|
|
|
|
|
|
|
|
Putnam Premier Income Trust
|
|
|
The fund's portfolio
|
|
10/31/11 (Unaudited)
|
|
|
CORPORATE BONDS AND NOTES (31.9%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (2.7%)
|
|
|
Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017
|
|
|
|
$602,000
|
$547,788
|
|
|
Atkore International, Inc. 144A sr. notes 9 7/8s, 2018
|
|
|
|
415,000
|
416,038
|
|
|
Catalyst Paper Corp. 144A company guaranty sr. notes 11s, 2016 (Canada)
|
|
|
|
62,000
|
35,960
|
|
|
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany)
|
|
|
|
620,000
|
669,600
|
|
|
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)
|
|
|
|
430,000
|
456,875
|
|
|
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.34711s, 2013 (Netherlands)
|
|
|
|
165,000
|
153,450
|
|
|
Dynacast International, LLC/Dynacast Finance, Inc. 144A notes 9 1/4s, 2019
|
|
|
|
140,000
|
128,800
|
|
|
Exopack Holding Corp. 144A sr. notes 10s, 2018
|
|
|
|
345,000
|
338,100
|
|
|
Ferro Corp. sr. unsec. notes 7 7/8s, 2018
|
|
|
|
650,000
|
656,500
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia)
|
|
|
|
657,000
|
659,464
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)
|
|
|
|
420,000
|
401,925
|
|
|
Georgia-Pacific, LLC 144A company guaranty 7 1/8s, 2017
|
|
|
|
135,000
|
143,163
|
|
|
Grohe Holding GmbH 144A company guaranty sr. notes FRN 5.528s, 2017 (Germany)
|
|
|
EUR
|
721,000
|
928,251
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020
|
|
|
|
$476,000
|
415,310
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
375,000
|
370,313
|
|
|
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021
|
|
|
|
661,000
|
679,178
|
|
|
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom)
|
|
|
EUR
|
270,000
|
377,357
|
|
|
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom)
|
|
|
|
$445,000
|
455,013
|
|
|
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom)
|
|
|
EUR
|
553,000
|
622,196
|
|
|
Kronos International, Inc. sr. notes 6 1/2s, 2013 (Germany)
|
|
|
EUR
|
678,400
|
933,558
|
|
|
Lyondell Chemical Co. company guaranty sr. notes 8s, 2017
|
|
|
|
$1,008,000
|
1,134,000
|
|
|
Lyondell Chemical Co. sr. notes 11s, 2018
|
|
|
|
2,150,000
|
2,394,563
|
|
|
Momentive Performance Materials, Inc. notes 9s, 2021
|
|
|
|
691,000
|
583,895
|
|
|
NewPage Corp. company guaranty sr. notes 11 3/8s, 2014 (In default)
(NON)
|
|
|
|
240,000
|
179,400
|
|
|
Nexeo Solutions, LLC/Nexeo Solutions Finance Corp. 144A company guaranty sr. sub. notes 8 3/8s, 2018
|
|
|
|
140,000
|
140,000
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020
|
|
|
|
500,000
|
545,000
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 7 1/4s, 2015
|
|
|
|
546,000
|
546,000
|
|
|
PE Paper Escrow GmbH sr. notes Ser. REGS, 11 3/4s, 2014 (Austria)
|
|
|
EUR
|
834,000
|
1,231,982
|
|
|
PE Paper Escrow GmbH 144A sr. notes 12s, 2014 (Austria)
|
|
|
|
$125,000
|
135,625
|
|
|
Pregis Corp. company guaranty notes FRN 6.572s, 2013
|
|
|
EUR
|
80,000
|
106,290
|
|
|
Pregis Corp. company guaranty sr. sub. notes 12 3/8s, 2013
|
|
|
|
$255,000
|
232,050
|
|
|
Rockwood Specialties Group, Inc. company guaranty sr. unsec. sub. notes 7 5/8s, 2014
|
|
|
EUR
|
130,000
|
180,681
|
|
|
Sealed Air Corp. 144A sr. unsec. notes 8 3/8s, 2021
|
|
|
|
$185,000
|
200,263
|
|
|
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.785s, 2015 (Germany)
|
|
|
EUR
|
339,000
|
451,390
|
|
|
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland)
|
|
|
|
$259,000
|
259,000
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017
|
|
|
|
341,000
|
371,264
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
732,000
|
775,920
|
|
|
Steel Dynamics, Inc. company guaranty sr. unsec. unsub. notes 7 3/8s, 2012
|
|
|
|
98,000
|
101,553
|
|
|
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
550,000
|
578,875
|
|
|
Styrolution GmbH 144A sr. notes 7 5/8s, 2016 (Germany)
|
|
|
EUR
|
245,000
|
272,131
|
|
|
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada)
|
|
|
|
$291,000
|
340,819
|
|
|
Thompson Creek Metals Co., Inc. 144A company guaranty sr. notes 7 3/8s, 2018 (Canada)
|
|
|
|
240,000
|
199,800
|
|
|
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017
|
|
|
|
456,000
|
461,700
|
|
|
Tube City IMS Corp. company guaranty sr. unsec. sub. notes 9 3/4s, 2015
|
|
|
|
502,000
|
499,490
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019
|
|
|
|
200,000
|
144,000
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. sr. notes 11 1/2s, 2014
|
|
|
|
494,000
|
518,700
|
|
|
|
|
21,973,230
|
|
Capital goods (1.8%)
|
|
|
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016
|
|
|
|
466,000
|
477,650
|
|
|
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016
|
|
|
|
225,000
|
234,563
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014
|
|
|
|
244,000
|
240,340
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017
|
|
|
|
80,000
|
81,000
|
|
|
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017
|
|
|
|
185,000
|
201,650
|
|
|
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)
|
|
|
EUR
|
100,000
|
120,266
|
|
|
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
190,000
|
265,046
|
|
|
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
130,000
|
181,347
|
|
|
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020
|
|
|
|
$689,000
|
744,120
|
|
|
Berry Plastics Corp. company guaranty notes FRN 0.447s, 2014
|
|
|
|
450,000
|
420,750
|
|
|
Berry Plastics Corp. company guaranty sr. notes 9 1/2s, 2018
|
|
|
|
225,000
|
227,250
|
|
|
Berry Plastics Corp. notes 9 3/4s, 2021
|
|
|
|
56,000
|
56,000
|
|
|
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020
|
|
|
|
345,000
|
351,900
|
|
|
Crown Americas, LLC/Crown Americas Capital Corp. III 144A sr. notes 6 1/4s, 2021
|
|
|
|
330,000
|
346,500
|
|
|
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)
|
|
|
EUR
|
100,000
|
142,985
|
|
|
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017
|
|
|
|
$889,000
|
920,115
|
|
|
Kratos Defense & Security Solutions, Inc. 144A company guaranty sr. notes 10s, 2017
|
|
|
|
81,000
|
83,835
|
|
|
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)
|
|
|
|
860,000
|
1,059,763
|
|
|
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020
|
|
|
|
57,000
|
60,705
|
|
|
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016
|
|
|
|
587,000
|
587,000
|
|
|
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017
|
|
|
|
265,000
|
270,300
|
|
|
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom)
|
|
|
EUR
|
350,000
|
449,033
|
|
|
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France)
|
|
|
EUR
|
593,000
|
867,485
|
|
|
Reynolds Group DL Escrow, Inc./Reynolds Group Escrow, LLC 144A company guaranty sr. notes 8 3/4s, 2016
|
|
|
EUR
|
843,000
|
1,210,155
|
|
|
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019
|
|
|
|
$310,000
|
316,200
|
|
|
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019
|
|
|
|
185,000
|
178,525
|
|
|
Reynolds Group Issuer, Inc. 144A sr. notes 6 7/8s, 2021 (New Zealand)
|
|
|
|
100,000
|
101,000
|
|
|
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/4s, 2021 (New Zealand)
|
|
|
|
120,000
|
110,100
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019
|
|
|
|
150,000
|
156,750
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019
|
|
|
|
150,000
|
150,000
|
|
|
Ryerson, Inc. company guaranty sr. notes 12s, 2015
|
|
|
|
777,000
|
792,540
|
|
|
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018
|
|
|
|
345,000
|
362,250
|
|
|
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
|
134,603
|
|
|
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017
|
|
|
|
742,000
|
745,710
|
|
|
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017
|
|
|
|
273,000
|
294,840
|
|
|
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018
|
|
|
|
665,000
|
721,525
|
|
|
Zinc Capital SA 144A sr. notes 8 7/8s, 2018 (Luxembourg)
|
|
|
EUR
|
250,000
|
268,002
|
|
|
|
|
14,270,053
|
|
Communication services (4.0%)
|
|
|
AMC Networks, Inc. 144A company guaranty sr. unsec notes 7 3/4s, 2021
|
|
|
|
$200,000
|
217,000
|
|
|
Bresnan Broadband Holdings, LLC 144A company guaranty sr. unsec. unsub. notes 8s, 2018
|
|
|
|
170,000
|
176,800
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 8 5/8s, 2017
|
|
|
|
200,000
|
217,000
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020
|
|
|
|
400,000
|
422,000
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
145,000
|
154,425
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021
|
|
|
|
449,000
|
449,000
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019
|
|
|
|
403,000
|
418,113
|
|
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017
|
|
|
|
347,000
|
362,615
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015
|
|
|
|
195,000
|
195,975
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018
|
|
|
|
620,000
|
595,200
|
|
|
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015
|
|
|
|
1,445,000
|
1,235,475
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020
|
|
|
|
550,000
|
470,250
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015
|
|
|
|
870,000
|
883,050
|
|
|
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016
|
|
|
|
1,110,000
|
1,151,625
|
|
|
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019
|
|
|
|
160,000
|
173,200
|
|
|
CSC Holdings, LLC sr. unsec. notes 6 3/4s, 2012
|
|
|
|
196,000
|
198,940
|
|
|
CSC Holdings, LLC sr. unsec. unsub. notes 8 1/2s, 2014
|
|
|
|
285,000
|
312,788
|
|
|
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)
|
|
|
|
755,000
|
770,100
|
|
|
EH Holding Corp. 144A sr. notes 6 1/2s, 2019
|
|
|
|
488,000
|
498,980
|
|
|
EH Holding Corp. 144A sr. unsec. notes 7 5/8s, 2021
|
|
|
|
594,000
|
614,790
|
|
|
Equinix, Inc. sr. unsec. notes 7s, 2021
|
|
|
|
305,000
|
323,300
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017
|
|
|
|
140,000
|
149,450
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018
|
|
|
|
1,586,000
|
1,679,178
|
|
|
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom)
|
|
|
|
979,000
|
1,047,530
|
|
|
Intelsat Jackson Holdings SA 144A company guaranty sr. notes 7 1/2s, 2021 (Bermuda)
|
|
|
|
491,000
|
493,455
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
2,168,562
|
2,168,562
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg)
|
|
|
|
586,000
|
581,605
|
|
|
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
310,000
|
310,000
|
|
|
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany)
|
|
|
EUR
|
305,000
|
438,108
|
|
|
Kabel Deutchland GmbH 144A sr. notes 6 1/2s, 2018 (Germany)
(PIK)
|
|
|
EUR
|
245,000
|
350,475
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019
|
|
|
|
$285,000
|
297,825
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2014
|
|
|
|
529,000
|
540,241
|
|
|
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019
|
|
|
|
$85,000
|
84,150
|
|
|
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
131,000
|
137,878
|
|
|
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
945,000
|
959,175
|
|
|
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015
|
|
|
|
234,000
|
223,470
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016
|
|
|
|
839,000
|
943,875
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021
|
|
|
|
195,000
|
202,069
|
|
|
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017
|
|
|
|
616,000
|
665,280
|
|
|
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
371,000
|
408,100
|
|
|
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
410,000
|
550,465
|
|
|
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014
|
|
|
|
$359,000
|
362,590
|
|
|
Qwest Communications International, Inc. company guaranty Ser. B, 7 1/2s, 2014
|
|
|
|
140,000
|
141,400
|
|
|
Qwest Corp. sr. unsec. notes 7 1/2s, 2014
|
|
|
|
145,000
|
159,500
|
|
|
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025
|
|
|
|
382,000
|
383,910
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019
|
|
|
|
235,000
|
256,738
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016
|
|
|
|
405,000
|
435,375
|
|
|
Sprint Capital Corp. company guaranty 8 3/4s, 2032
|
|
|
|
79,000
|
65,570
|
|
|
Sprint Capital Corp. company guaranty 6 7/8s, 2028
|
|
|
|
110,000
|
80,300
|
|
|
Sprint Capital Corp. company guaranty sr. unsec. notes 8 3/8s, 2012
|
|
|
|
145,000
|
146,450
|
|
|
Sprint Nextel Corp. sr. notes 8 3/8s, 2017
|
|
|
|
2,450,000
|
2,254,000
|
|
|
Sprint Nextel Corp. sr. unsec. notes 6s, 2016
|
|
|
|
330,000
|
287,100
|
|
|
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg)
|
|
|
EUR
|
145,000
|
200,293
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
CHF
|
160,000
|
189,563
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
EUR
|
100,000
|
142,687
|
|
|
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)
|
|
|
EUR
|
678,000
|
1,002,947
|
|
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany)
|
|
|
EUR
|
489,000
|
715,563
|
|
|
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
EUR
|
677,000
|
984,278
|
|
|
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom)
|
|
|
GBP
|
79,000
|
137,721
|
|
|
Wind Acquisition Finance SA sr. notes Ser. REGS, 11 3/4s, 2017 (Netherlands)
|
|
|
EUR
|
110,000
|
153,014
|
|
|
Wind Acquisition Finance SA 144A company guaranty sr. notes 7 3/8s, 2018 (Netherlands)
|
|
|
EUR
|
760,000
|
1,002,512
|
|
|
Wind Acquisition Holding company guaranty sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg)
(PIK)
|
|
|
EUR
|
497,000
|
635,406
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
|
|
|
|
$140,000
|
149,800
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017
|
|
|
|
584,000
|
630,720
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021
|
|
|
|
254,000
|
264,795
|
|
|
|
|
32,853,749
|
|
Conglomerates (—%)
|
|
|
SPX Corp. sr. unsec. notes 7 5/8s, 2014
|
|
|
|
270,000
|
291,600
|
|
|
|
|
291,600
|
|
Consumer cyclicals (5.6%)
|
|
|
Academy Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019
|
|
|
|
60,000
|
60,300
|
|
|
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015
|
|
|
|
50,000
|
40,875
|
|
|
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
955,000
|
838,013
|
|
|
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015
|
|
|
|
560,000
|
501,200
|
|
|
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020
|
|
|
|
410,000
|
397,700
|
|
|
AMC Entertainment, Inc. sr. sub. notes 8s, 2014
|
|
|
|
68,000
|
67,320
|
|
|
American Casino & Entertainment Properties LLC sr. notes 11s, 2014
|
|
|
|
551,000
|
548,245
|
|
|
Ameristar Casinos, Inc. 144A sr. notes 7 1/2s, 2021
|
|
|
|
390,000
|
399,750
|
|
|
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016
(PIK)
|
|
|
|
167,000
|
173,263
|
|
|
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018
|
|
|
|
600,000
|
622,500
|
|
|
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015
|
|
|
|
172,000
|
141,685
|
|
|
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
164,000
|
116,440
|
|
|
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014
|
|
|
|
675,000
|
599,063
|
|
|
Brickman Group Holdings, Inc. 144A sr. notes 9 1/8s, 2018
|
|
|
|
117,000
|
106,470
|
|
|
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020
|
|
|
|
235,000
|
251,450
|
|
|
Building Materials Corp. 144A sr. notes 7s, 2020
|
|
|
|
140,000
|
148,400
|
|
|
Building Materials Corp. 144A sr. notes 6 7/8s, 2018
|
|
|
|
180,000
|
187,200
|
|
|
Building Materials Corp. 144A sr. notes 6 3/4s, 2021
|
|
|
|
360,000
|
373,500
|
|
|
Burlington Coat Factory Warehouse Corp. 144A company guaranty sr. unsec. notes 10s, 2019
|
|
|
|
320,000
|
316,800
|
|
|
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018
|
|
|
|
1,150,000
|
866,813
|
|
|
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017
|
|
|
|
845,000
|
904,150
|
|
|
Carlson Wagonlit BV company guaranty sr. notes FRN Ser. REGS, 7.36s, 2015 (Netherlands)
|
|
|
EUR
|
506,000
|
577,689
|
|
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018
|
|
|
|
$170,000
|
184,450
|
|
|
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
265,000
|
229,888
|
|
|
Cenveo Corp. 144A company guaranty sr. unsec. notes 10 1/2s, 2016
|
|
|
|
265,000
|
225,250
|
|
|
Chrysler Group, LLC/CG Co-Issuer, Inc. 144A company guaranty sr. notes 8 1/4s, 2021
|
|
|
|
705,000
|
641,550
|
|
|
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021
|
|
|
|
100,000
|
99,750
|
|
|
CityCenter Holdings LLC/CityCenter Finance Corp. 144A company guaranty sr. notes 10 3/4s, 2017
(PIK)
|
|
|
|
661,850
|
681,706
|
|
|
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021
|
|
|
|
313,000
|
278,570
|
|
|
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016
|
|
|
|
214,000
|
156,220
|
|
|
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017
|
|
|
|
1,083,000
|
1,175,055
|
|
|
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015
|
|
|
|
305,000
|
308,050
|
|
|
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands)
|
|
|
EUR
|
708,000
|
981,158
|
|
|
Cumulus Media, Inc. 144A sr. notes 7 3/4s, 2019
|
|
|
|
$540,000
|
496,800
|
|
|
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016
|
|
|
|
262,000
|
280,340
|
|
|
DISH DBS Corp. company guaranty 7 1/8s, 2016
|
|
|
|
135,000
|
143,438
|
|
|
DISH DBS Corp. company guaranty 6 5/8s, 2014
|
|
|
|
1,214,000
|
1,265,595
|
|
|
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015
|
|
|
|
274,000
|
294,550
|
|
|
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021
|
|
|
|
443,000
|
457,398
|
|
|
FelCor Lodging Escrow, LP 144A sr. notes 6 3/4s, 2019
(R)
|
|
|
|
695,000
|
641,138
|
|
|
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018
|
|
|
|
890,000
|
904,602
|
|
|
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021
|
|
|
|
250,000
|
265,625
|
|
|
General Motors Financial Co., Inc. 144A sr. notes 6 3/4s, 2018
|
|
|
|
108,000
|
108,989
|
|
|
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015
|
|
|
|
480,000
|
453,600
|
|
|
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico)
|
|
|
|
195,000
|
222,210
|
|
|
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico)
|
|
|
|
260,000
|
290,029
|
|
|
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020
|
|
|
|
407,000
|
411,070
|
|
|
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016
(R)
|
|
|
|
140,000
|
144,900
|
|
|
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018
|
|
|
|
1,007,000
|
1,082,525
|
|
|
Isle of Capri Casinos, Inc. company guaranty 7s, 2014
|
|
|
|
350,000
|
336,000
|
|
|
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019
|
|
|
|
821,000
|
796,370
|
|
|
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark)
|
|
|
EUR
|
698,000
|
949,693
|
|
|
Jarden Corp. company guaranty sr. unsec. sub. notes 7 1/2s, 2017
|
|
|
|
$615,000
|
658,050
|
|
|
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020
|
|
|
EUR
|
75,000
|
98,910
|
|
|
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014
|
|
|
|
$225,000
|
247,500
|
|
|
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016
|
|
|
|
1,760,000
|
1,733,600
|
|
|
Levi Strauss & Co. sr. unsec. notes 8 7/8s, 2016
|
|
|
|
155,000
|
162,363
|
|
|
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021
|
|
|
|
360,000
|
377,100
|
|
|
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy)
|
|
|
EUR
|
1,747,000
|
2,175,809
|
|
|
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016
|
|
|
|
$460,000
|
517,462
|
|
|
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)
(NON)
|
|
|
|
760,000
|
39,900
|
|
|
Masonite International Corp. 144A company guaranty sr. notes 8 1/4s, 2021 (Canada)
|
|
|
|
125,000
|
123,438
|
|
|
MGM Resorts International company guaranty sr. notes 9s, 2020
|
|
|
|
240,000
|
265,200
|
|
|
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016
|
|
|
|
145,000
|
132,675
|
|
|
MTR Gaming Group, Inc. 144A notes 11 1/2s, 2019
|
|
|
|
1,195,000
|
958,988
|
|
|
Navistar International Corp. sr. notes 8 1/4s, 2021
|
|
|
|
684,000
|
740,430
|
|
|
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019
|
|
|
|
315,000
|
300,825
|
|
|
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018
|
|
|
|
345,000
|
380,363
|
|
|
Nortek, Inc. 144A company guaranty sr. notes 8 1/2s, 2021
|
|
|
|
355,000
|
315,063
|
|
|
Nortek, Inc. 144A company guaranty sr. unsec. notes 10s, 2018
|
|
|
|
266,000
|
260,680
|
|
|
Owens Corning company guaranty sr. unsec. notes 9s, 2019
|
|
|
|
1,248,000
|
1,464,840
|
|
|
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019
|
|
|
|
115,000
|
124,200
|
|
|
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016
|
|
|
|
380,000
|
389,500
|
|
|
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
235,000
|
249,688
|
|
|
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016
|
|
|
|
230,000
|
236,900
|
|
|
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017
|
|
|
|
120,000
|
128,100
|
|
|
Pinnacle Entertainment, Inc. company guaranty sr. unsec. sub. notes 7 1/2s, 2015
|
|
|
|
625,000
|
614,063
|
|
|
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)
(STP)
|
|
|
EUR
|
790,000
|
1,237,306
|
|
|
QVC Inc. 144A sr. notes 7 1/2s, 2019
|
|
|
|
$275,000
|
299,063
|
|
|
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019
|
|
|
|
120,000
|
108,000
|
|
|
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017
|
|
|
|
325,000
|
329,875
|
|
|
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016
|
|
|
|
354,000
|
292,050
|
|
|
Scotts Miracle-Gro Co. (The) 144A sr. notes 6 5/8s, 2020
|
|
|
|
330,000
|
340,725
|
|
|
Sealy Mattress Co. sr. sub. notes 8 1/4s, 2014
|
|
|
|
145,000
|
144,638
|
|
|
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016
|
|
|
|
344,000
|
377,540
|
|
|
Sears Holdings Corp. company guaranty 6 5/8s, 2018
|
|
|
|
323,000
|
278,588
|
|
|
Standard Pacific Corp. company guaranty sr. unsec. unsub. notes 7s, 2015
|
|
|
|
81,000
|
77,760
|
|
|
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016
|
|
|
|
165,000
|
168,300
|
|
|
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016
|
|
|
|
105,000
|
105,788
|
|
|
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017
|
|
|
|
135,000
|
142,594
|
|
|
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017
|
|
|
|
607,000
|
673,770
|
|
|
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013
|
|
|
|
45,000
|
45,788
|
|
|
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016
|
|
|
|
299,000
|
116,610
|
|
|
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014
|
|
|
|
146,000
|
102,200
|
|
|
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016
|
|
|
|
581,000
|
377,650
|
|
|
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014
|
|
|
EUR
|
235,000
|
328,460
|
|
|
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017
|
|
|
|
$800,000
|
868,000
|
|
|
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden)
|
|
|
EUR
|
50,000
|
73,257
|
|
|
Universal City Development Partners, Ltd. company guaranty sr. unsec. notes 8 7/8s, 2015
|
|
|
|
$371,000
|
411,810
|
|
|
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019
|
|
|
|
455,000
|
443,625
|
|
|
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020
|
|
|
|
250,000
|
275,000
|
|
|
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013
|
|
|
|
145,000
|
164,938
|
|
|
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018
|
|
|
|
1,206,000
|
1,299,465
|
|
|
Yankee Candle Co. company guaranty sr. notes Ser. B, 8 1/2s, 2015
|
|
|
|
310,000
|
316,200
|
|
|
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016
(PIK)
|
|
|
|
305,000
|
280,600
|
|
|
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016
|
|
|
|
641,000
|
658,628
|
|
|
|
|
45,779,220
|
|
Consumer staples (1.7%)
|
|
|
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
BRL
|
1,500,000
|
886,589
|
|
|
Archibald Candy Corp. company guaranty sub. notes 10s, 2012 (In default)
(F)
(NON)
|
|
|
|
$170,069
|
5,442
|
|
|
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018
|
|
|
|
275,000
|
287,375
|
|
|
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
730,000
|
737,300
|
|
|
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
432,000
|
463,320
|
|
|
Central Garden & Pet Co. company guaranty sr. sub. notes 8 1/4s, 2018
|
|
|
|
380,000
|
379,050
|
|
|
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016
(PIK)
|
|
|
|
232,443
|
220,821
|
|
|
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019
|
|
|
|
284,000
|
228,620
|
|
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016
|
|
|
|
142,000
|
155,313
|
|
|
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017
|
|
|
|
599,000
|
648,418
|
|
|
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016
|
|
|
|
279,000
|
280,395
|
|
|
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018
|
|
|
|
265,000
|
280,900
|
|
|
Dole Food Co. 144A sr. notes 8s, 2016
|
|
|
|
207,000
|
218,385
|
|
|
EC Finance PLC company guaranty sr. bonds Ser. REGS, 9 3/4s, 2017 (United Kingdom)
|
|
|
EUR
|
1,002,000
|
1,235,800
|
|
|
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021
|
|
|
|
$380,000
|
384,750
|
|
|
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
300,000
|
345,956
|
|
|
Foodcorp (Pty), Ltd. 144A company guaranty sr. notes 8 3/4s, 2018 (South Africa)
|
|
|
EUR
|
180,000
|
239,681
|
|
|
Hertz Corp. company guaranty sr. unsec. notes 8 7/8s, 2014
|
|
|
|
$13,000
|
13,130
|
|
|
Hertz Corp. company guaranty sr. unsec. notes 7 1/2s, 2018
|
|
|
|
155,000
|
161,588
|
|
|
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands)
|
|
|
EUR
|
360,000
|
506,381
|
|
|
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021
|
|
|
|
$1,430,000
|
1,358,500
|
|
|
Landry's Restaurants, Inc. 144A company guaranty sr. notes 11 5/8s, 2015
|
|
|
|
164,000
|
173,840
|
|
|
Libbey Glass, Inc. sr. notes 10s, 2015
|
|
|
|
114,000
|
121,410
|
|
|
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018
|
|
|
|
500,000
|
510,000
|
|
|
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017
|
|
|
|
620,000
|
616,900
|
|
|
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017
|
|
|
|
643,000
|
585,130
|
|
|
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020
|
|
|
|
125,000
|
137,344
|
|
|
Roadhouse Financing, Inc. notes 10 3/4s, 2017
|
|
|
|
270,000
|
268,650
|
|
|
Service Corporation International sr. notes 7s, 2019
|
|
|
|
180,000
|
189,000
|
|
|
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014
|
|
|
|
130,000
|
151,125
|
|
|
Spectrum Brands, Inc. sr. notes 9 1/2s, 2018
|
|
|
|
879,000
|
975,690
|
|
|
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019
|
|
|
|
430,000
|
421,400
|
|
|
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014
|
|
|
|
120,000
|
139,200
|
|
|
United Rentals North America, Inc. company guaranty sr. unsec. sub. notes 8 3/8s, 2020
|
|
|
|
170,000
|
176,800
|
|
|
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018
|
|
|
|
51,000
|
52,785
|
|
|
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019
|
|
|
|
447,000
|
453,705
|
|
|
|
|
14,010,693
|
|
Energy (5.9%)
|
|
|
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021
|
|
|
|
345,000
|
340,688
|
|
|
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019
|
|
|
|
369,000
|
368,078
|
|
|
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031
|
|
|
|
255,000
|
320,108
|
|
|
Anadarko Petroleum Corp. sr. notes 5.95s, 2016
|
|
|
|
666,000
|
768,554
|
|
|
Anadarko Petroleum Corp. sr. unsec. notes 6 3/8s, 2017
|
|
|
|
384,000
|
451,870
|
|
|
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020
|
|
|
|
720,000
|
747,000
|
|
|
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019
|
|
|
|
465,000
|
481,275
|
|
|
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013
|
|
|
|
582,000
|
587,820
|
|
|
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015
|
|
|
|
150,000
|
124,500
|
|
|
Brigham Exploration Co. company guaranty sr. unsec. notes 8 3/4s, 2018
|
|
|
|
669,000
|
789,420
|
|
|
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018
|
|
|
|
814,000
|
826,210
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020
|
|
|
|
325,000
|
352,625
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 7/8s, 2017
|
|
|
|
914,000
|
941,420
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021
|
|
|
|
5,000
|
5,088
|
|
|
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015
|
|
|
|
1,150,000
|
1,316,750
|
|
|
Chesapeake Midstream Partners LP/CHKM Finance Corp. 144A company guaranty sr. unsec. notes 5 7/8s, 2021
|
|
|
|
309,000
|
312,090
|
|
|
Complete Production Services, Inc. company guaranty 8s, 2016
|
|
|
|
770,000
|
800,800
|
|
|
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022
|
|
|
|
515,000
|
539,463
|
|
|
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)
|
|
|
CAD
|
515,000
|
363,825
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020
|
|
|
|
$293,000
|
320,835
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017
|
|
|
|
1,667,000
|
1,825,365
|
|
|
CONSOL Energy, Inc. 144A company guaranty sr. unsec. notes 6 3/8s, 2021
|
|
|
|
65,000
|
64,675
|
|
|
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018
|
|
|
|
850,000
|
901,000
|
|
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020
|
|
|
|
302,000
|
334,465
|
|
|
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
|
935,550
|
|
|
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021
|
|
|
|
234,000
|
209,430
|
|
|
Forbes Energy Services Ltd. 144A company guaranty sr. unsec. notes 9s, 2019
|
|
|
|
340,000
|
321,300
|
|
|
Frac Tech Services, LLC/Frac Tech Finance, Inc. 144A company guaranty sr. notes 7 5/8s, 2018
|
|
|
|
420,000
|
438,900
|
|
|
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia)
|
|
|
|
780,000
|
840,450
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 9 1/4s, 2019 (Russia)
|
|
|
|
1,855,000
|
2,325,688
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 6.51s, 2022 (Russia)
|
|
|
|
485,000
|
509,250
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia)
|
|
|
|
575,000
|
619,563
|
|
|
Gazprom Via Gaz Capital SA 144A sr. unsec. unsub. notes 8.146s, 2018 (Russia)
|
|
|
|
316,000
|
370,004
|
|
|
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Netherlands)
|
|
|
|
485,000
|
557,168
|
|
|
Goodrich Petroleum Corp. 144A sr. notes 8 7/8s, 2019
|
|
|
|
451,000
|
460,020
|
|
|
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016
|
|
|
|
1,043,000
|
1,095,150
|
|
|
Hornbeck Offshore Services, Inc. sr. notes Ser. B, 6 1/8s, 2014
|
|
|
|
790,000
|
795,925
|
|
|
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021
|
|
|
|
492,000
|
480,930
|
|
|
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom)
|
|
|
GBP
|
222,000
|
361,002
|
|
|
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019
|
|
|
|
$160,000
|
136,000
|
|
|
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021
|
|
|
|
175,000
|
180,250
|
|
|
Korea National Oil Corp. 144A sr. unsec. notes 4s, 2016 (South Korea)
|
|
|
|
300,000
|
304,606
|
|
|
Laredo Petroleum, Inc. 144A sr. notes 9 1/2s, 2019
|
|
|
|
433,000
|
458,980
|
|
|
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia)
|
|
|
|
1,080,000
|
1,148,850
|
|
|
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. notes 7 1/4s, 2019 (Russia)
|
|
|
|
450,000
|
494,181
|
|
|
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)
|
|
|
|
320,000
|
333,600
|
|
|
Milagro Oil & Gas 144A notes 10 1/2s, 2016
|
|
|
|
520,000
|
364,000
|
|
|
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine)
|
|
|
|
620,000
|
616,379
|
|
|
Newfield Exploration Co. sr. unsec. sub. notes 6 5/8s, 2014
|
|
|
|
698,000
|
704,980
|
|
|
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)
|
|
|
|
265,000
|
288,850
|
|
|
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)
|
|
|
|
110,000
|
119,900
|
|
|
OPTI Canada, Inc. notes 8 1/4s, 2014 (Canada) (In default)
(NON)
|
|
|
|
325,000
|
211,250
|
|
|
Peabody Energy Corp. company guaranty 7 3/8s, 2016
|
|
|
|
1,146,000
|
1,254,870
|
|
|
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020
|
|
|
|
44,000
|
46,860
|
|
|
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico)
|
|
|
|
340,000
|
370,600
|
|
|
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico)
|
|
|
|
325,000
|
354,250
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)
|
|
|
|
960,000
|
1,144,800
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil)
|
|
|
|
540,000
|
615,796
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil)
|
|
|
|
960,000
|
1,009,853
|
|
|
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014
|
|
|
|
225,000
|
252,281
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)
|
|
|
|
5,035,000
|
3,102,819
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela)
|
|
|
|
650,000
|
311,220
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela)
|
|
|
|
650,000
|
322,563
|
|
|
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)
|
|
|
|
600,000
|
456,000
|
|
|
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela)
|
|
|
|
1,705,000
|
1,161,412
|
|
|
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
|
289,800
|
|
|
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico)
|
|
|
|
800,000
|
854,000
|
|
|
Petroleum Co. of Trinidad & Tobago Ltd. 144A sr. unsec. notes 9 3/4s, 2019 (Trinidad)
|
|
|
|
215,000
|
249,996
|
|
|
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018
|
|
|
|
539,000
|
584,815
|
|
|
Plains Exploration & Production Co. company guaranty 7 3/4s, 2015
|
|
|
|
280,000
|
290,500
|
|
|
Plains Exploration & Production Co. company guaranty 7s, 2017
|
|
|
|
150,000
|
155,625
|
|
|
Plains Exploration & Production Co. company guaranty sr. unsec. notes 10s, 2016
|
|
|
|
645,000
|
715,950
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines)
|
|
|
|
690,000
|
824,550
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines)
|
|
|
|
950,000
|
1,128,125
|
|
|
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020
|
|
|
|
350,000
|
388,500
|
|
|
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018
|
|
|
|
290,000
|
317,188
|
|
|
SandRidge Energy, Inc. 144A company guaranty sr. unsec. notes 7 1/2s, 2021
|
|
|
|
95,000
|
91,675
|
|
|
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018
|
|
|
|
1,344,000
|
1,344,000
|
|
|
SM Energy Co. 144A sr. unsec. notes 6 5/8s, 2019
|
|
|
|
190,000
|
191,900
|
|
|
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021
|
|
|
|
135,000
|
130,656
|
|
|
Williams Cos., Inc. (The) notes 7 3/4s, 2031
|
|
|
|
256,000
|
319,900
|
|
|
|
|
48,295,834
|
|
Financials (5.2%)
|
|
|
ACE Cash Express, Inc. 144A sr. notes 11s, 2019
|
|
|
|
320,000
|
298,400
|
|
|
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017
|
|
|
|
335,000
|
330,813
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 7s, 2012
|
|
|
|
117,000
|
118,170
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 6 7/8s, 2012
|
|
|
|
818,000
|
828,225
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. notes 6 5/8s, 2012
|
|
|
|
851,000
|
857,383
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015
|
|
|
|
240,000
|
252,000
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020
|
|
|
|
1,320,000
|
1,333,200
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.52556s, 2014
|
|
|
|
85,000
|
74,391
|
|
|
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2058
|
|
|
|
440,000
|
424,600
|
|
|
Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil)
|
|
|
BRL
|
855,000
|
527,457
|
|
|
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil)
|
|
|
|
$1,350,000
|
1,351,664
|
|
|
Boparan Holdings LTD 144A Company guaranty sr. unsec. unsub. notes 9 3/4s, 2018 (United Kingdom)
|
|
|
EUR
|
135,000
|
165,663
|
|
|
Bosphorus Financial Services, Ltd. 144A sr. notes FRN 2.08617s, 2012
|
|
|
|
$353,500
|
352,740
|
|
|
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037
|
|
|
|
374,000
|
360,910
|
|
|
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
135,000
|
137,025
|
|
|
CIT Group, Inc. 144A bonds 7s, 2017
|
|
|
|
2,438,000
|
2,431,905
|
|
|
CIT Group, Inc. 144A bonds 7s, 2016
|
|
|
|
868,000
|
865,830
|
|
|
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018
|
|
|
|
470,000
|
491,150
|
|
|
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018
|
|
|
|
130,000
|
136,825
|
|
|
Commerzbank Capital Funding Trust jr. unsec. sub. bonds bank guaranty zero %, 2016
|
|
|
EUR
|
500,000
|
359,762
|
|
|
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019
|
|
|
|
$395,000
|
395,000
|
|
|
Dresdner Funding Trust I 144A bonds 8.151s, 2031
|
|
|
|
579,000
|
451,620
|
|
|
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, perpetual maturity (Jersey)
|
|
|
|
399,000
|
279,300
|
|
|
HSBC Capital Funding LP bank guaranty jr. unsec. sub. bonds FRB 5.13s, perpetual maturity (Jersey)
|
|
|
EUR
|
486,000
|
582,447
|
|
|
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015
|
|
|
|
$185,000
|
178,988
|
|
|
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014
|
|
|
|
135,000
|
134,325
|
|
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018
|
|
|
|
895,000
|
910,663
|
|
|
ING Groep NV jr. unsec. sub. notes 5.775s, perpetual maturity (Netherlands)
|
|
|
|
540,000
|
427,950
|
|
|
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019
|
|
|
|
51,000
|
47,813
|
|
|
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017
|
|
|
|
600,000
|
674,465
|
|
|
JPMorgan Chase & Co. 144A unsec. unsub. notes 8s, 2012
|
|
|
INR
|
37,500,000
|
774,874
|
|
|
Leucadia National Corp. sr. unsec. notes 7 1/8s, 2017
|
|
|
|
$641,000
|
665,038
|
|
|
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097
|
|
|
|
1,330,000
|
1,282,640
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia)
|
|
|
|
525,000
|
616,875
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)
|
|
|
|
2,425,000
|
2,822,846
|
|
|
MPT Operating Partnership LP/MPT Finance Corp. 144A company guaranty sr. notes 6 7/8s, 2021
(R)
|
|
|
|
177,000
|
176,115
|
|
|
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada)
|
|
|
|
300,000
|
315,000
|
|
|
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015
|
|
|
|
444,000
|
444,000
|
|
|
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022
(R)
|
|
|
|
447,000
|
451,470
|
|
|
RBS Capital Trust III jr. unsec. sub. notes bank guaranty zero %, 2049 (United Kingdom)
|
|
|
|
525,000
|
308,438
|
|
|
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom)
|
|
|
|
600,000
|
394,500
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 3/4s, 2018 (Russia)
|
|
|
|
775,000
|
860,250
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia)
|
|
|
|
775,000
|
821,500
|
|
|
Sabra Health Care LP/Sabra Capital Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
(R)
|
|
|
|
133,000
|
131,005
|
|
|
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea)
|
|
|
|
257,000
|
263,430
|
|
|
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India)
|
|
|
|
360,000
|
364,705
|
|
|
UBS AG/ Jersey Branch jr. unsec. sub. FRB 4.28s, 2015 (Jersey)
|
|
|
EUR
|
224,000
|
245,923
|
|
|
UBS AG/ Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, 2017 (Jersey)
|
|
|
EUR
|
400,000
|
511,166
|
|
|
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom)
|
|
|
|
$425,000
|
392,067
|
|
|
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.16117s, 2014
|
|
|
|
120,000
|
108,000
|
|
|
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012
(R)
|
|
|
|
590,000
|
607,208
|
|
|
Vnesheconombank Via VEB Finance PLC 144A bank guaranteed bonds 6.8s, 2025 (Russia)
|
|
|
|
1,100,000
|
1,149,500
|
|
|
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia)
|
|
|
|
1,065,000
|
1,091,625
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia)
|
|
|
|
4,520,000
|
4,729,050
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia)
|
|
|
|
2,934,000
|
3,007,350
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia)
|
|
|
|
3,965,000
|
4,094,973
|
|
|
|
|
42,410,232
|
|
Health care (1.7%)
|
|
|
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019
|
|
|
|
$325,000
|
313,625
|
|
|
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany)
|
|
|
EUR
|
364,000
|
501,929
|
|
|
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017
|
|
|
|
$236,000
|
254,880
|
|
|
Capella Healthcare, Inc. 144A company guaranty sr. notes 9 1/4s, 2017
|
|
|
|
380,000
|
391,400
|
|
|
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019
|
|
|
EUR
|
455,000
|
647,602
|
|
|
CDRT Merger Sub, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019
|
|
|
|
$504,000
|
504,000
|
|
|
CHS/Community Health Systems, Inc. company guaranty sr. unsec. sub. notes 8 7/8s, 2015
|
|
|
|
857,000
|
877,354
|
|
|
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg)
|
|
|
EUR
|
160,000
|
225,291
|
|
|
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg)
|
|
|
|
$1,070,000
|
1,029,875
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
110,000
|
110,825
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018
|
|
|
|
340,000
|
343,400
|
|
|
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland)
|
|
|
|
383,000
|
407,895
|
|
|
Endo Pharmaceuticals Holdings, Inc. 144A company guaranty sr. unsec. notes 7s, 2019
|
|
|
|
290,000
|
313,200
|
|
|
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015
|
|
|
|
125,000
|
141,250
|
|
|
Giant Funding Corp. 144A company guaranty sr. notes 8 1/4s, 2018
|
|
|
|
511,000
|
537,828
|
|
|
HCA, Inc. sr. notes 6 1/2s, 2020
|
|
|
|
1,580,000
|
1,651,100
|
|
|
HCA, Inc. sr. unsec. notes 7 1/2s, 2022
|
|
|
|
450,000
|
459,563
|
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. 144A sr. notes 8 3/8s, 2019
|
|
|
|
865,000
|
800,125
|
|
|
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018
|
|
|
|
345,000
|
355,350
|
|
|
Select Medical Corp. company guaranty 7 5/8s, 2015
|
|
|
|
201,000
|
186,930
|
|
|
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017
|
|
|
|
640,000
|
627,200
|
|
|
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015
(PIK)
|
|
|
|
329,569
|
330,393
|
|
|
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019
|
|
|
|
370,000
|
382,950
|
|
|
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018
|
|
|
|
276,000
|
316,710
|
|
|
Tenet Healthcare Corp. sr. notes 9s, 2015
|
|
|
|
749,000
|
795,813
|
|
|
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019
|
|
|
|
471,000
|
532,230
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020
|
|
|
|
70,000
|
69,300
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018
|
|
|
|
170,000
|
169,363
|
|
|
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017
|
|
|
|
70,000
|
70,000
|
|
|
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016
|
|
|
|
16,000
|
10,480
|
|
|
|
|
13,357,861
|
|
Technology (1.4%)
|
|
|
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020
|
|
|
|
599,000
|
607,985
|
|
|
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015
(PIK)
|
|
|
|
75,000
|
66,563
|
|
|
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
|
377,000
|
333,645
|
|
|
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019
|
|
|
|
166,000
|
159,360
|
|
|
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015
(PIK)
|
|
|
|
310,000
|
263,500
|
|
|
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015
|
|
|
|
718,000
|
610,300
|
|
|
Eagle Parent Inc. 144A company guaranty sr. unsec. notes 8 5/8s, 2019
|
|
|
|
275,000
|
257,125
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
193,000
|
210,853
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017
|
|
|
|
462,000
|
502,425
|
|
|
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015
|
|
|
|
1,208,603
|
1,172,345
|
|
|
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016
|
|
|
|
351,000
|
312,390
|
|
|
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020
|
|
|
|
175,000
|
185,500
|
|
|
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019
|
|
|
|
110,000
|
108,900
|
|
|
First Data Corp. 144A sr. bonds 12 5/8s, 2021
|
|
|
|
907,000
|
857,115
|
|
|
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020
|
|
|
|
85,000
|
89,250
|
|
|
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018
|
|
|
|
855,000
|
940,500
|
|
|
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020
|
|
|
|
1,035,000
|
1,076,400
|
|
|
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021
|
|
|
|
290,000
|
303,775
|
|
|
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
|
716,000
|
787,600
|
|
|
Seagate HDD Cayman 144A company guaranty sr. unsec. notes 7 3/4s, 2018 (Cayman Islands)
|
|
|
|
433,000
|
452,485
|
|
|
SunGard Data Systems, Inc. company guaranty 10 1/4s, 2015
|
|
|
|
817,000
|
847,638
|
|
|
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020
|
|
|
|
344,000
|
352,600
|
|
|
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019
|
|
|
|
431,000
|
448,240
|
|
|
|
|
10,946,494
|
|
Transportation (0.2%)
|
|
|
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
466,000
|
492,795
|
|
|
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018
|
|
|
|
655,000
|
677,925
|
|
|
Western Express, Inc. 144A sr. notes 12 1/2s, 2015
|
|
|
|
294,000
|
176,400
|
|
|
|
|
1,347,120
|
|
Utilities and power (1.7%)
|
|
|
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017
|
|
|
|
1,140,000
|
1,251,150
|
|
|
AES Corp. (The) 144A sr. notes 7 3/8s, 2021
|
|
|
|
310,000
|
331,700
|
|
|
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg)
|
|
|
CHF
|
1,111,000
|
1,227,694
|
|
|
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020
|
|
|
|
$380,000
|
403,750
|
|
|
Calpine Corp. 144A sr. notes 7 1/4s, 2017
|
|
|
|
995,000
|
1,034,800
|
|
|
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)
|
|
|
|
615,000
|
675,951
|
|
|
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019
|
|
|
|
1,160,000
|
754,000
|
|
|
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016
|
|
|
|
289,000
|
221,808
|
|
|
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013
|
|
|
|
135,000
|
129,600
|
|
|
Edison Mission Energy sr. unsec. notes 7.2s, 2019
|
|
|
|
292,000
|
194,180
|
|
|
Edison Mission Energy sr. unsec. notes 7s, 2017
|
|
|
|
44,000
|
30,800
|
|
|
El Paso Corp. sr. unsec. notes 7s, 2017
|
|
|
|
160,000
|
179,200
|
|
|
El Paso Natural Gas Co. debs. 8 5/8s, 2022
|
|
|
|
577,000
|
749,212
|
|
|
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020
|
|
|
|
1,390,000
|
1,452,550
|
|
|
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020
|
|
|
|
784,000
|
823,200
|
|
|
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020
|
|
|
|
692,000
|
747,360
|
|
|
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020
|
|
|
|
685,000
|
722,675
|
|
|
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018
|
|
|
|
105,000
|
110,775
|
|
|
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016
|
|
|
|
220,000
|
242,000
|
|
|
NRG Energy, Inc. 144A company guaranty sr. unsec. notes 7 7/8s, 2021
|
|
|
|
1,375,000
|
1,388,750
|
|
|
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020
|
|
|
|
255,000
|
274,576
|
|
|
NV Energy, Inc. sr. unsec. unsub. notes 6 3/4s, 2017
|
|
|
|
120,000
|
122,703
|
|
|
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028
|
|
|
|
145,000
|
166,493
|
|
|
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020
|
|
|
|
310,000
|
266,600
|
|
|
Vattenfall Treasury AB jr. unsec. sub. bonds FRB 5 1/4s, 2049 (Sweden)
|
|
|
EUR
|
364,000
|
507,595
|
|
|
|
|
14,009,122
|
|
|
|
Total corporate bonds and notes (cost $259,694,803)
|
$259,545,208
|
|
|
MORTGAGE-BACKED SECURITIES (22.1%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
American Home Mortgage Assets
|
|
|
|
|
|
|
FRB Ser. 06-6, Class A1A, 0.43472s, 2046
|
|
|
|
$6,576,243
|
$2,860,666
|
|
FRB Ser. 06-4, Class 1A11, 0.43472s, 2046
|
|
|
|
6,346,966
|
2,760,930
|
|
|
American Home Mortgage Investment Trust FRB Ser. 06-2, Class 1A2, 0.40472s, 2046
(F)
|
|
|
|
6,362,445
|
2,257,557
|
|
|
Banc of America Commercial Mortgage, Inc. 144A
|
|
|
|
|
|
|
Ser. 01-1, Class J, 6 1/8s, 2036
|
|
|
|
318,946
|
239,210
|
|
Ser. 01-1, Class K, 6 1/8s, 2036
|
|
|
|
718,000
|
171,900
|
|
Ser. 07-5, Class XW, IO, 0.421056s, 2051
|
|
|
|
212,698,482
|
3,417,214
|
|
|
Banc of America Funding Corp. FRB Ser. 07-B, Class A1, 0.45472s, 2047
|
|
|
|
3,030,316
|
1,696,977
|
|
|
Barclays Capital, LLC Trust FRB Ser. 07-AA2, Class 12A1, 0.45472s, 2047
|
|
|
|
3,526,284
|
1,551,565
|
|
|
Bear Stearns Adjustable Rate Mortgage Trust FRB Ser. 07-1, Class 2A1, 5.584593s, 2047
|
|
|
|
2,321,016
|
1,206,928
|
|
|
Bear Stearns Alt-A Trust FRB Ser. 06-3, Class 35A1, 5.584678s, 2036
|
|
|
|
6,436,491
|
3,861,895
|
|
|
Bear Stearns Asset Backed Securities Trust
|
|
|
|
|
|
|
FRB Ser. 06-IM1, Class A3, 0.52472s, 2036
|
|
|
|
2,752,029
|
626,087
|
|
FRB Ser. 06-IM1, Class A1, 0.47472s, 2036
|
|
|
|
2,816,219
|
1,394,028
|
|
|
Citigroup Mortgage Loan Trust, Inc.
|
|
|
|
|
|
|
FRB Ser. 07-AR5, Class 1A1A, 5.238459s, 2037
|
|
|
|
1,213,054
|
566,442
|
|
FRB Ser. 07-AR1, Class A3, 0.46472s, 2037
|
|
|
|
5,396,609
|
2,536,406
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.049002s, 2044
|
|
|
|
65,008,517
|
278,471
|
|
|
Cornerstone Titan PLC 144A
|
|
|
|
|
|
|
FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom)
|
|
|
GBP
|
868,987
|
978,071
|
|
FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom)
|
|
|
GBP
|
444,138
|
535,597
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
|
|
FRB Ser. 05-84, Class 4A1, 5.71976s, 2036
|
|
|
|
$10,393,170
|
6,028,038
|
|
FRB Ser. 06-HY11, Class A1, 0.36472s, 2036
|
|
|
|
3,919,703
|
1,881,458
|
|
|
Countrywide Home Loans 144A
|
|
|
|
|
|
|
Ser. 05-R3, Class AS, IO, 5.5866s, 2035
|
|
|
|
181,120
|
25,284
|
|
FRB Ser. 05-R3, Class AF, 0.64472s, 2035
(F)
|
|
|
|
177,837
|
144,064
|
|
|
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035
|
|
|
|
691,000
|
224,342
|
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-AR1, Class 1A3, 0.57472s, 2036
|
|
|
|
12,053,299
|
3,857,056
|
|
FRB Ser. 06-AR6, Class A6, 0.43472s, 2037
(F)
|
|
|
|
5,372,292
|
2,523,735
|
|
FRB Ser. 06-AR3, Class A1, 0.43472s, 2036
|
|
|
|
2,213,533
|
814,857
|
|
FRB Ser. 06-AR6, Class A4, 0.41472s, 2037
|
|
|
|
1,459,263
|
806,243
|
|
FRB Ser. 06-AR3, Class A5, 0.41472s, 2036
|
|
|
|
5,270,886
|
3,202,064
|
|
|
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031
|
|
|
|
552,708
|
530,600
|
|
|
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.83544s, 2014 (United Kingdom)
|
|
|
GBP
|
47,565
|
45,888
|
|
Federal National Mortgage Association Grantor Trust Ser. 00-T6, IO, 0.78045s, 2030
|
|
|
|
$4,411,006
|
92,190
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
|
IFB Ser. 3182, Class SP, 27.62668s, 2032
|
|
|
|
566,704
|
897,716
|
|
IFB Ser. 3408, Class EK, 24.81397s, 2037
|
|
|
|
392,626
|
564,713
|
|
IFB Ser. 2979, Class AS, 23.381123s, 2034
|
|
|
|
211,784
|
290,483
|
|
IFB Ser. 3072, Class SM, 22.904454s, 2035
|
|
|
|
621,031
|
947,631
|
|
IFB Ser. 3072, Class SB, 22.757789s, 2035
|
|
|
|
556,267
|
845,081
|
|
IFB Ser. 3031, Class BS, 16.116674s, 2035
|
|
|
|
835,337
|
1,179,282
|
|
IFB Ser. 3727, Class PS, IO, 6.45667s, 2038
|
|
|
|
6,960,392
|
928,516
|
|
IFB Ser. 3287, Class SE, IO, 6.45667s, 2037
|
|
|
|
2,891,067
|
385,206
|
|
IFB Ser. 3677, Class SA, IO, 6.30667s, 2040
|
|
|
|
20,515,032
|
2,463,240
|
|
IFB Ser. 3485, Class SI, IO, 6.30667s, 2036
|
|
|
|
753,278
|
109,376
|
|
IFB Ser. 3852, Class TB, 5.75667s, 2041
|
|
|
|
3,185,043
|
3,276,613
|
|
IFB Ser. 3768, Class PS, IO, 5.75667s, 2036
|
|
|
|
14,633,438
|
1,966,734
|
|
Ser. 3645, Class ID, IO, 5s, 2040
|
|
|
|
2,702,985
|
300,248
|
|
Ser. 3653, Class KI, IO, 5s, 2038
|
|
|
|
5,936,839
|
619,806
|
|
Ser. 3632, Class CI, IO, 5s, 2038
|
|
|
|
3,077,354
|
331,923
|
|
Ser. 3626, Class DI, IO, 5s, 2037
|
|
|
|
2,128,687
|
122,910
|
|
Ser. 3740, Class IP, IO, 5s, 2037
|
|
|
|
12,789,862
|
1,480,554
|
|
Ser. 3623, Class CI, IO, 5s, 2036
(F)
|
|
|
|
1,937,431
|
209,017
|
|
Ser. 3747, Class HI, IO, 4 1/2s, 2037
|
|
|
|
1,455,606
|
176,274
|
|
Ser. 3738, Class MI, IO, 4s, 2034
|
|
|
|
15,361,106
|
1,634,422
|
|
Ser. 3736, Class QI, IO, 4s, 2034
|
|
|
|
18,557,207
|
2,040,568
|
|
Ser. 3751, Class MI, IO, 4s, 2034
|
|
|
|
20,470,373
|
1,510,509
|
|
Ser. 3740, Class KI, IO, 4s, 2033
|
|
|
|
9,868,247
|
690,777
|
|
Ser. 3707, Class HI, IO, 4s, 2023
|
|
|
|
2,708,812
|
113,960
|
|
Ser. 3707, Class KI, IO, 4s, 2023
|
|
|
|
4,641,406
|
135,854
|
|
Ser. T-57, Class 1AX, IO, 0.43s, 2043
|
|
|
|
2,438,411
|
34,138
|
|
Ser. 3124, Class DO, PO, zero %, 2036
|
|
|
|
44,421
|
34,000
|
|
FRB Ser. 3072, Class TJ, zero %, 2035
|
|
|
|
1,719
|
1,701
|
|
FRB Ser. 3326, Class WF, zero %, 2035
|
|
|
|
28,484
|
28,569
|
|
FRB Ser. 3030, Class EF, zero %, 2035
|
|
|
|
38,010
|
34,209
|
|
FRB Ser. 3412, Class UF, zero %, 2035
|
|
|
|
12,213
|
12,093
|
|
FRB Ser. 3007, Class LU, zero %, 2035
|
|
|
|
19,019
|
15,215
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 06-62, Class PS, 38.43168s, 2036
|
|
|
|
780,878
|
1,414,872
|
|
IFB Ser. 07-53, Class SP, 23.30269s, 2037
|
|
|
|
543,190
|
760,846
|
|
IFB Ser. 08-24, Class SP, 22.38602s, 2038
|
|
|
|
471,388
|
742,256
|
|
IFB Ser. 05-75, Class GS, 19.51584s, 2035
|
|
|
|
598,847
|
836,410
|
|
IFB Ser. 05-83, Class QP, 16.75772s, 2034
|
|
|
|
604,616
|
806,014
|
|
IFB Ser. 11-111, Class DS, IO, 6.4s, 2038
|
|
|
|
5,338,000
|
991,694
|
|
IFB Ser. 10-135, Class SP, IO, 6.35528s, 2040
|
|
|
|
7,737,106
|
1,425,345
|
|
IFB Ser. 11-51, Class SJ, IO, 6.30528s, 2041
|
|
|
|
8,414,121
|
1,354,589
|
|
IFB Ser. 11-111, Class SD, IO, 6 1/4s, 2041
|
|
|
|
5,780,000
|
1,196,633
|
|
IFB Ser. 404, Class S13, IO, 6.15528s, 2040
|
|
|
|
14,585,190
|
2,020,343
|
|
IFB Ser. 10-35, Class SG, IO, 6.15528s, 2040
|
|
|
|
11,603,565
|
2,083,536
|
|
IFB Ser. 11-101, Class BS, IO, 5.80528s, 2039
|
|
|
|
6,617,318
|
1,060,756
|
|
IFB Ser. 10-124, Class SJ, IO, 5.80528s, 2038
|
|
|
|
13,971,715
|
2,111,126
|
|
IFB Ser. 11-51, Class SM, IO, 5.60528s, 2041
|
|
|
|
14,336,890
|
1,911,251
|
|
IFB Ser. 10-46, Class WS, IO, 5.50528s, 2040
|
|
|
|
11,437,665
|
1,299,204
|
|
Ser. 374, Class 6, IO, 5 1/2s, 2036
|
|
|
|
2,447,055
|
323,011
|
|
Ser. 10-21, Class IP, IO, 5s, 2039
(F)
|
|
|
|
5,617,983
|
796,356
|
|
Ser. 10-92, Class CI, IO, 5s, 2039
(F)
|
|
|
|
3,206,734
|
426,745
|
|
Ser. 398, Class C5, IO, 5s, 2039
|
|
|
|
2,219,657
|
288,555
|
|
Ser. 10-13, Class EI, IO, 5s, 2038
|
|
|
|
1,469,750
|
123,165
|
|
Ser. 378, Class 19, IO, 5s, 2035
(F)
|
|
|
|
6,475,333
|
835,412
|
|
Ser. 366, Class 22, IO, 4 1/2s, 2035
|
|
|
|
2,214,067
|
185,295
|
|
Ser. 406, Class 2, IO, 4s, 2041
|
|
|
|
8,791,508
|
1,274,769
|
|
Ser. 406, Class 1, IO, 4s, 2041
|
|
|
|
5,521,104
|
800,560
|
|
Ser. 03-W10, Class 1, IO, 1.45698s, 2043
|
|
|
|
1,085,630
|
48,853
|
|
Ser. 99-51, Class N, PO, zero %, 2029
|
|
|
|
66,318
|
61,516
|
|
FRB Ser. 05-45, Class FG, zero %, 2035
|
|
|
|
86,020
|
85,805
|
|
IFB Ser. 06-48, Class FG, zero %, 2036
|
|
|
|
25,726
|
24,057
|
|
|
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.089683s, 2020
|
|
|
|
5,456,804
|
141,877
|
|
|
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035
|
|
|
|
891,000
|
431,619
|
|
|
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036
|
|
|
|
129,840
|
111,831
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 11-56, Class SG, 6.82734s, 2041
|
|
|
|
3,742,669
|
4,014,386
|
|
IFB Ser. 11-56, Class MS, 6.82581s, 2041
|
|
|
|
6,712,002
|
7,170,298
|
|
IFB Ser. 10-142, Class SA, IO, 6.45528s, 2039
|
|
|
|
7,075,431
|
1,054,681
|
|
IFB Ser. 10-151, Class SL, IO, 6.45528s, 2039
|
|
|
|
3,670,048
|
694,446
|
|
IFB Ser. 11-37, Class SB, IO, 6.45528s, 2038
|
|
|
|
9,482,886
|
1,528,053
|
|
IFB Ser. 10-85, Class AS, IO, 6.40528s, 2039
|
|
|
|
6,932,027
|
1,148,117
|
|
IFB Ser. 11-37, Class SD, IO, 6.40528s, 2038
|
|
|
|
12,200,473
|
1,946,158
|
|
IFB Ser. 10-163, Class SI, IO, 6.38608s, 2037
|
|
|
|
9,699,556
|
1,615,102
|
|
IFB Ser. 10-98, Class QS, IO, 6.35528s, 2040
|
|
|
|
7,260,704
|
1,236,091
|
|
IFB Ser. 10-47, Class HS, IO, 6.35528s, 2039
|
|
|
|
4,021,635
|
715,730
|
|
IFB Ser. 10-157, Class SN, IO, 6.30667s, 2038
|
|
|
|
6,921,330
|
1,130,945
|
|
IFB Ser. 11-3, Class SG, IO, 6.30528s, 2041
|
|
|
|
7,039,256
|
1,368,713
|
|
IFB Ser. 10-88, Class SA, IO, 6.30528s, 2040
|
|
|
|
7,390,478
|
1,267,024
|
|
IFB Ser. 10-62, Class PS, IO, 6.25528s, 2040
|
|
|
|
5,405,931
|
934,848
|
|
IFB Ser. 11-79, Class AS, IO, 5.86528s, 2037
|
|
|
|
8,128,731
|
992,518
|
|
IFB Ser. 10-113, Class DS, IO, 5.85528s, 2039
|
|
|
|
5,611,913
|
862,046
|
|
IFB Ser. 10-115, Class SN, IO, 5.85528s, 2038
|
|
|
|
3,532,930
|
556,684
|
|
IFB Ser. 10-115, Class AS, IO, 5.80528s, 2040
|
|
|
|
5,074,710
|
875,641
|
|
IFB Ser. 10-116, Class SL, IO, 5.80528s, 2039
|
|
|
|
3,578,182
|
615,233
|
|
IFB Ser. 10-168, Class SL, IO, 5.75528s, 2040
|
|
|
|
4,442,569
|
735,912
|
|
IFB Ser. 10-121, Class SE, IO, 5.75528s, 2040
|
|
|
|
6,209,322
|
942,886
|
|
IFB Ser. 11-70, Class SM, IO, 5.64667s, 2041
|
|
|
|
5,451,000
|
1,492,920
|
|
IFB Ser. 11-70, Class SH, IO, 5.64667s, 2041
|
|
|
|
5,599,000
|
1,537,373
|
|
Ser. 11-116, Class IB, IO, 5s, 2040
|
|
|
|
11,909,368
|
1,324,798
|
|
Ser. 11-81, Class MI, IO, 5s, 2040
|
|
|
|
2,936,484
|
515,617
|
|
IFB Ser. 11-12, Class IB, IO, 4.56056s, 2040
|
|
|
|
4,450,454
|
632,410
|
|
Ser. 11-140, Class BI, IO, 4 1/2s, 2040
|
|
|
|
4,239,000
|
584,897
|
|
Ser. 10-168, Class PI, IO, 4 1/2s, 2039
|
|
|
|
4,196,342
|
651,734
|
|
Ser. 10-158, Class IP, IO, 4 1/2s, 2039
|
|
|
|
11,901,859
|
1,935,837
|
|
Ser. 11-70, PO, zero %, 2041
|
|
|
|
12,438,328
|
9,824,413
|
|
Ser. 06-36, Class OD, PO, zero %, 2036
|
|
|
|
31,061
|
29,310
|
|
|
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.318441s, 2039
(F)
|
|
|
|
152,045,099
|
2,389,518
|
|
|
IndyMac Indx Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-AR25, Class 3A1, 2.92072s, 2036
|
|
|
|
1,989,203
|
815,573
|
|
FRB Ser. 06-AR39, Class A1, 0.42472s, 2037
|
|
|
|
8,417,106
|
3,913,954
|
|
FRB Ser. 06-AR35, Class 2A1A, 0.41472s, 2037
|
|
|
|
3,057,864
|
1,486,226
|
|
FRB Ser. 06-AR15, Class A1, 0.36472s, 2036
|
|
|
|
3,074,207
|
1,352,651
|
|
|
JPMorgan Alternative Loan Trust
|
|
|
|
|
|
|
FRB Ser. 07-A2, Class 12A1, 0.44472s, 2037
|
|
|
|
4,304,415
|
1,635,678
|
|
FRB Ser. 06-A7, Class 1A1, 0.40472s, 2036
|
|
|
|
2,349,079
|
1,127,558
|
|
FRB Ser. 06-A6, Class 1A1, 0.40472s, 2036
|
|
|
|
1,763,719
|
942,461
|
|
FRB Ser. 07-A1, Class 1A1A, 0.38472s, 2037
|
|
|
|
1,734,098
|
598,264
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.150035s, 2051
|
|
|
|
125,901,411
|
1,250,705
|
|
|
LB Commercial Conduit Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 99-C1, Class G, 6.41s, 2031
|
|
|
|
492,082
|
435,493
|
|
Ser. 98-C4, Class J, 5.6s, 2035
|
|
|
|
965,000
|
981,598
|
|
|
LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K, 6.529s, 2035
(F)
|
|
|
|
1,440,000
|
1,440,174
|
|
|
Lehman XS Trust FRB Ser. 07-8H, Class A1, 0.37472s, 2037
|
|
|
|
1,641,004
|
705,632
|
|
|
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.40655s, 2028
|
|
|
|
953,604
|
27,416
|
|
|
Mezz Cap Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 04-C1, Class X, IO, 8.199434s, 2037
|
|
|
|
1,032,453
|
61,947
|
|
Ser. 07-C5, Class X, IO, 4.753334s, 2049
|
|
|
|
4,296,348
|
311,485
|
|
|
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039
|
|
|
|
3,360,000
|
2,755,200
|
|
|
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.731347s, 2012
|
|
|
|
2,343
|
3
|
|
|
PNC Mortgage Acceptance Corp. 144A Ser. 00-C1, Class J, 6 5/8s, 2033
|
|
|
|
285,000
|
11,400
|
|
|
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018
|
|
|
|
376,000
|
376,000
|
|
|
Structured Adjustable Rate Mortgage Loan Trust FRB Ser. 07-4, Class 1A1, 0.48472s, 2037
(F)
|
|
|
|
1,816,482
|
726,235
|
|
|
Structured Asset Securities Corp.
|
|
|
|
|
|
|
IFB Ser. 07-4, Class 1A3, IO, 6.022917s, 2045
|
|
|
|
7,570,096
|
1,059,813
|
|
Ser. 07-4, Class 1A4, IO, 1s, 2045
|
|
|
|
10,433,317
|
423,593
|
|
|
Structured Asset Securities Corp. 144A
|
|
|
|
|
|
|
Ser. 05-RF1, Class A, IO, 5.44198s, 2035
|
|
|
|
1,697,504
|
232,388
|
|
Ser. 05-RF3, Class 1A, IO, 5.267449s, 2035
|
|
|
|
1,493,364
|
223,109
|
|
FRB Ser. 05-RF3, Class 1A, 0.59472s, 2035
(F)
|
|
|
|
1,493,364
|
1,045,284
|
|
FRB Ser. 05-RF1, Class A, 0.59472s, 2035
(F)
|
|
|
|
1,697,504
|
1,188,074
|
|
|
Wachovia Bank Commercial Mortgage Trust Ser. 07-C34, IO, 0.378367s, 2046
|
|
|
|
34,107,203
|
540,599
|
|
|
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.39472s, 2036
|
|
|
|
3,685,433
|
1,418,892
|
|
|
Washington Mutual Mortgage Pass-Through Certificates
|
|
|
|
|
|
|
FRB Ser. 07-0C2, Class A3, 0.55472s, 2037
|
|
|
|
2,213,260
|
1,040,232
|
|
FRB Ser. 07-0C2, Class A1, 0.34472s, 2037
|
|
|
|
6,379,515
|
3,062,167
|
|
|
|
Total mortgage-backed securities (cost $187,331,652)
|
$179,985,545
|
|
|
ASSET-BACKED SECURITIES (10.1%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Ace Securities Corp. FRB Ser. 06-HE3, Class A2C, 0.39472s, 2036
|
|
|
|
$271,000
|
$113,338
|
|
|
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.11972s, 2034
|
|
|
|
80,602
|
24,483
|
|
|
Bombardier Capital Mortgage Securitization Corp. Ser. 00-A, Class A4, 8.29s, 2030
|
|
|
|
1,429,471
|
843,388
|
|
|
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-OPX1, Class A1A, 0.31472s, 2037
|
|
|
|
898,346
|
314,421
|
|
|
Conseco Finance Securitizations Corp.
|
|
|
|
|
|
|
Ser. 00-1, Class A5, 8.06s, 2031
|
|
|
|
1,517,250
|
1,027,937
|
|
Ser. 00-4, Class A5, 7.97s, 2032
|
|
|
|
303,533
|
201,091
|
|
Ser. 02-1, Class M1F, 7.954s, 2033
|
|
|
|
1,584,000
|
1,784,400
|
|
FRB Ser. 02-1, Class M1A, 2.28944s, 2033
|
|
|
|
4,468,000
|
3,890,892
|
|
FRB Ser. 01-4, Class M1, 1.98944s, 2033
|
|
|
|
573,000
|
312,296
|
|
|
Countrywide Asset Backed Certificates
|
|
|
|
|
|
|
FRB Ser. 06-6, Class 2A3, 0.52472s, 2036
|
|
|
|
9,381,000
|
2,720,490
|
|
FRB Ser. 07-3, Class 2A2, 0.41472s, 2047
|
|
|
|
2,977,000
|
2,102,753
|
|
FRB Ser. 07-8, Class 2A2, 0.37472s, 2037
(F)
|
|
|
|
4,125,000
|
3,195,302
|
|
FRB Ser. 06-25, Class 2A2, 0.36472s, 2047
|
|
|
|
1,808,904
|
1,582,791
|
|
FRB Ser. 07-1, Class 2A2, 0.34472s, 2037
(F)
|
|
|
|
2,985,000
|
2,506,166
|
|
|
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038
|
|
|
|
925,220
|
37,009
|
|
|
First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 06-FF11, Class 2A3, 0.39472s, 2036
|
|
|
|
2,540,000
|
1,257,300
|
|
|
Granite Mortgages PLC
|
|
|
|
|
|
|
FRB Ser. 03-2, Class 2C1, 4.13s, 2043
|
|
|
EUR
|
2,002,000
|
1,814,460
|
|
FRB Ser. 03-2, Class 3C, 3.52s, 2043
|
|
|
GBP
|
746,898
|
786,614
|
|
|
Green Tree Financial Corp.
|
|
|
|
|
|
|
Ser. 94-6, Class B2, 9s, 2020
|
|
|
|
$1,682,107
|
941,980
|
|
Ser. 94-4, Class B2, 8.6s, 2019
|
|
|
|
613,316
|
305,312
|
|
Ser. 93-1, Class B, 8.45s, 2018
|
|
|
|
283,892
|
212,544
|
|
Ser. 96-6, Class M1, 7.95s, 2027
|
|
|
|
1,075,000
|
1,096,500
|
|
Ser. 97-6, Class M1, 7.21s, 2029
|
|
|
|
1,842,000
|
1,577,350
|
|
Ser. 95-F, Class B2, 7.1s, 2021
|
|
|
|
16,263
|
15,780
|
|
Ser. 98-2, Class A6, 6.81s, 2028
|
|
|
|
478,910
|
510,993
|
|
Ser. 99-2, Class A7, 6.44s, 2030
|
|
|
|
201,595
|
213,132
|
|
|
Greenpoint Manufactured Housing Ser. 00-3, Class IA, 8.45s, 2031
|
|
|
|
2,540,401
|
2,368,924
|
|
|
GSAA Home Equity Trust
|
|
|
|
|
|
|
FRB Ser. 06-3, Class A3, 0.54472s, 2036
(F)
|
|
|
|
5,724,620
|
2,703,552
|
|
FRB Ser. 05-15, Class 2A2, 0.49472s, 2036
|
|
|
|
2,844,211
|
1,652,054
|
|
FRB Ser. 05-14, Class 2A2, 0.49472s, 2035
|
|
|
|
7,952,973
|
3,658,368
|
|
FRB Ser. 05-11, Class 3A4, 0.49472s, 2035
|
|
|
|
2,792,319
|
2,094,239
|
|
FRB Ser. 06-19, Class A3A, 0.48472s, 2036
|
|
|
|
1,037,036
|
396,666
|
|
FRB Ser. 07-3, Class A4A, 0.46472s, 2047
|
|
|
|
3,625,241
|
1,576,980
|
|
FRB Ser. 06-1, Class A2, 0.46472s, 2036
|
|
|
|
2,628,925
|
1,038,426
|
|
FRB Ser. 07-4, Class A2, 0.44472s, 2037
|
|
|
|
1,872,495
|
739,636
|
|
FRB Ser. 06-8, Class 2A2, 0.42472s, 2036
|
|
|
|
19,690,587
|
7,088,611
|
|
FRB Ser. 06-11, Class 2A2, 0.40472s, 2036
|
|
|
|
5,171,524
|
2,016,894
|
|
FRB Ser. 06-12, Class A2A, 0.39472s, 2036
|
|
|
|
2,215,746
|
908,456
|
|
FRB Ser. 06-19, Class A1, 0.33472s, 2036
|
|
|
|
3,403,807
|
1,327,485
|
|
FRB Ser. 06-16, Class A1, 0.30472s, 2036
|
|
|
|
3,712,272
|
1,484,909
|
|
FRB Ser. 06-8, Class 2A1, 0.30472s, 2036
|
|
|
|
3,858,602
|
1,350,511
|
|
FRB Ser. 06-12, Class A1, 0.29472s, 2036
|
|
|
|
4,247,125
|
1,796,534
|
|
FRB Ser. 07-3, Class 2A1A, 0.19069s, 2047
|
|
|
|
2,656,038
|
1,115,536
|
|
|
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.24472s, 2030
|
|
|
|
768,901
|
23,067
|
|
|
Lehman XS Trust FRB Ser. 05-6, Class 1A4, 0.62472s, 2035
|
|
|
|
2,700,000
|
877,500
|
|
|
Long Beach Mortgage Loan Trust FRB Ser. 06-5, Class 2A3, 0.39472s, 2036
|
|
|
|
4,368,809
|
1,507,239
|
|
|
Merrill Lynch First Franklin Mortgage Loan Asset Backed Certificates FRB Ser. 07-1, Class A2B, 0.41472s, 2037
|
|
|
|
2,400,929
|
1,056,409
|
|
|
Mid-State Trust Ser. 11, Class B, 8.221s, 2038
|
|
|
|
187,697
|
186,766
|
|
|
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.44472s, 2034
|
|
|
|
100,947
|
24,028
|
|
|
Novastar Home Equity Loan
|
|
|
|
|
|
|
FRB Ser. 06-1, Class A2C, 0.40472s, 2036
|
|
|
|
212,093
|
84,951
|
|
FRB Ser. 06-2, Class A2C, 0.39472s, 2036
|
|
|
|
298,000
|
156,615
|
|
|
Oakwood Mortgage Investors, Inc.
|
|
|
|
|
|
|
Ser. 00-A, Class A3, 7.945s, 2022
|
|
|
|
41,915
|
32,707
|
|
Ser. 99-D, Class A1, 7.84s, 2029
|
|
|
|
1,312,537
|
1,143,548
|
|
Ser. 95-B, Class B1, 7.55s, 2021
|
|
|
|
254,013
|
191,489
|
|
Ser. 00-D, Class A4, 7.4s, 2030
|
|
|
|
3,139,228
|
1,922,777
|
|
Ser. 02-A, Class A4, 6.97s, 2032
|
|
|
|
88,153
|
79,888
|
|
Ser. 01-D, Class A4, 6.93s, 2031
|
|
|
|
1,058,543
|
775,383
|
|
Ser. 01-E, Class A4, 6.81s, 2031
|
|
|
|
1,960,730
|
1,561,231
|
|
Ser. 99-B, Class A3, 6.45s, 2017
|
|
|
|
287,950
|
259,515
|
|
Ser. 01-C, Class A2, 5.92s, 2017
|
|
|
|
1,798,795
|
845,434
|
|
Ser. 02-A, Class A2, 5.01s, 2020
|
|
|
|
356,683
|
340,388
|
|
|
Oakwood Mortgage Investors, Inc. 144A Ser. 01-B, Class A4, 7.21s, 2030
|
|
|
|
326,225
|
301,351
|
|
|
Residential Asset Mortgage Products, Inc. FRB Ser. 07-RZ1, Class A2, 0.40472s, 2037
|
|
|
|
278,802
|
163,025
|
|
|
Residential Asset Securities Corp. Ser. 01-KS3, Class AII, 0.705s, 2031
|
|
|
|
2,299,081
|
1,728,100
|
|
|
SG Mortgage Securities Trust FRB Ser. 06-OPT2, Class A3D, 0.45472s, 2036
|
|
|
|
2,389,000
|
699,160
|
|
|
Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3, 0.39472s, 2036
(F)
|
|
|
|
8,966,310
|
4,718,521
|
|
|
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038
|
|
|
|
980,343
|
117,641
|
|
|
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037
|
|
|
|
756,000
|
378,000
|
|
|
|
Total asset-backed securities (cost $99,536,326)
|
$81,881,236
|
|
|
FOREIGN GOVERNMENT BONDS AND NOTES (9.4%)
(a)
|
|
|
|
|
|
Principal amount/units
|
Value
|
|
|
|
|
Argentina (Republic of) sr. unsec. bonds 7s, 2017
|
|
|
|
$1,665,000
|
$1,365,300
|
|
|
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013
|
|
|
|
1,136,000
|
1,100,875
|
|
|
Argentina (Republic of) sr. unsec. bonds FRB 0.639875s, 2013
|
|
|
|
3,113,000
|
732,956
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015
|
|
|
|
13,260,000
|
11,936,254
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012
|
|
|
ARS
|
4,110,000
|
973,232
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds FRB 0.439s, 2012
|
|
|
|
$43,339,000
|
5,117,469
|
|
|
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033
|
|
|
|
2,792,630
|
2,220,141
|
|
|
Brazil (Federal Republic of) unsec. notes 10s, 2017
|
|
|
BRL
|
3,500
|
1,992,604
|
|
|
Brazil (Federal Republic of) unsub. notes 10s, 2014
|
|
|
BRL
|
2,365
|
1,398,482
|
|
|
Chile (Republic of) notes 5 1/2s, 2020
|
|
|
CLP
|
397,500,000
|
850,291
|
|
|
Colombia (Republic of) bonds 6 1/8s, 2041
|
|
|
|
$1,000,000
|
1,192,500
|
|
|
Colombia (Republic of) unsec. unsub. bonds 4 3/8s, 2021
|
|
|
|
700,000
|
731,500
|
|
|
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
620,000
|
606,066
|
|
|
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017
|
|
|
|
1,590,000
|
1,747,601
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041
|
|
|
|
470,000
|
458,301
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
210,000
|
202,650
|
|
|
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019
|
|
|
|
1,305,000
|
1,956,051
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 7 3/4s, 2038
|
|
|
|
920,000
|
1,246,600
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 7/8s, 2018
|
|
|
|
750,000
|
885,000
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 3/4s, 2014
|
|
|
|
460,000
|
501,855
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037
|
|
|
|
1,555,000
|
1,940,313
|
|
|
Iraq (Republic of) 144A bonds 5.8s, 2028
|
|
|
|
1,275,000
|
1,081,200
|
|
|
United Mexican States sr. unsec. notes 5 3/4s, 2110
|
|
|
|
1,120,000
|
1,137,920
|
|
|
Peru (Republic of) bonds 6.95s, 2031
|
|
|
PEN
|
5,885,000
|
2,339,042
|
|
|
Philippines (Republic of) sr. unsec. unsub. bonds 6 1/2s, 2020
|
|
|
|
$1,350,000
|
1,603,125
|
|
|
Philippines (Republic of) sr. unsec. unsub. bonds 6 3/8s, 2034
|
|
|
|
1,800,000
|
2,180,826
|
|
|
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
55,945
|
67,476
|
|
|
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
4,686,605
|
5,652,607
|
|
|
South Africa (Republic of) sr. unsec. unsub. notes 6 7/8s, 2019
|
|
|
|
950,000
|
1,148,313
|
|
|
Sri Lanka (Republic of) 144A notes 7.4s, 2015
|
|
|
|
440,000
|
473,906
|
|
|
Turkey (Republic of) bonds 16s, 2012
|
|
|
TRY
|
385,000
|
222,050
|
|
|
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2019
|
|
|
|
$815,000
|
974,202
|
|
|
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017
|
|
|
|
4,335,000
|
5,090,244
|
|
|
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017
|
|
|
|
425,000
|
391,000
|
|
|
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012
|
|
|
|
1,900,000
|
1,879,993
|
|
|
Ukraine (Government of) 144A bonds 7 3/4s, 2020
|
|
|
|
2,560,000
|
2,451,200
|
|
|
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021
|
|
|
|
2,030,000
|
1,986,781
|
|
|
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013
|
|
|
|
3,365,000
|
3,314,525
|
|
|
Venezuela (Republic of) bonds 8 1/2s, 2014
|
|
|
|
310,000
|
288,359
|
|
|
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027
|
|
|
|
300,000
|
216,750
|
|
|
Venezuela (Republic of) unsec. notes 10 3/4s, 2013
|
|
|
|
2,510,000
|
2,508,243
|
|
|
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018
|
|
|
|
2,215,000
|
2,176,880
|
|
|
|
Total foreign government bonds and notes (cost $70,747,683)
|
$76,340,683
|
|
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (9.3%)
(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
|
|
|
|
$1,863,324
|
$2,092,891
|
|
|
|
|
2,092,891
|
|
U.S. Government Agency Mortgage Obligations (9.0%)
|
|
|
Federal Home Loan Mortgage Corporation Pass-Through Certificates 3 1/2s, January 1, 2041
|
|
|
|
649,895
|
660,430
|
|
|
Federal National Mortgage Association Pass-Through Certificates
|
|
|
|
|
|
|
6 1/2s, April 1, 2016
|
|
|
|
10,129
|
10,773
|
|
4 1/2s, TBA, November 1, 2041
|
|
|
|
52,000,000
|
54,990,000
|
|
4s, TBA, November 1, 2041
|
|
|
|
11,000,000
|
11,435,703
|
|
3 1/2s, December 1, 2040
|
|
|
|
442,793
|
450,853
|
|
3 1/2s, TBA, November 1, 2041
|
|
|
|
6,000,000
|
6,100,781
|
|
|
|
|
73,648,540
|
|
|
|
Total U.S. government and agency mortgage obligations (cost $75,536,732)
|
$75,741,431
|
|
|
PURCHASED OPTIONS OUTSTANDING (7.0%)
(a)
|
|
|
|
Expiration date/
|
|
Contract
|
|
|
|
|
strike price
|
|
amount
|
Value
|
|
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026.
|
|
Sep-16/3.49
|
|
$1,774,702
|
$137,699
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing September 2026.
|
|
Sep-16/3.49
|
|
1,774,702
|
121,904
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/3.37
|
|
33,939,791
|
2,841,439
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.37% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/3.37
|
|
33,939,791
|
422,550
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Jul-12/3.52
|
|
28,283,159
|
2,682,940
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Jul-12/3.36
|
|
28,283,159
|
2,348,916
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.36% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Jul-12/3.36
|
|
28,283,159
|
353,822
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.52% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Jul-12/3.52
|
|
28,283,159
|
281,700
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.51
|
|
11,313,264
|
1,064,578
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.51% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.51
|
|
11,313,264
|
112,341
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.5375
|
|
28,283,159
|
2,725,082
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.5375% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.5375
|
|
28,283,159
|
267,276
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.1825% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.1825
|
|
5,814,000
|
109,071
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.54
|
|
15,899,614
|
1,536,221
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.54% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.54
|
|
15,899,614
|
148,184
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.49
|
|
28,466,127
|
2,641,657
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 3.49% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/3.49
|
|
28,466,127
|
282,099
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.1075
|
|
28,188,000
|
452,981
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.1075% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.1075
|
|
28,188,000
|
452,981
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.11875% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.11875
|
|
28,188,000
|
462,001
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.35% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/2.35
|
|
5,814,000
|
131,745
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.998
|
|
28,010,000
|
291,584
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.998% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.998
|
|
28,010,000
|
291,584
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9275% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.9275
|
|
28,010,000
|
246,488
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 1.765% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/1.765
|
|
13,964,000
|
79,455
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.015% versus the three month USD-LIBOR-BBA maturing April 2022.
|
|
Apr-12/2.015
|
|
5,585,000
|
59,033
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022.
|
|
Mar-12/2.075
|
|
21,946,000
|
1,024,439
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.075% versus the three month USD-LIBOR-BBA maturing March 2022.
|
|
Mar-12/2.075
|
|
21,946,000
|
255,890
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014.
|
|
Mar-12/0.52
|
|
63,127,000
|
223,470
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 0.52% versus the three month USD-LIBOR-BBA maturing March 2014.
|
|
Mar-12/0.52
|
|
63,127,000
|
81,434
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017.
|
|
Mar-12/1.86
|
|
24,567,019
|
563,813
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 1.86% versus the three month USD-LIBOR-BBA maturing March 2017.
|
|
Mar-12/1.86
|
|
24,567,019
|
110,552
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022.
|
|
Feb-12/2.0525
|
|
21,946,000
|
975,061
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.0525% versus the three month USD-LIBOR-BBA maturing February 2022.
|
|
Feb-12/2.0525
|
|
21,946,000
|
213,974
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017.
|
|
Feb-12/1.81
|
|
33,906,055
|
724,911
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 1.81% versus the three month USD-LIBOR-BBA maturing February 2017.
|
|
Feb-12/1.81
|
|
33,906,055
|
117,654
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014.
|
|
Feb-12/0.555
|
|
52,840,756
|
131,045
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.555% versus the three month USD-LIBOR-BBA maturing February 2014.
|
|
Feb-12/0.555
|
|
52,840,756
|
72,392
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/2.27
|
|
5,814,000
|
88,373
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/2.03
|
|
21,946,000
|
918,440
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.03% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/2.03
|
|
21,946,000
|
163,937
|
|
|
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 2014.
|
|
Jan-12/1.722
|
CHF
|
36,660,000
|
28,650
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 1.953% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/1.953
|
|
$28,188,000
|
146,014
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/1.9475
|
|
28,188,000
|
142,913
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.96325% versus the three month USD-LIBOR-BBA maturing January 2022.
|
|
Jan-12/1.96325
|
|
28,188,000
|
149,396
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 3.60% versus the three month USD-LIBOR-BBA maturing January 2042.
|
|
Jan-12/3.60
|
|
19,720,121
|
2,602,267
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 0.545% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Jan-12/0.545
|
|
52,840,756
|
108,218
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 0.545% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Jan-12/0.545
|
|
52,840,756
|
53,369
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.60% versus the three month USD-LIBOR-BBA maturing January 2042.
|
|
Jan-12/4.60
|
|
19,720,121
|
2,958
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.61% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Dec-11/0.61
|
|
31,563,000
|
51,763
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.61% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Dec-11/0.61
|
|
31,563,000
|
46,082
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 0.6075% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Dec-11/0.6075
|
|
31,305,000
|
50,088
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 0.6075% versus the three month USD-LIBOR-BBA maturing January 2014.
|
|
Dec-11/0.6075
|
|
31,305,000
|
45,517
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.01% versus the three month USD-LIBOR-BBA maturing December 2021.
|
|
Dec-11/2.01
|
|
21,946,000
|
849,969
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.01% versus the three month USD-LIBOR-BBA maturing December 2021.
|
|
Dec-11/2.01
|
|
21,946,000
|
102,927
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.476% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.476
|
|
63,127,000
|
167,287
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.476% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.476
|
|
63,127,000
|
24,620
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.53% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.53
|
|
63,127,000
|
125,118
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.53% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.53
|
|
63,127,000
|
46,083
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2021.
|
|
Dec-11/2.355
|
|
23,799,000
|
404,583
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.355% versus the three month USD-LIBOR-BBA maturing December 2021.
|
|
Dec-11/2.355
|
|
23,799,000
|
360,555
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 1.3525% versus the three month USD-LIBOR-BBA maturing December 2016.
|
|
Dec-11/1.3525
|
|
23,799,000
|
159,929
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 1.3525% versus the three month USD-LIBOR-BBA maturing December 2016.
|
|
Dec-11/1.3525
|
|
23,799,000
|
136,130
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.745% versus the three month USD-LIBOR-BBA maturing December 2014.
|
|
Dec-11/0.745
|
|
46,957,000
|
128,756
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.745% versus the three month USD-LIBOR-BBA maturing December 2014.
|
|
Dec-11/0.745
|
|
46,957,000
|
98,140
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.12
|
|
17,317,395
|
3,986,118
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 4.12% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.12
|
|
17,317,395
|
7,446
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.99% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/2.99
|
|
45,247,117
|
1,783,641
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.99% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/2.99
|
|
45,247,117
|
1,735,679
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.1175
|
|
10,999,227
|
2,531,142
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.1175% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.1175
|
|
10,999,227
|
2,530
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.11
|
|
10,199,433
|
2,332,406
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.11% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.11
|
|
10,199,433
|
2,142
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 3.855% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/3.855
|
|
14,911,957
|
2,649,557
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.355% versus the three month USD-LIBOR-BBA maturing December 2041.
|
|
Dec-11/4.355
|
|
14,911,957
|
298
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 0.5325% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.5325
|
|
52,840,756
|
84,281
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 0.5325% versus the three month USD-LIBOR-BBA maturing December 2013.
|
|
Dec-11/0.5325
|
|
52,840,756
|
28,534
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 2016.
|
|
Nov-11/2.31
|
|
23,674,688
|
1,111,527
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.31% versus the three month USD-LIBOR-BBA maturing November 2016.
|
|
Nov-11/2.31
|
|
23,674,688
|
237
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 3.21% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/3.21
|
|
25,663,580
|
2,015,104
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 3.21% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/3.21
|
|
25,663,580
|
1,796
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to pay a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/2.3175
|
|
23,799,000
|
255,363
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank, N.A. for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/2.3175
|
|
23,799,000
|
194,200
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 1.30% versus the three month USD-LIBOR-BBA maturing November 2016.
|
|
Nov-11/1.30
|
|
23,799,000
|
102,336
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 0.715% versus the three month USD-LIBOR-BBA maturing November 2014.
|
|
Nov-11/0.715
|
|
46,957,000
|
81,236
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.30% versus the three month USD-LIBOR-BBA maturing November 2016.
|
|
Nov-11/1.30
|
|
23,799,000
|
69,731
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 0.715% versus the three month USD-LIBOR-BBA maturing November 2014.
|
|
Nov-11/0.715
|
|
46,957,000
|
49,774
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 3.425% versus the three month USD-LIBOR-BBA maturing November 2041.
|
|
Nov-11/3.425
|
|
10,374,800
|
963,300
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 3.425% versus the three month USD-LIBOR-BBA maturing November 2041.
|
|
Nov-11/3.425
|
|
10,374,800
|
14,628
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to receive a fixed rate of 2.85% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/2.85
|
|
19,176,656
|
899,960
|
|
|
Option on an interest rate swap with Barclay's Bank PLC for the right to pay a fixed rate of 2.85% versus the three month USD-LIBOR-BBA maturing November 2021.
|
|
Nov-11/2.85
|
|
19,176,656
|
19
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 2041.
|
|
Nov-11/4.0325
|
|
13,024,182
|
2,811,400
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.0325% versus the three month USD-LIBOR-BBA maturing November 2041.
|
|
Nov-11/4.0325
|
|
13,024,182
|
13
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to pay a fixed rate of 0.5175% versus the three month USD-LIBOR-BBA maturing November 2013.
|
|
Nov-11/0.5175
|
|
52,840,756
|
51,784
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 0.5175% versus the three month USD-LIBOR-BBA maturing November 2013.
|
|
Nov-11/0.5175
|
|
52,840,756
|
1,110
|
|
|
|
Total purchased options outstanding (cost $43,274,492)
|
$57,241,780
|
|
|
SENIOR LOANS (2.5%)
(a)
(c)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (0.2%)
|
|
|
Exopack, LLC bank term loan FRN Ser. B, 6 1/2s, 2017
|
|
|
|
$204,488
|
$200,398
|
|
|
INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014
|
|
|
|
216,220
|
221,626
|
|
|
INEOS U.S. Finance, LLC bank term loan FRN Ser. B2, 7.501s, 2013
|
|
|
|
203,780
|
208,874
|
|
|
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013
|
|
|
|
370,143
|
347,471
|
|
|
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017
|
|
|
|
203,975
|
195,816
|
|
|
|
|
1,174,185
|
|
Capital goods (—%)
|
|
|
SRAM Corp. bank term loan FRN 8 1/2s, 2018
|
|
|
|
135,000
|
135,000
|
|
|
|
|
135,000
|
|
Communication services (0.3%)
|
|
|
Charter Communications Operating, LLC bank term loan FRN Ser. l, 7 1/4s, 2014
|
|
|
|
11,824
|
11,853
|
|
|
Charter Communications, Inc. bank term loan FRN Ser. C, 3.62s, 2016
|
|
|
|
1,459,112
|
1,446,344
|
|
|
Insight Midwest, LP bank term loan FRN Ser. B, 1.99s, 2014
|
|
|
|
214,082
|
211,406
|
|
|
Intelsat Jackson Holdings SA bank term loan FRN 3.246s, 2014 (Luxembourg)
|
|
|
|
885,000
|
843,405
|
|
|
Level 3 Communications, Inc. bank term loan FRN 2.495s, 2014
|
|
|
|
35,000
|
33,979
|
|
|
Level 3 Financing, Inc. bank term loan FRN Ser. B, 11 1/2s, 2014
|
|
|
|
185,000
|
192,284
|
|
|
|
|
2,739,271
|
|
Consumer cyclicals (1.1%)
|
|
|
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016
|
|
|
|
177,200
|
176,314
|
|
|
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017
|
|
|
|
113,563
|
110,886
|
|
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B1, 3.253s, 2015
|
|
|
|
625,000
|
551,339
|
|
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B2, 3.247s, 2015
|
|
|
|
724,196
|
637,292
|
|
|
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017
|
|
|
|
572,675
|
567,665
|
|
|
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.49s, 2014
|
|
|
|
669,065
|
574,142
|
|
|
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.889s, 2016
|
|
|
|
1,003,622
|
790,195
|
|
|
Compucom Systems, Inc. bank term loan FRN 3.74s, 2014
|
|
|
|
200,831
|
188,781
|
|
|
Federal Mogul Corp. bank term loan FRN Ser. B, 2.176s, 2014
|
|
|
|
87,331
|
82,382
|
|
|
Federal Mogul Corp. bank term loan FRN Ser. C, 2.169s, 2015
|
|
|
|
44,557
|
42,032
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.49s, 2014
|
|
|
|
425,048
|
100,595
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2.24s, 2014
|
|
|
|
454,999
|
107,683
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2.24s, 2014
|
|
|
|
169,776
|
40,180
|
|
|
Golden Nugget, Inc. bank term loan FRN Ser. B, 3.24s, 2014
(PIK)
|
|
|
|
199,184
|
159,596
|
|
|
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3.24s, 2014
(PIK)
|
|
|
|
113,383
|
90,848
|
|
|
Goodman Global, Inc. bank term loan FRN 9s, 2017
|
|
|
|
426,000
|
426,799
|
|
|
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016
|
|
|
|
416,710
|
415,370
|
|
|
Michaels Stores, Inc. bank term loan FRN Ser. B, 2.617s, 2013
|
|
|
|
210,712
|
206,197
|
|
|
National Bedding Co., LLC bank term loan FRN Ser. B, 3 7/8s, 2013
|
|
|
|
149,509
|
147,640
|
|
|
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018
|
|
|
|
370,000
|
358,834
|
|
|
Nortek, Inc. bank term loan FRN Ser. B, 5 1/4s, 2017
|
|
|
|
92,325
|
90,402
|
|
|
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014
|
|
|
|
1,303,775
|
533,462
|
|
|
Realogy Corp. bank term loan FRN Ser. B, 4.522s, 2016
|
|
|
|
800,784
|
698,684
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.76s, 2014
|
|
|
|
525,144
|
500,856
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2.74s, 2014
|
|
|
|
52,317
|
49,897
|
|
|
Six Flags Theme Parks bank term loan FRN Ser. B, 5 1/4s, 2016
|
|
|
|
493,442
|
493,133
|
|
|
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014 (In default)
(NON)
|
|
|
|
670,438
|
421,957
|
|
|
Univision Communications, Inc. bank term loan FRN 4.489s, 2017
|
|
|
|
345,227
|
331,591
|
|
|
|
|
8,894,752
|
|
Consumer staples (0.2%)
|
|
|
Claire's Stores, Inc. bank term loan FRN 2.991s, 2014
|
|
|
|
537,394
|
474,116
|
|
|
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018
|
|
|
|
259,350
|
252,866
|
|
|
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017
|
|
|
|
563,588
|
558,656
|
|
|
Rite Aid Corp. bank term loan FRN Ser. B, 1.99s, 2014
|
|
|
|
179,586
|
171,654
|
|
|
West Corp. bank term loan FRN Ser. B2, 2.692s, 2013
|
|
|
|
44,736
|
44,009
|
|
|
West Corp. bank term loan FRN Ser. B5, 4.567s, 2016
|
|
|
|
108,804
|
107,580
|
|
|
|
|
1,608,881
|
|
Energy (0.1%)
|
|
|
EPCO Holdings, Inc. bank term loan FRN Ser. A, 1.241s, 2012
|
|
|
|
288,000
|
279,360
|
|
|
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016
|
|
|
|
331,829
|
328,866
|
|
|
Hercules Offshore, Inc. bank term loan FRN Ser. B, 7 1/2s, 2013
|
|
|
|
270,842
|
265,876
|
|
|
|
|
874,102
|
|
Financials (0.1%)
|
|
|
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017
|
|
|
|
395,000
|
361,260
|
|
|
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014
|
|
|
|
163,660
|
163,115
|
|
|
|
|
524,375
|
|
Health care (0.4%)
|
|
|
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015
|
|
|
|
353,514
|
345,118
|
|
|
Ardent Medical Services, Inc. bank term loan FRN 6 1/2s, 2015
|
|
|
|
165,000
|
161,081
|
|
|
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018
|
|
|
|
417,900
|
407,870
|
|
|
Grifols SA bank term loan FRN Ser. B, 6s, 2016 (Spain)
|
|
|
|
234,413
|
234,559
|
|
|
Health Management Associates, Inc. bank term loan FRN 2.119s, 2014
|
|
|
|
1,290,493
|
1,262,379
|
|
|
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018
|
|
|
|
621,875
|
607,105
|
|
|
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017
|
|
|
|
330,379
|
318,541
|
|
|
|
|
3,336,653
|
|
Utilities and power (0.1%)
|
|
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.758s, 2017
|
|
|
|
1,360,286
|
924,314
|
|
|
|
|
924,314
|
|
|
|
Total senior loans (cost $22,685,445)
|
$20,211,533
|
|
|
FOREIGN GOVERNMENT AND AGENCY BONDS (0.2%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013 (India)
|
|
|
INR
|
53,200,000
|
$1,085,850
|
|
|
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014
|
|
|
RUB
|
22,650,000
|
725,996
|
|
|
|
Total foreign government and agency bonds (cost $1,923,868)
|
$1,811,846
|
|
|
CONVERTIBLE BONDS AND NOTES (0.1%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016
|
|
|
|
$345,000
|
$513,188
|
|
|
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014
|
|
|
|
440,000
|
468,600
|
|
|
Trinity Industries, Inc. cv. unsec. sub. notes 3 7/8s, 2036
|
|
|
|
94,000
|
89,770
|
|
|
|
Total convertible bonds and notes (cost $887,922)
|
$1,071,558
|
|
|
PREFERRED STOCKS (0.1%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Ally Financial, Inc. 144A Ser. G, 7.00% cum. pfd.
|
|
|
|
440
|
$328,144
|
|
|
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.
|
|
|
|
28,680
|
601,133
|
|
|
|
Total preferred stocks (cost $881,237)
|
$929,277
|
|
|
CONVERTIBLE PREFERRED STOCKS (0.1%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
General Motors Co. Ser. B, $2.375 cv. pfd.
|
|
|
|
9,017
|
$377,023
|
|
|
Lehman Brothers Holdings, Inc. Ser. P, 7.25% cv. pfd. (In default)
(NON)
|
|
|
|
1,477
|
1,329
|
|
|
Lucent Technologies Capital Trust I 7.75% cv. pfd.
|
|
|
|
407
|
353,581
|
|
|
|
Total convertible preferred stocks (cost $2,242,405)
|
$731,933
|
|
|
WARRANTS (—%)
(a)
(NON)
|
|
|
|
Expiration date
|
Strike Price
|
Warrants
|
Value
|
|
|
|
|
Charter Communications, Inc. Class A
|
|
11/30/14
|
$46.86
|
117
|
$1,258
|
|
|
Smurfit Kappa Group PLC 144A (Ireland)
(F)
|
|
10/1/13
|
EUR 0.001
|
960
|
34,500
|
|
|
|
Total warrants (cost $35,777)
|
$35,758
|
|
|
COMMON STOCKS (—%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Bohai Bay Litigation, LLC (Escrow)
(F)
|
|
|
|
1,327
|
$4,141
|
|
|
Trump Entertainment Resorts, Inc.
(F)
|
|
|
|
224
|
952
|
|
|
Vertis Holdings, Inc.
(F)
|
|
|
|
1,450
|
6,279
|
|
|
|
Total common stocks (cost $12,220)
|
$11,372
|
|
|
SHORT-TERM INVESTMENTS (37.2%)
(a)
|
|
|
|
|
|
Principal amount/shares
|
Value
|
|
|
|
|
Putnam Money Market Liquidity Fund 0.05%
(e)
|
|
|
|
130,200,090
|
$130,200,090
|
|
|
Straight-A Funding, LLC commercial paper with an effective yield of 0.188%, December 20, 2011
|
|
|
|
$5,000,000
|
4,998,707
|
|
|
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, December 29, 2011
|
|
|
|
15,000,000
|
14,995,650
|
|
|
U.S. Treasury Bills with an effective yield of 0.098%, April 5, 2012
(SEG)
(SEGSF)
|
|
|
|
7,000,000
|
6,996,967
|
|
|
U.S. Treasury Bills with an effective yield of 0.050%, February 9, 2012
(SEGSF)
|
|
|
|
200,000
|
199,972
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.088% to 0.131%, May 3, 2012
(SEG)
(SEGSF)
|
|
|
|
34,508,000
|
34,487,328
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.111%, July 26, 2012
(SEG)
(SEGSF)
|
|
|
|
35,312,000
|
35,286,202
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.094% to 0.108%, November 17, 2011
(SEG)
(SEGSF)
|
|
|
|
44,879,000
|
44,874,905
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.092% to 0.094%, August 23, 2012
(SEGSF)
|
|
|
|
19,325,000
|
19,309,979
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.070% to 0.085%, June 28, 2012
(SEGSF)
|
|
|
|
11,658,000
|
11,651,860
|
|
|
|
Total short-term investments (cost $303,001,660)
|
$303,001,660
|
|
|
TOTAL INVESTMENTS
|
|
|
|
Total investments (cost $1,067,792,222)
(b)
|
$1,058,540,820
|
|