|
Investment Company Act file number
|
811-21982
|
|
Guggenheim Strategic Opportunities Fund
|
|
|
(Exact name of registrant as specified in charter)
|
|
|
2455 Corporate West Drive Lisle, IL 60532
|
|
| (Address of principal executive offices) (Zip code) | |
|
Amy J. Lee
2455 Corporate West Drive Lisle, IL 60532
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|
|
(Name and address of agent for service)
|
|
|
GOF Guggenheim Strategic Opportunities Fund
|
|||||||
|
Portfolio of Investments
|
|||||||
|
August 31, 2013 (unaudited)
|
|||||||
|
|
|||||||
|
Principal Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Optional Call Provisions**
|
Value
|
|
|
Long-Term Investments - 138.8%
|
|||||||
|
Corporate Bonds - 45.5%
|
|||||||
|
Advertising - 1.6%
|
|||||||
|
$2,350,000
|
MDC Partners, Inc. (Canada)(a) (b)
|
B-
|
6.750%
|
04/01/2020
|
04/01/16 @ 103
|
$2,379,375
|
|
|
2,175,000
|
Sitel, LLC / Sitel Finance Corp.(a) (b)
|
B
|
11.000%
|
08/01/2017
|
08/01/14 @ 106
|
2,305,500
|
|
|
4,684,875
|
|||||||
|
Agriculture - 0.4%
|
|||||||
|
1,200,000
|
Vector Group Ltd.
|
B+
|
7.750%
|
02/15/2021
|
02/15/16 @ 106
|
1,239,000
|
|
|
Airlines - 3.1%
|
|||||||
|
2,000,000
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(a) (c)
|
BBB-
|
7.001%
|
09/20/2022
|
N/A
|
2,100,480
|
|
|
1,030,396
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(b)
|
BB+
|
7.100%
|
10/02/2022
|
N/A
|
1,076,764
|
|
|
1,819,973
|
American Airlines Pass-Through Trust, Series 2011-2, Class A(b)
|
BBB-
|
8.625%
|
04/15/2023
|
N/A
|
1,838,172
|
|
|
679,391
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A(c)
|
NR
|
7.380%
|
07/02/2019
|
N/A
|
715,059
|
|
|
612,317
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(c)
|
NR
|
7.200%
|
07/02/2020
|
N/A
|
645,995
|
|
|
368,342
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A(c)
|
NR
|
8.707%
|
07/02/2021
|
N/A
|
391,363
|
|
|
400,000
|
British Airways PLC (United Kingdom)(a)
|
BBB
|
5.625%
|
06/20/2020
|
N/A
|
406,000
|
|
|
1,750,000
|
Delta Air Lines Pass-Through Trust, Series 2011-1, Class B
|
BB+
|
7.125%
|
04/15/2016
|
N/A
|
1,780,625
|
|
|
8,954,458
|
|||||||
|
Auto Parts & Equipment - 0.2%
|
|||||||
|
720,000
|
Stanadyne Corp., Series 1
|
CCC-
|
10.000%
|
08/15/2014
|
N/A
|
687,600
|
|
|
Banks - 3.2%
|
|||||||
|
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (b) (e) (f)
|
BBB-
|
6.860%
|
-
|
06/15/32 @ 100
|
1,206,000
|
|
|
875,000
|
Citigroup, Inc., Series D(b) (d) (e)
|
BB
|
5.350%
|
-
|
05/15/23 @ 100
|
776,562
|
|
|
500,000
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)(a) (b) (e) (f)
|
A-
|
11.000%
|
-
|
06/30/19 @ 100
|
646,875
|
|
|
750,000
|
Itau Unibanco Holding SA (Brazil)(a) (b)
|
Baa3
|
5.125%
|
05/13/2023
|
N/A
|
652,500
|
|
|
3,750,000
|
JPMorgan Chase & Co., Series Q(b) (e) (f)
|
BBB
|
5.150%
|
-
|
05/01/23 @ 100
|
3,300,000
|
|
|
1,000,000
|
KeyCorp Capital III(b)
|
BBB-
|
7.750%
|
07/15/2029
|
N/A
|
1,084,681
|
|
|
300,000
|
Morgan Stanley, Series 1654(b)
|
BBB+
|
4.100%
|
05/22/2023
|
N/A
|
275,081
|
|
|
1,400,000
|
RBS Capital Trust II(b) (e) (f)
|
BB
|
6.425%
|
-
|
01/03/34 @ 100
|
1,176,000
|
|
|
9,117,699
|
|||||||
|
Building Materials - 0.4%
|
|||||||
|
1,210,000
|
Cemex SAB de CV (Mexico)(a)
|
B
|
9.000%
|
01/11/2018
|
01/11/15 @ 105
|
1,276,550
|
|
|
Chemicals - 0.5%
|
|||||||
|
1,300,000
|
TPC Group, Inc.(a)
|
B
|
8.750%
|
12/15/2020
|
12/15/16 @ 104
|
1,326,000
|
|
|
Coal - 1.1%
|
|||||||
|
100,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp.
|
B-
|
8.250%
|
04/15/2018
|
04/15/14 @ 104
|
103,500
|
|
|
2,825,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(b)
|
B-
|
8.375%
|
06/01/2020
|
06/01/16 @ 104
|
2,938,000
|
|
|
3,041,500
|
|||||||
|
Commercial Services - 1.4%
|
|||||||
|
2,650,000
|
Laureate Education, Inc.(a) (b)
|
CCC+
|
9.250%
|
09/01/2019
|
09/01/15 @ 107
|
2,862,000
|
|
|
800,000
|
Logo Merger Sub Corp.(a)
|
CCC+
|
8.375%
|
10/15/2020
|
10/15/15 @ 106
|
826,000
|
|
|
350,000
|
ServiceMaster Co.
|
CCC+
|
7.000%
|
08/15/2020
|
08/15/15 @ 105
|
320,250
|
|
|
4,008,250
|
|||||||
|
Computers - 0.8%
|
|||||||
|
281,000
|
Stratus Technologies, Inc. (Bermuda)
|
B-
|
12.000%
|
03/29/2015
|
01/15/15 @ 100
|
279,595
|
|
|
2,040,000
|
Stream Global Services, Inc.(b)
|
B+
|
11.250%
|
10/01/2014
|
10/01/13 @ 100
|
2,042,550
|
|
|
2,322,145
|
|||||||
|
Distribution & Wholesale - 0.5%
|
|||||||
|
350,000
|
Baker & Taylor Acquisitions Corp.(a)
|
CCC
|
15.000%
|
04/01/2017
|
10/01/14 @ 108
|
273,000
|
|
|
1,285,000
|
INTCOMEX, Inc.(b)
|
CCC
|
13.250%
|
12/15/2014
|
12/15/13 @ 100
|
1,252,875
|
|
|
1,525,875
|
|||||||
|
Diversified Financial Services - 5.2%
|
|||||||
|
1,000,000
|
General Electric Capital Corp., Series A, Class A(b) (e) (f)
|
AA-
|
7.125%
|
-
|
06/15/22 @ 100
|
1,100,000
|
|
|
2,000,000
|
General Electric Capital Corp., Series C(b) (e) (f)
|
AA-
|
5.250%
|
-
|
06/15/23 @ 100
|
1,835,000
|
|
|
300,000
|
Harbinger Group, Inc.(a)
|
B
|
7.875%
|
07/15/2019
|
01/15/16 @ 106
|
309,750
|
|
|
350,000
|
Jefferies Finance, LLC / JFIN Co-Issuer Corp.(a)
|
B+
|
7.375%
|
04/01/2020
|
04/01/16 @ 106
|
346,500
|
|
|
400,000
|
Jefferies LoanCore, LLC / JLC Finance Corp.(a)
|
B
|
6.875%
|
06/01/2020
|
06/01/16 @ 105
|
393,000
|
|
|
785,000
|
KCG Holdings, Inc.(a)
|
B
|
8.250%
|
06/15/2018
|
06/15/15 @ 104
|
771,262
|
|
|
215,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
9.625%
|
05/01/2019
|
05/01/15 @ 107
|
240,800
|
|
|
1,100,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
7.875%
|
10/01/2020
|
10/01/16 @ 104
|
1,160,500
|
|
|
450,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.
|
B+
|
6.500%
|
07/01/2021
|
01/01/17 @ 103
|
436,500
|
|
|
1,250,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
6.500%
|
06/01/2022
|
12/01/17 @ 103
|
1,196,875
|
|
|
1,875,000
|
Nuveen Investments, Inc.(a)
|
CCC
|
9.125%
|
10/15/2017
|
10/15/14 @ 107
|
1,846,875
|
|
|
2,650,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (b) (f)
|
BBB
|
7.250%
|
05/24/2041
|
05/24/21 @ 100
|
2,795,750
|
|
|
500,000
|
Scottrade Financial Services, Inc.(a) (b)
|
Baa3
|
6.125%
|
07/11/2021
|
N/A
|
481,170
|
|
|
1,945,000
|
Svensk Exportkredit AB (Sweden)(a) (b) (e) (f)
|
BBB-
|
6.375%
|
-
|
12/27/13 @ 100
|
1,948,306
|
|
|
14,862,288
|
|||||||
|
Engineering & Construction - 1.1%
|
|||||||
|
1,364,818
|
Alion Science and Technology Corp.(g)
|
B-
|
12.000%
|
11/01/2014
|
10/01/13 @ 100
|
1,385,290
|
|
|
1,956,364
|
Princess Juliana International Airport Operating Co. NV (Saint Maarten)(a) (b)
|
Baa2
|
5.500%
|
12/20/2027
|
N/A
|
1,902,564
|
|
|
3,287,854
|
|||||||
|
Entertainment - 1.2%
|
|||||||
|
528,000
|
Agua Caliente Band of Cahuilla Indians(a) (c)
|
BB+
|
6.350%
|
10/01/2015
|
N/A
|
519,668
|
|
|
375,000
|
Diamond Resorts Corp.
|
B-
|
12.000%
|
08/15/2018
|
08/15/14 @ 106
|
416,250
|
|
|
100,000
|
DreamWorks Animation SKG, Inc.(a)
|
B
|
6.875%
|
08/15/2020
|
08/15/16 @ 105
|
102,750
|
|
|
100,000
|
Gibson Brands, Inc.(a)
|
B
|
8.875%
|
08/01/2018
|
02/01/16 @ 107
|
102,500
|
|
|
330,000
|
Live Nation Entertainment, Inc.(a)
|
B+
|
7.000%
|
09/01/2020
|
09/01/16 @ 104
|
343,200
|
|
|
1,685,000
|
WMG Acquisition Corp.(b)
|
B
|
11.500%
|
10/01/2018
|
10/01/14 @ 109
|
1,941,963
|
|
|
3,426,331
|
|||||||
|
Food - 1.4%
|
|||||||
|
800,000
|
Barry Callebaut Services NV (Belgium)(a)
|
BB+
|
5.500%
|
06/15/2023
|
N/A
|
803,581
|
|
|
310,000
|
BI-LO, LLC / BI-LO Finance Corp.(a)
|
B-
|
9.250%
|
02/15/2019
|
02/15/15 @ 105
|
337,900
|
|
|
2,382,000
|
Bumble Bee Holdings, Inc.(a) (b)
|
B
|
9.000%
|
12/15/2017
|
12/15/14 @ 105
|
2,590,425
|
|
|
250,000
|
KeHE Distributors, LLC / KeHE Finance Corp.(a)
|
B
|
7.625%
|
08/15/2021
|
08/15/17 @ 104
|
254,062
|
|
|
3,985,968
|
|||||||
|
Forest Products & Paper - 0.2%
|
|||||||
|
500,000
|
Unifrax I, LLC / Unifrax Holding Co.(a)
|
B-
|
7.500%
|
02/15/2019
|
02/15/15 @ 104
|
501,250
|
|
|
Gas - 0.3%
|
|||||||
|
900,000
|
LBC Tank Terminals Holding Netherlands BV (Netherlands)(a) (b)
|
B
|
6.875%
|
05/15/2023
|
05/15/18 @ 103
|
904,500
|
|
|
Hand & Machine Tools - 0.1%
|
|||||||
|
150,000
|
Victor Technologies Group, Inc.
|
B-
|
9.000%
|
12/15/2017
|
12/15/13 @ 107
|
161,625
|
|
|
Health Care Products - 0.1%
|
|||||||
|
260,000
|
ConvaTec Finance International SA (Luxembourg)(a)
|
B-
|
8.250%
|
01/15/2019
|
07/15/14 @ 102
|
256,100
|
|
|
92,000
|
Physio-Control International, Inc.(a)
|
B+
|
9.875%
|
01/15/2019
|
01/15/15 @ 107
|
101,660
|
|
|
357,760
|
|||||||
|
Health Care Services - 0.7%
|
|||||||
|
1,655,000
|
Apria Healthcare Group, Inc.
|
B-
|
12.375%
|
11/01/2014
|
11/01/13 @ 100
|
1,675,687
|
|
|
275,000
|
OnCure Holdings, Inc.(h)
|
NR
|
11.750%
|
05/15/2017
|
05/15/14 @ 106
|
132,000
|
|
|
142,333
|
Symbion, Inc.(i)
|
CCC+
|
11.000%
|
08/23/2015
|
08/23/12 @ 100
|
140,554
|
|
|
1,948,241
|
|||||||
|
Household Products & Housewares - 0.1%
|
|||||||
|
160,000
|
Armored Autogroup, Inc.
|
CCC
|
9.250%
|
11/01/2018
|
11/01/14 @ 105
|
140,000
|
|
|
200,000
|
Central Garden and Pet Co.
|
CCC+
|
8.250%
|
03/01/2018
|
03/01/14 @ 104
|
194,000
|
|
|
334,000
|
|||||||
|
Housewares - 0.0%***
|
|||||||
|
75,000
|
American Standards Americas(a)
|
B-
|
10.750%
|
01/15/2016
|
01/15/14 @ 103
|
79,031
|
|
|
Insurance - 5.2%
|
|||||||
|
2,000,000
|
Amtrust Financial Services, Inc.(a) (b)
|
NR
|
6.125%
|
08/15/2023
|
N/A
|
2,000,000
|
|
|
1,000,000
|
AXA SA (France)(a) (b) (e) (f)
|
BBB-
|
6.379%
|
-
|
12/14/36 @ 100
|
975,000
|
|
|
1,450,000
|
Fidelity & Guaranty Life Holdings, Inc.(a) (b)
|
BB-
|
6.375%
|
04/01/2021
|
04/01/16 @ 105
|
1,460,875
|
|
|
1,000,000
|
ING US, Inc.(b) (f)
|
BB
|
5.650%
|
05/15/2053
|
05/15/23 @ 100
|
926,780
|
|
|
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB-
|
8.500%
|
05/15/2020
|
N/A
|
916,622
|
|
|
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.875%
|
12/15/2037
|
12/15/32 @ 100
|
1,135,000
|
|
|
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.500%
|
09/15/2039
|
N/A
|
985,541
|
|
|
250,000
|
Nationwide Mutual Insurance Co.(a) (b)
|
A-
|
9.375%
|
08/15/2039
|
N/A
|
347,393
|
|
|
3,500,000
|
Prudential Financial, Inc.(b) (f)
|
BBB+
|
5.625%
|
06/15/2043
|
06/15/23 @ 100
|
3,272,500
|
|
|
2,750,000
|
Wilton RE Finance, LLC(a) (b) (d)
|
BBB
|
5.875%
|
03/30/2033
|
03/30/23 @ 100
|
2,805,000
|
|
|
14,824,711
|
|||||||
|
Internet - 1.5%
|
|||||||
|
660,000
|
Equinix, Inc.
|
BB
|
5.375%
|
04/01/2023
|
04/01/18 @ 103
|
628,650
|
|
|
1,000,000
|
First Data Corp.(a) (b) (j)
|
B-
|
8.750%
|
01/15/2022
|
01/15/16 @ 104
|
1,032,500
|
|
|
2,450,000
|
Zayo Group LLC / Zayo Capital, Inc.(b)
|
CCC+
|
10.125%
|
07/01/2020
|
07/01/16 @ 105
|
2,780,750
|
|
|
4,441,900
|
|||||||
|
Iron & Steel - 0.6%
|
|||||||
|
1,595,000
|
APERAM (Luxembourg)(a)
|
B+
|
7.750%
|
04/01/2018
|
04/01/15 @ 104
|
1,535,188
|
|
|
70,000
|
Horsehead Holding Corp.(a)
|
B-
|
10.500%
|
06/01/2017
|
06/01/15 @ 105
|
74,900
|
|
|
130,000
|
IAMGOLD Corp. (Canada)(a)
|
BB-
|
6.750%
|
10/01/2020
|
10/01/16 @ 103
|
112,450
|
|
|
1,722,538
|
|||||||
|
Leisure Time - 0.7%
|
|||||||
|
1,875,000
|
Sabre, Inc.(a) (b)
|
B
|
8.500%
|
05/15/2019
|
05/15/15 @ 106
|
2,020,313
|
|
|
Lodging - 0.8%
|
|||||||
|
1,150,000
|
Caesars Entertainment Operating Co., Inc.
|
B-
|
8.500%
|
02/15/2020
|
02/15/16 @ 104
|
1,098,250
|
|
|
945,000
|
Caesars Entertainment Operating Co., Inc.
|
B-
|
9.000%
|
02/15/2020
|
02/15/16 @ 105
|
907,200
|
|
|
150,000
|
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International, LLC(a)
|
BB-
|
5.875%
|
05/15/2021
|
05/15/16 @ 104
|
144,750
|
|
|
2,150,200
|
|||||||
|
Media - 0.9%
|
|||||||
|
500,000
|
DCP, LLC / DCP Corp.(a)
|
B+
|
10.750%
|
08/15/2015
|
08/15/14 @ 100
|
517,500
|
|
|
1,500,000
|
Expo Event Transco, Inc.(a)
|
Caa2
|
9.000%
|
06/15/2021
|
06/15/16 @ 105
|
1,477,500
|
|
|
800,000
|
Griffey Intermediiate, Inc. / Griffey Finance Sub LLC(a)
|
CCC+
|
7.000%
|
10/15/2020
|
10/15/15 @ 105
|
708,000
|
|
|
2,703,000
|
|||||||
|
Mining - 0.9%
|
|||||||
|
300,000
|
KGHM International Ltd. (Canada)(a)
|
BB-
|
7.750%
|
06/15/2019
|
06/15/15 @ 104
|
306,750
|
|
|
1,025,000
|
Midwest Vanadium Pty Ltd. (Australia)(a)
|
CCC
|
11.500%
|
02/15/2018
|
02/15/15 @ 106
|
738,000
|
|
|
2,170,000
|
Mirabela Nickel Ltd. (Australia)(a) (b) (c)
|
CCC+
|
8.750%
|
04/15/2018
|
04/15/15 @ 104
|
1,508,150
|
|
|
2,552,900
|
|||||||
|
Oil & Gas - 2.8%
|
|||||||
|
200,000
|
Atlas Energy Holdings Operating Co., LLC / Atlas Resource Finance Corp.(a)
|
B-
|
7.750%
|
01/15/2021
|
01/15/17 @ 104
|
185,500
|
|
|
200,000
|
Atlas Resource Escrow Corp.(a)
|
B-
|
9.250%
|
08/15/2021
|
08/15/17 @ 105
|
200,500
|
|
|
1,800,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(b)
|
B-
|
7.875%
|
04/15/2022
|
01/15/17 @ 104
|
1,782,000
|
|
|
2,055,000
|
Legacy Reserves LP / Legacy Reserves Finance Corp.(a) (b)
|
B-
|
8.000%
|
12/01/2020
|
12/01/16 @ 104
|
2,096,100
|
|
|
300,000
|
Legacy Reserves, LP / Legacy Reserves Finance Corp.(a)
|
B-
|
6.625%
|
12/01/2021
|
06/01/17 @ 103
|
285,000
|
|
|
195,000
|
Memorial Production Partners, LP / Memorial Production Finance Corp.
|
B-
|
7.625%
|
05/01/2021
|
05/01/17 @ 104
|
188,175
|
|
|
1,100,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co. LLC(a)
|
B-
|
10.750%
|
10/01/2020
|
10/01/16 @ 105
|
1,116,500
|
|
|
500,000
|
Pacific Drilling SA (Luxembourg)(a)
|
B+
|
5.375%
|
06/01/2020
|
06/01/16 @ 104
|
482,500
|
|
|
1,800,000
|
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(a)
|
B
|
7.500%
|
07/01/2021
|
07/01/16 @ 106
|
1,827,000
|
|
|
8,163,275
|
|||||||
|
Oil & Gas Services - 0.5%
|
|||||||
|
850,000
|
Exterran Partners, LP / EXLP Finance Corp.(a)
|
B-
|
6.000%
|
04/01/2021
|
04/01/17 @ 103
|
824,500
|
|
|
500,000
|
IronGate Energy Services, LLC(a)
|
NR
|
11.000%
|
07/01/2018
|
07/01/16 @ 105
|
492,500
|
|
|
1,317,000
|
|||||||
|
Packaging & Containers - 0.1%
|
|||||||
|
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.
|
B-
|
11.500%
|
04/01/2016
|
04/01/14 @ 106
|
321,000
|
|
|
Pharmaceuticals - 0.6%
|
|||||||
|
1,500,000
|
VPII Escrow Corp. (Canada)(a)
|
B
|
6.750%
|
08/15/2018
|
08/15/15 @ 105
|
1,588,125
|
|
|
Pipelines - 1.9%
|
|||||||
|
330,000
|
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.
|
B-
|
7.750%
|
04/01/2019
|
04/01/15 @ 104
|
344,438
|
|
|
3,000,000
|
Eagle Rock Energy Partners, LP(b)
|
B
|
8.375%
|
06/01/2019
|
06/01/15 @ 104
|
3,015,000
|
|
|
2,000,000
|
Gibson Energy, Inc. (Canada)(a) (b)
|
BB
|
6.750%
|
07/15/2021
|
07/15/16 @ 105
|
2,045,000
|
|
|
5,404,438
|
|||||||
|
Real Estate Investment Trust - 1.0%
|
|||||||
|
1,500,000
|
Entertainment Properties Trust(b)
|
BB+
|
5.750%
|
08/15/2022
|
05/15/22 @ 100
|
1,505,210
|
|
|
1,500,000
|
Entertainmnet Properties Trust(b)
|
BB+
|
5.250%
|
07/15/2023
|
04/15/23 @ 100
|
1,444,009
|
|
|
2,949,219
|
|||||||
|
Retail - 1.5%
|
|||||||
|
600,000
|
Checkers Drive-In Restaurants, Inc.(a)
|
B-
|
11.000%
|
12/01/2017
|
06/01/15 @ 108
|
642,000
|
|
|
2,245,000
|
GRD Holdings III Corp.(a) (b)
|
B
|
10.750%
|
06/01/2019
|
06/01/15 @ 108
|
2,390,925
|
|
|
1,255,000
|
Wok Acquisition Corp.(a)
|
CCC
|
10.250%
|
06/30/2020
|
06/30/16 @ 105
|
1,393,050
|
|
|
4,425,975
|
|||||||
|
Software - 0.7%
|
|||||||
|
1,360,000
|
Aspect Software, Inc.
|
CCC+
|
10.625%
|
05/15/2017
|
05/15/14 @ 105
|
1,363,400
|
|
|
750,000
|
Eagle Midco, Inc.(a)
|
CCC+
|
9.000%
|
06/15/2018
|
12/15/14 @ 102
|
750,000
|
|
|
2,113,400
|
|||||||
|
Telecommunications - 0.0%***
|
|||||||
|
100,000
|
Alcatel-Lucent USA, Inc.(a)
|
CCC+
|
8.875%
|
01/01/2020
|
07/01/16 @ 104
|
102,000
|
|
|
Textiles - 0.0%***
|
|||||||
|
95,000
|
Empire Today, LLC / Empire Today Finance Corp.(a)
|
B
|
11.375%
|
02/01/2017
|
02/01/14 @ 106
|
70,775
|
|
|
Transportation - 2.2%
|
|||||||
|
2,830,000
|
CEVA Group PLC (United Kingdom)(a) (b)
|
CCC+
|
8.375%
|
12/01/2017
|
12/01/13 @ 106
|
2,822,925
|
|
|
1,600,000
|
Marquette Transportation Co./Marquette Transportation Finance Corp.(b)
|
B-
|
10.875%
|
01/15/2017
|
01/15/14 @ 105
|
1,704,000
|
|
|
1,630,000
|
Quality Distribution, LLC / QD Capital Corp.(b)
|
B-
|
9.875%
|
11/01/2018
|
11/01/14 @ 105
|
1,776,700
|
|
|
6,303,625
|
|||||||
|
Total Corporate Bonds - 45.5%
|
|||||||
|
(Cost $128,541,321)
|
131,207,194
|
||||||
|
Asset Backed Securities - 38.2%
|
|||||||
|
Automobile - 0.0%***
|
|||||||
|
26,438
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(a)
|
NR
|
5.000%
|
09/25/2018
|
N/A
|
26,308
|
|
|
Collateralized Debt Obligations - 10.6%
|
|||||||
|
114,479
|
Aspen Funding I Ltd., Series 2002-1A, Class A1L (Cayman Islands)(a) (d)
|
BB+
|
0.869%
|
07/10/2037
|
N/A
|
113,674
|
|
|
5,326,180
|
Cedarwoods, Series 2006-1A, Class A1(a)
|
B
|
0.454%
|
07/25/2051
|
N/A
|
4,285,445
|
|
|
1,481,717
|
Diversified Asset Securitization Holdings II LP, Series 1A, Class A1L (Cayman Islands)(a) (d)
|
BBB+
|
0.763%
|
09/15/2035
|
N/A
|
1,426,034
|
|
|
87,568
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(d)
|
BBB+
|
0.763%
|
09/15/2035
|
N/A
|
84,393
|
|
|
3,783,151
|
Highland Park CDO Ltd., Series 2006-1A, Class A1 (Cayman Islands)(a) (b) (d)
|
B+
|
0.592%
|
11/25/2051
|
N/A
|
3,189,499
|
|
|
162,032
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(a) (d)
|
BB+
|
0.682%
|
12/30/2030
|
N/A
|
159,466
|
|
|
91,553
|
Legg Mason Real Estate CDO I Ltd. (Cayman Islands)(a) (d)
|
BBB+
|
0.464%
|
03/25/2038
|
N/A
|
87,446
|
|
|
949,010
|
Newcastle, Series 2007-9A, Class A1 (b)
|
NR
|
0.450%
|
05/25/2052
|
N/A
|
923,311
|
|
|
2,974,939
|
N-Star Real Estate CDO Ltd.(c)
|
NR
|
0.507%
|
02/01/2041
|
N/A
|
2,702,494
|
|
|
1,364,076
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands)(a) (d)
|
A3
|
0.472%
|
02/01/2041
|
N/A
|
1,232,566
|
|
|
1,250,000
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands) (a) (d) (k)
|
B1
|
0.542%
|
02/01/2041
|
N/A
|
950,812
|
|
|
23,415
|
Putnam Structured Product CDO, Series 2001-1A, Class A1SS (Cayman Islands)(a) (d)
|
AA
|
0.762%
|
02/25/2032
|
N/A
|
22,791
|
|
|
507,858
|
Putnam Structured Product CDO, Series 2003-1A, Class A1LT (Cayman Islands)(a) (d)
|
CCC
|
0.634%
|
10/15/2038
|
N/A
|
473,293
|
|
|
7,493,044
|
RAIT CRE CDO Ltd. (Cayman Islands) (d)
|
BB-
|
0.514%
|
11/20/2046
|
N/A
|
6,141,448
|
|
|
8,521,798
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA (Cayman Islands)(a) (b) (d)
|
BBB+
|
0.515%
|
08/01/2024
|
N/A
|
8,092,564
|
|
|
111,114
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (d)
|
BB
|
0.742%
|
02/25/2031
|
N/A
|
108,079
|
|
|
783,937
|
SRERS Funding Ltd., Series 2011-RS, Class A1B1 (Cayman Islands)(a) (d)
|
Baa3
|
0.435%
|
05/09/2046
|
N/A
|
683,421
|
|
|
30,676,736
|
|||||||
|
Collateralized Loan Obligations - 16.4%
|
|||||||
|
400,000
|
Airlie CLO, Series 2006-2A, Class B (Cayman Islands)(a) (d)
|
A
|
1.016%
|
12/20/2020
|
N/A
|
360,236
|
|
|
1,750,000
|
Ares CLO Ltd., Series 2012-3A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
01/17/2024
|
N/A
|
1,434,982
|
|
|
3,700,000
|
Ares CLO Ltd., Series XXVI (Cayman Islands)(a) (k) (l)
|
NR
|
0.000%
|
04/15/2025
|
N/A
|
3,053,536
|
|
|
2,600,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
01/30/2024
|
N/A
|
2,350,634
|
|
|
2,800,000
|
Blackrock Senior Income Series Corp., Series 2004-1X (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
09/15/2016
|
N/A
|
56,000
|
|
|
2,600,000
|
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
10/14/2024
|
N/A
|
2,220,816
|
|
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (d)
|
A+
|
1.519%
|
07/10/2019
|
N/A
|
898,033
|
|
|
3,500,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(a) (d)
|
BBB+
|
2.869%
|
07/10/2019
|
N/A
|
3,364,795
|
|
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(a)
|
BBB+
|
8.370%
|
07/10/2019
|
N/A
|
1,004,433
|
|
|
2,500,000
|
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
12/24/2023
|
N/A
|
2,227,800
|
|
|
7,700,000
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1(b)
|
AAA
|
0.604%
|
07/15/2019
|
N/A
|
6,839,015
|
|
|
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(a) (d)
|
A
|
0.966%
|
04/19/2021
|
N/A
|
224,498
|
|
|
900,000
|
Global Leveraged Capital Credit Opportunity Fund, Series 2006-1A, Class C (Cayman Islands)(a) (d)
|
A+
|
1.266%
|
12/20/2018
|
N/A
|
839,571
|
|
|
2,500,000
|
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
01/15/2023
|
N/A
|
2,533,825
|
|
|
2,100,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A (Cayman Islands)(a) (d)
|
BBB-
|
2.565%
|
08/07/2021
|
N/A
|
2,033,090
|
|
|
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (d)
|
A+
|
1.105%
|
08/07/2021
|
N/A
|
233,416
|
|
|
250,000
|
Hewett's Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(a) (d)
|
A
|
0.960%
|
12/05/2018
|
N/A
|
239,462
|
|
|
500,000
|
Ivy Hill Middle Market Credit Fund Ltd. (Cayman Islands)(a) (d)
|
BB
|
6.768%
|
01/15/2022
|
N/A
|
502,267
|
|
|
800,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(a) (d)
|
A-
|
0.986%
|
01/25/2019
|
N/A
|
722,040
|
|
|
1,000,000
|
KKR Financial CLO Ltd., Series 2007-1X, Class A(d)
|
AAA
|
5.275%
|
05/15/2021
|
N/A
|
992,230
|
|
|
1,500,000
|
Knightsbridge CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(a) (d)
|
BBB
|
5.269%
|
01/11/2022
|
N/A
|
1,500,232
|
|
|
500,000
|
Liberty CLO II Ltd., Series 2005-1A, Class A3 (Cayman Islands)(a) (b) (d)
|
AA+
|
0.765%
|
11/01/2017
|
N/A
|
475,867
|
|
|
3,000,000
|
Marathon CLO II Ltd., Series 2005-2A, Class A (Cayman Islands)(a) (l)
|
NR
|
0.000%
|
12/20/2019
|
N/A
|
1,903,791
|
|
|
500,000
|
Marlborough Street CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (d)
|
A+
|
1.016%
|
04/18/2019
|
N/A
|
462,227
|
|
|
1,500,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C (Cayman Islands)(a) (d)
|
A-
|
1.222%
|
12/20/2020
|
N/A
|
1,380,348
|
|
|
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(a) (d)
|
AA+
|
0.608%
|
04/16/2021
|
N/A
|
753,566
|
|
|
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (d)
|
BBB+
|
1.561%
|
09/30/2022
|
N/A
|
468,148
|
|
|
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (d)
|
BB-
|
2.561%
|
09/30/2022
|
N/A
|
454,220
|
|
|
250,000
|
Newstar Trust, Series 2013-1A, Class E(a) (d)
|
BBB-
|
5.564%
|
09/20/2023
|
N/A
|
250,540
|
|
|
600,000
|
Northwoods Capital VII Ltd. (Cayman Islands)(a) (d)
|
BB+
|
3.766%
|
10/22/2021
|
N/A
|
565,943
|
|
|
250,000
|
OFSI Fund Ltd., Series 2006-1A, Class C (Cayman Islands)(a) (d)
|
A+
|
1.122%
|
09/20/2019
|
N/A
|
227,835
|
|
|
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)
|
AA-
|
5.811%
|
01/26/2020
|
N/A
|
300,535
|
|
|
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (d)
|
AAA
|
0.675%
|
07/24/2021
|
N/A
|
1,458,551
|
|
|
1,200,000
|
Summit Lake CLO Ltd., Series 2005-1A, Class C1A(a) (l)
|
NR
|
0.000%
|
02/24/2018
|
N/A
|
484,944
|
|
|
700,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(a) (d)
|
A+
|
3.018%
|
07/15/2019
|
N/A
|
652,810
|
|
|
650,000
|
TCW Global Project Fund, Series 2004-1A, Class A2A (Cayman Islands)(a) (d)
|
A
|
1.618%
|
06/15/2016
|
N/A
|
592,131
|
|
|
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(a) (d)
|
BB-
|
2.218%
|
06/15/2016
|
N/A
|
1,733,240
|
|
|
500,000
|
TCW Global Project Fund, Series 2005-1A, Class A1 (Cayman Islands)(a) (d)
|
AAA
|
0.910%
|
09/01/2017
|
N/A
|
469,135
|
|
|
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(a)
|
BB+
|
5.793%
|
09/01/2017
|
N/A
|
915,540
|
|
|
47,180,282
|
|||||||
|
Commercial Receivables - 0.1%
|
|||||||
|
296,209
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(a) (b)
|
NR
|
5.000%
|
01/20/2019
|
N/A
|
291,351
|
|
|
Credit Cards - 0.8%
|
|||||||
|
1,516,355
|
CHLPA Credit Card Pass-Through Trust, Series 2012-BIZ, Class A(a) (l)
|
CCC
|
0.000%
|
12/15/2049
|
N/A
|
1,154,962
|
|
|
61,600
|
LCP Dakota Fund, Series 2012-6, Class P(c)
|
NR
|
10.000%
|
08/17/2015
|
N/A
|
61,600
|
|
|
44,000
|
LCP Dakota Fund, Series 2012-6, Class Q(c)
|
NR
|
12.500%
|
12/16/2019
|
N/A
|
43,993
|
|
|
500,000
|
LCP Rights Trust, Series 2010-1, Class G(c)
|
NR
|
11.710%
|
09/18/2018
|
N/A
|
498,645
|
|
|
200,000
|
LCP Rights Trust, Series 2010-1, Class H(c)
|
NR
|
14.560%
|
09/18/2018
|
N/A
|
199,533
|
|
|
400,000
|
LCP Rights Trust, Series 2010-1, Class I(c)
|
NR
|
18.290%
|
09/18/2018
|
N/A
|
399,473
|
|
|
2,358,206
|
|||||||
|
Financial - 0.0%***
|
|||||||
|
21,880
|
Blue Falcon, Series A-2(a) (c)
|
NR
|
3.184%
|
12/25/2016
|
N/A
|
21,761
|
|
|
Insurance - 1.7%
|
|||||||
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(a)
|
AA+
|
8.370%
|
01/15/2046
|
02/15/28 @ 100
|
658,522
|
|
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(a)
|
A+
|
9.360%
|
01/15/2048
|
07/15/29 @ 100
|
684,968
|
|
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(a)
|
A-
|
10.810%
|
01/15/2050
|
05/15/31 @ 100
|
694,083
|
|
|
338,800
|
Insurance Note Capital Term, Series 2005-1R1A(a) (d)
|
A-
|
0.505%
|
06/09/2033
|
N/A
|
315,121
|
|
|
1,028,125
|
Northwind Holdings, LLC, Series 2007-1A, Class A1(a) (d)
|
A
|
1.041%
|
12/01/2037
|
N/A
|
947,715
|
|
|
1,745,729
|
Structured Asset Receivables Trust, Series 2005-1A, Class CTFS(a) (b) (d)
|
CCC
|
0.766%
|
01/21/2015
|
N/A
|
1,649,714
|
|
|
4,950,123
|
|||||||
|
Media - 0.6%
|
|||||||
|
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.836%
|
12/20/2040
|
N/A
|
539,965
|
|
|
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.756%
|
12/20/2040
|
N/A
|
1,216,233
|
|
|
1,756,198
|
|||||||
|
Other - 0.5%
|
|||||||
|
1,298,043
|
Glenn Pool Oil & Gas Trust(c)
|
NR
|
6.000%
|
08/02/2021
|
N/A
|
1,321,472
|
|
|
Student Loans - 0.1%
|
|||||||
|
281,254
|
MRU Student Loan Trust, Series 2008-A, Class A1A(a)
|
B
|
7.400%
|
01/25/2041
|
N/A
|
231,033
|
|
|
Timeshare - 0.3%
|
|||||||
|
543,667
|
Diamond Resorts Owner Trust, Series 2009-1, Class A(a) (b)
|
A
|
9.310%
|
03/20/2026
|
10/20/13 @ 100
|
548,953
|
|
|
158,110
|
Silverleaf Finance, LLC, Series 2010-A, Class B(a)
|
BBB
|
8.000%
|
07/15/2022
|
09/15/15 @ 100
|
161,271
|
|
|
710,224
|
|||||||
|
Transportation - 5.2%
|
|||||||
|
8,630,591
|
Aerco Ltd., Series 2A, Class A3 (Jersey)(a) (b) (d)
|
B-
|
0.644%
|
07/15/2025
|
N/A
|
6,127,720
|
|
|
12,904,508
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9 (b)(d)
|
CCC
|
0.734%
|
03/15/2019
|
N/A
|
4,903,713
|
|
|
1,627,432
|
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)(a) (d)
|
BBB-
|
0.619%
|
11/14/2033
|
N/A
|
1,383,317
|
|
|
1,279,428
|
Babcock & Brown Air Funding I Ltd., Series 2007-1X, Class G1 (Bermuda)(a) (d)
|
BBB+
|
0.619%
|
11/14/2033
|
N/A
|
1,087,513
|
|
|
603,451
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (d)
|
BB+
|
3.184%
|
09/15/2041
|
N/A
|
456,131
|
|
|
17,118
|
Castle Trust, Series 2003-1AW, Class A1(a) (d)
|
AA
|
0.934%
|
05/15/2027
|
N/A
|
15,577
|
|
|
460,330
|
Raspro Trust, Series 2005-1A, Class G(a) (d)
|
A
|
0.672%
|
03/23/2024
|
N/A
|
425,524
|
|
|
658,948
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.562%
|
02/10/2021
|
N/A
|
639,180
|
|
|
15,038,675
|
|||||||
|
Trust Preferred Stocks - 1.9%
|
|||||||
|
6,000,000
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(a) (d) (k)
|
AA-
|
0.529%
|
10/11/2042
|
N/A
|
5,327,700
|
|
|
Total Asset Backed Securities - 38.2%
|
|||||||
|
(Cost $110,147,060)
|
109,890,069
|
||||||
|
Collateralized Mortgage Obligations - 5.3%
|
|||||||
|
Commercial Mortgage Backed Securities - Non-Traditional - 0.6%
|
|||||||
|
1,867,836
|
Business Loan Express SBA Loan Trust 2006-1, Series 2006-AA, Class A(a) (d)
|
CCC+
|
0.424%
|
10/20/2038
|
N/A
|
1,315,080
|
|
|
524,622
|
Ciena Capital, LLC, Series 2007-AA, Class A(a) (d)
|
CCC
|
0.584%
|
10/20/2040
|
N/A
|
318,308
|
|
|
1,633,388
|
|||||||
|
Commercial Mortgage Backed Securities - Traditional - 0.6%
|
|||||||
|
400,000
|
Bank of America Merrill Lynch-DB Trust, Series 2012-OSI, Class D(a)
|
Baa3
|
6.786%
|
04/13/2029
|
N/A
|
403,729
|
|
|
1,500,000
|
Barclays Commercial Mortgage Securities, Series 2013-TYSN, Class E(a)
|
Ba2
|
3.708%
|
09/05/2032
|
N/A
|
1,327,489
|
|
|
1,731,218
|
|||||||
|
Residential Mortgage Backed Securities - 4.1%
|
|||||||
|
72,082
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(d)
|
D
|
6.005%
|
10/25/2036
|
12/25/20 @ 100
|
53,294
|
|
|
1,904,752
|
GreenPoint Mortgage Funding Trust 2006-AR1, Series 2006-AR1, Class A1A(d)
|
CCC
|
0.474%
|
02/25/2036
|
N/A
|
1,458,425
|
|
|
795,665
|
GSAA Home Equity Trust 2007-7(d)
|
B-
|
0.454%
|
07/25/2037
|
12/25/18 @ 100
|
652,819
|
|
|
106,060
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(d)
|
B
|
4.589%
|
08/25/2034
|
07/25/19 @ 100
|
108,958
|
|
|
800,000
|
New Century Home Equity Loan Trust Series 2005-1(d)
|
B-
|
0.664%
|
03/25/2035
|
N/A
|
678,791
|
|
|
5,411,710
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(a) (d)
|
NR
|
0.624%
|
08/27/2047
|
N/A
|
4,978,774
|
|
|
2,000,000
|
Structured Asset Securities Corp. Mortgage Loan Trust 2006-OPT1(d)
|
B-
|
0.444%
|
04/25/2036
|
N/A
|
1,658,112
|
|
|
793,331
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(m)
|
D
|
5.750%
|
11/20/2019
|
02/25/21 @ 100
|
493,757
|
|
|
1,857,747
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(m)
|
D
|
6.040%
|
11/20/2019
|
02/25/21 @ 100
|
1,114,057
|
|
|
903,419
|
Wachovia Asset Securitization Issuance II, LLC 2007-He1 Trust(a) (d)
|
CCC
|
0.324%
|
07/25/2037
|
N/A
|
778,103
|
|
|
11,975,090
|
|||||||
|
Total Collateralized Mortgage Obligations - 5.3%
|
|||||||
|
(Cost $15,120,855)
|
15,339,696
|
||||||
|
Term Loans - 26.4%(n)
|
|||||||
|
Aerospace & Defense - 0.3%
|
|||||||
|
300,000
|
Doncasters Group Limited(d)
|
CCC+
|
9.500%
|
10/09/2020
|
N/A
|
300,375
|
|
|
617,500
|
Nana Development(d)
|
B+
|
8.000%
|
03/15/2018
|
N/A
|
612,097
|
|
|
912,472
|
|||||||
|
Automotive - 0.3%
|
|||||||
|
129,235
|
Armored Autogroup, Inc.(d)
|
B-
|
6.000%
|
11/05/2016
|
N/A
|
126,569
|
|
|
99,749
|
Fleetpride(d)
|
B
|
5.250%
|
11/19/2019
|
N/A
|
96,757
|
|
|
250,000
|
Fleetpride(d)
|
CCC+
|
9.250%
|
05/15/2020
|
N/A
|
236,875
|
|
|
100,000
|
Keystone Automotive(d)
|
B
|
7.000%
|
08/15/2019
|
N/A
|
100,500
|
|
|
361,111
|
Navistar, Inc.(d)
|
B+
|
5.750%
|
08/17/2017
|
N/A
|
367,431
|
|
|
928,132
|
|||||||
|
Banking - 0.1%
|
|||||||
|
200,000
|
Ranpak(d)
|
B-
|
8.500%
|
04/23/2020
|
N/A
|
205,500
|
|
|
Chemicals - 0.1%
|
|||||||
|
400,000
|
Ennis-Flint(d)
|
B+
|
6.250%
|
03/30/2018
|
N/A
|
403,000
|
|
|
Consumer Products - 0.5%
|
|||||||
|
328,325
|
Playpower Dollar, Inc.(d)
|
B
|
7.500%
|
06/30/2015
|
N/A
|
298,776
|
|
|
143,054
|
Targus Group International, Inc.(d)
|
B
|
11.000%
|
05/24/2016
|
N/A
|
136,617
|
|
|
100,000
|
Totes Isotoner Corp.(d)
|
B
|
7.254%
|
07/07/2017
|
N/A
|
100,531
|
|
|
950,000
|
Transtar Industries, Inc.(d)
|
CCC+
|
9.750%
|
10/09/2019
|
N/A
|
969,000
|
|
|
1,504,924
|
|||||||
|
Consumer Services - 3.7%
|
|||||||
|
375,000
|
Applied Systems, Inc.(d)
|
CCC+
|
8.250%
|
06/08/2017
|
N/A
|
378,906
|
|
|
1,000,000
|
Digital Insight(d)
|
B-
|
5.500%
|
08/01/2019
|
N/A
|
1,000,000
|
|
|
1,000,000
|
Digital Insight(d)
|
CCC+
|
9.500%
|
08/01/2020
|
N/A
|
1,000,000
|
|
|
338,813
|
Edmentum, Inc.(d)
|
BB-
|
6.000%
|
05/17/2018
|
N/A
|
339,659
|
|
|
945,750
|
Endurance International Group(d)
|
B
|
6.250%
|
11/09/2019
|
N/A
|
957,572
|
|
|
1,100,000
|
Endurance International Group(d)
|
CCC+
|
10.250%
|
05/09/2020
|
N/A
|
1,108,250
|
|
|
1,491,500
|
Fly Funding II(d)
|
BBB-
|
4.500%
|
08/08/2018
|
N/A
|
1,505,788
|
|
|
400,000
|
GCA Services Group, Inc.(d)
|
CCC+
|
9.250%
|
11/01/2020
|
N/A
|
408,000
|
|
|
94,650
|
Nab Holdings, LLC(d)
|
BB+
|
7.000%
|
04/24/2018
|
N/A
|
95,360
|
|
|
230,417
|
Sutherland Global Cayman Tranche(d)
|
B
|
7.250%
|
03/06/2019
|
N/A
|
230,993
|
|
|
510,208
|
Sutherland Global U.S. Tranche(d)
|
B
|
7.250%
|
03/06/2019
|
N/A
|
511,484
|
|
|
3,070,000
|
Travelport Holdings Ltd.(d)
|
B
|
6.250%
|
06/26/2019
|
N/A
|
3,109,142
|
|
|
100,000
|
Valleycrest Companies LLC(d)
|
B
|
5.500%
|
06/13/2019
|
N/A
|
100,175
|
|
|
10,745,329
|
|||||||
|
Diversified Manufacturing - 0.7%
|
|||||||
|
1,032,200
|
CPM Acquisition Corp.(d)
|
B+
|
6.250%
|
08/29/2017
|
N/A
|
1,038,011
|
|
|
530,000
|
CPM Acquisition Corp.(d)
|
B
|
10.250%
|
03/01/2018
|
N/A
|
533,148
|
|
|
475,054
|
Panolam Industries(c) (d)
|
B+
|
7.250%
|
08/23/2017
|
N/A
|
473,867
|
|
|
2,045,026
|
|||||||
|
Electric - 0.2%
|
|||||||
|
700,000
|
Astoria Generating Co. Acquisitions(d)
|
B
|
8.500%
|
10/26/2017
|
N/A
|
725,375
|
|
|
Entertainment - 1.3%
|
|||||||
|
1,338,157
|
Bushnell, Inc.(d)
|
B
|
5.750%
|
08/24/2015
|
N/A
|
1,339,207
|
|
|
96,850
|
CKX Entertainment, Inc.(c) (d)
|
B+
|
9.000%
|
06/21/2017
|
N/A
|
87,649
|
|
|
2,250,000
|
Lions Gate Entertainment(d)
|
B+
|
5.000%
|
07/18/2020
|
N/A
|
2,263,118
|
|
|
3,689,974
|
|||||||
|
Food & Beverage - 1.9%
|
|||||||
|
2,500,000
|
Advance Pierre Foods, Inc.(d)
|
CCC+
|
9.500%
|
10/02/2017
|
N/A
|
2,550,012
|
|
|
1,245,000
|
Arctic Glacier Holdings(d)
|
B-
|
6.000%
|
05/10/2019
|
N/A
|
1,244,222
|
|
|
450,000
|
Cti Foods Holding Co. LLC(d)
|
B
|
8.250%
|
06/28/2021
|
N/A
|
448,875
|
|
|
300,000
|
Hostess Brands, Inc.(d)
|
B-
|
6.750%
|
04/09/2020
|
N/A
|
308,250
|
|
|
1,000,000
|
Performance Food Group(d)
|
CCC+
|
6.250%
|
11/07/2019
|
N/A
|
992,500
|
|
|
5,543,859
|
|||||||
|
Gaming - 0.6%
|
|||||||
|
448,875
|
Centaur Acquisition, LLC(d)
|
B+
|
5.250%
|
02/20/2019
|
N/A
|
453,175
|
|
|
125,000
|
Horseshoe Baltimore(d)
|
B-
|
8.250%
|
07/02/2020
|
N/A
|
129,063
|
|
|
1,141,375
|
Jacobs Entertainment, Inc.(d)
|
B+
|
6.250%
|
10/29/2018
|
N/A
|
1,147,795
|
|
|
1,730,033
|
|||||||
|
Gas Distributor- 0.6%
|
|||||||
|
1,637,625
|
MRC Global, Inc.(d)
|
BB-
|
6.000%
|
11/08/2019
|
N/A
|
1,651,545
|
|
|
Health Care - 1.5%
|
|||||||
|
390,625
|
Bioscrip, Inc.(d)
|
B
|
6.500%
|
07/31/2020
|
N/A
|
395,998
|
|
|
100,000
|
Catalent(d)
|
B
|
6.500%
|
12/31/2017
|
N/A
|
100,625
|
|
|
825,000
|
Learning Care Group(d)
|
B
|
6.000%
|
05/08/2019
|
N/A
|
825,347
|
|
|
650,000
|
Merge Healthcare Inc.(d)
|
B+
|
6.000%
|
04/23/2019
|
N/A
|
654,875
|
|
|
2,481,250
|
One Call Medical, Inc.(d)
|
B+
|
5.500%
|
08/19/2019
|
N/A
|
2,498,309
|
|
|
4,475,154
|
|||||||
|
Home Builders - 0.1%
|
|||||||
|
150,000
|
Capital Automotive LP(d)
|
B-
|
6.000%
|
04/30/2020
|
N/A
|
154,125
|
|
|
Insurance - 0.3%
|
|||||||
|
200,000
|
Cetera Financial Group(d)
|
B
|
6.500%
|
08/07/2019
|
N/A
|
199,000
|
|
|
393,853
|
Confie Seguros(d)
|
B-
|
6.500%
|
11/09/2018
|
N/A
|
395,822
|
|
|
100,000
|
Cooper Gay Swett and Crawford(d)
|
CCC+
|
8.250%
|
10/16/2020
|
N/A
|
101,687
|
|
|
116,932
|
Cunningham(d)
|
B-
|
9.250%
|
06/10/2020
|
N/A
|
116,932
|
|
|
813,441
|
|||||||
|
Iron & Steel - 0.1%
|
|||||||
|
150,000
|
Oxbow Carbon(d)
|
BB
|
8.000%
|
01/19/2020
|
N/A
|
152,250
|
|
|
Lodging - 0.1%
|
|||||||
|
199,597
|
Caesars Entertainment Operating Co., Inc.(d)
|
B-
|
5.440%
|
01/28/2018
|
N/A
|
179,971
|
|
|
Media - 0.4%
|
|||||||
|
547,120
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)(d)
|
D
|
7.500%
|
07/03/2014
|
N/A
|
390,507
|
|
|
188,416
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)(d)
|
D
|
9.750%
|
07/31/2017
|
N/A
|
135,464
|
|
|
200,000
|
Hemisphere Media Group Inc.(d)
|
B
|
6.250%
|
07/30/2020
|
N/A
|
201,000
|
|
|
398,997
|
Mitel Networks Corp.(d)
|
B+
|
7.000%
|
02/27/2019
|
N/A
|
400,992
|
|
|
1,127,963
|
|||||||
|
Oil Field Services - 1.0%
|
|||||||
|
600,000
|
Ocean RIG ASA(d)
|
B+
|
5.500%
|
07/15/2016
|
N/A
|
606,000
|
|
|
175,000
|
P2 Energy(d)
|
B+
|
6.000%
|
11/20/2018
|
N/A
|
175,875
|
|
|
550,000
|
P2 Energy(d)
|
CCC+
|
10.000%
|
05/20/2019
|
N/A
|
552,750
|
|
|
174,563
|
Rice Energy(d)
|
CCC+
|
8.500%
|
10/25/2018
|
N/A
|
171,944
|
|
|
497,500
|
Shelf Drilling Holdings Ltd.(c) (d)
|
B+
|
6.250%
|
05/31/2018
|
N/A
|
499,988
|
|
|
900,000
|
State Class Tankers(d)
|
B2
|
6.750%
|
06/19/2020
|
N/A
|
909,000
|
|
|
2,915,557
|
|||||||
|
Other - 0.2%
|
|||||||
|
550,000
|
Reynolds & Reynolds(d)
|
CCC+
|
8.000%
|
02/05/2021
|
N/A
|
564,242
|
|
|
Other Financials - 2.6%
|
|||||||
|
500,000
|
American Stock Transfer(d)
|
B
|
5.750%
|
06/26/2020
|
N/A
|
502,500
|
|
|
3,500,000
|
AP Alternative Assets LP(c) (d)
|
BB
|
6.684%
|
12/21/2015
|
N/A
|
3,508,750
|
|
|
150,000
|
HDV Holdings(d)
|
B
|
5.750%
|
12/18/2018
|
N/A
|
149,250
|
|
|
450,000
|
Knight/Getco(d)
|
BB-
|
5.750%
|
11/30/2017
|
N/A
|
449,440
|
|
|
79,137
|
Oncure Holdings, Inc.(c) (d)
|
B-
|
8.000%
|
12/14/2013
|
N/A
|
77,554
|
|
|
1,296,750
|
STG-Fairway Acquisitions, Inc.(d)
|
B
|
6.250%
|
02/28/2019
|
N/A
|
1,298,377
|
|
|
450,000
|
STG-Fairway Acquisitions, Inc.(c) (d)
|
CCC+
|
10.500%
|
08/28/2019
|
N/A
|
445,500
|
|
|
995,000
|
Topaz Power Holdings, LLC(d)
|
BB-
|
5.250%
|
02/26/2020
|
N/A
|
1,001,527
|
|
|
7,432,898
|
|||||||
|
Other Industrials - 0.8%
|
|||||||
|
500,000
|
Emerald Expositions(d)
|
BB-
|
5.500%
|
06/12/2020
|
N/A
|
504,065
|
|
|
1,795,500
|
Sirva Worldwide, Inc.(d)
|
B
|
7.500%
|
03/27/2019
|
N/A
|
1,799,989
|
|
|
2,304,054
|
|||||||
|
Pharmaceuticals - 0.9%
|
|||||||
|
1,165,109
|
Generic Drug Holdings(d)
|
B+
|
5.000%
|
10/29/2019
|
N/A
|
1,170,940
|
|
|
408,366
|
PRA International(d)
|
B
|
6.500%
|
12/10/2017
|
N/A
|
411,940
|
|
|
899,648
|
PRA International(d)
|
B-
|
10.500%
|
06/10/2019
|
N/A
|
917,641
|
|
|
2,500,521
|
|||||||
|
Railroads - 0.1%
|
|||||||
|
197,475
|
Helm Financial Corp.(d)
|
B-
|
6.250%
|
06/01/2017
|
N/A
|
197,722
|
|
|
Retail - 1.4%
|
|||||||
|
78,000
|
Asurion Corp.(d)
|
B-
|
11.000%
|
09/02/2019
|
N/A
|
81,705
|
|
|
2,233,125
|
Blue Coat Systems(d)
|
BB-
|
4.500%
|
05/31/2019
|
N/A
|
2,240,103
|
|
|
572,214
|
Deb Store Holdings, LLC(c) (d) (k)
|
CCC+
|
12.500%
|
10/11/2016
|
N/A
|
429,161
|
|
|
249,421
|
Grocery Outlet, Inc.(d)
|
B
|
4.250%
|
12/17/2018
|
N/A
|
251,292
|
|
|
248,940
|
Guitar Center, Inc.(d)
|
CCC+
|
6.280%
|
04/09/2017
|
N/A
|
245,517
|
|
|
744,377
|
Ollies Holdings, Inc.(d)
|
B
|
5.250%
|
09/28/2019
|
N/A
|
747,168
|
|
|
100,000
|
Rite Aid Corp.(d)
|
B-
|
5.750%
|
08/21/2020
|
N/A
|
102,875
|
|
|
4,097,821
|
|||||||
|
Technology - 2.7%
|
|||||||
|
404,449
|
Aspect Software, Inc.(d)
|
B
|
7.000%
|
05/07/2016
|
N/A
|
406,973
|
|
|
129,715
|
Ceridian Corp.(d)
|
B-
|
5.942%
|
05/09/2017
|
N/A
|
129,891
|
|
|
850,000
|
Deltek Systems, Inc.(d)
|
CCC+
|
10.000%
|
10/10/2019
|
N/A
|
857,794
|
|
|
1,293,500
|
Deltek, Inc.(d)
|
B1
|
5.000%
|
10/10/2018
|
N/A
|
1,297,380
|
|
|
273,696
|
Entrust Ltd. (Canada)(c) (d)
|
B
|
6.250%
|
10/31/2018
|
N/A
|
272,328
|
|
|
603,804
|
Entrust, Inc.(c) (d)
|
B3
|
6.250%
|
10/31/2018
|
N/A
|
600,785
|
|
|
150,000
|
EZE Castle Software, Inc.(d)
|
CCC+
|
8.750%
|
03/14/2021
|
N/A
|
151,875
|
|
|
125,000
|
Ion Trading Technology(d)
|
CCC+
|
8.250%
|
05/21/2021
|
N/A
|
125,313
|
|
|
496,250
|
IPC Information Systems, Inc.(d)
|
B-
|
7.750%
|
07/31/2017
|
N/A
|
481,983
|
|
|
69,497
|
Mirion Technologies(d)
|
B
|
5.750%
|
03/30/2018
|
N/A
|
69,497
|
|
|
750,000
|
Misys PLC(d)
|
CCC+
|
12.000%
|
06/12/2019
|
N/A
|
861,874
|
|
|
883,050
|
Mmodal, Inc.(d)
|
B+
|
7.500%
|
08/16/2019
|
N/A
|
871,274
|
|
|
1,343,250
|
Wall Street Systems Delaware, Inc.(d)
|
B
|
5.750%
|
10/25/2019
|
N/A
|
1,351,229
|
|
|
450,000
|
Wall Street Systems Delaware, Inc.(d)
|
B-
|
9.250%
|
10/25/2020
|
N/A
|
454,354
|
|
|
7,932,550
|
|||||||
|
Transportation - 1.7%
|
|||||||
|
1,071,354
|
AABS, Series 2013-1A(d)
|
A+
|
4.875%
|
01/01/2020
|
N/A
|
1,087,424
|
|
|
38,488
|
Carey International, Inc.(c) (d) (k)
|
NR
|
9.000%
|
07/31/2015
|
N/A
|
15,395
|
|
|
585,000
|
Evergreen Tank Solutions, Inc.(d)
|
B-
|
9.500%
|
09/28/2018
|
N/A
|
583,538
|
|
|
100,000
|
Evergreen Tank Solutions, Inc.(d)
|
B-
|
9.500%
|
09/28/2018
|
N/A
|
99,750
|
|
|
618,730
|
Global Aviation Holdings, Inc.(c) (d)
|
NR
|
10.000%
|
07/13/2017
|
N/A
|
433,111
|
|
|
198,720
|
Global Aviation Holdings, Inc.(c) (d)
|
NR
|
3.000%
|
02/13/2018
|
N/A
|
19,872
|
|
|
1,249,847
|
Sabre, Inc.(d)
|
B
|
5.250%
|
02/19/2019
|
N/A
|
1,264,133
|
|
|
1,260,000
|
US Shipping Corp.(d)
|
B
|
9.000%
|
04/30/2018
|
N/A
|
1,288,350
|
|
|
4,791,573
|
|||||||
|
Wireless - 0.9%
|
|||||||
|
995,000
|
Alcatel Lucent(d)
|
B+
|
5.750%
|
01/30/2019
|
N/A
|
1,001,791
|
|
|
250,000
|
Expert Global Solutions(d)
|
B-
|
8.500%
|
04/03/2018
|
N/A
|
255,312
|
|
|
1,287,000
|
Zayo Group LLC(d)
|
B
|
4.500%
|
07/02/2019
|
N/A
|
1,293,435
|
|
|
2,550,538
|
|||||||
|
Wire Lines - 1.3%
|
|||||||
|
1,811,843
|
Avaya, Inc.(d)
|
B
|
4.762%
|
10/26/2017
|
N/A
|
1,618,719
|
|
|
2,336,444
|
Avaya, Inc.(d)
|
B
|
8.000%
|
03/31/2018
|
N/A
|
2,215,965
|
|
|
3,834,684
|
|||||||
|
Total Term Loans - 26.4%
|
|||||||
|
(Cost $75,201,471)
|
76,110,233
|
||||||
|
Number
|
|||||||
|
of Shares
|
Description
|
Value
|
|||||
|
Common Stocks - 0.0%***
|
|||||||
|
Airlines - 0.0%
|
|||||||
|
32,331
|
Global Aviation Holdings, Inc.(k) (o)
|
$ 3
|
|||||
|
Retail - 0.0%
|
|||||||
|
9,389
|
Deb Store Holdings, LLC(c) (k) (o)
|
1
|
|||||
|
Total Common Stocks - 0.0%***
|
|||||||
|
(Cost $125,069)
|
4
|
||||||
|
Preferred Stocks - 5.7%
|
|||||||
|
Banks - 2.6%
|
|||||||
|
3,450,000
|
Bank of America Corp., Series U, 5.200%(b) (d)
|
3,061,875
|
|||||
|
2,623,000
|
Fifth Third Bancorp, 5.100%(b) (d)
|
2,360,700
|
|||||
|
655,000
|
PNC Financial Services Group, Inc., Series R, 4.850%(b) (d)
|
576,400
|
|||||
|
60,000
|
Wells Fargo & Co., 5.850%(d)
|
1,449,600
|
|||||
|
7,448,575
|
|||||||
|
Diversified Financial Services - 1.3%
|
|||||||
|
500
|
Falcons Funding Trust I, 8.875%(a) (d)
|
515,812
|
|||||
|
5,200
|
GSC Partners CDO Fund Ltd. V / GSC Partners CDO Fund Corp. (Cayman Islands)(a) (d) (l)
|
|
2,182,181
|
||||
|
2,100,000
|
Whitehorse II Ltd., Series 2005-2A (Cayman Islands)(a) (d) (l)
|
|
1,134,000
|
||||
|
3,831,993
|
|||||||
|
Insurance - 1.0%
|
|||||||
|
20,000
|
Aegon NV, 6.375% (Netherlands)(b)
|
461,800
|
|||||
|
96,000
|
Aspen Insurance Holdings Ltd., 5.950% (Bermuda)(a) (d) (o)
|
2,311,680
|
|||||
|
3,800
|
ING Groep NV, 7.050% (Netherlands)(b)
|
93,100
|
|||||
|
2,866,580
|
|||||||
|
Telecommunications - 0.4%
|
|||||||
|
1,000
|
Centaur Funding Corp., 9.080% (Cayman Islands)(a)
|
1,206,563
|
|||||
|
Transportation - 0.4%
|
|||||||
|
40,000
|
Seaspan Corp., Series C, 9.500%(Marshall Islands)
|
|
1,060,000
|
||||
|
Total Preferred Stocks - 5.7%
|
|||||||
|
(Cost $16,522,339)
|
16,413,711
|
||||||
|
Exchange Traded Funds - 17.7%
|
|||||||
|
10,060
|
iShares MSCI Spain Capped Index Fund
|
306,629
|
|||||
|
26,600
|
iShares Russell 2000 Index Fund(b)(p)
|
2,670,108
|
|||||
|
33,000
|
ProShares Ultra S&P500(b) (p)
|
2,625,810
|
|||||
|
90,000
|
SPDR Dow Jones Industrial Average ETF Trust(b) (p)
|
13,311,900
|
|||||
|
196,200
|
SPDR S&P 500 ETF Trust(b) (p)
|
32,108,130
|
|||||
|
(Cost $50,804,759)
|
51,022,577
|
||||||
|
Warrants - 0.0%***
|
|||||||
|
Engineering & Construction - 0.0%
|
|||||||
|
1,050
|
Alion Science and Technology Corp., expiring 03/15/2017 (c) (k) (o)
|
–
|
|||||
|
(Cost $10)
|
|||||||
|
Total Long-Term Investments - 138.8%
|
|||||||
|
(Cost $396,462,884)
|
399,983,484
|
||||||
|
Contracts
|
Options Purchased
|
Expiration Date |
Exercise
Price
|
Value
|
|||
|
Call Options Purchased - 1.1%
|
|||||||
|
2,849
|
SPDR Gold Shares (o)
|
January 2015 |
$140.00
|
$ 3,183,758
|
|||
|
(Cost $4,165,345)
|
|||||||
|
Total Investments - 139.9%
|
|||||||
|
(Cost $400,628,229)
|
403,167,242
|
||||||
|
Other Assets in excess of Liabilities - 3.3%
|
9,663,577
|
||||||
|
Total Value of Options Written - (0.3%) (Premiums received - $1,389,339)
|
(958,171)
|
||||||
|
Borrowings - (22.4% of Net Assets or 16.0% of Total Investments)
|
(64,598,955)
|
||||||
|
Reverse Repurchase Agreements - (20.5%)
|
(59,021,884)
|
||||||
|
Net Assets - 100.0%
|
$ 288,251,809
|
||||||
|
AB - Stock Company
|
|
ASA - Stock Company
|
|
BV - Limited Liability Company
|
|
CBO - Collateralized Bond Obligation
|
|
CDO - Collateralized Debt Obligation
|
|
CLO - Collateralized Loan Obligation
|
|
LLC - Limited Liability Company
|
|
LP - Limited Partnership
|
|
N/A- Not Applicable
|
|
NV - Publicly Traded Company
|
|
PLC - Public Limited Company
|
|
Pty - Proprietary
|
|
SA - Corporation
|
|
S&P - Standard & Poor's
|
|
SAB de CV - Publicly Traded Company
|
|
*
|
Ratings shown are per Standard & Poor's Rating Group, Moody's Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor's Rating Group, the rating by Moody's Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor's Rating Group and Moody's Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates. All optional call provisions are unaudited.
|
|
***
|
Less than 0.1%
|
|
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At August 31, 2013 these securities amounted to $175,018,349, which represents 60.7% of net assets.
|
|
(b)
|
All or a portion of these securities have been physically segregated in connection with borrowings, unfunded commitments and reverse repurchase agreements. As of August 31, 2013, the total amount segregated was $207,484,387.
|
|
(c)
|
Illiquid security.
|
|
(d)
|
Floating or variable rate coupon. The rate shown is as of August 31, 2013.
|
|
(e)
|
Security is perpetual and, thus does not have a predetermined maturity date.
|
|
(f)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
|
(g)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% payment-in-kind shares of the secured note.
|
|
(h)
|
Non-income producing as security is in default.
|
|
(i)
|
The issuer of this security may elect to pay interest entirely in cash, entirely by issuing payment-in-kind shares by increasing the principal amount or issuing new notes equal to such payment-in-kind, or pay 50% of the interest in cash and 50% interest payment-in-kind shares.
|
|
(j)
|
Paid-in-kind toggle note. The issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
|
|
(k)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees and is based, in part on significant unobservable inputs. The total market value of such securities is $9,776,608 which represents 3.4% of net assets.
|
|
(l)
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
|
(m)
|
Security is a "Step-up" bond where the coupon increases or steps up at a predetermined date. The rate shown reflects the rate in effect as of August 31, 2013.
|
|
(n)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
|
(o)
|
Non-income producing security.
|
|
(p)
|
Security represents cover for outstanding written options.
|
|
See previously submitted notes to financial statements for the period ended May 31, 2013.
|
|
GOF Guggenheim Strategic Opportunities Fund
|
|||||
|
Portfolio of Investments
|
|||||
|
August 31, 2013
|
|||||
|
Contracts
|
|||||
|
(100 shares
|
Expiration
|
Exercise
|
|||
|
per contract)
|
Options Written - (0.3%) (a)
|
Month
|
Price
|
Value
|
|
|
Call Options Written - (0.3%)
|
|||||
|
266
|
iShares Russell 2000 Index Fund
|
September 2013
|
$103.00
|
$(23,275)
|
|
|
330
|
ProShares Ultra S&P 500
|
September 2013
|
83.00
|
(26,070)
|
|
|
900
|
SPDR Dow Jones Industrial Average ETF Trust
|
September 2013
|
151.00
|
(54,450)
|
|
|
1,068
|
SPDR Gold Shares
|
January 2015
|
155.00
|
(691,530)
|
|
|
1,962
|
SPDR S&P 500 ETF Trust
|
September 2013
|
167.00
|
(162,846)
|
|
|
Total Value of Call Options Written
|
$(958,171)
|
||||
|
Premiums received ($1,389,339)
|
|||||
|
(a) Non-income producing security.
|
|||||
|
Country Breakdown
|
% of Long-Term Investments
|
|
|
United States
|
72.0%
|
|
|
Cayman Islands
|
17.7%
|
|
|
Jersey
|
2.2%
|
|
|
Canada
|
1.7%
|
|
|
Bermuda
|
1.3%
|
|
|
United Kingdom
|
1.1%
|
|
|
Luxembourg
|
0.6%
|
|
|
Australia
|
0.6%
|
|
|
Netherlands
|
0.5%
|
|
|
Sweden
|
0.5%
|
|
|
Saint Maarten
|
0.5%
|
|
|
Mexico
|
0.3%
|
|
|
Marshall Islands
|
0.3%
|
|
|
France
|
0.2%
|
|
|
Belgium
|
0.2%
|
|
|
Brazil
|
0.2%
|
|
|
Ireland
|
0.1%
|
|
|
Subject to change daily.
|
||
|
GOF Guggenheim Strategic Opportunities Fund
|
||
|
Portfolio of Investments
|
||
|
August 31, 2013 (unaudited)
|
||
|
The Fund entered into credit default and index swap agreements during the period ended August 31, 2013 to potentially enhance return. Details of the swap agreements outstanding as of August 31, 2013 are as follows:
|
|
Credit Default Swap Agreements
|
|||||||||||||||||||||
|
Counterparty
|
Reference Entity
|
Buy/Sell Protection
|
Termination Date
|
Implied Credit
Spread at August 31, 2013 (2) |
Notional
Amount (000s)
|
Receiving
Fixed Rate
|
Upfront
Premium
Received (Paid)
|
Unrealized
(Depreciation) |
|||||||||||||
|
Goldman Sachs(1)
|
Basket of distinct corporate entities
|
Sell
|
09/20/14
|
1.52 | % | $ | 3,000 | 1.180 | % | $ | - | $ | (21,490 | ) | |||||||
|
Index Swap Agreements
|
|||||
|
Counterparty
|
Index
|
Number of
Contracts |
Termination
Date |
Notional
Amount (000s) |
Unrealized(Depreciation)
|
|
Bank of America
|
Japanese Government 10-Year Bond Future |
19
|
09/06/13
|
(27,706)
|
$(160,401)
|
|
Total Unrealized Depreciation for Swap Agreements
|
$(181,891)
|
||||
|
(1) The Fund receives a fixed rate based upon the notional amount of $3 million and if a defined credit event occurs, pays cumulative losses in excess of a stated percentage on an underlying basket of distinct corporate entities. The maximum loss exposure is $3 million.
|
|
(2) Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundless and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
|
At August 31, 2013, the Fund had the following unfunded loan commitments which could be extended at the option of the borrower:
|
|
Borrower
|
Principal Amount
|
Unrealized
(Depreciation)
|
|||||
|
Activision Blizzard
|
$ | 600,000 | $ | - | |||
|
Activision Blizzard
|
600,000 | - | |||||
|
Activision Blizzard
|
300,000 | ||||||
|
Bioscrip, Inc.
|
234,375 | - | |||||
|
Dole Food Co., Inc.
|
350,000 | - | |||||
|
Nielsen Bridge
|
4,000,000 | - | |||||
|
Oncure Holdings, Inc.
|
19,784 | - | |||||
|
ServiceMaster Revolver
|
800,000 | (53,516 | ) | ||||
| $ | (53,516 | ) | |||||
|
At August 31, 2013, the cost and related gross unrealized appreciation and depreciation on investments for tax purposes are as follows:
|
|||||
|
Cost of Investments for Tax Purposes
|
Gross Tax Unrealized Appreciation
|
Gross Tax Unrealized Depreciation
|
Net Tax Unrealized
Appreciation on Investments |
|
$401,154,153
|
$16,447,683
|
$(14,434,594)
|
$2,013,089
|
|
The Fund values equity securities at the last reported sale price on the principal exchange or in the principal over-the-counter (“OTC”) market in which such securities are traded, as of the close of regular trading on the New York Stock Exchange (“NYSE”) on the day the securities are being valued or, if there are no sales, at the mean between the last available bid and ask prices on that day. Securities traded on the NASDAQ are valued at the NASDAQ Official Closing Price. Preferred stocks are valued at their sale price as of the close of the exchange on which they are traded. Preferred stocks for which the last sale price is not available are valued at the last available bid price. Debt securities (including asset-backed securities, collateralized mortgage obligations and term loans) are valued at the last available bid price. If bids are not available, debt securities are estimated using valuation models that incorporate market data that may include assumptions relating to current yields, timing of cash flows, dealer quotes, prepayment risk, value of underlying collateral, general market conditions, liquidity and prices of other debt securities with comparable coupon rates, maturities/duration, and credit quality. Municipal bonds are valued at the last available bid price for such securities or, if such prices are not available, at prices for securities of comparable maturity, quality and type. Foreign securities are translated from the local currency into U.S. dollars using the current exchange rate. The Fund’s securities that are primarily traded in foreign markets may be traded in such markets on days that the NYSE is closed. As a result, the net asset value of the Fund may be significantly affected on days when holders of common shares have no ability to trade common shares on the NYSE. Exchange traded funds are valued at the last sale price or official closing price on the exchange where the security is principally traded. Investment companies are valued at the last available closing price. The Fund values exchange-traded options and other derivative contracts at the mean of the best bid and asked prices at the close on those exchanges on which they are traded. Swaps are valued daily by independent pricing services or dealers using the mid price. Short-term securities with remaining maturities of 60 days or less, at the time of purchase, are valued at amortized cost, which approximates market value. The Fund values money market funds at net asset value.
|
|
For those securities where quotations or prices are not available, the valuations are determined in accordance with procedures established in good faith by management and approved by the Board of Trustees (“Trustees”). A valuation committee consisting of representatives from investment management, fund administration, legal and compliance is responsible for the oversight of the valuation process of the Fund and convenes monthly, or more frequently as needed. The valuation committee reviews monthly Level 3 fair valued securities methodology, price overrides, broker quoted securities, price source changes, illiquid securities, unchanged valuations, halted securities, price challenges, fair valued securities sold and back testing trade prices in relation to prior day closing prices. On a quarterly basis, the valuations and methodologies of all Level 3 fair valued securities are presented to the Fund’s Trustees.
|
|
Valuations in accordance with these procedures are intended to reflect each security’s (or asset’s) “fair value.” Fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market, the most advantageous market for the investment or liability. Each such determination is based on a consideration of all relevant factors, which are likely to vary from one pricing context to another. Examples of such factors may include, but are not limited to: (i) the type of security, (ii) the initial cost of the security, (iii) the existence of any contractual restrictions on the security’s disposition, (iv) the price and extent of public trading in similar securities of the issuer or of comparable companies, (v) quotations or evaluated prices from broker-dealers and/or pricing services, (vi) information obtained from the issuer, analysts, and/or the appropriate stock exchange (for exchange traded securities), (vii) an analysis of the company’s financial statements, and (viii) an evaluation of the forces that influence the issuer and the market(s) in which the security is purchased and sold (e.g. the existence of pending merger activity, public offerings or tender offers that might affect the value of the security).
|
|
For fixed income securities, fair valuations may include input from Guggenheim Partners Investment Management, LLC (“GPIM”) utilizing a wide variety of market data including yields or prices of investments of comparable quality, type of issue, coupon, maturity, rating, indications of value from security dealers, evaluations of anticipated cash flows or collateral, spread over Treasuries, and other information and analysis. GPIM also uses third party service providers to model certain securities using cash flow models to represent a fair market value.
|
|
There are three different categories for valuation. Level 1 valuations are those based upon quoted prices in active markets. Level 2 valuations are those based upon quoted prices in inactive markets or based upon significant observable inputs (e.g. yield curves; benchmark interest rates; indices). Level 3 valuations are those based upon unobservable inputs (e.g. discounted cash flow analysis; non-market based methods used to determine fair valuations).
|
|
The Fund values Level 1 securities using readily available market quotations in active markets. The Fund values Level 2 fixed income securities using independent pricing providers who employ matrix pricing models utilizing market prices, broker quotes and prices of securities with comparable maturities and qualities. In addition, the Fund values certain Level 2 fixed income securities using broker quotes. The Fund values Level 2 equity securities using various observable market inputs as described above. The fair value estimates for the Level 3 securities in the Fund are determined in accordance with the Fund’s valuation procedures described above.
|
|
Transfers between valuation levels, if any, are in comparison to the valuation levels at the end of the previous fiscal year, and are effective using the fair value as of the end of the current fiscal period.
|
|
The following table represents the Fund's investments carried by caption and by level within the fair value hierarchy at August 31, 2013.
|
|
Description
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
|
(value in $000s)
|
||||||||||||||||
|
Assets:
|
||||||||||||||||
|
Corporate Bonds
|
$ | - | $ | 131,207 | $ | - | $ | 131,207 | ||||||||
|
Asset Backed Securities:
|
||||||||||||||||
|
Automobile
|
- | 26 | - | 26 | ||||||||||||
|
Collateralized Debt Obligations
|
- | 29,726 | 951 | 30,677 | ||||||||||||
|
Collateralized Loan Obligations
|
- | 44,127 | 3,053 | 47,180 | ||||||||||||
|
Commercial Receivables
|
- | 291 | - | 291 | ||||||||||||
|
Credit Cards
|
- | 2,358 | - | 2,358 | ||||||||||||
|
Financial
|
- | 22 | - | 22 | ||||||||||||
|
Insurance
|
- | 4,950 | - | 4,950 | ||||||||||||
|
Media
|
- | 1,756 | - | 1,756 | ||||||||||||
|
Other
|
- | 1,321 | - | 1,321 | ||||||||||||
|
Student Loans
|
- | 231 | - | 231 | ||||||||||||
|
Timeshare
|
- | 710 | - | 710 | ||||||||||||
|
Transportation
|
- | 15,039 | - | 15,039 | ||||||||||||
|
Trust Preferred Stocks
|
- | - | 5,328 | 5,328 | ||||||||||||
|
Collateralized Mortgage Obligations
|
- | 15,340 | - | 15,340 | ||||||||||||
|
Term Loans:
|
||||||||||||||||
|
Aerospace & Defense
|
- | 912 | - | 912 | ||||||||||||
|
Automotive
|
- | 928 | - | 928 | ||||||||||||
|
Banking
|
- | 206 | - | 206 | ||||||||||||
|
Chemicals
|
- | 403 | - | 403 | ||||||||||||
|
Consumer Products
|
- | 1,505 | - | 1,505 | ||||||||||||
|
Consumer Services
|
- | 10,745 | - | 10,745 | ||||||||||||
|
Diversified Manufacturing
|
- | 2,045 | - | 2,045 | ||||||||||||
|
Electric
|
- | 725 | - | 725 | ||||||||||||
|
Entertainment
|
- | 3,690 | - | 3,690 | ||||||||||||
|
Food & Beverage
|
- | 5,544 | - | 5,544 | ||||||||||||
|
Gaming
|
- | 1,730 | - | 1,730 | ||||||||||||
|
Gas Distributor
|
- | 1,652 | - | 1,652 | ||||||||||||
|
Health Care
|
- | 4,475 | - | 4,475 | ||||||||||||
|
Home Builders
|
- | 154 | - | 154 | ||||||||||||
|
Insurance
|
- | 813 | - | 813 | ||||||||||||
|
Iron & Steel
|
- | 152 | - | 152 | ||||||||||||
|
Lodging
|
- | 180 | - | 180 | ||||||||||||
|
Media
|
- | 1,128 | - | 1,128 | ||||||||||||
|
Oil Field Services
|
- | 2,915 | - | 2,915 | ||||||||||||
|
Other
|
- | 564 | - | 564 | ||||||||||||
|
Other Financials
|
- | 7,433 | - | 7,433 | ||||||||||||
|
Other Industrials
|
- | 2,304 | - | 2,304 | ||||||||||||
|
Pharmaceuticals
|
- | 2,501 | - | 2,501 | ||||||||||||
|
Railroad
|
- | 198 | - | 198 | ||||||||||||
|
Retail
|
- | 3,669 | 429 | 4,098 | ||||||||||||
|
Technology
|
- | 7,933 | - | 7,933 | ||||||||||||
|
Transportation
|
- | 4,776 | 15 | 4,791 | ||||||||||||
|
Wireless
|
- | 2,551 | - | 2,551 | ||||||||||||
|
Wire Lines
|
- | 3,835 | - | 3,835 | ||||||||||||
|
Common Stock
|
- | - | - | * | - | * | ||||||||||
|
Preferred Stock:
|
||||||||||||||||
|
Banks
|
1,450 | 5,999 | - | 7,449 | ||||||||||||
|
Diversified Financial Services
|
1,134 | 2,698 | 3,832 | |||||||||||||
|
Insurance
|
2,867 | - | - | 2,867 | ||||||||||||
|
Telecommunications
|
- | 1,207 | - | 1,207 | ||||||||||||
|
Transportation
|
1,060 | - | - | 1,060 | ||||||||||||
|
Exchange Traded Funds
|
51,022 | - | - | 51,022 | ||||||||||||
|
Warrants
|
- | - | - | * | - | * | ||||||||||
|
Options Purchased
|
3,184 | - | - | 3,184 | ||||||||||||
|
Total
|
$ | 60,717 | $ | 332,674 | $ | 9,776 | $ | 403,167 | ||||||||
|
Liabilities:
|
||||||||||||||||
|
Credit Default Swaps
|
$ | - | $ | 21 | $ | - | $ | 21 | ||||||||
|
Index Swaps
|
- | 160 | - | 160 | ||||||||||||
|
Options Written
|
958 | - | - | 958 | ||||||||||||
|
Unfunded Commitments
|
- | 54 | - | 54 | ||||||||||||
|
Total
|
$ | 958 | $ | 235 | $ | - | $ | 1,193 | ||||||||
|
* Market value is less than minimum amount disclosed.
|
||||||||||||||||
|
During the three months ended August 31, 2013, there were no transfers between Level 1 and Level 2.
|
|
There were two transfers from Level 3 to Level 2 for the asset backed securities and three transfers from Level 3 to Level 2 for the term loans during the three months ended August 31, 2013, due to the availability of market price information at the period end for each respective security. A transfer for asset backed securities in the amount of $1,249,360 for CHLPA Credit Card Pass-Through Trust and $214,033 for MRU Student Loan Trust. A transfer for the term loans in the amount of $1,094,586 for AABS, $3,508,750 for AP Alternative Assets LP and $445,500 for STG-Fairway Acquisitions, Inc.
|
|
There was one transfer from Level 2 to Level 3 for the asset backed securities during the three months ended August 31, 2013, due to the lack of available market price information at the period end. A transfer in the amount of $5,327,700 for Attentus CDO Ltd.
|
|
With regards to the Level 3 securities:
|
|
The following table presents the activity for the Fund's investments measured at fair value using significant unobservable inputs (Level 3 valuations) for the three months ended August 31, 2013.
|
|
Beginning Balance at 5/31/13
|
|||
|
Asset Backed Securities
|
$ | 4,645 | |
|
Term Loans
|
6,705 | ||
|
Common Stock
|
- | * | |
|
Warrant
|
- | * | |
|
Paydowns Received
|
|||
|
Asset Backed Securities
|
(296 | ) | |
|
Term Loans
|
(3,000 | ) | |
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Payment-in-kind Distributions Received
|
|||
|
Asset Backed Securities
|
- | ||
|
Term Loans
|
9 | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Total Realized Gain/Loss
|
|||
|
Asset Backed Securities
|
56 | ||
|
Term Loans
|
28 | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Change in Unrealized Gain/Loss
|
|||
|
Asset Backed Securities
|
92 | ||
|
Term Loans
|
1 | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Net Purchases:
|
|||
|
Asset Backed Securities
|
971 | ||
|
Term Loans
|
1,750 | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Sales
|
|||
|
Asset Backed Securities
|
- | ||
|
Term Loans
|
- | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Transfer In:
|
|||
|
Asset Backed Securities
|
5,328 | ||
|
Term Loans
|
- | ||
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Transfer Out
|
|||
|
Asset Backed Securities
|
(1,464 | ) | |
|
Term Loans
|
(5,049 | ) | |
|
Common Stock
|
- | ||
|
Warrant
|
- | ||
|
Ending Balance at 8/31/13
|
|||
|
Asset Backed Securities
|
9,332 | ||
|
Term Loans
|
444 | ||
|
Common Stock
|
- | * | |
|
Warrant
|
- | * | |
|
Total Level 3 holdings
|
$ | 9,776 | |
|
* Market value is less than the minimum amount disclosed.
|
|
The following table summarizes valuation techniques and inputs used in determining the fair value of holdings categorized as Level 3 at August 31, 2013:
|
|
Investments, at Value
|
Value as of August 31,2013
|
Valuation Technique
|
Unobservable Inputs
|
|
|
Asset Backed Securities:
|
||||
|
Collateralized Debt Obligations
|
$950,812
|
Third-Party Pricing Vendor
|
$76.0650 Single Broker Quote
|
|
|
Collateralized Loan Obligations
|
3,053,536
|
Third-Party Pricing Vendor
|
$82.0000 Single Broker Quote
|
|
|
Trust Preferred Stocks
|
5,327,700
|
Third-Party Pricing Vendor
|
$88.7950 Single Broker Quote
|
|
|
Term Loans:
|
||||
|
Retail
|
429,161
|
Model Price
|
$75.0000 Single Broker Quote
|
|
|
Transportation
|
15,395
|
Model Price
|
$40.0000 Single Broker Quote
|
|
|
Common Stocks:
|
||||
|
Airlines
|
3
|
Model Price
|
$0.0001 Unlisted Security
|
|
|
Retail
|
1
|
Model Price
|
$0.0001 Single Broker Quote
|
|
|
Warrants:
|
||||
|
Engineering & Construction
|
0
|
Model Price
|
$0.0000 Unlisted Security
|
|
A significant change in unobservable inputs would have the following impact to Level 3 valuations:
|
|
Unobservable Input
|
Impact to Value if Input Increases
|
Impact to Value if Input Decreases
|
|
Unlisted Security
|
Increases
|
Decreases
|
|
Single Broker Quote
|
Increases
|
Decreases
|
|
|
(a)
|
The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended) as of a date within 90 days of the filing date of this report and have concluded, based on such evaluation, that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.
|
|
|
(b)
|
There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940, as amended) that occurred during the registrant’s last fiscal quarter that has materially affected or is reasonably likely to materially affect the registrant’s internal control over financial reporting.
|