|
|
|
|
|
|
|
|
Putnam Premier Income Trust
|
|
|
The fund's portfolio
|
|
4/30/11 (Unaudited)
|
|
|
CORPORATE BONDS AND NOTES (29.6%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (2.4%)
|
|
|
American Rock Salt Co. LLC/American Rock Capital Corp. 144A sr. notes 8 1/4s, 2018
|
|
|
|
$132,000
|
$133,650
|
|
|
Associated Materials, LLC 144A company guaranty sr. notes 9 1/8s, 2017
|
|
|
|
502,000
|
540,278
|
|
|
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018
|
|
|
|
415,000
|
451,313
|
|
|
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada)
|
|
|
|
240,000
|
240,900
|
|
|
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany)
|
|
|
|
620,000
|
652,550
|
|
|
Chemtura Corp. 144A company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
168,000
|
180,180
|
|
|
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.31s, 2013 (Netherlands)
|
|
|
|
165,000
|
159,638
|
|
|
Ferro Corp. sr. unsec. notes 7 7/8s, 2018
|
|
|
|
860,000
|
920,200
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia)
|
|
|
|
657,000
|
694,192
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)
|
|
|
|
535,000
|
562,285
|
|
|
Georgia-Pacific, LLC sr. unsec. unsub. notes 8 1/8s, 2011
|
|
|
|
110,000
|
110,138
|
|
|
Georgia-Pacific, LLC 144A company guaranty 7 1/8s, 2017
|
|
|
|
135,000
|
143,438
|
|
|
Graphic Packaging International, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
110,000
|
119,900
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
375,000
|
406,875
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC 144A sr. notes 9s, 2020
|
|
|
|
476,000
|
514,080
|
|
|
Huntsman International, LLC 144A company guaranty sr. unsec. sub. notes 8 5/8s, 2021
|
|
|
|
661,000
|
741,973
|
|
|
Ineos Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom)
|
|
|
EUR
|
270,000
|
432,930
|
|
|
Ineos Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom)
|
|
|
|
$445,000
|
488,388
|
|
|
Ineos Group Holdings PLC company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom)
|
|
|
EUR
|
329,000
|
486,186
|
|
|
JMC Steel Group 144A sr. notes 8 1/4s, 2018
|
|
|
|
$160,000
|
167,600
|
|
|
KRATON Polymers, LLC/KRATON Polymers Capital Corp. 144A sr. notes 6 3/4s, 2019
|
|
|
|
145,000
|
147,538
|
|
|
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany)
|
|
|
EUR
|
678,400
|
1,017,336
|
|
|
Lyondell Chemical Co. sr. notes 11s, 2018
|
|
|
|
$1,590,000
|
1,796,700
|
|
|
Lyondell Chemical Co. 144A company guaranty sr. notes 8s, 2017
|
|
|
|
1,008,000
|
1,123,920
|
|
|
Momentive Performance Materials, Inc. 144A notes 9s, 2021
|
|
|
|
691,000
|
744,553
|
|
|
Nalco Co. 144A sr. notes 6 5/8s, 2019
|
|
|
|
165,000
|
169,950
|
|
|
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014
|
|
|
|
420,000
|
417,900
|
|
|
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A sr. sub. notes 8 3/8s, 2018
|
|
|
|
140,000
|
145,250
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020
|
|
|
|
500,000
|
558,750
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015
|
|
|
|
546,000
|
554,190
|
|
|
Omnova Solutions, Inc. 144A company guaranty sr. notes 7 7/8s, 2018
|
|
|
|
135,000
|
138,375
|
|
|
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria)
|
|
|
EUR
|
834,000
|
1,405,493
|
|
|
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria)
|
|
|
|
$125,000
|
144,375
|
|
|
Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014
|
|
|
EUR
|
130,000
|
197,004
|
|
|
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.343s, 2015 (Germany)
|
|
|
EUR
|
339,000
|
494,430
|
|
|
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland)
|
|
|
|
$259,000
|
265,475
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017
|
|
|
|
380,000
|
420,375
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
451,000
|
494,973
|
|
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012
|
|
|
|
98,000
|
104,125
|
|
|
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
550,000
|
587,813
|
|
|
Teck Resources Limited sr. notes 10 3/4s, 2019 (Canada)
|
|
|
|
487,000
|
622,776
|
|
|
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada)
|
|
|
|
291,000
|
351,383
|
|
|
TPC Group, LLC 144A sr. notes 8 1/4s, 2017
|
|
|
|
489,000
|
525,675
|
|
|
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015
|
|
|
|
125,000
|
130,156
|
|
|
USG Corp. 144A company guaranty sr. notes 8 3/8s, 2018
|
|
|
|
165,000
|
173,250
|
|
|
Vartellus Specialties, Inc. 144A company guaranty sr. notes 9 3/8s, 2015
|
|
|
|
84,000
|
88,410
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty Ser. B, 11 3/8s, 2016
|
|
|
|
193,000
|
205,545
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014
|
|
|
|
605,000
|
659,450
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. 144A sr. notes 8 3/4s, 2019
|
|
|
|
200,000
|
206,500
|
|
|
|
|
22,038,364
|
|
Capital goods (1.7%)
|
|
|
Alliant Techsystems, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2020
|
|
|
|
565,000
|
591,838
|
|
|
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016
|
|
|
|
466,000
|
482,310
|
|
|
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 11 1/4s, 2015
|
|
|
|
501,380
|
555,228
|
|
|
Allison Transmission, Inc. 144A company guaranty sr. unsec. notes 7 1/8s, 2019
(FWC)
|
|
|
|
140,000
|
141,750
|
|
|
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016
|
|
|
|
225,000
|
244,688
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014
|
|
|
|
244,000
|
244,915
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017
|
|
|
|
80,000
|
82,200
|
|
|
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017
|
|
|
|
205,000
|
229,088
|
|
|
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
190,000
|
291,486
|
|
|
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
130,000
|
199,438
|
|
|
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020
|
|
|
|
$689,000
|
724,311
|
|
|
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018
|
|
|
|
225,000
|
226,406
|
|
|
Berry Plastics Corp. 144A sr. notes 9 3/4s, 2021
|
|
|
|
262,000
|
262,983
|
|
|
Berry Plastics Holding Corp. company guaranty notes FRN 4.185s, 2014
|
|
|
|
260,000
|
243,750
|
|
|
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020
|
|
|
|
330,000
|
350,625
|
|
|
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021
|
|
|
|
330,000
|
339,075
|
|
|
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)
|
|
|
EUR
|
100,000
|
153,773
|
|
|
Exide Technologies 144A sr. notes 8 5/8s, 2018
|
|
|
|
$220,000
|
235,950
|
|
|
Griffon Corp. 144A company guaranty sr. unsec. notes 7 1/8s, 2018
|
|
|
|
160,000
|
165,800
|
|
|
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017
|
|
|
|
367,000
|
402,783
|
|
|
Kratos Defense & Security Solutions, Inc. 144A sr. notes 10s, 2017
|
|
|
|
525,000
|
576,188
|
|
|
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)
|
|
|
|
860,000
|
1,067,204
|
|
|
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020
|
|
|
|
70,000
|
77,875
|
|
|
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016
|
|
|
|
217,000
|
226,765
|
|
|
Polypore International, Inc. 144A sr. notes 7 1/2s, 2017
|
|
|
|
265,000
|
280,734
|
|
|
Pregis Corp. company guaranty notes FRN 6.327s, 2013
|
|
|
EUR
|
80,000
|
114,887
|
|
|
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013
|
|
|
|
$255,000
|
251,813
|
|
|
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom)
|
|
|
EUR
|
350,000
|
509,949
|
|
|
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France)
|
|
|
EUR
|
714,000
|
1,151,290
|
|
|
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A sr. notes 7 3/4s, 2016 (Luxembourg)
|
|
|
EUR
|
843,000
|
1,302,222
|
|
|
Reynolds Group Issuer, Inc. 144A sr. notes 9s, 2019
|
|
|
|
$185,000
|
194,944
|
|
|
Reynolds Group Issuer, Inc. 144A sr. notes 7 1/8s, 2019
|
|
|
|
310,000
|
323,175
|
|
|
Reynolds Group Issuer, Inc. 144A sr. notes 6 7/8s, 2021 (New Zealand)
|
|
|
|
100,000
|
103,125
|
|
|
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/4s, 2021 (New Zealand)
|
|
|
|
120,000
|
121,950
|
|
|
Ryerson, Inc. company guaranty sr. notes 12s, 2015
|
|
|
|
777,000
|
839,160
|
|
|
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018
|
|
|
|
345,000
|
366,563
|
|
|
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020
|
|
|
|
330,000
|
338,250
|
|
|
Terex Corp. sr. unsec. sub. notes 8s, 2017
|
|
|
|
137,000
|
144,878
|
|
|
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017
|
|
|
|
742,000
|
787,448
|
|
|
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017
|
|
|
|
309,000
|
332,175
|
|
|
TransDigm, Inc. 144A sr. sub. notes 7 3/4s, 2018
|
|
|
|
665,000
|
716,538
|
|
|
|
|
15,995,530
|
|
Communication services (3.6%)
|
|
|
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018
|
|
|
|
170,000
|
180,625
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020
|
|
|
|
400,000
|
440,000
|
|
|
CCH II, LLC/CCH II Capital company guaranty sr. unsec. notes 13 1/2s, 2016
|
|
|
|
496,525
|
598,933
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
145,000
|
157,144
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019
|
|
|
|
330,000
|
344,025
|
|
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017
|
|
|
|
347,000
|
372,158
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015
|
|
|
|
195,000
|
198,900
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018
|
|
|
|
620,000
|
595,975
|
|
|
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015
|
|
|
|
1,453,000
|
1,580,138
|
|
|
CPI International Acquisition, Inc. 144A sr. notes 8s, 2018
|
|
|
|
120,000
|
119,400
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020
|
|
|
|
670,000
|
684,238
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015
|
|
|
|
870,000
|
957,000
|
|
|
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016
|
|
|
|
1,110,000
|
1,184,925
|
|
|
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019
|
|
|
|
160,000
|
171,000
|
|
|
CSC Holdings LLC sr. notes 6 3/4s, 2012
|
|
|
|
196,000
|
203,350
|
|
|
CSC Holdings LLC sr. unsec. unsub. notes 8 1/2s, 2014
|
|
|
|
285,000
|
318,844
|
|
|
Digicel Group, Ltd. 144A sr. notes 8 1/4s, 2017 (Jamaica)
|
|
|
|
865,000
|
916,900
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017
|
|
|
|
140,000
|
151,725
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018
|
|
|
|
1,586,000
|
1,712,880
|
|
|
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom)
|
|
|
|
350,000
|
370,125
|
|
|
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda)
|
|
|
|
491,000
|
498,365
|
|
|
Intelsat Jackson Holdings SA 144A sr. unsec. notes 7 1/4s, 2020 (Bermuda)
|
|
|
|
45,000
|
45,338
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
960,562
|
1,051,815
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg)
|
|
|
|
586,000
|
639,473
|
|
|
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
310,000
|
339,450
|
|
|
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany)
|
|
|
EUR
|
305,000
|
467,505
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014
|
|
|
|
$529,000
|
548,838
|
|
|
Level 3 Financing, Inc. 144A company guaranty sr. unsec. unsub. notes 9 3/8s, 2019
|
|
|
|
285,000
|
302,813
|
|
|
Mediacom LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
131,000
|
142,135
|
|
|
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
1,064,000
|
1,143,800
|
|
|
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
326,000
|
326,408
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016
|
|
|
|
990,000
|
1,136,025
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021
|
|
|
|
195,000
|
204,750
|
|
|
PAETEC Holding Corp. 144A sr. unsec. notes 9 7/8s, 2018
|
|
|
|
371,000
|
401,608
|
|
|
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017
|
|
|
|
616,000
|
672,210
|
|
|
PAETEC Holding Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2015
|
|
|
|
445,000
|
467,250
|
|
|
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
410,000
|
685,151
|
|
|
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014
|
|
|
|
$359,000
|
366,180
|
|
|
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014
|
|
|
|
140,000
|
142,800
|
|
|
Qwest Corp. sr. unsec. notes 7 1/2s, 2014
|
|
|
|
145,000
|
164,213
|
|
|
Qwest Corp. sr. unsec. unsub. notes 8 7/8s, 2012
|
|
|
|
1,566,000
|
1,663,875
|
|
|
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025
|
|
|
|
382,000
|
403,010
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019
|
|
|
|
235,000
|
259,381
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016
|
|
|
|
405,000
|
438,919
|
|
|
Sprint Capital Corp. company guaranty 8 3/4s, 2032
|
|
|
|
140,000
|
153,300
|
|
|
Sprint Capital Corp. company guaranty 6 7/8s, 2028
|
|
|
|
270,000
|
258,863
|
|
|
Sprint Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2012
|
|
|
|
145,000
|
153,156
|
|
|
Sprint Nextel Corp. sr. notes 8 3/8s, 2017
|
|
|
|
2,450,000
|
2,747,063
|
|
|
Sprint Nextel Corp. sr. unsec. notes 6s, 2016
|
|
|
|
263,000
|
266,616
|
|
|
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg)
|
|
|
EUR
|
145,000
|
227,274
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
CHF
|
160,000
|
196,340
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
EUR
|
100,000
|
153,929
|
|
|
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)
|
|
|
EUR
|
678,000
|
1,097,487
|
|
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany)
|
|
|
EUR
|
489,000
|
761,186
|
|
|
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
EUR
|
677,000
|
1,088,143
|
|
|
Virgin Media Finance PLC company guaranty sr. unsec. bond 8 7/8s, 2019 (United Kingdom)
|
|
|
GBP
|
79,000
|
149,489
|
|
|
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Netherlands)
|
|
|
EUR
|
760,000
|
1,186,761
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
|
|
|
|
$140,000
|
150,850
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017
|
|
|
|
584,000
|
630,720
|
|
|
Windstream Corp. 144A company guaranty sr. unsec. unsub. notes 7 3/4s, 2021
|
|
|
|
315,000
|
333,113
|
|
|
|
|
33,323,887
|
|
Conglomerates (0.1%)
|
|
|
SPX Corp. sr. unsec. notes 7 5/8s, 2014
|
|
|
|
270,000
|
298,688
|
|
|
SPX Corp. 144A company guaranty sr. unsec. notes 6 7/8s, 2017
|
|
|
|
160,000
|
171,200
|
|
|
|
|
469,888
|
|
Consumer cyclicals (4.9%)
|
|
|
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015
|
|
|
|
560,000
|
582,400
|
|
|
Affinion Group, Inc. 144A sr. notes 7 7/8s, 2018
|
|
|
|
955,000
|
909,638
|
|
|
AMC Entertainment, Inc. sr. sub. notes 8s, 2014
|
|
|
|
68,000
|
68,935
|
|
|
AMC Entertainment, Inc. 144A sr. sub. notes 9 3/4s, 2020
|
|
|
|
410,000
|
436,650
|
|
|
American Casino & Entertainment Properties LLC sr. notes 11s, 2014
|
|
|
|
430,000
|
457,950
|
|
|
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021
|
|
|
|
390,000
|
399,263
|
|
|
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018
|
|
|
|
600,000
|
628,500
|
|
|
Beazer Homes USA, Inc. 144A sr. notes 9 1/8s, 2019
|
|
|
|
270,000
|
269,325
|
|
|
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014
|
|
|
|
675,000
|
693,563
|
|
|
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018
|
|
|
|
117,000
|
122,265
|
|
|
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020
|
|
|
|
235,000
|
247,338
|
|
|
Building Materials Corp. 144A sr. notes 7s, 2020
|
|
|
|
140,000
|
145,950
|
|
|
Building Materials Corp. 144A sr. notes 6 7/8s, 2018
|
|
|
|
180,000
|
185,850
|
|
|
Building Materials Corp. 144A sr. notes 6 3/4s, 2021
|
|
|
|
360,000
|
364,950
|
|
|
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019
|
|
|
|
320,000
|
327,200
|
|
|
Caesars Entertainment Operating Co., Inc. company guaranty notes 10s, 2018
|
|
|
|
350,000
|
328,563
|
|
|
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 11 1/4s, 2017
|
|
|
|
845,000
|
963,300
|
|
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. 144A company guaranty sr. unsec. notes 9 1/8s, 2018
|
|
|
|
170,000
|
185,300
|
|
|
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
138,000
|
138,690
|
|
|
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016
|
|
|
|
265,000
|
268,975
|
|
|
Citadel Broadcasting Corp. 144A company guaranty sr. unsec. notes 7 3/4s, 2018
|
|
|
|
135,000
|
146,138
|
|
|
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017
(PIK)
|
|
|
|
475,000
|
499,938
|
|
|
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016
|
|
|
|
214,000
|
208,115
|
|
|
Clear Channel Communications, Inc. 144A company guaranty sr. notes 9s, 2021
|
|
|
|
428,000
|
434,420
|
|
|
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017
|
|
|
|
1,083,000
|
1,204,838
|
|
|
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015
|
|
|
|
305,000
|
329,400
|
|
|
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019
(FWC)
|
|
|
|
400,000
|
400,000
|
|
|
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016
|
|
|
|
262,000
|
288,855
|
|
|
DISH DBS Corp. company guaranty 7 1/8s, 2016
|
|
|
|
135,000
|
143,775
|
|
|
DISH DBS Corp. company guaranty 6 5/8s, 2014
|
|
|
|
1,488,000
|
1,581,000
|
|
|
DR Horton, Inc. sr. notes 7 7/8s, 2011
|
|
|
|
60,000
|
60,525
|
|
|
FelCor Escrow Holdings, LLC 144A sr. notes 6 3/4s, 2019 (R )
(FWC)
|
|
|
|
695,000
|
694,131
|
|
|
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018
|
|
|
|
890,000
|
890,481
|
|
|
Goodyear Tire & Rubber Co. (The) sr. unsec. notes 10 1/2s, 2016
|
|
|
|
231,000
|
261,608
|
|
|
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015
|
|
|
|
480,000
|
517,200
|
|
|
Grupo Televisa SA sr. unsec. bonds 6 5/8s, 2040 (Mexico)
|
|
|
|
195,000
|
207,198
|
|
|
Grupo Televisa SA sr. unsec. notes 6s, 2018 (Mexico)
|
|
|
|
260,000
|
286,287
|
|
|
Gymboree Corp. 144A sr. unsec. notes 9 1/8s, 2018
|
|
|
|
200,000
|
196,000
|
|
|
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020
|
|
|
|
407,000
|
402,930
|
|
|
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016
(R)
|
|
|
|
140,000
|
144,550
|
|
|
Interactive Data Corp. 144A company guaranty sr. notes 10 1/4s, 2018
|
|
|
|
602,000
|
671,230
|
|
|
Isle of Capri Casinos, Inc. company guaranty 7s, 2014
|
|
|
|
350,000
|
350,875
|
|
|
Isle of Capri Casinos, Inc. 144A company guaranty sr. unsec. notes 7 3/4s, 2019
|
|
|
|
821,000
|
837,420
|
|
|
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark)
|
|
|
EUR
|
250,000
|
387,162
|
|
|
Jarden Corp. company guaranty sr. sub. notes Ser. 1, 7 1/2s, 2020
|
|
|
EUR
|
75,000
|
116,535
|
|
|
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017
|
|
|
|
$615,000
|
660,356
|
|
|
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014
|
|
|
|
225,000
|
262,125
|
|
|
Lear Corp. company guaranty sr. unsec. bonds 7 7/8s, 2018
|
|
|
|
168,000
|
184,380
|
|
|
Lear Corp. company guaranty sr. unsec. notes 8 1/8s, 2020
|
|
|
|
276,000
|
306,360
|
|
|
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016
|
|
|
|
1,760,000
|
1,812,800
|
|
|
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016
|
|
|
|
155,000
|
161,588
|
|
|
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021
|
|
|
|
360,000
|
372,600
|
|
|
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy)
|
|
|
EUR
|
1,747,000
|
2,684,909
|
|
|
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016
|
|
|
|
$460,000
|
496,225
|
|
|
Mashantucket Western Pequot Tribe 144A bonds 8 1/2s, 2015 (In default)
(NON)
|
|
|
|
760,000
|
95,000
|
|
|
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada)
|
|
|
|
125,000
|
127,734
|
|
|
MGM Resorts International company guaranty sr. notes 9s, 2020
|
|
|
|
240,000
|
267,600
|
|
|
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016
|
|
|
|
145,000
|
136,663
|
|
|
MTR Gaming Group, Inc. company guaranty sr. notes 12 5/8s, 2014
|
|
|
|
485,000
|
514,100
|
|
|
Navistar International Corp. sr. notes 8 1/4s, 2021
|
|
|
|
760,000
|
845,500
|
|
|
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019
|
|
|
|
315,000
|
322,875
|
|
|
Neiman-Marcus Group, Inc. company guaranty sr. unsec. notes 9s, 2015
|
|
|
|
211,000
|
221,023
|
|
|
Nielsen Finance, LLC/Nielsen Finance Co. 144A company guaranty sr. unsec. notes 7 3/4s, 2018
|
|
|
|
345,000
|
371,738
|
|
|
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021
|
|
|
|
355,000
|
354,113
|
|
|
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018
|
|
|
|
266,000
|
284,620
|
|
|
Owens Corning company guaranty unsec. unsub. notes 9s, 2019
|
|
|
|
1,248,000
|
1,486,680
|
|
|
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019
|
|
|
|
115,000
|
126,213
|
|
|
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016
|
|
|
|
380,000
|
393,300
|
|
|
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
235,000
|
253,800
|
|
|
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016
|
|
|
|
230,000
|
253,575
|
|
|
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017
|
|
|
|
120,000
|
132,000
|
|
|
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015
|
|
|
|
625,000
|
637,500
|
|
|
Ply Gem Industries, Inc. 144A sr. notes 8 1/4s, 2018
|
|
|
|
155,000
|
159,263
|
|
|
Polish Television Holding BV sr. notes Ser. REGS, stepped-coupon 11 1/4s (13s, 11/15/14), 2017 (Netherlands)
(STP)
|
|
|
EUR
|
675,000
|
1,066,591
|
|
|
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019
|
|
|
|
$120,000
|
121,200
|
|
|
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017
|
|
|
|
325,000
|
334,750
|
|
|
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016
|
|
|
|
354,000
|
345,150
|
|
|
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020
|
|
|
|
330,000
|
341,550
|
|
|
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014
|
|
|
|
145,000
|
145,363
|
|
|
Sealy Mattress Co. 144A company guaranty sr. sec. notes 10 7/8s, 2016
|
|
|
|
355,000
|
399,375
|
|
|
Sears Holdings Corp. 144A sr. notes 6 5/8s, 2018
|
|
|
|
323,000
|
316,136
|
|
|
Sirius XM Radio, Inc. 144A sr. notes 9 3/4s, 2015
|
|
|
|
932,000
|
1,048,500
|
|
|
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015
|
|
|
|
81,000
|
85,253
|
|
|
Standard Pacific Corp. 144A company guaranty sr. unsec. notes 8 3/8s, 2021
|
|
|
|
125,000
|
128,750
|
|
|
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp. 144A sr. notes 8 5/8s, 2016
|
|
|
|
165,000
|
168,713
|
|
|
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013
|
|
|
|
45,000
|
48,431
|
|
|
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016
|
|
|
|
105,000
|
110,250
|
|
|
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017
|
|
|
|
135,000
|
145,125
|
|
|
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017
|
|
|
|
820,000
|
929,675
|
|
|
Travelport LLC company guaranty 11 7/8s, 2016
|
|
|
|
375,000
|
330,938
|
|
|
Travelport LLC company guaranty 9 7/8s, 2014
|
|
|
|
325,000
|
307,125
|
|
|
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016
|
|
|
|
210,000
|
190,050
|
|
|
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014
|
|
|
EUR
|
235,000
|
366,262
|
|
|
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017
|
|
|
|
$800,000
|
882,000
|
|
|
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden)
|
|
|
EUR
|
50,000
|
74,624
|
|
|
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015
|
|
|
|
$570,000
|
627,000
|
|
|
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019
(FWC)
|
|
|
|
455,000
|
456,706
|
|
|
Vertis, Inc. company guaranty sr. notes 13 1/2s, 2014 (In default)
(F)
(NON)
(PIK)
|
|
|
|
554,961
|
27,748
|
|
|
Visteon Corp. 144A sr. notes 6 3/4s, 2019
|
|
|
|
575,000
|
569,250
|
|
|
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty mtge. notes 7 3/4s, 2020
|
|
|
|
250,000
|
273,125
|
|
|
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013
|
|
|
|
205,000
|
243,438
|
|
|
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018
|
|
|
|
603,000
|
642,195
|
|
|
Yankee Acquisition Corp. company guaranty sr. notes Ser. B, 8 1/2s, 2015
|
|
|
|
310,000
|
323,175
|
|
|
YCC Holdings, LLC/Yankee Finance, Inc. 144A sr. unsec. notes 10 1/4s, 2016
|
|
|
|
305,000
|
314,150
|
|
|
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016
(FWC)
|
|
|
|
641,000
|
705,100
|
|
|
|
|
44,977,554
|
|
Consumer staples (1.4%)
|
|
|
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
BRL
|
1,500,000
|
954,959
|
|
|
ARAMARK Holdings Corp. 144A sr. notes 8 5/8s, 2016
(PIK)
|
|
|
|
167,000
|
171,593
|
|
|
Archibald Candy Corp. company guaranty sub. notes 10s, 2011 (In default)
(F)
(NON)
|
|
|
|
$170,069
|
5,442
|
|
|
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 9 5/8s, 2018
|
|
|
|
275,000
|
305,250
|
|
|
Avis Budget Car Rental, LLC/Avis Budget Finance, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
730,000
|
753,725
|
|
|
Bumble Bee Acquisition Corp. 144A company guaranty sr. notes 9s, 2017
|
|
|
|
360,000
|
377,100
|
|
|
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
432,000
|
456,840
|
|
|
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018
|
|
|
|
463,000
|
488,465
|
|
|
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016
(PIK)
|
|
|
|
220,000
|
212,300
|
|
|
CKE Restaurants, Inc. company guaranty sr. notes 11 3/8s, 2018
|
|
|
|
505,000
|
563,075
|
|
|
Claires Escrow Corp. 144A sr. notes 8 7/8s, 2019
|
|
|
|
320,000
|
311,200
|
|
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016
|
|
|
|
142,000
|
154,780
|
|
|
Darling International, Inc. 144A company guaranty sr. unsec. notes 8 1/2s, 2018
|
|
|
|
100,000
|
109,000
|
|
|
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016
|
|
|
|
279,000
|
268,538
|
|
|
DineEquity, Inc. 144A sr. unsec. notes 9 1/2s, 2018
|
|
|
|
265,000
|
289,513
|
|
|
Dole Food Co. 144A sr. notes 8s, 2016
|
|
|
|
207,000
|
221,231
|
|
|
Dunkin Finance Corp. 144A sr. notes 9 5/8s, 2018
|
|
|
|
139,000
|
141,780
|
|
|
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom)
|
|
|
EUR
|
236,000
|
388,403
|
|
|
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021
|
|
|
|
$380,000
|
399,950
|
|
|
Europcar Groupe SA company guaranty sr. sub. bonds FRB Ser. REGS, 4.593s, 2013 (France)
|
|
|
EUR
|
119,000
|
174,543
|
|
|
Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s, 2018 (South Africa)
|
|
|
EUR
|
180,000
|
263,475
|
|
|
Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014
|
|
|
|
$13,000
|
13,325
|
|
|
Hertz Corp. 144A company guaranty sr. unsec. notes 7 1/2s, 2018
|
|
|
|
155,000
|
162,750
|
|
|
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands)
|
|
|
EUR
|
360,000
|
572,561
|
|
|
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015
|
|
|
|
$164,000
|
177,530
|
|
|
Libbey Glass, Inc. sr. notes 10s, 2015
|
|
|
|
114,000
|
124,545
|
|
|
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018
|
|
|
|
330,000
|
352,275
|
|
|
Prestige Brands, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2018
|
|
|
|
170,000
|
181,475
|
|
|
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017
|
|
|
|
620,000
|
631,625
|
|
|
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017
|
|
|
|
542,000
|
501,350
|
|
|
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020
|
|
|
|
125,000
|
134,688
|
|
|
Roadhouse Financing, Inc. 144A sr. notes 10 3/4s, 2017
|
|
|
|
270,000
|
292,275
|
|
|
RSC Equipment Rental, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021
|
|
|
|
220,000
|
232,100
|
|
|
Service Corporation International sr. notes 7s, 2019
|
|
|
|
180,000
|
191,250
|
|
|
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014
|
|
|
|
130,000
|
154,050
|
|
|
Spectrum Brands, Inc. 144A sr. notes 9 1/2s, 2018
|
|
|
|
614,000
|
686,145
|
|
|
Stewart Enterprises, Inc. 144A company guaranty sr. unsec. notes 6 1/2s, 2019
|
|
|
|
310,000
|
312,325
|
|
|
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014
|
|
|
|
120,000
|
144,900
|
|
|
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020
|
|
|
|
170,000
|
180,625
|
|
|
West Corp. 144A sr. notes 7 7/8s, 2019
|
|
|
|
447,000
|
460,410
|
|
|
West Corp. 144A sr. unsec. notes 8 5/8s, 2018
|
|
|
|
51,000
|
54,060
|
|
|
|
|
12,571,426
|
|
Energy (5.6%)
|
|
|
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031
|
|
|
|
255,000
|
292,051
|
|
|
Anadarko Petroleum Corp. sr. notes 5.95s, 2016
|
|
|
|
905,000
|
1,008,867
|
|
|
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017
|
|
|
|
585,000
|
660,735
|
|
|
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020
|
|
|
|
720,000
|
776,700
|
|
|
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013
|
|
|
|
582,000
|
585,638
|
|
|
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015
|
|
|
|
150,000
|
156,000
|
|
|
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018
|
|
|
|
669,000
|
745,935
|
|
|
Carrizo Oil & Gas, Inc. 144A sr. unsec. notes 8 5/8s, 2018
|
|
|
|
814,000
|
868,945
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017
|
|
|
|
914,000
|
968,840
|
|
|
Chaparral Energy, Inc. 144A company guaranty sr. unsec. notes 8 1/4s, 2021
|
|
|
|
160,000
|
169,200
|
|
|
Chaparral Energy, Inc. 144A sr. notes 9 7/8s, 2020
|
|
|
|
325,000
|
367,250
|
|
|
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015
|
|
|
|
1,150,000
|
1,384,313
|
|
|
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. notes 5 7/8s, 2021
|
|
|
|
160,000
|
161,400
|
|
|
Complete Production Services, Inc. company guaranty 8s, 2016
|
|
|
|
770,000
|
812,350
|
|
|
Connacher Oil and Gas, Ltd. 144A sec. notes 10 1/4s, 2015 (Canada)
|
|
|
|
807,000
|
857,438
|
|
|
Connacher Oil and Gas, Ltd. 144A sr. sec. notes 11 3/4s, 2014 (Canada)
|
|
|
|
230,000
|
246,100
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020
|
|
|
|
293,000
|
326,695
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017
|
|
|
|
1,667,000
|
1,842,035
|
|
|
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021
|
|
|
|
65,000
|
65,325
|
|
|
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018
|
|
|
|
850,000
|
928,625
|
|
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020
|
|
|
|
302,000
|
335,220
|
|
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021
|
|
|
|
225,000
|
231,750
|
|
|
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018
|
|
|
|
945,000
|
956,813
|
|
|
Expro Finance Luxemburg 144A sr. notes 8 1/2s, 2016 (Luxembourg)
|
|
|
|
364,000
|
355,810
|
|
|
Ferrellgas LP/Ferrellgas Finance Corp. 144A sr. notes 6 1/2s, 2021
|
|
|
|
234,000
|
229,320
|
|
|
Forest Oil Corp. company guaranty sr. unsec. notes 8s, 2011
|
|
|
|
1,465,000
|
1,518,106
|
|
|
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 1/8s, 2018
|
|
|
|
420,000
|
447,300
|
|
|
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia)
|
|
|
|
780,000
|
839,514
|
|
|
Gazprom OAO Via Gaz Capital SA 144A company guaranty sr. unsec. bond 8.146s, 2018 (Russia)
|
|
|
|
316,000
|
372,194
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. sec. bond 9 1/4s, 2019 (Russia)
|
|
|
|
1,855,000
|
2,315,318
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. 6.51s, 2022 (Russia)
|
|
|
|
485,000
|
512,888
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia)
|
|
|
|
575,000
|
618,873
|
|
|
Gazprom OAO Via White Nights Finance BV notes 10 1/2s, 2014 (Netherlands)
|
|
|
|
485,000
|
584,284
|
|
|
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019
|
|
|
|
451,000
|
455,510
|
|
|
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016
|
|
|
|
1,043,000
|
1,105,580
|
|
|
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014
|
|
|
|
790,000
|
797,900
|
|
|
Inergy LP/Inergy Finance Corp. 144A sr. notes 6 7/8s, 2021
|
|
|
|
492,000
|
521,520
|
|
|
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom)
|
|
|
GBP
|
222,000
|
389,660
|
|
|
James River Escrow, Inc. 144A sr. notes 7 7/8s, 2019
|
|
|
|
$160,000
|
167,600
|
|
|
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021
|
|
|
|
220,000
|
228,800
|
|
|
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019
|
|
|
|
230,000
|
244,375
|
|
|
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia)
|
|
|
|
1,080,000
|
1,138,104
|
|
|
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia)
|
|
|
|
450,000
|
496,364
|
|
|
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)
|
|
|
|
320,000
|
328,400
|
|
|
Nak Naftogaz Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine)
|
|
|
|
620,000
|
682,254
|
|
|
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014
|
|
|
|
698,000
|
712,833
|
|
|
OPTI Canada, Inc. company guaranty sr. sec. notes 8 1/4s, 2014 (Canada)
|
|
|
|
1,010,000
|
537,825
|
|
|
OPTI Canada, Inc. 144A company guaranty sr. notes 9 3/4s, 2013 (Canada)
|
|
|
|
675,000
|
681,750
|
|
|
OPTI Canada, Inc. 144A sr. notes 9s, 2012 (Canada)
|
|
|
|
210,000
|
212,625
|
|
|
Peabody Energy Corp. company guaranty 7 3/8s, 2016
|
|
|
|
1,321,000
|
1,489,428
|
|
|
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020
|
|
|
|
44,000
|
47,135
|
|
|
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico)
|
|
|
|
340,000
|
345,150
|
|
|
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico)
|
|
|
|
325,000
|
328,497
|
|
|
Penn Virginia Corp. company guaranty sr. unsec. notes 7 1/4s, 2019
|
|
|
|
125,000
|
126,094
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)
|
|
|
|
960,000
|
1,132,800
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil)
|
|
|
|
540,000
|
569,263
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 3/4s, 2041 (Brazil)
|
|
|
|
296,000
|
308,085
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil)
|
|
|
|
960,000
|
973,572
|
|
|
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014
|
|
|
|
225,000
|
257,906
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)
|
|
|
|
5,035,000
|
3,096,525
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela)
|
|
|
|
650,000
|
302,250
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela)
|
|
|
|
650,000
|
309,725
|
|
|
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)
|
|
|
|
600,000
|
452,400
|
|
|
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela)
|
|
|
|
1,705,000
|
1,134,234
|
|
|
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela)
|
|
|
|
300,000
|
217,500
|
|
|
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela)
|
|
|
|
315,000
|
295,313
|
|
|
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico)
|
|
|
|
800,000
|
819,600
|
|
|
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad)
|
|
|
|
215,000
|
256,925
|
|
|
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 6s, 2022 (Trinidad)
|
|
|
|
1,113,583
|
1,124,196
|
|
|
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018
|
|
|
|
539,000
|
610,418
|
|
|
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015
|
|
|
|
280,000
|
291,200
|
|
|
Plains Exploration & Production Co. company guaranty 7s, 2017
|
|
|
|
150,000
|
155,250
|
|
|
Plains Exploration & Production Co. company guaranty sr. unsec. notes 10s, 2016
|
|
|
|
645,000
|
728,850
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines)
|
|
|
|
690,000
|
795,225
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines)
|
|
|
|
950,000
|
1,097,250
|
|
|
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020
|
|
|
|
350,000
|
374,500
|
|
|
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018
|
|
|
|
290,000
|
321,900
|
|
|
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021
|
|
|
|
95,000
|
99,988
|
|
|
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018
|
|
|
|
1,060,000
|
1,120,950
|
|
|
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019
|
|
|
|
190,000
|
196,175
|
|
|
Williams Cos., Inc. (The) notes 7 3/4s, 2031
|
|
|
|
256,000
|
310,668
|
|
|
|
|
50,931,904
|
|
Financials (5.0%)
|
|
|
ACE Cash Express, Inc. 144A sr. notes 11s, 2019
|
|
|
|
320,000
|
323,200
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012
|
|
|
|
117,000
|
120,803
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012
|
|
|
|
818,000
|
859,923
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012
|
|
|
|
851,000
|
885,040
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015
|
|
|
|
240,000
|
270,000
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.511s, 2014
|
|
|
|
85,000
|
83,645
|
|
|
Ally Financial, Inc. 144A company guaranty notes 6 1/4s, 2017
|
|
|
|
335,000
|
349,238
|
|
|
Ally Financial, Inc. 144A company guaranty sr. unsec. unsub. notes 7 1/2s, 2020
|
|
|
|
1,320,000
|
1,438,800
|
|
|
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058
|
|
|
|
440,000
|
492,800
|
|
|
Banco Do Brasil 144A sr. unsec. 9 3/4s, 2017 (Brazil)
|
|
|
BRL
|
855,000
|
544,239
|
|
|
Boparan Holdings LTD 144A sr. notes 9 3/4s, 2018 (United Kingdom)
|
|
|
EUR
|
265,000
|
398,345
|
|
|
Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.113s, 2012
|
|
|
|
$707,000
|
699,801
|
|
|
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037
|
|
|
|
374,000
|
377,740
|
|
|
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
135,000
|
141,075
|
|
|
CIT Group, Inc. sr. bonds 7s, 2017
|
|
|
|
2,438,000
|
2,457,809
|
|
|
CIT Group, Inc. sr. bonds 7s, 2016
|
|
|
|
1,148,000
|
1,156,610
|
|
|
CIT Group, Inc. sr. bonds 7s, 2014
|
|
|
|
106,000
|
107,988
|
|
|
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018
|
|
|
|
470,000
|
504,857
|
|
|
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018
|
|
|
|
130,000
|
137,475
|
|
|
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019
|
|
|
|
395,000
|
404,381
|
|
|
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017
|
|
|
|
599,000
|
655,156
|
|
|
HSBC Capital Funding LP/ Jersey Channel Islands company guaranty sub. FRB 5.13s, 2049 (United Kingdom)
|
|
|
EUR
|
486,000
|
692,194
|
|
|
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015
|
|
|
|
$185,000
|
192,400
|
|
|
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014
|
|
|
|
135,000
|
140,569
|
|
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018
|
|
|
|
895,000
|
924,088
|
|
|
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017
|
|
|
|
600,000
|
601,457
|
|
|
JPMorgan Chase & Co. 144A sr. unsec. unsub. notes FRN 4.03s, 2011
|
|
|
RUB
|
46,000,000
|
1,679,724
|
|
|
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012
|
|
|
INR
|
37,500,000
|
851,182
|
|
|
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017
|
|
|
|
$641,000
|
673,050
|
|
|
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097
|
|
|
|
1,330,000
|
1,237,835
|
|
|
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021
(R)
|
|
|
|
225,000
|
226,125
|
|
|
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada)
|
|
|
|
300,000
|
334,500
|
|
|
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015
|
|
|
|
444,000
|
462,315
|
|
|
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)
|
|
|
|
265,000
|
295,806
|
|
|
Omega Healthcare Investors, Inc. 144A sr. notes 6 3/4s, 2022
(R)
|
|
|
|
447,000
|
454,264
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA sub. bonds FRB 6.97s, 2016 (Russia)
|
|
|
|
5,400,000
|
5,455,404
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 3/4s, 2018 (Russia)
|
|
|
|
775,000
|
867,070
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia)
|
|
|
|
775,000
|
840,875
|
|
|
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
(R)
|
|
|
|
235,000
|
246,163
|
|
|
Shinhan Bank 144A sr. unsec. bond 6s, 2012 (South Korea)
|
|
|
|
257,000
|
270,244
|
|
|
SLM Corp. sr. notes Ser. MTN, 6 1/4s, 2016
|
|
|
|
141,000
|
149,547
|
|
|
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India)
|
|
|
|
360,000
|
370,512
|
|
|
UBS AG/ Jersey Branch jr. unsec. sub. FRB 4.28s, 2015 (Cayman Islands)
|
|
|
EUR
|
327,000
|
443,140
|
|
|
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom)
|
|
|
|
$425,000
|
447,104
|
|
|
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.188s, 2014
|
|
|
|
120,000
|
116,100
|
|
|
Vnesheconombank Via VEB Finance, Ltd. 144A bank guaranteed bonds 6.8s, 2025 (Russia)
|
|
|
|
1,100,000
|
1,116,500
|
|
|
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia)
|
|
|
|
1,065,000
|
1,123,575
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 7 1/2s, 2011 (Russia)
|
|
|
|
935,000
|
958,936
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia)
|
|
|
|
2,934,000
|
3,095,370
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia)
|
|
|
|
3,965,000
|
4,186,207
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia)
|
|
|
|
4,520,000
|
4,859,000
|
|
|
|
|
45,720,181
|
|
Government (0.1%)
|
|
|
International Bank for Reconstruction & Development sr. unsec. unsub. notes Ser. GDIF 5 1/4s, 2014 (Supra-Nation)
|
|
|
|
22,650,000
|
815,597
|
|
|
|
|
815,597
|
|
Health care (1.6%)
|
|
|
Aviv Healthcare Properties LP 144A sr. notes 7 3/4s, 2019
|
|
|
|
325,000
|
342,875
|
|
|
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany)
|
|
|
EUR
|
364,000
|
539,323
|
|
|
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017
|
|
|
|
$236,000
|
260,780
|
|
|
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017
|
|
|
|
380,000
|
409,450
|
|
|
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015
|
|
|
|
857,000
|
876,283
|
|
|
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg)
|
|
|
EUR
|
160,000
|
247,269
|
|
|
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg)
|
|
|
|
$1,070,000
|
1,152,925
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
110,000
|
112,888
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018
|
|
|
|
340,000
|
348,075
|
|
|
Fresenius Medical Care US Finance, Inc. 144A company guaranty sr. notes 5 3/4s, 2021
|
|
|
|
510,000
|
497,888
|
|
|
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015
|
|
|
|
125,000
|
143,281
|
|
|
Giant Funding Corp. 144A sr. notes 8 1/4s, 2018 (Spain)
|
|
|
|
220,000
|
228,250
|
|
|
HCA Holdings, Inc. 144A sr. unsec. notes 7 3/4s, 2021
|
|
|
|
400,000
|
418,000
|
|
|
HCA, Inc. company guaranty sr. notes 9 5/8s, 2016
(PIK)
|
|
|
|
1,028,000
|
1,103,815
|
|
|
HCA, Inc. sr. sec. notes 9 1/4s, 2016
|
|
|
|
1,587,000
|
1,702,058
|
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019
|
|
|
|
865,000
|
877,975
|
|
|
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018
|
|
|
|
345,000
|
373,463
|
|
|
Select Medical Corp. company guaranty 7 5/8s, 2015
|
|
|
|
381,000
|
391,001
|
|
|
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017
|
|
|
|
640,000
|
660,800
|
|
|
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015
(PIK)
|
|
|
|
329,569
|
338,632
|
|
|
Talecris Biotherapeutics Holdings Corp. company guaranty sr. unsec. notes 7 3/4s, 2016
|
|
|
|
48,000
|
52,800
|
|
|
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018
|
|
|
|
276,000
|
320,160
|
|
|
Tenet Healthcare Corp. sr. notes 9s, 2015
|
|
|
|
749,000
|
816,410
|
|
|
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019
|
|
|
|
471,000
|
532,230
|
|
|
Tenet Healthcare Corp. sr. unsec. notes 8s, 2020
|
|
|
|
415,000
|
429,525
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020
|
|
|
|
70,000
|
68,775
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018
|
|
|
|
170,000
|
169,788
|
|
|
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017
|
|
|
|
70,000
|
69,650
|
|
|
Vanguard Health Systems, Inc. 144A sr. notes zero %, 2016
|
|
|
|
470,000
|
304,325
|
|
|
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012
(R)
|
|
|
|
590,000
|
633,314
|
|
|
|
|
14,422,008
|
|
Technology (1.1%)
|
|
|
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020
|
|
|
|
140,000
|
145,950
|
|
|
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
|
149,000
|
153,843
|
|
|
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019
|
|
|
|
430,000
|
425,700
|
|
|
Buccaneer Merger Sub., Inc. 144A sr. notes 9 1/8s, 2019
|
|
|
|
431,000
|
462,248
|
|
|
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015
(PIK)
|
|
|
|
139,000
|
145,950
|
|
|
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015
|
|
|
|
547,000
|
568,880
|
|
|
CommScope, Inc. 144A sr. notes 8 1/4s, 2019
|
|
|
|
325,000
|
342,063
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
193,000
|
213,265
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017
|
|
|
|
462,000
|
505,890
|
|
|
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015
(PIK)
|
|
|
|
655,044
|
684,521
|
|
|
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016
|
|
|
|
351,000
|
354,510
|
|
|
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020
|
|
|
|
175,000
|
191,625
|
|
|
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019
|
|
|
|
110,000
|
112,063
|
|
|
Freescale Semiconductor, Inc. company guaranty sr. unsec. sub. notes 10 1/8s, 2016
|
|
|
|
5,000
|
5,363
|
|
|
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018
|
|
|
|
967,000
|
1,097,545
|
|
|
Freescale Semiconductor, Inc. 144A company guaranty sr. unsec. notes 10 3/4s, 2020
|
|
|
|
4,000
|
4,600
|
|
|
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020
|
|
|
|
1,035,000
|
1,078,988
|
|
|
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021
|
|
|
|
290,000
|
308,850
|
|
|
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
|
1,091,000
|
1,262,833
|
|
|
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands)
|
|
|
|
433,000
|
458,980
|
|
|
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015
|
|
|
|
817,000
|
857,850
|
|
|
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020
|
|
|
|
344,000
|
358,620
|
|
|
|
|
9,740,137
|
|
Transportation (0.2%)
|
|
|
AMGH Merger Sub., Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
466,000
|
502,698
|
|
|
Swift Services Holdings, Inc. 144A company guaranty sr. notes 10s, 2018
|
|
|
|
655,000
|
718,863
|
|
|
Western Express, Inc. 144A sr. notes 12 1/2s, 2015
|
|
|
|
294,000
|
289,590
|
|
|
|
|
1,511,151
|
|
Utilities and power (1.9%)
|
|
|
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017
|
|
|
|
1,140,000
|
1,239,750
|
|
|
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg)
|
|
|
CHF
|
906,000
|
1,088,207
|
|
|
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020
|
|
|
|
$380,000
|
406,600
|
|
|
Calpine Corp. 144A sr. notes 7 1/4s, 2017
|
|
|
|
995,000
|
1,044,750
|
|
|
Colorado Interstate Gas Co. debs. 6.85s, 2037 (Canada)
|
|
|
|
615,000
|
668,942
|
|
|
Dynegy Holdings, Inc. sr. unsec. notes 7 3/4s, 2019
|
|
|
|
1,160,000
|
904,800
|
|
|
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016
|
|
|
|
289,000
|
248,540
|
|
|
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013
|
|
|
|
135,000
|
134,325
|
|
|
Edison Mission Energy sr. unsec. notes 7.2s, 2019
|
|
|
|
292,000
|
228,490
|
|
|
Edison Mission Energy sr. unsec. notes 7s, 2017
|
|
|
|
44,000
|
34,870
|
|
|
El Paso Corp. sr. unsec. notes 7s, 2017
|
|
|
|
160,000
|
177,582
|
|
|
El Paso Natural Gas Co. debs. 8 5/8s, 2022
|
|
|
|
577,000
|
737,679
|
|
|
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020
|
|
|
|
1,390,000
|
1,487,411
|
|
|
Energy Future Intermediate Holdings Co., LLC sr. notes 10s, 2020
|
|
|
|
644,000
|
692,352
|
|
|
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020
|
|
|
|
346,000
|
378,870
|
|
|
GenOn Escrow Corp. 144A sr. notes 9 7/8s, 2020
|
|
|
|
685,000
|
732,950
|
|
|
GenOn Escrow Corp. 144A sr. unsec. notes 9 1/2s, 2018
|
|
|
|
105,000
|
112,088
|
|
|
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016
|
|
|
|
220,000
|
239,800
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia)
|
|
|
|
525,000
|
612,938
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)
|
|
|
|
2,425,000
|
2,772,672
|
|
|
GenOn Americas Generation, LLC sr. unsec. notes 8.3s, 2011
|
|
|
|
205,000
|
205,000
|
|
|
NRG Energy, Inc. sr. notes 7 3/8s, 2016
|
|
|
|
1,555,000
|
1,613,313
|
|
|
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020
|
|
|
|
255,000
|
263,361
|
|
|
NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017
|
|
|
|
120,000
|
122,771
|
|
|
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028
|
|
|
|
145,000
|
163,604
|
|
|
Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020
|
|
|
|
310,000
|
318,525
|
|
|
Vattenfall Treasury AB company guaranty jr. unsec. sub. bond FRB 5 1/4s, 2049 (Sweden)
|
|
|
EUR
|
364,000
|
546,188
|
|
|
|
|
17,176,378
|
|
|
|
Total corporate bonds and notes (cost $255,609,486)
|
$269,694,005
|
|
|
MORTGAGE-BACKED SECURITIES (25.9%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 5A31, 0.353s, 2037
|
|
|
|
$2,177,468
|
$1,203,051
|
|
|
Banc of America Commercial Mortgage, Inc. 144A
|
|
|
|
|
|
|
Ser. 01-1, Class J, 6 1/8s, 2036
|
|
|
|
318,946
|
258,346
|
|
Ser. 01-1, Class K, 6 1/8s, 2036
|
|
|
|
718,000
|
535,987
|
|
Ser. 07-5, Class XW, IO, 0.593s, 2051
|
|
|
|
213,766,659
|
3,688,031
|
|
|
Banc of America Funding Corp.
|
|
|
|
|
|
|
FRB Ser. 06-D, Class 6A1, 5.408s, 2036
|
|
|
|
5,062,907
|
3,316,204
|
|
FRB Ser. 07-6, Class A1, 0.503s, 2037
|
|
|
|
1,191,384
|
908,859
|
|
FRB Ser. 07-B, Class A1, 0.423s, 2047
|
|
|
|
3,231,144
|
2,132,555
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1, 5.233s, 2047
|
|
|
|
2,485,860
|
1,625,131
|
|
|
Bear Stearns Alt-A Trust
|
|
|
|
|
|
|
FRB Ser. 06-5, Class 2A2, 5.969s, 2036
|
|
|
|
5,493,646
|
3,790,616
|
|
FRB Ser. 06-5, Class 2A1, 5.607s, 2036
|
|
|
|
1,211,850
|
824,058
|
|
FRB Ser. 07-1, Class 21A1, 5.18s, 2047
|
|
|
|
2,649,905
|
1,589,943
|
|
|
Bear Stearns Alt-A Trust II FRB Ser. 07-1, Class 1A1, 5.416s, 2047
|
|
|
|
12,982,847
|
7,789,708
|
|
|
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-IM1, Class A1, 0.443s, 2036
|
|
|
|
1,184,838
|
639,445
|
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
|
|
|
FRB Ser. 05-10, Class 1A5A, 5.593s, 2035
|
|
|
|
221,705
|
148,543
|
|
FRB Ser. 06-AR5, Class 2A5A, 5.453s, 2036
|
|
|
|
2,486,406
|
1,433,164
|
|
FRB Ser. 07-AR5, Class 1A1A, 5.4s, 2037
|
|
|
|
1,356,083
|
833,330
|
|
FRB Ser. 05-10, Class 1A4A, 2.904s, 2035
|
|
|
|
2,276,852
|
1,462,878
|
|
FRB Ser. 07-AR1, Class A3, 0.433s, 2037
|
|
|
|
5,687,720
|
3,369,974
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.138s, 2044
|
|
|
|
67,746,394
|
373,671
|
|
|
Cornerstone Titan PLC 144A
|
|
|
|
|
|
|
FRB Ser. 05-CT1A, Class D, 1.869s, 2014 (United Kingdom)
|
|
|
GBP
|
868,987
|
1,016,515
|
|
FRB Ser. 05-CT2A, Class E, 1.869s, 2014 (United Kingdom)
|
|
|
GBP
|
444,138
|
556,649
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
|
|
Ser. 07-16CB, Class 3A1, 6 3/4s, 2037
|
|
|
|
$2,428,499
|
1,499,598
|
|
Ser. 06-45T1, Class 2A2, 6s, 2037
|
|
|
|
2,989,782
|
2,111,920
|
|
Ser. 06-45T1, Class 2A5, 6s, 2037
|
|
|
|
1,281,338
|
922,564
|
|
Ser. 06-J8, Class A4, 6s, 2037
|
|
|
|
2,457,963
|
1,499,357
|
|
Ser. 06-40T1, Class 1A11, 6s, 2037
|
|
|
|
1,714,349
|
1,262,023
|
|
Ser. 06-41CB, Class 1A7, 6s, 2037
|
|
|
|
1,367,334
|
1,018,664
|
|
FRB Ser. 05-84, Class 4A1, 5.818s, 2036
|
|
|
|
10,685,161
|
7,052,206
|
|
Ser. 07-HY5R, Class 2A1A, 5.544s, 2047
|
|
|
|
2,265,420
|
2,173,388
|
|
Ser. 07-8CB, Class A1, 5 1/2s, 2037
|
|
|
|
1,477,346
|
1,120,936
|
|
FRB Ser. 06-24CB, Class A13, 0.563s, 2036
|
|
|
|
1,799,436
|
1,109,465
|
|
FRB Ser. 06-OC10, Class 2A2A, 0.393s, 2036
|
|
|
|
1,715,708
|
887,879
|
|
FRB Ser. 06-HY11, Class A1, 0.333s, 2036
|
|
|
|
1,643,922
|
1,012,039
|
|
|
Countrywide Home Loans FRB Ser. 05-HYB4, Class 2A1, 2.856s, 2035
|
|
|
|
1,085,542
|
808,729
|
|
|
Countrywide Home Loans 144A
|
|
|
|
|
|
|
Ser. 05-R3, Class AS, IO, 5.548s, 2035
|
|
|
|
196,586
|
25,191
|
|
FRB Ser. 05-R3, Class AF, 0.613s, 2035
|
|
|
|
193,138
|
166,099
|
|
|
Credit Suisse Mortgage Capital Certificates Ser. 07-1, Class 1A4, 6.131s, 2037
|
|
|
|
1,334,522
|
834,076
|
|
|
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035
|
|
|
|
691,000
|
192,468
|
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-AR1, Class 3A1, 2.959s, 2036
|
|
|
|
2,054,188
|
1,400,699
|
|
FRB Ser. 06-AR1, Class 1A3, 0.543s, 2036
|
|
|
|
7,632,039
|
3,663,379
|
|
FRB Ser. 07-AR3, Class 2A2A, 0.393s, 2037
|
|
|
|
1,629,390
|
1,132,426
|
|
FRB Ser. 06-AR6, Class A4, 0.383s, 2037
|
|
|
|
1,592,745
|
1,041,337
|
|
|
Deutsche Alternative Securities, Inc. Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-AR6, Class A6, 0.403s, 2037
|
|
|
|
5,706,262
|
3,423,757
|
|
FRB Ser. 06-AR3, Class A1, 0.403s, 2036
|
|
|
|
2,445,083
|
1,249,285
|
|
|
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031
|
|
|
|
552,708
|
552,708
|
|
|
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.672s, 2014 (United Kingdom)
|
|
|
GBP
|
517,996
|
121,187
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
|
IFB Ser. 3182, Class SP, 27.725s, 2032
|
|
|
|
$575,566
|
947,044
|
|
IFB Ser. 3211, Class SI, IO, 26.746s, 2036
|
|
|
|
504,735
|
332,252
|
|
IFB Ser. 3408, Class EK, 24.913s, 2037
|
|
|
|
432,953
|
648,254
|
|
IFB Ser. 2979, Class AS, 23.471s, 2034
|
|
|
|
239,869
|
329,294
|
|
IFB Ser. 3072, Class SM, 22.995s, 2035
|
|
|
|
658,889
|
930,569
|
|
IFB Ser. 3072, Class SB, 22.848s, 2035
|
|
|
|
590,177
|
829,457
|
|
IFB Ser. 3105, Class SI, IO, 19.061s, 2036
|
|
|
|
377,664
|
202,941
|
|
IFB Ser. 3031, Class BS, 16.178s, 2035
|
|
|
|
909,833
|
1,181,787
|
|
IFB Ser. 3184, Class SP, IO, 7.131s, 2033
|
|
|
|
5,184,766
|
686,981
|
|
IFB Ser. 3727, Class PS, IO, 6.481s, 2038
|
|
|
|
7,310,222
|
1,335,120
|
|
IFB Ser. 3287, Class SE, IO, 6.481s, 2037
|
|
|
|
3,222,043
|
552,709
|
|
IFB Ser. 3398, Class SI, IO, 6.431s, 2036
|
|
|
|
4,309,681
|
574,739
|
|
IFB Ser. 3762, Class SA, IO, 6.381s, 2040
|
|
|
|
6,756,561
|
1,125,126
|
|
IFB Ser. 3677, Class KS, IO, 6.331s, 2040
|
|
|
|
9,884,315
|
1,544,293
|
|
IFB Ser. 3485, Class SI, IO, 6.331s, 2036
|
|
|
|
842,074
|
141,157
|
|
IFB Ser. 3242, Class SC, IO, 6.071s, 2036
|
|
|
|
12,313,324
|
1,731,561
|
|
IFB Ser. 3225, Class EY, IO, 6.071s, 2036
|
|
|
|
33,610,204
|
4,762,902
|
|
IFB Ser. 3751, Class SB, IO, 5.821s, 2039
|
|
|
|
16,609,622
|
2,558,712
|
|
IFB Ser. 3768, Class PS, IO, 5.781s, 2036
|
|
|
|
5,120,242
|
785,445
|
|
Ser. 3645, Class ID, IO, 5s, 2040
|
|
|
|
2,995,679
|
535,957
|
|
Ser. 3653, Class KI, IO, 5s, 2038
|
|
|
|
6,671,641
|
1,224,780
|
|
Ser. 3632, Class CI, IO, 5s, 2038
|
|
|
|
3,518,179
|
656,352
|
|
Ser. 3626, Class DI, IO, 5s, 2037
|
|
|
|
2,488,539
|
321,245
|
|
Ser. 3740, Class IP, IO, 5s, 2037
|
|
|
|
13,856,413
|
2,420,715
|
|
Ser. 3623, Class CI, IO, 5s, 2036
|
|
|
|
2,242,951
|
362,026
|
|
Ser. 3747, Class HI, IO, 4 1/2s, 2037
|
|
|
|
1,521,500
|
243,423
|
|
Ser. 3738, Class MI, IO, 4s, 2034
|
|
|
|
16,121,116
|
2,150,833
|
|
Ser. 3736, Class QI, IO, 4s, 2034
|
|
|
|
19,411,742
|
2,538,692
|
|
Ser. 3751, Class MI, IO, 4s, 2034
|
|
|
|
21,523,976
|
2,977,412
|
|
Ser. 3740, Class KI, IO, 4s, 2033
|
|
|
|
10,420,951
|
1,387,550
|
|
Ser. 3707, Class HI, IO, 4s, 2023
|
|
|
|
3,131,263
|
348,290
|
|
Ser. 3707, Class KI, IO, 4s, 2023
|
|
|
|
5,615,075
|
546,964
|
|
Ser. T-57, Class 1AX, IO, 0.426s, 2043
|
|
|
|
2,630,827
|
34,621
|
|
Ser. 3124, Class DO, PO, zero %, 2036
|
|
|
|
51,800
|
38,682
|
|
FRB Ser. 3251, Class TC, zero %, 2036
|
|
|
|
79,443
|
78,793
|
|
FRB Ser. 3072, Class TJ, zero %, 2035
|
|
|
|
20,791
|
19,731
|
|
FRB Ser. 3052, Class TJ, zero %, 2035
|
|
|
|
5,745
|
5,412
|
|
FRB Ser. 3326, Class WF, zero %, 2035
|
|
|
|
33,599
|
29,231
|
|
FRB Ser. 3030, Class EF, zero %, 2035
|
|
|
|
45,077
|
37,821
|
|
FRB Ser. 3033, Class YF, zero %, 2035
|
|
|
|
9,367
|
9,324
|
|
FRB Ser. 3412, Class UF, zero %, 2035
|
|
|
|
19,320
|
16,928
|
|
FRB Ser. 3007, Class LU, zero %, 2035
|
|
|
|
20,408
|
16,542
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 06-62, Class PS, 38.624s, 2036
|
|
|
|
850,608
|
1,473,795
|
|
IFB Ser. 07-53, Class SP, 23.42s, 2037
|
|
|
|
586,701
|
844,474
|
|
IFB Ser. 08-24, Class SP, 22.504s, 2038
|
|
|
|
506,691
|
727,814
|
|
IFB Ser. 05-75, Class GS, 19.612s, 2035
|
|
|
|
644,214
|
849,072
|
|
IFB Ser. 05-83, Class QP, 16.841s, 2034
|
|
|
|
648,660
|
829,835
|
|
IFB Ser. 10-35, Class SG, IO, 6.187s, 2040
|
|
|
|
12,315,248
|
2,442,237
|
|
IFB Ser. 10-46, Class WS, IO, 5.537s, 2040
|
|
|
|
12,755,022
|
1,725,882
|
|
Ser. 11-51, Class SM, IO, 5 1/2s, 2041
(F)
(FWC)
|
|
|
|
15,230,000
|
2,229,767
|
|
Ser. 374, Class 6, IO, 5 1/2s, 2036
|
|
|
|
2,802,514
|
600,102
|
|
Ser. 10-21, Class IP, IO, 5s, 2039
|
|
|
|
6,271,570
|
1,359,168
|
|
Ser. 10-92, Class CI, IO, 5s, 2039
|
|
|
|
3,639,800
|
724,550
|
|
Ser. 398, Class C5, IO, 5s, 2039
|
|
|
|
2,503,440
|
525,722
|
|
Ser. 10-13, Class EI, IO, 5s, 2038
|
|
|
|
1,740,034
|
248,797
|
|
Ser. 378, Class 19, IO, 5s, 2035
|
|
|
|
7,599,566
|
1,490,229
|
|
Ser. 366, Class 22, IO, 4 1/2s, 2035
|
|
|
|
2,602,340
|
288,834
|
|
Ser. 407, Class 1, IO, 4s, 2041
|
|
|
|
5,815,000
|
1,381,063
|
|
Ser. 407, Class 2, IO, 4s, 2041
|
|
|
|
2,332,000
|
548,020
|
|
Ser. 406, Class 2, IO, 4s, 2041
|
|
|
|
9,202,408
|
2,151,523
|
|
Ser. 406, Class 1, IO, 4s, 2041
|
|
|
|
5,741,650
|
1,363,642
|
|
Ser. 03-W10, Class 1, IO, 1.549s, 2043
|
|
|
|
1,146,942
|
53,763
|
|
Ser. 00-T6, IO, 0.769s, 2030
|
|
|
|
4,691,328
|
97,061
|
|
Ser. 99-51, Class N, PO, zero %, 2029
|
|
|
|
72,071
|
65,617
|
|
FRB Ser. 05-45, Class FG, zero %, 2035
|
|
|
|
172,416
|
158,011
|
|
IFB Ser. 06-48, Class FG, zero %, 2036
|
|
|
|
44,922
|
44,522
|
|
|
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.112s, 2020
|
|
|
|
5,731,769
|
170,119
|
|
|
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035
|
|
|
|
891,000
|
618,803
|
|
|
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036
|
|
|
|
210,982
|
194,104
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 11-56, Class MS, 6.82s, 2041
|
|
|
|
6,888,000
|
6,587,477
|
|
IFB Ser. 11-56, Class SG, 6.786s, 2041
|
|
|
|
3,827,000
|
3,669,940
|
|
IFB Ser. 10-142, Class SA, IO, 6.487s, 2039
|
|
|
|
7,438,353
|
1,266,008
|
|
IFB Ser. 10-85, Class AS, IO, 6.437s, 2039
|
|
|
|
7,261,819
|
1,307,127
|
|
IFB Ser. 10-93, Class NS, IO, 6.437s, 2037
|
|
|
|
5,465,569
|
898,540
|
|
IFB Ser. 11-41, Class SM, IO, 6.387s, 2041
|
|
|
|
4,610,342
|
937,919
|
|
IFB Ser. 10-98, Class QS, IO, 6.387s, 2040
|
|
|
|
7,604,251
|
1,361,640
|
|
IFB Ser. 10-88, Class SA, IO, 6.337s, 2040
(F)
|
|
|
|
7,892,597
|
1,501,520
|
|
IFB Ser. 10-157, Class SN, IO, 6.334s, 2038
|
|
|
|
7,457,609
|
1,218,126
|
|
IFB Ser. 10-115, Class SN, IO, 5.887s, 2038
|
|
|
|
3,668,105
|
573,435
|
|
IFB Ser. 10-116, Class SL, IO, 5.837s, 2039
|
|
|
|
3,708,786
|
612,951
|
|
IFB Ser. 11-35, Class SB, IO, 5.837s, 2037
|
|
|
|
6,307,049
|
924,613
|
|
IFB Ser. 10-121, Class SE, IO, 5.787s, 2040
|
|
|
|
6,631,538
|
1,093,474
|
|
IFB Ser. 10-89, Class SD, IO, 5.717s, 2040
|
|
|
|
5,727,382
|
990,665
|
|
IFB Ser. 10-116, Class SA, IO, 5.687s, 2040
|
|
|
|
9,688,483
|
1,683,083
|
|
IFB Ser. 10-43, Class KS, IO, 5.537s, 2040
|
|
|
|
14,803,584
|
2,176,589
|
|
Ser. 11-70, Class SH, IO, 5s, 2041
(FWC)
|
|
|
|
5,599,000
|
1,328,083
|
|
Ser. 11-70, Class SM, IO, 5s, 2041
(FWC)
|
|
|
|
5,451,000
|
1,294,613
|
|
Ser. 11-70, PO, 3 1/2s, 2041
(FWC)
|
|
|
|
12,715,000
|
9,101,143
|
|
Ser. 06-36, Class OD, PO, zero %, 2036
|
|
|
|
36,155
|
33,994
|
|
FRB Ser. 07-73, Class KI, IO, zero %, 2037
|
|
|
|
269,462
|
4,168
|
|
FRB Ser. 07-73, Class KM, zero %, 2037
|
|
|
|
26,824
|
23,082
|
|
|
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.333s, 2039
|
|
|
|
154,489,364
|
2,924,216
|
|
|
Harborview Mortgage Loan Trust FRB Ser. 05-14, Class 5A1A, 5.583s, 2035
|
|
|
|
2,929,329
|
1,918,710
|
|
|
HSI Asset Loan Obligation FRB Ser. 07-AR1, Class 2A1, 5.809s, 2037
|
|
|
|
6,647,861
|
4,387,589
|
|
|
IndyMac Indx Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 07-AR15, Class 1A1, 5.472s, 2037
|
|
|
|
4,256,544
|
2,851,884
|
|
FRB Ser. 06-AR25, Class 5A1, 5.424s, 2036
|
|
|
|
4,011,947
|
2,422,091
|
|
FRB Ser. 07-AR9, Class 2A1, 5.381s, 2037
|
|
|
|
2,495,680
|
1,673,753
|
|
FRB Ser. 06-AR25, Class 3A1, 5.365s, 2036
|
|
|
|
2,213,072
|
1,195,059
|
|
FRB Ser. 07-AR11, Class 1A1, 4.711s, 2037
|
|
|
|
1,705,118
|
997,494
|
|
FRB Ser. 06-AR3, Class 2A1A, 2.895s, 2036
|
|
|
|
2,264,254
|
1,245,340
|
|
FRB Ser. 05-AR31, Class 3A1, 2.679s, 2036
|
|
|
|
5,322,865
|
3,592,934
|
|
FRB Ser. 06-AR39, Class A1, 0.393s, 2037
|
|
|
|
8,875,911
|
5,591,824
|
|
FRB Ser. 06-AR35, Class 2A1A, 0.383s, 2037
|
|
|
|
3,309,195
|
1,793,839
|
|
FRB Ser. 06-AR15, Class A1, 0.333s, 2036
|
|
|
|
3,223,105
|
1,716,303
|
|
|
JPMorgan Alternative Loan Trust
|
|
|
|
|
|
|
|
FRB Ser. 07-A2, Class 12A1, 0.413s, 2037
|
|
|
|
1,801,366
|
927,704
|
|
FRB Ser. 06-A7, Class 1A1, 0.373s, 2036
|
|
|
|
2,464,476
|
1,404,751
|
|
FRB Ser. 06-A6, Class 1A1, 0.373s, 2036
|
|
|
|
1,888,734
|
1,119,192
|
|
FRB Ser. 07-A1, Class 1A1A, 0.353s, 2037
|
|
|
|
1,947,526
|
973,763
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.199s, 2051
|
|
|
|
127,891,358
|
1,247,043
|
|
|
LB Commercial Conduit Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 99-C1, Class G, 6.41s, 2031
|
|
|
|
492,082
|
486,230
|
|
Ser. 98-C4, Class J, 5.6s, 2035
|
|
|
|
965,000
|
992,985
|
|
|
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.343s, 2037
|
|
|
|
1,878,564
|
995,639
|
|
|
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.287s, 2028
|
|
|
|
1,411,418
|
46,676
|
|
|
Merrill Lynch/Countrywide Commercial Mortgage Trust 144A Ser. 06-4, Class XC, IO, 0.263s, 2049
|
|
|
|
114,463,743
|
1,428,805
|
|
|
Mezz Cap Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 04-C1, Class X, IO, 8.143s, 2037
|
|
|
|
1,082,207
|
59,954
|
|
Ser. 07-C5, Class X, IO, 5.064s, 2049
|
|
|
|
4,422,075
|
304,239
|
|
|
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039
|
|
|
|
3,360,000
|
2,956,800
|
|
|
Morgan Stanley Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-3AR, Class 3A1, 5.423s, 2036
|
|
|
|
1,388,416
|
985,775
|
|
FRB Ser. 07-11AR, Class 2A1, 5.059s, 2037
|
|
|
|
5,068,775
|
2,518,269
|
|
Ser. 06-6AR, Class 2A, 2.655s, 2036
|
|
|
|
1,518,013
|
925,988
|
|
|
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.968s, 2012
|
|
|
|
3,192
|
29
|
|
|
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033
|
|
|
|
285,000
|
11,400
|
|
|
Residential Asset Securitization Trust
|
|
|
|
|
|
|
Ser. 07-A5, Class 2A3, 6s, 2037
|
|
|
|
1,338,443
|
1,010,524
|
|
Ser. 06-A5CB, Class A6, 6s, 2036
|
|
|
|
1,703,442
|
1,013,548
|
|
FRB Ser. 05-A2, Class A1, 0.713s, 2035
|
|
|
|
890,131
|
700,492
|
|
|
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018
|
|
|
|
376,000
|
263,200
|
|
|
Structured Adjustable Rate Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 07-10, Class 1A1, 6s, 2037
|
|
|
|
2,674,001
|
1,420,563
|
|
FRB Ser. 06-9, Class 1A1, 5.197s, 2036
|
|
|
|
1,497,407
|
910,638
|
|
FRB Ser. 07-4, Class 1A1, 0.453s, 2037
|
|
|
|
2,046,676
|
1,054,038
|
|
|
Structured Asset Securities Corp.
|
|
|
|
|
|
|
IFB Ser. 07-4, Class 1A3, IO, 5.99s, 2045
|
|
|
|
8,246,830
|
1,139,093
|
|
Ser. 07-4, Class 1A4, IO, 1s, 2045
|
|
|
|
11,366,010
|
314,287
|
|
|
Structured Asset Securities Corp. 144A
|
|
|
|
|
|
|
Ser. 05-RF1, Class A, IO, 5.498s, 2035
|
|
|
|
1,780,955
|
201,175
|
|
Ser. 05-RF3, Class 1A, IO, 5.318s, 2035
|
|
|
|
1,587,724
|
214,370
|
|
FRB Ser. 05-RF3, Class 1A, 0.563s, 2035
|
|
|
|
1,587,724
|
1,278,118
|
|
FRB Ser. 05-RF1, Class A, 0.563s, 2035
|
|
|
|
1,780,955
|
1,438,121
|
|
|
Ursus PLC 144A FRB Ser. 1-A, Class D, 1.719s, 2012 (Ireland)
|
|
|
GBP
|
409,617
|
34,226
|
|
|
Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO, 0.544s, 2046
|
|
|
|
$34,178,508
|
514,387
|
|
|
Wachovia Bank Commercial Mortgage Trust 144A FRB Ser. 05-WL5A, Class L, 3.519s, 2018
|
|
|
|
917,000
|
550,200
|
|
|
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 07-0C2, Class A3, 0.523s, 2037
|
|
|
|
2,407,742
|
1,444,645
|
|
|
|
Total mortgage-backed securities (cost $224,857,808)
|
$235,972,324
|
|
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (14.8%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
U.S. Government Guaranteed Mortgage Obligations (0.3%)
|
|
|
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038
|
|
|
|
$2,118,609
|
$2,371,435
|
|
|
|
|
2,371,435
|
|
U.S. Government Agency Mortgage Obligations (14.5%)
|
|
|
Federal Home Loan Mortgage Corporation Pass-Through Certificates
|
|
|
|
|
|
|
3 1/2s, with due dates from December 1, 2040 to February 1, 2041
|
|
|
|
26,815,305
|
25,558,337
|
|
|
Federal National Mortgage Association Pass-Through Certificates
|
|
|
|
|
|
|
6 1/2s, April 1, 2016
|
|
|
|
12,056
|
13,022
|
|
4 1/2s, TBA, May 1, 2041
|
|
|
|
29,000,000
|
29,838,280
|
|
4 1/2s, TBA, April 1, 2041
|
|
|
|
3,000,000
|
3,090,234
|
|
4s, TBA, May 1, 2041
|
|
|
|
16,000,000
|
15,925,000
|
|
3 1/2s, with due dates from December 1, 2040 to March 1, 2041
|
|
|
|
60,754,625
|
58,027,788
|
|
|
|
|
132,452,661
|
|
|
|
Total U.S. government and agency mortgage obligations (cost $133,143,573)
|
$134,824,096
|
|
|
ASSET-BACKED SECURITIES (13.1%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Accredited Mortgage Loan Trust FRB Ser. 07-1, Class A3, 0.343s, 2037
|
|
|
|
$3,285,000
|
$2,291,288
|
|
|
Ace Securities Corp.
|
|
|
|
|
|
|
FRB Ser. 06-OP2, Class A2C, 0.363s, 2036
|
|
|
|
217,000
|
137,549
|
|
FRB Ser. 06-HE3, Class A2C, 0.363s, 2036
|
|
|
|
271,000
|
125,013
|
|
|
Asset Backed Securities Corp. Home Equity Loan Trust FRB Ser. 06-HE4, Class A5, 0.373s, 2036
|
|
|
|
135,297
|
93,601
|
|
|
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.088s, 2034
|
|
|
|
84,572
|
19,435
|
|
|
Bombardier Capital Mortgage Securitization Corp. Ser. 00-A, Class A4, 8.29s, 2030
|
|
|
|
1,452,840
|
1,031,516
|
|
|
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.283s, 2037
|
|
|
|
934,973
|
430,088
|
|
|
Conseco Finance Securitizations Corp.
|
|
|
|
|
|
|
Ser. 00-2, Class A5, 8.85s, 2030
|
|
|
|
2,161,876
|
1,772,738
|
|
Ser. 00-5, Class A7, 8.2s, 2032
|
|
|
|
2,156,951
|
1,801,054
|
|
Ser. 00-1, Class A5, 8.06s, 2031
|
|
|
|
1,553,524
|
1,196,214
|
|
Ser. 00-4, Class A5, 7.97s, 2032
|
|
|
|
310,491
|
256,155
|
|
Ser. 00-5, Class A6, 7.96s, 2032
|
|
|
|
1,488,866
|
1,315,785
|
|
Ser. 02-1, Class M1F, 7.954s, 2033
|
|
|
|
1,584,000
|
1,734,877
|
|
Ser. 00-6, Class A5, 7.27s, 2031
|
|
|
|
3,163,873
|
3,326,654
|
|
FRB Ser. 02-1, Class M1A, 2.294s, 2033
|
|
|
|
4,468,000
|
3,931,201
|
|
FRB Ser. 01-4, Class M1, 1.994s, 2033
|
|
|
|
573,000
|
304,387
|
|
|
Countrywide Asset Backed Certificates
|
|
|
|
|
|
|
FRB Ser. 06-6, Class 2A3, 0.493s, 2036
(F)
|
|
|
|
9,381,000
|
3,775,853
|
|
FRB Ser. 07-3, Class 2A2, 0.383s, 2047
|
|
|
|
1,957,000
|
1,482,574
|
|
FRB Ser. 07-8, Class 2A2, 0.343s, 2037
|
|
|
|
4,125,000
|
3,289,688
|
|
FRB Ser. 06-25, Class 2A2, 0.333s, 2047
|
|
|
|
1,900,000
|
1,724,250
|
|
FRB Ser. 07-1, Class 2A2, 0.313s, 2037
|
|
|
|
2,985,000
|
2,417,850
|
|
|
Credit-Based Asset Servicing and Securitization FRB Ser. 07-CB1, Class AF1A, 0.283s, 2037
|
|
|
|
1,184,829
|
390,994
|
|
|
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038
|
|
|
|
889,292
|
17,786
|
|
|
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.363s, 2036
|
|
|
|
2,540,000
|
1,498,600
|
|
|
Fremont Home Loan Trust FRB Ser. 06-2, Class 2A3, 0.383s, 2036
|
|
|
|
589,000
|
366,956
|
|
|
Granite Mortgages PLC
|
|
|
|
|
|
|
FRB Ser. 03-2, Class 2C1, 3.888s, 2043
(F)
|
|
|
EUR
|
2,785,000
|
1,952,626
|
|
FRB Ser. 03-2, Class 3C, 3.369s, 2043
(F)
|
|
|
GBP
|
1,337,631
|
937,845
|
|
|
Green Tree Financial Corp.
|
|
|
|
|
|
|
Ser. 94-6, Class B2, 9s, 2020
|
|
|
|
$1,682,107
|
1,177,475
|
|
Ser. 94-4, Class B2, 8.6s, 2019
|
|
|
|
627,569
|
326,219
|
|
Ser. 93-1, Class B, 8.45s, 2018
|
|
|
|
357,715
|
282,618
|
|
Ser. 96-6, Class M1, 7.95s, 2027
|
|
|
|
1,075,000
|
1,085,750
|
|
Ser. 99-5, Class A5, 7.86s, 2029
|
|
|
|
1,971,023
|
1,803,486
|
|
Ser. 96-8, Class M1, 7.85s, 2027
|
|
|
|
754,000
|
735,166
|
|
Ser. 99-5, Class A6, 7 1/2s, 2030
|
|
|
|
1,368,428
|
1,245,269
|
|
Ser. 95-8, Class B1, 7.3s, 2026
|
|
|
|
704,416
|
701,509
|
|
Ser. 95-4, Class B1, 7.3s, 2025
|
|
|
|
726,329
|
690,369
|
|
Ser. 97-6, Class M1, 7.21s, 2029
|
|
|
|
1,842,000
|
1,584,516
|
|
Ser. 95-F, Class B2, 7.1s, 2021
|
|
|
|
19,902
|
19,581
|
|
Ser. 98-2, Class A6, 6.81s, 2028
|
|
|
|
522,892
|
542,900
|
|
Ser. 99-3, Class A7, 6.74s, 2031
|
|
|
|
1,380,696
|
1,380,696
|
|
Ser. 99-2, Class A7, 6.44s, 2030
|
|
|
|
211,724
|
216,902
|
|
Ser. 99-1, Class A6, 6.37s, 2025
|
|
|
|
23,734
|
24,564
|
|
Ser. 98-4, Class A5, 6.18s, 2030
|
|
|
|
630,524
|
656,343
|
|
|
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031
|
|
|
|
2,641,818
|
2,702,910
|
|
|
GSAA Home Equity Trust
|
|
|
|
|
|
|
FRB Ser. 05-15, Class 2A2, 0.463s, 2036
|
|
|
|
1,803,526
|
1,279,077
|
|
FRB Ser. 05-11, Class 3A4, 0.463s, 2035
|
|
|
|
3,146,818
|
2,611,859
|
|
FRB Ser. 06-19, Class A3A, 0.453s, 2036
|
|
|
|
1,106,265
|
613,977
|
|
FRB Ser. 06-8, Class 2A2, 0.393s, 2036
|
|
|
|
20,693,203
|
10,760,466
|
|
FRB Ser. 06-11, Class 2A2, 0.373s, 2036
|
|
|
|
10,497,706
|
5,563,784
|
|
FRB Ser. 06-19, Class A1, 0.303s, 2036
|
|
|
|
3,603,328
|
1,797,520
|
|
FRB Ser. 06-17, Class A1, 0.273s, 2036
|
|
|
|
4,333,232
|
2,123,284
|
|
FRB Ser. 06-8, Class 2A1, 0.273s, 2036
|
|
|
|
4,055,076
|
1,946,437
|
|
FRB Ser. 06-12, Class A1, 0.263s, 2036
|
|
|
|
4,461,048
|
2,294,317
|
|
FRB Ser. 07-3, Class 2A1A, 0.227s, 2047
|
|
|
|
2,821,463
|
1,537,698
|
|
|
GSAMP Trust FRB Ser. 07-HE2, Class A2A, 0.333s, 2047
|
|
|
|
902,476
|
853,291
|
|
|
GSMPS Mortgage Loan Trust FRB Ser. 05-14, Class 2A2, 0.463s, 2035
|
|
|
|
9,143,398
|
6,491,813
|
|
|
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.213s, 2030
|
|
|
|
760,338
|
32,314
|
|
|
Lehman XS Trust
|
|
|
|
|
|
|
FRB Ser. 07-3, Class 1BA2, 6.17s, 2037
|
|
|
|
1,938,513
|
886,870
|
|
FRB Ser. 07-1, Class 1A3, 0.333s, 2037
|
|
|
|
9,725,037
|
4,189,838
|
|
|
Long Beach Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-4, Class 2A4, 0.473s, 2036
|
|
|
|
233,177
|
87,890
|
|
FRB Ser. 06-WL1, Class 2A3, 0.453s, 2046
|
|
|
|
2,005,230
|
1,393,635
|
|
|
Madison Avenue Manufactured Housing Contract FRB Ser. 02-A, Class B1, 3.463s, 2032
|
|
|
|
2,417,781
|
2,260,625
|
|
|
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.383s, 2037
|
|
|
|
2,663,017
|
1,517,919
|
|
|
Mid-State Trust Ser. 11, Class B, 8.221s, 2038
|
|
|
|
192,872
|
186,312
|
|
|
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.413s, 2034
|
|
|
|
106,828
|
24,681
|
|
|
Novastar Home Equity Loan
|
|
|
|
|
|
|
FRB Ser. 06-1, Class A2C, 0.373s, 2036
|
|
|
|
238,137
|
127,099
|
|
FRB Ser. 06-2, Class A2C, 0.363s, 2036
|
|
|
|
298,000
|
171,110
|
|
|
Oakwood Mortgage Investors, Inc.
|
|
|
|
|
|
|
Ser. 00-A, Class A3, 7.945s, 2022
|
|
|
|
43,096
|
34,489
|
|
Ser. 99-D, Class A1, 7.84s, 2029
|
|
|
|
1,375,983
|
1,309,334
|
|
Ser. 95-B, Class B1, 7.55s, 2021
|
|
|
|
288,472
|
211,336
|
|
Ser. 00-D, Class A4, 7.4s, 2030
|
|
|
|
3,221,203
|
2,195,453
|
|
Ser. 02-B, Class A4, 7.09s, 2032
|
|
|
|
694,320
|
709,557
|
|
Ser. 99-B, Class A4, 6.99s, 2026
|
|
|
|
1,323,836
|
1,323,836
|
|
Ser. 02-A, Class A4, 6.97s, 2032
|
|
|
|
92,041
|
92,185
|
|
Ser. 01-D, Class A4, 6.93s, 2031
|
|
|
|
1,100,199
|
905,946
|
|
Ser. 01-E, Class A4, 6.81s, 2031
|
|
|
|
2,049,272
|
1,835,379
|
|
Ser. 99-B, Class A3, 6.45s, 2017
|
|
|
|
307,927
|
301,191
|
|
Ser. 01-C, Class A2, 5.92s, 2017
|
|
|
|
1,829,455
|
1,006,200
|
|
Ser. 02-C, Class A1, 5.41s, 2032
|
|
|
|
2,313,151
|
2,220,625
|
|
Ser. 01-E, Class A2, 5.05s, 2031
|
|
|
|
1,465,826
|
1,179,990
|
|
Ser. 02-A, Class A2, 5.01s, 2020
|
|
|
|
372,415
|
344,306
|
|
|
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030
|
|
|
|
346,632
|
336,233
|
|
|
Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1, Class A2, 0.373s, 2037
|
|
|
|
293,000
|
190,620
|
|
|
Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 0.673s, 2031
|
|
|
|
2,299,081
|
1,810,827
|
|
|
SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.423s, 2036
|
|
|
|
2,389,000
|
897,906
|
|
|
Soundview Home Equity Loan Trust FRB Ser. 06-OPT3, Class 2A3, 0.383s, 2036
|
|
|
|
240,000
|
190,143
|
|
|
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038
|
|
|
|
942,275
|
113,073
|
|
|
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037
|
|
|
|
756,000
|
378,000
|
|
|
|
Total asset-backed securities (cost $123,550,179)
|
$119,137,295
|
|
|
FOREIGN GOVERNMENT BONDS AND NOTES (8.5%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Argentina (Republic of) sr. unsec. bonds 7s, 2017
|
|
|
|
$1,265,000
|
$1,138,500
|
|
|
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013
|
|
|
|
1,136,000
|
1,151,779
|
|
|
Argentina (Republic of) sr. unsec. bonds FRB 0.45s, 2013
|
|
|
|
3,113,000
|
725,173
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015
|
|
|
|
10,425,000
|
9,809,612
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012
|
|
|
ARS
|
4,110,000
|
1,015,356
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds FRB 0.467s, 2012
|
|
|
|
$43,339,000
|
10,390,525
|
|
|
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033
|
|
|
|
2,758,017
|
2,406,369
|
|
|
Banco Nacional de Desenvolvimento Economico e Social 144A notes 5 1/2s, 2020 (Brazil)
|
|
|
|
170,000
|
173,655
|
|
|
Banco Nacional de Desenvolvimento Economico e Social 144A sr. unsec. unsub. notes 6.369s, 2018 (Brazil)
|
|
|
|
175,000
|
189,875
|
|
|
Brazil (Federal Republic of) notes 10s, 2017
|
|
|
BRL
|
3,500
|
2,071,918
|
|
|
Brazil (Federal Republic of) unsub. notes 10s, 2014
|
|
|
BRL
|
2,365
|
1,465,362
|
|
|
Chile (Republic of) notes 5 1/2s, 2020
|
|
|
CLP
|
397,500,000
|
875,993
|
|
|
Colombia (Government of) bonds 6 1/8s, 2041
|
|
|
|
$1,000,000
|
1,050,000
|
|
|
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
620,000
|
630,632
|
|
|
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013
|
|
|
INR
|
53,200,000
|
1,132,824
|
|
|
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017
|
|
|
|
$1,590,000
|
1,785,809
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041
|
|
|
|
470,000
|
497,548
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
210,000
|
217,875
|
|
|
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019
|
|
|
|
1,305,000
|
1,882,658
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038
|
|
|
|
920,000
|
1,122,400
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 7/8s, 2018
|
|
|
|
750,000
|
859,688
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014
|
|
|
|
460,000
|
509,248
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037
|
|
|
|
1,555,000
|
1,670,754
|
|
|
Industrial Bank of Korea 144A sr. notes 7 1/8s, 2014
|
|
|
|
1,475,000
|
1,663,495
|
|
|
Iraq (Republic of) 144A bonds 5.8s, 2028
|
|
|
|
1,275,000
|
1,164,075
|
|
|
Peru (Republic of) bonds 6.95s, 2031
|
|
|
PEN
|
5,885,000
|
1,942,731
|
|
|
Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020
|
|
|
|
$1,350,000
|
1,555,875
|
|
|
Philippines (Republic of) sr. unsec. unsub. bonds 6 3/8s, 2034
|
|
|
|
1,800,000
|
1,875,780
|
|
|
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
57,955
|
67,829
|
|
|
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
4,854,986
|
5,682,129
|
|
|
South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019
|
|
|
|
950,000
|
1,105,325
|
|
|
Sri Lanka (Republic of) 144A notes 7.4s, 2015
|
|
|
|
440,000
|
482,218
|
|
|
Turkey (Republic of) bonds 16s, 2012
|
|
|
TRY
|
385,000
|
269,224
|
|
|
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019
|
|
|
|
$815,000
|
966,492
|
|
|
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017
|
|
|
|
4,335,000
|
5,086,949
|
|
|
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017
|
|
|
|
425,000
|
449,438
|
|
|
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012
|
|
|
|
400,000
|
412,164
|
|
|
Ukraine (Government of) 144A bonds 7 3/4s, 2020
|
|
|
|
2,910,000
|
3,040,950
|
|
|
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021
|
|
|
|
2,380,000
|
2,486,743
|
|
|
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013
|
|
|
|
790,000
|
842,535
|
|
|
Venezuela (Republic of) bonds 8 1/2s, 2014
|
|
|
|
310,000
|
291,381
|
|
|
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027
|
|
|
|
300,000
|
217,800
|
|
|
Venezuela (Republic of) unsec. notes 10 3/4s, 2013
|
|
|
|
2,510,000
|
2,555,582
|
|
|
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018
|
|
|
|
2,215,000
|
2,132,646
|
|
|
|
Total foreign government bonds and notes (cost $70,819,702)
|
$77,064,914
|
|
|
SENIOR LOANS (3.1%)
(a)
(c)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (0.2%)
|
|
|
American Rock Salt Co., LLC / American Rock Capital Corp. bank term loan FRN 5 1/2s, 2017
|
|
|
|
$115,000
|
$115,863
|
|
|
Georgia-Pacific, LLC bank term loan FRN Ser. B2, 2.307s, 2012
|
|
|
|
189,141
|
189,088
|
|
|
Ineos Holdings, Ltd. bank term loan FRN Ser. B2, 7.501s, 2013 (United Kingdom)
|
|
|
|
203,780
|
210,657
|
|
|
Ineos Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014 (United Kingdom)
|
|
|
|
216,220
|
223,518
|
|
|
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013
|
|
|
|
372,086
|
368,272
|
|
|
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017
|
|
|
|
205,000
|
205,838
|
|
|
Smurfit-Stone Container Enterprises, Inc. bank term loan FRN 6 3/4s, 2016
|
|
|
|
151,051
|
151,051
|
|
|
Styron Corp. bank term loan FRN 6s, 2017
|
|
|
|
395,000
|
398,535
|
|
|
Univar, Inc. bank term loan FRN Ser. B, 5s, 2017
|
|
|
|
205,000
|
206,412
|
|
|
|
|
2,069,234
|
|
Communication services (0.4%)
|
|
|
CCO Holdings, LLC / CCO Holdings Capital Corp. bank term loan FRN 2.711s, 2014
|
|
|
|
400,000
|
394,500
|
|
|
Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014
|
|
|
|
173,126
|
175,636
|
|
|
Charter Communications, Inc. bank term loan FRN Ser. C, 3.56s, 2016
|
|
|
|
1,466,537
|
1,464,924
|
|
|
Insight Midwest, LP bank term loan FRN Ser. B, 2.021s, 2014
|
|
|
|
224,114
|
221,814
|
|
|
Intelsat Jackson Holdings SA bank term loan FRN 3.285s, 2014 (Luxembourg)
|
|
|
|
885,000
|
864,811
|
|
|
Level 3 Communications, Inc. bank term loan FRN 2.533s, 2014
|
|
|
|
379,000
|
372,900
|
|
|
Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014
|
|
|
|
185,000
|
197,488
|
|
|
|
|
3,692,073
|
|
Consumer cyclicals (1.3%)
|
|
|
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016
|
|
|
|
1,037,400
|
1,057,715
|
|
|
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017
|
|
|
|
114,713
|
114,458
|
|
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.303s, 2016
|
|
|
|
625,000
|
585,677
|
|
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3.303s, 2016
|
|
|
|
724,196
|
678,028
|
|
|
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017
|
|
|
|
595,000
|
601,843
|
|
|
Cedar Fair LP bank term loan FRN 4s, 2017
|
|
|
|
181,720
|
183,309
|
|
|
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.46s, 2014
|
|
|
|
672,550
|
646,628
|
|
|
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.861s, 2016
|
|
|
|
1,003,622
|
893,502
|
|
|
Compucom Systems, Inc. bank term loan FRN 3.72s, 2014
|
|
|
|
202,139
|
195,570
|
|
|
Dex Media West, LLC bank term loan FRN Ser. A, 7s, 2014
|
|
|
|
308,950
|
276,896
|
|
|
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/2s, 2018
|
|
|
|
420,000
|
422,415
|
|
|
Federal Mogul Corp. bank term loan FRN Ser. B, 2.173s, 2014
|
|
|
|
164,689
|
160,392
|
|
|
Federal Mogul Corp. bank term loan FRN Ser. C, 2.151s, 2015
|
|
|
|
84,025
|
81,833
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.47s, 2014
|
|
|
|
425,048
|
183,169
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.22s, 2014
|
|
|
|
454,999
|
196,076
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.22s, 2014
|
|
|
|
169,776
|
73,163
|
|
|
Golden Nugget, Inc. bank term loan FRN 2.22s, 2014
(PIK)
|
|
|
|
113,474
|
99,006
|
|
|
Golden Nugget, Inc. bank term loan FRN Ser. B, 2.22s, 2014
(PIK)
|
|
|
|
199,342
|
173,926
|
|
|
Goodman Global, Inc. bank term loan FRN 9s, 2017
|
|
|
|
286,000
|
295,533
|
|
|
Goodman Global, Inc. bank term loan FRN Ser. 1st, 5 3/4s, 2016
|
|
|
|
570,135
|
574,319
|
|
|
Michaels Stores, Inc. bank term loan FRN Ser. B, 2.584s, 2013
|
|
|
|
210,712
|
208,656
|
|
|
National Bedding Co., LLC bank term loan FRN Ser. B, 3.813s, 2013
|
|
|
|
150,380
|
150,380
|
|
|
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017
|
|
|
|
135,000
|
135,759
|
|
|
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014
|
|
|
|
1,334,318
|
1,047,440
|
|
|
Realogy Corp. bank term loan FRN Ser. B, 4.562s, 2016
|
|
|
|
800,784
|
751,450
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.763s, 2014
|
|
|
|
527,887
|
519,026
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.72s, 2014
|
|
|
|
52,590
|
51,707
|
|
|
Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016
|
|
|
|
493,442
|
496,423
|
|
|
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)
(NON)
|
|
|
|
670,438
|
465,954
|
|
|
Univision Communications, Inc. bank term loan FRN 4.461s, 2017
|
|
|
|
345,227
|
337,783
|
|
|
|
|
11,658,036
|
|
Consumer staples (0.4%)
|
|
|
Claire's Stores, Inc. bank term loan FRN 3.058s, 2014
|
|
|
|
437,394
|
413,993
|
|
|
Del Monte Foods Co. bank term loan FRN Ser. B, 4 1/2s, 2018
|
|
|
|
260,000
|
261,055
|
|
|
Revlon Consumer Products bank term loan FRN 6s, 2015
|
|
|
|
2,217,600
|
2,226,956
|
|
|
Rite-Aid Corp. bank term loan FRN Ser. B, 1.977s, 2014
|
|
|
|
179,586
|
172,776
|
|
|
West Corp. bank term loan FRN Ser. B2, 2.732s, 2013
|
|
|
|
44,736
|
44,526
|
|
|
West Corp. bank term loan FRN Ser. B5, 4.607s, 2016
|
|
|
|
108,804
|
109,688
|
|
|
|
|
3,228,994
|
|
Energy (0.1%)
|
|
|
EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.213s, 2012
|
|
|
|
404,000
|
395,920
|
|
|
Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013
|
|
|
|
281,194
|
277,227
|
|
|
MEG Energy Corp. bank term loan FRN Ser. B, 4s, 2018 (Canada)
|
|
|
|
265,000
|
267,208
|
|
|
|
|
940,355
|
|
Financials (0.1%)
|
|
|
AGFS Funding Co. bank term loan FRN 7 1/4s, 2015
|
|
|
|
250,000
|
250,174
|
|
|
Fifth Third Processing Solutions, Inc. bank term loan FRN 8 1/4s, 2017
|
|
|
|
100,000
|
102,083
|
|
|
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014
|
|
|
|
164,495
|
164,207
|
|
|
|
|
516,464
|
|
Health care (0.5%)
|
|
|
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015
|
|
|
|
355,308
|
356,493
|
|
|
Axcan Intermediate Holdings, Inc. bank term loan FRN Ser. B, 5 1/2s, 2017
|
|
|
|
154,613
|
154,274
|
|
|
Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain)
|
|
|
|
235,000
|
237,130
|
|
|
Health Management Associates, Inc. bank term loan FRN 2.057s, 2014
|
|
|
|
1,297,704
|
1,277,200
|
|
|
IASIS Healthcare Corp. bank term loan FRN 5.461s, 2014
(PIK)
|
|
|
|
273,559
|
275,542
|
|
|
IASIS Healthcare, LLC bank term loan FRN 7.62s, 2014
|
|
|
|
61,059
|
61,001
|
|
|
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018
|
|
|
|
625,000
|
621,875
|
|
|
IASIS Healthcare, LLC bank term loan FRN Ser. B, 2.211s, 2014
|
|
|
|
643,314
|
642,711
|
|
|
IASIS Healthcare, LLC bank term loan FRN Ser. DD, 2.211s, 2014
|
|
|
|
222,673
|
222,465
|
|
|
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017
|
|
|
|
333,012
|
334,427
|
|
|
|
|
4,183,118
|
|
Technology (0.1%)
|
|
|
Avaya, Inc. bank term loan FRN Ser. B3, 4.811s, 2017
|
|
|
|
177,186
|
173,199
|
|
|
Ceridian Corp. bank term loan FRN 3.248s, 2014
|
|
|
|
306,217
|
299,949
|
|
|
|
|
473,148
|
|
Utilities and power (0.2%)
|
|
|
NRG Energy, Inc. bank term loan FRN 3.557s, 2015
|
|
|
|
337,536
|
336,323
|
|
|
NRG Energy, Inc. bank term loan FRN 2.057s, 2013
|
|
|
|
60,338
|
60,620
|
|
|
NRG Energy, Inc. bank term loan FRN 2.057s, 2013
|
|
|
|
129
|
129
|
|
|
NRG Energy, Inc. bank term loan FRN Ser. B, 3.502s, 2015
|
|
|
|
400,264
|
402,954
|
|
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN Ser. B2, 3.786s, 2014
|
|
|
|
498,295
|
424,298
|
|
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN Ser. B3, 3.761s, 2014
|
|
|
|
361,991
|
308,235
|
|
|
|
|
1,532,559
|
|
|
|
Total senior loans (cost $28,991,134)
|
$28,293,981
|
|
|
CONVERTIBLE BONDS AND NOTES (0.3%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Advanced Micro Devices, Inc. cv. sr. unsec. notes 6s, 2015
|
|
|
|
$534,000
|
$552,023
|
|
|
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016
|
|
|
|
345,000
|
645,771
|
|
|
General Growth Properties, Inc. 144a cv. escrow funding bonds zero %, 2027
(F)
(R)
|
|
|
|
885,000
|
1,106
|
|
|
Meritor, Inc. cv. company guaranty sr. unsec. notes 4s, 2027
|
|
|
|
415,000
|
414,481
|
|
|
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014
|
|
|
|
440,000
|
551,375
|
|
|
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036
|
|
|
|
425,000
|
464,844
|
|
|
|
Total convertible bonds and notes (cost $2,143,869)
|
$2,629,600
|
|
|
PURCHASED OPTIONS OUTSTANDING (0.2%)
(a)
|
|
|
|
Expiration date/
|
|
Contract
|
|
|
|
|
strike price
|
|
amount
|
Value
|
|
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.70175% versus the six month CHF-LIBOR-BBA maturing January 23, 2014.
|
|
Jan-12/1.70175
|
CHF
|
36,660,000
|
$106,957
|
|
|
Option on an interest rate swap with UBS AG for the right to pay a fixed rate of 1.722% versus the six month CHF-LIBOR-BBA maturing January 23, 2014.
|
|
Jan-12/1.722
|
CHF
|
36,660,000
|
102,716
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.578% versus the six month CHF-LIBOR-BBA maturing December 24, 2013.
|
|
Dec-11/1.578
|
CHF
|
36,660,000
|
105,683
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 1.602% versus the six month CHF-LIBOR-BBA maturing December 22, 2013.
|
|
Dec-11/1.602
|
CHF
|
36,660,000
|
98,772
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 4.47% versus the three month USD-LIBOR-BBA maturing August 25, 2041.
|
|
Aug-11/4.47
|
|
$1,370,200
|
77,197
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 4.47% versus the three month USD-LIBOR-BBA maturing August 25, 2041.
|
|
Aug-11/4.47
|
|
1,370,200
|
22,992
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041.
|
|
Aug-11/4.555
|
|
11,420,900
|
756,863
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 4.555% versus the three month USD-LIBOR-BBA maturing August 5, 2041.
|
|
Aug-11/4.555
|
|
11,420,900
|
110,212
|
|
|
Option on an interest rate swap with Barclay's Bank PLC the right to pay a fixed rate of 3.96% versus the three month USD-LIBOR-BBA maturing June 3, 2021.
|
|
Jun-11/3.96
|
|
177,939,400
|
30,249
|
|
|
|
Total purchased options outstanding (cost $3,578,294)
|
$1,411,641
|
|
|
PREFERRED STOCKS (0.1%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd.
|
|
|
|
440
|
$409,283
|
|
|
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.
|
|
|
|
15,000
|
389,400
|
|
|
|
Total preferred stocks (cost $521,180)
|
$798,683
|
|
|
CONVERTIBLE PREFERRED STOCKS (—%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
General Motors Co. Ser. B, $2.375 cv. pfd.
|
|
|
|
9,017
|
$448,596
|
|
|
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default)
(NON)
|
|
|
|
1,477
|
517
|
|
|
|
Total convertible preferred stocks (cost $1,843,036)
|
$449,113
|
|
|
COMMON STOCKS (—%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Bohai Bay Litigation, LLC (Escrow)
(F)
(NON)
|
|
|
|
1,327
|
$4,141
|
|
|
Nortek, Inc.
(NON)
|
|
|
|
1,677
|
72,128
|
|
|
Trump Entertainment Resorts, Inc.
(F)
(NON)
|
|
|
|
224
|
1,120
|
|
|
|
Total common stocks (cost $64,638)
|
$77,389
|
|
|
WARRANTS (—%)
(a)
(NON)
|
|
|
|
Expiration date
|
Strike price
|
Warrants
|
Value
|
|
|
|
|
Charter Communications, Inc. Class A
|
|
11/30/14
|
$46.86
|
117
|
$2,018
|
|
|
Smurfit Kappa Group PLC 144A (Ireland)
(F)
|
EUR
|
10/01/13
|
0.001
|
960
|
67,892
|
|
|
|
Total warrants (cost $35,777)
|
$69,910
|
|
|
SHORT-TERM INVESTMENTS (22.6%)
(a)
|
|
|
|
|
|
Principal amount/shares
|
Value
|
|
|
|
|
Putnam Money Market Liquidity Fund 0.08%
(e)
|
|
|
|
56,515,318
|
$56,515,318
|
|
|
U.S. Treasury Bills, for effective yields ranging from 0.20% to 0.22%, November 17, 2011
(SEG)
(SEGSF)
|
|
|
|
$44,879,000
|
44,839,103
|
|
|
U.S. Treasury Bills, for effective yields ranging from 0.23% to 0.26%, October 20, 2011
(SEG)
(SEGSF)
|
|
|
|
41,191,000
|
41,151,457
|
|
|
U.S. Treasury Bills, for effective yields ranging from 0.19% to 0.24%, August 25, 2011
(SEG)
(SEGSF)
|
|
|
|
5,569,000
|
5,564,639
|
|
|
U.S. Treasury Bills, for effective yields ranging from 0.22% to 0.24%, July 28, 2011
(SEG)
(SEGSF)
|
|
|
|
25,239,000
|
25,236,476
|
|
|
U.S. Treasury Bills, for effective yields ranging from 0.20% to 0.21%, June 2, 2011
(SEG)
(SEGSF)
|
|
|
|
32,787,000
|
32,781,017
|
|
|
|
Total short-term investments (cost $206,055,278)
|
$206,088,010
|
|
|
TOTAL INVESTMENTS
|
|
|
|
Total investments (cost $1,051,213,954)
(b)
|
$1,076,510,961
|
|