September 30, 2009 Oppenheimer Management Strategic Income Commentaries and Fund Annual Report M A N A G E M E N T C O M M E N TA R I E S Market Recap and Outlook A N N U A L R E P O RT Listing of Top Holdings Fund Performance Discussion Listing of Investments Financial Statements |
Corporate Bonds & Notes—Top Ten Industries | ||||
Oil, Gas &
Consumable Fuels |
4.1 | % | ||
Commercial
Banks |
2.2 | |||
Diversified Financial
Services |
2.0 | |||
Media |
1.5 | |||
Electric
Utilities |
1.3 | |||
Diversified
Telecommunication Services |
1.3 | |||
Health Care Providers
& Services |
1.1 | |||
Hotels, Restaurants
& Leisure |
1.0 | |||
Metals &
Mining |
0.9 | |||
Capital
Markets |
0.9 |
Oppenheimer Strategic Income Fund (Class A) Barclays Capital Aggregate Bond Index Citigroup World Government Bond Index |
Oppenheimer Strategic Income Fund (Class B) Barclays Capital Aggregate Bond Index Citigroup World Government Bond Index |
Oppenheimer Strategic Income Fund (Class C) Barclays Capital Aggregate Bond Index Citigroup World Government Bond Index |
Oppenheimer Strategic Income Fund (Class N) Barclays Capital Aggregate Bond Index Citigroup World Government Bond Index |
Oppenheimer Strategic Income Fund (Class Y) Barclays Capital Aggregate Bond Index Citigroup World Government Bond Index |
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
April 1, 2009 | September 30, 2009 | September 30, 2009 | ||||||||||
Actual |
||||||||||||
Class A |
$ | 1,000.00 | $ | 1,241.60 | $ | 5.35 | ||||||
Class B |
1,000.00 | 1,238.40 | 10.65 | |||||||||
Class C |
1,000.00 | 1,240.80 | 9.64 | |||||||||
Class N |
1,000.00 | 1,242.20 | 7.78 | |||||||||
Class Y |
1,000.00 | 1,242.20 | 4.34 | |||||||||
|
||||||||||||
Hypothetical |
||||||||||||
(5% return before
expenses) |
||||||||||||
Class A |
1,000.00 | 1,020.31 | 4.82 | |||||||||
Class B |
1,000.00 | 1,015.59 | 9.59 | |||||||||
Class C |
1,000.00 | 1,016.50 | 8.68 | |||||||||
Class N |
1,000.00 | 1,018.15 | 7.01 | |||||||||
Class Y |
1,000.00 | 1,021.21 | 3.91 |
Class | Expense Ratios | |||
Class A |
0.95% | |||
Class B |
1.89 | |||
Class C |
1.71 | |||
Class N |
1.38 | |||
Class Y |
0.77 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed
Securities—5.9% |
||||||||
AmeriCredit Prime
Automobile Receivables Trust 2007-1, Automobile Receivables Nts.,
Series 2007-1, Cl. D, 5.62%, 9/8/14 |
$ | 3,354,000 | $ | 2,568,289 | ||||
Argent Securities Trust
2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl.
A2, 0.726%, 5/25/341 |
4,482,726 | 3,069,000 | ||||||
Argent Securities Trust
2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl.
A2B, 0.346%, 9/25/361 |
1,944,586 | 1,118,846 | ||||||
Bank of America Credit
Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16,
Cl. A16, 4.72%, 5/15/13 |
2,500,000 | 2,607,589 | ||||||
Capital Auto
Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities,
Series 2007-1, Cl. B, 5.15%, 9/17/12 |
665,000 | 652,729 | ||||||
Capital One Auto
Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 0.273%,
5/15/131 |
3,320,000 | 3,257,926 | ||||||
Centex Home Equity Loan
Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2,
0.346%, 5/16/361 |
364,570 | 358,133 | ||||||
Citibank Omni Master
Trust, Credit Card Receivables, Series 2009-A12, Cl. A12, 3.35%,
8/15/162,3 |
225,000,000 | 224,921,250 | ||||||
CitiFinancial Mortgage
Securities, Inc., Real Estate Mtg. Investment Conduit Pass-Through
Certificates, Series 2004-1, Cl. AF2, 2.645%, 4/25/34 |
331,557 | 328,788 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates,
Series 2006-WFH3, Cl. A2, 0.346%, 10/25/361 |
1,156,612 | 1,096,667 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2006-WFH4, Asset-Backed Pass-Through Certificates,
Series 2006-WFH4, Cl. AS, 0.346%, 11/25/361 |
2,820,440 | 2,552,202 | ||||||
CNH Equipment Trust,
Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%,
3/15/13 |
3,750,000 | 3,812,896 | ||||||
Countrywide Home Loans,
Asset-Backed Certificates: |
||||||||
Series 2005-16,
Cl. 2AF2, 5.382%, 5/25/361 |
1,877,470 | 1,469,360 | ||||||
Series 2005-17,
Cl. 1AF2, 5.363%, 5/25/361 |
976,189 | 767,047 | ||||||
CWABS Asset-Backed
Certificates Trust 2006-25, Asset-Backed Certificates,
Series 2006-25, Cl. 2A2, 0.366%, 6/25/471 |
4,054,000 | 2,673,396 | ||||||
CWHEQ Revolving Home
Equity Loan Trust, Asset-Backed Certificates: |
||||||||
Series 2005-G, Cl.
2A, 0.473%, 12/15/351 |
586,297 | 182,760 | ||||||
Series 2006-H, Cl.
2A1A, 0.393%, 11/15/361 |
200,917 | 39,298 | ||||||
Discover Card Master
Trust, Credit Card Receivables, Series 2009-A1, Cl. A1, 1.543%,
12/15/141,3 |
65,000,000 | 65,310,531 | ||||||
DLJ Ltd.,
Collateralized Bond Obligations, Series1A, Cl. C2, 11.96%, 4/15/114,5,6 |
15,000,000 | 150 | ||||||
DVI Receivables Corp.,
Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%,
11/11/094,5,6 |
3,083,887 | — | ||||||
Embarcadero Aircraft
Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B,
8/15/254,5,6 |
2,730,094 | — | ||||||
First Franklin Mortgage
Loan Trust 2006-FF10, Mtg. Pass-Through Certificates,
Series 2006-FF10, Cl. A3, 0.336%, 7/25/361 |
3,000,811 | 2,833,334 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed
Securities Continued |
||||||||
First Franklin Mortgage
Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9,
Cl. 2A2, 0.356%, 7/7/361 |
$ | 1,437,453 | $ | 1,089,289 | ||||
First Franklin Mortgage
Loan Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA,
Cl. A3, 0.366%, 9/25/361 |
2,365,307 | 260,658 | ||||||
Ford Credit Auto Owner
Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%,
11/15/11 |
1,820,000 | 1,835,885 | ||||||
Ford Credit Floorplan
Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A,
9/15/123,7 |
110,000,000 | 110,000,000 | ||||||
Goldman Sachs Asset
Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A,
Cl. D, 6/13/114,5,6 |
7,366,648 | — | ||||||
Green Tree Financial
Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates,
Series 1997-5, Cl. M1, 6.95%, 5/15/29 |
4,814,000 | 3,628,167 | ||||||
Greenpoint Credit
Manufactured Housing Contract Trust, Pass-Through Certificates,
Series 2000-3, Cl. IM1, 9.01%, 6/20/31 |
2,907,105 | 412,437 | ||||||
Home Equity Mortgage
Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6,
5.363%, 6/1/35 |
2,662,000 | 631,803 | ||||||
Home Equity Mortgage
Trust 2006-5, Mtg. Pass-Through Certificates, Series 2006-5, Cl. A1,
5.50%, 1/25/37 |
1,071,428 | 98,551 | ||||||
HSBC Home Equity Loan
Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates,
Series 2005-3, Cl. A1, 0.533%, 1/20/351 |
1,385,208 | 1,199,022 | ||||||
HSBC Home Equity Loan
Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates,
Series 2006-4, Cl. A2V, 0.383%, 3/20/361 |
1,520,000 | 1,420,095 | ||||||
Ice Em CLO,
Collateralized Loan Obligations: |
||||||||
Series 2007-1A,
Cl. B, 2.551%, 8/15/221,5 |
20,040,000 | 11,022,000 | ||||||
Series 2007-1A,
Cl. C, 3.851%, 8/15/221,5 |
16,980,000 | 5,943,000 | ||||||
Series 2007-1A,
Cl. D, 5.851%, 8/15/221,5 |
16,980,000 | 4,245,000 | ||||||
Lehman XS Trust, Mtg.
Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%,
10/25/35 |
337,921 | 334,181 | ||||||
Madison Avenue CDO
Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 2.918%,
3/24/141,5 |
4,129,588 | 10,324 | ||||||
Mastr Asset-Backed
Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates,
Series 2006-WMC3, Cl. A3, 0.346%, 8/25/361 |
5,580,000 | 1,830,734 | ||||||
NC Finance Trust, CMO
Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.55%,
1/25/291,5 |
4,475,119 | 671,268 | ||||||
Option One Mortgage
Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2,
0.346%, 7/1/361 |
4,199,805 | 3,410,628 | ||||||
Popular ABS Mortgage
Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates,
Series 2005-6, Cl. A3, 5.68%, 1/25/361 |
1,407,048 | 1,245,141 | ||||||
RASC
Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through
Certificates, Series 2006-KS7, Cl. A2, 0.346%, 9/25/361 |
3,200,678 | 3,047,549 | ||||||
Securitized
Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities,
Series 2007-BR2, Cl. A2, 0.476%, 2/25/371 |
1,732,090 | 734,681 | ||||||
SLM Student Loan Trust,
Student Loan Receivables, Series 2005-B, Cl. B, 0.699%, 6/15/391 |
6,323,000 | 2,043,096 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed
Securities Continued |
||||||||
Start CLO Ltd.,
Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F,
17.322%, 6/7/111,5 |
$ | 5,430,000 | $ | 3,882,450 | ||||
Terwin Mortgage Trust,
Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%,
5/1/37 |
506,650 | 88,521 | ||||||
Wells Fargo Home Equity
Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed
Certificates, Series 2006-2, Cl. A2, 0.346%, 7/25/361 |
1,102,393 | 1,084,980 | ||||||
|
||||||||
Total Asset-Backed
Securities (Cost $559,415,928) |
479,789,651 | |||||||
|
||||||||
Mortgage-Backed
Obligations—21.6% |
||||||||
Government
Agency—9.0% |
||||||||
FHLMC/FNMA/FHLB/Sponsored—8.4% |
||||||||
Federal Home Loan
Mortgage Corp.: |
||||||||
5%,
8/15/33-12/15/34 |
7,024,015 | 7,295,391 | ||||||
5.50%, 9/1/397 |
8,090,000 | 8,479,753 | ||||||
6%,
1/15/19-7/15/24 |
7,911,885 | 8,462,291 | ||||||
6%, 6/15/247 |
5,750,000 | 6,119,259 | ||||||
6.50%,
4/15/18-8/15/32 |
5,868,368 | 6,308,989 | ||||||
7%,
8/15/21-10/1/31 |
4,840,963 | 5,335,505 | ||||||
7.50%,
2/15/32-4/25/36 |
6,137,479 | 6,936,926 | ||||||
8.50%, 8/15/31 |
298,712 | 343,736 | ||||||
10%, 5/15/20 |
141,859 | 160,219 | ||||||
10.50%,
6/14/20 |
147,364 | 168,999 | ||||||
11.50%,
11/14/16 |
45,865 | 48,054 | ||||||
12%,
6/14/10-6/15/17 |
243,038 | 256,454 | ||||||
Federal Home Loan
Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates: |
||||||||
Series 1360, Cl.
PZ, 7.50%, 9/15/22 |
5,532,951 | 6,004,144 | ||||||
Series 151, Cl. F,
9%, 5/15/21 |
11,000 | 11,979 | ||||||
Series 1590, Cl.
IA, 1.30%, 10/15/231 |
5,110,937 | 5,141,329 | ||||||
Series 1674, Cl.
Z, 6.75%, 2/15/24 |
252,174 | 273,137 | ||||||
Series 2006-11,
Cl. PS, 23.664%, 3/25/361 |
2,459,107 | 3,311,675 | ||||||
Series 2034, Cl.
Z, 6.50%, 2/15/28 |
49,155 | 53,042 | ||||||
Series 2043, Cl.
ZP, 6.50%, 4/15/28 |
3,682,374 | 3,943,226 | ||||||
Series 2053, Cl.
Z, 6.50%, 4/15/28 |
45,724 | 49,090 | ||||||
Series 2116, Cl.
ZA, 6%, 1/15/29 |
3,492,209 | 3,775,495 | ||||||
Series 2326, Cl.
ZP, 6.50%, 6/15/31 |
715,422 | 766,482 | ||||||
Series 2344, Cl.
FP, 1.193%, 8/15/311 |
1,795,011 | 1,802,811 | ||||||
Series 2368, Cl.
TG, 6%, 10/15/16 |
816,329 | 877,963 | ||||||
Series 2412, Cl.
GF, 1.193%, 2/15/321 |
3,741,770 | 3,750,641 | ||||||
Series 2427, Cl.
ZM, 6.50%, 3/15/32 |
3,563,422 | 3,818,328 | ||||||
Series 2435, Cl.
EQ, 6%, 5/15/31 |
1,726,507 | 1,754,324 | ||||||
Series 2451, Cl.
FD, 1.243%, 3/15/321 |
1,337,009 | 1,343,990 | ||||||
Series 2453, Cl.
BD, 6%, 5/15/17 |
105,480 | 113,724 | ||||||
Series 2461, Cl.
PZ, 6.50%, 6/15/32 |
276,747 | 301,830 | ||||||
Series 2464, Cl.
FI, 1.243%, 2/15/321 |
1,406,039 | 1,410,311 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored
Continued |
||||||||
Federal Home Loan
Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates: Continued |
||||||||
Series 2470, Cl.
AF, 1.243%, 3/15/321 |
$ | 2,250,484 | $ | 2,265,730 | ||||
Series 2470, Cl.
LF, 1.243%, 2/15/321 |
1,439,261 | 1,443,682 | ||||||
Series 2471, Cl.
FD, 1.243%, 3/15/321 |
2,531,330 | 2,539,363 | ||||||
Series 2475, Cl.
FB, 1.243%, 2/15/321 |
2,032,855 | 2,040,220 | ||||||
Series 2500, Cl.
FD, 0.743%, 3/15/321 |
514,562 | 506,388 | ||||||
Series 2517, Cl.
GF, 1.243%, 2/15/321 |
1,175,983 | 1,179,874 | ||||||
Series 2526, Cl.
FE, 0.643%, 6/15/291 |
623,996 | 610,064 | ||||||
Series 2551, Cl.
FD, 0.643%, 1/15/331 |
465,140 | 458,459 | ||||||
Series 2641, Cl.
CE, 3.50%, 9/15/25 |
583,268 | 585,640 | ||||||
Series 2676, Cl.
KY, 5%, 9/15/23 |
2,516,000 | 2,613,922 | ||||||
Series 2676, Cl.
TF, 0.843%, 1/15/321 |
3,589,494 | 3,555,954 | ||||||
Series 2754, Cl.
PE, 5%, 2/15/34 |
5,000,000 | 5,145,123 | ||||||
Series 2857, Cl.
MG, 5%, 9/1/34 |
5,125,000 | 5,236,848 | ||||||
Series 2934, Cl.
NA, 5%, 4/15/24 |
847,231 | 854,364 | ||||||
Series 2936, Cl.
PE, 5%, 2/1/35 |
2,807,000 | 2,858,033 | ||||||
Series 2947, Cl.
HE, 5%, 3/1/35 |
4,120,000 | 4,200,489 | ||||||
Series 3025, Cl.
SJ, 23.858%, 8/15/351 |
2,587,474 | 3,437,984 | ||||||
Series 3035, Cl.
DM, 5.50%, 11/15/25 |
3,002,621 | 3,053,713 | ||||||
Series 3057, Cl.
LG, 5%, 10/15/35 |
5,000,000 | 5,093,087 | ||||||
Series 3094, Cl.
HS, 23.491%, 6/15/341 |
1,399,003 | 1,763,581 | ||||||
Federal Home Loan
Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 177, Cl.
IO, 13.241%, 7/1/268 |
2,017,154 | 375,458 | ||||||
Series 183, Cl.
IO, 8.417%, 4/1/278 |
787,852 | 147,508 | ||||||
Series 192, Cl.
IO, 7.398%, 2/1/288 |
351,181 | 85,364 | ||||||
Series 205, Cl.
IO, 8.168%, 9/1/298 |
1,913,940 | 379,305 | ||||||
Series 206, Cl.
IO, 0.00%, 12/1/298,22 |
604,449 | 109,071 | ||||||
Series 207, Cl.
IO, 0.00%, 4/1/308,22 |
696,249 | 132,831 | ||||||
Series 2074, Cl.
S, 47.665%, 7/17/288 |
451,002 | 66,258 | ||||||
Series 2079, Cl.
S, 58.858%, 7/17/288 |
742,012 | 110,586 | ||||||
Series 214, Cl.
IO, 0.00%, 6/1/318,22 |
650,822 | 126,385 | ||||||
Series 224, Cl.
IO, 0.009%, 3/1/338 |
3,490,829 | 635,679 | ||||||
Series 243, Cl. 6,
0.00%, 12/15/328,22 |
2,135,322 | 383,880 | ||||||
Series 2526, Cl.
SE, 37.056%, 6/15/298 |
1,127,562 | 184,682 | ||||||
Series 2802, Cl.
AS, 99.999%, 4/15/338 |
2,884,738 | 290,659 | ||||||
Series 2819, Cl.
S, 50.701%, 6/15/348 |
10,235,844 | 1,302,781 | ||||||
Series 2920, Cl.
S, 75.717%, 1/15/358 |
6,173,450 | 737,542 | ||||||
Series 3000, Cl.
SE, 98.035%, 7/15/258 |
7,338,656 | 706,186 | ||||||
Series 3004, Cl.
SB, 99.999%, 7/15/358 |
11,282,484 | 1,309,208 | ||||||
Series 3110, Cl.
SL, 97.521%, 2/15/268 |
2,207,763 | 205,421 | ||||||
Federal Home Loan
Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security,
Series 192, Cl. PO, 7.468%, 2/1/289 |
351,181 | 312,044 | ||||||
Federal National
Mortgage Assn.: |
||||||||
4.50%,
10/1/24-10/1/397 |
26,575,000 | 27,181,872 | ||||||
5%,
11/25/21-12/25/21 |
203,992 | 215,100 | ||||||
5%, 11/1/397 |
67,395,000 | 69,364,215 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored
Continued |
||||||||
Federal National
Mortgage Assn.: Continued |
||||||||
5.303%, 10/1/3610 |
$ | 23,555,525 | $ | 24,627,799 | ||||
5.50%,
1/25/22-8/25/22 |
1,847,769 | 1,957,532 | ||||||
5.50%,
10/1/24-10/1/397 |
129,128,000 | 135,246,172 | ||||||
6%, 10/1/24-10/1/397 |
77,781,000 | 82,289,429 | ||||||
6.50%,
11/25/31-1/1/34 |
7,890,763 | 8,529,989 | ||||||
6.50%,
12/25/29 |
10,156,298 | 10,967,638 | ||||||
6.50%, 10/1/397 |
7,350,000 | 7,856,459 | ||||||
7%,
11/1/17-9/25/34 |
18,620,432 | 20,506,257 | ||||||
7%, 12/25/32 |
8,815,495 | 9,733,963 | ||||||
7.50%,
6/25/10-1/1/33 |
10,371,911 | 11,618,099 | ||||||
8.50%, 7/1/32 |
80,242 | 89,163 | ||||||
9.50%,
4/25/20-4/8/21 |
82,505 | 92,505 | ||||||
11%,
11/8/15-2/25/26 |
267,998 | 312,228 | ||||||
13%, 6/25/15 |
64,023 | 76,308 | ||||||
15%, 5/9/13 |
119,440 | 135,526 | ||||||
Federal National
Mortgage Assn. Grantor Trust: |
||||||||
Interest-Only Stripped
Mtg.-Backed Security, Trust 2001-T10, Cl. IO, 37.958%, 12/25/418 |
113,689,296 | 1,682,454 | ||||||
Interest-Only Stripped
Mtg.-Backed Security, Trust 2001-T3, Cl. IO, 37.525%, 11/25/408 |
13,277,417 | 312,853 | ||||||
Interest-Only Stripped
Mtg.-Backed Security, Trust 2001-T4, Cl. IO, 30.278%, 7/25/418 |
21,721,005 | 569,618 | ||||||
Federal National
Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates: |
||||||||
Trust 1996-35, Cl. Z,
7%, 7/25/26 |
266,163 | 295,178 | ||||||
Trust 1997-45, Cl. CD,
8%, 7/18/27 |
1,555,580 | 1,715,627 | ||||||
Trust 1998-58, Cl. PC,
6.50%, 10/25/28 |
1,725,394 | 1,871,931 | ||||||
Trust 1999-14, Cl. MB,
6.50%, 4/25/29 |
75,831 | 81,502 | ||||||
Trust 1999-54, Cl. LH,
6.50%, 11/25/29 |
3,083,669 | 3,333,693 | ||||||
Trust 2001-19, Cl. Z,
6%, 5/1/31 |
1,750,158 | 1,893,818 | ||||||
Trust 2001-44, Cl. QC,
6%, 9/25/16 |
225,590 | 243,010 | ||||||
Trust 2001-51, Cl. OD,
6.50%, 10/25/31 |
336,683 | 360,795 | ||||||
Trust 2001-65, Cl. F,
0.846%, 11/25/311 |
2,963,948 | 2,950,575 | ||||||
Trust 2001-69, Cl. PF,
1.246%, 12/25/311 |
3,212,517 | 3,228,270 | ||||||
Trust 2001-80, Cl. ZB,
6%, 1/25/32 |
3,446,688 | 3,739,219 | ||||||
Trust 2002-12, Cl. PG,
6%, 3/25/17 |
2,266,822 | 2,445,663 | ||||||
Trust 2002-19, Cl. PE,
6%, 4/25/17 |
1,239,503 | 1,334,722 | ||||||
Trust 2002-21, Cl. PE,
6.50%, 4/25/32 |
3,428,444 | 3,729,073 | ||||||
Trust 2002-29, Cl. F,
1.246%, 4/25/321 |
1,580,624 | 1,588,460 | ||||||
Trust 2002-60, Cl. FH,
1.246%, 8/25/321 |
3,094,558 | 3,104,697 | ||||||
Trust 2002-64, Cl. FJ,
1.246%, 4/25/321 |
485,452 | 485,232 | ||||||
Trust 2002-68, Cl. FH,
0.744%, 10/18/321 |
999,131 | 987,780 | ||||||
Trust 2002-81, Cl. FM,
0.746%, 12/25/321 |
1,852,551 | 1,831,661 | ||||||
Trust 2002-84, Cl. FB,
1.246%, 12/25/321 |
307,709 | 309,037 | ||||||
Trust 2002-9, Cl. PC,
6%, 3/25/17 |
2,540,008 | 2,741,243 | ||||||
Trust 2003-11, Cl. FA,
1.246%, 9/25/321 |
419,903 | 421,715 | ||||||
Trust 2003-116, Cl. FA,
0.646%, 11/25/331 |
648,164 | 635,302 | ||||||
Trust 2003-28, Cl. KG,
5.50%, 4/25/23 |
5,556,000 | 5,857,431 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored
Continued |
||||||||
Federal National
Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates: Continued |
||||||||
Trust 2003-3, Cl. FM,
0.746%, 4/25/331 |
$ | 2,332,962 | $ | 2,301,198 | ||||
Trust 2003-81, Cl. PW,
4%, 3/25/25 |
131,948 | 131,913 | ||||||
Trust 2004-101, Cl. BG,
5%, 1/25/20 |
5,778,000 | 6,162,221 | ||||||
Trust 2004-W9, Cl. 2A2,
7%, 2/25/44 |
1,530,003 | 1,676,418 | ||||||
Trust 2005-100, Cl. BQ,
5.50%, 11/25/25 |
3,800,000 | 3,984,088 | ||||||
Trust 2005-25, Cl. PS,
27.077%, 4/25/351 |
943,963 | 1,299,194 | ||||||
Trust 2005-31, Cl. PB,
5.50%, 4/25/35 |
2,865,000 | 3,048,061 | ||||||
Trust 2005-69, Cl. LE,
5.50%, 11/1/33 |
6,477,571 | 6,800,716 | ||||||
Trust 2005-71, Cl. DB,
4.50%, 8/25/25 |
3,510,000 | 3,620,941 | ||||||
Trust 2006-24, Cl. DB,
5.50%, 4/25/26 |
960,000 | 1,008,859 | ||||||
Trust 2006-46, Cl. SW,
23.296%, 6/25/361 |
3,613,748 | 4,745,261 | ||||||
Federal National
Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-61, Cl. SH,
49.855%, 11/18/318 |
3,364,300 | 430,785 | ||||||
Trust 2001-63, Cl. SD,
23.067%, 12/18/318 |
89,227 | 12,967 | ||||||
Trust 2001-68, Cl. SC,
17.719%, 11/25/318 |
61,272 | 7,920 | ||||||
Trust 2001-81, Cl. S,
35.089%, 1/25/328 |
827,848 | 109,549 | ||||||
Trust 2002-28, Cl. SA,
37.932%, 4/25/328 |
601,092 | 78,636 | ||||||
Trust 2002-38, Cl. SO,
56.274%, 4/25/328 |
558,003 | 64,188 | ||||||
Trust 2002-39, Cl. SD,
40.74%, 3/18/328 |
868,167 | 115,561 | ||||||
Trust 2002-48, Cl. S,
34.361%, 7/25/328 |
944,167 | 128,897 | ||||||
Trust 2002-52, Cl. SL,
35.525%, 9/25/328 |
573,035 | 78,238 | ||||||
Trust 2002-53, Cl. SK,
38.894%, 4/25/328 |
541,175 | 80,659 | ||||||
Trust 2002-56, Cl. SN,
37.06%, 7/25/328 |
1,294,881 | 177,855 | ||||||
Trust 2002-65, Cl. SC,
67.232%, 6/25/268 |
1,691,849 | 268,216 | ||||||
Trust 2002-77, Cl. IS,
47.822%, 12/18/328 |
950,666 | 138,477 | ||||||
Trust 2002-77, Cl. SH,
42.957%, 12/18/328 |
1,040,236 | 169,001 | ||||||
Trust 2002-89, Cl. S,
72.508%, 1/25/338 |
5,816,567 | 878,150 | ||||||
Trust 2002-9, Cl. MS,
33.823%, 3/25/328 |
1,127,472 | 163,648 | ||||||
Trust 2003-13, Cl. IO,
10.77%, 3/25/338 |
4,221,341 | 772,833 | ||||||
Trust 2003-23, Cl. ES,
81.189%, 10/25/228 |
17,665,889 | 1,630,694 | ||||||
Trust 2003-26, Cl. DI,
11.758%, 4/25/338 |
2,783,200 | 470,797 | ||||||
Trust 2003-26, Cl. IK,
15.588%, 4/25/338 |
487,749 | 82,509 | ||||||
Trust 2003-33, Cl. SP,
55.165%, 5/25/338 |
3,745,696 | 515,548 | ||||||
Trust 2003-4, Cl. S,
46.818%, 2/25/338 |
1,918,995 | 266,361 | ||||||
Trust 2003-46, Cl. IH,
0.00%, 6/1/338,22 |
754,667 | 85,479 | ||||||
Trust 2005-14, Cl. SE,
42.486%, 3/25/358 |
1,382,555 | 121,711 | ||||||
Trust 2005-40, Cl. SA,
72.862%, 5/25/358 |
9,408,385 | 1,196,634 | ||||||
Trust 2005-40, Cl. SB,
85.479%, 5/25/358 |
4,207,134 | 675,325 | ||||||
Trust 2005-71, Cl. SA,
71.947%, 8/25/258 |
4,733,365 | 549,113 | ||||||
Trust 2005-87, Cl. SE,
90.624%, 10/25/358 |
46,114,491 | 3,958,897 | ||||||
Trust 2005-87, Cl. SG,
37.683%, 10/25/358 |
1,873,044 | 180,364 | ||||||
Trust 2006-60, Cl. DI,
40.563%, 4/25/358 |
2,273,235 | 331,529 | ||||||
Trust 2006-90, Cl. SX,
99.999%, 9/25/368 |
8,886,939 | 1,709,345 | ||||||
Trust 2007-88, Cl. XI,
13.776%, 6/25/378 |
24,896,956 | 2,465,692 | ||||||
Trust 221, Cl. 2,
19.665%, 5/1/238 |
793,716 | 142,394 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored
Continued |
||||||||
Federal National Mortgage
Assn., Interest-Only Stripped Mtg.-Backed Security: Continued |
||||||||
Trust 240, Cl. 2, 24.055%,
9/1/238 |
$ | 1,296,208 | $ | 232,170 | ||||
Trust 247, Cl. 2, 7.771%,
10/1/238 |
312,595 | 60,277 | ||||||
Trust 252, Cl. 2, 11.62%,
11/1/238 |
93,269 | 17,175 | ||||||
Trust 2682, Cl. TQ,
99.999%, 10/15/338 |
4,005,559 | 651,293 | ||||||
Trust 2981, Cl. BS,
99.999%, 5/15/358 |
7,181,973 | 883,652 | ||||||
Trust 301, Cl. 2, 0.00%,
4/1/298,22 |
1,189,814 | 276,840 | ||||||
Trust 303, Cl. IO,
18.907%, 11/1/298 |
705,612 | 130,274 | ||||||
Trust 313, Cl. 2, 14.439%,
6/1/318 |
10,829,688 | 2,211,081 | ||||||
Trust 319, Cl. 2, 0.00%,
2/1/328,22 |
69,272 | 13,839 | ||||||
Trust 321, Cl. 2, 3.295%,
4/1/328 |
5,171,250 | 1,072,880 | ||||||
Trust 324, Cl. 2, 0.00%,
7/1/328,22 |
2,279,035 | 461,541 | ||||||
Trust 328, Cl. 2, 0.00%,
12/1/328,22 |
7,811,828 | 1,429,184 | ||||||
Trust 331, Cl. 5, 0.00%,
2/1/338,22 |
4,590,881 | 799,828 | ||||||
Trust 334, Cl. 10, 4.448%,
2/1/338 |
3,887,159 | 664,567 | ||||||
Trust 334, Cl. 12, 0.00%,
2/1/338,22 |
5,745,769 | 967,258 | ||||||
Trust 339, Cl. 7, 0.00%,
7/1/338,22 |
13,518,609 | 1,834,606 | ||||||
Trust 345, Cl. 9, 0.00%,
1/1/348,22 |
5,170,447 | 754,464 | ||||||
Trust 351, Cl. 10, 0.00%,
4/1/348,22 |
1,498,082 | 201,346 | ||||||
Trust 351, Cl. 8, 0.643%,
4/1/348 |
2,457,128 | 326,749 | ||||||
Trust 356, Cl. 10, 0.00%,
6/1/358,22 |
2,122,162 | 303,640 | ||||||
Trust 356, Cl. 12, 0.00%,
2/1/358,22 |
1,063,559 | 141,598 | ||||||
Trust 362, Cl. 12, 0.00%,
8/1/358,22 |
130,229 | 22,510 | ||||||
Trust 362, Cl. 13, 0.00%,
8/1/358,22 |
136,471 | 22,877 | ||||||
Federal National Mortgage
Assn., Principal-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 322, Cl. 1, 8.139%,
4/1/329 |
11,878,850 | 10,381,878 | ||||||
Trust 324, Cl. 1, 7.912%,
7/1/329 |
1,014,573 | 890,609 | ||||||
Vendee Mortgage Trust,
Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1992-2, Cl.
IO, 20.561%, 9/15/228 |
11,713,420 | 240,776 | ||||||
Series 1995-2B, Cl.
2IO, 19.564%, 6/15/258 |
784,569 | 22,976 | ||||||
Series 1995-3, Cl.
1IO, 8.81%, 9/15/258 |
26,695,162 | 194,821 | ||||||
|
||||||||
|
682,060,827 | |||||||
|
||||||||
GNMA/Guaranteed—0.6% |
||||||||
Government National
Mortgage Assn.: |
||||||||
4.50%, 10/1/397 |
27,530,000 | 27,942,950 | ||||||
4.625%, 7/1/271 |
6,987 | 7,161 | ||||||
7%,
1/29/28-2/8/30 |
1,826,859 | 2,012,608 | ||||||
8%,
1/29/28-9/29/28 |
706,307 | 802,763 | ||||||
11%, 11/8/19 |
14,612 | 16,225 | ||||||
12%,
12/9/13-9/1/15 |
24,721 | 27,725 | ||||||
12.50%,
12/29/13-11/29/15 |
713,597 | 766,477 | ||||||
13%, 10/30/15 |
1,042,003 | 1,168,228 | ||||||
13.50%, 6/30/15 |
1,459,563 | 1,647,873 |
Principal | ||||||||
Amount | Value | |||||||
GNMA/Guaranteed
Continued |
||||||||
Government National
Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates: |
||||||||
Series 1999-32,
Cl. ZB, 8%, 9/16/29 |
$ | 6,953,442 | $ | 7,591,249 | ||||
Series 2000-12,
Cl. ZA, 8%, 2/16/30 |
3,016,774 | 3,263,763 | ||||||
Government National
Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through
Certificates, Series 2000-7, Cl. Z, 8%, 1/16/30 |
3,340,514 | 3,613,561 | ||||||
Government National
Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1998-19,
Cl. SB, 45.651%, 7/16/288 |
1,511,266 | 226,230 | ||||||
Series 1998-6, Cl.
SA, 63.965%, 3/16/288 |
918,861 | 180,034 | ||||||
Series 2006-47,
Cl. SA, 70.584%, 8/16/368 |
10,695,126 | 1,200,464 | ||||||
|
||||||||
|
50,467,311 | |||||||
|
||||||||
Non-Agency—12.6% |
||||||||
Commercial—6.1% |
||||||||
Banc of America
Commercial Mortgage, Inc., Commercial Mtg. Pass-Through
Certificates: |
||||||||
Series 2007-1, Cl.
AMFX, 5.482%, 1/1/49 |
10,030,000 | 6,856,558 | ||||||
Series 2008-1, Cl.
A4, 6.354%, 12/1/171 |
9,480,000 | 8,617,653 | ||||||
Series 2008-1, Cl.
AM, 6.397%, 2/10/511 |
7,805,000 | 5,325,736 | ||||||
Capital Lease Funding
Securitization LP, Interest-Only Corporate-Backed Pass-Through
Certificates, Series 1997-CTL1, 0.00%, 6/22/248,22 |
2,603,089 | 107,514 | ||||||
ChaseFlex Trust 2006-2,
Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B,
0.366%, 9/25/361 |
16,147 | 16,097 | ||||||
CHL Mortgage
Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates,
Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
9,286,000 | 7,041,539 | ||||||
CHL Mortgage
Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates,
Series 2005-HYB8, Cl. 4A1, 5.497%, 12/20/351 |
509,256 | 345,416 | ||||||
Citigroup Commercial
Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates,
Series 2006-C4, Cl. A3, 5.916%, 3/1/491 |
7,470,000 | 7,027,596 | ||||||
Citigroup,
Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%,
12/11/493 |
68,053,000 | 67,798,298 | ||||||
Credit Suisse
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates,
Series 2007-C3, Cl. A4, 5.723%, 6/1/391 |
3,960,000 | 3,137,389 | ||||||
CWALT Alternative Loan
Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl.
A1, 5.50%, 5/25/37 |
14,119,085 | 10,375,511 | ||||||
Deutsche Alt-A
Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates,
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
3,545,694 | 2,360,697 | ||||||
Deutsche Alt-A
Securities, Inc. Mortgage, Mtg. Pass-Through Certificates,
Series 2007-RS1, Cl. A2, 0.746%, 1/27/371,5 |
3,959,909 | 1,205,297 | ||||||
DLJ Mortgage Acceptance
Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C,
6.097%, 10/15/301,5 |
36,400,000 | 4,732,000 |
Principal | ||||||||
Amount | Value | |||||||
Commercial
Continued |
||||||||
First Horizon
Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through
Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
$ | 2,890,170 | $ | 2,008,539 | ||||
First Horizon Mortgage
Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates,
Series 2007-AR3, Cl. 1A1, 6.115%, 11/1/371 |
12,721,663 | 8,698,945 | ||||||
GE Capital Commercial
Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2,
4.433%, 7/10/39 |
2,263,403 | 2,290,509 | ||||||
GMAC Commercial
Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates,
Series 1998-C1, Cl. F, 4.69%, 5/15/301,5 |
2,000,000 | 1,999,015 | ||||||
Greenwich Capital
Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial
Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%,
8/1/17 |
19,185,000 | 17,322,678 | ||||||
Greenwich Capital
Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial
Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A2, 5.381%,
3/10/393 |
69,976,000 | 69,566,151 | ||||||
GS Mortgage Securities
Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4,
5.56%, 11/1/39 |
4,950,000 | 4,362,552 | ||||||
Indymac Index Mortgage
Loan Trust 2005-AR31, Mtg. Pass-Through Certificates,
Series 2005-AR31, Cl. 2 A2, 5.233%, 1/1/361 |
1,425,458 | 336,849 | ||||||
JPMorgan Chase
Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through
Certificates: |
||||||||
Series 2007-LDPX,
Cl. A2S, 5.305%, 1/15/49 |
9,220,000 | 8,827,906 | ||||||
Series 2007-LDPX,
Cl. A3, 5.42%, 1/15/49 |
11,190,000 | 9,461,316 | ||||||
Series 2007-CB18,
Cl. A4, 5.44%, 6/1/47 |
14,355,000 | 12,369,959 | ||||||
Series 2007-CB18,
Cl. AM, 5.466%, 6/1/47 |
16,086,000 | 11,046,330 | ||||||
Series 2007-LD12,
Cl. A2, 5.827%, 2/15/51 |
5,275,000 | 5,250,571 | ||||||
Series 2008-C2,
Cl. A4, 6.068%, 2/1/51 |
21,180,000 | 15,262,552 | ||||||
Series 2008-C2,
Cl. AM, 6.798%, 2/1/511 |
12,600,000 | 6,411,690 | ||||||
JPMorgan Commercial
Mortgage Finance Corp., Mtg. Pass-Through Certificates,
Series 2000-C9, Cl. A2, 7.77%, 10/15/32 |
84,424 | 84,372 | ||||||
JPMorgan Mortgage Trust
2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4,
5.676%, 4/1/361 |
6,476,129 | 1,891,963 | ||||||
JPMorgan Mortgage Trust
2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2,
5.774%, 1/1/371 |
2,555,012 | 1,801,381 | ||||||
LB Commercial Mortgage
Trust, Commercial Mtg. Pass-Through Certificates, Series 1999-C2, Cl.
C, 7.47%, 10/15/32 |
351,894 | 351,725 | ||||||
LB-UBS Commercial
Mortgage Trust 2000-C3, Commercial Mtg. Pass-Through Certificates,
Series 2000-C3, Cl. A2, 7.95%, 5/15/25 |
5,224,344 | 5,265,970 | ||||||
LB-UBS Commercial
Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates,
Series 2008-C1, Cl. AM, 6.318%, 4/11/411 |
6,640,000 | 4,950,893 | ||||||
Lehman Structured
Securities Corp., Commercial Mtg. Pass-Through Certificates,
Series 2002-GE1, Cl. A, 2.514%, 7/1/242 |
342,378 | 256,254 | ||||||
Mastr Alternative Loan
Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl.
10A1, 6%, 7/25/34 |
3,065,806 | 2,624,464 |
Principal | ||||||||
Amount | Value | |||||||
Commercial
Continued |
||||||||
Morgan Stanley Capital
I Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2006-HQ10,
Cl. AM, 5.36%, 11/1/41 |
$ | 15,740,000 | $ | 11,985,264 | ||||
Series 2007-IQ16,
Cl. A4, 5.809%, 12/1/49 |
8,700,000 | 7,469,261 | ||||||
Morgan Stanley Capital
I Trust 2003-IQ4, Commercial Mtg. Pass-Through Certificates, Trust
2003-IQ4, Cl. A2, 4.07%, 5/1/403 |
30,410,000 | 29,938,989 | ||||||
Morgan Stanley Capital
I Trust 2004-TOP13, Commercial Mtg. Pass-Through Certificates, Trust
2004-TOP13, Cl. A4, 4.66%, 9/1/453 |
25,000,000 | 24,878,368 | ||||||
RALI
Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2005-QA4, Cl. A32, 5.372%, 4/25/351 |
378,080 | 84,219 | ||||||
Residential Asset
Securitization Trust 2006-A12, Mtg. Pass-Through Certificates,
Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 |
2,599,726 | 1,710,268 | ||||||
STARM Mortgage Loan
Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1,
5.83%, 2/1/371 |
29,361,780 | 19,415,521 | ||||||
Structured Asset
Mortgage Investments, Inc., Mtg. Pass-Through Certificates,
Series 2002-AR3, Cl. A2, 0.996%, 9/19/321,5 |
1,701,173 | 774,034 | ||||||
Wachovia Bank
Commercial Mortgage Trust 2003-C9, Commercial Mtg. Pass-Through
Certificates, Series 2003-C9, Cl. A4, 5.012%, 12/1/353 |
34,938,000 | 35,122,396 | ||||||
Wachovia Bank
Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through
Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 |
2,083,000 | 2,071,098 | ||||||
Wachovia Bank
Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through
Certificates, Series 2007-C33, Cl. A4, 5.902%, 2/1/511 |
14,700,000 | 12,145,216 | ||||||
Wachovia Bank
Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through
Certificates, Series 2007-C34, Cl. AJ, 5.956%, 5/1/461 |
6,690,000 | 3,584,664 | ||||||
WaMu Mortgage
Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR15, Cl. 1A, 1.741%, 11/1/461,5 |
3,719,162 | 1,751,806 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates,
Series 2007-OA3, Cl. 5A, 2.151%, 4/1/471,5 |
2,677,574 | 1,132,792 | ||||||
Wells Fargo
Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates,
Series 2004-V, Cl. 1A1, 3.412%, 10/1/341 |
7,688,904 | 7,251,740 | ||||||
Wells Fargo
Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates,
Series 2004-W, Cl. B2, 4.256%, 11/1/341 |
2,816,257 | 1,262,190 | ||||||
Wells Fargo
Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Asset-Backed Pass-Through
Certificates, Series 2005-AR1, Cl. 1A1, 4.526%, 2/1/351 |
13,796,168 | 12,389,413 | ||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR8, Cl. 1A3, 3.818%, 4/25/361 |
8,525,517 | 6,092,015 | ||||||
|
||||||||
|
496,449,139 | |||||||
|
||||||||
Manufactured
Housing—0.2% |
||||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/361 |
13,854,893 | 10,954,971 |
Principal | ||||||||
Amount | Value | |||||||
Manufactured Housing
Continued |
||||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR2, Cl. 2A5, 5.031%, 3/25/361 |
$ | 4,221,413 | $ | 3,457,359 | ||||
|
||||||||
|
14,412,330 | |||||||
|
||||||||
Multifamily—0.1% |
||||||||
Merrill Lynch Mortgage
Investors Trust 2005-A2, Mtg. Pass-Through Certificates,
Series 2005-A2, Cl. A2, 4.479%, 2/1/351 |
3,196,478 | 2,870,847 | ||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR10, Cl. 2A1, 5.60%, 7/25/361 |
6,475,929 | 4,837,682 | ||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/361 |
6,913,524 | 5,721,400 | ||||||
|
||||||||
|
13,429,929 | |||||||
|
||||||||
Residential—6.2% |
||||||||
Banc of America
Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates,
Series 2007-4, Cl. AM, 6.002%, 8/1/171 |
16,580,000 | 11,951,325 | ||||||
Bear Stearns ARM Trust
2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2,
3.94%, 5/1/341,5 |
11,328,169 | 9,145,500 | ||||||
Bear Stearns ARM Trust
2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1,
4.983%, 11/1/341 |
5,477,010 | 5,228,725 | ||||||
Chase Mortgage Finance
Trust 2006-S3, Multiclass Mtg. Pass-Through Certificates,
Series 2006-S3, Cl. 1A2, 6%, 11/1/36 |
10,650,000 | 8,020,788 | ||||||
Chase Mortgage Finance
Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates,
Series 2007-A1, Cl. 9A1, 4.566%, 2/1/371 |
7,579,733 | 7,066,253 | ||||||
CHL Mortgage
Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates,
Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 |
8,168,499 | 7,493,852 | ||||||
CHL Mortgage
Pass-Through Trust 2005-27, Mtg. Pass-Through Certificates,
Series 2005-27, Cl. 2A1, 5.50%, 12/1/35 |
7,492,400 | 5,981,283 | ||||||
CHL Mortgage
Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates,
Series 2005-31, Cl. 2A4, 5.445%, 1/1/361 |
3,416,054 | 896,423 | ||||||
CHL Mortgage
Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates,
Series 2005-J4, Cl. A7, 5.50%, 11/1/35 |
5,301,000 | 3,825,668 | ||||||
CHL Mortgage
Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates,
Series 2007-HY3, Cl. 1A1, 5.724%, 6/1/471,5 |
6,731,554 | 3,635,039 | ||||||
CHL Mortgage
Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: |
||||||||
Series 2007-HY4,
Cl. 1A1, 6.073%, 9/1/471 |
35,827,003 | 22,799,735 | ||||||
Series 2007-HY4,
Cl. 1A2, 6.073%, 9/1/471,5 |
8,768,310 | 1,402,930 | ||||||
Series 2007-HY4,
Cl. 2A2, 6.207%, 11/1/371,5 |
1,924,932 | 307,989 | ||||||
Series 2007-HY4,
Cl. 3A2, 6.395%, 11/1/371,5 |
2,072,131 | 290,098 | ||||||
CHL Mortgage
Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: |
||||||||
Series 2007-HY5,
Cl. 1A2, 5.922%, 9/1/371,5 |
9,599,419 | 1,919,884 |
Principal | ||||||||
Amount | Value | |||||||
Residential
Continued |
||||||||
CHL Mortgage
Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates:
Continued |
||||||||
Series 2007-HY5,
Cl. 2A2, 5.955%, 9/1/371,5 |
$ | 2,530,756 | $ | 480,844 | ||||
Series 2007-HY5,
Cl. 3A2, 6.157%, 9/1/371,5 |
6,479,455 | 1,360,685 | ||||||
Citigroup Commercial
Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates,
Series 2007-C6, Cl. A2, 5.888%, 8/1/121 |
2,810,000 | 2,832,488 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2,
Cl. 1A3, 4.954%, 5/1/351,5 |
9,014,386 | 7,277,314 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3,
Cl. 2A4, 5.189%, 8/1/351 |
18,309,590 | 11,429,027 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2006-AR1, Asset-Backed Pass-Through Certificates,
Series 2006-AR1, Cl. 3A2, 5.50%, 3/1/361 |
9,933,431 | 2,343,444 | ||||||
Citigroup Mortgage Loan
Trust, Inc. 2006-AR2, Asset-Backed Pass-Through Certificates: |
||||||||
Series 2006-AR2,
Cl. 1A2, 5.528%, 3/1/361 |
21,185,783 | 14,499,204 | ||||||
Series 2006-AR2,
Cl. 1AB, 5.591%, 3/1/36 |
8,705,869 | 2,328,768 | ||||||
Citigroup,
Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg.
Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%,
12/1/49 |
14,345,000 | 9,788,677 | ||||||
CitiMortgage
Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit
Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%,
10/1/21 |
6,645,098 | 5,708,437 | ||||||
CWALT Alternative Loan
Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB,
Cl. 1A10, 6%, 2/1/37 |
33,460,338 | 22,661,830 | ||||||
GSR Mortgage Loan Trust
2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1,
3.837%, 5/1/341 |
8,173,513 | 6,481,468 | ||||||
GSR Mortgage Loan Trust
2005-AR6, Mtg. Pass-Through Certificates: |
||||||||
Series 2005-AR6,
Cl. 1A4, 3.716%, 9/1/351 |
23,220,761 | 17,814,801 | ||||||
Series 2005-AR6,
Cl. 3A1, 4.558%, 9/25/351 |
10,272,415 | 9,144,440 | ||||||
GSR Mortgage Loan Trust
2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1,
5.338%, 11/1/351 |
7,498,249 | 5,940,969 | ||||||
GSR Mortgage Loan Trust
2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1,
5.799%, 3/1/371,5 |
8,278,797 | 6,340,611 | ||||||
JP Morgan Mortgage
Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl.
5A3, 4.439%, 11/1/331 |
4,062,342 | 3,899,562 | ||||||
JPMorgan Mortgage Trust
2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1,
5.294%, 7/1/351,5 |
13,843,475 | 11,213,215 | ||||||
JPMorgan Mortgage Trust
2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3,
5.996%, 5/1/371,5 |
4,009,364 | 568,127 | ||||||
LB-UBS Commercial
Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates,
Series 2007-C7, Cl. AM, 6.374%, 9/11/451 |
26,810,000 | 19,454,357 | ||||||
Mastr Adjustable Rate
Mortgages Trust 2006-2, Mtg. Pass-Through Certificates,
Series 2006-2, Cl. 1A1, 4.337%, 4/1/361 |
7,489,781 | 5,149,501 |
Principal | ||||||||
Amount | Value | |||||||
Residential
Continued |
||||||||
Merrill Lynch Mortgage
Investors Trust 2006-3, Mtg. Pass-Through Certificates,
Series 2006-3, Cl. 2A1, 6.08%, 10/25/361 |
$ | 12,888,273 | $ | 11,085,429 | ||||
RALI
Series 2006-QS13 Trust: |
||||||||
Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%,
9/25/36 |
1,236,893 | 1,167,706 | ||||||
Mtg. Asset-Backed
Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%,
9/25/36 |
9,859,030 | 7,731,610 | ||||||
RALI
Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates,
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
4,016,884 | 2,477,395 | ||||||
Residential Asset
Securitization Trust 2005-A14, Mtg. Pass-Through Certificates,
Series 2005-A14, Cl. A1, 5.50%, 12/1/35 |
9,429,000 | 6,994,560 | ||||||
Residential Asset
Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates,
Series 2005-A6CB, Cl. A7, 6%, 6/1/35 |
14,431,590 | 10,629,080 | ||||||
Residential Funding
Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, 5.756%,
7/1/371,5 |
7,316,129 | 525,298 | ||||||
Salomon Brothers
Mortgage Securities VII, Inc., CMO: |
||||||||
Series 2001-UP2,
Cl. AF2, 7.25%, 10/25/31 |
88,072 | 93,674 | ||||||
Series 2000-UP1,
Cl. A2, 8%, 9/25/30 |
316,639 | 285,956 | ||||||
Salomon Smith Barney RV
Trust, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B,
6.64%, 4/15/18 |
1,628,447 | 1,633,986 | ||||||
WaMu Mortgage
Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates,
Series 2003-AR9, Cl. 2A, 2.881%, 9/25/331 |
3,885,817 | 3,615,919 | ||||||
WaMu Mortgage
Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates,
Series 2007-AR12, Cl. 1A8, 4.822%, 10/1/351 |
8,644,681 | 7,016,588 | ||||||
WaMu Mortgage
Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR10, Cl. 1A2, 5.922%, 9/1/361 |
9,141,126 | 7,565,816 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through
Certificates: |
||||||||
Series 2007-HY1,
Cl. 4A1, 5.392%, 2/1/371 |
44,951,912 | 28,962,274 | ||||||
Series 2007-HY1,
Cl. 5A1, 5.737%, 2/1/371 |
26,912,598 | 19,527,111 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates,
Series 2007-HY2, Cl. 1A1, 5.564%, 12/1/361 |
30,759,743 | 19,812,637 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates,
Series 2007-HY3, Cl. 4A1, 5.32%, 3/1/371 |
28,242,236 | 22,215,020 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates,
Series 2007-HY4, Cl. 4A1, 5.499%, 9/25/361 |
25,870,852 | 19,438,398 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates,
Series 2007-HY6, Cl. 2A1, 5.667%, 6/25/371 |
13,492,400 | 8,859,734 | ||||||
WaMu Mortgage
Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates,
Series 2007-HY7, Cl. 2A1, 5.79%, 7/1/371 |
7,333,936 | 4,606,241 | ||||||
Wells Fargo
Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through
Certificates, Series 2005-AR16, Cl. 2A1, 4.418%, 10/1/351 |
5,061,158 | 4,391,006 |
Principal | ||||||||||
Amount | Value | |||||||||
Residential
Continued |
||||||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through
Certificates: |
||||||||||
Series 2006-AR10,
Cl. 3A2, 4.393%, 7/1/361,5 |
$ | 2,085,808 | $ | 396,304 | ||||||
Series 2006-AR10,
Cl. 4A2, 5.557%, 7/1/361,5 |
7,768,750 | 1,476,063 | ||||||||
Series 2006-AR10,
Cl. 5A3, 5.592%, 7/1/361 |
3,732,628 | 2,760,442 | ||||||||
Series 2006-AR10,
Cl. 5A6, 5.592%, 7/1/361 |
39,912,077 | 29,885,381 | ||||||||
Series 2006-AR10,
Cl. 2A2, 5.60%, 7/1/361,5 |
5,510,335 | 991,860 | ||||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through
Certificates, Series 2006-AR13, Cl. A4, 5.747%, 9/1/361 |
29,050,000 | 18,835,950 | ||||||||
Wells Fargo
Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates,
Series 2006-AR8, Cl. 2A1, 5.24%, 4/1/361 |
5,973,234 | 4,600,926 | ||||||||
|
||||||||||
|
504,265,625 | |||||||||
|
||||||||||
Total Mortgage-Backed
Obligations (Cost $1,959,971,643) |
1,761,085,161 | |||||||||
|
||||||||||
U.S. Government
Obligations—2.2% |
||||||||||
Federal Home Loan Bank
Unsec. Bonds, 3.625%, 10/18/13 |
22,230,000 | 23,445,892 | ||||||||
Federal Home Loan
Mortgage Corp. Nts., 2.50%, 4/23/14 |
44,800,000 | 44,943,674 | ||||||||
Federal National
Mortgage Assn. Nts.: |
||||||||||
3%, 9/16/14 |
31,585,000 | 32,157,983 | ||||||||
4.375%, 10/15/1511 |
22,491,000 | 24,224,291 | ||||||||
Resolution Funding
Corp. Bonds, Residual Funding STRIPS, 5.913%, 1/15/2112 |
11,580,000 | 7,187,173 | ||||||||
U.S. Treasury Bills,
0.10%, 10/15/0910 |
39,700,000 | 39,697,221 | ||||||||
U.S. Treasury Bonds,
STRIPS, 4.989%, 2/15/1612 |
11,271,000 | 9,321,838 | ||||||||
|
||||||||||
Total U.S. Government
Obligations (Cost $177,261,521) |
180,978,072 | |||||||||
|
||||||||||
Foreign Government
Obligations—28.6% |
||||||||||
Argentina—0.4% |
||||||||||
Argentina (Republic of)
Bonds: |
||||||||||
0.943%, 8/3/121 |
8,860,876 | 7,211,518 | ||||||||
Series GDP,
1.626%, 12/15/351 |
23,710,000 | 1,695,265 | ||||||||
Series V, 7%,
3/28/11 |
4,160,000 | 3,778,782 | ||||||||
Series VII, 7%,
9/12/13 |
1,205,000 | 931,164 | ||||||||
Argentina (Republic of)
Sr. Unsec. Nts., 7%, 10/3/15 |
21,410,000 | 14,729,640 | ||||||||
|
||||||||||
|
28,346,369 | |||||||||
|
||||||||||
Australia—0.1% |
||||||||||
New South Wales
Treasury Corp. Bonds: |
||||||||||
Series 12, 6%,
5/1/12 |
2,205,000 | AUD | 1,983,553 | |||||||
Series 14, 5.50%,
8/1/14 |
3,210,000 | AUD | 2,816,796 | |||||||
|
||||||||||
|
4,800,349 | |||||||||
|
||||||||||
Belgium—0.1% |
||||||||||
Belgium (Kingdom of)
Bonds, Series 44, 5%, 3/28/35 |
4,425,000 | EUR | 7,142,494 |
Principal | ||||||||||
Amount | Value | |||||||||
Brazil—4.3% |
||||||||||
Banco Nacional de
Desenvolvimento Economico e Social Nts., 6.369%, 6/16/182,3 |
$ | 9,320,000 | $ | 9,844,250 | ||||||
Brazil (Federal Republic
of) Bonds: |
||||||||||
6%, 1/17/173 |
26,685,000 | 29,006,595 | ||||||||
8%, 1/15/18 |
174,722 | 203,202 | ||||||||
8.875%, 10/14/19 |
6,055,000 | 7,886,638 | ||||||||
Brazil (Federal Republic
of) Nota Do Tesouro Nacional Nts.: |
||||||||||
10%, 1/10/10 |
10,582,000 | BRR | 6,118,206 | |||||||
10%, 1/1/12 |
159,624,000 | BRR | 89,523,768 | |||||||
10%, 1/1/14 |
36,620,000 | BRR | 19,616,667 | |||||||
10%, 1/1/17 |
319,200,000 | BRR | 161,898,660 | |||||||
10.878%, 5/15/45 |
9,870,000 | BRR | 10,164,948 | |||||||
Brazil (Federal Republic
of) Nts., 7.875%, 3/7/15 |
7,950,000 | 9,412,800 | ||||||||
Brazil (Federal Republic
of) Sr. Nts., 5.875%, 1/15/19 |
5,780,000 | 6,242,400 | ||||||||
|
||||||||||
|
349,918,134 | |||||||||
|
||||||||||
Canada—0.2% |
||||||||||
Ontario (Province of)
Bonds, 4.20%, 3/8/18 |
9,235,000 | CAD | 8,956,048 | |||||||
Quebec (Province of) Nts.,
4.50%, 12/1/18 |
9,150,000 | CAD | 8,955,574 | |||||||
|
||||||||||
|
17,911,622 | |||||||||
|
||||||||||
Colombia—0.7% |
||||||||||
Bogota Distrio Capital Sr.
Bonds, 9.75%, 7/26/282 |
9,427,000,000 | COP | 4,520,567 | |||||||
Colombia (Republic of)
Bonds: |
||||||||||
7.375%, 9/18/373 |
10,402,000 | 11,806,270 | ||||||||
12%, 10/22/15 |
29,864,000,000 | COP | 18,418,644 | |||||||
Colombia (Republic of)
Nts., 11.75%, 3/1/10 |
5,175,000,000 | COP | 2,773,056 | |||||||
Colombia (Republic of) Sr.
Nts., 7.375%, 3/18/19 |
15,960,000 | 18,330,060 | ||||||||
Colombia (Republic of)
Unsec. Nts., 7.375%, 1/27/17 |
350,000 | 402,850 | ||||||||
Colombia (Republic of)
Unsec. Unsub. Bonds, 9.85%, 6/28/27 |
4,473,000,000 | COP | 2,481,942 | |||||||
|
||||||||||
|
58,733,389 | |||||||||
|
||||||||||
Denmark—0.1% |
||||||||||
Denmark (Kingdom of)
Bonds, 4%, 11/15/17 |
30,400,000 | DKK | 6,240,496 | |||||||
Egypt—0.9% |
||||||||||
Egypt (The Arab Republic
of) Treasury Bills: |
||||||||||
Series 182, 9.576%,
10/20/0912 |
20,850,000 | EGP | 3,770,129 | |||||||
Series 182, 9.704%,
11/3/0912 |
31,000,000 | EGP | 5,585,409 | |||||||
Series 182, 9.679%,
11/10/0912 |
6,950,000 | EGP | 1,249,977 | |||||||
Series 182, 9.595%,
12/8/0912 |
31,175,000 | EGP | 5,569,797 | |||||||
Series 273, 9.595%,
12/8/0912 |
31,275,000 | EGP | 5,587,664 | |||||||
Series 364, 9.59%,
10/20/0912 |
43,600,000 | EGP | 7,883,818 |
Principal | ||||||||||
Amount | Value | |||||||||
Egypt
Continued |
||||||||||
Egypt (The Arab Republic
of) Treasury Bills: Continued |
||||||||||
Series 364, 9.827%,
11/3/0912 |
44,250,000 | EGP | $ | 7,978,994 | ||||||
Series 364, 9.656%,
11/10/0912 |
137,900,000 | EGP | 24,811,097 | |||||||
Egypt (The Arab Republic
of) Unsec. Unsub. Bonds, 8.75%, 7/15/122,3 |
62,285,000 | EGP | 11,433,633 | |||||||
|
||||||||||
|
73,870,518 | |||||||||
|
||||||||||
France—0.7% |
||||||||||
France (Government of)
Bonds, 3.75% 10/25/19 |
9,575,000 | EUR | 14,269,379 | |||||||
France (Government of)
Obligations Assimilables du Tresor Bonds, 4%, 10/25/38 |
9,555,000 | EUR | 13,802,903 | |||||||
France (Government of)
Treasury Nts., 1.50%, 9/12/11 |
21,925,000 | EUR | 32,218,899 | |||||||
|
||||||||||
|
60,291,181 | |||||||||
|
||||||||||
Germany—2.0% |
||||||||||
Germany (Federal Republic
of) Bonds: |
||||||||||
3.50%, 7/4/19 |
32,685,000 | EUR | 48,946,620 | |||||||
Series 03, 3.75%,
7/4/13 |
51,485,000 | EUR | 79,750,292 | |||||||
Series 08, 4.75%,
7/4/40 |
10,005,000 | EUR | 16,702,008 | |||||||
Germany (Federal Republic
of) Treasury Bills, Series 23, 0.495%, 12/9/0912 |
12,150,000 | EUR | 17,725,032 | |||||||
|
||||||||||
|
163,123,952 | |||||||||
|
||||||||||
Ghana—0.1% |
||||||||||
Ghana (Republic of) Bonds,
8.50%, 10/4/172 |
4,400,000 | 4,422,000 | ||||||||
Greece—0.4% |
||||||||||
Greece (Republic of)
Bonds, 4.60%, 5/20/13 |
22,695,000 | EUR | 35,214,878 | |||||||
Hungary—1.4% |
||||||||||
Hungary (Republic of)
Bonds: |
||||||||||
Series 10/C, 6.75%,
4/12/10 |
705,000,000 | HUF | 3,818,857 | |||||||
Series 11/B, 6%,
10/12/11 |
190,000,000 | HUF | 1,006,687 | |||||||
Series 11/C, 6.75%,
4/22/11 |
3,506,700,000 | HUF | 18,849,089 | |||||||
Series 11/A, 7.50%,
2/12/11 |
95,000,000 | HUF | 518,298 | |||||||
Series 12/C, 6%,
10/24/12 |
4,604,000,000 | HUF | 24,029,958 | |||||||
Series 12/B, 7.25%,
6/12/12 |
2,032,000,000 | HUF | 10,994,511 | |||||||
Series 13/D, 6.75%,
2/12/13 |
1,130,000,000 | HUF | 6,015,184 | |||||||
Series 14/C, 5.50%,
2/12/14 |
1,217,700,000 | HUF | 6,113,238 | |||||||
Series 15/A, 8%,
2/12/15 |
4,866,000,000 | HUF | 26,860,954 | |||||||
Series 17/B, 6.75%,
2/24/17 |
475,700,000 | HUF | 2,436,053 | |||||||
Series 19/A, 6.50%,
6/24/19 |
2,820,000,000 | HUF | 13,932,701 | |||||||
|
||||||||||
|
114,575,530 |
Principal | |||||||||
Amount | Value | ||||||||
Indonesia—0.9% |
|||||||||
Indonesia (Republic of)
Nts.: |
|||||||||
6.75%, 3/10/142 |
$ | 3,484,000 | $ | 3,788,850 | |||||
6.875%, 1/17/182 |
21,501,000 | 23,328,585 | |||||||
7.25%, 4/20/152 |
10,270,000 | 11,425,375 | |||||||
Indonesia (Republic of)
Sr. Unsec. Nts.: |
|||||||||
7.75%, 1/17/382 |
3,280,000 | 3,657,200 | |||||||
10.375%, 5/4/142 |
3,840,000 | 4,694,400 | |||||||
11.625%, 3/4/192 |
5,111,000 | 7,219,288 | |||||||
Indonesia (Republic of)
Unsec. Nts., 8.50%, 10/12/352 |
13,940,000 | 16,937,100 | |||||||
|
|||||||||
|
71,050,798 | ||||||||
|
|||||||||
Israel—0.5% |
|||||||||
Israel (State of)
Bonds: |
|||||||||
5.50%, 2/28/17 |
60,080,000 | ILS | 17,418,654 | ||||||
Series 2682, 7.50%,
3/31/14 |
68,180,000 | ILS | 21,658,667 | ||||||
|
|||||||||
|
39,077,321 | ||||||||
|
|||||||||
Italy—0.7% |
|||||||||
Italy (Republic of)
Treasury Bonds: |
|||||||||
Buoni del Tesoro
Poliennali, 3.75%, 12/15/13 |
25,481,000 | EUR | 38,720,560 | ||||||
Buoni del Tesoro
Poliennali, 5.25%, 8/1/11 |
13,710,000 | EUR | 21,440,413 | ||||||
|
|||||||||
|
60,160,973 | ||||||||
|
|||||||||
Japan—3.1% |
|||||||||
Japan (Government of)
Bonds: |
|||||||||
2 yr., 0.20%, 10/15/117 |
1,489,000,000 | JPY | 16,574,487 | ||||||
5 yr., Series 72,
1.50%, 6/20/137 |
5,657,500,000 | JPY | 65,516,768 | ||||||
10 yr., Series 279,
2%, 3/20/167 |
1,484,000,000 | JPY | 17,807,835 | ||||||
10 yr., Series 282,
1.70%, 9/20/167 |
4,152,000,000 | JPY | 48,957,429 | ||||||
10 yr., Series 301,
1.50%, 6/20/197 |
3,701,000,000 | JPY | 42,148,645 | ||||||
20 yr., Series 112,
2.10%, 6/20/297 |
5,199,000,000 | JPY | 58,603,297 | ||||||
|
|||||||||
|
249,608,461 | ||||||||
|
|||||||||
Mexico—2.6% |
|||||||||
United Mexican States
Bonds: |
|||||||||
5.625%, 1/15/17 |
2,860,000 | 2,982,980 | |||||||
Series A, 6.375%,
1/16/13 |
6,840,000 | 7,534,260 | |||||||
Series M 10, 7.75%,
12/14/171 |
558,200,000 | MXN | 41,204,317 | ||||||
Series MI10, 8%,
12/19/13 |
1,021,470,000 | MXN | 77,860,883 | ||||||
Series M10, 8%,
12/17/15 |
190,000,000 | MXN | 14,334,111 | ||||||
Series MI10, 9.50%,
12/18/141 |
171,000,000 | MXN | 13,794,532 | ||||||
Series M20, 10%,
12/5/241 |
469,000,000 | MXN | 40,172,698 | ||||||
United Mexican States Sr.
Unsec. Bonds, 6.05%, 1/11/40 |
675,000 | 676,688 |
Principal | |||||||||
Amount | Value | ||||||||
Mexico
Continued |
|||||||||
United Mexican States Sr.
Unsec. Nts., 5.875%, 2/17/143 |
$ | 11,175,000 | $ | 12,013,125 | |||||
|
|||||||||
|
210,573,594 | ||||||||
|
|||||||||
Norway—0.0% |
|||||||||
Norway (Kingdom of) Bonds,
6.50%, 5/15/13 |
18,500,000 | NOK | 3,530,290 | ||||||
|
|||||||||
Panama—0.5% |
|||||||||
Panama (Republic of)
Bonds: |
|||||||||
6.70%, 1/26/36 |
7,375,000 | 8,186,250 | |||||||
7.25%, 3/15/15 |
18,905,000 | 21,693,488 | |||||||
8.875%, 9/30/27 |
4,925,000 | 6,525,625 | |||||||
9.375%, 4/1/29 |
5,500,000 | 7,535,000 | |||||||
|
|||||||||
|
43,940,363 | ||||||||
|
|||||||||
Peru—1.4% |
|||||||||
Peru (Republic of)
Bonds: |
|||||||||
7.35%, 7/21/25 |
6,200,000 | 7,269,500 | |||||||
7.84%, 8/12/20 |
61,210,000 | PEN | 25,028,596 | ||||||
9.91%, 5/5/15 |
70,149,000 | PEN | 31,213,085 | ||||||
Series 7, 8.60%,
8/12/17 |
71,402,000 | PEN | 30,636,259 | ||||||
Series 8-1, 12.25%,
8/10/11 |
9,850,000 | PEN | 4,065,841 | ||||||
Peru (Republic of) Sr.
Nts., 4.54%, 2/28/1612 |
14,029,589 | 10,905,200 | |||||||
Peru (Republic of) Sr.
Unsec. Nts., 7.125%, 3/30/19 |
3,797,000 | 4,398,825 | |||||||
|
|||||||||
|
113,517,306 | ||||||||
|
|||||||||
Philippines—0.3% |
|||||||||
Philippines (Republic of
the) Bonds, 8%, 1/15/16 |
8,590,000 | 9,964,400 | |||||||
Philippines (Republic of
the) Unsec. Bonds: |
|||||||||
7.75%, 1/14/31 |
7,320,000 | 8,353,950 | |||||||
9%, 2/15/13 |
930,000 | 1,090,425 | |||||||
Power Sector Assets &
Liabilities Management Corp. Gtd. Sr. Unsec. Nts., 7.25%, 5/27/192 |
4,750,000 | 5,082,500 | |||||||
|
|||||||||
|
24,491,275 | ||||||||
|
|||||||||
Poland—0.3% |
|||||||||
Poland (Republic of)
Bonds: |
|||||||||
Series WS0922, 5.75%,
9/23/22 |
8,880,000 | PLZ | 2,959,192 | ||||||
Series 0414, 5.75%,
4/25/145 |
19,875,000 | PLZ | 6,942,151 | ||||||
Series 0511, 4.25%,
5/24/11 |
48,475,000 | PLZ | 16,759,588 | ||||||
|
|||||||||
|
26,660,931 |
Principal | |||||||||
Amount | Value | ||||||||
Portugal—0.1% |
|||||||||
Portugal (Republic of)
Obrigacoes Do Tesouro Bonds, 5%, 6/15/12 |
5,025,000 | EUR | $ | 7,951,274 | |||||
Spain—0.1% |
|||||||||
Spain (Government of)
Bonos Y Oblig Del Estado, 4.25% 1/31/14 |
5,085,000 | EUR | 7,963,156 | ||||||
Sweden—0.1% |
|||||||||
Sweden (Kingdom of) Bonds,
Series 1050, 3%, 7/12/16 |
45,725,000 | SEK | 6,520,946 | ||||||
The
Netherlands—0.1% |
|||||||||
Netherlands (Kingdom of
the) Bonds, 5%, 7/15/11 |
6,885,000 | EUR | 10,747,052 | ||||||
Turkey—4.6% |
|||||||||
Turkey (Republic of)
Bonds: |
|||||||||
6.75%, 4/3/183 |
11,135,000 | 11,789,738 | |||||||
7%, 9/26/16 |
20,140,000 | 21,777,382 | |||||||
7%, 3/11/19 |
4,415,000 | 4,735,088 | |||||||
10.673%, 5/11/1112 |
54,600,000 | TRY | 32,221,027 | ||||||
12.047%, 2/2/1112 |
62,260,000 | TRY | 37,750,789 | ||||||
14%, 1/19/111 |
38,490,000 | TRY | 27,753,521 | ||||||
16%, 3/7/121 |
240,590,000 | TRY | 185,468,302 | ||||||
Series CPI, 10%,
2/15/121 |
16,920,000 | TRY | 15,518,165 | ||||||
Series CPI, 12%,
8/14/131 |
15,695,000 | TRY | 14,104,481 | ||||||
Turkey (Republic of)
Nts.: |
|||||||||
7.25%, 3/15/153 |
10,915,000 | 11,951,925 | |||||||
7.50%, 7/14/17 |
2,600,000 | 2,879,500 | |||||||
Turkey (Republic of) Sr.
Unsec. Nts., 7.50%, 11/7/19 |
7,425,000 | 8,223,188 | |||||||
|
|||||||||
|
374,173,106 | ||||||||
|
|||||||||
United
Kingdom—0.7% |
|||||||||
United Kingdom Treasury
Bonds: |
|||||||||
2.25%, 3/7/14 |
10,861,000 | GBP | 17,130,862 | ||||||
4.25%, 3/7/11 |
10,390,000 | GBP | 17,400,792 | ||||||
4.75%, 12/7/38 |
13,435,000 | GBP | 23,895,672 | ||||||
|
|||||||||
|
58,427,326 | ||||||||
|
|||||||||
Uruguay—0.6% |
|||||||||
Uruguay (Oriental Republic
of) Bonds: |
|||||||||
4.945%, 4/5/27 |
167,100,000 | UYU | 7,421,421 | ||||||
7.625%, 3/21/36 |
6,690,000 | 7,091,400 | |||||||
Uruguay (Oriental Republic
of) Sr. Nts., 6.875%, 9/28/25 |
7,470,000 | 7,697,835 | |||||||
Uruguay (Oriental Republic
of) Unsec. Bonds: |
|||||||||
5%, 9/14/18 |
232,960,000 | UYU | 14,063,241 | ||||||
8%, 11/18/22 |
13,350,000 | 15,018,750 | |||||||
|
|||||||||
|
51,292,647 | ||||||||
|
|||||||||
Venezuela—0.6% |
|||||||||
Venezuela (Republic of)
Bonds, 9%, 5/7/23 |
9,715,000 | 7,334,825 |
Principal | |||||||||
Amount | Value | ||||||||
Venezuela
Continued |
|||||||||
Venezuela (Republic of)
Nts.: |
|||||||||
8.50%, 10/8/14 |
$ | 8,240,000 | $ | 7,374,800 | |||||
10.75%, 9/19/13 |
5,970,000 | 5,940,150 | |||||||
Venezuela (Republic of)
Unsec. Bonds, 7.65%, 4/21/25 |
20,045,000 | 13,329,925 | |||||||
Venezuela (Republic of)
Unsec. Nts.: |
|||||||||
6%, 12/9/20 |
6,770,000 | 4,163,550 | |||||||
13.625%, 8/15/185 |
9,860,000 | 10,155,800 | |||||||
|
|||||||||
|
48,299,050 | ||||||||
|
|||||||||
Total Foreign Government
Obligations (Cost $2,165,578,837) |
2,332,576,781 | ||||||||
Loan
Participations—2.5% |
|||||||||
Bayerische Hypo-und
Vereinsbank AG for the City of Kiev, Ukraine Nts., 8.625%, 7/15/112 |
20,560,000 | 17,167,600 | |||||||
Credit Suisse First Boston
International, Export-Import Bank of Ukraine: |
|||||||||
7.65% Sr. Sec. Bonds,
9/7/11 |
2,800,000 | 2,506,000 | |||||||
8.40% Sec. Nts.,
2/9/16 |
12,860,000 | 9,773,600 | |||||||
Dali Capital plc/Bank of
Moscow, 7.25% Sec. Nts., Series 28, Tranche 1, 11/25/09 |
136,600,000 | RUR | 4,562,993 | ||||||
Gaz Capital SA: |
|||||||||
7.288% Sr. Sec. Nts.,
8/16/372,13 |
31,310,000 | 29,431,400 | |||||||
7.51% Sr. Sec. Nts.,
7/31/132,3 |
15,360,000 | 16,320,000 | |||||||
8.625% Sr. Sec. Nts.,
4/28/342 |
135,000 | 148,163 | |||||||
Kuznetski Capital SA/Bank
of Moscow, 7.375% Nts., 1/26/102 |
6,585,000 | 6,749,625 | |||||||
Nuveen Investments, Inc.,
Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/151 |
13,635,000 | 13,703,175 | |||||||
RSHB Capital SA/OJSC
Russian Agricultural Bank, 7.75% Nts., 5/29/182 |
5,090,000 | 5,260,006 | |||||||
Steel Capital SA for OAO
Severstal, 9.75% Sec. Nts., 7/29/132,3 |
13,630,000 | 13,715,188 | |||||||
TransCapitalInvest Ltd.
for OJSC AK Transneft, 5.67% Sec. Bonds, 3/5/142 |
5,970,000 | 5,814,392 | |||||||
VIP Finance Ireland Ltd.,
9.125% Bonds, 4/30/182 |
16,800,000 | 17,661,000 | |||||||
VTB Capital SA: |
|||||||||
6.25% Sr. Nts.,
6/30/352 |
6,690,000 | 6,271,875 | |||||||
6.315% Sub. Unsec. Nts.,
2/4/15 |
39,855,000 | 39,107,719 | |||||||
6.875% Sr. Sec. Nts.,
5/29/182 |
11,820,000 | 11,701,800 | |||||||
|
|||||||||
Total Loan Participations
(Cost $202,232,735) |
199,894,536 | ||||||||
Corporate Bonds and
Notes—28.5% |
|||||||||
Consumer
Discretionary—3.6% |
|||||||||
Auto
Components—0.1% |
|||||||||
Allison Transmission,
Inc., 11% Sr. Nts., 11/1/152,3 |
9,820,000 | 9,672,700 | |||||||
Goodyear Tire & Rubber
Co. (The), 9% Sr. Unsec. Nts., 7/1/15 |
2,150,000 | 2,241,375 | |||||||
|
|||||||||
|
11,914,075 |
Principal | ||||||||
Amount | Value | |||||||
Automobiles—0.5% |
||||||||
Case New Holland, Inc.,
7.125% Sr. Unsec. Nts., 3/1/143 |
$ | 10,975,000 | $ | 10,810,375 | ||||
Daimler Finance North
America LLC: |
||||||||
5.75% Unsec. Unsub. Nts.,
Series E, 9/8/11 |
1,966,000 | 2,066,274 | ||||||
5.875% Sr. Unsec. Unsub.
Nts., 3/15/11 |
3,505,000 | 3,638,460 | ||||||
Ford Motor Co., 7.45%
Bonds, 7/16/31 |
10,380,000 | 8,459,700 | ||||||
Ford Motor Credit Co.
LLC: |
||||||||
7.50% Sr. Unsec. Unsub.
Nts., 8/1/12 |
4,690,000 | 4,506,729 | ||||||
8% Unsec. Nts.,
6/1/14 |
9,970,000 | 9,593,862 | ||||||
|
||||||||
|
39,075,400 | |||||||
|
||||||||
Diversified Consumer
Services—0.1% |
||||||||
Service Corp.
International: |
||||||||
6.75% Sr. Unsec. Nts.,
4/1/15 |
3,655,000 | 3,600,175 | ||||||
7% Sr. Unsec. Unsub. Nts.,
6/15/175 |
1,625,000 | 1,592,500 | ||||||
|
||||||||
|
5,192,675 | |||||||
|
||||||||
Hotels, Restaurants
& Leisure—1.0% |
||||||||
CCM Merger, Inc., 8%
Unsec. Nts., 8/1/135 |
3,390,000 | 2,796,750 | ||||||
Greektown Holdings, Inc.,
10.75% Sr. Nts., 12/1/132,4 |
10,575,000 | 2,617,313 | ||||||
Harrah’s Operating Co.,
Inc., 10% Sr. Sec. Nts., 12/15/182 |
11,341,000 | 9,072,800 | ||||||
Harrah’s Operating Escrow
LLC/Harrah’s Escrow Group, 11.25% Sr. Sec. Nts., 6/1/172 |
3,100,000 | 3,200,750 | ||||||
Isle of Capri Casinos,
Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 |
5,575,000 | 4,989,625 | ||||||
Las Vegas Sands Corp.,
6.375% Sr. Unsec. Nts., 2/15/15 |
1,500,000 | 1,350,000 | ||||||
Mashantucket Pequot Tribe,
8.50% Bonds, Series A, 11/15/152 |
14,255,000 | 5,238,713 | ||||||
McDonald’s Corp., 5.80%
Sr. Unsec. Nts., 10/15/17 |
1,586,000 | 1,780,935 | ||||||
MGM Mirage, Inc.: |
||||||||
6.75% Sr. Unsec. Nts.,
4/1/13 |
2,370,000 | 1,993,763 | ||||||
8.50% Sr. Unsec. Nts.,
9/15/10 |
1,655,000 | 1,650,863 | ||||||
Mohegan Tribal Gaming
Authority, 6.125% Sr. Unsec. Sub. Nts., 2/15/13 |
3,220,000 | 2,680,650 | ||||||
Park Place Entertainment
Corp., 7.875% Sr. Sub. Nts., 3/15/10 |
5,595,000 | 5,622,975 | ||||||
Peninsula Gaming
LLC: |
||||||||
8.375% Sr. Sec. Nts.,
8/15/152 |
925,000 | 929,625 | ||||||
10.75% Sr. Unsec. Nts.,
8/15/172 |
2,295,000 | 2,317,950 | ||||||
Penn National Gaming,
Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/192 |
5,490,000 | 5,531,175 | ||||||
Pinnacle Entertainment,
Inc.: |
||||||||
8.25% Sr. Unsec. Sub.
Nts., 3/15/12 |
2,603,000 | 2,616,015 | ||||||
8.625% Sr. Nts.,
8/1/172 |
905,000 | 914,050 | ||||||
Pokagon Gaming Authority,
10.375% Sr. Nts., 6/15/142 |
3,465,000 | 3,620,925 | ||||||
Premier Cruise Ltd., 11%
Sr. Nts., 3/15/084,5,6 |
10,850,000 | — | ||||||
Station Casinos, Inc.,
6.50% Sr. Unsec. Sub. Nts., 2/1/144 |
21,670,000 | 866,800 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants
& Leisure Continued |
||||||||
Travelport LLC, 11.875%
Sr. Unsec. Sub. Nts., 9/1/16 |
$ | 5,420,000 | $ | 4,986,400 | ||||
Wendy’s/Arby’s Group,
Inc., 10% Sr. Unsec. Nts., 7/15/162 |
7,070,000 | 7,547,225 | ||||||
Wynn Las Vegas LLC/Wynn
Las Vegas Capital Corp., 6.625% Nts., 12/1/14 |
6,600,000 | 6,402,000 | ||||||
|
||||||||
|
78,727,302 | |||||||
|
||||||||
Household
Durables—0.2% |
||||||||
Jarden Corp., 7.50% Sr.
Unsec. Sub. Nts., 5/1/17 |
8,325,000 | 8,137,688 | ||||||
K. Hovnanian
Enterprises, Inc.: |
||||||||
7.75% Sr. Unsec. Sub.
Nts., 5/15/13 |
2,370,000 | 1,836,750 | ||||||
8.875% Sr. Sub. Nts.,
4/1/12 |
6,655,000 | 5,623,475 | ||||||
Lennar Corp., 12.25%
Sr. Unsec. Nts., 6/1/17 |
1,785,000 | 2,186,625 | ||||||
|
||||||||
|
17,784,538 | |||||||
|
||||||||
Media—1.5% |
||||||||
Allbritton
Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 |
5,007,000 | 4,731,615 | ||||||
AMC Entertainment,
Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 |
5,800,000 | 5,626,000 | ||||||
American Media
Operations, Inc.: |
||||||||
9% Sr. Unsec. Nts.,
5/1/132 |
2,071 | 1,305 | ||||||
12.02% Sr. Sub. Nts.,
11/1/132 |
8,804,267 | 5,546,688 | ||||||
Belo Corp.: |
||||||||
6.75% Sr. Unsec. Unsub.
Nts., 5/30/13 |
450,000 | 424,688 | ||||||
7.75% Sr. Unsec. Unsub.
Debs., 6/1/27 |
4,495,000 | 3,556,669 | ||||||
CCH I LLC/CCH I Capital
Corp., 11% Sr. Sec. Nts., 10/1/154 |
9,770,000 | 1,856,300 | ||||||
Charter Communications
Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25%
Sr. Unsec. Nts., 9/15/104,6 |
3,880,000 | 4,384,400 | ||||||
Charter Communications
Operating LLC/Charter Communications Operating Capital Corp.: |
||||||||
8.375% Sr. Nts., Second
Lien, 4/30/142 |
3,305,000 | 3,387,625 | ||||||
12.875% Sr. Sec. Nts.,
9/15/141,2 |
3,340,000 | 3,632,250 | ||||||
Cinemark USA, Inc.,
8.625% Sr. Nts., 6/15/192 |
1,965,000 | 2,041,144 | ||||||
Comcast Corp., 5.70%
Unsec. Unsub. Nts., 5/15/18 |
6,277,000 | 6,612,449 | ||||||
Fisher Communications,
Inc., 8.625% Sr. Unsec. Nts., 9/15/14 |
1,385,000 | 1,288,050 | ||||||
Lin Television Corp.,
6.50% Sr. Sub. Nts., 5/15/13 |
14,198,000 | 12,920,180 | ||||||
Marquee Holdings, Inc.,
9.505% Sr. Nts., 8/15/141 |
2,520,000 | 2,097,900 | ||||||
Mediacom LLC/Mediacom
Capital Corp., 9.125% Sr. Nts., 8/15/192 |
5,585,000 | 5,766,513 | ||||||
MediaNews Group,
Inc.: |
||||||||
6.375% Sr. Sub. Nts.,
4/1/144,5 |
2,445,000 | 6,357 | ||||||
6.875% Sr. Unsec. Sub.
Nts., 10/1/134,5 |
8,285,000 | 21,541 | ||||||
News America, Inc.,
6.15% Sr. Unsec. Unsub. Nts., 3/1/37 |
2,928,000 | 2,874,245 | ||||||
NTL Cable plc, 9.125%
Sr. Nts., 8/15/16 |
3,905,000 | 4,031,913 | ||||||
Sinclair Broadcast
Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 |
12,360,000 | 10,969,500 |
Principal | |||||||||
Amount | Value | ||||||||
Media
Continued |
|||||||||
Time Warner Cable,
Inc.: |
|||||||||
6.20% Sr. Unsec. Nts.,
7/1/13 |
$ | 4,265,000 | $ | 4,650,953 | |||||
8.75% Sr. Unsub. Nts.,
2/14/19 |
2,361,000 | 2,914,246 | |||||||
Time Warner, Inc., 6.50%
Sr. Unsec. Debs., 11/15/36 |
4,364,000 | 4,480,986 | |||||||
TL Acquisitions, Inc.,
10.50% Sr. Nts., 1/15/152 |
5,830,000 | 5,538,500 | |||||||
Valassis Communications,
Inc., 8.25% Sr. Unsec. Unsub. Nts., 3/1/15 |
7,030,000 | 6,335,788 | |||||||
Virgin Media Finance
plc: |
|||||||||
8.75% Sr. Unsec. Nts.,
4/15/14 |
2,225,000 | 2,280,625 | |||||||
9.50% Sr. Bonds,
8/15/16 |
3,650,000 | 3,859,875 | |||||||
Warner Music Group Corp.,
7.375% Sr. Sub. Bonds, 4/15/14 |
7,760,000 | 7,469,000 | |||||||
WMG Acquisition Corp.,
9.50% Sr. Sec. Nts., 6/15/162 |
2,215,000 | 2,347,900 | |||||||
|
|||||||||
|
121,655,205 | ||||||||
|
|||||||||
Specialty
Retail—0.1% |
|||||||||
Home Depot, Inc. (The),
5.875% Sr. Unsec. Unsub. Nts., 12/16/36 |
5,389,000 | 5,245,863 | |||||||
Leslie’s Poolmart, Inc.,
7.75% Sr. Unsec. Nts., 2/1/135 |
4,990,000 | 5,014,950 | |||||||
|
|||||||||
|
10,260,813 | ||||||||
|
|||||||||
Textiles, Apparel &
Luxury Goods—0.1% |
|||||||||
Levi Strauss & Co.,
9.75% Sr. Unsec. Unsub. Nts., 1/15/15 |
8,520,000 | 8,903,400 | |||||||
Consumer
Staples—1.7% |
|||||||||
Beverages—0.3% |
|||||||||
AmBev International
Finance Co. Ltd., 9.50% |
|||||||||
Sr. Unsec. Unsub. Nts.,
7/24/171,2 |
13,860,000 | BRR | 7,588,733 | ||||||
Cott Beverages USA, Inc.,
8% Unsec. Sub. Nts., 12/15/11 |
8,825,000 | 8,813,969 | |||||||
Diageo Capital plc, 7.375%
Sr. Unsec. Unsub. Nts., 1/15/14 |
2,486,000 | 2,884,787 | |||||||
PepsiCo, Inc., 7.90% Sr.
Unsec. Nts., 11/1/18 |
2,798,000 | 3,539,095 | |||||||
|
|||||||||
|
22,826,584 | ||||||||
|
|||||||||
Food & Staples
Retailing—0.4% |
|||||||||
Albertson’s, Inc., 8% Sr.
Unsec. Debs., 5/1/31 |
9,055,000 | 8,172,138 | |||||||
CVS Caremark Corp., 6.60%
Nts., 3/15/19 |
2,784,000 | 3,143,932 | |||||||
Kroger Co. (The), 7.50%
Sr. Unsec., Nts., 1/15/14 |
2,501,000 | 2,885,929 | |||||||
Real Time Data Co., 11%
Nts., 5/31/094,5,6,14 |
8,836,185 | — | |||||||
Rite Aid Corp.: |
|||||||||
7.50% Sr. Sec. Nts.,
3/1/17 |
9,120,000 | 8,071,200 | |||||||
9.50% Sr. Unsec. Unsub.
Nts., 6/15/17 |
3,330,000 | 2,713,950 | |||||||
Wal-Mart Stores,
Inc.: |
|||||||||
5.80% Sr. Unsec. Unsub.
Nts., 2/15/18 |
5,908,000 | 6,647,528 | |||||||
6.20% Sr. Unsec. Nts.,
4/15/38 |
3,498,000 | 3,995,101 | |||||||
|
|||||||||
|
35,629,778 |
Principal | ||||||||
Amount | Value | |||||||
Food
Products—0.8% |
||||||||
Chiquita Brands
International, Inc.: |
||||||||
7.50% Sr. Unsec. Nts.,
11/1/14 |
$ | 5,030,000 | $ | 5,030,000 | ||||
8.875% Sr. Unsec. Unsub.
Nts., 12/1/15 |
4,480,000 | 4,636,800 | ||||||
Dean Foods Co., 7% Sr.
Unsec. Unsub. Nts., 6/1/163 |
11,530,000 | 11,039,975 | ||||||
Del Monte Corp., 7.50% Sr.
Sub. Nts., 10/15/192,7 |
445,000 | 451,675 | ||||||
Dole Food Co.,
Inc.: |
||||||||
8% Sr. Sec. Nts.,
10/1/162 |
1,780,000 | 1,795,575 | ||||||
8.875% Sr. Unsec. Nts.,
3/15/11 |
6,176,000 | 6,214,600 | ||||||
JBS USA LLC/JBS USA
Finance, Inc., 11.625% Sr. Nts., 5/1/142 |
5,765,000 | 6,226,200 | ||||||
Kraft Foods, Inc., 6.125%
Sr. Unsec. Unsub. Nts., 2/1/18 |
6,303,000 | 6,690,074 | ||||||
MHP SA, 10.25% Sr. Sec.
Sub. Bonds, 11/30/112 |
5,365,000 | 4,788,263 | ||||||
Pinnacle Foods Finance
LLC/Pinnacle Foods Finance Corp., |
||||||||
10.625% Sr. Sub. Nts.,
4/1/17 |
10,660,000 | 10,939,825 | ||||||
Smithfield Foods, Inc., 7%
Sr. Nts., 8/1/113 |
8,975,000 | 8,660,875 | ||||||
|
||||||||
|
66,473,862 | |||||||
|
||||||||
Personal
Products—0.1% |
||||||||
Elizabeth Arden, Inc.,
7.75% Sr. Unsec. Sub. Nts., 1/15/14 |
5,315,000 | 5,075,825 | ||||||
Tobacco—0.1% |
||||||||
Altria Group, Inc., 9.70%
Sr. Unsec. Nts., 11/10/18 |
4,688,000 | 5,832,045 | ||||||
Philip Morris
International, Inc., 5.65% Sr. Unsec. Unsub. Nts., 5/16/18 |
3,346,000 | 3,567,632 | ||||||
|
||||||||
|
9,399,677 | |||||||
|
||||||||
Energy—4.3% |
||||||||
Energy Equipment &
Services—0.2% |
||||||||
Helix Energy Solutions
Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/162 |
6,725,000 | 6,758,625 | ||||||
Key Energy Services, Inc.,
8.375% Sr. Unsec. Nts., 12/1/14 |
5,455,000 | 5,209,525 | ||||||
Pride International, Inc.,
8.50% Sr. Nts., 6/15/19 |
2,735,000 | 3,022,175 | ||||||
|
||||||||
|
14,990,325 | |||||||
|
||||||||
Oil, Gas &
Consumable Fuels—4.1% |
||||||||
Anadarko Petroleum Corp.,
7.625% Sr. Unsec. Nts., 3/15/14 |
3,711,000 | 4,239,877 | ||||||
Arch Coal, Inc., 8.75% Sr.
Nts., 8/1/162 |
5,425,000 | 5,614,875 | ||||||
Atlas Energy Resources
LLC, 10.75% Sr. Nts., 2/1/182 |
9,235,000 | 9,627,488 | ||||||
Atlas Pipeline Partners
LP, 8.125% Sr. Unsec. Nts., 12/15/15 |
5,105,000 | 4,135,050 | ||||||
Berry Petroleum
Co.: |
||||||||
8.25% Sr. Sub. Nts.,
11/1/16 |
4,330,000 | 4,178,450 | ||||||
10.25% Sr. Unsec. Nts.,
6/1/14 |
4,945,000 | 5,303,513 | ||||||
Bill Barrett Corp., 9.875%
Sr. Nts., 7/15/16 |
4,705,000 | 4,975,538 | ||||||
Canadian Natural Resources
Ltd., 6.75% Sr. Unsec. Unsub. Nts., 2/1/39 |
3,300,000 | 3,727,875 | ||||||
Chesapeake Energy Corp.,
6.875% Sr. Unsec. Nts., 1/15/16 |
9,055,000 | 8,624,888 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas &
Consumable Fuels Continued |
||||||||
Cimarex Energy Co., 7.125%
Sr. Nts., 5/1/17 |
$ | 2,425,000 | $ | 2,267,375 | ||||
Concho Resources, Inc.,
8.625% Sr. Unsec. Nts., 10/1/17 |
1,335,000 | 1,375,050 | ||||||
ConocoPhillips, 6.50% Sr.
Unsec. Nts., 2/1/39 |
8,935,000 | 10,336,124 | ||||||
Continental Resources,
Inc., 8.25% Sr. Unsec. Nts., 10/1/192 |
1,115,000 | 1,151,238 | ||||||
Denbury Resources, Inc.,
7.50% Sr. Sub. Nts., 12/15/15 |
7,900,000 | 7,880,250 | ||||||
Enterprise Products
Operating LLP: |
||||||||
6.50% Sr. Unsec. Unsub.
Nts., 1/31/19 |
3,141,000 | 3,435,638 | ||||||
8.375% Jr. Sub. Nts.,
8/1/661 |
10,470,000 | 9,801,794 | ||||||
Forest Oil Corp.: |
||||||||
7.25% Sr. Unsec. Nts.,
6/15/192 |
3,690,000 | 3,468,600 | ||||||
8.50% Sr. Nts.,
2/15/142 |
6,605,000 | 6,687,563 | ||||||
Gaz Capital SA: |
||||||||
8.125% Nts., 7/31/142 |
6,200,000 | 6,665,000 | ||||||
8.146% Sr. Sec. Nts.,
4/11/182 |
6,670,000 | 7,078,871 | ||||||
Kazmunaigaz Finance Sub
BV: |
||||||||
9.125% Nts., 7/2/182 |
16,470,000 | 17,952,300 | ||||||
11.75% Sr. Unsec. Nts.,
1/23/152 |
33,200,000 | 39,425,000 | ||||||
Kinder Morgan Energy
Partners LP, 6% Sr. Unsec. Nts., 2/1/17 |
4,222,000 | 4,420,628 | ||||||
Marathon Oil Corp., 5.90%
Unsec. Unsub. Nts., 3/15/18 |
4,014,000 | 4,202,024 | ||||||
Mariner Energy, Inc.,
11.75% Sr. Unsec. Nts., 6/30/16 |
5,075,000 | 5,493,688 | ||||||
Massey Energy Co., 6.875%
Sr. Unsec. Nts., 12/15/13 |
8,275,000 | 8,026,750 | ||||||
Newfield Exploration Co.,
6.625% Sr. Unsec. Unsub. Nts., 4/15/16 |
4,545,000 | 4,476,825 | ||||||
North American Energy
Alliance LLC, 10.875% Sr. Sec. Nts., 6/1/162 |
3,110,000 | 3,218,850 | ||||||
Pemex Project Funding
Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/382 |
12,660,000 | 11,963,700 | ||||||
Petrobras International
Finance Co., 7.875% Sr. Unsec. Nts., 3/15/19 |
5,970,000 | 6,917,738 | ||||||
Petrohawk Energy Corp.,
10.50% Sr. Nts., 8/1/142 |
4,835,000 | 5,221,800 | ||||||
Petroleos Mexicanos, 8%
Unsec. Unsub. Nts., 5/3/19 |
3,830,000 | 4,393,010 | ||||||
Petroleum Co. of Trinidad
& Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/192 |
7,700,000 | 8,758,750 | ||||||
Petroleum Export Ltd.
Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/112 |
15,342,004 | 14,981,620 | ||||||
Pioneer Natural Resources
Co.: |
||||||||
6.65% Sr. Unsec. Nts.,
3/15/17 |
610,000 | 583,675 | ||||||
6.875% Sr. Unsec. Unsub.
Nts., 5/1/18 |
1,010,000 | 969,150 | ||||||
Plains Exploration &
Production Co., 10% Sr. Unsec. Nts., 3/1/16 |
9,785,000 | 10,592,263 | ||||||
Quicksilver Resources,
Inc.: |
||||||||
7.125% Sr. Sub. Nts.,
4/1/16 |
4,310,000 | 3,760,475 | ||||||
8.25% Sr. Unsec. Nts.,
8/1/15 |
1,815,000 | 1,778,700 | ||||||
11.75% Sr. Nts.,
1/1/16 |
4,575,000 | 5,066,813 | ||||||
SandRidge Energy, Inc.,
9.875% Sr. Unsec. Nts., 5/15/162,3 |
8,280,000 | 8,673,300 | ||||||
Shell International
Finance BV, 6.375% Sr. Nts., 12/15/38 |
4,955,000 | 5,906,821 | ||||||
Southwestern Energy Co.,
7.50% Sr. Nts., 2/1/182 |
3,955,000 | 4,014,325 |
Principal | |||||||||
Amount | Value | ||||||||
Oil, Gas &
Consumable Fuels Continued |
|||||||||
Tengizchevroil LLP, 6.124%
Nts., 11/15/142,3 |
$ | 14,442,651 | $ | 14,298,225 | |||||
TGI International Ltd.,
9.50% Nts., 10/3/172 |
5,508,000 | 5,948,640 | |||||||
TransCanada PipeLines
Ltd., 7.625% Sr. Unsec. Nts., 1/15/39 |
3,407,000 | 4,363,273 | |||||||
Western Refining, Inc.,
11.25% Sr. Sec. Nts., 6/15/172 |
5,980,000 | 5,681,000 | |||||||
Williams Cos., Inc. (The),
8.75% Unsec. Nts., 3/15/32 |
4,087,000 | 4,700,181 | |||||||
XTO Energy, Inc.: |
|||||||||
5.50% Sr. Unsec. Nts.,
6/15/18 |
2,348,000 | 2,427,266 | |||||||
6.50% Sr. Unsec. Unsub.
Nts., 12/15/18 |
3,721,000 | 4,115,046 | |||||||
|
|||||||||
|
332,906,893 | ||||||||
|
|||||||||
Financials—6.5% |
|||||||||
Capital
Markets—0.9% |
|||||||||
Credit Suisse New York, 5%
Sr. Unsec. Nts., 5/15/133 |
10,613,000 | 11,244,930 | |||||||
Deutsche Bank AG, London,
4.875% Sr. Unsec. Nts., 5/20/13 |
4,227,000 | 4,507,711 | |||||||
Goldman Sachs Group, Inc.
(The): |
|||||||||
6% Sr. Nts.,
5/1/14 |
1,435,000 | 1,562,808 | |||||||
6.15% Sr. Unsec. Nts.,
4/1/183 |
12,896,000 | 13,587,909 | |||||||
7.50% Sr. Unsec. Nts.,
2/15/19 |
10,304,000 | 11,804,128 | |||||||
Morgan Stanley, 6% Sr.
Unsec. Unsub. Nts., Series F, 4/28/15 |
23,209,000 | 24,611,636 | |||||||
UBS AG Stamford CT, 5.75%
Sr. Unsec. Nts., 4/25/18 |
3,228,000 | 3,286,036 | |||||||
|
|||||||||
|
70,605,158 | ||||||||
|
|||||||||
Commercial
Banks—2.2% |
|||||||||
Banco BMG SA, 9.15% Nts.,
1/15/162,3 |
17,395,000 | 18,264,750 | |||||||
Banco de Credito del Peru,
6.95% Sub. Nts., 11/7/211,2 |
5,425,000 | 5,452,125 | |||||||
Bank of Scotland
plc: |
|||||||||
4.375% Sr. Sec. Nts.,
7/13/16 |
20,340,000 | EUR | 30,142,406 | ||||||
4.50% Sr. Sec. Nts.,
7/13/21 |
11,660,000 | EUR | 16,483,741 | ||||||
Barclays Bank plc, 5.20%
Sr. Unsec. Nts., 7/10/14 |
2,491,000 | 2,635,172 | |||||||
Corparacion Adina de
Fomento, 8.125% Nts., 6/4/19 |
4,080,000 | 4,755,660 | |||||||
Hana Bank, 6.50% Sr.
Unsec. Nts., 4/9/122 |
5,700,000 | 6,113,455 | |||||||
HSBC Finance
Corp.: |
|||||||||
4.75% Sr. Unsec. Nts.,
7/15/13 |
2,382,000 | 2,424,345 | |||||||
5.70% Sr. Unsec. Nts.,
6/1/11 |
3,670,000 | 3,808,454 | |||||||
HSBC Holdings plc, 6.80%
Sub. Nts., 6/1/38 |
5,386,000 | 6,063,947 | |||||||
HSBK Europe BV: |
|||||||||
7.25% Unsec. Unsub. Nts.,
5/3/172 |
3,440,000 | 2,838,000 | |||||||
9.25% Sr. Nts.,
10/16/132,3 |
40,440,000 | 39,226,800 | |||||||
ICICI Bank Ltd., 6.375%
Bonds, 4/30/221,2 |
18,530,000 | 15,204,180 | |||||||
Inter-American Development
Bank: |
|||||||||
6.26% Nts., 12/8/091,5 |
7,500,000 | BRR | 5,439,998 | ||||||
8.729% Nts., 1/25/121 |
3,356,071,549 | COP | 1,641,564 |
Principal | |||||||||
Amount | Value | ||||||||
Commercial Banks
Continued |
|||||||||
Ongko International
Finance Co. BV, 10.50% Sec. Nts., 3/29/104,5,6 |
$ | 5,010,000 | $ | — | |||||
Salisbury International
Investments Ltd., 4.66% Sec. Nts., Series 2006-003, Tranche E,
7/20/111,5 |
5,000,000 | 3,722,500 | |||||||
Wells Fargo & Co.,
5.25% Sr. Unsec. Unsub. Nts., 10/23/12 |
14,032,000 | 14,986,036 | |||||||
|
|||||||||
|
179,203,133 | ||||||||
|
|||||||||
Consumer
Finance—0.3% |
|||||||||
American Express Credit
Corp.: |
|||||||||
5.875% Sr. Unsec. Nts.,
5/2/13 |
4,848,000 | 5,146,011 | |||||||
7.30% Sr. Unsec. Nts.,
Series C, 8/20/13 |
4,379,000 | 4,862,056 | |||||||
Capital One Bank USA
NA, 8.80% Sub. Nts., 7/15/19 |
2,612,000 | 3,024,479 | |||||||
JSC Astana Finance,
9.16% Nts., 3/14/124,5 |
26,000,000 | 3,250,000 | |||||||
SLM Corp.: |
|||||||||
4.50% Nts.,
Series A, 7/26/10 |
9,540,000 | 9,272,250 | |||||||
8.45% Sr. Unsec. Nts.,
Series A, 6/15/18 |
4,246,000 | 3,392,214 | |||||||
|
|||||||||
|
28,947,010 | ||||||||
|
|||||||||
Diversified
Financial Services—2.0% |
|||||||||
Autopistas del Nordeste
Cayman Ltd., 9.39% Nts., 1/15/262,3 |
19,044,299 | 11,521,801 | |||||||
BA Covered Bond Issuer,
4.25% Sec. Nts., 4/5/17 |
3,275,000 | EUR | 4,676,081 | ||||||
Banco Invex SA, 27.615%
Mtg.-Backed Certificates, Series 062U, 3/13/341,15 |
17,204,645 | MXN | 4,115,628 | ||||||
Bank of America
Corp.: |
|||||||||
4.90% Sr. Unsec. Nts.,
5/1/13 |
6,560,000 | 6,732,771 | |||||||
5.65% Sr. Unsec. Nts.,
5/1/18 |
16,560,000 | 16,378,602 | |||||||
Bear Stearns Cos. LLC
(The), 7.25% Sr. Unsec. Nts., 2/1/183 |
9,418,000 | 10,772,902 | |||||||
Citigroup,
Inc.: |
|||||||||
5.50% Sr. Unsec. Nts.,
4/11/133 |
24,595,000 | 25,196,667 | |||||||
6.50% Sr. Nts.,
8/19/13 |
6,605,000 | 6,941,875 | |||||||
Cloverie plc, 4.542%
Sec. Nts., Series 2005-93, 12/20/101,5 |
6,700,000 | 5,824,310 | |||||||
Export-Import Bank of
Korea (The), 5.875% Sr. Unsec. Nts., 1/14/15 |
6,200,000 | 6,552,656 | |||||||
GMAC LLC, 8% Sr. Unsec.
Unsub. Nts., 11/1/312 |
5,665,000 | 4,616,975 | |||||||
JPMorgan Chase &
Co., 6.40% Sr. Unsec. Nts., 5/15/38 |
17,062,000 | 19,167,997 | |||||||
JPMorgan Hipotecaria su
Casita: |
|||||||||
6.47% Sec. Nts.,
8/26/355 |
20,232,960 | MXN | 1,259,416 | ||||||
25.79% Mtg.-Backed
Certificates, Series 06U, 9/25/351 |
9,992,157 | MXN | 1,792,769 | ||||||
Korea Development Bank,
8% Sr. Nts., 1/23/14 |
6,500,000 | 7,437,105 | |||||||
Merrill Lynch &
Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 |
15,361,000 | 17,364,013 | |||||||
National Rural
Utilities Cooperative Finance Corp., 10.375% Sec. Bonds, 11/1/18 |
2,312,000 | 3,063,391 | |||||||
Tiers-BSP, 0%/8.60%
Collateralized Trust, Cl. A, 6/15/972,16 |
14,710,000 | 6,028,791 | |||||||
|
|||||||||
|
159,443,750 |
Principal | |||||||||
Amount | Value | ||||||||
Insurance—0.4% |
|||||||||
American International
Group, Inc., 8.25% Sr. Unsec. Nts., 8/15/18 |
$ | 8,934,000 | $ | 7,603,620 | |||||
International Lease
Finance Corp.: |
|||||||||
6.375% Sr. Unsec. Nts.,
3/25/13 |
3,398,000 | 2,727,846 | |||||||
6.625% Sr. Unsec. Nts.,
Series R, 11/15/13 |
2,442,000 | 1,938,596 | |||||||
MetLife, Inc., 6.817% Sr.
Unsec. Nts., Series A, 8/15/18 |
3,016,000 | 3,362,481 | |||||||
MidAmerican Energy
Holdings Co., 5.75% Sr. Unsec. Nts., 4/1/18 |
8,793,000 | 9,509,814 | |||||||
Multiplan, Inc., 10.375%
Sr. Sub. Nts., 4/15/165 |
7,990,000 | 7,750,300 | |||||||
Prudential Financial,
Inc., 7.375% Sr. Unsec. Unsub. Nts., 6/15/19 |
2,122,000 | 2,372,351 | |||||||
|
|||||||||
|
35,265,008 | ||||||||
|
|||||||||
Real Estate Investment
Trusts—0.1% |
|||||||||
HCP, Inc.: |
|||||||||
6% Sr. Unsec. Nts.,
1/30/17 |
1,535,000 | 1,436,203 | |||||||
6.70% Sr. Unsec. Nts.,
1/30/18 |
3,090,000 | 2,977,635 | |||||||
Simon Property Group LP,
5.30% Sr. Unsec. Nts., 5/30/13 |
3,758,000 | 3,846,550 | |||||||
|
|||||||||
|
8,260,388 | ||||||||
Thrifts & Mortgage
Finance—0.6% |
|||||||||
Banco Hipotecario SA,
9.75% Sr. Unsec. Nts., 4/27/162 |
4,617,000 | 3,532,005 | |||||||
WM Covered Bond
Program: |
|||||||||
3.875% Sec. Nts.,
Series 1, 9/27/11 |
8,572,000 | EUR | 12,878,760 | ||||||
4% Sec. Mtg. Nts.,
Series 2, 9/27/16 |
20,065,000 | EUR | 28,791,319 | ||||||
4.375% Sec. Nts.,
5/19/14 |
2,180,000 | EUR | 3,271,898 | ||||||
|
|||||||||
|
48,473,982 | ||||||||
|
|||||||||
Health
Care—1.8% |
|||||||||
Biotechnology—0.1% |
|||||||||
Amgen, Inc., 5.70% Sr.
Nts., 2/1/19 |
2,705,000 | 2,978,960 | |||||||
Health Care Equipment
& Supplies—0.2% |
|||||||||
Biomet, Inc., 10.375% Sr.
Unsec. Nts., 10/15/173,14 |
10,155,000 | 10,840,463 | |||||||
Inverness Medical
Innovations, Inc., 7.875% Sr. Nts., 2/1/162 |
3,160,000 | 3,065,200 | |||||||
Universal Hospital
Services, Inc., 8.50% Sr. Sec. Nts., 6/1/1514 |
4,650,000 | 4,580,250 | |||||||
|
|||||||||
|
18,485,913 | ||||||||
|
|||||||||
Health Care Providers
& Services—1.1% |
|||||||||
Apria Healthcare Group,
Inc.: |
|||||||||
11.25% Sr. Sec. Nts.,
11/1/142 |
5,070,000 | 5,475,600 | |||||||
12.375% Sr. Sec. Nts.,
11/1/142 |
2,670,000 | 2,863,575 | |||||||
Catalent Pharma Solutions,
Inc., 9.50% Sr. Unsec. Nts., 4/15/1514 |
3,485,000 | 3,049,375 | |||||||
Community Health Systems,
Inc., 8.875% Sr. Unsec. Nts., 7/15/153 |
10,695,000 | 10,989,113 | |||||||
DaVita, Inc., 6.625% Sr.
Unsec. Nts., 3/15/13 |
2,740,000 | 2,726,300 | |||||||
Fresenius Medical Care
Capital Trust IV, 7.875% Sr. Sub. Nts., 6/15/11 |
1,395,000 | 1,426,388 |
Principal | ||||||||
Amount | Value | |||||||
Health Care
Providers & Services Continued |
||||||||
HCA, Inc.: |
||||||||
6.375% Nts.,
1/15/15 |
$ | 10,270,000 | $ | 9,191,650 | ||||
8.50% Sr. Sec. Nts.,
4/15/192 |
2,280,000 | 2,394,000 | ||||||
HEALTHSOUTH Corp.,
10.75% Sr. Unsec. Nts., 6/15/16 |
9,625,000 | 10,491,250 | ||||||
Select Medical Corp.,
7.625% Sr. Unsec. Sub. Nts., 2/1/153 |
12,476,000 | 11,743,035 | ||||||
Tenet Healthcare Corp.,
7.375% Nts., 2/1/13 |
3,990,000 | 3,970,050 | ||||||
UnitedHealth Group,
Inc., 6.875% Sr. Unsec. Nts., 2/15/38 |
4,234,000 | 4,688,994 | ||||||
US Oncology Holdings,
Inc., 5.592% Sr. Unsec. Nts., 3/15/121,5,14 |
3,798,000 | 3,323,250 | ||||||
US Oncology, Inc.,
9.125% Sr. Sec. Nts., 8/15/172 |
4,420,000 | 4,674,150 | ||||||
Vanguard Health Holding
Co. I LLC, 0%/11.25% Sr. Nts., 10/1/1516 |
6,275,000 | 6,557,375 | ||||||
WellPoint, Inc., 6.375%
Sr. Unsec. Unsub. Nts., 6/15/37 |
3,193,000 | 3,479,249 | ||||||
|
||||||||
|
87,043,354 | |||||||
|
||||||||
Pharmaceuticals—0.4% |
||||||||
Abbott Laboratories,
5.60% Sr. Unsec. Nts., 11/30/17 |
3,271,000 | 3,611,505 | ||||||
AstraZeneca plc, 6.45%
Sr. Unsec. Unsub. Nts., 9/15/37 |
3,232,000 | 3,817,273 | ||||||
DJO Finance LLC/DJO
Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 |
5,865,000 | 6,026,288 | ||||||
Eli Lilly & Co.,
4.20% Sr. Unsec. Nts., 3/6/14 |
2,563,000 | 2,723,280 | ||||||
GlaxosmithKline
Capital, Inc., 6.375% Sr. Unsec. Nts., 5/15/38 |
4,399,000 | 5,204,505 | ||||||
Merck & Co., Inc.,
5% Sr. Unsec. Unsub. Nts., 6/30/19 |
3,114,000 | 3,328,564 | ||||||
Pfizer, Inc., 7.20% Sr.
Unsec. Nts., 3/15/39 |
5,202,000 | 6,570,048 | ||||||
Wyeth, 5.95% Nts.,
4/1/37 |
3,833,000 | 4,235,986 | ||||||
|
||||||||
|
35,517,449 | |||||||
|
||||||||
Industrials—2.8% |
||||||||
Aerospace &
Defense—0.4% |
||||||||
Alliant Techsystems,
Inc., 6.75% Sr. Sub. Nts., 4/1/16 |
6,560,000 | 6,363,200 | ||||||
BE Aerospace, Inc.,
8.50% Sr. Unsec. Nts., 7/1/183 |
10,320,000 | 10,603,800 | ||||||
TransDigm, Inc., 7.75%
Nts, 7/15/142,7 |
2,285,000 | 2,219,306 | ||||||
United Technologies
Corp.: |
||||||||
6.125% Sr. Unsec. Nts.,
2/1/19 |
5,245,000 | 6,011,788 | ||||||
6.125% Sr. Unsec. Nts.,
7/15/38 |
2,417,000 | 2,794,543 | ||||||
Vought Aircraft
Industries, Inc., 8% Sr. Nts., 7/15/11 |
5,695,000 | 5,666,525 | ||||||
|
||||||||
|
33,659,162 | |||||||
|
||||||||
Airlines—0.2% |
||||||||
American Airlines Pass
Through Trust 2001-2, 7.858% Pass-Through Certificates,
Series 2001-2, Cl. A-2, 10/1/115 |
6,570,000 | 6,561,788 | ||||||
American Airlines Pass
Through Trust 2009-1A, 10.375% Pass-Through Certificates,
Series 2009-1A, 7/2/195 |
1,630,000 | 1,766,513 |
Principal | ||||||||
Amount | Value | |||||||
Airlines
Continued |
||||||||
American Airlines, Inc.,
10.50% Sr. Sec. Nts., 10/15/125,7 |
$ | 3,625,000 | $ | 3,706,563 | ||||
Delta Air Lines,
Inc.: |
||||||||
9.50% Sr. Sec. Nts.,
9/15/14 |
1,335,000 | 1,333,331 | ||||||
12.25% Sr. Sec. Nts.,
3/15/152 |
5,765,000 | 5,404,688 | ||||||
|
||||||||
|
18,772,883 | |||||||
|
||||||||
Building
Products—0.0% |
||||||||
USG Corp., 9.75% Sr.
Unsec. Nts., 8/1/142 |
2,720,000 | 2,856,000 | ||||||
Commercial Services
& Supplies—0.4% |
||||||||
Acco Brands Corp., 10.625%
Sr. Sec. Nts., 3/15/152 |
1,335,000 | 1,401,750 | ||||||
Allied Waste North
America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/143 |
7,145,000 | 7,443,311 | ||||||
American Pad & Paper
Co., 13% Sr. Sub. Nts., Series B, 11/15/054,5,6 |
3,462,000 | — | ||||||
Aramark Services, Inc.,
8.50% Sr. Unsec. Nts., 2/1/15 |
2,305,000 | 2,336,694 | ||||||
Corrections Corp. of
America, 7.75% Sr. Nts., 6/1/17 |
4,085,000 | 4,238,188 | ||||||
Iron Mountain,
Inc.: |
||||||||
7.75% Sr. Sub. Nts.,
1/15/15 |
2,070,000 | 2,095,875 | ||||||
8.375% Sr. Sub. Bonds,
8/15/21 |
2,705,000 | 2,799,675 | ||||||
West Corp., 9.50% Sr.
Unsec. Nts., 10/15/14 |
11,235,000 | 11,066,475 | ||||||
|
||||||||
|
31,381,968 | |||||||
|
||||||||
Construction &
Engineering—0.3% |
||||||||
IIRSA Norte Finance Ltd.,
8.75% Sr. Nts., 5/30/242 |
18,955,728 | 19,524,400 | ||||||
Odebrecht Finance Ltd.,
9.625% Sr. Unsec. Nts., 4/9/142 |
6,335,000 | 7,380,275 | ||||||
|
||||||||
|
26,904,675 | |||||||
|
||||||||
Industrial
Conglomerates—0.6% |
||||||||
General Electric Capital
Corp.: |
||||||||
5.40% Sr. Unsec. Nts.,
Series A, 9/20/133 |
7,831,000 | 8,429,923 | ||||||
5.90% Sr. Unsec. Unsub.
Nts., 5/13/143 |
4,838,000 | 5,195,078 | ||||||
6.875% Sr. Unsec. Nts.,
1/10/39 |
10,421,000 | 10,949,459 | ||||||
General Electric Co.,
5.25% Sr. Unsec. Nts., 12/6/173 |
16,026,000 | 16,473,879 | ||||||
Tyco International Finance
SA, 8.50% Sr. Unsec. Unsub. Nts., 1/15/19 |
2,871,000 | 3,506,384 | ||||||
|
||||||||
|
44,554,723 | |||||||
|
||||||||
Machinery—0.2% |
||||||||
Caterpillar Financial
Services Corp., 7.15% Sr. Unsec. Nts., 2/15/19 |
4,518,000 | 5,248,077 | ||||||
Manitowoc Co., Inc. (The),
7.125% Sr. Nts., 11/1/13 |
6,630,000 | 5,768,100 | ||||||
Terex Corp., 8% Sr. Unsec.
Sub. Nts., 11/15/17 |
6,565,000 | 6,056,213 | ||||||
|
||||||||
|
17,072,390 | |||||||
|
||||||||
Professional
Services—0.1% |
||||||||
Altegrity, Inc., 10.50%
Sr. Unsec. Sub. Nts., 11/1/152 |
5,515,000 | 4,687,750 |
Principal | ||||||||
Amount | Value | |||||||
Road &
Rail—0.5% |
||||||||
Avis Budget Car Rental
LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 |
$ | 10,525,000 | $ | 9,525,125 | ||||
CSX Corp.: |
||||||||
6.25% Sr. Unsec. Unsub.
Nts., 4/1/15 |
4,387,000 | 4,857,708 | ||||||
7.375% Sr. Unsec. Nts.,
2/1/19 |
1,084,000 | 1,277,851 | ||||||
Hertz Corp., 10.50% Sr.
Unsec. Sub. Nts., 1/1/16 |
5,965,000 | 6,233,425 | ||||||
Norfolk Southern Corp.,
5.75% Sr. Unsec. Nts., 1/15/162 |
4,445,000 | 4,863,968 | ||||||
Panama Canal Railway Co.,
7% Sr. Sec. Nts., 11/1/262 |
9,073,680 | 7,576,523 | ||||||
RailAmerica, Inc., 9.25%
Sr. Sec. Nts., 7/1/172 |
2,675,000 | 2,815,438 | ||||||
|
||||||||
|
37,150,038 | |||||||
|
||||||||
Trading Companies &
Distributors—0.1% |
||||||||
RSC Equipment Rental,
Inc., 10% Sr. Sec. Nts., 7/15/172 |
1,315,000 | 1,420,200 | ||||||
United Rentals, Inc., 7%
Sr. Sub. Nts., 2/15/14 |
6,340,000 | 5,547,500 | ||||||
|
||||||||
|
6,967,700 | |||||||
|
||||||||
Information
Technology—1.0% |
||||||||
Computers &
Peripherals—0.2% |
||||||||
International Business
Machines Corp., 8% Sr. Unsec. Unsub. Nts., 10/15/38 |
4,624,000 | 6,459,076 | ||||||
Seagate Technology HDD
Holdings, 6.80% Sr. Nts., 10/1/16 |
1,235,000 | 1,139,288 | ||||||
Seagate Technology
International, 10% Sr. Sec. Nts., 5/1/142,3 |
8,920,000 | 9,789,700 | ||||||
|
||||||||
|
17,388,064 | |||||||
|
||||||||
Electronic Equipment
& Instruments—0.2% |
||||||||
Flextronics International
Ltd., 6.50% Sr. Unsec. Sub. Nts., 5/15/13 |
6,739,000 | 6,604,220 | ||||||
RBS Global, Inc./Rexnord
Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 |
6,105,000 | 5,555,550 | ||||||
Sanmina-SCI Corp., 8.125%
Sr. Sub. Nts., 3/1/163 |
11,945,000 | 11,228,300 | ||||||
|
||||||||
|
23,388,070 | |||||||
|
||||||||
IT
Services—0.4% |
||||||||
Affiliated Computer
Services, Inc., 5.20% Sr. Unsec. Nts., 6/1/15 |
4,110,000 | 4,058,625 | ||||||
First Data Corp., 9.875%
Sr. Unsec. Nts., 9/24/153 |
9,795,000 | 9,097,106 | ||||||
Sabre Holdings Corp.,
7.35% Sr. Unsec. Unsub. Nts., 8/1/11 |
5,515,000 | 5,528,788 | ||||||
SunGard Data Systems,
Inc.: |
||||||||
9.125% Sr. Unsec. Nts.,
8/15/133 |
9,160,000 | 9,297,400 | ||||||
10.25% Sr. Unsec. Sub.
Nts., 8/15/15 |
3,769,000 | 3,863,225 | ||||||
|
||||||||
|
31,845,144 | |||||||
|
||||||||
Office
Electronics—0.0% |
||||||||
Xerox Corp., 5.65% Sr.
Unsec. Nts., 5/15/13 |
3,001,000 | 3,125,851 | ||||||
Semiconductors &
Semiconductor Equipment—0.1% |
||||||||
Amkor Technology, Inc.,
9.25% Sr. Unsec. Nts., 6/1/16 |
5,255,000 | 5,438,925 |
Principal | ||||||||
Amount | Value | |||||||
Software—0.1% |
||||||||
Oracle Corp., 5.75% Sr.
Unsec. Unsub. Nts., 4/15/18 |
$ | 3,718,000 | $ | 4,103,616 | ||||
Materials—2.4% |
||||||||
Chemicals—0.7% |
||||||||
Braskem Finance Ltd.,
7.25% Sr. Unsec. Nts., 6/5/182,3 |
10,745,000 | 10,798,725 | ||||||
Dow Chemical Co. (The),
7.60% Sr. Unsec. Unsub. Nts., 5/15/14 |
5,135,000 | 5,688,384 | ||||||
E.I. du Pont de Nemours
& Co.: |
||||||||
5.75% Sr. Nts.,
3/15/19 |
1,977,000 | 2,183,798 | ||||||
6% Sr. Unsec. Unsub.
Nts., 7/15/18 |
2,312,000 | 2,590,388 | ||||||
Hexion US Finance
Corp./Hexion Nova Scota Finance ULC, 9.75% Sr. Sec. Nts.,
11/15/14 |
3,600,000 | 3,114,000 | ||||||
Huntsman International
LLC: |
||||||||
5.50% Sr. Unsec. Nts.,
6/30/162 |
2,235,000 | 1,910,925 | ||||||
7.375% Sr. Unsub. Nts.,
1/15/15 |
7,579,000 | 6,915,838 | ||||||
7.875% Sr. Unsec. Sub.
Nts., 11/15/14 |
955,000 | 895,313 | ||||||
Momentive Performance
Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 |
20,030,000 | 13,319,950 | ||||||
Nalco Co., 8.875%
Unsec. Sub. Nts., 11/15/13 |
4,230,000 | 4,367,475 | ||||||
PolyOne Corp., 8.875%
Sr. Unsec. Nts., 5/1/12 |
2,690,000 | 2,730,350 | ||||||
|
||||||||
|
54,515,146 | |||||||
|
||||||||
Construction
Materials—0.1% |
||||||||
C10 Capital SPV Ltd.,
6.722% Unsec. Perpetual Debs.2,3,17 |
10,200,000 | 8,073,249 | ||||||
Containers &
Packaging—0.5% |
||||||||
Berry Plastics Holding
Corp., 8.875% Sr. Sec. Nts., 9/15/14 |
12,250,000 | 11,729,375 | ||||||
Crown Americas, Inc.,
7.75% Sr. Nts., 11/15/15 |
3,630,000 | 3,711,675 | ||||||
Graham Packaging Co.,
Inc.: |
||||||||
8.50% Sr. Unsec. Nts.,
10/15/12 |
3,780,000 | 3,836,700 | ||||||
9.875% Sr. Unsec. Sub.
Nts., 10/15/14 |
8,495,000 | 8,771,088 | ||||||
Graphic Packaging
International, Inc.: |
||||||||
9.50% Sr. Nts.,
6/15/172 |
3,430,000 | 3,661,525 | ||||||
9.50% Sr. Unsec. Nts.,
6/15/172 |
7,050,000 | 7,525,875 | ||||||
|
||||||||
|
39,236,238 | |||||||
|
||||||||
Metals &
Mining—0.9% |
||||||||
Alcoa, Inc., 6.75% Sr.
Unsec. Unsub. Nts., 7/15/18 |
2,297,000 | 2,306,480 | ||||||
BHP Billiton Finance
(USA) Ltd., 6.50% Sr. Unsec. Unsub. Nts., 4/1/19 |
5,319,000 | 6,182,322 | ||||||
CSN Islands XI Corp.,
6.875% Sr. Unsec. Nts., 9/21/195 |
3,750,000 | 3,764,063 | ||||||
Freeport-McMoRan Copper
& Gold, Inc., 8.375% Sr. Nts., 4/1/173 |
7,610,000 | 8,106,423 | ||||||
Novelis, Inc.: |
||||||||
7.25% Sr. Unsec. Nts.,
2/15/151 |
8,260,000 | 7,186,200 | ||||||
11.50% Sr. Unsec. Nts.,
2/15/152 |
1,800,000 | 1,827,000 |
Principal | |||||||||
Amount | Value | ||||||||
Metals & Mining
Continued |
|||||||||
Rio Tinto Finance
(USA) Ltd.: |
|||||||||
5.875% Sr. Unsec. Unsub.
Nts., 7/15/13 |
$ | 4,033,000 | $ | 4,349,687 | |||||
9% Sr. Unsec. Nts.,
5/1/19 |
1,926,000 | 2,368,930 | |||||||
Steel Dynamics, Inc.,
7.375% Sr. Unsec. Unsub. Nts., 11/1/12 |
5,110,000 | 5,186,650 | |||||||
Teck Resources Ltd.,
10.25% Sr. Sec. Nts., 5/15/16 |
6,595,000 | 7,485,325 | |||||||
Vale Overseas Ltd., 6.875%
Bonds, 11/21/36 |
1,272,000 | 1,322,612 | |||||||
Vedanta Resources plc,
9.50% Sr. Unsec. Nts., 7/18/182 |
24,020,000 | 23,779,800 | |||||||
Voto-Votorantim Overseas
Trading Operations, 6.625% Sr. Unsec. Nts., 9/25/192 |
4,500,000 | 4,505,625 | |||||||
|
|||||||||
|
78,371,117 | ||||||||
|
|||||||||
Paper & Forest
Products—0.2% |
|||||||||
Celulosa Arauco y
Constitucion SA, 7.25% Sr. Unsec. Nts., 7/29/192 |
3,700,000 | 4,089,558 | |||||||
Georgia-Pacific
LLC: |
|||||||||
7.70% Debs.,
6/15/15 |
2,585,000 | 2,623,775 | |||||||
8.25% Sr. Unsec. Nts.,
5/1/162,3 |
6,890,000 | 7,182,825 | |||||||
PE Paper Escrow GmbH, 12%
Sr. Sec. Nts., 8/1/142 |
2,705,000 | 2,926,759 | |||||||
|
|||||||||
|
16,822,917 | ||||||||
|
|||||||||
Telecommunication
Services—2.1% |
|||||||||
Diversified
Telecommunication Services—1.3% |
|||||||||
AT&T Wireless
Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 |
3,345,000 | 3,819,468 | |||||||
AT&T, Inc., 6.70% Sr.
Unsec. Unsub. Nts., 11/15/13 |
8,791,000 | 9,970,691 | |||||||
Axtel SAB de CV, 9% Sr.
Unsec. Nts., 9/22/192 |
2,985,000 | 3,044,700 | |||||||
British Telecom plc, 5.15%
Sr. Unsec. Unsub. Nts., 1/15/13 |
3,202,000 | 3,338,873 | |||||||
Cincinnati Bell, Inc.,
8.25% Sr. Nts., 10/15/177 |
4,565,000 | 4,499,355 | |||||||
Citizens Communications
Co., 6.25% Sr. Nts., 1/15/133 |
11,475,000 | 11,302,875 | |||||||
Deutsche Telekom
International Finance BV, 6.75% Sr. Unsec. Nts., 8/20/18 |
4,563,000 | 5,118,951 | |||||||
Intelsat Subsidiary
Holding Co. Ltd., 8.50% Sr. Unsec. Nts., 1/15/132 |
4,400,000 | 4,477,000 | |||||||
PAETEC Holding Corp.,
9.50% Sr. Unsec. Unsub. Nts., 7/15/15 |
6,320,000 | 5,767,000 | |||||||
Qwest Corp., 8.875% Unsec.
Unsub. Nts., 3/15/12 |
5,315,000 | 5,620,613 | |||||||
Telecom Italia Capital SA,
7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
3,788,000 | 4,513,595 | |||||||
Telefonica del Peru SA, 8%
Sr. Unsec. Bonds, 4/11/162 |
21,925,200 | PEN | 8,031,947 | ||||||
Telmar Norte Leste SA,
9.50% Sr. Unsec. Nts., 4/23/192 |
5,395,000 | 6,474,000 | |||||||
Verizon Communications,
Inc.: |
|||||||||
6.90% Sr. Unsec. Unsub.
Bonds, 4/15/38 |
3,280,000 | 3,748,974 | |||||||
8.95% Sr. Unsec. Unsub.
Nts., 3/1/39 |
8,564,000 | 11,772,545 | |||||||
Windstream Corp.: |
|||||||||
7.875% Sr. Nts.,
11/1/175,7 |
1,265,000 | 1,260,256 | |||||||
8.125% Sr. Unsec. Unsub.
Nts., 8/1/13 |
5,525,000 | 5,704,563 | |||||||
8.625% Sr. Unsec. Unsub.
Nts., 8/1/16 |
4,710,000 | 4,839,525 | |||||||
|
|||||||||
|
103,304,931 |
Principal | |||||||||
Amount | Value | ||||||||
Wireless
Telecommunication Services—0.8% |
|||||||||
America Movil SAB de
CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
33,200,000 | MXN | $ | 1,896,692 | |||||
American Tower Corp.,
7.25% Sr. Unsec. Nts., 5/15/192 |
8,865,000 | 9,153,113 | |||||||
CC Holdings GS V
LLC/Crown Castle GS III Corp., 7.75% Sr. Sec. Nts., 5/1/172 |
5,250,000 | 5,460,000 | |||||||
Cricket Communications,
Inc., 7.75% Sr. Sec. Nts., 5/15/162 |
8,015,000 | 8,175,300 | |||||||
MetroPCS Wireless,
Inc., 9.25% Sr. Unsec. Nts., 11/1/14 |
5,290,000 | 5,435,475 | |||||||
Nextel Communications,
Inc., 7.375% Sr. Nts., Series D, 8/1/15 |
12,290,000 | 11,091,725 | |||||||
SBA Telecommunications,
Inc., 8% Sr. Nts., 8/15/162 |
3,605,000 | 3,704,138 | |||||||
SBA Telecommunications,
Inc., 8.25% Sr. Nts., 8/15/192 |
1,750,000 | 1,811,250 | |||||||
Sprint Capital Corp.,
8.75% Nts., 3/15/323 |
18,620,000 | 17,689,000 | |||||||
Teligent, Inc., 11.50%
Sr. Nts., 12/1/084,5,6 |
5,135,000 | — | |||||||
Vodafone Group plc,
5.625% Sr. Unsec. Unsub. Nts., 2/27/17 |
3,777,000 | 4,009,860 | |||||||
|
|||||||||
|
68,426,553 | ||||||||
|
|||||||||
Utilities—2.3% |
|||||||||
Electric
Utilities—1.3% |
|||||||||
Centrais Eletricas
Brasileiras SA, 6.857% Sr. Unsec. Unsub. Nts., 7/30/192 |
4,600,000 | 4,991,000 | |||||||
Duke Energy Carolinas
LLC, 7% Sec. Bonds, Series C, 11/15/18 |
3,893,000 | 4,668,474 | |||||||
Duke Energy Corp.,
6.30% Sr. Unsec. Unsub. Nts., 2/1/14 |
6,109,000 | 6,765,980 | |||||||
Edison Mission Energy,
7% Sr. Unsec. Nts., 5/15/17 |
10,820,000 | 9,088,800 | |||||||
Eletropaulo
Metropolitana SA, 19.125% Nts., 6/28/105 |
8,680,000 | BRR | 5,193,497 | ||||||
Empresas Publicas de
Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/192 |
5,200,000 | 5,655,000 | |||||||
Energy Future Holdings
Corp., 10.875% Sr. Unsec. Nts., 11/1/17 |
9,120,000 | 6,931,200 | |||||||
FPL Group Capital,
Inc., 6% Sr. Unsec. Nts., 3/1/19 |
2,600,000 | 2,921,732 | |||||||
Georgia Power Co.,
5.95% Sr. Unsec. Bonds, 2/1/39 |
1,963,000 | 2,201,681 | |||||||
ISA Capital do Brasil
SA, 8.80% Sr. Nts., 1/30/172 |
4,140,000 | 4,471,200 | |||||||
Israel Electric Corp.
Ltd., 7.25% Nts., 1/15/192 |
20,225,000 | 21,600,624 | |||||||
Majapahit Holding
BV: |
|||||||||
7.25% Nts.,
10/17/112 |
7,460,000 | 7,795,700 | |||||||
7.75% Nts.,
10/17/162 |
12,365,000 | 13,045,075 | |||||||
8% Sr. Unsec. Nts.,
8/7/192 |
4,300,000 | 4,611,750 | |||||||
National Power Corp.,
5.875% Unsec. Unsub. Bonds, 12/19/16 |
421,000,000 | PHP | 8,032,588 | ||||||
Texas Competitive
Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A,
11/1/15 |
3,660,000 | 2,653,500 | |||||||
|
|||||||||
|
110,627,801 | ||||||||
|
|||||||||
Energy
Traders—0.6% |
|||||||||
AES Corp. (The), 8% Sr.
Unsec. Unsub. Nts., 10/15/17 |
2,220,000 | 2,244,975 | |||||||
Dynegy Holdings, Inc.,
8.375% Sr. Unsec. Nts., 5/1/16 |
13,040,000 | 12,257,600 |
Principal | |||||||||
Amount | Value | ||||||||
Energy Traders
Continued |
|||||||||
Electric Power
Development Co. Ltd., 1.80% Gtd. Unsec. Nts., 6/28/10 |
470,000,000 | JPY | $ | 5,292,703 | |||||
Mirant North America
LLC, 7.375% Sr. Unsec. Nts., 12/31/13 |
4,115,000 | 4,115,000 | |||||||
NRG Energy,
Inc.: |
|||||||||
7.375% Sr. Nts.,
1/15/17 |
3,540,000 | 3,433,800 | |||||||
7.375% Sr. Nts.,
2/1/16 |
5,640,000 | 5,470,800 | |||||||
8.50% Sr. Unsec. Nts.,
6/15/19 |
4,495,000 | 4,523,094 | |||||||
Reliant Energy, Inc.,
7.625% Sr. Unsec. Unsub. Nts., 6/15/14 |
8,655,000 | 8,535,994 | |||||||
|
|||||||||
|
45,873,966 | ||||||||
|
|||||||||
Multi-Utilities—0.4% |
|||||||||
Consolidated Edison Co.
of New York, Inc., 7.125% Sr. Unsec. Nts., 12/1/18 |
7,193,000 | 8,548,924 | |||||||
Dominion Resources,
Inc., 6.40% Sr. Unsec. Nts., 6/15/18 |
5,939,000 | 6,661,307 | |||||||
Pacific Gas &
Electric Co.: |
|||||||||
6.25% Sr. Unsec. Nts.,
12/1/13 |
5,744,000 | 6,458,416 | |||||||
8.25% Sr. Unsec. Nts.,
10/15/18 |
3,658,000 | 4,657,077 | |||||||
Sempra Energy, 9.80%
Sr. Unsec. Nts., 2/15/19 |
3,627,000 | 4,654,083 | |||||||
|
|||||||||
|
30,979,807 | ||||||||
|
|||||||||
Total Corporate Bonds
and Notes (Cost $2,217,483,495) |
2,320,569,141 | ||||||||
Shares | |||||||||
Preferred
Stocks—0.0% |
|||||||||
AmeriKing, Inc., 13%
Cum. Sr. Exchangeable, Non-Vtg.5,6,14 |
338,141 | — | |||||||
Eagle-Picher Holdings,
Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.5,6 |
44,000 | — | |||||||
ICG Holdings, Inc.,
14.25% Exchangeable, Non-Vtg.5,6,14 |
5,816 | — | |||||||
Total Preferred Stocks
(Cost $15,761,480) |
— | ||||||||
|
|||||||||
Common
Stocks—0.2% |
|||||||||
American Media,
Inc.5,6 |
10,986 | 110 | |||||||
Arco Capital Corp.
Ltd.5,6,18 |
2,383,674 | 5,959,185 | |||||||
Charter Communications,
Inc.6 |
222,137 | 5,317,816 | |||||||
Global Aero Logistics,
Inc.5,6 |
32,791 | 32,791 | |||||||
MHP SA, GDR2,6 |
235,715 | 2,475,008 | |||||||
Orbcomm, Inc.6 |
30,391 | 82,664 | |||||||
Premier Holdings
Ltd.5,6 |
799,833 | — | |||||||
|
|||||||||
Total Common Stocks
(Cost $40,605,569) |
13,867,574 |
Units | Value | ||||||||
Rights, Warrants and
Certificates—0.0% |
|||||||||
Global Aero Logistics,
Inc. Wts., Strike Price $10, Exp. 2/28/115,6 (Cost $30,592) |
4,020 | $ | 40 | ||||||
Principal | |||||||||
Amount | |||||||||
Structured
Securities—7.5% |
|||||||||
Citigroup Funding,
Inc.: |
|||||||||
Ghana (Republic of)
Credit Linked Nts., 12.08%, 6/9/10 |
2,290,000 | GHS | 1,488,895 | ||||||
Ghana (Republic of)
Credit Linked Nts., 12.08%, 6/9/10 |
2,290,000 | GHS | 1,488,895 | ||||||
Ghana (Republic of)
Credit Linked Nts., 12.08%, 6/9/10 |
2,290,000 | GHS | 1,488,895 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 11.50%, 9/18/19 |
61,950,000,000 | IDR | 6,967,372 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 11.50%, 9/18/19 |
62,010,000,000 | IDR | 6,974,120 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 9.50%, 6/17/15 |
30,980,000,000 | IDR | 3,213,394 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 9.50%, 6/17/15 |
30,510,000,000 | IDR | 3,164,643 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 9.50%, 6/17/15 |
64,520,000,000 | IDR | 6,692,323 | ||||||
Citigroup Global
Markets Holdings, Inc.: |
|||||||||
Brazil (Federal
Republic of) Credit Linked Nts., 9.762%, 1/3/175 |
26,180,000 | BRR | 12,944,655 | ||||||
Colombia (Republic of)
Credit Linked Bonds, 11.25%, 10/25/18 |
7,885,000,000 | COP | 4,585,821 | ||||||
Colombia (Republic of)
Credit Linked Nts., 13.083%, 2/26/155,15 |
5,641,000,000 | COP | 6,050,774 | ||||||
Colombia (Republic of)
Credit Linked Nts., Series 01, 13.083%, 2/26/155,15 |
2,091,000,000 | COP | 2,242,895 | ||||||
Colombia (Republic of)
Credit Linked Nts., Series 02, 13.083% 12/26/155,15 |
3,187,000,000 | COP | 3,418,511 | ||||||
Colombia (Republic of)
Credit Linked Nts., Series II, 15%, 4/27/122 |
4,498,269,508 | COP | 2,790,163 | ||||||
Colombia (Republic of)
Total Return Linked Nts., 11%, 5/19/11 |
14,440,000,000 | COP | 8,166,977 | ||||||
Colombia (Republic of)
Unsec. Credit Linked Nts., 15%, 4/27/12 |
7,206,900,000 | COP | 4,470,258 | ||||||
Colombia (Republic of)
Unsec. Credit Linked Nts., 15%, 4/27/12 |
8,514,000,000 | COP | 5,281,019 | ||||||
Colombia (Republic of)
Unsec. Credit Linked Nts., 15%, 4/27/125 |
10,490,000,000 | COP | 6,506,681 | ||||||
Dominican Republic
Unsec. Credit Linked Nts., 15%, 3/12/122 |
174,700,000 | DOP | 4,736,244 | ||||||
Ghana (Republic of)
Credit Linked Nts., 13.50%, 4/2/102 |
10,330,000 | GHS | 6,826,783 | ||||||
Ukraine Hryvnia Unsec.
Credit Linked Nts., 11.94%, 1/2/102 |
6,780,000 | UAH | 791,856 | ||||||
Credit Suisse First
Boston International: |
|||||||||
Boryspil Airport Total
Return Linked Nts., 10%, 4/19/101 |
16,740,000 | UAH | 1,760,760 | ||||||
Lukoil Credit Linked
Nts., Series Fbi 105, 7.25%, 11/19/091,5 |
242,139,000 | RUR | 8,062,618 | ||||||
Moitk Total Return
Linked Nts., 3/26/114,5 |
188,019,000 | RUR | 626 | ||||||
Moscow (City of) Credit
Linked Nts., Series Fbi 101, 10%, 12/31/102 |
220,335,000 | RUR | 7,343,468 | ||||||
Oreniz Total Return
Linked Nts., 9.24%, 2/21/121,5 |
417,305,000 | RUR | 10,284,507 | ||||||
Pemex Project Funding
Master Trust Credit Linked Nts., 1.741%, 5/12/11 |
50,000,000 | 49,449,761 | |||||||
Ukraine (Republic of)
Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 |
16,568,000 | UAH | 1,886,165 | ||||||
Vietnam Shipping
Industry Group Total Return Linked Nts., 10.50%, 1/19/175 |
53,361,000,000 | VND | 1,773,853 | ||||||
Credit Suisse First
Boston, Inc. (Nassau Branch): |
|||||||||
Russian Specialized
Construction & Installation Administration Credit Linked Nts.,
5/20/104,5 |
320,000,000 | RUR | 1,066 | ||||||
Ukraine (Republic of)
Credit Linked Nts., 11.94%, 12/30/095 |
200,000 | UAH | 22,769 |
Principal | |||||||||
Amount | Value | ||||||||
Structured
Securities Continued |
|||||||||
Credit Suisse First
Boston, Inc. (Nassau Branch): Continued |
|||||||||
Ukraine (Republic of)
Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 |
4,995,000 | UAH | $ | 568,650 | |||||
Ukraine (Republic of)
Credit Linked Nts., Series NPC 12, 11.94%, 12/30/095 |
32,180,000 | UAH | 3,663,494 | ||||||
Credit Suisse Group AG,
Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/24/125 |
368,300,000 | RUR | 11,928,601 | ||||||
Deutsche Bank
AG: |
|||||||||
Arrendadora Capita
Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts.,
9.09%, 1/5/11 |
28,420,922 | MXN | 1,986,959 | ||||||
Arrendadora Capita
Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts.,
9.65%, 1/5/11 |
18,698,259 | MXN | 1,307,230 | ||||||
Coriolanus Ltd. Sec.
Credit Linked Nts., 10.62%, 9/10/105 |
9,200,000 | 3,132,600 | |||||||
Coriolanus Ltd. Sec.
Credit Linked Nts., 9.32%, 12/31/175,15 |
55,040,000 | BRR | 15,016,171 | ||||||
Coriolanus Ltd. Sec.
Credit Linked Nts., Series 112, 8.33%, 12/7/091,5 |
5,475,000 | 5,410,231 | |||||||
Coriolanus Ltd. Sec.
Credit Linked Nts., Series 113, 9%, 4/26/111,5,15 |
6,050,000 | 6,155,210 | |||||||
European Investment
Bank, Russian Federation Credit Linked Nts., 5.702%, 1/19/105,12 |
5,820,000 | 5,670,950 | |||||||
Grupo TMM SA Credit
Linked Nts., 6%, 9/7/12 |
8,185,635 | 3,140,009 | |||||||
Indonesia (Republic of)
Credit Linked Nts., 9.50%, 6/22/15 |
6,360,000 | 6,240,006 | |||||||
Indonesia (Republic of)
Credit Linked Nts., Series 02, 12.80%, 6/22/21 |
76,200,000,000 | IDR | 9,038,637 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 1A, 6.916%, 9/24/141,5 |
36,680,000 | MXN | 2,717,641 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 1B, 6.916%, 9/24/141,5 |
7,336,000 | MXN | 543,528 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 1C, 6.916%, 9/24/141,5 |
12,226,667 | MXN | 905,880 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 1D, 6.916%, 9/24/141,5 |
6,113,333 | MXN | 452,940 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 1E, 6.916%, 9/24/141,5 |
8,558,667 | MXN | 634,116 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2A, 8.405%, 5/22/151,5 |
3,500,072 | MXN | 259,322 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2B, 8.405%, 5/22/151,5 |
6,123,460 | MXN | 453,690 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2C, 8.405%, 5/22/151,5 |
92,326,918 | MXN | 6,840,551 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2D, 8.405%, 5/22/151,5 |
6,728,659 | MXN | 498,530 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2E, 8.405%, 5/22/151,5 |
4,888,497 | MXN | 362,191 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2F, 8.405%, 5/22/151,5 |
3,122,038 | MXN | 231,313 | ||||||
Opic Reforma I Credit
Linked Nts., Cl. 2G, 8.405%, 5/22/151,5 |
574,952 | MXN | 42,599 | ||||||
Peru (Republic of)
Credit Linked Bonds, 3.242%, 4/30/255,7,12 |
7,224,294 | 4,109,348 | |||||||
Peru (Republic of)
Credit Linked Bonds, 3.269%, 4/30/255,12 |
5,771,365 | 3,280,500 | |||||||
Peru (Republic of)
Credit Linked Bonds, 3.346%, 4/30/255,12 |
5,424,837 | 3,083,530 | |||||||
Ukraine (Republic of) 5
yr. Credit Linked Nts., 4.05%, 8/27/10 |
5,690,000 | 3,851,675 | |||||||
Ukraine (Republic of)
5.5 yr. Credit Linked Nts., 4.05%, 3/1/11 |
5,740,000 | 3,381,721 | |||||||
Ukraine (Republic of) 6
yr. Credit Linked Nts., 4.05%, 8/29/11 |
5,740,000 | 2,969,015 | |||||||
Ukraine (Republic of)
6.5 yr. Credit Linked Nts., 4.05%, 2/29/12 |
5,740,000 | 2,704,573 | |||||||
Ukraine (Republic of) 7
yr. Credit Linked Nts., 4.05%, 8/30/12 |
5,740,000 | 2,511,135 | |||||||
United Mexican States
Credit Linked Nts., 9.52%, 1/5/11 |
18,644,936 | MXN | 1,303,502 | ||||||
Deutsche Bank AG,
Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%,
4/20/17 |
128,300,000,000 | VND | 4,291,583 | ||||||
Dresdner Bank AG,
Lukoil Credit Linked Nts., Series 3, 7.04%, 12/12/111,2 |
134,130,000 | RUR | 4,115,725 |
Principal | |||||||||
Amount | Value | ||||||||
Structured
Securities Continued |
|||||||||
Eirles Two Ltd. Sec.
Nts.: |
|||||||||
Series 324,
4.841%, 4/30/121,5 |
$ | 14,300,000 | $ | 7,436,000 | |||||
Series 335,
3.291%, 4/30/121,5 |
16,700,000 | 12,082,450 | |||||||
Goldman Sachs &
Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/172,12 |
77,520,000 | TRY | 18,422,753 | ||||||
Goldman Sachs Capital
Markets LP, Colombia (Republic of) Credit Linked Nts., 10.48%, 2/8/375,12 |
237,059,200,000 | COP | 4,831,575 | ||||||
Hallertau SPC Credit
Linked Nts., Series 2008-2A, 6.764%, 9/17/131,5 |
50,090,000 | 50,525,783 | |||||||
Hallertau SPC
Philippines (Republic of) Credit Linked Nts., Series 2007-01, 3.211%,
12/20/171,5 |
16,640,000 | 12,296,960 | |||||||
Hallertau SPC
Segregated Portfolio, Brazil (Federal Republic of) Credit Linked Nts.,
Series 2008-01, 9.888%, 8/2/104,5,12 |
36,418,983 | BRR | 2,055,711 | ||||||
HSBC Bank USA NA,
Brazil (Federal Republic of) Credit Linked Nts., 5/9/111,5,7 |
9,200,000 | 9,200,000 | |||||||
ING Bank NV, Ukraine
(Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/095 |
38,336,000 | UAH | 4,391,956 | ||||||
JPMorgan Chase Bank
NA: |
|||||||||
Brazil (Federal
Republic of) Credit Linked Nts., 10.908%, 5/16/455 |
7,895,000 | BRR | 7,961,668 | ||||||
Colombia (Republic of)
Credit Linked Bonds, 10.244%, 10/31/165,12 |
52,420,000,000 | COP | 14,012,003 | ||||||
Colombia (Republic of)
Credit Linked Bonds, 10.359%, 1/5/165,12 |
54,300,000,000 | COP | 15,816,537 | ||||||
Colombia (Republic of)
Credit Linked Bonds, Series A, 10.244%, 10/31/165,12 |
52,197,000,000 | COP | 13,952,394 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 11.50%, 9/15/195 |
14,620,000,000 | IDR | 1,641,252 | ||||||
Indonesia (Republic of)
Credit Linked Nts., 11.50%, 9/15/195 |
31,060,000,000 | IDR | 3,486,818 | ||||||
Peru (Republic of)
Credit Linked Nts., 8.193%, 9/2/152,12 |
25,410,000 | PEN | 5,978,099 | ||||||
Swaziland (Kingdom of)
Credit Linked Nts., 7.25%, 6/20/105 |
9,185,000 | 9,455,958 | |||||||
JPMorgan Chase Bank NA,
London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%,
6/17/212 |
65,480,000,000 | IDR | 7,715,028 | ||||||
Lehman Brothers
Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts.,
7.55%, 5/24/125 |
21,898,718 | 22,704,591 | |||||||
Merrill Lynch, Colombia
(Republic of) Credit Linked Nts., 10%, 11/17/165 |
7,680,000,000 | COP | 3,462,040 | ||||||
Morgan
Stanley: |
|||||||||
Peru (Republic of)
Credit Linked Nts., 6.25%, 3/23/172 |
15,216,000 | PEN | 4,198,766 | ||||||
Russian Federation
Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 |
279,567,886 | RUR | 4,448,995 | ||||||
Morgan Stanley &
Co. International Ltd./Red Arrow International Leasing plc Total Return
Linked Nts., Series A, 8.375%, 7/9/12 |
85,604,822 | RUR | 2,690,484 | ||||||
Morgan Stanley Capital
Services, Inc.: |
|||||||||
Brazil (Federal
Republic of) Credit Linked Nts., 12.563%, 1/5/222,12 |
109,310,000 | BRR | 4,514,621 | ||||||
Ukraine (Republic of)
Credit Linked Nts., 3.476%, 10/15/171,5 |
21,300,000 | 10,011,000 | |||||||
Ukraine (Republic of)
Credit Linked Nts., Series 2, 4.346%, 10/15/171,5 |
5,400,000 | 2,538,000 | |||||||
United Mexican States
Credit Linked Nts., 5.64%, 11/20/155 |
300,000 | 233,880 | |||||||
WTI Trading Ltd. Total
Return Linked Nts., Series A, 15%, 3/8/12 |
19,510,295 | 18,368,943 | |||||||
WTI Trading Ltd. Total
Return Linked Nts., Series C, 15%, 3/8/12 |
29,321,562 | 27,620,911 | |||||||
UBS AG, Ghana (Republic
of) Credit Linked Nts., 14.47%, 12/28/115 |
4,650,997 | GHS | 2,278,956 | ||||||
|
|||||||||
Total Structured
Securities (Cost $738,298,501) |
608,014,255 |
Principal | ||||||||
Amount | Value | |||||||
Event-Linked
Bonds—1.0% |
||||||||
Akibare Ltd.
Catastrophe Linked Nts., Cl. A, 3.357%, 5/22/121,2 |
$ | 4,862,000 | $ | 4,729,754 | ||||
Atlas V Capital Ltd.
Catastrophe Linked Nts., Series 2, 12.097%, 2/24/121,2 |
1,930,000 | 1,985,391 | ||||||
East Lane Re III Ltd.
Catastrophe Linked Nts., 10.847%, 3/16/121,2 |
7,643,000 | 7,942,415 | ||||||
Fhu-Jin Ltd.
Catastrophe Linked Nts., Cl. B, 4.383%, 8/10/111,2 |
7,010,000 | 6,890,129 | ||||||
Lakeside Re Ltd.
Catastrophe Linked Nts., 6.783%, 12/31/091,2 |
10,580,000 | 10,575,768 | ||||||
Medquake Ltd.
Catastrophe Linked Nts., 5.54%, 5/31/101,2 |
4,000,000 | 3,933,000 | ||||||
Midori Ltd. Catastrophe
Linked Nts., 3.259%, 10/24/121,2 |
4,300,000 | 4,124,990 | ||||||
Muteki Ltd. Catastrophe
Linked Nts., 4.84%, 5/24/111,5 |
5,200,000 | 4,982,380 | ||||||
Nelson Re Ltd.
Catastrophe Linked Nts., Series 2007-I, Cl. A, 12.34%, 6/21/101,2 |
8,580,000 | 8,287,422 | ||||||
Osiris Capital plc
Catastrophe Linked Combined Mortality Index Nts., Series D, 5.509%,
1/15/101,2 |
3,230,000 | 3,218,372 | ||||||
Residential Reinsurance
2007 Ltd. Catastrophe Linked Nts.: |
||||||||
Series CL2,
11.861%, 6/6/111,2 |
6,680,000 | 6,411,965 | ||||||
Series CL3,
12.611%, 6/7/101,2 |
3,000,000 | 3,067,200 | ||||||
Vega Capital Ltd.
Catastrophe Linked Nts., Series D, 0%, 6/24/115,12 |
10,693,000 | 14,168,225 | ||||||
Willow Re Ltd.
Catastrophe Linked Nts., 6/16/102,4 |
8,150,000 | 5,480,875 | ||||||
|
||||||||
Total Event-Linked
Bonds (Cost $85,657,528) |
85,797,886 | |||||||
Shares | ||||||||
Investment
Companies—11.1% |
||||||||
JPMorgan U.S. Treasury
Plus Money Market Fund, Agency Shares, 0.00%19,20 |
621,931 | 621,931 | ||||||
Oppenheimer
Institutional Money Market Fund, Cl. E, 0.27%18,19 |
218,406,057 | 218,406,057 | ||||||
Oppenheimer Master
Event-Linked Bond Fund, LLC6,18 |
3,242,904 | 34,016,334 | ||||||
Oppenheimer Master Loan
Fund, LLC6,18 |
65,013,938 | 647,763,527 | ||||||
|
||||||||
Total Investment
Companies (Cost $898,713,083) |
900,807,849 | |||||||
Total Investments, at
Value (excluding Investments Purchased with Cash Collateral from
Securities Loaned) (Cost $9,061,010,912) |
8,883,380,946 | |||||||
Investments
Purchased with Cash Collateral from Securities Loaned—0.3%21 |
||||||||
OFI Liquid Assets Fund,
LLC, 0.44%18,19
(Cost $23,441,250) |
23,441,250 | 23,441,250 | ||||||
Total Investments,
at Value (Cost $9,084,452,162) |
109.4 | % | 8,906,822,196 | |||||
Liabilities in
Excess of Other Assets |
(9.4 | ) | (763,547,669 | ) | ||||
Net
Assets |
100.0 | % | $ | 8,143,274,527 | ||||
AUD |
Australian Dollar | |
BRR |
Brazilian Real | |
CAD |
Canadian Dollar | |
COP |
Colombian Peso | |
DKK |
Danish Krone | |
DOP |
Dominican Republic Peso | |
EGP |
Egyptian Pounds | |
EUR |
Euro | |
GBP |
British Pound Sterling | |
GHS |
Ghana Cedi | |
HUF |
Hungarian Forint | |
IDR |
Indonesia Rupiah | |
ILS |
Israeli Shekel | |
JPY |
Japanese Yen | |
MXN |
Mexican Nuevo Peso | |
NOK |
Norwegian Krone | |
PEN |
Peruvian New Sol | |
PHP |
Philippines Peso | |
PLZ |
Polish Zloty | |
RUR |
Russian Ruble | |
SEK |
Swedish Krona | |
TRY |
New Turkish Lira | |
UAH |
Ukraine Hryvnia | |
UYU |
Uruguay Peso | |
VND |
Vietnam Dong |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | 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 $1,275,288,531 or 15.66% of the Fund’s net assets as of September 30, 2009. | |
3. | All or a portion of the security was acquired, and has been pledged as collateral, at or subsequent to period end, in connection with the Fund’s participation in the Term Asset-Backed Securities Loan Facility program (the “TALF Program”) operated by the Federal Reserve Bank of NewYork. In the aggregate, the period end value of assets purchased in connection with the TALF Program constitute 7.4% of the Fund’s net assets. Of the assets purchased, 4.9% of Fund’s net assets are asset-backed securities while 2.5% of the Fund’s net assets are commercial mortgage-backed securities. See accompanying Notes. | |
4. | Issue is in default. See Note 1 of accompanying Notes. | |
5. | Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2009 was $526,273,554, which represents 6.46% of the Fund’s net assets, of which $13,942,301 is considered restricted. See Note 6 of accompanying Notes. Information concerning restricted securities is as follows: |
Acquisition | Unrealized | |||||||||||||||
Security | Date | Cost | Value | Depreciation | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 1A, 6.916%, 9/24/14 |
12/28/07 | 3,371,014 | 2,717,641 | 653,373 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 1B, 6.916%, 9/24/14 |
6/13/08 | 707,255 | 543,528 | 163,727 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 1C, 6.916%, 9/24/14 |
8/13/08 | 1,203,116 | 905,880 | 297,236 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 1D, 6.916%, 9/24/14 |
8/7/09 | 469,147 | 452,940 | 16,207 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 1E, 6.916%, 9/24/14 |
9/10/09 | 639,781 | 634,116 | 5,665 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2A, 8.405%, 5/22/15 |
5/22/08 | 337,462 | 259,322 | 78,140 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2B, 8.405%, 5/22/15 |
6/13/08 | 590,355 | 453,690 | 136,665 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2C, 8.405%, 5/22/15 |
6/19/08 | 8,957,126 | 6,840,551 | 2,116,575 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2D, 8.405%, 5/22/15 |
7/9/08 | 652,302 | 498,530 | 153,772 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2E, 8.405%, 5/22/15 |
7/16/08 | 474,704 | 362,191 | 112,513 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2F, 8.405%, 5/22/15 |
8/11/08 | 307,336 | 231,313 | 76,023 | ||||||||||||
Deutsche Bank AG, Opic
Reforma I Credit linked Nts., Cl. 2G, 8.405%, 5/22/15 |
8/25/08 | 56,708 | 42,599 | 14,109 | ||||||||||||
|
$ | 17,766,306 | $ | 13,942,301 | $ | 3,824,005 | ||||||||||
6. | Non-income producing security. | |
7. | When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See Note 1 of accompanying Notes. | |
8. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $43,564,165 or 0.53% of the Fund’s net assets as of September 30, 2009. | |
9. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $11,584,531 or 0.14% of the Fund’s net assets as of September 30, 2009. | |
10. | All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $33,681,991. See Note 5 of accompanying Notes. | |
11. | Partial or fully-loaned security. See Note 7 of accompanying Notes. | |
12. | Zero coupon bond reflects effective yield on the date of purchase. | |
13. | A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See Note 5 of accompanying Notes. | |
14. | Interest or dividend is paid-in-kind, when applicable. | |
15. | Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. | |
16. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
17. | 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. | |
18. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, 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, 2008 | Additions | Reductions | September 30, 2009 | |||||||||||||||||||
Arco Capital Corp.
Ltd. |
2,383,674 | — | — | 2,383,674 | ||||||||||||||||||
OFI Liquid Assets Fund,
LLC |
481,294,160 | 574,991,630 | 1,032,844,540 | 23,441,250 | ||||||||||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
715,917,178 | 6,483,671,685 | 6,981,182,806 | 218,406,057 | ||||||||||||||||||
Oppenheimer Master
Event-Linked Bond Fund, LLC |
3,110,084 | 436,136 | 303,316 | 3,242,904 | ||||||||||||||||||
Oppenheimer Master Loan
Fund, LLC |
34,077,174 | 34,424,546 | 3,487,782 | 65,013,938 | ||||||||||||||||||
Realized | ||||||||||||||||||||||
Value | Income | Loss | ||||||||||||||||||||
Arco Capital Corp.
Ltd. |
$ | 5,959,185 | $ | — | $ | — | ||||||||||||||||
OFI Liquid Assets Fund,
LLC |
23,441,250 | 3,741,376 | a | — | ||||||||||||||||||
Oppenheimer
Institutional Money Market Fund, Cl. E |
218,406,057 | 6,210,984 | — | |||||||||||||||||||
Oppenheimer Master
Event-Linked Bond Fund, LLC |
34,016,334 | 3,183,181 | b | 70,389 | b | |||||||||||||||||
Oppenheimer Master Loan
Fund, LLC |
647,763,527 | 33,597,026 | c | 19,106,721 | c | |||||||||||||||||
|
$ | 929,586,353 | $ | 46,732,567 | $ | 19,177,110 | ||||||||||||||||
a. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
b. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
c. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. |
19. | Rate shown is the 7-day yield as of September 30, 2009. | |
20. | Interest rate is less than 0.0005%. | |
21. | The security/securities have been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower’s return of the securities loaned. See Note 7 of accompanying Notes. | |
22. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
Level 3- | ||||||||||||||||
Level 1- | Level 2- | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets
Table |
||||||||||||||||
Investments, at
Value: |
||||||||||||||||
Asset-Backed
Securities |
$ | — | $ | 479,789,651 | $ | — | $ | 479,789,651 | ||||||||
Mortgage-Backed
Obligations |
— | 1,761,085,161 | — | 1,761,085,161 | ||||||||||||
U.S. Government
Obligations |
— | 180,978,072 | — | 180,978,072 | ||||||||||||
Foreign Government
Obligations |
— | 2,321,671,581 | 10,905,200 | 2,332,576,781 | ||||||||||||
Loan
Participations |
— | 199,894,536 | — | 199,894,536 | ||||||||||||
Corporate Bonds and
Notes |
— | 2,318,349,835 | 2,219,306 | 2,320,569,141 | ||||||||||||
Preferred
Stocks |
— | — | — | — | ||||||||||||
Common Stocks |
2,557,672 | 11,277,111 | 32,791 | 13,867,574 | ||||||||||||
Rights, Warrants and
Certificates |
— | — | 40 | 40 | ||||||||||||
Structured
Securities |
— | 585,309,664 | 22,704,591 | 608,014,255 | ||||||||||||
Event-Linked
Bonds |
— | 85,797,886 | — | 85,797,886 | ||||||||||||
Investment
Companies |
900,807,849 | — | — | 900,807,849 | ||||||||||||
Investments Purchased
with Cash Collateral from Securities Loaned |
23,441,250 | — | — | 23,441,250 | ||||||||||||
Total Investments, at
Value |
926,806,771 | 7,944,153,497 | 35,861,928 | 8,906,822,196 |
Level 3- | ||||||||||||||||
Level 1- | Level 2- | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Other Financial
Instruments: |
||||||||||||||||
Appreciated swaps, at
value |
$ | — | $ | 57,334,995 | $ | — | $ | 57,334,995 | ||||||||
Futures margins |
2,237,537 | — | — | 2,237,537 | ||||||||||||
Foreign currency exchange
contracts |
— | 57,064,130 | — | 57,064,130 | ||||||||||||
Total Assets |
$ | 929,044,308 | $ | 8,058,552,622 | $ | 35,861,928 | $ | 9,023,458,858 | ||||||||
Liabilities
Table |
||||||||||||||||
Other Financial
Instruments: |
||||||||||||||||
Appreciated swaps, at
value |
$ | — | $ | (8,549,801 | ) | $ | — | $ | (8,549,801 | ) | ||||||
Depreciated swaps, at
value |
— | (36,311,854 | ) | — | (36,311,854 | ) | ||||||||||
Futures margins |
(2,351,058 | ) | — | — | (2,351,058 | ) | ||||||||||
Unfunded purchase
agreements |
— | (1,154,269 | ) | — | (1,154,269 | ) | ||||||||||
Foreign currency exchange
contracts |
— | (29,536,78 | ) | — | (2,536,718 | ) | ||||||||||
Total Liabilities |
$ | (2,351,058 | ) | $ | (75,552,642 | ) | $ | — | $ | (77,903,700 | ) | |||||
Change in | Accretion/ | |||||||||||||||
Unrealized | (Amortization) | |||||||||||||||
Value as of | Realized Gain | Appreciation | of Premium | |||||||||||||
September 30, 2008 | (Loss) | (Depreciation) | Discount1 | |||||||||||||
Investments in
Securities |
||||||||||||||||
Asset Backed
securities |
$ | 2,559 | $ | — | $ | (64,237 | ) | $ | — | |||||||
Mortgage-Backed
Obligations |
339,328 | — | (14,089 | ) | 92 | |||||||||||
Foreign Government
Obligations |
9,242,360 | — | 1,202,640 | 460,930 | ||||||||||||
Corporate Bonds and
Notes |
— | (14,514,889 | ) | 14,525,447 | — | |||||||||||
Common Stocks |
— | 153,301 | 26,579 | — | ||||||||||||
Rights, Warrants and
Certificates |
— | — | — | — | ||||||||||||
Structured
Securities |
23,249,374 | — | 1,662,278 | (56,043 | ) | |||||||||||
Total Assets |
$ | 32,833,621 | $ | (14,361,588 | ) | $ | 17,338,618 | $ | 404,979 | |||||||
Net | Transfers in | Value as of | ||||||||||||||
Purchases | and/or out of | September 30, | ||||||||||||||
(Sales) | Level 3 | 2009 | ||||||||||||||
Investments in
Securities Continued |
||||||||||||||||
Asset Backed
securities |
$ | — | $ | 61,678 | $ | — | ||||||||||
Mortgage-Backed
Obligations |
(5,281 | ) | (320,050 | ) | — | |||||||||||
Foreign Government
Obligations |
(730 | ) | — | 10,905,200 | ||||||||||||
Corporate Bonds and
Notes |
2,208,748 | — | 2,219,306 | |||||||||||||
Common Stocks |
(179,880 | ) | 32,791 | 32,791 | ||||||||||||
Rights, Warrants and
Certificates |
— | 40 | 40 | |||||||||||||
Structured
Securities |
(2,151,018 | ) | — | 22,704,591 | ||||||||||||
Total Assets |
$ | (128,161 | ) | $ | (225,541 | ) | $ | 35,861,928 | ||||||||
1. | Included in net investment income for fixed income securities. |
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of
America: |
||||||||||||||||||||||||
Chinese Renminbi
(Yuan) |
||||||||||||||||||||||||
(CNY) |
Sell | 111,000 | CNY | 11/13/09 | $ | 16,249,967 | $ | 17,344 | $ | — | ||||||||||||||
Indonesia Rupiah
(IDR) |
Buy | 134,400,000 | IDR | 11/30/09 | 13,735,680 | 371 | — | |||||||||||||||||
Japanese Yen
(JPY) |
Buy | 1,857,000 | JPY | 11/12/09 | 20,693,156 | 1,793,415 | — | |||||||||||||||||
Japanese Yen
(JPY) |
Sell | 331,223 | JPY | 10/5/09 | 3,690,015 | — | 17,186 | |||||||||||||||||
New Taiwan Dollar
(TWD) |
Sell | 495,000 | TWD | 10/14/09 | 15,449,315 | — | 284,803 | |||||||||||||||||
New Zealand Dollar
(NZD) |
Buy | 66,520 | NZD | 11/10/09 | 47,902,977 | 3,524,824 | — | |||||||||||||||||
New Zealand Dollar
(NZD) |
Sell | 42,490 | NZD | 11/10/09 | 30,598,279 | — | 1,797,172 | |||||||||||||||||
|
5,335,954 | 2,099,161 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Bank Paribas
Asia—FGN: |
||||||||||||||||||||||||
Euro (EUR) |
Sell | 26,095 | EUR | 11/12/09 | 38,185,030 | 2,450 | 3,348,347 | |||||||||||||||||
Hungarian Forint
(HUF) |
Buy | 3,092,000 | HUF | 10/14/09 | 16,753,390 | 354,557 | — | |||||||||||||||||
Norwegian Krone
(NOK) |
Buy | 77,800 | NOK | 11/10/09 | 13,451,881 | 420,175 | — | |||||||||||||||||
Norwegian Krone
(NOK) |
Sell | 221,090 | NOK | 11/10/09 | 38,227,204 | — | 301,888 | |||||||||||||||||
Polish Zloty
(PLZ) |
Buy | 199,120 | PLZ | 10/5/09 | 69,349,602 | 748,674 | 102,019 | |||||||||||||||||
Polish Zloty
(PLZ) |
Sell | 14,459 | PLZ | 10/1/09-11/12/09 | 5,025,211 | 2,183 | 484,828 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 39,980 | CHF | 11/10/09 | 38,591,702 | — | 62,274 | |||||||||||||||||
Swiss Franc (CHF) |
Sell | 38,000 | CHF | 11/10/09 | 36,680,457 | 184,114 | — | |||||||||||||||||
|
1,712,153 | 4,299,356 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Barclay’s
Capital: |
||||||||||||||||||||||||
Euro (EUR) |
Buy | 14,790 | EUR | 11/10/09 | 21,642,393 | 390,969 | 1,053 | |||||||||||||||||
Euro (EUR) |
Sell | 146,280 | EUR | 10/5/09-12/18/09 | 214,047,822 | 31,742 | 6,198,595 | |||||||||||||||||
Japanese Yen
(JPY) |
Buy | 3,551,000 | JPY | 12/18/09 | 39,580,550 | 686,794 | — | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Buy | 435,020 | MXN | 10/6/09 | 32,202,692 | — | 959,881 | |||||||||||||||||
Norwegian Krone
(NOK) |
Buy | 184,890 | NOK | 11/10/09 | 31,968,102 | 1,076,185 | — | |||||||||||||||||
Norwegian Krone
(NOK) |
Sell | 30,700 | NOK | 11/10/09 | 5,308,133 | — | 235,137 | |||||||||||||||||
Polish Zloty
(PLZ) |
Sell | 34,510 | PLZ | 11/12/09 | 11,983,789 | — | 1,357,153 | |||||||||||||||||
South African Rand
(ZAR) |
Buy | 115,370 | ZAR | 11/17/09 | 15,216,500 | 13,010 | 34,834 | |||||||||||||||||
|
2,198,700 | 8,786,653 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||
British Pound Sterling
(GBP) |
Buy | 728 | GBP | 10/2/09 | 1,163,355 | 3,542 | — | |||||||||||||||||
British Pound Sterling
(GBP) |
Sell | 309 | GBP | 10/2/09 | 493,545 | — | 1,503 | |||||||||||||||||
Indian Rupee
(INR) |
Buy | 757,000 | INR | 10/20/09 | 15,712,747 | 45,708 | — | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Sell | 257,400 | MXN | 11/10/09 | 18,959,802 | 583,934 | — | |||||||||||||||||
Singapore Dollar
(SGD) |
Buy | 3,420 | SGD | 11/10/09 | 2,427,106 | 55,951 | — | |||||||||||||||||
|
689,135 | 1,503 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Credit
Suisse: |
||||||||||||||||||||||||
British Pound Sterling
(GBP) |
Buy | 21,790 | GBP | 11/6/09-11/10/09 | $ | 34,818,410 | $ | — | $ | 1,361,896 | ||||||||||||||
British Pound Sterling
(GBP) |
Sell | 370 | GBP | 11/10/09 | 591,223 | 20,387 | — | |||||||||||||||||
Japanese Yen
(JPY) |
Buy | 5,257,107 | JPY | 10/15/09-11/12/09 | 58,578,676 | 3,830,722 | — | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Buy | 199,507 | MXN | 10/1/09 | 14,781,581 | 79,518 | — | |||||||||||||||||
New Turkish Lira
(TRY) |
Buy | 23,500 | TRY | 10/13/09 | 15,797,779 | 183,161 | — | |||||||||||||||||
New Turkish Lira
(TRY) |
Sell | 127,400 | TRY | 10/13/09 | 85,644,131 | — | 992,968 | |||||||||||||||||
Russian Ruble
(RUR) |
Buy | 14,460 | RUR | 11/16/09 | 476,426 | 42,582 | — | |||||||||||||||||
South African Rand
(ZAR) |
Buy | 415,615 | ZAR | 10/5/09-11/17/09 | 54,947,585 | 746,693 | 558,639 | |||||||||||||||||
Swedish Krona
(SEK) |
Buy | 132,800 | SEK | 11/10/09 | 19,054,833 | 276,852 | 1,699 | |||||||||||||||||
|
5,179,915 | 2,915,202 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Deutsche Bank
Capital Corp.: |
||||||||||||||||||||||||
Australian Dollar
(AUD) |
Buy | 2,324 | AUD | 11/20/09 | 2,041,608 | 50,544 | — | |||||||||||||||||
British Pound Sterling
(GBP) |
Buy | 4,955 | GBP | 11/20/09 | 7,917,473 | — | 101,650 | |||||||||||||||||
Canadian Dollar
(CAD) |
Buy | 8,620 | CAD | 11/20/09 | 8,051,740 | 74,321 | — | |||||||||||||||||
Euro (EUR) |
Buy | 32,890 | EUR | 11/20/09 | 48,127,646 | — | 33,510 | |||||||||||||||||
Euro (EUR) |
Sell | 20,967 | EUR | 10/2/09-11/12/09 | 30,682,214 | — | 1,076,627 | |||||||||||||||||
Indian Rupee
(INR) |
Buy | 757,000 | INR | 10/20/09 | 15,712,747 | 43,113 | — | |||||||||||||||||
Japanese Yen
(JPY) |
Buy | 5,812,000 | JPY | 11/10/09-11/20/09 | 64,764,975 | 1,290,750 | 63,465 | |||||||||||||||||
Japanese Yen
(JPY) |
Sell | 2,536,000 | JPY | 11/10/09 | 28,259,135 | — | 1,700,552 | |||||||||||||||||
Swiss Franc
(CHF) |
Buy | 2,076 | CHF | 11/20/09 | 2,004,027 | 2,427 | — | |||||||||||||||||
|
1,461,155 | 2,975,804 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Goldman, Sachs &
Co.: |
||||||||||||||||||||||||
Brazilian Real
(BRR) |
Buy | 193,445 | BRR | 11/4/09-1/5/10 | 108,097,623 | 26,337,836 | — | |||||||||||||||||
Brazilian Real
(BRR) |
Sell | 23,230 | BRR | 11/4/09 | 13,039,448 | — | 115,943 | |||||||||||||||||
South African Rand
(ZAR) |
Buy | 547,430 | ZAR | 11/17/09 | 72,202,207 | — | 970,904 | |||||||||||||||||
|
26,337,836 | 1,086,847 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Hong Kong &
Shanghai Bank Corp.: |
||||||||||||||||||||||||
Colombian Peso
(COP) |
Sell | 26,740,000 | COP | 11/3/09 | 13,878,595 | — | 114,600 | |||||||||||||||||
Israeli Shekel
(ILS) |
Sell | 39,780 | ILS | 10/30/09 | 10,563,773 | — | 133,778 | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Sell | 397,150 | MXN | 10/6/09 | 29,399,336 | 656,591 | — | |||||||||||||||||
|
656,591 | 248,378 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
JP Morgan
Chase: |
||||||||||||||||||||||||
Argentine Peso
(ARP) |
Buy | 56,650 | ARP | 11/30/09 | 14,503,416 | — | 22,225 | |||||||||||||||||
Australian Dollar
(AUD) |
Buy | 23,390 | AUD | 11/10/09 | 20,565,320 | 987,890 | — | |||||||||||||||||
Australian Dollar
(AUD) |
Sell | 34,840 | AUD | 11/10/09 | 30,632,567 | — | 791,410 | |||||||||||||||||
Euro (EUR) |
Buy | 40,000 | EUR | 12/9/09 | 58,529,448 | — | 308,552 | |||||||||||||||||
Hong Kong Dollar
(HKD) |
Sell | 118,100 | HKD | 10/5/09 | 15,239,087 | 8,083 | — | |||||||||||||||||
Indian Rupee
(INR) |
Buy | 1,516,000 | INR | 11/16/09 | 31,399,535 | 122,456 | — | |||||||||||||||||
Indonesia Rupiah
(IDR) |
Buy | 528,515,000 | IDR | 10/13/09-10/26/09 | 54,471,642 | 1,282,572 | — | |||||||||||||||||
Malaysian Ringgit
(MYR) |
Buy | 14,010 | MYR | 11/10/09 | 4,040,738 | 56,500 | — | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Sell | 269,800 | MXN | 11/10/09 | 19,873,172 | 631,602 | — | |||||||||||||||||
Russian Ruble
(RUR) |
Sell | 14,460 | RUR | 11/16/09 | 476,426 | — | 52,254 | |||||||||||||||||
South Korean Won
(KRW) |
Buy | 65,251,000 | KRW | 11/17/09 | 55,344,397 | 2,078,275 | — | |||||||||||||||||
|
5,167,378 | 1,174,441 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Morgan Stanley &
Co., Inc. |
||||||||||||||||||||||||
Brazilian Real
(BRR) |
Buy | 13,880 | BRR | 11/4/09 | $ | 7,791,112 | $ | 164,739 | $ | — | ||||||||||||||
RBS Greenwich
Capital: |
||||||||||||||||||||||||
British Pound Sterling
(GBP) |
Buy | 4,760 | GBP | 12/18/09 | 7,605,470 | 47,590 | — | |||||||||||||||||
Israeli Shekel
(ILS) |
Sell | 60,100 | ILS | 10/14/09 | 15,958,040 | — | 100,520 | |||||||||||||||||
Polish Zloty
(PLZ) |
Buy | 176,040 | PLZ | 10/5/09 | 61,311,289 | 1,918,577 | — | |||||||||||||||||
Swiss Franc
(CHF) |
Buy | 64,340 | CHF | 11/10/09 | 62,105,806 | 1,079,910 | 5,191 | |||||||||||||||||
Swiss Franc
(CHF) |
Sell | 29,020 | CHF | 11/10/09 | 28,012,286 | 1,197 | 749,254 | |||||||||||||||||
|
3,047,274 | 854,965 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Santander
Investments: |
||||||||||||||||||||||||
Chilean Peso
(CLP) |
Sell | 8,528,000 | CLP | 10/28/09 | 15,556,095 | 284,900 | — | |||||||||||||||||
Colombian Peso
(COP) |
Sell | 67,054,000 | COP | 10/27/09-10/29/09 | 34,832,639 | — | 1,165,265 | |||||||||||||||||
Mexican Nuevo Peso
(MXN) |
Sell | 1,371,987 | MXN | 10/1/09-10/30/09 | 101,460,227 | 2,240,897 | 65,420 | |||||||||||||||||
|
2,525,797 | 1,230,685 | ||||||||||||||||||||||
State
Street: |
||||||||||||||||||||||||
British Pound Sterling
(GBP) |
Sell | 14,430 | GBP | 11/6/09 | 23,057,859 | 1,014,892 | — | |||||||||||||||||
Canadian Dollar
(CAD) |
Buy | 22,870 | CAD | 11/10/09 | 21,362,199 | 228,214 | 351 | |||||||||||||||||
Canadian Dollar
(CAD) |
Sell | 40,340 | CAD | 11/10/09 | 37,680,416 | 1,508 | 478,730 | |||||||||||||||||
Japanese Yen
(JPY) |
Buy | 2,536,000 | JPY | 11/10/09 | 28,259,135 | 340,074 | — | |||||||||||||||||
Japanese Yen
(JPY) |
Sell | 733,000 | JPY | 11/10/09 | 8,167,960 | — | 222,763 | |||||||||||||||||
|
1,584,688 | 701,844 | ||||||||||||||||||||||
|
||||||||||||||||||||||||
Westpac: |
||||||||||||||||||||||||
Australian Dollar
(AUD) |
Buy | 16,260 | AUD | 11/10/09 | 14,296,370 | 686,832 | — | |||||||||||||||||
Australian Dollar
(AUD) |
Sell | 54,590 | AUD | 11/10/09 | 47,997,470 | — | 1,656,673 | |||||||||||||||||
Euro (EUR) |
Sell | 357 | EUR | 10/1/09 | 523,034 | — | 1,273 | |||||||||||||||||
New Zealand Dollar
(NZD) |
Buy | 26,470 | NZD | 11/10/09 | 19,061,813 | 315,983 | — | |||||||||||||||||
New Zealand Dollar
(NZD) |
Sell | 66,520 | NZD | 11/10/09 | 47,902,977 | — | 1,503,933 | |||||||||||||||||
|
1,002,815 | 3,161,879 | ||||||||||||||||||||||
Total unrealized
appreciation and depreciation |
$ | 57,064,130 | $ | 29,536,718 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
Australia (Government
of) Bonds, 10 yr. |
Sell | 449 | 12/15/09 | $ | 41,335,427 | $ | 153,772 | |||||||||||||
CAC40 10 Euro
Index |
Buy | 158 | 10/16/09 | 8,779,062 | 80,335 | |||||||||||||||
CAC40 10 Euro
Index |
Sell | 259 | 10/16/09 | 14,390,995 | (131,797 | ) | ||||||||||||||
DAX Index |
Buy | 72 | 12/18/09 | 14,946,880 | 71,790 | |||||||||||||||
DAX Index |
Sell | 77 | 12/18/09 | 15,984,858 | (76,782 | ) | ||||||||||||||
Euro-BOBL |
Buy | 312 | 12/8/09 | 52,756,380 | 138,983 | |||||||||||||||
Euro-Bundesobligation |
Buy | 262 | 12/8/09 | 46,728,752 | 404,396 | |||||||||||||||
FTSE 100 Index |
Buy | 35 | 12/18/09 | 2,847,679 | 39,341 | |||||||||||||||
IBEX 35 Index |
Buy | 50 | 10/16/09 | 8,580,763 | 106,982 | |||||||||||||||
Japan (Government of)
Bonds, 10 yr. |
Buy | 82 | 12/9/09 | 12,726,831 | 75,755 | |||||||||||||||
Japan (Government of)
Bonds, 10 yr. |
Sell | 44 | 12/10/09 | 68,300,117 | (436,255 | ) | ||||||||||||||
MSCI Sing Ix
Ets |
Buy | 183 | 10/29/09 | 8,335,129 | 152,179 |
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
NASDAQ 100 E-Mini
Index |
Buy | 1,008 | 12/18/09 | $ | 34,624,800 | $ | 681,005 | |||||||||||||
NIKKEI 225
Index |
Buy | 42 | 12/10/09 | 2,362,836 | (63,779 | ) | ||||||||||||||
NIKKEI 225
Index |
Sell | 227 | 12/10/09 | 25,566,423 | 529,287 | |||||||||||||||
SGX CNX NIFTY
Index |
Sell | 839 | 10/29/09 | 8,512,494 | 91,747 | |||||||||||||||
SPI 200 Index |
Buy | 89 | 12/17/09 | 9,317,861 | 291,183 | |||||||||||||||
Standard & Poor’s
500 E-Mini Index |
Sell | 2,288 | 12/18/09 | 120,451,760 | (1,799,283 | ) | ||||||||||||||
Standard &
Poor’s/MIB Index, 10 yr. |
Buy | 50 | 12/18/09 | 8,568,690 | 182,374 | |||||||||||||||
U.S. Treasury Long
Bonds, 20 yr. |
Buy | 5,352 | 12/21/09 | 649,599,000 | 9,681,023 | |||||||||||||||
U.S. Treasury Long
Bonds, 20 yr. |
Sell | 437 | 12/21/09 | 53,040,875 | (915,866 | ) | ||||||||||||||
U.S. Treasury Nts., 2
yr. |
Buy | 1,316 | 12/31/09 | 285,530,875 | 179,992 | |||||||||||||||
U.S. Treasury Nts., 2
yr. |
Sell | 386 | 12/31/09 | 83,749,938 | (89,302 | ) | ||||||||||||||
U.S. Treasury Nts., 5
yr. |
Buy | 4,077 | 12/31/09 | 473,314,219 | 4,937,848 | |||||||||||||||
U.S. Treasury Nts., 5
yr. |
Sell | 1,619 | 12/31/09 | 187,955,781 | (2,444,082 | ) | ||||||||||||||
U.S. Treasury Nts., 10
yr. |
Buy | 2,136 | 12/21/09 | 252,748,875 | 1,530,133 | |||||||||||||||
U.S. Treasury Nts., 10
yr. |
Sell | 8,608 | 12/21/09 | 1,018,568,500 | (13,383,557 | ) | ||||||||||||||
United Kingdom Long
Gilt |
Sell | 19 | 12/29/09 | 3,600,077 | 3,710 | |||||||||||||||
|
||||||||||||||||||||
|
$ | (8,868 | ) | |||||||||||||||||
|
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Bolivarian Republic
of Venezuela: |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Sell | $ | 3,250 | 30.50 | % | 1/20/10 | $ | — | $ | 406,595 | $ | 406,595 | ||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 3,250 | 30.00 | 1/20/10 | — | 398,453 | 398,453 | |||||||||||||||||||||
|
Total | 6,500 | — | 805,048 | 805,048 | |||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Capital One Bank
USA |
||||||||||||||||||||||||||||
JPMorgan Chase Bank NA,
NY Branch |
Sell | 12,930 | 1.00 | 9/20/14 | (40,047 | ) | 122,602 | 82,555 | ||||||||||||||||||||
|
Total | 12,930 | (40,047 | ) | 122,602 | 82,555 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Cardinal Health,
Inc. |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Buy | 12,400 | 1.00 | 9/20/14 | 323,943 | (352,095 | ) | (28,152 | ) | |||||||||||||||||||
|
Total | 12,400 | 323,943 | (352,095 | ) | (28,152 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
CDX Emerging Markets
Index, Series 11: |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Buy | 31,200 | 5.00 | 6/20/14 | 2,744,733 | (3,367,472 | ) | (622,739 | ) | |||||||||||||||||||
Goldman Sachs
International |
Buy | 15,600 | 5.00 | 6/20/14 | 1,372,367 | (1,683,736 | ) | (311,369 | ) | |||||||||||||||||||
JPMorgan Chase Bank NA,
London Branch |
Buy | 31,200 | 5.00 | 6/20/14 | 2,729,133 | (3,367,472 | ) | (638,339 | ) | |||||||||||||||||||
|
Total | 78,000 | 6,846,233 | (8,418,680 | ) | (1,572,447 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
CDX North America
High Yield Index, Series 12: |
||||||||||||||||||||||||||||
Credit Suisse
International |
Sell | $ | 11,656 | 5.00 | % | 6/20/14 | $ | 1,386,579 | $ | (776,979 | ) | $ | 609,600 | |||||||||||||||
JPMorgan Chase Bank NA,
NY Branch |
Sell | 8,742 | 5.00 | 6/20/14 | 1,044,184 | (582,734 | ) | 461,450 | ||||||||||||||||||||
|
Total | 20,398 | 2,430,763 | (1,359,713 | ) | 1,071,050 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Cemex SAB de
CV |
||||||||||||||||||||||||||||
Credit Suisse
International |
Buy | 5,705 | 5.30 | 10/20/13 | — | (137,693 | ) | (137,693 | ) | |||||||||||||||||||
|
Total | 5,705 | — | (137,693 | ) | (137,693 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
CIT Group,
Inc. |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Sell | 12,870 | 5.00 | 9/20/14 | 5,633,485 | (4,438,230 | ) | 1,195,255 | ||||||||||||||||||||
|
Total | 12,870 | 5,633,485 | (4,438,230 | ) | 1,195,255 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
ConocoPhillips |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Buy | 12,870 | 1.00 | 9/20/14 | 348,401 | (316,125 | ) | 32,276 | ||||||||||||||||||||
|
Total | 12,870 | 348,401 | (316,125 | ) | 32,276 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Development Bank of
Kazakhstan JSC |
||||||||||||||||||||||||||||
Credit Suisse
International |
Sell | 20,660 | 3.75 | 2/20/13 | — | (2,245,278 | ) | (2,245,278 | ) | |||||||||||||||||||
|
Total | 20,660 | — | (2,245,278 | ) | (2,245,278 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Devon
Energy |
||||||||||||||||||||||||||||
Barclays Bank
plc |
Buy | 12,400 | 1.00 | 9/20/14 | 252,186 | (292,750 | ) | (40,564 | ) | |||||||||||||||||||
|
Total | 12,400 | 252,186 | (292,750 | ) | (40,564 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Government of
Hungary |
||||||||||||||||||||||||||||
Credit Suisse
International |
Sell | 9,250 | 2.70 | 9/20/10 | — | 54,843 | 54,843 | |||||||||||||||||||||
|
Total | 9,250 | — | 54,843 | 54,843 | |||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Halliburton
Co. |
||||||||||||||||||||||||||||
Deutsche Bank
AG |
Buy | 12,400 | 1.00 | 9/20/14 | 307,969 | (292,750 | ) | 15,219 | ||||||||||||||||||||
|
Total | 12,400 | 307,969 | (292,750 | ) | 15,219 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
HSBK Europe
BV: |
||||||||||||||||||||||||||||
Credit Suisse
International |
Sell | 4,040 | 4.95 | 3/20/13 | — | (327,191 | ) | (327,191 | ) | |||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 8,080 | 4.88 | 3/20/13 | — | (669,911 | ) | (669,911 | ) | |||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 8,090 | 4.78 | 3/20/13 | — | (692,954 | ) | (692,954 | ) | |||||||||||||||||||
|
Total | 20,210 | — | (1,690,056 | ) | (1,690,056 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
International Paper
Co. |
||||||||||||||||||||||||||||
Goldman Sachs
International |
Sell | 12,400 | 1.00 | 9/20/14 | 890,104 | (274,905 | ) | 615,199 | ||||||||||||||||||||
|
Total | 12,400 | 890,104 | (274,905 | ) | 615,199 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
International Lease
Finance Corp.: |
||||||||||||||||||||||||||||
Deutsche Bank
AG |
Sell | 6,125 | 5.00 | 9/20/14 | 1,008,073 | (694,462 | ) | 313,611 | ||||||||||||||||||||
Deutsche Bank
AG |
Sell | 6,745 | 5.00 | 9/20/14 | 919,943 | (764,759 | ) | 155,184 | ||||||||||||||||||||
|
Total | 12,870 | 1,928,016 | (1,459,221 | ) | 468,795 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Islamic Republic of
Pakistan |
||||||||||||||||||||||||||||
Citibank NA, New
York |
Sell | $ | 4,860 | 5.10 | % | 3/20/13 | $ | — | $ | (950,814 | ) | $ | (950,814 | ) | ||||||||||||||
|
Total | 4,860 | — | (950,814 | ) | (950,814 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Istanbul Bond Co.
SA |
||||||||||||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | $ | 25,090 | 1.30 | % | 3/24/13 | $ | — | $ | (3,367,668 | ) | $ | (3,367,668 | ) | ||||||||||||||
|
Total | 25,090 | — | (3,367,668 | ) | (3,367,668 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Lockheed Martin
Corp. |
||||||||||||||||||||||||||||
UBS AG |
Buy | 12,870 | 1.00 | 9/20/14 | 444,862 | (408,857 | ) | 36,005 | ||||||||||||||||||||
|
Total | 12,870 | 444,862 | (408,857 | ) | 36,005 | ||||||||||||||||||||||
|
||||||||||||||||||||||||||||
Republic of
Peru |
||||||||||||||||||||||||||||
Deutsche Bank
AG |
Buy | 7,440 | 1.71 | 12/20/16 | — | (177,201 | ) | (177,201 | ) | |||||||||||||||||||
|
Total | 7,440 | — | (177,201 | ) | (177,201 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Republic of
Turkey: |
||||||||||||||||||||||||||||
Citibank NA, New
York |
Buy | 7,970 | 5.25 | 12/20/13 | — | (1,139,953 | ) | (1,139,953 | ) | |||||||||||||||||||
Goldman Sachs
International |
Buy | 15,935 | 5.29 | 12/20/13 | — | (2,305,324 | ) | (2,305,324 | ) | |||||||||||||||||||
|
Total | 23,905 | — | (3,445,277 | ) | (3,445,277 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Standard Bank London
Holdings plc for NAK Naftogaz Ukrainy |
||||||||||||||||||||||||||||
Credit Suisse
International |
Sell | 8,905 | 3.25 | 4/20/11 | — | (4,017,309 | ) | (4,017,309 | ) | |||||||||||||||||||
|
Total | 8,905 | — | (4,017,309 | ) | (4,017,309 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
Troy Capital SA for
Yasar Holdings SA: |
||||||||||||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 3,390 | 8.75 | 6/20/10 | — | (1,126,423 | ) | (1,126,423 | ) | |||||||||||||||||||
Morgan Stanley Capital
Services, Inc. |
Sell | 3,390 | 8.50 | 10/20/09 | — | (15,908 | ) | (15,908 | ) | |||||||||||||||||||
|
Total | 6,780 | — | (1,142,331 | ) | (1,142,331 | ) | |||||||||||||||||||||
|
||||||||||||||||||||||||||||
United Mexican
States |
||||||||||||||||||||||||||||
Goldman Sachs
International |
Buy | 5,970 | 1.35 | 9/20/14 | — | 77,771 | 77,771 | |||||||||||||||||||||
|
Total | 5,970 | — | 77,771 | 77,771 | |||||||||||||||||||||||
|
||||||||||||||||||||||||||||
XL Capital
Ltd. |
||||||||||||||||||||||||||||
Deutsche Bank
AG |
Sell | 12,400 | 5.00 | 9/20/14 | (360,082 | ) | 1,899,382 | 1,539,300 | ||||||||||||||||||||
|
Total | 12,400 | (360,082 | ) | 1,899,382 | 1,539,300 | ||||||||||||||||||||||
|
Grand Total Buys | 8,523,594 | (13,763,657 | ) | (5,240,063 | ) | ||||||||||||||||||||||
|
Grand Total Sells | 10,482,239 | (18,063,650 | ) | (7,581,411 | ) | ||||||||||||||||||||||
Total Credit Default Swaps |
$ | 19,005,833 | $ | (31,827,307 | ) | $ | (12,821,474 | ) | ||||||||||||||||||||
Total Maximum Potential | ||||||||||||
Type of Reference Asset on which the Fund | Payments for Selling Credit | Amount | Reference Asset | |||||||||
Sold Protection | Protection (Undiscounted) | Recoverable* | Rating Range** | |||||||||
Investment Grade Single
Name Corporate Debt |
$ | 50,600,000 | $ | — | A to BBB | |||||||
Investment Grade
Sovereign Debt |
55,000,000 | — | BBB+ to BBB– | |||||||||
Non-Investment Grade
Sovereign Debt |
47,255,000 | — | BB– to D | |||||||||
Non-Investment Grade
Corporate Debt Indexes |
20,398,000 | — | B | |||||||||
Non-Investment Grade
Single Name Corporate Debt |
12,870,000 | — | CC | |||||||||
Total |
$ | 186,123,000 | $ | — | ||||||||
* | 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 & Poor’s 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 | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||
BZDI: |
||||||||||||||||||||||
Banco Santander Central
Hispano SA |
18,790 | BRR | BZDI | 14.000 | % | 1/3/12 | $ | 933,115 | ||||||||||||||
Goldman Sachs Group,
Inc. (The) |
46,100 | BRR | BZDI | 12.800 | 1/2/17 | 546,950 | ||||||||||||||||
Goldman Sachs
International |
6,810 | BRR | BZDI | 14.100 | 1/2/17 | 166,583 | ||||||||||||||||
Goldman Sachs
International |
43,920 | BRR | BZDI | 13.900 | 1/2/17 | 1,074,746 | ||||||||||||||||
J Aron &
Co. |
16,625 | BRR | BZDI | 14.160 | 1/2/17 | 650,924 | ||||||||||||||||
J Aron &
Co. |
34,060 | BRR | BZDI | 12.920 | 1/2/14 | 914,541 | ||||||||||||||||
J Aron &
Co. |
16,960 | BRR | BZDI | 12.870 | 1/2/14 | 438,207 | ||||||||||||||||
J Aron &
Co. |
73,600 | BRR | BZDI | 12.390 | 1/2/12 | 1,093,323 | ||||||||||||||||
J Aron &
Co. |
130 | BRR | BZDI | 12.260 | 1/2/15 | (69 | ) | |||||||||||||||
J Aron &
Co. |
60 | BRR | BZDI | 12.290 | 1/2/15 | (31 | ) | |||||||||||||||
J Aron &
Co. |
18,790 | BRR | BZDI | 14.050 | 1/2/12 | 942,544 | ||||||||||||||||
J Aron &
Co. |
17,800 | BRR | BZDI | 14.300 | 1/2/17 | 701,480 | ||||||||||||||||
JPMorgan Chase Bank
NA |
73,600 | BRR | BZDI | 12.380 | 1/2/12 | 1,089,584 | ||||||||||||||||
JPMorgan Chase Bank
NA |
44,120 | BRR | BZDI | 13.900 | 1/2/17 | 1,080,038 | ||||||||||||||||
JPMorgan Chase Bank
NA |
37,410 | BRR | BZDI | 13.910 | 1/2/12 | 1,865,010 | ||||||||||||||||
JPMorgan Chase Bank
NA |
39,800 | BRR | BZDI | 13.900 | 1/2/17 | 1,207,097 | ||||||||||||||||
Morgan Stanley |
28,990 | BRR | BZDI | 12.810 | 1/2/17 | 134,215 | ||||||||||||||||
Morgan Stanley |
32,320 | BRR | BZDI | 15.000 | 1/2/17 | 1,284,080 | ||||||||||||||||
Morgan Stanley |
80,500 | BRR | BZDI | 13.900 | 1/2/17 | 2,441,491 | ||||||||||||||||
Morgan Stanley |
39,900 | BRR | BZDI | 12.050 | 1/2/12 | 588,433 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
670,285 | BRR | 17,152,261 | |||||||||||||||||||
|
||||||||||||||||||||||
CAD BA
CDOR: |
||||||||||||||||||||||
JPMorgan Chase Bank
NA |
19,910 | CAD | Six-Month CAD BACDOR |
3.620 | 8/6/19 | 415,439 | ||||||||||||||||
JPMorgan Chase Bank
NA |
24,235 | CAD | Six-Month CAD BACDOR |
3.000 | 4/30/19 | (536,629 | ) | |||||||||||||||
|
||||||||||||||||||||||
Total |
44,145 | CAD | (121,190 | ) |
Notional | ||||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||
DKK CIBOR
DKNA13 |
||||||||||||||||||||||
Barclays Bank plc |
202,110 | DKK | 3.850 | % | Six-Month DKK CIBOR DKNA13 |
8/7/19 | $ | (393,889 | ) | |||||||||||||
|
||||||||||||||||||||||
EUR EURIBOR
Reuters: |
||||||||||||||||||||||
JPMorgan Chase Bank
NA |
3,690 | EUR | 3.480 | Six-Month EUR EURIBOR Reuters |
9/10/19 | (20,719 | ) | |||||||||||||||
JPMorgan Chase Bank
NA |
3,670 | EUR | 3.530 | Six-Month EUR EURIBOR Reuters |
9/11/19 | (43,132 | ) | |||||||||||||||
JPMorgan Chase Bank
NA |
5,730 | EUR | 3.550 | Six-Month EUR EURIBOR Reuters |
9/14/19 | (79,356 | ) | |||||||||||||||
|
||||||||||||||||||||||
Total |
13,090 | EUR | (143,207 | ) | ||||||||||||||||||
|
||||||||||||||||||||||
HUF BUBOR
Reuters: |
||||||||||||||||||||||
Barclays Bank plc |
3,677,000 | HUF | Six-Month HUF BUBOR Reuters |
7.820 | % | 9/19/13 | 588,875 | |||||||||||||||
Barclays Bank plc |
2,181,000 | HUF | Six-Month HUF BUBOR Reuters | 7.180 | 10/8/18 | 437,044 | ||||||||||||||||
Citibank NA |
2,147,000 | HUF | Six-Month HUF BUBOR Reuters | 7.200 | 10/8/18 | 446,351 | ||||||||||||||||
Citibank NA |
2,150,000 | HUF | Six-Month HUF BUBOR Reuters | 7.180 | 10/3/18 | 435,142 | ||||||||||||||||
JPMorgan Chase Bank
NA |
2,181,000 | HUF | Six-Month HUF BUBOR Reuters | 7.200 | 10/6/18 | 453,419 | ||||||||||||||||
JPMorgan Chase Bank
NA |
1,711,000 | HUF | Six-Month HUF BUBOR Reuters | 7.890 | 9/12/13 | 289,040 | ||||||||||||||||
JPMorgan Chase Bank
NA |
2,903,000 | HUF | Six-Month HUF BUBOR Reuters | 8.480 | 6/6/13 | 619,070 | ||||||||||||||||
JPMorgan Chase Bank
NA |
1,947,000 | HUF | Six-Month HUF BUBOR Reuters | 7.880 | 8/12/13 | 383,976 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
18,897,000 | HUF | 3,652,917 | |||||||||||||||||||
|
||||||||||||||||||||||
ILS TELBOR01
Reuters: |
||||||||||||||||||||||
Credit Suisse
International |
14,920 | ILS | Three-Month ILS TELBOR01 Reuters |
4.650 | 12/22/18 | (109,231 | ) | |||||||||||||||
Credit Suisse
International |
16,080 | ILS | Three-Month ILS TELBOR01 Reuters |
4.940 | 12/15/18 | 33,244 | ||||||||||||||||
UBS AG |
39,350 | ILS | Three-Month ILS TELBOR01 Reuters | 5.880 | 8/28/10 | 474,927 | ||||||||||||||||
UBS AG |
40,150 | ILS | Three-Month ILS TELBOR01 Reuters | 5.850 | 9/4/18 | 468,124 | ||||||||||||||||
UBS AG |
41,060 | ILS | Three-Month ILS TELBOR01 Reuters | 4.780 | 1/7/19 | (190,285 | ) | |||||||||||||||
UBS AG |
41,030 | ILS | Three-Month ILS TELBOR01 Reuters | 5.036 | 12/12/18 | 56,624 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
192,590 | ILS | 733,403 | |||||||||||||||||||
|
||||||||||||||||||||||
JPY BBA
LIBOR: |
||||||||||||||||||||||
Citibank NA |
1,218,500 | JPY | 1.236 | % | Six-Month JPY BBA LIBOR |
3/10/19 | 143,956 |
Notional | ||||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||
JPY BBA LIBOR
Continued |
||||||||||||||||||||||
JPMorgan Chase Bank
NA |
1,218,500 | JPY | 1.268 | % | Six-Month JPY BBA LIBOR |
3/6/19 | $ | 102,703 | ||||||||||||||
JPMorgan Chase Bank
NA |
1,269,500 | JPY | 1.484 | Six-Month JPY BBA LIBOR |
8/7/19 | (136,190 | ) | |||||||||||||||
|
||||||||||||||||||||||
Total |
3,706,500 | JPY | 110,469 | |||||||||||||||||||
|
||||||||||||||||||||||
MXN TIIE
BANXICO: |
||||||||||||||||||||||
Barclays Bank plc |
82,350 | MXN | MXN TIIE BANXICO | 9.270 | % | 7/17/26 | 431,195 | |||||||||||||||
Banco Santander SA,
Inc. |
228,300 | MXN | MXN TIIE BANXICO | 8.540 | 9/27/13 | 881,096 | ||||||||||||||||
Banco Santander SA,
Inc. |
229,200 | MXN | MXN TIIE BANXICO | 8.060 | 2/6/14 | 671,756 | ||||||||||||||||
Citibank NA |
427,800 | MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 1,595,985 | ||||||||||||||||
Credit Suisse
International |
90,300 | MXN | MXN TIIE BANXICO | 8.560 | 9/27/13 | 298,471 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
138,000 | MXN | MXN TIIE BANXICO | 8.540 | 9/27/13 | 532,594 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
466,000 | MXN | MXN TIIE BANXICO | 6.250 | 6/7/11 | (116,423 | ) | |||||||||||||||
Goldman Sachs Group, Inc.
(The) |
576,000 | MXN | MXN TIIE BANXICO | 6.000 | 6/6/11 | (168,024 | ) | |||||||||||||||
Goldman Sachs Group, Inc.
(The) |
431,000 | MXN | MXN TIIE BANXICO | 9.350 | 11/18/11 | 1,834,297 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
1,401,000 | MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 2,556,511 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
521,900 | MXN | MXN TIIE BANXICO | 9.270 | 11/21/11 | 2,123,793 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
516,800 | MXN | MXN TIIE BANXICO | 9.080 | 11/22/11 | 2,009,727 | ||||||||||||||||
JPMorgan Chase Bank
NA |
1,393,000 | MXN | MXN TIIE BANXICO | 10.000 | 11/11/11 | 2,541,913 | ||||||||||||||||
JPMorgan Chase Bank
NA |
417,900 | MXN | MXN TIIE BANXICO | 8.920 | 11/24/11 | 1,559,052 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
6,919,550 | MXN | 16,751,943 | |||||||||||||||||||
|
||||||||||||||||||||||
PLZ WIBOR
WIBO: |
||||||||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
54,520 | PLZ | Six-Month PLZ WIBOR WIBO |
5.330 | 10/6/18 | 420,739 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
54,600 | PLZ | Six-Month PLZ WIBOR WIBO |
5.320 | 10/3/18 | 408,363 | ||||||||||||||||
JPMorgan Chase Bank
NA |
16,525 | PLZ | Six-Month PLZ WIBOR WIBO |
5.650 | 9/11/19 | 91,823 | ||||||||||||||||
JPMorgan Chase Bank
NA |
24,750 | PLZ | Six-Month PLZ WIBOR WIBO |
5.690 | 9/14/19 | 164,129 | ||||||||||||||||
JPMorgan Chase Bank
NA |
16,600 | PLZ | Six-Month PLZ WIBOR WIBO |
5.600 | 9/10/19 | 74,663 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
166,995 | PLZ | 1,159,717 |
Notional | ||||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||||
USD BBA
LIBOR |
||||||||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
$ | 38,900 | Three-Month USD BBA LIBOR |
3.910 | % | 8/7/19 | $ | 1,828,456 | ||||||||||||||
ZAR JIBAR
SAFEX: |
||||||||||||||||||||||
Barclays Bank plc |
183,040 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.450 | 9/22/11 | 2,558 | ||||||||||||||||
Goldman Sachs Group, Inc.
(The) |
123,510 | ZAR | Three-Month ZAR JIBAR SAFEX | 7.500 | 9/23/11 | 1,743 | ||||||||||||||||
|
||||||||||||||||||||||
Total |
306,550 | ZAR | 4,301 | |||||||||||||||||||
|
||||||||||||||||||||||
Total Interest Rate Swaps |
$ | 40,735,181 | ||||||||||||||||||||
|
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: | ||
BRR |
Brazilian Real | |
CAD |
Canadian
Dollar | |
DKK |
Danish Krone | |
EUR |
Euro | |
HUF |
Hungarian
Forint | |
ILS |
Israeli Shekel | |
JPY |
Japanese Yen | |
MXN |
Mexican Nuevo
Peso | |
PLZ |
Polish Zloty | |
ZAR |
South African
Rand | |
| ||
Abbreviations/Definitions are as follows: | ||
BA CDOR |
Canada Bankers Acceptances
Deposit Offering Rate | |
BANIXCO |
Banco de
Mexico | |
BBA LIBOR |
British Bankers’
Association London-Interbank Offered Rate | |
BUBOR |
Budapest Interbank Offered
Rate | |
BZDI |
Brazil Interbank Deposit
Rate | |
CIBOR |
Copenhagen Interbank
Offered Rate | |
DKNA13 |
Reuters 12-Month
CIBOR | |
EURIBOR |
Euro Interbank Offered
Rate | |
JIBAR |
South Africa Johannesburg
Interbank Agreed Rate | |
SAFEX |
South African Futures
Exchange | |
TIIE |
Interbank Equilibrium
Interest Rate | |
TELBOR01 |
Tel Aviv Interbank Offered
Rate 1 Month | |
WIBOR WIBO |
Poland Warsaw Interbank
Offer Bid Rate |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
AMEX
Cyclical/Transportation Select Index |
||||||||||||||
Deutsche Bank AG
|
$ | 6,656 | One-Month BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the AMEX Cyclical/Transportation Select Index | If positive, the Total Return of the AMEX Cyclical/Transportation Select Index | 10/5/09 | $ | 522,825 | |||||||
AMEX Financial
Select Index |
||||||||||||||
UBS AG |
6,579 | One-month BBA LIBOR minus 10 basis points and if negative, absolute value of the Total Return of the AMEX Financial Select Index | If positive, the Total Return of the AMEX Financial Select Index | 9/9/10 | 461,045 | |||||||||
AMEX Utility Select
Index |
||||||||||||||
Deutsche Bank AG
|
6,591 | One-Month BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total Return of the AMEX Utility Select Index | If positive, the Total Return of the AMEX Utility Select Index | 10/5/09 | 229,225 |
Notional | ||||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||
Custom basket of
securities: |
||||||||||||||||
Citibank NA, New York
|
2,144,307 | JPY | One-Month JPY BBA LIBOR plus 40 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/14/10 | $ | (1,624,175 | ) | ||||||||
Deutsche Bank AG, London
|
79,657 | One-Month BBA LIBOR plus 35 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 3/5/10 | 6,238,388 | |||||||||||
Morgan Stanley |
10,978 | EUR | One-Month EUR BBA LIBOR plus 25 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 3/5/10 | 677,276 | ||||||||||
Morgan Stanley
International |
10,919 | EUR | One-Month EUR BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 10/7/09 | 1,951,561 | ||||||||||
|
||||||||||||||||
|
Reference Entity Total | 7,243,050 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Each of JSC
“Rushydro” (Open Joint Stock Company, Federal Hydrogeneration Company) and OJSC Saratovskaya HPP and any Successor(s) to these Reference Entities |
||||||||||||||
Morgan Stanley Capital
Services, Inc. |
936,780 | RUR | Three-Month USD BBA LIBOR | 7.75% from debt obligations of JSC Rushydro and OJSC Saratovskaya HPP | 12/26/13 | $ | (3,384,862 | ) | ||||||
Korea Stock Price
Index 200 |
||||||||||||||
Citibank NA |
9,966,350 | KRW | If positive, the Total Return of the KOSPI 200 Index | If negative, the absolute value of the Total Return of the KOSPI 200 Index | 12/14/09 | (371,516 | ) | |||||||
MSCI Daily TR Gross
Norway Index |
||||||||||||||
Morgan Stanley
|
7,600 | If positive, the Total Return of the MSCI Daily Gross Norway Index | One-Month BBA LIBOR minus 90 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Norway Index | 7/12/10 | (1,079,869 | ) | ||||||||
MSCI Daily TR Net
Belgium USD Index |
||||||||||||||
UBS AG |
7,967 | If positive, the Total Return of the MSCI Daily Net Belgium Index | One-Month BBA LIBOR minus 95 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Belgium Index | 8/6/10 | (640,859 | ) |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net
Emerging Markets USD |
||||||||||||||
UBS AG |
$ | 16,139 | One-Month BBA LIBOR plus 100 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Emerging Markets Index | If positive, the Total Return of the MSCI Daily Net Emerging Markets Index | 5/12/10 | $ | 1,765,625 | |||||||
S&P Citigroup
Growth Index |
||||||||||||||
Morgan Stanley
|
19,726 | If positive, the Total Return of the S&P Citigroup Growth Index | One-Month BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the S&P Citigroup Growth Index | 9/14/10 | (1,179,443 | ) | ||||||||
|
||||||||||||||
|
Total of Total Return Swaps | $ | 3,565,221 | |||||||||||
|
EUR |
Euro | |
JPY |
Japanese Yen | |
KRW |
South Korean Won |
BBA |
British Bankers’ Association | |
BBA LIBOR |
British Bankers’ Association London-Interbank Offered Rate | |
KOSPI |
Korean Stock Price Index | |
MSCI |
Morgan Stanley Capital International | |
S&P |
Standard & Poor’s |
Notional | ||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||
COP TRM
(COP02) |
||||||||||||
Deutsche Bank AG
|
6,720,000 | COP | 6.44% of the USD equivalent notional at inception of trade | 12.51% of the COP notional | 3/18/19 | $ | 245 | |||||
|
||||||||||||
|
Total Currency Swaps | $ | 245 | |||||||||
|
COP |
Colombian Peso | |
RUR |
Russian Ruble | |
|
||
Abbreviation is as follows: | ||
|
||
BBA LIBOR |
British Bankers’ Association London-Interbank Offered Rate | |
TRM |
Tasa Representativa del Mercado |
Notional | ||||||||||||
Swap Type from | Amount | |||||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||||
Banco Santander Central
Hispano SA |
Interest Rate | 18,790 | BRR | $ | 933,115 | |||||||
Banco Santander SA,
Inc. |
Interest Rate | 457,500 | MXN | 1,552,852 | ||||||||
Barclays Bank
plc: |
||||||||||||
|
Credit Default Buy Protection | 68,870 | (4,328,442 | ) | ||||||||
|
Credit Default Sell Protection | 16,120 | (4,031,635 | ) | ||||||||
|
Interest Rate | 202,110 | DKK | (393,889 | ) | |||||||
|
Interest Rate | 5,858,000 | HUF | 1,025,919 | ||||||||
|
Interest Rate | 82,350 | MXN | 431,195 | ||||||||
|
Interest Rate | 183,040 | ZAR | 2,558 | ||||||||
|
||||||||||||
|
(7,294,294 | ) | ||||||||||
|
||||||||||||
Citibank NA: |
||||||||||||
|
Interest Rate | 4,297,000 | HUF | 881,493 | ||||||||
|
Interest Rate | 1,218,500 | JPY | 143,956 | ||||||||
|
Interest Rate | 427,800 | MXN | 1,595,985 | ||||||||
|
Total Return | 9,966,350 | KRW | (371,516 | ) | |||||||
|
||||||||||||
|
2,249,918 | |||||||||||
|
||||||||||||
Citibank NA, New
York: |
||||||||||||
|
Credit Default Buy Protection | 7,970 | (1,139,953 | ) | ||||||||
|
Credit Default Sell Protection | 4,860 | (950,814 | ) | ||||||||
|
Total Return | 2,144,307 | JPY | (1,624,175 | ) | |||||||
|
||||||||||||
|
(3,714,942 | ) | ||||||||||
Credit Suisse
International: |
||||||||||||
|
Credit Default Buy Protection | 5,705 | (137,693 | ) | ||||||||
|
Credit Default Sell Protection | 54,511 | (7,311,914 | ) | ||||||||
|
Interest Rate | 31,000 | ILS | (75,987 | ) | |||||||
|
Interest Rate | 90,300 | MXN | 298,471 | ||||||||
|
||||||||||||
|
(7,227,123 | ) | ||||||||||
|
||||||||||||
Deutsche Bank
AG: |
||||||||||||
|
Credit Default Buy Protection | 19,840 | (469,951 | ) | ||||||||
|
Credit Default Sell Protection | 25,270 | 440,161 | |||||||||
|
Currency | 6,720,000 | COP | 245 | ||||||||
|
Total Return | 13,247 | 752,050 | |||||||||
|
||||||||||||
|
722,505 | |||||||||||
Deutsche Bank AG,
London |
Total Return | 79,657 | 6,238,388 |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Goldman Sachs Group,
Inc. (The): |
||||||||||
|
Interest Rate | 46,100 | BRR | $ | 546,950 | |||||
|
Interest Rate | 4,050,700 | MXN | 8,772,475 | ||||||
|
Interest Rate | 109,120 | PLZ | 829,102 | ||||||
|
Interest Rate | 38,900 | 1,828,456 | |||||||
|
Interest Rate | 123,510 | ZAR | 1,743 | ||||||
|
||||||||||
|
11,978,726 | |||||||||
|
||||||||||
Goldman Sachs
International: |
||||||||||
|
Credit Default Buy Protection | 37,505 | (3,911,289 | ) | ||||||
|
Credit Default Sell Protection | 12,400 | (274,905 | ) | ||||||
|
Interest Rate | 50,730 | BRR | 1,241,329 | ||||||
|
||||||||||
|
(2,944,865 | ) | ||||||||
|
||||||||||
J Aron &
Co. |
Interest Rate | 178,025 | BRR | 4,740,919 | ||||||
JPMorgan Chase Bank NA,
London Branch |
Credit Default Buy Protection | 31,200 | (3,367,472 | ) | ||||||
JPMorgan Chase Bank NA,
NY Branch |
Credit Default Sell Protection | 21,672 | (460,132 | ) | ||||||
JPMorgan Chase Bank
NA: |
||||||||||
|
Interest Rate | 194,930 | BRR | 5,241,729 | ||||||
|
Interest Rate | 44,145 | CAD | (121,190 | ) | |||||
|
Interest Rate | 13,090 | EUR | (143,207 | ) | |||||
|
Interest Rate | 8,742,000 | HUF | 1,745,505 | ||||||
|
Interest Rate | 2,488,000 | JPY | (33,487 | ) | |||||
|
Interest Rate | 1,810,900 | MXN | 4,100,965 | ||||||
|
Interest Rate | 57,875 | PLZ | 330,615 | ||||||
|
||||||||||
|
11,120,930 | |||||||||
Morgan
Stanley: |
||||||||||
|
Interest Rate | 181,710 | BRR | 4,448,219 | ||||||
|
Total Return | 10,978 | EUR | 677,276 | ||||||
|
Total Return | 27,326 | (2,259,312 | ) | ||||||
|
||||||||||
|
2,866,183 | |||||||||
Morgan Stanley Capital
Services, Inc.: |
||||||||||
|
Credit Default Sell Protection | 51,290 | (5,474,411 | ) | ||||||
|
Total Return | 936,780 | RUR | (3,384,862 | ) | |||||
|
||||||||||
|
(8,859,273 | ) | ||||||||
Morgan Stanley
International |
Total Return | 10,919 | EUR | 1,951,561 | ||||||
UBS AG: |
||||||||||
|
Credit Default Buy Protection | 12,870 | (408,857 | ) | ||||||
|
Interest Rate | 161,590 | ILS | 809,390 | ||||||
|
Total Return | 30,685 | 1,585,811 | |||||||
|
||||||||||
|
1,986,344 | |||||||||
|
||||||||||
|
Total Swaps | $ | 12,473,340 | |||||||
|
BRR |
Brazilian Real | |
CAD |
Canadian Dollar | |
COP |
Colombian Peso | |
DKK |
Danish Krone | |
EUR |
Euro | |
HUF |
Hungarian Forint | |
ILS |
Israeli Shekel | |
JPY |
Japanese Yen | |
KRW |
South Korean Won | |
MXN |
Mexican Nuevo Peso | |
PLZ |
Polish Zloty | |
RUR |
Russian Ruble | |
ZAR |
South African Rand |
Investments, at
value—see accompanying statement of investments: |
||||
Unaffiliated companies
(cost $8,127,164,650) |
$ | 7,977,235,843 | ||
Affiliated companies
(cost $957,287,512) |
929,586,353 | |||
|
||||
|
8,906,822,196 | |||
Cash |
2,154,000 | |||
Cash—foreign currencies
(cost $34,731,984) |
34,600,287 | |||
Unrealized appreciation
on foreign currency exchange contracts |
57,064,130 | |||
Appreciated swaps, at
value (upfront payments paid $400,129) |
57,334,995 | |||
Receivables and other
assets: |
||||
Investments sold
(including $90,680,863 sold on a when-issued or delayed delivery
basis) |
164,343,144 | |||
Interest, dividends and
principal paydowns |
112,305,641 | |||
Closed foreign currency
contracts |
22,927,287 | |||
Shares of beneficial
interest sold |
7,365,473 | |||
Futures
margins |
2,237,537 | |||
Other |
564,946 | |||
|
||||
Total assets |
9,367,719,636 |
Return of collateral
for securities loaned |
23,441,250 | |||
Unrealized depreciation
on foreign currency exchange contracts |
29,536,718 | |||
Appreciated swaps, at
value (upfront payments received $11,983,600) |
8,549,801 | |||
Depreciated swaps, at
value (upfront payments received $7,422,362) |
36,311,854 | |||
Unrealized depreciation
on unfunded purchase agreements |
1,154,269 | |||
Payables and other
liabilities: |
||||
Investments purchased
(including $592,511,091 purchased on a when-issued or delayed delivery
basis) |
607,565,677 | |||
Payable on TALF
Loan |
436,242,527 | |||
Closed foreign currency
contracts |
45,982,062 | |||
Shares of beneficial
interest redeemed |
21,518,949 | |||
Distribution and
service plan fees |
4,702,031 | |||
Dividends |
4,660,174 | |||
Futures
margins |
2,351,058 | |||
Transfer and
shareholder servicing agent fees |
1,208,928 | |||
Interest expense on
borrowings |
440,832 | |||
Shareholder
communications |
401,486 | |||
Trustees’
compensation |
88,125 | |||
Other |
289,368 | |||
|
||||
Total
liabilities |
1,224,445,109 | |||
|
||||
Net Assets
|
$ | 8,143,274,527 | ||
|
Par value of shares of
beneficial interest |
$ | 2,081,142 | ||
Additional paid-in
capital |
9,840,734,063 | |||
Accumulated net
investment loss |
(60,291,056 | ) | ||
Accumulated net
realized loss on investments and foreign currency transactions |
(1,520,822,956 | ) | ||
Net unrealized
depreciation on investments and translation of assets and liabilities
denominated in foreign currencies |
(118,426,666 | ) | ||
|
||||
Net
Assets |
$ | 8,143,274,527 | ||
|
Class A
Shares: |
||||
Net asset value and
redemption price per share (based on net assets of $6,019,722,846 and
1,538,141,096 shares of beneficial interest outstanding) |
$ | 3.91 | ||
Maximum offering price
per share (net asset value plus sales charge of 4.75% of offering price)
|
$ | 4.10 | ||
Class B
Shares: |
||||
Net asset value,
redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $353,247,942 and
89,955,696 shares of beneficial interest outstanding) |
$ | 3.93 | ||
Class C
Shares: |
||||
Net asset value,
redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $1,292,721,056 and
330,982,735 shares of beneficial interest outstanding) |
$ | 3.91 | ||
Class N
Shares: |
||||
Net asset value,
redemption price (excludes applicable contingent deferred sales charge)
and offering price per share (based on net assets of $186,856,716 and
47,714,723 shares of beneficial interest outstanding) |
$ | 3.92 | ||
Class Y
Shares: |
||||
Net asset value,
redemption price and offering price per share (based on net assets of
$290,725,967 and 74,347,317 shares of beneficial interest outstanding)
|
$ | 3.91 |
Allocation of Income
and Expenses from master funds1 |
||||
Net investment income
allocated from Oppenheimer Master Event-Linked Bond Fund: |
||||
Dividends |
$ | 8,567 | ||
Interest |
3,174,614 | |||
Expenses2 |
(181,586 | ) | ||
|
||||
Net investment income
from Oppenheimer Master Event-Linked Bond Fund, LLC |
3,001,595 | |||
Net investment income
allocated from Oppenheimer Master Loan Fund, LLC: |
||||
Dividends |
232,892 | |||
Interest |
33,364,134 | |||
Expenses3 |
(1,285,219 | ) | ||
|
||||
Net investment income
from Oppenheimer Master Loan Fund, LLC |
32,311,807 | |||
|
||||
Investment
Income |
||||
Interest |
553,248,934 | |||
Fee income |
10,071,232 | |||
Dividends: |
||||
Unaffiliated
companies |
236,793 | |||
Affiliated
companies |
6,210,984 | |||
Income from investment
of securities lending cash collateral, net—affiliated companies |
3,741,376 | |||
Other income |
449,360 | |||
|
||||
Total investment
income |
573,958,679 | |||
|
||||
Expenses |
||||
Management
fees |
40,903,339 | |||
Distribution and
service plan fees: |
||||
Class A |
14,565,938 | |||
Class B |
3,557,129 | |||
Class C |
12,015,222 | |||
Class N |
819,788 | |||
Transfer and
shareholder servicing agent fees: |
||||
Class A |
9,665,156 | |||
Class B |
1,122,164 | |||
Class C |
2,036,158 | |||
Class N |
672,251 | |||
Class Y |
573,979 |
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. | |
See Note 1 of accompanying Notes. | ||
2. | Net of expense waivers and/or reimbursements of $1,096. | |
3. | Net of expense waivers and/or reimbursements of $40,379. |
Expenses
Continued |
||||
Shareholder
communications: |
||||
Class A |
$ | 718,279 | ||
Class B |
95,934 | |||
Class C |
154,575 | |||
Class N |
17,180 | |||
Class Y |
72,571 | |||
Custodian fees and
expenses |
640,594 | |||
Interest expense on
borrowings |
449,360 | |||
Trustees’
compensation |
153,336 | |||
Other |
761,946 | |||
|
||||
Total expenses |
88,994,899 | |||
Less reduction to
custodian expenses |
(13,642 | ) | ||
Less waivers and
reimbursements of expenses |
(1,770,444 | ) | ||
|
||||
Net expenses |
87,210,813 | |||
|
||||
Net Investment
Income |
522,061,268 | |||
|
||||
Realized and
Unrealized Gain (Loss) |
||||
Net realized gain
(loss) on: |
||||
Investments from
unaffiliated companies (including premiums on options exercised) |
(409,553,342 | ) | ||
Closing and expiration
of option contracts written |
15,877,218 | |||
Closing and expiration
of futures contracts |
76,941,223 | |||
Foreign currency
transactions |
(145,903,720 | ) | ||
Swap contracts |
(774,077,038 | ) | ||
Allocated from
Oppenheimer Master Event-Linked Bond Fund, LLC |
(70,389 | ) | ||
Allocated from
Oppenheimer Master Loan Fund, LLC |
(19,106,721 | ) | ||
|
||||
Net realized
loss |
(1,255,892,769 | ) | ||
Net change in
unrealized appreciation (depreciation) on: |
||||
Investments |
504,763,869 | |||
Translation of assets
and liabilities denominated in foreign currencies |
111,611,232 | |||
Futures
contracts |
15,868,688 | |||
Option contracts
written |
979,731 | |||
Swap contracts |
217,607,034 | |||
Unfunded purchase
agreements |
(1,608,443 | ) | ||
Allocated from
Oppenheimer Master Event-Linked Bond Fund, LLC |
(995,250 | ) | ||
Allocated from
Oppenheimer Master Loan Fund, LLC |
38,983,121 | |||
|
||||
Net change in
unrealized depreciation |
887,209,982 | |||
|
||||
Net Increase in Net
Assets Resulting from Operations |
$ | 153,378,481 | ||
|
Year Ended September 30, | 2009 | 2008 | ||||||
Operations |
||||||||
Net investment
income |
$ | 522,061,268 | $ | 522,460,246 | ||||
Net realized gain
(loss) |
(1,255,892,769 | ) | 151,736,106 | |||||
Net change in
unrealized depreciation |
887,209,982 | (1,175,192,184 | ) | |||||
Net increase
(decrease) in net assets resulting from operations |
153,378,481 | (500,995,832 | ) | |||||
|
||||||||
Dividends and/or
Distributions to Shareholders |
||||||||
Dividends from net
investment income: |
||||||||
Class A |
(297,722,981 | ) | (494,418,504 | ) | ||||
Class B |
(15,400,453 | ) | (31,451,076 | ) | ||||
Class C |
(53,488,830 | ) | (78,943,422 | ) | ||||
Class N |
(7,720,213 | ) | (10,729,833 | ) | ||||
Class Y |
(13,523,528 | ) | (13,912,150 | ) | ||||
|
(387,856,005 | ) | (629,454,985 | ) | ||||
Tax return of capital
distribution from net investment income: |
||||||||
Class A |
(100,758,873 | ) | — | |||||
Class B |
(5,212,001 | ) | — | |||||
Class C |
(18,102,311 | ) | — | |||||
Class N |
(2,612,764 | ) | — | |||||
Class Y |
(4,576,789 | ) | — | |||||
|
(131,262,738 | ) | — | |||||
|
||||||||
Beneficial Interest
Transactions |
||||||||
Net increase
(decrease) in net assets resulting from beneficial interest
transactions: |
||||||||
Class A |
(1,406,122,517 | ) | 2,145,982,862 | |||||
Class B |
(110,645,842 | ) | (32,104,276 | ) | ||||
Class C |
(161,338,625 | ) | 572,201,995 | |||||
Class N |
2,474,713 | 61,007,867 | ||||||
Class Y |
(12,139,401 | ) | (456,356 | ) | ||||
|
(1,687,771,672 | ) | 2,746,632,092 | |||||
|
||||||||
Net
Assets |
||||||||
Total increase
(decrease) |
(2,053,511,934 | ) | 1,616,181,275 | |||||
Beginning of
period |
10,196,786,461 | 8,580,605,186 | ||||||
|
||||||||
End of period
(including accumulated net investment income (loss) of $(60,291,056) and
$138,138,414, respectively) |
$ | 8,143,274,527 | $ | 10,196,786,461 | ||||
Cash Flows from
Operating Activities |
||||
Net increase in net
assets from operations |
$ | 153,378,481 | ||
Adjustments to
reconcile net increase in net assets from operations to net cash provided
by operating activities: |
||||
Purchase of investment
securities |
(5,271,652,152 | ) | ||
Proceeds from
disposition of investment securities |
6,256,529,025 | |||
Short-term investment
securities, net |
638,553,519 | |||
Premium
amortization |
16,833,142 | |||
Discount
accretion |
(101,045,908 | ) | ||
Net realized loss on
investments |
1,255,892,769 | |||
Net change in
unrealized appreciation on investments |
(504,763,869 | ) | ||
Net change in
unrealized depreciation allocated from Master Event-Linked Bond Fund,
LLC |
995,250 | |||
Net change in
unrealized appreciation allocated from Master Loan Fund, LLC |
(38,983,121 | ) | ||
Net change in
unrealized appreciation on translation of assets and liabilities
denominated in foreign currencies |
(111,611,232 | ) | ||
Net change in
unrealized appreciation on futures contracts |
(15,868,688 | ) | ||
Net change in
unrealized appreciation on option contracts written |
(979,731 | ) | ||
Net change in
unrealized deprecation on unfunded loan commitments |
1,608,443 | |||
Net change in
unrealized appreciation on swaps |
(217,607,034 | ) | ||
Decrease in interest
receivable |
3,364,966 | |||
Increase in receivable
for securities sold |
(106,965,331 | ) | ||
Decrease in other
assets |
50,496,156 | |||
Increase in payable for
securities purchased |
418,883,966 | |||
Decrease in return of
securities lending collateral |
(457,852,910 | ) | ||
Decrease in payable for
accrued expenses |
(1,492,551 | ) | ||
Decrease in other
liabilities |
(188,692,188 | ) | ||
|
||||
Net cash provided by
operating activities |
1,779,021,002 | |||
|
||||
Cash Flows from
Financing Activities |
||||
Proceeds from TALF
loans |
436,242,527 | |||
Payments on bank
borrowings |
— | |||
Proceeds from shares
sold |
1,664,534,220 | |||
Payments on shares
redeemed |
(3,767,565,130 | ) | ||
Cash distributions
paid |
(107,998,297 | ) | ||
|
||||
Net cash used in
financing activities |
(1,774,786,680 | ) | ||
Net increase in
cash |
4,234,322 | |||
Cash, beginning
balance |
32,519,965 | |||
|
||||
Cash, ending
balance |
$ | 36,754,287 | 1 | |
|
1. | Includes “Cash-foreign currencies” |
Class A Year Ended September 30, | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Per Share Operating
Data |
||||||||||||||||||||
Net asset value,
beginning of period |
$ | 3.96 | $ | 4.41 | $ | 4.18 | $ | 4.34 | $ | 4.23 | ||||||||||
Income (loss) from
investment operations: |
||||||||||||||||||||
Net investment
income1 |
.24 | .24 | .23 | .21 | .21 | |||||||||||||||
Net realized and
unrealized gain (loss) |
(.05 | ) | (.40 | ) | .23 | (.05 | ) | .19 | ||||||||||||
Total from investment
operations |
.19 | (.16 | ) | .46 | .16 | .40 | ||||||||||||||
Dividends and/or
distributions to shareholders: |
||||||||||||||||||||
Dividends from net
investment income |
(.18 | ) | (.29 | ) | (.23 | ) | (.32 | ) | (.29 | ) | ||||||||||
Tax return of capital
distribution from net investment income |
(.06 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or
distributions to shareholders |
(.24 | ) | (.29 | ) | (.23 | ) | (.32 | ) | (.29 | ) | ||||||||||
Net asset value, end of
period |
$ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | $ | 4.34 | ||||||||||
|
||||||||||||||||||||
Total Return, at Net
Asset Value2 |
5.59 | % | (4.01 | )% | 11.14 | % | 3.77 | % | 9.77 | % | ||||||||||
|
||||||||||||||||||||
Ratios/Supplemental
Data |
||||||||||||||||||||
Net assets, end of
period (in thousands) |
$ | 6,019,723 | $ | 7,719,384 | $ | 6,430,790 | $ | 5,077,400 | $ | 4,766,576 | ||||||||||
Average net assets (in
thousands) |
$ | 5,942,116 | $ | 7,560,427 | $ | 5,655,265 | $ | 4,888,392 | $ | 4,392,321 | ||||||||||
Ratios to average net
assets:3,4 |
||||||||||||||||||||
Net investment
income |
6.74 | % | 5.44 | % | 5.25 | % | 5.03 | % | 4.82 | % | ||||||||||
Total expenses |
0.98 | %5 | 0.91 | %5 | 0.90 | %5 | 0.93 | % | 0.94 | % | ||||||||||
Expenses after
payments, waivers and/or reimbursements and reduction to custodian
expenses |
0.96 | % | 0.89 | % | 0.89 | % | 0.92 | % | 0.94 | % | ||||||||||
Portfolio turnover
rate6 |
96 | % | 71 | % | 72 | % | 96 | % | 103 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an 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. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds, excluding investments in master funds, were as follows: |
Year Ended
September 30, 2009 |
0.99 | % | ||
Year Ended
September 30, 2008 |
0.92 | % | ||
Year Ended
September 30, 2007 |
0.91 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended
September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended
September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended
September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended
September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 | ||||
Year Ended
September 30, 2005 |
$ | 4,436,804,790 | $ | 4,469,108,355 |
Class B Year Ended September 30, | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Per Share Operating
Data |
||||||||||||||||||||
Net asset value,
beginning of period |
$ | 3.98 | $ | 4.42 | $ | 4.20 | $ | 4.35 | $ | 4.24 | ||||||||||
Income (loss) from
investment operations: |
||||||||||||||||||||
Net investment
income1 |
.20 | .20 | .19 | .18 | .17 | |||||||||||||||
Net realized and
unrealized gain (loss) |
(.04 | ) | (.39 | ) | .22 | (.05 | ) | .20 | ||||||||||||
Total from investment
operations |
.16 | (.19 | ) | .41 | .13 | .37 | ||||||||||||||
Dividends and/or
distributions to shareholders: |
||||||||||||||||||||
Dividends from net
investment income |
(.16 | ) | (.25 | ) | (.19 | ) | (.28 | ) | (.26 | ) | ||||||||||
Tax return of capital
distribution from net investment income |
(.05 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or
distributions to shareholders |
(.21 | ) | (.25 | ) | (.19 | ) | (.28 | ) | (.26 | ) | ||||||||||
|
||||||||||||||||||||
Net asset value, end of
period |
$ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | $ | 4.35 | ||||||||||
|
||||||||||||||||||||
Total Return, at Net
Asset Value2 |
4.64 | % | (4.54 | )% | 9.99 | % | 3.23 | % | 8.94 | % | ||||||||||
|
||||||||||||||||||||
Ratios/Supplemental
Data |
||||||||||||||||||||
Net assets, end of
period (in thousands) |
$ | 353,248 | $ | 483,485 | $ | 569,523 | $ | 718,742 | $ | 918,651 | ||||||||||
Average net assets (in
thousands) |
$ | 355,973 | $ | 540,865 | $ | 635,237 | $ | 802,936 | $ | 1,021,022 | ||||||||||
Ratios to average net
assets:3,4 |
||||||||||||||||||||
Net investment
income |
5.83 | % | 4.61 | % | 4.43 | % | 4.25 | % | 4.05 | % | ||||||||||
Total expenses |
1.90 | %5 | 1.73 | %5 | 1.71 | %5 | 1.71 | % | 1.70 | % | ||||||||||
Expenses after
payments, waivers and/or reimbursements and reduction to custodian
expenses |
1.88 | % | 1.71 | % | 1.70 | % | 1.71 | % | 1.69 | % | ||||||||||
Portfolio turnover
rate6 |
96 | % | 71 | % | 72 | % | 96 | % | 103 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an 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. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds, excluding investments in master funds, were as follows: |
Year Ended
September 30, 2009 |
1.91 | % | ||
Year Ended
September 30, 2008 |
1.74 | % | ||
Year Ended
September 30, 2007 |
1.72 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended
September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended
September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended
September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended
September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 | ||||
Year Ended
September 30, 2005 |
$ | 4,436,804,790 | $ | 4,469,108,355 |
Class C Year Ended September 30, | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Per Share Operating
Data |
||||||||||||||||||||
Net asset value,
beginning of period |
$ | 3.96 | $ | 4.40 | $ | 4.18 | $ | 4.33 | $ | 4.22 | ||||||||||
Income (loss) from
investment operations: |
||||||||||||||||||||
Net investment
income1 |
.21 | .20 | .19 | .18 | .17 | |||||||||||||||
Net realized and
unrealized gain (loss) |
(.05 | ) | (.38 | ) | .22 | (.05 | ) | .20 | ||||||||||||
Total from investment
operations |
.16 | (.18 | ) | .41 | .13 | .37 | ||||||||||||||
Dividends and/or
distributions to shareholders: |
||||||||||||||||||||
Dividends from net
investment income |
(.16 | ) | (.26 | ) | (.19 | ) | (.28 | ) | (.26 | ) | ||||||||||
Tax return of capital
distribution from net investment income |
(.05 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or
distributions to shareholders |
(.21 | ) | (.26 | ) | (.19 | ) | (.28 | ) | (.26 | ) | ||||||||||
|
||||||||||||||||||||
Net asset value, end of
period |
$ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | $ | 4.33 | ||||||||||
|
||||||||||||||||||||
Total Return, at Net
Asset Value2 |
4.79 | % | (4.52 | )% | 10.06 | % | 3.22 | % | 8.96 | % | ||||||||||
|
||||||||||||||||||||
Ratios/Supplemental
Data |
||||||||||||||||||||
Net assets, end of
period (in thousands) |
$ | 1,292,721 | $ | 1,493,804 | $ | 1,086,918 | $ | 857,843 | $ | 788,217 | ||||||||||
Average net assets (in
thousands) |
$ | 1,201,421 | $ | 1,381,340 | $ | 959,439 | $ | 814,425 | $ | 748,199 | ||||||||||
Ratios to average net
assets:3,4 |
||||||||||||||||||||
Net investment
income |
6.00 | % | 4.68 | % | 4.49 | % | 4.27 | % | 4.07 | % | ||||||||||
Total expenses |
1.74 | %5 | 1.66 | %5 | 1.66 | %5 | 1.68 | % | 1.69 | % | ||||||||||
Expenses after
payments, waivers and/or reimbursements and reduction to custodian
expenses |
1.72 | % | 1.64 | % | 1.65 | % | 1.68 | % | 1.69 | % | ||||||||||
Portfolio turnover
rate6 |
96 | % | 71 | % | 72 | % | 96 | % | 103 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an 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. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds, excluding investments in master funds, were as follows: |
Year Ended
September 30, 2009 |
1.75 | % | ||
Year Ended
September 30, 2008 |
1.67 | % | ||
Year Ended
September 30, 2007 |
1.67 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended
September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended
September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended
September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended
September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 | ||||
Year Ended
September 30, 2005 |
$ | 4,436,804,790 | $ | 4,469,108,355 |
Class N Year Ended September 30, | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Per Share Operating
Data |
||||||||||||||||||||
Net asset value,
beginning of period |
$ | 3.97 | $ | 4.41 | $ | 4.19 | $ | 4.34 | $ | 4.23 | ||||||||||
Income (loss) from
investment operations: |
||||||||||||||||||||
Net investment
income1 |
.22 | .22 | .21 | .19 | .19 | |||||||||||||||
Net realized and
unrealized gain (loss) |
(.05 | ) | (.39 | ) | .22 | (.04 | ) | .19 | ||||||||||||
Total from investment
operations |
.17 | (.17 | ) | .43 | .15 | .38 | ||||||||||||||
Dividends and/or
distributions to shareholders: |
||||||||||||||||||||
Dividends from net
investment income |
(.16 | ) | (.27 | ) | (.21 | ) | (.30 | ) | (.27 | ) | ||||||||||
Tax return of capital
distribution from net investment income |
(.06 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or
distributions to shareholders |
(.22 | ) | (.27 | ) | (.21 | ) | (.30 | ) | (.27 | ) | ||||||||||
|
||||||||||||||||||||
Net asset value, end of
period |
$ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | $ | 4.34 | ||||||||||
|
||||||||||||||||||||
Total Return, at Net
Asset Value2 |
5.14 | % | (4.17 | )% | 10.42 | % | 3.60 | % | 9.27 | % | ||||||||||
|
||||||||||||||||||||
Ratios/Supplemental
Data |
||||||||||||||||||||
Net assets, end of
period (in thousands) |
$ | 186,857 | $ | 186,353 | $ | 145,685 | $ | 108,324 | $ | 83,287 | ||||||||||
Average net assets (in
thousands) |
$ | 164,067 | $ | 175,884 | $ | 126,935 | $ | 94,281 | $ | 69,480 | ||||||||||
Ratios to average net
assets:3,4 |
||||||||||||||||||||
Net investment
income |
6.34 | % | 5.03 | % | 4.84 | % | 4.62 | % | 4.37 | % | ||||||||||
Total expenses |
1.48 | %5 | 1.32 | %5 | 1.32 | %5 | 1.33 | % | 1.40 | % | ||||||||||
Expenses after
payments, waivers and/or reimbursements and reduction to custodian
expenses |
1.39 | % | 1.30 | % | 1.31 | % | 1.33 | % | 1.40 | % | ||||||||||
Portfolio turnover
rate6 |
96 | % | 71 | % | 72 | % | 96 | % | 103 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an 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. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds, excluding investments in master funds, were as follows: |
Year Ended
September 30, 2009 |
1.49 | % | ||
Year Ended
September 30, 2008 |
1.33 | % | ||
Year Ended
September 30, 2007 |
1.33 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended
September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended
September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended
September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended
September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 | ||||
Year Ended
September 30, 2005 |
$ | 4,436,804,790 | $ | 4,469,108,355 |
Class Y Year Ended September 30, | 2009 | 2008 | 2007 | 2006 | 2005 | |||||||||||||||
Per Share Operating
Data |
||||||||||||||||||||
Net asset value,
beginning of period |
$ | 3.96 | $ | 4.39 | $ | 4.17 | $ | 4.32 | $ | 4.22 | ||||||||||
Income (loss) from
investment operations: |
||||||||||||||||||||
Net investment
income1 |
.24 | .25 | .24 | .22 | .21 | |||||||||||||||
Net realized and
unrealized gain (loss) |
(.05 | ) | (.38 | ) | .22 | (.04 | ) | .19 | ||||||||||||
Total from investment
operations |
.19 | (.13 | ) | .46 | .18 | .40 | ||||||||||||||
Dividends and/or
distributions to shareholders: |
||||||||||||||||||||
Dividends from net
investment income |
(.18 | ) | (.30 | ) | (.24 | ) | (.33 | ) | (.30 | ) | ||||||||||
Tax return of capital
distribution from net investment income |
(.06 | ) | — | — | — | — | ||||||||||||||
Total dividends and/or
distributions to shareholders |
(.24 | ) | (.30 | ) | (.24 | ) | (.33 | ) | (.30 | ) | ||||||||||
|
||||||||||||||||||||
Net asset value, end of
period |
$ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | $ | 4.32 | ||||||||||
|
||||||||||||||||||||
Total Return, at Net
Asset Value2 |
5.67 | % | (3.33 | )% | 11.28 | % | 4.35 | % | 9.73 | % | ||||||||||
|
||||||||||||||||||||
Ratios/Supplemental
Data |
||||||||||||||||||||
Net assets, end of
period (in thousands) |
$ | 290,726 | $ | 313,760 | $ | 347,689 | $ | 179,309 | $ | 62,824 | ||||||||||
Average net assets (in
thousands) |
$ | 266,712 | $ | 220,416 | $ | 260,589 | $ | 118,239 | $ | 68,656 | ||||||||||
Ratios to average net
assets:3,4 |
||||||||||||||||||||
Net investment
income |
6.82 | % | 5.68 | % | 5.61 | % | 5.38 | % | 4.84 | % | ||||||||||
Total expenses |
0.80 | %5 | 0.66 | %5 | 0.56 | %5 | 0.58 | % | 1.16 | % | ||||||||||
Expenses after
payments, waivers and/or reimbursements and reduction to custodian
expenses |
0.78 | % | 0.64 | % | 0.55 | % | 0.58 | % | 0.80 | % | ||||||||||
Portfolio turnover
rate6 |
96 | % | 71 | % | 72 | % | 96 | % | 103 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an 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. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds, excluding investments in master funds, were as follows: |
Year Ended
September 30, 2009 |
0.81 | % | ||
Year Ended
September 30, 2008 |
0.67 | % | ||
Year Ended
September 30, 2007 |
0.57 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended
September 30, 2009 |
$ | 5,100,694,441 | $ | 4,915,091,623 | ||||
Year Ended
September 30, 2008 |
$ | 1,979,370,856 | $ | 1,852,400,340 | ||||
Year Ended
September 30, 2007 |
$ | 3,319,818,108 | $ | 3,509,387,791 | ||||
Year Ended
September 30, 2006 |
$ | 4,097,005,267 | $ | 4,231,030,059 | ||||
Year Ended
September 30, 2005 |
$ | 4,436,804,790 | $ | 4,469,108,355 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased
securities |
$592,511,091 | |||
Sold
securities |
90,680,863 |
Cost |
$ | 155,701,549 | ||
Market Value |
$ | 20,541,139 | ||
Market Value as a % of
Net Assets |
0.25 | % |
Loan Principal | Collateral | Loan Interest | Loan Maturity | Collateral | ||||||||||||||||
Amount | Loan Type | Description | Rate | Date | Loan Value | Value | ||||||||||||||
$ | 206,660,520 | Asset Backed Securities |
Citibank Omni Master Trust, Credit Card Receivables |
2.854 | % | 9/11/12 | $ | 206,660,520 | $ | 224,921,250 | ||||||||||
61,186,359 | Asset Backed Securities |
Discover Card Master Trust, Credit Card Receivables |
1.243 | 1 | 9/11/12 | 61,186,359 | 65,310,531 | |||||||||||||
33,957,459 | Commercial Mortgage-Backed Securities |
Citigroup, Inc.,
Deutsche Bank 2007-CD4 Commercial Mortgage Trust |
2.946 | 9/25/12 | 33,957,459 | 40,298,608 |
Loan Principal | Collateral | Loan Interest | Loan Maturity | Collateral | ||||||||||||||||
Amount | Loan Type | Description | Rate | Date | Loan Value | Value | ||||||||||||||
$ | 58,975,164 | Commercial Mortgage-Backed Securities |
Greenwich Capital
Commercial Funding Corp./Commercial Mortgage Trust |
2.946 | % | 9/25/12 | $ | 58,975,164 | $ | 69,566,151 | ||||||||||
25,330,037 | Commercial Mortgage-Backed Securities |
Morgan Stanley Capital I Trust |
2.946 | 9/25/12 | 25,330,037 | 29,938,989 | ||||||||||||||
20,757,774 | Commercial Mortgage-Backed Securities |
Morgan Stanley Capital I Trust |
3.800 | 9/25/14 | 20,757,774 | 24,878,368 | ||||||||||||||
29,375,214 | Commercial Mortgage-Backed Securities |
Wachovia Bank
Commercial Mortgage Trust |
2.946 | 9/25/12 | 29,375,214 | 35,122,396 | ||||||||||||||
$ | 436,242,527 |
|
$ | 436,242,527 | $ | 490,036,293 | ||||||||||||||
1. | Represents the current interest rate for a variable or increasing rate loan. |
Net Unrealized | ||||||||||||||||
Depreciation | ||||||||||||||||
Based on Cost of | ||||||||||||||||
Securities and | ||||||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||||||
Income | Gain | Carryforward1,2,3,4,5,6,7 | Tax Purposes | |||||||||||||
$ | — |
|
$ | — | $ | 1,511,535,434 | $ | 140,665,870 |
1. | As of September 30, 2009, the Fund had $684,751,345 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2009, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2010 |
$ | 185,647,798 | ||
2011 |
298,761,186 | |||
2012 |
122,914,725 | |||
2017 |
77,427,636 | |||
|
||||
Total |
$ | 684,751,345 | ||
|
2. | As of September 30, 2009, the Fund had $705,864,407 of post-October losses available to offset future realized capital gains, if any. Such losses, if unutilized, will expire in 2018. | |
3. | The Fund had $119,832,080 of post-October foreign currency losses which were deferred. | |
4. | The Fund had $1,087,602 of straddle losses which were deferred. | |
5. | During the fiscal year ended September 30, 2009, the Fund did not utilize any capital loss carryforward. | |
6. | During the fiscal year ended September 30, 2008, the Fund utilized $27,107,866 of capital loss carryforward to offset capital gains realized in that fiscal year. | |
7. | During the fiscal year ended September 30, 2009, $66,252,393 of unused capital loss carryforward expired. |
Reduction | Reduction | |||||||||||
to Accumulated | to Accumulated | |||||||||||
Reduction to | Net Investment | Net Realized Loss | ||||||||||
Paid-in Capital | Income | on Investments | ||||||||||
$ | 198,361,742 |
|
$ | 201,371,995 | $ | 399,733,737 |
Year Ended | Year Ended | |||||||
September 30, 2009 | September 30, 2008 | |||||||
Distributions paid
from: |
||||||||
Ordinary
income |
$ | 387,856,005 | $ | 629,454,985 | ||||
Return of
capital |
131,262,738 | — | ||||||
Total |
$ | 519,118,743 | $ | 629,454,985 | ||||
Federal tax cost of
securities |
$ | 9,092,498,466 | ||
Federal tax cost of
other investments |
500,895,267 | |||
|
||||
Total federal tax
cost |
$ | 9,593,393,733 | ||
|
||||
Gross unrealized
appreciation |
$ | 595,578,067 | ||
Gross unrealized
depreciation |
(736,243,937 | ) | ||
|
||||
Net unrealized
depreciation |
$ | (140,665,870 | ) | |
|
Year Ended September 30, 2009 | Year Ended September 30, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A |
||||||||||||||||
Sold |
301,768,574 | $ | 1,059,983,335 | 811,998,259 | $ | 3,547,497,776 | ||||||||||
Dividends and/or
distributions reinvested |
91,403,674 | 319,350,656 | 90,115,039 | 391,099,372 | ||||||||||||
Redeemed |
(802,163,197 | ) | (2,785,456,508 | ) | (414,282,055 | ) | (1,792,614,286 | ) | ||||||||
Net increase
(decrease) |
(408,990,949 | ) | $ | (1,406,122,517 | ) | 487,831,243 | $ | 2,145,982,862 | ||||||||
|
||||||||||||||||
Class B |
||||||||||||||||
Sold |
19,505,967 | $ | 68,444,514 | 44,735,111 | $ | 196,102,890 | ||||||||||
Dividends and/or
distributions reinvested |
4,763,834 | 16,691,602 | 5,601,817 | 24,423,440 | ||||||||||||
Redeemed |
(55,869,284 | ) | (195,781,958 | ) | (57,591,324 | ) | (252,630,606 | ) | ||||||||
Net decrease |
(31,599,483 | ) | $ | (110,645,842 | ) | (7,254,396 | ) | $ | (32,104,276 | ) | ||||||
|
||||||||||||||||
Class C |
||||||||||||||||
Sold |
74,636,576 | $ | 261,000,485 | 182,971,353 | $ | 798,051,215 | ||||||||||
Dividends and/or
distributions reinvested |
15,457,950 | 54,023,070 | 13,833,361 | 59,900,893 | ||||||||||||
Redeemed |
(136,671,844 | ) | (476,362,180 | ) | (66,390,652 | ) | (285,750,113 | ) | ||||||||
Net increase
(decrease) |
(46,577,318 | ) | $ | (161,338,625 | ) | 130,414,062 | $ | 572,201,995 | ||||||||
Year Ended September 30, 2009 | Year Ended September 30, 2008 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class N |
||||||||||||||||
Sold |
20,125,973 | $ | 70,519,105 | 23,832,269 | $ | 104,021,888 | ||||||||||
Dividends and/or
distributions reinvested |
2,417,291 | 8,483,946 | 2,007,889 | 8,716,192 | ||||||||||||
Redeemed |
(21,803,466 | ) | (76,528,338 | ) | (11,902,534 | ) | (51,730,213 | ) | ||||||||
Net increase |
739,798 | $ | 2,474,713 | 13,937,624 | $ | 61,007,867 | ||||||||||
|
||||||||||||||||
Class Y |
||||||||||||||||
Sold |
52,215,363 | $ | 185,556,789 | 85,589,372 | $ | 372,176,959 | ||||||||||
Dividends and/or
distributions reinvested |
4,726,808 | 16,558,886 | 2,700,353 | 11,630,892 | ||||||||||||
Redeemed |
(61,786,767 | ) | (214,255,076 | ) | (88,220,405 | ) | (384,264,207 | ) | ||||||||
Net increase
(decrease) |
(4,844,596 | ) | $ | (12,139,401 | ) | 69,320 | $ | (456,356 | ) | |||||||
Purchases | Sales | |||||||
Investment
securities |
$ | 4,251,955,259 | $ | 4,992,405,218 | ||||
U.S. government and
government agency obligations |
1,019,696,893 | 1,264,123,807 | ||||||
To Be Announced
(TBA) mortgage-related securities |
5,100,694,441 | 4,915,091,623 |
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 | |||
Over
$5 billion |
0.48 |
Class B |
$ | 113,549,754 | ||
Class C |
39,955,675 | |||
Class N |
3,168,553 |
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 | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
September 30,
2009 |
$ | 1,157,940 | $ | 131,262 | $ | 1,049,561 | $ | 406,196 | $ | 19,233 |
Class N |
$ | 103,564 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of | Statement of | |||||||||||
Derivatives | Assets and | Assets and | ||||||||||
Not Accounted for as | Liabilities | Liabilities | ||||||||||
Hedging Instruments | Location | Value | Location | Value | ||||||||
Credit Contracts
|
Appreciated swaps, at value | $ | 8,549,801 | |||||||||
Credit
Contracts |
Appreciated swaps, at value | $ | 2,959,646 | Depreciated swaps, at value | 26,237,152 | |||||||
Equity
contracts |
Appreciated swaps, at value | 11,845,945 | Depreciated swaps, at value | 8,280,724 | ||||||||
Equity
contracts |
Futures margins | 647,434 | * | Futures margins | 524,270 | * | ||||||
Foreign exchange
contracts |
Appreciated swaps,at value | 245 | ||||||||||
Foreign exchange
contracts |
Unrealized appreciation on foreign currency exchange contracts | 56,987,304 | Unrealized depreciation on foreign currency exchange contracts | 29,450,342 | ||||||||
Interest rate
contracts |
Appreciated swaps, at value | 42,529,159 | Depreciated swaps, at value | 1,793,978 | ||||||||
Interest rate
contracts |
Futures margins | 1,590,103 | * | Futures margins | 1,826,788 | * | ||||||
|
||||||||||||
Total |
$ | 116,559,836 | $ | 76,663,055 | ||||||||
|
* | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. |
Amount of Realized Gain or Loss Recognized on Derivatives1 | ||||||||||||||||||||||||
Investments from | ||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||
companies | Closing and | |||||||||||||||||||||||
Derivatives Not | (including | expiration | Closing and | |||||||||||||||||||||
Accounted | premiums | of option | expiration | Foreign | ||||||||||||||||||||
for as Hedging | on options | contracts | of futures | currency | Swap | |||||||||||||||||||
Instruments | exercised)* | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit
contracts |
$ | — | $ | — | $ | — | $ | — | $ | (5,609,879 | ) | $ | (5,609,879 | ) | ||||||||||
Equity
contracts |
— | — | (38,134,386 | ) | — | 49,230,139 | 11,095,753 | |||||||||||||||||
Foreign exchange
contracts |
(25,433 | ) | 531,614 | — | (233,597,765 | ) | 5,790,796 | (227,300,788 | ) | |||||||||||||||
Interest rate
contracts |
— | — | 692,899 | — | 18,534,085 | 19,226,984 | ||||||||||||||||||
Total |
$ | (25,433 | ) | $ | 531,614 | $ | (37,441,487 | ) | $ | (233,597,765 | ) | $ | 67,945,141 | $ | (202,587,930 | ) | ||||||||
* | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or Loss Recognized on Derivatives1 | ||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||
liabilities | ||||||||||||||||||||||||
Derivatives Not | denominated | |||||||||||||||||||||||
Accounted for as | Futures | in foreign | Swap | |||||||||||||||||||||
Hedging Instruments | Investments* | contracts | currencies | contracts | Total | |||||||||||||||||||
Credit
contracts |
$ | — | $ | — | $ | — | $ | 6,048,200 | $ | 6,048,200 | ||||||||||||||
Equity
contracts |
— | 6,623,890 | — | (15,057,001 | ) | (8,433,111 | ) | |||||||||||||||||
Foreign exchange
contracts |
(359,191 | ) | — | (1,520,516 | ) | 8,231,465 | 6,351,758 | |||||||||||||||||
Interest rate
contracts |
— | (447,239 | ) | — | 4,191,383 | 3,744,144 | ||||||||||||||||||
Total |
$ | (359,191 | ) | $ | 6,176,651 | $ | (1,520,516 | ) | $ | 3,414,047 | $ | 7,710,991 | ||||||||||||
1. | For the six months ending September 30, 2009. | |
* | 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, 2008 |
3,818,670,000 | $ | 1,032,083 | 3,818,670,000 | $ | 1,032,083 | ||||||||||
Options
written |
31,314,535,000 | 14,602,195 | 31,346,705,000 | 14,884,216 | ||||||||||||
Options closed or
expired |
(12,556,860,000 | ) | (9,001,812 | ) | (22,608,515,000 | ) | (6,875,407 | ) | ||||||||
Options
exercised |
(22,576,345,000 | ) | (6,632,466 | ) | (12,556,860,000 | ) | (9,040,892 | ) | ||||||||
Options outstanding as
of September 30, 2009 |
— | $ | — | — | $ | — | ||||||||||
Agreement | Unfunded | |||||||
Termination Date | Amount | |||||||
Deutsche Bank AG, Opic
Reforma I Credit Linked Nts. |
10/23/13 | $ | 22,745,027 |
Interest | Agreement | Unfunded | Unrealized | |||||||||||||
Rate | Termination Date | Amount | Depreciation | |||||||||||||
Deutsche Bank AG; An
unfunded agreement that the Fund receives 0.125% quarterly; and will pay
out, upon request, up to 19,450,615 USD to a Peruvian Trust through
Deutsche Bank’s Global Note Program. Upon funding requests, the unfunded
portion decreases and new structured securities will be created and held
by the fund to maintain a consistent exposure level. |
0.50 | % | 9/20/10 | $ | 19,450,615 | $ | 1,154,269 |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
|
||
INDEPENDENT
TRUSTEES |
The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
|
||
William L.
Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 72 |
President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979- January 1991). Oversees 38 portfolios in the OppenheimerFunds complex. | |
George C.
Bowen, Trustee (since 2000) Age: 73 |
Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 38 portfolios in the OppenheimerFunds complex. | |
Edward L.
Cameron, Trustee (since 2000) Age: 71 |
Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000 — June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 38 portfolios in the OppenheimerFunds complex. | |
Jon S. Fossel,
Trustee (since 1990) Age: 67 |
Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005- February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 38 portfolios in the OppenheimerFunds complex. | |
Sam
Freedman, Trustee (since 1996) Age: 68 |
Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 38 portfolios in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
|
||
Beverly L.
Hamilton, Trustee (since 2002) Age: 62 |
Trustee of Monterey Institute for International Studies (educational organiza- tion) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005) and Vice Chairman (since 2006) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994- January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 38 portfolios in the OppenheimerFunds complex. | |
|
||
Robert J. Malone,
Trustee (since 2002) Age: 65 |
Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996- April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 38 portfolios in the OppenheimerFunds complex. | |
|
||
F. William Marshall,
Jr., Trustee (since 2000) Age: 67 |
Trustee Emeritas of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 40 portfolios in the OppenheimerFunds complex. | |
|
||
INTERESTED TRUSTEE AND
OFFICER |
The address of Mr. Murphy is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Murphy serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Murphy is an interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
|
||
John V.
Murphy, Trustee, President and Principal Executive Officer (since 2001) Age: 60 |
Chairman and Director of the Manager (since June 2001); Chief Executive Officer of the Manager (June 2001-December 2008); President of the Manager (September 2000-February 2007); President and director or trustee of other Oppenheimer funds; President and Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) and of Oppenheimer Partnership Holdings, Inc. (holding company subsidiary of the Manager) (since July 2001); Director of OppenheimerFunds Distributor, Inc. (subsidiary of the Manager) |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
|
||
John V.
Murphy, Continued |
(November 2001-December 2006); Chairman and Director of Shareholder Services, Inc. and of Shareholder Financial Services, Inc. (transfer agent subsidiaries of the Manager) (since July 2001); President and Director of OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since July 2001); Director of the following investment advisory subsidiaries of the Manager: OFI Institutional Asset Management, Inc., Centennial Asset Management Corporation and Trinity Investment Management Corporation (since November 2001), HarbourView Asset Management Corporation and OFI Private Investments, Inc. (since July 2001); President (since November 2001) and Director (since July 2001) of Oppenheimer Real Asset Management, Inc.; Executive Vice President of Massachusetts Mutual Life Insurance Company (OAC’s parent company) (since February 1997); Director of DLB Acquisition Corporation (holding company parent of Babson Capital Management LLC) (since June 1995); Chairman (since October 2007) and Member of the Investment Company Institute’s Board of Governors (since October 2003). Oversees 98 portfolios in the OppenheimerFunds complex. | |
|
||
OTHER OFFICERS OF THE
FUND |
The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Memani, Wong and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Welsh, Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
|
||
Arthur P.
Steinmetz, Vice President and Portfolio Manager (since 1989) Age: 50 |
Chief Investment Officer of Fixed-Income Investments of the Manager (since April 2009); Director of Fixed-Income Investments of the Manager (January 2009-April 2009) and a Senior Vice President of the Manager since March 1993. A portfolio manager and an officer of 4 portfolios in the OppenheimerFunds complex. | |
|
||
Krishna Memani,
Vice President and Portfolio Manager (since 2009) Age: 49 |
Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and officer of 10 portfolios in the OppenheimerFunds complex. | |
|
||
Joseph Welsh,
Vice President and Portfolio Manager (since 2009) Age: 45 |
Head of the Manager’s High Yield Corporate Debt Team (since April 2009); Senior Vice President of the Manager (since May 2009); Vice President of the Manager (December 2000-April 2009); Assistant Vice President of the Manager (December 1996-November 2000); a high yield bond analyst of the Manager (January 1995-December 1996); a CFA. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
|
||
Caleb Wong, Vice President and Portfolio Manager (since 2009) Age: 44 |
Vice President of the Manager (since June 1999); worked in fixed-income quantita- tive research and risk management for the Manager (since July 1996). A portfolio manager and officer of 5 portfolios in the OppenheimerFunds complex. | |
|
||
Mark S.
Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 59 |
Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983); Former Vice President and Director of Internal Audit of the Manager (1997-February 2004). An officer of 98 portfolios in the OppenheimerFunds complex. |
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
|
||
Brian W.
Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 49 |
Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999- June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of the following: OAC (March 1999-June 2008), Centennial Asset Management Corporation (March 1999-October 2003) and OppenheimerFunds Legacy Program (April 2000- June 2003). An officer of 98 portfolios in the OppenheimerFunds complex. | |
|
||
Robert G.
Zack, Vice President and Secretary (since 2001) Age: 61 |
Executive Vice President (since January 2004) and General Counsel (since March 2002) of the Manager; General Counsel and Director of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001); Director of OppenheimerFunds International Distributor Limited (since December 2003); Senior Vice President (May 1985-December 2003). An officer of 98 portfolios in the OppenheimerFunds complex. |