|
|
|
|
|
|
|
|
Putnam Premier Income Trust
|
|
|
The fund's portfolio
|
|
4/30/12 (Unaudited)
|
|
|
MORTGAGE-BACKED SECURITIES (32.9%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
American Home Mortgage Investment Trust
|
|
|
|
|
|
|
Ser. 07-1, Class GIOP, IO, 2.078s, 2047
|
|
|
|
$3,157,749
|
$384,807
|
|
FRB Ser. 07-1, Class GA1A, 0.399s, 2047
|
|
|
|
14,815,121
|
8,000,165
|
|
|
Banc of America Commercial Mortgage, Inc. 144A
|
|
|
|
|
|
|
Ser. 01-1, Class J, 6 1/8s, 2036
|
|
|
|
318,946
|
240,804
|
|
Ser. 01-1, Class K, 6 1/8s, 2036
|
|
|
|
718,000
|
86,809
|
|
Ser. 07-5, Class XW, IO, 0.58s, 2051
|
|
|
|
202,470,881
|
3,067,434
|
|
|
Barclays Capital LLC Trust 144A
|
|
|
|
|
|
|
Ser. 09-RR7, Class 1A7, IO, 1.823s, 2046
|
|
|
|
39,770,785
|
1,640,545
|
|
Ser. 09-RR7, Class 2A7, IO, 1.566s, 2047
|
|
|
|
95,028,134
|
4,076,707
|
|
Ser. 09-RR7, Class 2A1, IO, 0 3/4s, 2047
|
|
|
|
104,963,204
|
2,697,554
|
|
Ser. 09-RR7, Class 1A1, IO, 0 3/4s, 2046
|
|
|
|
109,853,486
|
2,812,249
|
|
|
Bear Stearns Alt-A Trust FRB Ser. 06-3, Class 31A1, 3.157s, 2036
|
|
|
|
3,799,594
|
1,633,825
|
|
|
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-IM1, Class A1, 0.469s, 2036
|
|
|
|
2,595,442
|
1,297,721
|
|
|
Bear Stearns Commercial Mortgage Securities, Inc. Ser. 05-PWR7, Class B, 5.214s, 2041
(F)
|
|
|
|
1,641,000
|
1,477,252
|
|
|
Bear Stearns Mortgage Funding Trust
|
|
|
|
|
|
|
Ser. 06-AR2, Class 1X, IO, 0.7s, 2046
|
|
|
|
17,382,194
|
451,937
|
|
Ser. 07-AR5, Class 1X2, IO, 0 1/2s, 2047
|
|
|
|
10,668,628
|
224,041
|
|
Ser. 06-AR5, Class 1X, IO, 0 1/2s, 2046
|
|
|
|
23,845,957
|
441,150
|
|
FRB Ser. 06-AR3, Class 1A1, 0.419s, 2036
|
|
|
|
2,064,562
|
1,042,604
|
|
Ser. 06-AR3, Class 1X, IO, 0.4s, 2036
|
|
|
|
12,459,799
|
174,437
|
|
|
Citigroup Mortgage Loan Trust, Inc. FRB Ser. 07-AR1, Class A3, 0.459s, 2037
|
|
|
|
5,105,750
|
2,731,576
|
|
|
Citigroup/Deutsche Bank Commercial Mortgage Trust 144A Ser. 07-CD5, Class XS, IO, 0.089s, 2044
|
|
|
|
63,723,520
|
235,674
|
|
|
Commercial Mortgage Pass-Through Certificates FRB Ser. 04-LB3A, Class E, 5.526s, 2037
(F)
|
|
|
|
1,522,000
|
1,492,695
|
|
|
Cornerstone Titan PLC 144A
|
|
|
|
|
|
|
FRB Ser. 05-CT1A, Class D, 1.88s, 2014 (United Kingdom)
|
|
|
GBP
|
868,987
|
987,195
|
|
FRB Ser. 05-CT2A, Class E, 1.789s, 2014 (United Kingdom)
|
|
|
GBP
|
286,401
|
348,601
|
|
|
Countrywide Alternative Loan Trust
|
|
|
|
|
|
|
Ser. 06-0A19, Class XP, IO, 2.588s, 2047
|
|
|
|
$36,466,998
|
2,620,012
|
|
FRB Ser. 05-38, Class A1, 1.658s, 2035
|
|
|
|
2,279,045
|
1,458,589
|
|
FRB Ser. 05-62, Class 2A1, 1.158s, 2035
|
|
|
|
2,587,321
|
1,526,519
|
|
FRB Ser. 05-38, Class A3, 0.589s, 2035
|
|
|
|
3,255,021
|
1,953,012
|
|
FRB Ser. 07-AL1, Class A1, 0.489s, 2037
|
|
|
|
5,133,609
|
2,258,788
|
|
FRB Ser. 06-OA6, Class 1A1A, 0.449s, 2046
|
|
|
|
6,718,844
|
3,896,930
|
|
FRB Ser. 06-OA17, Class 1A1A, 0.435s, 2046
|
|
|
|
5,727,581
|
2,935,385
|
|
FRB Ser. 06-OA21, Class A1, 0.43s, 2047
|
|
|
|
4,565,589
|
2,288,730
|
|
FRB Ser. 06-OA12, Class A1B, 0.43s, 2046
|
|
|
|
9,867,150
|
4,958,243
|
|
FRB Ser. 06-OA8, Class 1A1, 0.429s, 2046
|
|
|
|
4,819,324
|
2,795,208
|
|
FRB Ser. 07-OA4, Class A1, 0.409s, 2047
|
|
|
|
6,052,110
|
3,752,308
|
|
FRB Ser. 06-OC8, Class 2A2B, 0.409s, 2036
|
|
|
|
11,092,991
|
5,851,553
|
|
FRB Ser. 07-OA7, Class A1B, 0.379s, 2047
|
|
|
|
2,552,315
|
1,449,077
|
|
FRB Ser. 07-OA3, Class 1A1, 0.379s, 2047
|
|
|
|
3,425,289
|
2,200,749
|
|
FRB Ser. 06-OA18, Class A1, 0.359s, 2046
|
|
|
|
9,778,186
|
6,160,257
|
|
FRB Ser. 06-OC8, Class 2A2A, 0.359s, 2036
|
|
|
|
3,529,305
|
1,694,066
|
|
FRB Ser. 06-HY11, Class A1, 0.359s, 2036
|
|
|
|
3,719,195
|
2,064,153
|
|
|
Countrywide Home Loans
|
|
|
|
|
|
|
FRB Ser. 07-HYB2, Class 3A1, 2.85s, 2047
|
|
|
|
3,933,927
|
2,061,378
|
|
FRB Ser. 06-OA4, Class A1, 1.118s, 2046
|
|
|
|
3,242,997
|
1,475,564
|
|
FRB Ser. 05-3, Class 1A2, 0.529s, 2035
|
|
|
|
1,257,122
|
813,986
|
|
FRB Ser. 06-OA4, Class A2, 0.509s, 2046
|
|
|
|
2,564,390
|
1,141,153
|
|
|
CS First Boston Mortgage Securities Corp. Ser. 05-C6, Class AJ, 5.23s, 2040
(F)
(FWC)
|
|
|
|
2,073,000
|
2,047,396
|
|
|
CS First Boston Mortgage Securities Corp. 144A Ser. 02-CP5, Class M, 5 1/4s, 2035
|
|
|
|
691,000
|
192,563
|
|
|
Deutsche Alt-A Securities, Inc. Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 06-AR1, Class 1A3, 0.569s, 2036
|
|
|
|
11,591,106
|
4,926,220
|
|
FRB Ser. 06-OA1, Class A1, 0.439s, 2047
|
|
|
|
2,475,936
|
1,491,751
|
|
|
DLJ Commercial Mortgage Corp. Ser. 98-CF2, Class B4, 6.04s, 2031
(F)
|
|
|
|
552,708
|
532,013
|
|
|
European Prime Real Estate PLC 144A FRB Ser. 1-A, Class D, 1.863s, 2014 (United Kingdom)
(F)
|
|
|
GBP
|
45,682
|
48,094
|
|
|
Federal Home Loan Mortgage Corp.
|
|
|
|
|
|
|
IFB Ser. 3182, Class SP, 27.639s, 2032
|
|
|
|
$531,936
|
841,522
|
|
IFB Ser. 3408, Class EK, 24.826s, 2037
|
|
|
|
340,703
|
545,832
|
|
IFB Ser. 2979, Class AS, 23.392s, 2034
|
|
|
|
175,928
|
241,966
|
|
IFB Ser. 3072, Class SM, 22.916s, 2035
|
|
|
|
566,123
|
874,452
|
|
IFB Ser. 3072, Class SB, 22.769s, 2035
|
|
|
|
507,085
|
779,902
|
|
IFB Ser. 3031, Class BS, 16.124s, 2035
|
|
|
|
787,667
|
1,061,070
|
|
IFB Ser. 3951, Class CS, IO, 6.51s, 2026
|
|
|
|
13,059,973
|
2,354,191
|
|
IFB Ser. 3727, Class PS, IO, 6.46s, 2038
|
|
|
|
5,966,493
|
771,797
|
|
IFB Ser. 3895, Class SM, IO, 6.41s, 2040
|
|
|
|
11,610,702
|
1,921,200
|
|
IFB Ser. 3940, Class PS, IO, 6.41s, 2040
|
|
|
|
14,227,656
|
2,445,734
|
|
IFB Ser. 3994, Class AS, IO, 6.26s, 2042
|
|
|
|
11,507,647
|
2,266,431
|
|
IFB Ser. 4032, Class SA, IO, 6.258s, 2042
|
|
|
|
15,104,000
|
2,275,040
|
|
IFB Ser. 3922, Class CS, IO, 5.86s, 2041
|
|
|
|
5,077,491
|
779,547
|
|
IFB Ser. 3852, Class TB, 5.76s, 2041
|
|
|
|
3,683,389
|
3,856,324
|
|
IFB Ser. 3768, Class PS, IO, 5.76s, 2036
|
|
|
|
13,886,833
|
1,794,362
|
|
IFB Ser. 3753, Class S, IO, 5.71s, 2040
|
|
|
|
6,017,697
|
985,398
|
|
Ser. 3632, Class CI, IO, 5s, 2038
|
|
|
|
2,485,111
|
201,890
|
|
Ser. 3626, Class DI, IO, 5s, 2037
|
|
|
|
1,629,571
|
76,508
|
|
Ser. 4000, Class PI, IO, 4 1/2s, 2042
|
|
|
|
5,234,455
|
755,855
|
|
Ser. 3747, Class HI, IO, 4 1/2s, 2037
|
|
|
|
1,371,185
|
161,527
|
|
Ser. 4010, Class NI, IO, 4s, 2041
|
|
|
|
9,587,445
|
1,505,900
|
|
Ser. 3738, Class MI, IO, 4s, 2034
|
|
|
|
14,363,939
|
1,270,671
|
|
Ser. 3748, Class NI, IO, 4s, 2034
|
|
|
|
7,069,850
|
638,690
|
|
Ser. 3736, Class QI, IO, 4s, 2034
|
|
|
|
17,428,073
|
827,833
|
|
Ser. 3751, Class MI, IO, 4s, 2034
|
|
|
|
19,005,856
|
958,275
|
|
Ser. 3740, Class KI, IO, 4s, 2033
|
|
|
|
8,897,613
|
366,226
|
|
Ser. T-57, Class 1AX, IO, 0.426s, 2043
|
|
|
|
5,501,370
|
68,767
|
|
Ser. 3124, Class DO, PO, zero %, 2036
|
|
|
|
29,927
|
25,823
|
|
FRB Ser. 3326, Class WF, zero %, 2035
|
|
|
|
21,197
|
18,674
|
|
FRB Ser. 3030, Class EF, zero %, 2035
|
|
|
|
22,914
|
22,828
|
|
FRB Ser. 3007, Class LU, zero %, 2035
|
|
|
|
14,657
|
12,459
|
|
|
Federal National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 06-62, Class PS, 38.468s, 2036
|
|
|
|
713,253
|
1,281,148
|
|
IFB Ser. 07-53, Class SP, 23.325s, 2037
|
|
|
|
492,953
|
766,614
|
|
IFB Ser. 08-24, Class SP, 22.408s, 2038
|
|
|
|
437,136
|
651,875
|
|
IFB Ser. 05-75, Class GS, 19.534s, 2035
|
|
|
|
545,824
|
781,243
|
|
IFB Ser. 05-83, Class QP, 16.773s, 2034
|
|
|
|
560,158
|
761,815
|
|
IFB Ser. 10-129, Class PS, IO, 6.461s, 2038
|
|
|
|
15,630,001
|
2,696,175
|
|
IFB Ser. 12-2, Class PS, IO, 6.311s, 2041
|
|
|
|
4,679,447
|
1,017,780
|
|
IFB Ser. 11-51, Class SJ, IO, 6.311s, 2041
|
|
|
|
7,836,017
|
1,372,400
|
|
IFB Ser. 404, Class S13, IO, 6.161s, 2040
|
|
|
|
12,256,332
|
1,703,789
|
|
IFB Ser. 10-35, Class SG, IO, 6.161s, 2040
|
|
|
|
10,015,008
|
1,618,626
|
|
IFB Ser. 10-140, Class GS, IO, 5.761s, 2039
|
|
|
|
20,570,393
|
3,188,411
|
|
IFB Ser. 11-51, Class SM, IO, 5.611s, 2041
|
|
|
|
13,137,059
|
1,925,630
|
|
IFB Ser. 10-46, Class WS, IO, 5.511s, 2040
|
|
|
|
9,522,683
|
1,181,098
|
|
Ser. 374, Class 6, IO, 5 1/2s, 2036
|
|
|
|
2,088,010
|
282,215
|
|
Ser. 398, Class C5, IO, 5s, 2039
|
|
|
|
1,690,851
|
162,153
|
|
Ser. 10-13, Class EI, IO, 5s, 2038
|
|
|
|
1,080,815
|
68,528
|
|
Ser. 378, Class 19, IO, 5s, 2035
|
|
|
|
5,199,282
|
640,208
|
|
Ser. 12-30, Class TI, IO, 4 1/2s, 2041
|
|
|
|
4,144,242
|
801,248
|
|
Ser. 12-30, Class HI, IO, 4 1/2s, 2040
|
|
|
|
23,938,823
|
4,551,728
|
|
Ser. 366, Class 22, IO, 4 1/2s, 2035
|
|
|
|
1,861,952
|
147,858
|
|
Ser. 406, Class 2, IO, 4s, 2041
|
|
|
|
7,667,209
|
1,164,649
|
|
Ser. 406, Class 1, IO, 4s, 2041
|
|
|
|
4,943,687
|
797,417
|
|
Ser. 03-W10, Class 1, IO, 1.431s, 2043
|
|
|
|
1,051,432
|
49,614
|
|
Ser. 00-T6, IO, 0.771s, 2030
|
|
|
|
4,210,466
|
74,999
|
|
Ser. 99-51, Class N, PO, zero %, 2029
|
|
|
|
60,383
|
57,580
|
|
IFB Ser. 06-48, Class FG, zero %, 2036
|
|
|
|
9,720
|
9,712
|
|
|
FFCA Secured Lending Corp. 144A Ser. 00-1, Class X, IO, 1.085s, 2020
(F)
|
|
|
|
5,336,867
|
135,188
|
|
|
First Union Commercial Mortgage Trust 144A Ser. 99-C1, Class G, 5.35s, 2035
|
|
|
|
891,000
|
473,497
|
|
|
GMAC Commercial Mortgage Securities, Inc. 144A Ser. 99-C3, Class G, 6.974s, 2036
|
|
|
|
5,460
|
4,943
|
|
|
Government National Mortgage Association
|
|
|
|
|
|
|
IFB Ser. 11-56, Class MS, 6.831s, 2041
|
|
|
|
7,489,346
|
8,177,393
|
|
IFB Ser. 11-56, Class SG, 6.831s, 2041
|
|
|
|
4,279,094
|
4,698,017
|
|
IFB Ser. 10-142, Class SA, IO, 6.46s, 2039
|
|
|
|
6,611,067
|
926,582
|
|
IFB Ser. 10-151, Class SL, IO, 6.46s, 2039
|
|
|
|
3,481,856
|
593,169
|
|
IFB Ser. 11-37, Class SB, IO, 6.46s, 2038
|
|
|
|
8,424,952
|
1,161,784
|
|
IFB Ser. 10-85, Class SD, IO, 6.41s, 2038
|
|
|
|
1,141,122
|
192,005
|
|
IFB Ser. 11-37, Class SD, IO, 6.41s, 2038
|
|
|
|
10,839,359
|
1,481,567
|
|
IFB Ser. 10-163, Class SI, IO, 6.389s, 2037
|
|
|
|
9,255,221
|
1,606,771
|
|
IFB Ser. 10-47, Class HS, IO, 6.36s, 2039
|
|
|
|
3,811,089
|
615,834
|
|
IFB Ser. 10-120, Class SB, IO, 5.96s, 2035
|
|
|
|
2,265,392
|
241,015
|
|
IFB Ser. 10-20, Class SC, IO, 5.91s, 2040
|
|
|
|
590,008
|
99,599
|
|
IFB Ser. 11-79, Class AS, IO, 5.87s, 2037
|
|
|
|
7,005,170
|
763,002
|
|
IFB Ser. 10-115, Class SN, IO, 5.86s, 2038
|
|
|
|
3,354,998
|
520,427
|
|
IFB Ser. 10-116, Class SL, IO, 5.81s, 2039
|
|
|
|
3,405,922
|
542,393
|
|
IFB Ser. 11-70, Class SM, IO, 5.65s, 2041
|
|
|
|
5,451,000
|
1,601,177
|
|
IFB Ser. 11-70, Class SH, IO, 5.65s, 2041
|
|
|
|
5,599,000
|
1,656,520
|
|
Ser. 11-140, Class BI, IO, 4 1/2s, 2040
|
|
|
|
3,999,483
|
486,817
|
|
Ser. 11-18, Class PI, IO, 4 1/2s, 2040
|
|
|
|
996,777
|
170,542
|
|
Ser. 10-168, Class PI, IO, 4 1/2s, 2039
|
|
|
|
3,976,207
|
557,464
|
|
Ser. 10-158, Class IP, IO, 4 1/2s, 2039
|
|
|
|
11,406,916
|
1,633,470
|
|
Ser. 12-8, Class PI, IO, 4s, 2041
|
|
|
|
7,458,082
|
1,314,860
|
|
Ser. 11-116, Class BI, IO, 4s, 2026
|
|
|
|
19,506,638
|
2,202,494
|
|
Ser. 12-H02, Class AI, IO, 1.761s, 2062
|
|
|
|
14,014,016
|
1,037,878
|
|
Ser. 12-H05, Class AI, IO, 1.222s, 2062
|
|
|
|
40,848,870
|
2,138,030
|
|
Ser. 12-H04, Class FI, IO, 0.942s, 2062
|
|
|
|
40,568,013
|
1,876,271
|
|
Ser. 11-70, PO, zero %, 2041
|
|
|
|
12,374,311
|
9,711,236
|
|
Ser. 06-36, Class OD, PO, zero %, 2036
|
|
|
|
23,849
|
22,005
|
|
|
Greenpoint Mortgage Funding Trust Ser. 06-AR3, Class 4X, IO, 1s, 2036
|
|
|
|
12,018,496
|
424,253
|
|
|
Greenwich Capital Commercial Funding Corp. FRB Ser. 05-GG3, Class D, 4.986s, 2042
(F)
|
|
|
|
1,583,000
|
1,456,693
|
|
|
GS Mortgage Securities Corp. II 144A Ser. 05-GG4, Class XC, IO, 0.37s, 2039
(F)
|
|
|
|
133,971,056
|
2,398,268
|
|
|
GSC Capital Corp. Mortgage Trust
|
|
|
|
|
|
|
FRB Ser. 06-1, Class A1, 0.439s, 2036
|
|
|
|
1,471,355
|
779,818
|
|
FRB Ser. 06-2, Class A1, 0.419s, 2036
|
|
|
|
2,123,789
|
924,124
|
|
|
GSR Mortgage Loan Trust FRB Ser. 06-OA1, Class 3A1, 2.706s, 2046
|
|
|
|
6,115,216
|
3,195,200
|
|
|
Harborview Mortgage Loan Trust
|
|
|
|
|
|
|
FRB Ser. 05-7, Class 1A1, 3.074s, 2045
|
|
|
|
13,442,621
|
6,788,524
|
|
FRB Ser. 05-3, Class 2A1A, 0.48s, 2035
|
|
|
|
2,305,295
|
1,551,830
|
|
FRB Ser. 06-7, Class 2A1A, 0.44s, 2046
|
|
|
|
2,908,326
|
1,759,537
|
|
|
IndyMac Index Mortgage Loan Trust FRB Ser. 06-AR39, Class A1, 0.419s, 2037
|
|
|
|
7,931,118
|
4,203,493
|
|
|
IndyMac Indx Mortgage Loan Trust FRB Ser. 06-AR35, Class 2A1A, 0.409s, 2037
|
|
|
|
10,772,319
|
5,782,172
|
|
|
JPMorgan Alternative Loan Trust
|
|
|
|
|
|
|
FRB Ser. 07-A2, Class 12A1, 0.439s, 2037
|
|
|
|
4,103,232
|
1,754,132
|
|
FRB Ser. 06-A7, Class 1A1, 0.399s, 2036
|
|
|
|
2,266,436
|
1,082,400
|
|
FRB Ser. 06-A6, Class 1A1, 0.399s, 2036
|
|
|
|
3,994,331
|
2,177,130
|
|
FRB Ser. 07-A1, Class 1A1A, 0.379s, 2037
|
|
|
|
1,613,327
|
693,731
|
|
|
JPMorgan Chase Commercial Mortgage Securities Corp. 144A Ser. 07-CB20, Class X1, IO, 0.215s, 2051
|
|
|
|
123,191,701
|
1,251,258
|
|
|
LB Commercial Conduit Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 99-C1, Class G, 6.41s, 2031
(F)
|
|
|
|
492,082
|
497,049
|
|
Ser. 98-C4, Class J, 5.6s, 2035
|
|
|
|
965,000
|
1,018,751
|
|
|
LB-UBS Commercial Mortgage Trust 144A Ser. 02-C2, Class K, 6.529s, 2035
(F)
|
|
|
|
1,440,000
|
1,446,343
|
|
|
Merrill Lynch Alternative Note Asset Ser. 07-OAR5, Class X, PO, zero %, 2047
|
|
|
|
9,342,682
|
297,798
|
|
|
Merrill Lynch Mortgage Investors, Inc. Ser. 96-C2, Class JS, IO, 2.518s, 2028
(F)
|
|
|
|
648,487
|
15,564
|
|
|
Merrill Lynch Mortgage Trust
|
|
|
|
|
|
|
Ser. 2005-LC1, Class AJ, 5.505s, 2044
(F)
(FWC)
|
|
|
|
1,223,000
|
1,203,995
|
|
Ser. 05-CKI1, Class AJ, 5.391s, 2037
(F)
(FWC)
|
|
|
|
2,509,000
|
2,439,836
|
|
Ser. 04-KEY2, Class D, 5.046s, 2039
|
|
|
|
993,000
|
866,393
|
|
|
Mezz Cap Commercial Mortgage Trust 144A
|
|
|
|
|
|
|
Ser. 04-C1, Class X, IO, 8.751s, 2037
|
|
|
|
949,645
|
71,223
|
|
Ser. 07-C5, Class X, IO, 5.164s, 2049
|
|
|
|
4,198,123
|
314,859
|
|
|
Morgan Stanley Capital I 144A FRB Ser. 04-RR, Class F7, 6s, 2039
(F)
|
|
|
|
3,360,000
|
2,924,501
|
|
|
Mortgage Capital Funding, Inc. Ser. 97-MC2, Class X, IO, 1.987s, 2012
|
|
|
|
1,459
|
—
|
|
|
Residential Accredit Loans, Inc.
|
|
|
|
|
|
|
Ser. 06-Q07, Class X3, IO, 1 1/2s, 2046
|
|
|
|
14,841,265
|
771,746
|
|
Ser. 06-Q07, Class X1, IO, 0.9s, 2046
|
|
|
|
10,081,920
|
322,621
|
|
FRB Ser. 06-QO3, Class A2, 0.499s, 2046
|
|
|
|
8,963,755
|
3,612,393
|
|
|
STRIPS 144A Ser. 03-1A, Class N, 5s, 2018
|
|
|
|
376,000
|
376,000
|
|
|
Structured Asset Mortgage Investments Trust Ser. 07-AR6, Class X2, IO, 0 1/2s, 2047
|
|
|
|
57,503,419
|
1,178,820
|
|
|
Structured Asset Mortgage Investments, Inc.
|
|
|
|
|
|
|
Ser. 06-AR6, Class 2X, IO, 1s, 2046
|
|
|
|
23,935,192
|
907,144
|
|
Ser. 07-AR1, Class 1X, IO, 0.6s, 2037
|
|
|
|
8,302,266
|
178,499
|
|
FRB Ser. 06-AR1, Class 3A1, 0.469s, 2036
|
|
|
|
1,380,050
|
789,665
|
|
Ser. 06-AR8, Class X, IO, 0.4s, 2036
|
|
|
|
36,545,358
|
493,362
|
|
|
Structured Asset Securities Corp. IFB Ser. 07-4, Class 1A3, IO, 6.009s, 2045
|
|
|
|
7,245,199
|
1,159,232
|
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
|
FRB Ser. 05-C20, Class B, 5.409s, 2042
|
|
|
|
2,591,000
|
2,413,936
|
|
Ser. 07-C34, IO, 0.543s, 2046
|
|
|
|
34,031,262
|
496,856
|
|
|
Wachovia Mortgage Loan Trust, LLC FRB Ser. 06-AMN1, Class A2, 0.389s, 2036
|
|
|
|
1,489,908
|
655,560
|
|
|
WAMU Mortgage Pass-Through Certificates FRB Ser. 05-AR17, Class A1C3, 0.719s, 2045
|
|
|
|
2,196,012
|
973,108
|
|
|
Washington Mutual Mortgage Pass-Through Certificates FRB Ser. 06-AR9, Class 2A, 1.009s, 2046
|
|
|
|
7,126,561
|
2,886,257
|
|
|
|
Total mortgage-backed securities (cost $260,143,263)
|
$269,776,710
|
|
|
CORPORATE BONDS AND NOTES (31.3%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (1.9%)
|
|
|
Associated Materials, LLC company guaranty sr. notes 9 1/8s, 2017
|
|
|
|
$139,000
|
$125,100
|
|
|
Atkore International, Inc. company guaranty sr. notes 9 7/8s, 2018
|
|
|
|
695,000
|
708,900
|
|
|
Celanese US Holdings, LLC company guaranty sr. unsec. notes 6 5/8s, 2018 (Germany)
|
|
|
|
620,000
|
666,500
|
|
|
Celanese US Holdings, LLC sr. notes 5 7/8s, 2021 (Germany)
|
|
|
|
430,000
|
461,175
|
|
|
Clondalkin Acquisition BV 144A company guaranty sr. notes FRN 2.474s, 2013 (Netherlands)
|
|
|
|
165,000
|
156,750
|
|
|
Ferro Corp. sr. unsec. notes 7 7/8s, 2018
|
|
|
|
650,000
|
666,250
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 8 1/4s, 2019 (Australia)
|
|
|
|
370,000
|
400,525
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 7s, 2015 (Australia)
|
|
|
|
542,000
|
560,970
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. notes 6 7/8s, 2018 (Australia)
|
|
|
|
420,000
|
425,324
|
|
|
FMG Resources August 2006 Pty, Ltd. 144A sr. unsec. notes 6 7/8s, 2022 (Australia)
|
|
|
|
255,000
|
258,139
|
|
|
Grohe Holding GmbH 144A company guaranty sr. notes FRN 4.876s, 2017 (Germany)
|
|
|
EUR
|
721,000
|
913,368
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty notes 9s, 2020
|
|
|
|
$97,000
|
92,393
|
|
|
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance, ULC company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
375,000
|
392,813
|
|
|
Huntsman International, LLC company guaranty sr. unsec. sub. notes 8 5/8s, 2021
|
|
|
|
661,000
|
754,366
|
|
|
INEOS Finance PLC 144A company guaranty sr. notes 9 1/4s, 2015 (United Kingdom)
|
|
|
EUR
|
270,000
|
380,798
|
|
|
INEOS Finance PLC 144A company guaranty sr. notes 9s, 2015 (United Kingdom)
|
|
|
|
$130,000
|
139,100
|
|
|
INEOS Finance PLC 144A company guaranty sr. notes 7 1/2s, 2020 (Britain)
|
|
|
|
100,000
|
102,750
|
|
|
INEOS Group Holdings, Ltd. company guaranty sr. unsec. notes Ser. REGS, 7 7/8s, 2016 (United Kingdom)
|
|
|
EUR
|
553,000
|
673,197
|
|
|
LyondellBasell Industries NV 144A company guaranty sr. notes 6s, 2021 (Netherlands)
|
|
|
|
$500,000
|
540,000
|
|
|
LyondellBasell Industries NV 144A sr. unsec. notes 5 3/4s, 2024 (Netherlands)
|
|
|
|
525,000
|
542,063
|
|
|
LyondellBasell Industries NV 144A sr. unsec. notes 5s, 2019 (Netherlands)
|
|
|
|
950,000
|
980,875
|
|
|
Momentive Performance Materials, Inc. company guaranty notes 9 1/2s, 2021
|
|
|
EUR
|
310,000
|
321,573
|
|
|
Momentive Performance Materials, Inc. notes 9s, 2021
|
|
|
|
$96,000
|
83,040
|
|
|
Monaco SpinCo, Inc. 144A company guaranty sr. unsec notes 6 3/4s, 2020
|
|
|
|
90,000
|
93,150
|
|
|
Novelis, Inc. company guaranty sr. unsec. notes 8 3/4s, 2020
|
|
|
|
360,000
|
396,900
|
|
|
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
|
686,000
|
977,716
|
|
|
SGL Carbon SE company guaranty sr. sub. notes FRN Ser. EMTN, 2.307s, 2015 (Germany)
|
|
|
EUR
|
339,000
|
440,891
|
|
|
Smurfit Kappa Funding PLC sr. unsec. sub. notes 7 3/4s, 2015 (Ireland)
|
|
|
|
$259,000
|
260,295
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 8 3/4s, 2017
|
|
|
|
341,000
|
385,330
|
|
|
Solutia, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
732,000
|
849,120
|
|
|
Steel Dynamics, Inc. sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
550,000
|
570,625
|
|
|
Teck Resources Limited sr. notes 10 1/4s, 2016 (Canada)
|
|
|
|
291,000
|
333,595
|
|
|
Thompson Creek Metals Co., Inc. company guaranty sr. unsec. notes 7 3/8s, 2018
|
|
|
|
37,000
|
31,635
|
|
|
TPC Group, LLC company guaranty sr. notes 8 1/4s, 2017
|
|
|
|
456,000
|
478,800
|
|
|
Verso Paper Holdings, LLC/Verso Paper, Inc. company guaranty sr. notes 8 3/4s, 2019
|
|
|
|
200,000
|
98,000
|
|
|
|
|
15,808,026
|
|
Capital goods (1.8%)
|
|
|
Alliant Techsystems, Inc. sr. sub. notes 6 3/4s, 2016
|
|
|
|
466,000
|
477,068
|
|
|
Altra Holdings, Inc. company guaranty sr. notes 8 1/8s, 2016
|
|
|
|
225,000
|
242,438
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 7 3/4s, 2019
|
|
|
|
574,000
|
612,745
|
|
|
American Axle & Manufacturing, Inc. company guaranty sr. unsec. notes 5 1/4s, 2014
|
|
|
|
244,000
|
252,540
|
|
|
American Axle & Manufacturing, Inc. 144A company guaranty sr. notes 9 1/4s, 2017
|
|
|
|
83,000
|
92,338
|
|
|
ARD Finance SA sr. sec. Ser. REGS, 11 1/8s, 2018 (Luxembourg)
(PIK)
|
|
|
EUR
|
150,000
|
179,978
|
|
|
ARD Finance SA 144A sr. notes 11 1/8s, 2018 (Luxembourg)
(PIK)
|
|
|
EUR
|
105,964
|
127,141
|
|
|
Ardagh Packaging Finance PLC sr. notes Ser. REGS, 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
190,000
|
264,601
|
|
|
Ardagh Packaging Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (Ireland)
|
|
|
EUR
|
130,000
|
181,043
|
|
|
Ball Corp. company guaranty sr. unsec. notes 5s, 2022
|
|
|
|
$82,000
|
83,435
|
|
|
BE Aerospace, Inc. sr. unsec. unsub. notes 6 7/8s, 2020
|
|
|
|
689,000
|
761,345
|
|
|
BE Aerospace, Inc. sr. unsec. unsub. notes 5 1/4s, 2022
|
|
|
|
325,000
|
329,875
|
|
|
Berry Plastics Corp. company guaranty notes 9 1/2s, 2018
|
|
|
|
199,000
|
210,940
|
|
|
Berry Plastics Corp. company guaranty unsub. notes 9 3/4s, 2021
|
|
|
|
56,000
|
61,180
|
|
|
Berry Plastics Holding Corp. company guaranty sr. unsec. sub. notes 10 1/4s, 2016
|
|
|
|
425,000
|
439,875
|
|
|
Briggs & Stratton Corp. company guaranty sr. unsec. notes 6 7/8s, 2020
|
|
|
|
345,000
|
364,838
|
|
|
Crown Euro Holdings SA 144A sr. notes 7 1/8s, 2018 (France)
|
|
|
EUR
|
100,000
|
142,447
|
|
|
Kratos Defense & Security Solutions, Inc. company guaranty sr. notes 10s, 2017
|
|
|
|
$909,000
|
977,175
|
|
|
Legrand SA unsec. unsub. debs. 8 1/2s, 2025 (France)
|
|
|
|
860,000
|
1,116,321
|
|
|
Mueller Water Products, Inc. company guaranty sr. unsec. unsub. notes 8 3/4s, 2020
|
|
|
|
57,000
|
63,983
|
|
|
Pittsburgh Glass Works, LLC 144A sr. notes 8 1/2s, 2016
|
|
|
|
587,000
|
578,195
|
|
|
Polypore International, Inc. company guaranty sr. unsec. notes 7 1/2s, 2017
|
|
|
|
265,000
|
278,250
|
|
|
Rexam PLC unsec. sub. bonds FRB 6 3/4s, 2067 (United Kingdom)
|
|
|
EUR
|
350,000
|
438,972
|
|
|
Rexel SA company guaranty sr. unsec. notes 8 1/4s, 2016 (France)
|
|
|
EUR
|
593,000
|
847,633
|
|
|
Reynolds Group Issuer, Inc. 144A company guaranty sr. notes 7 1/8s, 2019
|
|
|
|
$160,000
|
167,200
|
|
|
Reynolds Group Issuer, Inc. 144A company guaranty sr. unsec. notes 9s, 2019
|
|
|
|
185,000
|
185,925
|
|
|
Reynolds Group Issuer, Inc. 144A sr. unsec. notes 8 1/2s, 2021 (New Zealand)
|
|
|
|
120,000
|
115,800
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A company guaranty sr. notes 7 3/4s, 2016
|
|
|
|
843,000
|
1,163,739
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. notes 7 7/8s, 2019
|
|
|
|
150,000
|
162,000
|
|
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer, LLC/Reynolds Group Issuer Lu 144A sr. unsec. notes 9 7/8s, 2019
|
|
|
|
150,000
|
156,000
|
|
|
Ryerson, Inc. company guaranty sr. notes 12s, 2015
|
|
|
|
777,000
|
810,023
|
|
|
Silgan Holdings, Inc. 144A sr. notes 5s, 2020
|
|
|
|
127,000
|
128,270
|
|
|
Tenneco, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2018
|
|
|
|
345,000
|
374,325
|
|
|
Tenneco, Inc. company guaranty sr. unsub. notes 6 7/8s, 2020
|
|
|
|
330,000
|
354,750
|
|
|
Terex Corp. sr. unsec. sub. notes 8s, 2017
|
|
|
|
137,000
|
143,508
|
|
|
Thermadyne Holdings Corp. company guaranty sr. notes 9s, 2017
|
|
|
|
742,000
|
758,695
|
|
|
Thermadyne Holdings Corp. 144A sr. notes 9s, 2017
|
|
|
|
275,000
|
281,188
|
|
|
Thermon Industries, Inc. company guaranty sr. notes 9 1/2s, 2017
|
|
|
|
232,000
|
255,200
|
|
|
TransDigm, Inc. company guaranty unsec. sub. notes 7 3/4s, 2018
|
|
|
|
665,000
|
724,850
|
|
|
|
|
14,905,829
|
|
Communication services (3.8%)
|
|
|
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
|
219,500
|
|
|
Cablevision Systems Corp. sr. unsec. unsub. notes 8s, 2020
|
|
|
|
400,000
|
432,000
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
311,000
|
336,658
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsec. notes 6 1/2s, 2021
|
|
|
|
296,000
|
309,320
|
|
|
CCO Holdings, LLC/CCO Holdings Capital Corp. company guaranty sr. unsub. notes 7s, 2019
|
|
|
|
237,000
|
253,590
|
|
|
Cequel Communications Holdings I, LLC/Cequel Capital Corp. 144A sr. notes 8 5/8s, 2017
|
|
|
|
347,000
|
374,760
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. notes 7s, 2015
|
|
|
|
195,000
|
196,950
|
|
|
Cincinnati Bell, Inc. company guaranty sr. unsec. sub. notes 8 3/4s, 2018
|
|
|
|
620,000
|
579,700
|
|
|
Clearwire Communications, LLC/Clearwire Finance, Inc. 144A company guaranty sr. notes 12s, 2015
|
|
|
|
811,000
|
748,148
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. notes 7 3/4s, 2020
|
|
|
|
550,000
|
515,625
|
|
|
Cricket Communications, Inc. company guaranty sr. unsec. unsub. notes 10s, 2015
|
|
|
|
870,000
|
906,975
|
|
|
Cricket Communications, Inc. company guaranty sr. unsub. notes 7 3/4s, 2016
|
|
|
|
1,110,000
|
1,168,275
|
|
|
Crown Castle International Corp. sr. unsec. notes 7 1/8s, 2019
|
|
|
|
160,000
|
175,200
|
|
|
Digicel, Ltd. 144A sr. unsec. notes 8 1/4s, 2017 (Jamaica)
|
|
|
|
717,000
|
747,473
|
|
|
Equinix, Inc. sr. unsec. notes 7s, 2021
|
|
|
|
305,000
|
333,213
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/4s, 2017
|
|
|
|
140,000
|
150,850
|
|
|
Frontier Communications Corp. sr. unsec. notes 8 1/8s, 2018
|
|
|
|
1,586,000
|
1,661,335
|
|
|
Hughes Satellite Systems Corp. company guaranty sr. notes 6 1/2s, 2019
|
|
|
|
488,000
|
522,160
|
|
|
Hughes Satellite Systems Corp. company guaranty sr. unsec. notes 7 5/8s, 2021
|
|
|
|
594,000
|
643,748
|
|
|
Inmarsat Finance PLC 144A company guaranty sr. notes 7 3/8s, 2017 (United Kingdom)
|
|
|
|
979,000
|
1,052,425
|
|
|
Intelsat Jackson Holdings SA company guaranty sr. unsec. notes 7 1/2s, 2021 (Bermuda)
|
|
|
|
323,000
|
339,150
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
2,168,562
|
2,260,726
|
|
|
Intelsat Luxembourg SA company guaranty sr. unsec. notes 11 1/4s, 2017 (Luxembourg)
|
|
|
|
586,000
|
607,975
|
|
|
Intelsat Luxembourg SA 144A company guaranty sr. unsec. notes 11 1/2s, 2017 (Luxembourg)
(PIK)
|
|
|
|
310,000
|
320,075
|
|
|
Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG 144A company guaranty sr. notes 7 1/2s, 2019 (Germany)
|
|
|
EUR
|
305,000
|
419,353
|
|
|
Kabel Deutschland GmbH 144A sr. sec. bonds 6 1/2s, 2018 (Germany)
|
|
|
EUR
|
245,000
|
340,188
|
|
|
Level 3 Financing, Inc. company guaranty sr. unsec. unsub. notes 9 3/8s, 2019
|
|
|
|
$285,000
|
310,650
|
|
|
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes 8 1/8s, 2019
|
|
|
|
85,000
|
87,338
|
|
|
Level 3 Financing, Inc. 144A company guaranty sr. unsec. notes FRN 8 5/8s, 2020
|
|
|
|
332,000
|
347,770
|
|
|
Mediacom, LLC/Mediacom Capital Corp. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
131,000
|
142,790
|
|
|
MetroPCS Wireless, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
945,000
|
970,988
|
|
|
Nextel Communications, Inc. company guaranty sr. unsec. notes Ser. D, 7 3/8s, 2015
|
|
|
|
131,000
|
127,070
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 10s, 2016
|
|
|
|
839,000
|
939,680
|
|
|
NII Capital Corp. company guaranty sr. unsec. unsub. notes 7 5/8s, 2021
|
|
|
|
195,000
|
181,838
|
|
|
PAETEC Holding Corp. company guaranty sr. notes 8 7/8s, 2017
|
|
|
|
616,000
|
672,980
|
|
|
PAETEC Holding Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
371,000
|
420,158
|
|
|
Phones4U Finance PLC 144A sr. notes 9 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
410,000
|
602,177
|
|
|
Qwest Communications International, Inc. company guaranty 7 1/2s, 2014
|
|
|
|
$359,000
|
359,898
|
|
|
Qwest Corp. sr. unsec. notes 7 1/2s, 2014
|
|
|
|
145,000
|
163,125
|
|
|
Qwest Corp. sr. unsec. unsub. notes 7 1/4s, 2025
|
|
|
|
382,000
|
422,110
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8 1/4s, 2019
|
|
|
|
153,000
|
168,683
|
|
|
SBA Telecommunications, Inc. company guaranty sr. unsec. notes 8s, 2016
|
|
|
|
263,000
|
281,739
|
|
|
Sprint Capital Corp. company guaranty 8 3/4s, 2032
|
|
|
|
79,000
|
66,953
|
|
|
Sprint Capital Corp. company guaranty 6 7/8s, 2028
|
|
|
|
110,000
|
82,225
|
|
|
Sprint Nextel Corp. sr. notes 8 3/8s, 2017
|
|
|
|
2,049,000
|
1,972,163
|
|
|
Sprint Nextel Corp. sr. unsec. notes 6s, 2016
|
|
|
|
330,000
|
299,475
|
|
|
Sprint Nextel Corp. 144A company guaranty sr. unsec. notes 9s, 2018
|
|
|
|
539,000
|
594,248
|
|
|
Sprint Nextel Corp. 144A sr. unsec. notes 9 1/8s, 2017
|
|
|
|
370,000
|
367,225
|
|
|
Sunrise Communications Holdings SA 144A company guaranty sr. notes 8 1/2s, 2018 (Luxembourg)
|
|
|
EUR
|
145,000
|
201,355
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
CHF
|
160,000
|
185,957
|
|
|
Sunrise Communications International SA 144A company guaranty sr. notes 7s, 2017 (Luxembourg)
|
|
|
EUR
|
100,000
|
139,644
|
|
|
Unitymedia GmbH company guaranty sr. notes Ser. REGS, 9 5/8s, 2019 (Germany)
|
|
|
EUR
|
678,000
|
964,429
|
|
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH 144A company guaranty sr. notes 8 1/8s, 2017 (Germany)
|
|
|
EUR
|
489,000
|
676,922
|
|
|
UPC Holdings BV sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
EUR
|
677,000
|
937,287
|
|
|
Virgin Media Finance PLC company guaranty sr. unsec. bonds 8 7/8s, 2019 (United Kingdom)
|
|
|
GBP
|
79,000
|
143,248
|
|
|
Virgin Media Finance PLC company guaranty sr. unsec. unsub. notes 5 1/4s, 2022 (United Kingdom)
|
|
|
|
$200,000
|
199,761
|
|
|
Wind Acquisition Finance SA 144A company guaranty sr. sec. bonds 7 3/8s, 2018 (Luxembourg)
|
|
|
EUR
|
760,000
|
904,828
|
|
|
Wind Acquisition Holding company guaranty sr. notes Ser. REGS, 12 1/4s, 2017 (Luxembourg)
(PIK)
|
|
|
EUR
|
235,597
|
267,039
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
|
|
|
|
$140,000
|
150,500
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 7/8s, 2017
|
|
|
|
584,000
|
645,320
|
|
|
Windstream Corp. company guaranty sr. unsec. unsub. notes 7 3/4s, 2021
|
|
|
|
254,000
|
272,415
|
|
|
|
|
31,062,160
|
|
Consumer cyclicals (5.7%)
|
|
|
Academy, Ltd./Academy Finance Corp. 144A company guaranty sr. unsec. notes 9 1/4s, 2019
|
|
|
|
60,000
|
63,900
|
|
|
Affinion Group Holdings, Inc. company guaranty sr. unsec. notes 11 5/8s, 2015
|
|
|
|
50,000
|
42,250
|
|
|
Affinion Group, Inc. company guaranty sr. unsec. notes 7 7/8s, 2018
|
|
|
|
955,000
|
833,238
|
|
|
Affinion Group, Inc. company guaranty sr. unsec. sub. notes 11 1/2s, 2015
|
|
|
|
560,000
|
495,600
|
|
|
AMC Entertainment, Inc. company guaranty sr. sub. notes 9 3/4s, 2020
|
|
|
|
410,000
|
399,750
|
|
|
American Casino & Entertainment Properties LLC sr. notes 11s, 2014
|
|
|
|
522,000
|
551,363
|
|
|
AmeriGas Finance, LLC/AmeriGas Finance Corp. company guaranty sr. unsec notes 7s, 2022
|
|
|
|
335,000
|
342,538
|
|
|
ARAMARK Holdings Corp. 144A sr. unsec. notes 8 5/8s, 2016
(PIK)
|
|
|
|
167,000
|
170,968
|
|
|
Autonation, Inc. company guaranty sr. unsec. notes 6 3/4s, 2018
|
|
|
|
600,000
|
651,000
|
|
|
Autonation, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2020
|
|
|
|
130,000
|
132,600
|
|
|
Beazer Homes USA, Inc. company guaranty sr. unsec. notes 6 7/8s, 2015
|
|
|
|
172,000
|
157,380
|
|
|
Beazer Homes USA, Inc. sr. unsec. notes 9 1/8s, 2019
|
|
|
|
164,000
|
137,350
|
|
|
Bon-Ton Department Stores, Inc. (The) company guaranty 10 1/4s, 2014
|
|
|
|
675,000
|
555,188
|
|
|
Building Materials Corp. 144A company guaranty sr. notes 7 1/2s, 2020
|
|
|
|
235,000
|
252,038
|
|
|
Building Materials Corp. 144A sr. notes 7s, 2020
|
|
|
|
140,000
|
149,450
|
|
|
Building Materials Corp. 144A sr. notes 6 7/8s, 2018
|
|
|
|
180,000
|
189,000
|
|
|
Building Materials Corp. 144A sr. notes 6 3/4s, 2021
|
|
|
|
360,000
|
374,850
|
|
|
Burlington Coat Factory Warehouse Corp. company guaranty sr. unsec notes 10s, 2019
|
|
|
|
320,000
|
342,400
|
|
|
Caesars Entertainment Operating Co., Inc. company guaranty sr. notes 10s, 2018
|
|
|
|
954,000
|
719,078
|
|
|
Caesars Entertainment Operating Co., Inc. sr. notes 11 1/4s, 2017
|
|
|
|
898,000
|
992,290
|
|
|
Caesars Operating Escrow LLC/Caesars Escrow Corp. 144A sr. sub. notes 8 1/2s, 2020
|
|
|
|
355,000
|
365,650
|
|
|
Carlson Wagonlit BV company guaranty sr. sec. notes FRN Ser. REGS, 6.881s, 2015 (Netherlands)
|
|
|
EUR
|
186,000
|
234,870
|
|
|
Cedar Fair LP/Canada's Wonderland Co./Magnum Management Corp. company guaranty sr. unsec. notes 9 1/8s, 2018
|
|
|
|
$170,000
|
190,400
|
|
|
Cenveo Corp. company guaranty sr. notes 8 7/8s, 2018
|
|
|
|
265,000
|
243,800
|
|
|
Chrysler Group, LLC/CG Co-Issuer, Inc. company guaranty notes 8 1/4s, 2021
|
|
|
|
705,000
|
729,675
|
|
|
Cinemark USA, Inc. company guaranty sr. unsec. sub. notes 7 3/8s, 2021
|
|
|
|
100,000
|
108,000
|
|
|
CityCenter Holdings LLC/CityCenter Finance Corp. company guaranty 10 3/4s, 2017
(PIK)
|
|
|
|
699,906
|
776,896
|
|
|
Clear Channel Communications, Inc. company guaranty sr. notes 9s, 2021
|
|
|
|
313,000
|
283,265
|
|
|
Clear Channel Communications, Inc. company guaranty unsec. unsub. notes 10 3/4s, 2016
|
|
|
|
214,000
|
157,825
|
|
|
Clear Channel Worldwide Holdings, Inc. company guaranty sr. unsec. unsub. notes Ser. B, 9 1/4s, 2017
|
|
|
|
1,083,000
|
1,187,239
|
|
|
Compucom Systems, Inc. 144A sr. sub. notes 12 1/2s, 2015
|
|
|
|
305,000
|
321,013
|
|
|
Conti-Gummi Finance B.V. company guaranty bonds Ser. REGS, 7 1/8s, 2018 (Netherlands)
|
|
|
EUR
|
708,000
|
987,919
|
|
|
Cumulus Media Holdings, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019
|
|
|
|
$540,000
|
510,975
|
|
|
DIRECTV Holdings, LLC/DIRECTV Financing Co., Inc. company guaranty sr. unsec. notes 7 5/8s, 2016
|
|
|
|
262,000
|
271,990
|
|
|
DISH DBS Corp. company guaranty 7 1/8s, 2016
|
|
|
|
28,000
|
31,010
|
|
|
DISH DBS Corp. company guaranty 6 5/8s, 2014
|
|
|
|
1,214,000
|
1,317,190
|
|
|
DISH DBS Corp. company guaranty sr. unsec. notes 7 3/4s, 2015
|
|
|
|
274,000
|
308,250
|
|
|
DISH DBS Corp. company guaranty sr. unsec. notes 6 3/4s, 2021
|
|
|
|
443,000
|
485,085
|
|
|
FelCor Lodging LP company guaranty sr. notes 6 3/4s, 2019
(R)
|
|
|
|
695,000
|
701,950
|
|
|
Ford Motor Credit Co., LLC sr. unsec. notes 5s, 2018
|
|
|
|
890,000
|
961,760
|
|
|
Ford Motor Credit Co., LLC sr. unsec. unsub. notes 5 7/8s, 2021
|
|
|
|
250,000
|
281,875
|
|
|
Gray Television, Inc. company guaranty sr. notes 10 1/2s, 2015
|
|
|
|
480,000
|
504,000
|
|
|
Grupo Televisa, S.A.B sr. unsec. bonds 6 5/8s, 2040 (Mexico)
|
|
|
|
195,000
|
233,605
|
|
|
Grupo Televisa, S.A.B sr. unsec. notes 6s, 2018 (Mexico)
|
|
|
|
128,000
|
149,347
|
|
|
Hanesbrands, Inc. company guaranty sr. unsec. notes 6 3/8s, 2020
|
|
|
|
407,000
|
420,228
|
|
|
HD Supply, Inc. 144A company guaranty sr. notes 8 1/8s, 2019
|
|
|
|
315,000
|
338,625
|
|
|
Host Hotels & Resorts LP company guaranty sr. unsec. unsub. notes Ser. Q, 6 3/4s, 2016
(R)
|
|
|
|
140,000
|
143,850
|
|
|
Interactive Data Corp. company guaranty sr. unsec. notes 10 1/4s, 2018
|
|
|
|
1,007,000
|
1,137,910
|
|
|
Isle of Capri Casinos, Inc. company guaranty 7s, 2014
|
|
|
|
350,000
|
349,125
|
|
|
Isle of Capri Casinos, Inc. company guaranty sr. unsec. unsub. notes 7 3/4s, 2019
|
|
|
|
821,000
|
845,630
|
|
|
ISS Holdings A/S sr. sub. notes Ser. REGS, 8 7/8s, 2016 (Denmark)
|
|
|
EUR
|
698,000
|
931,510
|
|
|
Jarden Corp. company guaranty sr. unsec. sub. notes Ser. 1, 7 1/2s, 2020
|
|
|
EUR
|
75,000
|
102,167
|
|
|
Lamar Media Corp. company guaranty sr. notes 9 3/4s, 2014
|
|
|
|
$225,000
|
254,531
|
|
|
Lamar Media Corp. 144A sr. sub. notes 5 7/8s, 2022
|
|
|
|
130,000
|
133,575
|
|
|
Lender Processing Services, Inc. company guaranty sr. unsec. unsub. notes 8 1/8s, 2016
|
|
|
|
1,760,000
|
1,837,000
|
|
|
Limited Brands, Inc. company guaranty sr. unsec. notes 6 5/8s, 2021
|
|
|
|
360,000
|
389,700
|
|
|
Limited Brands, Inc. sr. notes 5 5/8s, 2022
|
|
|
|
190,000
|
191,188
|
|
|
Lottomatica SpA sub. notes FRN Ser. REGS, 8 1/4s, 2066 (Italy)
|
|
|
EUR
|
730,000
|
862,694
|
|
|
Macy's Retail Holdings, Inc. company guaranty sr. unsec. notes 5.9s, 2016
|
|
|
|
$460,000
|
529,202
|
|
|
Mashantucket Western Pequot Tribe 144A bonds Ser. A, 8 1/2s, 2015 (In default)
(NON)
|
|
|
|
760,000
|
69,350
|
|
|
Masonite International Corp., 144A company guaranty sr. notes 8 1/4s, 2021 (Canada)
|
|
|
|
290,000
|
301,600
|
|
|
MGM Resorts International company guaranty sr. notes 9s, 2020
|
|
|
|
103,000
|
114,845
|
|
|
MGM Resorts International company guaranty sr. unsec. notes 6 7/8s, 2016
|
|
|
|
145,000
|
147,900
|
|
|
MGM Resorts International company guaranty sr. unsec. notes 6 5/8s, 2015
|
|
|
|
471,000
|
489,840
|
|
|
MGM Resorts International company guaranty sr. unsec. unsub. notes 7 3/4s, 2022
|
|
|
|
255,000
|
261,375
|
|
|
MTR Gaming Group, Inc. company guaranty notes 11 1/2s, 2019
(PIK)
|
|
|
|
1,200,975
|
1,200,975
|
|
|
Navistar International Corp. sr. notes 8 1/4s, 2021
|
|
|
|
899,000
|
961,930
|
|
|
Needle Merger Sub Corp. 144A sr. unsec. notes 8 1/8s, 2019
|
|
|
|
315,000
|
315,000
|
|
|
Nielsen Finance, LLC/Nielsen Finance Co. company guaranty sr. unsec. notes 7 3/4s, 2018
|
|
|
|
345,000
|
381,225
|
|
|
Nortek, Inc. company guaranty sr. unsec. notes 10s, 2018
|
|
|
|
266,000
|
280,630
|
|
|
Nortek, Inc. company guaranty sr. unsec. notes 8 1/2s, 2021
|
|
|
|
355,000
|
350,563
|
|
|
Owens Corning company guaranty sr. unsec. notes 9s, 2019
|
|
|
|
1,248,000
|
1,544,400
|
|
|
Penn National Gaming, Inc. sr. unsec. sub. notes 8 3/4s, 2019
|
|
|
|
115,000
|
128,225
|
|
|
Penske Automotive Group, Inc. company guaranty sr. unsec. sub. notes 7 3/4s, 2016
|
|
|
|
380,000
|
395,679
|
|
|
PETCO Animal Supplies, Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
235,000
|
257,913
|
|
|
PHH Corp. sr. unsec. unsub. notes 9 1/4s, 2016
|
|
|
|
230,000
|
234,600
|
|
|
Pinnacle Entertainment, Inc. company guaranty sr. unsec. notes 8 5/8s, 2017
|
|
|
|
120,000
|
131,400
|
|
|
Polish Television Holding BV sr. notes stepped-coupon Ser. REGS, 11 1/4s (13s, 11/15/14), 2017 (Netherlands)
(STP)
|
|
|
EUR
|
790,000
|
1,042,732
|
|
|
QVC Inc. 144A sr. notes 7 1/2s, 2019
|
|
|
|
$275,000
|
302,500
|
|
|
Realogy Corp. 144A company guaranty sr. notes 7 7/8s, 2019
|
|
|
|
120,000
|
117,600
|
|
|
Roofing Supply Group, LLC/Roofing Supply Finance, Inc. 144A sr. notes 8 5/8s, 2017
|
|
|
|
293,000
|
334,020
|
|
|
Sabre Holdings Corp. sr. unsec. unsub. notes 8.35s, 2016
|
|
|
|
354,000
|
327,450
|
|
|
Schaeffler Finance BV 144A company guaranty sr. notes 8 3/4s, 2019 (Russia)
|
|
|
|
595,000
|
828,951
|
|
|
Scotts Miracle-Gro Co. (The) company guaranty sr. unsec. unsub. notes 6 5/8s, 2020
|
|
|
|
330,000
|
349,800
|
|
|
Sealy Mattress Co. 144A company guaranty sr. notes 10 7/8s, 2016
|
|
|
|
218,000
|
236,532
|
|
|
Sears Holdings Corp. company guaranty 6 5/8s, 2018
|
|
|
|
323,000
|
286,663
|
|
|
Spectrum Brands Holdings, Inc. Company guaranty sr. notes 9 1/2s, 2018
|
|
|
|
879,000
|
995,468
|
|
|
Spectrum Brands Holdings, Inc. 144A sr. notes 6 3/4s, 2020
|
|
|
|
255,000
|
260,738
|
|
|
SugarHouse HSP Gaming Prop. Mezz LP/SugarHouse HSP Gaming Finance Corp. 144A notes 8 5/8s, 2016
|
|
|
|
165,000
|
175,313
|
|
|
Toys R Us - Delaware, Inc. 144A company guaranty sr. notes 7 3/8s, 2016
|
|
|
|
105,000
|
106,838
|
|
|
Toys R Us Property Co., LLC company guaranty sr. notes 8 1/2s, 2017
|
|
|
|
135,000
|
140,400
|
|
|
Toys R Us Property Co., LLC company guaranty sr. unsec. notes 10 3/4s, 2017
|
|
|
|
607,000
|
667,700
|
|
|
Toys R Us, Inc. sr. unsec. unsub. notes 7 7/8s, 2013
|
|
|
|
45,000
|
46,125
|
|
|
Travelport, LLC company guaranty sr. unsec. sub. notes 11 7/8s, 2016
|
|
|
|
299,000
|
100,165
|
|
|
Travelport, LLC company guaranty sr. unsec. unsub. notes 9 7/8s, 2014
|
|
|
|
96,000
|
64,080
|
|
|
Travelport, LLC/Travelport, Inc. company guaranty sr. unsec. notes 9s, 2016
|
|
|
|
581,000
|
367,483
|
|
|
TRW Automotive, Inc. company guaranty sr. unsec. unsub. notes Ser. REGS, 6 3/8s, 2014
|
|
|
EUR
|
235,000
|
317,975
|
|
|
TRW Automotive, Inc. 144A company guaranty sr. notes 7 1/4s, 2017
|
|
|
|
$800,000
|
912,000
|
|
|
TVN Finance Corp. III AB 144A company guaranty sr. unsec. notes 7 7/8s, 2018 (Sweden)
|
|
|
EUR
|
50,000
|
64,093
|
|
|
Univision Communications, Inc. 144A sr. notes 6 7/8s, 2019
|
|
|
|
$455,000
|
460,119
|
|
|
Wynn Las Vegas, LLC/Wynn Las Vegas Capital Corp. company guaranty 1st mtge. notes 7 3/4s, 2020
|
|
|
|
250,000
|
276,250
|
|
|
XM Satellite Radio, Inc. 144A company guaranty sr. unsec. notes 13s, 2013
|
|
|
|
145,000
|
164,031
|
|
|
XM Satellite Radio, Inc. 144A sr. unsec. notes 7 5/8s, 2018
|
|
|
|
1,206,000
|
1,314,540
|
|
|
YCC Holdings, LLC/Yankee Finance, Inc. sr. unsec. notes 10 1/4s, 2016
(PIK)
|
|
|
|
305,000
|
311,863
|
|
|
Yonkers Racing Corp. 144A sr. notes 11 3/8s, 2016
|
|
|
|
801,000
|
862,076
|
|
|
|
|
46,363,710
|
|
Consumer staples (1.8%)
|
|
|
Anheuser-Busch InBev Worldwide, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
BRL
|
1,500,000
|
821,032
|
|
|
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 9 5/8s, 2018
|
|
|
|
$275,000
|
299,750
|
|
|
Avis Budget Car Rental, LLC company guaranty sr. unsec. unsub. notes 7 3/4s, 2016
|
|
|
|
730,000
|
749,163
|
|
|
Avis Budget Car Rental, LLC 144A company guaranty sr. unsec. unsub. notes 8 1/4s, 2019
|
|
|
|
115,000
|
120,463
|
|
|
Boparan Finance PLC 144A company guaranty sr. unsec. unsub. bonds 9 3/4s, 2018 (United Kingdom)
|
|
|
EUR
|
135,000
|
186,468
|
|
|
Burger King Corp. company guaranty sr. unsec. notes 9 7/8s, 2018
|
|
|
|
$432,000
|
490,860
|
|
|
CKE Holdings, Inc. 144A sr. notes 10 1/2s, 2016
(PIK)
|
|
|
|
245,517
|
263,317
|
|
|
Claire's Stores, Inc. company guaranty sr. notes 8 7/8s, 2019
|
|
|
|
284,000
|
250,630
|
|
|
Claire's Stores, Inc. 144A sr. notes 9s, 2019
|
|
|
|
385,000
|
396,550
|
|
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 7 1/4s, 2016
|
|
|
|
142,000
|
160,460
|
|
|
Constellation Brands, Inc. company guaranty sr. unsec. unsub. notes 6s, 2022
|
|
|
|
200,000
|
210,500
|
|
|
Corrections Corporation of America company guaranty sr. notes 7 3/4s, 2017
|
|
|
|
599,000
|
650,664
|
|
|
Dean Foods Co. company guaranty sr. unsec. unsub. notes 7s, 2016
|
|
|
|
279,000
|
290,160
|
|
|
DineEquity, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018
|
|
|
|
265,000
|
292,825
|
|
|
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
|
806,000
|
1,078,980
|
|
|
Elizabeth Arden, Inc. sr. unsec. unsub. notes 7 3/8s, 2021
|
|
|
|
$380,000
|
417,050
|
|
|
Enterprise Inns PLC sr. unsub. mtge. notes 6 1/2s, 2018 (United Kingdom)
|
|
|
GBP
|
300,000
|
396,049
|
|
|
Hertz Corp. (The) company guaranty sr. unsec. notes 7 1/2s, 2018
|
|
|
|
$155,000
|
166,238
|
|
|
Hertz Holdings Netherlands BV 144A sr. bonds 8 1/2s, 2015 (Netherlands)
|
|
|
EUR
|
360,000
|
512,196
|
|
|
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 8 1/4s, 2020
|
|
|
|
$150,000
|
151,875
|
|
|
JBS USA, LLC/JBS USA Finance, Inc. 144A sr. unsec. notes 7 1/4s, 2021
|
|
|
|
1,007,000
|
961,685
|
|
|
Libbey Glass, Inc. sr. notes 10s, 2015
|
|
|
|
114,000
|
121,553
|
|
|
Post Holdings, Inc. 144A sr. unsec. notes 7 3/8s, 2022
|
|
|
|
165,000
|
171,600
|
|
|
Prestige Brands, Inc. company guaranty sr. unsec. notes 8 1/4s, 2018
|
|
|
|
500,000
|
547,500
|
|
|
Rite Aid Corp. company guaranty sr. notes 7 1/2s, 2017
|
|
|
|
620,000
|
633,950
|
|
|
Rite Aid Corp. company guaranty sr. unsec. unsub. notes 9 1/2s, 2017
|
|
|
|
643,000
|
644,608
|
|
|
Rite Aid Corp. company guaranty sr. unsub. notes 8s, 2020
|
|
|
|
125,000
|
144,688
|
|
|
Rite Aid Corp. 144A sr. notes 9 1/4s, 2020
|
|
|
|
385,000
|
390,775
|
|
|
Service Corporation International sr. notes 7s, 2019
|
|
|
|
180,000
|
192,375
|
|
|
Smithfield Foods, Inc. company guaranty sr. notes 10s, 2014
|
|
|
|
130,000
|
152,100
|
|
|
Stewart Enterprises, Inc. company guaranty sr. unsec. notes 6 1/2s, 2019
|
|
|
|
430,000
|
449,350
|
|
|
Tyson Foods, Inc. sr. unsec. unsub. notes 10 1/2s, 2014
|
|
|
|
120,000
|
138,300
|
|
|
United Rentals North America, Inc. company guaranty sr. unsec. unsub. notes 9 1/4s, 2019
|
|
|
|
1,400,000
|
1,561,000
|
|
|
West Corp. company guaranty sr. unsec. notes 8 5/8s, 2018
|
|
|
|
51,000
|
55,973
|
|
|
West Corp. company guaranty sr. unsec. notes 7 7/8s, 2019
|
|
|
|
447,000
|
476,614
|
|
|
|
|
14,765,686
|
|
Energy (6.4%)
|
|
|
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6 1/4s, 2021
|
|
|
|
300,000
|
279,750
|
|
|
Alpha Natural Resources, Inc. company guaranty sr. unsec. notes 6s, 2019
|
|
|
|
369,000
|
344,093
|
|
|
Anadarko Finance Co. company guaranty sr. unsec. unsub. notes Ser. B, 7 1/2s, 2031
|
|
|
|
147,000
|
185,037
|
|
|
Anadarko Petroleum Corp. sr. notes 5.95s, 2016
|
|
|
|
666,000
|
771,259
|
|
|
Arch Coal, Inc. company guaranty sr. unsec. notes 7 1/4s, 2020
|
|
|
|
112,000
|
100,240
|
|
|
Arch Coal, Inc. 144A company guaranty sr. unsec. notes 7s, 2019
|
|
|
|
465,000
|
416,175
|
|
|
Arch Western Finance, LLC company guaranty sr. notes 6 3/4s, 2013
|
|
|
|
582,000
|
582,000
|
|
|
ATP Oil & Gas Corp. company guaranty sr. notes 11 7/8s, 2015
|
|
|
|
150,000
|
115,500
|
|
|
Atwood Oceanics, Inc. sr. unsec. unsub. notes 6 1/2s, 2020
|
|
|
|
115,000
|
121,038
|
|
|
Aurora USA Oil & Gas Inc.. 144A sr. notes 9 7/8s, 2017
|
|
|
|
260,000
|
272,350
|
|
|
Carrizo Oil & Gas, Inc. company guaranty sr. unsec. notes 8 5/8s, 2018
|
|
|
|
814,000
|
862,840
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 9 7/8s, 2020
|
|
|
|
325,000
|
364,813
|
|
|
Chaparral Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2021
|
|
|
|
5,000
|
5,325
|
|
|
Chesapeake Energy Corp. company guaranty sr. unsec. notes 9 1/2s, 2015
|
|
|
|
1,150,000
|
1,253,500
|
|
|
Chesapeake Energy Corp. company guaranty sr. unsec. unsub. notes 6.775s, 2019
|
|
|
|
510,000
|
495,975
|
|
|
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec notes 5 7/8s, 2021
|
|
|
|
309,000
|
293,550
|
|
|
Chesapeake Midstream Partners LP/CHKM Finance Corp. company guaranty sr. unsec. unsub. notes 6 1/8s, 2022
|
|
|
|
145,000
|
139,563
|
|
|
Concho Resources, Inc. company guaranty sr. unsec. notes 6 1/2s, 2022
|
|
|
|
515,000
|
542,038
|
|
|
Concho Resources, Inc. company guaranty sr. unsec. unsub. notes 5 1/2s, 2022
|
|
|
|
204,000
|
204,000
|
|
|
Connacher Oil and Gas, Ltd. 144A notes 8 3/4s, 2018 (Canada)
|
|
|
CAD
|
515,000
|
514,964
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8 1/4s, 2020
|
|
|
|
$293,000
|
307,650
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 8s, 2017
|
|
|
|
1,667,000
|
1,758,685
|
|
|
CONSOL Energy, Inc. company guaranty sr. unsec. notes 6 3/8s, 2021
|
|
|
|
65,000
|
61,100
|
|
|
Continental Resources, Inc. 144A company guaranty sr. unsec notes 5s, 2022
|
|
|
|
430,000
|
436,450
|
|
|
Crosstex Energy LP/Crosstex Energy Finance Corp. company guaranty sr. unsec. notes 8 7/8s, 2018
|
|
|
|
850,000
|
911,625
|
|
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 8 1/4s, 2020
|
|
|
|
302,000
|
335,220
|
|
|
Denbury Resources, Inc. company guaranty sr. unsec. sub. notes 6 3/8s, 2021
|
|
|
|
225,000
|
237,094
|
|
|
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. notes 6 7/8s, 2019
|
|
|
|
170,000
|
178,500
|
|
|
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 144A sr. unsec. notes 9 3/8s, 2020
|
|
|
|
600,000
|
639,000
|
|
|
EXCO Resources, Inc. company guaranty sr. unsec. notes 7 1/2s, 2018
|
|
|
|
945,000
|
807,975
|
|
|
Ferrellgas LP/Ferrellgas Finance Corp. sr. unsec. notes 6 1/2s, 2021
|
|
|
|
234,000
|
213,525
|
|
|
Forbes Energy Services Ltd. company guaranty sr. unsec notes 9s, 2019
|
|
|
|
340,000
|
329,800
|
|
|
FTS International Services, LLC/FTS International Bonds, Inc. 144A company guaranty sr. unsec. unsub. notes 8 1/8s, 2018
|
|
|
|
420,000
|
433,650
|
|
|
Gaz Capital SA sr. unsec. notes Ser. REGS, 7.288s, 2037 (Russia)
|
|
|
|
780,000
|
898,622
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. sec. unsec. unsub. notes 9 1/4s, 2019 (Russia)
|
|
|
|
1,855,000
|
2,311,961
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. notes 7.288s, 2037 (Russia)
|
|
|
|
575,000
|
663,406
|
|
|
Gazprom OAO Via Gaz Capital SA 144A sr. unsec. unsub. notes 6.51s, 2022 (Russia)
|
|
|
|
485,000
|
532,385
|
|
|
Gazprom Via Gaz Capital SA 144A sr. unsec. unsub notes 8.146s, 2018 (Russia)
|
|
|
|
316,000
|
372,621
|
|
|
Gazprom Via OAO White Nights Finance BV notes 10 1/2s, 2014 (Russia)
|
|
|
|
485,000
|
554,020
|
|
|
Goodrich Petroleum Corp. company guaranty sr. unsec. unsub. notes 8 7/8s, 2019
|
|
|
|
451,000
|
436,343
|
|
|
Helix Energy Solutions Group, Inc. 144A sr. unsec. notes 9 1/2s, 2016
|
|
|
|
604,000
|
634,200
|
|
|
Hercules Offshore, Inc. 144A company guaranty sr. notes 7 1/8s, 2017
(R)
|
|
|
|
40,000
|
40,000
|
|
|
Inergy LP/Inergy Finance Corp. company guaranty sr. unsec. notes 6 7/8s, 2021
|
|
|
|
361,000
|
364,610
|
|
|
Infinis PLC 144A sr. notes 9 1/8s, 2014 (United Kingdom)
|
|
|
GBP
|
222,000
|
373,009
|
|
|
James River Coal Co. company guaranty sr. unsec. unsub. notes 7 7/8s, 2019
|
|
|
|
$94,000
|
61,100
|
|
|
Key Energy Services, Inc. company guaranty unsec. unsub. notes 6 3/4s, 2021
|
|
|
|
175,000
|
180,250
|
|
|
Key Energy Services, Inc. 144A company guaranty sr. unsec. notes 6 3/4s, 2021
|
|
|
|
100,000
|
102,500
|
|
|
Laredo Petroleum, Inc. company guaranty sr. unsec. unsub. notes 9 1/2s, 2019
|
|
|
|
433,000
|
483,878
|
|
|
Laredo Petroleum, Inc. 144A company guaranty sr. unsec notes 7 3/8s, 2022
|
|
|
|
150,000
|
155,250
|
|
|
Lone Pine Resources Canada, Ltd. 144A company guaranty sr. notes 10 3/8s, 2017 (Canada)
|
|
|
|
206,000
|
211,150
|
|
|
Lukoil International Finance BV 144A company guaranty sr. unsec. unsub. bonds 6.656s, 2022 (Russia)
|
|
|
|
1,080,000
|
1,196,467
|
|
|
MEG Energy Corp. 144A company guaranty sr. unsec. notes 6 1/2s, 2021 (Canada)
|
|
|
|
320,000
|
336,800
|
|
|
Milagro Oil & Gas, Inc. company guaranty notes 10 1/2s, 2016
|
|
|
|
520,000
|
403,000
|
|
|
National JSC Naftogaz of Ukraine govt. guaranty unsec. notes 9 1/2s, 2014 (Ukraine)
|
|
|
|
620,000
|
607,501
|
|
|
Offshore Group Investments, Ltd. company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)
|
|
|
|
375,000
|
410,156
|
|
|
Offshore Group Investments, Ltd. 144A company guaranty sr. notes 11 1/2s, 2015 (Cayman Islands)
|
|
|
|
325,000
|
355,469
|
|
|
Peabody Energy Corp. company guaranty sr. unsec. notes 7 3/8s, 2016
|
|
|
|
1,146,000
|
1,269,195
|
|
|
Peabody Energy Corp. company guaranty sr. unsec. unsub. notes 6 1/2s, 2020
|
|
|
|
44,000
|
45,210
|
|
|
Pemex Project Funding Master Trust company guaranty sr. unsec. unsub. bonds 6 5/8s, 2035 (Mexico)
|
|
|
|
340,000
|
398,650
|
|
|
Pemex Project Funding Master Trust company guaranty unsec. unsub. notes 6 5/8s, 2038 (Mexico)
|
|
|
|
325,000
|
381,875
|
|
|
PetroBakken Energy, Ltd. 144A sr. unsec. notes 8 5/8s, 2020 (Canada)
|
|
|
|
728,000
|
758,940
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 7 7/8s, 2019 (Brazil)
|
|
|
|
960,000
|
1,186,272
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 6 7/8s, 2040 (Brazil)
|
|
|
|
140,000
|
168,582
|
|
|
Petrobras International Finance Co. company guaranty sr. unsec. notes 5 3/8s, 2021 (Brazil)
|
|
|
|
960,000
|
1,051,613
|
|
|
Petrohawk Energy Corp. company guaranty sr. unsec. notes 10 1/2s, 2014
|
|
|
|
225,000
|
249,750
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. notes 5 1/4s, 2017 (Venezuela)
|
|
|
|
4,530,000
|
3,470,750
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 1/2s, 2037 (Venezuela)
|
|
|
|
650,000
|
385,158
|
|
|
Petroleos de Venezuela SA company guaranty sr. unsec. unsub. notes 5 3/8s, 2027 (Venezuela)
|
|
|
|
650,000
|
393,101
|
|
|
Petroleos de Venezuela SA sr. unsec. notes 4.9s, 2014 (Venezuela)
|
|
|
|
600,000
|
543,312
|
|
|
Petroleos de Venezuela SA sr. unsec. sub. bonds 5s, 2015 (Venezuela)
|
|
|
|
1,705,000
|
1,427,920
|
|
|
Petroleos de Venezuela SA 144A company guaranty sr. notes 8 1/2s, 2017 (Venezuela)
|
|
|
|
4,455,000
|
3,976,088
|
|
|
Petroleos de Venezuela SA 144A company guaranty sr. unsec. notes 8s, 2013 (Venezuela)
|
|
|
|
315,000
|
316,197
|
|
|
Petroleos Mexicanos company guaranty sr. unsec. unsub. notes 5 1/2s, 2021 (Mexico)
|
|
|
|
800,000
|
890,400
|
|
|
Petroleos Mexicanos company guaranty unsec. unsub. notes 8s, 2019 (Mexico)
|
|
|
|
1,440,000
|
1,828,800
|
|
|
Petroleum Development Corp. company guaranty sr. unsec. notes 12s, 2018
|
|
|
|
539,000
|
582,120
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7.39s, 2024 (Philippines)
|
|
|
|
690,000
|
872,850
|
|
|
Power Sector Assets & Liabilities Management Corp. 144A govt. guaranty sr. unsec. notes 7 1/4s, 2019 (Philippines)
|
|
|
|
950,000
|
1,168,500
|
|
|
Range Resources Corp. company guaranty sr. sub. notes 6 3/4s, 2020
|
|
|
|
350,000
|
379,750
|
|
|
Range Resources Corp. company guaranty sr. unsec. sub. notes 5s, 2022
|
|
|
|
175,000
|
174,563
|
|
|
Rosetta Resources, Inc. company guaranty sr. unsec. notes 9 1/2s, 2018
|
|
|
|
290,000
|
317,913
|
|
|
Samson Investment Co. 144A sr. unsec. notes 9 3/4s, 2020
|
|
|
|
950,000
|
991,563
|
|
|
SandRidge Energy, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2021
|
|
|
|
95,000
|
95,950
|
|
|
SandRidge Energy, Inc. 144A company guaranty sr. unsec. unsub. notes 8s, 2018
|
|
|
|
1,344,000
|
1,394,400
|
|
|
SM Energy Co. sr. unsec. notes 6 5/8s, 2019
|
|
|
|
190,000
|
200,450
|
|
|
Unit Corp. company guaranty sr. sub. notes 6 5/8s, 2021
|
|
|
|
135,000
|
137,025
|
|
|
Williams Cos., Inc. (The) notes 7 3/4s, 2031
|
|
|
|
158,000
|
193,110
|
|
|
WPX Energy, Inc. 144A sr. unsec. notes 5 1/4s, 2017
|
|
|
|
750,000
|
742,500
|
|
|
|
|
52,191,489
|
|
Financials (5.0%)
|
|
|
ACE Cash Express, Inc. 144A sr. notes 11s, 2019
|
|
|
|
300,000
|
274,500
|
|
|
Air Lease Corp. 144A sr. notes 5 5/8s, 2017
|
|
|
|
380,000
|
374,300
|
|
|
Ally Financial, Inc. company guaranty sr. notes 6 1/4s, 2017
|
|
|
|
335,000
|
352,405
|
|
|
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
|
851,000
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 8.3s, 2015
|
|
|
|
240,000
|
263,400
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes 7 1/2s, 2020
|
|
|
|
1,320,000
|
1,471,800
|
|
|
Ally Financial, Inc. company guaranty sr. unsec. unsub. notes FRN 2.688s, 2014
|
|
|
|
85,000
|
80,634
|
|
|
American International Group, Inc. jr. sub. bonds FRB 8.175s, 2068
|
|
|
|
440,000
|
470,250
|
|
|
Banco do Brasil SA 144A sr. unsec. notes 9 3/4s, 2017 (Brazil)
|
|
|
BRL
|
855,000
|
482,189
|
|
|
Banco do Brasil SA 144A unsec. sub. notes 5 7/8s, 2022 (Brazil)
|
|
|
|
$1,350,000
|
1,396,613
|
|
|
Capital One Capital IV company guaranty jr. unsec. sub. notes FRN 6.745s, 2037
|
|
|
|
374,000
|
374,000
|
|
|
CB Richard Ellis Services, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
135,000
|
144,450
|
|
|
CIT Group, Inc. 144A bonds 7s, 2017
|
|
|
|
2,438,000
|
2,444,095
|
|
|
CIT Group, Inc. 144A bonds 7s, 2016
|
|
|
|
697,000
|
698,743
|
|
|
CIT Group, Inc. 144A company guaranty notes 6 5/8s, 2018
|
|
|
|
470,000
|
511,125
|
|
|
CIT Group, Inc. 144A company guaranty notes 5 1/2s, 2019
|
|
|
|
380,000
|
390,450
|
|
|
CNO Financial Group, Inc. 144A company guaranty sr. notes 9s, 2018
|
|
|
|
130,000
|
141,050
|
|
|
Community Choice Financial, Inc. 144A sr. notes 10 3/4s, 2019
|
|
|
|
395,000
|
401,913
|
|
|
Dresdner Funding Trust I jr. unsec. sub. notes 8.151s, 2031
|
|
|
|
500,000
|
402,500
|
|
|
Dresdner Funding Trust I 144A bonds 8.151s, 2031
|
|
|
|
579,000
|
466,095
|
|
|
HBOS Capital Funding LP 144A bank guaranty jr. unsec. sub. FRB 6.071s, (Perpetual maturity) (Jersey)
|
|
|
|
399,000
|
265,335
|
|
|
HSBC Capital Funding LP bank guaranty jr. unsec. sub. bonds FRB 5.13s, 2016 (Perpetual maturity) (Jersey)
|
|
|
EUR
|
486,000
|
571,151
|
|
|
HUB International Holdings, Inc. 144A sr. sub. notes 10 1/4s, 2015
|
|
|
|
$185,000
|
189,163
|
|
|
HUB International Holdings, Inc. 144A sr. unsec. unsub. notes 9s, 2014
|
|
|
|
135,000
|
137,363
|
|
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp. company guaranty sr. unsec. notes 8s, 2018
|
|
|
|
895,000
|
956,531
|
|
|
International Lease Finance Corp. sr. unsec. notes 6 1/4s, 2019
|
|
|
|
51,000
|
51,510
|
|
|
International Lease Finance Corp. sr. unsec. unsub notes 4 7/8s, 2015
|
|
|
|
175,000
|
175,000
|
|
|
JPMorgan Chase & Co. 144A sr. unsec. notes FRN zero %, 2017
|
|
|
|
600,000
|
734,521
|
|
|
JPMorgan Chase & Co. 144A sr. unsec. unsub notes 8s, 2012
|
|
|
|
37,500,000
|
707,661
|
|
|
Liberty Mutual Insurance Co. 144A notes 7.697s, 2097
|
|
|
|
1,330,000
|
1,272,311
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 8s, 2019 (Indonesia)
|
|
|
|
525,000
|
627,375
|
|
|
Majapahit Holding BV 144A company guaranty sr. unsec. notes 7 3/4s, 2020 (Indonesia)
|
|
|
|
2,425,000
|
2,889,024
|
|
|
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec notes 6 7/8s, 2021
(R)
|
|
|
|
177,000
|
184,965
|
|
|
MPT Operating Partnership LP/MPT Finance Corp. company guaranty sr. unsec. unsub. notes 6 3/8s, 2022
(R)
|
|
|
|
255,000
|
256,275
|
|
|
National Money Mart Co. company guaranty sr. unsec. unsub. notes 10 3/8s, 2016 (Canada)
|
|
|
|
206,000
|
231,235
|
|
|
Nuveen Investments, Inc. company guaranty sr. unsec. unsub. notes 10 1/2s, 2015
|
|
|
|
444,000
|
458,430
|
|
|
Omega Healthcare Investors, Inc. company guaranty sr. unsec. notes 6 3/4s, 2022
(R)
|
|
|
|
277,000
|
290,850
|
|
|
RBS Capital Trust III bank guaranty jr. unsec. sub. notes 5.512s, (Perpetual maturity) (United Kingdom)
|
|
|
|
525,000
|
330,750
|
|
|
Royal Bank of Scotland Group PLC jr. sub. notes FRN Ser. MTN, 7.64s, 2049 (United Kingdom)
|
|
|
|
600,000
|
406,212
|
|
|
Russian Agricultural Bank OJSC Via RSHB Capital SA 144A notes 7 1/8s, 2014 (Russia)
|
|
|
|
775,000
|
827,313
|
|
|
Sberbank of Russia Via SB Capital SA 144A sr. notes 6 1/8s, 2022 (Luxembourg)
|
|
|
|
500,000
|
512,846
|
|
|
Sberbank of Russia Via SB Capital SA 144A sr. notes 4.95s, 2017 (Luxembourg)
|
|
|
|
1,160,000
|
1,183,200
|
|
|
Shinhan Bank 144A sr. unsec. bonds 6s, 2012 (South Korea)
|
|
|
|
257,000
|
258,593
|
|
|
State Bank of India/London 144A sr. unsec. notes 4 1/2s, 2015 (India)
|
|
|
|
360,000
|
371,610
|
|
|
UBS AG/ Jersey Branch jr. unsec. sub. notes FRN Ser. EMTN, 7.152s, (Perpetual maturity) (Jersey)
|
|
|
EUR
|
400,000
|
497,044
|
|
|
UBS AG/Jersey Branch jr. unsec. sub. FRB 4.28s, (Perpetual maturity) (Jersey)
|
|
|
EUR
|
182,000
|
194,754
|
|
|
Ukreximbank Via Biz Finance PLC sr. unsec. unsub. bonds 8 3/8s, 2015 (United Kingdom)
|
|
|
|
$425,000
|
394,222
|
|
|
USI Holdings Corp. 144A company guaranty sr. unsec. notes FRN 4.378s, 2014
|
|
|
|
120,000
|
112,350
|
|
|
Ventas Realty LP/Capital Corp. company guaranty 9s, 2012
(R)
|
|
|
|
590,000
|
590,000
|
|
|
Vnesheconombank Via VEB Finance PLC 144A bank guaranty sr. unsec. unsub. bonds 6.8s, 2025 (Russia)
|
|
|
|
1,100,000
|
1,166,000
|
|
|
VTB Bank OJSC Via VTB Capital SA sr. notes 6 1/4s, 2035 (Russia)
|
|
|
|
1,065,000
|
1,102,275
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 7/8s, 2018 (Russia)
|
|
|
|
4,520,000
|
4,769,549
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. notes 6 1/4s, 2035 (Russia)
|
|
|
|
2,934,000
|
3,064,944
|
|
|
VTB Bank OJSC Via VTB Capital SA 144A sr. unsec. unsub. notes 6.609s, 2012 (Russia)
|
|
|
|
2,612,000
|
2,667,296
|
|
|
|
|
41,267,395
|
|
Health care (1.7%)
|
|
|
Aviv Healthcare Properties LP company guaranty sr. unsec. notes 7 3/4s, 2019
|
|
|
|
325,000
|
338,000
|
|
|
Bayer AG jr. unsec. sub. bonds FRB 5s, 2105 (Germany)
|
|
|
EUR
|
364,000
|
478,175
|
|
|
Biomet, Inc. company guaranty sr. unsec. notes 10s, 2017
|
|
|
|
$236,000
|
254,585
|
|
|
Capella Healthcare, Inc. company guaranty sr. unsec. notes 9 1/4s, 2017
|
|
|
|
380,000
|
384,750
|
|
|
Capsugel FinanceCo SCA 144A company guaranty sr. unsec. notes 9 7/8s, 2019
|
|
|
EUR
|
455,000
|
656,031
|
|
|
CHS/Community Health Systems, Inc. 144A company guaranty sr. unsec. notes 8s, 2019
|
|
|
|
$507,000
|
538,054
|
|
|
ConvaTec Healthcare E SA 144A sr. notes 7 3/8s, 2017 (Luxembourg)
|
|
|
EUR
|
160,000
|
217,155
|
|
|
ConvaTec Healthcare E SA 144A sr. unsec. notes 10 1/2s, 2018 (Luxembourg)
|
|
|
|
$1,070,000
|
1,094,075
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 5/8s, 2020
|
|
|
|
110,000
|
115,088
|
|
|
DaVita, Inc. company guaranty sr. unsec. notes 6 3/8s, 2018
|
|
|
|
340,000
|
357,000
|
|
|
Elan Finance PLC/Elan Finance Corp. company guaranty sr. unsec. notes 8 3/4s, 2016 (Ireland)
|
|
|
|
383,000
|
422,258
|
|
|
Emergency Medical Services Corp. company guaranty sr. unsec. notes 8 1/8s, 2019
|
|
|
|
504,000
|
516,600
|
|
|
Endo Pharmaceutical Holdings, Inc. company guaranty sr. unsec notes 7s, 2019
|
|
|
|
290,000
|
309,575
|
|
|
Fresenius Medical Care US Finance II, Inc. 144A company guaranty sr. unsec. notes 5 5/8s, 2019
|
|
|
|
370,000
|
376,475
|
|
|
Fresenius US Finance II, Inc. 144A sr. unsec. notes 9s, 2015
|
|
|
|
125,000
|
143,281
|
|
|
Grifols, Inc. company guaranty sr. unsec notes 8 1/4s, 2018
|
|
|
|
511,000
|
547,409
|
|
|
HCA, Inc. sr. notes 6 1/2s, 2020
|
|
|
|
1,580,000
|
1,686,650
|
|
|
HCA, Inc. sr. unsec. notes 7 1/2s, 2022
|
|
|
|
450,000
|
483,750
|
|
|
Health Net, Inc. sr. unsec. bonds 6 3/8s, 2017
|
|
|
|
740,000
|
780,700
|
|
|
IASIS Healthcare, LLC/IASIS Capital Corp. company guaranty sr. unsec notes 8 3/8s, 2019
|
|
|
|
548,000
|
539,095
|
|
|
Kinetics Concept/KCI USA 144A company guaranty sr. unsec. notes 12 1/2s, 2019
|
|
|
|
445,000
|
409,400
|
|
|
Multiplan, Inc. 144A company guaranty sr. notes 9 7/8s, 2018
|
|
|
|
345,000
|
374,325
|
|
|
Surgical Care Affiliates, Inc. 144A sr. sub. notes 10s, 2017
|
|
|
|
640,000
|
646,400
|
|
|
Surgical Care Affiliates, Inc. 144A sr. unsec. notes 8 7/8s, 2015
(PIK)
|
|
|
|
329,569
|
334,513
|
|
|
Teleflex, Inc. company guaranty sr. unsec. sub. notes 6 7/8s, 2019
|
|
|
|
370,000
|
395,900
|
|
|
Tenet Healthcare Corp. company guaranty sr. notes 10s, 2018
|
|
|
|
276,000
|
318,780
|
|
|
Tenet Healthcare Corp. sr. notes 8 7/8s, 2019
|
|
|
|
471,000
|
528,109
|
|
|
Tenet Healthcare Corp. 144A company guaranty notes 6 1/4s, 2018
|
|
|
|
455,000
|
473,200
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. notes 7s, 2020
|
|
|
|
70,000
|
70,963
|
|
|
Valeant Pharmaceuticals International 144A company guaranty sr. unsec. notes 6 7/8s, 2018
|
|
|
|
170,000
|
175,100
|
|
|
Valeant Pharmaceuticals International 144A sr. notes 6 3/4s, 2017
|
|
|
|
70,000
|
72,013
|
|
|
Vanguard Health Systems, Inc. sr. unsec. notes zero %, 2016
|
|
|
|
16,000
|
10,600
|
|
|
|
|
14,048,009
|
|
Technology (1.4%)
|
|
|
Advanced Micro Devices, Inc. sr. unsec. notes 7 3/4s, 2020
|
|
|
|
599,000
|
660,398
|
|
|
Avaya, Inc. company guaranty sr. unsec. notes 10 1/8s, 2015
|
|
|
|
14,000
|
13,878
|
|
|
Avaya, Inc. company guaranty sr. unsec. notes 9 3/4s, 2015
|
|
|
|
377,000
|
373,701
|
|
|
Avaya, Inc. 144A company guaranty sr. notes 7s, 2019
|
|
|
|
166,000
|
166,000
|
|
|
Ceridian Corp. company guaranty sr. unsec. notes 12 1/4s, 2015
(PIK)
|
|
|
|
288,000
|
276,480
|
|
|
Ceridian Corp. sr. unsec. notes 11 1/4s, 2015
|
|
|
|
643,000
|
612,458
|
|
|
Epicor Software Corp. company guaranty sr. unsec notes 8 5/8s, 2019
|
|
|
|
183,000
|
189,405
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 7/8s, 2020
|
|
|
|
258,000
|
288,960
|
|
|
Fidelity National Information Services, Inc. company guaranty sr. unsec. notes 7 5/8s, 2017
|
|
|
|
172,000
|
188,770
|
|
|
First Data Corp. company guaranty sr. unsec notes 12 5/8s, 2021
|
|
|
|
790,000
|
791,975
|
|
|
First Data Corp. company guaranty sr. unsec. notes 10.55s, 2015
|
|
|
|
1,208,603
|
1,229,754
|
|
|
First Data Corp. company guaranty sr. unsec. sub. notes 11 1/4s, 2016
|
|
|
|
242,000
|
222,640
|
|
|
First Data Corp. 144A company guaranty notes 8 1/4s, 2021
|
|
|
|
277,000
|
272,845
|
|
|
First Data Corp. 144A company guaranty sr. notes 8 7/8s, 2020
|
|
|
|
175,000
|
190,313
|
|
|
First Data Corp. 144A company guaranty sr. notes 7 3/8s, 2019
|
|
|
|
235,000
|
240,288
|
|
|
Freescale Semiconductor, Inc. company guaranty sr. unsec. notes 10 3/4s, 2020
|
|
|
|
85,000
|
94,350
|
|
|
Freescale Semiconductor, Inc. 144A company guaranty sr. notes 10 1/8s, 2018
|
|
|
|
855,000
|
953,325
|
|
|
Iron Mountain, Inc. company guaranty sr. unsec. sub. notes 8s, 2020
|
|
|
|
1,035,000
|
1,095,806
|
|
|
Iron Mountain, Inc. sr. sub. notes 8 3/8s, 2021
|
|
|
|
290,000
|
316,100
|
|
|
Lawson Software, Inc. 144A sr. notes 9 3/8s, 2019
|
|
|
|
125,000
|
130,625
|
|
|
NXP BV/NXP Funding, LLC 144A company guaranty sr. notes 9 3/4s, 2018 (Netherlands)
|
|
|
|
716,000
|
818,030
|
|
|
Seagate HDD Cayman company guaranty sr. unsec. unsub. notes 7 3/4s, 2018 (Cayman Islands)
|
|
|
|
433,000
|
477,383
|
|
|
SunGard Data Systems, Inc. company guaranty sr. unsec. sub. notes 10 1/4s, 2015
|
|
|
|
817,000
|
846,616
|
|
|
SunGard Data Systems, Inc. 144A sr. unsec. notes 7 5/8s, 2020
|
|
|
|
344,000
|
366,790
|
|
|
Syniverse Holdings, Inc. company guaranty sr. unsec. notes 9 1/8s, 2019
|
|
|
|
431,000
|
477,871
|
|
|
|
|
11,294,761
|
|
Transportation (0.3%)
|
|
|
Aguila 3 SA company guaranty sr. notes Ser. REGS, 7 7/8s, 2018 (Luxembourg)
|
|
|
CHF
|
1,111,000
|
1,279,122
|
|
|
AMGH Merger Sub, Inc. 144A company guaranty sr. notes 9 1/4s, 2018
|
|
|
|
$466,000
|
481,728
|
|
|
Swift Services Holdings, Inc. company guaranty sr. notes 10s, 2018
|
|
|
|
555,000
|
606,338
|
|
|
Western Express, Inc. 144A sr. notes 12 1/2s, 2015
|
|
|
|
294,000
|
161,700
|
|
|
|
|
2,528,888
|
|
Utilities and power (1.5%)
|
|
|
AES Corp. (The) sr. unsec. unsub. notes 8s, 2017
|
|
|
|
1,140,000
|
1,299,600
|
|
|
AES Corp. (The) 144A sr. notes 7 3/8s, 2021
|
|
|
|
310,000
|
344,875
|
|
|
Calpine Corp. 144A company guaranty sr. notes 7 7/8s, 2020
|
|
|
|
380,000
|
414,200
|
|
|
Calpine Corp. 144A sr. notes 7 1/4s, 2017
|
|
|
|
995,000
|
1,062,163
|
|
|
Colorado Interstate Gas Co., LLC debs. 6.85s, 2037 (Canada)
|
|
|
|
615,000
|
694,578
|
|
|
Dynegy Holdings, LLC sr. unsec. notes 7 3/4s, 2019 (In default)
(NON)
|
|
|
|
940,000
|
634,500
|
|
|
Edison Mission Energy sr. unsec. notes 7 3/4s, 2016
|
|
|
|
289,000
|
189,295
|
|
|
Edison Mission Energy sr. unsec. notes 7 1/2s, 2013
|
|
|
|
135,000
|
101,250
|
|
|
Edison Mission Energy sr. unsec. notes 7.2s, 2019
|
|
|
|
292,000
|
178,850
|
|
|
Edison Mission Energy sr. unsec. notes 7s, 2017
|
|
|
|
44,000
|
27,500
|
|
|
El Paso Corp. sr. unsec. notes 7s, 2017
|
|
|
|
160,000
|
179,947
|
|
|
El Paso Natural Gas Co. debs. 8 5/8s, 2022
|
|
|
|
577,000
|
730,284
|
|
|
Energy Future Holdings Corp. company guaranty sr. notes 10s, 2020
|
|
|
|
1,390,000
|
1,513,363
|
|
|
Energy Future Intermediate Holding Co., LLC/EFIH Finance, Inc. sr. notes 10s, 2020
|
|
|
|
784,000
|
865,340
|
|
|
Energy Transfer Equity LP company guaranty sr. unsec. notes 7 1/2s, 2020
|
|
|
|
692,000
|
766,390
|
|
|
GenOn Energy, Inc. sr. unsec. notes 9 7/8s, 2020
|
|
|
|
685,000
|
643,900
|
|
|
GenOn Energy, Inc. sr. unsec. notes 9 1/2s, 2018
|
|
|
|
105,000
|
99,750
|
|
|
Ipalco Enterprises, Inc. 144A sr. notes 7 1/4s, 2016
|
|
|
|
220,000
|
239,800
|
|
|
NRG Energy, Inc. company guaranty sr. unsec. notes 7 7/8s, 2021
|
|
|
|
1,375,000
|
1,344,063
|
|
|
NV Energy, Inc. sr. unsec. notes 6 1/4s, 2020
|
|
|
|
255,000
|
279,420
|
|
|
Tennessee Gas Pipeline Co. sr. unsec. unsub. debs. 7s, 2028
|
|
|
|
145,000
|
177,088
|
|
|
Texas Competitive/Texas Competitive Electric Holdings Co., LLC 144A company guaranty sr. notes 11 1/2s, 2020
|
|
|
|
310,000
|
192,200
|
|
|
Vattenfall AB jr. unsec. sub. bonds FRB 5 1/4s, perpetual maturity (Sweden)
|
|
|
EUR
|
364,000
|
490,770
|
|
|
|
|
12,469,126
|
|
|
|
Total corporate bonds and notes (cost $250,404,949)
|
$256,705,079
|
|
|
U.S. GOVERNMENT AND AGENCY MORTGAGE OBLIGATIONS (21.4%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
U.S. Government Guaranteed Mortgage Obligations (0.2%)
|
|
|
Government National Mortgage Association Pass-Through Certificates 6 1/2s, November 20, 2038
|
|
|
|
$1,621,061
|
$1,840,411
|
|
|
|
|
1,840,411
|
|
U.S. Government Agency Mortgage Obligations (21.2%)
|
|
|
Federal National Mortgage Association Pass-Through Certificates
|
|
|
|
|
|
|
6 1/2s, April 1, 2016
|
|
|
|
8,251
|
8,813
|
|
4 1/2s, TBA, May 1, 2042
|
|
|
|
5,000,000
|
5,353,516
|
|
3 1/2s, TBA, June 1, 2042
|
|
|
|
54,000,000
|
55,923,750
|
|
3 1/2s, TBA, May 1, 2042
|
|
|
|
108,000,000
|
112,151,250
|
|
|
|
|
173,437,329
|
|
|
|
Total U.S. government and agency mortgage obligations (cost $173,407,580)
|
$175,277,740
|
|
|
U.S. TREASURY OBLIGATIONS (—%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
U.S. Treasury Notes 2.750%, November 30, 2016
(i)
|
|
|
|
$277,000
|
$305,332
|
|
|
|
Total U.S. treasury obligations (cost $305,332)
|
$305,332
|
|
|
PURCHASED OPTIONS OUTSTANDING (10.4%)
(a)
|
|
|
|
Expiration date/
|
|
Contract
|
|
|
|
|
strike price
|
|
amount
|
Value
|
|
|
|
|
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
|
$137,433
|
|
|
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
|
102,471
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026.
|
|
Aug-16/4.28
|
|
59,347,000
|
7,293,746
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.28% versus the three month USD-LIBOR-BBA maturing August 2026.
|
|
Aug-16/4.28
|
|
59,347,000
|
2,106,819
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021.
|
|
Aug-16/4.17
|
|
14,131,000
|
1,088,172
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021.
|
|
Aug-16/4.17
|
|
14,131,000
|
1,059,684
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021.
|
|
Aug-16/4.17
|
|
14,131,000
|
251,108
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to pay a fixed rate of 4.17% versus the three month USD-LIBOR-BBA maturing August 2021.
|
|
Aug-16/4.17
|
|
14,131,000
|
246,713
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026.
|
|
Jul-16/4.67
|
|
43,271,000
|
6,412,762
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.67% versus the three month USD-LIBOR-BBA maturing July 2026.
|
|
Jul-16/4.67
|
|
43,271,000
|
1,228,896
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 4.74% versus the three month USD-LIBOR-BBA July 2026.
|
|
Jul-16/4.74
|
|
43,271,000
|
6,597,270
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to pay a fixed rate of 4.74% versus the three month USD-LIBOR-BBA July 2026.
|
|
Jul-16/4.74
|
|
43,271,000
|
1,184,630
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to pay a fixed rate of 5.11% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/5.11
|
|
28,044,000
|
284,759
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.72
|
|
41,000,000
|
3,996,680
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.72% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.72
|
|
41,000,000
|
504,710
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.765
|
|
41,000,000
|
4,035,220
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.765% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.765
|
|
41,000,000
|
464,530
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.705
|
|
38,578,000
|
3,855,100
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.705
|
|
38,578,000
|
3,747,467
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.705
|
|
38,578,000
|
474,509
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to pay a fixed rate of 4.705% versus the three month USD-LIBOR-BBA maturing May 2021.
|
|
May-16/4.705
|
|
38,578,000
|
469,417
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025.
|
|
Sep-15/4.04
|
|
22,922,000
|
2,663,536
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to pay a fixed rate of 4.04% versus the three month USD-LIBOR-BBA maturing September 2025.
|
|
Sep-15/4.04
|
|
22,922,000
|
701,413
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045.
|
|
Aug-15/4.375
|
|
7,284,400
|
1,967,007
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.375% versus the three month USD-LIBOR-BBA maturing August 2045.
|
|
Aug-15/4.375
|
|
7,284,400
|
338,579
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045.
|
|
Aug-15/4.46
|
|
7,284,400
|
2,061,558
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 4.46% versus the three month USD-LIBOR-BBA maturing August 2045.
|
|
Aug-15/4.46
|
|
7,284,400
|
314,686
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.8625% versus the three month USD-LIBOR-BBA maturing January 2023.
|
|
Jan-13/1.8625
|
|
5,860,000
|
59,479
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.855% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/1.855
|
|
5,860,000
|
56,901
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/2.325
|
|
2,266,000
|
67,368
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.325% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/2.325
|
|
2,266,000
|
48,085
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3675% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/2.3675
|
|
8,182,000
|
262,233
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.27% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/2.27
|
|
8,182,000
|
217,805
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.13375% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/2.13375
|
|
893,000
|
17,726
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042.
|
|
Dec-12/2.8825
|
|
4,711,000
|
265,088
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.8825% versus the three month USD-LIBOR-BBA maturing December 2042.
|
|
Dec-12/2.8825
|
|
4,711,000
|
257,833
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.845% versus the three month USD-LIBOR-BBA maturing December 2022.
|
|
Dec-12/1.845
|
|
5,860,000
|
53,092
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.835% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/1.835
|
|
5,860,000
|
49,165
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/2.305
|
|
2,266,000
|
63,856
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.305% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/2.305
|
|
2,266,000
|
43,575
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.34375% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/2.34375
|
|
8,182,000
|
249,306
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.2475% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/2.2475
|
|
8,182,000
|
204,877
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.1125% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/2.1125
|
|
893,000
|
16,288
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.82% versus the three month USD-LIBOR-BBA maturing November 2022.
|
|
Nov-12/1.82
|
|
5,860,000
|
45,356
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.3175% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.3175
|
|
8,182,000
|
232,614
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.225% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.225
|
|
8,182,000
|
189,659
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.28
|
|
2,266,000
|
59,460
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.28% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.28
|
|
2,266,000
|
38,477
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.193% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.193
|
|
15,237,000
|
325,005
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.085% versus the three month USD-LIBOR-BBA maturing October 2022.
|
|
Oct-12/2.085
|
|
893,000
|
14,359
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022.
|
|
Sep-12/2.26
|
|
2,266,000
|
55,381
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.26% versus the three month USD-LIBOR-BBA maturing September 2022.
|
|
Sep-12/2.26
|
|
2,266,000
|
33,627
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.064% versus the three month USD-LIBOR-BBA maturing September 2022.
|
|
Sep-12/2.064
|
|
893,000
|
12,573
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042.
|
|
Sep-12/2.855
|
|
4,711,000
|
202,479
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.855% versus the three month USD-LIBOR-BBA maturing September 2042.
|
|
Sep-12/2.855
|
|
4,711,000
|
197,344
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.169% versus the three month USD-LIBOR-BBA maturing September 2022.
|
|
Sep-12/2.169
|
|
15,237,000
|
289,503
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.9475% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/1.9475
|
|
42,961,000
|
363,020
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.235
|
|
2,266,000
|
50,056
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.235% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.235
|
|
2,266,000
|
27,781
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.73
|
|
21,595,000
|
1,262,660
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to pay a fixed rate of 2.73% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.73
|
|
21,595,000
|
62,194
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 2.042% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.042
|
|
893,000
|
10,511
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.144% versus the three month USD-LIBOR-BBA maturing August 2022.
|
|
Aug-12/2.144
|
|
15,237,000
|
251,868
|
|
|
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
|
3,925,816
|
|
|
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
|
8,485
|
|
|
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 July 2022.
|
|
Jul-12/3.52
|
|
28,283,159
|
3,662,669
|
|
|
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 July 2022.
|
|
Jul-12/3.36
|
|
28,283,159
|
3,248,886
|
|
|
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 July 2022.
|
|
Jul-12/3.36
|
|
28,283,159
|
6,505
|
|
|
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 July 2022.
|
|
Jul-12/3.52
|
|
28,283,159
|
3,111
|
|
|
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
|
1,455,678
|
|
|
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
|
1,131
|
|
|
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
|
3,720,367
|
|
|
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
|
105,582
|
|
|
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
|
2,263
|
|
|
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
|
2,097,477
|
|
|
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
|
1,113
|
|
|
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
|
3,626,869
|
|
|
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
|
2,277
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/1.6714
|
|
5,860,000
|
7,618
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/1.6714
|
|
5,860,000
|
7,618
|
|
|
Option on an interest rate swap with Citibank, N.A. for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/1.6714
|
|
5,860,000
|
7,618
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/1.6714
|
|
5,860,000
|
7,618
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.6714% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/1.6714
|
|
5,860,000
|
7,618
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.215
|
|
2,266,000
|
44,255
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.215% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.215
|
|
2,266,000
|
20,961
|
|
|
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
|
376,310
|
|
|
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
|
376,310
|
|
|
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
|
389,276
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.055% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.055
|
|
3,183,000
|
33,294
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.122% versus the three month USD-LIBOR-BBA maturing July 2022.
|
|
Jul-12/2.122
|
|
15,237,000
|
207,985
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.105% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.105
|
|
17,352,000
|
205,448
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.105% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.105
|
|
17,352,000
|
168,141
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/1.683
|
|
5,860,000
|
3,340
|
|
|
Option on an interest rate swap with JPMorgan Chase Bank N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/1.683
|
|
5,860,000
|
3,340
|
|
|
Option on an interest rate swap with Deutsche Bank AG for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/1.683
|
|
5,860,000
|
3,340
|
|
|
Option on an interest rate swap with Bank of America, N.A. for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/1.683
|
|
5,860,000
|
3,340
|
|
|
Option on an interest rate swap with Barclay's Bank, PLC for the right to receive a fixed rate of 1.683% versus the three month USD-LIBOR-BBA June 2022.
|
|
Jun-12/1.683
|
|
5,860,000
|
3,340
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.195
|
|
2,266,000
|
38,023
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.195% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.195
|
|
2,266,000
|
13,891
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.10
|
|
17,352,000
|
191,393
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.10% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.10
|
|
17,352,000
|
152,871
|
|
|
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 June 2022.
|
|
Jun-12/2.03
|
|
3,183,000
|
22,981
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042.
|
|
Jun-12/2.83
|
|
4,711,000
|
106,327
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.83% versus the three month USD-LIBOR-BBA maturing June 2042.
|
|
Jun-12/2.83
|
|
4,711,000
|
105,762
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.095
|
|
17,352,000
|
176,643
|
|
|
Option on an interest rate swap with Credit Suisse International for the right to receive a fixed rate of 2.096% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.096
|
|
15,237,000
|
155,875
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing June 2022.
|
|
Jun-12/2.095
|
|
17,352,000
|
136,907
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.09
|
|
17,352,000
|
160,506
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.09
|
|
17,352,000
|
119,555
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.095
|
|
17,352,000
|
156,689
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.095% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.095
|
|
17,352,000
|
99,080
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.09
|
|
17,352,000
|
138,122
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.09% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.09
|
|
17,352,000
|
78,778
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.17
|
|
2,266,000
|
29,458
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to pay a fixed rate of 2.17% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.17
|
|
2,266,000
|
4,759
|
|
|
Option on an interest rate swap with Goldman Sachs International for the right to receive a fixed rate of 2.005% versus the three month USD-LIBOR-BBA maturing May 2022.
|
|
May-12/2.005
|
|
3,183,000
|
8,053
|
|
|
|
Total purchased options outstanding (cost $84,170,450)
|
$84,886,151
|
|
|
FOREIGN GOVERNMENT BONDS AND NOTES (8.2%)
(a)
|
|
|
|
|
|
Principal amount/units
|
Value
|
|
|
|
|
Argentina (Republic of) sr. unsec. bonds 7s, 2017
|
|
|
|
$1,665,000
|
$1,351,980
|
|
|
Argentina (Republic of) sr. unsec. bonds Ser. VII, 7s, 2013
|
|
|
|
1,136,000
|
1,130,892
|
|
|
Argentina (Republic of) sr. unsec. bonds FRB 0.629s, 2013
|
|
|
|
3,113,000
|
373,560
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds 7s, 2015
|
|
|
|
13,260,000
|
11,967,150
|
|
|
Argentina (Republic of) sr. unsec. unsub. bonds Ser. $ V, 10 1/2s, 2012
|
|
|
ARS
|
4,110,000
|
963,719
|
|
|
Argentina (Republic of) sr. unsec. unsub. notes Ser. NY, 8.28s, 2033
|
|
|
|
$2,827,677
|
2,000,581
|
|
|
Brazil (Federal Republic of) unsec. notes 10s, 2017
|
|
|
BRL
|
3,500
|
1,892,622
|
|
|
Brazil (Federal Republic of) unsub. notes 10s, 2014
|
|
|
BRL
|
2,365
|
1,302,181
|
|
|
Chile (Republic of) notes 5 1/2s, 2020
|
|
|
CLP
|
397,500,000
|
853,220
|
|
|
Croatia (Republic of) 144A sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
$620,000
|
605,244
|
|
|
Croatia (Republic of) 144A unsec. notes 6 1/4s, 2017
|
|
|
|
715,000
|
724,391
|
|
|
Export-Import Bank of Korea 144A sr. unsec. unsub. notes 5.1s, 2013
|
|
|
INR
|
53,200,000
|
975,165
|
|
|
Ghana (Republic of) 144A unsec. notes 8 1/2s, 2017
|
|
|
|
$1,590,000
|
1,811,423
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 7 5/8s, 2041
|
|
|
|
340,000
|
317,761
|
|
|
Hungary (Republic of) sr. unsec. unsub. notes 6 3/8s, 2021
|
|
|
|
22,000
|
21,117
|
|
|
Indonesia (Republic of) 144A sr. unsec. notes 11 5/8s, 2019
|
|
|
|
1,305,000
|
1,927,785
|
|
|
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 3/4s, 2014
|
|
|
|
460,000
|
495,576
|
|
|
Indonesia (Republic of) 144A sr. unsec. unsub. bonds 6 5/8s, 2037
|
|
|
|
1,555,000
|
1,879,420
|
|
|
International Bank for Reconstruction & Development sr. disc. unsec. unsub. notes Ser. GDIF, 5 1/4s, 2014
|
|
|
RUB
|
22,650,000
|
759,318
|
|
|
Iraq (Republic of) 144A bonds 5.8s, 2028
|
|
|
|
$1,275,000
|
1,063,350
|
|
|
Peru (Republic of) bonds 6.95s, 2031
|
|
|
PEN
|
5,885,000
|
2,487,011
|
|
|
Russia (Federation of) sr. unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
$53,935
|
64,723
|
|
|
Russia (Federation of) 144A sr. notes 5 5/8s, 2042
|
|
|
|
4,000,000
|
4,219,280
|
|
|
Russia (Federation of) 144A unsec. notes 3 1/4s, 2017
|
|
|
|
400,000
|
405,648
|
|
|
Russia (Federation of) 144A unsec. unsub. bonds 7 1/2s, 2030
|
|
|
|
4,518,224
|
5,416,220
|
|
|
Sri Lanka (Republic of) 144A notes 7.4s, 2015
|
|
|
|
440,000
|
468,851
|
|
|
Turkey (Republic of) sr. unsec. notes 7 1/2s, 2017
|
|
|
|
3,785,000
|
4,424,476
|
|
|
Ukraine (Government of ) Financing of Infrastructural Projects State Enterprise 144A govt. guaranty notes 8 3/8s, 2017
|
|
|
|
425,000
|
364,438
|
|
|
Ukraine (Government of) sr. unsec. bonds 6.385s, 2012
|
|
|
|
1,900,000
|
1,904,313
|
|
|
Ukraine (Government of) 144A bonds 7 3/4s, 2020
|
|
|
|
1,140,000
|
1,031,700
|
|
|
Ukraine (Government of) 144A sr. unsec. notes 7.95s, 2021
|
|
|
|
1,580,000
|
1,432,238
|
|
|
Ukraine (Government of) 144A sr. unsec. unsub. notes 7.65s, 2013
|
|
|
|
4,165,000
|
4,123,350
|
|
|
United Mexican States sr. unsec. notes 5 3/4s, 2110
|
|
|
|
1,120,000
|
1,220,800
|
|
|
Venezuela (Republic of) bonds 8 1/2s, 2014
|
|
|
|
310,000
|
312,331
|
|
|
Venezuela (Republic of) sr. unsec. bonds 9 1/4s, 2027
|
|
|
|
300,000
|
259,722
|
|
|
Venezuela (Republic of) unsec. notes 10 3/4s, 2013
|
|
|
|
2,510,000
|
2,623,979
|
|
|
Venezuela (Republic of) 144A unsec. bonds 13 5/8s, 2018
|
|
|
|
2,215,000
|
2,408,392
|
|
|
|
Total foreign government bonds and notes (cost $64,487,420)
|
$66,830,527
|
|
|
ASSET-BACKED SECURITIES (3.6%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Bear Stearns Asset Backed Securities Trust FRB Ser. 06-HE9, Class 1A2, 0.389s, 2036
|
|
|
|
$7,000,000
|
$3,115,000
|
|
|
Bear Stearns Asset Backed Securities, Inc. FRB Ser. 04-FR3, Class M6, 5.114s, 2034
|
|
|
|
79,080
|
21,305
|
|
|
Countrywide Asset Backed Certificates
|
|
|
|
|
|
|
FRB Ser. 06-25, Class 2A2, 0.359s, 2047
|
|
|
|
1,368,344
|
1,258,877
|
|
FRB Ser. 07-1, Class 2A2, 0.339s, 2037
|
|
|
|
4,195,000
|
3,744,038
|
|
|
Crest, Ltd. 144A Ser. 03-2A, Class E2, 8s, 2038
(F)
|
|
|
|
962,599
|
38,504
|
|
|
Granite Mortgages PLC
|
|
|
|
|
|
|
FRB Ser. 03-2, Class 2C1, 4.13s, 2043
|
|
|
EUR
|
2,002,000
|
1,923,802
|
|
FRB Ser. 03-2, Class 3C, 3.52s, 2043
|
|
|
GBP
|
746,898
|
880,317
|
|
|
Green Tree Financial Corp. Ser. 95-F, Class B2, 7.1s, 2021
|
|
|
|
$13,441
|
13,091
|
|
|
Guggenheim Structured Real Estate Funding, Ltd. 144A FRB Ser. 05-2A, Class E, 2.239s, 2030
|
|
|
|
776,342
|
372,644
|
|
|
Merrill Lynch First Franklin Mortgage Loan Trust FRB Ser. 07-3, Class A2B, 0.369s, 2037
|
|
|
|
5,170,409
|
3,035,030
|
|
|
Merrill Lynch Mortgage Investors Trust
|
|
|
|
|
|
|
FRB Ser. 07-HE1, Class A2D, 0.569s, 2037
|
|
|
|
2,948,449
|
962,079
|
|
FRB Ser. 07-HE2, Class A2B, 0.449s, 2037
|
|
|
|
6,000,000
|
1,857,188
|
|
FRB Ser. 06-HE3, Class A3, 0.389s, 2037
|
|
|
|
7,678,446
|
2,499,334
|
|
FRB Ser. 07-HE1, Class A2A, 0.369s, 2037
|
|
|
|
9,102,731
|
2,970,221
|
|
FRB Ser. 06-HE5, Class A2B, 0.349s, 2037
|
|
|
|
3,373,829
|
1,855,606
|
|
|
Morgan Stanley Capital, Inc. FRB Ser. 04-HE8, Class B3, 3.439s, 2034
|
|
|
|
96,716
|
28,015
|
|
|
Structured Asset Securities Corp. FRB Ser. 06-BC2, Class A3, 0.389s, 2036
|
|
|
|
8,399,708
|
4,787,833
|
|
|
TIAA Real Estate CDO, Ltd. Ser. 03-1A, Class E, 8s, 2038
|
|
|
|
1,006,554
|
120,786
|
|
|
TIAA Real Estate CDO, Ltd. 144A Ser. 02-1A, Class IV, 6.84s, 2037
|
|
|
|
756,000
|
378,000
|
|
|
|
Total asset-backed securities (cost $30,076,306)
|
$29,861,670
|
|
|
SENIOR LOANS (1.9%)
(a)
(c)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
Basic materials (0.1%)
|
|
|
INEOS Group Holdings, Ltd. bank term loan FRN Ser. C2, 8.001s, 2014
|
|
|
|
$14,179
|
$14,693
|
|
|
Momentive Performance Materials, Inc. bank term loan FRN 3 3/4s, 2013
|
|
|
|
368,200
|
363,751
|
|
|
Nexeo Solutions, LLC bank term loan FRN Ser. B, 5s, 2017
|
|
|
|
202,950
|
198,384
|
|
|
|
|
576,828
|
|
Capital goods (—%)
|
|
|
SRAM Corp. bank term loan FRN 8 1/2s, 2018
|
|
|
|
135,000
|
135,759
|
|
|
|
|
135,759
|
|
Communication services (0.2%)
|
|
|
Charter Communications Operating, LLC bank term loan FRN Ser. C, 3.83s, 2016
|
|
|
|
1,125,761
|
1,119,529
|
|
|
Intelsat SA bank term loan FRN 3.242s, 2014 (Luxembourg)
|
|
|
|
885,000
|
872,831
|
|
|
Level 3 Financing, Inc. bank term loan FRN 2.729s, 2014
|
|
|
|
35,000
|
34,738
|
|
|
|
|
2,027,098
|
|
Consumer cyclicals (0.9%)
|
|
|
Brickman Group Holdings, Inc. bank term loan FRN Ser. B, 7 1/4s, 2016
|
|
|
|
170,964
|
172,460
|
|
|
Burlington Coat Factory Warehouse Corp. bank term loan FRN Ser. B, 6 1/4s, 2017
|
|
|
|
109,313
|
109,707
|
|
|
Caesars Entertainment Operating Co., Inc. bank term loan FRN Ser. B6, 5.494s, 2018
|
|
|
|
809,518
|
739,986
|
|
|
CCM Merger, Inc. bank term loan FRN Ser. B, 7s, 2017
|
|
|
|
562,928
|
561,052
|
|
|
Cengage Learning Acquisitions, Inc. bank term loan FRN Ser. B, 2.49s, 2014
|
|
|
|
486,580
|
444,005
|
|
|
Clear Channel Communications, Inc. bank term loan FRN Ser. B, 3.894s, 2016
|
|
|
|
987,831
|
793,694
|
|
|
Compucom Systems, Inc. bank term loan FRN 3 3/4s, 2014
|
|
|
|
151,195
|
147,227
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/2s, 2014
|
|
|
|
423,393
|
126,356
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. B, 2 1/4s, 2014
|
|
|
|
453,227
|
135,260
|
|
|
GateHouse Media, Inc. bank term loan FRN Ser. DD, 2 1/4s, 2014
|
|
|
|
169,115
|
50,470
|
|
|
Golden Nugget, Inc. bank term loan FRN Ser. B, 3 1/4s, 2014
(PIK)
|
|
|
|
199,170
|
189,959
|
|
|
Golden Nugget, Inc. bank term loan FRN Ser. DD, 3 1/4s, 2014
(PIK)
|
|
|
|
113,373
|
108,130
|
|
|
Goodman Global, Inc. bank term loan FRN 9s, 2017
|
|
|
|
271,091
|
275,496
|
|
|
Goodman Global, Inc. bank term loan FRN 5 3/4s, 2016
|
|
|
|
416,710
|
418,793
|
|
|
National Bedding Company, LLC bank term loan FRN Ser. B, 4 1/8s, 2013
|
|
|
|
148,638
|
148,638
|
|
|
Neiman Marcus Group, Inc. (The) bank term loan FRN 4 3/4s, 2018
|
|
|
|
370,000
|
370,051
|
|
|
R.H. Donnelley, Inc. bank term loan FRN Ser. B, 9s, 2014
|
|
|
|
1,235,458
|
574,488
|
|
|
Realogy Corp. bank term loan FRN Ser. B, 4.77s, 2016
|
|
|
|
800,784
|
743,968
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. B, 2.803s, 2014
|
|
|
|
285,419
|
282,208
|
|
|
ServiceMaster Co. (The) bank term loan FRN Ser. DD, 2 3/4s, 2014
|
|
|
|
28,443
|
28,123
|
|
|
Tribune Co. bank term loan FRN Ser. B, 5 1/4s, 2014
|
|
|
|
670,438
|
461,112
|
|
|
Univision Communications, Inc. bank term loan FRN 4.494s, 2017
|
|
|
|
345,227
|
322,140
|
|
|
|
|
7,203,323
|
|
Consumer staples (0.2%)
|
|
|
Claire's Stores, Inc. bank term loan FRN 3.086s, 2014
|
|
|
|
309,389
|
294,130
|
|
|
Del Monte Corp. bank term loan FRN Ser. B, 4 1/2s, 2018
|
|
|
|
258,050
|
255,994
|
|
|
Landry's, Inc. bank term loan FRN Ser. B, 6 1/2s, 2017
|
|
|
|
520,000
|
519,675
|
|
|
Revlon Consumer Products bank term loan FRN Ser. B, 4 3/4s, 2017
|
|
|
|
560,763
|
559,974
|
|
|
Rite Aid Corp. bank term loan FRN Ser. B, 2s, 2014
|
|
|
|
179,586
|
176,712
|
|
|
West Corp. bank term loan FRN Ser. B2, 2.658s, 2013
|
|
|
|
44,736
|
44,702
|
|
|
West Corp. bank term loan FRN Ser. B5, 4.494s, 2016
|
|
|
|
108,517
|
108,789
|
|
|
|
|
1,959,976
|
|
Energy (0.1%)
|
|
|
EP Energy, LLC bank term loan FRN 6 1/2s, 2018
|
|
|
|
135,000
|
136,283
|
|
|
Frac Tech International, LLC bank term loan FRN Ser. B, 6 1/4s, 2016
|
|
|
|
323,488
|
311,088
|
|
|
|
|
447,371
|
|
Financials (0.1%)
|
|
|
AGFS Funding Co. bank term loan FRN Ser. B, 5 1/2s, 2017
|
|
|
|
395,000
|
373,176
|
|
|
HUB International Holdings, Inc. bank term loan FRN 6 3/4s, 2014
|
|
|
|
162,825
|
163,571
|
|
|
|
|
536,747
|
|
Health care (0.2%)
|
|
|
Ardent Health Services bank term loan FRN Ser. B, 6 1/2s, 2015
|
|
|
|
515,897
|
515,252
|
|
|
Emergency Medical Services Corp. bank term loan FRN Ser. B, 5 1/4s, 2018
|
|
|
|
386,633
|
387,600
|
|
|
IASIS Healthcare, LLC bank term loan FRN Ser. B, 5s, 2018
|
|
|
|
618,750
|
619,910
|
|
|
Multiplan, Inc. bank term loan FRN Ser. B, 4 3/4s, 2017
|
|
|
|
308,003
|
306,617
|
|
|
Quintiles Transnational Corp. bank term loan FRN 7 1/2s, 2017
(PIK)
|
|
|
|
135,000
|
135,563
|
|
|
|
|
1,964,942
|
|
Utilities and power (0.1%)
|
|
|
Texas Competitive Electric Holdings Co., LLC bank term loan FRN 4.743s, 2017
|
|
|
|
1,360,286
|
751,898
|
|
|
|
|
751,898
|
|
|
|
Total senior loans (cost $17,701,877)
|
$15,603,942
|
|
|
CONVERTIBLE BONDS AND NOTES (0.2%)
(a)
|
|
|
|
|
|
Principal amount
|
Value
|
|
|
|
|
Altra Holdings, Inc. 144A cv. company guaranty sr. unsec. notes 2 3/4s, 2031
|
|
|
|
$330,000
|
$322,163
|
|
|
Ford Motor Co. cv. sr. unsec. notes 4 1/4s, 2016
|
|
|
|
345,000
|
512,325
|
|
|
Meritor, Inc. cv. company guaranty sr. unsec. notes stepped-coupon 4 5/8s (zero %, 3/1/16) 2026
(STP)
|
|
|
|
330,000
|
295,763
|
|
|
Steel Dynamics, Inc. cv. sr. notes 5 1/8s, 2014
|
|
|
|
350,000
|
378,000
|
|
|
|
Total convertible bonds and notes (cost $1,316,591)
|
$1,508,251
|
|
|
PREFERRED STOCKS (0.1%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Ally Financial, Inc. 144A 7.00% cum. pfd.
|
|
|
|
440
|
$373,450
|
|
|
GMAC Capital Trust I Ser. 2, $2.031 cum. pfd.
|
|
|
|
28,680
|
686,886
|
|
|
|
Total preferred stocks (cost $881,238)
|
$1,060,336
|
|
|
CONVERTIBLE PREFERRED STOCKS (0.1%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
General Motors Co. Ser. B, $2.375 cv. pfd.
|
|
|
|
9,017
|
$352,227
|
|
|
Lehman Brothers Holdings, Inc. 7.25% cv. pfd. (Escrow)
(F)
|
|
|
|
1,477
|
15
|
|
|
Lucent Technologies Capital Trust I 7.75% cv. pfd.
|
|
|
|
407
|
315,425
|
|
|
|
Total convertible preferred stocks (cost $850,810)
|
$667,667
|
|
|
WARRANTS (—%)
(a)
(NON)
|
|
|
|
Expiration date
|
Strike Price
|
Warrants
|
Value
|
|
|
|
|
Charter Communications, Inc. Class A
|
|
11/30/14
|
$0.01
|
117
|
$2,112
|
|
|
Smurfit Kappa Group PLC 144A (Ireland)
(F)
|
|
10/1/13
|
EUR 1.00
|
960
|
41,939
|
|
|
|
Total warrants (cost $35,777)
|
$44,051
|
|
|
COMMON STOCKS (—%)
(a)
|
|
|
|
|
|
Shares
|
Value
|
|
|
|
|
Bohai Bay Litigation, LLC (Escrow)
(F)
|
|
|
|
1,327
|
$4,141
|
|
|
Magellan Health Services, Inc.
(NON)
|
|
|
|
304
|
13,461
|
|
|
Trump Entertainment Resorts, Inc.
|
|
|
|
224
|
672
|
|
|
Vertis Holdings, Inc.
(F)
|
|
|
|
1,450
|
15
|
|
|
|
Total common stocks (cost $27,390)
|
$18,289
|
|
|
SHORT-TERM INVESTMENTS (22.6%)
(a)
|
|
|
|
|
|
Principal amount/shares
|
Value
|
|
|
|
|
Putnam Money Market Liquidity Fund 0.10%
(e)
|
|
|
|
26,544,987
|
$26,544,987
|
|
|
Straight-A Funding, LLC commercial paper with an effective yield of 0.178%, May 14, 2012
|
|
|
|
$9,500,000
|
9,499,383
|
|
|
Straight-A Funding, LLC 144A Ser. 1 commercial paper with an effective yield of 0.178%, July 13, 2012
|
|
|
|
15,250,000
|
15,245,350
|
|
|
U.S. Treasury Bills with an effective yield of 0.090%, November 15, 2012
(SEG)
(SEGSF)
|
|
|
|
1,690,000
|
1,688,629
|
|
|
U.S. Treasury Bills with an effective yield of 0.087%, October 18, 2012
(SEG)
(SEGSF)
|
|
|
|
35,685,000
|
35,661,020
|
|
|
U.S. Treasury Bills with an effective yield of zero %, July 26, 2012
(i)
|
|
|
|
4,404,000
|
4,403,119
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.088% to 0.131%, May 3, 2012
(SEGSF)
|
|
|
|
15,308,000
|
15,307,914
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.077% to 0.094%, August 23, 2012
(SEG)
(SEGSF)
|
|
|
|
30,707,000
|
30,696,560
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.070% to 0.085%, June 28, 2012
(SEGSF)
|
|
|
|
11,658,000
|
11,656,516
|
|
|
U.S. Treasury Bills with effective yields ranging from 0.072% to 0.111%, July 26, 2012
(SEG)
(SEGSF)
|
|
|
|
34,612,000
|
34,604,350
|
|
|
|
Total short-term investments (cost $185,317,956)
|
$185,307,828
|
|
|
TOTAL INVESTMENTS
|
|
|
|
Total investments (cost $1,069,126,939)
(b)
|
$1,087,853,573
|
|