/321,2,3   739,955    647,816 
Airplanes Pass Through Trust          
0.79% due 03/15/193   1,120,880    638,902 
Colts Trust          
1.32% due 12/20/181,2,3   368,410    358,920 
1.27% due 03/20/211,2,3   250,000    205,000 
Total Colts Trust        563,920 
Pacifica CDO Ltd.          
5.81% due 01/26/201,2   500,000    478,220 
DFR Middle Market CLO Ltd.          
2.77% due 07/20/191,2,3   500,000    471,010 
Northwind Holdings LLC          
1.25% due 12/01/371,2,3   570,571    456,457 
TCW Global Project Fund          
1.12% due 09/01/171,2,3   500,000    421,715 
Kennecott Funding Ltd.          
1.27% due 01/13/181,2,3   500,000    415,000 
MC Funding Limited / MC Funding 2006-1 LLC          
1.42% due 12/20/201,2,3   500,000    402,495 
Westchester CLO Ltd.          
0.81% due 08/01/221,2,3   500,000    389,440 
Black Diamond CLO Ltd.          
1.16% due 04/29/191,2,3   500,000    364,245 
Emporia Preferred Funding          
0.97% due 10/18/181,2,3   430,000    348,055 
Structured Asset Receivables Trust          
0.97% due 01/21/151,2,3   334,420    308,502 
OFSI Fund Ltd.          
1.32% due 09/20/191,2,3   370,000    269,264 
Textainer Marine Containers Ltd.          
4.21% due 04/15/271,2   245,833    247,619 
Drug Royalty Corporation, Inc.          
5.72% due 07/15/241,2,3   235,513    235,511 
Genesis CLO Ltd.          
4.47% due 01/10/161,2,3   250,000    235,000 
Hewett's Island CDO Ltd.          
0.87% due 12/05/181,2,3   250,000    205,000 
Newstar Trust          
0.74% due 03/30/221,2,3   204,153    192,925 
Whitney CLO Ltd.          
2.57% due 03/01/171,2,3   200,000    170,468 
Castle Trust          
0.99% due 05/15/271,2,3   175,465    163,183 
Raspro Trust          
0.87% due 03/23/241,2,3   192,631    161,810 
Vega Containervessel plc          
5.56% due 02/10/211,2   135,526    123,328 
LCP Dakota Fund          
10.75% due 01/16/141   125,000    122,813 
CapitalSource Commercial Loan Trust          
0.92% due 09/20/221,2,3  41,613   40,358 
Total Asset Backed Securities     
(Cost $15,095,235)        15,289,713 
MORTGAGE BACKED SECURITIES†† - 20.9%          
Freddie Mac5          
#G03400, 5.50% due 03/01/37   2,535,769    2,764,002 
#G03604, 5.50% due 01/01/38   1,764,732    1,923,568 
#A86522, 4.50% due 05/01/39   321,085    343,061 
#G05535, 4.50% due 07/01/39   257,293    274,903 
#A89870, 4.50% due 11/01/39   238,539    254,865 
Total Freddie Mac        5,560,399 
Ginnie Mae          
#782488, 5.50% due 11/15/38   1,077,304    1,196,139 
Wachovia Bank Commercial Mortgage Trust          
2006-C27,5.79% due 07/15/453   500,000    532,158 
Morgan Stanley Capital I, Inc.          
2006-IQ12,5.37% due 12/15/43   500,000    521,351 
GS Mortgage Securities Corporation II          
2006-GG8,5.59% due 11/10/39   400,000    415,358 
BAMLL-DB Trust          
2012-OSI,5.81% due 04/13/291,2   200,000    201,539 
Total Mortgage Backed Securities          
(Cost $8,398,824)        8,426,944 
MUNICIPAL BONDS†† - 1.6%          
California -  1.0%          
Glendale Unified School District General Obligation Unlimited          
0.00% due 09/01/27   300,000    142,239 
Cypress School District General Obligation Unlimited          
0.00% due 08/01/35   500,000    138,875 
California Health Facilities Financing Authority Revenue Bonds          
5.25% due 08/15/31   120,000    134,863 
Rowland Unified School District General Obligation Unlimited          
0.00% due 08/01/41   110,000    23,769 
Total California        439,746 
Illinois -  0.3%          
Chicago Transit Authority Revenue Bonds          
5.25% due 12/01/31   100,000    112,978 

  

 
 

 

Total Return Bond Fund  
SCHEDULE OF INVESTMENTS (Unaudited) June 30, 2012
   

 

  

   Face
Amount		   Value 
MUNICIPAL BONDS†† - 1.6% (continued)          
Pennsylvania -  0.3%          
Allegheny County Hospital Development Authority Revenue Bonds          
5.00% due 10/15/31  $100,000   $109,303 
Total Municipal Bonds          
(Cost $599,130)       662,027 
Total Investments - 99.1%          
(Cost $39,152,492)      $39,927,189 
Other Assets & Liabilities, net - 0.9%       370,268 
Total Net Assets - 100.0%      $40,297,457 

 

   

†† Value determined based on Level 2 inputs — See Note 2.
1 Security was acquired through a private placement.
2 Security is a 144A or Section 4(2) security.  The total market value of 144A or Section 4(2) securities is $22,221,842 (cost $21,721,132), or 55.1% of total net assets.
3 Variable rate security.  Rate indicated is rate effective at June 30, 2012.
4 Perpetual maturity.
5 On September 7, 2008, the issuer was placed in conservatorship by the Federal Housing Finance Agency (FHFA). As conservator, the FHFA has full powers to control the assets and operations of the firm.

 

plc Public Limited Company

 

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)  
   

 

  

For information on the Fund’s policy regarding valuation of investments and other significant accounting policies, please refer to the Fund’s most recent semiannual or annual shareholder report.

 

1. Significant Accounting Policies

 

The following significant accounting policies are in conformity with U.S. generally accepted accounting principles (“GAAP”) and are consistently followed by the Trust. All time references are based on Eastern Time.

 

A. Equity securities listed on an exchange (New York Stock Exchange (“NYSE”) or American Stock Exchange) are valued at the last quoted sales price as of the close of business on the NYSE, usually 4:00 p.m. on the valuation date. Equity securities listed on the NASDAQ market system are valued at the NASDAQ Official Closing Price on the valuation date.

 

Non-U.S. government securities are valued by either independent pricing services, the last traded fill price, or at the reported bid price at the close of business. Other debt securities with a maturity of greater than 60 days at acquisition are valued at prices that reflect broker/dealer-supplied valuations or are obtained from independent pricing services, which may consider the trade activity, treasury yields, yield or price of bonds of comparable quality, coupon, maturity, and type, as well as prices quoted by dealers who make markets in such securities. Short-term debt securities with a maturity of 60 days or less at acquisition and repurchase agreements are valued at amortized cost, which approximates market value.

 

Investments for which market quotations are not readily available are fair valued as determined in good faith by Guggenheim Investments, the Funds’ adviser, under the direction of the Board of Directors using methods established or ratified by the Board of Directors. These methods include, but are not limited to: (i) general information as to how these securities and assets trade; and (ii) other information and considerations, including current values in related markets.

 

Listed options held by the Trust are valued at the Official Settlement Price listed by the exchange, usually as of 4:00 p.m. Long options are valued using the bid price and short options are valued using the ask price. In the event that a settlement price is not available, fair valuation is enacted. Over-the-counter options held by the Trust are valued using the average bid price (for long options), or average ask price (for short options) obtained from one or more security dealers.

 

B. Certain U.S. Government and Agency Obligations are traded on a discount basis; the interest rates shown on the Schedules of

Investments reflect the effective rates paid at the time of purchase by the Funds. Other securities bear interest at the rates shown, payable at fixed dates through maturity.

 

2. Fair Value Measurement

 

In accordance with U.S. GAAP, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. A three-tier hierarchy is utilized to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Funds’ investments. The inputs are summarized in the three broad levels listed below:

 

Level 1 —quoted prices in active markets for identical securities.

 

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 the fund’s own assumptions used to determine the fair value of investments).

 

The inputs or methodologies used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

 

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)  
   

 

 

The following table summarizes the inputs used to value the Funds’ net assets at June 30, 2012:

 

   Level 1
Investments
In Securities		   Level 2
Investments
In Securities		   Level 3
Investments
In Securities		   Total 
Assets                    
Floating Rate Strategies Fund  $–   $96,288,970   $–   $96,288,970 
Macro Opportunities Fund   2,224,062    79,403,790    –    81,627,852 
Total Return Bond Fund   –    39,927,189    –    39,927,189 
Liabilities                    
Macro Opportunities Fund  $491,947   $–   $–   $491,947 

  

For the period ended June 30, 2012, there were no transfers between levels. 

 

3. Options Written

 

Transactions in options written during the period ended June 30, 2012 were as follows:

 

Written Call Options        
   Macro Opportunities Fund 
   Number of contracts   Premiun amount 
Balance at September 30, 2011   –   $– 
Options Written   463    83,477 
Options terminated in closing purchase transactions   –    – 
Options expired   –    – 
Options exercised   –    – 
Balance at June 30, 2012   463   $83,477 

 

 

Written Put Options        
   Macro Opportunities Fund 
   Number of contracts   Premium amount 
Balance at September 30, 2011   –   $– 
Options Written   4,186    495,959 
Options terminated in closing purchase transactions   (690)   (138,687)
Options expired   (1,176)   (64,686)
Options exercised   –    – 
Balance at June 30, 2012   2,320   $292,586 

   

 

 
 

 

NOTES TO SCHEDULE OF INVESTMENTS (Unaudited)  
   

 

 

Item 2. Controls and Procedures.

 

(a) The registrant’s President (principal executive officer) and Treasurer (principal financial officer) have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective as of that date in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized, and reported timely.

 

(b) The registrant’s principal executive officer and principal financial officer are aware of no change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Investment Company Act (17 CFR 270.30a-2(a)), exactly as set forth below: 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.

 

  SECURITY INCOME FUND
  By: /s/ Donald C. Cacciapaglia
    Donald C. Cacciapaglia, President
  Date: August 28, 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/ Donald C. Cacciapaglia
    Donald C. Cacciapaglia, President
  Date: August 28, 2012

 

 
  By: /s/ Nikolaos Bonos
    Nikolaos Bonos, Treasurer
  Date: August 28, 2012