·
|
Daily, weekly and monthly data on share prices, net asset values, distributions and more
|
·
|
Portfolio overviews and performance analyses
|
·
|
Announcements, press releases and special notices
|
·
|
Fund and adviser contact information
|
·
|
The Fund may invest up to 60% of its total assets in income securities rated below investment grade (commonly referred to as "junk bonds").
|
· |
The Fund may invest up to 20% of its total assets in non-U.S. dollar-denominated fixed-income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in income securities of issuers located in emerging markets.
|
|
|
·
|
The Fund may invest up to 50% of its total assets in common equity securities consisting of common stock; and |
· | The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly and may invest up to 20% of the Fund’s total assets in investment funds that are registered as investment companies under the Investment Company Act of 1940, as amended (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission. |
Fund Statistics
|
||
Share Price
|
$20.23
|
|
Common Share Net Asset Value
|
$18.49
|
|
Premium/Discount to NAV
|
9.41%
|
|
Net Assets Applicable to Common Shares ($000)
|
$172,988
|
Total Returns
|
||
(Inception 7/27/07)
|
Market
|
NAV
|
Six Month
|
-4.96%
|
-3.46%
|
One Year
|
11.10%
|
6.25%
|
Three Year - average annual
|
41.43%
|
28.99%
|
Since Inception - average annual
|
12.41%
|
10.78%
|
% of Long-Term
|
|
Top Ten Holdings
|
Investments
|
Commercial Mortgage Pass-Through Certificates,
|
|
Series 2006-C7, Class A4
|
6.0%
|
SPDR S&P 500 ETF Trust
|
5.8%
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9
|
3.4%
|
PowerShares QQQ Trust, Series 1
|
2.1%
|
Lancer Finance Co. SPV Ltd. (British Virgin Islands)
|
1.7%
|
AWAS Aviation Capital Ltd. (Ireland)
|
1.5%
|
Eastland CLO Ltd., Series 2007-1A, Class A2B
|
1.5%
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)
|
1.3%
|
Telos CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)
|
1.3%
|
Aviation Capital Group Trust, Series 2003-2A, Class B1
|
1.2%
|
Principal |
Optional Call
|
||||||
Amount |
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Total Long-Term Investments – 141.5%
|
|||||||
Corporate Bonds – 48.1%
|
|||||||
Advertising – 0.3%
|
|||||||
$ 100,000
|
inVentiv Health, Inc.(a)
|
CCC+
|
10.00%
|
08/15/2018
|
08/15/14 @ 105
|
$ 94,750
|
|
400,000
|
MDC Partners, Inc. (Canada)(b)
|
B+
|
11.00%
|
11/01/2016
|
11/01/13 @ 106
|
426,000
|
|
520,750
|
|||||||
Aerospace & Defense – 1.3%
|
|||||||
1,450,000
|
Kratos Defense & Security Solutions, Inc.
|
B+
|
10.00%
|
06/01/2017
|
06/01/14 @ 105
|
1,460,875
|
|
700,000
|
Sequa Corp.(a)
|
CCC
|
11.75%
|
12/01/2015
|
12/01/12 @ 103
|
740,250
|
|
2,201,125
|
|||||||
Airlines – 9.7%
|
|||||||
1,304,548
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class D(a)
|
BB
|
6.46%
|
09/20/2022
|
N/A
|
1,284,979
|
|
2,000,000
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(a)
|
BB
|
7.00%
|
09/20/2022
|
N/A
|
1,730,000
|
|
1,141,036
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(b)
|
BB+
|
7.10%
|
04/02/2021
|
N/A
|
1,085,912
|
|
2,000,000
|
American Airlines Pass-Through Trust, Series 2011-2, Class A(b)
|
BBB-
|
8.63%
|
10/15/2021
|
N/A
|
1,920,000
|
|
1,054,164
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A
|
NR
|
7.38%
|
01/02/2018
|
N/A
|
990,915
|
|
163,175
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-2
|
NR
|
6.88%
|
04/02/2014
|
N/A
|
150,121
|
|
474,737
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A
|
NR
|
8.71%
|
01/02/2019
|
N/A
|
484,826
|
|
3,774,200
|
AWAS Aviation Capital Ltd. (Ireland)(a) (b)
|
BBB-
|
7.00%
|
10/15/2016
|
10/18/13 @ 104
|
3,774,200
|
|
273,520
|
Continental Airlines 2007-1 Pass-Through Trust, Series 071C
|
B
|
7.34%
|
04/19/2014
|
N/A
|
266,682
|
|
1,000,000
|
Delta Air Lines 2011-1 Pass-Through Trust, Class A(b)
|
A-
|
5.30%
|
04/15/2019
|
N/A
|
1,000,000
|
|
1,500,000
|
Delta Air Lines 2011-1 Pass-Through Trust, Class B(a)
|
BB
|
7.13%
|
10/15/2014
|
N/A
|
1,488,030
|
|
830,000
|
Global Aviation Holdings, Inc.(b)
|
B-
|
14.00%
|
08/15/2013
|
08/15/12 @ 111
|
705,500
|
|
1,778,684
|
United Airlines 2009-2A Pass-Through Trust, Series 2009-2(b)
|
BBB+
|
9.75%
|
01/15/2017
|
N/A
|
1,947,659
|
|
16,828,824
|
|||||||
Auto Parts & Equipment – 0.1%
|
|||||||
250,000
|
Exide Technologies
|
B
|
8.63%
|
02/01/2018
|
02/01/15 @ 104
|
200,000
|
|
Banks – 6.3%
|
|||||||
1,000,000
|
Agfirst Farm Credit Bank(a) (b) (c)
|
A
|
7.30%
|
–
|
01/05/12 @ 100
|
1,006,360
|
|
1,000,000
|
Bank of America NA, Series BKNT(b)
|
A-
|
5.30%
|
03/15/2017
|
N/A
|
877,464
|
|
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (c) (d)
|
BBB
|
6.86%
|
–
|
06/15/32 @ 100
|
780,000
|
|
1,200,000
|
BNP Paribas SA (France)(a) (b) (c) (d)
|
BBB+
|
7.20%
|
–
|
06/25/37 @ 100
|
804,000
|
|
350,000
|
Comerica Bank
|
A-
|
7.88%
|
09/15/2026
|
N/A
|
414,430
|
|
1,000,000
|
Fifth Third Bancorp(b)
|
BBB-
|
8.25%
|
03/01/2038
|
N/A
|
1,199,760
|
|
1,000,000
|
KeyCorp Capital III(b)
|
BB
|
7.75%
|
07/15/2029
|
N/A
|
1,002,178
|
|
1,250,000
|
Northgroup Preferred Capital Corp.(a) (b) (c) (d)
|
A
|
6.38%
|
–
|
10/15/17 @ 100
|
1,153,150
|
|
700,000
|
PNC Preferred Funding Trust III(a) (b) (c) (d)
|
BBB
|
8.70%
|
–
|
03/15/13 @ 100
|
712,173
|
|
500,000
|
Rabobank Nederland NV (Netherlands)(a) (b) (c) (d)
|
A
|
11.00%
|
–
|
06/30/19 @ 100
|
578,750
|
|
1,400,000
|
RBS Capital Trust II(c) (d)
|
C
|
6.43%
|
–
|
01/03/34 @ 100
|
728,000
|
|
650,000
|
Susquehanna Capital II(b)
|
BB-
|
11.00%
|
03/23/2040
|
03/23/15 @ 100
|
670,313
|
|
1,250,000
|
US AgBank FCB(a) (b) (c) (d)
|
A
|
6.11%
|
–
|
07/10/12 @ 100
|
879,250
|
|
10,805,828
|
|||||||
Building Materials – 0.7%
|
|||||||
1,750,000
|
Cemex SAB de CV (Mexico)(a)
|
B-
|
9.00%
|
01/11/2018
|
01/11/15 @ 105
|
1,268,750
|
|
Commercial Services – 2.4%
|
|||||||
334,000
|
Bankrate, Inc.(b)
|
BB-
|
11.75%
|
07/15/2015
|
07/15/13 @ 106
|
377,838
|
|
1,800,000
|
DynCorp International, Inc.
|
B-
|
10.38%
|
07/01/2017
|
07/01/14 @ 105
|
1,566,000
|
Principal |
Optional Call
|
||||||
Amount |
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Commercial Services (continued)
|
|||||||
$ 250,000
|
Jaguar Holding Co. II / Jaguar Merger Sub, Inc.(a)
|
B3
|
9.50%
|
12/01/2019
|
12/01/14 @ 107
|
$ 251,250
|
|
2,050,000
|
NCO Group, Inc.
|
CCC-
|
11.88%
|
11/15/2014
|
11/15/12 @ 100
|
2,032,062
|
|
4,227,150
|
|||||||
Computers – 1.2%
|
|||||||
705,000
|
Compucom Systems, Inc.(a)
|
B
|
12.50%
|
10/01/2015
|
10/01/12 @ 103
|
719,100
|
|
950,000
|
iGate Corp.(a)
|
B+
|
9.00%
|
05/01/2016
|
05/01/14 @ 105
|
950,000
|
|
244,000
|
Stratus Technologies, Inc.(b)
|
B-
|
12.00%
|
03/29/2015
|
04/15/13 @ 112
|
218,380
|
|
100,000
|
Stream Global Services, Inc.
|
B+
|
11.25%
|
10/01/2014
|
10/01/12 @ 106
|
102,000
|
|
1,989,480
|
|||||||
Distribution & Wholesale – 0.8%
|
|||||||
370,000
|
Baker & Taylor, Inc.(a)
|
CCC+
|
11.50%
|
07/01/2013
|
07/01/13 @ 100
|
289,063
|
|
1,100,000
|
Intcomex, Inc.(b)
|
B-
|
13.25%
|
12/15/2014
|
12/15/12 @ 107
|
1,053,250
|
|
1,342,313
|
|||||||
Diversified Financial Services – 5.2%
|
|||||||
2,000,000
|
International Lease Finance Corp.(a) (b)
|
BBB-
|
7.13%
|
09/01/2018
|
N/A
|
2,040,000
|
|
4,160,962
|
Lancer Finance Co. SPV Ltd. (British Virgin Islands)(a) (b)
|
Baa3
|
5.85%
|
12/12/2016
|
N/A
|
4,039,834
|
|
1,200,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (d)
|
BBB+
|
7.25%
|
05/24/2041
|
05/24/21 @ 100
|
1,056,185
|
|
2,000,000
|
Svensk Exportkredit AB (Sweden)(a) (b) (c)
|
A+
|
6.38%
|
–
|
03/27/12 @ 100
|
1,797,858
|
|
8,933,877
|
|||||||
Electrical Components & Equipment – 0.7%
|
|||||||
1,275,000
|
Coleman Cable, Inc.
|
B
|
9.00%
|
02/15/2018
|
02/15/14 @ 105
|
1,275,000
|
|
Engineering & Construction – 1.4%
|
|||||||
1,363,503
|
Alion Science and Technology Corp.(e)
|
B-
|
12.00%
|
11/01/2014
|
04/01/13 @ 105
|
1,233,970
|
|
2,000,000
|
Alion Science and Technology Corp.
|
CCC-
|
10.25%
|
02/01/2015
|
02/01/12 @ 103
|
1,190,000
|
|
2,423,970
|
|||||||
Entertainment – 2.5%
|
|||||||
701,000
|
Agua Caliente Band of Cahuilla Indians(a)
|
BB+
|
6.35%
|
10/01/2015
|
N/A
|
654,972
|
|
375,000
|
Diamond Resorts Corp. (a)
|
B-
|
12.00%
|
08/15/2018
|
08/15/14 @ 106
|
355,312
|
|
1,955,000
|
Lions Gate Entertainment, Inc.(a) (b)
|
B-
|
10.25%
|
11/01/2016
|
11/01/13 @ 105
|
1,950,113
|
|
700,000
|
River Rock Entertainment Authority(b) (f)
|
CCC
|
9.75%
|
12/22/2011
|
N/A
|
525,000
|
|
300,000
|
WMG Acquisition Corp.
|
BB-
|
9.50%
|
06/15/2016
|
06/15/13 @ 105
|
315,000
|
|
500,000
|
WMG Acquisition Corp.(a)
|
B-
|
11.50%
|
10/01/2018
|
10/01/14 @ 109
|
492,500
|
|
4,292,897
|
|||||||
Food – 1.8%
|
|||||||
500,000
|
BI-LO, LLC / BI-LO Finance Corp.(a)
|
B
|
9.25%
|
02/15/2019
|
02/15/15 @ 105
|
500,000
|
|
2,575,000
|
Bumble Bee Acquisition Corp.(a) (b)
|
B
|
9.00%
|
12/15/2017
|
12/15/14 @ 105
|
2,549,250
|
|
3,049,250
|
|||||||
Forest Products & Paper – 0.1%
|
|||||||
250,000
|
Verso Paper Holdings, LLC / Verso Paper, Inc.
|
B
|
8.75%
|
02/01/2019
|
02/01/15 @ 104
|
162,500
|
|
Health Care Services – 0.8%
|
|||||||
800,000
|
Apria Healthcare Group, Inc.(b)
|
BB+
|
11.25%
|
11/01/2014
|
11/01/12 @ 103
|
788,000
|
|
275,000
|
OnCure Holdings, Inc.
|
B
|
11.75%
|
05/15/2017
|
05/15/14 @ 106
|
237,875
|
|
312,333
|
Symbion, Inc.(g)
|
CCC+
|
11.00%
|
08/23/2015
|
08/23/12 @ 103
|
313,895
|
|
1,339,770
|
|||||||
Household Products & Housewares – 0.6%
|
|||||||
1,445,000
|
American Achievement Corp.(a)
|
B
|
10.88%
|
04/15/2016
|
10/15/13 @ 105
|
1,105,425
|
Principal |
Optional Call
|
||||||
Amount |
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Housewares – 0.0%
|
|||||||
$ 75,000
|
American Standards Americas(a)
|
B
|
10.75%
|
01/15/2016
|
01/15/13 @ 105
|
$ 49,500
|
|
Insurance – 4.4%
|
|||||||
1,000,000
|
Allstate Corp.(b) (d)
|
BBB
|
6.50%
|
05/15/2057
|
05/15/37 @ 100
|
890,000
|
|
1,000,000
|
American Financial Group, Inc.(b)
|
BBB+
|
9.88%
|
06/15/2019
|
N/A
|
1,152,083
|
|
1,000,000
|
AXA SA (France)(a) (c) (d)
|
BBB
|
6.38%
|
–
|
12/14/36 @ 100
|
660,000
|
|
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB-
|
8.50%
|
05/15/2020
|
N/A
|
861,720
|
|
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.88%
|
12/15/2037
|
12/15/32 @ 100
|
1,020,000
|
|
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.50%
|
09/15/2039
|
N/A
|
891,562
|
|
800,000
|
Penn Mutual Life Insurance Co.(a)
|
A
|
7.63%
|
06/15/2040
|
N/A
|
958,749
|
|
1,250,000
|
Progressive Corp.(b) (d)
|
A-
|
6.70%
|
06/15/2037
|
06/15/17 @ 100
|
1,256,500
|
|
7,690,614
|
|||||||
Internet – 0.8%
|
|||||||
1,510,000
|
GXS Worldwide, Inc.
|
B
|
9.75%
|
06/15/2015
|
06/15/12 @ 105
|
1,392,975
|
|
Investment Companies – 0.5%
|
|||||||
880,000
|
Offshore Group Investment Ltd. (Cayman Islands)
|
B-
|
11.50%
|
08/01/2015
|
02/01/13 @ 109
|
943,800
|
|
Iron & Steel – 0.2%
|
|||||||
240,000
|
Standard Steel, LLC/Standard Steel Finance Corp.(a)
|
B+
|
12.00%
|
05/01/2015
|
05/01/13 @ 106
|
275,400
|
|
Media – 0.2%
|
|||||||
500,000
|
DCP, LLC/DCP Corp.(a)
|
B+
|
10.75%
|
08/15/2015
|
08/15/13 @ 105
|
412,500
|
|
Mining – 0.4%
|
|||||||
1,025,000
|
Midwest Vanadium Pty Ltd. (Australia)(a)
|
B-
|
11.50%
|
02/15/2018
|
02/15/15 @ 106
|
738,000
|
|
Packaging & Containers – 1.0%
|
|||||||
1,575,000
|
Pregis Corp.
|
CCC
|
12.38%
|
10/15/2013
|
N/A
|
1,464,750
|
|
300,000
|
Pretium Packaging LLC / Pretium Finance, Inc.(a) (b)
|
B
|
11.50%
|
04/01/2016
|
04/01/14 @ 106
|
297,000
|
|
1,761,750
|
|||||||
Retail – 1.6%
|
|||||||
1,721,000
|
CKE Restaurants, Inc.(b)
|
B-
|
11.38%
|
07/15/2018
|
07/15/14 @ 106
|
1,832,865
|
|
850,000
|
Liz Claiborne, Inc.(a)
|
B-
|
10.50%
|
04/15/2019
|
04/15/14 @ 105
|
901,000
|
|
100,000
|
Roadhouse Financing, Inc.
|
B-
|
10.75%
|
10/15/2017
|
10/15/13 @ 108
|
99,000
|
|
2,832,865
|
|||||||
Software – 0.3%
|
|||||||
300,000
|
Lawson Software, Inc.(a)
|
B-
|
11.50%
|
07/15/2018
|
07/15/15 @ 106
|
285,750
|
|
400,000
|
Open Solutions, Inc.(a)
|
CCC+
|
9.75%
|
02/01/2015
|
02/01/12 @ 102
|
254,000
|
|
539,750
|
|||||||
Telecommunications – 0.4%
|
|||||||
400,000
|
Avaya, Inc.(a)
|
B
|
7.00%
|
04/01/2019
|
04/01/15 @ 104
|
358,000
|
|
300,000
|
CommScope, Inc.(a)
|
B
|
8.25%
|
01/15/2019
|
01/15/15 @ 104
|
289,500
|
|
647,500
|
|||||||
Textiles – 0.1%
|
|||||||
100,000
|
Empire Today LLC(a)
|
B-
|
11.38%
|
02/01/2017
|
02/01/14 @ 106
|
92,500
|
|
Transportation – 2.3%
|
|||||||
575,000
|
Commercial Barge Line Co.
|
B+
|
12.50%
|
07/15/2017
|
07/15/13 @ 106
|
609,500
|
|
1,050,000
|
Marquette Transportation Company/Marquette Transportion Finance Corp.
|
B-
|
10.88%
|
01/15/2017
|
01/15/13 @ 108
|
1,029,000
|
|
1,850,000
|
Quality Distribution, LLC/QD Capital Corp.
|
B-
|
9.88%
|
11/01/2018
|
11/01/14 @ 105
|
1,854,625
|
|
400,000
|
United Maritime Group, LLC/United Maritime Group Finance Corp.(b)
|
B
|
11.75%
|
06/15/2015
|
12/15/12 @ 106
|
404,000
|
|
3,897,125
|
Principal
|
Optional Call
|
||||||
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Total Corporate Bonds – 48.1%
|
|||||||
(Cost $85,804,130)
|
$ 83,241,188
|
||||||
Asset Backed Securities – 48.0%
|
|||||||
Automobile – 0.0%
|
|||||||
$ 73,581
|
Bush Truck Leasing LLC, Series 2011-AA, Class C(a)
|
NR
|
5.00%
|
09/25/2018
|
N/A
|
73,393
|
|
Collateralized Debt Obligations – 4.6%
|
|||||||
1,057,349
|
Aspen Funding I Ltd., Series 2002-1A, Class A1L (Cayman Islands)(a) (h)
|
BBB-
|
0.99%
|
07/10/2037
|
N/A
|
939,729
|
|
169,959
|
Commodore CDO I Ltd., Series 1A, Class A (Cayman Islands)(a) (h)
|
BB+
|
1.04%
|
02/24/2034
|
N/A
|
155,479
|
|
767,898
|
Coronado CDO Ltd., Series 1A, Class A1 (Cayman Islands)(a) (h)
|
B
|
1.05%
|
09/04/2038
|
N/A
|
553,301
|
|
230,131
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L (Cayman Islands)(h)
|
A
|
0.84%
|
09/15/2035
|
N/A
|
199,664
|
|
955,773
|
Diversified Asset Securitization Holdings III, Series 1A, Class A2 (Cayman Islands)(a)
|
BB+
|
7.42%
|
07/05/2036
|
N/A
|
889,853
|
|
3,906,800
|
Duke Funding Ltd., Series 2003-5A, Class 1W (Cayman Islands)(a) (h)
|
Ca
|
0.99%
|
08/07/2033
|
N/A
|
1,875,264
|
|
569,357
|
Independence I CDO Ltd., Series 1A, Class A (Cayman Islands)(a) (h)
|
BB+
|
0.76%
|
12/30/2030
|
N/A
|
499,480
|
|
351,141
|
MWAM CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (h)
|
AA
|
0.98%
|
01/30/2031
|
N/A
|
327,836
|
|
375,090
|
Putnam Structured Product CDO, Series 2001-1A, Class A1 (Cayman Islands)(a) (h)
|
AA
|
1.01%
|
02/25/2032
|
N/A
|
347,791
|
|
1,135,479
|
Putnam Structured Product CDO, Series 2002-1A, Class A2 (Cayman Islands)(a) (h)
|
BB+
|
0.93%
|
01/10/2038
|
N/A
|
870,583
|
|
965,182
|
Putnam Structured Product CDO, Series 2003-A1LT, Class A1 (Cayman Islands)(a) (h)
|
B
|
0.70%
|
10/15/2038
|
N/A
|
804,885
|
|
262,527
|
Saturn Ventures Ltd., Series 2003-1A, Class A1 (Cayman Islands)(a) (h)
|
AA
|
0.93%
|
11/03/2038
|
N/A
|
241,588
|
|
390,659
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (h)
|
BB
|
0.99%
|
02/25/2031
|
N/A
|
332,083
|
|
8,037,536
|
|||||||
Collateralized Loan Obligations – 22.2%
|
|||||||
500,000
|
Alm Loan Funding, Series 2010-3A, Class C (Cayman Islands)(a) (h)
|
BBB
|
4.48%
|
11/20/2020
|
N/A
|
436,115
|
|
300,000
|
ARCC Commercial Loan Trust, Series 2006-1A, Class C(a) (h)
|
BB+
|
1.05%
|
12/20/2019
|
N/A
|
254,040
|
|
2,000,000
|
Black Diamond CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (b) (h)
|
A+
|
0.82%
|
04/29/2019
|
N/A
|
1,587,280
|
|
2,000,000
|
Black Diamond CLO Ltd., Series 2006-1A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.12%
|
04/29/2019
|
N/A
|
1,431,440
|
|
2,501,724
|
Business Loan Express, Series 2006-AA, Class A(a) (h)
|
CCC+
|
0.49%
|
10/20/2038
|
N/A
|
1,614,605
|
|
766,282
|
Business Loan Express, Series 2007-AA, Class A(a) (h)
|
CCC+
|
0.65%
|
10/20/2040
|
05/20/20 @ 100
|
482,757
|
|
1,901,038
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class C(a) (b) (h)
|
A+
|
0.93%
|
09/20/2022
|
07/20/12 @ 100
|
1,790,494
|
|
750,000
|
CapitalSource Commercial Loan Trust, Series 2006-2A, Class D(a) (h)
|
B+
|
1.77%
|
09/20/2022
|
N/A
|
695,972
|
|
500,000
|
CapitalSource Commerical Loan Trust, Series 2006-2A, Class E(a) (h)
|
CCC-
|
2.75%
|
09/20/2022
|
N/A
|
459,814
|
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A+
|
1.64%
|
07/10/2019
|
N/A
|
757,500
|
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(a) (h)
|
BBB+
|
2.99%
|
07/10/2019
|
N/A
|
681,650
|
|
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(a)
|
BBB+
|
8.37%
|
07/10/2019
|
N/A
|
929,900
|
|
250,000
|
Cratos CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
AA-
|
1.58%
|
05/19/2021
|
N/A
|
185,815
|
|
500,000
|
DFR Middle Market CLO Ltd., Series 2007-1A, Class C(a) (h)
|
A
|
2.71%
|
07/20/2019
|
N/A
|
440,570
|
|
5,050,000
|
Eastland CLO Ltd., Series 2007-1A, Class A2B(a) (b) (h)
|
A+
|
0.76%
|
05/01/2022
|
N/A
|
3,649,332
|
|
500,000
|
Emporia Preferred Funding, Series 2005-1A, Class B1 (Cayman Islands)(a) (h)
|
AA-
|
0.94%
|
10/12/2018
|
N/A
|
406,675
|
|
1,250,000
|
Emporia Preferred Funding, Series 2005-1A, Class C (Cayman Islands)(a) (h)
|
A-
|
1.34%
|
10/12/2018
|
N/A
|
900,487
|
|
250,000
|
Emporia Preferred Funding, Series 2006-2A, Class B (Cayman Islands)(a) (h)
|
A+
|
0.90%
|
10/18/2018
|
N/A
|
192,500
|
|
500,000
|
FM Leveraged Capital Fund, Series 2005-1A, Class B (Cayman Islands)(a) (h)
|
AA
|
0.90%
|
08/01/2017
|
N/A
|
446,615
|
|
250,000
|
FM Leveraged Capital Fund, Series 2005-1A, Class C (Cayman Islands)(a) (h)
|
A
|
1.30%
|
08/01/2017
|
N/A
|
210,280
|
|
1,000,000
|
Friedbergmilstein Private Capital Fund, Series 2004-1A, Class B2 (Cayman Islands)(a) (b)
|
AA+
|
5.41%
|
01/15/2019
|
N/A
|
1,009,560
|
|
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.11%
|
04/19/2021
|
N/A
|
185,846
|
|
500,000
|
Genesis CLO Ltd., Series 2007-2A, Class D (Cayman Islands)(a) (h)
|
BBB
|
4.39%
|
01/10/2016
|
N/A
|
446,100
|
|
1,000,000
|
GSC Partners CDO Fund Ltd., Series 2006-7A, Class C (Cayman Islands)(a) (h)
|
A-
|
1.51%
|
05/25/2020
|
N/A
|
722,790
|
|
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A+
|
1.28%
|
08/07/2021
|
N/A
|
185,068
|
|
250,000
|
Hewett’s Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.23%
|
12/05/2018
|
N/A
|
170,427
|
Principal
|
Optional Call
|
||||||
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Collateralized Loan Obligations (continued)
|
|||||||
$ 800,000
|
Katonah Ltd., Series 2006-9A, Class A3L (Cayman Islands)(a) (h)
|
BBB+
|
1.14%
|
01/25/2019
|
N/A
|
$ 554,768
|
|
500,000
|
Marathon CLO Ltd., Series 2005-2A, Class B (Cayman Islands)(a) (h)
|
BBB+
|
1.15%
|
12/20/2019
|
N/A
|
366,056
|
|
500,000
|
Marlborough Street CLO, Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (h)
|
A
|
1.15%
|
04/18/2019
|
N/A
|
357,890
|
|
1,000,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C (Cayman Islands)(a) (h)
|
BBB+
|
1.30%
|
12/20/2020
|
N/A
|
745,310
|
|
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(a) (h)
|
AA
|
0.74%
|
04/16/2021
|
N/A
|
676,456
|
|
500,000
|
Navigator CDO Ltd., Series 2004-1A, Class B2 (Cayman Islands)(a)
|
A+
|
5.59%
|
01/14/2017
|
N/A
|
466,085
|
|
250,000
|
OFSI Fund Ltd., Series 2006-1X, Class C (Cayman Islands)(h)
|
A
|
1.20%
|
09/20/2019
|
N/A
|
165,313
|
|
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)
|
A-
|
5.81%
|
01/26/2020
|
N/A
|
261,573
|
|
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (b) (h)
|
AA
|
0.83%
|
07/24/2021
|
N/A
|
1,259,595
|
|
514,262
|
Sargas CLO II Ltd., Series 2006-1A, Class E (Cayman Islands)(a) (h)
|
B+
|
4.41%
|
10/20/2018
|
N/A
|
448,590
|
|
1,000,000
|
Standard Chartered PLC (United Kingdom)
|
NR
|
0.29%
|
01/09/2013
|
N/A
|
979,370
|
|
2,000,000
|
Stanfield Modena CLO Ltd., Series 2004-1A, Class C (Cayman Islands)(a) (b) (h)
|
A+
|
1.61%
|
09/22/2016
|
N/A
|
1,743,460
|
|
500,000
|
Start CLO Ltd., Series 2008-5X, Class C (Cayman Islands)(h)
|
NR
|
22.24%
|
01/09/2013
|
N/A
|
500,465
|
|
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class A1 (Cayman Islands)(a) (h)
|
AAA
|
1.30%
|
06/15/2016
|
N/A
|
1,727,500
|
|
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(a) (h)
|
BBB
|
2.35%
|
06/15/2016
|
N/A
|
1,230,980
|
|
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(a)
|
BB+
|
5.79%
|
09/01/2017
|
N/A
|
881,400
|
|
4,000,000
|
Telos CLO Ltd., Series 2006-1A, Class A2 (Cayman Islands)(a) (h)
|
AA+
|
0.79%
|
10/11/2021
|
N/A
|
3,206,600
|
|
2,500,000
|
Telos CLO Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (h)
|
A+
|
0.88%
|
10/11/2021
|
N/A
|
1,942,425
|
|
1,000,000
|
Zohar CDO, Series 2007-3A, Class A2 (Cayman Islands)(a) (h)
|
BB+
|
0.90%
|
04/15/2019
|
N/A
|
573,450
|
|
38,360,918
|
|||||||
Commercial Real Estate – 0.9%
|
|||||||
2,000,000
|
Wrightwood Capital Real Estate CDO Ltd., Series 2005-1A, Class A1 (Cayman Islands)(a) (h)
|
BB
|
0.80%
|
11/21/2040
|
N/A
|
1,540,000
|
|
Commercial Receivables – 0.5%
|
|||||||
500,000
|
FCC Financing Subsidiary, LLC, Series 2010-1A, Class B(a) (h)
|
NR
|
13.00%
|
03/31/2017
|
N/A
|
540,550
|
|
400,000
|
Leaf II Receivables Funding, LLC, Series 2010-4, Class D(a)
|
NR
|
5.00%
|
01/20/2019
|
02/20/13 @ 100
|
362,360
|
|
902,910
|
|||||||
Credit Cards – 2.0%
|
|||||||
1,000,000
|
LCP Rights Trust, Series 2010-1, Class A
|
NR
|
14.55%
|
07/17/2017
|
N/A
|
998,153
|
|
290,323
|
LCP Rights Trust, Series 2010-1, Class C
|
NR
|
19.21%
|
07/17/2017
|
N/A
|
289,785
|
|
357,143
|
LCP Rights Trust, Series 2010-1, Class D
|
NR
|
14.55%
|
01/15/2016
|
N/A
|
356,712
|
|
750,000
|
LCP Rights Trust, Series 2010-1, Class F
|
NR
|
19.21%
|
01/15/2016
|
N/A
|
748,744
|
|
500,000
|
LCP Rights Trust, Series 2010-1, Class G
|
NR
|
11.71%
|
09/18/2018
|
N/A
|
497,312
|
|
200,000
|
LCP Rights Trust, Series 2010-1, Class H
|
NR
|
14.56%
|
09/18/2018
|
N/A
|
198,954
|
|
400,000
|
LCP Rights Trust, Series 2010-1, Class I
|
NR
|
18.29%
|
09/18/2018
|
N/A
|
397,979
|
|
3,487,639
|
|||||||
Financial – 0.0%
|
|||||||
32,577
|
Blue Falcon, Series A-2(a)
|
NR
|
3.24%
|
12/25/2016
|
N/A
|
32,201
|
|
Insurance – 2.4%
|
|||||||
1,547,781
|
321 Henderson Receivables I, LLC, Series 2007-3A, Class A(a) (b)
|
BBB+
|
6.15%
|
10/15/2048
|
08/15/35 @ 100
|
1,611,869
|
|
379,927
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class A(a)
|
AA+
|
6.19%
|
01/15/2044
|
06/15/24 @ 100
|
406,522
|
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(a) (b)
|
AA
|
8.37%
|
01/15/2046
|
02/15/28 @ 100
|
545,742
|
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(a)
|
A
|
9.36%
|
01/15/2048
|
07/15/29 @ 100
|
568,476
|
|
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(a)
|
BBB
|
10.81%
|
01/15/2050
|
05/15/31 @ 100
|
587,012
|
|
400,000
|
Insurance Note Capital Term, Series 1005-1R1A(a) (h)
|
A
|
0.57%
|
06/09/2033
|
N/A
|
341,584
|
|
4,061,205
|
Principal
|
Optional Call
|
||||||
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Other ABS – 0.8%
|
|||||||
$ 1,449,894
|
Glenn Pool Oil & Gas Trust
|
NR
|
6.00%
|
08/02/2021
|
N/A
|
$ 1,430,219
|
|
Student Loans – 0.2%
|
|||||||
202,567
|
MRU Student Loan Trust, Series 2008-1A, Class C(a) (h)
|
B-
|
7.92%
|
01/25/2041
|
N/A
|
29,372
|
|
317,293
|
MRU Student Loan Trust, Series 2008-A, Class A1A(a)
|
BBB
|
7.40%
|
01/25/2041
|
N/A
|
220,090
|
|
202,567
|
MRU Student Loan Trust, Series 2008-A, Class B(a) (h)
|
BB
|
5.92%
|
01/25/2041
|
N/A
|
36,969
|
|
286,431
|
|||||||
Timeshare – 1.4%
|
|||||||
1,534,108
|
Diamond Resorts Owner Trust, Series 2009-1, Class A(a) (b)
|
A
|
9.31%
|
03/20/2026
|
11/20/13 @ 100
|
1,626,041
|
|
358,042
|
Silverleaf Finance, LLC, Series 2010-A, Class B(a)
|
BBB
|
8.00%
|
07/15/2022
|
09/15/15 @ 100
|
347,740
|
|
470,420
|
Silverleaf Finance, LLC, Series 2011-A, Class A(a)
|
NR
|
9.00%
|
06/15/2023
|
N/A
|
443,780
|
|
2,417,561
|
|||||||
Transportation – 7.7%
|
|||||||
13,272,664
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9(b) (h)
|
CCC
|
0.80%
|
03/15/2019
|
N/A
|
8,429,108
|
|
924,210
|
Aviation Capital Group Trust, Series 2000-1A, Class A1(a) (h)
|
B-
|
0.73%
|
11/15/2025
|
N/A
|
510,626
|
|
4,091,000
|
Aviation Capital Group Trust, Series 2003-2A, Class B1(a) (h)
|
BBB
|
3.25%
|
09/20/2033
|
N/A
|
3,037,568
|
|
664,009
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (h)
|
BBB+
|
3.25%
|
09/15/2041
|
N/A
|
552,728
|
|
53,376
|
Helios Finance LP, Series 2007-S1, Class B1 (Cayman Islands)(a) (h)
|
BBB
|
0.95%
|
10/20/2014
|
N/A
|
53,212
|
|
19,408
|
Lease Investment Flight Trust, Series 1, Class A3(h)
|
B+
|
0.68%
|
07/15/2016
|
N/A
|
19,408
|
|
720,881
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.56%
|
02/10/2021
|
N/A
|
677,628
|
|
13,280,278
|
|||||||
Trust Preferred Stocks – 1.9%
|
|||||||
6,000,000
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(a) (h)
|
AA+
|
0.65%
|
10/11/2042
|
N/A
|
3,293,400
|
|
Whole Business – 3.4%
|
|||||||
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.84%
|
12/20/2040
|
N/A
|
521,191
|
|
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.76%
|
12/20/2040
|
N/A
|
1,156,190
|
|
1,464,205
|
Cajun Global LLC, Series 2011-1A, Class A2(a) (b)
|
BBB
|
5.96%
|
02/20/2041
|
N/A
|
1,492,244
|
|
600,000
|
NuCO2 Funding, LLC, Series 2008-1A, Class A1(a)
|
Baa2
|
7.25%
|
06/25/2038
|
N/A
|
616,338
|
|
1,970,000
|
Sonic Capital LLC, Series 2011-1A, Class A2(a) (b)
|
BBB
|
5.44%
|
05/20/2041
|
N/A
|
2,008,809
|
|
5,794,772
|
|||||||
Total Asset Backed Securities – 48.0%
|
|||||||
(Cost $81,438,556)
|
82,998,463
|
||||||
Collateralized Mortgage Obligations – 19.3%
|
|||||||
Commercial Mortgage Backed Securities – Military Housing – 1.0%
|
|||||||
1,000,000
|
Hampton Roads PPV, LLC(a) (b)
|
Ba2
|
6.07%
|
12/15/2041
|
N/A
|
851,270
|
|
1,000,000
|
Hampton Roads PPV, LLC(a) (b)
|
Ba2
|
6.17%
|
06/15/2053
|
N/A
|
840,400
|
|
1,691,670
|
|||||||
Commercial Mortgage Backed Securities – Non-Traditional – 0.4%
|
|||||||
750,000
|
Timberstar Trust, Series 2006-1A, Class C(a) (b)
|
A
|
5.88%
|
10/15/2036
|
N/A
|
761,976
|
|
Commercial Mortgage Backed Securities – Traditional – 14.8%
|
|||||||
500,000
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2003-2, Class G(a) (h)
|
BBB-
|
5.51%
|
03/11/2041
|
N/A
|
436,088
|
|
1,000,000
|
Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2004-5, Class B(b) (h)
|
AA+
|
5.06%
|
11/10/2041
|
N/A
|
1,015,613
|
|
500,000
|
Citigroup Commercial Mortgage Trust, Series 2004-C2, Class E(a) (h)
|
BBB+
|
5.02%
|
10/15/2041
|
N/A
|
404,795
|
|
1,200,000
|
Citigroup Commercial Mortgage Trust, Series 2007-C6, Class AM(b) (h)
|
BBB+
|
5.89%
|
12/10/2049
|
N/A
|
1,139,249
|
|
13,500,000
|
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class A4(h) (i)
|
AAA
|
5.94%
|
06/10/2046
|
N/A
|
14,801,603
|
|
1,000,000
|
Commercial Mortgage Pass-Through Certificates, Series 2006-C7, Class AM(b) (h)
|
BBB+
|
5.97%
|
06/10/2046
|
N/A
|
988,428
|
|
1,000,000
|
Commercial Mortgage Pass-Through Certificates, Series 2006-CN2A, Class F(a) (b) (h)
|
CCC+
|
5.76%
|
02/05/2019
|
N/A
|
943,199
|
Principal
|
Optional Call
|
||||||
Amount
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Provisions**
|
Value
|
|
Commercial Mortgage Backed Securities – Traditional (continued)
|
|||||||
$ 1,500,000
|
Credit Suisse Mortgage Capital Certificates, Series 2006-C3, Class AM(b) (h)
|
BBB-
|
6.01%
|
06/15/2038
|
N/A
|
$ 1,463,163
|
|
2,600,000
|
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class AM(b) (h)
|
BB
|
6.00%
|
06/15/2049
|
N/A
|
2,105,550
|
|
200,000
|
Morgan Stanley Capital I, Series 2005-IQ9, Class C
|
A-
|
4.91%
|
07/15/2056
|
N/A
|
161,028
|
|
1,000,000
|
Morgan Stanley Capital I, Series 2006-HQ10, Class AM(b)
|
Aa2
|
5.36%
|
11/12/2041
|
N/A
|
973,414
|
|
1,250,000
|
Morgan Stanley Capital I, Series 2006-IQ12, Class AM(b)
|
BBB
|
5.37%
|
12/15/2043
|
N/A
|
1,204,905
|
|
25,637,035
|
|||||||
Residential Mortgage Backed Securities – 3.1%
|
|||||||
765,652
|
Asset Backed Funding Certificates, Series 2005-AQ1, Class A6(b) (j)
|
AA-
|
4.78%
|
06/25/2035
|
05/25/21 @ 100
|
733,949
|
|
3,080,917
|
Countrywide Home Equity Loan Trust, Series 2004-S, Class 1A(b) (h)
|
CCC
|
0.49%
|
02/15/2030
|
N/A
|
1,872,556
|
|
93,009
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(h)
|
D
|
6.01%
|
10/25/2036
|
12/25/20 @ 100
|
50,493
|
|
467,456
|
GSAA Trust, Series 2007-5, Class 1F2A(b) (h)
|
CCC
|
5.79%
|
03/25/2047
|
01/25/23 @ 100
|
325,204
|
|
703,275
|
IndyMac Index Mortgage Loan Trust, Series 2006-AR9, Class 3A1(h)
|
CCC
|
5.11%
|
06/25/2036
|
07/25/18 @ 100
|
574,019
|
|
314,558
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(h)
|
B
|
5.17%
|
08/25/2034
|
01/25/23 @ 100
|
296,760
|
|
998,664
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(j)
|
D
|
5.75%
|
01/25/2037
|
04/25/17 @ 100
|
474,498
|
|
2,305,286
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(j)
|
D
|
6.04%
|
01/25/2037
|
04/25/17 @ 100
|
1,024,622
|
|
5,352,101
|
|||||||
Total Collateralized Mortgage Obligations – 19.3%
|
|||||||
(Cost $32,287,300)
|
33,442,782
|
||||||
Term Loans – 4.3%(k)
|
|||||||
Consumer Products – 0.1%
|
|||||||
149,625
|
Targus Group International, Inc.(h)
|
B
|
11.00%
|
05/25/2016
|
N/A
|
141,770
|
|
Gaming – 1.1%
|
|||||||
1,800,000
|
MGM Mirage, Inc.(h)
|
Ba3
|
7.00%
|
02/21/2014
|
N/A
|
1,753,398
|
|
100,000
|
Rock Ohio Caesars LLC(h)
|
BB-
|
8.50%
|
08/11/2017
|
N/A
|
100,250
|
|
1,853,648
|
|||||||
Other – 1.6%
|
|||||||
1,379,436
|
Bushnell Performance Optics(h)
|
BB-
|
4.62%
|
08/24/2013
|
N/A
|
1,300,408
|
|
283,064
|
Clientlogic Corp.(h)
|
B+
|
5.89%
|
01/30/2014
|
N/A
|
268,911
|
|
957,517
|
Mattress Holding Corp.(h)
|
B
|
2.62%
|
10/23/2014
|
N/A
|
918,019
|
|
300,000
|
Sirva Worldwide, Inc.(h)
|
B
|
10.75%
|
03/17/2017
|
N/A
|
303,000
|
|
2,790,338
|
|||||||
Retail – 0.3%
|
|||||||
515,750
|
Deb Store Holdings(h) (n)
|
B-
|
12.50%
|
10/11/2016
|
N/A
|
515,750
|
|
Technology – 1.2%
|
|||||||
99,456
|
API Technologies Corp.(h)
|
BB-
|
7.75%
|
06/27/2016
|
N/A
|
95,975
|
|
1,000,000
|
Infor Global Solutions(h)
|
Caa2
|
6.51%
|
03/02/2014
|
N/A
|
821,500
|
|
1,247,250
|
Lawson Software(h)
|
B+
|
6.75%
|
07/05/2017
|
N/A
|
1,220,746
|
|
2,138,221
|
|||||||
Transportation – 0.0%
|
|||||||
35,249
|
Carey International, Inc.(h)
|
Caa3
|
9.00%
|
01/25/2014
|
N/A
|
14,100
|
|
Total Term Loans – 4.3%
|
|||||||
(Cost $7,603,393)
|
7,453,827
|
Number
|
|||||||
of Shares
|
Description
|
Rating*
|
Coupon
|
Maturity
|
Value
|
||
Common Stock – 0.1%
|
|||||||
9,389
|
Deb Store Holdings LLC(l) (n)
|
$ 125,069
|
|||||
(Cost $125,069)
|
|||||||
Preferred Stocks – 3.0%
|
|||||||
Banks – 1.2%
|
|||||||
40,000
|
BB&T Capital Trust VI(b)
|
BBB
|
9.60%
|
1,046,800
|
|||
50,000
|
Deutsche Bank Capital Funding Trust VIII
|
BBB+
|
6.38%
|
966,500
|
|||
2,013,300
|
|||||||
Diversified Financial Services – 0.3%
|
|||||||
500
|
Falcons Funding Trust I(a) (h)
|
NR
|
8.88%
|
522,063
|
|||
Insurance – 0.3%
|
|||||||
20,000
|
Aegon NV (Netherlands)(b)
|
BBB
|
6.38%
|
396,000
|
|||
3,800
|
ING Groep NV (Netherlands)(b)
|
B
|
7.05%
|
67,906
|
|||
463,906
|
|||||||
Telecommunications – 0.6%
|
|||||||
1,000
|
Centaur Funding Corp. (Cayman Islands)(a) (b)
|
Baa2
|
9.08%
|
1,113,750
|
|||
Transportation – 0.6%
|
|||||||
40,000
|
Seaspan Corp., Series C (Marshall Islands)
|
NR
|
9.50%
|
1,058,000
|
|||
Total Preferred Stocks – 3.0%
|
|||||||
(Cost $5,149,813)
|
5,171,019
|
||||||
Exchange Traded Funds – 18.6%
|
|||||||
44,900
|
Consumer Discretionary Select Sector SPDR Fund(b) (m)
|
1,739,426
|
|||||
136,500
|
Financial Select Sector SPDR Fund(b) (m)
|
1,748,565
|
|||||
43,200
|
Industrial Select Sector SPDR Fund(b) (m)
|
1,464,048
|
|||||
91,700
|
PowerShares QQQ Trust, Series 1(b) (m)
|
5,173,714
|
|||||
21,000
|
ProShares Ultra QQQ(b) (m)
|
1,739,010
|
|||||
19,500
|
ProShares Ultra S&P500(b) (m)
|
893,295
|
|||||
113,600
|
SPDR S&P 500 ETF Trust(b) (m)
|
14,212,496
|
|||||
10,900
|
SPDR S&P MidCap 400 ETF Trust(b) (m)
|
1,755,009
|
|||||
33,200
|
SPDR S&P Retail ETF(b) (m)
|
1,722,416
|
|||||
49,100
|
Utilities Select Sector SPDR Fund(b) (m)
|
1,728,811
|
|||||
(Cost $31,239,795)
|
32,176,790
|
||||||
Exchange Traded Notes – 0.1%
|
|||||||
Equity Fund – 0.1%
|
|||||||
2,200
|
iPATH S&P 500 VIX MID-Term Futures ETN(b) (m)
|
||||||
(Cost $137,102)
|
144,276
|
||||||
Warrants – 0.0%
|
|||||||
1,050
|
Alion Science and Technology Corp.(l)
|
03/15/2017
|
–
|
||||
(Cost $11)
|
|||||||
Total Long-Term Investments – 141.5%
|
|||||||
(Cost $243,785,169)
|
244,753,414
|
Number
|
|||
of Shares
|
Description
|
Value
|
|
Total Short-Term Investments – 1.5%
|
|||
Money Market – 1.5%
|
|||
2,565,655
|
Dreyfus Treasury Prime Cash Management Institutional Shares
|
$ 2,565,655
|
|
(Cost $2,565,655)
|
|||
Total Investments – 143.0%
|
|||
(Cost $246,350,824)
|
247,319,069
|
||
Other Assets in Excess of Liabilities – 1.9%
|
3,371,072
|
||
Total Value of Options Written – (0.5%) (Premiums received – $837,327)
|
(811,527)
|
||
Borrowings – (17.3%)
|
(29,898,955)
|
||
Reverse Repurchase Agreements – (21.0%)
|
(36,372,332)
|
||
TALF Loan – (6.1%)
|
(10,618,934)
|
||
Net Assets – 100.0%
|
$ 172,988,393
|
*
|
Ratings shown are per Standard & Poor’s, Moody’s or Fitch. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At November 30, 2011, these securities amounted to $116,789,930, which represents 67.5% of net assets.
|
(b)
|
All or a portion of these securities have been physically segregated in connection with borrowings, reverse repurchase agreements, and unfunded commitments. As of November 30, 2011, the total amount segregated was $121,536,893.
|
(c)
|
Perpetual maturity.
|
(d)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
(e)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% payment-in-kind shares of the secured note.
|
(f)
|
Non-income producing as security is in default.
|
(g)
|
The issuer of this security may elect to pay interest entirely in cash, entirely payment-in-kind by increasing the principal amount or issuing new notes equal to such payment in kind interest, or pay 50% of the interest in cash and 50% payment-in-kind.
|
(h)
|
Floating or variable rate coupon. The rate shown is as of November 30, 2011.
|
(i)
|
All or a portion of this security was acquired, and has been physically segregated in connection with the Fund’s participation in the Term Asset-Backed Securities Loan Facility program (the “TALF program”) operated by the Federal Reserve Bank of New York. As of November 30, 2011, the total amount physically segregated was $14,801,603. See notes to financial statements.
|
(j)
|
Security is a “Step-up” bond where the coupon increases or steps up at a predetermined date. The rate shown reflects the rate in effect at he end of the reporting period.
|
(k)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolio of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of the loan.
|
(l)
|
Non-income producing security.
|
(m)
|
All or a portion of this security position is segregated as collateral for written options.
|
(n)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by the Board of Trustees and is based, in part on significant unobservable inputs. The total market value of such securities is $640,819 which represents 0.4% of net assets.
|
Contracts
|
|||||
(100 shares
|
Expiration
|
Exercise
|
|||
per contract)
|
Options Written (l)
|
Month
|
Price
|
Value
|
|
Call Options Written - (0.5%)
|
|||||
449
|
Consumer Discretionary Select Sector SPDR Fund
|
December 2011
|
$ 38.00
|
$ (56,799)
|
|
1,365
|
Financial Select Sector SPDR Fund
|
December 2011
|
13.00
|
(38,902)
|
|
432
|
Industrial Select Sector SPDR Fund
|
December 2011
|
34.00
|
(27,864)
|
|
22
|
iPATH S&P 500 VIX Mid-Term Futures ETN
|
December 2011
|
66.00
|
(6,270)
|
|
917
|
Powershares QQQ Trust, Series 1
|
December 2011
|
56.00
|
(128,380)
|
|
210
|
ProShares Ultra QQQ
|
December 2011
|
81.00
|
(92,925)
|
|
195
|
ProShares Ultra S&P500
|
December 2011
|
45.00
|
(42,315)
|
|
1,136
|
SPDR S&P 500 ETF Trust
|
December 2011
|
125.00
|
(281,728)
|
|
109
|
SPDR S&P MidCap 400 ETF Trust
|
December 2011
|
157.00
|
(66,490)
|
|
332
|
SPDR S&P Retail ETF
|
December 2011
|
52.00
|
(44,322)
|
|
491
|
Utilities Select Sector SPDR Fund
|
December 2011
|
35.00
|
(25,532)
|
|
Total Value of Options Written
|
$ (811,527)
|
||||
(Premiums received $837,327)
|
Assets
|
|||
Investments in securities, at value (cost $246,350,824)
|
$ | 247,319,069 | |
Interest receivable
|
2,443,678 | ||
Securities sold receivable
|
1,314,789 | ||
Cash
|
1,413,670 | ||
Restricted cash
|
280,000 | ||
Unrealized appreciation on swaps
|
102,101 | ||
Dividends receivable
|
9,392 | ||
Other assets
|
92,317 | ||
Total assets
|
252,975,016 | ||
Liabilities
|
|||
Reverse repurchase agreements
|
36,372,332 | ||
Borrowings
|
29,898,955 | ||
Payable on TALF Loan
|
10,618,934 | ||
Payable for securities purchased
|
1,706,549 | ||
Options written, at value (premiums received of $837,327)
|
811,527 | ||
Advisory fee payable
|
204,722 | ||
Unrealized depreciation on unfunded commitments
|
112,224 | ||
Interest due on borrowings
|
85,205 | ||
Administration fee payable
|
5,309 | ||
Accrued expenses and other liabilities
|
170,866 | ||
Total liabilities
|
79,986,623 | ||
Net Assets
|
$ | 172,988,393 | |
Composition of Net Assets
|
|||
Common stock, $.01 par value per share; unlimited number of shares authorized, 9,354,186 shares issued and outstanding
|
$ | 93,542 | |
Additional paid-in capital
|
170,067,796 | ||
Accumulated net realized gain on investments, options, futures and swaps
|
720,144 | ||
Accumulated net unrealized appreciation on investments, options, swaps and unfunded commitments
|
983,923 | ||
Accumulated undistributed net investment income
|
1,122,988 | ||
Net Assets
|
$ | 172,988,393 | |
Net Asset Value (based on 9,354,186 common shares outstanding)
|
$ | 18.49 |
Investment Income
|
|||||||
Interest
|
$ | 10,819,071 | |||||
Dividends
|
345,991 | ||||||
Total income
|
$ | 11,165,062 | |||||
Expenses
|
|||||||
Investment advisory fee
|
1,266,226 | ||||||
Interest expense
|
734,187 | ||||||
Professional fees
|
77,533 | ||||||
Fund accounting fee
|
62,670 | ||||||
Printing expense
|
41,013 | ||||||
Trustees’ fees and expenses
|
33,430 | ||||||
Administration fee
|
32,825 | ||||||
Custodian fee
|
31,586 | ||||||
Line of credit fee
|
15,829 | ||||||
NYSE listing fee
|
10,917 | ||||||
Transfer agent fee
|
10,203 | ||||||
Insurance
|
8,941 | ||||||
Miscellaneous
|
8,996 | ||||||
Total expenses
|
2,334,356 | ||||||
Net investment income
|
8,830,706 | ||||||
Realized and Unrealized Gain (Loss) on Investments, Options, Swaps and Unfunded Commitments
|
|||||||
Net realized gain (loss) on:
|
|||||||
Investments
|
(2,790,417 | ) | |||||
Options
|
2,085,067 | ||||||
Swaps
|
716,452 | ||||||
Net change in unrealized appreciation (depreciation) on:
|
|||||||
Investments
|
(14,452,850 | ) | |||||
Options
|
50,571 | ||||||
Swaps
|
(831,134 | ) | |||||
Unfunded commitments
|
(35,411 | ) | |||||
Net Realized and Unrealized Loss on Investments, Options, Swaps and Unfunded Commitments
|
(15,257,722 | ) | |||||
Net Decrease in Net Assets Resulting from Operations
|
$ | (6,427,016 | ) |
For the
|
|||||||
Six Months Ended
|
For the
|
||||||
November 30, 2011
|
Year Ended
|
||||||
(unaudited)
|
May 31, 2011
|
||||||
Increase (Decrease) in Net Assets from Operations
|
|||||||
Net investment income
|
$ | 8,830,706 | $ | 17,957,705 | |||
Net realized gain on investments, options and swaps
|
11,102 | 9,225,948 | |||||
Net change in unrealized appreciation (depreciation) on investments, options, swaps and
|
|||||||
unfunded commitments
|
(15,268,824 | ) | 13,766,704 | ||||
Net increase (decrease) in net assets resulting from operations
|
(6,427,016 | ) | 40,950,357 | ||||
Distributions to Common Shareholders
|
|||||||
From net investment income
|
(8,625,458 | ) | (17,370,509 | ) | |||
Capital Share Transactions
|
|||||||
Reinvestment of dividends
|
708,064 | 1,969,567 | |||||
Net increase from capital share transactions
|
708,064 | 1,969,567 | |||||
Total increase (decrease) in net assets
|
(14,344,410 | ) | 25,549,415 | ||||
Net Assets
|
|||||||
Beginning of period
|
187,332,803 | 161,783,388 | |||||
End of period (including accumulated undistributed net investment income of $1,122,988
|
|||||||
and $917,740, respectively)
|
$ | 172,988,393 | $ | 187,332,803 |
Cash Flows from Operating Activities:
|
|||
Net decrease in net assets resulting from operations
|
$ | (6,427,016 | ) |
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
|||
Net Cash Provided by Operating and Investing Activities:
|
|||
Net unrealized depreciation on investments
|
14,452,850 | ||
Net unrealized appreciation on options
|
(50,571 | ) | |
Net unrealized depreciation on swaps
|
831,134 | ||
Net unrealized depreciation on unfunded commitments
|
35,411 | ||
Net realized loss on investments
|
2,790,417 | ||
Net realized gain on options
|
(2,085,067 | ) | |
Net accretion of bond discount and amortization of bond premium
|
(2,597,306 | ) | |
Paydowns received
|
(1,817,193 | ) | |
Purchase of long-term investments
|
(105,828,756 | ) | |
Cost of written options closed
|
(1,954,616 | ) | |
Premiums received on call options written
|
4,519,673 | ||
Proceeds from sale of long-term investments
|
107,636,362 | ||
Net sales of short-term investments
|
2,347,598 | ||
Increase in dividends receivable
|
(1,195 | ) | |
Increase in interest receivable
|
(254,487 | ) | |
Decrease in securities sold receivable
|
1,436,430 | ||
Decrease in other assets
|
93,384 | ||
Decrease in payable for securities purchased
|
(1,664,469 | ) | |
Decrease in interest due on borrowings
|
(13,435 | ) | |
Decrease in advisory fee payable
|
(21,454 | ) | |
Decrease in administration fee payable
|
(488 | ) | |
Decrease in accrued expenses and other liabilities
|
(88,103 | ) | |
Net Cash Provided in Operating and Investing Activities
|
11,339,103 | ||
Cash Flows From Financing Activities:
|
|||
Distributions to common shareholders
|
(7,917,394 | ) | |
Net decrease in reverse repurchase agreements
|
(11,246,181 | ) | |
Proceeds from borrowings
|
7,867,873 | ||
Payments made on borrowings
|
(401,832 | ) | |
Net Cash Used by Financing Activities
|
(11,697,534 | ) | |
Net decrease in cash
|
(358,431 | ) | |
Cash at Beginning of Period
|
2,052,101 | ||
Cash at End of Period (including restricted cash)
|
$ | 1,693,670 | |
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$ | 645,242 | |
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$ | 708,064 | |
Supplemental Disclosure of Non Cash Operating Activity: Options assigned during the period
|
$ | 456,282 | |
Supplemental Disclosure of Non Cash Operating Activity: Additional principal received on payment-in-kind bonds
|
$ | 30,836 |
For the
|
For the Period
|
||||||||||||||||||
Six Months Ended
|
For the
|
For the
|
For the
|
July 27, 2007*
|
|||||||||||||||
Per share operating performance
|
November 30, 2011
|
Year Ended
|
Year Ended
|
Year Ended
|
through
|
||||||||||||||
for a common share outstanding throughout the period
|
(unaudited)
|
May 31, 2011
|
May 31, 2010
|
May 31, 2009
|
May 31, 2008
|
||||||||||||||
Net asset value, beginning of period
|
$ | 20.11 | $ | 17.56 | $ | 12.42 | $ | 17.52 | $ | 19.10 | (b) | ||||||||
Income from investment operations
|
|||||||||||||||||||
Net investment income(a)
|
0.95 | 1.94 | 1.76 | 1.06 | 0.79 | ||||||||||||||
Net realized and unrealized gain (loss) on investments, options, futures, swaps
|
|||||||||||||||||||
and unfunded commitments
|
(1.65 | ) | 2.49 | 5.23 | (4.31 | ) | (0.99 | ) | |||||||||||
Total from investment operations
|
(0.70 | ) | 4.43 | 6.99 | (3.25 | ) | (0.20 | ) | |||||||||||
Common share offering expenses charged to paid-in-capital
|
– | – | – | – | (0.04 | ) | |||||||||||||
Distributions to Common Shareholders
|
|||||||||||||||||||
From and in excess of net investment income
|
(0.92 | ) | (1.88 | ) | (1.85 | ) | (1.36 | ) | (0.98 | ) | |||||||||
Return of capital
|
– | – | – | (0.49 | ) | (0.36 | ) | ||||||||||||
Total distributions
|
(0.92 | ) | (1.88 | ) | (1.85 | ) | (1.85 | ) | (1.34 | ) | |||||||||
Net asset value, end of period
|
$ | 18.49 | $ | 20.11 | $ | 17.56 | $ | 12.42 | $ | 17.52 | |||||||||
Market value, end of period
|
$ | 20.23 | $ | 22.32 | $ | 17.46 | $ | 11.53 | $ | 16.78 | |||||||||
Total investment return (c)
|
|||||||||||||||||||
Net asset value
|
-3.46 | % | 26.14 | % | 59.06 | % | -18.37 | % | -1.40 | % | |||||||||
Market value
|
-4.96 | % | 40.85 | % | 70.37 | % | -19.51 | % | -9.41 | % | |||||||||
Ratios and supplemental data
|
|||||||||||||||||||
Net assets, applicable to common shareholders, end of period (thousands)
|
$ | 172,988 | $ | 187,333 | $ | 161,783 | $ | 113,076 | $ | 159,509 | |||||||||
Ratios to Average Net Assets applicable to Common Shares:
|
|||||||||||||||||||
Total expenses, excluding interest expense (d)
|
1.82 | %(e) | 1.85 | % | 1.98 | % | 2.06 | % | 1.72 | %(e) | |||||||||
Total expenses, including interest expense (d)
|
2.64 | %(e) | 2.69 | % | 2.97 | % | 3.25 | % | 3.36 | %(e) | |||||||||
Net investment income, including interest expense
|
9.99 | %(e) | 10.20 | % | 11.30 | % | 7.84 | % | 5.08 | %(e) | |||||||||
Portfolio turnover (f)
|
40 | % | 64 | % | 67 | % | 58 | % | 210 | % | |||||||||
Senior Indebtedness
|
|||||||||||||||||||
Total Borrowings outstanding (in thousands)
|
$ | 76,890 | $ | 80,670 | $ | 69,117 | $ | 31,085 | $ | 76,016 | |||||||||
Asset coverage per $1,000 of indebtedness (g)
|
$ | 3,250 | $ | 3,322 | $ | 3,341 | $ | 4,638 | $ | 3,098 |
* |
Commencement of operations.
|
|
(a)
|
Based on average shares outstanding during the period.
|
|
(b)
|
Before deduction of offering expenses charged to capital.
|
|
(c)
|
Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund's Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
|
(d)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.02% for the six months ended November 30, 2011, 0.03% for the year ended May 31, 2011, 0.05% for the year ended May 31, 2010, 0.08% for the year ended May 31, 2009, and 0.04% for the period ended May 31, 2008.
|
|
(e)
|
Annualized.
|
|
(f)
|
Portfolio turnover is not annualized for periods of less than one year.
|
|
(g)
|
Calculated by subtracting the Fund's total liabilities (not including the borrowings) from the Fund's total assets and dividing by the total borrowings.
|
Description
|
||||||||||||||||
(value in $000s)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets:
|
||||||||||||||||
Corporate Bonds
|
$ | – | $ | 83,241 | $ | – | $ | 83,241 | ||||||||
Asset Backed Securities
|
– | 82,998 | – | 82,998 | ||||||||||||
Collateralized Mortgage Obligations
|
– | 33,443 | – | 33,443 | ||||||||||||
Term Loans
|
– | 6,938 | 516 | 7,454 | ||||||||||||
Common Stocks
|
– | – | 125 | 125 | ||||||||||||
Preferred Stocks
|
||||||||||||||||
Banks
|
2,013 | – | – | 2,013 | ||||||||||||
Diversified Financial Services
|
– | 522 | – | 522 | ||||||||||||
Insurance
|
464 | – | – | 464 | ||||||||||||
Telecommunications
|
– | 1,114 | – | 1,114 | ||||||||||||
Transportation
|
1,058 | – | – | 1,058 | ||||||||||||
Exchange-Traded Funds
|
32,177 | – | – | 32,177 | ||||||||||||
Exchange-Traded Notes
|
144 | – | – | 144 | ||||||||||||
Warrants
|
– | – | * | – | – | * | ||||||||||
Money Market Fund
|
2,566 | – | – | 2,566 | ||||||||||||
Interest Rate Swaps
|
– | 1,206 | – | 1,206 | ||||||||||||
Total
|
$ | 38,422 | $ | 209,462 | $ | 641 | $ | 248,525 | ||||||||
Liabilities:
|
||||||||||||||||
Credit Default Swaps
|
$ | – | $ | 1,104 | $ | – | $ | 1,104 | ||||||||
TALF Loan
|
– | 10,619 | – | 10,619 | ||||||||||||
Options Written
|
812 | – | – | 812 | ||||||||||||
Unfunded Commitments
|
– | 112 | – | 112 | ||||||||||||
Total
|
$ | 812 | $ | 11,835 | $ | – | $ | 12,647 | ||||||||
* Market value is less than minimum amount disclosed.
|
Beginning Balance at 5/31/11
|
|
Common Stock
|
$ –
|
Term Loans
|
–
|
Total Realized Gain/Loss
|
–
|
Change in Unrealized Gain/Loss
|
–
|
Net Purchases
|
|
Common Stock
|
125
|
Term Loans
|
–
|
Sales
|
–
|
Transfers In
|
|
Common Stock
|
–
|
Term Loans
|
516
|
Transfers Out
|
–
|
Ending Balance at 11/30/11
|
|
Common Stock
|
125
|
Term Loans
|
516
|
Total Level 3 holdings
|
$641
|
Managed Assets
|
Rate
|
First $200,000,000
|
0.0275%
|
Next $300,000,000
|
0.0200%
|
Next $500,000,000
|
0.0150%
|
Over $1,000,000,000
|
0.0100%
|
Net Tax
|
Net Tax
|
|||
Cost of
|
Gross Tax
|
Gross Tax
|
Unrealized
|
Unrealized
|
Investments for
|
Unrealized
|
Unrealized
|
Appreciation
|
Appreciation
|
Tax Purposes
|
Appreciation
|
Depreciation
|
on Investments
|
on Derivatives
|
$246,906,731
|
$12,502,442
|
$(12,090,104)
|
$412,338
|
$127,901
|
Undistributed
|
||
Ordinary
|
Undistributed
|
|
Income/
|
Long-Term Gains/
|
|
(Accumulated
|
(Accumulated
|
|
Ordinary Loss)
|
Capital Loss)
|
|
$1,633,361
|
$ –
|
Distributions paid from
|
2011
|
Ordinary Income
|
$17,370,509
|
Details of the transactions were as follows:
|
||
Number of Contracts
|
Premiums Received
|
|
Options outstanding, beginning of the period
|
3,909
|
$ 383,942
|
Options written during the period
|
26,907
|
4,519,673
|
Options expired during the period
|
(11,349)
|
(1,411,150)
|
Options closed during the period
|
(10,737)
|
(2,198,856)
|
Options assigned during the period
|
(3,072)
|
(456,282)
|
Options outstanding, end of period
|
5,658
|
$ 837,327
|
Credit Default Swap Agreements
|
||||||||
Implied Credit
|
Upfront
|
|||||||
Spread at
|
Receiving
|
Premium
|
Unrealized
|
|||||
Buy/Sell
|
Termination
|
November 30,
|
Notional
|
Fixed
|
Received
|
Appreciation/
|
||
Counterparty
|
Reference Entity
|
Protection
|
Date
|
2011 (2)
|
Amount (000s)
|
Rate
|
(Paid)
|
(Depreciation)
|
Basket of distinct
|
||||||||
Goldman Sachs(1)
|
corporate entities
|
Sell
|
09/20/14
|
16.09%
|
$3,000
|
1.180%
|
$ –
|
$ (1,104,416)
|
Interest Rate Swap Agreements
|
||||||||||||||
Unrealized Appreciation/
|
||||||||||||||
Counterparty
|
Floating Rate
|
Termination Date
|
Notional Amount (000s)
|
Receive Fixed Rate
|
(Depreciation)
|
|||||||||
Goldman Sachs (3)
|
3 Month LIBOR
|
01/04/38
|
$ | 10,000 | 5.675 | % | $ | 726,190 | ||||||
Goldman Sachs (3)
|
3 Month LIBOR
|
07/07/38
|
5,000 | 5.753 | 407,736 | |||||||||
Goldman Sachs (3)
|
3 Month LIBOR
|
01/12/15
|
5,000 | 3.095 | 72,591 | |||||||||
$ | 1,206,517 | |||||||||||||
Total Unrealized Appreciation for Swap Agreements
|
$ | 102,101 |
(1)
|
The Fund receives a fixed rate based upon the notional amount of $3 million and if a defined credit event occurs, pays cumulative losses in excess of a stated percentage on an underlying basket of distinct corporate entities with an aggregate notional value of $3 billion. The maximum loss exposure is $3 million.
|
(2)
|
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues or sovereign issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundless and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. A credit spread identified as “Defaulted” indicates a credit event has occurred for the referenced entity or obligation.
|
(3)
|
The Fund pays the floating rate and receives the fixed rate.
|
Statement of Asset and Liability Presentation of Fair Values of Derivative Instruments:
|
|||||
(value in $000s)
|
|||||
Asset Derivatives
|
Liability Derivatives
|
||||
Derivatives not accounted for as hedging instruments
|
Statement of Assets and Liabilities Location
|
Fair Value
|
Statement of Assets and Liabilities Location
|
Fair Value
|
|
Equity risk
|
Unrealized appreciation on swaps
|
$ –
|
Options Written
|
$ 812
|
|
Interest rate risk
|
Unrealized appreciation on swaps
|
1,206
|
Unrealized depreciation on swaps
|
–
|
|
Credit risk
|
Unrealized appreciation on swaps
|
–
|
Unrealized depreciation on swaps
|
1,104
|
|
Total
|
$1,206
|
$1,916
|
Effect of Derivative Instruments on the Statement of Operations: | |||
(value in $000s)
|
|||
Amount of Realized Gain (Loss) on Derivatives | |||
Derivatives not accounted for as hedging instruments
|
Options
|
Swaps
|
Total
|
Equity risk
|
$2,085
|
$ –
|
$2,085
|
Interest rate risk
|
–
|
698
|
698
|
Credit risk
|
–
|
18
|
18
|
Total
|
$2,085
|
$716
|
$2,801
|
Unrealized Appreciation (Depreciation) on Derivatives | |||
Derivatives not accounted for as hedging instruments
|
Options
|
Swaps
|
Total
|
Equity risk
|
$51
|
$ –
|
$ 51
|
Interest rate risk
|
–
|
(279)
|
(279)
|
Credit risk
|
–
|
(552)
|
(552)
|
Total
|
$51
|
$(831)
|
$(780)
|
Range of
|
Range of
|
||||||||
Counterparty
|
Interest Rates
|
Maturity Dates
|
Face Value
|
||||||
Banc of America Securities LLC
|
1.96% - 2.25 | % |
12/07/11 - 02/16/12
|
$ | 3,377,250 | ||||
Barclays Capital, Inc.
|
1.05% - 2.25 | % |
12/08/11 - 04/04/12
|
13,573,077 | |||||
Citigroup, Inc.
|
1.81% - 2.15 | % |
12/02/11 - 12/08/11
|
2,473,799 | |||||
Credit Suisse Securities LLC
|
1.50% - 1.65 | % |
01/05/12 - 02/07/12
|
2,825,821 | |||||
Deutsche Bank Securities, Inc.
|
2.95 | % |
02/10/12
|
1,056,000 | |||||
Goldman Sachs & Co.
|
2.25 | % |
02/14/12
|
223,004 | |||||
Greenwich Capital Markets, Inc.
|
1.75% - 2.00 | % |
12/13/11 - 2/27/12
|
9,433,081 | |||||
Morgan Stanley & Co., Inc.
|
1.20% - 1.55 | % |
12/14/11 - 02/06/12
|
3,410,300 | |||||
$ | 36,372,332 |
Loan
|
||
Principal
|
Loan
|
Collateral
|
Amount
|
Type
|
Description
|
$10,618,934
|
Commercial Mortgage Obligation
|
Commercial Mortgage Pass Through Certificates
|
Loan
|
Loan
|
||
Interest
|
Maturity
|
Loan
|
Collateral
|
Rate
|
Date
|
Value
|
Value
|
3.796%
|
9/25/14
|
$10,618,934
|
$14,801,603
|
Unrealized
|
||||||||
Principal
|
Appreciation/
|
|||||||
Borrower
|
Amount
|
(Depreciation)
|
||||||
99 Cents Only Stores
|
$ | 1,000,000 | $ | – | ||||
PPDI
|
750,000 | – | ||||||
PTS Catalent
|
650,000 | (48,224 | ) | |||||
ServiceMaster Revolver
|
800,000 | (64,000 | ) | |||||
Superior Energy
|
500,000 | – | ||||||
$ | 3,700,000 | $ | (112,224 | ) |
Transactions in common shares were as follows:
|
||
Six Months Ended
|
Year Ended
|
|
November 30, 2011
|
May 31, 2011
|
|
Beginning Shares
|
9,317,708
|
9,215,636
|
Shares issued through dividend reinvestment
|
36,478
|
102,072
|
Ending Shares
|
9,354,186
|
9,317,708
|
Number of
|
||||
Portfolios
|
||||
in the
|
||||
Name, Address*, Year
|
Term of Office** |
Principal Occupations during
|
Fund Complex***
|
|
of Birth and Position(s)
|
and Length of
|
the Past Five Years and
|
Overseen
|
Other Directorships
|
Held with Registrant
|
Time Served
|
Other Affiliations
|
by Trustee
|
Held by Trustee
|
Independent Trustees:
|
||||
Randall C. Barnes
|
Since 2007
|
Private Investor (2001-present). Formerly, Senior Vice President &
|
56
|
None.
|
Year of Birth: 1951
|
Treasurer, PepsiCo., Inc. (1993-1997), President, Pizza Hut
|
|||
Trustee
|
International (1991-1993) and Senior Vice President, Strategic Planning
|
|||
and New Business Development of PepsiCo, Inc. (1987-1990). | ||||
Roman Friedrich III
|
Since 2010
|
Founder and President of Roman Friedrich & Company, Ltd. a mining
|
50
|
Director, Axion Gold and Silver Corp.
|
Year of birth: 1946
|
and metals investment bank (1998-present). Advisory Board Member
|
(2011-present), Windstorm Resources, Inc.
|
||
Trustee
|
of McNicoll, Lewis & Vlak, an investment bank and institutional
|
(2011-present), Zincore Metals, Inc.
|
||
broker-dealer specializing in capital intensive industries such as energy,
|
(2009-present).
|
|||
metals and mining (2010-present). | ||||
Robert B. Karn III
|
Since 2010
|
Consultant (1998-present). Previously, Managing Partner, Financial |
50
|
Director of Peabody Energy Company
|
Year of birth: 1942
|
and Economic Consulting, St. Louis office of Arthur Andersen, LLP.
|
(2003 – present), GP Natural Resource
|
||
Trustee
|
Partners LLC (2002 – present).
|
|||
Ronald A. Nyberg
|
Since 2007
|
Partner of Nyberg & Cassioppi, LLC, a law firm specializing in corporate
|
58
|
None.
|
Year of birth: 1953
|
law, estate planning and business transactions (2000-present).
|
|||
Trustee
|
Formerly, Executive Vice President, General Counsel and Corporate
|
|||
Secretary of Van Kampen Investments (1982-1999). | ||||
Ronald E. Toupin, Jr.
|
Since 2007
|
Portfolio Consultant (2010-present). Formerly, Vice President, Manager
|
55
|
Trustee, Bennett Group of Funds
|
Year of birth: 1958
|
and Portfolio Manager of Nuveen Asset Management (1998-1999),
|
(2011-present). | ||
Trustee
|
Vice President of Nuveen Investment Advisory Corp. (1992-1999),
|
|||
Vice President and Manager of Nuveen Unit Investment Trusts (1991-
|
||||
1999), and Assistant Vice President and Portfolio Manager of Nuveen
|
||||
Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999). | ||||
Interested Trustee:
|
||||
Kevin M. Robinson†
|
Since 2009
|
Senior Managing Director and General Counsel of Guggenheim Funds
|
2
|
None.
|
Year of Birth: 1959
|
Investment Advisors, LLC, Guggenheim Funds Distributors, Inc. and
|
|||
Trustee, Chief Executive
|
Guggenheim Funds Services Group, Inc. (2007-present). Chief Legal
|
|||
Officer and Chief
|
Officer and Chief Executive Officer of certain other funds in the Fund
|
|||
Legal Officer | Complex. Formerly, Associate General Counsel and Assistant Corporate Secretary of NYSE Euronext, Inc. (2000-2007). |
*
|
Address for all Trustees unless otherwise noted: 2455 Corporate West Drive, Lisle, IL 60532
|
**
|
After a Trustee’s initial term, each Trustee is expected to serve a two-year term concurrent with the class of Trustees for which he serves:
|
—Messrs. Barnes, Friedrich and Robinson, as class I Trustees, are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2012.
—Messrs. Karn, Nyberg and Toupin, as class II Trustees, are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2013.
|
|
***
|
The Guggenheim Funds Fund Complex consists of U.S. registered investment companies advised or serviced by Guggenheim Funds Investment Advisors, LLC or Guggenheim Funds Distributors, Inc. The Guggenheim Funds Fund Complex is overseen by multiple Boards of Trustees.
|
†
|
Mr. Robinson is an “interested person” (as defined in section 2(a)(19) of the 1940 Act) of the Fund because of his position as an officer of Guggenheim Funds Investment Advisors, LLC, the Fund’s Adviser.
|
Name, Address*, Year
|
Term of Office**
|
|
of Birth and Position(s)
|
and Length of
|
Principal Occupations During the Past Five Years
|
Held with Registrant
|
Time Served
|
and Other Affiliations
|
Kevin M. Robinson
|
Since 2010
|
Senior Managing Director and General Counsel of Guggenheim Funds Investment Advisors, LLC, Guggenheim Funds
|
Year of Birth: 1959
|
Distributors, Inc. and Guggenheim Funds Services Group, Inc. (2007-present). Chief Legal Officer and Chief Executive
|
|
Chief Executive Officer
|
Officer of certain other funds in the Fund Complex. Formerly, Associate General Counsel and Assistant Corporate
|
|
and Chief Legal Officer
|
Secretary of NYSE Euronext, Inc. (2000-2007). | |
John Sullivan
|
Since 2011
|
Senior Managing Director of Guggenheim Funds Investment Advisors, LLC and Guggenheim Funds Distributors, Inc.
|
Year of Birth: 1955
|
(2010-present). Chief Accounting Officer, Chief Financial Officer and Treasurer of certain other funds in the Fund
|
|
Chief Accounting Officer,
|
Complex. Formerly, Chief Compliance Officer, Van Kampen Funds (2004–2010).
|
|
Chief Financial Officer
|
||
and Treasurer
|
||
Bruce Saxon
|
Since 2007
|
Vice President, Fund Compliance Officer of Guggenheim Funds Services Group, Inc. (2006-present). Chief Compliance
|
Year of birth: 1957
|
Officer of certain other funds in the Fund Complex. Formerly, Chief Compliance Officer/Assistant Secretary of Harris
|
|
Chief Compliance Officer
|
Investment Management, Inc. (2003-2006). Director-Compliance of Harrisdirect LLC (1999-2003).
|
|
Mark E. Mathiasen
|
Since 2008
|
Vice President; Assistant General Counsel of Guggenheim Funds Services Group, Inc. (2007-present). Secretary of
|
Year of birth: 1978
|
certain funds in the Fund Complex. Previously, Law Clerk, Idaho State Courts (2003-2006).
|
|
Secretary
|
*
|
Address for all Officers: 2455 Corporate West Drive, Lisle, IL 60532
|
**
|
Officers serve at the pleasure of the Board of Trustees and until his or her successor is appointed and qualified or until his or her earlier resignation or removal.
|
Board of Trustees
|
Officers
|
Investment Adviser and
|
Randall C. Barnes
|
Kevin M. Robinson
|
Administrator
|
Chief Executive Officer and
|
Guggenheim Funds Investment
|
|
Roman Friedrich III
|
Chief Legal Officer
|
Advisors, LLC
|
Lisle, Illinois
|
||
Robert B. Karn III
|
John Sullivan
|
|
Ronald A. Nyberg
|
Chief Financial Officer,
|
Investment Sub-Adviser
|
Chief Accounting Officer,
|
Guggenheim Partners Asset
|
|
Ronald E. Toupin, Jr.
|
and Treasurer
|
Management, LLC
|
Santa Monica, California
|
||
Kevin M. Robinson*
|
Bruce Saxon
|
|
Chief Compliance Officer
|
Accounting Agent and Custodian
|
|
* Trustee is an 'interested person" of the Fund as defined
|
The Bank of New York Mellon
|
|
in the Investment Company Act of 1940, as amended.
|
New York, New York
|
|
Mark E. Mathiasen
|
||
Secretary
|
Legal Counsel
|
|
Skadden, Arps, Slate,
|
||
Meagher & Flom LLP
|
||
New York, New York
|
||
Independent Registered
|
||
Public Accounting Firm
|
||
Ernst & Young LLP
|
||
Chicago, Illinois
|
·
|
If your shares are held in a Brokerage Account, contact your Broker.
|
·
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
|