522 Fifth Avenue, New York, New York | 10036 | |
(Address of principal executive offices) | (Zip code) |
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
Corporate Bonds (92.7%) |
||||||||||||||||
Basic Materials (7.5%) |
||||||||||||||||
$ | 1,085 | ArcelorMittal (Luxembourg) |
9.85 | % | 06/01/19 | $ | 1,377,479 | |||||||||
1,165 | CF Industries, Inc. |
6.875 | 05/01/18 | 1,323,731 | ||||||||||||
675 | Cliffs Natural Resources, Inc. |
4.875 | 04/01/21 | 678,166 | ||||||||||||
395 | FMG Resources August 2006 Pty Ltd. (Australia) (a) |
6.375 | 02/01/16 | 395,988 | ||||||||||||
155 | FMG Resources August 2006 Pty Ltd. (Australia) (a) |
6.875 | 02/01/18 | 158,100 | ||||||||||||
315 | Georgia-Pacific LLC |
7.75 | 11/15/29 | 363,521 | ||||||||||||
435 | Georgia-Pacific LLC |
8.875 | 05/15/31 | 551,012 | ||||||||||||
134 | Goldcorp, Inc. (Canada) |
2.00 | 08/01/14 | 168,505 | ||||||||||||
375 | Incitec Pivot Ltd. (Australia) (a) |
4.00 | 12/07/15 | 383,349 | ||||||||||||
870 | International Paper Co. |
7.50 | 08/15/21 | 1,018,754 | ||||||||||||
495 | Lubrizol Corp. |
8.875 | 02/01/19 | 644,714 | ||||||||||||
319 | Lyondell Chemical Co. (a) |
8.00 | 11/01/17 | 355,685 | ||||||||||||
775 | MeadWestvaco Corp. |
7.375 | 09/01/19 | 867,947 | ||||||||||||
315 | Nalco Co. (a) |
6.625 | 01/15/19 | 324,450 | ||||||||||||
785 | Reliance Steel & Aluminum Co. |
6.85 | 11/15/36 | 782,661 | ||||||||||||
500 | Rio Tinto Finance USA Ltd. (Australia) |
9.00 | 05/01/19 | 663,508 | ||||||||||||
400 | Southern Copper Corp. (Mexico) |
5.375 | 04/16/20 | 411,720 | ||||||||||||
630 | Teck Resources, Ltd. (Canada) |
4.75 | 01/15/22 | 632,942 | ||||||||||||
705 | Teck Resources, Ltd. (Canada) |
6.25 | 07/15/41 | 714,193 | ||||||||||||
490 | Vale Overseas Ltd. (Brazil) |
6.875 | 11/21/36 | 533,260 | ||||||||||||
12,349,685 | ||||||||||||||||
Communications (15.8%) |
||||||||||||||||
835 | American Tower Corp. |
4.50 | 01/15/18 | 835,781 | ||||||||||||
425 | AT&T, Inc. |
6.15 | 09/15/34 | 441,358 | ||||||||||||
245 | Cablevision Systems Corp. |
7.75 | 04/15/18 | 262,456 | ||||||||||||
565 | CBS Corp. |
8.875 | 05/15/19 | 721,311 | ||||||||||||
210 | CenturyLink, Inc., Series Q |
6.15 | 09/15/19 | 211,547 | ||||||||||||
1,080 | Comcast Corp. |
6.40 | 05/15/38 | 1,156,184 | ||||||||||||
1,485 | Comcast Corp. |
6.45 | 03/15/37 | 1,593,424 | ||||||||||||
265 | Corning, Inc. |
7.25 | 08/15/36 | 309,302 | ||||||||||||
180 | COX Communications, Inc. (a) |
8.375 | 03/01/39 | 236,108 | ||||||||||||
945 | Deutsche Telekom International Finance BV (Germany) |
8.75 | 06/15/30 | 1,250,468 | ||||||||||||
895 | DirecTV Holdings LLC/DirecTV Financing Co., Inc. |
4.60 | 02/15/21 | 900,978 | ||||||||||||
395 | DirecTV Holdings LLC/DirecTV Financing Co., Inc. |
5.875 | 10/01/19 | 438,806 | ||||||||||||
715 | DirecTV Holdings LLC/DirecTV Financing Co., Inc. |
7.625 | 05/15/16 | 780,144 | ||||||||||||
115 | Expedia, Inc. |
5.95 | 08/15/20 | 112,413 | ||||||||||||
495 | Frontier Communications Corp. |
8.50 | 04/15/20 | 542,025 | ||||||||||||
276 | Liberty Media LLC |
3.125 | 03/30/23 | 330,855 | ||||||||||||
590 | Liberty Media LLC |
3.50 | 01/15/31 | 321,550 | ||||||||||||
865 | NBC Universal Media LLC (a) |
4.375 | 04/01/21 | 857,642 | ||||||||||||
920 | News America, Inc. |
6.40 | 12/15/35 | 965,129 | ||||||||||||
610 | News America, Inc. |
6.65 | 11/15/37 | 655,837 | ||||||||||||
210 | News America, Inc. |
7.85 | 03/01/39 | 252,223 | ||||||||||||
248 | Omnicom Group, Inc. (b) |
0.00 | 07/01/38 | 274,350 | ||||||||||||
170 | Omnicom Group, Inc. |
4.45 | 08/15/20 | 168,949 | ||||||||||||
565 | Qwest Corp. |
6.50 | 06/01/17 | 615,850 | ||||||||||||
150 | Qwest Corp. |
6.875 | 09/15/33 | 145,313 | ||||||||||||
60 | Qwest Corp. |
8.375 | 05/01/16 | 71,100 | ||||||||||||
310 | Sable International Finance Ltd. (South Africa) (a) |
7.75 | 02/15/17 | 313,100 | ||||||||||||
232 | SBA Communications Corp. |
1.875 | 05/01/13 | 256,070 | ||||||||||||
180 | SBA Telecommunications, Inc. |
8.25 | 08/15/19 | 193,500 | ||||||||||||
250 | Symantec Corp., Series B |
1.00 | 06/15/13 | 305,000 | ||||||||||||
1,885 | Telecom Italia Capital SA (Italy) |
7.175 | 06/18/19 | 2,084,392 |
1
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
$ | 800 | Telefonica Europe BV (Spain) |
8.25 | % | 09/15/30 | $ | 957,706 | |||||||||
2,190 | Time Warner Cable, Inc. |
6.75 | 07/01/18 | 2,543,335 | ||||||||||||
390 | Time Warner Cable, Inc. |
6.75 | 06/15/39 | 428,030 | ||||||||||||
130 | Time Warner Cable, Inc. |
8.25 | 04/01/19 | 162,378 | ||||||||||||
520 | Time Warner Cable, Inc. |
8.75 | 02/14/19 | 663,555 | ||||||||||||
350 | Time Warner, Inc. |
4.875 | 03/15/20 | 363,083 | ||||||||||||
85 | Time Warner, Inc. |
6.50 | 11/15/36 | 90,910 | ||||||||||||
1,565 | Time Warner, Inc. |
7.70 | 05/01/32 | 1,894,828 | ||||||||||||
860 | Viacom, Inc. |
6.875 | 04/30/36 | 963,117 | ||||||||||||
195 | Vivendi SA (France) (a) |
6.625 | 04/04/18 | 220,897 | ||||||||||||
25,891,004 | ||||||||||||||||
Consumer, Cyclical (6.6%) |
||||||||||||||||
281 | America West
Airlines 2001-1 Pass-Through Trust, Series 011G (AMBAC Insd) |
7.10 | 04/02/21 | 278,657 | ||||||||||||
825 | Best Buy Co., Inc. |
3.75 | 03/15/16 | 829,838 | ||||||||||||
830 | Chrysler Group LLC/CG Co-Issuer, Inc. (a) |
8.00 | 06/15/19 | 819,625 | ||||||||||||
1,330 | CVS Pass-Through Trust |
6.036 | 12/10/28 | 1,415,335 | ||||||||||||
798 | CVS Pass-Through Trust (a) |
8.353 | 07/10/31 | 978,390 | ||||||||||||
540 | Daimler Finance North America LLC (Germany) |
8.50 | 01/18/31 | 732,142 | ||||||||||||
228 | DR Horton, Inc., Series DHI |
2.00 | 05/15/14 | 253,650 | ||||||||||||
985 | Gap, Inc. (The) |
5.95 | 04/12/21 | 948,018 | ||||||||||||
265 | Hyatt Hotels Corp. (a) |
6.875 | 08/15/19 | 296,198 | ||||||||||||
70 | Ingram Micro, Inc. |
5.25 | 09/01/17 | 73,473 | ||||||||||||
138 | International Game Technology |
3.25 | 05/01/14 | 165,255 | ||||||||||||
135 | JC Penney Co., Inc. |
5.65 | 06/01/20 | 134,325 | ||||||||||||
276 | JC Penney Corp., Inc. |
6.375 | 10/15/36 | 248,400 | ||||||||||||
185 | Levi Strauss & Co. |
7.625 | 05/15/20 | 185,925 | ||||||||||||
395 | QVC, Inc. (a) |
7.125 | 04/15/17 | 416,725 | ||||||||||||
282 | RadioShack Corp. (a) |
2.50 | 08/01/13 | 283,058 | ||||||||||||
200 | Tech Data Corp. |
2.75 | 12/15/26 | 209,000 | ||||||||||||
250 | Whirlpool Corp. |
8.60 | 05/01/14 | 291,512 | ||||||||||||
575 | Wyndham Worldwide Corp. |
5.625 | 03/01/21 | 574,614 | ||||||||||||
250 | Wyndham Worldwide Corp. |
5.75 | 02/01/18 | 258,499 | ||||||||||||
405 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. |
7.75 | 08/15/20 | 441,956 | ||||||||||||
825 | Yum! Brands, Inc. |
6.875 | 11/15/37 | 938,944 | ||||||||||||
10,773,539 | ||||||||||||||||
Consumer, Non-Cyclical (8.0%) |
||||||||||||||||
685 | Altria Group, Inc. |
10.20 | 02/06/39 | 985,339 | ||||||||||||
200 | Amgen, Inc., Series B |
0.375 | 02/01/13 | 201,750 | ||||||||||||
301 | Archer-Daniels-Midland Co. |
0.875 | 02/15/14 | 319,060 | ||||||||||||
760 | Boston Scientific Corp. |
6.00 | 01/15/20 | 824,121 | ||||||||||||
680 | Bunge Ltd. Finance Corp. |
8.50 | 06/15/19 | 830,247 | ||||||||||||
200 | Cephalon, Inc. |
2.50 | 05/01/14 | 246,000 | ||||||||||||
195 | ConAgra Foods, Inc. |
7.00 | 10/01/28 | 205,117 | ||||||||||||
585 | ConAgra Foods, Inc. |
8.25 | 09/15/30 | 696,911 | ||||||||||||
95 | Constellation Brands, Inc. |
7.25 | 09/01/16 | 104,263 | ||||||||||||
775 | Delhaize Group SA (Belgium) |
5.70 | 10/01/40 | 723,494 | ||||||||||||
500 | Fortune Brands, Inc. |
6.375 | 06/15/14 | 556,237 | ||||||||||||
304 | Gilead Sciences, Inc. (a) |
1.00 | 05/01/14 | 339,720 | ||||||||||||
325 | Grupo Bimbo SAB de CV (Mexico) (a) |
4.875 | 06/30/20 | 327,725 | ||||||||||||
1,585 | Kraft Foods, Inc. |
5.375 | 02/10/20 | 1,735,727 | ||||||||||||
80 | Kraft Foods, Inc. |
6.875 | 02/01/38 | 92,855 | ||||||||||||
505 | Kraft Foods, Inc. |
6.875 | 01/26/39 | 584,302 | ||||||||||||
235 | Kraft Foods, Inc. |
7.00 | 08/11/37 | 274,646 | ||||||||||||
200 | Life Technologies Corp. |
1.50 | 02/15/24 | 229,500 | ||||||||||||
565 | Lorillard Tobacco Co. |
8.125 | 06/23/19 | 659,075 | ||||||||||||
218 | Molson Coors Brewing Co. |
2.50 | 07/30/13 | 240,345 | ||||||||||||
200 | Mylan, Inc. |
1.25 | 03/15/12 | 223,500 | ||||||||||||
265 | Quest Diagnostics, Inc. |
6.95 | 07/01/37 | 295,143 | ||||||||||||
585 | Sigma Alimentos SA de CV (Mexico) (a) |
5.625 | 04/14/18 | 599,625 | ||||||||||||
360 | TreeHouse Foods, Inc. |
7.75 | 03/01/18 | 383,400 |
2
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
$ | 368 | UnitedHealth Group, Inc. |
5.80 | % | 03/15/36 | $ | 372,613 | |||||||||
1,020 | Verisk Analytics, Inc. |
5.80 | 05/01/21 | 1,083,947 | ||||||||||||
13,134,662 | ||||||||||||||||
Energy (8.8%) |
||||||||||||||||
258 | Alpha Natural Resources, Inc. |
2.375 | 04/15/15 | 303,150 | ||||||||||||
65 | Alpha Natural Resources, Inc. |
6.00 | 06/01/19 | 65,162 | ||||||||||||
280 | Alpha Natural Resources, Inc. |
6.25 | 06/01/21 | 282,800 | ||||||||||||
395 | Anadarko Petroleum Corp. |
6.95 | 06/15/19 | 462,086 | ||||||||||||
835 | Anadarko Petroleum Corp. |
8.70 | 03/15/19 | 1,065,615 | ||||||||||||
261 | Chesapeake Energy Corp. |
2.75 | 11/15/35 | 290,036 | ||||||||||||
385 | Chesapeake Energy Corp. |
7.625 | 07/15/13 | 421,575 | ||||||||||||
110 | Concho Resources, Inc. |
7.00 | 01/15/21 | 114,125 | ||||||||||||
550 | Continental Resources, Inc. |
7.125 | 04/01/21 | 583,000 | ||||||||||||
775 | Energy Transfer Partners LP |
9.00 | 04/15/19 | 965,042 | ||||||||||||
350 | Enterprise Products Operating LLC |
5.20 | 09/01/20 | 369,727 | ||||||||||||
1,400 | Enterprise Products Operating LLC |
5.95 | 02/01/41 | 1,395,272 | ||||||||||||
580 | EQT Corp. |
8.125 | 06/01/19 | 710,566 | ||||||||||||
190 | Gazprom OAO Via Gaz Capital SA (Russia) (a) |
6.51 | 03/07/22 | 201,875 | ||||||||||||
300 | Hess Corp. |
6.00 | 01/15/40 | 311,567 | ||||||||||||
490 | Hess Corp. |
7.125 | 03/15/33 | 583,735 | ||||||||||||
355 | Kinder Morgan Energy Partners LP |
6.85 | 02/15/20 | 411,147 | ||||||||||||
980 | Kinder Morgan Finance Co. ULC |
5.70 | 01/05/16 | 1,025,325 | ||||||||||||
225 | Marathon Petroleum Corp. (a) |
5.125 | 03/01/21 | 231,750 | ||||||||||||
575 | Marathon Petroleum Corp. (a) |
6.50 | 03/01/41 | 596,266 | ||||||||||||
1,030 | Petro-Canada (Canada) |
5.95 | 05/15/35 | 1,053,234 | ||||||||||||
200 | Petrobras International Finance Co. (Brazil) |
5.75 | 01/20/20 | 214,351 | ||||||||||||
1,090 | Plains All American Pipeline LP/PAA Finance Corp. |
6.70 | 05/15/36 | 1,164,151 | ||||||||||||
375 | QEP Resources, Inc. |
6.875 | 03/01/21 | 397,500 | ||||||||||||
1,100 | Valero Energy Corp. |
6.125 | 02/01/20 | 1,210,866 | ||||||||||||
14,429,923 | ||||||||||||||||
Finance (33.5%) |
||||||||||||||||
790 | Aegon N.V. (Netherlands) |
4.625 | 12/01/15 | 838,020 | ||||||||||||
375 | Aflac, Inc. |
8.50 | 05/15/19 | 459,310 | ||||||||||||
500 | Ally Financial, Inc. (a) |
6.25 | 12/01/17 | 498,541 | ||||||||||||
1,290 | American Financial Group, Inc. |
9.875 | 06/15/19 | 1,606,505 | ||||||||||||
2,315 | American International Group, Inc. |
6.40 | 12/15/20 | 2,496,281 | ||||||||||||
313 | Ares Capital Corp. (a) |
5.75 | 02/01/16 | 330,215 | ||||||||||||
845 | Banco Bradesco SA (Brazil) (a) |
4.125 | 05/16/16 | 854,549 | ||||||||||||
815 | Banco de Credito del Peru (Peru) (a) |
4.75 | 03/16/16 | 810,925 | ||||||||||||
700 | Banco Votorantim SA (Brazil) (a) |
5.25 | 02/11/16 | 713,160 | ||||||||||||
1,100 | Barclays Bank PLC (United Kingdom) (a) |
6.05 | 12/04/17 | 1,166,218 | ||||||||||||
810 | BBVA Bancomer SA (Mexico) (a) |
4.50 | 03/10/16 | 828,225 | ||||||||||||
700 | BBVA US Senior SAU (Spain) |
3.25 | 05/16/14 | 692,720 | ||||||||||||
1,220 | BNP Paribas (France) |
5.00 | 01/15/21 | 1,228,904 | ||||||||||||
1,125 | Brandywine Operating Partnership |
4.95 | 04/15/18 | 1,142,167 | ||||||||||||
360 | Brookfield Asset Management, Inc. (Canada) |
5.80 | 04/25/17 | 387,025 | ||||||||||||
1,000 | Capital One Bank, USA NA |
8.80 | 07/15/19 | 1,229,081 | ||||||||||||
600 | Capital One Capital VI |
8.875 | 05/15/40 | 621,845 | ||||||||||||
1,385 | CNA Financial Corp. |
7.35 | 11/15/19 | 1,581,329 | ||||||||||||
150 | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands) (a) |
11.00 | (c) | 06/30/19 | (d) | 191,956 | ||||||||||
600 | Countrywide Financial Corp. |
6.25 | 05/15/16 | 632,955 | ||||||||||||
855 | Credit Agricole SA (France) (a) |
8.375 | (c) | 10/13/19 | (d) | 897,750 | ||||||||||
440 | Credit Suisse AG (Switzerland) |
5.40 | 01/14/20 | 446,202 | ||||||||||||
575 | Dexus Diversfied Trust/Dexus Office Trust (Australia) (a) |
5.60 | 03/15/21 | 582,112 | ||||||||||||
800 | Digital Realty Trust LP |
5.25 | 03/15/21 | 797,345 | ||||||||||||
320 | Discover Bank/Greenwood |
7.00 | 04/15/20 | 356,012 | ||||||||||||
420 | Discover Bank/Greenwood |
8.70 | 11/18/19 | 507,454 | ||||||||||||
200 | ERP Operating LP |
3.85 | 08/15/26 | 204,740 | ||||||||||||
205 | Farmers Exchange Capital (a) |
7.05 | 07/15/28 | 211,680 |
3
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
$ | 830 | Farmers Insurance Exchange (a) |
8.625 | % | 05/01/24 | $ | 999,273 | |||||||||
455 | Ford Motor Credit Co. LLC |
5.75 | 02/01/21 | 455,577 | ||||||||||||
355 | General Electric Capital Corp. |
5.30 | 02/11/21 | 370,087 | ||||||||||||
1,335 | Genworth Financial, Inc. |
7.70 | 06/15/20 | 1,393,278 | ||||||||||||
590 | Goldman Sachs Group, Inc. (The) |
6.15 | 04/01/18 | 643,013 | ||||||||||||
180 | Goldman Sachs Group, Inc. (The) |
6.75 | 10/01/37 | 180,548 | ||||||||||||
1,100 | Goodman Funding Pty Ltd. (Australia) (a) |
6.375 | 04/15/21 | 1,131,396 | ||||||||||||
295 | Harley-Davidson Funding Corp. (a) |
6.80 | 06/15/18 | 333,875 | ||||||||||||
1,250 | Hartford Financial Services Group, Inc. |
5.50 | 03/30/20 | 1,290,739 | ||||||||||||
795 | HBOS PLC (United Kingdom) (a) |
6.75 | 05/21/18 | 766,087 | ||||||||||||
325 | HCP, Inc. |
5.375 | 02/01/21 | 335,839 | ||||||||||||
825 | HCP, Inc. |
5.625 | 05/01/17 | 897,103 | ||||||||||||
200 | Health Care REIT, Inc. |
4.75 | 07/15/27 | 226,250 | ||||||||||||
625 | Health Care REIT, Inc. |
6.125 | 04/15/20 | 670,586 | ||||||||||||
420 | Huntington Bancshares, Inc. |
7.00 | 12/15/20 | 474,386 | ||||||||||||
685 | International Lease Finance Corp. |
5.75 | 05/15/16 | 675,236 | ||||||||||||
710 | International Lease Finance Corp. |
6.25 | 05/15/19 | 694,777 | ||||||||||||
390 | Intesa Sanpaolo SpA (Italy) (a) |
6.50 | 02/24/21 | 407,469 | ||||||||||||
150 | Jefferies Group, Inc. |
3.875 | 11/09/15 | 152,587 | ||||||||||||
480 | Jefferies Group, Inc. |
6.875 | 04/15/21 | 516,807 | ||||||||||||
1,535 | JPMorgan Chase Capital XXVII, Series AA |
7.00 | 11/01/39 | 1,537,801 | ||||||||||||
430 | Lincoln National Corp. |
8.75 | 07/01/19 | 543,434 | ||||||||||||
470 | Lloyds TSB Bank PLC (United Kingdom) (a) |
5.80 | 01/13/20 | 471,464 | ||||||||||||
425 | Lloyds TSB Bank PLC (United Kingdom) |
6.375 | 01/21/21 | 443,239 | ||||||||||||
365 | Macquarie Bank Ltd. (Australia) (a) |
6.625 | 04/07/21 | 367,869 | ||||||||||||
380 | Macquarie Group Ltd. (Australia) (a) |
6.00 | 01/14/20 | 381,677 | ||||||||||||
305 | Merrill Lynch & Co., Inc., MTN |
6.875 | 04/25/18 | 337,920 | ||||||||||||
560 | MetLife, Inc. |
10.75 | 08/01/39 | 790,264 | ||||||||||||
175 | NASDAQ OMX Group, Inc. (The) |
5.25 | 01/16/18 | 179,387 | ||||||||||||
185 | NASDAQ OMX Group, Inc. (The) |
5.55 | 01/15/20 | 184,711 | ||||||||||||
750 | Nationwide Building Society (United Kingdom) (a) |
6.25 | 02/25/20 | 781,240 | ||||||||||||
575 | Nationwide Financial Services (a) |
5.375 | 03/25/21 | 578,637 | ||||||||||||
225 | Platinum Underwriters Finance, Inc., Series B |
7.50 | 06/01/17 | 242,453 | ||||||||||||
410 | Principal Financial Group, Inc. |
8.875 | 05/15/19 | 522,304 | ||||||||||||
850 | Protective Life Corp. |
7.375 | 10/15/19 | 967,921 | ||||||||||||
285 | Prudential Financial, Inc., MTN |
6.625 | 12/01/37 | 303,551 | ||||||||||||
575 | QBE Capital Funding III Ltd. (Australia) (a) |
7.25 | (c) | 05/24/41 | 577,947 | |||||||||||
810 | Regions Financial Corp. |
5.75 | 06/15/15 | 798,543 | ||||||||||||
450 | Reinsurance Group of America, Inc. |
6.45 | 11/15/19 | 489,515 | ||||||||||||
545 | Royal Bank of Scotland Group PLC (United Kingdom) |
6.40 | 10/21/19 | 560,700 | ||||||||||||
830 | Royal Bank of Scotland PLC (The) (United Kingdom) |
4.875 | 03/16/15 | 862,123 | ||||||||||||
375 | Santander Holdings USA, Inc. |
4.625 | 04/19/16 | 377,264 | ||||||||||||
800 | Santander US Debt SA Unipersonal (Spain) (a) |
3.724 | 01/20/15 | 775,005 | ||||||||||||
1,589 | SLM Corp., MTN |
6.25 | 01/25/16 | 1,650,211 | ||||||||||||
320 | SLM Corp., MTN |
8.00 | 03/25/20 | 344,161 | ||||||||||||
570 | Standard Chartered Bank (United Kingdom) (a) |
6.40 | 09/26/17 | 635,582 | ||||||||||||
825 | Ventas Realty LP/Ventas Capital Corp. |
4.75 | 06/01/21 | 806,899 | ||||||||||||
200 | Vornado Realty LP |
3.875 | 04/15/25 | 226,750 | ||||||||||||
700 | WEA Finance LLC (Australia) (a) |
4.625 | 05/10/21 | 680,645 | ||||||||||||
1,000 | Wells Operating Partnership II LP (a) |
5.875 | 04/01/18 | 1,033,036 | ||||||||||||
825 | Willis Group Holdings PLC |
4.125 | 03/15/16 | 842,008 | ||||||||||||
500 | XL Group PLC (Cayman Islands) |
5.25 | 09/15/14 | 536,104 | ||||||||||||
54,758,504 | ||||||||||||||||
Industrials (5.2%) |
||||||||||||||||
810 | BAA Funding Ltd. (United Kingdom) (a) |
4.875 | 07/15/21 | 792,195 | ||||||||||||
370 | Ball Corp. |
7.375 | 09/01/19 | 406,075 | ||||||||||||
160 | Bombardier, Inc. (Canada) (a) |
7.50 | 03/15/18 | 180,000 | ||||||||||||
325 | Bombardier, Inc. (Canada) (a) |
7.75 | 03/15/20 | 367,250 | ||||||||||||
895 | CRH America, Inc. |
6.00 | 09/30/16 | 983,524 | ||||||||||||
460 | CRH America, Inc. |
8.125 | 07/15/18 | 546,276 |
4
PRINCIPAL | ||||||||||||||||
AMOUNT IN | COUPON | MATURITY | ||||||||||||||
THOUSANDS | RATE | DATE | VALUE | |||||||||||||
$ | 415 | Crown Americas LLC / Crown Americas Capital Corp. III (a) |
6.25 | % | 02/01/21 | $ | 421,225 | |||||||||
335 | DISH DBS Corp. |
7.125 | 02/01/16 | 355,100 | ||||||||||||
430 | Holcim US Finance Sarl & Cie SCS (Switzerland) (a) |
6.00 | 12/30/19 | 460,258 | ||||||||||||
650 | L-3 Communications Corp. |
4.95 | 02/15/21 | 649,815 | ||||||||||||
775 | Lafarge SA (France) (a) |
5.85 | 07/09/15 | 829,331 | ||||||||||||
485 | Masco Corp. |
6.125 | 10/03/16 | 498,770 | ||||||||||||
425 | Meccanica Holdings USA (Italy) (a) |
7.375 | 07/15/39 | 450,203 | ||||||||||||
550 | Odebrecht Finance Ltd. (Brazil) (a) |
6.00 | 04/05/23 | 549,313 | ||||||||||||
232 | Orbital Sciences Corp. |
2.438 | 01/15/27 | 240,120 | ||||||||||||
247 | Owens-Brockway Glass Container, Inc. (a) |
3.00 | 06/01/15 | 244,530 | ||||||||||||
500 | Roper Industries, Inc. |
6.25 | 09/01/19 | 567,046 | ||||||||||||
8,541,031 | ||||||||||||||||
Technology (0.9%) |
||||||||||||||||
550 | KLA-Tencor Corp. |
6.90 | 05/01/18 | 622,147 | ||||||||||||
200 | Linear Technology Corp., Series A |
3.00 | 05/01/27 | 212,750 | ||||||||||||
314 | Microsoft Corp. (a)(b) |
0.00 | 06/15/13 | 322,635 | ||||||||||||
250 | SanDisk Corp. |
1.00 | 05/15/13 | 242,813 | ||||||||||||
1,400,345 | ||||||||||||||||
Utilities (6.4%) |
||||||||||||||||
760 | AES Corp. (The) |
8.00 | 06/01/20 | 813,200 | ||||||||||||
465 | CMS Energy Corp. |
6.25 | 02/01/20 | 497,150 | ||||||||||||
525 | EDP Finance BV (Portugal) (a) |
4.90 | 10/01/19 | 450,511 | ||||||||||||
750 | Enel Finance International N.V. (Italy) (a) |
5.125 | 10/07/19 | 759,608 | ||||||||||||
300 | Entergy Gulf States Louisiana LLC |
6.00 | 05/01/18 | 335,805 | ||||||||||||
2,400 | Exelon Generation Co. LLC |
4.00 | 10/01/20 | 2,269,462 | ||||||||||||
405 | FirstEnergy Solutions Corp. |
6.05 | 08/15/21 | 436,630 | ||||||||||||
1,060 | FirstEnergy Solutions Corp. |
6.80 | 08/15/39 | 1,105,786 | ||||||||||||
500 | Iberdrola Finance Ireland Ltd. (Ireland) (a) |
5.00 | 09/11/19 | 493,925 | ||||||||||||
215 | Indianapolis Power & Light Co. (a) |
6.30 | 07/01/13 | 235,475 | ||||||||||||
170 | NRG Energy, Inc. |
8.50 | 06/15/19 | 176,800 | ||||||||||||
1,000 | PPL WEM Holdings PLC (United Kingdom) (a) |
3.90 | 05/01/16 | 1,027,306 | ||||||||||||
825 | Puget Energy, Inc. |
6.50 | 12/15/20 | 853,476 | ||||||||||||
140 | Toledo Edison Co. (The) |
7.25 | 05/01/20 | 168,973 | ||||||||||||
825 | UIL Holdings Corp. |
4.625 | 10/01/20 | 806,214 | ||||||||||||
10,430,321 | ||||||||||||||||
Total Corporate Bonds (Cost $143,647,910) |
151,709,014 | |||||||||||||||
Municipal Bond (0.1%) |
||||||||||||||||
190 | Illinois State Toll Highway Authority,
Highway Revenue, Build America Bonds (Cost $190,000) |
6.184 | 01/01/34 | 197,642 | ||||||||||||
NUMBER OF | ||||||||||||
SHARES | ||||||||||||
Preferred Stock (0.3%) |
||||||||||||
Consumer Finance |
||||||||||||
16,250 | GMAC Capital Trust I (Cost $410,490) (e) |
416,000 | ||||||||||
Convertible Preferred Stock (0.2%) |
||||||||||||
Diversified Financial Services |
||||||||||||
250 | Bank of America Corp., Series L $72.50 (Cost $241,264) |
250,300 | ||||||||||
5
PRINCIPAL | ||||||||||||||||
AMOUNT IN | ||||||||||||||||
THOUSANDS | VALUE | |||||||||||||||
Short-Term Investments (4.7%) |
||||||||||||||||
U.S. Treasury Securities (f)(g) |
||||||||||||||||
$ | 7,722 | U.S. Treasury Bills (Cost $7,721,856) |
0.046-0.091 | % | 07/07/11- 09/22/11 | $ | 7,721,856 | |||||||||
Total Investments (Cost $152,211,520) (h)(i) |
98.0 | % | 160,294,812 | |||||||||||||
Other Assets in Excess of Liabilities |
2.0 | 3,300,631 | ||||||||||||||
Net Assets |
100.0 | % | $ | 163,595,443 | ||||||||||||
MTN | Medium Term Note. | |
REIT | Real Estate Investment Trust. | |
(a) | 144A security Certain conditions for public sale may exist. Unless otherwise noted, these securities are deemed to be liquid. | |
(b) | Capital appreciation bond. | |
(c) | Variable/Floating Rate Security Interest rate changes on these instruments are based on changes in a designated base rate. The rates shown are those in effect on June 30, 2011. | |
(d) | Perpetual Security does not have a predetermined maturity date. Rate for this security is fixed for a period of time then reverts to a floating rate. The interest shown is the rate in effect at June 30, 2011. | |
(e) | Non-income producing security. | |
(f) | Purchased on a discount basis. The interest rates shown have been adjusted to reflect a money market equivalent yield. | |
(g) | A portion of this security has been physically segregated in connection with open futures and swap contracts. | |
(h) | Securities have been designated as collateral in connection with open futures and swap contracts. | |
(i) | The aggregate cost for federal income tax purposes approximates the aggregate cost for book purposes. |
AMBAC | AMBAC Assurance Corporation. |
6
DESCRIPTION, | UNDERLYING | UNREALIZED | ||||||||||||||
NUMBER OF | LONG/ | DELIVERY MONTH | FACE AMOUNT | APPRECIATION | ||||||||||||
CONTRACTS | SHORT | AND YEAR | AT VALUE | (DEPRECIATION) | ||||||||||||
188 |
Long | U.S. Treasury 5 yr. Note, Sep-11 | $ | 22,408,719 | $ | 40,398 | ||||||||||
43 |
Long | U.S. Treasury Ultra Long Bond, Sep-11 | 5,428,750 | (111,526 | ) | |||||||||||
4 |
Short | U.S. Treasury 2 yr. Note, Sep-11 | (877,375 | ) | (1,712 | ) | ||||||||||
13 |
Short | U.S. Treasury 30 yr. Bond, Sep-11 | (1,599,406 | ) | 9,445 | |||||||||||
195 |
Short | U.S. Treasury 10 yr. Note, Sep-11 | (23,853,984 | ) | (78,924 | ) | ||||||||||
Net Unrealized Depreciation | $ | (142,319 | ) | |||||||||||||
7
CREDIT | ||||||||||||||||||||||||||||||||
SWAP COUNTERPARTY | RATING OF | |||||||||||||||||||||||||||||||
& | NOTIONAL | REFERENCE | ||||||||||||||||||||||||||||||
REFERENCE | BUY/SELL | AMOUNT | INTEREST | TERMINATION | UNREALIZED | UPFRONT | OBLIGATION+ | |||||||||||||||||||||||||
OBLIGATION | PROTECTION | (000s) | RATE | DATE | DEPRECIATION | PAYMENTS | VALUE | (unaudited) | ||||||||||||||||||||||||
Barclays Capital Whirlpoor Corp. |
Buy | $ | 250 | 1.00 | % | 06/20/14 | $ | (14,631 | ) | $ | 13,480 | $ | (1,151 | ) | BBB- | |||||||||||||||||
+ | Credit rating as issued by Standard & Poors. |
8
NOTIONAL | ||||||||||||||||||||||||
AMOUNT | FLOATING RATE | PAY/RECEIVE | TERMINATION | UNREALIZED | ||||||||||||||||||||
SWAP COUNTERPARTY | (000) | INDEX | FLOATING RATE | FIXED RATE | DATE | DEPRECIATION | ||||||||||||||||||
Credit Suisse |
$ | 15,210 | 3 Month LIBOR | Receive | 0.80 | % | 10/28/13 | $ | (5,097 | ) | ||||||||||||||
Credit Suisse |
6,370 | 3 Month LIBOR | Pay | 2.098 | 10/28/17 | (122,841 | ) | |||||||||||||||||
Total Unrealized Depreciation | $ | (127,938 | ) | |||||||||||||||||||||
LIBOR | London Interbank Offered Rate. |
9
FAIR VALUE MEASUREMENTS AT JUNE 30, 2011 USING | ||||||||||||||||
UNADJUSTED | ||||||||||||||||
QUOTED PRICES IN | ||||||||||||||||
ACTIVE MARKETS | OTHER | |||||||||||||||
FOR | SIGNIFICANT | SIGNIFICANT | ||||||||||||||
IDENTICAL | OBSERVABLE | UNOBSERVABLE | ||||||||||||||
INVESTMENTS | INPUTS | INPUTS | ||||||||||||||
INVESTMENT TYPE | TOTAL | (LEVEL 1) | (LEVEL 2) | (LEVEL 3) | ||||||||||||
Assets: |
||||||||||||||||
Corporate Bonds |
$ | 151,709,014 | | $ | 151,709,014 | | ||||||||||
Municipal Bond |
197,642 | | 197,642 | | ||||||||||||
Preferred Stock |
416,000 | $ | 416,000 | | | |||||||||||
Convertible Preferred Stock |
250,300 | 250,300 | | | ||||||||||||
Short-Term Investments U.S. Treasury Securities |
7,721,856 | | 7,721,856 | | ||||||||||||
Futures |
49,843 | 49,843 | | | ||||||||||||
Total Assets |
$ | 160,344,655 | $ | 716,143 | $ | 159,628,512 | | |||||||||
Liabilities: |
||||||||||||||||
Futures |
$ | (192,162 | ) | $ | (192,162 | ) | | | ||||||||
Credit Default Swaps |
(14,631 | ) | | $ | (14,631 | ) | | |||||||||
Interest Rate Swaps |
(127,938 | ) | | (127,938 | ) | | ||||||||||
Total Liabilities |
$ | (334,731 | ) | $ | (192,162 | ) | $ | (142,569 | ) | |||||||
Total |
$ | 160,009,924 | $ | 523,981 | $ | 159,485,943 | | |||||||||
/s/ Arthur Lev
|
||
Principal Executive Officer |
||
August 25, 2011 |
/s/ Arthur Lev
|
||
Principal Executive Officer |
||
August 25, 2011 |
||
/s/ Francis Smith
|
||
Principal Financial Officer |
||
August 25, 2011 |
1. | I have reviewed this report on Form N-Q of Morgan Stanley Income Securities Inc.; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. | The registrants other certifying officer(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) 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) | Omitted; | ||
(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 second fiscal quarter of the period covered by this report 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. |
/s/ Arthur Lev | ||||
Arthur Lev | ||||
Principal Executive Officer |
1. | I have reviewed this report on Form N-Q of Morgan Stanley Income Securities Inc.; | |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; | |
3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; | |
4. | The registrants other certifying officer(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) 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) | Omitted; | ||
(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. |
/s/ Francis Smith | ||||
Francis Smith | ||||
Principal Financial Officer | ||||