|
DoubleLine Income Solutions Fund
|
||||||||||||
|
Schedule of Investments
|
||||||||||||
|
June 30, 2013 (Unaudited)
|
||||||||||||
|
Principal Amount/Shares
|
Security Description
|
Rate
|
Maturity
|
Value $
|
||||||||
|
Collateralized Loan Obligations - 3.9%
|
||||||||||||
| 5,000,000 |
Anchorage Capital Ltd., Series 2013-1A-A1
|
1.47 | % |
# ^
|
07/13/2025
|
4,971,000 | ||||||
| 1,351,071 |
ARES Ltd., Series 2007-12A-E
|
6.02 | % |
# ^
|
11/25/2020
|
1,323,812 | ||||||
| 2,989,751 |
Babson Ltd., Series 2005-2A-D1
|
4.78 | % |
# ^
|
07/20/2019
|
2,910,687 | ||||||
| 7,000,000 |
BlueMountain Ltd., Series 2012-2A-E
|
5.37 | % |
# ^
|
11/20/2024
|
6,590,903 | ||||||
| 6,000,000 |
Canyon Capital Ltd, Series 2012-1A-C
|
3.08 | % |
# ^
|
01/15/2024
|
5,933,773 | ||||||
| 5,000,000 |
Canyon Capital Ltd., Series 2012-1A-D
|
4.58 | % |
# ^
|
01/15/2024
|
4,974,388 | ||||||
| 3,000,000 |
Carlyle Global Market Strategies Ltd., Series 2012-1A-D
|
4.43 | % |
# ^
|
04/20/2022
|
2,961,232 | ||||||
| 4,750,000 |
Cent LP, Series 2013-18A-D
|
3.83 | % |
# ^
|
07/23/2025
|
4,483,753 | ||||||
| 8,500,000 |
Cent LP, Series 2013-18A-E
|
4.88 | % |
# ^
|
07/23/2025
|
7,572,958 | ||||||
| 7,500,000 |
Dryden Senior Loan Fund, Series 2013-28A-A3L
|
2.98 | % |
# ^
|
08/15/2025
|
7,500,000 | ||||||
| 2,000,000 |
Flatiron Ltd., Series 2012-1X-D
|
5.78 | % | # |
10/25/2024
|
1,897,050 | ||||||
| 2,500,000 |
Four Corners Ltd., Series 2006-3A-D
|
1.78 | % |
# ^
|
07/22/2020
|
2,380,588 | ||||||
| 1,000,000 |
Galaxy Ltd., Series 2012-14A-D
|
4.68 | % |
# ^
|
11/15/2024
|
989,303 | ||||||
| 2,750,000 |
Galaxy Ltd., Series 2012-14X-E
|
5.68 | % | # |
11/15/2024
|
2,628,044 | ||||||
| 6,050,000 |
ING Ltd., Series 2012-2A-D
|
4.83 | % |
# ^
|
10/15/2022
|
6,097,845 | ||||||
| 4,500,000 |
Magnetite Ltd., Series 2012-7A-D
|
5.53 | % |
# ^
|
01/15/2025
|
4,256,977 | ||||||
| 2,000,000 |
Octagon Investment Partners Ltd., Series 2013-1A-D
|
3.62 | % |
# ^
|
07/17/2025
|
1,857,200 | ||||||
| 9,500,000 |
Octagon Investment Partners Ltd., Series 2013-1A-E
|
4.77 | % |
# ^
|
07/17/2025
|
8,170,001 | ||||||
| 1,000,000 |
Venture Ltd., Series 2012-10A-D
|
4.48 | % |
# ^
|
07/20/2022
|
978,679 | ||||||
| 3,000,000 |
Venture Ltd., Series 2012-12A-E
|
5.57 | % |
# ^
|
02/28/2024
|
2,821,996 | ||||||
| 4,000,000 |
WhiteHorse Ltd., Series 2012-1A-B1L
|
4.52 | % |
# ^
|
02/03/2025
|
3,908,323 | ||||||
| 3,000,000 |
Wind River Ltd., Series 2005-2A-C
|
2.03 | % |
# ^
|
10/19/2017
|
3,029,991 | ||||||
|
Total Collateralized Loan Obligations (Cost $90,525,791)
|
88,238,503 | |||||||||||
|
Foreign Corporate Bonds - 60.1%
|
||||||||||||
| 22,000,000 |
Aeropuertos Dominicanos
|
9.25 | % | † |
11/13/2019
|
22,165,000 | ||||||
| 14,595,000 |
AES Andres Dominicana Ltd.
|
9.50 | % | † |
11/12/2020
|
15,470,700 | ||||||
| 8,000,000 |
AES El Salvador Trust
|
6.75 | % |
^ †
|
03/28/2023
|
7,850,000 | ||||||
| 8,000,000 |
AES El Salvador Trust
|
6.75 | % | † |
03/28/2023
|
7,850,000 | ||||||
| 3,069,000 |
Agrokor D.D.
|
8.88 | % |
02/01/2020
|
3,250,071 | |||||||
| 1,430,000 |
Ajecorp B.V.
|
6.50 | % |
05/14/2022
|
1,462,890 | |||||||
| 16,000,000 |
Alfa Bond Issuance
|
7.50 | % | † |
09/26/2019
|
16,400,000 | ||||||
| 1,712,000 |
Alpek S.A. de C.V.
|
4.50 | % |
11/20/2022
|
1,652,080 | |||||||
| 8,000,000 |
ALROSA Finance S.A.
|
7.75 | % | † |
11/03/2020
|
8,600,000 | ||||||
| 18,732,000 |
Automotores Gildemeister S.A.
|
8.25 | % | † |
05/24/2021
|
17,420,760 | ||||||
| 11,500,000 |
Automotores Gildemeister S.A.
|
6.75 | % | † |
01/15/2023
|
9,832,500 | ||||||
| 24,000,000 |
Avianca Holdings S.A.
|
8.38 | % |
^ †
|
05/10/2020
|
25,020,000 | ||||||
| 6,735,000 |
Banco ABC Brasil S.A.
|
7.88 | % | † |
04/08/2020
|
7,105,425 | ||||||
| 10,000,000 |
Banco Bradesco S.A.
|
5.90 | % |
01/16/2021
|
10,225,000 | |||||||
| 19,050,000 |
Banco Davivienda S.A.
|
5.88 | % | † |
07/09/2022
|
18,907,125 | ||||||
| 12,702,000 |
Banco de Bogota S.A.
|
5.38 | % | † |
02/19/2023
|
12,447,960 | ||||||
| 3,000,000 |
Banco de Credito del Peru
|
4.25 | % |
04/01/2023
|
2,782,500 | |||||||
| 10,000,000 |
Banco de Credito del Peru
|
6.88 | % | # |
09/16/2026
|
10,775,000 | ||||||
| 18,999,000 |
Banco de Credito del Peru
|
6.13 | % | #† |
04/24/2027
|
19,331,483 | ||||||
| 12,265,000 |
Banco de Reservas de la Republica Dominicana
|
7.00 | % |
^ †
|
02/01/2023
|
12,326,325 | ||||||
| 15,700,000 |
Banco de Reservas de la Republica Dominicana
|
7.00 | % | † |
02/01/2023
|
15,778,500 | ||||||
| 40,000,000 |
Banco do Brasil S.A.
|
9.25 | % | #† |
04/15/2050
|
43,699,999 | ||||||
| 6,522,000 |
Banco do Estado do Rio Grande do Sul S.A.
|
7.38 | % | † |
02/02/2022
|
6,750,270 | ||||||
| 1,500,000 |
Banco GNB Sudameris S.A.
|
7.50 | % |
07/30/2022
|
1,567,500 | |||||||
| 6,000,000 |
Bancolombia S.A.
|
5.13 | % |
09/11/2022
|
5,685,000 | |||||||
| 19,746,000 |
Bancolombia S.A.
|
5.13 | % | † |
09/11/2022
|
18,906,795 | ||||||
| 6,000,000 |
BBVA Banco Continental S.A.
|
5.00 | % |
08/26/2022
|
5,865,000 | |||||||
| 3,500,000 |
BBVA Bancomer S.A.
|
7.25 | % |
04/22/2020
|
3,832,500 | |||||||
| 10,000,000 |
BBVA Bancomer S.A.
|
6.50 | % |
03/10/2021
|
10,550,000 | |||||||
| 4,756,000 |
BBVA Bancomer S.A.
|
6.01 | % | # |
05/17/2022
|
4,744,110 | ||||||
| 1,000,000 |
Bertin Finance Ltd.
|
10.25 | % |
10/05/2016
|
1,077,500 | |||||||
| 2,000,000 |
Bio Pappel SAV de CV
|
7.00 | % | # |
08/27/2016
|
1,975,000 | ||||||
| 18,318,000 |
BR Malls International Finance Ltd.
|
8.50 | % | † |
04/21/2049
|
18,386,693 | ||||||
| 3,750,000 |
BW Group Ltd.
|
6.63 | % |
06/28/2017
|
3,768,750 | |||||||
| 19,000,000 |
Cemex Espana
|
9.25 | % | † |
05/12/2020
|
20,140,000 | ||||||
| 22,000,000 |
Cemex Finance LLC
|
9.38 | % | † |
10/12/2022
|
24,090,000 | ||||||
| 8,000,000 |
Central American Bottling Corporation
|
6.75 | % |
^ †
|
02/09/2022
|
8,440,000 | ||||||
| 9,700,000 |
Cia Minera Milpo S.A.A.
|
4.63 | % |
03/28/2023
|
8,875,500 | |||||||
| 5,000,000 |
Colombia Telecomunicaciones S.A.
|
5.38 | % |
^ †
|
09/27/2022
|
4,737,500 | ||||||
| 11,000,000 |
Colombia Telecomunicaciones S.A.
|
5.38 | % | † |
09/27/2022
|
10,422,500 | ||||||
| 250,000 |
Continental Banco Trust
|
7.38 | % | # |
10/07/2040
|
256,875 | ||||||
| 26,858,000 |
CorpGroup Banking S.A.
|
6.75 | % | † |
03/15/2023
|
27,180,913 | ||||||
| 2,180,000 |
Corporacion Azucarera del Peru S.A.
|
6.38 | % |
08/02/2022
|
2,180,436 | |||||||
| 20,495,000 |
Corporacion Pesquera Inca S.A.C.
|
9.00 | % | † |
02/10/2017
|
21,724,700 | ||||||
| 11,340,000 |
Cosan Overseas Ltd.
|
8.25 | % | † |
11/05/2010
|
11,765,250 | ||||||
| 32,000,000 |
Digicel Group Ltd.
|
8.25 | % | † |
09/30/2020
|
33,280,000 | ||||||
| 5,000,000 |
Digicel Group Ltd.
|
6.00 | % | † |
04/15/2021
|
4,737,500 | ||||||
| 4,354,000 |
Digicel Group Ltd.
|
7.00 | % |
02/15/2020
|
4,419,310 | |||||||
| 5,000,000 |
EGE Haina Finance Company
|
9.50 | % |
04/26/2017
|
5,162,500 | |||||||
| 450,000 |
Empresa de Energia de Bogota S.A.
|
6.13 | % |
11/10/2021
|
468,000 | |||||||
| 1,500,000 |
ESAL GmbH
|
6.25 | % |
02/05/2023
|
1,377,000 | |||||||
| 3,900,000 |
ESAL GmbH
|
6.25 | % |
^
|
02/05/2023
|
3,580,200 | ||||||
| 14,000,000 |
Eurasia Capital S.A.
|
9.38 | % | #† |
04/24/2020
|
14,245,000 | ||||||
| 24,298,000 |
Evraz Group S.A.
|
9.50 | % | † |
04/24/2018
|
25,877,370 | ||||||
| 6,000,000 |
Evraz Group S.A.
|
6.50 | % | † |
04/22/2020
|
5,415,000 | ||||||
| 15,782,000 |
Far East Capital Ltd. S.A.
|
8.75 | % |
^ †
|
05/02/2020
|
14,519,440 | ||||||
| 5,000,000 |
Far East Capital Ltd. S.A.
|
8.75 | % | † |
05/02/2020
|
4,600,000 | ||||||
| 1,300,000 |
Ferrycorp S.A.A.
|
4.88 | % |
04/26/2020
|
1,231,750 | |||||||
| 1,000,000 |
Gazprombank OJSC
|
7.25 | % |
05/03/2019
|
1,047,910 | |||||||
| 32,498,000 |
Gazprombank OJSC
|
7.88 | % | #† |
04/25/2049
|
32,660,490 | ||||||
| 18,000,000 |
Gaz Capital S.A.
|
4.95 | % | † |
02/06/2028
|
15,570,000 | ||||||
| 11,228,000 |
Geopark Latin America Ltd.
|
7.50 | % | † |
02/11/2020
|
11,592,910 | ||||||
| 12,000,000 |
Grupo Aval Ltd.
|
4.75 | % |
09/26/2022
|
11,310,000 | |||||||
| 22,215,000 |
Grupo Elektra SAB de CV
|
7.25 | % | † |
08/06/2018
|
22,770,375 | ||||||
| 10,000,000 |
Grupo Famsa SAB de CV
|
7.25 | % |
^ †
|
06/01/2020
|
9,750,000 | ||||||
| 6,092,000 |
Grupo KUO S.A.B. de C.V.
|
6.25 | % |
12/04/2022
|
6,251,915 | |||||||
| 21,707,000 |
Grupo Papelero Scribe, S.A.
|
8.88 | % | † |
04/07/2020
|
20,947,255 | ||||||
| 21,000,000 |
Grupo Posadas S.A.B de C.V
|
7.88 | % | † |
11/30/2017
|
21,315,000 | ||||||
| 12,549,000 |
Hutchison Whampoa International Ltd.
|
6.00 | % | #† |
11/07/2050
|
13,050,960 | ||||||
| 10,061,000 |
Industrial Senior Trust
|
5.50 | % | † |
11/01/2022
|
9,507,645 | ||||||
| 3,090,000 |
Inkia Energy Ltd.
|
8.38 | % |
04/04/2021
|
3,306,300 | |||||||
| 3,050,000 |
Instituto Costarricense de Electricidad
|
6.95 | % |
11/10/2021
|
3,225,375 | |||||||
| 15,000,000 |
Instituto Costarricense de Electricidad
|
6.38 | % |
^ †
|
05/15/2043
|
13,631,250 | ||||||
| 8,000,000 |
Intelsat Ltd.
|
7.75 | % |
^ †
|
06/01/2021
|
8,110,000 | ||||||
| 6,500,000 |
Itau Unibanco Holding S.A.
|
6.20 | % | † |
12/21/2021
|
6,613,750 | ||||||
| 17,300,000 |
JBS Finance Ltd.
|
8.25 | % | † |
01/29/2018
|
17,732,500 | ||||||
| 3,650,000 |
JBS LLC
|
7.25 | % |
06/01/2021
|
3,668,250 | |||||||
| 3,000,000 |
Lukoil International Finance B.V.
|
4.56 | % |
04/24/2023
|
2,797,500 | |||||||
| 2,945,000 |
Maestro Peru S.A.
|
6.75 | % |
09/26/2019
|
2,959,725 | |||||||
| 2,300,000 |
Magnesita Finance Ltd.
|
8.63 | % |
04/05/2049
|
2,305,750 | |||||||
| 4,020,000 |
Metalsa S.A. de C.V.
|
4.90 | % |
04/24/2023
|
3,819,000 | |||||||
| 3,300,000 |
Mexichem S.A.B. de C.V.
|
4.88 | % |
09/19/2022
|
3,324,750 | |||||||
| 7,500,000 |
Millicom International Cellular S.A.
|
4.75 | % |
^ †
|
05/22/2020
|
7,145,700 | ||||||
| 990,000 |
Minerva Luxembourg S.A.
|
12.25 | % |
02/10/2022
|
1,188,000 | |||||||
| 33,679,000 |
Minerva Luxembourg S.A.
|
7.75 | % | † |
01/31/2023
|
33,594,803 | ||||||
| 15,000,000 |
Nitrogenmuvek Zrt
|
7.88 | % |
^ †
|
05/21/2020
|
14,137,500 | ||||||
| 4,500,000 |
Noble Group Ltd.
|
6.63 | % |
08/05/2020
|
4,511,250 | |||||||
| 36,000,000 |
Noble Group Ltd.
|
8.50 | % | † |
05/01/2050
|
34,895,952 | ||||||
| 25,000,000 |
Nomos Bank
|
10.00 | % | † |
04/26/2019
|
26,062,500 | ||||||
| 29,000,000 |
OAS Financial Ltd.
|
8.88 | % |
# ^ †
|
04/25/2018
|
27,767,500 | ||||||
| 25,993,000 |
Odebrecht Finance Ltd.
|
7.13 | % | † |
06/26/2042
|
25,343,175 | ||||||
| 32,205,000 |
Pacific Rubiales Energy Corporation
|
7.25 | % | † |
12/12/2021
|
34,217,812 | ||||||
| 13,250,000 |
Pesquera Exalmar S.A.A.
|
7.38 | % | † |
01/31/2020
|
12,388,750 | ||||||
| 2,000,000 |
Polyus Gold International Ltd.
|
5.63 | % |
^
|
04/29/2020
|
1,945,000 | ||||||
| 3,000,000 |
Sberbank of Russia
|
5.72 | % |
06/16/2021
|
3,065,625 | |||||||
| 830,000 |
Scotiabank Peru S.A.
|
4.50 | % | # |
12/13/2027
|
749,075 | ||||||
| 9,000,000 |
Sistema International Funding S.A.
|
6.95 | % | † |
05/17/2019
|
9,360,000 | ||||||
| 23,022,000 |
SMU S.A.
|
7.75 | % | † |
02/08/2020
|
20,950,020 | ||||||
| 23,000,000 |
Southern Copper Corporation
|
6.75 | % | † |
04/16/2040
|
22,843,784 | ||||||
| 2,000,000 |
Southern Copper Corporation
|
5.25 | % |
11/08/2042
|
1,651,158 | |||||||
| 15,350,000 |
Steel Capital S.A.
|
5.90 | % | † |
10/17/2022
|
14,083,625 | ||||||
| 9,000,000 |
Steel Funding Ltd.
|
4.95 | % |
09/26/2019
|
8,392,500 | |||||||
| 4,500,000 |
TAM Capital, Inc.
|
9.50 | % |
01/29/2020
|
4,680,000 | |||||||
| 3,000,000 |
Telefonica Celular del Paraguay S.A.
|
6.75 | % |
^
|
12/13/2022
|
3,120,000 | ||||||
| 9,000,000 |
Telefonica Celular del Paraguay S.A.
|
6.75 | % | † |
12/13/2022
|
9,360,000 | ||||||
| 1,000,000 |
Telemovil Finance Company Ltd.
|
8.00 | % |
10/01/2017
|
1,062,500 | |||||||
| 20,000,000 |
Tenedora Nemak S.A. de C.V.
|
5.50 | % |
02/28/2023
|
19,000,000 | |||||||
| 9,125,000 |
Transportadora de Gas Internacional S.A.
|
5.70 | % |
03/20/2022
|
9,467,188 | |||||||
| 6,075,000 |
TV Azteca S.A.B. de C.V.
|
7.50 | % | † |
05/25/2018
|
6,409,125 | ||||||
| 26,000,000 |
Vedanta Resources PLC
|
8.25 | % | † |
06/07/2021
|
26,308,750 | ||||||
| 16,600,000 |
Vedanta Resources PLC
|
7.13 | % |
^ †
|
05/31/2023
|
15,728,500 | ||||||
| 12,000,000 |
VimpelCom Holdings B.V.
|
7.50 | % | † |
03/01/2022
|
12,450,000 | ||||||
| 20,000,000 |
VimpelCom Holdings B.V.
|
5.95 | % | † |
02/13/2023
|
18,800,000 | ||||||
| 3,000,000 |
Vnesheconombank
|
6.80 | % |
11/22/2025
|
3,210,000 | |||||||
| 9,345,000 |
Volcan Compania Minera S.A.
|
5.38 | % |
02/02/2022
|
9,228,188 | |||||||
| 5,800,000 |
VTB Capital S.A.
|
6.95 | % |
10/17/2022
|
5,916,000 | |||||||
| 40,700,000 |
VTB Capital S.A.
|
9.50 | % | #† |
06/06/2023
|
43,040,250 | ||||||
|
Total Foreign Corporate Bonds (Cost $1,439,844,813)
|
1,371,532,020 | |||||||||||
|
Non-Agency Commercial Mortgage Backed Obligations - 5.5%
|
||||||||||||
| 16,221,760 |
Banc of America Commercial Mortgage, Inc., Series 2006-5-AJ
|
5.48 | % |
09/10/2047
|
13,513,594 | |||||||
| 17,090,000 |
Credit Suisse Mortgage Capital Certificates, Series 2006-C3-AJ
|
5.99 | % | # |
06/15/2038
|
16,687,488 | ||||||
| 23,000,000 |
Extended Stay American Trust, Series 2013-ESHM-M
|
7.63 | % |
^
|
12/05/2019
|
23,336,985 | ||||||
| 5,938,200 |
JP Morgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ-M
|
6.19 | % |
# ^
|
04/15/2018
|
6,047,463 | ||||||
| 23,490,000 |
LB-UBS Commercial Mortgage Trust, Series 2007-C1-AJ
|
5.48 | % |
02/15/2040
|
22,494,928 | |||||||
| 19,068,000 |
Merrill Lynch/Countrywide Commercial Mortage Trust, Series 2006-1-B
|
5.77 | % | # |
02/12/2039
|
15,626,226 | ||||||
| 10,000,000 |
Morgan Stanley Capital Trust, Series 2007-IQ13-AJ
|
5.44 | % |
03/15/2044
|
8,723,570 | |||||||
| 20,000,000 |
Wachovia Bank Commercial Mortgage Trust, Series 2007-C33-AJ
|
6.12 | % | # |
02/15/2051
|
18,986,480 | ||||||
|
Total Non-Agency Commercial Mortgage Backed Obligations (Cost $134,264,901)
|
125,416,734 | |||||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations - 10.4%
|
||||||||||||
| 11,405,033 |
Banc of America Mortgage Securities, Inc., Series 2007-1-1A26
|
6.00 | % |
03/25/2037
|
10,453,061 | |||||||
| 37,466,003 |
BCAP LLC Trust, Series 2007-AA2-2A2
|
6.00 | % | # |
04/25/2037
|
33,117,810 | ||||||
| 7,835,668 |
BCAP LLC Trust, Series 2012-RR11-4A3
|
13.64 | % |
#^
|
03/26/2037
|
5,989,681 | ||||||
| 10,896,010 |
BCAP LLC Trust, Series 2012-RR11-9A3
|
21.13 | % |
#^
|
07/26/2037
|
10,158,333 | ||||||
| 23,984,345 |
CitiMortgage Alternative Loan Trust, Series 2006-A3-1A9
|
6.00 | % |
07/25/2036
|
20,070,831 | |||||||
| 11,069,085 |
Countrywide Alternative Loan Trust, Series 2005-J14-A8
|
5.50 | % |
12/25/2035
|
9,554,680 | |||||||
| 7,162,332 |
Countrywide Alternative Loan Trust, Series 2006-J4-2A2
|
6.00 | % |
07/25/2036
|
6,085,515 | |||||||
| 7,237,411 |
Countrywide Home Loans, Series 2006-17-A2
|
6.00 | % |
12/25/2036
|
6,499,807 | |||||||
| 11,168,006 |
Countrywide Home Loans, Series 2007-14-A1
|
5.00 | % |
09/25/2037
|
9,873,684 | |||||||
| 10,580,110 |
CSMC Mortgage-Backed Trust, Series 2006-7-7A7
|
6.00 | % |
08/25/2036
|
9,260,119 | |||||||
| 9,345,511 |
First Horizon Alternative Mortgage Securities, Series 2006-FA6-2A5
|
6.25 | % |
11/25/2036
|
7,924,008 | |||||||
| 14,171,850 |
JP Morgan Resecuritization Trust, Series 2009-4-2A2
|
6.00 | % |
^
|
07/26/2037
|
12,700,047 | ||||||
| 15,009,789 |
Nomura Home Equity Loan, Inc., Series 2007-1-1A3
|
5.99 | % | # |
02/25/2037
|
9,404,458 | ||||||
| 9,906,345 |
Residential Accredit Loans, Inc., Series 2006-QA8-A1
|
0.38 | % | # |
09/25/2036
|
7,021,637 | ||||||
| 20,712,934 |
Securitized Asset Backed Receivables LLC Trust, Series 2006-NC1-A3
|
0.46 | % | # |
03/25/2036
|
14,540,376 | ||||||
| 20,252,844 |
Structured Asset Securities Corporation, Series 2005-15-3A1
|
5.16 | % | # |
08/25/2035
|
19,927,249 | ||||||
| 8,289,300 |
TBW Mortgage-Backed Pass-Through Certificates, Series 2006-1-1A1
|
5.50 | % |
04/25/2036
|
7,372,764 | |||||||
| 7,794,291 |
Wachovia Mortgage Loan Trust, Series 2007-A-4A1
|
6.12 | % | # |
03/20/2037
|
7,172,478 | ||||||
| 4,141,999 |
Wells Fargo Alternative Loan Trust, Series 2007-PA2-1A1
|
6.00 | % |
06/25/2037
|
3,819,062 | |||||||
| 28,611,164 |
Wells Fargo Mortgage Backed Securities Trust, Series 2007-8-1A22
|
6.00 | % |
07/25/2037
|
27,271,017 | |||||||
|
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $247,473,691)
|
238,216,617 | |||||||||||
|
US Corporate Bonds - 19.4%
|
||||||||||||
| 15,000,000 |
Affinia Group, Inc.
|
7.75 | % |
^ †
|
05/01/2021
|
15,187,500 | ||||||
| 15,000,000 |
Alere, Inc.
|
6.50 | % |
^ †
|
06/15/2020
|
14,606,250 | ||||||
| 6,000,000 |
American Axle & Manufacturing, Inc.
|
6.63 | % |
10/15/2022
|
6,120,000 | |||||||
| 14,770,000 |
Ardagh Packaging Finance
|
7.00 | % |
^ †
|
11/15/2020
|
14,271,513 | ||||||
| 5,000,000 |
Athlon Holidngs LP
|
7.38 | % |
^ †
|
04/15/2021
|
4,950,000 | ||||||
| 350,000 |
Atlas Pipeline Partners LP
|
4.75 | % |
^
|
11/15/2021
|
315,438 | ||||||
| 11,000,000 |
Audatex North America, Inc.
|
6.00 | % |
^
|
06/15/2021
|
11,027,500 | ||||||
| 3,000,000 |
Berry Plastics Corporation
|
9.75 | % |
01/15/2021
|
3,405,000 | |||||||
| 15,000,000 |
Chiquita Brands International, Inc.
|
7.88 | % |
^ †
|
02/01/2021
|
15,750,000 | ||||||
| 15,000,000 |
Claires Stores, Inc.
|
7.75 | % |
^ †
|
06/01/2020
|
14,587,500 | ||||||
| 10,164,000 |
CrownRock LP
|
7.13 | % |
^ †
|
04/15/2021
|
10,011,540 | ||||||
| 15,000,000 |
Expo Event Transco, Inc.
|
9.00 | % |
^ †
|
06/15/2021
|
14,887,500 | ||||||
| 15,000,000 |
Forest Oil Corporation
|
7.25 | % | † |
06/15/2019
|
14,175,000 | ||||||
| 2,000,000 |
Frontier Communications Corporation
|
8.50 | % |
04/15/2020
|
2,215,000 | |||||||
| 6,000,000 |
Gibson Energy, Inc.
|
6.75 | % |
^
|
07/15/2021
|
6,015,000 | ||||||
| 14,425,000 |
Goodyear Tire & Rubber Company
|
7.00 | % | † |
05/15/2022
|
14,857,750 | ||||||
| 5,000,000 |
Hexion Finance Corporation
|
6.63 | % | † |
04/15/2020
|
5,012,500 | ||||||
| 6,000,000 |
Hexion Finance Corporation
|
6.63 | % |
^ †
|
04/15/2020
|
6,015,000 | ||||||
| 15,000,000 |
IASIS Healthcare LLC
|
8.38 | % | † |
05/15/2019
|
15,215,625 | ||||||
| 7,300,000 |
LBC Tank Terminals Holding B.V.
|
6.88 | % |
^
|
05/15/2023
|
7,354,750 | ||||||
| 10,350,000 |
Legacy Reserves LP
|
6.63 | % |
^ †
|
12/01/2021
|
9,987,750 | ||||||
| 15,000,000 |
Marina District Finance Corporation
|
9.88 | % | † |
08/15/2018
|
15,675,000 | ||||||
| 2,668,000 |
Milacron LLC
|
7.75 | % |
^
|
02/15/2021
|
2,674,670 | ||||||
| 15,000,000 |
Nuveen Investments, Inc.
|
9.50 | % |
^ †
|
10/15/2020
|
15,000,000 | ||||||
| 8,490,000 |
Pantry, Inc.
|
8.38 | % |
08/01/2020
|
9,158,588 | |||||||
| 15,000,000 |
Penn Birginia Resource Partners LP
|
6.50 | % |
^ †
|
05/15/2021
|
14,475,000 | ||||||
| 20,000,000 |
Petrobras Global Finance B.V.
|
4.38 | % |
05/20/2023
|
18,327,400 | |||||||
| 12,265,000 |
Regal Entertainment Group
|
5.75 | % | † |
02/01/2025
|
11,713,075 | ||||||
| 15,000,000 |
Reynolds Group LLC
|
9.88 | % | † |
08/15/2019
|
16,125,000 | ||||||
| 15,000,000 |
RR Donnelley & Sons Company
|
7.88 | % | † |
03/15/2021
|
15,375,000 | ||||||
| 15,000,000 |
Safway Group Holding LLC
|
7.00 | % |
^ †
|
05/15/2018
|
14,737,500 | ||||||
| 15,000,000 |
Select Medical Corporation
|
6.38 | % |
^ †
|
06/01/2021
|
14,325,000 | ||||||
| 12,631,000 |
Seminole Hard Rock Entertainment, Inc.
|
5.88 | % |
^ †
|
05/15/2021
|
12,275,753 | ||||||
| 1,000,000 |
Seven Generations Energy Ltd.
|
8.25 | % |
^
|
05/15/2020
|
1,000,000 | ||||||
| 15,000,000 |
SLM Corporation
|
7.25 | % | † |
01/25/2022
|
15,825,000 | ||||||
| 9,010,000 |
Southern Graphics, Inc.
|
8.38 | % |
^ †
|
10/15/2020
|
9,325,350 | ||||||
| 5,000,000 |
Summit Midstream Holdings LLC
|
7.50 | % |
^ †
|
07/01/2021
|
5,100,000 | ||||||
| 8,000,000 |
SUPERVALU, Inc.
|
6.75 | % |
^ †
|
06/01/2021
|
7,480,000 | ||||||
| 1,350,000 |
Targa Resources Partners LP
|
4.25 | % |
^
|
11/15/2023
|
1,211,625 | ||||||
| 13,000,000 |
US Coatings, Inc.
|
7.38 | % |
^ †
|
05/01/2021
|
13,308,750 | ||||||
| 15,000,000 |
US Foods, Inc.
|
8.50 | % | † |
06/30/2019
|
15,750,000 | ||||||
| 8,000,000 |
VPII Escrow Corporation
|
7.50 | % |
^
|
07/15/2021
|
8,290,000 | ||||||
|
Total US Corporate Bonds (Cost $460,057,199)
|
443,120,827 | |||||||||||
|
US Government / Agency Mortgage Backed Obligations - 10.6%
|
||||||||||||
| 33,097,631 |
Federal Home Loan Mortgage Corporation, Series 3631-SJ
|
6.05 | % |
#I/F I/O
|
02/15/2040
|
5,136,709 | ||||||
| 57,326,793 |
Federal Home Loan Mortgage Corporation, Series 3770-SP
|
6.31 | % |
#I/F I/O
|
11/15/2040
|
8,892,767 | ||||||
| 76,651,686 |
Federal Home Loan Mortgage Corporation, Series 3980-SX
|
6.31 | % |
#I/F I/O
|
01/15/2042
|
15,009,895 | ||||||
| 11,689,863 |
Federal Home Loan Mortgage Corporation, Series 4203-US
|
5.71 | % | #I/F |
05/15/2033
|
10,677,090 | ||||||
| 20,000,000 |
Federal Home Loan Mortgage Corporation, Series 4212-NS
|
5.17 | % | #I/F |
06/15/2043
|
16,124,000 | ||||||
| 17,163,356 |
Federal National Mortgage Association, Series 2006-83-SH
|
6.37 | % |
#I/F I/O
|
09/25/2036
|
3,015,233 | ||||||
| 29,859,965 |
Federal National Mortgage Association, Series 2007-22-S
|
6.56 | % |
#I/F I/O
|
03/25/2037
|
4,817,747 | ||||||
| 59,099,962 |
Federal National Mortgage Association, Series 2010-123-SK
|
5.86 | % |
#I/F I/O
|
11/25/2040
|
11,426,812 | ||||||
| 7,248,361 |
Federal National Mortgage Association, Series 2012-140-SC
|
7.54 | % | #I/F |
12/25/2042
|
7,347,547 | ||||||
| 77,529,602 |
Federal National Mortgage Association, Series 2012-52-PS
|
6.39 | % |
#I/F I/O
|
05/25/2042
|
16,052,985 | ||||||
| 26,982,792 |
Federal National Mortgage Association, Series 2013-55-US
|
5.71 | % | #I/F |
06/25/2043
|
24,105,280 | ||||||
| 61,903,321 |
Federal National Mortgage Association, Series 2013-58-KS
|
5.64 | % | #I/F |
06/25/2043
|
54,795,891 | ||||||
| 29,856,273 |
Federal National Mortgage Association, Series 2013-58-SC
|
5.71 | % | #I/F |
06/25/2043
|
26,539,104 | ||||||
| 42,367,492 |
Federal National Mortgage Association, Series 2013-64-SH
|
5.71 | % | #I/F |
06/25/2043
|
37,848,033 | ||||||
|
Total US Government / Agency Mortgage Backed Obligations (Cost $253,382,067)
|
241,789,093 | |||||||||||
|
Bank Loan Obligations - 8.9%
|
|||||||||||
|
9,709,500
|
AI Chem & Cy SCA, Senior Secured 2nd Lien Term Loan
|
8.25%
|
#
|
03/20/2020
|
9,758,047
|
||||||
|
8,000,000
|
Allflex Holdings, Inc., Senior Secured 2nd Lien Term Loan
|
8.00%
|
#
|
06/07/2021
|
8,035,040
|
||||||
|
2,493,750
|
American Renal Holdings, Inc., Senior Secured 1st Lien Delayed-Draw Term Loan, Tranche B-DD
|
4.50%
|
#
|
08/20/2019
|
2,479,735
|
||||||
|
7,525,000
|
American Renal Holdings, Inc., Senior Secured 2nd Lien Delayed-Draw Term Loan, Tranche DD
|
8.50%
|
#
|
02/14/2020
|
7,531,246
|
||||||
|
4,000,000
|
Arysta Lifescience LLC, Guaranteed Senior Secured 1st Lien Term Loan
|
4.50%
|
#
|
05/29/2020
|
3,967,520
|
||||||
|
6,000,000
|
Arysta Lifescience LLC, Guarnateed Secured 2nd Lien Term Loan
|
8.25%
|
#
|
11/20/2020
|
5,925,000
|
||||||
|
9,975,000
|
BBTS Borrower LP, Guarnateed Senior Secured 1st Lien Term Loan, Trache B
|
7.75%
|
#
|
06/04/2019
|
9,937,594
|
||||||
|
8,500,000
|
Berlin Packaging LLC, Secured 2nd Lien Term Loan
|
8.75%
|
#
|
03/31/2020
|
8,585,000
|
||||||
|
2,000,000
|
Brock Holdings, Inc., Secured 2nd Lien Term Loan
|
10.00%
|
#
|
03/16/2018
|
2,035,000
|
||||||
|
10,000,000
|
Capital Automotive LP, Guaranteed Senior Secured 2nd Lien Term Loan
|
6.00%
|
#
|
04/30/2020
|
10,100,000
|
||||||
|
3,000,000
|
Carestream Health, Inc. Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.00%
|
#
|
06/07/2019
|
2,972,340
|
||||||
|
6,923,077
|
Clondalkin Acquisition B.V., Senior Secured 1st Lien Term Loan
|
5.75%
|
#
|
05/28/2020
|
6,940,385
|
||||||
|
2,000,000
|
CSM Bakery Supplies LLC, Senior Secured 1st Lien Term Loan, Tranche B
|
4.75%
|
#
|
05/22/2020
|
1,986,260
|
||||||
|
2,500,000
|
Emerald Expositions Holding, Inc., Senior Secured 1st Lien Term Loan
|
5.50%
|
#
|
06/30/2020
|
2,496,875
|
||||||
|
1,000,000
|
Four Seasons Holdings, Inc., Guaranteed Senior Secured 2nd Lien Term Loan
|
6.25%
|
#
|
12/24/2020
|
1,012,500
|
||||||
|
1,154,000
|
Graton Economic Development Authority, Senior Secured 1st Lien Term Loan, Tranche B
|
9.00%
|
#
|
08/14/2018
|
1,204,972
|
||||||
|
4,000,000
|
Ion Trading Technologies Ltd., Senior Secured 1st Lien Term Loan, Tranche B
|
4.50%
|
#
|
05/22/2020
|
3,988,320
|
||||||
|
6,000,000
|
Ion Trading Technologies Ltd., Senior Secured 2nd Lien Term Loan, Tranche B
|
8.25%
|
#
|
05/21/2021
|
6,007,500
|
||||||
|
10,000,000
|
KIK Custom Products, Inc., Guaranteed Senior Secured 1st Lien Term Loan
|
5.50%
|
#
|
04/29/2019
|
9,775,000
|
||||||
|
9,000,000
|
Learning Care Group, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
6.00%
|
#
|
05/08/2019
|
8,983,171
|
||||||
|
3,800,000
|
National Financial Partners Corporation, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.25%
|
#
|
07/01/2020
|
3,792,096
|
||||||
|
10,000,000
|
Nuveen Investments, Inc., Guaranteed Senior Secured 2nd Lien Term Loan
|
6.50%
|
#
|
02/28/2019
|
9,904,150
|
||||||
|
10,000,000
|
Performance Food Group, Inc., Senior Secured 2nd Lien Term Loan
|
6.25%
|
#
|
11/14/2019
|
9,950,000
|
||||||
|
3,000,000
|
Polyconcept Finance BV, Senior Secured 1st Lien Term Loan
|
7.00%
|
#
|
06/27/2019
|
2,945,400
|
||||||
|
8,000,000
|
Ranpak Corporation, Guaranteed Secured 2nd Lien Term Loan
|
8.50%
|
#
|
03/27/2020
|
8,080,000
|
||||||
|
9,978,614
|
SUPERVALU, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.00%
|
#
|
03/21/2019
|
9,934,958
|
||||||
|
9,975,000
|
Teine Energy Ltd., Senior Secured 2nd Lien Term Loan
|
7.50%
|
#
|
05/17/2019
|
9,900,188
|
||||||
|
2,981,481
|
TNS, Inc., Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.00%
|
#
|
02/14/2020
|
2,998,878
|
||||||
|
2,550,000
|
TNS, Inc., Guaranteed Senior Secured 2nd Lien Term Loan
|
9.00%
|
#
|
08/14/2020
|
2,576,571
|
||||||
|
8,897,111
|
Total Safety, Inc., Senior Secured 1st Lien Term Loan, Tranche B
|
5.75%
|
#
|
03/13/2020
|
8,952,718
|
||||||
|
9,000,000
|
Tower Automotive Holdings LLC, Guaranteed Senior Secured 1st Lien Term Loan, Tranche B
|
5.75%
|
#
|
04/23/2020
|
9,095,670
|
||||||
|
10,000,000
|
Wildhorse Resources LLC, Senior Secured 2nd Lien Term Loan
|
7.50%
|
#
|
12/13/2018
|
10,049,999
|
||||||
|
Total Bank Loan Obligations (Cost $203,269,066)
|
201,902,133
|
||||||||||
|
Structured Notes - 8.5%
|
||||||||||||
| 50,000,000 |
JP Morgan Chase & Company
|
5.00 | % | & |
07/22/2013
|
48,865,000 | ||||||
| 50,000,000 |
JP Morgan Chase & Company
|
5.00 | % | & |
08/22/2013
|
48,889,999 | ||||||
| 50,000,000 |
JP Morgan Chase & Company
|
5.00 | % | & |
09/25/2013
|
47,540,000 | ||||||
| 50,000,000 |
JP Morgan Chase & Company
|
5.00 | % | & |
09/25/2013
|
47,460,000 | ||||||
|
Total Structured Notes (Cost $200,000,000)
|
192,754,999 | |||||||||||
|
Short Term Investments - 1.3%
|
||||||||||||
| 29,848,235 |
BlackRock Liquidity Funds FedFund Portfolio
|
0.01 | % |
♦
|
29,848,235 | |||||||
|
Total Short Term Investments (Cost $29,848,235)
|
29,848,235 | |||||||||||
|
Total Investments - 128.6% (Cost $3,058,665,763)
|
2,932,819,161 | |||||||||||
|
Liabilities in Excess of Other Assets - (28.6)%
|
(652,165,143 | ) | ||||||||||
|
NET ASSETS - 100.0%
|
$ | 2,280,654,018 | ||||||||||
|
#
|
Variable rate security. Rate disclosed as of June 30, 2013.
|
|
^
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration to qualified institutional buyers. These securities are determined to be liquid by the Adviser, unless otherwise noted, under procedures established by the Fund's Board of Trustees. At June 30, 2013, the value of these securities amounted to $583,925,722 or 25.6% of net assets.
|
|
I/O
|
Interest only security
|
|
I/F
|
Inverse floating rate security whose interest rate moves in the opposite direction of reference interest rates
|
|
♦
|
Seven-day yield as of June 30, 2013
|
|
†
|
All or partial amount segregated for the benefit of the counterparty as collateral for line of credit.
|
|
&
|
Security whose performance, including redemption at maturity, is linked to an underlying reference instrument. The investment is subject to the credit risk of the issuing financial institution (JP Morgan Chase & Company) in addition to the risks associated with the underlying reference instrument.
|
|
Industry Breakdown as a % of Net Assets:
|
||||
|
Banking
|
16.4 | % | ||
|
US Government / Agency Mortgage Backed Obligations
|
10.6 | % | ||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
10.4 | % | ||
|
Structured Notes
|
8.5 | % | ||
|
Oil and Gas
|
6.9 | % | ||
|
Telecommunications
|
5.7 | % | ||
|
Non-Agency Commercial Mortgage Backed Obligations
|
5.5 | % | ||
|
Consumer Products
|
4.3 | % | ||
|
Automotive
|
4.2 | % | ||
|
Mining
|
4.2 | % | ||
|
Retail
|
4.2 | % | ||
|
Collateralized Loan Obligations
|
3.9 | % | ||
|
Transportation
|
3.3 | % | ||
|
Chemicals/Plastics
|
3.1 | % | ||
|
Business Equipment and Services
|
3.0 | % | ||
|
Utilities
|
2.9 | % | ||
|
Hotels/Motels/Inns and Casinos
|
2.7 | % | ||
|
Conglomerates
|
2.6 | % | ||
|
Health Care
|
2.5 | % | ||
|
Steel
|
2.5 | % | ||
|
Building and Development
|
2.4 | % | ||
|
Construction
|
2.3 | % | ||
|
Financial Intermediaries
|
1.9 | % | ||
|
Finance
|
1.7 | % | ||
|
Food Products
|
1.5 | % | ||
|
Short Term Investments
|
1.3 | % | ||
|
Cosmetics/Toiletries
|
1.1 | % | ||
|
Energy
|
1.0 | % | ||
|
Pulp & Paper
|
1.0 | % | ||
|
Beverage and Tobacco
|
0.9 | % | ||
|
Media
|
0.9 | % | ||
|
Software
|
0.9 | % | ||
|
Food/Drug Retailers
|
0.8 | % | ||
|
Packaging
|
0.8 | % | ||
|
Real Estate
|
0.8 | % | ||
|
Containers and Glass Products
|
0.7 | % | ||
|
Pharmaceuticals
|
0.4 | % | ||
|
Electronics/Electric
|
0.3 | % | ||
|
Gas
|
0.3 | % | ||
|
Leisure
|
0.1 | % | ||
|
Machinery and Tools
|
0.1 | % | ||
|
Industrial
|
0.0 | % | ||
|
Other Assets and Liabilities
|
-28.6 | % | ||
| 100.0 | % | |||
|
Country Breakdown as a % of Net Assets:
|
||||
|
United States
|
68.5 | % | ||
|
Russia
|
12.6 | % | ||
|
Brazil
|
10.0 | % | ||
|
Mexico
|
7.9 | % | ||
|
Colombia
|
7.0 | % | ||
|
Peru
|
5.6 | % | ||
|
Chile
|
3.8 | % | ||
|
Dominican Republic
|
3.1 | % | ||
|
China
|
2.3 | % | ||
|
Jamaica
|
1.9 | % | ||
|
India
|
1.8 | % | ||
|
Guatemala
|
0.8 | % | ||
|
Costa Rica
|
0.7 | % | ||
|
El Salvador
|
0.7 | % | ||
|
Hungary
|
0.6 | % | ||
|
Paraguay
|
0.6 | % | ||
|
Luxembourg
|
0.4 | % | ||
|
Singapore
|
0.2 | % | ||
|
Croatia
|
0.1 | % | ||
|
Other Assets and Liabilities
|
-28.6 | % | ||
| 100.0 | % | |||
|
Credit Default Swaps - Sell Protection(a)
|
|
Reference Entity
|
Counterparty
|
Notional Amount(b)
|
Termination Date
|
Unrealized
Appreciation (Depreciation) $
|
||||||
|
Markit CDX North America High Yield Index Series 20
|
Bank of America, N.A.
|
250,000,000 |
06/20/2018
|
$ | (8,218,592 | ) | ||||
|
(a)
|
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund may typically (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
|
(b)
|
The notional amount typically represents the maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the particular credit default swap agreement.
|
|
The cost basis of investments for federal income tax purposes at June 30, 2013 was as follows+:
|
||||
|
Tax Cost of Investments
|
$ | 3,058,665,763 | ||
|
Gross Tax Unrealized Appreciation
|
14,777,290 | |||
|
Gross Tax Unrealized Depreciation
|
(140,623,892 | ) | ||
|
Net Tax Unrealized Appreciation (Depreciation)
|
$ | (125,846,602 | ) |
|
+
|
Since the Fund does not have a full fiscal year, the tax cost of investments are the same as noted in the Schedules of Investments.
|
|
Summary of Fair Value Disclosure
June 30, 2013 (Unaudited)
|
|
Security Valuation. The Fund has adopted accounting principles generally accepted in the United States of America ("GAAP") fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
|
|
Level 1—Unadjusted quoted market prices in active markets
|
|
Level 2—Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data
|
|
Level 3—Significant unobservable inputs (including the reporting entity's estimates and assumptions)
|
|
Assets and liabilities may be transferred between levels. The Fund uses end of period timing recognition to account for any transfers.
|
|
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors typically value such securities based on one or more inputs described in the following table which is not intended to be a complete list. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy. To the extent the significant inputs are unobservable, the values generally would be categorized as Level 3.
|
|
Fixed-income class
|
Examples of Standard Inputs
|
|
|
All
|
Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
|
|
|
Corporate bonds and notes; convertible securities
|
Standard inputs and underlying equity of the issuer
|
|
|
Bonds and notes of government and government agencies
|
Standard inputs and interest rate volatilities
|
|
|
Mortgage-backed; asset-backed obligations
(including collateralized loan obligations)
|
Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
|
|
|
Bank loan obligations
|
Quotations from dealers and trading systems
|
|
Investments in registered open-end management investment companies will be valued based upon the net asset value ("NAV") of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in private investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy. As of June 30, 2013, the Fund did not hold any investments in private investment funds.
|
|
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
|
|
Over-the-counter financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swaps agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of broker dealer quotations or pricing service valuations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
|
|
Certain securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees (the "Board"). The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market value. As of June 30, 2013, the Fund did not hold securities fair valued by the Valuation Committee.
|
|
The following is a summary of the fair valuations according to the inputs used to value the Fund's investments as of June 30, 20131:
|
||||
|
Category
|
||||
|
Investments in Securities
|
||||
|
Level 1
|
||||
|
Money Market Funds
|
$ | 29,848,235 | ||
|
Total Level 1
|
29,848,235 | |||
|
Level 2
|
||||
|
Foreign Corporate Bonds
|
1,371,532,020 | |||
|
US Corporate Bonds
|
443,120,827 | |||
|
US Government / Agency Mortgage Backed Obligations
|
241,789,093 | |||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
209,368,556 | |||
|
Bank Loan Obligations
|
201,902,133 | |||
|
Structured Notes
|
192,754,999 | |||
|
Non-Agency Commercial Mortgage Backed Obligations
|
125,416,734 | |||
|
Collateralized Loan Obligations
|
88,238,503 | |||
|
Total Level 2
|
2,874,122,865 | |||
|
Level 3
|
||||
|
Non-Agency Residential Collateralized Mortgage Obligations
|
28,848,061 | |||
|
Total Level 3
|
28,848,061 | |||
|
Total
|
2,932,819,161 | |||
|
Other Financial Instruments
|
||||
|
Level 1
|
- | |||
|
Level 2
|
||||
|
Credit Default Swaps
|
(8,218,592 | ) | ||
|
Total Level 2
|
(8,218,592 | ) | ||
|
Level 3
|
- | |||
|
Total
|
(8,218,592 | ) | ||
|
(a)
|
The Registrant’s principal executive and principal financial officers have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
|
(b)
|
There were no changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|