- Quarterly Schedule of Portfolio Holdings of Registered Management Investment Company (N-Q)
March 31 2011 - 4:35PM
Edgar (US Regulatory)
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
811-21563
Investment Company Act File Number
Eaton Vance Short Duration Diversified Income Fund
(Exact Name of Registrant as Specified in Charter)
Two International Place, Boston, Massachusetts 02110
(Address of Principal Executive Offices)
Maureen A. Gemma
Two International Place, Boston, Massachusetts 02110
(Name and Address of Agent for Services)
(617) 482-8260
(Registrants Telephone Number, Including Area Code)
October 31
Date of Fiscal Year End
January 31, 2011
Date
of Reporting Period
Item 1. Schedule of Investments
|
|
Eaton
Vance Short Duration Diversified Income Fund
|
as of
January 31, 2011
|
CONSOLIDATED
PORTFOLIO OF INVESTMENTS (Unaudited)
Senior
Floating-Rate Interests
44.0%
(1)
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
Aerospace and Defense 0.7%
|
|
|
|
|
|
|
Aveos Fleet Performance, Inc.
|
|
|
|
|
|
|
|
19
|
|
|
Revolving Loan, 3.86%, Maturing March 12,
2013
(2)
|
|
$
|
18,516
|
|
|
|
|
12
|
|
|
Term Loan, 11.25%, Maturing March 12, 2013
|
|
|
12,344
|
|
|
|
|
34
|
|
|
Term Loan - Second Lien, 10.75%, Maturing March 12,
2015
(3)
|
|
|
32,260
|
|
|
|
|
|
|
|
DAE Aviation Holdings, Inc.
|
|
|
|
|
|
|
|
111
|
|
|
Term Loan, 4.06%, Maturing July 31, 2014
|
|
|
110,344
|
|
|
|
|
115
|
|
|
Term Loan, 4.06%, Maturing July 31, 2014
|
|
|
114,247
|
|
|
|
|
|
|
|
Doncasters (Dunde HoldCo 4 Ltd.)
|
|
|
|
|
|
|
|
114
|
|
|
Term Loan, 4.26%, Maturing July 13, 2015
|
|
|
108,080
|
|
|
|
|
114
|
|
|
Term Loan, 4.76%, Maturing July 13, 2015
|
|
|
108,080
|
|
GBP
|
|
|
250
|
|
|
Term Loan - Second Lien, 6.60%, Maturing January 13,
2016
|
|
|
361,918
|
|
|
|
|
|
|
|
Evergreen International Aviation
|
|
|
|
|
|
|
|
173
|
|
|
Term Loan, 10.50%, Maturing October 31,
2011
(3)
|
|
|
172,581
|
|
|
|
|
|
|
|
Hawker Beechcraft Acquisition
|
|
|
|
|
|
|
|
422
|
|
|
Term Loan, 2.27%, Maturing March 26, 2014
|
|
|
377,716
|
|
|
|
|
25
|
|
|
Term Loan, 2.30%, Maturing March 26, 2014
|
|
|
22,640
|
|
|
|
|
|
|
|
International Lease Finance Co.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan, 6.75%, Maturing March 17, 2015
|
|
|
506,340
|
|
|
|
|
|
|
|
TransDigm, Inc.
|
|
|
|
|
|
|
|
450
|
|
|
Term Loan, 5.00%, Maturing December 6, 2016
|
|
|
457,791
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,402,857
|
|
|
|
|
|
|
|
|
|
|
|
|
Air Transport 0.1%
|
|
|
|
|
|
|
Delta Air Lines, Inc.
|
|
|
|
|
|
|
|
495
|
|
|
Term Loan, 2.25%, Maturing April 30, 2012
|
|
$
|
493,454
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
493,454
|
|
|
|
|
|
|
|
|
|
|
|
|
Automotive 2.4%
|
|
|
|
|
|
|
Adesa, Inc.
|
|
|
|
|
|
|
|
677
|
|
|
Term Loan, 3.01%, Maturing October 18, 2013
|
|
$
|
676,638
|
|
|
|
|
|
|
|
Allison Transmission, Inc.
|
|
|
|
|
|
|
|
759
|
|
|
Term Loan, 3.02%, Maturing August 7, 2014
|
|
|
759,030
|
|
|
|
|
|
|
|
Federal-Mogul Corp.
|
|
|
|
|
|
|
|
947
|
|
|
Term Loan, 2.20%, Maturing December 29, 2014
|
|
|
921,868
|
|
|
|
|
559
|
|
|
Term Loan, 2.20%, Maturing December 28, 2015
|
|
|
544,327
|
|
|
|
|
|
|
|
Ford Motor Co.
|
|
|
|
|
|
|
|
787
|
|
|
Term Loan, 3.02%, Maturing December 16, 2013
|
|
|
789,872
|
|
|
|
|
|
|
|
Goodyear Tire & Rubber Co.
|
|
|
|
|
|
|
|
3,175
|
|
|
Term Loan - Second Lien, 1.96%, Maturing April 30, 2014
|
|
|
3,126,581
|
|
|
|
|
|
|
|
HHI Holdings, LLC
|
|
|
|
|
|
|
|
481
|
|
|
Term Loan, 10.50%, Maturing March 30, 2015
|
|
|
489,693
|
|
|
|
|
|
|
|
Keystone Automotive Operations, Inc.
|
|
|
|
|
|
|
|
233
|
|
|
Term Loan, 3.76%, Maturing January 12, 2012
|
|
|
214,826
|
|
|
|
|
|
|
|
Metaldyne, LLC
|
|
|
|
|
|
|
|
200
|
|
|
Term Loan, 7.75%, Maturing October 28, 2016
|
|
|
204,488
|
|
|
|
|
|
|
|
TriMas Corp.
|
|
|
|
|
|
|
|
357
|
|
|
Term Loan, 6.00%, Maturing August 2, 2011
|
|
|
359,447
|
|
|
|
|
292
|
|
|
Term Loan, 6.00%, Maturing December 15, 2015
|
|
|
293,926
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,380,696
|
|
|
|
|
|
|
|
|
|
|
|
|
Building and Development 0.3%
|
|
|
|
|
|
|
Brickman Group Holdings, Inc.
|
|
|
|
|
|
|
|
250
|
|
|
Term Loan, 7.25%, Maturing October 14, 2016
|
|
$
|
255,625
|
|
|
|
|
|
|
|
Building Materials Corp. of America
|
|
|
|
|
|
|
|
204
|
|
|
Term Loan, 3.06%, Maturing February 24, 2014
|
|
|
206,015
|
|
1
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Panolam Industries Holdings, Inc.
|
|
|
|
|
|
|
|
117
|
|
|
Term Loan, 8.25%, Maturing December 31, 2013
|
|
$
|
108,863
|
|
|
|
|
|
|
|
RE/MAX International, Inc.
|
|
|
|
|
|
|
|
447
|
|
|
Term Loan, 5.50%, Maturing April 15, 2016
|
|
|
451,091
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,021,594
|
|
|
|
|
|
|
|
|
|
|
|
|
Business Equipment and Services 4.0%
|
|
|
|
|
|
|
Activant Solutions, Inc.
|
|
|
|
|
|
|
|
65
|
|
|
Term Loan, 2.31%, Maturing May 2, 2013
|
|
$
|
64,747
|
|
|
|
|
392
|
|
|
Term Loan, 4.81%, Maturing February 2, 2016
|
|
|
395,435
|
|
|
|
|
|
|
|
Acxiom Corp.
|
|
|
|
|
|
|
|
423
|
|
|
Term Loan, 3.30%, Maturing March 15, 2015
|
|
|
426,913
|
|
|
|
|
|
|
|
Advantage Sales & Marketing, Inc.
|
|
|
|
|
|
|
|
375
|
|
|
Term Loan, 5.25%, Maturing December 18, 2017
|
|
|
378,347
|
|
|
|
|
|
|
|
Affinion Group, Inc.
|
|
|
|
|
|
|
|
844
|
|
|
Term Loan, 5.00%, Maturing October 10, 2016
|
|
|
850,479
|
|
|
|
|
|
|
|
Allied Barton Security Services
|
|
|
|
|
|
|
|
193
|
|
|
Term Loan, 7.75%, Maturing February 18, 2015
|
|
|
193,278
|
|
|
|
|
|
|
|
Dealer Computer Services, Inc.
|
|
|
|
|
|
|
|
380
|
|
|
Term Loan, 5.25%, Maturing April 21, 2017
|
|
|
383,388
|
|
|
|
|
|
|
|
Education Management, LLC
|
|
|
|
|
|
|
|
844
|
|
|
Term Loan, 2.06%, Maturing June 3, 2013
|
|
|
831,155
|
|
|
|
|
|
|
|
Fifth Third Processing Solution
|
|
|
|
|
|
|
|
175
|
|
|
Term Loan, 5.50%, Maturing November 3, 2016
|
|
|
177,975
|
|
|
|
|
|
|
|
First American Corp.
|
|
|
|
|
|
|
|
249
|
|
|
Term Loan, 4.75%, Maturing April 12, 2016
|
|
|
251,082
|
|
|
|
|
|
|
|
Language Line, Inc.
|
|
|
|
|
|
|
|
450
|
|
|
Term Loan, 6.25%, Maturing July 3, 2016
|
|
|
454,500
|
|
|
|
|
|
|
|
Mitchell International, Inc.
|
|
|
|
|
|
|
|
188
|
|
|
Term Loan, 2.31%, Maturing March 28, 2014
|
|
|
177,353
|
|
|
|
|
|
|
|
NE Customer Service
|
|
|
|
|
|
|
|
398
|
|
|
Term Loan, 6.00%, Maturing March 23, 2016
|
|
|
397,513
|
|
|
|
|
|
|
|
Protection One Alarm Monitor, Inc.
|
|
|
|
|
|
|
|
384
|
|
|
Term Loan, 6.00%, Maturing May 16, 2016
|
|
|
385,080
|
|
|
|
|
|
|
|
Quintiles Transnational Corp.
|
|
|
|
|
|
|
|
874
|
|
|
Term Loan, 2.31%, Maturing March 29, 2013
|
|
|
874,623
|
|
|
|
|
|
|
|
Sabre, Inc.
|
|
|
|
|
|
|
|
1,352
|
|
|
Term Loan, 2.28%, Maturing September 30, 2014
|
|
|
1,266,209
|
|
|
|
|
|
|
|
Serena Software, Inc.
|
|
|
|
|
|
|
|
1,185
|
|
|
Term Loan, 2.30%, Maturing March 10, 2013
|
|
|
1,185,494
|
|
|
|
|
|
|
|
Sitel (Client Logic)
|
|
|
|
|
|
|
|
165
|
|
|
Term Loan, 5.80%, Maturing January 30, 2014
|
|
|
162,647
|
|
|
|
|
|
|
|
SunGard Data Systems, Inc.
|
|
|
|
|
|
|
|
79
|
|
|
Term Loan, 2.01%, Maturing February 28, 2014
|
|
|
79,042
|
|
|
|
|
2,238
|
|
|
Term Loan, 3.91%, Maturing February 26, 2016
|
|
|
2,252,101
|
|
|
|
|
|
|
|
Travelport, LLC
|
|
|
|
|
EUR
|
|
|
526
|
|
|
Term Loan, 5.50%, Maturing August 21, 2015
|
|
|
689,298
|
|
|
|
|
|
|
|
Valassis Communications, Inc.
|
|
|
|
|
|
|
|
107
|
|
|
Term Loan, 2.56%, Maturing March 2, 2014
|
|
|
106,683
|
|
|
|
|
470
|
|
|
Term Loan, 2.56%, Maturing March 2, 2014
|
|
|
470,816
|
|
|
|
|
|
|
|
West Corp.
|
|
|
|
|
|
|
|
140
|
|
|
Term Loan, 2.74%, Maturing October 24, 2013
|
|
|
140,191
|
|
|
|
|
978
|
|
|
Term Loan, 4.59%, Maturing July 15, 2016
|
|
|
990,030
|
|
|
|
|
344
|
|
|
Term Loan, 4.61%, Maturing July 15, 2016
|
|
|
347,836
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
13,932,215
|
|
|
|
|
|
|
|
|
|
|
|
|
Cable and Satellite Television 3.1%
|
|
|
|
|
|
|
Atlantic Broadband Finance, LLC
|
|
|
|
|
|
|
|
265
|
|
|
Term Loan, 5.00%, Maturing November 27, 2015
|
|
$
|
267,923
|
|
|
|
|
|
|
|
Bresnan Communications, LLC
|
|
|
|
|
|
|
|
225
|
|
|
Term Loan, 4.50%, Maturing December 14, 2017
|
|
|
227,531
|
|
2
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Charter Communications Operating, LLC
|
|
|
|
|
|
|
|
784
|
|
|
Term Loan, 2.26%, Maturing March 6, 2014
|
|
$
|
784,756
|
|
|
|
|
|
|
|
CSC Holdings, Inc.
|
|
|
|
|
|
|
|
1,458
|
|
|
Term Loan, 2.01%, Maturing March 29, 2016
|
|
|
1,465,887
|
|
|
|
|
|
|
|
Insight Midwest Holdings, LLC
|
|
|
|
|
|
|
|
946
|
|
|
Term Loan, 2.02%, Maturing April 7, 2014
|
|
|
944,770
|
|
|
|
|
|
|
|
Kabel Deutschland GmbH
|
|
|
|
|
EUR
|
|
|
978
|
|
|
Term Loan, 3.12%, Maturing March 31, 2014
|
|
|
1,342,106
|
|
|
|
|
|
|
|
MCC Iowa, LLC
|
|
|
|
|
|
|
|
1,944
|
|
|
Term Loan, 2.01%, Maturing January 31, 2015
|
|
|
1,895,696
|
|
|
|
|
|
|
|
ProSiebenSat.1 Media AG
|
|
|
|
|
EUR
|
|
|
232
|
|
|
Term Loan, 2.91%, Maturing June 26, 2015
|
|
|
308,774
|
|
EUR
|
|
|
9
|
|
|
Term Loan, 2.91%, Maturing July 3, 2015
|
|
|
12,531
|
|
EUR
|
|
|
56
|
|
|
Term Loan, 3.68%, Maturing March 6, 2015
|
|
|
69,925
|
|
EUR
|
|
|
56
|
|
|
Term Loan, 3.93%, Maturing March 4, 2016
|
|
|
69,925
|
|
|
|
|
|
|
|
UPC Broadband Holding B.V.
|
|
|
|
|
EUR
|
|
|
1,394
|
|
|
Term Loan, 4.54%, Maturing December 31, 2016
|
|
|
1,902,717
|
|
EUR
|
|
|
604
|
|
|
Term Loan, 4.79%, Maturing December 31, 2017
|
|
|
821,638
|
|
|
|
|
|
|
|
YPSO Holding SA
|
|
|
|
|
EUR
|
|
|
97
|
|
|
Term Loan, 4.62%, Maturing June 16,
2014
(3)
|
|
|
112,823
|
|
EUR
|
|
|
158
|
|
|
Term Loan, 4.62%, Maturing June 16,
2014
(3)
|
|
|
184,079
|
|
EUR
|
|
|
251
|
|
|
Term Loan, 4.62%, Maturing June 16,
2014
(3)
|
|
|
292,349
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,703,430
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals and Plastics 2.9%
|
|
|
|
|
|
|
Celanese Holdings, LLC
|
|
|
|
|
|
|
|
1,032
|
|
|
Term Loan, 3.30%, Maturing October 31, 2016
|
|
$
|
1,044,413
|
|
|
|
|
|
|
|
Huntsman International, LLC
|
|
|
|
|
|
|
|
2,114
|
|
|
Term Loan, 1.80%, Maturing April 21, 2014
|
|
|
2,106,486
|
|
|
|
|
|
|
|
INEOS Group
|
|
|
|
|
|
|
|
1,117
|
|
|
Term Loan, 7.50%, Maturing December 16, 2013
|
|
|
1,159,140
|
|
|
|
|
1,118
|
|
|
Term Loan, 8.00%, Maturing December 16, 2014
|
|
|
1,159,852
|
|
|
|
|
|
|
|
Kraton Polymers, LLC
|
|
|
|
|
|
|
|
423
|
|
|
Term Loan, 2.31%, Maturing May 13, 2013
|
|
|
419,619
|
|
|
|
|
|
|
|
MacDermid, Inc.
|
|
|
|
|
EUR
|
|
|
342
|
|
|
Term Loan, 3.07%, Maturing April 11, 2014
|
|
|
435,283
|
|
|
|
|
|
|
|
Millenium Inorganic Chemicals
|
|
|
|
|
|
|
|
175
|
|
|
Term Loan, 2.55%, Maturing May 15, 2014
|
|
|
173,568
|
|
|
|
|
|
|
|
Momentive Performance Material
|
|
|
|
|
|
|
|
497
|
|
|
Term Loan, 2.56%, Maturing December 4, 2013
|
|
|
495,777
|
|
|
|
|
|
|
|
Nalco Co.
|
|
|
|
|
|
|
|
299
|
|
|
Term Loan, 4.50%, Maturing October 5, 2017
|
|
|
303,327
|
|
|
|
|
|
|
|
Rockwood Specialties Group, Inc.
|
|
|
|
|
EUR
|
|
|
1,302
|
|
|
Term Loan, 6.25%, Maturing May 15, 2014
|
|
|
1,779,836
|
|
|
|
|
|
|
|
Solutia, Inc.
|
|
|
|
|
|
|
|
549
|
|
|
Term Loan, 4.50%, Maturing March 17, 2017
|
|
|
554,818
|
|
|
|
|
|
|
|
Styron S.A.R.L.
|
|
|
|
|
|
|
|
488
|
|
|
Term Loan, 7.50%, Maturing June 17, 2016
|
|
|
495,726
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,127,845
|
|
|
|
|
|
|
|
|
|
|
|
|
Conglomerates 1.7%
|
|
|
|
|
|
|
Goodman Global Holdings, Inc.
|
|
|
|
|
|
|
|
374
|
|
|
Term Loan, 5.75%, Maturing October 28, 2016
|
|
$
|
377,948
|
|
|
|
|
|
|
|
Jarden Corp.
|
|
|
|
|
|
|
|
843
|
|
|
Term Loan, 3.55%, Maturing January 26, 2015
|
|
|
851,686
|
|
|
|
|
|
|
|
Manitowoc Company, Inc. (The)
|
|
|
|
|
|
|
|
526
|
|
|
Term Loan, 5.31%, Maturing November 6, 2013
|
|
|
529,501
|
|
|
|
|
59
|
|
|
Term Loan, 8.00%, Maturing November 6, 2014
|
|
|
60,459
|
|
|
|
|
|
|
|
RBS Global, Inc.
|
|
|
|
|
|
|
|
2,000
|
|
|
Term Loan, 2.81%, Maturing July 19, 2013
|
|
|
1,994,376
|
|
3
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
RGIS Holdings, LLC
|
|
|
|
|
|
|
|
38
|
|
|
Term Loan, 2.80%, Maturing April 30, 2014
|
|
$
|
37,139
|
|
|
|
|
764
|
|
|
Term Loan, 2.80%, Maturing April 30, 2014
|
|
|
742,781
|
|
|
|
|
|
|
|
Service Master Co.
|
|
|
|
|
|
|
|
45
|
|
|
Term Loan, Maturing July 24,
2014
(4)
|
|
|
44,737
|
|
|
|
|
455
|
|
|
Term Loan, Maturing July 24,
2014
(4)
|
|
|
449,236
|
|
|
|
|
|
|
|
US Investigations Services, Inc.
|
|
|
|
|
|
|
|
508
|
|
|
Term Loan, 3.05%, Maturing February 21, 2015
|
|
|
504,720
|
|
|
|
|
|
|
|
Vertrue, Inc.
|
|
|
|
|
|
|
|
237
|
|
|
Term Loan, 3.31%, Maturing August 16, 2014
|
|
|
214,714
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,807,297
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers and Glass Products 1.0%
|
|
|
|
|
|
|
Berry Plastics Corp.
|
|
|
|
|
|
|
|
526
|
|
|
Term Loan, 2.28%, Maturing April 3, 2015
|
|
$
|
516,415
|
|
|
|
|
|
|
|
Consolidated Container Co.
|
|
|
|
|
|
|
|
295
|
|
|
Term Loan, 2.50%, Maturing March 28, 2014
|
|
|
281,342
|
|
|
|
|
|
|
|
Crown Americas, Inc.
|
|
|
|
|
EUR
|
|
|
378
|
|
|
Term Loan, 2.51%, Maturing November 15, 2012
|
|
|
509,201
|
|
|
|
|
|
|
|
Graham Packaging Holdings Co.
|
|
|
|
|
|
|
|
771
|
|
|
Term Loan, 6.75%, Maturing April 5, 2014
|
|
|
784,560
|
|
|
|
|
|
|
|
Reynolds Group Holdings, Inc.
|
|
|
|
|
|
|
|
988
|
|
|
Term Loan, 6.25%, Maturing May 5, 2016
|
|
|
995,866
|
|
|
|
|
250
|
|
|
Term Loan, 6.50%, Maturing May 5, 2016
|
|
|
251,666
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,339,050
|
|
|
|
|
|
|
|
|
|
|
|
|
Cosmetics/Toiletries 0.7%
|
|
|
|
|
|
|
Alliance Boots Holdings, Ltd.
|
|
|
|
|
EUR
|
|
|
1,000
|
|
|
Term Loan, 3.78%, Maturing July 5, 2015
|
|
$
|
1,324,843
|
|
|
|
|
|
|
|
Bausch & Lomb, Inc.
|
|
|
|
|
|
|
|
114
|
|
|
Term Loan, 3.51%, Maturing April 24, 2015
|
|
|
114,245
|
|
|
|
|
468
|
|
|
Term Loan, 3.54%, Maturing April 24, 2015
|
|
|
470,523
|
|
|
|
|
|
|
|
Prestige Brands, Inc.
|
|
|
|
|
|
|
|
441
|
|
|
Term Loan, 4.75%, Maturing March 24, 2016
|
|
|
445,609
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,355,220
|
|
|
|
|
|
|
|
|
|
|
|
|
Drugs 0.4%
|
|
|
|
|
|
|
Pharmaceutical Holdings Corp.
|
|
|
|
|
|
|
|
29
|
|
|
Term Loan, 4.51%, Maturing January 30, 2012
|
|
$
|
28,658
|
|
|
|
|
|
|
|
Warner Chilcott Corp.
|
|
|
|
|
|
|
|
607
|
|
|
Term Loan, 6.00%, Maturing October 30, 2014
|
|
|
609,067
|
|
|
|
|
13
|
|
|
Term Loan, 6.25%, Maturing April 30, 2015
|
|
|
12,800
|
|
|
|
|
321
|
|
|
Term Loan, 6.25%, Maturing April 30, 2015
|
|
|
323,973
|
|
|
|
|
528
|
|
|
Term Loan, 6.25%, Maturing April 30, 2015
|
|
|
532,422
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,506,920
|
|
|
|
|
|
|
|
|
|
|
|
|
Ecological Services and Equipment 0.2%
|
|
|
|
|
|
|
Big Dumpster Merger Sub, Inc.
|
|
|
|
|
|
|
|
92
|
|
|
Term Loan, 2.51%, Maturing February 5, 2013
|
|
$
|
73,006
|
|
|
|
|
|
|
|
Sensus Metering Systems, Inc.
|
|
|
|
|
|
|
|
347
|
|
|
Term Loan, 7.00%, Maturing June 3, 2013
|
|
|
349,804
|
|
|
|
|
|
|
|
Wastequip, Inc.
|
|
|
|
|
|
|
|
377
|
|
|
Term Loan, 2.51%, Maturing February 5, 2013
|
|
|
300,341
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
723,151
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronics/Electrical 1.4%
|
|
|
|
|
|
|
Aspect Software, Inc.
|
|
|
|
|
|
|
|
372
|
|
|
Term Loan, 6.25%, Maturing April 19, 2016
|
|
$
|
376,530
|
|
|
|
|
|
|
|
Freescale Semiconductor, Inc.
|
|
|
|
|
|
|
|
942
|
|
|
Term Loan, 4.51%, Maturing December 1, 2016
|
|
|
945,592
|
|
|
|
|
|
|
|
Infor Enterprise Solutions Holdings
|
|
|
|
|
|
|
|
378
|
|
|
Term Loan, 6.01%, Maturing July 28, 2015
|
|
|
368,326
|
|
4
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
724
|
|
|
Term Loan, 6.01%, Maturing July 28, 2015
|
|
$
|
704,598
|
|
|
|
|
250
|
|
|
Term Loan - Second Lien, 5.76%, Maturing March 2, 2014
|
|
|
193,281
|
|
|
|
|
92
|
|
|
Term Loan - Second Lien, 6.51%, Maturing March 2, 2014
|
|
|
70,583
|
|
|
|
|
158
|
|
|
Term Loan - Second Lien, 6.51%, Maturing March 2, 2014
|
|
|
122,576
|
|
|
|
|
|
|
|
Network Solutions, LLC
|
|
|
|
|
|
|
|
496
|
|
|
Term Loan, 2.51%, Maturing March 7, 2014
|
|
|
478,025
|
|
|
|
|
|
|
|
Open Solutions, Inc.
|
|
|
|
|
|
|
|
313
|
|
|
Term Loan, 2.43%, Maturing January 23, 2014
|
|
|
273,917
|
|
|
|
|
|
|
|
Sensata Technologies Finance Co.
|
|
|
|
|
|
|
|
962
|
|
|
Term Loan, 2.05%, Maturing April 26, 2013
|
|
|
962,217
|
|
|
|
|
|
|
|
SS&C Technologies, Inc.
|
|
|
|
|
|
|
|
299
|
|
|
Term Loan, 2.30%, Maturing November 23, 2012
|
|
|
297,215
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,792,860
|
|
|
|
|
|
|
|
|
|
|
|
|
Farming/Agriculture 0.0%
(6)
|
|
|
|
|
|
|
CF Industries, Inc.
|
|
|
|
|
|
|
|
113
|
|
|
Term Loan, 4.25%, Maturing April 6, 2015
|
|
$
|
113,572
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
113,572
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Intermediaries 0.8%
|
|
|
|
|
|
|
Citco III, Ltd.
|
|
|
|
|
|
|
|
635
|
|
|
Term Loan, 4.46%, Maturing June 30, 2014
|
|
$
|
631,430
|
|
|
|
|
|
|
|
HarbourVest Partners, LLC
|
|
|
|
|
|
|
|
275
|
|
|
Term Loan, 6.25%, Maturing December 14, 2016
|
|
|
278,438
|
|
|
|
|
|
|
|
Jupiter Asset Management Group
|
|
|
|
|
GBP
|
|
|
159
|
|
|
Term Loan, 4.35%, Maturing March 17, 2015
|
|
|
253,693
|
|
|
|
|
|
|
|
LPL Holdings, Inc.
|
|
|
|
|
|
|
|
114
|
|
|
Term Loan, 2.04%, Maturing June 28, 2013
|
|
|
113,736
|
|
|
|
|
357
|
|
|
Term Loan, 4.25%, Maturing June 25, 2015
|
|
|
360,243
|
|
|
|
|
|
|
|
MSCI, Inc.
|
|
|
|
|
|
|
|
771
|
|
|
Term Loan, 4.75%, Maturing June 1, 2016
|
|
|
780,282
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.
|
|
|
|
|
|
|
|
231
|
|
|
Term Loan, 3.30%, Maturing November 13, 2014
|
|
|
225,944
|
|
|
|
|
269
|
|
|
Term Loan, 5.80%, Maturing May 12, 2017
|
|
|
271,946
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,915,712
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products 0.8%
|
|
|
|
|
|
|
Acosta, Inc.
|
|
|
|
|
|
|
|
597
|
|
|
Term Loan, 2.51%, Maturing July 28, 2013
|
|
$
|
596,502
|
|
|
|
|
|
|
|
Dole Food Company, Inc.
|
|
|
|
|
|
|
|
708
|
|
|
Term Loan, 5.04%, Maturing March 2, 2017
|
|
|
715,711
|
|
|
|
|
285
|
|
|
Term Loan, 5.06%, Maturing March 2, 2017
|
|
|
288,157
|
|
|
|
|
|
|
|
Pierre Foods, Inc.
|
|
|
|
|
|
|
|
274
|
|
|
Term Loan, 7.00%, Maturing September 30, 2016
|
|
|
277,570
|
|
|
|
|
|
|
|
Pinnacle Foods Finance, LLC
|
|
|
|
|
|
|
|
1,031
|
|
|
Term Loan, 2.76%, Maturing April 2, 2014
|
|
|
1,029,659
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,907,599
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Service 1.8%
|
|
|
|
|
|
|
Aramark Corp.
|
|
|
|
|
|
|
|
43
|
|
|
Term Loan, 2.14%, Maturing January 27, 2014
|
|
$
|
42,788
|
|
|
|
|
529
|
|
|
Term Loan, 2.18%, Maturing January 27, 2014
|
|
|
531,148
|
|
GBP
|
|
|
528
|
|
|
Term Loan, 2.76%, Maturing January 27, 2014
|
|
|
820,404
|
|
|
|
|
77
|
|
|
Term Loan, 3.51%, Maturing July 26, 2016
|
|
|
77,510
|
|
|
|
|
1,168
|
|
|
Term Loan, 3.55%, Maturing July 26, 2016
|
|
|
1,178,592
|
|
|
|
|
|
|
|
Buffets, Inc.
|
|
|
|
|
|
|
|
33
|
|
|
Term Loan, 7.55%, Maturing April 22,
2015
(3)
|
|
|
25,621
|
|
|
|
|
298
|
|
|
Term Loan, 12.00%, Maturing April 21,
2015
(3)
|
|
|
284,709
|
|
|
|
|
|
|
|
Burger King Corp.
|
|
|
|
|
|
|
|
600
|
|
|
Term Loan, 6.25%, Maturing October 19, 2016
|
|
|
610,265
|
|
5
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
DineEquity, Inc.
|
|
|
|
|
|
|
|
381
|
|
|
Term Loan, 6.00%, Maturing October 19, 2017
|
|
$
|
388,109
|
|
|
|
|
|
|
|
Dunkin Brands, Inc.
|
|
|
|
|
|
|
|
425
|
|
|
Term Loan, 5.75%, Maturing November 23, 2017
|
|
|
432,720
|
|
|
|
|
|
|
|
JRD Holdings, Inc.
|
|
|
|
|
|
|
|
592
|
|
|
Term Loan, 2.51%, Maturing July 2, 2014
|
|
|
586,467
|
|
|
|
|
|
|
|
OSI Restaurant Partners, LLC
|
|
|
|
|
|
|
|
19
|
|
|
Term Loan, 2.56%, Maturing June 14, 2013
|
|
|
18,508
|
|
|
|
|
183
|
|
|
Term Loan, 2.63%, Maturing June 14, 2014
|
|
|
179,863
|
|
|
|
|
|
|
|
Selecta
|
|
|
|
|
EUR
|
|
|
741
|
|
|
Term Loan, 3.62%, Maturing June 28, 2015
|
|
|
868,988
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
6,045,692
|
|
|
|
|
|
|
|
|
|
|
|
|
Food/Drug Retailers 1.4%
|
|
|
|
|
|
|
General Nutrition Centers, Inc.
|
|
|
|
|
|
|
|
767
|
|
|
Term Loan, 2.54%, Maturing September 16, 2013
|
|
$
|
764,920
|
|
|
|
|
|
|
|
NBTY, Inc.
|
|
|
|
|
|
|
|
450
|
|
|
Term Loan, 6.25%, Maturing October 2, 2017
|
|
|
457,735
|
|
|
|
|
|
|
|
Rite Aid Corp.
|
|
|
|
|
|
|
|
980
|
|
|
Term Loan, 2.02%, Maturing June 4, 2014
|
|
|
944,084
|
|
|
|
|
1,470
|
|
|
Term Loan, 6.00%, Maturing June 4, 2014
|
|
|
1,480,336
|
|
|
|
|
|
|
|
Roundys Supermarkets, Inc.
|
|
|
|
|
|
|
|
1,147
|
|
|
Term Loan, 7.00%, Maturing November 3, 2013
|
|
|
1,155,192
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,802,267
|
|
|
|
|
|
|
|
|
|
|
|
|
Forest Products 0.5%
|
|
|
|
|
|
|
Georgia-Pacific Corp.
|
|
|
|
|
|
|
|
1,188
|
|
|
Term Loan, 2.30%, Maturing December 20, 2012
|
|
$
|
1,192,096
|
|
|
|
|
420
|
|
|
Term Loan, 3.55%, Maturing December 23, 2014
|
|
|
423,803
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,615,899
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care 4.9%
|
|
|
|
|
|
|
Ascend Learning
|
|
|
|
|
|
|
|
225
|
|
|
Term Loan, 7.75%, Maturing December 6, 2016
|
|
$
|
222,094
|
|
|
|
|
|
|
|
Aveta Holdings, LLC
|
|
|
|
|
|
|
|
130
|
|
|
Term Loan, 8.50%, Maturing April 14, 2015
|
|
|
131,238
|
|
|
|
|
130
|
|
|
Term Loan, 8.50%, Maturing April 14, 2015
|
|
|
131,238
|
|
|
|
|
|
|
|
Biomet, Inc.
|
|
|
|
|
|
|
|
750
|
|
|
Term Loan, 3.29%, Maturing March 25, 2015
|
|
|
753,510
|
|
EUR
|
|
|
339
|
|
|
Term Loan, 3.85%, Maturing March 25, 2015
|
|
|
462,180
|
|
|
|
|
|
|
|
Cardinal Health 409, Inc.
|
|
|
|
|
|
|
|
410
|
|
|
Term Loan, 2.51%, Maturing April 10, 2014
|
|
|
400,043
|
|
|
|
|
|
|
|
Carestream Health, Inc.
|
|
|
|
|
|
|
|
812
|
|
|
Term Loan, 2.26%, Maturing April 30, 2013
|
|
|
806,720
|
|
|
|
|
|
|
|
Carl Zeiss Vision Holding GmbH
|
|
|
|
|
|
|
|
360
|
|
|
Term Loan, 1.87%, Maturing October 24, 2014
|
|
|
322,200
|
|
|
|
|
40
|
|
|
Term Loan, 4.00%, Maturing September 30, 2019
|
|
|
31,600
|
|
|
|
|
|
|
|
Community Health Systems, Inc.
|
|
|
|
|
|
|
|
71
|
|
|
Term Loan, 2.54%, Maturing July 25, 2014
|
|
|
70,456
|
|
|
|
|
1,373
|
|
|
Term Loan, 2.54%, Maturing July 25, 2014
|
|
|
1,367,593
|
|
|
|
|
690
|
|
|
Term Loan, 3.79%, Maturing January 25, 2017
|
|
|
695,866
|
|
|
|
|
|
|
|
Dako EQT Project Delphi
|
|
|
|
|
|
|
|
250
|
|
|
Term Loan - Second Lien, 4.05%, Maturing December 12,
2016
|
|
|
219,375
|
|
|
|
|
|
|
|
DaVita, Inc.
|
|
|
|
|
|
|
|
650
|
|
|
Term Loan, 4.50%, Maturing October 20, 2016
|
|
|
660,444
|
|
|
|
|
|
|
|
DJO Finance, LLC
|
|
|
|
|
|
|
|
160
|
|
|
Term Loan, 3.26%, Maturing May 20, 2014
|
|
|
159,004
|
|
|
|
|
|
|
|
Fenwal, Inc.
|
|
|
|
|
|
|
|
72
|
|
|
Term Loan, 2.54%, Maturing February 28, 2014
|
|
|
67,271
|
|
|
|
|
420
|
|
|
Term Loan, 2.54%, Maturing February 28, 2014
|
|
|
392,415
|
|
6
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Grifols SA
|
|
|
|
|
|
|
|
450
|
|
|
Term Loan, Maturing November 23,
2016
(4)
|
|
$
|
457,641
|
|
|
|
|
|
|
|
HCA, Inc.
|
|
|
|
|
|
|
|
455
|
|
|
Term Loan, 2.55%, Maturing November 18, 2013
|
|
|
454,746
|
|
|
|
|
1,091
|
|
|
Term Loan, 3.55%, Maturing March 31, 2017
|
|
|
1,104,297
|
|
|
|
|
|
|
|
Health Management Associates, Inc.
|
|
|
|
|
|
|
|
1,014
|
|
|
Term Loan, 2.05%, Maturing February 28, 2014
|
|
|
1,011,701
|
|
|
|
|
|
|
|
IM U.S. Holdings, LLC
|
|
|
|
|
|
|
|
803
|
|
|
Term Loan, 2.26%, Maturing June 26, 2014
|
|
|
802,218
|
|
|
|
|
|
|
|
inVentiv Health, Inc.
|
|
|
|
|
|
|
|
498
|
|
|
Term Loan, 6.50%, Maturing August 4, 2016
|
|
|
504,963
|
|
|
|
|
|
|
|
MPT Operating Partnership, L.P.
|
|
|
|
|
|
|
|
238
|
|
|
Term Loan, 5.00%, Maturing May 17, 2016
|
|
|
239,106
|
|
|
|
|
|
|
|
Mylan, Inc.
|
|
|
|
|
|
|
|
202
|
|
|
Term Loan, 3.56%, Maturing October 2, 2014
|
|
|
203,181
|
|
|
|
|
|
|
|
National Mentor Holdings, Inc.
|
|
|
|
|
|
|
|
17
|
|
|
Term Loan, 2.15%, Maturing June 29, 2013
|
|
|
16,632
|
|
|
|
|
270
|
|
|
Term Loan, 4.25%, Maturing June 29, 2013
|
|
|
267,752
|
|
|
|
|
|
|
|
Nyco Holdings
|
|
|
|
|
EUR
|
|
|
290
|
|
|
Term Loan, 4.87%, Maturing December 29, 2014
|
|
|
391,679
|
|
EUR
|
|
|
290
|
|
|
Term Loan, 5.37%, Maturing December 29, 2015
|
|
|
391,472
|
|
|
|
|
|
|
|
P&F Capital S.A.R.L.
|
|
|
|
|
EUR
|
|
|
59
|
|
|
Term Loan, 3.03%, Maturing December 20, 2013
|
|
|
80,553
|
|
EUR
|
|
|
91
|
|
|
Term Loan, 3.03%, Maturing December 20, 2013
|
|
|
124,227
|
|
EUR
|
|
|
114
|
|
|
Term Loan, 3.03%, Maturing December 20, 2013
|
|
|
155,134
|
|
EUR
|
|
|
190
|
|
|
Term Loan, 3.03%, Maturing December 20, 2013
|
|
|
259,196
|
|
EUR
|
|
|
32
|
|
|
Term Loan, 3.78%, Maturing December 22, 2014
|
|
|
43,528
|
|
EUR
|
|
|
66
|
|
|
Term Loan, 3.78%, Maturing December 22, 2014
|
|
|
90,215
|
|
EUR
|
|
|
86
|
|
|
Term Loan, 3.78%, Maturing December 22, 2014
|
|
|
116,966
|
|
EUR
|
|
|
269
|
|
|
Term Loan, 3.78%, Maturing December 22, 2014
|
|
|
367,549
|
|
|
|
|
|
|
|
RadNet Management, Inc.
|
|
|
|
|
|
|
|
248
|
|
|
Term Loan, 5.75%, Maturing April 1, 2016
|
|
|
249,211
|
|
|
|
|
|
|
|
ReAble Therapeutics Finance, LLC
|
|
|
|
|
|
|
|
427
|
|
|
Term Loan, 2.26%, Maturing November 18, 2013
|
|
|
425,527
|
|
|
|
|
|
|
|
Select Medical Holdings Corp.
|
|
|
|
|
|
|
|
362
|
|
|
Term Loan, 4.04%, Maturing August 22, 2014
|
|
|
364,033
|
|
|
|
|
371
|
|
|
Term Loan, 4.05%, Maturing August 22, 2014
|
|
|
373,273
|
|
|
|
|
|
|
|
Vanguard Health Holding Co., LLC
|
|
|
|
|
|
|
|
746
|
|
|
Term Loan, 5.00%, Maturing January 29, 2016
|
|
|
754,028
|
|
|
|
|
|
|
|
VWR Funding, Inc.
|
|
|
|
|
|
|
|
931
|
|
|
Term Loan, 2.76%, Maturing June 30, 2014
|
|
|
924,839
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
17,066,914
|
|
|
|
|
|
|
|
|
|
|
|
|
Home Furnishings 0.3%
|
|
|
|
|
|
|
National Bedding Co., LLC
|
|
|
|
|
|
|
|
979
|
|
|
Term Loan, 3.81%, Maturing November 28, 2013
|
|
$
|
984,212
|
|
|
|
|
|
|
|
Oreck Corp.
|
|
|
|
|
|
|
|
85
|
|
|
Term Loan - Second Lien, 3.80%, Maturing March 19,
2016
(5)
|
|
|
76,273
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,060,485
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Equipment 1.2%
|
|
|
|
|
|
|
Brand Energy and Infrastructure Services, Inc.
|
|
|
|
|
|
|
|
184
|
|
|
Term Loan, 3.56%, Maturing February 7, 2014
|
|
$
|
183,584
|
|
|
|
|
|
|
|
EPD Holdings (Goodyear Engineering Products)
|
|
|
|
|
|
|
|
85
|
|
|
Term Loan, 2.76%, Maturing July 31, 2014
|
|
|
78,934
|
|
|
|
|
593
|
|
|
Term Loan, 2.76%, Maturing July 31, 2014
|
|
|
551,112
|
|
|
|
|
200
|
|
|
Term Loan - Second Lien, 6.01%, Maturing July 13, 2015
|
|
|
176,125
|
|
|
|
|
|
|
|
Generac Acquisition Corp.
|
|
|
|
|
|
|
|
262
|
|
|
Term Loan, 2.80%, Maturing November 11, 2013
|
|
|
262,186
|
|
|
|
|
|
|
|
Gleason Corp.
|
|
|
|
|
|
|
|
175
|
|
|
Term Loan, 2.05%, Maturing June 30, 2013
|
|
|
171,414
|
|
7
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
John Maneely Co.
|
|
|
|
|
|
|
|
1,208
|
|
|
Term Loan, 3.55%, Maturing December 9, 2013
|
|
$
|
1,196,737
|
|
|
|
|
|
|
|
Pinafore, LLC
|
|
|
|
|
|
|
|
444
|
|
|
Term Loan, 6.25%, Maturing September 29, 2016
|
|
|
451,470
|
|
|
|
|
|
|
|
Polypore, Inc.
|
|
|
|
|
|
|
|
801
|
|
|
Term Loan, 2.26%, Maturing July 3, 2014
|
|
|
787,455
|
|
|
|
|
|
|
|
Sequa Corp.
|
|
|
|
|
|
|
|
397
|
|
|
Term Loan, 3.56%, Maturing December 3, 2014
|
|
|
392,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,251,730
|
|
|
|
|
|
|
|
|
|
|
|
|
Insurance 0.9%
|
|
|
|
|
|
|
Alliant Holdings I, Inc.
|
|
|
|
|
|
|
|
489
|
|
|
Term Loan, 3.30%, Maturing August 21, 2014
|
|
$
|
476,977
|
|
|
|
|
|
|
|
Applied Systems, Inc.
|
|
|
|
|
|
|
|
300
|
|
|
Term Loan, 5.50%, Maturing December 8, 2016
|
|
|
302,000
|
|
|
|
|
|
|
|
CCC Information Services Group, Inc.
|
|
|
|
|
|
|
|
250
|
|
|
Term Loan, 5.50%, Maturing November 11, 2015
|
|
|
253,047
|
|
|
|
|
|
|
|
Conseco, Inc.
|
|
|
|
|
|
|
|
300
|
|
|
Term Loan, 7.50%, Maturing September 30, 2016
|
|
|
303,750
|
|
|
|
|
|
|
|
Crawford & Company
|
|
|
|
|
|
|
|
329
|
|
|
Term Loan, 5.25%, Maturing October 30, 2013
|
|
|
326,319
|
|
|
|
|
|
|
|
Crump Group, Inc.
|
|
|
|
|
|
|
|
162
|
|
|
Term Loan, 3.26%, Maturing August 1, 2014
|
|
|
159,949
|
|
|
|
|
|
|
|
HUB International Holdings, Inc.
|
|
|
|
|
|
|
|
128
|
|
|
Term Loan, 2.80%, Maturing June 13, 2014
|
|
|
128,054
|
|
|
|
|
572
|
|
|
Term Loan, 2.80%, Maturing June 13, 2014
|
|
|
569,679
|
|
|
|
|
|
|
|
U.S.I. Holdings Corp.
|
|
|
|
|
|
|
|
707
|
|
|
Term Loan, 2.76%, Maturing May 5, 2014
|
|
|
694,159
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,213,934
|
|
|
|
|
|
|
|
|
|
|
|
|
Leisure Goods/Activities/Movies 2.3%
|
|
|
|
|
|
|
AMC Entertainment, Inc.
|
|
|
|
|
|
|
|
1,944
|
|
|
Term Loan, 3.51%, Maturing December 16, 2016
|
|
$
|
1,959,224
|
|
|
|
|
|
|
|
Bombardier Recreational Products
|
|
|
|
|
|
|
|
524
|
|
|
Term Loan, 2.81%, Maturing June 28, 2013
|
|
|
522,085
|
|
|
|
|
|
|
|
Cinemark, Inc.
|
|
|
|
|
|
|
|
980
|
|
|
Term Loan, 3.53%, Maturing April 29, 2016
|
|
|
988,880
|
|
|
|
|
|
|
|
Miramax Film NY, LLC
|
|
|
|
|
|
|
|
200
|
|
|
Term Loan, 7.75%, Maturing May 20, 2016
|
|
|
205,500
|
|
|
|
|
|
|
|
National CineMedia, LLC
|
|
|
|
|
|
|
|
725
|
|
|
Term Loan, 2.06%, Maturing February 13, 2015
|
|
|
720,599
|
|
|
|
|
|
|
|
Regal Cinemas Corp.
|
|
|
|
|
|
|
|
1,300
|
|
|
Term Loan, 3.80%, Maturing November 21, 2016
|
|
|
1,310,608
|
|
|
|
|
|
|
|
Revolution Studios Distribution Co., LLC
|
|
|
|
|
|
|
|
280
|
|
|
Term Loan, 4.01%, Maturing December 21, 2014
|
|
|
222,866
|
|
|
|
|
225
|
|
|
Term Loan - Second Lien, 7.26%, Maturing June 21,
2015
(5)
|
|
|
74,250
|
|
|
|
|
|
|
|
Six Flags Theme Parks, Inc.
|
|
|
|
|
|
|
|
605
|
|
|
Term Loan, 5.50%, Maturing June 30, 2016
|
|
|
614,156
|
|
|
|
|
|
|
|
Universal City Development Partners, Ltd.
|
|
|
|
|
|
|
|
668
|
|
|
Term Loan, 5.50%, Maturing November 6, 2014
|
|
|
677,297
|
|
|
|
|
|
|
|
Zuffa, LLC
|
|
|
|
|
|
|
|
483
|
|
|
Term Loan, 2.31%, Maturing June 19, 2015
|
|
|
475,263
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
7,770,728
|
|
|
|
|
|
|
|
|
|
|
|
|
Lodging and Casinos 1.2%
|
|
|
|
|
|
|
Harrahs Operating Co.
|
|
|
|
|
|
|
|
403
|
|
|
Term Loan, 3.30%, Maturing January 28, 2015
|
|
$
|
376,636
|
|
|
|
|
1,569
|
|
|
Term Loan, 3.30%, Maturing January 28, 2015
|
|
|
1,465,636
|
|
|
|
|
|
|
|
Herbst Gaming, Inc.
|
|
|
|
|
|
|
|
411
|
|
|
Term Loan, 10.00%, Maturing December 31, 2015
|
|
|
428,489
|
|
8
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
Isle of Capri Casinos, Inc.
|
|
|
|
|
|
|
|
160
|
|
|
Term Loan, 5.00%, Maturing November 25, 2013
|
|
$
|
160,376
|
|
|
|
|
212
|
|
|
Term Loan, 5.00%, Maturing November 25, 2013
|
|
|
212,728
|
|
|
|
|
531
|
|
|
Term Loan, 5.00%, Maturing November 25, 2013
|
|
|
531,820
|
|
|
|
|
|
|
|
Las Vegas Sands, LLC
|
|
|
|
|
|
|
|
108
|
|
|
Term Loan, 3.03%, Maturing November 23, 2016
|
|
|
107,097
|
|
|
|
|
532
|
|
|
Term Loan, 3.04%, Maturing November 23, 2016
|
|
|
530,524
|
|
|
|
|
|
|
|
VML US Finance, LLC
|
|
|
|
|
|
|
|
110
|
|
|
Term Loan, 4.80%, Maturing May 25, 2012
|
|
|
110,605
|
|
|
|
|
220
|
|
|
Term Loan, 4.80%, Maturing May 27, 2013
|
|
|
221,210
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,145,121
|
|
|
|
|
|
|
|
|
|
|
|
|
Nonferrous Metals/Minerals 0.2%
|
|
|
|
|
|
|
Noranda Aluminum Acquisition
|
|
|
|
|
|
|
|
341
|
|
|
Term Loan, 2.01%, Maturing May 18, 2014
|
|
$
|
340,004
|
|
|
|
|
|
|
|
Novelis, Inc.
|
|
|
|
|
|
|
|
425
|
|
|
Term Loan, 5.25%, Maturing December 19, 2016
|
|
|
433,234
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
773,238
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil and Gas 1.0%
|
|
|
|
|
|
|
CITGO Petroleum Corp.
|
|
|
|
|
|
|
|
572
|
|
|
Term Loan, 9.00%, Maturing June 23, 2017
|
|
$
|
603,413
|
|
|
|
|
|
|
|
Dresser, Inc.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan, 2.53%, Maturing May 4, 2014
|
|
|
499,375
|
|
|
|
|
300
|
|
|
Term Loan - Second Lien, 6.03%, Maturing May 4, 2015
|
|
|
300,094
|
|
|
|
|
|
|
|
Dynegy Holdings, Inc.
|
|
|
|
|
|
|
|
74
|
|
|
Term Loan, 4.01%, Maturing April 2, 2013
|
|
|
73,494
|
|
|
|
|
925
|
|
|
Term Loan, 4.01%, Maturing April 2, 2013
|
|
|
922,409
|
|
|
|
|
|
|
|
Obsidian Natural Gas Trust
|
|
|
|
|
|
|
|
663
|
|
|
Term Loan, 7.00%, Maturing November 2, 2015
|
|
|
677,748
|
|
|
|
|
|
|
|
Sheridan Production Partners I, LLC
|
|
|
|
|
|
|
|
25
|
|
|
Term Loan, 7.50%, Maturing April 20, 2017
|
|
|
25,128
|
|
|
|
|
41
|
|
|
Term Loan, 7.50%, Maturing April 20, 2017
|
|
|
41,138
|
|
|
|
|
307
|
|
|
Term Loan, 7.50%, Maturing April 20, 2017
|
|
|
310,458
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,453,257
|
|
|
|
|
|
|
|
|
|
|
|
|
Publishing 1.7%
|
|
|
|
|
|
|
Cengage Learning, Inc.
|
|
|
|
|
|
|
|
486
|
|
|
Term Loan, 2.55%, Maturing July 3, 2014
|
|
$
|
479,089
|
|
|
|
|
|
|
|
GateHouse Media Operating, Inc.
|
|
|
|
|
|
|
|
310
|
|
|
Term Loan, 2.26%, Maturing August 28, 2014
|
|
|
148,904
|
|
|
|
|
738
|
|
|
Term Loan, 2.26%, Maturing August 28, 2014
|
|
|
354,036
|
|
|
|
|
|
|
|
Getty Images, Inc.
|
|
|
|
|
|
|
|
1,247
|
|
|
Term Loan, 5.25%, Maturing November 7, 2016
|
|
|
1,267,916
|
|
|
|
|
|
|
|
Laureate Education, Inc.
|
|
|
|
|
|
|
|
58
|
|
|
Term Loan, 3.55%, Maturing August 17, 2014
|
|
|
56,694
|
|
|
|
|
388
|
|
|
Term Loan, 3.55%, Maturing August 17, 2014
|
|
|
378,684
|
|
|
|
|
|
|
|
MediaNews Group, Inc.
|
|
|
|
|
|
|
|
37
|
|
|
Term Loan, 8.50%, Maturing March 19, 2014
|
|
|
36,632
|
|
|
|
|
|
|
|
Nielsen Finance, LLC
|
|
|
|
|
|
|
|
1,629
|
|
|
Term Loan, 2.26%, Maturing August 9, 2013
|
|
|
1,631,500
|
|
|
|
|
|
|
|
SGS International, Inc.
|
|
|
|
|
|
|
|
376
|
|
|
Term Loan, 3.96%, Maturing September 30, 2013
|
|
|
373,340
|
|
|
|
|
|
|
|
Xsys, Inc.
|
|
|
|
|
EUR
|
|
|
793
|
|
|
Term Loan, 3.39%, Maturing September 27, 2014
|
|
|
1,079,911
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
5,806,706
|
|
|
|
|
|
|
|
|
|
|
|
|
Radio and Television 1.3%
|
|
|
|
|
|
|
Block Communications, Inc.
|
|
|
|
|
|
|
|
261
|
|
|
Term Loan, 2.30%, Maturing December 22, 2011
|
|
$
|
255,372
|
|
9
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
|
|
|
|
|
|
CMP KC, LLC
|
|
|
|
|
|
|
|
478
|
|
|
Term Loan, 6.42%, Maturing May 3,
2011
(3)(5)
|
|
$
|
137,213
|
|
|
|
|
|
|
|
CMP Susquehanna Corp.
|
|
|
|
|
|
|
|
598
|
|
|
Term Loan, 2.31%, Maturing May 5, 2013
|
|
|
578,474
|
|
|
|
|
|
|
|
Live Nation Worldwide, Inc.
|
|
|
|
|
|
|
|
521
|
|
|
Term Loan, 4.50%, Maturing November 7, 2016
|
|
|
524,098
|
|
|
|
|
|
|
|
Mission Broadcasting, Inc.
|
|
|
|
|
|
|
|
126
|
|
|
Term Loan, 5.00%, Maturing September 30, 2016
|
|
|
126,431
|
|
|
|
|
|
|
|
NEP II, Inc.
|
|
|
|
|
|
|
|
164
|
|
|
Term Loan, 2.54%, Maturing February 16, 2014
|
|
|
161,596
|
|
|
|
|
|
|
|
New Young Broadcasting Holding Co., Inc.
|
|
|
|
|
|
|
|
108
|
|
|
Term Loan, 8.00%, Maturing June 30, 2015
|
|
|
108,665
|
|
|
|
|
|
|
|
Nexstar Broadcasting, Inc.
|
|
|
|
|
|
|
|
197
|
|
|
Term Loan, 5.00%, Maturing September 30, 2016
|
|
|
197,752
|
|
|
|
|
|
|
|
Tyrol Acquisition 2 SAS
|
|
|
|
|
EUR
|
|
|
250
|
|
|
Term Loan, 2.87%, Maturing January 30, 2015
|
|
|
324,638
|
|
EUR
|
|
|
250
|
|
|
Term Loan, 3.12%, Maturing January 29, 2016
|
|
|
324,638
|
|
|
|
|
|
|
|
Univision Communications, Inc.
|
|
|
|
|
|
|
|
672
|
|
|
Term Loan, 2.51%, Maturing September 29, 2014
|
|
|
663,199
|
|
|
|
|
672
|
|
|
Term Loan, 4.51%, Maturing March 31, 2017
|
|
|
660,310
|
|
|
|
|
|
|
|
Weather Channel
|
|
|
|
|
|
|
|
267
|
|
|
Term Loan, 5.00%, Maturing September 14, 2015
|
|
|
268,681
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,331,067
|
|
|
|
|
|
|
|
|
|
|
|
|
Retailers (Except Food and Drug) 1.2%
|
|
|
|
|
|
|
Amscan Holdings, Inc.
|
|
|
|
|
|
|
|
324
|
|
|
Term Loan, 6.75%, Maturing December 4, 2017
|
|
$
|
329,535
|
|
|
|
|
|
|
|
Dollar General Corp.
|
|
|
|
|
|
|
|
500
|
|
|
Term Loan, 3.01%, Maturing July 7, 2014
|
|
|
501,704
|
|
|
|
|
|
|
|
Harbor Freight Tools USA, Inc.
|
|
|
|
|
|
|
|
375
|
|
|
Term Loan, 6.50%, Maturing December 22, 2017
|
|
|
380,508
|
|
|
|
|
|
|
|
Michaels Stores, Inc.
|
|
|
|
|
|
|
|
463
|
|
|
Term Loan, 2.56%, Maturing October 31, 2013
|
|
|
462,046
|
|
|
|
|
|
|
|
Neiman Marcus Group, Inc.
|
|
|
|
|
|
|
|
191
|
|
|
Term Loan, 4.30%, Maturing April 6, 2016
|
|
|
192,028
|
|
|
|
|
|
|
|
Orbitz Worldwide, Inc.
|
|
|
|
|
|
|
|
796
|
|
|
Term Loan, 3.28%, Maturing July 25, 2014
|
|
|
745,587
|
|
|
|
|
|
|
|
Oriental Trading Co., Inc.
|
|
|
|
|
|
|
|
300
|
|
|
Term Loan - Second Lien, 0.00%, Maturing January 31,
2014
(7)
|
|
|
9,000
|
|
|
|
|
|
|
|
PETCO Animal Supplies, Inc.
|
|
|
|
|
|
|
|
250
|
|
|
Term Loan, 6.00%, Maturing November 24, 2017
|
|
|
253,809
|
|
|
|
|
|
|
|
Rent-A-Center, Inc.
|
|
|
|
|
|
|
|
1
|
|
|
Term Loan, 2.06%, Maturing June 30, 2012
|
|
|
893
|
|
|
|
|
214
|
|
|
Term Loan, 3.31%, Maturing March 31, 2015
|
|
|
214,482
|
|
|
|
|
|
|
|
Savers, Inc.
|
|
|
|
|
|
|
|
298
|
|
|
Term Loan, 5.75%, Maturing March 11, 2016
|
|
|
300,355
|
|
|
|
|
|
|
|
Visant Corp.
|
|
|
|
|
|
|
|
224
|
|
|
Term Loan, 7.00%, Maturing December 22, 2016
|
|
|
227,734
|
|
|
|
|
|
|
|
Yankee Candle Company, Inc. (The)
|
|
|
|
|
|
|
|
531
|
|
|
Term Loan, 2.26%, Maturing February 6, 2014
|
|
|
529,318
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
4,146,999
|
|
|
|
|
|
|
|
|
|
|
|
|
Steel 0.1%
|
|
|
|
|
|
|
Niagara Corp.
|
|
|
|
|
|
|
|
200
|
|
|
Term Loan, 10.50%, Maturing June 29,
2014
(3)(5)
|
|
$
|
189,054
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
189,054
|
|
|
|
|
|
|
|
|
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Borrower/Tranche Description
|
|
Value
|
|
Surface Transport 0.1%
|
|
|
|
|
|
|
Swift Transportation Co., Inc.
|
|
|
|
|
|
|
|
429
|
|
|
Term Loan, 6.00%, Maturing December 16, 2016
|
|
$
|
435,574
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
435,574
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunications 2.5%
|
|
|
|
|
|
|
Alaska Communications Systems Holdings, Inc.
|
|
|
|
|
|
|
|
375
|
|
|
Term Loan, 5.50%, Maturing October 21, 2016
|
|
$
|
378,633
|
|
|
|
|
|
|
|
Asurion Corp.
|
|
|
|
|
|
|
|
420
|
|
|
Term Loan, 3.26%, Maturing July 3, 2014
|
|
|
409,753
|
|
|
|
|
275
|
|
|
Term Loan, 6.75%, Maturing March 31, 2015
|
|
|
279,665
|
|
|
|
|
|
|
|
BCM Luxembourg, Ltd.
|
|
|
|
|
EUR
|
|
|
368
|
|
|
Term Loan, 2.75%, Maturing September 30, 2014
|
|
|
428,173
|
|
EUR
|
|
|
369
|
|
|
Term Loan, 3.00%, Maturing September 30, 2015
|
|
|
428,235
|
|
EUR
|
|
|
500
|
|
|
Term Loan - Second Lien, 5.12%, Maturing March 31, 2016
|
|
|
460,947
|
|
|
|
|
|
|
|
CommScope, Inc.
|
|
|
|
|
|
|
|
200
|
|
|
Term Loan, 5.00%, Maturing January 14, 2018
|
|
|
204,500
|
|
|
|
|
|
|
|
Crown Castle Operating Co.
|
|
|
|
|
|
|
|
491
|
|
|
Term Loan, 1.76%, Maturing March 6, 2014
|
|
|
490,492
|
|
|
|
|
|
|
|
Intelsat Jackson Holdings SA
|
|
|
|
|
|
|
|
2,150
|
|
|
Term Loan, 5.25%, Maturing April 2, 2018
|
|
|
2,181,439
|
|
|
|
|
|
|
|
IPC Systems, Inc.
|
|
|
|
|
GBP
|
|
|
241
|
|
|
Term Loan, 3.01%, Maturing May 31, 2014
|
|
|
341,614
|
|
|
|
|
|
|
|
Macquarie UK Broadcast Ventures, Ltd.
|
|
|
|
|
GBP
|
|
|
219
|
|
|
Term Loan, 2.60%, Maturing December 1, 2014
|
|
|
312,449
|
|
|
|
|
|
|
|
Syniverse Technologies, Inc.
|
|
|
|
|
|
|
|
300
|
|
|
Term Loan, 5.25%, Maturing December 21, 2017
|
|
|
305,125
|
|
|
|
|
|
|
|
Telesat Canada, Inc.
|
|
|
|
|
|
|
|
39
|
|
|
Term Loan, 3.26%, Maturing October 31, 2014
|
|
|
39,200
|
|
|
|
|
456
|
|
|
Term Loan, 3.26%, Maturing October 31, 2014
|
|
|
456,370
|
|
|
|
|
|
|
|
Wind Telecomunicazioni SpA
|
|
|
|
|
EUR
|
|
|
750
|
|
|
Term Loan, Maturing December 15,
2017
(4)
|
|
|
1,030,999
|
|
|
|
|
|
|
|
Windstream Corp.
|
|
|
|
|
|
|
|
847
|
|
|
Term Loan, 3.06%, Maturing December 17, 2015
|
|
|
854,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
8,601,690
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 0.9%
|
|
|
|
|
|
|
AEI Finance Holding, LLC
|
|
|
|
|
|
|
|
75
|
|
|
Revolving Loan, 3.30%, Maturing March 30, 2012
|
|
$
|
74,651
|
|
|
|
|
489
|
|
|
Term Loan, 3.30%, Maturing March 30, 2014
|
|
|
483,566
|
|
|
|
|
|
|
|
NRG Energy, Inc.
|
|
|
|
|
|
|
|
139
|
|
|
Term Loan, 2.04%, Maturing February 1, 2013
|
|
|
139,409
|
|
|
|
|
0
|
|
|
Term Loan, 2.05%, Maturing February 1,
2013
(8)
|
|
|
213
|
|
|
|
|
556
|
|
|
Term Loan, 3.55%, Maturing August 31, 2015
|
|
|
559,811
|
|
|
|
|
662
|
|
|
Term Loan, 3.55%, Maturing August 31, 2015
|
|
|
667,061
|
|
|
|
|
|
|
|
TXU Texas Competitive Electric Holdings Co., LLC
|
|
|
|
|
|
|
|
1,188
|
|
|
Term Loan, 3.76%, Maturing October 10, 2014
|
|
|
983,073
|
|
|
|
|
218
|
|
|
Term Loan, 3.79%, Maturing October 10, 2014
|
|
|
180,425
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
3,088,209
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Senior Floating-Rate Interests
(identified cost $149,346,862)
|
|
$
|
152,322,036
|
|
|
|
|
|
|
Collateralized
Mortgage Obligations 6.0%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.
:
|
|
|
|
|
$
|
|
|
4,309
|
|
|
Series 2113, Class QG, 6.00%, 1/15/29
|
|
$
|
4,699,827
|
|
11
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
$
|
|
|
2,412
|
|
|
Series 2167, Class BZ, 7.00%, 6/15/29
|
|
$
|
2,592,187
|
|
|
|
|
3,080
|
|
|
Series 2182, Class ZB, 8.00%, 9/15/29
|
|
|
3,438,532
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,730,546
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association
:
|
|
|
|
|
$
|
|
|
156
|
|
|
Series 1989-89,
Class H, 9.00%, 11/25/19
|
|
$
|
180,803
|
|
|
|
|
418
|
|
|
Series 1991-122,
Class N, 7.50%, 9/25/21
|
|
|
472,310
|
|
|
|
|
3,581
|
|
|
Series 1993-84,
Class M, 7.50%, 6/25/23
|
|
|
4,072,150
|
|
|
|
|
1,262
|
|
|
Series 1994-42,
Class K, 6.50%, 4/25/24
|
|
|
1,403,210
|
|
|
|
|
1,059
|
|
|
Series 1997-28,
Class ZA, 7.50%, 4/20/27
|
|
|
1,218,118
|
|
|
|
|
978
|
|
|
Series 1997-38,
Class N, 8.00%, 5/20/27
|
|
|
1,137,107
|
|
|
|
|
1,466
|
|
|
Series G-33,
Class PT, 7.00%, 10/25/21
|
|
|
1,620,920
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10,104,618
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Collateralized Mortgage Obligations
(identified cost $19,669,997)
|
|
$
|
20,835,164
|
|
|
|
|
|
|
Commercial
Mortgage-Backed Securities 2.6%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
$
|
|
|
595
|
|
|
CSFB,
Series 2004-C3,
Class A5,
5.113%, 7/15/36
(9)
|
|
$
|
636,656
|
|
|
|
|
1,250
|
|
|
GECMC,
Series 2004-C3,
Class A4,
5.189%, 7/10/39
(9)
|
|
|
1,342,676
|
|
|
|
|
1,250
|
|
|
GSMS,
Series 2004-GG2,
Class A6,
5.396%, 8/10/38
(9)
|
|
|
1,349,583
|
|
|
|
|
500
|
|
|
JPMCC,
Series 2010-C2,
Class C,
5.531%, 11/15/43
(9)(10)
|
|
|
492,407
|
|
|
|
|
1,000
|
|
|
MLMT,
Series 2004-BPC1,
Class A4,
4.724%, 10/12/41
(9)
|
|
|
1,048,733
|
|
|
|
|
500
|
|
|
MSC,
Series 2003-IQ6,
Class A4, 4.97%, 12/15/41
|
|
|
532,707
|
|
|
|
|
675
|
|
|
RBSCF,
Series 2010-MB1,
Class C,
4.667%, 4/15/24
(9)(10)
|
|
|
685,736
|
|
|
|
|
2,225
|
|
|
WBCMT,
Series 2004-C12,
Class A4,
5.305%, 7/15/41
(9)
|
|
|
2,399,437
|
|
|
|
|
500
|
|
|
WFCMT,
Series 2010-C1,
Class C,
5.59%, 11/15/43
(9)(10)
|
|
|
505,617
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Commercial Mortgage-Backed Securities
(identified cost $8,059,322)
|
|
$
|
8,993,552
|
|
|
|
|
|
|
Mortgage
Pass-Throughs 36.2%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.
:
|
|
|
|
|
$
|
|
|
5,968
|
|
|
3.108%, with maturity at
2035
(11)
|
|
$
|
6,218,164
|
|
|
|
|
8,374
|
|
|
5.00%, with maturity at
2019
(12)
|
|
|
8,957,313
|
|
|
|
|
6,672
|
|
|
6.00%, with various maturities to 2029
|
|
|
7,341,944
|
|
|
|
|
1,835
|
|
|
6.15%, with maturity at 2027
|
|
|
2,027,093
|
|
|
|
|
3,967
|
|
|
6.50%, with maturity at 2019
|
|
|
4,401,194
|
|
|
|
|
11,249
|
|
|
7.00%, with various maturities to 2035
|
|
|
12,680,210
|
|
|
|
|
4,641
|
|
|
7.50%, with various maturities to 2035
|
|
|
5,379,202
|
|
|
|
|
5,681
|
|
|
8.00%, with various maturities to 2032
|
|
|
6,692,883
|
|
|
|
|
4,902
|
|
|
8.50%, with various maturities to 2031
|
|
|
5,864,581
|
|
|
|
|
444
|
|
|
9.00%, with maturity at 2031
|
|
|
542,437
|
|
|
|
|
358
|
|
|
9.50%, with various maturities to 2022
|
|
|
417,765
|
|
|
|
|
649
|
|
|
11.50%, with maturity at 2019
|
|
|
690,044
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
61,212,830
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association
:
|
|
|
|
|
$
|
|
|
3,304
|
|
|
5.50%, with various maturities to 2029
|
|
$
|
3,582,457
|
|
|
|
|
2,769
|
|
|
6.323%, with maturity at
2032
(11)
|
|
|
2,996,633
|
|
|
|
|
4,685
|
|
|
6.50%, with maturity at 2018
|
|
|
5,121,135
|
|
|
|
|
14,461
|
|
|
7.00%, with various maturities to 2033
|
|
|
16,312,173
|
|
12
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
$
|
|
|
10,846
|
|
|
7.50%, with various maturities to 2031
|
|
$
|
12,554,694
|
|
|
|
|
2,989
|
|
|
8.00%, with various maturities to 2029
|
|
|
3,488,673
|
|
|
|
|
698
|
|
|
8.50%, with various maturities to 2027
|
|
|
817,633
|
|
|
|
|
1,434
|
|
|
9.00%, with various maturities to 2029
|
|
|
1,711,063
|
|
|
|
|
24
|
|
|
9.50%, with maturity at 2014
|
|
|
26,450
|
|
|
|
|
1,198
|
|
|
10.00%, with various maturities to 2031
|
|
|
1,393,578
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
48,004,489
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Government National Mortgage Association
:
|
|
|
|
|
$
|
|
|
4,850
|
|
|
7.50%, with maturity at 2025
|
|
$
|
5,607,228
|
|
|
|
|
5,220
|
|
|
8.00%, with various maturities to 2027
|
|
|
6,169,833
|
|
|
|
|
2,647
|
|
|
9.00%, with various maturities to 2026
|
|
|
3,214,643
|
|
|
|
|
425
|
|
|
9.50%, with maturity at 2025
|
|
|
507,121
|
|
|
|
|
488
|
|
|
11.00%, with maturity at 2018
|
|
|
537,377
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
16,036,202
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mortgage Pass-Throughs
(identified cost $117,728,372)
|
|
$
|
125,253,521
|
|
|
|
|
|
|
Asset-Backed
Securities 0.1%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
$
|
|
|
500
|
|
|
Centurion CDO 9 Ltd.,
Series 2005-9A,
Class D1,
5.053%, 7/17/19
(11)
|
|
$
|
414,617
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities
(identified cost $500,000)
|
|
$
|
414,617
|
|
|
|
|
|
|
Corporate
Bonds & Notes 0.6%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Building and Development 0.2%
|
|
|
|
|
|
|
Grohe Holding GmbH, Variable Rate
|
|
|
|
|
EUR
|
|
|
500
|
|
|
3.873%, 1/15/14
(13)
|
|
$
|
676,018
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
676,018
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities 0.4%
|
|
|
|
|
|
|
Calpine Corp., Sr. Notes
|
|
|
|
|
|
|
|
575
|
|
|
7.50%, 2/15/21
(10)
|
|
$
|
585,062
|
|
|
|
|
675
|
|
|
7.875%, 1/15/23
(10)
|
|
|
685,969
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,271,031
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Bonds & Notes
(identified cost $1,896,625)
|
|
$
|
1,947,049
|
|
|
|
|
|
|
13
Foreign
Corporate Bonds & Notes 0.7%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Chile 0.7%
|
|
|
|
|
|
|
JPMorgan Chilean Inflation Linked Note
|
|
|
|
|
$
|
|
|
2,395
|
|
|
3.80%, 11/17/15
(14)
|
|
$
|
2,597,533
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chile
|
|
$
|
2,597,533
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Corporate Bonds & Notes
(identified cost $2,000,000)
|
|
$
|
2,597,533
|
|
|
|
|
|
|
Foreign
Government Bonds 12.7%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Bermuda 0.8%
|
|
|
|
2,600
|
|
|
Government of Bermuda,
5.603%, 7/20/20
(10)
|
|
$
|
2,725,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Bermuda
|
|
$
|
2,725,250
|
|
|
|
|
|
|
Brazil 0.6%
|
BRL
|
|
|
3,310
|
|
|
Nota Do Tesouro Nacional,
6.00%, 5/15/15
(14)
|
|
$
|
1,953,735
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Brazil
|
|
$
|
1,953,735
|
|
|
|
|
|
|
Chile 0.7%
|
CLP
|
|
|
1,280,000
|
|
|
Government of Chile, 6.00%, 3/1/18
|
|
$
|
2,541,545
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Chile
|
|
$
|
2,541,545
|
|
|
|
|
|
|
Colombia 0.5%
|
COP
|
|
|
933,900
|
|
|
Titulos De Tesoreria B, 9.25%, 8/15/12
|
|
$
|
534,720
|
|
COP
|
|
|
2,430,000
|
|
|
Titulos De Tesoreria B, 11.00%, 5/18/11
|
|
|
1,331,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Colombia
|
|
$
|
1,866,120
|
|
|
|
|
|
|
Congo 0.4%
|
|
|
|
2,270
|
|
|
Republic of Congo, 3.00%, 6/30/29
|
|
$
|
1,373,078
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Congo
|
|
$
|
1,373,078
|
|
|
|
|
|
|
Dominican Republic 0.8%
|
DOP
|
|
|
94,600
|
|
|
Dominican Republic Bonos Internos Total Return
Linked Bond (Citibank, N.A.),
16.00%, 7/10/20
(15)
|
|
$
|
2,632,772
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Dominican Republic
|
|
$
|
2,632,772
|
|
|
|
|
|
|
Georgia 0.3%
|
|
|
|
1,181
|
|
|
Republic of Georgia, 7.50%, 4/15/13
|
|
$
|
1,237,098
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Georgia
|
|
$
|
1,237,098
|
|
|
|
|
|
|
Israel 0.8%
|
ILS
|
|
|
2,464
|
|
|
Israel Government Bond,
3.00%, 10/31/19
(14)
|
|
$
|
722,048
|
|
ILS
|
|
|
6,059
|
|
|
Israel Government Bond,
5.00%, 4/30/15
(14)
|
|
|
1,913,889
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Israel
|
|
$
|
2,635,937
|
|
|
|
|
|
|
Macedonia 0.6%
|
EUR
|
|
|
1,716
|
|
|
Republic of Macedonia, 4.625%, 12/8/15
|
|
$
|
2,215,754
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Macedonia
|
|
$
|
2,215,754
|
|
|
|
|
|
|
14
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Pakistan 0.2%
|
|
|
|
757
|
|
|
Republic of Pakistan,
7.125%, 3/31/16
(13)
|
|
$
|
651,804
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Pakistan
|
|
$
|
651,804
|
|
|
|
|
|
|
Philippines 0.6%
|
PHP
|
|
|
98,000
|
|
|
Philippine Government International Bond, 6.25%, 1/14/36
|
|
$
|
2,020,643
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Philippines
|
|
$
|
2,020,643
|
|
|
|
|
|
|
Poland 0.8%
|
PLN
|
|
|
7,594
|
|
|
Poland Government Bond,
3.00%, 8/24/16
(14)
|
|
$
|
2,702,466
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Poland
|
|
$
|
2,702,466
|
|
|
|
|
|
|
South Africa 3.3%
|
ZAR
|
|
|
13,689
|
|
|
Republic of South Africa,
2.50%, 1/31/17
(14)
|
|
$
|
1,951,765
|
|
ZAR
|
|
|
14,927
|
|
|
Republic of South Africa,
2.60%, 3/31/28
(14)
|
|
|
2,052,952
|
|
ZAR
|
|
|
2,972
|
|
|
Republic of South Africa,
2.75%, 1/31/22
(14)
|
|
|
415,969
|
|
ZAR
|
|
|
2,669
|
|
|
Republic of South Africa,
5.50%, 12/7/23
(14)
|
|
|
484,390
|
|
|
|
|
5,854
|
|
|
Republic of South Africa, 6.50%, 6/2/14
|
|
|
6,527,210
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total South Africa
|
|
$
|
11,432,286
|
|
|
|
|
|
|
Taiwan 0.8%
|
TWD
|
|
|
50,000
|
|
|
Taiwan Government Bond, 0.25%, 10/21/11
|
|
$
|
1,719,733
|
|
TWD
|
|
|
28,300
|
|
|
Taiwan Government Bond, 0.25%, 2/10/12
|
|
|
972,571
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Taiwan
|
|
$
|
2,692,304
|
|
|
|
|
|
|
Uruguay 0.8%
|
UYU
|
|
|
51,651
|
|
|
Republic of Uruguay,
5.00%, 9/14/18
(14)
|
|
$
|
2,958,946
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Uruguay
|
|
$
|
2,958,946
|
|
|
|
|
|
|
Venezuela 0.7%
|
|
|
|
3,383
|
|
|
Bolivarian Republic of Venezuela,
7.00%, 3/31/38
(13)
|
|
$
|
1,886,022
|
|
|
|
|
650
|
|
|
Bolivarian Republic of Venezuela,
9.25%, 5/7/28
(13)
|
|
|
438,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Venezuela
|
|
$
|
2,324,772
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Bonds
(identified cost $41,259,955)
|
|
$
|
43,964,510
|
|
|
|
|
|
|
Common
Stocks 1.2%
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Security
|
|
Value
|
|
|
|
|
3,371
|
|
|
ACTS Aero Technical Support & Service,
Inc.
(5)(16)(17)
|
|
$
|
34,550
|
|
|
|
|
6,477
|
|
|
Buffets,
Inc.
(5)(16)
|
|
|
31,413
|
|
|
|
|
8,898
|
|
|
Dayco Products,
LLC
(16)(17)
|
|
|
516,084
|
|
|
|
|
234
|
|
|
Euramax International,
Inc.
(5)(16)(17)
|
|
|
72,447
|
|
|
|
|
30,203
|
|
|
Hayes Lemmerz International,
Inc.
(5)(16)(17)
|
|
|
1,600,759
|
|
|
|
|
23,498
|
|
|
Herbst Gaming,
Inc.
(5)(16)(17)
|
|
|
144,983
|
|
|
|
|
1,357
|
|
|
Ion Media Networks,
Inc.
(16)(17)
|
|
|
631,005
|
|
|
|
|
3,419
|
|
|
KNIA Holdings,
Inc.
(5)(16)(17)
|
|
|
39,631
|
|
|
|
|
3,023
|
|
|
MediaNews Group,
Inc.
(5)(16)(17)
|
|
|
57,437
|
|
|
|
|
19,828
|
|
|
Metro-Goldwyn-Mayer
Holdings,
Inc.
(16)(17)
|
|
|
441,173
|
|
|
|
|
178
|
|
|
New Young Broadcasting Holding Co.,
Inc.
(5)(16)(17)
|
|
|
422,750
|
|
|
|
|
1,510
|
|
|
Oreck
Corp.
(5)(16)(17)
|
|
|
117,448
|
|
|
|
|
1,346
|
|
|
SuperMedia,
Inc.
(16)
|
|
|
9,570
|
|
|
|
|
154
|
|
|
United Subcontractors,
Inc.
(5)(16)(17)
|
|
|
15,871
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Common Stocks
(identified cost $1,876,262)
|
|
$
|
4,135,121
|
|
|
|
|
|
|
15
Precious
Metals 0.8%
|
|
|
|
|
|
|
|
|
Troy
|
|
|
|
Description
|
|
Ounces
|
|
Value
|
|
Gold
|
|
1,983
|
|
$
|
2,639,629
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Precious Metals
(identified cost $2,626,334)
|
|
|
|
$
|
2,639,629
|
|
|
|
|
|
|
|
|
Currency
Options Purchased 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount of
|
|
|
|
|
|
|
|
|
|
|
|
Contracts
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Price
|
|
|
Date
|
|
Value
|
|
Euro Put Option
|
|
|
EUR 11,837
|
|
|
|
EUR 1.17
|
|
|
5/3/12
|
|
$
|
269,695
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Currency Options Purchased
(identified cost $540,845)
|
|
|
|
$
|
269,695
|
|
|
|
|
|
|
|
|
Put
Options Purchased
0.0%
(6)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number
|
|
|
Strike
|
|
|
Expiration
|
|
|
|
Description
|
|
of Contracts
|
|
|
Price
|
|
|
Date
|
|
Value
|
|
Light Sweet Crude Oil Future 12/11
|
|
|
5
|
|
|
$
|
80
|
|
|
11/15/11
|
|
$
|
18,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Put Options Purchased
(identified cost $34,750)
|
|
|
|
$
|
18,750
|
|
|
|
|
|
|
|
|
Short-Term
Investments 21.5%
Foreign
Government Securities 17.6%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Brazil 0.3%
|
BRL
|
|
|
1,903
|
|
|
Letras Do Tesouro Nacional, 0.00%, 7/1/11
|
|
$
|
1,088,977
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Brazil
|
|
$
|
1,088,977
|
|
|
|
|
|
|
Croatia 3.6%
|
EUR
|
|
|
1,810
|
|
|
Croatia Treasury Bill, 0.00%, 3/31/11
|
|
$
|
2,472,661
|
|
EUR
|
|
|
2,100
|
|
|
Croatia Treasury Bill, 0.00%, 4/7/11
|
|
|
2,867,884
|
|
EUR
|
|
|
2,400
|
|
|
Croatia Treasury Bill, 0.00%, 6/2/11
|
|
|
3,267,395
|
|
EUR
|
|
|
600
|
|
|
Croatia Treasury Bill, 0.00%, 8/4/11
|
|
|
813,160
|
|
EUR
|
|
|
1,355
|
|
|
Croatia Treasury Bill, 0.00%, 8/25/11
|
|
|
1,833,177
|
|
EUR
|
|
|
898
|
|
|
Croatia Treasury Bill, 0.00%, 9/8/11
|
|
|
1,213,415
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Croatia
|
|
$
|
12,467,692
|
|
|
|
|
|
|
Egypt 1.0%
|
EGP
|
|
|
2,300
|
|
|
Egypt Treasury Bill,
0.00%, 5/24/11
(5)
|
|
$
|
371,667
|
|
EGP
|
|
|
1,400
|
|
|
Egypt Treasury Bill,
0.00%, 6/14/11
(5)
|
|
|
224,689
|
|
EGP
|
|
|
3,925
|
|
|
Egypt Treasury Bill,
0.00%, 6/28/11
(5)
|
|
|
626,900
|
|
EGP
|
|
|
4,025
|
|
|
Egypt Treasury Bill,
0.00%, 7/12/11
(5)
|
|
|
639,897
|
|
EGP
|
|
|
2,700
|
|
|
Egypt Treasury Bill,
0.00%, 8/2/11
(5)
|
|
|
426,265
|
|
EGP
|
|
|
8,250
|
|
|
Egypt Treasury Bill,
0.00%, 8/9/11
(5)
|
|
|
1,299,430
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Egypt
|
|
$
|
3,588,848
|
|
|
|
|
|
|
Georgia 0.2%
|
|
|
|
775
|
|
|
Bank of Georgia Promissory Note, 9.00%, 12/7/11
|
|
$
|
775,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Georgia
|
|
$
|
775,000
|
|
|
|
|
|
|
16
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Iceland 1.1%
|
ISK
|
|
|
102,021
|
|
|
Iceland Treasury Bill, 0.00%, 2/15/11
|
|
$
|
746,918
|
|
ISK
|
|
|
276,246
|
|
|
Iceland Treasury Bill, 0.00%, 3/15/11
|
|
|
2,015,920
|
|
ISK
|
|
|
125,773
|
|
|
Iceland Treasury Bill, 0.00%, 4/15/11
|
|
|
916,013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Iceland
|
|
$
|
3,678,851
|
|
|
|
|
|
|
Israel 4.9%
|
ILS
|
|
|
46,782
|
|
|
Israel Treasury Bill, 0.00%, 4/6/11
|
|
$
|
12,563,894
|
|
ILS
|
|
|
8,362
|
|
|
Israel Treasury Bill, 0.00%, 6/1/11
|
|
|
2,236,784
|
|
ILS
|
|
|
2,843
|
|
|
Israel Treasury Bill, 0.00%, 10/5/11
|
|
|
753,101
|
|
ILS
|
|
|
5,500
|
|
|
Israel Treasury Bill, 0.00%, 11/2/11
|
|
|
1,454,114
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Israel
|
|
$
|
17,007,893
|
|
|
|
|
|
|
Kazakhstan 1.3%
|
KZT
|
|
|
73,000
|
|
|
Kazakhstan National Bank, 0.00%, 3/18/11
|
|
$
|
496,275
|
|
KZT
|
|
|
265,000
|
|
|
Kazakhstan National Bank, 0.00%, 4/8/11
|
|
|
1,800,428
|
|
KZT
|
|
|
42,993
|
|
|
Kazakhstan National Bank, 0.00%, 4/15/11
|
|
|
292,027
|
|
KZT
|
|
|
238,610
|
|
|
Kazakhstan National Bank, 0.00%, 4/29/11
|
|
|
1,619,898
|
|
KZT
|
|
|
44,535
|
|
|
Kazakhstan National Bank, 0.00%, 7/22/11
|
|
|
301,025
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Kazakhstan
|
|
$
|
4,509,653
|
|
|
|
|
|
|
Lebanon 1.4%
|
LBP
|
|
|
1,862,980
|
|
|
Lebanon Treasury Bill, 0.00%, 4/14/11
|
|
$
|
1,231,715
|
|
LBP
|
|
|
1,501,600
|
|
|
Lebanon Treasury Bill, 0.00%, 6/30/11
|
|
|
983,620
|
|
LBP
|
|
|
3,573,620
|
|
|
Lebanon Treasury Bill, 0.00%, 7/28/11
|
|
|
2,382,465
|
|
LBP
|
|
|
560,050
|
|
|
Lebanon Treasury Bill, 0.00%, 9/22/11
|
|
|
362,814
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Lebanon
|
|
$
|
4,960,614
|
|
|
|
|
|
|
Malaysia 0.3%
|
MYR
|
|
|
1,412
|
|
|
Malaysia Treasury Bill, 0.00%, 2/8/11
|
|
$
|
460,930
|
|
MYR
|
|
|
2,000
|
|
|
Malaysia Treasury Bill, 0.00%, 3/2/11
|
|
|
651,792
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Malaysia
|
|
$
|
1,112,722
|
|
|
|
|
|
|
Mexico 0.4%
|
MXN
|
|
|
7,444
|
|
|
Mexico Treasury Bill, 0.00%, 4/7/11
|
|
$
|
608,744
|
|
MXN
|
|
|
6,298
|
|
|
Mexico Treasury Bill, 0.00%, 4/14/11
|
|
|
514,909
|
|
MXN
|
|
|
4,657
|
|
|
Mexico Treasury Bill, 0.00%, 4/20/11
|
|
|
380,230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Mexico
|
|
$
|
1,503,883
|
|
|
|
|
|
|
Serbia 0.1%
|
RSD
|
|
|
22,940
|
|
|
Serbia Treasury Bill, 0.00%, 12/13/11
|
|
$
|
266,047
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Serbia
|
|
$
|
266,047
|
|
|
|
|
|
|
Sri Lanka 2.3%
|
LKR
|
|
|
28,430
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/11/11
|
|
$
|
253,999
|
|
LKR
|
|
|
36,270
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/18/11
|
|
|
323,609
|
|
LKR
|
|
|
67,120
|
|
|
Sri Lanka Treasury Bill, 0.00%, 3/25/11
|
|
|
598,057
|
|
LKR
|
|
|
61,000
|
|
|
Sri Lanka Treasury Bill, 0.00%, 4/29/11
|
|
|
539,880
|
|
LKR
|
|
|
200,370
|
|
|
Sri Lanka Treasury Bill, 0.00%, 5/13/11
|
|
|
1,768,594
|
|
LKR
|
|
|
230,890
|
|
|
Sri Lanka Treasury Bill, 0.00%, 7/15/11
|
|
|
2,013,107
|
|
LKR
|
|
|
135,510
|
|
|
Sri Lanka Treasury Bill, 0.00%, 8/5/11
|
|
|
1,176,681
|
|
LKR
|
|
|
35,800
|
|
|
Sri Lanka Treasury Bill, 0.00%, 10/7/11
|
|
|
307,065
|
|
LKR
|
|
|
91,000
|
|
|
Sri Lanka Treasury Bill, 0.00%, 1/20/12
|
|
|
764,597
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Sri Lanka
|
|
$
|
7,745,589
|
|
|
|
|
|
|
17
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount*
|
|
|
|
|
|
|
(000s omitted)
|
|
|
Security
|
|
Value
|
|
Uruguay 0.4%
|
UYU
|
|
|
9,800
|
|
|
Uruguay Treasury Bill, 0.00%, 2/15/11
|
|
$
|
497,411
|
|
UYU
|
|
|
2,655
|
|
|
Uruguay Treasury Bill, 0.00%, 7/5/11
|
|
|
130,922
|
|
UYU
|
|
|
5,110
|
|
|
Uruguay Treasury Bill, 0.00%, 8/11/11
|
|
|
250,190
|
|
UYU
|
|
|
7,833
|
|
|
Uruguay Treasury Bill, 0.00%, 8/30/11
|
|
|
381,872
|
|
UYU
|
|
|
2,775
|
|
|
Uruguay Treasury Bill, 0.00%, 9/16/11
|
|
|
134,759
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Uruguay
|
|
$
|
1,395,154
|
|
|
|
|
|
|
Zambia 0.3%
|
ZMK
|
|
|
745,000
|
|
|
Zambia Treasury Bill, 0.00%, 3/14/11
|
|
$
|
153,539
|
|
ZMK
|
|
|
805,000
|
|
|
Zambia Treasury Bill, 0.00%, 6/13/11
|
|
|
163,635
|
|
ZMK
|
|
|
975,000
|
|
|
Zambia Treasury Bill, 0.00%, 9/12/11
|
|
|
194,206
|
|
ZMK
|
|
|
470,000
|
|
|
Zambia Treasury Bill, 0.00%, 10/10/11
|
|
|
93,161
|
|
ZMK
|
|
|
1,910,000
|
|
|
Zambia Treasury Bill, 0.00%, 12/12/11
|
|
|
373,054
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Zambia
|
|
$
|
977,595
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Securities
(identified cost $60,475,090)
|
|
$
|
61,078,518
|
|
|
|
|
|
|
U.S.
Treasury Obligations 0.1%
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
Security
|
|
(000s omitted)
|
|
|
Value
|
|
U.S. Treasury Bill, 0.00%, 7/28/11
|
|
$
|
220
|
|
|
$
|
219,632
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations
(identified cost $219,605)
|
|
|
|
|
|
$
|
219,632
|
|
|
|
|
|
|
|
|
|
|
Other
Securities 3.8%
|
|
|
|
|
|
|
|
|
|
|
Interest/
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
Amount
|
|
|
|
|
Description
|
|
(000s omitted)
|
|
|
Value
|
|
Eaton Vance Cash Reserves Fund, LLC,
0.21%
(18)
|
|
$
|
12,077
|
|
|
$
|
12,076,775
|
|
State Street Bank and Trust Euro Time Deposit,
0.01%, 2/1/11
|
|
|
1,193
|
|
|
|
1,193,135
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Other Securities
(identified cost $13,269,910)
|
|
|
|
|
|
$
|
13,269,910
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments
(identified cost $73,964,605)
|
|
|
|
|
|
$
|
74,568,060
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments 126.5%
(identified cost $419,503,929)
|
|
|
|
|
|
$
|
437,959,237
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Less Unfunded Loan
Commitments (0.0)%
(6)
|
|
|
|
|
|
$
|
(12,435
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Investments 126.5%
(identified cost $419,491,494)
|
|
|
|
|
|
$
|
437,946,802
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Assets, Less Liabilities (26.5)%
|
|
|
|
|
|
$
|
(91,791,581
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Assets 100.0%
|
|
|
|
|
|
$
|
346,155,221
|
|
|
|
|
|
|
|
|
|
|
18
The percentage shown for each investment category in the
Consolidated Portfolio of Investments is based on net assets.
|
|
|
|
|
|
|
CSFB
|
|
-
|
|
Credit Suisse First Boston Mortgage Securities Corp.
|
|
|
|
|
|
GECMC
|
|
-
|
|
General Electric Commercial Mortgage Corp.
|
|
|
|
|
|
GSMS
|
|
-
|
|
Goldman Sachs Mortgage Securities Corporation II
|
|
|
|
|
|
JPMCC
|
|
-
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.
|
|
|
|
|
|
MLMT
|
|
-
|
|
Merrill Lynch Mortgage Trust
|
|
|
|
|
|
MSC
|
|
-
|
|
Morgan Stanley Capital I
|
|
|
|
|
|
RBSCF
|
|
-
|
|
Royal Bank of Scotland Commercial Funding
|
|
|
|
|
|
WBCMT
|
|
-
|
|
Wachovia Bank Commercial Mortgage Trust
|
|
|
|
|
|
WFCMT
|
|
-
|
|
Wells Fargo Commercial Mortgage Trust
|
|
|
|
|
|
BRL
|
|
-
|
|
Brazilian Real
|
|
|
|
|
|
CLP
|
|
-
|
|
Chilean Peso
|
|
|
|
|
|
COP
|
|
-
|
|
Colombian Peso
|
|
|
|
|
|
DOP
|
|
-
|
|
Dominican Peso
|
|
|
|
|
|
EGP
|
|
-
|
|
Egyptian Pound
|
|
|
|
|
|
EUR
|
|
-
|
|
Euro
|
|
|
|
|
|
GBP
|
|
-
|
|
British Pound Sterling
|
|
|
|
|
|
ILS
|
|
-
|
|
Israeli Shekel
|
|
|
|
|
|
ISK
|
|
-
|
|
Icelandic Krona
|
|
|
|
|
|
KZT
|
|
-
|
|
Kazak Tenge
|
|
|
|
|
|
LBP
|
|
-
|
|
Lebanese Pound
|
|
|
|
|
|
LKR
|
|
-
|
|
Sri Lankan Rupee
|
|
|
|
|
|
MXN
|
|
-
|
|
Mexican Peso
|
|
|
|
|
|
MYR
|
|
-
|
|
Malaysian Ringgit
|
|
|
|
|
|
PHP
|
|
-
|
|
Philippine Peso
|
|
|
|
|
|
PLN
|
|
-
|
|
Polish Zloty
|
|
|
|
|
|
RSD
|
|
-
|
|
Serbian Dinar
|
|
|
|
|
|
TWD
|
|
-
|
|
New Taiwan Dollar
|
|
|
|
|
|
UYU
|
|
-
|
|
Uruguayan Peso
|
|
|
|
|
|
ZAR
|
|
-
|
|
South African Rand
|
|
|
|
|
|
ZMK
|
|
-
|
|
Zambian Kwacha
|
|
|
|
|
|
*
|
|
|
|
In U.S. dollars unless otherwise indicated.
|
|
|
|
|
|
|
|
(1)
|
|
|
|
Senior floating-rate interests (Senior Loans) often require
prepayments from excess cash flows or permit the borrowers to
repay at their election. The degree to which borrowers repay,
whether as a contractual requirement or at their election,
cannot be predicted with accuracy. As a result, the actual
remaining maturity may be substantially less than the stated
maturities shown. However, Senior Loans will have an expected
average life of approximately two to four years. The stated
interest rate represents the weighted average interest rate of
all contracts within the senior loan facility and includes
commitment fees on unfunded loan commitments, if any. Senior
Loans typically have rates of interest which are redetermined
either daily, monthly, quarterly or semi-annually by reference
to a base lending rate, plus a premium. These base lending rates
are primarily the London Interbank Offered Rate
(LIBOR) and secondarily, the prime rate offered by
one or more major United States banks (the Prime
Rate) and the certificate of deposit (CD) rate
or other base lending rates used by commercial lenders.
|
|
|
|
|
|
|
|
|
|
(2)
|
|
|
|
Unfunded or partially unfunded loan commitment. The Fund may
enter into certain credit agreements all or a portion of which
may be unfunded. The Fund is obligated to fund these commitments
at the borrowers discretion.
|
|
|
|
|
|
|
|
|
|
(3)
|
|
|
|
Represents a payment-in-kind security which may pay all or a
portion of interest in additional par.
|
|
|
|
|
|
|
|
|
|
(4)
|
|
|
|
This Senior Loan will settle after January 31, 2011, at which
time the interest rate will be determined.
|
|
|
|
|
|
|
|
|
|
(5)
|
|
|
|
Security valued at fair value using methods determined in good
faith by or at the direction of the Trustees.
|
|
|
|
|
|
|
|
|
|
(6)
|
|
|
|
Amount is less than 0.05%.
|
|
|
|
|
|
|
|
|
|
(7)
|
|
|
|
Currently the issuer is in default with respect to interest
payments. Interest rate has been adjusted to reflect non-accrual
status.
|
|
|
|
|
|
|
|
|
|
(8)
|
|
|
|
Principal amount is less than $500.
|
|
|
|
|
|
|
|
|
|
(9)
|
|
|
|
Weighted average fixed-rate coupon that changes/updates monthly.
|
|
|
|
|
|
|
|
|
|
(10)
|
|
|
|
Security exempt from registration pursuant to Rule 144A under
the Securities Act of 1933. These securities may be sold in
certain transactions (normally to qualified institutional
buyers) and remain exempt from registration. At January 31,
2011, the aggregate value of these securities is $5,680,041 or
1.6% of the Funds net assets.
|
|
|
|
|
|
|
|
|
|
(11)
|
|
|
|
Adjustable rate mortgage security. Rate shown is the rate at
January 31, 2011.
|
|
|
|
|
|
|
|
|
|
(12)
|
|
|
|
Security (or a portion thereof) has been pledged to cover
collateral requirements on open financial contracts.
|
|
|
|
|
|
|
|
|
|
(13)
|
|
|
|
Security exempt from registration under Regulation S of the
Securities Act of 1933, which exempts from registration
securities offered and sold outside the United States. Security
may not be offered or sold in the United States except pursuant
to an exemption from, or in a transaction not subject to, the
registration requirements of the Securities Act of 1933.
|
|
|
|
|
|
|
|
|
|
(14)
|
|
|
|
Inflation-linked security whose principal is adjusted for
inflation based on changes in a designated inflation index or
inflation rate for the applicable country. Interest is
calculated based on the inflation-adjusted principal.
|
|
|
|
|
|
|
|
|
|
(15)
|
|
|
|
Security represents a structured security whose market value and
interest rate are linked to the performance of the underlying
security.
|
|
|
|
|
|
|
|
|
|
(16)
|
|
|
|
Non-income producing security.
|
|
|
|
|
|
|
|
|
|
(17)
|
|
|
|
Security was acquired in connection with a restructuring of a
Senior Loan and may be subject to restrictions on resale.
|
|
|
|
|
|
|
|
|
|
(18)
|
|
|
|
Affiliated investment company available to Eaton Vance
portfolios and funds which invests in high quality, U.S. dollar
denominated money market instruments. The rate shown is the
annualized seven-day yield as of January 31, 2011. Net income
allocated from the investment in Eaton Vance Cash Reserves Fund,
LLC for the fiscal year to date ended January 31, 2011 was
$5,150.
|
|
|
19
Basis for
Consolidation
The Fund seeks to gain exposure to the commodity markets, in
whole or in part, through investments in Eaton Vance EVG
Commodity Subsidiary, Ltd. (the Subsidiary), a wholly-owned
subsidiary of the Fund organized under the laws of the Cayman
Islands with the same objective and investment policies and
restrictions as the Fund. The Fund may invest up to 25% of its
total assets in the Subsidiary. The net assets of the Subsidiary
at January 31, 2011 were $3,295,898 or 1.0% of the
Funds consolidated net assets. The Consolidated Portfolio
of Investments includes positions of the Fund and the Subsidiary.
A summary of open financial instruments at January 31, 2011
is as follows:
Forward
Foreign Currency Exchange Contracts
Sales
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
2/4/11
|
|
South African Rand
2,900,000
|
|
United States Dollar
407,771
|
|
Citigroup Global Markets
|
|
$
|
4,544
|
|
2/10/11
|
|
South African Rand
38,672,546
|
|
United States Dollar
5,551,933
|
|
Bank of America
|
|
|
179,750
|
|
2/14/11
|
|
Euro
5,904,554
|
|
United States Dollar
7,655,933
|
|
Deutsche Bank
|
|
|
(427,023
|
)
|
2/14/11
|
|
Euro
2,000,000
|
|
United States Dollar
2,611,540
|
|
Goldman Sachs, Inc.
|
|
|
(126,332
|
)
|
2/14/11
|
|
Euro
3,940,000
|
|
United States Dollar
5,382,434
|
|
HSBC Bank USA
|
|
|
(11,174
|
)
|
2/16/11
|
|
South African Rand
5,736,839
|
|
United States Dollar
801,985
|
|
Credit Suisse
|
|
|
5,793
|
|
2/16/11
|
|
South African Rand
860,107
|
|
United States Dollar
121,313
|
|
Credit Suisse
|
|
|
1,942
|
|
2/17/11
|
|
South African Rand
11,700,415
|
|
United States Dollar
1,644,425
|
|
Credit Suisse
|
|
|
20,825
|
|
2/23/11
|
|
South African Rand
11,284,418
|
|
United States Dollar
1,594,362
|
|
Bank of America
|
|
|
29,939
|
|
2/24/11
|
|
Euro
116,000
|
|
United States Dollar
158,744
|
|
Goldman Sachs, Inc.
|
|
|
(32
|
)
|
2/24/11
|
|
Euro
12,745,535
|
|
United States Dollar
17,086,537
|
|
JPMorgan Chase Bank
|
|
|
(359,009
|
)
|
2/28/11
|
|
British Pound Sterling
423,000
|
|
United States Dollar
673,839
|
|
HSBC Bank USA
|
|
|
(3,614
|
)
|
2/28/11
|
|
Euro
13,221,541
|
|
United States Dollar
18,141,276
|
|
Goldman Sachs, Inc.
|
|
|
45,138
|
|
3/11/11
|
|
Sri Lankan Rupee
28,430,000
|
|
United States Dollar
233,992
|
|
HSBC Bank USA
|
|
|
(21,347
|
)
|
3/15/11
|
|
South African Rand
6,081,615
|
|
United States Dollar
880,755
|
|
Credit Suisse
|
|
|
40,199
|
|
3/18/11
|
|
Sri Lankan Rupee
36,270,000
|
|
United States Dollar
298,028
|
|
HSBC Bank USA
|
|
|
(27,662
|
)
|
3/21/11
|
|
Euro
97,395
|
|
United States Dollar
128,756
|
|
Goldman Sachs, Inc.
|
|
|
(4,515
|
)
|
3/25/11
|
|
Sri Lankan Rupee
67,120,000
|
|
United States Dollar
554,482
|
|
Standard Chartered Bank
|
|
|
(48,115
|
)
|
3/31/11
|
|
British Pound Sterling
423,000
|
|
United States Dollar
673,725
|
|
Goldman Sachs, Inc.
|
|
|
(3,558
|
)
|
3/31/11
|
|
Euro
1,810,000
|
|
United States Dollar
2,441,328
|
|
HSBC Bank USA
|
|
|
(35,086
|
)
|
4/5/11
|
|
South African Rand
17,200,000
|
|
United States Dollar
2,573,309
|
|
Goldman Sachs, Inc.
|
|
|
203,595
|
|
4/6/11
|
|
Israeli Shekel
9,822,000
|
|
United States Dollar
2,638,691
|
|
Barclays Bank PLC
|
|
|
(7,806
|
)
|
4/6/11
|
|
Israeli Shekel
9,812,000
|
|
United States Dollar
2,635,509
|
|
Citigroup Global Markets
|
|
|
(8,293
|
)
|
20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
Deliver
|
|
In Exchange For
|
|
Counterparty
|
|
(Depreciation)
|
|
4/6/11
|
|
Israeli Shekel
19,633,000
|
|
United States Dollar
5,276,270
|
|
Deutsche Bank
|
|
$
|
(13,760
|
)
|
4/7/11
|
|
Euro
2,100,000
|
|
United States Dollar
2,813,727
|
|
HSBC Bank USA
|
|
|
(59,209
|
)
|
4/28/11
|
|
British Pound Sterling
434,663
|
|
United States Dollar
691,906
|
|
JPMorgan Chase Bank
|
|
|
(3,886
|
)
|
4/29/11
|
|
Sri Lankan Rupee
61,000,000
|
|
United States Dollar
509,607
|
|
Standard Chartered Bank
|
|
|
(37,303
|
)
|
5/13/11
|
|
Sri Lankan Rupee
200,370,000
|
|
United States Dollar
1,785,829
|
|
HSBC Bank USA
|
|
|
(9,829
|
)
|
6/2/11
|
|
Euro
2,400,000
|
|
United States Dollar
2,935,920
|
|
HSBC Bank USA
|
|
|
(344,677
|
)
|
7/15/11
|
|
Sri Lankan Rupee
230,890,000
|
|
United States Dollar
1,943,028
|
|
HSBC Bank USA
|
|
|
(122,338
|
)
|
8/4/11
|
|
Euro
600,000
|
|
United States Dollar
791,274
|
|
Deutsche Bank
|
|
|
(28,034
|
)
|
8/5/11
|
|
Sri Lankan Rupee
135,510,000
|
|
United States Dollar
1,165,677
|
|
HSBC Bank USA
|
|
|
(45,741
|
)
|
8/25/11
|
|
Euro
1,355,000
|
|
United States Dollar
1,707,436
|
|
Deutsche Bank
|
|
|
(142,027
|
)
|
9/8/11
|
|
Euro
898,000
|
|
United States Dollar
1,140,316
|
|
Citigroup Global Markets
|
|
|
(85,022
|
)
|
10/5/11
|
|
Israeli Shekel
2,843,000
|
|
United States Dollar
784,601
|
|
Barclays Bank PLC
|
|
|
19,909
|
|
10/7/11
|
|
Sri Lankan Rupee
35,800,000
|
|
United States Dollar
316,394
|
|
HSBC Bank USA
|
|
|
(3,011
|
)
|
1/20/12
|
|
Sri Lankan Rupee
91,000,000
|
|
United States Dollar
808,530
|
|
Standard Chartered Bank
|
|
|
(690
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(1,427,459
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Purchases
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
2/2/11
|
|
New Turkish Lira
3,913,000
|
|
United States Dollar
2,480,979
|
|
Credit Suisse
|
|
$
|
(42,482
|
)
|
2/3/11
|
|
Colombian Peso
920,000,000
|
|
United States Dollar
502,595
|
|
Credit Suisse
|
|
|
(9,877
|
)
|
2/3/11
|
|
Serbian Dinar
34,680,000
|
|
Euro
326,093
|
|
HSBC Bank USA
|
|
|
7,625
|
|
2/4/11
|
|
Czech Koruna
35,900,000
|
|
Euro
1,464,051
|
|
Deutsche Bank
|
|
|
27,022
|
|
2/4/11
|
|
Serbian Dinar
17,340,000
|
|
Euro
162,744
|
|
Standard Bank
|
|
|
4,162
|
|
2/7/11
|
|
Czech Koruna
70,190,529
|
|
Euro
2,822,263
|
|
HSBC Bank USA
|
|
|
107,916
|
|
2/7/11
|
|
Serbian Dinar
13,535,000
|
|
Euro
126,259
|
|
JPMorgan Chase Bank
|
|
|
4,157
|
|
2/7/11
|
|
Zambian Kwacha
1,478,000,000
|
|
United States Dollar
306,639
|
|
Barclays Bank PLC
|
|
|
(1,290
|
)
|
2/7/11
|
|
Zambian Kwacha
1,709,000,000
|
|
United States Dollar
354,564
|
|
Citigroup Global Markets
|
|
|
(1,491
|
)
|
2/7/11
|
|
Zambian Kwacha
1,626,200,000
|
|
United States Dollar
335,976
|
|
Standard Bank
|
|
|
(9
|
)
|
2/7/11
|
|
Zambian Kwacha
655,000,000
|
|
United States Dollar
136,175
|
|
Standard Chartered Bank
|
|
|
(854
|
)
|
2/8/11
|
|
Czech Koruna
72,880,000
|
|
Euro
2,984,561
|
|
Bank of America
|
|
|
37,920
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
2/10/11
|
|
Hong Kong Dollar
30,326,000
|
|
United States Dollar
3,914,901
|
|
Citigroup Global Markets
|
|
$
|
(24,900
|
)
|
2/10/11
|
|
Indian Rupee
102,106,000
|
|
United States Dollar
2,241,625
|
|
Barclays Bank PLC
|
|
|
(21,446
|
)
|
2/10/11
|
|
Mexican Peso
14,874,934
|
|
United States Dollar
1,227,396
|
|
HSBC Bank USA
|
|
|
(2,041
|
)
|
2/10/11
|
|
Serbian Dinar
11,990,000
|
|
Euro
114,441
|
|
Deutsche Bank
|
|
|
(1
|
)
|
2/10/11
|
|
Serbian Dinar
31,327,300
|
|
Euro
299,639
|
|
Deutsche Bank
|
|
|
(865
|
)
|
2/14/11
|
|
New Turkish Lira
8,203,347
|
|
United States Dollar
5,201,539
|
|
Citigroup Global Markets
|
|
|
(98,045
|
)
|
2/14/11
|
|
South Korean Won 121,000,000
|
|
United States Dollar
107,862
|
|
Standard Chartered Bank
|
|
|
(1
|
)
|
2/18/11
|
|
Malaysian Ringgit
2,118,000
|
|
United States Dollar
691,005
|
|
Barclays Bank PLC
|
|
|
813
|
|
2/18/11
|
|
Serbian Dinar
14,860,000
|
|
Euro
140,907
|
|
Barclays Bank PLC
|
|
|
832
|
|
2/18/11
|
|
Serbian Dinar
32,010,000
|
|
Euro
301,699
|
|
Citigroup Global Markets
|
|
|
4,295
|
|
2/18/11
|
|
Serbian Dinar
19,071,000
|
|
Euro
179,830
|
|
Credit Suisse
|
|
|
2,445
|
|
2/18/11
|
|
Serbian Dinar
21,670,000
|
|
Euro
204,917
|
|
Deutsche Bank
|
|
|
1,985
|
|
2/18/11
|
|
Serbian Dinar
30,187,000
|
|
Euro
285,051
|
|
JPMorgan Chase Bank
|
|
|
3,319
|
|
2/18/11
|
|
Swedish Krona
8,000,000
|
|
Euro
891,663
|
|
Goldman Sachs, Inc.
|
|
|
19,029
|
|
2/22/11
|
|
Indian Rupee
145,080,000
|
|
United States Dollar
3,166,303
|
|
Standard Chartered Bank
|
|
|
(19,914
|
)
|
2/22/11
|
|
Norwegian Krone
15,407,300
|
|
Euro
1,945,931
|
|
HSBC Bank USA
|
|
|
1,515
|
|
2/24/11
|
|
Malaysian Ringgit
3,682,500
|
|
United States Dollar
1,204,022
|
|
Barclays Bank PLC
|
|
|
(1,180
|
)
|
2/24/11
|
|
Malaysian Ringgit
3,682,500
|
|
United States Dollar
1,204,061
|
|
Goldman Sachs, Inc.
|
|
|
(1,219
|
)
|
2/28/11
|
|
Czech Koruna
42,349,000
|
|
Euro
1,745,991
|
|
Goldman Sachs, Inc.
|
|
|
6,159
|
|
2/28/11
|
|
Indian Rupee
47,160,000
|
|
United States Dollar
1,028,123
|
|
Standard Bank
|
|
|
(6,680
|
)
|
2/28/11
|
|
Swedish Krona
21,830,400
|
|
Euro
2,430,677
|
|
Standard Chartered Bank
|
|
|
54,437
|
|
3/2/11
|
|
Brazilian Real
8,313,492
|
|
United States Dollar
4,945,269
|
|
Goldman Sachs, Inc.
|
|
|
8,250
|
|
3/2/11
|
|
Israeli Shekel
2,829,250
|
|
United States Dollar
789,620
|
|
Credit Suisse
|
|
|
(27,049
|
)
|
3/7/11
|
|
South Korean Won 2,122,000,000
|
|
United States Dollar
1,886,474
|
|
Bank of America
|
|
|
3,388
|
|
3/15/11
|
|
Serbian Dinar
14,735,000
|
|
Euro
135,221
|
|
Barclays Bank PLC
|
|
|
5,718
|
|
3/16/11
|
|
Serbian Dinar
14,355,000
|
|
Euro
132,794
|
|
Barclays Bank PLC
|
|
|
4,074
|
|
3/17/11
|
|
Serbian Dinar
14,170,000
|
|
Euro
131,949
|
|
Barclays Bank PLC
|
|
|
2,790
|
|
3/17/11
|
|
Serbian Dinar
11,330,000
|
|
Euro
105,543
|
|
HSBC Bank USA
|
|
|
2,177
|
|
3/18/11
|
|
Malaysian Ringgit
1,192,000
|
|
United States Dollar
388,400
|
|
Citigroup Global Markets
|
|
|
751
|
|
3/18/11
|
|
Serbian Dinar
15,020,000
|
|
Euro
140,901
|
|
Citigroup Global Markets
|
|
|
1,490
|
|
22
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
3/18/11
|
|
Serbian Dinar
14,040,000
|
|
Euro
131,992
|
|
Credit Suisse
|
|
$
|
1,003
|
|
3/18/11
|
|
Serbian Dinar
14,085,000
|
|
Euro
132,006
|
|
HSBC Bank USA
|
|
|
1,567
|
|
3/18/11
|
|
Swedish Krona
22,990,000
|
|
Euro
2,557,955
|
|
Standard Chartered Bank
|
|
|
57,940
|
|
3/21/11
|
|
Norwegian Krone
15,000,000
|
|
Euro
1,911,802
|
|
Goldman Sachs, Inc.
|
|
|
(24,974
|
)
|
3/21/11
|
|
Serbian Dinar
40,735,000
|
|
Euro
384,837
|
|
Citigroup Global Markets
|
|
|
(57
|
)
|
3/24/11
|
|
Taiwan Dollar
18,700,000
|
|
United States Dollar
649,148
|
|
Citigroup Global Markets
|
|
|
(4,492
|
)
|
3/29/11
|
|
South Korean Won 2,180,000,000
|
|
United States Dollar
1,886,956
|
|
Bank of America
|
|
|
52,028
|
|
3/29/11
|
|
South Korean Won 2,200,200,000
|
|
United States Dollar
1,904,523
|
|
Credit Suisse
|
|
|
52,428
|
|
3/31/11
|
|
Polish Zloty
3,610,000
|
|
Euro
904,195
|
|
HSBC Bank USA
|
|
|
14,220
|
|
4/6/11
|
|
Indonesian Rupiah
4,809,000,000
|
|
United States Dollar
534,452
|
|
Barclays Bank PLC
|
|
|
(9,810
|
)
|
4/6/11
|
|
Indonesian Rupiah
5,878,000,000
|
|
United States Dollar
653,184
|
|
Credit Suisse
|
|
|
(11,918
|
)
|
4/6/11
|
|
Indonesian Rupiah
5,878,000,000
|
|
United States Dollar
653,256
|
|
Deutsche Bank
|
|
|
(11,991
|
)
|
4/6/11
|
|
Indonesian Rupiah
4,809,000,000
|
|
United States Dollar
534,333
|
|
Standard Chartered Bank
|
|
|
(9,691
|
)
|
4/6/11
|
|
Polish Zloty
10,172,851
|
|
Euro
2,591,017
|
|
Goldman Sachs, Inc.
|
|
|
(20,345
|
)
|
4/6/11
|
|
Serbian Dinar
13,749,000
|
|
Euro
126,253
|
|
HSBC Bank USA
|
|
|
4,199
|
|
4/7/11
|
|
Swedish Krona
7,970,000
|
|
Euro
885,378
|
|
Credit Suisse
|
|
|
21,259
|
|
4/7/11
|
|
Swedish Krona
4,845,000
|
|
Euro
539,998
|
|
Credit Suisse
|
|
|
10,499
|
|
4/7/11
|
|
Swedish Krona
2,740,000
|
|
Euro
307,199
|
|
Goldman Sachs, Inc.
|
|
|
3,457
|
|
4/11/11
|
|
Malaysian Ringgit
1,930,000
|
|
United States Dollar
625,567
|
|
Credit Suisse
|
|
|
3,943
|
|
4/11/11
|
|
Malaysian Ringgit
1,930,000
|
|
United States Dollar
625,466
|
|
Deutsche Bank
|
|
|
4,044
|
|
4/11/11
|
|
Malaysian Ringgit
1,930,000
|
|
United States Dollar
625,628
|
|
Goldman Sachs, Inc.
|
|
|
3,882
|
|
4/11/11
|
|
Malaysian Ringgit
1,940,000
|
|
United States Dollar
628,829
|
|
JPMorgan Chase Bank
|
|
|
3,943
|
|
4/12/11
|
|
Indonesian Rupiah
5,074,000,000
|
|
United States Dollar
557,705
|
|
Credit Suisse
|
|
|
(4,831
|
)
|
4/13/11
|
|
Israeli Shekel
3,100,000
|
|
United States Dollar
873,632
|
|
Credit Suisse
|
|
|
(38,406
|
)
|
4/13/11
|
|
Malaysian Ringgit
10,300,000
|
|
United States Dollar
3,334,844
|
|
HSBC Bank USA
|
|
|
24,366
|
|
4/13/11
|
|
Polish Zloty
7,830,000
|
|
Euro
1,996,430
|
|
Bank of America
|
|
|
(19,904
|
)
|
4/13/11
|
|
Serbian Dinar
13,446,000
|
|
Euro
123,471
|
|
Citigroup Global Markets
|
|
|
3,620
|
|
4/14/11
|
|
Mexican Peso
31,987,718
|
|
United States Dollar
2,604,439
|
|
JPMorgan Chase Bank
|
|
|
17,152
|
|
4/14/11
|
|
Serbian Dinar
23,740,000
|
|
Euro
220,019
|
|
HSBC Bank USA
|
|
|
3,506
|
|
4/14/11
|
|
Serbian Dinar
6,675,000
|
|
Euro
61,834
|
|
JPMorgan Chase Bank
|
|
|
1,025
|
|
23
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Settlement
|
|
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
In Exchange For
|
|
Deliver
|
|
Counterparty
|
|
(Depreciation)
|
|
4/15/11
|
|
Serbian Dinar
28,045,000
|
|
Euro
258,146
|
|
Citigroup Global Markets
|
|
$
|
6,419
|
|
4/18/11
|
|
Serbian Dinar
19,412,000
|
|
Euro
179,824
|
|
Citigroup Global Markets
|
|
|
2,582
|
|
4/19/11
|
|
Indonesian Rupiah
12,014,790,000
|
|
United States Dollar
1,305,530
|
|
Bank of America
|
|
|
1,758
|
|
4/19/11
|
|
Indonesian Rupiah
12,014,790,000
|
|
United States Dollar
1,305,246
|
|
Credit Suisse
|
|
|
2,042
|
|
4/21/11
|
|
Serbian Dinar
28,785,000
|
|
Euro
268,267
|
|
HSBC Bank USA
|
|
|
1,177
|
|
4/26/11
|
|
Serbian Dinar
42,600,000
|
|
Euro
398,317
|
|
Credit Suisse
|
|
|
(1,123
|
)
|
5/12/11
|
|
Hong Kong Dollar
30,212,000
|
|
United States Dollar
3,903,510
|
|
Goldman Sachs, Inc.
|
|
|
(24,589
|
)
|
5/26/11
|
|
Yuan Renminbi
3,918,075
|
|
United States Dollar
595,000
|
|
Bank of America
|
|
|
2,103
|
|
5/26/11
|
|
Yuan Renminbi
7,839,720
|
|
United States Dollar
1,190,000
|
|
Barclays Bank PLC
|
|
|
4,751
|
|
5/26/11
|
|
Yuan Renminbi
3,918,670
|
|
United States Dollar
595,000
|
|
Citigroup Global Markets
|
|
|
2,194
|
|
6/3/11
|
|
Yuan Renminbi
2,300,000
|
|
United States Dollar
347,642
|
|
Bank of America
|
|
|
3,062
|
|
6/3/11
|
|
Yuan Renminbi
2,300,000
|
|
United States Dollar
347,485
|
|
Deutsche Bank
|
|
|
3,219
|
|
6/15/11
|
|
Yuan Renminbi
9,800,000
|
|
United States Dollar
1,483,724
|
|
Citigroup Global Markets
|
|
|
11,799
|
|
6/15/11
|
|
Yuan Renminbi
20,600,000
|
|
United States Dollar
3,116,490
|
|
HSBC Bank USA
|
|
|
27,160
|
|
8/12/11
|
|
Yuan Renminbi
3,880,000
|
|
United States Dollar
581,448
|
|
Bank of America
|
|
|
12,933
|
|
11/28/11
|
|
Yuan Renminbi
3,863,930
|
|
United States Dollar
595,000
|
|
Barclays Bank PLC
|
|
|
508
|
|
11/28/11
|
|
Yuan Renminbi
3,865,418
|
|
United States Dollar
595,000
|
|
JPMorgan Chase Bank
|
|
|
738
|
|
11/28/11
|
|
Yuan Renminbi
7,729,050
|
|
United States Dollar
1,190,000
|
|
Standard Chartered Bank
|
|
|
1,200
|
|
1/30/12
|
|
Yuan Renminbi
3,560,000
|
|
United States Dollar
551,271
|
|
Bank of America
|
|
|
(745
|
)
|
1/30/12
|
|
Yuan Renminbi
12,255,100
|
|
United States Dollar
1,899,927
|
|
Barclays Bank PLC
|
|
|
(4,772
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
233,003
|
|
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2011, closed forward foreign currency
purchases and sales contracts excluded above amounted to a
receivable of $454,019 and a payable of $50,031.
Futures
Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
Expiration
|
|
|
|
|
|
Aggregate
|
|
|
|
|
|
Appreciation
|
|
Date
|
|
Contracts
|
|
Position
|
|
Cost
|
|
|
Value
|
|
|
(Depreciation)
|
|
2/11
|
|
28 Brent Crude Oil
|
|
Short
|
|
$
|
(2,705,480
|
)
|
|
$
|
(2,828,280
|
)
|
|
$
|
(122,800
|
)
|
2/11
|
|
28 Light Sweet Crude Oil
|
|
Long
|
|
|
2,436,650
|
|
|
|
2,581,320
|
|
|
|
144,670
|
|
3/11
|
|
16 Euro-Bobl
|
|
Short
|
|
|
(2,601,973
|
)
|
|
|
(2,559,106
|
)
|
|
|
42,867
|
|
3/11
|
|
20 Euro-Bund
|
|
Short
|
|
|
(3,432,049
|
)
|
|
|
(3,388,373
|
)
|
|
|
43,676
|
|
3/11
|
|
6 Euro-Buxl
|
|
Short
|
|
|
(885,597
|
)
|
|
|
(864,866
|
)
|
|
|
20,731
|
|
3/11
|
|
7 Japan
10-Year
Bond
|
|
Short
|
|
|
(11,993,299
|
)
|
|
|
(11,941,277
|
)
|
|
|
52,022
|
|
3/11
|
|
57 U.S.
5-Year
Treasury Note
|
|
Short
|
|
|
(6,827,086
|
)
|
|
|
(6,749,602
|
)
|
|
|
77,484
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
258,650
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24
|
|
|
Euro-Bobl: Medium-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 4.5 to
5 years.
|
|
|
Euro-Bund: Long-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 8.5 to
10.5 years.
|
|
|
Euro-Buxl: Long-term debt securities issued by the Federal
Republic of Germany with a term to maturity of 24 to
35 years.
|
|
|
Japan
10-Year
Bond: Japanese Government Bonds (JGB) having a maturity of
7 years or more but less than 11 years.
|
Interest
Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Fund
|
|
|
|
|
|
|
|
|
Net Unrealized
|
|
|
|
Amount
|
|
|
Pays/Receives
|
|
Floating
|
|
Annual
|
|
|
Termination
|
|
Appreciation
|
|
Counterparty
|
|
(000s omitted)
|
|
|
Floating Rate
|
|
Rate Index
|
|
Fixed Rate
|
|
|
Date
|
|
(Depreciation)
|
|
Bank of America
|
|
ILS
|
2,650
|
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
4.20
|
%
|
|
11/19/14
|
|
$
|
(1,434
|
)
|
Bank of America
|
|
ILS
|
2,600
|
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
4.54
|
|
|
1/6/15
|
|
|
(7,478
|
)
|
Bank of America
|
|
ZAR
|
5,852
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
6.86
|
|
|
11/17/15
|
|
|
32,088
|
|
Bank of America
|
|
ZAR
|
6,082
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.18
|
|
|
12/15/15
|
|
|
23,101
|
|
Bank of America
|
|
ZAR
|
2,773
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.26
|
|
|
11/16/20
|
|
|
32,664
|
|
Bank of America
|
|
ZAR
|
5,850
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.42
|
|
|
11/17/20
|
|
|
59,960
|
|
Bank of America
|
|
ZAR
|
4,072
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.31
|
|
|
11/19/20
|
|
|
45,664
|
|
Barclays Bank PLC
|
|
ILS
|
1,311
|
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
5.15
|
|
|
3/5/20
|
|
|
(13,601
|
)
|
Barclays Bank PLC
|
|
ILS
|
1,334
|
|
|
Receive
|
|
3-month ILS TELBOR
|
|
|
5.16
|
|
|
3/8/20
|
|
|
(14,008
|
)
|
Citigroup Global Markets
|
|
ZAR
|
2,659
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.29
|
|
|
11/19/20
|
|
|
30,332
|
|
Deutsche Bank
|
|
ZAR
|
2,073
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
6.71
|
|
|
11/19/15
|
|
|
13,011
|
|
Deutsche Bank
|
|
ZAR
|
3,825
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.26
|
|
|
11/16/20
|
|
|
45,054
|
|
Deutsche Bank
|
|
ZAR
|
2,467
|
|
|
Receive
|
|
3-month ZAR JIBAR
|
|
|
7.27
|
|
|
11/19/20
|
|
|
28,615
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
273,968
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ILS - Israeli Shekel
ZAR - South African Rand
Credit
Default Swaps Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Contract
|
|
|
|
|
Current
|
|
|
|
|
Reference
|
|
|
|
Amount*
|
|
|
Annual
|
|
|
Termination
|
|
Market Annual
|
|
|
Net Unrealized
|
|
Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
|
Fixed Rate**
|
|
|
Date
|
|
Fixed Rate***
|
|
|
Depreciation
|
|
Iceland
|
|
JPMorgan Chase Bank
|
|
$
|
2,600
|
|
|
|
1.75
|
%
|
|
3/20/18
|
|
|
2.97
|
%
|
|
$
|
(176,586
|
)
|
Iceland
|
|
JPMorgan Chase Bank
|
|
|
1,000
|
|
|
|
2.10
|
|
|
3/20/23
|
|
|
2.80
|
|
|
|
(53,865
|
)
|
Iceland
|
|
JPMorgan Chase Bank
|
|
|
1,000
|
|
|
|
2.45
|
|
|
3/20/23
|
|
|
2.80
|
|
|
|
(25,104
|
)
|
South Africa
|
|
Bank of America
|
|
|
55
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(335
|
)
|
South Africa
|
|
Bank of America
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(1,295
|
)
|
South Africa
|
|
Barclays Bank PLC
|
|
|
80
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(415
|
)
|
South Africa
|
|
Barclays Bank PLC
|
|
|
145
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(740
|
)
|
South Africa
|
|
Credit Suisse
|
|
|
85
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(363
|
)
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(1,019
|
)
|
South Africa
|
|
Deutsche Bank
|
|
|
155
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(791
|
)
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
90
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(385
|
)
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
205
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
1.34
|
|
|
|
(953
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(261,851
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit
Default Swaps Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Contract
|
|
|
|
|
Net Unrealized
|
|
Reference
|
|
|
|
Amount
|
|
|
Annual
|
|
|
Termination
|
|
Appreciation
|
|
Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
|
Fixed Rate**
|
|
|
Date
|
|
(Depreciation)
|
|
Austria
|
|
Barclays Bank PLC
|
|
$
|
2,200
|
|
|
|
0.44
|
%
|
|
12/20/13
|
|
$
|
10,983
|
|
Austria
|
|
Barclays Bank PLC
|
|
|
1,000
|
|
|
|
1.42
|
|
|
3/20/14
|
|
|
(25,298
|
)
|
Brazil
|
|
Bank of America
|
|
|
1,000
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
2,191
|
|
Brazil
|
|
Bank of America
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(4,261
|
)
|
Brazil
|
|
Bank of America
|
|
|
680
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
2,060
|
|
Brazil
|
|
Bank of America
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
1,150
|
|
Brazil
|
|
Bank of America
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
540
|
|
Brazil
|
|
Barclays Bank PLC
|
|
|
2,300
|
|
|
|
1.65
|
|
|
9/20/19
|
|
|
(48,414
|
)
|
Brazil
|
|
Barclays Bank PLC
|
|
|
630
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
1,367
|
|
25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Contract
|
|
|
|
|
Net Unrealized
|
|
Reference
|
|
|
|
Amount
|
|
|
Annual
|
|
|
Termination
|
|
Appreciation
|
|
Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
|
Fixed Rate**
|
|
|
Date
|
|
(Depreciation)
|
|
Brazil
|
|
Citigroup Global Markets
|
|
$
|
100
|
|
|
|
1.00
|
%
(1)
|
|
12/20/20
|
|
$
|
499
|
|
Brazil
|
|
Credit Suisse
|
|
|
775
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(11,397
|
)
|
Brazil
|
|
Deutsche Bank
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
164
|
|
Brazil
|
|
HSBC Bank USA
|
|
|
775
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(9,738
|
)
|
Brazil
|
|
HSBC Bank USA
|
|
|
130
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
649
|
|
Brazil
|
|
Standard Chartered Bank
|
|
|
130
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
649
|
|
Egypt
|
|
Bank of America
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
24,901
|
|
Egypt
|
|
Bank of America
|
|
|
1,400
|
|
|
|
1.00
|
(1)
|
|
9/20/15
|
|
|
124,000
|
|
Egypt
|
|
Barclays Bank PLC
|
|
|
105
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
9,425
|
|
Egypt
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
37,981
|
|
Egypt
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
36,406
|
|
Egypt
|
|
Deutsche Bank
|
|
|
650
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
50,575
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
21,031
|
|
Egypt
|
|
Deutsche Bank
|
|
|
210
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
18,932
|
|
Egypt
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
14,372
|
|
Egypt
|
|
Deutsche Bank
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
44,138
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
41,440
|
|
Egypt
|
|
Deutsche Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
37,790
|
|
Egypt
|
|
JPMorgan Chase Bank
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
24,901
|
|
Guatemala
|
|
Citigroup Global Markets
|
|
|
1,286
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(904
|
)
|
Italy
|
|
Credit Suisse
|
|
|
6,800
|
|
|
|
0.20
|
|
|
12/20/16
|
|
|
577,015
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
12/20/14
|
|
|
18,239
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
13,211
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
4,299
|
|
Lebanon
|
|
Barclays Bank PLC
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
3,445
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
3.30
|
|
|
9/20/14
|
|
|
3,505
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
1,000
|
|
|
|
1.00
|
(1)
|
|
12/20/14
|
|
|
35,577
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
12/20/14
|
|
|
18,239
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
350
|
|
|
|
1.00
|
(1)
|
|
12/20/14
|
|
|
13,188
|
|
Lebanon
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
15,123
|
|
Lebanon
|
|
Credit Suisse
|
|
|
800
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
35,256
|
|
Lebanon
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
8,746
|
|
Lebanon
|
|
Credit Suisse
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
5,085
|
|
Lebanon
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
9,648
|
|
Lebanon
|
|
Deutsche Bank
|
|
|
100
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
5,085
|
|
Malaysia
|
|
Bank of America
|
|
|
800
|
|
|
|
0.83
|
|
|
12/20/14
|
|
|
(7,059
|
)
|
Malaysia
|
|
Barclays Bank PLC
|
|
|
2,100
|
|
|
|
2.40
|
|
|
3/20/14
|
|
|
(126,245
|
)
|
Malaysia
|
|
Barclays Bank PLC
|
|
|
1,600
|
|
|
|
0.82
|
|
|
12/20/14
|
|
|
(13,492
|
)
|
Malaysia
|
|
Citigroup Global Markets
|
|
|
2,000
|
|
|
|
2.45
|
|
|
3/20/14
|
|
|
(123,453
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,000
|
|
|
|
1.70
|
|
|
12/20/14
|
|
|
(24,582
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,500
|
|
|
|
1.84
|
|
|
12/20/14
|
|
|
(45,036
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
1,100
|
|
|
|
1.85
|
|
|
12/20/14
|
|
|
(33,454
|
)
|
Philippines
|
|
Barclays Bank PLC
|
|
|
655
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
(12,606
|
)
|
Philippines
|
|
Citigroup Global Markets
|
|
|
800
|
|
|
|
1.84
|
|
|
12/20/14
|
|
|
(24,019
|
)
|
Philippines
|
|
Citigroup Global Markets
|
|
|
1,100
|
|
|
|
1.86
|
|
|
12/20/14
|
|
|
(33,882
|
)
|
Philippines
|
|
Credit Suisse
|
|
|
5,000
|
|
|
|
2.15
|
|
|
9/20/11
|
|
|
(68,385
|
)
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
5,000
|
|
|
|
2.17
|
|
|
9/20/11
|
|
|
(69,145
|
)
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
1,100
|
|
|
|
1.69
|
|
|
12/20/14
|
|
|
(26,612
|
)
|
Philippines
|
|
JPMorgan Chase Bank
|
|
|
656
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
(12,625
|
)
|
Russia
|
|
Bank of America
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
(19,990
|
)
|
Russia
|
|
Citigroup Global Markets
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
1,652
|
|
Russia
|
|
Credit Suisse
|
|
|
700
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
1,315
|
|
Russia
|
|
Credit Suisse
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
2,098
|
|
Russia
|
|
Deutsche Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
2,098
|
|
Russia
|
|
Goldman Sachs, Inc.
|
|
|
625
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
(19,990
|
)
|
South Africa
|
|
Bank of America
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
12/20/19
|
|
|
5,111
|
|
South Africa
|
|
Bank of America
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
2,840
|
|
South Africa
|
|
Bank of America
|
|
|
55
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
578
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
12/20/19
|
|
|
(2,602
|
)
|
South Africa
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
5,362
|
|
26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional
|
|
|
Contract
|
|
|
|
|
Net Unrealized
|
|
Reference
|
|
|
|
Amount
|
|
|
Annual
|
|
|
Termination
|
|
Appreciation
|
|
Entity
|
|
Counterparty
|
|
(000s omitted)
|
|
|
Fixed Rate**
|
|
|
Date
|
|
(Depreciation)
|
|
South Africa
|
|
Barclays Bank PLC
|
|
$
|
145
|
|
|
|
1.00
|
%
(1)
|
|
12/20/20
|
|
$
|
2,080
|
|
South Africa
|
|
Barclays Bank PLC
|
|
|
80
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
966
|
|
South Africa
|
|
Citigroup Global Markets
|
|
|
655
|
|
|
|
1.00
|
(1)
|
|
12/20/19
|
|
|
(5,694
|
)
|
South Africa
|
|
Citigroup Global Markets
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
(1,948
|
)
|
South Africa
|
|
Citigroup Global Markets
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
(4,627
|
)
|
South Africa
|
|
Credit Suisse
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
2,879
|
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
(294
|
)
|
South Africa
|
|
Credit Suisse
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
2,359
|
|
South Africa
|
|
Credit Suisse
|
|
|
85
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
828
|
|
South Africa
|
|
Deutsche Bank
|
|
|
155
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
1,975
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
205
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
2,449
|
|
South Africa
|
|
Goldman Sachs, Inc.
|
|
|
90
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
1,016
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
12/20/19
|
|
|
(6,605
|
)
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
310
|
|
|
|
1.00
|
(1)
|
|
12/20/19
|
|
|
(6,917
|
)
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
400
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
2,598
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
2,370
|
|
South Africa
|
|
JPMorgan Chase Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
(1,812
|
)
|
Spain
|
|
Barclays Bank PLC
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
28,508
|
|
Spain
|
|
Barclays Bank PLC
|
|
|
1,080
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
9,631
|
|
Spain
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
97,147
|
|
Spain
|
|
Citigroup Global Markets
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
65,320
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
98,820
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,200
|
|
|
|
1.00
|
(1)
|
|
3/20/20
|
|
|
65,320
|
|
Spain
|
|
Deutsche Bank
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
20,691
|
|
Spain
|
|
Deutsche Bank
|
|
|
1,045
|
|
|
|
1.00
|
(1)
|
|
12/20/20
|
|
|
9,319
|
|
Thailand
|
|
Barclays Bank PLC
|
|
|
1,900
|
|
|
|
0.97
|
|
|
9/20/19
|
|
|
64,434
|
|
Thailand
|
|
Citigroup Global Markets
|
|
|
1,600
|
|
|
|
0.86
|
|
|
12/20/14
|
|
|
13,614
|
|
Thailand
|
|
Citigroup Global Markets
|
|
|
900
|
|
|
|
0.95
|
|
|
9/20/19
|
|
|
31,868
|
|
Thailand
|
|
JPMorgan Chase Bank
|
|
|
800
|
|
|
|
0.87
|
|
|
12/20/14
|
|
|
6,497
|
|
Uruguay
|
|
Citigroup Global Markets
|
|
|
300
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(1,391
|
)
|
Uruguay
|
|
Deutsche Bank
|
|
|
600
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(1,776
|
)
|
Banco Comercial Portugues, S.A.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
135,752
|
|
Banco de Sabadell, S.A.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
3.00
|
(1)
|
|
3/20/15
|
|
|
75,370
|
|
Citibank Corp.
|
|
Bank of America
|
|
|
683
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(14,178
|
)
|
Citibank Corp.
|
|
JPMorgan Chase Bank
|
|
|
683
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(16,611
|
)
|
Erste Group Bank AG
|
|
Barclays Bank PLC
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
5,893
|
|
ING Verzekeringen N.V.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
16,883
|
|
OAO Gazprom
|
|
Bank of America
|
|
|
700
|
|
|
|
1.00
|
(1)
|
|
6/20/20
|
|
|
(22,769
|
)
|
OAO Gazprom
|
|
Barclays Bank PLC
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
(7,501
|
)
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
500
|
|
|
|
1.00
|
(1)
|
|
6/20/15
|
|
|
(7,686
|
)
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(2,787
|
)
|
OAO Gazprom
|
|
Deutsche Bank
|
|
|
200
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(4,012
|
)
|
OAO Gazprom
|
|
Goldman Sachs, Inc.
|
|
|
170
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(2,903
|
)
|
OAO Gazprom
|
|
Goldman Sachs, Inc.
|
|
|
310
|
|
|
|
1.00
|
(1)
|
|
9/20/20
|
|
|
(7,097
|
)
|
Rabobank Nederland N.V.
|
|
JPMorgan Chase Bank
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
1,337
|
|
Raiffeisen Zentralbank
|
|
Barclays Bank PLC
|
|
|
470
|
|
|
|
1.00
|
(1)
|
|
3/20/15
|
|
|
2,939
|
|
iTraxx Europe Senior Financials
5-Year
Index
|
|
Bank of America
|
|
EUR
|
630
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
(6,612
|
)
|
iTraxx Europe Senior Financials
5-Year
Index
|
|
Credit Suisse
|
|
EUR
|
630
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
(6,786
|
)
|
iTraxx Europe Subordinated Financials
5-Year
Index
|
|
Bank of America
|
|
EUR
|
600
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
36,285
|
|
iTraxx Europe Subordinated Financials
5-Year
Index
|
|
JPMorgan Chase Bank
|
|
EUR
|
1,800
|
|
|
|
1.00
|
(1)
|
|
12/20/15
|
|
|
108,854
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,313,666
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
If the Fund is the seller of credit protection, the notional
amount is the maximum potential amount of future payments the
Fund could be required to make if a credit event, as defined in
the credit default swap agreement, were to occur. At
January 31, 2011, such maximum potential amount for all
open credit default swaps in which the Fund is the seller was
$5,815,000.
|
27
|
|
**
|
The contract annual fixed rate represents the fixed rate of
interest received by the Fund (as a seller of protection) or
paid by the Fund (as a buyer of protection) annually on the
notional amount of the credit default swap contract.
|
|
***
|
Current market annual fixed rates, utilized in determining the
net unrealized appreciation or depreciation as of period end,
serve as an indicator of the markets perception of the
current status of the payment/performance risk associated with
the credit derivative. The current market annual fixed rate of a
particular reference entity reflects the cost, as quoted by the
pricing vendor, of selling protection against default of that
entity as of period end and may include upfront payments
required to be made to enter into the agreement. The higher the
fixed rate, the greater the market perceived risk of a credit
event involving the reference entity. A rate identified as
Defaulted indicates a credit event has occurred for
the reference entity.
|
(1) Upfront payment is exchanged with the
counterparty as a result of the standardized trading coupon.
At January 31, 2011, the Fund had sufficient cash
and/or
securities to cover commitments under these contracts.
In the normal course of pursuing its investment objectives, the
Fund is subject to the following risks:
Commodity Risk: The Fund invests in
commodities-linked derivative investments, including commodity
futures contracts and options thereon, that provide exposure to
the investment returns of certain commodities.
Commodities-related investments are used to enhance return.
Credit Risk: The Fund enters into credit default swap
contracts to manage its credit risk, to gain a particular
exposure to credit risk, or to enhance return.
Foreign Exchange Risk: The Fund engages in forward
foreign currency exchange contracts and currency options to
enhance return, to hedge against fluctuations in currency
exchange rates
and/or
as a
substitute for the purchase or sale of securities or currencies.
Interest Rate Risk: The Fund utilizes various
interest rate derivatives including futures, options on futures
and interest rate swaps to enhance return, to change the overall
duration of the portfolio, or to hedge against fluctuations in
securities prices due to interest rates.
The fair value of derivative instruments (not considered to be
hedging instruments for accounting disclosure purposes) by risk
exposure at January 31, 2011 was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value
|
|
|
|
|
|
Asset
|
|
|
Liability
|
|
Risk
|
|
Derivative
|
|
Derivatives
|
|
|
Derivatives
|
|
Commodity
|
|
Futures Contracts*
|
|
$
|
144,670
|
|
|
$
|
(122,800
|
)
|
Commodity
|
|
Put Options Purchased
|
|
|
18,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
163,420
|
|
|
$
|
(122,800
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Credit
|
|
Credit Default Swaps
|
|
$
|
2,206,861
|
|
|
$
|
(1,155,046
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
2,206,861
|
|
|
$
|
(1,155,046
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Exchange
|
|
Currency Options Purchased
|
|
$
|
269,695
|
|
|
$
|
|
|
Foreign Exchange
|
|
Forward Foreign Currency Exchange Contracts
|
|
|
1,685,648
|
|
|
|
(2,476,116
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,955,343
|
|
|
$
|
(2,476,116
|
)
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate
|
|
Futures Contracts*
|
|
$
|
236,780
|
|
|
$
|
|
|
Interest Rate
|
|
Interest Rate Swaps
|
|
|
310,489
|
|
|
|
(36,521
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
547,269
|
|
|
$
|
(36,521
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Amounts represent cumulative unrealized appreciation or
(depreciation) on futures contracts in the Futures Contracts
table above.
|
The cost and unrealized appreciation (depreciation) of
investments of the Fund at January 31, 2011, as determined
on a federal income tax basis, were as follows:
|
|
|
|
|
Aggregate cost
|
|
$
|
421,055,424
|
|
|
|
|
|
|
Gross unrealized appreciation
|
|
$
|
22,154,244
|
|
Gross unrealized depreciation
|
|
|
(5,262,866
|
)
|
|
|
|
|
|
Net unrealized appreciation
|
|
$
|
16,891,378
|
|
|
|
|
|
|
28
Under generally accepted accounting principles for fair value
measurements, a three-tier hierarchy to prioritize the
assumptions, referred to as inputs, is used in valuation
techniques to measure fair value. The three-tier hierarchy of
inputs is summarized in the three broad levels listed below.
|
|
|
|
|
Level 1 quoted prices in active markets for
identical investments
|
|
|
|
Level 2 other significant observable inputs
(including quoted prices for similar investments, interest
rates, prepayment speeds, credit risk, etc.)
|
|
|
|
Level 3 significant unobservable inputs
(including a funds own assumptions in determining the fair
value of investments)
|
In cases where the inputs used to measure fair value fall in
different levels of the fair value hierarchy, the level
disclosed is determined based on the lowest level input that is
significant to the fair value measurement in its entirety. The
inputs or methodology used for valuing securities are not
necessarily an indication of the risk associated with investing
in those securities.
At January 31, 2011, the hierarchy of inputs used in
valuing the Funds investments, which are carried at value,
were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
|
|
|
|
|
|
|
|
|
|
|
|
|
Active Markets for
|
|
|
Significant Other
|
|
|
Significant
|
|
|
|
|
|
|
Identical Assets
|
|
|
Observable Inputs
|
|
|
Unobservable Inputs
|
|
|
|
|
|
|
|
|
Asset Description
|
|
(Level 1)
|
|
|
(Level 2)
|
|
|
(Level 3)
|
|
|
Total
|
|
|
|
Senior Floating-Rate Interests (Less Unfunded Loan Commitments)
|
|
$
|
|
|
|
$
|
151,832,811
|
|
|
$
|
476,790
|
|
|
$
|
152,309,601
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
|
20,835,164
|
|
|
|
|
|
|
|
20,835,164
|
|
Commercial Mortgage-Backed Securities
|
|
|
|
|
|
|
8,993,552
|
|
|
|
|
|
|
|
8,993,552
|
|
Mortgage Pass-Throughs
|
|
|
|
|
|
|
125,253,521
|
|
|
|
|
|
|
|
125,253,521
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
414,617
|
|
|
|
|
|
|
|
414,617
|
|
Corporate Bonds & Notes
|
|
|
|
|
|
|
1,947,049
|
|
|
|
|
|
|
|
1,947,049
|
|
Foreign Corporate Bonds & Notes
|
|
|
|
|
|
|
2,597,533
|
|
|
|
|
|
|
|
2,597,533
|
|
Foreign Government Bonds
|
|
|
|
|
|
|
43,964,510
|
|
|
|
|
|
|
|
43,964,510
|
|
Common Stocks
|
|
|
9,570
|
|
|
|
1,588,262
|
|
|
|
2,537,289
|
|
|
|
4,135,121
|
|
Precious Metals
|
|
|
2,639,629
|
|
|
|
|
|
|
|
|
|
|
|
2,639,629
|
|
Currency Options Purchased
|
|
|
|
|
|
|
269,695
|
|
|
|
|
|
|
|
269,695
|
|
Put Options Purchased
|
|
|
|
|
|
|
18,750
|
|
|
|
|
|
|
|
18,750
|
|
Short-Term Foreign Government Securities
|
|
|
|
|
|
|
57,489,670
|
|
|
|
3,588,848
|
|
|
|
61,078,518
|
|
Short-Term U.S. Treasury Obligations
|
|
|
|
|
|
|
219,632
|
|
|
|
|
|
|
|
219,632
|
|
Short-Term Other Securities
|
|
|
|
|
|
|
13,269,910
|
|
|
|
|
|
|
|
13,269,910
|
|
|
|
Total Investments
|
|
$
|
2,649,199
|
|
|
$
|
428,694,676
|
|
|
$
|
6,602,927
|
|
|
$
|
437,946,802
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
1,685,648
|
|
|
$
|
|
|
|
$
|
1,685,648
|
|
Futures Contracts
|
|
|
381,450
|
|
|
|
|
|
|
|
|
|
|
|
381,450
|
|
Swap Contracts
|
|
|
|
|
|
|
2,517,350
|
|
|
|
|
|
|
|
2,517,350
|
|
|
|
Total
|
|
$
|
3,030,649
|
|
|
$
|
432,897,674
|
|
|
$
|
6,602,927
|
|
|
$
|
442,531,250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Liability Description
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Exchange Contracts
|
|
$
|
|
|
|
$
|
(2,476,116
|
)
|
|
$
|
|
|
|
$
|
(2,476,116
|
)
|
Futures Contracts
|
|
|
(122,800
|
)
|
|
|
|
|
|
|
|
|
|
|
(122,800
|
)
|
Swap Contracts
|
|
|
|
|
|
|
(1,191,567
|
)
|
|
|
|
|
|
|
(1,191,567
|
)
|
|
|
Total
|
|
$
|
(122,800
|
)
|
|
$
|
(3,667,683
|
)
|
|
$
|
|
|
|
$
|
(3,790,483
|
)
|
|
|
29
The following is a reconciliation of Level 3 assets for
which significant unobservable inputs were used to determine
fair value:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in
|
|
|
|
|
|
Investments in
|
|
|
|
|
|
|
Senior
|
|
|
|
|
|
Short-Term Foreign
|
|
|
|
|
|
|
Floating-Rate
|
|
|
Investments in
|
|
|
Government
|
|
|
|
|
|
|
Interests
|
|
|
Common Stocks
|
|
|
Securities
|
|
|
Total
|
|
Balance as of October 31, 2010
|
|
$
|
504,027
|
|
|
$
|
496,034
|
|
|
$
|
|
|
|
$
|
1,000,061
|
|
Realized gains (losses)
|
|
|
(13
|
)
|
|
|
25,355
|
|
|
|
|
|
|
|
25,342
|
|
Change in net unrealized
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation (depreciation)
|
|
|
(22,042
|
)
|
|
|
1,342,935
|
|
|
|
(153,624
|
)
|
|
|
1,167,269
|
|
Cost of purchases
|
|
|
1,056
|
|
|
|
144,983
|
|
|
|
1,694,494
|
|
|
|
1,840,533
|
|
Proceeds from sales
|
|
|
(6,209
|
)
|
|
|
(65,892
|
)
|
|
|
|
|
|
|
(72,101
|
)
|
Accrued discount (premium)
|
|
|
(29
|
)
|
|
|
|
|
|
|
73,548
|
|
|
|
73,519
|
|
Transfers to Level 3*
|
|
|
|
|
|
|
593,874
|
|
|
|
1,974,430
|
|
|
|
2,568,304
|
|
Transfers from Level 3*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Balance as of January 31, 2011
|
|
$
|
476,790
|
|
|
$
|
2,537,289
|
|
|
$
|
3,588,848
|
|
|
$
|
6,602,927
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Change in net unrealized appreciation (depreciation) on
investments still held as of January 31, 2011
|
|
$
|
(22,042
|
)
|
|
$
|
1,342,935
|
|
|
$
|
(153,624
|
)
|
|
$
|
1,167,269
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Transfers are reflected at the value of the securities at the
beginning of the period. Transfers from Level 2 to
Level 3 were due to a reduction in the availability of
significant observable inputs in determining the fair value of
certain investments and the effects of the market closure in
Egypt.
|
At January 31, 2011, the value of investments transferred
between Level 1 and Level 2, if any, during the period
then ended was not significant.
For information on the Funds policy regarding the
valuation of investments and other significant accounting
policies, please refer to the Funds most recent financial
statements included in its semiannual or annual report to
shareholders.
30
Item 2. Controls and Procedures
(a) It is the conclusion of the registrants principal executive officer and principal
financial officer that the effectiveness of the registrants current disclosure controls and
procedures (such disclosure controls and procedures having been evaluated within 90 days of the
date of this filing) provide reasonable assurance that the information required to be disclosed by
the registrant on this Form N-Q has been recorded, processed, summarized and reported within the
time period specified in the Commissions rules and forms and that the information required to be
disclosed by the registrant on this Form N-Q has been accumulated and communicated to the
registrants principal executive officer and principal financial officer in order to allow timely
decisions regarding required disclosure.
(b) There have been no changes in the registrants internal controls over financial reporting
during the fiscal quarter for which the report is being filed that have materially affected, or are
reasonably likely to materially affect the registrants internal control over financial reporting.
Signatures
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company
Act of 1940, the registrant has duly caused this report to be signed on its behalf by the
undersigned, thereunto duly authorized.
Eaton Vance Short Duration Diversified Income Fund
|
|
|
|
|
|
|
By:
|
/s/ Payson F. Swaffield
|
|
|
Payson F. Swaffield
|
|
|
President
|
|
Date: March 24, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act
of 1940, this report has been signed below by the following persons on behalf of the registrant and
in the capacities and on the dates indicated.
|
|
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By:
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/s/ Barbara E. Campbell
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Barbara E. Campbell
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Treasurer
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Date: March 24, 2011
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By:
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/s/ Payson F. Swaffield
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Payson F. Swaffield
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President
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Date: March 24, 2011
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