As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, including redemption/exchange fees; and (2) ongoing costs, including management fees; to the extent applicable, distribution (12b-1) fees and/or shareholder services fees; and other Fund expenses. This Example is intended to help you to understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. It is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from March 1, 2006 to August 31, 2006.
The first section of the table below provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you incurred over the period. Simply divide your 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 attributable to your investment during this period.
The second section of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund's actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund's actual return. Thus, you should not use the hypothetical account values and expenses to estimate the actual ending account balance or your expenses for the period. Rather, these figures are required to be provided to enable you to compare the ongoing costs of investing in the Fund with other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as redemption/exchange fees. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--93.8% | | | |
| | | Aerospace/Defense--1.6% | | | |
| $ | 575,000 | | Alliant Techsystems, Inc., Sr. Sub. Note, 6.75%, 4/1/2016
| | $ | 560,625 |
| 775,000 | 3 | Condor Systems, Inc., Sr. Sub. Note, Series B, 11.875%, 5/1/2009
| | | 542 |
| 675,000 | | DRS Technologies, Inc., Sr. Note, 6.625%, 2/1/2016
| | | 659,812 |
| 550,000 | | K&F Acquisition, Inc., Sr. Sub. Note, 7.75%, 11/15/2014
| | | 550,000 |
| 1,000,000 | | L-3 Communications Corp., Sr. Sub. Note, 6.125%, 1/15/2014
| | | 965,000 |
| 850,000 | | L-3 Communications Holdings, Inc., Sr. Sub. Note, 5.875%, 1/15/2015
| | | 807,500 |
| 575,000 | | L-3 Communications Holdings, Inc., Sr. Sub. Note, Series B, 6.375%, 10/15/2015
|
|
| 556,313
|
| | | TOTAL
|
|
| 4,099,792
|
| | | Automotive--5.7% | | | |
| 675,000 | | Advanced Accessory Systems LLC, Sr. Note, 10.75%, 6/15/2011
| | | 696,937 |
| 1,225,000 | | Cooper-Standard Automotive, Inc., Sr. Sub. Note, 8.375%, 12/15/2014
| | | 934,062 |
| 1,000,000 | | Ford Motor Co., Unsecd. Note, 7.45%, 7/16/2031
| | | 790,000 |
| 3,075,000 | | Ford Motor Credit Co., Note, 7.25%, 10/25/2011
| | | 2,941,849 |
| 400,000 | | Ford Motor Credit Co., Sr. Note, 9.875%, 8/10/2011
| | | 418,326 |
| 1,900,000 | | General Motors Acceptance Corp., 6.875%, 9/15/2011
| | | 1,873,225 |
| 2,325,000 | | General Motors Acceptance Corp., 8.00%, 11/1/2031
| | | 2,356,234 |
| 975,000 | | General Motors Corp., Bond, Series EMTN, 8.375%, 7/5/2033
| | | 1,069,310 |
| 875,000 | | Stanadyne Corp., Sr. Sub. Note, 10.00%, 8/15/2014
| | | 864,063 |
| 625,000 | | Stanadyne Holdings, Inc., Sr. Disc. Note, 2/15/2015
| | | 378,125 |
| 125,000 | | Stoneridge, Inc., Company Guarantee, 11.50%, 5/1/2012
| | | 122,188 |
| 275,000 | | TRW Automotive, Inc., Sr. Note, 9.375%, 2/15/2013
| | | 294,938 |
| 775,000 | | TRW Automotive, Inc., Sr. Sub. Note, 11.00%, 2/15/2013
| | | 846,688 |
| 525,000 | | Tenneco Automotive, Inc., Sr. Sub. Note, 8.625%, 11/15/2014
| | | 526,313 |
| 900,000 | | United Components, Inc., Sr. Sub. Note, 9.375%, 6/15/2013
|
|
| 882,000
|
| | | TOTAL
|
|
| 14,994,258
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Building Materials--2.1% | | | |
| $ | 425,000 | | Collins & Aikman Floorcoverings, Inc., Company Guarantee, 9.75%, 2/15/2010
| | $ | 419,687 |
| 825,000 | | ERICO International Corp., Sr. Sub. Note, 8.875%, 3/1/2012
| | | 849,750 |
| 341,000 | | Goodman Global Holdings, Inc., Floating Rate Note, Series B, 8.32938%, 6/15/2012
| | | 341,853 |
| 750,000 | | Goodman Global Holdings, Inc., Sr. Sub. Note, 7.875%, 12/15/2012
| | | 706,875 |
| 375,000 | | Norcraft Cos. LLC, Sr. Sub. Note, Series WI, 9.00%, 11/1/2011
| | | 378,750 |
| 1,425,000 | | Norcraft Holdings LP, Sr. Disc. Note, 0/9.75%, 9/1/2012
| | | 1,161,375 |
| 550,000 | | Nortek Holdings, Inc., Sr. Disc. Note, 0/10.75%, 3/1/2014
| | | 371,250 |
| 550,000 | | Nortek Holdings, Inc., Sr. Sub. Note, 8.50%, 9/1/2014
| | | 514,250 |
| 200,000 | | Texas Industries, Inc., Sr. Note, 7.25%, 7/15/2013
| | | 201,000 |
| 725,000 | | U.S. Concrete, Inc., Sr. Sub. Note, 8.375%, 4/1/2014
|
|
| 697,813
|
| | | TOTAL
|
|
| 5,642,603
|
| | | Chemicals--5.2% | | | |
| 525,000 | | Chemtura Corp., Sr. Note, 6.875%, 6/1/2016
| | | 510,562 |
| 1,525,000 | | Compass Minerals International, Inc., Sr. Disc. Note, 0/12.75%, 12/15/2012
| | | 1,483,062 |
| 1,793,000 | | Crystal US Holdings, Sr. Disc. Note, 10/1/2014
| | | 1,438,882 |
| 819,000 | | Crystal US Holdings, Sr. Sub. Note, 9.625%, 6/15/2014
| | | 891,686 |
| 850,000 | | Equistar Chemicals LP, Sr. Note, 10.125%, 9/1/2008
| | | 901,000 |
| 1,350,000 | | Hexion U.S. Finance Corp., Sr. Secd. Note, 9.00%, 7/15/2014
| | | 1,363,500 |
| 684,000 | | Huntsman ICI Chemicals LLC, Sr. Sub. Note, 10.125%, 7/1/2009
| | | 701,100 |
| 1,025,000 | 1,2 | Invista, Unit, 9.25%, 5/1/2012
| | | 1,081,375 |
| 503,000 | | Koppers, Inc., Sr. Secd. Note, 9.875%, 10/15/2013
| | | 547,013 |
| 751,000 | | Lyondell Chemical Co., Sr. Secd. Note, 9.50%, 12/15/2008
| | | 777,285 |
| 1,375,000 | | Nalco Co., Sr. Sub. Note, 8.875%, 11/15/2013
| | | 1,423,125 |
| 1,175,000 | 1,2 | Nell AF SARL, Sr. Note, 8.375%, 8/15/2015
| | | 1,182,344 |
| 550,000 | | PQ Corp., Sr. Sub. Note, Series WI, 7.50%, 2/15/2013
| | | 529,375 |
| 425,000 | | Union Carbide Corp., Deb., 7.50%, 6/1/2025
| | | 451,431 |
| 300,000 | | Union Carbide Corp., Sr. Deb., 7.875%, 4/1/2023
|
|
| 329,841
|
| | | TOTAL
|
|
| 13,611,581
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Construction Machinery--0.3% | | | |
| $ | 875,000 | | Case New Holland, Sr. Note, 9.25%, 8/1/2011
| | $ | 931,875 |
| 5,525,000 | 3 | Clark Material Handling Corp., Sr. Note, 10.75%, 11/15/2006
|
|
| 0
|
| | | TOTAL
|
|
| 931,875
|
| | | Consumer Products--5.5% | | | |
| 1,150,000 | | AAC Group Holding Corp., Sr. Disc. Note, 0/10.25%, 10/1/2012
| | | 928,625 |
| 1,075,000 | | Alltrista Corp., Unsecd. Note, 9.75%, 5/1/2012
| | | 1,118,000 |
| 250,000 | 1,2 | American Achievement Corp., Sr. PIK Deb., 12.75%, 10/1/2012
| | | 256,250 |
| 450,000 | | American Achievement Corp., Sr. Sub. Note, 8.25%, 4/1/2012
| | | 448,875 |
| 600,000 | | American Greetings Corp., Sr. Note, 7.375%, 6/1/2016
| | | 606,750 |
| 500,000 | | Ames True Temper, Inc., Sr. Sub. Note, 10.00%, 7/15/2012
| | | 427,500 |
| 750,000 | | Church and Dwight, Inc., Sr. Sub. Note, 6.00%, 12/15/2012
| | | 708,750 |
| 850,000 | 1,3 | Diamond Brands Operating Corp., Sr. Sub. Note, 10.125%, 4/15/2008
| | | 0 |
| 1,450,000 | 1,3 | Diamond Brands, Inc., Sr. Disc. Deb., 12.875%, 4/15/2009
| | | 0 |
| 2,700,000 | | Jostens Holding Corp., Discount Bond, 0/10.25%, 12/1/2013
| | | 2,193,750 |
| 875,000 | | Jostens IH Corp., Sr. Sub. Note, 7.625%, 10/1/2012
| | | 861,875 |
| 575,000 | | Leiner Health Products, Unsecd. Note, 11.00%, 6/1/2012
| | | 549,125 |
| 650,000 | 1,2 | Nutro Products, Inc., Sr. Sub. Note, 10.75%, 4/15/2014
| | | 689,000 |
| 1,125,000 | | Playtex Products, Inc., Company Guarantee, 9.375%, 6/1/2011
| | | 1,181,250 |
| 525,000 | | Sealy Mattress Co., Sr. Sub. Note, 8.25%, 6/15/2014
| | | 532,875 |
| 1,625,000 | | Spectrum Brands, Inc., Sr. Sub. Note, 7.375%, 2/1/2015
| | | 1,267,500 |
| 250,000 | 1,2 | Steinway Musical Instruments, Sr. Note, 7.00%, 3/1/2014
| | | 242,500 |
| 530,000 | | Tempur World, Sr. Sub. Note, 10.25%, 8/15/2010
| | | 557,825 |
| 1,300,000 | | True Temper Sports, Inc., Sr. Sub. Note, 8.375%, 9/15/2011
| | | 1,163,500 |
| 650,000 | 1,2 | Visant Holding Corp., Sr. Note, 8.75%, 12/1/2013
|
|
| 640,250
|
| | | TOTAL
|
|
| 14,374,200
|
| | | Diversified Manufacturing--0.2% | | | |
| 525,000 | 1,2 | Mobile Services Group, Inc./Mobile Storage Group, Inc., Sr. Note, 9.75%, 8/1/2014
|
|
| 535,500
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Energy--1.8% | | | |
| $ | 625,000 | 1,2 | Basic Energy Services, Inc., Sr. Note, 7.125%, 4/15/2016
| | $ | 601,562 |
| 1,000,000 | | Chesapeake Energy Corp., Company Guarantee, 6.875%, 11/15/2020
| | | 947,500 |
| 375,000 | | Chesapeake Energy Corp., Sr. Note, 7.50%, 9/15/2013
| | | 380,625 |
| 250,000 | | Grant Prideco, Inc., Sr. Unsecd. Note, Series B, 6.125%, 8/15/2015
| | | 238,750 |
| 400,000 | 1,2 | Hilcorp Energy I LP/Hilcorp Finance Co., Sr. Note, 9.00%, 6/1/2016
| | | 417,000 |
| 925,000 | | Pioneer Natural Resources, Inc., Bond, 6.875%, 5/1/2018
| | | 918,159 |
| 500,000 | | Range Resources Corp., Sr. Sub. Note, 6.375%, 3/15/2015
| | | 480,000 |
| 400,000 | | Range Resources Corp., Sr. Sub. Note, 7.375%, 7/15/2013
| | | 406,000 |
| 450,000 | | Range Resources Corp., Sr. Sub. Note, 7.50%, 5/15/2016
|
|
| 455,625
|
| | | TOTAL
|
|
| 4,845,221
|
| | | Entertainment--2.0% | | | |
| 525,000 | | AMC Entertainment, Inc., Sr. Sub. Note, 9.875%, 2/1/2012
| | | 539,437 |
| 375,000 | | Cinemark USA, Sr. Sub. Note, 9.00%, 2/1/2013
| | | 390,000 |
| 1,725,000 | | Cinemark, Inc., Sr. Disc. Note, 0/9.75%, 3/15/2014
| | | 1,354,125 |
| 650,000 | 1,2 | Hard Rock Park Operations LLC, Sr. Secd. Note, 9.81813%, 4/1/2012
| | | 650,000 |
| 900,000 | | Intrawest Corp., Sr. Note, 7.50%, 10/15/2013
| | | 958,500 |
| 1,300,000 | | Universal City Development Partners Ltd., Sr. Note, 11.75%, 4/1/2010
|
|
| 1,413,750
|
| | | TOTAL
|
|
| 5,305,812
|
| | | Environmental--0.7% | | | |
| 1,350,000 | 1,2 | Allied Waste North America, Inc., Note, 7.125%, 5/15/2016
| | | 1,319,625 |
| 488,000 | | Clean Harbors, Inc., Sr. Secd. Note, 11.25%, 7/15/2012
|
|
| 551,440
|
| | | TOTAL
|
|
| 1,871,065
|
| | | Financial Institutions--0.4% | | | |
| 1,025,000 | | American Real Estate Partners LP Finance, Sr. Note, 7.125%, 2/15/2013
|
|
| 1,030,125
|
| | | Food & Beverage--4.6% | | | |
| 1,800,000 | | ASG Consolidated LLC, Sr. Disc. Note, 0/11.50%, 11/1/2011
| | | 1,570,500 |
| 544,000 | | Agrilink Foods, Inc., Company Guarantee, 11.875%, 11/1/2008
| | | 550,800 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Food & Beverage--continued | | | |
| $ | 675,000 | | B&G Foods Holdings Corp., Sr. Note, 8.00%, 10/1/2011
| | $ | 688,500 |
| 675,000 | | Constellation Brands, Inc., Sr. Note, 7.25%, 9/1/2016
| | | 681,750 |
| 550,000 | | Cott Beverages, Inc., Company Guarantee, 8.00%, 12/15/2011
| | | 559,625 |
| 1,550,000 | | Del Monte Corp., Sr. Sub. Note, 6.75%, 2/15/2015
| | | 1,480,250 |
| 425,000 | | Eagle Family Foods, Inc., Sr. Sub. Note, 8.75%, 1/15/2008
| | | 325,125 |
| 900,000 | 1,2 | Eurofresh, Inc., Sr. Note, 11.50%, 1/15/2013
| | | 882,000 |
| 1,075,000 | | Michael Foods, Inc., Sr. Sub. Note, 8.00%, 11/15/2013
| | | 1,101,875 |
| 925,000 | | Pierre Foods, Inc., Sr. Sub. Note, 9.875%, 7/15/2012
| | | 938,875 |
| 600,000 | | Pilgrim's Pride Corp., Sr. Sub. Note, 9.25%, 11/15/2013
| | | 606,000 |
| 1,450,000 | | Reddy Ice Group, Inc., Sr. Disc. Note, 0/10.50%, 11/1/2012
| | | 1,254,250 |
| 1,300,000 | | Smithfield Foods, Inc., Note, 7.75%, 5/15/2013
|
|
| 1,335,750
|
| | | TOTAL
|
|
| 11,975,300
|
| | | Gaming--5.5% | | | |
| 850,000 | | 155 East Tropicana LLC, Sr. Secd. Note, 8.75%, 4/1/2012
| | | 697,000 |
| 950,000 | | Boyd Gaming Corp., Sr. Sub. Note, 8.75%, 4/15/2012
| | | 1,001,062 |
| 1,000,000 | 1,2 | Galaxy Entertainment Finance Co. Ltd., Company Guarantee, 9.875%, 12/15/2012
| | | 1,052,500 |
| 350,000 | | Herbst Gaming, Inc., Sr. Sub. Note, 7.00%, 11/15/2014
| | | 338,625 |
| 575,000 | 1,2 | Jacobs Entertainment, Inc., Sr. Note, 9.75%, 6/15/2014
| | | 577,156 |
| 800,000 | | Kerzner International Ltd., Sr. Sub. Note, 6.75%, 10/1/2015
| | | 860,000 |
| 1,200,000 | | MGM Mirage, Sr. Note, 5.875%, 2/27/2014
| | | 1,101,000 |
| 800,000 | | MGM Mirage, Sr. Note, 6.625%, 7/15/2015
| | | 757,000 |
| 1,000,000 | | MTR Gaming Group, Inc., Company Guarantee, Series B, 9.75%, 4/1/2010
| | | 1,056,250 |
| 200,000 | 1,2 | MTR Gaming Group, Inc., Sr. Sub. Note, 9.00%, 6/1/2012
| | | 202,500 |
| 475,000 | | Magna Entertainment Corp., Conv. Note, 7.25%, 12/15/2009
| | | 446,830 |
| 2,000,000 | | Mandalay Resort Group, Sr. Sub. Note, 10.25%, 8/1/2007
| | | 2,080,000 |
| 900,000 | | Park Place Entertainment Corp., Sr. Sub. Note, 7.875%, 3/15/2010
| | | 942,750 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Gaming--continued | | | |
| $ | 950,000 | | Park Place Entertainment Corp., Sr. Sub. Note, 8.125%, 5/15/2011
| | $ | 1,004,625 |
| 225,000 | 1,2 | San Pasqual Casino Development Group, Inc., Sr. Note, 8.00%, 9/15/2013
| | | 227,531 |
| 925,000 | | Station Casinos, Inc., Sr. Note, 6.00%, 4/1/2012
| | | 889,156 |
| 700,000 | | Station Casinos, Inc., Sr. Note, 7.75%, 8/15/2016
| | | 725,375 |
| 575,000 | 1,2 | Tunica-Biloxi Gaming Authority, Sr. Unsecd. Note, 9.00%, 11/15/2015
|
|
| 593,688
|
| | | TOTAL
|
|
| 14,553,048
|
| | | Health Care--6.9% | | | |
| 525,000 | | AMR Holding Co./Emcare Holding Co., Sr. Sub. Note, 10.00%, 2/15/2015
| | | 561,750 |
| 850,000 | | Accellent, Inc., Sr. Sub., 10.50%, 12/1/2013
| | | 881,875 |
| 1,700,000 | | AmeriPath, Inc., Company Guarantee, 10.50%, 4/1/2013
| | | 1,806,250 |
| 525,000 | | Bio Rad Laboratories, Inc., Sr. Sub. Note, 6.125%, 12/15/2014
| | | 490,875 |
| 2,950,000 | | CDRV Investors, Inc., Sr. Disc. Note, 0/9.625%, 1/1/2015
| | | 2,138,750 |
| 775,000 | 1,2 | CRC Health Corp., Sr. Sub. Note, 10.75%, 2/1/2016
| | | 794,375 |
| 775,000 | | Concentra Operating Corp., Sr. Sub. Note, 9.50%, 8/15/2010
| | | 809,875 |
| 1,150,000 | | Fisher Scientific International, Inc., Sr. Sub. Note, 6.125%, 7/1/2015
| | | 1,142,812 |
| 1,125,000 | | HCA, Inc., Note, 8.75%, 9/1/2010
| | | 1,136,250 |
| 725,000 | | HCA, Inc., Sr. Note, 6.375%, 1/15/2015
| | | 578,188 |
| 1,575,000 | | HCA, Inc., Sr. Note, 6.75%, 7/15/2013
| | | 1,323,000 |
| 1,225,000 | | HCA, Inc., Sr. Note, 7.50%, 11/6/2033
| | | 937,125 |
| 825,000 | 1,2 | National Mentor, Inc., Sr. Sub. Note, 11.25%, 7/1/2014
| | | 853,875 |
| 975,000 | | Omnicare, Inc., Sr. Sub. Note, 6.875%, 12/15/2015
| | | 937,219 |
| 600,000 | | Psychiatric Solutions, Inc., Sr. Sub. Note, 7.75%, 7/15/2015
| | | 582,000 |
| 575,000 | | VWR International, Inc., Sr. Sub. Note, 8.00%, 4/15/2014
| | | 572,125 |
| 725,000 | | Vanguard Health Holdings II, Sr. Sub. Note, 9.00%, 10/1/2014
| | | 706,875 |
| 450,000 | | Ventas Realty LP, Sr. Note, 6.50%, 6/1/2016
| | | 445,500 |
| 900,000 | | Ventas Realty LP, Sr. Note, 6.625%, 10/15/2014
| | | 913,500 |
| 425,000 | | Ventas Realty LP, Sr. Note, 7.125%, 6/1/2015
|
|
| 437,219
|
| | | TOTAL
|
|
| 18,049,438
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Industrial - Other--5.6% | | | |
| $ | 1,375,000 | | ALH Finance LLC/ALH Finance Corp., Sr. Sub. Note, 8.50%, 1/15/2013
| | $ | 1,350,937 |
| 525,000 | | American Tire Distributors, Inc., Sr. Note, 10.75%, 4/1/2013
| | | 481,687 |
| 600,000 | 1,2 | Amsted Industries, Inc., Sr. Note, 10.25%, 10/15/2011
| | | 651,000 |
| 1,475,000 | | Brand Services, Inc., Company Guarantee, 12.00%, 10/15/2012
| | | 1,664,065 |
| 675,000 | | Da-Lite Screen Co., Inc., Sr. Note, 9.50%, 5/15/2011
| | | 712,125 |
| 725,000 | | Hawk Corp., Sr. Note, 8.75%, 11/1/2014
| | | 728,625 |
| 575,000 | 1,2 | Interline Brands, Inc., Sr. Sub. Note, 8.125%, 6/15/2014
| | | 582,188 |
| 1,450,000 | 1,2 | Knowledge Learning Corp., Sr. Sub. Note, 7.75%, 2/1/2015
| | | 1,352,125 |
| 504,000 | | Mueller Group, Inc., Sr. Sub. Note, 10.00%, 5/1/2012
| | | 551,880 |
| 1,275,000 | 1,2 | Neenah Corp., Sr. Secd. Note, 11.00%, 9/30/2010
| | | 1,383,375 |
| 900,000 | | Norcross Safety Products, Sr. Sub. Note, Series B, 9.875%, 8/15/2011
| | | 949,500 |
| 875,000 | 1,2 | Panolam Industries International, Inc., Sr. Sub. Note, 10.75%, 10/1/2013
| | | 853,125 |
| 1,114,240 | | Safety Products Holdings, Inc., Sr. Note, Series B, 11.75%, 1/1/2012
| | | 1,175,523 |
| 725,000 | | Sensus Metering Systems, Inc., Sr. Sub. Note, 8.625%, 12/15/2013
| | | 712,313 |
| 950,000 | | Superior Essex Communications LLC, Sr. Note, 9.00%, 4/15/2012
| | | 969,000 |
| 550,000 | | Valmont Industries, Inc., Sr. Sub. Note, 6.875%, 5/1/2014
|
|
| 544,500
|
| | | TOTAL
|
|
| 14,661,968
|
| | | Lodging--1.8% | | | |
| 575,000 | | Gaylord Entertainment Co., Sr. Note, 6.75%, 11/15/2014
| | | 549,125 |
| 1,500,000 | 1,2 | Grupo Posadas SA de C.V., Sr. Note, 8.75%, 10/4/2011
| | | 1,575,000 |
| 800,000 | | Host Marriott LP, Company Guarantee, 6.375%, 3/15/2015
| | | 772,000 |
| 425,000 | | Host Marriott LP, Note, Series Q, 6.75%, 6/1/2016
| | | 414,375 |
| 500,000 | | Lodgenet Entertainment, Sr. Sub. Note, 9.50%, 6/15/2013
| | | 538,750 |
| 275,000 | | Royal Caribbean Cruises Ltd., Sr. Note, 7.25%, 6/15/2016
| | | 276,693 |
| 625,000 | | Royal Caribbean Cruises Ltd., Sr. Note, 8.00%, 5/15/2010
|
|
| 661,438
|
| | | TOTAL
|
|
| 4,787,381
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Media - Cable--2.8% | | | |
| $ | 252,000 | | CCH I Holdings LLC, Sr. Disc. Note, 9.92%, 4/1/2014
| | $ | 165,690 |
| 584,000 | | CCH I LLC, Sr. Disc. Note, 11.00%, 10/1/2015
| | | 521,220 |
| 900,000 | | CSC Holdings, Inc., Sr. Note, 7.25%, 7/15/2008
| | | 914,625 |
| 1,050,000 | | CSC Holdings, Inc., Sr. Note, 7.875%, 12/15/2007
| | | 1,072,312 |
| 2,050,000 | | Charter Communications Holdings II, Sr. Note, 10.25%, 9/15/2010
| | | 2,085,875 |
| 1,275,000 | 1,2 | Kabel Deutschland GMBH Industrial, Company Guarantee, Series 144A, 10.75%, 7/1/2014
| | | 1,817,231 |
| 500,000 | 1,2 | Unity Media Gmbh, Sr. Note, 10.375%, 2/15/2015
| | | 462,500 |
| 225,000 | | Videotron Ltee, Sr. Note, 6.375%, 12/15/2015
|
|
| 211,781
|
| | | TOTAL
|
|
| 7,251,234
|
| | | Media - Non-Cable--10.2% | | | |
| 275,000 | | Advanstar Communications, Company Guarantee, Series B, 12.00%, 2/15/2011
| | | 288,750 |
| 875,000 | | Advanstar, Inc., Company Guarantee, Series B, 15.00%, 10/15/2011
| | | 916,562 |
| 985,198 | | Affinity Group Holding, Inc., Sr. Note, 10.875%, 2/15/2012
| | | 940,864 |
| 400,000 | | Affinity Group, Inc., Sr. Sub. Note, 9.00%, 2/15/2012
| | | 402,000 |
| 825,000 | 1,2 | Baker & Taylor Acquisition Corp., Sr. Secd. Note, 11.50%, 7/1/2013
| | | 825,000 |
| 1,175,000 | | CBD Media Holdings, Sr. Note, 9.25%, 7/15/2012
| | | 1,157,375 |
| 325,000 | | CBD Media LLC, Sr. Sub. Note, 8.625%, 6/1/2011
| | | 320,125 |
| 100,000 | | DIRECTV Holdings LLC, Sr. Note, 6.375%, 6/15/2015
| | | 94,000 |
| 1,170,000 | | DIRECTV Holdings LLC, Sr. Note, 8.375%, 3/15/2013
| | | 1,234,350 |
| 2,134,000 | | Dex Media West LLC, Sr. Sub. Note, Series B, 9.875%, 8/15/2013
| | | 2,302,052 |
| 325,000 | | Dex Media, Inc., Discount Bond, 0/9.00%, 11/15/2013
| | | 272,187 |
| 1,325,000 | | Echostar DBS Corp., Sr. Note, 6.375%, 10/1/2011
| | | 1,293,531 |
| 700,000 | | Houghton Mifflin Co., Sr. Disc. Note, 0/11.50%, 10/15/2013
| | | 589,750 |
| 2,650,000 | 1,2 | Intelsat Bermuda Ltd., Sr. Note, 11.25%, 6/15/2016
| | | 2,759,313 |
| 1,150,000 | 1,2 | Intelsat Intermediate Holding Co. Ltd., Sr. Disc. Note, 0/9.25%, 2/1/2015
| | | 793,500 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Media - Non-Cable--continued | | | |
| $ | 675,000 | | Intelsat Subsidiary Holding Co. Ltd., Sr. Note, 8.625%, 1/15/2015
| | $ | 685,125 |
| 975,000 | | Lamar Media Corp., Sr. Sub. Note, 6.625%, 8/15/2015
| | | 918,938 |
| 400,000 | 1,2 | Lamar Media Corp., Sr. Sub. Note, 6.625%, 8/15/2015
| | | 377,000 |
| 950,000 | | NBC Acquisition Corp., Sr. Disc. Note, 0/11.00%, 3/15/2013
| | | 705,375 |
| 525,000 | | Nebraska Book Co., Inc., Sr. Sub. Note, 8.625%, 3/15/2012
| | | 481,688 |
| 325,000 | 1,2 | Nielsen Finance LLC/Nielsen Finance Co., Sr. Note, 10.00%, 8/1/2014
| | | 334,344 |
| 825,000 | | PanAmSat Corp., Sr. Note, 9.00%, 8/15/2014
| | | 843,563 |
| 350,000 | | Quebecor Media, Inc., Sr. Unsecd. Note, Series WI, 7.75%, 3/15/2016
| | | 348,250 |
| 350,000 | | R.H. Donnelly Finance Corp., Sr. Sub. Note, 10.875%, 12/15/2012
| | | 385,000 |
| 800,000 | | R.H. Donnelley Corp., Sr. Disc. Note, Series A-2, 6.875%, 1/15/2013
| | | 722,000 |
| 450,000 | | R.H. Donnelley Corp., Sr. Disc. Note, Series W1, 6.875%, 1/15/2013
| | | 406,125 |
| 850,000 | | R.H. Donnelley Corp., Sr. Note, Series A-3, 8.875%, 1/15/2016
| | | 841,500 |
| 850,000 | 1,2 | Rainbow National Services LLC, Sr. Sub. Note, 10.375%, 9/1/2014
| | | 950,938 |
| 350,000 | | Readers Digest Association, Inc., Sr. Note, Series 144A, 6.50%, 3/1/2011
| | | 336,875 |
| 550,000 | | Sirius Satellite Radio, Inc., Sr. Unsecd. Note, 9.625%, 8/1/2013
| | | 525,250 |
| 800,000 | | Southern Graphics Systems, Inc., Sr. Sub. Note, Series WI, 12.00%, 12/15/2013
| | | 808,595 |
| 1,150,000 | 1,2 | WDAC Subsidiary Corp., Sr. Note, Series 144A, 8.50%, 12/1/2014
| | | 1,478,847 |
| 1,200,000 | 1,2 | XM Satellite Radio, Inc., Sr. Note, 9.75%, 5/1/2014
| | | 1,134,000 |
| 459,485 | | Ziff Davis Media, Inc., Company Guarantee, Series, 12.00%, 8/12/2009
|
|
| 271,096
|
| | | TOTAL
|
|
| 26,743,868
|
| | | Metals & Mining--0.6% | | | |
| 925,000 | 1,2 | Novelis, Inc., Sr. Note, 8.00%, 2/15/2015
| | | 883,375 |
| 550,000 | | United States Steel Corp., Sr. Note, 9.75%, 5/15/2010
|
|
| 587,125
|
| | | TOTAL
|
|
| 1,470,500
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Packaging--2.6% | | | |
| $ | 825,000 | | Ball Corp., Sr. Note, 6.625%, 3/15/2018
| | $ | 796,125 |
| 1,125,000 | | Berry Plastics Corp., Company Guarantee, 10.75%, 7/15/2012
| | | 1,231,875 |
| 1,050,000 | 1,2 | Covalence Specialty Materials Corp., Sr. Sub. Note, 10.25%, 3/1/2016
| | | 1,013,250 |
| 1,075,000 | | Crown Americas LLC, Sr. Note, 7.75%, 11/15/2015
| | | 1,085,750 |
| 775,000 | | Greif Brothers Corp., Sr. Sub. Note, 8.875%, 8/1/2012
| | | 817,625 |
| 1,475,000 | | Owens-Illinois, Inc., Sr. Note, 7.35%, 5/15/2008
| | | 1,482,375 |
| 400,000 | 1,2 | Plastipak Holdings, Sr. Note, 8.50%, 12/15/2015
| | | 400,000 |
| 411,058 | 1,3 | Russell Stanley Holdings, Inc., Sr. Sub. Note, 9.00%, 11/30/2008
|
|
| 114,356
|
| | | TOTAL
|
|
| 6,941,356
|
| | | Paper--2.4% | | | |
| 725,000 | | Abitibi-Consolidated, Inc., Sr. Note, 8.375%, 4/1/2015
| | | 663,375 |
| 1,350,000 | | Graphic Packaging International Corp., Sr. Sub. Note, 9.50%, 8/15/2013
| | | 1,363,500 |
| 570,048 | 1,2 | JSG Holding PLC, Sr. Note, 11.50%, 10/1/2015
| | | 752,226 |
| 700,000 | | Jefferson Smurfit Corp., Company Guarantee, 8.25%, 10/1/2012
| | | 666,750 |
| 725,000 | | MDP Acquisitions PLC, 9.625%, 10/1/2012
| | | 760,344 |
| 900,000 | | Mercer International, Inc., 9.25%, 2/15/2013
| | | 810,000 |
| 1,100,000 | | NewPage Corp., Sr. Sub. Note, 12.00%, 5/1/2013
| | | 1,141,250 |
| 375,000 | | Tembec Industries, Inc., 8.50%, 2/1/2011
|
|
| 194,063
|
| | | TOTAL
|
|
| 6,351,508
|
| | | Restaurants--0.7% | | | |
| 400,000 | 1,2 | Dave & Buster's, Inc., Sr. Note, 11.25%, 3/15/2014
| | | 374,000 |
| 525,000 | 1,2 | El Pollo Loco, Inc., Sr. Note, 11.75%, 11/15/2013
| | | 589,312 |
| 825,000 | | Landry's Seafood Restaurants, Inc., Sr. Note, Series B, 7.50%, 12/15/2014
|
|
| 783,750
|
| | | TOTAL
|
|
| 1,747,062
|
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Retailers--1.5% | | | |
| $ | 250,000 | 1,2 | AutoNation, Inc., Floating Rate Note - Sr. Note, 7.50688%, 4/15/2013
| | $ | 252,500 |
| 250,000 | 1,2 | AutoNation, Inc., Sr. Note, 7.00%, 4/15/2014
| | | 247,812 |
| 1,200,000 | | Couche-Tard Financing Corp., Sr. Sub. Note, 7.50%, 12/15/2013
| | | 1,218,000 |
| 1,191,000 | | FTD, Inc., Sr. Sub. Note, 7.75%, 2/15/2014
| | | 1,167,180 |
| 375,000 | | General Nutrition Center, Sr. Sub. Note, 8.50%, 12/1/2010
| | | 360,000 |
| 693,000 | | Penney (J.C.) Co., Inc., Note, 9.00%, 8/1/2012
|
|
| 803,387
|
| | | TOTAL
|
|
| 4,048,879
|
| | | Services--1.3% | | | |
| 325,000 | | CB Richard Ellis Services, Inc., Sr. Note, 9.75%, 5/15/2010
| | | 348,562 |
| 925,000 | 1,2 | Education Management LLC, Sr. Sub. Note, 10.25%, 6/1/2016
| | | 920,375 |
| 625,000 | | Global Cash Access LLC, Sr. Sub. Note, 8.75%, 3/15/2012
| | | 657,031 |
| 875,000 | | Insurance Automotive Auctions, Inc., Sr. Note, 11.00%, 4/1/2013
| | | 875,000 |
| 650,000 | 1,2 | Payment Holdings, Inc., Sr. Sub. Note, 9.75%, 5/15/2014
|
|
| 661,375
|
| | | TOTAL
|
|
| 3,462,343
|
| | | Technology--3.9% | | | |
| 575,000 | 1,2 | Activant Solutions, Inc., Sr. Sub. Note, 9.50%, 5/1/2016
| | | 541,937 |
| 475,000 | | Danka Business Systems PLC, Sr. Note, 11.00%, 6/15/2010
| | | 415,625 |
| 700,000 | | Freescale Semiconductor, Inc., Sr. Note, 7.125%, 7/15/2014
| | | 724,500 |
| 475,000 | | MagnaChip Semiconductor S.A., Sr. Sub. Note, 8.00%, 12/15/2014
| | | 306,375 |
| 525,000 | 1,2 | SERENA Software, Inc., Sr. Sub. Note, 10.375%, 3/15/2016
| | | 538,125 |
| 825,000 | 1,2 | SS&C Technologies, Inc., Sr. Sub. Note, 11.75%, 12/1/2013
| | | 866,250 |
| 422,000 | | Smart Modular Technologies, Inc., Sr. Secd. Note, 11.00813%, 4/1/2012
| | | 446,793 |
| 1,250,000 | | SunGard Data Systems, Inc., Sr. Note, Series WI, 9.125%, 8/15/2013
| | | 1,296,875 |
| 875,000 | | SunGard Data Systems, Inc., Sr. Sub. Note, Series WI, 10.25%, 8/15/2015
| | | 897,969 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Technology--continued | | | |
| $ | 475,000 | | Telex Communications, Inc., Sr. Secd. Note, 11.50%, 10/15/2008
| | $ | 508,250 |
| 1,425,000 | | UGS Corp., Sr. Sub. Note, 10.00%, 6/1/2012
| | | 1,539,000 |
| 1,450,000 | | Xerox Corp., Sr. Note, 9.75%, 1/15/2009
| | | 1,573,250 |
| 350,000 | | Xerox Corp., Sr. Unsecd. Note, 6.40%, 3/15/2016
| | | 348,284 |
| 275,000 | | Xerox Corp., Sr. Unsecd. Note, 6.75%, 2/1/2017
|
|
| 277,063
|
| | | TOTAL
|
|
| 10,280,296
|
| | | Textile--0.3% | | | |
| 675,000 | | Warnaco Group, Inc., Sr. Note, 8.875%, 6/15/2013
|
|
| 693,563
|
| | | Tobacco--0.5% | | | |
| 1,225,000 | 1,2 | Reynolds American, Inc., Sr. Secd. Note, 7.75%, 6/1/2018
|
|
| 1,283,595
|
| | | Transportation--1.5% | | | |
| 4,950,000 | 3 | AmeriTruck Distribution Corp., Sr. Sub. Note, 12.25%, 11/15/2049
| | | 0 |
| 725,000 | 1,2 | Hertz Corp., Sr. Note, 8.875%, 1/1/2014
| | | 755,813 |
| 1,150,000 | 1,2 | Hertz Corp., Sr. Sub. Note, 10.50%, 1/1/2016
| | | 1,244,875 |
| 175,000 | | Stena AB, Sr. Note, 7.00%, 12/1/2016
| | | 165,375 |
| 1,600,000 | | Stena AB, Sr. Note, 9.625%, 12/1/2012
| | | 1,712,000 |
| 3,125,000 | 3 | The Holt Group, Inc., Company Guarantee, 9.75%, 1/15/2011
|
|
| 0
|
| | | TOTAL
|
|
| 3,878,063
|
| | | Utility - Electric--3.9% | | | |
| 250,000 | | CMS Energy Corp., Sr. Note, 6.875%, 12/15/2015
| | | 251,875 |
| 225,000 | | CMS Energy Corp., Sr. Note, 7.50%, 1/15/2009
| | | 232,312 |
| 1,350,000 | 1,2 | Edison Mission Energy, Sr. Note, 7.75%, 6/15/2016
| | | 1,356,750 |
| 725,000 | | Edison Mission Holding Co., Sr. Note, 7.73%, 6/15/2009
| | | 744,937 |
| 400,308 | 1,2 | FPL Energy National Wind, Note, 6.125%, 3/25/2019
| | | 396,067 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Utility - Electric--continued | | | |
| $ | 325,000 | | NRG Energy, Inc., Sr. Note, 7.25%, 2/1/2014
| | $ | 321,750 |
| 1,500,000 | | NRG Energy, Inc., Sr. Note, 7.375%, 2/1/2016
| | | 1,481,250 |
| 125,000 | | Nevada Power Co., Mtg. Note, 6.50%, 4/15/2012
| | | 128,715 |
| 1,072,000 | | Nevada Power Co., Mtg. Note, 9.00%, 8/15/2013
| | | 1,173,924 |
| 375,000 | | Nevada Power Co., Mtg. Note, Series L, 5.875%, 1/15/2015
| | | 372,561 |
| 475,000 | 1,2 | Nevada Power Co., Second Mortgage Notes, Series O, 6.50%, 5/15/2018
| | | 488,214 |
| 300,000 | | Northwestern Corp., Note, 5.875%, 11/1/2014
| | | 299,444 |
| 1,850,000 | | PSEG Energy Holdings, Sr. Note, 10.00%, 10/1/2009
| | | 2,007,250 |
| 625,000 | | Sierra Pacific Resources, Sr. Note, Series WI, 6.75%, 8/15/2017
| | | 618,573 |
| 275,000 | | TECO Energy, Inc., Sr. Note, 6.75%, 5/1/2015
|
|
| 275,344
|
| | | TOTAL
|
|
| 10,148,966
|
| | | Utility - Natural Gas--5.5% | | | |
| 575,000 | | AmeriGas Partners LP, Sr. Note, 7.125%, 5/20/2016
| | | 562,062 |
| 875,000 | | El Paso Corp., Sr. Note, 7.80%, 8/1/2031
| | | 881,562 |
| 1,950,000 | | El Paso Production Holding Co., Company Guarantee, 7.75%, 6/1/2013
| | | 1,989,000 |
| 1,350,000 | | Holly Energy Partners LP, Sr. Note, 6.25%, 3/1/2015
| | | 1,252,125 |
| 775,000 | | Inergy LP, Sr. Note, 6.875%, 12/15/2014
| | | 738,188 |
| 200,000 | | Pacific Energy Partners LP, Sr. Note, 6.25%, 9/15/2015
| | | 196,500 |
| 750,000 | | Pacific Energy Partners LP, Sr. Note, 7.125%, 6/15/2014
| | | 761,250 |
| 825,000 | 1,2 | SemGroup LP, Sr. Note, 8.75%, 11/15/2015
| | | 843,563 |
| 800,000 | | Semco Energy, Inc., Sr. Note, 7.125%, 5/15/2008
| | | 793,068 |
| 200,000 | 1,2 | Southern Star Central Corp., Sr. Note, 6.75%, 3/1/2016
| | | 197,250 |
| 1,500,000 | | Tennessee Gas Pipeline, Bond, 8.375%, 6/15/2032
| | | 1,697,499 |
| 850,000 | | Tennessee Gas Pipeline, Sr. Deb., 7.50%, 4/1/2017
| | | 883,569 |
| 250,000 | 1,2 | Transcontinental Gas Pipe Corp., Sr. Note, 6.40%, 4/15/2016
| | | 244,688 |
Principal
Amount,
or Foreign
Currency
Par Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | CORPORATE BONDS--continued | | | |
| | | Utility - Natural Gas--continued | | | |
| $ | 925,000 | | Transcontinental Gas Pipe Corp., Sr. Note, 8.875%, 7/15/2012
| | $ | 1,030,219 |
| 2,475,000 | | Williams Cos., Inc., Note, 7.625%, 7/15/2019
|
|
| 2,524,500
|
| | | TOTAL
|
|
| 14,595,043
|
| | | Wireless Communications--2.9% | | | |
| 300,000 | | Centennial Cellular Corp., Floating Rate Note - Sr. Note, 11.25813%, 1/1/2013
| | | 311,250 |
| 700,000 | | Centennial Communications Corp., Sr. Note, 10.00%, 1/1/2013
| | | 701,750 |
| 1,250,000 | 1,2 | Digicel Ltd., Sr. Note, 9.25%, 9/1/2012
| | | 1,309,375 |
| 1,400,000 | | Nextel Communications, Inc., Sr. Note, Series E, 6.875%, 10/31/2013
| | | 1,416,999 |
| 1,575,000 | | Rogers Wireless, Inc., 6.375%, 3/1/2014
| | | 1,551,375 |
| 300,000 | | Rogers Wireless, Inc., Floating Rate Note - Sr. Secured Note, 8.45438%, 12/15/2010
| | | 308,625 |
| 150,000 | | Rogers Wireless, Inc., Sr. Secd. Note, 7.25%, 12/15/2012
| | | 155,438 |
| 125,000 | | Rogers Wireless, Inc., Sr. Secd. Note, 7.50%, 3/15/2015
| | | 131,250 |
| 575,000 | | Rogers Wireless, Inc., Sr. Sub. Note, 8.00%, 12/15/2012
| | | 603,750 |
| 925,000 | | US Unwired, Inc., Sr. Secd. Note, 10.00%, 6/15/2012
|
|
| 1,023,301
|
| | | TOTAL
|
|
| 7,513,113
|
| | | Wireline Communications--3.3% | | | |
| 1,125,000 | | AT&T Corp., Sr. Note, 8.00%, 11/15/2031
| | | 1,346,741 |
| 950,000 | | Citizens Communications Co., 9.00%, 8/15/2031
| | | 1,007,000 |
| 1,000,000 | 1,2 | Nordic Telephone Co. Holdings APS, Sr. Note, 8.25%, 5/1/2016
| | | 1,353,214 |
| 3,575,000 | | Qwest Corp., Note, 8.875%, 3/15/2012
| | | 3,887,813 |
| 725,000 | | Valor Telecommunications Enterprises, Sr. Note, 7.75%, 2/15/2015
| | | 768,500 |
| 350,000 | 1,2 | Windstream Corp., Sr. Note, 8.625%, 8/1/2016
|
|
| 371,875
|
| | | TOTAL
|
|
| 8,735,143
|
| | | TOTAL CORPORATE BONDS (IDENTIFIED COST $264,372,145)
|
|
| 246,413,699
|
Shares
|
|
|
|
| Value in
U.S. Dollars
|
| | | COMMON STOCKS--0.6% | | | |
| | | Chemicals--0.2% | | | |
| 395 | 3 | General Chemical Industrial Products, Inc.
| | $ | 265,669 |
| 169 | 3 | General Chemical Industrial Products, Inc., Warrants
| | | 50,119 |
| 228 | 3 | General Chemical Industrial Products, Inc., Warrants
|
|
| 108,790
|
| | | TOTAL
|
|
| 424,578
|
| | | Food & Beverage--0.2% | | | |
| 27,755 | | B&G Foods, Inc.
|
|
| 475,443
|
| | | Industrial - Other--0.1% | | | |
| 214,806 | 1,3 | ACP Holdings Corp., Warrants
|
|
| 370,540
|
| | | Media - Cable--0.1% | | | |
| 12,520 | | NTL, Inc.
|
|
| 331,655
|
| | | Media - Non-Cable--0.0% | | | |
| 1,375 | 1,3 | Advanstar, Inc., Warrants
| | | 14 |
| 2,200 | 3 | XM Satellite Radio, Inc., Warrants
| | | 13,200 |
| 22,000 | 3 | Ziff Davis Media, Inc., Warrants
|
|
| 220
|
| | | TOTAL
|
|
| 13,434
|
| | | Metals & Mining--0.0% | | | |
| 138,395 | 3 | Royal Oak Mines, Inc.
|
|
| 2,145
|
| | | Other--0.0% | | | |
| 469 | 1,3 | CVC Claims Litigation LLC
|
|
| 0
|
| | | Packaging--0.0% | | | |
| 1,000 | 1,3 | Pliant Corp., Warrants
| | | 0 |
| 45,000 | 1,3 | Russell Stanley Holdings, Inc.
|
|
| 0
|
| | | TOTAL
|
|
| 0
|
| | | Paper--0.0% | | | |
| 900 | 1,3 | MDP Acquisitions PLC, Warrants
|
|
| 13,950
|
| | | Wireline Communications--0.0% | | | |
| 16,732 | 3 | Viatel Holding (Bermuda) Ltd.
|
|
| 84
|
| | | TOTAL COMMON STOCKS (IDENTIFIED COST $11,492,097)
|
|
| 1,631,829
|
Shares or
Principal
Amount
|
|
|
|
| Value in
U.S. Dollars
|
| | | PREFERRED STOCKS--0.7% | | | |
| | | Media - Non-Cable--0.0% | | | |
| 120 | | Ziff Davis Media, Inc., PIK Pfd., Series E-1
|
| $
| 18,300
|
| | | Retailers--0.7% | | | |
| 1,625 | | General Nutrition Centers Holding Co., Exchangeable Pfd. Stock, Series A
|
|
| 1,791,562
|
| | | TOTAL PREFERRED STOCKS (IDENTIFIED COST $1,634,750)
|
|
| 1,809,862
|
| | | REPURCHASE AGREEMENT--3.0% | | | |
| $ | 7,925,000 | | Interest in $3,000,000,000 joint repurchase agreement 5.29%, dated 8/31/2006 under which Bank of America N.A. will repurchase U.S. Government Agency securities with various maturities to 5/1/2035 for $3,000,440,833 on 9/1/2006. The market value of the underlying securities at the end of the period was $3,060,000,000. (AT COST)
|
|
| 7,925,000
|
| | | TOTAL INVESTMENTS--98.1%
(IDENTIFIED COST $285,423,992) 4
|
|
| 257,780,390
|
| | | OTHER ASSETS AND LIABILITIES - NET -- 1.9%
|
|
| 4,931,450
|
| | | TOTAL NET ASSETS--100%
|
| $
| 262,711,840
|
Note: The categories of investments are shown as a percentage of total net assets at August 31, 2006.
Federated High Yield Trust (the "Fund") is registered under the Investment Company Act of 1940, as amended (the "Act"), as a diversified, open-end management investment company. The Fund's investment objective is to seek current income by investing primarily in a professionally managed, diversified portfolio of fixed-income securities. The Fund's portfolio of investments consists primarily of lower-rated corporate debt obligations. These lower-rated obligations may be more susceptible to real or perceived adverse economic conditions than investment-grade bonds. These lower-rated debt obligations are regarded as predominately speculative with respect to each issuer's continuing ability to make interest and principle payments (i.e. the obligations are subject to the risk of default). The Fund offers one class of shares.
The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements. These policies are in conformity with generally accepted accounting principles (GAAP) in the United States of America.
The Fund generally values fixed-income and short-term securities according to prices furnished by an independent pricing service, except that fixed-income and short-term securities with remaining maturities of less than 60 days at the time of purchase may be valued at amortized cost, which approximates fair market value. Prices furnished by an independent pricing service are intended to be indicative of the mean between the bid and asked prices currently offered to institutional investors for the securities. Domestic and foreign equity securities are valued at the last sale price or official closing price reported in the market in which they are primarily traded (either a national securities exchange or the over-the-counter market), if available. If unavailable, the security is generally valued at the mean between the last closing bid and asked prices. With respect to valuation of foreign securities, trading in foreign cities may be completed at times which vary from the closing of the New York Stock Exchange ("NYSE"). Therefore, foreign securities are valued at the latest closing price on the exchange on which they are traded immediately prior to the closing of the NYSE. Foreign securities quoted in foreign currencies are translated in U.S. dollars at the foreign exchange rate in effect at 4:00 p.m., Eastern Time, on the day the value of the foreign security is determined. Investments in other open-end regulated investment companies are valued at net asset value. Securities for which no quotations are readily available or whose values have been affected by a significant event occurring between the close of their primary markets and the closing of the NYSE are valued at fair value as determined in accordance with procedures established by and under general supervision of the Board of Trustees (the "Trustees").
It is the policy of the Fund to require the other party to a repurchase agreement to transfer to the Fund's custodian or sub-custodian eligible securities or cash with a market value (after transaction costs) at least equal to the repurchase price to be paid under the repurchase agreement. The eligible securities are transferred to accounts with the custodian or sub-custodian in which the Fund holds a "securities entitlement" and exercises "control" as those terms are defined in the Uniform Commercial Code. The Fund has established procedures for monitoring the market value of the transferred securities and requiring the transfer of additional eligible securities if necessary to equal at least the repurchase price. These procedures also allow the other party to require securities to be transferred from the account to the extent that their market value exceeds the repurchase price or in exchange for other eligible securities of equivalent market value.
With respect to agreements to repurchase U.S. government securities and cash items, the Fund treats the repurchase agreement as an investment in the underlying securities and not as an obligation of the other party to the repurchase agreement. Other repurchase agreements are treated as obligations of the other party secured by the underlying securities. Nevertheless, the insolvency of the other party or other failure to repurchase the securities may delay the disposition of the underlying securities or cause the Fund to receive less than the full repurchase price. Under the terms of the repurchase agreement, any amounts received by the Fund in excess of the repurchase price and related transaction costs must be remitted to the other party.
The Fund may enter into repurchase agreements in which eligible securities are transferred into joint trading accounts maintained by the custodian or sub-custodian for investment companies and other clients advised by the Fund's adviser and its affiliates. The Fund will participate on a pro rata basis with the other investment companies and clients in its share of the securities transferred under such repurchase agreements and in its share of proceeds from any repurchase or other disposition of such securities.
Interest income and expenses are accrued daily. Dividend income and distributions to shareholders are recorded on the ex-dividend date. Distributions of net investment income are declared daily and paid monthly. Non-cash dividends included in dividend income, if any, are recorded at fair value.
All premiums and discounts on fixed-income securities are amortized/accreted for financial statement purposes.
It is the Fund's policy to comply with the Subchapter M provision of the Internal Revenue Code (the "Code") and to distribute to shareholders each year substantially all of its income. Accordingly, no provision for federal income tax is necessary.
Withholding taxes, and where appropriate, deferred withholding taxes, on foreign interest, dividends and capital gains have been provided for in accordance with the applicable country's tax rules and rates.
On July 13, 2006, the Financial Accounting Standards Board (FASB) released FASB Interpretation No. 48 "Accounting for Uncertainty in Income Taxes" (FIN 48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax positions taken in the course of preparing the fund's tax returns to determine whether the tax positions are "more-likely-than-not" of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to all open tax years as of the effective date. At this time, management is evaluating the implications of FIN 48 and its impact in the financial statements has not yet been determined.
The Fund may engage in when-issued or delayed delivery transactions. The Fund records when-issued securities on the trade date and maintains security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.
The Fund may enter into foreign currency commitments for the delayed delivery of securities or foreign currency exchange transactions. The Fund may enter into foreign currency contract transactions to protect assets against adverse changes in foreign currency exchange rates or exchange control regulations. Purchased contracts are used to acquire exposure to foreign currencies; whereas, contracts to sell are used to hedge the Fund's securities against currency fluctuations. Risks may arise upon entering into these transactions from the potential inability of counterparties to meet the terms of their commitments and from unanticipated movements in security prices or foreign exchange rates. The foreign currency transactions are adjusted by the daily exchange rate of the underlying currency and any gains or losses are recorded for financial statement purposes as unrealized until the settlement date. At August 31, 2006, the Fund had outstanding foreign currency commitments as follows:
The accounting records of the Fund are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies (FCs) are translated into U.S. dollars based on the rates of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Fund does 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 securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of FCs, 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 on the Fund's books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at fiscal year end, resulting from changes in the exchange rate.
Restricted securities are securities that either: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933; or (b) are subject to contractual restrictions on public sales. In some cases, when a security cannot be offered for public sale without first being registered, the issuer of the restricted security has agreed to register such securities for resale, at the issuer's expense, either upon demand by the Fund or in connection with another registered offering of the securities. Many such restricted securities may be resold in the secondary market in transactions exempt from registration. Restricted securities may be determined to be liquid under criteria established by the Trustees. The Fund will not incur any registration costs upon such resales. The Fund's restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, at the fair value as determined in accordance with procedures established by and under the general supervision of the Trustees.
Additional information on restricted securities, excluding securities purchased under Rule 144A that have been deemed liquid by the Trustees, held at August 31, 2006, is as follows:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the amounts of assets, liabilities, expenses and revenues reported in the financial statements. Actual results could differ from those estimated.
Investment transactions are accounted for on a trade date basis. Realized gains and losses from investment transactions are recorded on an identified cost basis.
At August 31, 2006, the cost of investments for federal tax purposes was $286,138,357. The net unrealized depreciation of investments for federal tax purposes excluding any unrealized appreciation/depreciation resulting from changes in foreign currency exchange rates was $28,357,967. This consists of net unrealized appreciation from investments for those securities having an excess of value over cost of $7,725,780 and net unrealized depreciation from investments for those securities having an excess of cost over value of $36,083,747.
At February 28, 2006, the Fund had a capital loss carryforward of $272,217,113 which will reduce the Fund's taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Fund of any liability for federal income tax. Pursuant to the Code, such capital loss carryforward will expire as follows:
Federated Investment Management Company, the Fund's investment adviser (the "Adviser"), receives for its services an annual investment adviser fee equal to 0.75% of the Fund's average daily net assets. The Adviser may voluntarily choose to waive any portion of its fee. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. For the six months ended August 31, 2006, the Adviser voluntarily waived $315,735 of its fee.
Federated Administrative Services (FAS), under the Administrative Services Agreement, provides the Fund with administrative personnel and services. The fee paid to FAS is based on the average aggregate daily net assets of certain Federated funds as specified below:
The administrative fee received during any fiscal year shall be at least $150,000 per portfolio and $40,000 per each additional class of Shares. FAS may voluntarily choose to waive any portion of its fee. FAS can modify or terminate this voluntary waiver at any time at its sole discretion. For the six months ended August 31, 2006, the net fee paid to FAS was 0.076% of average aggregate daily net assets of the Fund.
Effective May 15, 2004, the Fund began imposing a 2.00% redemption fee to shareholders of the Fund's Shares who redeem shares held for 90 days or less. Shares acquired by reinvestment of dividends or distributions of the Fund, or purchased pursuant to the Systematic Investment Program or withdrawn pursuant to the Systematic Withdrawal Program, will not be subject to the redemption fee. All redemption fees are recorded by the Fund as additions to paid-in-capital. For the six months ended August 31, 2006, the redemption fees for the Fund's shares amounted to $6,062.
The Fund may pay fees (Service Fees) up to 0.25% of the average daily net assets of the Fund's Shares to financial intermediaries or to Federated Shareholder Services Company (FSSC) for providing services to shareholders and maintaining shareholder accounts. FSSC or these financial intermediaries may voluntarily choose to waive any portion of their fee. In addition, FSSC may voluntarily reimburse the Fund for shareholder services fees. This voluntary waiver and/or reimbursement can be modified or terminated at any time. For the six months ended August 31, 2006, FSSC voluntarily waived $16,180 of its fee. For the six months ended August 31, 2006, FSSC did not retain any fees paid by the Fund.
Certain of the Officers and Trustees of the Fund are Officers and Directors or Trustees of the above companies.
Purchases and sales of investments, excluding long-term U.S. government securities and short-term obligations, for the six months ended August 31, 2006, were as follows:
Beginning in October 2003, Federated Investors, Inc. and various subsidiaries thereof (including the advisers and distributor for various investment companies, collectively, "Federated"), along with various investment companies sponsored by Federated ("Funds") were named as defendants in several class action lawsuits now pending in the United States District Court for the District of Maryland. The lawsuits were purportedly filed on behalf of people who purchased, owned and/or redeemed shares of Federated-sponsored mutual funds during specified periods beginning November 1, 1998. The suits are generally similar in alleging that Federated engaged in illegal and improper trading practices including market timing and late trading in concert with certain institutional traders, which allegedly caused financial injury to the mutual fund shareholders. These lawsuits began to be filed shortly after Federated's first public announcement that it had received requests for information on shareholder trading activities in the Funds from the Securities and Exchange Commission ("SEC"), the Office of the New York State Attorney General ("NYAG"), and other authorities. In that regard, on November 28, 2005, Federated announced that it had reached final settlements with the SEC and the NYAG with respect to those matters. As Federated previously reported in 2004, it has already paid approximately $8.0 million to certain funds as determined by an independent consultant. As part of these settlements, Federated agreed to pay for the benefit of fund shareholders additional disgorgement and a civil money penalty in the aggregate amount of an additional $72 million. Federated and various Funds have also been named as defendants in several additional lawsuits, the majority of which are now pending in the United States District Court for the Western District of Pennsylvania, alleging, among other things, excessive advisory and Rule 12b-1 fees. The Board of the Funds has retained the law firm of Dickstein Shapiro LLP to represent the Funds in these lawsuits. Federated and the Funds, and their respective counsel, are reviewing the allegations and intend to defend this litigation. Additional lawsuits based upon similar allegations may be filed in the future. The potential impact of these lawsuits, all of which seek unquantified damages, attorneys' fees and expenses, and future potential similar suits is uncertain. Although we do not believe that these lawsuits will have a material adverse effect on the Funds, there can be no assurance that these suits, the ongoing adverse publicity and/or other developments resulting from the regulatory investigations will not result in increased Fund redemptions, reduced sales of Fund shares, or other adverse consequences for the Funds.
The Fund's Board reviewed the Fund's investment advisory contract at meetings held in May 2006. The Board's decision regarding the contract reflects the exercise of its business judgment on whether to continue the existing arrangements.
Prior to the meeting, the Adviser had recommended that the Federated Funds appoint a Senior Officer, whose duties include specified responsibilities relating to the process by which advisory fees are to be charged to a Federated Fund. The Senior Officer appointed by the Funds has the authority to retain consultants, experts, or staff as may be reasonably necessary to assist in the performance of his duties, reports directly to the Board, and may be terminated only with the approval of a majority of the independent members of the Board. The Senior Officer prepared and furnished to the Board an independent written evaluation that covered topics discussed below, which the Board considered, along with other information, in deciding to approve the advisory contract.
During its review of the contract, the Board considered compensation and benefits received by the Adviser. This included the fees received for services provided to the Fund by other entities in the Federated organization and research services received by the Adviser from brokers that execute Federated fund trades, as well as advisory fees. The Board is also familiar with judicial decisions concerning allegedly excessive investment advisory fees which have indicated that the following factors may be relevant to an Adviser's fiduciary duty with respect to its receipt of compensation from a fund: the nature and quality of the services provided by the Adviser, including the performance of the Fund; the Adviser's cost of providing the services; the extent to which the Adviser may realize "economies of scale" as the Fund grows larger; any indirect benefits that may accrue to the Adviser and its affiliates as a result of the Adviser's relationship with the Fund; performance and expenses of comparable funds; and the extent to which the independent Board members are fully informed about all facts the Board deems relevant bearing on the Adviser's services and fees. The Board further considered management fees (including any components thereof) charged to institutional and other clients of the Adviser for like services and costs to the Adviser and its affiliates of supplying services pursuant to the management fee agreements, excluding any intra-corporate profit and profit margins of the Adviser and its affiliates from supplying such services. The Board was aware of these considerations and was guided by them in its review of the Fund's advisory contract to the extent they are appropriate and relevant, as discussed further below.
The Board considered and weighed these circumstances in light of its substantial accumulated experience in governing the Fund and working with Federated on matters relating to the Federated Funds, and was assisted in its deliberations by the advice of independent legal counsel. Throughout the year, the Board has requested and received substantial and detailed information about the Fund and the Federated organization that was in addition to the extensive materials that comprise the Senior Officer's evaluation. Federated provided much of this information at each regular meeting of the Board, and furnished additional reports in connection with the particular meeting at which the Board's formal review of the advisory contract occurred. Between regularly scheduled meetings, the Board has received information on particular matters as the need arose. Thus, the Board's consideration of the advisory contract included review of the Senior Officer's evaluation, accompanying data and additional reports covering such matters as: the Adviser's investment philosophy, revenue, profitability, personnel and processes; investment and operating strategies; the Fund's short- and long-term performance (in absolute terms, both on a gross basis and net of expenses, as well as in relationship to its particular investment program and certain competitor or "peer group" funds and/or other benchmarks, as appropriate), and comments on the reasons for performance; the Fund's investment objectives; the Fund's expenses (including the advisory fee itself and the overall expense structure of the Fund, both in absolute terms and relative to similar and/or competing funds, with due regard for contractual or voluntary expense limitations); the use and allocation of brokerage commissions derived from trading the Fund's portfolio securities (if any); the nature, quality and extent of the advisory and other services provided to the Fund by the Adviser and its affiliates; the preferences and expectations of Fund shareholders and their relative sophistication; the continuing state of competition in the mutual fund industry and market practices; the range of comparable fees for similar funds in the mutual fund industry; the Fund's relationship to the Federated family of funds which include a comprehensive array of funds with different investment objectives, policies and strategies which are available for exchange without the incurrence of additional sales charges; compliance and audit reports concerning the Federated funds and the Federated companies that service them (including communications from regulatory agencies), as well as Federated's responses to any issues raised therein; and relevant developments in the mutual fund industry and how the Federated funds and/or Federated are responding to them. The Board's evaluation process is evolutionary. The criteria considered and the emphasis placed on relevant criteria change in recognition of changing circumstances in the mutual fund marketplace.
With respect to the Fund's performance and expenses in particular, the Board has found the use of comparisons to other mutual funds with comparable investment programs to be particularly useful, given the high degree of competition in the mutual fund business. The Board focused on comparisons with other similar mutual funds more heavily than non-mutual fund products or services because, simply put, they are more relevant. For example, other mutual funds are the products most like the Fund, they are readily available to Fund shareholders as alternative investment vehicles, and they are the type of investment vehicle in fact chosen and maintained by the Fund's investors. The range of their fees and expenses therefore appears to be a generally reliable indication of what consumers have found to be reasonable in the precise marketplace in which the Fund competes. The Fund's ability to deliver competitive performance when compared to its peer group was a useful indicator of how the Adviser is executing the Fund's investment program, which in turn assisted the Board in reaching a conclusion that the nature, extent, and quality of the Adviser's investment management services were such as to warrant continuation of the advisory contract. In this regard, the Senior Officer has reviewed Federated's fees for providing advisory services to products outside the Federated family of funds (e.g., institutional and separate accounts). He concluded that mutual funds and institutional accounts are inherently different products. Those differences included, but are not limited to targeting different investors, being subject to different laws and regulations, different legal structure, distribution costs, average account size and portfolio management techniques made necessary by different cash flows. The Senior Officer did not consider these fee schedules to be significant in determining the appropriateness of mutual fund advisory contracts.
The Senior Officer reviewed reports compiled by Federated, and directed the preparation of independent reports, regarding the performance of, and fees charged by, other mutual funds, noting his view that comparisons to fund peer groups is of significance in judging the reasonableness of proposed fees.
The Fund's performance fell below the median of the relevant peer group for both the one and three year periods ending December 31, 2005. The Board discussed the Fund's performance with the Adviser and recognized the efforts being undertaken by the Adviser. The Board will continue to monitor these efforts and the performance of the Fund.
The Board also received financial information about Federated, including reports on the compensation and benefits Federated derived from its relationships with the Federated Funds. These reports covered not only the fees under the advisory contracts, but also fees received by Federated's subsidiaries for providing other services to the Federated Funds under separate contracts (e.g., for serving as the Federated Funds' administrator). The reports also discussed any indirect benefit Federated may derive from its receipt of research services from brokers who execute Federated fund trades as well as waivers of fees and/or reimbursements of expenses. In order for a fund to be competitive in the marketplace, Federated and its affiliates frequently waived fees and/or reimbursed expenses and have indicated to the Board their intention to do so in the future, where appropriate.
Federated furnished reports, requested by the Senior Officer, that reported revenues on a fund by fund basis and made estimates of the allocation of expenses on a fund by fund basis, using allocation methodologies specified by the Senior Officer. The Senior Officer noted that, although they may apply consistent allocation processes, the inherent difficulties in allocating costs and the lack of consensus on how to allocate those costs causes such allocation reports to be of questionable value. The allocation reports were considered in the analysis by the Board but were determined to be of limited use.
The Board also reviewed profitability information for Federated and other publicly held fund management companies, provided by the Senior Officer, who noted the limited availability of such information, and concluded that Federated's profit margins did not appear to be excessive.
The Senior Officer's evaluation also discussed the notion of possible realization of "economies of scale" as a fund grows larger. The Board considered in this regard that the Adviser has made significant additional investments in the portfolio management and distribution efforts supporting all of the Federated Funds and that the benefits of any economies, should they exist, were likely to be enjoyed by the fund complex as a whole. Finally, the Board also noted the absence of any applicable regulatory or industry guidelines on this subject, which is compounded by the lack of any common industry practice or general pattern with respect to structuring fund advisory fees with "breakpoints" that serve to reduce the fee as the fund attains a certain size. The Senior Officer did not recommend institution of additional breakpoints in pricing Federated's fund advisory services at this time.
During the year ending December 31, 2005, the Fund's investment advisory fee after waivers and expense reimbursements, if any, was above the median of the relevant peer group. The Board reviewed the fees and other expenses of the Fund with the Adviser and was satisfied that the overall expense structure of the Fund remained competitive. The Board will continue to monitor advisory fees and other expenses borne by the Fund.
No changes were recommended to, and no objection was raised to the continuation of the Fund's advisory contract, and the Senior Officer noted that Federated appeared to provide appropriate administrative services to the Fund for the fees paid. For 2005, the Board concluded that the nature, quality and scope of services provided the Fund by the Adviser and its affiliates was satisfactory.
In its decision to continue an existing investment advisory contract, the Board was mindful of the potential disruptions of the Fund's operations and various risks, uncertainties and other effects that could occur as a result of a decision to terminate or not renew an advisory contract. In particular, the Board recognized that most shareholders have invested in the Fund on the strength of the Adviser's industry standing and reputation and in the expectation that the Adviser will have a continuing role in providing advisory services to the Fund. Thus, the Board's approval of the advisory contract reflected the fact that it is the shareholders who have effectively selected the Adviser by virtue of having invested in the Fund.
The Board based its decision to approve the advisory contract on the totality of the circumstances and relevant factors and with a view to past and future long-term considerations. Not all of the factors and considerations identified above were relevant to every Federated Fund, nor did the Board consider any one of them to be determinative. With respect to the factors that were relevant, the Board's decision to approve the contract reflects its determination that Federated's performance and actions provided a satisfactory basis to support the decision to continue the existing arrangements.
The Senior Officer also made recommendations relating to the organization and availability of data and verification of processes for purposes of implementing future evaluations which the Adviser has agreed to implement.
A description of the policies and procedures that the Fund uses to determine how to vote proxies, if any, relating to securities held in the Fund's portfolio is available, without charge and upon request, by calling 1-800-341-7400. A report on "Form N-PX" of how the Fund voted any such proxies during the most recent 12-month period ended June 30 is available through Federated's website. Go to FederatedInvestors.com, select "Products," select the "Prospectuses and Regulatory Reports" link, then select the Fund to access the link to Form N-PX. This information is also available from the EDGAR database on the SEC's website at www.sec.gov.
The Fund files with the SEC a complete schedule of its portfolio holdings, as of the close of the first and third quarters of its fiscal year, on "Form N-Q." These filings are available on the SEC's website at www.sec.gov and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. (Call 1-800-SEC-0330 for information on the operation of the Public Reference Room.) You may also access this information from the "Products" section of Federated's website at FederatedInvestors.com by clicking on "Portfolio Holdings" and selecting the name of the Fund, or by selecting the name of the Fund and clicking on "Portfolio Holdings." You must register on the website the first time you wish to access this information.
Mutual funds are not bank deposits or obligations, are not guaranteed by any bank, and are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.
This report is authorized for distribution to prospective investors only when preceded or accompanied by the Fund's prospectus, which contains facts concerning its objective and policies, management fees, expenses, and other information.
In an effort to reduce costs and avoid duplicate mailings, the Fund(s) intend to deliver a single copy of certain documents to each household in which more than one shareholder of the Fund(s) resides (so-called "householding"), as permitted by applicable rules. The Fund's "householding" program covers its/their Prospectus and Statement of Additional Information, and supplements to each, as well as Semi-Annual and Annual Shareholder Reports and any Proxies or information statements. Shareholders must give their written consent to participate in the "householding" program. The Fund is also permitted to treat a shareholder as having given consent ("implied consent") if (i) shareholders with the same last name, or believed to be members of the same family, reside at the same street address or receive mail at the same post office box, (ii) the Fund gives notice of its intent to "household" at least sixty (60) days before it begins "householding" and (iii) none of the shareholders in the household have notified the Fund(s) or their agent of the desire to "opt out" of "householding." Shareholders who have granted written consent, or have been deemed to have granted implied consent, can revoke that consent and opt out of "householding" at any time: shareholders who purchased shares through an intermediary should contact their representative; other shareholders may call the Fund at 1-800-341-7400.
Federated is a registered mark of Federated Investors, Inc. 2006 (c)Federated Investors, Inc.
