Table of Contents
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08895
ING Funds Trust
(Exact name of registrant as specified in charter)
7337 E. Doubletree Ranch Rd., Scottsdale, AZ | 85258 | |
(Address of principal executive offices) | (Zip code) |
The Corporation Trust Company, 1209 Orange Street, Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: 1-800-992-0180
Date of fiscal year end: March 31
Date of reporting period: April l, 2011 to September 30, 2011
Table of Contents
Item 1. | Reports to Stockholders. |
The following is a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1):
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the fund’s investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Report | 4 | |||||
Shareholder Expense Example | 6 | |||||
Statement of Assets and Liabilities | 7 | |||||
Statement of Operations | 8 | |||||
Statements of Changes in Net Assets | 9 | |||||
Financial Highlights | 10 | |||||
Notes to Financial Statements | 11 | |||||
Portfolio of Investments | 18 |
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You will be notified by e-mail when these communications become available on the internet. Documents that are not available on the internet will continue to be sent by mail. |
President and Chief Executive Officer
ING Funds
November 8, 2011
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and the ING Funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
Index | Description | |||
---|---|---|---|---|
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. | |||
Barclays Capital U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||
Barclays Capital Corporate Investment Grade Bond Index | The corporate component of the Barclays Capital U.S. Credit Index. The U.S. Credit Index includes publicly-issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. The index includes both corporate and non-corporate sectors. The corporate sectors are industrial, utility and finance, which includes both U.S. and non-U.S. corporations. | |||
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||
The S&P/LSTA Leveraged Loan 100 Index | The S&P/LSTA Leveraged Loan 100 Index is designed to reflect the largest facilities in the leveraged loan market. It mirrors the market-weighted performance of the largest institutional leveraged loans based upon market weightings, spreads, and interest payments. The index consists of 100 loan facilities drawn from a larger benchmark, the S&P/LSTA (Loan Syndications and Trading Association) Leveraged Loan Index (LLI), which covers more than 1,100 facilities and has a market value of more than $480 billion. |
ING FLOATING RATE FUND | PORTFOLIO MANAGERS’ REPORT |
Ratings Distribution as of September 30, 2011 | ||||||||
---|---|---|---|---|---|---|---|---|
Ba | 51.2 | % | ||||||
B | 45.4 | % | ||||||
Caa and below | 2.0 | % | ||||||
Not rated* | 1.4 | % | ||||||
Ratings distribution shows the percentage of the Fund’s loan commitments (excluding cash and foreign cash) that are rated in each ratings category, based upon the categories provided by Moody’s Investors Service, Inc. Ratings distribution is based on Moody’s senior secured facility ratings. Moody’s ratings classification methodology: Aaa rating denotes the least credit risk; C rating denotes the greatest credit risk. Loans rated below Baa by Moody’s are considered to be below investment grade. Ratings can change from time to time, and current ratings may not fully reflect the actual credit condition or risks posed by a loan. | ||||||||
* Not rated includes loans to non-U.S. borrowers (which are typically unrated) and loans for which the rating has been withdrawn. |
TOP TEN LOAN ISSUERS AS OF SEPTEMBER 30, 2011 AS A PERCENTAGE OF: | ||||||||
---|---|---|---|---|---|---|---|---|
NET ASSETS | ||||||||
Reynolds Group Holdings Inc. | 2.1% | |||||||
BJs Wholesale Club | 1.5% | |||||||
Neiman Marcus Group, Inc. | 1.4% | |||||||
Asurion, LLC | 1.4% | |||||||
Harrahs Operating Company, Inc. | 1.3% | |||||||
CB Richard Ellis | 1.2% | |||||||
VNU | 1.2% | |||||||
Sunguard Data Systems | 1.2% | |||||||
Cumulus Media Holdings Inc. | 1.2% | |||||||
Delta Air Lines | 1.2% | |||||||
Subject to change daily. | ||||||||
|
Portfolio holdings and characteristics are subject to change and may not be representative of current holdings and characteristics. The outlook for this Fund may differ from that presented for other ING Funds. Performance for the different classes of shares will vary based on differences in fees associated with each class. An index has no cash in its portfolio, imposes no sales charges and incurs no operating expenses. An investor cannot invest directly in an index.
ING FLOATING RATE FUND | PORTFOLIO MANAGERS’ REPORT |
Jeffrey A. Bakalar Senior Vice President Senior Portfolio Manager ING Investment Management Co. | Daniel A. Norman Senior Vice President Senior Portfolio Manager ING Investment Management Co. | |||||
ING Floating Rate Fund October 31, 2011 |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | ||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 967.70 | 1.02 | % | $ | 5.01 | $ | 1,000.00 | $ | 1,019.91 | 1.02 | % | $ | 5.14 | |||||||||||||||||||
Class C | 1,000.00 | 964.00 | 1.77 | 8.69 | 1,000.00 | 1,016.15 | 1.77 | 8.92 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 968.00 | 0.77 | 3.79 | 1,000.00 | 1,021.15 | 0.77 | 3.89 | |||||||||||||||||||||||||||
Class R | 1,000.00 | 966.50 | 1.27 | 6.24 | 1,000.00 | 1,018.65 | 1.27 | 6.41 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 969.90 | 0.77 | 3.79 | 1,000.00 | 1,021.15 | 0.77 | 3.89 |
* | Expenses are equal to the Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/366 to reflect the most recent fiscal half-year. |
ASSETS: | |||||||
Investments in securities at fair value (Cost $241,399,929) | $ | 231,515,218 | |||||
Short-term investments at value (Cost $29,312,050) | 29,312,050 | ||||||
Cash | 1,472,401 | ||||||
Receivables: | |||||||
Investment securities sold | 5,270,070 | ||||||
Fund shares sold | 425,810 | ||||||
Interest | 1,488,157 | ||||||
Variation margin receivable on open futures contracts | 750 | ||||||
Prepaid structuring fee (Note 7) | 4,120 | ||||||
Prepaid expenses | 52,085 | ||||||
Reimbursement due from manager | 14,738 | ||||||
Total assets | 269,555,399 | ||||||
LIABILITIES: | |||||||
Payable for investment securities purchased | 27,740,701 | ||||||
Payable for fund shares redeemed | 7,235,782 | ||||||
Income distribution payable | 89,118 | ||||||
Payable to affiliates | 135,349 | ||||||
Accrued trustees fees | 1,884 | ||||||
Other accrued expenses and liabilities | 165,721 | ||||||
Total liabilities | 35,368,555 | ||||||
NET ASSETS | $ | 234,186,844 | |||||
NET ASSETS WERE COMPRISED OF: | |||||||
Paid-in capital | 243,104,520 | ||||||
Distributions in excess of net investment income | (336 | ) | |||||
Accumulated net realized gain | 966,621 | ||||||
Net unrealized depreciation | (9,883,961 | ) | |||||
NET ASSETS | $ | 234,186,844 | |||||
Class A: | |||||||
Net assets | $ | 15,878,634 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 1,631,793 | ||||||
Net asset value and redemption price per share | $ | 9.73 | |||||
Maximum offering price per share (2.50%)(1) | $ | 9.98 | |||||
Class C: | |||||||
Net assets | $ | 4,909,669 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 504,378 | ||||||
Net asset value and redemption price per share(2) | $ | 9.73 | |||||
Class I: | |||||||
Net assets | $ | 151,570,318 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 15,574,882 | ||||||
Net asset value and redemption price per share(2) | $ | 9.73 | |||||
Class R: | |||||||
Net assets | $ | 13,057,124 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 1,342,267 | ||||||
Net asset value and redemption price per share | $ | 9.73 | |||||
Class W: | |||||||
Net assets | $ | 48,771,099 | |||||
Shares authorized | unlimited | ||||||
Par value | $ | 0.001 | |||||
Shares outstanding | 5,002,469 | ||||||
Net asset value and redemption price per share | $ | 9.75 | |||||
__________________ | |||||||
(1)Maximum offering price is computed at 100/97.50 of net asset value. On purchases of $100,000 or more, the offering price is reduced. | |||||||
(2)Redemption price per share may be reduced for any applicable contingent deferred sales charge. |
INVESTMENT INCOME: | ||||||
Interest | $ | 5,303,792 | ||||
Other | 240,048 | |||||
Total investment income | 5,543,840 | |||||
EXPENSES: | ||||||
Investment management fees | 638,126 | |||||
Administration fees | 116,023 | |||||
Distribution and service fees: | ||||||
Class A | 23,390 | |||||
Class C | 25,900 | |||||
Class R | 27,934 | |||||
Transfer agent fees: | ||||||
Class A | 1,908 | |||||
Class C | 583 | |||||
Class I | 15,827 | |||||
Class R | 1,321 | |||||
Class W | 5,048 | |||||
Shareholder reporting expense | 16,758 | |||||
Custody and accounting expense | 66,933 | |||||
Registration fees | 62,526 | |||||
Professional fees | 34,906 | |||||
Trustees fees | 2,587 | |||||
Offering expense | 30,466 | |||||
Structuring fee (Note 7) | 12,569 | |||||
Miscellaneous expense | 26,688 | |||||
Total expenses | 1,109,493 | |||||
Net waived and reimbursed fees | (141,141 | ) | ||||
Net expenses | 968,352 | |||||
Net investment income | 4,575,488 | |||||
REALIZED AND UNREALIZED LOSS: | ||||||
Net realized loss on: | ||||||
Investments | (294,929 | ) | ||||
Futures | (59,377 | ) | ||||
Net realized loss | (354,306 | ) | ||||
Net change in unrealized appreciation or depreciation on: | ||||||
Investments | (11,863,089 | ) | ||||
Futures | (1,406 | ) | ||||
Unfunded commitments | (3,180 | ) | ||||
Net change in unrealized appreciation or depreciation | (11,867,675 | ) | ||||
Net realized and unrealized loss | (12,221,981 | ) | ||||
Decrease in net assets resulting from operations | $ | (7,646,493 | ) |
Six Months Ended September 30, 2011 | August 17, 2010(1) – March 31, 2011 | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 4,575,488 | $ | 3,280,872 | |||||||
Net realized gain (loss) | (354,306 | ) | 1,452,578 | ||||||||
Net change in unrealized appreciation or depreciation | (11,867,675 | ) | 1,983,714 | ||||||||
Net increase (decrease) in net assets resulting from operations | (7,646,493 | ) | 6,717,164 | ||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Net investment income: | |||||||||||
Class A | (377,869 | ) | (237,589 | ) | |||||||
Class C | (85,081 | ) | (15,514 | ) | |||||||
Class I | (3,296,529 | ) | (2,666,771 | ) | |||||||
Class R | (213,865 | ) | (47,366 | ) | |||||||
Class W | (915,394 | ) | (7,896 | ) | |||||||
Net realized gains: | |||||||||||
Class A | — | (11,672 | ) | ||||||||
Class C | — | (585 | ) | ||||||||
Class I | — | (117,332 | ) | ||||||||
Class R | — | (1,780 | ) | ||||||||
Class W | — | (282 | ) | ||||||||
Total distributions | (4,888,738 | ) | (3,106,787 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 97,331,511 | 206,276,555 | |||||||||
Reinvestment of distributions | 4,352,862 | 2,877,210 | |||||||||
101,684,373 | 209,153,765 | ||||||||||
Cost of shares redeemed | (58,604,539 | ) | (9,121,901 | ) | |||||||
Net increase in net assets resulting from capital share transactions | 43,079,834 | 200,031,864 | |||||||||
Net increase in net assets | 30,544,603 | 203,642,241 | |||||||||
NET ASSETS: | |||||||||||
Beginning of period | 203,642,241 | — | |||||||||
End of period | $ | 234,186,844 | $ | 203,642,241 | |||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | (336 | ) | $ | 312,914 | ||||||
________________ | |||||||||||
(1) Commencement of operations. |
Income (loss) from investment operations | Less distributions | Ratios to average net assets | Supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from investment operations | From net investment income | From net realized gains | From return of capital | Total distributions | Net asset value, end of year or period | Total Return(1) | Expenses before reductions/ additions(2)(3) | Expenses, net of fee waivers and/or recoupments, if any(2)(3) | Expenses, net of all reductions/ additions(2)(3) | Net investment income (loss)(2)(3) | Net assets, end of year or period | Portfolio Turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | ($) | (%) | (%) | (%) | (%) | (%) | ($000’s) | (%) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 10.26 | 0.19 | * | (0.52 | ) | (0.33 | ) | 0.20 | — | — | 0.20 | 9.73 | (3.23 | ) | 1.14 | 1.02 | 1.02 | 3.75 | 15,879 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.21 | * | 0.25 | 0.46 | 0.19 | 0.01 | — | 0.20 | 10.26 | 4.57 | 1.30 | 1.02 | 1.02 | 3.49 | 18,411 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 10.26 | 0.15 | * | (0.52 | ) | (0.37 | ) | 0.16 | — | — | 0.16 | 9.73 | (3.60 | ) | 1.89 | 1.77 | 1.77 | 3.05 | 4,910 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.19 | * | 0.22 | 0.41 | 0.14 | 0.01 | — | 0.15 | 10.26 | 4.11 | 2.05 | 1.77 | 1.77 | 3.46 | 3,356 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 10.27 | 0.20 | * | (0.52 | ) | (0.32 | ) | 0.22 | — | — | 0.22 | 9.73 | (3.20 | ) | 0.89 | 0.77 | 0.77 | 3.98 | 151,570 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.25 | * | 0.23 | 0.48 | 0.20 | 0.01 | — | 0.21 | 10.27 | 4.83 | 1.05 | 0.77 | 0.77 | 3.93 | 170,660 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 10.26 | 0.17 | * | (0.51 | ) | (0.34 | ) | 0.19 | — | — | 0.19 | 9.73 | (3.35 | ) | 1.39 | 1.27 | 1.27 | 3.57 | 13,057 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.21 | * | 0.23 | 0.44 | 0.17 | 0.01 | — | 0.18 | 10.26 | 4.39 | 1.55 | 1.27 | 1.27 | 3.87 | 7,897 | 73 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 10.27 | 0.19 | * | (0.49 | ) | (0.30 | ) | 0.22 | — | — | 0.22 | 9.75 | (3.01 | ) | 0.89 | 0.77 | 0.77 | 4.11 | 48,771 | 47 | ||||||||||||||||||||||||||||||||||||||||||||||||
08-17-10(4)–03-31-11 | 10.00 | 0.24 | 0.24 | 0.48 | 0.20 | 0.01 | — | 0.21 | 10.27 | 4.83 | 1.05 | 0.77 | 0.77 | 4.49 | 3,319 | 73 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and excluding the deduction of sales charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios reflect operating expenses of a Fund. Expenses before reductions/additions do not reflect amounts reimbursed by the Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Fund. Net investment income (loss) is net of all such additions or reductions. |
(4) | Commencement of operations. |
* | Calculated using average number of shares outstanding throughout the period. |
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
Class A | Class C | Class R | ||||||
---|---|---|---|---|---|---|---|---|
0.25% | 1.00% | 0.50% |
(as a percentage of average daily net assets)
Class C — 1.75%
Class I — 0.75%
Class R — 1.25%
Class W — 0.75%
September 30, | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2012 | 2013 | 2014 | Total | |||||||||||
$ — | $9,571 | $367,888 | $377,459 |
Accrued Investment Management Fees | Accrued Administrative Fees | Accrued Distribution and Service Fees | Total | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
$103,696 | $18,854 | $12,799 | $135,349 |
ING Fund(s) or Subsidiary | Percentage | |||||
---|---|---|---|---|---|---|
ING National Trust | 5.63 | % | ||||
ING Solution 2015 Portfolio | 12.52 | % | ||||
ING Solution 2025 Portfolio | 14.65 | % | ||||
ING Solution 2035 Portfolio | 12.25 | % |
Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | ($) | ($) | ($) | ($) | ||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||
09-30-11 | 693,815 | 11,797 | (867,364 | ) | (161,752 | ) | 7,082,578 | 118,398 | (8,719,939 | ) | (1,518,963 | ) | ||||||||||||||||||||||
08-17-10(1)–03-31-11 | 1,818,923 | 4,088 | (29,466 | ) | 1,793,545 | 18,386,496 | 41,889 | (302,717 | ) | 18,125,668 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||
09-30-11 | 310,692 | 4,529 | (137,792 | ) | 177,429 | 3,174,515 | 45,340 | (1,352,768 | ) | 1,867,087 | ||||||||||||||||||||||||
08-17-10(1)–03-31-11 | 355,779 | 1,018 | (29,848 | ) | 326,949 | 3,647,033 | 10,428 | (306,033 | ) | 3,351,428 | ||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||
09-30-11 | 2,753,203 | 317,510 | (4,117,558 | ) | (1,046,845 | ) | 27,336,559 | 3,186,509 | (41,578,774 | ) | (11,055,706 | ) | ||||||||||||||||||||||
08-17-10(1)–03-31-11 | 17,114,951 | 270,737 | (763,961 | ) | 16,621,727 | 172,401,568 | 2,767,647 | (7,800,436 | ) | 167,368,779 | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||
09-30-11 | 673,828 | 21,391 | (122,716 | ) | 572,503 | 6,817,679 | 213,865 | (1,238,005 | ) | 5,793,539 | ||||||||||||||||||||||||
08-17-10(1)–03-31-11 | 799,290 | 4,793 | (34,319 | ) | 769,764 | 8,175,478 | 49,127 | (350,442 | ) | 7,874,163 | ||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||
09-30-11 | 5,169,912 | 78,716 | (569,173 | ) | 4,679,455 | 52,920,180 | 788,750 | (5,715,053 | ) | 47,993,877 | ||||||||||||||||||||||||
08-17-10(1)–03-31-11 | 357,485 | 791 | (35,262 | ) | 323,014 | 3,665,980 | 8,119 | (362,273 | ) | 3,311,826 |
(1) | Commencement of operations. |
Undistributed Ordinary Income | Undistributed Long-term Capital Gains | Unrealized Appreciation | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
$1,686,981 | $3,685 | $1,981,530 |
Per Share Amount | Payable Date | Record Date | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | $ | 0.0369 | November 1, 2011 | Daily | ||||||||||
Class C | $ | 0.0307 | November 1, 2011 | Daily | ||||||||||
Class I | $ | 0.0389 | November 1, 2011 | Daily | ||||||||||
Class R | $ | 0.0348 | November 1, 2011 | Daily | ||||||||||
Class W | $ | 0.0389 | November 1, 2011 | Daily |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Loans*: 98.9% | ||||||||||||||||
Aerospace & Defense: 1.6% | ||||||||||||||||
$2,493,750 | Delta, New Term Loan B, 5.500%, due 04/20/17 | $ | 2,353,476 | |||||||||||||
448,875 | Delta, Term Loan B, 4.250%, due 03/07/16 | 412,965 | ||||||||||||||
1,000,000 | US Airways, Term Loan, 2.739%, due 03/21/14 | 855,357 | ||||||||||||||
3,621,798 | ||||||||||||||||
Automobile: 5.9% | ||||||||||||||||
610,000 | (1) | Avis Budget Car Rental, LLC, Incremental Term Loan, 0.000%, due 09/21/18 | 607,255 | |||||||||||||
994,297 | Avis Budget Car Rental, LLC, New Term Loan, 5.750%, due 04/19/14 | 986,207 | ||||||||||||||
2,996,250 | (1) | Chrysler Group LLC, Term Loan, 6.000%, due 05/24/17 | 2,637,949 | |||||||||||||
1,650,000 | Fram Group Holdings Inc., 1st Lien Term Loan, 6.500%, due 07/28/17 | 1,641,750 | ||||||||||||||
498,690 | Fram Group Holdings Inc., 2nd Lien Term Loan, 10.500%, due 01/29/18 | 492,456 | ||||||||||||||
2,344,125 | KAR Auction Services, Inc., Term Loan B, 5.000%, due 05/19/17 | 2,275,266 | ||||||||||||||
1,393,000 | Metaldyne, LLC, New Term Loan B, 5.250%, due 05/18/17 | 1,351,210 | ||||||||||||||
2,698,141 | Tomkins, Inc., New Term Loan B, 4.250%, due 09/21/16 | 2,653,455 | ||||||||||||||
748,125 | (1) | UCI International, Inc., New Term Loan B, 5.500%, due 07/26/17 | 744,384 | |||||||||||||
500,000 | Visteon Corporation, Fixed Rate Bond, 6.750%, due 04/15/19 | 452,500 | ||||||||||||||
13,842,432 | ||||||||||||||||
Beverage, Food & Tobacco: 2.4% | ||||||||||||||||
990,000 | Advance Pierre Foods, 1st Lien Term Loan, 7.000%, due 09/30/16 | 970,200 | ||||||||||||||
61,707 | ARAMARK, Extended Letter of Credit, 3.436%, due 07/26/16 | 59,958 | ||||||||||||||
938,293 | ARAMARK, Extended Term Loan B, 3.619%, due 07/26/16 | 911,709 | ||||||||||||||
400,000 | Clement Pappas, Term Loan B, 6.500%, due 08/14/17 | 393,500 | ||||||||||||||
35,000 | Darling International Inc., Term Loan, 5.375%, due 12/16/16 | 34,825 | ||||||||||||||
1,695,750 | Del Monte Corporation, Term Loan, 4.500%, due 03/08/18 | 1,573,445 | ||||||||||||||
291,519 | Dole Food Company, Inc., Tranche B2, 5.045%, due 07/06/18 | 287,693 | ||||||||||||||
541,393 | Dole Food Company, Inc., Tranche C2, 5.057%, due 07/06/18 | 534,287 | ||||||||||||||
1,000,000 | JBS USA, Inc. (FKA Swift), Term Loan, 4.250%, due 05/25/18 | 960,000 | ||||||||||||||
5,725,617 | ||||||||||||||||
Buildings & Real Estate: 3.9% | ||||||||||||||||
2,441,308 | Capital Automotive L.P., New Term Loan B, 5.000%, due 03/10/17 | 2,334,500 | ||||||||||||||
990,000 | CB Richard Ellis, New Term Loan B, 3.475%, due 11/06/16 | 963,600 | ||||||||||||||
735,000 | CB Richard Ellis, New Term Loan C, 3.494%, due 03/05/18 | 704,988 | ||||||||||||||
1,261,838 | CB Richard Ellis, New Term Loan D, 3.726%, due 09/04/19 | 1,212,548 | ||||||||||||||
2,295,320 | (1) | Goodman Global Inc., 1st Lien Term Loan, 5.750%, due 10/28/16 | 2,279,539 | |||||||||||||
375,000 | Goodman Global Inc., 2nd Lien Term Loan, 9.000%, due 10/30/17 | 378,125 | ||||||||||||||
199,759 | JMC Steel Group, Term Loan, 4.750%, due 04/03/17 | 193,641 | ||||||||||||||
975,000 | LNR Property Corporation, Term Loan B, 4.750%, due 04/29/16 | 957,938 | ||||||||||||||
9,024,879 | ||||||||||||||||
Cargo Transport: 0.8% | ||||||||||||||||
1,000,000 | Baker Tanks, Inc., Term Loan B, 5.000%, due 06/01/18 | 967,917 | ||||||||||||||
915,000 | Inmar, Inc., New Term Loan B, 6.500%, due 08/11/17 | 912,713 | ||||||||||||||
1,880,630 | ||||||||||||||||
Cellular: 0.1% | ||||||||||||||||
299,250 | Cellular South, Inc., New Term Loan B, 4.500%, due 07/27/17 | 291,769 | ||||||||||||||
291,769 | ||||||||||||||||
Chemicals, Plastics & Rubber: 4.2% | ||||||||||||||||
277,175 | AZ Chem US Inc., New Term Loan B, 4.750%, due 11/21/16 | 272,844 | ||||||||||||||
997,481 | Celanese U.S Holdings LLC., Extended Term Loan C, 2.996%, due 10/31/16 | 988,575 | ||||||||||||||
250,000 | Chemtura Corporation, Exit Term Loan B, 5.500%, due 08/27/16 | 248,646 | ||||||||||||||
247,678 | Houghton International, Inc., New Term Loan B, 6.750%, due 01/29/16 | 245,511 | ||||||||||||||
480,110 | Ineos US Finance LLC, Term Loan B2, 7.501%, due 12/16/13 | 475,909 | ||||||||||||||
509,595 | Ineos US Finance LLC, Term Loan C2, 8.001%, due 12/16/14 | 505,136 | ||||||||||||||
1,728,353 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C1, 4.000%, due 05/05/15 | 1,627,532 | ||||||||||||||
730,718 | Momentive Specialty Chemicals Inc (a.k.a Hexion Specialty Chemicals Inc), Extended Term Loan C2, 4.125%, due 05/05/15 | 688,093 | ||||||||||||||
1,300,000 | (1) | OM Group, Inc, Term Loan B, 5.750%, due 08/02/17 | 1,295,125 |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Chemicals, Plastics & Rubber: (continued) | |||||||||||||||
$1,347,325 | Styron S.A.R.L., New Term Loan B, 6.000%, due 08/02/17 | $ | 1,228,087 | ||||||||||||
2,285,237 | Univar Inc., Term Loan B, 5.000%, due 06/30/17 | 2,144,313 | |||||||||||||
9,719,771 | |||||||||||||||
Containers, Packaging & Glass: 4.3% | |||||||||||||||
44,513 | Bway Holding Corporation, Canadian Term Loan C, 4.500%, due 02/23/18 | 42,843 | |||||||||||||
501,362 | Bway Holding Corporation, New Term Loan B, 4.500%, due 02/23/18 | 482,561 | |||||||||||||
2,421,438 | (1) | Husky Injection Molding Systems, Ltd, Senior Debt B, 6.500%, due 06/30/18 | 2,355,858 | ||||||||||||
598,500 | Pro Mach, Inc, Term Loan B, 6.250%, due 07/06/17 | 583,538 | |||||||||||||
2,985,000 | Reynolds Group Holdings Inc, Tranche B Term Loan, 6.500%, due 02/09/18 | 2,898,434 | |||||||||||||
2,000,000 | Reynolds Group Holdings Inc, Tranche C Term Loan, 6.500%, due 08/09/18 | 1,940,834 | |||||||||||||
730,000 | (1) | Sealed Air Corporation, Term Loan B, 0.000%, due 09/21/18 | 732,008 | ||||||||||||
957,430 | Xerium Technologies, Inc., New Term Loan B, 5.500%, due 05/22/17 | 929,904 | |||||||||||||
9,965,980 | |||||||||||||||
Data and Internet Services: 7.6% | |||||||||||||||
666,667 | (1) | Aspect Software, Inc., New Term Loan B, 0.000%, due 05/06/16 | 663,333 | ||||||||||||
1,550,000 | (1) | Attachmate Corporation, New Term Loan B, 6.500%, due 04/27/17 | 1,497,204 | ||||||||||||
1,657,205 | Avaya Inc., Extended Term Loan B3, 4.814%, due 10/26/17 | 1,416,219 | |||||||||||||
500,000 | Avaya Inc., Fixed Rate Bond, 9.750%, due 11/01/15 | 367,500 | |||||||||||||
414,583 | CCC Information Services Group, Inc., New Term Loan B, 5.500%, due 11/11/15 | 407,328 | |||||||||||||
906,694 | Fifth Third Processing Solutions, Term Loan B1, 4.500%, due 11/03/16 | 879,493 | |||||||||||||
1,500,000 | First Data Corporation, Extended TL B, 4.235%, due 03/23/18 | 1,238,907 | |||||||||||||
833,942 | First Data Corporation, Term Loan B1, 2.985%, due 09/24/14 | 732,722 | |||||||||||||
120,459 | First Data Corporation, Term Loan B2, 2.985%, due 09/24/14 | 105,678 | |||||||||||||
358,867 | First Data Corporation, Term Loan B3, 2.985%, due 09/24/14 | 314,980 | |||||||||||||
2,260,000 | (1) | Go Daddy Operating Company, LLC, Term Loan, 0.000%, due 09/29/17 | 2,145,117 | ||||||||||||
997,500 | Mercury Payment Systems LLC, Term Loan B, 6.500%, due 07/03/17 | 992,513 | |||||||||||||
1,439,612 | Orbitz Worldwide, Inc., Term Loan, 3.266%, due 07/25/14 | 1,264,459 | |||||||||||||
1,983,710 | Sabre Inc., Term Loan B, 2.243%, due 09/30/14 | 1,673,480 | |||||||||||||
2,938,666 | Sungard Data Systems Inc, Tranche B, 3.892%, due 02/26/16 | 2,830,914 | |||||||||||||
373,125 | Trans Union LLC, New Term Loan B, 4.750%, due 02/12/18 | 365,041 | |||||||||||||
1,046,451 | Travelport, Inc., Extended Delayed Draw Term Loan, 4.746%, due 08/21/15 | 926,981 | |||||||||||||
17,821,869 | |||||||||||||||
Diversified / Conglomerate Manufacturing: 1.2% | |||||||||||||||
545,875 | Edwards (Cayman Islands II) Limited (aka BOC Edwards), Term Loan B, 5.500%, due 05/31/16 | 505,617 | |||||||||||||
1,294,726 | (1) | Sensus Metering Systems Inc., 1st Lien Term Loan, 4.755%, due 05/09/17 | 1,246,173 | ||||||||||||
600,000 | Sensus Metering Systems Inc., 2nd Lien Term Loan, 8.500%, due 05/09/18 | 582,000 | |||||||||||||
500,000 | Waterpik, Term Loan B, 6.753%, due 08/10/17 | 492,500 | |||||||||||||
2,826,290 | |||||||||||||||
Diversified / Conglomerate Service: 2.9% | |||||||||||||||
1,972,454 | Affinion Group, Inc., Tranche B Term Loan, 5.000%, due 10/10/16 | 1,799,042 | |||||||||||||
250,000 | Brock Holdings, Inc., New 2nd Lien Term Loan, 10.000%, due 03/16/18 | 228,750 | |||||||||||||
796,000 | Brock Holdings, Inc., New Term Loan B, 6.000%, due 03/16/17 | 746,250 | |||||||||||||
1,000,000 | (1) | CorpSource Finance Holdings, LLC, 1st Lien Term Loan, 0.000%, due 04/28/17 | 890,000 | ||||||||||||
871,795 | MoneyGram International, Inc., Term Loan B, 4.500%, due 11/17/17 | 846,731 | |||||||||||||
995,000 | NDS Treasury (Americas), New Term Loan B, 4.000%, due 03/12/18 | 956,444 | |||||||||||||
418,945 | Vertafore, Inc., Add on Term Loan, 5.250%, due 07/29/16 | 404,282 | |||||||||||||
297,750 | Vertafore, Inc., Term Loan, 5.250%, due 07/29/16 | 287,329 | |||||||||||||
709,452 | West Corp, Term Loan B5, 4.567%, due 07/15/16 | 688,169 | |||||||||||||
6,846,997 | |||||||||||||||
Ecological: 0.2% | |||||||||||||||
497,500 | Waste Industries USA, Inc., Term Loan B, 4.750%, due 03/17/17 | 468,894 | |||||||||||||
468,894 | |||||||||||||||
Electronics: 5.0% | |||||||||||||||
2,000,000 | (1) | Blackboard Inc., Term Loan B, 0.000%, due 09/21/18 | 1,863,000 | ||||||||||||
1,960,538 | CDW LLC, Extended TL, 4.250%, due 07/14/17 | 1,749,780 | |||||||||||||
997,500 | Eagle Parent, Inc., New Term Loan, 5.000%, due 05/16/18 | 933,286 | |||||||||||||
1,985,384 | Freescale Semiconductor, Inc., Extended Term Loan B, 4.472%, due 12/01/16 | 1,824,072 | |||||||||||||
1,000,000 | Freescale Semiconductor, Inc., Fixed Rate Bond, 8.050%, due 02/01/20 | 910,000 |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Electronics: (continued) | |||||||||||||||
$1,750,000 | Lawson Software, Inc., 1st Lien Term Loan, 6.750%, due 07/05/17 | $ | 1,661,042 | ||||||||||||
422,875 | Microsemi Corporation, New Term Loan B, 4.000%, due 11/02/17 | 421,025 | |||||||||||||
1,236,900 | Open Link Financial, Inc., New Term Loan B, 5.250%, due 04/27/18 | 1,221,439 | |||||||||||||
248,750 | Rovi Corporation, Tranche B Term Loan, 4.000%, due 02/07/18 | 246,107 | |||||||||||||
837,001 | Spansion LLC, Term Loan, 4.750%, due 02/09/15 | 815,029 | |||||||||||||
11,644,780 | |||||||||||||||
Finance: 1.6% | |||||||||||||||
188,052 | BNY ConvergEx Group, LLC, Eze Term Loan, 5.250%, due 12/19/16 | 187,112 | |||||||||||||
448,165 | BNY ConvergEx Group, LLC, Top Borrower Term Loan, 5.250%, due 12/19/16 | 445,924 | |||||||||||||
1,906,818 | MIP Delaware, LLC, Term Loan, 5.500%, due 07/12/18 | 1,863,915 | |||||||||||||
500,000 | Nuveen Investments, Inc., Extended Term Loan, 5.819%, due 05/12/17 | 465,750 | |||||||||||||
706,875 | OCWEN Financial Corp., Term Loan B, 7.000%, due 09/01/16 | 685,669 | |||||||||||||
3,648,370 | |||||||||||||||
Gaming: 3.4% | |||||||||||||||
587,050 | Ameristar Casinos Inc., Term Loan B, 4.000%, due 04/13/18 | 568,705 | |||||||||||||
700,000 | Caesars Octavius, LLC, Term Loan, 9.250%, due 02/24/17 | 666,313 | |||||||||||||
1,000,000 | Harrahs Operating Company, Inc, Term Loan B1, 3.253%, due 01/28/15 | 842,188 | |||||||||||||
1,000,000 | Harrahs Operating Company, Inc, Term Loan B2, 3.247%, due 01/28/15 | 840,833 | |||||||||||||
1,478,412 | Harrahs Operating Company, Inc, Term Loan B3, 3.369%, due 01/28/15 | 1,244,637 | |||||||||||||
497,500 | Isle Of Capri Casinos, Inc., New Term Loan B, 4.750%, due 11/01/13 | 489,416 | |||||||||||||
241,179 | Las Vegas Sands, LLC, Extended Delayed Draw Term Loan, 2.740%, due 11/23/16 | 225,804 | |||||||||||||
1,250,014 | Las Vegas Sands, LLC, Extended Term Loan B, 2.740%, due 11/23/16 | 1,170,996 | |||||||||||||
1,901,635 | VML US FINANCE LLC, New Project Term Loan, 4.740%, due 05/27/13 | 1,893,315 | |||||||||||||
44,104 | VML US FINANCE LLC, Term Loan B, 4.740%, due 05/27/13 | 43,999 | |||||||||||||
7,986,206 | |||||||||||||||
Grocery: 0.6% | |||||||||||||||
1,481,278 | Supervalu, Extended Term Loan B2, 3.489%, due 10/05/15 | 1,395,487 | |||||||||||||
1,395,487 | |||||||||||||||
Healthcare, Education and Childcare: 11.7% | |||||||||||||||
2,000,000 | Alere US Holdings, LLC, Term Loan B, 4.500%, due 06/30/17 | 1,935,000 | |||||||||||||
195,046 | Bausch & Lomb, Inc., Delayed Draw Term Loan, 3.489%, due 04/24/15 | 188,494 | |||||||||||||
800,277 | Bausch & Lomb, Inc., Term Loan, 3.590%, due 04/24/15 | 773,393 | |||||||||||||
2,023 | (1) | Biomet Inc., Term Loan B, 3.314%, due 03/25/15 | 1,942 | ||||||||||||
1,755,000 | (1) | Capsugel Holdings US, Inc., Term Loan, 5.250%, due 08/01/18 | 1,733,612 | ||||||||||||
1,633,340 | CHS/Community Health Systems, Inc., Extended Term Loan B, 3.819%, due 01/25/17 | 1,505,395 | |||||||||||||
258,050 | ConvaTec, Term Loan, 5.750%, due 12/22/16 | 247,405 | |||||||||||||
2,493,601 | Drumm Investors LLC, Term Loan, 5.000%, due 05/04/18 | 2,227,097 | |||||||||||||
266,538 | Emdeon Business Services LLC, Incremental Term Loan, 4.500%, due 11/18/13 | 265,539 | |||||||||||||
1,741,250 | Emergency Medical Services Corporation, Term Loan, 5.250%, due 05/25/18 | 1,661,079 | |||||||||||||
523,018 | Endo Pharmaceuticals Holdings Inc., Term Loan B, 4.000%, due 06/18/18 | 521,804 | |||||||||||||
872,813 | Grifols S.A, Term Loan B, 6.000%, due 06/01/17 | 857,975 | |||||||||||||
1,120,000 | HCA, Inc., Extended Term Loan B2, 3.619%, due 03/31/17 | 1,057,933 | |||||||||||||
500,000 | HCA, Inc., Extended Term Loan B3, 3.619%, due 05/01/18 | 471,172 | |||||||||||||
439,226 | HGI Holding, Inc., Term Loan B, 6.750%, due 09/29/16 | 420,559 | |||||||||||||
1,094,500 | Iasis Healthcare LLC, Term Loan, 5.000%, due 05/03/18 | 1,024,726 | |||||||||||||
1,000,000 | Immucor, Inc., Term Loan B, 7.250%, due 08/17/18 | 988,750 | |||||||||||||
1,492,081 | IMS Health Incorporated, New Term Loan B, 4.500%, due 08/25/17 | 1,467,835 | |||||||||||||
1,491,256 | inVentiv Health Inc., Combined Term Loan, 6.500%, due 08/04/16 | 1,439,062 | |||||||||||||
274,313 | inVentiv Health Inc., Incremental Term Loan B3, 6.750%, due 05/15/18 | 262,997 | |||||||||||||
456,880 | Medassets, Inc., New Term Loan, 5.250%, due 11/16/16 | 448,599 | |||||||||||||
500,000 | Medpace IntermediateCo, Inc., Term Loan, 6.503%, due 06/22/17 | 477,500 | |||||||||||||
1,950,105 | Onex Carestream Finance LP, Term Loan B, 5.000%, due 02/25/17 | 1,641,339 | |||||||||||||
997,500 | Quintiles Transnational Corp., New Term Loan B, 5.000%, due 06/08/18 | 943,468 | |||||||||||||
798,000 | Rural/Metro Corporation, Term Loan, 5.750%, due 06/29/18 | 772,065 | |||||||||||||
665,000 | Sunquest Information Systems, Inc., Term Loan, 6.250%, due 12/16/16 | 653,363 | |||||||||||||
448,875 | Surgical Care Affiliates LLC, Incremental Term Loan B, 5.500%, due 06/29/18 | 417,454 | |||||||||||||
1,980,075 | Vanguard Health Holdings Company Ii, LLC, Term Loan B, 5.000%, due 01/29/16 | 1,950,374 | |||||||||||||
454,857 | Warner Chilcott Company LLC, New Term Loan B1, 4.250%, due 03/15/18 | 443,486 |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Healthcare, Education and Childcare: (continued) | |||||||||||||||
$227,429 | Warner Chilcott Company LLC, New Term Loan B2, 4.250%, due 03/15/18 | $ | 221,743 | ||||||||||||
312,714 | Warner Chilcott Company LLC, New Term Loan B3, 4.250%, due 03/15/18 | 304,896 | |||||||||||||
27,326,056 | |||||||||||||||
Home & Office Furnishings: 0.3% | |||||||||||||||
825,000 | Springs Window Fashions, LLC, New Term Loan B, 6.000%, due 05/31/17 | 805,406 | |||||||||||||
805,406 | |||||||||||||||
Insurance: 0.4% | |||||||||||||||
880,786 | Sedgwick Holdings, Inc., New Term Loan, 5.000%, due 12/30/16 | 837,848 | |||||||||||||
837,848 | |||||||||||||||
Leisure, Amusement, Entertainment: 2.6% | |||||||||||||||
1,483,731 | 24 Hour Fitness Worldwide, Inc, New Term Loan, 6.750%, due 04/22/16 | 1,439,219 | |||||||||||||
989,873 | (1) | Cedar Fair, L.P., New Term Loan B, 4.000%, due 12/15/17 | 976,572 | ||||||||||||
977,412 | Cinemark USA, Inc., Extended Term Loan, 3.509%, due 04/29/16 | 959,330 | |||||||||||||
989,500 | HIT Entertainment, Inc., Term Loan, 5.514%, due 06/01/12 | 962,288 | |||||||||||||
1,736,875 | Regal Cinemas Corporation, Term Loan B, 3.369%, due 08/23/17 | 1,692,368 | |||||||||||||
6,029,777 | |||||||||||||||
Machinery: 0.8% | |||||||||||||||
1,890,000 | Terex Corporation, Term Loan B, 5.500%, due 04/28/17 | 1,856,630 | |||||||||||||
1,856,630 | |||||||||||||||
Mining, Steel, Iron & Nonprecious Metals: 1.7% | |||||||||||||||
2,174,000 | (1) | Fairmount Minerals, Ltd., New Term Loan B, 5.250%, due 03/15/17 | 2,144,107 | ||||||||||||
250,000 | U.S. Silica Company, Incremental Term Loan, 6.000%, due 06/01/17 | 249,844 | |||||||||||||
1,745,625 | Walter Energy, Inc., Term Loan B, 4.000%, due 04/02/18 | 1,693,693 | |||||||||||||
4,087,644 | |||||||||||||||
Non-North American Cable: 0.6% | |||||||||||||||
485,659 | UPC Broadband Holding B.V, Term Loan T, 3.722%, due 12/30/16 | 461,984 | |||||||||||||
1,000,000 | UPC Broadband Holding B.V, Term Loan X, 3.722%, due 12/29/17 | 957,500 | |||||||||||||
1,419,484 | |||||||||||||||
North American Cable: 1.8% | |||||||||||||||
369,927 | Atlantic Broadband, New Term Loan B, 4.000%, due 03/08/16 | 358,367 | |||||||||||||
447,750 | Bresnan Communications, LLC, Term Loan B, 4.502%, due 12/14/17 | 433,758 | |||||||||||||
2,476,092 | Charter Communications Operating, LLC, Extended Term Loan, 3.500%, due 09/06/16 | 2,401,810 | |||||||||||||
41,235 | Charter Communications Operating, LLC, Replacement Term Loan, 2.240%, due 03/06/14 | 40,771 | |||||||||||||
887,775 | San Juan Cable LLC, New Term Loan B, 6.000%, due 06/09/17 | 858,922 | |||||||||||||
4,093,628 | |||||||||||||||
Oil & Gas:1.0% | |||||||||||||||
994,832 | CCS Inc., Term Loan B, 3.369%, due 11/14/14 | 881,670 | |||||||||||||
1,536,965 | (1) | Frac Tech International, LLC, Term Loan B, 6.250%, due 05/06/16 | 1,513,591 | ||||||||||||
2,395,261 | |||||||||||||||
Other Broadcasting and Entertainment: 2.9% | |||||||||||||||
2,044,737 | Getty Images, Inc, New Term Loan, 5.250%, due 11/07/16 | 2,037,069 | |||||||||||||
1,992,494 | The Weather Channel, New Term Loan B, 4.250%, due 02/13/17 | 1,970,909 | |||||||||||||
2,966,231 | VNU, Class B Term loan, 3.976%, due 05/02/16 | 2,877,244 | |||||||||||||
6,885,222 | |||||||||||||||
Other Telecommunications: 2.1% | |||||||||||||||
2,459,091 | (1) | Asurion, LLC, New 1st Lien Term Loan, 5.500%, due 05/24/18 | 2,331,526 | ||||||||||||
900,000 | Asurion, LLC, New 2nd Lien Term Loan, 9.000%, due 05/24/19 | 863,719 | |||||||||||||
982,761 | MetroPCS Wireless, Inc., Extended Term Loan B, 4.071%, due 11/04/16 | 954,916 | |||||||||||||
522,375 | PAETEC Holding Corp, Term Loan, 5.000%, due 05/31/18 | 519,763 | |||||||||||||
311,799 | U.S. Telepacific Corp, New Term Loan B, 5.750%, due 02/23/17 | 298,548 | |||||||||||||
4,968,472 | |||||||||||||||
Personal & Nondurable Consumer Products: 2.3% | |||||||||||||||
500,000 | (1) | Advantage Sales & Marketing, Inc., 2nd Lien Term Loan, 0.000%, due 06/18/18 | 484,167 | ||||||||||||
992,500 | Advantage Sales & Marketing, Inc., Term Loan B, 5.250%, due 12/18/17 | 960,864 |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Personal & Nondurable Consumer Products: (continued) | |||||||||||||||
$499,330 | Bushnell, Inc., 1st Lien Term Loan, 4.496%, due 08/23/13 | $ | 464,377 | ||||||||||||
248,741 | Hillman Group (The), Inc., Term Loan B, 5.000%, due 05/27/16 | 243,455 | |||||||||||||
498,750 | Information Resources, Inc., New Term Loan B, 5.000%, due 12/01/17 | 485,034 | |||||||||||||
613,109 | Jarden Corporation, New Term Loan B, 3.239%, due 03/30/18 | 609,584 | |||||||||||||
500,000 | Revlon Consumer Products Corporation, New Term Loan B, 5.738%, due 11/17/17 | 486,125 | |||||||||||||
185,000 | SRAM, LLC, 2nd Lien Term Loan, 8.500%, due 12/07/18 | 184,076 | |||||||||||||
1,062,562 | SRAM, LLC, New Term Loan B, 4.755%, due 06/07/18 | 1,025,371 | |||||||||||||
451,992 | Totes Isotoner Corporation, 1st Lien Term Loan, 7.258%, due 07/07/17 | 431,653 | |||||||||||||
46,875 | Totes Isotoner Corporation, Delayed Draw Term Loan, 7.250%, due 07/07/17 | 44,766 | |||||||||||||
5,419,472 | |||||||||||||||
Personal, Food & Miscellaneous: 3.9% | |||||||||||||||
1,221,938 | Acosta, Inc., Term Loan, 4.750%, due 03/01/18 | 1,180,239 | |||||||||||||
1,000,000 | Bojangles Restaurants, Inc., Term Loan, 8.000%, due 08/17/17 | 982,500 | |||||||||||||
840,000 | Dennys, Inc, New Term Loan B, 5.250%, due 09/30/16 | 838,950 | |||||||||||||
317,015 | DineEquity Inc., New Term Loan B, 4.250%, due 10/19/17 | 308,496 | |||||||||||||
1,161,240 | Dunkin Brands, Inc., New Term Loan B2, 4.000%, due 11/23/17 | 1,125,918 | |||||||||||||
1,389,857 | N.E.W. Customer Services Companies, Inc., Secured Term Loan, 6.000%, due 03/23/16 | 1,346,424 | |||||||||||||
1,389,500 | NBTY, Inc., New Term Loan B, 4.250%, due 10/02/17 | 1,349,118 | |||||||||||||
325,981 | (1) | U.S. Security Associates Holdings, Inc., Delayed Draw Term Loan, 0.000%, due 07/28/17 | 318,647 | ||||||||||||
1,673,903 | (1) | U.S. Security Associates Holdings, Inc., New Term Loan, 0.000%, due 07/28/17 | 1,636,240 | ||||||||||||
9,086,532 | |||||||||||||||
Printing & Publishing: 1.6% | |||||||||||||||
1,471,702 | (1) | Cengage Learning, Inc., Term Loan, 2.490%, due 07/03/14 | 1,167,900 | ||||||||||||
1,289,038 | (1) | Cenveo Corporation, Term Loan B, 6.250%, due 12/21/16 | 1,251,978 | ||||||||||||
1,000,000 | Merrill Communications, LLC, Term Loan, 7.500%, due 12/24/12 | 950,000 | |||||||||||||
897,022 | R.H. Donnelley Corporation, New Term Loan, 9.000%, due 10/24/14 | 417,115 | |||||||||||||
3,786,993 | |||||||||||||||
Radio and TV Broadcasting: 3.2% | |||||||||||||||
1,500,000 | Clear Channel Communications, Inc., Term Loan B, 3.889%, due 01/28/16 | 1,071,938 | |||||||||||||
1,000,000 | (1) | Cumulus Media Holdings Inc., 2nd Lien Term Loan, 0.000%, due 02/11/19 | 931,250 | ||||||||||||
2,000,000 | (1) | Cumulus Media Holdings Inc., Term Loan, 0.000%, due 09/17/18 | 1,892,500 | ||||||||||||
978,038 | FoxCo Acquisition, LLC, Term Loan B, 4.750%, due 07/14/15 | 933,212 | |||||||||||||
349,125 | Raycom TV Broadcasting, LLC, Term Loan B, 4.500%, due 05/31/17 | 331,669 | |||||||||||||
2,706,090 | (1) | Univision Communications, Inc., Extended Term Loan, 4.489%, due 03/31/17 | 2,305,812 | ||||||||||||
7,466,381 | |||||||||||||||
Retail Stores: 11.8% | |||||||||||||||
2,600,000 | (1) | Academy Ltd., Term Loan, 6.000%, due 08/03/18 | 2,502,499 | ||||||||||||
915,750 | Amscan Holdings, Inc., Term Loan B, 6.750%, due 12/04/17 | 898,294 | |||||||||||||
1,497,500 | (1) | Bass Pro Group, LLC, Term Loan, 5.254%, due 06/13/17 | 1,438,536 | ||||||||||||
1,031,250 | (1) | BJs Wholesale Club, 2nd Lien Term Loan, 0.000%, due 03/27/19 | 1,000,957 | ||||||||||||
2,550,000 | (1) | BJs Wholesale Club, Term Loan B, 0.000%, due 09/27/18 | 2,468,946 | ||||||||||||
987,500 | Burlington Coat Factory, Term Loan B, 6.250%, due 02/23/17 | 951,703 | |||||||||||||
996,589 | Claires Stores, Inc., Term Loan B, 2.991%, due 05/29/14 | 846,976 | |||||||||||||
333,750 | General Nutrition Centers, Inc., New Term Loan B, 4.250%, due 03/02/18 | 323,877 | |||||||||||||
1,000,000 | Guitar Center, Inc., Extended Term Loan, 5.620%, due 04/10/17 | 888,333 | |||||||||||||
1,396,500 | J. Crew, New Term Loan B, 4.750%, due 03/07/18 | 1,249,868 | |||||||||||||
1,795,500 | Jo-Ann Stores, Inc., Term Loan, 4.750%, due 03/16/18 | 1,674,304 | |||||||||||||
843,625 | Leslies Poolmart, Inc., Term Loan B, 4.504%, due 11/21/16 | 801,444 | |||||||||||||
2,388,639 | Michaels Stores, Inc., Term Loan B2, 4.802%, due 07/31/16 | 2,284,136 | |||||||||||||
375,000 | Nebraska Book Company, Inc, DIP Term Loan B, 7.250%, due 07/27/12 | 372,188 | |||||||||||||
3,492,420 | Neiman Marcus Group, Inc, New Term Loan, 4.750%, due 05/16/18 | 3,246,493 | |||||||||||||
1,942,311 | Petco Animal Supplies, Inc., New Term Loan, 4.500%, due 11/24/17 | 1,843,171 | |||||||||||||
1,072,500 | Pilot Travel Centers LLC, New Term Loan B, 4.250%, due 03/30/18 | 1,062,222 | |||||||||||||
497,500 | Savers, New Term Loan B, 4.250%, due 03/03/17 | 491,281 | |||||||||||||
1,404,136 | The Gymboree Corporation, New Term Loan, 5.000%, due 02/23/18 | 1,255,239 | |||||||||||||
349,125 | Toys “R” Us, Inc., Incremental Term Loan B2, 5.250%, due 05/25/18 | 333,851 | |||||||||||||
1,737,500 | (1) | Toys “R” Us, Inc., New Term Loan, 6.000%, due 09/01/16 | 1,671,802 | ||||||||||||
27,606,120 |
Principal Amount | | | Borrower\Tranche Description | | Fair Value | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Satellite: 0.8% | |||||||||||||||
$1,995,000 | Intelsat Jackson Holdings S.A., Tranche B Term Loan, 5.250%, due 04/02/18 | $ | 1,925,590 | ||||||||||||
1,925,590 | |||||||||||||||
Telecommunications Equipment: 0.7% | |||||||||||||||
514,415 | CommScope, Inc., New Term Loan B, 5.000%, due 01/14/18 | 504,770 | |||||||||||||
1,127,731 | Syniverse Holdings, Inc., Term Loan B, 5.250%, due 12/21/17 | 1,114,105 | |||||||||||||
1,618,875 | |||||||||||||||
Textiles & Leather: 0.1% | |||||||||||||||
332,500 | Targus Group, Inc., Term Loan B, 11.000%, due 05/16/16 | 321,694 | |||||||||||||
321,694 | |||||||||||||||
Utilities: 2.9% | |||||||||||||||
995,000 | AES Corporation, New Term Loan, 4.250%, due 06/01/18 | 974,790 | |||||||||||||
895,500 | Calpine Corp, New Term Loan, 4.500%, due 04/02/18 | 849,158 | |||||||||||||
997,500 | Calpine Corp, Term Loan B2, 4.500%, due 04/02/18 | 946,628 | |||||||||||||
1,500,000 | (1) | Dynegy Holdings Inc., CoalCo Term Loan, 9.250%, due 08/04/16 | 1,463,749 | ||||||||||||
1,100,000 | Dynegy Holdings Inc., GasCo Term Loan, 9.250%, due 08/04/16 | 1,086,078 | |||||||||||||
1,787,818 | (1) | Texas Competitive Electric Holdings Company LLC, Extended Term Loan, 4.750%, due 10/10/17 | 1,203,985 | ||||||||||||
481,940 | Texas Competitive Electric Holdings Company LLC, Non-Extended Term Loan, 3.726%, due 10/10/14 | 341,976 | |||||||||||||
6,866,364 | |||||||||||||||
Total Loans (Cost $241,399,929) | 231,515,218 | ||||||||||||||
Shares | Market Value |
Short-term Investments: 12.5% | |||||||||||||||||||||||
Mutual Fund:12.5% | |||||||||||||||||||||||
29,312,050 | State Street Institutional Liquid Reserves Fund — Institutional Class | $ | 29,312,050 | ||||||||||||||||||||
Total Mutual Fund (Cost $29,312,050) | 29,312,050 | ||||||||||||||||||||||
Total Investments (Cost $270,711,979)** | 111.4% | $ | 260,827,268 | ||||||||||||||||||||
Other Assets and Liabilities — Net | (11.4) | (26,640,424 | ) | ||||||||||||||||||||
Net Assets | 100.0% | $ | 234,186,844 | ||||||||||||||||||||
* | Loans, while exempt from registration under the Securities Act of 1933, as amended, contain certain restrictions on resale and cannot be sold publicly. These loans bear interest (unless otherwise noted) at rates that float periodically at a margin above the London Inter-Bank Offered Rate (“LIBOR”) and other short-term rates. | ||||||||||||||||||||||
(1) | All or a portion of the loan is pending settlement. Contract rates do not take effect until settlement date. | ||||||||||||||||||||||
** | For Federal Income Tax purposes cost of investments is $270,712,011. | ||||||||||||||||||||||
Net unrealized depreciation consists of the following: | |||||||||||||||||||||||
Gross Unrealized Appreciation | $ | 233,254 | |||||||||||||||||||||
Gross Unrealized Depreciation | (10,117,997 | ) | |||||||||||||||||||||
Net Unrealized Depreciation | $ | (9,884,743 | ) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 9/30/11 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Loans | $ | — | $ | 231,515,218 | $ | — | $ | 231,515,218 | ||||||||||
Short-Term Investments | 29,312,050 | — | — | 29,312,050 | ||||||||||||||
Total Investments, at value | $ | 29,312,050 | $ | 231,515,218 | $ | — | $ | 260,827,268 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Futures | 750 | — | — | 750 | ||||||||||||||
Total Assets | $ | 29,312,800 | $ | 231,515,218 | $ | — | $ | 260,828,018 |
+ | Other Financial Instruments are securities or derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, unfunded commitments and written options. Forward foreign currency contracts, futures and unfunded commitments are reported at their unrealized gain/loss at measurement date which represents the amount due to/from the Fund. Swaps and written options are reported at their fair value at measurement date. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Short Contracts | ||||||||||||||||||
U.S. Treasury 5-Year Note | 8 | 12/30/11 | $ | 979,875 | $ | 750 | ||||||||||||
$ | 979,875 | $ | 750 |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | |||||||||||||||||||
Interest rate contracts | Unrealized appreciation on futures contracts | $ | 750 | ||||||||||||||||
Total Asset Derivatives | $ | 750 |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||||||||||||||||
Interest rate contracts | $(59,377) | |||||||||||||||||||
Total | $(59,377) |
Change in Unrealized Appreciation or Depreciation on Derivatives Recognized in Income | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||||||||||||||||
Interest rate contracts | $(1,406) | |||||||||||||||||||
Total | $(1,406) |
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
State Street Bank and Trust Company
801 Pennsylvania Avenue
Kansas City, Missouri 64105
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Call us from 9:00 a.m. to 7:00 p.m. Eastern time on any business day for account or other information, at (800) 992-0180
This report is submitted for general information to shareholders of the ING Funds. It is not authorized for distribution to prospective shareholders unless accompanied or preceded by a prospectus which includes details regarding the funds’ investment objectives, risks, charges, expenses and other information. This information should be read carefully. |
President’s Letter | 1 | |||||
Market Perspective | 2 | |||||
Portfolio Managers’ Reports | 4 | |||||
Shareholder Expense Examples | 7 | |||||
Statements of Assets and Liabilities | 9 | |||||
Statements of Operations | 11 | |||||
Statements of Changes in Net Assets | 12 | |||||
Financial Highlights | 14 | |||||
Notes to Financial Statements | 17 | |||||
Summary Portfolios of Investments | 33 |
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President and Chief Executive Officer
ING Funds
November 8, 2011
The views expressed in the President’s Letter reflect those of the President as of the date of the letter. Any such views are subject to change at any time based upon market or other conditions and the ING Funds disclaim any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for an ING Fund are based on numerous factors, may not be relied on as an indication of investment intent on behalf of any ING Fund. Reference to specific company securities should not be construed as recommendations or investment advice.
Index | Description | |||
---|---|---|---|---|
MSCI World IndexSM | An unmanaged index that measures the performance of over 1,400 securities listed on exchanges in the U.S., Europe, Canada, Australia, New Zealand and the Far East. | |||
S&P/Case-Shiller 20-City Composite Home Price Index | A composite index of the home price index for the top 20 Metropolitan Statistical Areas in the United States. The index is published monthly by Standard & Poor’s. | |||
Barclays Capital U.S. Aggregate Bond Index | An unmanaged index of publicly issued investment grade U.S. Government, mortgage-backed, asset-backed and corporate debt securities. | |||
Barclays Capital Corporate Investment Grade Bond Index | The corporate component of the Barclays Capital U.S. Credit Index. The U.S. Credit Index includes publicly-issued U.S. corporate and specified foreign debentures and secured notes that meet the specified maturity, liquidity, and quality requirements. The index includes both corporate and non-corporate sectors. The corporate sectors are industrial, utility and finance, which includes both U.S. and non-U.S. corporations. | |||
Barclays Capital U.S. MBS Index | An unmanaged index composed of fixed-income security mortgage pools sponsored by GNMA, FNMA and FHLMC, including GNMA Graduated Payment Mortgages. | |||
Barclays Capital High Yield Bond — 2% Issuer Constrained Composite Index | An unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and at least one year to maturity. | |||
S&P 500® Index | An unmanaged index that measures the performance of securities of approximately 500 large-capitalization companies whose securities are traded on major U.S. stock markets. | |||
MSCI Japan® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Japan. | |||
MSCI Europe ex UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in Europe, excluding the UK. | |||
MSCI UK® Index | A free float-adjusted market capitalization index that is designed to measure developed market equity performance in the UK. | |||
Barclays Capital Corporate High Yield Index | An unmanaged index that measures the performance of fixed-income securities generally representative of corporate bonds rated below investment grade. |
ING GNMA INCOME FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of September 30, 2011 (as a percentage of net assets) | ||||||||
---|---|---|---|---|---|---|---|---|
U.S. Government Agency Obligations | 107.6 | % | ||||||
Liabilities in Excess of Other Assets | (7.6) | % | ||||||
Net Assets | 100.0 | % | ||||||
Portfolio holdings are subject to change daily. |
Top Ten Holdings as of September 30, 2011 (as a percentage of net assets) | ||||||||
---|---|---|---|---|---|---|---|---|
Ginnie Mae, 3.500%, 02/15/41 | 9.6 | % | ||||||
Ginnie Mae, 4.000%, 06/20/41 | 4.3 | % | ||||||
Fannie Mae, 4.500%, 09/01/41 | 4.2 | % | ||||||
Ginnie Mae, 5.000%, 05/15/40 | 3.6 | % | ||||||
Fannie Mae, 4.500%, 09/01/41 | 2.2 | % | ||||||
Ginnie Mae, 5.000%, 07/20/41 | 1.9 | % | ||||||
Ginnie Mae, 3.500%, 02/15/41 | 1.9 | % | ||||||
Ginnie Mae, 5.473%, 01/20/60 | 1.8 | % | ||||||
Ginnie Mae, 5.750%, 07/20/38 | 1.4 | % | ||||||
Freddie Mac, 6.000%, 05/15/36 | 1.4 | % | ||||||
Portfolio holdings are subject to change daily. | ||||||||
PORTFOLIO MANAGERS’ REPORT | ING HIGH YIELD BOND FUND |
Sector Diversification as of September 30, 2011 (as a percentage of net assets) | |||||||
---|---|---|---|---|---|---|---|
Consumer Discretionary | 24.0 | % | |||||
Energy | 16.1 | % | |||||
Financials | 10.6 | % | |||||
Consumer Staples | 7.7 | % | |||||
Health Care | 7.6 | % | |||||
Materials | 7.3 | % | |||||
Industrials | 6.6 | % | |||||
Telecommunications | 5.6 | % | |||||
Information Technology | 4.9 | % | |||||
Utilities | 3.6 | % | |||||
Other Asset-Backed Securities | 0.9 | % | |||||
Assets in Excess of Other Liabilities* | | 5.1 |
Top Ten Holdings as of September 30, 2011* (as a percentage of net assets) | ||||||||
---|---|---|---|---|---|---|---|---|
Ally Financial, Inc., 8.000%, 03/15/20 | 1.2 | % | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17 | 1.2 | % | ||||||
Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1.0 | % | ||||||
CIT Group, Inc., 7.000%, 05/02/17 | 0.9 | % | ||||||
Intelsat Luxembourg S.A., 11.250%, 02/04/17 | 0.9 | % | ||||||
GSC Partners CDO Fund Ltd, 2.185%, 12/16/15 | 0.9 | % | ||||||
Foresight Energy LLC / Foresight Energy Corp., 9.625%, 08/15/17 | 0.8 | % | ||||||
AMC Entertainment, Inc., 9.750%, 12/01/20 | 0.8 | % | ||||||
Pinnacle Entertainment, Inc., 8.750%, 05/15/20 | 0.7 | % | ||||||
Thompson Creek Metals Co., Inc., 7.375%, 06/01/18 | 0.7 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. |
ING INTERMEDIATE BOND FUND | PORTFOLIO MANAGERS’ REPORT |
Investment Type Allocation as of September 30, 2011 (as a percentage of net assets) | ||||||||
---|---|---|---|---|---|---|---|---|
U.S. Government Agency Obligations | 37.5 | % | ||||||
U.S. Treasury Obligations | 32.4 | |||||||
Corporate Bonds/Notes | 25.1 | |||||||
Collateralized Mortgage Obligations | 10.9 | |||||||
Other Bonds | 5.9 | |||||||
Asset-Backed Securities | 5.8 | |||||||
Foreign Government Bonds | 1.1 | |||||||
Preferred Stock | 0.2 | |||||||
Liabilities in Excess of Other Assets* | (18.9 |
Portfolio Specifics: The global growth and economic recovery story lost its way during the period due to fears of a potential double-dip recession, as markets capitulated under the yoke of broken investor sentiment, weakening economic indicators and heightened concerns of a systemic debt crisis in Europe and the United States. Risk assets were shed indiscriminately, at times in favor of safe-haven U.S. Treasury and government related securities, with rates rallying substantially and spread sectors widening to recessionary levels. While spread sectors were contributors to outperformance in the first quarter of 2011, relative underperformance in the second and third quarters was largely driven by broad-based spread sector widening in response to heightened risk aversion. We reduced the Fund’s allocations to high yield and commercial mortgage backed securities (“CMBS”) in favor of higher credit quality investment grade corporate bonds and high quality agency mortgage-backed securities (“MBS”) in response to the heightened global event risk. Nevertheless, sector allocation was a detractor, as spreads, even in higher quality corporate bonds and agency mortgage-backed securities (“MBS”), widened in sympathy with riskier spread sectors like high yield and commercial mortgage backed securities (“CMBS”), and with greater velocity than we anticipated.
Top Ten Holdings as of September 30, 2011* (as a percentage of net assets) | ||||||||
---|---|---|---|---|---|---|---|---|
United States Treasury Note/Bond, 2.125%, 08/15/21 | 8.2 | % | ||||||
United States Treasury Note/Bond, 2.250%, 07/31/18 | 8.0 | % | ||||||
United States Treasury Note/Bond, 0.500%, 08/15/14 | 7.5 | % | ||||||
Fannie Mae, 4.000%, 07/25/39 | 5.4 | % | ||||||
United States Treasury Note/Bond, 1.000%, 08/31/16 | 4.3 | % | ||||||
Freddie Mac, 4.000%, 06/15/40 | 4.0 | % | ||||||
Fannie Mae, 4.500%, 10/15/35 | 3.4 | % | ||||||
Freddie Mac, 4.500%, 10/15/35 | 2.6 | % | ||||||
Brazil Notas do Tesouro Nacional Serie F, 10.000%, 01/01/15 | 1.8 | % | ||||||
Freddie Mac, 5.500%, 08/15/20 | 1.5 | % | ||||||
* Excludes short-term investments. | ||||||||
Portfolio holdings are subject to change daily. | ||||||||
(1) | Prior to September 30, 2011, the investment objective was to provide investors with a high level of current income consistent with the preservation of capital and liquidity. The Fund’s investment objective changed, effective September 30, 2011. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | ||||||||||||||||||||||||||||
ING GNMA Income Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,045.00 | 0.92 | % | $ | 4.70 | $ | 1,000.00 | $ | 1,020.46 | 0.92 | % | $ | 4.65 | |||||||||||||||||||
Class B | 1,000.00 | 1,041.20 | 1.67 | 8.47 | 1,000.00 | 1,016.70 | 1.67 | 8.37 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,042.50 | 1.67 | 8.53 | 1,000.00 | 1,016.70 | 1.67 | 8.42 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,046.50 | 0.62 | 3.17 | 1,000.00 | 1,021.96 | 0.62 | 3.13 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,046.20 | 0.67 | 3.43 | 1,000.00 | 1,021.71 | 0.67 | 3.39 | |||||||||||||||||||||||||||
ING High Yield Fund | |||||||||||||||||||||||||||||||||||
Class A | 1,000.00 | 950.60 | 1.10 | 5.36 | 1,000.00 | 1,019.55 | 1.10 | 5.55 | |||||||||||||||||||||||||||
Class B | 1,000.00 | 946.80 | 1.85 | 8.96 | 1,000.00 | 1,015.79 | 1.85 | 9.27 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 948.20 | 1.85 | 8.96 | 1,000.00 | 1,015.79 | 1.85 | 9.27 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 953.80 | 0.68 | 3.27 | 1,000.00 | 1,021.66 | 0.68 | 3.39 | |||||||||||||||||||||||||||
Class W(1) | 1,000.00 | 929.80 | 0.85 | 1.46 | 1,000.00 | 1,020.81 | 0.85 | 4.29 |
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/366 to reflect the most recent fiscal half-year. |
(1) | Commencement of operations was on July 29, 2011. Expenses paid for the Actual Fund Return reflect the 64-day period ended September 30, 2011. |
Actual Fund Return | Hypothetical (5% return before expenses) | ||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | Beginning Account Value April 1, 2011 | Ending Account Value September 30, 2011 | Annualized Expense Ratio | Expenses Paid During the Period Ended September 30, 2011* | ||||||||||||||||||||||||||||
ING Intermediate Bond Fund | |||||||||||||||||||||||||||||||||||
Class A | $ | 1,000.00 | $ | 1,045.00 | 0.67 | % | $ | 3.37 | $ | 1,000.00 | $ | 1,021.71 | 0.67 | % | $ | 3.34 | |||||||||||||||||||
Class B | 1,000.00 | 1,040.80 | 1.42 | 7.19 | 1,000.00 | 1,017.95 | 1.42 | 7.11 | |||||||||||||||||||||||||||
Class C | 1,000.00 | 1,040.90 | 1.42 | 7.19 | 1,000.00 | 1,017.95 | 1.42 | 7.11 | |||||||||||||||||||||||||||
Class I | 1,000.00 | 1,046.40 | 0.40 | 2.00 | 1,000.00 | 1,023.06 | 0.40 | 1.97 | |||||||||||||||||||||||||||
Class O | 1,000.00 | 1,043.90 | 0.67 | 3.37 | 1,000.00 | 1,021.71 | 0.67 | 3.34 | |||||||||||||||||||||||||||
Class R | 1,000.00 | 1,043.60 | 0.92 | 4.65 | 1,000.00 | 1,020.46 | 0.92 | 4.60 | |||||||||||||||||||||||||||
Class W | 1,000.00 | 1,057.70 | 0.42 | 2.16 | 1,000.00 | 1,022.96 | 0.42 | 2.12 |
* | Expenses are equal to each Fund’s respective annualized expense ratios multiplied by the average account value over the period, multiplied by 183/366 to reflect the most recent fiscal half-year. |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: | ||||||||||||||
Investments in securities at value+* | $ | 908,025,615 | $ | 104,533,681 | $ | 952,437,253 | ||||||||
Short-term investments at value*** | — | 3,566,000 | 118,386,641 | |||||||||||
Cash | 61,360,701 | 13,284 | 791,907 | |||||||||||
Cash collateral for futures | 998,500 | — | 2,905,526 | |||||||||||
Receivable for derivatives collateral (Note 2) | — | — | 3,382,000 | |||||||||||
Foreign currencies at value***** | — | 12,691 | 2,491 | |||||||||||
Receivables: | ||||||||||||||
Investments securities sold | — | 1,537,489 | 12,465,990 | |||||||||||
Investment securities sold on a delayed-delivery or when-issued basis | 158,467,030 | — | 80,456,482 | |||||||||||
Fund shares sold | 1,627,056 | 38,980 | 321,996 | |||||||||||
Dividends | — | 207 | 1,089 | |||||||||||
Interest | 3,992,083 | 2,603,569 | 5,134,407 | |||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | 5,585,194 | |||||||||||
Upfront payments paid on swap agreements | — | — | 606,799 | |||||||||||
Unrealized appreciation on swap agreements | — | — | 1,038,338 | |||||||||||
Prepaid expenses | 43,769 | 31,578 | 65,648 | |||||||||||
Reimbursement due from manager | — | 5,532 | — | |||||||||||
Total assets | 1,134,514,754 | 112,343,011 | 1,183,581,761 | |||||||||||
LIABILITIES: | ||||||||||||||
Income distribution payable | — | 681,279 | 1,736,598 | |||||||||||
Payable for investment securities purchased | — | 1,200,000 | 28,216,958 | |||||||||||
Payable for investment securities purchased on a delayed-delivery or when-issued basis | 276,966,575 | — | 240,533,877 | |||||||||||
Payable for fund shares redeemed | 12,574,200 | 57,662 | 194,110 | |||||||||||
Payable upon receipt of securities loaned | — | — | 98,811,612 | |||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | 442,936 | |||||||||||
Upfront payments received on swap agreements | — | — | 5,373,165 | |||||||||||
Unrealized depreciation on swap agreements | — | — | 4,729,930 | |||||||||||
Payable to affiliates | 617,499 | 85,818 | 287,583 | |||||||||||
Payable for trustee fees | 8,018 | 6,621 | 8,893 | |||||||||||
Payable for borrowings against line of credit | — | — | 730,000 | |||||||||||
Payable for derivatives collateral (Note 2) | — | — | 1,350,000 | |||||||||||
Other accrued expenses and liabilities | 187,626 | 92,756 | 245,648 | |||||||||||
Total liabilities | 290,353,918 | 2,124,136 | 382,661,310 | |||||||||||
NET ASSETS | $ | 844,160,836 | $ | 110,218,875 | $ | 800,920,451 | ||||||||
NET ASSETS WERE COMPRISED OF: | ||||||||||||||
Paid-in capital | $ | 800,422,037 | $ | 159,192,960 | $ | 929,167,962 | ||||||||
Undistributed (distributions in excess of) net investment income | (65,101 | ) | (147,892 | ) | 19,196,446 | |||||||||
Accumulated net realized loss | (1,923,214 | ) | (44,640,690 | ) | (156,766,814 | ) | ||||||||
Net unrealized appreciation (depreciation) | 45,727,114 | (4,185,503 | ) | 9,322,857 | ||||||||||
NET ASSETS | $ | 844,160,836 | $ | 110,218,875 | $ | 800,920,451 | ||||||||
+ Including securities loaned at value | $ | — | $ | — | $ | 96,788,834 | ||||||||
* Cost of investments in securities | $ | 862,296,366 | $ | 108,718,966 | $ | 946,066,458 | ||||||||
*** Cost of short-term investments | $ | — | $ | 3,566,000 | $ | 119,052,612 | ||||||||
***** Cost of foreign currencies | $ | — | $ | 12,907 | $ | 2,566 |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Class A | |||||||||||||||
Net assets | $ | 629,824,453 | $ | 74,553,337 | $ | 297,693,331 | |||||||||
Shares outstanding** | 69,511,754 | 10,379,897 | 30,596,506 | ||||||||||||
Net asset value and redemption price per share | $ | 9.06 | $ | 7.18 | $ | 9.73 | |||||||||
Maximum offering price per share (2.50%)+ | $ | 9.29 | $ | 7.36 | $ | 9.98 | |||||||||
Class B | |||||||||||||||
Net assets | $ | 6,160,093 | $ | 3,000,018 | $ | 5,616,820 | |||||||||
Shares outstanding** | 683,693 | 418,230 | 578,282 | ||||||||||||
Net asset value and redemption price per share† | $ | 9.01 | $ | 7.17 | $ | 9.71 | |||||||||
Class C | |||||||||||||||
Net assets | $ | 109,000,032 | $ | 10,746,152 | $ | 32,965,604 | |||||||||
Shares outstanding** | 12,090,303 | 1,496,651 | 3,392,653 | ||||||||||||
Net asset value and redemption price per share† | $ | 9.02 | $ | 7.18 | $ | 9.72 | |||||||||
Class I | |||||||||||||||
Net assets | $ | 91,509,476 | $ | 21,916,591 | $ | 331,419,323 | |||||||||
Shares outstanding** | 10,086,466 | 3,052,687 | 34,068,358 | ||||||||||||
Net asset value and redemption price per share | $ | 9.07 | $ | 7.18 | $ | 9.73 | |||||||||
Class O | |||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 41,742,126 | |||||||||
Shares outstanding** | n/a | n/a | 4,288,571 | ||||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 9.73 | |||||||||
Class R | |||||||||||||||
Net assets | $ | n/a | $ | n/a | $ | 17,157,578 | |||||||||
Shares outstanding** | n/a | n/a | 1,761,033 | ||||||||||||
Net asset value and redemption price per share | $ | n/a | $ | n/a | $ | 9.74 | |||||||||
Class W | |||||||||||||||
Net assets | $ | 7,666,782 | $ | 2,777 | $ | 74,325,669 | |||||||||
Shares outstanding** | 844,434 | 387 | 7,647,067 | ||||||||||||
Net asset value and redemption price per share | $ | 9.08 | $ | 7.18 | $ | 9.72 | |||||||||
** Unlimited shares authorized; $0.001 par value, except for share classes not available. | |||||||||||||||
+ Maximum offering price is computed at 100/97.50 of net asset value. On purchases of $100,000 or more, the offering price is reduced. | |||||||||||||||
† Redemption price per share may be reduced for any applicable deferred sales charges. |
ING GNMA Income Fund | ING High Yield Bond Fund | ING Intermediate Bond Fund | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT INCOME: | ||||||||||||||
Dividends | $ | — | $ | 1,839 | $ | 66,974 | ||||||||
Interest, net of foreign taxes withheld* | 16,081,484 | 4,933,528 | 19,110,714 | |||||||||||
Securities lending income, net | — | — | 91,552 | |||||||||||
Total investment income | 16,081,484 | 4,935,367 | 19,269,240 | |||||||||||
EXPENSES: | ||||||||||||||
Investment management fees | 1,898,811 | 314,216 | 671,163 | |||||||||||
Distribution and service fees: | ||||||||||||||
Class A | 759,947 | 104,019 | 391,160 | |||||||||||
Class B | 38,573 | 20,944 | 35,265 | |||||||||||
Class C | 529,000 | 58,635 | 165,084 | |||||||||||
Class O | — | — | 52,177 | |||||||||||
Class R | — | — | 37,325 | |||||||||||
Transfer agent fees: | ||||||||||||||
Class A | 171,037 | 74,571 | 135,272 | |||||||||||
Class B | 2,169 | 3,755 | 3,019 | |||||||||||
Class C | 29,763 | 10,508 | 14,270 | |||||||||||
Class I | 1,431 | 422 | 111,135 | |||||||||||
Class R | — | — | 6,466 | |||||||||||
Class O | — | — | 18,069 | |||||||||||
Class W | 1,902 | — | 20,020 | |||||||||||
Administrative service fees | 403,997 | 61,610 | 394,797 | |||||||||||
Shareholder reporting expense | 29,256 | 11,529 | 14,720 | |||||||||||
Registration fees | 44,441 | 38,200 | 56,668 | |||||||||||
Professional fees | 37,044 | 5,451 | 37,422 | |||||||||||
Custody and accounting expense | 54,927 | 12,627 | 94,160 | |||||||||||
Trustee fees | 12,744 | 1,200 | 11,705 | |||||||||||
Miscellaneous expense | 22,059 | 2,584 | 20,959 | |||||||||||
Interest expense | — | 36 | 4,299 | |||||||||||
Total expenses | 4,037,101 | 720,307 | 2,295,155 | |||||||||||
Net waived and reimbursed fees | — | (32,931 | ) | — | ||||||||||
Net expenses | 4,037,101 | 687,376 | 2,295,155 | |||||||||||
Net investment income | 12,044,383 | 4,247,991 | 16,974,085 | |||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||||||||||||
Net realized gain (loss) on: | ||||||||||||||
Investments | 9,204,589 | 2,400,609 | 36,444,927 | |||||||||||
Foreign currency related transactions | — | — | 2,180,608 | |||||||||||
Futures | (2,532,938 | ) | — | (5,617,259 | ) | |||||||||
Swaps | — | (3,472 | ) | (139,619 | ) | |||||||||
Written options | — | — | 222,470 | |||||||||||
Net realized gain | 6,671,651 | 2,397,137 | 33,091,127 | |||||||||||
Net change in unrealized appreciation or depreciation on: | ||||||||||||||
Investments | 16,324,993 | (12,564,288 | ) | (21,445,340 | ) | |||||||||
Foreign currency related transactions | — | (733 | ) | 5,904,477 | ||||||||||
Futures | (1,544 | ) | — | 2,132,003 | ||||||||||
Swaps | — | — | (2,750,693 | ) | ||||||||||
Written options | — | — | 46,538 | |||||||||||
Net change in unrealized appreciation or depreciation | 16,323,449 | (12,565,021 | ) | (16,113,015 | ) | |||||||||
Net realized and unrealized gain (loss) | 22,995,100 | (10,167,884 | ) | 16,978,112 | ||||||||||
Increase (decrease) in net assets resulting from operations | $ | 35,039,483 | $ | (5,919,893 | ) | $ | 33,952,197 | |||||||
* Foreign taxes withheld | $ | — | $ | — | $ | 1,530 |
ING GNMA Income Fund | ING High Yield Bond Fund | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended September 30, 2011 | Year Ended March 31, 2011 | Six Months Ended September 30, 2011 | Year Ended March 31, 2011 | |||||||||||||||
FROM OPERATIONS: | ||||||||||||||||||
Net investment income | $ | 12,044,383 | $ | 28,634,271 | $ | 4,247,991 | $ | 8,507,329 | ||||||||||
Net realized gain | 6,671,651 | 6,946,705 | 2,397,137 | 4,791,701 | ||||||||||||||
Net change in unrealized appreciation or depreciation | 16,323,449 | 3,703,788 | (12,565,021 | ) | 2,146,253 | |||||||||||||
Increase (decrease) in net assets resulting from operations | 35,039,483 | 39,284,764 | (5,919,893 | ) | 15,445,283 | |||||||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||||
Net investment income: | ||||||||||||||||||
Class A | (11,715,344 | ) | (24,627,310 | ) | (2,872,862 | ) | (6,170,719 | ) | ||||||||||
Class B | (131,714 | ) | (637,962 | ) | (127,722 | ) | (641,089 | ) | ||||||||||
Class C | (1,666,116 | ) | (3,671,286 | ) | (361,218 | ) | (746,145 | ) | ||||||||||
Class I | (1,633,108 | ) | (3,133,728 | ) | (885,118 | ) | (798,345 | ) | ||||||||||
Class W | (136,639 | ) | (346,694 | ) | (36 | ) | — | |||||||||||
Return of capital: | ||||||||||||||||||
Class A | — | — | — | (181,532 | ) | |||||||||||||
Class B | — | — | — | (14,496 | ) | |||||||||||||
Class C | — | — | — | (25,403 | ) | |||||||||||||
Class I | — | — | — | (45,501 | ) | |||||||||||||
Total distributions | (15,282,921 | ) | (32,416,980 | ) | (4,246,956 | ) | (8,623,230 | ) | ||||||||||
FROM CAPITAL SHARE TRANSACTIONS: | ||||||||||||||||||
Net proceeds from sale of shares | 143,082,664 | 252,757,052 | 20,425,896 | 61,128,322 | ||||||||||||||
Reinvestment of distributions | 13,269,144 | 27,473,342 | 2,866,144 | 6,221,442 | ||||||||||||||
156,351,808 | 280,230,394 | 23,292,040 | 67,349,764 | |||||||||||||||
Cost of shares redeemed | (116,702,136 | ) | (282,047,139 | ) | (29,315,378 | ) | (55,515,327 | ) | ||||||||||
Net increase (decrease) in net assets resulting from capital share transactions | 39,649,672 | (1,816,745 | ) | (6,023,338 | ) | 11,834,437 | ||||||||||||
Net increase (decrease) in net assets | 59,406,234 | 5,051,039 | (16,190,187 | ) | 18,656,490 | |||||||||||||
NET ASSETS: | ||||||||||||||||||
Beginning of period | 784,754,602 | 779,703,563 | 126,409,062 | 107,752,572 | ||||||||||||||
End of period | $ | 844,160,836 | $ | 784,754,602 | $ | 110,218,875 | $ | 126,409,062 | ||||||||||
Undistributed (distributions in excess of) net investment income at end of period | $ | (65,101 | ) | $ | 3,173,437 | $ | (147,892 | ) | $ | (148,927 | ) |
ING Intermediate Bond Fund | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Six Months Ended September 30, 2011 | Year Ended March 31, 2011 | ||||||||||
FROM OPERATIONS: | |||||||||||
Net investment income | $ | 16,974,085 | $ | 39,498,147 | |||||||
Net realized gain | 33,091,127 | 17,244,376 | |||||||||
Net change in unrealized appreciation or depreciation | (16,113,015 | ) | 4,058,320 | ||||||||
Increase in net assets resulting from operations | 33,952,197 | 60,800,843 | |||||||||
FROM DISTRIBUTIONS TO SHAREHOLDERS: | |||||||||||
Net investment income: | |||||||||||
Class A | (7,338,471 | ) | (15,674,008 | ) | |||||||
Class B | (137,510 | ) | (566,077 | ) | |||||||
Class C | (637,230 | ) | (1,594,653 | ) | |||||||
Class I | (8,244,615 | ) | (15,443,401 | ) | |||||||
Class O | (968,923 | ) | (1,909,958 | ) | |||||||
Class R | (323,090 | ) | (664,621 | ) | |||||||
Class W | (977,373 | ) | (113,308 | ) | |||||||
Total distributions | (18,627,212 | ) | (35,966,026 | ) | |||||||
FROM CAPITAL SHARE TRANSACTIONS: | |||||||||||
Net proceeds from sale of shares | 175,455,308 | 183,546,425 | |||||||||
Reinvestment of distributions | 14,222,685 | 29,932,608 | |||||||||
189,677,993 | 213,479,033 | ||||||||||
Cost of shares redeemed | (153,599,676 | ) | (279,861,986 | ) | |||||||
Net increase (decrease) in net assets resulting from capital share transactions | 36,078,317 | (66,382,953 | ) | ||||||||
Net increase (decrease) in net assets | 51,403,302 | (41,548,136 | ) | ||||||||
NET ASSETS: | |||||||||||
Beginning of period | 749,517,149 | 791,065,285 | |||||||||
End of period | $ | 800,920,451 | $ | 749,517,149 | |||||||
Undistributed net investment income at end of period | $ | 19,196,446 | $ | 20,849,573 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return | | Expenses before reductions/ additions | | Expenses net of fee waivers and/or recoupments if any | | Expense net of all reductions/ additions | | Net investment income (loss) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%)(1) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||
ING GNMA Income Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 8.84 | 0.14 | 0.25 | 0.39 | 0.17 | — | — | 0.17 | — | 9.06 | 4.50 | 0.92 | 0.92 | 0.92 | 3.05 | 629,824 | 190 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.75 | 0.32 | 0.13 | 0.45 | 0.36 | — | — | 0.36 | — | 8.84 | 5.26 | 0.93 | 0.93 | 0.93 | 3.63 | 593,080 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.71 | 0.33 | • | 0.07 | 0.40 | 0.36 | — | — | 0.36 | — | 8.75 | 4.68 | 0.94 | 0.94 | 0.94 | 3.83 | 589,813 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.54 | 0.37 | 0.18 | 0.55 | 0.38 | — | — | 0.38 | — | 8.71 | 6.62 | 0.96 | 0.96 | 0.96 | 4.33 | 606,856 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.35 | 0.37 | 0.20 | 0.57 | 0.38 | — | — | 0.38 | — | 8.54 | 7.00 | 0.96 | 0.96 | 0.96 | 4.45 | 515,916 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.30 | 0.37 | 0.09 | 0.46 | 0.41 | — | — | 0.41 | — | 8.35 | 5.72 | 0.95 | 0.94 | 0.94 | 4.49 | 515,469 | 99 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 8.79 | 0.12 | • | 0.24 | 0.36 | 0.14 | — | — | 0.14 | — | 9.01 | 4.12 | 1.67 | 1.67 | 1.67 | 2.30 | 6,160 | 190 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.70 | 0.26 | • | 0.13 | 0.39 | 0.30 | — | — | 0.30 | — | 8.79 | 4.48 | 1.68 | 1.68 | 1.68 | 2.90 | 11,262 | 193 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.66 | 0.27 | • | 0.06 | 0.33 | 0.29 | — | — | 0.29 | — | 8.70 | 3.89 | 1.69 | 1.69 | 1.69 | 3.08 | 25,704 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.49 | 0.30 | 0.18 | 0.48 | 0.31 | — | — | 0.31 | — | 8.66 | 5.86 | 1.71 | 1.71 | 1.71 | 3.57 | 38,718 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.30 | 0.31 | 0.19 | 0.50 | 0.31 | — | — | 0.31 | — | 8.49 | 6.24 | 1.71 | 1.71 | 1.71 | 3.70 | 45,963 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.26 | 0.30 | 0.09 | 0.39 | 0.35 | — | — | 0.35 | — | 8.30 | 4.84 | 1.70 | 1.69 | 1.69 | 3.73 | 58,568 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 8.79 | 0.10 | 0.27 | 0.37 | 0.14 | — | — | 0.14 | — | 9.02 | 4.25 | 1.67 | 1.67 | 1.67 | 2.30 | 109,000 | 190 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.71 | 0.25 | 0.13 | 0.38 | 0.30 | — | — | 0.30 | — | 8.79 | 4.38 | 1.68 | 1.68 | 1.68 | 2.88 | 104,196 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.67 | 0.27 | • | 0.06 | 0.33 | 0.29 | — | — | 0.29 | — | 8.71 | 3.92 | 1.69 | 1.69 | 1.69 | 3.09 | 103,103 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.50 | 0.30 | 0.18 | 0.48 | 0.31 | — | — | 0.31 | — | 8.67 | 5.88 | 1.71 | 1.71 | 1.71 | 3.59 | 73,209 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.31 | 0.31 | 0.20 | 0.51 | 0.32 | — | — | 0.32 | — | 8.50 | 6.23 | 1.71 | 1.71 | 1.71 | 3.70 | 36,218 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.27 | 0.31 | 0.08 | 0.39 | 0.35 | — | — | 0.35 | — | 8.31 | 4.85 | 1.70 | 1.69 | 1.69 | 3.73 | 37,280 | 99 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 8.85 | 0.18 | 0.23 | 0.41 | 0.19 | — | — | 0.19 | — | 9.07 | 4.65 | 0.62 | 0.62 | 0.62 | 3.36 | 91,509 | 190 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.76 | 0.34 | 0.14 | 0.48 | 0.39 | — | — | 0.39 | — | 8.85 | 5.57 | 0.63 | 0.63 | 0.63 | 3.92 | 68,996 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.72 | 0.36 | • | 0.07 | 0.43 | 0.39 | — | — | 0.39 | — | 8.76 | 5.00 | 0.64 | 0.64 | 0.64 | 4.15 | 52,880 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.55 | 0.39 | 0.18 | 0.57 | 0.40 | — | — | 0.40 | — | 8.72 | 6.95 | 0.65 | 0.65 | 0.65 | 4.64 | 38,908 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.35 | 0.40 | 0.20 | 0.60 | 0.40 | — | — | 0.40 | — | 8.55 | 7.42 | 0.67 | 0.67 | 0.67 | 4.74 | 21,002 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.31 | 0.40 | 0.08 | 0.48 | 0.44 | — | — | 0.44 | — | 8.35 | 5.92 | 0.65 | 0.65 | 0.65 | 4.77 | 14,181 | 99 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 8.86 | 0.18 | 0.23 | 0.41 | 0.19 | — | — | 0.19 | — | 9.08 | 4.62 | 0.67 | 0.67 | 0.67 | 3.32 | 7,667 | 190 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 8.77 | 0.35 | 0.13 | 0.48 | 0.39 | — | — | 0.39 | — | 8.86 | 5.51 | 0.68 | 0.68 | 0.68 | 3.88 | 7,221 | 193 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.73 | 0.36 | • | 0.06 | 0.42 | 0.38 | — | — | 0.38 | — | 8.77 | 4.97 | 0.66 | 0.66 | 0.66 | 4.15 | 8,204 | 114 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 8.55 | 0.39 | 0.19 | 0.58 | 0.40 | — | — | 0.40 | — | 8.73 | 7.03 | 0.65 | 0.65 | 0.65 | 4.70 | 4,180 | 39 | |||||||||||||||||||||||||||||||||||||||||||||||||||
12-17-07(4)–03-31-08 | 8.39 | 0.11 | 0.15 | 0.26 | 0.10 | — | — | 0.10 | — | 8.55 | 3.16 | 0.64 | 0.64 | 0.64 | 4.86 | 1 | 32 | |||||||||||||||||||||||||||||||||||||||||||||||||||
ING High Yield Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 7.82 | 0.27 | (0.64 | ) | (0.37 | ) | 0.27 | — | — | 0.27 | — | 7.18 | (4.94 | ) | 1.15 | 1.10 | 1.10 | �� | 6.91 | 74,553 | 42 | |||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.38 | 0.56 | 0.45 | 1.01 | 0.55 | — | 0.02 | 0.57 | — | 7.82 | 14.22 | 1.13 | 1.10 | 1.10 | 7.43 | 86,017 | 87 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.62 | 1.89 | 2.51 | 0.63 | — | 0.02 | 0.65 | — | 7.38 | 46.88 | 1.24 | 1.10 | 1.10 | 9.17 | 83,034 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.89 | 0.62 | (2.32 | ) | (1.70 | ) | 0.54 | — | 0.13 | 0.67 | — | 5.52 | (22.36 | ) | 1.25 | 1.10 | 1.10 | 9.30 | 59,307 | 75 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.99 | 0.67 | (1.10 | ) | (0.43 | ) | 0.67 | — | — | 0.67 | — | 7.89 | (5.10 | ) | 1.16 | 1.11 | 1.11 | 7.86 | 83,327 | 66 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.71 | 0.61 | 0.27 | 0.88 | 0.60 | — | — | 0.60 | — | 8.99 | 10.54 | 1.11 | 1.10 | 1.10 | 6.98 | 104,328 | 122 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 7.81 | 0.24 | (0.64 | ) | (0.40 | ) | 0.24 | — | — | 0.24 | — | 7.17 | (5.32 | ) | 1.90 | 1.85 | 1.85 | 6.10 | 3,000 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.37 | 0.51 | • | 0.44 | 0.95 | 0.49 | — | 0.02 | 0.51 | — | 7.81 | 13.35 | 1.88 | 1.85 | 1.85 | 6.74 | 6,864 | 87 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.57 | 1.87 | 2.44 | 0.57 | — | 0.02 | 0.59 | — | 7.37 | 45.58 | 1.99 | 1.85 | 1.85 | 8.46 | 12,099 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.88 | 0.58 | (2.32 | ) | (1.74 | ) | 0.49 | — | 0.13 | 0.62 | — | 5.52 | (22.86 | ) | 2.00 | 1.85 | 1.85 | 8.38 | 12 | 75 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.98 | 0.61 | (1.11 | ) | 0.50 | 0.60 | — | — | 0.60 | — | 7.88 | (5.82 | ) | 1.91 | 1.86 | 1.86 | 7.08 | 24,994 | 66 | |||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.70 | 0.53 | 0.29 | 0.82 | 0.54 | — | — | 0.54 | — | 8.98 | 9.72 | 1.86 | 1.85 | 1.85 | 6.18 | 43,427 | 122 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return | | Expenses before reductions/ additions | | Expenses net of fee waivers and/or recoupments if any | | Expense net of all reductions/ additions | | Net investment income (loss) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%)(1) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||
ING High Yield Bond Fund (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 7.81 | 0.24 | (0.63 | ) | (0.39 | ) | 0.24 | — | — | 0.24 | — | 7.18 | (5.18 | ) | 1.90 | 1.85 | 1.85 | 6.16 | 10,746 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.38 | 0.50 | 0.44 | 0.94 | 0.49 | — | 0.02 | �� | 0.51 | — | 7.81 | 13.22 | 1.88 | 1.85 | 1.85 | 6.66 | 11,938 | 87 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.52 | 0.57 | 1.89 | 2.46 | 0.58 | — | 0.02 | 0.60 | — | 7.38 | 45.82 | 1.99 | 1.85 | 1.85 | 8.40 | 11,038 | 103 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 7.89 | 0.58 | (2.33 | ) | (1.75 | ) | 0.49 | — | 0.13 | 0.62 | — | 5.52 | (22.95 | ) | 2.00 | 1.85 | 1.85 | 8.57 | 7,101 | 75 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 8.99 | 0.61 | (1.11 | ) | (0.50 | ) | 0.60 | — | — | 0.60 | — | 7.89 | (5.81 | ) | 1.91 | 1.86 | 1.86 | 7.09 | 9,987 | 66 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 8.71 | 0.54 | 0.28 | 0.82 | 0.54 | — | — | 0.54 | — | 8.99 | 9.70 | 1.86 | 1.85 | 1.85 | 6.21 | 15,487 | 122 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 7.81 | 0.28 | (0.63 | ) | (0.35 | ) | 0.28 | — | — | 0.28 | — | 7.18 | (4.62 | ) | 0.73 | 0.68 | 0.68 | 7.35 | 21,917 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 7.37 | 0.57 | • | 0.48 | 1.05 | 0.59 | — | 0.02 | 0.61 | — | 7.81 | 14.86 | 0.76 | 0.73 | 0.73 | 7.53 | 21,590 | 87 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 5.51 | 0.64 | • | 1.90 | 2.54 | 0.66 | — | 0.02 | 0.68 | — | 7.37 | 47.55 | 0.92 | 0.78 | 0.78 | 8.99 | 1,582 | 103 | ||||||||||||||||||||||||||||||||||||||||||||||||||
07-31-08(4)–03-31-09 | 7.64 | 0.37 | • | (1.92 | ) | (1.55 | ) | 0.49 | — | 0.09 | 0.58 | — | 5.51 | (20.35 | ) | 0.95 | 0.80 | 0.80 | 9.61 | 2 | 75 | |||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
07-29-11(4)–09-30-11 | 7.82 | 0.10 | (0.65 | ) | (0.55 | ) | 0.09 | — | — | 0.09 | — | 7.18 | (7.02 | ) | 0.90 | 0.85 | 0.85 | 7.65 | 3 | 42 | ||||||||||||||||||||||||||||||||||||||||||||||||
ING Intermediate Bond Fund | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.53 | 0.21 | 0.21 | 0.42 | 0.22 | — | — | 0.22 | — | 9.73 | 4.50 | 0.67 | 0.67 | 0.67 | 4.23 | 297,693 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.23 | 0.47 | • | 0.26 | 0.73 | 0.43 | — | — | 0.43 | — | 9.53 | 8.00 | 0.68 | 0.68 | 0.68 | 4.97 | 316,000 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.45 | • | 1.09 | 1.54 | 0.62 | — | — | 0.62 | — | 9.23 | 18.95 | 0.71 | 0.69 | 0.69 | 5.04 | 348,871 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.13 | 0.45 | (1.60 | ) | (1.15 | ) | 0.45 | 0.22 | — | 0.67 | — | 8.31 | (11.65 | ) | 0.72 | 0.70 | 0.70 | 4.84 | 471,185 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.23 | 0.51 | (0.15 | ) | 0.36 | 0.46 | — | — | 0.46 | — | 10.13 | 3.61 | 0.73 | 0.69 | 0.69 | 4.98 | 799,369 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.13 | 0.50 | 0.10 | 0.60 | 0.50 | — | — | 0.50 | — | 10.23 | 6.03 | 0.73 | 0.69 | 0.69 | 4.89 | 698,537 | 367 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.51 | 0.17 | 0.22 | 0.39 | 0.19 | — | — | 0.19 | — | 9.71 | 4.08 | 1.42 | 1.42 | 1.42 | 3.51 | 5,617 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.21 | 0.40 | • | 0.26 | 0.66 | 0.36 | — | — | 0.36 | — | 9.51 | 7.21 | 1.43 | 1.43 | 1.43 | 4.24 | 9,379 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.30 | 0.38 | • | 1.08 | 1.46 | 0.55 | — | — | 0.55 | — | 9.21 | 17.96 | 1.46 | 1.44 | 1.44 | 4.31 | 18,605 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.11 | 0.38 | (1.59 | ) | (1.21 | ) | 0.38 | 0.22 | — | 0.60 | — | 8.30 | (12.26 | ) | 1.47 | 1.45 | 1.45 | 4.08 | 23,721 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.21 | 0.43 | (0.14 | ) | 0.29 | 0.39 | — | — | 0.39 | — | 10.11 | 2.84 | 1.48 | 1.44 | 1.44 | 4.26 | 41,078 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.11 | 0.42 | 0.10 | 0.52 | 0.42 | — | — | 0.42 | — | 10.21 | 5.23 | 1.48 | 1.44 | 1.44 | 4.13 | 50,086 | 367 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.52 | 0.17 | 0.22 | 0.39 | 0.19 | — | — | 0.19 | — | 9.72 | 4.09 | 1.42 | 1.42 | 1.42 | 3.45 | 32,966 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.22 | 0.40 | • | 0.26 | 0.66 | 0.36 | — | — | 0.36 | — | 9.52 | 7.21 | 1.43 | 1.43 | 1.43 | 4.22 | 33,994 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.30 | 0.38 | • | 1.09 | 1.47 | 0.55 | — | — | 0.55 | — | 9.22 | 18.08 | 1.46 | 1.44 | 1.44 | 4.31 | 45,016 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.12 | 0.38 | (1.60 | ) | (1.22 | ) | 0.38 | 0.22 | — | 0.60 | — | 8.30 | (12.35 | ) | 1.47 | 1.45 | 1.45 | 4.08 | 53,534 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.22 | 0.43 | (0.14 | ) | 0.29 | 0.39 | — | — | 0.39 | — | 10.12 | 2.85 | 1.48 | 1.44 | 1.44 | 4.24 | 83,232 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.12 | 0.42 | 0.10 | 0.52 | 0.42 | — | — | 0.42 | — | 10.22 | 5.24 | 1.48 | 1.44 | 1.44 | 4.13 | 81,556 | 367 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.53 | 0.22 | 0.22 | 0.44 | 0.24 | — | — | 0.24 | — | 9.73 | 4.64 | 0.40 | 0.40 | 0.40 | 4.47 | 331,419 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.23 | 0.50 | 0.26 | 0.76 | 0.46 | — | — | 0.46 | — | 9.53 | 8.35 | 0.38 | 0.38 | 0.38 | 5.25 | 332,193 | 384 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.48 | • | 1.09 | 1.57 | 0.65 | — | — | 0.65 | — | 9.23 | 19.33 | 0.39 | 0.37 | 0.37 | 5.37 | 316,209 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.14 | 0.48 | (1.61 | ) | (1.13 | ) | 0.48 | 0.22 | — | 0.70 | — | 8.31 | (11.42 | ) | 0.39 | 0.37 | 0.37 | 5.17 | 362,162 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.23 | 0.54 | (0.13 | ) | 0.41 | 0.50 | — | — | 0.50 | — | 10.14 | 4.05 | 0.39 | 0.35 | 0.38 | 5.31 | 351,575 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.14 | 0.53 | 0.09 | 0.62 | 0.53 | — | — | 0.53 | — | 10.23 | 6.26 | 0.40 | 0.36 | 0.36 | 5.22 | 266,596 | 367 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class O | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.54 | 0.20 | 0.22 | 0.42 | 0.23 | — | — | 0.23 | — | 9.73 | 4.39 | 0.67 | 0.67 | 0.67 | 4.20 | 41,742 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.24 | 0.47 | • | 0.26 | 0.73 | 0.43 | — | — | 0.43 | — | 9.54 | 8.00 | 0.68 | 0.68 | 0.68 | 4.96 | 41,335 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.32 | 0.46 | • | 1.08 | 1.54 | 0.62 | — | — | 0.62 | — | 9.24 | 18.94 | 0.71 | 0.69 | 0.69 | 5.09 | 41,860 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.14 | 0.45 | (1.60 | ) | (1.15 | ) | 0.45 | 0.22 | — | 0.67 | — | 8.32 | (11.62 | ) | 0.72 | 0.70 | 0.70 | 4.84 | 39,188 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.24 | 0.51 | (0.15 | ) | 0.36 | 0.46 | — | — | 0.46 | — | 10.14 | 3.61 | 0.73 | 0.69 | 0.69 | 4.99 | 55,956 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.14 | 0.50 | 0.09 | 0.59 | 0.49 | — | — | 0.49 | — | 10.24 | 6.02 | 0.73 | 0.69 | 0.69 | 4.88 | 53,096 | 367 |
Income (loss) from investment operations | Less Distributions | Ratios to average net assets | Supplemental Data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Net asset value, beginning of year or period | | Net investment income (loss) | | Net realized and unrealized gain (loss) | | Total from investment operations | | From net investment income | | From net realized gains | | From return of capital | | Total distributions | | Payment by affiliate | | Net asset value, end of year or period | | Total Return | | Expenses before reductions/ additions | | Expenses net of fee waivers and/or recoupments if any | | Expense net of all reductions/ additions | | Net investment income (loss) | | Net assets, end of year or period | | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||||
Year or period ended | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | ($) | | (%)(1) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | (%)(2)(3) | | ($000’s) | | (%) | |||||||||||||||||||||||||||||||||||
ING Intermediate Bond Fund (continued) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.54 | 0.19 | 0.22 | 0.41 | 0.21 | — | — | 0.21 | — | 9.74 | 4.36 | 0.92 | 0.92 | 0.92 | 3.94 | 17,158 | 239 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.24 | 0.45 | • | 0.25 | 0.70 | 0.40 | — | — | 0.40 | — | 9.54 | 7.72 | 0.93 | 0.93 | 0.93 | 4.72 | 14,339 | 384 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.32 | 0.43 | • | 1.09 | 1.52 | 0.60 | — | — | 0.60 | — | 9.24 | 18.64 | 0.96 | 0.94 | 0.94 | 4.83 | 18,417 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.15 | 0.43 | (1.61 | ) | (1.18 | ) | 0.43 | 0.22 | — | 0.65 | — | 8.32 | (11.93 | ) | 0.97 | 0.95 | 0.95 | 4.59 | 18,240 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
03-31-08 | 10.25 | 0.48 | (0.14 | ) | 0.34 | 0.44 | — | — | 0.44 | — | 10.15 | 3.36 | 0.98 | 0.94 | 0.94 | 4.65 | 16,773 | 435 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-07 | 10.15 | 0.47 | 0.10 | 0.57 | 0.47 | — | — | 0.47 | — | 10.25 | 5.75 | 0.98 | 0.94 | 0.94 | 4.63 | 5,572 | 367 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Class W | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
09-30-11 | 9.52 | 0.22 | • | 0.32 | 0.54 | 0.34 | — | — | 0.34 | — | 9.72 | 5.77 | 0.42 | 0.42 | 0.42 | 4.49 | 74,326 | 239 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-11 | 9.22 | 0.48 | 0.27 | 0.75 | 0.45 | — | — | 0.45 | — | 9.52 | 8.29 | 0.43 | 0.43 | 0.43 | 5.21 | 2,276 | 384 | |||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-10 | 8.31 | 0.48 | • | 1.08 | 1.56 | 0.65 | — | — | 0.65 | — | 9.22 | 19.15 | 0.42 | 0.40 | 0.40 | 5.42 | 2,087 | 540 | ||||||||||||||||||||||||||||||||||||||||||||||||||
03-31-09 | 10.12 | 0.45 | (1.53 | ) | (1.08 | ) | 0.51 | 0.22 | — | 0.73 | — | 8.31 | (11.03 | ) | 0.39 | 0.37 | 0.37 | 5.09 | 2,079 | 674 | ||||||||||||||||||||||||||||||||||||||||||||||||
12-17-07(4)–03-31-08 | 10.21 | 0.15 | (0.05 | ) | 0.10 | 0.19 | — | — | 0.19 | — | 10.12 | 0.98 | 0.48 | 0.44 | 0.44 | 5.24 | 443 | 435 |
(1) | Total return is calculated assuming reinvestment of all dividends, capital gain distributions and return of capital distributions, if any, at net asset value and does not reflect the effect of insurance contract charges. Total return for periods less than one year is not annualized. |
(2) | Annualized for periods less than one year. |
(3) | Expense ratios reflect operating expenses of a Fund. Expenses before reductions/additions do not reflect amounts reimbursed by an Investment Adviser and/or Distributor or reductions from brokerage service arrangements or other expense offset arrangements and do not represent the amount paid by a Fund during periods when reimbursements or reductions occur. Expenses net of fee waivers reflect expenses after reimbursement by an Investment Adviser and/or Distributor but prior to reductions from brokerage service arrangements or other expense offset arrangements. Expenses net of all reductions/additions represent the net expenses paid by a Fund. Net investment income (loss) is net of all such additions or reductions. |
(4) | Commencement of operations. |
• | Calculated using average number of shares outstanding throughout the period. |
calculated, such event may cause the closing price on the foreign exchange to not represent a readily available reliable market value quotation for such securities at the time a Fund determines its NAV. In such a case, a Fund will use the fair value of such securities as determined under a Fund’s valuation procedures. Events after the close of trading on a foreign market that could require a Fund to fair value some or all of its foreign securities include, among others, securities trading in the U.S. and other markets, corporate announcements, natural and other disasters, and political and other events. Among other elements of analysis in the determination of a security’s fair value, the Board has authorized the use of one or more independent research services to assist with such determinations. An independent research service may use statistical analyses and quantitative models to help determine fair value as of the time a Fund calculates its NAV. There can be no assurance that such models accurately reflect the behavior of the applicable markets or the effect of the behavior of such markets on the fair value of securities, or that such markets will continue to behave in a fashion that is consistent with such models. Unlike the closing price of a security on an exchange, fair value determinations employ elements of judgment. Consequently, the fair value assigned to a security may not represent the actual value that a Fund could obtain if it were to sell the security at the time of the close of the New York Stock Exchange (“NYSE”). Pursuant to procedures adopted by the Board, a Fund is not obligated to use the fair valuations suggested by any research service, and valuation recommendations provided by such research services may be overridden if other events have occurred or if other fair valuations are determined in good faith to be more accurate. Unless an event is such that it causes a Fund to determine that the closing prices for one or more securities do not represent readily available reliable fair value quotations at the time a Fund determines its NAV, events that occur between the time of the close of the foreign market on which they are traded and the close of regular trading on the NYSE will not be reflected in a Fund’s NAV.
(1) | Market value of investment securities, other assets and liabilities — at the exchange rates prevailing at the end of the day. |
(2) | Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions. |
such securities are recorded net of foreign withholding tax.
in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Funds. Associated risks can be different for each type of derivative and are discussed by each derivative type in the following notes.
to protect its non-U.S. dollar-denominated holdings from adverse currency movements.
being invested by a Fund. The underlying collateral is valued daily on a mark to market basis to assure that the value, including accrued interest is at least equal to the repurchase price. There would be potential loss to a Fund in the event a Fund is delayed or prevented from exercising its right to dispose of the collateral, and it may incur disposition costs in liquidating the collateral.
date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain or loss.
equivalent (i.e. buying protection on an equivalent reference entity).
Intermediate Bond had entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate (“Long interest rate swap”) in order to increase exposure to interest rate risk. Average notional amounts on long interest rate swaps was $52,285,554. For the period ended September 30, 2011, Intermediate Bond had entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate (“Short interest rate swap”) in order to decrease exposure to interest rate risk. Average notional amounts on short interest rate swaps was $58,444,000. Intermediate Bond entered into interest rate swaps to adjust interest rate and yield curve exposures and to substitute for physical fixed-income securities. Please refer to the table following the Summary Portfolio of Investments for open interest rate swaps at September 30, 2011.
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 9,854,099 | $ | — | ||||||
High Yield Bond | 49,759,835 | 53,529,959 | ||||||||
Intermediate Bond | 346,093,164 | 490,051,583 |
Purchases | Sales | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 1,730,686,826 | $ | 1,673,845,170 | ||||||
Intermediate Bond | 1,888,570,026 | 1,605,268,759 |
Class A | Class B | Class C | Class O | Class R | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | 0.25 | % | 1.00 | % | 1.00 | % | N/A | N/A | ||||||||||||||
High Yield Bond | 0.25 | % | 1.00 | % | 1.00 | % | N/A | N/A | ||||||||||||||
Intermediate Bond | 0.25 | % | 1.00 | % | 1.00 | % | 0.25 | % | 0.50 | % |
Initial Sales Charges: | Class A Shares | Class C Shares | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
GNMA | $ | 21,267 | N/A | |||||||
High Yield | 2,345 | N/A | ||||||||
Intermediate Bond | 3,883 | N/A | ||||||||
Contingent Deferred Sales Charges: | ||||||||||
GNMA | $ | 21 | $ | 2,386 | ||||||
High Yield | — | — | ||||||||
Intermediate Bond | 23 | 5 |
Portfolio | Accrued Unified/ Investment Management Fees | Accrued Administrative Fees | Accrued Shareholder Service and Distribution Fees | Total | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income Fund | $ | 324,939 | $ | 69,135 | $ | 223,425 | $ | 617,499 | ||||||||||
High Yield Bond Fund | 48,575 | 9,524 | 27,719 | 85,818 | ||||||||||||||
Intermediate Bond Fund | 113,064 | 66,507 | 108,012 | 287,583 |
Portfolio | Class A | Class B | Class C | Class I | Class O | Class R | Class W | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income Fund | 0.97 | % | 1.72 | % | 1.72 | % | 0.67 | % | — | % | — | % | 0.72 | % | ||||||||||||||||
High Yield Bond Fund | 1.10 | % | 1.85 | % | 1.85 | % | 0.85 | % | — | % | — | % | 0.85 | % | ||||||||||||||||
Intermediate Bond Fund | 0.75 | % | 1.50 | % | 1.50 | % | 0.50 | % | 0.75 | % | 1.00 | % | 0.50 | % |
9/30/2012 | 9/30/2013 | 9/30/2014 | Total | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond | $ | 154,898 | $ | 90,064 | $ | 32,931 | $ | 277,893 | ||||||||||
Intermediate Bond | 201,054 | — | — | 201,054 |
Portfolio | Days Utilized | Approximate Average Daily Balance For Days Utilized | Approximate Weighted Average Interest Rate For Days Utilized | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
High Yield Bond Fund | 1 | $ | 1,065,000 | 1.24% | ||||||||||
Intermediate Bond Fund | 43 | 2,723,488 | 1.34% |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | 242 | $ | 342,935 | |||||||
Options Purchased | 482 | 227,143 | ||||||||
Options Terminated in Closing Sell Transactions | (724 | ) | (570,078 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 09/30/11 | — | $ | — |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | — | $ | — | |||||||
Options Purchased | 31,900,000 | 192,041 | ||||||||
Options Terminated in Closing Sell Transactions | (15,300,000 | ) | (102,816 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | (16,600,000 | ) | (89,225 | ) | ||||||
Balance at 09/30/11 | — | $ | — |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | — | $ | — | |||||||
Options Purchased | 53,997,000 | 188,990 | ||||||||
Options Terminated in Closing Sell Transactions | (53,997,000 | ) | (188,990 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 09/30/11 | — | $ | — |
Number of Contracts | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | 242 | $ | 138,744 | |||||||
Options Purchased | 482 | 51,513 | ||||||||
Options Terminated in Closing Sell Transactions | (724 | ) | (190,257 | ) | ||||||
Options Exercised | — | — | ||||||||
Options Expired | — | — | ||||||||
Balance at 09/30/11 | — | $ | — |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | — | $ | — | |||||||
Options Purchased | (31,900,000 | ) | (91,009 | ) | ||||||
Options Terminated in Closing Sell Transactions | 15,300,000 | 27,846 | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | 16,600,000 | 63,163 | ||||||||
Balance at 09/30/11 | — | $ | — |
Notional Amount | Cost | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Balance at 03/31/11 | — | $ | — | |||||||
Options Purchased | 53,997,000 | 188,990 | ||||||||
Options Terminated in Closing Sell Transactions | — | — | ||||||||
Options Exercised | — | — | ||||||||
Options Expired | (53,997,000 | ) | (188,990 | ) | ||||||
Balance at 09/30/11 | — | $ | — |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
ING GNMA Income Fund | |||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 10,688,846 | — | 1,159,973 | (9,447,182 | ) | 2,401,637 | 96,401,752 | — | 10,394,505 | (84,983,488 | ) | 21,812,769 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 18,504,611 | — | 2,445,141 | (21,233,387 | ) | (283,635 | ) | 164,417,869 | — | 21,639,688 | (188,250,654 | ) | (2,193,097 | ) | |||||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 24,139 | — | 11,688 | (633,656 | ) | (597,829 | ) | 217,406 | — | 103,946 | (5,628,408 | ) | (5,307,056 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 36,609 | — | 55,994 | (1,764,623 | ) | (1,672,020 | ) | 323,505 | — | 493,030 | (15,559,560 | ) | (14,743,025 | ) | |||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 1,374,975 | — | 135,954 | (1,269,115 | ) | 241,814 | 12,328,063 | — | 1,212,800 | (11,337,512 | ) | 2,203,351 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 4,030,435 | — | 283,015 | (4,301,794 | ) | 11,656 | 35,705,363 | — | 2,494,291 | (37,914,742 | ) | 284,912 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 3,410,759 | — | 158,500 | (1,280,253 | ) | 2,289,006 | 30,762,625 | — | 1,422,882 | (11,523,721 | ) | 20,661,786 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 5,309,047 | — | 286,168 | (3,833,200 | ) | 1,762,015 | 47,286,190 | — | 2,536,951 | (33,952,716 | ) | 15,870,425 | |||||||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 373,360 | — | 15,045 | (359,321 | ) | 29,084 | 3,372,818 | — | 135,011 | (3,229,007 | ) | 278,822 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 563,741 | — | 34,877 | (718,850 | ) | (120,232 | ) | 5,024,125 | — | 309,382 | (6,369,467 | ) | (1,035,960 | ) |
Shares sold | Shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) in shares outstanding | Shares sold | Proceeds from shares issued in merger | Reinvestment of distributions | Shares redeemed | Net increase (decrease) | ||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Year or period ended | # | # | # | # | # | ($) | ($) | ($) | ($) | ($) | |||||||||||||||||||||||||||||||||||||
ING High Yield Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 1,496,212 | — | 237,469 | (2,357,713 | ) | (624,032 | ) | 11,588,727 | — | 1,842,079 | (18,061,106 | ) | (4,630,300 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 4,221,124 | — | 582,319 | (5,052,976 | ) | (249,533 | ) | 31,528,957 | — | 4,400,242 | (37,776,855 | ) | (1,847,656 | ) | |||||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 16,448 | — | 10,888 | (488,060 | ) | (460,724 | ) | 126,348 | — | 84,531 | (3,809,800 | ) | (3,598,921 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 79,800 | — | 62,984 | (905,113 | ) | (762,329 | ) | 595,373 | — | 472,981 | (6,815,808 | ) | (5,747,454 | ) | |||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 171,305 | — | 27,799 | (230,094 | ) | (30,990 | ) | 1,329,403 | — | 215,510 | (1,771,558 | ) | (226,645 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 397,852 | — | 71,615 | (438,163 | ) | 31,304 | 3,011,775 | — | 540,373 | (3,314,772 | ) | 237,376 | |||||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 948,436 | — | 93,545 | (752,546 | ) | 289,435 | 7,378,418 | — | 724,002 | (5,672,914 | ) | 2,429,506 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 3,422,861 | — | 105,301 | (979,473 | ) | 2,548,689 | 25,992,217 | — | 807,846 | (7,607,892 | ) | 19,192,171 | |||||||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||||||
7/29/2011(1)–9/30/2011 | 384 | — | 3 | — | 387 | 3,000 | — | 22 | — | 3,022 | |||||||||||||||||||||||||||||||||||||
ING Intermediate Bond Fund | |||||||||||||||||||||||||||||||||||||||||||||||
Class A | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 3,959,799 | — | 636,026 | (7,148,549 | ) | (2,552,724 | ) | 38,371,136 | — | 6,148,891 | (69,145,230 | ) | (24,625,203 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 7,129,198 | — | 1,488,918 | (13,255,546 | ) | (4,637,430 | ) | 67,433,425 | — | 14,090,479 | (125,623,492 | ) | (44,099,588 | ) | |||||||||||||||||||||||||||||||||
Class B | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 28,669 | — | 10,152 | (446,493 | ) | (407,672 | ) | 277,958 | — | 97,938 | (4,312,795 | ) | (3,936,899 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 94,373 | — | 46,546 | (1,174,144 | ) | (1,033,225 | ) | 892,369 | — | 438,794 | (11,114,683 | ) | (9,783,520 | ) | |||||||||||||||||||||||||||||||||
Class C | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 288,118 | — | 42,514 | (509,505 | ) | (178,873 | ) | 2,799,477 | — | 410,360 | (4,929,017 | ) | (1,719,180 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 446,057 | — | 115,401 | (1,872,281 | ) | (1,310,823 | ) | 4,198,381 | — | 1,089,771 | (17,694,919 | ) | (12,406,767 | ) | |||||||||||||||||||||||||||||||||
Class I | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 5,405,934 | — | 661,056 | (6,853,673 | ) | (786,683 | ) | 52,585,788 | — | 6,391,141 | (66,599,267 | ) | (7,622,338 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 10,667,680 | — | 1,410,739 | (11,470,021 | ) | 608,398 | 101,428,879 | — | 13,357,971 | (108,520,351 | ) | 6,266,499 | |||||||||||||||||||||||||||||||||||
Class O | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 218,004 | — | 8,257 | (272,246 | ) | (45,985 | ) | 2,111,328 | — | 79,900 | (2,637,992 | ) | (446,764 | ) | |||||||||||||||||||||||||||||||||
3/31/2011 | 510,135 | — | 19,848 | (727,653 | ) | (197,670 | ) | 4,836,398 | — | 187,918 | (6,903,950 | ) | (1,879,634 | ) | |||||||||||||||||||||||||||||||||
Class R | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 483,572 | — | 30,042 | (254,878 | ) | 258,736 | 4,696,876 | — | 290,941 | (2,480,601 | ) | 2,507,216 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 391,554 | — | 69,698 | (951,226 | ) | (489,974 | ) | 3,722,992 | — | 660,288 | (8,985,020 | ) | (4,601,740 | ) | |||||||||||||||||||||||||||||||||
Class W | |||||||||||||||||||||||||||||||||||||||||||||||
9/30/2011 | 7,685,079 | — | 83,147 | (360,172 | ) | 7,408,054 | 74,612,745 | — | 803,514 | (3,494,774 | ) | 71,921,485 | |||||||||||||||||||||||||||||||||||
3/31/2011 | 108,973 | — | 11,343 | (107,526 | ) | 12,790 | 1,033,981 | — | 107,387 | (1,019,571 | ) | 121,797 |
(1) | Commencement of operations |
Fund | Security | Fair Value | ||||||
---|---|---|---|---|---|---|---|---|
Intermediate Bond | Greater Ohio Ethanol, LLC, 6.301%, due 12/31/13 | $ | — | |||||
Greater Ohio Ethanol, LLC, 12.630%, due 12/31/13 | — | |||||||
Twin Reefs Pass-Through Trust, 0.000%, due 12/10/49 | — |
Six Months Ended September 30, 2011 | Year Ended March 31, 2011 | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ordinary Income | Ordinary Income | Return of Capital | |||||||||||||
GNMA Income | $ | 15,282,921 | $ | 32,416,980 | $ | — | |||||||||
High Yield Bond | 4,246,956 | 8,356,298 | 266,932 | ||||||||||||
Intermediate Bond | 18,627,212 | 35,966,026 | — |
Undistributed Ordinary Income | Post October Unrealized Appreciation/ Depreciation | Post-October Capital Losses Deferred | Currency Losses Deferred | Capital Loss Carryforwards | Expiration Dates | ||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | $ | 3,173,437 | $ | 29,399,440 | $ | (3,361,584 | ) | $ | — | $ | (2,328,715 | ) | 2014 | ||||||||||||
(1,506,711 | ) | 2016 | |||||||||||||||||||||||
(1,393,630 | ) | 2017 | |||||||||||||||||||||||
$ | (5,229,056 | ) | |||||||||||||||||||||||
High Yield Bond | — | 8,379,457 | — | — | (5,986,296 | ) | 2012 | ||||||||||||||||||
(126,079 | ) | 2014 | |||||||||||||||||||||||
(16,938,959 | ) | 2015 | |||||||||||||||||||||||
(9,006,267 | ) | 2017 | |||||||||||||||||||||||
(14,980,165 | ) | 2018 | |||||||||||||||||||||||
$ | (47,037,766 | ) | |||||||||||||||||||||||
Intermediate Bond | 22,582,814 | 26,672,661 | (816,435 | ) | (3,379,454 | ) | (188,456,343 | ) | 2018 |
Portfolio | Value of Securities Loaned | Cash Collateral Received | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Intermediate Bond Fund | $ | 96,788,834 | $ | 98,811,612 |
* | Cash collateral received was invested in the BICR Fund, the fair value of which is presented in the Portfolio’s Summary Portfolio of Investments. |
Per Share Amount | Payable Date | Record Date | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
GNMA Income | ||||||||||||
Class A | $ | 0.0291 | October 4, 2011 | September 30, 2011 | ||||||||
Class B | $ | 0.0235 | October 4, 2011 | September 30, 2011 | ||||||||
Class C | $ | 0.0236 | October 4, 2011 | September 30, 2011 | ||||||||
Class I | $ | 0.0313 | October 4, 2011 | September 30, 2011 | ||||||||
Class W | $ | 0.0309 | October 4, 2011 | September 30, 2011 | ||||||||
Class A | $ | 0.0291 | November 2, 2011 | October 31, 2011 | ||||||||
Class B | $ | 0.0233 | November 2, 2011 | October 31, 2011 | ||||||||
Class C | $ | 0.0235 | November 2, 2011 | October 31, 2011 | ||||||||
Class I | $ | 0.0312 | November 2, 2011 | October 31, 2011 | ||||||||
Class W | $ | 0.0310 | November 2, 2011 | October 31, 2011 | ||||||||
High Yield Bond | ||||||||||||
Class A | $ | 0.0425 | November 1, 2011 | Daily | ||||||||
Class B | $ | 0.0376 | November 1, 2011 | Daily | ||||||||
Class C | $ | 0.0379 | November 1, 2011 | Daily | ||||||||
Class I | $ | 0.0451 | November 1, 2011 | Daily | ||||||||
Class W | $ | 0.0439 | November 1, 2011 | Daily | ||||||||
Intermediate Bond | ||||||||||||
Class A | $ | 0.0571 | November 1, 2011 | Daily | ||||||||
Class B | $ | 0.0512 | November 1, 2011 | Daily | ||||||||
Class C | $ | 0.0513 | November 1, 2011 | Daily | ||||||||
Class I | $ | 0.0591 | November 1, 2011 | Daily | ||||||||
Class O | $ | 0.0570 | November 1, 2011 | Daily | ||||||||
Class R | $ | 0.0550 | November 1, 2011 | Daily | ||||||||
Class W | $ | 0.0591 | November 1, 2011 | Daily |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: 107.6% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.5%## | |||||||||||||||||||
1,214,843 | ˆ | 7.750%, due 10/25/23 | $ | 272,330 | 0.0 | ||||||||||||||
10,045,020 | 6.000%, due 05/15/36 | 11,928,065 | 1.4 | ||||||||||||||||
41,014,881 | ˆ | 0.500%–9.500%, due 11/01/14–08/01/38 | 17,252,565 | 2.1 | |||||||||||||||
29,452,960 | 3.5 | ||||||||||||||||||
Federal National Mortgage Association: 11.2%## | |||||||||||||||||||
4,945,072 | 4.500%, due 07/01/41 | 5,254,396 | 0.6 | ||||||||||||||||
32,837,000 | 4.500%, due 09/01/41 | 34,891,021 | 4.2 | ||||||||||||||||
17,731,054 | 4.500%, due 09/01/41 | 18,840,168 | 2.2 | ||||||||||||||||
5,450,072 | 6.000%, due 06/25/29 | 6,108,419 | 0.7 | ||||||||||||||||
4,825,878 | 6.500%, due 07/25/34 | 5,335,809 | 0.6 | ||||||||||||||||
20,554,682 | 5.300%–10.437%, due 06/01/14–12/25/45 | 24,105,408 | 2.9 | ||||||||||||||||
94,535,221 | 11.2 | ||||||||||||||||||
Government National Mortgage Association: 92.9% | |||||||||||||||||||
89,176,070 | ˆ | 0.882%, due 01/16/50 | 4,514,218 | 0.5 | |||||||||||||||
99,351,981 | ˆ | 1.097%, due 01/16/51 | 5,214,101 | 0.6 | |||||||||||||||
77,500,000 | W | 3.500%, due 02/15/41 | 80,672,656 | 9.6 | |||||||||||||||
15,000,000 | W | 3.500%, due 02/15/41 | 15,675,000 | 1.9 | |||||||||||||||
33,599,000 | 4.000%, due 06/20/41 | 35,945,678 | 4.3 | ||||||||||||||||
4,194,046 | 4.500%, due 10/15/39 | 4,575,554 | 0.5 | ||||||||||||||||
4,285,170 | 4.500%, due 11/15/39 | 4,674,968 | 0.6 | ||||||||||||||||
3,654,791 | 4.500%, due 11/15/39 | 3,987,247 | 0.5 | ||||||||||||||||
4,741,661 | 4.500%, due 02/20/40 | 5,149,275 | 0.6 | ||||||||||||||||
4,249,612 | 4.861%, due 06/20/61 | 4,665,154 | 0.6 | ||||||||||||||||
4,660,102 | 5.000%, due 10/20/34 | 5,415,221 | 0.6 | ||||||||||||||||
3,775,350 | 5.000%, due 11/20/35 | 4,173,491 | 0.5 | ||||||||||||||||
37,468,383 | ˆ | 5.000%, due 04/20/37 | 4,724,864 | 0.6 | |||||||||||||||
7,467,451 | 5.000%, due 01/20/39 | 8,001,197 | 0.9 | ||||||||||||||||
4,684,037 | 5.000%, due 11/15/39 | 5,186,435 | 0.6 | ||||||||||||||||
4,767,089 | 5.000%, due 12/20/39 | 5,289,928 | 0.6 | ||||||||||||||||
27,389,477 | 5.000%, due 05/15/40 | 30,267,290 | 3.6 | ||||||||||||||||
9,660,989 | 5.000%, due 07/20/40 | 10,628,493 | 1.3 | ||||||||||||||||
10,125,442 | 5.000%, due 06/15/41 | 11,148,188 | 1.3 | ||||||||||||||||
6,941,468 | 5.000%, due 06/20/41 | 7,636,625 | 0.9 | ||||||||||||||||
14,616,523 | 5.000%, due 07/20/41 | 16,080,301 | 1.9 | ||||||||||||||||
4,372,558 | 5.000%, due 09/15/41 | 4,814,219 | 0.6 | ||||||||||||||||
8,100,000 | 5.250%, due 01/20/38 | 9,408,925 | 1.1 | ||||||||||||||||
13,484,574 | 5.473%, due 01/20/60 | 15,068,846 | 1.8 | ||||||||||||||||
4,039,993 | 5.500%, due 11/15/33 | 4,490,204 | 0.5 | ||||||||||||||||
3,954,016 | 5.500%, due 03/16/34 | 4,692,772 | 0.6 | ||||||||||||||||
4,048,764 | 5.500%, due 08/15/35 | 4,491,096 | 0.5 | ||||||||||||||||
7,627,938 | 5.500%, due 12/16/35 | 9,054,852 | 1.1 | ||||||||||||||||
9,750,000 | 5.500%, due 03/16/36 | 10,622,448 | 1.3 | ||||||||||||||||
7,934,000 | 5.500%, due 04/20/36 | 8,739,212 | 1.0 | ||||||||||||||||
7,197,000 | 5.500%, due 09/20/36 | 7,989,834 | 0.9 | ||||||||||||||||
3,719,305 | 5.500%, due 10/20/37 | 4,378,474 | 0.5 | ||||||||||||||||
5,175,057 | 5.500%, due 11/20/37 | 6,027,070 | 0.7 | ||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
6,314,613 | 5.670%, due 12/15/40 | $ | 6,330,737 | 0.8 | |||||||||||||||
10,800,000 | 5.750%, due 07/20/38 | 12,196,226 | 1.4 | ||||||||||||||||
5,508,877 | 5.950%, due 02/15/44 | 6,099,983 | 0.7 | ||||||||||||||||
8,231,242 | 6.000%, due 07/20/34 | 9,236,971 | 1.1 | ||||||||||||||||
5,552,000 | 6.000%, due 07/20/37 | 6,592,862 | 0.8 | ||||||||||||||||
48,385,746 | ˆ | 6.121%, due 04/16/39 | 5,746,765 | 0.7 | |||||||||||||||
4,764,148 | 6.500%, due 01/20/39 | 5,390,880 | 0.6 | ||||||||||||||||
6,345,614 | 7.000%, due 10/20/38 | 7,373,408 | 0.9 | ||||||||||||||||
6,254,714 | 7.200%, due 03/15/39 | 6,906,417 | 0.8 | ||||||||||||||||
4,003,412 | 7.350%, due 03/15/43 | 4,420,554 | 0.5 | ||||||||||||||||
3,870,232 | 7.500%, due 02/20/34 | 4,238,189 | 0.5 | ||||||||||||||||
599,014,613 | ˆ,* | 0.250%–31.591%, due 05/15/16–10/16/52 | 346,098,627 | 41.0 | |||||||||||||||
784,035,455 | 92.9 | ||||||||||||||||||
Other U.S. Agency Obligations: 0.0% | |||||||||||||||||||
1,966 | 8.250%, due 11/01/11 | 1,979 | 0.0 | ||||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $862,296,366) | 908,025,615 | 107.6 | |||||||||||||||||
Liabilities in Excess of Other Assets | (63,864,779 | ) | (7.6 | ) | |||||||||||||||
Net Assets | $ | 844,160,836 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
W | Settlement is on a when-issued or delayed-delivery basis. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
* | Represents issues not identified as the Top 50 holdings in terms of market value and issues or issuers not exceeding 1% of net assets individually or in the aggregate as of September 30, 2011. |
Cost for federal income tax purposes is $862,517,525. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 47,480,124 | |||||
Gross Unrealized Depreciation | (1,972,034 | ) | |||||
Net Unrealized Appreciation | $ | 45,508,090 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 9/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
U.S. Government Agency Obligations | $ | — | $ | 908,025,615 | $ | — | $ | 908,025,615 | ||||||||||
Total Investments, at value | $ | — | $ | 908,025,615 | $ | — | $ | 908,025,615 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+: | ||||||||||||||||||
Futures | $ | (1,544 | ) | $ | — | $ | — | $ | (1,544 | ) | ||||||||
Total Liabilities | $ | (1,544 | ) | $ | — | $ | — | $ | (1,544 | ) |
Beginning Balance 3/31/2011 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 9/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
U.S. Government Agency Obligations | $ | 5,450,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (5,450,000 | ) | $ | — | |||||||||||||||||||
Total Investments, at value | $ | 5,450,000 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (5,450,000 | ) | $ | — |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | 27 | 12/20/11 | $ | 3,512,531 | $ | (1,544 | ) | |||||||||||
$ | 3,512,531 | $ | (1,544 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Liability Derivatives | ||||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | $ | 1,544 | |||||||
Total Liability Derivatives | $ | 1,544 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||||||
Interest rate contracts | $ | (2,532,938 | ) | |||||||
Total | $ | (2,532,938 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Futures | |||||||||
Interest rate contracts | $ | (1,544 | ) | |||||||
Total | $ | (1,544 | ) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 94.0% | |||||||||||||||||||
Consumer Discretionary: 24.0% | |||||||||||||||||||
665,000 | Accuride Corp., 9.500%, 08/01/18 | $ | 615,125 | 0.6 | |||||||||||||||
355,000 | Affinia Group, Inc., 9.000%, 11/30/14 | 344,350 | 0.3 | ||||||||||||||||
223,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | 228,575 | 0.2 | |||||||||||||||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 864,500 | 0.8 | ||||||||||||||||
120,000 | # | AMC Networks, Inc., 7.750%, 07/15/21 | 123,600 | 0.1 | |||||||||||||||
34,781 | # | American Media, Inc., 13.500%, 06/15/18 | 29,738 | 0.0 | |||||||||||||||
310,000 | # | Ameristar Casinos, Inc., 7.500%, 04/15/21 | 301,475 | 0.3 | |||||||||||||||
150,000 | # | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 | 151,875 | 0.1 | |||||||||||||||
231,000 | # | Burlington Coat Factory Warehouse Corp., 10.000%, 02/15/19 | 197,505 | 0.2 | |||||||||||||||
720,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 730,800 | 0.7 | ||||||||||||||||
450,000 | Cablevision Systems Corp., 8.000%, 04/15/20 | 460,125 | 0.4 | ||||||||||||||||
1,260,000 | CCO Holdings LLC/CCO Holdings Capital Corp., 7.250%, 10/30/17 | 1,266,300 | 1.2 | ||||||||||||||||
250,000 | # | CCO Holdings LLC/CCO Holdings Capital Corp., 7.000%, 01/15/19 | 243,125 | 0.2 | |||||||||||||||
765,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17 | 761,175 | 0.7 | |||||||||||||||
730,000 | #, Z | Checkout Holding Corp., 15.590%, 11/15/15 | 401,500 | 0.4 | |||||||||||||||
200,000 | # | Chrysler Group LLC/CG Co-Issuer, Inc., 8.000%, 06/15/19 | 157,000 | 0.2 | |||||||||||||||
200,000 | # | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 155,000 | 0.1 | |||||||||||||||
185,000 | # | CityCenter Holdings LLC/CityCenter Finance Corp., 7.625%, 01/15/16 | 174,825 | 0.1 | |||||||||||||||
79,168 | #, & | CityCenter Holdings LLC/CityCenter Finance Corp., 10.750%, 01/15/17 | 72,241 | 0.1 | |||||||||||||||
510,000 | # | Commercial Vehicle Group, Inc., 7.875%, 04/15/19 | 469,200 | 0.4 | |||||||||||||||
120,000 | # | Crown Media Holdings, Inc., 10.500%, 07/15/19 | 119,400 | 0.1 | |||||||||||||||
635,000 | # | Cumulus Media, Inc., 7.750%, 05/01/19 | 538,162 | 0.5 | |||||||||||||||
680,000 | DISH DBS Corp., 7.875%, 09/01/19 | 697,000 | 0.6 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
645,000 | Gray Television, Inc., 10.500%, 06/29/15 | $ | 586,950 | 0.5 | |||||||||||||||
840,000 | Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/18 | 504,000 | 0.5 | ||||||||||||||||
590,000 | Caesars Entertainment Operating Co., Inc., 11.250%, 06/01/17 | 598,112 | 0.5 | ||||||||||||||||
535,000 | Mediacom LLC/Mediacom Capital Corp., 9.125%, 08/15/19 | 535,000 | 0.5 | ||||||||||||||||
1,070,000 | + | Michaels Stores, Inc., 6.775%–11.375%, [step rate 13.000%], 11/01/16–11/01/18 | 1,065,975 | 1.0 | |||||||||||||||
525,000 | # | NCL Corp. Ltd., 9.500%, 11/15/18 | 532,875 | 0.5 | |||||||||||||||
470,000 | # | Needle, 8.125%, 03/15/19 | 411,250 | 0.4 | |||||||||||||||
450,000 | # | Petco Animal Supplies, Inc., 9.250%, 12/01/18 | 452,250 | 0.4 | |||||||||||||||
255,000 | # | Pilgrim’s Pride Corp., 7.875%, 12/15/18 | 195,712 | 0.2 | |||||||||||||||
870,000 | Pinnacle Entertainment, Inc., 8.750%, 05/15/20 | 815,625 | 0.7 | ||||||||||||||||
305,000 | # | Pittsburgh Glass Works LLC, 8.500%, 04/15/16 | 282,125 | 0.2 | |||||||||||||||
500,000 | # | Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu, 9.875%, 08/15/19 | 442,500 | 0.4 | |||||||||||||||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 142,800 | 0.1 | |||||||||||||||
385,000 | # | Sinclair Television Group, Inc., 9.250%, 11/01/17 | 406,175 | 0.4 | |||||||||||||||
145,000 | # | Sirius XM Radio, Inc., 8.750%, 04/01/15 | 157,688 | 0.1 | |||||||||||||||
290,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 294,350 | 0.3 | |||||||||||||||
10,323,996 | Other Securities | 9,916,249 | 9.0 | ||||||||||||||||
26,442,232 | 24.0 | ||||||||||||||||||
Consumer Staples: 7.7% | |||||||||||||||||||
615,000 | # | American Rock Salt Co. LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 541,200 | 0.5 | |||||||||||||||
170,000 | #, & | Bumble Bee, 9.625%, 03/15/18 | 137,275 | 0.1 | |||||||||||||||
185,000 | # | Bumble Bee Acquisition Corp., 9.000%, 12/15/17 | 174,825 | 0.2 | |||||||||||||||
528,000 | # | CDRT Merger Sub, Inc., 8.125%, 06/01/19 | 491,040 | 0.5 | |||||||||||||||
170,000 | # | Cenveo Corp., 10.500%, 08/15/16 | 136,850 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Staples: (continued) | |||||||||||||||||||
670,000 | Hertz Corp./The, 6.750%–7.375%, 04/15/19–01/15/21 | $ | 612,750 | 0.6 | |||||||||||||||
450,000 | # | JBS USA LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 375,750 | 0.3 | |||||||||||||||
295,000 | # | Neff Rental LLC/Neff Finance Corp., 9.625%, 05/15/16 | 247,800 | 0.2 | |||||||||||||||
470,000 | # | RSC Equipment Rental, Inc., 10.000%, 07/15/17 | 495,850 | 0.5 | |||||||||||||||
577,000 | # | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 | 582,770 | 0.5 | |||||||||||||||
420,000 | ServiceMaster Co/The, 7.450%, 08/15/27 | 312,900 | 0.3 | ||||||||||||||||
570,000 | #, & | ServiceMaster Co/The, 10.750%, 07/15/15 | 578,550 | 0.5 | |||||||||||||||
210,000 | # | US Foodservice, 8.500%, 06/30/19 | 190,575 | 0.2 | |||||||||||||||
125,000 | # | WP Rocket Merger Sub, Inc., 10.125%, 07/15/19 | 119,375 | 0.1 | |||||||||||||||
3,586,850 | Other Securities | 3,440,959 | 3.1 | ||||||||||||||||
8,438,469 | 7.7 | ||||||||||||||||||
Energy: 16.1% | |||||||||||||||||||
180,000 | # | Arch Coal, Inc., 7.000%, 06/15/19 | 171,900 | 0.1 | |||||||||||||||
635,000 | # | Arch Coal, Inc., 7.250%, 06/15/21 | 614,363 | 0.6 | |||||||||||||||
375,000 | # | Basic Energy Services, Inc., 7.750%, 02/15/19 | 358,125 | 0.3 | |||||||||||||||
475,000 | Berry Petroleum Co., 10.250%, 06/01/14 | 534,375 | 0.5 | ||||||||||||||||
340,000 | # | Calfrac Holdings L.P., 7.500%, 12/01/20 | 323,000 | 0.3 | |||||||||||||||
425,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 397,375 | 0.4 | |||||||||||||||
335,000 | # | Clayton Wms, 7.750%, 04/01/19 | 289,775 | 0.3 | |||||||||||||||
650,000 | Consol Energy, Inc., 8.000%–8.250%, 04/01/17–04/01/20 | 685,875 | 0.6 | ||||||||||||||||
405,000 | # | Eagle Rock Energy Partners L.P./Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 390,825 | 0.4 | |||||||||||||||
625,000 | El Paso Corp., 7.250%, 06/01/18 | 702,801 | 0.6 | ||||||||||||||||
375,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 383,437 | 0.3 | |||||||||||||||
475,000 | # | James River, 7.875%, 04/01/19 | 401,375 | 0.4 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
635,000 | Linn Energy LLC/Linn Energy Finance Corp., 7.750%–8.625%, 04/15/20–02/01/21 | $ | 648,975 | 0.6 | |||||||||||||||
160,000 | # | Meg Energy, 6.500%, 03/15/21 | 154,000 | 0.1 | |||||||||||||||
215,000 | # | Murray Energy Corp., 10.250%, 10/15/15 | 206,400 | 0.2 | |||||||||||||||
325,000 | # | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 | 287,625 | 0.3 | |||||||||||||||
385,000 | # | Oasis Petroleum, Inc., 7.250%, 02/01/19 | 375,375 | 0.3 | |||||||||||||||
535,000 | Pioneer Natural Resources Co., 7.500%, 01/15/20 | 603,911 | 0.6 | ||||||||||||||||
390,000 | # | SunCoke Energy, Inc., 7.625%, 08/01/19 | 383,175 | 0.3 | |||||||||||||||
600,000 | Swift Energy Co., 8.875%, 01/15/20 | 633,000 | 0.6 | ||||||||||||||||
270,000 | # | Targa Resources Partners L.P./Targa Resources Partners Finance Corp., 6.875%, 02/01/21 | 260,550 | 0.2 | |||||||||||||||
719,000 | # | W&T Offshore, Inc., 8.500%, 06/15/19 | 701,025 | 0.6 | |||||||||||||||
8,489,000 | Other Securities | 8,297,396 | 7.5 | ||||||||||||||||
17,804,658 | 16.1 | ||||||||||||||||||
Financials: 10.6% | |||||||||||||||||||
1,435,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 1,331,852 | 1.2 | ||||||||||||||||
790,000 | American General Finance Corp., 5.400%, 12/01/15 | 580,650 | 0.5 | ||||||||||||||||
300,000 | American General Finance Corp., 5.850%, 06/01/13 | 258,000 | 0.2 | ||||||||||||||||
750,000 | Atlantic Broadband Finance, LLC, 9.375%, 01/15/14 | 748,125 | 0.7 | ||||||||||||||||
640,000 | # | CIT Group, Inc., 6.625%, 04/01/18 | 640,000 | 0.6 | |||||||||||||||
164,513 | CIT Group, Inc., 7.000%, 05/01/14 | 168,009 | 0.2 | ||||||||||||||||
235,000 | # | CIT Group, Inc., 7.000%, 05/04/15 | 233,531 | 0.2 | |||||||||||||||
210,000 | # | CIT Group, Inc., 7.000%, 05/02/16 | 204,225 | 0.2 | |||||||||||||||
1,050,000 | # | CIT Group, Inc., 7.000%, 05/02/17 | 1,019,813 | 0.9 | |||||||||||||||
602,000 | Felcor Lodging L.P., 10.000%, 10/01/14 | 629,090 | 0.5 | ||||||||||||||||
945,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1,076,853 | 1.0 | ||||||||||||||||
943,000 | International Lease Finance Corp., 5.750%–8.750%, 09/15/15–05/15/19 | 903,480 | 0.8 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
531,000 | # | Pinafore LLC/Pinafore, Inc., 9.000%, 10/01/18 | $ | 546,930 | 0.5 | ||||||||||||||
250,000 | # | Realogy Corp., 7.875%, 02/15/19 | 190,000 | 0.2 | |||||||||||||||
660,000 | Tops Holding Corp./Tops Markets LLC, 10.125%, 10/15/15 | 663,300 | 0.6 | ||||||||||||||||
2,710,000 | Other Securities | 2,542,069 | 2.3 | ||||||||||||||||
11,735,927 | 10.6 | ||||||||||||||||||
Health Care: 7.6% | |||||||||||||||||||
135,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.000%, 12/15/20 | 136,012 | 0.1 | |||||||||||||||
153,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.000%, 07/15/19 | 154,339 | 0.1 | |||||||||||||||
168,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.250%, 01/15/22 | 169,260 | 0.2 | |||||||||||||||
150,000 | # | Giant Funding Corp., 8.250%, 02/01/18 | 150,750 | 0.1 | |||||||||||||||
655,000 | # | HCA Holdings, Inc., 7.750%, 05/15/21 | 617,337 | 0.6 | |||||||||||||||
610,000 | HCA, Inc., 7.250%, 09/15/20 | 619,150 | 0.6 | ||||||||||||||||
250,000 | HCA, Inc., 7.500%, 02/15/22 | 231,250 | 0.2 | ||||||||||||||||
625,000 | # | IASIS Healthcare LLC/IASIS Capital Corp., 8.375%, 05/15/19 | 509,375 | 0.5 | |||||||||||||||
200,000 | # | IVD Acquisition Corp., 11.125%, 08/15/19 | 195,500 | 0.2 | |||||||||||||||
170,000 | # | Mylan, Inc./PA, 7.875%, 07/15/20 | 178,500 | 0.2 | |||||||||||||||
570,000 | Omnicare, Inc., 7.750%, 06/01/20 | 584,250 | 0.5 | ||||||||||||||||
650,000 | Select Medical Holdings Corp., 6.267%, 09/15/15 | 533,000 | 0.5 | ||||||||||||||||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 271,600 | 0.2 | |||||||||||||||
670,000 | Tenet Healthcare Corp., 8.000%, 08/01/20 | 611,375 | 0.5 | ||||||||||||||||
75,000 | # | Valeant Pharmaceuticals International, 6.750%, 10/01/17 | 69,469 | 0.1 | |||||||||||||||
175,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 152,469 | 0.1 | |||||||||||||||
245,000 | # | Valeant Pharmaceuticals International, 7.000%, 10/01/20 | 218,050 | 0.2 | |||||||||||||||
3,407,000 | Other Securities | 2,971,736 | 2.7 | ||||||||||||||||
8,373,422 | 7.6 | ||||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Industrials: 6.6% | |||||||||||||||||||
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | $ | 473,200 | 0.4 | ||||||||||||||
310,000 | # | Bombardier, Inc., 7.500%, 03/15/18 | 328,600 | 0.3 | |||||||||||||||
310,000 | # | Bombardier, Inc., 7.750%, 03/15/20 | 331,700 | 0.3 | |||||||||||||||
185,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 185,925 | 0.2 | |||||||||||||||
385,000 | # | Calpine Corp., 7.500%, 02/15/21 | 369,600 | 0.3 | |||||||||||||||
6,000 | CDW LLC/CDW Finance Corp., 11.000%, 10/12/15 | 6,015 | 0.0 | ||||||||||||||||
750,000 | CDW LLC / CDW Finance Corp., 12.535%, 10/12/17 | 720,000 | 0.7 | ||||||||||||||||
160,000 | # | Ducommun, Inc., 9.750%, 07/15/18 | 160,800 | 0.2 | |||||||||||||||
370,000 | # | LBI Escrow Corp., 8.000%, 11/01/17 | 400,525 | 0.4 | |||||||||||||||
585,000 | Martin Midstream Partners L.P./Martin Midstream Finance Corp., 8.875%, 04/01/18 | 582,075 | 0.5 | ||||||||||||||||
500,000 | # | NXP BV/NXP Funding, LLC, 9.750%, 08/01/18 | 525,000 | 0.5 | |||||||||||||||
370,000 | # | Polymer Group, Inc., 7.750%, 02/01/19 | 370,925 | 0.3 | |||||||||||||||
2,750,000 | Other Securities | 2,776,494 | 2.5 | ||||||||||||||||
7,230,859 | 6.6 | ||||||||||||||||||
Information Technology: 4.9% | |||||||||||||||||||
605,000 | Aspect Software, Inc., 10.625%, 05/15/17 | 611,050 | 0.6 | ||||||||||||||||
675,000 | # | CDW Escrow, 8.500%, 04/01/19 | 597,375 | 0.5 | |||||||||||||||
300,000 | # | Eagle Parent, Inc., 8.625%, 05/01/19 | 273,000 | 0.2 | |||||||||||||||
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 115,275 | 0.1 | |||||||||||||||
146,000 | #, & | First Data Corp., 8.750%, 01/15/22 | 116,070 | 0.1 | |||||||||||||||
293,000 | # | First Data Corp., 12.625%, 01/15/21 | 218,285 | 0.2 | |||||||||||||||
229,748 | & | First Data Corp., 9.875%–11.250%, 09/24/15–03/31/16 | 161,787 | 0.2 | |||||||||||||||
432,000 | # | Insight.com, 9.375%, 07/15/18 | 486,000 | 0.4 | |||||||||||||||
370,000 | # | MedAssets, Inc., 8.000%, 11/15/18 | 354,275 | 0.3 | |||||||||||||||
235,000 | # | Seagate HDD Cayman, 7.750%, 12/15/18 | 231,475 | 0.2 | |||||||||||||||
525,000 | SSI Investments II/SSI Co-Issuer LLC, 11.125%, 06/01/18 | 525,000 | 0.5 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Information Technology: (continued)> | |||||||||||||||||||
270,000 | # | Stoneridge, Inc., 9.500%, 10/15/17 | $ | 276,750 | 0.3 | ||||||||||||||
1,420,233 | Other Securities | 1,453,333 | 1.3 | ||||||||||||||||
5,419,675 | 4.9 | ||||||||||||||||||
Materials: 7.3% | |||||||||||||||||||
355,000 | # | Aleris International, Inc., 7.625%, 02/15/18 | 320,388 | 0.3 | |||||||||||||||
185,000 | # | Atkore International, Inc., 9.875%, 01/01/18 | 168,350 | 0.1 | |||||||||||||||
615,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | 585,787 | 0.5 | |||||||||||||||
580,000 | # | JMC Steel Group, 8.250%, 03/15/18 | 548,100 | 0.5 | |||||||||||||||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 399,750 | 0.4 | |||||||||||||||
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 303,050 | 0.3 | |||||||||||||||
307,000 | # | Rain CII Carbon LLC and CII Carbon Corp., 8.000%, 12/01/18 | 308,535 | 0.3 | |||||||||||||||
870,000 | # | Thompson Creek Metals Co., Inc., 7.375%, 06/01/18 | 787,350 | 0.7 | |||||||||||||||
75,000 | # | Vertellus Specialties, Inc., 9.375%, 10/01/15 | 65,813 | 0.0 | |||||||||||||||
4,896,000 | Other Securities | 4,615,081 | 4.2 | ||||||||||||||||
8,102,204 | 7.3 | ||||||||||||||||||
Telecommunications: 5.6% | |||||||||||||||||||
640,000 | Cincinnati Bell, Inc., 8.375%–8.750%, 03/15/18–10/15/20 | 580,000 | 0.5 | ||||||||||||||||
625,000 | # | CommScope, Inc., 8.250%, 01/15/19 | 612,500 | 0.6 | |||||||||||||||
710,000 | Frontier Communications Corp., 8.250%–8.500%, 04/15/17–04/15/20 | 692,250 | 0.6 | ||||||||||||||||
250,000 | #, & | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 215,625 | 0.2 | |||||||||||||||
200,000 | # | Intelsat Jackson Holdings SA, 7.250%, 04/01/19 | 186,000 | 0.2 | |||||||||||||||
240,000 | # | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 223,800 | 0.2 | |||||||||||||||
1,120,000 | Intelsat Luxembourg S.A., 11.250%, 02/04/17 | 974,400 | 0.9 | ||||||||||||||||
620,000 | Windstream Corp., 7.000%, 03/15/19 | 598,300 | 0.5 | ||||||||||||||||
2,249,399 | Other Securities | 2,054,894 | 1.9 | ||||||||||||||||
6,137,769 | 5.6 | ||||||||||||||||||
Utilities: 3.6% | |||||||||||||||||||
310,000 | # | AES Corp./The, 7.375%, 07/01/21 | 294,500 | 0.3 | |||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Utilities: (continued) | |||||||||||||||||||
290,000 | # | Calpine Corp., 7.875%, 07/31/20 | $ | 281,300 | 0.3 | ||||||||||||||
730,000 | Energy Future Holdings Corp., 10.000%, 01/15/20 | 711,750 | 0.6 | ||||||||||||||||
865,000 | # | Foresight Energy LLC/Foresight Energy Corp., 9.625%, 08/15/17 | 877,975 | 0.8 | |||||||||||||||
230,000 | # | NRG Energy, Inc., 7.625%, 05/15/19 | 210,450 | 0.2 | |||||||||||||||
230,000 | # | NRG Energy, Inc., 7.875%, 05/15/21 | 211,600 | 0.2 | |||||||||||||||
455,000 | # | Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc., 11.500%, 10/01/20 | 366,275 | 0.3 | |||||||||||||||
1,135,841 | Other Securities | 979,436 | 0.9 | ||||||||||||||||
3,933,286 | 3.6 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $107,672,137) | 103,618,501 | 94.0 | |||||||||||||||||
ASSET-BACKED SECURITIES: 0.9% | |||||||||||||||||||
Other Asset-Backed Securities: 0.9% | |||||||||||||||||||
1,000,000 | # | GSC Partners CDO Fund Ltd, 2.185%, 12/16/15 | 912,060 | 0.9 | |||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $910,173) | 912,060 | 0.9 | |||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
COMMON STOCK: 0.0% | |||||||||||||||||||
>Consumer Discretionary: 0.0% | |||||||||||||||||||
6,005 | Other Securities | 3,120 | 0.0 | ||||||||||||||||
Total Common Stock | |||||||||||||||||||
(Cost $136,656) | 3,120 | 0.0 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $108,718,966) | 104,533,681 | 94.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 3.2% | |||||||||||||||||||
Mutual Funds: 3.2% | |||||||||||||||||||
3,566,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $3,566,000) | 3,566,000 | 3.2 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $3,566,000) | 3,566,000 | 3.2 | |||||||||||||||||
Total Investments in Securities (Cost $112,284,966) | $ | 108,099,681 | 98.1 | ||||||||||||||||
Assets in Excess of Other Liabilities | 2,119,194 | 1.9 | |||||||||||||||||
Net Assets | $ | 110,218,875 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
& | Payment-in-kind |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
Cost for federal income tax purposes is $112,288,978. | |||||||
Net unrealized depreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 1,920,341 | |||||
Gross Unrealized Depreciation | (6,109,638 | ) | |||||
Net Unrealized Depreciation | $ | (4,189,297 | ) |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 9/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Common Stock | ||||||||||||||||||
Consumer Discretionary | $ | — | $ | — | $ | 3,120 | $ | 3,120 | ||||||||||
Total Common Stock | — | — | 3,120 | 3,120 | ||||||||||||||
Corporate Bonds/Notes | — | 103,618,501 | — | 103,618,501 | ||||||||||||||
Asset-Backed Securities | — | 912,060 | — | 912,060 | ||||||||||||||
Short-Term Investments | 3,566,000 | — | — | 3,566,000 | ||||||||||||||
Total Investments, at value | $ | 3,566,000 | $ | 104,530,561 | $ | 3,120 | $ | 108,099,681 |
Beginning Balance 3/31/2011 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 9/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
Common Stock | $ | 2,541 | $ | — | $ | — | $ | — | $ | — | $ | 579 | $ | — | $ | — | $ | 3,120 | ||||||||||||||||||||
Total Investments, at value | $ | 2,541 | $ | — | $ | — | $ | — | $ | — | $ | 579 | $ | — | $ | — | $ | 3,120 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Swaps | |||||||||
Credit contracts | $ | (3,472 | ) | |||||||
Total | $ | (3,472 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Swaps | |||||||||
Credit contracts | $ | — | ||||||||
Total | $ | — |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 25.1% | |||||||||||||||||||
Consumer Discretionary: 3.4% | |||||||||||||||||||
2,975,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | $ | 3,357,600 | 0.4 | ||||||||||||||
2,201,000 | News America, Inc., 4.500%–6.650%, 02/15/21–11/15/37 | 2,337,550 | 0.3 | ||||||||||||||||
290,000 | # | QVC, Inc., 7.375%, 10/15/20 | 310,300 | 0.0 | |||||||||||||||
805,000 | # | QVC, Inc., 7.500%, 10/01/19 | 861,350 | 0.1 | |||||||||||||||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 964,250 | 0.1 | |||||||||||||||
19,068,000 | Other Securities | 19,714,362 | 2.5 | ||||||||||||||||
27,545,412 | 3.4 | ||||||||||||||||||
Consumer Staples: 1.0% | |||||||||||||||||||
1,732,000 | # | JBS Finance II Ltd., 8.250%, 01/29/18 | 1,446,220 | 0.2 | |||||||||||||||
5,810,000 | Other Securities | 6,422,691 | 0.8 | ||||||||||||||||
7,868,911 | 1.0 | ||||||||||||||||||
Energy: 3.8% | |||||||||||||||||||
702,000 | # | Chevron Phillips Chemical Co. LLC, 7.000%, 06/15/14 | 785,208 | 0.1 | |||||||||||||||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 622,231 | 0.1 | |||||||||||||||
2,434,000 | Energy Transfer Partners L.P., 4.650%–6.050%, 06/01/21–06/01/41 | 2,303,286 | 0.3 | ||||||||||||||||
1,442,000 | # | Marathon Petroleum Corp., 6.500%, 03/01/41 | 1,564,785 | 0.2 | |||||||||||||||
1,457,000 | # | Petroleos de Venezuela SA, 12.750%, 02/17/22 | 1,078,180 | 0.1 | |||||||||||||||
2,639,000 | # | Schlumberger Investment SA, 1.950%, 09/14/16 | 2,627,507 | 0.3 | |||||||||||||||
22,790,000 | Other Securities (a) | 21,270,255 | 2.7 | ||||||||||||||||
30,251,452 | 3.8 | ||||||||||||||||||
Financials: 7.2% | |||||||||||||||||||
2,238,000 | American International Group, Inc., 5.850%–8.175%, 01/16/18–05/15/58 | 2,113,355 | 0.3 | ||||||||||||||||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,597,619 | 0.2 | |||||||||||||||
2,337,000 | Bank of New York Mellon Corp./The, 3.550%, 09/23/21 | 2,338,145 | 0.3 | ||||||||||||||||
1,677,000 | # | Barclays Bank PLC, 5.926%, 09/29/49 | 1,249,365 | 0.2 | |||||||||||||||
3,639,000 | Caterpillar Financial Services Corp., 2.050%, 08/01/16 | 3,671,041 | 0.5 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Financials: (continued) | |||||||||||||||||||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | $ | 2,001,620 | 0.2 | ||||||||||||||
2,263,000 | Discover Bank/Greenwood DE, 8.700%, 11/18/19 | 2,592,366 | 0.3 | ||||||||||||||||
2,262,000 | General Electric Capital Corp., 5.300%, 02/11/21 | 2,354,210 | 0.3 | ||||||||||||||||
3,248,000 | Goldman Sachs Group, Inc./The, 5.250%–5.350%, 01/15/16–07/27/21 | 3,275,092 | 0.4 | ||||||||||||||||
2,975,000 | # | HSBC Finance Corp., 6.676%, 01/15/21 | 2,932,669 | 0.4 | |||||||||||||||
964,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 963,265 | 0.1 | |||||||||||||||
1,361,000 | # | ILFC E-Capital Trust II, 6.250%, 12/21/65 | 1,013,945 | 0.1 | |||||||||||||||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,046,074 | 0.1 | |||||||||||||||
2,462,000 | L | JPMorgan Chase & Co., 4.350%, 08/15/21 | 2,496,603 | 0.3 | |||||||||||||||
1,200,000 | # | Marfrig Holding Europe BV, 8.375%, 05/09/18 | 768,000 | 0.1 | |||||||||||||||
2,406,000 | Morgan Stanley, 5.500%–5.750%, 01/25/21–07/28/21 | 2,225,505 | 0.3 | ||||||||||||||||
1,023,000 | # | Pacific Life Insurance Co., 9.250%, 06/15/39 | 1,380,855 | 0.2 | |||||||||||||||
46,169 | # | Power Receivable Finance, LLC, 6.290%, 01/01/12 | 46,217 | 0.0 | |||||||||||||||
27,072,616 | Other Securities (a) | 23,502,693 | 2.9 | ||||||||||||||||
57,568,639 | 7.2 | ||||||||||||||||||
Health Care: 0.6% | |||||||||||||||||||
6,014,000 | Other Securities | 5,023,140 | 0.6 | ||||||||||||||||
Industrials: 1.4% | |||||||||||||||||||
900,000 | # | Bombardier, Inc., 7.500%, 03/15/18 | 954,000 | 0.1 | |||||||||||||||
240,000 | # | Bombardier, Inc., 7.750%, 03/15/20 | 256,800 | 0.1 | |||||||||||||||
1,105,000 | # | Calpine Corp., 7.500%, 02/15/21 | 1,060,800 | 0.1 | |||||||||||||||
1,109,000 | # | Chevron Phillips Chemical Co. LLC, 8.250%, 06/15/19 | 1,402,938 | 0.2 | |||||||||||||||
1,013,000 | # | Energizer Holdings, Inc., 4.700%, 05/19/21 | 1,087,215 | 0.1 | |||||||||||||||
6,343,000 | Other Securities | 6,707,268 | 0.8 | ||||||||||||||||
11,469,021 | 1.4 | ||||||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Information Technology: 0.8% | |||||||||||||||||||
6,460,000 | �� | Other Securities | $ | 6,625,185 | 0.8 | ||||||||||||||
Materials: 1.8% | |||||||||||||||||||
816,000 | ArcelorMittal, 6.125%, 06/01/18 | 789,604 | 0.1 | ||||||||||||||||
2,481,000 | ArcelorMittal, 9.850%, 06/01/19 | 2,817,950 | 0.3 | ||||||||||||||||
890,000 | # | FMG Resources August 2006 Pty Ltd, 6.375%, 02/01/16 | 805,450 | 0.1 | |||||||||||||||
495,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 505,153 | 0.1 | |||||||||||||||
1,826,000 | Teck Resources Ltd., 6.000%–10.250%, 05/15/16–08/15/40 | 2,091,275 | 0.3 | ||||||||||||||||
7,595,000 | Other Securities | 7,667,783 | 0.9 | ||||||||||||||||
14,677,215 | 1.8 | ||||||||||||||||||
Telecommunications: 2.0% | |||||||||||||||||||
2,657,000 | AT&T, Inc., 3.875%–5.550%, 08/15/21–08/15/41 | 2,826,797 | 0.4 | ||||||||||||||||
425,000 | # | Intelsat Jackson Holdings Ltd., 7.250%, 10/15/20 | 393,125 | 0.0 | |||||||||||||||
450,000 | # | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 419,625 | 0.1 | |||||||||||||||
2,223,000 | Telecom Italia Capital S.A., 5.250%, 11/15/13 | 2,174,250 | 0.3 | ||||||||||||||||
2,137,000 | # | Telstra Corp. Ltd., 4.800%, 10/12/21 | 2,243,822 | 0.3 | |||||||||||||||
7,734,000 | Other Securities | 7,589,706 | 0.9 | ||||||||||||||||
15,647,325 | 2.0 | ||||||||||||||||||
Utilities: 3.1% | |||||||||||||||||||
1,467,000 | # | Allegheny Energy Supply Co. LLC, 5.750%, 10/15/19 | 1,570,616 | 0.2 | |||||||||||||||
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,297,670 | 0.2 | |||||||||||||||
995,000 | # | Enel Finance International S.A., 6.250%, 09/15/17 | 1,006,843 | 0.1 | |||||||||||||||
2,126,000 | Exelon Generation Co. LLC, 4.000%, 10/01/20 | 2,120,585 | 0.3 | ||||||||||||||||
513,000 | # | Illinois Tool Works, Inc., 3.375%, 09/15/21 | 527,595 | 0.1 | |||||||||||||||
824,000 | # | Illinois Tool Works, Inc., 4.875%, 09/15/41 | 923,895 | 0.1 | |||||||||||||||
185,715 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 160,005 | 0.0 | |||||||||||||||
2,298,000 | Oncor Electric Delivery Co., 6.800%–7.500%, 09/01/18–09/01/38 | 3,084,055 | 0.4 | ||||||||||||||||
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Utilities: (continued) | |||||||||||||||||||
12,863,000 | Other Securities | $ | 13,961,635 | 1.7 | |||||||||||||||
24,652,899 | 3.1 | ||||||||||||||||||
Total Corporate Bonds/Notes | |||||||||||||||||||
(Cost $201,194,964) | 201,329,199 | 25.1 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 10.9% | |||||||||||||||||||
2,753,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 2,801,602 | 0.3 | |||||||||||||||
26,514,499 | #, ˆ | Banc of America Commercial Mortgage, Inc., 0.243%, 10/10/45 | 283,379 | 0.0 | |||||||||||||||
2,710,000 | Banc of America Commercial Mortgage, Inc., 5.243%–5.801%, 07/10/43–06/10/49 | 2,217,073 | 0.3 | ||||||||||||||||
3,113,358 | Banc of America Funding Corp., 5.500%, 02/25/35 | 3,066,424 | 0.4 | ||||||||||||||||
2,693,400 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 2,726,320 | 0.3 | |||||||||||||||
970,000 | # | Banc of America Large Loan, Inc., 6.010%, 10/10/45 | 989,311 | 0.1 | |||||||||||||||
720,000 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 701,041 | 0.1 | |||||||||||||||
3,295,457 | # | Citigroup Mortgage Loan Trust, Inc., 19.016%, 10/25/35 | 4,012,261 | 0.5 | |||||||||||||||
2,900,000 | Commercial Mortgage Pass Through Certificates, 6.008%, 12/10/49 | 3,141,911 | 0.4 | ||||||||||||||||
5,878,465 | Countrywide Alternative Loan Trust, 0.635%, 05/25/36 | 2,604,760 | 0.3 | ||||||||||||||||
3,592,824 | Credit Suisse Mortgage Capital Certificates, 5.448%, 01/15/49 | 3,605,526 | 0.4 | ||||||||||||||||
128,662,794 | #, ˆ | Credit Suisse Mortgage Capital Certificates, 0.112%, 09/15/40 | 778,629 | 0.1 | |||||||||||||||
10,969,673 | #, ˆ | DBUBS Mortgage Trust, 1.619%, 07/10/44 | 844,089 | 0.1 | |||||||||||||||
1,200,000 | # | DBUBS Mortgage Trust, 5.729%, 11/10/46 | 949,875 | 0.1 | |||||||||||||||
4,851,302 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.355%–0.425%, 08/25/36–10/25/36 | 2,109,221 | 0.3 | ||||||||||||||||
3,503,617 | Freddie Mac, 5.000%–5.500%, 02/15/35–07/15/37 | 4,018,266 | 0.5 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
194,827,773 | #, ˆ | Greenwich Capital Commercial Funding Corp., 0.174%, 04/10/37 | $ | 497,843 | 0.1 | ||||||||||||||
19,284,845 | #, ˆ | GS Mortgage Securities Corp. II, 1.336%, 03/10/44 | 1,144,343 | 0.1 | |||||||||||||||
640,000 | # | JP Morgan Chase Commercial Mortgage Securities Corp., 5.569%, 07/15/46 | 476,743 | 0.1 | |||||||||||||||
2,560,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.981%–6.288%, 01/15/42–02/12/51 | 2,358,395 | 0.3 | ||||||||||||||||
17,693,029 | #, ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.811%, 07/15/46 | 1,381,130 | 0.2 | |||||||||||||||
38,775,540 | #, ˆ | LB-UBS Commercial Mortgage Trust, 0.241%, 09/15/39 | 714,634 | 0.1 | |||||||||||||||
58,199,473 | #, ˆ | LB-UBS Commercial Mortgage Trust, 0.886%, 11/15/38 | 1,392,044 | 0.2 | |||||||||||||||
410,000 | # | LB-UBS Commercial Mortgage Trust, 5.750%, 01/15/36 | 420,117 | 0.0 | |||||||||||||||
28,099,138 | ˆ | LB-UBS Commercial Mortgage Trust, 0.343%–6.760%, 12/15/32–09/15/45 | 6,750,984 | 0.9 | |||||||||||||||
51,300,043 | #, ˆ | Merrill Lynch Mortgage Trust, 0.678%, 02/12/51 | 922,283 | 0.1 | |||||||||||||||
850,000 | Morgan Stanley Capital I, 5.300%, 06/15/40 | 660,401 | 0.1 | ||||||||||||||||
280,000 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 286,001 | 0.0 | |||||||||||||||
3,173,162 | Morgan Stanley Capital I, 5.774%, 04/12/49 | 3,210,649 | 0.4 | ||||||||||||||||
1,200,000 | # | Morgan Stanley Capital I, 5.423%, 09/15/47 | 934,864 | 0.1 | |||||||||||||||
1,000,000 | # | Morgan Stanley Capital I, 5.598%, 01/13/41 | 971,982 | 0.2 | |||||||||||||||
2,744,287 | Morgan Stanley Capital I, 0.479%–5.242%, 01/14/42–04/12/49 | 2,579,232 | 0.3 | ||||||||||||||||
280,000 | # | Morgan Stanley Dean Witter Capital I, 6.500%, 11/15/36 | 138,674 | 0.0 | |||||||||||||||
1,220,000 | # | Morgan Stanley Dean Witter Capital I, 7.280%, 12/15/35 | 1,276,804 | 0.2 | |||||||||||||||
310,000 | # | Nationslink Funding Corp., 5.000%, 08/20/30 | 314,458 | 0.0 | |||||||||||||||
16,307,092 | #, ˆ | RBSCF Trust, 1.137%, 04/15/24 | 507,477 | 0.1 | |||||||||||||||
7,156,667 | Residential Accredit Loans, Inc., 0.405%–0.685%, 12/25/36–01/25/37 | 3,095,397 | 0.4 | ||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,590,000 | # | Vornado DP LLC, 6.356%, 09/13/28 | $ | 1,445,297 | 0.2 | ||||||||||||||
950,000 | # | Wachovia Bank Commercial Mortgage Trust, 5.704%, 02/15/35 | 926,444 | 0.1 | |||||||||||||||
2,643,951 | WaMu Mortgage Pass Through Certificates, 2.576%, 01/25/36 | 2,445,998 | 0.3 | ||||||||||||||||
2,611,225 | Wells Fargo Mortgage Backed Securities Trust, 2.720%, 06/25/35 | 2,419,893 | 0.3 | ||||||||||||||||
16,544,705 | Other Securities | 14,830,106 | 1.9 | ||||||||||||||||
Total Collateralized Mortgage Obligations | |||||||||||||||||||
(Cost $89,101,204) | 86,951,881 | 10.9 | |||||||||||||||||
U.S. TREASURY OBLIGATIONS: 32.4% | |||||||||||||||||||
U.S. Treasury Bonds: 9.4% | |||||||||||||||||||
64,551,000 | L | 2.125%, due 08/15/21 | 65,812,133 | 8.2 | |||||||||||||||
7,287,000 | 4.375%, due 05/15/41 | 9,444,651 | 1.2 | ||||||||||||||||
75,256,784 | 9.4 | ||||||||||||||||||
U.S. Treasury Notes: 23.0% | |||||||||||||||||||
11,837,000 | 0.125%, due 08/31/13 | 11,809,728 | 1.5 | ||||||||||||||||
9,174,000 | 0.375%, due 07/31/13 | 9,196,577 | 1.2 | ||||||||||||||||
59,830,000 | 0.500%, due 08/15/14 | 60,021,875 | 7.5 | ||||||||||||||||
34,200,000 | L | 1.000%, due 08/31/16 | 34,314,775 | 4.3 | |||||||||||||||
4,290,000 | 1.500%, due 08/31/18 | 4,316,813 | 0.5 | ||||||||||||||||
60,957,000 | 2.250%, due 07/31/18 | 64,409,665 | 8.0 | ||||||||||||||||
184,069,433 | 23.0 | ||||||||||||||||||
Total U.S. Treasury Obligations | |||||||||||||||||||
(Cost $257,235,610) | 259,326,217 | 32.4 | |||||||||||||||||
ASSET-BACKED SECURITIES: 5.8% | |||||||||||||||||||
Credit Card Asset-Backed Securities: 1.4% | |||||||||||||||||||
EUR 8,539,000 | MBNA Credit Card Master Note Trust, 5.600%, 07/17/14 | 11,569,435 | 1.4 | ||||||||||||||||
Home Equity Asset-Backed Securities: 0.0% | |||||||||||||||||||
399,789 | Other Securities | 355,205 | 0.0 | ||||||||||||||||
Other Asset-Backed Securities: 4.4% | |||||||||||||||||||
813,366 | # | ARES CLO Funds, 0.590%, 09/18/17 | 789,835 | 0.1 | |||||||||||||||
900,000 | # | ARES CLO Funds, 2.964%, 02/26/16 | 742,997 | 0.1 | |||||||||||||||
1,918,498 | # | Atrium CDO Corp., 0.597%, 06/27/15 | 1,879,552 | 0.2 | |||||||||||||||
1,361,703 | # | Atrium CDO Corp., 0.649%, 10/27/16 | 1,322,260 | 0.2 | |||||||||||||||
1,000,000 | # | Avenue CLO Fund Ltd., 2.436%, 02/15/17 | 724,674 | 0.1 | |||||||||||||||
487,138 | # | Callidus Debt Partners Fund Ltd., 0.786%, 05/15/15 | 477,760 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
694,423 | # | Carlyle High Yield Partners, 0.648%, 08/11/16 | $ | 674,225 | 0.1 | ||||||||||||||
1,188,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 951,763 | 0.1 | |||||||||||||||
1,575,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 1,547,317 | 0.2 | |||||||||||||||
1,973,943 | Credit-Based Asset Servicing and Securitization, LLC, 4.831%–5.501%, 08/25/35–12/25/36 | 1,678,055 | 0.2 | ||||||||||||||||
800,000 | # | Dryden Leveraged Loan CDO 2002-II, 2.650%, 09/17/16 | 650,236 | 0.1 | |||||||||||||||
237,956 | # | Dryden Leveraged Loan CDO 2002-II, 0.895%, 12/22/15 | 235,070 | 0.0 | |||||||||||||||
750,000 | # | Dryden Leveraged Loan CDO 2002-II, 6.184%, 12/22/15 | 750,000 | 0.1 | |||||||||||||||
9,100,000 | Fieldstone Mortgage Investment Corp., 0.395%–0.475%, 11/25/36 | 2,928,529 | 0.4 | ||||||||||||||||
1,120,075 | # | First CLO Ltd., 0.602%, 07/27/16 | 1,107,427 | 0.1 | |||||||||||||||
1,950,000 | # | Foxe Basin CLO Ltd., 2.047%, 12/15/15 | 1,840,775 | 0.2 | |||||||||||||||
1,250,000 | # | Galaxy CLO Ltd., 1.799%, 01/15/16 | 1,176,149 | 0.1 | |||||||||||||||
414,046 | # | Granite Ventures Ltd., 0.509%, 12/15/17 | 403,430 | 0.1 | |||||||||||||||
2,266,980 | # | GSC Partners CDO Fund Ltd., 0.678%, 11/20/16 | 2,230,334 | 0.3 | |||||||||||||||
494,911 | # | Gulf Stream Compass CLO Ltd., 0.609%, 07/15/16 | 483,776 | 0.1 | |||||||||||||||
1,489,184 | # | Katonah Ltd., 0.671%, 09/20/16 | 1,460,511 | 0.2 | |||||||||||||||
204,867 | # | Katonah Ltd., 0.905%, 02/20/15 | 201,319 | 0.0 | |||||||||||||||
10,178,000 | Morgan Stanley ABS Capital I, 0.505%, 03/25/36 | 4,322,581 | 0.5 | ||||||||||||||||
965,889 | # | Navigator CDO Ltd., 2.349%, 01/14/17 | 757,756 | 0.1 | |||||||||||||||
1,500,000 | # | Pacifica CDO Ltd., 1.138%, 05/13/16 | 1,348,112 | 0.2 | |||||||||||||||
1,210,058 | # | Stanfield Carrera CLO Ltd., 0.827%, 03/15/15 | 1,193,420 | 0.1 | |||||||||||||||
1,250,000 | # | Veritas CLO Ltd., 1.651%, 09/05/16 | 1,039,811 | 0.1 | |||||||||||||||
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
1,529,776 | # | Wind River CLO Ltd., 0.680%, 12/19/16 | $ | 1,472,143 | 0.2 | ||||||||||||||
658,142 | Other Securities | 508,205 | 0.1 | ||||||||||||||||
34,898,022 | 4.4 | ||||||||||||||||||
Total Asset-Backed Securities | |||||||||||||||||||
(Cost $49,514,134) | 46,822,662 | 5.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 37.5% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 14.6%## | |||||||||||||||||||
30,719,000 | W | 4.000%, due 06/15/40 | 32,058,156 | 4.0 | |||||||||||||||
19,685,000 | W | 4.500%, due 10/15/35 | 20,826,114 | 2.6 | |||||||||||||||
3,634,892 | 4.500%, due 08/01/41 | 3,849,218 | 0.5 | ||||||||||||||||
4,000,000 | 4.500%, due 09/01/41 | 4,238,667 | 0.5 | ||||||||||||||||
2,549,879 | 4.808%, due 03/15/33 | 2,744,688 | 0.3 | ||||||||||||||||
2,908,000 | 5.000%, due 09/15/31 | 2,996,339 | 0.4 | ||||||||||||||||
11,612,946 | 5.500%, due 08/15/20 | 11,885,689 | 1.5 | ||||||||||||||||
2,840,550 | 5.500%, due 11/15/22 | 3,062,487 | 0.4 | ||||||||||||||||
3,248,000 | 5.500%, due 12/15/32 | 3,619,816 | 0.5 | ||||||||||||||||
3,767,000 | 5.500%, due 06/15/37 | 4,284,736 | 0.5 | ||||||||||||||||
27,932,218 | ˆ, W | 0.579%–7.500%, due 04/01/14–01/01/41 | 27,658,971 | 3.4 | |||||||||||||||
117,224,881 | 14.6 | ||||||||||||||||||
Federal National Mortgage Association: 20.1%## | |||||||||||||||||||
8,243,000 | W | 3.500%, due 01/25/41 | 8,445,212 | 1.1 | |||||||||||||||
41,268,000 | W | 4.000%, due 07/25/39 | 43,266,919 | 5.4 | |||||||||||||||
6,616,000 | W | 4.000%, due 08/25/40 | 6,915,787 | 0.9 | |||||||||||||||
25,475,000 | W | 4.500%, due 10/15/35 | 27,031,362 | 3.4 | |||||||||||||||
7,200,000 | 4.500%, due 09/01/41 | 7,650,375 | 1.0 | ||||||||||||||||
2,390,242 | 5.000%, due 08/01/35 | 2,581,039 | 0.3 | ||||||||||||||||
9,560,000 | W | 5.000%, due 11/15/37 | 10,259,077 | 1.3 | |||||||||||||||
2,611,000 | W | 5.500%, due 10/15/35 | 2,833,751 | 0.3 | |||||||||||||||
7,674,000 | W | 6.000%, due 10/01/39 | 8,418,620 | 1.0 | |||||||||||||||
3,004,297 | 6.000%, due 12/25/49 | 3,351,418 | 0.4 | ||||||||||||||||
19,797,053 | ˆ | 6.515%, due 10/25/35 | 4,009,921 | 0.5 | |||||||||||||||
43,627,727 | ˆ | 0.630%–27.662%, due 08/01/16–01/25/48 | 35,736,154 | 4.5 | |||||||||||||||
160,499,635 | 20.1 | ||||||||||||||||||
Government National Mortgage Association: 2.8% | |||||||||||||||||||
79,510,468 | ˆ | 2.375%-8.021%, due 12/15/22–10/20/60 | 22,688,194 | 2.8 | |||||||||||||||
Total U.S. Government Agency Obligations | |||||||||||||||||||
(Cost $286,800,623) | 300,412,710 | 37.5 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 7.0% | |||||||||||||||||||
BRL 26,618,000 | Brazil Notas do Tesouro Nacional Serie F, 10.000%, 01/01/15 | 14,054,339 | 1.8 | ||||||||||||||||
BRL 16,345,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/21 | 8,179,798 | 1.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FOREIGN GOVERNMENT BONDS: (continued) | |||||||||||||||||||
1,646,000 | # | Indonesia Government International Bond, 4.875%, 05/05/21 | $ | 1,670,690 | 0.2 | ||||||||||||||
MXN 138,140,000 | Mexican Bonos, 6.500%, 06/10/21 | 10,009,347 | 1.3 | ||||||||||||||||
1,567,295 | # | Russia Government Bond, 7.500%, 03/31/30 | 1,768,112 | 0.2 | |||||||||||||||
891,000 | South Africa Government Bond, 5.500%, 03/09/20 | 978,986 | 0.1 | ||||||||||||||||
ZAR 68,405,501 | South Africa Government Bond, 7.250%, 01/15/20 | 7,962,157 | 1.0 | ||||||||||||||||
983,000 | # | Ukraine Government International Bond, 6.250%, 06/17/16 | 876,099 | 0.1 | |||||||||||||||
BRL 9,370,186 | Other Securities | 10,473,586 | 1.3 | ||||||||||||||||
Total Foreign Government Bonds | |||||||||||||||||||
(Cost $60,572,823) | 55,973,114 | 7.0 | |||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
PREFERRED STOCK: 0.2% | |||||||||||||||||||
Financials: 0.2% | |||||||||||||||||||
63,400 | Other Securities | 1,621,470 | 0.2 | ||||||||||||||||
Total Preferred Stock | |||||||||||||||||||
(Cost $1,647,100) | 1,621,470 | 0.2 | |||||||||||||||||
Total Long-Term Investments | |||||||||||||||||||
(Cost $946,066,458) | 952,437,253 | 118.9 | |||||||||||||||||
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
SHORT-TERM INVESTMENTS: 14.8% | |||||||||||||||||||
Securities Lending Collateral: 12.3% | |||||||||||||||||||
3,329,856 | R | BNY Institutional Cash Reserves Fund, Series B, 11/20/08 | 2,663,885 | 0.4 | |||||||||||||||
95,481,756 | BNY Mellon Overnight Government Fund | 95,481,756 | 11.9 | ||||||||||||||||
98,145,641 | 12.3 | ||||||||||||||||||
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
Mutual Funds: 2.5% | |||||||||||||||||||
20,241,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $20,241,000) | 20,241,000 | 2.5 | ||||||||||||||||
Total Short-Term Investments | |||||||||||||||||||
(Cost $119,052,612) | $ | 118,386,641 | 14.8 | ||||||||||||||||
Total Investments in Securities (Cost $1,065,119,070)* | $ | 1,070,823,894 | 133.7 | ||||||||||||||||
Liabilities in Excess of Other Assets | (269,903,443 | ) | (33.7 | ) | |||||||||||||||
Net Assets | $ | 800,920,451 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
W | Settlement is on a when-issued or delayed-delivery basis. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at September 30, 2011. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
(a) | The grouping contains securities in default. |
BRL | Brazilian Real |
DKK | Danish Krone |
EUR | EU Euro |
LTL | Lithuania Litas |
MXN | Mexican Peso |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,065,181,033. | |||||||
Net unrealized appreciation consists of: | |||||||
Gross Unrealized Appreciation | $ | 29,180,851 | |||||
Gross Unrealized Depreciation | (23,537,990 | ) | |||||
Net Unrealized appreciation | $ | 5,642,861 |
Quoted Prices in Active Markets for Identical Investments (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Fair Value at 9/30/2011 | |||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||
Investments, at value | ||||||||||||||||||
Preferred Stock | $ | — | $ | 1,621,470 | $ | — | $ | 1,621,470 | ||||||||||
Corporate Bonds/Notes | — | 201,329,199 | — | 201,329,199 | ||||||||||||||
Collateralized Mortgage Obligations | — | 86,951,881 | — | 86,951,881 | ||||||||||||||
Short-Term Investments | 115,722,756 | — | 2,663,885 | 118,386,641 | ||||||||||||||
U.S. Treasury Obligations | 9,444,651 | 249,881,566 | — | 259,326,217 | ||||||||||||||
U.S. Government Agency Obligations | — | 300,412,710 | — | 300,412,710 | ||||||||||||||
Asset-Backed Securities | — | 42,999,690 | 3,822,972 | 46,822,662 | ||||||||||||||
Foreign Government Bonds | — | 33,738,977 | 22,234,137 | 55,973,114 | ||||||||||||||
Total Investments, at value | $ | 125,167,407 | $ | 916,935,493 | $ | 28,720,994 | $ | 1,070,823,894 | ||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | — | 1,645,137 | — | 1,645,137 | ||||||||||||||
Futures | 7,707,020 | — | — | 7,707,020 | ||||||||||||||
Forward Foreign Currency Contracts | — | 5,585,194 | — | 5,585,194 | ||||||||||||||
Total Assets | $ | 132,874,427 | $ | 924,165,824 | $ | 28,720,994 | $ | 1,085,761,245 | ||||||||||
Liabilities Table | ||||||||||||||||||
Other Financial Instruments+ | ||||||||||||||||||
Swaps | $ | — | $ | (10,103,095 | ) | $ | — | $ | (10,103,095 | ) | ||||||||
Futures | (5,482,651 ) | — | — | (5,482,651 ) | ||||||||||||||
Forward Foreign Currency Contracts | — | (442,936 ) | — | (442,936 ) | ||||||||||||||
Total Liabilities | $ | (5,482,651 | ) | $ | (10,546,031 | ) | $ | — | $ | (16,028,682 | ) |
Beginning Balance 3/31/2011 | Purchases | Sales | Accrued Discounts/ (Premiums) | Total Realized Gain/(Loss) | Total Unrealized Appreciation/ (Depreciation) | Transfers Into Level 3 | Transfers Out of Level 3 | Ending Balance 9/30/2011 | ||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Asset Table | ||||||||||||||||||||||||||||||||||||||
Investments, at value | ||||||||||||||||||||||||||||||||||||||
U.S. Government Agency Obligations | $ | 1,266,587 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1,266,587 | ) | $ | — | |||||||||||||||||||
Asset-Backed Securities | 10,152,584 | 759,375 | (1,937,696 | ) | 4,974 | 26,653 | (16,437 | ) | — | (5,166,481 | ) | 3,822,972 | ||||||||||||||||||||||||||
Collateralized Mortgage Obligations | 562,285 | — | — | — | — | — | — | (562,285 | ) | — | ||||||||||||||||||||||||||||
Other Bonds | — | — | — | — | — | — | 22,234,137 | — | 22,234,137 | |||||||||||||||||||||||||||||
Short-Term Investments | 2,663,885 | — | — | — | — | — | — | — | 2,663,885 | |||||||||||||||||||||||||||||
Total Investments, at value | $ | 14,645,341 | $ | 759,375 | $ | (1,937,696 | ) | $ | 4,974 | $ | 26,653 | $ | (16,437 | ) | $ | 22,234,137 | $ | (6,995,353 | ) | $ | 28,720,994 |
ˆ | See Note 2, “Significant Accounting Policies” in the Notes to Financial Statements for additional information. |
+ | Other Financial Instruments are derivatives not reflected in the Portfolio of Investments and may include open forward foreign currency contracts, futures, swaps, and written options. Forward foreign currency contracts and futures are valued at the unrealized gain (loss) on the instrument. Swaps and written options are valued at the fair value of the instrument. |
Counterparty | Currency | Contract Amount | Buy/Sell | Settlement Date | In Exchange For | Fair Value | Unrealized Appreciation (Depreciation) | |||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
HSBC | South African Rand | 18,250,687 | Buy | 10/07/11 | $ | 2,479,006 | $ | 2,257,892 | $ | (221,114 | ) | |||||||||||||||||||
Morgan Stanley | South African Rand | 18,250,687 | Buy | 10/07/11 | 2,479,713 | 2,257,891 | (221,822 | ) | ||||||||||||||||||||||
$ | (442,936 | ) | ||||||||||||||||||||||||||||
Deutsche Bank AG | Mexican Peso | 72,475,976 | Sell | 10/07/11 | $ | 5,816,551 | $ | 5,222,235 | $ | 594,316 | ||||||||||||||||||||
Deutsche Bank AG | South African Rand | 102,067,241 | Sell | 10/07/11 | 14,044,920 | 12,627,289 | 1,417,631 | |||||||||||||||||||||||
HSBC | Brazilian Real | 8,999,863 | Sell | 12/16/11 | 4,989,391 | 4,708,100 | 281,291 | |||||||||||||||||||||||
HSBC | Brazilian Real | 36,160,661 | Sell | 12/16/11 | 20,756,342 | 18,916,730 | 1,839,612 | |||||||||||||||||||||||
JPMorgan Chase & Co. | Mexican Peso | 72,499,780 | Sell | 10/07/11 | 5,796,734 | 5,223,950 | 572,784 | |||||||||||||||||||||||
Morgan Stanley | EU Euro | 8,899,103 | Sell | 10/07/11 | 12,801,467 | 11,921,907 | 879,560 | |||||||||||||||||||||||
$ | 5,585,194 |
Contract Description | Number of Contracts | Expiration Date | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Contracts | ||||||||||||||||||
U.S. Treasury 5-Year Note | 1,830 | 12/30/11 | $ | 224,146,415 | $ | (242,222 | ) | |||||||||||
U.S. Treasury Ultra Long Bond | 478 | 12/20/11 | 75,822,750 | 7,628,133 | ||||||||||||||
$ | 299,969,165 | $ | 7,385,911 | |||||||||||||||
Short Contracts | ||||||||||||||||||
U.S. Treasury 10-Year Note | 1,652 | 12/20/11 | $ | 214,914,875 | $ | (2,249,817 | ) | |||||||||||
U.S. Treasury 2-Year Note | 283 | 12/30/11 | 62,317,483 | 78,887 | ||||||||||||||
U.S. Treasury Long Bond | 445 | 12/20/11 | 63,468,125 | (2,990,612 | ) | |||||||||||||
$ | 340,700,483 | $ | (5,161,542 | ) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Termination Date | Notional Amount (2) | Fair Value (3) | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 1,311,000 | $ | 204,937 | $ | 167,764 | $ 37,173 | ||||||||||||||||||||||||
Citigroup, Inc. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 640,000 | 100,046 | 85,334 | 14,712 | ||||||||||||||||||||||||||
JPMorgan Chase & Co. | MBIA Inc. | Buy | (5.000) | 09/20/13 | USD 5,079,000 | 793,957 | 353,701 | 440,256 | ||||||||||||||||||||||||||
$ | 1,098,940 | $ | 606,799 | $492,141 |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Termination Date | Notional Amount (2) | Fair Value (3) | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase & Co. | CDX.NA.HY.17 | Sell | 5.000 | 12/20/16 | USD 39,750,000 | $ | (4,829,652 | ) | $ | (4,693,008 | ) | $(136,644) | ||||||||||||||||||||||
$ | (4,829,652 | ) | $ | (4,693,008 | ) | $(136,644) |
Counterparty | Reference Entity/Obligation | Buy/Sell Protection | (Pay)/Receive Fixed Rate (%) | Termination Date | Implied Credit Spread at 09/30/11 (%) (5) | Notional Amount (2) | Fair Value (3) | Upfront Payments Paid/ (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 1,311,000 | $ | (477,407 | ) | $ | (212,172 | ) | $(265,235) | ||||||||||||||||||||||||||
Citigroup, Inc. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 641,000 | (233,424 | ) | (95,097 | ) | (138,327) | ||||||||||||||||||||||||||||
Goldman Sachs & Co. | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 1,271,000 | (462,841 | ) | (186,175 | ) | (276,666) | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. | �� | MBIA Global Funding, LLC | Sell | 5.000 | 09/20/13 | USD 2,540,000 | (924,954 | ) | (186,713 | ) | (738,241) | |||||||||||||||||||||||||||
$ | (2,098,626 | ) | $ | (680,157 | ) | $(1,418,469) |
(1) | If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, a Fund will either 1.) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or 2.) receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
(2) | The maximum amount of future payments (undiscounted) that a Fund as seller of protection could be required to make or receive as a buyer of credit protection under a credit default swap agreement would be an amount equal to the notional amount of the agreement. |
(3) | The fair values for credit default swap agreements 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. Increasing fair values, in absolute terms, when compared to the notional amount of the agreement, represent a deterioration of the referenced obligation’s credit soundness and a greater likelihood or risk of default or other credit event occurring. |
(4) | If the Fund is a seller of protection, and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will generally either 1.) Pay to the buyer an amount equal to the notional amount of the swap and take delivery of the referenced obligation, other deliverable obligations, or underlying securities comprising a referenced index or 2.) Pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising a referenced index. |
(5) | Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swap agreements on corporate issues or sovereign issues are disclosed in each Fund’s Portfolio of Investment and 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. For credit default swaps on asset-backed securities or credit indices, the quoted market prices and resulting market values serve as the indicator of the current status of the payment/performance risk. Wider credit spreads and increasing fair values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Termination Date | Notional Amount | Fair Value | Upfront Payments Paid/(Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 3.478% Counterparty: Citigroup, Inc. | 05/11/20 | USD 19,944,000 | $(2,471,761 | ) | $ | — | $ | (2,471,761 | ) | ||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 0.007% Counterparty: Morgan Stanley | 09/27/14 | USD 92,800,000 | 223,751 | — | 223,751 | ||||||||||||||||||
Receive a fixed rate equal to 1.510% and pay a floating rate based on the 3-month USD-LIBOR-BBA Counterparty: Morgan Stanley | 09/27/17 | USD 81,300,000 | (703,056) | — | (703,056 | ) | |||||||||||||||||
Receive a floating rate based on the 3-month USD-LIBOR-BBA and pay a fixed rate equal to 0.022% Counterparty: Morgan Stanley | 09/27/22 | USD 23,200,000 | 322,446 | — | 322,446 | ||||||||||||||||||
$(2,628,620 | ) | $ | — | $ | (2,628,620 | ) |
Derivatives not accounted for as hedging instruments | Location on Statement of Assets and Liabilities | Fair Value | ||||||||
---|---|---|---|---|---|---|---|---|---|---|
Asset Derivatives | ||||||||||
Foreign exchange contracts | Unrealized appreciation on forward foreign currency contracts | $ | 5,585,194 | |||||||
Credit contracts | Upfront payments paid on swap agreements | 606,799 | ||||||||
Credit contracts | Unrealized appreciation on swap agreements | 492,141 | ||||||||
Interest rate contracts | Unrealized appreciation on swap agreements | 546,197 | ||||||||
Interest rate contracts | Net Assets — Unrealized appreciation* | 7,707,020 | ||||||||
Total Asset Derivatives | $ | 14,937,351 | ||||||||
Liability Derivatives | ||||||||||
Foreign exchange contracts | Unrealized depreciation on forward foreign currency contracts | $ | 442,936 | |||||||
Credit contracts | Upfront payments received on swap agreements | 5,373,165 | ||||||||
Credit contracts | Unrealized depreciation on swap agreements | 1,555,113 | ||||||||
Interest rate contracts | Unrealized depreciation on swap agreements | 3,174,817 | ||||||||
Interest rate contracts | Net Assets — Unrealized depreciation* | 5,482,651 | ||||||||
Total Liability Derivatives | $ | 16,028,682 |
* | Includes cumulative appreciation/depreciation of futures contracts as reported in the table following the Summary Portfolio of Investments. |
Amount of Realized Gain or (Loss) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (93,517 | ) | $ | — | $ | (93,517 | ) | |||||||||||||
Foreign exchange contracts | — | (196,015 | ) | — | — | — | (196,015 | ) | |||||||||||||||||||
Interest rate contracts | 361,937 | — | (5,617,259 | ) | (46,102 | ) | 222,470 | (5,078,954 | ) | ||||||||||||||||||
Total | $ | 361,937 | $ | (196,015 | ) | $ | (5,617,259 | ) | $ | (139,619 | ) | $ | 222,470 | $ | (5,368,486 | ) |
Change in Unrealized Appreciation or (Depreciation) on Derivatives Recognized in Income | |||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives not accounted for as hedging instruments | Investments* | Foreign currency related transactions** | Futures | Swaps | Written options | Total | |||||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | (113,066 | ) | $ | — | $ | (113,066 | ) | |||||||||||||
Foreign exchange contracts | — | 6,014,303 | — | — | — | 6,014,303 | |||||||||||||||||||||
Interest rate contracts | (175,097 | ) | — | 2,132,003 | (2,637,627 | ) | 46,538 | (634,183 | ) | ||||||||||||||||||
Total | $ | (175,097 | ) | $ | 6,014,303 | $ | 2,132,003 | $ | (2,750,693 | ) | $ | 46,538 | $ | 5,267,054 |
* | Amounts recognized for purchased options are included in net realized gain (loss) on investments and net change in unrealized appreciation or depreciation on investments. |
** | Amounts recognized for forward foreign currency contracts are included in net realized gain (loss) on foreign currency related transactions and net change in unrealized appreciation or depreciation on foreign currency related transactions. |
ING Investments, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Funds Services, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
ING Investments Distributor, LLC
7337 East Doubletree Ranch Road, Suite 100
Scottsdale, Arizona 85258
BNY Mellon Investment Servicing (U.S.) Inc.
301 Bellevue Parkway
Wilmington, Delaware 19809
The Bank of New York Mellon
One Wall Street
New York, New York 10286
Dechert LLP
1775 I Street, N.W.
Washington, D.C. 20006
Table of Contents
Item 2. | Code of Ethics. |
Not required for semi-annual filing.
Item 3. | Audit Committee Financial Expert. |
Not required for semi-annual filing.
Item 4. | Principal Accountant Fees and Services. |
Not required for semi-annual filing.
Item 5. | Audit Committee Of Listed Registrants. |
Not required for semi-annual filing.
Table of Contents
Item 6. | Schedule of Investments. |
For the Portfolios that have a complete Schedule of Investments, the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: 107.6% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 3.5%## | |||||||||||||||||||
23,428,029 | ˆ | 0.500%, due 07/15/36 | $ | 425,769 | 0.1 | ||||||||||||||
717,739 | 5.450%, due 03/01/37 | 778,373 | 0.1 | ||||||||||||||||
636,695 | 5.450%, due 07/01/37 | 685,788 | 0.1 | ||||||||||||||||
168,991 | 5.450%, due 12/01/37 | 183,267 | 0.0 | ||||||||||||||||
456,770 | 5.450%, due 12/01/37 | 495,358 | 0.1 | ||||||||||||||||
150,707 | 5.450%, due 05/01/38 | 163,189 | 0.0 | ||||||||||||||||
2,799,980 | ˆ | 5.500%, due 09/15/35 | 531,728 | 0.1 | |||||||||||||||
712,438 | 5.625%, due 12/01/36 | 787,615 | 0.1 | ||||||||||||||||
116,836 | 5.625%, due 12/01/36 | 129,424 | 0.0 | ||||||||||||||||
680,003 | 5.625%, due 01/01/37 | 753,128 | 0.1 | ||||||||||||||||
109,770 | 5.625%, due 01/01/37 | 121,335 | 0.0 | ||||||||||||||||
65,694 | 5.625%, due 01/01/37 | 72,522 | 0.0 | ||||||||||||||||
43,466 | 5.625%, due 02/01/37 | 48,186 | 0.0 | ||||||||||||||||
579,279 | 5.625%, due 03/01/37 | 641,460 | 0.1 | ||||||||||||||||
194,509 | 5.625%, due 03/01/37 | 214,724 | 0.0 | ||||||||||||||||
86,219 | 5.625%, due 03/01/37 | 95,575 | 0.0 | ||||||||||||||||
94,877 | 5.625%, due 04/01/37 | 104,686 | 0.0 | ||||||||||||||||
197,505 | 5.625%, due 05/01/37 | 218,379 | 0.0 | ||||||||||||||||
184,030 | 5.625%, due 06/01/37 | 203,223 | 0.0 | ||||||||||||||||
234,377 | 5.625%, due 07/01/37 | 259,303 | 0.0 | ||||||||||||||||
352,148 | 5.625%, due 07/01/37 | 389,068 | 0.1 | ||||||||||||||||
33,645 | 5.625%, due 12/01/37 | 37,296 | 0.0 | ||||||||||||||||
507,420 | 5.625%, due 02/01/38 | 559,786 | 0.1 | ||||||||||||||||
306,024 | 5.650%, due 02/01/37 | 333,389 | 0.0 | ||||||||||||||||
791,699 | 5.650%, due 02/01/37 | 864,226 | 0.1 | ||||||||||||||||
675,652 | 5.700%, due 06/01/37 | 732,679 | 0.1 | ||||||||||||||||
341,373 | 5.700%, due 09/01/37 | 370,186 | 0.1 | ||||||||||||||||
502,034 | 5.700%, due 12/01/37 | 547,577 | 0.1 | ||||||||||||||||
160,548 | 5.700%, due 01/01/38 | 175,113 | 0.0 | ||||||||||||||||
85,088 | 5.700%, due 07/01/38 | 92,693 | 0.0 | ||||||||||||||||
176,236 | 5.700%, due 07/01/38 | 191,987 | 0.0 | ||||||||||||||||
166,669 | 5.790%, due 12/01/37 | 182,178 | 0.0 | ||||||||||||||||
133,406 | 5.790%, due 03/01/38 | 145,663 | 0.0 | ||||||||||||||||
133,396 | 5.800%, due 10/01/36 | 146,135 | 0.0 | ||||||||||||||||
231,613 | 5.800%, due 12/01/36 | 253,732 | 0.0 | ||||||||||||||||
10,045,020 | 6.000%, due 05/15/36 | 11,928,065 | 1.4 | ||||||||||||||||
328,507 | 6.050%, due 04/01/38 | 361,052 | 0.1 | ||||||||||||||||
369,482 | 6.050%, due 08/01/38 | 406,087 | 0.1 | ||||||||||||||||
179,973 | 6.090%, due 10/01/37 | 198,154 | 0.0 | ||||||||||||||||
141,141 | 6.090%, due 11/01/37 | 155,399 | 0.0 | ||||||||||||||||
132,221 | 6.090%, due 12/01/37 | 144,937 | 0.0 | ||||||||||||||||
2,410,188 | 6.090%, due 12/01/37 | 2,641,983 | 0.3 | ||||||||||||||||
13,075 | 7.000%, due 11/01/14 | 13,946 | 0.0 | ||||||||||||||||
86,513 | 7.500%, due 12/01/14 | 93,469 | 0.0 | ||||||||||||||||
42,878 | 7.500%, due 01/01/30 | 49,965 | 0.0 | ||||||||||||||||
1,214,843 | ˆ | 7.750%, due 10/25/23 | 272,330 | 0.0 | |||||||||||||||
12,045 | 8.000%, due 01/01/30 | 12,773 | 0.0 | ||||||||||||||||
1,017,444 | 9.000%, due 12/17/30 | 1,208,550 | 0.2 | ||||||||||||||||
26,549 | 9.500%, due 07/01/20 | 31,510 | 0.0 | ||||||||||||||||
29,452,960 | 3.5 | ||||||||||||||||||
Federal National Mortgage Association: 11.2%## | |||||||||||||||||||
4,945,072 | 4.500%, due 07/01/41 | 5,254,396 | 0.6 | ||||||||||||||||
32,837,000 | 4.500%, due 09/01/41 | 34,891,021 | 4.1 | ||||||||||||||||
17,731,054 | 4.500%, due 09/01/41 | 18,840,167 | 2.2 | ||||||||||||||||
460,434 | 5.300%, due 09/01/36 | 504,869 | 0.1 | ||||||||||||||||
119,484 | 5.300%, due 10/01/36 | 131,151 | 0.0 | ||||||||||||||||
226,283 | 5.300%, due 10/01/36 | 248,134 | 0.0 | ||||||||||||||||
627,783 | 5.300%, due 12/01/36 | 687,209 | 0.1 | ||||||||||||||||
451,759 | 5.300%, due 12/01/36 | 495,513 | 0.1 | ||||||||||||||||
245,026 | 5.300%, due 02/01/37 | 268,089 | 0.0 | ||||||||||||||||
571,385 | 5.300%, due 04/01/37 | 625,472 | 0.1 | ||||||||||||||||
355,226 | 5.300%, due 05/01/37 | 388,989 | 0.1 | ||||||||||||||||
133,612 | 5.300%, due 06/01/37 | 146,207 | 0.0 | ||||||||||||||||
902,907 | 5.300%, due 08/01/37 | 988,016 | 0.1 | ||||||||||||||||
79,069 | 5.300%, due 10/01/37 | 86,584 | 0.0 | ||||||||||||||||
5,450,072 | 6.000%, due 06/25/29 | 6,108,419 | 0.7 | ||||||||||||||||
2,452,044 | 6.000%, due 10/25/37 | 3,080,997 | 0.4 | ||||||||||||||||
782,827 | 6.000%, due 01/25/44 | 891,727 | 0.1 | ||||||||||||||||
12,401 | 6.500%, due 06/01/14 | 13,026 | 0.0 | ||||||||||||||||
273,205 | 6.500%, due 02/01/29 | 315,500 | 0.0 | ||||||||||||||||
4,825,878 | 6.500%, due 07/25/34 | 5,335,809 | 0.6 | ||||||||||||||||
1,115,613 | 6.500%, due 12/25/41 | 1,323,591 | 0.2 | ||||||||||||||||
2,461,702 | 6.500%, due 12/25/42 | 2,885,265 | 0.4 | ||||||||||||||||
2,153,959 | 6.500%, due 02/25/44 | 2,413,978 | 0.3 | ||||||||||||||||
327,327 | 6.600%, due 07/01/27 | 371,758 | 0.1 | ||||||||||||||||
128,033 | 6.600%, due 09/01/27 | 145,650 | 0.0 | ||||||||||||||||
52,707 | 6.600%, due 11/01/27 | 59,959 | 0.0 | ||||||||||||||||
90,149 | 6.600%, due 03/01/28 | 102,553 | 0.0 | ||||||||||||||||
105,754 | 6.600%, due 06/01/28 | 120,475 | 0.0 | ||||||||||||||||
16,337 | 7.000%, due 03/01/15 | 17,127 | 0.0 | ||||||||||||||||
57,866 | 7.500%, due 05/01/28 | 67,521 | 0.0 | ||||||||||||||||
2,299,783 | 7.500%, due 08/25/42 | 2,698,728 | 0.3 | ||||||||||||||||
2,324,919 | 8.000%, due 12/25/45 | 2,846,025 | 0.3 | ||||||||||||||||
17,345 | 8.500%, due 08/01/15 | 17,540 | 0.0 | ||||||||||||||||
22,754 | 8.500%, due 09/01/15 | 25,153 | 0.0 | ||||||||||||||||
1,686,991 | 10.437%, due 09/25/42 | 2,138,603 | 0.3 | ||||||||||||||||
94,535,221 | 11.2 | ||||||||||||||||||
Government National Mortgage Association: 92.9% | |||||||||||||||||||
84,164,018 | ˆ | 0.250%, due 06/20/36 | 411,907 | 0.1 | |||||||||||||||
14,494,053 | ˆ | 0.861%, due 02/16/48 | 511,014 | 0.1 | |||||||||||||||
89,176,070 | ˆ | 0.882%, due 01/16/50 | 4,514,217 | 0.5 | |||||||||||||||
74,580,229 | ˆ | 0.909%, due 11/16/46 | 2,819,289 | 0.3 | |||||||||||||||
99,351,981 | ˆ | 1.097%, due 01/16/51 | 5,214,101 | 0.6 | |||||||||||||||
25,919,940 | ˆ | 2.616%, due 10/16/52 | 2,557,233 | 0.3 | |||||||||||||||
15,000,000 | W | 3.500%, due 02/15/41 | 15,675,000 | 1.9 | |||||||||||||||
77,500,000 | W | 3.500%, due 02/15/41 | 80,672,656 | 9.6 | |||||||||||||||
468,220 | 4.000%, due 05/20/33 | 506,387 | 0.1 | ||||||||||||||||
718,130 | 4.000%, due 08/15/33 | 773,607 | 0.1 | ||||||||||||||||
682,298 | 4.000%, due 01/15/34 | 733,834 | 0.1 | ||||||||||||||||
303,425 | 4.000%, due 03/15/34 | 327,333 | 0.0 | ||||||||||||||||
766,387 | 4.000%, due 08/20/35 | 824,395 | 0.1 | ||||||||||||||||
1,638,950 | 4.000%, due 05/15/40 | 1,756,343 | 0.2 | ||||||||||||||||
33,599,000 | 4.000%, due 06/20/41 | 35,945,678 | 4.3 | ||||||||||||||||
20,553,731 | ˆ | 4.500%, due 08/20/33 | 1,810,239 | 0.2 | |||||||||||||||
891,994 | 4.500%, due 01/20/34 | 972,794 | 0.1 | ||||||||||||||||
365,355 | 4.500%, due 01/20/34 | 398,450 | 0.1 | ||||||||||||||||
806,053 | 4.500%, due 03/20/34 | 880,383 | 0.1 | ||||||||||||||||
299,948 | 4.500%, due 05/20/34 | 327,118 | 0.0 | ||||||||||||||||
358,424 | 4.500%, due 06/20/34 | 390,891 | 0.1 | ||||||||||||||||
4,071,485 | ˆ | 4.500%, due 02/20/35 | 400,004 | 0.1 | |||||||||||||||
1,000,395 | 4.500%, due 10/20/35 | 1,090,975 | 0.1 | ||||||||||||||||
2,481,959 | ˆ | 4.500%, due 02/20/36 | 195,804 | 0.0 | |||||||||||||||
772,237 | ˆ | 4.500%, due 12/20/37 | 113,972 | 0.0 | |||||||||||||||
1,718,723 | 4.500%, due 05/20/38 | 1,833,171 | 0.2 | ||||||||||||||||
3,574,464 | 4.500%, due 07/20/38 | 3,879,667 | 0.5 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
1,355,408 | 4.500%, due 07/20/38 | $ | 1,471,139 | 0.2 | |||||||||||||||
1,366,497 | 4.500%, due 07/20/38 | 1,457,491 | 0.2 | ||||||||||||||||
395,627 | 4.500%, due 06/20/39 | 426,917 | 0.1 | ||||||||||||||||
4,194,046 | 4.500%, due 10/15/39 | 4,575,554 | 0.5 | ||||||||||||||||
3,654,791 | 4.500%, due 11/15/39 | 3,987,247 | 0.5 | ||||||||||||||||
4,285,170 | 4.500%, due 11/15/39 | 4,674,968 | 0.6 | ||||||||||||||||
984,868 | 4.500%, due 12/15/39 | 1,074,455 | 0.1 | ||||||||||||||||
4,741,661 | 4.500%, due 02/20/40 | 5,149,275 | 0.6 | ||||||||||||||||
4,249,612 | 4.861%, due 06/20/61 | 4,665,154 | 0.6 | ||||||||||||||||
321,783 | 5.000%, due 05/15/18 | 344,550 | 0.0 | ||||||||||||||||
876,250 | 5.000%, due 02/15/23 | 946,627 | 0.1 | ||||||||||||||||
603,050 | 5.000%, due 02/15/24 | 652,106 | 0.1 | ||||||||||||||||
929,249 | 5.000%, due 02/15/24 | 1,006,728 | 0.1 | ||||||||||||||||
480,111 | 5.000%, due 02/15/24 | 521,192 | 0.1 | ||||||||||||||||
911,360 | 5.000%, due 02/15/24 | 983,645 | 0.1 | ||||||||||||||||
414,479 | 5.000%, due 03/15/24 | 447,353 | 0.1 | ||||||||||||||||
626,002 | 5.000%, due 03/15/24 | 680,544 | 0.1 | ||||||||||||||||
1,575,659 | 5.000%, due 03/15/24 | 1,707,035 | 0.2 | ||||||||||||||||
410,131 | 5.000%, due 03/15/24 | 445,224 | 0.1 | ||||||||||||||||
813,351 | 5.000%, due 03/15/24 | 881,167 | 0.1 | ||||||||||||||||
344,682 | 5.000%, due 03/20/24 | 372,096 | 0.1 | ||||||||||||||||
1,105,739 | 5.000%, due 04/15/24 | 1,197,934 | 0.1 | ||||||||||||||||
569,207 | 5.000%, due 04/15/29 | 632,838 | 0.1 | ||||||||||||||||
548,273 | 5.000%, due 04/15/30 | 608,936 | 0.1 | ||||||||||||||||
690,611 | 5.000%, due 10/15/30 | 767,024 | 0.1 | ||||||||||||||||
460,104 | 5.000%, due 07/15/33 | 508,303 | 0.1 | ||||||||||||||||
757,856 | 5.000%, due 10/20/33 | 834,930 | 0.1 | ||||||||||||||||
444,737 | 5.000%, due 12/20/33 | 489,967 | 0.1 | ||||||||||||||||
1,059,212 | 5.000%, due 12/20/33 | 1,166,934 | 0.1 | ||||||||||||||||
392,789 | 5.000%, due 12/20/33 | 432,735 | 0.1 | ||||||||||||||||
149,258 | 5.000%, due 02/20/34 | 164,321 | 0.0 | ||||||||||||||||
427,008 | 5.000%, due 03/15/34 | 471,607 | 0.1 | ||||||||||||||||
1,463,215 | 5.000%, due 04/15/34 | 1,611,011 | 0.2 | ||||||||||||||||
375,778 | 5.000%, due 04/15/34 | 413,735 | 0.1 | ||||||||||||||||
304,181 | 5.000%, due 04/20/34 | 334,879 | 0.0 | ||||||||||||||||
810,731 | 5.000%, due 06/20/34 | 892,549 | 0.1 | ||||||||||||||||
412,668 | 5.000%, due 07/20/34 | 454,313 | 0.1 | ||||||||||||||||
225,297 | 5.000%, due 09/20/34 | 248,034 | 0.0 | ||||||||||||||||
4,660,102 | 5.000%, due 10/20/34 | 5,415,221 | 0.6 | ||||||||||||||||
875,911 | 5.000%, due 12/20/34 | 964,307 | 0.1 | ||||||||||||||||
341,309 | 5.000%, due 12/20/34 | 375,754 | 0.1 | ||||||||||||||||
279,295 | 5.000%, due 01/15/35 | 308,553 | 0.0 | ||||||||||||||||
890,127 | 5.000%, due 03/15/35 | 982,749 | 0.1 | ||||||||||||||||
320,614 | 5.000%, due 03/15/35 | 353,599 | 0.0 | ||||||||||||||||
2,626,500 | 5.000%, due 03/20/35 | 3,003,775 | 0.4 | ||||||||||||||||
534,969 | 5.000%, due 04/15/35 | 594,160 | 0.1 | ||||||||||||||||
1,255,683 | 5.000%, due 04/15/35 | 1,388,632 | 0.2 | ||||||||||||||||
317,099 | 5.000%, due 04/15/35 | 349,723 | 0.0 | ||||||||||||||||
548,262 | 5.000%, due 04/15/35 | 605,169 | 0.1 | ||||||||||||||||
24,339,715 | ˆ | 5.000%, due 05/20/35 | 2,222,433 | 0.3 | |||||||||||||||
715,372 | 5.000%, due 05/20/35 | 790,813 | 0.1 | ||||||||||||||||
428,876 | 5.000%, due 06/15/35 | 476,329 | 0.1 | ||||||||||||||||
575,483 | 5.000%, due 07/15/35 | 635,769 | 0.1 | ||||||||||||||||
1,602,230 | ˆ | 5.000%, due 09/16/35 | 144,467 | 0.0 | |||||||||||||||
3,775,350 | 5.000%, due 11/20/35 | 4,173,491 | 0.5 | ||||||||||||||||
421,746 | 5.000%, due 12/15/35 | 464,346 | 0.1 | ||||||||||||||||
2,406,912 | 5.000%, due 04/20/36 | 2,656,979 | 0.3 | ||||||||||||||||
1,946,512 | 5.000%, due 05/20/36 | 2,148,746 | 0.3 | ||||||||||||||||
37,468,383 | ˆ | 5.000%, due 04/20/37 | 4,724,864 | 0.6 | |||||||||||||||
250,661 | 5.000%, due 05/20/37 | 274,956 | 0.0 | ||||||||||||||||
1,420,136 | 5.000%, due 12/20/37 | 1,557,782 | 0.2 | ||||||||||||||||
381,234 | 5.000%, due 12/20/37 | 418,185 | 0.1 | ||||||||||||||||
1,094,282 | 5.000%, due 01/20/38 | 1,200,407 | 0.1 | ||||||||||||||||
1,039,779 | 5.000%, due 01/20/38 | 1,140,619 | 0.1 | ||||||||||||||||
349,288 | 5.000%, due 02/15/38 | 384,023 | 0.1 | ||||||||||||||||
796,207 | 5.000%, due 05/20/38 | 853,117 | 0.1 | ||||||||||||||||
2,456,857 | 5.000%, due 06/20/38 | 2,632,464 | 0.3 | ||||||||||||||||
1,046,908 | 5.000%, due 06/20/38 | 1,139,404 | 0.1 | ||||||||||||||||
1,362,847 | 5.000%, due 06/20/38 | 1,483,256 | 0.2 | ||||||||||||||||
893,111 | 5.000%, due 08/20/38 | 956,947 | 0.1 | ||||||||||||||||
3,641,539 | 5.000%, due 10/20/38 | 3,901,823 | 0.5 | ||||||||||||||||
1,304,680 | 5.000%, due 11/20/38 | 1,397,933 | 0.2 | ||||||||||||||||
2,236,934 | 5.000%, due 12/20/38 | 2,396,822 | 0.3 | ||||||||||||||||
7,467,451 | 5.000%, due 01/20/39 | 8,001,197 | 1.0 | ||||||||||||||||
1,068,221 | 5.000%, due 02/15/39 | 1,180,459 | 0.1 | ||||||||||||||||
922,034 | 5.000%, due 03/15/39 | 1,022,658 | 0.1 | ||||||||||||||||
1,604,259 | 5.000%, due 06/16/39 | 1,715,513 | 0.2 | ||||||||||||||||
681,784 | 5.000%, due 07/20/39 | 730,515 | 0.1 | ||||||||||||||||
1,867,742 | 5.000%, due 10/20/39 | 2,054,788 | 0.2 | ||||||||||||||||
4,684,037 | 5.000%, due 11/15/39 | 5,186,435 | 0.6 | ||||||||||||||||
1,067,642 | 5.000%, due 11/15/39 | 1,182,154 | 0.1 | ||||||||||||||||
2,441,612 | 5.000%, due 11/15/39 | 2,703,493 | 0.3 | ||||||||||||||||
4,767,089 | 5.000%, due 12/20/39 | 5,289,928 | 0.6 | ||||||||||||||||
2,653,492 | 5.000%, due 12/20/39 | 2,919,227 | 0.4 | ||||||||||||||||
2,231,048 | 5.000%, due 04/15/40 | 2,458,492 | 0.3 | ||||||||||||||||
27,389,477 | 5.000%, due 05/15/40 | 30,267,290 | 3.6 | ||||||||||||||||
9,660,989 | 5.000%, due 07/20/40 | 10,628,493 | 1.3 | ||||||||||||||||
2,274,481 | 5.000%, due 09/15/40 | 2,500,666 | 0.3 | ||||||||||||||||
3,621,027 | 5.000%, due 09/15/40 | 3,981,121 | 0.5 | ||||||||||||||||
10,125,442 | 5.000%, due 06/15/41 | 11,148,188 | 1.3 | ||||||||||||||||
6,941,468 | 5.000%, due 06/20/41 | 7,636,625 | 0.9 | ||||||||||||||||
14,616,523 | 5.000%, due 07/20/41 | 16,080,301 | 1.9 | ||||||||||||||||
2,421,745 | 5.000%, due 08/15/41 | 2,666,359 | 0.3 | ||||||||||||||||
4,372,558 | 5.000%, due 09/15/41 | 4,814,219 | 0.6 | ||||||||||||||||
533,490 | 5.100%, due 04/20/32 | 586,817 | 0.1 | ||||||||||||||||
226,802 | 5.250%, due 11/20/36 | 252,235 | 0.0 | ||||||||||||||||
100,371 | 5.250%, due 03/20/37 | 111,580 | 0.0 | ||||||||||||||||
64,772 | 5.250%, due 05/20/37 | 72,136 | 0.0 | ||||||||||||||||
69,827 | 5.250%, due 05/20/37 | 77,625 | 0.0 | ||||||||||||||||
69,919 | 5.250%, due 06/20/37 | 77,727 | 0.0 | ||||||||||||||||
222,634 | 5.250%, due 09/20/37 | 247,948 | 0.0 | ||||||||||||||||
269,751 | 5.250%, due 10/20/37 | 299,874 | 0.0 | ||||||||||||||||
226,635 | 5.250%, due 11/20/37 | 251,943 | 0.0 | ||||||||||||||||
81,668 | 5.250%, due 12/20/37 | 90,788 | 0.0 | ||||||||||||||||
158,052 | 5.250%, due 01/20/38 | 175,702 | 0.0 | ||||||||||||||||
8,100,000 | 5.250%, due 01/20/38 | 9,408,925 | 1.1 | ||||||||||||||||
54,237 | 5.250%, due 01/20/38 | 60,294 | 0.0 | ||||||||||||||||
1,050,883 | 5.300%, due 09/20/36 | 1,148,512 | 0.1 | ||||||||||||||||
790,567 | 5.300%, due 10/20/36 | 879,220 | 0.1 | ||||||||||||||||
178,962 | 5.300%, due 11/20/36 | 199,030 | 0.0 | ||||||||||||||||
303,800 | 5.300%, due 11/20/36 | 337,773 | 0.0 | ||||||||||||||||
510,479 | 5.300%, due 12/20/36 | 567,724 | 0.1 | ||||||||||||||||
502,727 | 5.300%, due 02/20/37 | 558,945 | 0.1 | ||||||||||||||||
177,539 | 5.300%, due 03/20/37 | 197,392 | 0.0 | ||||||||||||||||
177,529 | 5.300%, due 04/20/37 | 198,916 | 0.0 | ||||||||||||||||
202,981 | 5.300%, due 04/20/37 | 225,680 | 0.0 | ||||||||||||||||
275,582 | 5.300%, due 06/20/37 | 306,486 | 0.0 | ||||||||||||||||
221,474 | 5.300%, due 07/20/37 | 246,241 | 0.0 | ||||||||||||||||
170,322 | 5.300%, due 09/20/37 | 189,369 | 0.0 | ||||||||||||||||
318,440 | 5.300%, due 09/20/37 | 354,050 | 0.0 | ||||||||||||||||
65,857 | 5.300%, due 10/20/37 | 73,598 | 0.0 | ||||||||||||||||
88,525 | 5.450%, due 02/15/29 | 98,555 | 0.0 | ||||||||||||||||
91,223 | 5.450%, due 10/15/29 | 101,559 | 0.0 | ||||||||||||||||
828,853 | 5.450%, due 06/15/37 | 916,276 | 0.1 | ||||||||||||||||
115,232 | 5.450%, due 10/15/37 | 127,386 | 0.0 | ||||||||||||||||
90,661 | 5.450%, due 01/15/38 | 100,196 | 0.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
187,500 | 5.450%, due 05/15/38 | $ | 207,220 | 0.0 | |||||||||||||||
123,263 | 5.450%, due 07/15/38 | 136,228 | 0.0 | ||||||||||||||||
13,484,574 | 5.473%, due 01/20/60 | 15,068,846 | 1.8 | ||||||||||||||||
485,525 | 5.500%, due 08/20/24 | 539,972 | 0.1 | ||||||||||||||||
17,582 | 5.500%, due 04/20/29 | 19,666 | 0.0 | ||||||||||||||||
199,932 | 5.500%, due 10/15/32 | 222,212 | 0.0 | ||||||||||||||||
846,370 | 5.500%, due 12/15/32 | 945,273 | 0.1 | ||||||||||||||||
254,330 | 5.500%, due 12/20/32 | 283,685 | 0.0 | ||||||||||||||||
221,588 | 5.500%, due 06/15/33 | 246,282 | 0.0 | ||||||||||||||||
348,000 | 5.500%, due 07/15/33 | 386,781 | 0.1 | ||||||||||||||||
310,046 | 5.500%, due 07/20/33 | 342,869 | 0.0 | ||||||||||||||||
260,344 | 5.500%, due 08/20/33 | 290,230 | 0.0 | ||||||||||||||||
1,878,592 | 5.500%, due 10/15/33 | 2,087,940 | 0.3 | ||||||||||||||||
4,039,993 | 5.500%, due 11/15/33 | 4,490,204 | 0.5 | ||||||||||||||||
2,818,061 | ˆ | 5.500%, due 11/20/33 | 156,852 | 0.0 | |||||||||||||||
419,607 | 5.500%, due 11/20/33 | 464,028 | 0.1 | ||||||||||||||||
114,114 | 5.500%, due 12/20/33 | 126,195 | 0.0 | ||||||||||||||||
267,148 | 5.500%, due 12/20/33 | 298,456 | 0.0 | ||||||||||||||||
667,906 | 5.500%, due 01/15/34 | 738,580 | 0.1 | ||||||||||||||||
1,016,188 | 5.500%, due 01/15/34 | 1,123,715 | 0.1 | ||||||||||||||||
1,316,709 | 5.500%, due 02/15/34 | 1,456,036 | 0.2 | ||||||||||||||||
328,623 | 5.500%, due 02/15/34 | 363,396 | 0.0 | ||||||||||||||||
409,415 | 5.500%, due 03/15/34 | 456,574 | 0.1 | ||||||||||||||||
3,954,016 | 5.500%, due 03/16/34 | 4,692,772 | 0.6 | ||||||||||||||||
372,836 | 5.500%, due 03/20/34 | 412,495 | 0.1 | ||||||||||||||||
1,373,425 | 5.500%, due 04/15/34 | 1,518,753 | 0.2 | ||||||||||||||||
184,322 | 5.500%, due 04/15/34 | 206,350 | 0.0 | ||||||||||||||||
623,702 | 5.500%, due 04/15/34 | 693,596 | 0.1 | ||||||||||||||||
996,555 | 5.500%, due 04/15/34 | 1,111,346 | 0.1 | ||||||||||||||||
144,687 | 5.500%, due 04/20/34 | 161,274 | 0.0 | ||||||||||||||||
1,579,686 | 5.500%, due 04/20/34 | 1,761,026 | 0.2 | ||||||||||||||||
138,334 | 5.500%, due 04/20/34 | 153,048 | 0.0 | ||||||||||||||||
2,617,283 | 5.500%, due 04/20/34 | 2,895,684 | 0.3 | ||||||||||||||||
149,156 | 5.500%, due 05/15/34 | 166,338 | 0.0 | ||||||||||||||||
502,658 | 5.500%, due 06/15/34 | 562,732 | 0.1 | ||||||||||||||||
417,162 | 5.500%, due 06/15/34 | 465,215 | 0.1 | ||||||||||||||||
228,855 | 5.500%, due 06/20/34 | 253,198 | 0.0 | ||||||||||||||||
615,641 | 5.500%, due 06/20/34 | 686,218 | 0.1 | ||||||||||||||||
311,778 | 5.500%, due 07/15/34 | 347,691 | 0.0 | ||||||||||||||||
156,582 | 5.500%, due 07/20/34 | 174,532 | 0.0 | ||||||||||||||||
472,467 | 5.500%, due 07/20/34 | 526,925 | 0.1 | ||||||||||||||||
926,736 | 5.500%, due 08/15/34 | 1,033,485 | 0.1 | ||||||||||||||||
767,850 | 5.500%, due 08/15/34 | 856,298 | 0.1 | ||||||||||||||||
3,222,371 | 5.500%, due 08/15/34 | 3,593,551 | 0.4 | ||||||||||||||||
354,509 | 5.500%, due 08/15/34 | 395,344 | 0.1 | ||||||||||||||||
322,539 | 5.500%, due 08/20/34 | 356,847 | 0.0 | ||||||||||||||||
252,073 | 5.500%, due 08/20/34 | 278,886 | 0.0 | ||||||||||||||||
649,238 | 5.500%, due 09/15/34 | 726,831 | 0.1 | ||||||||||||||||
849,262 | 5.500%, due 09/15/34 | 947,087 | 0.1 | ||||||||||||||||
478,821 | 5.500%, due 09/15/34 | 533,976 | 0.1 | ||||||||||||||||
278,808 | 5.500%, due 09/15/34 | 309,718 | 0.0 | ||||||||||||||||
322,808 | 5.500%, due 09/15/34 | 361,388 | 0.0 | ||||||||||||||||
1,688,871 | 5.500%, due 09/15/34 | 1,876,021 | 0.2 | ||||||||||||||||
900,325 | 5.500%, due 10/15/34 | 1,004,032 | 0.1 | ||||||||||||||||
460,118 | 5.500%, due 10/15/34 | 512,687 | 0.1 | ||||||||||||||||
216,611 | 5.500%, due 10/15/34 | 240,886 | 0.0 | ||||||||||||||||
123,084 | 5.500%, due 12/15/34 | 136,762 | 0.0 | ||||||||||||||||
681,379 | 5.500%, due 01/15/35 | 755,821 | 0.1 | ||||||||||||||||
724,829 | 5.500%, due 01/15/35 | 805,055 | 0.1 | ||||||||||||||||
518,894 | 5.500%, due 01/15/35 | 580,909 | 0.1 | ||||||||||||||||
400,130 | 5.500%, due 01/20/35 | 442,873 | 0.1 | ||||||||||||||||
800,833 | 5.500%, due 02/15/35 | 893,080 | 0.1 | ||||||||||||||||
992,935 | 5.500%, due 03/15/35 | 1,102,836 | 0.1 | ||||||||||||||||
554,188 | 5.500%, due 03/15/35 | 620,421 | 0.1 | ||||||||||||||||
557,628 | 5.500%, due 03/15/35 | 624,272 | 0.1 | ||||||||||||||||
253,225 | 5.500%, due 04/15/35 | 283,489 | 0.0 | ||||||||||||||||
520,767 | 5.500%, due 04/15/35 | 583,005 | 0.1 | ||||||||||||||||
689,313 | 5.500%, due 04/15/35 | 765,160 | 0.1 | ||||||||||||||||
1,650,160 | 5.500%, due 05/15/35 | 1,830,442 | 0.2 | ||||||||||||||||
331,664 | 5.500%, due 05/15/35 | 368,115 | 0.1 | ||||||||||||||||
1,370,429 | 5.500%, due 05/15/35 | 1,534,214 | 0.2 | ||||||||||||||||
613,609 | 5.500%, due 05/20/35 | 683,377 | 0.1 | ||||||||||||||||
747,612 | 5.500%, due 06/15/35 | 836,962 | 0.1 | ||||||||||||||||
359,451 | 5.500%, due 06/20/35 | 400,658 | 0.1 | ||||||||||||||||
2,636,967 | 5.500%, due 07/15/35 | 2,925,058 | 0.4 | ||||||||||||||||
2,139,985 | 5.500%, due 08/15/35 | 2,373,781 | 0.3 | ||||||||||||||||
4,048,764 | 5.500%, due 08/15/35 | 4,491,096 | 0.5 | ||||||||||||||||
73,708 | 5.500%, due 08/20/35 | 82,100 | 0.0 | ||||||||||||||||
781,078 | 5.500%, due 09/20/35 | 869,888 | 0.1 | ||||||||||||||||
7,627,938 | 5.500%, due 12/16/35 | 9,054,852 | 1.1 | ||||||||||||||||
9,750,000 | 5.500%, due 03/16/36 | 10,622,448 | 1.3 | ||||||||||||||||
432,278 | 5.500%, due 04/15/36 | 483,941 | 0.1 | ||||||||||||||||
7,934,000 | 5.500%, due 04/20/36 | 8,739,212 | 1.0 | ||||||||||||||||
763,585 | 5.500%, due 05/15/36 | 854,844 | 0.1 | ||||||||||||||||
638,810 | 5.500%, due 06/20/36 | 710,945 | 0.1 | ||||||||||||||||
516,472 | 5.500%, due 08/15/36 | 578,198 | 0.1 | ||||||||||||||||
769,418 | 5.500%, due 09/15/36 | 861,374 | 0.1 | ||||||||||||||||
7,197,000 | 5.500%, due 09/20/36 | 7,989,834 | 1.0 | ||||||||||||||||
1,409,341 | 5.500%, due 10/15/36 | 1,577,777 | 0.2 | ||||||||||||||||
298,747 | 5.500%, due 11/15/36 | 334,451 | 0.0 | ||||||||||||||||
692,474 | 5.500%, due 04/15/37 | 775,233 | 0.1 | ||||||||||||||||
3,719,305 | 5.500%, due 10/20/37 | 4,378,474 | 0.5 | ||||||||||||||||
5,175,057 | 5.500%, due 11/20/37 | 6,027,070 | 0.7 | ||||||||||||||||
594,583 | 5.500%, due 06/20/38 | 640,868 | 0.1 | ||||||||||||||||
642,038 | 5.500%, due 08/20/38 | 692,017 | 0.1 | ||||||||||||||||
1,013,927 | 5.500%, due 09/20/38 | 1,092,856 | 0.1 | ||||||||||||||||
224,579 | 5.500%, due 09/20/38 | 244,869 | 0.0 | ||||||||||||||||
186,690 | 5.500%, due 10/20/38 | 201,223 | 0.0 | ||||||||||||||||
2,171,101 | 5.500%, due 11/20/38 | 2,340,110 | 0.3 | ||||||||||||||||
196,274 | 5.500%, due 12/20/38 | 211,553 | 0.0 | ||||||||||||||||
527,679 | 5.500%, due 01/15/39 | 584,504 | 0.1 | ||||||||||||||||
837,311 | 5.500%, due 01/15/39 | 933,760 | 0.1 | ||||||||||||||||
563,300 | 5.500%, due 01/20/39 | 607,150 | 0.1 | ||||||||||||||||
3,489,253 | 5.500%, due 03/20/39 | 3,760,874 | 0.5 | ||||||||||||||||
340,854 | 5.500%, due 06/20/39 | 367,387 | 0.0 | ||||||||||||||||
2,231,995 | 5.500%, due 09/16/39 | 2,570,944 | 0.3 | ||||||||||||||||
1,304,782 | 5.500%, due 05/15/40 | 1,442,845 | 0.2 | ||||||||||||||||
1,129,517 | 5.500%, due 09/15/40 | 1,249,035 | 0.2 | ||||||||||||||||
615,943 | 5.500%, due 09/15/40 | 681,118 | 0.1 | ||||||||||||||||
374,623 | 5.500%, due 10/15/40 | 414,732 | 0.1 | ||||||||||||||||
294,055 | 5.550%, due 06/15/27 | 305,545 | 0.0 | ||||||||||||||||
438,695 | 5.600%, due 12/20/36 | 491,333 | 0.1 | ||||||||||||||||
367,445 | 5.600%, due 12/20/36 | 411,534 | 0.1 | ||||||||||||||||
289,783 | 5.600%, due 01/20/37 | 324,409 | 0.0 | ||||||||||||||||
116,102 | 5.600%, due 01/20/37 | 129,975 | 0.0 | ||||||||||||||||
111,251 | 5.600%, due 03/20/37 | 124,544 | 0.0 | ||||||||||||||||
252,585 | 5.600%, due 04/20/37 | 282,766 | 0.0 | ||||||||||||||||
87,764 | 5.600%, due 07/20/37 | 96,709 | 0.0 | ||||||||||||||||
32,077 | 5.600%, due 10/20/37 | 35,346 | 0.0 | ||||||||||||||||
95,429 | 5.600%, due 01/20/38 | 105,025 | 0.0 | ||||||||||||||||
82,015 | 5.600%, due 02/20/38 | 90,262 | 0.0 | ||||||||||||||||
110,309 | 5.600%, due 02/20/38 | 121,401 | 0.0 | ||||||||||||||||
332,021 | 5.625%, due 01/20/37 | 371,679 | 0.1 | ||||||||||||||||
237,105 | 5.625%, due 01/20/37 | 265,425 | 0.0 | ||||||||||||||||
61,548 | 5.625%, due 02/20/37 | 68,899 | 0.0 | ||||||||||||||||
256,662 | 5.625%, due 03/20/37 | 287,319 | 0.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
84,701 | 5.625%, due 04/20/37 | $ | 94,818 | 0.0 | |||||||||||||||
86,693 | 5.625%, due 04/20/37 | 97,048 | 0.0 | ||||||||||||||||
328,698 | 5.625%, due 06/20/37 | 367,959 | 0.1 | ||||||||||||||||
128,180 | 5.625%, due 06/20/37 | 143,490 | 0.0 | ||||||||||||||||
128,995 | 5.625%, due 06/20/37 | 144,402 | 0.0 | ||||||||||||||||
84,586 | 5.625%, due 11/20/37 | 94,946 | 0.0 | ||||||||||||||||
139,797 | 5.625%, due 11/20/37 | 156,494 | 0.0 | ||||||||||||||||
180,861 | 5.625%, due 01/20/38 | 202,464 | 0.0 | ||||||||||||||||
79,650 | 5.625%, due 01/20/38 | 89,164 | 0.0 | ||||||||||||||||
68,978 | 5.625%, due 02/20/38 | 77,217 | 0.0 | ||||||||||||||||
545,120 | 5.625%, due 04/15/39 | 604,170 | 0.1 | ||||||||||||||||
188,190 | 5.650%, due 02/15/37 | 208,753 | 0.0 | ||||||||||||||||
248,765 | 5.650%, due 03/15/37 | 275,947 | 0.0 | ||||||||||||||||
6,314,613 | 5.670%, due 12/15/40 | 6,330,737 | 0.8 | ||||||||||||||||
480,694 | 5.680%, due 05/15/47 | 518,667 | 0.1 | ||||||||||||||||
482,166 | 5.690%, due 11/15/42 | 510,510 | 0.1 | ||||||||||||||||
633,110 | 5.700%, due 07/15/38 | 700,955 | 0.1 | ||||||||||||||||
104,128 | 5.700%, due 10/15/38 | 115,582 | 0.0 | ||||||||||||||||
101,782 | 5.750%, due 11/20/27 | 113,784 | 0.0 | ||||||||||||||||
174,781 | 5.750%, due 12/20/27 | 195,391 | 0.0 | ||||||||||||||||
94,595 | 5.750%, due 02/20/28 | 105,750 | 0.0 | ||||||||||||||||
227,516 | 5.750%, due 03/20/28 | 254,345 | 0.0 | ||||||||||||||||
72,850 | 5.750%, due 03/20/28 | 79,419 | 0.0 | ||||||||||||||||
284,680 | 5.750%, due 04/20/28 | 318,249 | 0.0 | ||||||||||||||||
138,599 | 5.750%, due 07/20/28 | 153,063 | 0.0 | ||||||||||||||||
58,959 | 5.750%, due 01/20/29 | 65,875 | 0.0 | ||||||||||||||||
102,969 | 5.750%, due 04/20/29 | 115,111 | 0.0 | ||||||||||||||||
389,395 | 5.750%, due 07/20/29 | 435,070 | 0.1 | ||||||||||||||||
10,800,000 | 5.750%, due 07/20/38 | 12,196,226 | 1.5 | ||||||||||||||||
5,508,877 | 5.950%, due 02/15/44 | 6,099,983 | 0.7 | ||||||||||||||||
1,839,811 | 5.970%, due 11/15/31 | 2,017,688 | 0.2 | ||||||||||||||||
249,774 | 6.000%, due 01/20/24 | 272,699 | 0.0 | ||||||||||||||||
378,812 | 6.000%, due 10/15/25 | 426,886 | 0.1 | ||||||||||||||||
1,046,471 | 6.000%, due 04/15/26 | 1,174,436 | 0.1 | ||||||||||||||||
252,177 | 6.000%, due 10/20/27 | 283,034 | 0.0 | ||||||||||||||||
56,028 | 6.000%, due 07/15/28 | 62,972 | 0.0 | ||||||||||||||||
287,478 | 6.000%, due 07/15/28 | 323,107 | 0.0 | ||||||||||||||||
336,445 | 6.000%, due 08/15/28 | 378,144 | 0.1 | ||||||||||||||||
80,754 | 6.000%, due 09/15/28 | 90,763 | 0.0 | ||||||||||||||||
302,388 | 6.000%, due 09/15/28 | 339,865 | 0.0 | ||||||||||||||||
172,647 | 6.000%, due 02/15/29 | 193,816 | 0.0 | ||||||||||||||||
40,549 | 6.000%, due 04/15/29 | 45,575 | 0.0 | ||||||||||||||||
229,090 | 6.000%, due 05/15/29 | 257,071 | 0.0 | ||||||||||||||||
99,578 | 6.000%, due 12/15/29 | 111,740 | 0.0 | ||||||||||||||||
270,620 | 6.000%, due 02/15/32 | 303,357 | 0.0 | ||||||||||||||||
1,080,844 | 6.000%, due 07/15/32 | 1,211,594 | 0.1 | ||||||||||||||||
66,799 | 6.000%, due 08/15/32 | 74,879 | 0.0 | ||||||||||||||||
2,929,833 | 6.000%, due 09/15/32 | 3,284,254 | 0.4 | ||||||||||||||||
308,676 | 6.000%, due 09/15/32 | 346,016 | 0.0 | ||||||||||||||||
887,086 | 6.000%, due 11/15/32 | 994,397 | 0.1 | ||||||||||||||||
12,213 | 6.000%, due 11/15/32 | 13,690 | 0.0 | ||||||||||||||||
686,763 | 6.000%, due 12/15/32 | 769,841 | 0.1 | ||||||||||||||||
57,693 | 6.000%, due 01/15/33 | 64,672 | 0.0 | ||||||||||||||||
2,754,712 | 6.000%, due 01/15/33 | 3,087,949 | 0.4 | ||||||||||||||||
2,621,205 | 6.000%, due 01/15/33 | 2,938,292 | 0.4 | ||||||||||||||||
393,541 | 6.000%, due 01/15/33 | 441,148 | 0.1 | ||||||||||||||||
1,138,038 | 6.000%, due 01/15/33 | 1,275,706 | 0.2 | ||||||||||||||||
578,017 | 6.000%, due 02/15/33 | 647,940 | 0.1 | ||||||||||||||||
289,322 | 6.000%, due 02/15/33 | 324,321 | 0.0 | ||||||||||||||||
125,880 | 6.000%, due 02/15/33 | 141,108 | 0.0 | ||||||||||||||||
471,209 | 6.000%, due 03/15/33 | 528,211 | 0.1 | ||||||||||||||||
644,872 | 6.000%, due 03/15/33 | 722,882 | 0.1 | ||||||||||||||||
217,692 | 6.000%, due 04/15/33 | 244,027 | 0.0 | ||||||||||||||||
505,535 | 6.000%, due 05/15/33 | 566,690 | 0.1 | ||||||||||||||||
344,558 | 6.000%, due 05/15/33 | 386,239 | 0.1 | ||||||||||||||||
77,340 | 6.000%, due 09/15/33 | 86,695 | 0.0 | ||||||||||||||||
1,029,572 | 6.000%, due 09/15/33 | 1,154,119 | 0.1 | ||||||||||||||||
340,773 | 6.000%, due 09/15/33 | 381,996 | 0.1 | ||||||||||||||||
112,537 | 6.000%, due 09/15/33 | 126,150 | 0.0 | ||||||||||||||||
325,784 | 6.000%, due 10/15/33 | 365,194 | 0.0 | ||||||||||||||||
296,839 | 6.000%, due 10/15/33 | 332,747 | 0.0 | ||||||||||||||||
192,223 | 6.000%, due 10/15/33 | 215,476 | 0.0 | ||||||||||||||||
213,749 | 6.000%, due 10/15/33 | 239,607 | 0.0 | ||||||||||||||||
956,824 | 6.000%, due 12/15/33 | 1,072,571 | 0.1 | ||||||||||||||||
1,590,171 | 6.000%, due 12/16/33 | 1,842,794 | 0.2 | ||||||||||||||||
433,830 | 6.000%, due 01/15/34 | 484,276 | 0.1 | ||||||||||||||||
2,226,633 | ˆ | 6.000%, due 01/20/34 | 458,463 | 0.1 | |||||||||||||||
263,442 | 6.000%, due 01/20/34 | 295,631 | 0.0 | ||||||||||||||||
715,404 | 6.000%, due 02/20/34 | 802,815 | 0.1 | ||||||||||||||||
402,980 | 6.000%, due 03/20/34 | 452,218 | 0.1 | ||||||||||||||||
1,181,230 | 6.000%, due 03/20/34 | 1,325,557 | 0.2 | ||||||||||||||||
196,610 | 6.000%, due 03/20/34 | 220,633 | 0.0 | ||||||||||||||||
133,985 | 6.000%, due 03/20/34 | 150,356 | 0.0 | ||||||||||||||||
130,183 | 6.000%, due 04/20/34 | 146,089 | 0.0 | ||||||||||||||||
301,556 | 6.000%, due 05/20/34 | 338,401 | 0.0 | ||||||||||||||||
620,325 | 6.000%, due 05/20/34 | 696,119 | 0.1 | ||||||||||||||||
51,662 | 6.000%, due 06/20/34 | 57,974 | 0.0 | ||||||||||||||||
407,278 | 6.000%, due 06/20/34 | 457,041 | 0.1 | ||||||||||||||||
238,706 | 6.000%, due 07/20/34 | 267,872 | 0.0 | ||||||||||||||||
8,231,242 | 6.000%, due 07/20/34 | 9,236,971 | 1.1 | ||||||||||||||||
903,475 | 6.000%, due 08/20/34 | 1,013,865 | 0.1 | ||||||||||||||||
342,643 | 6.000%, due 09/15/34 | 388,482 | 0.1 | ||||||||||||||||
510,474 | 6.000%, due 10/15/34 | 574,715 | 0.1 | ||||||||||||||||
72,789 | 6.000%, due 10/20/34 | 81,683 | 0.0 | ||||||||||||||||
92,725 | 6.000%, due 10/20/34 | 104,054 | 0.0 | ||||||||||||||||
327,350 | 6.000%, due 10/20/34 | 367,347 | 0.0 | ||||||||||||||||
326,467 | 6.000%, due 10/20/34 | 366,356 | 0.0 | ||||||||||||||||
494,043 | 6.000%, due 10/20/34 | 554,407 | 0.1 | ||||||||||||||||
66,525 | 6.000%, due 10/20/34 | 74,466 | 0.0 | ||||||||||||||||
205,545 | 6.000%, due 10/20/34 | 230,659 | 0.0 | ||||||||||||||||
429,268 | 6.000%, due 10/20/34 | 480,507 | 0.1 | ||||||||||||||||
411,149 | 6.000%, due 11/20/34 | 461,385 | 0.1 | ||||||||||||||||
63,681 | 6.000%, due 11/20/34 | 71,462 | 0.0 | ||||||||||||||||
441,906 | 6.000%, due 11/20/34 | 495,900 | 0.1 | ||||||||||||||||
112,811 | 6.000%, due 11/20/34 | 126,595 | 0.0 | ||||||||||||||||
2,184,850 | 6.000%, due 11/20/34 | 2,451,804 | 0.3 | ||||||||||||||||
527,489 | 6.000%, due 12/20/34 | 591,939 | 0.1 | ||||||||||||||||
2,415,757 | 6.000%, due 12/20/34 | 2,710,925 | 0.3 | ||||||||||||||||
504,136 | 6.000%, due 12/20/34 | 565,734 | 0.1 | ||||||||||||||||
642,784 | 6.000%, due 12/20/34 | 721,323 | 0.1 | ||||||||||||||||
92,476 | 6.000%, due 01/20/35 | 103,785 | 0.0 | ||||||||||||||||
474,937 | 6.000%, due 01/20/35 | 533,020 | 0.1 | ||||||||||||||||
202,732 | 6.000%, due 01/20/35 | 227,525 | 0.0 | ||||||||||||||||
473,176 | 6.000%, due 02/20/35 | 531,043 | 0.1 | ||||||||||||||||
1,110,831 | 6.000%, due 03/15/35 | 1,243,126 | 0.2 | ||||||||||||||||
121,766 | 6.000%, due 03/20/35 | 136,657 | 0.0 | ||||||||||||||||
350,223 | 6.000%, due 03/20/35 | 393,054 | 0.1 | ||||||||||||||||
156,855 | 6.000%, due 04/20/35 | 176,038 | 0.0 | ||||||||||||||||
150,071 | 6.000%, due 06/20/35 | 168,424 | 0.0 | ||||||||||||||||
478,435 | 6.000%, due 05/15/36 | 542,441 | 0.1 | ||||||||||||||||
562,739 | 6.000%, due 06/15/36 | 638,024 | 0.1 | ||||||||||||||||
672,085 | 6.000%, due 06/15/36 | 761,998 | 0.1 | ||||||||||||||||
262,138 | 6.000%, due 07/15/36 | 297,208 | 0.0 | ||||||||||||||||
800,493 | 6.000%, due 07/15/36 | 907,585 | 0.1 | ||||||||||||||||
994,200 | 6.000%, due 08/15/36 | 1,127,207 | 0.1 | ||||||||||||||||
936,599 | 6.000%, due 09/15/36 | 1,061,900 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
213,009 | 6.000%, due 01/20/37 | $ | 237,525 | 0.0 | |||||||||||||||
1,540,692 | 6.000%, due 03/15/37 | 1,719,847 | 0.2 | ||||||||||||||||
5,552,000 | 6.000%, due 07/20/37 | 6,592,862 | 0.8 | ||||||||||||||||
507,230 | 6.000%, due 09/20/37 | 567,537 | 0.1 | ||||||||||||||||
3,272,272 | 6.000%, due 10/20/37 | 3,984,333 | 0.5 | ||||||||||||||||
673,537 | 6.000%, due 12/20/37 | 751,057 | 0.1 | ||||||||||||||||
1,763,237 | 6.000%, due 03/20/38 | 2,252,531 | 0.3 | ||||||||||||||||
212,343 | 6.000%, due 05/20/38 | 231,627 | 0.0 | ||||||||||||||||
1,478,974 | 6.000%, due 07/15/38 | 1,650,952 | 0.2 | ||||||||||||||||
2,823,118 | 6.000%, due 08/15/38 | 3,151,395 | 0.4 | ||||||||||||||||
2,845,491 | 6.000%, due 08/15/38 | 3,176,370 | 0.4 | ||||||||||||||||
932,304 | 6.000%, due 08/20/38 | 1,012,891 | 0.1 | ||||||||||||||||
835,264 | 6.000%, due 09/15/38 | 947,007 | 0.1 | ||||||||||||||||
1,146,411 | 6.000%, due 09/20/38 | 1,245,505 | 0.2 | ||||||||||||||||
630,038 | 6.000%, due 10/15/38 | 703,300 | 0.1 | ||||||||||||||||
1,588,924 | 6.000%, due 10/20/38 | 1,726,269 | 0.2 | ||||||||||||||||
347,888 | 6.000%, due 11/15/38 | 389,755 | 0.1 | ||||||||||||||||
334,898 | 6.000%, due 12/15/38 | 375,515 | 0.1 | ||||||||||||||||
448,151 | 6.000%, due 12/15/38 | 500,263 | 0.1 | ||||||||||||||||
1,858,331 | 6.000%, due 07/16/39 | 2,099,494 | 0.3 | ||||||||||||||||
1,044,932 | 6.000%, due 07/20/39 | 1,178,705 | 0.1 | ||||||||||||||||
898,201 | 6.000%, due 08/15/39 | 1,009,944 | 0.1 | ||||||||||||||||
1,389,648 | 6.000%, due 08/15/39 | 1,562,530 | 0.2 | ||||||||||||||||
2,181,460 | 6.000%, due 08/15/39 | 2,452,850 | 0.3 | ||||||||||||||||
80,372 | 6.050%, due 06/15/38 | 89,881 | 0.0 | ||||||||||||||||
283,793 | 6.050%, due 09/15/38 | 317,369 | 0.0 | ||||||||||||||||
109,859 | 6.050%, due 09/15/38 | 123,557 | 0.0 | ||||||||||||||||
321,387 | 6.050%, due 10/15/38 | 359,411 | 0.0 | ||||||||||||||||
518,149 | 6.090%, due 05/15/38 | 580,294 | 0.1 | ||||||||||||||||
274,920 | 6.090%, due 06/15/38 | 307,893 | 0.0 | ||||||||||||||||
191,216 | 6.090%, due 11/15/38 | 214,150 | 0.0 | ||||||||||||||||
48,385,746 | ˆ | 6.121%, due 04/16/39 | 5,746,765 | 0.7 | |||||||||||||||
191,900 | 6.125%, due 02/15/39 | 215,150 | 0.0 | ||||||||||||||||
157,824 | 6.125%, due 04/15/39 | 176,945 | 0.0 | ||||||||||||||||
326,357 | 6.200%, due 08/20/28 | 366,097 | 0.0 | ||||||||||||||||
1,183,613 | 6.200%, due 10/20/28 | 1,327,742 | 0.2 | ||||||||||||||||
60,146 | 6.200%, due 11/20/28 | 67,470 | 0.0 | ||||||||||||||||
109,881 | 6.200%, due 12/20/28 | 123,426 | 0.0 | ||||||||||||||||
239,895 | 6.200%, due 02/20/29 | 269,107 | 0.0 | ||||||||||||||||
112,303 | 6.200%, due 04/20/29 | 126,062 | 0.0 | ||||||||||||||||
262,995 | 6.200%, due 07/20/29 | 295,415 | 0.0 | ||||||||||||||||
73,611 | 6.200%, due 08/20/29 | 82,685 | 0.0 | ||||||||||||||||
129,531 | 6.200%, due 08/20/29 | 145,304 | 0.0 | ||||||||||||||||
49,337 | 6.200%, due 10/20/29 | 55,295 | 0.0 | ||||||||||||||||
77,424 | 6.200%, due 10/20/29 | 86,852 | 0.0 | ||||||||||||||||
169,014 | 6.200%, due 12/20/29 | 189,162 | 0.0 | ||||||||||||||||
455,491 | 6.200%, due 02/20/30 | 511,639 | 0.1 | ||||||||||||||||
315,831 | 6.250%, due 09/15/27 | 359,999 | 0.0 | ||||||||||||||||
20,744 | 6.250%, due 03/15/28 | 23,654 | 0.0 | ||||||||||||||||
17,905 | 6.250%, due 04/15/28 | 20,416 | 0.0 | ||||||||||||||||
153,076 | 6.250%, due 09/15/29 | 174,547 | 0.0 | ||||||||||||||||
15,201,491 | ˆ | 6.270%, due 09/20/37 | 2,319,181 | 0.3 | |||||||||||||||
17,756,424 | ˆ | 6.270%, due 09/20/38 | 2,327,301 | 0.3 | |||||||||||||||
7,116,037 | ˆ | 6.271%, due 05/16/38 | 1,304,534 | 0.2 | |||||||||||||||
123,474 | 6.280%, due 01/20/26 | 138,193 | 0.0 | ||||||||||||||||
365,121 | 6.280%, due 05/20/26 | 408,647 | 0.1 | ||||||||||||||||
380,600 | 6.490%, due 01/15/28 | 439,950 | 0.1 | ||||||||||||||||
6,530 | 6.500%, due 03/15/28 | 7,552 | 0.0 | ||||||||||||||||
78,398 | 6.500%, due 03/15/28 | 90,674 | 0.0 | ||||||||||||||||
67,559 | 6.500%, due 08/15/28 | 78,137 | 0.0 | ||||||||||||||||
909,355 | 6.500%, due 11/15/28 | 1,051,751 | 0.1 | ||||||||||||||||
151,637 | 6.500%, due 07/20/29 | 174,618 | 0.0 | ||||||||||||||||
537,240 | 6.500%, due 08/20/31 | 618,660 | 0.1 | ||||||||||||||||
1,106,128 | 6.500%, due 01/15/32 | 1,279,336 | 0.2 | ||||||||||||||||
96,119 | 6.500%, due 04/20/32 | 110,687 | 0.0 | ||||||||||||||||
121,095 | 6.500%, due 07/20/32 | 139,447 | 0.0 | ||||||||||||||||
128,144 | 6.500%, due 10/20/33 | 145,453 | 0.0 | ||||||||||||||||
528,017 | 6.500%, due 11/15/33 | 603,115 | 0.1 | ||||||||||||||||
211,920 | 6.500%, due 11/20/33 | 240,545 | 0.0 | ||||||||||||||||
182,184 | 6.500%, due 02/20/34 | 206,829 | 0.0 | ||||||||||||||||
148,124 | 6.500%, due 03/20/34 | 168,162 | 0.0 | ||||||||||||||||
111,847 | 6.500%, due 07/20/34 | 126,977 | 0.0 | ||||||||||||||||
213,761 | 6.500%, due 08/20/34 | 242,677 | 0.0 | ||||||||||||||||
798,363 | 6.500%, due 08/20/34 | 910,851 | 0.1 | ||||||||||||||||
217,862 | 6.500%, due 08/20/34 | 247,333 | 0.0 | ||||||||||||||||
9,266 | 6.500%, due 09/20/34 | 10,520 | 0.0 | ||||||||||||||||
579,617 | 6.500%, due 09/20/34 | 658,025 | 0.1 | ||||||||||||||||
93,134 | 6.500%, due 09/20/34 | 105,733 | 0.0 | ||||||||||||||||
242,117 | 6.500%, due 09/20/34 | 274,870 | 0.0 | ||||||||||||||||
350,123 | 6.500%, due 10/20/34 | 397,486 | 0.1 | ||||||||||||||||
1,824,346 | 6.500%, due 11/20/34 | 2,081,378 | 0.3 | ||||||||||||||||
277,603 | 6.500%, due 11/20/34 | 315,156 | 0.0 | ||||||||||||||||
283,685 | 6.500%, due 12/20/34 | 322,061 | 0.0 | ||||||||||||||||
155,643 | 6.500%, due 12/20/34 | 176,698 | 0.0 | ||||||||||||||||
114,810 | 6.500%, due 03/20/35 | 130,289 | 0.0 | ||||||||||||||||
542,911 | 6.500%, due 05/15/36 | 627,925 | 0.1 | ||||||||||||||||
368,547 | 6.500%, due 09/15/36 | 419,463 | 0.1 | ||||||||||||||||
563,364 | 6.500%, due 09/15/36 | 641,194 | 0.1 | ||||||||||||||||
480,024 | 6.500%, due 11/15/36 | 546,341 | 0.1 | ||||||||||||||||
497,687 | 6.500%, due 05/20/38 | 550,812 | 0.1 | ||||||||||||||||
180,055 | 6.500%, due 07/20/38 | 197,639 | 0.0 | ||||||||||||||||
4,764,148 | 6.500%, due 01/20/39 | 5,390,880 | 0.6 | ||||||||||||||||
175,239 | 6.600%, due 10/20/26 | 200,203 | 0.0 | ||||||||||||||||
277,120 | 6.600%, due 02/20/27 | 317,102 | 0.0 | ||||||||||||||||
89,993 | 6.600%, due 05/20/27 | 102,977 | 0.0 | ||||||||||||||||
375,374 | 6.600%, due 06/20/27 | 429,531 | 0.1 | ||||||||||||||||
317,875 | 6.600%, due 07/20/27 | 363,736 | 0.0 | ||||||||||||||||
107,916 | 6.600%, due 09/20/27 | 123,486 | 0.0 | ||||||||||||||||
238,411 | 6.600%, due 10/20/27 | 272,807 | 0.0 | ||||||||||||||||
66,861 | 6.600%, due 12/20/27 | 76,507 | 0.0 | ||||||||||||||||
239,736 | 6.600%, due 02/20/28 | 274,715 | 0.0 | ||||||||||||||||
551,496 | 6.600%, due 07/20/28 | 631,961 | 0.1 | ||||||||||||||||
4,126 | 6.750%, due 08/15/28 | 4,765 | 0.0 | ||||||||||||||||
130,215 | 6.750%, due 10/15/28 | 150,396 | 0.0 | ||||||||||||||||
142,966 | 6.750%, due 10/15/28 | 165,123 | 0.0 | ||||||||||||||||
595,300 | 6.750%, due 04/20/37 | 684,568 | 0.1 | ||||||||||||||||
40,092 | 7.000%, due 09/15/23 | 46,327 | 0.0 | ||||||||||||||||
10,134 | 7.000%, due 12/15/23 | 11,619 | 0.0 | ||||||||||||||||
9,993 | 7.000%, due 04/15/26 | 11,598 | 0.0 | ||||||||||||||||
89,250 | 7.000%, due 01/15/27 | 103,813 | 0.0 | ||||||||||||||||
128,183 | 7.000%, due 11/15/27 | 149,100 | 0.0 | ||||||||||||||||
123,771 | 7.000%, due 07/15/28 | 144,254 | 0.0 | ||||||||||||||||
12,294 | 7.000%, due 07/15/28 | 14,329 | 0.0 | ||||||||||||||||
17,133 | 7.000%, due 07/15/29 | 20,004 | 0.0 | ||||||||||||||||
43,459 | 7.000%, due 05/15/31 | 50,994 | 0.0 | ||||||||||||||||
70,550 | 7.000%, due 11/15/31 | 82,292 | 0.0 | ||||||||||||||||
111,471 | 7.000%, due 03/15/32 | 130,695 | 0.0 | ||||||||||||||||
50,793 | 7.000%, due 03/15/32 | 59,552 | 0.0 | ||||||||||||||||
125,810 | 7.000%, due 03/15/32 | 147,506 | 0.0 | ||||||||||||||||
115,701 | 7.000%, due 06/20/34 | 134,061 | 0.0 | ||||||||||||||||
347,960 | 7.000%, due 09/20/34 | 403,177 | 0.1 | ||||||||||||||||
60,829 | 7.000%, due 09/20/34 | 70,482 | 0.0 | ||||||||||||||||
138,202 | 7.000%, due 08/20/36 | 160,413 | 0.0 | ||||||||||||||||
6,345,614 | 7.000%, due 10/20/38 | 7,373,408 | 0.9 | ||||||||||||||||
866,214 | 7.000%, due 12/15/38 | 1,010,144 | 0.1 | ||||||||||||||||
2,150,592 | 7.000%, due 12/15/38 | 2,507,933 | 0.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
3,059,606 | 7.000%, due 12/20/38 | $ | 3,503,393 | 0.4 | |||||||||||||||
6,254,714 | 7.200%, due 03/15/39 | 6,906,417 | 0.8 | ||||||||||||||||
22,299 | 7.250%, due 01/15/29 | 25,968 | 0.0 | ||||||||||||||||
4,812,435 | ˆ | 7.271%, due 05/16/31 | 1,087,513 | 0.1 | |||||||||||||||
4,003,412 | 7.350%, due 03/15/43 | 4,420,554 | 0.5 | ||||||||||||||||
2,819,263 | ˆ | 7.371%, due 10/16/29 | 667,678 | 0.1 | |||||||||||||||
42,685 | 7.500%, due 08/20/27 | 49,742 | 0.0 | ||||||||||||||||
125,675 | 7.500%, due 12/15/28 | 150,721 | 0.0 | ||||||||||||||||
235,935 | 7.500%, due 10/15/30 | 277,492 | 0.0 | ||||||||||||||||
19,747 | 7.500%, due 01/15/31 | 20,994 | 0.0 | ||||||||||||||||
17,134 | 7.500%, due 01/15/31 | 20,206 | 0.0 | ||||||||||||||||
146,290 | 7.500%, due 10/15/31 | 172,527 | 0.0 | ||||||||||||||||
80,626 | 7.500%, due 01/15/32 | 95,383 | 0.0 | ||||||||||||||||
3,870,232 | 7.500%, due 02/20/34 | 4,238,189 | 0.5 | ||||||||||||||||
999,112 | 7.500%, due 10/15/38 | 1,164,579 | 0.1 | ||||||||||||||||
18,259 | 7.800%, due 05/15/19 | 18,385 | 0.0 | ||||||||||||||||
3,840 | 8.000%, due 03/20/24 | 3,901 | 0.0 | ||||||||||||||||
26,500 | 8.000%, due 11/15/25 | 31,315 | 0.0 | ||||||||||||||||
17,437 | 8.000%, due 07/15/26 | 20,598 | 0.0 | ||||||||||||||||
55,421 | 8.000%, due 07/15/26 | 65,467 | 0.0 | ||||||||||||||||
107,649 | 8.000%, due 09/15/26 | 127,162 | 0.0 | ||||||||||||||||
30,858 | 8.000%, due 09/20/26 | 36,320 | 0.0 | ||||||||||||||||
24,145 | 8.000%, due 12/15/26 | 28,522 | 0.0 | ||||||||||||||||
14,379 | 8.000%, due 04/15/27 | 17,024 | 0.0 | ||||||||||||||||
29,426 | 8.000%, due 06/15/27 | 34,840 | 0.0 | ||||||||||||||||
46,909 | 8.000%, due 07/15/27 | 55,051 | 0.0 | ||||||||||||||||
14,367 | 8.000%, due 03/15/28 | 17,045 | 0.0 | ||||||||||||||||
25,818 | 8.050%, due 07/15/19 | 26,240 | 0.0 | ||||||||||||||||
244,742 | 8.770%, due 04/20/34 | 275,617 | 0.0 | ||||||||||||||||
27,086 | 9.000%, due 05/15/16 | 27,482 | 0.0 | ||||||||||||||||
14,388 | 9.000%, due 07/15/16 | 16,177 | 0.0 | ||||||||||||||||
5,710 | 9.500%, due 11/15/21 | 6,731 | 0.0 | ||||||||||||||||
453,076 | 19.514%, due 09/20/37 | 625,732 | 0.1 | ||||||||||||||||
172,903 | 31.591%, due 04/20/31 | 309,743 | 0.0 | ||||||||||||||||
784,035,455 | 92.9 | ||||||||||||||||||
Other U.S. Agency Obligations: 0.0% | |||||||||||||||||||
1,966 | 8.250%, due 11/01/11 | 1,979 | 0.0 | ||||||||||||||||
Total U.S. Government Agency Obligations (Cost $862,296,366) | 908,025,615 | 107.6 | |||||||||||||||||
Liabilities in Excess of Other Assets | (63,864,779 | ) | (7.6 | ) | |||||||||||||||
Net Assets | $ | 844,160,836 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
W | Settlement is on a when-issued or delayed-delivery basis. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
Cost for federal income tax purposes is $862,517,525. |
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $ | 47,480,124 | ||||
Gross Unrealized Depreciation | (1,972,034 | ) | ||||
Net Unrealized appreciation | $ | 45,508,090 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 94.0% | |||||||||||||||||||
Consumer Discretionary: 24.0% | |||||||||||||||||||
665,000 | Accuride Corp., 9.500%, 08/01/18 | $ | 615,125 | 0.6 | |||||||||||||||
355,000 | Affinia Group, Inc., 9.000%, 11/30/14 | 344,350 | 0.3 | ||||||||||||||||
223,000 | # | Affinia Group, Inc., 10.750%, 08/15/16 | 228,575 | 0.2 | |||||||||||||||
370,000 | Allbritton Communications Co., 8.000%, 05/15/18 | 349,650 | 0.3 | ||||||||||||||||
950,000 | AMC Entertainment, Inc., 9.750%, 12/01/20 | 864,500 | 0.8 | ||||||||||||||||
120,000 | # | AMC Networks, Inc., 7.750%, 07/15/21 | 123,600 | 0.1 | |||||||||||||||
315,000 | American Axle & Manufacturing, Inc., 5.250%, 02/11/14 | 297,675 | 0.3 | ||||||||||||||||
34,781 | # | American Media, Inc., 13.500%, 06/15/18 | 29,738 | 0.0 | |||||||||||||||
310,000 | # | Ameristar Casinos, Inc., 7.500%, 04/15/21 | 301,475 | 0.3 | |||||||||||||||
260,000 | ArvinMeritor, Inc., 8.125%, 09/15/15 | 231,400 | 0.2 | ||||||||||||||||
305,000 | ArvinMeritor, Inc., 10.625%, 03/15/18 | 295,087 | 0.3 | ||||||||||||||||
90,000 | Asbury Automotive Group, Inc., 8.375%, 11/15/20 | 87,300 | 0.1 | ||||||||||||||||
150,000 | # | Bresnan Broadband Holdings LLC, 8.000%, 12/15/18 | 151,875 | 0.1 | |||||||||||||||
231,000 | # | Burlington Coat Factory Warehouse Corp., 10.000%, 02/15/19 | 197,505 | 0.2 | |||||||||||||||
720,000 | Cablevision Systems Corp., 7.750%, 04/15/18 | 730,800 | 0.7 | ||||||||||||||||
450,000 | Cablevision Systems Corp., 8.000%, 04/15/20 | 460,125 | 0.4 | ||||||||||||||||
250,000 | # | CCO Holdings LLC / CCO Holdings Capital Corp., 7.000%, 01/15/19 | 243,125 | 0.2 | |||||||||||||||
1,260,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 7.250%, 10/30/17 | 1,266,300 | 1.1 | ||||||||||||||||
420,000 | Cedar Fair L.P./Canada’s Wonderland Co/Magnum Management Corp., 9.125%, 08/01/18 | 435,750 | 0.4 | ||||||||||||||||
765,000 | # | Cequel Communications Holdings I, LLC and Cequel Capital Corp., 8.625%, 11/15/17 | 761,175 | 0.7 | |||||||||||||||
730,000 | #,Z | Checkout Holding Corp., 15.590%, 11/15/15 | 401,500 | 0.4 | |||||||||||||||
200,000 | # | Chrysler Group LLC/CG Co-Issuer, Inc., 8.250%, 06/15/21 | 155,000 | 0.1 | |||||||||||||||
200,000 | # | Chrysler Group LLC/CG Co-Issuer, Inc., 8.000%, 06/15/19 | 157,000 | 0.1 | |||||||||||||||
120,000 | Cinemark USA, Inc., 7.375%, 06/15/21 | 114,000 | 0.1 | ||||||||||||||||
185,000 | # | CityCenter Holdings LLC / CityCenter Finance Corp., 7.625%, 01/15/16 | 174,825 | 0.2 | |||||||||||||||
79,168 | #,& | CityCenter Holdings LLC / CityCenter Finance Corp., 10.750%, 01/15/17 | 72,241 | 0.1 | |||||||||||||||
638,000 | Clear Channel Communications, Inc., 9.000%, 03/01/21 | 476,905 | 0.4 | ||||||||||||||||
510,000 | # | Commercial Vehicle Group, Inc., 7.875%, 04/15/19 | 469,200 | 0.4 | |||||||||||||||
235,000 | Cott Beverages, Inc., 8.375%, 11/15/17 | 240,875 | 0.2 | ||||||||||||||||
120,000 | # | Crown Media Holdings, Inc., 10.500%, 07/15/19 | 119,400 | 0.1 | |||||||||||||||
635,000 | # | Cumulus Media, Inc., 7.750%, 05/01/19 | 538,162 | 0.5 | |||||||||||||||
85,000 | Dana Holding Corp., 6.500%, 02/15/19 | 81,175 | 0.1 | ||||||||||||||||
70,000 | Dana Holding Corp., 6.750%, 02/15/21 | 66,850 | 0.1 | ||||||||||||||||
380,000 | DineEquity, Inc., 9.500%, 10/30/18 | 379,050 | 0.3 | ||||||||||||||||
680,000 | DISH DBS Corp., 7.875%, 09/01/19 | 697,000 | 0.6 | ||||||||||||||||
540,000 | Exide Technologies, 8.625%, 02/01/18 | 504,900 | 0.5 | ||||||||||||||||
645,000 | Gray Television, Inc., 10.500%, 06/29/15 | 586,950 | 0.5 | ||||||||||||||||
190,000 | Hanesbrands, Inc., 6.375%, 12/15/20 | 185,250 | 0.2 | ||||||||||||||||
840,000 | Caesars Entertainment Operating Co., Inc., 10.000%, 12/15/18 | 504,000 | 0.5 | ||||||||||||||||
590,000 | Caesars Entertainment Operating Co., Inc., 11.250%, 06/01/17 | 598,113 | 0.5 | ||||||||||||||||
140,000 | Inergy L.P./Inergy Finance Corp., 6.875%, 08/01/21 | 128,100 | 0.1 | ||||||||||||||||
258,000 | JC Penney Corp., Inc., 6.375%, 10/15/36 | 218,010 | 0.2 | ||||||||||||||||
215,000 | KB Home, 7.250%, 06/15/18 | 169,850 | 0.1 | ||||||||||||||||
440,000 | Limited Brands, Inc., 8.500%, 06/15/19 | 499,400 | 0.4 | ||||||||||||||||
395,000 | LIN Television Corp., 8.375%, 04/15/18 | 400,925 | 0.4 | ||||||||||||||||
243,000 | Mediacom Broadband, LLC, 8.500%, 10/15/15 | 243,000 | 0.2 | ||||||||||||||||
535,000 | Mediacom LLC / Mediacom Capital Corp., 9.125%, 08/15/19 | 535,000 | 0.5 | ||||||||||||||||
405,000 | + | Michaels Stores, Inc., 6.775%, 11/01/16 | 419,175 | 0.4 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Discretionary: (continued) | |||||||||||||||||||
385,000 | Michaels Stores, Inc., 7.750%, 11/01/18 | $ | 361,900 | 0.3 | |||||||||||||||
280,000 | Michaels Stores, Inc., 11.375%, 11/01/16 | 284,900 | 0.3 | ||||||||||||||||
450,000 | National CineMedia LLC, 7.875%, 07/15/21 | 447,750 | 0.4 | ||||||||||||||||
525,000 | # | NCL Corp. Ltd., 9.500%, 11/15/18 | 532,875 | 0.5 | |||||||||||||||
470,000 | # | Needle, 8.125%, 03/15/19 | 411,250 | 0.4 | |||||||||||||||
485,000 | New Albertsons, Inc., 7.450%, 08/01/29 | 366,175 | 0.3 | ||||||||||||||||
404,996 | & | Nexstar Broadcasting, Inc., 7.000%, 01/15/14 | 386,771 | 0.3 | |||||||||||||||
175,000 | Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc., 8.875%, 04/15/17 | 173,688 | 0.2 | ||||||||||||||||
415,000 | Nielsen Finance LLC / Nielsen Finance Co., 7.750%, 10/15/18 | 425,375 | 0.4 | ||||||||||||||||
450,000 | # | Petco Animal Supplies, Inc., 9.250%, 12/01/18 | 452,250 | 0.4 | |||||||||||||||
255,000 | # | Pilgrim’s Pride Corp., 7.875%, 12/15/18 | 195,713 | 0.2 | |||||||||||||||
870,000 | Pinnacle Entertainment, Inc., 8.750%, 05/15/20 | 815,625 | 0.7 | ||||||||||||||||
305,000 | # | Pittsburgh Glass Works LLC, 8.500%, 04/15/16 | 282,125 | 0.3 | |||||||||||||||
315,000 | Prestige Brands, Inc., 8.250%, 04/01/18 | 322,875 | 0.3 | ||||||||||||||||
500,000 | # | Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 9.875%, 08/15/19 | 442,500 | 0.4 | |||||||||||||||
240,000 | # | Rite Aid Corp., 6.875%, 12/15/28 | 142,800 | 0.1 | |||||||||||||||
195,000 | Scientific Games Corp., 8.125%, 09/15/18 | 192,562 | 0.2 | ||||||||||||||||
385,000 | # | Sinclair Television Group, Inc., 9.250%, 11/01/17 | 406,175 | 0.4 | |||||||||||||||
10,000 | Sinclair Television Group, Inc., 8.375%, 10/15/18 | 9,900 | 0.0 | ||||||||||||||||
145,000 | # | Sirius XM Radio, Inc., 8.750%, 04/01/15 | 157,687 | 0.1 | |||||||||||||||
300,000 | Sonic Automotive, Inc., 9.000%, 03/15/18 | 302,250 | 0.3 | ||||||||||||||||
290,000 | Star Gas Partners L.P./Star Gas Finance Co., 8.875%, 12/01/17 | 297,250 | 0.3 | ||||||||||||||||
430,000 | Toys R Us Property Co. II LLC, 8.500%, 12/01/17 | 421,400 | 0.4 | ||||||||||||||||
230,000 | Toys R Us Property Co. I LLC, 10.750%, 07/15/17 | 244,375 | 0.2 | ||||||||||||||||
190,000 | Universal City Development Partners Ltd. / UCDP Finance, Inc., 8.875%, 11/15/15 | 207,100 | 0.2 | ||||||||||||||||
410,000 | Visant Corp., 10.000%, 10/01/17 | 381,300 | 0.3 | ||||||||||||||||
315,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 7.750%, 08/15/20 | 332,325 | 0.3 | ||||||||||||||||
290,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 294,350 | 0.3 | |||||||||||||||
26,442,232 | 24.0 | ||||||||||||||||||
Consumer Staples: 7.7% | |||||||||||||||||||
615,000 | # | American Rock Salt Co. LLC/American Rock Capital Corp., 8.250%, 05/01/18 | 541,200 | 0.5 | |||||||||||||||
350,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 7.750%, 05/15/16 | 339,500 | 0.3 | ||||||||||||||||
195,000 | Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 9.625%, 03/15/18 | 194,025 | 0.2 | ||||||||||||||||
170,000 | #,& | Bumble Bee, 9.625%, 03/15/18 | 137,275 | 0.1 | |||||||||||||||
185,000 | # | Bumble Bee Acquisition Corp., 9.000%, 12/15/17 | 174,825 | 0.2 | |||||||||||||||
528,000 | # | CDRT Merger Sub, Inc., 8.125%, 06/01/19 | 491,040 | 0.4 | |||||||||||||||
400,000 | Central Garden and Pet Co., 8.250%, 03/01/18 | 384,000 | 0.3 | ||||||||||||||||
245,000 | Cenveo Corp., 8.875%, 02/01/18 | 194,163 | 0.2 | ||||||||||||||||
170,000 | # | Cenveo Corp., 10.500%, 08/15/16 | 136,850 | 0.1 | |||||||||||||||
153,850 | & | Ceridian Corp., 12.250%, 11/15/15 | 124,618 | 0.1 | |||||||||||||||
295,000 | Eliz Arden, 7.375%, 03/15/21 | 296,475 | 0.3 | ||||||||||||||||
58,000 | Hertz Corp., 8.875%, 01/01/14 | 58,290 | 0.1 | ||||||||||||||||
450,000 | Hertz Corp./The, 6.750%, 04/15/19 | 410,625 | 0.4 | ||||||||||||||||
220,000 | Hertz Corp./The, 7.375%, 01/15/21 | 202,125 | 0.2 | ||||||||||||||||
320,000 | Iron Mountain, Inc., 8.000%, 06/15/20 | 323,200 | 0.3 | ||||||||||||||||
210,000 | Iron Mountain, Inc., 8.750%, 07/15/18 | 215,250 | 0.2 | ||||||||||||||||
430,000 | JBS USA LLC/JBS USA Finance, Inc., 11.625%, 05/01/14 | 464,400 | 0.4 | ||||||||||||||||
450,000 | # | JBS USA LLC/JBS USA Finance, Inc., 7.250%, 06/01/21 | 375,750 | 0.3 | |||||||||||||||
365,000 | McJunkin Red Man Corp., 9.500%, 12/15/16 | 335,800 | 0.3 | ||||||||||||||||
295,000 | # | Neff Rental LLC/Neff Finance Corp., 9.625%, 05/15/16 | 247,800 | 0.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Consumer Staples: (continued) | |||||||||||||||||||
470,000 | # | RSC Equipment Rental, Inc., 10.000%, 07/15/17 | $ | 495,850 | 0.5 | ||||||||||||||
190,000 | RSC Equipment Rental, Inc./RSC Holdings III LLC, 8.250%, 02/01/21 | 165,300 | 0.2 | ||||||||||||||||
577,000 | # | Seminole Indian Tribe of Florida, 7.750%, 10/01/17 | 582,770 | 0.5 | |||||||||||||||
420,000 | ServiceMaster Co/The, 7.450%, 08/15/27 | 312,900 | 0.3 | ||||||||||||||||
570,000 | #,& | ServiceMaster Co/The, 10.750%, 07/15/15 | 578,550 | 0.5 | |||||||||||||||
375,000 | United Rentals North America, Inc., 8.375%, 09/15/20 | 345,938 | 0.3 | ||||||||||||||||
210,000 | # | US Foodservice, 8.500%, 06/30/19 | 190,575 | 0.2 | |||||||||||||||
125,000 | # | WP Rocket Merger Sub, Inc., 10.125%, 07/15/19 | 119,375 | 0.1 | |||||||||||||||
8,438,469 | 7.7 | ||||||||||||||||||
Energy: 16.1% | |||||||||||||||||||
120,000 | Alpha Natural Resources, Inc., 6.250%, 06/01/21 | 112,650 | 0.1 | ||||||||||||||||
245,000 | Alpha Natural Resources, Inc., 6.000%, 06/01/19 | 229,688 | 0.2 | ||||||||||||||||
555,000 | Alta Mesa Holdings / Alta Mesa Finance Services Corp., 9.625%, 10/15/18 | 507,825 | 0.5 | ||||||||||||||||
635,000 | # | Arch Coal, Inc., 7.250%, 06/15/21 | 614,362 | 0.6 | |||||||||||||||
180,000 | # | Arch Coal, Inc., 7.000%, 06/15/19 | 171,900 | 0.2 | |||||||||||||||
200,000 | ATP Oil & Gas Corp./United States, 11.875%, 05/01/15 | 140,250 | 0.1 | ||||||||||||||||
375,000 | # | Basic Energy Services, Inc., 7.750%, 02/15/19 | 358,125 | 0.3 | |||||||||||||||
475,000 | Berry Petroleum Co., 10.250%, 06/01/14 | 534,375 | 0.5 | ||||||||||||||||
400,000 | Breitnurn, 8.625%, 10/15/20 | 394,000 | 0.4 | ||||||||||||||||
85,000 | Brigham Exploration Co., 6.875%, 06/01/19 | 83,300 | 0.1 | ||||||||||||||||
290,000 | Brigham Exploration Co., 8.750%, 10/01/18 | 311,750 | 0.3 | ||||||||||||||||
340,000 | # | Calfrac Holdings L.P., 7.500%, 12/01/20 | 323,000 | 0.3 | |||||||||||||||
425,000 | # | Calumet Specialty Products Partners L.P./Calumet Finance Corp., 9.375%, 05/01/19 | 397,375 | 0.4 | |||||||||||||||
405,000 | Chaparral Energy, Inc., 8.875%, 02/01/17 | 394,875 | 0.4 | ||||||||||||||||
145,000 | Chaparral Energy, Inc., 8.250%, 09/01/21 | 133,038 | 0.1 | ||||||||||||||||
205,000 | Chaparral Energy, Inc., 9.875%, 10/01/20 | 206,025 | 0.2 | ||||||||||||||||
200,000 | Chesapeake Energy Corp., 6.625%, 08/15/20 | 207,000 | 0.2 | ||||||||||||||||
325,000 | Chesapeake Energy Corp., 6.125%, 02/15/21 | 329,062 | 0.3 | ||||||||||||||||
335,000 | # | Clayton Wms, 7.750%, 04/01/19 | 289,775 | 0.3 | |||||||||||||||
365,000 | Concho Resources, Inc./Midland TX, 7.000%, 01/15/21 | 365,000 | 0.3 | ||||||||||||||||
450,000 | Consol Energy, Inc., 8.250%, 04/01/20 | 475,875 | 0.4 | ||||||||||||||||
200,000 | Consol Energy, Inc., 8.000%, 04/01/17 | 210,000 | 0.2 | ||||||||||||||||
200,000 | Copano Energy LLC / Copano Energy Finance Corp., 7.125%, 04/01/21 | 196,500 | 0.2 | ||||||||||||||||
370,000 | Covanta Holding Corp., 7.250%, 12/01/20 | 371,603 | 0.3 | ||||||||||||||||
405,000 | # | Eagle Rock Energy Partners L.P. / Eagle Rock Energy Finance Corp., 8.375%, 06/01/19 | 390,825 | 0.4 | |||||||||||||||
625,000 | El Paso Corp., 7.250%, 06/01/18 | 702,801 | 0.6 | ||||||||||||||||
480,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 495,600 | 0.4 | ||||||||||||||||
285,000 | Energy XXI Gulf Coast, Inc., 9.250%, 12/15/17 | 279,300 | 0.3 | ||||||||||||||||
375,000 | # | Hilcorp Energy I L.P./Hilcorp Finance Co., 8.000%, 02/15/20 | 383,438 | 0.3 | |||||||||||||||
475,000 | # | James River, 7.875%, 04/01/19 | 401,375 | 0.4 | |||||||||||||||
275,000 | Linn Energy LLC/Linn Energy Finance Corp., 7.750%, 02/01/21 | 276,375 | 0.2 | ||||||||||||||||
360,000 | Linn Energy LLC/Linn Energy Finance Corp., 8.625%, 04/15/20 | 372,600 | 0.3 | ||||||||||||||||
230,000 | McMoRan Exploration Co., 11.875%, 11/15/14 | 238,050 | 0.2 | ||||||||||||||||
160,000 | # | Meg Energy, 6.500%, 03/15/21 | 154,000 | 0.1 | |||||||||||||||
215,000 | # | Murray Energy Corp., 10.250%, 10/15/15 | 206,400 | 0.2 | |||||||||||||||
325,000 | # | NFR Energy LLC/NFR Energy Finance Corp., 9.750%, 02/15/17 | 287,625 | 0.3 | |||||||||||||||
360,000 | Novelis, Inc./GA, 8.750%, 12/15/20 | 354,600 | 0.3 | ||||||||||||||||
385,000 | # | Oasis Petroleum, Inc., 7.250%, 02/01/19 | 375,375 | 0.3 | |||||||||||||||
384,000 | Patriot Coal Corp., 8.250%, 04/30/18 | 343,680 | 0.3 | ||||||||||||||||
130,000 | Penn Virginia Corp., 7.250%, 04/15/19 | 120,900 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
445,000 | Penn Virginia Resource Partners L.P. / Penn Virginia Resource Finance Corp., 8.250%, 04/15/18 | $ | 424,975 | 0.4 | |||||||||||||||
400,000 | Petrohawk Energy Corp., 7.250%, 08/15/18 | 459,000 | 0.4 | ||||||||||||||||
535,000 | Pioneer Natural Resources Co., 7.500%, 01/15/20 | 603,911 | 0.5 | ||||||||||||||||
230,000 | Plains Exploration & Production Co., 7.625%, 06/01/18 | 236,900 | 0.2 | ||||||||||||||||
200,000 | Plains Exploration & Production Co., 6.625%, 05/01/21 | 197,250 | 0.2 | ||||||||||||||||
200,000 | Range Resources Corp., 5.750%, 06/01/21 | 208,500 | 0.2 | ||||||||||||||||
415,000 | Stone Energy Corp., 8.625%, 02/01/17 | 392,175 | 0.4 | ||||||||||||||||
390,000 | # | SunCoke Energy, Inc., 7.625%, 08/01/19 | 383,175 | 0.3 | |||||||||||||||
600,000 | Swift Energy Co., 8.875%, 01/15/20 | 633,000 | 0.6 | ||||||||||||||||
270,000 | # | Targa Resources Partners L.P. / Targa Resources Partners Finance Corp., 6.875%, 02/01/21 | 260,550 | 0.2 | |||||||||||||||
390,000 | Venoco, Inc., 8.875%, 02/15/19 | 337,350 | 0.3 | ||||||||||||||||
719,000 | # | W&T Offshore, Inc., 8.500%, 06/15/19 | 701,025 | 0.6 | |||||||||||||||
230,000 | Westmoreland Coal Co/Westmoreland Partners, 10.750%, 02/01/18 | 226,550 | 0.2 | ||||||||||||||||
17,804,658 | 16.1 | ||||||||||||||||||
Financials: 10.6% | |||||||||||||||||||
1,435,000 | Ally Financial, Inc., 8.000%, 03/15/20 | 1,331,852 | 1.2 | ||||||||||||||||
455,000 | Ally Financial, Inc., 8.300%, 02/12/15 | 451,019 | 0.4 | ||||||||||||||||
790,000 | American General Finance Corp., 5.400%, 12/01/15 | 580,650 | 0.5 | ||||||||||||||||
300,000 | American General Finance Corp., 5.850%, 06/01/13 | 258,000 | 0.2 | ||||||||||||||||
750,000 | Atlantic Broadband Finance, LLC, 9.375%, 01/15/14 | 748,125 | 0.7 | ||||||||||||||||
640,000 | # | CIT Group, In.c, 6.625%, 04/01/18 | 640,000 | 0.6 | |||||||||||||||
164,513 | CIT Group, Inc., 7.000%, 05/01/14 | 168,009 | 0.1 | ||||||||||||||||
210,000 | # | CIT Group, Inc., 7.000%, 05/02/16 | 204,225 | 0.2 | |||||||||||||||
1,050,000 | # | CIT Group, Inc., 7.000%, 05/02/17 | 1,019,812 | 0.9 | |||||||||||||||
235,000 | # | CIT Group, Inc., 7.000%, 05/04/15 | 233,531 | 0.2 | |||||||||||||||
602,000 | Felcor Lodging L.P., 10.000%, 10/01/14 | 629,090 | 0.6 | ||||||||||||||||
500,000 | Fifth Third Capital Trust IV, 6.500%, 04/15/37 | 477,550 | 0.4 | ||||||||||||||||
440,000 | Ford Motor Credit Co., LLC, 8.700%, 10/01/14 | 476,601 | 0.4 | ||||||||||||||||
945,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1,076,853 | 1.0 | ||||||||||||||||
125,000 | International Lease Finance Corp., 5.750%, 05/15/16 | 111,276 | 0.1 | ||||||||||||||||
210,000 | International Lease Finance Corp., 6.250%, 05/15/19 | 182,997 | 0.2 | ||||||||||||||||
298,000 | International Lease Finance Corp., 8.625%, 09/15/15 | 296,882 | 0.3 | ||||||||||||||||
310,000 | International Lease Finance Corp., 8.750%, 03/15/17 | 312,325 | 0.3 | ||||||||||||||||
470,000 | International Lease Finance Corp., 8.250%, 12/15/20 | 461,775 | 0.4 | ||||||||||||||||
531,000 | # | Pinafore LLC/Pinafore, Inc., 9.000%, 10/01/18 | 546,930 | 0.5 | |||||||||||||||
250,000 | # | Realogy Corp., 7.875%, 02/15/19 | 190,000 | 0.2 | |||||||||||||||
500,000 | Regions Bank/Birmingham AL, 6.450%, 06/26/37 | 425,000 | 0.4 | ||||||||||||||||
345,000 | Springleaf Finance Corp., 6.900%, 12/15/17 | 250,125 | 0.2 | ||||||||||||||||
660,000 | Tops Holding Corp. / Tops Markets LLC, 10.125%, 10/15/15 | 663,300 | 0.6 | ||||||||||||||||
11,735,927 | 10.6 | ||||||||||||||||||
Health Care: 7.6% | |||||||||||||||||||
295,000 | Apria Healthcare Group, Inc., 12.375%, 11/01/14 | 272,875 | 0.2 | ||||||||||||||||
193,000 | Biomet, Inc., 11.625%, 10/15/17 | 201,202 | 0.2 | ||||||||||||||||
145,000 | DaVita, Inc., 6.375%, 11/01/18 | 139,562 | 0.1 | ||||||||||||||||
145,000 | DaVita, Inc., 6.625%, 11/01/20 | 139,925 | 0.1 | ||||||||||||||||
135,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.000%, 12/15/20 | 136,012 | 0.1 | |||||||||||||||
168,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.250%, 01/15/22 | 169,260 | 0.2 | |||||||||||||||
153,000 | # | Endo Pharmaceuticals Holdings, Inc., 7.000%, 07/15/19 | 154,339 | 0.1 | |||||||||||||||
455,000 | Gentiva Health Services, Inc., 11.500%, 09/01/18 | 364,000 | 0.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: (continued) | |||||||||||||||||||
150,000 | # | Giant Funding Corp., 8.250%, 02/01/18 | $ | 150,750 | 0.1 | ||||||||||||||
655,000 | # | HCA Holdings, Inc., 7.750%, 05/15/21 | 617,337 | 0.6 | |||||||||||||||
105,000 | HCA, Inc., 7.875%, 02/15/20 | 109,200 | 0.1 | ||||||||||||||||
610,000 | HCA, Inc., 7.250%, 09/15/20 | 619,150 | 0.6 | ||||||||||||||||
250,000 | HCA, Inc., 7.500%, 02/15/22 | 231,250 | 0.2 | ||||||||||||||||
185,000 | Healthsouth Corp., 7.250%, 10/01/18 | 176,675 | 0.2 | ||||||||||||||||
260,000 | Healthsouth Corp., 8.125%, 02/15/20 | 245,050 | 0.2 | ||||||||||||||||
625,000 | # | IASIS Healthcare LLC / IASIS Capital Corp., 8.375%, 05/15/19 | 509,375 | 0.5 | |||||||||||||||
200,000 | # | IVD Acquisition Corp., 11.125%, 08/15/19 | 195,500 | 0.2 | |||||||||||||||
170,000 | # | Mylan, Inc./PA, 7.875%, 07/15/20 | 178,500 | 0.2 | |||||||||||||||
570,000 | Omnicare, Inc., 7.750%, 06/01/20 | 584,250 | 0.5 | ||||||||||||||||
205,000 | Radnet Management, Inc., 10.375%, 04/01/18 | 190,650 | 0.2 | ||||||||||||||||
167,000 | Select Medical Corp., 7.625%, 02/01/15 | 145,499 | 0.1 | ||||||||||||||||
650,000 | Select Medical Holdings Corp., 6.267%, 09/15/15 | 533,000 | 0.5 | ||||||||||||||||
280,000 | # | STHI Holding Corp., 8.000%, 03/15/18 | 271,600 | 0.2 | |||||||||||||||
670,000 | Tenet Healthcare Corp., 8.000%, 08/01/20 | 611,375 | 0.6 | ||||||||||||||||
225,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | — | — | |||||||||||||||
220,000 | United Surgical Partners International, Inc., 8.875%, 05/01/17 | 221,100 | 0.2 | ||||||||||||||||
300,000 | & | United Surgical Partners International, Inc., 9.250%, 05/01/17 | 301,500 | 0.3 | |||||||||||||||
75,000 | # | Valeant Pharmaceuticals International, 6.750%, 10/01/17 | 69,469 | 0.1 | |||||||||||||||
175,000 | # | Valeant Pharmaceuticals International, 6.750%, 08/15/21 | 152,469 | 0.1 | |||||||||||||||
245,000 | # | Valeant Pharmaceuticals International, 7.000%, 10/01/20 | 218,050 | 0.2 | |||||||||||||||
12,000 | Z | Vanguard Health Systems, Inc., 02/01/16 | 7,860 | 0.0 | |||||||||||||||
495,000 | Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8.000%, 02/01/18 | 456,638 | 0.4 | ||||||||||||||||
8,373,422 | 7.6 | ||||||||||||||||||
Industrials: 6.6% | |||||||||||||||||||
455,000 | # | Amsted Industries, Inc., 8.125%, 03/15/18 | 473,200 | 0.4 | |||||||||||||||
190,000 | Associated Materials LLC, 9.125%, 11/01/17 | 154,850 | 0.1 | ||||||||||||||||
310,000 | # | Bombardier, Inc., 7.500%, 03/15/18 | 328,600 | 0.3 | |||||||||||||||
310,000 | # | Bombardier, Inc., 7.750%, 03/15/20 | 331,700 | 0.3 | |||||||||||||||
185,000 | # | Building Materials Corp. of America, 7.500%, 03/15/20 | 185,925 | 0.2 | |||||||||||||||
385,000 | # | Calpine Corp., 7.500%, 02/15/21 | 369,600 | 0.3 | |||||||||||||||
185,000 | Case New Holland, Inc., 7.750%, 09/01/13 | 193,788 | 0.2 | ||||||||||||||||
6,000 | CDW LLC / CDW Finance Corp., 11.000%, 10/12/15 | 6,015 | 0.0 | ||||||||||||||||
750,000 | CDW LLC / CDW Finance Corp., 12.535%, 10/12/17 | 720,000 | 0.7 | ||||||||||||||||
75,000 | CF Industries, Inc., 6.875%, 05/01/18 | 83,906 | 0.1 | ||||||||||||||||
280,000 | Coleman Cable, Inc., 9.000%, 02/15/18 | 274,400 | 0.3 | ||||||||||||||||
160,000 | # | Ducommun, Inc., 9.750%, 07/15/18 | 160,800 | 0.1 | |||||||||||||||
355,000 | Florida East Coast Railway Corp., 8.125%, 02/01/17 | 346,125 | 0.3 | ||||||||||||||||
110,000 | Interface, Inc., 7.625%, 12/01/18 | 110,550 | 0.1 | ||||||||||||||||
130,000 | Koppers, Inc., 7.875%, 12/01/19 | 135,525 | 0.1 | ||||||||||||||||
370,000 | # | LBI Escrow Corp., 8.000%, 11/01/17 | 400,525 | 0.4 | |||||||||||||||
190,000 | Mobile Mini, Inc., 7.875%, 12/01/20 | 183,350 | 0.2 | ||||||||||||||||
585,000 | Martin Midstream Partners L.P. / Martin Midstream Finance Corp., 8.875%, 04/01/18 | 582,075 | 0.5 | ||||||||||||||||
310,000 | Nova Chemicals Corp., 8.625%, 11/01/19 | 337,125 | 0.3 | ||||||||||||||||
240,000 | Nova Chemicals Corp., 8.375%, 11/01/16 | 253,200 | 0.2 | ||||||||||||||||
500,000 | # | NXP BV/NXP Funding, LLC, 9.750%, 08/01/18 | 525,000 | 0.5 | |||||||||||||||
370,000 | # | Polymer Group, Inc., 7.750%, 02/01/19 | 370,925 | 0.3 | |||||||||||||||
375,000 | Severstal, 10.250%, 02/15/18 | 384,375 | 0.4 | ||||||||||||||||
310,000 | SPX Corp., 6.875%, 09/01/17 | 319,300 | 0.3 | ||||||||||||||||
7,230,859 | 6.6 | ||||||||||||||||||
Information Technology: 4.9% | |||||||||||||||||||
605,000 | Aspect Software, Inc., 10.625%, 05/15/17 | 611,050 | 0.6 | ||||||||||||||||
675,000 | # | CDW Escrow, 8.500%, 04/01/19 | 597,375 | 0.6 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||||||
Information Technology: (continued) | |||||||||||||||||||||||
5,233 | & | CDW LLC / CDW Finance Corp., 11.500%, 10/12/15 | $ | 5,246 | 0.0 | ||||||||||||||||||
300,000 | # | Eagle Parent, Inc., 8.625%, 05/01/19 | 273,000 | 0.3 | |||||||||||||||||||
145,000 | # | First Data Corp., 8.250%, 01/15/21 | 115,275 | 0.1 | |||||||||||||||||||
146,000 | #,& | First Data Corp., 8.750%, 01/15/22 | 116,070 | 0.1 | |||||||||||||||||||
17,000 | First Data Corp., 9.875%, 09/24/15 | 14,323 | 0.0 | ||||||||||||||||||||
17,748 | & | First Data Corp., 10.550%, 09/24/15 | 14,864 | 0.0 | |||||||||||||||||||
195,000 | First Data Corp., 11.250%, 03/31/16 | 132,600 | 0.1 | ||||||||||||||||||||
293,000 | # | First Data Corp., 12.625%, 01/15/21 | 218,285 | 0.2 | |||||||||||||||||||
432,000 | # | Insight.com, 9.375%, 07/15/18 | 486,000 | 0.4 | |||||||||||||||||||
405,000 | Jabil Circuit, Inc., 7.750%, 07/15/16 | 448,537 | 0.4 | ||||||||||||||||||||
460,000 | Kemet Corp., 10.500%, 05/01/18 | 485,300 | 0.4 | ||||||||||||||||||||
370,000 | # | MedAssets, Inc., 8.000%, 11/15/18 | 354,275 | 0.3 | |||||||||||||||||||
235,000 | # | Seagate HDD Cayman, 7.750%, 12/15/18 | 231,475 | 0.2 | |||||||||||||||||||
525,000 | SSI Investments II/SSI Co-Issuer LLC, 11.125%, 06/01/18 | 525,000 | 0.5 | ||||||||||||||||||||
270,000 | # | Stoneridge, Inc., 9.500%, 10/15/17 | 276,750 | 0.3 | |||||||||||||||||||
395,000 | SunGard Data Systems, Inc., 7.375%, 11/15/18 | 369,325 | 0.3 | ||||||||||||||||||||
155,000 | SunGard Data Systems, Inc., 7.625%, 11/15/20 | 144,925 | 0.1 | ||||||||||||||||||||
5,419,675 | 4.9 | ||||||||||||||||||||||
Materials: 7.3% | |||||||||||||||||||||||
355,000 | # | Aleris International, Inc., 7.625%, 02/15/18 | 320,388 | 0.3 | |||||||||||||||||||
185,000 | # | Atkore International, Inc., 9.875%, 01/01/18 | 168,350 | 0.1 | |||||||||||||||||||
615,000 | # | Building Materials Corp. of America, 6.750%, 05/01/21 | 585,788 | 0.5 | |||||||||||||||||||
160,000 | Case New Holland, Inc., 7.875%, 12/01/17 | 171,200 | 0.1 | ||||||||||||||||||||
75,000 | CF Industries, Inc., 7.125%, 05/01/20 | 85,594 | 0.1 | ||||||||||||||||||||
220,000 | Chemtura Corp., 7.875%, 09/01/18 | 216,700 | 0.2 | ||||||||||||||||||||
285,000 | Darling International, Inc., 8.500%, 12/15/18 | 308,512 | 0.3 | ||||||||||||||||||||
230,000 | Ferro Corp., 7.875%, 08/15/18 | 231,150 | 0.2 | ||||||||||||||||||||
280,000 | Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 8.875%, 02/01/18 | 232,400 | 0.2 | ||||||||||||||||||||
460,000 | Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC, 9.000%, 11/15/20 | 339,250 | 0.3 | ||||||||||||||||||||
535,000 | Huntsman International LLC, 8.625%, 03/15/21 | 514,937 | 0.5 | ||||||||||||||||||||
580,000 | # | JMC Steel Group, 8.250%, 03/15/18 | 548,100 | 0.5 | |||||||||||||||||||
120,000 | Kraton Polymers LLC/Kraton Polymers Capital Corp., 6.750%, 03/01/19 | 107,700 | 0.1 | ||||||||||||||||||||
410,000 | # | Longview Fibre Paper & Packaging, Inc., 8.000%, 06/01/16 | 399,750 | 0.4 | |||||||||||||||||||
250,000 | Lyondell Chemical Co., 11.000%, 05/01/18 | 271,250 | 0.2 | ||||||||||||||||||||
451,000 | Momentive Performance Materials, Inc., 12.500%, 06/15/14 | 462,275 | 0.4 | ||||||||||||||||||||
460,000 | Momentive Performance Materials, Inc., 9.000%, 01/15/21 | 317,400 | 0.3 | ||||||||||||||||||||
180,000 | Novelis, Inc./GA, 8.375%, 12/15/17 | 179,100 | 0.2 | ||||||||||||||||||||
260,000 | Omnova Solutions, Inc., 7.875%, 11/01/18 | 211,900 | 0.2 | ||||||||||||||||||||
305,000 | Owens-Illinois, Inc., 7.800%, 05/15/18 | 314,150 | 0.3 | ||||||||||||||||||||
290,000 | # | Plastipak Holdings, Inc., 10.625%, 08/15/19 | 303,050 | 0.3 | |||||||||||||||||||
275,000 | PolyOne Corp., 7.375%, 09/15/20 | 277,062 | 0.2 | ||||||||||||||||||||
307,000 | # | Rain CII Carbon LLC and CII Carbon Corp., 8.000%, 12/01/18 | 308,535 | 0.3 | |||||||||||||||||||
350,000 | Solutia, Inc., 8.750%, 11/01/17 | 374,500 | 0.3 | ||||||||||||||||||||
870,000 | # | Thompson Creek Metals Co., Inc., 7.375%, 06/01/18 | 787,350 | 0.7 | |||||||||||||||||||
75,000 | # | Vertellus Specialties, Inc., 9.375%, 10/01/15 | 65,813 | 0.1 | |||||||||||||||||||
8,102,204 | 7.3 | ||||||||||||||||||||||
Telecommunications: 5.6% | |||||||||||||||||||||||
220,000 | Cincinnati Bell, Inc., 8.375%, 10/15/20 | 205,150 | 0.2 | ||||||||||||||||||||
420,000 | Cincinnati Bell, Inc., 8.750%, 03/15/18 | 374,850 | 0.3 | ||||||||||||||||||||
625,000 | # | CommScope, Inc., 8.250%, 01/15/19 | 612,500 | 0.6 | |||||||||||||||||||
260,000 | Cricket Communications, Inc., 7.750%, 05/15/16 | 262,275 | 0.2 | ||||||||||||||||||||
405,000 | Freescale Semiconductor, Inc., 8.050%, 02/01/20 | 368,550 | 0.3 | ||||||||||||||||||||
200,000 | Frontier Communications Corp., 8.250%, 04/15/17 | 195,000 | 0.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Telecommunications: (continued) | |||||||||||||||||||
510,000 | Frontier Communications Corp., 8.500%, 04/15/20 | $ | 497,250 | 0.5 | |||||||||||||||
250,000 | #,& | Intelsat Bermuda Ltd., 11.500%, 02/04/17 | 215,625 | 0.2 | |||||||||||||||
200,000 | # | Intelsat Jackson Holdings SA, 7.250%, 04/01/19 | 186,000 | 0.2 | |||||||||||||||
240,000 | # | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 223,800 | 0.2 | |||||||||||||||
45,000 | Intelsat Jackson Holdings SA, 8.500%, 11/01/19 | 44,100 | 0.0 | ||||||||||||||||
131,375 | & | Intelsat Luxembourg S.A., 11.500%, 02/04/17 | 113,311 | 0.1 | |||||||||||||||
1,120,000 | Intelsat Luxembourg S.A., 11.250%, 02/04/17 | 974,400 | 0.9 | ||||||||||||||||
305,000 | Intelsat Ltd., 6.500%, 11/01/13 | 307,287 | 0.3 | ||||||||||||||||
18,024 | & | iPCS, Inc., 3.504%, 05/01/14 | 15,771 | 0.0 | |||||||||||||||
380,000 | MetroPCS Wireless, Inc., 6.625%, 11/15/20 | 335,350 | 0.3 | ||||||||||||||||
185,000 | MetroPCS Wireless, Inc., 7.875%, 09/01/18 | 180,375 | 0.2 | ||||||||||||||||
330,000 | Sprint Capital Corp., 6.875%, 11/15/28 | 248,325 | 0.2 | ||||||||||||||||
190,000 | West Corp., 7.875%, 01/15/19 | 179,550 | 0.2 | ||||||||||||||||
620,000 | Windstream Corp., 7.000%, 03/15/19 | 598,300 | 0.5 | ||||||||||||||||
6,137,769 | 5.6 | ||||||||||||||||||
Utilities: 3.6% | |||||||||||||||||||
330,000 | AES Corp., 8.000%, 10/15/17 | 333,300 | 0.3 | ||||||||||||||||
310,000 | # | AES Corp./The, 7.375%, 07/01/21 | 294,500 | 0.3 | |||||||||||||||
290,000 | # | Calpine Corp., 7.875%, 07/31/20 | 281,300 | 0.2 | |||||||||||||||
120,000 | Edison Mission Energy, 7.625%, 05/15/27 | 66,600 | 0.1 | ||||||||||||||||
730,000 | Energy Future Holdings Corp., 10.000%, 01/15/20 | 711,750 | 0.6 | ||||||||||||||||
865,000 | # | Foresight Energy LLC / Foresight Energy Corp., 9.625%, 08/15/17 | 877,975 | 0.8 | |||||||||||||||
210,841 | Homer City Funding, LLC, 8.734%, 10/01/26 | 178,161 | 0.2 | ||||||||||||||||
475,000 | Mirant Americas Generation, LLC, 9.125%, 05/01/31 | 401,375 | 0.4 | ||||||||||||||||
230,000 | # | NRG Energy, Inc., 7.625%, 05/15/19 | 210,450 | 0.2 | |||||||||||||||
230,000 | # | NRG Energy, Inc., 7.875%, 05/15/21 | 211,600 | 0.2 | |||||||||||||||
455,000 | # | Texas Competitive Electric Holdings Co. LLC / TCEH Finance, Inc., 11.500%, 10/01/20 | 366,275 | 0.3 | |||||||||||||||
3,933,286 | 3.6 | ||||||||||||||||||
Total Corporate Bonds/Notes (Cost $107,672,137) | 103,618,501 | 94.0 | |||||||||||||||||
ASSET-BACKED SECURITIES: 0.9% | |||||||||||||||||||
Other Asset-Backed Securities: 0.9% | |||||||||||||||||||
1,000,000 | # | GSC Partners CDO Fund Ltd, 2.185%, 12/16/15 | 912,060 | 0.9 | |||||||||||||||
Total Asset-Backed Securities (Cost $910,173) | 912,060 | 0.9 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMMON STOCK: 0.0% | |||||||||||||||||||
Consumer Discretionary: 0.0% | |||||||||||||||||||
195 | @ | American Media, Inc. | 3,120 | 0.0 | |||||||||||||||
5,810 | @ | American Media, Inc., Stock Certificates | — | — | |||||||||||||||
Total Common Stock (Cost $136,656) | 3,120 | 0.0 | |||||||||||||||||
Total Long-Term Investments (Cost $108,718,966) | 104,533,681 | 94.9 | |||||||||||||||||
SHORT-TERM INVESTMENTS: 3.2% | |||||||||||||||||||
Mutual Funds: 3.2% | |||||||||||||||||||
3,566,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $3,566,000) | 3,566,000 | 3.2 | ||||||||||||||||
Total Short-Term Investments (Cost $3,566,000) | 3,566,000 | 3.2 | |||||||||||||||||
Total Investments in Securities (Cost $112,284,966)* | $ | 108,099,681 | 98.1 | ||||||||||||||||
Assets in Excess of Other Liabilities | 2,119,194 | 1.9 | |||||||||||||||||
Net Assets | $ | 110,218,875 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. | |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. | |
@ | Non-income producing security | |
& | Payment-in-kind |
+ | Step-up basis bonds. Interest rates shown reflect current and next coupon rates. |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
Z | Indicates Zero Coupon Bond; rate shown reflects current effective yield. |
Cost for federal income tax purposes is $112,288,978. |
Net unrealized depreciation consists of: |
Gross Unrealized Appreciation | $ | 1,920,341 | ||||
Gross Unrealized Depreciation | (6,109,638 | ) | ||||
Net Unrealized depreciation | $ | (4,189,297 | ) |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: 25.1% | |||||||||||||||||||
Consumer Discretionary: 3.4% | |||||||||||||||||||
1,110,000 | AMC Entertainment, Inc., 8.750%, 06/01/19 | $ | 1,096,125 | 0.1 | |||||||||||||||
100,000 | Arcos Dorados BV, 7.500%, 10/01/19 | 105,750 | 0.0 | ||||||||||||||||
1,601,000 | AutoZone, Inc., 4.000%, 11/15/20 | 1,608,971 | 0.2 | ||||||||||||||||
740,000 | Cablevision Systems Corp., 8.625%, 09/15/17 | 774,225 | 0.1 | ||||||||||||||||
560,000 | CCO Holdings LLC / CCO Holdings Capital Corp., 7.000%, 01/15/19 | 546,000 | 0.1 | ||||||||||||||||
927,000 | Family Dollar Stores, Inc., 5.000%, 02/01/21 | 911,090 | 0.1 | ||||||||||||||||
1,374,000 | Gap, Inc./The, 5.950%, 04/12/21 | 1,296,402 | 0.2 | ||||||||||||||||
621,000 | HJ Heinz Co., 3.125%, 09/12/21 | 620,517 | 0.1 | ||||||||||||||||
2,975,000 | # | Hyatt Hotels Corp., 6.875%, 08/15/19 | 3,357,600 | 0.4 | |||||||||||||||
1,105,000 | Limited Brands, Inc., 8.500%, 06/15/19 | 1,254,175 | 0.2 | ||||||||||||||||
1,842,000 | McDonald’s Corp., 2.625%, 01/15/22 | 1,835,612 | 0.2 | ||||||||||||||||
794,000 | NBCUniversal Media LLC, 2.875%, 04/01/16 | 809,686 | 0.1 | ||||||||||||||||
865,000 | NBCUniversal Media LLC, 5.150%, 04/30/20 | 951,464 | 0.1 | ||||||||||||||||
979,000 | News America, Inc., 4.500%, 02/15/21 | 986,847 | 0.1 | ||||||||||||||||
1,222,000 | News America, Inc., 6.650%, 11/15/37 | 1,350,703 | 0.2 | ||||||||||||||||
1,065,000 | Nielsen Finance LLC / Nielsen Finance Co., 7.750%, 10/15/18 | 1,091,625 | 0.1 | ||||||||||||||||
795,000 | Pinnacle Entertainment, Inc., 8.625%, 08/01/17 | 804,938 | 0.1 | ||||||||||||||||
290,000 | # | QVC, Inc., 7.375%, 10/15/20 | 310,300 | 0.0 | |||||||||||||||
805,000 | # | QVC, Inc., 7.500%, 10/01/19 | 861,350 | 0.1 | |||||||||||||||
648,000 | Time Warner Entertainment Co. LP, 8.375%, 07/15/33 | 849,177 | 0.1 | ||||||||||||||||
562,000 | Time Warner, Inc., 6.250%, 03/29/41 | 645,161 | 0.1 | ||||||||||||||||
863,000 | Toll Brothers Finance Corp., 6.750%, 11/01/19 | 885,361 | 0.1 | ||||||||||||||||
1,120,000 | Toys R Us Property Co. I LLC, 10.750%, 07/15/17 | 1,190,000 | 0.2 | ||||||||||||||||
971,000 | Walt Disney Co/The, 1.350%, 08/16/16 | 959,321 | 0.1 | ||||||||||||||||
1,405,000 | Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp., 7.875%, 11/01/17 | 1,478,762 | 0.2 | ||||||||||||||||
950,000 | # | XM Satellite Radio, Inc., 7.625%, 11/01/18 | 964,250 | 0.1 | |||||||||||||||
27,545,412 | 3.4 | ||||||||||||||||||
Consumer Staples: 1.0% | |||||||||||||||||||
321,000 | Altria Group, Inc., 4.750%, 05/05/21 | �� | 333,157 | 0.0 | |||||||||||||||
1,003,000 | Altria Group, Inc., 9.700%, 11/10/18 | 1,332,353 | 0.2 | ||||||||||||||||
1,431,000 | Coca-Cola Enterprises, Inc., 2.000%, 08/19/16 | 1,430,458 | 0.2 | ||||||||||||||||
1,240,000 | Constellation Brands, Inc., 7.250%, 05/15/17 | 1,308,200 | 0.2 | ||||||||||||||||
1,732,000 | # | JBS Finance II Ltd., 8.250%, 01/29/18 | 1,446,220 | 0.2 | |||||||||||||||
1,815,000 | L | Lorillard Tobacco Co., 6.875%, 05/01/20 | 2,018,523 | 0.2 | |||||||||||||||
7,868,911 | 1.0 | ||||||||||||||||||
Energy: 3.8% | |||||||||||||||||||
1,185,000 | Anadarko Petroleum Corp., 6.375%, 09/15/17 | 1,332,023 | 0.2 | ||||||||||||||||
1,025,000 | Arch Coal, Inc., 8.750%, 08/01/16 | 1,091,625 | 0.1 | ||||||||||||||||
702,000 | # | Chevron Phillips Chemical Co. LLC, 7.000%, 06/15/14 | 785,208 | 0.1 | |||||||||||||||
997,000 | Devon Energy Corp., 5.600%, 07/15/41 | 1,156,954 | 0.2 | ||||||||||||||||
612,000 | # | Duquesne Light Holdings, Inc., 5.900%, 12/01/21 | 622,231 | 0.1 | |||||||||||||||
1,523,000 | Enbridge Energy Partners, 9.875%, 03/01/19 | 2,024,079 | 0.3 | ||||||||||||||||
533,000 | Enbridge Energy Partners L.P., 4.200%, 09/15/21 | 528,968 | 0.1 | ||||||||||||||||
1,070,000 | Energy Transfer Equity L.P., 7.500%, 10/15/20 | 1,104,775 | 0.1 | ||||||||||||||||
1,244,000 | Energy Transfer Partners, 9.700%, 03/15/19 | 1,543,757 | 0.2 | ||||||||||||||||
1,217,000 | Energy Transfer Partners L.P., 4.650%, 06/01/21 | 1,159,125 | 0.2 | ||||||||||||||||
1,217,000 | Energy Transfer Partners L.P., 6.050%, 06/01/41 | 1,144,160 | 0.1 | ||||||||||||||||
1,800,000 | ±,X | Greater Ohio Ethanol, LLC, 6.301%, 12/31/13 | — | — | |||||||||||||||
2,200,000 | ±,X | Greater Ohio Ethanol, LLC, 12.630%, 12/31/13 | — | — | |||||||||||||||
1,442,000 | # | Marathon Petroleum Corp., 6.500%, 03/01/41 | 1,564,785 | 0.2 | |||||||||||||||
1,292,000 | Nexen, Inc., 7.500%, 07/30/39 | 1,521,493 | 0.2 | ||||||||||||||||
1,225,000 | Occidental Petroleum Corp., 1.750%, 02/15/17 | 1,218,270 | 0.2 | ||||||||||||||||
1,457,000 | # | Petroleos de Venezuela SA, 12.750%, 02/17/22 | 1,078,180 | 0.1 | |||||||||||||||
1,689,000 | Petroleos Mexicanos, 6.000%, 03/05/20 | 1,864,656 | 0.2 | ||||||||||||||||
1,350,000 | Pioneer Natural Resources Co., 7.500%, 01/15/20 | 1,523,887 | 0.2 | ||||||||||||||||
830,000 | Plains Exploration & Production Co., 8.625%, 10/15/19 | 896,400 | 0.1 | ||||||||||||||||
1,387,000 | Pride International, Inc., 7.875%, 08/15/40 | 1,786,122 | 0.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Energy: (continued) | |||||||||||||||||||
1,055,000 | Range Resources Corp., 5.750%, 06/01/21 | $ | 1,099,837 | 0.1 | |||||||||||||||
2,639,000 | # | Schlumberger Investment SA, 1.950%, 09/14/16 | 2,627,507 | 0.3 | |||||||||||||||
626,000 | Sunoco Logistics Partners Operations L.P., 4.650%, 02/15/22 | 619,157 | 0.1 | ||||||||||||||||
790,000 | Transcontinental Gas Pipe Line Corp., 6.400%, 04/15/16 | 918,982 | 0.1 | ||||||||||||||||
969,000 | Weatherford International Ltd. Bermuda, 6.750%, 09/15/40 | 1,039,271 | 0.1 | ||||||||||||||||
30,251,452 | 3.8 | ||||||||||||||||||
Financials: 7.2% | |||||||||||||||||||
3,513,600 | Aegon NV, 3.169%, 12/31/49 | 1,658,419 | 0.2 | ||||||||||||||||
1,203,000 | American International Group, Inc., 5.850%, 01/16/18 | 1,196,086 | 0.1 | ||||||||||||||||
1,035,000 | American International Group, Inc., 8.175%, 05/15/58 | 917,269 | 0.1 | ||||||||||||||||
784,000 | AvalonBay Communities, Inc., 5.700%, 03/15/17 | 882,122 | 0.1 | ||||||||||||||||
BRL 2,887,000 | # | Banco Votorantim SA, 6.250%, 05/16/16 | 1,597,619 | 0.2 | |||||||||||||||
1,314,000 | Bank of America Corp., 8.000%, 12/29/49 | 1,118,410 | 0.1 | ||||||||||||||||
2,337,000 | Bank of New York Mellon Corp./The, 3.550%, 09/23/21 | 2,338,145 | 0.3 | ||||||||||||||||
1,677,000 | # | Barclays Bank PLC, 5.926%, 09/29/49 | 1,249,365 | 0.2 | |||||||||||||||
3,639,000 | Caterpillar Financial Services Corp., 2.050%, 08/01/16 | 3,671,041 | 0.5 | ||||||||||||||||
2,074,000 | Citigroup, Inc., 3.953%, 06/15/16 | 2,072,584 | 0.3 | ||||||||||||||||
1,660,000 | # | Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Netherlands, 11.000%, 12/29/49 | 2,001,620 | 0.3 | |||||||||||||||
1,762,000 | Credit Suisse/Guernsey, 5.860%, 12/31/49 | 1,391,980 | 0.2 | ||||||||||||||||
2,263,000 | Discover Bank/Greenwood DE, 8.700%, 11/18/19 | 2,592,366 | 0.3 | ||||||||||||||||
1,575,000 | Fifth Third Bancorp., 8.250%, 03/01/38 | 1,893,857 | 0.2 | ||||||||||||||||
1,065,000 | Ford Motor Credit Co., LLC, 8.125%, 01/15/20 | 1,213,596 | 0.2 | ||||||||||||||||
2,262,000 | General Electric Capital Corp., 5.300%, 02/11/21 | 2,354,211 | 0.3 | ||||||||||||||||
819,000 | Genworth Financial, Inc., 7.625%, 09/24/21 | 707,882 | 0.1 | ||||||||||||||||
1,953,000 | Goldman Sachs Group, Inc./The, 5.250%, 07/27/21 | 1,933,095 | 0.2 | ||||||||||||||||
1,295,000 | Goldman Sachs Group, Inc./The, 5.350%, 01/15/16 | 1,341,997 | 0.2 | ||||||||||||||||
676,000 | Hartford Financial Services Group, Inc., 5.500%, 03/30/20 | 661,048 | 0.1 | ||||||||||||||||
610,000 | Hartford Financial Services Group, Inc., 6.625%, 03/30/40 | 574,279 | 0.1 | ||||||||||||||||
324,000 | Health Care REIT, Inc., 6.500%, 03/15/41 | 309,038 | 0.0 | ||||||||||||||||
2,975,000 | # | HSBC Finance Corp., 6.676%, 01/15/21 | 2,932,669 | 0.4 | |||||||||||||||
964,000 | # | Iberdrola Finance Ireland Ltd., 3.800%, 09/11/14 | 963,265 | 0.1 | |||||||||||||||
1,361,000 | # | ILFC E-Capital Trust II, 6.250%, 12/21/65 | 1,013,945 | 0.1 | |||||||||||||||
1,037,000 | # | International Lease Finance Corp., 7.125%, 09/01/18 | 1,046,074 | 0.1 | |||||||||||||||
2,462,000 | L | JPMorgan Chase & Co., 4.350%, 08/15/21 | 2,496,604 | 0.3 | |||||||||||||||
1,200,000 | # | Marfrig Holding Europe BV, 8.375%, 05/09/18 | 768,000 | 0.1 | |||||||||||||||
1,727,000 | Merrill Lynch & Co., Inc., 6.050%, 05/16/16 | 1,556,611 | 0.2 | ||||||||||||||||
785,000 | Morgan Stanley, 5.500%, 07/28/21 | 729,476 | 0.1 | ||||||||||||||||
1,621,000 | Morgan Stanley, 5.750%, 01/25/21 | 1,496,029 | 0.2 | ||||||||||||||||
1,310,000 | Northern Trust Corp., 3.375%, 08/23/21 | 1,331,041 | 0.2 | ||||||||||||||||
1,300,000 | Owens, 7.375%, 05/15/16 | 1,358,500 | 0.2 | ||||||||||||||||
1,023,000 | # | Pacific Life Insurance Co., 9.250%, 06/15/39 | 1,380,855 | 0.2 | |||||||||||||||
1,198,000 | PNC Funding Corp., 2.700%, 09/19/16 | 1,200,289 | 0.1 | ||||||||||||||||
46,169 | # | Power Receivable Finance, LLC, 6.290%, 01/01/12 | 46,217 | 0.0 | |||||||||||||||
1,448,000 | Protective Life Corp., 8.450%, 10/15/39 | 1,680,951 | 0.2 | ||||||||||||||||
2,039,000 | Santander Holdings USA, Inc., 4.625%, 04/19/16 | 1,967,511 | 0.2 | ||||||||||||||||
944,000 | SLM Corp., 6.250%, 01/25/16 | 927,945 | 0.1 | ||||||||||||||||
1,007,000 | SLM Corp., 8.000%, 03/25/20 | 996,625 | 0.1 | ||||||||||||||||
1,583,000 | ±,X | Twin Reefs Pass-through Trust, 1.390%, 12/10/49 | — | — | |||||||||||||||
DKK 16 | Nordea Kredit Realkreditaktieselskab, 6.000%, 07/01/29 | 3 | 0.0 | ||||||||||||||||
57,568,639 | 7.2 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Health Care: 0.6% | |||||||||||||||||||
1,395,000 | HCA, Inc., 7.250%, 09/15/20 | $ | 1,415,925 | 0.2 | |||||||||||||||
775,000 | Omnicare, Inc., 7.750%, 06/01/20 | 794,375 | 0.1 | ||||||||||||||||
1,241,000 | Stryker Corp., 2.000%, 09/30/16 | 1,249,344 | 0.1 | ||||||||||||||||
1,054,000 | X | U.S. Oncology Escrow, 87.500%, 12/31/49 | — | — | |||||||||||||||
1,549,000 | WellPoint, Inc., 3.700%, 08/15/21 | 1,563,496 | 0.2 | ||||||||||||||||
5,023,140 | 0.6 | ||||||||||||||||||
Industrials: 1.4% | |||||||||||||||||||
900,000 | # | Bombardier, Inc., 7.500%, 03/15/18 | 954,000 | 0.1 | |||||||||||||||
240,000 | # | Bombardier, Inc., 7.750%, 03/15/20 | 256,800 | 0.0 | |||||||||||||||
1,226,000 | Burlington Northern Santa Fe LLC, 3.450%, 09/15/21 | 1,252,995 | 0.2 | ||||||||||||||||
1,105,000 | # | Calpine Corp., 7.500%, 02/15/21 | 1,060,800 | 0.1 | |||||||||||||||
185,000 | Celanese US Holdings LLC, 5.875%, 06/15/21 | 182,456 | 0.0 | ||||||||||||||||
1,109,000 | # | Chevron Phillips Chemical Co. LLC, 8.250%, 06/15/19 | 1,402,938 | 0.2 | |||||||||||||||
860,000 | CRH America, Inc., 4.125%, 01/15/16 | 867,244 | 0.1 | ||||||||||||||||
543,000 | CRH America, Inc., 5.750%, 01/15/21 | 561,320 | 0.1 | ||||||||||||||||
1,054,000 | Domtar Corp., 10.750%, 06/01/17 | 1,317,500 | 0.2 | ||||||||||||||||
1,013,000 | # | Energizer Holdings, Inc., 4.700%, 05/19/21 | 1,087,215 | 0.1 | |||||||||||||||
1,450,000 | Lockheed Martin Corp., 2.125%, 09/15/16 | 1,444,378 | 0.2 | ||||||||||||||||
1,025,000 | Nova Chemicals Corp., 8.375%, 11/01/16 | 1,081,375 | 0.1 | ||||||||||||||||
11,469,021 | 1.4 | ||||||||||||||||||
Information Technology: 0.8% | |||||||||||||||||||
150,000 | Brocade Communications Systems, Inc., 6.625%, 01/15/18 | 153,375 | 0.0 | ||||||||||||||||
1,120,000 | Brocade Communications Systems, Inc., 6.875%, 01/15/20 | 1,149,400 | 0.1 | ||||||||||||||||
1,543,000 | Hewlett-Packard Co., 3.000%, 09/15/16 | 1,558,714 | 0.2 | ||||||||||||||||
1,365,000 | Jabil Circuit, Inc., 7.750%, 07/15/16 | 1,511,737 | 0.2 | ||||||||||||||||
835,000 | Seagate Technology, Inc., 6.800%, 10/01/16 | 835,000 | 0.1 | ||||||||||||||||
1,447,000 | Symantec Corp., 4.200%, 09/15/20 | 1,416,959 | 0.2 | ||||||||||||||||
6,625,185 | 0.8 | ||||||||||||||||||
Materials: 1.8% | |||||||||||||||||||
1,706,000 | Alcoa, Inc., 6.150%, 08/15/20 | 1,733,308 | 0.2 | ||||||||||||||||
816,000 | ArcelorMittal, 6.125%, 06/01/18 | $ | 789,604 | 0.1 | |||||||||||||||
2,481,000 | ArcelorMittal, 9.850%, 06/01/19 | 2,817,950 | 0.3 | ||||||||||||||||
890,000 | # | FMG Resources August 2006 Pty Ltd, 6.375%, 02/01/16 | 805,450 | 0.1 | |||||||||||||||
495,000 | # | Georgia-Pacific LLC, 5.400%, 11/01/20 | 505,153 | 0.1 | |||||||||||||||
1,100,000 | Huntsman International LLC, 8.625%, 03/15/21 | 1,058,750 | 0.1 | ||||||||||||||||
1,861,000 | Intel Corp., 1.950%, 10/01/16 | 1,877,983 | 0.2 | ||||||||||||||||
765,000 | Lyondell Chemical Co., 11.000%, 05/01/18 | 830,025 | 0.1 | ||||||||||||||||
922,000 | Praxair, Inc., 3.000%, 09/01/21 | 927,187 | 0.1 | ||||||||||||||||
1,241,000 | L | Rio Tinto Finance USA Ltd., 2.250%, 09/20/16 | 1,240,530 | 0.2 | |||||||||||||||
406,000 | Teck Resources Ltd., 6.000%, 08/15/40 | 420,355 | 0.1 | ||||||||||||||||
1,420,000 | Teck Resources Ltd., 10.250%, 05/15/16 | 1,670,920 | 0.2 | ||||||||||||||||
14,677,215 | 1.8 | ||||||||||||||||||
Telecommunication Services: 0.2% | |||||||||||||||||||
1,428,000 | Telefonica Emisiones SAU, 3.992%, 02/16/16 | 1,360,918 | 0.2 | ||||||||||||||||
Telecommunications: 1.8% | |||||||||||||||||||
1,410,000 | American Tower Corp., 4.500%, 01/15/18 | 1,414,965 | 0.2 | ||||||||||||||||
1,022,000 | AT&T, Inc., 3.875%, 08/15/21 | 1,055,078 | 0.1 | ||||||||||||||||
1,635,000 | AT&T, Inc., 5.550%, 08/15/41 | 1,771,719 | 0.2 | ||||||||||||||||
800,000 | CenturyLink, Inc., 6.000%, 04/01/17 | 785,086 | 0.1 | ||||||||||||||||
330,000 | CenturyLink, Inc., 6.450%, 06/15/21 | 306,725 | 0.0 | ||||||||||||||||
500,000 | Frontier Communications Corp., 7.875%, 04/15/15 | 503,750 | 0.1 | ||||||||||||||||
570,000 | Frontier Communications Corp., 8.125%, 10/01/18 | 561,450 | 0.1 | ||||||||||||||||
425,000 | # | Intelsat Jackson Holdings Ltd., 7.250%, 10/15/20 | 393,125 | 0.0 | |||||||||||||||
450,000 | # | Intelsat Jackson Holdings SA, 7.500%, 04/01/21 | 419,625 | 0.1 | |||||||||||||||
1,015,000 | Qwest Communications International, Inc., 7.125%, 04/01/18 | 999,775 | 0.1 | ||||||||||||||||
481,000 | Qwest Corp., 6.500%, 06/01/17 | 499,037 | 0.1 | ||||||||||||||||
2,223,000 | Telecom Italia Capital S.A., 5.250%, 11/15/13 | 2,174,250 | 0.3 | ||||||||||||||||
2,137,000 | # | Telstra Corp. Ltd., 4.800%, 10/12/21 | 2,243,822 | 0.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CORPORATE BONDS/NOTES: (continued) | |||||||||||||||||||
Telecommunications: (continued) | |||||||||||||||||||
1,200,000 | Windstream Corp., 7.000%, 03/15/19 | $ | 1,158,000 | 0.1 | |||||||||||||||
14,286,407 | 1.8 | ||||||||||||||||||
Utilities: 3.1% | |||||||||||||||||||
1,853,000 | 3M Co., 1.375%, 09/29/16 | 1,846,518 | 0.2 | ||||||||||||||||
855,000 | AES Corp., 8.000%, 10/15/17 | 863,550 | 0.1 | ||||||||||||||||
1,467,000 | # | Allegheny Energy Supply Co. LLC, 5.750%, 10/15/19 | 1,570,616 | 0.2 | |||||||||||||||
1,191,000 | Ameren Corp., 8.875%, 05/15/14 | 1,348,484 | 0.2 | ||||||||||||||||
1,043,000 | CMS Energy Corp., 6.250%, 02/01/20 | 1,081,664 | 0.1 | ||||||||||||||||
922,000 | Commonwealth Edison Co., 3.400%, 09/01/21 | 927,085 | 0.1 | ||||||||||||||||
1,249,000 | # | Duquesne Light Holdings, Inc., 6.400%, 09/15/20 | 1,297,670 | 0.2 | |||||||||||||||
995,000 | # | Enel Finance International S.A., 6.250%, 09/15/17 | 1,006,843 | 0.1 | |||||||||||||||
1,130,000 | Entergy Corp., 5.125%, 09/15/20 | 1,166,042 | 0.1 | ||||||||||||||||
782,000 | Entergy Texas, Inc., 7.125%, 02/01/19 | 950,464 | 0.1 | ||||||||||||||||
2,126,000 | Exelon Generation Co. LLC, 4.000%, 10/01/20 | 2,120,585 | 0.3 | ||||||||||||||||
696,000 | FirstEnergy Solutions Corp., 4.800%, 02/15/15 | 739,000 | 0.1 | ||||||||||||||||
513,000 | # | Illinois Tool Works, Inc., 3.375%, 09/15/21 | 527,594 | 0.1 | |||||||||||||||
824,000 | # | Illinois Tool Works, Inc., 4.875%, 09/15/41 | 923,895 | 0.1 | |||||||||||||||
185,715 | # | Juniper Generation, LLC, 6.790%, 12/31/14 | 160,005 | 0.0 | |||||||||||||||
618,000 | Metropolitan Edison, 7.700%, 01/15/19 | 784,172 | 0.1 | ||||||||||||||||
709,000 | Nevada Power Co., 7.125%, 03/15/19 | 887,542 | 0.1 | ||||||||||||||||
729,000 | NextEra Energy Capital Holdings, Inc., 4.500%, 06/01/21 | 773,893 | 0.1 | ||||||||||||||||
521,000 | Nisource Finance Corp., 5.950%, 06/15/41 | 567,930 | 0.1 | ||||||||||||||||
645,000 | Nisource Finance Corp., 6.125%, 03/01/22 | 733,366 | 0.1 | ||||||||||||||||
980,000 | Oncor Electric Delivery Co., 6.800%, 09/01/18 | 1,194,693 | 0.2 | ||||||||||||||||
1,318,000 | Oncor Electric Delivery Co., 7.500%, 09/01/38 | 1,889,362 | 0.2 | ||||||||||||||||
1,169,000 | Southwestern Electric Power, 5.550%, 01/15/17 | 1,291,926 | 0.2 | ||||||||||||||||
�� | 24,652,899 | 3.1 | |||||||||||||||||
Total Corporate Bonds/Notes (Cost $201,194,964) | 201,329,199 | 25.1 | |||||||||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS: 10.9% | |||||||||||||||||||
2,753,000 | # | American General Mortgage Loan Trust, 5.750%, 09/25/48 | 2,801,602 | 0.4 | |||||||||||||||
26,514,499 | #,ˆ | Banc of America Commercial Mortgage, Inc., 0.243%, 10/10/45 | 283,379 | 0.0 | |||||||||||||||
700,000 | Banc of America Commercial Mortgage, Inc., 5.243%, 07/10/43 | 593,424 | 0.1 | ||||||||||||||||
1,150,000 | Banc of America Commercial Mortgage, Inc., 5.303%, 07/10/43 | 920,112 | 0.1 | ||||||||||||||||
860,000 | Banc of America Commercial Mortgage, Inc., 5.801%, 06/10/49 | 703,536 | 0.1 | ||||||||||||||||
3,113,358 | Banc of America Funding Corp., 5.500%, 02/25/35 | 3,066,424 | 0.4 | ||||||||||||||||
2,693,400 | # | Banc of America Funding Corp., 5.250%, 08/26/35 | 2,726,320 | 0.3 | |||||||||||||||
970,000 | # | Banc of America Large Loan, Inc., 6.010%, 10/10/45 | 989,311 | 0.1 | |||||||||||||||
578,927 | Bear Stearns Alternative-A Trust, 0.875%, 07/25/34 | 405,465 | 0.1 | ||||||||||||||||
157,213 | Bear Stearns Commercial Mortgage Securities, 4.556%, 02/13/42 | 157,032 | 0.0 | ||||||||||||||||
720,000 | # | Bear Stearns Commercial Mortgage Securities, 6.500%, 02/15/32 | 701,041 | 0.1 | |||||||||||||||
960,000 | Bear Stearns Commercial Mortgage Securities, 8.050%, 10/15/32 | 960,031 | 0.1 | ||||||||||||||||
1,675,326 | Chase Mortgage Finance Corp., 5.375%, 12/25/35 | 1,536,345 | 0.2 | ||||||||||||||||
388,234 | Chase Mortgage Finance Corp., 5.500%, 11/25/35 | 385,986 | 0.1 | ||||||||||||||||
249,699 | Citigroup Commercial Mortgage Trust, 5.378%, 10/15/49 | 250,530 | 0.0 | ||||||||||||||||
3,295,457 | # | Citigroup Mortgage Loan Trust, Inc., 19.016%, 10/25/35 | 4,012,261 | 0.5 | |||||||||||||||
467,350 | Commercial Mortgage Pass Through Certificates, 5.811%, 12/10/49 | 470,891 | 0.1 | ||||||||||||||||
2,900,000 | Commercial Mortgage Pass Through Certificates, 6.008%, 12/10/49 | 3,141,911 | 0.4 | ||||||||||||||||
5,878,465 | Countrywide Alternative Loan Trust, 0.635%, 05/25/36 | 2,604,760 | 0.3 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||
1,071,500 | Countrywide Home Loan Mortgage Pass-through Trust, 0.555%, 04/25/35 | $ | 188,333 | 0.0 | |||||||||||||||
128,662,794 | #,ˆ | Credit Suisse Mortgage Capital Certificates, 0.112%, 09/15/40 | 778,629 | 0.1 | |||||||||||||||
3,592,824 | Credit Suisse Mortgage Capital Certificates, 5.448%, 01/15/49 | 3,605,526 | 0.5 | ||||||||||||||||
10,969,673 | #,ˆ | DBUBS Mortgage Trust, 1.619%, 07/10/44 | 844,089 | 0.1 | |||||||||||||||
1,200,000 | # | DBUBS Mortgage Trust, 5.729%, 11/10/46 | 949,875 | 0.1 | |||||||||||||||
2,318,570 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.355%, 08/25/36 | 1,041,369 | 0.1 | ||||||||||||||||
2,532,732 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, 0.425%, 10/25/36 | 1,067,852 | 0.1 | ||||||||||||||||
490,278 | DLJ Commercial Mortgage Corp., 8.490%, 06/10/33 | 490,028 | 0.1 | ||||||||||||||||
187,599 | First Horizon Asset Securities, Inc., 5.750%, 02/25/36 | 187,537 | 0.0 | ||||||||||||||||
1,472,786 | First Horizon Asset Securities, Inc., 5.750%, 02/25/36 | 1,481,777 | 0.2 | ||||||||||||||||
1,924,959 | Freddie Mac, 5.000%, 02/15/35 | 2,166,427 | 0.3 | ||||||||||||||||
1,578,658 | Freddie Mac, 5.500%, 07/15/37 | 1,851,840 | 0.2 | ||||||||||||||||
194,827,773 | #,ˆ | Greenwich Capital Commercial Funding Corp., 0.174%, 04/10/37 | 497,843 | 0.1 | |||||||||||||||
19,284,845 | #,ˆ | GS Mortgage Securities Corp. II, 1.336%, 03/10/44 | 1,144,343 | 0.1 | |||||||||||||||
356,301 | GS Mortgage Securities Corp. II, 5.479%, 11/10/39 | 356,045 | 0.0 | ||||||||||||||||
1,018,084 | GSR Mortgage Loan Trust, 5.500%, 07/25/35 | 985,091 | 0.1 | ||||||||||||||||
119,919 | GSR Mortgage Loan Trust, 0.735%, 06/25/35 | 116,075 | 0.0 | ||||||||||||||||
277,401 | Homebanc Mortgage Trust, 1.095%, 08/25/29 | 190,992 | 0.0 | ||||||||||||||||
1,530,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 4.981%, 01/15/42 | 1,301,344 | 0.2 | ||||||||||||||||
200,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 5.198%, 12/15/44 | 200,418 | 0.0 | ||||||||||||||||
640,000 | # | JP Morgan Chase Commercial Mortgage Securities Corp., 5.569%, 07/15/46 | 476,743 | 0.1 | |||||||||||||||
830,000 | JP Morgan Chase Commercial Mortgage Securities Corp., 6.288%, 02/12/51 | 856,633 | 0.1 | ||||||||||||||||
1,500,000 | JP Morgan Commercial Mortgage Finance Corp., 8.541%, 08/15/32 | 1,494,804 | 0.2 | ||||||||||||||||
17,693,029 | #,ˆ | JP Morgan Chase Commercial Mortgage Securities Corp., 1.811%, 07/15/46 | 1,381,130 | 0.2 | |||||||||||||||
526,838 | JPMorgan Mortgage Trust, 5.333%, 07/25/35 | 505,977 | 0.1 | ||||||||||||||||
38,775,540 | #,ˆ | LB-UBS Commercial Mortgage Trust, 0.241%, 09/15/39 | 714,633 | 0.1 | |||||||||||||||
20,549,138 | ˆ | LB-UBS Commercial Mortgage Trust, 0.343%, 11/15/40 | 46,527 | 0.0 | |||||||||||||||
58,199,473 | #,ˆ | LB-UBS Commercial Mortgage Trust, 0.886%, 11/15/38 | 1,392,044 | 0.2 | |||||||||||||||
560,000 | LB-UBS Commercial Mortgage Trust, 4.946%, 12/15/39 | 531,218 | 0.1 | ||||||||||||||||
1,730,000 | LB-UBS Commercial Mortgage Trust, 4.986%, 12/15/39 | 1,566,967 | 0.2 | ||||||||||||||||
1,320,000 | LB-UBS Commercial Mortgage Trust, 5.323%, 11/15/40 | 1,145,179 | 0.1 | ||||||||||||||||
1,140,000 | LB-UBS Commercial Mortgage Trust, 5.713%, 09/15/45 | 1,212,241 | 0.2 | ||||||||||||||||
410,000 | # | LB-UBS Commercial Mortgage Trust, 5.750%, 01/15/36 | 420,117 | 0.1 | |||||||||||||||
2,490,000 | LB-UBS Commercial Mortgage Trust, 6.087%, 06/15/38 | 1,939,568 | 0.2 | ||||||||||||||||
310,000 | LB-UBS Commercial Mortgage Trust, 6.760%, 12/15/32 | 309,285 | 0.0 | ||||||||||||||||
51,300,043 | #,ˆ | Merrill Lynch Mortgage Trust, 0.678%, 02/12/51 | 922,282 | 0.1 | |||||||||||||||
850,000 | Morgan Stanley Capital I, 5.300%, 06/15/40 | 660,401 | 0.1 | ||||||||||||||||
280,000 | # | Morgan Stanley Capital I, 7.350%, 07/15/32 | 286,002 | 0.0 | |||||||||||||||
2,094,287 | Morgan Stanley Capital I, 0.479%, 04/12/49 | 1,983,336 | 0.2 | ||||||||||||||||
650,000 | Morgan Stanley Capital I, 5.242%, 01/14/42 | 595,896 | 0.1 | ||||||||||||||||
1,200,000 | # | Morgan Stanley Capital I, 5.423%, 09/15/47 | 934,864 | 0.1 | |||||||||||||||
1,000,000 | # | Morgan Stanley Capital I, 5.598%, 01/13/41 | 971,982 | 0.1 | |||||||||||||||
3,173,162 | Morgan Stanley Capital I, 5.774%, 04/12/49 | 3,210,649 | 0.4 | ||||||||||||||||
280,000 | # | Morgan Stanley Dean Witter Capital I, 6.500%, 11/15/36 | 138,674 | 0.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
COLLATERALIZED MORTGAGE OBLIGATIONS: (continued) | |||||||||||||||||||||||
1,220,000 | # | Morgan Stanley Dean Witter Capital I, 7.280%, 12/15/35 | $ | 1,276,804 | 0.2 | ||||||||||||||||||
310,000 | # | Nationslink Funding Corp., 5.000%, 08/20/30 | 314,458 | 0.0 | |||||||||||||||||||
16,307,092 | #,ˆ | RBSCF Trust, 1.137%, 04/15/24 | 507,477 | 0.1 | |||||||||||||||||||
5,150,952 | Residential Accredit Loans, Inc., 0.405%, 01/25/37 | 2,421,354 | 0.3 | ||||||||||||||||||||
2,005,715 | Residential Accredit Loans, Inc., 0.685%, 12/25/36 | 674,043 | 0.1 | ||||||||||||||||||||
860,000 | Salomon Brothers Mortgage Securities VII, Inc., 6.784%, 12/18/35 | 861,095 | 0.1 | ||||||||||||||||||||
301,163 | Sequoia Mortgage Trust, 0.501%, 01/20/35 | 229,747 | 0.0 | ||||||||||||||||||||
529,817 | Structured Adjustable Rate Mortgage Loan Trust, 2.596%, 09/25/34 | 491,318 | 0.1 | ||||||||||||||||||||
623,961 | Structured Asset Mortgage Investments, Inc., 0.470%, 04/19/35 | 452,478 | 0.1 | ||||||||||||||||||||
934,215 | Structured Asset Securities Corp., 5.500%, 05/25/35 | 928,490 | 0.1 | ||||||||||||||||||||
1,590,000 | # | Vornado DP LLC, 6.356%, 09/13/28 | 1,445,297 | 0.2 | |||||||||||||||||||
480,000 | Wachovia Bank Commercial Mortgage Trust, 5.368%, 11/15/48 | 297,513 | 0.0 | ||||||||||||||||||||
950,000 | # | Wachovia Bank Commercial Mortgage Trust, 5.704%, 02/15/35 | 926,444 | 0.1 | |||||||||||||||||||
2,643,951 | WaMu Mortgage Pass Through Certificates, 2.576%, 01/25/36 | 2,445,998 | 0.3 | ||||||||||||||||||||
1,275,762 | Washington Mutual Mortgage Pass-through Certificates, 6.000%, 06/25/34 | 1,364,013 | 0.2 | ||||||||||||||||||||
2,611,225 | Wells Fargo Mortgage Backed Securities Trust, 2.720%, 06/25/35 | 2,419,893 | 0.3 | ||||||||||||||||||||
42,332 | Wells Fargo Mortgage-Backed Securities Trust, 4.880%, 08/25/34 | 42,513 | 0.0 | ||||||||||||||||||||
Total Collateralized Mortgage Obligations (Cost $89,101,204) | 86,951,881 | 10.9 | |||||||||||||||||||||
U.S. TREASURY OBLIGATIONS: 32.4% | |||||||||||||||||||||||
U.S. Treasury Bonds: 9.4% | |||||||||||||||||||||||
64,551,000 | L | 2.125%, due 08/15/21 | 65,812,133 | 8.2 | |||||||||||||||||||
7,287,000 | 4.375%, due 05/15/41 | 9,444,651 | 1.2 | ||||||||||||||||||||
75,256,784 | 9.4 | ||||||||||||||||||||||
U.S. Treasury Notes: 23.0% | |||||||||||||||||||||||
11,837,000 | 0.125%, due 08/31/13 | 11,809,728 | 1.5 | ||||||||||||||||||||
9,174,000 | 0.375%, due 07/31/13 | 9,196,577 | 1.2 | ||||||||||||||||||||
59,830,000 | 0.500%, due 08/15/14 | 60,021,875 | 7.5 | ||||||||||||||||||||
34,200,000 | L | 1.000%, due 08/31/16 | 34,314,775 | 4.3 | |||||||||||||||||||
4,290,000 | 1.500%, due 08/31/18 | 4,316,813 | 0.5 | ||||||||||||||||||||
60,957,000 | 2.250%, due 07/31/18 | 64,409,665 | 8.0 | ||||||||||||||||||||
184,069,433 | 23.0 | ||||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $257,235,610) | 259,326,217 | 32.4 | |||||||||||||||||||||
ASSET-BACKED SECURITIES: 5.8% | |||||||||||||||||||||||
Credit Card Asset-Backed Securities: 1.4% | |||||||||||||||||||||||
EUR 8,539,000 | MBNA Credit Card Master Note Trust, 5.600%, 07/17/14 | 11,569,435 | 1.4 | ||||||||||||||||||||
Home Equity Asset-Backed Securities: 0.0% | |||||||||||||||||||||||
246,928 | Freddie Mac Structured Pass-Through Securities, 0.485%, 05/25/31 | 241,691 | 0.0 | ||||||||||||||||||||
52,139 | Freddie Mac Structured Pass-Through Securities, 0.535%, 01/25/32 | 50,022 | 0.0 | ||||||||||||||||||||
39,813 | Merrill Lynch Mortgage Investors Trust, 0.955%, 07/25/34 | 32,638 | 0.0 | ||||||||||||||||||||
60,909 | Residential Asset Securities Corp., 0.835%, 06/25/32 | 30,854 | 0.0 | ||||||||||||||||||||
355,205 | 0.0 | ||||||||||||||||||||||
Other Asset-Backed Securities: 4.4% | |||||||||||||||||||||||
813,366 | # | ARES CLO Funds, 0.590%, 09/18/17 | 789,835 | 0.1 | |||||||||||||||||||
900,000 | # | ARES CLO Funds, 2.964%, 02/26/16 | 742,997 | 0.1 | |||||||||||||||||||
1,918,498 | # | Atrium CDO Corp., 0.597%, 06/27/15 | 1,879,553 | 0.2 | |||||||||||||||||||
1,361,703 | # | Atrium CDO Corp., 0.649%, 10/27/16 | 1,322,260 | 0.2 | |||||||||||||||||||
1,000,000 | # | Avenue CLO Fund Ltd., 2.436%, 02/15/17 | 724,674 | 0.1 | |||||||||||||||||||
487,138 | # | Callidus Debt Partners Fund Ltd., 0.786%, 05/15/15 | 477,760 | 0.1 | |||||||||||||||||||
694,423 | # | Carlyle High Yield Partners, 0.648%, 08/11/16 | 674,225 | 0.1 | |||||||||||||||||||
95,681 | Chase Funding Mortgage Loan Asset-Backed Certificates, 0.835%, 07/25/33 | 80,039 | 0.0 | ||||||||||||||||||||
1,188,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 6.020%, 12/25/37 | 951,763 | 0.1 | |||||||||||||||||||
1,051,516 | Credit-Based Asset Servicing and Securitization, LLC, 4.831%, 08/25/35 | 1,022,200 | 0.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSET-BACKED SECURITIES: (continued) | |||||||||||||||||||
Other Asset-Backed Securities: (continued) | |||||||||||||||||||
922,428 | Credit-Based Asset Servicing and Securitization, LLC, 5.501%, 12/25/36 | $ | 655,855 | 0.1 | |||||||||||||||
1,575,000 | # | Credit-Based Asset Servicing and Securitization, LLC, 5.746%, 12/25/37 | 1,547,317 | 0.2 | |||||||||||||||
800,000 | # | Dryden Leveraged Loan CDO 2002-II, 2.650%, 09/17/16 | 650,236 | 0.1 | |||||||||||||||
237,956 | # | Dryden Leveraged Loan CDO 2002-II, 0.895%, 12/22/15 | 235,070 | 0.0 | |||||||||||||||
750,000 | # | Dryden Leveraged Loan CDO 2002-II, 6.184%, 12/22/15 | 750,000 | 0.1 | |||||||||||||||
4,350,000 | Fieldstone Mortgage Investment Corp., 0.395%, 11/25/36 | 1,388,859 | 0.2 | ||||||||||||||||
4,750,000 | Fieldstone Mortgage Investment Corp., 0.475%, 11/25/36 | 1,539,670 | 0.2 | ||||||||||||||||
1,120,075 | # | First CLO Ltd., 0.602%, 07/27/16 | 1,107,427 | 0.1 | |||||||||||||||
1,950,000 | # | Foxe Basin CLO Ltd., 2.047%, 12/15/15 | 1,840,775 | 0.2 | |||||||||||||||
1,250,000 | # | Galaxy CLO Ltd., 1.799%, 01/15/16 | 1,176,149 | 0.1 | |||||||||||||||
414,046 | # | Granite Ventures Ltd., 0.509%, 12/15/17 | 403,430 | 0.1 | |||||||||||||||
2,266,980 | # | GSC Partners CDO Fund Ltd., 0.678%, 11/20/16 | 2,230,334 | 0.3 | |||||||||||||||
494,911 | # | Gulf Stream Compass CLO Ltd., 0.609%, 07/15/16 | 483,776 | 0.1 | |||||||||||||||
1,489,184 | # | Katonah Ltd., 0.671%, 09/20/16 | 1,460,511 | 0.2 | |||||||||||||||
204,867 | # | Katonah Ltd., 0.905%, 02/20/15 | 201,319 | 0.0 | |||||||||||||||
516,568 | Lehman XS Trust, 0.515%, 08/25/35 | 383,095 | 0.0 | ||||||||||||||||
10,178,000 | Morgan Stanley ABS Capital I, 0.505%, 03/25/36 | 4,322,581 | 0.5 | ||||||||||||||||
965,889 | # | Navigator CDO Ltd., 2.349%, 01/14/17 | 757,756 | 0.1 | |||||||||||||||
1,500,000 | # | Pacifica CDO Ltd., 1.138%, 05/13/16 | 1,348,111 | 0.2 | |||||||||||||||
45,892 | Residential Asset Mortgage Products, Inc., 0.505%, 07/25/35 | 45,071 | 0.0 | ||||||||||||||||
1,210,058 | # | Stanfield Carrera CLO Ltd., 0.827%, 03/15/15 | 1,193,420 | 0.2 | |||||||||||||||
1,250,000 | # | Veritas CLO Ltd., 1.651%, 09/05/16 | 1,039,811 | 0.1 | |||||||||||||||
1,529,776 | # | Wind River CLO Ltd., 0.680%, 12/19/16 | 1,472,143 | 0.2 | |||||||||||||||
34,898,022 | 4.4 | ||||||||||||||||||
Total Asset-Backed Securities (Cost $49,514,134) | 46,822,662 | 5.8 | |||||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS: 37.5% | |||||||||||||||||||
Federal Home Loan Mortgage Corporation: 14.6%## | |||||||||||||||||||
158,944 | 0.579%, due 02/15/32 | 159,811 | 0.0 | ||||||||||||||||
1,217,506 | 3.329%, due 03/15/38 | 1,271,960 | 0.2 | ||||||||||||||||
30,719,000 | W | 4.000%, due 06/15/40 | 32,058,156 | 4.0 | |||||||||||||||
19,685,000 | W | 4.500%, due 10/15/35 | 20,826,114 | 2.6 | |||||||||||||||
3,634,892 | 4.500%, due 08/01/41 | 3,849,218 | 0.5 | ||||||||||||||||
4,000,000 | 4.500%, due 09/01/41 | 4,238,667 | 0.5 | ||||||||||||||||
2,549,879 | 4.808%, due 03/15/33 | 2,744,688 | 0.3 | ||||||||||||||||
378,981 | 4.905%, due 04/01/35 | 404,559 | 0.1 | ||||||||||||||||
211,766 | 5.000%, due 08/15/16 | 229,226 | 0.0 | ||||||||||||||||
910,426 | ˆ | 5.000%, due 05/15/17 | 36,967 | 0.0 | |||||||||||||||
1,702,098 | 5.000%, due 12/15/17 | 1,837,463 | 0.2 | ||||||||||||||||
482,972 | ˆ | 5.000%, due 01/15/29 | 3,984 | 0.0 | |||||||||||||||
2,908,000 | 5.000%, due 09/15/31 | 2,996,339 | 0.4 | ||||||||||||||||
604,228 | 5.000%, due 02/15/32 | 631,371 | 0.1 | ||||||||||||||||
1,197,995 | 5.000%, due 03/15/32 | 1,241,294 | 0.2 | ||||||||||||||||
1,495,094 | 5.000%, due 04/15/32 | 1,535,470 | 0.2 | ||||||||||||||||
980,000 | W | 5.000%, due 10/15/34 | 1,050,897 | 0.1 | |||||||||||||||
1,050,882 | 5.000%, due 02/15/35 | 1,101,539 | 0.1 | ||||||||||||||||
823,176 | 5.000%, due 01/01/41 | 884,923 | 0.1 | ||||||||||||||||
11,612,946 | 5.500%, due 08/15/20 | 11,885,689 | 1.5 | ||||||||||||||||
2,840,550 | 5.500%, due 11/15/22 | 3,062,487 | 0.4 | ||||||||||||||||
2,154,968 | 5.500%, due 07/15/32 | 2,241,806 | 0.3 | ||||||||||||||||
674,056 | 5.500%, due 09/15/32 | 701,355 | 0.1 | ||||||||||||||||
1,072,979 | 5.500%, due 10/15/32 | 1,095,095 | 0.1 | ||||||||||||||||
928,048 | 5.500%, due 11/15/32 | 974,913 | 0.1 | ||||||||||||||||
3,248,000 | 5.500%, due 12/15/32 | 3,619,816 | 0.5 | ||||||||||||||||
1,421,558 | 5.500%, due 02/15/34 | 1,459,125 | 0.2 | ||||||||||||||||
1,836,686 | 5.500%, due 09/15/34 | 2,006,695 | 0.3 | ||||||||||||||||
1,523,220 | 5.500%, due 09/15/35 | 1,559,571 | 0.2 | ||||||||||||||||
1,368,344 | 5.500%, due 08/15/36 | 1,640,493 | 0.2 | ||||||||||||||||
1,610,000 | 5.500%, due 05/15/37 | 1,816,887 | 0.2 | ||||||||||||||||
3,767,000 | 5.500%, due 06/15/37 | 4,284,736 | 0.5 | ||||||||||||||||
89,847 | 5.673%, due 05/01/37 | 96,797 | 0.0 | ||||||||||||||||
7,728 | 6.000%, due 04/01/14 | 8,201 | 0.0 | ||||||||||||||||
22,693 | 6.000%, due 12/01/28 | 25,191 | 0.0 | ||||||||||||||||
24,040 | 6.000%, due 01/01/29 | 26,686 | 0.0 | ||||||||||||||||
939,314 | 6.000%, due 01/15/29 | 1,066,439 | 0.1 | ||||||||||||||||
991,063 | 6.000%, due 01/15/29 | 1,084,931 | 0.1 | ||||||||||||||||
1,052,975 | 6.000%, due 07/15/32 | 1,196,436 | 0.2 | ||||||||||||||||
894,958 | ˆ | 6.000%, due 04/15/33 | 148,776 | 0.0 | |||||||||||||||
27,840 | 6.500%, due 01/01/24 | 30,977 | 0.0 | ||||||||||||||||
1,831 | 6.500%, due 11/01/28 | 2,078 | 0.0 | ||||||||||||||||
35,670 | 6.500%, due 12/01/31 | 40,352 | 0.0 | ||||||||||||||||
20,523 | 7.000%, due 11/01/31 | 23,743 | 0.0 | ||||||||||||||||
14,728 | 7.000%, due 03/01/32 | 17,056 | 0.0 | ||||||||||||||||
5,082 | 7.500%, due 11/01/28 | 5,904 | 0.0 | ||||||||||||||||
117,224,881 | 14.6 | ||||||||||||||||||
Federal National Mortgage Association: 20.1%## | |||||||||||||||||||
268,553 | 0.630%, due 04/18/28 | 270,712 | 0.0 | ||||||||||||||||
171,096 | 0.700%, due 10/25/33 | 172,105 | 0.0 | ||||||||||||||||
163,465 | 0.785%, due 01/25/32 | 163,495 | 0.0 | ||||||||||||||||
8,243,000 | W | 3.500%, due 01/25/41 | 8,445,212 | 1.1 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Federal National Mortgage Association: (continued) | |||||||||||||||||||
1,573,673 | ˆ | 4.000%, due 11/01/18 | $ | 120,262 | 0.0 | ||||||||||||||
41,268,000 | W | 4.000%, due 07/25/39 | 43,266,919 | 5.4 | |||||||||||||||
6,616,000 | W | 4.000%, due 08/25/40 | 6,915,788 | 0.9 | |||||||||||||||
25,475,000 | W | 4.500%, due 10/15/35 | 27,031,362 | 3.4 | |||||||||||||||
2,033,022 | 4.500%, due 11/01/40 | 2,160,192 | 0.3 | ||||||||||||||||
1,548,303 | 4.500%, due 11/01/40 | 1,645,152 | 0.2 | ||||||||||||||||
31,028 | 4.500%, due 12/01/40 | 32,969 | 0.0 | ||||||||||||||||
20,304 | 4.500%, due 12/01/40 | 21,574 | 0.0 | ||||||||||||||||
31,633 | 4.500%, due 01/01/41 | 33,612 | 0.0 | ||||||||||||||||
40,176 | 4.500%, due 01/01/41 | 42,689 | 0.0 | ||||||||||||||||
7,200,000 | 4.500%, due 09/01/41 | 7,650,375 | 1.0 | ||||||||||||||||
75,255 | 5.000%, due 07/01/23 | 80,965 | 0.0 | ||||||||||||||||
51,855 | 5.000%, due 02/25/29 | 52,168 | 0.0 | ||||||||||||||||
1,473,473 | 5.000%, due 05/25/32 | 1,542,322 | 0.2 | ||||||||||||||||
927,615 | 5.000%, due 06/01/33 | 1,002,674 | 0.1 | ||||||||||||||||
2,390,242 | 5.000%, due 08/01/35 | 2,581,039 | 0.3 | ||||||||||||||||
432,663 | 5.000%, due 10/01/35 | 467,199 | 0.1 | ||||||||||||||||
1,588,488 | 5.000%, due 01/01/36 | 1,715,286 | 0.2 | ||||||||||||||||
2,164,242 | 5.000%, due 07/01/36 | 2,339,788 | 0.3 | ||||||||||||||||
9,560,000 | W | 5.000%, due 11/15/37 | 10,259,077 | 1.3 | |||||||||||||||
759,498 | 5.000%, due 11/01/40 | 818,462 | 0.1 | ||||||||||||||||
598,388 | 5.000%, due 01/01/41 | 644,844 | 0.1 | ||||||||||||||||
724,448 | 5.000%, due 02/01/41 | 781,822 | 0.1 | ||||||||||||||||
441,766 | 5.000%, due 05/01/41 | 476,752 | 0.1 | ||||||||||||||||
1,348,534 | 5.000%, due 06/01/41 | 1,455,335 | 0.2 | ||||||||||||||||
1,017,626 | 5.000%, due 06/01/41 | 1,098,219 | 0.1 | ||||||||||||||||
711,522 | 5.016%, due 07/01/35 | 763,100 | 0.1 | ||||||||||||||||
89,615 | 5.500%, due 02/01/18 | 97,367 | 0.0 | ||||||||||||||||
1,643,000 | 5.500%, due 05/25/30 | 1,753,884 | 0.2 | ||||||||||||||||
574,000 | 5.500%, due 08/25/34 | 629,978 | 0.1 | ||||||||||||||||
2,611,000 | W | 5.500%, due 10/15/35 | 2,833,751 | 0.4 | |||||||||||||||
1,336,725 | 5.500%, due 08/25/36 | 1,350,516 | 0.2 | ||||||||||||||||
2,057,672 | 5.500%, due 03/01/37 | 2,246,849 | 0.3 | ||||||||||||||||
107,487 | 5.500%, due 06/01/37 | 116,966 | 0.0 | ||||||||||||||||
111,343 | 6.000%, due 08/01/16 | 121,006 | 0.0 | ||||||||||||||||
1,093 | 6.000%, due 12/01/16 | 1,188 | 0.0 | ||||||||||||||||
50,840 | 6.000%, due 03/01/17 | 55,252 | 0.0 | ||||||||||||||||
5,294 | 6.000%, due 07/01/17 | 5,760 | 0.0 | ||||||||||||||||
428,606 | 6.000%, due 09/01/17 | 466,338 | 0.1 | ||||||||||||||||
29,588 | 6.000%, due 11/01/17 | 32,156 | 0.0 | ||||||||||||||||
22,635 | 6.000%, due 10/01/18 | 24,649 | 0.0 | ||||||||||||||||
1,172,528 | 6.000%, due 07/25/29 | 1,329,561 | 0.2 | ||||||||||||||||
498,025 | 6.000%, due 07/25/29 | 564,724 | 0.1 | ||||||||||||||||
1,003,784 | 6.000%, due 04/25/31 | 1,137,698 | 0.1 | ||||||||||||||||
1,354,815 | ˆ | 6.000%, due 08/25/33 | 220,844 | 0.0 | |||||||||||||||
570,927 | 6.000%, due 09/01/36 | 628,858 | 0.1 | ||||||||||||||||
616,642 | 6.000%, due 08/01/37 | 683,258 | 0.1 | ||||||||||||||||
589,595 | 6.000%, due 12/01/37 | 656,053 | 0.1 | ||||||||||||||||
1,264,906 | 6.000%, due 02/01/38 | 1,407,485 | 0.2 | ||||||||||||||||
7,674,000 | W | 6.000%, due 10/01/39 | 8,418,620 | 1.1 | |||||||||||||||
3,004,297 | 6.000%, due 12/25/49 | 3,351,418 | 0.4 | ||||||||||||||||
2,377,490 | ˆ | 6.465%, due 08/25/26 | 310,692 | 0.0 | |||||||||||||||
10,544 | 6.500%, due 02/01/28 | 11,945 | 0.0 | ||||||||||||||||
9,325 | 6.500%, due 07/01/29 | 10,564 | 0.0 | ||||||||||||||||
366 | 6.500%, due 06/01/31 | 413 | 0.0 | ||||||||||||||||
172,854 | 6.500%, due 07/01/31 | 195,830 | 0.0 | ||||||||||||||||
517 | 6.500%, due 09/01/31 | 584 | 0.0 | ||||||||||||||||
1,444 | 6.500%, due 09/01/31 | 1,629 | 0.0 | ||||||||||||||||
82,307 | 6.500%, due 11/01/31 | 92,835 | 0.0 | ||||||||||||||||
41,564 | 6.500%, due 04/01/32 | 46,777 | 0.0 | ||||||||||||||||
5,833 | 6.500%, due 08/01/32 | 6,565 | 0.0 | ||||||||||||||||
3,415 | 6.500%, due 08/01/32 | 3,844 | 0.0 | ||||||||||||||||
20,695 | 6.500%, due 11/01/32 | 23,290 | 0.0 | ||||||||||||||||
89,261 | 6.500%, due 01/01/33 | 100,456 | 0.0 | ||||||||||||||||
65,640 | 6.500%, due 02/01/33 | 73,708 | 0.0 | ||||||||||||||||
229,038 | 6.500%, due 12/01/33 | 257,190 | 0.0 | ||||||||||||||||
6,010,463 | ˆ | 6.505%, due 01/25/37 | 1,217,685 | 0.2 | |||||||||||||||
19,797,053 | ˆ | 6.515%, due 10/25/35 | 4,009,921 | 0.5 | |||||||||||||||
27,195 | 7.000%, due 12/01/27 | 31,259 | 0.0 | ||||||||||||||||
20,773 | 7.000%, due 01/01/30 | 23,933 | 0.0 | ||||||||||||||||
219,685 | 7.000%, due 06/01/31 | 252,943 | 0.0 | ||||||||||||||||
12,845 | 7.000%, due 10/01/31 | 14,814 | 0.0 | ||||||||||||||||
7,074 | 7.000%, due 03/01/32 | 8,159 | 0.0 | ||||||||||||||||
1,364,402 | ˆ | 7.455%, due 02/17/29 | 275,203 | 0.0 | |||||||||||||||
6,247 | 7.500%, due 09/01/30 | 7,296 | 0.0 | ||||||||||||||||
6,308 | 7.500%, due 10/01/30 | 7,384 | 0.0 | ||||||||||||||||
16,775 | 7.500%, due 10/01/30 | 19,637 | 0.0 | ||||||||||||||||
14,557 | 7.500%, due 09/01/31 | 17,040 | 0.0 | ||||||||||||||||
45,466 | 7.500%, due 02/01/32 | 53,143 | 0.0 | ||||||||||||||||
188,218 | 7.500%, due 12/25/41 | 221,893 | 0.0 | ||||||||||||||||
110,898 | 7.500%, due 07/25/42 | 128,406 | 0.0 | ||||||||||||||||
112,528 | 7.500%, due 02/25/44 | 129,066 | 0.0 | ||||||||||||||||
506,857 | 7.500%, due 01/25/48 | 590,495 | 0.1 | ||||||||||||||||
121,396 | 27.662%, due 02/25/34 | 169,387 | 0.0 | ||||||||||||||||
160,499,635 | 20.1 | ||||||||||||||||||
Government National Mortgage Association: 2.8% | |||||||||||||||||||
6,589 | 2.375%, due 04/20/28 | 6,841 | 0.0 | ||||||||||||||||
1,692,670 | 4.500%, due 04/15/39 | 1,847,172 | 0.2 | ||||||||||||||||
1,765,282 | 4.500%, due 10/15/39 | 1,925,860 | 0.2 | ||||||||||||||||
1,742,343 | 4.500%, due 11/15/39 | 1,900,834 | 0.2 | ||||||||||||||||
1,650,468 | 4.500%, due 11/15/39 | 1,800,602 | 0.2 | ||||||||||||||||
404,678 | 4.500%, due 12/15/39 | 441,489 | 0.1 | ||||||||||||||||
578,823 | 4.500%, due 08/20/41 | 628,581 | 0.1 | ||||||||||||||||
19,387,387 | ˆ | 5.000%, due 06/16/39 | 1,267,231 | 0.2 | |||||||||||||||
8,227,791 | ˆ | 5.970%, due 06/20/38 | 951,128 | 0.1 | |||||||||||||||
9,941,325 | ˆ | 5.970%, due 04/20/39 | 1,345,183 | 0.2 | |||||||||||||||
9,049,025 | ˆ | 6.070%, due 05/20/39 | 1,068,690 | 0.1 | |||||||||||||||
7,910,576 | ˆ | 6.170%, due 04/20/38 | 1,181,134 | 0.1 | |||||||||||||||
2,458,044 | ˆ | 6.271%, due 05/16/38 | 450,616 | 0.1 | |||||||||||||||
8,458,349 | ˆ | 6.320%, due 01/20/38 | 1,282,831 | 0.2 | |||||||||||||||
3,890 | 6.500%, due 01/15/29 | 4,499 | 0.0 | ||||||||||||||||
10,169 | 6.500%, due 02/15/29 | 11,762 | 0.0 | ||||||||||||||||
32,793 | 6.500%, due 06/15/29 | 37,928 | 0.0 | ||||||||||||||||
1,073 | 6.500%, due 03/15/31 | 1,241 | 0.0 | ||||||||||||||||
8,792 | 6.500%, due 08/15/31 | 10,168 | 0.0 | ||||||||||||||||
31,924 | 6.500%, due 10/15/31 | 36,923 | 0.0 | ||||||||||||||||
7,781 | 6.500%, due 11/15/31 | 8,999 | 0.0 | ||||||||||||||||
42,560 | 6.500%, due 01/15/32 | 49,225 | 0.0 | ||||||||||||||||
6,067 | 6.500%, due 07/15/32 | 7,017 | 0.0 | ||||||||||||||||
34,935 | 6.500%, due 09/15/32 | 40,406 | 0.0 | ||||||||||||||||
28,251 | 7.000%, due 04/15/26 | 32,729 | 0.0 | ||||||||||||||||
6,711 | 7.000%, due 01/15/28 | 7,822 | 0.0 | ||||||||||||||||
13,640 | 7.000%, due 02/15/28 | 15,897 | 0.0 | ||||||||||||||||
12,999 | 7.000%, due 05/15/32 | 15,240 | 0.0 | ||||||||||||||||
25,385 | 7.500%, due 12/15/22 | 29,609 | 0.0 | ||||||||||||||||
53,545 | 7.500%, due 12/15/23 | 63,250 | 0.0 | ||||||||||||||||
3,983 | 7.500%, due 10/15/26 | 4,651 | 0.0 | ||||||||||||||||
5,234 | 7.500%, due 07/15/29 | 6,145 | 0.0 | ||||||||||||||||
119 | 7.500%, due 11/15/30 | 127 | 0.0 | ||||||||||||||||
16,455 | 7.500%, due 12/15/30 | 19,353 | 0.0 | ||||||||||||||||
12,957 | 7.500%, due 12/15/31 | 15,211 | 0.0 | ||||||||||||||||
19,575 | 7.500%, due 05/15/32 | 23,157 | 0.0 | ||||||||||||||||
19,892 | 7.500%, due 05/15/32 | 23,533 | 0.0 | ||||||||||||||||
325,093 | ˆ | 8.021%, due 06/16/31 | 50,874 | 0.0 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
U.S. GOVERNMENT AGENCY OBLIGATIONS: (continued) | |||||||||||||||||||
Government National Mortgage Association: (continued) | |||||||||||||||||||
1,671,997 | 4.000%, due 11/20/40 | $ | 1,792,018 | 0.2 | |||||||||||||||
1,205,956 | 5.140%, due 10/20/60 | 1,336,111 | 0.2 | ||||||||||||||||
787,952 | 5.288%, due 10/20/60 | 881,711 | 0.1 | ||||||||||||||||
1,847,391 | 5.290%, due 10/20/60 | 2,064,396 | 0.3 | ||||||||||||||||
22,688,194 | 2.8 | ||||||||||||||||||
Total U.S. Government Agency Obligations (Cost $286,800,623) | 300,412,710 | 37.5 | |||||||||||||||||
FOREIGN GOVERNMENT BONDS: 7.0% | |||||||||||||||||||
BRL 26,618,000 | Brazil Notas do Tesouro Nacional Serie F, 10.000%, 01/01/15 | 14,054,339 | 1.8 | ||||||||||||||||
BRL 16,345,000 | Brazil Notas do Tesouro Nacional Series F, 10.000%, 01/01/21 | 8,179,798 | 1.0 | ||||||||||||||||
1,256,000 | Colombia Government International Bond, 4.375%, 07/12/21 | 1,284,260 | 0.2 | ||||||||||||||||
BRL 1,278,000 | Federal Republic of Brazil, 10.125%, 05/15/27 | 2,025,630 | 0.3 | ||||||||||||||||
1,646,000 | # | Indonesia Government International Bond, 4.875%, 05/05/21 | 1,670,690 | 0.2 | |||||||||||||||
MXN 138,140,000 | Mexican Bonos, 6.500%, 06/10/21 | 10,009,347 | 1.2 | ||||||||||||||||
983,000 | Philippine Government International Bond, 4.000%, 01/15/21 | 978,085 | 0.1 | ||||||||||||||||
840,000 | Poland Government International Bond, 6.375%, 07/15/19 | 926,100 | 0.1 | ||||||||||||||||
1,130,186 | Argentina Government International Bond, 8.280%, 12/31/33 | 779,829 | 0.1 | ||||||||||||||||
LTL 575,000 | Republic of Lithuania, 5.125%, 09/14/17 | 567,813 | 0.1 | ||||||||||||||||
828,000 | Peru Government International Bond, 7.350%, 07/21/25 | 1,035,000 | 0.1 | ||||||||||||||||
505,000 | Republic of the Philippines, 6.375%, 10/23/34 | 580,750 | 0.1 | ||||||||||||||||
1,567,295 | # | Russia Government Bond, 7.500%, 03/31/30 | 1,768,112 | 0.2 | |||||||||||||||
891,000 | South Africa Government Bond, 5.500%, 03/09/20 | 978,986 | 0.1 | ||||||||||||||||
ZAR 68,405,501 | South Africa Government Bond, 7.250%, 01/15/20 | 7,962,156 | 1.0 | ||||||||||||||||
1,528,000 | Turkey Government International Bond, 7.500%, 11/07/19 | 1,768,660 | 0.2 | ||||||||||||||||
983,000 | # | Ukraine Government International Bond, 6.250%, 06/17/16 | 876,099 | 0.1 | |||||||||||||||
447,000 | Uruguay Government International Bond, 6.875%, 09/28/25 | 527,460 | 0.1 | ||||||||||||||||
Total Foreign Government Bonds (Cost $60,572,823) | 55,973,114 | 7.0 |
Shares | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
PREFERRED STOCK: 0.2% | |||||||||||||||||||
Financials: 0.2% | |||||||||||||||||||
40,400 | P | Citigroup Capital XII | 1,014,040 | 0.1 | |||||||||||||||
23,000 | P | Citigroup Capital XIII | 607,430 | 0.1 | |||||||||||||||
Total Preferred Stock (Cost $1,647,100) | 1,621,470 | 0.2 | |||||||||||||||||
Total Long-Term Investments (Cost $946,066,458) | 952,437,253 | 118.9 |
Principal Amount† | | | | Value | | Percentage of Net Assets | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SHORT-TERM INVESTMENTS: 14.8% | |||||||||||||||||||
Securities Lending Collateralcc(1): 12.3% | |||||||||||||||||||
3,329,856 | R | BNY Institutional Cash Reserves Fund, Series B, 11/20/08 | 2,663,885 | 0.4 | |||||||||||||||
95,481,756 | BNY Mellon Overnight Government Fund | 95,481,756 | 11.9 | ||||||||||||||||
98,145,641 | 12.3 |
Shares | | | | Value | | Percentage of Net Assets | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Mutual Funds: 2.5% | ||||||||||||||||||
20,241,000 | BlackRock Liquidity Funds, TempFund, Institutional Class (Cost $20,241,000) | 20,241,000 | 2.5 | |||||||||||||||
Total Short-Term Investments (Cost $119,052,612) | 118,386,641 | 14.8 | ||||||||||||||||
Total Investments in Securities (Cost $1,065,119,070)* | $ | 1,070,823,894 | 133.7 | |||||||||||||||
Liabilities in Excess of Other Assets | (269,903,443 | ) | (33.7 | ) | ||||||||||||||
Net Assets | $ | 800,920,451 | 100.0 |
† | Unless otherwise indicated, principal amount is shown in USD. |
# | Securities with purchases pursuant to Rule 144A or section 4(2), under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. |
## | On September 7, 2008, the Federal Housing Finance Agency placed the Federal National Mortgage Association and the Federal Home Loan Mortgage Corporation into conservatorship and the U.S. Treasury guaranteed the debt issued by those organizations. |
P | Preferred Stock may be called prior to convertible date. |
cc | Securities purchased with cash collateral for securities loaned. |
W | Settlement is on a when-issued or delayed-delivery basis. |
R | Restricted Security |
L | Loaned security, a portion or all of the security is on loan at September 30, 2011. |
± | Defaulted security |
X | Fair value determined by ING Funds Valuation Committee appointed by the Funds’ Board of Directors/Trustees. |
ˆ | Interest only securities represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. Principal amount shown represents the notional amount on which current interest is calculated. Payments of principal on the pool reduce the value of the interest only security. |
(1) | Collateral received from brokers for securities lending was invested into these short-term investments. |
BRL | Brazilian Real |
DKK | Danish Krone |
EUR | EU Euro |
LTL | Lithuania Litas |
MXN | Mexican Peso |
ZAR | South African Rand |
Cost for federal income tax purposes is $1,065,181,033. |
Net unrealized appreciation consists of: |
Gross Unrealized Appreciation | $29,180,851 | |||||
Gross Unrealized Depreciation | (23,537,990 | ) | ||||
Net Unrealized appreciation | $ | 5,642,861 |
Table of Contents
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-end Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-end Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-end Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Board has a Nominating Committee for the purpose of considering and presenting to the Board candidates it proposes for nomination to fill Independent Trustee vacancies on the Board. The Committee currently consists of all Independent Trustees of the Board. (6 individuals). The Nominating Committee operates pursuant to a Charter approved by the Board. The primary purpose of the Nominating Committee is to consider and present to the Board the candidates it proposes for nomination to fill vacancies on the Board. In evaluating candidates, the Nominating Committee may consider a variety of factors, but it has not at this time set any specific minimum qualifications that must be met. Specific qualifications of candidates for Board membership will be based on the needs of the Board at the time of nomination.
The Nominating Committee is willing to consider nominations received from shareholders and shall assess shareholder nominees in the same manner as it reviews its own nominees. A shareholder nominee for director should be submitted in writing to the Fund’s Secretary. Any such shareholder nomination should include at a minimum the following information as to each individual proposed for nomination as trustee: such individual’s written consent to be named in the proxy statement as a nominee (if nominated) and to serve as a trustee (if elected), and all information relating to such individual that is required to be disclosed in the solicitation of proxies for election of trustees, or is otherwise required, in each case under applicable federal securities laws, rules and regulations.
The secretary shall submit all nominations received in a timely manner to the Nominating Committee. To be timely, any such submission must be delivered to the Fund’s Secretary not earlier than the 90th day prior to such meeting and not later than the close of business on the later of the 60th day prior to such meeting or the 10th day following the day on which public announcement of the date of the meeting is first made, by either disclosure in a press release or in a document publicly filed by the Fund with the Securities and Exchange Commission.
Table of Contents
Item 11. | Controls and Procedures. |
(a) | Based on our evaluation conducted within 90 days of the filing date, hereof, the design and operation of the registrant’s disclosure controls and procedures are effective to ensure that material information relating to the registrant is made known to the certifying officers by others within the appropriate entities, particularly during the period in which Forms N-CSR are being prepared, and the registrant’s disclosure controls and procedures allow timely preparation and review of the information for the registrant’s Form N-CSR and the officer certifications of such Form N-CSR. |
(b) | There were no significant changes in the registrant’s internal controls that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a)(1) | The Code of Ethics is not required for the semi-annual filing. | |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2) is attached hereto as EX-99.CERT. | |
(a)(3) | Not required for semi-annual filing. | |
(b) | The officer certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
Table of Contents
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.
(Registrant): ING Funds Trust | ||
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: December 2, 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.
By | /s/ Shaun P. Mathews | |
Shaun P. Mathews | ||
President and Chief Executive Officer |
Date: December 2, 2011
By | /s/ Todd Modic | |
Todd Modic | ||
Senior Vice President and Chief Financial Officer |
Date: December 2, 2011