Nonconvertible Bonds - 28.2%
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER DISCRETIONARY - 2.9%
|
Auto Components - 0.2%
|
American Axle & Manufacturing, Inc. 6.25% 3/15/21
|
|
$ 3,295,000
|
|
$ 3,435,038
|
Dana Holding Corp. 6.5% 2/15/19
|
|
2,080,000
|
|
2,204,800
|
Delphi Corp. 5% 2/15/23
|
|
11,710,000
|
|
12,427,238
|
JB Poindexter & Co., Inc. 9% 4/1/22 (g)
|
|
1,900,000
|
|
2,014,000
|
PT Gadjah Tunggal Tbk 7.75% 2/6/18 (g)
|
|
600,000
|
|
616,500
|
Tenneco, Inc. 6.875% 12/15/20
|
|
1,505,000
|
|
1,640,450
|
TRW Automotive, Inc. 4.5% 3/1/21 (g)
|
|
3,610,000
|
|
3,691,225
|
|
|
26,029,251
|
Automobiles - 0.0%
|
Chrysler Group LLC/CG Co-Issuer, Inc.:
|
|
|
|
|
8% 6/15/19
|
|
1,580,000
|
|
1,749,850
|
8.25% 6/15/21
|
|
2,400,000
|
|
2,700,000
|
|
|
4,449,850
|
Distributors - 0.0%
|
LKQ Corp. 4.75% 5/15/23 (g)
|
|
160,000
|
|
159,600
|
Hotels, Restaurants & Leisure - 0.3%
|
Ameristar Casinos, Inc. 7.5% 4/15/21
|
|
4,270,000
|
|
4,697,000
|
FelCor Lodging LP:
|
|
|
|
|
5.625% 3/1/23
|
|
135,000
|
|
137,363
|
6.75% 6/1/19
|
|
475,000
|
|
507,063
|
GWR Operating Partnership LLP/Great Wolf Finance Corp. 10.875% 4/1/17
|
|
1,635,000
|
|
1,814,850
|
MCE Finance Ltd. 5% 2/15/21 (g)
|
|
1,915,000
|
|
1,922,181
|
MGM Mirage, Inc.:
|
|
|
|
|
7.5% 6/1/16
|
|
4,130,000
|
|
4,625,600
|
7.625% 1/15/17
|
|
2,355,000
|
|
2,699,419
|
8.625% 2/1/19
|
|
1,960,000
|
|
2,317,700
|
11.375% 3/1/18
|
|
1,845,000
|
|
2,389,275
|
NCL Corp. Ltd. 5% 2/15/18 (g)
|
|
3,950,000
|
|
4,029,000
|
NPC International, Inc./NPC Operating Co. A, Inc./NPC Operating Co. B, Inc. 10.5%
1/15/20
|
|
2,950,000
|
|
3,440,438
|
Royal Caribbean Cruises Ltd.:
|
|
|
|
|
5.25% 11/15/22
|
|
2,835,000
|
|
2,960,591
|
7.25% 3/15/18
|
|
465,000
|
|
532,425
|
7.5% 10/15/27
|
|
1,885,000
|
|
2,130,050
|
yankee 7.25% 6/15/16
|
|
3,985,000
|
|
4,513,013
|
Seminole Hard Rock Entertainment, Inc. 5.875% 5/15/21 (g)
|
|
705,000
|
|
697,950
|
Times Square Hotel Trust 8.528% 8/1/26 (g)
|
|
823,987
|
|
1,085,560
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER DISCRETIONARY - continued
|
Hotels, Restaurants & Leisure - continued
|
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp.:
|
|
|
|
|
4.25% 5/30/23 (g)
|
|
$ 1,155,000
|
|
$ 1,120,350
|
5.375% 3/15/22
|
|
1,535,000
|
|
1,615,588
|
7.75% 8/15/20
|
|
780,000
|
|
877,500
|
|
|
44,112,916
|
Household Durables - 0.3%
|
Arcelik A/S 5% 4/3/23 (g)
|
|
680,000
|
|
685,100
|
D.R. Horton, Inc.:
|
|
|
|
|
3.625% 2/15/18
|
|
1,685,000
|
|
1,714,488
|
4.375% 9/15/22
|
|
865,000
|
|
869,325
|
4.75% 2/15/23
|
|
560,000
|
|
571,200
|
Lennar Corp.:
|
|
|
|
|
4.125% 12/1/18 (g)
|
|
1,685,000
|
|
1,710,275
|
4.75% 11/15/22 (g)
|
|
1,875,000
|
|
1,875,000
|
6.95% 6/1/18
|
|
4,640,000
|
|
5,336,000
|
12.25% 6/1/17
|
|
1,135,000
|
|
1,498,200
|
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer (Luxembourg)
SA:
|
|
|
|
|
5.75% 10/15/20
|
|
4,170,000
|
|
4,253,400
|
7.875% 8/15/19
|
|
1,760,000
|
|
1,927,200
|
8.5% 5/15/18 (e)
|
|
1,915,000
|
|
2,010,750
|
9.875% 8/15/19
|
|
2,460,000
|
|
2,681,400
|
Standard Pacific Corp.:
|
|
|
|
|
8.375% 5/15/18
|
|
7,615,000
|
|
8,976,181
|
8.375% 1/15/21
|
|
1,880,000
|
|
2,265,400
|
10.75% 9/15/16
|
|
2,370,000
|
|
2,926,950
|
Toll Brothers Finance Corp. 4.375% 4/15/23
|
|
1,950,000
|
|
1,962,188
|
|
|
41,263,057
|
Internet & Catalog Retail - 0.0%
|
Netflix, Inc. 5.375% 2/1/21 (g)
|
|
1,130,000
|
|
1,146,950
|
Zayo Group LLC/Zayo Capital, Inc. 8.125% 1/1/20
|
|
1,890,000
|
|
2,093,175
|
|
|
3,240,125
|
Leisure Equipment & Products - 0.0%
|
Cedar Fair LP/Magnum Management Corp. 5.25% 3/15/21 (g)
|
|
1,055,000
|
|
1,047,088
|
Media - 2.0%
|
AMC Networks, Inc. 4.75% 12/15/22
|
|
1,135,000
|
|
1,130,801
|
AOL Time Warner, Inc. 7.625% 4/15/31
|
|
500,000
|
|
677,844
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER DISCRETIONARY - continued
|
Media - continued
|
Cablevision Systems Corp.:
|
|
|
|
|
7.75% 4/15/18
|
|
$ 1,275,000
|
|
$ 1,440,750
|
8.625% 9/15/17
|
|
3,505,000
|
|
4,100,850
|
CCO Holdings LLC/CCO Holdings Capital Corp.:
|
|
|
|
|
5.125% 2/15/23
|
|
925,000
|
|
911,125
|
5.25% 3/15/21 (g)
|
|
820,000
|
|
832,300
|
5.75% 9/1/23 (g)
|
|
1,535,000
|
|
1,548,431
|
5.75% 1/15/24
|
|
1,725,000
|
|
1,742,250
|
6.5% 4/30/21
|
|
6,485,000
|
|
6,971,375
|
7% 1/15/19
|
|
8,610,000
|
|
9,191,175
|
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375%
9/15/20 (g)
|
|
1,585,000
|
|
1,656,325
|
Cequel Communications Holdings I LLC/Cequel Capital Corp. 5.125% 12/15/21 (g)
|
|
2,020,000
|
|
1,974,550
|
Cinemark USA, Inc. 4.875% 6/1/23 (g)
|
|
775,000
|
|
772,094
|
Clear Channel Worldwide Holdings, Inc.:
|
|
|
|
|
6.5% 11/15/22 (g)
|
|
1,275,000
|
|
1,338,750
|
6.5% 11/15/22 (g)
|
|
1,525,000
|
|
1,608,875
|
Cogeco Cable, Inc. 4.875% 5/1/20 (g)
|
|
335,000
|
|
334,163
|
Comcast Corp.:
|
|
|
|
|
4.65% 7/15/42
|
|
16,692,000
|
|
17,103,558
|
4.95% 6/15/16
|
|
2,344,000
|
|
2,615,055
|
5.15% 3/1/20
|
|
435,000
|
|
512,533
|
5.7% 5/15/18
|
|
14,629,000
|
|
17,424,763
|
6.4% 3/1/40
|
|
432,000
|
|
550,349
|
6.45% 3/15/37
|
|
2,196,000
|
|
2,769,428
|
COX Communications, Inc.:
|
|
|
|
|
3.25% 12/15/22 (g)
|
|
4,795,000
|
|
4,721,095
|
4.625% 6/1/13
|
|
4,467,000
|
|
4,467,000
|
DIRECTV Holdings LLC/DIRECTV Financing, Inc. 5.875% 10/1/19
|
|
5,944,000
|
|
7,000,588
|
Discovery Communications LLC:
|
|
|
|
|
3.25% 4/1/23
|
|
1,789,000
|
|
1,772,428
|
3.7% 6/1/15
|
|
7,129,000
|
|
7,519,562
|
4.875% 4/1/43
|
|
4,194,000
|
|
4,192,301
|
6.35% 6/1/40
|
|
6,392,000
|
|
7,633,678
|
DISH DBS Corp. 5% 5/15/17 (g)
|
|
2,775,000
|
|
2,781,938
|
Harron Communications LP/Harron Finance Corp. 9.125% 4/1/20 (g)
|
|
1,100,000
|
|
1,223,750
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER DISCRETIONARY - continued
|
Media - continued
|
McGraw-Hill Global Education Holdings LLC/McGraw-Hill Global Education Finance 9.75%
4/1/21 (g)
|
|
$ 2,910,000
|
|
$ 3,011,850
|
MDC Partners, Inc. 6.75% 4/1/20 (g)
|
|
565,000
|
|
577,713
|
NBCUniversal Media LLC:
|
|
|
|
|
3.65% 4/30/15
|
|
3,514,000
|
|
3,712,056
|
5.15% 4/30/20
|
|
11,614,000
|
|
13,730,721
|
6.4% 4/30/40
|
|
18,278,000
|
|
23,102,240
|
News America Holdings, Inc. 7.75% 12/1/45
|
|
2,460,000
|
|
3,351,974
|
News America, Inc.:
|
|
|
|
|
6.15% 3/1/37
|
|
4,759,000
|
|
5,494,542
|
6.15% 2/15/41
|
|
11,572,000
|
|
13,541,068
|
Nielsen Finance LLC/Nielsen Finance Co.:
|
|
|
|
|
4.5% 10/1/20 (g)
|
|
1,100,000
|
|
1,102,750
|
7.75% 10/15/18
|
|
2,770,000
|
|
3,040,075
|
Quebecor Media, Inc.:
|
|
|
|
|
5.75% 1/15/23
|
|
2,505,000
|
|
2,567,625
|
7.75% 3/15/16
|
|
2,392,000
|
|
2,427,880
|
7.75% 3/15/16
|
|
1,345,000
|
|
1,365,175
|
Regal Entertainment Group 5.75% 6/15/23 (i)
|
|
1,385,000
|
|
1,391,925
|
Starz LLC/Starz Finance Corp. 5% 9/15/19
|
|
1,540,000
|
|
1,563,100
|
Time Warner Cable, Inc.:
|
|
|
|
|
4.5% 9/15/42
|
|
10,589,000
|
|
9,469,700
|
6.2% 7/1/13
|
|
2,898,000
|
|
2,909,415
|
6.75% 7/1/18
|
|
13,763,000
|
|
16,687,844
|
Time Warner, Inc.:
|
|
|
|
|
3.15% 7/15/15
|
|
3,115,000
|
|
3,262,293
|
5.875% 11/15/16
|
|
368,000
|
|
424,407
|
6.2% 3/15/40
|
|
11,792,000
|
|
13,641,540
|
6.5% 11/15/36
|
|
9,243,000
|
|
10,976,645
|
TV Azteca SA de CV 7.5% 5/25/18 (Reg. S)
|
|
1,450,000
|
|
1,573,250
|
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH:
|
|
|
|
|
5.5% 1/15/23 (g)
|
|
785,000
|
|
798,188
|
7.5% 3/15/19 (g)
|
|
660,000
|
|
716,100
|
UPCB Finance V Ltd. 7.25% 11/15/21 (g)
|
|
995,000
|
|
1,092,013
|
Viacom, Inc. 4.375% 3/15/43 (g)
|
|
2,063,000
|
|
1,868,090
|
WaveDivision Escrow LLC/WaveDivision Escrow Corp. 8.125% 9/1/20 (g)
|
|
2,140,000
|
|
2,268,400
|
|
|
264,188,263
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER DISCRETIONARY - continued
|
Multiline Retail - 0.0%
|
The Bon-Ton Department Stores, Inc. 8% 6/15/21 (g)
|
|
$ 440,000
|
|
$ 451,000
|
Specialty Retail - 0.1%
|
Claire's Stores, Inc.:
|
|
|
|
|
7.75% 6/1/20 (g)
|
|
295,000
|
|
299,425
|
9% 3/15/19 (g)
|
|
1,825,000
|
|
2,057,688
|
CST Brands, Inc. 5% 5/1/23 (g)
|
|
195,000
|
|
195,975
|
J. Crew Group, Inc. 8.125% 3/1/19
|
|
2,384,000
|
|
2,538,960
|
Jaguar Land Rover PLC 5.625% 2/1/23 (g)
|
|
1,220,000
|
|
1,241,350
|
|
|
6,333,398
|
Textiles, Apparel & Luxury Goods - 0.0%
|
Hanesbrands, Inc. 6.375% 12/15/20
|
|
2,500,000
|
|
2,756,250
|
TOTAL CONSUMER DISCRETIONARY
|
|
394,030,798
|
CONSUMER STAPLES - 1.3%
|
Beverages - 0.3%
|
Beam, Inc. 1.875% 5/15/17
|
|
2,703,000
|
|
2,725,297
|
Constellation Brands, Inc.:
|
|
|
|
|
3.75% 5/1/21
|
|
215,000
|
|
208,550
|
4.25% 5/1/23
|
|
320,000
|
|
314,016
|
FBG Finance Ltd. 5.125% 6/15/15 (g)
|
|
3,662,000
|
|
3,954,147
|
Fortune Brands, Inc.:
|
|
|
|
|
5.375% 1/15/16
|
|
321,000
|
|
352,911
|
6.375% 6/15/14
|
|
3,374,000
|
|
3,566,355
|
Heineken NV:
|
|
|
|
|
1.4% 10/1/17 (g)
|
|
7,323,000
|
|
7,235,395
|
2.75% 4/1/23 (g)
|
|
7,651,000
|
|
7,374,501
|
SABMiller Holdings, Inc. 3.75% 1/15/22 (g)
|
|
10,217,000
|
|
10,754,006
|
|
|
36,485,178
|
Food & Staples Retailing - 0.2%
|
ESAL GmbH 6.25% 2/5/23 (g)
|
|
3,500,000
|
|
3,473,750
|
Hawk Acquisition Sub, Inc. 4.25% 10/15/20 (g)
|
|
2,340,000
|
|
2,319,525
|
Rite Aid Corp.:
|
|
|
|
|
9.25% 3/15/20
|
|
11,390,000
|
|
12,870,700
|
9.5% 6/15/17
|
|
4,960,000
|
|
5,133,600
|
Walgreen Co. 1.8% 9/15/17
|
|
5,971,000
|
|
6,008,283
|
|
|
29,805,858
|
Food Products - 0.4%
|
Agrokor d.d. 8.875% 2/1/20 (g)
|
|
635,000
|
|
699,878
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
CONSUMER STAPLES - continued
|
Food Products - continued
|
ConAgra Foods, Inc.:
|
|
|
|
|
1.9% 1/25/18
|
|
$ 4,611,000
|
|
$ 4,637,956
|
3.2% 1/25/23
|
|
5,362,000
|
|
5,291,281
|
4.65% 1/25/43
|
|
5,972,000
|
|
5,861,375
|
Gruma S.A.B. de CV 7.75% (Reg. S) (h)
|
|
1,385,000
|
|
1,398,850
|
JBS USA LLC/JBS USA Finance, Inc. 8.25% 2/1/20 (g)
|
|
1,510,000
|
|
1,657,225
|
Kazagro National Management Holding JSC 4.625% 5/24/23 (g)
|
|
360,000
|
|
345,168
|
Kraft Foods, Inc.:
|
|
|
|
|
5.375% 2/10/20
|
|
10,631,000
|
|
12,343,463
|
6.125% 2/1/18
|
|
10,623,000
|
|
12,515,806
|
6.5% 8/11/17
|
|
10,238,000
|
|
12,146,507
|
6.5% 2/9/40
|
|
2,564,000
|
|
3,248,950
|
6.75% 2/19/14
|
|
540,000
|
|
562,339
|
Post Holdings, Inc. 7.375% 2/15/22
|
|
1,445,000
|
|
1,609,369
|
|
|
62,318,167
|
Personal Products - 0.0%
|
First Quality Finance Co., Inc. 4.625% 5/15/21 (g)
|
|
785,000
|
|
763,413
|
Tobacco - 0.4%
|
Altria Group, Inc.:
|
|
|
|
|
2.85% 8/9/22
|
|
9,573,000
|
|
9,130,708
|
4.25% 8/9/42
|
|
9,573,000
|
|
8,467,003
|
9.7% 11/10/18
|
|
7,983,000
|
|
10,909,887
|
Reynolds American, Inc.:
|
|
|
|
|
3.25% 11/1/22
|
|
7,368,000
|
|
7,168,791
|
4.75% 11/1/42
|
|
11,385,000
|
|
10,703,380
|
6.75% 6/15/17
|
|
3,719,000
|
|
4,404,389
|
7.25% 6/15/37
|
|
5,056,000
|
|
6,301,000
|
|
|
57,085,158
|
TOTAL CONSUMER STAPLES
|
|
186,457,774
|
ENERGY - 4.1%
|
Energy Equipment & Services - 0.7%
|
Chesapeake Oilfield Operating LLC 6.625% 11/15/19 (g)
|
|
1,260,000
|
|
1,323,000
|
DCP Midstream LLC:
|
|
|
|
|
4.75% 9/30/21 (g)
|
|
11,333,000
|
|
11,977,372
|
5.35% 3/15/20 (g)
|
|
8,816,000
|
|
9,602,705
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
ENERGY - continued
|
Energy Equipment & Services - continued
|
El Paso Pipeline Partners Operating Co. LLC:
|
|
|
|
|
4.1% 11/15/15
|
|
$ 10,806,000
|
|
$ 11,560,237
|
5% 10/1/21
|
|
7,366,000
|
|
8,196,782
|
6.5% 4/1/20
|
|
738,000
|
|
886,613
|
Expro Finance Luxembourg SCA 8.5% 12/15/16 (g)
|
|
1,582,000
|
|
1,661,100
|
Exterran Holdings, Inc. 7.25% 12/1/18
|
|
3,485,000
|
|
3,720,238
|
Exterran Partners LP/EXLP Finance Corp. 6% 4/1/21 (g)
|
|
2,045,000
|
|
2,065,450
|
FMC Technologies, Inc.:
|
|
|
|
|
2% 10/1/17
|
|
1,803,000
|
|
1,805,358
|
3.45% 10/1/22
|
|
3,267,000
|
|
3,248,590
|
Forbes Energy Services Ltd. 9% 6/15/19
|
|
1,590,000
|
|
1,558,200
|
Hornbeck Offshore Services, Inc.:
|
|
|
|
|
5% 3/1/21 (g)
|
|
1,165,000
|
|
1,159,175
|
5.875% 4/1/20
|
|
585,000
|
|
609,863
|
Offshore Group Investment Ltd.:
|
|
|
|
|
7.125% 4/1/23 (g)
|
|
890,000
|
|
921,150
|
7.5% 11/1/19
|
|
2,185,000
|
|
2,348,875
|
Oil States International, Inc. 6.5% 6/1/19
|
|
3,180,000
|
|
3,426,450
|
Pacific Drilling SA 5.375% 6/1/20 (g)(i)
|
|
2,245,000
|
|
2,222,550
|
Petroleum Geo-Services ASA 7.375% 12/15/18 (g)
|
|
2,245,000
|
|
2,491,950
|
Petroliam Nasional Bhd (Petronas) 7.625% 10/15/26 (Reg. S)
|
|
670,000
|
|
930,295
|
Precision Drilling Corp.:
|
|
|
|
|
6.5% 12/15/21
|
|
170,000
|
|
182,325
|
6.625% 11/15/20
|
|
1,890,000
|
|
2,008,125
|
SESI LLC 7.125% 12/15/21
|
|
2,980,000
|
|
3,345,050
|
Transocean, Inc. 5.05% 12/15/16
|
|
7,572,000
|
|
8,390,571
|
Weatherford International Ltd. 4.95% 10/15/13
|
|
2,173,000
|
|
2,204,598
|
|
|
87,846,622
|
Oil, Gas & Consumable Fuels - 3.4%
|
Access Midstream Partners LP/ACMP Finance Corp. 4.875% 5/15/23
|
|
985,000
|
|
976,381
|
Afren PLC 11.5% 2/1/16 (g)
|
|
720,000
|
|
840,600
|
Alpha Natural Resources, Inc.:
|
|
|
|
|
6% 6/1/19
|
|
1,320,000
|
|
1,194,600
|
6.25% 6/1/21
|
|
130,000
|
|
116,025
|
Anadarko Petroleum Corp.:
|
|
|
|
|
5.95% 9/15/16
|
|
485,000
|
|
552,947
|
6.375% 9/15/17
|
|
19,790,000
|
|
23,350,577
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
ENERGY - continued
|
Oil, Gas & Consumable Fuels - continued
|
Antero Resources Finance Corp.:
|
|
|
|
|
6% 12/1/20
|
|
$ 2,950,000
|
|
$ 3,068,000
|
7.25% 8/1/19
|
|
1,080,000
|
|
1,144,800
|
9.375% 12/1/17
|
|
2,915,000
|
|
3,126,338
|
Apache Corp. 4.75% 4/15/43
|
|
9,180,000
|
|
9,183,828
|
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp. 4.75% 11/15/21 (g)
|
|
465,000
|
|
446,400
|
Chesapeake Energy Corp.:
|
|
|
|
|
5.375% 6/15/21
|
|
1,220,000
|
|
1,241,350
|
5.75% 3/15/23
|
|
790,000
|
|
821,600
|
6.125% 2/15/21
|
|
6,045,000
|
|
6,589,050
|
6.875% 11/15/20
|
|
1,195,000
|
|
1,344,375
|
Chesapeake Midstream Partners LP/CHKM Finance Corp.:
|
|
|
|
|
5.875% 4/15/21
|
|
676,000
|
|
716,560
|
6.125% 7/15/22
|
|
1,240,000
|
|
1,326,800
|
ConocoPhillips:
|
|
|
|
|
4.6% 1/15/15
|
|
10,000,000
|
|
10,631,320
|
5.75% 2/1/19
|
|
2,930,000
|
|
3,521,998
|
CONSOL Energy, Inc. 8% 4/1/17
|
|
505,000
|
|
540,350
|
Continental Resources, Inc. 4.5% 4/15/23 (g)
|
|
1,675,000
|
|
1,683,375
|
Crestwood Midstream Partners LP/Finance Corp. 7.75% 4/1/19
|
|
800,000
|
|
854,000
|
DCP Midstream Operating LP:
|
|
|
|
|
2.5% 12/1/17
|
|
5,924,000
|
|
5,994,993
|
3.875% 3/15/23
|
|
3,639,000
|
|
3,575,994
|
Denbury Resources, Inc. 4.625% 7/15/23
|
|
1,675,000
|
|
1,620,563
|
DTEK Finance BV 9.5% 4/28/15 (g)
|
|
117,000
|
|
122,616
|
Duke Energy Field Services:
|
|
|
|
|
5.375% 10/15/15 (g)
|
|
1,524,000
|
|
1,645,896
|
6.45% 11/3/36 (g)
|
|
13,741,000
|
|
15,297,649
|
El Paso Natural Gas Co. 5.95% 4/15/17
|
|
1,166,000
|
|
1,342,476
|
Enbridge Energy Partners LP 4.2% 9/15/21
|
|
13,331,000
|
|
14,053,887
|
Encana Holdings Finance Corp. 5.8% 5/1/14
|
|
3,602,000
|
|
3,767,004
|
Energy Partners Ltd. 8.25% 2/15/18
|
|
295,000
|
|
317,125
|
Enterprise Products Operating LP 5.6% 10/15/14
|
|
483,000
|
|
514,154
|
EP Energy LLC/Everest Acquisition Finance, Inc. 7.75% 9/1/22
|
|
1,245,000
|
|
1,375,725
|
Everest Acquisition LLC/Everest Acquisition Finance, Inc. 9.375% 5/1/20
|
|
3,830,000
|
|
4,337,475
|
Forest Oil Corp. 7.5% 9/15/20 (g)
|
|
2,050,000
|
|
2,060,250
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
ENERGY - continued
|
Oil, Gas & Consumable Fuels - continued
|
Georgian Oil & Gas Corp. 6.875% 5/16/17 (g)
|
|
$ 550,000
|
|
$ 589,875
|
Gulfstream Natural Gas System LLC 6.95% 6/1/16 (g)
|
|
221,000
|
|
256,788
|
Indo Energy Finance II BV 6.375% 1/24/23 (g)
|
|
610,000
|
|
585,600
|
Kazmuaigaz National Co.:
|
|
|
|
|
4.4% 4/30/23 (g)
|
|
565,000
|
|
543,756
|
5.75% 4/30/43 (g)
|
|
1,165,000
|
|
1,116,420
|
KazMunaiGaz Finance Sub BV:
|
|
|
|
|
6.375% 4/9/21 (g)
|
|
850,000
|
|
956,250
|
7% 5/5/20 (g)
|
|
1,385,000
|
|
1,615,326
|
9.125% 7/2/18 (g)
|
|
1,605,000
|
|
1,998,225
|
LINN Energy LLC/LINN Energy Finance Corp.:
|
|
|
|
|
6.25% 11/1/19 (g)
|
|
1,165,000
|
|
1,173,738
|
6.5% 5/15/19
|
|
3,790,000
|
|
3,846,850
|
8.625% 4/15/20
|
|
2,685,000
|
|
2,940,075
|
Marathon Petroleum Corp. 5.125% 3/1/21
|
|
10,178,000
|
|
11,690,888
|
Midcontinent Express Pipeline LLC 5.45% 9/15/14 (g)
|
|
10,834,000
|
|
11,219,961
|
Motiva Enterprises LLC:
|
|
|
|
|
5.75% 1/15/20 (g)
|
|
4,187,000
|
|
4,927,329
|
6.85% 1/15/40 (g)
|
|
5,937,000
|
|
7,855,874
|
Naftogaz of Ukraine NJSC 9.5% 9/30/14
|
|
1,930,000
|
|
1,983,075
|
Nakilat, Inc. 6.067% 12/31/33 (g)
|
|
1,975,000
|
|
2,386,175
|
Nexen, Inc. 5.2% 3/10/15
|
|
1,133,000
|
|
1,218,302
|
Northern Tier Energy LLC/Northern Tier Finance Corp. 7.125% 11/15/20 (g)
|
|
1,480,000
|
|
1,557,700
|
Pacific Rubiales Energy Corp. 7.25% 12/12/21 (g)
|
|
1,351,000
|
|
1,530,007
|
Pan American Energy LLC 7.875% 5/7/21 (g)
|
|
1,480,000
|
|
1,420,800
|
PBF Holding Co. LLC/PBF Finance Corp. 8.25% 2/15/20
|
|
850,000
|
|
943,500
|
Pemex Project Funding Master Trust:
|
|
|
|
|
5.75% 3/1/18
|
|
515,000
|
|
589,675
|
6.625% 6/15/35
|
|
870,000
|
|
1,002,675
|
Petro-Canada 6.05% 5/15/18
|
|
3,850,000
|
|
4,568,968
|
Petrobras Global Finance BV:
|
|
|
|
|
2.4141% 1/15/19 (j)
|
|
570,000
|
|
574,275
|
4.375% 5/20/23
|
|
12,540,000
|
|
12,147,498
|
5.625% 5/20/43
|
|
11,835,000
|
|
11,055,074
|
Petrobras International Finance Co. Ltd.:
|
|
|
|
|
3.875% 1/27/16
|
|
10,192,000
|
|
10,636,310
|
5.375% 1/27/21
|
|
20,589,000
|
|
21,769,450
|
5.75% 1/20/20
|
|
6,930,000
|
|
7,536,867
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
ENERGY - continued
|
Oil, Gas & Consumable Fuels - continued
|
Petrobras International Finance Co. Ltd.: - continued
|
|
|
|
|
6.875% 1/20/40
|
|
$ 570,000
|
|
$ 612,921
|
7.875% 3/15/19
|
|
10,517,000
|
|
12,698,731
|
8.375% 12/10/18
|
|
775,000
|
|
959,993
|
Petroleos de Venezuela SA:
|
|
|
|
|
4.9% 10/28/14
|
|
3,070,000
|
|
2,947,200
|
5.375% 4/12/27
|
|
585,000
|
|
380,250
|
5.5% 4/12/37
|
|
260,000
|
|
163,150
|
8% 11/17/13
|
|
2,000,000
|
|
2,017,000
|
8.5% 11/2/17 (g)
|
|
7,305,000
|
|
6,903,225
|
9% 11/17/21 (Reg. S)
|
|
765,000
|
|
680,850
|
9.75% 5/17/35 (g)
|
|
985,000
|
|
866,800
|
12.75% 2/17/22 (g)
|
|
2,605,000
|
|
2,748,275
|
Petroleos Mexicanos:
|
|
|
|
|
3.5% 1/30/23 (g)
|
|
10,045,000
|
|
9,542,750
|
4.875% 1/24/22
|
|
12,142,000
|
|
12,991,940
|
5.5% 1/21/21
|
|
12,069,000
|
|
13,499,177
|
5.5% 6/27/44
|
|
20,197,000
|
|
19,742,568
|
6% 3/5/20
|
|
1,008,000
|
|
1,159,200
|
6.5% 6/2/41
|
|
19,855,000
|
|
22,237,600
|
6.625% (g)(h)
|
|
3,045,000
|
|
3,227,700
|
8% 5/3/19
|
|
420,000
|
|
529,200
|
Phillips 66:
|
|
|
|
|
4.3% 4/1/22
|
|
12,618,000
|
|
13,625,648
|
5.875% 5/1/42
|
|
10,804,000
|
|
12,595,714
|
Plains All American Pipeline LP/PAA Finance Corp.:
|
|
|
|
|
3.65% 6/1/22
|
|
5,217,000
|
|
5,390,439
|
3.95% 9/15/15
|
|
5,869,000
|
|
6,275,199
|
6.125% 1/15/17
|
|
6,185,000
|
|
7,177,730
|
PT Adaro Indonesia 7.625% 10/22/19 (g)
|
|
945,000
|
|
1,006,425
|
PT Pertamina Persero:
|
|
|
|
|
4.875% 5/3/22 (g)
|
|
845,000
|
|
845,000
|
5.25% 5/23/21 (g)
|
|
815,000
|
|
839,450
|
6% 5/3/42 (g)
|
|
845,000
|
|
798,525
|
6.5% 5/27/41 (g)
|
|
1,000,000
|
|
1,020,000
|
Rosetta Resources, Inc. 5.625% 5/1/21
|
|
665,000
|
|
666,663
|
Samson Investment Co. 9.75% 2/15/20 (g)
|
|
2,605,000
|
|
2,689,663
|
Southeast Supply Header LLC 4.85% 8/15/14 (g)
|
|
367,000
|
|
381,238
|
Spectra Energy Capital, LLC 5.65% 3/1/20
|
|
308,000
|
|
356,006
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
ENERGY - continued
|
Oil, Gas & Consumable Fuels - continued
|
Spectra Energy Partners, LP:
|
|
|
|
|
2.95% 6/15/16
|
|
$ 4,717,000
|
|
$ 4,889,001
|
4.6% 6/15/21
|
|
2,694,000
|
|
2,834,077
|
Targa Resources Partners LP/Targa Resources Partners Finance Corp.:
|
|
|
|
|
4.25% 11/15/23 (g)
|
|
1,155,000
|
|
1,094,363
|
5.25% 5/1/23 (g)
|
|
1,180,000
|
|
1,209,500
|
6.375% 8/1/22
|
|
560,000
|
|
607,600
|
6.875% 2/1/21
|
|
685,000
|
|
743,225
|
7.875% 10/15/18
|
|
2,205,000
|
|
2,386,913
|
Tesoro Corp. 4.25% 10/1/17
|
|
195,000
|
|
202,800
|
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 5.875% 10/1/20 (g)
|
|
160,000
|
|
166,400
|
TransCapitalInvest Ltd. 5.67% 3/5/14 (g)
|
|
4,317,000
|
|
4,462,483
|
Western Gas Partners LP 5.375% 6/1/21
|
|
14,766,000
|
|
16,658,484
|
Western Refining, Inc. 6.25% 4/1/21 (g)
|
|
1,065,000
|
|
1,102,275
|
Williams Partners LP 4.125% 11/15/20
|
|
2,399,000
|
|
2,551,303
|
Zhaikmunai International BV 7.125% 11/13/19 (g)
|
|
1,145,000
|
|
1,225,150
|
|
|
469,244,191
|
TOTAL ENERGY
|
|
557,090,813
|
FINANCIALS - 11.1%
|
Capital Markets - 1.2%
|
BlackRock, Inc. 4.25% 5/24/21
|
|
5,000,000
|
|
5,548,165
|
Goldman Sachs Group, Inc.:
|
|
|
|
|
5.25% 7/27/21
|
|
17,105,000
|
|
19,079,926
|
5.625% 1/15/17
|
|
3,200,000
|
|
3,557,427
|
5.75% 1/24/22
|
|
9,087,000
|
|
10,416,001
|
5.95% 1/18/18
|
|
4,975,000
|
|
5,740,861
|
6.75% 10/1/37
|
|
9,643,000
|
|
10,538,825
|
Lazard Group LLC:
|
|
|
|
|
6.85% 6/15/17
|
|
4,817,000
|
|
5,521,925
|
7.125% 5/15/15
|
|
1,717,000
|
|
1,880,723
|
Merrill Lynch & Co., Inc. 6.11% 1/29/37
|
|
9,086,000
|
|
9,767,087
|
Morgan Stanley:
|
|
|
|
|
2.125% 4/25/18
|
|
12,586,000
|
|
12,433,974
|
3.75% 2/25/23
|
|
20,136,000
|
|
20,003,767
|
4.875% 11/1/22
|
|
14,724,000
|
|
15,141,897
|
5.625% 9/23/19
|
|
12,714,000
|
|
14,414,866
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Capital Markets - continued
|
Morgan Stanley: - continued
|
|
|
|
|
5.75% 1/25/21
|
|
$ 13,447,000
|
|
$ 15,341,965
|
6.625% 4/1/18
|
|
16,118,000
|
|
18,985,231
|
|
|
168,372,640
|
Commercial Banks - 1.8%
|
Access Finance BV 7.25% 7/25/17 (g)
|
|
970,000
|
|
1,006,375
|
Banco de Bogota SA 5.375% 2/19/23 (g)
|
|
390,000
|
|
396,825
|
Bank of America NA 5.3% 3/15/17
|
|
3,467,000
|
|
3,848,058
|
BBVA Paraguay SA 9.75% 2/11/16 (g)
|
|
995,000
|
|
1,079,575
|
CBOM Finance PLC 8.25% 8/5/14
|
|
600,000
|
|
624,900
|
CIT Group, Inc.:
|
|
|
|
|
4.25% 8/15/17
|
|
1,705,000
|
|
1,756,150
|
5% 8/15/22
|
|
1,510,000
|
|
1,608,150
|
5.25% 3/15/18
|
|
1,485,000
|
|
1,596,375
|
5.375% 5/15/20
|
|
1,425,000
|
|
1,535,438
|
5.5% 2/15/19 (g)
|
|
2,705,000
|
|
2,928,163
|
Credit Suisse 6% 2/15/18
|
|
18,058,000
|
|
20,850,778
|
Development Bank of Kazakhstan JSC 4.125% 12/10/22 (g)
|
|
820,000
|
|
780,066
|
Development Bank of Philippines 8.375% (h)(j)
|
|
1,655,000
|
|
1,828,775
|
Discover Bank:
|
|
|
|
|
7% 4/15/20
|
|
2,030,000
|
|
2,461,166
|
8.7% 11/18/19
|
|
2,958,000
|
|
3,889,950
|
Eastern and Southern African Trade and Development Bank 6.875% 1/9/16 (Reg. S)
|
|
420,000
|
|
434,700
|
Fifth Third Bancorp:
|
|
|
|
|
4.5% 6/1/18
|
|
798,000
|
|
875,640
|
8.25% 3/1/38
|
|
4,667,000
|
|
6,456,589
|
Fifth Third Capital Trust IV 6.5% 4/15/37 (j)
|
|
6,912,000
|
|
6,929,280
|
Finansbank A/S 5.15% 11/1/17 (g)
|
|
1,895,000
|
|
1,930,531
|
Georgia Bank Joint Stock Co. 7.75% 7/5/17 (g)
|
|
1,400,000
|
|
1,501,500
|
HBOS PLC 6.75% 5/21/18 (g)
|
|
6,067,000
|
|
6,814,400
|
HSBK (Europe) BV 7.25% 5/3/17 (g)
|
|
935,000
|
|
1,011,436
|
Huntington Bancshares, Inc. 7% 12/15/20
|
|
2,851,000
|
|
3,515,223
|
JPMorgan Chase Bank 6% 10/1/17
|
|
11,313,000
|
|
13,214,240
|
JSC Kazkommertsbank BV 8% 11/3/15 (g)
|
|
640,000
|
|
641,600
|
JSC Oschadbank 8.25% 3/10/16 (Issued by SSB #1 PLC for JSC Oschadbank)
|
|
450,000
|
|
443,813
|
Kazkommerts International BV 7.875% 4/7/14 (Reg. S)
|
|
720,000
|
|
730,440
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Commercial Banks - continued
|
KeyBank NA:
|
|
|
|
|
5.45% 3/3/16
|
|
$ 3,939,000
|
|
$ 4,377,237
|
5.8% 7/1/14
|
|
9,490,000
|
|
10,001,407
|
6.95% 2/1/28
|
|
1,977,000
|
|
2,434,430
|
Magyar Export-Import Bank 5.5% 2/12/18 (g)
|
|
600,000
|
|
610,500
|
Marshall & Ilsley Bank:
|
|
|
|
|
4.85% 6/16/15
|
|
4,520,000
|
|
4,794,201
|
5% 1/17/17
|
|
14,669,000
|
|
15,856,309
|
Regions Bank:
|
|
|
|
|
6.45% 6/26/37
|
|
21,887,000
|
|
24,130,921
|
7.5% 5/15/18
|
|
17,027,000
|
|
20,661,907
|
Regions Financial Corp.:
|
|
|
|
|
2% 5/15/18
|
|
10,058,000
|
|
9,858,419
|
5.75% 6/15/15
|
|
2,005,000
|
|
2,170,413
|
7.75% 11/10/14
|
|
6,404,000
|
|
6,965,503
|
Royal Bank of Scotland Group PLC 6.125% 12/15/22
|
|
24,107,000
|
|
24,867,721
|
RSHB Capital SA 6% 6/3/21 (g)(j)
|
|
355,000
|
|
361,213
|
Synovus Financial Corp.:
|
|
|
|
|
5.125% 6/15/17
|
|
365,000
|
|
366,825
|
7.875% 2/15/19
|
|
745,000
|
|
862,338
|
The State Export-Import Bank of Ukraine JSC 5.7928% 2/9/16 (Issued by Credit Suisse First
Boston International for The State Export-Import Bank of Ukraine JSC) (e)
|
|
735,000
|
|
646,800
|
UnionBanCal Corp. 5.25% 12/16/13
|
|
826,000
|
|
844,369
|
Vimpel Communications 8.25% 5/23/16 (Reg. S) (Issued by UBS Luxembourg SA for Vimpel
Communications)
|
|
2,225,000
|
|
2,469,750
|
Vnesheconombank Via VEB Finance PLC 6.025% 7/5/22 (g)
|
|
480,000
|
|
522,000
|
Wachovia Bank NA 6% 11/15/17
|
|
2,243,000
|
|
2,641,734
|
Wachovia Corp.:
|
|
|
|
|
5.625% 10/15/16
|
|
4,239,000
|
|
4,820,595
|
5.75% 6/15/17
|
|
2,933,000
|
|
3,391,296
|
Wells Fargo & Co.:
|
|
|
|
|
3.625% 4/15/15
|
|
5,893,000
|
|
6,207,303
|
3.676% 6/15/16
|
|
4,301,000
|
|
4,620,844
|
|
|
245,174,171
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Consumer Finance - 1.0%
|
Discover Financial Services:
|
|
|
|
|
3.85% 11/21/22
|
|
$ 10,130,000
|
|
$ 10,217,169
|
5.2% 4/27/22
|
|
12,545,000
|
|
13,828,692
|
6.45% 6/12/17
|
|
10,366,000
|
|
12,022,362
|
Ford Motor Credit Co. LLC:
|
|
|
|
|
1.7% 5/9/16
|
|
19,473,000
|
|
19,429,205
|
5% 5/15/18
|
|
2,390,000
|
|
2,652,422
|
General Electric Capital Corp.:
|
|
|
|
|
1% 12/11/15
|
|
10,247,000
|
|
10,291,820
|
2.25% 11/9/15
|
|
314,000
|
|
324,279
|
4.625% 1/7/21
|
|
5,706,000
|
|
6,310,191
|
5.625% 9/15/17
|
|
5,858,000
|
|
6,779,534
|
5.625% 5/1/18
|
|
25,000,000
|
|
29,293,100
|
HSBC USA, Inc. 1.625% 1/16/18
|
|
11,125,000
|
|
11,044,933
|
Hyundai Capital America:
|
|
|
|
|
1.625% 10/2/15 (g)
|
|
4,565,000
|
|
4,597,375
|
2.125% 10/2/17 (g)
|
|
5,048,000
|
|
4,989,580
|
|
|
131,780,662
|
Diversified Financial Services - 2.3%
|
Aquarius Investments Luxemburg 8.25% 2/18/16
|
|
1,225,000
|
|
1,310,750
|
Bank of America Corp.:
|
|
|
|
|
3.3% 1/11/23
|
|
31,760,000
|
|
30,813,139
|
3.875% 3/22/17
|
|
3,134,000
|
|
3,351,569
|
5.65% 5/1/18
|
|
8,780,000
|
|
10,063,136
|
5.75% 12/1/17
|
|
21,955,000
|
|
25,159,815
|
6.5% 8/1/16
|
|
9,000,000
|
|
10,291,977
|
Biz Finance PLC 8.375% 4/27/15 (Reg. S)
|
|
1,675,000
|
|
1,672,906
|
BP Capital Markets PLC 4.742% 3/11/21
|
|
8,800,000
|
|
9,925,511
|
CIT Group, Inc. 6.625% 4/1/18 (g)
|
|
1,215,000
|
|
1,366,875
|
Citigroup, Inc.:
|
|
|
|
|
3.375% 3/1/23
|
|
5,193,000
|
|
5,118,065
|
3.953% 6/15/16
|
|
11,847,000
|
|
12,715,326
|
4.05% 7/30/22
|
|
5,303,000
|
|
5,310,451
|
4.75% 5/19/15
|
|
25,881,000
|
|
27,680,558
|
6.125% 5/15/18
|
|
3,779,000
|
|
4,458,993
|
6.5% 8/19/13
|
|
13,174,000
|
|
13,335,013
|
General Motors Financial Co., Inc.:
|
|
|
|
|
2.75% 5/15/16 (g)
|
|
780,000
|
|
778,830
|
3.25% 5/15/18 (g)
|
|
420,000
|
|
416,325
|
4.25% 5/15/23 (g)
|
|
370,000
|
|
360,750
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Diversified Financial Services - continued
|
General Motors Financial Co., Inc.: - continued
|
|
|
|
|
4.75% 8/15/17 (g)
|
|
$ 1,775,000
|
|
$ 1,872,625
|
6.75% 6/1/18
|
|
1,500,000
|
|
1,710,000
|
GTB Finance BV 7.5% 5/19/16 (g)
|
|
1,095,000
|
|
1,160,700
|
Icahn Enterprises LP/Icahn Enterprises Finance Corp.:
|
|
|
|
|
7.75% 1/15/16
|
|
1,220,000
|
|
1,262,700
|
8% 1/15/18
|
|
4,065,000
|
|
4,308,900
|
ILFC E-Capital Trust II 6.25% 12/21/65 (g)(j)
|
|
1,250,000
|
|
1,175,000
|
Indo Energy Finance BV 7% 5/7/18 (g)
|
|
1,300,000
|
|
1,352,000
|
JPMorgan Chase & Co.:
|
|
|
|
|
1.625% 5/15/18
|
|
12,580,000
|
|
12,354,239
|
2% 8/15/17
|
|
11,000,000
|
|
11,124,905
|
3.25% 9/23/22
|
|
14,050,000
|
|
13,771,641
|
4.35% 8/15/21
|
|
13,339,000
|
|
14,365,703
|
4.5% 1/24/22
|
|
22,046,000
|
|
23,931,109
|
4.95% 3/25/20
|
|
17,148,000
|
|
19,336,994
|
Magnesita Finance Ltd. 8.625% (g)(h)
|
|
650,000
|
|
703,625
|
NSG Holdings II, LLC 7.75% 12/15/25 (g)
|
|
8,295,000
|
|
9,000,075
|
RBS Citizens Financial Group, Inc. 4.15% 9/28/22 (g)
|
|
13,462,000
|
|
13,626,506
|
TECO Finance, Inc.:
|
|
|
|
|
4% 3/15/16
|
|
2,562,000
|
|
2,746,520
|
5.15% 3/15/20
|
|
3,761,000
|
|
4,282,861
|
TMK Capital SA 7.75% 1/27/18
|
|
1,650,000
|
|
1,720,125
|
TransUnion Holding Co., Inc. 8.125% 6/15/18 pay-in-kind (g)
|
|
3,190,000
|
|
3,389,375
|
Unicredit Luxembourg SA 5.1875% 10/13/15 (g)
|
|
700,000
|
|
729,750
|
UPCB Finance III Ltd. 6.625% 7/1/20 (g)
|
|
3,305,000
|
|
3,524,122
|
Vnesheconombank Via VEB Finance PLC:
|
|
|
|
|
6.8% 11/22/25 (g)
|
|
605,000
|
|
685,949
|
6.902% 7/9/20 (g)
|
|
715,000
|
|
822,250
|
Wind Acquisition Holdings Finance SA 12.25% 7/15/17 pay-in-kind (g)(j)
|
|
2,219,831
|
|
2,239,193
|
Zhaikmunai Finance BV 10.5% 10/19/15 (g)
|
|
1,335,000
|
|
1,428,450
|
|
|
316,755,306
|
Insurance - 1.7%
|
Allstate Corp. 6.2% 5/16/14
|
|
6,893,000
|
|
7,260,404
|
American International Group, Inc. 4.875% 9/15/16
|
|
7,990,000
|
|
8,852,177
|
Aon Corp.:
|
|
|
|
|
3.125% 5/27/16
|
|
11,274,000
|
|
11,886,934
|
3.5% 9/30/15
|
|
4,451,000
|
|
4,695,556
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Insurance - continued
|
Aon Corp.: - continued
|
|
|
|
|
5% 9/30/20
|
|
$ 3,854,000
|
|
$ 4,397,510
|
Axis Capital Holdings Ltd. 5.75% 12/1/14
|
|
558,000
|
|
595,405
|
Great-West Life & Annuity Insurance Co. 7.153% 5/16/46 (g)(j)
|
|
1,859,000
|
|
1,970,540
|
Hartford Financial Services Group, Inc.:
|
|
|
|
|
5.125% 4/15/22
|
|
12,729,000
|
|
14,531,197
|
5.375% 3/15/17
|
|
194,000
|
|
218,473
|
Liberty Mutual Group, Inc.:
|
|
|
|
|
5% 6/1/21 (g)
|
|
12,644,000
|
|
13,780,076
|
6.5% 3/15/35 (g)
|
|
1,741,000
|
|
2,002,176
|
Marsh & McLennan Companies, Inc. 4.8% 7/15/21
|
|
7,090,000
|
|
8,003,802
|
Massachusetts Mutual Life Insurance Co. 5.375% 12/1/41 (g)
|
|
7,139,000
|
|
8,040,749
|
MetLife, Inc.:
|
|
|
|
|
1.756% 12/15/17 (e)
|
|
6,082,000
|
|
6,129,215
|
3.048% 12/15/22
|
|
12,433,000
|
|
12,206,782
|
4.75% 2/8/21
|
|
4,032,000
|
|
4,577,139
|
5% 6/15/15
|
|
1,163,000
|
|
1,260,216
|
6.75% 6/1/16
|
|
7,610,000
|
|
8,863,702
|
Metropolitan Life Global Funding I 3% 1/10/23 (g)
|
|
7,896,000
|
|
7,791,323
|
Northwestern Mutual Life Insurance Co. 6.063% 3/30/40 (g)
|
|
6,155,000
|
|
7,559,140
|
Pacific Life Insurance Co. 9.25% 6/15/39 (g)
|
|
7,041,000
|
|
10,125,155
|
Pacific LifeCorp:
|
|
|
|
|
5.125% 1/30/43 (g)
|
|
12,679,000
|
|
12,521,806
|
6% 2/10/20 (g)
|
|
12,654,000
|
|
14,329,162
|
Prudential Financial, Inc.:
|
|
|
|
|
4.5% 11/16/21
|
|
6,390,000
|
|
7,009,939
|
5.8% 11/16/41
|
|
8,381,000
|
|
9,649,448
|
6.2% 11/15/40
|
|
4,318,000
|
|
5,267,209
|
7.375% 6/15/19
|
|
3,230,000
|
|
4,118,870
|
Symetra Financial Corp. 6.125% 4/1/16 (g)
|
|
6,375,000
|
|
7,000,859
|
Unum Group:
|
|
|
|
|
5.625% 9/15/20
|
|
8,386,000
|
|
9,555,797
|
5.75% 8/15/42
|
|
16,937,000
|
|
18,606,209
|
7.125% 9/30/16
|
|
587,000
|
|
681,097
|
|
|
233,488,067
|
Real Estate Investment Trusts - 1.2%
|
Alexandria Real Estate Equities, Inc. 4.6% 4/1/22
|
|
4,025,000
|
|
4,307,008
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Real Estate Investment Trusts - continued
|
American Campus Communities Operating Partnership LP 3.75% 4/15/23
|
|
$ 3,491,000
|
|
$ 3,464,936
|
Boston Properties, Inc. 3.85% 2/1/23
|
|
14,583,000
|
|
15,118,123
|
BRE Properties, Inc. 5.5% 3/15/17
|
|
1,751,000
|
|
1,968,241
|
Camden Property Trust:
|
|
|
|
|
2.95% 12/15/22
|
|
4,796,000
|
|
4,598,496
|
5.375% 12/15/13
|
|
4,073,000
|
|
4,171,501
|
DDR Corp. 4.625% 7/15/22
|
|
8,808,000
|
|
9,424,983
|
Developers Diversified Realty Corp.:
|
|
|
|
|
4.75% 4/15/18
|
|
11,273,000
|
|
12,471,534
|
7.5% 4/1/17
|
|
5,574,000
|
|
6,624,448
|
7.875% 9/1/20
|
|
323,000
|
|
411,675
|
9.625% 3/15/16
|
|
3,691,000
|
|
4,464,445
|
Duke Realty LP:
|
|
|
|
|
3.625% 4/15/23
|
|
6,287,000
|
|
6,150,641
|
3.875% 10/15/22
|
|
10,326,000
|
|
10,344,845
|
4.375% 6/15/22
|
|
7,323,000
|
|
7,623,331
|
5.4% 8/15/14
|
|
6,199,000
|
|
6,514,789
|
5.95% 2/15/17
|
|
1,109,000
|
|
1,254,989
|
6.5% 1/15/18
|
|
3,795,000
|
|
4,466,973
|
6.75% 3/15/20
|
|
10,379,000
|
|
12,438,816
|
8.25% 8/15/19
|
|
75,000
|
|
96,622
|
Equity One, Inc.:
|
|
|
|
|
3.75% 11/15/22
|
|
18,100,000
|
|
17,899,579
|
5.375% 10/15/15
|
|
1,403,000
|
|
1,523,596
|
6% 9/15/17
|
|
1,212,000
|
|
1,382,079
|
6.25% 1/15/17
|
|
1,027,000
|
|
1,166,083
|
Federal Realty Investment Trust:
|
|
|
|
|
5.4% 12/1/13
|
|
441,000
|
|
451,163
|
5.9% 4/1/20
|
|
2,504,000
|
|
2,975,891
|
6.2% 1/15/17
|
|
620,000
|
|
714,527
|
Health Care REIT, Inc. 2.25% 3/15/18
|
|
5,151,000
|
|
5,193,187
|
Highwoods/Forsyth LP 5.85% 3/15/17
|
|
615,000
|
|
685,604
|
HRPT Properties Trust:
|
|
|
|
|
5.75% 11/1/15
|
|
2,386,000
|
|
2,534,230
|
6.25% 6/15/17
|
|
1,232,000
|
|
1,340,603
|
6.65% 1/15/18
|
|
867,000
|
|
961,298
|
MPT Operating Partnership LP/MPT Finance Corp. 6.875% 5/1/21
|
|
1,760,000
|
|
1,944,800
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Real Estate Investment Trusts - continued
|
Omega Healthcare Investors, Inc.:
|
|
|
|
|
5.875% 3/15/24
|
|
$ 290,000
|
|
$ 311,750
|
6.75% 10/15/22
|
|
1,690,000
|
|
1,842,100
|
Senior Housing Properties Trust 6.75% 4/15/20
|
|
250,000
|
|
283,606
|
UDR, Inc. 5.5% 4/1/14
|
|
5,222,000
|
|
5,411,224
|
Washington (REIT) 5.25% 1/15/14
|
|
322,000
|
|
329,063
|
Weingarten Realty Investors 3.375% 10/15/22
|
|
2,729,000
|
|
2,644,363
|
|
|
165,511,142
|
Real Estate Management & Development - 1.9%
|
AMB Property LP 5.9% 8/15/13
|
|
2,580,000
|
|
2,605,134
|
BioMed Realty LP:
|
|
|
|
|
3.85% 4/15/16
|
|
11,000,000
|
|
11,657,877
|
4.25% 7/15/22
|
|
5,809,000
|
|
6,039,164
|
6.125% 4/15/20
|
|
3,429,000
|
|
3,982,482
|
Brandywine Operating Partnership LP:
|
|
|
|
|
3.95% 2/15/23
|
|
12,775,000
|
|
12,671,178
|
4.95% 4/15/18
|
|
8,951,000
|
|
9,820,509
|
5.7% 5/1/17
|
|
7,049,000
|
|
7,864,259
|
7.5% 5/15/15
|
|
1,584,000
|
|
1,768,883
|
CB Richard Ellis Services, Inc.:
|
|
|
|
|
5% 3/15/23
|
|
1,120,000
|
|
1,117,200
|
6.625% 10/15/20
|
|
1,175,000
|
|
1,269,000
|
Colonial Realty LP 6.05% 9/1/16
|
|
2,000,000
|
|
2,242,766
|
Digital Realty Trust LP:
|
|
|
|
|
4.5% 7/15/15
|
|
4,981,000
|
|
5,265,859
|
5.25% 3/15/21
|
|
5,708,000
|
|
6,353,523
|
ERP Operating LP:
|
|
|
|
|
4.625% 12/15/21
|
|
17,159,000
|
|
18,910,865
|
4.75% 7/15/20
|
|
7,700,000
|
|
8,598,498
|
5.25% 9/15/14
|
|
1,310,000
|
|
1,384,914
|
5.375% 8/1/16
|
|
2,768,000
|
|
3,120,253
|
5.75% 6/15/17
|
|
14,407,000
|
|
16,658,180
|
Forest City Enterprises, Inc. 6.5% 2/1/17
|
|
450,000
|
|
447,750
|
Host Hotels & Resorts LP:
|
|
|
|
|
4.75% 3/1/23
|
|
150,000
|
|
158,686
|
5.875% 6/15/19
|
|
150,000
|
|
165,000
|
6% 11/1/20
|
|
105,000
|
|
117,075
|
Liberty Property LP:
|
|
|
|
|
3.375% 6/15/23
|
|
6,574,000
|
|
6,390,388
|
4.125% 6/15/22
|
|
6,280,000
|
|
6,521,133
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
FINANCIALS - continued
|
Real Estate Management & Development - continued
|
Liberty Property LP: - continued
|
|
|
|
|
4.75% 10/1/20
|
|
$ 11,282,000
|
|
$ 12,395,127
|
5.125% 3/2/15
|
|
1,405,000
|
|
1,493,665
|
5.5% 12/15/16
|
|
1,891,000
|
|
2,120,906
|
6.625% 10/1/17
|
|
4,835,000
|
|
5,664,821
|
Mack-Cali Realty LP:
|
|
|
|
|
2.5% 12/15/17
|
|
9,223,000
|
|
9,287,804
|
3.15% 5/15/23
|
|
14,735,000
|
|
13,806,503
|
4.5% 4/18/22
|
|
4,072,000
|
|
4,278,882
|
7.75% 8/15/19
|
|
700,000
|
|
885,826
|
Post Apartment Homes LP 3.375% 12/1/22
|
|
2,570,000
|
|
2,544,038
|
Prime Property Funding, Inc.:
|
|
|
|
|
5.125% 6/1/15 (g)
|
|
2,806,000
|
|
2,946,515
|
5.5% 1/15/14 (g)
|
|
867,000
|
|
884,523
|
5.7% 4/15/17 (g)
|
|
2,115,000
|
|
2,308,093
|
Reckson Operating Partnership LP 6% 3/31/16
|
|
3,651,000
|
|
4,007,747
|
Regency Centers LP:
|
|
|
|
|
4.95% 4/15/14
|
|
611,000
|
|
631,447
|
5.25% 8/1/15
|
|
6,456,000
|
|
6,997,077
|
5.875% 6/15/17
|
|
2,874,000
|
|
3,267,304
|
Simon Property Group LP:
|
|
|
|
|
2.75% 2/1/23
|
|
8,237,000
|
|
7,956,851
|
2.8% 1/30/17
|
|
2,603,000
|
|
2,717,675
|
4.125% 12/1/21
|
|
7,287,000
|
|
7,958,993
|
4.2% 2/1/15
|
|
3,659,000
|
|
3,838,130
|
Tanger Properties LP:
|
|
|
|
|
6.125% 6/1/20
|
|
14,318,000
|
|
17,279,478
|
6.15% 11/15/15
|
|
1,777,000
|
|
2,000,015
|
Ventas Realty LP/Ventas Capital Corp.:
|
|
|
|
|
2% 2/15/18
|
|
8,050,000
|
|
8,032,580
|
4.25% 3/1/22
|
|
300,000
|
|
317,959
|
|
|
258,752,535
|
Thrifts & Mortgage Finance - 0.0%
|
Wrightwood Capital LLC 1.9% 4/20/20 (c)
|
|
101,370
|
|
77,548
|
TOTAL FINANCIALS
|
|
1,519,912,071
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
HEALTH CARE - 1.7%
|
Biotechnology - 0.1%
|
Amgen, Inc. 5.15% 11/15/41
|
|
$ 12,000,000
|
|
$ 12,763,104
|
Celgene Corp. 2.45% 10/15/15
|
|
613,000
|
|
633,337
|
|
|
13,396,441
|
Health Care Equipment & Supplies - 0.0%
|
Aviv Healthcare Properties LP/Aviv Healthcare Capital Corp. 7.75% 2/15/19
|
|
435,000
|
|
475,238
|
DJO Finance LLC/DJO Finance Corp.:
|
|
|
|
|
7.75% 4/15/18
|
|
925,000
|
|
957,375
|
8.75% 3/15/18
|
|
85,000
|
|
94,775
|
9.875% 4/15/18
|
|
1,180,000
|
|
1,298,000
|
|
|
2,825,388
|
Health Care Providers & Services - 1.1%
|
Aetna, Inc.:
|
|
|
|
|
1.5% 11/15/17
|
|
1,703,000
|
|
1,691,512
|
2.75% 11/15/22
|
|
6,873,000
|
|
6,589,406
|
4.125% 11/15/42
|
|
3,837,000
|
|
3,587,380
|
Coventry Health Care, Inc.:
|
|
|
|
|
5.95% 3/15/17
|
|
1,747,000
|
|
2,003,138
|
6.3% 8/15/14
|
|
3,618,000
|
|
3,848,007
|
DaVita, Inc. 5.75% 8/15/22
|
|
1,625,000
|
|
1,730,625
|
Emergency Medical Services Corp. 8.125% 6/1/19
|
|
4,610,000
|
|
5,024,900
|
Express Scripts Holding Co. 4.75% 11/15/21
|
|
22,009,000
|
|
24,634,740
|
Express Scripts, Inc. 3.125% 5/15/16
|
|
10,525,000
|
|
11,109,695
|
Fresenius Medical Care US Finance II, Inc. 5.625% 7/31/19 (g)
|
|
2,655,000
|
|
2,913,863
|
HealthSouth Corp.:
|
|
|
|
|
5.75% 11/1/24
|
|
1,040,000
|
|
1,076,400
|
7.25% 10/1/18
|
|
2,970,000
|
|
3,229,875
|
Legend Acquisition Sub, Inc. 10.75% 8/15/20 (g)
|
|
1,070,000
|
|
909,500
|
Medco Health Solutions, Inc.:
|
|
|
|
|
2.75% 9/15/15
|
|
1,176,000
|
|
1,220,492
|
4.125% 9/15/20
|
|
7,486,000
|
|
8,037,239
|
Sabra Health Care LP/Sabra Capital Corp.:
|
|
|
|
|
5.375% 6/1/23
|
|
450,000
|
|
457,335
|
8.125% 11/1/18
|
|
2,580,000
|
|
2,805,750
|
UnitedHealth Group, Inc.:
|
|
|
|
|
1.625% 3/15/19
|
|
3,733,000
|
|
3,677,431
|
2.75% 2/15/23
|
|
2,398,000
|
|
2,320,099
|
2.875% 3/15/23
|
|
16,114,000
|
|
15,715,050
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
HEALTH CARE - continued
|
Health Care Providers & Services - continued
|
UnitedHealth Group, Inc.: - continued
|
|
|
|
|
3.95% 10/15/42
|
|
$ 3,284,000
|
|
$ 3,017,727
|
4.25% 3/15/43
|
|
9,000,000
|
|
8,665,020
|
WellPoint, Inc.:
|
|
|
|
|
3.3% 1/15/23
|
|
14,208,000
|
|
14,124,826
|
4.65% 1/15/43
|
|
15,226,000
|
|
15,158,488
|
|
|
143,548,498
|
Pharmaceuticals - 0.5%
|
AbbVie, Inc.:
|
|
|
|
|
1.75% 11/6/17 (g)
|
|
13,509,000
|
|
13,475,795
|
2.9% 11/6/22 (g)
|
|
13,855,000
|
|
13,495,906
|
4.4% 11/6/42 (g)
|
|
13,532,000
|
|
13,253,647
|
Elan Finance PLC/Elan Finance Corp. 6.25% 6/15/21 (g)
|
|
1,830,000
|
|
1,839,150
|
Valeant Pharmaceuticals International:
|
|
|
|
|
6.5% 7/15/16 (g)
|
|
3,820,000
|
|
3,953,700
|
6.875% 12/1/18 (g)
|
|
3,440,000
|
|
3,672,200
|
VPI Escrow Corp. 6.375% 10/15/20 (g)
|
|
3,525,000
|
|
3,710,063
|
Watson Pharmaceuticals, Inc.:
|
|
|
|
|
1.875% 10/1/17
|
|
4,757,000
|
|
4,728,929
|
5% 8/15/14
|
|
720,000
|
|
753,271
|
Zoetis, Inc.:
|
|
|
|
|
1.875% 2/1/18 (g)
|
|
2,006,000
|
|
2,010,170
|
3.25% 2/1/23 (g)
|
|
4,892,000
|
|
4,847,395
|
4.7% 2/1/43 (g)
|
|
4,907,000
|
|
4,901,239
|
|
|
70,641,465
|
TOTAL HEALTH CARE
|
|
230,411,792
|
INDUSTRIALS - 1.2%
|
Aerospace & Defense - 0.3%
|
BAE Systems Holdings, Inc.:
|
|
|
|
|
4.95% 6/1/14 (g)
|
|
572,000
|
|
594,212
|
6.375% 6/1/19 (g)
|
|
8,071,000
|
|
9,545,289
|
DigitalGlobe, Inc. 5.25% 2/1/21 (g)
|
|
2,990,000
|
|
2,990,000
|
GenCorp, Inc. 7.125% 3/15/21 (g)
|
|
420,000
|
|
449,400
|
Huntington Ingalls Industries, Inc. 7.125% 3/15/21
|
|
460,000
|
|
504,850
|
TransDigm, Inc. 5.5% 10/15/20 (g)
|
|
2,800,000
|
|
2,898,000
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
INDUSTRIALS - continued
|
Aerospace & Defense - continued
|
Triumph Group, Inc. 4.875% 4/1/21 (g)
|
|
$ 1,040,000
|
|
$ 1,060,800
|
United Technologies Corp. 4.5% 6/1/42
|
|
13,132,000
|
|
13,593,616
|
|
|
31,636,167
|
Airlines - 0.2%
|
Air Canada:
|
|
|
|
|
5.375% 11/15/22 (g)
|
|
250,000
|
|
258,750
|
6.625% 5/15/18 (g)
|
|
1,465,000
|
|
1,501,332
|
12% 2/1/16 (g)
|
|
1,785,000
|
|
1,950,113
|
American Airlines, Inc. pass-thru certificates Series 2013-1B Class B, 5.625% 1/15/21 (g)
|
|
235,000
|
|
240,875
|
Continental Airlines, Inc.:
|
|
|
|
|
pass-thru trust certificates 9.798% 4/1/21
|
|
309,077
|
|
356,983
|
6.125% 4/29/18 (g)
|
|
240,000
|
|
252,000
|
6.648% 3/15/19
|
|
2,208,330
|
|
2,398,908
|
6.75% 9/15/15 (g)
|
|
2,655,000
|
|
2,775,803
|
6.9% 7/2/19
|
|
788,147
|
|
859,080
|
9.25% 5/10/17
|
|
2,043,527
|
|
2,298,968
|
Delta Air Lines, Inc. pass-thru trust certificates:
|
|
|
|
|
6.375% 1/2/16
|
|
1,515,000
|
|
1,583,175
|
6.75% 11/23/15
|
|
1,515,000
|
|
1,598,325
|
8.954% 8/10/14
|
|
1,618,660
|
|
1,700,564
|
Hawaiian Airlines pass-thru certificates:
|
|
|
|
|
Series 2013-1 Class A, 3.9% 1/15/26
|
|
445,000
|
|
439,438
|
Series 2013-1 Class B, 4.95% 1/15/22
|
|
450,000
|
|
446,625
|
Northwest Airlines, Inc. pass-thru trust certificates 8.028% 11/1/17
|
|
573,502
|
|
615,081
|
U.S. Airways pass-thru Trust Series 2013-1:
|
|
|
|
|
Class A, 3.95% 5/15/27
|
|
815,000
|
|
815,000
|
Class B, 5.375% 5/15/23
|
|
335,000
|
|
344,213
|
U.S. Airways pass-thru trust certificates:
|
|
|
|
|
6.85% 1/30/18
|
|
1,617,150
|
|
1,698,008
|
8.36% 1/20/19
|
|
1,334,540
|
|
1,501,358
|
United Air Lines, Inc. pass-thru trust certificates:
|
|
|
|
|
Class B, 7.336% 7/2/19
|
|
749,105
|
|
799,670
|
12% 1/15/16 (g)
|
|
504,496
|
|
567,558
|
United Continental Holdings, Inc. 6.375% 6/1/18
|
|
140,000
|
|
143,150
|
US Airways 2012-2C Pass Through Trust equipment trust certificate 5.45% 6/3/18 (i)
|
|
1,690,000
|
|
1,690,000
|
US Airways Group, Inc. 6.125% 6/1/18
|
|
1,480,000
|
|
1,441,150
|
|
|
28,276,127
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
INDUSTRIALS - continued
|
Building Products - 0.1%
|
Building Materials Corp. of America:
|
|
|
|
|
6.75% 5/1/21 (g)
|
|
$ 2,030,000
|
|
$ 2,197,475
|
6.875% 8/15/18 (g)
|
|
3,715,000
|
|
3,965,763
|
HD Supply, Inc.:
|
|
|
|
|
7.5% 7/15/20 (g)
|
|
2,100,000
|
|
2,226,000
|
8.125% 4/15/19
|
|
1,890,000
|
|
2,097,900
|
10.5% 1/15/21
|
|
440,000
|
|
457,600
|
Masco Corp. 5.95% 3/15/22
|
|
740,000
|
|
824,996
|
USG Corp. 7.875% 3/30/20 (g)
|
|
675,000
|
|
758,953
|
|
|
12,528,687
|
Commercial Services & Supplies - 0.1%
|
ADS Waste Holdings, Inc. 8.25% 10/1/20 (g)
|
|
2,080,000
|
|
2,225,600
|
APX Group, Inc.:
|
|
|
|
|
6.375% 12/1/19 (g)
|
|
2,090,000
|
|
2,090,000
|
8.75% 12/1/20 (g)
|
|
3,045,000
|
|
3,113,513
|
ARAMARK Corp. 5.75% 3/15/20 (g)
|
|
800,000
|
|
828,000
|
Clean Harbors, Inc.:
|
|
|
|
|
5.125% 6/1/21
|
|
430,000
|
|
442,900
|
5.25% 8/1/20
|
|
1,305,000
|
|
1,360,463
|
Covanta Holding Corp. 7.25% 12/1/20
|
|
3,730,000
|
|
4,075,100
|
LBC Tank Terminals Holding Netherlands BV 6.875% 5/15/23 (g)
|
|
200,000
|
|
207,750
|
Tervita Corp.:
|
|
|
|
|
8% 11/15/18 (g)
|
|
610,000
|
|
631,350
|
9.75% 11/1/19 (g)
|
|
1,395,000
|
|
1,342,688
|
|
|
16,317,364
|
Construction & Engineering - 0.1%
|
Amsted Industries, Inc. 8.125% 3/15/18 (g)
|
|
1,850,000
|
|
1,974,875
|
MasTec, Inc. 4.875% 3/15/23
|
|
1,255,000
|
|
1,233,038
|
Odebrecht Finance Ltd. 7.5% (g)(h)
|
|
2,780,000
|
|
2,938,460
|
|
|
6,146,373
|
Electrical Equipment - 0.0%
|
Instituto Costarricense de Electricidad 6.95% 11/10/21 (g)
|
|
600,000
|
|
672,000
|
Industrial Conglomerates - 0.2%
|
General Electric Co.:
|
|
|
|
|
4.125% 10/9/42
|
|
11,115,000
|
|
10,636,444
|
5.25% 12/6/17
|
|
17,730,000
|
|
20,498,912
|
|
|
31,135,356
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
INDUSTRIALS - continued
|
Machinery - 0.0%
|
Schaeffler Finance BV 4.75% 5/15/21 (g)
|
|
$ 710,000
|
|
$ 695,800
|
Marine - 0.0%
|
Navios Maritime Holdings, Inc. 8.875% 11/1/17
|
|
1,980,000
|
|
2,086,524
|
Navios South American Logisitcs, Inc./Navios Logistics Finance U.S., Inc. 9.25% 4/15/19 (g)
|
|
200,000
|
|
217,500
|
Ultrapetrol (Bahamas) Ltd. 8.875% 6/15/21 (g)
|
|
480,000
|
|
488,400
|
|
|
2,792,424
|
Professional Services - 0.0%
|
FTI Consulting, Inc.:
|
|
|
|
|
6% 11/15/22 (g)
|
|
875,000
|
|
926,363
|
6.75% 10/1/20
|
|
2,835,000
|
|
3,019,275
|
|
|
3,945,638
|
Road & Rail - 0.1%
|
Hertz Corp.:
|
|
|
|
|
4.25% 4/1/18 (g)
|
|
1,485,000
|
|
1,518,413
|
6.75% 4/15/19
|
|
2,955,000
|
|
3,209,869
|
7.5% 10/15/18
|
|
2,465,000
|
|
2,686,850
|
JSC Georgian Railway 7.75% 7/11/22 (g)
|
|
650,000
|
|
754,000
|
Shortline PLC 9.5% 5/21/18 (g)
|
|
400,000
|
|
397,520
|
|
|
8,566,652
|
Trading Companies & Distributors - 0.1%
|
Aircastle Ltd.:
|
|
|
|
|
6.25% 12/1/19
|
|
830,000
|
|
898,475
|
6.75% 4/15/17
|
|
1,410,000
|
|
1,551,000
|
9.75% 8/1/18
|
|
840,000
|
|
949,200
|
International Lease Finance Corp.:
|
|
|
|
|
3.875% 4/15/18
|
|
1,020,000
|
|
1,022,550
|
4.625% 4/15/21
|
|
955,000
|
|
947,838
|
5.75% 5/15/16
|
|
1,330,000
|
|
1,425,534
|
5.875% 8/15/22
|
|
1,575,000
|
|
1,681,313
|
6.25% 5/15/19
|
|
1,640,000
|
|
1,791,700
|
8.625% 9/15/15
|
|
830,000
|
|
933,750
|
8.75% 3/15/17
|
|
3,700,000
|
|
4,375,250
|
8.875% 9/1/17
|
|
1,665,000
|
|
2,002,163
|
NES Rentals Holdings, Inc. 7.875% 5/1/18 (g)
|
|
220,000
|
|
226,050
|
|
|
17,804,823
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
INDUSTRIALS - continued
|
Transportation Infrastructure - 0.0%
|
Aeropuertos Argentina 2000 SA 10.75% 12/1/20 (g)
|
|
$ 1,500,590
|
|
$ 1,410,555
|
TOTAL INDUSTRIALS
|
|
161,927,966
|
INFORMATION TECHNOLOGY - 0.5%
|
Communications Equipment - 0.0%
|
Brocade Communications Systems, Inc. 4.625% 1/15/23 (g)
|
|
1,600,000
|
|
1,544,000
|
Lucent Technologies, Inc.:
|
|
|
|
|
6.45% 3/15/29
|
|
1,250,000
|
|
1,003,125
|
6.5% 1/15/28
|
|
1,547,000
|
|
1,229,865
|
|
|
3,776,990
|
Computers & Peripherals - 0.1%
|
Apple, Inc. 3.85% 5/4/43
|
|
16,120,000
|
|
14,836,268
|
NCR Corp. 4.625% 2/15/21
|
|
1,665,000
|
|
1,648,350
|
Seagate HDD Cayman 4.75% 6/1/23 (g)
|
|
1,170,000
|
|
1,134,900
|
|
|
17,619,518
|
Electronic Equipment & Components - 0.1%
|
Flextronics International Ltd. 4.625% 2/15/20 (g)
|
|
1,430,000
|
|
1,440,725
|
Sanmina-SCI Corp. 7% 5/15/19 (g)
|
|
4,125,000
|
|
4,382,813
|
Tyco Electronics Group SA:
|
|
|
|
|
5.95% 1/15/14
|
|
3,835,000
|
|
3,957,287
|
6.55% 10/1/17
|
|
1,383,000
|
|
1,628,574
|
|
|
11,409,399
|
Internet Software & Services - 0.1%
|
Equinix, Inc.:
|
|
|
|
|
4.875% 4/1/20
|
|
720,000
|
|
732,600
|
5.375% 4/1/23
|
|
585,000
|
|
604,013
|
IAC/InterActiveCorp 4.75% 12/15/22 (g)
|
|
3,940,000
|
|
3,861,200
|
VeriSign, Inc. 4.625% 5/1/23 (g)
|
|
1,560,000
|
|
1,567,800
|
|
|
6,765,613
|
IT Services - 0.1%
|
Ceridian Corp. 11.25% 11/15/15
|
|
2,090,000
|
|
2,152,700
|
Compiler Finance Sub, Inc. 7% 5/1/21 (g)
|
|
1,050,000
|
|
1,050,000
|
First Data Corp.:
|
|
|
|
|
6.75% 11/1/20 (g)
|
|
2,685,000
|
|
2,805,825
|
7.375% 6/15/19 (g)
|
|
700,000
|
|
736,750
|
12.625% 1/15/21
|
|
2,840,000
|
|
3,102,700
|
NeuStar, Inc. 4.5% 1/15/23 (g)
|
|
1,400,000
|
|
1,365,000
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
INFORMATION TECHNOLOGY - continued
|
IT Services - continued
|
WideOpenWest Finance LLC/WideOpenWest Capital Corp.:
|
|
|
|
|
10.25% 7/15/19
|
|
$ 1,400,000
|
|
$ 1,578,500
|
13.375% 10/15/19
|
|
750,000
|
|
877,500
|
|
|
13,668,975
|
Office Electronics - 0.0%
|
Xerox Corp. 4.25% 2/15/15
|
|
368,000
|
|
386,612
|
Semiconductors & Semiconductor Equipment - 0.1%
|
NXP BV/NXP Funding LLC:
|
|
|
|
|
3.75% 6/1/18 (g)
|
|
805,000
|
|
788,900
|
5.75% 2/15/21 (g)
|
|
1,535,000
|
|
1,611,750
|
Spansion LLC 7.875% 11/15/17
|
|
3,465,000
|
|
3,568,950
|
STATS ChipPAC Ltd. 4.5% 3/20/18 (g)
|
|
575,000
|
|
572,125
|
Viasystems, Inc. 7.875% 5/1/19 (g)
|
|
925,000
|
|
989,750
|
|
|
7,531,475
|
Software - 0.0%
|
Nuance Communications, Inc. 5.375% 8/15/20 (g)
|
|
3,875,000
|
|
3,904,063
|
TOTAL INFORMATION TECHNOLOGY
|
|
65,062,645
|
MATERIALS - 1.0%
|
Chemicals - 0.3%
|
Ashland, Inc.:
|
|
|
|
|
3% 3/15/16 (g)
|
|
550,000
|
|
554,813
|
3.875% 4/15/18 (g)
|
|
1,115,000
|
|
1,142,875
|
Axiall Corp. 4.875% 5/15/23 (g)
|
|
800,000
|
|
804,000
|
Celanese U.S. Holdings LLC:
|
|
|
|
|
4.625% 11/15/22
|
|
755,000
|
|
779,538
|
6.625% 10/15/18
|
|
1,935,000
|
|
2,112,053
|
Eagle Spinco, Inc. 4.625% 2/15/21 (g)
|
|
380,000
|
|
383,800
|
Hexion U.S. Finance Corp. 6.625% 4/15/20 (g)
|
|
1,655,000
|
|
1,721,200
|
INEOS Finance PLC 8.375% 2/15/19 (g)
|
|
1,795,000
|
|
2,001,425
|
Kinove German Bondco GmbH 9.625% 6/15/18 (g)
|
|
1,050,000
|
|
1,168,125
|
Nufarm Australia Ltd. 6.375% 10/15/19 (g)
|
|
820,000
|
|
854,850
|
Rockwood Specialties Group, Inc. 4.625% 10/15/20
|
|
1,425,000
|
|
1,446,375
|
The Dow Chemical Co.:
|
|
|
|
|
4.125% 11/15/21
|
|
10,888,000
|
|
11,592,127
|
4.25% 11/15/20
|
|
5,898,000
|
|
6,472,748
|
4.375% 11/15/42
|
|
4,972,000
|
|
4,657,675
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
MATERIALS - continued
|
Chemicals - continued
|
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc. 8.75% 2/1/19 (g)
|
|
$ 2,425,000
|
|
$ 2,400,750
|
Tronox Finance LLC 6.375% 8/15/20 (g)
|
|
1,725,000
|
|
1,694,813
|
|
|
39,787,167
|
Construction Materials - 0.1%
|
CRH America, Inc. 6% 9/30/16
|
|
2,286,000
|
|
2,594,036
|
Headwaters, Inc. 7.625% 4/1/19
|
|
1,235,000
|
|
1,324,538
|
Rearden G Holdings Eins GmbH 7.875% 3/30/20 (g)
|
|
790,000
|
|
855,175
|
Texas Industries, Inc. 9.25% 8/15/20
|
|
2,670,000
|
|
2,957,025
|
|
|
7,730,774
|
Containers & Packaging - 0.1%
|
Ardagh Packaging Finance PLC 7.375% 10/15/17 (g)
|
|
2,700,000
|
|
2,936,250
|
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc.:
|
|
|
|
|
7% 11/15/20 (g)
|
|
425,000
|
|
437,750
|
7.375% 10/15/17 (g)
|
|
200,000
|
|
217,000
|
Ball Corp. 4% 11/15/23
|
|
1,730,000
|
|
1,656,475
|
BOE Intermediate Holding Corp. 9.75% 11/1/17 pay-in-kind (g)
|
|
220,000
|
|
214,528
|
Crown Americas LLC/Crown Americas Capital Corp. IV 4.5% 1/15/23 (g)
|
|
4,830,000
|
|
4,721,325
|
Graphic Packaging International, Inc. 4.75% 4/15/21
|
|
225,000
|
|
226,688
|
Sappi Papier Holding GmbH:
|
|
|
|
|
6.625% 4/15/21 (g)
|
|
1,925,000
|
|
1,963,500
|
7.75% 7/15/17 (g)
|
|
1,240,000
|
|
1,351,600
|
Sealed Air Corp.:
|
|
|
|
|
6.5% 12/1/20 (g)
|
|
615,000
|
|
684,188
|
8.125% 9/15/19 (g)
|
|
2,390,000
|
|
2,700,700
|
|
|
17,110,004
|
Metals & Mining - 0.5%
|
Alrosa Finance SA 7.75% 11/3/20 (g)
|
|
900,000
|
|
1,028,250
|
Anglo American Capital PLC 9.375% 4/8/14 (g)
|
|
6,817,000
|
|
7,288,920
|
Bluescope Steel Ltd./Bluescope Steel Finance 7.125% 5/1/18 (g)
|
|
150,000
|
|
156,750
|
Boart Longyear Management Pty Ltd. 7% 4/1/21 (g)
|
|
1,215,000
|
|
1,202,850
|
Corporacion Nacional del Cobre de Chile (Codelco) 3.875% 11/3/21 (g)
|
|
11,456,000
|
|
11,765,553
|
EVRAZ Group SA:
|
|
|
|
|
6.5% 4/22/20 (g)
|
|
555,000
|
|
536,963
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
MATERIALS - continued
|
Metals & Mining - continued
|
EVRAZ Group SA: - continued
|
|
|
|
|
8.25% 11/10/15 (g)
|
|
$ 1,905,000
|
|
$ 2,062,163
|
9.5% 4/24/18 (Reg. S)
|
|
750,000
|
|
834,375
|
FMG Resources (August 2006) Pty Ltd.:
|
|
|
|
|
6.375% 2/1/16 (g)
|
|
1,710,000
|
|
1,744,200
|
7% 11/1/15 (g)
|
|
4,165,000
|
|
4,289,950
|
Gold Fields Orogen Holding BVI Ltd. 4.875% 10/7/20 (g)
|
|
1,055,000
|
|
981,150
|
JMC Steel Group, Inc. 8.25% 3/15/18 (g)
|
|
3,010,000
|
|
3,047,625
|
Metinvest BV 10.25% 5/20/15 (g)
|
|
1,085,000
|
|
1,161,493
|
Mongolian Mining Corp. 8.875% 3/29/17 (g)
|
|
575,000
|
|
546,250
|
Nord Gold NV 6.375% 5/7/18 (g)
|
|
580,000
|
|
566,950
|
Polyus Gold International Ltd. 5.625% 4/29/20 (g)
|
|
1,045,000
|
|
1,063,288
|
Severstal Columbus LLC 10.25% 2/15/18
|
|
5,710,000
|
|
6,138,250
|
Southern Copper Corp.:
|
|
|
|
|
6.75% 4/16/40
|
|
920,000
|
|
961,682
|
7.5% 7/27/35
|
|
810,000
|
|
926,964
|
Steel Dynamics, Inc.:
|
|
|
|
|
5.25% 4/15/23 (g)
|
|
1,570,000
|
|
1,632,800
|
6.125% 8/15/19 (g)
|
|
1,850,000
|
|
2,021,125
|
7.625% 3/15/20
|
|
1,290,000
|
|
1,419,000
|
Vale Overseas Ltd.:
|
|
|
|
|
4.375% 1/11/22
|
|
12,000,000
|
|
11,934,960
|
6.25% 1/23/17
|
|
5,581,000
|
|
6,341,249
|
Walter Energy, Inc. 8.5% 4/15/21 (g)
|
|
1,675,000
|
|
1,691,750
|
|
|
71,344,510
|
Paper & Forest Products - 0.0%
|
Emerald Plantation Holdings Ltd. 6% 1/30/20 pay-in-kind (j)
|
|
228,944
|
|
149,958
|
Sino-Forest Corp. 6.25% 10/21/17 (c)(g)
|
|
1,365,000
|
|
0
|
|
|
149,958
|
TOTAL MATERIALS
|
|
136,122,413
|
TELECOMMUNICATION SERVICES - 1.5%
|
Diversified Telecommunication Services - 0.9%
|
Alestra SA de RL de CV 11.75% 8/11/14
|
|
785,000
|
|
863,500
|
Altice Financing SA 7.875% 12/15/19 (g)
|
|
320,000
|
|
354,000
|
Altice Finco SA 9.875% 12/15/20 (g)
|
|
1,205,000
|
|
1,367,675
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
TELECOMMUNICATION SERVICES - continued
|
Diversified Telecommunication Services - continued
|
AT&T, Inc.:
|
|
|
|
|
4.35% 6/15/45 (g)
|
|
$ 758,000
|
|
$ 705,173
|
5.35% 9/1/40
|
|
4,006,000
|
|
4,295,946
|
5.55% 8/15/41
|
|
35,646,000
|
|
39,473,311
|
6.3% 1/15/38
|
|
16,665,000
|
|
19,906,209
|
BellSouth Capital Funding Corp. 7.875% 2/15/30
|
|
40,000
|
|
51,173
|
CenturyLink, Inc.:
|
|
|
|
|
5.15% 6/15/17
|
|
972,000
|
|
1,040,040
|
6% 4/1/17
|
|
2,432,000
|
|
2,681,280
|
6.15% 9/15/19
|
|
6,992,000
|
|
7,516,400
|
Embarq Corp.:
|
|
|
|
|
7.082% 6/1/16
|
|
6,922,000
|
|
7,935,706
|
7.995% 6/1/36
|
|
4,717,000
|
|
5,120,186
|
Intelsat Luxembourg SA:
|
|
|
|
|
7.75% 6/1/21 (g)
|
|
4,140,000
|
|
4,352,175
|
8.125% 6/1/23 (g)
|
|
1,480,000
|
|
1,583,600
|
11.25% 2/4/17
|
|
2,529,000
|
|
2,674,418
|
Lynx I Corp. 5.375% 4/15/21 (g)
|
|
1,205,000
|
|
1,259,225
|
Lynx II Corp. 6.375% 4/15/23 (g)
|
|
260,000
|
|
271,050
|
Sprint Capital Corp. 6.875% 11/15/28
|
|
695,000
|
|
695,000
|
Telefonica Celular del Paraguay SA 6.75% 12/13/22 (g)
|
|
540,000
|
|
583,200
|
TW Telecom Holdings, Inc. 5.375% 10/1/22
|
|
1,390,000
|
|
1,438,650
|
Verizon Communications, Inc.:
|
|
|
|
|
3.85% 11/1/42
|
|
3,792,000
|
|
3,277,236
|
6.1% 4/15/18
|
|
6,000,000
|
|
7,174,548
|
6.25% 4/1/37
|
|
2,348,000
|
|
2,787,926
|
6.9% 4/15/38
|
|
6,295,000
|
|
8,063,631
|
Virgin Media Finance PLC 4.875% 2/15/22
|
|
770,000
|
|
772,926
|
Wind Acquisition Finance SA 11.75% 7/15/17 (g)
|
|
1,510,000
|
|
1,589,275
|
|
|
127,833,459
|
Wireless Telecommunication Services - 0.6%
|
America Movil S.A.B. de CV:
|
|
|
|
|
2.375% 9/8/16
|
|
15,982,000
|
|
16,415,128
|
3.125% 7/16/22
|
|
9,218,000
|
|
8,810,177
|
3.625% 3/30/15
|
|
731,000
|
|
760,793
|
Crown Castle International Corp. 5.25% 1/15/23
|
|
2,575,000
|
|
2,607,188
|
Digicel Group Ltd.:
|
|
|
|
|
6% 4/15/21 (g)
|
|
3,980,000
|
|
3,940,200
|
8.25% 9/1/17 (g)
|
|
3,400,000
|
|
3,536,000
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
TELECOMMUNICATION SERVICES - continued
|
Wireless Telecommunication Services - continued
|
Digicel Group Ltd.: - continued
|
|
|
|
|
8.25% 9/30/20 (g)
|
|
$ 2,770,000
|
|
$ 2,936,200
|
Intelsat Jackson Holdings SA:
|
|
|
|
|
5.5% 8/1/23 (g)(i)
|
|
1,255,000
|
|
1,237,744
|
6.625% 12/15/22 (g)
|
|
1,660,000
|
|
1,726,400
|
6.625% 12/15/22 (g)(i)
|
|
2,770,000
|
|
2,887,725
|
7.25% 4/1/19
|
|
1,690,000
|
|
1,833,650
|
7.5% 4/1/21
|
|
1,420,000
|
|
1,558,450
|
MTS International Funding Ltd. 8.625% 6/22/20 (g)
|
|
2,055,000
|
|
2,522,513
|
NII Capital Corp. 7.625% 4/1/21
|
|
1,470,000
|
|
1,223,775
|
Pakistan Mobile Communications Ltd. 8.625% 11/13/13 (g)
|
|
2,520,000
|
|
2,507,400
|
SBA Communications Corp. 5.625% 10/1/19 (g)
|
|
2,855,000
|
|
2,965,489
|
Softbank Corp. 4.5% 4/15/20 (g)
|
|
3,700,000
|
|
3,737,000
|
Sprint Nextel Corp.:
|
|
|
|
|
6% 12/1/16
|
|
2,150,000
|
|
2,324,688
|
6% 11/15/22
|
|
2,790,000
|
|
2,880,675
|
7% 3/1/20 (g)
|
|
1,495,000
|
|
1,681,875
|
7% 8/15/20
|
|
2,305,000
|
|
2,500,925
|
9% 11/15/18 (g)
|
|
1,050,000
|
|
1,273,125
|
Telemovil Finance Co. Ltd. 8% 10/1/17 (g)
|
|
1,370,000
|
|
1,483,025
|
Telesat Canada/Telesat LLC 6% 5/15/17 (g)
|
|
4,280,000
|
|
4,472,600
|
Vimpel Communications OJSC 7.748% 2/2/21 (Issued by VIP Finance Ireland Ltd. for Vimpel
Communications) (g)
|
|
1,000,000
|
|
1,103,750
|
VimpelCom Holdings BV 5.2% 2/13/19 (g)
|
|
585,000
|
|
585,000
|
Vodafone Group PLC 5% 12/16/13
|
|
2,864,000
|
|
2,932,819
|
|
|
82,444,314
|
TOTAL TELECOMMUNICATION SERVICES
|
|
210,277,773
|
UTILITIES - 2.9%
|
Electric Utilities - 1.5%
|
AmerenUE 6.4% 6/15/17
|
|
2,491,000
|
|
2,965,466
|
American Electric Power Co., Inc.:
|
|
|
|
|
1.65% 12/15/17
|
|
5,213,000
|
|
5,184,083
|
2.95% 12/15/22
|
|
4,935,000
|
|
4,798,286
|
Cleveland Electric Illuminating Co. 5.65% 12/15/13
|
|
1,016,000
|
|
1,042,445
|
Duke Capital LLC 5.668% 8/15/14
|
|
2,563,000
|
|
2,705,480
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
UTILITIES - continued
|
Electric Utilities - continued
|
Duquesne Light Holdings, Inc.:
|
|
|
|
|
5.9% 12/1/21 (g)
|
|
$ 7,207,000
|
|
$ 8,472,989
|
6.4% 9/15/20 (g)
|
|
16,661,000
|
|
20,396,748
|
Edison International 3.75% 9/15/17
|
|
6,674,000
|
|
7,179,402
|
Empresa Distribuidora y Comercializadora Norte SA 9.75% 10/25/22 (g)
|
|
1,710,000
|
|
837,900
|
FirstEnergy Corp.:
|
|
|
|
|
2.75% 3/15/18
|
|
10,421,000
|
|
10,444,843
|
4.25% 3/15/23
|
|
16,326,000
|
|
16,117,892
|
7.375% 11/15/31
|
|
19,999,000
|
|
22,613,689
|
FirstEnergy Solutions Corp. 6.05% 8/15/21
|
|
20,194,000
|
|
23,150,462
|
Hrvatska Elektroprivreda 6% 11/9/17 (g)
|
|
350,000
|
|
362,250
|
InterGen NV 9% 6/30/17 (g)
|
|
5,785,000
|
|
5,936,856
|
LG&E and KU Energy LLC:
|
|
|
|
|
2.125% 11/15/15
|
|
7,369,000
|
|
7,551,736
|
3.75% 11/15/20
|
|
1,450,000
|
|
1,527,897
|
Majapahit Holding BV:
|
|
|
|
|
7.75% 1/20/20 (g)
|
|
750,000
|
|
907,500
|
8% 8/7/19 (g)
|
|
485,000
|
|
591,700
|
Mirant Americas Generation LLC:
|
|
|
|
|
8.5% 10/1/21
|
|
3,095,000
|
|
3,574,725
|
9.125% 5/1/31
|
|
1,525,000
|
|
1,723,250
|
Nevada Power Co. 6.5% 5/15/18
|
|
790,000
|
|
969,174
|
Northeast Utilities:
|
|
|
|
|
1.45% 5/1/18
|
|
3,325,000
|
|
3,283,245
|
2.8% 5/1/23
|
|
15,104,000
|
|
14,618,240
|
Otter Tail Corp. 9% 12/15/16
|
|
2,410,000
|
|
2,795,600
|
Pennsylvania Electric Co. 6.05% 9/1/17
|
|
764,000
|
|
887,843
|
Pepco Holdings, Inc. 2.7% 10/1/15
|
|
7,047,000
|
|
7,281,080
|
PPL Capital Funding, Inc. 3.4% 6/1/23
|
|
7,184,000
|
|
7,051,807
|
Progress Energy, Inc.:
|
|
|
|
|
4.4% 1/15/21
|
|
12,059,000
|
|
13,337,314
|
6% 12/1/39
|
|
7,150,000
|
|
8,553,559
|
Sierra Pacific Power Co. 5.45% 9/1/13
|
|
1,945,000
|
|
1,967,949
|
|
|
208,831,410
|
Gas Utilities - 0.1%
|
Intergas Finance BV 6.375% 5/14/17 (Reg. S)
|
|
1,090,000
|
|
1,200,363
|
Southern Natural Gas Co. 5.9% 4/1/17 (g)
|
|
442,000
|
|
511,864
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
UTILITIES - continued
|
Gas Utilities - continued
|
Southern Natural Gas Co./Southern Natural Issuing Corp. 4.4% 6/15/21
|
|
$ 3,646,000
|
|
$ 3,960,672
|
Transportadora de Gas del Sur SA 7.875% 5/14/17 (g)
|
|
3,245,000
|
|
2,823,150
|
|
|
8,496,049
|
Independent Power Producers & Energy Traders - 0.3%
|
Atlantic Power Corp. 9% 11/15/18
|
|
3,625,000
|
|
3,788,125
|
Dolphin Subsidiary II, Inc.:
|
|
|
|
|
6.5% 10/15/16
|
|
2,775,000
|
|
2,990,063
|
7.25% 10/15/21
|
|
1,400,000
|
|
1,512,000
|
GenOn Energy, Inc.:
|
|
|
|
|
9.5% 10/15/18
|
|
3,490,000
|
|
4,074,575
|
9.875% 10/15/20
|
|
1,705,000
|
|
1,926,650
|
Kinder Morgan Finance Co. LLC 6% 1/15/18 (g)
|
|
3,030,000
|
|
3,344,965
|
Listrindo Capital BV 6.95% 2/21/19 (g)
|
|
600,000
|
|
646,500
|
NRG Energy, Inc. 6.625% 3/15/23 (g)
|
|
3,095,000
|
|
3,288,438
|
Power Sector Assets and Liabilities Management Corp. 7.39% 12/2/24 (g)
|
|
750,000
|
|
988,125
|
PPL Energy Supply LLC 6.5% 5/1/18
|
|
6,895,000
|
|
8,140,389
|
PSEG Power LLC 2.75% 9/15/16
|
|
2,786,000
|
|
2,887,968
|
RRI Energy, Inc. 7.625% 6/15/14
|
|
2,710,000
|
|
2,898,616
|
The AES Corp.:
|
|
|
|
|
4.875% 5/15/23
|
|
840,000
|
|
829,500
|
7.375% 7/1/21
|
|
1,675,000
|
|
1,959,750
|
8% 10/15/17
|
|
249,000
|
|
291,953
|
|
|
39,567,617
|
Multi-Utilities - 1.0%
|
Ameren Illinois Co. 6.125% 11/15/17
|
|
3,112,000
|
|
3,687,599
|
Consolidated Edison Co. of New York, Inc. 5.7% 6/15/40
|
|
3,771,000
|
|
4,660,779
|
Dominion Resources, Inc.:
|
|
|
|
|
2.5836% 9/30/66 (j)
|
|
24,541,000
|
|
23,181,625
|
7.5% 6/30/66 (j)
|
|
10,345,000
|
|
11,482,950
|
MidAmerican Energy Holdings, Co. 6.5% 9/15/37
|
|
7,097,000
|
|
9,022,934
|
National Grid PLC 6.3% 8/1/16
|
|
1,589,000
|
|
1,827,479
|
NiSource Finance Corp.:
|
|
|
|
|
4.45% 12/1/21
|
|
4,928,000
|
|
5,307,900
|
5.25% 9/15/17
|
|
843,000
|
|
954,839
|
5.25% 2/15/43
|
|
12,739,000
|
|
13,250,356
|
5.4% 7/15/14
|
|
1,680,000
|
|
1,761,572
|
5.45% 9/15/20
|
|
854,000
|
|
978,366
|
Nonconvertible Bonds - continued
|
|
Principal Amount (d)
|
|
Value
|
UTILITIES - continued
|
Multi-Utilities - continued
|
NiSource Finance Corp.: - continued
|
|
|
|
|
5.8% 2/1/42
|
|
$ 6,336,000
|
|
$ 7,028,056
|
5.95% 6/15/41
|
|
11,832,000
|
|
13,450,369
|
6.4% 3/15/18
|
|
1,654,000
|
|
1,965,863
|
6.8% 1/15/19
|
|
6,774,000
|
|
8,184,191
|
Puget Energy, Inc.:
|
|
|
|
|
5.625% 7/15/22
|
|
600,000
|
|
657,604
|
6% 9/1/21
|
|
2,464,000
|
|
2,759,091
|
6.5% 12/15/20
|
|
1,275,000
|
|
1,466,116
|
Sempra Energy:
|
|
|
|
|
2.3% 4/1/17
|
|
14,116,000
|
|
14,524,277
|
2.875% 10/1/22
|
|
5,760,000
|
|
5,627,733
|
Wisconsin Energy Corp. 6.25% 5/15/67 (j)
|
|
3,860,000
|
|
4,192,925
|
|
|
135,972,624
|
TOTAL UTILITIES
|
|
392,867,700
|
TOTAL NONCONVERTIBLE BONDS
(Cost $3,591,526,583)
|
3,854,161,745
|
U.S. Treasury Obligations - 31.4%
|
|
U.S. Treasury Bonds:
|
|
|
|
|
2.75% 11/15/42
|
|
8,225,000
|
|
7,387,078
|
2.875% 5/15/43
|
|
53,020,000
|
|
48,852,946
|
3.125% 2/15/43
|
|
390,413,000
|
|
379,188,626
|
U.S. Treasury Notes:
|
|
|
|
|
0.125% 4/30/15 (f)
|
|
192,500,000
|
|
191,883,423
|
0.25% 9/15/14
|
|
8,937,000
|
|
8,943,283
|
0.25% 8/15/15
|
|
227,529,000
|
|
227,049,141
|
0.5% 7/31/17
|
|
170,710,000
|
|
168,349,422
|
0.875% 11/30/16
|
|
1,503,000
|
|
1,514,273
|
0.875% 4/30/17
|
|
203,188,000
|
|
204,013,350
|
0.875% 1/31/18
|
|
192,574,000
|
|
191,776,551
|
0.875% 7/31/19
|
|
5,000
|
|
4,864
|
1% 5/31/18
|
|
583,858,000
|
|
582,854,289
|
1.125% 4/30/20 (f)
|
|
198,649,000
|
|
193,527,630
|
1.375% 11/30/15
|
|
88,617,000
|
|
90,749,302
|
1.375% 5/31/20
|
|
381,547,000
|
|
377,373,639
|
U.S. Treasury Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
U.S. Treasury Notes: - continued
|
|
|
|
|
1.75% 5/31/16
|
|
$ 263,340,000
|
|
$ 272,927,156
|
1.75% 5/15/23 (f)
|
|
41,820,000
|
|
40,362,824
|
2% 2/15/23
|
|
424,649,000
|
|
420,999,567
|
2.375% 2/28/15
|
|
499,922,000
|
|
518,141,657
|
2.625% 7/31/14
|
|
66,140,000
|
|
68,010,505
|
2.625% 12/31/14
|
|
273,340,000
|
|
283,611,571
|
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $4,291,616,283)
|
4,277,521,097
|
U.S. Government Agency - Mortgage Securities - 6.0%
|
|
Fannie Mae - 4.1%
|
2.082% 10/1/33 (j)
|
|
630,807
|
|
662,922
|
2.5% 6/1/28 (i)
|
|
3,500,000
|
|
3,575,521
|
2.5% 6/1/28 (i)
|
|
4,100,000
|
|
4,188,467
|
2.559% 6/1/36 (j)
|
|
138,476
|
|
148,620
|
2.671% 2/1/36 (j)
|
|
629,862
|
|
677,161
|
2.82% 12/1/35 (j)
|
|
440,552
|
|
467,626
|
2.935% 7/1/37 (j)
|
|
297,703
|
|
315,746
|
3% 10/1/26 to 3/1/43
|
|
17,118,195
|
|
17,599,798
|
3% 6/1/43 (i)
|
|
1,000,000
|
|
1,007,013
|
3% 6/1/43 (i)
|
|
1,000,000
|
|
1,007,013
|
3% 6/1/43 (i)
|
|
1,400,000
|
|
1,409,818
|
3% 6/1/43 (i)
|
|
1,000,000
|
|
1,007,013
|
3% 6/1/43 (i)
|
|
800,000
|
|
805,610
|
3% 6/1/43 (i)
|
|
2,200,000
|
|
2,215,429
|
3.5% 1/1/26 to 6/1/43
|
|
243,458,432
|
|
251,541,095
|
3.5% 6/1/43 (i)
|
|
7,400,000
|
|
7,666,515
|
3.5% 6/1/43 (i)
|
|
7,400,000
|
|
7,666,515
|
3.5% 6/1/43 (i)
|
|
4,500,000
|
|
4,662,070
|
4% 4/1/25 to 4/1/42
|
|
71,875,275
|
|
76,242,194
|
4% 6/1/43 (i)
|
|
8,600,000
|
|
9,073,672
|
4.5% 1/1/22 to 10/1/41
|
|
40,823,689
|
|
43,906,773
|
4.5% 6/1/43 (i)
|
|
6,700,000
|
|
7,159,055
|
5% 10/1/21 to 4/1/40
|
|
12,953,895
|
|
14,005,615
|
5.5% 3/1/18 to 5/1/39
|
|
17,682,960
|
|
19,163,806
|
5.5% 6/1/43 (i)
|
|
29,000,000
|
|
31,411,907
|
5.5% 6/1/43 (i)
|
|
29,000,000
|
|
31,411,907
|
U.S. Government Agency - Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Fannie Mae - continued
|
6% 4/1/21 to 1/1/42
|
|
$ 15,193,944
|
|
$ 16,842,974
|
6.5% 7/1/32 to 8/1/36
|
|
10,780,623
|
|
12,338,439
|
TOTAL FANNIE MAE
|
|
568,180,294
|
Freddie Mac - 0.8%
|
3% 2/1/43
|
|
2,771,446
|
|
2,784,817
|
3% 6/1/43 (i)
|
|
9,400,000
|
|
9,429,938
|
3.287% 10/1/35 (j)
|
|
192,955
|
|
207,485
|
3.5% 1/1/26 to 4/1/43
|
|
43,234,465
|
|
44,987,994
|
4% 12/1/40 to 4/1/42
|
|
11,466,538
|
|
12,254,590
|
4% 10/1/41
|
|
5,106,038
|
|
5,493,379
|
4% 3/1/42
|
|
337,759
|
|
363,065
|
4% 6/1/43 (i)
|
|
3,700,000
|
|
3,894,539
|
4.5% 7/1/25 to 10/1/41
|
|
8,970,570
|
|
9,638,980
|
5% 4/1/38 to 6/1/40
|
|
3,825,951
|
|
4,149,820
|
5.5% 11/1/17 to 12/1/35
|
|
11,801,697
|
|
12,780,708
|
6% 7/1/37 to 8/1/37
|
|
2,531,085
|
|
2,754,314
|
TOTAL FREDDIE MAC
|
|
108,739,629
|
Ginnie Mae - 1.1%
|
3% 6/1/43 (i)
|
|
2,500,000
|
|
2,550,736
|
3% 6/1/43 (i)
|
|
3,200,000
|
|
3,264,442
|
3% 6/1/43 (i)
|
|
4,200,000
|
|
4,284,580
|
3.5% 4/15/42 to 11/20/42
|
|
4,469,049
|
|
4,705,075
|
3.5% 6/1/43 (i)
|
|
4,800,000
|
|
5,048,625
|
3.5% 6/1/43 (i)
|
|
1,800,000
|
|
1,888,734
|
3.5% 6/1/43 (i)
|
|
3,100,000
|
|
3,252,820
|
4% 1/15/25 to 12/15/41
|
|
66,357,009
|
|
71,231,261
|
4.5% 11/20/33 to 4/15/41
|
|
31,889,892
|
|
34,588,528
|
5% 5/15/39 to 8/15/41
|
|
4,040,858
|
|
4,422,484
|
5% 8/20/40
|
|
2,466,477
|
|
2,711,188
|
5% 4/20/41
|
|
3,056,048
|
|
3,306,727
|
5% 6/20/41
|
|
1,466,855
|
|
1,587,177
|
6% 9/20/38
|
|
2,746,802
|
|
3,035,216
|
TOTAL GINNIE MAE
|
|
145,877,593
|
TOTAL U.S. GOVERNMENT AGENCY - MORTGAGE SECURITIES
(Cost $824,674,596)
|
822,797,516
|
Asset-Backed Securities - 0.8%
|
|
Principal Amount (d)
|
|
Value
|
Accredited Mortgage Loan Trust Series 2005-1 Class M1, 0.6633% 4/25/35 (j)
|
|
$ 682,282
|
|
$ 606,597
|
ACE Securities Corp. Home Equity Loan Trust:
|
|
|
|
|
Series 2004-HE1 Class M2, 1.8433% 3/25/34 (j)
|
|
381,495
|
|
385,837
|
Series 2005-HE2 Class M2, 0.8683% 4/25/35 (j)
|
|
32,467
|
|
32,256
|
Airspeed Ltd. Series 2007-1A Class C1, 2.6992% 6/15/32 (g)(j)
|
|
3,973,305
|
|
2,304,517
|
Ally Master Owner Trust:
|
|
|
|
|
Series 2011-1 Class A2, 2.15% 1/15/16
|
|
8,870,000
|
|
8,957,786
|
Series 2011-3 Class A2, 1.81% 5/15/16
|
|
8,490,000
|
|
8,589,596
|
Series 2012-1 Class A2, 1.44% 2/15/17
|
|
18,800,000
|
|
19,010,992
|
Series 2012-3 Class A2, 1.21% 6/15/17
|
|
12,650,000
|
|
12,780,028
|
Ameriquest Mortgage Securities, Inc. pass-thru certificates:
|
|
|
|
|
Series 2003-10 Class M1, 1.2433% 12/25/33 (j)
|
|
67,910
|
|
63,930
|
Series 2004-R2 Class M3, 1.0183% 4/25/34 (j)
|
|
97,089
|
|
81,921
|
Series 2005-R2 Class M1, 0.6433% 4/25/35 (j)
|
|
1,817,827
|
|
1,780,862
|
Anthracite CDO III Ltd./Anthracite CDO III Corp. Series 2004-1A Class A, 0.5563%
3/23/19 (g)(j)
|
|
102,826
|
|
101,972
|
Argent Securities, Inc. pass-thru certificates:
|
|
|
|
|
Series 2003-W7 Class A2, 0.9733% 3/25/34 (j)
|
|
47,932
|
|
44,445
|
Series 2004-W11 Class M2, 1.2433% 11/25/34 (j)
|
|
561,149
|
|
524,466
|
Series 2004-W7 Class M1, 1.0183% 5/25/34 (j)
|
|
1,542,998
|
|
1,476,321
|
Series 2006-W4 Class A2C, 0.3533% 5/25/36 (j)
|
|
1,256,593
|
|
466,436
|
Asset Backed Securities Corp. Home Equity Loan Trust:
|
|
|
|
|
Series 2004-HE2 Class M1, 1.0183% 4/25/34 (j)
|
|
2,181,980
|
|
2,052,342
|
Series 2006-HE2 Class M1, 0.5633% 3/25/36 (j)
|
|
37,903
|
|
409
|
Capital Trust Ltd. Series 2004-1:
|
|
|
|
|
Class B, 0.9482% 7/20/39 (g)(j)
|
|
220,129
|
|
176,103
|
Class C, 1.2982% 7/20/39 (g)(j)
|
|
339,379
|
|
16,969
|
Capital Trust RE CDO Ltd./Capital Trust RE CDO Corp. Series 2005-3A:
|
|
|
|
|
Class A2, 5.16% 6/25/35 (g)
|
|
280,903
|
|
281,071
|
Class B, 5.267% 6/25/35 (g)
|
|
1,000,000
|
|
1,000,400
|
CapitalSource Real Estate Loan Trust Series 2006-1A Class A2A, 0.5294% 1/20/37 (g)(j)
|
|
87,549
|
|
82,077
|
Carrington Mortgage Loan Trust Series 2007-RFC1 Class A3, 0.3333% 12/25/36 (j)
|
|
1,802,588
|
|
1,137,089
|
CBRE Realty Finance CDO LLC Series 2007-1A Class A1, 0.5304% 4/7/52 (g)(j)
|
|
646,820
|
|
582,138
|
CFC LLC Series 2013-1A:
|
|
|
|
|
Class A, 1.65% 7/17/17 (g)
|
|
3,600,000
|
|
3,599,925
|
Class B, 2.75% 11/15/18 (g)
|
|
6,690,000
|
|
6,688,279
|
Asset-Backed Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Countrywide Asset-Backed Certificates Trust Series 2007-4 Class A1A, 0.3133% 2/25/27 (j)
|
|
$ 20,782
|
|
$ 20,772
|
Countrywide Home Loans, Inc.:
|
|
|
|
|
Series 2003-BC1 Class B1, 5.4502% 3/25/32 (MGIC Investment Corp. Insured) (j)
|
|
3,192
|
|
2,226
|
Series 2004-3 Class M4, 1.6483% 4/25/34 (j)
|
|
159,665
|
|
118,484
|
Series 2004-4 Class M2, 0.9883% 6/25/34 (j)
|
|
587,945
|
|
536,417
|
Crest Clarendon Street Ltd./Crest Clarendon Corp. Series 2002-1A:
|
|
|
|
|
Class B1, 6.065% 12/28/35 (g)
|
|
72,229
|
|
72,244
|
Class B2, 1.6336% 12/28/35 (g)(j)
|
|
72,229
|
|
71,507
|
Crest Dartmouth Street Ltd./Crest Dartmouth Street Corp. Series 2003-1A Class D, 9%
6/28/38 (g)
|
|
210,698
|
|
158,023
|
Deutsche Financial Capital Securitization LLC Series 1997-I Class M, 7.275% 9/15/27
|
|
540,000
|
|
521,054
|
Fannie Mae Series 2004-T5 Class AB3, 1.0337% 5/28/35 (j)
|
|
38,916
|
|
37,012
|
Fieldstone Mortgage Investment Corp. Series 2004-3 Class M5, 2.3683% 8/25/34 (j)
|
|
290,872
|
|
230,821
|
First Franklin Mortgage Loan Trust Series 2004-FF2 Class M3, 1.0183% 3/25/34 (j)
|
|
18,712
|
|
15,852
|
Fremont Home Loan Trust Series 2005-A:
|
|
|
|
|
Class M3, 0.9283% 1/25/35 (j)
|
|
948,695
|
|
804,824
|
Class M4, 1.2133% 1/25/35 (j)
|
|
363,547
|
|
42,598
|
GCO Education Loan Funding Master Trust II Series 2007-1A Class C1L, 0.6528%
2/25/47 (g)(j)
|
|
2,892,000
|
|
2,024,400
|
GE Business Loan Trust:
|
|
|
|
|
Series 2003-1 Class A, 0.6292% 4/15/31 (g)(j)
|
|
106,970
|
|
102,517
|
Series 2006-2A:
|
|
|
|
|
Class A, 0.3792% 11/15/34 (g)(j)
|
|
1,506,188
|
|
1,393,275
|
Class B, 0.4792% 11/15/34 (g)(j)
|
|
544,080
|
|
464,473
|
Class C, 0.5792% 11/15/34 (g)(j)
|
|
904,239
|
|
656,628
|
Class D, 0.9492% 11/15/34 (g)(j)
|
|
343,369
|
|
232,492
|
GSAMP Trust Series 2004-AR1 Class B4, 4.0669% 6/25/34 (e)(g)
|
|
215,708
|
|
20,861
|
Guggenheim Structured Real Estate Funding Ltd. Series 2006-3:
|
|
|
|
|
Class C, 0.7433% 9/25/46 (g)(j)
|
|
1,325,967
|
|
1,319,337
|
Class E, 1.8433% 9/25/46 (g)(j)
|
|
250,000
|
|
210,000
|
Home Equity Asset Trust:
|
|
|
|
|
Series 2003-2 Class M1, 1.5133% 8/25/33 (j)
|
|
348,808
|
|
327,167
|
Series 2003-3 Class M1, 1.4833% 8/25/33 (j)
|
|
617,305
|
|
582,428
|
Series 2003-5 Class A2, 0.8933% 12/25/33 (j)
|
|
32,929
|
|
29,437
|
Asset-Backed Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
HSI Asset Securitization Corp. Trust Series 2007-HE1 Class 2A3, 0.3833% 1/25/37 (j)
|
|
$ 1,522,035
|
|
$ 817,053
|
JPMorgan Mortgage Acquisition Trust:
|
|
|
|
|
Series 2006-NC2 Class M2, 0.4933% 7/25/36 (j)
|
|
204,000
|
|
3,106
|
Series 2007-CH1 Class AV4, 0.3233% 11/25/36 (j)
|
|
1,520,141
|
|
1,463,373
|
Keycorp Student Loan Trust:
|
|
|
|
|
Series 1999-A Class A2, 0.6131% 12/27/29 (j)
|
|
416,807
|
|
407,301
|
Series 2006-A Class 2C, 1.4331% 3/27/42 (j)
|
|
3,243,000
|
|
158,239
|
Long Beach Mortgage Loan Trust Series 2006-10 Class 2A3, 0.3533% 11/25/36 (j)
|
|
5,182,921
|
|
2,583,352
|
Marathon Real Estate CDO Ltd. Series 2006-1A Class B, 0.6233% 5/25/46 (g)(j)
|
|
250,000
|
|
207,500
|
MASTR Asset Backed Securities Trust Series 2007-HE1 Class M1, 0.4933% 5/25/37 (j)
|
|
603,385
|
|
7,933
|
Meritage Mortgage Loan Trust Series 2004-1 Class M1, 0.9433% 7/25/34 (j)
|
|
150,385
|
|
123,827
|
Merrill Lynch Mortgage Investors Trust:
|
|
|
|
|
Series 2003-OPT1 Class M1, 1.1683% 7/25/34 (j)
|
|
499,279
|
|
416,930
|
Series 2006-FM1 Class A2B, 0.3033% 4/25/37 (j)
|
|
971,492
|
|
847,244
|
Series 2006-OPT1 Class A1A, 0.4533% 6/25/35 (j)
|
|
2,572,840
|
|
2,381,550
|
Mesa West Capital CDO Ltd.:
|
|
|
|
|
Series 2007-1A Class A2, 0.4833% 2/25/47 (g)(j)
|
|
425,000
|
|
399,500
|
Series 2007-1A:
|
|
|
|
|
Class A1, 0.4533% 2/25/47 (g)(j)
|
|
706,331
|
|
656,888
|
Class H, 1.6633% 2/25/47 (g)(j)
|
|
250,000
|
|
182,750
|
Morgan Stanley ABS Capital I Trust:
|
|
|
|
|
Series 2004-HE6 Class A2, 0.5333% 8/25/34 (j)
|
|
57,368
|
|
56,522
|
Series 2004-NC6 Class M3, 2.3683% 7/25/34 (j)
|
|
21,065
|
|
12,304
|
Series 2004-NC8 Class M6, 2.0683% 9/25/34 (j)
|
|
24,800
|
|
17,114
|
Series 2005-NC1 Class M1, 0.6333% 1/25/35 (j)
|
|
399,800
|
|
374,656
|
Series 2005-NC2 Class B1, 1.3633% 3/25/35 (j)
|
|
416,362
|
|
17,410
|
N-Star Real Estate CDO Ltd. Series 1A:
|
|
|
|
|
Class B1, 1.9478% 8/28/38 (g)(j)
|
|
220,000
|
|
213,400
|
Class C1B, 7.696% 8/28/38 (g)
|
|
64,212
|
|
55,222
|
New Century Home Equity Loan Trust Series 2005-4 Class M2, 0.7033% 9/25/35 (j)
|
|
1,426,957
|
|
1,246,271
|
Ocala Funding LLC:
|
|
|
|
|
Series 2005-1A Class A, 1.6982% 3/20/10 (c)(g)(j)
|
|
566,000
|
|
0
|
Series 2006-1A Class A, 1.5982% 3/20/11 (c)(g)(j)
|
|
1,176,000
|
|
0
|
Park Place Securities, Inc.:
|
|
|
|
|
Series 2004-WCW1:
|
|
|
|
|
Class M3, 1.4433% 9/25/34 (j)
|
|
532,896
|
|
462,251
|
Class M4, 1.6433% 9/25/34 (j)
|
|
683,353
|
|
238,499
|
Asset-Backed Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Park Place Securities, Inc.: - continued
|
|
|
|
|
Series 2005-WCH1 Class M4, 1.0233% 1/25/36 (j)
|
|
$ 1,475,804
|
|
$ 1,243,269
|
Prima Capital Ltd. Series 2006-CR1A Class A2, 5.533% 12/28/48 (g)
|
|
530,814
|
|
541,430
|
Resource Real Estate Funding CDO Series 2007-1A Class J, 3.1433% 9/25/46 (g)(j)
|
|
250,000
|
|
67,500
|
Salomon Brothers Mortgage Securities VII, Inc. Series 2003-HE1 Class A, 0.9933%
4/25/33 (j)
|
|
5,108
|
|
4,884
|
Saxon Asset Securities Trust Series 2004-1 Class M1, 0.9883% 3/25/35 (j)
|
|
1,139,786
|
|
1,055,868
|
SLM Private Credit Student Loan Trust Series 2004-A Class C, 1.2301% 6/15/33 (j)
|
|
1,206,054
|
|
883,420
|
Structured Asset Investment Loan Trust Series 2004-8 Class M5, 1.9183% 9/25/34 (j)
|
|
56,993
|
|
41,692
|
SVO VOI Mortgage Corp. Series 2006-AA Class A, 5.28% 2/20/24 (g)
|
|
350,176
|
|
353,490
|
Terwin Mortgage Trust Series 2003-4HE Class A1, 1.0533% 9/25/34 (j)
|
|
28,819
|
|
27,224
|
TIAA Real Estate CDO Ltd./TIAA Real Estate CDO Corp. Series 2003-1A Class B2, 5.4802%
12/28/38 (g)
|
|
111,000
|
|
111,155
|
Trapeza CDO XII Ltd./Trapeza CDO XII, Inc. Series 2007-12A Class B, 0.8404%
4/6/42 (g)(j)
|
|
2,666,307
|
|
79,989
|
Wachovia Ltd./Wachovia LLC:
|
|
|
|
|
Series 2006-1 Class 1ML, 5.7841% 9/25/26 (g)(j)
|
|
400,000
|
|
242,080
|
Series 2006-1A:
|
|
|
|
|
Class A1A, 0.5441% 9/25/26 (g)(j)
|
|
814,274
|
|
805,317
|
Class A1B, 0.6141% 9/25/26 (g)(j)
|
|
1,033,000
|
|
954,699
|
Class A2A, 0.5041% 9/25/26 (g)(j)
|
|
189,730
|
|
189,579
|
Class A2B, 0.5941% 9/25/26 (g)(j)
|
|
250,000
|
|
238,700
|
Class B, 0.6441% 9/25/26 (g)(j)
|
|
250,000
|
|
225,475
|
Class C 0.8141% 9/25/26 (g)(j)
|
|
250,000
|
|
223,625
|
Class F, 1.4341% 9/25/26 (g)(j)
|
|
429,000
|
|
377,477
|
Class G, 1.6341% 9/25/26 (g)(j)
|
|
336,000
|
|
292,958
|
Class H, 1.9341% 9/25/26 (g)(j)
|
|
250,000
|
|
216,750
|
Class K, 3.5341% 9/25/26 (g)(j)
|
|
250,000
|
|
214,975
|
Whinstone Capital Management Ltd. Series 1A Class B3, 2.0756% 10/25/44 (g)(j)
|
|
1,789,540
|
|
1,637,429
|
Wrightwood Capital Real Estate CDO Ltd. Series 2005-1A:
|
|
|
|
|
Class A1, 0.5936% 11/21/40 (g)(j)
|
|
420,551
|
|
391,113
|
Class D, 1.1236% 11/21/40 (g)(j)
|
|
305,000
|
|
122,000
|
TOTAL ASSET-BACKED SECURITIES
(Cost $95,909,629)
|
106,711,906
|
Collateralized Mortgage Obligations - 1.0%
|
|
Principal Amount (d)
|
|
Value
|
Private Sponsor - 0.5%
|
ABN AMRO Mortgage Corp. Series 2003-9 Class B5, 4.5164% 8/25/18 (g)
|
|
$ 110,240
|
|
$ 86,939
|
Bear Stearns ALT-A Trust floater Series 2005-1 Class A1, 0.7533% 1/25/35 (j)
|
|
1,588,030
|
|
1,562,460
|
Countrywide Home Loans, Inc.:
|
|
|
|
|
Series 2003-28 Class B3, 5.5% 8/25/33
|
|
40,254
|
|
31,558
|
Series 2003-35 Class B, 4.6368% 9/25/18 (j)
|
|
61,216
|
|
21,499
|
Credit Suisse First Boston Mortgage Securities Corp. Series 2003-17 Class B4, 5.4315%
6/25/33 (j)
|
|
192,925
|
|
146,650
|
First Horizon Mortgage pass-thru Trust Series 2004-AR5 Class 2A1, 2.632% 10/25/34 (j)
|
|
1,159,080
|
|
1,188,803
|
FREMF Mortgage Trust:
|
|
|
|
|
Series 2010 K7 Class B, 5.6188% 4/25/20 (g)(j)
|
|
1,000,000
|
|
1,143,773
|
Series 2010-K6 Class B, 5.5328% 12/25/46 (g)(j)
|
|
910,000
|
|
1,019,551
|
GMAC Mortgage Loan Trust Series 2003-J10 Class B2, 4.75% 1/25/19 (g)
|
|
39,352
|
|
18,106
|
Granite Master Issuer PLC floater:
|
|
|
|
|
Series 2005-4 Class C2, 1.2982% 12/20/54 (j)
|
|
205,017
|
|
183,285
|
Series 2006-1A Class C2, 1.3982% 12/20/54 (g)(j)
|
|
6,523,000
|
|
5,831,562
|
Series 2006-2 Class C1, 1.1382% 12/20/54 (j)
|
|
21,543,000
|
|
19,259,442
|
Series 2006-3 Class C2, 1.1982% 12/20/54 (j)
|
|
1,124,000
|
|
1,004,856
|
Series 2006-4:
|
|
|
|
|
Class B1, 0.3782% 12/20/54 (j)
|
|
4,521,000
|
|
4,274,606
|
Class C1, 0.9582% 12/20/54 (j)
|
|
2,767,000
|
|
2,473,698
|
Class M1, 0.5382% 12/20/54 (j)
|
|
1,190,000
|
|
1,089,445
|
Series 2007-1:
|
|
|
|
|
Class 1C1, 0.7982% 12/20/54 (j)
|
|
2,234,000
|
|
1,997,196
|
Class 1M1, 0.4982% 12/20/54 (j)
|
|
1,493,000
|
|
1,366,842
|
Class 2C1, 1.0582% 12/20/54 (j)
|
|
1,015,000
|
|
907,410
|
Class 2M1, 0.6982% 12/20/54 (j)
|
|
1,917,000
|
|
1,755,014
|
Series 2007-2 Class 2C1, 1.0582% 12/17/54 (j)
|
|
2,654,000
|
|
2,372,676
|
Granite Mortgages PLC floater Series 2003-3 Class 1C, 2.7261% 1/20/44 (j)
|
|
430,241
|
|
423,592
|
GSR Mortgage Loan Trust floater Series 2007-AR1 Class 6A1, 4.7976% 3/25/37 (j)
|
|
2,745,922
|
|
2,752,916
|
JPMorgan Mortgage Trust sequential payer Series 2006-A5 Class 3A5, 5.062% 8/25/36 (j)
|
|
1,850,904
|
|
1,503,449
|
MASTR Adjustable Rate Mortgages Trust Series 2007-3 Class 22A2, 0.4033% 5/25/47 (j)
|
|
2,082,197
|
|
1,594,581
|
Merrill Lynch Alternative Note Asset Trust floater Series 2007-OAR1 Class A1, 0.3633%
2/25/37 (j)
|
|
5,330,781
|
|
4,697,982
|
Collateralized Mortgage Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Private Sponsor - continued
|
Merrill Lynch Mortgage Investors Trust Series 1998-C3 Class F, 6% 12/15/30 (g)
|
|
$ 930,000
|
|
$ 960,642
|
Opteum Mortgage Acceptance Corp. floater Series 2005-3 Class APT, 0.4833% 7/25/35 (j)
|
|
1,652,089
|
|
1,587,484
|
RESI Finance LP/RESI Finance DE Corp. floater Series 2003-B:
|
|
|
|
|
Class B5, 2.5492% 7/10/35 (g)(j)
|
|
828,311
|
|
757,259
|
Class B6, 3.0492% 7/10/35 (g)(j)
|
|
184,683
|
|
167,267
|
Residential Funding Securities Corp. floater Series 2003-RP2 Class A1, 0.6433%
6/25/33 (g)(j)
|
|
79,887
|
|
78,424
|
Sequoia Mortgage Trust floater Series 2004-6 Class A3B, 1.3885% 7/20/34 (j)
|
|
31,266
|
|
29,725
|
Structured Asset Securities Corp. Series 2003-15A Class 4A, 2.5708% 4/25/33 (j)
|
|
239,306
|
|
242,423
|
Wells Fargo Mortgage Backed Securities Trust Series 2005-AR2 Class 1A2, 2.6809%
3/25/35 (j)
|
|
2,737,177
|
|
1,634,815
|
TOTAL PRIVATE SPONSOR
|
|
64,165,930
|
U.S. Government Agency - 0.5%
|
Fannie Mae:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2005-38 Class F, 0.4933% 5/25/35 (j)
|
|
2,362,369
|
|
2,367,720
|
Series 2006-50 Class BF, 0.5933% 6/25/36 (j)
|
|
2,986,100
|
|
3,002,419
|
Series 2006-82 Class F, 0.7633% 9/25/36 (j)
|
|
4,720,374
|
|
4,733,988
|
Series 2007-36 Class F, 0.4233% 4/25/37 (j)
|
|
3,763,530
|
|
3,768,339
|
Series 2011-40 Class DF, 0.6433% 5/25/41 (j)
|
|
8,787,766
|
|
8,814,432
|
Series 2013-62 Class FA, 0.499% 6/25/43 (j)
|
|
12,930,000
|
|
12,942,141
|
floater sequential payer:
|
|
|
|
|
Series 2010-74 Class WF, 0.7933% 7/25/34 (j)
|
|
3,050,155
|
|
3,087,288
|
Series 2012-120 Class FE 0.4933% 2/25/39 (j)
|
|
5,617,801
|
|
5,625,975
|
planned amortization class Series 2002-9 Class PC, 6% 3/25/17
|
|
129,072
|
|
137,070
|
Freddie Mac:
|
|
|
|
|
floater Series 3830 Class FD, 0.5592% 3/15/41 (j)
|
|
14,717,110
|
|
14,791,711
|
floater sequential payer Series 2011-3969 Class AF, 0.6492% 10/15/33 (j)
|
|
6,930,213
|
|
6,940,052
|
TOTAL U.S. GOVERNMENT AGENCY
|
|
66,211,135
|
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS
(Cost $95,769,379)
|
130,377,065
|
Commercial Mortgage Securities - 5.7%
|
|
Principal Amount (d)
|
|
Value
|
ACGS Series 2004-1 Class P, 7.4605% 8/1/19 (m)
|
|
$ 323,434
|
|
$ 318,684
|
Americold LLC Trust Series 2010-ARTA Class D, 7.443% 1/14/29 (g)
|
|
180,000
|
|
210,728
|
Asset Securitization Corp.:
|
|
|
|
|
Series 1996-D2 Class B1A, 8.4398% 2/14/29 (g)(j)
|
|
136,650
|
|
139,528
|
Series 1997-D4 Class B5, 7.525% 4/14/29
|
|
129,000
|
|
132,867
|
Series 1997-D5:
|
|
|
|
|
Class A7, 7.5551% 2/14/43 (j)
|
|
251,447
|
|
254,463
|
Class PS1, 1.4397% 2/14/43 (j)(l)
|
|
783,735
|
|
24,304
|
Banc of America Commercial Mortgage Trust:
|
|
|
|
|
sequential payer:
|
|
|
|
|
Series 2004-2 Class A4, 4.153% 11/10/38
|
|
1,492,008
|
|
1,499,455
|
Series 2005-4 Class AJ, 5.038% 7/10/45 (j)
|
|
530,000
|
|
544,455
|
Series 2006-2 Class AAB, 5.9009% 5/10/45 (j)
|
|
1,179,484
|
|
1,229,063
|
Series 2006-3 Class A4, 5.889% 7/10/44
|
|
3,940,000
|
|
4,407,970
|
Series 2006-4 Class AM, 5.675% 7/10/46
|
|
1,000,000
|
|
1,118,863
|
Series 2006-5 Class A2, 5.317% 9/10/47
|
|
5,184,033
|
|
5,247,294
|
Series 2006-6 Class A3, 5.369% 10/10/45
|
|
3,804,000
|
|
3,924,998
|
Series 2007-4 Class A3, 6.0025% 2/10/51 (j)
|
|
1,188,740
|
|
1,239,187
|
Series 2003-1 Class G, 5.608% 9/11/36 (g)
|
|
185,203
|
|
186,285
|
Series 2004-1 Class F, 5.279% 11/10/39 (g)
|
|
185,000
|
|
173,576
|
Series 2004-4:
|
|
|
|
|
Class K, 4.637% 7/10/42 (g)(j)
|
|
300,000
|
|
1,678
|
Class L, 4.637% 7/10/42 (g)(j)
|
|
280,000
|
|
68
|
Series 2004-5 Class G, 5.7506% 11/10/41 (g)(j)
|
|
195,000
|
|
194,935
|
Series 2005-1 Class CJ, 5.3638% 11/10/42 (j)
|
|
550,000
|
|
581,721
|
Series 2005-3 Class A3B, 5.09% 7/10/43 (j)
|
|
5,908,000
|
|
6,218,022
|
Series 2005-5 Class D, 5.4036% 10/10/45 (j)
|
|
1,180,000
|
|
1,178,449
|
Series 2005-6 Class AJ, 5.3588% 9/10/47 (j)
|
|
300,000
|
|
323,003
|
Series 2006-6 Class E, 5.619% 10/10/45 (g)
|
|
1,098,000
|
|
136,890
|
Series 2007-3:
|
|
|
|
|
Class A3, 5.7963% 6/10/49 (j)
|
|
3,176,000
|
|
3,193,957
|
Class A4, 5.7963% 6/10/49 (j)
|
|
3,965,000
|
|
4,499,482
|
Series 2008-1 Class D, 6.4375% 2/10/51 (g)(j)
|
|
125,000
|
|
70,999
|
Banc of America Commercial Mortgage, Inc. sequential payer Series 2001-1 Class A4,
5.451% 1/15/49
|
|
4,166,000
|
|
4,682,992
|
Banc of America Large Loan Trust floater Series 2010-HLTN Class HLTN, 2.499%
11/15/15 (g)(j)
|
|
807,404
|
|
807,646
|
Banc of America Large Loan, Inc. floater Series 2005-MIB1 Class K, 2.1992% 3/15/22 (g)(j)
|
|
77,611
|
|
52,785
|
Banc of America REMIC Trust Series 2012-CLMZ Class A, 7.6992% 8/15/17 (g)(j)
|
|
480,000
|
|
507,024
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Bayview Commercial Asset Trust:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2003-2 Class M1, 1.0433% 12/25/33 (g)(j)
|
|
$ 51,562
|
|
$ 37,888
|
Series 2005-4A:
|
|
|
|
|
Class A2, 0.5833% 1/25/36 (g)(j)
|
|
1,131,370
|
|
960,459
|
Class B1, 1.5933% 1/25/36 (g)(j)
|
|
97,770
|
|
20,736
|
Class M1, 0.6433% 1/25/36 (g)(j)
|
|
364,958
|
|
203,277
|
Class M2, 0.6633% 1/25/36 (g)(j)
|
|
109,488
|
|
57,476
|
Class M3, 0.6933% 1/25/36 (g)(j)
|
|
159,898
|
|
82,253
|
Class M4, 0.8033% 1/25/36 (g)(j)
|
|
88,432
|
|
42,853
|
Class M5, 0.8433% 1/25/36 (g)(j)
|
|
88,432
|
|
31,216
|
Class M6, 0.8933% 1/25/36 (g)(j)
|
|
93,925
|
|
28,176
|
Series 2006-3A:
|
|
|
|
|
Class M4, 0.6233% 10/25/36 (g)(j)
|
|
134,731
|
|
20,407
|
Class M5, 0.6733% 10/25/36 (g)(j)
|
|
60,517
|
|
3,216
|
Series 2006-4A Class M6, 0.7133% 12/25/36 (g)(j)
|
|
52,654
|
|
1,164
|
Series 2007-1 Class A2, 0.4633% 3/25/37 (g)(j)
|
|
760,300
|
|
483,712
|
Series 2007-2A:
|
|
|
|
|
Class A1, 0.4633% 7/25/37 (g)(j)
|
|
733,606
|
|
551,503
|
Class A2, 0.5133% 7/25/37 (g)(j)
|
|
685,455
|
|
354,478
|
Class M1, 0.5633% 7/25/37 (g)(j)
|
|
240,693
|
|
66,170
|
Class M2, 0.6033% 7/25/37 (g)(j)
|
|
131,525
|
|
22,449
|
Class M3, 0.6833% 7/25/37 (g)(j)
|
|
133,359
|
|
13,419
|
Class M4, 0.8433% 7/25/37 (g)(j)
|
|
263,295
|
|
12,011
|
Class M5, 0.9433% 7/25/37 (g)(j)
|
|
232,100
|
|
8,945
|
Class M6, 1.1933% 7/25/37 (g)(j)
|
|
14,388
|
|
29
|
Series 2007-3:
|
|
|
|
|
Class A2, 0.4833% 7/25/37 (g)(j)
|
|
687,552
|
|
410,493
|
Class B1, 1.1433% 7/25/37 (g)(j)
|
|
102,009
|
|
7,796
|
Class M1, 0.5033% 7/25/37 (g)(j)
|
|
149,330
|
|
54,854
|
Class M2, 0.5333% 7/25/37 (g)(j)
|
|
160,054
|
|
46,600
|
Class M3, 0.5633% 7/25/37 (g)(j)
|
|
252,206
|
|
58,154
|
Class M4, 0.6933% 7/25/37 (g)(j)
|
|
396,001
|
|
80,287
|
Class M5, 0.7933% 7/25/37 (g)(j)
|
|
205,406
|
|
29,563
|
Class M6, 0.9933% 7/25/37 (g)(j)
|
|
156,627
|
|
19,029
|
Series 2007-4A:
|
|
|
|
|
Class M1, 1.1433% 9/25/37 (g)(j)
|
|
281,100
|
|
26,141
|
Class M2, 1.2433% 9/25/37 (g)(j)
|
|
281,100
|
|
21,630
|
Class M4, 1.7933% 9/25/37 (g)(j)
|
|
718,957
|
|
35,120
|
Class M5, 1.9433% 9/25/37 (g)(j)
|
|
13,117
|
|
419
|
Series 2006-3A, Class IO, 3.8578% 10/25/36 (g)(j)(l)
|
|
7,630,715
|
|
177,076
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Bayview Commercial Asset Trust: - continued
|
|
|
|
|
Series 2007-5A, Class IO, 4.186% 10/25/37 (g)(j)(l)
|
|
$ 7,296,744
|
|
$ 607,778
|
Bear Stearns Commercial Mortgage Securities, Inc. Series 2006-PW11 Class AJ, 5.6178%
3/11/39 (j)
|
|
450,000
|
|
471,051
|
Bear Stearns Commercial Mortgage Securities Trust:
|
|
|
|
|
floater Series 2007-BBA8:
|
|
|
|
|
Class D, 0.4492% 3/15/22 (g)(j)
|
|
655,330
|
|
622,509
|
Class E, 0.4992% 3/15/22 (g)(j)
|
|
3,607,157
|
|
3,354,357
|
Class F, 0.5492% 3/15/22 (g)(j)
|
|
2,235,922
|
|
2,034,503
|
Class G, 0.5992% 3/15/22 (g)(j)
|
|
537,549
|
|
478,374
|
Class H, 0.7492% 3/15/22 (g)(j)
|
|
655,330
|
|
570,083
|
Class J, 0.8992% 3/15/22 (g)(j)
|
|
655,330
|
|
553,699
|
sequential payer:
|
|
|
|
|
Series 2006-PW14 Class AM, 5.243% 12/11/38
|
|
600,000
|
|
637,699
|
Series 2006-T22 Class AJ, 5.7648% 4/12/38 (j)
|
|
400,000
|
|
436,103
|
Series 2007-PW16 Class A4, 5.9051% 6/11/40 (j)
|
|
1,112,000
|
|
1,274,820
|
Series 1999-C1:
|
|
|
|
|
Class G, 5.64% 2/14/31 (g)
|
|
70,000
|
|
71,095
|
Class I, 5.64% 2/14/31 (g)
|
|
202,567
|
|
155,995
|
Series 2006-PW13 Class A3, 5.518% 9/11/41
|
|
4,423,321
|
|
4,433,897
|
Series 2006-PW14 Class X2, 0.8641% 12/11/38 (g)(j)(l)
|
|
17,947,833
|
|
65,784
|
Series 2006-T22:
|
|
|
|
|
Class A4, 5.7648% 4/12/38 (j)
|
|
237,000
|
|
262,001
|
Class B, 5.7648% 4/12/38 (g)(j)
|
|
200,000
|
|
214,961
|
Series 2006-T24 Class X2, 0.6225% 10/12/41 (g)(j)(l)
|
|
2,947,577
|
|
5,409
|
Series 2007-BBA8:
|
|
|
|
|
Class K, 1.3992% 3/15/22 (g)(j)
|
|
120,000
|
|
99,398
|
Class L, 2.0992% 3/15/22 (g)(j)
|
|
253,498
|
|
174,317
|
Series 2007-PW18 Class X2, 0.4757% 6/11/50 (g)(j)(l)
|
|
123,066,869
|
|
936,047
|
Series 2007-T28 Class X2, 0.3236% 9/11/42 (g)(j)(l)
|
|
67,080,021
|
|
269,460
|
Beckman Coulter, Inc. sequential payer Series 2000-A Class A, 7.4975% 12/15/18 (g)
|
|
639,722
|
|
696,530
|
C-BASS Trust floater Series 2006-SC1 Class A, 0.4633% 5/25/36 (g)(j)
|
|
614,411
|
|
580,384
|
CDC Commercial Mortgage Trust Series 2002-FX1:
|
|
|
|
|
Class G, 6.625% 5/15/35 (g)
|
|
2,235,000
|
|
2,305,425
|
Class XCL, 1.5785% 5/15/35 (g)(j)(l)
|
|
5,958,447
|
|
94,805
|
CFCRE Commercial Mortgage Trust Series 2011-C2 Class B, 5.7449% 12/15/47 (g)(j)
|
|
750,000
|
|
861,139
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Chase Commercial Mortgage Securities Corp.:
|
|
|
|
|
Series 1998-1 Class H, 6.34% 5/18/30 (g)
|
|
$ 800,000
|
|
$ 716,715
|
Series 1998-2 Class J, 6.39% 11/18/30 (g)
|
|
487,111
|
|
353,144
|
Chase Manhattan Bank-First Union National Bank Commercial Mortgage Trust Series 1999-1
Class G, 6.4% 8/15/31 (g)
|
|
96,308
|
|
97,371
|
Citigroup Commercial Mortgage Trust Series 2007-FL3A Class A2, 0.3392% 4/15/22 (g)(j)
|
|
183,349
|
|
181,696
|
Citigroup/Deutsche Bank Commercial Mortgage Trust:
|
|
|
|
|
sequential payer Series 2007-CD4 Class A4, 5.322% 12/11/49
|
|
23,808,000
|
|
26,720,123
|
Series 2007-CD4 Class A3, 5.293% 12/11/49
|
|
1,852,000
|
|
1,905,451
|
Claregold Trust Series 2007-2A:
|
|
|
|
|
Class F, 5.01% 5/15/44 (g)(j)
|
CAD
|
138,000
|
|
117,995
|
Class G, 5.01% 5/15/44 (g)(j)
|
CAD
|
30,000
|
|
24,213
|
Class H, 5.01% 5/15/44 (g)(j)
|
CAD
|
20,000
|
|
14,015
|
Class J, 5.01% 5/15/44 (g)(j)
|
CAD
|
20,000
|
|
13,271
|
Class K, 5.01% 5/15/44 (g)(j)
|
CAD
|
10,000
|
|
5,657
|
Class L, 5.01% 5/15/44 (g)(j)
|
CAD
|
36,000
|
|
18,367
|
Class M, 5.01% 5/15/44 (g)(j)
|
CAD
|
165,000
|
|
76,120
|
Cobalt CMBS Commercial Mortgage Trust:
|
|
|
|
|
sequential payer Series 2007-C3 Class A3, 5.985% 5/15/46 (j)
|
|
1,902,000
|
|
2,007,152
|
Series 2006-C1 Class B, 5.359% 8/15/48
|
|
5,706,000
|
|
578,172
|
Series 2007-C2 Class B, 5.617% 4/15/47 (j)
|
|
2,125,000
|
|
1,592,981
|
COMM Mortgage Trust:
|
|
|
|
|
sequential payer Series 2013-LC6 Class E, 3.5% 1/10/46 (g)
|
|
810,000
|
|
605,784
|
Series 2012-CR5 Class D, 4.4794% 12/10/45 (g)(j)
|
|
280,000
|
|
273,733
|
COMM pass-thru certificates:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2005-F10A Class J, 1.0492% 4/15/17 (g)(j)
|
|
126,749
|
|
111,968
|
Series 2005-FL11:
|
|
|
|
|
Class B, 0.4492% 11/15/17 (g)(j)
|
|
141,221
|
|
136,892
|
Class C, 0.4992% 11/15/17 (g)(j)
|
|
1,168,561
|
|
1,109,369
|
Class D, 0.5392% 11/15/17 (g)(j)
|
|
60,771
|
|
56,477
|
Class E, 0.5892% 11/15/17 (g)(j)
|
|
216,043
|
|
198,619
|
Class F, 0.6492% 11/15/17 (g)(j)
|
|
149,679
|
|
136,110
|
Class G, 0.6992% 11/15/17 (g)(j)
|
|
103,750
|
|
92,270
|
Series 2006-FL12:
|
|
|
|
|
Class AJ, 0.3292% 12/15/20 (g)(j)
|
|
4,060,000
|
|
3,890,783
|
Class B, 0.3692% 12/15/20 (g)(j)
|
|
552,287
|
|
527,280
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
COMM pass-thru certificates: - continued
|
|
|
|
|
sequential payer:
|
|
|
|
|
Series 2003-LB1A Class D, 4.278% 6/10/38
|
|
$ 550,000
|
|
$ 566,548
|
Series 2004-RS1 Class A, 5.648% 3/3/41 (g)
|
|
93,135
|
|
94,020
|
Series 2006-C8 Class A3, 5.31% 12/10/46
|
|
5,420,000
|
|
5,515,815
|
Series 2001-J2A Class F, 7.38% 7/16/34 (g)(j)
|
|
199,000
|
|
237,382
|
Series 2006-C8 Class XP, 0.6611% 12/10/46 (j)(l)
|
|
15,692,429
|
|
39,090
|
Commercial Mortgage Acceptance Corp.:
|
|
|
|
|
Series 1998-C1 Class G, 6.21% 7/15/31 (g)
|
|
135,205
|
|
135,177
|
weighted average coupon Series 1998-C2 Class F, 5.44% 9/15/30 (g)(j)
|
|
12,580
|
|
12,584
|
Commercial Mortgage Asset Trust Series 1999-C2 Class G, 6% 11/17/32
|
|
302,000
|
|
335,943
|
Commercial Mortgage pass-thru certificates Series 2004-LB4A Class A5, 4.84% 10/15/37
|
|
21,190,000
|
|
21,871,492
|
Commercial Mortgage Trust pass-thru certificates:
|
|
|
|
|
Series 2005 C6 Class B, 5.4263% 6/10/44 (j)
|
|
905,000
|
|
892,041
|
Series 2005-C6 Class AJ, 5.209% 6/10/44 (j)
|
|
1,260,000
|
|
1,347,035
|
Series 2012-CR1:
|
|
|
|
|
Class C, 5.3679% 5/15/45 (j)
|
|
350,000
|
|
390,017
|
Class D, 5.368% 5/15/45 (g)(j)
|
|
1,040,000
|
|
1,042,976
|
Series 2012-CR2:
|
|
|
|
|
Class E, 5.02% 8/15/45 (g)(j)
|
|
1,727,000
|
|
1,685,048
|
Class F, 4.25% 8/15/45 (g)
|
|
1,260,000
|
|
1,047,902
|
Series 2012-LC4:
|
|
|
|
|
Class C, 5.824% 12/10/44 (j)
|
|
260,000
|
|
296,093
|
Class D, 5.824% 12/10/44 (g)(j)
|
|
870,000
|
|
894,317
|
Communication Mortgage Trust Series 2011-THL:
|
|
|
|
|
Class E, 5.949% 6/9/28 (g)
|
|
493,000
|
|
503,126
|
Class F, 4.867% 6/9/28 (g)
|
|
645,000
|
|
599,671
|
Credit Suisse Commercial Mortgage Trust:
|
|
|
|
|
sequential payer:
|
|
|
|
|
Series 2007-C2 Class A2, 5.448% 1/15/49 (j)
|
|
449,662
|
|
450,995
|
Series 2007-C3 Class A4, 5.8694% 6/15/39 (j)
|
|
20,611,120
|
|
23,202,206
|
Series 2006-C5 Class ASP, 0.8656% 12/15/39 (j)(l)
|
|
9,777,242
|
|
36,938
|
Series 2007-C5 Class A4, 5.695% 9/15/40 (j)
|
|
1,722,000
|
|
1,963,653
|
Credit Suisse First Boston Mortgage Capital Certificates floater Series 2007-TF2A Class B,
0.5492% 4/15/22 (g)(j)
|
|
6,783,000
|
|
6,043,639
|
Credit Suisse First Boston Mortgage Securities Corp.:
|
|
|
|
|
floater Series 2006-TF2A Class KER, 0.7992% 9/15/21 (g)(j)
|
|
253,805
|
|
247,493
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Credit Suisse First Boston Mortgage Securities Corp.: - continued
|
|
|
|
|
sequential payer Series 2004-C1 Class A4, 4.75% 1/15/37
|
|
$ 763,855
|
|
$ 772,808
|
Series 1997-C2 Class F, 7.46% 1/17/35 (j)
|
|
298,952
|
|
299,992
|
Series 1998-C1:
|
|
|
|
|
Class F, 6% 5/17/40 (g)
|
|
1,696,644
|
|
1,853,190
|
Class H, 6% 5/17/40 (g)
|
|
90,317
|
|
54,279
|
Series 1998-C2:
|
|
|
|
|
Class F, 6.75% 11/15/30 (g)
|
|
1,156,000
|
|
1,212,128
|
Class G, 6.75% 11/15/30 (g)
|
|
180,000
|
|
197,103
|
Series 2001-CK6 Class AX, 1.3925% 8/15/36 (j)(l)
|
|
401,707
|
|
387
|
Series 2001-CKN5 Class AX, 1.6699% 9/15/34 (g)(j)(l)
|
|
620,318
|
|
337
|
Series 2004-C1 Class E, 5.015% 1/15/37 (g)
|
|
1,205,000
|
|
1,226,707
|
Series 2006-C1 Class A3, 5.5814% 2/15/39 (j)
|
|
4,884,380
|
|
4,920,935
|
Credit Suisse Mortgage Capital Certificates:
|
|
|
|
|
floater Series 2007-TFL1:
|
|
|
|
|
Class B, 0.3492% 2/15/22 (g)(j)
|
|
721,000
|
|
710,825
|
Class C:
|
|
|
|
|
0.3692% 2/15/22 (g)(j)
|
|
1,864,711
|
|
1,833,954
|
0.4692% 2/15/22 (g)(j)
|
|
665,993
|
|
645,450
|
Class F, 0.5192% 2/15/22 (g)(j)
|
|
1,331,815
|
|
1,281,299
|
Class L, 2.0992% 2/15/22 (g)(j)
|
|
99,364
|
|
24,739
|
sequential payer Series 2007-C1 Class A2, 5.268% 2/15/40
|
|
385,020
|
|
384,930
|
Series 2007-C1:
|
|
|
|
|
Class ASP, 0.5729% 2/15/40 (j)(l)
|
|
23,443,790
|
|
73,543
|
Class B, 5.487% 2/15/40 (g)(j)
|
|
2,907,000
|
|
410,053
|
DBUBS Mortgage Trust Series 2011-LC1A:
|
|
|
|
|
Class D, 5.7284% 11/10/46 (g)(j)
|
|
500,000
|
|
548,391
|
Class E, 5.7284% 11/10/46 (g)(j)
|
|
770,000
|
|
811,545
|
Class F, 5.7284% 11/10/46 (g)(j)
|
|
1,560,000
|
|
1,480,329
|
Class XB, 0.3189% 11/10/46 (g)(j)(l)
|
|
20,920,000
|
|
407,187
|
Deutsche Mortgage & Asset Receiving Corp. Series 1998-C1 Class J, 6.22% 6/15/31
|
|
239,705
|
|
239,747
|
DLJ Commercial Mortgage Corp. Series 1998-CG1 Class B4, 7.4243% 6/10/31 (g)(j)
|
|
235,228
|
|
235,189
|
Extended Stay America Trust Series 2013-ESHM Class M, 7.625% 12/5/19 (g)
|
|
640,000
|
|
665,565
|
First Union-Lehman Brothers-Bank of America Commercial Mortgage Trust sequential payer
Series 1998-C2 Class G, 7% 11/18/35 (g)(j)
|
|
443,000
|
|
464,232
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Fontainebleau Miami Beach Trust Series 2012-FBLU:
|
|
|
|
|
Class D, 5.007% 5/5/27 (g)
|
|
$ 589,000
|
|
$ 607,407
|
Class E, 5.253% 5/5/27 (g)
|
|
411,000
|
|
428,317
|
Four Times Square Trust sequential payer Series 2006-4TS Class A, 5.401% 12/13/28 (g)
|
|
200,000
|
|
230,517
|
Freddie Mac:
|
|
|
|
|
pass-thru certificates:
|
|
|
|
|
Series K011 Class X3, 2.662% 12/25/43 (j)(l)
|
|
1,640,000
|
|
258,041
|
Series K012 Class X3, 2.3659% 1/25/41 (j)(l)
|
|
1,800,000
|
|
253,292
|
Series K013 Class X3, 2.8848% 1/25/43 (j)(l)
|
|
820,000
|
|
141,720
|
Series KAIV Class X2, 3.6147% 6/25/46 (j)(l)
|
|
420,000
|
|
93,771
|
FREMF Mortgage Trust:
|
|
|
|
|
Series 2010-K9 Class B, 5.3303% 9/25/45 (g)(j)
|
|
1,290,000
|
|
1,431,536
|
Series 2011-K10 Class B, 4.7556% 11/25/49 (g)(j)
|
|
240,000
|
|
261,271
|
Series 2011-K11 Class B, 4.5698% 12/25/48 (g)(j)
|
|
750,000
|
|
793,942
|
G-Force LLC sequential payer Series 2005-RRA Class A2, 4.83% 8/22/36 (g)
|
|
883,720
|
|
890,260
|
GCCFC Commercial Mortgage Trust:
|
|
|
|
|
Series 2003-C2 Class J, 5.234% 1/5/36 (g)(j)
|
|
250,000
|
|
248,149
|
Series 2005-GG3 Class B, 4.894% 8/10/42 (j)
|
|
680,000
|
|
707,258
|
GE Capital Commercial Mortgage Corp.:
|
|
|
|
|
sequential payer Series 2007-C1 Class A4, 5.543% 12/10/49
|
|
11,404,000
|
|
12,813,477
|
Series 2001-1 Class X1, 2.2683% 5/15/33 (g)(j)(l)
|
|
873,462
|
|
12,444
|
Series 2007-C1 Class XP, 0.3409% 12/10/49 (j)(l)
|
|
21,576,032
|
|
40,930
|
GMAC Commercial Mortgage Securities, Inc.:
|
|
|
|
|
Series 1997-C1 Class H, 6.6% 7/15/29
|
|
411,904
|
|
319,330
|
Series 1997-C2 Class G, 6.75% 4/15/29 (j)
|
|
360,640
|
|
402,842
|
Series 1999-C1 Class F, 6.02% 5/15/33 (g)
|
|
121,786
|
|
122,609
|
Series 1999-C2I Class K, 6.481% 9/15/33
|
|
835,000
|
|
593,546
|
Series 1999-C3:
|
|
|
|
|
Class J, 6.974% 8/15/36
|
|
226,000
|
|
237,086
|
Class K, 6.974% 8/15/36
|
|
279,000
|
|
218,170
|
Series 2000-C1 Class K, 7% 3/15/33
|
|
15,739
|
|
11,988
|
Series 2003-C3 Class H, 5.9434% 4/10/40 (g)(j)
|
|
170,000
|
|
171,743
|
Greenwich Capital Commercial Funding Corp.:
|
|
|
|
|
floater Series 2006-FL4 Class B, 0.3882% 11/5/21 (g)(j)
|
|
715,000
|
|
695,025
|
sequential payer Series 2007-GG9 Class A4, 5.444% 3/10/39
|
|
18,170,000
|
|
20,455,495
|
Series 2007-GG11 Class A1, 0.395% 12/10/49 (g)(j)(l)
|
|
29,299,855
|
|
125,286
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
GS Mortgage Securities Corp. II:
|
|
|
|
|
floater Series 2007-EOP:
|
|
|
|
|
Class A2, 1.2601% 3/6/20 (g)(j)
|
|
$ 5,910,000
|
|
$ 5,929,544
|
Class C, 2.0056% 3/6/20 (g)(j)
|
|
1,994,000
|
|
2,000,646
|
Class D, 2.2018% 3/6/20 (g)(j)
|
|
4,004,000
|
|
4,017,726
|
Class F, 2.6334% 3/6/20 (g)(j)
|
|
164,000
|
|
164,668
|
Class G, 2.7903% 3/6/20 (g)(j)
|
|
81,000
|
|
81,335
|
Class H, 3.3004% 3/6/20 (g)(j)
|
|
60,000
|
|
60,269
|
Class J, 4.0852% 3/6/20 (g)(j)
|
|
86,000
|
|
86,418
|
Class L, 5.4585% 3/6/20 (g)(j)
|
|
400,000
|
|
402,871
|
Series 1997-GL:
|
|
|
|
|
Class G, 7.7695% 7/13/30 (j)
|
|
754,516
|
|
803,288
|
Class H, 8.0595% 7/13/30 (g)(j)
|
|
230,000
|
|
242,799
|
Series 2006-GG6 Class A2, 5.506% 4/10/38
|
|
3,990,522
|
|
4,079,119
|
Series 2010-C1:
|
|
|
|
|
Class D, 6.1284% 8/10/43 (g)(j)
|
|
755,000
|
|
848,728
|
Class E, 4% 8/10/43 (g)
|
|
1,240,000
|
|
965,178
|
Class X, 1.6714% 8/10/43 (g)(j)(l)
|
|
6,102,032
|
|
465,518
|
Series 2012-GCJ7:
|
|
|
|
|
Class C, 5.9063% 5/10/45 (j)
|
|
630,000
|
|
705,668
|
Class D, 5.9063% 5/10/45 (g)(j)
|
|
970,000
|
|
999,918
|
GS Mortgage Securities Corp. Trust Series 2011-ALF Class E, 4.953% 2/10/21 (g)
|
|
510,000
|
|
515,049
|
GS Mortgage Securities Trust:
|
|
|
|
|
sequential payer:
|
|
|
|
|
Series 2006-GG8 Class A2, 5.479% 11/10/39
|
|
412,161
|
|
417,575
|
Series 2007-GG10 Class A2, 5.778% 8/10/45
|
|
6,129,839
|
|
6,211,985
|
Series 2010-C2:
|
|
|
|
|
Class D, 5.4008% 12/10/43 (g)(j)
|
|
720,000
|
|
770,609
|
Class XA, 0.8497% 12/10/43 (g)(j)(l)
|
|
5,500,093
|
|
111,283
|
Series 2011-GC5:
|
|
|
|
|
Class C, 5.4745% 8/10/44 (g)(j)
|
|
1,050,000
|
|
1,161,736
|
Class D, 5.4745% 8/10/44 (g)(j)
|
|
480,000
|
|
493,422
|
JP Morgan Chase Commercial Mortgage Securities Trust floater:
|
|
|
|
|
Series 2013-JWMZ Class M, 6.194% 4/15/18 (g)(j)
|
|
180,000
|
|
182,236
|
Series 2013-JWRZ Class E, 3.934% 4/15/30 (g)(j)
|
|
342,000
|
|
343,692
|
JPMorgan Chase Commercial Mortgage Securities Corp.:
|
|
|
|
|
floater Series 2011-CCHP Class E, 5.15% 7/15/28 (g)(j)
|
|
500,000
|
|
501,083
|
Series 2002-C1 Class E, 6.135% 7/12/37 (g)
|
|
533,636
|
|
534,547
|
Series 2003-C1 Class D, 5.192% 1/12/37
|
|
189,919
|
|
190,248
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
JPMorgan Chase Commercial Mortgage Securities Corp.: - continued
|
|
|
|
|
Series 2009-IWST:
|
|
|
|
|
Class C, 7.6935% 12/5/27 (g)(j)
|
|
$ 380,000
|
|
$ 460,052
|
Class D, 7.6935% 12/5/27 (g)(j)
|
|
1,885,000
|
|
2,179,128
|
Series 2010-CNTM Class MZ, 8.5% 8/5/20 (g)
|
|
670,000
|
|
700,396
|
Series 2010-CNTR Class D, 6.3899% 8/5/32 (g)(j)
|
|
695,000
|
|
778,421
|
Series 2011-C4 Class E, 5.5691% 7/15/46 (g)(j)
|
|
370,000
|
|
393,872
|
Series 2012-CBX:
|
|
|
|
|
Class C, 5.3616% 6/16/45 (j)
|
|
250,000
|
|
272,842
|
Class D, 5.3616% 6/16/45 (g)(j)
|
|
690,000
|
|
721,433
|
JPMorgan Chase Commercial Mortgage Securities Trust:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2006-FL2A Class J, 0.8492% 11/15/18 (g)(j)
|
|
296,925
|
|
272,702
|
Series 2006-FLA2:
|
|
|
|
|
Class A2, 0.3292% 11/15/18 (g)(j)
|
|
5,395,654
|
|
5,315,631
|
Class B, 0.3692% 11/15/18 (g)(j)
|
|
938,120
|
|
912,171
|
Class C, 0.4092% 11/15/18 (g)(j)
|
|
666,509
|
|
644,460
|
Class D, 0.4292% 11/15/18 (g)(j)
|
|
203,033
|
|
192,256
|
Class E, 0.4792% 11/15/18 (g)(j)
|
|
292,885
|
|
276,899
|
Class F, 0.5292% 11/15/18 (g)(j)
|
|
438,525
|
|
413,493
|
Class G, 0.5592% 11/15/18 (g)(j)
|
|
381,041
|
|
358,338
|
Class H, 0.6992% 11/15/18 (g)(j)
|
|
292,952
|
|
272,568
|
sequential payer:
|
|
|
|
|
Series 2006-CB14 Class A3B, 5.6743% 12/12/44 (j)
|
|
1,923,038
|
|
1,943,345
|
Series 2006-LDP9:
|
|
|
|
|
Class A2, 5.134% 5/15/47 (j)
|
|
480,263
|
|
502,026
|
Class A3, 5.336% 5/15/47
|
|
9,409,000
|
|
10,513,071
|
Series 2007-CB19 Class A4, 5.9096% 2/12/49 (j)
|
|
6,670,000
|
|
7,622,992
|
Series 2007-LD11:
|
|
|
|
|
Class A2, 5.9874% 6/15/49 (j)
|
|
2,755,989
|
|
2,835,739
|
Class A4, 6.0024% 6/15/49 (j)
|
|
21,269,184
|
|
24,238,405
|
Series 2007-LDPX:
|
|
|
|
|
Class A2 S, 5.305% 1/15/49
|
|
1,459,194
|
|
1,470,308
|
Class A3, 5.42% 1/15/49
|
|
25,732,000
|
|
29,003,850
|
Series 2004-CBX Class D, 5.097% 1/12/37 (j)
|
|
170,000
|
|
147,719
|
Series 2004-LN2 Class D, 5.4141% 7/15/41 (j)
|
|
420,000
|
|
364,935
|
Series 2005-LDP3 Class A3, 4.959% 8/15/42
|
|
416,084
|
|
415,657
|
Series 2005-LDP5 Class AJ, 5.4892% 12/15/44 (j)
|
|
360,000
|
|
383,756
|
Series 2006-CB17 Class A3, 5.45% 12/12/43
|
|
332,967
|
|
332,692
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
JPMorgan Chase Commercial Mortgage Securities Trust: - continued
|
|
|
|
|
Series 2007-CB19:
|
|
|
|
|
Class B, 5.9096% 2/12/49 (j)
|
|
$ 165,000
|
|
$ 65,175
|
Class C, 5.9096% 2/12/49 (j)
|
|
424,000
|
|
77,093
|
Class D, 5.9096% 2/12/49 (j)
|
|
447,000
|
|
46,883
|
Series 2007-LDP10:
|
|
|
|
|
Class CS, 5.466% 1/15/49 (j)
|
|
157,000
|
|
14,906
|
Class ES, 5.7044% 1/15/49 (g)(j)
|
|
983,000
|
|
7,967
|
Series 2010-C2:
|
|
|
|
|
Class D, 5.7102% 11/15/43 (g)(j)
|
|
645,000
|
|
714,841
|
Class XB, 0.7527% 11/15/43 (g)(j)(l)
|
|
3,600,000
|
|
145,464
|
Series 2011-C5:
|
|
|
|
|
Class B. 5.4915% 8/15/46 (g)(j)
|
|
1,140,000
|
|
1,290,991
|
Class C, 5.4915% 8/15/46 (g)(j)
|
|
1,102,648
|
|
1,237,030
|
JPMorgan Chase Commercial Mortgage Trust Series 2013-LC11 Class D, 4.3844%
4/15/46 (j)
|
|
1,430,000
|
|
1,302,135
|
LB Commercial Conduit Mortgage Trust:
|
|
|
|
|
sequential payer Series 2007-C3 Class A4, 6.0807% 7/15/44 (j)
|
|
21,615,000
|
|
24,849,209
|
Series 1998-C4 Class G, 5.6% 10/15/35 (g)
|
|
368,144
|
|
373,205
|
LB-UBS Commercial Mortgage Trust:
|
|
|
|
|
sequential payer:
|
|
|
|
|
Series 2004-C2 Class E, 4.487% 3/15/36
|
|
150,000
|
|
151,660
|
Series 2005-C3 Class AJ, 4.843% 7/15/40
|
|
1,220,000
|
|
1,287,952
|
Series 2005-C7:
|
|
|
|
|
Class AJ, 5.323% 11/15/40 (j)
|
|
1,500,000
|
|
1,612,970
|
Class AM, 5.263% 11/15/40 (j)
|
|
137,000
|
|
148,438
|
Series 2006-C1 Class A2, 5.084% 2/15/31
|
|
5,110
|
|
5,112
|
Series 2006-C6:
|
|
|
|
|
Class A2, 5.262% 9/15/39 (j)
|
|
89,743
|
|
90,104
|
Class A4, 5.372% 9/15/39
|
|
857,000
|
|
959,744
|
Class AM, 5.413% 9/15/39
|
|
1,500,000
|
|
1,679,336
|
Series 2006-C7:
|
|
|
|
|
Class A2, 5.3% 11/15/38
|
|
981,760
|
|
1,033,290
|
Class AM, 5.378% 11/15/38
|
|
160,000
|
|
175,534
|
Series 2007-C1:
|
|
|
|
|
Class A3, 5.398% 2/15/40
|
|
9,480,823
|
|
9,692,179
|
Class A4, 5.424% 2/15/40
|
|
17,074,000
|
|
19,286,927
|
Series 2007-C2 Class A3, 5.43% 2/15/40
|
|
3,967,000
|
|
4,414,636
|
Series 2007-C6 Class A2, 5.845% 7/15/40
|
|
4,747,472
|
|
4,744,044
|
Series 2003-C7 Class L, 5.224% 7/15/37 (g)(j)
|
|
284,000
|
|
279,740
|
Series 2004-C2 Class G, 4.595% 3/15/36 (g)(j)
|
|
225,000
|
|
220,345
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
LB-UBS Commercial Mortgage Trust: - continued
|
|
|
|
|
Series 2004-C7 Class E, 4.918% 10/15/36
|
|
$ 280,000
|
|
$ 290,015
|
Series 2005-C1 Class E, 4.924% 2/15/40
|
|
750,000
|
|
771,257
|
Series 2005-C2 Class AJ, 5.205% 4/15/30 (j)
|
|
740,000
|
|
785,061
|
Series 2005-C7 Class C, 5.35% 11/15/40 (j)
|
|
1,016,000
|
|
1,049,787
|
Series 2006-C4:
|
|
|
|
|
Class AJ, 6.0821% 6/15/38 (j)
|
|
1,060,000
|
|
1,095,946
|
Class AM, 6.0821% 6/15/38 (j)
|
|
500,000
|
|
556,879
|
Series 2006-C6 Class XCP, 0.862% 9/15/39 (j)(l)
|
|
7,302,392
|
|
15,861
|
Series 2007-C1 Class XCP, 0.623% 2/15/40 (j)(l)
|
|
2,598,342
|
|
8,284
|
Series 2007-C6 Class A4, 5.858% 7/15/40 (j)
|
|
2,376,000
|
|
2,672,537
|
Series 2007-C7:
|
|
|
|
|
Class A3, 5.866% 9/15/45
|
|
11,949,201
|
|
13,543,499
|
Class XCP, 0.4169% 9/15/45 (j)(l)
|
|
115,327,457
|
|
545,268
|
Lehman Brothers Floating Rate Commercial Mortgage Trust floater:
|
|
|
|
|
Series 2006-LLFA:
|
|
|
|
|
Class D, 0.4292% 9/15/21 (g)(j)
|
|
608,683
|
|
601,807
|
Class E, 0.4892% 9/15/21 (g)(j)
|
|
2,196,145
|
|
2,149,374
|
Class F, 0.5392% 9/15/21 (g)(j)
|
|
1,143,094
|
|
1,107,319
|
Class G, 0.5592% 9/15/21 (g)(j)
|
|
2,258,211
|
|
2,164,954
|
Class H, 0.5992% 9/15/21 (g)(j)
|
|
582,579
|
|
546,868
|
Series 2007-LLFA Class E, 1.0992% 6/15/22 (g)(j)
|
|
760,000
|
|
740,588
|
LStar Commercial Mortgage Trust:
|
|
|
|
|
Series 2011-1 Class D, 5.5422% 6/25/43 (g)(j)
|
|
310,000
|
|
316,851
|
Series 2011-1 Class B, 5.5422% 6/25/43 (g)(j)
|
|
540,000
|
|
563,229
|
Merrill Lynch Commercial Trust floater Series 2008-LAQA Class A2, 0.7374% 7/9/21 (g)(j)
|
|
17,970,000
|
|
17,781,674
|
Merrill Lynch Financial Asset, Inc. Series 2006-CA20 Class E, 5.4086% 10/12/39 (g)(j)
|
CAD
|
320,000
|
|
273,441
|
Merrill Lynch Mortgage Investors Trust:
|
|
|
|
|
Series 1997-C2 Class F, 6.25% 12/10/29 (j)
|
|
409,070
|
|
408,682
|
Series 1998-C3 Class E, 7.0862% 12/15/30 (j)
|
|
37,068
|
|
37,264
|
Merrill Lynch Mortgage Trust:
|
|
|
|
|
Series 05-LC1 Class AJ, 5.546% 1/12/44 (j)
|
|
220,000
|
|
238,768
|
Series 2004-MKB1 Class F, 5.867% 2/12/42 (g)(j)
|
|
180,000
|
|
182,368
|
Series 2005-LC1 Class F, 5.6% 1/12/44 (g)(j)
|
|
1,655,000
|
|
1,342,380
|
Series 2006-C1:
|
|
|
|
|
Class A2, 5.8275% 5/12/39 (j)
|
|
748,934
|
|
751,386
|
Class AJ, 5.8725% 5/12/39 (j)
|
|
530,000
|
|
543,778
|
Class AM, 5.8725% 5/12/39 (j)
|
|
100,000
|
|
111,034
|
Series 2007-C1 Class A4, 6.0442% 6/12/50 (j)
|
|
7,199,517
|
|
8,213,511
|
Series 2008-C1 Class A4, 5.69% 2/12/51
|
|
4,059,000
|
|
4,666,592
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Merrill Lynch-CFC Commercial Mortgage Trust:
|
|
|
|
|
floater Series 2006-4 Class A2FL, 0.3192% 12/12/49 (j)
|
|
$ 99,233
|
|
$ 99,052
|
sequential payer:
|
|
|
|
|
Series 2006-4:
|
|
|
|
|
Class A2, 5.112% 12/12/49 (j)
|
|
120,266
|
|
120,471
|
Class ASB, 5.133% 12/12/49 (j)
|
|
1,127,964
|
|
1,173,019
|
Series 2007-5 Class A4, 5.378% 8/12/48
|
|
17,266,000
|
|
19,305,650
|
Series 2007-6 Class A4, 5.485% 3/12/51 (j)
|
|
14,650,000
|
|
16,457,078
|
Series 2007-7 Class A4, 5.81% 6/12/50 (j)
|
|
6,656,000
|
|
7,572,438
|
Series 2006-3 Class ASB, 5.382% 7/12/46 (j)
|
|
5,107,694
|
|
5,237,404
|
Series 2006-4 Class XP, 0.8115% 12/12/49 (j)(l)
|
|
25,957,588
|
|
250,984
|
Series 2007-6 Class B, 5.635% 3/12/51 (j)
|
|
1,902,000
|
|
474,572
|
Series 2007-7 Class B, 5.9278% 6/12/50 (j)
|
|
166,000
|
|
9,863
|
Series 2007-8 Class A3, 6.1305% 8/12/49 (j)
|
|
1,640,000
|
|
1,888,335
|
Mezz Capital Commercial Mortgage Trust sequential payer:
|
|
|
|
|
Series 2004-C1 Class A, 4.836% 1/15/37 (g)
|
|
314,130
|
|
267,010
|
Series 2004-C2 Class A, 5.318% 10/15/40 (g)
|
|
524,912
|
|
459,298
|
Morgan Stanley BAML Trust:
|
|
|
|
|
Series 2013-C7 Class D, 4.3056% 2/15/46 (g)
|
|
810,000
|
|
739,370
|
Series 2013-C8 Class D, 4.3117% 12/15/48 (g)(j)
|
|
400,000
|
|
364,338
|
Series 2013-C9 Class D, 4.2997% 5/15/46 (g)(j)
|
|
1,030,000
|
|
936,952
|
Morgan Stanley Capital I Trust:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2006-XLF:
|
|
|
|
|
Class C, 1.4% 7/15/19 (g)(j)
|
|
357,716
|
|
147,558
|
Class J, 0.63% 7/15/19 (g)(j)
|
|
335,987
|
|
292,124
|
Series 2007-XLFA:
|
|
|
|
|
Class C, 0.36% 10/15/20 (g)(j)
|
|
1,092,000
|
|
1,064,749
|
Class D, 0.39% 10/15/20 (g)(j)
|
|
667,354
|
|
644,027
|
Class E, 0.45% 10/15/20 (g)(j)
|
|
834,661
|
|
782,532
|
Class F, 0.5% 10/15/20 (g)(j)
|
|
500,899
|
|
464,606
|
Class G, 0.54% 10/15/20 (g)(j)
|
|
619,188
|
|
568,133
|
Class H, 0.63% 10/15/20 (g)(j)
|
|
389,758
|
|
338,133
|
Class J, 0.78% 10/15/20 (g)(j)
|
|
225,021
|
|
84,956
|
sequential payer:
|
|
|
|
|
Series 2012-C4 Class E, 5.71% 3/15/45 (g)
|
|
260,000
|
|
264,062
|
Series 2005-IQ9 Class A3, 4.54% 7/15/56
|
|
1,266,535
|
|
1,269,511
|
Series 2006-HQ10 Class AM, 5.36% 11/12/41
|
|
620,000
|
|
685,623
|
Series 2007-HQ11 Class A31, 5.439% 2/12/44 (j)
|
|
921,287
|
|
944,057
|
Series 1997-RR Class F, 7.4015% 4/30/39 (g)(j)
|
|
84,146
|
|
84,146
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Morgan Stanley Capital I Trust: - continued
|
|
|
|
|
Series 1998-CF1 Class G, 7.35% 7/15/32 (g)
|
|
$ 207,935
|
|
$ 160,459
|
Series 1999-WF1:
|
|
|
|
|
Class N, 5.91% 11/15/31 (g)
|
|
210,000
|
|
209,869
|
Class O, 5.91% 11/15/31 (g)
|
|
197,950
|
|
56,814
|
Series 2004-IQ7 Class E, 5.5419% 6/15/38 (g)(j)
|
|
120,000
|
|
125,955
|
Series 2004-RR2 Class C, 5.88% 10/28/33 (g)(j)
|
|
280,000
|
|
280,350
|
Series 2005-HQ5 Class B, 5.272% 1/14/42
|
|
1,500,000
|
|
1,579,187
|
Series 2005-HQ6 Class AJ, 5.073% 8/13/42 (j)
|
|
1,000,000
|
|
1,060,978
|
Series 2006-IQ11 Class A4, 5.8515% 10/15/42 (j)
|
|
519,331
|
|
570,289
|
Series 2006-IQ12 Class AMFX, 5.37% 12/15/43
|
|
719,000
|
|
804,839
|
Series 2006-T23 Class A3, 5.9917% 8/12/41 (j)
|
|
972,000
|
|
967,545
|
Series 2007-HQ12 Class A2, 5.7629% 4/12/49 (j)
|
|
8,938,719
|
|
8,991,306
|
Series 2007-IQ14:
|
|
|
|
|
Class A4, 5.692% 4/15/49 (j)
|
|
2,852,000
|
|
3,233,435
|
Class B, 5.9128% 4/15/49 (j)
|
|
469,000
|
|
96,239
|
Series 2011-C1:
|
|
|
|
|
Class C, 5.4202% 9/15/47 (g)(j)
|
|
970,000
|
|
1,096,464
|
Class D, 5.4202% 9/15/47 (g)(j)
|
|
1,760,000
|
|
1,938,131
|
Class E, 5.4202% 9/15/47 (g)(j)
|
|
573,100
|
|
598,027
|
Series 2011-C2:
|
|
|
|
|
Class D, 5.4937% 6/15/44 (g)(j)
|
|
580,000
|
|
604,937
|
Class E, 5.4937% 6/15/44 (g)(j)
|
|
600,000
|
|
621,790
|
Class F, 5.4937% 6/15/44 (g)(j)
|
|
550,000
|
|
459,052
|
Class XB, 0.539% 6/15/44 (g)(j)(l)
|
|
9,001,008
|
|
314,090
|
Series 2011-C3:
|
|
|
|
|
Class C, 5.3573% 7/15/49 (g)(j)
|
|
1,000,000
|
|
1,091,016
|
Class D, 5.357% 7/15/49 (g)
|
|
1,130,000
|
|
1,207,759
|
Class E, 5.3573% 7/15/49 (g)(j)
|
|
400,000
|
|
410,808
|
Series 2012-C4:
|
|
|
|
|
Class C, 5.7111% 3/15/45 (g)
|
|
500,000
|
|
562,011
|
Class D, 5.7102% 3/15/45 (g)(j)
|
|
330,000
|
|
356,529
|
Morgan Stanley Dean Witter Capital I Trust:
|
|
|
|
|
Series 2000-PRIN Class C, 7.9089% 2/23/34 (j)
|
|
466,000
|
|
525,940
|
Series 2001-TOP3 Class E, 7.5109% 7/15/33 (g)(j)
|
|
150,000
|
|
150,478
|
Series 2003-TOP9 Class E, 5.646% 11/13/36 (g)(j)
|
|
78,000
|
|
82,129
|
NationsLink Funding Corp.:
|
|
|
|
|
Series 1998-2 Class J, 5% 8/20/30 (g)
|
|
46,982
|
|
46,642
|
Series 1999-SL Class X, 11/10/30 (l)
|
|
9,240
|
|
9,229
|
Providence Place Group Ltd. Partnership Series 2000-C1 Class A2, 7.75% 7/20/28 (g)
|
|
831,140
|
|
1,018,396
|
RBSCF Trust Series 2010-MB1 Class D, 4.8374% 4/15/24 (g)(j)
|
|
1,238,000
|
|
1,256,447
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Real Estate Asset Liquidity Trust:
|
|
|
|
|
Series 2006-2:
|
|
|
|
|
Class F, 4.456% 9/12/38 (g)
|
CAD
|
$ 107,000
|
|
$ 92,165
|
Class G, 4.456% 9/12/38 (g)
|
CAD
|
54,000
|
|
45,346
|
Class H, 4.456% 9/12/38 (g)
|
CAD
|
36,000
|
|
27,570
|
Class J, 4.456% 9/12/38 (g)
|
CAD
|
36,000
|
|
25,162
|
Class K, 4.456% 9/12/38 (g)
|
CAD
|
18,000
|
|
11,592
|
Class L, 4.456% 9/12/38 (g)
|
CAD
|
26,000
|
|
15,785
|
Class M, 4.456% 9/12/38 (g)
|
CAD
|
104,391
|
|
48,453
|
Series 2007-1:
|
|
|
|
|
Class F, 4.57% 4/12/23
|
CAD
|
126,000
|
|
107,159
|
Class G, 4.57% 4/12/23
|
CAD
|
42,000
|
|
34,536
|
Class H, 4.57% 4/12/23
|
CAD
|
42,000
|
|
31,779
|
Class J, 4.57% 4/12/23 (j)
|
CAD
|
42,000
|
|
30,252
|
Class K, 4.57% 4/12/23
|
CAD
|
21,000
|
|
14,176
|
Class L, 4.57% 4/12/23
|
CAD
|
63,000
|
|
41,185
|
Class M, 4.57% 4/12/23
|
CAD
|
185,000
|
|
94,674
|
Salomon Brothers Mortgage Securities VII, Inc.:
|
|
|
|
|
Series 2001-MMA Class E3, 6.5% 2/18/34 (g)(j)
|
|
10,321
|
|
10,461
|
Series 2006-C2 Class H, 6.308% 7/18/33 (g)
|
|
268,000
|
|
105,298
|
TIAA Seasoned Commercial Mortgage Trust:
|
|
|
|
|
sequential payer Series 2007-C4 Class AJ, 5.5409% 8/15/39 (j)
|
|
170,000
|
|
185,207
|
Series 2007-C4 Class F, 5.5409% 8/15/39 (j)
|
|
820,000
|
|
615,442
|
TimberStar Trust I Series 2006-1 Class F, 7.5296% 10/15/36 (g)
|
|
270,000
|
|
277,100
|
UBS Commercial Mortgage Trust Series 2007-FL1:
|
|
|
|
|
Class F, 0.7742% 7/15/24 (g)(j)
|
|
110,000
|
|
99,206
|
Class G, 0.7742% 7/15/24 (g)(j)
|
|
200,000
|
|
176,375
|
UBS-Citigroup Commercial Mortgage Trust Series 2011-C1 Class B, 6.0706% 1/10/45 (g)(j)
|
|
284,000
|
|
338,157
|
VNO Mortgage Trust Series 2012-6AVE Class D, 3.337% 11/15/30 (g)(j)
|
|
1,299,000
|
|
1,213,823
|
Vornado DP LLC Series 2010-VNO Class D, 6.3555% 9/13/28 (g)
|
|
180,000
|
|
201,365
|
Wachovia Bank Commercial Mortgage Trust:
|
|
|
|
|
floater:
|
|
|
|
|
Series 2006-WL7A:
|
|
|
|
|
Class E, 0.4782% 9/15/21 (g)(j)
|
|
1,770,598
|
|
1,693,814
|
Class F, 0.5382% 9/15/21 (g)(j)
|
|
1,877,987
|
|
1,768,376
|
Class G, 0.5582% 9/15/21 (g)(j)
|
|
1,779,101
|
|
1,648,575
|
Class J, 0.7982% 9/15/21 (g)(j)
|
|
395,545
|
|
328,039
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Wachovia Bank Commercial Mortgage Trust: - continued
|
|
|
|
|
floater:
|
|
|
|
|
Series 2007-WHL8:
|
|
|
|
|
Class F, 0.6792% 6/15/20 (g)(j)
|
|
$ 4,565,501
|
|
$ 4,042,276
|
Class LXR1, 0.8992% 6/15/20 (g)(j)
|
|
233,698
|
|
203,317
|
sequential payer:
|
|
|
|
|
Series 2006-C29 Class A3, 5.313% 11/15/48
|
|
5,044,309
|
|
5,142,315
|
Series 2007-C30 Class A5, 5.342% 12/15/43
|
|
13,536,000
|
|
15,230,432
|
Series 2007-C31 Class A4, 5.509% 4/15/47
|
|
45,212,000
|
|
50,518,759
|
Series 2007-C32 Class A3, 5.9236% 6/15/49 (j)
|
|
19,449,000
|
|
22,138,583
|
Series 2007-C33:
|
|
|
|
|
Class A4, 6.1222% 2/15/51 (j)
|
|
11,720,000
|
|
13,245,756
|
Class A5, 6.1222% 2/15/51 (j)
|
|
19,259,000
|
|
22,277,155
|
Series 2003-C6 Class G, 5.125% 8/15/35 (g)(j)
|
|
903,000
|
|
903,542
|
Series 2004-C10 Class E, 4.931% 2/15/41
|
|
340,000
|
|
345,088
|
Series 2004-C11:
|
|
|
|
|
Class D, 5.5634% 1/15/41 (j)
|
|
360,000
|
|
372,071
|
Class E, 5.6134% 1/15/41 (j)
|
|
327,000
|
|
335,795
|
Series 2004-C12 Class D, 5.4782% 7/15/41 (j)
|
|
280,000
|
|
288,898
|
Series 2004-C14:
|
|
|
|
|
Class B, 5.17% 8/15/41
|
|
258,500
|
|
268,669
|
Class C, 5.21% 8/15/41
|
|
170,000
|
|
176,484
|
Series 2004-C15 Class 175C, 6.0432% 10/15/41 (g)(j)
|
|
500,000
|
|
493,291
|
Series 2005-C19 Class B, 4.892% 5/15/44
|
|
1,902,000
|
|
1,994,608
|
Series 2005-C22:
|
|
|
|
|
Class B, 5.5564% 12/15/44 (j)
|
|
4,218,000
|
|
3,421,810
|
Class F, 5.5564% 12/15/44 (g)(j)
|
|
3,171,000
|
|
876,782
|
Series 2006-C23 Class A5, 5.416% 1/15/45 (j)
|
|
7,870,000
|
|
8,701,489
|
Series 2007-C30 Class XP, 0.6719% 12/15/43 (g)(j)(l)
|
|
15,396,510
|
|
57,694
|
Series 2007-C31 Class C, 5.8685% 4/15/47 (j)
|
|
522,000
|
|
368,172
|
Series 2007-C32:
|
|
|
|
|
Class D, 5.9236% 6/15/49 (j)
|
|
1,431,000
|
|
558,090
|
Class E, 5.9236% 6/15/49 (j)
|
|
2,252,000
|
|
776,940
|
Wells Fargo Commercial Mortgage Trust:
|
|
|
|
|
Series 2010-C1 Class XB, 0.6698% 11/15/43 (g)(j)(l)
|
|
20,614,217
|
|
796,987
|
Series 2012-LC5:
|
|
|
|
|
Class C, 4.693% 10/15/45 (j)
|
|
569,000
|
|
597,753
|
Class D, 4.7802% 10/15/45 (g)
|
|
1,621,000
|
|
1,554,241
|
Commercial Mortgage Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
WF-RBS Commercial Mortgage Trust:
|
|
|
|
|
Series 2011-C3:
|
|
|
|
|
Class C, 5.335% 3/15/44 (g)
|
|
$ 360,000
|
|
$ 400,369
|
Class D, 5.7215% 3/15/44 (g)(j)
|
|
230,000
|
|
239,195
|
Class E, 5% 3/15/44 (g)
|
|
890,000
|
|
816,308
|
Series 2011-C4 Class E, 5.2488% 6/15/44 (g)(j)
|
|
320,000
|
|
324,878
|
Series 2011-C5:
|
|
|
|
|
Class C, 5.8242% 11/15/44 (g)(j)
|
|
260,000
|
|
296,506
|
Class D, 5.8242% 11/15/44 (g)(j)
|
|
600,000
|
|
660,928
|
Class E, 5.8242% 11/15/44 (g)(j)
|
|
590,000
|
|
612,314
|
Class XA, 2.224% 11/15/44 (g)(j)(l)
|
|
5,140,756
|
|
590,580
|
Series 2012-C6 Class D, 5.7486% 4/15/45 (g)(j)
|
|
540,000
|
|
554,130
|
Series 2012-C7:
|
|
|
|
|
Class C, 5.0049% 6/15/45 (j)
|
|
1,270,000
|
|
1,366,446
|
Class E, 4.8512% 6/15/45 (g)
|
|
890,000
|
|
861,539
|
Series 2012-C8 Class D, 5.0423% 8/15/45 (g)(j)
|
|
650,000
|
|
677,024
|
Series 2013-C11:
|
|
|
|
|
Class D, 4.3249% 3/15/45 (g)(j)
|
|
870,000
|
|
795,370
|
Class E, 4.3249% 3/15/45 (g)(j)
|
|
1,750,000
|
|
1,329,132
|
Series 2013-C13 Class D, 4.2791% 5/15/45 (g)(j)
|
|
600,000
|
|
541,286
|
WFDB Commercial Mortgage Trust Series 2011-BXR Class D, 5.914% 7/5/24 (g)
|
|
1,500,000
|
|
1,529,975
|
WFRBS Commercial Mortgage Trust Series 2012-C10 Class D, 4.6101% 12/15/45 (g)(j)
|
|
380,000
|
|
354,194
|
TOTAL COMMERCIAL MORTGAGE SECURITIES
(Cost $676,621,015)
|
781,276,139
|
Municipal Securities - 1.8%
|
|
Beaver County Indl. Dev. Auth. Poll. Cont. Rev. Bonds (FirstEnergy Nuclear Generation Corp.
Proj.) Series 2005 A, 3.375%, tender 7/1/15 (j)
|
|
3,300,000
|
|
3,410,682
|
California Gen. Oblig.:
|
|
|
|
|
Series 2009, 7.35% 11/1/39
|
|
2,650,000
|
|
3,664,950
|
7.3% 10/1/39
|
|
2,150,000
|
|
2,955,691
|
7.5% 4/1/34
|
|
14,555,000
|
|
20,204,232
|
7.55% 4/1/39
|
|
17,880,000
|
|
25,573,943
|
7.6% 11/1/40
|
|
32,540,000
|
|
47,225,627
|
7.625% 3/1/40
|
|
5,410,000
|
|
7,763,242
|
Chicago Gen. Oblig. (Taxable Proj.) Series 2010 C1, 7.781% 1/1/35
|
|
11,325,000
|
|
14,608,910
|
Illinois Gen. Oblig.:
|
|
|
|
|
Series 2003, 5.1% 6/1/33
|
|
46,995,000
|
|
47,151,493
|
Municipal Securities - continued
|
|
Principal Amount (d)
|
|
Value
|
Illinois Gen. Oblig.: - continued
|
|
|
|
|
Series 2010, 4.421% 1/1/15
|
|
$ 6,825,000
|
|
$ 7,161,950
|
Series 2010-1, 6.63% 2/1/35
|
|
11,945,000
|
|
13,607,863
|
Series 2010-3:
|
|
|
|
|
6.725% 4/1/35
|
|
17,810,000
|
|
20,485,774
|
7.35% 7/1/35
|
|
8,165,000
|
|
9,915,984
|
Series 2011:
|
|
|
|
|
5.665% 3/1/18
|
|
4,730,000
|
|
5,351,711
|
5.877% 3/1/19
|
|
9,215,000
|
|
10,473,677
|
TOTAL MUNICIPAL SECURITIES
(Cost $228,347,714)
|
239,555,729
|
Foreign Government and Government Agency Obligations - 1.9%
|
|
Argentine Republic:
|
|
|
|
|
discount (with partial capitalization through 12/31/13) 8.28% 12/31/33
|
|
3,072,773
|
|
1,805,254
|
2.5% 12/31/38 (e)
|
|
1,765,000
|
|
600,100
|
7% 9/12/13
|
|
10,315,000
|
|
10,308,410
|
7% 10/3/15
|
|
5,145,000
|
|
4,439,849
|
Aruba Government 4.625% 9/14/23 (g)
|
|
760,000
|
|
769,500
|
Bahamian Republic 6.95% 11/20/29 (g)
|
|
855,000
|
|
1,043,100
|
Barbados Government:
|
|
|
|
|
7% 8/4/22 (g)
|
|
400,000
|
|
416,000
|
7.25% 12/15/21 (g)
|
|
470,000
|
|
493,500
|
Belarus Republic:
|
|
|
|
|
8.75% 8/3/15 (Reg. S)
|
|
3,735,000
|
|
3,875,063
|
8.95% 1/26/18
|
|
1,235,000
|
|
1,343,063
|
Bermuda Government 4.138% 1/3/23 (g)
|
|
670,000
|
|
693,450
|
Brazilian Federative Republic:
|
|
|
|
|
5.625% 1/7/41
|
|
1,775,000
|
|
1,970,250
|
7.125% 1/20/37
|
|
1,215,000
|
|
1,600,763
|
8.25% 1/20/34
|
|
935,000
|
|
1,355,750
|
10.125% 5/15/27
|
|
545,000
|
|
901,975
|
12.25% 3/6/30
|
|
895,000
|
|
1,651,275
|
City of Buenos Aires 12.5% 4/6/15 (g)
|
|
2,710,000
|
|
2,716,775
|
Colombian Republic:
|
|
|
|
|
6.125% 1/18/41
|
|
1,735,000
|
|
2,082,000
|
7.375% 9/18/37
|
|
1,680,000
|
|
2,284,800
|
10.375% 1/28/33
|
|
1,820,000
|
|
2,993,900
|
11.75% 2/25/20
|
|
775,000
|
|
1,170,250
|
Congo Republic 3% 6/30/29 (e)
|
|
2,840,310
|
|
2,613,085
|
Foreign Government and Government Agency Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Costa Rican Republic:
|
|
|
|
|
4.25% 1/26/23 (g)
|
|
$ 1,150,000
|
|
$ 1,118,375
|
4.375% 4/30/25 (g)
|
|
490,000
|
|
475,300
|
5.625% 4/30/43 (g)
|
|
490,000
|
|
476,525
|
Croatia Republic:
|
|
|
|
|
5.5% 4/4/23 (g)
|
|
1,910,000
|
|
1,943,425
|
6.25% 4/27/17 (g)
|
|
1,260,000
|
|
1,359,288
|
6.375% 3/24/21 (g)
|
|
1,750,000
|
|
1,901,025
|
6.625% 7/14/20 (g)
|
|
1,670,000
|
|
1,839,171
|
6.75% 11/5/19 (g)
|
|
2,050,000
|
|
2,283,700
|
Democratic Socialist Republic of Sri Lanka:
|
|
|
|
|
5.875% 7/25/22 (g)
|
|
975,000
|
|
975,000
|
6.25% 10/4/20 (g)
|
|
1,910,000
|
|
1,957,750
|
6.25% 7/27/21 (g)
|
|
1,410,000
|
|
1,445,250
|
7.4% 1/22/15 (g)
|
|
1,335,000
|
|
1,408,425
|
Dominican Republic:
|
|
|
|
|
1.25% 8/30/24 (j)
|
|
1,350,000
|
|
1,215,000
|
5.875% 4/18/24 (g)
|
|
570,000
|
|
581,400
|
7.5% 5/6/21 (g)
|
|
2,030,000
|
|
2,293,900
|
9.04% 1/23/18 (g)
|
|
1,185,880
|
|
1,316,327
|
El Salvador Republic:
|
|
|
|
|
7.625% 2/1/41 (g)
|
|
675,000
|
|
718,875
|
7.65% 6/15/35 (Reg. S)
|
|
1,165,000
|
|
1,234,900
|
8.25% 4/10/32 (Reg. S)
|
|
575,000
|
|
655,500
|
Georgia Republic 6.875% 4/12/21 (g)
|
|
1,120,000
|
|
1,299,200
|
Guatemalan Republic:
|
|
|
|
|
4.875% 2/13/28 (g)
|
|
615,000
|
|
596,550
|
5.75% 6/6/22 (g)
|
|
935,000
|
|
1,009,800
|
Hungarian Republic:
|
|
|
|
|
4.125% 2/19/18
|
|
596,000
|
|
593,020
|
4.75% 2/3/15
|
|
6,330,000
|
|
6,488,250
|
7.625% 3/29/41
|
|
1,028,000
|
|
1,124,375
|
Indonesian Republic:
|
|
|
|
|
3.375% 4/15/23 (g)
|
|
555,000
|
|
527,250
|
4.625% 4/15/43 (g)
|
|
555,000
|
|
508,519
|
4.875% 5/5/21 (g)
|
|
1,260,000
|
|
1,360,800
|
5.25% 1/17/42 (g)
|
|
1,175,000
|
|
1,157,375
|
5.875% 3/13/20 (g)
|
|
1,260,000
|
|
1,442,700
|
6.625% 2/17/37 (g)
|
|
950,000
|
|
1,116,250
|
6.875% 1/17/18 (g)
|
|
905,000
|
|
1,063,375
|
7.75% 1/17/38 (g)
|
|
1,450,000
|
|
1,914,000
|
8.5% 10/12/35 (Reg. S)
|
|
1,435,000
|
|
2,023,350
|
Foreign Government and Government Agency Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Indonesian Republic: - continued
|
|
|
|
|
11.625% 3/4/19 (g)
|
|
$ 1,535,000
|
|
$ 2,206,563
|
Islamic Republic of Pakistan 7.125% 3/31/16 (g)
|
|
3,120,000
|
|
2,995,200
|
Ivory Coast 7.1% 12/31/32 (e)
|
|
750,000
|
|
701,250
|
Jordanian Kingdom 3.875% 11/12/15
|
|
1,020,000
|
|
1,009,800
|
Latvian Republic:
|
|
|
|
|
2.75% 1/12/20 (g)
|
|
1,400,000
|
|
1,347,500
|
5.25% 2/22/17 (g)
|
|
850,000
|
|
930,750
|
5.25% 6/16/21 (g)
|
|
825,000
|
|
918,885
|
Lebanese Republic:
|
|
|
|
|
4% 12/31/17
|
|
4,037,500
|
|
3,972,092
|
4.75% 11/2/16
|
|
1,785,000
|
|
1,771,613
|
5.15% 11/12/18
|
|
1,190,000
|
|
1,169,175
|
5.45% 11/28/19
|
|
1,555,000
|
|
1,508,350
|
6.375% 3/9/20
|
|
1,180,000
|
|
1,197,700
|
Lithuanian Republic:
|
|
|
|
|
6.125% 3/9/21 (g)
|
|
1,960,000
|
|
2,293,200
|
6.625% 2/1/22 (g)
|
|
1,940,000
|
|
2,352,250
|
7.375% 2/11/20 (g)
|
|
2,455,000
|
|
3,047,269
|
Mongolian People's Republic 5.125% 12/5/22 (g)
|
|
600,000
|
|
553,500
|
Moroccan Kingdom:
|
|
|
|
|
4.25% 12/11/22 (g)
|
|
1,600,000
|
|
1,560,000
|
5.5% 12/11/42 (g)
|
|
600,000
|
|
568,500
|
Panamanian Republic:
|
|
|
|
|
4.3% 4/29/53
|
|
1,030,000
|
|
927,000
|
6.7% 1/26/36
|
|
780,000
|
|
996,450
|
8.875% 9/30/27
|
|
1,265,000
|
|
1,898,765
|
Peruvian Republic:
|
|
|
|
|
4% 3/7/27 (e)
|
|
1,360,000
|
|
1,360,000
|
5.625% 11/18/50
|
|
1,035,000
|
|
1,182,488
|
7.35% 7/21/25
|
|
700,000
|
|
946,750
|
8.75% 11/21/33
|
|
2,405,000
|
|
3,757,813
|
Philippine Republic:
|
|
|
|
|
7.75% 1/14/31
|
|
1,655,000
|
|
2,329,413
|
9.5% 2/2/30
|
|
1,655,000
|
|
2,656,275
|
10.625% 3/16/25
|
|
1,210,000
|
|
1,996,500
|
Plurinational State of Bolivia 4.875% 10/29/22 (g)
|
|
1,190,000
|
|
1,166,200
|
Polish Government:
|
|
|
|
|
3% 3/17/23
|
|
1,465,000
|
|
1,406,400
|
5% 3/23/22
|
|
1,805,000
|
|
2,044,163
|
6.375% 7/15/19
|
|
2,200,000
|
|
2,664,750
|
Provincia de Cordoba 12.375% 8/17/17 (g)
|
|
1,775,000
|
|
1,366,750
|
Foreign Government and Government Agency Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Republic of Angola 7% 8/16/19 (Issued by Northern Lights III BV for Republic of Angola)
(Reg. S)
|
|
$ 1,750,000
|
|
$ 1,872,500
|
Republic of Iraq 5.8% 1/15/28 (Reg. S)
|
|
5,000,000
|
|
4,362,500
|
Republic of Namibia 5.5% 11/3/21 (g)
|
|
740,000
|
|
795,123
|
Republic of Nigeria 6.75% 1/28/21 (g)
|
|
860,000
|
|
967,500
|
Republic of Paraguay 4.625% 1/25/23 (g)
|
|
425,000
|
|
420,113
|
Republic of Senegal 8.75% 5/13/21 (g)
|
|
500,000
|
|
585,000
|
Republic of Serbia:
|
|
|
|
|
4.875% 2/25/20 (g)
|
|
1,390,000
|
|
1,367,482
|
5.25% 11/21/17 (g)
|
|
965,000
|
|
983,335
|
6.75% 11/1/24 (g)
|
|
2,921,427
|
|
2,947,135
|
7.25% 9/28/21 (g)
|
|
900,000
|
|
1,000,125
|
Republic of Slovenia 4.75% 5/10/18 (g)
|
|
555,000
|
|
538,350
|
Republic of Zambia 5.375% 9/20/22 (g)
|
|
1,000,000
|
|
937,500
|
Romanian Republic:
|
|
|
|
|
4.375% 8/22/23 (g)
|
|
1,396,000
|
|
1,385,530
|
6.75% 2/7/22 (g)
|
|
2,872,000
|
|
3,396,140
|
Russian Federation:
|
|
|
|
|
5.625% 4/4/42 (g)
|
|
600,000
|
|
658,500
|
7.5% 3/31/30 (Reg. S)
|
|
4,192,115
|
|
5,093,420
|
11% 7/24/18 (Reg. S)
|
|
385,000
|
|
539,000
|
12.75% 6/24/28 (Reg. S)
|
|
2,755,000
|
|
5,186,288
|
State of Qatar 5.75% 1/20/42 (g)
|
|
745,000
|
|
866,063
|
State Oil Co. of Azerbaijan Republic 4.75% 3/13/23 (Reg. S)
|
|
450,000
|
|
447,750
|
State Oil Company of Azerbaijan Republic 5.45% 2/9/17
|
|
355,000
|
|
378,040
|
Tanzania United Republic of 6.4499% 3/8/20 (j)
|
|
1,155,000
|
|
1,178,100
|
Turkish Republic:
|
|
|
|
|
4.875% 4/16/43
|
|
555,000
|
|
561,938
|
5.125% 3/25/22
|
|
515,000
|
|
584,525
|
5.625% 3/30/21
|
|
815,000
|
|
951,513
|
6% 1/14/41
|
|
1,020,000
|
|
1,188,300
|
6.25% 9/26/22
|
|
680,000
|
|
832,184
|
6.75% 4/3/18
|
|
1,145,000
|
|
1,374,000
|
6.75% 5/30/40
|
|
1,115,000
|
|
1,421,625
|
6.875% 3/17/36
|
|
1,795,000
|
|
2,284,138
|
7% 9/26/16
|
|
510,000
|
|
594,150
|
7% 3/11/19
|
|
335,000
|
|
412,050
|
7.25% 3/5/38
|
|
1,150,000
|
|
1,541,000
|
7.375% 2/5/25
|
|
1,825,000
|
|
2,427,250
|
7.5% 7/14/17
|
|
1,010,000
|
|
1,222,100
|
Foreign Government and Government Agency Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Turkish Republic: - continued
|
|
|
|
|
7.5% 11/7/19
|
|
$ 745,000
|
|
$ 948,013
|
8% 2/14/34
|
|
490,000
|
|
693,350
|
11.875% 1/15/30
|
|
650,000
|
|
1,209,000
|
Ukraine Financing of Infrastructure Projects State Enterprise 8.375% 11/3/17 (g)
|
|
1,690,000
|
|
1,685,775
|
Ukraine Government:
|
|
|
|
|
6.25% 6/17/16 (g)
|
|
1,155,000
|
|
1,144,952
|
6.75% 11/14/17 (g)
|
|
770,000
|
|
764,225
|
7.65% 6/11/13 (g)
|
|
1,255,000
|
|
1,255,000
|
7.75% 9/23/20 (g)
|
|
1,180,000
|
|
1,203,600
|
7.8% 11/28/22 (g)
|
|
1,000,000
|
|
1,002,500
|
7.95% 6/4/14 (g)
|
|
1,470,000
|
|
1,499,400
|
7.95% 2/23/21 (g)
|
|
1,425,000
|
|
1,467,750
|
9.25% 7/24/17 (g)
|
|
2,150,000
|
|
2,311,250
|
United Arab Emirates 7.75% 10/5/20 (Reg. S)
|
|
545,000
|
|
668,988
|
United Mexican States:
|
|
|
|
|
4.75% 3/8/44
|
|
13,438,000
|
|
13,438,000
|
5.75% 10/12/2110
|
|
326,000
|
|
337,410
|
6.05% 1/11/40
|
|
1,116,000
|
|
1,316,880
|
6.75% 9/27/34
|
|
800,000
|
|
1,018,000
|
7.5% 4/8/33
|
|
360,000
|
|
495,000
|
8.3% 8/15/31
|
|
420,000
|
|
615,300
|
Uruguay Republic 7.875% 1/15/33 pay-in-kind
|
|
2,925,000
|
|
4,007,250
|
Venezuelan Republic:
|
|
|
|
|
6% 12/9/20
|
|
480,000
|
|
384,000
|
7% 3/31/38
|
|
395,000
|
|
292,300
|
8.5% 10/8/14
|
|
1,225,000
|
|
1,246,438
|
9% 5/7/23 (Reg. S)
|
|
1,775,000
|
|
1,612,588
|
9.25% 9/15/27
|
|
335,000
|
|
304,013
|
9.25% 5/7/28 (Reg. S)
|
|
620,000
|
|
548,700
|
9.375% 1/13/34
|
|
585,000
|
|
514,800
|
11.75% 10/21/26 (Reg. S)
|
|
1,200,000
|
|
1,218,000
|
11.95% 8/5/31 (Reg. S)
|
|
1,745,000
|
|
1,779,900
|
12.75% 8/23/22
|
|
2,850,000
|
|
3,092,250
|
13.625% 8/15/18
|
|
1,318,000
|
|
1,499,225
|
Vietnamese Socialist Republic:
|
|
|
|
|
1.2599% 3/12/16 (j)
|
|
769,565
|
|
704,152
|
Foreign Government and Government Agency Obligations - continued
|
|
Principal Amount (d)
|
|
Value
|
Vietnamese Socialist Republic: - continued
|
|
|
|
|
4% 3/12/28 (e)
|
|
$ 4,518,417
|
|
$ 3,671,214
|
6.875% 1/15/16 (g)
|
|
1,760,000
|
|
1,883,200
|
TOTAL FOREIGN GOVERNMENT AND GOVERNMENT AGENCY OBLIGATIONS
(Cost $237,569,862)
|
258,488,066
|