Top Ten Geographical Holdings | ||||
Japan |
14.5 | % | ||
United States |
8.5 | |||
Brazil |
7.8 | |||
Mexico |
7.5 | |||
Russia |
7.1 | |||
Australia |
5.3 | |||
United Kingdom |
5.2 | |||
South Africa |
4.9 | |||
Turkey |
3.8 | |||
Italy |
3.2 |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
October 1, 2011 | March 30, 2012 | March 30, 20121,2 | ||||||||||
Actual |
||||||||||||
Class A |
$ | 1,000.00 | $ | 1,041.00 | $ | 5.09 | ||||||
Class B |
1,000.00 | 1,035.00 | 9.45 | |||||||||
Class C |
1,000.00 | 1,035.80 | 8.59 | |||||||||
Class I |
1,000.00 | 1,001.40 | 0.98 | |||||||||
Class N |
1,000.00 | 1,037.00 | 7.47 | |||||||||
Class Y |
1,000.00 | 1,042.30 | 3.71 | |||||||||
Hypothetical (5% return before expenses) |
||||||||||||
Class A |
1,000.00 | 1,019.89 | 5.03 | |||||||||
Class B |
1,000.00 | 1,015.61 | 9.36 | |||||||||
Class C |
1,000.00 | 1,016.46 | 8.51 | |||||||||
Class I |
1,000.00 | 1,022.08 | 2.82 | |||||||||
Class N |
1,000.00 | 1,017.55 | 7.40 | |||||||||
Class Y |
1,000.00 | 1,021.23 | 3.68 |
1. | Actual expenses paid for Classes A, B, C, N and Y are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). Actual expenses paid for Class I are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 64/366 to reflect the period from January 27, 2012 (inception of offering) to March 30, 2012. | |
2. | Hypothetical expenses paid for all classes are equal to the Funds annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
Class | Expense Ratios | |||
Class A |
1.00 | % | ||
Class B |
1.86 | |||
Class C |
1.69 | |||
Class I |
0.56 | |||
Class N |
1.47 | |||
Class Y |
0.73 |
Principal | ||||||||
Amount | Value | |||||||
U.S. Government Obligations2.0% |
||||||||
U.S. Treasury Nts.: |
||||||||
2%, 11/15/21 |
$ | 90,000,000 | $ | 88,572,690 | ||||
2%, 2/15/221,2 |
170,000,000 | 166,679,730 | ||||||
Total U.S. Government Obligations (Cost $260,391,057) |
255,252,420 | |||||||
Foreign Government Obligations67.1% |
||||||||
Argentina0.4% |
||||||||
Argentina (Republic of) Bonds: |
||||||||
2.50%, 12/31/383 |
28,590,000 | 10,292,400 | ||||||
7%, 10/3/15 |
28,110,000 | 26,528,813 | ||||||
Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 |
12,960,000 | 11,099,160 | ||||||
Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/214 |
12,010,000 | 9,007,500 | ||||||
56,927,873 | ||||||||
Australia4.9% |
||||||||
New South Wales Treasury Corp. Nts., Series 15, 6%, 4/1/25 |
22,680,000 | AUD | 24,707,619 | |||||
Queensland Treasury Corp. Nts.: |
||||||||
Series 15, 6%, 10/14/15 |
45,325,000 | AUD | 49,789,845 | |||||
Series 17, 6%, 9/14/17 |
36,260,000 | AUD | 40,483,654 | |||||
Series 20, 6.25%, 2/21/20 |
106,440,000 | AUD | 119,056,038 | |||||
Series 21, 6%, 6/14/21 |
113,310,000 | AUD | 127,836,929 | |||||
Series 22, 6%, 7/21/22 |
62,360,000 | AUD | 68,568,159 | |||||
Series 24, 5.75%, 7/22/24 |
37,780,000 | AUD | 40,646,050 | |||||
Victoria Treasury Corp. Nts.: |
||||||||
Series 1022, 6%, 10/17/22 |
22,685,000 | AUD | 25,703,400 | |||||
Series 1116, 5.50%, 11/17/26 |
22,680,000 | AUD | 24,445,906 | |||||
Series 1116, 5.75%, 11/15/16 |
68,010,000 | AUD | 74,711,386 | |||||
Western Australia Treasury Corp. Nts., Series 15, 7%, 4/15/15 |
22,685,000 | AUD | 25,390,497 | |||||
621,339,483 | ||||||||
Austria0.6% |
||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/194 |
47,525,000 | EUR | 71,599,161 | |||||
Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 3.50%, 9/15/214 |
7,575,000 | EUR | 10,758,785 | |||||
82,357,946 | ||||||||
Belgium1.5% |
||||||||
Belgium (Kingdom of) Bonds, Series 58, 3.75%, 9/28/20 |
90,955,000 | EUR | 126,958,643 | |||||
Belgium (Kingdom of) Treasury Bills, 0.425%, 4/19/125 |
47,035,000 | EUR | 62,725,315 | |||||
189,683,958 | ||||||||
Brazil5.2% |
||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Bonds, 12.719%, 8/15/206 |
80,785,000 | BRR | 101,664,434 |
Principal | ||||||||
Amount | Value | |||||||
Brazil Continued |
||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: |
||||||||
9.762%, 1/1/14 |
130,270,000 | BRR | $ | 71,720,042 | ||||
9.762%, 1/1/17 |
561,732,000 | BRR | 299,752,467 | |||||
9.762%, 1/1/21 |
279,002,000 | BRR | 142,905,514 | |||||
12.322%, 5/15/456 |
32,095,000 | BRR | 42,472,755 | |||||
658,515,212 | ||||||||
Canada1.1% |
||||||||
Canada (Government of) Nts., 3.75%, 6/1/19 |
66,760,000 | CAD | 75,320,433 | |||||
Canada (Government of) Treasury Bills, Series 364, 0.896%, 7/5/125 |
65,495,000 | CAD | 65,504,849 | |||||
140,825,282 | ||||||||
Colombia0.6% |
||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/284 |
16,413,000,000 | COP | 12,513,891 | |||||
Colombia (Republic of) Sr. Unsec. Bonds,
6.125%, 1/18/41 |
49,985,000 | 61,481,550 | ||||||
73,995,441 | ||||||||
Denmark0.3% |
||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 |
200,885,000 | DKK | 42,753,455 | |||||
Finland0.2% |
||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 |
20,860,000 | EUR | 31,336,600 | |||||
France1.5% |
||||||||
France (Republic of) Bonds: |
||||||||
3.25%, 10/25/21 |
59,100,000 | EUR | 81,781,524 | |||||
3.75% 10/25/19 |
34,990,000 | EUR | 50,863,529 | |||||
4%, 4/25/60 |
18,705,000 | EUR | 26,783,408 | |||||
4.50%, 4/25/41 |
22,730,000 | EUR | 34,920,269 | |||||
194,348,730 | ||||||||
Germany0.4% |
||||||||
Germany (Federal Republic of) Bonds, 3.50%, 7/4/19 |
32,650,000 | EUR | 50,063,159 | |||||
Ghana0.1% |
||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/174 |
10,185,000 | 11,712,750 | ||||||
Hungary1.1% |
||||||||
Hungary (Republic of) Bonds: |
||||||||
Series 12/C, 6%, 10/24/12 |
2,003,000,000 | HUF | 8,989,832 | |||||
Series 14/D, 6.75%, 8/22/14 |
4,068,000,000 | HUF | 17,938,141 | |||||
Series 16/C, 5.50%, 2/12/16 |
2,751,000,000 | HUF | 11,242,298 | |||||
Series 17/B, 6.75%, 2/24/17 |
4,801,000,000 | HUF | 20,049,993 | |||||
Series 19/A, 6.50%, 6/24/19 |
3,289,000,000 | HUF | 13,054,584 | |||||
Series 20/A, 7.50%, 11/12/20 |
4,079,000,000 | HUF | 16,890,800 | |||||
Hungary (Republic of) Sr. Unsec. Bonds: |
||||||||
4.50%, 1/29/14 |
9,830,000 | EUR | 12,536,105 | |||||
7.625%, 3/29/41 |
7,255,000 | 6,602,050 |
Principal | ||||||||
Amount | Value | |||||||
Hungary Continued |
||||||||
Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 |
7,945,000 | EUR | $ | 9,267,842 | ||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 |
19,840,000 | 18,252,800 | ||||||
134,824,445 | ||||||||
Indonesia0.8% |
||||||||
Indonesia (Republic of) Nts., 5.25%, 1/17/424 |
27,930,000 | 29,431,238 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/214 |
7,880,000 | 8,579,350 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/384 |
24,035,000 | 33,468,738 | ||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/374 |
4,705,000 | 5,834,200 | ||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/354 |
11,975,000 | 17,872,688 | ||||||
95,186,214 | ||||||||
Israel0.2% |
||||||||
Israel (State of) Sr. Unsec. Bonds, 4%, 6/30/22 |
27,015,000 | 26,761,437 | ||||||
Italy3.2% |
||||||||
Italy (Republic of) Bonds: |
||||||||
4%, 9/1/20 |
55,750,000 | EUR | 70,866,794 | |||||
5%, 9/1/40 |
41,405,000 | EUR | 48,816,362 | |||||
Series EU, 2.575%, 10/15/173 |
22,685,000 | EUR | 26,890,313 | |||||
Italy (Republic of) Nts., 1.50%, 3/1/143 |
9,080,000 | EUR | 11,741,306 | |||||
Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/236 |
22,145,000 | EUR | 28,193,786 | |||||
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 |
4,537,000,000 | JPY | 54,793,881 | |||||
Italy (Republic of) Treasury Bonds: |
||||||||
4.75%, 9/1/21 |
74,975,000 | EUR | 98,594,740 | |||||
5.75%, 2/1/33 |
31,745,000 | EUR | 42,094,482 | |||||
Italy (Repuplic of) Treasury Bonds, 4.75%, 9/15/16 |
17,660,000 | EUR | 24,301,337 | |||||
406,293,001 | ||||||||
Japan14.4% |
||||||||
Japan Bonds, 20 yr., Series 112, 2.10%, 6/20/29 |
48,413,000,000 | JPY | 625,052,364 | |||||
Japan Sr. Unsec. Unsub. Bonds: |
||||||||
2 yr., Series 304, 0.20%, 5/15/13 |
7,409,000,000 | JPY | 89,602,980 | |||||
5 yr., Series 96, 0.50%, 3/20/16 |
59,720,000,000 | JPY | 728,913,733 | |||||
10 yr., Series 307, 1.30%, 3/20/20 |
30,726,000,000 | JPY | 387,441,236 | |||||
1,831,010,313 | ||||||||
Latvia0.2% |
||||||||
Latvia (Republic of) Nts., 5.25%, 2/22/174 |
20,795,000 | 21,496,831 | ||||||
Lithuanua0.2% |
||||||||
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/224 |
19,250,000 | 21,367,500 | ||||||
Malaysia0.4% |
||||||||
Malaysia (Government of) Sr. Unsec. Bonds, Series 1/06,
4.262%, 9/15/16 |
79,670,000 | MYR | 26,995,426 |
Principal | ||||||||
Amount | Value | |||||||
Malaysia Continued |
||||||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/214 |
$ | 19,415,000 | $ | 21,043,297 | ||||
48,038,723 | ||||||||
Mexico6.2% |
||||||||
United Mexican States Bonds: |
||||||||
4.50%, 12/18/146 |
1,451,927,776 | MXN | 121,964,975 | |||||
Series M, 6.50%, 6/10/213 |
1,678,600,000 | MXN | 134,477,852 | |||||
Series M20, 7.50%, 6/3/273 |
1,529,850,000 | MXN | 126,828,150 | |||||
Series M10, 7.75%, 12/14/17 |
1,306,705,000 | MXN | 113,641,807 | |||||
Series M10, 8%, 12/17/15 |
297,000,000 | MXN | 25,454,788 | |||||
Series M, 8%, 6/11/20 |
739,000,000 | MXN | 65,430,075 | |||||
Series M20, 10%, 12/5/243 |
425,730,000 | MXN | 43,576,746 | |||||
United Mexican States Treasury Bills: |
||||||||
4.49%, 5/31/125 |
333,700,000 | MXN | 25,896,453 | |||||
4.507%, 5/3/125 |
667,300,000 | MXN | 51,947,358 | |||||
4.534%, 12/13/125 |
518,800,000 | MXN | 39,267,456 | |||||
4.54%, 10/18/12 10/18/125 |
515,400,000 | MXN | 39,282,441 | |||||
787,768,101 | ||||||||
Panama0.3% |
||||||||
Panama (Republic of) Bonds: |
||||||||
6.70%, 1/26/36 |
11,087,000 | 14,634,840 | ||||||
8.875%, 9/30/27 |
8,650,000 | 13,299,375 | ||||||
9.375%, 4/1/29 |
8,770,000 | 14,089,005 | ||||||
42,023,220 | ||||||||
Peru1.5% |
||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 |
29,030,000 | 39,800,130 | ||||||
Peru (Republic of) Sr. Unsec. Bonds, 6.95%, 8/12/314 |
66,105,000 | PEN | 26,791,519 | |||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/204 |
225,850,000 | PEN | 98,351,778 | |||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 |
19,830,000 | 22,308,750 | ||||||
187,252,177 | ||||||||
Philippines0.2% |
||||||||
Philippines (Republic of the) Sr. Unsec. Bonds, 5%, 1/13/37 |
13,145,000 | 13,769,388 | ||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%,
10/23/34 |
7,515,000 | 9,290,419 | ||||||
23,059,807 | ||||||||
Poland2.7% |
||||||||
Poland (Republic of) Bonds: |
||||||||
Series 0415, 5.50%, 4/25/15 |
78,195,000 | PLZ | 25,717,657 | |||||
Series 0416, 5%, 4/25/16 |
520,525,000 | PLZ | 168,683,153 | |||||
Series 1017, 5.25%, 10/25/17 |
325,160,000 | PLZ | 105,926,755 |
Principal | ||||||||
Amount | Value | |||||||
Poland Continued |
||||||||
Poland (Republic of) Sr. Unsec. Nts.: |
||||||||
5%, 3/23/22 |
$ | 15,450,000 | $ | 16,361,859 | ||||
5.125%, 4/21/21 |
22,505,000 | 24,147,865 | ||||||
340,837,289 | ||||||||
Qatar0.3% |
||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/204 |
15,130,000 | 16,756,475 | ||||||
Qatar (State of) Sr. Unsec. Nts.: |
||||||||
5.75%, 1/20/424 |
11,620,000 | 12,621,644 | ||||||
6.40%, 1/20/404 |
6,870,000 | 8,055,075 | ||||||
37,433,194 | ||||||||
Romania0.4% |
||||||||
Romania Sr. Unsec. Bonds, 6.75%, 2/7/224 |
42,615,000 | 44,745,750 | ||||||
Russia2.0% |
||||||||
Russian Federation Bonds: |
||||||||
5%, 4/29/204 |
5,030,000 | 5,386,376 | ||||||
Series 5077, 7.35%, 1/20/16 |
1,246,000,000 | RUR | 42,946,440 | |||||
Series 5079, 7%, 6/3/15 |
1,843,800,000 | RUR | 63,066,904 | |||||
Series 6206, 7.40%, 6/14/17 |
2,346,700,000 | RUR | 80,546,434 | |||||
Russian Federation Unsec. Bonds: |
||||||||
4.50%, 4/4/227,8 |
26,340,000 | 26,524,380 | ||||||
5.625%, 4/4/427,8 |
39,510,000 | 39,845,835 | ||||||
258,316,369 | ||||||||
Singapore0.2% |
||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 |
24,145,000 | SGD | 20,867,922 | |||||
South Africa4.1% |
||||||||
South Africa (Republic of) Bonds: |
||||||||
Series R209, 6.25%, 3/31/36 |
608,540,000 | ZAR | 58,751,756 | |||||
Series R208, 6.75%, 3/31/21 |
715,300,000 | ZAR | 86,702,361 | |||||
Series R213, 7%, 2/28/31 |
779,580,000 | ZAR | 84,878,792 | |||||
Series R207, 7.25%, 1/15/20 |
1,108,960,000 | ZAR | 140,273,393 | |||||
Series R186, 10.50%, 12/21/26 |
939,885,000 | ZAR | 144,654,563 | |||||
South Africa (Republic of) Sr. Unsec. Nts., 4.665%, 1/17/24 |
10,370,000 | 10,655,175 | ||||||
525,916,040 | ||||||||
Spain1.5% |
||||||||
Instituto de Credito Oficial Sr. Unsec. Unsub. Nts., 5%, 11/14/16 |
18,130,000 | 18,211,585 | ||||||
Spain (Kingdom of) Bonds: |
||||||||
4.25%, 10/31/16 |
48,695,000 | EUR | 65,449,473 | |||||
5.85%, 1/31/22 |
35,810,000 | EUR | 49,518,087 | |||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.30%, 10/31/19 |
27,205,000 | EUR | 34,839,410 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 |
18,140,000 | EUR | 19,751,767 | |||||
187,770,322 |
Principal | ||||||||
Amount | Value | |||||||
Sri Lanka0.2% |
||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: |
||||||||
6.25%, 10/4/204 |
$ | 9,970,000 | $ | 9,970,000 | ||||
6.25% 7/27/214 |
12,515,000 | 12,518,404 | ||||||
22,488,404 | ||||||||
The Netherlands1.0% |
||||||||
Netherlands (Kingdom of the) Bonds: |
||||||||
4%, 7/15/18 |
19,425,000 | EUR | 29,503,725 | |||||
4%, 7/15/19 |
63,640,000 | EUR | 97,316,347 | |||||
126,820,072 | ||||||||
Turkey3.5% |
||||||||
Turkey (Republic of) Bonds: |
||||||||
6.875%, 3/17/36 |
20,605,000 | 22,974,575 | ||||||
7%, 3/11/19 |
9,650,000 | 11,073,375 | ||||||
8.68%, 2/20/135 |
166,045,000 | TRY | 85,857,460 | |||||
9%, 3/5/14 |
65,025,000 | TRY | 36,483,757 | |||||
9%, 3/8/17 |
65,555,000 | TRY | 36,505,267 | |||||
10.012%, 7/17/135 |
216,275,000 | TRY | 108,064,692 | |||||
10.50%, 1/15/203 |
10,760,000 | TRY | 6,423,520 | |||||
11%, 8/6/14 |
63,670,000 | TRY | 37,116,720 | |||||
15.577%, 8/14/136 |
21,120,000 | TRY | 17,620,314 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 |
12,420,000 | 14,376,150 | ||||||
Turkey (Republic of) Unsec. Bonds, 6.25%, 9/26/22 |
40,740,000 | 43,999,200 | ||||||
Turkey (Republic of) Unsec. Nts.: |
||||||||
5.125%, 3/25/22 |
8,990,000 | 8,945,050 | ||||||
6%, 1/14/41 |
18,230,000 | 18,047,700 | ||||||
447,487,780 | ||||||||
Ukraine0.2% |
||||||||
Financing of Infrastructural Projects State Enterprise Gtd. Nts.,
8.375%, 11/3/174 |
11,470,000 | 9,879,111 | ||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/204 |
7,255,000 | 6,239,300 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts.: |
||||||||
6.75%, 11/14/174 |
10,910,000 | 9,600,800 | ||||||
7.95%, 2/23/214 |
6,845,000 | 5,920,925 | ||||||
31,640,136 | ||||||||
United Kingdom3.7% |
||||||||
United Kingdom Treasury Bonds: |
||||||||
4%, 9/7/16 |
67,260,000 | GBP | 122,179,640 | |||||
4.25%, 3/7/36 |
45,795,000 | GBP | 84,998,289 | |||||
4.75%, 3/7/20 |
47,990,000 | GBP | 93,748,450 | |||||
4.75%, 12/7/38 |
83,395,000 | GBP | 167,701,049 | |||||
468,627,428 |
Principal | ||||||||
Amount | Value | |||||||
Uruguay0.6% |
||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 |
$ | 26,990,000 | $ | 37,718,525 | ||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 |
23,441,250 | 32,407,528 | ||||||
70,126,053 | ||||||||
Venezuela1.2% |
||||||||
Venezuela (Republic of) Bonds: |
||||||||
9%, 5/7/23 |
45,905,000 | 39,363,538 | ||||||
11.95%, 8/5/31 |
17,185,000 | 17,013,150 | ||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 |
17,910,000 | 14,372,775 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||
7.75%, 10/13/19 |
13,100,000 | 11,069,500 | ||||||
12.75%, 8/23/22 |
9,325,000 | 9,837,875 | ||||||
Venezuela (Republic of) Unsec. Bonds: |
||||||||
7%, 3/31/38 |
26,380,000 | 18,861,700 | ||||||
7.65%, 4/21/25 |
30,265,000 | 23,001,400 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/184 |
21,165,000 | 22,434,900 | ||||||
155,954,838 | ||||||||
Total Foreign Government Obligations (Cost $8,362,057,733) |
8,517,973,255 | |||||||
Corporate Bonds and Notes21.3% |
||||||||
Consumer Discretionary0.1% |
||||||||
Automobiles0.1% |
||||||||
Jaguar Land Rover plc, 8.25% Sr. Nts., 3/15/207 |
8,855,000 | GBP | 14,198,876 | |||||
Consumer Staples0.3% |
||||||||
Beverages0.1% |
||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts.,
7/24/173 |
11,985,000 | BRR | 6,880,977 | |||||
Food & Staples Retailing0.1% |
||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/214 |
16,830,000 | 17,845,101 | ||||||
Food Products0.1% |
||||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/154 |
15,005,000 | 14,554,850 | ||||||
Energy4.8% |
||||||||
Oil, Gas & Consumable Fuels4.8% |
||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/154 |
11,200,000 | 11,961,600 | ||||||
Gaz Capital SA: |
||||||||
7.288% Sr. Sec. Nts., 8/16/374 |
47,500,000 | 54,096,800 | ||||||
8.146% Sr. Sec. Nts., 4/11/184 |
24,310,000 | 28,620,892 | ||||||
8.625% Sr. Sec. Nts., 4/28/344 |
15,325,000 | 19,378,769 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/194 |
43,260,000 | 53,642,400 | ||||||
Gazprom Via Gaz Capital SA, 5.999% Sr. Unsec. Nts., 1/23/214 |
10,000,000 | 10,590,000 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/214 |
14,480,000 | 16,066,284 | ||||||
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/184 |
35,405,000 | 44,244,566 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Lukoil International Finance BV: |
||||||||
6.125% Sr. Unsec. Nts., 11/9/204 |
$ | 34,700,000 | $ | 36,955,500 | ||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/224 |
27,285,000 | 30,286,350 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/194 |
5,560,000 | 6,324,500 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/214 |
11,446,400 | 12,247,648 | ||||||
OGX Austria GmbH, 8.375% Sr. Unsec. Nts., 4/1/224 |
6,040,000 | 6,115,500 | ||||||
Pemex Project Funding Master Trust: |
||||||||
6.625% Sr. Unsec. Unsub. Nts., 6/15/38 |
7,855,000 | 9,033,250 | ||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 |
38,390,000 | 44,148,500 | ||||||
Pertamina PT (Persero): |
||||||||
5.25% Nts., 5/23/214 |
22,005,000 | 23,380,313 | ||||||
6.50% Sr. Unsec. Nts., 5/27/414 |
9,810,000 | 10,692,900 | ||||||
Petrobras International Finance Co.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 1/27/21 |
20,000,000 | 21,627,180 | ||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 |
11,585,000 | 12,887,722 | ||||||
Petroleos de Venezuela SA: |
||||||||
4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 |
18,830,000 | 16,899,925 | ||||||
8.50% Sr. Nts., 11/2/174 |
28,830,000 | 25,701,945 | ||||||
12.75% Sr. Unsec. Nts., 2/17/224 |
13,820,000 | 13,854,550 | ||||||
Petroleos Mexicanos: |
||||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 |
15,900,000 | 17,609,250 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 |
18,650,000 | 21,326,275 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts.,
8/14/194 |
22,460,000 | 27,917,780 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/194 |
14,950,000 | 16,370,250 | ||||||
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/224 |
15,160,000 | 15,235,800 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/144 |
5,518,109 | 5,822,433 | ||||||
613,038,882 | ||||||||
Financials10.6% |
||||||||
Capital Markets0.3% |
||||||||
Credit Suisse AG (Guernsey), 1.625% Sec. Bonds, 3/6/154 |
13,597,500 | 13,645,227 | ||||||
Korea Development Bank (The), 3.875% Sr. Unsec. Nts., 5/4/17 |
11,680,000 | 12,116,633 | ||||||
UBS AG (London), 2.25% Sec. Nts., 3/30/174 |
17,705,000 | 17,678,407 | ||||||
43,440,267 | ||||||||
Commercial Banks9.3% |
||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/154 |
14,880,000 | 15,006,480 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/174 |
11,700,000 | 12,127,050 | ||||||
Australia & New Zealand Banking Group Ltd., 2.40% Sec. Bonds,
11/23/164 |
22,720,000 | 22,931,637 | ||||||
Banco BMG SA: |
||||||||
9.15% Nts., 1/15/164 |
8,504,000 | 8,291,400 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/194 |
8,380,000 | 7,759,880 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued |
||||||||
Banco de Credito del Peru, 5.375% Sr. Nts., 9/16/204 |
$ | 7,160,000 | $ | 7,374,800 | ||||
Banco de Credito del Peru/Panama, 6.875% Sub. Nts., 9/16/263,4 |
6,104,000 | 6,683,880 | ||||||
Banco del Estado de Chile, 3.875% Sr. Unsec. Nts., 2/8/224 |
13,085,000 | 13,019,575 | ||||||
Banco do Brasil SA, 5.875% Unsec. Sub. Nts., 1/26/224 |
7,790,000 | 8,054,860 | ||||||
Banco do Brasil SA (Cayman), 9.25% Perpetual Jr. Sub. Bonds4,9 |
20,000,000 | 21,800,000 | ||||||
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/224 |
13,935,000 | 14,701,425 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/204 |
8,650,000 | 9,774,500 | ||||||
Bank of Scotland plc: |
||||||||
3.875% Sr. Sec. Nts., 2/7/20 |
23,580,000 | EUR | 33,042,568 | |||||
4.50% Sr. Sec. Nts., 7/13/21 |
66,157,000 | EUR | 96,110,427 | |||||
4.875% Sr. Sec. Nts., 12/20/24 |
7,625,000 | GBP | 12,657,110 | |||||
4.875% Sr. Sec. Unsub. Nts., 11/8/16 |
4,535,000 | GBP | 7,837,643 | |||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/154 |
26,205,000 | 27,384,225 | ||||||
BPCE SFH SA, 3.75% Sr. Sec. Nts., 9/13/21 |
20,715,000 | EUR | 29,107,284 | |||||
Compagnie de Financement Foncier: |
||||||||
4.875% Sec. Nts., 5/25/21 |
13,605,000 | EUR | 20,486,740 | |||||
5.75% Sec. Nts., 10/4/21 |
5,440,000 | EUR | 8,701,751 | |||||
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/224 |
13,525,000 | 13,998,375 | ||||||
Grupo Aval Ltd., 5.25% Sr. Unsec. Nts., 2/1/174 |
13,505,000 | 14,078,963 | ||||||
Halyk Savings Bank of Kazakhstan JSC: |
||||||||
7.25% Unsec. Unsub. Nts., 5/3/174 |
3,275,000 | 3,378,163 | ||||||
9.25% Sr. Nts., 10/16/134 |
60,130,000 | 64,038,450 | ||||||
ICICI Bank Ltd.: |
||||||||
5.50% Sr. Unsec. Nts., 3/25/154 |
21,660,000 | 22,518,711 | ||||||
6.375% Bonds, 4/30/223,4 |
22,793,000 | 21,767,315 | ||||||
Lloyds TSB Bank plc: |
||||||||
4.875% Sec. Nts., 1/13/23 |
8,180,000 | EUR | 12,238,264 | |||||
6% Sr. Sec. Nts., 2/8/29 |
9,095,000 | GBP | 16,588,759 | |||||
Sberbank of Russia Via SB Capital SA: |
||||||||
4.95% Sr. Nts., 2/7/174 |
10,000,000 | 10,200,000 | ||||||
5.40% Sr. Unsec. Nts., 3/24/17 |
23,200,000 | 24,046,800 | ||||||
6.125% Sr. Nts., 2/7/224 |
38,995,000 | 40,213,594 | ||||||
Societe Generale SCF SA, 2.024% Sec. Unsub. Nts., 6/19/173 |
4,500,000 | 4,270,802 | ||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/177,8 |
22,130,000 | 22,064,938 | ||||||
Stadshypotek AB: |
||||||||
6% Sec. Unsub. Bonds, 3/18/25 |
364,000,000 | SEK | 60,709,729 | |||||
6% Sec. Unsub. Bonds, 9/21/16 |
377,000,000 | SEK | 64,262,151 | |||||
Swedbank Hypotek AB: |
||||||||
2.375% Sec. Nts., 4/5/174 |
16,820,000 | 16,897,052 | ||||||
3.75% Sr. Sec. Unsub. Nts., 3/18/15 |
364,500,000 | SEK | 57,202,390 | |||||
Toronto-Dominion Bank (The), 1.50% Sec. Bonds, 3/13/174 |
18,130,000 | 17,953,831 | ||||||
Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/164 |
9,045,000 | 9,112,838 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/204 |
32,705,000 | 35,484,925 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued |
||||||||
VTB Capital SA: |
||||||||
6.315% Nts., 2/22/184 |
$ | 9,065,000 | $ | 9,115,764 | ||||
6.465% Sr. Sec. Unsub. Nts., 3/4/154 |
5,635,000 | 6,001,275 | ||||||
Westpac Banking Corp., 2.45% Sr. Sec. Bonds, 11/28/164 |
22,720,000 | 22,974,759 | ||||||
WM Covered Bond Program, 4% Sec. Mtg. Nts., Series 2, 9/27/16 |
152,385,000 | EUR | 217,089,534 | |||||
Yapi ve Kredi Bankasi AS, 6.75% Sr. Unsec. Nts., 2/8/174 |
7,905,000 | 8,131,874 | ||||||
1,177,192,491 | ||||||||
Consumer Finance0.0% |
||||||||
JSC Astana Finance, 9.16% Nts., 3/14/1210 |
14,000,000 | 1,540,000 | ||||||
Diversified Financial Services0.9% |
||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/267 |
18,487,974 | 17,530,297 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 |
30,082,000 | EUR | 41,435,318 | |||||
Banco Invex SA, 30.695% Mtg.-Backed Certificates,
Series 062U, 3/13/343,6 |
27,603,725 | MXN | 2,783,163 | |||||
Bank of America Corp., 4.75% Sr. Unsec. Nts., 4/3/17 |
9,065,000 | EUR | 12,541,760 | |||||
Caisse Centrale Desjardins du Quebec, 1.60% Sec. Bonds, 3/6/174 |
18,125,000 | 17,974,309 | ||||||
JPMorgan Hipotecaria su Casita: |
||||||||
8.103% Sec. Nts., 8/26/356,7 |
34,101,099 | MXN | 3,032,161 | |||||
29.03% Mtg.-Backed Certificates, Series 06U, 9/25/356 |
10,423,079 | MXN | 1,519,261 | |||||
Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 |
14,120,000 | 14,785,786 | ||||||
111,602,055 | ||||||||
Thrifts & Mortgage Finance0.1% |
||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/164 |
5,360,000 | 5,152,568 | ||||||
Compagnie de Financement Foncier, 5.625% Sr. Sec. Nts., 6/19/17 |
3,175,000 | 3,541,011 | ||||||
8,693,579 | ||||||||
Industrials0.3% |
||||||||
Construction & Engineering0.2% |
||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/244 |
14,691,172 | 17,281,226 | ||||||
Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/204 |
6,815,000 | 7,631,437 | ||||||
24,912,663 | ||||||||
Road & Rail0.1% |
||||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts.,
10/6/204 |
7,535,000 | 8,382,688 | ||||||
Materials1.0% |
||||||||
Chemicals0.2% |
||||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/414 |
5,500,000 | 5,546,750 | ||||||
Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/214 |
23,420,000 | 24,633,156 | ||||||
30,179,906 |
Principal | ||||||||
Amount | Value | |||||||
Construction Materials0.2% |
||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/204 |
$ | 8,115,000 | $ | 7,526,663 | ||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/184 |
13,150,000 | 12,459,625 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/204 |
1,215,000 | 1,293,125 | ||||||
21,279,413 | ||||||||
Metals & Mining0.6% |
||||||||
Alrosa Finance SA, 7.75% Nts., 11/3/204 |
12,010,000 | 12,880,725 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/164 |
9,050,000 | 7,715,125 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/194 |
5,700,000 | 6,508,260 | ||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/164 |
9,520,000 | 8,901,200 | ||||||
JSC Severstal, 6.70% Nts., 10/25/174 |
14,820,000 | 15,060,825 | ||||||
Vale Overseas Ltd., 4.375% Sr. Unsec. Unsub. Nts., 1/11/228 |
30,000,000 | 30,271,500 | ||||||
81,337,635 | ||||||||
Telecommunication Services1.4% |
||||||||
Diversified Telecommunication Services0.7% |
||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/194 |
14,637,000 | 12,075,525 | ||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/164 |
30,440,000 | BRR | 17,258,977 | |||||
Qtel International Finance Ltd., 4.75% Sr. Unsec. Nts., 2/16/214 |
20,000,000 | 20,776,000 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/204 |
33,596,000 | 34,704,668 | ||||||
84,815,170 | ||||||||
Wireless Telecommunication Services0.7% |
||||||||
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
140,800,000 | MXN | 10,758,140 | |||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/204 |
15,235,000 | 17,700,175 | ||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: |
||||||||
7.748% Sec. Nts., 2/2/214 |
9,040,000 | 8,960,900 | ||||||
9.125% Sr. Unsec. Nts., 4/30/184 |
32,440,000 | 35,602,900 | ||||||
VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/224 |
15,210,000 | 14,829,750 | ||||||
87,851,865 | ||||||||
Utilities2.8% |
||||||||
Electric Utilities2.2% |
||||||||
Centrais Eletricas Brasileiras SA: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 10/27/214 |
16,470,000 | 18,108,765 | ||||||
6.875% Sr. Unsec. Unsub. Nts., 7/30/194 |
8,430,000 | 10,021,584 | ||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/224 |
6,005,000 | 3,663,050 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/194 |
13,175,000 | 15,790,238 | ||||||
Eskom Holdings Ltd.: |
||||||||
5.75% Sr. Unsec. Bonds, 1/26/214 |
14,635,000 | 15,439,925 |
Principal | ||||||||
Amount | Value | |||||||
Electric Utilities Continued |
||||||||
Eskom Holdings Ltd.: Continued |
||||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 |
294,000,000 | ZAR | $ | 34,969,711 | ||||
10% Nts., Series ES23, 1/25/23 |
368,000,000 | ZAR | 53,022,271 | |||||
Israel Electric Corp. Ltd.: |
||||||||
6.70% Sr. Unsec. Nts., 2/10/174 |
9,480,000 | 9,780,819 | ||||||
7.25% Nts., 1/15/194 |
41,280,000 | 42,178,748 | ||||||
Majapahit Holding BV: |
||||||||
7.75% Nts., 10/17/164 |
21,570,000 | 25,048,163 | ||||||
8% Sr. Unsec. Nts., 8/7/194 |
15,040,000 | 18,348,800 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
665,100,000 | PHP | 15,805,126 | |||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/214 |
20,220,000 | 21,281,550 | ||||||
283,458,750 | ||||||||
Energy Traders0.2% |
||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/204 |
12,290,000 | 13,117,178 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/214 |
15,620,000 | 16,713,400 | ||||||
29,830,578 | ||||||||
Gas Utilities0.2% |
||||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub.
Nts., 11/10/214 |
7,705,000 | 8,205,825 | ||||||
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec.
Nts., 3/20/224 |
10,300,000 | 10,485,400 | ||||||
18,691,225 | ||||||||
Multi-Utilities0.1% |
||||||||
Abu Dhabi National Energy Co. (TAQA), 5.875% Sr. Unsec. Nts.,
12/13/214 |
11,910,000 | 12,743,700 | ||||||
Water Utilities0.1% |
||||||||
Cia de Saneamento Basico do Estado de Sao Paulo,
6.25% Sr. Unsec. Nts., 12/16/204 |
10,885,000 | 11,646,950 | ||||||
Total Corporate Bonds and Notes (Cost $2,632,361,944) |
2,704,117,621 | |||||||
Structured Securities4.9% |
||||||||
Barclays Bank plc: |
||||||||
Indonesia (Republic of) Total Return Linked Bonds,
10.50%, 8/19/30 |
99,630,000,000 | IDR | 14,954,306 | |||||
Indonesia (Republic of) Total Return Linked Bonds,
Series 22, 11%, 9/17/25 |
33,224,000,000 | IDR | 5,095,873 | |||||
Indonesia (Republic of) Total Return Linked Nts.,
Series 50, 10.50%, 8/19/30 |
67,450,000,000 | IDR | 10,124,139 | |||||
Indonesia (Republic of) Total Return Linked Nts.,
Series 51, 10.50%, 8/19/30 |
29,170,000,000 | IDR | 4,378,371 | |||||
Indonesia (Republic of) Total Return Linked Nts.,
Series 51, 11%, 9/17/25 |
69,180,000,000 | IDR | 10,610,778 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
Barclays Bank plc: Continued |
||||||||
Russian Federation Total Return Linked Bonds, 7%, 6/5/153 |
569,700,000 | RUR | $ | 19,441,823 | ||||
Russian Federation Total Return Linked Bonds, 7%, 6/5/153 |
1,011,100,000 | RUR | 34,505,226 | |||||
Citigroup Funding, Inc.: |
||||||||
ALROSA Russia Corporate Bond Credit Linked Unsec. Nts.,
8.25%, 6/25/153,7 |
182,270,000 | RUR | 6,277,403 | |||||
Russian Federation Credit Linked Nts., 7.35%, 1/22/163 |
670,500,000 | RUR | 23,000,656 | |||||
Citigroup Global Markets Holdings, Inc.: |
||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/187 |
11,920,000,000 | COP | 8,200,657 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 10%, 7/25/246,7 |
6,450,000,000 | COP | 4,397,882 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
86,317,000,000 | COP | 58,854,574 | |||||
Colombia (Republic of) Total Return Linked Bonds,
Series 2, 11%, 7/27/20 |
26,964,000,000 | COP | 18,691,927 | |||||
Credit Suisse First Boston International, Moitk Total Return
Linked Nts., 21%, 3/30/1110 |
220,242,600 | RUR | 22,530 | |||||
Credit Suisse First Boston, Inc., Russian Specialized Construction &
Installation Administration Total Return Linked Nts., 13%, 5/24/1010 |
64,600,000 | RUR | 220 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return
Linked Nts., 9.25%, 6/27/12 |
25,800,000 | RUR | 871,048 | |||||
Deutsche Bank AG: |
||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/255,7 |
4,460,045 | 3,145,281 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/255,7 |
5,682,784 | 4,007,571 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/255,7 |
4,906,174 | 3,459,896 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/255,7 |
4,385,501 | 3,092,711 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/255,7 |
5,460,305 | 3,850,676 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/255,7 |
6,232,108 | 4,394,962 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/255,7 |
4,978,725 | 3,511,061 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/255,7 |
4,679,790 | 3,300,248 | ||||||
JSC VTB Bank Credit Linked Nts., 12%, 6/19/123,7 |
201,100,000 | UAH | 24,874,173 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/153,7 |
1,273,571 | MXN | 95,962 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/153,7 |
2,228,143 | MXN | 167,888 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/153,7 |
33,594,990 | MXN | 2,531,349 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/153,7 |
2,448,357 | MXN | 184,481 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/153,7 |
1,778,777 | MXN | 134,029 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.265%, 5/22/153,7 |
1,136,016 | MXN | 85,598 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/153,7 |
209,208 | MXN | 15,764 | |||||
Russian Federation Credit Linked Nts., 7.35%, 1/22/163,7 |
502,900,000 | RUR | 17,285,647 | |||||
Russian Federation Credit Linked Nts., 7.40%, 6/16/173,7 |
502,900,000 | RUR | 17,199,905 | |||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.248%, 4/30/123,7 |
11,200,000 | 10,760,960 | ||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/375,7 |
376,977,600,000 | COP | 13,269,848 | |||||
Hallertau SPC Credit Linked Nts.: |
||||||||
Series 2007-01, 2.838%, 12/20/173,7 |
42,470,000 | 38,172,036 | ||||||
Series 2008-01, 9.888%, 8/2/105,7,10 |
63,164,246 | BRR | 3,460,201 | |||||
Series 2008-2A, 8.253%, 9/17/137,10 |
15,837,500 | 8,894,900 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued |
||||||||
HSBC Bank USA NA, Indonesia (Republic of) Credit Linked Nts.,
Series 2, 9.50%, 7/15/314 |
132,561,000,000 | IDR | $ | 18,556,220 | ||||
JPMorgan Chase & Co.: |
||||||||
Colombia (Republic of) Credit Linked Bonds,
10.19%, 1/5/165,7 |
68,635,000,000 | COP | 30,397,750 | |||||
Colombia (Republic of) Credit Linked Bonds,
10.218%, 10/31/165,7 |
90,697,000,000 | COP | 37,950,723 | |||||
Colombia (Republic of) Credit Linked Nts.,
11%, 7/28/207 |
12,645,000,000 | COP | 8,765,662 | |||||
Colombia (Republic of) Credit Linked Nts.,
Series 2, 11%, 7/28/207 |
45,193,500,000 | COP | 31,328,663 | |||||
Indonesia (Republic of) Credit Linked Bonds,
Series 04, 11%, 9/17/254 |
69,180,000,000 | IDR | 10,610,778 | |||||
Indonesia (Republic of) Credit Linked Nts.,
Series 55, 11%, 9/17/254 |
67,450,000,000 | IDR | 10,345,431 | |||||
Indonesia (Republic of) Total Return Linked Nts.,
Series 53, 11%, 9/17/254 |
68,100,000,000 | IDR | 10,445,128 | |||||
JPMorgan Chase Bank NA, Indonesia (Republic of)
Credit Linked Nts., Series 3, 11%, 9/17/254 |
29,865,000,000 | IDR | 4,580,672 | |||||
LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/165,10 |
1,426,420 | 142,642 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts.,
10%, 11/17/167 |
13,289,000,000 | COP | 7,845,932 | |||||
Morgan Stanley: |
||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/174 |
26,120,000 | PEN | 8,423,437 | |||||
Russian Federation Total Return Linked Bonds,
Series 007, Cl. VR, 5%, 8/22/34 |
286,015,414 | RUR | 4,603,685 | |||||
Morgan Stanley Capital Services, Inc.: |
||||||||
Brazil (Federative Republic of) Credit Linked Nts.,
12.551%, 1/5/224,5 |
173,500,000 | BRR | 16,024,597 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/154 |
11,760,000 | 10,107,720 | ||||||
UBS AG, Indonesia (Republic of) Total Return Linked Nts.,
Series 1, 9.50%, 7/17/31 |
171,735,000,000 | IDR | 24,039,895 | |||||
Total Structured Securities (Cost $657,631,223) |
619,491,495 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | ||||||||||||||
Options Purchased0.8% |
||||||||||||||||
Canadian Dollar (CAD) Put11 |
9/24/12 | 1AUD per 1.0198 | CAD | 44,265,000 | 1,144,808 | |||||||||||
Canadian Dollar (CAD) Put11 |
7/19/12 | 1AUD per 1.0349 | CAD | 45,370,000 | 1,118,350 | |||||||||||
Euro (EUR) FX Futures, 5/21/12 Call11 |
5/7/12 | $ | 1.410 | 1,342 | 67,100 | |||||||||||
Euro (EUR) FX Futures, 5/21/12 Call11 |
5/7/12 | 1.390 | 269 | 36,988 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call11 |
4/9/12 | 1.360 | 72 | 2,700 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call11 |
4/9/12 | 1.370 | 72 | 900 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call11 |
5/7/12 | 1.380 | 537 | 127,538 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased Continued |
||||||||||||||||
Euro (EUR) FX Futures, 6/18/12 Call11 |
5/7/12 | $ | 1.370 | 536 | $ | 274,700 | ||||||||||
Euro (EUR) FX Futures, 6/18/12 Call11 |
5/7/12 | 1.390 | 536 | 93,800 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.290 | 152 | 950 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.310 | 280 | 12,250 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.320 | 746 | 93,250 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.240 | 1,018 | 6,363 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.270 | 1,048 | 6,550 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.280 | 243 | 1,519 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.290 | 381 | 2,381 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
4/9/12 | 1.250 | 1,074 | 6,713 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
5/7/12 | 1.190 | 538 | 3,363 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
5/7/12 | 1.210 | 538 | 6,725 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
5/7/12 | 1.240 | 1,073 | 40,238 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
5/7/12 | 1.280 | 537 | 140,963 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
5/7/12 | 1.270 | 1,018 | 178,150 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
6/11/12 | 1.250 | 459 | 177,863 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
6/11/12 | 1.280 | 268 | 217,750 | ||||||||||||
Euro (EUR) FX Futures, 6/18/12 Put11 |
6/11/12 | 1.300 | 113 | 149,725 | ||||||||||||
Euro (EUR) Put11 |
2/12/13 | 1EUR per 1.305 | USD | 200,000,000 | 9,057,724 | |||||||||||
Euro (EUR) Put11 |
2/12/13 | 1EUR per 1.305 | USD | 300,000,000 | 13,586,586 | |||||||||||
Euro (EUR) Put11 |
2/7/13 | 1EUR per 1.30 | USD | 125,000,000 | 5,315,370 | |||||||||||
Euro (EUR) Put11 |
2/15/13 | 1EUR per 1.30 | USD | 125,000,000 | 5,475,775 | |||||||||||
Euro (EUR) Put11 |
2/19/13 | 1EUR per 1.30 | USD | 200,000,000 | 8,864,926 | |||||||||||
Euro (EUR) Put11 |
2/21/13 | 1EUR per 1.31 | USD | 125,000,000 | 6,053,846 | |||||||||||
Japanese Yen (JPY) Call11 |
7/24/12 | 1USD per 75 | JPY | 12,244,000,000 | 346,138 | |||||||||||
Japanese Yen (JPY) Call11 |
7/24/12 | 1USD per 75 | JPY | 12,447,000,000 | 351,877 | |||||||||||
Japanese Yen (JPY) Call11 |
8/9/12 | 1USD per 75 | JPY | 12,247,830,000 | 472,521 | |||||||||||
Japanese Yen (JPY) Call11 |
9/13/12 | 1USD per 75 | JPY | 9,071,000,000 | 581,814 | |||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/6/12 | 129.500 | 143 | 894 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/6/12 | 132.500 | 143 | 894 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/6/12 | 135.000 | 108 | 675 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/6/12 | 138.000 | 108 | 675 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/9/12 | 127.000 | 1 | 6 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/9/12 | 123.000 | 80 | 14,000 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/9/12 | 125.000 | 107 | 4,013 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
4/9/12 | 129.000 | 1 | 6 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
6/11/12 | 139.000 | 108 | 2,025 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased Continued |
||||||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
6/11/12 | $ | 140.000 | 5 | $ | 63 | ||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
6/11/12 | 143.000 | 108 | 675 | ||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 Call11 |
6/12/12 | 134.000 | 269 | 26,900 | ||||||||||||
Japanese Yen (JPY) Put11 |
3/11/13 | 1USD per 81.90 | JPY | 8,230,000,000 | 4,923,762 | |||||||||||
Japanese Yen (JPY) Put11 |
3/29/13 | 1USD per 85 | JPY | 7,283,000,000 | 2,945,828 | |||||||||||
Mexican Nuevo Peso (MXN) Put11 |
9/26/12 | 1AUD per 13 | MXN | 94,255,000 | 2,076,986 | |||||||||||
U.S. Long Bonds Futures, 6/20/12 Put11 |
4/9/12 | 135.000 | 498 | 77,813 | ||||||||||||
U.S. Long Bonds Futures, 6/20/12 Put11 |
4/9/12 | 137.000 | 448 | 245,000 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Call11 |
4/9/12 | 131.000 | 498 | 15,563 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/9/12 | 129.000 | 559 | 427,984 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/23/12 | 127.500 | 1,298 | 243,375 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/23/12 | 125.500 | 273 | 17,063 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/23/12 | 126.500 | 2,493 | 272,672 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/23/12 | 128.000 | 2,689 | 714,266 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
4/23/12 | 129.000 | 573 | 295,453 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
5/29/12 | 123.500 | 2,588 | 242,625 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put11 |
5/29/12 | 127.000 | 3,781 | 1,476,953 | ||||||||||||
U.S. Treasury Nts., 3.125%, 11/15/41 Call11 |
5/23/12 | 104.000 | 165,000,000 | 621,000 | ||||||||||||
U.S. Treasury Nts., 3.125%, 11/15/41 Call11 |
5/23/12 | 103.610 | 165,000,000 | 743,297 | ||||||||||||
U.S. Treasury Nts., 3.125%, 11/15/41 Call11 |
5/30/12 | 103.470 | 65,500,000 | 294,750 | ||||||||||||
United States Dollar (USD) Put11 |
8/2/12 | 1EUR per 1.30 | USD | 125,000,000 | 2,443,128 | |||||||||||
United States Dollar (USD) Put11 |
2/5/13 | 1EUR per 1.30 | USD | 250,000,000 | 10,556,289 | |||||||||||
United States Dollar (USD) Put11 |
2/7/13 | 1EUR per 1.30 | USD | 125,000,000 | 5,313,154 | |||||||||||
United States Dollar (USD) Put11 |
2/26/13 | 1EUR per 1.32 | USD | 125,000,000 | 6,435,135 | |||||||||||
Worst performing of: Euro (EUR) Put/United States Dollar (USD) Call,
or the United States |
1EUR per 1.275 | USD | ||||||||||||||
Dollar (USD) Call/Japanese Yen (JPY) Put11 |
7/26/12 | 1USD per 79.50 | JPY | 26,893,000 | 147,643 | |||||||||||
Total Options Purchased (Cost $156,559,695) |
94,598,779 |
Swaption | ||||||||||||
Expiration | Notional | |||||||||||
Date | Amount | |||||||||||
Swaptions Purchased0.5% |
||||||||||||
Bank of America NA, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.195%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 10/2/1911 |
10/1/12 | $ | 132,000,000 | 1,461,137 |
Swaption | ||||||||||||
Expiration | Notional | |||||||||||
Date | Amount | Value | ||||||||||
Swaptions Purchased Continued |
||||||||||||
Bank of America NA, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.275%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 7/9/2211 |
7/6/12 | $ | 162,515,000 | $ | 3,631,543 | |||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 1.88%; Received: Three-Month USD BBA LIBOR;
Termination Date: 7/24/1911 |
7/23/12 | 107,945,000 | 1,467,280 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: 1.945%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 10/2/1911 |
10/1/12 | 117,550,000 | 2,057,934 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption (European); Swap Terms: Paid: 2.495%; Received: Three-Month USD BBA LIBOR;
Termination Date: 11/22/2211 |
11/23/12 | 213,400,000 | 6,096,224 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty;
Interest Rate Swaption (European); Swap Terms: Paid: 2.185%; Received: Three-Month USD BBA LIBOR;
Termination Date: 7/13/2211 |
7/12/12 | 81,025,000 | 2,251,721 | |||||||||
Goldman Sachs Group, Inc. (The), Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: Three-Month
USD BBA LIBOR; Received: 2.185%;
Termination Date: 7/13/2211 |
7/12/12 | 81,025,000 | 800,285 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: 1.65%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 2/25/1811 |
2/22/13 | 134,605,000 | 2,037,626 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: 1.97375%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 10/1/1911 |
9/28/12 | 150,000,000 | 2,482,637 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: 2.245%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 7/10/2211 |
7/9/12 | 162,185,000 | 3,890,599 | |||||||||
JPMorgan Chase Bank NA, Swap Counterparty,
Interest Rate Swaption
(European); Swap Terms: Paid: 2.557%;
Received: Six-Month EUR EURIBOR;
Termination Date: 2/20/2311 |
2/19/13 | 107,750,000 | EUR | 3,530,001 | ||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 1.17%;
Received: Six-Month JPY BBA LIBOR;
Termination Date: 9/26/2211 |
9/25/12 | 35,415,000,000 | JPY | 4,235,850 | ||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.215%;
Received: Three-Month USD BBA LIBOR;
Termination Date: 12/4/2211 |
12/3/12 | 542,135,000 | 23,136,556 |
Swaption Expiration |
Notional | |||||||||||
Date | Amount | Value | ||||||||||
Swaptions Purchased Continued |
||||||||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 2.98%;
Received: Six-Month EUR EURIBOR;
Termination Date: 3/4/2311 |
3/1/13 | 134,350,000 | EUR | $ | 2,411,910 | |||||||
UBS AG, Swap Counterparty, Interest Rate
Swaption (European); Swap Terms: Paid: 3.025%;
Received: Six-Month EUR EURIBOR;
Termination Date: 2/27/2311 |
2/26/13 | 134,540,000 | EUR | 2,217,204 | ||||||||
Total Swaptions Purchased (Cost $73,144,589) |
61,708,507 |
Shares | ||||||||||||
Investment Company3.9% |
||||||||||||
Oppenheimer Institutional Money Market
Fund, Cl. E,
0.22%12,13 (Cost $496,604,049) |
496,604,049 | 496,604,049 | ||||||||||
Total Investments, at Value (Cost $12,638,750,290) |
100.5 | % | 12,749,746,126 | |||||||||
Liabilities in Excess of Other Assets |
(0.5 | ) | (57,156,683 | ) | ||||||||
Net Assets |
100.0 | % | $ | 12,692,589,443 | ||||||||
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
COP
|
Colombian Peso | |
DKK
|
Danish Krone | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
HUF
|
Hungarian Forint | |
IDR
|
Indonesia Rupiah | |
JPY
|
Japanese Yen | |
MXN
|
Mexican Nuevo Peso | |
MYR
|
Malaysian Ringgit | |
PEN
|
Peruvian New Sol | |
PHP
|
Philippines Peso | |
PLZ
|
Polish Zloty | |
RUR
|
Russian Ruble | |
SEK
|
Swedish Krona | |
SGD
|
Singapore Dollar | |
TRY
|
New Turkish Lira | |
UAH
|
Ukraine Hryvnia | |
ZAR
|
South African Rand |
* | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
1. | All or a portion of the security position is held in collateral accounts to cover the Funds obligations under certain derivative contracts. The aggregate market value of such securities is $58,514,390. See Note 6 of the accompanying Notes. | |
2. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $9,619,808. See Note 6 of the accompanying Notes. | |
3. | Represents the current interest rate for a variable or increasing rate security. | |
4. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $2,250,488,607 or 17.73% of the Funds net assets as of March 30, 2012. | |
5. | Zero coupon bond reflects effective yield on the date of purchase. | |
6. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. | |
7. | Restricted security. The aggregate value of restricted securities as of March 30, 2012 was $424,256,306, which represents 3.34% of the Funds net assets. See Note 7 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Autopistas del Nordeste Cayman Ltd., 9.39%
Nts., 1/15/26 |
2/22/06-10/20/09 | $ | 16,103,746 | $ | 17,530,297 | $ | 1,426,551 | |||||||||
Citigroup Funding, Inc., ALROSA Russia Corporate
Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 |
3/1/11 | 6,434,538 | 6,277,403 | (157,135 | ) | |||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Bonds, 11.25%, 10/25/18 |
12/9/08 | 5,046,239 | 8,200,657 | 3,154,418 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia
(Republic of) Credit Linked Nts., Series 02, 10%, 7/25/24 |
3/28/12 | 4,561,740 | 4,397,882 | (163,858 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, Series 128, 3.006%, 5/6/25 |
10/8/10 | 3,046,209 | 3,145,281 | 99,072 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.343%, 5/6/25 |
4/16/09 | 3,104,325 | 3,300,248 | 195,923 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.266%, 5/6/25 |
8/18/09 | 3,322,990 | 3,511,061 | 188,071 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.239%, 5/6/25 |
9/25/09 | 4,168,480 | 4,394,962 | 226,482 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.187%, 5/6/25 |
12/17/09 | 3,668,093 | 3,850,676 | 182,583 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.134%, 5/6/25 |
3/30/10 | 2,959,559 | 3,092,711 | 133,152 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.10%, 5/6/25 |
5/18/10 | 3,321,933 | 3,459,896 | 137,963 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec.
Credit Linked Bonds, 3.061%, 5/6/25 |
7/16/10 | 3,860,941 | 4,007,571 | 146,630 | ||||||||||||
Deutsche Bank AG, JSC VTB Bank Credit
Linked Nts., 12%, 6/19/12 |
6/30/11 | 25,279,782 | 24,874,173 | (405,609 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2A, 8.265%, 5/22/15 |
5/21/08 | 122,792 | 95,962 | (26,830 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2B, 8.265%, 5/22/15 |
6/12/08 | 214,813 | 167,888 | (46,925 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2C, 8.265%, 5/22/15 |
6/18/08 | 3,259,229 | 2,531,349 | (727,880 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2D, 8.265%, 5/22/15 |
7/8/08 | 237,353 | 184,481 | (52,872 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2E, 8.265%, 5/22/15 |
7/15/08 | 172,730 | 134,029 | (38,701 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2F, 8.265%, 5/22/15 |
8/8/08 | 111,830 | 85,598 | (26,232 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit
Linked Nts., Cl. 2G, 8.265%, 5/22/15 |
8/22/08 | 20,634 | 15,764 | (4,870 | ) | |||||||||||
Deutsche Bank AG, Russian Federation Credit
Linked Nts., 7.35%, 1/22/16 |
2/2/12 | 16,742,908 | 17,285,647 | 542,739 | ||||||||||||
Deutsche Bank AG, Russian Federation Credit
Linked Nts., 7.40%, 6/16/17 |
2/2/12 | 16,620,453 | 17,199,905 | 579,452 | ||||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.248%, 4/30/12 |
9/17/07-2/24/09 | 11,182,366 | 10,760,960 | (421,406 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia
(Republic of) Credit Linked Nts., 10.476%, 2/8/37 |
1/18/07 | 39,372,343 | 13,269,848 | (26,102,495 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01,
2.838%, 12/20/17 |
12/13/07 | 42,470,000 | 38,172,036 | (4,297,964 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01,
9.888%, 8/2/10 |
4/18/08-10/1/08 | 31,666,704 | 3,460,201 | (28,206,503 | ) |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A,
8.253%, 9/17/13 |
10/23/08-2/26/09 | $ | 15,905,529 | $ | 8,894,900 | $ | (7,010,629 | ) | ||||||||
Jaguar Land Rover plc, 8.25% Sr. Nts., 3/15/20 |
3/22/12 | 13,905,517 | 14,198,876 | 293,359 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of)
Credit Linked Bonds, 10.19%, 1/5/16 |
12/6/05 | 11,167,708 | 30,397,750 | 19,230,042 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of)
Credit Linked Bonds, 10.218%, 10/31/16 |
10/16/06 | 14,183,697 | 37,950,723 | 23,767,026 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of)
Credit Linked Nts., 11%, 7/28/20 |
8/24/10 | 8,639,316 | 8,765,662 | 126,346 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of)
Credit Linked Nts., Series 2, 11%, 7/28/20 |
10/6/10 | 31,291,516 | 31,328,663 | 37,147 | ||||||||||||
JPMorgan Hipotecaria su Casita, 8.103%
Sec. Nts., 8/26/35 |
3/21/07 | 3,092,229 | 3,032,161 | (60,068 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of)
Credit Linked Nts., 10%, 11/17/16 |
10/20/06 | 5,679,060 | 7,845,932 | 2,166,872 | ||||||||||||
Russian Federation Unsec. Bonds, 4.50%, 4/4/22 |
3/28/12 | 26,149,562 | 26,524,380 | 374,818 | ||||||||||||
Russian Federation Unsec. Bonds, 5.625%, 4/4/42 |
3/28/12 | 38,543,190 | 39,845,835 | 1,302,645 | ||||||||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/17 |
3/29/12 | 22,076,003 | 22,064,938 | (11,065 | ) | |||||||||||
$ | 437,706,057 | $ | 424,256,306 | $ | (13,449,751 | ) | ||||||||||
8. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See Note 1 of the accompanying Notes. | |
9. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
10. | This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See Note 1 of the accompanying Notes. | |
11. | Non-income producing security. | |
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 30, 2012, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2011 | Additions | Reductions | March 30, 2012 | |||||||||||||
Oppenheimer Institutional Money
Market Fund, Cl. E |
236,989,845 | 3,039,337,111 | 2,779,722,907 | 496,604,049 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 496,604,049 | $ | 395,104 |
13. | Rate shown is the 7-day yield as of March 30, 2012. |
Geographic Holdings | Value | Percent | ||||||
Japan |
$ | 1,844,918,929 | 14.5 | % | ||||
United States |
1,077,924,437 | 8.5 | ||||||
Brazil |
999,896,974 | 7.8 | ||||||
Mexico |
960,076,105 | 7.5 | ||||||
Russia |
902,990,231 | 7.1 | ||||||
Australia |
679,301,148 | 5.3 | ||||||
United Kingdom |
661,301,075 | 5.2 |
Geographic Holdings | Value | Percent | ||||||
South Africa |
$ | 629,347,947 | 4.9 | % | ||||
Turkey |
479,738,972 | 3.8 | ||||||
Italy |
406,293,001 | 3.2 | ||||||
Colombia |
342,259,485 | 2.7 | ||||||
Poland |
340,837,289 | 2.7 | ||||||
Indonesia |
334,049,781 | 2.6 | ||||||
Peru |
269,918,943 | 2.1 | ||||||
France |
260,456,318 | 2.0 | ||||||
Venezuela |
212,411,258 | 1.7 | ||||||
Sweden |
199,071,322 | 1.6 | ||||||
Belgium |
189,683,958 | 1.5 | ||||||
Spain |
187,770,322 | 1.5 | ||||||
Canada |
176,753,422 | 1.4 | ||||||
Kazakhstan |
143,472,584 | 1.1 | ||||||
Hungary |
134,824,445 | 1.1 | ||||||
The Netherlands |
126,820,072 | 1.0 | ||||||
European Union |
82,909,527 | 0.7 | ||||||
Austria |
82,357,946 | 0.6 | ||||||
Ukraine |
79,970,359 | 0.6 | ||||||
Israel |
78,721,004 | 0.6 | ||||||
Philippines |
77,036,969 | 0.6 | ||||||
Uruguay |
70,126,053 | 0.5 | ||||||
Argentina |
65,743,491 | 0.5 | ||||||
Qatar |
58,209,194 | 0.5 | ||||||
Germany |
50,063,159 | 0.4 | ||||||
Malaysia |
48,038,723 | 0.4 | ||||||
Romania |
44,745,750 | 0.4 | ||||||
India |
44,286,026 | 0.3 | ||||||
Chile |
43,981,854 | 0.3 | ||||||
Denmark |
42,753,455 | 0.3 | ||||||
Panama |
42,023,220 | 0.3 | ||||||
Finland |
31,336,600 | 0.2 | ||||||
Switzerland |
31,323,634 | 0.2 | ||||||
Trinidad & Tobago |
27,917,780 | 0.2 | ||||||
Korea, Republic of South |
26,902,419 | 0.2 | ||||||
Sri Lanka |
22,488,404 | 0.2 | ||||||
Norway |
22,064,938 | 0.2 | ||||||
Latvia |
21,496,831 | 0.2 | ||||||
Lithuanua |
21,367,500 | 0.2 | ||||||
Singapore |
20,867,922 | 0.2 | ||||||
Dominican Republic |
17,530,297 | 0.1 | ||||||
United Arab Emirates |
12,743,700 | 0.1 | ||||||
Ghana |
11,712,750 | 0.1 | ||||||
Supranational |
10,908,603 | 0.1 | ||||||
Total |
$ | 12,749,746,126 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Bank of America: |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Sell | 5,497,400 | CLP | 4/17/12 | $ | 11,227,153 | $ | | $ | 43,346 | ||||||||||||||
Colombian Peso (COP) |
Sell | 29,738,000 | COP | 5/29/12 | 16,517,348 | 77,518 | | |||||||||||||||||
Euro (EUR) |
Buy | 98,640 | EUR | 4/17/12-5/23/12 | 131,584,086 | 1,377,102 | 250,836 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Bank of America: Continued |
||||||||||||||||||||||||
Euro (EUR) |
Sell | 14,531 | EUR | 4/17/12-4/30/12 | $ | 19,382,207 | $ | | $ | 431,271 | ||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 212,993,000 | IDR | 4/17/12 | 23,254,150 | 75,088 | 179,482 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 270,417,000 | IDR | 4/9/12 | 29,546,843 | | 140,906 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 968,336 | MYR | 4/17/12-6/26/12 | 314,642,198 | 1,800,037 | 1,380,893 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 4,380 | MYR | 4/17/12 | 1,427,982 | | 9,837 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 20,200 | MXN | 4/17/12 | 1,576,292 | 10,151 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 454,010 | TWD | 4/12/12 | 15,383,442 | | 53,824 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 353,400 | TWD | 4/17/12 | 11,974,695 | | 111,977 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 100,655 | TRY | 4/25/12 | 56,150,397 | | 2,374,079 | |||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 62,640 | PEN | 4/12/12 | 23,483,984 | | 275,477 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 83,543 | PLZ | 4/2/12 | 26,874,418 | 207,168 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 204,890 | PLZ | 4/10/12 | 65,835,893 | | 1,167,185 | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 98,440 | SGD | 4/17/12-4/30/12 | 78,312,040 | | 366,421 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 6,410 | SGD | 4/17/12 | 5,099,309 | | 29,110 | |||||||||||||||||
3,547,064 | 6,814,644 | |||||||||||||||||||||||
Bank Paribas Asia |
||||||||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 2,134,000 | HUF | 4/25/12 | 9,631,809 | | 225,500 | |||||||||||||||||
Barclays Capital: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 8,278 | GBP | 4/17/12 | 13,239,123 | 90,171 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 16,288 | GBP | 4/17/12 | 26,049,630 | | 384,986 | |||||||||||||||||
Chilean Peso (CLP) |
Buy | 5,493,000 | CLP | 4/17/12 | 11,218,167 | | 66,887 | |||||||||||||||||
Chinese Renminbi (Yuan) (CNY) |
Sell | 21,240 | CNY | 4/17/12 | 3,371,589 | 1,981 | | |||||||||||||||||
Euro (EUR) |
Buy | 219,628 | EUR | 4/17/12-7/23/12 | 292,996,236 | 1,843,060 | 14,598 | |||||||||||||||||
Euro (EUR) |
Sell | 37,940 | EUR | 4/3/12-4/17/12 | 50,604,300 | | 166,448 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 1,164,000 | HUF | 4/25/12 | 5,253,714 | | 25,916 | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 16,866,000 | HUF | 6/12/12 | 75,641,952 | 10,899,924 | 146,013 | |||||||||||||||||
Israeli Shekel (ILS) |
Buy | 95,390 | ILS | 4/2/13 | 25,370,920 | 484,408 | | |||||||||||||||||
Israeli Shekel (ILS) |
Sell | 95,390 | ILS | 4/2/13 | 25,370,920 | | 188,101 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 642,400 | MXN | 10/18/12 | 49,288,894 | | 1,500,164 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 22,700 | TWD | 4/17/12 | 769,173 | 723 | | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 100,610 | TWD | 4/17/12 | 3,409,095 | | 30,426 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 3,600 | NOK | 4/17/12 | 631,750 | | 2,410 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 1,520 | PLZ | 5/23/12 | 486,078 | 1,737 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 5,230,710 | RUR | 4/17/12-5/2/12 | 177,637,599 | 512,700 | 21,509 | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 4,483,200 | RUR | 9/28/12-10/2/12 | 148,975,204 | 22,929 | 55,675 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 213,640 | SEK | 4/17/12 | 32,269,849 | 779,836 | | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 268,790 | SEK | 4/30/12 | 40,578,446 | | 468,318 | |||||||||||||||||
14,637,469 | 3,071,451 | |||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 14,286 | AUD | 4/17/12 | 14,769,770 | | 550,436 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 275,144 | AUD | 4/17/12-5/23/12 | 283,551,560 | 9,776,565 | | |||||||||||||||||
Brazilian Real (BRR) |
Buy | 73,010 | BRR | 5/3/12 | 39,698,359 | | 220,720 | |||||||||||||||||
Brazilian Real (BRR) |
Sell | 186,543 | BRR | 5/3/12 | 101,430,640 | 518,635 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 8,790 | GBP | 5/23/12 | 14,054,391 | | 159,387 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Citigroup: Continued |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Buy | 9,664,400 | CLP | 4/17/12-6/14/12 | $ | 19,618,389 | $ | | $ | 151,676 | ||||||||||||||
Chilean Peso (CLP) |
Sell | 19,230,000 | CLP | 4/17/12 | 39,272,775 | 90,847 | 130,630 | |||||||||||||||||
Chinese Renminbi (Yuan)
(CNY) |
Buy | 21,240 | CNY | 4/17/12 | 3,371,589 | | 3,321 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 92,492,487 | COP | 4/2/12-4/17/12 | 51,684,975 | 525,850 | 37,461 | |||||||||||||||||
Colombian Peso (COP) |
Sell | 172,616,100 | COP | 4/9/12-6/12/12 | 96,093,435 | 134,793 | 239,927 | |||||||||||||||||
Euro (EUR) |
Buy | 45,350 | EUR | 4/26/12 | 60,490,264 | 1,345,295 | | |||||||||||||||||
Euro (EUR) |
Sell | 61,980 | EUR | 4/26/12-5/10/12 | 82,673,852 | 741,666 | 1,368,832 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 16,866,000 | HUF | 6/12/12 | 75,641,952 | 525,041 | | |||||||||||||||||
Indian Rupee (INR) |
Buy | 15,030 | INR | 4/17/12 | 293,843 | 2,470 | | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 231,400 | JPY | 4/17/12 | 2,796,142 | 11,582 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 678,000 | JPY | 4/17/12 | 8,192,672 | 317,721 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 402,000 | MXN | 10/18/12 | 30,843,922 | 60,844 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 1,762,750 | MXN | 4/17/12-10/18/12 | 136,670,141 | 574,187 | 550,394 | |||||||||||||||||
Philippines Peso (PHP) |
Buy | 60,750 | PHP | 4/17/12 | 1,413,159 | | 4,246 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 25,880 | SGD | 4/17/12 | 20,588,163 | 4,583 | 82 | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 179,530 | SEK | 5/23/12 | 27,078,057 | | 782,823 | |||||||||||||||||
Swiss Franc (CHF) |
Sell | 3,315 | CHF | 5/10/12 | 3,674,121 | | 21,731 | |||||||||||||||||
14,630,079 | 4,221,666 | |||||||||||||||||||||||
Credit Suisse: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 11,390 | GBP | 5/23/12 | 18,211,548 | | 238,579 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 152,460 | TRY | 7/17/13 | 78,024,833 | | 4,155,368 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 105,645 | PLZ | 4/10/12 | 33,946,180 | 630,192 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 926,530 | RUR | 4/26/12 | 31,475,998 | 74,589 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 11,520 | ZAR | 4/17/12 | 1,498,043 | | 19,344 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 2,175,650 | ZAR | 4/11/12-5/15/12 | 282,428,550 | 20,387 | 10,445,799 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 268,790 | SEK | 4/30/12 | 40,578,446 | 870,077 | | |||||||||||||||||
1,595,245 | 14,859,090 | |||||||||||||||||||||||
Deutsche Bank Securities, Inc.: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 293,310 | AUD | 4/30/12 | 302,796,618 | 949,352 | | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 4,367,000 | HUF | 4/25/12 | 19,710,455 | 29,306 | 49,609 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 760,190 | INR | 4/17/12 | 14,862,037 | 176,073 | 28,447 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 73,435,400 | IDR | 4/17/12 | 8,017,530 | 169,248 | | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 60,085 | MYR | 5/10/12 | 19,557,240 | | 394,611 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 100,250 | MXN | 4/17/12 | 7,822,936 | | 79,128 | |||||||||||||||||
Philippines Peso (PHP) |
Sell | 749,000 | PHP | 4/19/12 | 17,420,582 | | 202,191 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 21,285 | PLZ | 4/10/12 | 6,839,362 | 128,556 | | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 20,940 | RUR | 4/17/12 | 712,294 | | 1,114 | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 176,169 | SGD | 4/17/12 | 140,146,679 | 3,084,729 | 1,182 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 1,155,130 | ZAR | 6/12/12 | 148,975,574 | 2,385,871 | | |||||||||||||||||
South Korean Won (KRW) |
Buy | 193,699,000 | KRW | 4/17/12-6/19/12 | 169,965,017 | | 413,352 | |||||||||||||||||
6,923,135 | 1,169,634 | |||||||||||||||||||||||
Goldman Sachs & Co.: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 12,748 | GBP | 4/17/12 | 20,388,058 | 404,409 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 65,199 | GBP | 4/17/12-4/30/12 | 104,265,875 | | 2,549,870 | |||||||||||||||||
Czech Koruna (CZK) |
Sell | 331,050 | CZK | 4/17/12 | 17,810,884 | | 897,546 | |||||||||||||||||
Euro (EUR) |
Sell | 282,440 | EUR | 4/25/12 | 376,729,825 | | 8,357,455 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Goldman Sachs & Co.: Continued |
||||||||||||||||||||||||
Hungarian Forint (HUF) |
Buy | 9,016,000 | HUF | 4/25/12 | $ | 40,693,716 | $ | 529,751 | $ | | ||||||||||||||
Hungarian Forint (HUF) |
Sell | 6,266,000 | HUF | 4/25/12 | 28,281,591 | | 1,336,915 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 27,069,000 | JPY | 5/23/12 | 327,195,915 | | 10,339,084 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 1,841,900 | MXN | 5/3/12-12/13/12 | 142,586,024 | 7,297 | 1,158,056 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 83,640 | TRY | 4/25/12 | 46,658,578 | 3,502,064 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 57,973 | TRY | 4/3/12-4/25/12 | 32,341,260 | 151,472 | 167,414 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 176,940 | PLZ | 4/10/12 | 56,854,912 | 1,533,713 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 153,920 | PLZ | 4/10/12-5/23/12 | 49,338,053 | | 159,068 | |||||||||||||||||
South African Rand (ZAR) |
Buy | 1,255 | ZAR | 4/17/12 | 163,198 | 1,467 | | |||||||||||||||||
South African Rand (ZAR) |
Sell | 10,870 | ZAR | 4/17/12 | 1,413,518 | | 12,710 | |||||||||||||||||
South Korean Won (KRW) |
Buy | 87,665,000 | KRW | 4/19/12 | 77,256,447 | 203,933 | 268,295 | |||||||||||||||||
6,334,106 | 25,246,413 | |||||||||||||||||||||||
HSBC: |
||||||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 165,608,000 | IDR | 5/9/12 | 18,040,011 | | 340,455 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 152,460 | TRY | 7/17/13 | 78,024,833 | | 260,148 | |||||||||||||||||
| 600,603 | |||||||||||||||||||||||
JP Morgan Chase: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 13,569 | AUD | 4/17/12 | 14,028,490 | | 471,034 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 56,221 | AUD | 4/17/12-6/29/12 | 57,708,981 | 257,654 | | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 1,515 | CAD | 4/17/12 | 1,518,364 | | 12,325 | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 7,129 | CAD | 4/2/12-4/17/12 | 7,144,679 | | 15,354 | |||||||||||||||||
Colombian Peso (COP) |
Buy | 42,798,000 | COP | 4/17/12 | 23,890,486 | 87,846 | 46,563 | |||||||||||||||||
Czech Koruna (CZK) |
Buy | 331,050 | CZK | 4/17/12 | 17,810,884 | 186,047 | | |||||||||||||||||
Euro (EUR) |
Sell | 441,976 | EUR | 4/2/12-7/23/12 | 589,540,580 | | 13,944,809 | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 2,003,000 | HUF | 10/24/12 | 8,836,629 | 227,548 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 307,461,000 | IDR | 5/9/12 | 33,492,342 | | 689,752 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 17,820 | MYR | 4/17/12 | 5,809,736 | | 49,685 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 736,105 | MXN | 4/17/12-6/29/12 | 57,088,788 | 30,259 | 75,800 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 56,100 | TWD | 4/17/12 | 1,900,907 | 1,144 | | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 1,400 | NOK | 4/17/12 | 245,680 | 202 | | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 12,970 | SGD | 4/17/12 | 10,317,947 | 9,449 | 36,364 | |||||||||||||||||
South Korean Won (KRW) |
Buy | 3,269,600 | KRW | 4/17/12 | 2,881,848 | 1,739 | 989 | |||||||||||||||||
801,888 | 15,342,675 | |||||||||||||||||||||||
Nomura Securities: |
||||||||||||||||||||||||
Canadian Dollar (CAD) |
Sell | 6,325 | CAD | 4/17/12 | 6,339,046 | 8,652 | 14,791 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 678,000 | JPY | 4/17/12 | 8,192,672 | | 137,590 | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 1,176 | SEK | 4/17/12 | 177,632 | 1,687 | | |||||||||||||||||
Swedish Krona (SEK) |
Sell | 210,640 | SEK | 4/17/12 | 31,816,705 | | 865,901 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 20,640 | CHF | 5/10/12 | 22,875,975 | | 203,271 | |||||||||||||||||
10,339 | 1,221,553 | |||||||||||||||||||||||
RBS Greenwich Capital: |
||||||||||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 10,038 | NZD | 4/17/12 | 8,209,710 | | 162,082 | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 12,312 | NZD | 4/17/12 | 10,069,531 | 1,149 | 77,950 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 54,450 | CHF | 4/26/12 | 60,337,581 | 1,472,716 | | |||||||||||||||||
Swiss Franc (CHF) |
Sell | 54,450 | CHF | 4/26/12 | 60,337,581 | | 1,472,525 | |||||||||||||||||
1,473,865 | 1,712,557 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Amount | Expiration | Unrealized | Unrealized | ||||||||||||||||||||
Contract Description | Buy/Sell | (000s) | Date | Value | Appreciation | Depreciation | ||||||||||||||||||
Standard Chartered Bank |
||||||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 205,140 | MYR | 5/10/12 | $ | 66,771,611 | $ | | $ | 1,245,630 | ||||||||||||||
State Street: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 4,760 | AUD | 4/17/12 | 4,921,189 | | 52,821 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 13,510 | AUD | 4/17/12 | 13,967,492 | 199,644 | | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 27,300 | TRY | 4/17/12 | 15,257,460 | 260,225 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 100,440 | ZAR | 4/17/12 | 13,061,064 | 1,476 | 87,586 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 585 | ZAR | 4/17/12 | 76,073 | 89 | | |||||||||||||||||
461,434 | 140,407 | |||||||||||||||||||||||
UBS Investment Bank |
||||||||||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 418,110,000 | IDR | 4/9/12-7/9/12 | 45,528,112 | 14,458 | 623,524 | |||||||||||||||||
Westpac: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 19,991 | AUD | 4/17/12 | 20,667,960 | | 297,317 | |||||||||||||||||
Australian Dollar (AUD) |
Sell | 29,152 | AUD | 4/17/12 | 30,139,181 | 548,404 | | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 21,552 | CAD | 4/17/12 | 21,599,860 | 61,369 | 63,233 | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 22,010 | CAD | 4/17/12 | 22,058,877 | | 133,614 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 573,000 | JPY | 4/17/12 | 6,923,895 | | 50,896 | |||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 16,042 | NZD | 4/17/12 | 13,120,161 | 65,473 | 1,506 | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 22,448 | NZD | 4/17/12 | 18,359,392 | 159,121 | 49,363 | |||||||||||||||||
834,367 | 595,929 | |||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 51,263,449 | $ | 77,091,276 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation/ | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Euro-Bundesobligation |
Sell | 885 | 6/7/12 | $ | 146,490,817 | $ | 137,908 | |||||||||||||
Euro-Bundesobligation |
Sell | 415 | 6/7/12 | 76,652,596 | (255,049 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 1,321 | 6/29/12 | 161,874,102 | 531,312 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 498 | 6/20/12 | 64,483,219 | 209,531 | |||||||||||||||
$ | 623,702 | |||||||||||||||||||
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Euro (EUR) |
Put | 200,000,000 | 1EUR per 1.23 | USD | 2/19/13 | $ | 8,366,460 | $ | (4,936,642 | ) | $ | 3,429,818 | ||||||||||||||||
Euro (EUR) |
Call | 125,000,000 | 1EUR per 1.40 | USD | 2/21/13 | 4,098,500 | (3,429,923 | ) | 668,577 | |||||||||||||||||||
Euro (EUR) |
Call | 125,000,000 | 1EUR per 1.41 | USD | 2/25/13 | 3,825,610 | (3,436,988 | ) | 388,622 | |||||||||||||||||||
Euro (EUR) FX
Futures, 5/21/12 |
Call | 2,146 | 1.400 | 5/7/12 | 238,099 | (160,950 | ) | 77,149 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 1,073 | 1.375 | 5/7/12 | 387,278 | (335,313 | ) | 51,965 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 537 | 1.370 | 5/7/12 | 193,641 | (214,800 | ) | (21,159 | ) |
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 268 | 1.400 | 6/11/12 | $ | 93,259 | $ | (100,500 | ) | $ | (7,241 | ) | ||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 143 | 1.365 | 4/9/12 | 49,307 | (2,681 | ) | 46,626 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Call | 135 | 1.420 | 6/11/12 | 114,477 | (25,313 | ) | 89,164 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 2,382 | 1.250 | 4/9/12 | 234,788 | (14,888 | ) | 219,900 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 2,061 | 1.260 | 4/9/12 | 385,323 | (12,881 | ) | 372,442 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,600 | 1.255 | 4/9/12 | 277,488 | (10,000 | ) | 267,488 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,079 | 1.150 | 6/11/12 | 825,542 | (20,231 | ) | 805,311 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,075 | 1.200 | 5/7/12 | 226,750 | (6,719 | ) | 220,031 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,075 | 1.250 | 5/7/12 | 253,625 | (67,188 | ) | 186,437 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,074 | 1.220 | 5/7/12 | 138,793 | (20,138 | ) | 118,655 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 1,071 | 1.260 | 5/7/12 | 185,744 | (120,488 | ) | 65,256 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 806 | 1.200 | 6/11/12 | 267,059 | (70,525 | ) | 196,534 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 728 | 1.300 | 4/9/12 | 39,284 | (18,200 | ) | 21,084 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 350 | 1.275 | 4/9/12 | 25,722 | (2,188 | ) | 23,534 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 154 | 1.295 | 4/9/12 | 3,531 | (1,925 | ) | 1,606 | ||||||||||||||||||||
Euro (EUR) FX
Futures, 6/18/12 |
Put | 23 | 1.265 | 4/9/12 | 8,301 | (144 | ) | 8,157 | ||||||||||||||||||||
Euro (EUR)
FX Futures, 6/18/12 |
Put | 8 | 1.220 | 6/11/12 | 1,487 | (1,300 | ) | 187 | ||||||||||||||||||||
Japanese Yen (JPY) |
Call | 8,400,000,000 | 1USD per 82 | JPY | 9/20/12 | 2,246,487 | (2,769,060 | ) | (522,573 | ) | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 7,436,725,000 | 1USD per 82 | JPY | 9/20/12 | 1,918,131 | (2,451,516 | ) | (533,385 | ) | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 7,283,000,000 | 1USD per 90 | JPY | 3/29/13 | 1,379,724 | (1,477,502 | ) | (97,778 | ) | ||||||||||||||||||
Japanese Yen (JPY) Futures, 6/18/12 |
Call | 285 | 131.000 | 4/6/12 | 28,281 | (1,781 | ) | 26,500 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 269 | 138.000 | 6/11/12 | 40,936 | (6,725 | ) | 34,211 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 268 | 136.000 | 6/11/12 | 12,979 | (11,725 | ) | 1,254 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 216 | 136.500 | 4/6/12 | 35,976 | (1,350 | ) | 34,626 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 215 | 124.000 | 4/9/12 | 29,830 | (16,125 | ) | 13,705 | ||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 215 | 141.000 | 6/11/12 | 31,912 | (2,688 | ) | 29,224 |
Unrealized | ||||||||||||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Appreciation/ | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | (Depreciation) | |||||||||||||||||||||
Japanese Yen (JPY)
Futures, 6/18/12 |
Call | 2 | 128.000 | 4/9/12 | $ | 397 | $ | (13 | ) | $ | 384 | |||||||||||||||||
U.S. Long Bonds
Futures, 6/20/12 |
Put | 996 | 136.000 | 4/9/12 | 138,041 | (295,688 | ) | (157,647 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 5,359 | 127.000 | 4/23/12 | 1,551,100 | (753,609 | ) | 797,491 | ||||||||||||||||||||
U.S. Treasury Nts., 10
yr. Futures, 6/20/12 |
Put | 2,138 | 126.000 | 4/23/12 | 108,510 | (167,031 | ) | (58,521 | ) | |||||||||||||||||||
U.S. Treasury Nts.,
10 yr. Futures, 6/20/12 |
Put | 2,042 | 124.500 | 4/23/12 | 208,854 | (63,813 | ) | 145,041 | ||||||||||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 |
Put | 1,297 | 125.000 | 4/23/12 | 59,007 | (60,797 | ) | (1,790 | ) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 |
Put | 1,218 | 128.000 | 4/9/12 | 57,935 | (114,188 | ) | (56,253 | ) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 |
Put | 5,176 | 124.500 | 5/29/12 | 882,482 | (727,875 | ) | 154,607 | ||||||||||||||||||||
U.S. Treasury Nts., 10 yr.
Futures, 6/20/12 |
Put | 1,193 | 125.500 | 5/29/12 | 203,401 | (242,328 | ) | (38,927 | ) | |||||||||||||||||||
United States Dollar
(USD) |
Call | 125,000,000 | 1EUR per 1.39USD | 8/2/12 | 1,938,253 | (1,312,100 | ) | 626,153 | ||||||||||||||||||||
United States Dollar
(USD) |
Call | 125,000,000 | 1EUR per 1.41USD | 2/25/13 | 4,017,809 | (3,436,988 | ) | 580,821 | ||||||||||||||||||||
United States Dollar
(USD) |
Call | 125,000,000 | 1EUR per 1.42USD | 2/26/13 | 3,805,116 | (3,031,113 | ) | 774,003 | ||||||||||||||||||||
United States Dollar
(USD) |
Call | 125,000,000 | 1EUR per 1.42USD | 2/26/13 | 3,846,348 | (3,066,370 | ) | 779,978 | ||||||||||||||||||||
United States Dollar
(USD) |
Put | 125,000,000 | 1EUR per 1.235USD | 8/2/12 | 2,410,665 | (875,359 | ) | 1,535,306 | ||||||||||||||||||||
$ | 45,192,242 | $ | (33,895,669 | ) | $ | 11,296,573 | ||||||||||||||||||||||
EUR
|
Euro | |
JPY
|
Japanese Yen |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Brazil (Federative Republic of) |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | $ | 34,920 | 1.0 | % | 6/20/17 | $ | 311,120 | $ | (414,220 | ) | $ | (103,100 | ) | ||||||||||||||
Total | 34,920 | 311,120 | (414,220 | ) | (103,100 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for
Finansbank AS |
||||||||||||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 10,410 | 1.3 | 3/24/13 | | (219,564 | ) | (219,564 | ) | |||||||||||||||||||
Total | 10,410 | | (219,564 | ) | (219,564 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Payment | Unrealized | ||||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | Termination | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Russian Federation |
||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
Buy | $ | 80,770 | 1.0 | % | 6/20/17 | $ | (3,044,200 | ) | $ | 3,350,051 | $ | 305,851 | |||||||||||||||
Total | 80,770 | (3,044,200 | ) | 3,350,051 | 305,851 | |||||||||||||||||||||||
Turkey (Republic of) |
||||||||||||||||||||||||||||
Goldman Sachs Bank USA |
Sell | 80,770 | 1.0 | 6/20/17 | 4,513,526 | (5,032,157 | ) | (518,631 | ) | |||||||||||||||||||
Total | 80,770 | 4,513,526 | (5,032,157 | ) | (518,631 | ) | ||||||||||||||||||||||
United Mexican States |
||||||||||||||||||||||||||||
HSBC Bank USA NA |
Sell | 900 | 1.0 | 6/20/17 | 4,456 | (8,811 | ) | (4,355 | ) | |||||||||||||||||||
Total | 900 | 4,456 | (8,811 | ) | (4,355 | ) | ||||||||||||||||||||||
Grand Total Buys | (3,044,200 | ) | 3,350,051 | 305,851 | ||||||||||||||||||||||||
Grand Total Sells | 4,829,102 | (5,674,752 | ) | (845,650 | ) | |||||||||||||||||||||||
Total Credit Default Swaps | $ | 1,784,902 | $ | (2,324,701 | ) | $ | (539,799 | ) | ||||||||||||||||||||
Type of Reference | Total Maximum Potential | |||||||||||
Asset on which | Payments for Selling | Reference | ||||||||||
the Fund Sold | Credit Protection | Amount | Asset Rating | |||||||||
Protection | (Undiscounted) | Recoverable* | Range** | |||||||||
Investment Grade Single Name Corporate Debt |
$ | 10,410,000 | $ | | BBB- | |||||||
Investment Grade Sovereign Debt |
35,820,000 | | BBB | |||||||||
Non-Investment Grade Sovereign Debt |
80,770,000 | | BB | |||||||||
Total |
$ | 127,000,000 | $ | | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
BZDI: |
||||||||||||||||||||
Bank of America NA |
$80,150 | BRR | BZDI | 9.565 | % | 1/2/14 | $ | 71,585 | ||||||||||||
Citibank NA |
80,200 | BRR | BZDI | 9.490 | 1/2/14 | 44,097 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
106,930 | BRR | BZDI | 11.390 | 1/5/15 | 1,784,200 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
137,000 | BRR | BZDI | 10.380 | 1/2/17 | (91,026 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) |
246,895 | BRR | BZDI | 9.490 | 1/2/14 | 87,072 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
80,200 | BRR | BZDI | 9.480 | 1/2/14 | 17,491 | ||||||||||||||
JPMorgan Chase Bank NA |
300,000 | BRR | BZDI | 10.810 | 1/2/17 | 2,173,212 | ||||||||||||||
Total |
1,031,375 | BRR | 4,086,631 |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
MXN TIIE BANXICO: |
||||||||||||||||||||
Bank of America NA |
489,700 | MXN | MXN TIIE BANXICO | 6.140 | % | 2/13/19 | $ | (118,002 | ) | |||||||||||
Credit Suisse International |
135,500 | MXN | MXN TIIE BANXICO | 7.010 | 7/24/31 | (790,035 | ) | |||||||||||||
Goldman Sachs Group, Inc. (The) |
480,600 | MXN | MXN TIIE BANXICO | 6.140 | 2/13/19 | (115,810 | ) | |||||||||||||
Merrill Lynch & Co., Inc. |
70,365 | MXN | MXN TIIE BANXICO | 6.990 | 7/24/31 | (421,905 | ) | |||||||||||||
Total |
1,176,165 | MXN | (1,445,752 | ) | ||||||||||||||||
Six-Month AUD BBR BBSW: |
||||||||||||||||||||
Barclays Bank plc |
101,000 | AUD | 4.533 | % | Six-Month AUD BBR BBSW | 9/14/17 | 352,537 | |||||||||||||
Barclays Bank plc |
236,985 | AUD | Three-Month AUD BBR BBSW | 4.140 | 9/14/14 | 750,670 | ||||||||||||||
Total |
337,985 | AUD | 1,103,207 | |||||||||||||||||
Six-Month EUR EURIBOR: |
||||||||||||||||||||
Bank of America Merrill Lynch |
27,080 | EUR | Six-Month EUR EURIBOR | 2.218 | 1/4/21 | 104,525 | ||||||||||||||
Royal Bank of Scotland plc (The) |
101,735 | EUR | Six-Month EUR EURIBOR | 1.475 | 1/4/17 | (414,686 | ) | |||||||||||||
Total |
128,815 | EUR | (310,161 | ) | ||||||||||||||||
Three-Month CAD BA CDOR: |
||||||||||||||||||||
Bank of America Merrill Lynch |
66,380 | CAD | Three-Month CAD BA CDOR | 1.861 | 3/28/17 | 34,483 | ||||||||||||||
JPMorgan Chase Bank NA |
90,650 | CAD | Three-Month CAD BA CDOR | 2.390 | 3/6/22 | (1,145,300 | ) | |||||||||||||
Total |
157,030 | CAD | (1,110,817 | ) | ||||||||||||||||
Three-Month USD BBA LIBOR: |
||||||||||||||||||||
Bank of America NA |
34,460 | CAD | 1.664 | Three-Month USD BBA LIBOR | 2/25/19 | 166,192 | ||||||||||||||
Goldman Sachs Group, Inc. (The) |
34,460 | 1.669 | Three-Month USD BBA LIBOR | 2/23/19 | 154,660 | |||||||||||||||
JPMorgan Chase Bank NA |
89,745 | 2.040 | Three-Month USD BBA LIBOR | 3/8/22 | 1,845,566 | |||||||||||||||
Total |
158,665 | 2,166,418 |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000s) | the Fund | the Fund | Date | Value | |||||||||||||||
Three-Month ZAR JIBAR SAFEX: |
||||||||||||||||||||
Barclays Bank plc |
135,500 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.480 | % | 8/17/21 | $ | (92,275 | ) | |||||||||||
Goldman Sachs Group, Inc. (The) |
137,600 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.480 | 8/17/21 | (93,705 | ) | |||||||||||||
HSBC Bank USA NA |
135,500 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.470 | 8/17/21 | (104,486 | ) | |||||||||||||
Total |
408,600 | ZAR | (290,466 | ) | ||||||||||||||||
Total Interest Rate Swaps | $ | 4,199,060 | ||||||||||||||||||
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
EUR
|
Euro | |
MXN
|
Mexican Nuevo Peso | |
ZAR
|
South African Rand | |
Abbreviations/Definitions are as follows:
|
||
BA CDOR
|
Canada Bankers Acceptances Deposit Offering Rate | |
BANXICO
|
Banco de Mexico | |
BBA
|
British Bankers Association | |
BBA LIBOR
|
British Bankers Association London-Interbank Offered Rate | |
BBR BBSW
|
Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI
|
Brazil Interbank Deposit Rate | |
EURIBOR
|
Euro Interbank Offered Rate | |
JIBAR
|
South Africa Johannesburg Interbank Agreed Rate | |
SAFEX
|
South African Futures Exchange | |
TIIE
|
Interbank Equilibrium Interest Rate |
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||||
Bank of America Merrill Lynch: |
||||||||||||
Interest Rate | 66,380 | CAD | $ | 34,483 | ||||||||
Interest Rate | 27,080 | EUR | 104,525 | |||||||||
139,008 |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000s) | Value | |||||||
Bank of America NA: |
||||||||||
Interest Rate | 80,150 | BRR | $ | 71,585 | ||||||
Interest Rate | 489,700 | MXN | (118,002 | ) | ||||||
Interest Rate | 34,460 | 166,192 | ||||||||
119,775 | ||||||||||
Barclays Bank plc: |
||||||||||
Interest Rate | 337,985 | AUD | 1,103,207 | |||||||
Interest Rate | 135,500 | ZAR | (92,275 | ) | ||||||
1,010,932 | ||||||||||
Citibank NA |
Interest Rate | 80,200 | BRR | 44,097 | ||||||
Credit Suisse International |
Interest Rate | 135,500 | MXN | (790,035 | ) | |||||
Deutsche Bank AG |
Credit Default Sell Protection | 34,920 | (414,220 | ) | ||||||
Goldman Sachs Bank USA: |
||||||||||
Credit Default Buy Protection | 80,770 | 3,350,051 | ||||||||
Credit Default Sell Protection | 80,770 | (5,032,157 | ) | |||||||
(1,682,106 | ) | |||||||||
Goldman Sachs Group, Inc. (The): |
||||||||||
Interest Rate | 571,025 | BRR | 1,797,737 | |||||||
Interest Rate | 480,600 | MXN | (115,810 | ) | ||||||
Interest Rate | 34,460 | 154,660 | ||||||||
Interest Rate | 137,600 | ZAR | (93,705 | ) | ||||||
1,742,882 | ||||||||||
HSBC Bank USA NA: |
||||||||||
Credit Default Sell Protection | 900 | (8,811 | ) | |||||||
Interest Rate | 135,500 | ZAR | (104,486 | ) | ||||||
(113,297 | ) | |||||||||
JPMorgan Chase Bank NA: |
||||||||||
Interest Rate | 300,000 | BRR | 2,173,212 | |||||||
Interest Rate | 90,650 | CAD | (1,145,300 | ) | ||||||
Interest Rate | 89,745 | 1,845,566 | ||||||||
2,873,478 | ||||||||||
Merrill Lynch & Co., Inc. |
Interest Rate | 70,365 | MXN | (421,905 | ) | |||||
Morgan Stanley Capital Services, Inc. |
Credit Default Sell Protection | 10,410 | (219,564 | ) | ||||||
Royal Bank of Scotland plc (The) |
Interest Rate | 101,735 | EUR | (414,686 | ) | |||||
Total Swaps | $ | 1,874,359 | ||||||||
AUD
|
Australian Dollar | |
BRR
|
Brazilian Real | |
CAD
|
Canadian Dollar | |
EUR
|
Euro | |
MXN
|
Mexican Nuevo Peso | |
ZAR
|
South African Rand |
Underlying | ||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||
MXN TIIE BANXICO |
||||||||||||||||||||
JPMorgan Chase Bank NA
|
Interest Rate Swaption (European); Swap Terms: Paid: MXN TIIE BANXICO; Received: 6.45%; Termination Date: 8/14/19 | Interest Rate Pay Floating | 498,500 | MXN | 8/22/12 | $ | 863,835 | $ | (802,506 | ) | $ | 61,329 | ||||||||
Six-Month EUR EURIBOR: | ||||||||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.65%; Received: Six-Month EUR EURIBOR; Termination Date: 12/1/42 | Interest Rate Pay Fixed |
80,610 | EUR | 11/30/12 | 4,059,605 | (2,979,852 | ) | 1,079,753 | |||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.71%; Received: Six-Month EUR EURIBOR; Termination Date: 11/17/42 | Interest Rate Pay Fixed |
80,825 | EUR | 11/16/12 | 4,382,791 | (3,287,271 | ) | 1,095,520 | |||||||||||
8,442,396 | (6,267,123 | ) | 2,175,273 | |||||||||||||||||
Six-Month GBP BBA LIBOR |
||||||||||||||||||||
JPMorgan Chase Bank NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 3.231%; Received: Six-Month GBP BBA LIBOR; Termination Date: 2/14/43 | Interest Rate Pay Fixed |
22,675 | GBP | 2/15/13 | 2,249,186 | (1,791,617 | ) | 457,569 | |||||||||||
Six-Month JPY BBA LIBOR | ||||||||||||||||||||
UBS AG
|
Interest Rate Swaption (European); Swap Terms: Paid: 1.67%; Received: Six-Month JPY BBA LIBOR; Termination Date: 9/26/22 | Interest Rate Pay Fixed |
35,412,225 | JPY | 9/25/12 | 1,329,916 | (503,973 | ) | 825,943 |
Underlying | ||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||
Three-Month CAD BA CDOR: |
||||||||||||||||||||||
Bank of America NA
|
Interest Rate Swaption (Euorpean); Swap Terms: Paid: 2.27%; Received: Three-Month CAD BA CDOR; Termination Date: 8/27/22 | Interest Rate Pay Fixed |
53,780 | CAD | 8/28/12 | $ | 608,292 | $ | (524,016 | ) | $ | 84,276 | ||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.30%; Received: Three-Month CAD BA CDOR; Termination Date: 9/5/22 | Interest Rate Pay Fixed |
26,880 | CAD | 9/6/12 | 289,323 | (296,990 | ) | (7,667 | ) | ||||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.53%; Received: Three-Month CAD BA CDOR; Termination Date: 9/24/22 | Interest Rate Pay Fixed |
26,825 | CAD | 9/25/12 | 303,517 | (546,446 | ) | (242,929 | ) | ||||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.61%; Received: Three-Month CAD BA CDOR; Termination Date: 9/21/22 | Interest Rate Pay Fixed |
53,665 | CAD | 9/24/12 | 611,151 | (1,275,921 | ) | (664,770 | ) | ||||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.665%; Received: Three-Month CAD BA CDOR; Termination Date: 6/27/22 | Interest Rate Pay Fixed |
53,625 | CAD | 6/28/12 | 819,237 | (1,180,095 | ) | (360,858 | ) | ||||||||||||
2,631,520 | (3,823,468 | ) | (1,191,948 | ) |
Underlying | ||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||
Three-Month USD BBA LIBOR: |
||||||||||||||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.93%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/18/22 | Interest Rate Pay Fixed |
$ | 107,770 | 8/17/12 | $ | 1,163,916 | $ | (801,372 | ) | $ | 362,544 | ||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.315%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/31/22 | Interest Rate Pay Fixed |
297,000 | 5/30/12 | 8,598,150 | (3,699,216 | ) | 4,898,934 | ||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.1625%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/20/24 | Interest Rate Pay Fixed |
404,135 | 8/17/12 | 6,474,243 | (3,141,273 | ) | 3,332,970 | ||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.89%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/30/22 | Interest Rate Pay Fixed |
268,905 | 8/29/12 | 2,803,335 | (1,976,652 | ) | 826,683 | ||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.91%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/17/22 | Interest Rate Pay Fixed |
134,705 | 8/16/12 | 1,427,873 | (957,726 | ) | 470,147 |
Underlying | ||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||
Three-Month USD BBA LIBOR: Continued |
||||||||||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 2.92%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/10/22 | Interest Rate Pay Fixed |
$ | 268,880 | 9/7/12 | $ | 2,836,684 | $ | (2,223,990 | ) | $ | 612,694 | ||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: 3%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/24/22 | Interest Rate Pay Fixed |
107,725 | 8/23/12 | 1,141,885 | (943,291 | ) | 198,594 | ||||||||||||||
JPMorgan Chase Bank NA
|
Interest Rate Swaption (European); Swap Terms: Paid: 1.74%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/10/19 | Interest Rate Pay Fixed |
33,600 | 9/7/12 | 529,200 | (268,502 | ) | 260,698 | ||||||||||||||
Total where Fund pays a fixed rate | 24,975,286 | (14,012,022 | ) | 10,963,264 | ||||||||||||||||||
Bank of America NA
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.175%; Termination Date: 10/2/15 | Interest Rate Pay Floating |
309,000 | 10/1/12 | 621,090 | (655,046 | ) | (33,956 | ) | |||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.115%; Termination Date: 10/1/15 | Interest Rate Pay Floating |
500,000 | 9/28/12 | 1,962,500 | (1,813,171 | ) | 149,329 |
Underlying | ||||||||||||||||||||||
Swap Type | Notional | Swaption | Unrealized | |||||||||||||||||||
Reference Entity/ | Swaption | from Fund | Amount | Expiration | Premium | Appreciation | ||||||||||||||||
Swaption Counterparty | Description | Perspective | (000s) | Date | Received | Value | (Depreciation) | |||||||||||||||
Three-Month USD BBA LIBOR: Continued |
||||||||||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.115%; Termination Date: 10/2/15 | Interest Rate Pay Floating |
$ | 345,735 | 10/1/12 | $ | 1,253,289 | $ | (1,263,138 | ) | $ | (9,849 | ) | |||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.25%; Termination Date: 12/19/16 | Interest Rate Pay Floating |
268,560 | 12/18/12 | 1,342,800 | (1,236,381 | ) | 106,419 | ||||||||||||||
Goldman Sachs Group,
Inc. (The)
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.35%; Termination Date: 12/19/16 | Interest Rate Pay Floating |
161,015 | 12/18/12 | 845,329 | (661,732 | ) | 183,597 | ||||||||||||||
JPMorgan Chase Bank NA
|
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3%; Termination Date: 9/19/22 | Interest Rate Pay Floating |
134,280 | 9/18/12 | 1,510,650 | (1,122,686 | ) | 387,964 | ||||||||||||||
Total where Fund pays a floating rate | 7,535,658 | (6,752,154 | ) | 783,504 | ||||||||||||||||||
Total | 32,510,944 | (20,764,176 | ) | 11,746,768 | ||||||||||||||||||
Total Written Swaptions | $ | 48,027,797 | $ | (33,952,863 | ) | $ | 14,074,934 | |||||||||||||||
CAD
|
Canadian Dollar | |
EUR
|
Euro | |
GBP
|
British Pound Sterling | |
JPY
|
Japanese Yen | |
MXN
|
Mexican Nuevo Peso |
BA CDOR
|
Canada Bankers Acceptances Deposit Offering Rate |
|
BANXICO
|
Banco de Mexico | |
BBA LIBOR
|
British Bankers Association London-Interbank Offered Rate |
March 30, 20121 | ||||
Assets |
||||
Investments, at valuesee accompanying statement of investments: |
||||
Unaffiliated companies (cost $12,142,146,241) |
$ | 12,253,142,077 | ||
Affiliated companies (cost $496,604,049) |
496,604,049 | |||
12,749,746,126 | ||||
Cash |
17,415,715 | |||
Cashforeign currencies (cost $5,392,531) |
5,053,575 | |||
Unrealized appreciation on foreign currency exchange contracts |
51,263,449 | |||
Appreciated swaps, at value (upfront payments paid $3,044,200) |
10,936,341 | |||
Receivables and other assets: |
||||
Investments sold (including $10,276,368 sold on a when-issued or delayed delivery basis) |
286,408,978 | |||
Interest, dividends and principal paydowns |
172,049,026 | |||
Closed foreign currency contracts |
23,673,581 | |||
Shares of beneficial interest sold |
20,663,977 | |||
Futures margins |
375,219 | |||
Other |
308,247 | |||
Total assets |
13,337,894,234 | |||
Liabilities |
||||
Appreciated options written, at value (premiums received $38,794,106) |
26,002,259 | |||
Depreciated options written, at value (premiums received $6,398,136) |
7,893,410 | |||
Appreciated swaptions written, at value (premiums received $44,130,190) |
28,735,227 | |||
Depreciated swaptions written, at value (premiums received $3,897,607) |
5,217,636 | |||
Unrealized depreciation on foreign currency exchange contracts |
77,091,276 | |||
Depreciated swaps, at value (upfront payments received $4,829,102) |
9,061,982 | |||
Payables and other liabilities: |
||||
Investments purchased (including $127,710,227 purchased on a when-issued or delayed delivery basis) |
418,034,051 | |||
Closed foreign currency contracts |
31,446,579 | |||
Shares of beneficial interest redeemed |
28,436,987 | |||
Dividends |
5,299,439 | |||
Foreign capital gains tax |
2,204,903 | |||
Transfer and shareholder servicing agent fees |
2,129,850 | |||
Distribution and service plan fees |
1,560,788 | |||
Shareholder communications |
1,436,140 | |||
Trustees compensation |
150,986 | |||
Futures margins |
99,402 | |||
Other |
503,876 | |||
Total liabilities |
645,304,791 | |||
Net Assets |
$ | 12,692,589,443 | ||
Composition of Net Assets |
||||
Par value of shares of beneficial interest |
$ | 2,007,356 | ||
Additional paid-in capital |
12,643,368,764 | |||
Accumulated net investment income |
55,212,759 | |||
Accumulated net realized loss on investments and foreign currency transactions |
(119,701,835 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities |
||||
denominated in foreign currencies |
111,702,399 | |||
Net Assets |
$ | 12,692,589,443 | ||
Net Asset Value Per Share |
||||
Class A Shares: |
||||
Net asset value and redemption price per share (based on net assets of
$5,948,321,798 and 940,068,131 shares of beneficial interest outstanding) |
$ | 6.33 | ||
Maximum offering price per share (net asset value plus sales charge of
4.75% of offering price) |
$ | 6.65 | ||
Class B Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $210,401,030 and
33,377,397 shares of beneficial interest outstanding) |
$ | 6.30 | ||
Class C Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $1,648,538,902
and 261,484,367 shares of beneficial interest outstanding) |
$ | 6.30 | ||
Class I Shares: |
||||
Net asset value, redemption price and offering price per share (based on
net assets of $9,943 and 1,572 shares of beneficial interest outstanding) |
$ | 6.32 | ||
Class N Shares: |
||||
Net asset value, redemption price (excludes applicable contingent deferred
sales charge) and offering price per share (based on net assets of $312,816,809 and
49,582,029 shares of beneficial interest outstanding) |
$ | 6.31 | ||
Class Y Shares: |
||||
Net asset value, redemption price and offering price per share (based on net
assets of $4,572,500,961 and 722,842,931 shares of beneficial interest outstanding) |
$ | 6.33 |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. |
For the Six Months Ended March 30, 20121 | ||||
Investment Income |
||||
Interest |
$ | 318,028,286 | ||
Dividends from affiliated companies |
395,104 | |||
Total investment income |
318,423,390 | |||
Expenses |
||||
Management fees |
32,033,964 | |||
Distribution and service plan fees: |
||||
Class A |
7,701,990 | |||
Class B |
1,096,908 | |||
Class C |
8,466,267 | |||
Class N |
794,892 | |||
Transfer and shareholder servicing agent fees: |
||||
Class A |
6,628,789 | |||
Class B |
332,654 | |||
Class C |
1,300,740 | |||
Class I |
1 | |||
Class N |
844,894 | |||
Class Y |
4,150,274 | |||
Shareholder communications: |
||||
Class A |
402,342 | |||
Class B |
32,004 | |||
Class C |
102,982 | |||
Class N |
44,906 | |||
Class Y |
389,412 | |||
Custodian fees and expenses |
946,093 | |||
Trustees compensation |
106,936 | |||
Administration service fees |
750 | |||
Other |
403,622 | |||
Total expenses |
65,780,420 | |||
Less waivers and reimbursements of expenses |
(471,395 | ) | ||
Net expenses |
65,309,025 | |||
Net Investment Income |
253,114,365 |
Realized and Unrealized Gain (Loss) |
||||
Net realized gain (loss) on: |
||||
Investments from unaffiliated companies (including premiums on options exercised) |
$ | 116,498,579 | ||
Closing and expiration of option contracts written |
57,342,882 | |||
Closing and expiration of swaption contracts |
9,862,564 | |||
Closing and expiration of futures contracts |
(21,021,742 | ) | ||
Foreign currency transactions |
(314,887,909 | ) | ||
Swap contracts |
34,307,902 | |||
Net realized loss |
(117,897,724 | ) | ||
Net change in unrealized appreciation/depreciation on: |
||||
Investments (net of foreign capital gains tax of $1,980,075) |
147,460,578 | |||
Translation of assets and liabilities denominated in foreign currencies |
171,265,217 | |||
Futures contracts |
943,477 | |||
Option contracts written |
29,370,405 | |||
Swaption contracts |
27,114,365 | |||
Swap contracts |
(17,214,900 | ) | ||
Net change in unrealized appreciation/depreciation |
358,939,142 | |||
Net Increase in Net Assets Resulting from Operations |
$ | 494,155,783 | ||
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. |
Six Months | Year | |||||||
Ended | Ended | |||||||
March 30, 20121 | September 30, | |||||||
(Unaudited) | 2011 | |||||||
Operations |
||||||||
Net investment income |
$ | 253,114,365 | $ | 499,241,488 | ||||
Net realized gain (loss) |
(117,897,724 | ) | 429,087,086 | |||||
Net change in unrealized appreciation/depreciation |
358,939,142 | (1,329,563,552 | ) | |||||
Net increase (decrease) in net assets resulting from operations |
494,155,783 | (401,234,978 | ) | |||||
Dividends and/or Distributions to Shareholders |
||||||||
Dividends from net investment income: |
||||||||
Class A |
(208,438,444 | ) | (273,559,292 | ) | ||||
Class B |
(6,468,515 | ) | (7,831,778 | ) | ||||
Class C |
(51,090,466 | ) | (60,588,582 | ) | ||||
Class I |
(76 | ) | | |||||
Class N |
(9,903,476 | ) | (11,364,173 | ) | ||||
Class Y |
(151,213,968 | ) | (159,472,734 | ) | ||||
(427,114,945 | ) | (512,816,559 | ) | |||||
Distributions from net realized gain: |
||||||||
Class A |
| (67,640,498 | ) | |||||
Class B |
| (2,573,295 | ) | |||||
Class C |
| (18,386,099 | ) | |||||
Class I |
| | ||||||
Class N |
| (2,982,092 | ) | |||||
Class Y |
| (33,433,111 | ) | |||||
| (125,015,095 | ) | ||||||
Beneficial Interest Transactions |
||||||||
Net increase (decrease) in net assets resulting from beneficial
interest transactions: |
||||||||
Class A |
(464,808,834 | ) | (481,762,050 | ) | ||||
Class B |
(17,531,917 | ) | (39,838,753 | ) | ||||
Class C |
(85,744,542 | ) | (158,114,001 | ) | ||||
Class I |
10,000 | | ||||||
Class N |
(10,899,181 | ) | 37,467,579 | |||||
Class Y |
464,804,200 | 1,000,192,004 | ||||||
(114,170,274 | ) | 357,944,779 | ||||||
Net Assets |
||||||||
Total decrease |
(47,129,436 | ) | (681,121,853 | ) | ||||
Beginning of period |
12,739,718,879 | 13,420,840,732 | ||||||
End of period (including accumulated net investment income of
$55,212,759 and $229,213,339, respectively) |
$ | 12,692,589,443 | $ | 12,739,718,879 | ||||
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class A | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 6.29 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.13 | .25 | .26 | .22 | .26 | .24 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.12 | (.44 | ) | .31 | .74 | (.23 | ) | .62 | ||||||||||||||||
Total from investment operations |
.25 | (.19 | ) | .57 | .96 | .03 | .86 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.21 | ) | (.26 | ) | (.26 | ) | (.33 | ) | (.45 | ) | (.24 | ) | ||||||||||||
Distributions from net realized gain |
| (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders |
(.21 | ) | (.32 | ) | (.31 | ) | (.38 | ) | (.48 | ) | (.25 | ) | ||||||||||||
Net asset value, end of period |
$ | 6.33 | $ | 6.29 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | ||||||||||||
Total Return, at Net Asset Value3 |
4.10 | % | (2.88 | )% | 9.04 | % | 16.83 | % | (0.01 | )% | 15.18 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 5,948,321 | $ | 6,382,276 | $ | 7,406,875 | $ | 7,268,308 | $ | 8,241,801 | $ | 6,300,320 | ||||||||||||
Average net assets (in thousands) |
$ | 6,172,984 | $ | 7,004,799 | $ | 7,345,330 | $ | 6,632,191 | $ | 8,331,255 | $ | 4,988,412 | ||||||||||||
Ratios to average net assets:4 |
||||||||||||||||||||||||
Net investment income |
4.00 | % | 3.80 | % | 4.04 | % | 3.77 | % | 4.02 | % | 3.97 | % | ||||||||||||
Total expenses5 |
1.00 | % | 0.98 | % | 0.98 | % | 0.99 | % | 0.92 | % | 0.94 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
1.00 | % | 0.98 | % | 0.98 | % | 0.98 | % | 0.91 | % | 0.93 | % | ||||||||||||
Portfolio turnover rate |
48 | % | 80 | % | 146 | % | 112 | % | 105 | % | 68 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 30, 2012 | 1.00 | % | ||
Year Ended September 30, 2011 | 0.98 | % | ||
Year Ended September 30, 2010 | 0.98 | % | ||
Year Ended September 30, 2009 | 1.00 | % | ||
Year Ended September 30, 2008 | 0.93 | % | ||
Year Ended September 30, 2007 | 0.95 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class B | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 6.27 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.10 | .19 | .20 | .17 | .21 | .19 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.12 | (.44 | ) | .31 | .74 | (.24 | ) | .62 | ||||||||||||||||
Total from investment operations |
.22 | (.25 | ) | .51 | .91 | (.03 | ) | .81 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.19 | ) | (.20 | ) | (.20 | ) | (.28 | ) | (.39 | ) | (.19 | ) | ||||||||||||
Distributions from net realized gain |
| (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders |
(.19 | ) | (.26 | ) | (.25 | ) | (.33 | ) | (.42 | ) | (.20 | ) | ||||||||||||
Net asset value, end of period |
$ | 6.30 | $ | 6.27 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | ||||||||||||
Total Return, at Net Asset Value3 |
3.50 | % | (3.74 | )% | 8.13 | % | 15.87 | % | (0.84 | )% | 14.26 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 210,401 | $ | 226,660 | $ | 286,029 | $ | 284,424 | $ | 314,676 | $ | 259,285 | ||||||||||||
Average net assets (in thousands) |
$ | 218,985 | $ | 257,491 | $ | 279,115 | $ | 269,970 | $ | 311,097 | $ | 240,238 | ||||||||||||
Ratios to average net assets:4 |
||||||||||||||||||||||||
Net investment income |
3.14 | % | 2.93 | % | 3.18 | % | 2.89 | % | 3.19 | % | 3.12 | % | ||||||||||||
Total expenses5 |
1.86 | % | 1.84 | % | 1.85 | % | 1.86 | % | 1.74 | % | 1.79 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
1.86 | % | 1.84 | % | 1.85 | % | 1.85 | % | 1.73 | % | 1.78 | % | ||||||||||||
Portfolio turnover rate |
48 | % | 80 | % | 146 | % | 112 | % | 105 | % | 68 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 30, 2012 | 1.86 | % | ||
Year Ended September 30, 2011 | 1.84 | % | ||
Year Ended September 30, 2010 | 1.85 | % | ||
Year Ended September 30, 2009 | 1.87 | % | ||
Year Ended September 30, 2008 | 1.75 | % | ||
Year Ended September 30, 2007 | 1.80 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class C | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 6.27 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | $ | 5.78 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.10 | .21 | .21 | .18 | .21 | .20 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.12 | (.45 | ) | .31 | .74 | (.23 | ) | .62 | ||||||||||||||||
Total from investment operations |
.22 | (.24 | ) | .52 | .92 | (.02 | ) | .82 | ||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.19 | ) | (.21 | ) | (.21 | ) | (.29 | ) | (.40 | ) | (.20 | ) | ||||||||||||
Distributions from net realized gain |
| (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders |
(.19 | ) | (.27 | ) | (.26 | ) | (.34 | ) | (.43 | ) | (.21 | ) | ||||||||||||
Net asset value, end of period |
$ | 6.30 | $ | 6.27 | $ | 6.78 | $ | 6.52 | $ | 5.94 | $ | 6.39 | ||||||||||||
Total Return, at Net Asset Value3 |
3.58 | % | (3.58 | )% | 8.29 | % | 16.04 | % | (0.74 | )% | 14.39 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 1,648,539 | $ | 1,724,712 | $ | 2,029,424 | $ | 1,812,805 | $ | 1,835,312 | $ | 1,357,937 | ||||||||||||
Average net assets (in thousands) |
$ | 1,690,481 | $ | 1,891,414 | $ | 1,965,153 | $ | 1,594,278 | $ | 1,833,929 | $ | 1,078,601 | ||||||||||||
Ratios to average net assets:4 |
||||||||||||||||||||||||
Net investment income |
3.31 | % | 3.10 | % | 3.34 | % | 3.05 | % | 3.29 | % | 3.24 | % | ||||||||||||
Total expenses5 |
1.69 | % | 1.68 | % | 1.69 | % | 1.71 | % | 1.64 | % | 1.67 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
1.69 | % | 1.68 | % | 1.69 | % | 1.70 | % | 1.63 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate |
48 | % | 80 | % | 146 | % | 112 | % | 105 | % | 68 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 30, 2012 | 1.69 | % | ||
Year Ended September 30, 2011 | 1.68 | % | ||
Year Ended September 30, 2010 | 1.69 | % | ||
Year Ended September 30, 2009 | 1.72 | % | ||
Year Ended September 30, 2008 | 1.65 | % | ||
Year Ended September 30, 2007 | 1.68 | % |
Period | ||||
Ended | ||||
March 30, 20121,2 | ||||
Class I | (Unaudited) | |||
Per Share Operating Data |
||||
Net asset value, beginning of period |
$ | 6.36 | ||
Income (loss) from investment operations: |
||||
Net investment income3 |
.05 | |||
Net realized and unrealized loss |
(.04 | ) | ||
Total from investment operations |
.01 | |||
Dividends and/or distributions to shareholders: |
||||
Dividends from net investment income |
(.05 | ) | ||
Distributions from net realized gain |
| |||
Total dividends and/or distributions to shareholders |
(.05 | ) | ||
Net asset value, end of period |
$ | 6.32 | ||
Total Return, at Net Asset Value4 |
0.14 | % | ||
Ratios/Supplemental Data |
||||
Net assets, end of period (in thousands) |
$ | 10 | ||
Average net assets (in thousands) |
$ | 10 | ||
Ratios to average net assets:5 |
||||
Net investment income |
4.46 | % | ||
Total expenses6 |
0.56 | % | ||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
0.56 | % | ||
Portfolio turnover rate |
48 | % |
1. | For the period from January 27, 2012 (inception of offering) to March 30, 2012. | |
2. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
3. | Per share amounts calculated based on the average shares outstanding during the period. | |
4. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. | |
5. | Annualized for periods less than one full year. | |
6. | Total expenses including indirect expenses from affiliated fund were as follows: |
Period Ended March 30, 2012 | 0.56% |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class N | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 6.28 | $ | 6.79 | $ | 6.52 | $ | 5.95 | $ | 6.40 | $ | 5.79 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.11 | .22 | .23 | .20 | .23 | .22 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.12 | (.44 | ) | .32 | .72 | (.23 | ) | .61 | ||||||||||||||||
Total from investment operations |
.23 | (.22 | ) | .55 | .92 | | .83 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.20 | ) | (.23 | ) | (.23 | ) | (.30 | ) | (.42 | ) | (.21 | ) | ||||||||||||
Distributions from net realized gain |
| (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders |
(.20 | ) | (.29 | ) | (.28 | ) | (.35 | ) | (.45 | ) | (.22 | ) | ||||||||||||
Net asset value, end of period |
$ | 6.31 | $ | 6.28 | $ | 6.79 | $ | 6.52 | $ | 5.95 | $ | 6.40 | ||||||||||||
Total Return, at Net Asset Value3 |
3.70 | % | (3.28 | )% | 8.80 | % | 16.23 | % | (0.44 | )% | 14.71 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 312,817 | $ | 322,070 | $ | 310,338 | $ | 258,219 | $ | 258,223 | $ | 153,181 | ||||||||||||
Average net assets (in thousands) |
$ | 317,441 | $ | 325,834 | $ | 279,336 | $ | 233,767 | $ | 223,531 | $ | 112,319 | ||||||||||||
Ratios to average net assets:4 |
||||||||||||||||||||||||
Net investment income |
3.53 | % | 3.39 | % | 3.65 | % | 3.37 | % | 3.59 | % | 3.56 | % | ||||||||||||
Total expenses5 |
1.65 | % | 1.44 | % | 1.65 | % | 1.68 | % | 1.49 | % | 1.61 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
1.47 | % | 1.38 | % | 1.38 | % | 1.38 | % | 1.34 | % | 1.37 | % | ||||||||||||
Portfolio turnover rate |
48 | % | 80 | % | 146 | % | 112 | % | 105 | % | 68 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 30, 2012 | 1.65 | % | ||
Year Ended September 30, 2011 | 1.44 | % | ||
Year Ended September 30, 2010 | 1.65 | % | ||
Year Ended September 30, 2009 | 1.69 | % | ||
Year Ended September 30, 2008 | 1.50 | % | ||
Year Ended September 30, 2007 | 1.62 | % |
Six Months | ||||||||||||||||||||||||
Ended | ||||||||||||||||||||||||
March 30, 20121 | Year Ended September 30, | |||||||||||||||||||||||
Class Y | (Unaudited) | 2011 | 2010 | 2009 | 2008 | 2007 | ||||||||||||||||||
Per Share Operating Data |
||||||||||||||||||||||||
Net asset value, beginning of period |
$ | 6.29 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | $ | 5.80 | ||||||||||||
Income (loss) from investment operations: |
||||||||||||||||||||||||
Net investment income2 |
.14 | .27 | .28 | .25 | .28 | .27 | ||||||||||||||||||
Net realized and unrealized gain (loss) |
.12 | (.44 | ) | .31 | .73 | (.23 | ) | .62 | ||||||||||||||||
Total from investment operations |
.26 | (.17 | ) | .59 | .98 | .05 | .89 | |||||||||||||||||
Dividends and/or distributions to shareholders: |
||||||||||||||||||||||||
Dividends from net investment income |
(.22 | ) | (.28 | ) | (.28 | ) | (.35 | ) | (.47 | ) | (.27 | ) | ||||||||||||
Distributions from net realized gain |
| (.06 | ) | (.05 | ) | (.05 | ) | (.03 | ) | (.01 | ) | |||||||||||||
Total dividends and/or distributions to shareholders |
(.22 | ) | (.34 | ) | (.33 | ) | (.40 | ) | (.50 | ) | (.28 | ) | ||||||||||||
Net asset value, end of period |
$ | 6.33 | $ | 6.29 | $ | 6.80 | $ | 6.54 | $ | 5.96 | $ | 6.41 | ||||||||||||
Total Return, at Net Asset Value3 |
4.23 | % | (2.64 | )% | 9.38 | % | 17.26 | % | 0.38 | % | 15.63 | % | ||||||||||||
Ratios/Supplemental Data |
||||||||||||||||||||||||
Net assets, end of period (in thousands) |
$ | 4,572,501 | $ | 4,084,001 | $ | 3,388,175 | $ | 1,890,729 | $ | 1,372,959 | $ | 454,240 | ||||||||||||
Average net assets (in thousands) |
$ | 4,337,201 | $ | 3,861,749 | $ | 2,732,256 | $ | 1,317,017 | $ | 932,774 | $ | 299,298 | ||||||||||||
Ratios to average net assets:4 |
||||||||||||||||||||||||
Net investment income |
4.27 | % | 4.04 | % | 4.38 | % | 4.16 | % | 4.39 | % | 4.38 | % | ||||||||||||
Total expenses5 |
0.73 | % | 0.74 | % | 0.67 | % | 0.62 | % | 0.55 | % | 0.55 | % | ||||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses |
0.73 | % | 0.73 | % | 0.67 | % | 0.61 | % | 0.54 | % | 0.54 | % | ||||||||||||
Portfolio turnover rate |
48 | % | 80 | % | 146 | % | 112 | % | 105 | % | 68 | % |
1. | March 30, 2012 represents the last business day of the Funds semiannual period. See Note 1 of the accompanying Notes. | |
2. | Per share amounts calculated based on the average shares outstanding during the period. | |
3. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
4. | Annualized for periods less than one full year. | |
5. | Total expenses including indirect expenses from affiliated fund were as follows: |
Six Months Ended March 30, 2012 | 0.73 | % | ||
Year Ended September 30, 2011 | 0.74 | % | ||
Year Ended September 30, 2010 | 0.67 | % | ||
Year Ended September 30, 2009 | 0.63 | % | ||
Year Ended September 30, 2008 | 0.56 | % | ||
Year Ended September 30, 2007 | 0.56 | % |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities |
$127,710,227 | |||
Sold securities |
10,276,368 |
Cost |
$ | 72,504,994 | ||
Market Value |
$ | 14,060,493 | ||
Market Value as a % of Net Assets |
0.11 | % |
No expiration | $124,638,914 |
Federal tax cost of securities |
$ | 12,641,312,237 | ||
Federal tax cost of other investments |
(540,181,741 | ) | ||
Total federal tax cost |
$ | 12,101,130,496 | ||
Gross unrealized appreciation |
$ | 519,178,069 | ||
Gross unrealized depreciation |
(383,633,569 | ) | ||
Net unrealized appreciation |
$ | 135,544,500 | ||
Standard inputs generally considered | ||
Security Type | by third-party pricing vendors | |
Corporate debt, government
debt, municipal, mortgage-backed
and asset-backed securities
|
Reported trade data, broker-dealer price quotations,
benchmark yields, issuer spreads on comparable
securities, the credit quality, yield, maturity, and
other appropriate factors. |
|
Loans
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
Event-linked bonds
|
Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
Structured securities
|
Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. | |
Swaps
|
Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
1) | Level 1unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) |
2) | Level 2inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) |
3) | Level 3significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
U.S. Government Obligations |
$ | | $ | 255,252,420 | $ | | $ | 255,252,420 | ||||||||
Foreign Government Obligations |
| 8,517,973,255 | | 8,517,973,255 | ||||||||||||
Corporate Bonds and Notes |
14,198,876 | 2,689,918,745 | | 2,704,117,621 | ||||||||||||
Structured Securities |
| 610,431,203 | 9,060,292 | 619,491,495 | ||||||||||||
Options Purchased |
5,728,072 | 88,870,707 | | 94,598,779 | ||||||||||||
Swaptions Purchased |
| 61,708,507 | | 61,708,507 | ||||||||||||
Investment Company |
496,604,049 | | | 496,604,049 | ||||||||||||
Total Investments, at Value |
516,530,997 | 12,224,154,837 | 9,060,292 | 12,749,746,126 |
Level 3 | ||||||||||||||||
Level 1 | Level 2 | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table Continued |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
$ | | $ | 10,936,341 | $ | | $ | 10,936,341 | ||||||||
Futures margins |
375,219 | | | 375,219 | ||||||||||||
Foreign currency exchange contracts |
| 51,263,449 | | 51,263,449 | ||||||||||||
Total Assets |
$ | 516,906,216 | $ | 12,286,354,627 | $ | 9,060,292 | $ | 12,812,321,135 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Depreciated swaps, at value |
| (9,061,982 | ) | | (9,061,982 | ) | ||||||||||
Appreciated
options written, at value |
(2,476,776 | ) | (23,525,483 | ) | | (26,002,259 | ) | |||||||||
Depreciated
options written, at value |
(1,195,332 | ) | (6,698,078 | ) | | (7,893,410 | ) | |||||||||
Futures margins |
(99,402 | ) | | | (99,402 | ) | ||||||||||
Foreign
currency exchange contracts |
| (77,091,276 | ) | | (77,091,276 | ) | ||||||||||
Appreciated
swaptions written, at value |
| (28,735,227 | ) | | (28,735,227 | ) | ||||||||||
Depreciated
swaptions written, at value |
| (5,217,636 | ) | | (5,217,636 | ) | ||||||||||
Total Liabilities |
$ | (3,771,510 | ) | $ | (150,329,682 | ) | $ | | $ | (154,101,192 | ) | |||||
Six Months Ended March 30, 20121 | Year Ended September 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
96,932,902 | $ | 615,025,781 | 273,364,245 | $ | 1,819,236,327 | ||||||||||
Dividends
and/or distributions reinvested |
29,559,539 | 185,465,627 | 44,438,120 | 293,359,356 | ||||||||||||
Redeemed |
(200,459,473 | ) | (1,265,300,242 | ) | (392,346,555 | ) | (2,594,357,733 | ) | ||||||||
Net decrease |
(73,967,032 | ) | $ | (464,808,834 | ) | (74,544,190 | ) | $ | (481,762,050 | ) | ||||||
Six Months Ended March 30, 20121 | Year Ended September 30, 2011 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class B |
||||||||||||||||
Sold |
2,484,347 | $ | 15,712,060 | 6,672,499 | $ | 44,337,990 | ||||||||||
Dividends
and/or distributions reinvested |
860,342 | 5,372,289 | 1,261,350 | 8,289,774 | ||||||||||||
Redeemed |
(6,114,303 | ) | (38,616,266 | ) | (13,978,048 | ) | (92,466,517 | ) | ||||||||
Net decrease |
(2,769,614 | ) | $ | (17,531,917 | ) | (6,044,199 | ) | $ | (39,838,753 | ) | ||||||
Class C |
||||||||||||||||
Sold |
14,668,752 | $ | 92,557,396 | 44,047,956 | $ | 292,656,415 | ||||||||||
Dividends
and/or distributions reinvested |
6,143,460 | 38,374,284 | 8,546,898 | 56,182,612 | ||||||||||||
Redeemed |
(34,342,745 | ) | (216,676,222 | ) | (76,899,754 | ) | (506,953,028 | ) | ||||||||
Net decrease |
(13,530,533 | ) | $ | (85,744,542 | ) | (24,304,900 | ) | $ | (158,114,001 | ) | ||||||
Class I |
||||||||||||||||
Sold |
1,572 | $ | 10,000 | | $ | | ||||||||||
Dividends
and/or distributions reinvested |
| | | | ||||||||||||
Redeemed |
| | | | ||||||||||||
Net increase |
1,572 | $ | 10,000 | | $ | | ||||||||||
Class N |
||||||||||||||||
Sold |
7,060,858 | $ | 44,593,160 | 18,942,054 | $ | 125,803,560 | ||||||||||
Dividends
and/or distributions reinvested |
1,465,254 | 9,158,095 | 2,020,338 | 13,294,335 | ||||||||||||
Redeemed |
(10,261,907 | ) | (64,650,436 | ) | (15,382,930 | ) | (101,630,316 | ) | ||||||||
Net increase (decrease) |
(1,735,795 | ) | $ | (10,899,181 | ) | 5,579,462 | $ | 37,467,579 | ||||||||
Class Y |
||||||||||||||||
Sold |
159,488,510 | $ | 1,007,611,434 | 296,157,714 | $ | 1,962,914,197 | ||||||||||
Dividends
and/or distributions reinvested |
20,053,105 | 125,891,355 | 23,570,728 | 155,676,226 | ||||||||||||
Redeemed |
(105,771,375 | ) | (668,698,589 | ) | (168,760,932 | ) | (1,118,398,419 | ) | ||||||||
Net increase |
73,770,240 | $ | 464,804,200 | 150,967,510 | $ | 1,000,192,004 | ||||||||||
1. | For the six months ended March 30, 2012 for Class A, Class B, Class C, Class N and Class Y shares, and for the period from January 27, 2012 (inception of offering) to March 30, 2012 for Class I shares. |
Purchases | Sales | |||||||
Investment securities |
$ | 4,786,543,530 | $ | 5,305,078,592 | ||||
U.S.
government and government agency obligations |
290,425,469 | 29,610,938 |
Fee Schedule | ||||
Up to $200 million |
0.75 | % | ||
Next $200 million |
0.72 | |||
Next $200 million |
0.69 | |||
Next $200 million |
0.66 | |||
Next $200 million |
0.60 | |||
Next $4 billion |
0.50 | |||
Next $10 billion |
0.48 | |||
Over $15 billion |
0.45 |
Class B |
$ | 6,340,012 | ||
Class C |
35,599,879 | |||
Class N |
6,520,554 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Six Months | Retained by | Retained by | Retained by | Retained by | Retained by | |||||||||||||||
Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
March 30, 2012
|
$318,627 | $28,831 | $271,562 | $77,927 | $1,943 |
Class N |
$ | 281,705 |
Asset Derivatives | Liability Derivatives | |||||||||||
Derivatives | Statement of | Statement of | ||||||||||
Not Accounted for as | Assets and | Assets and | ||||||||||
Hedging Instruments | Liabilities Location | Value | Liabilities Location | Value | ||||||||
Credit contracts
|
Appreciated swaps, at value |
$ | 3,350,051 | Depreciated swaps, at value |
$ | 5,674,752 | ||||||
Interest rate contracts
|
Appreciated swaps, at value |
7,586,290 | Depreciated swaps, at value |
3,387,230 | ||||||||
Interest rate contracts
|
Futures margins | 375,219 | * | Futures margins | 99,402 | * | ||||||
Foreign exchange contracts
|
Unrealized appreciation on foreign currency exchange contracts | 51,263,449 | Unrealized depreciation on foreign currency exchange contracts |
77,091,276 | ||||||||
Foreign exchange contracts
|
Appreciated options written, at value |
24,456,962 | ||||||||||
Foreign exchange contracts
|
Depreciated options written, at value |
7,013,378 | ||||||||||
Interest rate contracts
|
Appreciated options written, at value |
1,545,297 | ||||||||||
Interest rate contracts
|
Depreciated options written, at value |
880,032 | ||||||||||
Interest rate contracts
|
Appreciated swaptions written, at value |
28,735,227 | ||||||||||
Interest rate contracts
|
Depreciated swaptions written, at value |
5,217,636 | ||||||||||
Foreign exchange contracts
|
Investments, at value | 88,910,965 | ** | |||||||||
Interest rate contracts
|
Investments, at value | 67,396,321 | ** | |||||||||
Total
|
$ | 218,882,295 | $ | 154,101,192 | ||||||||
* | Includes only the current days variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
** | Amounts relate to purchased options and swaptions. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||||||
Investments | ||||||||||||||||||||||||||||
from | ||||||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||||||
companies | Closing and | Closing and | ||||||||||||||||||||||||||
Derivatives Not | (including | expiration | expiration | Closing and | ||||||||||||||||||||||||
Accounted | premiums on | of swaption | of option | expiration | Foreign | |||||||||||||||||||||||
for as Hedging | options | contracts | contracts | of futures | currency | Swap | ||||||||||||||||||||||
Instruments | exercised)* | written | written | contracts | transactions | contracts | Total | |||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | | $ | 535,498 | $ | 535,498 | ||||||||||||||
Equity contracts |
| | | (18,215,184 | ) | | (10,864,328 | ) | (29,079,512 | ) | ||||||||||||||||||
Foreign exchange contracts |
(33,317,507 | ) | | 39,539,987 | 2,126,483 | (115,356,922 | ) | 112,528 | (106,895,431 | ) | ||||||||||||||||||
Interest rate contracts |
(38,483,210 | ) | 9,862,564 | 17,802,895 | (4,933,041 | ) | | 44,524,204 | 28,773,412 | |||||||||||||||||||
Total |
$ | (71,800,717 | ) | $ | 9,862,564 | $ | 57,342,882 | $ | (21,021,742 | ) | $ | (115,356,922 | ) | $ | 34,307,902 | $ | (106,666,033 | ) | ||||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||||||
Derivatives Not | liabilities | |||||||||||||||||||||||||||
Accounted | Option | Swaption | denominated | |||||||||||||||||||||||||
for as Hedging | contracts | contracts | Futures | in foreign | Swap | |||||||||||||||||||||||
Instruments | Investments* | written | written | contracts | currencies | contracts | Total | |||||||||||||||||||||
Credit contracts |
$ | | $ | | $ | | $ | | $ | | $ | (10,368,575 | ) | $ | (10,368,575 | ) | ||||||||||||
Equity contracts |
| | | | | 10,609,506 | 10,609,506 | |||||||||||||||||||||
Foreign exchange contracts |
(29,500,642 | ) | 28,586,404 | | | (117,025,399 | ) | | (117,939,637 | ) | ||||||||||||||||||
Interest rate contracts |
(30,777,406 | ) | 784,001 | 27,114,365 | 943,477 | | (17,455,831 | ) | (19,391,394 | ) | ||||||||||||||||||
Total |
$ | (60,278,048 | ) | $ | 29,370,405 | $ | 27,114,365 | $ | 943,477 | $ | (117,025,399 | ) | $ | (17,214,900 | ) | $ | (137,090,100 | ) | ||||||||||
* | Includes purchased option contracts and purchased swaption contracts, if any. |
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of September 30, 2011 |
62,215,317,030 | $ | 8,221,138 | 128,302,138,970 | $ | 24,701,704 | ||||||||||
Options written |
1,186,009,245,185 | 57,084,957 | 1,360,630,669,614 | 59,285,057 | ||||||||||||
Options closed or expired |
(1,230,721,826,443 | ) | (36,246,910 | ) | (1,419,329,129,573 | ) | (59,700,576 | ) | ||||||||
Options exercised |
(916,005,000 | ) | (2,106,559 | ) | (61,995,646,106 | ) | (6,046,569 | ) | ||||||||
Options outstanding as of March 30, 2012 |
16,586,730,772 | $ | 26,952,626 | 7,608,032,905 | $ | 18,239,616 | ||||||||||
Swaptions | ||||||||
Notional | Amount of | |||||||
Amount | Premiums | |||||||
Swaptions outstanding as of September 30, 2011 |
$ | 901,220,000 | $ | 11,094,018 | ||||
Swaptions written |
38,749,700,000 | 36,933,779 | ||||||
Swaptions outstanding as of March 30, 2012 |
$ | 39,650,920,000 | $ | 48,027,797 | ||||
Nominee/Proposal | For | Withheld | ||||||
Trustees |
||||||||
William L Armstrong |
1,084,060,851 | 28,549,329 | ||||||
Edward L. Cameron |
1,084,685,496 | 27,924,684 | ||||||
Jon S. Fossel |
1,085,139,388 | 27,470,791 | ||||||
Sam Freedman |
1,085,022,350 | 27,587,829 | ||||||
Richard F. Grabish |
1,085,854,210 | 26,755,970 | ||||||
Beverly L. Hamilton |
1,085,870,661 | 26,739,519 | ||||||
Robert J. Malone |
1,085,740,582 | 26,869,598 | ||||||
F. William Marshall, Jr. |
1,085,378,565 | 27,231,615 | ||||||
Victoria J. Herget |
1,086,073,107 | 26,537,072 | ||||||
Karen L. Stuckey |
1,086,036,307 | 26,573,872 | ||||||
James D. Vaughn |
1,085,923,254 | 26,686,926 | ||||||
William F. Glavin, Jr. |
1,085,444,095 | 27,166,084 |
For | Against | Abstain | Broker Non Vote | |||||||||
745,717,712
|
15,283,904 | 24,975,352 | 326,589,700 |
Trustees and Officers
|
William L. Armstrong, Chairman of the Board of Trustees and Trustee | |
Edward L. Cameron, Trustee | ||
Jon S. Fossel, Trustee | ||
Sam Freedman, Trustee | ||
Beverly L. Hamilton, Trustee | ||
Robert J. Malone, Trustee | ||
F. William Marshall, Jr., Trustee | ||
Richard F. Grabish, Trustee | ||
Victoria J. Herget, Trustee | ||
James D. Vaughn, Trustee | ||
William F. Glavin, Jr., Trustee, President and Principal Executive Officer | ||
Arthur P. Steinmetz, Vice President | ||
Sara J. Zervos, Ph.D., Vice President | ||
Arthur S. Gabinet, Secretary and Chief Legal Officer | ||
Christina M. Nasta, Vice President and Chief Business Officer | ||
Mark S. Vandehey, Vice President and Chief Compliance Officer | ||
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer | ||
Manager
|
OppenheimerFunds, Inc. | |
Distributor
|
OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent |
OppenheimerFunds Services | |
Independent Registered Public Accounting Firm |
KPMG llp | |
Counsel
|
K&L Gates LLP | |
The financial statements included herein have been taken from the records of | ||
the Fund without examination of those records by the independent registered | ||
public accounting firm. |
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1. | The Funds Governance Committee (the Committee) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individuals background, skills, and experience; whether the individual is an interested person as defined in the Investment Company Act of 1940; and whether the individual would be deemed an audit committee financial expert within the meaning of applicable SEC rules. The Committee also considers whether the individuals background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
| the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
| a statement concerning whether the person is an interested person as defined in the Investment Company Act of 1940; | ||
| any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
| the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds investment adviser) would be deemed an interested person under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its |
subsidiaries, with registered broker-dealers, or with the Funds outside legal counsel may cause a person to be deemed an interested person. |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a)
|
(1) Not applicable to semiannual reports. | |
(2) Exhibits attached hereto. | ||
(3) Not applicable. | ||
(b)
|
Exhibit attached hereto. |
By: |
/s/ William F. Glavin, Jr. | |||
Principal Executive Officer | ||||
Date:
|
5/8/2012 |
By: |
/s/ William F. Glavin, Jr. | |||
Principal Executive Officer | ||||
Date:
|
5/8/2012 | |||
By: |
/s/ Brian W. Wixted | |||
Principal Financial Officer | ||||
Date:
|
5/8/2012 |
1. | I have reviewed this report on Form N-CSR of Oppenheimer International Bond Fund; | |
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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based 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 and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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. |
1. | I have reviewed this report on Form N-CSR of Oppenheimer International Bond Fund; | |
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 financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; | |
4. | The registrants other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; | ||
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; | ||
(c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based 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 and I have disclosed to the registrants auditors and the audit committee of the registrants board of Trustees (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. |
1. | The Registrants periodic report on Form N-CSR for the period ended 3/30/2012 (the Form N-CSR) fully complies with the requirements of Section 15(d) of the Securities Exchange Act of 1934, as amended; and | |
2. | The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the Registrant. This certification is being furnished to the Commission solely pursuant to 18 U.S.C. § 1350 and is not being filed as part of the Form N-CSR filed with the Commission. |
Principal Executive Officer
|
Principal Financial Officer | |
Oppenheimer International Bond Fund /s/ William F. Glavin, Jr. |
Oppenheimer International Bond Fund /s/ Brian W. Wixted |
|
William F. Glavin, Jr.
|
Brian W. Wixted | |
Date: 5/8/2012
|
Date: 5/8/2012 |
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