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 | 811-22495 | ||||||||
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Curian Series Trust | |||||||||
(Exact name of registrant as specified in charter) | |||||||||
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7601 Technology Way, Denver, Colorado |
| 80237 | |||||||
(Address of principal executive offices) |
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Daniel W. Koors Jackson National Asset Management, LLC 225 West Wacker Drive, Suite 1200 Chicago, Illinois 60606 | |||||||||
(Name and address of agent for service) | |||||||||
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Registrant’s telephone number, including area code: | (312) 338-5800 |
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Date of fiscal year end: | October 31 |
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Date of reporting period: | November 1, 2013 – April 30, 2014 |
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Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. §3507.
Item 1. Report to Shareholders.
SEMIANNUAL REPORT | For the period ended |
(Unaudited) | April 30, 2014 |
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Curian/PIMCO Income Fund |
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Curian/PIMCO Total Return Fund |
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Curian/WMC International Equity Fund |
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Curian Series Trust (Unaudited)
April 30, 2014
Table of Contents
President’s Letter | 1 |
Schedules of Investments | 2 |
Statements of Assets and Liabilities | 23 |
Statements of Operations | 24 |
Statements of Changes in Net Assets | 25 |
Financial Highlights | 27 |
Notes to Financial Statements | 28 |
Additional Disclosures | 44 |
Trustees and Officers Information | 45 |
Investment Advisory and Sub-Advisory Agreements | 46 |
President’s Letter
Dear Fellow Investor,
Enclosed is the semiannual report for the Curian Series Trust for the six month period ended April 30, 2014.
From an economic perspective, global economies overall grew modestly during the six month period. During the first quarter of 2014, the preliminary Eurozone gross domestic product (“GDP”) generated modest growth, similar to the fourth quarter of 2013. The U.S. economy continued to expand in the fourth quarter of 2013 at a moderate pace of 2.6%, before posting an anemic preliminary growth rate of 0.1% during the first quarter of 2014. However, economic growth was impeded by the cold winter weather in the first quarter of 2014, and economic indicators picked up notably in April. Specifically, manufacturing climbed to its highest level of 2014, and the initial reading of payroll additions was the strongest since January 2012. Conversely, China’s economy has lagged its prior growth rates so far in 2014. After releasing generally weak economic data throughout the first quarter, China matched its lowest level of GDP growth since recovering from the credit crisis.
Domestic equity markets delivered solid returns during the six month period ended April 30, 2014, with the Standard & Poor’s® 500 (“S&P 500”) and the Dow Jones Industrial Average Index (“DJIA”) ending the period at near all-time high closing levels. The S&P 500 and the DJIA gained 8.4% and 7.9%, respectively, during the period, while the NASDAQ Composite Index rose 5.6%.
Outside of the U.S., there was a divergence in returns between developed international markets and emerging markets during the period. Many Developed Economy central banks continue to pursue expansionary monetary policies as they try to stimulate economic growth. The Morgan Stanley Capital International (“MSCI”) EAFE Index posted a gain of 4.4% over the six months ended April 30, 2014, while the MSCI Emerging Markets Index declined 3.0% over the same period.
Turning to the fixed income markets, overall bond performance was positive as interest rates were largely unchanged during the period and credit spreads narrowed. High-yield bonds delivered the strongest performance. Over the six months, the Barclays U.S. Corporate High Yield Bond Index returned 4.7%, while investment-grade bonds and U.S. Treasuries produced more modest gains. The Barclays U.S. Corporate Investment Grade Bond Index rose 3.8% and the Barclays U.S. Treasury Bond Index returned 0.7%.
The performance of the alternatives market was varied, with equity based assets and strategies performing stronger than other sectors. Investors often consider incorporating alternative asset classes and strategies into their portfolios due to their diversifying influences. These asset classes often behave differently from traditional assets under the same market conditions. For example, the price of gold was down during the six months, which impacted the performance of alternative funds focused on commodities and natural resources. On the other hand, listed private equity and real estate performed well as a result of the slowly improving U.S economy.
In summary, investors enjoyed mostly positive returns from most areas of the global capital markets during the six months ended April 30, 2014, particularly from domestic equities.
For the six months ended April 30, 2014, the Curian Series Trust Funds delivered positive total returns. The Curian/PIMCO Total Return Fund rose 1.0% over the period, compared to a gain of 1.7% for the Barclays U.S. Aggregate Bond Index. The Curian/PIMCO Income Fund returned 3.2%, compared to the Barclays U.S. Credit Index, which rose 3.6%. The Curian/WMC International Equity Fund gained 4.0%, while the MSCI All Country World Index ex USA returned 2.9%.
Through your financial professional, Curian provides you with a comprehensive array of investment strategies within an integrated, customized investment program designed to help you effectively pursue your financial goals. Thank you for choosing Curian for your investment needs.
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Michael A. Bell |
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President and Chief Executive Officer |
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Curian Series Trust |
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Curian Series Trust (Unaudited)
Schedules of Investments
April 30, 2014
Curian/PIMCO Income Fund
Portfolio Composition: |
| Percentage of Total |
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Financials |
| 37.0 | % |
Government Securities |
| 12.0 |
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Non-U.S. Government Agency ABS |
| 9.2 |
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Energy |
| 9.1 |
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Consumer Discretionary |
| 6.1 |
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Telecommunication Services |
| 4.0 |
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Industrials |
| 3.8 |
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Utilities |
| 3.1 |
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Consumer Staples |
| 2.7 |
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U.S. Government Agency MBS |
| 2.6 |
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Health Care |
| 2.6 |
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Materials |
| 2.0 |
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Information Technology |
| 1.7 |
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Purchased Options |
| 0.1 |
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Short Term Investments |
| 4.0 |
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Total Investments |
| 100.0 | % |
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| Shares/Par † |
| Value |
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NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 10.8% |
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Asset Backed Securities Corp. Home Equity Loan Trust REMIC, 0.78%, 09/25/34 (a) |
| $ | 561,718 |
| $ | 512,971 |
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Asset-Backed Pass-Through Certificates REMIC, 0.60%, 04/25/35 (a) |
| 981,438 |
| 980,405 |
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Banc of America Alternative Loan Trust REMIC, 5.75%, 11/25/35 |
| 1,058,086 |
| 989,324 |
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Banc of America Mortgage Trust REMIC, 2.75%, 09/25/34 (a) |
| 1,194,732 |
| 1,196,498 |
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Bear Stearns Asset Backed Securities Trust REMIC |
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0.64%, 07/25/35 (a) |
| 328,157 |
| 324,981 |
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1.35%, 01/25/45 (a) |
| 554,214 |
| 448,563 |
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Citigroup Mortgage Loan Trust REMIC, 5.68%, 09/25/37 (a) |
| 332,495 |
| 271,796 |
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Continental Airlines Pass-Through Trust |
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5.50%, 10/29/20 |
| 1,236,432 |
| 1,304,435 |
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4.00%, 10/29/24 |
| 971,638 |
| 981,355 |
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Countrywide Asset-Backed Certificates REMIC |
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1.01%, 08/25/34 (a) |
| 1,100,000 |
| 1,028,181 |
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1.13%, 06/25/35 (a) |
| 600,000 |
| 589,711 |
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0.25%, 07/25/37 (a) |
| 1,427,499 |
| 1,365,389 |
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Countrywide Home Loans Inc. Alternative Loan Trust REMIC, 3.40%, 08/25/18 |
| 1,025,363 |
| 1,030,571 |
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CVS Pass-Through Trust, 5.93%, 01/10/34 (b) |
| 1,420,042 |
| 1,598,605 |
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Delta Air Lines Inc. Pass-Through Trust |
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7.75%, 12/17/19 |
| 530,491 |
| 623,661 |
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6.72%, 01/02/23 |
| 792,153 |
| 921,868 |
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Federal Express Corp. Pass-Through Trust, 2.63%, 01/15/18 (c) |
| 937,317 |
| 951,075 |
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First Franklin Mortgage Loan Trust REMIC, 0.87%, 05/25/35 (a) |
| 1,200,000 |
| 1,085,880 |
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Home Equity Asset Trust REMIC, 1.25%, 07/25/35 (a) |
| 1,950,000 |
| 1,712,387 |
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HomeBanc Mortgage Trust REMIC, 0.42%, 10/25/35 (a) |
| 704,651 |
| 624,074 |
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Inwood Park CDO Ltd., 0.45%, 01/20/21 (a) (b) |
| 117,600 |
| 116,378 |
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Lehman XS Trust REMIC, 5.17%, 08/25/35 (a) |
| 1,082,820 |
| 1,100,518 |
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Morgan Stanley ABS Capital I Inc. Trust REMIC, 1.07%, 03/25/35 (a) |
| 1,000,000 |
| 814,683 |
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Morgan Stanley Capital I Inc. Trust REMIC, 0.44%, 01/25/36 (a) |
| 10,200,000 |
| 8,372,262 |
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New Century Home Equity Loan Trust REMIC, 0.43%, 10/25/35 (a) |
| 1,978,104 |
| 1,933,668 |
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Park Place Securities Inc. Asset-Backed Pass-Through Certificates REMIC |
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1.14%, 09/25/34 (a) |
| 2,051,741 |
| 1,823,353 |
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0.65%, 07/25/35 (a) |
| 1,200,000 |
| 1,133,282 |
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Progress Trust, 4.19%, 06/18/44 (a), AUD |
| 856,706 |
| 807,338 |
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Race Point V CLO Ltd, 1.53%, 12/15/22 (b) |
| 1,450,000 |
| 1,447,921 |
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RALI Trust REMIC |
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6.00%, 12/25/35 |
| 1,423,318 |
| 1,241,890 |
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6.00%, 02/25/37 |
| 1,510,158 |
| 1,193,524 |
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Residential Asset Securities Corp. Trust REMIC, 0.59%, 01/25/36 (a) |
| 1,500,000 |
| 1,322,937 |
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SBA Tower Trust |
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4.25%, 04/15/15 (c) |
| 1,000,000 |
| 1,031,718 |
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5.10%, 04/17/17 (b) |
| 1,000,000 |
| 1,070,453 |
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REMIC, 3.60%, 04/15/18 (b) |
| 2,300,000 |
| 2,321,553 |
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STARM Mortgage Loan Trust REMIC, 6.00%, 02/25/37 (a) |
| 831,199 |
| 825,692 |
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Structured Asset Investment Loan Trust REMIC, 1.13%, 10/25/33 (a) |
| 2,604,871 |
| 2,469,032 |
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Structured Asset Securities Corp. Mortgage Pass-Through Certificates REMIC, 2.43%, 09/25/33 (a) |
| 923,113 |
| 918,911 |
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United Air Lines Inc. Pass-Through Trust |
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10.40%, 11/01/16 |
| 786,324 |
| 895,466 |
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9.75%, 01/15/17 |
| 480,780 |
| 553,498 |
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Washington Mutual Mortgage Pass-Through Certificates REMIC, 2.40%, 01/25/35 (a) |
| 848,244 |
| 852,728 |
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Wells Fargo Mortgage Backed Securities Trust REMIC |
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2.62%, 01/25/35 (a) |
| 1,580,984 |
| 1,564,428 |
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5.50%, 01/25/36 |
| 51,833 |
| 50,188 |
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WG Horizons CLO, 0.49%, 05/24/19 (a) (b) |
| 455,339 |
| 449,573 |
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Total Non-U.S. Government Agency Asset-Backed Securities (cost $52,060,742) |
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| 52,852,724 |
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CORPORATE BONDS AND NOTES - 79.7% |
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CONSUMER DISCRETIONARY - 6.9% |
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Altice SA |
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7.25%, 05/15/22 (b), EUR |
| 200,000 |
| 288,882 |
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7.75%, 05/15/22 (b) |
| 200,000 |
| 208,500 |
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Cablevision Systems Corp. Term Loan B, 2.70%, 04/09/20 (a) |
| 794,000 |
| 782,090 |
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Clear Channel Worldwide Holdings Inc., 6.50%, 11/15/22 |
| 1,000,000 |
| 1,070,000 |
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Corp. GEO SAB de CV, 8.88%, 03/27/22 (b) (d) (o) |
| 800,000 |
| 102,000 |
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COX Communications Inc., 6.25%, 06/01/18 (b) |
| 2,000,000 |
| 2,277,488 |
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D.R. Horton Inc. |
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4.75%, 05/15/17 |
| 1,400,000 |
| 1,482,250 |
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3.75%, 03/01/19 |
| 600,000 |
| 598,500 |
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4.75%, 02/15/23 |
| 500,000 |
| 497,500 |
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Jaguar Land Rover Automotive Plc, 4.13%, 12/15/18 (b) |
| 300,000 |
| 309,750 |
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Massachusetts Institute of Technology, 4.68%, 07/01/14 |
| 1,100,000 |
| 1,140,620 |
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MCE Finance Ltd., 5.00%, 02/15/21 (b) |
| 1,000,000 |
| 997,500 |
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MGM Resorts International Term Loan B, 3.50%, 12/20/19 (a) |
| 1,580,000 |
| 1,569,145 |
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See accompanying Notes to Financial Statements.
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| Shares/Par † |
| Value |
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NBCUniversal Enterprise Inc., 5.25%, (callable at 100 beginning 03/19/21) (b) (e) |
| 400,000 |
| 416,000 |
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NBCUniversal Media LLC, 5.15%, 04/30/20 |
| 3,000,000 |
| 3,424,413 |
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Numericable Group SA |
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4.88%, 05/15/19 (c) |
| 350,000 |
| 353,500 |
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6.00%, 05/15/22 (b) |
| 700,000 |
| 716,625 |
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Pearson Funding Five Plc, 3.25%, 05/08/23 (b) |
| 1,000,000 |
| 931,818 |
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Time Warner Cable Inc., 6.75%, 07/01/18 |
| 2,750,000 |
| 3,258,161 |
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Toll Brothers Finance Corp., 6.75%, 11/01/19 |
| 2,000,000 |
| 2,280,000 |
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Venetian Casino Resort LLC Term Loan, 3.25%, 12/16/20 (a) |
| 2,625,420 |
| 2,609,904 |
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Viacom Inc. |
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4.25%, 09/01/23 |
| 1,000,000 |
| 1,041,802 |
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4.50%, 02/27/42 |
| 2,000,000 |
| 1,879,180 |
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Volkswagen International Finance NV, 1.60%, 11/20/17 (b) |
| 1,500,000 |
| 1,505,679 |
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Wynn Las Vegas LLC, 5.38%, 03/15/22 (f) |
| 1,209,000 |
| 1,251,315 |
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Wynn Macau Ltd., 5.25%, 10/15/21 (b) |
| 2,700,000 |
| 2,740,500 |
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| 33,733,122 |
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CONSUMER STAPLES - 2.7% |
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Altria Group Inc. |
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9.70%, 11/10/18 (g) |
| 222,000 |
| 293,016 |
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9.25%, 08/06/19 (g) |
| 222,000 |
| 294,367 |
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Diageo Capital Plc, 4.83%, 07/15/20 |
| 2,000,000 |
| 2,244,362 |
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Kraft Foods Group Inc., 6.13%, 08/23/18 |
| 2,700,000 |
| 3,158,571 |
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Reynolds American Inc., 3.25%, 11/01/22 |
| 1,900,000 |
| 1,812,376 |
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SABMiller Holdings Inc., 1.85%, 01/15/15 (b) |
| 2,200,000 |
| 2,219,263 |
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Tesco Plc, 2.00%, 12/05/14 (b) |
| 1,500,000 |
| 1,511,926 |
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Walgreen Co., 3.10%, 09/15/22 |
| 400,000 |
| 388,388 |
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Wesfarmers Ltd., 2.98%, 05/18/16 (b) |
| 1,000,000 |
| 1,040,602 |
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Woolworths Ltd., 2.55%, 09/22/15 (b) |
| 519,000 |
| 531,339 |
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| 13,494,210 |
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ENERGY - 10.3% |
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AK Transneft OJSC Via TransCapitalInvest Ltd., 8.70%, 08/07/18 (b) (f) |
| 1,950,000 |
| 2,242,500 |
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BP AMI Leasing Inc., 5.52%, 05/08/19 (b) |
| 3,610,000 |
| 4,096,364 |
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Chesapeake Energy Corp., 3.47%, 04/15/19 (a) |
| 1,000,000 |
| 1,010,000 |
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CNOOC Curtis Funding No. 1 Pty Ltd., 4.50%, 10/03/23 (b) |
| 700,000 |
| 716,030 |
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CNOOC Finance 2013 Ltd. |
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1.75%, 05/09/18 |
| 800,000 |
| 783,114 |
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3.00%, 05/09/23 |
| 1,800,000 |
| 1,650,389 |
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Continental Resources Inc., 5.00%, 09/15/22 |
| 2,550,000 |
| 2,696,625 |
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Enterprise Products Operating LLC, 3.90%, 02/15/24 |
| 800,000 |
| 808,684 |
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Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 (b) (f) |
| 600,000 |
| 541,500 |
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Gazprom OAO, 9.25%, 04/23/19 (b) |
| 1,900,000 |
| 2,180,250 |
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Gazprom OAO Via Gaz Capital SA |
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8.13%, 07/31/14 (b) |
| 1,300,000 |
| 1,313,000 |
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8.15%, 04/11/18 (b) (f) |
| 600,000 |
| 661,500 |
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9.25%, 04/23/19 |
| 900,000 |
| 1,032,750 |
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Harvest Operations Corp., 6.88%, 10/01/17 |
| 620,000 |
| 671,925 |
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Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 |
| 2,300,000 |
| 2,571,149 |
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Nabors Industries Inc., 2.35%, 09/15/16 (c) |
| 500,000 |
| 511,292 |
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Noble Holding International Ltd., 3.95%, 03/15/22 (f) |
| 1,500,000 |
| 1,503,651 |
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ONEOK Partners LP, 3.38%, 10/01/22 |
| 800,000 |
| 782,298 |
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Pacific Rubiales Energy Corp., 5.13%, 03/28/23 (b) (f) |
| 400,000 |
| 386,500 |
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Petrobras Global Finance BV, 6.25%, 03/17/24 |
| 1,600,000 |
| 1,679,973 |
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Petrobras International Finance Co., 7.88%, 03/15/19 |
| 1,700,000 |
| 1,970,869 |
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Petrofac Ltd., 3.40%, 10/10/18 (c) |
| 700,000 |
| 722,278 |
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Petrohawk Energy Corp., 6.25%, 06/01/19 |
| 2,000,000 |
| 2,173,000 |
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Pioneer Natural Resources Co. |
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5.88%, 07/15/16 |
| 600,000 |
| 659,674 |
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6.65%, 03/15/17 |
| 600,000 |
| 680,896 |
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6.88%, 05/01/18 |
| 500,000 |
| 589,974 |
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7.50%, 01/15/20 |
| 1,600,000 |
| 1,959,760 |
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Rockies Express Pipeline LLC, 6.00%, 01/15/19 (b) |
| 950,000 |
| 978,500 |
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Rosneft Finance SA |
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7.50%, 07/18/16 (b) |
| 1,300,000 |
| 1,371,500 |
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7.88%, 03/13/18 |
| 1,000,000 |
| 1,077,500 |
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Rosneft Oil Co. via Rosneft International Finance Ltd., 4.20%, 03/06/22 (b) (f) |
| 600,000 |
| 500,250 |
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Sinopec Group Overseas Development 2014 Ltd., 1.15%, 04/10/19 (a) (b) (f) |
| 2,500,000 |
| 2,498,825 |
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Southern Natural Gas Co. LLC, 4.40%, 06/15/21 |
| 2,000,000 |
| 2,121,090 |
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Statoil ASA, 6.70%, 01/15/18 |
| 1,500,000 |
| 1,765,810 |
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Sunoco Logistics Partners Operations LP, 3.45%, 01/15/23 |
| 500,000 |
| 482,336 |
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Targa Resources Partners LP |
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6.88%, 02/01/21 |
| 50,000 |
| 53,625 |
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6.38%, 08/01/22 |
| 725,000 |
| 775,750 |
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Total Capital International SA, 0.81%, 08/10/18 (a) |
| 1,500,000 |
| 1,512,000 |
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Western Gas Partners LP, 4.00%, 07/01/22 |
| 1,000,000 |
| 1,014,440 |
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|
|
|
| 50,747,571 |
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FINANCIALS - 40.2% |
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ABN AMRO Bank NV, 6.25%, 09/13/22 |
| 700,000 |
| 773,640 |
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Ally Financial Inc., 2.75%, 01/30/17 |
| 950,000 |
| 961,875 |
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American Campus Communities Operating Partnership LP, 3.75%, 04/15/23 |
| 650,000 |
| 627,274 |
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American Express Co., 6.15%, 08/28/17 |
| 2,200,000 |
| 2,530,730 |
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American Express Credit Corp., 0.74%, 07/29/16 (a) |
| 1,200,000 |
| 1,207,560 |
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American Tower Corp., 4.50%, 01/15/18 |
| 2,000,000 |
| 2,162,018 |
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Banco Continental SA via Continental Senior Trustees II Cayman Ltd., 5.75%, 01/18/17 (b) (f) |
| 2,750,000 |
| 2,983,750 |
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Banco de Credito del Peru, 4.25%, 04/01/23 (b) |
| 800,000 |
| 777,000 |
|
Banco de Credito e Inversiones, 4.00%, 02/11/23 (b) (f) |
| 400,000 |
| 392,059 |
|
Banco del Estado de Chile, 2.00%, 11/09/17 (b) |
| 1,850,000 |
| 1,841,015 |
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Banco do Brasil SA, 3.88%, 10/10/22 |
| 900,000 |
| 833,625 |
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Banco Santander Brasil SA |
|
|
|
|
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4.25%, 01/14/16 (b) |
| 2,000,000 |
| 2,067,500 |
|
4.63%, 02/13/17 (b) |
| 1,700,000 |
| 1,791,375 |
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Bank of America Corp. |
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0.00%, 01/04/17 (h) |
| 3,200,000 |
| 3,109,728 |
|
7.63%, 06/01/19 |
| 8,500,000 |
| 10,488,099 |
|
4.00%, 04/01/24 |
| 1,400,000 |
| 1,406,432 |
|
Bank of America NA |
|
|
|
|
|
1.25%, 02/14/17 |
| 1,250,000 |
| 1,248,176 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
6.10%, 06/15/17 |
| 250,000 |
| 282,349 |
|
Banque PSA Finance SA, 4.38%, 04/04/16 (c) |
| 1,700,000 |
| 1,759,500 |
|
Barclays Bank Plc, 14.00%, (callable at 100 beginning 12/15/19) (e), GBP |
| 1,700,000 |
| 3,921,498 |
|
BBVA US Senior SAU, 4.66%, 10/09/15 |
| 1,900,000 |
| 1,994,977 |
|
Biomed Realty LP, 4.25%, 07/15/22 |
| 1,200,000 |
| 1,226,536 |
|
BPCE SA |
|
|
|
|
|
5.70%, 10/22/23 (c) (f) |
| 800,000 |
| 847,112 |
|
5.15%, 07/21/24 (c) (f) |
| 1,600,000 |
| 1,626,163 |
|
Cantor Fitzgerald LP, 7.88%, 10/15/19 (b) |
| 1,200,000 |
| 1,269,000 |
|
Caterpillar Financial Services Corp., 5.45%, 04/15/18 |
| 2,000,000 |
| 2,270,694 |
|
CIT Group Inc., 5.50%, 02/15/19 (b) |
| 200,000 |
| 215,500 |
|
Citigroup Inc. |
|
|
|
|
|
5.50%, 10/15/14 |
| 445,000 |
| 454,908 |
|
4.88%, 05/07/15 |
| 1,300,000 |
| 1,351,420 |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 2.25%, 01/14/19 |
| 4,500,000 |
| 4,519,134 |
|
Countrywide Financial Corp., 6.25%, 05/15/16 |
| 400,000 |
| 438,022 |
|
Credit Agricole SA |
|
|
|
|
|
2.50%, 04/15/19 (c) |
| 2,000,000 |
| 1,998,318 |
|
8.13%, 09/19/33 |
| 350,000 |
| 404,005 |
|
Credit Suisse AG |
|
|
|
|
|
6.50%, 08/08/23 |
| 1,650,000 |
| 1,841,832 |
|
6.50%, 08/08/23 (b) |
| 700,000 |
| 781,403 |
|
Eksportfinans ASA |
|
|
|
|
|
2.38%, 05/25/16 (f) |
| 500,000 |
| 499,000 |
|
5.50%, 05/25/16 |
| 1,540,000 |
| 1,632,400 |
|
5.50%, 06/26/17 |
| 700,000 |
| 749,000 |
|
Experian Finance Plc, 2.38%, 06/15/17 (b) |
| 1,200,000 |
| 1,218,094 |
|
Fidelity National Financial Inc., 5.50%, 09/01/22 |
| 900,000 |
| 974,622 |
|
First American Financial Corp., 4.30%, 02/01/23 |
| 1,100,000 |
| 1,083,936 |
|
Ford Motor Credit Co. LLC |
|
|
|
|
|
8.00%, 06/01/14 |
| 200,000 |
| 201,256 |
|
2.75%, 05/15/15 |
| 1,700,000 |
| 1,735,998 |
|
12.00%, 05/15/15 |
| 1,050,000 |
| 1,171,124 |
|
2.50%, 01/15/16 |
| 1,400,000 |
| 1,438,427 |
|
6.63%, 08/15/17 |
| 500,000 |
| 578,280 |
|
General Electric Capital Corp., 6.38%, 11/15/67 (a) |
| 905,000 |
| 1,006,813 |
|
Goldman Sachs Group Inc. |
|
|
|
|
|
5.70% (callable at 100 beginning 05/10/19) (e) |
| 1,200,000 |
| 1,225,500 |
|
6.25%, 09/01/17 |
| 400,000 |
| 457,091 |
|
5.95%, 01/18/18 |
| 11,450,000 |
| 13,010,417 |
|
6.15%, 04/01/18 |
| 850,000 |
| 973,811 |
|
HBOS Plc, 6.75%, 05/21/18 (b) |
| 2,700,000 |
| 3,074,725 |
|
HDFC Bank Ltd., 3.00%, 11/30/16 |
| 1,300,000 |
| 1,313,780 |
|
HSBC Capital Funding LP, 10.18%, (callable at 100 beginning 06/30/30) (b) (e) |
| 400,000 |
| 584,000 |
|
HSBC Finance Corp. |
|
|
|
|
|
0.67%, 06/01/16 (a) |
| 600,000 |
| 599,781 |
|
6.68%, 01/15/21 |
| 4,050,000 |
| 4,789,425 |
|
HSBC Holdings Plc, 6.80%, 06/01/38 |
| 3,000,000 |
| 3,736,386 |
|
ICICI Bank Ltd. |
|
|
|
|
|
5.50%, 03/25/15 |
| 500,000 |
| 515,743 |
|
4.75%, 11/25/16 (b) |
| 882,000 |
| 928,484 |
|
4.75%, 11/25/16 |
| 600,000 |
| 631,622 |
|
ING Bank NV |
|
|
|
|
|
2.00%, 09/25/15 (c) |
| 1,000,000 |
| 1,016,478 |
|
5.80%, 09/25/23 (c) |
| 1,000,000 |
| 1,095,944 |
|
International Lease Finance Corp., 6.75%, 09/01/16 (b) |
| 4,000,000 |
| 4,450,000 |
|
Intesa Sanpaolo SpA, 3.13%, 01/15/16 |
| 3,500,000 |
| 3,601,640 |
|
Jefferies Finance LLC, 7.38%, 04/01/20 (b) |
| 800,000 |
| 838,000 |
|
JPMorgan Chase & Co. |
|
|
|
|
|
0.94%, 03/31/16 (a) |
| 1,500,000 |
| 1,489,269 |
|
1.05%, 05/30/17 (a), GBP |
| 2,700,000 |
| 4,456,085 |
|
JPMorgan Chase Bank NA |
|
|
|
|
|
1.03%, 05/31/17 (a), EUR |
| 3,500,000 |
| 4,831,437 |
|
6.00%, 07/05/17 |
| 1,000,000 |
| 1,136,189 |
|
6.00%, 10/01/17 |
| 7,000,000 |
| 7,980,875 |
|
Korea Development Bank, 3.00%, 09/14/22 (f) |
| 1,000,000 |
| 975,845 |
|
Korea Exchange Bank, 3.13%, 06/26/17 (b) |
| 1,100,000 |
| 1,137,676 |
|
LBG Capital No.1 Plc, 8.00%, (callable at 100 beginning 06/15/20) (b) (e) |
| 400,000 |
| 434,200 |
|
LBG Capital No.2 Plc |
|
|
|
|
|
15.00%, 12/21/19 (i), GBP |
| 200,000 |
| 489,633 |
|
15.00%, 12/21/19 (i), EUR |
| 500,000 |
| 1,058,202 |
|
LeasePlan Corp. NV, 2.50%, 05/16/18 (c) |
| 3,000,000 |
| 2,994,372 |
|
Lloyds Bank Plc, 12.00%, (callable at 100 beginning 12/16/24) (c) (e) |
| 1,200,000 |
| 1,695,000 |
|
Lloyds Banking Group Plc, 7.50%, (callable at 100 beginning 06/27/24) (e) |
| 634,000 |
| 662,530 |
|
Merrill Lynch & Co. Inc., 6.88%, 04/25/18 |
| 2,500,000 |
| 2,944,920 |
|
Metropolitan Life Global Funding I, 2.30%, 04/10/19 (c) |
| 1,250,000 |
| 1,249,764 |
|
Mizuho Bank Ltd., 0.66%, 04/16/17 (a) (c) (f) |
| 750,000 |
| 750,445 |
|
Moody’s Corp., 4.88%, 02/15/24 |
| 3,900,000 |
| 4,146,679 |
|
Morgan Stanley, 5.95%, 12/28/17 |
| 1,000,000 |
| 1,140,000 |
|
Nationwide Building Society, 6.25%, 02/25/20 (b) |
| 1,750,000 |
| 2,050,685 |
|
New York Life Global Funding, 1.13%, 03/01/17 (c) |
| 1,000,000 |
| 1,000,033 |
|
NYSE Euronext, 2.00%, 10/05/17 |
| 1,500,000 |
| 1,525,206 |
|
Omega Healthcare Investors Inc., 4.95%, 04/01/24 (c) |
| 500,000 |
| 497,122 |
|
Piper Jaffray Cos., 4.22%, 05/31/14 (a) (c) |
| 700,000 |
| 700,326 |
|
QBE Insurance Group Ltd., 2.40%, 05/01/18 (b) |
| 1,100,000 |
| 1,080,069 |
|
RCI Banque SA, 3.50%, 04/03/18 (b) |
| 1,100,000 |
| 1,150,804 |
|
Santander Issuances SAU, 7.30%, 07/27/19 (a), GBP |
| 1,000,000 |
| 1,722,158 |
|
Sberbank of Russia Via SB Capital SA |
|
|
|
|
|
5.40%, 03/24/17 |
| 800,000 |
| 806,000 |
|
6.13%, 02/07/22 (b) |
| 500,000 |
| 485,000 |
|
SL Green Realty Corp., 4.50%, 12/01/22 |
| 1,500,000 |
| 1,491,192 |
|
SLM Corp., 8.45%, 06/15/18 |
| 2,900,000 |
| 3,418,375 |
|
State Bank of India, 4.13%, 08/01/17 |
| 1,250,000 |
| 1,290,384 |
|
SteelRiver Transmission Co. LLC, 4.71%, 06/30/17 (b) |
| 232,106 |
| 244,546 |
|
Sumitomo Mitsui Banking Corp., 2.45%, 01/10/19 |
| 4,500,000 |
| 4,552,934 |
|
Sumitomo Mitsui Financial Group Inc., 4.44%, 04/02/24 (c) |
| 1,000,000 |
| 1,018,677 |
|
Sydney Airport Finance Co. Pty Ltd., 5.13%, 02/22/21 (b) (g) |
| 1,560,000 |
| 1,705,624 |
|
UBS AG, 7.63%, 08/17/22 (f) |
| 2,150,000 |
| 2,553,901 |
|
Union Bank NA, 0.99%, 09/26/16 (a) |
| 500,000 |
| 505,362 |
|
Wachovia Corp., 5.75%, 02/01/18 |
| 5,400,000 |
| 6,198,730 |
|
Wells Fargo & Co., 5.90%, (callable at 100 beginning 06/15/24) (e) |
| 1,000,000 |
| 1,022,418 |
|
Weyerhaeuser Co., 7.38%, 10/01/19 |
| 2,800,000 |
| 3,409,487 |
|
Woodside Finance Ltd., 4.60%, 05/10/21 (b) |
| 2,000,000 |
| 2,157,294 |
|
|
|
|
| 197,695,452 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
HEALTH CARE - 3.0% |
|
|
|
|
|
AbbVie Inc., 2.90%, 11/06/22 |
| 2,500,000 |
| 2,434,875 |
|
Amgen Inc. |
|
|
|
|
|
4.50%, 03/15/20 |
| 1,400,000 |
| 1,515,664 |
|
4.10%, 06/15/21 |
| 200,000 |
| 213,511 |
|
3.88%, 11/15/21 |
| 1,100,000 |
| 1,157,886 |
|
3.63%, 05/15/22 |
| 700,000 |
| 720,202 |
|
5.15%, 11/15/41 |
| 600,000 |
| 632,569 |
|
Boston Scientific Corp., 2.65%, 10/01/18 |
| 500,000 |
| 507,205 |
|
Gilead Sciences Inc., 2.40%, 12/01/14 |
| 1,900,000 |
| 1,921,428 |
|
HCA Inc., 3.75%, 03/15/19 |
| 1,000,000 |
| 1,007,500 |
|
Hospira Inc., 6.05%, 03/30/17 |
| 1,200,000 |
| 1,325,505 |
|
Mylan Inc., 1.80%, 06/24/16 |
| 700,000 |
| 709,654 |
|
RPI Finance Trust Term Loan, 3.50%, 05/09/18 (a) |
| 1,447,687 |
| 1,447,687 |
|
Valeant Pharmaceuticals Term Loan BD, 3.75%, 02/13/19 (a) |
| 985,000 |
| 984,261 |
|
|
|
|
| 14,577,947 |
|
INDUSTRIALS - 4.4% |
|
|
|
|
|
AABS Ltd. Term Loan A, 4.88%, 01/10/38 (a) (c) (j) |
| 922,420 |
| 932,861 |
|
ADT Corp. |
|
|
|
|
|
3.50%, 07/15/22 |
| 100,000 |
| 88,250 |
|
4.13%, 06/15/23 (f) |
| 600,000 |
| 540,000 |
|
Asciano Finance Ltd., 4.63%, 09/23/20 (b) |
| 1,000,000 |
| 1,042,653 |
|
Aviation Capital Group Corp. |
|
|
|
|
|
3.88%, 09/27/16 (b) |
| 1,700,000 |
| 1,755,922 |
|
4.63%, 01/31/18 (c) |
| 1,400,000 |
| 1,465,913 |
|
7.13%, 10/15/20 (b) |
| 1,000,000 |
| 1,122,725 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |
| 664,000 |
| 686,410 |
|
Burlington Northern Santa Fe LLC |
|
|
|
|
|
5.40%, 06/01/41 |
| 2,500,000 |
| 2,812,077 |
|
4.38%, 09/01/42 |
| 1,000,000 |
| 969,190 |
|
Cielo SA, 3.75%, 11/16/22 (b) (f) |
| 500,000 |
| 468,750 |
|
Delos Finance SARL Term Loan, 2.99%, 02/27/21 (a) |
| 1,250,000 |
| 1,244,925 |
|
Heathrow Funding Ltd., 2.50%, 06/25/15 (b) |
| 1,100,000 |
| 1,118,829 |
|
Lender Processing Services Inc., 5.75%, 04/15/23 |
| 335,000 |
| 358,450 |
|
Masco Corp. |
|
|
|
|
|
6.13%, 10/03/16 |
| 1,450,000 |
| 1,598,625 |
|
7.13%, 03/15/20 |
| 1,000,000 |
| 1,162,500 |
|
5.95%, 03/15/22 |
| 1,000,000 |
| 1,090,000 |
|
Penske Truck Leasing Co. LP, 3.38%, 03/15/18 (b) |
| 1,000,000 |
| 1,041,969 |
|
USG Corp., 7.88%, 03/30/20 (b) |
| 800,000 |
| 892,000 |
|
Verisk Analytics Inc., 4.13%, 09/12/22 |
| 975,000 |
| 986,087 |
|
|
|
|
| 21,378,136 |
|
INFORMATION TECHNOLOGY - 1.9% |
|
|
|
|
|
Activision Blizzard Inc. Term Loan B, 3.25%, 09/15/20 (a) |
| 339,000 |
| 338,661 |
|
Autodesk Inc., 1.95%, 12/15/17 |
| 1,200,000 |
| 1,209,047 |
|
Baidu Inc., 3.25%, 08/06/18 |
| 2,400,000 |
| 2,451,283 |
|
Dell Inc Term Loan B, 3.50%, 03/24/20 (a) |
| 1,596,000 |
| 1,591,212 |
|
Hewlett-Packard Co., 1.78%, 09/19/14 (a) |
| 1,700,000 |
| 1,708,248 |
|
Symantec Corp., 3.95%, 06/15/22 |
| 1,400,000 |
| 1,390,053 |
|
Tencent Holdings Ltd., 3.38%, 05/02/19 (b) |
| 500,000 |
| 502,536 |
|
|
|
|
| 9,191,040 |
|
MATERIALS - 2.2% |
|
|
|
|
|
ALROSA Finance SA, 7.75%, 11/03/20 |
| 1,000,000 |
| 1,020,000 |
|
Anglo American Capital Plc, 4.13%, 04/15/21 (c) |
| 200,000 |
| 200,597 |
|
Building Materials Corp. of America, 6.75%, 05/01/21 (b) |
| 1,230,000 |
| 1,331,475 |
|
Cemex SAB de CV |
|
|
|
|
|
9.50%, 06/15/18 (b) |
| 400,000 |
| 457,000 |
|
5.88%, 03/25/19 (b) |
| 1,200,000 |
| 1,233,000 |
|
Ecolab Inc., 2.38%, 12/08/14 (f) |
| 800,000 |
| 808,781 |
|
EuroChem Mineral & Chemical Co. OJSC via EuroChem GI Ltd., 5.13%, 12/12/17 (b) |
| 600,000 |
| 577,500 |
|
Freeport-McMoRan Copper & Gold Inc., 1.40%, 02/13/15 |
| 2,000,000 |
| 2,010,536 |
|
Georgia-Pacific LLC, 5.40%, 11/01/20 (b) |
| 500,000 |
| 569,206 |
|
Mongolian Mining Corp., 8.88%, 03/29/17 (b) (f) |
| 700,000 |
| 420,000 |
|
OJSC Novolipetsk Steel via Steel Funding Ltd., 4.45%, 02/19/18 (b) |
| 700,000 |
| 667,008 |
|
Xstrata Finance Canada Ltd., 2.70%, 10/25/17 (b) |
| 1,700,000 |
| 1,725,207 |
|
|
|
|
| 11,020,310 |
|
TELECOMMUNICATION SERVICES - 4.6% |
|
|
|
|
|
CC Holdings GS V LLC, 2.38%, 12/15/17 (f) |
| 550,000 |
| 556,232 |
|
Crown Castle International Corp., 5.25%, 01/15/23 |
| 500,000 |
| 513,750 |
|
Crown Castle Towers LLC, 5.50%, 01/15/17 (b) |
| 1,500,000 |
| 1,624,950 |
|
Deutsche Telekom International Finance BV, 3.13%, 04/11/16 (b) |
| 2,600,000 |
| 2,707,336 |
|
Intelsat Jackson Holdings SA Term Loan B-1, 4.50%, 04/02/18 (a) |
| 1,342,495 |
| 1,341,152 |
|
Sprint Communications Inc., 8.38%, 08/15/17 |
| 1,400,000 |
| 1,645,000 |
|
Telecom Italia Capital SA |
|
|
|
|
|
6.18%, 06/18/14 |
| 650,000 |
| 653,811 |
|
7.00%, 06/04/18 |
| 1,600,000 |
| 1,830,000 |
|
Telecom Italia SpA |
|
|
|
|
|
4.50%, 09/20/17, EUR |
| 125,000 |
| 186,758 |
|
7.38%, 12/15/17, GBP |
| 1,650,000 |
| 3,149,063 |
|
6.38%, 06/24/19, GBP |
| 200,000 |
| 368,239 |
|
Telefonica Emisiones SAU, 6.42%, 06/20/16 |
| 500,000 |
| 554,441 |
|
Verizon Communications Inc. |
|
|
|
|
|
4.50%, 09/15/20 |
| 1,200,000 |
| 1,307,564 |
|
5.15%, 09/15/23 |
| 3,100,000 |
| 3,415,847 |
|
Verizon Wireless Capital LLC, 8.50%, 11/15/18 |
| 1,333,000 |
| 1,687,493 |
|
Virgin Media Secured Finance Plc, 5.38%, 04/15/21 (b) |
| 800,000 |
| 820,000 |
|
|
|
|
| 22,361,636 |
|
UTILITIES - 3.5% |
|
|
|
|
|
Appalachian Power Co., 5.00%, 06/01/17 |
| 2,000,000 |
| 2,180,798 |
|
CMS Energy Corp., 5.05%, 02/15/18 |
| 1,500,000 |
| 1,661,357 |
|
Duquesne Light Holdings Inc., 5.90%, 12/01/21 (b) |
| 1,400,000 |
| 1,596,469 |
|
Energy Future Intermediate Holding Co. LLC, 6.88%, 08/15/17 (b) (d) |
| 2,000,000 |
| 2,085,000 |
|
ENN Energy Holdings Ltd., 6.00%, 05/13/21 |
| 400,000 |
| 435,836 |
|
IPALCO Enterprises Inc., 7.25%, 04/01/16 (c) |
| 1,400,000 |
| 1,536,500 |
|
Israel Electric Corp Ltd., 5.63%, 06/21/18 |
| 1,250,000 |
| 1,321,875 |
|
Israel Electric Corp. Ltd., 7.25%, 01/15/19 (b) |
| 950,000 |
| 1,067,563 |
|
Jersey Central Power & Light Co., 4.80%, 06/15/18 |
| 3,000,000 |
| 3,155,784 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| ||
MidAmerican Energy Holdings Co., 5.95%, 05/15/37 |
| 1,500,000 |
| 1,795,396 |
| ||
Tokyo Electric Power Co. Inc. |
|
|
|
|
| ||
5.00%, 07/29/14, JPY |
| 30,000,000 |
| 294,862 |
| ||
1.57%, 10/29/14, JPY |
| 10,000,000 |
| 97,395 |
| ||
5.05%, 11/28/14, JPY |
| 10,000,000 |
| 99,285 |
| ||
|
|
|
| 17,328,120 |
| ||
Total Corporate Bonds and Notes |
|
|
| 391,527,544 |
| ||
|
|
|
|
|
| ||
GOVERNMENT AND AGENCY OBLIGATIONS - 16.5% |
|
|
|
|
| ||
|
|
|
|
|
| ||
GOVERNMENT SECURITIES - 13.5% |
|
|
|
|
| ||
Municipals - 1.5% |
|
|
|
|
| ||
City of New York, 5.97%, 03/01/36 |
| 1,000,000 |
| 1,197,890 |
| ||
Los Angeles Community College District, 6.75%, 08/01/49 |
| 1,165,000 |
| 1,625,594 |
| ||
Metropolitan Transportation Authority, RB, 6.81%, 11/15/40 |
| 1,000,000 |
| 1,307,980 |
| ||
Port Authority of New York & New Jersey, 4.93%, 10/01/51 |
| 1,000,000 |
| 1,050,240 |
| ||
Sacramento Municipal Utility District, RB, 6.16%, 05/15/36 |
| 1,000,000 |
| 1,174,880 |
| ||
Triborough Bridge & Tunnel Authority, GO, 5.50%, 11/15/39 |
| 1,000,000 |
| 1,115,600 |
| ||
|
|
|
| 7,472,184 |
| ||
Sovereign - 0.9% |
|
|
|
|
| ||
Autonomous Community of Valencia, Spain, 4.38%, 07/16/15, EUR |
| 200,000 |
| 286,285 |
| ||
Slovenia Government International Bond |
|
|
|
|
| ||
4.70%, 11/01/16 (b), EUR |
| 1,300,000 |
| 1,952,902 |
| ||
4.13%, 02/18/19 (c) |
| 2,000,000 |
| 2,060,000 |
| ||
|
|
|
| 4,299,187 |
| ||
U.S. Treasury Securities - 11.1% |
|
|
|
|
| ||
U.S. Treasury Bond |
|
|
|
|
| ||
3.13%, 02/15/42 (k) |
| 10,500,000 |
| 9,911,013 |
| ||
3.00%, 05/15/42 (k) |
| 1,500,000 |
| 1,379,532 |
| ||
3.63%, 08/15/43 (k) |
| 2,800,000 |
| 2,884,874 |
| ||
3.75%, 11/15/43 (k) (l) |
| 16,025,000 |
| 16,881,344 |
| ||
Principal Only, 0.00%, 08/15/43 (h) (k) (l) |
| 20,000,000 |
| 6,891,480 |
| ||
Principal Only, 0.00%, 11/15/43 (h) (k) |
| 25,400,000 |
| 8,652,916 |
| ||
U.S. Treasury Note |
|
|
|
|
| ||
0.50%, 08/15/14 (l) |
| 2,392,000 |
| 2,394,990 |
| ||
0.25%, 02/28/15 (l) |
| 568,000 |
| 568,732 |
| ||
2.75%, 02/15/24 (k) |
| 5,000,000 |
| 5,041,405 |
| ||
|
|
|
| 54,606,286 |
| ||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 3.0% |
|
|
|
|
| ||
Federal National Mortgage Association - 3.0% |
|
|
|
|
| ||
Federal National Mortgage Association |
|
|
|
|
| ||
3.00%, 05/15/44 - 06/15/44, TBA (k) |
| 14,000,000 |
| 13,622,813 |
| ||
4.00%, 05/15/44, TBA (k) |
| 1,000,000 |
| 1,047,656 |
| ||
|
|
|
| 14,670,469 |
| ||
Total Government and Agency Obligations |
|
|
| 81,048,126 |
| ||
|
|
|
|
|
| ||
PREFERRED STOCKS - 0.4% |
|
|
|
|
| ||
|
|
|
|
|
| ||
FINANCIALS - 0.4% |
|
|
|
|
| ||
CoBank ACB, 6.25%, (callable at 100 beginning 10/01/22) (c) (e) |
| 20,000 |
| 2,044,376 |
| ||
Total Preferred Stocks (cost $2,125,000) |
|
|
| 2,044,376 |
| ||
|
|
|
|
|
| ||
TRUST PREFERREDS - 1.1% |
|
|
|
|
| ||
|
|
|
|
|
| ||
FINANCIALS - 1.1% |
|
|
|
|
| ||
Citigroup Capital XIII, 7.88%, (callable at 25 beginning 10/30/15) |
| 202,500 |
| 5,520,150 |
| ||
|
|
|
|
|
| ||
UTILITIES - 0.0% |
|
|
|
|
| ||
SCE Trust III, 5.75%, (callable at 25 beginning 03/15/24) (e) |
| 4,000 |
| 103,240 |
| ||
Total Trust Preferreds (cost $5,666,915) |
|
|
| 5,623,390 |
| ||
|
|
|
|
|
| ||
PURCHASED OPTIONS - 0.1% |
|
|
|
|
| ||
Interest Rate Put Swaption, 3-Month LIBOR versus 3.45% fixed, Expiration 09/21/15, DUB |
| 50 |
| 400,046 |
| ||
Total Purchased Options (cost $396,342) |
|
|
| 400,046 |
| ||
|
|
|
|
|
| ||
SHORT TERM INVESTMENTS - 4.4% |
|
|
|
|
| ||
Certificates of Deposit - 0.2% |
|
|
|
|
| ||
Intesa Sanpaolo SpA, 1.61%, 04/11/16 (a) |
| $ | 1,000,000 |
| 1,004,388 |
| |
|
|
|
|
|
| ||
Federal Home Loan Bank - 0.6% |
|
|
|
|
| ||
Federal Home Loan Bank, 0.10%, 08/01/14 - 09/19/14 (m) |
| 2,800,000 |
| 2,799,536 |
| ||
|
|
|
|
|
| ||
Federal Home Loan Mortgage Corp. - 0.0% |
|
|
|
|
| ||
Federal Home Loan Mortgage Corp., 0.06%, 09/02/14 (m) |
| 100,000 |
| 99,983 |
| ||
|
|
|
|
|
| ||
Securities Lending Collateral - 3.2% |
|
|
|
|
| ||
BlackRock Liquidity Funds TempFund Portfolio, 0.10% (n) |
| 5,000,000 |
| 5,000,000 |
| ||
Fidelity Institutional Money Market Portfolio, 0.08% (n) |
| 4,000,000 |
| 4,000,000 |
| ||
Repurchase Agreement with CSI, 0.03% (Collateralized by $17,483,453 U.S. Treasury Bond Strip, due 11/15/37-11/15/39, value $7,111,167) acquired on 04/30/14, due 05/01/14 at $6,971,698 |
| $ | 6,971,693 |
| 6,971,693 |
| |
|
|
|
| 15,971,693 |
| ||
Treasury Securities - 0.4% |
|
|
|
|
| ||
Mexico Cetes, 0.27%, 06/12/14, MXN |
| 1,800,000 |
| 1,370,543 |
| ||
U.S. Treasury Bill |
|
|
|
|
| ||
0.05%, 10/09/14 (l) |
| 336,000 |
| 335,940 |
| ||
0.05%, 10/16/14 |
| 396,000 |
| 395,921 |
| ||
|
|
|
| 2,102,404 |
| ||
Total Short Term Investments (cost $21,987,051) |
|
|
| 21,978,004 |
| ||
|
|
|
|
|
| ||
Total Investments - 113.0% (cost $544,903,344) |
|
|
| 555,474,210 |
| ||
Other Assets and Liabilities, Net - (13.0%) |
|
|
| (64,088,754 | ) | ||
Total Net Assets - 100.0% |
|
|
| $ | 491,385,456 |
| |
See accompanying Notes to Financial Statements.
(a) | Variable rate security. Rate stated was in effect as of April 30, 2014. |
(b) | Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has deemed these securities to be liquid based on procedures approved by the Trust’s Board of Trustees. As of April 30, 2014, the value of Rule 144A and Section 4(2) liquid securities was $101,413,287. |
(c) | Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has not deemed these securities to be liquid based on procedures approved by the Trust’s Board of Trustees. See Restricted Securities Note in these Schedules of Investments |
(d) | Security is in default relating to principal, dividends and/or interest. |
(e) | Perpetual maturity security. |
(f) | All or portion of the security was on loan. |
(g) | The interest rate for this security is inversely affected by upgrades or downgrades to the credit rating of the issuer. |
(h) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
(i) | Convertible security. |
(j) | Security fair valued in good faith in accordance with the procedures approved by the Trust’s Board of Trustees. Good faith fair valued securities may be classified as Level 2 or Level 3 for Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 820 “Fair Value Measurements and Disclosures” based on the applicable valuation inputs. See FASB ASC Topic 820 “Fair Value Measurements and Disclosures” in the Notes to Financial Statements. |
(k) | All or a portion of the investment was purchased on a delayed delivery basis. As of April 30, 2014, the total cost of investments purchased on a delayed delivery basis was $65,921,457 |
(l) | All or a portion of the securities is pledged or segregated as collateral. See the Notes to Financial Statements. |
(m) | This security is direct debt of the agency and not collateralized by mortgages. |
(n) | Yield changes daily to reflect current market conditions. Rate was the quoted yield as of April 30, 2014. |
(o) | Non-income producing security. |
Investments by Country* |
| Percentage of Total |
|
Australia |
| 1.6 |
|
Brazil |
| 1.6 |
|
Canada |
| 0.4 |
|
Cayman Islands |
| 0.4 |
|
Chile |
| 0.4 |
|
China |
| 1.9 |
|
Colombia |
| 0.1 |
|
France |
| 1.9 |
|
Germany |
| 0.8 |
|
India |
| 0.9 |
|
Ireland |
| 0.1 |
|
Israel |
| 0.4 |
|
Italy |
| 1.8 |
|
Japan |
| 1.3 |
|
Luxembourg |
| 0.3 |
|
Macau |
| 0.5 |
|
Mexico |
| 0.3 |
|
Mongolia |
| 0.1 |
|
Netherlands |
| 1.1 |
|
Norway |
| 0.9 |
|
Peru |
| 0.7 |
|
Russian Federation |
| 2.5 |
|
Slovenia |
| 0.8 |
|
South Korea |
| 0.4 |
|
Spain |
| 0.9 |
|
Switzerland |
| 1.0 |
|
United Kingdom |
| 5.0 |
|
United States |
| 71.9 |
|
Total Long-Term Investments |
| 100.0 | % |
* The country table is presented for this Fund because its strategy includes investment in non-U.S. securities as deemed significant by the Fund’s Adviser.
See accompanying Notes to Financial Statements.
Restricted Securities - Restricted securities are often purchased in private placement transactions and cannot be sold without prior registration unless the sale is pursuant to an exemption under the Securities Act of 1933, as amended. The following table details restricted Rule 144A securities that have not been deemed liquid, held by the Fund at April 30, 2014.
|
| Initial |
| Cost |
| Value |
| Percent of |
| ||
AABS Ltd. Term Loan A, 4.88%, 01/10/38 |
| 01/28/2013 |
| $ | 931,209 |
| $ | 932,861 |
| 0.2 | % |
Anglo American Capital Plc, 4.13%, 04/15/21 |
| 04/09/2014 |
| 199,246 |
| 200,597 |
| — |
| ||
Aviation Capital Group Corp., 4.63%, 01/31/18 |
| 02/12/2013 |
| 1,420,339 |
| 1,465,913 |
| 0.3 |
| ||
BPCE SA, 5.15%, 07/21/24 |
| 03/13/2014 |
| 1,581,752 |
| 1,626,163 |
| 0.3 |
| ||
BPCE SA, 5.70%, 10/22/23 |
| 10/16/2013 |
| 798,725 |
| 847,112 |
| 0.2 |
| ||
Banque PSA Finance SA, 4.38%, 04/04/16 |
| 02/25/2014 |
| 1,704,060 |
| 1,759,500 |
| 0.4 |
| ||
CoBank ACB, 6.25%, (callable at 100 beginning 10/01/22) |
| 06/03/2013 |
| 2,125,000 |
| 2,044,376 |
| 0.4 |
| ||
Credit Agricole SA, 2.50%, 04/15/19 |
| 04/10/2014 |
| 1,997,501 |
| 1,998,318 |
| 0.4 |
| ||
Federal Express Corp. Pass-Through Trust, 2.63%, 01/15/18 |
| 01/23/2012 |
| 937,317 |
| 951,075 |
| 0.2 |
| ||
ING Bank NV, 2.00%, 09/25/15 |
| 09/19/2012 |
| 998,629 |
| 1,016,478 |
| 0.2 |
| ||
ING Bank NV, 5.80%, 09/25/23 |
| 04/03/2014 |
| 1,066,437 |
| 1,095,944 |
| 0.2 |
| ||
IPALCO Enterprises Inc., 7.25%, 04/01/16 |
| 12/09/2011 |
| 1,451,367 |
| 1,536,500 |
| 0.3 |
| ||
LeasePlan Corp. NV, 2.50%, 05/16/18 |
| 05/08/2013 |
| 2,988,562 |
| 2,994,372 |
| 0.6 |
| ||
Lloyds Bank Plc, 12.00%, (callable at 100 beginning 12/16/24) |
| 10/17/2013 |
| 1,595,298 |
| 1,695,000 |
| 0.3 |
| ||
Metropolitan Life Global Funding I, 2.30%, 04/10/19 |
| 04/08/2014 |
| 1,248,380 |
| 1,249,764 |
| 0.3 |
| ||
Mizuho Bank Ltd., 0.66%, 04/16/17 |
| 04/10/2014 |
| 750,000 |
| 750,445 |
| 0.2 |
| ||
Nabors Industries Inc., 2.35%, 09/15/16 |
| 10/22/2013 |
| 505,341 |
| 511,292 |
| 0.1 |
| ||
New York Life Global Funding, 1.13%, 03/01/17 |
| 01/17/2014 |
| 998,049 |
| 1,000,033 |
| 0.2 |
| ||
Numericable Group SA, 4.88%, 05/15/19 |
| 04/24/2014 |
| 350,000 |
| 353,500 |
| 0.1 |
| ||
Omega Healthcare Investors Inc., 4.95%, 04/01/24 |
| 03/07/2014 |
| 492,976 |
| 497,122 |
| 0.1 |
| ||
Petrofac Ltd., 3.40%, 10/10/18 |
| 10/04/2013 |
| 697,658 |
| 722,278 |
| 0.2 |
| ||
Piper Jaffray Cos., 4.22%, 05/31/14 |
| 11/30/2012 |
| 700,000 |
| 700,326 |
| 0.1 |
| ||
SBA Tower Trust, 4.25%, 04/15/15 |
| 12/12/2011 |
| 1,022,080 |
| 1,031,718 |
| 0.2 |
| ||
Slovenia Government International Bond, 4.13%, 02/18/19 |
| 02/11/2014 |
| 1,987,100 |
| 2,060,000 |
| 0.4 |
| ||
Sumitomo Mitsui Financial Group Inc., 4.44%, 04/02/24 |
| 03/27/2014 |
| 1,000,000 |
| 1,018,677 |
| 0.2 |
| ||
|
|
|
| $ | 29,547,026 |
| $ | 30,059,364 |
| 6.1 | % |
Schedule of Written Options
|
| Expiration |
| Exercise |
| Contracts/Notional |
| Value |
| |
Exchange-Traded Futures Options |
|
|
|
|
|
|
|
|
| |
10-Year U.S. Treasury Note Future Call Option |
| 06/20/2014 |
| 124.50 |
| 50 |
| $ | (22,656 | ) |
10-Year U.S. Treasury Note Future Put Option |
| 06/20/2014 |
| 121.50 |
| 50 |
| (12,500 | ) | |
|
|
|
|
|
| 100 |
| $ | (35,156 | ) |
Foreign Currency Options |
|
|
|
|
|
|
|
|
| |
Brazilian Real versus USD Call Option, UBS |
| 06/12/2014 |
| 2.55 |
| 2,610,000 |
| $ | (953 | ) |
Brazilian Real versus USD Call Option, UBS |
| 06/13/2014 |
| 2.52 |
| 1,130,000 |
| (667 | ) | |
Russian Ruble versus USD Call Option, CSI |
| 06/11/2014 |
| 39.10 |
| 1,000,000 |
| (1,876 | ) | |
Russian Ruble versus USD Call Option, DUB |
| 06/11/2014 |
| 39.05 |
| 1,000,000 |
| (1,930 | ) | |
|
|
|
|
|
| 5,740,000 |
| $ | (5,426 | ) |
Index Options |
|
|
|
|
|
|
|
|
| |
iTraxx Europe Main Series 20 Put Option, BNP |
| 06/18/2014 |
| 0.90 |
| 110 |
| $ | (3,539 | ) |
iTraxx Europe Main Series 21 Put Option, CIT |
| 09/17/2014 |
| 0.95 |
| 72 |
| (20,019 | ) | |
|
|
|
|
|
| 182 |
| $ | (23,558 | ) |
Interest Rate Swaptions |
|
|
|
|
|
|
|
|
| |
Call Swaption, 3-Month LIBOR versus 2.70% fixed, BOA |
| 07/16/2014 |
| N/A |
| 100 |
| $ | (50,479 | ) |
Call Swaption, 3-Month LIBOR versus 2.70% fixed, DUB |
| 07/16/2014 |
| N/A |
| 150 |
| (75,535 | ) | |
Call Swaption, 3-Month LIBOR versus 2.70% fixed, DUB |
| 05/19/2014 |
| N/A |
| 268 |
| (60,707 | ) | |
Call Swaption, 3-Month LIBOR versus 2.70% fixed, MSS |
| 05/19/2014 |
| N/A |
| 51 |
| (11,581 | ) | |
Put Swaption, 3-Month LIBOR versus 2.50% fixed, DUB |
| 09/21/2015 |
| N/A |
| 208 |
| (449,385 | ) | |
Put Swaption, 3-Month LIBOR versus 3.15% fixed, BOA |
| 07/16/2014 |
| N/A |
| 100 |
| (22,232 | ) | |
Put Swaption, 3-Month LIBOR versus 3.15% fixed, DUB |
| 07/16/2014 |
| N/A |
| 150 |
| (32,846 | ) | |
Put Swaption, 3-Month LIBOR versus 3.15% fixed, DUB |
| 05/19/2014 |
| N/A |
| 152 |
| (439 | ) | |
Put Swaption, 3-Month LIBOR versus 3.20% fixed, DUB |
| 05/19/2014 |
| N/A |
| 116 |
| (125 | ) | |
Put Swaption, 3-Month LIBOR versus 3.20% fixed, MSS |
| 05/19/2014 |
| N/A |
| 51 |
| (55 | ) | |
|
|
|
|
|
| 1,346 |
| $ | (703,384 | ) |
See accompanying Notes to Financial Statements.
Summary of Written Options
|
| Contracts |
| Premiums |
| |
Options outstanding at October 31, 2013 |
| 3,232 |
| $ | 959,261 |
|
Options written during the period |
| 5,741,681 |
| 745,213 |
| |
Options closed during the period |
| (1,414 | ) | (151,703 | ) | |
Options expired during the period |
| (1,871 | ) | (503,728 | ) | |
Options outstanding at April 30, 2014 |
| 5,741,628 |
| $ | 1,049,043 |
|
Schedule of Open Futures Contracts
|
| Expiration |
| Contracts |
| Unrealized |
| |
U.S. Treasury Note Future, 10-Year |
| June 2014 |
| 72 |
| $ | 34,794 |
|
Schedule of Open Forward Foreign Currency Contracts
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
BRL/USD |
| 05/05/2014 |
| UBS |
| BRL | 5,694,349 |
| $ | 2,551,328 |
| $ | 169,054 |
|
BRL/USD |
| 06/03/2014 |
| UBS |
| BRL | 4,112,455 |
| 1,825,435 |
| (8,518 | ) | ||
EUR/USD |
| 06/03/2014 |
| CSI |
| EUR | 4,077,000 |
| 5,655,792 |
| 13,848 |
| ||
GBP/USD |
| 06/12/2014 |
| BCL |
| GBP | 1,323,000 |
| 2,233,033 |
| 50,415 |
| ||
MXN/USD |
| 05/14/2014 |
| BNP |
| MXN | 56,256,872 |
| 4,295,765 |
| 98,744 |
| ||
MXN/USD |
| 08/25/2014 |
| GSC |
| MXN | 56,256,872 |
| 4,259,733 |
| (11,049 | ) | ||
RUB/USD |
| 06/16/2014 |
| MSC |
| RUB | 9,297,500 |
| 257,781 |
| 7,781 |
| ||
USD/AUD |
| 05/02/2014 |
| BCL |
| AUD | (1,287,000 | ) | (1,195,619 | ) | (9,988 | ) | ||
USD/AUD |
| 06/03/2014 |
| BNP |
| AUD | (1,178,000 | ) | (1,091,905 | ) | (2,763 | ) | ||
USD/BRL |
| 05/05/2014 |
| BCL |
| BRL | (1,581,894 | ) | (708,761 | ) | (18,761 | ) | ||
USD/BRL |
| 05/05/2014 |
| UBS |
| BRL | (4,112,455 | ) | (1,842,567 | ) | 6,558 |
| ||
USD/CAD |
| 06/19/2014 |
| CSI |
| CAD | (354,000 | ) | (322,599 | ) | (2,834 | ) | ||
USD/EUR |
| 05/02/2014 |
| DUB |
| EUR | (1,017,000 | ) | (1,410,932 | ) | (8,676 | ) | ||
USD/EUR |
| 05/02/2014 |
| BOA |
| EUR | (9,573,000 | ) | (13,281,077 | ) | (79,910 | ) | ||
USD/EUR |
| 06/03/2014 |
| BOA |
| EUR | (10,590,000 | ) | (14,690,908 | ) | (39,643 | ) | ||
USD/GBP |
| 06/12/2014 |
| GSC |
| GBP | (8,234,000 | ) | (13,897,805 | ) | (101,615 | ) | ||
USD/GBP |
| 06/12/2014 |
| CSI |
| GBP | (297,000 | ) | (501,293 | ) | (7,416 | ) | ||
USD/GBP |
| 06/12/2014 |
| BNP |
| GBP | (3,000 | ) | (5,064 | ) | (72 | ) | ||
USD/GBP |
| 06/12/2014 |
| BCL |
| GBP | (950,000 | ) | (1,603,463 | ) | (24,139 | ) | ||
USD/JPY |
| 05/13/2014 |
| BCL |
| JPY | (580,600,000 | ) | (5,679,465 | ) | 19,643 |
| ||
USD/MXN |
| 06/12/2014 |
| BNP |
| MXN | (5,899,100 | ) | (449,348 | ) | 124 |
| ||
USD/MXN |
| 06/12/2014 |
| GSC |
| MXN | (11,800,377 | ) | (898,862 | ) | 489 |
| ||
USD/MXN |
| 05/14/2014 |
| GSC |
| MXN | (56,256,872 | ) | (4,295,765 | ) | 9,333 |
| ||
USD/RUB |
| 06/16/2014 |
| CSI |
| RUB | (9,297,500 | ) | (257,781 | ) | (7,781 | ) | ||
ZAR/USD |
| 10/15/2014 |
| DUB |
| ZAR | 1,274,818 |
| 117,752 |
| (1,014 | ) | ||
|
|
|
|
|
|
|
|
| $ | (40,936,595 | ) | $ | 51,810 |
|
Schedule of Interest Rate Swap Agreements
Counterparty |
| Floating Rate Index |
| Fund |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
|
|
|
| ||||||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.56 | % | 01/04/2021 |
| BRL | 14,000,000 |
| $ | (6,626 | ) | $ | 38,991 |
|
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 8.30 | % | 01/02/2017 |
| BRL | 62,400,000 |
| (1,390 | ) | (2,151,369 | ) | ||
BNP |
| Mexican Interbank Rate |
| Paying |
| 6.80 | % | 12/26/2023 |
| MXN | 75,500,000 |
| 99,031 |
| 23,931 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.00 | % | 02/22/2023 |
| MXN | 50,000,000 |
| (73,691 | ) | (324,220 | ) | ||
BNP |
| US CPURNSA |
| Receiving |
| 1.81 | % | 02/03/2016 |
|
| 1,200,000 |
| — |
| 3,867 |
| ||
DUB |
| US CPURNSA |
| Receiving |
| 1.78 | % | 01/29/2016 |
|
| 300,000 |
| 60 |
| 1,110 |
| ||
GSB |
| US CPURNSA |
| Receiving |
| 1.81 | % | 02/03/2016 |
|
| 1,200,000 |
| — |
| 3,867 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 17,384 |
| $ | (2,403,823 | ) |
See accompanying Notes to Financial Statements.
Counterparty |
| Floating Rate Index |
| Fund Paying / |
| Fixed Rate |
| Expiration |
| Notional |
| Unrealized |
| ||
Centrally Cleared Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
| ||||||
N/A |
| 3-Month EURIBOR |
| Receiving |
| 0.40 | % | 03/16/2015 |
| EUR | 14,100,000 |
| $ | (18,431 | ) |
N/A |
| 3-Month LIBOR |
| Paying |
| 2.65 | % | 07/31/2023 |
|
| 1,400,000 |
| (755 | ) | |
N/A |
| 6-Month EURIBOR |
| Receiving |
| 2.00 | % | 09/17/2024 |
| EUR | 5,000,000 |
| (110,931 | ) | |
N/A |
| British Bankers’ Association Yen LIBOR |
| Paying |
| 1.00 | % | 09/18/2023 |
| JPY | 770,000,000 |
| (184,069 | ) | |
N/A |
| Mexican Interbank Rate |
| Paying |
| 6.80 | % | 12/26/2023 |
| MXN | 14,400,000 |
| 5,579 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (308,607 | ) |
Schedule of Credit Default Swap Agreements
Counterparty |
| Reference Obligation |
| Implied |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums |
| Unrealized |
| ||||
Over the Counter Credit Default Swap Agreements |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
DUB |
| BNP Paribas, 2.88%, 09/26/2023 |
| 0.60 | % | 1.00 | % | 03/20/2019 |
| $ | (1,595,449 | ) | $ | 30,713 |
| $ | 15,351 |
| $ | 17,223 |
|
BNP |
| Carlsberg Breweries A/S, 3.34%, 10/13/2017 |
| 0.97 | % | 1.00 | % | 03/20/2019 |
| (138,735 | ) | 224 |
| 701 |
| (316 | ) | ||||
GSI |
| Carlsberg Breweries A/S, 3.34%, 10/13/2017 |
| 0.97 | % | 1.00 | % | 03/20/2019 |
| (138,735 | ) | 224 |
| 601 |
| (215 | ) | ||||
BNP |
| Commonwealth Bank of Australia, 2.25%, 03/13/2019 |
| 0.66 | % | 1.00 | % | 06/20/2019 |
| (500,000 | ) | 8,373 |
| 8,858 |
| 98 |
| ||||
CIT |
| Commonwealth Bank of Australia, 2.25%, 03/13/2019 |
| 0.66 | % | 1.00 | % | 06/20/2019 |
| (600,000 | ) | 10,048 |
| 10,930 |
| (182 | ) | ||||
DUB |
| Commonwealth Bank of Australia, 6.25%, 01/20/2015 |
| 0.63 | % | 1.00 | % | 03/20/2019 |
| (900,000 | ) | 15,971 |
| 9,623 |
| 7,398 |
| ||||
DUB |
| Commonwealth Bank of Australia, 6.25%, 01/20/2015 |
| 0.66 | % | 1.00 | % | 06/20/2019 |
| (1,000,000 | ) | 16,746 |
| 15,357 |
| 2,556 |
| ||||
GSI |
| Community Health Systems Inc., 8.00%, 11/15/2019 |
| 3.86 | % | 5.00 | % | 03/20/2021 |
| (500,000 | ) | 32,294 |
| 36,014 |
| (804 | ) | ||||
BNP |
| Devon Energy Corp., 7.95%, 04/15/2032 |
| 0.91 | % | 1.00 | % | 06/20/2021 |
| (400,000 | ) | 2,384 |
| (259 | ) | 3,109 |
| ||||
CSI |
| Devon Energy Corp., 7.95%, 04/15/2032 |
| 0.39 | % | 1.00 | % | 06/20/2018 |
| (300,000 | ) | 7,452 |
| (588 | ) | 8,391 |
| ||||
DUB |
| Devon Energy Corp., 7.95%, 04/15/2032 |
| 0.39 | % | 1.00 | % | 06/20/2018 |
| (300,000 | ) | 7,452 |
| (882 | ) | 8,684 |
| ||||
MSS |
| Domtar Corporation, 7.13%, 08/15/2015 |
| 1.18 | % | 1.00 | % | 03/20/2019 |
| (500,000 | ) | (4,141 | ) | (11,395 | ) | 7,838 |
| ||||
CSI |
| Encana Corp., 4.75%, 10/15/2013 |
| 0.43 | % | 1.00 | % | 03/20/2018 |
| (2,000,000 | ) | 43,754 |
| (26,492 | ) | 72,579 |
| ||||
MSS |
| Federated Republic of Brazil, 12.25%, 03/06/2030 |
| 0.78 | % | 1.00 | % | 12/20/2016 |
| (6,500,000 | ) | 36,941 |
| (113,735 | ) | 158,259 |
| ||||
BBP |
| Ford Motor Co., 6.50%, 08/01/2018 |
| 0.29 | % | 5.00 | % | 12/20/2015 |
| (1,050,000 | ) | 81,632 |
| 87,912 |
| (155 | ) | ||||
BBP |
| General Electric Capital Corp., 5.63%, 09/15/2017 |
| 0.53 | % | 1.00 | % | 03/20/2019 |
| (1,700,000 | ) | 37,715 |
| 19,911 |
| 19,788 |
| ||||
DUB |
| General Motors Co., 4.88%, 10/02/2023 |
| 1.41 | % | 5.00 | % | 03/20/2019 |
| (1,000,000 | ) | 166,277 |
| 166,945 |
| 5,165 |
| ||||
CSI |
| Glencore Finance Europe, 6.50%, 02/27/2019 |
| 1.44 | % | 1.00 | % | 12/20/2018 |
| (901,776 | ) | (17,702 | ) | (24,233 | ) | 7,583 |
| ||||
CSI |
| HJ Heinz Co., 6.38%, 07/15/2028 |
| 0.92 | % | 1.00 | % | 03/20/2018 |
| (100,000 | ) | 310 |
| (2,979 | ) | 3,406 |
| ||||
DUB |
| HSBC Bank Plc, 4.00%, 01/15/2021 |
| 0.75 | % | 1.00 | % | 03/20/2021 |
| (2,550,000 | ) | 40,113 |
| (1,642 | ) | 44,730 |
| ||||
BOA |
| KB Home, 9.10%, 09/15/2017 |
| 2.72 | % | 5.00 | % | 09/20/2018 |
| (500,000 | ) | 46,755 |
| 25,563 |
| 24,109 |
| ||||
GSI |
| KB Home, 9.10%, 09/15/2017 |
| 2.72 | % | 5.00 | % | 09/20/2018 |
| (700,000 | ) | 65,457 |
| 35,279 |
| 34,261 |
| ||||
BBP |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.84 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | 3,641 |
| (29,438 | ) | 33,662 |
| ||||
BBP |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.90 | % | 1.00 | % | 06/20/2019 |
| (3,700,000 | ) | 17,917 |
| 23,637 |
| (1,403 | ) | ||||
BOA |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.84 | % | 1.00 | % | 12/20/2018 |
| (100,000 | ) | 728 |
| (5,896 | ) | 6,741 |
| ||||
GSI |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.84 | % | 1.00 | % | 12/20/2018 |
| (800,000 | ) | 5,826 |
| (25,660 | ) | 32,419 |
| ||||
MSS |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.87 | % | 1.00 | % | 03/20/2019 |
| (3,700,000 | ) | 22,448 |
| (22,715 | ) | 49,480 |
| ||||
MSS |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.90 | % | 1.00 | % | 06/20/2019 |
| (550,000 | ) | 2,663 |
| 2,404 |
| 901 |
| ||||
BNP |
| Lafarge SA, 5.38%, 11/29/2018 |
| 1.66 | % | 1.00 | % | 03/20/2021 |
| (1,040,511 | ) | (43,491 | ) | (96,012 | ) | 53,736 |
| ||||
CSI |
| Lafarge SA, 5.38%, 11/29/2018 |
| 1.66 | % | 1.00 | % | 03/20/2021 |
| (1,387,347 | ) | (57,987 | ) | (134,551 | ) | 78,182 |
| ||||
BBP |
| Metlife Inc., 4.75%, 02/08/2021 |
| 0.50 | % | 1.00 | % | 12/20/2018 |
| (3,000,000 | ) | 68,547 |
| — |
| 72,047 |
| ||||
BBP |
| Morgan Stanley, 6.00%, 04/28/2015 |
| 0.66 | % | 1.00 | % | 12/20/2018 |
| (2,500,000 | ) | 38,103 |
| 3,613 |
| 37,406 |
| ||||
BNP |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 2.39 | % | 1.00 | % | 06/20/2019 |
| (1,000,000 | ) | (66,124 | ) | (76,887 | ) | 11,929 |
| ||||
DUB |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 0.80 | % | 1.00 | % | 03/20/2015 |
| (700,000 | ) | 1,233 |
| (6,338 | ) | 8,387 |
| ||||
DUB |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 0.89 | % | 1.00 | % | 06/20/2015 |
| (1,200,000 | ) | 1,553 |
| (3,435 | ) | 6,388 |
| ||||
DUB |
| Prudential Financial Inc., 6.10%, 06/15/2017 |
| 0.48 | % | 1.00 | % | 12/20/2018 |
| (2,500,000 | ) | 59,124 |
| — |
| 62,041 |
| ||||
DUB |
| Republic of Colombia, 10.38%, 01/28/2033 |
| 0.40 | % | 1.00 | % | 03/20/2016 |
| (250,000 | ) | 2,838 |
| 1,503 |
| 1,627 |
| ||||
GSI |
| Republic of Colombia, 10.38%, 01/28/2033 |
| 0.40 | % | 1.00 | % | 03/20/2016 |
| (750,000 | ) | 8,514 |
| 4,509 |
| 4,880 |
| ||||
BNP |
| Rio Tinto Finance USA Ltd., 6.50%, 07/15/2018 |
| 0.50 | % | 1.00 | % | 03/20/2017 |
| (2,000,000 | ) | 28,729 |
| (67,817 | ) | 98,879 |
| ||||
BBP |
| Sony Corporation, 1.57%, 06/19/2015 |
| 1.07 | % | 1.00 | % | 03/20/2018 |
| (97,814 | ) | (280 | ) | (7,091 | ) | 6,925 |
| ||||
BOA |
| Sony Corporation, 1.57%, 06/19/2015 |
| 1.07 | % | 1.00 | % | 03/20/2018 |
| (97,814 | ) | (280 | ) | (7,091 | ) | 6,925 |
| ||||
DUB |
| Sony Corporation, 1.57%, 06/19/2015 |
| 1.07 | % | 1.00 | % | 03/20/2018 |
| (97,814 | ) | (280 | ) | (7,330 | ) | 7,164 |
| ||||
GSI |
| Sony Corporation, 1.57%, 06/19/2015 |
| 1.07 | % | 1.00 | % | 03/20/2018 |
| (489,069 | ) | (1,399 | ) | (35,753 | ) | 34,925 |
| ||||
CSI |
| Telecom Italia SpA, 5.38%, 01/29/2019 |
| 1.86 | % | 1.00 | % | 06/20/2019 |
| (138,735 | ) | (5,804 | ) | (8,713 | ) | 3,071 |
| ||||
CSI |
| Telefonica Emisiones, 02/02/2016 |
| 1.36 | % | 1.00 | % | 06/20/2021 |
| (971,143 | ) | (23,350 | ) | (38,548 | ) | 16,330 |
| ||||
See accompanying Notes to Financial Statements.
Counterparty |
| Reference Obligation |
| Implied |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums |
| Unrealized |
| ||||
Over the Counter Credit Default Swap Agreements (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Credit default swap agreements - sell protection (2) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.07 | % | 1.00 | % | 12/20/2018 |
| $ | (400,000 | ) | $ | (1,271 | ) | $ | (26,228 | ) | $ | 25,424 |
|
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.07 | % | 1.00 | % | 12/20/2018 |
| (1,200,000 | ) | (3,812 | ) | (92,049 | ) | 89,636 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.71 | % | 1.00 | % | 12/20/2016 |
| (1,100,000 | ) | 8,362 |
| (12,656 | ) | 22,302 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.11 | % | 1.00 | % | 03/20/2019 |
| (1,000,000 | ) | (4,957 | ) | (21,524 | ) | 17,734 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.11 | % | 1.00 | % | 03/20/2019 |
| (7,600,000 | ) | (37,675 | ) | (145,892 | ) | 117,084 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.11 | % | 1.00 | % | 03/20/2019 |
| (3,700,000 | ) | (18,342 | ) | (64,017 | ) | 49,992 |
| ||||
GSI |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.07 | % | 1.00 | % | 12/20/2018 |
| (1,100,000 | ) | (3,495 | ) | (71,645 | ) | 69,434 |
| ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.53 | % | 1.00 | % | 03/20/2016 |
| (6,700,000 | ) | 59,317 |
| (5,624 | ) | 72,758 |
| ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.07 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | (1,588 | ) | (32,566 | ) | 31,561 |
| ||||
DUB |
| UK Gilt Treasury Bond, 4.25%, 06/07/2032 |
| 0.09 | % | 1.00 | % | 12/20/2016 |
| (3,000,000 | ) | 72,310 |
| 10,972 |
| 64,838 |
| ||||
BOA |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.74 | % | 1.00 | % | 12/20/2018 |
| (200,000 | ) | 2,391 |
| (539 | ) | 3,163 |
| ||||
BOA |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.78 | % | 1.00 | % | 03/20/2019 |
| (500,000 | ) | 5,217 |
| 3,548 |
| 2,253 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.74 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | 5,978 |
| 1,708 |
| 4,853 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.78 | % | 1.00 | % | 03/20/2019 |
| (2,950,000 | ) | 30,779 |
| 22,428 |
| 11,793 |
| ||||
GSI |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.74 | % | 1.00 | % | 12/20/2018 |
| (2,000,000 | ) | 23,911 |
| 1,172 |
| 25,072 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.41 | % | 1.00 | % | 12/20/2016 |
| (6,000,000 | ) | 92,938 |
| (97,951 | ) | 197,889 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.78 | % | 1.00 | % | 03/20/2019 |
| (1,150,000 | ) | 11,999 |
| 5,021 |
| 8,319 |
| ||||
BNP |
| UnityMedia KabelBW GmbH, 9.63%, 12/01/2019 |
| 2.58 | % | 5.00 | % | 03/20/2019 |
| (1,387,347 | ) | 153,109 |
| 134,835 |
| 26,366 |
| ||||
BBP |
| UPC Holding BV, 8.38%, 08/15/2020 |
| 3.46 | % | 5.00 | % | 03/20/2021 |
| (277,469 | ) | 25,143 |
| 26,108 |
| 654 |
| ||||
BOA |
| UPC Holding BV, 8.38%, 08/15/2020 |
| 2.70 | % | 5.00 | % | 03/20/2019 |
| (693,674 | ) | 72,407 |
| 42,074 |
| 34,380 |
| ||||
BBP |
| Virgin Media Finance Plc, 7.00%, 04/15/2023 |
| 3.44 | % | 5.00 | % | 06/20/2021 |
| (416,204 | ) | 39,380 |
| 40,230 |
| 1,578 |
| ||||
DUB |
| Whirlpool Corp., 7.75%, 07/15/2016 |
| 0.57 | % | 1.00 | % | 03/20/2018 |
| (1,400,000 | ) | 22,864 |
| (17,635 | ) | 42,133 |
| ||||
|
|
|
|
|
|
|
|
|
| $ | (95,219,636 | ) | $ | 1,246,826 |
| $ | (586,999 | ) | $ | 1,975,363 |
|
Counterparty |
| Reference Obligation |
| Implied |
| Fixed |
| Expiration |
| Notional |
| Value(4) |
| Unrealized |
| |||
Centrally Cleared Credit Default Swap Agreements |
|
|
|
|
|
|
|
|
| |||||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
| |||||||||
N/A |
| CDX.NA.IG-17 |
| N/A |
| 1.00 | % | 12/20/2016 |
| $ | (4,830,000 | ) | $ | 96,150 |
| $ | 21,511 |
|
N/A |
| CDX.NA.IG-17 |
| N/A |
| 1.00 | % | 12/20/2021 |
| (75,000 | ) | 430 |
| 1,366 |
| |||
N/A |
| iTraxx Europe Series 20 |
| N/A |
| 5.00 | % | 12/20/2018 |
| (971,143 | ) | 112,991 |
| 10,944 |
| |||
N/A |
| iTraxx Europe Series 21 |
| N/A |
| 1.00 | % | 06/20/2019 |
| (6,867,370 | ) | 101,211 |
| 34,445 |
| |||
|
|
|
|
|
|
|
|
|
| $ | (12,743,513 | ) | $ | 310,782 |
| $ | 68,266 |
|
(1)Notional amount is stated in USD unless otherwise noted.
(2)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 either (i) pay the buyer of protection an amount equal to the notional amount of the referenced obligation and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the reference obligation or underlying securities comprising the referenced index.
(3)Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate issues and sovereign issues serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the applicable agreement.
(4)The prices and resulting values for credit default swap agreements on credit indices 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 market 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.
(5)The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs is limited to the total notional amount which is defined under the terms of each swap agreement.
(6)If the Fund is a seller of protection, the Fund receives the fixed rate.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Schedules of Investments
April 30, 2014
Curian/PIMCO Total Return Fund
Portfolio Composition: |
| Percentage of Total |
|
Government Securities |
| 38.6 | % |
U.S. Government Agency MBS |
| 16.9 |
|
Financials |
| 14.6 |
|
Non-U.S. Government Agency ABS |
| 7.4 |
|
Telecommunication Services |
| 2.4 |
|
Energy |
| 0.9 |
|
Consumer Discretionary |
| 0.5 |
|
Industrials |
| 0.4 |
|
Health Care |
| 0.4 |
|
Consumer Staples |
| 0.2 |
|
Information Technology |
| 0.1 |
|
Materials |
| 0.1 |
|
Utilities |
| 0.0 |
|
Short Term Investments |
| 17.5 |
|
Total Investments |
| 100.0 | % |
|
| Shares/Par † |
| Value |
| ||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 8.4% |
|
|
|
|
| ||
Accredited Mortgage Loan Trust REMIC, 0.41%, 09/25/36 (a) |
| $ | 10,000,000 |
| $ | 7,463,540 |
|
ACE Securities Corp. Home Equity Loan Trust REMIC, 1.19%, 10/25/34 (a) |
| 2,901,254 |
| 2,696,141 |
| ||
Asset Backed Securities Corp. Home Equity Loan Trust REMIC, 1.50%, 04/15/33 (a) |
| 2,054,292 |
| 1,956,764 |
| ||
Banc of America Funding Trust REMIC, 4.98%, 02/20/35 (a) |
| 551,996 |
| 552,756 |
| ||
Bear Stearns Asset Backed Securities I Trust REMIC, 0.64%, 09/25/35 (a) |
| 6,000,000 |
| 4,442,370 |
| ||
Citigroup Mortgage Loan Trust REMIC, 2.53%, 10/25/35 (a) |
| 167,147 |
| 165,364 |
| ||
Countrywide Asset-Backed Certificates REMIC, 0.90%, 06/25/34 (a) |
| 6,700,000 |
| 6,374,427 |
| ||
Credit Suisse Commercial Mortgage Trust REMIC, 5.38%, 02/15/40 |
| 617,070 |
| 673,797 |
| ||
Delta Air Lines Inc. Pass-Through Trust, 7.75%, 12/17/19 |
| 265,246 |
| 311,831 |
| ||
Delta Funding Corp. Home Equity Loan Trust, 2.03%, 12/25/31 (a) |
| 5,163,418 |
| 4,758,095 |
| ||
First Horizon Alternative Mortgage Securities Trust REMIC, 2.21%, 06/25/34 (a) |
| 808,096 |
| 792,516 |
| ||
First Horizon Mortgage Pass-Through Trust REMIC, 2.55%, 06/25/35 (a) |
| 2,408,307 |
| 2,240,111 |
| ||
Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust REMIC, 5.44%, 03/10/39 |
| 1,200,000 |
| 1,312,982 |
| ||
GSAA Trust REMIC, 0.42%, 06/25/35 (a) |
| 955,788 |
| 892,247 |
| ||
GSR Mortgage Loan Trust REMIC, 2.65%, 09/25/35 (a) |
| 1,731,098 |
| 1,750,384 |
| ||
Impac Secured Assets Trust REMIC, 0.32%, 01/25/37 (a) |
| 11,614,623 |
| 9,423,013 |
| ||
IndyMac INDX Mortgage Loan Trust REMIC, 0.40%, 09/25/37 (a) |
| 1,122,513 |
| 957,523 |
| ||
JPMorgan Chase Commercial Mortgage Securities Trust REMIC |
|
|
|
|
| ||
5.34%, 05/15/47 |
| 1,400,000 |
| 1,526,470 |
| ||
5.42%, 01/15/49 |
| 400,000 |
| 438,406 |
| ||
JPMorgan Mortgage Trust REMIC, 5.50%, 04/25/36 |
| 286,353 |
| 291,616 |
| ||
Lehman Mortgage Trust REMIC, 6.00%, 09/25/37 |
| 1,324,842 |
| 1,267,460 |
| ||
Lehman XS Trust REMIC, 0.33%, 07/25/37 (a) |
| 9,108,182 |
| 6,197,107 |
| ||
Merit Securities Corp. REMIC, 0.77%, 04/28/27 (a) (b) |
| 69,922 |
| 60,845 |
| ||
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 5.49%, 03/12/51 (a) |
| 1,500,000 |
| 1,649,043 |
| ||
Morgan Stanley Mortgage Loan Trust REMIC, 0.41%, 04/25/35 (a) |
| 325,526 |
| 301,589 |
| ||
Morgan Stanley Re-REMIC Trust, 6.00%, 08/12/45 (a) (b) |
| 1,312,994 |
| 1,453,813 |
| ||
MortgageIT Trust REMIC, 0.45%, 08/25/35 (a) |
| 1,356,218 |
| 1,272,286 |
| ||
Northwest Airlines Pass-Through Trust, 7.15%, 10/01/19 |
| 6,051,558 |
| 6,641,585 |
| ||
Panhandle-Plains Higher Education Authority Inc. REMIC, 1.36%, 10/01/35 (a) |
| 3,473,891 |
| 3,524,603 |
| ||
PHH Mortgage Capital LLC REMIC, 5.58%, 07/18/35 (a) |
| 1,414,347 |
| 1,478,359 |
| ||
Provident Funding Mortgage Loan Trust REMIC, 2.66%, 10/25/35 (a) |
| 1,141,237 |
| 1,133,074 |
| ||
SG Mortgage Securities Trust REMIC, 0.36%, 10/25/36 (a) |
| 6,703,000 |
| 3,491,881 |
| ||
SLM Private Education Loan Trust, 1.25%, 08/15/23 (a) (b) |
| 5,197,020 |
| 5,226,767 |
| ||
Soundview Home Loan Trust REMIC |
|
|
|
|
| ||
0.39%, 07/25/36 (a) |
| 1,900,000 |
| 981,116 |
| ||
0.28%, 12/25/36 (a) |
| 626,323 |
| 596,229 |
| ||
Wachovia Bank Commercial Mortgage Trust REMIC, 5.34%, 12/15/43 |
| 1,000,000 |
| 1,093,773 |
| ||
Washington Mutual Mortgage Pass-Through Certificates REMIC |
|
|
|
|
| ||
2.41%, 08/25/35 (a) |
| 222,810 |
| 222,339 |
| ||
1.33%, 11/25/42 (a) |
| 4,755,661 |
| 4,585,832 |
| ||
|
|
|
|
|
| ||
Total Non-U.S. Government Agency Asset-Backed Securities (cost $84,111,222) |
|
|
| 90,198,054 |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS AND NOTES - 22.0% |
|
|
|
|
| ||
|
|
|
|
|
| ||
CONSUMER DISCRETIONARY - 0.5% |
|
|
|
|
| ||
Daimler Finance North America LLC, 2.95%, 01/11/17 (c) |
| 2,771,000 |
| 2,885,667 |
| ||
Marks & Spencer Plc, 6.25%, 12/01/17 (c) |
| 2,300,000 |
| 2,588,190 |
| ||
|
|
|
| 5,473,857 |
| ||
CONSUMER STAPLES - 0.3% |
|
|
|
|
| ||
Kroger Co., 0.76%, 10/17/16 (a) |
| 2,700,000 |
| 2,706,609 |
| ||
|
|
|
|
|
| ||
ENERGY - 0.9% |
|
|
|
|
| ||
Canadian Natural Resources Ltd., 0.61%, 03/30/16 (a) |
| 4,900,000 |
| 4,906,100 |
| ||
Gazprom OAO Via Gaz Capital SA, 8.13%, 07/31/14 (b) |
| 4,000,000 |
| 4,040,000 |
| ||
Petrobras International Finance Co., 7.88%, 03/15/19 |
| 300,000 |
| 347,801 |
| ||
Rosneft Finance SA, 7.50%, 07/18/16 |
| 900,000 |
| 949,500 |
| ||
|
|
|
| 10,243,401 |
| ||
FINANCIALS - 16.3% |
|
|
|
|
| ||
Ally Financial Inc. |
|
|
|
|
| ||
6.75%, 12/01/14 |
| 900,000 |
| 928,125 |
| ||
6.75%, 12/01/14 |
| 2,900,000 |
| 2,994,250 |
| ||
8.30%, 02/12/15 |
| 6,700,000 |
| 7,060,125 |
| ||
4.63%, 06/26/15 |
| 700,000 |
| 726,390 |
| ||
2.75%, 01/30/17 |
| 600,000 |
| 607,500 |
| ||
5.50%, 02/15/17 |
| 3,500,000 |
| 3,806,250 |
| ||
American Express Bank FSB, 6.00%, 09/13/17 |
| 3,300,000 |
| 3,789,558 |
| ||
American Express Co., 6.80%, 09/01/66 (a) |
| 3,489,000 |
| 3,851,158 |
| ||
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
American International Group Inc. |
|
|
|
|
|
8.25%, 08/15/18 |
| 700,000 |
| 874,434 |
|
8.18%, 05/15/58 (a) |
| 5,600,000 |
| 7,490,000 |
|
Banco do Brasil SA |
|
|
|
|
|
4.50%, 01/22/15 (b) |
| 1,300,000 |
| 1,330,875 |
|
6.00%, 01/22/20 (b) (d) |
| 200,000 |
| 216,500 |
|
Banco Mercantil del Norte SA, 4.38%, 07/19/15 (b) (d) |
| 2,900,000 |
| 3,008,750 |
|
Banco Santander Brasil SA, 4.25%, 01/14/16 (b) |
| 1,000,000 |
| 1,033,750 |
|
Banco Santander Chile, 1.13%, 04/11/17 (a) (b) |
| 3,700,000 |
| 3,700,033 |
|
Bank of America Corp., 1.02%, 05/23/17 (a), EUR |
| 1,200,000 |
| 1,635,683 |
|
Bank of Nova Scotia, 1.25%, 04/11/17 |
| 9,400,000 |
| 9,417,945 |
|
Barclays Bank Plc, 5.20%, 07/10/14 |
| 200,000 |
| 201,771 |
|
CIT Group Inc., 4.75%, 02/15/15 (b) |
| 400,000 |
| 410,500 |
|
Citigroup Inc. |
|
|
|
|
|
5.00%, 09/15/14 |
| 4,900,000 |
| 4,978,684 |
|
4.59%, 12/15/15 |
| 4,300,000 |
| 4,554,814 |
|
3.95%, 06/15/16 |
| 600,000 |
| 635,563 |
|
4.45%, 01/10/17 |
| 200,000 |
| 216,026 |
|
Credit Agricole Home Loan SFH, 0.98%, 07/21/14 (a) (b) |
| 1,800,000 |
| 1,802,342 |
|
Ford Motor Credit Co. LLC |
|
|
|
|
|
8.00%, 06/01/14 |
| 1,800,000 |
| 1,811,306 |
|
3.88%, 01/15/15 |
| 7,100,000 |
| 7,263,896 |
|
7.00%, 04/15/15 |
| 1,400,000 |
| 1,482,712 |
|
3.98%, 06/15/16 |
| 200,000 |
| 212,113 |
|
HBOS Plc |
|
|
|
|
|
0.94%, 09/06/17 (a) |
| 2,571,000 |
| 2,524,599 |
|
6.75%, 05/21/18 (b) |
| 900,000 |
| 1,024,908 |
|
ICICI Bank Ltd., 5.75%, 11/16/20 |
| 2,700,000 |
| 2,885,849 |
|
Industrial Bank of Korea, 3.75%, 09/29/16 (b) |
| 1,500,000 |
| 1,585,291 |
|
JPMorgan Chase & Co. |
|
|
|
|
|
1.10%, 10/15/15 |
| 6,900,000 |
| 6,933,203 |
|
3.45%, 03/01/16 |
| 600,000 |
| 627,983 |
|
3.15%, 07/05/16 |
| 1,700,000 |
| 1,777,596 |
|
1.05%, 05/30/17 (a), GBP |
| 7,400,000 |
| 12,212,974 |
|
KeyBank NA, 7.41%, 05/06/15 |
| 3,300,000 |
| 3,504,937 |
|
Merrill Lynch & Co. Inc. |
|
|
|
|
|
6.40%, 08/28/17 |
| 14,700,000 |
| 16,838,027 |
|
6.88%, 04/25/18 |
| 2,600,000 |
| 3,062,717 |
|
Morgan Stanley |
|
|
|
|
|
4.10%, 01/26/15 |
| 4,900,000 |
| 5,022,500 |
|
5.38%, 10/15/15 |
| 4,000,000 |
| 4,260,812 |
|
RCI Banque SA, 4.60%, 04/12/16 (b) |
| 1,953,000 |
| 2,075,260 |
|
Russian Agricultural Bank OJSC Via RSHB Capital SA, 9.00%, 06/11/14 (b) |
| 7,100,000 |
| 7,156,218 |
|
SLM Corp. |
|
|
|
|
|
5.14%, 06/15/16 |
| 10,000,000 |
| 10,368,180 |
|
8.45%, 06/15/18 |
| 1,500,000 |
| 1,768,125 |
|
Springleaf Finance Corp., 6.90%, 12/15/17 |
| 7,000,000 |
| 7,682,500 |
|
UBS AG, 7.63%, 08/17/22 |
| 3,400,000 |
| 4,038,727 |
|
Wells Fargo & Co., 0.69%, 04/22/19 (a) |
| 3,200,000 |
| 3,206,282 |
|
XLIT Ltd., 5.25%, 09/15/14 |
| 600,000 |
| 610,267 |
|
|
|
|
| 175,208,008 |
|
HEALTH CARE - 0.5% |
|
|
|
|
|
HCA Inc., 7.25%, 09/15/20 |
| 1,150,000 |
| 1,240,563 |
|
HCA Inc. Extended Term Loan A-2, 6.90%, 05/02/16 (a) |
| 3,740,000 |
| 3,734,876 |
|
|
|
|
| 4,975,439 |
|
INDUSTRIALS - 0.5% |
|
|
|
|
|
Asciano Finance Ltd., 5.00%, 04/07/18 (b) |
| 600,000 |
| 647,216 |
|
CSX Corp. |
|
|
|
|
|
6.25%, 04/01/15 |
| 700,000 |
| 735,368 |
|
5.60%, 05/01/17 |
| 3,350,000 |
| 3,756,938 |
|
|
|
|
| 5,139,522 |
|
INFORMATION TECHNOLOGY - 0.1% |
|
|
|
|
|
Apple Inc. |
|
|
|
|
|
2.85%, 05/06/21 |
| 600,000 |
| 602,489 |
|
3.45%, 05/06/24 |
| 1,000,000 |
| 1,001,321 |
|
|
|
|
| 1,603,810 |
|
MATERIALS - 0.1% |
|
|
|
|
|
Gerdau Holdings Inc., 7.00%, 01/20/20 (b) |
| 900,000 |
| 1,013,625 |
|
Gold Fields Orogen Holding BVI Ltd., 4.88%, 10/07/20 (b) |
| 200,000 |
| 180,000 |
|
GTL Trade Finance Inc., 7.25%, 10/20/17 (b) |
| 300,000 |
| 339,000 |
|
|
|
|
| 1,532,625 |
|
TELECOMMUNICATION SERVICES - 2.8% |
|
|
|
|
|
AT&T Inc., 0.65%, 03/30/17 (a) |
| 3,300,000 |
| 3,298,129 |
|
BellSouth Corp., 4.18%, 04/26/15 (c) |
| 9,800,000 |
| 10,144,656 |
|
Deutsche Telekom International Finance BV, 3.13%, 04/11/16 (b) |
| 2,300,000 |
| 2,394,951 |
|
Sprint Communications Inc., 6.00%, 12/01/16 |
| 600,000 |
| 657,000 |
|
Verizon Communications Inc. |
|
|
|
|
|
1.76%, 09/15/16 (a) |
| 2,400,000 |
| 2,469,818 |
|
2.50%, 09/15/16 |
| 8,200,000 |
| 8,487,361 |
|
1.98%, 09/14/18 (a) |
| 500,000 |
| 527,909 |
|
3.65%, 09/14/18 |
| 1,600,000 |
| 1,707,984 |
|
|
|
|
| 29,687,808 |
|
UTILITIES - 0.0% |
|
|
|
|
|
Centrais Eletricas Brasileiras SA, 6.88%, 07/30/19 (b) |
| 200,000 |
| 216,250 |
|
|
|
|
|
|
|
Total Corporate Bonds and Notes |
|
|
| 236,787,329 |
|
|
|
|
|
|
|
GOVERNMENT AND AGENCY OBLIGATIONS - 63.0% |
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT SECURITIES - 43.8% |
|
|
|
|
|
Federal Home Loan Mortgage Corp. - 3.8% (e) |
|
|
|
|
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
1.00%, 03/08/17 - 09/29/17 |
| 19,100,000 |
| 19,037,674 |
|
5.50%, 08/23/17 |
| 2,400,000 |
| 2,743,694 |
|
0.88%, 03/07/18 |
| 300,000 |
| 294,251 |
|
1.75%, 05/30/19 |
| 600,000 |
| 598,811 |
|
1.25%, 08/01/19 - 10/02/19 |
| 19,400,000 |
| 18,698,083 |
|
|
|
|
| 41,372,513 |
|
Federal National Mortgage Association - 3.5% (e) |
|
|
|
|
|
Federal National Mortgage Association |
|
|
|
|
|
1.25%, 01/30/17 (f) |
| 7,400,000 |
| 7,489,177 |
|
5.00%, 02/13/17 - 05/11/17 |
| 6,000,000 |
| 6,712,844 |
|
1.13%, 04/27/17 |
| 800,000 |
| 804,546 |
|
5.38%, 06/12/17 |
| 4,800,000 |
| 5,438,952 |
|
0.88%, 08/28/17 - 05/21/18 |
| 16,800,000 |
| 16,621,185 |
|
1.88%, 09/18/18 |
| 1,100,000 |
| 1,111,793 |
|
|
|
|
| 38,178,497 |
|
Municipals - 2.5% |
|
|
|
|
|
American Municipal Power Inc., RB, 8.08%, 02/15/50 |
| 2,200,000 |
| 3,245,682 |
|
Bay Area Toll Authority, RB - Series S1 |
|
|
|
|
|
7.04%, 04/01/50 |
| 2,000,000 |
| 2,770,200 |
|
6.91%, 10/01/50 |
| 1,000,000 |
| 1,375,730 |
|
California Statewide Communities Development Authority, RB, 7.55%, 05/15/40 |
| 1,100,000 |
| 1,389,806 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| |
Dallas Convention Center Hotel Development Corp., RB, 7.09%, 01/01/42 |
| 2,800,000 |
| 3,444,980 |
| |
Los Angeles County Public Works Financing Authority, RB, 7.62%, 08/01/40 |
| 1,800,000 |
| 2,345,886 |
| |
Mississippi Development Bank, RB, 6.31%, 01/01/33 |
| 300,000 |
| 363,666 |
| |
New Jersey State Turnpike Authority, RB, 7.10%, 01/01/41 |
| 2,000,000 |
| 2,748,760 |
| |
New York State Dormitory Authority, RB, 5.00%, 03/15/29 |
| 1,100,000 |
| 1,236,609 |
| |
Ohio Higher Educational Facility Commission, RB, GO, 5.00%, 01/01/38 |
| 800,000 |
| 862,272 |
| |
State of California |
|
|
|
|
| |
7.50%, 04/01/34 |
| 1,400,000 |
| 1,933,470 |
| |
7.63%, 03/01/40 |
| 1,800,000 |
| 2,557,332 |
| |
7.60%, 11/01/40 |
| 1,000,000 |
| 1,437,740 |
| |
State of Iowa, RB, 6.75%, 06/01/34 |
| 400,000 |
| 446,540 |
| |
University of California, RB, 6.40%, 05/15/31 |
| 1,100,000 |
| 1,305,898 |
| |
|
|
|
| 27,464,571 |
| |
Sovereign - 8.3% |
|
|
|
|
| |
Banco Nacional de Desenvolvimento Economico e Social, 3.38%, 09/26/16 (b) |
| 300,000 |
| 305,625 |
| |
Italy Buoni Poliennali Del Tesoro |
|
|
|
|
| |
3.00%, 06/15/15 - 11/01/15, EUR |
| 6,200,000 |
| 8,870,826 |
| |
4.50%, 07/15/15, EUR |
| 3,500,000 |
| 5,072,893 |
| |
3.75%, 08/01/15 - 08/01/16, EUR |
| 14,500,000 |
| 20,879,970 |
| |
2.75%, 12/01/15, EUR |
| 4,100,000 |
| 5,862,386 |
| |
2.25%, 05/15/16, EUR |
| 4,000,000 |
| 5,705,938 |
| |
1.50%, 12/15/16, EUR |
| 400,000 |
| 561,410 |
| |
4.75%, 05/01/17, EUR |
| 100,000 |
| 153,173 |
| |
Italy Certificati di Credito del Tesoro, 0.00%, 06/30/15 - 12/31/15 (g), EUR |
| 2,600,000 |
| 3,561,712 |
| |
Province of Ontario, Canada, 3.15%, 06/02/22, CAD |
| 600,000 |
| 555,938 |
| |
Province of Quebec, Canada, 4.25%, 12/01/21, CAD |
| 2,000,000 |
| 1,995,949 |
| |
Spain Government Bond |
|
|
|
|
| |
4.00%, 07/30/15, EUR |
| 7,900,000 |
| 11,409,954 |
| |
3.75%, 10/31/15, EUR |
| 10,800,000 |
| 15,666,892 |
| |
3.15%, 01/31/16, EUR |
| 1,100,000 |
| 1,590,779 |
| |
3.25%, 04/30/16, EUR |
| 1,300,000 |
| 1,891,745 |
| |
3.30%, 07/30/16, EUR |
| 2,800,000 |
| 4,095,163 |
| |
4.25%, 10/31/16, EUR |
| 800,000 |
| 1,200,788 |
| |
|
|
|
| 89,381,141 |
| |
Treasury Inflation Index Securities - 8.5% |
|
|
|
|
| |
U.S. Treasury Inflation Indexed Note |
|
|
|
|
| |
0.13%, 04/15/17 - 04/15/19 (f) (h) |
| 613,842 |
| 630,928 |
| |
1.38%, 01/15/20 (h) |
| 325,713 |
| 354,009 |
| |
1.25%, 07/15/20 (h) |
| 861,248 |
| 934,253 |
| |
1.13%, 01/15/21 (h) |
| 214,654 |
| 229,428 |
| |
0.63%, 07/15/21 (h) |
| 7,187,661 |
| 7,457,759 |
| |
0.13%, 01/15/22 - 01/15/23 (h) |
| 20,172,221 |
| 19,796,838 |
| |
0.38%, 07/15/23 (h) |
| 7,566,450 |
| 7,564,680 |
| |
2.38%, 01/15/25 - 01/15/27 (h) |
| 19,072,206 |
| 22,848,034 |
| |
2.00%, 01/15/26 (h) |
| 8,635,243 |
| 9,970,329 |
| |
1.75%, 01/15/28 (h) |
| 19,163,799 |
| 21,575,736 |
| |
|
|
|
| 91,361,994 |
| |
U.S. Treasury Securities - 17.2% |
|
|
|
|
| |
U.S. Treasury Note |
|
|
|
|
| |
0.07%, 01/31/16 (a) (f) |
| 77,000,000 |
| 76,971,279 |
| |
0.09%, 04/30/16 (a) |
| 27,000,000 |
| 26,999,190 |
| |
0.88%, 09/15/16 - 04/30/17 |
| 7,000,000 |
| 7,011,290 |
| |
0.63%, 11/15/16 - 08/31/17 |
| 13,000,000 |
| 12,923,846 |
| |
1.00%, 03/31/17 |
| 2,500,000 |
| 2,510,938 |
| |
0.75%, 06/30/17 - 12/31/17 |
| 1,900,000 |
| 1,870,210 |
| |
0.50%, 07/31/17 |
| 3,200,000 |
| 3,148,000 |
| |
0.75%, 03/31/18 (f) |
| 300,000 |
| 293,695 |
| |
1.50%, 01/31/19 - 02/28/19 |
| 21,600,000 |
| 21,462,305 |
| |
1.63%, 03/31/19 (f) |
| 29,000,000 |
| 28,945,625 |
| |
1.63%, 04/30/19 |
| 2,800,000 |
| 2,792,126 |
| |
|
|
|
| 184,928,504 |
| |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 19.2% |
|
|
|
|
| |
Federal Home Loan Mortgage Corp. - 2.5% |
|
|
|
|
| |
Federal Home Loan Mortgage Corp. |
|
|
|
|
| |
4.50%, 03/01/28 - 12/01/41 |
| 1,806,339 |
| 1,949,141 |
| |
5.50%, 09/01/33 - 03/01/40 |
| 4,939,215 |
| 5,438,039 |
| |
4.00%, 05/15/44, TBA (i) |
| 2,000,000 |
| 2,091,953 |
| |
4.50%, 05/15/44, TBA (i) |
| 9,000,000 |
| 9,660,235 |
| |
REMIC, 0.87%, 05/15/37 (a) |
| 1,501,478 |
| 1,518,453 |
| |
REMIC, 5.00%, 08/15/38 |
| 5,899,743 |
| 6,362,548 |
| |
|
|
|
| 27,020,369 |
| |
Federal National Mortgage Association - 16.7% |
|
|
|
|
| |
Federal National Mortgage Association |
|
|
|
|
| |
3.00%, 07/01/21 - 05/01/22 |
| 4,350,979 |
| 4,546,304 |
| |
3.89%, 07/01/21 |
| 1,200,000 |
| 1,284,085 |
| |
3.16%, 05/01/22 |
| 787,847 |
| 814,008 |
| |
2.31%, 08/01/22 |
| 300,000 |
| 289,602 |
| |
4.50%, 08/01/23 - 03/01/44 |
| 12,022,885 |
| 12,921,775 |
| |
3.50%, 10/01/25 |
| 13,823 |
| 14,562 |
| |
5.00%, 04/01/28 - 11/01/41 |
| 7,050,842 |
| 7,754,756 |
| |
3.00%, 05/15/29, TBA (i) |
| 20,000,000 |
| 20,643,750 |
| |
3.50%, 05/15/29, TBA (i) |
| 7,000,000 |
| 7,369,687 |
| |
4.00%, 05/15/29, TBA (i) |
| 1,000,000 |
| 1,060,625 |
| |
4.00%, 10/01/30 |
| 2,012,411 |
| 2,141,053 |
| |
5.50%, 01/01/33 - 09/01/40 |
| 12,007,746 |
| 13,276,147 |
| |
6.00%, 03/01/33 - 05/01/41 |
| 12,167,690 |
| 13,605,142 |
| |
4.50%, 05/15/44, TBA (i) |
| 58,000,000 |
| 62,243,518 |
| |
5.00%, 05/15/44, TBA (i) |
| 23,000,000 |
| 25,212,851 |
| |
5.50%, 05/15/44, TBA (i) |
| 1,000,000 |
| 1,105,625 |
| |
6.00%, 05/15/44, TBA (i) |
| 5,000,000 |
| 5,583,594 |
| |
|
|
|
| 179,867,084 |
| |
Total Government and Agency Obligations |
|
|
| 679,574,673 |
| |
|
|
|
|
|
| |
PREFERRED STOCKS - 0.4% |
|
|
|
|
| |
|
|
|
|
|
| |
FINANCIALS - 0.4% |
|
|
|
|
| |
Wells Fargo & Co., 7.50% (j) (k) |
| 3,200 |
| 3,824,000 |
| |
|
|
|
|
|
| |
Total Preferred Stocks (cost $3,557,200) |
|
|
| 3,824,000 |
| |
|
|
|
|
|
| |
SHORT TERM INVESTMENTS - 19.9% |
|
|
|
|
| |
|
|
|
|
|
| |
Certificates of Deposit - 1.0% |
|
|
|
|
| |
Credit Suisse |
|
|
|
|
| |
0.46%, 03/17/15 (a) |
| $ | 700,000 |
| 699,883 |
|
0.47%, 03/31/15 (a) |
| 9,900,000 |
| 9,898,346 |
| |
|
|
|
| 10,598,229 |
| |
Commercial Paper - 3.3% |
|
|
|
|
| |
Entergy Corp. |
|
|
|
|
| |
0.95%, 08/05/14 |
| 1,600,000 |
| 1,597,922 |
| |
0.95%, 08/06/14 |
| 3,800,000 |
| 3,795,004 |
| |
Glencore Funding LLC, 0.69%, 10/07/14 |
| 10,900,000 |
| 10,883,044 |
| |
Mohawk Industries Inc., 0.72%, 07/07/14 |
| 5,400,000 |
| 5,395,359 |
| |
Thermo Fisher Scientific Inc., 0.55%, 07/02/14 |
| 5,000,000 |
| 4,996,045 |
| |
Vodafone Group Plc, 0.51%, 04/10/15 |
| 8,900,000 |
| 8,855,307 |
| |
|
|
|
| 35,522,681 |
| |
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| ||
Repurchase Agreements - 15.6% |
|
|
|
|
| ||
Repurchase Agreement with BCL, 0.04% (Collateralized by $12,411,000 U.S. Treasury Note, 0.75%, due 12/31/17, value $12,338,764) acquired on 04/30/14, due 05/01/14 at $12,000,013 |
| 12,000,000 |
| 12,000,000 |
| ||
Repurchase Agreement with BNP, 0.05% (Collateralized by $24,295,600 U.S. Treasury Note, 2.63%, due 04/30/18, value $25,532,208) acquired on 04/30/14, due 05/01/14 at $25,000,035 |
| 25,000,000 |
| 25,000,000 |
| ||
Repurchase Agreement with BNP, 0.06% (Collateralized by $23,369,947 U.S. Treasury Inflation Indexed Note, 1.38%, due 07/15/18, value $25,466,852) acquired on 04/30/14, due 05/01/14 at $25,000,042 |
| 25,000,000 |
| 25,000,000 |
| ||
Repurchase Agreement with BNP, 0.07% (Collateralized by $22,775,300 Federal National Mortgage Association, 4.00%, due 04/01/44, value $23,864,244) acquired on 04/30/14, due 05/01/14 at $23,100,045 |
| 23,100,000 |
| 23,100,000 |
| ||
Repurchase Agreement with CSI, 0.06% (Collateralized by $30,629,000 U.S. Treasury Note, 1.88%, due 06/30/15, value $31,249,955) acquired on 04/30/14, due 05/01/14 at $30,800,051 |
| 30,800,000 |
| 30,800,000 |
| ||
Repurchase Agreement with DUB, 0.05% (Collateralized by $8,316,000 U.S. Treasury Note, 1.00%, due 09/30/19, value $7,959,971) acquired on 04/30/14, due 05/01/14 at $7,800,011 |
| 7,800,000 |
| 7,800,000 |
| ||
Repurchase Agreement with GSC, 0.05% (Collateralized by $4,155,552 Federal Home Loan Mortgage Corp., 3.50%, due 09/01/42, value $4,216,587) acquired on 04/30/14, due 05/01/14 at $4,100,006 |
| 4,100,000 |
| 4,100,000 |
| ||
Repurchase Agreement with JPM, 0.07% (Collateralized by $8,370,000 Federal National Mortgage Association, 1.67%, due 12/17/18, value $8,328,234) acquired on 04/30/14, due 05/01/14 at $8,200,016 |
| 8,200,000 |
| 8,200,000 |
| ||
Repurchase Agreement with MLP, 0.06% (Collateralized by $12,795,000 U.S. Treasury Note, 1.63%, due 04/30/19, value $12,763,512) acquired on 04/30/14, due 05/01/14 at $12,500,021 |
| 12,500,000 |
| 12,500,000 |
| ||
Repurchase Agreement with RBS, 0.06% (Collateralized by $18,694,000 U.S. Treasury Note, 4.50%, due 11/15/15, value $19,918,603) acquired on 04/30/14, due 05/01/14 at $19,900,033 |
| 19,900,000 |
| 19,900,000 |
| ||
|
|
|
| 168,400,000 |
| ||
Securities Lending Collateral - 0.0% |
|
|
|
|
| ||
BlackRock Liquidity Funds TempFund Portfolio, 0.10% (l) |
| 100,000 |
| 100,000 |
| ||
Repurchase Agreement with CSI, 0.03% (Collateralized by $580,550 U.S. Treasury Bond Strip, due 11/15/37-11/15/39, value $236,131) acquired on 04/30/14, due 05/01/14 at $231,500 |
| $ | 231,500 |
| 231,500 |
| |
|
|
|
| 331,500 |
| ||
|
|
|
|
|
| ||
Total Short Term Investments (cost $214,829,157) |
|
|
| 214,852,410 |
| ||
|
|
|
|
|
| ||
Total Investments - 113.7% (cost $1,211,057,880) |
|
|
| 1,225,236,466 |
| ||
Other Assets and Liabilities, Net - (13.7%) |
|
|
| (147,402,566 | ) | ||
Total Net Assets - 100.0% |
|
|
| $ | 1,077,833,900 |
| |
(a) | Variable rate security. Rate stated was in effect as of April 30, 2014. |
(b) | Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has deemed these securities to be liquid based on procedures approved by the Trust’s Board of Trustees. As of April 30, 2014, the value of Rule 144A and Section 4(2) liquid securities was $39,222,520. |
(c) | Rule 144A or Section 4(2) of the Securities Act of 1933 security which is restricted to resale to institutional investors. The Sub-Adviser has not deemed these securities to be liquid based on procedures approved by the Trust’s Board of Trustees. See Restricted Securities Note in these Schedules of Investments |
(d) | All or portion of the security was on loan. |
(e) | The securities in this category are direct debt of the agency and not collateralized by mortgages. |
(f) | All or a portion of the securities is pledged or segregated as collateral. See the Notes to Financial Statements. |
(g) | Security issued with a zero coupon. Income is recognized through the accretion of discount. |
(h) | U.S. Treasury inflation indexed note, par amount is adjusted for inflation. |
(i) | All or a portion of the investment was purchased on a delayed delivery basis. As of April 30, 2014, the total cost of investments purchased on a delayed delivery basis was $134,211,484. |
(j) | Perpetual maturity security. |
(k) | Convertible security. |
(l) | Yield changes daily to reflect current market conditions. Rate was the quoted yield as of April 30, 2014. |
See accompanying Notes to Financial Statements.
Restricted Securities - Restricted securities are often purchased in private placement transactions and cannot be sold without prior registration unless the sale is pursuant to an exemption under the Securities Act of 1933, as amended. The following table details restricted Rule 144A securities that have not been deemed liquid, held by the Fund at April 30, 2014.
|
| Initial |
| Cost |
| Value |
| Percent of |
| ||
BellSouth Corp., 4.18%, 04/26/15 |
| 04/17/2014 |
| $ | 10,153,316 |
| $ | 10,144,656 |
| 0.9 | % |
Daimler Finance North America LLC, 2.95%, 01/11/17 |
| 03/14/2014 |
| 2,897,527 |
| 2,885,667 |
| 0.3 |
| ||
Marks & Spencer Plc, 6.25%, 12/01/17 |
| 02/26/2014 |
| 2,584,959 |
| 2,588,190 |
| 0.2 |
| ||
|
|
|
| $ | 15,635,802 |
| $ | 15,618,513 |
| 1.4 | % |
Schedule of Written Options
|
| Expiration |
| Exercise |
| Contracts/Notional |
| Value |
| |
Exchange-Traded Futures Options |
|
|
|
|
|
|
|
|
| |
10-Year U.S. Treasury Note Future Call Option |
| 05/23/2014 |
| 125.00 |
| 28 |
| $ | (9,625 | ) |
10-Year U.S. Treasury Note Future Put Option |
| 05/23/2014 |
| 122.00 |
| 28 |
| (1,750 | ) | |
|
|
|
|
|
| 56 |
| $ | (11,375 | ) |
Foreign Currency Options |
|
|
|
|
|
|
|
|
| |
Japanese Yen versus USD Put Option, BOA |
| 02/18/2019 |
| 80.00 |
| 500,000 |
| $ | (24,130 | ) |
|
|
|
|
|
| 500,000 |
| $ | (24,130 | ) |
Index Options |
|
|
|
|
|
|
|
|
| |
CDX.NA.IG-21 Call Option, BOA |
| 06/18/2014 |
| 0.55 |
| 6 |
| $ | (489 | ) |
CDX.NA.IG-21 Put Option, BOA |
| 06/18/2014 |
| 0.85 |
| 26 |
| (422 | ) | |
|
|
|
|
|
| 32 |
| $ | (911 | ) |
Interest Rate Swaptions |
|
|
|
|
|
|
|
|
| |
Call Swaption, 3-Month LIBOR versus 1.40% fixed, GSB |
| 05/06/2014 |
| N/A |
| 56 |
| $ | — |
|
Call Swaption, 3-Month LIBOR versus 1.40% fixed, MSS |
| 05/06/2014 |
| N/A |
| 73 |
| — |
| |
Call Swaption, 3-Month LIBOR versus 1.50% fixed, MSS |
| 05/19/2014 |
| N/A |
| 63 |
| (250 | ) | |
Call Swaption, 3-Month LIBOR versus 1.55% fixed, MSS |
| 07/28/2014 |
| N/A |
| 97 |
| (8,241 | ) | |
Call Swaption, 3-Month LIBOR versus 2.64% fixed, DUB |
| 06/11/2014 |
| N/A |
| 83 |
| (19,015 | ) | |
Call Swaption, 3-Month LIBOR versus 2.75% fixed, MSS |
| 06/16/2014 |
| N/A |
| 63 |
| (36,029 | ) | |
Put Swaption, 3-Month LIBOR versus 1.80% fixed, MSS |
| 05/19/2014 |
| N/A |
| 63 |
| (18,317 | ) | |
Put Swaption, 3-Month LIBOR versus 1.90% fixed, GSB |
| 05/06/2014 |
| N/A |
| 56 |
| (794 | ) | |
Put Swaption, 3-Month LIBOR versus 2.40% fixed, MSS |
| 07/28/2014 |
| N/A |
| 128 |
| (12,235 | ) | |
Put Swaption, 3-Month LIBOR versus 3.04% fixed, DUB |
| 06/11/2014 |
| N/A |
| 83 |
| (11,491 | ) | |
Put Swaption, 3-Month LIBOR versus 3.05% fixed, MSS |
| 06/16/2014 |
| N/A |
| 63 |
| (10,046 | ) | |
|
|
|
|
|
| 828 |
| $ | (116,418 | ) |
Summary of Written Options
|
| Contracts |
| Premiums |
| |
Options outstanding at October 31, 2013 |
| 2,762 |
| $ | 1,038,950 |
|
Options written during the period |
| 501,617 |
| 760,527 |
| |
Options closed during the period |
| — |
| — |
| |
Options expired during the period |
| (3,463 | ) | (1,291,446 | ) | |
Options outstanding at April 30, 2014 |
| 500,916 |
| $ | 508,031 |
|
Schedule of Exchange Traded Written Options
|
| Expiration |
| Exercise |
| Contracts |
| Unrealized |
| ||
Exchange Traded Written Options on Futures |
|
|
|
|
|
|
|
|
| ||
Euro-Bund Call Option |
| 05/23/2014 |
| EUR | 145.00 |
| (502 | ) | $ | (66,738 | ) |
See accompanying Notes to Financial Statements.
Schedule of Open Futures Contracts
|
| Expiration |
| Contracts |
| Unrealized |
| |
3-Month Euro Euribor Interest Rate Future |
| March 2015 |
| 28 |
| $ | 8,553 |
|
3-Month Euro Euribor Interest Rate Future |
| June 2015 |
| 28 |
| 12,718 |
| |
3-Month Euro Euribor Interest Rate Future |
| September 2015 |
| 28 |
| 16,933 |
| |
3-Month Euro Euribor Interest Rate Future |
| December 2015 |
| 28 |
| 8,324 |
| |
90-Day Eurodollar Future |
| December 2014 |
| 325 |
| 51,092 |
| |
90-Day Eurodollar Future |
| March 2015 |
| 22 |
| 10,138 |
| |
90-Day Eurodollar Future |
| June 2015 |
| 818 |
| 80,200 |
| |
90-Day Eurodollar Future |
| September 2015 |
| 712 |
| 288,222 |
| |
90-Day Eurodollar Future |
| December 2015 |
| 1,734 |
| (362,825 | ) | |
90-Day Eurodollar Future |
| March 2016 |
| 560 |
| (146,183 | ) | |
90-Day Eurodollar Future |
| June 2016 |
| 117 |
| (45,955 | ) | |
90-Day Eurodollar Future |
| September 2016 |
| 96 |
| 28,624 |
| |
90-Day Eurodollar Future |
| December 2016 |
| 7 |
| (2,282 | ) | |
90-Day Eurodollar Future |
| March 2017 |
| 7 |
| (2,294 | ) | |
U.S. Treasury Note Future, 2-Year |
| June 2014 |
| 172 |
| 25,997 |
| |
U.S. Treasury Note Future, 5-Year |
| June 2014 |
| 1,676 |
| (654,129 | ) | |
U.S. Treasury Note Future, 10-Year |
| June 2014 |
| 595 |
| 191,246 |
| |
|
|
|
|
|
| $ | (491,621 | ) |
Schedule of Open Forward Foreign Currency Contracts
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
BRL/USD |
| 05/05/2014 |
| UBS |
| BRL | 1,363,941 |
| $ | 611,108 |
| $ | (2,175 | ) |
EUR/USD |
| 05/02/2014 |
| DUB |
| EUR | 10,104,000 |
| 14,017,758 |
| 105,308 |
| ||
EUR/USD |
| 05/02/2014 |
| DUB |
| EUR | 1,514,000 |
| 2,100,444 |
| 12,603 |
| ||
EUR/USD |
| 05/02/2014 |
| CSI |
| EUR | 771,000 |
| 1,069,645 |
| 12,821 |
| ||
EUR/USD |
| 05/02/2014 |
| BOA |
| EUR | 64,000,000 |
| 88,790,233 |
| 239,257 |
| ||
MXN/USD |
| 05/14/2014 |
| DUB |
| MXN | 49,507,850 |
| 3,780,411 |
| 80,411 |
| ||
MXN/USD |
| 08/25/2014 |
| GSC |
| MXN | 49,507,850 |
| 3,748,701 |
| (9,724 | ) | ||
USD/BRL |
| 05/05/2014 |
| GSC |
| BRL | (1,363,941 | ) | (611,107 | ) | 4,993 |
| ||
USD/BRL |
| 06/03/2014 |
| UBS |
| BRL | (1,363,941 | ) | (605,425 | ) | 2,825 |
| ||
USD/CAD |
| 06/19/2014 |
| CSI |
| CAD | (3,426,000 | ) | (3,122,101 | ) | (27,432 | ) | ||
USD/EUR |
| 06/02/2014 |
| CSI |
| EUR | (200,000 | ) | (277,449 | ) | (23,849 | ) | ||
USD/EUR |
| 08/01/2014 |
| BNP |
| EUR | (100,000 | ) | (138,710 | ) | (12,149 | ) | ||
USD/EUR |
| 05/02/2014 |
| UBS |
| EUR | (209,000 | ) | (289,956 | ) | (2,930 | ) | ||
USD/EUR |
| 05/02/2014 |
| BCL |
| EUR | (1,208,000 | ) | (1,675,916 | ) | (8,308 | ) | ||
USD/EUR |
| 05/02/2014 |
| BOA |
| EUR | (74,972,000 | ) | (104,012,209 | ) | (625,821 | ) | ||
USD/EUR |
| 06/03/2014 |
| BOA |
| EUR | (64,000,000 | ) | (88,783,582 | ) | (239,582 | ) | ||
USD/GBP |
| 06/12/2014 |
| GSC |
| GBP | (7,073,000 | ) | (11,938,204 | ) | (87,287 | ) | ||
USD/JPY |
| 05/13/2014 |
| BCL |
| JPY | (944,100,000 | ) | (9,235,244 | ) | 31,941 |
| ||
USD/MXN |
| 05/14/2014 |
| GSC |
| MXN | (49,507,850 | ) | (3,780,411 | ) | 8,213 |
| ||
|
|
|
|
|
|
|
|
| $ | (110,352,014 | ) | $ | (540,885 | ) |
Schedule of Interest Rate Swap Agreements
Counterparty |
| Floating Rate Index |
| Fund Paying |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
|
|
| |||||||
BOA |
| Brazil Interbank Deposit Rate |
| Paying |
| 8.86 | % | 01/02/2017 |
| BRL | 1,200,000 |
| $ | 939 |
| $ | (31,386 | ) |
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 9.13 | % | 01/02/2017 |
| BRL | 600,000 |
| 1,443 |
| (16,712 | ) | ||
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 9.10 | % | 01/02/2017 |
| BRL | 600,000 |
| — |
| (15,706 | ) | ||
MSS |
| Brazil Interbank Deposit Rate |
| Paying |
| 8.64 | % | 01/02/2017 |
| BRL | 600,000 |
| (690 | ) | (16,444 | ) | ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 9,000,000 |
| (8,360 | ) | 22,782 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 10,000,000 |
| (8,582 | ) | 24,605 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 41,000,000 |
| (4,918 | ) | 70,616 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 2,000,000 |
| (337 | ) | 3,542 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 4,000,000 |
| (631 | ) | 7,040 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 2,000,000 |
| (830 | ) | 4,034 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 2,000,000 |
| — |
| 3,205 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.00 | % | 09/13/2017 |
| MXN | 500,000 |
| (284 | ) | 468 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 600,000 |
| (1,722 | ) | (680 | ) | ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 6.00 | % | 06/05/2023 |
| MXN | 1,400,000 |
| (2,378 | ) | (1,198 | ) | ||
See accompanying Notes to Financial Statements.
Counterparty |
| Floating Rate Index |
| Fund Paying |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements (continued) |
|
|
|
|
|
|
|
|
|
| ||||||||
BNP |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 600,000 |
| $ | (770 | ) | $ | (1,632 | ) |
BOA |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 7,000,000 |
| 725 |
| 10,491 |
| ||
BOA |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 18,000,000 |
| (4,832 | ) | 26,291 |
| ||
BOA |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/02/2022 |
| MXN | 1,400,000 |
| (2,038 | ) | (4,291 | ) | ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 5,000,000 |
| (2,078 | ) | 8,039 |
| ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 700,000 |
| (1,279 | ) | (1,524 | ) | ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 06/11/2018 |
| MXN | 1,600,000 |
| (209 | ) | 2,031 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 06/11/2018 |
| MXN | 7,400,000 |
| (696 | ) | 9,124 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 5,000,000 |
| (1,451 | ) | 7,412 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 700,000 |
| (2,122 | ) | (681 | ) | ||
MSC |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 5,000,000 |
| (4,763 | ) | 12,775 |
| ||
MSC |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 3,000,000 |
| (689 | ) | 5,496 |
| ||
MSS |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/02/2022 |
| MXN | 3,100,000 |
| (4,742 | ) | (9,271 | ) | ||
|
|
|
|
|
|
|
|
|
|
|
| $ | (51,294 | ) | $ | 118,426 |
|
Counterparty |
| Floating Rate Index |
| Fund Paying / |
| Fixed Rate |
| Expiration |
| Notional |
| Unrealized |
| |
Centrally Cleared Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
| |||||
N/A |
| 3-Month LIBOR |
| Paying |
| 1.50 | % | 03/18/2016 |
| 99,700,000 |
| $ | 36,359 |
|
N/A |
| 3-Month LIBOR |
| Paying |
| 1.50 | % | 12/16/2016 |
| 10,900,000 |
| (10,961 | ) | |
N/A |
| 3-Month LIBOR |
| Paying |
| 3.00 | % | 09/21/2017 |
| 84,500,000 |
| 39,321 |
| |
N/A |
| 3-Month LIBOR |
| Receiving |
| 2.75 | % | 06/19/2043 |
| 36,700,000 |
| 2,742,700 |
| |
N/A |
| 3-Month LIBOR |
| Receiving |
| 3.50 | % | 12/18/2043 |
| 18,600,000 |
| (1,173,255 | ) | |
N/A |
| Federal Funds Effective Rate |
| Paying |
| 1.00 | % | 10/15/2017 |
| 61,600,000 |
| (618,405 | ) | |
|
|
|
|
|
|
|
|
|
|
|
| $ | 1,015,759 |
|
Schedule of Credit Default Swap Agreements
Counterparty |
| Reference Obligation |
| Implied |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums |
| Unrealized |
| ||||
Over the Counter Credit Default Swap Agreements |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
DUB |
| Berkshire Hathaway Inc., 1.90%, 01/31/2017 |
| 0.21 | % | 1.00 | % | 09/20/2016 |
| $ | (400,000 | ) | $ | 7,639 |
| $ | 6,276 |
| $ | 1,830 |
|
GSI |
| Canadian Natural Resources, 6.25%, 03/15/2038 |
| 0.07 | % | 1.00 | % | 09/20/2015 |
| (100,000 | ) | 1,300 |
| (1,267 | ) | 2,680 |
| ||||
DUB |
| Federated Republic of Brazil, 12.25%, 03/06/2030 |
| 0.78 | % | 1.00 | % | 12/20/2016 |
| (2,500,000 | ) | 14,208 |
| (61,004 | ) | 78,129 |
| ||||
BBP |
| General Electric Capital Corp., 5.63%, 09/15/2017 |
| 0.32 | % | 1.00 | % | 09/20/2016 |
| (800,000 | ) | 13,058 |
| 8,897 |
| 5,095 |
| ||||
DUB |
| JPMorgan Chase & Co., 4.75%, 03/01/2015 |
| 0.30 | % | 1.00 | % | 09/20/2016 |
| (800,000 | ) | 13,414 |
| 10,355 |
| 3,992 |
| ||||
BBP |
| People’s Republic of China, 4.75%, 10/29/2013 |
| 0.36 | % | 1.00 | % | 09/20/2016 |
| (13,900,000 | ) | 213,844 |
| 200,835 |
| 29,225 |
| ||||
BBP |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 1.12 | % | 1.00 | % | 09/20/2017 |
| (2,000,000 | ) | (7,662 | ) | (71,603 | ) | 66,274 |
| ||||
CSI |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 1.12 | % | 1.00 | % | 09/20/2017 |
| (700,000 | ) | (2,682 | ) | (24,736 | ) | 22,871 |
| ||||
DUB |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.79 | % | 1.00 | % | 09/20/2016 |
| (1,200,000 | ) | 6,040 |
| (54,711 | ) | 62,151 |
| ||||
DUB |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 1.01 | % | 1.00 | % | 06/20/2017 |
| (400,000 | ) | (64 | ) | (11,723 | ) | 12,125 |
| ||||
MSS |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 1.01 | % | 1.00 | % | 06/20/2017 |
| (1,700,000 | ) | (274 | ) | (50,621 | ) | 52,330 |
| ||||
BOA |
| Rio Tinto Finance USA Ltd., 6.50%, 07/15/2018 |
| 0.27 | % | 1.00 | % | 09/20/2015 |
| (200,000 | ) | 2,050 |
| (3,802 | ) | 6,080 |
| ||||
BOA |
| Russian Federation, 7.50%, 03/31/2030 |
| 2.56 | % | 1.00 | % | 03/20/2019 |
| (3,600,000 | ) | (250,917 | ) | (264,312 | ) | 17,596 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.81 | % | 1.00 | % | 06/20/2017 |
| (1,000,000 | ) | 5,969 |
| 3,775 |
| 3,361 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.14 | % | 1.00 | % | 06/20/2019 |
| (10,300,000 | ) | (69,515 | ) | (184,928 | ) | 127,429 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.14 | % | 1.00 | % | 06/20/2019 |
| (300,000 | ) | (2,025 | ) | (1,895 | ) | 221 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.14 | % | 1.00 | % | 06/20/2019 |
| (200,000 | ) | (1,350 | ) | (1,360 | ) | 244 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.11 | % | 1.00 | % | 03/20/2019 |
| (18,000,000 | ) | (89,229 | ) | (294,005 | ) | 225,776 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.14 | % | 1.00 | % | 06/20/2019 |
| (3,500,000 | ) | (23,622 | ) | (64,510 | ) | 44,972 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.14 | % | 1.00 | % | 06/20/2019 |
| (200,000 | ) | (1,350 | ) | (1,454 | ) | 337 |
| ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.11 | % | 1.00 | % | 03/20/2019 |
| (4,500,000 | ) | (22,307 | ) | (74,536 | ) | 57,479 |
| ||||
BOA |
| Time Warner Cable Inc., 5.85%, 05/01/2017 |
| 0.12 | % | 1.00 | % | 12/20/2015 |
| (100,000 | ) | 1,457 |
| (2,770 | ) | 4,341 |
| ||||
BNP |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.52 | % | 1.00 | % | 09/20/2017 |
| (100,000 | ) | 1,626 |
| (2,208 | ) | 3,950 |
| ||||
BOA |
| United Mexican States, 7.50%, 04/08/2033 |
| 0.26 | % | 1.00 | % | 09/20/2015 |
| (300,000 | ) | 3,119 |
| 2,090 |
| 1,379 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.41 | % | 1.00 | % | 12/20/2016 |
| (1,500,000 | ) | 23,235 |
| (35,999 | ) | 60,983 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.47 | % | 1.00 | % | 06/20/2017 |
| (1,500,000 | ) | 24,981 |
| (18,251 | ) | 44,981 |
| ||||
|
|
|
|
|
|
|
|
|
| $ | (69,800,000 | ) | $ | (139,057 | ) | $ | (993,467 | ) | $ | 935,831 |
|
See accompanying Notes to Financial Statements.
Counterparty |
| Reference Obligation |
| Implied |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value(4) |
| Unrealized |
| |||
Centrally Cleared Credit Default Swap Agreements |
|
|
|
|
|
|
|
|
|
|
| |||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
|
|
| |||||||
N/A |
| CDX.NA.IG-22 |
| N/A |
| 1.00 | % | 06/20/2019 |
| $ | (2,300,000 | ) | $ | 40,411 |
| $ | 3,806 |
|
N/A |
| iTraxx Europe Series 21 |
| N/A |
| 1.00 | % | 06/20/2019 |
| (4,647,614 | ) | 68,497 |
| 23,287 |
| |||
|
|
|
|
|
|
|
|
|
| $ | (6,947,614 | ) | $ | 108,908 |
| $ | 27,093 |
|
(1)Notional amount is stated in USD unless otherwise noted.
(2)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 either (i) pay the buyer of protection an amount equal to the notional amount of the referenced obligation and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap agreement less the recovery value of the reference obligation or underlying securities comprising the referenced index.
(3)Implied credit spreads, represented in absolute terms, utilized in determining the value of credit default swap agreements on corporate issues and sovereign issues serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the applicable agreement.
(4)The prices and resulting values for credit default swap agreements on credit indices 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 market 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.
(5)The maximum potential amount the Fund could be required to pay as a seller of credit protection if a credit event occurs is limited to the total notional amount which is defined under the terms of each swap agreement.
(6)If the Fund is a seller of protection, the Fund receives the fixed rate.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Schedules of Investments
April 30, 2014
Curian/WMC International Equity Fund
Portfolio Composition: |
| Percentage of Total |
|
Financials |
| 18.8 | % |
Health Care |
| 14.3 |
|
Industrials |
| 11.9 |
|
Consumer Discretionary |
| 9.5 |
|
Information Technology |
| 8.7 |
|
Energy |
| 8.0 |
|
Materials |
| 6.6 |
|
Consumer Staples |
| 6.6 |
|
Telecommunication Services |
| 3.9 |
|
Utilities |
| 2.0 |
|
Investment Companies |
| 1.2 |
|
Short Term Investments |
| 8.5 |
|
Total Investments |
| 100.0 | % |
|
| Shares/Par † |
| Value |
| |
COMMON STOCKS - 93.2% |
|
|
|
|
| |
|
|
|
|
|
| |
AUSTRIA - 0.1% |
|
|
|
|
| |
Erste Group Bank AG |
| 20,478 |
| $ | 688,559 |
|
|
|
|
|
|
| |
BELGIUM - 3.7% |
|
|
|
|
| |
Anheuser-Busch InBev NV (a) |
| 113,915 |
| 12,416,244 |
| |
Umicore SA (a) |
| 76,023 |
| 3,726,546 |
| |
|
|
|
| 16,142,790 |
| |
BRAZIL - 0.1% |
|
|
|
|
| |
Mills Estruturas e Servicos de Engenharia SA |
| 28,800 |
| 362,301 |
| |
|
|
|
|
|
| |
CANADA - 4.6% |
|
|
|
|
| |
Air Canada (b) |
| 325,300 |
| 2,270,467 |
| |
Cameco Corp. |
| 165,790 |
| 3,529,669 |
| |
Canadian National Railway Co. (a) |
| 68,500 |
| 4,012,317 |
| |
Imperial Oil Ltd. |
| 76,000 |
| 3,711,071 |
| |
Tim Hortons Inc. |
| 119,950 |
| 6,579,439 |
| |
|
|
|
| 20,102,963 |
| |
CHINA - 2.9% |
|
|
|
|
| |
58.Com Inc. - ADR - Class A (a) |
| 28,500 |
| 1,133,730 |
| |
Baidu.com Inc. - ADR - Class A (b) |
| 15,500 |
| 2,384,675 |
| |
ENN Energy Holdings Ltd. |
| 382,000 |
| 2,671,828 |
| |
Lenovo Group Ltd. (a) |
| 2,716,000 |
| 3,095,029 |
| |
PetroChina Co. Ltd. - Class H |
| 3,021,150 |
| 3,485,728 |
| |
|
|
|
| 12,770,990 |
| |
COLOMBIA - 0.1% |
|
|
|
|
| |
Avianca Holdings SA - ADR |
| 40,600 |
| 672,742 |
| |
|
|
|
|
|
| |
FINLAND - 0.6% |
|
|
|
|
| |
Kone Oyj - Class B (a) |
| 58,370 |
| 2,502,053 |
| |
|
|
|
|
|
| |
FRANCE - 13.1% |
|
|
|
|
| |
Accor SA |
| 6,217 |
| 304,381 |
| |
Air Liquide SA |
| 75,667 |
| 10,825,477 |
| |
AtoS |
| 49,804 |
| 4,302,664 |
| |
AXA SA (a) |
| 44,689 |
| 1,166,203 |
| |
BNP Paribas SA |
| 80,029 |
| 6,013,730 |
| |
Cap Gemini SA |
| 26,407 |
| 1,865,749 |
| |
Essilor International SA |
| 46,635 |
| 4,994,014 |
| |
Groupe Eurotunnel SA |
| 66,451 |
| 892,091 |
| |
Orange SA |
| 184,801 |
| 2,994,010 |
| |
Peugeot SA (a) (b) |
| 46,631 |
| 825,040 |
| |
Rexel SA |
| 263,162 |
| 6,644,768 |
| |
Schneider Electric SA |
| 95,277 |
| 8,943,734 |
| |
Societe Generale SA |
| 70,856 |
| 4,412,709 |
| |
Technip SA (a) |
| 3,237 |
| 364,352 |
| |
Unibail-Rodamco SE |
| 11,852 |
| 3,202,932 |
| |
|
|
|
| 57,751,854 |
| |
GERMANY - 3.3% |
|
|
|
|
| |
Brenntag AG |
| 13,922 |
| 2,521,974 |
| |
Continental AG (a) |
| 11,074 |
| 2,605,760 |
| |
Deutsche Lufthansa AG (a) |
| 201,285 |
| 5,054,828 |
| |
Lanxess AG |
| 31,606 |
| 2,406,839 |
| |
ProSiebenSat.1 Media AG |
| 47,736 |
| 2,089,300 |
| |
|
|
|
| 14,678,701 |
| |
GREECE - 0.4% |
|
|
|
|
| |
Alpha Bank AE (b) |
| 1,774,517 |
| 1,718,883 |
| |
|
|
|
|
|
| |
INDIA - 0.3% |
|
|
|
|
| |
ITC Ltd. |
| 170,149 |
| 961,985 |
| |
United Spirits Ltd. - GDR |
| 18,437 |
| 424,048 |
| |
|
|
|
| 1,386,033 |
| |
IRELAND - 3.3% |
|
|
|
|
| |
Covidien Plc |
| 39,200 |
| 2,793,000 |
| |
CRH Plc |
| 323,838 |
| 9,440,751 |
| |
Experian Plc |
| 127,536 |
| 2,452,120 |
| |
|
|
|
| 14,685,871 |
| |
ITALY - 4.7% |
|
|
|
|
| |
Assicurazioni Generali SpA |
| 388,368 |
| 9,080,536 |
| |
Banca Generali SpA |
| 83,868 |
| 2,639,934 |
| |
Intesa Sanpaolo SpA |
| 715,903 |
| 2,449,838 |
| |
Snam SpA |
| 1,125,903 |
| 6,772,236 |
| |
|
|
|
| 20,942,544 |
| |
JAPAN - 20.7% |
|
|
|
|
| |
AEON Co. Ltd. (a) |
| 147,100 |
| 1,698,951 |
| |
Aeon Mall Co. Ltd. |
| 32,600 |
| 777,244 |
| |
Aisin Seiki Co. Ltd. |
| 73,600 |
| 2,600,978 |
| |
Asahi Group Holdings Ltd. |
| 152,500 |
| 4,214,000 |
| |
Bank of Yokohama Ltd. |
| 228,000 |
| 1,145,950 |
| |
Daito Trust Construction Co. Ltd. |
| 42,200 |
| 4,294,309 |
| |
Daiwa House Industry Co. Ltd. |
| 129,000 |
| 2,179,549 |
| |
Dentsu Inc. |
| 82,400 |
| 3,379,446 |
| |
Eisai Co. Ltd. (a) |
| 55,000 |
| 2,124,049 |
| |
Isuzu Motors Ltd. (a) |
| 782,000 |
| 4,541,506 |
| |
Japan Exchange Group Inc. (a) |
| 67,200 |
| 1,329,613 |
| |
Japan Tobacco Inc. |
| 14,550 |
| 478,238 |
| |
KDDI Corp. |
| 92,650 |
| 4,941,182 |
| |
M3 Inc. |
| 187,100 |
| 2,566,743 |
| |
Mitsubishi Electric Corp. |
| 531,200 |
| 6,048,686 |
| |
Mitsubishi UFJ Financial Group Inc. |
| 895,190 |
| 4,761,961 |
| |
Nippon Telegraph & Telephone Corp. |
| 96,800 |
| 5,371,701 |
| |
Nomura Holdings Inc. |
| 137,800 |
| 797,982 |
| |
Nomura Research Institute Ltd. |
| 75,500 |
| 2,189,296 |
| |
Olympus Corp. (b) |
| 95,900 |
| 2,929,217 |
| |
Ono Pharmaceutical Co. Ltd. (a) |
| 52,300 |
| 4,148,107 |
| |
ORIX Corp. |
| 323,700 |
| 4,690,363 |
| |
Rakuten Inc. |
| 311,200 |
| 4,038,014 |
| |
Rohm Co. Ltd. |
| 99,700 |
| 4,767,844 |
| |
Seven & I Holdings Co. Ltd. |
| 86,800 |
| 3,424,803 |
| |
T&D Holdings Inc. |
| 326,120 |
| 3,892,665 |
| |
Takeda Pharmaceutical Co. Ltd. |
| 51,600 |
| 2,320,975 |
| |
THK Co. Ltd. |
| 40,800 |
| 862,369 |
| |
Tokio Marine Holdings Inc. |
| 70,700 |
| 2,083,242 |
| |
Toshiba Corp. (a) |
| 698,000 |
| 2,733,972 |
| |
|
|
|
| 91,332,955 |
| |
MACAU - 0.3% |
|
|
|
|
| |
MGM China Holdings Ltd. |
| 433,360 |
| 1,514,240 |
| |
|
|
|
|
|
| |
MARSHALL ISLANDS - 0.1% |
|
|
|
|
| |
Tanker Investments Ltd. (b) |
| 47,865 |
| 561,645 |
| |
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| ||
MEXICO - 1.1% |
|
|
|
|
| ||
Cemex SAB de CV - ADR (a) (b) |
| 343,315 |
| 4,339,507 |
| ||
Fibra Uno Administracion SA de CV |
| 216,900 |
| 711,077 |
| ||
|
|
|
| 5,050,584 |
| ||
NETHERLANDS - 3.0% |
|
|
|
|
| ||
ING Groep NV - CVA (b) |
| 255,363 |
| 3,650,373 |
| ||
Koninklijke KPN NV |
| 1,299,941 |
| 4,618,516 |
| ||
NXP Semiconductors NV (b) |
| 81,458 |
| 4,856,526 |
| ||
|
|
|
| 13,125,415 |
| ||
PANAMA - 0.3% |
|
|
|
|
| ||
Copa Holdings SA - Class A |
| 9,200 |
| 1,244,576 |
| ||
|
|
|
|
|
| ||
PORTUGAL - 0.6% |
|
|
|
|
| ||
Galp Energia SGPS SA |
| 152,850 |
| 2,649,196 |
| ||
|
|
|
|
|
| ||
SOUTH KOREA - 1.0% |
|
|
|
|
| ||
SK Hynix Inc. (b) |
| 115,060 |
| 4,486,590 |
| ||
|
|
|
|
|
| ||
SWEDEN - 1.4% |
|
|
|
|
| ||
Assa Abloy AB - Class B |
| 114,177 |
| 6,059,899 |
| ||
|
|
|
|
|
| ||
SWITZERLAND - 10.3% |
|
|
|
|
| ||
Cie Financiere Richemont SA |
| 18,261 |
| 1,857,875 |
| ||
Julius Baer Group Ltd. |
| 208,166 |
| 9,750,586 |
| ||
Novartis AG |
| 162,271 |
| 14,106,636 |
| ||
Roche Holding AG |
| 42,593 |
| 12,494,499 |
| ||
UBS AG |
| 339,500 |
| 7,100,262 |
| ||
|
|
|
| 45,309,858 |
| ||
TAIWAN - 1.9% |
|
|
|
|
| ||
Taiwan Semiconductor Manufacturing Co. Ltd. |
| 2,127,000 |
| 8,357,744 |
| ||
|
|
|
|
|
| ||
UNITED ARAB EMIRATES - 0.6% |
|
|
|
|
| ||
Al Noor Hospitals Group Plc |
| 69,922 |
| 1,178,196 |
| ||
NMC Health Plc |
| 189,018 |
| 1,404,199 |
| ||
|
|
|
| 2,582,395 |
| ||
UNITED KINGDOM - 14.7% |
|
|
|
|
| ||
AstraZeneca Plc |
| 191,208 |
| 15,092,862 |
| ||
Barclays Plc |
| 385,716 |
| 1,647,017 |
| ||
BG Group Plc |
| 530,438 |
| 10,730,349 |
| ||
BP Plc |
| 1,405,186 |
| 11,864,088 |
| ||
British Sky Broadcasting Group Plc |
| 270,713 |
| 4,022,210 |
| ||
Derwent London Plc |
| 19,335 |
| 889,454 |
| ||
Diageo Plc |
| 218,106 |
| 6,682,691 |
| ||
Direct Line Insurance Group Plc |
| 433,700 |
| 1,834,792 |
| ||
Great Portland Estates Plc |
| 84,287 |
| 893,677 |
| ||
Kingfisher Plc |
| 525,787 |
| 3,720,652 |
| ||
Rolls-Royce Holdings Plc |
| 239,024 |
| 4,245,640 |
| ||
Schroders Plc |
| 70,974 |
| 3,069,323 |
| ||
|
|
|
| 64,692,755 |
| ||
Total Common Stocks (cost $356,529,623) |
|
|
| 411,374,136 |
| ||
|
|
|
|
|
| ||
PREFERRED STOCKS - 1.3% |
|
|
|
|
| ||
|
|
|
|
|
| ||
GERMANY - 1.3% |
|
|
|
|
| ||
Volkswagen AG |
| 21,184 |
| 5,726,561 |
| ||
|
|
|
|
|
| ||
Total Preferred Stocks (cost $4,989,717) |
|
|
| 5,726,561 |
| ||
|
|
|
|
|
| ||
WARRANTS - 0.0% |
|
|
|
|
| ||
Peugeot SA (b) |
| 46,631 |
| 89,212 |
| ||
|
|
|
|
|
| ||
Total Warrants (cost $0) |
|
|
| 89,212 |
| ||
|
|
|
|
|
| ||
INVESTMENT COMPANIES - 1.2% |
|
|
|
|
| ||
iShares MSCI EAFE ETF |
| 78,400 |
| 5,356,288 |
| ||
|
|
|
|
|
| ||
Total Investment Companies (cost $5,078,002) |
|
|
| 5,356,288 |
| ||
|
|
|
|
|
| ||
SHORT TERM INVESTMENTS - 9.0% |
|
|
|
|
| ||
|
|
|
|
|
| ||
Securities Lending Collateral - 9.0% |
|
|
|
|
| ||
BlackRock Liquidity Funds TempFund Portfolio, 0.10% (c) |
| 300,000 |
| 300,000 |
| ||
Fidelity Institutional Money Market Portfolio, 0.08% (c) |
| 500,000 |
| 500,000 |
| ||
Repurchase Agreement with CSI, 0.03% (Collateralized by $97,049,385 U.S. Treasury Bond Strip, due 11/15/37-11/15/39, value $39,473,572) acquired on 04/30/14, due 05/01/14 at $38,699,394 |
| $ | 38,699,362 |
| 38,699,362 |
| |
|
|
|
|
|
| ||
Total Short Term Investments (cost $39,499,362) |
|
|
| 39,499,362 |
| ||
|
|
|
|
|
| ||
Total Investments - 104.7% (cost $406,096,704) |
|
|
| 462,045,559 |
| ||
Other Assets and Liabilities, Net - (4.7%) |
|
|
| (20,861,235 | ) | ||
Total Net Assets - 100.0% |
|
|
| $ | 441,184,324 |
| |
(a) All or portion of the security was on loan.
(b) Non-income producing security.
(c) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of April 30, 2014.
See accompanying Notes to Financial Statements.
Currencies:
AUD - Australian Dollar | GBP - British Pound | RUB - Russian Ruble |
BRL - Brazilian Real | JPY - Japanese Yen | USD - United States Dollar |
CAD - Canadian Dollar | MXN - Mexican Peso | ZAR - South African Rand |
EUR - European Currency Unit (Euro) |
|
|
Abbreviations:
ABS - Asset Backed Securities | GO - General Obligation |
ADR - American Depository Receipt | iTraxx - group of international credit derivative indexes |
CDO - Collateralized Debt Obligation | monitored by the International Index Company |
CDX.NA.IG - Credit Derivatives Index - North American - | LIBOR - London Interbank Offered Rate |
Investment Grade | MBS - Mortgage Backed Securities |
CLO - Collateralized Loan Obligation | MSCI – Morgan Stanley Capital International |
CPURNSA – Consumer Price All Urban Non-Seasonally | NYSE – New York Stock Exchange |
Adjusted Index | OJSC - Open Joint Stock Company |
EAFE – Europe, Asia, and Far East | OTC – Over the Counter |
ETF - Exchange Traded Fund | RB - Revenue Bond |
Euribor - Europe Interbank Offered Rate | REMIC - Real Estate Mortgage Investment Conduit |
Euro-Bund - debt instrument issued by the Federal Republic | TBA - To Be Announced (Securities purchased on a |
of Germany with a term of 8.5 to 10.5 years | delayed delivery basis) |
GDR - Global Depository Receipt |
|
Counterparty Abbreviations:
BBP - Barclays Bank Plc | GSC - Goldman Sachs & Co. |
BCL - Barclays Capital Inc. | GSI - Goldman Sachs International |
BNP - BNP Paribas Securities | JPM - J.P. Morgan Securities LLC |
BOA - Banc of America Securities LLC/Bank of America NA | MLP - Merrill Lynch Professional Clearing Corp. |
CIT - Citibank, Inc. | MSC - Morgan Stanley & Co., Incorporated |
CSI - Credit Suisse Securities, LLC | MSS - Morgan Stanley Capital Services Inc. |
DUB - Deutsche Bank Alex Brown Inc. | RBS - Royal Bank of Scotland |
GSB - Goldman Sachs Bank USA | UBS - UBS Securities LLC |
† For funds with fixed income securities, par amounts are listed in United States Dollars unless otherwise noted. Options are quoted in unrounded number of contracts.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Statements of Assets and Liabilities
April 30, 2014
|
| Curian/PIMCO |
| Curian/PIMCO Total |
| Curian/WMC International |
| |||
Assets |
|
|
|
|
|
|
| |||
Investments, at value (a) (b) |
| $ | 548,502,517 |
| $ | 1,056,604,966 |
| $ | 423,346,197 |
|
Repurchase agreements (a) |
| 6,971,693 |
| 168,631,500 |
| 38,699,362 |
| |||
Total investments, at value (a) |
| 555,474,210 |
| 1,225,236,466 |
| 462,045,559 |
| |||
Cash |
| 326,186 |
| 3,318,071 |
| 13,981,316 |
| |||
Foreign currency (c) |
| 644,944 |
| 1,536,729 |
| 209,772 |
| |||
Receivable for investments securities sold |
| 27,903,963 |
| 362,760,308 |
| 6,868,507 |
| |||
Receivable for fund shares sold |
| 307,191 |
| 1,632,464 |
| 1,387,629 |
| |||
Receivable from adviser |
| 69,099 |
| 170,777 |
| 52,740 |
| |||
Receivable for dividends and interest |
| 5,667,538 |
| 5,416,901 |
| 1,664,021 |
| |||
Receivable for variation margin on financial derivative instruments |
| 50,351 |
| 1,318,817 |
| — |
| |||
Receivable for deposits with counterparties |
| 359,075 |
| 968,298 |
| — |
| |||
Unrealized appreciation on forward foreign currency contracts |
| 375,989 |
| 498,372 |
| — |
| |||
Unrealized appreciation on OTC swap agreements |
| 2,050,204 |
| 1,153,782 |
| — |
| |||
OTC swap premiums paid |
| 855,898 |
| 235,336 |
| — |
| |||
Other assets |
| 8,372 |
| 13,727 |
| 4,136 |
| |||
Total assets |
| 594,093,020 |
| 1,604,260,048 |
| 486,213,680 |
| |||
Liabilities |
|
|
|
|
|
|
| |||
Payable for reverse repurchase agreements |
| — |
| 19,925,000 |
| — |
| |||
Payable for advisory fees |
| 61,048 |
| 132,096 |
| 52,740 |
| |||
Payable for sub-advisory fees |
| 101,741 |
| 201,667 |
| 150,828 |
| |||
Payable for administrative fees |
| 244,190 |
| 528,386 |
| 298,861 |
| |||
Payable for investment securities purchased |
| 33,323,876 |
| 498,311,706 |
| 4,622,900 |
| |||
Payable for treasury roll transactions |
| 44,500,641 |
| — |
| — |
| |||
Payable for fund shares redeemed |
| 672,077 |
| 1,891,513 |
| 380,752 |
| |||
Payable for dividends |
| 1,100,023 |
| 700,026 |
| — |
| |||
Payable for trustee fees |
| 36,747 |
| 63,711 |
| 16,741 |
| |||
Payable for variation margin on financial derivative instruments |
| 15,755 |
| 340,584 |
| — |
| |||
Payable for deposits from counterparties |
| 1,636,075 |
| 1,404,298 |
| — |
| |||
Payable for other expenses |
| 47,818 |
| 23,948 |
| 7,172 |
| |||
Options written, at value (d) |
| 767,524 |
| 152,834 |
| — |
| |||
Unrealized depreciation on forward foreign currency contracts |
| 324,179 |
| 1,039,257 |
| — |
| |||
Unrealized depreciation on OTC swap agreements |
| 2,478,664 |
| 99,525 |
| — |
| |||
OTC swap premiums received |
| 1,425,513 |
| 1,280,097 |
| — |
| |||
Payable upon return of securities loaned |
| 15,971,693 |
| 331,500 |
| 39,499,362 |
| |||
Total liabilities |
| 102,707,564 |
| 526,426,148 |
| 45,029,356 |
| |||
Net assets |
| $ | 491,385,456 |
| $ | 1,077,833,900 |
| $ | 441,184,324 |
|
Net assets consist of: |
|
|
|
|
|
|
| |||
Paid-in capital |
| $ | 486,835,445 |
| $ | 1,063,161,204 |
| $ | 369,559,866 |
|
Undistributed net investment income |
| 243,277 |
| 2,721,659 |
| 43,232 |
| |||
Accumulated net realized gain (loss) |
| (5,992,697 | ) | (4,040,363 | ) | 15,597,417 |
| |||
Net unrealized appreciation on investments and foreign currency |
| 10,299,431 |
| 15,991,400 |
| 55,983,809 |
| |||
|
| $ | 491,385,456 |
| $ | 1,077,833,900 |
| $ | 441,184,324 |
|
Shares outstanding (no par value), unlimited shares authorized |
| 46,689,297 |
| 105,878,711 |
| 34,543,716 |
| |||
Net asset value per share, offering and redemption price per share |
| $ | 10.52 |
| $ | 10.18 |
| $ | 12.77 |
|
(a) Investments, at cost |
| $ | 544,903,344 |
| $ | 1,211,057,880 |
| $ | 406,096,704 |
|
(b) Including value of securities on loan |
| 15,655,718 |
| 324,744 |
| 37,305,970 |
| |||
(c) Foreign currency, at cost |
| 641,319 |
| 1,529,004 |
| 200,575 |
| |||
(d) Premiums from options written |
| 1,049,043 |
| 508,031 |
| — |
|
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Statements of Operations
For the Period Ended April 30, 2014
|
| Curian/PIMCO |
| Curian/PIMCO Total |
| Curian/WMC International |
| |||
Investment income |
|
|
|
|
|
|
| |||
Dividends |
| $ | 186,777 |
| $ | 120,000 |
| $ | 3,712,502 |
|
Foreign taxes withheld |
| (9,775 | ) | (1,893 | ) | (334,335 | ) | |||
Interest |
| 9,135,331 |
| 9,516,706 |
| 34 |
| |||
Securities lending |
| 38,485 |
| 2,019 |
| 46,248 |
| |||
Other income (a) |
| 128 |
| 302 |
| 1,392 |
| |||
Total investment income |
| 9,350,946 |
| 9,637,134 |
| 3,425,841 |
| |||
|
|
|
|
|
|
|
| |||
Expenses |
|
|
|
|
|
|
| |||
Advisory fees |
| 377,887 |
| 767,614 |
| 296,681 |
| |||
Sub-advisory fees |
| 629,809 |
| 1,172,170 |
| 853,135 |
| |||
Administrative fees |
| 1,511,548 |
| 3,070,456 |
| 1,681,190 |
| |||
Chief compliance officer fees |
| 15,089 |
| 27,122 |
| 9,104 |
| |||
Legal fees |
| 20,846 |
| 37,763 |
| 12,775 |
| |||
Trustee fees |
| 21,683 |
| 40,330 |
| 14,072 |
| |||
Interest expense |
| 17,623 |
| 1,167 |
| — |
| |||
Other expenses |
| 15,135 |
| 18,484 |
| 10,443 |
| |||
Total expenses |
| 2,609,620 |
| 5,135,106 |
| 2,877,400 |
| |||
Expense waived by Adviser |
| (451,319 | ) | (1,039,870 | ) | (278,339 | ) | |||
Net expenses |
| 2,158,301 |
| 4,095,236 |
| 2,599,061 |
| |||
Net investment income |
| 7,192,645 |
| 5,541,898 |
| 826,780 |
| |||
|
|
|
|
|
|
|
| |||
Realized and unrealized gain (loss) |
|
|
|
|
|
|
| |||
Net realized gain (loss) on: |
|
|
|
|
|
|
| |||
Investments |
| 758,949 |
| 2,038,412 |
| 16,594,299 |
| |||
Swap agreements |
| 569,818 |
| (887,536 | ) | — |
| |||
Foreign currency related items |
| (1,108,105 | ) | (3,608,461 | ) | (76,015 | ) | |||
Futures contracts |
| 167,015 |
| 3,711,462 |
| — |
| |||
Written option contracts |
| 590,033 |
| 1,291,209 |
| — |
| |||
Brokerage commissions recaptured |
| — |
| — |
| 5,039 |
| |||
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
| |||
Investments |
| 6,864,796 |
| 5,434,994 |
| (934,960 | ) | |||
OTC Swap agreements |
| 791,536 |
| 736,197 |
| — |
| |||
Foreign currency related items |
| 325,115 |
| 2,078,554 |
| 24,931 |
| |||
Futures contracts and centrally cleared swap agreements |
| (918,648 | ) | (5,417,521 | ) | — |
| |||
Written option contracts |
| 392,522 |
| (208,948 | ) | — |
| |||
Net realized and unrealized gain |
| 8,433,031 |
| 5,168,362 |
| 15,613,294 |
| |||
Net increase in net assets from operations |
| $ | 15,625,676 |
| $ | 10,710,260 |
| $ | 16,440,074 |
|
(a) Income from affiliated investments |
| $ | 128 |
| $ | 302 |
| $ | 1,392 |
|
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Statements of Changes in Net Assets
For the Period Ended April 30, 2014
|
|
| Curian/PIMCO |
| Curian/PIMCO Total |
| Curian/WMC International |
| |||
| Operations |
|
|
|
|
|
|
| |||
| Net investment income |
| $ | 7,192,645 |
| $ | 5,541,898 |
| $ | 826,780 |
|
| Net realized gain |
| 977,710 |
| 2,545,086 |
| 16,523,323 |
| |||
| Net change in unrealized appreciation (depreciation) |
| 7,455,321 |
| 2,623,276 |
| (910,029 | ) | |||
| Net increase in net assets from operations |
| 15,625,676 |
| 10,710,260 |
| 16,440,074 |
| |||
| Distributions to shareholders |
|
|
|
|
|
|
| |||
| From net investment income |
| (6,200,196 | ) | (4,570,348 | ) | (4,560,717 | ) | |||
| From net realized gains |
| — |
| — |
| (20,479,552 | ) | |||
| Total distributions to shareholders |
| (6,200,196 | ) | (4,570,348 | ) | (25,040,269 | ) | |||
| Share transactions(1) |
|
|
|
|
|
|
| |||
| Proceeds from the sale of shares |
| 67,223,703 |
| 220,850,524 |
| 113,402,020 |
| |||
| Cost of shares redeemed |
| (123,628,105 | ) | (133,461,382 | ) | (31,356,857 | ) | |||
| Change in net assets from share transactions |
| (56,404,402 | ) | 87,389,142 |
| 82,045,163 |
| |||
| Change in net assets |
| (46,978,922 | ) | 93,529,054 |
| 73,444,968 |
| |||
| Net assets beginning of period |
| 538,364,378 |
| 984,304,846 |
| 367,739,356 |
| |||
| Net assets end of period |
| $ | 491,385,456 |
| $ | 1,077,833,900 |
| $ | 441,184,324 |
|
| Undistributed net investment income |
| $ | 243,277 |
| $ | 2,721,659 |
| $ | 43,232 |
|
(1) | Share transactions |
|
|
|
|
|
|
| |||
| Shares sold |
| 6,495,475 |
| 21,826,235 |
| 8,927,852 |
| |||
| Shares redeemed |
| (11,949,911 | ) | (13,183,058 | ) | (2,469,308 | ) | |||
| Change in shares |
| (5,454,436 | ) | 8,643,177 |
| 6,458,544 |
| |||
| Purchase and sales of investment securities (excluding short-term securities): |
|
|
|
|
|
|
| |||
| Purchase of securities |
| $ | 884,539,229 | (a) | $ | 2,768,049,824 | (b) | $ | 239,234,259 |
|
| Proceeds from sales of securities |
| 908,134,832 | (a) | 2,656,651,763 | (b) | 183,400,254 |
| |||
(a) Amounts include $186,612,942 and $174,461,718 of purchases and sales, respectively, of U.S. Government Securities.
(b) Amounts include $2,361,246,433 and $2,377,252,737 of purchases and sales, respectively, of U.S. Government Securities.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Statements of Changes in Net Assets
For the Year Ended October 31, 2013
|
| Curian/PIMCO |
| Curian/PIMCO Total |
| Curian/WMC International |
| ||||
| Operations |
|
|
|
|
|
|
| |||
| Net investment income |
| $ | 18,664,310 |
| $ | 14,410,169 |
| $ | 4,325,353 |
|
| Net realized gain (loss) |
| (2,328,599 | ) | 627,002 |
| 21,035,971 |
| |||
| Net change in unrealized appreciation (depreciation) |
| (27,270,649 | ) | (20,776,669 | ) | 35,403,341 |
| |||
| Net increase (decrease) in net assets from operations |
| (10,934,938 | ) | (5,739,498 | ) | 60,764,665 |
| |||
| Distributions to shareholders |
|
|
|
|
|
|
| |||
| From net investment income |
| (22,560,063 | ) | (17,559,007 | ) | (3,704,040 | ) | |||
| From net realized gains |
| (10,277,902 | ) | (29,908,755 | ) | (1,917,321 | ) | |||
| Total distributions to shareholders |
| (32,837,965 | ) | (47,467,762 | ) | (5,621,361 | ) | |||
| Share transactions(1) |
|
|
|
|
|
|
| |||
| Proceeds from the sale of shares |
| 413,033,813 |
| 489,775,966 |
| 134,516,055 |
| |||
| Cost of shares redeemed |
| (449,936,895 | ) | (507,260,022 | ) | (76,117,677 | ) | |||
| Change in net assets from share transactions |
| (36,903,082 | ) | (17,484,056 | ) | 58,398,378 |
| |||
| Change in net assets |
| (80,675,985 | ) | (70,691,316 | ) | 113,541,682 |
| |||
| Net assets beginning of year |
| 619,040,363 |
| 1,054,996,162 |
| 254,197,674 |
| |||
| Net assets end of year |
| $ | 538,364,378 |
| $ | 984,304,846 |
| $ | 367,739,356 |
|
| Undistributed (excess of distributions over) net investment income |
| $ | (1,558,167 | ) | $ | 1,750,109 |
| $ | 3,777,169 |
|
(1) | Share transactions |
|
|
|
|
|
|
| |||
| Shares sold |
| 38,803,636 |
| 47,799,030 |
| 11,278,604 |
| |||
| Shares redeemed |
| (43,509,091 | ) | (49,839,915 | ) | (6,449,984 | ) | |||
| Change in shares |
| (4,705,455 | ) | (2,040,885 | ) | 4,828,620 |
| |||
| Purchase and sales of investment securities (excluding short-term securities): |
|
|
|
|
|
|
| |||
| Purchase of securities |
| $ | 965,642,587 | (a) | $ | 3,655,876,364 | (b) | $ | 365,540,813 |
|
| Proceeds from sales of securities |
| 983,291,153 | (a) | 3,944,046,351 | (b) | 314,358,939 |
| |||
(a) Amounts include $552,355,768 and $611,860,718 of purchases and sales, respectively, of U.S. Government Securities.
(b) Amounts include $3,517,436,313 and $3,643,272,224 of purchases and sales, respectively, of U.S. Government Securities.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Financial Highlights
For a Share Outstanding
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| Increase (Decrease) from |
| Distributions from |
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| Supplemental Data |
| Ratios |
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Period |
| Net Asset |
| Net |
| Net Realized |
| Total from |
| Net |
| Net Realized |
| Net Asset |
| Total |
| Net Assets, |
| Portfolio |
| Net |
| Total |
| Net Investment |
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Curian/PIMCO Income Fund |
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04/30/2014 |
| $ | 10.32 |
| $ | 0.15 |
| $ | 0.18 |
| $ | 0.33 |
| $ | (0.13 | ) | $ | — |
| $ | 10.52 |
| 3.20 | % | $ | 491,385 |
| 78 | % | 0.86 | (d)% | 1.04 | % | 2.86 | % |
10/31/2013 |
| 10.89 |
| 0.28 |
| (0.35 | ) | (0.07 | ) | (0.34 | ) | (0.16 | ) | 10.32 |
| (0.66 | ) | 538,364 |
| 128 |
| 0.85 |
| 1.02 |
| 2.62 |
| ||||||||
10/31/2012* |
| 10.00 |
| 0.27 |
| 0.92 |
| 1.19 |
| (0.30 | ) | — |
| 10.89 |
| 12.11 |
| 619,040 |
| 115 |
| 0.85 |
| 1.04 |
| 2.56 |
| ||||||||
Curian/PIMCO Total Return Fund |
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| ||||||||
04/30/2014 |
| 10.12 |
| 0.05 |
| 0.05 |
| 0.10 |
| (0.04 | ) | — |
| 10.18 |
| 1.04 |
| 1,077,834 |
| 249 |
| 0.80 |
| 1.00 |
| 1.08 |
| ||||||||
10/31/2013 |
| 10.63 |
| 0.14 |
| (0.18 | ) | (0.04 | ) | (0.17 | ) | (0.30 | ) | 10.12 |
| (0.46 | ) | 984,305 |
| 313 |
| 0.80 |
| 0.99 |
| 1.32 |
| ||||||||
10/31/2012* |
| 10.00 |
| 0.18 |
| 0.63 |
| 0.81 |
| (0.18 | ) | — |
| 10.63 |
| 8.19 |
| 1,054,996 |
| 519 |
| 0.80 |
| 1.02 |
| 1.73 |
| ||||||||
Curian/WMC International Equity Fund |
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04/30/2014 |
| 13.09 |
| 0.03 |
| 0.49 |
| 0.52 |
| (0.15 | ) | (0.69 | ) | 12.77 |
| 3.99 |
| 441,184 |
| 48 |
| 1.31 |
| 1.45 |
| 0.42 |
| ||||||||
10/31/2013 |
| 10.93 |
| 0.17 |
| 2.23 |
| 2.40 |
| (0.16 | ) | (0.08 | ) | 13.09 |
| 22.36 |
| 367,739 |
| 109 |
| 1.32 |
| 1.46 |
| 1.45 |
| ||||||||
10/31/2012* |
| 10.00 |
| 0.14 |
| 0.79 |
| 0.93 |
| — |
| — |
| 10.93 |
| 9.30 |
| 254,198 |
| 90 |
| 1.32 |
| 1.49 |
| 1.35 |
| ||||||||
* Commenced operations on November 2, 2011.
(a) Per share data calculated using average shares method.
(b) Not annualized for periods less than one year.
(c) Annualized for periods less than one year.
(d) The net ratio of expenses to average net assets without interest expense for the JNL/PIMCO Income Fund was 0.85%.
See accompanying Notes to Financial Statements.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
NOTE 1. ORGANIZATION
The Curian Series Trust (“Trust”) is an open-end management investment company organized under the laws of the state of Massachusetts, by a Declaration of Trust, dated November 5, 2010. The Trust is registered with the U.S. Securities and Exchange Commission (“SEC”) under the Investment Company Act of 1940, as amended (“1940 Act”), and its shares are registered under the Securities Act of 1933, as amended (“1933 Act”). The Trust currently offers shares in three (3) separate funds (each a “Fund”, and collectively, “Funds”), each with its own investment objective: Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund, for which Pacific Investment Management Company LLC (“PIMCO”) serves as the Sub-Adviser, and Curian/WMC International Equity Fund, for which Wellington Management Company, LLP (“WMC”) serves as the Sub-Adviser. PIMCO and WMC are referred to herein as a “Sub-Adviser”. The Funds are diversified Funds for purposes of the 1940 Act.
Curian Capital, LLC (“Curian”, “Adviser” or “Administrator”) serves as the investment adviser and administrator of the Funds with the responsibility for the professional investment supervision and management of the Funds. Curian is a wholly owned subsidiary of Jackson National Life Insurance Company (“Jackson”), which is in turn wholly owned by Prudential plc, a publicly traded company incorporated in the United Kingdom. Prudential plc is not affiliated in any manner with Prudential Financial Inc., a company whose principal place of business is in the United States of America. At April 30, 2014, Curian owned 4,000 shares of each Fund.
Purchases and redemptions of shares of the Funds are initiated by Curian and shares may be purchased on behalf of clients in Curian’s managed account program. Each Fund offers one share class without a sales charge.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The following is a summary of significant accounting policies consistently followed by the Trust in the preparation of its financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”):
Security Valuation - Curian has entered into a sub-administration and fund accounting services agreement on behalf of the Funds with Jackson Fund Services (“JFS” or “Sub-Administrator”), a division of Jackson National Asset Management, LLC (“JNAM”). JNAM is a subsidiary of Jackson and an affiliate of Curian. Under the Trust’s valuation policy and procedures, the Trust’s Board of Trustees (“Board”) has delegated the daily operational oversight of the securities valuation function to the Pricing Committee of JFS (“Pricing Committee”), which consists of certain officers of the Trust and JNAM management. The Pricing Committee is responsible for determining fair valuations for any security for which market quotations are not readily available. For those securities fair valued under procedures adopted by the Board, the Pricing Committee reviews and affirms the reasonableness of the fair valuation determinations after considering all relevant information that is reasonably available. The Pricing Committee’s fair valuation determinations are subject to review, at the latest, by the Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. For fair valuation determinations that are deemed significant, the Funds’ Board is promptly notified, in detail, of the fair valuation.
The net asset value (“NAV”) of each Fund shall be determined as of the close of trading (generally, 4:00 PM Eastern Time) on each day the New York Stock Exchange (“NYSE”) is open for trading. Stocks traded on an exchange are generally valued at the official closing price of the exchange where the security is principally traded. If there is no official closing price for the security, the security may be valued at the last quoted sale price on the exchange where the security is principally traded or final bid price in the absence of a sale. Stocks not listed on a national or foreign stock exchange may be valued at the closing bid price on the over the counter (“OTC”) market. Investments in mutual funds are valued at the NAV per share determined as of the close of the NYSE on each valuation date. Short-term securities maturing within sixty (60) days are valued at amortized cost, unless it is determined that such practice does not approximate market value. Debt securities are generally valued by independent pricing services approved by the Board. If pricing services are unable to provide valuations, debt securities are valued at the most recent bid quotation or evaluated price, as applicable, obtained from each Fund’s Sub-Adviser, a broker/dealer or a widely used quotation system. Futures contracts traded on an exchange are valued at the exchange’s settlement price which reflects fair value. If the settlement price is not available, exchange traded futures are valued at the last sales price as of the close of business on the local exchange. Options traded on an exchange are valued at the last traded price as of the close of business on the local exchange. If the last trade is determined to not be representative of fair value, exchange traded options are valued at the last bid. Forward foreign currency contracts are generally valued at the foreign currency exchange rate as of the close of the NYSE. Centrally cleared swap agreements, listed on a multilateral or trade facility platform, such as a registered exchange, are valued by the respective exchange. The exchange determines a daily settlement price via pricing models which use as appropriate, its members’ actionable levels across complete term structures along with information obtained from external third party price providers. OTC derivatives, including options and swap agreements, are generally valued by approved pricing services. If the pricing services are unable to provide valuations, OTC derivatives are valued at the most recent bid quotation or evaluated price, as applicable, obtained from a broker/dealer or by pricing models using observable inputs. Pricing services utilized to value debt and derivative instruments may use various pricing techniques which take into account appropriate factors such as: yield; credit quality; coupon rate; maturity; type of issue; trading characteristics; call features; credit ratings; broker quotes; and other relevant data.
Market quotations may not be readily available for certain investments or it may be determined that a quotation of an investment does not represent market value. In such instances, the investment is valued as determined in good faith using procedures approved by the Board. Situations that may require an investment to be fair valued may include instances where a security is thinly traded, halted or restricted as to resale. In addition, investments may be fair valued based on the occurrence of a significant event. Significant events may be specific to a particular issuer, such as mergers, restructurings or defaults. Alternatively, significant events may affect an entire market, such as natural disasters, government actions and significant changes in the value of U.S. securities markets. Securities are fair valued based on observable and unobservable inputs, including the Sub-Administrator’s own assumptions in determining the fair value of an investment. Under the procedures approved by the Board, the Sub-Administrator may utilize pricing services or other sources, including the Funds’ Adviser and Sub-Advisers, to assist in determining the fair value of an investment. Factors
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
considered to determine fair value may include the correlation with price movement of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading or other market data. The Sub-Administrator has retained an independent statistical fair value pricing service to assist in the fair valuation process for securities traded in foreign markets in order to adjust for possible changes in value that may occur between the close of the foreign exchange and the time at which the NAVs are determined.
If an investment is valued at a fair value for purposes of calculating a Fund’s NAV, the value may be different from the last quoted price for the investment depending on the source and method used to determine the value. Although there can be no assurance, in general, the fair value of the investment is the amount the owner of such investment might reasonably expect to receive in an orderly transaction between market participants upon its current sale.
Distributions to Shareholders - The amount and timing of distributions are determined in accordance with federal income tax regulations, which may differ from GAAP. Dividends from net investment income are declared and distributed monthly for Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund and declared and distributed at least annually, if any, for Curian/WMC International Equity Fund. Distributions of net realized capital gains, if any, will be distributed at least annually, to the extent they exceed available capital loss carry forwards.
Expenses - Expenses are recorded on an accrual basis. Expenses of the Trust that are directly attributable to a specific Fund are charged to that Fund. Other Trust level expenses are allocated to the Funds based on the average daily net assets of each Fund.
Security Transactions and Investment Income - Security transactions are recorded on the trade date for financial reporting purposes. Dividend income, net of applicable withholding taxes, is recorded on the ex-dividend date. Corporate actions involving foreign securities, including dividends, are recorded when the information becomes available. Income received in lieu of dividends for securities loaned is included in dividends in the Statements of Operations. Interest income, including level-yield amortization of discounts and premiums, is accrued daily. A Fund may place a debt obligation on non-accrual status and reduce related interest income by ceasing current accruals and writing off interest receivables when the collection of all or a portion of interest has become doubtful. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is reasonably assured. Realized gains and losses are determined on the specific identification basis.
Foreign Taxes - The Funds may be subject to foreign taxes on income, gains on investments or foreign currency purchases and repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Foreign Currency Translations - The accounting records of each Fund are maintained in U.S. dollars. Each business day, the market values of foreign securities, currency holdings and other assets and liabilities denominated in a foreign currency are translated into U.S. dollars based on current exchange rates. Purchases and sales of investment securities, income receipts and expense payments are translated into U.S. dollars based on the respective exchange rates prevailing on the dates of such transactions. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of foreign securities. Such fluctuations are included in net realized and unrealized gain or loss on investments.
Net realized gains and losses on foreign currency related items are considered ordinary income for tax purposes and arise from sales of foreign currencies; currency gains or losses realized between the trade and settlement dates on securities transactions; the difference between the amounts of dividends, interest and foreign withholding taxes recorded and the U.S. dollar amounts actually received or paid; and the realized gains or losses resulting from portfolio and transaction hedges. Net unrealized gain or loss on foreign currency related items include gains and losses from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in currency exchange rates.
Guarantees and Indemnifications - In the normal course of business, the Trust may enter into contracts with service providers that contain a variety of representations which provide general indemnifications for certain liabilities. Under the Trust’s organizational documents, its officers and Trustees are indemnified against certain liabilities arising out of the performance of their duties to the Funds. Each Fund’s maximum exposure under these arrangements is unknown. However, since their commencement of operations, the Funds have not had claims or losses pursuant to these contracts and expect the risk of loss to be remote. The Funds’ maximum exposure under these arrangements is unknown since the amount of any future claims that may be made against the Funds cannot be determined and the Funds have no historical basis for predicting the likelihood of any such claims.
Use of Estimates - The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
NOTE 3. FINANCIAL ACCOUNTING STANDARDS BOARD (“FASB”) ACCOUNTING STANDARDS CODIFICATION (“ASC”) TOPIC 820, “FAIR VALUE MEASUREMENTS AND DISCLOSURE”
This standard establishes a single authoritative definition of fair value, sets out a framework for measuring fair value and requires additional disclosures about fair value measurements. Various inputs are used in determining the value of a Fund’s investments under FASB ASC Topic 820 guidance. The inputs are summarized into three broad categories.
Level 1 includes valuations based on quoted prices of identical securities in active markets, including valuations for securities listed on a national or foreign stock exchange or investments in mutual funds, which are valued at their daily reported NAV.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
Level 2 includes valuations determined from significant direct or indirect observable inputs. Direct observable inputs include broker quotes, third party prices, closing prices of similar securities in active markets, closing prices for identical or similar securities in non-active markets or corporate action or reorganization entitlement values. Indirect significant observable inputs include factors such as interest rates, yield curves, prepayment speeds or credit ratings. Level 2 includes valuations for fixed income securities, OTC derivatives, centrally cleared swap agreements, broker quotes in active markets, securities subject to corporate actions, securities valued at amortized cost, international equity securities priced by an independent statistical fair value pricing service, swap agreements valued by pricing services, or ADRs and GDRs for which quoted prices in active markets are not available.
Level 3 includes valuations determined from significant unobservable inputs, including management’s own assumptions in determining the fair value of the investment. Inputs used to determine the fair value of Level 3 securities include security specific inputs such as: credit quality, credit rating spreads, issuer news, trading characteristics, call features or maturity; or industry specific inputs such as: trading activity of similar markets or securities, changes in the security’s underlying index or changes in comparable securities’ models. Level 3 valuations include securities that are priced based on single source broker quotes, where prices may be unavailable due to halted trading, restricted to resale due to market events, newly issued or investments for which reliable quotes are otherwise not available.
To assess the continuing appropriateness of security valuation, the Sub-Administrator regularly compares prior day prices with current day prices, transaction prices and alternative vendor prices. When the comparison results exceed pre-defined thresholds, the Sub-Administrator challenges the prices exceeding tolerance levels with the pricing service or broker. To verify Level 3 unobservable inputs, the Sub-Administrator uses a variety of techniques as appropriate to substantiate these valuation approaches including a regular review of key inputs and assumptions, transaction back-testing or disposition analysis and review of related market activity.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table summarizes each Fund’s investments in securities and other financial instruments as of April 30, 2014 by valuation level.
|
| Assets - Securities |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Non-U.S. Government Agency ABS |
| $ | — |
| $ | 52,852,724 |
| $ | — |
| $ | 52,852,724 |
|
Corporate Bonds and Notes |
| — |
| 390,594,683 |
| 932,861 |
| 391,527,544 |
| ||||
Government and Agency Obligations |
| — |
| 81,048,126 |
| — |
| 81,048,126 |
| ||||
Preferred Stocks |
| — |
| 2,044,376 |
| — |
| 2,044,376 |
| ||||
Trust Preferreds |
| 5,623,390 |
| — |
| — |
| 5,623,390 |
| ||||
Purchased Options |
| — |
| 400,046 |
| — |
| 400,046 |
| ||||
Short Term Investments |
| 9,000,000 |
| 12,978,004 |
| — |
| 21,978,004 |
| ||||
Fund Total |
| $ | 14,623,390 |
| $ | 539,917,959 |
| $ | 932,861 |
| $ | 555,474,210 |
|
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Non-U.S. Government Agency ABS |
| $ | — |
| $ | 90,198,054 |
| $ | — |
| $ | 90,198,054 |
|
Corporate Bonds and Notes |
| — |
| 236,787,329 |
| — |
| 236,787,329 |
| ||||
Government and Agency Obligations |
| — |
| 679,574,673 |
| — |
| 679,574,673 |
| ||||
Preferred Stocks |
| — |
| 3,824,000 |
| — |
| 3,824,000 |
| ||||
Short Term Investments |
| 100,000 |
| 214,752,410 |
| — |
| 214,852,410 |
| ||||
Fund Total |
| $ | 100,000 |
| $ | 1,225,136,466 |
| $ | — |
| $ | 1,225,236,466 |
|
Curian/WMC International Equity Fund |
|
|
|
|
|
|
|
|
| ||||
Common Stocks |
| $ | 52,412,115 |
| $ | 358,962,021 |
| $ | — |
| $ | 411,374,136 |
|
Preferred Stocks |
| — |
| 5,726,561 |
| — |
| 5,726,561 |
| ||||
Warrants |
| 89,212 |
| — |
| — |
| 89,212 |
| ||||
Investment Companies |
| 5,356,288 |
| — |
| — |
| 5,356,288 |
| ||||
Short Term Investments |
| 800,000 |
| 38,699,362 |
| — |
| 39,499,362 |
| ||||
Fund Total |
| $ | 58,657,615 |
| $ | 403,387,944 |
| $ | — |
| $ | 462,045,559 |
|
|
| Assets - Investments in Other Financial Instruments(1) |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Open Futures Contracts |
| $ | 34,794 |
| $ | — |
| $ | — |
| $ | 34,794 |
|
Open Forward Foreign Currency Contracts |
| — |
| 375,989 |
| — |
| 375,989 |
| ||||
OTC Interest Rate Swap Agreements |
| — |
| 71,766 |
| — |
| 71,766 |
| ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| 5,579 |
| — |
| 5,579 |
| ||||
OTC Credit Default Swap Agreements |
| — |
| 1,978,438 |
| — |
| 1,978,438 |
| ||||
Centrally Cleared Credit Default Swap Agreements |
| — |
| 68,266 |
| — |
| 68,266 |
| ||||
Fund Total |
| $ | 34,794 |
| $ | 2,500,038 |
| $ | — |
| $ | 2,534,832 |
|
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
|
| Assets - Investments in Other Financial Instruments(1) |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Open Futures Contracts |
| $ | 722,047 |
| $ | — |
| $ | — |
| $ | 722,047 |
|
Open Forward Foreign Currency Contracts |
| — |
| 498,372 |
| — |
| 498,372 |
| ||||
OTC Interest Rate Swap Agreements |
| — |
| 217,951 |
| — |
| 217,951 |
| ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| 2,818,380 |
| — |
| 2,818,380 |
| ||||
OTC Credit Default Swap Agreements |
| — |
| 935,831 |
| — |
| 935,831 |
| ||||
Centrally Cleared Credit Default Swap Agreements |
| — |
| 27,093 |
| — |
| 27,093 |
| ||||
Fund Total |
| $ | 722,047 |
| $ | 4,497,627 |
| $ | — |
| $ | 5,219,674 |
|
|
| Liabilities - Investments in Other Financial Instruments(1) |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Written Options |
| $ | — |
| $ | (767,524 | ) | $ | — |
| $ | (767,524 | ) |
Open Forward Foreign Currency Contracts |
| — |
| (324,179 | ) | — |
| (324,179 | ) | ||||
OTC Interest Rate Swap Agreements |
| — |
| (2,475,589 | ) | — |
| (2,475,589 | ) | ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| (314,186 | ) | — |
| (314,186 | ) | ||||
OTC Credit Default Swap Agreements |
| — |
| (3,075 | ) | — |
| (3,075 | ) | ||||
Fund Total |
| $ | — |
| $ | (3,884,553 | ) | $ | — |
| $ | (3,884,553 | ) |
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Written Options |
| $ | — |
| $ | (152,834 | ) | $ | — |
| $ | (152,834 | ) |
Exchange Traded Written Options |
| (67 | ) | — |
| — |
| (67 | ) | ||||
Open Futures Contracts |
| (1,213,668 | ) | — |
| — |
| (1,213,668 | ) | ||||
Open Forward Foreign Currency Contracts |
| — |
| (1,039,257 | ) | — |
| (1,039,257 | ) | ||||
OTC Interest Rate Swap Agreements |
| — |
| (99,525 | ) | — |
| (99,525 | ) | ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| (1,802,621 | ) | — |
| (1,802,621 | ) | ||||
Fund Total |
| $ | (1,213,735 | ) | $ | (3,094,237 | ) | $ | — |
| $ | (4,307,972 | ) |
(1)Investments in other financial instruments are derivative instruments and include forward foreign currency contracts, futures contracts, exchange traded written options on futures, written options, and swap agreements. All derivatives, except for written options, are reflected at the unrealized appreciation/(depreciation) on the instrument. Written options are reflected at value.
The Funds recognize transfers between levels as of the beginning of the period. The following table summarizes significant transfers between Level 1 and Level 2 valuations for the period ended April 30, 2014:
|
| Transfers out of |
| Transfers out of |
| ||
Transfers related to the application of statistical fair value pricing and shifts between closing and evaluated pricing |
|
|
|
|
| ||
Curian/WMC International Equity Fund |
|
|
|
|
| ||
Common Stocks |
| $ | — |
| $ | 5,680,781 |
|
There were no significant transfers into or out of Level 3 for the period. There were no significant Level 3 valuations for which significant unobservable valuation inputs were developed at April 30, 2014.
Significant changes in unobservable valuation inputs to a different amount might result in a significantly higher or lower fair value measurement than the one used in a security’s valuation.
NOTE 4. SECURITIES AND OTHER INVESTMENTS
Securities Lending and Securities Lending Collateral - A Fund may lend securities to certain brokers, dealers or other financial institutions in order to earn additional income. The borrowers and the Funds’ securities lending agent exchange negotiated lender fees and the Funds receive a fee equal to a percentage of the net negotiated lender fees and the net income generated by the securities lending collateral held during each lending transaction. JPMorgan Chase Bank, N.A. (“JPM Chase” or “Custodian”) serves as custodian and securities lending agent to the Trust. The Funds invest cash collateral in money market funds and overnight repurchase agreements which are collateralized fully by U.S. government and agency securities. The securities lending agent is authorized to loan securities on behalf of the Funds to approved borrowers and per the securities lending agreement is required to maintain collateral at least equal to the value of the securities loaned based on the previous day’s value of the securities loaned, marked-to-market daily. Any shortfalls are adjusted the next business day. Cash collateral received from the borrower is recorded in the Statements of Assets and Liabilities as payable upon return of securities loaned. The investments acquired with such cash collateral are reported in a manner consistent with other portfolio investments held by each Fund as investments, at value on the Statements of Assets and Liabilities. The value of securities on loan is disclosed under footnote (b) on the Statements of Assets and Liabilities. A Fund is indemnified by its securities lending agent for insufficient collateral obtained from the borrower. Each Fund’s net exposure to the borrower is determined by the amount of any excess or shortfall in cash collateral received compared to the value of securities on loan. In addition, there could be a decline in the value of the collateral or in the value of the securities loaned while a Fund seeks to enforce its rights thereto and the Fund could experience subnormal levels of income or lack of access to income during that period. Each Fund also bears the risk of any deficiency in the amount of collateral available for return to a borrower due to a decline in value of an approved investment. Each Fund is responsible for returning the full amount of collateral received for a particular loan when the borrower returns the applicable security.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
In the event of bankruptcy or other default of the borrower, a Fund could experience delays in recovering the loaned securities and incur expenses related to enforcing its rights. However, a Fund is indemnified by its securities lending agent for borrower default.
U.S. Government Agencies or Government Sponsored Enterprises - Certain Funds may invest in U.S. government agencies or government sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by Government National Mortgage Association (“GNMA”), are supported by the full faith and credit of the U.S. government; others, such as those of the Federal Home Loan Bank, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (“U.S. Treasury”); others, such as those of the Federal National Mortgage Association (“FNMA” or “Fannie Mae”), are supported by the discretionary authority of the U.S. government to purchase the agency’s obligations; and still others, such as those of the Student Loan Marketing Association, are supported only by the credit of the instrumentality. U.S. Government securities may include zero coupon securities, which do not distribute interest on a current basis and tend to be subject to greater risk than interest paying securities of similar maturities.
Government-related guarantors (i.e., guarantors that are not backed by the full faith and credit of the U.S. government) include FNMA and the Federal Home Loan Mortgage Corporation (“FHLMC” or “Freddie Mac”). FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. government. FHLMC issues Participation Certificates (“PCs”), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. government.
FNMA and FHMLC were placed into conservatorship by the Federal Housing Finance Agency (“FHFA”). As the conservator, FHFA succeeded to all rights, titles, powers and privileges of FNMA and FHLMC and of any stockholder, officer or director of FNMA and FHLMC with respect to FNMA and FHLMC and each enterprise’s assets. In connection with the conservatorship, the U.S. Treasury entered into a Senior Preferred Stock Purchase Agreement with FNMA and FHLMC. This agreement contains various covenants that severely limit each enterprise’s operations. In exchange for entering into these agreements, the U.S. Treasury received senior preferred stock in each enterprise and warrants to purchase each enterprise’s common stock. The U.S. Treasury created a new secured lending facility, which is available to FNMA and FHLMC as a liquidity backstop and created a temporary program to purchase mortgage-backed securities issued by FNMA and FHLMC. FNMA and FHLMC are continuing to operate as going concerns while in conservatorship and each remains liable for all of its obligations, including its guaranty obligations, associated with its mortgage-backed securities.
Unregistered Securities - A Fund may own certain investment securities, which are unregistered and thus restricted to resale. These securities may also be referred to as “private placements”. Unregistered securities may be “illiquid” because there is no readily available market for sale of the securities. Where future dispositions of the securities require registration under the 1933 Act, the Funds have the right to include those securities in such registration generally without cost to the Funds. The Funds have no right to require registration of unregistered securities.
Repurchase Agreements - Certain Funds may invest in repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed upon price and date. Earnings on collateral and compensation to the seller are based on agreed upon rates between the seller and the Fund. Interest earned on repurchase agreements is recorded as interest income to the Fund. The underlying securities used as collateral for repurchase agreements may be held in safekeeping by the Fund’s Custodian or designated sub custodians under triparty repurchase agreements or delivered to the counterparty. When a repurchase agreement is entered into, a Fund typically receives securities with a value that approximates or exceeds the repurchase price, including any accrued interest earned on the repurchase agreement. The value of such securities will be marked to market daily, and cash or additional securities will be exchanged between the parties with a frequency and in amounts prescribed in the repurchase agreement.
Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. The value of repurchase agreements and collateral pledged or received by a counterparty are disclosed in the Schedules of Investments. The Fund’s net exposure to the counterparty is determined by the amount of any excess or shortfall in collateral compared to the value of the repurchase agreement. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which time the value of such collateral may decline.
Reverse Repurchase Agreements - Certain Funds may enter into reverse repurchase agreements. In a reverse repurchase agreement, a Fund delivers to a counterparty a security in exchange for cash with a simultaneous agreement to repurchase the same or substantially the same security at an agreed upon price and date. The Fund receives principal and interest payments, if any, made on the security delivered to the counterparty during the term of the agreement. In periods of increased demand of the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. Cash received in exchange for securities delivered plus accrued interest payments to be made by the Fund are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. A reverse repurchase agreement involves the risk that the value of the security delivered by the Fund may decline below the repurchase price of the security. A Fund will segregate assets determined to be liquid at the Custodian or otherwise cover its obligations under reverse repurchase agreements. The Fund’s net exposure to the counterparty is determined by the amount of an excess or shortfall in collateral compared to the value of the reverse repurchase agreement.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
The average daily balance and the weighted average interest rate for reverse repurchase agreements, for the period ended April 30, 2014, were as follows: Curian/PIMCO Income Fund, $11,381,346 and 0.12% for 164 days outstanding; and Curian/PIMCO Total Return Fund $16,963,207 and (0.34%) for 46 days outstanding, respectively. At April 30, 2014, reverse repurchase agreements outstanding were as follows:
|
| Counter- |
| Payable for Reverse |
| Collateral Amount |
| Interest Rate |
| Date of Agreement |
| Maturity Date |
| ||
Curian/PIMCO Total Return Fund |
| RBS |
| $ | 19,924,956 |
| $ | 19,962,500 |
| (0.08 | )% | 04/30/14 |
| 05/01/14 |
|
Forward Sales Commitments - Certain Funds may purchase or sell forward sales commitments. A forward sales commitment involves a Fund entering into a contract to purchase or sell securities for a fixed price at a future date beyond the customary settlement period. The purchase of a forward sales commitment involves the risk of loss if the value of the security to be purchased declines before the settlement date while the sale of a forward sales commitment involves the risk that the value of the securities to be sold may increase before the settlement date. A Fund may dispose of or renegotiate forward sales commitments after they are entered into, and may close these positions before they are delivered, which may result in capital gain or loss.
Delayed-Delivery Securities - Certain Funds may purchase or sell securities on a delayed delivery basis, including “To Be Announced” (“TBA”) or “To Be Acquired” securities. These transactions involve a commitment by a Fund to purchase or sell securities for a predetermined price or yield, with payment and delivery taking place beyond the customary settlement period. In TBA transactions, a Fund commits to purchasing or selling securities for which all specific information is not yet known at the time of the trade, particularly the face amount and maturity date of the underlying securities. When delayed-delivery purchases are outstanding, the Fund is required to have sufficient cash and/or liquid securities to cover its commitments on these transactions. When purchasing a security on a delayed-delivery basis, the Fund assumes the rights of ownership of the security, including the risk of price and yield fluctuations, and considers such fluctuations when determining its NAV. A Fund may dispose of or renegotiate a delayed-delivery transaction after it is entered into, and may sell delayed-delivery securities before they are delivered, which may result in a capital gain or loss. When a Fund has sold a security on a delayed delivery basis, the Fund does not participate in future gains or losses with respect to the security. Securities purchased on a TBA basis are not settled until they are delivered to the Fund. In connection with TBA transactions, Funds may maintain a short position related to certain securities. In connection with these transactions, the Fund owns an equal amount of the securities or holds securities convertible (or exchangeable) into an equal amount of the securities, of the same issuer, as the position held short.
Mortgage-Backed Dollar and Treasury Roll Transactions - Certain Funds may sell mortgage-backed or treasury securities and simultaneously contract to repurchase securities at a future date at an agreed upon price. A Fund may only enter into covered rolls. A “covered roll” is a type of dollar roll for which a Fund maintains offsetting positions in cash, U.S. Government securities, or other liquid assets which mature on or before the forward repurchase settlement date of the dollar roll transaction. During the period between the sale and repurchase, a Fund forgoes interest and principal paid on the mortgage-backed securities. A Fund is compensated by the interest earned on the cash proceeds of the initial sale and from negotiated fees paid by brokers offered as an inducement to the Fund to “roll over” its purchase commitments. A Fund may dispose of “covered roll” securities after they are entered into and close these positions before their maturity, which may result in a realized gain or loss.
In a mortgage-backed or treasury securities roll transaction, if the repurchased security is determined to be similar, but not substantially the same, the transaction is accounted for as a purchase and sale. Any gains, losses and any income or fees earned are recorded to realized gain or loss. If the repurchased security is determined to be substantially the same, the transaction is accounted for as a secured borrowing, rather than as a purchase and sales transaction. For Funds with significant transactions characterized as secured borrowing transactions, any income or fees earned are recorded to investment income and financing costs associated with the transaction are recorded to interest expense.
Dollar roll transactions involve the risk that the market value of the securities sold by a Fund may decline below the repurchase price of those securities which the Fund is obligated to purchase or that the return earned by the Fund with the proceeds of a dollar roll may not exceed transaction costs.
NOTE 5. MASTER NETTING AGREEMENTS, CUSTOMER ACCOUNT AGREEMENTS AND COLLATERAL
Under various agreements, certain investment transactions require collateral to be exchanged by a Fund and a counterparty or segregated at the custodian. U.S. Treasury Bills and U.S. dollars are generally the preferred forms of collateral, although other forms of high quality or sovereign securities may be used. Securities held by a Fund that are used as collateral are identified as such within the Schedules of Investments. Collateral for OTC financial derivative transactions paid to or received from counterparties is included in receivable from/payable for deposits with/from counterparties in the Statements of Assets and Liabilities.
Master Netting Agreements (“Master Agreements”) - Certain Funds are subject to various Master Agreements, which govern the terms of certain transactions and mitigate the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Since different types of financial transactions have different mechanics and are sometimes traded out of different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple agreements with a single counterparty. A Fund may net exposure and collateralize multiple transaction types governed by the same Master Agreement with the same counterparty and may close out and net its total exposure to a counterparty in the event of a default and/or termination event with respect to all the transactions governed under a single agreement with a counterparty. Each Master Agreement defines whether the Fund is
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
contractually able to net settle daily payments. Additionally, certain circumstances, such as laws of a particular jurisdiction or settlement of amounts due in different currencies, may prohibit or restrict the right of offset as defined in the Master Agreements.
Master Agreements also help limit credit and counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under the Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral) governed under the relevant master agreement with a counterparty in a given account exceeds a specified threshold depending on the counterparty and the type of Master Agreement. A Fund’s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty non-performance. The Funds’ Sub-Advisers attempt to limit counterparty risk by only entering into Master Agreements with counterparties which are believed to have the financial resources to honor their obligations and by monitoring the financial stability of those counterparties. For swap agreements executed with a Derivatives Clearing Organization (“DCO”) in a multilateral or other trade facility platform (“centrally cleared swaps”), counterparty risk is reduced by shifting exposure from the counterparty to the DCO. Additionally, the DCO has broad powers to provide an orderly liquidation in the event of a default.
Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively “Master Repo Agreements”) - Master Repo Agreements govern repurchase, reverse repurchase and treasury roll transactions between a Fund and select counterparties. The Master Repo Agreements maintain provisions for, among other things, initiation and confirmation, income payments and transfer, events of default, termination and maintenance of collateral. In the event of default, the total value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty.
Master Securities Forward Transaction Agreements (“Master Forward Agreements”) - Master Forward Agreements govern the considerations and factors surrounding the settlement of certain forward-settling transactions, such as delayed-delivery transactions, “To Be Announced” (“TBA”) securities and treasury roll transactions between a Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. Losses may arise due to changes in the value of the underlying securities prior to settlement date, if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors. In the event of default, the unrealized gain or loss will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. In the ordinary course of business, settlements of transactions are not typically subject to net settlement, except for TBA pools.
International Swaps and Derivatives Association Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) - ISDA Master Agreements govern OTC financial derivative transactions entered into by the Fund’s Sub-Adviser and select counterparties. The ISDA Master Agreements maintain provisions for general obligations, representations, agreements, events of default, termination and maintenance of collateral. Termination includes conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to early termination could be material to the financial statements. In the event of default, the total financial derivative value exposure will be offset against collateral exchanged to date, which would result in a net receivable/(payable) that would be due from/to the counterparty. The amount of collateral exchanged is based on provisions within the ISDA Master Agreements and is determined by the net exposure with the counterparty and is not identified for a specific OTC derivative instrument.
Customer Account Agreements - Customer Account Agreements and related addendums govern cleared derivative transactions such as futures, options on futures and centrally cleared derivatives. If a Fund transacts in centrally cleared derivatives, the Sub-Adviser is a party to agreements with (1) a Futures Commissions Merchant (“FCM”) in which the FCM acts as agent in the execution of the centrally cleared derivative with the DCO and (2) with an executing broker/swap dealer to agree to the terms of the swap and resolution process in the event the centrally cleared swap is not accepted for clearing by the designated DCO. Cleared derivatives transactions require posting an amount of cash or cash equivalents equal to a certain percentage of the contract amount known as the “initial margin” as determined by each relevant clearing agency and is segregated at an FCM which is registered with the Commodity Futures Trading Commission (“CFTC”) or the applicable regulator. The Fund receives from or pays to the counterparty an amount of cash equal to the daily fluctuation in the value of the contracts. Such receipts or payments are known as the “variation margin”. Variation margin received may not be netted between futures and centrally cleared derivatives. In the event of default, counterparty risk is significantly reduced as creditors to the FCM do not have claim to a Fund’s assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk.
NOTE 6. FINANCIAL DERIVATIVE INSTRUMENTS
Options Transactions - A Fund may buy and sell (“write”) call and put options on futures, indices, currency and swaps agreements (“swaptions”). An option is a contract that gives the purchaser of the option, in return for a premium paid, the right to buy a specified underlying instrument from the writer of the option (in the case of a call option), or to sell a specified underlying instrument to the writer of the option (in the case of a put option) at a designated price during the term of the option. When a Fund purchases an option, the premium paid by the Fund is recorded as an asset and is subsequently marked-to-market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Premiums paid for purchasing options which are exercised or closed are added to the cost basis of the underlying investment or offset against the proceeds of the underlying investment transaction to determine realized gain or loss. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. The risks associated with purchasing options are limited to premiums paid and the failure of the counterparty to honor its obligation under the contract. When a Fund writes a call or put option, the premium received by the Fund is recorded as a liability and is subsequently marked to market to reflect the current value of the option. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
to the proceeds of the underlying investment transaction or reduce the cost basis of the underlying investment to determine the realized gain or loss. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. Writing put options tends to increase a Fund’s exposure to the underlying instrument. The risk associated with writing an option that is exercised is that an unfavorable change in the price of the security underlying the option could result in a Fund buying the underlying security at a price higher than the current value or selling the underlying security at a price lower than the current market value. There is also the risk a Fund may not be able to enter into a closing transaction if the market is illiquid. Options written by a Fund do not give rise to counterparty credit risk, as they obligate the Fund, not the counterparty, to perform.
Premium is paid/received when purchasing/writing exchange traded futures options, however, there is no premium paid/received when purchasing/writing exchange traded options on futures. Exchange traded options on futures are marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. Variation margin on exchange traded options on futures is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Exchange traded options on futures involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. Swaptions are similar to options on securities except that instead of purchasing the right to buy or sell a security, the writer or purchaser of the swaption is granting or buying the right to enter into a previously agreed upon interest rate or credit default swap agreement at any time before the expiration of the option. Swaptions are illiquid investments.
Futures Contracts - A Fund may buy and sell futures on interest rates. A futures contract is a standardized contract obligating two parties to exchange a specified asset at an agreed upon price and date. Variation margin is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Futures contracts involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in value of the securities held by a Fund or the change in the value of an underlying entity and the prices of the futures contracts and the possibility a Fund may not be able to enter into a closing transaction because of an illiquid market. With futures, counterparty risk to a Fund is reduced since futures contracts are exchange traded and the exchange’s clearinghouse, acting as counterparty to all exchange traded futures, guarantees the futures contracts against default.
Forward Foreign Currency Contracts - A forward foreign currency contract is an agreement between two parties to buy and sell a currency at a set price on a future date. The use of forward foreign currency contracts does not eliminate fluctuations in the underlying prices of a Fund’s investment securities, but it does establish a fixed rate of currency exchange that can be achieved in the future. The value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. Forward foreign currency contracts are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss and as a receivable or payable from forward foreign currency contracts. Upon settlement, or delivery or receipt of the currency, a realized gain or loss is recorded which is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Forward foreign currency contracts involve market risk in excess of the receivable or payable related to forward foreign currency contracts recorded by the Funds. Although contracts limit the risk of loss due to a decline in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency increase. Additionally, a Fund could be exposed to the risk of a previously hedged position becoming unhedged if the counterparty to a contract is unable to meet the terms of the contract or if the currency changes unfavorably to the value of the offsetting currency.
Swap Agreements - Swap agreements are bilaterally negotiated agreements between a Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements are privately negotiated in the OTC market or may be executed and centrally cleared with a DCO. OTC swaps are typically illiquid investments.
Swap agreements are marked-to-market daily and the change in value is recorded by a Fund as an unrealized gain or loss. For OTC swaps, premiums paid or received at the beginning of the measurement period are recorded as an asset or liability by the Fund and represent payments made or received upon entering into the OTC swap to compensate for differences between the stated terms of the OTC swap and prevailing market conditions relating to credit spreads, interest rates, currency exchange rates and other relevant factors as appropriate. These upfront payments are recorded as a realized gain or loss upon termination or maturity of the OTC swap. For centrally cleared swaps, daily changes in valuation are recorded as a receivable or payable, as appropriate, and received from or paid to the DCO on a daily basis until the contracts are terminated at which time a realized gain or loss is recorded. The use of centrally cleared swaps may require a Fund to commit initial and variation margin that may otherwise not be required under an OTC swap. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss. Net periodic payments received or paid by a Fund are included as part of realized gain or loss.
Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the unrealized gain or loss recorded by a Fund. Such risks include that there is no liquid market for OTC swaps, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreement and that there may be unfavorable changes in interest rates or value of underlying securities. Centrally cleared swaps involve to varying degrees, risk of loss in excess of the variation margin recorded by the Fund.
Interest Rate Swap Agreements - Interest rate swap agreements involve the exchange by a Fund with another party of their respective commitments to pay or receive interest with respect to the notional amount of principal. Forms of interest rate swap agreements that the Funds have entered into include: fixed-for-floating rate swaps, under which a party agrees to pay a fixed rate in exchange for receiving a floating rate tied to a benchmark and floating-for-fixed rate swaps, under which a party agrees to pay a floating rate in exchange for receiving a fixed rate.
A Fund’s maximum risk of loss from counterparty credit risk for an interest rate swap agreement is the discounted net value of the cash flows to be received from the counterparty over the contract’s remaining life, to the extent this amount is positive.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
Credit Default Swap Agreements - Credit default swap agreements involve one party making a stream of payments (referred to as the buyer of protection) to another party (the seller of protection) in exchange for the right to receive a specified return if a credit event occurs for the referenced entity, obligation or index. As a seller of protection, a Fund will generally receive from the buyer of protection a premium in return for such protection and/or a fixed rate of income throughout the term of the swap if there is no credit event. A credit event is defined under the terms of each swap agreement and may include, but is not limited to, underlying entity default, bankruptcy, restructuring, write-down, principal shortfall or interest shortfall. As a seller, a Fund adds leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the credit default swap. If a Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular credit default swap agreement, the Fund will either pay to the buyer of protection an amount equal to the notional amount of the credit default swap and take delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or pay a net settlement amount in the form of cash or securities equal to the notional amount of the credit default swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. If a Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular credit default swap agreement, the Fund will either receive from the seller of protection an amount equal to the notional amount of the credit default swap and deliver the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index or receive a net settlement amount in the form of cash or securities equal to the notional amount of the credit default swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. Until a credit event occurs, recovery values are determined by market makers considering either industry standard recovery rates or entity specific factors and considerations. When a credit event occurs, the recovery value is determined by a facilitated auction, administered by ISDA, whereby a minimum number of allowable broker bids, together with a specified valuation method, are used to calculate the settlement value.
A Fund may use credit default swap agreements on corporate or sovereign issues to provide a measure of protection against defaults of an issuer (i.e., to reduce risk where a Fund owns or has exposure to the referenced obligation) or to take an active long or short position with respect to the likelihood of a particular issuer’s default. If a credit event occurs and cash settlement is not elected, a variety of other deliverable obligations may be delivered in lieu of the specific referenced obligation. The ability to deliver other obligations may result in a cheapest-to-deliver option (the buyer of protection’s right to choose the deliverable obligation with the lowest value following a credit event).
A Fund may use credit default swap agreements on credit indices to hedge a portfolio of credit default swap agreements or bonds, to protect investors owning bonds against default and to speculate on changes in credit quality. A credit index is a basket of credit instruments or exposures designed to represent a portion of the credit market. These indices consist of reference credits that are considered to be the liquid entities in the credit default swap market based on the index sector. Components of the indices may include, but are not limited to, investment grade securities, high yield securities, asset-backed securities and emerging market securities. These components can be determined based upon various credit ratings within each sector. Credit indices are traded using credit default swaps with standardized terms including a fixed spread and standard maturity dates. An index credit default swap references all the issuers in the index, and if there is a credit event, the credit event is settled based on that issuer’s weight in the index. The composition of the indices changes periodically, usually every six months, and for most indices, each issuer has an equal weight in the index.
Either as a seller of protection or a buyer of protection of a credit default swap agreement, a Fund’s maximum risk of loss from counterparty risk is the fair value of the agreement. The maximum potential amount of future payments (undiscounted) that a Fund as a seller of protection could be required to make under a credit default swap agreement would be an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of April 30, 2014, for which the Fund is the seller of protection, are disclosed in the Schedules of Investments. These potential amounts would be partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement or net amounts received from the settlement of buy protection credit default swap agreements entered into by the Fund for the same referenced entity or entities.
FASB ASC Topic 815, “Derivatives and Hedging” and Financial Instruments Eligible for Offset - FASB ASC Topic 815 includes the requirement for enhanced qualitative disclosures about objectives and strategies for using derivative instruments and disclosures regarding credit related contingent features in derivative instruments; as well as quantitative disclosures in the semi-annual and annual financial statements about fair value, gains and losses, and volume of activity for derivative instruments. Information about these instruments is disclosed in the context of each instrument’s primary underlying risk exposure which is categorized as credit, equity price, interest rate and foreign currency exchange rate risk.
The following disclosures include: (1) Objectives and strategies for each Fund’s derivative investments during the year. (2) A summary table of the fair valuations of each Fund’s derivative instruments categorized by risk exposure, which references the location on the Statements of Assets and Liabilities and the realized and unrealized gain or loss on the Statements of Operations for each derivative instrument as of April 30, 2014. (3) A summary table of derivative instruments and certain investments of each Fund, which are subject to master netting agreements or a similar agreement and are eligible for offset in the Statements of Assets and Liabilities as of April 30, 2014. (4) A table reflecting each Fund’s average monthly derivative volume for the period ended April 30, 2014.
Curian/PIMCO Income Fund Derivative Strategies - The Fund entered into option contracts to manage exposure to or hedge changes in interest rates, foreign currencies, credit and inflation. The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies. The Fund entered into interest rate swap agreements to manage duration, to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements to manage credit exposure.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
Curian/PIMCO Income Fund - Derivative Instruments Categorized by Risk Exposure
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| Credit |
| Equity |
| Foreign Exchange |
| Interest Rate |
| Total |
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| |||||
Fair values of derivative instruments on the Statement of Assets and Liabilities as of April 30, 2014: |
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Assets: |
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Investments, at value(2) |
| $ | — |
| $ | — |
| $ | — |
| $ | 400,046 |
| $ | 400,046 |
|
Variation margin on financial derivative instruments |
| 6,189 |
| — |
| — |
| 44,162 |
| 50,351 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 375,989 |
| — |
| 375,989 |
| |||||
Unrealized appreciation on OTC swap agreements |
| 1,978,438 |
| — |
| — |
| 71,766 |
| 2,050,204 |
| |||||
OTC swap premiums paid |
| 756,807 |
| — |
| — |
| 99,091 |
| 855,898 |
| |||||
|
| $ | 2,741,434 |
| $ | — |
| $ | 375,989 |
| $ | 615,065 |
| $ | 3,732,488 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | — |
| $ | — |
| $ | — |
| $ | 15,755 |
| $ | 15,755 |
|
Options written, at value |
| 23,558 |
| — |
| 5,426 |
| 738,540 |
| 767,524 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 324,179 |
| — |
| 324,179 |
| |||||
Unrealized depreciation on OTC swap agreements |
| 3,075 |
| — |
| — |
| 2,475,589 |
| 2,478,664 |
| |||||
OTC swap premiums received |
| 1,343,806 |
| — |
| — |
| 81,707 |
| 1,425,513 |
| |||||
|
| $ | 1,370,439 |
| $ | — |
| $ | 329,605 |
| $ | 3,311,591 |
| $ | 5,011,635 |
|
The effect of derivative instruments on the Statement of Operations for the period ended April 30, 2014: |
|
|
| |||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
Swap agreements |
| $ | 1,327,439 |
| $ | — |
| $ | — |
| $ | (757,621 | ) | $ | 569,818 |
|
Foreign currency related items |
| — |
| — |
| (802,075 | ) | — |
| (802,075 | ) | |||||
Futures contracts |
| — |
| — |
| — |
| 167,015 |
| 167,015 |
| |||||
Written options contracts |
| 114,499 |
| — |
| — |
| 475,534 |
| 590,033 |
| |||||
|
| $ | 1,441,938 |
| $ | — |
| $ | (802,075 | ) | $ | (115,072 | ) | $ | 524,791 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
| |||||||||
Investments(2) |
| $ | — |
| $ | — |
| $ | — |
| $ | (288,925 | ) | $ | (288,925 | ) |
OTC Swap agreements |
| 827,682 |
| — |
| — |
| (36,146 | ) | 791,536 |
| |||||
Foreign currency related items |
| — |
| — |
| 267,694 |
| — |
| 267,694 |
| |||||
Futures contracts and centrally cleared swap agreements |
| (97,810 | ) | — |
| — |
| (820,808 | ) | (918,618 | ) | |||||
Written option contracts |
| (52,566 | ) | — |
| 51,424 |
| 393,664 |
| 392,522 |
| |||||
|
| $ | 677,306 |
| $ | — |
| $ | 319,118 |
| $ | (752,215 | ) | $ | 244,209 |
|
Curian/PIMCO Income Fund - Derivative and Financial Instruments Eligible for Offset
|
| Gross Amount |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (3) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (6) |
| Cash |
| Security |
| ||||||
Derivative Assets by Counterparty* |
|
|
|
|
|
|
|
|
|
|
| ||||||||
BBP |
| $ | 287,120 |
| $ | (1,558 | ) | $ | (285,562 | ) | $ | — |
| $ | 290,000 |
| $ | — |
|
BCL |
| 70,058 |
| (52,888 | ) | — |
| 17,170 |
| — |
| — |
| ||||||
BNP |
| 320,783 |
| (6,690 | ) | (260,000 | ) | 54,093 |
| 260,000 |
|
|
| ||||||
BOA |
| 77,571 |
| (77,571 | ) | — |
| — |
| — |
| — |
| ||||||
CSI |
| 203,390 |
| (19,907 | ) | — |
| 183,483 |
| — |
| — |
| ||||||
DUB |
| 942,239 |
| (630,657 | ) | (30,000 | ) | 281,581 |
| 30,000 |
| — |
| ||||||
GSB |
| 3,867 |
| (3,867 | ) | — |
| — |
| — |
| — |
| ||||||
GSC |
| 9,822 |
| (9,822 | ) | — |
| — |
| — |
| — |
| ||||||
GSI |
| 200,991 |
| (1,019 | ) | — |
| 199,972 |
| — |
| — |
| ||||||
MSC |
| 7,781 |
| — |
| (7,781 | ) | — |
| 60,000 |
| — |
| ||||||
MSS |
| 527,005 |
| (11,636 | ) | (375,000 | ) | 140,369 |
| 375,000 |
| — |
| ||||||
UBS |
| 175,612 |
| (10,138 | ) | — |
| 165,474 |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 2,826,239 |
| $ | (825,753 | ) | $ | (958,343 | ) | $ | 1,042,142 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 906,249 |
|
|
|
|
|
|
| $ | — |
| $ | — |
| ||||
|
| $ | 3,732,488 |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Derivative Liabilities by Counterparty* |
|
|
|
|
|
|
|
|
|
|
| ||||||||
BBP |
| $ | 1,558 |
| $ | (1,558 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BCL |
| 52,888 |
| (52,888 | ) | — |
| — |
| — |
| — |
| ||||||
BNP |
| 6,690 |
| (6,690 | ) | — |
| — |
| — |
| — |
| ||||||
BOA |
| 192,264 |
| (77,571 | ) | — |
| 114,693 |
| — |
| — |
| ||||||
CIT |
| 20,201 |
| — |
| — |
| 20,201 |
| — |
| — |
| ||||||
CSI |
| 19,907 |
| (19,907 | ) | — |
| — |
| — |
| — |
| ||||||
DUB |
| 630,657 |
| (630,657 | ) | — |
| — |
| — |
| — |
| ||||||
GSB |
| 2,475,589 |
| (3,867 | ) | — |
| 2,471,722 |
| — |
| — |
| ||||||
GSC |
| 112,664 |
| (9,822 | ) | (102,842 | ) | — |
| 40,000 |
| 2,394,990 |
| ||||||
GSI |
| 1,019 |
| (1,019 | ) | — |
| — |
| — |
| — |
| ||||||
MSS |
| 11,636 |
| (11,636 | ) | — |
| — |
| 53,000 |
| — |
| ||||||
UBS |
| 10,138 |
| (10,138 | ) | — |
| — |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 3,535,211 |
| $ | (825,753 | ) | $ | (102,842 | ) | $ | 2,606,616 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,476,424 |
|
|
|
|
|
|
| $ | — |
| $ | 830,430 |
| ||||
|
| $ | 5,011,635 |
|
|
|
|
|
|
|
|
|
|
|
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
|
| Gross Amount |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (8) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (8) |
| Cash |
| Security |
| ||||||
Master Forward Agreement Transaction Assets by Counterparty* |
|
|
|
|
|
|
| ||||||||||||
BCL |
| $ | 1,703,330 |
| $ | (1,703,330 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BNP |
| 40,696,142 |
| (40,436,005 | ) | (260,137 | ) | — |
| — |
| 266,075 |
| ||||||
CGM |
| 2,975,962 |
| (2,957,422 | ) | — |
| 18,540 |
| — |
| — |
| ||||||
CSI |
| 2,273,381 |
| (2,242,422 | ) | — |
| 30,959 |
| — |
| — |
| ||||||
DUB |
| 5,041,405 |
| (5,033,594 | ) | — |
| 7,811 |
| — |
| — |
| ||||||
JPM |
| 4,856,250 |
| (4,839,063 | ) | — |
| 17,187 |
| — |
| — |
| ||||||
MSC |
| 8,766,563 |
| (8,707,500 | ) | (59,063 | ) | — |
| 355,000 |
| — |
| ||||||
|
| $ | 66,313,033 |
| $ | (65,919,336 | ) | $ | (319,200 | ) | $ | 74,497 |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Master Forward Agreement Transaction Liabilities by Counterparty* |
|
|
|
|
|
|
| ||||||||||||
BCL |
| $ | 1,705,320 |
| $ | (1,703,330 | ) | $ | — |
| $ | 1,990 |
| $ | — |
| $ | — |
|
BNP |
| 40,436,005 |
| (40,436,005 | ) | — |
| — |
| — |
| — |
| ||||||
CGM |
| 2,957,415 |
| (2,957,422 | ) | — |
| (7 | ) | — |
| — |
| ||||||
CSI |
| 2,242,560 |
| (2,242,422 | ) | — |
| 139 |
| — |
| — |
| ||||||
DUB |
| 5,033,594 |
| (5,033,594 | ) | — |
| — |
| — |
| — |
| ||||||
JPM |
| 4,839,063 |
| (4,839,063 | ) | — |
| — |
| — |
| — |
| ||||||
MSC |
| 8,707,500 |
| (8,707,500 | ) | — |
| — |
| — |
| — |
| ||||||
|
| $ | 65,921,457 |
| $ | (65,919,336 | ) | $ | — |
| $ | 2,122 |
|
|
|
|
|
Curian/PIMCO Income Fund - Average Derivative Volume(1) |
|
| Cost of Options |
| Notional Value at |
| Cost of Forward |
| Notional Amount |
| Notional Amount |
| |||||
Average monthly volume |
| $ | 1,399,102 |
| $ | 190,117,930 |
| $ | 95,480,997 |
| $ | 72,732,475 |
| $ | 107,194,785 |
|
Curian/PIMCO Total Return Fund - Derivative Strategies - The Fund entered into option contracts to manage exposure to or hedge changes in interest rates, foreign currencies and inflation. The Fund entered into futures contracts to manage exposure to or hedge changes in interest rates. The Fund entered into forward foreign currency contracts to minimize foreign currency exposure on investment securities denominated in foreign currencies. The Fund entered into interest rate swap agreements to manage duration, to manage interest rate and yield curve exposure and as a substitute for investment in physical securities. The Fund entered into credit default swap agreements to manage credit exposure.
Curian/PIMCO Total Return Fund - Derivative Instruments Categorized by Risk Exposure
|
| Credit |
| Equity |
| Foreign Exchange |
| Interest Rate |
| Total |
| |||||
|
|
|
|
|
|
|
|
|
|
|
| |||||
Fair values of derivative instruments on the Statement of Assets and Liabilities as of April 30, 2014: |
|
|
| |||||||||||||
Assets: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | 3,756 |
| $ | — |
| $ | — |
| $ | 1,315,061 |
| $ | 1,318,817 |
|
Forward foreign currency contracts |
| — |
| — |
| 498,372 |
| — |
| 498,372 |
| |||||
Unrealized appreciation on OTC swap agreements |
| 935,831 |
| — |
| — |
| 217,951 |
| 1,153,782 |
| |||||
OTC swap premiums paid |
| 232,228 |
| — |
| — |
| 3,108 |
| 235,336 |
| |||||
|
| $ | 1,171,815 |
| $ | — |
| $ | 498,372 |
| $ | 1,536,120 |
| $ | 3,206,307 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | — |
| $ | — |
| $ | — |
| $ | 340,584 |
| $ | 340,584 |
|
Options written, at value |
| 911 |
| — |
| 24,130 |
| 127,793 |
| 152,834 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 1,039,257 |
|
|
| 1,039,257 |
| |||||
Unrealized depreciation on OTC swap agreements |
| — |
| — |
| — |
| 99,525 |
| 99,525 |
| |||||
OTC swap premiums received |
| 1,225,695 |
| — |
| — |
| 54,402 |
| 1,280,097 |
| |||||
|
| $ | 1,226,606 |
| $ | — |
| $ | 1,063,387 |
| $ | 622,304 |
| $ | 2,912,297 |
|
The effect of derivative instruments on the Statement of Operations for the period ended April 30, 2014: |
|
|
| |||||||||||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
Swap agreements |
| $ | 437,731 |
| $ | — |
| $ | — |
| $ | (1,325,267 | ) | $ | (887,536 | ) |
Foreign currency related items |
| — |
| — |
| (2,588,267 | ) |
|
| (2,588,267 | ) | |||||
Futures contracts |
| — |
| — |
| — |
| 3,711,462 |
| 3,711,462 |
| |||||
Written options contracts |
| 18,492 |
| — |
| — |
| 1,272,717 |
| 1,291,209 |
| |||||
|
| $ | 456,223 |
| $ | — |
| $ | (2,588,267 | ) | $ | 3,658,912 |
| $ | 1,526,868 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
| |||||||||
OTC Swap agreements |
| $ | 706,119 |
| $ | — |
| $ | — |
| $ | 30,078 |
| $ | 736,197 |
|
Foreign currency related items |
| — |
| — |
| 1,781,140 |
| — |
| 1,781,140 |
| |||||
Futures contracts and centrally cleared swap agreements |
| (149,553 | ) | — |
| — |
| (5,267,968 | ) | (5,417,521 | ) | |||||
Written option contracts |
| (3,137 | ) | — |
| 3,795 |
| (209,606 | ) | (208,948 | ) | |||||
|
| $ | 553,429 |
| $ | — |
| $ | 1,784,935 |
| $ | (5,447,496 | ) | $ | (3,109,132 | ) |
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
Curian/PIMCO Total Return Fund - Derivative and Financial Instruments Eligible for Offset
|
| Gross Amount |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (3) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (6) |
| Cash |
| Security |
| ||||||
Derivative Assets by Counterparty* |
|
|
|
|
|
|
|
|
|
|
| ||||||||
BBP |
| $ | 368,141 |
| $ | (1,878 | ) | $ | (366,263 | ) | $ | — |
| $ | 460,000 |
| $ | — |
|
BCL |
| 31,941 |
| (8,308 | ) | — |
| 23,633 |
| — |
| — |
| ||||||
BNP |
| 3,950 |
| (3,950 | ) | — |
| — |
| — |
| — |
| ||||||
BOA |
| 305,435 |
| (305,435 | ) | — |
| — |
| — |
| — |
| ||||||
CSI |
| 35,692 |
| (35,692 | ) | — |
| — |
| — |
| — |
| ||||||
DUB |
| 696,656 |
| (48,742 | ) | — |
| 647,914 |
| — |
| — |
| ||||||
GSB |
| 18,567 |
| (17,181 | ) | — |
| 1,386 |
| — |
| — |
| ||||||
GSC |
| 13,206 |
| (13,206 | ) | — |
| — |
| — |
| — |
| ||||||
GSI |
| 2,680 |
| — |
| — |
| 2,680 |
| — |
| — |
| ||||||
MSC |
| 18,271 |
| — |
| — |
| 18,271 |
| 155,000 |
| — |
| ||||||
MSS |
| 154,790 |
| (110,833 | ) | — |
| 43,957 |
| — |
| — |
| ||||||
UBS |
| 2,825 |
| (2,825 | ) | — |
| — |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 1,652,154 |
| $ | (548,050 | ) | $ | (366,263 | ) | $ | 737,841 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,554,153 |
|
|
|
|
|
|
| $ | — |
| $ | — |
| ||||
|
| $ | 3,206,307 |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Derivative Liabilities by Counterparty* |
|
|
|
|
|
|
|
|
|
|
| ||||||||
BBP |
| $ | 1,878 |
| $ | (1,878 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BCL |
| 8,308 |
| (8,308 | ) | — |
| — |
| — |
| — |
| ||||||
BNP |
| 13,781 |
| (3,950 | ) | — |
| 9,831 |
| — |
| — |
| ||||||
BOA |
| 926,121 |
| (305,435 | ) | (505,811 | ) | 114,875 |
| — |
| 505,811 |
| ||||||
CSI |
| 51,281 |
| (35,692 | ) | — |
| 15,589 |
| — |
| — |
| ||||||
DUB |
| 48,742 |
| (48,742 | ) | — |
| — |
| — |
| — |
| ||||||
GSB |
| 17,181 |
| (17,181 | ) | — |
| — |
| — |
| — |
| ||||||
GSC |
| 97,011 |
| (13,206 | ) | — |
| 83,805 |
| — |
| — |
| ||||||
MSS |
| 110,833 |
| (110,833 | ) | — |
| — |
| — |
| 115,193 |
| ||||||
UBS |
| 5,105 |
| (2,825 | ) | — |
| 2,280 |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 1,280,241 |
| $ | (548,050 | ) | $ | (505,811 | ) | $ | 226,380 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,632,056 |
|
|
|
|
|
|
| $ | 519,000 |
| $ | 8,338,964 |
| ||||
|
| $ | 2,912,297 |
|
|
|
|
|
|
|
|
|
|
|
|
| Gross Amount |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (8) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (8) |
| Cash |
| Security |
| ||||||
Master Forward Agreement Transaction Assets by Counterparty* |
|
|
|
|
|
|
| ||||||||||||
BNP |
| $ | 37,560,744 |
| $ | (37,307,812 | ) | $ | — |
| $ | 252,932 |
| $ | — |
| $ | — |
|
BOA |
| 5,365,821 |
| (5,311,172 | ) | — |
| 54,649 |
| — |
| — |
| ||||||
CGM |
| 12,877,969 |
| (12,815,625 | ) | (62,344 | ) | — |
|
|
| 449,298 |
| ||||||
CSI |
| 61,006,640 |
| (60,700,625 | ) | (280,000 | ) | 26,015 |
| 280,000 |
| — |
| ||||||
JPM |
| 9,739,258 |
| (9,679,062 | ) | (10,000 | ) | 50,196 |
| 10,000 |
| — |
| ||||||
MSC |
| 8,421,406 |
| (8,397,188 | ) | (24,218 | ) | — |
| 50,000 |
| — |
| ||||||
|
| $ | 134,971,838 |
| $ | (134,211,484 | ) | $ | (376,562 | ) | $ | 383,792 |
|
|
|
|
| ||
Master Forward Agreement Transaction Liabilities by Counterparty* |
|
|
|
|
|
|
| ||||||||||||
BNP |
| $ | 37,307,812 |
| $ | (37,307,812 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BOA |
| 5,311,172 |
| (5,311,172 | ) | — |
| — |
| — |
| — |
| ||||||
CGM |
| 12,815,625 |
| (12,815,625 | ) | — |
| — |
| — |
| — |
| ||||||
CSI |
| 60,700,625 |
| (60,700,625 | ) | — |
| — |
| — |
| — |
| ||||||
JPM |
| 9,679,062 |
| (9,679,062 | ) | — |
| — |
| — |
| — |
| ||||||
MSC |
| 8,397,188 |
| (8,397,188 | ) | — |
| — |
| — |
| — |
| ||||||
|
| $ | 134,211,484 |
| $ | (134,211,484 | ) | $ | — |
| $ | — |
|
|
|
|
|
Curian/PIMCO Total Return Fund - Average Derivative Volume(1) |
|
| Cost of Options |
| Notional Value at |
| Cost of Forward |
| Notional Amount |
| Notional Amount of |
| |||||
Average monthly volume |
| $ | 899,827 |
| $ | 1,168,894,617 |
| $ | 188,516,708 |
| $ | 322,519,357 |
| $ | 47,422,314 |
|
(1) The derivative instruments outstanding as of April 30, 2014, as disclosed in the Schedules of Investments and the amounts of realized and changes in unrealized gains and losses on derivative instruments during the period ended April 30, 2014, as disclosed in the Statements of Operations, also serve as indicators of the derivative volume for the Funds.
(2) Purchased options market value is reflected in Investments, at value. Realized gain (loss) and change in unrealized appreciation (depreciation) on purchased options are reflected in realized gain (loss) on investments and change in unrealized appreciation (depreciation) on investments, respectively, in the Statements of Operations.
(3) Amounts eligible for offset are presented gross in the Statements of Assets and Liabilities.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
(4) Financial instruments eligible for offset but not offset in the Statements of Assets and Liabilities.
(5) Cash and security collateral not offset in the Statements of Assets and Liabilities. For derivative assets and liabilities, amounts do not reflect over-collateralization.
(6) For assets, net amount represents the amount payable by the counterparty to the Fund in the event of default. For liabilities, net amount represents the amount payable by the Fund to the counterparty in the event of default.
(7) Cash and security collateral pledged or segregated for derivative investments. For assets, amount reflects collateral received from or segregated by the counterparty. For liabilities, amount reflects collateral pledged or segregated by the Fund. Collateral for derivatives not eligible for offset includes amounts pledged for margin purposes.
(8) Investment liabilities and assets include delayed delivery securities and secured borrowings. Liabilities reflect amounts payable to the counterparty for the cost of the investment, assets reflect the market value of the investment and the net amount reflects net unrealized gain or loss. The net unrealized gain or loss constitutes the amount which is subject to margin or collateral requirements as required under the Master Forward Agreement.
* Counterparties are defined on page 22 in the Schedules of Investments.
NOTE 7. OTHER INVESTMENT RISKS
Foreign Securities Risk - Investing in securities of foreign companies and foreign governments generally involves special risks and considerations not typically associated with investing in U.S. companies and the U.S. government. These risks include the potential for revaluation of currencies, different accounting policies and future adverse political and economic developments. Moreover, securities of many foreign companies and foreign governments and their markets may be less liquid and their prices may be more volatile than those of securities of comparable U.S. companies and the U.S. government.
Currency Risk - Investing directly in foreign currencies or in securities that trade in, and receive revenues in, foreign currencies, or in financial derivatives that provide exposure to foreign currencies, involves the risk that those currencies will decline in value relative to the base currency of a Fund, or, in the case of hedging positions, that a Fund’s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, general economics of a country, actions (or inaction) of U.S. governments or banks, foreign governments, central banks or supranational entities such as the International Monetary Fund, the imposition of currency controls or other political developments in the U.S. or abroad.
Market, Credit and Counterparty Risk - In the normal course of business, the Funds trade financial instruments and enter into financial transactions where the risk of potential loss exists due to changes in the market (“market risk”) or failure of the other party to a transaction to perform (“credit risk”). Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an institution or other entity with which the Funds have unsettled or open transactions will default. Financial assets, which potentially expose the Funds to credit risk, consist principally of investments and cash due from counterparties (“counterparty risk”). The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets is incorporated within their carrying value as recorded in the Funds’ Statements of Assets and Liabilities. For certain derivative contracts, the potential loss could exceed the value of the financial assets recorded in the financial statements.
NOTE 8. INVESTMENT ADVISORY FEES AND TRANSACTIONS WITH AFFILIATES
Advisory, Sub-Advisory and Administration Fees - The Trust has an investment advisory agreement and an administration agreement with Curian. Pursuant to the investment advisory agreement, Curian receives an annual fee accrued daily and paid monthly, at an annual rate of 0.15% of the average daily net assets of Curian/PIMCO Income Fund, 0.15% of the average daily net assets of Curian/PIMCO Total Return Fund and 0.15% of the average daily net assets of Curian/WMC International Equity Fund. Pursuant to the administration agreement, Curian receives an annual fee accrued daily and paid monthly, at an annual rate of 0.60% of the average daily net assets of Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund and 0.85% of the average daily net assets of Curian/WMC International Equity Fund. Subject to the oversight of the Trust’s Board, Curian is responsible for managing the Funds’ business affairs and providing day-to-day administrative services to the Funds either directly or through others selected by it for the Funds. In return for the fees paid under the administration agreement, Curian provides or procures necessary administrative functions and services for the operation of the Funds. In addition, Curian, at its own expense, arranges for legal, audit, fund accounting, transfer agency, custody, printing and mailing and all other services necessary for the operation of each Fund. Each Fund is responsible for trading expenses, including brokerage commissions, taxes, other non-operating expenses, errors and omission insurance, the fees and expenses of the independent Trustees and independent legal counsel to the independent Trustees, the costs associated with the Chief Compliance Officer, and certain nonrecurring or extraordinary expenses.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
The Trust has an investment sub-advisory agreement with PIMCO for Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund and with WMC for Curian/WMC International Equity Fund. The Funds pay the following fees to the Sub-Advisers:
|
| Assets |
| Fees |
|
Curian/PIMCO Income Fund |
| All Assets |
| 0.25 | % |
|
|
|
|
|
|
Curian/PIMCO Total Return Fund |
| Assets up to $3 billion(1) |
| 0.25 | % |
|
| When assets exceed $3 billion(1) |
|
|
|
|
| $0 to $1 billion |
| 0.25 | % |
|
| Amounts over $1 billion |
| 0.225 |
|
|
|
|
|
|
|
Curian/WMC International Equity Fund |
| $0 to $250 million |
| 0.45 | % |
|
| Amounts over $250 million |
| 0.40 |
|
(1) When aggregate net assets of Curian/PIMCO Total Return Fund and Curian/PIMCO Income Fund of the Curian Series Trust and JNL/PIMCO Real Return Fund and JNL/PIMCO Total Return Bond Fund of the JNL Series Trust equal or exceed $3 billion, the annual rates are applicable to all the amounts in the Curian/PIMCO Total Return Fund. The fee is based on the combined market value of the Curian/PIMCO Total Return Fund of Curian Series Trust and JNL/PIMCO Total Return Bond Fund of JNL Series Trust, to derive an average fee to be applied to Curian/PIMCO Total Return Fund of the Curian Series Trust and JNL/PIMCO Total Return Bond Fund of the JNL Series Trust.
Fee Waiver and Expense Reimbursements — Curian contractually agreed to waive its advisory fee and reduce the administration fee and/or reimburse other expenses to the extent necessary to reduce the annual expense ratios of the Funds, exclusive of brokerage costs, interest, taxes and dividend and extraordinary expenses, to 0.85% for Curian/PIMCO Income Fund, 0.80% for Curian/PIMCO Total Return Fund, and 1.32% for Curian/WMC International Equity Fund until February 28, 2015.
Curian agreed to voluntarily waive annual advisory fees of 0.15% of average daily net assets effective March 18, 2014 for Curian/WMC International Equity Fund, and effective April 21, 2014 for Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund.
Curian is entitled to recoup previously waived/reimbursed fees and expenses under the contractual agreements for a period of up to three years following the fiscal year in which Curian waived its fee or reimbursed expenses. The amount of waived expenses for each Fund is recorded as expenses waived by Adviser in each Fund’s Statement of Operations. During the period ended April 30, 2014, Curian did not recover any previously reimbursed expenses. At April 30, 2014, the amount of potentially recoverable expenses was:
|
| Period ended April 30, 2014 |
| Year ended October 31, 2013 |
| Period ended October 31, 2012 |
| |||||||||
|
| Recoverable |
| Expiration |
| Recoverable |
| Expiration |
| Recoverable |
| Expiration |
| |||
Curian/PIMCO Income Fund |
| $ | 451,319 |
| 10/31/17 |
| $ | 1,184,932 |
| 10/31/16 |
| $ | 784,871 |
| 10/31/15 |
|
Curian/PIMCO Total Return Fund |
| 1,039,870 |
| 10/31/17 |
| 2,101,426 |
| 10/31/16 |
| 2,050,054 |
| 10/31/15 |
| |||
Curian/WMC International Equity Fund |
| 278,339 |
| 10/31/17 |
| 422,535 |
| 10/31/16 |
| 370,606 |
| 10/31/15 |
| |||
Other Service Providers - The Trust entered into a transfer agency agreement and shareholder services agreement with JNAM. Curian has entered into a sub-administration and fund accounting services agreement with JFS, and is responsible for the compensation of JFS for services provided pursuant to such agreement. Curian pays JNAM and JFS for such services through the fees earned pursuant to the administration agreement.
The Funds entered into an agreement with the Custodian in which the Custodian provides earnings credits for overnight cash balances held in the Funds’ custody accounts. The earnings credits reduce the Funds’ custody fees which are paid by Curian, which then reimburses the Funds for such earnings credits. The reimbursed earnings credits are included in other income in the Statements of Operations.
The Trust has a fund compliance services agreement with JFS. Pursuant to the fund compliance services agreement, JFS provides compliance oversight services to the Trust.
Distribution Agreement - The Trust entered into a distribution agreement with Curian Clearing LLC (“Distributor”), an affiliate of Curian. The Funds pay no expenses related to services provided under the distribution agreement. The Distributor does not have any distribution and servicing arrangements with third parties to sell shares of the Funds.
Directed Brokerage Commissions - A Sub-Adviser may allocate a portion of a Fund’s equity security transactions (subject to obtaining best execution of each transaction) through certain designated broker-dealers which will rebate a portion of the brokerage commissions to that Fund. Any amount credited to the Fund is reflected as brokerage commissions recaptured in the Statements of Operations.
Deferred Compensation Plan - The Funds adopted a Deferred Compensation Plan whereby independent Trustees may defer the receipt of all or a portion of their compensation. These deferred amounts, which remain as liabilities of the Funds, are treated as if invested and reinvested in shares of one or more affiliated funds at the discretion of the applicable Trustee. These amounts represent general, unsecured liabilities of the Funds and vary according to the total returns of the selected Funds. Liabilities related to deferred balances are included in payable for trustee fees in the Statements of Assets and Liabilities. Increases or decreases related to the changes in value of deferred balances are included in trustee fees set forth in the Statements of Operations.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
NOTE 9. BORROWING ARRANGEMENTS
Effective June 7, 2013, the Trust entered into a Syndicated Credit Agreement (“SCA”) with a group of lenders. The Funds participate in the SCA with other funds managed by JNAM and Curian in a credit facility which is available solely to finance shareholder redemptions or for other temporary or emergency purposes. The Funds may borrow up to the lesser of $300,000,000, the amount available under the facility; the limits set for borrowing by the Funds’ prospectuses and the 1940 Act; or an amount prescribed within the SCA. Interest on borrowings is payable at the Federal Funds Rate plus the amount by which the one month London Interbank Offer Rate (“LIBOR”) exceeds the Federal Funds rate plus 1.00% on an annualized basis. The Funds pay an annual commitment fee of 0.075% of the available commitments and an annual administration fee to JPM Chase. These expenses are allocated to the participating Funds based on each Fund’s net assets as a percentage of the participating Funds’ total net assets. No amounts were borrowed under the facility during the period. The fees are included in other expenses in each Fund’s Statement of Operations.
NOTE 10. INCOME TAX MATTERS
Each Fund is a separate taxpayer for federal income tax purposes. Each Fund intends to qualify as a Regulated Investment Company (“RIC”) and to distribute substantially all net investment income and net capital gains, if any, to its shareholders and otherwise comply with Subchapter M of the Internal Revenue Code of 1986, as amended, applicable to RICs. Therefore, no federal income tax provision is required.
The following information is presented on an income tax basis. Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Permanent differences may include but are not limited to the following: foreign currency reclassifications, market discount or paydown reclassifications, reclassifications on the sale of a passive foreign investment company (“PFIC”), accounting treatment of notional principal contracts and distribution adjustments. These reclassifications have no impact on net assets.
As of April 30, 2014, the cost of investments and the components of net unrealized appreciation/(depreciation) for U.S. Federal income tax purposes were as follows:
|
| Tax Cost of |
| Gross Unrealized |
| Gross Unrealized |
| Net Unrealized |
| ||||
Curian/PIMCO Income Fund |
| $ | 549,943,126 |
| $ | 11,385,948 |
| $ | (5,854,865 | ) | $ | 5,531,083 |
|
Curian/PIMCO Total Return Fund |
| 1,211,191,113 |
| 19,321,380 |
| (5,276,027 | ) | 14,045,353 |
| ||||
Curian/WMC International Equity Fund |
| 407,783,875 |
| 59,417,184 |
| (5,155,500 | ) | 54,261,684 |
| ||||
The Regulated Investment Company Modernization Act of 2010 (“Act”) was enacted on December 22, 2010. In general, the provisions of the Act are effective for the Funds’ period ended October 31, 2012 and going forward. Under the Act, a Fund is permitted to carry forward capital losses for an unlimited period. Post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses, and will not be considered exclusively short-term as under previous law.
At October 31, 2013, the Funds’ last fiscal year end, the following Funds had unused capital loss carryovers for U.S. federal income tax purposes, which may be used to offset future net realized capital gains and will be carried forward indefinitely and retain their character as follows:
|
| Short Term Capital |
| Long Term Capital |
| ||
Curian/PIMCO Total Return Fund |
| $ | 52,030 |
| $ | 2,704,708 |
|
The tax character of distributions paid during the Funds’ fiscal year ended October 31, 2013 was as follows:
|
| Net Ordinary |
| Long-term Capital |
| Return of |
| |||
Curian/PIMCO Income Fund |
| $ | 31,579,966 |
| $ | 1,511,985 |
| $ | — |
|
Curian/PIMCO Total Return Fund |
| 48,223,580 |
| 182,550 |
| — |
| |||
Curian/WMC International Equity Fund |
| 5,621,361 |
| — |
| — |
| |||
* Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
FASB ASC Topic 740 “Income Taxes” provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FASB ASC Topic 740 requires the evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax return to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold would result in the Funds recording a tax expense in the current year. FASB ASC Topic 740 requires that management evaluate the tax positions taken in the 2011 and 2012 returns, which remain subject to examination by the Internal Revenue Service and certain other jurisdictions. Management completed an evaluation of the Funds’ tax positions and based on that evaluation, determined that no provision for federal income tax was required in the Funds’ financial statements during the period ended April 30, 2014.
Curian Series Trust (Unaudited)
Notes to Financial Statements
April 30, 2014
NOTE 11. SUBSEQUENT EVENTS
Management has evaluated subsequent events for the Funds through the date the financial statements are issued, and has concluded there are no events that require adjustments to the financial statements or disclosure in the notes except for the following:
Effective June 6, 2014, the SCA increased from $300,000,000 to $450,000,000. No other terms for the facility were changed at this time. No amounts were borrowed under the facility through the date the financial statements were issued.
Curian Series Trust (Unaudited)
Additional Disclosures
April 30, 2014
Disclosure of Fund Expenses. Shareholders incur ongoing costs, which include costs for portfolio management, administrative services and other operating expenses. Operating expenses such as these are deducted from each Fund’s gross income and directly reduce the final investment return. These expenses are expressed as a percentage of the Fund’s average net assets; this percentage is known as the Fund’s expense ratio. The examples below use the expense ratio and are intended to help the investor understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
Expenses Using Actual Fund Return. This section provides information about the actual account values and actual expenses incurred by the Fund. Use the information in this section, together with the amount invested, to estimate the expenses paid over the period. Simply divide the account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses paid during this period.
Expenses Using Hypothetical 5% Return. This section provides information that can be used to compare each Fund’s costs with those of other mutual funds. It assumes that the Fund’s expense ratio for the period is unchanged and assumes an annual 5% return before expenses, which is not the Fund’s actual return. This example is useful in making comparisons because the SEC requires all mutual funds to make the 5% calculation.
|
| Expenses Using Actual Fund Return |
| Expenses Using Hypothetical 5% Return |
| ||||||||||||||||||
|
| Beginning |
| Ending |
| Annualized |
| Expenses Paid |
| Beginning |
| Ending |
| Annualized |
| Expenses Paid |
| ||||||
Curian/PIMCO Income Fund |
| $ | 1,000.00 |
| $ | 1,032.00 |
| 0.86 | % | $ | 4.33 |
| $ | 1,000.00 |
| $ | 1,020.55 |
| 0.86 | % | $ | 4.31 |
|
Curian/PIMCO Total Return Fund |
| 1,000.00 |
| 1,010.40 |
| 0.80 |
| 3.99 |
| 1,000.00 |
| 1,020.83 |
| 0.80 |
| 4.01 |
| ||||||
Curian/WMC International Equity Fund |
| 1,000.00 |
| 1,039.90 |
| 1.31 |
| 6.63 |
| 1,000.00 |
| 1,018.28 |
| 1.31 |
| 6.56 |
| ||||||
Expenses paid during the period are equal to the annualized net expense ratio, multiplied by the average account value over the period, then multiplied by 181/365 (to reflect the most recent 6-month period).
Quarterly Portfolio Holdings. The Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at www.sec.gov. The Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC, and information on the operation of the Public Reference Room may be obtained by calling 800-SEC-0330. It is also available upon request from the registrant by calling the Funds toll-free at 1-866-255-1935.
Proxy Voting Policies and Procedures. A description of the Policy of the Funds’ Adviser (and sub-advisers) used to vote proxies relating to the portfolio securities and information on how the Funds voted proxies relating to portfolio securities during the 12-month period ended June 30 are available (1) without charge, upon request by calling 1-877-874-4143 (Curian Client Services), (2) on Curian Capital’s website at www.curian.com, and (3) on the SEC’s website at www.sec.gov.
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
The Interested Trustee and the Officers of the Trust or the Adviser do not receive any compensation from the Trust for their services as Trustees or Officers. The following persons, who are Independent Trustees of the Trust, received from the Trust the compensation amounts indicated for the services as such for the six-month period ended April 30, 2014:
TRUSTEE |
| AGGREGATE COMPENSATION |
| PENSION OR RETIREMENT |
| ESTIMATED ANNUAL |
| TOTAL COMPENSATION |
| ||||
David W. Agostine |
| $ | 17,850 |
| $ | 0 |
| $ | 0 |
| $ | 76,000 |
|
Gregory P. Contillo |
| $ | 16,100 |
| $ | 0 |
| $ | 0 |
| $ | 68,500 |
|
Dylan E. Taylor |
| $ | 15,238 |
| $ | 0 |
| $ | 0 |
| $ | 64,750 |
|
Mark S. Wehrle |
| $ | 16,273 |
| $ | 0 |
| $ | 0 |
| $ | 69,250 | (2) |
Scot T. Wetzel |
| $ | 15,525 |
| $ | 0 |
| $ | 0 |
| $ | 66,000 | (3) |
(1) The fees paid to the Independent Trustees are paid for combined service on the Boards of the Trust and Curian Variable Series Trust (the “Fund Complex”). The fees are allocated to the Funds and affiliated investment companies on a pro-rata basis based on net assets. The total fees paid to all the Independent Trustees from the Trust and Fund Complex are $344,500.
(2) Amount includes $13,850 deferred by Mr. Wehrle.
(3) Amount includes $28,500 deferred by Mr. Wetzel.
CURIAN SERIES TRUST
APPROVAL OF CURIAN SERIES TRUST’S (“TRUST”)
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS
The Board of Trustees of the Trust (“Board”) oversees the management of each series of the Trust (each a “Fund”) and, as required by law, determines whether to approve and, after the initial term, continue the Funds’ advisory and sub-advisory agreement(s).
At a telephonic meeting held on November 27, 2013 and an in-person meeting held on December 3, 2013, the Board, including all of the Independent Trustees, considered information relating to the Funds’ investment advisory agreement (“Advisory Agreement”) with Curian Capital, LLC (“Curian” or “Adviser”), and information relating to the investment sub-advisory agreements (each a “Sub-Advisory Agreement,” and together the “Sub-Advisory Agreements”) (“Agreements” refers to the Advisory Agreement and the Sub-Advisory Agreements) among Curian, the Trust, and each Fund’s investment sub-adviser: Pacific Investment Management Company LLC and Wellington Management Company, LLP (each a “Sub-Adviser” and collectively “Sub-Advisers”).
In advance of the meeting, independent legal counsel for the Independent Trustees requested that certain information be provided to the Board relating to the Agreements. Prior to the meeting, independent legal counsel discussed the materials with the Independent Trustees and independent legal counsel requested updated information on behalf of the Independent Trustees. The Board received this information and met, as noted above, to consider the information. The Board had also discussed this information at a telephonic meeting held on November 27, 2013. At the conclusion of the Board’s discussion on December 3, 2013, the Board approved the continuation of the Agreements.
For each Fund, Curian and each Sub-Adviser provided information related to the following factors: (1) the nature, quality and extent of the services each provides, (2) the investment performance of each Fund, (3) the cost of the services of the Adviser and Sub-Advisers and comparative expense information, (4) whether economies are being realized as the Funds grow and whether the fee structure is designed to provide economies of scale for the Funds’ investors, (5) the profits that Curian and each Sub-Adviser derive from its relationship with the Fund, and (6) other “fall-out” benefits that could be realized by Curian or the Sub-Adviser (i.e., ancillary benefits derived by Curian, a Sub-Adviser or any of their affiliates from the relationship with the Funds). In its deliberations, the Board, in exercising its business judgment, did not identify any single factor that alone was responsible for the Board’s decision to approve the Agreements.
Before approving the Agreements, the Independent Trustees met in executive session with their independent legal counsel to consider the materials provided by Curian and each Sub-Adviser, as well as the terms of the Agreements. Based on its evaluation of those materials, the Board, including all the interested and Independent Trustees, concluded that the Advisory Agreement is in the best interests of the shareholders of each Fund and that each Sub-Advisory Agreement is in the best interests of the shareholders of the applicable Fund. In reaching its conclusions, the Board considered numerous matters, including the following:
Nature, Quality and Extent of Services
The Board examined the nature, quality and extent of the services provided by Curian and the Sub-Advisers.
For each Fund, the Board considered the services provided by Curian, including, but not limited to, its oversight of the Sub-Advisers pursuant to the Advisory Agreement, recommending the hiring and removal of Sub-Advisers pursuant to the Trust’s “Manager of Managers” exemptive order, as well as the provision of recordkeeping and compliance services to the Funds. The Board also took into account that Curian monitors the performance of the various organizations that provide services to the Funds, including the Funds’ distributor, transfer agent and custodian. With respect to Curian’s oversight of the Sub-Advisers, the Board noted that Curian is responsible for screening and recommending new sub-advisers when appropriate, as well as monitoring and reporting to the Board on the performance and operations of the existing Sub-Advisers. The Board also considered the investment sub-advisory services provided by each Sub-Adviser. The Board noted Curian’s evaluation of the Sub-Advisers, as well as Curian’s recommendations, based on its review of the Sub-Advisers, to approve the Sub-Advisory Agreements.
The Board reviewed the qualifications, backgrounds and responsibilities of Curian’s senior management that are responsible for oversight of the Funds and each Sub-Adviser, and also reviewed the qualifications and backgrounds of the Sub-Advisers’ portfolio managers who are responsible for the day-to-day management of each Fund. The Board reviewed information pertaining to Curian’s and each Sub-Adviser’s organizational structure, senior management, financial condition, investment operations and other relevant information. The Board considered compliance reports about Curian and each Sub-Adviser from the Trust’s Chief Compliance Officer (“CCO”).
Based on the foregoing, the Board concluded that (i) each Fund is likely to continue to benefit from the nature, extent and quality of the services to be provided by Curian under the Advisory Agreement and (ii) each Fund is likely to continue to benefit from the nature, extent and quality of the services to be provided by its Sub-Adviser under the Sub-Advisory Agreement.
Investment Performance of the Funds
The Board considered the investment performance of each Fund. For each Fund, the Board reviewed performance history as compared to the Fund’s benchmark index and as compared to the average performance returns for other funds similar in size, character and/or investment strategy (the “peer group”), as provided by an independent data service. The performance reviewed by the Board was for the periods ended June 30, 2013, unless otherwise noted.
Curian/PIMCO Income Fund. The Board noted that the Fund had outperformed its benchmark and its peer group average for the one-year and since inception periods. The Board concluded from its review that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Curian/PIMCO Total Return Fund. The Board noted that the Fund had outperformed its benchmark for the one-year and since inception periods, though the Fund had underperformed its peer group average for the one-year and since inception periods. The Board further considered that the Fund does not have a three-year track record and that it would be prudent to allow the Sub-Adviser more time to develop its track record. Based on its review, the Board concluded that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Curian/WMC International Equity Fund. The Board noted that the Fund had outperformed its benchmark for the one-year and since inception periods, but that it had underperformed its peer group average for each of those periods. The Board further considered that the Fund does not have a three-year track record and that it would be prudent to allow the Sub-Adviser more time to develop its track record. The Board concluded from its review that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Costs of Services
The Board reviewed the fees paid to Curian and each Fund’s Sub-Adviser. For each Fund, the Board reviewed fee and expense information as compared to that of funds managed by other advisers, as well as fees charged by each Sub-Adviser to similar clients. The Board noted that each Fund pays both its own advisory fees and sub-advisory fees, and it considered the effect of the advisory fee waiver on total annual operating expenses. The Board also noted that Curian does not manage any institutional accounts with which the Funds’ fees could be compared, though the Board did compare other accounts managed by Curian. Using information provided by an independent data service, the Board evaluated each Fund’s advisory fees compared to the average advisory fees for other funds in its peer group. The Board also considered each Fund’s sub-advisory fee and compared that to the average sub-advisory fee for other funds in its peer group.
Further detail considered by the Board regarding the advisory and sub-advisory fees of each Fund is set forth below:
Curian/PIMCO Income Fund. The Board noted that the Fund’s advisory fee is lower than the peer group average after fee waivers. The Board also noted that the Fund’s peer group had one other fund that was sub-advised and that the Fund’s sub-advisory fee was the same as that fund. The Board considered that the Fund’s total expense ratio is higher than the peer group average. The Board considered the effect of other expenses on the Fund’s total expense ratio. The Board also reviewed information regarding the services performed by the Adviser and Sub-Adviser, how they affect Fund expenses, and how they compare to other funds in the peer group. In light of all the information provided, the Board concluded that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Curian/PIMCO Total Return Fund. The Board noted that the Fund’s advisory fee is lower than the peer group average after fee waivers, and that the Fund’s sub-advisory fee is the mean of its peer group. The Board also noted that the Fund’s total expense ratio is higher than the peer group average. The Board considered the effect of other expenses on the Fund’s total expense ratio. The Board also reviewed information regarding the services performed by the Adviser and Sub-Adviser, how they affect Fund expenses, and how they compare to other funds in the peer group. In light of all the information provided, the Board concluded that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Curian/WMC International Equity Fund. The Board noted that the Fund’s advisory fee is lower than the peer group average after fee waivers. The Board considered that of the two other funds in the Fund’s peer group that had sub-advisory fees, the Fund’s sub-advisory fee is the lowest. The Board also noted that the Fund’s total expense ratio is lower than the peer group average. The Board considered the effect of other expenses on the Fund’s total expense ratio. The Board also considered the services performed by the Adviser and Sub-Adviser, how they affect Fund expenses, and how they compare to other funds in the peer group. In light of all the information provided, the Board concluded that it would be in the best interests of the Fund and its shareholders to approve the Agreements.
Economies of Scale
The Board considered economies of scale and noted that the Sub-Advisory Agreements for the Curian/PIMCO Total Return Fund and the Curian/WMC International Equity Fund include breakpoints. The Funds each pay their own sub-advisory fees, and consequently, shareholders could directly benefit from these breakpoints The Board also considered the Adviser’s assertion that the Adviser may also benefit from sub-advisory fee breakpoints to the extent that the Adviser is reimbursing certain Fund expenses in order to meet each Fund’s expense limit.
Profitability
The Board considered information concerning the costs incurred, and profits realized by the Adviser and each Sub-Adviser. The Board also considered the Adviser’s fee waiver agreement, pursuant to which it reduces its fees and reimburses other expenses of the Funds in order to limit the total annual operating expenses of the Funds. In light of the information provided, the Board determined that the profits realized by the Adviser and each Sub-Adviser were not unreasonable.
Other Benefits to Curian and the Sub-Advisers
In evaluating the benefits that accrue to Curian through its relationship with the Funds, the Board noted that Curian and certain of its affiliates serve the Funds in various capacities, including as adviser, administrator, transfer agent and distributor, and receive compensation from the Funds in connection with providing certain services to the Funds. The Board noted that each service provided to the Funds by Curian or one of its affiliates is pursuant to a written agreement, which the Board evaluates periodically, as required by law.
Further, in evaluating benefits to the Adviser and its affiliates, the Board considered the arrangement by the Sub-Adviser of Curian/PIMCO Total Return Fund and JNL/PIMCO Total Return Bond Fund to combine assets of both funds, which in turn, renders both funds subject to a reduced sub-advisory fee.
In evaluating the benefits that may accrue to the Sub-Advisers through their relationship with the Fund(s), the Board noted that each Sub-Adviser may receive indirect benefits in the form of soft dollar arrangements for portfolio securities trades placed with the Funds’ assets and may also develop additional investment advisory business with Curian, the Funds, or other clients of the Sub-adviser as a result of its relationship with the Fund(s).
Curian Capital, LLC
7601 Technology Way
Denver, CO 80237
WWW.CURIAN.COM | WWW.CURIANCLEARING.COM
IIS7476S 05/14
Item 2. Code of Ethics.
Not applicable to the semi-annual filing.
Item 3. Audit Committee Financial Expert.
Not applicable to the semi-annual filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to the semi-annual filing.
Item 5. Audit Committee of Listed Registrants.
Not applicable.
Item 6. Investments.
(a) Included as a part of the report to shareholders filed under Item 1.
(b) Not applicable.
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.
No material changes have been made.
Item 11. Controls and Procedures.
(a) The registrant maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in the registrant’s filings under the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, is recorded, processed, summarized, and reported within the periods specified in the rules and forms of the U.S. Securities and Exchange Commission. Such information is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, as appropriate, to allow timely decisions regarding required disclosure. The registrant’s management, including the principal executive officer and the principal financial officer, recognizes that any set of controls and procedures, no matter how well designed and operated, can provide only reasonable assurance of achieving the desired control objectives.
Within ninety (90) days prior to the filing date of this report on Form N-CSR, the registrant had carried out an evaluation, under the supervision and with the participation of the registrant’s management, including the registrant’s principal executive officer and the registrant’s principal financial officer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures. Based on such evaluation, the registrant’s principal executive officer and principal financial officer concluded that the registrant’s disclosure controls and procedures are effective.
(b) There have been no significant changes in the registrant’s internal controls over financial reporting during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal controls over financial reporting. There have been no significant changes in the registrant’s internal controls or in other factors that could significantly affect the internal controls subsequent to the date of their evaluation in connection with the preparation of this report on Form N-CSR.
Item 12. Exhibits.
(a) | (1) Not applicable to the semi-annual filing. |
| (2) The certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto. |
| (3) Not applicable. |
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(b) | The certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended, is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Curian Series Trust |
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By: | /s/ Daniel W. Koors |
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| Daniel W. Koors |
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| Principal Financial Officer |
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Date: | July 1, 2014 |
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Pursuant to the requirements of the Securities Exchange Act of 1934, as amended, and the Investment Company Act of 1940, as amended, 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/ Michael A. Bell |
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| Michael A. Bell |
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| Principal Executive Officer |
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Date: | July 1, 2014 |
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By: | /s/ Daniel W. Koors |
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| Daniel W. Koors |
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| Principal Financial Officer |
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Date: | July 1, 2014 |
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EXHIBIT LIST
Exhibit 12(a)(2) |
| Certification of the Principal Executive Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. |
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| Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. |
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Exhibit 12(b) |
| Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended. |