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) |
| (Zip code) | ||||||
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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: | October 31, 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.
ANNUAL REPORT |
| October 31, 2014 |
Curian/PIMCO Income Fund
Curian/PIMCO Total Return Fund
Curian/WMC International Equity Fund
Curian Series Trust
October 31, 2014
Table of Contents
President’s Letter | 1 |
Management’s Discussion and Fund Performance | 2 |
Schedules of Investments | 5 |
Statements of Assets and Liabilities | 30 |
Statements of Operations | 31 |
Statements of Changes in Net Assets | 32 |
Financial Highlights | 34 |
Notes to Financial Statements | 35 |
Report of Independent Registered Public Accounting Firm | 52 |
Additional Disclosures | 53 |
Trustees and Officers Information | 55 |
Supplement to Summary Prospectus |
|
President’s Letter
Dear Fellow Investor, |
Enclosed is the annual report for the Curian Series Trust for the year ended October 31, 2014, together with Management’s Discussion of Fund Performance for each of the “Funds”.
From an economic perspective, data in the U.S. generally pointed to continued economic growth in the last year, albeit at a continued modest pace. After contracting by an annualized 2.1% during the first quarter of 2014, the U.S. real gross domestic product (“GDP”) grew by 4.6% in the second quarter and 3.5% in the third quarter, according to the Bureau of Economic Analysis’ advance estimate. The U.S. unemployment rate fell to 5.8% in October, marking a new six-year low. In light of the improving data, the U.S. Federal Reserve (“Fed”) announced the end of their Quantitative Easing program, while keeping short-term interest rates near zero for a considerable time. Meanwhile, concerns reappeared over growth and deflationary pressures within the Eurozone, as real GDP growth was roughly flat in the most recent quarter, and year-over-year inflation fell to 0.4%. Japan also struggled to produce economic growth, as its real GDP contracted by an annualized 7.1% in the second quarter. Growth in China slowed slightly to 7.3% during the period but remained relatively robust.
Domestic equity markets continued to deliver strong returns during the 12-month period ended October 31, 2014, with the S&P 500®Index and the Dow Jones Industrial Average (“DJIA”) reaching new all-time closing highs. The S&P 500 Index and the DJIA gained 17.27% and 14.48%, respectively, during the period, while the Nasdaq Composite Index rose 19.58%. Small-cap and mid-cap equities also produced positive, albeit smaller, returns during the period, as the Russell 2000 Index and Russell Mid-Cap Index gained 8.06% and 15.32%, respectively.
International equities significantly lagged U.S. equities, driven mainly by a strengthening U.S. Dollar, stalling growth in Europe and Japan, and increasing geopolitical tensions in Eastern Europe. In U.S. Dollar terms, the Morgan Stanley Capital International (“MSCI”) EAFE Index returned —0.60% over the 12-month period ended October 31, 2014, while the MSCI Emerging Markets Index returned 0.64%.
Within the fixed income space, long-dated Treasury yields unexpectedly fell sharply during the 12-month period, reflecting increased demand from pensions and retirees, lower yields in Europe, and a benign inflation outlook. Meanwhile, shorter-dated Treasury yields rose on expectations of eventual rate hikes by the Fed in 2015. Credit spreads narrowed as corporate fundamentals and investor demand remained strong. Over the 12-month period, the Barclays U.S. Corporate High Yield Index returned 5.82%, the Barclays U.S. Credit Index returned 6.24%, and the Barclays U.S. Treasury Index returned 2.78%.
For the 12-month period ended October 31, 2014, two of the three of the Curian Series Trust Funds outperformed their respective benchmark index. The Curian/PIMCO Income Fund gained 7.26%, outperforming the Barclays U.S. Credit Index, which returned 6.24%. The Curian/WMC International Equity Fund returned 1.63%, outperforming the MSCI All Country World ex. U.S. Index, which returned 0.06%. The Curian/PIMCO Total Return Fund underperformed its index, returning 2.98% versus the Barclays U.S. Aggregate Bond Index’s return of 4.14%.
Through your financial professional, Curian provides a comprehensive array of goals based investment portfolios designed to help you reach your financial goals. Thank you for choosing Curian for your investment needs.
Mark D. Nerud
President and Chief Executive Officer
Curian Series Trust
Pacific Investment Management Company LLC (Unaudited)
Market Summary: The U.S. Federal Reserve ("Fed") ended 2013 by keeping a wary eye on the uncertain fiscal policy landscape. The economy was unlikely to escape both a government shutdown and another debt ceiling debate unscathed. Meanwhile, the Fed clearly indicated that it would not begin raising rates until a "considerable time" after the third quantitative easing ("QE3") had been wound down; the longer the withdrawal from QE3 is delayed, the further the Fed pushes out the eventual first rate hike.
Both uncertainty and volatility increased at the start of 2014. Equity markets swung wildly during the quarter — initially suffering from geopolitical tensions and weather weakened data, before rebounding strongly toward the end of the first quarter. Bond markets rallied early in the first quarter due to the somewhat uncertain pace of economic expansion and mostly held on to gains as the crisis in Ukraine led a general flight to quality.
Unlike one year earlier when the Fed's "taper talk" caused market turmoil, the second quarter of 2014 saw the return of risk appetite and an easing of
global political risks. Bond markets rallied as central banks remained accommodative — emerging markets ("EM") led gains and developed market yields fell to twelve-month lows during the quarter. Global equity markets posted sizeable gains overall as the S&P 500 Index rose to an all time high.
Far from the typical summer lull, the rest of the fiscal year was marked by geopolitical tension and diverging markets. Most developed market government yields were led lower by easing central bank policies, while credit markets backed up. Equity markets somersaulted their way to modest gains in the U.S. but were flat or slightly negative in many other regions as economic data varied. U.S. growth became more sure footed, but the Eurozone recovery sputtered and growth decelerated in parts of Asia. Shortly after the end of the third quarter, the Fed finally moved to end QE3, marking the beginning of a return to normalcy.
Curian/PIMCO Income Fund
Portfolio Composition†:
Financials | 38.5 | % | |||||
Government Securities | 14.6 | ||||||
Energy | 7.9 | ||||||
Non-U.S. Government Agency ABS | 7.8 | ||||||
Consumer Discretionary | 6.0 | ||||||
Industrials | 3.9 | ||||||
Telecommunication Services | 3.8 | ||||||
Utilities | 3.2 | ||||||
Health Care | 2.6 | ||||||
Information Technology | 1.9 | ||||||
Consumer Staples | 1.5 | ||||||
Materials | 1.4 | ||||||
Purchased Options | 0.1 | ||||||
Short Term Investments | 6.8 | ||||||
Total Investments | 100.0 | % |
†Total Investments at October 31, 2014
Portfolio Manager Commentary: For the year ended October 31, 2014, Curian/PIMCO Income Fund outperformed its benchmark by posting a return of 7.26% compared to 6.24% for the Barclays U.S. Credit Index.
The investment concentration differences relative to the benchmark included an underweight to investment grade credit and an overweight to EM with U.S. government exposure fluctuating around the benchmark over the year. The Fund also had
out of index exposure to mortgages, high yield and non U.S. developed corporate bonds. During the year, the Fund maintained consistent exposure to investment grade corporates, decreased overall mortgage exposure and increased exposure to high yield and municipal bonds.
The net outperformance relative to the benchmark resulted from several strategies. Curve positioning, particularly an underweight to longer dated maturities, was negative for performance as the yield curve flattened over the year. Defensive positioning against specific developed economies, such as Japan and the UK, also detracted from returns as yields fell in those regions. Conversely, tactical exposure to select EM local rates, such as Mexico, added to performance as yields rallied. Within investment grade corporate bonds, an emphasis on banks, which outperformed the broader market, also contributed to outperformance. In high yield, an emphasis on the bonds of financial and industrial companies contributed to returns. Within mortgages, an out of benchmark allocation to non-agency mortgages added to returns, as they benefited from the ongoing housing recovery. Lastly, the Fund's overweight to U.S. dollar denominated EM debt slightly detracted from returns as spreads generally widened for the year.
Derivatives were used in the Fund and are instrumental in attaining specific exposures targeted to gain from anticipated market developments. The Fund's U.S. duration positioning, which was negative for returns, was partly facilitated through the use of interest rate swaps. The overweight to local Brazilian rates, which detracted from relative performance, was also implemented using zero coupon interest rate swaps; however, this was offset by an overall EM rate overweight, which was positive. Additionally, investment grade corporate exposure was positive for performance and was implemented partially through the use of credit default swaps.
PIMCO's The New Neutral reflects our expectations for low real policy rates given subpar growth and high debt levels. We expect the U.S. to continue to be a bright spot in the global economy, with growth of 2.5% to 3.0%, driven by an acceleration in capital expenditures. We also expect the Eurozone economy to expand by 0.75% to 1.25% over the next year, continuing its painfully slow climb out of a double dip recession. Beyond China, the outlook for EM countries remains bifurcated, with Mexico showing increasingly positive signs of economic recovery.
Total Return*
1 Year | 7.26 | % | |||||
Since Inception | 6.11 | ||||||
(Inception date November 2, 2011) |
Expense Ratios**
Net Expense Ratio | |||||||
Prospectus | 0.85 | % | |||||
Year ended October 31, 2014 | 0.73 | ||||||
Gross Expense Ratio | |||||||
Prospectus | 1.02 | % | |||||
Year ended October 31, 2014 | 1.04 |
*Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, however, performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The prospectus expense ratios are from the Fund's prospectus dated February 28, 2014. Net expense ratio is net of contractual waivers.
The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.
2
Pacific Investment Management Company LLC (Unaudited)
Curian/PIMCO Total Return Fund
Portfolio Composition†:
Government Securities | 34.8 | % | |||||
Financials | 21.1 | ||||||
U.S. Government Agency MBS | 12.2 | ||||||
Non-U.S. Government Agency ABS | 8.4 | ||||||
Telecommunication Services | 4.0 | ||||||
Consumer Discretionary | 1.4 | ||||||
Energy | 0.7 | ||||||
Health Care | 0.5 | ||||||
Industrials | 0.4 | ||||||
Utilities | 0.4 | ||||||
Consumer Staples | 0.3 | ||||||
Materials | 0.1 | ||||||
Information Technology | 0.1 | ||||||
Short Term Investments | 15.6 | ||||||
Total Investments | 100.0 | % |
†Total Investments at October 31, 2014
Portfolio Manager Commentary: For the year ended October 31, 2014, Curian/PIMCO Total Return Fund underperformed its benchmark by posting a return of 2.98% compared to 4.14% for the Barclays U.S. Aggregate Bond Index.
The investment concentration differences relative to the benchmark included an overweight to EM and municipals, and an underweight to agency mortgages and investment grade credit. The Fund also had out of index exposure to high yield and
non U.S. developed corporate bonds. During the year, the Fund increased exposure to investment grade corporates and non U.S. developed corporate bonds, while decreasing exposure to agency mortgages.
The net underperformance relative to the benchmark resulted from several strategies. Curve positioning, particularly an underweight to longer dated maturities, was negative for performance as the yield curve flattened over the fiscal year. Interest rate exposure to specific developed economies, such as Spain and Italy, added to returns as yields fell in those regions. Within investment grade corporate bonds, an overall underweight relative to the benchmark detracted for the year, as the sector posted positive excess returns. In high yield, an emphasis on the bonds of financial and industrial companies contributed to returns. Within mortgages, an out of benchmark allocation to non-agency mortgages added to returns, as they benefited from the ongoing housing recovery. Lastly, the Fund's holdings of Treasury Inflation Protected Securities detracted from returns as breakeven inflation levels narrowed on falling inflation expectations.
Derivatives were used in the Fund and are instrumental in attaining specific exposures target-
ed to gain from anticipated market developments. The Fund's U.S. duration positioning, which was negative for returns, was partly facilitated through the use of interest rate swaps. The overweight to local Brazilian rates, which detracted from relative performance, was also implemented using zero coupon interest rate swaps; however, this was offset by an overall EM rate overweight, which was positive. Additionally, investment grade corporate exposure was positive for performance and was implemented partially through the use of credit default swaps.
PIMCO's The New Neutral reflects our expectations for low real policy rates given subpar growth and high debt levels. We expect the U.S. to continue to be a bright spot in the global economy, with growth of 2.5% to 3.0%, driven by an acceleration in capital expenditures. We also expect the Eurozone economy to expand by 0.75% to 1.25% over the next year, continuing its painfully slow climb out of a double dip recession. Beyond China, the outlook for EM countries remains bifurcated, with Mexico showing increasingly positive signs of economic recovery.
Total Return*
1 Year | 2.98 | % | |||||
Since Inception | 3.51 | ||||||
(Inception date November 2, 2011) |
Expense Ratios**
Net Expense Ratio | |||||||
Prospectus | 0.80 | % | |||||
Year ended October 31, 2014 | 0.67 | ||||||
Gross Expense Ratio | |||||||
Prospectus | 0.99 | % | |||||
Year ended October 31, 2014 | 1.00 |
*Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, however, performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The prospectus expense ratios are from the Fund's prospectus dated February 28, 2014. Net expense ratio is net of contractual waivers.
The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.
3
Wellington Management Company, LLP (Unaudited)
Market Summary: Global equities rose during the year, notwithstanding bouts of significant volatility. Despite ongoing geopolitical tensions in Ukraine and the Middle East, concerns about a Chinese growth slowdown, and unsettling economic and political developments in several other emerging market countries, the five-year-old bull market marched on in the first half of 2014. Robust merger and acquisition activity, along with continued accommodative monetary policy from central banks around the globe, aided positive investor sentiment in May and June. However, the aforementioned geopolitical tensions in Ukraine and the Middle East, Portuguese banking woes, European economic malaise and the prospect of an accelerated U.S. Federal Reserve interest rate hike timeline all conspired to stall the global stock rally near the end
of the year. In addition, China's property slump and poor gross domestic product readings in Japan and the Eurozone raised the specter of a slowdown in global economic growth. Nevertheless, there were several positive developments, including monetary easing by the European Central Bank and the People's Bank of China, as well as an encouraging U.S. corporate earnings season. Despite these positives, many market participants found ample reason to reassess their risk appetites given the strong performance in recent years. During the year, emerging market equities underperformed their developed market counterparts and U.S. stocks generally outperformed non U.S. stocks.
Curian/WMC International Equity Fund
Portfolio Composition†:
Financials | 21.8 | % | |||||
Health Care | 16.2 | ||||||
Industrials | 11.8 | ||||||
Consumer Discretionary | 10.2 | ||||||
Information Technology | 9.2 | ||||||
Energy | 7.9 | ||||||
Consumer Staples | 6.9 | ||||||
Materials | 5.3 | ||||||
Utilities | 3.8 | ||||||
Telecommunication Services | 3.7 | ||||||
Investment Companies | 0.3 | ||||||
Short Term Investments | 2.9 | ||||||
Total Investments | 100.0 | % |
†Total Investments at October 31, 2014
Portfolio Manager Commentary: For the year ended October 31, 2014, Curian/WMC International Equity Fund outperformed its benchmark by posting a return of 1.63% compared to 0.06% for the MSCI All Country World ex. U.S. Index. Stock selection and allocation among
sectors, a residual of the bottom-up stock selection process, both contributed to positive relative performance.
The Fund benefited from strong security selection within information technology, health care and consumer discretionary. Partially offsetting these positive relative results was the Fund's negative relative selection within financials and industrials. Sector allocation benefited from an overweight to health care and an underweight to materials. Underweight allocations to financials and telecommunications modestly detracted from performance. From a regional perspective, security selection was strongest in emerging markets ("EM") and North America, but weakest in Developed Europe (including the UK) and Japan. An overweight allocation to Developed Europe (ex UK) and underweight allocations to EM and the Developed Pacific Basin (ex Japan) region were the top contributors from an allocation perspective.
Top contributors to relative performance during the year included UK based global pharmaceutical company AstraZeneca Plc, Netherlands based semiconductor manufacturer NXP Semiconductors NV, and Tim Hortons Inc., a North American restaurant chain operator. Top detractors from relative performance included German airline company Deutsche Lufthansa AG, France based electrical products distributor Rexel SA, and BG Group Plc, a UK based oil and natural gas exploration company.
The Fund ended the year with overweight exposures to health care, particularly pharmaceutical companies, information technology and industrials stocks. The Fund was most underweight financials, consumer staples and materials at the end of the year. The Fund ended the year most overweight to Developed Europe (ex UK) and Japan and most underweight in the developed Pacific Basin (ex Japan) region and emerging markets.
Total Return*
1 Year | 1.63 | % | |||||
Since Inception | 10.78 | ||||||
(Inception date November 2, 2011) |
Expense Ratios**
Net Expense Ratio | |||||||
Prospectus | 1.32 | % | |||||
Year ended October 31, 2014 | 1.10 | ||||||
Gross Expense Ratio | |||||||
Prospectus | 1.46 | % | |||||
Year ended October 31, 2014 | 1.45 |
*Past performance is not predictive of future performance. Investment return and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. Performance numbers are net of all Fund operating expenses, however, performance results do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
**The prospectus expense ratios are from the Fund's prospectus dated February 28, 2014. Net expense ratio is net of contractual waivers.
The Fund's investment adviser waived/reimbursed certain expenses of the Fund. Performance results shown reflect the waiver, without which they would have been lower.
4
Curian Series Trust
Schedules of Investments
October 31, 2014
Curian/PIMCO Income Fund
|
| Shares/Par † |
| Value |
| ||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 8.8% |
|
|
|
|
| ||
Asset Backed Securities Corp. Home Equity Loan Trust REMIC, 1.10%, 09/25/34 (a) |
| $ | 561,718 |
| $ | 512,240 |
|
Banc of America Alternative Loan Trust REMIC, 5.75%, 11/25/35 |
| 1,042,711 |
| 971,888 |
| ||
Bear Stearns Asset Backed Securities Trust REMIC |
|
|
|
|
| ||
0.64%, 07/25/35 (a) |
| 282,864 |
| 276,497 |
| ||
1.35%, 01/25/45 (a) |
| 554,214 |
| 452,047 |
| ||
Citigroup Mortgage Loan Trust REMIC, 5.46%, 09/25/37 (a) |
| 254,456 |
| 225,938 |
| ||
Continental Airlines Pass-Through Trust |
|
|
|
|
| ||
5.50%, 04/29/22 |
| 1,177,776 |
| 1,236,665 |
| ||
4.00%, 04/29/26 |
| 946,748 |
| 956,215 |
| ||
Countrywide Asset-Backed Certificates REMIC |
|
|
|
|
| ||
1.01%, 08/25/34 (a) |
| 1,100,000 |
| 1,038,119 |
| ||
1.13%, 06/25/35 (a) |
| 600,000 |
| 589,827 |
| ||
0.25%, 07/25/37 (a) |
| 981,040 |
| 969,516 |
| ||
Countrywide Home Loans Inc. Alternative Loan Trust REMIC, 3.40%, 08/25/18 |
| 859,017 |
| 863,374 |
| ||
CVS Pass-Through Trust, 5.93%, 01/10/34 (b) |
| 1,400,783 |
| 1,614,576 |
| ||
Delta Air Lines Inc. Pass-Through Trust |
|
|
|
|
| ||
7.75%, 06/17/21 |
| 490,590 |
| 566,631 |
| ||
6.72%, 07/02/24 |
| 777,207 |
| 892,078 |
| ||
Federal Express Corp. Pass-Through Trust, 2.63%, 01/15/18 (c) (d) |
| 936,594 |
| 949,930 |
| ||
First Franklin Mortgage Loan Trust REMIC, 0.63%, 05/25/35 (a) |
| 1,200,000 |
| 1,102,728 |
| ||
Home Equity Asset Trust REMIC, 1.25%, 07/25/35 (a) |
| 1,950,000 |
| 1,725,873 |
| ||
HomeBanc Mortgage Trust REMIC, 0.42%, 10/25/35 (a) |
| 668,595 |
| 608,304 |
| ||
Inwood Park CDO Ltd., 0.46%, 01/20/21 (a) (b) |
| 89,512 |
| 89,149 |
| ||
Lehman XS Trust REMIC, 5.17%, 08/25/35 (a) |
| 927,699 |
| 927,454 |
| ||
Morgan Stanley ABS Capital I Inc. Trust REMIC, 1.07%, 03/25/35 (a) |
| 1,000,000 |
| 835,428 |
| ||
Morgan Stanley Capital I Inc. Trust REMIC, 0.44%, 01/25/36 (a) |
| 5,600,000 |
| 4,964,814 |
| ||
OMX Timber Finance Investments I LLC, 5.42%, 01/29/20 (c) (d) |
| 700,000 |
| 778,153 |
| ||
Park Place Securities Inc. Asset-Backed Pass-Through Certificates REMIC |
|
|
|
|
| ||
1.14%, 09/25/34 (a) |
| 2,051,741 |
| 1,950,724 |
| ||
0.65%, 07/25/35 (a) |
| 1,200,000 |
| 1,182,659 |
| ||
Progress Trust, 4.18%, 06/20/44 (a), AUD |
| 727,203 |
| 650,570 |
| ||
Race Point V CLO Ltd, 1.53%, 12/15/22 (b) |
| 1,450,000 |
| 1,451,318 |
| ||
RALI Trust REMIC |
|
|
|
|
| ||
6.00%, 12/25/35 |
| 1,325,278 |
| 1,149,040 |
| ||
6.00%, 02/25/37 |
| 1,406,852 |
| 1,122,495 |
| ||
Residential Asset Securities Corp. Trust REMIC, 0.59%, 01/25/36 (a) |
| 1,500,000 |
| 1,382,781 |
| ||
SBA Tower Trust |
|
|
|
|
| ||
5.10%, 04/15/42 (b) |
| 1,000,000 |
| 1,060,302 |
| ||
REMIC, 3.60%, 04/15/43 (b) |
| 2,300,000 |
| 2,315,001 |
| ||
STARM Mortgage Loan Trust REMIC, 6.00%, 02/25/37 (a) |
| 493,032 |
| 477,647 |
| ||
Structured Asset Investment Loan Trust REMIC, 1.13%, 10/25/33 (a) |
| 2,249,173 |
| 2,141,321 |
| ||
Structured Asset Securities Corp. Mortgage Pass-Through Certificates REMIC, 2.43%, 09/25/33 (a) |
| 832,953 |
| 829,891 |
| ||
United Air Lines Inc. Pass-Through Trust |
|
|
|
|
| ||
10.40%, 11/01/16 |
| 668,967 |
| 743,222 |
| ||
9.75%, 01/15/17 |
| 431,706 |
| 481,914 |
| ||
3.75%, 03/03/28 |
| 1,000,000 |
| 1,002,500 |
| ||
Washington Mutual Mortgage Pass-Through Certificates REMIC, 2.40%, 01/25/35 (a) |
| 787,621 |
| 790,759 |
| ||
Wells Fargo Mortgage Backed Securities Trust REMIC, 5.50%, 01/25/36 |
| 46,306 |
| 44,590 |
| ||
WG Horizons CLO, 0.50%, 05/24/19 (a) (b) |
| 249,607 |
| 246,958 |
| ||
Total Non-U.S. Government Agency Asset- Backed Securities (cost $40,819,647) |
|
|
| 42,171,136 |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS AND NOTES - 78.1% |
|
|
|
|
| ||
|
|
|
|
|
| ||
CONSUMER DISCRETIONARY - 5.9% |
|
|
|
|
| ||
Altice SA, 7.25%, 05/15/22, EUR |
| 350,000 |
| 452,857 |
| ||
AMAYA Holdings BV Term Loan, 5.00%, 07/29/21 (a) |
| 700,000 |
| 694,022 |
| ||
Cablevision Systems Corp. Term Loan B, 2.65%, 04/09/20 (a) |
| 468,054 |
| 457,055 |
| ||
Clear Channel Worldwide Holdings Inc., 6.50%, 11/15/22 |
| 1,000,000 |
| 1,035,000 |
| ||
COX Communications Inc., 6.25%, 06/01/18 (b) |
| 2,000,000 |
| 2,277,612 |
| ||
D.R. Horton Inc. |
|
|
|
|
| ||
3.75%, 03/01/19 |
| 600,000 |
| 600,750 |
| ||
4.75%, 02/15/23 |
| 500,000 |
| 493,750 |
| ||
Jaguar Land Rover Automotive Plc, 4.13%, 12/15/18 (b) |
| 300,000 |
| 305,250 |
| ||
Massachusetts Institute of Technology, 4.68%, 07/01/14 |
| 1,100,000 |
| 1,221,959 |
| ||
MCE Finance Ltd., 5.00%, 02/15/21 (b) (e) |
| 1,000,000 |
| 985,000 |
| ||
MGM Resorts International Term Loan B, 3.50%, 12/20/19 (a) |
| 1,572,000 |
| 1,552,350 |
| ||
NBCUniversal Enterprise Inc., 5.25%, (callable at 100 beginning 03/19/21) (b) (f) |
| 400,000 |
| 416,677 |
| ||
NBCUniversal Media LLC, 5.15%, 04/30/20 |
| 3,000,000 |
| 3,413,664 |
| ||
Numericable Group SA |
|
|
|
|
| ||
4.88%, 05/15/19 (b) |
| 350,000 |
| 349,125 |
| ||
6.00%, 05/15/22 (b) |
| 700,000 |
| 715,750 |
| ||
Pearson Funding Five Plc, 3.25%, 05/08/23 (b) |
| 1,000,000 |
| 961,368 |
| ||
Time Warner Cable Inc., 6.75%, 07/01/18 |
| 1,000,000 |
| 1,163,201 |
| ||
Toll Brothers Finance Corp., 6.75%, 11/01/19 |
| 2,000,000 |
| 2,251,220 |
| ||
Venetian Casino Resort LLC Term Loan, 3.25%, 12/16/20 (a) |
| 2,612,260 |
| 2,603,195 |
| ||
Viacom Inc. |
|
|
|
|
| ||
4.25%, 09/01/23 |
| 1,000,000 |
| 1,030,782 |
| ||
4.50%, 02/27/42 |
| 2,000,000 |
| 1,902,004 |
| ||
Wynn Las Vegas LLC |
|
|
|
|
| ||
7.75%, 08/15/20 |
| 500,000 |
| 537,500 |
| ||
5.38%, 03/15/22 (e) |
| 1,209,000 |
| 1,272,472 |
| ||
Wynn Macau Ltd., 5.25%, 10/15/21 (b) |
| 1,400,000 |
| 1,400,000 |
| ||
|
|
|
| 28,092,563 |
| ||
CONSUMER STAPLES - 1.7% |
|
|
|
|
| ||
Altria Group Inc. |
|
|
|
|
| ||
9.70%, 11/10/18 (g) |
| 222,000 |
| 286,139 |
| ||
9.25%, 08/06/19 (g) |
| 222,000 |
| 288,992 |
| ||
BRF SA, 4.75%, 05/22/24 (b) |
| 500,000 |
| 500,625 |
| ||
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
Diageo Capital Plc, 4.83%, 07/15/20 |
| 2,000,000 |
| 2,241,276 |
|
Kraft Foods Group Inc., 6.13%, 08/23/18 |
| 2,700,000 |
| 3,096,041 |
|
Reynolds American Inc., 3.25%, 11/01/22 |
| 1,900,000 |
| 1,854,788 |
|
|
|
|
| 8,267,861 |
|
ENERGY - 9.1% |
|
|
|
|
|
AK Transneft OJSC Via TransCapitalInvest Ltd., 8.70%, 08/07/18 (b) |
| 2,750,000 |
| 3,055,937 |
|
California Resources Corp. |
|
|
|
|
|
5.50%, 09/15/21 (b) |
| 850,000 |
| 867,000 |
|
6.00%, 11/15/24 (b) |
| 250,000 |
| 256,250 |
|
Chesapeake Energy Corp., 3.48%, 04/15/19 (a) |
| 1,000,000 |
| 1,000,690 |
|
CNOOC Curtis Funding No. 1 Pty Ltd., 4.50%, 10/03/23 (b) |
| 700,000 |
| 741,326 |
|
CNOOC Finance 2013 Ltd., 3.00%, 05/09/23 |
| 1,800,000 |
| 1,706,780 |
|
Enable Midstream Partners LP, 2.40%, 05/15/19 (c) (d) |
| 1,200,000 |
| 1,184,316 |
|
Energy Future Intermediate Holding Term Loan, 4.25%, 04/28/16 (a) |
| 3,811,322 |
| 3,801,793 |
|
Ensco Plc, 4.50%, 10/01/24 (e) |
| 1,200,000 |
| 1,214,765 |
|
Enterprise Products Operating LLC |
|
|
|
|
|
3.90%, 02/15/24 |
| 800,000 |
| 822,998 |
|
3.75%, 02/15/25 |
| 1,400,000 |
| 1,404,106 |
|
Gazprom Neft OAO Via GPN Capital SA, 6.00%, 11/27/23 (b) |
| 600,000 |
| 580,500 |
|
Gazprom OAO, 9.25%, 04/23/19 (b) |
| 900,000 |
| 1,039,684 |
|
Gazprom OAO Via Gaz Capital SA, 8.15%, 04/11/18 (b) |
| 600,000 |
| 662,784 |
|
Harvest Operations Corp., 6.88%, 10/01/17 |
| 620,000 |
| 632,400 |
|
Kinder Morgan Energy Partners LP, 6.00%, 02/01/17 |
| 2,300,000 |
| 2,518,240 |
|
Nabors Industries Inc., 2.35%, 09/15/16 |
| 500,000 |
| 507,619 |
|
ONEOK Partners LP, 3.38%, 10/01/22 |
| 800,000 |
| 780,407 |
|
Pacific Rubiales Energy Corp., 5.13%, 03/28/23 (b) (e) |
| 400,000 |
| 383,000 |
|
Petrobras Global Finance BV, 6.25%, 03/17/24 |
| 1,600,000 |
| 1,694,848 |
|
Petrobras International Finance Co., 7.88%, 03/15/19 |
| 1,700,000 |
| 1,949,441 |
|
Petrofac Ltd., 3.40%, 10/10/18 (c) (d) |
| 700,000 |
| 720,753 |
|
Pioneer Natural Resources Co. |
|
|
|
|
|
5.88%, 07/15/16 |
| 600,000 |
| 645,095 |
|
6.65%, 03/15/17 |
| 600,000 |
| 664,769 |
|
Rockies Express Pipeline LLC, 6.00%, 01/15/19 (b) |
| 950,000 |
| 1,007,000 |
|
Rosneft Finance SA |
|
|
|
|
|
7.50%, 07/18/16 (b) (e) |
| 1,300,000 |
| 1,352,000 |
|
7.88%, 03/13/18 |
| 1,000,000 |
| 1,068,750 |
|
Rosneft Oil Co. via Rosneft International Finance Ltd., 4.20%, 03/06/22 (b) |
| 600,000 |
| 523,500 |
|
Sabine Pass Liquefaction LLC, 5.75%, 05/15/24 (b) |
| 2,300,000 |
| 2,377,625 |
|
Seadrill Ltd. Term Loan, 4.00%, 02/12/21 (a) |
| 198,998 |
| 187,776 |
|
Sinopec Group Overseas Development 2014 Ltd., 1.15%, 04/10/19 (a) (b) |
| 2,500,000 |
| 2,502,147 |
|
Statoil ASA, 6.70%, 01/15/18 |
| 1,500,000 |
| 1,729,216 |
|
Targa Resources Partners LP |
|
|
|
|
|
6.88%, 02/01/21 |
| 50,000 |
| 53,750 |
|
6.38%, 08/01/22 |
| 725,000 |
| 779,375 |
|
Western Gas Partners LP, 4.00%, 07/01/22 |
| 1,000,000 |
| 1,030,700 |
|
Williams Partners LP, 4.30%, 03/04/24 |
| 1,700,000 |
| 1,758,698 |
|
|
|
|
| 43,206,038 |
|
FINANCIALS - 42.3% |
|
|
|
|
|
ABN AMRO Bank NV, 6.25%, 09/13/22 |
| 2,200,000 |
| 2,406,250 |
|
AerCap Ireland Capital Ltd. |
|
|
|
|
|
2.75%, 05/15/17 (b) |
| 250,000 |
| 246,875 |
|
3.75%, 05/15/19 (b) |
| 250,000 |
| 248,125 |
|
Alexandria Real Estate Equities Inc., 2.75%, 01/15/20 |
| 700,000 |
| 698,016 |
|
Ally Financial Inc., 2.75%, 01/30/17 |
| 950,000 |
| 951,140 |
|
American Campus Communities Operating Partnership LP, 3.75%, 04/15/23 |
| 650,000 |
| 645,095 |
|
American Tower Corp., 4.50%, 01/15/18 |
| 2,000,000 |
| 2,134,800 |
|
ARC Properties Operating Partnership LP, 3.00%, 02/06/19 |
| 1,100,000 |
| 1,059,267 |
|
Banco de Credito del Peru, 4.25%, 04/01/23 (b) |
| 800,000 |
| 802,000 |
|
Banco de Credito e Inversiones, 4.00%, 02/11/23 (b) |
| 400,000 |
| 396,752 |
|
Banco do Brasil SA, 3.88%, 10/10/22 |
| 900,000 |
| 849,600 |
|
Banco Espirito Santo SA |
|
|
|
|
|
3.88%, 01/21/15, EUR |
| 100,000 |
| 124,375 |
|
5.88%, 11/09/15, EUR |
| 500,000 |
| 608,247 |
|
5.00%, 05/23/19, EUR |
| 700,000 |
| 816,898 |
|
Banco Popolare Sc, 2.38%, 01/22/18, EUR |
| 2,000,000 |
| 2,524,548 |
|
Banco Santander Brasil SA |
|
|
|
|
|
4.25%, 01/14/16 (b) |
| 2,000,000 |
| 2,055,000 |
|
4.63%, 02/13/17 (b) |
| 1,700,000 |
| 1,770,125 |
|
Bank of America Corp. |
|
|
|
|
|
0.00%, 01/04/17 (h) |
| 3,200,000 |
| 3,129,280 |
|
2.60%, 01/15/19 |
| 1,200,000 |
| 1,211,004 |
|
3.96%, 10/21/25 (o), MXN |
| 6,000,000 |
| 482,885 |
|
Bank of America NA |
|
|
|
|
|
1.25%, 02/14/17 |
| 1,250,000 |
| 1,251,576 |
|
0.65%, 05/08/17 (a) |
| 1,000,000 |
| 999,253 |
|
6.10%, 06/15/17 |
| 250,000 |
| 277,339 |
|
Bank of New York Mellon Corp., 2.30%, 09/11/19 |
| 2,400,000 |
| 2,402,834 |
|
Banque PSA Finance SA, 4.38%, 04/04/16 (c) (d) |
| 1,700,000 |
| 1,725,500 |
|
Barclays Bank Plc |
|
|
|
|
|
14.00% (callable at 100 beginning 12/15/19) (f), GBP |
| 1,700,000 |
| 3,535,321 |
|
7.63%, 11/21/22 | �� | 400,000 |
| 435,750 |
|
BBVA US Senior SAU, 4.66%, 10/09/15 |
| 1,900,000 |
| 1,968,563 |
|
Biomed Realty LP, 4.25%, 07/15/22 |
| 1,200,000 |
| 1,236,659 |
|
BPCE SA |
|
|
|
|
|
5.70%, 10/22/23 (b) |
| 800,000 |
| 859,088 |
|
4.63%, 07/11/24 (b) |
| 2,150,000 |
| 2,120,128 |
|
5.15%, 07/21/24 (b) |
| 1,600,000 |
| 1,646,037 |
|
Cantor Fitzgerald LP, 7.88%, 10/15/19 (b) |
| 1,200,000 |
| 1,322,496 |
|
CIT Group Inc., 5.50%, 02/15/19 (b) |
| 200,000 |
| 213,375 |
|
Citigroup Inc., 0.75%, 05/31/17 (a), EUR |
| 900,000 |
| 1,116,702 |
|
Commonwealth Bank of Australia, 2.30%, 09/06/19 |
| 2,100,000 |
| 2,102,020 |
|
Compass Bank, 2.75%, 09/29/19 |
| 1,200,000 |
| 1,208,711 |
|
Countrywide Financial Corp., 6.25%, 05/15/16 |
| 400,000 |
| 429,720 |
|
Credit Agricole SA |
|
|
|
|
|
6.63% (callable at 100 beginning 09/23/19) (c) (d) (f) |
| 800,000 |
| 780,480 |
|
7.88% (callable at 100 beginning 01/23/24) (f) |
| 600,000 |
| 619,320 |
|
8.13%, 09/19/33 |
| 350,000 |
| 396,375 |
|
Credit Suisse |
|
|
|
|
|
2.30%, 05/28/19 |
| 1,500,000 |
| 1,496,851 |
|
3.00%, 10/29/21 |
| 1,400,000 |
| 1,385,573 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
3.63%, 09/09/24 |
| 1,200,000 |
| 1,203,881 |
|
Credit Suisse AG |
|
|
|
|
|
6.50%, 08/08/23 |
| 1,650,000 |
| 1,819,125 |
|
6.50%, 08/08/23 (b) (e) |
| 700,000 |
| 771,750 |
|
Credit Suisse Group AG, 7.50%, (callable at 100 beginning 12/11/23) (b) (f) |
| 600,000 |
| 637,680 |
|
DBS Bank Ltd., 3.63%, 09/21/22 |
| 1,975,000 |
| 2,035,506 |
|
DBS Group Holdings Ltd., 2.25%, 07/16/19 (b) |
| 800,000 |
| 797,658 |
|
Eksportfinans ASA |
|
|
|
|
|
2.38%, 05/25/16 |
| 500,000 |
| 499,750 |
|
5.50%, 05/25/16 |
| 1,540,000 |
| 1,615,075 |
|
5.50%, 06/26/17 |
| 700,000 |
| 746,508 |
|
Experian Finance Plc, 2.38%, 06/15/17 (b) |
| 1,200,000 |
| 1,220,485 |
|
Fidelity National Financial Inc., 5.50%, 09/01/22 |
| 900,000 |
| 978,183 |
|
First American Financial Corp., 4.30%, 02/01/23 |
| 1,100,000 |
| 1,112,481 |
|
Ford Motor Credit Co. LLC |
|
|
|
|
|
12.00%, 05/15/15 |
| 1,050,000 |
| 1,111,625 |
|
2.50%, 01/15/16 |
| 1,400,000 |
| 1,423,835 |
|
6.63%, 08/15/17 |
| 500,000 |
| 563,706 |
|
General Electric Capital Corp. |
|
|
|
|
|
5.88%, 01/14/38 |
| 4,500,000 |
| 5,525,527 |
|
5.50%, 09/15/67 (a), EUR |
| 400,000 |
| 542,098 |
|
6.38%, 11/15/67 (a) |
| 1,005,000 |
| 1,072,838 |
|
Goldman Sachs Group Inc. |
|
|
|
|
|
6.25%, 09/01/17 |
| 400,000 |
| 448,361 |
|
5.95%, 01/18/18 |
| 11,450,000 |
| 12,819,992 |
|
6.15%, 04/01/18 |
| 850,000 |
| 960,500 |
|
4.80%, 07/08/44 |
| 1,600,000 |
| 1,652,202 |
|
Hana Bank, 4.38%, 09/30/24 (b) |
| 700,000 |
| 722,280 |
|
HBOS Plc, 6.75%, 05/21/18 (b) |
| 2,700,000 |
| 3,032,335 |
|
HDFC Bank Ltd., 3.00%, 11/30/16 |
| 1,300,000 |
| 1,324,505 |
|
HSBC Bank Plc |
|
|
|
|
|
4.13%, 08/12/20 (b) |
| 500,000 |
| 538,545 |
|
4.75%, 01/19/21 (b) |
| 700,000 |
| 774,698 |
|
HSBC Capital Funding LP, 10.18%, (callable at 100 beginning 06/30/30) (b) (f) |
| 400,000 |
| 596,000 |
|
HSBC Finance Corp., 0.66%, 06/01/16 (a) |
| 500,000 |
| 499,786 |
|
HSBC Holdings Plc |
|
|
|
|
|
6.38% (callable at 100 beginning 09/17/24) (f) |
| 1,200,000 |
| 1,224,000 |
|
6.80%, 06/01/38 |
| 3,000,000 |
| 3,866,214 |
|
ICICI Bank Ltd. |
|
|
|
|
|
5.50%, 03/25/15 |
| 500,000 |
| 507,901 |
|
4.75%, 11/25/16 |
| 600,000 |
| 630,282 |
|
4.75%, 11/25/16 (b) |
| 882,000 |
| 926,515 |
|
ING Bank NV |
|
|
|
|
|
2.00%, 09/25/15 (b) |
| 1,000,000 |
| 1,011,486 |
|
5.80%, 09/25/23 (b) |
| 1,000,000 |
| 1,112,502 |
|
International Lease Finance Corp. |
|
|
|
|
|
6.75%, 09/01/16 (b) |
| 4,000,000 |
| 4,240,000 |
|
7.13%, 09/01/18 (b) |
| 450,000 |
| 509,625 |
|
Intesa Sanpaolo SpA |
|
|
|
|
|
3.13%, 01/15/16 |
| 3,500,000 |
| 3,573,692 |
|
5.02%, 06/26/24 (c) (d) (e) |
| 900,000 |
| 879,226 |
|
Jefferies Finance LLC, 7.38%, 04/01/20 (b) |
| 800,000 |
| 798,000 |
|
JPMorgan Chase & Co. |
|
|
|
|
|
1.07%, 05/30/17 (a), GBP |
| 2,700,000 |
| 4,260,646 |
|
5.00% (callable at 100 beginning 07/01/19) (f) |
| 2,000,000 |
| 1,967,500 |
|
3.63%, 05/13/24 |
| 1,000,000 |
| 1,012,042 |
|
JPMorgan Chase Bank NA |
|
|
|
|
|
0.77%, 05/31/17 (a), EUR |
| 3,500,000 |
| 4,380,537 |
|
0.65%, 06/02/17 (a) |
| 5,000,000 |
| 5,001,265 |
|
6.00%, 07/05/17 |
| 1,000,000 |
| 1,113,487 |
|
6.00%, 10/01/17 |
| 7,000,000 |
| 7,832,006 |
|
Korea Exchange Bank, 3.13%, 06/26/17 (b) |
| 1,100,000 |
| 1,136,727 |
|
LBG Capital No.1 Plc, 8.00%, (callable at 100 beginning 06/15/20) (b) (f) |
| 400,000 |
| 429,000 |
|
LBG Capital No.2 Plc |
|
|
|
|
|
15.00%, 12/21/19 (i), GBP |
| 200,000 |
| 446,314 |
|
15.00%, 12/21/19 (i), EUR |
| 500,000 |
| 923,884 |
|
LeasePlan Corp. NV, 2.50%, 05/16/18 (b) |
| 3,000,000 |
| 3,019,350 |
|
Lloyds Bank Plc, 12.00%, (callable at 100 beginning 12/16/24) (b) (f) |
| 1,200,000 |
| 1,737,000 |
|
Merrill Lynch & Co. Inc., 6.88%, 04/25/18 |
| 2,500,000 |
| 2,891,930 |
|
Metropolitan Life Global Funding I, 2.30%, 04/10/19 (b) |
| 1,250,000 |
| 1,253,211 |
|
Moody’s Corp., 4.88%, 02/15/24 |
| 3,900,000 |
| 4,245,602 |
|
Morgan Stanley, 5.95%, 12/28/17 |
| 1,000,000 |
| 1,123,834 |
|
New York Life Global Funding, 1.13%, 03/01/17 (b) |
| 1,000,000 |
| 1,001,678 |
|
Omega Healthcare Investors Inc., 4.95%, 04/01/24 |
| 500,000 |
| 514,770 |
|
Piper Jaffray Cos., 3.23%, 05/31/17 (a) (c) (d) |
| 700,000 |
| 699,641 |
|
Pricoa Global Funding I, 2.20%, 05/16/19 (b) |
| 1,500,000 |
| 1,490,148 |
|
QBE Insurance Group Ltd., 2.40%, 05/01/18 (b) |
| 1,100,000 |
| 1,100,416 |
|
RCI Banque SA, 3.50%, 04/03/18 (b) |
| 1,100,000 |
| 1,137,246 |
|
Rio Oil Finance Trust, 6.25%, 07/06/24 (b) |
| 750,000 |
| 782,132 |
|
Royal Bank of Scotland Group Plc, 6.67%, (callable at 100 beginning 10/05/17) (f), CAD |
| 700,000 |
| 674,194 |
|
Royal Bank of Scotland NV, 4.65%, 06/04/18 |
| 2,300,000 |
| 2,373,471 |
|
Royal Bank of Scotland Plc, 9.50%, 03/16/22 |
| 100,000 |
| 114,290 |
|
Sberbank of Russia Via SB Capital SA |
|
|
|
|
|
5.40%, 03/24/17 |
| 800,000 |
| 811,688 |
|
6.13%, 02/07/22 (b) |
| 300,000 |
| 298,875 |
|
SL Green Realty Corp., 4.50%, 12/01/22 |
| 1,500,000 |
| 1,527,225 |
|
SLM Corp., 8.45%, 06/15/18 |
| 900,000 |
| 1,029,600 |
|
State Bank of India, 4.13%, 08/01/17 |
| 1,250,000 |
| 1,302,670 |
|
SteelRiver Transmission Co. LLC, 4.71%, 06/30/17 (b) |
| 225,747 |
| 237,062 |
|
Sumitomo Mitsui Financial Group Inc., 4.44%, 04/02/24 (b) |
| 1,000,000 |
| 1,040,619 |
|
Sydney Airport Finance Co. Pty Ltd., 5.13%, 02/22/21 (b) (g) |
| 1,560,000 |
| 1,738,414 |
|
Teachers Insurance & Annuity Association of America, 4.38%, 09/15/54 (a) (c) (d) (e) |
| 4,000,000 |
| 4,068,200 |
|
UBS AG |
|
|
|
|
|
2.38%, 08/14/19 |
| 1,700,000 |
| 1,701,987 |
|
7.63%, 08/17/22 (e) |
| 4,050,000 |
| 4,778,081 |
|
Union Bank NA, 0.99%, 09/26/16 (a) |
| 500,000 |
| 503,867 |
|
Wachovia Corp., 5.75%, 02/01/18 |
| 5,400,000 |
| 6,093,749 |
|
WEA Finance LLC, 3.75%, 09/17/24 (c) (d) |
| 600,000 |
| 607,245 |
|
Wells Fargo & Co., 5.90%, (callable at 100 beginning 06/15/24) (f) |
| 1,000,000 |
| 1,028,100 |
|
Weyerhaeuser Co., 7.38%, 10/01/19 |
| 2,800,000 |
| 3,390,593 |
|
|
|
|
| 201,836,607 |
|
HEALTH CARE - 3.0% |
|
|
|
|
|
AbbVie Inc., 2.90%, 11/06/22 |
| 2,500,000 |
| 2,437,860 |
|
Amgen Inc. |
|
|
|
|
|
4.50%, 03/15/20 |
| 1,400,000 |
| 1,533,644 |
|
4.10%, 06/15/21 |
| 200,000 |
| 211,641 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
|
3.63%, 05/15/22 |
| 700,000 |
| 713,478 |
|
3.63%, 05/22/24 |
| 1,500,000 |
| 1,499,943 |
|
5.15%, 11/15/41 |
| 600,000 |
| 643,495 |
|
Boston Scientific Corp., 2.65%, 10/01/18 |
| 500,000 |
| 505,213 |
|
DaVita HealthCare Partners Term Loan, 3.50%, 06/20/21 (a) |
| 199,500 |
| 197,683 |
|
Endo Finance LLC & Endo Finco Inc., 5.38%, 01/15/23 (b) |
| 1,100,000 |
| 1,075,250 |
|
HCA Inc., 3.75%, 03/15/19 |
| 1,000,000 |
| 1,002,500 |
|
Hospira Inc., 6.05%, 03/30/17 |
| 1,200,000 |
| 1,309,780 |
|
Mylan Inc., 1.80%, 06/24/16 |
| 700,000 |
| 708,821 |
|
RPI Finance Trust Term Loan, 3.25%, 05/09/18 (a) |
| 1,626,869 |
| 1,618,230 |
|
Valeant Pharmaceuticals Term Loan BD, 3.50%, 02/13/19 (a) |
| 852,793 |
| 845,331 |
|
|
|
|
| 14,302,869 |
|
INDUSTRIALS - 4.4% |
|
|
|
|
|
AABS Ltd. Term Loan A, 4.88%, 01/10/38 (a) (b) (o) |
| 890,625 |
| 893,820 |
|
ADT Corp. |
|
|
|
|
|
3.50%, 07/15/22 (e) |
| 100,000 |
| 89,500 |
|
4.13%, 06/15/23 (e) |
| 600,000 |
| 552,000 |
|
Asciano Finance Ltd., 4.63%, 09/23/20 (b) |
| 1,000,000 |
| 1,064,317 |
|
Aviation Capital Group Corp. |
|
|
|
|
|
3.88%, 09/27/16 (b) |
| 1,700,000 |
| 1,746,488 |
|
4.63%, 01/31/18 (b) |
| 1,400,000 |
| 1,459,028 |
|
7.13%, 10/15/20 (b) |
| 1,000,000 |
| 1,149,438 |
|
AWAS Aviation Capital Ltd., 7.00%, 10/17/16 (b) |
| 616,000 |
| 626,780 |
|
Burlington Northern Santa Fe LLC |
|
|
|
|
|
5.40%, 06/01/41 |
| 2,500,000 |
| 2,848,578 |
|
4.38%, 09/01/42 |
| 1,000,000 |
| 1,000,668 |
|
Cielo SA, 3.75%, 11/16/22 (b) |
| 500,000 |
| 471,250 |
|
Delos Finance SARL Term Loan, 3.50%, 02/27/21 (a) |
| 1,250,000 |
| 1,242,713 |
|
Heathrow Funding Ltd., 2.50%, 06/25/15 (c) (d) |
| 1,100,000 |
| 1,113,098 |
|
Lender Processing Services Inc., 5.75%, 04/15/23 |
| 335,000 |
| 355,100 |
|
Masco Corp. |
|
|
|
|
|
6.13%, 10/03/16 |
| 1,450,000 |
| 1,551,500 |
|
7.13%, 03/15/20 |
| 1,000,000 |
| 1,142,500 |
|
Penske Truck Leasing Co. LP, 3.38%, 03/15/18 (b) |
| 1,000,000 |
| 1,043,848 |
|
Sensata Technologies Term Loan, 0.00%, 08/15/21 (p) |
| 400,000 |
| 398,332 |
|
USG Corp. |
|
|
|
|
|
9.75%, 01/15/18 (g) |
| 500,000 |
| 576,250 |
|
7.88%, 03/30/20 (b) |
| 800,000 |
| 860,000 |
|
Verisk Analytics Inc., 4.13%, 09/12/22 |
| 975,000 |
| 1,011,377 |
|
|
|
|
| 21,196,585 |
|
INFORMATION TECHNOLOGY - 2.2% |
|
|
|
|
|
Activision Blizzard Inc. Term Loan B, 3.25%, 09/15/20 (a) |
| 339,000 |
| 338,841 |
|
Avago Technologies Ltd. Term Loan B, 3.75%, 04/01/21 (a) |
| 2,400,000 |
| 2,391,312 |
|
Baidu Inc., 3.25%, 08/06/18 |
| 2,400,000 |
| 2,467,634 |
|
Dell Inc Term Loan B, 4.50%, 03/24/20 (a) |
| 1,584,000 |
| 1,585,378 |
|
Fidelity National Information Services Inc., 3.88%, 06/05/24 |
| 800,000 |
| 810,635 |
|
KLA-Tencor Corp. |
|
|
|
|
|
4.13%, 11/01/21 |
| 200,000 |
| 201,374 |
|
4.65%, 11/01/24 |
| 200,000 |
| 200,558 |
|
Motorola Solutions Inc., 4.00%, 09/01/24 (e) |
| 600,000 |
| 589,658 |
|
Symantec Corp., 3.95%, 06/15/22 (e) |
| 1,400,000 |
| 1,374,194 |
|
Tencent Holdings Ltd., 3.38%, 05/02/19 (b) |
| 500,000 |
| 508,391 |
|
|
|
|
| 10,467,975 |
|
MATERIALS - 1.6% |
|
|
|
|
|
ALROSA Finance SA, 7.75%, 11/03/20 |
| 1,000,000 |
| 1,036,250 |
|
Anglo American Capital Plc, 4.13%, 04/15/21 (c) (d) |
| 200,000 |
| 202,271 |
|
Cemex SAB de CV |
|
|
|
|
|
9.50%, 06/15/18 (b) |
| 400,000 |
| 446,800 |
|
5.88%, 03/25/19 (b) (e) |
| 1,200,000 |
| 1,243,500 |
|
Codelco, 2.25%, 07/09/24 (c) (d), EUR |
| 800,000 |
| 1,021,587 |
|
EuroChem Mineral & Chemical Co. OJSC via EuroChem GI Ltd., 5.13%, 12/12/17 (b) |
| 600,000 |
| 588,000 |
|
Georgia-Pacific LLC, 5.40%, 11/01/20 (c) (d) |
| 500,000 |
| 571,260 |
|
Goldcorp Inc., 3.63%, 06/09/21 |
| 350,000 |
| 350,677 |
|
OJSC Novolipetsk Steel via Steel Funding Ltd., 4.45%, 02/19/18 (b) |
| 700,000 |
| 674,625 |
|
West Fraser Timber Co. Ltd., 4.35%, 10/15/24 (c) (d) |
| 200,000 |
| 200,548 |
|
Xstrata Finance Canada Ltd., 2.70%, 10/25/17 (b) (j) |
| 1,100,000 |
| 1,120,083 |
|
|
|
|
| 7,455,601 |
|
TELECOMMUNICATION SERVICES - 4.3% |
|
|
|
|
|
AT&T Inc., 4.80%, 06/15/44 (e) |
| 600,000 |
| 605,624 |
|
CC Holdings GS V LLC, 2.38%, 12/15/17 (e) |
| 550,000 |
| 557,226 |
|
Crown Castle International Corp., 5.25%, 01/15/23 |
| 500,000 |
| 511,875 |
|
Crown Castle Term Loan, 3.00%, 01/31/21 (a) |
| 2,194,472 |
| 2,175,271 |
|
Crown Castle Towers LLC, 5.50%, 01/15/17 (b) |
| 1,500,000 |
| 1,596,090 |
|
Intelsat Jackson Holdings SA Term Loan B-1, 3.75%, 04/02/18 (a) |
| 1,342,495 |
| 1,330,748 |
|
Telecom Italia SpA |
|
|
|
|
|
4.50%, 09/20/17, EUR |
| 1,025,000 |
| 1,376,328 |
|
6.38%, 06/24/19, GBP |
| 200,000 |
| 345,930 |
|
Telefonica Emisiones SAU, 0.88%, 06/23/17 (a) |
| 1,000,000 |
| 998,698 |
|
Verizon Communications Inc. |
|
|
|
|
|
5.15%, 09/15/23 |
| 3,100,000 |
| 3,470,310 |
|
6.55%, 09/15/43 |
| 2,235,000 |
| 2,821,560 |
|
5.01%, 08/21/54 (b) |
| 2,242,000 |
| 2,297,398 |
|
Verizon Wireless Capital LLC, 8.50%, 11/15/18 |
| 1,333,000 |
| 1,662,663 |
|
Virgin Media Secured Finance Plc, 5.38%, 04/15/21 (b) |
| 800,000 |
| 830,000 |
|
|
|
|
| 20,579,721 |
|
UTILITIES - 3.6% |
|
|
|
|
|
Appalachian Power Co., 5.00%, 06/01/17 |
| 2,000,000 |
| 2,179,662 |
|
CMS Energy Corp., 5.05%, 02/15/18 |
| 1,500,000 |
| 1,649,924 |
|
Delmarva Power & Light Co., 3.50%, 11/15/23 |
| 1,700,000 |
| 1,763,325 |
|
Duquesne Light Holdings Inc., 5.90%, 12/01/21 (b) |
| 1,035,000 |
| 1,197,448 |
|
Dynegy Finance I Inc. |
|
|
|
|
|
6.75%, 11/01/19 (b) |
| 700,000 |
| 724,500 |
|
7.38%, 11/01/22 (b) |
| 300,000 |
| 317,250 |
|
ENN Energy Holdings Ltd., 6.00%, 05/13/21 |
| 400,000 |
| 446,986 |
|
IPALCO Enterprises Inc., 7.25%, 04/01/16 (c) (d) |
| 1,400,000 |
| 1,491,000 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| |
Israel Electric Corp. Ltd. |
|
|
|
|
| |
5.63%, 06/21/18 |
| 1,250,000 |
| 1,328,250 |
| |
7.25%, 01/15/19 (b) (e) |
| 950,000 |
| 1,065,900 |
| |
Jersey Central Power & Light Co., 4.80%, 06/15/18 |
| 3,000,000 |
| 3,237,723 |
| |
MidAmerican Energy Holdings Co., 5.95%, 05/15/37 |
| 1,500,000 |
| 1,849,744 |
| |
Tokyo Electric Power Co. Inc., 5.05%, 11/28/14, JPY |
| 10,000,000 |
| 89,198 |
| |
|
|
|
| 17,340,910 |
| |
Total Corporate Bonds and Notes |
|
|
| 372,746,730 |
| |
|
|
|
|
|
| |
GOVERNMENT AND AGENCY OBLIGATIONS - 16.6% |
|
|
|
|
| |
|
|
|
|
|
| |
GOVERNMENT SECURITIES - 16.6% |
|
|
|
|
| |
Municipals - 1.9% |
|
|
|
|
| |
California Earthquake Authority, 2.81%, 07/01/19 |
| 1,200,000 |
| 1,198,656 |
| |
City of New York, 5.97%, 03/01/36 |
| 1,000,000 |
| 1,244,640 |
| |
Los Angeles Community College District, 6.75%, 08/01/49 |
| 1,165,000 |
| 1,685,440 |
| |
Metropolitan Transportation Authority, RB, 6.81%, 11/15/40 |
| 1,000,000 |
| 1,367,550 |
| |
Port Authority of New York & New Jersey, GO, 4.93%, 10/01/51 |
| 1,000,000 |
| 1,102,500 |
| |
Sacramento Municipal Utility District, RB, 6.16%, 05/15/36 |
| 1,000,000 |
| 1,273,820 |
| |
Triborough Bridge & Tunnel Authority, GO, 5.50%, 11/15/39 |
| 1,000,000 |
| 1,188,020 |
| |
|
|
|
| 9,060,626 |
| |
Sovereign - 3.3% |
|
|
|
|
| |
Autonomous Community of Valencia, Spain, 4.38%, 07/16/15, EUR |
| 200,000 |
| 255,956 |
| |
Indonesia Government International Bond, 2.88%, 07/08/21 (b), EUR |
| 700,000 |
| 890,362 |
| |
Italy Buoni Poliennali Del Tesoro, 5.50%, 11/01/22, EUR |
| 5,500,000 |
| 8,632,351 |
| |
Slovenia Government International Bond |
|
|
|
|
| |
4.70%, 11/01/16 (b), EUR |
| 1,300,000 |
| 1,756,702 |
| |
4.13%, 02/18/19 (b) |
| 2,000,000 |
| 2,105,000 |
| |
Spain Government Bond, 2.75%, 10/31/24 (b), EUR |
| 1,800,000 |
| 2,384,962 |
| |
|
|
|
| 16,025,333 |
| |
U.S. Treasury Securities - 11.4% |
|
|
|
|
| |
U.S. Treasury Bond |
|
|
|
|
| |
3.13%, 02/15/42 (q) |
| 10,500,000 |
| 10,673,901 |
| |
3.63%, 08/15/43 (q) |
| 2,800,000 |
| 3,106,250 |
| |
3.75%, 11/15/43 (q) |
| 9,425,000 |
| 10,692,955 |
| |
3.38%, 05/15/44 (q) |
| 7,300,000 |
| 7,744,271 |
| |
Principal Only, 0.00%, 08/15/43 - 02/15/44 (h) (k) (q) |
| 29,100,000 |
| 11,523,976 |
| |
Principal Only, 0.00%, 11/15/43 (h) |
| 25,400,000 |
| 10,031,933 |
| |
U.S. Treasury Note, 0.25%, 02/28/15 (k) |
| 552,000 |
| 552,302 |
| |
|
|
|
| 54,325,588 |
| |
Total Government and Agency Obligations |
|
|
| 79,411,547 |
| |
|
|
|
|
|
| |
COMMON STOCKS - 1.0% |
|
|
|
|
| |
|
|
|
|
|
| |
CONSUMER DISCRETIONARY - 1.0% |
|
|
|
|
| |
Las Vegas Sands Corp. |
| 15,482 |
| 963,909 |
| |
Melco Crown Entertainment Ltd. - ADR |
| 45,039 |
| 1,222,359 |
| |
MGM Resorts International (l) |
| 52,045 |
| 1,210,046 |
| |
Wynn Resorts Ltd. |
| 6,603 |
| 1,254,636 |
| |
Total Common Stocks (cost $4,620,298) |
|
|
| 4,650,950 |
| |
|
|
|
|
|
| |
PREFERRED STOCKS - 0.4% |
|
|
|
|
| |
|
|
|
|
|
| |
FINANCIALS - 0.4% |
|
|
|
|
| |
CoBank ACB, 6.25%, (callable at 100 beginning 10/01/22) (c) (d) (f) |
| 20,000 |
| 2,080,626 |
| |
Total Preferred Stocks (cost $2,125,000) |
|
|
| 2,080,626 |
| |
|
|
|
|
|
| |
TRUST PREFERREDS - 1.1% |
|
|
|
|
| |
|
|
|
|
|
| |
FINANCIALS - 1.1% |
|
|
|
|
| |
Citigroup Capital XIII, 7.88%, (callable at 25 beginning 10/30/15) |
| 202,500 |
| 5,390,550 |
| |
|
|
|
|
|
| |
UTILITIES - 0.0% |
|
|
|
|
| |
SCE Trust III, 5.75%, (callable at 25 beginning 03/15/24) (e) (f) |
| 4,000 |
| 108,160 |
| |
Total Trust Preferreds (cost $5,666,915) |
|
|
| 5,498,710 |
| |
|
|
|
|
|
| |
PURCHASED OPTIONS - 0.1% |
|
|
|
|
| |
Euro Stoxx 50 Price Index Put Option, Strike Price EUR 3,600, Expiration 12/20/19, (d) |
| 106 |
| 271,686 |
| |
Interest Rate Put Swaption, 3 month LIBOR versus 3.45% fixed, Expiration 09/21/15, DUB (d) |
| 50 |
| 157,113 |
| |
Total Purchased Options (cost $709,598) |
|
|
| 428,799 |
| |
|
|
|
|
|
| |
SHORT TERM INVESTMENTS - 7.9% |
|
|
|
|
| |
Certificates of Deposit - 0.5% |
|
|
|
|
| |
Banco Bilbao Vizcaya Argentaria, 1.08%, 05/16/16 (a) |
| $ | 1,250,000 |
| 1,248,669 |
|
Intesa Sanpaolo SpA, 1.61%, 04/11/16 (a) |
| 1,000,000 |
| 1,006,810 |
| |
|
|
|
| 2,255,479 |
| |
Federal National Mortgage Association - 0.4% (m) |
|
|
|
|
| |
Federal National Mortgage Association, 0.07%, 04/27/15 |
| 1,700,000 |
| 1,699,504 |
| |
|
|
|
|
|
| |
Repurchase Agreements - 3.5% |
|
|
|
|
| |
Repurchase Agreement with JPM, 0.17% (Collateralized by $1,467,000 Federal National Mortgage Association, 6.25%, due 05/15/29, value $2,009,775) acquired on 10/31/14, due 11/03/14 at $2,000,028 |
| 2,000,000 |
| 2,000,000 |
| |
Repurchase Agreement with BNP, 0.15% (Collateralized by $14,532,900 U.S. Treasury Note, 1.88%, due 06/30/15, value $14,702,640) acquired on 10/31/14, due 11/03/14 at $14,500,181 |
| 14,500,000 |
| 14,500,000 |
| |
|
|
|
| 16,500,000 |
| |
Securities Lending Collateral - 3.1% |
|
|
|
|
| |
BlackRock Liquidity Funds TempFund Portfolio, 0.15% (n) |
| 3,000,000 |
| 3,000,000 |
| |
Fidelity Institutional Money Market Portfolio, 0.06% (n) |
| 3,000,000 |
| 3,000,000 |
| |
Repurchase Agreement with BCL, 0.08% (Collateralized by $4,490,628 U.S. Treasury Inflation Index Note, 1.25%-1.38%, due 07/15/20-02/15/44, value $5,100,000) acquired on 10/31/14, due 11/03/14 at $5,000,033 |
| $ | 5,000,000 |
| 5,000,000 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| ||
Repurchase Agreement with MLP, 0.10% (Collateralized by $1,004,243 U.S. Treasury Note, 0.88%-2.63%, due 12/31/16-08/15/20, value $1,038,117, and $2,710,643 U.S. Treasury Inflation Index Note, 0.75%, due 02/15/42, value $2,715,172) acquired on 10/31/14, due 11/03/14 at $3,679,726 |
| 3,679,695 |
| 3,679,695 |
| ||
|
|
|
| 14,679,695 |
| ||
|
|
|
|
|
| ||
Treasury Securities - 0.4% |
|
|
|
|
| ||
Hellenic Republic Treasury Bill, 2.54%, 02/06/15, EUR |
| 400,000 |
| 498,190 |
| ||
U.S. Treasury Bill |
|
|
|
|
| ||
0.02%, 11/06/14 (k) |
| $ | 172,000 |
| 171,999 |
| |
0.06%, 12/26/14 (k) |
| 340,000 |
| 339,984 |
| ||
0.05%, 01/02/15 (k) |
| 181,000 |
| 180,998 |
| ||
0.04%, 02/12/15 (k) |
| 142,000 |
| 141,993 |
| ||
0.05%, 03/05/15 (k) |
| 114,000 |
| 113,984 |
| ||
0.04%, 03/12/15 (k) |
| 151,000 |
| 150,980 |
| ||
0.04%, 04/02/15 (k) |
| 420,000 |
| 419,926 |
| ||
|
|
|
| 2,018,054 |
| ||
Total Short Term Investments (cost $37,180,957) |
|
|
| 37,152,732 |
| ||
|
|
|
|
|
| ||
Total Investments - 114.0% (cost $537,771,744) |
|
|
| 544,141,230 |
| ||
Other Assets and Liabilities, Net - (14.0%) |
|
|
| (66,697,376 | ) | ||
Total Net Assets - 100.0% |
|
|
| $ | 477,443,854 |
| |
(a) |
| Variable rate security. Rate stated was in effect as of October 31, 2014. |
(b) |
| The Sub-Adviser has deemed this security which is exempt from registration under the Securities Act of 1933 to be liquid based on procedures approved by the Trust’s Board of Trustees. As of October 31, 2014, the aggregate value of these liquid securities was $105,946,133 which represented 22.2% of net assets. |
(c) |
| Security is restricted to resale to institutional investors. See Restricted Securities in these Schedules of Investments. |
(d) |
| The Sub-Adviser has deemed this security to be illiquid based on procedures approved by the Trust’s Board of Trustees. |
(e) |
| All or a portion of the security was on loan. |
(f) |
| Perpetual maturity security. |
(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 is a “step-up” bond where the coupon may increase or step up at a future date. Rate stated was the coupon as of October 31, 2014. |
(k) |
| All or a portion of the securities is pledged or segregated as collateral. |
(l) |
| Non-income producing security. |
(m) |
| The securities in this category are 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 October 31, 2014. |
(o) |
| 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. |
(p) |
| This variable rate senior loan will settle after October 31, 2014, at which time the interest rate will be determined. |
(q) |
| All or a portion of the investment was purchased or sold on a delayed delivery basis. As of October 31, 2014, the total cost of investments purchased on a delayed delivery basis was $52,558,574. |
Investments by Country* |
| Percentage of Total |
|
Australia |
| 1.4 | % |
Brazil |
| 1.8 |
|
Canada |
| 0.5 |
|
Cayman Islands |
| 0.3 |
|
Chile |
| 0.3 |
|
China |
| 1.7 |
|
Colombia |
| 0.1 |
|
Ecuador |
| 0.1 |
|
France |
| 2.0 |
|
Hong Kong |
| 0.2 |
|
India |
| 0.9 |
|
Indonesia |
| 0.2 |
|
Ireland |
| 0.1 |
|
Israel |
| 0.5 |
|
Italy |
| 3.4 |
|
Japan |
| 0.2 |
|
Luxembourg |
| 0.8 |
|
Macau |
| 0.5 |
|
Mexico |
| 0.3 |
|
Netherlands |
| 2.1 |
|
Norway |
| 0.9 |
|
Peru |
| 0.2 |
|
Portugal |
| 0.3 |
|
Russian Federation |
| 2.1 |
|
Singapore |
| 0.6 |
|
Slovenia |
| 0.8 |
|
South Korea |
| 0.4 |
|
Spain |
| 1.1 |
|
Switzerland |
| 2.7 |
|
United Kingdom |
| 5.1 |
|
United States |
| 68.4 |
|
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 - The Fund invests in securities that are restricted under the Securities Act of 1933 or which are subject to legal, contractual, or other agreed upon restrictions on resale. 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. As of October 31, 2014, the Fund held investments in restricted securities, excluding certain securities exempt from registration under the 1933 Act which are deemed to be liquid, as follows:
|
| Initial |
| Cost |
| Ending |
| Percent of |
| ||
Anglo American Capital Plc, 4.13%, 04/15/21 |
| 04/09/2014 |
| $ | 199,294 |
| $ | 202,271 |
| 0.1 | % |
Banque PSA Finance SA, 4.38%, 04/04/16 |
| 02/25/2013 |
| 1,703,031 |
| 1,725,500 |
| 0.4 |
| ||
CoBank ACB, 6.25%, (callable at 100 beginning 10/01/22) |
| 06/03/2013 |
| 2,125,000 |
| 2,080,626 |
| 0.4 |
| ||
Codelco, 2.25%, 07/09/24 |
| 07/03/2014 |
| 1,078,614 |
| 1,021,587 |
| 0.2 |
| ||
Credit Agricole SA, 6.63%, (callable at 100 beginning 09/23/19) |
| 09/12/2014 |
| 800,000 |
| 780,480 |
| 0.2 |
| ||
Enable Midstream Partners LP, 2.40%, 05/15/19 |
| 05/20/2014 |
| 1,199,185 |
| 1,184,316 |
| 0.2 |
| ||
Federal Express Corp. Pass-Through Trust, 2.63%, 01/15/18 |
| 01/23/2012 |
| 936,594 |
| 949,930 |
| 0.2 |
| ||
Georgia-Pacific LLC, 5.40%, 11/01/20 |
| 05/01/2014 |
| 537,677 |
| 571,260 |
| 0.1 |
| ||
Heathrow Funding Ltd., 2.50%, 06/25/15 |
| 06/25/2014 |
| 1,099,568 |
| 1,113,098 |
| 0.2 |
| ||
IPALCO Enterprises Inc., 7.25%, 04/01/16 |
| 12/09/2011 |
| 1,438,378 |
| 1,491,000 |
| 0.3 |
| ||
Intesa Sanpaolo SpA, 5.02%, 06/26/24 |
| 06/20/2014 |
| 900,663 |
| 879,226 |
| 0.2 |
| ||
OMX Timber Finance Investments I LLC, 5.42%, 01/29/20 |
| 09/15/2014 |
| 779,799 |
| 778,153 |
| 0.2 |
| ||
Petrofac Ltd., 3.40%, 10/10/18 |
| 10/04/2013 |
| 697,906 |
| 720,753 |
| 0.2 |
| ||
Piper Jaffray Cos., 3.23%, 05/31/17 |
| 06/03/2014 |
| 700,000 |
| 699,641 |
| 0.1 |
| ||
Teachers Insurance & Annuity Association of America, 4.38%, 09/15/54 |
| 09/16/2014 |
| 3,992,662 |
| 4,068,200 |
| 0.9 |
| ||
WEA Finance LLC, 3.75%, 09/17/24 |
| 09/11/2014 |
| 597,791 |
| 607,245 |
| 0.1 |
| ||
West Fraser Timber Co. Ltd., 4.35%, 10/15/24 |
| 10/08/2014 |
| 200,000 |
| 200,548 |
| 0.1 |
| ||
|
|
|
| $ | 18,986,162 |
| $ | 19,073,834 |
| 4.1 | % |
Schedule of Written Options
|
| Expiration |
| Exercise |
| Contracts/Notional |
| Value |
| |
Foreign Currency Options |
|
|
|
|
|
|
|
|
| |
Brazilian Real versus USD Call Option, BOA |
| 05/27/2015 |
| 2.65 |
| 2,800,000 |
| $ | (108,545 | ) |
Brazilian Real versus USD Call Option, GSB |
| 06/02/2015 |
| 2.70 |
| 1,200,000 |
| (40,413 | ) | |
Indian Rupee versus USD Call Option, BOA |
| 02/27/2015 |
| 65.20 |
| 1,500,000 |
| (7,524 | ) | |
Indian Rupee versus USD Call Option, GSB |
| 06/02/2015 |
| 67.00 |
| 1,100,000 |
| (10,051 | ) | |
Indian Rupee versus USD Call Option, MSC |
| 06/03/2015 |
| 65.90 |
| 2,000,000 |
| (24,328 | ) | |
|
|
|
|
|
| 8,600,000 |
| $ | (190,861 | ) |
Index Options |
|
|
|
|
|
|
|
|
| |
CDX.NA.HY.22 Put Option, BOA |
| 12/17/2014 |
| 103.00 |
| 24 |
| $ | (5,373 | ) |
CDX.NA.IG.22 Put Option, BOA |
| 12/17/2014 |
| 0.70 |
| 75 |
| (4,835 | ) | |
CDX.NA.IG.22 Put Option, CIT |
| 12/17/2014 |
| 0.70 |
| 69 |
| (4,448 | ) | |
CDX.NA.IG.23 Put Option, GSI |
| 12/17/2014 |
| 1.20 |
| 24 |
| (174 | ) | |
Euro Stoxx 50 Index Put Option, CSI |
| 12/20/2019 |
| 2,300.00 |
| 106 |
| (344,400 | ) | |
iTraxx Europe Main Series 21 Put Option, GSI |
| 12/17/2014 |
| 0.95 |
| 124 |
| (2,111 | ) | |
iTraxx Europe Main Series 22 Call Option, CIT |
| 01/21/2015 |
| 0.60 |
| 20 |
| (4,311 | ) | |
iTraxx Europe Main Series 22 Put Option, CIT |
| 01/21/2015 |
| 1.00 |
| 6 |
| (605 | ) | |
iTraxx Europe Main Series 22 Put Option, CIT |
| 01/21/2015 |
| 0.90 |
| 14 |
| (2,275 | ) | |
iTraxx Europe Main Series 22 Put Option, GSI |
| 01/21/2015 |
| 1.20 |
| 19 |
| (712 | ) | |
S&P 500 Index Call Option, GSI |
| 12/19/2014 |
| 2,100.00 |
| 11 |
| (6,220 | ) | |
S&P 500 Index Put Option, GSI |
| 12/19/2014 |
| 1,900.00 |
| 11 |
| (14,171 | ) | |
|
|
|
|
|
| 503 |
| $ | (389,635 | ) |
Interest Rate Swaptions |
|
|
|
|
|
|
|
|
| |
Call Swaption, 3-Month LIBOR versus 1.85% fixed, MSS |
| 12/02/2014 |
| N/A |
| 48 |
| $ | (25,359 | ) |
Call Swaption, 3-Month LIBOR versus 2.25% fixed, MSS |
| 11/17/2014 |
| N/A |
| 11 |
| (262 | ) | |
Call Swaption, 3-Month LIBOR versus 2.91% fixed, MSS |
| 08/17/2015 |
| N/A |
| 304 |
| (115,665 | ) | |
Call Swaption, 6-Month Euribor versus 0.35% fixed, GSB |
| 09/08/2015 |
| N/A |
| 96 |
| (29,017 | ) | |
Call Swaption, 6-Month Euribor versus 0.95% fixed, DUB |
| 03/23/2015 |
| N/A |
| 8 |
| (4,355 | ) | |
Call Swaption, 6-Month Euribor versus 0.95% fixed, GSB |
| 03/23/2015 |
| N/A |
| 7 |
| (3,810 | ) | |
Put Swaption, 3-Month LIBOR versus 2.15% fixed, MSS |
| 12/02/2014 |
| N/A |
| 48 |
| (1,636 | ) | |
Put Swaption, 3-Month LIBOR versus 2.45% fixed, MSS |
| 11/17/2014 |
| N/A |
| 11 |
| (8,463 | ) | |
Put Swaption, 3-Month LIBOR versus 2.50% fixed, DUB |
| 09/21/2015 |
| N/A |
| 208 |
| (212,764 | ) |
See accompanying Notes to Financial Statements.
|
| Expiration |
| Exercise |
| Contracts/Notional |
| Value |
| |
Interest Rate Swaptions (continued) |
|
|
|
|
|
|
|
|
|
|
Put Swaption, 3-Month LIBOR versus 2.91% fixed, MSS |
| 08/17/2015 |
| N/A |
| 304 |
| $ | (96,247 | ) |
Put Swaption, 6-Month Euribor versus 0.35% fixed, GSB |
| 09/08/2015 |
| N/A |
| 96 |
| (13,898 | ) | |
Put Swaption, 6-Month Euribor versus 1.55% fixed, DUB |
| 03/23/2015 |
| N/A |
| 8 |
| (2,382 | ) | |
Put Swaption, 6-Month Euribor versus 1.55% fixed, GSB |
| 03/23/2015 |
| N/A |
| 7 |
| (2,084 | ) | |
|
|
|
|
|
| 1,156 |
| $ | (515,942 | ) |
Summary of Written Options
|
| Contracts/ |
| Premiums |
| |
Options outstanding at October 31, 2013 |
| 3,232 |
| $ | 959,261 |
|
Options written during the year |
| 18,543,315 |
| 1,818,047 |
| |
Options closed during the year |
| (1,414 | ) | (151,703 | ) | |
Options expired during the year |
| (9,943,474 | ) | (1,193,796 | ) | |
Options outstanding at October 31, 2014 |
| 8,601,659 |
| $ | 1,431,809 |
|
Schedule of Exchange Traded Futures Options
|
| Expiration |
| Variation Margin |
| Exercise |
| Written |
| Unrealized |
| ||
Euro-Bund Call Option |
| 11/21/2014 |
| 201 |
| EUR | 151.00 |
| (16 | ) | $ | (7,146 | ) |
Euro-Bund Put Option |
| 11/21/2014 |
| — |
| EUR | 146.00 |
| (16 | ) | 6,089 |
| |
|
|
|
|
|
|
|
| (32 | ) | $ | (1,057 | ) |
Schedule of Open Future Contracts
|
| Expiration |
| Contracts |
| Unrealized |
| |
U.S. Treasury Note Future, 10-Year |
| December 2014 |
| 146 |
| $ | 145,836 |
|
Schedule of Open Forward Foreign Currency Contracts
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
BRL/USD |
| 01/04/2017 |
| DUB |
| BRL | 4,658,675 |
| $ | 1,553,461 |
| $ | (86,340 | ) |
EUR/USD |
| 12/02/2014 |
| BOA |
| EUR | 197,000 |
| 246,914 |
| (977 | ) | ||
GBP/USD |
| 12/11/2014 |
| CIT |
| GBP | 994,000 |
| 1,589,624 |
| (31,265 | ) | ||
INR/USD |
| 01/20/2015 |
| CIT |
| INR | 79,086,740 |
| 1,266,812 |
| (922 | ) | ||
MXN/USD |
| 02/05/2015 |
| BCL |
| MXN | 16,506,000 |
| 1,218,892 |
| (3,666 | ) | ||
MXN/USD |
| 12/18/2014 |
| BNP |
| MXN | 1,523,000 |
| 112,793 |
| 432 |
| ||
MXN/USD |
| 12/18/2014 |
| BNP |
| MXN | 12,441,649 |
| 921,429 |
| (8,788 | ) | ||
MXN/USD |
| 12/18/2014 |
| CIT |
| MXN | 13,547,837 |
| 1,003,354 |
| (26,646 | ) | ||
MXN/USD |
| 02/05/2015 |
| UBS |
| MXN | 1,768,000 |
| 130,559 |
| 978 |
| ||
USD/AUD |
| 11/04/2014 |
| BOA |
| AUD | (4,045,000 | ) | (3,559,611 | ) | 23,458 |
| ||
USD/BRL |
| 01/04/2017 |
| BNP |
| BRL | (4,658,675 | ) | (1,553,461 | ) | 86,340 |
| ||
USD/BRL |
| 12/02/2014 |
| UBS |
| BRL | (470,368 | ) | (188,199 | ) | 1,152 |
| ||
USD/CAD |
| 11/17/2014 |
| BCL |
| CAD | (932,000 | ) | (826,674 | ) | 5,026 |
| ||
USD/EUR |
| 11/04/2014 |
| UBS |
| EUR | (30,756,000 | ) | (38,541,836 | ) | 803,239 |
| ||
USD/EUR |
| 12/02/2014 |
| UBS |
| EUR | (30,756,000 | ) | (38,548,599 | ) | 542,215 |
| ||
USD/GBP |
| 12/11/2014 |
| BOA |
| GBP | (6,578,000 | ) | (10,519,667 | ) | 103,803 |
| ||
USD/JPY |
| 12/02/2014 |
| BCL |
| JPY | (1,047,100,000 | ) | (9,324,016 | ) | 398,424 |
| ||
USD/JPY |
| 11/04/2014 |
| UBS |
| JPY | (1,047,100,000 | ) | (9,322,057 | ) | 295,483 |
| ||
USD/MXN |
| 02/05/2015 |
| BNP |
| MXN | (15,983,000 | ) | (1,180,271 | ) | (888 | ) | ||
USD/MXN |
| 02/05/2015 |
| BNP |
| MXN | (6,178,000 | ) | (456,217 | ) | 11,647 |
| ||
See accompanying Notes to Financial Statements.
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
ZAR/USD |
| 11/14/2014 |
| GSC |
| ZAR | 1,274,818 |
| $ | 115,391 |
| $ | 2,561 |
|
|
|
|
|
|
|
|
|
| $ | (105,861,379) |
| $ | 2,115,266 |
|
Schedule of Interest Rate Swap Agreements
Counterparty |
| Floating Rate Index |
| Fund |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
|
| ||||||||
BNP |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.68 | % | 01/04/2021 |
| BRL | 17,500,000 |
| $ | (26,318 | ) | $ | 30,503 |
|
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.68 | % | 01/04/2021 |
| BRL | 7,500,000 |
| (9,612 | ) | 11,406 |
| ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.56 | % | 01/04/2021 |
| BRL | 14,000,000 |
| (6,626 | ) | 178,933 |
| ||
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.06 | % | 01/04/2021 |
| BRL | 2,400,000 |
| 8,579 |
| 3,836 |
| ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.00 | % | 01/04/2021 |
| BRL | 1,300,000 |
| (5,390 | ) | (6,139 | ) | ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 41,800,000 |
| 79,414 |
| (69,631 | ) | ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 300,000 |
| (534 | ) | (195 | ) | ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 300,000 |
| (691 | ) | (38 | ) | ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 300,000 |
| (1,076 | ) | 347 |
| ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.05 | % | 09/15/2019 |
| EUR | 500,000 |
| (150 | ) | (3,653 | ) | ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 500,000 |
| (1,152 | ) | (62 | ) | ||
BNP |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 500,000 |
| (1,961 | ) | 747 |
| ||
BOA |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 300,000 |
| — |
| (728 | ) | ||
BOA |
| Eurozone HICP |
| Receiving |
| 1.05 | % | 09/15/2019 |
| EUR | 300,000 |
| (76 | ) | (2,206 | ) | ||
CIT |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/22/2019 |
| EUR | 300,000 |
| (1,099 | ) | 372 |
| ||
DUB |
| Eurozone HICP |
| Receiving |
| 1.05 | % | 09/15/2019 |
| EUR | 300,000 |
| 198 |
| (2,479 | ) | ||
GSB |
| Eurozone HICP |
| Receiving |
| 0.90 | % | 10/15/2019 |
| EUR | 500,000 |
| (1,159 | ) | 3,179 |
| ||
GSB |
| Eurozone HICP |
| Receiving |
| 0.90 | % | 10/15/2019 |
| EUR | 500,000 |
| (1,152 | ) | 3,172 |
| ||
GSB |
| Eurozone HICP |
| Receiving |
| 1.05 | % | 09/15/2019 |
| EUR | 700,000 |
| 2,588 |
| (7,911 | ) | ||
GSB |
| Eurozone HICP |
| Receiving |
| 1.00 | % | 10/15/2019 |
| EUR | 1,000,000 |
| (537 | ) | (1,892 | ) | ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.61 | % | 07/07/2021 |
| MXN | 65,900,000 |
| 10,803 |
| (16,626 | ) | ||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | 44,049 |
| $ | 120,935 |
|
Counterparty |
| Floating Rate Index |
| Fund |
| Fixed Rate |
| Expiration |
| Notional |
| Unrealized |
| ||
Centrally Cleared Interest Rate Swap Agreements |
|
|
|
|
|
|
|
|
| ||||||
N/A |
| 3-Month Australian Bank Bill Short Term Rate |
| Paying |
| 3.25 | % | 09/21/2017 |
| AUD | 53,900,000 |
| $ | 176,036 |
|
N/A |
| 3-Month EURIBOR |
| Receiving |
| 0.40 | % | 03/16/2015 |
| EUR | 14,100,000 |
| (23,344 | ) | |
N/A |
| 3-Month LIBOR |
| Paying |
| 2.70 | % | 07/18/2024 |
|
| 2,400,000 |
| (53,267 | ) | |
N/A |
| 3-Month LIBOR |
| Receiving |
| 2.70 | % | 05/21/2024 |
|
| 27,700,000 |
| (641,817 | ) | |
N/A |
| 6-Month EURIBOR |
| Receiving |
| 1.25 | % | 03/18/2025 |
| EUR | 9,500,000 |
| (188,775 | ) | |
N/A |
| British Bankers’ Association Yen LIBOR |
| Receiving |
| 1.00 | % | 09/20/2024 |
| JPY | 110,000,000 |
| (4,711 | ) | |
N/A |
| British Bankers’ Association Yen LIBOR |
| Paying |
| 1.00 | % | 09/18/2023 |
| JPY | 770,000,000 |
| (327,745 | ) | |
N/A |
| London-Interbank Offered Rate |
| Receiving |
| 2.75 | % | 03/18/2025 |
| GBP | 4,400,000 |
| (116,628 | ) | |
N/A |
| Mexican Interbank Rate |
| Paying |
| 6.80 | % | 12/26/2023 |
| MXN | 14,400,000 |
| 19,893 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.61 | % | 07/07/2021 |
| MXN | 100,700,000 |
| 501 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (1,159,857 | ) |
Schedule of Credit Default Swap Agreements
Counterparty |
| Reference Obligation |
| Implied Credit Spread(3) |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums |
| Unrealized Appreciation |
| ||||
Over the Counter Credit Default Swap Agreements |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
DUB |
| BNP Paribas, 2.88%, 09/26/2023 |
| 0.56 | % | 1.00 | % | 03/20/2019 |
| $ | (1,441,121 | ) | $ | 27,364 |
| $ | 15,351 |
| $ | 13,694 |
|
BNP |
| Carlsberg Breweries A/S, 3.34%, 10/13/2017 |
| 0.79 | % | 1.00 | % | 03/20/2019 |
| (125,315 | ) | 1,118 |
| 701 |
| 563 |
| ||||
DUB |
| Commonwealth Bank of Australia, 6.25%, 01/20/2015 |
| 0.41 | % | 1.00 | % | 03/20/2019 |
| (900,000 | ) | 22,861 |
| 9,623 |
| 14,288 |
| ||||
GSI |
| Community Health Systems Inc., 8.00%, 11/15/2019 |
| 3.12 | % | 5.00 | % | 03/20/2021 |
| (500,000 | ) | 52,014 |
| 36,014 |
| 18,917 |
| ||||
See accompanying Notes to Financial Statements.
Counterparty |
| Reference Obligation |
| Implied Credit Spread(3) |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums (Received) |
| Unrealized Appreciation / |
| ||||
Over the Counter Credit Default Swap Agreements (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
Credit default swap agreements - sell protection (2) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||
GSC |
| Credit Agricole, 5.07%, 08/10/2022 |
| 0.63 | % | 1.00 | % | 09/20/2019 |
| $ | (1,450,000 | ) | $ | 25,255 |
| $ | 16,211 |
| $ | 10,655 |
|
CGM |
| D.R. Horton, 3.63%, 02/15/2018 |
| 1.56 | % | 1.00 | % | 09/20/2019 |
| (900,000 | ) | (23,174 | ) | (43,556 | ) | 21,382 |
| ||||
MSS |
| Domtar Corporation, 7.13%, 08/15/2015 |
| 1.44 | % | 1.00 | % | 03/20/2019 |
| (500,000 | ) | (9,219 | ) | (11,395 | ) | 2,760 |
| ||||
CSI |
| Encana Corp., 4.75%, 10/15/2013 |
| 0.60 | % | 1.00 | % | 03/20/2018 |
| (2,000,000 | ) | 26,407 |
| (26,492 | ) | 55,232 |
| ||||
MSS |
| Federated Republic of Brazil, 12.25%, 03/06/2030 |
| 0.74 | % | 1.00 | % | 12/20/2016 |
| (6,500,000 | ) | 35,465 |
| (113,735 | ) | 156,783 |
| ||||
BBP |
| Ford Motor Co., 6.50%, 08/01/2018 |
| 0.29 | % | 5.00 | % | 12/20/2015 |
| (1,050,000 | ) | 56,691 |
| 87,912 |
| (25,096 | ) | ||||
BCL |
| Ford Motor Credit Co., 5.00%, 05/15/2018 |
| 1.08 | % | 5.00 | % | 09/20/2021 |
| (2,500,000 | ) | 613,158 |
| 622,937 |
| 4,111 |
| ||||
BBP |
| General Electric Capital Corp., 5.63%, 09/15/2017 |
| 0.47 | % | 1.00 | % | 03/20/2019 |
| (1,700,000 | ) | 38,505 |
| 19,911 |
| 20,578 |
| ||||
DUB |
| General Motors Co., 4.88%, 10/02/2023 |
| 1.33 | % | 5.00 | % | 03/20/2019 |
| (1,000,000 | ) | 153,238 |
| 166,945 |
| (7,874 | ) | ||||
CSI |
| Glencore Finance Europe, 6.50%, 02/27/2019 |
| 1.01 | % | 1.00 | % | 12/20/2018 |
| (814,547 | ) | (213 | ) | (24,233 | ) | 24,970 |
| ||||
GSC |
| Hellenic Republic, 2.00%, 02/24/2023 |
| 6.87 | % | 1.00 | % | 12/20/2015 |
| (700,000 | ) | (44,200 | ) | (32,098 | ) | (11,324 | ) | ||||
CSI |
| HJ Heinz Co., 6.38%, 07/15/2028 |
| 0.95 | % | 1.00 | % | 03/20/2018 |
| (100,000 | ) | 158 |
| (2,979 | ) | 3,254 |
| ||||
DUB |
| HSBC Bank Plc, 4.00%, 01/15/2021 |
| 0.55 | % | 1.00 | % | 03/20/2021 |
| (1,350,000 | ) | 36,411 |
| (869 | ) | 38,855 |
| ||||
BOA |
| KB Home, 9.10%, 09/15/2017 |
| 2.30 | % | 5.00 | % | 09/20/2018 |
| (500,000 | ) | 49,857 |
| 25,563 |
| 27,211 |
| ||||
GSI |
| KB Home, 9.10%, 09/15/2017 |
| 2.30 | % | 5.00 | % | 09/20/2018 |
| (700,000 | ) | 69,800 |
| 35,279 |
| 38,604 |
| ||||
BBP |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.86 | % | 1.00 | % | 06/20/2019 |
| (3,700,000 | ) | 23,364 |
| 23,637 |
| 4,044 |
| ||||
BBP |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.80 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | 4,054 |
| (29,438 | ) | 34,076 |
| ||||
BOA |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.80 | % | 1.00 | % | 12/20/2018 |
| (100,000 | ) | 811 |
| (5,896 | ) | 6,824 |
| ||||
GSI |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.80 | % | 1.00 | % | 12/20/2018 |
| (800,000 | ) | 6,487 |
| (25,660 | ) | 33,080 |
| ||||
MSS |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.83 | % | 1.00 | % | 03/20/2019 |
| (3,700,000 | ) | 26,698 |
| (22,715 | ) | 53,730 |
| ||||
MSS |
| Kingdom of Spain, 5.50%, 07/30/2017 |
| 0.86 | % | 1.00 | % | 06/20/2019 |
| (550,000 | ) | 3,473 |
| 2,404 |
| 1,711 |
| ||||
BNP |
| Lafarge SA, 5.38%, 11/29/2018 |
| 1.20 | % | 1.00 | % | 03/20/2021 |
| (939,861 | ) | (11,399 | ) | (96,012 | ) | 85,710 |
| ||||
CSI |
| Lafarge SA, 5.38%, 11/29/2018 |
| 1.20 | % | 1.00 | % | 03/20/2021 |
| (1,253,149 | ) | (15,198 | ) | (134,551 | ) | 120,815 |
| ||||
BBP |
| Metlife Inc., 4.75%, 02/08/2021 |
| 0.52 | % | 1.00 | % | 12/20/2018 |
| (3,000,000 | ) | 58,289 |
| — |
| 61,789 |
| ||||
BBP |
| Morgan Stanley, 6.00%, 04/28/2015 |
| 0.63 | % | 1.00 | % | 12/20/2018 |
| (2,500,000 | ) | 36,853 |
| 3,613 |
| 36,156 |
| ||||
BNP |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 2.33 | % | 1.00 | % | 09/20/2019 |
| (1,200,000 | ) | (72,583 | ) | (65,933 | ) | (5,317 | ) | ||||
BNP |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 2.24 | % | 1.00 | % | 06/20/2019 |
| (1,000,000 | ) | (53,907 | ) | (76,887 | ) | 24,146 |
| ||||
DUB |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 0.77 | % | 1.00 | % | 06/20/2015 |
| (1,200,000 | ) | 1,802 |
| (3,435 | ) | 6,637 |
| ||||
DUB |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 0.77 | % | 1.00 | % | 03/20/2015 |
| (700,000 | ) | 636 |
| (6,338 | ) | 7,790 |
| ||||
GSC |
| Petrobras International Finance Co., 8.38%, 12/10/2018 |
| 2.33 | % | 1.00 | % | 09/20/2019 |
| (400,000 | ) | (24,194 | ) | (23,215 | ) | (535 | ) | ||||
DUB |
| Prudential Financial Inc., 6.10%, 06/15/2017 |
| 0.45 | % | 1.00 | % | 12/20/2018 |
| (2,500,000 | ) | 55,752 |
| — |
| 58,668 |
| ||||
DUB |
| Republic of Colombia, 10.38%, 01/28/2033 |
| 0.30 | % | 1.00 | % | 03/20/2016 |
| (250,000 | ) | 2,438 |
| 1,503 |
| 1,226 |
| ||||
GSI |
| Republic of Colombia, 10.38%, 01/28/2033 |
| 0.30 | % | 1.00 | % | 03/20/2016 |
| (750,000 | ) | 7,313 |
| 4,510 |
| 3,678 |
| ||||
BOA |
| Russian Federation, 7.50%, 03/31/2030 |
| 1.94 | % | 1.00 | % | 12/20/2014 |
| (200,000 | ) | (261 | ) | (226 | ) | 188 |
| ||||
CSI |
| Telecom Italia SpA, 5.38%, 01/29/2019 |
| 1.78 | % | 1.00 | % | 06/20/2019 |
| (125,315 | ) | (4,316 | ) | (8,713 | ) | 4,542 |
| ||||
CSI |
| Telefonica Emisiones, SAU, 4.38%, 02/02/2016 |
| 1.19 | % | 1.00 | % | 06/20/2021 |
| (877,204 | ) | (10,537 | ) | (38,548 | ) | 29,034 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.99 | % | 1.00 | % | 12/20/2018 |
| (1,200,000 | ) | 552 |
| (92,049 | ) | 94,001 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.99 | % | 1.00 | % | 12/20/2018 |
| (400,000 | ) | 184 |
| (26,228 | ) | 26,878 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.03 | % | 1.00 | % | 03/20/2019 |
| (7,600,000 | ) | (9,063 | ) | (145,892 | ) | 145,695 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (4,300,000 | ) | (12,287 | ) | 32,797 |
| (40,067 | ) | ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.03 | % | 1.00 | % | 03/20/2019 |
| (3,700,000 | ) | (4,412 | ) | (64,017 | ) | 63,922 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.03 | % | 1.00 | % | 03/20/2019 |
| (1,000,000 | ) | (1,193 | ) | (21,524 | ) | 21,498 |
| ||||
GSI |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.99 | % | 1.00 | % | 12/20/2018 |
| (1,100,000 | ) | 506 |
| (71,645 | ) | 73,434 |
| ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (2,400,000 | ) | (6,858 | ) | 17,154 |
| (21,212 | ) | ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.99 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | 230 |
| (32,566 | ) | 33,379 |
| ||||
DUB |
| UK Gilt Treasury Bond, 4.25%, 06/07/2032 |
| 0.04 | % | 1.00 | % | 12/20/2016 |
| (3,000,000 | ) | 61,703 |
| 10,972 |
| 54,231 |
| ||||
BOA |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.65 | % | 1.00 | % | 03/20/2019 |
| (500,000 | ) | 7,485 |
| 3,548 |
| 4,521 |
| ||||
BOA |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.59 | % | 1.00 | % | 12/20/2018 |
| (200,000 | ) | 3,280 |
| (539 | ) | 4,052 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.65 | % | 1.00 | % | 03/20/2019 |
| (2,950,000 | ) | 44,163 |
| 22,428 |
| 25,176 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.59 | % | 1.00 | % | 12/20/2018 |
| (500,000 | ) | 8,200 |
| 1,708 |
| 7,076 |
| ||||
GSI |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.59 | % | 1.00 | % | 12/20/2018 |
| (2,000,000 | ) | 32,801 |
| 1,172 |
| 33,963 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.35 | % | 1.00 | % | 12/20/2016 |
| (6,000,000 | ) | 83,267 |
| (97,951 | ) | 188,218 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.65 | % | 1.00 | % | 03/20/2019 |
| (1,150,000 | ) | 17,216 |
| 5,021 |
| 13,537 |
| ||||
BNP |
| UnityMedia KabelBW GmbH, 9.63%, 12/01/2019 |
| 1.88 | % | 5.00 | % | 03/20/2019 |
| (1,253,149 | ) | 163,337 |
| 134,835 |
| 35,812 |
| ||||
BBP |
| UPC Holding BV, 8.38%, 08/15/2020 |
| 2.77 | % | 5.00 | % | 03/20/2021 |
| (250,630 | ) | 32,380 |
| 26,108 |
| 7,734 |
| ||||
BOA |
| UPC Holding BV, 8.38%, 08/15/2020 |
| 1.95 | % | 5.00 | % | 03/20/2019 |
| (626,574 | ) | 80,651 |
| 42,074 |
| 42,232 |
| ||||
BBP |
| Virgin Media Finance Plc, 7.00%, 04/15/2023 |
| 2.85 | % | 5.00 | % | 06/20/2021 |
| (375,945 | ) | 48,101 |
| 40,230 |
| 10,064 |
|
See accompanying Notes to Financial Statements.
Counterparty |
| Reference Obligation |
| Implied Credit Spread(3) |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value |
| Premiums (Received) |
| Unrealized Appreciation |
| |||||
Over the Counter Credit Default Swap Agreements (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
Credit default swap agreements - sell protection (2) (continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
DUB |
| Whirlpool Corp., 7.75%, 07/15/2016 |
| 0.35 | % | 1.00 | % | 03/20/2018 |
| $ | (1,400,000 | ) | $ | 30,450 |
| $ | (17,635 | ) | $ | 49,719 |
| |
|
|
|
|
|
|
|
|
|
| $ | (93,382,808 | ) | $ | 1,747,764 |
| $ | 47,191 |
| $ | 1,849,418 |
| |
Counterparty |
| Reference Obligation |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value(4) |
| Unrealized |
| |||
Centrally Cleared Credit Default Swap Agreements Swap Agreements |
|
|
|
|
|
|
| |||||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
| |||||||
N/A |
| CDX.NA.HY.22 |
| 5.00 | % | 06/20/2019 |
| $ | (5,940,000 | ) | $ | 448,030 |
| $ | (36,377 | ) |
N/A |
| CDX.NA.IG.22 |
| 1.00 | % | 06/20/2019 |
| (13,400,000 | ) | 266,271 |
| 71,623 |
| |||
N/A |
| CDX.NA.IG.23 |
| 1.00 | % | 12/20/2019 |
| (15,000,000 | ) | 266,655 |
| 19,497 |
| |||
N/A |
| iTraxx Europe Series 21 |
| 1.00 | % | 06/20/2024 |
| (2,130,352 | ) | (3,943 | ) | (9,256 | ) | |||
N/A |
| iTraxx Europe Series 22 |
| 1.00 | % | 12/20/2019 |
| (4,198,048 | ) | 73,147 |
| 2,379 |
| |||
|
|
|
|
|
|
|
| $ | (40,668,400 | ) | $ | 1,050,160 |
| $ | 47,866 |
|
(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/PIMCO Total Return Fund
|
| Shares/Par† |
| Value |
| ||
NON-U.S. GOVERNMENT AGENCY ASSET-BACKED SECURITIES - 8.9% |
|
|
|
|
| ||
Accredited Mortgage Loan Trust REMIC, 0.41%, 09/25/36 (a) |
| $ | 10,000,000 |
| $ | 8,327,670 |
|
ACE Securities Corp. Home Equity Loan Trust REMIC, 1.19%, 10/25/34 (a) |
| 2,699,237 |
| 2,521,384 |
| ||
Asset Backed Securities Corp. Home Equity Loan Trust REMIC, 1.50%, 04/15/33 (a) |
| 1,846,285 |
| 1,811,750 |
| ||
Banc of America Funding Ltd., 0.42%, 10/03/39 (a) (b) |
| 2,987,602 |
| 2,976,911 |
| ||
Banc of America Funding Trust REMIC, 5.09%, 02/20/35 (a) |
| 461,220 |
| 458,126 |
| ||
Bear Stearns Asset Backed Securities I Trust REMIC, 0.64%, 09/25/35 (a) |
| 6,000,000 |
| 4,868,328 |
| ||
Citigroup Mortgage Loan Trust REMIC, 2.51%, 10/25/35 (a) |
| 154,908 |
| 153,167 |
| ||
Countrywide Asset-Backed Certificates REMIC, 0.90%, 06/25/34 (a) |
| 6,375,155 |
| 6,086,246 |
| ||
Credit Suisse Commercial Mortgage Trust REMIC, 5.38%, 02/15/40 |
| 572,907 |
| 612,221 |
| ||
Delta Air Lines Inc. Pass-Through Trust, 7.75%, 06/17/21 |
| 245,295 |
| 283,315 |
| ||
Delta Funding Corp. Home Equity Loan Trust, 2.03%, 12/25/31 (a) |
| 4,824,890 |
| 4,473,093 |
| ||
First Horizon Alternative Mortgage Securities Trust REMIC, 2.21%, 06/25/34 (a) |
| 716,894 |
| 702,410 |
| ||
First Horizon Mortgage Pass-Through Trust REMIC, 2.57%, 06/25/35 (a) |
| 2,263,381 |
| 2,105,650 |
| ||
Greenwich Capital Commercial Funding Corp. Commercial Mortgage Trust REMIC, 5.44%, 03/10/39 |
| 1,200,000 |
| 1,291,538 |
| ||
GSR Mortgage Loan Trust REMIC, 2.66%, 09/25/35 (a) |
| 1,551,830 |
| 1,556,653 |
| ||
Impac Secured Assets Trust REMIC, 0.32%, 01/25/37 (a) |
| 10,371,932 |
| 8,571,935 |
| ||
IndyMac INDX Mortgage Loan Trust REMIC, 0.40%, 01/25/16 (a) |
| 1,070,504 |
| 944,239 |
| ||
JPMorgan Chase Commercial Mortgage Securities Trust REMIC |
|
|
|
|
| ||
5.34%, 05/15/47 |
| 1,379,897 |
| 1,474,805 |
| ||
5.42%, 01/15/49 |
| 378,185 |
| 408,014 |
| ||
JPMorgan Mortgage Trust REMIC, 5.50%, 04/25/36 |
| 268,654 |
| 276,016 |
| ||
Lehman Mortgage Trust REMIC, 6.00%, 09/25/37 |
| 1,229,808 |
| 1,143,860 |
| ||
Lehman XS Trust REMIC, 0.33%, 07/25/37 (a) |
| 8,769,804 |
| 6,001,010 |
| ||
Merit Securities Corp. REMIC, 0.77%, 04/28/27 (a) (b) |
| 65,334 |
| 57,479 |
| ||
Merrill Lynch/Countrywide Commercial Mortgage Trust REMIC, 5.49%, 03/12/51 (a) |
| 1,500,000 |
| 1,624,421 |
| ||
Morgan Stanley Mortgage Loan Trust REMIC, 0.41%, 04/25/35 (a) |
| 313,114 |
| 288,578 |
| ||
Morgan Stanley Re-REMIC Trust, 5.80%, 08/12/45 (a) (b) |
| 1,297,225 |
| 1,407,157 |
| ||
Northwest Airlines Pass-Through Trust, 7.15%, 04/01/21 |
| 5,079,069 |
| 5,593,325 |
| ||
Panhandle-Plains Higher Education Authority Inc. REMIC, 1.37%, 10/01/35 (a) |
| 3,199,752 |
| 3,246,087 |
| ||
PHH Mortgage Capital LLC REMIC, 5.61%, 07/18/35 (a) |
| 1,108,499 |
| 1,119,511 |
| ||
Provident Funding Mortgage Loan Trust REMIC, 2.46%, 10/25/35 (a) |
| 972,308 |
| 968,417 |
| ||
Securitized Asset Backed Receivables LLC Trust REMIC, 0.59%, 08/25/35 (a) |
| 5,900,000 |
| 3,676,384 |
| ||
SG Mortgage Securities Trust REMIC, 0.36%, 10/25/36 (a) |
| 6,703,000 |
| 3,495,581 |
| ||
SLM Private Education Loan Trust, 1.25%, 08/15/23 (a) (b) |
| 4,074,678 |
| 4,096,563 |
| ||
Soundview Home Loan Trust REMIC |
|
|
|
|
| ||
0.39%, 07/25/36 (a) |
| 1,900,000 |
| 1,106,883 |
| ||
0.28%, 12/25/36 (a) |
| 564,709 |
| 539,678 |
| ||
Wachovia Bank Commercial Mortgage Trust REMIC, 5.34%, 12/15/43 |
| 1,000,000 |
| 1,078,736 |
| ||
Washington Mutual Mortgage Pass-Through Certificates REMIC |
|
|
|
|
| ||
2.36%, 08/25/35 (a) |
| 133,640 |
| 133,509 |
| ||
1.32%, 11/25/42 (a) |
| 4,354,054 |
| 4,217,472 |
| ||
Wells Fargo Mortgage Backed Securities Trust REMIC, 2.61%, 07/25/36 (a) |
| 1,318,694 |
| 1,275,126 |
| ||
Total Non-U.S. Government Agency Asset- Backed Securities (cost $84,428,366) |
|
|
| 90,973,248 |
| ||
|
|
|
|
|
| ||
CORPORATE BONDS AND NOTES - 30.3% |
|
|
|
|
| ||
|
|
|
|
|
| ||
CONSUMER DISCRETIONARY - 1.5% |
|
|
|
|
| ||
Daimler Finance North America LLC, 2.95%, 01/11/17 (b) |
| 2,771,000 |
| 2,873,434 |
| ||
Marks & Spencer Plc, 6.25%, 12/01/17 (c) (d) |
| 2,300,000 |
| 2,569,509 |
| ||
MGM Resorts International |
|
|
|
|
| ||
6.63%, 07/15/15 |
| 500,000 |
| 513,100 |
| ||
7.63%, 01/15/17 |
| 8,747,000 |
| 9,545,164 |
| ||
|
|
|
| 15,501,207 |
| ||
CONSUMER STAPLES - 0.4% |
|
|
|
|
| ||
Kraft Foods Group Inc., 1.63%, 06/04/15 |
| 1,000,000 |
| 1,006,156 |
| ||
Kroger Co., 0.76%, 10/17/16 (a) |
| 2,700,000 |
| 2,704,209 |
| ||
|
|
|
| 3,710,365 |
| ||
ENERGY - 0.8% |
|
|
|
|
| ||
Canadian Natural Resources Ltd., 0.61%, 03/30/16 (a) |
| 4,900,000 |
| 4,903,102 |
| ||
CNPC General Capital Ltd., 2.75%, 05/14/19 (b) |
| 1,900,000 |
| 1,897,205 |
| ||
Petrobras International Finance Co., 7.88%, 03/15/19 |
| 300,000 |
| 344,019 |
| ||
Rosneft Finance SA, 7.50%, 07/18/16 |
| 900,000 |
| 936,000 |
| ||
|
|
|
| 8,080,326 |
| ||
FINANCIALS - 22.0% |
|
|
|
|
| ||
Abbey National Treasury Services Plc, 3.88%, 11/10/14 |
| 1,500,000 |
| 1,501,302 |
| ||
Ally Financial Inc. |
|
|
|
|
| ||
6.75%, 12/01/14 |
| 3,800,000 |
| 3,812,641 |
| ||
8.30%, 02/12/15 |
| 6,700,000 |
| 6,808,875 |
| ||
4.63%, 06/26/15 |
| 700,000 |
| 714,350 |
| ||
3.50%, 07/18/16 |
| 3,000,000 |
| 3,048,000 |
| ||
2.75%, 01/30/17 |
| 600,000 |
| 600,720 |
| ||
5.50%, 02/15/17 |
| 3,500,000 |
| 3,722,950 |
| ||
American Express Bank FSB, 6.00%, 09/13/17 |
| 3,300,000 |
| 3,708,230 |
| ||
American Express Co., 6.80%, 09/01/66 (a) |
| 3,489,000 |
| 3,697,991 |
| ||
American International Group Inc., 8.18%, 05/15/58 (a) |
| 3,300,000 |
| 4,479,750 |
| ||
Banca Monte dei Paschi di Siena SpA, 3.63%, 04/01/19, EUR |
| 900,000 |
| 1,127,437 |
| ||
Banco do Brasil SA |
|
|
|
|
| ||
See accompanying Notes to Financial Statements.
|
| Shares/Par† |
| Value |
|
4.50%, 01/22/15 (b) |
| 1,300,000 |
| 1,306,500 |
|
6.00%, 01/22/20 (b) (e) |
| 200,000 |
| 219,000 |
|
Banco Mercantil del Norte SA, 4.38%, 07/19/15 (b) (e) |
| 2,900,000 |
| 2,957,791 |
|
Banco Santander Brasil SA, 4.25%, 01/14/16 (b) |
| 1,000,000 |
| 1,027,500 |
|
Banco Santander Chile, 1.13%, 04/11/17 (a) (b) |
| 3,700,000 |
| 3,682,292 |
|
Bank of America Corp. |
|
|
|
|
|
1.50%, 10/09/15 |
| 4,300,000 |
| 4,331,304 |
|
0.78%, 05/23/17 (a), EUR |
| 1,200,000 |
| 1,490,620 |
|
Bank of Nova Scotia, 1.25%, 04/11/17 |
| 9,400,000 |
| 9,399,210 |
|
Barclays Bank Plc, 7.75%, 04/10/23 (a) |
| 1,799,000 |
| 1,972,154 |
|
CIT Group Inc., 4.75%, 02/15/15 (b) |
| 400,000 |
| 403,000 |
|
Citigroup Inc. |
|
|
|
|
|
4.59%, 12/15/15 |
| 4,300,000 |
| 4,479,439 |
|
3.95%, 06/15/16 |
| 600,000 |
| 627,146 |
|
4.45%, 01/10/17 |
| 200,000 |
| 212,903 |
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA, 11.00%, (callable at 100 beginning 06/30/19) (b) (f) |
| 5,900,000 |
| 7,699,500 |
|
Credit Agricole SA,1.63%, 04/15/16 (c) (d) |
| 4,000,000 |
| 4,040,588 |
|
Ford Motor Credit Co. LLC |
|
|
|
|
|
3.88%, 01/15/15 |
| 7,100,000 |
| 7,144,623 |
|
7.00%, 04/15/15 |
| 1,400,000 |
| 1,438,542 |
|
2.75%, 05/15/15 |
| 8,100,000 |
| 8,180,814 |
|
12.00%, 05/15/15 |
| 1,300,000 |
| 1,376,297 |
|
3.98%, 06/15/16 |
| 200,000 |
| 208,885 |
|
0.68%, 11/08/16 (a) |
| 3,500,000 |
| 3,499,300 |
|
Goldman Sachs Group Inc., 3.70%, 08/01/15 |
| 2,000,000 |
| 2,044,634 |
|
HBOS Plc |
|
|
|
|
|
0.93%, 09/06/17 (a) |
| 2,571,000 |
| 2,551,736 |
|
6.75%, 05/21/18 (b) |
| 900,000 |
| 1,010,778 |
|
ICICI Bank Ltd., 5.75%, 11/16/20 |
| 2,700,000 |
| 2,999,989 |
|
Industrial Bank of Korea, 3.75%, 09/29/16 (b) |
| 1,500,000 |
| 1,568,852 |
|
Itau Unibanco Holding SA, 5.65%, 03/19/22 |
| 1,100,000 |
| 1,128,875 |
|
JPMorgan Chase & Co. |
|
|
|
|
|
1.10%, 10/15/15 |
| 6,900,000 |
| 6,931,064 |
|
0.85%, 02/26/16 (a) |
| 4,000,000 |
| 4,013,156 |
|
3.45%, 03/01/16 |
| 600,000 |
| 619,906 |
|
3.15%, 07/05/16 |
| 1,700,000 |
| 1,758,495 |
|
1.07%, 05/30/17 (a), GBP |
| 7,400,000 |
| 11,677,326 |
|
KBC Bank NV, 8.00%, 01/25/23 |
| 800,000 |
| 889,000 |
|
KeyBank NA, 7.41%, 05/06/15 |
| 3,300,000 |
| 3,404,168 |
|
Lloyds Bank PLC, 4.38%, 01/12/15 |
| 1,000,000 |
| 1,006,705 |
|
Merrill Lynch & Co. Inc. |
|
|
|
|
|
6.40%, 08/28/17 |
| 14,700,000 |
| 16,560,535 |
|
6.88%, 04/25/18 |
| 2,600,000 |
| 3,007,607 |
|
Morgan Stanley |
|
|
|
|
|
4.10%, 01/26/15 |
| 4,900,000 |
| 4,939,572 |
|
5.38%, 10/15/15 |
| 4,000,000 |
| 4,175,660 |
|
National Australia Bank Ltd., 0.51%, 06/30/17 (a) (b) |
| 5,900,000 |
| 5,892,200 |
|
RCI Banque SA, 4.60%, 04/12/16 (b) |
| 1,953,000 |
| 2,043,969 |
|
Royal Bank of Scotland Group Plc, 6.99%, (callable at 100 beginning 10/05/17) (b) (f) |
| 3,600,000 |
| 4,086,000 |
|
Sberbank of Russia Via SB Capital SA, 5.50%, 07/07/15 |
| 3,300,000 |
| 3,348,873 |
|
SLM Corp. |
|
|
|
|
|
5.14%, 06/15/16 |
| 10,000,000 |
| 10,250,000 |
|
8.45%, 06/15/18 |
| 1,500,000 |
| 1,716,000 |
|
Springleaf Finance Corp., 6.90%, 12/15/17 (e) |
| 7,000,000 |
| 7,630,000 |
|
Toronto-Dominion Bank, 0.69%, 09/09/16 (a) |
| 5,100,000 |
| 5,125,424 |
|
UBS AG, 7.63%, 08/17/22 |
| 5,150,000 |
| 6,075,831 |
|
Wells Fargo & Co. |
|
|
|
|
|
7.98% (callable at 100 beginning 03/15/18) (f) |
| 6,100,000 |
| 6,672,790 |
|
0.69%, 04/22/19 (a) |
| 3,200,000 |
| 3,187,363 |
|
|
|
|
| 225,236,163 |
|
HEALTH CARE - 0.5% |
|
|
|
|
|
HCA Inc., 7.25%, 09/15/20 |
| 1,150,000 |
| 1,219,000 |
|
HCA Inc. Extended Term Loan A-2, 2.65%, 05/02/16 (a) |
| 3,630,000 |
| 3,611,197 |
|
|
|
|
| 4,830,197 |
|
INDUSTRIALS - 0.4% |
|
|
|
|
|
Asciano Finance Ltd., 5.00%, 04/07/18(b) (e) |
| 600,000 |
| 648,206 |
|
CSX Corp. |
|
|
|
|
|
6.25%, 04/01/15 |
| 233,000 |
| 238,517 |
|
5.60%, 05/01/17 |
| 3,350,000 |
| 3,697,881 |
|
|
|
|
| 4,584,604 |
|
INFORMATION TECHNOLOGY - 0.0% |
|
|
|
|
|
Apple Inc., 2.85%, 05/06/21 |
| 500,000 |
| 507,775 |
|
|
|
|
|
|
|
MATERIALS - 0.1% |
|
|
|
|
|
Gerdau Holdings Inc., 7.00%, 01/20/20 (b) |
| 900,000 |
| 1,022,580 |
|
Gold Fields Orogen Holding BVI Ltd., 4.88%, 10/07/20 (b) |
| 200,000 |
| 178,000 |
|
GTL Trade Finance Inc., 7.25%, 10/20/17 (b) |
| 300,000 |
| 338,160 |
|
|
|
|
| 1,538,740 |
|
TELECOMMUNICATION SERVICES - 4.2% |
|
|
|
|
|
AT&T Inc., 0.65%, 03/30/17 (a) |
| 3,300,000 |
| 3,305,498 |
|
BellSouth Corp., 4.18%, 04/26/15 (c) (d) |
| 9,800,000 |
| 9,953,860 |
|
Deutsche Telekom International Finance BV, 3.13%, 04/11/16 (b) |
| 2,300,000 |
| 2,372,001 |
|
Sprint Communications Inc. |
|
|
|
|
|
6.00%, 12/01/16 |
| 6,961,000 |
| 7,369,959 |
|
9.13%, 03/01/17 |
| 2,000,000 |
| 2,260,000 |
|
Verizon Communications Inc. |
|
|
|
|
|
1.76%, 09/15/16 (a) |
| 2,400,000 |
| 2,454,185 |
|
2.50%, 09/15/16 |
| 8,200,000 |
| 8,442,925 |
|
0.63%, 06/09/17 (a) |
| 5,000,000 |
| 5,001,275 |
|
1.98%, 09/14/18 (a) |
| 500,000 |
| 523,183 |
|
3.65%, 09/14/18 |
| 1,600,000 |
| 1,692,117 |
|
|
|
|
| 43,375,003 |
|
UTILITIES - 0.4% |
|
|
|
|
|
Centrais Eletricas Brasileiras SA, 6.88%, 07/30/19 (b) |
| 200,000 |
| 218,500 |
|
Dynegy Finance I Inc. |
|
|
|
|
|
6.75%, 11/01/19 (b) |
| 2,000,000 |
| 2,070,000 |
|
7.38%, 11/01/22 (b) |
| 900,000 |
| 951,750 |
|
7.63%, 11/01/24 (b) |
| 500,000 |
| 530,000 |
|
|
|
|
| 3,770,250 |
|
Total Corporate Bonds and Notes (cost $306,307,264) |
|
|
| 311,134,629 |
|
|
|
|
|
|
|
GOVERNMENT AND AGENCY OBLIGATIONS - 49.9% |
|
|
|
|
|
|
|
|
|
|
|
GOVERNMENT SECURITIES - 36.9% |
|
|
|
|
|
Federal Home Loan Mortgage Corp. - 2.9% (g) |
|
|
|
|
|
Federal Home Loan Mortgage Corp. |
|
|
|
|
|
1.00%, 03/08/17 (h) |
| 500,000 |
| 503,080 |
|
1.00%, 09/29/17 |
| 10,100,000 |
| 10,087,456 |
|
0.88%, 03/07/18 |
| 300,000 |
| 296,415 |
|
See accompanying Notes to Financial Statements.
|
| Shares/Par† |
| Value |
| |
1.75%, 05/30/19 |
| 600,000 |
| 600,712 |
| |
1.25%, 08/01/19 - 10/02/19 |
| 19,200,000 |
| 18,766,502 |
| |
|
|
|
| 30,254,165 |
| |
Federal National Mortgage Association - 3.0% (g) |
|
|
|
|
| |
Federal National Mortgage Association |
|
|
|
|
| |
1.25%, 01/30/17 |
| 5,400,000 |
| 5,463,687 |
| |
1.13%, 04/27/17 (h) |
| 800,000 |
| 806,798 |
| |
5.00%, 05/11/17 (h) |
| 2,600,000 |
| 2,869,711 |
| |
5.38%, 06/12/17 (h) |
| 4,800,000 |
| 5,350,464 |
| |
0.88%, 02/08/18 - 05/21/18 |
| 14,900,000 |
| 14,725,714 |
| |
1.88%, 09/18/18 |
| 1,100,000 |
| 1,118,577 |
| |
|
|
|
| 30,334,951 |
| |
Municipals - 3.9% |
|
|
|
|
| |
American Municipal Power Inc., RB, 8.08%, 02/15/50 |
| 2,200,000 |
| 3,438,182 |
| |
Bay Area Toll Authority, RB - Series S1 |
|
|
|
|
| |
7.04%, 04/01/50 |
| 2,000,000 |
| 2,897,840 |
| |
6.91%, 10/01/50 |
| 1,000,000 |
| 1,447,910 |
| |
California Statewide Communities Development Authority, RB, 7.55%, 05/15/40 |
| 1,100,000 |
| 1,442,474 |
| |
Dallas Convention Center Hotel Development Corp., RB, 7.09%, 01/01/42 |
| 2,800,000 |
| 3,631,964 |
| |
Los Angeles County Public Works Financing Authority, RB, 7.62%, 08/01/40 |
| 2,800,000 |
| 3,971,212 |
| |
Mississippi Development Bank, RB, 6.31%, 01/01/33 |
| 300,000 |
| 372,849 |
| |
Municipal Electric Authority of Georgia, 6.66%, 04/01/57 |
| 2,100,000 |
| 2,639,175 |
| |
New Jersey State Turnpike Authority, RB, 7.10%, 01/01/41 |
| 2,000,000 |
| 2,833,420 |
| |
State of California |
|
|
|
|
| |
7.50%, 04/01/34 |
| 1,400,000 |
| 2,018,870 |
| |
7.95%, 03/01/36 |
| 2,300,000 |
| 2,843,881 |
| |
7.63%, 03/01/40 |
| 1,800,000 |
| 2,687,418 |
| |
7.60%, 11/01/40 |
| 4,000,000 |
| 6,073,920 |
| |
State of California Various Purpose Bond, 7.55%, 04/01/39 |
| 1,500,000 |
| 2,252,775 |
| |
State of Iowa, RB, 6.75%, 06/01/34 |
| 400,000 |
| 461,500 |
| |
University of California, RB, 6.40%, 05/15/31 |
| 1,100,000 |
| 1,328,349 |
| |
|
|
|
| 40,341,739 |
| |
Sovereign - 10.4% |
|
|
|
|
| |
Banco Nacional de Desenvolvimento Economico e Social, 3.38%, 09/26/16 (b) |
| 300,000 |
| 306,375 |
| |
Brazil Letras do Tesouro Nacional |
|
|
|
|
| |
0.00%, 10/01/15 (i), BRL |
| 3,000,000 |
| 1,090,419 |
| |
0.00%, 01/01/16 (i), BRL |
| 10,000,000 |
| 3,528,698 |
| |
Italy Buoni Poliennali Del Tesoro |
|
|
|
|
| |
3.75%, 04/15/16 - 08/01/16, EUR |
| 6,300,000 |
| 8,308,817 |
| |
4.75%, 09/15/16 - 06/01/17, EUR |
| 11,200,000 |
| 15,335,212 |
| |
1.15%, 05/15/17, EUR |
| 5,000,000 |
| 6,323,826 |
| |
Italy Certificati di Credito del Tesoro, 0.00%, 12/31/15 - 04/29/16 (i), EUR |
| 2,100,000 |
| 2,610,890 |
| |
Mexican Bonos, 9.50%, 12/18/14, MXN |
| 205,140,000 |
| 15,350,586 |
| |
Province of Ontario, Canada, 3.15%, 06/02/22, CAD |
| 600,000 |
| 552,338 |
| |
Province of Quebec, Canada, 4.25%, 12/01/21, CAD |
| 1,300,000 |
| 1,282,168 |
| |
Spain Government Bond |
|
|
|
|
| |
3.75%, 10/31/15, EUR |
| 9,300,000 |
| 12,041,204 |
| |
3.15%, 01/31/16, EUR |
| 700,000 |
| 906,706 |
| |
3.25%, 04/30/16, EUR |
| 1,100,000 |
| 1,434,895 |
| |
3.30%, 07/30/16, EUR |
| 8,400,000 |
| 11,030,117 |
| |
4.25%, 10/31/16, EUR |
| 4,300,000 |
| 5,781,309 |
| |
3.80%, 01/31/17, EUR |
| 3,400,000 |
| 4,564,493 |
| |
2.10%, 04/30/17, EUR |
| 9,500,000 |
| 12,323,178 |
| |
5.50%, 07/30/17, EUR |
| 2,500,000 |
| 3,538,453 |
| |
|
|
|
| 106,309,684 |
| |
Treasury Inflation Index Securities - 15.3% |
|
|
|
|
| |
U.S. Treasury Inflation Indexed Note |
|
|
|
|
| |
1.25%, 07/15/20 (h) (j) |
| 872,512 |
| 930,998 |
| |
1.13%, 01/15/21 (h) (j) |
| 217,462 |
| 229,473 |
| |
0.63%, 07/15/21 (j) |
| 22,689,380 |
| 23,292,055 |
| |
0.13%, 01/15/22 - 07/15/22 (h) (j) |
| 8,816,505 |
| 8,685,141 |
| |
0.13%, 01/15/23 (j) |
| 12,880,750 |
| 12,594,952 |
| |
0.38%, 07/15/23 (j) |
| 7,665,450 |
| 7,661,257 |
| |
2.38%, 01/15/25 - 01/15/27 (j) |
| 40,333,632 |
| 48,069,388 |
| |
2.00%, 01/15/26 (j) |
| 17,496,348 |
| 20,201,441 |
| |
1.75%, 01/15/28 (h) (j) |
| 22,025,790 |
| 24,982,070 |
| |
2.50%, 01/15/29 (j) |
| 7,865,664 |
| 9,777,390 |
| |
|
|
|
| 156,424,165 |
| |
U.S. Treasury Securities - 1.4% |
|
|
|
|
| |
U.S. Treasury Bond, 3.13%, 08/15/44 |
| 14,400,000 |
| 14,573,246 |
| |
|
|
|
|
|
| |
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 13.0% |
|
|
|
|
| |
Federal Home Loan Mortgage Corp. - 2.4% |
|
|
|
|
| |
Federal Home Loan Mortgage Corp. |
|
|
|
|
| |
4.50%, 03/01/28 - 12/01/41 |
| 1,340,694 |
| 1,457,538 |
| |
5.50%, 09/01/33 - 03/01/40 |
| 4,027,439 |
| 4,499,381 |
| |
4.00%, 11/15/44, TBA (k) |
| 2,000,000 |
| 2,121,250 |
| |
4.50%, 11/15/44, TBA (k) |
| 9,000,000 |
| 9,747,583 |
| |
REMIC, 0.87%, 05/15/37 (a) |
| 1,355,011 |
| 1,383,553 |
| |
REMIC, 5.00%, 08/15/38 |
| 5,094,912 |
| 5,577,166 |
| |
|
|
|
| 24,786,471 |
| |
Federal National Mortgage Association - 10.6% |
|
|
|
|
| |
Federal National Mortgage Association |
|
|
|
|
| |
3.00%, 07/01/21 - 12/01/27 |
| 4,721,765 |
| 4,924,263 |
| |
3.89%, 07/01/21 |
| 1,195,239 |
| 1,297,250 |
| |
3.16%, 05/01/22 |
| 782,596 |
| 817,865 |
| |
2.31%, 08/01/22 |
| 300,000 |
| 295,967 |
| |
4.50%, 08/01/23 - 01/01/42 |
| 17,354,576 |
| 18,848,536 |
| |
5.00%, 04/01/28 - 11/01/41 |
| 629,948 |
| 697,381 |
| |
3.50%, 11/15/29 - 11/15/44, TBA (k) |
| 20,000,000 |
| 20,830,215 |
| |
4.00%, 11/15/29, TBA (k) |
| 1,000,000 |
| 1,061,250 |
| |
4.00%, 10/01/30 |
| 1,821,361 |
| 1,951,605 |
| |
5.50%, 01/01/33 - 12/01/38 |
| 2,967,401 |
| 3,318,204 |
| |
6.00%, 03/01/33 - 05/01/41 |
| 8,734,003 |
| 9,894,714 |
| |
4.50%, 11/15/44 - 12/15/44, TBA (k) |
| 7,000,000 |
| 7,574,465 |
| |
5.00%, 11/15/44, TBA (k) |
| 22,000,000 |
| 24,356,407 |
| |
5.50%, 11/15/44, TBA (k) |
| 4,000,000 |
| 4,461,562 |
| |
6.00%, 11/15/44 - 12/15/44, TBA (k) |
| 7,000,000 |
| 7,915,322 |
| |
|
|
|
| 108,245,006 |
| |
Total Government and Agency Obligations |
|
|
| 511,269,427 |
| |
|
|
|
|
|
| |
PREFERRED STOCKS - 0.4% |
|
|
|
|
| |
|
|
|
|
|
| |
FINANCIALS - 0.4% |
|
|
|
|
| |
Wells Fargo & Co., 7.50% (f) (l) |
| 3,300 |
| 3,973,200 |
| |
Total Preferred Stocks (cost $3,677,194) |
|
|
| 3,973,200 |
| |
|
|
|
|
|
| |
SHORT TERM INVESTMENTS - 16.5% |
|
|
|
|
| |
|
|
|
|
|
| |
Certificates of Deposit - 2.6% |
|
|
|
|
| |
Credit Suisse |
|
|
|
|
| |
0.46%, 03/17/15 (a) |
| $ | 700,000 |
| 699,947 |
|
0.48%, 03/31/15 (a) |
| 9,900,000 |
| 9,899,168 |
| |
Royal Bank of Canada, 1.37%, 05/07/15, CAD |
| 10,100,000 |
| 8,866,726 |
| |
See accompanying Notes to Financial Statements.
|
| Shares/Par† |
| Value |
| |||
Scotia Capital BDN, 1.24%, 02/10/15, CAD |
| 8,400,000 |
| 7,427,521 |
| |||
|
|
|
| 26,893,362 |
| |||
Commercial Paper - 0.9% |
|
|
|
|
| |||
Vodafone Group Plc, 0.51%, 04/10/15 |
| 8,900,000 |
| 8,885,074 |
| |||
|
|
|
|
|
| |||
Repurchase Agreements - 2.8% |
|
|
|
|
| |||
Repurchase Agreement with JPM, 0.17% (Collateralized by $30,025,000 Federal National Mortgage Association, 0.88%, due 05/21/18, value $29,582,732) acquired on 10/31/14, due 11/03/14 at $29,000,411 |
| 28,999,999 |
| 28,999,999 |
| |||
|
|
|
|
|
| |||
Securities Lending Collateral - 0.3% |
|
|
|
|
| |||
BlackRock Liquidity Funds TempFund Portfolio, 0.15% (m) |
| 100,000 |
| 100,000 |
| |||
Repurchase Agreement with BCL, 0.08% (Collateralized by $50,573 U.S. Treasury Inflation Index Note, 1.25%, due 07/15/20, value $59,098, and $847,552 U.S. Treasury Inflation Index Note, 1.38%, due 02/15/44, value $960,902) acquired on 10/31/14, due 11/03/14 at $1,000,007 |
| $ | 1,000,000 |
| 1,000,000 |
| ||
Repurchase Agreement with MLP, 0.10% (Collateralized by $502,091 U.S. Treasury Note, 0.88%-2.63%, due 12/31/16-08/15/20, value $519,028, and $1,355,240 U.S. Treasury Inflation Index Note, 0.75%, due 02/15/42, value $1,357,505) acquired on 10/31/14, due 11/03/14 at $1,839,753 |
| 1,839,738 |
| 1,839,738 |
| |||
|
|
|
| 2,939,738 |
| |||
Treasury Securities - 9.9% |
|
|
|
|
| |||
Japan Treasury Bill |
|
|
|
|
| |||
0.00%, 12/15/14, JPY |
| 2,690,000,000 |
| 23,948,081 |
| |||
0.00%, 02/20/15, JPY |
| 20,000,000 |
| 178,075 |
| |||
0.00%, 03/10/15, JPY |
| 410,000,000 |
| 3,650,520 |
| |||
Mexico Cetes |
|
|
|
|
| |||
0.22%, 12/11/14, MXN |
| 3,069,000 |
| 2,271,464 |
| |||
0.22%, 01/08/15, MXN |
| 29,520,000 |
| 21,800,902 |
| |||
0.22%, 01/22/15, MXN |
| 15,430,000 |
| 11,381,963 |
| |||
0.22%, 02/05/15, MXN |
| 16,020,000 |
| 11,803,616 |
| |||
Mexico Treasury Bill |
|
|
|
|
| |||
0.22%, 11/13/14, MXN |
| 13,760,000 |
| 10,207,315 |
| |||
0.22%, 02/19/15, MXN |
| 3,482,800 |
| 2,563,118 |
| |||
|
|
|
|
|
| |||
U.S. Treasury Bill, 0.02%, 11/06/14 (h) |
| $ | 13,600,000 |
| 13,599,956 |
| ||
|
|
|
| 101,405,010 |
| |||
Total Short Term Investments (cost $172,879,453) |
|
|
| 169,123,183 |
| |||
|
|
|
|
|
| |||
Total Investments - 106.0% (cost $1,085,457,778) |
|
|
| 1,086,473,687 |
| |||
Total Forward Sales Commitments - (0.5%) (proceeds $5,159,375) |
|
|
| (5,185,156 | ) | |||
Other Assets and Liabilities, Net - (5.5%) |
|
|
| (56,625,260 | ) | |||
Total Net Assets - 100.0% |
|
|
| $ | 1,024,663,271 |
| ||
|
|
|
|
|
| |||
FORWARD SALES COMMITMENTS - 0.5% |
|
|
|
|
| |||
|
|
|
|
|
| |||
GOVERNMENT AND AGENCY OBLIGATIONS - 0.5% |
|
|
|
|
| |||
|
|
|
|
|
| |||
U.S. GOVERNMENT AGENCY MORTGAGE-BACKED SECURITIES - 0.5% |
|
|
|
|
| |||
Federal National Mortgage Association - 0.5% |
|
|
|
|
| |||
Federal National Mortgage Association, 3.00%, 11/15/29, TBA (k) |
| $ | 5,000,000 |
| $ | 5,185,156 |
| |
Total Government and Agency Obligations - 0.5% (proceeds $5,159,375) |
|
|
| $ | 5,185,156 |
| ||
(a) Variable rate security. Rate stated was in effect as of October 31, 2014.
(b) The Sub-Adviser has deemed this security which is exempt from registration under the Securities Act of 1933 to be liquid based on procedures approved by the Trust’s Board of Trustees. As of October 31, 2014, the aggregate value of these liquid securities was $53,841,701 which represented 5.3% of net assets.
(c) Security is restricted to resale to institutional investors. See Restricted Securities in these Schedules of Investments.
(d) The Sub-Adviser has deemed this security to be illiquid based on procedures approved by the Trust’s Board of Trustees.
(e) All or a portion of the security was on loan.
(f) Perpetual maturity security.
(g) The securities in this category are direct debt of the agency and not collateralized by mortgages.
(h) All or a portion of the securities is pledged or segregated as collateral.
(i) Security issued with a zero coupon. Income is recognized through the accretion of discount.
(j) Treasury inflation indexed note, par amount is adjusted for inflation.
(k) All or a portion of the investment was purchased or sold on a delayed delivery basis. As of October 31, 2014, the total cost of investments purchased on a delayed delivery basis was $77,683,320. As of October 31, 2014, the total proceeds for investments sold on a delayed delivery basis were $5,159,375.
(l) Convertible security.
(m) Yield changes daily to reflect current market conditions. Rate was the quoted yield as of October 31, 2014.
See accompanying Notes to Financial Statements.
Restricted Securities - The Fund invests in securities that are restricted under the Securities Act of 1933 or which are subject to legal, contractual, or other agreed upon restrictions on resale. 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. As of October 31, 2014, the Fund held investments in restricted securities, excluding certain securities exempt from registration under the 1933 Act which are deemed to be liquid, as follows:
|
| Initial |
| Cost |
| Ending |
| Percent of |
| ||
BellSouth Corp., 4.18%, 04/26/15 |
| 04/17/2014 |
| $ | 10,130,632 |
| $ | 9,953,860 |
| 1.0 | % |
Credit Agricole SA, 1.63%, 04/15/16 |
| 07/28/2014 |
| 4,041,717 |
| 4,040,588 |
| 0.4 |
| ||
Marks & Spencer Plc, 6.25%, 12/01/17 |
| 02/26/2014 |
| 2,546,542 |
| 2,569,509 |
| 0.2 |
| ||
|
|
|
| $ | 16,718,891 |
| $ | 16,563,957 |
| 1.6 | % |
Schedule of Written Options
|
| Expiration |
| Exercise |
| Contracts/ Notional |
| Value |
| |
Exchange-Traded Futures Options |
|
|
|
|
|
|
|
|
| |
10-Year U.S. Treasury Note Future Call Option |
| 11/21/2014 |
| 125.50 |
| 128 |
| $ | (32,000 | ) |
10-Year U.S. Treasury Note Future Call Option |
| 11/21/2014 |
| 126.00 |
| 167 |
| (70,453 | ) | |
|
|
|
|
|
| 295 |
| $ | (102,453 | ) |
Foreign Currency Options |
|
|
|
|
|
|
|
|
| |
Australian Dollar versus USD Call Option, BNP |
| 12/15/2014 |
| 0.89 |
| 1,000,000 |
| $ | (5,000 | ) |
Australian Dollar versus USD Call Option, BOA |
| 01/14/2015 |
| 0.90 |
| 1,200,000 |
| (5,643 | ) | |
Australian Dollar versus USD Call Option, CIT |
| 12/15/2014 |
| 0.89 |
| 1,100,000 |
| (4,995 | ) | |
Australian Dollar versus USD Call Option, CSI |
| 12/01/2014 |
| 0.86 |
| 1,300,000 |
| (4,171 | ) | |
Australian Dollar versus USD Put Option, BBP |
| 11/25/2014 |
| 0.86 |
| 1,200,000 |
| (3,529 | ) | |
Australian Dollar versus USD Put Option, BNP |
| 11/13/2014 |
| 0.86 |
| 3,200,000 |
| (5,364 | ) | |
Australian Dollar versus USD Put Option, BOA |
| 11/25/2014 |
| 0.87 |
| 1,300,000 |
| (6,396 | ) | |
Australian Dollar versus USD Put Option, BOA |
| 01/14/2015 |
| 0.84 |
| 1,200,000 |
| (4,331 | ) | |
Australian Dollar versus USD Put Option, CIT |
| 11/05/2014 |
| 0.87 |
| 1,200,000 |
| (1,308 | ) | |
Australian Dollar versus USD Put Option, CIT |
| 11/20/2014 |
| 0.85 |
| 2,100,000 |
| (1,900 | ) | |
Australian Dollar versus USD Put Option, CIT |
| 12/15/2014 |
| 0.85 |
| 1,100,000 |
| (2,522 | ) | |
Australian Dollar versus USD Put Option, DUB |
| 12/03/2014 |
| 0.88 |
| 3,500,000 |
| (36,750 | ) | |
Australian Dollar versus USD Put Option, UBS |
| 11/13/2014 |
| 0.87 |
| 2,600,000 |
| (6,894 | ) | |
Brazilian Real versus USD Call Option, GSB |
| 01/20/2015 |
| 2.80 |
| 1,100,000 |
| (5,318 | ) | |
Brazilian Real versus USD Call Option, MSC |
| 01/28/2015 |
| 2.80 |
| 1,200,000 |
| (7,046 | ) | |
Brazilian Real versus USD Put Option, GSB |
| 01/20/2015 |
| 2.30 |
| 1,100,000 |
| (2,044 | ) | |
Brazilian Real versus USD Put Option, MSC |
| 01/28/2015 |
| 2.30 |
| 1,200,000 |
| (2,409 | ) | |
Euro versus USD Put Option, BNP |
| 11/05/2014 |
| 1.26 |
| 1,200,000 |
| (11,549 | ) | |
Euro versus USD Put Option, CSI |
| 11/06/2014 |
| 1.25 |
| 1,100,000 |
| (6,047 | ) | |
Euro versus USD Put Option, DUB |
| 11/20/2014 |
| 1.26 |
| 1,200,000 |
| (11,819 | ) | |
Euro versus USD Put Option, DUB |
| 11/06/2014 |
| 1.26 |
| 4,200,000 |
| (32,769 | ) | |
Indian Rupee versus USD Call Option, BBP |
| 01/27/2015 |
| 63.27 |
| 2,200,000 |
| (15,809 | ) | |
Indian Rupee versus USD Call Option, BBP |
| 01/16/2015 |
| 63.90 |
| 1,200,000 |
| (4,873 | ) | |
Indian Rupee versus USD Call Option, GSB |
| 02/25/2015 |
| 63.85 |
| 400,000 |
| (3,397 | ) | |
Indian Rupee versus USD Call Option, GSB |
| 01/12/2015 |
| 63.50 |
| 1,300,000 |
| (6,102 | ) | |
Indian Rupee versus USD Put Option, BBP |
| 01/16/2015 |
| 60.90 |
| 1,200,000 |
| (4,946 | ) | |
Japanese Yen versus USD Call Option, BBP |
| 11/06/2014 |
| 108.25 |
| 1,200,000 |
| (42,981 | ) | |
Japanese Yen versus USD Call Option, BOA |
| 11/05/2014 |
| 107.70 |
| 1,600,000 |
| (65,050 | ) | |
Japanese Yen versus USD Call Option, DUB |
| 11/19/2014 |
| 107.85 |
| 1,150,000 |
| (45,643 | ) | |
Japanese Yen versus USD Call Option, DUB |
| 11/07/2014 |
| 107.60 |
| 1,150,000 |
| (47,842 | ) | |
Japanese Yen versus USD Put Option, BBP |
| 11/10/2014 |
| 97.00 |
| 100,000,000 |
| (1 | ) | |
Japanese Yen versus USD Put Option, BNP |
| 01/05/2015 |
| 110.50 |
| 1,200,000 |
| (11,354 | ) | |
Japanese Yen versus USD Put Option, BOA |
| 02/18/2019 |
| 80.00 |
| 500,000 |
| (10,606 | ) | |
Japanese Yen versus USD Put Option, BOA |
| 11/10/2014 |
| 97.00 |
| 1,600,000 |
| — |
| |
Japanese Yen versus USD Put Option, UBS |
| 12/03/2014 |
| 110.50 |
| 2,000,000 |
| (10,939 | ) | |
Japanese Yen versus USD Put Option, UBS |
| 12/03/2014 |
| 110.00 |
| 2,000,000 |
| (8,556 | ) | |
Japanese Yen versus USD Put Option, UBS |
| 01/07/2015 |
| 110.50 |
| 1,600,000 |
| (15,452 | ) | |
Japanese Yen versus USD Put Option, UBS |
| 11/10/2014 |
| 98.00 |
| 100,000,000 |
| (2 | ) |
See accompanying Notes to Financial Statements.
|
| Expiration |
| Exercise |
| Contracts/ Notional |
| Value |
| |
Foreign Currency Options (continued) |
|
|
|
|
|
|
|
|
| |
Japanese Yen versus USD Put Option, UBS |
| 07/03/2015 |
| 100.00 |
| 3,100,000 |
| $ | (11,524 | ) |
Mexican Peso versus USD Call Option, GSB |
| 12/24/2014 |
| 13.80 |
| 1,000,000 |
| (5,054 | ) | |
Mexican Peso versus USD Call Option, GSB |
| 01/28/2015 |
| 13.85 |
| 1,000,000 |
| (8,281 | ) | |
Mexican Peso versus USD Put Option, GSB |
| 12/24/2014 |
| 13.20 |
| 1,000,000 |
| (2,700 | ) | |
Mexican Peso versus USD Put Option, GSB |
| 01/28/2015 |
| 13.25 |
| 1,000,000 |
| (5,606 | ) | |
|
|
|
|
|
| 261,700,000 |
| $ | (494,522 | ) |
Index Options |
|
|
|
|
|
|
|
|
| |
CDX.NA.IG.22 Put Option, BOA |
| 12/17/2014 |
| 0.85 |
| 28 |
| $ | (602 | ) |
CDX.NA.IG.22 Put Option, CIT |
| 12/17/2014 |
| 0.90 |
| 25 |
| (370 | ) | |
CDX.NA.IG.22, Put Option, CIT |
| 12/17/2014 |
| 0.95 |
| 19 |
| (194 | ) | |
iTraxx Europe Main Series 22 Call Option, CIT |
| 01/21/2015 |
| 0.60 |
| 44 |
| (9,485 | ) | |
iTraxx Europe Main Series 22 Call Option, GSI |
| 01/21/2015 |
| 0.60 |
| 14 |
| (3,018 | ) | |
iTraxx Europe Main Series 22 Put Option, CIT |
| 01/21/2015 |
| 1.00 |
| 25 |
| (2,520 | ) | |
iTraxx Europe Main Series 22 Put Option, CIT |
| 01/21/2015 |
| 0.90 |
| 19 |
| (3,087 | ) | |
iTraxx Europe Main Series 22 Put Option, GSI |
| 01/21/2015 |
| 1.10 |
| 8 |
| (478 | ) | |
iTraxx Europe Main Series 22 Put Option, GSI |
| 01/21/2015 |
| 1.00 |
| 14 |
| (1,412 | ) | |
|
|
|
|
|
| 196 |
| $ | (21,166 | ) |
Interest Rate Swaptions |
|
|
|
|
|
|
|
|
| |
Call Swaption, 3-Month LIBOR versus 1.03% fixed, MSS |
| 11/14/2014 |
| N/A |
| 84 |
| $ | (1,240 | ) |
Call Swaption, 3-Month LIBOR versus 1.58% fixed, MSS |
| 11/14/2014 |
| N/A |
| 44 |
| (9,649 | ) | |
Call Swaption, 3-Month LIBOR versus 1.58% fixed, MSS |
| 11/28/2014 |
| N/A |
| 10 |
| (501 | ) | |
Call Swaption, 3-Month LIBOR versus 1.65% fixed, DUB |
| 11/17/2014 |
| N/A |
| 211 |
| (14,565 | ) | |
Call Swaption, 3-Month LIBOR versus 1.68% fixed, MSS |
| 11/14/2014 |
| N/A |
| 243 |
| (20,175 | ) | |
Call Swaption, 3-Month LIBOR versus 1.70% fixed, DUB |
| 12/02/2014 |
| N/A |
| 95 |
| (18,183 | ) | |
Call Swaption, 3-Month LIBOR versus 1.78% fixed, MSS |
| 11/28/2014 |
| N/A |
| 276 |
| (89,842 | ) | |
Call Swaption, 3-Month LIBOR versus 1.80% fixed, GSB |
| 12/01/2014 |
| N/A |
| 66 |
| (25,674 | ) | |
Call Swaption, 3-Month LIBOR versus 1.80% fixed, MSS |
| 12/01/2014 |
| N/A |
| 162 |
| (63,188 | ) | |
Call Swaption, 3-Month LIBOR versus 1.85% fixed, MSS |
| 12/02/2014 |
| N/A |
| 109 |
| (57,585 | ) | |
Call Swaption, 6-Month Euribor versus 0.45% fixed, BNP |
| 12/05/2014 |
| N/A |
| 180 |
| (2,950 | ) | |
Call Swaption, 6-Month Euribor versus 0.95% fixed, DUB |
| 03/23/2015 |
| N/A |
| 22 |
| (11,976 | ) | |
Call Swaption, 6-Month Euribor versus 1.20% fixed, GSB |
| 01/20/2015 |
| N/A |
| 95 |
| (168,092 | ) | |
Put Swaption, 3-Month LIBOR versus 2.05% fixed, DUB |
| 12/02/2014 |
| N/A |
| 57 |
| (4,411 | ) | |
Put Swaption, 3-Month LIBOR versus 2.08% fixed, GSB |
| 11/28/2014 |
| N/A |
| 12 |
| (561 | ) | |
Put Swaption, 3-Month LIBOR versus 2.10% fixed, GSB |
| 12/01/2014 |
| N/A |
| 66 |
| (3,196 | ) | |
Put Swaption, 3-Month LIBOR versus 2.13% fixed, MSS |
| 11/28/2014 |
| N/A |
| 37 |
| (1,094 | ) | |
Put Swaption, 3-Month LIBOR versus 2.15% fixed, MSS |
| 12/02/2014 |
| N/A |
| 95 |
| (3,237 | ) | |
Put Swaption, 3-Month LIBOR versus 2.15% fixed, MSS |
| 12/01/2014 |
| N/A |
| 162 |
| (5,015 | ) | |
Put Swaption, 3-Month LIBOR versus 2.52% fixed, MSS |
| 09/18/2015 |
| N/A |
| 326 |
| (323,219 | ) | |
Put Swaption, 3-Month LIBOR versus 2.60% fixed, MSS |
| 09/14/2015 |
| N/A |
| 97 |
| (82,803 | ) | |
Put Swaption, 3-Month LIBOR versus 2.77% fixed. MSS |
| 01/23/2015 |
| N/A |
| 127 |
| (2,444 | ) | |
Put Swaption, 3-Month LIBOR versus 2.80% fixed, MSS |
| 02/02/2015 |
| N/A |
| 64 |
| (36,400 | ) | |
Put Swaption, 3-Month LIBOR versus 2.82% fixed, MSS |
| 01/30/2015 |
| N/A |
| 16 |
| (8,056 | ) | |
Put Swaption, 3-Month LIBOR versus 3.30% fixed, MSS |
| 01/30/2015 |
| N/A |
| 22 |
| (26,815 | ) | |
Put Swaption, 3-Month LIBOR versus 3.32% fixed, MSS |
| 01/16/2015 |
| N/A |
| 42 |
| (36,481 | ) | |
Put Swaption, 6-Month Euribor versus 0.63% fixed, BNP |
| 12/05/2014 |
| N/A |
| 44 |
| (864 | ) | |
Put Swaption, 6-Month Euribor versus 1.55% fixed, DUB |
| 03/23/2015 |
| N/A |
| 22 |
| (6,551 | ) | |
Put Swaption, 6-Month Euribor versus 1.60% fixed, GSB |
| 01/20/2015 |
| N/A |
| 95 |
| (6,366 | ) | |
|
|
|
|
|
| 2,881 |
| $ | (1,031,133 | ) |
Summary of Written Options
|
| Contracts/ |
| Premiums |
| |
Options outstanding at October 31, 2013 |
| 2,762 |
| $ | 1,038,950 |
|
Options written during the year |
| 266,157,764 |
| 3,742,029 |
| |
Options closed during the year |
| (4,450,679 | ) | (431,986 | ) | |
Options expired during the year |
| (6,475 | ) | (2,557,552 | ) | |
Options outstanding at October 31, 2014 |
| 261,703,372 |
| $ | 1,791,441 |
|
See accompanying Notes to Financial Statements.
|
| Expiration |
| Variation Margin |
| Exercise |
| Written |
| Unrealized |
| ||
Euro-Bund Call Option |
| 11/21/2014 |
| 276 |
| EUR | 151.00 |
| (22 | ) | $ | (9,520 | ) |
Euro-Bund Call Option |
| 11/21/2014 |
| 802 |
| EUR | 151.50 |
| (69 | ) | 2,775 |
| |
Euro-Bund Call Option |
| 11/21/2014 |
| — |
| EUR | 152.00 |
| (46 | ) | (354 | ) | |
Euro-Bund Put Option |
| 11/21/2014 |
| — |
| EUR | 146.00 |
| (21 | ) | 7,722 |
| |
|
|
|
|
|
|
|
| (158 | ) | $ | 623 |
|
Schedule of Open Future Contracts
|
| Expiration |
| Contracts |
| Unrealized |
| |
3-Month Sterling Interest Rate Future |
| March 2015 |
| (26 | ) | $ | (5,771 | ) |
3-Month Sterling Interest Rate Future |
| June 2015 |
| (27 | ) | (8,709 | ) | |
3-Month Sterling Interest Rate Future |
| September 2015 |
| (25 | ) | (10,050 | ) | |
90-Day Eurodollar Future |
| March 2015 |
| 1,277 |
| (4,506 | ) | |
90-Day Eurodollar Future |
| June 2015 |
| 150 |
| (9,565 | ) | |
90-Day Eurodollar Future |
| December 2015 |
| 865 |
| 344,239 |
| |
Euro-BTP Future |
| December 2014 |
| 290 |
| 153,730 |
| |
Euro-Bund Future |
| December 2014 |
| (76 | ) | (89,482 | ) | |
U.S. Treasury Long Bond Future, 20-Year |
| December 2014 |
| 501 |
| (148,716 | ) | |
U.S. Treasury Note Future, 10-Year |
| December 2014 |
| 1,023 |
| 1,371,985 |
| |
|
|
|
|
|
| $ | 1,593,155 |
|
Schedule of Open Forward Foreign Currency Contracts
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
AUD/USD |
| 12/02/2014 |
| BOA |
| AUD | 2,812,000 |
| $ | 2,469,781 |
| $ | 1,461 |
|
BRL/USD |
| 11/04/2014 |
| BNP |
| BRL | 1,313,747 |
| 530,185 |
| 4,760 |
| ||
BRL/USD |
| 11/04/2014 |
| BNP |
| BRL | 109,762 |
| 44,296 |
| (818 | ) | ||
BRL/USD |
| 11/04/2014 |
| BOA |
| BRL | 113,404 |
| 45,766 |
| (1,167 | ) | ||
BRL/USD |
| 11/04/2014 |
| UBS |
| BRL | 3,358,592 |
| 1,355,419 |
| (4,335 | ) | ||
EUR/USD |
| 06/15/2015 |
| BCL |
| EUR | 1,270,000 |
| 1,594,361 |
| (105,021 | ) | ||
EUR/USD |
| 11/04/2014 |
| BCL |
| EUR | 12,838,000 |
| 16,087,921 |
| (324,804 | ) | ||
EUR/USD |
| 12/02/2014 |
| BNP |
| EUR | 5,055,000 |
| 6,335,777 |
| (99,583 | ) | ||
EUR/USD |
| 11/04/2014 |
| BNP |
| EUR | 839,000 |
| 1,051,392 |
| (18,195 | ) | ||
EUR/USD |
| 06/15/2015 |
| BNP |
| EUR | 1,035,000 |
| 1,299,342 |
| (88,086 | ) | ||
EUR/USD |
| 06/15/2015 |
| BOA |
| EUR | 94,000 |
| 118,008 |
| (4,917 | ) | ||
EUR/USD |
| 06/13/2016 |
| BOA |
| EUR | 409,000 |
| 518,036 |
| (34,339 | ) | ||
EUR/USD |
| 12/02/2014 |
| BOA |
| EUR | 3,430,000 |
| 4,299,054 |
| (17,008 | ) | ||
EUR/USD |
| 11/04/2014 |
| BOA |
| EUR | 4,895,000 |
| 6,134,162 |
| (65,355 | ) | ||
EUR/USD |
| 06/15/2015 |
| CIT |
| EUR | 1,777,000 |
| 2,230,850 |
| (120,067 | ) | ||
EUR/USD |
| 12/02/2014 |
| CIT |
| EUR | 1,910,000 |
| 2,393,934 |
| (30,910 | ) | ||
EUR/USD |
| 06/15/2015 |
| DUB |
| EUR | 423,000 |
| 531,035 |
| (18,983 | ) | ||
EUR/USD |
| 06/13/2016 |
| DUB |
| EUR | 1,783,000 |
| 2,258,331 |
| (151,572 | ) | ||
EUR/USD |
| 12/02/2014 |
| DUB |
| EUR | 4,389,000 |
| 5,501,034 |
| (25,674 | ) | ||
EUR/USD |
| 06/15/2015 |
| GSC |
| EUR | 8,667,000 |
| 10,880,574 |
| (724,838 | ) | ||
EUR/USD |
| 11/04/2014 |
| GSC |
| EUR | 6,988,000 |
| 8,757,002 |
| (117,989 | ) | ||
EUR/USD |
| 06/15/2015 |
| UBS |
| EUR | 249,000 |
| 312,595 |
| (15,566 | ) | ||
JPY/USD |
| 12/02/2014 |
| BCL |
| JPY | 344,500,000 |
| 3,067,638 |
| (96,118 | ) | ||
JPY/USD |
| 12/02/2014 |
| CIT |
| JPY | 675,600,000 |
| 6,015,954 |
| (240,378 | ) | ||
JPY/USD |
| 11/04/2014 |
| CIT |
| JPY | 451,400,000 |
| 4,018,696 |
| (162,446 | ) | ||
JPY/USD |
| 11/04/2014 |
| GSC |
| JPY | 440,800,000 |
| 3,924,327 |
| (200,747 | ) | ||
MXN/USD |
| 12/18/2014 |
| BCL |
| MXN | 2,065,000 |
| 152,934 |
| 669 |
| ||
MXN/USD |
| 02/05/2015 |
| BCL |
| MXN | 2,701,000 |
| 199,456 |
| (681 | ) | ||
MXN/USD |
| 02/05/2015 |
| BCL |
| MXN | 2,967,000 |
| 219,099 |
| 1,590 |
| ||
MXN/USD |
| 12/18/2014 |
| BNP |
| MXN | 1,476,000 |
| 109,313 |
| 419 |
| ||
MXN/USD |
| 12/18/2014 |
| BNP |
| MXN | 49,507,850 |
| 3,666,554 |
| (34,968 | ) | ||
See accompanying Notes to Financial Statements.
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
MXN/USD |
| 02/05/2015 |
| BNP |
| MXN | 59,531,460 |
| $ | 4,396,126 |
| $ | (112,228 | ) |
MXN/USD |
| 02/05/2015 |
| BOA |
| MXN | 3,075,000 |
| 227,075 |
| (413 | ) | ||
MXN/USD |
| 02/05/2015 |
| CIT |
| MXN | 1,686,000 |
| 124,503 |
| 1,480 |
| ||
MXN/USD |
| 12/18/2014 |
| DUB |
| MXN | 18,173,000 |
| 1,345,893 |
| (41,645 | ) | ||
MXN/USD |
| 12/18/2014 |
| GSC |
| MXN | 48,096,000 |
| 3,561,992 |
| (38,008 | ) | ||
MXN/USD |
| 02/05/2015 |
| UBS |
| MXN | 2,633,000 |
| 194,435 |
| 1,456 |
| ||
MXN/USD |
| 12/18/2014 |
| UBS |
| MXN | 13,353,700 |
| 988,976 |
| (11,024 | ) | ||
USD/AUD |
| 11/04/2014 |
| BNP |
| AUD | (1,599,000 | ) | (1,407,125 | ) | (6,386 | ) | ||
USD/AUD |
| 11/04/2014 |
| CIT |
| AUD | (11,342,000 | ) | (9,980,992 | ) | (129,566 | ) | ||
USD/AUD |
| 11/04/2014 |
| DUB |
| AUD | (4,992,000 | ) | (4,392,974 | ) | (4,302 | ) | ||
USD/AUD |
| 12/02/2014 |
| GSC |
| AUD | (17,933,000 | ) | (15,750,565 | ) | 48,408 |
| ||
USD/BRL |
| 10/02/2015 |
| BNP |
| BRL | (3,000,000 | ) | (1,104,672 | ) | 92,509 |
| ||
USD/BRL |
| 11/04/2014 |
| BNP |
| BRL | (8,682 | ) | (3,504 | ) | 124 |
| ||
USD/BRL |
| 11/04/2014 |
| CSI |
| BRL | (1,299,740 | ) | (524,533 | ) | (4,533 | ) | ||
USD/BRL |
| 11/04/2014 |
| MSC |
| BRL | (16,257 | ) | (6,561 | ) | (149 | ) | ||
USD/BRL |
| 01/05/2016 |
| UBS |
| BRL | (10,000,000 | ) | (3,594,088 | ) | 266,170 |
| ||
USD/BRL |
| 11/04/2014 |
| UBS |
| BRL | (3,573,338 | ) | (1,442,083 | ) | 65,018 |
| ||
USD/BRL |
| 12/02/2014 |
| UBS |
| BRL | (3,358,592 | ) | (1,343,810 | ) | 5,510 |
| ||
USD/CAD |
| 11/17/2014 |
| BCL |
| CAD | (2,264,000 | ) | (2,008,143 | ) | 12,209 |
| ||
USD/CAD |
| 05/05/2015 |
| BOA |
| CAD | (9,964,256 | ) | (8,799,437 | ) | 278,371 |
| ||
USD/CAD |
| 11/04/2014 |
| BOA |
| CAD | (221,821 | ) | (196,816 | ) | 1,184 |
| ||
USD/CAD |
| 02/10/2015 |
| CIT |
| CAD | (8,319,528 | ) | (7,363,092 | ) | 231,772 |
| ||
USD/EUR |
| 06/27/2016 |
| BCL |
| EUR | (2,587,000 | ) | (3,278,100 | ) | 279,154 |
| ||
USD/EUR |
| 06/15/2015 |
| BCL |
| EUR | (2,433,000 | ) | (3,054,394 | ) | 251,104 |
| ||
USD/EUR |
| 11/04/2014 |
| BCL |
| EUR | (3,057,000 | ) | (3,830,875 | ) | 14,883 |
| ||
USD/EUR |
| 11/04/2014 |
| BNP |
| EUR | (2,718,000 | ) | (3,406,058 | ) | 24,637 |
| ||
USD/EUR |
| 06/15/2015 |
| BNP |
| EUR | (1,923,000 | ) | (2,414,139 | ) | 193,814 |
| ||
USD/EUR |
| 11/04/2014 |
| BOA |
| EUR | (11,723,000 | ) | (14,690,660 | ) | 80,706 |
| ||
USD/EUR |
| 06/13/2016 |
| BOA |
| EUR | (10,352,000 | ) | (13,111,746 | ) | 1,046,307 |
| ||
USD/EUR |
| 06/15/2015 |
| BOA |
| EUR | (4,263,000 | ) | (5,351,781 | ) | 444,322 |
| ||
USD/EUR |
| 08/07/2015 |
| BOA |
| EUR | (3,200,000 | ) | (4,020,039 | ) | 259,536 |
| ||
USD/EUR |
| 06/27/2016 |
| BOA |
| EUR | (2,338,000 | ) | (2,962,582 | ) | 256,433 |
| ||
USD/EUR |
| 06/15/2015 |
| CIT |
| EUR | (3,202,000 | ) | (4,019,799 | ) | 357,335 |
| ||
USD/EUR |
| 06/15/2015 |
| CSI |
| EUR | (3,509,000 | ) | (4,405,208 | ) | 357,515 |
| ||
USD/EUR |
| 06/13/2016 |
| DUB |
| EUR | (3,694,000 | ) | (4,678,786 | ) | 379,039 |
| ||
USD/EUR |
| 11/04/2014 |
| DUB |
| EUR | (7,027,000 | ) | (8,805,875 | ) | 110,844 |
| ||
USD/EUR |
| 02/01/2016 |
| DUB |
| EUR | (1,350,000 | ) | (1,702,805 | ) | 113,890 |
| ||
USD/EUR |
| 08/07/2015 |
| DUB |
| EUR | (300,000 | ) | (376,879 | ) | 24,500 |
| ||
USD/EUR |
| 11/04/2014 |
| UBS |
| EUR | (75,474,000 | ) | (94,580,133 | ) | 1,971,114 |
| ||
USD/EUR |
| 12/02/2014 |
| UBS |
| EUR | (74,439,000 | ) | (93,299,493 | ) | 1,312,328 |
| ||
USD/GBP |
| 12/11/2014 |
| BCL |
| GBP | (147,000 | ) | (235,085 | ) | 1,168 |
| ||
USD/GBP |
| 12/11/2014 |
| BOA |
| GBP | (7,183,000 | ) | (11,487,194 | ) | 113,351 |
| ||
USD/GBP |
| 12/11/2014 |
| BOA |
| GBP | (141,000 | ) | (225,490 | ) | (1,105 | ) | ||
USD/ILS |
| 01/14/2015 |
| BOA |
| ILS | (5,000,849 | ) | (1,316,649 | ) | 17,764 |
| ||
USD/ILS |
| 11/05/2014 |
| GSC |
| ILS | (21,520,120 | ) | (5,662,544 | ) | 183,456 |
| ||
USD/ILS |
| 01/14/2015 |
| GSC |
| ILS | (4,969,680 | ) | (1,308,443 | ) | 17,618 |
| ||
USD/ILS |
| 11/05/2014 |
| MSC |
| ILS | (7,862,964 | ) | (2,068,965 | ) | 62,035 |
| ||
USD/JPY |
| 12/02/2014 |
| BCL |
| JPY | (4,530,200,000 | ) | (40,339,660 | ) | 1,723,752 |
| ||
USD/JPY |
| 11/04/2014 |
| BCL |
| JPY | (468,200,000 | ) | (4,168,262 | ) | 129,539 |
| ||
USD/JPY |
| 03/10/2015 |
| BOA |
| JPY | (410,039,700 | ) | (3,655,903 | ) | 174,955 |
| ||
USD/JPY |
| 11/04/2014 |
| BOA |
| JPY | (340,000,000 | ) | (3,026,931 | ) | 98,583 |
| ||
USD/JPY |
| 08/07/2015 |
| BOA |
| JPY | (101,481,200 | ) | (906,878 | ) | 93,122 |
| ||
USD/JPY |
| 02/20/2015 |
| BOA |
| JPY | (20,000,100 | ) | (178,284 | ) | 8,538 |
| ||
USD/JPY |
| 12/15/2014 |
| CIT |
| JPY | (1,345,000,000 | ) | (11,979,411 | ) | 601,265 |
| ||
USD/JPY |
| 11/04/2014 |
| CIT |
| JPY | (1,034,300,000 | ) | (9,208,101 | ) | 204,422 |
| ||
USD/JPY |
| 11/04/2014 |
| CSI |
| JPY | (1,955,400,000 | ) | (17,408,413 | ) | 478,794 |
| ||
USD/JPY |
| 08/07/2015 |
| CSI |
| JPY | (284,534,880 | ) | (2,542,723 | ) | 257,277 |
| ||
USD/JPY |
| 11/04/2014 |
| UBS |
| JPY | (1,624,500,000 | ) | (14,462,497 | ) | 458,421 |
| ||
USD/JPY |
| 12/15/2014 |
| UBS |
| JPY | (1,345,000,000 | ) | (11,979,411 | ) | 629,807 |
| ||
USD/MXN |
| 12/18/2014 |
| BCL |
| MXN | (22,623,000 | ) | (1,675,461 | ) | 702 |
| ||
USD/MXN |
| 01/08/2015 |
| BNP |
| MXN | (203,611,886 | ) | (15,060,651 | ) | 419,611 |
| ||
See accompanying Notes to Financial Statements.
Purchased/ |
| Settlement |
| Counter- |
| Notional |
| Value |
| Unrealized |
| |||
USD/MXN |
| 01/22/2015 |
| BNP |
| MXN | (145,341,068) |
| $ | (10,741,686 | ) | $ | 225,702 |
|
USD/MXN |
| 02/05/2015 |
| BNP |
| MXN | (52,759,083) |
| (3,896,017 | ) | 97,405 |
| ||
USD/MXN |
| 02/19/2015 |
| BNP |
| MXN | (34,333,972) |
| (2,533,221 | ) | 55,522 |
| ||
USD/MXN |
| 12/18/2014 |
| BNP |
| MXN | (26,782,813) |
| (1,983,537 | ) | 6,463 |
| ||
USD/MXN |
| 02/05/2015 |
| BNP |
| MXN | (6,761,000) |
| (499,269 | ) | (2,341 | ) | ||
USD/MXN |
| 12/18/2014 |
| BOA |
| MXN | (11,804,100) |
| (874,212 | ) | 1,788 |
| ||
USD/MXN |
| 02/05/2015 |
| DUB |
| MXN | (105,215,670) |
| (7,769,695 | ) | 193,648 |
| ||
USD/MXN |
| 12/18/2014 |
| DUB |
| MXN | (142,816,787) |
| (10,577,019 | ) | 308,407 |
| ||
USD/MXN |
| 12/18/2014 |
| DUB |
| MXN | (19,446,724) |
| (1,440,225 | ) | (5,225 | ) | ||
USD/MXN |
| 11/13/2014 |
| GSC |
| MXN | (136,602,939) |
| (10,138,457 | ) | 178,160 |
| ||
USD/MXN |
| 12/18/2014 |
| GSC |
| MXN | (121,812,760) |
| (9,021,459 | ) | 118,837 |
| ||
USD/MXN |
| 12/11/2014 |
| GSC |
| MXN | (30,422,130) |
| (2,254,008 | ) | 55,614 |
| ||
USD/MXN |
| 01/22/2015 |
| GSC |
| MXN | (7,010,420) |
| (518,117 | ) | 12,694 |
| ||
USD/MXN |
| 12/18/2014 |
| GSC |
| MXN | (4,097,174) |
| (303,437 | ) | (1,437 | ) | ||
USD/MXN |
| 12/18/2014 |
| MSC |
| MXN | (25,982,621) |
| (1,924,274 | ) | 3,725 |
| ||
USD/MXN |
| 01/08/2015 |
| UBS |
| MXN | (87,506,077) |
| (6,472,601 | ) | 173,363 |
| ||
USD/MXN |
| 12/18/2014 |
| UBS |
| MXN | (42,572,957) |
| (3,152,955 | ) | 2,045 |
| ||
USD/MXN |
| 12/18/2014 |
| UBS |
| MXN | (4,848,774) |
| (359,100 | ) | (2,100 | ) | ||
|
|
|
|
|
|
|
|
| $ | (452,302,166 | ) | $ | 12,533,097 |
|
Schedule of Interest Rate Swap Agreements
Counterparty |
| Floating Rate Index |
| Fund |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements |
|
|
|
|
|
|
|
| ||||||||||
BNP |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.25 | % | 01/04/2021 |
| BRL | 200,000 |
| $ | (349 | ) | $ | (799 | ) |
BNP |
| Brazil Interbank Deposit Rate |
| Paying |
| 10.91 | % | 01/02/2017 |
| BRL | 700,000 |
| (3,019 | ) | 305 |
| ||
BNP |
| Brazil Interbank Deposit Rate |
| Receiving |
| 11.00 | % | 01/04/2021 |
| BRL | 4,900,000 |
| 2,755 |
| 40,699 |
| ||
BNP |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 38,800,000 |
| 20,649 |
| (11,568 | ) | ||
BOA |
| Brazil Interbank Deposit Rate |
| Paying |
| 10.77 | % | 01/02/2017 |
| BRL | 200,000 |
| (1,004 | ) | (168 | ) | ||
BOA |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.06 | % | 01/04/2021 |
| BRL | 7,000,000 |
| (1,072 | ) | 37,283 |
| ||
BOA |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 9,300,000 |
| (8,265 | ) | (13,722 | ) | ||
CIT |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 400,000 |
| (382 | ) | (564 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 300,000 |
| 330 |
| (1,040 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 700,000 |
| (884 | ) | (771 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 700,000 |
| (1,312 | ) | (343 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.00 | % | 01/04/2021 |
| BRL | 2,100,000 |
| 646 |
| 6,596 |
| ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 3,000,000 |
| (482 | ) | 1,185 |
| ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 6,800,000 |
| 6,974 |
| (5,382 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.68 | % | 01/04/2021 |
| BRL | 7,600,000 |
| (8,603 | ) | 10,420 |
| ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 17,700,000 |
| 24,193 |
| (20,050 | ) | ||
DUB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.25 | % | 01/04/2021 |
| BRL | 70,300,000 |
| (5,828 | ) | (397,649 | ) | ||
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.25 | % | 01/04/2021 |
| BRL | 900,000 |
| (4,711 | ) | (454 | ) | ||
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 10,800,000 |
| 3,713 |
| (1,185 | ) | ||
GSB |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.47 | % | 01/02/2017 |
| BRL | 19,900,000 |
| 27,823 |
| (23,165 | ) | ||
MSS |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.56 | % | 01/04/2021 |
| BRL | 400,000 |
| 3,332 |
| 1,591 |
| ||
MSS |
| Brazil Interbank Deposit Rate |
| Paying |
| 12.06 | % | 01/04/2021 |
| BRL | 5,000,000 |
| 5,013 |
| 20,852 |
| ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.68 | % | 01/04/2021 |
| BRL | 600,000 |
| (2,506 | ) | 2,649 |
| ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.25 | % | 01/04/2021 |
| BRL | 1,000,000 |
| (1,774 | ) | (3,966 | ) | ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.68 | % | 01/04/2021 |
| BRL | 1,500,000 |
| (5,972 | ) | 6,331 |
| ||
UBS |
| Brazil Interbank Deposit Rate |
| Paying |
| 11.50 | % | 01/04/2021 |
| BRL | 8,200,000 |
| (13,976 | ) | (5,411 | ) | ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.00 | % | 09/13/2017 |
| MXN | 200,000 |
| (114 | ) | 387 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 600,000 |
| (1,722 | ) | 1,061 |
| ||
BBP |
| Mexican Interbank Rate |
| Paying |
| 6.00 | % | 06/05/2023 |
| MXN | 1,400,000 |
| (2,378 | ) | 2,767 |
| ||
BNP |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 600,000 |
| (770 | ) | 121 |
| ||
BOA |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 18,000,000 |
| (4,832 | ) | 47,329 |
| ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 700,000 |
| (1,279 | ) | 507 |
| ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 5,000,000 |
| (2,078 | ) | 13,883 |
| ||
DUB |
| Mexican Interbank Rate |
| Paying |
| 6.81 | % | 06/19/2034 |
| MXN | 8,000,000 |
| (7,160 | ) | (5,787 | ) | ||
See accompanying Notes to Financial Statements.
Counterparty |
| Floating Rate Index |
| Fund |
| Fixed Rate |
| Expiration |
| Notional |
| Premiums |
| Unrealized |
| |||
Over the Counter Interest Rate Swap Agreements (continued) |
|
|
|
|
|
|
|
| ||||||||||
DUB |
| Mexican Interbank Rate |
| Paying |
| 5.00 | % | 10/10/2019 |
| MXN | 44,300,000 |
| $ | (156 | ) | $ | (24,223 | ) |
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.75 | % | 06/05/2023 |
| MXN | 700,000 |
| (2,122 | ) | 1,351 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 06/11/2018 |
| MXN | 1,600,000 |
| (209 | ) | 3,820 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.70 | % | 01/18/2019 |
| MXN | 5,000,000 |
| (1,451 | ) | 13,254 |
| ||
GSB |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 06/11/2018 |
| MXN | 7,400,000 |
| (696 | ) | 17,398 |
| ||
MSS |
| Mexican Interbank Rate |
| Paying |
| 5.01 | % | 10/10/2019 |
| MXN | 21,900,000 |
| (77 | ) | (11,217 | ) | ||
UBS |
| Mexican Interbank Rate |
| Paying |
| 5.84 | % | 09/14/2021 |
| MXN | 24,300,000 |
| (7,620 | ) | 25,226 |
| ||
UBS |
| Mexican Interbank Rate |
| Paying |
| 5.61 | % | 07/07/2021 |
| MXN | 32,600,000 |
| (53,337 | ) | 50,457 |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (50,712 | ) | $ | (221,992 | ) |
Counterparty |
| Floating Rate Index |
| Paying / |
| Fixed Rate |
| Expiration |
| Notional |
| Unrealized |
| ||
Centrally Cleared Interest Rate Swap Agreements |
|
|
|
|
|
| |||||||||
N/A |
| 3-Month LIBOR |
| Receiving |
| 3.75 | % | 06/18/2044 |
|
| 3,600,000 |
| $ | (116,099 | ) |
N/A |
| 3-Month LIBOR |
| Paying |
| 4.00 | % | 06/19/2024 |
|
| 5,500,000 |
| 85,592 |
| |
N/A |
| 3-Month LIBOR |
| Receiving |
| 1.75 | % | 03/19/2020 |
|
| 16,000,000 |
| 71,215 |
| |
N/A |
| 3-Month LIBOR |
| Receiving |
| 3.50 | % | 12/18/2043 |
|
| 18,600,000 |
| (2,708,504 | ) | |
N/A |
| 3-Month LIBOR |
| Receiving |
| 2.80 | % | 12/18/2043 |
|
| 27,200,000 |
| 73,597 |
| |
N/A |
| 6-Month EURIBOR |
| Receiving |
| 2.31 | % | 10/21/2044 |
| EUR | 5,100,000 |
| 13,510 |
| |
N/A |
| Federal Funds Effective Rate |
| Paying |
| 0.09 | % | 12/30/2014 |
|
| 40,500,000 |
| (619 | ) | |
N/A |
| Federal Funds Effective Rate |
| Paying |
| 0.09 | % | 02/27/2015 |
|
| 56,300,000 |
| (932 | ) | |
N/A |
| Federal Funds Effective Rate |
| Paying |
| 1.00 | % | 10/15/2017 |
|
| 61,600,000 |
| (274,178 | ) | |
N/A |
| London-Interbank Offered Rate |
| Receiving |
| 1.88 | % | 10/05/2017 |
| GBP | 7,600,000 |
| (63,022 | ) | |
N/A |
| London-Interbank Offered Rate |
| Receiving |
| 1.59 | % | 10/05/2016 |
| GBP | 16,900,000 |
| (66,967 | ) | |
N/A |
| London-Interbank Offered Rate |
| Receiving |
| 1.50 | % | 09/18/2016 |
| GBP | 18,700,000 |
| (93,013 | ) | |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.00 | % | 09/13/2017 |
| MXN | 300,000 |
| 70 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/02/2022 |
| MXN | 4,500,000 |
| 4,273 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.88 | % | 09/23/2021 |
| MXN | 24,800,000 |
| 22,361 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.77 | % | 09/30/2021 |
| MXN | 68,100,000 |
| 26,776 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.50 | % | 09/13/2017 |
| MXN | 85,000,000 |
| 24,179 |
| |
N/A |
| Mexican Interbank Rate |
| Paying |
| 6.81 | % | 06/19/2034 |
| MXN | 94,000,000 |
| (168,222 | ) | |
N/A |
| Mexican Interbank Rate |
| Paying |
| 5.84 | % | 09/14/2021 |
| MXN | 262,600,000 |
| 473,318 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| $ | (2,696,665 | ) |
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 |
| 0.22 | % | 1.00 | % | 09/20/2016 |
| $ | (400,000 | ) | $ | 5,948 |
| $ | 6,276 |
| $ | 139 |
| |
GSI |
| Canadian Natural Resources, 6.25%, 03/15/2038 |
| 0.08 | % | 1.00 | % | 09/20/2015 |
| (100,000 | ) | 827 |
| (1,267 | ) | 2,208 |
| |||||
BOA |
| Federated Republic of Brazil, 12.25%, 03/06/2030 |
| 1.52 | % | 1.00 | % | 12/20/2019 |
| (22,900,000 | ) | (577,908 | ) | (827,467 | ) | 275,003 |
| |||||
DUB |
| Federated Republic of Brazil, 12.25%, 03/06/2030 |
| 0.74 | % | 1.00 | % | 12/20/2016 |
| (2,500,000 | ) | 13,640 |
| (61,004 | ) | 77,561 |
| |||||
BBP |
| General Electric Capital Corp., 5.63%, 09/15/2017 |
| 0.29 | % | 1.00 | % | 09/20/2016 |
| (800,000 | ) | 10,704 |
| 8,897 |
| 2,740 |
| |||||
GSC |
| Hellenic Republic, 2.00%, 02/24/2023 |
| 6.87 | % | 1.00 | % | 12/20/2015 |
| (900,000 | ) | (56,829 | ) | (41,269 | ) | (14,560 | ) | |||||
DUB |
| JPMorgan Chase & Co., 4.75%, 03/01/2015 |
| 0.26 | % | 1.00 | % | 09/20/2016 |
| (800,000 | ) | 11,279 |
| 10,355 |
| 1,857 |
| |||||
BBP |
| People's Republic of China, 4.75%, 10/29/2013 |
| 0.28 | % | 1.00 | % | 09/20/2016 |
| (13,900,000 | ) | 190,793 |
| 200,836 |
| 6,174 |
| |||||
BBP |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.75 | % | 1.00 | % | 09/20/2017 |
| (2,000,000 | ) | 14,533 |
| (71,603 | ) | 88,469 |
| |||||
CSI |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.75 | % | 1.00 | % | 09/20/2017 |
| (700,000 | ) | 5,087 |
| (24,736 | ) | 30,640 |
| |||||
DUB |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.52 | % | 1.00 | % | 09/20/2016 |
| (1,200,000 | ) | 10,947 |
| (54,711 | ) | 67,058 |
| |||||
DUB |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.69 | % | 1.00 | % | 06/20/2017 |
| (400,000 | ) | 3,200 |
| (11,723 | ) | 15,390 |
| |||||
MSS |
| Republic of Indonesia, 7.25%, 04/20/2015 |
| 0.69 | % | 1.00 | % | 06/20/2017 |
| (1,700,000 | ) | 13,600 |
| (50,621 | ) | 66,204 |
| |||||
BOA |
| Rio Tinto Finance USA Ltd., 6.50%, 07/15/2018 |
| 0.21 | % | 1.00 | % | 09/20/2015 |
| (200,000 | ) | 1,419 |
| (3,802 | ) | 5,449 |
| |||||
CGM |
| Roseneft Oil Co., 3.15%, 03/06/2017 |
| 3.20 | % | 1.00 | % | 03/20/2015 |
| (4,100,000 | ) | (34,701 | ) | (31,209 | ) | 1,064 |
| |||||
BCL |
| Russian Federation, 7.50%, 03/31/2030 |
| 2.42 | % | 1.00 | % | 12/20/2019 |
| (1,200,000 | ) | (79,717 | ) | (85,311 | ) | 6,926 |
| |||||
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) |
|
|
|
|
|
|
|
|
|
|
| ||||||||||
BCL |
| Russian Federation, 7.50%, 03/31/2030 |
| 1.99 | % | 1.00 | % | 09/20/2015 |
| $ | (400,000 | ) | $ | (3,526 | ) | $ | (5,113 | ) | $ | 2,032 |
|
BOA |
| Russian Federation, 7.50%, 03/31/2030 |
| 2.34 | % | 1.00 | % | 03/20/2019 |
| (3,600,000 | ) | (195,590 | ) | (264,312 | ) | 72,923 |
| ||||
CGM |
| Russian Federation, 7.50%, 03/31/2030 |
| 1.99 | % | 1.00 | % | 09/20/2015 |
| (2,100,000 | ) | (18,509 | ) | (24,528 | ) | 8,352 |
| ||||
DUB |
| Russian Federation, 7.50%, 03/31/2030 |
| 1.99 | % | 1.00 | % | 09/20/2015 |
| (200,000 | ) | (1,763 | ) | (2,446 | ) | 906 |
| ||||
CGM |
| Sberbank of Russia via SB Capital SA, 5.50%, 07/07/2015 |
| 2.82 | % | 1.00 | % | 09/20/2015 |
| (200,000 | ) | (3,217 | ) | (3,460 | ) | 465 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (10,300,000 | ) | (29,432 | ) | (184,928 | ) | 167,513 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.74 | % | 1.00 | % | 06/20/2017 |
| (1,000,000 | ) | 6,792 |
| 3,775 |
| 4,183 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (300,000 | ) | (857 | ) | (1,895 | ) | 1,388 |
| ||||
BBP |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (200,000 | ) | (571 | ) | (1,360 | ) | 1,022 |
| ||||
BOA |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.60 | % | 1.00 | % | 09/20/2016 |
| (100,000 | ) | 760 |
| 992 |
| (121 | ) | ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.03 | % | 1.00 | % | 03/20/2019 |
| (18,000,000 | ) | (21,466 | ) | (294,005 | ) | 293,539 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (3,500,000 | ) | (10,001 | ) | (64,510 | ) | 58,593 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.06 | % | 1.00 | % | 06/20/2019 |
| (200,000 | ) | (571 | ) | (1,454 | ) | 1,116 |
| ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.60 | % | 1.00 | % | 09/20/2016 |
| (100,000 | ) | 760 |
| 1,002 |
| (131 | ) | ||||
DUB |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.10 | % | 1.00 | % | 09/20/2019 |
| (100,000 | ) | (450 | ) | (48 | ) | (291 | ) | ||||
GSI |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 0.74 | % | 1.00 | % | 06/20/2017 |
| (500,000 | ) | 3,396 |
| 2,848 |
| 1,131 |
| ||||
MSS |
| The Republic of Italy, 6.88%, 09/27/2023 |
| 1.03 | % | 1.00 | % | 03/20/2019 |
| (4,500,000 | ) | (5,366 | ) | (74,536 | ) | 74,420 |
| ||||
BOA |
| Time Warner Cable Inc., 5.85%, 05/01/2017 |
| 0.06 | % | 1.00 | % | 12/20/2015 |
| (100,000 | ) | 1,078 |
| (2,770 | ) | 3,962 |
| ||||
BCL |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.78 | % | 1.00 | % | 12/20/2019 |
| (3,400,000 | ) | 36,410 |
| 20,130 |
| 20,057 |
| ||||
BCL |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.74 | % | 1.00 | % | 09/20/2019 |
| (3,300,000 | ) | 39,933 |
| 23,354 |
| 20,246 |
| ||||
BNP |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.45 | % | 1.00 | % | 09/20/2017 |
| (100,000 | ) | 1,586 |
| (2,207 | ) | 3,910 |
| ||||
BOA |
| United Mexican States, 7.50%, 04/08/2033 |
| 0.25 | % | 1.00 | % | 09/20/2015 |
| (300,000 | ) | 2,007 |
| 2,090 |
| 267 |
| ||||
DUB |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.35 | % | 1.00 | % | 12/20/2016 |
| (1,500,000 | ) | 20,817 |
| (35,999 | ) | 58,566 |
| ||||
GSC |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.78 | % | 1.00 | % | 12/20/2019 |
| (2,100,000 | ) | 22,488 |
| 13,995 |
| 10,827 |
| ||||
GSC |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.74 | % | 1.00 | % | 09/20/2019 |
| (1,400,000 | ) | 16,941 |
| 10,251 |
| 8,246 |
| ||||
MSS |
| United Mexican States, 5.95%, 03/19/2019 |
| 0.42 | % | 1.00 | % | 06/20/2017 |
| (1,500,000 | ) | 22,798 |
| (18,251 | ) | 42,798 |
| ||||
|
|
|
|
|
|
|
|
|
| $ | (112,800,000 | ) | $ | (582,731 | ) | $ | (1,941,744 | ) | $ | 1,488,241 |
|
Counterparty |
| Reference Obligation |
| Fixed Rate(6) |
| Expiration |
| Notional |
| Value(4) |
| Unrealized |
| |||
Centrally Cleared Credit Default Swap Agreements Swap Agreements |
|
|
|
|
|
|
|
|
| |||||||
Credit default swap agreements - sell protection (2) |
|
|
|
|
|
|
|
|
|
| ||||||
N/A |
| iTraxx Europe Series 22 |
| 1.00 | % | 12/20/2019 |
| $ | (16,792,190 | ) | $ | 292,587 |
| $ | 20,167 |
|
N/A |
| CDX.NA.IG.23 |
| 1.00 | % | 12/20/2019 |
| (600,000 | ) | 10,666 |
| 2,247 |
| |||
|
|
|
|
|
|
|
| $ | (17,392,190 | ) | $ | 303,253 |
| $ | 22,414 |
|
(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/WMC International Equity Fund
|
| Shares/Par † |
| Value |
| |
COMMON STOCKS - 95.6% |
|
|
|
|
| |
BELGIUM - 3.1% |
|
|
|
|
| |
Anheuser-Busch InBev NV |
| 125,435 |
| $ | 13,910,023 |
|
Umicore SA |
| 22,496 |
| 882,933 |
| |
|
|
|
| 14,792,956 |
| |
BRAZIL - 0.9% |
|
|
|
|
| |
BB Seguridade Participacoes SA |
| 157,000 |
| 2,094,685 |
| |
Petroleo Brasileiro SA - ADR (a) |
| 174,420 |
| 2,040,714 |
| |
|
|
|
| 4,135,399 |
| |
CANADA - 5.8% |
|
|
|
|
| |
Canadian National Railway Co. |
| 84,240 |
| 5,939,143 |
| |
Imperial Oil Ltd. |
| 159,520 |
| 7,675,586 |
| |
Tim Hortons Inc. |
| 63,375 |
| 5,135,003 |
| |
TransCanada Corp. |
| 182,130 |
| 8,976,817 |
| |
|
|
|
| 27,726,549 |
| |
CHINA - 4.0% |
|
|
|
|
| |
Alibaba Group Holding Ltd. - ADR (a) (b) |
| 51,217 |
| 5,049,996 |
| |
Baidu.com Inc. - ADR - Class A (b) |
| 17,351 |
| 4,142,898 |
| |
ENN Energy Holdings Ltd. |
| 638,460 |
| 4,142,585 |
| |
Lenovo Group Ltd. (a) |
| 1,750,975 |
| 2,580,946 |
| |
PetroChina Co. Ltd. - Class H |
| 2,829,740 |
| 3,542,677 |
| |
|
|
|
| 19,459,102 |
| |
COLOMBIA - 0.5% |
|
|
|
|
| |
Avianca Holdings SA - ADR |
| 32,530 |
| 484,372 |
| |
Grupo Aval Acciones y Valores - ADR |
| 128,010 |
| 1,725,575 |
| |
|
|
|
| 2,209,947 |
| |
DENMARK - 0.2% |
|
|
|
|
| |
H Lundbeck A/S |
| 54,797 |
| 1,162,458 |
| |
|
|
|
|
|
| |
FINLAND - 0.5% |
|
|
|
|
| |
Kone Oyj - Class B (a) |
| 61,758 |
| 2,659,787 |
| |
|
|
|
|
|
| |
FRANCE - 9.8% |
|
|
|
|
| |
Air Liquide SA |
| 91,359 |
| 11,028,463 |
| |
BNP Paribas SA |
| 34,927 |
| 2,194,882 |
| |
Essilor International SA |
| 57,254 |
| 6,322,091 |
| |
Groupe Eurotunnel SA |
| 92,770 |
| 1,172,541 |
| |
Orange SA |
| 144,591 |
| 2,301,940 |
| |
Peugeot SA (b) |
| 32,011 |
| 380,435 |
| |
Rexel SA |
| 248,772 |
| 4,181,614 |
| |
Schneider Electric SA |
| 104,331 |
| 8,219,827 |
| |
Societe Generale SA |
| 24,980 |
| 1,203,812 |
| |
Unibail-Rodamco SE |
| 39,162 |
| 10,041,418 |
| |
|
|
|
| 47,047,023 |
| |
GERMANY - 2.4% |
|
|
|
|
| |
Brenntag AG |
| 51,808 |
| 2,513,804 |
| |
Continental AG |
| 16,662 |
| 3,281,841 |
| |
Deutsche Lufthansa AG |
| 118,269 |
| 1,751,879 |
| |
Deutsche Post AG |
| 128,268 |
| 4,039,130 |
| |
|
|
|
| 11,586,654 |
| |
GREECE - 1.1% |
|
|
|
|
| |
Alpha Bank AE (b) |
| 4,787,385 |
| 3,120,980 |
| |
Hellenic Telecommunications Organization SA (b) |
| 199,958 |
| 2,258,438 |
| |
|
|
|
| 5,379,418 |
| |
HONG KONG - 0.7% |
|
|
|
|
| |
Hong Kong Exchanges & Clearing Ltd. |
| 148,500 |
| 3,291,433 |
| |
|
|
|
|
|
| |
INDIA - 2.0% |
|
|
|
|
| |
ICICI Bank Ltd. |
| 237,217 |
| 6,300,285 |
| |
ITC Ltd. |
| 185,813 |
| 1,074,441 |
| |
Power Grid Corp. of India Ltd. |
| 333,866 |
| 792,225 |
| |
Reliance Industries Ltd. |
| 105,453 |
| 1,711,523 |
| |
|
|
|
| 9,878,474 |
| |
IRELAND - 2.6% |
|
|
|
|
| |
Bank of Ireland (b) |
| 9,521,446 |
| 3,764,489 |
| |
CRH Plc |
| 393,801 |
| 8,750,306 |
| |
|
|
|
| 12,514,795 |
| |
ITALY - 6.1% |
|
|
|
|
| |
Assicurazioni Generali SpA |
| 313,246 |
| 6,427,938 |
| |
Banca Generali SpA |
| 91,889 |
| 2,438,069 |
| |
FinecoBank Banca Fineco SpA (b) |
| 431,444 |
| 2,245,626 |
| |
Intesa Sanpaolo SpA |
| 913,944 |
| 2,686,772 |
| |
Luxottica Group SpA |
| 149,491 |
| 7,625,185 |
| |
Snam SpA |
| 1,490,095 |
| 8,057,660 |
| |
|
|
|
| 29,481,250 |
| |
JAPAN - 19.8% |
|
|
|
|
| |
Aisin Seiki Co. Ltd. |
| 90,310 |
| 3,008,117 |
| |
Asahi Group Holdings Ltd. |
| 123,195 |
| 3,821,368 |
| |
Asics Corp. |
| 66,880 |
| 1,566,125 |
| |
Bridgestone Corp. |
| 49,875 |
| 1,666,710 |
| |
Daito Trust Construction Co. Ltd. |
| 26,175 |
| 3,261,426 |
| |
Daiwa House Industry Co. Ltd. |
| 168,615 |
| 3,190,127 |
| |
Eisai Co. Ltd. (a) |
| 84,985 |
| 3,323,694 |
| |
Hitachi Ltd. |
| 642,000 |
| 5,044,499 |
| |
Isuzu Motors Ltd. |
| 338,088 |
| 4,411,157 |
| |
Japan Exchange Group Inc. |
| 64,510 |
| 1,600,240 |
| |
Kansai Electric Power Co. Inc. (b) |
| 82,475 |
| 814,483 |
| |
Kyushu Electric Power Co. Inc. (b) |
| 88,900 |
| 964,534 |
| |
M3 Inc. |
| 210,980 |
| 3,520,934 |
| |
Mitsubishi UFJ Financial Group Inc. |
| 1,141,450 |
| 6,653,757 |
| |
Mitsui Fudosan Co. Ltd. |
| 197,440 |
| 6,350,942 |
| |
NEC Corp. |
| 1,085,000 |
| 3,836,970 |
| |
Nippon Telegraph & Telephone Corp. |
| 63,670 |
| 3,961,475 |
| |
Olympus Corp. (b) |
| 121,240 |
| 4,353,132 |
| |
Ono Pharmaceutical Co. Ltd. |
| 68,990 |
| 6,964,161 |
| |
Rakuten Inc. (a) |
| 341,085 |
| 3,846,236 |
| |
Seven & I Holdings Co. Ltd. |
| 201,605 |
| 7,873,911 |
| |
Shikoku Electric Power Co. Inc. (a) (b) |
| 59,315 |
| 813,967 |
| |
Softbank Corp. |
| 46,400 |
| 3,377,893 |
| |
T&D Holdings Inc. |
| 189,190 |
| 2,437,048 |
| |
Takeda Pharmaceutical Co. Ltd. |
| 84,985 |
| 3,683,959 |
| |
Toshiba Corp. |
| 1,107,755 |
| 4,891,977 |
| |
|
|
|
| 95,238,842 |
| |
NETHERLANDS - 6.0% |
|
|
|
|
| |
ASML Holding NV |
| 37,805 |
| 3,769,622 |
| |
ING Groep NV - CVA (b) |
| 606,529 |
| 8,685,705 |
| |
Koninklijke KPN NV |
| 1,756,508 |
| 5,781,948 |
| |
NXP Semiconductors NV (b) |
| 74,499 |
| 5,115,101 |
| |
Royal Dutch Shell Plc - Class A |
| 158,499 |
| 5,661,837 |
| |
|
|
|
| 29,014,213 |
| |
PORTUGAL - 0.5% |
|
|
|
|
| |
Galp Energia SGPS SA |
| 162,131 |
| 2,350,649 |
| |
|
|
|
|
|
| |
ROMANIA - 0.2% |
|
|
|
|
| |
Electrica SA - GDR (b) (c) |
| 92,484 |
| 1,195,818 |
| |
|
|
|
|
|
| |
SOUTH KOREA - 1.6% |
|
|
|
|
| |
Korea Electric Power Corp. |
| 26,894 |
| 1,180,534 |
| |
POSCO |
| 7,197 |
| 2,078,761 |
| |
SK Hynix Inc. (b) |
| 97,629 |
| 4,353,696 |
| |
|
|
|
| 7,612,991 |
| |
SPAIN - 0.7% |
|
|
|
|
| |
CaixaBank SA |
| 616,509 |
| 3,369,345 |
| |
See accompanying Notes to Financial Statements.
|
| Shares/Par † |
| Value |
| ||
SWEDEN - 2.5% |
|
|
|
|
| ||
Assa Abloy AB - Class B |
| 134,493 |
| 7,139,507 |
| ||
Electrolux AB - Class B |
| 79,735 |
| 2,259,275 |
| ||
SKF AB - Class B |
| 130,010 |
| 2,607,666 |
| ||
|
|
|
| 12,006,448 |
| ||
SWITZERLAND - 10.0% |
|
|
|
|
| ||
Adecco SA |
| 52,482 |
| 3,557,316 |
| ||
Cie Financiere Richemont SA |
| 13,148 |
| 1,108,558 |
| ||
Julius Baer Group Ltd. |
| 168,912 |
| 7,404,718 |
| ||
Novartis AG |
| 179,039 |
| 16,615,334 |
| ||
Roche Holding AG |
| 36,181 |
| 10,677,072 |
| ||
UBS AG |
| 495,210 |
| 8,610,782 |
| ||
|
|
|
| 47,973,780 |
| ||
TAIWAN - 2.0% |
|
|
|
|
| ||
Taiwan Semiconductor Manufacturing Co. Ltd. |
| 2,257,640 |
| 9,786,581 |
| ||
|
|
|
|
|
| ||
UNITED ARAB EMIRATES - 0.7% |
|
|
|
|
| ||
Al Noor Hospitals Group Plc |
| 102,946 |
| 1,678,109 |
| ||
NMC Health Plc |
| 211,766 |
| 1,676,865 |
| ||
|
|
|
| 3,354,974 |
| ||
UNITED KINGDOM - 11.9% |
|
|
|
|
| ||
AstraZeneca Plc |
| 235,733 |
| 17,219,838 |
| ||
BG Group Plc |
| 331,057 |
| 5,517,382 |
| ||
British Sky Broadcasting Group Plc |
| 523,446 |
| 7,418,377 |
| ||
Derwent London Plc |
| 21,819 |
| 1,038,093 |
| ||
Diageo Plc |
| 215,587 |
| 6,358,147 |
| ||
Direct Line Insurance Group Plc |
| 435,237 |
| 1,925,332 |
| ||
easyJet Plc |
| 125,274 |
| 3,010,190 |
| ||
Glencore International Plc |
| 445,044 |
| 2,283,348 |
| ||
International Consolidated Airlines Group SA(b) |
| 581,843 |
| 3,816,865 |
| ||
Markit Ltd. (b) |
| 102,635 |
| 2,621,298 |
| ||
Schroders Plc |
| 41,459 |
| 1,603,314 |
| ||
WPP Plc |
| 225,777 |
| 4,410,003 |
| ||
|
|
|
| 57,222,187 |
| ||
Total Common Stocks (cost $423,468,070) |
|
|
| 460,451,073 |
| ||
|
|
|
|
|
| ||
INVESTMENT COMPANIES - 0.3% |
|
|
|
|
| ||
iShares MSCI EAFE ETF |
| 21,625 |
| 1,382,919 |
| ||
Total Investment Companies (cost $1,391,377) |
|
|
| 1,382,919 |
| ||
|
|
|
|
|
| ||
SHORT TERM INVESTMENTS - 2.9% |
|
|
|
|
| ||
Securities Lending Collateral - 2.9% |
|
|
|
|
| ||
BlackRock Liquidity Funds TempFund Portfolio, 0.15% (d) |
| 9,000,000 |
| 9,000,000 |
| ||
Fidelity Institutional Money Market Portfolio, 0.06% (d) |
| 1,570,000 |
| 1,570,000 |
| ||
Repurchase Agreement with BCL, 0.08% (Collateralized by $50,573 U.S. Treasury Inflation Index Note, 1.25%, due 07/15/20, value $59,098, and $847,552 U.S. Treasury Inflation Index Note, 1.38%, due 02/15/44, value $960,902) acquired on 10/31/14, due 11/03/14 at $1,000,007 |
| $ | 1,000,000 |
| 1,000,000 |
| |
Repurchase Agreement with MLP, 0.10% (Collateralized by $612,074 U.S. Treasury Note, 0.88%-2.63%, due 12/31/16-08/15/20, value $632,720, and $1,652,104 U.S. Treasury Inflation Index Note, 0.75%, due 02/15/42, value $1,654,865) acquired on 10/31/14, due 11/03/14 at $2,242,748 |
| 2,242,730 |
| 2,242,730 |
| ||
Total Short Term Investments (cost $13,812,729) |
|
|
| 13,812,730 |
| ||
Total Investments - 98.8% (cost $438,672,176) |
|
|
| 475,646,722 |
| ||
Other Assets and Liabilities, Net - 1.2% |
|
|
| 5,757,054 |
| ||
Total Net Assets - 100.0% |
|
|
| $ | 481,403,776 |
| |
(a) | All or a portion of the security was on loan. |
(b) | Non-income producing security. |
(c) | The Sub-Adviser has deemed this security which is exempt from registration under the Securities Act of 1933 to be liquid based on procedures approved by the Trust’s Board of Trustees. As of October 31, 2014, the aggregate value of these liquid securities was $1,195,818 which represented 0.2% of net assets. |
(d) | Yield changes daily to reflect current market conditions. Rate was the quoted yield as of October 31, 2014. |
See accompanying Notes to Financial Statements.
Currencies:
AUD - Australian Dollar | GBP - British Pound | MXN - Mexican Peso |
BRL - Brazilian Real | ILS - Israeli New Sheqel | USD - United States Dollar |
CAD - Canadian Dollar | INR - Indian Rupee | ZAR - South African Rand |
EUR - European Currency Unit (Euro) | JPY - Japanese Yen |
|
Abbreviations:
ABS - Asset Backed Securities |
| GDR - Global Depository Receipt |
ADR - American Depository Receipt |
| GO - General Obligation |
CDO - Collateralized Debt Obligation |
| HICP — Harmonized Index of Consumer Prices |
CDX.NA.HY - Credit Derivatives Index - North American - High Yield |
| iTraxx - group of international credit derivative indexes monitored by the International Index Company |
CDX.NA.IG - Credit Derivatives Index - North American - Investment Grade |
| LIBOR - London Interbank Offered Rate MBS - Mortgage Backed Securities |
CLO - Collateralized Loan Obligation |
| MSCI - Morgan Stanley Capital International |
EAFE - Europe, Australia and Far East |
| OJSC - Open Joint Stock Company |
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 of Germany with a term of 8.5 to 10.5 years |
| TBA - To Be Announced (Securities purchased on a delayed delivery basis) |
Euro-BTP - debt instrument issued by the Republic of Italy with a term of 2 to 11 years |
|
|
Counterparty Abbreviations:
BBP - Barclays Bank Plc |
| GSB - Goldman Sachs Bank USA |
BCL - Barclays Capital Inc. |
| GSC - Goldman Sachs & Co. |
BNP - BNP Paribas Securities |
| GSI - Goldman Sachs International |
BOA - Banc of America Securities LLC/Bank of America NA |
| JPM - J.P. Morgan Securities LLC |
CIT - Citibank, Inc. |
| MLP - Merrill Lynch Professional Clearing Corp. |
CSI - Credit Suisse Securities, LLC |
| MSC - Morgan Stanley & Co., Incorporated |
CGM - Citigroup Global Markets |
| MSS - Morgan Stanley Capital Services Inc. |
DUB - Deutsche Bank Alex Brown Inc. |
| 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
Statements of Assets and Liabilities
October 31, 2014
|
| Curian/PIMCO |
| Curian/PIMCO |
| Curian/WMC International |
| |||
Assets |
|
|
|
|
|
|
| |||
Investments, at value (a) (b) |
| $ | 518,961,535 |
| $ | 1,054,633,950 |
| $ | 472,403,992 |
|
Repurchase agreements (a) |
| 25,179,695 |
| 31,839,737 |
| 3,242,730 |
| |||
Total investments, at value (a) |
| 544,141,230 |
| 1,086,473,687 |
| 475,646,722 |
| |||
Cash |
| 789,167 |
| 796,491 |
| 18,073,919 |
| |||
Foreign currency (c) |
| 968,860 |
| 629,409 |
| 387,390 |
| |||
Receivable for investment securities sold |
| 11,773,927 |
| 73,221,237 |
| 5,501,805 |
| |||
Receivable for fund shares sold |
| 999,560 |
| 539,137 |
| 189,953 |
| |||
Receivable from adviser |
| 304,775 |
| 657,214 |
| 393,052 |
| |||
Receivable for dividends and interest |
| 4,811,817 |
| 6,614,916 |
| 968,734 |
| |||
Receivable for variation margin on financial derivative instruments |
| 174,651 |
| 758,819 |
| — |
| |||
Receivable for deposits with brokers and counterparties |
| 805,000 |
| 2,036,000 |
| — |
| |||
Unrealized appreciation on forward foreign currency contracts |
| 2,274,758 |
| 15,598,124 |
| — |
| |||
Unrealized appreciation on OTC swap agreements |
| 2,193,337 |
| 1,808,816 |
| — |
| |||
OTC swap premiums paid |
| 1,512,130 |
| 401,301 |
| — |
| |||
Other assets |
| 419 |
| 59 |
| — |
| |||
Total assets |
| 570,749,631 |
| 1,189,535,210 |
| 501,161,575 |
| |||
Liabilities |
|
|
|
|
|
|
| |||
Payable for advisory fees |
| 60,955 |
| 131,443 |
| 58,958 |
| |||
Payable for sub-advisory fees |
| 101,585 |
| 200,670 |
| 167,752 |
| |||
Payable for administrative fees |
| 243,820 |
| 525,771 |
| 334,094 |
| |||
Payable for investment securities purchased |
| 18,390,274 |
| 140,892,743 |
| 5,156,953 |
| |||
Payable for treasury roll transactions |
| 52,558,574 |
| — |
| — |
| |||
Payable for fund shares redeemed |
| 548,287 |
| 476,583 |
| 201,667 |
| |||
Payable for dividends |
| 1,500,004 |
| 1,500,085 |
| — |
| |||
Payable for trustee fees |
| 37,659 |
| 65,993 |
| 17,672 |
| |||
Payable for variation margin on financial derivative instruments |
| 58,297 |
| 645,407 |
| — |
| |||
Payable for other expenses |
| 8,823 |
| 22,725 |
| 7,973 |
| |||
Investment in forward sales commitments, at value (d) |
| — |
| 5,185,156 |
| — |
| |||
Options written, at value (e) |
| 1,096,438 |
| 1,649,274 |
| — |
| |||
Unrealized depreciation on forward foreign currency contracts |
| 159,492 |
| 3,065,027 |
| — |
| |||
Unrealized depreciation on OTC swap agreements |
| 222,984 |
| 542,567 |
| — |
| |||
Due to brokers and counterparties for deposits |
| 2,218,000 |
| 4,635,000 |
| — |
| |||
OTC swap premiums received |
| 1,420,890 |
| 2,393,757 |
| — |
| |||
Payable upon return of securities loaned |
| 14,679,695 |
| 2,939,738 |
| 13,812,730 |
| |||
Total liabilities |
| 93,305,777 |
| 164,871,939 |
| 19,757,799 |
| |||
Net assets |
| $ | 477,443,854 |
| $ | 1,024,663,271 |
| $ | 481,403,776 |
|
Net assets consist of: |
|
|
|
|
|
|
| |||
Paid-in capital |
| $ | 461,341,624 |
| $ | 997,559,103 |
| $ | 421,425,889 |
|
Undistributed net investment income |
| 1,068,269 |
| 5,843,852 |
| 4,004,614 |
| |||
Accumulated net realized gain |
| 6,248,652 |
| 10,779,219 |
| 19,043,616 |
| |||
Net unrealized appreciation on investments and foreign currency |
| 8,785,309 |
| 10,481,097 |
| 36,929,657 |
| |||
|
| $ | 477,443,854 |
| $ | 1,024,663,271 |
| $ | 481,403,776 |
|
Shares outstanding (no par value), unlimited shares authorized |
| 44,293,680 |
| 99,481,214 |
| 38,560,677 |
| |||
Net asset value per share, offering and redemption price per share |
| $ | 10.78 |
| $ | 10.30 |
| $ | 12.48 |
|
(a) Investments, at cost |
| $ | 537,771,744 |
| $ | 1,085,457,778 |
| $ | 438,672,176 |
|
(b) Including value of securities on loan |
| 14,387,697 |
| 2,889,791 |
| 13,277,626 |
| |||
(c) Foreign currency, at cost |
| 975,563 |
| 557,161 |
| 386,583 |
| |||
(d) Proceeds from forward sales commitments |
| — |
| 5,159,375 |
| — |
| |||
(e) Premiums from options written |
| 1,431,809 |
| 1,791,441 |
| — |
|
See accompanying Notes to Financial Statements.
Curian Series Trust
Statements of Operations
For the Year Ended October 31, 2014
|
| Curian/PIMCO |
| Curian/PIMCO |
| Curian/WMC International |
| |||
Investment income |
|
|
|
|
|
|
| |||
Dividends |
| $ | 457,675 |
| $ | 240,000 |
| $ | 9,353,765 |
|
Foreign taxes withheld |
| (14,311 | ) | (2,366 | ) | (637,853 | ) | |||
Interest |
| 17,839,032 |
| 20,271,784 |
| 6 |
| |||
Securities lending |
| 65,886 |
| 2,787 |
| 212,347 |
| |||
Other income (a) |
| 570 |
| 1,900 |
| 9,265 |
| |||
Total investment income |
| 18,348,852 |
| 20,514,105 |
| 8,937,530 |
| |||
|
|
|
|
|
|
|
| |||
Expenses |
|
|
|
|
|
|
| |||
Advisory fees |
| 740,797 |
| 1,558,446 |
| 653,767 |
| |||
Sub-advisory fees |
| 1,234,656 |
| 2,380,014 |
| 1,868,376 |
| |||
Administrative fees |
| 2,963,190 |
| 6,233,785 |
| 3,704,674 |
| |||
Chief compliance officer fees |
| 27,454 |
| 53,778 |
| 20,739 |
| |||
Legal fees |
| 26,341 |
| 49,607 |
| 17,808 |
| |||
Trustee fees |
| 45,065 |
| 90,737 |
| 36,166 |
| |||
Interest expense |
| 54,982 |
| 1,167 |
| — |
| |||
Other expenses |
| 24,159 |
| 39,071 |
| 15,457 |
| |||
Total expenses |
| 5,116,644 |
| 10,406,605 |
| 6,316,987 |
| |||
Expense waived/reimbursed by Adviser |
| (1,526,752 | ) | (3,404,209 | ) | (1,543,342 | ) | |||
Net expenses |
| 3,589,892 |
| 7,002,396 |
| 4,773,645 |
| |||
Net investment income |
| 14,758,960 |
| 13,511,709 |
| 4,163,885 |
| |||
|
|
|
|
|
|
|
| |||
Realized and unrealized gain (loss) |
|
|
|
|
|
|
| |||
Net realized gain (loss) on: |
|
|
|
|
|
|
| |||
Investments |
| 10,769,018 |
| 2,805,414 |
| 20,755,679 |
| |||
Swap agreements |
| (1,403,045 | ) | 1,363,889 |
| — |
| |||
Foreign currency related items |
| 2,094,437 |
| 6,868,232 |
| (172,491 | ) | |||
Futures contracts |
| 537,346 |
| 6,045,754 |
| — |
| |||
Written option and exchange traded futures option contracts |
| 1,280,101 |
| 2,994,073 |
| — |
| |||
Brokerage commissions recaptured |
| — |
| — |
| 10,611 |
| |||
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
| |||
Investments |
| 2,663,416 |
| (7,753,464 | ) | (19,909,269 | ) | |||
OTC swap agreements |
| 3,212,964 |
| 775,341 |
| — |
| |||
Foreign currency related items |
| 1,347,408 |
| 11,767,341 |
| (54,912 | ) | |||
Futures and exchange traded futures option contracts and centrally cleared swap agreements |
| (1,728,963 | ) | (7,254,268 | ) | — |
| |||
Written option contracts |
| 446,374 |
| (421,977 | ) | — |
| |||
Net realized and unrealized gain |
| 19,219,056 |
| 17,190,335 |
| 629,618 |
| |||
Net increase in net assets from operations |
| $ | 33,978,016 |
| $ | 30,702,044 |
| $ | 4,793,503 |
|
(a) Income from affiliated investments |
| $ | 570 |
| $ | 1,900 |
| $ | 9,265 |
|
See accompanying Notes to Financial Statements.
Curian Series Trust
Statements of Changes in Net Assets
For the Year Ended October 31, 2014
|
| Curian/PIMCO |
| Curian/PIMCO |
| Curian/WMC International |
| |||
Operations |
|
|
|
|
|
|
| |||
Net investment income |
| $ | 14,758,960 |
| $ | 13,511,709 |
| $ | 4,163,885 |
|
Net realized gain |
| 13,277,857 |
| 20,077,362 |
| 20,593,799 |
| |||
Net change in unrealized appreciation (depreciation) |
| 5,941,199 |
| (2,887,027 | ) | (19,964,181 | ) | |||
Net increase in net assets from operations |
| 33,978,016 |
| 30,702,044 |
| 4,793,503 |
| |||
Distributions to shareholders |
|
|
|
|
|
|
| |||
From net investment income |
| (13,000,317 | ) | (12,130,660 | ) | (4,560,717 | ) | |||
From net realized gains |
| — |
| — |
| (20,479,552 | ) | |||
Total distributions to shareholders |
| (13,000,317 | ) | (12,130,660 | ) | (25,040,269 | ) | |||
Share transactions(1) |
|
|
|
|
|
|
| |||
Proceeds from the sale of shares |
| 123,773,582 |
| 357,572,323 |
| 207,994,253 |
| |||
Cost of shares redeemed |
| (205,671,805 | ) | (335,785,282 | ) | (74,083,067 | ) | |||
Change in net assets from share transactions |
| (81,898,223 | ) | 21,787,041 |
| 133,911,186 |
| |||
Change in net assets |
| (60,920,524 | ) | 40,358,425 |
| 113,664,420 |
| |||
Net assets beginning of year |
| 538,364,378 |
| 984,304,846 |
| 367,739,356 |
| |||
Net assets end of year |
| $ | 477,443,854 |
| $ | 1,024,663,271 |
| $ | 481,403,776 |
|
Undistributed net investment income |
| $ | 1,068,269 |
| $ | 5,843,852 |
| $ | 4,004,614 |
|
(1) Share transactions |
|
|
|
|
|
|
| |||
Shares sold |
| 11,778,022 |
| 35,139,427 |
| 16,306,532 |
| |||
Shares redeemed |
| (19,628,075 | ) | (32,893,746 | ) | (5,831,027 | ) | |||
Change in shares |
| (7,850,053 | ) | 2,245,681 |
| 10,475,505 |
| |||
Purchase and sales of investment securities (excluding short-term securities): |
|
|
|
|
|
|
| |||
Purchase of securities |
| $ | 766,548,458 | (a) | $ | 4,045,412,110 | (b) | $ | 512,027,421 |
|
Proceeds from sales of securities |
| 820,300,644 | (a) | 4,019,677,553 | (b) | 402,377,311 |
| |||
(a) Amounts include $285,149,756 and $297,115,017 of purchases and sales, respectively, of U.S. Government Securities.
(b) Amounts include $3,510,286,297 and $3,747,409,397 of purchases and sales, respectively, of U.S. Government Securities.
See accompanying Notes to Financial Statements.
Curian Series Trust
Statements of Changes in Net Assets
For the Year Ended October 31, 2013
|
| Curian/PIMCO |
| Curian/PIMCO |
| Curian/WMC |
| |||
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
Financial Highlights
For a Share Outstanding
|
|
|
| Increase (Decrease) from |
| Distributions from |
|
|
|
|
| Supplemental Data |
| Ratios |
| ||||||||||||||||||||
Period |
| Net Asset |
| Net |
| Net Realized |
| Total from |
| Net |
| Net Realized |
| Net Asset |
| Total |
| Net Assets, |
| Portfolio |
| Net |
| Total |
| Net Investment |
| ||||||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
10/31/2014 |
| $ | 10.32 |
| $ | 0.31 |
| $ | 0.43 |
| $ | 0.74 |
| $ | (0.28 | ) | $ | — |
| $ | 10.78 |
| 7.26 | % | $ | 477,444 |
| 141 | % | 0.73 | (d)% | 1.04 | % | 2.99 | % |
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
10/31/2014 |
| 10.12 |
| 0.13 |
| 0.17 |
| 0.30 |
| (0.12 | ) | — |
| 10.30 |
| 2.98 |
| 1,024,663 |
| 410 |
| 0.67 |
| 1.00 |
| 1.30 |
| ||||||||
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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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||||
10/31/2014 |
| 13.09 |
| 0.12 |
| 0.11 |
| 0.23 |
| (0.15 | ) | (0.69 | ) | 12.48 |
| 1.63 |
| 481,404 |
| 96 |
| 1.10 |
| 1.45 |
| 0.96 |
| ||||||||
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 ratio of expenses to average net assets without interest expense as a result of secured borrowing transactions for the Curian/PIMCO Income Fund was 0.72%.
See accompanying Notes to Financial Statements.
Curian Series Trust
Notes to Financial Statements
October 31, 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 each 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 October 31, 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 or redemption fees.
NOTE 2. SIGNIFICANT ACCOUNTING POLICIES
The Funds are investment companies and follow accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. 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”). Curian and JNAM are subsidiaries of Jackson and affiliates. 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, Curian management 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 or Pricing Committee’s own assumptions in determining the fair value of an investment. Under the procedures approved by the Board, the
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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 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 the current interpretations of tax rules and regulations that exist in the markets in which the Funds 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 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. 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.
Recent Accounting Pronouncements - In June 2014, FASB released Accounting Standards Update (“ASU”) 2014-11 “Repurchase-to-Maturity Transactions, Repurchase Financings and Disclosures”. The amendments in this ASU change the accounting for repurchase-to-maturity transactions and linked repurchase financings to secured borrowing accounting, which is consistent with the accounting for other repurchase agreements. The amendments also require two new disclosures. The first disclosure requires an entity to disclose information on transfers accounted for as sales in transactions that are economically similar to repurchase agreements. The second disclosure provides increased transparency about the types of collateral pledged in repurchase agreements and similar transactions accounted for as secured borrowings. Disclosures under ASU 2014-11 are
Curian Series Trust
Notes to Financial Statements
October 31, 2014
effective for either the first interim or annual period beginning on or after December 15, 2014. Management is currently evaluating the impact the ASU may have on the Funds’ financial statements.
NOTE 3. FASB 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.
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, including certain term loans, 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, term loans that do not meet certain liquidity thresholds, 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 October 31, 2014 by valuation level.
|
| Assets - Securities |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Non-U.S. Government Agency ABS |
| $ | — |
| $ | 42,171,136 |
| $ | — |
| $ | 42,171,136 |
|
Corporate Bonds and Notes |
| — |
| 371,370,025 |
| 1,376,705 |
| 372,746,730 |
| ||||
Government and Agency Obligations |
| — |
| 79,411,547 |
| — |
| 79,411,547 |
| ||||
Common Stocks |
| 4,650,950 |
| — |
| — |
| 4,650,950 |
| ||||
Preferred Stocks |
| — |
| 2,080,626 |
| — |
| 2,080,626 |
| ||||
Trust Preferreds |
| 5,498,710 |
| — |
| — |
| 5,498,710 |
| ||||
Purchased Options |
| — |
| 428,799 |
| — |
| 428,799 |
| ||||
Short Term Investments |
| 6,000,000 |
| 31,152,732 |
| — |
| 37,152,732 |
| ||||
Fund Total |
| $ | 16,149,660 |
| $ | 526,614,865 |
| $ | 1,376,705 |
| $ | 544,141,230 |
|
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Non-U.S. Government Agency ABS |
| $ | — |
| $ | 90,973,248 |
| $ | — |
| $ | 90,973,248 |
|
Corporate Bonds and Notes |
| — |
| 311,134,629 |
| — |
| 311,134,629 |
| ||||
Government and Agency Obligations |
| — |
| 511,269,427 |
| — |
| 511,269,427 |
| ||||
Preferred Stocks |
| 3,973,200 |
| — |
| — |
| 3,973,200 |
| ||||
Short Term Investments |
| 100,000 |
| 169,023,183 |
| — |
| 169,123,183 |
| ||||
Fund Total |
| $ | 4,073,200 |
| $ | 1,082,400,487 |
| $ | — |
| 1,086,473,687 |
| |
Curian/WMC International Equity Fund |
|
|
|
|
|
|
|
|
| ||||
Common Stocks |
| $ | 56,714,438 |
| $ | 403,736,635 |
| $ | — |
| $ | 460,451,073 |
|
Investment Companies |
| 1,382,919 |
| — |
| — |
| 1,382,919 |
| ||||
Short Term Investments |
| 10,570,000 |
| 3,242,730 |
| — |
| 13,812,730 |
| ||||
Fund Total |
| $ | 68,667,357 |
| $ | 406,979,365 |
| $ | — |
| $ | 475,646,722 |
|
Curian Series Trust
Notes to Financial Statements
October 31, 2014
|
| Liabilities - Securities |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Government and Agency Obligations |
| $ | — |
| $ | (5,185,156 | ) | $ | — |
| $ | (5,185,156 | ) |
Fund Total |
| $ | — |
| $ | (5,185,156 | ) | $ | — |
| $ | (5,185,156 | ) |
|
| Assets - Investments in Other Financial Instruments(1) |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Exchange Traded Futures Written Options |
| $ | 6,089 |
| $ | — |
| $ | — |
| $ | 6,089 |
|
Open Futures Contracts |
| 145,836 |
| — |
| — |
| 145,836 |
| ||||
Open Forward Foreign Currency Contracts |
| — |
| 2,274,758 |
| — |
| 2,274,758 |
| ||||
OTC Interest Rate Swap Agreements |
| — |
| 232,493 |
| — |
| 232,493 |
| ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| 196,430 |
| — |
| 196,430 |
| ||||
OTC Credit Default Swap Agreements |
| — |
| 1,960,844 |
| — |
| 1,960,844 |
| ||||
Centrally Cleared Credit Default Swap Agreements |
| — |
| 93,499 |
| — |
| 93,499 |
| ||||
Fund Total |
| $ | 151,925 |
| $ | 4,758,024 |
| $ | — |
| $ | 4,909,949 |
|
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Exchange Traded Futures Written Options |
| $ | 10,497 |
| $ | — |
| $ | — |
| $ | 10,497 |
|
Open Futures Contracts |
| 1,869,954 |
| — |
| — |
| 1,869,954 |
| ||||
Open Forward Foreign Currency Contracts |
| — |
| 15,598,124 |
| — |
| 15,598,124 |
| ||||
OTC Interest Rate Swap Agreements |
| — |
| 305,473 |
| — |
| 305,473 |
| ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| 794,891 |
| — |
| 794,891 |
| ||||
OTC Credit Default Swap Agreements |
| — |
| 1,503,343 |
| — |
| 1,503,343 |
| ||||
Centrally Cleared Credit Default Swap Agreements |
| — |
| 22,414 |
| — |
| 22,414 |
| ||||
Fund Total |
| $ | 1,880,451 |
| $ | 18,224,245 |
| $ | — |
| $ | 20,104,696 |
|
|
| Liabilities - Investments in Other Financial Instruments(1) |
| ||||||||||
|
| Level 1 |
| Level 2 |
| Level 3 |
| Total |
| ||||
Curian/PIMCO Income Fund |
|
|
|
|
|
|
|
|
| ||||
Exchange Traded Futures Written Options |
| $ | (7,146 | ) | $ | — |
| $ | — |
| $ | (7,146 | ) |
Written Options |
| — |
| (1,096,438 | ) | — |
| (1,096,438 | ) | ||||
Open Forward Foreign Currency Contracts |
| — |
| (159,492 | ) | — |
| (159,492 | ) | ||||
OTC Interest Rate Swap Agreements |
| — |
| (111,558 | ) | — |
| (111,558 | ) | ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| (1,356,287 | ) | — |
| (1,356,287 | ) | ||||
OTC Credit Default Swap Agreements |
| — |
| (111,426 | ) | — |
| (111,426 | ) | ||||
Centrally Cleared Credit Default Swap Agreements |
| — |
| (45,633 | ) | — |
| (45,633 | ) | ||||
Fund Total |
| $ | (7,146 | ) | $ | (2,880,834 | ) | $ | — |
| $ | (2,887,980 | ) |
Curian/PIMCO Total Return Fund |
|
|
|
|
|
|
|
|
| ||||
Exchange Traded Futures Written Options |
| $ | (9,874 | ) | $ | — |
| $ | — |
| $ | (9,874 | ) |
Written Options |
| (102,453 | ) | (1,546,821 | ) | — |
| (1,649,274 | ) | ||||
Open Futures Contracts |
| (276,799 | ) | — |
| — |
| (276,799 | ) | ||||
Open Forward Foreign Currency Contracts |
| — |
| (3,065,027 | ) | — |
| (3,065,027 | ) | ||||
OTC Interest Rate Swap Agreements |
| — |
| (527,464 | ) | — |
| (527,464 | ) | ||||
Centrally Cleared Interest Rate Swap Agreements |
| — |
| (3,491,556 | ) | — |
| (3,491,556 | ) | ||||
OTC Credit Default Swap Agreements |
| — |
| (15,103 | ) | — |
| (15,103 | ) | ||||
Fund Total |
| $ | (389,126 | ) | $ | (8,645,971 | ) | $ | — |
| $ | (9,035,097 | ) |
(1)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 for financial reporting purposes. The following table summarizes significant transfers between Level 1 and Level 2 valuations during the year ended October 31, 2014:
|
| Transfers out |
| Transfers out the Period |
| ||
Transfers for valuations using a statistical fair value pricing service |
|
|
|
|
| ||
Curian/WMC International Equity Fund |
|
|
|
|
| ||
Common Stocks |
| $ | — |
| $ | 7,322,649 |
|
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. 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 October 31, 2014.
NOTE 4. SECURITIES AND OTHER INVESTMENTS
Securities Lending and Securities Lending Collateral - The Funds participate in an agency based securities lending program. Pursuant to the securities lending agreement, the securities lending agent is authorized to loan securities on behalf of the Funds to approved borrowers and is required to maintain collateral. Each Fund receives cash collateral against the loaned securities in an amount equal to at least 100% of the market value of the loaned securities. Collateral is maintained over the life of the loan in an amount not less than 100% of the market value of loaned securities, as determined at the close of fund business each day; any additional collateral required due to changes in security values is delivered to the Fund on the next
Curian Series Trust
Notes to Financial Statements
October 31, 2014
business day. The Fund receives income from the investment of cash collateral, in addition to lending fees and rebates paid by the borrower. The Fund bears the market risk with respect to the collateral investment and securities loaned. The Fund also bears the risk that the agent may default on its obligations to the Fund. The securities lending agent has agreed to indemnify the Fund in the event of default by a third party borrower.
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. 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.
Cash collateral received from the borrower is recorded in the Statements of Assets and Liabilities as payable upon return of securities loaned. Investments acquired with such cash collateral are reported in a manner consistent with other portfolio investments held by each Fund as investment - 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. Each Fund’s net exposure to a borrower is determined by the amount of any excess or shortfall in cash collateral received compared to the value of securities on loan.
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 - The Funds may invest in repurchase agreements. In a repurchase agreement, a Fund receives debt securities (collateral) subject to an obligation of the seller to repurchase, and the Fund to resell, the securities at an agreed upon price and date. 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. 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. 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. 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. Cash received in exchange for securities delivered plus accrued interest to be paid by the Fund are reflected as liabilities on the Statements of Assets and Liabilities. Interest paid is recorded as interest expense to the Fund. 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
Curian Series Trust
Notes to Financial Statements
October 31, 2014
receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. 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 average daily balance and the weighted average interest rate for reverse repurchase agreements, for the year ended October 31, 2014, were as follows: Curian/PIMCO Income Fund, $13,020,006 and 0.11% for 326 days outstanding; and Curian/PIMCO Total Return Fund $15,583,613 and 0.04% for 62 days outstanding, respectively. The Funds did not have any reverse repurchase agreements outstanding on October 31, 2014.
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.
The average daily balance and the weighted average interest rate for treasury roll transactions, for the period ended October 31, 2014, were as follows: Curian/PIMCO Income Fund, $41,139,420 and 0.10%, for 360 days outstanding; and Curian/PIMCO Total Return Fund, $26,976,775 and 0.00%, for 17 days outstanding, respectively. At October 31, 2014, Curian/PIMCO Income Fund had $53,491 of deferred income included in payable for treasury roll transactions on the Statements of Assets and Liabilities.
Inflation-Indexed Bonds - Certain Funds may invest in inflation-indexed bonds which are fixed income securities whose principal value is periodically adjusted to the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase in the principal amount of an inflation-indexed bond will be considered interest income, even though investors do not receive principal payments until maturity.
NOTE 5. AGREEMENTS AND COLLATERAL
Under various agreements, certain investment transactions require collateral to be pledged to/from 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 brokers and counterparties is included in receivable for deposits with brokers and counterparties and due to brokers and counterparties for deposits in the Statements of Assets and Liabilities.
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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 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 the Sub Adviser believes 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.
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 or reverse repurchase agreement.
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 a 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 facilitates 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 the Fund’s assets in the segregated account. Additionally, portability of exposure in the event of default further reduces risk.
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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 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.
Depending on the exchange on which an exchange traded futures option is traded, premium may be paid/received when purchasing/writing the option or there may be no premium paid/received when purchasing/writing the option. Exchange traded futures options are marked-to-market daily and the change in value is recorded by the Fund as an unrealized gain or loss. Variation margin on these options is recorded by the Fund until the contracts are terminated at which time realized gains and losses are recognized. Exchange traded futures options 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 may be privately negotiated in the OTC market or 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
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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.
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 October 31, 2014, for which a 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
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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 October 31, 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 October 31, 2014. (4) A table reflecting each Fund’s average monthly derivative volume for the year ended October 31, 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, equity, 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 obtain credit exposure.
Curian/PIMCO Income 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 October 31, 2014: |
|
|
|
|
|
|
|
|
|
|
| |||||
Assets: |
|
|
|
|
|
|
|
|
|
|
| |||||
Investments - at value(2) |
| $ | — |
| $ | 271,686 |
| $ | — |
| $ | 157,113 |
| $ | 428,799 |
|
Variation margin on financial derivative instruments |
| 58,517 |
| — |
| — |
| 116,134 |
| 174,651 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 2,274,758 |
| — |
| 2,274,758 |
| |||||
Unrealized appreciation on OTC swap agreements |
| 1,960,844 |
| — |
| — |
| 232,493 |
| 2,193,337 |
| |||||
OTC Swaps premiums paid |
| 1,410,160 |
| — |
| — |
| 101,970 |
| 1,512,130 |
| |||||
|
| $ | 3,429,521 |
| $ | 271,686 |
| $ | 2,274,758 |
| $ | 607,710 |
| $ | 6,583,675 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | 790 |
| $ | — |
| $ | — |
| $ | 57,507 |
| $ | 58,297 |
|
Options written, at value |
| 24,844 |
| 364,791 |
| 190,861 |
| 515,942 |
| 1,096,438 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 159,492 |
| — |
| 159,492 |
| |||||
Unrealized depreciation on OTC swap agreements |
| 111,426 |
| — |
| — |
| 111,558 |
| 222,984 |
| |||||
OTC Swaps premiums received |
| 1,362,969 |
| — |
| — |
| 57,921 |
| 1,420,890 |
| |||||
|
| $ | 1,500,029 |
| $ | 364,791 |
| $ | 350,353 |
| $ | 742,928 |
| $ | 2,958,101 |
|
The effect of derivative instruments on the Statement of Operations for the year ended October 31, 2014: |
|
|
|
|
|
|
|
|
|
|
| |||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
Swap agreements |
| $ | 2,672,008 |
| $ | — |
| $ | — |
| $ | (4,075,053 | ) | $ | (1,403,045 | ) |
Foreign currency related items |
| — |
| — |
| 2,757,581 |
| — |
| 2,757,581 |
| |||||
Futures contracts |
| — |
| — |
| — |
| 537,346 |
| 537,346 |
| |||||
Written options contracts |
| 176,176 |
| — |
| 80,958 |
| 1,022,967 |
| 1,280,101 |
| |||||
|
| $ | 2,848,184 |
| $ | — |
| $ | 2,838,539 |
| $ | (2,514,740 | ) | $ | 3,171,983 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
Investments(2) |
| $ | — |
| $ | (41,570 | ) | $ | — |
| $ | (471,857 | ) | $ | (513,427 | ) |
OTC Swap agreements |
| 722,483 |
| — |
| — |
| 2,490,481 |
| 3,212,964 |
| |||||
Foreign currency related items |
| — |
| — |
| 2,331,150 |
| — |
| 2,331,150 |
| |||||
Futures and exchange traded futures option contracts and centrally cleared swap agreements |
| (166,932 | ) | — |
| — |
| (1,562,031 | ) | (1,728,963 | ) | |||||
Written option contracts |
| (33,074 | ) | 60,567 |
| 30,527 |
| 388,354 |
| 446,374 |
| |||||
|
| $ | 522,477 |
| $ | 18,997 |
| $ | 2,361,677 |
| $ | 844,947 |
| $ | 3,748,098 |
|
Curian Series Trust
Notes to Financial Statements
October 31, 2014
Curian/PIMCO Income Fund - Derivative and Financial Instruments Eligible for Offset
|
| Gross Amount Statements of |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (3) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (6) |
| Cash |
| Security |
| ||||||
Derivative Assets by Counterparty* |
|
|
|
|
|
|
|
|
| ||||||||||
BBP |
| $ | 295,320 |
| $ | (25,096 | ) | $ | (270,224 | ) | $ | — |
| $ | 1,040,000 |
| $ | — |
|
BCL |
| 407,561 |
| (3,666 | ) | — |
| 403,895 |
| — |
| — |
| ||||||
BNP |
| 276,247 |
| (18,940 | ) | (80,000 | ) | 177,307 |
| 80,000 |
| — |
| ||||||
BOA |
| 212,289 |
| (130,188 | ) | — |
| 82,101 |
| — |
| — |
| ||||||
CGM |
| 21,382 |
| — |
| — |
| 21,382 |
| — |
| — |
| ||||||
CIT |
| 372 |
| (372 | ) | — |
| — |
| — |
| — |
| ||||||
CSI |
| 509,533 |
| (344,400 | ) | — |
| 165,133 |
| — |
| — |
| ||||||
DUB |
| 855,927 |
| (372,887 | ) | (370,000 | ) | 113,040 |
| 370,000 |
| — |
| ||||||
GSB |
| 10,187 |
| (10,187 | ) | — |
| — |
| — |
| — |
| ||||||
GSC |
| 13,216 |
| (11,859 | ) | — |
| 1,357 |
| — |
| — |
| ||||||
GSI |
| 201,676 |
| (23,388 | ) | (178,288 | ) | — |
| 260,000 |
| — |
| ||||||
MSS |
| 450,118 |
| (268,844 | ) | (108,000 | ) | 73,274 |
| 108,000 |
| — |
| ||||||
UBS |
| 1,643,066 |
| (75,770 | ) | (360,000 | ) | 1,207,296 |
| 360,000 |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 4,896,894 |
| $ | (1,285,597 | ) | $ | (1,366,512 | ) | $ | 2,244,785 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,686,781 |
|
|
|
|
|
|
| $ | — |
| $ | — |
| ||||
|
| $ | 6,583,675 |
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Derivative Liabilities by Counterparty* |
|
|
|
|
|
|
|
|
| ||||||||||
BBP |
| $ | 25,096 |
| $ | (25,096 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BCL |
| 3,666 |
| (3,666 | ) | — |
| — |
| — |
| — |
| ||||||
BNP |
| 18,940 |
| (18,940 | ) | — |
| — |
| — |
| — |
| ||||||
BOA |
| 130,188 |
| (130,188 | ) | — |
| — |
| — |
| — |
| ||||||
CIT |
| 70,472 |
| (372 | ) | — |
| 70,100 |
| — |
| — |
| ||||||
CSI |
| 344,400 |
| (344,400 | ) | — |
| — |
| — |
| 249,956 |
| ||||||
DUB |
| 372,887 |
| (372,887 | ) | — |
| — |
| — |
| — |
| ||||||
GSB |
| 109,076 |
| (10,187 | ) | (98,889 | ) | — |
| — |
| 169,970 |
| ||||||
GSC |
| 11,859 |
| (11,859 | ) | — |
| — |
| — |
| — |
| ||||||
GSI |
| 23,388 |
| (23,388 | ) | — |
| — |
| — |
| — |
| ||||||
MSC |
| 24,328 |
| — |
| — |
| 24,328 |
| — |
| — |
| ||||||
MSS |
| 268,844 |
| (268,844 | ) | — |
| — |
| — |
| — |
| ||||||
UBS |
| 75,770 |
| (75,770 | ) | — |
| — |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 1,478,914 |
| $ | (1,285,597 | ) | $ | (98,889 | ) | $ | 94,428 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,479,187 |
|
|
|
|
|
|
| $ | 805,000 |
| $ | 2,020,338 |
| ||||
|
| $ | 2,958,101 |
|
|
|
|
|
|
|
|
|
|
|
|
| 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 |
| $ | 52,287,072 |
| $ | (52,287,072 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
|
| $ | 52,287,072 |
| $ | (52,287,072 | ) | $ | — |
| $ | — |
|
|
|
|
| ||
Master Forward Agreement Transaction Liabilities by Counterparty* |
|
|
|
|
|
|
| ||||||||||||
BNP |
| $ | 52,558,574 |
| $ | (52,287,072 | ) | $ | — |
| $ | 271,502 |
| $ | — |
| $ | — |
|
|
| $ | 52,558,574 |
| $ | (52,287,072 | ) | $ | — |
| $ | 271,502 |
|
|
|
|
|
Curian/PIMCO Income Fund - Average Derivative Volume(1)
|
| Cost of Options |
| Purchase Notional |
| Cost of Forward |
| Notional Amount |
| Notional Amount of |
| |||||
Average monthly volume |
| $ | 1,396,622 |
| $ | 111,002,526 |
| $ | 101,389,469 |
| $ | 83,044,019 |
| $ | 118,948,270 |
|
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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 obtain 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 October 31, 2014: |
|
|
|
|
|
|
|
|
|
|
| |||||
Assets: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | 22,697 |
| $ | — |
| $ | — |
| $ | 736,122 |
| $ | 758,819 |
|
Forward foreign currency contracts |
| — |
| — |
| 15,598,124 |
| — |
| 15,598,124 |
| |||||
Unrealized appreciation on OTC swap agreements |
| 1,503,343 |
| — |
| — |
| 305,473 |
| 1,808,816 |
| |||||
OTC Swaps premiums paid |
| 304,801 |
| — |
| — |
| 96,500 |
| 401,301 |
| |||||
|
| $ | 1,830,841 |
| $ | — |
| $ | 15,598,124 |
| $ | 1,138,095 |
| $ | 18,567,060 |
|
Liabilities: |
|
|
|
|
|
|
|
|
|
|
| |||||
Variation margin on financial derivative instruments |
| $ | — |
| $ | — |
| $ | — |
| $ | 645,407 |
| $ | 645,407 |
|
Options written, at value |
| 21,166 |
| — |
| 494,522 |
| 1,133,586 |
| 1,649,274 |
| |||||
Forward foreign currency contracts |
| — |
| — |
| 3,065,027 |
| — |
| 3,065,027 |
| |||||
Unrealized depreciation on OTC swap agreements |
| 15,103 |
| — |
| — |
| 527,464 |
| 542,567 |
| |||||
OTC Swaps premiums received |
| 2,246,545 |
| — |
| — |
| 147,212 |
| 2,393,757 |
| |||||
|
| $ | 2,282,814 |
| $ | — |
| $ | 3,559,549 |
| $ | 2,453,669 |
| $ | 8,296,032 |
|
The effect of derivative instruments on the Statement of Operations for the year ended October 31, 2014: |
|
|
|
|
|
|
|
|
|
|
| |||||
Net realized gain (loss) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
Swap agreements |
| $ | 852,550 |
| $ | — |
| $ | — |
| $ | 511,339 |
| $ | 1,363,889 |
|
Foreign currency related items |
| — |
| — |
| 9,322,984 |
| — |
| 9,322,984 |
| |||||
Futures contracts |
| — |
| — |
| — |
| 6,045,754 |
| 6,045,754 |
| |||||
Written options contracts and exchange traded futures options contracts |
| 21,427 |
| — |
| 25,251 |
| 2,947,395 |
| 2,994,073 |
| |||||
|
| $ | 873,977 |
| $ | — |
| $ | 9,348,235 |
| $ | 9,504,488 |
| $ | 19,726,700 |
|
Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
| |||||
OTC Swap agreements |
| $ | 1,097,419 |
| $ | — |
| $ | — |
| $ | (322,078 | ) | $ | 775,341 |
|
Foreign currency related items |
| — |
| — |
| 14,855,121 |
| — |
| 14,855,121 |
| |||||
Futures and exchange traded futures option contracts and centrally cleared swap agreements |
| (154,025 | ) | — |
| — |
| (7,100,243 | ) | (7,254,268 | ) | |||||
Written option contracts |
| 6,865 |
| — |
| (121,844 | ) | (306,998 | ) | (421,977 | ) | |||||
|
| $ | 950,259 |
| $ | — |
| $ | 14,733,277 |
| $ | (7,729,319 | ) | $ | 7,954,217 |
|
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 |
| $ | 275,704 |
| $ | (72,139 | ) | $ | (203,565 | ) | $ | — |
| $ | 510,000 |
| $ | — |
|
BCL |
| 2,464,031 |
| (526,624 | ) | — |
| 1,937,407 |
| — |
| — |
| ||||||
BNP |
| 1,166,001 |
| (412,053 | ) | (753,948 | ) | — |
| 970,000 |
| — |
| ||||||
BOA |
| 3,318,637 |
| (230,943 | ) | (1,140,000 | ) | 1,947,694 |
| 1,140,000 |
| — |
| ||||||
CGM |
| 9,881 |
| — |
| — |
| 9,881 |
| — |
| — |
| ||||||
CIT |
| 1,396,274 |
| (710,312 | ) | (20,000 | ) | 665,962 |
| 20,000 |
| — |
| ||||||
CSI |
| 1,124,226 |
| (14,751 | ) | (280,000 | ) | 829,475 |
| 280,000 |
| — |
| ||||||
DUB |
| 1,737,644 |
| (933,577 | ) | (30,000 | ) | 774,067 |
| 30,000 |
| — |
| ||||||
GSB |
| 35,823 |
| (35,823 | ) | — |
| — |
| — |
| — |
| ||||||
GSC |
| 633,860 |
| (633,860 | ) | — |
| — |
| — |
| — |
| ||||||
GSI |
| 3,339 |
| (3,339 | ) | — |
| — |
| — |
| — |
| ||||||
MSC |
| 65,760 |
| (9,604 | ) | — |
| 56,156 |
| — |
| — |
| ||||||
MSS |
| 205,865 |
| (205,865 | ) | — |
| — |
| 205,000 |
| — |
| ||||||
UBS |
| 4,969,895 |
| (95,769 | ) | (960,000 | ) | 3,914,126 |
| 960,000 |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 17,406,940 |
| $ | (3,884,659 | ) | $ | (3,387,513 | ) | $ | 10,134,768 |
|
|
|
|
| ||
Derivatives not eligible for offset |
| 1,160,120 |
|
|
|
|
|
|
| $ | — |
| $ | — |
| ||||
|
| $ | 18,567,060 |
|
|
|
|
|
|
|
|
|
|
|
Curian Series Trust
Notes to Financial Statements
October 31, 2014
Curian/PIMCO Total Return Fund - Derivative and Financial Instruments Eligible for Offset (continued)
|
| Gross Amount Presented in the Assets and |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (3) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (6) |
| Cash |
| Security |
| ||||||
Derivative Liabilities by Counterparty* |
|
|
|
|
|
|
|
|
| ||||||||||
BBP |
| $ | 72,139 |
| $ | (72,139 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
BCL |
| 526,624 |
| (526,624 | ) | — |
| — |
| — |
| — |
| ||||||
BNP |
| 412,053 |
| (412,053 | ) | — |
| — |
| — |
| — |
| ||||||
BOA |
| 230,943 |
| (230,943 | ) | — |
| — |
| — |
| — |
| ||||||
CIT |
| 710,312 |
| (710,312 | ) | — |
| — |
| — |
| — |
| ||||||
CSI |
| 14,751 |
| (14,751 | ) | — |
| — |
| — |
| — |
| ||||||
DUB |
| 933,577 |
| (933,577 | ) | — |
| — |
| — |
| — |
| ||||||
GSB |
| 267,195 |
| (35,823 | ) | (231,372 | ) | — |
| — |
| 594,927 |
| ||||||
GSC |
| 1,097,579 |
| (633,860 | ) | — |
| 463,719 |
| — |
| — |
| ||||||
GSI |
| 4,908 |
| (3,339 | ) | — |
| 1,569 |
| — |
| — |
| ||||||
MSC |
| 9,604 |
| (9,604 | ) | — |
| — |
| — |
| — |
| ||||||
MSS |
| 778,961 |
| (205,865 | ) | (573,096 | ) | — |
| — |
| 686,070 |
| ||||||
UBS |
| 95,769 |
| (95,769 | ) | — |
| — |
| — |
| — |
| ||||||
Derivatives eligible for offset |
| $ | 5,154,415 |
| $ | (3,884,659 | ) | $ | (804,468 | ) | $ | 465,288 |
|
|
| — |
| ||
Derivatives not eligible for offset |
| 3,141,617 |
|
|
|
|
|
|
| $ | 2,036,000 |
| $ | 8,836,252 |
| ||||
|
| $ | 8,296,032 |
|
|
|
|
|
|
|
|
|
|
|
|
| Gross Amount |
| Financial |
|
|
|
|
| Total Collateral (7) |
| ||||||||
|
| Liabilities (8) |
| Instruments (4) |
| Collateral (5) |
| Net Amount (8) |
| Cash |
| Security |
| ||||||
Master Forward Agreement Transaction Assets by Counterparty* |
|
|
|
|
| ||||||||||||||
CGM |
| $ | 9,855,072 |
| $ | (9,826,172 | ) | $ | — |
| $ | 28,900 |
| $ | — |
| $ | — |
|
CSI |
| 34,052,123 |
| (33,864,180 | ) | (187,943 | ) | — |
| 260,000 |
| — |
| ||||||
JPM |
| 34,160,860 |
| (33,992,968 | ) | (167,892 | ) | — |
| 260,000 |
| — |
| ||||||
MSC |
| 5,159,375 |
| (5,159,375 | ) | — |
| — |
| — |
| — |
| ||||||
|
| $ | 83,227,430 |
| $ | (82,842,695 | ) | $ | (355,835 | ) | $ | 28,900 |
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||||||
Master Forward Agreement Transaction Liabilities by Counterparty* |
|
|
|
|
| ||||||||||||||
CGM |
| $ | 9,826,172 |
| $ | (9,826,172 | ) | $ | — |
| $ | — |
| $ | — |
| $ | — |
|
CSI |
| 33,864,180 |
| (33,864,180 | ) | — |
| — |
| — |
| — |
| ||||||
JPM |
| 33,992,968 |
| (33,992,968 | ) | — |
| — |
| — |
| — |
| ||||||
MSC |
| 5,185,156 |
| (5,159,375 | ) | — |
| 25,781 |
| — |
| — |
| ||||||
|
| $ | 82,868,476 |
| $ | (82,842,695 | ) | $ | — |
| $ | 25,781 |
|
|
|
|
|
Curian/PIMCO Total Return Fund - Average Derivative Volume(1)
|
| Cost of Options |
| Purchase Notional |
| Cost of Forward |
| Notional Amount of |
| Notional Amount of |
| |||||
Average monthly volume |
| $ | 998,423 |
| $ | 1,299,169,886 |
| $ | 346,980,170 |
| $ | 288,316,261 |
| $ | 65,654,010 |
|
(1) The derivative instruments outstanding as of October 31, 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 year ended October 31, 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.
(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 29 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
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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.
Sanctioned Securities Risk - Certain Funds may invest in securities issued by companies located in Russia. The U.S. Government and other governments have placed sanctions on Russia. When sanctions are placed on a country, a Fund may experience limitations on its investments including the inability to dispose of securities in that country, the inability to settle securities transactions in that country and the inability to repatriate currency from that country. Investments in sanctioned countries may be volatile, and a Fund and its pricing agent may have difficulty valuing such sanctioned country securities. Investments in sanctioned countries are subject to a number of risks, including, but not limited to, liquidity risk, foreign securities risk and currency risk.
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, errors and omissions insurance, 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, independent Trustee liability 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.
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) |
|
|
|
|
| All assets |
| 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 Series Trust
Notes to Financial Statements
October 31, 2014
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. Effective August 13, 2014, Curian agreed to voluntarily waive annual administrative fees of 0.60% of average daily net assets for Curian/PIMCO Income Fund and Curian/PIMCO Total Return Fund and 0.85% of average daily net assets for Curian/WMC International Equity Fund.
The advisory and administrative fees are recorded as payable for advisory fees and administrative fees, respectively, and fee waivers related to these fees are reflected as receivable from adviser in the Statements of Assets and Liabilities.
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 year ended October 31, 2014, Curian did not recover any previously reimbursed expenses and does not intend to recover any reimbursed expenses in the future. However, at October 31, 2014, the amount of potentially recoverable expenses was:
|
| Year ended October 31, 2014 |
| Year ended October 31, 2013 |
| Period ended October 31, 2012 |
| |||||||||
|
| Recoverable |
| Expiration |
| Recoverable |
| Expiration |
| Recoverable |
| Expiration |
| |||
Curian/PIMCO Income Fund |
| $ | 459,898 |
| 10/31/17 |
| $ | 1,184,932 |
| 10/31/16 |
| $ | 784,871 |
| 10/31/15 |
|
Curian/PIMCO Total Return Fund |
| 1,154,750 |
| 10/31/17 |
| 2,101,426 |
| 10/31/16 |
| 2,050,054 |
| 10/31/15 |
| |||
Curian/WMC International Equity Fund |
| 201,723 |
| 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.
NOTE 9. BORROWING ARRANGEMENTS
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. Effective June 6, 2014, the Funds may borrow up to the lesser of $450,000,000, 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. Prior to June 6, 2014, the amount available under the facility was $300,000,000. 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 and are included in other expenses in each Fund’s Statement of Operations. No amounts were borrowed under the facility during the period.
NOTE 10. FEDERAL 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.
Curian Series Trust
Notes to Financial Statements
October 31, 2014
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.
|
| Net Increase (Decrease) |
| |||||||
|
| Undistributed |
| Accumulated Net |
| Paid-in Capital |
| |||
Curian/PIMCO Income Fund |
| $ | 867,793 |
| $ | (867,793 | ) | $ | — |
|
Curian/PIMCO Total Return Fund |
| 2,712,694 |
| (2,712,694 | ) | — |
| |||
Curian/WMC International Equity Fund |
| 624,277 |
| (624,277 | ) | — |
| |||
At October 31, 2014, no Fund had unused capital loss carryovers for U.S. federal income tax purposes.
As of October 31, 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 |
| Gross |
| Net Unrealized |
| ||||
Curian/PIMCO Income Fund |
| $ | 538,738,264 |
| $ | 9,331,827 |
| $ | (3,928,861 | ) | $ | 5,402,966 |
|
Curian/PIMCO Total Return Fund |
| 1,085,481,024 |
| 18,482,025 |
| (17,489,362 | ) | 992,663 |
| ||||
Curian/WMC International Equity Fund |
| 440,629,432 |
| 50,299,182 |
| (15,281,892 | ) | 35,017,290 |
| ||||
As of October 31, 2014, the components of distributable taxable earning for U.S. Federal income tax purposes were as follows:
|
| Unrealized |
| Undistributed |
| Undistributed |
| Distributions |
| Capital Loss |
| |||||
Curian/PIMCO Income Fund |
| $ | 5,338,351 |
| $ | 11,659,389 |
| $ | 604,494 |
| $ | (1,500,004 | ) | $ | — |
|
Curian/PIMCO Total Return Fund |
| (4,529,930 | ) | 28,111,527 |
| 5,022,656 |
| (1,500,085 | ) | — |
| |||||
Curian/WMC International Equity Fund |
| 34,954,592 |
| 6,385,058 |
| 18,638,237 |
| — |
| — |
| |||||
* Undistributed net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
** Unrealized gains (losses) are adjusted for open wash sale loss deferrals; accelerated recognition of unrealized gain/loss on futures, options and forward contracts; and accelerated recognition of unrealized gain on PFICs. Also adjusted for differences between book and tax realized and unrealized gain/loss on swap contracts.
The tax character of distributions paid during the Funds’ fiscal year ended October 31, 2014 was as follows:
|
| Net Ordinary |
| Long-term |
| Return of |
| |||
Curian/PIMCO Income Fund |
| $ | 13,007,568 |
| $ | — |
| $ | — |
|
Curian/PIMCO Total Return Fund |
| 11,558,229 |
| — |
| — |
| |||
Curian/WMC International Equity Fund |
| 13,186,245 |
| 11,854,024 |
| — |
| |||
* Net ordinary income consists of net taxable income derived from dividends, interest and net short-term capital gains, if any.
** The Funds designated as a long-term capital gain dividend, pursuant to the Internal Revenue code section 852(b)(3), the amount necessary to reduce earnings and profits of the Funds related to net capital gains to zero for the year ended October 31, 2014.
The tax character of distributions paid during the Funds’ last fiscal year ended October 31, 2013 was as follows:
|
| Net Ordinary |
| Long-term |
| 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 year ended October 31, 2014.
Curian Series Trust
Notes to Financial Statements
October 31, 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 footnotes.
Report of Independent Registered Public Accounting Firm
The Board of Trustees and Shareholders
Curian Series Trust:
We have audited the accompanying statements of assets and liabilities of Curian/PIMCO Income Fund, Curian/PIMCO Total Return Fund, and Curian/WMC International Equity Fund (the “Funds” within Curian Series Trust), including the schedules of investments, as of October 31, 2014, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years then ended and financial highlights for each of the two years ended October 31, 2014 and the period November 2, 2011 (commencement of operations) to October 31, 2012. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of October 31, 2014, by correspondence with the custodian and brokers or other appropriate auditing procedures. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Funds as of October 31, 2014, the results of their operations, changes in their net assets and the financial highlights for the periods indicated above, in conformity with U.S. generally accepted accounting principles.
/s/ KPMG LLP |
|
|
|
Chicago, Illinois |
|
December 19, 2014 |
|
Curian Series Trust
Additional Disclosures (Unaudited)
October 31, 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 |
| ||||||
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| ||||||
Curian/PIMCO Income Fund |
| $ | 1,000.00 |
| $ | 1,039.40 |
| 0.59 | % | $ | 3.03 |
| $ | 1,000.00 |
| $ | 1,022.22 |
| 0.59 | % | $ | 3.01 |
|
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| ||||||
Curian/PIMCO Total Return Fund |
| 1,000.00 |
| 1,019.20 |
| 0.55 |
| 2.80 |
| 1,000.00 |
| 1,022.43 |
| 0.55 |
| 2.80 |
| ||||||
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| ||||||
Curian/WMC International Equity Fund |
| 1,000.00 |
| 977.30 |
| 0.91 |
| 4.54 |
| 1,000.00 |
| 1,020.60 |
| 0.91 |
| 4.63 |
| ||||||
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 184/365 (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 1-877-847-4143.
Proxy Voting Policies and Procedures and Voting Record. 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’s website at www.curian.com, and (3) on the SEC’s website at www.sec.gov.
Other Federal Income Tax Information. The information reported below is for the year ended October 31, 2014. Foreign tax and qualified dividend information for the calendar year 2014 will be provided on each shareholder’s 2014 Form 1099-DIV.
For the year ended October 31, 2014, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% or 20% depending on the taxpayer’s gross income. In addition, dividends paid by the Funds may be subject to a 3.8% net investment income tax. The Funds intend to designate the maximum amount allowable as taxed at a maximum rate of 15% and 20%.
For the year ended October 31, 2014, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Internal Revenue Code (“Code”), as qualified dividends:
|
| Qualified Dividend |
|
Curian/PIMCO Income Fund |
| 4.00 | % |
Curian/PIMCO Total Return Fund |
| 2.00 |
|
Curian/WMC International Equity Fund |
| 50.00 |
|
For the year ended October 31, 2014, the following Funds hereby designate the following percentages, or the maximum amount allowable under the Code, as distributions eligible for the dividends received deduction for corporations:
|
| Dividends Received |
|
Curian/PIMCO Income Fund |
| 4.00 | % |
Curian/PIMCO Total Return Fund |
| 2.00 |
|
Curian/WMC International Equity Fund |
| 2.00 |
|
The Curian/WMC International Equity Fund intends to elect to pass through to shareholders the taxes paid to foreign countries. The pass-through of the foreign taxes paid will only affect those persons who are shareholders on December 29, 2014, the dividend record date. Foreign source income and foreign tax per outstanding share on October 31, 2014 are as follows:
|
| Foreign |
| Foreign Tax |
| ||
Curian/WMC International Equity Fund |
| $ | 0.13 |
| $ | 0.02 |
|
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
NAME, ADDRESS AND (AGE) |
| POSITION(S) HELD |
| NUMBER OF PORTFOLIOS IN FUND COMPLEX TO |
Independent Trustees |
|
|
|
|
|
|
|
|
|
David W. Agostine (52) |
| Chairman of the Board and Trustee(2) |
| 58 |
|
|
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||||
| ||||
OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: Trustee, Curian Variable Series Trust (10/2011 to present); Trustee, Dividend Capital Investments, Inc. (2007 to 12/2011) | ||||
| ||||
Gregory P. Contillo (59) |
| Trustee(2) |
| 58 |
|
|
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||||
| ||||
OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: Trustee, Curian Variable Series Trust (10/2011 to present) | ||||
| ||||
Dylan E. Taylor (44) |
| Trustee(2) |
| 58 |
|
|
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||||
| ||||
OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: Trustee, Curian Variable Series Trust (10/2011 to present) | ||||
| ||||
Mark S. Wehrle (57) |
| Trustee(2) |
| 58 |
|
|
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||||
| ||||
OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: Trustee, Curian Variable Series Trust (07/2013 to present) | ||||
| ||||
Scot T. Wetzel (45) |
| Trustee(2) |
| 58 |
|
|
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||||
| ||||
OTHER DIRECTORSHIPS HELD BY TRUSTEE DURING PAST 5 YEARS: Trustee, Curian Variable Series Trust (10/2011 to present); Inside Director of United Western Bancorp, Inc. (12/2005 to 4/2010) |
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
NAME, ADDRESS AND (AGE) |
| POSITION(S) HELD |
Officers |
|
|
|
|
|
Emily Bennett (31) |
| Assistant Secretary |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Karen J. Buiter, CPA (49) |
| Assistant Treasurer |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Angela Burke (31) |
| Assistant Secretary |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Kelly L. Crosser (41) |
| Assistant Secretary |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Lewis Dellarco, Jr. (56) |
| Anti-Money Laundering Officer |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Diana R. Gonzalez (36) |
| Assistant Vice President |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: |
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
NAME, ADDRESS AND (AGE) |
| POSITION(S) HELD |
Officers |
|
|
|
|
|
William P. Harding (40) |
| Vice President |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Daniel W. Koors, CPA (44) |
| Treasurer and Chief Financial Officer |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Mark D. Nerud (48) |
| President and Chief Executive Officer |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Joseph O’Boyle (51) |
| Chief Compliance Officer |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Gerard A. M. Oprins, CPA (55) |
| Vice President |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: |
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
NAME, ADDRESS AND (AGE) |
| POSITION(S) HELD |
Officers |
|
|
|
|
|
Michael Piszczek, CPA (57) |
| Vice President |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: | ||
| ||
Susan S. Rhee (42) |
| Vice President, Chief Legal Officer & Secretary |
|
|
|
PRINCIPAL OCCUPATION(S) DURING PAST 5 YEARS: |
The Statement of Additional Information includes additional information about Fund Trustees and may be obtained at no charge by calling 1-877-847-4143 (Curian Care Center), or writing the Curian Care Center, 7601 Technology Way, Denver, Colorado 80237 or by visiting www.curianclearing.com.
TRUSTEES AND OFFICERS OF CURIAN SERIES TRUST (“TRUST”)
The Independent Trustees received the following compensation for their services during the fiscal year ended October 31, 2014:
TRUSTEE |
| AGGREGATE |
| PENSION OR RETIREMENT |
| ESTIMATED ANNUAL |
| TOTAL |
| ||||
David W. Agostine |
| $ | 39,200 |
| $ | 0 |
| $ | 0 |
| $ | 183,500 |
|
Gregory P. Contillo |
| $ | 35,450 |
| $ | 0 |
| $ | 0 |
| $ | 166,000 |
|
Dylan E. Taylor |
| $ | 32,638 |
| $ | 0 |
| $ | 0 |
| $ | 152,250 |
|
Mark S. Wehrle |
| $ | 35,923 |
| $ | 0 |
| $ | 0 |
| $ | 168,250 | (2) |
Scot T. Wetzel |
| $ | 33,875 |
| $ | 0 |
| $ | 0 |
| $ | 158,500 | (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 $828,500. |
(2) | Amount includes $33,650 deferred by Mr. Wehrle. |
(3) | Amount includes $28,500 deferred by Mr. Wetzel. |
Neither the Trust nor any of the other investment companies in the Fund Complex has adopted any plan providing pension or retirement benefits for Trustees.
SUPPLEMENT DATED SEPTEMBER 30, 2014
TO THE PROSPECTUS DATED FEBRUARY 28, 2014
CURIAN SERIES TRUST®
Please note that all changes are effective September 26, 2014, unless otherwise noted below.
For the Curian/PIMCO Total Return Fund, please remove all references to William H. Gross.
On page 8 of the prospectus for the Curian/PIMCO Total Return Fund, in the section entitled “Portfolio Managers,” please add the following:
Name: |
| Joined |
| Title: |
Mark R. Kiesel |
| September 2014 |
| Managing Director & Chief Investment Officer Global Credit, PIMCO |
Scott A. Mather |
| September 2014 |
| Managing Director & Chief Investment Officer U.S. Core Strategies, PIMCO |
Mihir P. Worah |
| September 2014 |
| Managing Director & Chief Investment Officer Return and Asset Allocation, PIMCO |
On page 18 of the prospectus for the Curian/PIMCO Total Return Fund, in the section entitled “The Sub-Adviser and Portfolio Management,” please add the following after the first paragraph:
Mark R. Kiesel is CIO Global Credit and a managing director in the Newport Beach office. He is a member of the PIMCO Investment Committee, a generalist portfolio manager and the global head of corporate bond portfolio management, with oversight for the firm’s investment grade, high yield, bank loan, municipal and insurance business as well as credit research. Morningstar named him Fixed-Income Fund Manager of the Year in 2012 and a finalist in 2010. He has written extensively on the topic of global credit markets, founded the firm’s Global Credit Perspectives publication and regularly appears in the financial media. He joined PIMCO in 1996 and previously served as PIMCO’s global head of investment grade corporate bonds and as a senior credit analyst. He has 22 years of investment experience and holds an MBA from the University of Chicago’s Graduate School of Business. He received his undergraduate degree from the University of Michigan.
Scott A. Mather is CIO U.S. Core Strategies and a managing director in the Newport Beach office and head of global portfolio management. Previously, he led portfolio management in Europe, managed euro and pan-European portfolios and worked closely with many Allianz-related companies. He also served as a managing director of Allianz Global Investors KAG. Prior to these roles, Mr. Mather co-headed PIMCO’s mortgage- and asset-backed securities team. Prior to joining PIMCO in 1998, he was a fixed income trader specializing in mortgage-backed securities at Goldman Sachs in New York. He has 20 years of investment experience and holds a master’s degree in engineering, as well as undergraduate degrees, from the University of Pennsylvania.
Mihir P. Worah is CIO Return and Asset Allocation, and a managing director in the Newport Beach office, a portfolio manager, and head of the real return and multi-asset portfolio management teams. Prior to joining PIMCO in 2001, he was a postdoctoral research associate at the University of California, Berkeley, and the Stanford Linear Accelerator Center, where he built models to explain the difference between matter and anti-matter. In 2012 he co-authored “Intelligent Commodity Indexing,” published by McGraw-Hill. He has 12 years of investment experience and holds a Ph.D. in theoretical physics from the University of Chicago.
This Supplement is dated September 30, 2014.
(To be used with Curian Series Trust Prospectus.)
IIS7279 09/14
Curian Capital, LLC
7601 Technology Way
Denver, CO 80237
WWW.CURIAN.COM | WWW.CURIANCLEARING.COM
IIS7476 11/14
Item 2. Code of Ethics.
As of the end of the period covered by this report, the registrant had adopted a code of ethics, as defined in Item 2 of Form N-CSR, applicable to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. There were no substantive amendments or any waivers to this code of ethics during the period covered by this report. A copy of this code of ethics is filed as exhibit 12(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The registrant has named David W. Agostine, Gregory P. Contillo, Dylan E. Taylor, Scot T. Wetzel, and Mark S. Wehrle as audit committee financial experts serving on its Audit Committee. Each of these individuals is “independent,” meaning that he is not an “interested person” of the registrant, as that term is defined in Section 2(a)(19) of the Investment Company Act of 1940, as amended, and is considered “independent” for purposes of this Item.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or Board of Trustees.
Item 4. Principal Accountant Fees and Services.
(a)-(d)
The administrator of the registrant is responsible for payment of all expenses associated with the annual audit and other required services of the independent registered accounting firm, and all expenses associated with the preparation and filing of the tax returns.
KPMG LLP (“KPMG”) was appointed by the Board of Trustees as the independent registered public accounting firm of the registrant for the fiscal years ended October 31, 2013 and October 31, 2014. The following table sets forth aggregate fees billed by KPMG for the respective period for professional services rendered to the registrant.
Fees for Services Rendered to the Registrant by the Principal Accountant
Fiscal Year |
| Audit Fees |
| Audit-Related Fees |
| Tax Fees |
| All Other Fees |
| ||||
2013 |
| $ | 64,825 |
| $ | 0 |
| $ | 11,903 |
| $ | 0 |
|
2014 |
| $ | 66,760 |
| $ | 0 |
| $ | 13,650 |
| $ | 0 |
|
Fees for Services Rendered to the Adviser Entities by the Principal Accountant
The following table sets forth the amount of fees that were billed by KPMG for the respective period to any entity controlling, controlled by, or under common control with the investment adviser that provided ongoing services to the registrant (“Adviser Entities”) that were directly related to the registrant’s operations and financial reporting.
Fiscal Year |
| Audit-Related Fees |
| Tax Fees |
| All Other Fees |
|
|
| |||
2013 |
| $ | 113,804 |
| $ | 0 |
| $ | 0 |
|
|
|
2014 |
| $ | 118,000 |
| $ | 0 |
| $ | 0 |
|
|
|
The above Audit-Related Fees are the aggregate fees billed to Adviser Entities for the performance of an attestation on the suitability of design and operating effectiveness of control pursuant to Statement on Standards for Attestation Engagements No. 16.
(e)(1) The Audit Committee is authorized to pre-approve non-audit services provided by the registrant’s auditors, if they find it appropriate in light of their fiduciary duties and in the exercise of their good faith business judgment and compatible with the auditors’ independence. The Chairman of the Audit Committee is authorized to approve audit and non-audit services for newly established Funds of the registrant on the same terms as the full Audit Committee previously had approved for the then existing Funds.
(e)(2) 0%
(f) Not applicable.
(g) The aggregate fees billed for all non-audit fees to the registrant and Adviser Entities for the period ended October 31, 2013, was $222,707 and for the period ended October 31, 2014 was $ 204,650.
(h) For the fiscal years ended October 31, 2013 and October 31, 2014, the Audit Committee of the registrant’s Board of Trustees considered the provision of non-audit services that were rendered to the Adviser Entities that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, and concluded that such services were compatible with maintaining KPMG’s independence.
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) Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 (as defined in Item 2(b) of Form N-CSR) is attached hereto. |
|
| (2) The certifications required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended, are attached hereto. |
|
| (3) Not applicable. |
|
|
|
(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 |
| |
|
| |
|
|
|
By: | /s/ Mark D. Nerud |
|
| Mark D. Nerud |
|
| Principal Executive Officer |
|
|
|
|
Date: | December 30, 2014 |
|
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/ Mark D. Nerud |
|
| Mark D. Nerud |
|
| Principal Executive Officer |
|
|
|
|
Date: | December 30, 2014 |
|
|
|
|
|
|
|
By: | /s/ Daniel W. Koors |
|
| Daniel W. Koors |
|
| Principal Financial Officer |
|
|
|
|
Date: | December 30, 2014 |
|
EXHIBIT LIST
Exhibit 12(a)(1) |
| Registrant’s Code of Ethics pursuant to Section 406 of the Sarbanes-Oxley Act of 2002. |
|
|
|
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. |
|
|
|
|
| Certification of the Principal Financial Officer required by Rule 30a-2(a) under the Investment Company Act of 1940, as amended. |
|
|
|
Exhibit 12(b) |
| Certification required by Rule 30a-2(b) under the Investment Company Act of 1940, as amended. |