SECURITIES AND EXCHANGE COMMISSION
INVESTMENT COMPANIES
(Address of principal executive offices) (Zip code)
OppenheimerFunds, Inc.
Two World Financial Center, New York, New York 10281-1008
(Name and address of agent for service)
September 30, 2010 Oppenheimer Global Strategic Income Fund Management Commentary and Annual Report MANAGEMENT COMMENTARY An Interview with Your Fund’s Portfolio Managers ANNUAL REPORT Listing of Top Holdings Fund Performance Discussion Listing of Investments Financial Statements |
Corporate Bonds & Notes—Top Ten Industries | ||||
Oil, Gas & Consumable Fuels | 5.2 | % | ||
Commercial Banks | 2.2 | |||
Media | 1.7 | |||
Electric Utilities | 1.5 | |||
Hotels, Restaurants & Leisure | 1.4 | |||
Diversified Telecommunication Services | 1.4 | |||
Paper & Forest Products | 1.2 | |||
Health Care Providers & Services | 1.1 | |||
Energy Traders | 1.0 | |||
Chemicals | 1.0 |
Portfolio Allocation | ||||
Corporate Bonds and Notes | 29.2 | % | ||
Foreign Government Obligations | 22.8 | |||
Mortgage-Backed Obligations: | ||||
Government Agency | 5.5 | |||
Non-Agency | 7.7 | |||
Investment Companies | 13.0 | |||
Structured Securities | 7.0 | |||
Cash Equivalent | 4.5 | |||
Asset-Backed Securities | 4.1 | |||
U.S. Government Obligations | 3.1 | |||
Event-Linked Bonds | 1.3 | |||
Common Stocks | 0.8 | |||
Preferred Stocks | 0.4 | |||
Loan Participations | 0.3 | |||
Options Purchased | 0.3 | |||
Rights, Warrants and Certificates | 0.0 |
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Comparison of Change in Value of $10,000 Hypothetical Investments in:
Beginning | Ending | Expenses | ||||||||||
Account | Account | Paid During | ||||||||||
Value | Value | 6 Months Ended | ||||||||||
April 1, 2010 | September 30, 2010 | September 30, 2010 | ||||||||||
Actual | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,103.40 | $ | 6.61 | ||||||
Class B | 1,000.00 | 1,095.40 | 11.56 | |||||||||
Class C | 1,000.00 | 1,096.70 | 10.62 | |||||||||
Class N | 1,000.00 | 1,098.30 | 8.93 | |||||||||
Class Y | 1,000.00 | 1,101.70 | 5.76 | |||||||||
Hypothetical (5% return before expenses) | ||||||||||||
Class A | 1,000.00 | 1,018.80 | 6.35 | |||||||||
Class B | 1,000.00 | 1,014.09 | 11.12 | |||||||||
Class C | 1,000.00 | 1,014.99 | 10.20 | |||||||||
Class N | 1,000.00 | 1,016.60 | 8.58 | |||||||||
Class Y | 1,000.00 | 1,019.60 | 5.53 |
Class | Expense Ratios | |||
Class A | 1.25 | % | ||
Class B | 2.19 | |||
Class C | 2.01 | |||
Class N | 1.69 | |||
Class Y | 1.09 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities—4.2% | ||||||||
Ally Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A4, 2.09%, 5/15/15 | $ | 1,720,000 | $ | 1,764,839 | ||||
AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivable Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 | 3,495,000 | 3,509,551 | ||||||
AmeriCredit Prime Automobile Receivables Trust 2010-1, Automobile Receivable Nts., Series 2010-1, Cl. A2, 0.97%, 1/15/13 | 818,345 | 818,868 | ||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.216%, 5/25/341 | 4,647,879 | 4,201,564 | ||||||
Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.356%, 9/25/361 | 1,611,397 | 632,672 | ||||||
Bank of America Auto Trust 2010-2, Automobile Receivables, Series 2010-2, Cl. A4, 1.94%, 6/15/17 | 1,060,000 | 1,085,009 | ||||||
Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates: | ||||||||
Series 2006-A16, Cl. A16, 4.72%, 5/15/13 | 2,580,000 | 2,603,085 | ||||||
Series 2010-A1, Cl. A1, 0.557%, 9/15/151 | 2,040,000 | 2,041,173 | ||||||
BMW Vehicle Owner Trust 2010-A, Asset-Backed Nts., Series 2010-A, Cl. A3, 1.39%, 4/25/14 | 1,530,000 | 1,549,435 | ||||||
Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 | 693,000 | 723,291 | ||||||
Capital One Auto Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 0.287%, 5/15/131 | 1,972,254 | 1,960,563 | ||||||
Capital One Multi-asset Execution Trust, Credit Card Asset-Backed Certificates, Series 2008-A5, Cl. A5, 4.85%, 2/18/14 | 2,495,000 | 2,553,387 | ||||||
CarMax Auto Owner Trust 2010-2, Asset-Backed Certificates, Series 2010-2, Cl. A3, 1.41%, 2/16/15 | 3,300,000 | 3,335,888 | ||||||
Chase Funding Trust 2003-2, Mtg. Loan Asset-Backed Certificates, Series 2003-2, Cl. 2A2, 0.816%, 2/25/331 | 24,676 | 21,549 | ||||||
CIT Equipment Collateral, Asset-Backed Certificates, Series 2009-VT1, Cl. A2, 2.20%, 10/15/102 | 296,094 | 296,248 | ||||||
Citibank Omni Master Trust, Credit Card Receivables, Series 2009-A12, Cl. A12, 3.35%, 8/15/162,3 | 225,000,000 | 231,627,960 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.356%, 10/25/361 | 375,528 | 374,272 | ||||||
CNH Equipment Trust, Asset-Backed Certificates: | ||||||||
Series 2009-B, Cl. A3, 2.97%, 3/15/13 | 1,359,243 | 1,369,255 | ||||||
Series 2010-A, Cl. A2, 0.81%, 3/25/15 | 2,550,000 | 2,553,824 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: | ||||||||
Series 2005-16, Cl. 2AF2, 5.382%, 5/1/361 | 1,805,632 | 1,460,235 | ||||||
Series 2005-17, Cl. 1AF2, 5.363%, 5/1/361 | 847,373 | 685,451 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.376%, 6/25/471 | 4,184,000 | 3,666,155 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: | ||||||||
Series 2005-G, Cl. 2A, 0.487%, 12/15/351 | $ | 525,143 | $ | 212,633 | ||||
Series 2006-H, Cl. 2A1A, 0.407%, 11/15/361 | 194,052 | 62,444 | ||||||
Discover Card Master Trust, Credit Card Receivables: | ||||||||
Series 2008-A3, Cl. A3, 5.10%, 10/15/13 | 2,520,000 | 2,583,708 | ||||||
Series 2009-A1, Cl. A1, 1.557%, 12/15/141 | 2,035,000 | 2,068,767 | ||||||
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/114,5,6 | 15,000,000 | 150 | ||||||
DVI Receivables Corp., Equipment Asset-Backed Certificates, Series 2001-2, Cl. C, 4.405%, 11/11/104,6 | 3,083,887 | 31 | ||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/254,5,6 | 2,730,094 | — | ||||||
First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.346%, 7/25/361 | 1,206,603 | 1,172,010 | ||||||
First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.366%, 7/7/361 | 482,494 | 452,808 | ||||||
First Franklin Mortgage Loan Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA, Cl. A3, 0.376%, 9/25/361 | 2,238,334 | 361,121 | ||||||
Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A, 1.04%, 3/15/132 | 1,700,772 | 1,704,211 | ||||||
Ford Credit Auto Owner Trust, Automobile Receivable Nts.: | ||||||||
Series 2009-B, Cl. A2, 2.10%, 11/15/11 | 142,324 | 142,427 | ||||||
Series 2010-A, Cl. A4, 2.15%, 6/15/15 | 2,940,000 | 3,030,345 | ||||||
Ford Credit Floorplan Master Owner Trust 2010-3, Asset-Backed Nts., Series 2010-3, Cl. A1, 4.20%, 2/15/172,3 | 30,000,000 | 32,628,819 | ||||||
GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 | 2,050,000 | 2,150,685 | ||||||
GE Equipment Midticket LLC, Asset-Backed Certificates, Series 2010-1, Cl. A2, 0.61%, 1/14/135 | 3,155,000 | 3,155,000 | ||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 6/13/114,5,6 | 8,642,021 | — | ||||||
Green Tree Financial Corp., Manufactured Housing Contract Sr. Sub. Pass-Through Certificates, Series 1997-5, Cl. M1, 6.95%, 5/15/29 | 5,000,000 | 4,785,313 | ||||||
Greenpoint Credit Manufactured Housing Contract Trust, Pass-Through Certificates, Series 2000-3, Cl. IM1, 9.01%, 6/1/31 | 2,222,568 | 437,063 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | 2,774,000 | 1,071,398 | ||||||
Honda Auto Receivables 2010-2 Owner Trust, Automobile Receivable Nts., Series 2010-2, Cl. A3, 1.34%, 5/20/13 | 2,260,000 | 2,283,752 | ||||||
HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.517%, 1/20/351 | 1,286,550 | 1,234,887 |
Principal | ||||||||
Amount | Value | |||||||
Asset-Backed Securities Continued | ||||||||
HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.367%, 3/20/361 | $ | 792,156 | $ | 788,240 | ||||
Hyundai Auto Receivables Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 1.50%, 10/15/14 | 1,125,000 | 1,140,489 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: | ||||||||
Series 2007-1A, Cl. B, 2.294%, 8/15/221,5 | 21,000,000 | 10,710,000 | ||||||
Series 2007-1A, Cl. C, 3.594%, 8/15/221,5 | 17,780,000 | 8,356,600 | ||||||
Series 2007-1A, Cl. D, 5.594%, 8/15/221,5 | 17,780,000 | 8,001,000 | ||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 5.25%, 3/24/141,5 | 4,247,713 | 84,954 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.356%, 8/25/361 | 5,584,849 | 2,070,658 | ||||||
Merrill Auto Trust Securitization 2007-1, Asset-Backed Nts., Series 2007-1, Cl. A4, 0.317%, 12/15/131 | 3,774,455 | 3,761,695 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1/25/294,5 | 4,475,119 | 190,193 | ||||||
Nissan Auto Lease Trust, Automobile Receivable Nts., Series 2010-A, Cl. A3, 1.39%, 1/15/16 | 2,225,000 | 2,240,352 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/361 | 1,151,090 | 1,031,579 | ||||||
RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.356%, 9/25/361 | 1,341,035 | 1,330,931 | ||||||
Securitized Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities, Series 2007-BR2, Cl. A2, 0.486%, 2/25/371 | 1,557,316 | 743,972 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.692%, 6/15/391 | 6,586,000 | 2,835,295 | ||||||
SSB RV Trust 2001-1, Recreational Vehicles Mtg. Obligations, Series 2001-1, Cl. B, 6.64%, 4/1/18 | 514,702 | 517,756 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%, 5/1/372 | 493,380 | 139,432 | ||||||
Toyota Auto Receivable Owner Trust 2010-B, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.74%, 7/16/12 | 2,535,000 | 2,540,074 | ||||||
Volvo Financial Equipment LLC, Asset-Backed Certificates, Series 2010-1A, Cl. A3, 1.56%, 6/17/132 | 1,130,000 | 1,137,067 | ||||||
Wachovia Auto Owner Trust 2007-A, Automobile Receivable Nts., Series 2007-A, Cl. A4, 5.49%, 4/22/13 | 2,026,457 | 2,078,552 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 | 2,060,000 | 2,132,560 | ||||||
Total Asset-Backed Securities (Cost $438,435,554) | 380,203,245 |
Principal | ||||||||
Amount | Value | |||||||
Mortgage-Backed Obligations—13.6% | ||||||||
Government Agency—5.7% | ||||||||
FHLMC/FNMA/FHLB/Sponsored—5.0% | ||||||||
Federal Home Loan Mortgage Corp.: | ||||||||
5%, 8/15/33-12/15/34 | $ | 6,023,267 | $ | 6,383,138 | ||||
5.50%, 9/1/39 | 7,243,275 | 7,688,604 | ||||||
6%, 1/15/19-7/15/24 | 6,354,040 | 6,913,461 | ||||||
6.50%, 4/15/18-6/15/35 | 5,016,908 | 5,509,297 | ||||||
7%, 8/15/21-10/1/31 | 4,022,035 | 4,558,926 | ||||||
7.50%, 2/15/32-4/25/36 | 4,885,326 | 5,568,850 | ||||||
8.50%, 8/15/31 | 287,575 | 335,128 | ||||||
10%, 5/15/20 | 130,505 | 150,609 | ||||||
10.50%, 6/14/20 | 106,664 | 124,769 | ||||||
11.50%, 11/14/16 | 25,231 | 25,766 | ||||||
12%, 7/15/15-6/15/17 | 146,452 | 150,779 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | 4,693,729 | 5,500,463 | ||||||
Series 151, Cl. F, 9%, 5/15/21 | 9,870 | 12,038 | ||||||
Series 1590, Cl. IA, 1.363%, 10/15/231 | 4,204,864 | 4,258,095 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 217,283 | 251,987 | ||||||
Series 2006-11, Cl. PS, 23.627%, 3/25/361 | 2,225,516 | 3,349,443 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 | 39,318 | 44,449 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 | 51,237 | 57,922 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 3,351,881 | 3,504,127 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 | 35,991 | 40,687 | ||||||
Series 2116, Cl. ZA, 6%, 1/15/29 | 2,662,730 | 2,896,999 | ||||||
Series 2122, Cl. F, 0.707%, 2/15/291 | 113,127 | 113,447 | ||||||
Series 2279, Cl. PK, 6.50%, 1/15/31 | 62,466 | 68,091 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 592,945 | 670,352 | ||||||
Series 2344, Cl. FP, 1.207%, 8/15/311 | 1,475,433 | 1,498,104 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 91,784 | 100,240 | ||||||
Series 2368, Cl. TG, 6%, 10/15/16 | 591,092 | 637,337 | ||||||
Series 2401, Cl. FA, 0.907%, 7/15/291 | 203,990 | 205,844 | ||||||
Series 2412, Cl. GF, 1.207%, 2/15/321 | 2,903,909 | 2,951,140 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 | 2,764,288 | 3,124,208 | ||||||
Series 2451, Cl. FD, 1.257%, 3/15/321 | 1,058,594 | 1,076,945 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 140,881 | 153,053 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 | 403,300 | 448,959 | ||||||
Series 2464, Cl. FI, 1.257%, 2/15/321 | 1,104,080 | 1,120,866 | ||||||
Series 2470, Cl. AF, 1.257%, 3/15/321 | 1,707,946 | 1,745,568 | ||||||
Series 2470, Cl. LF, 1.257%, 2/15/321 | 1,129,165 | 1,148,978 | ||||||
Series 2471, Cl. FD, 1.257%, 3/15/321 | 1,879,720 | 1,911,405 | ||||||
Series 2475, Cl. FB, 1.257%, 2/15/321 | 1,546,462 | 1,574,851 | ||||||
Series 2500, Cl. FD, 0.757%, 3/15/321 | 403,621 | 405,772 | ||||||
Series 2517, Cl. GF, 1.257%, 2/15/321 | 933,618 | 949,901 | ||||||
Series 2526, Cl. FE, 0.657%, 6/15/291 | 496,795 | 498,402 | ||||||
Series 2551, Cl. FD, 0.657%, 1/15/331 | 349,007 | 350,170 | ||||||
Series 2551, Cl. LF, 0.757%, 1/15/331 | 176,372 | 177,200 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Series 2676, Cl. KY, 5%, 9/15/23 | $ | 2,635,000 | $ | 2,931,090 | ||||
Series 2676, Cl. TF, 0.857%, 1/15/321 | 2,626,757 | 2,630,396 | ||||||
Series 2750, Cl. XG, 5%, 2/1/34 | 740,000 | 809,512 | ||||||
Series 2754, Cl. PE, 5%, 2/15/34 | 5,000,000 | 5,475,878 | ||||||
Series 2890, Cl. PE, 5%, 11/1/34 | 750,000 | 821,254 | ||||||
Series 2907, Cl. GC, 5%, 6/1/27 | 1,499,682 | 1,537,582 | ||||||
Series 2915, Cl. GA, 4.50%, 12/1/21 | 2,521,120 | 2,582,902 | ||||||
Series 2929, Cl. PC, 5%, 1/1/28 | 1,296,662 | 1,322,325 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 | 2,807,000 | 3,077,428 | ||||||
Series 2947, Cl. HE, 5%, 3/1/35 | 4,260,000 | 4,668,348 | ||||||
Series 2952, Cl. GJ, 4.50%, 12/1/28 | 1,596,841 | 1,616,982 | ||||||
Series 3025, Cl. SJ, 23.806%, 8/15/351 | 2,205,289 | 3,272,596 | ||||||
Series 3057, Cl. LG, 5%, 10/15/35 | 5,000,000 | 5,478,376 | ||||||
Series 3094, Cl. HS, 23.44%, 6/15/341 | 1,254,672 | 1,754,267 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 183, Cl. IO, 9.454%, 4/1/277 | 647,570 | 153,454 | ||||||
Series 192, Cl. IO, 8.228%, 2/1/287 | 290,485 | 49,903 | ||||||
Series 2035, Cl. PE, 0%, 3/15/287,8 | 75,206 | 16,289 | ||||||
Series 2049, Cl. PL, 19.483%, 4/15/287 | 459,707 | 95,171 | ||||||
Series 205, Cl. IO, 6.423%, 9/1/297 | 1,485,620 | 322,306 | ||||||
Series 206, Cl. IO, 0%, 12/1/297,8 | 480,044 | 127,966 | ||||||
Series 207, Cl. IO, 0%, 4/1/307,8 | 528,429 | 109,981 | ||||||
Series 2074, Cl. S, 54.041%, 7/17/287 | 377,961 | 75,341 | ||||||
Series 2079, Cl. S, 65.903%, 7/17/287 | 626,799 | 136,767 | ||||||
Series 214, Cl. IO, 0%, 6/1/317,8 | 509,813 | 90,039 | ||||||
Series 2177, Cl. SB, 99.999%, 8/15/297 | 391,759 | 97,642 | ||||||
Series 224, Cl. IO, 0%, 3/1/337,8 | 2,597,208 | 448,055 | ||||||
Series 243, Cl. 6, 2.857%, 12/15/327 | 1,742,074 | 361,906 | ||||||
Series 2526, Cl. SE, 37.061%, 6/15/297 | 897,710 | 167,581 | ||||||
Series 2802, Cl. AS, 98.368%, 4/15/337 | 2,017,407 | 168,921 | ||||||
Series 2819, Cl. S, 47.814%, 6/15/347 | 8,542,055 | 1,644,246 | ||||||
Series 2920, Cl. S, 66.595%, 1/15/357 | 4,962,196 | 747,431 | ||||||
Series 3000, Cl. SE, 97.992%, 7/15/257 | 5,775,729 | 828,869 | ||||||
Series 3004, Cl. SB, 8.906%, 7/15/357 | 9,473,351 | 1,431,195 | ||||||
Series 3110, Cl. SL, 35.026%, 2/15/267 | 1,933,574 | 259,044 | ||||||
Federal National Mortgage Assn.: | ||||||||
4.50%, 10/1/25-10/1/409 | 20,107,000 | 21,069,506 | ||||||
5%, 11/25/21-12/25/21 | 159,772 | 169,892 | ||||||
5%, 10/1/25-10/1/409 | 14,843,000 | 15,675,076 | ||||||
5.285%, 10/1/36 | 15,614,201 | 16,316,298 | ||||||
5.50%, 1/25/22-8/25/22 | 1,480,395 | 1,599,076 | ||||||
5.50%, 10/1/25-10/1/409 | 45,432,000 | 48,365,226 | ||||||
6%, 6/25/17-4/1/35 | 33,048,633 | 36,079,699 | ||||||
6%, 10/1/259 | 16,577,000 | 17,886,981 | ||||||
6.50%, 4/25/18-1/1/34 | 15,233,622 | 16,853,942 | ||||||
7%, 11/1/17-9/25/34 | 15,451,926 | 17,436,015 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn.: Continued | ||||||||
7%, 4/1/3410 | $ | 7,070,941 | $ | 8,022,033 | ||||
7.50%, 2/25/27-3/25/33 | 9,031,953 | 10,305,988 | ||||||
8.50%, 7/1/32 | 38,080 | 43,050 | ||||||
9.50%, 4/25/20-4/8/21 | 66,711 | 77,096 | ||||||
11%, 11/8/15-2/25/26 | 232,931 | 278,607 | ||||||
13%, 6/25/15 | 47,339 | 56,120 | ||||||
15%, 5/9/13 | 59,008 | 65,004 | ||||||
Federal National Mortgage Assn. Grantor Trust: | ||||||||
Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T10, Cl. IO, 40.234%, 12/25/417 | 105,993,830 | 1,307,180 | ||||||
Interest-Only Stripped Mtg.-Backed Security, Trust 2001-T3, Cl. IO, 38.34%, 11/25/407 | 12,118,846 | 209,271 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Trust 1996-35, Cl. Z, 7%, 7/25/26 | 219,973 | 249,407 | ||||||
Trust 1997-45, Cl. CD, 8%, 7/18/27 | 1,333,081 | 1,590,886 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 | 1,386,043 | 1,542,110 | ||||||
Trust 1999-14, Cl. MB, 6.50%, 4/25/29 | 61,405 | 69,357 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 | 2,525,531 | 2,796,065 | ||||||
Trust 2001-19, Cl. Z, 6%, 5/1/31 | 1,390,873 | 1,516,932 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 | 295,163 | 321,108 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 367,889 | 415,511 | ||||||
Trust 2001-65, Cl. F, 0.856%, 11/25/311 | 2,305,521 | 2,317,543 | ||||||
Trust 2001-69, Cl. PF, 1.256%, 12/25/311 | 2,556,103 | 2,608,629 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 2,826,034 | 3,124,062 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 1,676,833 | 1,831,816 | ||||||
Trust 2002-19, Cl. PE, 6%, 4/25/17 | 890,405 | 967,774 | ||||||
Trust 2002-21, Cl. PE, 6.50%, 4/25/32 | 2,723,202 | 3,015,695 | ||||||
Trust 2002-29, Cl. F, 1.256%, 4/25/321 | 1,272,096 | 1,298,684 | ||||||
Trust 2002-60, Cl. FH, 1.256%, 8/25/321 | 2,450,656 | 2,495,225 | ||||||
Trust 2002-64, Cl. FJ, 1.256%, 4/25/321 | 390,989 | 399,161 | ||||||
Trust 2002-68, Cl. FH, 0.757%, 10/18/321 | 811,962 | 816,519 | ||||||
Trust 2002-81, Cl. FM, 0.756%, 12/25/321 | 1,437,724 | 1,446,681 | ||||||
Trust 2002-84, Cl. FB, 1.256%, 12/25/321 | 238,806 | 243,809 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 1,903,254 | 2,078,311 | ||||||
Trust 2003-11, Cl. FA, 1.256%, 9/25/321 | 325,878 | 332,705 | ||||||
Trust 2003-116, Cl. FA, 0.656%, 11/25/331 | 530,787 | 532,357 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 | 5,556,000 | 6,376,975 | ||||||
Trust 2003-3, Cl. FM, 0.756%, 4/25/331 | 1,769,857 | 1,778,994 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 5,983,000 | 6,552,112 | ||||||
Trust 2004-9, Cl. AB, 4%, 7/1/17 | 3,505,614 | 3,604,907 | ||||||
Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 | 1,434,557 | 1,666,186 | ||||||
Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 | 3,910,000 | 4,461,800 | ||||||
Trust 2005-12, Cl. JC, 5%, 6/1/28 | 2,659,013 | 2,736,269 | ||||||
Trust 2005-22, Cl. EC, 5%, 10/1/28 | 1,833,966 | 1,888,198 | ||||||
Trust 2005-25, Cl. PS, 27.033%, 4/25/351 | 825,878 | 1,197,642 | ||||||
Trust 2005-30, Cl. CU, 5%, 4/1/29 | 1,311,248 | 1,354,608 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 2,865,000 | 3,249,212 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Continued | ||||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 | $ | 5,350,819 | $ | 5,652,610 | ||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 3,700,000 | 4,102,692 | ||||||
Trust 2006-46, Cl. SW, 23.26%, 6/25/361 | 3,274,229 | 4,853,199 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Trust 2001-61, Cl. SH, 43.153%, 11/18/317 | 2,616,935 | 542,411 | ||||||
Trust 2001-63, Cl. SD, 19.304%, 12/18/317 | 70,033 | 14,485 | ||||||
Trust 2001-68, Cl. SC, 14.206%, 11/25/317 | 48,542 | 10,439 | ||||||
Trust 2001-81, Cl. S, 33.906%, 1/25/327 | 661,910 | 124,678 | ||||||
Trust 2002-28, Cl. SA, 35.138%, 4/25/327 | 471,455 | 82,341 | ||||||
Trust 2002-38, Cl. SO, 51.697%, 4/25/327 | 444,817 | 75,766 | ||||||
Trust 2002-39, Cl. SD, 38.564%, 3/18/327 | 692,067 | 130,298 | ||||||
Trust 2002-48, Cl. S, 32.101%, 7/25/327 | 743,611 | 123,722 | ||||||
Trust 2002-52, Cl. SL, 32.96%, 9/25/327 | 449,449 | 90,352 | ||||||
Trust 2002-53, Cl. SK, 36.965%, 4/25/327 | 431,403 | 87,747 | ||||||
Trust 2002-56, Cl. SN, 34.566%, 7/25/327 | 1,019,827 | 169,651 | ||||||
Trust 2002-65, Cl. SC, 67.671%, 6/25/267 | 1,390,040 | 274,790 | ||||||
Trust 2002-77, Cl. IS, 44.673%, 12/18/327 | 757,832 | 153,432 | ||||||
Trust 2002-77, Cl. SH, 43.10%, 12/18/327 | 847,078 | 179,813 | ||||||
Trust 2002-89, Cl. S, 63.556%, 1/25/337 | 4,655,710 | 755,462 | ||||||
Trust 2002-9, Cl. MS, 31.35%, 3/25/327 | 883,753 | 182,109 | ||||||
Trust 2003-13, Cl. IO, 10.721%, 3/25/337 | 3,457,719 | 707,334 | ||||||
Trust 2003-23, Cl. ES, 70.383%, 10/25/227 | 12,368,368 | 1,245,935 | ||||||
Trust 2003-26, Cl. DI, 5.229%, 4/25/337 | 1,935,780 | 378,784 | ||||||
Trust 2003-26, Cl. IK, 8.503%, 4/25/337 | 339,240 | 66,381 | ||||||
Trust 2003-33, Cl. SP, 53.018%, 5/25/337 | 2,983,949 | 401,132 | ||||||
Trust 2003-4, Cl. S, 40.117%, 2/25/337 | 1,526,298 | 211,093 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/337,8 | 577,934 | 74,164 | ||||||
Trust 2004-56, Cl. SE, 13.09%, 10/25/337 | 2,902,652 | 367,598 | ||||||
Trust 2005-14, Cl. SE, 33.888%, 3/25/357 | 1,342,784 | 193,137 | ||||||
Trust 2005-40, Cl. SA, 62.712%, 5/25/357 | 7,634,260 | 1,158,966 | ||||||
Trust 2005-40, Cl. SB, 76.426%, 5/25/357 | 3,535,413 | 621,041 | ||||||
Trust 2005-71, Cl. SA, 67.626%, 8/25/257 | 3,820,607 | 614,291 | ||||||
Trust 2005-87, Cl. SE, 21.889%, 10/25/357 | 43,759,515 | 5,189,651 | ||||||
Trust 2005-87, Cl. SG, 32.886%, 10/25/357 | 1,536,803 | 213,342 | ||||||
Trust 2006-43, Cl. SJ, 99.999%, 6/25/367 | 1,109,994 | 147,976 | ||||||
Trust 2006-51, Cl. SA, 17.106%, 6/25/367 | 34,947,697 | 4,271,737 | ||||||
Trust 2006-60, Cl. DI, 34.193%, 4/25/357 | 2,143,926 | 260,047 | ||||||
Trust 2006-90, Cl. SX, 95.959%, 9/25/367 | 7,344,698 | 1,431,361 | ||||||
Trust 2007-88, Cl. XI, 14.325%, 6/25/377 | 19,166,077 | 2,514,844 | ||||||
Trust 221, Cl. 2, 26.797%, 5/1/237 | 653,313 | 136,944 | ||||||
Trust 247, Cl. 2, 13.222%, 10/1/237 | 265,185 | 57,925 | ||||||
Trust 252, Cl. 2, 17.311%, 11/1/237 | 77,787 | 16,695 | ||||||
Trust 254, Cl. 2, 4.341%, 1/1/247 | 222,399 | 49,093 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/337 | 3,060,989 | 540,431 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/357 | 5,435,420 | 934,784 | ||||||
Trust 301, Cl. 2, 16.575%, 4/1/297 | 968,881 | 160,222 |
Principal | ||||||||
Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued | ||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued | ||||||||
Trust 303, Cl. IO, 22.51%, 11/1/297 | $ | 586,707 | $ | 139,507 | ||||
Trust 313, Cl. 2, 14.415%, 6/1/317 | 8,658,934 | 1,649,857 | ||||||
Trust 319, Cl. 2, 13.852%, 2/1/327 | 657,569 | 122,476 | ||||||
Trust 321, Cl. 2, 1.737%, 4/1/327 | 4,209,515 | 785,730 | ||||||
Trust 324, Cl. 2, 0%, 7/1/327,8 | 1,858,177 | 332,205 | ||||||
Trust 328, Cl. 2, 25.133%, 12/1/327 | 6,376,813 | 1,176,951 | ||||||
Trust 331, Cl. 5, 0%, 2/1/337,8 | 3,630,089 | 690,629 | ||||||
Trust 332, Cl. 2, 0%, 3/1/337,8 | 10,594,998 | 1,893,112 | ||||||
Trust 334, Cl. 10, 0%, 2/1/337,8 | 3,013,878 | 610,673 | ||||||
Trust 334, Cl. 12, 0%, 2/1/337,8 | 4,591,066 | 756,742 | ||||||
Trust 338, Cl. 2, 0%, 7/1/337,8 | 11,761,920 | 1,903,983 | ||||||
Trust 339, Cl. 7, 0%, 7/1/337,8 | 10,798,412 | 1,775,216 | ||||||
Trust 345, Cl. 9, 0%, 1/1/347,8 | 4,267,799 | 698,684 | ||||||
Trust 351, Cl. 10, 0%, 4/1/347,8 | 1,251,652 | 200,312 | ||||||
Trust 351, Cl. 8, 0%, 4/1/347,8 | 2,058,090 | 337,410 | ||||||
Trust 356, Cl. 10, 0%, 6/1/357,8 | 1,736,834 | 276,432 | ||||||
Trust 356, Cl. 12, 29.783%, 2/1/357 | 862,047 | 142,633 | ||||||
Trust 362, Cl. 13, 2.67%, 8/1/357 | 110,739 | 17,640 | ||||||
Vendee Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1992-2, Cl. IO, 19.706%, 9/15/227 | 10,161,576 | 279,052 | ||||||
Series 1995-2B, Cl. 2IO, 13.013%, 6/15/257 | 698,883 | 15,063 | ||||||
Series 1995-3, Cl. 1IO, 13.179%, 9/15/257 | 23,453,999 | 156,138 | ||||||
455,792,073 | ||||||||
GNMA/Guaranteed—0.7% | ||||||||
Government National Mortgage Assn.: | ||||||||
3.625%, 7/1/271 | 6,219 | 6,432 | ||||||
4.50%, 10/1/409 | 36,885,000 | 38,809,954 | ||||||
7%, 1/29/28-2/8/30 | 1,461,609 | 1,667,829 | ||||||
8%, 1/29/28-9/29/28 | 634,959 | 747,462 | ||||||
11%, 11/8/19 | 11,024 | 12,321 | ||||||
12%, 12/9/13-9/1/15 | 20,253 | 22,351 | ||||||
12.50%, 12/29/13-11/29/15 | 455,535 | 485,222 | ||||||
13%, 10/30/15 | 657,518 | 735,569 | ||||||
13.50%, 6/30/15 | 983,673 | 1,092,773 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: | ||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 | 5,993,517 | 7,118,415 | ||||||
Series 2000-12,Cl. ZA, 8%, 2/16/30 | 3,136,796 | 3,725,408 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 | 2,869,367 | 3,407,662 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 1998-19, Cl. SB, 53.867%, 7/16/287 | 1,294,991 | 287,123 | ||||||
Series 1998-6, Cl. SA, 72.02%, 3/16/287 | 794,671 | 160,329 | ||||||
Series 2006-47, Cl. SA, 59.434%, 8/16/367 | 6,258,014 | 1,143,526 | ||||||
59,422,376 |
Principal | ||||||||
Amount | Value | |||||||
Non-Agency—7.9% | ||||||||
Commercial—3.4% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 | $ | 10,440,000 | $ | 9,679,878 | ||||
Series 2008-1, Cl. A4, 6.339%, 12/1/171 | 9,860,000 | 10,828,250 | ||||||
Series 2008-1, Cl. AM, 6.382%, 2/10/511 | 8,165,000 | 7,864,196 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 | 10,105,000 | 9,431,479 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR18, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR18, Cl. AM, 6.084%, 6/13/50 | 2,657,000 | 2,433,308 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/22/242,7,8 | 2,019,081 | 93,572 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 | 9,580,325 | 8,467,632 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.329%, 12/20/351 | 492,704 | 408,036 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.294%, 12/1/491 | 9,095,000 | 8,595,253 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 | 3,190,000 | 3,312,293 | ||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.91%, 6/1/391 | 4,210,000 | 4,205,973 | ||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.756%, 1/27/371,5 | 3,869,289 | 1,059,218 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 | 2,635,332 | 1,838,978 | ||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.993%, 10/15/301,5 | 35,660,746 | 6,062,327 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 | 2,272,529 | 1,786,527 | ||||||
First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.083%, 11/1/371 | 11,241,854 | 9,307,243 | ||||||
GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 | 775,418 | 784,268 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.114%, 5/15/301 | 2,000,000 | 1,999,345 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 | 19,960,000 | 20,930,723 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 | 9,277,000 | 9,897,539 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.796%, 5/25/351 | $ | 3,751,289 | $ | 2,807,579 | ||||
Indymac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2 A2, 4.222%, 1/1/361 | 704,131 | 29,848 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 | 3,985,000 | 4,077,357 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/495 | 5,615,000 | 5,588,610 | ||||||
Series 2006-LDP9, Cl. A3, 5.336%, 5/1/47 | 8,660,000 | 9,022,903 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 | 11,430,000 | 11,914,290 | ||||||
Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 | 8,605,000 | 9,036,030 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 | 16,776,000 | 15,339,714 | ||||||
Series 2008-C2, Cl. A4, 6.068%, 2/1/51 | 18,630,000 | 18,951,284 | ||||||
Series 2008-C2, Cl. AM, 6.789%, 2/1/511 | 13,140,000 | 8,680,828 | ||||||
JPMorgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4, 5.686%, 4/1/361 | 5,468,136 | 1,658,669 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.765%, 1/1/371 | 1,547,762 | 1,273,787 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.324%, 4/11/411 | 6,930,000 | 6,258,271 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/242 | 284,819 | 227,814 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 2,201,355 | 348,785 | ||||||
Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 | 2,741,320 | 2,726,541 | ||||||
ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.465%, 7/12/46 | 3,602,000 | 3,494,665 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: | ||||||||
Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 | 15,820,000 | 15,378,742 | ||||||
Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 | 8,890,000 | 9,429,618 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.313%, 4/25/351 | 341,083 | 66,219 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 2,268,033 | 1,352,488 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.831%, 2/1/371 | 22,559,925 | 18,034,420 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 6.102%, 2/1/511 | 15,020,000 | 15,713,986 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. AJ, 6.155%, 5/1/461 | 6,960,000 | 4,652,546 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.226%, 11/1/461 | 3,489,478 | 2,352,274 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 3.047%, 4/1/471 | 2,499,420 | 1,311,758 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Continued | ||||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.961%, 11/1/341 | $ | 2,858,981 | $ | 841,583 | ||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.853%, 2/1/351 | 11,901,212 | 10,891,972 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 2.935%, 4/25/361 | 7,693,161 | 7,338,552 | ||||||
307,787,171 | ||||||||
Manufactured Housing—0.0% | ||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 4.577%, 3/25/361 | 3,699,463 | 3,161,436 | ||||||
Multifamily—0.1% | ||||||||
Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 2.799%, 2/1/351 | 2,685,929 | 2,562,190 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.064%, 9/1/351 | 2,035,065 | 1,955,036 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 4.917%, 3/25/361 | 5,706,908 | 5,140,004 | ||||||
9,657,230 | ||||||||
Other—0.1% | ||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 | 8,605,000 | 9,086,679 | ||||||
Residential—4.3% | ||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 6.001%, 8/1/171 | 17,290,000 | 16,041,207 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 3.018%, 5/1/341 | 9,836,891 | 8,925,174 | ||||||
Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 4.933%, 11/1/341 | 3,470,301 | 3,332,063 | ||||||
Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 4.234%, 2/1/371 | 4,635,872 | 4,710,526 | ||||||
CHL Mortgage Pass-Through Trust 2005-24, Mtg. Pass-Through Certificates, Series 2005-24, Cl. A35, 5.50%, 11/1/35 | 2,649,394 | 2,560,409 | ||||||
CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl. 1A8, 5.50%, 11/1/35 | 7,560,763 | 7,076,005 | ||||||
CHL Mortgage Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates, Series 2005-31, Cl. 2A4, 5.331%, 1/1/361 | 3,082,760 | 738,367 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 5,551,000 | 4,519,982 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 2,350,783 | 2,148,284 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 3.84%, 6/1/471 | $ | 6,146,402 | $ | 4,123,185 | ||||
CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY4, Cl. 1A1, 5.89%, 9/1/471 | 30,573,816 | 23,188,206 | ||||||
Series 2007-HY4, Cl. 1A2, 5.89%, 9/1/471 | 7,806,911 | 1,063,110 | ||||||
Series 2007-HY4, Cl. 2A2, 6.095%, 11/1/371 | 1,668,509 | 311,979 | ||||||
Series 2007-HY4, Cl. 3A2, 6.184%, 11/1/371 | 1,987,755 | 328,598 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY5, Cl. 1A2, 5.792%, 9/1/371 | 8,796,675 | 1,922,201 | ||||||
Series 2007-HY5, Cl. 2A2, 5.826%, 9/1/371 | 2,184,123 | 326,500 | ||||||
Series 2007-HY5, Cl. 3A2, 5.976%, 9/1/371 | 6,088,635 | 1,188,161 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.954%, 5/1/351 | 8,044,071 | 7,089,715 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.156%, 8/1/351 | 15,603,165 | 11,311,585 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Mtg. Pass-Through Certificates, Series 2006-AR1, Cl. 3A2, 5.50%, 3/1/361 | 8,361,498 | 925,400 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR2, Cl. 1A2, 5.32%, 3/1/361 | 18,539,933 | 14,570,255 | ||||||
Series 2006-AR2, Cl. 1AB, 5.591%, 3/1/36 | 7,776,885 | 1,016,120 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 14,965,000 | 13,259,707 | ||||||
CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 | 5,249,137 | 4,560,487 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 | 30,566,753 | 20,514,525 | ||||||
GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.879%, 5/1/341 | 6,989,347 | 6,088,487 | ||||||
GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates, Series 2005-AR6, Cl. 1A4, 2.866%, 9/1/351 | 20,098,379 | 19,915,976 | ||||||
GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.318%, 11/1/351 | 6,541,250 | 5,539,317 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 3,677,799 | 3,509,188 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 6,084,232 | 5,448,290 | ||||||
JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 5.292%, 7/1/351 | 10,625,790 | 10,264,359 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3, 5.982%, 5/1/371 | 3,505,553 | 1,006,593 |
Principal | ||||||||
Amount | Value | |||||||
Residential Continued | ||||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.374%, 9/11/451 | $ | 27,890,000 | $ | 25,209,459 | ||||
Lehman Mortgage Trust, Mtg. Pass-Through Certificates, Series 2006-1, Cl. 1A3, 5.50%, 2/1/36 | 2,156,104 | 1,980,150 | ||||||
Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 3.153%, 4/1/361 | 6,714,455 | 5,376,308 | ||||||
Merrill Lynch Mortgage Investors Trust 2005-A1, Mtg. Pass-Through Certificates, Series 2005-A1, Cl.2A1, 2.93%, 12/25/341 | 419,375 | 411,214 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 6.067%, 10/25/361 | 9,682,303 | 9,124,694 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 | 31,891 | 32,201 | ||||||
RALI Series 2006-QS13 Trust: | ||||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 | 202,934 | 134,299 | ||||||
Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 | 7,930,791 | 4,844,286 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 3,648,877 | 2,235,689 | ||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | 9,819,000 | 8,070,923 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 13,805,053 | 11,339,194 | ||||||
RFMSI Series 2007-SA3, Mtg. Pass-Through Certificates, Series 2007-SA3, Cl. 2A2, 5.703%, 7/1/371 | 776,391 | 10,585 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2005-AR12, Cl. 1A8, 2.803%, 10/1/351 | 7,383,243 | 6,678,553 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.837%, 9/1/361 | 5,951,713 | 5,390,609 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2007-HY1, Cl. 4A1, 5.241%, 2/1/371 | 42,372,544 | 31,948,983 | ||||||
Series 2007-HY1, Cl. 5A1, 5.567%, 2/1/371 | 25,349,363 | 18,702,710 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 5.424%, 12/1/361 | 29,390,512 | 22,049,468 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.581%, 6/25/371 | 11,668,429 | 9,245,130 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.665%, 7/1/371 | 6,781,061 | 4,633,452 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 2.999%, 10/1/351 | 4,530,533 | 4,359,899 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: | ||||||||
Series 2006-AR10, Cl. 3A2, 2.886%, 7/1/361 | 1,773,253 | 706,440 | ||||||
Series 2006-AR10, Cl. 4A2, 5.468%, 7/1/361 | 5,943,588 | 957,138 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Residential Continued | ||||||||||||
Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 3.424%, 4/1/361 | $ | 5,152,938 | $ | 4,565,330 | ||||||||
385,530,675 | ||||||||||||
Total Mortgage-Backed Obligations (Cost $1,276,528,300) | 1,230,437,640 | |||||||||||
U.S. Government Obligations—3.2% | ||||||||||||
Federal Home Loan Bank Unsec. Bonds, 4.75%, 12/16/16 | 5,220,000 | 6,083,821 | ||||||||||
Federal Home Loan Mortgage Corp. Nts.: | ||||||||||||
1.125%, 7/27/12 | 69,170,000 | 70,003,844 | ||||||||||
2.875%, 2/9/15 | 19,560,000 | 20,853,503 | ||||||||||
3%, 7/28/1410 | 11,290,000 | 12,088,835 | ||||||||||
5%, 2/16/17 | 6,730,000 | 7,917,293 | ||||||||||
5.25%, 4/18/16 | 14,835,000 | 17,562,860 | ||||||||||
Federal National Mortgage Assn. Nts.: | ||||||||||||
1.125%, 7/30/12 | 63,790,000 | 64,517,908 | ||||||||||
1.625%, 10/26/15 | 11,885,000 | 11,900,462 | ||||||||||
2.375%, 7/28/15 | 3,835,000 | 3,990,923 | ||||||||||
4.375%, 10/15/1511 | 15,004,000 | 17,044,319 | ||||||||||
4.875%, 12/15/16 | 5,005,000 | 5,851,075 | ||||||||||
5%, 3/15/16 | 6,670,000 | 7,794,835 | ||||||||||
5.375%, 7/15/16 | 7,948,000 | 9,476,257 | ||||||||||
U.S. Treasury Bills, 0.215%, 12/2/1010 | 21,000,000 | 20,995,485 | ||||||||||
U.S. Treasury Bonds, STRIPS, 4.989%, 2/15/1610,12 | 11,271,000 | 10,400,946 | ||||||||||
Total U.S. Government Obligations (Cost $278,682,974) | 286,482,366 | |||||||||||
Foreign Government Obligations—23.4% | ||||||||||||
Argentina—0.7% | ||||||||||||
Argentina (Republic of) Bonds: | ||||||||||||
2.50%, 12/31/381 | 22,805,000 | 9,372,855 | ||||||||||
Series GDP, 2.724%, 12/15/351 | 18,180,000 | 2,263,410 | ||||||||||
Series VII, 7%, 9/12/13 | 10,880,000 | 10,229,920 | ||||||||||
Argentina (Republic of) Sr. Unsec. Bonds, 0%, 12/15/351 | 25,755,000 | EUR | 3,795,452 | |||||||||
Argentina (Republic of) Sr. Unsec. Nts., 7%, 10/3/15 | 45,740,000 | 40,768,316 | ||||||||||
66,429,953 | ||||||||||||
Australia—0.2% | ||||||||||||
Australia (Commonwealth of) Sr. Unsec. Bonds: | ||||||||||||
Series 119, 6.25%, 4/15/15 | 2,260,000 | AUD | 2,307,655 | |||||||||
Series 120, 6%, 2/15/17 | 1,230,000 | AUD | 1,258,972 | |||||||||
Queensland Treasury Corp. Sr. Unsec. Unsub. Nts., Series 16, 6%, 4/21/16 | 18,140,000 | AUD | 17,955,709 | |||||||||
21,522,336 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Austria—0.1% | ||||||||||||
Austria (Republic of) Bonds, 4.35%, 3/15/192 | 2,330,000 | EUR | $ | 3,580,832 | ||||||||
Austria (Republic of) Sr. Unsec. Unsub. Bonds, Series 2, 4.65%, 1/15/18 | 2,400,000 | EUR | 3,743,920 | |||||||||
7,324,752 | ||||||||||||
Belgium—0.1% | ||||||||||||
Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 | 3,535,000 | EUR | 5,680,987 | |||||||||
Belize—0.0% | ||||||||||||
Belize (Government of) Unsec. Unsub. Bonds, 6%, 2/20/291,2 | 3,010,000 | 2,633,750 | ||||||||||
Brazil—3.0% | ||||||||||||
Brazil (Federal Republic of) Bonds, 7.125%, 1/20/37 | 2,090,000 | 2,758,800 | ||||||||||
Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: | ||||||||||||
9.762%, 1/1/12 | 70,129,000 | BRR | 40,719,953 | |||||||||
9.762%, 1/1/17 | 329,580,000 | BRR | 180,249,272 | |||||||||
10%, 1/1/21 | 56,180,000 | BRR | 29,706,005 | |||||||||
11.382%, 5/15/45 | 12,575,000 | BRR | 14,534,933 | |||||||||
Brazil (Federal Republic of) Sr. Unsec. Unsub. Nts., 5.625%, 1/7/41 | 7,200,000 | 7,938,000 | ||||||||||
275,906,963 | ||||||||||||
Canada—0.3% | ||||||||||||
Canada (Government of) Nts.: | ||||||||||||
3%, 12/1/15 | 17,355,000 | CAD | 17,670,423 | |||||||||
4%, 6/1/17 | 8,320,000 | CAD | 8,930,031 | |||||||||
4.25%, 6/1/18 | 2,730,000 | CAD | 2,975,936 | |||||||||
29,576,390 | ||||||||||||
Colombia—0.8% | ||||||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/282 | 9,872,000,000 | COP | 7,664,876 | |||||||||
Colombia (Republic of) Bonds: | ||||||||||||
7.375%, 9/18/37 | 5,628,000 | 7,443,030 | ||||||||||
12%, 10/22/15 | 9,471,000,000 | COP | 6,922,864 | |||||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 6,330,000 | 8,039,100 | ||||||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 11,700,000 | 13,455,000 | ||||||||||
Colombia (Republic of) Sr. Unsec. Unsub. Bonds, 7.75%, 4/14/21 | 8,792,000,000 | COP | 5,741,019 | |||||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 5,320,000 | 6,583,500 | ||||||||||
Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 | 17,495,000,000 | COP | 13,895,296 | |||||||||
69,744,685 | ||||||||||||
Denmark—0.0% | ||||||||||||
Denmark (Kingdom of) Bonds: | ||||||||||||
4%, 11/15/17 | 2,890,000 | DKK | 595,769 | |||||||||
4%, 11/15/19 | 14,990,000 | DKK | 3,122,983 | |||||||||
3,718,752 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Dominican Republic—0.1% | ||||||||||||
Dominican Republic Bonds, 7.50%, 5/6/212 | $ | 4,900,000 | $ | 5,544,350 | ||||||||
Egypt—0.8% | ||||||||||||
Egypt (The Arab Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||||||
5.75%, 4/29/202 | 3,600,000 | 3,874,500 | ||||||||||
6.875%, 4/30/402 | 3,920,000 | 4,429,600 | ||||||||||
Egypt (The Arab Republic of) Treasury Bills: | ||||||||||||
10.382%, 11/16/1012 | 25,550,000 | EGP | 4,436,693 | |||||||||
Series 91, 10.111%, 10/19/1012 | 15,100,000 | EGP | 2,641,174 | |||||||||
Series 182, 10.38%, 12/14/1012 | 41,125,000 | EGP | 7,092,419 | |||||||||
Series 182, 10.031%, 1/18/1112 | 17,725,000 | EGP | 3,032,211 | |||||||||
Series 182, 9.963%, 2/1/1112 | 41,950,000 | EGP | 7,141,558 | |||||||||
Series 182, 9.819%, 3/22/1112 | 30,475,000 | EGP | 5,115,228 | |||||||||
Series 273, 10.059%, 10/5/1012 | 39,550,000 | EGP | 6,941,049 | |||||||||
Series 273, 9.526%, 11/30/1012 | 18,025,000 | EGP | 3,123,426 | |||||||||
Series 273, 10.571%, 4/5/1112 | 19,450,000 | EGP | 3,250,589 | |||||||||
Series 364, 10.438%, 12/21/1012 | 12,750,000 | EGP | 2,193,950 | |||||||||
Series 364, 10.508%, 3/8/1112 | 29,950,000 | EGP | 5,046,362 | |||||||||
Series 364, 10.046%, 5/10/1112 | 19,825,000 | EGP | 3,286,987 | |||||||||
Series 364, 10.064%, 7/12/1112 | 43,525,000 | EGP | 7,080,923 | |||||||||
Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/122 | 39,530,000 | EGP | 6,985,277 | |||||||||
75,671,946 | ||||||||||||
Finland—0.0% | ||||||||||||
Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 | 1,505,000 | EUR | 2,281,445 | |||||||||
France—0.0% | ||||||||||||
France (Government of) Bonds, 4%, 4/25/60 | 1,470,000 | EUR | 2,362,880 | |||||||||
Germany—0.3% | ||||||||||||
Germany (Federal Republic of) Bonds: | ||||||||||||
0.50%, 6/15/12 | 5,480,000 | EUR | 7,435,682 | |||||||||
3.50%, 7/4/19 | 4,335,000 | EUR | 6,526,428 | |||||||||
Series 07, 4.25%, 7/4/39 | 2,730,000 | EUR | 4,712,412 | |||||||||
Series 157, 2.25%, 4/10/15 | 7,255,000 | EUR | 10,267,347 | |||||||||
28,941,869 | ||||||||||||
Ghana—0.1% | ||||||||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/172 | 8,875,000 | 10,206,250 | ||||||||||
Greece—0.2% | ||||||||||||
Hellenic Republic Bonds, 4.30%, 3/20/12 | 4,770,000 | EUR | 6,204,238 | |||||||||
Hellenic Republic Sr. Unsec. Unsub. Bonds: | ||||||||||||
30 yr., 4.50%, 9/20/37 | 11,150,000 | EUR | 8,866,161 | |||||||||
30 yr., 4.60%, 9/20/40 | 5,275,000 | EUR | 4,263,636 | |||||||||
19,334,035 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Hungary—0.3% | ||||||||||||
Hungary (Republic of) Bonds: | ||||||||||||
Series 17/B, 6.75%, 2/24/17 | 2,692,500,000 | HUF | $ | 13,389,278 | ||||||||
Series 19/A, 6.50%, 6/24/19 | 2,029,000,000 | HUF | 9,839,442 | |||||||||
23,228,720 | ||||||||||||
Indonesia—0.8% | ||||||||||||
Indonesia (Republic of) Nts.: | ||||||||||||
6.875%, 1/17/182 | 20,260,000 | 24,666,550 | ||||||||||
7.25%, 4/20/152 | 7,895,000 | 9,414,788 | ||||||||||
Indonesia (Republic of) Sr. Unsec. Nts.: | ||||||||||||
7.75%, 1/17/382 | 10,805,000 | 14,883,888 | ||||||||||
10.375%, 5/4/142 | 3,360,000 | 4,263,168 | ||||||||||
Indonesia (Republic of) Sr. Unsec. Unsub. Bonds: | ||||||||||||
5.875%, 3/13/202 | 2,720,000 | 3,151,936 | ||||||||||
6.625% 2/17/372 | 3,060,000 | 3,756,150 | ||||||||||
Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/352 | 6,855,000 | 10,059,713 | ||||||||||
70,196,193 | ||||||||||||
Ireland—0.1% | ||||||||||||
Ireland (Republic of) Bonds: | ||||||||||||
4.50%, 4/18/20 | 2,005,000 | EUR | 2,323,763 | |||||||||
4.60%, 4/18/16 | 1,505,000 | EUR | 1,934,258 | |||||||||
Ireland (Republic of) Sr. Unsub. Bonds., 4.50%, 10/18/18 | 1,345,000 | EUR | 1,620,880 | |||||||||
5,878,901 | ||||||||||||
Israel—0.7% | ||||||||||||
Israel (State of) Bonds: | ||||||||||||
5%, 1/31/20 | 113,300,000 | ILS | 32,480,722 | |||||||||
6%, 2/28/19 | 95,470,000 | ILS | 29,454,840 | |||||||||
61,935,562 | ||||||||||||
Italy—0.5% | ||||||||||||
Italy (Republic of) Bonds: | ||||||||||||
3.75%, 3/1/21 | 6,785,000 | EUR | 9,181,607 | |||||||||
4%, 9/1/20 | 10,495,000 | EUR | 14,572,160 | |||||||||
5%, 9/1/40 | 2,735,000 | EUR | 3,890,602 | |||||||||
Italy (Republic of) Treasury Bonds, 3.75%, 12/15/13 | 10,830,000 | EUR | 15,361,905 | |||||||||
43,006,274 | ||||||||||||
Japan—2.6% | ||||||||||||
Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/299 | 2,755,000,000 | JPY | 35,464,916 | |||||||||
Japan (Government of) Sr. Unsec. Bonds: | ||||||||||||
2 yr., 0.20%, 1/15/129 | 3,079,000,000 | JPY | 36,916,944 | |||||||||
5 yr., 0.50%, 12/20/149 | 5,134,000,000 | JPY | 62,239,480 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Japan Continued | ||||||||||||
10 yr., Series 308, 1.30%, 6/20/209 | 3,479,000,000 | JPY | $ | 43,273,959 | ||||||||
Japan (Government of) Sr. Unsec. Unsub. Bonds: | ||||||||||||
5 yr., Series 91, 0.40%, 9/20/15 | 4,430,000,000 | JPY | 53,430,109 | |||||||||
10 yr., Series 310, 1%, 9/20/209 | 362,000,000 | JPY | 4,363,991 | |||||||||
235,689,399 | ||||||||||||
Korea, Republic of South—1.3% | ||||||||||||
Korea (Republic of) Sr. Unsec. Bonds, Series 2006, 5%, 6/10/20 | 42,931,000,000 | KRW | 40,378,144 | |||||||||
Korea (Republic of) Sr. Unsec. Monetary Stabilization Bonds, 4.18%, 12/2/11 | 30,115,000,000 | KRW | 26,794,123 | |||||||||
Korea (Republic of) Sr. Unsec. Unsub. Nts.: | ||||||||||||
5.125%, 12/7/16 | 6,075,000 | 6,840,936 | ||||||||||
7.125%, 4/16/19 | 9,410,000 | 12,027,523 | ||||||||||
Korea (Republic of) Treasury Bonds, Series 0475-1112, 4.75%, 12/10/11 | 35,850,000,000 | KRW | 32,105,817 | |||||||||
118,146,543 | ||||||||||||
Malaysia—0.1% | ||||||||||||
1Malaysia Sukuk Global Bhd Sr. Unsec. Unsub. Nts., 3.928%, 6/4/152 | 9,105,000 | 9,640,829 | ||||||||||
Malaysia (Government of) Bonds, Series 0110, 3.835%, 8/12/15 | 11,025,000 | MYR | 3,665,532 | |||||||||
13,306,361 | ||||||||||||
Mexico—1.9% | ||||||||||||
United Mexican States Bonds: | ||||||||||||
5.625%, 1/15/17 | 3,940,000 | 4,527,060 | ||||||||||
Series M10, 7.25%, 12/15/161 | 23,460,000 | MXN | 2,000,727 | |||||||||
Series M20, 7.50%, 6/3/271 | 575,570,000 | MXN | 49,519,943 | |||||||||
Series M10, 7.75%, 12/14/17 | 463,310,000 | MXN | 40,615,202 | |||||||||
Series M10, 8%, 12/17/15 | 196,800,000 | MXN | 17,215,403 | |||||||||
Series M10, 8.50%, 12/13/18 | 178,060,000 | MXN | 16,378,711 | |||||||||
Series M20, 10%, 12/5/24 | 424,740,000 | MXN | 44,928,912 | |||||||||
175,185,958 | ||||||||||||
New Zealand—0.2% | ||||||||||||
New Zealand (Government of) Sr. Unsec. Bonds, Series 415, 6%, 4/15/15 | 22,395,000 | NZD | 17,578,978 | |||||||||
Norway—0.0% | ||||||||||||
Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 | 7,395,000 | NOK | 1,388,096 | |||||||||
Panama—0.2% | ||||||||||||
Panama (Republic of) Bonds: | ||||||||||||
7.25%, 3/15/15 | 3,750,000 | 4,500,000 | ||||||||||
8.875%, 9/30/27 | 2,990,000 | 4,357,925 | ||||||||||
9.375%, 4/1/29 | 4,465,000 | 6,786,800 | ||||||||||
Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 | 4,470,000 | 5,699,250 | ||||||||||
21,343,975 |
Principal | ||||||||||||
Amount | Value | |||||||||||
Peru—0.1% | ||||||||||||
Peru (Republic of) Sr. Nts., 4.54%, 2/28/1612 | $ | 14,029,589 | $ | 11,895,689 | ||||||||
Philippines—0.2% | ||||||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 10,230,000 | 11,969,100 | ||||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Nts., 4.95%, 1/31/21 | 143,000,000 | PHP | 3,345,669 | |||||||||
15,314,769 | ||||||||||||
Poland—1.4% | ||||||||||||
Poland (Republic of) Bonds: | ||||||||||||
5.25%, 10/25/20 | 75,130,000 | PLZ | 25,583,977 | |||||||||
Series 0414, 5.75%, 4/25/14 | 2,030,000 | PLZ | 716,168 | |||||||||
Series 0415, 5.50%, 4/25/15 | 220,810,000 | PLZ | 77,085,429 | |||||||||
Series 1015, 6.25%, 10/24/15 | 62,500,000 | PLZ | 22,533,348 | |||||||||
125,918,922 | ||||||||||||
Portugal—0.0% | ||||||||||||
Portugal (Republic of) Bonds, 4.45%, 6/15/18 | 710,000 | EUR | 880,788 | |||||||||
Portugal (Republic of) Sr. Unsec. Unsub. Bonds., 4.35%, 10/16/17 | 2,290,000 | EUR | 2,886,772 | |||||||||
3,767,560 | ||||||||||||
Qatar—0.1% | ||||||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/202 | 6,010,000 | 6,641,050 | ||||||||||
South Africa—1.7% | ||||||||||||
South Africa (Republic of) Bonds: | ||||||||||||
5.50%, 3/9/20 | 6,900,000 | 7,745,250 | ||||||||||
Series R208, 6.75%, 3/31/21 | 123,520,000 | ZAR | 16,250,502 | |||||||||
Series R207, 7.25%, 1/15/20 | 427,410,000 | ZAR | 58,847,770 | |||||||||
Series R204, 8%, 12/21/18 | 165,830,000 | ZAR | 24,091,166 | |||||||||
Series R186, 10.50%, 12/21/26 | 279,640,000 | ZAR | 49,250,581 | |||||||||
156,185,269 | ||||||||||||
Spain—0.4% | ||||||||||||
Spain (Kingdom of) Bonds, 5.50%, 7/30/17 | 10,420,000 | EUR | 15,781,142 | |||||||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.10%, 7/30/18 | 14,435,000 | EUR | 20,032,365 | |||||||||
35,813,507 | ||||||||||||
Sri Lanka—0.1% | ||||||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/205,9 | 5,090,000 | 5,134,538 | ||||||||||
Sweden—0.0% | ||||||||||||
Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 | 16,535,000 | SEK | 2,676,598 | |||||||||
The Netherlands—0.1% | ||||||||||||
Netherlands (Kingdom of the) Bonds, 4%, 7/15/18 | 2,150,000 | EUR | 3,293,406 | |||||||||
Netherlands (Kingdom of the) Nts., 4.50%, 7/15/17 | 1,300,000 | EUR | 2,039,659 | |||||||||
5,333,065 |
Principal | ||||||||
Amount | Value | |||||||
Turkey—2.0% | ||||||||
Turkey (Republic of) Bonds: | ||||||||
6.75%, 4/3/18 | $ | 13,150,000 | $ | 15,451,250 | ||||
7%, 3/11/19 | 5,250,000 | 6,273,750 | ||||||
10.50%, 1/15/201 | 23,710,000 | TRY | 18,098,472 | |||||
11%, 8/6/14 | 103,140,000 | TRY | 77,148,050 | |||||
16%, 3/7/121 | 20,215,000 | TRY | 15,480,396 | |||||
Series CPI, 14.047%, 8/14/131 | 16,255,000 | TRY | 16,413,323 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 | 6,740,000 | 8,205,950 | ||||||
Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 | 8,170,000 | 10,089,950 | ||||||
Turkey (Republic of) Unsec. Nts.: | ||||||||
6.75%, 5/30/40 | 4,300,000 | 4,924,102 | ||||||
7.25%, 3/5/38 | 4,290,000 | 5,158,725 | ||||||
177,243,968 | ||||||||
Ukraine—0.3% | ||||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/202 | 7,520,000 | 7,585,800 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts., 6.75%, 11/14/172 | 5,020,000 | 4,935,162 | ||||||
Ukraine (Republic of) Sr. Unsec. Unsub. Bonds, 6.58%, 11/21/162 | 4,080,000 | 3,996,686 | ||||||
Ukraine (Republic of) Unsec. Bonds, 6.385%, 6/26/122 | 6,050,000 | 6,171,000 | ||||||
22,688,648 | ||||||||
United Kingdom—0.4% | ||||||||
United Kingdom Treasury Bonds: | ||||||||
2.25%, 3/7/14 | 5,550,000 | GBP | 9,023,916 | |||||
4.75%, 3/7/20 | 7,430,000 | GBP | 13,400,191 | |||||
4.75%, 12/7/38 | 5,350,000 | GBP | 9,652,221 | |||||
32,076,328 | ||||||||
Uruguay—0.4% | ||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 | 7,305,000 | 9,459,975 | ||||||
Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 | 7,740,000 | 9,346,050 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 | 13,835,000 | 17,847,150 | ||||||
36,653,175 | ||||||||
Venezuela—0.8% | ||||||||
Venezuela (Republic of) Bonds: | ||||||||
9%, 5/7/23 | 11,495,000 | 7,874,075 | ||||||
9.25%, 9/15/27 | 5,060,000 | 3,731,750 | ||||||
Venezuela (Republic of) Nts.: | ||||||||
8.25%, 10/13/24 | 1,495,000 | 968,013 | ||||||
8.50%, 10/8/14 | 6,925,000 | 5,851,625 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts., 7.75%, 10/13/19 | 6,580,000 | 4,474,400 |
Principal | ||||||||
Amount | Value | |||||||
Venezuela Continued | ||||||||
Venezuela (Republic of) Unsec. Bonds: | ||||||||
7%, 3/31/38 | $ | 9,525,000 | $ | 5,429,250 | ||||
7.65%, 4/21/25 | 30,525,000 | 18,696,563 | ||||||
9.375%, 1/13/34 | 7,815,000 | 5,353,275 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/182 | 17,155,000 | 16,082,813 | ||||||
68,461,764 | ||||||||
Total Foreign Government Obligations (Cost $1,926,989,416) | 2,119,571,153 | |||||||
Loan Participations—0.3% | ||||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan: | ||||||||
Tranche 3L, 3.565%, 10/19/151,9,13 | 6,291,123 | 3,567,966 | ||||||
Tranche B, 10/19/159,13,19 | 1,960,000 | 1,111,600 | ||||||
Tranche B, 3.565%, 10/19/151,13 | 14,037,216 | 7,961,108 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15 | 16,445,000 | 17,832,547 | ||||||
Total Loan Participations (Cost $27,837,829) | 30,473,221 | |||||||
Corporate Bonds and Notes—30.1% | ||||||||
Consumer Discretionary—4.9% | ||||||||
Auto Components—0.5% | ||||||||
Allison Transmission, Inc., 11% Sr. Nts., 11/1/152 | 11,080,000 | 12,077,200 | ||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 8,870,000 | 9,380,025 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/172 | 20,700,000 | 21,010,500 | ||||||
Visteon Corp.: | ||||||||
7% Sr. Unsec. Nts., 3/10/144,6 | 3,435,000 | 3,520,875 | ||||||
8.25% Sr. Unsec. Nts., 8/1/104,6 | 1,070,000 | 1,096,750 | ||||||
47,085,350 | ||||||||
Hotels, Restaurants & Leisure—1.4% | ||||||||
CCM Merger, Inc., 8% Unsec. Nts., 8/1/132 | 1,705,000 | 1,568,600 | ||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/162 | 8,455,000 | 8,687,513 | ||||||
Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/152 | 4,270,000 | 4,101,335 | ||||||
Harrah’s Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 | 33,977,000 | 27,309,014 | ||||||
Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 | 5,763,000 | 5,244,330 | ||||||
Landry’s Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 | 4,835,000 | 5,125,100 | ||||||
Las Vegas Sands Corp., 6.375% Sr. Unsec. Nts., 2/15/15 | 7,410,000 | 7,511,888 | ||||||
Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/152,4 | 12,065,000 | 1,870,075 | ||||||
MCE Finance Ltd., 10.25% Sr. Sec. Nts., 5/15/182 | 4,810,000 | 5,375,175 |
Principal | ||||||||
Amount | Value | |||||||
Hotels, Restaurants & Leisure Continued | ||||||||
MGM Mirage, Inc.: | ||||||||
5.875% Sr. Nts., 2/27/14 | $ | 6,130,000 | $ | 5,271,800 | ||||
6.75% Sr. Unsec. Nts., 4/1/13 | 15,095,000 | 14,094,956 | ||||||
9% Sr. Sec. Nts., 3/15/202 | 515,000 | 544,613 | ||||||
Mohegan Tribal Gaming Authority: | ||||||||
6.125% Sr. Unsec. Sub. Nts., 2/15/13 | 4,010,000 | 3,192,963 | ||||||
8% Sr. Sub. Nts., 4/1/12 | 8,541,000 | 6,533,865 | ||||||
11.50% Sr. Sec. Nts., 11/1/172 | 9,635,000 | 8,671,500 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 5,515,000 | 5,887,263 | ||||||
Pinnacle Entertainment, Inc.: | ||||||||
8.625% Sr. Unsec. Nts., 8/1/17 | 935,000 | 996,944 | ||||||
8.75% Sr. Unsec. Sub. Nts., 5/15/20 | 3,340,000 | 3,306,600 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/082,4,6 | 10,850,000 | — | ||||||
Snoqualmie Entertainment Authority, 9.125% Sr. Sec. Nts., 2/1/152 | 1,125,000 | 995,625 | ||||||
Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/144,6 | 22,435,000 | 2,244 | ||||||
Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 | 8,280,000 | 8,901,000 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 7.75% Sec. Nts., 8/15/202 | 4,980,000 | 5,278,800 | ||||||
130,471,203 | ||||||||
Household Durables—0.4% | ||||||||
Beazer Homes USA, Inc.: | ||||||||
6.50% Sr. Unsec. Nts., 11/15/13 | 5,110,000 | 4,956,700 | ||||||
6.875% Sr. Unsec. Nts., 7/15/15 | 10,875,000 | 9,937,031 | ||||||
K. Hovnanian Enterprises, Inc.: | ||||||||
7.75% Sr. Unsec. Sub. Nts., 5/15/13 | 2,965,000 | 2,635,144 | ||||||
8.875% Sr. Sub. Nts., 4/1/12 | 8,345,000 | 8,052,925 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Luxembourg SA, 8.50% Sr. Nts., 5/15/182 | 8,695,000 | 8,542,838 | ||||||
Standard Pacific Corp., 8.375% Sr. Sec. Nts., 5/15/18 | 2,005,000 | 2,015,025 | ||||||
36,139,663 | ||||||||
Leisure Equipment & Products—0.5% | ||||||||
Colt Defense LLC/Colt Finance Corp., 8.75% Sr. Unsec. Nts., 11/15/172 | 6,505,000 | 4,813,700 | ||||||
Eastman Kodak Co., 9.75% Sr. Sec. Nts., 3/1/182 | 41,415,000 | 40,379,625 | ||||||
45,193,325 | ||||||||
Media—1.7% | ||||||||
AMC Entertainment, Inc.: | ||||||||
8% Sr. Unsec. Sub. Nts., 3/1/14 | 4,085,000 | 4,141,169 | ||||||
11% Sr. Unsec. Unsub. Nts., 2/1/16 | 7,700,000 | 8,258,250 |
Principal | ||||||||
Amount | Value | |||||||
Media Continued | ||||||||
American Media Operations, Inc.: | ||||||||
9% Sr. Unsec. Nts., 5/1/135,13 | $ | 2,261 | $ | 2,306 | ||||
9.17% Sr. Sub. Nts., 11/1/132,13 | 21,831,214 | 14,326,734 | ||||||
Belo (A.H.) Corp.: | ||||||||
7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 | 1,775,000 | 1,522,063 | ||||||
7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 11,245,000 | 9,979,938 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp., | ||||||||
7.25% Sr. Unsec. Nts., 10/30/172 | 5,600,000 | 5,705,000 | ||||||
Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/152 | 16,970,000 | 16,948,788 | ||||||
Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/172 | 4,900,000 | 5,194,000 | ||||||
Clear Channel Communications, Inc.: | ||||||||
4.40% Sr. Unsec. Unsub. Nts., 5/15/11 | 920,000 | 900,450 | ||||||
10.75% Sr. Unsec. Unsub. Nts., 8/1/16 | 11,465,000 | 9,000,025 | ||||||
Entravison Communications Corp., 8.75% Sr. Sec. Nts., 8/1/172 | 2,370,000 | 2,429,250 | ||||||
Fisher Communications, Inc., 8.625% Sr. Unsec. Nts., 9/15/14 | 1,435,000 | 1,427,825 | ||||||
Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 | 18,991,000 | 19,062,216 | ||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/185 | 3,550,000 | 3,694,237 | ||||||
Media General, Inc., 11.75% Sr. Sec. Nts., 2/15/17 | 10,095,000 | 10,978,313 | ||||||
MediaNews Group, Inc.: | ||||||||
6.375% Sr. Sub. Nts., 4/1/144,6 | 2,545,000 | 255 | ||||||
6.875% Sr. Unsec. Sub. Nts., 10/1/134,6 | 8,690,000 | 869 | ||||||
Nexstar Broadcasting, Inc., 8.875% Sr. Sec. Nts., 4/15/172 | 6,090,000 | 6,379,275 | ||||||
Radio One, Inc., 6.375% Sr. Unsec. Sub. Nts., 2/15/134 | 1,340,000 | 1,133,975 | ||||||
Sinclair Television Group, Inc., 8.375% Sr. Nts., 10/15/185,9 | 5,600,000 | 5,642,000 | ||||||
Umbrella Acquisition, Inc., 9.135% Sr. Unsec. Unsub. Nts., 3/15/152,13 | 12,213,999 | 11,755,974 | ||||||
Visant Corp., 10% Sr. Sec. Nts., 10/1/172 | 2,255,000 | 2,362,113 | ||||||
WMG Holdings Corp., 9.50% Sr. Unsec. Nts., 12/15/14 | 9,610,000 | 9,249,625 | ||||||
150,094,650 | ||||||||
Multiline Retail—0.2% | ||||||||
Bon-Ton Stores, Inc. (The), 10.25% Sr. Unsec. Unsub. Nts., 3/15/14 | 13,400,000 | 13,266,000 | ||||||
Specialty Retail—0.2% | ||||||||
Burlington Coat Factory Warehouse Corp., 11.125% Sr. Unsec. Nts., 4/15/14 | 12,257,000 | 12,869,850 | ||||||
Toys R Us, Inc., 7.375% Sr. Unsec. Unsub. Bonds, 10/15/18 | 5,045,000 | 4,843,200 | ||||||
17,713,050 | ||||||||
Consumer Staples—0.5% | ||||||||
Beverages—0.0% | ||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/171 | 6,380,000 | BRR | 3,704,699 |
Principal | ||||||||
Amount | Value | |||||||
Food & Staples Retailing—0.0% | ||||||||
Real Time Data Co., 11% Nts., 5/31/094,5,6,13 | $ | 8,836,185 | $ | — | ||||
Food Products—0.5% | ||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/162 | 14,305,000 | 14,662,625 | ||||||
ASG Consolidated LLC, 13.65% Sr. Nts., 5/15/172,6,13 | 14,960,000 | 13,613,600 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/152 | 5,541,000 | 5,842,430 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/155 | 9,465,000 | 10,080,225 | ||||||
44,198,880 | ||||||||
Personal Products—0.0% | ||||||||
NBTY, Inc., 9% Sr. Nts., 10/1/182,9 | 1,125,000 | 1,186,875 | ||||||
Energy—5.7% | ||||||||
Energy Equipment & Services—0.5% | ||||||||
Gibson Energy ULC/GEP Midstream Finance Corp., | ||||||||
10% Sr. Unsec. Nts., 1/15/18 | 2,040,000 | 2,019,600 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec Nts., 5/1/172 | 13,375,000 | 13,675,938 | ||||||
PHI, Inc., 8.625% Sr. Unsec. Nts., 10/15/182 | 11,255,000 | 11,114,313 | ||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/172 | 9,090,000 | 9,544,500 | ||||||
Vantage Drilling Co., 11.50% Sr. Sec. Nts., 8/1/152 | 9,590,000 | 10,117,450 | ||||||
46,471,801 | ||||||||
Oil, Gas & Consumable Fuels—5.2% | ||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/152 | 5,500,000 | 5,788,750 | ||||||
Alon Refining Krotz Springs, Inc., 13.50% Sr. Sec. Nts., 10/15/14 | 8,860,000 | 8,671,725 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 | 10,095,000 | 10,776,413 | ||||||
Atlas Energy Resources LLC, 10.75% Sr. Unsec. Nts., 2/1/18 | 17,359,000 | 19,311,888 | ||||||
Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 | 5,275,000 | 5,354,125 | ||||||
ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/152 | 22,720,000 | 19,709,600 | ||||||
Berry Petroleum Co., 8.25% Sr. Sub. Nts., 11/1/16 | 4,800,000 | 4,944,000 | ||||||
Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 | 8,700,000 | 9,548,250 | ||||||
Brigham Exploration Co., 8.75% Sr. Unsec. Nts., 10/1/182 | 1,830,000 | 1,894,050 | ||||||
Chaparral Energy, Inc.: | ||||||||
8.875% Sr. Unsec. Nts., 2/1/17 | 9,805,000 | 9,584,388 | ||||||
9.875% Sr. Nts., 10/1/205 | 10,135,000 | 10,337,700 | ||||||
Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 | 2,365,000 | 2,509,856 | ||||||
Continental Resources, Inc., 7.125% Sr. Nts., 4/1/212,9 | 1,690,000 | 1,766,050 | ||||||
Crosstex Energy LP/Crosstex Energy Finance Corp., 8.875% Sr. Unsec. Nts., 2/15/18 | 2,395,000 | 2,520,738 | ||||||
Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/202 | 3,025,000 | 3,114,110 | ||||||
Energy Transfer Equity LP, 7.50% Sr. Unsec. Nts., 10/15/20 | 2,820,000 | 2,982,150 |
Principal | ||||||||
Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued | ||||||||
Gaz Capital SA: | ||||||||
6.212% Sr. Unsec. Unsub. Nts., 11/22/162 | $ | 7,230,000 | $ | 7,718,025 | ||||
7.288% Sr. Sec. Nts., 8/16/372 | 25,860,000 | 28,932,168 | ||||||
8.125% Nts., 7/31/142 | 5,860,000 | 6,673,368 | ||||||
8.146% Sr. Sec. Nts., 4/11/182 | 10,210,000 | 11,996,750 | ||||||
8.625% Sr. Sec. Nts., 4/28/342 | 6,450,000 | 8,248,260 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/192 | 15,060,000 | 18,825,000 | ||||||
Kazmunaigaz Finance Sub BV: | ||||||||
9.125% Nts., 7/2/182 | 12,000,000 | 14,730,000 | ||||||
11.75% Sr. Unsec. Nts., 1/23/152 | 33,670,000 | 42,760,900 | ||||||
KMG Finance Sub BV, 7% Sr. Unsec. Nts., 5/5/202 | 4,100,000 | 4,540,750 | ||||||
Linn Energy LLC, 8.625% Sr. Unsec. Nts., 4/15/202 | 18,670,000 | 19,883,550 | ||||||
Lukoil International Finance BV: | ||||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/222 | 3,450,000 | 3,570,750 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/195 | 2,250,000 | 2,463,750 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/152 | 18,880,000 | 19,682,400 | ||||||
Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 | 17,610,000 | 19,135,026 | ||||||
OPTI Canada, Inc., 9.75% Sr. Sec. Nts., 8/15/132 | 5,920,000 | 6,038,400 | ||||||
Pan American Energy LLC, 7.875% Sr. Unsec. Nts., 5/7/212 | 5,500,000 | 5,761,250 | ||||||
Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 | 11,540,000 | 12,482,633 | ||||||
Petrobras International Finance Co.: | ||||||||
5.75% Sr. Unsec. Unsub. Nts., 1/20/20 | 3,480,000 | 3,869,356 | ||||||
5.875% Sr. Unsec. Nts., 3/1/18 | 2,520,000 | 2,812,469 | ||||||
7.875% Sr. Unsec. Nts., 3/15/19 | 11,400,000 | 14,272,127 | ||||||
Petroleos de Venezuela SA, 5.25% Sr. Unsec. Unsub. Nts., 4/12/17 | 3,040,000 | 1,770,800 | ||||||
Petroleos Mexicanos: | ||||||||
5.50% Bonds, 1/21/212 | 6,070,000 | 6,494,900 | ||||||
6% Sr. Unsec. Nts., 3/5/202 | 2,750,000 | 3,052,500 | ||||||
8% Unsec. Unsub. Nts., 5/3/19 | 3,440,000 | 4,282,800 | ||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/192 | 8,790,000 | 10,811,700 | ||||||
Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/112 | 8,750,917 | 8,736,032 | ||||||
PT Adaro Indonesia, 7.625% Nts., 10/22/192 | 7,570,000 | 8,289,150 | ||||||
Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 | 9,710,000 | 11,433,525 | ||||||
Range Resources Corp.: | ||||||||
7.50% Sr. Unsec. Unsub. Nts., 10/1/17 | 1,935,000 | 2,070,450 | ||||||
8% Sr. Unsec. Sub. Nts., 5/15/19 | 4,695,000 | 5,152,763 | ||||||
SandRidge Energy, Inc.: | ||||||||
8.75% Sr. Nts., 1/15/202 | 9,535,000 | 9,487,325 | ||||||
9.875% Sr. Unsec. Nts., 5/15/162 | 4,820,000 | 5,000,750 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/142 | 13,153,069 | 13,975,135 | ||||||
Whiting Petroleum Corp., 6.50% Sr. Unsec. Sub. Nts., 10/1/18 | 2,240,000 | 2,287,712 | ||||||
466,056,267 |
Principal | ||||||||
Amount | Value | |||||||
Financials—4.3% | ||||||||
Capital Markets—0.6% | ||||||||
American General Finance, 6.90% Nts., Series J, 12/15/17 | $ | 10,100,000 | $ | 8,484,000 | ||||
Banco de Credito del Peru, 9.75% Jr. Sub. Nts., 11/6/692 | 3,000,000 | 3,600,000 | ||||||
Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 | 4,069,000 | 3,804,515 | ||||||
Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec. Bonds, 9/7/11 | 2,900,000 | 2,947,125 | ||||||
FoxCo Acquisition Sub LLC, 13.375% Sr. Nts., 7/15/162 | 310,000 | 320,850 | ||||||
Graham Packaging Co. LP, 8.50% Sr. Nts., 1/1/172 | 1,265,000 | 1,290,300 | ||||||
Graham Packaging Co. LP/GPC Capital Corp., 8.25% Sr. Unsec. Nts., 10/1/182 | 1,690,000 | 1,725,913 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp., 10.875% Sr. Nts., 4/1/152 | 22,655,000 | 19,086,838 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/185 | 11,245,000 | 11,779,138 | ||||||
53,038,679 | ||||||||
Commercial Banks—2.2% | ||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/152 | 7,590,000 | 7,598,349 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/172 | 6,020,000 | 6,080,200 | ||||||
Banco BMG SA: | ||||||||
9.15% Nts., 1/15/162 | 18,050,000 | 19,874,855 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/192 | 4,270,000 | 4,857,125 | ||||||
Banco Cruzeiro do Sul SA, 8.875% Sub. Nts., 9/22/205 | 3,000,000 | 3,146,250 | ||||||
Banco de Credito del Peru: | ||||||||
5.375% Sr. Nts., 9/16/205 | 4,490,000 | 4,557,350 | ||||||
6.95% Sub. Nts., 11/7/211,2 | 2,920,000 | 2,821,596 | ||||||
Banco do Brasil SA: | ||||||||
5.375% Unsec. Sub. Nts., 1/15/215,9 | 5,400,000 | 5,406,750 | ||||||
8.50% Jr. Sub. Perpetual Bonds2,14 | 6,050,000 | 7,139,000 | ||||||
Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/202 | 2,475,000 | 2,741,063 | ||||||
Bank of Scotland plc: | ||||||||
4.375% Sr. Sec. Nts., 7/13/16 | 7,907,000 | EUR | 11,343,140 | |||||
4.50% Sr. Sec. Nts., 7/13/21 | 5,410,000 | EUR | 7,708,258 | |||||
CIT Group, Inc., 7% Sr. Sec. Bonds, 5/1/17 | 20,945,000 | 20,604,644 | ||||||
HSBK Europe BV: | ||||||||
7.25% Unsec. Unsub. Nts., 5/3/172 | 3,585,000 | 3,692,550 | ||||||
9.25% Sr. Nts., 10/16/132 | 22,290,000 | 24,741,900 | ||||||
ICICI Bank Ltd.: | ||||||||
5.50% Sr. Unsec. Nts., 3/25/152 | 11,665,000 | 12,323,548 | ||||||
6.375% Bonds, 4/30/221,2 | 11,895,000 | 11,986,770 | ||||||
Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/042,4,6 | 5,010,000 | — | ||||||
Salisbury International Investments Ltd., 4.671% Sec. Nts., Series 2006-003, Tranche E, 7/20/111,5 | 5,200,000 | 4,884,360 |
Principal | ||||||||
Amount | Value | |||||||
Commercial Banks Continued | ||||||||
TransCapitalInvest Ltd. for OJSC AK Transneft, 8.70% Sec. Nts., 8/7/182 | $ | 2,900,000 | $ | 3,574,940 | ||||
UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/122 | 4,580,000 | 4,557,100 | ||||||
VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/202 | 13,905,000 | 15,242,661 | ||||||
VTB Capital SA: | ||||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/152 | 7,400,000 | 7,696,000 | ||||||
6.875% Sr. Sec. Nts., 5/29/182 | 2,690,000 | 2,848,172 | ||||||
195,426,581 | ||||||||
Consumer Finance—0.2% | ||||||||
JSC Astana Finance, 9.16% Nts., 3/14/124,6 | 27,100,000 | 3,501,320 | ||||||
SLM Corp., 8% Sr. Nts., 3/25/20 | 5,270,000 | 5,237,431 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/152 | 9,010,000 | 9,877,213 | ||||||
18,615,964 | ||||||||
Diversified Financial Services—0.7% | ||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/262 | 10,508,362 | 9,299,901 | ||||||
BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 | 1,630,000 | EUR | 2,328,620 | |||||
Banco Invex SA, 28.62% Mtg.-Backed Certificates, Series 062U, 3/13/341,15 | 17,962,375 | MXN | 5,127,584 | |||||
BM&F BOVESPA SA, 5.50% Sr. Unsec. Nts., 7/16/202 | 6,070,000 | 6,492,332 | ||||||
Cloverie plc, 4.541% Sec. Nts., Series 2005-93, 12/20/101 | 6,900,000 | 6,598,470 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 | 13,840,000 | 14,912,600 | ||||||
ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds14 | 2,820,000 | 2,545,050 | ||||||
JPMorgan Hipotecaria su Casita: | ||||||||
7.555% Sec. Nts., 8/26/355 | 20,232,960 | MXN | 1,462,640 | |||||
27.067% Mtg.-Backed Certificates, Series 06U, 9/25/351 | 8,894,488 | MXN | 1,496,670 | |||||
Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/972,16 | 12,450,000 | 7,592,919 | ||||||
TNK-BP Finance SA, 7.25% Sr. Unsec. Unsub. Bonds, 2/2/202 | 1,700,000 | 1,863,625 | ||||||
Universal City Development Partners Ltd., 8.875% Sr. Unsec. Nts., 11/15/15 | 6,260,000 | 6,486,925 | ||||||
66,207,336 | ||||||||
Insurance—0.1% | ||||||||
International Lease Finance Corp.: | ||||||||
5.875% Unsec. Unsub. Nts., 5/1/13 | 3,505,000 | 3,522,525 | ||||||
8.625% Sr. Nts., 9/15/152 | 6,140,000 | 6,585,150 | ||||||
8.875% Sr. Unsec. Nts., 9/1/17 | 1,125,000 | 1,220,625 | ||||||
11,328,300 | ||||||||
Real Estate Management & Development—0.3% | ||||||||
Realogy Corp., 10.50% Sr. Unsec. Nts., 4/15/14 | 16,790,000 | 14,355,450 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,5 | 8,465,000 | 8,507,325 | ||||||
22,862,775 |
Principal | ||||||||
Amount | Value | |||||||
Thrifts & Mortgage Finance—0.2% | ||||||||
Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/162 | $ | 2,715,000 | $ | 2,782,875 | ||||
WM Covered Bond Program: | ||||||||
3.875% Sec. Nts., Series 1, 9/27/11 | 1,678,000 | EUR | 2,332,734 | |||||
4% Sec. Mtg. Nts., Series 2, 9/27/16 | 10,420,000 | EUR | 14,799,642 | |||||
4.375% Sec. Nts., 5/19/14 | 1,135,000 | EUR | 1,633,254 | |||||
21,548,505 | ||||||||
Health Care—1.7% | ||||||||
Health Care Equipment & Supplies—0.4% | ||||||||
Accellent, Inc., 10.50% Sr. Unsec. Sub. Nts., 12/1/13 | 5,925,000 | 6,013,875 | ||||||
Alere, Inc., 8.625% Sr. Sub. Nts., 10/1/182 | 3,940,000 | 4,008,950 | ||||||
Biomet, Inc.: | ||||||||
10.375% Sr. Unsec. Nts., 10/15/1713 | 7,605,000 | 8,479,575 | ||||||
11.625% Sr. Unsec. Sub. Nts., 10/15/17 | 8,731,000 | 9,767,806 | ||||||
Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 | 3,160,000 | 3,246,900 | ||||||
Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/1513 | 4,815,000 | 4,869,169 | ||||||
36,386,275 | ||||||||
Health Care Providers & Services—1.1% | ||||||||
Apria Healthcare Group, Inc.: | ||||||||
11.25% Sr. Sec. Nts., 11/1/14 | 2,830,000 | 3,127,150 | ||||||
12.375% Sr. Sec. Nts., 11/1/14 | 5,740,000 | 6,414,450 | ||||||
Capella Healthcare, Inc., 9.25% Sr. Unsec. Nts., 7/1/172 | 1,475,000 | 1,581,938 | ||||||
Catalent Pharma Solutions, Inc., 10.224% Sr. Unsec. Nts., 4/15/1513 | 5,103,831 | 5,180,388 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/182 | 8,875,000 | 9,518,438 | ||||||
HCA, Inc., 6.375% Nts., 1/15/15 | 10,640,000 | 10,666,600 | ||||||
HEALTHSOUTH Corp.: | ||||||||
7.25% Sr. Unsec. Nts., 10/1/189 | 5,640,000 | 5,766,900 | ||||||
7.75% Sr. Unsec. Nts., 9/15/229 | 3,950,000 | 3,989,500 | ||||||
10.75% Sr. Unsec. Nts., 6/15/16 | 4,550,000 | 5,010,688 | ||||||
inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/182 | 4,140,000 | 4,124,475 | ||||||
LifePoint Hospitals, Inc., 6.625% Sr. Unsec. Nts., 10/1/202 | 1,120,000 | 1,145,200 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/182 | 7,115,000 | 7,452,963 | ||||||
OnCure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/172 | 4,070,000 | 3,764,750 | ||||||
Radiation Therapy Services, Inc., 9.875% Sr. Sub. Nts., 4/15/172 | 3,780,000 | 3,751,650 | ||||||
Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 | 10,371,000 | 10,176,544 | ||||||
UHS Escrow Corp., 7% Sr. Nts., 10/1/185 | 1,130,000 | 1,163,900 | ||||||
US Oncology Holdings, Inc., 6.737% Sr. Unsec. Nts., 3/15/121,13 | 4,190,000 | 3,990,975 | ||||||
US Oncology, Inc., 9.125% Sr. Sec. Nts., 8/15/17 | 4,580,000 | 4,877,700 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 | 5,940,000 | 6,058,800 | ||||||
97,763,009 |
Principal | ||||||||
Amount | Value | |||||||
Health Care Technology—0.0% | ||||||||
Merge Healthcare, Inc., 11.75% Sr. Sec. Nts., 5/1/152 | $ | 2,345,000 | $ | 2,409,488 | ||||
Pharmaceuticals—0.2% | ||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 | 6,075,000 | 6,636,938 | ||||||
Valeant Pharmaceuticals International: | ||||||||
6.75% Sr. Nts., 10/1/172 | 565,000 | 577,713 | ||||||
7% Sr. Nts., 10/1/202 | 565,000 | 579,125 | ||||||
Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/182 | 12,615,000 | 13,024,988 | ||||||
20,818,764 | ||||||||
Industrials—3.4% | ||||||||
Aerospace & Defense—0.6% | ||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 1/1/209 | 2,255,000 | 2,311,375 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/172 | 15,780,000 | 15,780,000 | ||||||
Hawker Beechcraft Acquisition Co. LLC, 8.50% Sr. Unsec. Nts., 4/1/15 | 16,745,000 | 12,998,306 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 | 4,735,000 | 5,042,775 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 | 14,065,000 | 15,190,200 | ||||||
51,322,656 | ||||||||
Airlines—0.3% | ||||||||
American Airlines, Inc., 10.50% Sr. Sec. Nts., 10/15/122 | 2,830,000 | 3,070,550 | ||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/152 | 17,060,000 | 18,936,600 | ||||||
United Air Lines, Inc., 12% Sr. Sec. 2nd Lien Nts., 11/1/132 | 2,245,000 | 2,491,950 | ||||||
24,499,100 | ||||||||
Building Products—0.4% | ||||||||
AMH Holdings, Inc., 11.25% Sr. Unsec. Nts., 3/1/14 | 14,670,000 | 15,403,500 | ||||||
Goodman Global Group, Inc., 11.71% Sr. Unsec. Nts., 12/15/1412 | 9,155,000 | 5,904,975 | ||||||
Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 | 14,545,000 | 14,890,444 | ||||||
36,198,919 | ||||||||
Commercial Services & Supplies—0.3% | ||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Nts., 11/15/155,9 | 6,770,000 | 6,961,816 | ||||||
American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/054,6 | 3,462,000 | — | ||||||
West Corp.: | ||||||||
8.625% Sr. Unsec. Nts., 10/1/185,9 | 2,815,000 | 2,874,819 | ||||||
9.50% Sr. Unsec. Nts., 10/15/14 | 16,300,000 | 17,135,375 | ||||||
26,972,010 | ||||||||
Construction & Engineering—0.3% | ||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/242 | 15,572,662 | 18,064,288 |
Principal | ||||||||
Amount | Value | |||||||
Construction & Engineering Continued | ||||||||
Odebrecht Finance Ltd.: | ||||||||
7% Sr. Unsec. Nts., 4/21/202 | $ | 3,020,000 | $ | 3,246,500 | ||||
9.625% Sr. Unsec. Nts., 4/9/145 | 1,670,000 | 1,970,600 | ||||||
23,281,388 | ||||||||
Industrial Conglomerates—0.1% | ||||||||
Sequa Corp., 11.75% Sr. Unsec. Nts., 12/1/152 | 9,440,000 | 10,006,400 | ||||||
Machinery—0.4% | ||||||||
ArvinMeritor, Inc., 10.625% Sr. Unsec. Nts., 3/15/18 | 12,065,000 | 13,422,313 | ||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/162 | 9,350,000 | 9,688,938 | ||||||
Mueller Water Products, Inc., 8.75% Sr. Unsec. Unsub. Nts., 9/1/202 | 1,480,000 | 1,561,400 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 | 15,105,000 | 15,199,406 | ||||||
39,872,057 | ||||||||
Marine—0.1% | ||||||||
Marquette Transportation Co., 10.875% Sr. Sec. Nts., 1/15/172 | 8,170,000 | 8,374,250 | ||||||
Navios Maritime Holdings, Inc., 8.875% Nts., 11/1/172 | 2,435,000 | 2,581,100 | ||||||
10,955,350 | ||||||||
Professional Services—0.2% | ||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/152 | 11,398,000 | 11,355,258 | ||||||
FTI Consulting, Inc., 6.75% Sr. Nts., 10/1/202 | 5,635,000 | 5,705,438 | ||||||
TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/182 | 2,355,000 | 2,690,588 | ||||||
19,751,284 | ||||||||
Road & Rail—0.5% | ||||||||
Avis Budget Car Rental LLC: | ||||||||
7.625% Sr. Unsec. Unsub. Nts., 5/15/14 | 4,495,000 | 4,584,900 | ||||||
9.625% Sr. Unsec. Unsub. Nts., 3/15/18 | 1,170,000 | 1,243,125 | ||||||
Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/182 | 16,910,000 | 16,994,550 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/205,9 | 3,000,000 | 3,114,375 | ||||||
Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/262 | 5,629,920 | 4,898,030 | ||||||
Transnet Ltd., 10.80% Sr. Unsec. Nts., 11/6/23 | 18,000,000 | ZAR | 2,896,992 | |||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/152 | 14,889,000 | 14,386,496 | ||||||
48,118,468 | ||||||||
Trading Companies & Distributors—0.2% | ||||||||
Ashtead Capital, Inc., 9% Nts., 8/15/165 | 3,445,000 | 3,582,800 | ||||||
Ashtead Holdings plc, 8.625% Sr. Sec. Nts., 8/1/152 | 2,780,000 | 2,877,300 | ||||||
RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/172 | 1,525,000 | 1,704,188 |
Principal | ||||||||
Amount | Value | |||||||
Trading Companies & Distributors Continued | ||||||||
RSC Equipment Rental, Inc./RSC Holdings III LLC, 9.50% Sr. Unsec. Nts., 12/1/14 | $ | 3,500,000 | $ | 3,644,375 | ||||
United Rentals North America, Inc., 9.25% Sr. Unsec. Unsub. Nts., 12/15/19 | 3,305,000 | 3,594,188 | ||||||
15,402,851 | ||||||||
Information Technology—1.5% | ||||||||
Computers & Peripherals—0.1% | ||||||||
CDW LLC/CDW Finance Corp., 11% Sr. Unsec. Nts., 10/12/155 | 4,970,000 | 4,970,000 | ||||||
Electronic Equipment & Instruments—0.3% | ||||||||
RBS Global, Inc./Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 | 14,815,000 | 15,926,125 | ||||||
Sanmina-SCI Corp., 8.125% Sr. Sub. Nts., 3/1/16 | 8,535,000 | 8,791,050 | ||||||
24,717,175 | ||||||||
Internet Software & Services—0.2% | ||||||||
Bankrate, Inc., 11.75% Sr. Sec. Nts., 7/15/152 | 5,910,000 | 6,353,250 | ||||||
Telcordia Technologies, Inc., 11% Sr. Sec. Nts., 5/1/182 | 9,985,000 | 9,847,706 | ||||||
16,200,956 | ||||||||
IT Services—0.3% | ||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 | 6,335,000 | 5,875,713 | ||||||
First Data Corp.: | ||||||||
8.875% Sr. Sec. Nts., 8/15/202 | 8,875,000 | 9,252,188 | ||||||
9.875% Sr. Unsec. Nts., 9/24/15 | 21,160,000 | 17,404,100 | ||||||
32,532,001 | ||||||||
Semiconductors & Semiconductor Equipment—0.6% | ||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/202 | 5,015,000 | 5,203,063 | ||||||
Amkor Technology, Inc., 7.375% Sr. Unsec. Nts., 5/1/182 | 5,325,000 | 5,418,188 | ||||||
Freescale Semiconductor, Inc.: | ||||||||
9.25% Sr. Sec. Nts., 4/15/182 | 6,025,000 | 6,296,125 | ||||||
10.75% Sr. Unsec. Nts., 8/1/202 | 16,865,000 | 16,991,488 | ||||||
NXP BV/NXP Funding LLC: | ||||||||
7.875% Sr. Sec. Nts., 10/15/14 | 6,090,000 | 6,333,600 | ||||||
9.50% Sr. Unsec. Unsub. Nts., 10/15/15 | 11,110,000 | 11,415,525 | ||||||
9.75% Sr. Sec. Nts., 8/1/182 | 4,145,000 | 4,435,150 | ||||||
56,093,139 | ||||||||
Materials—3.3% | ||||||||
Chemicals—1.0% | ||||||||
Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/182 | 11,215,000 | 12,140,238 | ||||||
Braskem SA, 7% Sr. Unsec. Nts., 5/7/202 | 4,100,000 | 4,351,125 |
Principal | ||||||||
Amount | Value | |||||||
Chemicals Continued | ||||||||
Celanese US Holdings LLC, 6.625% Sr. Unsec. Nts., 10/15/182 | $ | 2,820,000 | $ | 2,890,500 | ||||
Hexion US Finance Corp./Hexion Nova Scotia Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 | 19,965,000 | 19,665,525 | ||||||
Huntsman International LLC: | ||||||||
7.375% Sr. Unsub. Nts., 1/1/15 | 19,234,000 | 19,618,680 | ||||||
8.625% Sr. Sub. Nts., 3/15/212 | 1,130,000 | 1,175,200 | ||||||
Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 | 16,030,000 | 16,110,150 | ||||||
PolyOne Corp., 7.375% Sr. Unsec. Nts., 9/15/20 | 1,130,000 | 1,168,138 | ||||||
Rhodia SA, 6.875% Sr. Nts., 9/15/202 | 7,305,000 | 7,487,625 | ||||||
Vertellus Specialties, Inc., 9.375% Sr. Sec. Nts., 10/1/152 | 3,375,000 | 3,510,000 | ||||||
88,117,181 | ||||||||
Construction Materials—0.2% | ||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/202 | 4,134,000 | 3,896,295 | ||||||
CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/162 | 4,545,000 | 4,595,904 | ||||||
Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/202 | 3,640,000 | 3,913,000 | ||||||
12,405,199 | ||||||||
Containers & Packaging—0.3% | ||||||||
Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 | 16,045,000 | 15,683,988 | ||||||
Cascades, Inc., 7.75% Sr. Unsec. Nts., 12/18/17 | 2,415,000 | 2,529,713 | ||||||
Jefferson Smurfit Corp. (Escrow): | ||||||||
7.50% Sr. Unsec. Unsub. Nts., 6/1/134,6 | 3,045,000 | 125,606 | ||||||
8.25% Sr. Unsec. Nts., 10/1/124,6 | 9,965,000 | 411,056 | ||||||
Smurfit-Stone Container Corp. (Escrow): | ||||||||
8% Sr. Unsec. Unsub. Nts., 3/15/174,6 | 5,915,000 | 243,994 | ||||||
8.375% Sr. Nts., 7/1/124,6 | 3,060,000 | 126,225 | ||||||
Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 | 11,690,000 | 10,111,850 | ||||||
29,232,432 | ||||||||
Metals & Mining—0.6% | ||||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/192 | 2,700,000 | 2,983,500 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 | 11,605,000 | 8,442,638 | ||||||
Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/132 | 13,810,000 | 15,301,480 | ||||||
Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/182 | 28,320,000 | 30,727,200 | ||||||
57,454,818 | ||||||||
Paper & Forest Products—1.2% | ||||||||
ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/182,9 | 8,415,000 | 8,604,338 |
Principal | ||||||||
Amount | Value | |||||||
Paper & Forest Products Continued | ||||||||
Abitibi-Consolidated Co. of Canada: | ||||||||
6% Sr. Unsec. Unsub. Nts., 6/20/134,6 | $ | 6,665,000 | $ | 883,113 | ||||
7.75% Sr. Unsec. Bonds, 8/1/304,6 | 6,255,000 | 828,788 | ||||||
8.375% Sr. Unsec. Sub. Nts., 4/1/154,6 | 6,665,000 | 883,113 | ||||||
Abitibi-Consolidated, Inc., 8.85% Unsec. Bonds, 8/1/304,6 | 3,335,000 | 433,550 | ||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/152,6,13 | 11,837,874 | 10,091,788 | ||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/152 | 19,545,000 | 18,421,163 | ||||||
Bowater Pulp & Paper Canada, Inc., 10.60% Sr. Unsec. Nts., 1/15/114,6 | 5,080,000 | 1,143,000 | ||||||
Bowater, Inc.: | ||||||||
6.50% Sr. Unsec. Nts., 6/15/134,6 | 10,835,000 | 2,993,169 | ||||||
9% Sr. Unsec. Nts., 8/1/094,6 | 2,780,000 | 771,450 | ||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/162 | 13,504,000 | 11,039,520 | ||||||
Grupo Papelero Scribe SA, 8.875% Sr. Nts., 4/7/202 | 4,545,000 | 4,431,375 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 | 23,545,000 | 21,425,950 | ||||||
Suzano Trading Ltd., 5.875% Sr. Unsec. Nts., 1/23/212 | 2,105,000 | 2,115,525 | ||||||
Verso Paper Holdings LLC: | ||||||||
9.125% Sr. Sec. Nts., 8/1/14 | 8,070,000 | 8,130,525 | ||||||
11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 | 18,025,000 | 16,290,094 | ||||||
108,486,461 | ||||||||
Telecommunication Services—2.3% | ||||||||
Diversified Telecommunication Services—1.4% | ||||||||
Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/192 | 9,115,000 | 8,454,163 | ||||||
Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 | 4,815,000 | 4,742,775 | ||||||
Cincinnati Bell, Inc.: | ||||||||
8.25% Sr. Nts., 10/15/17 | 4,585,000 | 4,653,775 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 | 7,505,000 | 7,354,900 | ||||||
Global Crossing Ltd., 12% Sr. Sec. Nts., 9/15/15 | 8,970,000 | 10,180,950 | ||||||
Intelsat Bermuda Ltd.: | ||||||||
11.25% Sr. Unsec. Nts., 2/4/17 | 9,320,000 | 10,030,650 | ||||||
11.50% Sr. Unsec. Nts., 2/4/1713 | 5,100,000 | 5,552,625 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/202 | 2,810,000 | 2,838,100 | ||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 | 16,665,000 | 17,019,131 | ||||||
Level 3 Financing, Inc., 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 | 17,794,000 | 16,815,330 | ||||||
PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 | 19,915,000 | 20,412,875 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/202 | 15,409,000 | 15,678,658 | ||||||
Windstream Corp., 8.125% Sr. Unsec. Unsub. Nts., 9/1/182 | 4,845,000 | 5,038,800 | ||||||
128,772,732 |
Principal | ||||||||
Amount | Value | |||||||
Wireless Telecommunication Services—0.9% | ||||||||
America Movil SAB de CV: | ||||||||
6.125% Sr. Unsec. Unsub. Nts., 3/30/40 | $ | 6,060,000 | $ | 6,775,268 | ||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 42,300,000 | MXN | 3,395,033 | |||||
Cricket Communications, Inc., 9.375% Sr. Unsec. Nts., 11/1/14 | 19,380,000 | 20,155,200 | ||||||
MetroPCS Wireless, Inc., 7.875% Sr. Unsec. Nts., 9/1/18 | 20,045,000 | 20,746,575 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/202 | 6,090,000 | 7,003,500 | ||||||
Teligent, Inc., 11.50% Sr. Nts., 12/1/084,6 | 5,135,000 | — | ||||||
VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/182 | 17,250,000 | 19,820,250 | ||||||
77,895,826 | ||||||||
Utilities—2.5% | ||||||||
Electric Utilities—1.5% | ||||||||
Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/192 | 5,600,000 | 6,636,000 | ||||||
Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 | 14,520,000 | 10,563,300 | ||||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/192 | 5,140,000 | 6,168,000 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 | 10,704,000 | 10,674,992 | ||||||
Eskom Holdings Ltd.: | ||||||||
9.25% Bonds, Series ES18, 4/20/18 | 38,000,000 | ZAR | 5,874,404 | |||||
10% Nts., Series ES23, 1/25/23 | 116,000,000 | ZAR | 18,409,946 | |||||
Israel Electric Corp. Ltd., 7.25% Nts., 1/15/192 | 17,680,000 | 20,034,994 | ||||||
Majapahit Holding BV: | ||||||||
7.25% Nts., 10/17/112 | 3,910,000 | 4,129,742 | ||||||
7.75% Nts., 10/17/162 | 8,820,000 | 10,363,500 | ||||||
8% Sr. Unsec. Nts., 8/7/192 | 4,000,000 | 4,860,000 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 | 421,000,000 | PHP | 9,692,162 | |||||
Texas Competitive Electric Holdings Co. LLC: | ||||||||
10.25% Sr. Unsec. Nts., Series A, 11/1/15 | 38,285,000 | 25,268,100 | ||||||
10.25% Sr. Unsec. Nts., Series B, 11/1/15 | 6,290,000 | 4,151,400 | ||||||
TGI International Ltd., 9.50% Nts., 10/3/172 | 5,268,000 | 6,005,520 | ||||||
142,832,060 | ||||||||
Energy Traders—1.0% | ||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/202 | 5,760,000 | 6,096,142 | ||||||
Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 | 11,945,000 | 9,376,825 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/202 | 11,295,000 | 11,268,366 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/172 | 20,035,000 | 20,736,225 | ||||||
GenOn Escrow Corp.: | ||||||||
9.50% Sr. Unsec. Nts., 10/15/185,9 | 5,635,000 | 5,451,863 | ||||||
9.875% Sr. Nts., 10/15/205,9 | 5,630,000 | 5,418,875 | ||||||
Power Sector Assets & Liabilities Management Corp.: | ||||||||
7.25% Sr. Gtd. Unsec. Nts., 5/27/192 | 4,920,000 | 5,977,800 | ||||||
7.39% Sr. Gtd. Unsec. Nts., 12/2/242 | 4,370,000 | 5,396,950 |
Principal | ||||||||
Amount | Value | |||||||
Energy Traders Continued | ||||||||
PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/152 | $ | 4,240,000 | $ | 4,813,977 | ||||
United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 | 13,913,000 | 14,017,348 | ||||||
88,554,371 | ||||||||
Total Corporate Bonds and Notes (Cost $2,651,494,481) | 2,722,632,273 |
Shares | ||||||||
Preferred Stocks—0.4% | ||||||||
Ally Financial, Inc., 7%, Non-Vtg.2 | 23,849 | 21,881,458 | ||||||
AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.6,13 | 338,141 | — | ||||||
Citigroup Capital XIII, 7.875%6 | 45,141 | 1,151,998 | ||||||
Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.6 | 44,000 | — | ||||||
Greektown Holdings LLC, Preferred6,17 | 109,250 | 11,580,500 | ||||||
ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.6,13 | 5,816 | — | ||||||
Total Preferred Stocks (Cost $46,950,468) | 34,613,956 | |||||||
Common Stocks—0.8% | ||||||||
American Media, Inc.5,6 | 10,986 | 1 | ||||||
Arco Capital Corp. Ltd.5,6,17 | 2,494,716 | 7,484,148 | ||||||
Charter Communications, Inc., Cl. A6 | 418,968 | 13,616,460 | ||||||
Dana Holding Corp.6 | 426,405 | 5,253,310 | ||||||
Global Aviation Holdings, Inc.6 | 32 | 32,000 | ||||||
Greektown Superholdings, Inc. 6,17 | 8,267 | 731,630 | ||||||
Kaiser Aluminum Corp. | 2,405 | 102,910 | ||||||
MHP SA, GDR2,6 | 243,656 | 3,691,388 | ||||||
Orbcomm, Inc.6 | 30,391 | 68,988 | ||||||
Premier Holdings Ltd.6 | 799,833 | — | ||||||
Smurfit-Stone Container Corp.6 | 1,063,015 | 19,527,586 | ||||||
Solutia, Inc.6 | 691,398 | 11,076,196 | ||||||
Sprint Nextel Corp.6 | 2,352,914 | 10,893,992 | ||||||
USA Mobility, Inc. | 44 | 705 | ||||||
Visteon Corp.6 | 180,703 | 5,003,666 | ||||||
Total Common Stocks (Cost $109,118,488) | 77,482,980 |
Units | ||||||||
Rights, Warrants and Certificates—0.0% | ||||||||
ASG Consolidated LLC/American Seafoods Group Wts., Strike Price $0.01, 5/15/182,6 | 15,975 | 1,757,250 | ||||||
Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/116 | 4,020 | 40 | ||||||
Total Rights, Warrants and Certificates (Cost $838,092) | 1,757,290 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities—7.2% | ||||||||
Barclays Bank plc: | ||||||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 37,140,000,000 | IDR | $ | 5,000,168 | ||||
Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 | 49,300,000,000 | IDR | 6,637,271 | |||||
Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 | 36,870,000,000 | IDR | 5,111,066 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 13,030,000,000 | IDR | 1,700,017 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10%, 9/18/24 | 29,460,000,000 | IDR | 3,843,631 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 50, 10.50%, 8/19/30 | 30,680,000,000 | IDR | 4,130,456 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 | 26,580,000,000 | IDR | 3,578,472 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 | 26,580,000,000 | IDR | 3,684,625 | |||||
Citigroup Funding, Inc.: | ||||||||
Ghana (Republic of) Credit Linked Bonds, 14%, 3/9/111,5 | 2,060,000 | GHS | 1,452,408 | |||||
Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/101,5,9 | 3,280,000 | GHS | 2,304,747 | |||||
Indonesia (Republic of) Credit Linked Nts., 10%, 9/19/24 | 23,000,000,000 | IDR | 3,000,798 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 10.50%, 8/19/30 | 24,990,000,000 | IDR | 3,364,410 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 23, 11%, 9/17/25 | 24,580,000,000 | IDR | 3,407,377 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 25, 11%, 9/17/25 | 46,020,000,000 | IDR | 6,379,475 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/30 | 32,770,000,000 | IDR | 4,411,833 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 10.50%, 8/19/30 | 46,020,000,000 | IDR | 6,195,684 | |||||
Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 | 28,180,000,000 | IDR | 3,906,424 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 10.50%, 8/19/30 | 28,180,000,000 | IDR | 3,793,881 | |||||
Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.254%, 10/25/111 | 7,495,000 | 7,495,000 | ||||||
Kenya (Republic of) Credit Linked Bonds, Series 5, 14%, 3/9/119 | 4,265,000 | GHS | 3,007,049 | |||||
Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/151 | 73,025,000 | UAH | 7,514,694 | |||||
Citigroup Global Markets Holdings, Inc.: | ||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/185 | 8,155,000,000 | COP | 5,538,049 | |||||
Colombia (Republic of) Credit Linked Nts., 13.756%, 2/26/155,15 | 5,870,000,000 | COP | 7,105,953 | |||||
Colombia (Republic of) Credit Linked Nts., Series 01, 13.376%, 2/26/155,15 | 2,175,000,000 | COP | 2,632,955 | |||||
Colombia (Republic of) Credit Linked Nts., Series 02, 13.376%, 2/26/155,15 | 3,317,000,000 | COP | 4,015,408 | |||||
Colombia (Republic of) Total Return Linked Bonds, Series B, 9.25%, 5/15/14 | 11,585,000,000 | COP | 7,119,454 | |||||
Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/125 | 182,600,000 | DOP | 5,167,334 | |||||
Credit Suisse First Boston International: | ||||||||
Moitk Total Return Linked Nts., 3/30/116,20 | 196,587,000 | RUR | 643 | |||||
Pemex Project Funding Master Total Return Linked Nts., 1.725%, 5/12/11 | 50,000,000 | 50,117,677 | ||||||
Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/121 | 392,355,000 | RUR | 11,287,432 | |||||
Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17 | 55,679,000,000 | VND | 1,136,886 | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 5/20/106,20 | 335,100,000 | RUR | 1,095 | |||||
Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 | 269,570,000 | RUR | 8,163,126 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Credit Suisse International: | ||||||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 85,510,000 | RUR | $ | 3,126,700 | ||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 79,950,000 | RUR | 2,923,397 | |||||
OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 59,420,000 | RUR | 2,172,711 | |||||
Deutsche Bank AG: | ||||||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 | 7,763,365 | MXN | 589,877 | |||||
Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 | 5,115,672 | MXN | 388,700 | |||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/255,12 | 6,871,626 | 4,518,324 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/255,12 | 5,932,549 | 3,945,533 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/255,12 | 5,302,950 | 3,514,627 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/255,12 | 6,602,603 | 4,375,996 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.241%, 4/30/255,12 | 7,535,870 | 4,994,536 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/255,12 | 6,020,278 | 3,990,049 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.342%, 4/30/255,12 | 5,658,804 | 3,750,476 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 10.343%, 12/31/175,15 | 50,470,000 | BRR | 23,279,096 | |||||
Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/111,5 | 6,050,000 | 6,658,025 | ||||||
Indonesia (Republic of) Credit Linked Nts., 10.50%, 8/23/30 | 57,330,000,000 | IDR | 7,738,297 | |||||
Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/22/21 | 23,160,000,000 | IDR | 3,562,903 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 03, 11%, 9/17/25 | 35,580,000,000 | IDR | 4,932,241 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 88,460,000 | RUR | 3,234,857 | |||||
JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/121 | 74,280,000 | RUR | 2,716,314 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1A, 7.899%, 9/24/141,5 | 38,400,000 | MXN | 3,062,273 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1B, 7.899%, 9/24/141,5 | 7,680,000 | MXN | 612,455 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1C, 7.899%, 9/24/141,5 | 12,800,000 | MXN | 1,020,758 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1D, 7.899%, 9/24/141,5 | 6,400,000 | MXN | 510,379 | |||||
Opic Reforma I Credit Linked Nts., Cl. 1E, 7.899%, 9/24/141,5 | 8,960,000 | MXN | 714,530 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.41%, 5/22/151,5 | 3,664,197 | MXN | 292,208 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.41%, 5/22/151,5 | 6,410,601 | MXN | 511,224 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.41%, 5/22/151,5 | 96,656,316 | MXN | 7,708,022 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.41%, 5/22/151,5 | 7,044,180 | MXN | 561,750 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.41%, 5/22/151,5 | 5,117,729 | MXN | 408,122 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.41%, 5/22/151,5 | 3,268,436 | MXN | 260,647 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.41%, 5/22/151,5 | 601,913 | MXN | 48,001 | |||||
Ukraine (Republic of) 5.5 yr. Total Return Linked Nts., 4.05%, 3/1/11 | 6,160,000 | 5,539,873 | ||||||
Ukraine (Republic of) 6 yr. Total Return Linked Nts., 4.05%, 8/30/11 | 6,160,000 | 4,791,494 | ||||||
Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 | 6,160,000 | 4,380,376 | ||||||
Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 | 6,160,000 | 3,964,884 | ||||||
United Mexican States Credit Linked Nts., 9.52%, 1/5/11 | 5,093,531 | MXN | 387,017 | |||||
Eirles Two Ltd. Sec. Nts.: | ||||||||
Series 324, 3.664%, 4/30/121,5 | 15,000,000 | 12,978,000 | ||||||
Series 335, 2.114%, 4/30/121,5 | 17,500,000 | 16,343,250 | ||||||
Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.798%, 3/29/172,12 | 81,020,000 | TRY | 27,967,036 | |||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.479%, 2/8/375,12 | 245,971,200,000 | COP | 9,953,263 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
Hallertau SPC Credit Linked Nts.: | ||||||||
Series 2007-01, 2.805%, 12/20/171,5 | $ | 24,000,000 | $ | 20,640,000 | ||||
Series 2008-01, 9.878%, 8/2/104,5,6,12 | 37,994,727 | BRR | 2,245,551 | |||||
Series 2008-2A, 6.74%, 9/17/131,5 | 39,067,500 | 39,391,760 | ||||||
JPMorgan Chase & Co.: | ||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/205 | 4,890,000,000 | COP | 3,408,166 | |||||
Indonesia (Republic of) Credit Linked Bonds, Series 04, 11%, 9/17/252 | 26,580,000,000 | IDR | 3,684,625 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/302 | 24,990,000,000 | IDR | 3,364,410 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 52, 10.50%, 8/19/302 | 30,680,000,000 | IDR | 4,130,456 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 55, 11%, 9/17/252 | 30,680,000,000 | IDR | 4,252,984 | |||||
Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/302 | 28,180,000,000 | IDR | 3,793,881 | |||||
Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/252 | 28,180,000,000 | IDR | 3,906,424 | |||||
JPMorgan Chase & Co. London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/21 | 68,130,000,000 | IDR | 10,414,226 | |||||
JPMorgan Chase Bank NA: | ||||||||
Export-Import Bank Total Return Linked Bonds, 6.55%, 3/13/13 | 799,000,000 | INR | 17,027,315 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/302 | 57,330,000,000 | IDR | 7,718,352 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 2, 11%, 9/17/252 | 22,150,000,000 | IDR | 3,070,521 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/252 | 44,300,000,000 | IDR | 6,141,042 | |||||
Indonesia (Republic of) Credit Linked Nts., Series 5, 10.50%, 8/19/302 | 54,415,000,000 | IDR | 7,325,905 | |||||
Russian Federation Credit Linked Bonds, 10%, 9/30/111,2 | 244,200,000 | RUR | 8,463,076 | |||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/125 | 9,637,197 | 7,156,582 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/165 | 7,928,000,000 | COP | 4,418,258 | |||||
Morgan Stanley: | ||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/172 | 15,932,000 | PEN | 4,732,738 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 257,935,070 | RUR | 4,152,154 | |||||
Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/10/12 | 54,445,588 | RUR | 1,845,229 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||
Brazil (Federal Republic of) Credit Linked Nts., 12.561%, 1/5/222,12 | 113,353,000 | BRR | 9,544,162 | |||||
Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/171,5 | 9,480,000 | 7,868,400 | ||||||
Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/171,5 | 5,400,000 | 4,482,000 | ||||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/155 | 300,000 | 270,360 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/12 | 23,426,370 | 23,370,146 | ||||||
WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/12 | 35,053,211 | 34,962,073 | ||||||
Standard Bank Group Ltd.: | ||||||||
Ghana (Republic of) Credit Linked Bonds, 10.915%, 3/23/115,12 | 6,460,000 | GHS | 4,306,159 | |||||
Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/105,12 | 5,140,000 | GHS | 3,546,780 | |||||
Ghana (Republic of) Credit Linked Bonds, Series 02, 12.606%, 1/5/115,12 | 2,600,000 | GHS | 1,767,453 | |||||
Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 14%, 3/9/111,5,9 | 2,850,000 | GHS | 2,015,517 |
Principal | ||||||||
Amount | Value | |||||||
Structured Securities Continued | ||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/115 | 4,821,752 | GHS | $ | 3,442,900 | ||||
Total Structured Securities (Cost $696,357,197) | 651,493,324 | |||||||
Event-Linked Bonds—1.3% | ||||||||
Akibare Ltd. Catastrophe Linked Nts., Cl. A, 3.289%, 5/22/121,2 | 5,516,000 | 5,530,342 | ||||||
Atlas V Capital Ltd. Catastrophe Linked Nts., Series 2, 12.033%, 2/24/121,2 | 2,356,000 | 2,519,506 | ||||||
Blue Fin Ltd. Catastrophe Linked Nts., 9.25%, 5/28/131,2 | 1,608,000 | 1,616,844 | ||||||
Caelus Re II Ltd. Catastrophe Linked Nts., 6.50%, 5/24/131,2 | 2,153,000 | 2,187,965 | ||||||
East Lane Re II Ltd. Catastrophe Linked Nts., 15.033%, 4/7/111,2 | 5,761,000 | 5,856,921 | ||||||
East Lane Re III Ltd. Catastrophe Linked Nts., 10.783%, 3/16/121,2 | 8,620,000 | 9,135,476 | ||||||
Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.354%, 8/10/111,2 | 7,627,000 | 7,751,320 | ||||||
Foundation Re III Ltd. Catastrophe Linked Nts., Series 1-A, 5.75%, 2/3/141,2 | 2,343,000 | 2,350,263 | ||||||
Lodestone Re Ltd. Catastrophe Linked Nts., Series CLA, 6.395%, 5/17/131,2 | 2,398,000 | 2,394,883 | ||||||
Longpoint Re Ltd. Catastrophe Linked Nts.: | ||||||||
5.40%, 12/18/131,2 | 4,069,000 | 4,082,428 | ||||||
5.40%, 12/24/121,2 | 3,415,000 | 3,429,343 | ||||||
Merna Reinsurance II Ltd. Catastrophe Linked Nts., 3.65%, 4/8/131,2 | 3,955,000 | 3,998,901 | ||||||
Midori Ltd. Catastrophe Linked Nts., 3.276%, 10/24/121,2 | 6,696,000 | 6,668,546 | ||||||
Multicat Mexico 2009 Ltd. Catastrophe Linked Nts.: | ||||||||
10.25%, 10/19/121,2 | 1,279,000 | 1,338,474 | ||||||
11.50%, 10/19/121,2 | 3,826,000 | 4,065,890 | ||||||
Muteki Ltd. Catastrophe Linked Nts., 4.776%, 5/24/111,2 | 5,750,000 | 5,745,400 | ||||||
Redwood Capital XI Ltd. Catastrophe Linked Nts., 6.25%, 1/10/111,2 | 2,854,000 | 2,867,870 | ||||||
Residential Reinsurance 2007 Ltd. Catastrophe Linked Nts., Series CL2, 11.797%, 6/6/111,2 | 7,265,000 | 7,569,404 | ||||||
Residential Reinsurance Ltd. Catastrophe Linked Nts.: | ||||||||
6.725%, 6/6/131,2 | 3,434,000 | 3,514,768 | ||||||
9.025%, 6/6/131,2 | 2,036,000 | 2,096,164 | ||||||
13.125%, 6/6/131,2 | 2,036,000 | 2,110,049 | ||||||
13.125%, 6/6/131,2 | 3,434,000 | 3,550,413 | ||||||
Successor X Ltd. Catastrophe Linked Nts.: | ||||||||
14.017%, 12/9/102,12 | 1,463,000 | 1,412,380 | ||||||
24.096%, 12/9/102,12 | 2,012,000 | 1,891,481 | ||||||
16.75%, 4/4/131,2 | 3,612,000 | 3,231,295 | ||||||
Vega Capital Ltd. Catastrophe Linked Nts., Series D, 0%, 6/24/112,12 | 12,045,000 | 21,816,506 | ||||||
Total Event-Linked Bonds (Cost $108,033,499) | 118,732,832 |
Expiration | Strike | |||||||||||||||
Date | Price | Contracts | Value | |||||||||||||
Options Purchased—0.3% | ||||||||||||||||
South Korean Won (KRW) Put6 | 11/29/10 | 12.250 | JPY | 550,000,000 | $ | 7,585 | ||||||||||
South Korean Won (KRW) Put6 | 11/29/10 | 12.440 | JPY | 550,000,000 | 13,472 | |||||||||||
South Korean Won (KRW) Put6 | 11/29/10 | 12.200 | JPY | 586,000,000 | 6,367 | |||||||||||
South Korean Won (KRW) Put6 | 11/29/10 | 11.955 | JPY | 586,000,000 | 3,201 | |||||||||||
South Korean Won (KRW) Put6 | 11/29/10 | 12.050 | JPY | 586,000,000 | 3,931 | |||||||||||
U.S. Treasury Long Bonds Futures, 20 yr., 12/21/10 Call6 | 11/26/10 | 136.000 | 8,503 | 15,809,628 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/21/10 Call6 | 11/26/10 | 126.000 | 4,436 | 6,168,702 | ||||||||||||
U.S. Treasury Nts. Futures, 10 yr., 12/21/10 Call6 | 11/26/10 | 126.500 | 4,436 | 5,128,903 | ||||||||||||
Total Options Purchased (Cost $29,445,507) | 27,141,789 |
Shares | ||||||||
Investment Companies—18.0% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.24%17,18 | 415,669,338 | 415,669,338 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC17 | 3,292,391 | 36,322,646 | ||||||
Oppenheimer Master Loan Fund, LLC17 | 105,623,787 | 1,177,058,419 | ||||||
Total Investment Companies (Cost $1,618,679,381) | 1,629,050,403 | |||||||
Total Investments, at Value (Cost $9,209,391,186) | 102.8 | % | 9,310,072,472 | |||||
Liabilities in Excess of Other Assets | (2.8 | ) | (254,452,762 | ) | ||||
Net Assets | 100.0 | % | $ | 9,055,619,710 | ||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
COP | Colombian Peso | |
DKK | Danish Krone | |
DOP | Dominican Republic Peso | |
EGP | Egyptian Pound | |
EUR | Euro | |
GBP | British Pound Sterling | |
GHS | Ghana Cedi | |
HUF | Hungarian Forint | |
IDR | Indonesia Rupiah | |
ILS | Israeli Shekel | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KRW | South Korean Won | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso | |
PLZ | Polish Zloty | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
TRY | New Turkish Lira | |
UAH | Ukraine Hryvnia | |
VND | Vietnam Dong | |
ZAR | South African Rand | |
1. | Represents the current interest rate for a variable or increasing rate security. | |
2. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $2,045,881,086 or 22.59% of the Fund’s net assets as of September 30, 2010. |
3. | All or a portion of the security position was acquired, and has been pledged as collateral, in connection with the Fund’s participation in the Term Asset-Backed Securities Loan Facility program (the “TALF Program”) operated by the Federal Reserve Bank of New York. In the aggregate, the period end value of assets purchased in connection with the TALF Program constitute 2.92% of the Fund’s net assets, all of which are asset-backed securities. See Note 1 of the accompanying Notes. | |
4. | Issue is in default. See Note 1 of the accompanying Notes. | |
5. | Restricted security. The aggregate value of restricted securities as of September 30, 2010 was $410,488,102, which represents 4.53% of the Fund’s net assets. See Note 6 of the accompanying Notes. Information concerning restricted securities is as follows: |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Nts., 11/15/15 | 9/30/10 | $ | 6,671,835 | $ | 6,961,816 | $ | 289,981 | |||||||||
American Media, Inc. | 2/2/09 | 243,381 | 1 | (243,380 | ) | |||||||||||
American Media Operations, Inc., 9% Sr. Unsec. Nts., 5/1/13 | 1/29/09-4/30/10 | 2,157 | 2,306 | 149 | ||||||||||||
Arco Capital Corp. Ltd. | 2/27/07 | 37,420,740 | 7,484,148 | (29,936,592 | ) | |||||||||||
Ashtead Capital, Inc., 9% Nts., 8/15/16 | 8/01/06-4/20/10 | 3,468,413 | 3,582,800 | 114,387 | ||||||||||||
Banco Cruzeiro do Sul SA, 8.875% Sub. Nts., 9/22/20 | 9/15/10 | 2,975,610 | 3,146,250 | 170,640 | ||||||||||||
Banco de Credito del Peru, 5.375% Sr. Nts., 9/16/20 | 9/9/10 | 4,479,359 | 4,557,350 | 77,991 | ||||||||||||
Banco do Brasil SA, 5.375% Unsec. Sub. Nts., 1/15/21 | 9/28/10 | 5,363,064 | 5,406,750 | 43,686 | ||||||||||||
CDW LLC/CDW Finance Corp., 11% Sr. Unsec. Nts., 10/12/15 | 9/30/10 | 5,032,125 | 4,970,000 | (62,125 | ) | |||||||||||
Chaparral Energy, Inc., 9.875% Sr. Nts., 10/1/20 | 9/13/10-9/16/10 | 10,014,783 | 10,337,700 | 322,917 | ||||||||||||
Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, 14%, 3/9/11 | 8/5/10 | 1,448,887 | 1,452,408 | 3,521 | ||||||||||||
Citigroup Funding, Inc., Ghana (Republic of) Credit Linked Bonds, Series 1, 13.95%, 12/15/10 | 2/11/10 | 2,287,801 | 2,304,747 | 16,946 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 | 12/9/08 | 3,440,058 | 5,538,049 | 2,097,991 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., 13.756%, 2/26/15 | 7/18/08 | 5,195,445 | 7,105,953 | 1,910,508 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 01, 13.376%, 2/26/15 | 7/31/08 | 1,946,453 | 2,632,955 | 686,502 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 13.376% 2/26/15 | 8/8/08 | 2,993,706 | 4,015,408 | 1,021,702 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 | 3/7/07 | 5,482,278 | 5,167,334 | (314,944 | ) | |||||||||||
Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.756%, 1/27/37 | 5/29/08 | 2,792,509 | 1,059,218 | (1,733,291 | ) | |||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.064%, 4/30/25 | 7/16/10 | 4,416,283 | 4,518,324 | 102,041 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.103%, 4/30/25 | 5/18/10 | 3,797,458 | 3,945,533 | 148,075 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.138%, 4/30/25 | 3/30/10 | 3,381,216 | 3,514,627 | 133,411 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.191%, 4/30/25 | 12/17/09 | 4,187,295 | 4,375,996 | 188,701 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.241%, 4/30/25 | 9/25/09 | 4,755,471 | 4,994,536 | 239,065 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.269%, 4/30/25 | 8/18/09 | 3,789,079 | 3,990,049 | 200,970 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.342%, 4/30/25 | 4/16/09 | 3,537,914 | 3,750,476 | 212,562 |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 10.343%, 12/31/17 | 9/19/07 | $ | 21,277,369 | $ | 23,279,096 | $ | 2,001,727 | |||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11 | 12/8/08 | 6,024,887 | 6,658,025 | 633,138 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 7.899%, 9/24/14 | 12/28/07 | 3,529,276 | 3,062,273 | (467,003 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 7.899%, 9/24/14 | 6/13/08 | 740,364 | 612,455 | (127,909 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 7.899%, 9/24/14 | 8/13/08 | 1,259,502 | 1,020,758 | (238,744 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1D, 7.899%, 9/24/14 | 8/7/09 | 491,201 | 510,379 | 19,178 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1E, 7.899%, 9/24/14 | 9/10/09 | 669,726 | 714,530 | 44,804 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.41%, 5/22/15 | 5/22/08 | 353,295 | 292,208 | (61,087 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.41%, 5/22/15 | 6/13/08 | 617,992 | 511,224 | (106,768 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.41%, 5/22/15 | 6/19/08 | 9,377,660 | 7,708,022 | (1,669,638 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.41%, 5/22/15 | 7/9/08 | 682,820 | 561,750 | (121,070 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.41%, 5/22/15 | 7/16/08 | 496,911 | 408,122 | (88,789 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.41%, 5/22/15 | 8/11/08 | 321,793 | 260,647 | (61,146 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.41%, 5/22/15 | 8/25/08 | 59,373 | 48,001 | (11,372 | ) | |||||||||||
DLJ Ltd., Collateralized Bond Obligations, Series 1A, Cl. C2, 11.96%, 4/15/11 | 4/9/99 | 15,000,000 | 150 | (14,999,850 | ) | |||||||||||
DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1997-CF2, Cl. B30C, 5.993%, 10/15/30 | 6/27/01 | 24,074,253 | 6,062,327 | (18,011,926 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 324, 3.664%, 4/30/12 | 4/17/07 | 15,015,576 | 12,978,000 | (2,037,576 | ) | |||||||||||
Eirles Two Ltd. Sec. Nts., Series 335, 2.114%, 4/30/12 | 9/17/07 | 17,280,827 | 16,343,250 | (937,577 | ) | |||||||||||
Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25 | 8/17/00 | 2,730,094 | — | (2,730,094 | ) | |||||||||||
GE Equipment Midticket LLC, Asset-Backed Certificates, Series 2010-1, Cl. A2, 0.61%, 1/14/13 | 9/22/10 | 3,154,931 | 3,155,000 | 69 | ||||||||||||
GenOn Escrow Corp., 9.50% Sr. Unsec. Nts., 10/15/18 | 9/20/10 | 5,557,406 | 5,451,863 | (105,543 | ) | |||||||||||
GenOn Escrow Corp., 9.875% Sr. Nts., 10/15/20 | 9/20/10-9/23/10 | 5,480,304 | 5,418,875 | (61,429 | ) | |||||||||||
Goldman Sachs Asset Management CBO Ltd., Sub. Collateralized Bond Obligations, Series 1A, Cl. D, 6/13/11 | 6/8/99 | 3,846,847 | — | (3,846,847 | ) | |||||||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.479%, 2/8/37 | 1/18/07 | 19,341,840 | 9,953,263 | (9,388,577 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.805%, 12/20/17 | 12/31/07-10/23/09 | 22,790,908 | 20,640,000 | (2,150,908 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.878%, 8/2/10 | 4/18/08 | 19,017,779 | 2,245,551 | (16,772,228 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-2A, 6.74%, 9/17/13 | 10/23/08 | 39,458,681 | 39,391,760 | (66,921 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.294%, 8/15/22 | 11/6/07 | 18,522,486 | 10,710,000 | (7,812,486 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.594%, 8/15/22 | 6/8/07 | 17,780,000 | 8,356,600 | (9,423,400 | ) |
Unrealized | ||||||||||||||||
Acquisition | Appreciation | |||||||||||||||
Security | Dates | Cost | Value | (Depreciation) | ||||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.594%, 8/15/22 | 6/8/07 | $ | 17,780,000 | $ | 8,001,000 | $ | (9,779,000 | ) | ||||||||
Interactive Data Corp., 10.25% Sr. Nts., 8/1/18 | 7/20/10 | 3,550,000 | 3,694,237 | 144,237 | ||||||||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 | 7/14/10 | 5,544,813 | 5,588,610 | 43,797 | ||||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 | 8/24/10 | 3,423,059 | 3,408,166 | (14,893 | ) | |||||||||||
JPMorgan Hipotecaria su Casita, 7.555% Sec. Nts., 8/26/35 | 3/21/07 | 1,834,690 | 1,462,640 | (372,050 | ) | |||||||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/20 | 9/29/10 | 3,000,000 | 3,114,375 | 114,375 | ||||||||||||
Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 | 6/20/07 | 9,691,226 | 7,156,582 | (2,534,644 | ) | |||||||||||
Lukoil International Finance BV, 7.25% Sr. Unsec. Unsub. Nts., 11/5/19 | 8/20/10 | 2,469,299 | 2,463,750 | (5,549 | ) | |||||||||||
Madison Avenue CDO Ltd., Collateralized Debt Obligations, Series 2A, Cl. C1, 5.25%, 3/24/14 | 2/23/01 | 3,151,972 | 84,954 | (3,067,018 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 | 10/20/06 | 3,387,746 | 4,418,258 | 1,030,512 | ||||||||||||
Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., 2.256%, 10/15/17 | 11/2/07 | 9,480,000 | 7,868,400 | (1,611,600 | ) | |||||||||||
Morgan Stanley Capital Services, Inc., Ukraine (Republic of) Credit Linked Nts., Series 2, 3.126%, 10/15/17 | 2/4/08 | 5,400,000 | 4,482,000 | (918,000 | ) | |||||||||||
Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 | 11/3/05 | 300,000 | 270,360 | (29,640 | ) | |||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 1/25/29 | 2/24/99-3/4/99 | 4,377,854 | 190,193 | (4,187,661 | ) | |||||||||||
Odebrecht Finance Ltd., 9.625% Sr. Unsec. Nts., 4/9/14 | 4/2/09 | 1,651,791 | 1,970,600 | 318,809 | ||||||||||||
Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/18 | 9/21/10-9/22/10 | 11,526,559 | 11,779,138 | 252,579 | ||||||||||||
Real Time Data Co., 11% Nts., 5/31/09 | 6/30/99-5/31/01 | 6,781,954 | — | (6,781,954 | ) | |||||||||||
Salisbury International Investments Ltd., 4.671% Sec. Nts., Series 2006-003, Tranche E, 7/20/11 | 7/12/06 | 5,200,000 | 4,884,360 | (315,640 | ) | |||||||||||
Sinclair Television Group, Inc., 8.375% Sr. Nts., 10/15/18 | 9/21/10-9/22/10 | 5,552,876 | 5,642,000 | 89,124 | ||||||||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 | 4/28/10-9/23/10 | 9,586,536 | 10,080,225 | 493,689 | ||||||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts., 6.25%, 10/4/20 | 9/27/10-9/28/10 | 5,105,000 | 5,134,538 | 29,538 | ||||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.915%, 3/23/11 | 9/22/10 | 4,298,958 | 4,306,159 | 7,201 | ||||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 12.684%, 11/24/10 | 5/27/10 | 3,529,802 | 3,546,780 | 16,978 | ||||||||||||
Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, Series 02, 12.606%, 1/5/11 | 7/6/10 | 1,737,115 | 1,767,453 | 30,338 | ||||||||||||
Standard Charter Bank, Kenya (Republic of) Credit Linked Bonds, 14%, 3/9/11 | 9/23/10 | 2,021,789 | 2,015,517 | (6,272 | ) | |||||||||||
UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 | 12/22/06 | 5,260,120 | 3,442,900 | (1,817,220 | ) | |||||||||||
UHS Escrow Corp., 7% Sr. Nts., 10/1/18 | 9/15/10 | 1,130,000 | 1,163,900 | 33,900 | ||||||||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13 | 1/14/10-9/30/10 | 8,623,719 | 8,507,325 | (116,394 | ) | |||||||||||
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 | 9/30/10 | 2,815,000 | 2,874,819 | 59,819 | ||||||||||||
$ | 552,289,299 | $ | 410,488,102 | $ | (141,801,197 | ) | ||||||||||
6. | Non-income producing security. | |
7. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $49,455,957 or 0.55% of the Fund’s net assets as of September 30, 2010. | |
8. | The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. | |
9. | When-issued security or delayed delivery to be delivered and settled after September 30, 2010. See Note 1 of the accompanying Notes. | |
10. | All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $40,335,948. See Note 5 of the accompanying Notes. | |
11. | All or a portion of the security position is held in collateral accounts to cover the Fund’s obligations under certain derivative contracts. The aggregate market value of such securities is $3,476,114. See Note 5 of the accompanying Notes. | |
12. | Zero coupon bond reflects effective yield on the date of purchase. | |
13. | Interest or dividend is paid-in-kind, when applicable. | |
14. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. | |
15. | Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. | |
16. | Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. | |
17. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2010, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows: |
Shares | Gross | Gross | Shares | |||||||||||||
September 30, 2009 | Additions | Reductions | September 30, 2010 | |||||||||||||
Arco Capital Corp. Ltd. | 2,383,674 | 111,042 | — | 2,494,716 | ||||||||||||
Greektown Holdings LLC, Preferred Stock | — | 109,250 | — | 109,250 | ||||||||||||
Greektown Superholdings, Inc. | — | 8,267 | a | — | 8,267 | |||||||||||
OFI Liquid Assets Fund, LLC | 23,441,250 | 168,447,768 | 191,889,018 | — | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 218,406,057 | 3,988,497,791 | 3,791,234,510 | 415,669,338 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 3,242,904 | 300,830 | 251,343 | 3,292,391 | ||||||||||||
Oppenheimer Master Loan Fund, LLC | 65,013,938 | 47,556,735 | a | 6,946,886 | 105,623,787 |
Realized | ||||||||||||
Value | Income | Gain | ||||||||||
Arco Capital Corp. Ltd. | $ | 7,484,148 | $ | — | $ | — | ||||||
Greektown Holdings LLC, Preferred Stock | 11,580,500 | — | — | |||||||||
Greektown Superholdings, Inc. | 731,630 | — | — | |||||||||
OFI Liquid Assets Fund, LLC | — | 122,994 | b | — | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 415,669,338 | 582,034 | — | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 36,322,646 | 2,935,162 | c | 349,109 | C | |||||||
Oppenheimer Master Loan Fund, LLC | 1,177,058,419 | 87,771,443 | d | 7,565,725 | d | |||||||
$ | 1,648,846,681 | $ | 91,411,633 | $ | 7,914,834 | |||||||
a. | All or a portion is the result of a corporate action. | |
b. | Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. | |
c. | Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. | |
d. | Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. | |
18. | Rate shown is the 7-day yield as of September 30, 2010. | |
19. | This Senior Loan will settle after September 30, 2010, at which time the interest rate will be determined. | |
20. | The reference asset underlying the structured security is in default. See Note 1 of the accompanying Notes. |
1) | Level 1—unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) | ||
2) | Level 2—inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) | ||
3) | Level 3—significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset). |
Level 3— | ||||||||||||||||
Level 1— | Level 2— | Significant | ||||||||||||||
Unadjusted | Other Significant | Unobservable | ||||||||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | 353,135,614 | $ | 27,067,631 | $ | 380,203,245 | ||||||||
Mortgage-Backed Obligations | — | 1,230,437,640 | — | 1,230,437,640 | ||||||||||||
U.S. Government Obligations | — | 286,482,366 | — | 286,482,366 | ||||||||||||
Foreign Government Obligations | — | 2,107,675,464 | 11,895,689 | 2,119,571,153 | ||||||||||||
Loan Participations | — | 30,473,221 | — | 30,473,221 | ||||||||||||
Corporate Bonds and Notes | — | 2,722,631,149 | 1,124 | 2,722,632,273 | ||||||||||||
Preferred Stocks | — | 23,033,456 | 11,580,500 | 34,613,956 | ||||||||||||
Common Stocks | 64,231,535 | 7,484,148 | 5,767,297 | 77,482,980 | ||||||||||||
Rights, Warrants and Certificates | — | 1,757,250 | 40 | 1,757,290 | ||||||||||||
Structured Securities | — | 644,335,004 | 7,158,320 | 651,493,324 | ||||||||||||
Event-Linked Bonds | — | 118,732,832 | — | 118,732,832 | ||||||||||||
Options Purchased | 27,107,233 | 34,556 | — | 27,141,789 | ||||||||||||
Investment Companies | 1,629,050,403 | — | — | 1,629,050,403 | ||||||||||||
Total Investments, at Value | 1,720,389,171 | 7,526,212,700 | 63,470,601 | 9,310,072,472 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | — | 25,765,850 | — | 25,765,850 | ||||||||||||
Depreciated swaps, at value | — | 1,142,846 | — | 1,142,846 | ||||||||||||
Futures margins | 1,583,807 | — | — | 1,583,807 | ||||||||||||
Unfunded purchase agreements | — | 66,760 | — | 66,760 | ||||||||||||
Foreign currency exchange contracts | — | 27,658,399 | — | 27,658,399 | ||||||||||||
Total Assets | $ | 1,721,972,978 | $ | 7,580,846,555 | $ | 63,470,601 | $ | 9,366,290,134 | ||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Appreciated swaps, at value | $ | — | $ | (1,306,563 | ) | $ | — | $ | (1,306,563 | ) | ||||||
Depreciated swaps, at value | — | (16,502,959 | ) | — | (16,502,959 | ) | ||||||||||
Appreciated options written, at value | — | (59,312 | ) | — | (59,312 | ) | ||||||||||
Futures margins | (1,693,991 | ) | — | — | (1,693,991 | ) | ||||||||||
Foreign currency exchange contracts | — | (23,480,839 | ) | — | (23,480,839 | ) | ||||||||||
TALF loans, at value | — | — | (553,713,724 | ) | (553,713,724 | ) | ||||||||||
Total Liabilities | $ | (1,693,991 | ) | $ | (41,349,673 | ) | $ | (553,713,724 | ) | $ | (596,757,388 | ) | ||||
Change in | Accretion/ | |||||||||||||||
Unrealized | (Amortization) | |||||||||||||||
Value as of | Realized Gain | Appreciation/ | of Premium/ | |||||||||||||
September 30, 2009 | (Loss) | Depreciation | Discount1 | |||||||||||||
Assets Table | ||||||||||||||||
Investments, at Value: | ||||||||||||||||
Asset-Backed Securities | $ | — | $ | — | $ | 3,149,276 | $ | 124,436 | ||||||||
Foreign Government Obligations | 10,905,200 | — | 507,402 | 483,087 | ||||||||||||
Corporate Bonds and Notes | 2,219,306 | 148,030 | (501,759 | ) | — | |||||||||||
Preferred Stocks | — | — | 655,500 | — | ||||||||||||
Common Stocks | 32,791 | 5,096,874 | (4,365,353 | ) | — | |||||||||||
Rights, Warrants and Certificates | 40 | — | — | — | ||||||||||||
Structured Securities | 22,704,591 | — | (3,986,021 | ) | 65,277 | |||||||||||
Total Assets | $ | 35,861,928 | $ | 5,244,904 | $ | (4,540,955 | ) | $ | 672,800 | |||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
TALF loans, at value | $ | — | $ | — | $ | (82,115 | ) | $ | — | |||||||
Total Liabilities | $ | — | $ | — | $ | (82,115 | ) | $ | — | |||||||
Net | Transfers in | Value as of | ||||||||||
Purchases | and/or out of | September 30, | ||||||||||
(Sales) | Level 3 | 2010 | ||||||||||
Assets Table Continued | ||||||||||||
Investments, at Value: | ||||||||||||
Asset-Backed Securities | $ | 2,583,919 | $ | 21,210,000 | $ | 27,067,631 | ||||||
Foreign Government Obligations | — | — | 11,895,689 | |||||||||
Corporate Bonds and Notes | 326,955 | (2,191,408 | ) | 1,124 | ||||||||
Preferred Stocks | 10,925,000 | — | 11,580,500 | |||||||||
Common Stocks | 5,002,875 | 110 | 5,767,297 | |||||||||
Rights, Warrants and Certificates | — | — | 40 | |||||||||
Structured Securities | (11,629,219 | ) | 1,692 | 7,158,320 | ||||||||
Total Assets | $ | 7,211,530 | $ | 19,020,394 | $ | 63,470,601 | ||||||
Liabilities Table | ||||||||||||
Other Financial Instruments: | ||||||||||||
TALF loans, at value | $ | (117,389,082 | ) | $ | (436,242,527 | ) | $ | (553,713,724 | ) | |||
Total Liabilities | $ | (117,389,082 | ) | $ | (436,242,527 | ) | $ | (553,713,724 | ) | |||
1. | Included in net investment income. |
Geographic Holdings | Value | Percent | ||||||
United States | $ | 5,518,060,854 | 59.3 | % | ||||
Brazil | 477,718,704 | 5.1 | ||||||
Mexico | 318,103,422 | 3.4 | ||||||
Japan | 261,385,007 | 2.8 |
Geographic Holdings Continued | Value | Percent | ||||||
Indonesia | $ | 244,834,417 | 2.6 | % | ||||
Russia | 228,392,408 | 2.4 | ||||||
Turkey | 212,809,353 | 2.3 | ||||||
South Africa | 183,366,611 | 2.0 | ||||||
Ukraine | 155,735,657 | 1.7 | ||||||
Colombia | 126,109,711 | 1.4 | ||||||
Poland | 125,918,922 | 1.4 | ||||||
Korea, Republic of South | 118,146,543 | 1.3 | ||||||
Kazakhstan | 111,056,930 | 1.2 | ||||||
Supranational | 103,414,480 | 1.1 | ||||||
Egypt | 84,407,978 | 0.9 | ||||||
Israel | 81,970,556 | 0.9 | ||||||
Argentina | 74,974,078 | 0.8 | ||||||
Peru | 74,761,202 | 0.8 | ||||||
India | 72,064,833 | 0.8 | ||||||
Venezuela | 70,232,564 | 0.8 | ||||||
Canada | 65,466,975 | 0.7 | ||||||
Philippines | 64,614,600 | 0.7 | ||||||
United Kingdom | 54,005,026 | 0.6 | ||||||
Italy | 43,006,274 | 0.5 | ||||||
Uruguay | 36,653,175 | 0.4 | ||||||
Spain | 35,813,507 | 0.4 | ||||||
Ghana | 32,049,263 | 0.3 | ||||||
The Netherlands | 30,062,390 | 0.3 | ||||||
Germany | 28,941,869 | 0.3 | ||||||
Panama | 26,242,005 | 0.3 | ||||||
Hungary | 23,228,720 | 0.2 | ||||||
Bermuda | 22,606,483 | 0.2 | ||||||
Greece | 21,915,135 | 0.2 | ||||||
Australia | 21,522,336 | 0.2 | ||||||
Dominican Republic | 20,011,585 | 0.2 | ||||||
Ireland | 18,903,889 | 0.2 | ||||||
New Zealand | 17,578,978 | 0.2 | ||||||
Malaysia | 13,306,361 | 0.1 | ||||||
Trinidad & Tobago | 10,811,700 | 0.1 | ||||||
France | 9,850,505 | 0.1 | ||||||
Chile | 9,210,252 | 0.1 | ||||||
Costa Rica | 7,495,000 | 0.1 | ||||||
Austria | 7,324,752 | 0.1 | ||||||
Qatar | 6,641,050 | 0.1 | ||||||
Belgium | 5,680,987 | 0.1 | ||||||
Luxembourg | 5,552,625 | 0.1 | ||||||
China | 5,375,175 | 0.1 | ||||||
Sri Lanka | 5,134,538 | 0.1 | ||||||
Portugal | 3,767,560 | — | ||||||
Denmark | 3,718,752 | — | ||||||
Sweden | 2,676,598 | — | ||||||
Belize | 2,633,750 | — | ||||||
Finland | 2,281,445 | — | ||||||
Norway | 1,388,096 | — | ||||||
Vietnam | 1,136,886 | — | ||||||
Total | $ | 9,310,072,472 | 100.0 | % | ||||
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Banc of America: | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 97,360 | ARP | 11/15/10-3/29/11 | $ | 24,076,096 | $ | — | $ | 36,590 | ||||||||||||||
Chilean Peso (CLP) | Buy | 4,597,000 | CLP | 10/4/10 | 9,503,369 | 309,369 | — | |||||||||||||||||
Chinese Renminbi | ||||||||||||||||||||||||
(Yuan) (CNY) | Buy | 169,500 | CNY | 6/7/11 | 25,499,284 | 458,657 | — | |||||||||||||||||
Euro (EUR) | Sell | 10,165 | EUR | 10/6/10 | 13,856,854 | — | 1,015,058 | |||||||||||||||||
Hong Kong Dollar (HKD) | Sell | 134,500 | HKD | 11/3/10 | 17,337,792 | — | 34,305 | |||||||||||||||||
New Taiwan Dollar (TWD) | Sell | 535,000 | TWD | 11/15/10 | 17,135,336 | — | 279,633 | |||||||||||||||||
New Zealand Dollar (NZD) | Buy | 760 | NZD | 10/18/10 | 556,791 | 17,449 | — | |||||||||||||||||
New Zealand Dollar (NZD) | Sell | 760 | NZD | 10/18/10 | 556,791 | — | 236 | |||||||||||||||||
South Korean Won (KRW) | Buy | 20,573,000 | KRW | 11/29/10 | 17,995,189 | 226,144 | — | |||||||||||||||||
1,011,619 | 1,365,822 | |||||||||||||||||||||||
Bank Paribas Asia—FGN: | ||||||||||||||||||||||||
Euro (EUR) | Sell | 1,370 | EUR | 10/4/10-11/10/10 | 1,867,648 | — | 21,327 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 127,845 | PLZ | 11/2/10 | 43,869,185 | 3,222,824 | — | |||||||||||||||||
South African Rand (ZAR) | Buy | 127,100 | ZAR | 11/15/10 | 18,097,019 | 467,747 | — | |||||||||||||||||
3,690,571 | 21,327 | |||||||||||||||||||||||
Barclay’s Capital: | ||||||||||||||||||||||||
Euro (EUR) | Buy | 720 | EUR | 10/18/10 | 981,413 | 32,859 | — | |||||||||||||||||
Euro (EUR) | Sell | 6,690 | EUR | 11/10/10 | 9,117,257 | — | 828,347 | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 7,739,000 | HUF | 11/10/10 | 37,984,281 | 3,581,080 | — | |||||||||||||||||
Japanese Yen (JPY) | Buy | 4,115,000 | JPY | 11/2/10 | 49,307,881 | 1,108,324 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 5,001,000 | JPY | 10/29/10-12/21/10 | 59,954,137 | — | 1,326,606 | |||||||||||||||||
Polish Zloty (PLZ) | Buy | 2,460 | PLZ | 10/18/10 | 845,116 | 25,886 | — | |||||||||||||||||
4,748,149 | 2,154,953 | |||||||||||||||||||||||
Citigroup: | ||||||||||||||||||||||||
Chilean Peso (CLP) | Sell | 4,597,000 | CLP | 10/4/10 | 9,503,369 | — | 620,277 | |||||||||||||||||
Chinese Renminbi (Yuan) | ||||||||||||||||||||||||
(CNY) | Sell | 120,000 | CNY | 11/2/10 | 17,936,819 | — | 304,014 | |||||||||||||||||
Euro (EUR) | Buy | 41,810 | EUR | 12/21/10 | 56,960,508 | 2,440,268 | — | |||||||||||||||||
Euro (EUR) | Sell | 47,850 | EUR | 10/29/10-11/10/10 | 65,216,928 | — | 1,420,248 | |||||||||||||||||
Indonesia Rupiah (IDR) | Buy | 131,721,000 | IDR | 11/22/10 | 14,620,504 | 41,533 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 327,287 | JPY | 10/6/10 | 3,920,746 | — | 160 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 281,720 | MXN | 11/16/10 | 22,264,439 | 489,822 | — | |||||||||||||||||
Singapore Dollar (SGD) | Buy | 1,920 | SGD | 11/10/10 | 1,459,841 | 80,530 | — | |||||||||||||||||
Swedish Krona (SEK) | Buy | 12,100 | SEK | 10/18/10 | 1,794,300 | 58,011 | — | |||||||||||||||||
Swedish Krona (SEK) | Sell | 7,700 | SEK | 10/18/10 | 1,141,827 | — | 98,604 | |||||||||||||||||
3,110,164 | 2,443,303 | |||||||||||||||||||||||
Citigroup EM: | ||||||||||||||||||||||||
Colombian Peso (COP) | Buy | 18,117,000 | COP | 11/23/10 | 10,054,772 | 22,099 | — | |||||||||||||||||
Ghanaian Cedi (GHS) | Buy | 4,354 | GHS | 10/5/10 | 3,055,457 | — | — | |||||||||||||||||
Ghanaian Cedi (GHS) | Sell | 3,903 | GHS | 10/5/10 | 2,738,960 | — | — | |||||||||||||||||
22,099 | — |
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
Credit Suisse: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Sell | 5,320 | GBP | 12/21/10 | $ | 8,352,295 | $ | 76,739 | $ | — | ||||||||||||||
Euro (EUR) | Buy | 590 | EUR | 10/18/10 | 804,214 | 48,924 | — | |||||||||||||||||
Euro (EUR) | Sell | 148,130 | EUR | 10/7/10-11/10/10 | 201,898,947 | — | 11,846,461 | |||||||||||||||||
Hungarian Forint (HUF) | Buy | 7,108,000 | HUF | 11/10/10 | 34,887,230 | 2,038,736 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 1,507,000 | JPY | 11/15/10 | 18,060,189 | — | 70,456 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 20,018 | MXN | 10/4/10 | 1,588,021 | — | 18,231 | |||||||||||||||||
New Turkish Lira (TRY) | Buy | 83,815 | TRY | 10/13/10-11/1/10 | 57,751,034 | 2,701,271 | — | |||||||||||||||||
Norwegian Krone (NOK) | Buy | 3,300 | NOK | 10/18/10 | 560,567 | — | 238 | |||||||||||||||||
Norwegian Krone (NOK) | Sell | 5,300 | NOK | 10/18/10 | 900,305 | 238 | 21,313 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 397,335 | RUR | 10/7/10 | 12,983,325 | 255,024 | 30,443 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 1,480 | CHF | 10/18/10 | 1,506,389 | 19,474 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 3,560 | CHF | 10/18/10 | 3,623,476 | — | 119,528 | |||||||||||||||||
5,140,406 | 12,106,670 | |||||||||||||||||||||||
Deutsche Bank Capital Corp.: | ||||||||||||||||||||||||
Australian Dollar (AUD) | Sell | 2,413 | AUD | 10/29/10 | 2,323,856 | — | 9,548 | |||||||||||||||||
British Pound Sterling (GBP) | Buy | 590 | GBP | 10/18/10 | 926,705 | 10,170 | — | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 5,745 | GBP | 10/29/10 | 9,022,871 | 27,113 | — | |||||||||||||||||
Canadian Dollar (CAD) | Buy | 1,720 | CAD | 10/18/10 | 1,671,016 | 15,017 | 1,656 | |||||||||||||||||
Canadian Dollar (CAD) | Sell | 11,380 | CAD | 10/18/10-10/29/10 | 11,053,718 | 1,388 | 61,193 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 273,000 | JPY | 11/10/10 | 3,271,505 | 327,585 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 165,000 | JPY | 10/18/10 | 1,976,834 | — | 46,999 | |||||||||||||||||
Kazakhstan Tenge (KZT) | Buy | 341,700 | KZT | 2/28/11 | 2,312,293 | — | 20,130 | |||||||||||||||||
Russian Ruble (RUR) | Sell | 273,200 | RUR | 10/7/10 | 8,927,088 | — | 88,524 | |||||||||||||||||
Swiss Franc (CHF) | Sell | 2,227 | CHF | 10/29/10 | 2,266,945 | — | 4,263 | |||||||||||||||||
381,273 | 232,313 | |||||||||||||||||||||||
Deutsche Bank EM: | ||||||||||||||||||||||||
Kazakhstan Tenge (KZT) | Sell | 341,700 | KZT | 2/28/11 | 2,312,293 | 2,667 | 330 | |||||||||||||||||
Philippines Peso (PHP) | Buy | 534,000 | PHP | 10/13/10 | 12,151,220 | 71,138 | — | |||||||||||||||||
Russian Ruble (RUR) | Buy | 194,400 | RUR | 10/7/10 | 6,352,218 | 268,663 | — | |||||||||||||||||
342,468 | 330 | |||||||||||||||||||||||
Goldman Sachs EM: | ||||||||||||||||||||||||
Brazilian Real (BRR) | Buy | 29,800 | BRR | 11/3/10 | 17,484,274 | 149,622 | — | |||||||||||||||||
Brazilian Real (BRR) | Sell | 68,370 | BRR | 11/3/10 | 40,114,088 | — | 343,278 | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 546,205 | MXN | 10/15/10 | 43,293,312 | 719,923 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Sell | 106,900 | MXN | 2/2/11 | 8,381,816 | — | 97,563 | |||||||||||||||||
869,545 | 440,841 | |||||||||||||||||||||||
HSBC EM | ||||||||||||||||||||||||
Israeli Shekel (ILS) | Sell | 56,640 | ILS | 10/29/10 | 15,540,907 | — | 683,443 | |||||||||||||||||
JP Morgan Chase: | ||||||||||||||||||||||||
Euro (EUR) | Buy | 11,675 | EUR | 11/10/10 | 15,910,908 | 1,897,417 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 4,388,000 | JPY | 11/2/10-11/10/10 | 52,579,386 | — | 2,299,552 | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 93,870 | MYR | 11/22/10 | 30,296,354 | 159,588 | — | |||||||||||||||||
Mexican Nuevo Peso (MXN) | Buy | 61,575 | MXN | 10/5/10-10/18/10 | 4,881,962 | 91,921 | 7,182 | |||||||||||||||||
Russian Ruble (RUR) | Buy | 402,920 | RUR | 11/8/10 | 13,136,746 | 458,332 | — | |||||||||||||||||
South Korean Won (KRW) | Sell | 7,390,000 | KRW | 11/16/10 | 6,467,950 | — | 271,664 | |||||||||||||||||
2,607,258 | 2,578,398 |
Contract | ||||||||||||||||||||||||
Counterparty/ | Buy/ | Amount | Expiration | Unrealized | Unrealized | |||||||||||||||||||
Contract Description | Sell | (000’s) | Dates | Value | Appreciation | Depreciation | ||||||||||||||||||
JP Morgan EM: | ||||||||||||||||||||||||
Argentine Peso (ARP) | Buy | 25,660 | ARP | 3/29/11 | $ | 6,173,092 | $ | — | $ | 17,499 | ||||||||||||||
Chinese Renminbi | ||||||||||||||||||||||||
(Yuan) (CNY) | Buy | 220,530 | CNY | 6/7/11-6/20/11 | 33,179,354 | 591,664 | — | |||||||||||||||||
Indian Rupee (INR) | Buy | 3,528,400 | INR | 11/3/10 | 78,025,527 | 3,649,472 | — | |||||||||||||||||
Malaysian Ringgit (MYR) | Buy | 92,490 | MYR | 11/30/10 | 29,834,509 | 627,448 | — | |||||||||||||||||
Malaysian Ringgit (MYR) | Sell | 4,970 | MYR | 11/10/10 | 1,605,395 | — | 58,072 | |||||||||||||||||
Philippines Peso (PHP) | Buy | 534,000 | PHP | 10/13/10 | 12,151,220 | 69,772 | — | |||||||||||||||||
Russian Ruble (RUR) | Buy | 248,430 | RUR | 10/7/10 | 8,117,703 | 90,885 | — | |||||||||||||||||
Russian Ruble (RUR) | Sell | 402,920 | RUR | 11/8/10 | 13,136,746 | — | 120,432 | |||||||||||||||||
South Korean Won (KRW) | Buy | 7,390,000 | KRW | 11/16/10 | 6,467,950 | 125,147 | — | |||||||||||||||||
5,154,388 | 196,003 | |||||||||||||||||||||||
Morgan Stanley & Co., Inc. | ||||||||||||||||||||||||
Kazakhstan Tenge (KZT) | Buy | 341,400 | KZT | 2/28/11 | 2,310,263 | — | 22,501 | |||||||||||||||||
Morgan Stanley EM | ||||||||||||||||||||||||
Kazakhstan Tenge (KZT) | Sell | 341,400 | KZT | 2/28/11 | 2,310,263 | 1,962 | — | |||||||||||||||||
Nomura Securities: | ||||||||||||||||||||||||
British Pound Sterling (GBP) | Buy | 530 | GBP | 10/18/10 | 832,464 | 7,354 | 2,613 | |||||||||||||||||
British Pound Sterling (GBP) | Sell | 1,150 | GBP | 10/18/10 | 1,806,290 | 3,811 | 12,554 | |||||||||||||||||
Japanese Yen (JPY) | Buy | 114,000 | JPY | 10/18/10 | 1,365,813 | 22,301 | — | |||||||||||||||||
Japanese Yen (JPY) | Sell | 166,000 | JPY | 10/18/10 | 1,988,815 | — | 26,760 | |||||||||||||||||
33,466 | 41,927 | |||||||||||||||||||||||
RBS Greenwich Capital: | ||||||||||||||||||||||||
Polish Zloty (PLZ) | Sell | 26,950 | PLZ | 11/2/10 | 9,247,718 | — | 442,974 | |||||||||||||||||
Swiss Franc (CHF) | Buy | 2,185 | CHF | 11/10/10 | 2,224,470 | 239,911 | — | |||||||||||||||||
Swiss Franc (CHF) | Sell | 18,840 | CHF | 11/15/10 | 19,181,339 | — | 564,738 | |||||||||||||||||
239,911 | 1,007,712 | |||||||||||||||||||||||
Santander EM | ||||||||||||||||||||||||
Peruvian New Sol (PEN) | Sell | 13,270 | PEN | 12/10/10 | 4,760,268 | — | 14,202 | |||||||||||||||||
Standard Chartered Bank EM | ||||||||||||||||||||||||
Ghanaian Cedi (GHS) | Buy | 2,909 | GHS | 10/1/10 | 2,041,322 | 1,432 | — | |||||||||||||||||
Standard New York Securities, Inc. | ||||||||||||||||||||||||
South African Rand (ZAR) | Sell | 23,500 | ZAR | 11/1/10 | 3,353,866 | — | 171,094 | |||||||||||||||||
State Street | ||||||||||||||||||||||||
Australian Dollar (AUD) | Buy | 6,260 | AUD | 10/18/10 | 6,037,025 | 303,688 | — | |||||||||||||||||
Total unrealized appreciation and depreciation | $ | 27,658,399 | $ | 23,480,839 | ||||||||||||||||||||
Unrealized | ||||||||||||||||||||
Number of | Expiration | Appreciation | ||||||||||||||||||
Contract Description | Buy/Sell | Contracts | Date | Value | (Depreciation) | |||||||||||||||
DAX Index | Buy | 75 | 12/17/10 | $ | 15,952,607 | $ | (16,810 | ) | ||||||||||||
Euro-Bundesobligation | Buy | 201 | 12/8/10 | 36,013,619 | 42,604 | |||||||||||||||
FTSE 100 Index | Buy | 35 | 12/17/10 | 3,040,191 | (646 | ) | ||||||||||||||
FTSE 100 Index | Sell | 268 | 12/17/10 | 23,279,179 | 4,744 | |||||||||||||||
Japan (Government of) Bonds, 10 yr. | Buy | 10 | 12/9/10 | 17,180,163 | 220,753 | |||||||||||||||
Japan (Government of) Mini Bonds, 10 yr. | Buy | 126 | 12/8/10 | 21,643,987 | 271,837 | |||||||||||||||
NASDAQ 100 E-Mini Index | Buy | 798 | 12/17/10 | 31,848,180 | 2,177,074 | |||||||||||||||
NIKKEI 225 Index | Buy | 53 | 12/9/10 | 2,980,774 | (33,361 | ) | ||||||||||||||
NIKKEI 225 Index | Sell | 236 | 12/9/10 | 26,460,949 | (874,723 | ) | ||||||||||||||
Standard & Poor’s 500 E-Mini Index | Sell | 1,949 | 12/17/10 | 110,771,415 | (4,918,886 | ) | ||||||||||||||
U.S. Treasury Long Bonds, 20 yr. | Buy | 3,279 | 12/21/10 | 438,463,781 | 908,225 | |||||||||||||||
U.S. Treasury Nts., 2 yr. | Sell | 185 | 12/31/10 | 40,604,610 | (82,576 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. | Buy | 1,925 | 12/31/10 | 422,507,424 | 314,763 | |||||||||||||||
U.S. Treasury Nts., 5 yr. | Sell | 420 | 12/31/10 | 50,764,219 | (394,085 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. | Buy | 11,809 | 12/21/10 | 1,488,487,547 | 12,578,481 | |||||||||||||||
U.S. Treasury Nts., 10 yr. | Sell | 1,514 | 12/21/10 | 190,834,969 | (859,443 | ) | ||||||||||||||
U.S. Ultra Treasury Bonds | Buy | 14 | 12/21/10 | 1,977,937 | (2,313 | ) | ||||||||||||||
United Kingdom Long Gilt | Buy | 26 | 12/29/10 | 5,077,634 | (2,284 | ) | ||||||||||||||
$ | 9,333,354 | |||||||||||||||||||
Number of | Exercise | Expiration | Premiums | Unrealized | ||||||||||||||||||||||||
Description | Type | Contracts | Price | Date | Received | Value | Appreciation | |||||||||||||||||||||
South Korean Won (KRW) | Call | 586,000,000 | 16.150 | JPY | 11/29/10 | $ | 128,869 | $ | (15,275 | ) | $ | 113,594 | ||||||||||||||||
South Korean Won (KRW) | Call | 586,000,000 | 16.321 | JPY | 11/29/10 | 154,321 | (14,419 | ) | 139,902 | |||||||||||||||||||
South Korean Won (KRW) | Call | 586,000,000 | 16.000 | JPY | 11/29/10 | 128,869 | (17,730 | ) | 111,139 | |||||||||||||||||||
South Korean Won (KRW) | Call | 550,000,000 | 17.090 | JPY | 11/29/10 | 166,914 | (6,776 | ) | 160,138 | |||||||||||||||||||
South Korean Won (KRW) | Call | 550,000,000 | 17.450 | JPY | 11/29/10 | 166,309 | (5,112 | ) | 161,197 | |||||||||||||||||||
$ | 745,282 | $ | (59,312 | ) | $ | 685,970 | ||||||||||||||||||||||
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
American General Finance: | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | $ | 7,410 | 5.00 | % | 9/20/15 | $ | (401,251 | ) | $ | 732,249 | $ | 330,998 | |||||||||||||||
Goldman Sachs International | Sell | 9,430 | 5.00 | 9/20/15 | (532,018 | ) | 931,863 | 399,845 | ||||||||||||||||||||
Total | 16,840 | (933,269 | ) | 1,664,112 | 730,843 | |||||||||||||||||||||||
Baxter International, Inc. | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | 17,610 | 1.00 | 9/20/15 | 580,473 | (585,334 | ) | (4,861 | ) | |||||||||||||||||||
Total | 17,610 | 580,473 | (585,334 | ) | (4,861 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Bolivarian Republic of Venezuela | ||||||||||||||||||||||||||||
Credit Suisse International | Buy | $ | 3,040 | 5.00 | % | 9/20/15 | $ | (796,733 | ) | $ | 679,650 | $ | (117,083 | ) | ||||||||||||||
Total | 3,040 | (796,733 | ) | 679,650 | (117,083 | ) | ||||||||||||||||||||||
CDX North America High Yield Index, Series 13: | ||||||||||||||||||||||||||||
Barclays Bank plc | Sell | 31,982 | 5.00 | 12/20/14 | 3,035,324 | 43,730 | 3,079,054 | |||||||||||||||||||||
Goldman Sachs International | Sell | 19,191 | 5.00 | 12/20/14 | 1,663,879 | 26,241 | 1,690,120 | |||||||||||||||||||||
Goldman Sachs International | Sell | 31,982 | 5.00 | 12/20/14 | 3,015,133 | 43,730 | 3,058,863 | |||||||||||||||||||||
JPMorgan Chase Bank NA, | ||||||||||||||||||||||||||||
NY Branch | Sell | 6,930 | 5.00 | 12/20/14 | 363,825 | 9,476 | 373,301 | |||||||||||||||||||||
Total | 90,085 | 8,078,161 | 123,177 | 8,201,338 | ||||||||||||||||||||||||
CVS Caremark Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 17,610 | 1.00 | 9/20/15 | 265,241 | (115,969 | ) | 149,272 | ||||||||||||||||||||
Total | 17,610 | 265,241 | (115,969 | ) | 149,272 | |||||||||||||||||||||||
Development Bank of Kazakhstan JSC | ||||||||||||||||||||||||||||
Credit Suisse International | Sell | 11,730 | 3.75 | 2/20/13 | — | 305,707 | 305,707 | |||||||||||||||||||||
Total | 11,730 | — | 305,707 | 305,707 | ||||||||||||||||||||||||
Islamic Republic of Pakistan | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | 5,090 | 5.10 | 3/20/13 | — | (247,141 | ) | (247,141 | ) | |||||||||||||||||||
Total | 5,090 | — | (247,141 | ) | (247,141 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS | ||||||||||||||||||||||||||||
Morgan Stanley & Co. International Ltd. | Sell | 15,590 | 1.30 | 3/24/13 | — | (1,682,172 | ) | (1,682,172 | ) | |||||||||||||||||||
Total | 15,590 | — | (1,682,172 | ) | (1,682,172 | ) | ||||||||||||||||||||||
McDonald’s Corp. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 17,610 | 1.00 | 9/20/15 | (492,494 | ) | 463,196 | (29,298 | ) | |||||||||||||||||||
Total | 17,610 | (492,494 | ) | 463,196 | (29,298 | ) | ||||||||||||||||||||||
Quest Diagnostics, Inc. | ||||||||||||||||||||||||||||
Goldman Sachs International | Buy | 17,410 | 1.00 | 9/20/15 | (307,736 | ) | 345,658 | 37,922 | ||||||||||||||||||||
Total | 17,410 | (307,736 | ) | 345,658 | 37,922 | |||||||||||||||||||||||
Raytheon Co. | ||||||||||||||||||||||||||||
Citibank NA, New York | Buy | 17,410 | 1.00 | 9/20/15 | 385,084 | (372,521 | ) | 12,563 | ||||||||||||||||||||
Total | 17,410 | 385,084 | (372,521 | ) | 12,563 | |||||||||||||||||||||||
Republic of Peru | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 7,680 | 1.71 | 12/20/16 | — | (215,787 | ) | (215,787 | ) | |||||||||||||||||||
Total | 7,680 | — | (215,787 | ) | (215,787 | ) |
Pay/ | Upfront | |||||||||||||||||||||||||||
Buy/Sell | Notional | Receive | Termi- | Payment | Unrealized | |||||||||||||||||||||||
Reference Entity/ | Credit | Amount | Fixed | nation | Received/ | Appreciation | ||||||||||||||||||||||
Swap Counterparty | Protection | (000’s) | Rate | Date | (Paid) | Value | (Depreciation) | |||||||||||||||||||||
Republic of the Philippines: | ||||||||||||||||||||||||||||
Barclays Bank plc | Buy | $ | 6,390 | 1.76 | % | 12/20/14 | $ | — | $ | (95,301 | ) | $ | (95,301 | ) | ||||||||||||||
JPMorgan Chase Bank NA, | ||||||||||||||||||||||||||||
London Branch | Buy | 9,590 | 1.74 | 12/20/14 | — | (135,302 | ) | (135,302 | ) | |||||||||||||||||||
Total | 15,980 | — | (230,603 | ) | (230,603 | ) | ||||||||||||||||||||||
SLM Corp.: | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | 9,980 | 5.00 | 9/20/15 | 343,334 | (201,171 | ) | 142,163 | ||||||||||||||||||||
Goldman Sachs International | Sell | 3,715 | 5.00 | 9/20/15 | 113,514 | (74,885 | ) | 38,629 | ||||||||||||||||||||
UBS AG | Sell | 3,715 | 5.00 | 9/20/15 | 122,285 | (74,885 | ) | 47,400 | ||||||||||||||||||||
Total | 17,410 | 579,133 | (350,941 | ) | 228,192 | |||||||||||||||||||||||
Staples, Inc. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Buy | 16,840 | 1.00 | 9/20/15 | (149,155 | ) | 345,826 | 196,671 | ||||||||||||||||||||
Total | 16,840 | (149,155 | ) | 345,826 | 196,671 | |||||||||||||||||||||||
Time Warner, Inc. | ||||||||||||||||||||||||||||
Deutsche Bank AG | Sell | 16,840 | 1.00 | 9/20/15 | 316,065 | (307,507 | ) | 8,558 | ||||||||||||||||||||
Total | 16,840 | 316,065 | (307,507 | ) | 8,558 | |||||||||||||||||||||||
Vornado Realty LP: | ||||||||||||||||||||||||||||
Citibank NA, New York | Sell | 7,435 | 1.00 | 9/20/15 | 89,347 | (67,394 | ) | 21,953 | ||||||||||||||||||||
UBS AG | Sell | 10,175 | 1.00 | 9/20/15 | 106,494 | (92,231 | ) | 14,263 | ||||||||||||||||||||
Total | 17,610 | 195,841 | (159,625 | ) | 36,216 | |||||||||||||||||||||||
Grand Total Buys | (22,826 | ) | (149,080 | ) | (171,906 | ) | ||||||||||||||||||||||
Grand Total Sells | 7,743,437 | (191,194 | ) | 7,552,243 | ||||||||||||||||||||||||
Total Credit Default Swaps | $ | 7,720,611 | $ | (340,274 | ) | $ | 7,380,337 | |||||||||||||||||||||
Total Maximum Potential | Reference Asset | |||||||||||
Type of Reference Asset on which the Fund | Payments for Selling Credit | Amount | Rating Range** | |||||||||
Sold Protection | Protection (Undiscounted) | Recoverable* | (Unaudited) | |||||||||
Non-Investment Grade Corporate Debt Indexes | $ | 90,085,050 | $ | — | B+ | |||||||
Investment Grade Single Name Corporate Debt | 86,310,000 | — | A to BBB– | |||||||||
Investment Grade Sovereign Debt | 27,320,000 | — | BBB– | |||||||||
Non-Investment Grade Sovereign Debt | 5,090,000 | — | B– | |||||||||
Total | $ | 208,805,050 | $ | — | ||||||||
* | The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. | |
** | The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
BZDI: | ||||||||||||||||||||
Banco Santander SA, Inc. | 22,500 | BRR | BZDI | 12.320 | % | 1/2/17 | $ | 369,468 | ||||||||||||
Barclays Bank plc | 18,230 | BRR | BZDI | 11.370 | 1/3/12 | 89,965 | ||||||||||||||
Credit Suisse International | 23,540 | BRR | BZDI | 11.480 | 1/2/12 | 124,183 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 47,000 | BRR | BZDI | 12.800 | 1/2/17 | 2,065,139 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 35,170 | BRR | BZDI | 12.920 | 1/2/14 | 1,547,917 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 17,520 | BRR | BZDI | 12.870 | 1/2/14 | 769,565 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 65,280 | BRR | BZDI | 11.460 | 1/2/12 | 343,376 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 2,160 | BRR | BZDI | 12.260 | 1/2/15 | 70,584 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 990 | BRR | BZDI | 12.290 | 1/2/15 | 32,351 | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 12,280 | BRR | BZDI | 11.600 | 1/4/17 | (45,784 | ) | |||||||||||||
JPMorgan Chase Bank NA | 41,300 BRR | BZDI | 13.900 | 1/2/17 | 2,577,613 | |||||||||||||||
Morgan Stanley | 64,970 | BRR | BZDI | 12.300 | 1/2/17 | 1,063,058 | ||||||||||||||
Morgan Stanley | 56,660 | BRR | BZDI | 11.490 | 1/2/12 | 299,307 | ||||||||||||||
Total | 407,600 | BRR | 9,306,742 | |||||||||||||||||
Six-Month AUD BBR BBSW | ||||||||||||||||||||
Westpac Banking Corp. | Six-Month AUD | |||||||||||||||||||
47,515 | AUD | BBR BBSW | 5.660 | 8/6/20 | (454,255 | ) | ||||||||||||||
Six-Month GBP BBA LIBOR | ||||||||||||||||||||
Six-Month GBP | ||||||||||||||||||||
Barclays Bank plc | 27,310 | GBP | BBA LIBOR | 3.328 | 8/3/20 | 1,296,043 | ||||||||||||||
Six-Month JPY BBA LIBOR: | ||||||||||||||||||||
Six-Month | ||||||||||||||||||||
Citibank NA | 1,172,000 | JPY | 1.391 | JPY BBA LIBOR | 10/6/19 | (639,328 | ) | |||||||||||||
JPMorgan | Six-Month | |||||||||||||||||||
Chase Bank NA | 1,242,000 | JPY | 1.077 | JPY BBA LIBOR | 8/7/20 | (27,273 | ) | |||||||||||||
JPMorgan | Six-Month | |||||||||||||||||||
Chase Bank NA | 1,337,000 | JPY | 1.563 | JPY BBA LIBOR | 11/9/19 | (875,066 | ) | |||||||||||||
Total | 3,751,000 | JPY | (1,541,667 | ) |
Notional | ||||||||||||||||||||
Interest Rate/ | Amount | Paid by | Received by | Termination | ||||||||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||||||||
Three-Month USD BBA LIBOR | ||||||||||||||||||||
Three-Month USD | ||||||||||||||||||||
Barclays Bank plc | $ | 44,100 | BBA LIBOR | 2.500 | % | 9/2/20 | $ | (157,888 | ) | |||||||||||
Total Interest Rate Swaps | $ | 8,448,975 | ||||||||||||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
GBP | British Pound Sterling | |
JPY | Japanese Yen | |
Abbreviations/Definitions are as follows: | ||
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI | Brazil Interbank Deposit Rate |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
AMEX Health Care Select Index | ||||||||||||||
UBS AG | $ | 7,375 | One-Month USD BBA LIBOR plus 17 basis points and if negative, the absolute value of the Total Return of the AMEX Health Care Select Index | If positive, the Total Return of the AMEX Health Care Select Index | 9/9/11 | $ | 382,282 | |||||||
Consumer Staples Select Sector Index: | ||||||||||||||
Morgan Stanley | 6,984 | One-Month USD USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 3/9/11 | 320,450 | |||||||||
Morgan Stanley | 391 | One-Month USD BBA LIBOR plus 15 basis points and if negative, the absolute value of the Total Return of the Consumer Staples Select Sector Index | If positive, the Total Return of the Consumer Staples Select Sector Index | 9/14/11 | 14,316 | |||||||||
Reference Entity Total | 334,766 |
Notional | ||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||
Custom basket of securities: | ||||||||||||
Citibank NA | 5,740 CHF | One-Month CHF BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/12/11 | $ | 220,677 | ||||||
Citibank NA | 13,312 EUR | One-Month EURIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/12/11 | 626,648 | |||||||
Citibank NA | 6,394 GBP | One-Month GBP BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/12/11 | 477,651 | |||||||
Citibank NA | 15,364 SEK | One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/12/11 | 76,954 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Custom basket of securities: Continued | ||||||||||||||
Citibank NA, New York | 2,103,569 | JPY | One-Month JPY BBA LIBOR plus 53 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 4/14/11 | $ | 831,912 | |||||||
Goldman Sachs Group, Inc. (The) | 88,774 | One-Month USD BBA LIBOR plus 18 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 9/9/11 | 4,029,717 | |||||||||
Morgan Stanley | 17,124 | GBP | One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a custom basket of securities | If positive, the Total Return of a custom basket of securities | 1/14/11 | 724,600 | ||||||||
Reference Entity Total | 6,988,159 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
Materials Select Sector Index: | ||||||||||||||
Morgan Stanley | $ | 7,251 | One-Month USD BBA LIBOR and if negative, the absolute value of the Total Return of the Materials Select Sector Index | If positive, the Total Return of the Materials Select Sector Index | 8/10/11 | $ | 275,321 | |||||||
Morgan Stanley | 220 | One-Month USD BBA LIBOR and if negative, the absolute value of the Total Return of the Materials Select Sector Index | If positive, the Total Return of the Materials Select Sector Index | 9/14/11 | 6,214 | |||||||||
Reference Entity Total | 281,535 | |||||||||||||
MSCI Daily Gross TR Europe Euro Index: | ||||||||||||||
Citibank NA | 1,106 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EURIBOR minus 60 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/11 | 11,560 | ||||||||
Goldman Sachs Group, Inc. (The) | 3,563 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EURIBOR minus 3 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/11 | 1,465 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily Gross TR Europe Euro Index: Continued | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 7,431 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EURIBOR minus 3 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/11 | $ | 2,974 | |||||||
Goldman Sachs Group, Inc. (The) | 3,060 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EURIBOR minus 3 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/17/11 | 1,224 | ||||||||
Morgan Stanley | 7,266 | EUR | If positive, the Total Return of the MSCI Daily Gross Europe Euro Index | One-Month EURIBOR minus 30 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross Europe Euro Index | 1/12/11 | (66,848 | ) | |||||||
Reference Entity Total | (49,625 | ) | ||||||||||||
MSCI Daily TR Gross EAFE USD Index: | ||||||||||||||
Citibank NA | 16,474 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR plus 15 basis points and if negative the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/10 | (1,580,753 | ) |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Gross EAFE USD Index: Continued | ||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 852 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | $ | (54,184 | ) | ||||||
Goldman Sachs Group, Inc. (The) | 427 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 5/11/11 | (25,101 | ) | ||||||||
Goldman Sachs Group, Inc. (The) | 5,977 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 5 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 7/8/11 | (416,483 | ) | ||||||||
Morgan Stanley | 9,886 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/7/10 | (605,182 | ) |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Gross EAFE USD Index: Continued | ||||||||||||||
UBS AG | $ | 21,346 | One-Month USD BBA LIBOR plus 40 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | 7/12/11 | $ | 1,530,247 | |||||||
UBS AG | 12,849 | If positive, the Total Return of the MSCI Daily Gross EAFE USD Index | One-Month USD LIBOR minus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Gross EAFE USD Index | 10/11/10 | (881,564 | ) | ||||||||
Reference Entity Total | (2,033,020 | ) | ||||||||||||
MSCI Daily TR Italy USD Index: | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 8,349 | One-Month USD BBA LIBOR minus 25 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Italy USD Index | If positive, the Total Return of the MSCI Daily Italy USD Index | 3/4/11 | 585,108 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Italy USD Index: Continued | ||||||||||||||
Goldman Sachs Group, Inc. (The) | $ | 652 | One-Month USD BBA LIBOR minus 25 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Italy USD Index | If positive, the Total Return of the MSCI Daily Italy USD Index | 3/4/11 | $ | 49,915 | |||||||
Reference Entity Total | 635,023 | |||||||||||||
MSCI Daily TR Net Emerging Markets Korea Price Return Index | ||||||||||||||
UBS AG | 8,956 | One-Month USD BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Emerging Markets Korea Price Return Index | If positive, the Total Return of the MSCI Daily Net Emerging Markets Korea Price Return Index | 8/8/11 | 811,867 | |||||||||
MSCI Daily TR Net Spain USD Index | ||||||||||||||
Citibank NA | 9,204 | One-Month USD BBA LIBOR minus 30 basis points and if negative, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | If positive, the absolute value of the Total Return of the MSCI Daily Net Spain USD Index | 9/7/11 | 544,494 |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
MSCI Daily TR Net Switzerland USD Index | ||||||||||||||
Citibank NA | $ | 9,010 | One-Month USD BBA LIBOR and if negative, the absolute value of the Total Return of the MSCI Daily Net Switzerland USD Index | If positive, the absolute value of the Total Return of the MSCI Daily Net Switzerland USD Index | 9/7/11 | $ | 286,772 | |||||||
MSCI Malaysia TR Index | ||||||||||||||
Nomura International | 8,978 | One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total Return of the MSCI Malaysia Index | If positive, the Total Return of MSCI Malaysia Index | 9/8/11 | 292,716 | |||||||||
S&P 400 Midcap Index | ||||||||||||||
Goldman Sachs Group, Inc. (The) | 22,005 | If positive, the Total Return of the S&P 400 Midcap Index | One-Month USD BBA LIBOR minus 9 basis points and if negative, the absolute value of the Total Return of the S&P 400 Midcap Index | 9/9/11 | (1,232,017 | ) | ||||||||
The ordinary shares of Novo Nordisk AS | ||||||||||||||
Citibank NA | 4,092 | DKK | One-Month DKK BBA LIBOR plus 30 basis points and if negative, the absolute value of the Total Return of the ordinary shares of Novo Nordisk AS | If positive, the absolute value of the ordinary shares of Novo Nordisk AS | 4/11/11 | 42,005 | ||||||||
Total of Total Return Swaps | $ | 7,284,957 | ||||||||||||
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
Abbreviations are as follows: | ||
AMEX | American Stock Exchange | |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate | |
EAFE | Europe, Australasia, Far East | |
EURIBOR | Euro Interbank Offered Rate | |
LIBOR | London-Interbank Offered Rate | |
MSCI | Morgan Stanley Capital International | |
S&P | Standard & Poor’s | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TR | Total Return |
Notional | ||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||
Each of JSC “Rushydro” (Open Joint Stock Company “Federal Hydrogenearation Company”) and OJSC Saratovskaya HPP and any Successor(s) to these Reference Entities | ||||||||||||
Morgan Stanley Capital Services, Inc. | 980,430 RUR | Three-Month USD BBA LIBOR | 7.75% from debt obligations of JSC Rushydro and OJSC Saratovskaya HPP | 12/26/13 | $ | (5,071,895 | ) | |||||
RUR | Russian Ruble |
BBA LIBOR | British Bankers’ Association London-Interbank Offered Rate |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
AUD/CAD Exchange Rate: | ||||||||||||||
Citibank NA | 49 AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the Observation Period | 9.90 | % | 10/28/10 | $ | 25,790 | |||||||
Credit Suisse International | 49 AUD | The Historic Volatility of the mid AUD/CAD spot exchange rate during the Observation Period | 9.65 | 10/29/10 | (21,824 | ) | ||||||||
Reference Entity Total | 3,966 | |||||||||||||
CHF/JPY Exchange Rate: | ||||||||||||||
Citibank NA | 48 CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.30 | 10/13/10 | (92,022 | ) | ||||||||
Credit Suisse International | 48 CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.95 | 10/11/10 | (42,693 | ) | ||||||||
Deutsche Bank AG | 48 CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.45 | 10/14/10 | (83,211 | ) | ||||||||
Deutsche Bank AG | 48 CHF | The Historic Volatility of the mid CHF/JPY spot exchange rate during the Observation Period | 11.75 | 10/12/10 | (35,804 | ) | ||||||||
Reference Entity Total | (253,730 | ) | ||||||||||||
CHF/NOK Exchange Rate: | ||||||||||||||
Citibank NA | 46 CHF | The Historic Volatility of the mid CHF/NOK spot exchange rate during the Observation Period | 13.25 | 10/29/10 | 40,392 |
Notional | ||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||
CHF/NOK Exchange Rate: Continued | ||||||||||||
Credit Suisse International | 47 CHF | The Historic Volatility of the mid CHF/NOK spot exchange rate during the Observation Period | 12.60% | 10/25/10 | $ | 18,386 | ||||||
Credit Suisse International | 46 CHF | The Historic Volatility of the mid CHF/NOK spot exchange rate during the Observation Period | 13.05 | 11/4/10 | (24,355 | ) | ||||||
Deutsche Bank AG | 46 CHF | The Historic Volatility of the mid CHF/NOK spot exchange rate during the Observation Period | 13.50 | 10/25/10 | 78,512 | |||||||
Reference Entity Total | 112,935 | |||||||||||
GBP/JPY Exchange Rate: | ||||||||||||
Citibank NA | 30 GBP | 13.75% | The Historic Volatility of the mid GBY/JPY spot exchange rate during the Observation Period | 10/21/10 | (68,845 | ) | ||||||
Credit Suisse International | 30 GBP | 14.00 | The Historic Volatility of the mid GBP/JPY spot exchange rate during the Observation Period | 10/18/10 | (153,383 | ) | ||||||
Credit Suisse International | 30 GBP | 13.75 | The Historic Volatility of the mid GBP/JPY spot exchange rate during the Observation Period | 10/22/10 | (76,932 | ) | ||||||
Deutsche Bank AG | 30 GBP | 14.05 | The Historic Volatility of the mid GBP/JPY spot exchange rate during the Observation Period | 10/22/10 | (51,740 | ) | ||||||
Reference Entity Total | (350,900 | ) |
Notional | ||||||||||||||
Reference Entity/ | Amount | Paid by | Received by | Termination | ||||||||||
Swap Counterparty | (000’s) | the Fund | the Fund | Date | Value | |||||||||
GBP/NOK Exchange Rate | ||||||||||||||
Citibank NA | 30 GBP | 11.15% | The Historic Volatility of the mid GBP/NOK spot exchange rate during the Observation Period | 10/27/10 | $ | (5,684 | ) | |||||||
NZD/CHF Exchange Rate: | ||||||||||||||
Citibank NA | 66 NZD | 14.50 | The Historic Volatility of the mid NZD/CHF spot exchange rate during the Observation Period | 10/7/10 | (245,601 | ) | ||||||||
Citibank NA | 65 NZD | 14.50 | The Historic Volatility of the mid NZD/CHF spot exchange rate during the Observation Period | 10/7/10 | (249,922 | ) | ||||||||
Reference Entity Total | (495,523 | ) | ||||||||||||
NZD/JPY Exchange Rate | ||||||||||||||
Barclays Bank plc | 64 NZD | The Historic Volatility of the mid NZD/JPY spot exchange rate during the Observation Period | 16.80% | 10/18/10 | 22,632 | |||||||||
NZD/USD Exchange Rate | ||||||||||||||
Barclays Bank plc | 47 | The Historic Volatility of the mid NZD/USD spot exchange rate during the Observation Period | 14.35 | 11/1/10 | (143,731 | ) | ||||||||
USD/JPY Exchange Rate | ||||||||||||||
Credit Suisse International | 47 | The Historic Volatility of the mid USD/JPY spot exchange rate during the Observation Period | 11.30 | 10/15/10 | (112,554 | ) | ||||||||
Total Volatility Swaps | $ | (1,222,589 | ) | |||||||||||
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Banco Santander SA, Inc. | Interest Rate | 22,500 | BRR | $ | 369,468 | |||||
Barclays Bank plc: | ||||||||||
Credit Default Buy Protection | 6,390 | (95,301 | ) | |||||||
Credit Default Sell Protection | 31,982 | 43,730 | ||||||||
Interest Rate | 18,230 | BRR | 89,965 | |||||||
Interest Rate | 27,310 | GBP | 1,296,043 | |||||||
Interest Rate | 44,100 | (157,888 | ) | |||||||
Volatility | 64 | NZD | 22,632 | |||||||
Volatility | 47 | (143,731 | ) | |||||||
1,055,450 | ||||||||||
Citibank NA: | ||||||||||
Interest Rate | 1,172,000 | JPY | (639,328 | ) | ||||||
Total Return | 5,740 | CHF | 220,677 | |||||||
Total Return | 4,092 | DKK | 42,005 | |||||||
Total Return | 14,418 | EUR | 638,208 | |||||||
Total Return | 6,394 | GBP | 477,651 | |||||||
Total Return | 15,364 | SEK | 76,954 | |||||||
Total Return | 34,688 | (749,487 | ) | |||||||
Volatility | 49 | AUD | 25,790 | |||||||
Volatility | 94 | CHF | (51,630 | ) | ||||||
Volatility | 60 | GBP | (74,529 | ) | ||||||
Volatility | 131 | NZD | (495,523 | ) | ||||||
(529,212 | ) | |||||||||
Citibank NA, New York: | ||||||||||
Credit Default Buy Protection | 17,410 | (372,521 | ) | |||||||
Credit Default Sell Protection | 29,915 | 216,543 | ||||||||
Total Return | 2,103,569 | JPY | 831,912 | |||||||
675,934 | ||||||||||
Credit Suisse International: | ||||||||||
Credit Default Buy Protection | 3,040 | 679,650 | ||||||||
Credit Default Sell Protection | 11,730 | 305,707 | ||||||||
Interest Rate | 23,540 | BRR | 124,183 | |||||||
Volatility | 49 | AUD | (21,824 | ) | ||||||
Volatility | 141 | CHF | (48,662 | ) | ||||||
Volatility | 60 | GBP | (230,315 | ) | ||||||
Volatility | 47 | (112,554 | ) | |||||||
696,185 | ||||||||||
Deutsche Bank AG: | ||||||||||
Credit Default Buy Protection | 42,130 | 14,070 | ||||||||
Credit Default Sell Protection | 34,450 | 155,689 | ||||||||
Volatility | 142 | CHF | (40,503 | ) | ||||||
Volatility | 30 | GBP | (51,740 | ) | ||||||
77,516 |
Notional | ||||||||||
Swap Type from | Amount | |||||||||
Swap Counterparty | Fund Perspective | (000’s) | Value | |||||||
Goldman Sachs Group, Inc. (The): | ||||||||||
Interest Rate | 180,400 | BRR | $ | 4,783,148 | ||||||
Total Return | 14,054 | EUR | 5,663 | |||||||
Total Return | 105,031 | 4,168,972 | ||||||||
Total Return | 22,005 | (1,232,017 | ) | |||||||
7,725,766 | ||||||||||
Goldman Sachs International: | ||||||||||
Credit Default Buy Protection | 35,020 | (239,676 | ) | |||||||
Credit Default Sell Protection | 64,318 | 926,949 | ||||||||
687,273 | ||||||||||
JPMorgan Chase Bank NA: | ||||||||||
Interest Rate | 41,300 | BRR | 2,577,613 | |||||||
Interest Rate | 2,579,000 | JPY | (902,339 | ) | ||||||
1,675,274 | ||||||||||
JPMorgan Chase Bank NA, London Branch | Credit Default Buy Protection | 9,590 | (135,302 | ) | ||||||
JPMorgan Chase Bank NA, NY Branch | Credit Default Sell Protection | 6,930 | 9,476 | |||||||
Morgan Stanley: | ||||||||||
Interest Rate | 121,630 | BRR | 1,362,365 | |||||||
Total Return | 7,266 | EUR | (66,848 | ) | ||||||
Total Return | 17,124 | GBP | 724,600 | |||||||
Total Return | 24,732 | 11,119 | ||||||||
2,031,236 | ||||||||||
Morgan Stanley & Co. International Ltd. | Credit Default Sell Protection | 15,590 | (1,682,172 | ) | ||||||
Morgan Stanley Capital Services, Inc. | Currency | 980,430 | RUR | (5,071,895 | ) | |||||
Nomura International | Total Return | 8,978 | 292,716 | |||||||
UBS AG: | ||||||||||
Credit Default Sell Protection | 13,890 | (167,116 | ) | |||||||
Total Return | 50,526 | 1,842,832 | ||||||||
1,675,716 | ||||||||||
Westpac Banking Corp. | Interest Rate | 47,515 | AUD | (454,255 | ) | |||||
Total Swaps | $ | 9,099,174 | ||||||||
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CHF | Swiss Franc | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pounds Sterling | |
JPY | Japanese Yen | |
NZD | New Zealand Dollar | |
RUR | Russian Ruble | |
SEK | Swedish Krona |
Assets | ||||
Investments, at value—see accompanying statement of investments: | ||||
Unaffiliated companies (cost $7,537,269,982) | $ | 7,661,225,791 | ||
Affiliated companies (cost $1,672,121,204) | 1,648,846,681 | |||
9,310,072,472 | ||||
Cash—foreign currencies (cost $4,175,073) | 3,924,503 | |||
Unrealized appreciation on foreign currency exchange contracts | 27,658,399 | |||
Appreciated swaps, at value (net upfront payments received $6,688,001) | 25,765,850 | |||
Depreciated swaps, at value (upfront payments paid $1,289,227) | 1,142,846 | |||
Unrealized appreciation on unfunded purchase agreements | 66,760 | |||
Receivables and other assets: | ||||
Investments pledged as TALF loan collateral sold | 380,022,764 | |||
Investments sold (including $10,094,228 sold on a when-issued or delayed delivery basis) | 101,379,965 | |||
Interest, dividends and principal paydowns | 119,594,123 | |||
Shares of beneficial interest sold | 13,538,137 | |||
Closed foreign currency contracts | 7,263,797 | |||
Futures margins | 1,583,807 | |||
Other | 187,463 | |||
Total assets | 9,992,200,886 | |||
Liabilities | ||||
Bank overdraft | 882,372 | |||
Appreciated options written, at value (premiums received $745,282) | 59,312 | |||
Unrealized depreciation on foreign currency exchange contracts | 23,480,839 | |||
Appreciated swaps, at value (upfront payments received $1,741,364) | 1,306,563 | |||
Depreciated swaps, at value (upfront payments received $580,473) | 16,502,959 | |||
Payables and other liabilities: | ||||
TALF loans, at value | 553,713,724 | |||
Investments purchased (including $208,689,499 purchased on a when-issued or delayed delivery basis) | 303,906,774 | |||
Shares of beneficial interest redeemed | 18,249,087 | |||
Distribution and service plan fees | 5,096,835 | |||
Dividends | 4,558,970 | |||
Closed foreign currency contracts | 3,788,213 | |||
Futures margins | 1,693,991 | |||
Transfer and shareholder servicing agent fees | 1,105,586 | |||
Interest expense on borrowings | 962,208 | |||
Shareholder communications | 482,185 | |||
Foreign capital gains tax | 338,519 | |||
Trustees’ compensation | 112,982 | |||
Other | 340,057 | |||
Total liabilities | 936,581,176 | |||
Net Assets | $ | 9,055,619,710 | ||
Composition of Net Assets | ||||
Par value of shares of beneficial interest | $ | 2,098,675 | ||
Additional paid-in capital | 9,761,935,702 | |||
Accumulated net investment loss | (43,424,443 | ) | ||
Accumulated net realized loss on investments and foreign currency transactions | (797,216,845 | ) | ||
Net unrealized appreciation on investments and translation of assets and liabilities denominated in foreign currencies | 132,226,621 | |||
Net Assets | $ | 9,055,619,710 | ||
Net Asset Value Per Share | ||||
Class A Shares: | ||||
Net asset value and redemption price per share (based on net assets of $6,368,118,024 and 1,475,486,452 shares of beneficial interest outstanding) | $ | 4.32 | ||
Maximum offering price per share (net asset value plus sales charge of 4.75% of offering price) | $ | 4.54 | ||
Class B Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $342,068,902 and 78,985,745 shares of beneficial interest outstanding) | $ | 4.33 | ||
Class C Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $1,448,885,873 and 336,382,851 shares of beneficial interest outstanding) | $ | 4.31 | ||
Class N Shares: | ||||
Net asset value, redemption price (excludes applicable contingent deferred sales charge) and offering price per share (based on net assets of $230,532,306 and 53,380,001 shares of beneficial interest outstanding) | $ | 4.32 | ||
Class Y Shares: | ||||
Net asset value, redemption price and offering price per share (based on net assets of $666,014,605 and 154,440,015 shares of beneficial interest outstanding) | $ | 4.31 |
Allocation of Income and Expenses from master funds1 | ||||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC: | ||||
Interest | $ | 2,929,041 | ||
Dividends | 6,121 | |||
Expenses2 | (221,555 | ) | ||
Net investment income allocated from Oppenheimer Master Event-Linked Bond Fund, LLC | 2,713,607 | |||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC: | ||||
Interest | 87,652,952 | |||
Dividends | 118,491 | |||
Expenses3 | (3,460,074 | ) | ||
Net investment income allocated from Oppenheimer Master Loan Fund, LLC | 84,311,369 | |||
Total allocation of net investment income from master funds | 87,024,976 | |||
Investment Income | ||||
Interest (net of foreign withholding taxes of $1,115,574) | 589,930,183 | |||
Fee income on when-issued securities | 6,424,049 | |||
Dividends: | ||||
Unaffiliated companies | 203,954 | |||
Affiliated companies | 582,034 | |||
Income from investment of securities lending cash collateral, net — affiliated companies | 122,994 | |||
Other income | 64,331 | |||
Total investment income | 597,327,545 | |||
Expenses | ||||
Management fees | 43,421,652 | |||
Distribution and service plan fees: | ||||
Class A | 14,889,361 | |||
Class B | 3,311,033 | |||
Class C | 13,298,077 | |||
Class N | 1,012,512 | |||
Transfer and shareholder servicing agent fees: | ||||
Class A | 8,295,625 | |||
Class B | 1,017,759 | |||
Class C | 1,914,447 | |||
Class N | 676,025 | |||
Class Y | 1,301,830 |
1. | The Fund invests in certain affiliated mutual funds that expect to be treated as partnerships for tax purposes. See Note 1 of the accompanying Notes. | |
2. | Net of expense waivers and/or reimbursements of $2,954. | |
3. | Net of expense waivers and/or reimbursements of $52,832. |
Expenses Continued | ||||
Shareholder communications: | ||||
Class A | $ | 726,863 | ||
Class B | 99,531 | |||
Class C | 161,195 | |||
Class N | 21,539 | |||
Class Y | 75,491 | |||
Interest expense on borrowings | 23,632,291 | |||
Custodian fees and expenses | 1,036,901 | |||
Trustees’ compensation | 171,972 | |||
Other | 2,067,377 | |||
Total expenses | 117,131,481 | |||
Less waivers and reimbursements of expenses | (3,569,558 | ) | ||
Net expenses | 113,561,923 | |||
Net Investment Income | 570,790,598 | |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments from unaffiliated companies (including premiums on options exercised) | 350,137,057 | |||
Closing and expiration of option contracts written | 6,333,515 | |||
Closing and expiration of futures contracts | 130,927,341 | |||
Foreign currency transactions | (6,570,957 | ) | ||
Swap contracts | 79,513,316 | |||
Increase from payment by affiliate | 7,451 | |||
Net realized gain allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 349,109 | |||
Oppenheimer Master Loan Fund, LLC | 7,565,725 | |||
Total net realized gain | 568,262,557 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments (net of foreign capital gains tax of $338,519) | 239,102,654 | |||
Translation of assets and liabilities denominated in foreign currencies | 13,026,853 | |||
Futures contracts | 9,342,222 | |||
Option contracts written | 685,970 | |||
Swap contracts | (14,659,388 | ) | ||
Unfunded purchase agreements | 1,221,029 | |||
Net change in unrealized appreciation/depreciation allocated from: | ||||
Oppenheimer Master Event-Linked Bond Fund, LLC | (1,307,412 | ) | ||
Oppenheimer Master Loan Fund, LLC | 9,583,668 | |||
Total net change in unrealized appreciation/depreciation | 256,995,596 | |||
Net Increase in Net Assets Resulting from Operations | $ | 1,396,048,751 | ||
Year Ended September 30, | 2010 | 2009 | ||||||
Operations | ||||||||
Net investment income | $ | 570,790,598 | $ | 522,061,268 | ||||
Net realized gain (loss) | 568,262,557 | (1,255,892,769 | ) | |||||
Net change in unrealized appreciation/depreciation | 256,995,596 | 887,209,982 | ||||||
Net increase in net assets resulting from operations | 1,396,048,751 | 153,378,481 | ||||||
Dividends and/or Distributions to Shareholders | ||||||||
Dividends from net investment income: | ||||||||
Class A | (408,567,488 | ) | (297,722,981 | ) | ||||
Class B | (19,254,456 | ) | (15,400,453 | ) | ||||
Class C | (79,800,650 | ) | (53,488,830 | ) | ||||
Class N | (12,774,553 | ) | (7,720,213 | ) | ||||
Class Y | (37,803,494 | ) | (13,523,528 | ) | ||||
(558,200,641 | ) | (387,856,005 | ) | |||||
Tax return of capital distribution: | ||||||||
Class A | — | (100,758,873 | ) | |||||
Class B | — | (5,212,001 | ) | |||||
Class C | — | (18,102,311 | ) | |||||
Class N | — | (2,612,764 | ) | |||||
Class Y | — | (4,576,789 | ) | |||||
— | (131,262,738 | ) | ||||||
Beneficial Interest Transactions | ||||||||
Net increase (decrease) in net assets resulting from beneficial interest transactions: | ||||||||
Class A | (248,824,485 | ) | (1,406,122,517 | ) | ||||
Class B | (43,564,941 | ) | (110,645,842 | ) | ||||
Class C | 23,353,598 | (161,338,625 | ) | |||||
Class N | 23,205,215 | 2,474,713 | ||||||
Class Y | 320,327,686 | (12,139,401 | ) | |||||
74,497,073 | (1,687,771,672 | ) | ||||||
Net Assets | ||||||||
Total increase (decrease) | 912,345,183 | (2,053,511,934 | ) | |||||
Beginning of period | 8,143,274,527 | 10,196,786,461 | ||||||
End of period (including accumulated net investment loss of $43,424,443 and $60,291,056, respectively) | $ | 9,055,619,710 | $ | 8,143,274,527 | ||||
For the Year Ended September 30, 2010 | ||||
Cash Flows from Operating Activities | ||||
Net increase in net assets from operations | $ | 1,396,048,751 | ||
Adjustments to reconcile net increase in net assets from operations to net cash provided by operating activities: | ||||
Purchase of investment securities | (6,158,862,701 | ) | ||
Proceeds from disposition of investment securities | 6,410,944,084 | |||
Short-term investment securities, net | 398,492,538 | |||
Proceeds from premiums on written options, net | 745,282 | |||
Upfront payments made on swap contracts, net | (11,285,222 | ) | ||
Premium amortization | 30,173,541 | |||
Discount accretion | (74,806,900 | ) | ||
Total allocation of net investment income from master funds | (87,024,976 | ) | ||
Net realized gain on investments from unaffiliated companies | (350,137,057 | ) | ||
Net realized gain allocated from master funds | (7,914,834 | ) | ||
Total net change in unrealized appreciation/depreciation on investments | (256,995,596 | ) | ||
Change in assets: | ||||
Decrease in other assets | 377,483 | |||
Decrease in closed foreign currency contracts receivable | 15,663,490 | |||
Decrease in receivable for futures margins | 653,730 | |||
Increase in interest receivable | (7,288,482 | ) | ||
Decrease in receivable for securities sold | 62,963,179 | |||
Increase in investments pledged as TALF loan collateral sold | (380,022,764 | ) | ||
Change in liabilities: | ||||
Decrease in payable for futures margins | (657,067 | ) | ||
Decrease in return of securities lending collateral | (23,441,250 | ) | ||
Decrease in closed foreign currency contracts payable | (42,193,849 | ) | ||
Increase in foreign capital gains tax | 338,519 | |||
Increase in other liabilities | 969,083 | |||
Decrease in payable for securities purchased | (303,658,903 | ) | ||
Net cash provided by operating activities | 613,080,079 | |||
Cash Flows from Financing Activities | ||||
Proceeds from bank overdraft | 882,372 | |||
Proceeds from TALF loan | 628,227,433 | |||
Payments on TALF loan | (510,838,351 | ) | ||
Proceeds from shares sold | 1,617,907,102 | |||
Payments on shares redeemed | (2,265,664,994 | ) | ||
Cash distributions paid | (116,423,425 | ) | ||
Net cash used in financing activities | (645,909,863 | ) | ||
Net decrease in cash | (32,829,784 | ) | ||
Cash, beginning balance | 36,754,287 | |||
Cash-foreign currencies, ending balance | $ | 3,924,503 | ||
Class A Year Ended September 30, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | $ | 4.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .28 | .24 | .24 | .23 | .21 | |||||||||||||||
Net realized and unrealized gain (loss) | .40 | (.05 | ) | (.40 | ) | .23 | (.05 | ) | ||||||||||||
Total from investment operations | .68 | .19 | (.16 | ) | .46 | .16 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.27 | ) | (.18 | ) | (.29 | ) | (.23 | ) | (.32 | ) | ||||||||||
Tax return of capital distribution | — | (.06 | ) | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.27 | ) | (.24 | ) | (.29 | ) | (.23 | ) | (.32 | ) | ||||||||||
Net asset value, end of period | $ | 4.32 | $ | 3.91 | $ | 3.96 | $ | 4.41 | $ | 4.18 | ||||||||||
Total Return, at Net Asset Value2 | 18.17 | % | 5.59 | % | (4.01 | )% | 11.14 | % | 3.77 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 6,368,118 | $ | 6,019,723 | $ | 7,719,384 | $ | 6,430,790 | $ | 5,077,400 | ||||||||||
Average net assets (in thousands) | $ | 6,047,257 | $ | 5,942,116 | $ | 7,560,427 | $ | 5,655,265 | $ | 4,888,392 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 6.91 | % | 6.74 | % | 5.44 | % | 5.25 | % | 5.03 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 0.99 | % | 0.97 | % | 0.91 | % | 0.90 | % | 0.93 | % | ||||||||||
Interest and fees from borrowings | 0.28 | % | 0.01 | % | — | — | — | |||||||||||||
Total expenses | 1.27 | %5 | 0.98 | %5 | 0.91 | %5 | 0.90 | %5 | 0.93 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.23 | % | 0.96 | % | 0.89 | % | 0.89 | % | 0.92 | % | ||||||||||
Portfolio turnover rate6 | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2010 | 1.27 | % | ||
Year Ended September 30, 2009 | 0.99 | % | ||
Year Ended September 30, 2008 | 0.92 | % | ||
Year Ended September 30, 2007 | 0.91 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2010 | $2,754,184,019 | $2,975,421,694 | ||||||
Year Ended September 30, 2009 | $5,100,694,441 | $4,915,091,623 | ||||||
Year Ended September 30, 2008 | $1,979,370,856 | $1,852,400,340 | ||||||
Year Ended September 30, 2007 | $3,319,818,108 | $3,509,387,791 | ||||||
Year Ended September 30, 2006 | $4,097,005,267 | $4,231,030,059 |
Class B Year Ended September 30, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | $ | 4.35 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .24 | .20 | .20 | .19 | .18 | |||||||||||||||
Net realized and unrealized gain (loss) | .40 | (.04 | ) | (.39 | ) | .22 | (.05 | ) | ||||||||||||
Total from investment operations | .64 | .16 | (.19 | ) | .41 | .13 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.16 | ) | (.25 | ) | (.19 | ) | (.28 | ) | ||||||||||
Tax return of capital distribution | — | (.05 | ) | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.24 | ) | (.21 | ) | (.25 | ) | (.19 | ) | (.28 | ) | ||||||||||
Net asset value, end of period | $ | 4.33 | $ | 3.93 | $ | 3.98 | $ | 4.42 | $ | 4.20 | ||||||||||
Total Return, at Net Asset Value2 | 16.74 | % | 4.64 | % | (4.54 | )% | 9.99 | % | 3.23 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 342,069 | $ | 353,248 | $ | 483,485 | $ | 569,523 | $ | 718,742 | ||||||||||
Average net assets (in thousands) | $ | 331,317 | $ | 355,973 | $ | 540,865 | $ | 635,237 | $ | 802,936 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 5.96 | % | 5.83 | % | 4.61 | % | 4.43 | % | 4.25 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.93 | % | 1.89 | % | 1.73 | % | 1.71 | % | 1.71 | % | ||||||||||
Interest and fees from borrowings | 0.28 | % | 0.01 | % | — | — | — | |||||||||||||
Total expenses | 2.21 | %5 | 1.90 | %5 | 1.73 | %5 | 1.71 | %5 | 1.71 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 2.17 | % | 1.88 | % | 1.71 | % | 1.70 | % | 1.71 | % | ||||||||||
Portfolio turnover rate6 | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2010 | 2.21 | % | ||
Year Ended September 30, 2009 | 1.91 | % | ||
Year Ended September 30, 2008 | 1.74 | % | ||
Year Ended September 30, 2007 | 1.72 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2010 | $2,754,184,019 | $2,975,421,694 | ||||||
Year Ended September 30, 2009 | $5,100,694,441 | $4,915,091,623 | ||||||
Year Ended September 30, 2008 | $1,979,370,856 | $1,852,400,340 | ||||||
Year Ended September 30, 2007 | $3,319,818,108 | $3,509,387,791 | ||||||
Year Ended September 30, 2006 | $4,097,005,267 | $4,231,030,059 |
Class C Year Ended September 30, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | $ | 4.33 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .25 | .21 | .20 | .19 | .18 | |||||||||||||||
Net realized and unrealized gain (loss) | .39 | (.05 | ) | (.38 | ) | .22 | (.05 | ) | ||||||||||||
Total from investment operations | .64 | .16 | (.18 | ) | .41 | .13 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.24 | ) | (.16 | ) | (.26 | ) | (.19 | ) | (.28 | ) | ||||||||||
Tax return of capital distribution | — | (.05 | ) | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.24 | ) | (.21 | ) | (.26 | ) | (.19 | ) | (.28 | ) | ||||||||||
Net asset value, end of period | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.40 | $ | 4.18 | ||||||||||
Total Return, at Net Asset Value2 | 17.01 | % | 4.79 | % | (4.52 | )% | 10.06 | % | 3.22 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,448,886 | $ | 1,292,721 | $ | 1,493,804 | $ | 1,086,918 | $ | 857,843 | ||||||||||
Average net assets (in thousands) | $ | 1,330,764 | $ | 1,201,421 | $ | 1,381,340 | $ | 959,439 | $ | 814,425 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 6.15 | % | 6.00 | % | 4.68 | % | 4.49 | % | 4.27 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.75 | % | 1.73 | % | 1.66 | % | 1.66 | % | 1.68 | % | ||||||||||
Interest and fees from borrowings | 0.28 | % | 0.01 | % | — | — | — | |||||||||||||
Total expenses | 2.03 | %5 | 1.74 | %5 | 1.66 | %5 | 1.66 | %5 | 1.68 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.99 | % | 1.72 | % | 1.64 | % | 1.65 | % | 1.68 | % | ||||||||||
Portfolio turnover rate6 | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2010 | 2.03 | % | ||
Year Ended September 30, 2009 | 1.75 | % | ||
Year Ended September 30, 2008 | 1.67 | % | ||
Year Ended September 30, 2007 | 1.67 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2010 | $2,754,184,019 | $2,975,421,694 | ||||||
Year Ended September 30, 2009 | $5,100,694,441 | $4,915,091,623 | ||||||
Year Ended September 30, 2008 | $1,979,370,856 | $1,852,400,340 | ||||||
Year Ended September 30, 2007 | $3,319,818,108 | $3,509,387,791 | ||||||
Year Ended September 30, 2006 | $4,097,005,267 | $4,231,030,059 |
Class N Year Ended September 30, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | $ | 4.34 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .26 | .22 | .22 | .21 | .19 | |||||||||||||||
Net realized and unrealized gain (loss) | .40 | (.05 | ) | (.39 | ) | .22 | (.04 | ) | ||||||||||||
Total from investment operations | .66 | .17 | (.17 | ) | .43 | .15 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.26 | ) | (.16 | ) | (.27 | ) | (.21 | ) | (.30 | ) | ||||||||||
Tax return of capital distribution | — | (.06 | ) | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.26 | ) | (.22 | ) | (.27 | ) | (.21 | ) | (.30 | ) | ||||||||||
Net asset value, end of period | $ | 4.32 | $ | 3.92 | $ | 3.97 | $ | 4.41 | $ | 4.19 | ||||||||||
Total Return, at Net Asset Value2 | 17.34 | % | 5.14 | % | (4.17 | )% | 10.42 | % | 3.60 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 230,532 | $ | 186,857 | $ | 186,353 | $ | 145,685 | $ | 108,324 | ||||||||||
Average net assets (in thousands) | $ | 202,619 | $ | 164,067 | $ | 175,884 | $ | 126,935 | $ | 94,281 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 6.45 | % | 6.34 | % | 5.03 | % | 4.84 | % | 4.62 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 1.44 | % | 1.47 | % | 1.32 | % | 1.32 | % | 1.33 | % | ||||||||||
Interest and fees from borrowings | 0.28 | % | 0.01 | % | — | — | — | |||||||||||||
Total expenses | 1.72 | %5 | 1.48 | %5 | 1.32 | %5 | 1.32 | %5 | 1.33 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.68 | % | 1.39 | % | 1.30 | % | 1.31 | % | 1.33 | % | ||||||||||
Portfolio turnover rate6 | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2010 | 1.72 | % | ||
Year Ended September 30, 2009 | 1.49 | % | ||
Year Ended September 30, 2008 | 1.33 | % | ||
Year Ended September 30, 2007 | 1.33 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2010 | $2,754,184,019 | $2,975,421,694 | ||||||
Year Ended September 30, 2009 | $5,100,694,441 | $4,915,091,623 | ||||||
Year Ended September 30, 2008 | $1,979,370,856 | $1,852,400,340 | ||||||
Year Ended September 30, 2007 | $3,319,818,108 | $3,509,387,791 | ||||||
Year Ended September 30, 2006 | $4,097,005,267 | $4,231,030,059 |
Class Y Year Ended September 30, | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||
Per Share Operating Data | ||||||||||||||||||||
Net asset value, beginning of period | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | $ | 4.32 | ||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income1 | .29 | .24 | .25 | .24 | .22 | |||||||||||||||
Net realized and unrealized gain (loss) | .39 | (.05 | ) | (.38 | ) | .22 | (.04 | ) | ||||||||||||
Total from investment operations | .68 | .19 | (.13 | ) | .46 | .18 | ||||||||||||||
Dividends and/or distributions to shareholders: | ||||||||||||||||||||
Dividends from net investment income | (.28 | ) | (.18 | ) | (.30 | ) | (.24 | ) | (.33 | ) | ||||||||||
Tax return of capital distribution | — | (.06 | ) | — | — | — | ||||||||||||||
Total dividends and/or distributions to shareholders | (.28 | ) | (.24 | ) | (.30 | ) | (.24 | ) | (.33 | ) | ||||||||||
Net asset value, end of period | $ | 4.31 | $ | 3.91 | $ | 3.96 | $ | 4.39 | $ | 4.17 | ||||||||||
Total Return, at Net Asset Value2 | 18.10 | % | 5.67 | % | (3.33 | )% | 11.28 | % | 4.35 | % | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 666,015 | $ | 290,726 | $ | 313,760 | $ | 347,689 | $ | 179,309 | ||||||||||
Average net assets (in thousands) | $ | 545,045 | $ | 266,712 | $ | 220,416 | $ | 260,589 | $ | 118,239 | ||||||||||
Ratios to average net assets:3,4 | ||||||||||||||||||||
Net investment income | 7.08 | % | 6.82 | % | 5.68 | % | 5.61 | % | 5.38 | % | ||||||||||
Expenses excluding interest and fees from borrowings | 0.85 | % | 0.79 | % | 0.66 | % | 0.56 | % | 0.58 | % | ||||||||||
Interest and fees from borrowings | 0.28 | % | 0.01 | % | — | — | — | |||||||||||||
Total expenses | 1.13 | %5 | 0.80 | %5 | 0.66 | %5 | 0.56 | %5 | 0.58 | % | ||||||||||
Expenses after payments, waivers and/or reimbursements and reduction to custodian expenses | 1.05 | % | 0.78 | % | 0.64 | % | 0.55 | % | 0.58 | % | ||||||||||
Portfolio turnover rate6 | 94 | % | 96 | % | 71 | % | 72 | % | 96 | % |
1. | Per share amounts calculated based on the average shares outstanding during the period. | |
2. | Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Sales charges are not reflected in the total returns. Total returns are not annualized for periods less than one full year. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares. | |
3. | Annualized for periods less than one full year. | |
4. | Includes the Fund’s share of the allocated expenses and/or net investment income from the master funds. | |
5. | Total expenses including indirect expenses from affiliated funds were as follows: |
Year Ended September 30, 2010 | 1.13 | % | ||
Year Ended September 30, 2009 | 0.81 | % | ||
Year Ended September 30, 2008 | 0.67 | % | ||
Year Ended September 30, 2007 | 0.57 | % |
6. | The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows: |
Purchase Transactions | Sale Transactions | |||||||
Year Ended September 30, 2010 | $2,754,184,019 | $2,975,421,694 | ||||||
Year Ended September 30, 2009 | $5,100,694,441 | $4,915,091,623 | ||||||
Year Ended September 30, 2008 | $1,979,370,856 | $1,852,400,340 | ||||||
Year Ended September 30, 2007 | $3,319,818,108 | $3,509,387,791 | ||||||
Year Ended September 30, 2006 | $4,097,005,267 | $4,231,030,059 |
When-Issued or Delayed Delivery | ||||
Basis Transactions | ||||
Purchased securities | $208,689,499 | |||
Sold securities | 10,094,228 |
Cost | $ | 164,147,389 | ||
Market Value | $ | 22,407,090 | ||
Market Value as a % of Net Assets | 0.25 | % |
Loan | Loan | |||||||||||||||||||||||||||
Loan Principal | Collateral | Interest | Maturity | Collateral | ||||||||||||||||||||||||
Amount | Loan Type | Description | Rate | Date | Loan Value | Value | ||||||||||||||||||||||
$ | 80,840,000 | Ally Master | ||||||||||||||||||||||||||
Owner Trust | ||||||||||||||||||||||||||||
2010-1, Asset- | ||||||||||||||||||||||||||||
Backed Certificates, | ||||||||||||||||||||||||||||
Asset-Backed | Series 2010-1, Cl. A, | |||||||||||||||||||||||||||
Securities | 2.007%, 1/15/13 | 1.257 | %1 | 2/12/13 | $ | 80,884,556 | $ | 96,026,284 | 2 | |||||||||||||||||||
206,660,520 | Citibank Omni Master | |||||||||||||||||||||||||||
Trust, Credit Card | ||||||||||||||||||||||||||||
Receivables, Series | ||||||||||||||||||||||||||||
Asset-Backed | 2009-A12, Cl. A12, | |||||||||||||||||||||||||||
Securities | 3.35%, 8/15/16 | 2.854 | 9/11/12 | 206,660,520 | 231,627,960 | |||||||||||||||||||||||
94,600,000 | Ford Credit | |||||||||||||||||||||||||||
Floorplan Master | ||||||||||||||||||||||||||||
Owner Trust 2009-2, | ||||||||||||||||||||||||||||
Asset-Backed Nts., | ||||||||||||||||||||||||||||
Asset-Backed | Series 2009-2, Cl. A, | |||||||||||||||||||||||||||
Securities | 1.807%, 9/15/12 | 1.257 | 1 | 10/9/12 | 94,600,000 | 111,823,393 | 2 | |||||||||||||||||||||
59,340,000 | Ford Credit | |||||||||||||||||||||||||||
Floorplan Master | ||||||||||||||||||||||||||||
Owner Trust 2010-1, | ||||||||||||||||||||||||||||
Asset-Backed Nts., | ||||||||||||||||||||||||||||
Asset-Backed | Series 2010-1, Cl. A, | |||||||||||||||||||||||||||
Securities | 1.907%, 12/15/14 | 1.257 | 1 | 1/14/13 | 59,340,000 | 70,445,989 | 2 | |||||||||||||||||||||
25,191,089 | Ford Credit | |||||||||||||||||||||||||||
Floorplan Master | ||||||||||||||||||||||||||||
Owner Trust 2010-3, | ||||||||||||||||||||||||||||
Asset-Backed Nts., | ||||||||||||||||||||||||||||
Asset-Backed | Series 2010-3, Cl. A1, | |||||||||||||||||||||||||||
Securities | 4.20%, 2/15/17 | 2.640 | 3/11/13 | 25,180,697 | 32,628,819 | |||||||||||||||||||||||
87,000,000 | GE Dealer Floorplan | |||||||||||||||||||||||||||
Master Note Trust, | ||||||||||||||||||||||||||||
Asset-Backed | ||||||||||||||||||||||||||||
Securities, Series | ||||||||||||||||||||||||||||
Asset-Backed | 2009-2A, Cl. A, | |||||||||||||||||||||||||||
Securities | 1.807%, 10/20/14 | 1.257 | 1 | 11/13/12 | 87,047,951 | 101,727,098 | 2 | |||||||||||||||||||||
$ | 553,631,609 | $ | 553,713,724 | $ | 644,279,543 | |||||||||||||||||||||||
1. | Represents the current interest rate for a variable or increasing rate loan. | |
2. | Included as receivables for Investments Pledged as TALF Loan Collateral Sold as reflected in the Statement of Assets and Liabilities. |
Net Unrealized | ||||||||||||
Appreciation | ||||||||||||
Based on Cost of | ||||||||||||
Securities and | ||||||||||||
Undistributed | Undistributed | Accumulated | Other Investments | |||||||||
Net Investment | Long-Term | Loss | for Federal Income | |||||||||
Income | Gain | Carryforward1,2,3,4,5 | Tax Purposes | |||||||||
$12,279,112 | $ | — | $ | 762,406,315 | $ | 95,303,102 |
1. | As of September 30, 2010, the Fund had $760,654,996 of net capital loss carryforwards available to offset future realized capital gains, if any, and thereby reduce future taxable gain distributions. As of September 30, 2010, details of the capital loss carryforwards were as follows: |
Expiring | ||||
2011 | $ | 294,188,800 | ||
2012 | 122,914,725 | |||
2016 | 3,243,816 | |||
2017 | 101,514,149 | |||
2018 | 238,793,506 | |||
Total | $ | 760,654,996 | ||
2. | The Fund had $1,751,319 of straddle losses which were deferred. | |
3. | During the fiscal year ended September 30, 2010, the Fund did not utilize any capital loss carryforward. | |
4. | During the fiscal year ended September 30, 2009, the Fund did not utilize any capital loss carryforward. | |
5. | During the fiscal year ended September 30, 2010, $190,220,184 of unused capital loss carryforward expired. |
Reduction to | Reduction to | |||||||
Accumulated | Accumulated Net | |||||||
Reduction to | Net Investment | Realized Loss | ||||||
Paid-in Capital | Loss | on Investments | ||||||
$159,620,210 | $ | 4,276,656 | $ | 155,343,554 |
Year Ended | Year Ended | |||||||
September 30, 2010 | September 30, 2009 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 558,200,641 | $ | 387,856,005 | ||||
Return of capital | — | 131,262,738 | ||||||
Total | $ | 558,200,641 | $ | 519,118,743 | ||||
Federal tax cost of securities | $ | 9,215,023,620 | ||
Federal tax cost of other investments | 1,941,907,355 | |||
Total federal tax cost | $ | 11,156,930,975 | ||
Gross unrealized appreciation | $ | 686,672,709 | ||
Gross unrealized depreciation | (591,369,607 | ) | ||
Net unrealized appreciation | $ | 95,303,102 | ||
Year Ended September 30, 2010 | Year Ended September 30, 2009 | |||||||||||||||
Shares | Amount | Shares | Amount | |||||||||||||
Class A | ||||||||||||||||
Sold | 235,187,068 | $ | 954,508,707 | 301,768,574 | $ | 1,059,983,335 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 78,687,221 | 319,054,450 | 91,403,674 | 319,350,656 | ||||||||||||
Acquisition—Note 9 | 8,863,443 | 35,010,600 | — | — | ||||||||||||
Redeemed | (385,392,376 | ) | (1,557,398,242 | ) | (802,163,197 | ) | (2,785,456,508 | ) | ||||||||
Net decrease | (62,654,644 | ) | $ | (248,824,485 | ) | (408,990,949 | ) | $ | (1,406,122,517 | ) | ||||||
Class B | ||||||||||||||||
Sold | 17,525,083 | $ | 71,388,525 | 19,505,967 | $ | 68,444,514 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 3,850,628 | 15,678,441 | 4,763,834 | 16,691,602 | ||||||||||||
Redeemed | (32,345,662 | ) | (130,631,907 | ) | (55,869,284 | ) | (195,781,958 | ) | ||||||||
Net decrease | (10,969,951 | ) | $ | (43,564,941 | ) | (31,599,483 | ) | $ | (110,645,842 | ) | ||||||
Class C | ||||||||||||||||
Sold | 64,418,131 | $ | 261,204,979 | 74,636,576 | $ | 261,000,485 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 15,142,485 | 61,358,453 | 15,457,950 | 54,023,070 | ||||||||||||
Redeemed | (74,160,500 | ) | (299,209,834 | ) | (136,671,844 | ) | (476,362,180 | ) | ||||||||
Net increase (decrease) | 5,400,116 | $ | 23,353,598 | (46,577,318 | ) | $ | (161,338,625 | ) | ||||||||
Class N | ||||||||||||||||
Sold | 17,763,889 | $ | 72,158,565 | 20,125,973 | $ | 70,519,105 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 2,657,542 | 10,806,955 | 2,417,291 | 8,483,946 | ||||||||||||
Acquisition—Note 9 | 217,203 | 857,952 | — | — | ||||||||||||
Redeemed | (14,973,356 | ) | (60,618,257 | ) | (21,803,466 | ) | (76,528,338 | ) | ||||||||
Net increase | 5,665,278 | $ | 23,205,215 | 739,798 | $ | 2,474,713 | ||||||||||
Class Y | ||||||||||||||||
Sold | 65,083,214 | $ | 264,818,990 | 52,215,363 | $ | 185,556,789 | ||||||||||
Dividends and/or | ||||||||||||||||
distributions reinvested | 8,615,557 | 34,980,121 | 4,726,808 | 16,558,886 | ||||||||||||
Acquisition—Note 9 | 59,510,245 | 235,065,467 | — | — | ||||||||||||
Redeemed | (53,116,318 | ) | (214,536,892 | ) | (61,786,767 | ) | (214,255,076 | ) | ||||||||
Net increase (decrease) | 80,092,698 | $ | 320,327,686 | (4,844,596 | ) | $ | (12,139,401 | ) | ||||||||
Purchases | Sales | |||||||
Investment securities | $ | 5,857,914,012 | $ | 6,225,627,191 | ||||
U.S. government and government agency obligations | 300,948,689 | 185,316,893 | ||||||
To Be Announced (TBA) mortgage-related securities | 2,754,184,019 | 2,975,421,694 |
Fee Schedule | ||||
Up to $200 million | 0.75 | % | ||
Next $200 million | 0.72 | |||
Next $200 million | 0.69 | |||
Next $200 million | 0.66 | |||
Next $200 million | 0.60 | |||
Next $4 billion | 0.50 | |||
Over $5 billion | 0.48 |
Class B | $ | 117,007,704 | ||
Class C | 42,851,461 | |||
Class N | 3,645,961 |
Class A | Class B | Class C | Class N | |||||||||||||||||
Class A | Contingent | Contingent | Contingent | Contingent | ||||||||||||||||
Front-End | Deferred | Deferred | Deferred | Deferred | ||||||||||||||||
Sales Charges | Sales Charges | Sales Charges | Sales Charges | Sales Charges | ||||||||||||||||
Retained by | Retained by | Retained by | Retained by | Retained by | ||||||||||||||||
Year Ended | Distributor | Distributor | Distributor | Distributor | Distributor | |||||||||||||||
September 30, 2010 | $ | 1,749,727 | $ | 12,908 | $ | 607,961 | $ | 78,755 | $ | 4,909 |
Class B | $ | 4,174 | ||
Class N | 2,383 | |||
Class Y | 37,448 |
Asset Derivatives | Liability Derivatives | |||||||||||
Statement of | Statement of | |||||||||||
Derivatives | Assets and | Assets and | ||||||||||
not Accounted for as | Liabilities | Liabilities | ||||||||||
Hedging Instruments* | Location | Value | Location | Value | ||||||||
Credit contracts | Appreciated swaps, at value | $ | 2,784,480 | Appreciated swaps, at value | $ | 1,306,563 | ||||||
Credit contracts | Depreciated swaps, at value | 1,142,846 | Depreciated swaps, at value | 2,961,037 | ||||||||
Equity contracts | Appreciated swaps, at value | 12,147,089 | Depreciated swaps, at value | 4,862,132 | ||||||||
Foreign exchange contracts | Depreciated swaps, at value | 5,071,895 | ||||||||||
Interest rate contracts | Appreciated swaps, at value | 10,648,569 | Depreciated swaps, at value | 2,199,594 | ||||||||
Volatility contracts | Appreciated swaps, at value | 185,712 | Depreciated swaps, at value | 1,408,301 | ||||||||
Equity contracts | Futures margins | 1,069,781 | ** | Futures margins | 301,621 | ** | ||||||
Interest rate contracts | Futures margins | 514,026 | ** | Futures margins | 1,392,370 | ** | ||||||
Foreign exchange contracts | Unrealized appreciation on foreign currency exchange contracts | 27,656,968 | Unrealized depreciation on foreign currency exchange contracts | 23,452,667 | ||||||||
Foreign exchange contracts | Appreciated written options, at value | 59,312 | ||||||||||
Foreign exchange contracts | Investments, at value | 34,556 | *** | |||||||||
Interest rate contracts | Investments, at value | 27,107,233 | *** | |||||||||
Total | $ | 83,291,260 | $ | 43,015,492 | ||||||||
* | Contracts used for currency conversion purposes are not included in this table. | |
** | Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment. | |
*** | Amounts relate to purchased options. |
Amount of Realized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Investments from | ||||||||||||||||||||||||
unaffiliated | ||||||||||||||||||||||||
companies | Closing and | |||||||||||||||||||||||
Derivatives not | (including | expiration | Closing and | |||||||||||||||||||||
Accounted | premiums | of option | expiration | Foreign | ||||||||||||||||||||
for as Hedging | on options | contracts | of futures | currency | Swap | |||||||||||||||||||
Instruments* | exercised)** | written | contracts | transactions | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 11,988,262 | $ | 11,988,262 | ||||||||||||
Equity contracts | — | — | (11,961,317 | ) | — | 12,154,626 | 193,309 | |||||||||||||||||
Foreign exchange contracts | (14,095,111 | ) | 6,333,515 | — | 46,246,931 | 3,242,719 | 41,728,054 | |||||||||||||||||
Interest rate contracts | — | — | 142,888,658 | — | 54,909,865 | 197,798,523 | ||||||||||||||||||
Volatility contracts | — | — | — | — | (2,782,156 | ) | (2,782,156 | ) | ||||||||||||||||
Total | $ | (14,095,111 | ) | $ | 6,333,515 | $ | 130,927,341 | $ | 46,246,931 | $ | 79,513,316 | $ | 248,925,992 | |||||||||||
* | Contracts used for currency conversion purposes are not included in this table. | |
** | Includes purchased option contracts, purchased swaption contracts and written option contracts exercised, if any. |
Amount of Change in Unrealized Gain or (Loss) Recognized on Derivatives | ||||||||||||||||||||||||
Translation of | ||||||||||||||||||||||||
assets and | ||||||||||||||||||||||||
Derivatives not | liabilities | |||||||||||||||||||||||
Accounted for | Option | denominated | ||||||||||||||||||||||
as Hedging | contracts | Futures | in foreign | Swap | ||||||||||||||||||||
Instruments* | Investments** | written | contracts | currencies | contracts | Total | ||||||||||||||||||
Credit contracts | $ | — | $ | — | $ | — | $ | — | $ | 20,201,811 | $ | 20,201,811 | ||||||||||||
Equity contracts | — | — | (3,817,190 | ) | — | 334,874 | (3,482,316 | ) | ||||||||||||||||
Foreign exchange contracts | (710,728 | ) | 685,970 | — | (23,332,661 | ) | (1,687,278 | ) | (25,044,697 | ) | ||||||||||||||
Interest rate contracts | (1,592,991 | ) | — | 13,159,412 | — | (32,286,206 | ) | (20,719,785 | ) | |||||||||||||||
Volatility contracts | — | — | — | — | (1,222,589 | ) | (1,222,589 | ) | ||||||||||||||||
Total | $ | (2,303,719 | ) | $ | 685,970 | $ | 9,342,222 | $ | (23,332,661 | ) | $ | (14,659,388 | ) | $ | (30,267,576 | ) | ||||||||
* | Contracts used for currency conversion purposes are not included in this table. | |
** | Includes purchased option contracts and purchased swaption contracts, if any. |
116 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
117 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
118 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Call Options | Put Options | |||||||||||||||
Number of | Amount of | Number of | Amount of | |||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||
Options outstanding as of September 30, 2009 | — | $ | — | — | $ | — | ||||||||||
Options written | 13,149,790,000 | 6,462,732 | 5,943,440,000 | 4,922,672 | ||||||||||||
Options closed or expired | (6,356,670,000 | ) | (3,606,935 | ) | (4,190,010,000 | ) | (2,726,580 | ) | ||||||||
Options exercised | (3,935,120,000 | ) | (2,110,515 | ) | (1,753,430,000 | ) | (2,196,092 | ) | ||||||||
Options outstanding as of September 30, 2010 | 2,858,000,000 | $ | 745,282 | — | $ | — | ||||||||||
119 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
120 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
121 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
122 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
123 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Commitment | Unfunded | |||||||
Termination Date | Amount | |||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts. | 10/23/13 | $ | 22,756,742 |
Commitment | ||||||||||||||||
Interest | Termination | Unfunded | Unrealized | |||||||||||||
Rate | Date | Amount | Appreciation | |||||||||||||
Deutsche Bank AG; An unfunded commitment that Oppenheimer receives 0.125% quarterly; and will pay out, upon request, up to 4,768,551 USD to a Peruvian Trust through Deutsche Bank’s Global Note Program. Upon funding requests, the unfunded portion decreases and new structured securities will be created and held by the fund to maintain a consistent exposure level. | 0.50 | % | 10/15/10 | $ | 4,768,551 | $ | 66,760 |
Exchange Ratio to | Shares of | Value of Issued | ||||||||||||||
One Share of the | Beneficial | Shares of | Combined Net | |||||||||||||
MassMutual Premier | Interest Issued | Beneficial | Assets on | |||||||||||||
Strategic Income Fund | by the Fund | Interest | October 26, 20091 | |||||||||||||
Class A | 2.355509 | 8,863,443 | $ | 35,010,600 | $ | 6,097,055,173 | ||||||||||
Class B | — | — | $ | — | $ | — | ||||||||||
Class C | — | — | $ | — | $ | — | ||||||||||
Class N | 2.371623 | 217,203 | $ | 857,952 | $ | 191,70,636 | ||||||||||
Class L2 | 2.379824 | 49,229,917 | $ | 194,458,173 | Combined in Class Y | |||||||||||
Class S2 | 2.376329 | 8,730,464 | $ | 34,485,333 | Combined in Class Y | |||||||||||
Class Y | 2.379555 | 1,549,864 | $ | 6,121,961 | $ | 535,597,320 |
1. | The net assets acquired included net unrealized depreciation of $6,342,309 and an unused capital loss carryforward of $27,330,332, potential utilization subject to tax limitations. | |
2. | The Fund issued Class Y shares in exchange for Class L and Class S shares of MassMutual Premier Strategic Income Fund. |
124 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
125 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
November 17, 2010
126 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
127 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
128 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
129 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
130 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
131 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
INDEPENDENT TRUSTEES | The address of each Trustee in the chart below is 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Trustee serves for an indefinite term, or until his or her resignation, retirement, death or removal. | |
William L. Armstrong, Chairman of the Board of Trustees (since 2003), Trustee (since 1999) Age: 73 | President, Colorado Christian University (since 2006); Chairman, Cherry Creek Mortgage Company (since 1991), Chairman, Centennial State Mortgage Company (since 1994), Chairman, The El Paso Mortgage Company (since 1993); Chairman, Ambassador Media Corporation (since 1984); Chairman, Broadway Ventures (since 1984); Director of Helmerich & Payne, Inc. (oil and gas drilling/production company) (since 1992), former Director of Campus Crusade for Christ (non-profit) (1991-2008); former Director, The Lynde and Harry Bradley Foundation, Inc. (non-profit organization) (2002-2006); former Chairman of: Transland Financial Services, Inc. (private mortgage banking company) (1997-2003), Great Frontier Insurance (1995-2000), Frontier Real Estate, Inc. (residential real estate brokerage) (1994-2000) and Frontier Title (title insurance agency) (1995-2000); former Director of the following: | |
UNUMProvident (insurance company) (1991-2004), Storage Technology Corporation (computer equipment company) (1991-2003) and International Family Entertainment (television channel) (1992-1997); U.S. Senator (January 1979-January 1991). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Armstrong has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | ||
George C. Bowen, Trustee (since 2000) Age: 74 | Assistant Secretary and Director of Centennial Asset Management Corporation (December 1991-April 1999); President, Treasurer and Director of Centennial Capital Corporation (June 1989-April 1999); Chief Executive Officer and Director of MultiSource Services, Inc. (March 1996-April 1999); Mr. Bowen held several positions with the Manager and with subsidiary or affiliated companies of the Manager (September 1987-April 1999). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Bowen has served on the Boards of certain Oppenheimer funds since 1998, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Edward L. Cameron, Trustee (since 2000) Age: 72 | Member of The Life Guard of Mount Vernon (George Washington historical site) (June 2000-June 2006); Partner of PricewaterhouseCoopers LLP (accounting firm) (July 1974-June 1999); Chairman of Price Waterhouse LLP Global Investment Management Industry Services Group (accounting firm) (July 1994-June 1998). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Cameron has served on the Boards of certain Oppenheimer funds since 1999, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Jon S. Fossel, Trustee (since 1990) Age: 68 | Chairman of the Board (since 2006) and Director (since June 2002) of UNUMProvident (insurance company); Director of Northwestern Energy Corp. (public utility corporation) (since November 2004); Director of P.R. Pharmaceuticals (October 1999-October 2003); Director of Rocky Mountain Elk Foundation (non-profit organization) (February 1998-February 2003 and February 2005-February 2007); Chairman and Director (until October 1996) and President and Chief Executive Officer (until October 1995) of the Manager; |
132 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Jon S. Fossel, Continued | President, Chief Executive Officer and Director of the following: Oppenheimer Acquisition Corp. (“OAC”) (parent holding company of the Manager), Shareholders Services, Inc. and Shareholder Financial Services, Inc. (until October 1995). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Fossel has served on the Boards of certain Oppenheimer funds since 1990, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Sam Freedman, Trustee (since 1996) Age: 69 | Director of Colorado UpLIFT (charitable organization) (since September 1984). Mr. Freedman held several positions with the Manager and with subsidiary or affiliated companies of the Manager (until October 1994). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Freedman has served on the Boards of certain Oppenheimer funds since 1996, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Beverly L. Hamilton, Trustee (since 2002) Age: 63 | Trustee of Monterey Institute for International Studies (educational organization) (since February 2000); Board Member of Middlebury College (educational organization) (since December 2005); Chairman (since 2010) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); Director of The California Endowment (philanthropic organization) (April 2002-April 2008); Director (February 2002-2005) and Chairman of Trustees (2006-2007) of the Community Hospital of Monterey Peninsula; Director (October 1991-2005); Vice Chairman (2006-2009) of American Funds’ Emerging Markets Growth Fund, Inc. (mutual fund); President of ARCO Investment Management Company (February 1991-April 2000); Member of the investment committees of The Rockefeller Foundation (2001-2006) and The University of Michigan (since 2000); Advisor at Credit Suisse First Boston’s Sprout venture capital unit (venture capital fund) (1994-January 2005); Trustee of MassMutual Institutional Funds (investment company) (1996-June 2004); Trustee of MML Series Investment Fund (investment company) (April 1989-June 2004); Member of the investment committee of Hartford Hospital (2000-2003); and Advisor to Unilever (Holland) pension fund (2000-2003). Oversees 36 portfolios in the OppenheimerFunds complex. Ms. Hamilton has served on the Boards of certain Oppenheimer funds since 2002, during which time she has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
Robert J. Malone, Trustee (since 2002) Age: 66 | Board of Directors of Opera Colorado Foundation (non-profit organization) (since March 2008); Director of Jones Knowledge, Inc. (since 2006); Director of Jones International University (educational organization) (since August 2005); Chairman, Chief Executive Officer and Director of Steele Street Bank & Trust (commercial banking) (since August 2003); Director of Colorado UpLIFT (charitable organization) (since 1986); Trustee of the Gallagher Family Foundation (non-profit organization) (since 2000); Former Chairman of U.S. Bank-Colorado (subsidiary of U.S. Bancorp and formerly Colorado National Bank) (July 1996-April 1999); Director of Commercial Assets, Inc. (real estate investment trust) (1993-2000); Director of Jones Knowledge, Inc. (2001-July 2004); and Director of U.S. Exploration, Inc. (oil and gas exploration) (1997-February 2004). Oversees 36 portfolios in the OppenheimerFunds complex. Mr. Malone has served on the Boards of certain Oppenheimer funds since 2002, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
133 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
F. William Marshall, Jr., Trustee (since 2000) Age: 68 | Trustee Emeritus of Worcester Polytech Institute (WPI) (private university) (since 2009); Trustee of MassMutual Select Funds (formerly MassMutual Institutional Funds) (investment company) (since 1996) and MML Series Investment Fund (investment company) (since 1996); President and Treasurer of the SIS Funds (private charitable fund) (since January 1999); Former Trustee of WPI (1985-2008); Former Chairman of the Board (2004-2006) and Former Chairman of the Investment Committee of WPI (1994-2008); Chairman of SIS & Family Bank, F.S.B. (formerly SIS Bank) (commercial bank) (January 1999-July 1999); Executive Vice President of Peoples Heritage Financial Group, Inc. (commercial bank) (January 1999-July 1999); and Former President and Chief Executive Officer of SIS Bancorp. (1993-1999). Oversees 38 portfolios in the OppenheimerFunds complex. Mr. Marshall has served on the Boards of certain Oppenheimer funds since 2000, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. | |
INTERESTED TRUSTEE AND OFFICER | The address of Mr. Glavin is Two World Financial Center, 225 Liberty Street, 11th Floor, New York, New York 10281-1008. Mr. Glavin serves as a Trustee for an indefinite term, or until his resignation, retirement, death or removal and as an Officer for an indefinite term, or until his resignation, retirement, death or removal. Mr. Glavin is an Interested Trustee due to his positions with OppenheimerFunds, Inc. and its affiliates. | |
William F. Glavin, Jr., Trustee, President and Principal Executive Officer (since 2009) Age: 52 | Chairman of the Manager (since December 2009); Chief Executive Officer and Director of the Manager (since January 2009); President of the Manager (since May 2009); Director of Oppenheimer Acquisition Corp. (“OAC”) (the Manager’s parent holding company) (since June 2009); Executive Vice President (March 2006-February 2009) and Chief Operating Officer (July 2007-February 2009) of Massachusetts Mutual Life Insurance Company (OAC’s parent company); Director (May 2004-March 2006) and Chief Operating Officer and Chief Compliance Officer (May 2004-January 2005), President (January 2005-March 2006) and Chief Executive Officer (June 2005-March 2006) of Babson Capital Management LLC; Director (March 2005-March 2006), President (May 2003-March 2006) and Chief Compliance Officer (July 2005-March 2006) of Babson Capital Securities, Inc. (a broker-dealer); President (May 2003-March 2006) of Babson Investment Company, Inc.; Director (May 2004-August 2006) of Babson Capital Europe Limited; Director (May 2004-October 2006) of Babson Capital Guernsey Limited; Director (May 2004-March 2006) of Babson Capital Management LLC; Non-Executive Director (March 2005-March 2007) of Baring Asset Management Limited; Director (February 2005-June 2006) Baring Pension Trustees Limited; Director and Treasurer (December 2003-November 2006) of Charter Oak Capital Management, Inc.; Director (May 2006-September 2006) of C.M. Benefit Insurance Company; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of C.M. Life Insurance Company; President (March 2006-May 2007) of MassMutual Assignment Company; Director (January 2005-December 2006), Deputy Chairman (March 2005-December 2006) and President (February 2005-March 2005) of MassMutual Holdings (Bermuda) Limited; Director (May 2008-June 2009) and Executive Vice President (June 2007-July 2009) of MML Bay State Life Insurance Company; Chief Executive Officer and President (April 2007-January 2009) of MML Distributors, LLC; and Chairman (March 2006-December 2008) and Chief Executive Officer (May 2007-December 2008) of MML Investors Services, Inc. Oversees 66 portfolios as a Trustee/Director and 94 portfolios as an officer in the OppenheimerFunds complex. Mr. Glavin has served on the Boards of certain Oppenheimer funds since 2009, during which time he has become familiar with the Fund’s (and other Oppenheimer funds’) financial, accounting, regulatory and investment matters and has contributed to the Boards’ deliberations. |
134 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
OTHER OFFICERS OF THE FUND | The addresses of the Officers in the chart below are as follows: for Messrs. Steinmetz, Memani, Wong, Keffer and Zack, Two World Financial Center, 225 Liberty Street, New York, New York 10281-1008, for Messrs. Welsh, Vandehey and Wixted, 6803 S. Tucson Way, Centennial, Colorado 80112-3924. Each Officer serves for an indefinite term or until his or her resignation, retirement, death or removal. | |
Arthur P. Steinmetz, Vice President and Portfolio Manager (since 1989) Age: 51 | Chief Investment Officer of the Manager (since October 2010); Executive Vice President of the Manager (since October 2009). Chief Investment Officer of Fixed-Income Investments of the Manager (April 2009-October 2010); Director of Fixed-Income Investments of the Manager (January 2009-April 2009) and a Senior Vice President of the Manager (March 1993-September 2009). A portfolio manager and an officer of 5 portfolios in the OppenheimerFunds complex. | |
Krishna Memani, Vice President and Portfolio Manager (since 2009) Age: 50 | Director of Fixed Income (since October 2010), Senior Vice President and Head of the Investment Grade Fixed Income Team of the Manager (since March 2009). Prior to joining the Manager, Managing Director and Head of the U.S. and European Credit Analyst Team at Deutsche Bank Securities (June 2006-January 2009); Chief Credit Strategist at Credit Suisse Securities (August 2002-March 2006); a Managing Director and Senior Portfolio Manager at Putnam Investments (September 1998-June 2002). A portfolio manager and an officer of 22 portfolios in the OppenheimerFunds complex. | |
Joseph Welsh, Vice President and Portfolio Manager (since 2009) Age: 46 | Head of the Manager’s High Yield Corporate Debt Team (since April 2009); Senior Vice President of the Manager (since May 2009); Vice President of the Manager (December 2000-April 2009); Assistant Vice President of the Manager (December 1996-November 2000); a high yield bond analyst of the Manager (January 1995-December 1996); a CFA. A portfolio manager and officer of 6 portfolios in the OppenheimerFunds complex. | |
Caleb Wong, Vice President and Portfolio Manager (since 2009) Age: 45 | Vice President of the Manager (since June 1999); worked in fixed-income quantitative research and risk management for the Manager (since July 1996). A portfolio manager and officer of 5 portfolios in the OppenheimerFunds complex. | |
Thomas W. Keffer, Vice President and Chief Business Officer (since 2009) Age: 55 | Senior Vice President of the Manager (since March 1997); Director of Investment Brand Management of the Manager (since November 1997); Senior Vice President of OppenheimerFunds Distributor, Inc. (since December 1997). An officer of 94 portfolios in the OppenheimerFunds complex. | |
Mark S. Vandehey, Vice President and Chief Compliance Officer (since 2004) Age: 60 | Senior Vice President and Chief Compliance Officer of the Manager (since March 2004); Chief Compliance Officer of OppenheimerFunds Distributor, Inc., Centennial Asset Management and Shareholder Services, Inc. (since March 2004); Vice President of OppenheimerFunds Distributor, Inc., Centennial Asset Management Corporation and Shareholder Services, Inc. (since June 1983). An officer of 94 portfolios in the OppenheimerFunds complex. | |
Brian W. Wixted, Treasurer and Principal Financial & Accounting Officer (since 1999) Age: 50 | Senior Vice President of the Manager (since March 1999); Treasurer of the Manager and the following: HarbourView Asset Management Corporation, Shareholder Financial Services, Inc., Shareholder Services, Inc., Oppenheimer Real Asset Management, Inc. and Oppenheimer Partnership Holdings, Inc. (March 1999-June 2008), OFI Private Investments, Inc. (March 2000-June 2008), OppenheimerFunds International Ltd. and OppenheimerFunds plc (since May 2000), OFI Institutional Asset Management, Inc. (since November 2000), and OppenheimerFunds Legacy |
135 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Name, Position(s) Held with the | Principal Occupation(s) During the Past 5 Years; Other Trusteeships/Directorships | |
Fund, Length of Service, Age | Held; Number of Portfolios in the Fund Complex Currently Overseen | |
Brian W. Wixted, Continued | Program (charitable trust program established by the Manager) (since June 2003); Treasurer and Chief Financial Officer of OFI Trust Company (trust company subsidiary of the Manager) (since May 2000); Assistant Treasurer of OAC (March 1999-June 2008). An officer of 94 portfolios in the OppenheimerFunds complex. | |
Robert G. Zack, Vice President and Secretary (since 2001) Age: 62 | Executive Vice President (since January 2004) and General Counsel-Corporate (since March 2002) of the Manager; General Counsel of the Distributor (since December 2001); General Counsel of Centennial Asset Management Corporation (since December 2001); Senior Vice President and General Counsel of HarbourView Asset Management Corporation (since December 2001); Secretary and General Counsel of OAC (since November 2001); Assistant Secretary (since September 1997) and Director (since November 2001) of OppenheimerFunds International Ltd. and OppenheimerFunds plc; Vice President and Director of Oppenheimer Partnership Holdings, Inc. (since December 2002); Director of Oppenheimer Real Asset Management, Inc. (since November 2001); Senior Vice President, General Counsel and Director of Shareholder Financial Services, Inc. and Shareholder Services, Inc. (since December 2001); Senior Vice President, General Counsel and Director of OFI Private Investments, Inc. and OFI Trust Company (since November 2001); Vice President of OppenheimerFunds Legacy Program (since June 2003); Senior Vice President and General Counsel of OFI Institutional Asset Management, Inc. (since November 2001). An officer of 94 portfolios in the OppenheimerFunds complex. |
136 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
Manager | OppenheimerFunds, Inc. | |
Distributor | OppenheimerFunds Distributor, Inc. | |
Transfer and Shareholder Servicing Agent | OppenheimerFunds Services | |
Independent Registered Public Accounting Firm | KPMG llp | |
Counsel | K&L Gates LLP |
137 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
● | Applications or other forms | |
● | When you create a user ID and password for online account access | |
● | When you enroll in eDocs Direct, our electronic document delivery service | |
● | Your transactions with us, our affiliates or others | |
● | A software program on our website, often referred to as a “cookie,” which indicates which parts of our site you’ve visited | |
● | When you set up challenge questions to reset your password online |
138 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
● | All transactions, including redemptions, exchanges and purchases, are secured by SSL and 128-bit encryption. SSL is used to establish a secure connection between your PC and OppenheimerFunds’ server. It transmits information in an encrypted and scrambled format. | |
● | Encryption is achieved through an electronic scrambling technology that uses a “key” to code and then decode the data. Encryption acts like the cable converter box you may have on your television set. It scrambles data with a secret code so that no one can make sense of it while it is being transmitted. When the data reaches its destination, the same software unscrambles the data. | |
● | You can exit the secure area by either closing your browser, or for added security, you can use the Log Out button before you close your browser. |
139 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND
(e) | (1) During its regularly scheduled periodic meetings, the registrant’s audit committee will pre-approve all audit, audit-related, tax and other services to be provided by the principal accountants of the registrant. | |
The audit committee has delegated pre-approval authority to its Chairman for any subsequent new engagements that arise between regularly scheduled meeting dates provided that any fees such pre-approved are presented to the audit committee at its next regularly scheduled meeting. | ||
Under applicable laws, pre-approval of non-audit services maybe waived provided that: 1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of fees paid by the registrant to it principal accountant during the fiscal year in which services are provided 2) such services were not recognized by the registrant at the time of engagement as non-audit services and 3) such services are promptly brought to the attention of the audit committee of the registrant and approved prior to the completion of the audit. |
(2) 100% |
(f) | Not applicable as less than 50%. |
(g) | The principal accountant for the audit of the registrant’s annual financial statements billed $366,833 in fiscal 2010 and $221,782 in fiscal 2009 to the registrant and the registrant’s investment adviser or any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant related to non-audit fees. Those billings did not include any prohibited non-audit services as defined by the Securities Exchange Act of 1934. |
(h) | The registrant’s audit committee of the board of trustees has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser, and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence. No such services were rendered. |
b) Not applicable.
1. | The Fund’s Governance Committee (the “Committee”) will evaluate potential Board candidates to assess their qualifications. The Committee shall have the authority, upon approval of the Board, to retain an executive search firm to assist in this effort. The Committee may consider recommendations by business and personal contacts of current Board members and by executive search firms which the Committee may |
engage from time to time and may also consider shareholder recommendations. The Committee may consider the advice and recommendation of the Funds’ investment manager and its affiliates in making the selection. |
2. | The Committee shall screen candidates for Board membership. The Committee has not established specific qualifications that it believes must be met by a trustee nominee. In evaluating trustee nominees, the Committee considers, among other things, an individual’s background, skills, and experience; whether the individual is an “interested person” as defined in the Investment Company Act of 1940; and whether the individual would be deemed an “audit committee financial expert” within the meaning of applicable SEC rules. The Committee also considers whether the individual’s background, skills, and experience will complement the background, skills, and experience of other nominees and will contribute to the Board. There are no differences in the manner in which the Committee evaluates nominees for trustees based on whether the nominee is recommended by a shareholder. |
3. | The Committee may consider nominations from shareholders for the Board at such times as the Committee meets to consider new nominees for the Board. The Committee shall have the sole discretion to determine the candidates to present to the Board and, in such cases where required, to shareholders. Recommendations for trustee nominees should, at a minimum, be accompanied by the following: |
• | the name, address, and business, educational, and/or other pertinent background of the person being recommended; | ||
• | a statement concerning whether the person is an “interested person” as defined in the Investment Company Act of 1940; | ||
• | any other information that the Funds would be required to include in a proxy statement concerning the person if he or she was nominated; and | ||
• | the name and address of the person submitting the recommendation and, if that person is a shareholder, the period for which that person held Fund shares. |
The recommendation also can include any additional information which the person submitting it believes would assist the Committee in evaluating the recommendation. | ||
4. | Shareholders should note that a person who owns securities issued by Massachusetts Mutual Life Insurance Company (the parent company of the Funds’ investment adviser) would be deemed an “interested person” under the Investment Company Act of 1940. In addition, certain other relationships with Massachusetts Mutual Life Insurance Company or its subsidiaries, with registered broker-dealers, or with the Funds’ outside legal counsel may cause a person to be deemed an “interested person.” | |
5. | Before the Committee decides to nominate an individual as a trustee, Committee members and other directors customarily interview the individual in person. In |
addition, the individual customarily is asked to complete a detailed questionnaire which is designed to elicit information which must be disclosed under SEC and stock exchange rules and to determine whether the individual is subject to any statutory disqualification from serving as a trustee of a registered investment company. |
(a) | (1) | Exhibit attached hereto. |
(2) | Exhibits attached hereto. | ||
(3) | Not applicable. |
(b) | Exhibit attached hereto. |
By: | /s/ William F. Glavin, Jr. | |||
Principal Executive Officer |
By: | /s/ William F. Glavin, Jr. | |||
Principal Executive Officer |
By: | /s/ Brian W. Wixted | |||
Principal Financial Officer |