delenhancedglobal_nq.htm
UNITED
STATES
SECURITIES AND EXCHANGE
COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS
OF
REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number: |
|
811-22050 |
|
|
|
Exact name of registrant as specified in charter: |
|
Delaware Enhanced Global Dividend |
|
|
and Income Fund |
|
|
|
Address of principal executive offices: |
|
2005 Market Street |
|
|
Philadelphia, PA 19103 |
|
|
|
Name and address of agent for service: |
|
David F. Connor, Esq. |
|
|
2005 Market Street |
|
|
Philadelphia, PA 19103 |
|
|
|
Registrant’s telephone number, including area code: |
|
(800) 523-1918 |
|
|
|
Date of fiscal year end: |
|
November 30 |
|
|
|
Date of reporting period: |
|
February 28, 2010 |
Item 1. Schedule of
Investments.
Schedule of Investments (Unaudited)
Delaware Enhanced Global Dividend and Income
Fund
February 28, 2010
|
|
Number of |
|
Value |
|
|
Shares |
|
(U.S. $) |
Common Stock – 52.90%v |
|
|
|
|
|
Consumer Discretionary –
8.24% |
|
|
|
|
|
Autoliv |
|
18,600 |
|
$ |
829,746 |
Bayerische Motoren Werke |
|
19,215 |
|
|
779,196 |
Comcast Class A |
|
35,800 |
|
|
588,552 |
†DIRECTV Group |
|
1,900 |
|
|
64,315 |
Disney (Walt) |
|
18,000 |
|
|
562,320 |
*Don Quijote |
|
29,100 |
|
|
737,082 |
*Esprit Holdings |
|
104,132 |
|
|
742,554 |
Home Depot |
|
19,200 |
|
|
599,040 |
*KB HOME |
|
17,000 |
|
|
276,760 |
Lowe's |
|
24,900 |
|
|
590,379 |
Mattel |
|
29,700 |
|
|
653,103 |
McGraw-Hill Companies |
|
19,500 |
|
|
666,900 |
*PPR |
|
4,857 |
|
|
557,475 |
*Publicis Groupe |
|
18,023 |
|
|
710,979 |
Round One |
|
53,382 |
|
|
343,741 |
Target |
|
12,200 |
|
|
628,544 |
Techtronic Industries |
|
858,500 |
|
|
656,981 |
Toyota Motor |
|
21,184 |
|
|
794,132 |
Vivendi |
|
35,235 |
|
|
887,621 |
WPP Group |
|
47,937 |
|
|
441,913 |
Yue Yuen Industrial Holdings |
|
210,000 |
|
|
626,321 |
|
|
|
|
|
12,737,654 |
Consumer Staples –
4.76% |
|
|
|
|
|
Archer-Daniels-Midland |
|
19,300 |
|
|
566,648 |
Chaoda Modern Agriculture
Holdings |
|
766,000 |
|
|
828,962 |
*Coca-Cola Amatil |
|
77,328 |
|
|
777,344 |
CVS Caremark |
|
18,400 |
|
|
621,000 |
@Greggs |
|
85,308 |
|
|
537,681 |
Heinz (H.J.) |
|
13,900 |
|
|
638,010 |
Kimberly-Clark |
|
9,200 |
|
|
558,808 |
Kraft Foods Class A |
|
21,700 |
|
|
616,931 |
Metro |
|
13,914 |
|
|
713,438 |
Parmalat |
|
317,956 |
|
|
802,276 |
Safeway |
|
27,800 |
|
|
692,776 |
|
|
|
|
|
7,353,874 |
Diversified REITs –
1.24% |
|
|
|
|
|
British Land |
|
27,905 |
|
|
187,200 |
*Corio |
|
2,648 |
|
|
163,847 |
*Digital Realty Trust |
|
4,400 |
|
|
226,952 |
Duke Realty |
|
8,600 |
|
|
95,460 |
Entertainment Properties Trust |
|
8,236 |
|
|
314,779 |
Goodman Group |
|
247,237 |
|
|
132,907 |
Investors Real Estate Trust |
|
10,260 |
|
|
91,724 |
Lexington Reality Trust |
|
28,070 |
|
|
167,017 |
Stockland |
|
70,059 |
|
|
254,844 |
*Unibail-Rodamco |
|
1,399 |
|
|
276,228 |
|
|
|
|
|
1,910,958 |
Energy – 5.17% |
|
|
|
|
|
Anadarko Petroleum |
|
9,500 |
|
|
666,235 |
Chevron |
|
7,700 |
|
|
556,710 |
CNOOC |
|
571,000 |
|
|
900,417 |
ConocoPhillips |
|
11,700 |
|
|
561,600 |
Devon Energy |
|
8,300 |
|
|
571,538 |
Exxon Mobil |
|
8,600 |
|
|
559,000 |
Marathon Oil |
|
18,800 |
|
|
544,260 |
National Oilwell Varco |
|
13,500 |
|
|
586,845 |
Occidental Petroleum |
|
7,300 |
|
|
582,905 |
Petroleo Brasiliero ADR |
|
21,300 |
|
|
817,920 |
*Total |
|
6,572 |
|
366,734 |
†Transocean |
|
8,700 |
|
694,434 |
Williams Companies |
|
27,400 |
|
590,196 |
|
|
|
|
7,998,794 |
Financials – 7.24% |
|
|
|
|
Allstate |
|
20,000 |
|
625,000 |
*AXA |
|
29,912 |
|
602,210 |
Banco Santander |
|
61,383 |
|
798,155 |
Bank of New York Mellon |
|
21,500 |
|
613,180 |
BB&T |
|
23,000 |
|
656,190 |
Comerica |
|
20,100 |
|
725,208 |
Fifth Street Finance |
|
26,754 |
|
303,123 |
JPMorgan Chase & Co |
|
14,100 |
|
591,777 |
Marsh & McLennan |
|
27,100 |
|
629,262 |
Mitsubishi UFJ Financial Group |
|
162,789 |
|
822,832 |
*Nordea Bank |
|
77,142 |
|
753,054 |
*Solar Capital |
|
43,539 |
|
805,472 |
Standard Chartered |
|
33,184 |
|
790,966 |
State Street |
|
13,500 |
|
606,285 |
SunTrust Banks |
|
28,400 |
|
676,204 |
Travelers Companies |
|
12,100 |
|
636,339 |
UniCredit |
|
221,894 |
|
561,098 |
|
|
|
|
11,196,355 |
Health Care – 4.55% |
|
|
|
|
Abbott Laboratories |
|
10,900 |
|
591,652 |
†Alliance HealthCare Services |
|
6,522 |
|
32,545 |
Astellas Pharma |
|
22,200 |
|
835,968 |
AstraZeneca |
|
7,735 |
|
340,193 |
Bristol-Myers Squibb |
|
22,700 |
|
556,377 |
Cardinal Health |
|
18,200 |
|
618,254 |
Johnson & Johnson |
|
9,200 |
|
579,600 |
Merck |
|
16,100 |
|
593,768 |
Novartis |
|
16,853 |
|
937,279 |
Novo Nordisk Class B |
|
6,315 |
|
446,000 |
Pfizer |
|
31,844 |
|
558,862 |
Quest Diagnostics |
|
9,500 |
|
539,125 |
Sanofi-Aventis |
|
5,578 |
|
408,034 |
|
|
|
|
7,037,657 |
Health Care REITs –
0.06% |
|
|
|
|
Nationwide Health Properties |
|
2,800 |
|
92,932 |
|
|
|
|
92,932 |
Hotel REITs – 0.04% |
|
|
|
|
†Chesapeake Lodging Trust |
|
2,995 |
|
59,840 |
|
|
|
|
59,840 |
Industrial REITs –
0.37% |
|
|
|
|
Cambridge Industrial Trust |
|
1,170,000 |
|
370,385 |
DCT Industrial Trust |
|
16,877 |
|
83,035 |
ING Industrial Fund |
|
307,371 |
|
117,040 |
|
|
|
|
570,460 |
Industrials – 6.77% |
|
|
|
|
Asahi Glass |
|
87,000 |
|
868,727 |
*Compagnie de Saint-Gobain |
|
12,981 |
|
610,183 |
Deutsche Post |
|
41,827 |
|
678,913 |
Finmeccanica |
|
47,491 |
|
614,027 |
†Flextronics International |
|
6,400 |
|
44,544 |
General Electric |
|
38,300 |
|
615,098 |
Honeywell International |
|
15,000 |
|
602,400 |
ITOCHU |
|
98,398 |
|
793,121 |
Koninklijke Philips
Electronics |
|
23,613 |
|
690,343 |
*†Mobile Mini |
|
2,394 |
|
32,534 |
Northrop Grumman |
|
10,600 |
|
649,356 |
*Pitney Bowes |
|
25,900 |
|
593,110 |
Singapore Airlines |
|
76,000 |
|
804,496 |
Teleperformance |
|
28,050 |
|
894,162 |
Tomkins |
|
256,722 |
|
754,422 |
Vallourec |
|
3,313 |
|
633,163 |
*Waste Management |
|
18,000 |
|
594,360 |
|
|
|
|
10,472,959 |
Information Technology –
4.20% |
|
|
|
|
†CGI Group Class A |
|
130,675 |
|
1,838,152 |
†EMC |
|
52,500 |
|
918,225 |
Intel |
|
29,600 |
|
607,688 |
International Business
Machines |
|
4,600 |
|
584,936 |
†Motorola |
|
73,200 |
|
494,832 |
Nokia |
|
65,219 |
|
878,762 |
*†Sohu.com |
|
10,200 |
|
522,342 |
Xerox |
|
69,100 |
|
647,467 |
|
|
|
|
6,492,404 |
Malls REITs – 0.42% |
|
|
|
|
Simon Property Group |
|
8,264 |
|
646,989 |
|
|
|
|
646,989 |
Manufactured Housing REITs –
0.07% |
|
|
|
|
Equity Lifestyle Properties |
|
2,300 |
|
114,402 |
|
|
|
|
114,402 |
Materials – 2.76% |
|
|
|
|
*Agrium |
|
16,000 |
|
1,035,999 |
*ArcelorMittal |
|
11,050 |
|
420,859 |
Dow Chemical |
|
22,000 |
|
622,820 |
duPont (E.I.) deNemours |
|
18,100 |
|
610,332 |
Lafarge |
|
9,521 |
|
617,511 |
Nucor |
|
13,100 |
|
542,340 |
*Vale ADR |
|
14,800 |
|
412,328 |
|
|
|
|
4,262,189 |
Mortgage REITs – 0.13% |
|
|
|
|
Annaly Capital Management |
|
2,600 |
|
47,788 |
Chimera Investment |
|
12,100 |
|
48,400 |
Cypress Sharpridge Investments |
|
8,200 |
|
108,486 |
|
|
|
|
204,674 |
Multifamily REITs –
0.10% |
|
|
|
|
Camden Property Trust |
|
3,900 |
|
156,195 |
|
|
|
|
156,195 |
Office REITs – 0.44% |
|
|
|
|
Government Properties Income
Trust |
|
3,852 |
|
90,715 |
Mack-Cali Realty |
|
8,300 |
|
278,382 |
Orix REIT |
|
17 |
|
81,718 |
Parkway Properties |
|
3,500 |
|
58,100 |
SL Green Realty |
|
3,300 |
|
168,498 |
|
|
|
|
677,413 |
Real Estate Management & Development
– 0.38% |
|
|
|
|
Mitsubishi Estate |
|
10,549 |
|
165,663 |
Renhe Commercial Holdings |
|
198,000 |
|
45,406 |
Shimao Property Holdings |
|
25,500 |
|
42,511 |
Starwood Property Trust |
|
17,700 |
|
331,167 |
|
|
|
|
584,747 |
Shopping Center REITs –
0.62% |
|
|
|
|
*Kimco Realty |
|
16,900 |
|
234,741 |
Link REIT |
|
33,000 |
|
82,989 |
Macquarie CountryWide Trust |
|
355,587 |
|
181,595 |
Ramco-Gershenson Properties
Trust |
|
13,783 |
|
138,106 |
*Regency Centers |
|
3,900 |
|
135,213 |
Westfield Group |
|
16,989 |
|
182,960 |
|
|
|
|
955,604 |
Single Tenant REITs – 0.13% |
|
|
|
|
*National Retail Properties |
|
9,337 |
|
198,131 |
|
|
|
|
198,131 |
Telecommunications –
2.51% |
|
|
|
|
AT&T |
|
21,300 |
|
528,453 |
Chunghwa Telecom ADR |
|
35,002 |
|
653,834 |
*Frontier Communications |
|
25,700 |
|
200,203 |
†GeoEye |
|
500 |
|
11,910 |
Telstra |
|
128,729 |
|
342,544 |
*TELUS |
|
26,384 |
|
865,843 |
Verizon Communications |
|
17,900 |
|
517,847 |
Vodafone Group |
|
351,723 |
|
758,974 |
|
|
|
|
3,879,608 |
Utilities – 2.70% |
|
|
|
|
American Electric Power |
|
17,000 |
|
571,540 |
Duke Energy |
|
34,400 |
|
562,440 |
Edison International |
|
16,800 |
|
548,184 |
National Grid |
|
79,634 |
|
792,408 |
NorthWestern |
|
|
|
3,800 |
|
95,190 |
Progress Energy |
|
|
|
14,400 |
|
551,376 |
Public Service Enterprise
Group |
|
|
|
17,800 |
|
529,016 |
Sempra Energy |
|
|
|
10,600 |
|
521,202 |
|
|
|
|
|
|
4,171,356 |
Total Common Stock (cost
$91,321,638) |
|
|
|
|
|
81,775,195 |
|
|
|
|
|
|
Convertible Preferred Stock –
1.11% |
|
|
|
|
|
|
Banking, Finance & Insurance –
0.02% |
|
|
|
|
|
|
@Fannie Mae 8.75% exercise price $32.45,
expiration date 5/13/11 |
|
|
|
20,000 |
|
30,600 |
|
|
|
|
|
|
30,600 |
Energy – 0.18% |
|
|
|
|
|
|
Whiting Petroleum 6.25% exercise price $43.42, expiration date
12/31/49 |
|
|
|
1,500 |
|
274,500 |
|
|
|
|
|
|
274,500 |
Health Care & Pharmaceuticals –
0.42% |
|
|
|
|
|
|
*Merck 6.00% exercise price $52.85,
expiration date 8/13/10 |
|
|
|
22 |
|
5,544 |
Mylan 6.50% exercise price $17.08, expiration date
11/15/10 |
|
|
|
505 |
|
650,945 |
|
|
|
|
|
|
656,489 |
Telecommunications –
0.49% |
|
|
|
|
|
|
Lucent Technologies Capital Trust I
7.75% exercise price $24.80, expiration date 3/15/17 |
|
|
|
1,000 |
|
752,750 |
|
|
|
|
|
|
752,750 |
Total Convertible Preferred Stock (cost
$2,674,190) |
|
|
|
|
|
1,714,339 |
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
Amount° |
|
|
Agency Collateralized Mortgage
Obligations – 0.36% |
|
|
|
|
|
|
Fannie Mae |
|
|
|
|
|
|
Series 2001-50 BA 7.00% 10/25/41 |
|
USD |
|
173,380 |
|
187,196 |
Series 2003-122 4.50%
2/25/28 |
|
|
|
100,771 |
|
104,657 |
Freddie Mac |
|
|
|
|
|
|
Series 2557 WE 5.00% 1/15/18 |
|
|
|
60,000 |
|
64,406 |
Series 3094 US 6.75% 9/15/34 |
|
|
|
55,049 |
|
54,402 |
Series 3131 MC 5.50% 4/15/33 |
|
|
|
40,000 |
|
42,971 |
Series 3173 PE 6.00% 4/15/35 |
|
|
|
65,000 |
|
70,553 |
Series 3337 PB 5.50% 7/15/30 |
|
|
|
25,000 |
|
26,401 |
Total Agency Collateralized Mortgage
Obligations (cost $516,179) |
|
|
|
|
|
550,586 |
|
|
|
|
|
|
Agency Mortgage-Backed Securities –
2.42% |
|
|
|
|
|
|
•Fannie Mae ARM |
|
|
|
|
|
|
5.117% 3/1/38 |
|
|
|
63,558 |
|
66,868 |
5.148% 11/1/35 |
|
|
|
28,816 |
|
30,325 |
5.369% 4/1/36 |
|
|
|
34,694 |
|
36,229 |
6.015% 10/1/36 |
|
|
|
40,110 |
|
41,925 |
6.085% 10/1/36 |
|
|
|
26,191 |
|
27,385 |
6.307% 4/1/36 |
|
|
|
154,406 |
|
161,162 |
Fannie Mae S.F. 15 yr 5.50%
1/1/23 |
|
|
|
67,853 |
|
72,394 |
Fannie Mae S.F. 15 yr TBA 4.00% 3/1/25 |
|
|
|
500,000 |
|
510,391 |
Fannie Mae S.F. 30 yr |
|
|
|
|
|
|
5.00% 12/1/36 |
|
|
|
217,766 |
|
226,491 |
5.00% 12/1/37 |
|
|
|
28,858 |
|
29,976 |
5.00% 2/1/38 |
|
|
|
21,798 |
|
22,643 |
6.50% 6/1/36 |
|
|
|
50,281 |
|
53,819 |
6.50% 10/1/36 |
|
|
|
37,891 |
|
40,557 |
6.50% 12/1/37 |
|
|
|
53,258 |
|
56,922 |
Freddie Mac 6.00% 1/1/17 |
|
|
|
77,175 |
|
80,966 |
•Freddie Mac
ARM |
|
|
|
|
|
|
5.687% 7/1/36 |
|
|
|
24,546 |
|
25,533 |
5.819% 10/1/36 |
|
|
|
63,108 |
|
65,386 |
Freddie Mac S.F. 15 yr |
|
|
|
|
|
|
5.00% 6/1/18 |
|
|
|
23,700 |
|
25,187 |
5.00% 12/1/22 |
|
|
|
142,962 |
|
151,617 |
Freddie Mac S.F. 30 yr |
|
|
|
|
|
|
5.00% 1/1/34 |
|
|
|
1,075,184 |
|
1,122,464 |
7.00% 11/1/33 |
|
|
|
63,877 |
|
70,383 |
9.00% 9/1/30 |
|
|
|
56,952 |
|
66,272 |
GNMA I S.F. 30 yr |
|
|
|
|
|
|
7.50% 12/15/23 |
|
|
|
120,229 |
|
135,411 |
7.50% 1/15/32 |
|
|
|
87,541 |
|
98,938 |
9.50% 9/15/17 |
|
|
|
79,852 |
|
90,519 |
12.00% 5/15/15 |
|
|
|
59,412 |
|
67,577 |
GNMA II
S.F. 30 yr |
|
|
|
|
6.00% 11/20/28 |
|
105,234 |
|
113,744 |
6.50% 2/20/30 |
|
223,646 |
|
245,266 |
Total Agency
Mortgage-Backed Securities (cost $3,518,521) |
|
|
|
3,736,350 |
|
|
|
|
Commercial
Mortgage-Backed Securities – 2.57% |
|
|
|
|
#American Tower Trust
144A |
|
|
|
|
Series 2007-1A AFX 5.42%
4/15/37 |
|
75,000 |
|
78,750 |
Series 2007-1A D 5.957%
4/15/37 |
|
25,000 |
|
26,250 |
Bank of
America Commercial Mortgage Securities |
|
|
|
|
•Series 2004-3 A5 5.414% 6/10/39 |
|
50,000 |
|
52,344 |
Series 2004-5 A3 4.561% 11/10/41 |
|
475,000 |
|
485,836 |
Series 2005-1 A3 4.877% 11/10/42 |
|
62,387 |
|
62,366 |
•Series 2005-6 A4 5.179% 9/10/47 |
|
180,000 |
|
186,836 |
•Series 2005-6 AM 5.179% 9/10/47 |
|
25,000 |
|
22,692 |
•Series 2007-4 AM 5.811% 2/10/51 |
|
40,000 |
|
30,856 |
Bear Stearns Commercial
Mortgage Securities |
|
|
|
|
•Series 2005-PW10 A4 5.405% 12/11/40 |
|
100,000 |
|
102,801 |
•Series 2005-T20 A4A 5.15% 10/12/42 |
|
230,000 |
|
240,318 |
•Series 2006-PW12 A4 5.719% 9/11/38 |
|
25,000 |
|
26,108 |
Series 2006-PW14 A4 5.201%
12/11/38 |
|
60,000 |
|
60,248 |
Series 2007-PW15 A4 5.331%
2/11/44 |
|
75,000 |
|
69,427 |
•Series 2007-T28 A4 5.742% 9/11/42 |
|
65,000 |
|
66,906 |
w•Commercial
Mortgage Pass Through Certificates Series 2005-C6 A5A 5.116%
6/10/44 |
|
95,000 |
|
97,497 |
Goldman Sachs Mortgage Securities
II |
|
|
|
|
•Series 2004-GG2 A6 5.396% 8/10/38 |
|
60,000 |
|
61,726 |
Series 2005-GG4 A4A 4.751% 7/10/39 |
|
420,000 |
|
427,305 |
•Series 2006-GG6 A4 5.553% 4/10/38 |
|
60,000 |
|
58,962 |
•Greenwich Capital Commercial Funding Series
2004-GG1 A7 5.317% 6/10/36 |
|
25,000 |
|
26,134 |
•JPMorgan Chase
Commercial Mortgage Securities |
|
|
|
|
Series 2005-LDP3 A4A 4.936% 8/15/42 |
|
35,000 |
|
35,429 |
Series 2005-LDP5 A4 5.18% 12/15/44 |
|
150,000 |
|
154,635 |
•LB-UBS Commercial Mortgage Trust Series
2004-C4 A4 2004-C4 A4 5.223% 6/15/29 |
|
475,000 |
|
488,535 |
•Merrill
Lynch/Countrywide Commercial Mortgage Trust Series 2007-7 A4 5.747%
6/12/50 |
|
150,000 |
|
131,986 |
Morgan Stanley Capital I |
|
|
|
|
Series 2005-IQ9 A4 4.66%
7/15/56 |
|
350,000 |
|
354,412 |
•Series 2006-HQ9 A4 5.731% 7/12/44 |
|
315,000 |
|
330,869 |
•Series 2007-IQ14 A4 5.692% 4/15/49 |
|
150,000 |
|
132,478 |
•Series 2007-T27 A4 5.649% 6/11/42 |
|
160,000 |
|
162,538 |
Total Commercial Mortgage-Backed
Securities (cost $3,721,750) |
|
|
|
3,974,244 |
|
|
|
|
|
Convertible Bonds –
10.36% |
|
|
|
|
Aerospace & Defense –
0.33% |
|
|
|
|
L-3 Communications Holdings 3.00% exercise price $100.14,
expiration date 8/1/35 |
|
460,000 |
|
482,425 |
*#L-3 Communications Holdings 144A 3.00% exercise price $100.14,
expiration date 8/1/35 |
|
25,000 |
|
26,219 |
|
|
|
|
508,644 |
Automobiles & Automotive Parts –
0.19% |
|
|
|
|
ArvinMeritor 4.00% exercise price $26.73, expiration date
2/15/27 |
|
380,000 |
|
298,300 |
|
|
|
|
298,300 |
Banking, Finance & Insurance –
0.40% |
|
|
|
|
Jefferies Group 3.875% exercise price $39.20 expiration date
11/1/29 |
|
615,000 |
|
613,463 |
|
|
|
|
613,463 |
Basic Materials – 0.93% |
|
|
|
|
Century Aluminum 1.75% exercise price $30.54, expiration date
8/1/24 |
|
30,000 |
|
26,813 |
Rayonier TRS Holdings 3.75% exercise price $54.81, expiration date
10/15/12 |
|
910,000 |
|
963,462 |
#Sino-Forest 144A 5.00% exercise price $20.29, expiration date
8/1/13 |
|
360,000 |
|
440,550 |
|
|
|
|
1,430,825 |
Building & Materials –
0.06% |
|
|
|
|
Beazer Homes USA 4.625% exercise price $49.64, expiration date
6/15/24 |
|
90,000 |
|
87,300 |
|
|
|
|
87,300 |
Computers & Technology –
1.49% |
|
|
|
|
Advanced Micro Devices 6.00% exercise price $28.08, expiration date
5/1/15 |
|
775,000 |
|
719,781 |
Euronet Worldwide 3.50% exercise price $40.48, expiration date
10/15/25 |
|
900,000 |
|
829,124 |
*#Intel 144A 3.25% exercise price $22.68, expiration date
8/1/39 |
|
125,000 |
|
141,094 |
Linear Technology 3.00% exercise price $46.12, expiration date
5/1/27 |
|
310,000 |
|
300,313 |
SanDisk 1.00% exercise price $82.35, expiration date
5/15/13 |
|
385,000 |
|
320,513 |
|
|
|
|
2,310,825 |
Electronics & Electrical Equipment –
0.09% |
|
|
|
|
Flextronics International 1.00% exercise price $15.53, expiration
date 8/1/10 |
|
140,000 |
|
139,125 |
|
|
|
|
139,125 |
Energy – 0.91% |
|
|
|
|
Chesapeake Energy 2.25% exercise price $85.89, expiration date
12/15/38 |
|
750,000 |
|
560,625 |
Peabody Energy exercise 4.75% price
$58.45, expiration date 12/15/41 |
|
615,000 |
|
633,450 |
Transocean 1.50% exercise price $168.61, expiration date
12/15/37 |
|
220,000 |
|
210,925 |
|
|
|
|
1,405,000 |
Health Care & Pharmaceuticals –
1.86% |
|
|
|
|
Amgen 0.375% exercise price $79.48,
expiration date 2/1/13 |
|
435,000 |
|
437,175 |
fHologic 2.00% exercise
price $38.59, expiration date 12/15/37 |
|
990,000 |
|
851,399 |
*Inverness Medical Innovations 3.00%
exercise price $43.98, expiration date 5/15/16 |
|
530,000 |
|
588,962 |
Medtronic 1.625% exercise price $55.41, expiration date
4/15/13 |
|
525,000 |
|
547,313 |
*Millipore 3.75% exercise price $90.51,
expiration date 6/1/26 |
|
390,000 |
|
456,300 |
|
|
|
|
2,881,149 |
Leisure, Lodging & Entertainment –
0.62% |
|
|
|
|
#Gaylord Entertainment 144A 3.75% exercise price $27.25, expiration
date 9/29/14 |
|
310,000 |
|
329,763 |
*#International Game Technology 144A
3.25% exercise price $19.97, expiration date 5/1/14 |
|
540,000 |
|
634,500 |
|
|
|
|
964,263 |
Real Estate – 0.81% |
|
|
|
|
#Corporate Office Properties 144A 3.50% exercise price $53.12,
expiration date 9/15/26 |
|
330,000 |
|
322,575 |
*#Digital Realty Trust 144A 5.50%
exercise price $43.00, expiration date 4/15/29 |
|
380,000 |
|
498,513 |
#Lexington Realty Trust 144A 6.00% exercise price $7.09, expiration
date 1/15/30 |
|
185,000 |
|
182,151 |
ProLogis 2.25% exercise price $75.98,
expiration date 4/1/37 |
|
260,000 |
|
246,025 |
|
|
|
|
1,249,264 |
Telecommunications –
2.18% |
|
|
|
|
Alaska Communications System Group 5.75% exercise price $12.90,
expiration date 3/1/13 |
|
795,000 |
|
728,418 |
Alcatel-Lucent USA 2.875% exercise price
$16.75, expiration date 6/15/23 |
|
45,000 |
|
45,000 |
Leap Wireless International 4.50% exercise price $93.21, expiration
date 7/15/14 |
|
300,000 |
|
260,250 |
Level 3 Communications 5.25% exercise
price $3.98, expiration date 12/15/11 |
|
690,000 |
|
660,675 |
NII Holdings 3.125% exercise price $118.32, expiration date
6/15/12 |
|
700,000 |
|
651,000 |
Qwest Communications International 4.00%
exercise price $5.12, expiration date 11/15/25 |
|
200,000 |
|
212,500 |
#SBA Communications 144A 4.00% exercise price $30.38, expiration
date 10/1/14 |
|
285,000 |
|
381,544 |
VeriSign 3.25% exercise price $34.37,
expiration date 8/15/37 |
|
480,000 |
|
427,200 |
|
|
|
|
3,366,587 |
Transportation – 0.49% |
|
|
|
|
Bristow Group 3.00% exercise price $77.34, expiration date
6/14/38 |
|
875,000 |
|
764,531 |
|
|
|
|
764,531 |
Total Convertible Bonds (cost
$14,480,082) |
|
|
|
16,019,276 |
|
|
|
|
Corporate Bonds –
32.96% |
|
|
|
|
Banking – 2.48% |
|
|
|
|
•BAC Capital Trust
XIV 5.63% 12/31/49 |
|
205,000 |
|
145,038 |
#Barclays Bank 144A 6.05% 12/4/17 |
|
100,000 |
|
102,747 |
Capital One Financial 7.375%
5/23/14 |
|
95,000 |
|
109,003 |
Credit Suisse 5.40% 1/14/20 |
|
60,000 |
|
60,376 |
•#HBOS Capital
Funding 144A 6.071% 6/29/49 |
|
185,000 |
|
136,900 |
JPMorgan Chase Capital |
|
|
|
|
XVIII 6.95% 8/17/36 |
|
10,000 |
|
9,792 |
XXII 6.45% 2/2/37 |
|
20,000 |
|
18,325 |
XXV 6.80% 10/1/37 |
|
40,000 |
|
39,241 |
•Kazkommerts Finance
2 8.625% 7/27/16 |
|
1,000,000 |
|
812,500 |
#Lloyds TSB Bank 144A 5.80% 1/13/20 |
|
100,000 |
|
96,944 |
PNC Funding |
|
|
|
|
5.125% 2/8/20 |
|
30,000 |
|
30,490 |
5.25% 11/15/15 |
|
60,000 |
|
63,231 |
5.625% 2/1/17 |
|
35,000 |
|
36,327 |
@*Popular North America Capital Trust I 6.564% 9/15/34 |
|
25,000 |
|
16,521 |
•#Rabobank Nederland
144A 11.00% 12/29/49 |
|
280,000 |
|
355,793 |
Regions Financial 7.75% 11/10/14 |
|
40,000 |
|
41,192 |
#Russian Agricultural Bank 144A 9.00%
6/11/14 |
|
1,000,000 |
|
1,142,500 |
•USB Capital IX 6.189% 10/29/49 |
|
245,000 |
|
204,575 |
Wachovia 5.625% 10/15/16 |
|
55,000 |
|
57,009 |
•Wells Fargo Capital XIII 7.70%
12/29/49 |
|
90,000 |
|
89,100 |
Zions Bancorporation |
|
|
|
|
5.50% 11/16/15 |
|
80,000 |
|
68,578 |
5.65% 5/15/14 |
|
15,000 |
|
13,140 |
6.00% 9/15/15 |
|
215,000 |
|
186,023 |
|
|
|
|
3,835,345 |
Basic Industry –
4.38% |
|
|
|
|
|
|
#Algoma Acquisition 144A 9.875% 6/15/15 |
|
|
|
160,000 |
|
141,200 |
#Appleton Papers 144A 10.50%
6/15/15 |
|
|
|
120,000 |
|
111,600 |
Arcelormittal 9.85% 6/1/19 |
|
|
|
65,000 |
|
82,029 |
California Steel Industries 6.125%
3/15/14 |
|
|
|
14,000 |
|
13,440 |
Century Aluminum 8.00% 5/15/14 |
|
|
|
111,100 |
|
109,989 |
Cytec Industries 8.95% 7/1/17 |
|
|
|
10,000 |
|
11,945 |
Dow Chemical |
|
|
|
|
|
|
5.90% 2/15/15 |
|
|
|
30,000 |
|
32,515 |
8.55% 5/15/19 |
|
|
|
40,000 |
|
48,437 |
#Evraz Group 144A |
|
|
|
|
|
|
8.25% 11/10/15 |
|
|
|
1,000,000 |
|
1,002,500 |
9.50% 4/24/18 |
|
|
|
100,000 |
|
104,250 |
Freeport McMoRan Copper & Gold 8.375% 4/1/17 |
|
|
|
120,000 |
|
130,375 |
#Innophos Holding 144A 9.50%
4/15/12 |
|
|
|
115,000 |
|
115,288 |
#MacDermid 144A 9.50% 4/15/17 |
|
|
|
340,000 |
|
341,700 |
*#Momentive Performance Material 144A
12.50% 6/15/14 |
|
|
|
65,000 |
|
71,825 |
*Newpage 11.375% 12/31/14 |
|
|
|
60,000 |
|
57,600 |
#NewPage 144A 11.375% 12/31/14 |
|
|
|
160,000 |
|
153,600 |
•Noranda Aluminium Acquisition PIK 5.274%
5/15/15 |
|
|
|
181,673 |
|
143,067 |
@#Norske Skogindustrier 144A 7.125%
10/15/33 |
|
|
|
150,000 |
|
80,250 |
Novelis 7.25% 2/15/15 |
|
|
|
30,000 |
|
27,975 |
#Novelis 144A 11.50% 2/15/15 |
|
|
|
105,000 |
|
112,088 |
#PE Paper Escrow GmbH 144A 12.00% 8/1/14 |
|
|
|
100,000 |
|
108,686 |
Reliance Steel & Aluminum 6.85%
11/15/36 |
|
|
|
24,000 |
|
21,563 |
Ryerson |
|
|
|
|
|
|
•7.624% 11/1/14 |
|
|
|
115,000 |
|
103,213 |
12.00% 11/1/15 |
|
|
|
95,000 |
|
98,088 |
Southern Copper 7.50% 7/27/35 |
|
|
|
1,000,000 |
|
1,034,774 |
#Steel Capital 144A 9.75% 7/29/13 |
|
|
|
1,100,000 |
|
1,186,679 |
Steel Dynamics 7.75% 4/15/16 |
|
|
|
190,000 |
|
190,000 |
#Teck Resources 144A 10.75% 5/15/19 |
|
|
|
115,000 |
|
142,025 |
Vale Overseas 6.875% 11/21/36 |
|
|
|
979,000 |
|
996,363 |
|
|
|
|
|
|
6,773,064 |
Brokerage – 1.29% |
|
|
|
|
|
|
#Cemex Finance 144A 9.50% 12/14/16 |
|
|
|
140,000 |
|
143,500 |
Citigroup |
|
|
|
|
|
|
6.01% 1/15/15 |
|
|
|
65,000 |
|
68,063 |
6.50% 8/19/13 |
|
|
|
25,000 |
|
26,912 |
•Citigroup Capital XXI 8.30% 12/21/57 |
|
|
|
100,000 |
|
93,250 |
•E TRADE Financial
PIK 12.50% 11/30/17 |
|
|
|
236,000 |
|
274,350 |
Goldman Sachs Group |
|
|
|
|
|
|
5.125% 1/15/15 |
|
|
|
50,000 |
|
52,878 |
5.95% 1/18/18 |
|
|
|
10,000 |
|
10,512 |
6.25% 9/1/17 |
|
|
|
20,000 |
|
21,564 |
Jefferies Group |
|
|
|
|
|
|
6.25% 1/15/36 |
|
|
|
5,000 |
|
4,179 |
6.45% 6/8/27 |
|
|
|
60,000 |
|
53,285 |
Lazard Group |
|
|
|
|
|
|
6.85% 6/15/17 |
|
|
|
30,000 |
|
30,513 |
7.125% 5/15/15 |
|
|
|
4,000 |
|
4,260 |
Morgan Stanley |
|
|
|
|
|
|
5.375% 10/15/15 |
|
|
|
100,000 |
|
104,306 |
6.00% 4/28/15 |
|
|
|
60,000 |
|
64,161 |
#Morgan Stanley 144A 10.09% 5/3/17 |
|
BRL |
|
2,000,000 |
|
1,034,780 |
|
|
|
|
|
|
1,986,513 |
Capital Goods – 2.01% |
|
|
|
|
|
|
AMH Holdings 11.25% 3/1/14 |
|
USD |
|
105,000 |
|
104,475 |
*#Associated Materials 144A 9.875% 11/15/16 |
|
|
|
15,000 |
|
15,975 |
#BAE Systems Holdings 144A 5.20%
8/15/15 |
|
|
|
20,000 |
|
21,123 |
#BWAY 144A 10.00% 4/15/14 |
|
|
|
195,000 |
|
201,825 |
#C8 Capital 144A 6.64%
12/31/49 |
|
|
|
140,000 |
|
98,244 |
#Dae Aviation 144A 11.25% 8/1/15 |
|
|
|
120,000 |
|
110,100 |
#FMG Finance 144A 10.625%
9/1/16 |
|
|
|
185,000 |
|
207,200 |
Graham Packaging 9.875% 10/15/14 |
|
|
|
135,000 |
|
138,375 |
#Graphic Packaging International 144A
9.50% 6/15/17 |
|
|
|
105,000 |
|
110,775 |
*Hexion US Finance 9.75% 11/15/14 |
|
|
|
204,000 |
|
193,800 |
Intertape Polymer 8.50% 8/1/14 |
|
|
|
85,000 |
|
71,825 |
*Manitowoc 9.50% 2/15/18 |
|
|
|
140,000 |
|
140,350 |
#Plastipak Holdings 144A |
|
|
|
|
|
|
8.50% 12/15/15 |
|
|
|
105,000 |
|
105,525 |
10.625% 8/15/19 |
|
|
|
105,000 |
|
116,288 |
#Ply Gem Industries 144A 13.125%
7/15/14 |
|
135,000 |
|
136,350 |
Pregis 12.375% 10/15/13 |
|
275,000 |
|
274,312 |
*RBS Global/Rexnord 11.75%
8/1/16 |
|
235,000 |
|
245,574 |
*Sally Holdings 10.50% 11/15/16 |
|
225,000 |
|
243,562 |
Solo Cup 8.50% 2/15/14 |
|
205,000 |
|
195,775 |
Thermadyne Holdings 11.50% 2/1/14 |
|
195,000 |
|
191,588 |
#Trimas 144A 9.75% 12/15/17 |
|
115,000 |
|
116,150 |
USG 6.30% 11/15/16 |
|
23,000 |
|
20,355 |
#USG 144A 9.75% 8/1/14 |
|
45,000 |
|
47,475 |
|
|
|
|
3,107,021 |
Consumer Cyclical –
2.29% |
|
|
|
|
#Allison Transmission 144A 11.00% 11/1/15 |
|
200,000 |
|
208,500 |
American Axle & Manufacturing 7.875%
3/1/17 |
|
150,000 |
|
131,250 |
#American Axle & Manufacturing Holdings 144A 9.25%
1/15/17 |
|
50,000 |
|
52,000 |
ArvinMeritor |
|
|
|
|
*8.125% 9/15/15 |
|
145,000 |
|
132,675 |
10.625% 3/15/18 |
|
75,000 |
|
73,518 |
Beazer Homes USA |
|
|
|
|
8.125% 6/15/16 |
|
50,000 |
|
42,500 |
*8.375% 4/15/12 |
|
95,000 |
|
94,050 |
Burlington Coat Factory Investment
Holdings 14.50% 10/15/14 |
|
215,000 |
|
221,449 |
*Burlington Coat Factory Warehouse 11.125% 4/15/14 |
|
70,000 |
|
71,575 |
CVS Caremark 6.60% 3/15/19 |
|
10,000 |
|
11,240 |
w#CVS Pass
Through Trust 144A 8.353% 7/10/31 |
|
79,233 |
|
91,872 |
Duane Reade 11.75% 8/1/15 |
|
65,000 |
|
82,225 |
*Ford Motor 7.45% 7/16/31 |
|
270,000 |
|
238,612 |
Ford Motor Credit |
|
|
|
|
7.80% 6/1/12 |
|
120,000 |
|
121,330 |
12.00% 5/15/15 |
|
155,000 |
|
177,235 |
‡General Motors 7.20% 1/15/11 |
|
240,000 |
|
73,800 |
*GMAC 8.00% 12/31/18 |
|
145,000 |
|
135,575 |
Interface 9.50% 2/1/14 |
|
25,000 |
|
25,688 |
#Interface 144A 11.375%
11/1/13 |
|
40,000 |
|
45,200 |
K Hovnanian Enterprises |
|
|
|
|
6.25% 1/15/15 |
|
35,000 |
|
26,425 |
7.50% 5/15/16 |
|
65,000 |
|
46,800 |
#K Hovnanian Enterprises 144A 10.625%
10/15/16 |
|
65,000 |
|
68,250 |
#Landry's Restaurants 144A 11.625% 12/1/15 |
|
205,000 |
|
215,249 |
M/I Homes 6.875% 4/1/12 |
|
90,000 |
|
87,750 |
Meritage Homes |
|
|
|
|
6.25% 3/15/15 |
|
35,000 |
|
33,163 |
7.00% 5/1/14 |
|
160,000 |
|
156,000 |
Navistar International 8.25%
11/1/21 |
|
130,000 |
|
132,600 |
Norcraft Holdings 9.75% 9/1/12 |
|
66,000 |
|
62,370 |
#Norcraft Holdings 144A 10.50%
12/15/15 |
|
100,000 |
|
104,000 |
*OSI Restaurant Partners 10.00% 6/15/15 |
|
127,000 |
|
120,650 |
Quiksilver 6.875% 4/15/15 |
|
200,000 |
|
171,500 |
*Rite Aid 9.375% 12/15/15 |
|
160,000 |
|
134,400 |
#Standard Pacific Escrow 144A 10.75%
9/15/16 |
|
75,000 |
|
78,563 |
*Tenneco 8.625% 11/15/14 |
|
70,000 |
|
69,125 |
#Toys R Us Property 144A 10.75%
7/15/17 |
|
5,000 |
|
5,513 |
|
|
|
|
3,542,652 |
Consumer Non-Cyclical –
1.40% |
|
|
|
|
*#Alliance One International 144A 10.00% 7/15/16 |
|
205,000 |
|
214,224 |
Beckman Coulter |
|
|
|
|
6.00% 6/1/15 |
|
25,000 |
|
27,637 |
7.00% 6/1/19 |
|
25,000 |
|
28,633 |
#Cott Beverages 144A 8.375% 11/15/17 |
|
85,000 |
|
86,700 |
#Dole Food 144A 13.875%
3/15/14 |
|
91,000 |
|
108,973 |
#JBS USA 144A 11.625% 5/1/14 |
|
65,000 |
|
73,775 |
#JohnsonDiversey Holdings 144A 10.50%
5/15/20 |
|
290,000 |
|
303,049 |
Kraft Foods |
|
|
|
|
4.125% 2/9/16 |
|
5,000 |
|
5,100 |
5.375% 2/10/20 |
|
25,000 |
|
25,914 |
LVB Acquisition 11.625%
10/15/17 |
|
125,000 |
|
138,750 |
#Novasep Holding 144A 9.75% 12/15/16 |
|
140,000 |
|
130,200 |
PHH 7.125% 3/1/13 |
|
135,000 |
|
127,744 |
#Quintiles Transnational 144A 9.50% PIK 12/30/14 |
|
65,000 |
|
65,813 |
#ServiceMaster PIK 144A 10.75%
7/15/15 |
|
135,000 |
|
139,050 |
Smithfield Foods |
|
|
|
|
7.75% 5/15/13 |
|
155,000 |
|
151,899 |
7.75% 7/1/17 |
|
25,000 |
|
23,000 |
#Smithfield Foods 144A 10.00% 7/15/14 |
|
35,000 |
|
38,063 |
#TOPS Markets 144A 10.125%
10/15/15 |
|
135,000 |
|
140,063 |
#Viskase 144A 9.875% 1/15/18 |
|
135,000 |
|
137,363 |
Yale University 2.90% 10/15/14 |
|
45,000 |
|
45,882 |
*Yankee Acquisition 9.75% 2/15/17 |
|
145,000 |
|
145,362 |
|
|
|
|
2,157,194 |
Energy – 6.38% |
|
|
|
|
#Antero Resources Finance 144A 9.375%
12/1/17 |
|
110,000 |
|
112,750 |
#Aquilex Holdings 144A 11.125% 12/15/16 |
|
100,000 |
|
105,000 |
Chesapeake Energy 9.50%
2/15/15 |
|
140,000 |
|
152,950 |
Complete Production 8.00% 12/15/16 |
|
130,000 |
|
127,075 |
Copano Energy 7.75% 6/1/18 |
|
125,000 |
|
122,813 |
*#Crosstex Energy 144A 8.875% 2/15/18 |
|
110,000 |
|
112,200 |
Denbury Resources 9.75% 3/1/16 |
|
105,000 |
|
113,663 |
#Drummond 144A 9.00% 10/15/14 |
|
135,000 |
|
135,675 |
Dynergy Holdings 7.75% 6/1/19 |
|
210,000 |
|
165,900 |
El Paso |
|
|
|
|
6.875% 6/15/14 |
|
44,000 |
|
44,589 |
7.00% 6/15/17 |
|
205,000 |
|
206,654 |
Enbridge Energy Partners 9.875%
3/1/19 |
|
50,000 |
|
65,911 |
Energy Transfer Partners 9.70% 3/15/19 |
|
45,000 |
|
56,783 |
Enterprise Products Operating |
|
|
|
|
•8.375% 8/1/66 |
|
115,000 |
|
116,436 |
9.75% 1/31/14 |
|
45,000 |
|
54,888 |
#Gazprom 144A 8.625% 4/28/34 |
|
1,000,000 |
|
1,130,999 |
#Gibson Energy 144A 10.00%
1/15/18 |
|
80,000 |
|
78,400 |
*#Headwaters 144A 11.375% 11/1/14 |
|
140,000 |
|
142,100 |
#Helix Energy Solutions Group 144A 9.50%
1/15/16 |
|
235,000 |
|
238,525 |
#Hercules Offshore 144A 10.50% 10/15/17 |
|
125,000 |
|
125,000 |
#Hilcorp Energy I 144A 7.75%
11/1/15 |
|
220,000 |
|
215,050 |
#Holly 144A 9.875% 6/15/17 |
|
115,000 |
|
118,450 |
*International Coal Group 10.25%
7/15/14 |
|
180,000 |
|
184,500 |
*Key Energy Services 8.375% 12/1/14 |
|
250,000 |
|
248,750 |
Kinder Morgan Energy Partners 9.00%
2/1/19 |
|
20,000 |
|
25,294 |
Lukoil International Finance 6.356% 6/7/17 |
|
1,000,000 |
|
1,002,500 |
Mariner Energy 8.00% 5/15/17 |
|
140,000 |
|
134,400 |
Markwest Energy Partners 8.75% 4/15/18 |
|
75,000 |
|
76,313 |
#Midcontinent Express Pipeline
144A |
|
|
|
|
5.45% 9/15/14 |
|
25,000 |
|
26,104 |
6.70% 9/15/19 |
|
10,000 |
|
10,543 |
#Murray Energy 144A 10.25% 10/15/15 |
|
110,000 |
|
110,688 |
Nexen 7.50% 7/30/39 |
|
35,000 |
|
40,353 |
#NFR Energy 144A 9.75% 2/15/17 |
|
140,000 |
|
137,550 |
Noble Energy 8.25% 3/1/19 |
|
30,000 |
|
36,471 |
OPTI Canada 7.875% 12/15/14 |
|
255,000 |
|
225,675 |
Pemex Project Funding Master Trust
6.625% 6/15/35 |
|
1,000,000 |
|
955,809 |
Petrobras International Finance 5.75% 1/20/20 |
|
5,000 |
|
5,069 |
PetroHawk Energy 7.875% 6/1/15 |
|
55,000 |
|
55,275 |
Petroleum Development 12.00% 2/15/18 |
|
145,000 |
|
152,975 |
Plains All American Pipeline 5.75%
1/15/20 |
|
50,000 |
|
52,235 |
Pride International 8.50% 6/15/19 |
|
35,000 |
|
39,288 |
Quicksilver Resources 7.125%
4/1/16 |
|
200,000 |
|
187,000 |
#SandRidge Energy 144A |
|
|
|
|
8.75% 1/15/20 |
|
10,000 |
|
9,850 |
9.875% 5/15/16 |
|
185,000 |
|
191,938 |
TNK-BP Finance 7.875% 3/13/18 |
|
2,000,000 |
|
2,104,999 |
•TransCanada Pipelines 6.35% 5/15/67 |
|
30,000 |
|
28,233 |
Weatherford International 9.625%
3/1/19 |
|
25,000 |
|
31,902 |
#Woodside Finance 144A |
|
|
|
|
4.50% 11/10/14 |
|
20,000 |
|
20,692 |
5.00% 11/15/13 |
|
10,000 |
|
10,464 |
8.125% 3/1/14 |
|
10,000 |
|
11,683 |
|
|
|
|
9,858,364 |
Finance & Investments –
1.24% |
|
|
|
|
•American
International Group I 8.175% 5/15/58 |
|
115,000 |
|
78,488 |
Capital One Capital V 10.25% 8/15/39 |
|
200,000 |
|
227,425 |
Cardtronics 9.25% 8/15/13 |
|
85,000 |
|
87,338 |
City National Capital Trust I 9.625%
2/1/40 |
|
|
|
140,000 |
|
152,994 |
General Electric Capital |
|
|
|
|
|
|
5.50% 1/8/20 |
|
|
|
35,000 |
|
35,263 |
6.00% 8/7/19 |
|
|
|
160,000 |
|
167,702 |
•Genworth Financial
6.15% 11/15/66 |
|
|
|
95,000 |
|
66,500 |
International Lease Finance |
|
|
|
|
|
|
5.35% 3/1/12 |
|
|
|
20,000 |
|
18,492 |
5.55% 9/5/12 |
|
|
|
70,000 |
|
62,759 |
5.625% 9/20/13 |
|
|
|
165,000 |
|
140,855 |
6.375% 3/25/13 |
|
|
|
60,000 |
|
52,881 |
6.625% 11/15/13 |
|
|
|
155,000 |
|
136,683 |
MetLife 6.40% 12/15/36 |
|
|
|
100,000 |
|
87,500 |
•#Metlife Capital Trust X 144A 9.25%
4/8/38 |
|
|
|
125,000 |
|
140,000 |
Nuveen Investments 10.50%
11/15/15 |
|
|
|
395,000 |
|
359,449 |
Prudential Financial 3.875% 1/14/15 |
|
|
|
35,000 |
|
35,444 |
P@•XL Capital 6.50%
12/31/49
|
|
|
|
85,000 |
|
67,473 |
|
|
|
|
|
|
1,917,246 |
Media – 2.13% |
|
|
|
|
|
|
Affinion Group 11.50% 10/15/15 |
|
|
|
100,000 |
|
102,500 |
#Cablevision Systems 144A 8.625%
9/15/17 |
|
|
|
75,000 |
|
77,625 |
*CCH II 13.50% 11/30/16 |
|
|
|
115,000 |
|
136,419 |
#Cengage Learning Acquisitions 144A
10.50% 1/15/15 |
|
|
|
80,000 |
|
73,300 |
#Charter Communications Operating 144A 10.875% 9/15/14 |
|
|
|
65,000 |
|
72,719 |
*Clear Channel Communications 10.75%
8/1/16 |
|
|
|
185,000 |
|
142,450 |
*#Columbus International 144A 11.50% 11/20/14 |
|
|
|
130,000 |
|
138,450 |
Comcast |
|
|
|
|
|
|
4.95% 6/15/16 |
|
|
|
30,000 |
|
31,283 |
5.15% 3/1/20 |
|
|
|
20,000 |
|
20,221 |
6.50% 1/15/15 |
|
|
|
5,000 |
|
5,680 |
#COX Communications 144A |
|
|
|
|
|
|
5.875% 12/1/16 |
|
|
|
15,000 |
|
16,376 |
6.95% 6/1/38 |
|
|
|
5,000 |
|
5,387 |
DIRECTV Holdings 7.625%
5/15/16 |
|
|
|
70,000 |
|
76,833 |
#DirecTV Holdings 144A 4.75% 10/1/14 |
|
|
|
20,000 |
|
20,958 |
Dish DBS 7.875% 9/1/19 |
|
|
|
80,000 |
|
82,800 |
#Dish DBS 144A 7.875% 9/1/19 |
|
|
|
55,000 |
|
56,925 |
@Grupo Televisa 8.49% 5/11/37 |
|
MXN |
|
10,000,000 |
|
674,257 |
#GXS Worldwide 144A 9.75% 6/15/15 |
|
USD |
|
140,000 |
|
133,700 |
#MDC Partners 144A 11.00%
11/1/16 |
|
|
|
70,000 |
|
75,250 |
#Mediacom Capital 144A 9.125% 8/15/19 |
|
|
|
65,000 |
|
65,650 |
Nielsen Finance |
|
|
|
|
|
|
10.00% 8/1/14 |
|
|
|
110,000 |
|
114,675 |
11.50% 5/1/16 |
|
|
|
40,000 |
|
44,750 |
11.625% 2/1/14 |
|
|
|
85,000 |
|
95,094 |
Ω12.50% 8/1/16 |
|
|
|
95,000 |
|
86,450 |
#Sinclair Television Group 144A 9.25% 11/1/17 |
|
|
|
95,000 |
|
99,038 |
#Terremark Worldwide 144A 12.25%
6/15/17 |
|
|
|
125,000 |
|
137,813 |
Time Warner Cable 8.25% 4/1/19 |
|
|
|
40,000 |
|
48,678 |
#Univision Communications 144A 12.00%
7/1/14 |
|
|
|
95,000 |
|
103,313 |
*•#Univision Communications PIK 144A 9.75%
3/15/15 |
|
|
|
80,000 |
|
71,200 |
#UPC Holding 144A 9.875%
4/15/18 |
|
|
|
100,000 |
|
104,500 |
#Vivendi 144A 5.75% 4/4/13 |
|
|
|
55,000 |
|
59,516 |
#XM Satellite Radio 144A 13.00%
8/1/13 |
|
|
|
295,000 |
|
324,500 |
|
|
|
|
|
|
3,298,310 |
Real Estate – 0.13% |
|
|
|
|
|
|
#Digital Realty Trust 144A 5.875% 2/1/20 |
|
|
|
10,000 |
|
9,906 |
*#Felcor Lodging Trust 144A 10.00%
10/1/14 |
|
|
|
140,000 |
|
136,850 |
ProLogis 7.375% 10/30/19 |
|
|
|
35,000 |
|
36,232 |
Regency Centers 5.875% 6/15/17 |
|
|
|
20,000 |
|
19,934 |
|
|
|
|
|
|
202,922 |
Services Cyclical –
1.91% |
|
|
|
|
|
|
#Ashtead Capital 144A 9.00% 8/15/16 |
|
|
|
100,000 |
|
101,000 |
Avis Budget Car Rental |
|
|
|
|
|
|
7.625% 5/15/14 |
|
|
|
185,000 |
|
173,437 |
7.75% 5/15/16 |
|
|
|
125,000 |
|
113,438 |
Delta Air Lines 7.92% 11/18/10 |
|
|
|
90,000 |
|
90,900 |
*#Equinox Holdings 144A 9.50%
2/1/16 |
|
|
|
140,000 |
|
138,600 |
#Galaxy Entertainment Finance 144A 9.875% 12/15/12 |
|
|
|
305,000 |
|
317,962 |
#General Maritime 144A 12.00%
11/15/17 |
|
|
|
140,000 |
|
145,600 |
Global Cash Access 8.75% 3/15/12 |
|
|
|
40,000 |
|
39,800 |
#Harrah's Operating 144A 10.00%
12/15/18 |
|
225,000 |
|
171,000 |
*Hertz 10.50% 1/1/16 |
|
140,000 |
|
145,600 |
International Game Technology 7.50%
6/15/19 |
|
15,000 |
|
17,139 |
#Kansas City Southern de Mexico 144A 8.00% 2/1/18 |
|
140,000 |
|
138,950 |
MGM Mirage |
|
|
|
|
*7.50% 6/1/16 |
|
175,000 |
|
139,563 |
13.00% 11/15/13 |
|
95,000 |
|
108,775 |
*#MGM Mirage 144A 11.375% 3/1/18 |
|
195,000 |
|
181,349 |
Mohegan Tribal Gaming
Authority |
|
|
|
|
6.875% 2/15/15 |
|
40,000 |
|
28,000 |
*7.125% 8/15/14 |
|
95,000 |
|
70,775 |
#National Money Mart 144A 10.375% 12/15/16 |
|
140,000 |
|
146,650 |
*#NCL 144A 11.75% 11/15/16 |
|
70,000 |
|
72,975 |
Pinnacle Entertainment 7.50% 6/15/15 |
|
145,000 |
|
120,713 |
Royal Caribbean Cruises 6.875%
12/1/13 |
|
125,000 |
|
125,000 |
RSC Equipment Rental 9.50% 12/1/14 |
|
135,000 |
|
131,288 |
#Shingle Springs Tribal Gaming Authority
144A 9.375% 6/15/15 |
|
110,000 |
|
88,000 |
#United Air Lines 144A 12.00% 11/1/13 |
|
140,000 |
|
136,500 |
|
|
|
|
2,943,014 |
Services Non-cyclical –
1.32% |
|
|
|
|
Accellent 10.50% 12/1/13 |
|
100,000 |
|
100,250 |
Allied Waste North America |
|
|
|
|
6.875% 6/1/17 |
|
40,000 |
|
43,262 |
7.125% 5/15/16 |
|
30,000 |
|
32,441 |
Bausch & Lomb 9.875%
11/1/15 |
|
205,000 |
|
211,150 |
#CareFusion 144A 6.375% 8/1/19 |
|
65,000 |
|
71,564 |
Casella Waste Systems 9.75%
2/1/13 |
|
305,000 |
|
306,907 |
Cornell 10.75% 7/1/12 |
|
60,000 |
|
61,350 |
DJO Finance 10.875% 11/15/14 |
|
130,000 |
|
139,750 |
HCA 9.25% 11/15/16 |
|
175,000 |
|
186,156 |
Hospira 6.40% 5/15/15 |
|
95,000 |
|
106,807 |
Inverness Medical Innovations 9.00% 5/15/16 |
|
160,000 |
|
161,200 |
Life Technologies |
|
|
|
|
4.40% 3/1/15 |
|
5,000 |
|
5,067 |
6.00% 3/1/20 |
|
40,000 |
|
41,318 |
*Psychiatric Solutions 7.75% 7/15/15 |
|
140,000 |
|
135,100 |
#Psychiatric Solutions 144A 7.75%
7/15/15 |
|
60,000 |
|
56,400 |
Select Medical 7.625% 2/1/15 |
|
140,000 |
|
132,300 |
UnitedHealth Group 5.80%
3/15/36 |
|
5,000 |
|
4,834 |
Universal Hospital Services PIK 8.50% 6/1/15 |
|
120,000 |
|
117,000 |
•US Oncology
Holdings 6.428% 3/15/12 |
|
140,000 |
|
132,300 |
|
|
|
|
2,045,156 |
Technology – 0.57% |
|
|
|
|
*First Data 9.875% 9/24/15 |
|
280,000 |
|
243,600 |
Freescale Semiconductor 8.875%
12/15/14 |
|
165,000 |
|
147,263 |
Sanmina-SCI 8.125% 3/1/16 |
|
231,000 |
|
228,690 |
*Sungard Data Systems 10.25%
8/15/15 |
|
250,000 |
|
260,625 |
|
|
|
|
880,178 |
Telecommunications –
3.96% |
|
|
|
|
American Tower 7.00% 10/15/17 |
|
30,000 |
|
33,600 |
Cincinnati Bell 8.25% 10/15/17 |
|
100,000 |
|
100,500 |
Citizens Utilities 7.125% 3/15/19 |
|
120,000 |
|
112,800 |
#Clearwire Communications 144A 12.00%
12/1/15 |
|
280,000 |
|
275,100 |
*Cricket Communications 9.375% 11/1/14 |
|
138,000 |
|
138,000 |
#Digicel Group 144A |
|
|
|
|
8.25% 9/1/17 |
|
100,000 |
|
95,500 |
*8.875% 1/15/15 |
|
1,100,000 |
|
1,055,999 |
9.125% 1/15/15 |
|
100,000 |
|
97,000 |
#GCI 144A 8.625% 11/15/19 |
|
140,000 |
|
142,975 |
#GeoEye 144A 9.625% 10/1/15 |
|
80,000 |
|
81,600 |
#Global Crossing 144A 12.00% 9/15/15 |
|
125,000 |
|
136,563 |
Intelsat 6.50% 11/1/13 |
|
135,000 |
|
126,563 |
Intelsat Bermuda 11.25% 2/4/17 |
|
435,000 |
|
443,155 |
Intelsat Jackson Holdings 11.25%
6/15/16 |
|
130,000 |
|
139,425 |
Level 3 Financing 9.25% 11/1/14 |
|
105,000 |
|
100,013 |
#Level 3 Financing 144A 10.00%
2/1/18 |
|
85,000 |
|
78,413 |
*MetroPCS Wireless 9.25% 11/1/14 |
|
218,000 |
|
218,545 |
#NII Capital 144A 10.00%
8/15/16 |
|
200,000 |
|
218,000 |
#Nordic Telephone Holdings 144A 8.875% 5/1/16 |
|
110,000 |
|
118,250 |
PAETEC
Holding |
|
|
|
|
8.875% 6/30/17 |
|
105,000 |
|
106,313 |
*9.50% 7/15/15 |
|
75,000 |
|
73,313 |
Qwest Capital Funding 7.75% 2/15/31 |
|
80,000 |
|
70,800 |
Qwest Communications International 7.50%
2/15/14 |
|
85,000 |
|
86,275 |
Rogers Wireless 7.50% 3/15/15 |
|
15,000 |
|
17,763 |
Sprint Capital |
|
|
|
|
6.875% 11/15/28 |
|
55,000 |
|
41,938 |
8.75% 3/15/32 |
|
450,000 |
|
399,374 |
*#Telcordia Technologies 144A 10.00% 3/15/13 |
|
165,000 |
|
156,338 |
Telecom Italia Capital 5.25%
10/1/15 |
|
90,000 |
|
94,570 |
Telesat Canada |
|
|
|
|
11.00% 11/1/15 |
|
120,000 |
|
131,400 |
12.50% 11/1/17 |
|
140,000 |
|
157,500 |
US West Communications 7.25%
9/15/25 |
|
85,000 |
|
81,600 |
#Viasat 144A 8.875% 9/15/16 |
|
70,000 |
|
71,575 |
Virgin Media 6.50% 11/15/16 |
|
307,000 |
|
361,492 |
Virgin Media Finance 8.375% 10/15/19 |
|
100,000 |
|
101,125 |
West 11.00% 10/15/16 |
|
105,000 |
|
105,788 |
#Wind Acquisition Finance 144A |
|
|
|
|
11.75% 7/15/17 |
|
140,000 |
|
150,500 |
12.00% 12/1/15 |
|
150,000 |
|
161,250 |
#Windstream 144A 7.875%
11/1/17 |
|
45,000 |
|
44,213 |
|
|
|
|
6,125,128 |
Utilities – 1.47% |
|
|
|
|
AES |
|
|
|
|
7.75% 3/1/14 |
|
105,000 |
|
105,656 |
8.00% 6/1/20 |
|
5,000 |
|
4,931 |
Ameren 8.875% 5/15/14 |
|
10,000 |
|
11,649 |
*#American Transmission Systems 144A 5.25% 1/15/22 |
|
20,000 |
|
20,518 |
CMS Energy 6.55% 7/17/17 |
|
10,000 |
|
10,234 |
#EDF 4.60% 1/27/20 |
|
15,000 |
|
15,037 |
Edison Mission Energy 7.50%
6/15/13 |
|
80,000 |
|
74,400 |
Elwood Energy 8.159% 7/5/26 |
|
157,828 |
|
151,871 |
Energy Future Holdings |
|
|
|
|
5.55% 11/15/14 |
|
100,000 |
|
73,478 |
*11.375% 11/1/17 |
|
100,000 |
|
76,250 |
Illinois Power 9.75% 11/15/18 |
|
80,000 |
|
104,102 |
Korea Southern Power 5.375%
4/18/13 |
|
630,000 |
|
661,100 |
*Mirant Americas Generation 8.50% 10/1/21 |
|
215,000 |
|
202,101 |
NRG Energy 7.375% 2/1/16 |
|
115,000 |
|
113,706 |
Orion Power Holdings 12.00% 5/1/10 |
|
205,000 |
|
207,307 |
Pennsylvania Electric 5.20%
4/1/20 |
|
45,000 |
|
45,462 |
PPL Electric Utilities 7.125% 11/30/13 |
|
25,000 |
|
28,914 |
Public Service Co. of Oklahoma 5.15%
12/1/19 |
|
45,000 |
|
45,972 |
•Puget Sound Energy 6.974% 6/1/67 |
|
165,000 |
|
147,039 |
*Texas Competitive Electric Holdings
10.50% 11/1/15 |
|
220,000 |
|
165,528 |
|
|
|
|
2,265,255 |
Total Corporate Bonds (cost
$48,052,251) |
|
|
|
50,937,362 |
|
|
|
|
|
Non-Agency Asset-Backed Securities –
0.55% |
|
|
|
|
•#AH Mortgage Advance Trust 144A Series
2009-ADV3 A1 2.179% 10/6/21 |
|
40,000 |
|
39,800 |
Capital Auto Receivables Asset Trust Series 2007-3 A3A 5.02%
9/15/11 |
|
33,052 |
|
33,455 |
Caterpillar Financial Asset Trust |
|
|
|
|
Series 2007-A A3A 5.34% 6/25/12 |
|
6,654 |
|
6,755 |
Series 2008-A A3 4.94%
4/25/14 |
|
56,307 |
|
57,530 |
@Centex Home Equity Series 2005-D AF4 5.27% 10/25/35 |
|
69,472 |
|
68,882 |
Chase Issuance Trust Series 2005-A7 A7 4.55% 3/15/13 |
|
45,000 |
|
46,571 |
Citicorp Residential Mortgage Securities Series 2006-3 A5 5.948%
11/25/36 |
|
100,000 |
|
70,206 |
CNH Equipment Trust |
|
|
|
|
Series 2008-A A3 4.12% 5/15/12 |
|
8,150 |
|
8,262 |
Series 2008-A A4 4.93% 8/15/14 |
|
30,000 |
|
31,242 |
Series 2008-B A3A 4.78% 7/16/12 |
|
16,633 |
|
16,950 |
Series 2009-C A3 1.85%
12/16/13 |
|
15,000 |
|
15,120 |
Discover Card Master Trust Series 2007-A1 A1 5.65%
3/16/20 |
|
100,000 |
|
110,365 |
#Dunkin Securitization 144A Series 2006-1 A2 5.779%
6/20/31 |
|
150,000 |
|
146,110 |
Harley-Davidson Motorcycle Trust |
|
|
|
|
Series 2005-2 A2 4.07%
2/15/12 |
|
28,856 |
|
28,989 |
Series 2006-2 A2 5.35%
3/15/13 |
|
61,049 |
|
62,763 |
Hyundai Auto Receivables Trust |
|
|
|
|
Series 2007-A A3A 5.04% 1/17/12 |
|
6,738 |
|
6,843 |
Series 2008-A A3 4.93%
12/17/12 |
|
30,000 |
|
31,242 |
John Deere
Owner Trust Series 2008-A A3 4.18% 6/15/12 |
|
|
|
21,775 |
|
22,084 |
•MBNA
Credit Card Master Note Trust Series 2005-A4 0.27% 11/15/12 |
|
|
|
30,000 |
|
29,968 |
•Merrill Auto Trust Securitization Series 2007-1 A4 0.29%
12/15/13 |
|
|
|
25,000 |
|
24,816 |
Total Non-Agency
Asset-Backed Securities (cost $859,351) |
|
|
|
|
|
857,953 |
|
|
|
|
|
|
|
Non-Agency
Collateralized Mortgage Obligations – 0.47% |
|
|
|
|
|
|
@•Bear
Stearns ARM Trust Series 2007-1 3A2 5.718% 2/25/47 |
|
|
|
230,990 |
|
29,564 |
Citicorp Mortgage
Securities |
|
|
|
|
|
|
Series 2006-4 3A1 5.50%
8/25/21 |
|
|
|
30,880 |
|
29,814 |
Series 2007-1 2A1 5.50%
1/25/22 |
|
|
|
177,396 |
|
154,995 |
•Series 2007-AR8 1A3A 5.813% 8/25/37 |
|
|
|
79,564 |
|
58,233 |
•First
Horizon Asset Securities |
|
|
|
|
|
|
Series 2007-AR2 1A1 5.811%
8/25/37 |
|
|
|
119,100 |
|
91,226 |
Series 2007-AR3 2A2 6.291%
11/25/37 |
|
|
|
86,247 |
|
67,788 |
•GSR
Mortgage Loan Trust Series 2006-AR1 3A1 5.344% 1/25/36 |
|
|
|
163,702 |
|
136,067 |
•MASTR
ARMs Trust Series 2006-2 4A1 4.981% 2/25/36 |
|
|
|
82,796 |
|
76,527 |
•Wells
Fargo Mortgage Backed Securities Trust |
|
|
|
|
|
|
Series 2005-AR2 2A1 2.895%
3/25/35 |
|
|
|
65,584 |
|
58,072 |
Series 2005-AR16 6A4 4.998%
10/25/35 |
|
|
|
55,618 |
|
20,886 |
Total Non-Agency
Collateralized Mortgage Obligations (cost $1,078,345) |
|
|
|
|
|
723,172 |
|
|
|
|
|
|
|
«Senior Secured Loans – 0.29% |
|
|
|
|
|
|
Alion
Science Term Tranche Loan B 9.50% 2/6/13 |
|
|
|
60,000 |
|
59,944 |
Energy
Futures Holdings Term Tranche Loan B2 3.729% 10/10/14 |
|
|
|
167,346 |
|
135,415 |
Harrahs
Chester Downs & Marina 12.375% 12/31/16 |
|
|
|
103,031 |
|
104,319 |
PQ Corp
Term Tranche Loan B 6.74% 7/30/15 |
|
|
|
165,000 |
|
150,769 |
Total Senior
Secured Loans (cost $421,574) |
|
|
|
|
|
450,447 |
|
|
|
|
|
|
|
Sovereign Debt –
5.26%Δ |
|
|
|
|
|
|
Barbados –
1.15% |
|
|
|
|
|
|
#Republic
of Barbados 144A 6.625% 12/5/35 |
|
|
|
2,000,000 |
|
1,770,354 |
|
|
|
|
|
|
1,770,354 |
Brazil –
1.08% |
|
|
|
|
|
|
Banco
Nacional Desenvolvime Economico e Social 6.369% 6/16/18 |
|
|
|
500,000 |
|
528,750 |
Federal
Republic of Brazil 10.25% 1/10/28 |
|
BRL |
|
2,000,000 |
|
1,134,383 |
|
|
|
|
|
|
1,663,133 |
Colombia –
0.35% |
|
|
|
|
|
|
#Santa Fe
de Bogota D.C. 144A 9.75% 7/26/28 |
|
COP |
|
1,000,000,000 |
|
539,017 |
|
|
|
|
|
|
539,017 |
Mexico –
1.06% |
|
|
|
|
|
|
Mexican
Bonos |
|
|
|
|
|
|
7.50% 6/3/27 |
|
MXN |
|
20,000,000 |
|
1,476,441 |
8.50% 5/31/29 |
|
MXN |
|
1,970,000 |
|
157,722 |
|
|
|
|
|
|
1,634,163 |
Pakistan –
1.09% |
|
|
|
|
|
|
@#Republic
of Pakistan 144A 6.875% 6/1/17 |
|
USD |
|
2,000,000 |
|
1,690,000 |
|
|
|
|
|
|
1,690,000 |
United Kingdom –
0.53% |
|
|
|
|
|
|
@#CS
International for City of Kyiv Ukraine 144A 8.25% 11/26/12 |
|
|
|
1,000,000 |
|
827,500 |
|
|
|
|
|
|
827,500 |
Total Sovereign
Debt (cost $8,498,833) |
|
|
|
|
|
8,124,167 |
|
|
|
|
|
|
|
Supranational
Banks – 4.60% |
|
|
|
|
|
|
European
Bank for Reconstruction & Development 7.00% 7/30/12 |
|
|
|
41,000,000 |
|
963,529 |
European
Investment Bank |
|
|
|
|
|
|
8.00% 10/21/13 |
|
ZAR |
|
6,880,000 |
|
885,869 |
^10.708% 3/2/15 |
|
TRY |
|
5,490,000 |
|
2,136,475 |
11.25% 2/14/13 |
|
BRL |
|
1,800,000 |
|
1,060,886 |
Inter-American Development Bank 9.00% 8/6/10 |
|
BRL |
|
2,081,000 |
|
1,155,049 |
International Bank for Reconstruction & Development 9.75%
8/2/10 |
|
ZAR |
|
7,000,000 |
|
913,474 |
Total
Supranational Banks (cost $7,272,223) |
|
|
|
|
|
7,115,282 |
|
|
|
|
|
|
|
U.S. Treasury
Obligations – 0.07% |
|
|
|
|
|
|
U.S.
Treasury Bond 4.375% 11/15/39 |
|
USD |
|
25,000 |
|
24,375 |
U.S.
Treasury Notes |
|
|
|
|
|
|
2.375% 2/28/15 |
|
|
|
55,000 |
|
55,254 |
*3.625% 2/15/20 |
|
|
|
25,000 |
|
25,074 |
Total U.S. Treasury Obligations (cost
$103,766) |
|
|
|
|
|
104,703 |
Leveraged Non-Recourse Securities –
0.00% |
|
|
|
|
|
|
|
|
w#JPMorgan Pass
Through Trust Series 2007-B 144A 0.00% 1/15/87 |
|
|
|
500,000 |
|
|
0 |
|
Total Leveraged Non-Recourse Securities
(cost $425,000) |
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
|
|
|
|
|
Shares |
|
|
|
|
Closed-End Fund – 0.16% |
|
|
|
|
|
|
|
|
ING UK Real Estate Trust |
|
|
|
317,470 |
|
|
250,543 |
|
Total Closed-End Fund (cost
$681,549) |
|
|
|
|
|
|
250,543 |
|
|
|
|
|
|
|
|
|
|
Exchange Traded Fund –
0.01% |
|
|
|
|
|
|
|
|
*ProShares UltraShort Real
Estate |
|
|
|
2,600 |
|
|
19,032 |
|
Total Exchange Traded Funds (cost
$54,032) |
|
|
|
|
|
|
19,032 |
|
|
|
|
|
|
|
Limited Partnership –
0.04% |
|
|
|
|
|
|
|
|
Blackstone Group |
|
|
|
4,000 |
|
|
55,920 |
|
Total Limited Partnership (cost
$53,797) |
|
|
|
|
|
|
55,920 |
|
|
|
|
|
|
|
|
|
|
Preferred Stock – 0.38% |
|
|
|
|
|
|
|
|
•Bank of
America |
|
|
|
|
|
|
|
|
8.00% |
|
|
|
140,000 |
|
|
133,627 |
|
8.125% |
|
|
|
75,000 |
|
|
71,578 |
|
Developers Diversified Realty Series I
7.50% |
|
|
|
1,925 |
|
|
41,734 |
|
*Digital Realty Series A 8.50% |
|
|
|
2,650 |
|
|
68,079 |
|
Freddie Mac 6.02% |
|
|
|
32,000 |
|
|
28,800 |
|
•PNC Financial
Services Group 8.25% |
|
|
|
10,000 |
|
|
10,555 |
|
Prologis Series G 6.75% |
|
|
|
7,050 |
|
|
149,318 |
|
*Vornado Realty Trust 6.625% |
|
|
|
3,700 |
|
|
80,845 |
|
Total Preferred Stock (cost
$1,294,847) |
|
|
|
|
|
|
584,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
Amount° |
|
|
|
|
Residual Interest Trust Certificates –
0.00% |
|
|
|
|
|
|
|
|
=w#Freddie Mac Auction Pass Through Trust
Series 2007-6 Series 7-6B 144A |
|
USD |
|
200,000 |
|
|
0 |
|
Total Residual Interest Trust
Certificates (cost $217,676) |
|
|
|
|
|
|
0 |
|
|
|
|
|
|
|
|
|
|
≠Discount Note –
7.85% |
|
|
|
|
|
|
|
|
Federal Home Loan Bank 0.06% 3/1/10 |
|
|
|
12,134,075 |
|
|
12,134,075 |
|
Total Discount Note (cost
$12,134,075) |
|
|
|
|
|
|
12,134,075 |
|
|
|
|
|
|
|
Total Value of Securities Before
Securities Lending Collateral – 122.36% |
|
|
|
|
|
|
|
|
(cost $197,379,679) |
|
|
|
|
|
|
189,127,182 |
|
|
|
|
|
|
|
|
|
|
Securities Lending Collateral** –
8.77% |
|
|
|
|
|
|
|
|
Investment Companies |
|
|
|
|
|
|
|
|
Mellon GSL DBT II Collateral Fund |
|
|
|
10,939,770 |
|
|
10,939,770 |
|
BNY
Mellon SL DBT II Liquidating Fund |
|
|
|
2,627,998 |
|
|
2,603,032 |
|
@†Mellon GSL Reinvestment Trust II |
|
|
|
328,120 |
|
|
13,945 |
|
Total Securities Lending Collateral
(cost $13,895,888) |
|
|
|
|
|
|
13,556,747 |
|
|
|
|
|
|
|
|
|
|
Total Value of Securities –
131.13% |
|
|
|
|
|
|
|
|
(cost $211,275,567) |
|
|
|
|
|
|
202,683,929 |
© |
Obligation to Return Securities Lending
Collateral**
– (8.99%) |
|
|
|
|
|
|
(13,895,888 |
) |
Borrowing Under Line of Credit –
(25.88%) |
|
|
|
|
|
|
(40,000,000 |
) |
Receivables and Other Assets Net of
Liabilities (See Notes) – 3.74% |
|
|
|
|
|
|
5,775,300 |
|
Net Assets Applicable to 12,952,983
Shares Outstanding – 100.00% |
|
|
|
|
|
$ |
154,563,341 |
|
°Principal amount shown is stated in the
currency in which each security is denominated.
BRL – Brazilian Real
COP – Colombian Peso
EUR – European Monetary Unit
MXN – Mexican Peso
TRY – Turkish Lira
USD – United States Dollar
ZAR – South African
Rand
vSecurities have been classified by type of
business.
*Fully or partially
on loan.
†Non income producing
security.
‡Non income
producing security. Security is currently in default.
@Illiquid security. At February 28, 2010, the
aggregate amount of illiquid securities was $4,036,673, which represented 2.61%
of the Fund’s net assets. See Note 6 in “Notes."
•Variable rate security. The rate shown is the rate as of February
28, 2010.
#Security exempt
from registration under Rule 144A of the Securities Act of 1933, as amended. At
February 28, 2010, the aggregate amount of Rule 144A securities was $28,005,013,
which represented 18.12% of the Fund’s net assets. See Note 6 in "Notes."
wPass Through Agreement. Security represents
the contractual right to receive a proportionate amount of underlying payments
due to the counterparty pursuant to various agreements related to the
rescheduling of obligations and the exchange of certain notes.
fStep
coupon bond. Coupon increases/decreases periodically based on a predetermined
schedule. Stated rate in effect at February 28, 2010.
ΩStep coupon bond. Indicates security that has
a zero coupon that remains in effect until a predetermined date at which time
the stated interest rate becomes effective.
ΔSecurities have been classified by country of
origin.
«Senior Secured Loans
generally pay interest at rates which are periodically redetermined by reference
to a base lending rate plus a premium. These base lending rates are generally:
(i) the prime rate offered by one or more United States banks, (ii) the lending
rate offered by one or more European banks such as the London Inter-Bank Offered
Rate (LIBOR), and (iii) the certificate of deposit rate. Senior Secured Loans
may be subject to restrictions on resale.
^Zero coupon security. The rate shown is the
yield at the time of purchase.
=Security is being fair valued in accordance with the Fund’s fair
valuation policy. At February 28, 2010, the aggregate amount of fair valued
securities was $0, which represented 0.00% of the Fund’s net assets. See Note 1
in "Notes."
≠The rate shown is the effective yield at the
time of purchase.
**See Note 5 in
"Notes."
©Includes $13,448,897 of securities
loaned.
PRestricted Security. These investments are in
securities not registered under the Securities Act of 1933, as amended, and have
certain restrictions on resale which may limit their liquidity. At February 28,
2010, the aggregate amount of the restricted securities was $67,473 or 0.04% of
the Fund's net assets. See Note 6 in "Notes."
Summary of Abbreviations:
ADR – American
Depositary Receipts
ARM – Adjustable Rate Mortgage
CDS – Credit Default
Swap
GNMA – Government
National Mortgage Association
MASTR – Mortgage Asset Securitization
Transactions, Inc.
PIK – Pay-in-kind
REIT – Real Estate Investment Trust
S.F. – Single Family
TBA – To be announced
yr – Year
1The
following foreign currency exchange contracts and swap contracts were
outstanding at February 28, 2010:
Foreign Currency Exchange
Contracts |
|
|
|
|
|
|
|
Unrealized |
Contracts to
Receive |
|
In Exchange
For |
|
Settlement
Date |
|
Appreciation |
EUR |
1,800 |
|
USD |
(2,439) |
|
3/1/10 |
|
$12 |
Swap Contracts |
CDS Contracts |
|
|
|
|
|
|
|
|
|
Unrealized |
Swap Counterparty & |
|
Notional |
|
Annual Protection |
|
Termination |
|
Appreciation |
Referenced
Obligation |
|
Value |
|
Payments |
|
Date |
|
(Depreciation) |
Protection Purchased: |
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America |
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Edison 5yr CDS |
|
$ |
45,000 |
|
1.00% |
|
3/20/15 |
|
|
$ |
131 |
|
Barclays |
|
|
|
|
|
|
|
|
|
|
|
|
ITRAXX Eur Sub Financials 12.1
5yr CDS |
|
|
60,000 |
|
1.00% |
|
12/20/14 |
|
|
|
(315 |
) |
J.P. Morgan Chase |
|
|
|
|
|
|
|
|
|
|
|
|
Penny (J.C.) |
|
|
|
|
|
|
|
|
|
|
|
|
5 yr CDS |
|
|
55,000 |
|
1.00% |
|
3/20/15 |
|
|
|
385 |
|
5 yr CDS |
|
|
40,000 |
|
1.00% |
|
3/20/15 |
|
|
|
407 |
|
5 yr CDS |
|
|
25,000 |
|
1.00% |
|
3/20/15 |
|
|
|
140 |
|
Sunoco 5 yr CDS |
|
|
75,000 |
|
1.00% |
|
3/20/15 |
|
|
|
3,299 |
|
|
|
$ |
300,000 |
|
|
|
|
|
|
$ |
4,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Protection
Sold: |
|
|
|
|
|
|
|
|
|
|
|
|
Citigroup |
|
|
|
|
|
|
|
|
|
|
|
|
MetLife 5 yr CDS |
|
$ |
25,000 |
|
5.00% |
|
9/20/14 |
|
|
$ |
718 |
|
JPMorgan
Chase |
|
|
|
|
|
|
|
|
|
|
|
|
Macy’s |
|
|
|
|
|
|
|
|
|
|
|
|
5 yr CDS |
|
|
55,000 |
|
1.00% |
|
3/20/15 |
|
|
|
(183 |
) |
5 yr CDS |
|
|
40,000 |
|
1.00% |
|
3/20/15 |
|
|
|
(533 |
) |
5 yr CDS |
|
|
25,000 |
|
1.00% |
|
3/20/15 |
|
|
|
(58 |
) |
Valero Energy 5 yr
CDS |
|
|
75,000 |
|
1.00% |
|
3/20/15 |
|
|
|
(1,744 |
) |
|
|
$ |
220,000 |
|
|
|
|
|
|
|
(1,800 |
) |
Total |
|
|
|
|
|
|
|
|
|
$ |
2,247 |
|
|
The use of foreign
currency exchange contracts and swap contracts involves elements of market risk
and risks in excess of the amounts recognized in the financial statements. The
notional values presented above represent the Fund’s (as defined below) total
exposure in such contracts, whereas only the net unrealized appreciation
(depreciation) is reflected in the Fund’s net assets.
1See Note 4
in “Notes."
Notes
1. Significant Accounting
Policies
The following
accounting policies are in accordance with U.S. generally accepted accounting
principles (U.S. GAAP) and are consistently followed by Delaware Enhanced Global
Dividend and Income Fund (Fund). This report covers the period of time since the
Fund’s last fiscal year end.
Security Valuation – Equity securities, except those traded on
the Nasdaq Stock Market, Inc. (Nasdaq), are valued at the last quoted sales
price as of the time of the regular close of the New York Stock Exchange (NYSE)
on the valuation date. Securities traded on the Nasdaq are valued in accordance
with the Nasdaq Official Closing Price, which may not be the last sales price.
If on a particular day an equity security does not trade, then the mean between
the bid and the ask prices will be used. Securities listed on a foreign exchange
are valued at the last quoted sales price on the valuation date. Short-term debt
securities are valued at market value. U.S. government and agency securities are
valued at the mean between the bid and ask prices. Other debt securities, credit
default swap (CDS) contracts and interest rate swap contracts are valued by an
independent pricing service or broker. To the extent current market prices are
not available, the pricing service may take into account developments related to
the specific security, as well as transactions in comparable securities.
Investment companies are valued at net asset value per share. Foreign currency
exchange contracts are valued at the mean between the bid and ask prices.
Interpolated values are derived when the settlement date of the contract is an
interim date for which quotations are not available. Financial futures contracts
and options on financial futures contracts are valued at the daily quoted
settlement prices. Exchange-traded options are valued at the last reported sale
price or, if no sales are reported, at the mean between the last reported bid
and ask prices. Generally, index swap contracts and other securities and assets
for which market quotations are not readily available are valued at fair value
as determined in good faith under the direction of the Fund’s Board of Trustees
(Board). In determining whether market quotations are readily available or fair
valuation will be used, various factors will be taken into consideration, such
as market closures or suspension of trading in a security. The Fund may use fair
value pricing more frequently for securities traded primarily in non-U.S.
markets because, among other things, most foreign markets close well before the
Fund values its securities at 4:00 p.m. Eastern time. The earlier close of these
foreign markets gives rise to the possibility that significant events, including
broad market moves, government actions or pronouncements, aftermarket trading,
or news events may have occurred in the interim. To account for this, the Fund
may frequently value foreign securities using fair value prices based on
third-party vendor modeling tools (international fair value pricing).
Federal Income Taxes – No provision for federal income taxes has
been made as the Fund intends to continue to qualify for federal income tax
purposes as a regulated investment company under Subchapter M of the Internal
Revenue Code of 1986, as amended, and make the requisite distributions to
shareholders. The Fund evaluates tax positions taken or expected to be taken in
the course of preparing the Fund's tax returns to determine whether the tax
positions are "more-likely-than-not" of being sustained by the applicable tax
authority. Tax positions not deemed to meet the more-likely-than-not threshold
are recorded as a tax benefit or expense in the current year. Management has
analyzed the Fund’s tax positions taken on federal income tax returns for all
open tax years (November 30, 2007 – November 30, 2009), and has concluded that
no provision for federal income tax is required in the Fund’s financial
statements.
Distributions – The Fund has a managed distribution policy.
Under the policy, the Fund declares and pays monthly distributions and is
managed with a goal of generating as much of the distribution as possible from
ordinary income (net investment income and short-term capital gains). The
balance of the distribution then comes from long-term capital gains to the
extent permitted and, if necessary, a return of capital.
Repurchase Agreements – The Fund may invest in a pooled cash
account along with other members of the Delaware Investments® Family of Funds
pursuant to an exemptive order issued by the Securities and Exchange Commission.
The aggregate daily balance of the pooled cash account is invested in repurchase
agreements secured by obligations of the U.S. government. The respective
collateral is held by the Fund’s custodian bank until the maturity of the
respective repurchase agreements. Each repurchase agreement is at least 102%
collateralized. However, in the event of default or bankruptcy by the
counterparty to the agreement, realization of the collateral may be subject to
legal proceedings. At February
28, 2010, the Fund held no investments in repurchase agreements.
Foreign Currency Transactions
– Transactions
denominated in foreign currencies are recorded at the prevailing exchange rates
on the valuation date. The value of all assets and liabilities denominated in
foreign currencies is translated into U.S. dollars at the exchange rate of such
currencies against the U.S. dollar daily. Transaction gains or losses resulting
from changes in exchange rates during the reporting period or upon settlement of
the foreign currency transaction are reported in operations for the current
period. The Fund isolates that portion of realized gains and losses on
investments in debt securities, which is due to changes in foreign exchange
rates from that which are due to changes in market prices of debt securities.
For foreign equity securities, these changes are included in realized gains
(losses) on investments. The Fund reports certain foreign currency related
transactions as components of realized gains (losses) for financial reporting
purposes, whereas such components are treated as ordinary income (loss) for
federal income tax purposes.
Use of Estimates – The preparation of financial statements in
conformity with U.S. GAAP requires management to make estimates and assumptions
that affect the reported amounts of assets and liabilities at the date of the
financial statements and the reported amounts of revenues and expenses during
the reporting period. Actual results could differ from those estimates.
Other – Expenses
directly attributable to the Fund are charged directly to the Fund. Other
expenses common to various funds within the Delaware Investments® Family of Funds are
generally allocated amongst such funds on the basis of average net assets.
Management fees and some other expenses are paid monthly. Security transactions
are recorded on the date the securities are purchased or sold (trade date) for
financial reporting purposes. Costs used in calculating realized gains and
losses on the sale of investment securities are those of the specific securities
sold. Dividend income is recorded on the ex-dividend date and interest income is
recorded on the accrual basis. Discounts and premiums on non-convertible bonds
are amortized to interest income over the lives of the respective securities.
Realized gains (losses) on paydowns of mortgage- and asset-backed securities are
classified as interest income. Foreign dividends are also recorded on the
ex-dividend date or as soon after the ex-dividend date that the Fund is aware of
such dividends, net of all non-rebatable tax withholdings. Withholding taxes on
foreign dividends and interest have been recorded in accordance with the Fund’s
understanding of the applicable country’s tax rules and rates. Distributions
received from investments in Real Estate Investment Trusts (REITs) are recorded
as dividend income on the ex-dividend date, subject to reclassification upon
notice of the character of such distributions by the issuer.
2. Investments
At February 28, 2010,
the cost of investments for federal income tax purposes has been estimated since
final tax characteristics cannot be determined until fiscal year end. At
February 28, 2010, the cost of investments and unrealized appreciation
(depreciation) for the Fund was as follows:
Cost of investments |
$ |
212,322,935 |
|
Aggregate unrealized appreciation |
|
10,882,315 |
|
Aggregate unrealized
depreciation |
|
(20,521,321 |
) |
Net unrealized depreciation |
$ |
(9,639,006 |
) |
For federal income
tax purposes, at November 30, 2009, capital loss carryforwards of $58,412,011
may be carried forward and applied against future capital gains. Such capital
loss carryforwards will expire as follows: $1,676,026 expires in 2015,
$34,480,079 expires in 2016, and $22,255,906 expires in 2017.
U.S. GAAP defines
fair value as the price that the Fund would receive to sell an asset or pay to
transfer a liability in an orderly transaction between market participants at
the measurement date under current market conditions. A framework for measuring
fair value and a three level hierarchy for fair value measurements has been
established based upon the transparency of inputs to the valuation of an asset
or liability. Inputs may be observable or unobservable and refer broadly to the
assumptions that market participants would use in pricing the asset or
liability. Observable inputs reflect the assumptions market participants would
use in pricing the asset or liability based on market data obtained from sources
independent of the reporting entity. Unobservable inputs reflect the reporting
entity’s own assumptions about the assumptions that market participants would
use in pricing the asset or liability developed based on the best information
available under the circumstances. The Fund’s investment in its entirety is
assigned a level based upon the observability of the inputs which are
significant to the overall valuation. The three-tier hierarchy of inputs is
summarized below.
Level 1 – inputs are
quoted prices in active markets
Level 2 – inputs are observable, directly or
indirectly
Level 3 – inputs
are unobservable and reflect assumptions on the part of the reporting
entity
The following table
summarizes the valuation of the Fund's investments by fair value hierarchy
levels as of February 28, 2010:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
Agency, Asset-Backed & |
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage-Backed Securities |
|
$ |
- |
|
$ |
9,802,504 |
|
$ |
39,801 |
|
$ |
9,842,305 |
Common Stock |
|
|
82,081,658 |
|
|
- |
|
|
- |
|
|
82,801,658 |
Corporate Debt |
|
|
274,500 |
|
|
68,664,773 |
|
|
182,151 |
|
|
69,121,424 |
Foreign Debt |
|
|
- |
|
|
12,865,792 |
|
|
2,373,657 |
|
|
15,239,449 |
Investment Companies |
|
|
19,032 |
|
|
- |
|
|
- |
|
|
19,032 |
U.S. Treasury Obligations |
|
|
104,703 |
|
|
- |
|
|
- |
|
|
104,703 |
Short-Term |
|
|
- |
|
|
12,134,075 |
|
|
- |
|
|
12,134,075 |
Securities Lending Collateral |
|
|
10,939,770 |
|
|
2,603,032 |
|
|
13,945 |
|
|
13,556,747 |
Other |
|
|
- |
|
|
584,536 |
|
|
- |
|
|
584,536 |
Total |
|
$ |
93,419,663 |
|
$ |
106,654,712 |
|
$ |
2,609,554 |
|
$ |
202,683,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency Exchange
Contracts |
|
$ |
- |
|
$ |
12 |
|
$ |
- |
|
$ |
12 |
Swap Contracts |
|
$ |
- |
|
$ |
2,247 |
|
$ |
- |
|
$ |
2,247 |
The following is a
reconciliation of investments in which significant unobservable inputs (Level 3)
were used in determining fair value:
|
|
Agency, Asset- |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Backed and |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Mortgage- |
|
|
|
|
|
|
|
|
|
Securities |
|
|
|
|
|
|
Backed |
|
Corporate |
|
Foreign |
|
Lending |
|
|
|
|
|
|
Securities |
|
Debt |
|
Debt |
|
Collateral |
|
Total |
Balance as of 11/30/09 |
|
$ |
131,070 |
|
|
$ |
- |
|
|
$ |
3,479,000 |
|
|
$ |
13,945 |
|
$ |
3,624,015 |
|
Purchases |
|
|
- |
|
|
|
185,000 |
|
|
|
156,020 |
|
|
|
- |
|
|
341,020 |
|
Sales |
|
|
(172,629 |
) |
|
|
- |
|
|
|
(1,235,688 |
) |
|
|
- |
|
|
(1,408,317 |
) |
Net realized gain (loss) |
|
|
6 |
|
|
|
- |
|
|
|
(4,286 |
) |
|
|
- |
|
|
(4,280 |
) |
Transfers out of Level 3 |
|
|
(502,127 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
(502,127 |
) |
Net change in unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation/depreciation |
|
|
583,481 |
|
|
|
(2,849 |
) |
|
|
(21,389 |
) |
|
|
- |
|
|
554,243 |
|
Balance as of 2/28/10 |
|
$ |
39,801 |
|
|
$ |
182,151 |
|
|
$ |
2,373,657 |
|
|
$ |
13,945 |
|
$ |
2,609,554 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net change in unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
appreciation/depreciation
from |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
investments still held as of
2/28/10 |
|
$ |
162,904 |
|
|
$ |
(2,849 |
) |
|
$ |
(51,569 |
) |
|
$ |
- |
|
$ |
108,486 |
|
In January 2010, the
Financial Accounting Standard Board issued an Accounting Standards Update,
Improving Disclosures about Fair Value
Measurements, which
introduces new disclosure requirements and clarifies certain existing disclosure
requirements around fair value measurements currently presented above. The new
disclosures and clarifications of existing disclosures are generally effective
for the Fund’s year ending November 30, 2011 and interim periods therein.
Management is evaluating the impact of this update on its current
disclosures.
3. Line of Credit
For the period ended February 28, 2010, the
Fund borrowed money pursuant to a $50,000,000 Credit Agreement with The Bank of
New York Mellon (BNY Mellon) that expires on June 30, 2010. Depending on market
conditions, the amount borrowed by the Fund pursuant to the Credit Agreement may
be reduced or possibly increased in the future.
At February 28, 2010,
the par value of loans outstanding was $40,000,000 at a variable interest rate
of 1.5625%. During the period ended February 28, 2010, the average daily balance
of loans outstanding was $40,000,000 at a weighted average interest rate of
approximately 1.5837%. Interest on borrowings is based on a variable short-term
rate plus an applicable margin. The commitment fee is computed at a rate of
0.25% per annum on the unused balance. The loan is collateralized by the Fund’s
portfolio.
4. Derivatives
U.S. GAAP requires enhanced disclosures that
enable investors to understand: 1) how and why an entity uses derivatives, 2)
how they are accounted for, and 3) how they affect an entity's results of
operations and financial position.
Foreign Currency Exchange
Contracts
The Fund may
enter into foreign currency exchange contracts and foreign cross currency
exchange contracts as a way of managing foreign exchange rate risk. The Fund may
enter into these contracts to fix the U.S. dollar value of a security that it
has agreed to buy or sell for the period between the date the trade was entered
into and the date the security is delivered and paid for. The Fund may also use
these contracts to hedge the U.S. dollar value of securities it already owns
that are denominated in foreign currencies. The change in value is recorded as
an unrealized gain or loss. When the contract is closed, a realized gain or loss
is recorded equal to the difference between the value of the contract at the
time it was opened and the value at the time it was closed.
The use of foreign
currency exchange contracts and foreign cross currency exchange contracts does
not eliminate fluctuations in the underlying prices of the securities, but does
establish a rate of exchange that can be achieved in the future. Although
foreign currency exchange contracts limit the risk of loss due to a decline in
the value of the hedged currency, they also limit any potential gain that might
result should the value of the currency increase. In addition, the Fund could be
exposed to risks if the counterparties to the contracts are unable to meet the
terms of their contracts. The Fund's maximum risk of loss from counterparty
credit risk is the value of its currency exchanged with the counterparty. The
risk is generally mitigated by having a netting arrangement between the Fund and
the counterparty and by the posting of collateral by the counterparty to the
Fund to cover the Fund's exposure to the counterparty.
Financial Futures
Contracts
A futures
contract is an agreement in which the writer (or seller) of the contract agrees
to deliver to the buyer an amount of cash or securities equal to a specific
dollar amount times the difference between the value of a specific security or
index at the close of the last trading day of the contract and the price at
which the agreement is made. The Fund may use futures in the normal course of
pursuing its investment objective. The Fund may invest in financial futures
contracts to hedge its existing portfolio securities against fluctuations in
fair value caused by changes in prevailing market interest rates. Upon entering
into a financial futures contract, the Fund deposits cash or pledges U.S.
government securities to a broker, equal to the minimum “initial margin”
requirements of the exchange on which the contract is traded. Subsequent
payments are received from the broker or paid to the broker each day, based on
the daily fluctuation in the market value of the contract. These receipts or
payments are known as “variation margin” and are recorded daily by the Fund as
unrealized gains or losses until the contracts are closed. When the contracts
are closed, the Fund records a realized gain or loss equal to the difference
between the value of the contract at the time it was opened and the value at the
time it was closed. Risks of entering into futures contracts include potential
imperfect correlation between the futures contracts and the underlying
securities and the possibility of an illiquid secondary market for these
instruments. When investing in futures, there is minimal counterparty credit
risk to a Fund because futures are exchange-traded and the exchange's clearinghouse, as counterparty to
all exchange-traded futures, guarantees against default. There were no financial
futures contracts outstanding at February 28, 2010.
Swap
Contracts
The
Fund may enter into interest rate swap contracts, index swap contracts and CDS
contracts in the normal course of pursuing its investment objective. The Fund
may use interest rate swaps to adjust the Fund's sensitivity to interest rates
or to hedge against changes in interest rates. Index swaps may be used to gain
exposure to markets that the Fund invests in, such as the corporate bond market.
The Fund may also use index swaps as a substitute for futures or options
contracts if such contracts are not directly available to the Fund on favorable
terms. The Fund may enter into CDS contracts in order to hedge against a credit
event, to enhance total return or to gain exposure to certain securities or
markets.
Interest Rate Swaps.
An interest rate swap contract is an exchange of interest rates between
counterparties. In one instance, an interest rate swap involves payments
received by the Fund from another party based on a variable or floating interest
rate, in return for making payments based on a fixed interest rate. An interest
rate swap can also work in reverse with the Fund receiving payments based on a
fixed interest rate and making payments based on a variable or floating interest
rate. Interest rate swaps may be used to adjust the Fund's sensitivity to
interest rates or to hedge against changes in interest rates. Periodic payments
on such contracts are accrued daily and recorded as unrealized
appreciation/depreciation on swap contracts. Upon periodic payment/receipt or
termination of the contract, such amounts are recorded as realized gains or
losses on swap contracts. The Fund's maximum risk of loss from counterparty
credit risk is the discounted net value of the cash flows to be received
from/paid to the counterparty over the interest rate swap contract's remaining
life, to the extent that the amount is positive. This risk is mitigated by
having a netting arrangement between the Fund and the counterparty and by the
posting of collateral by the counterparty to the Fund to cover the Fund's
exposure to the counterparty.
Index Swaps. Index
swaps involve commitments to pay interest in exchange for a market linked return
based on a notional amount. To the extent the total return of the security,
instrument or basket of instruments underlying the transaction exceeds the
offsetting interest obligation, the Fund will receive a payment from the
counterparty. To the extent the total return of the security, instrument or
basket of instruments underlying the transaction falls short of the offsetting
interest obligation, the Fund will make a payment to the counterparty. The
change in value of swap contracts outstanding, if any, is recorded as unrealized
appreciation or depreciation daily. A realized gain or loss is recorded on
maturity or termination of the swap contract. The Fund's maximum risk of loss from
counterparty credit risk is the discounted net value of the cash flows to be
received from/paid to the counterparty over the index swap contract's remaining
life, to the extent that the amount is positive. This risk is mitigated by
having a netting arrangement between the Fund and the counterparty and by the
posting of collateral by the counterparty to the Fund to cover the Fund's
exposure to the counterparty.
Credit Default Swaps.
A CDS contract is a risk-transfer instrument through which one party (purchaser
of protection) transfers to another party (seller of protection) the financial
risk of a credit event (as defined in the CDS agreement), as it relates to a
particular reference security or basket of securities (such as an index). In
exchange for the protection offered by the seller of protection, the purchaser
of protection agrees to pay the seller of protection a periodic amount at a
stated rate that is applied to the notional amount of the CDS contract. In
addition, an upfront payment may be made or received by the Fund in connection
with an unwinding or assignment of a CDS contract. Upon the occurrence of a
credit event, the seller of protection would pay the par (or other agreed-upon)
value of the referenced security (or basket of securities) to the counterparty.
Credit events generally include, among others, bankruptcy, failure to pay, and
obligation default.
During the period
ended February 28, 2010, the Fund entered into CDS contracts as a purchaser and
seller of protection. Periodic payments (receipts) on such contracts are accrued
daily and recorded as unrealized losses (gains) on swap contracts. Upon payment
(receipt), such amounts are recorded as realized losses (gains) on swap
contracts. Upfront payments made or received in connection with CDS contracts
are amortized over the expected life of the CDS contracts as unrealized losses
(gains) on swap contracts. The change in value of CDS contracts is recorded as
unrealized appreciation or depreciation daily. A realized gain or loss is
recorded upon a credit event (as defined in the CDS agreement) or the maturity
or termination of the agreement. At February 28, 2010, the aggregate unrealized
depreciation of credit default swaps was $2,833. The Fund had posted $300,000 as
collateral, net of collateral received, for certain open derivatives. If a
credit event had occurred for all swap transactions as of February 28, 2010, the
swaps’ credit-risk-related contingent features would have been triggered and the
Fund would have been required to pay $80,000 less the value of the contracts’
related reference obligations.
As disclosed in the
footnotes to the schedule of investments, at February 28, 2010, the notional
value of the protection sold was $220,000, which reflects the maximum potential
amount the Fund would have been required to make as a seller of credit
protection if a credit event had occurred. The quoted market prices and
resulting market values for credit default swap agreements on securities and
credit indices serve as an indicator of the current status of the
payment/performance risk and represent the likelihood of an expected liability
(or profit) for the credit derivative if the swap agreement has been closed/sold
as of the period end. Increasing market values, in absolute terms when compared
to the notional amount of the swap, represent a deterioration of the reference
entity’s credit soundness and a greater likelihood of risk of default or other
credit event occurring as defined under the terms of the agreement. At February
28, 2010, the net unrealized depreciation of the protection sold was
$1,800.
Credit default swaps
may involve greater risks than if the Fund had invested in the reference
obligation directly. Credit default swaps are subject to general market risk,
liquidity risk, counterparty risk and credit risk. The Fund’s maximum risk of
loss from counterparty credit risk, either as the seller of protection or the
buyer of protection, is the fair value of the contract. This risk is mitigated
by having a netting arrangement between the Fund and the counterparty and by the
posting of collateral by the counterparty to the Fund to cover the Fund’s
exposure to the counterparty.
Swaps Generally.
Because there is no organized market for swap contracts, the value of open swaps
may differ from that which would be realized in the event the Fund terminated
its position in the agreement. Risks of entering into these contracts include
the potential inability of the counterparty to meet the terms of the contracts.
This type of risk is generally limited to the amount of favorable movement in
the value of the underlying security, instrument or basket of instruments, if
any, at the day of default. Risks also arise from potential losses from adverse
market movements and such losses could exceed the unrealized amounts shown on
the schedule of investments.
Fair values of
derivative instruments as of February 28, 2010 were as follows:
|
|
Asset Derivatives |
|
Liability
Derivatives |
|
|
|
|
|
|
|
Schedule of Investments |
|
|
|
|
Schedule of Investments |
|
|
|
|
|
Location |
|
Fair Value |
|
Location |
|
Fair Value |
Foreign exchange contracts |
|
Receivables and other |
|
|
|
|
Liabilities net of receivables |
|
|
|
(Forward Currency Contracts) |
|
assets net of liabilities |
|
$ |
12 |
|
and other assets |
|
$ |
- |
|
|
|
|
|
|
|
|
|
|
|
|
|
Receivables and other |
|
|
|
|
Liabilities net of receivables |
|
|
|
Credit contracts (Swaps) |
|
assets net of liabilities |
|
|
2,562 |
|
and other assets |
|
|
315 |
|
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
$ |
2,574 |
|
|
|
$ |
315 |
The effect of
derivative instruments on the statement of operations for the period ended
February 28, 2010 was as follows:
|
|
Location of Gain or |
|
Realized Loss on |
|
Change in Unrealized |
|
|
Loss on Derivatives |
|
Derivatives |
|
Appreciation on
Derivatives |
|
|
Recognized in Income |
|
Recognized in Income |
|
Recognized in Income |
|
|
Net realized loss on |
|
|
|
|
|
|
|
|
|
foreign currencies and |
|
|
|
|
|
|
|
|
|
net change in unrealized |
|
|
|
|
|
|
|
|
|
appreciation/depreciation |
|
|
|
|
|
|
|
Foreign exchange contracts |
|
of investments and |
|
|
|
|
|
|
|
(Forward Currency Contracts) |
|
foreign currencies |
|
$ |
(29,053 |
) |
|
$ |
12 |
|
|
|
|
|
|
|
|
|
|
|
|
Net realized loss on |
|
|
|
|
|
|
|
|
|
swap contracts and net |
|
|
|
|
|
|
|
|
|
change in unrealized |
|
|
|
|
|
|
|
|
|
appreciation/deprecation |
|
|
|
|
|
|
|
|
|
of investments and |
|
|
|
|
|
|
|
Credit contracts (Swaps) |
|
foreign currencies |
|
|
(36 |
) |
|
|
1,287 |
|
|
|
|
|
|
|
|
|
|
Total |
|
|
|
$ |
(29,089 |
) |
|
$ |
1,299 |
5. Securities Lending
The Fund, along with other funds in the
Delaware Investments® Family of Funds, may
lend its securities pursuant to a security lending agreement (Lending Agreement)
with BNY Mellon. With respect to each loan, if the aggregate market value of
securities collateral held plus cash collateral received on any business day is
less than the aggregate market value of the securities which are the subject of
such loan, the borrower will be notified to provide additional collateral not
less than the applicable collateral requirements. Cash collateral received is
generally invested in the BNY Mellon Securities Lending Overnight Fund
(Collective Trust) established by BNY Mellon for the purpose of investment on
behalf of clients participating in its securities lending programs. The
Collective Trust may only hold cash and high quality assets with a maturity of
one business day or less (Cash/Overnight Assets). The Fund also has cash
collateral invested in the BNY Mellon SL DBT II Liquidating Fund (Liquidating
Fund), which generally holds the portfolio securities of the Fund’s previous
cash collateral pool other than its Cash/Overnight Assets. The Liquidating Fund
invests in fixed income securities, with a weighted average maturity not to
exceed 90 days, rated in one of the top three tiers by Standard & Poor’s
Ratings (S&P) Group or Moody’s Investors Service, Inc.(Moody’s) or
repurchase agreements collateralized by such securities. The Fund will not make
additional investments of cash collateral in the Liquidating Fund; the Fund’s
exposure to the Liquidating Fund is expected to decrease as the Liquidating
Fund’s assets mature or are sold. Both the Collective Trust and the Liquidating
Fund seek to maintain a net asset value per unit of $1.00, but there can be no
assurance that they will always be able to do so. The Fund may incur investment
losses as a result of investing securities lending collateral in the Collective
Trust and the Liquidating Fund. This could occur if an investment in the
Collective Trust or the Liquidating Fund defaulted or if it were necessary to
liquidate assets in the Collective Trust or the Liquidating Fund to meet returns
on outstanding security loans at a time when their net asset value per unit was
less than $1.00. Under those circumstances, the Fund may not receive an amount
from the Collective Trust or the Liquidating Fund that is equal in amount to the
collateral the Fund would be required to return to the borrower of the
securities and the Fund would be required to make up for this shortfall. In
October 2008, BNY Mellon transferred certain distressed securities from the
Collective Trust into the Mellon GSL Reinvestment Trust II. The Fund can also
accept U.S. government securities and letters of credit (non-cash collateral) in
connection with securities loans. In the event of default or bankruptcy by the
lending agent, realization and/or retention of the collateral may be subject to
legal proceedings. In the event the borrower fails to return loaned securities
and the collateral received is
insufficient to cover the value of the loaned securities and provided such
collateral shortfall is not the result of investment losses, the lending agent
has agreed to pay the amount of the shortfall to the Fund, or at the discretion
of the lending agent, replace the loaned securities. The Fund continues to
record dividends or interest, as applicable, on the securities loaned and is
subject to change in value of the securities loaned that may occur during the
term of the loan. The Fund has the right under the Lending Agreement to recover
the securities from the borrower on demand. With respect to security loans
collateralized by non-cash collateral, the Fund receives loan premiums paid by
the borrower. With respect to security loans collateralized by cash collateral,
the earnings from the collateral investments are shared among the Fund, the
security lending agent and the borrower. The Fund records security lending
income net of allocations to the security lending agent and the borrower.
At February 28, 2010,
the value of securities on loan was $13,448,897, for which the Fund received
collateral, comprised of securities collateral valued at $26,416, and cash
collateral of $13,895,888. At February 28, 2010, the value of invested
collateral was $13,556,747. Investments purchased with cash collateral are
presented on the schedule of investments under the caption “Securities Lending
Collateral.”
6. Credit and Market
Risk
The Fund borrows
through its line of credit for purposes of leveraging. Leveraging may result in
higher degrees of volatility because the Fund’s net asset value could be subject
to fluctuations in short-term interest rates and changes in market value of
portfolio securities attributable to the leverage.
Some countries in
which the Fund may invest require governmental approval for the repatriation of
investment income, capital or the proceeds of sales of securities by foreign
investors. In addition, if there is deterioration in a country’s balance of
payments or for other reasons, a country may impose temporary restrictions on
foreign capital remittances abroad.
The securities
exchanges of certain foreign markets are substantially smaller, less liquid and
more volatile than the major securities markets in the United States.
Consequently, acquisition and disposition of securities by the Fund may be
inhibited. In addition, a significant portion of the aggregate market value of
equity securities listed on the major securities exchanges in emerging markets
is held by a smaller number of investors. This may limit the number of shares
available for acquisition or disposition by the Fund.
The Fund invests a
portion of its assets in high yield fixed income securities, which carry ratings
of BB or lower by S&P and/or Ba or lower by Moody’s. Investments in these
higher yielding securities are generally accompanied by a greater degree of
credit risk than higher rated securities. Additionally, lower rated securities
may be more susceptible to adverse economic and competitive industry conditions
than investment grade securities.
The Fund invests in
fixed income securities whose value is derived from an underlying pool of
mortgages or consumer loans. The value of these securities is sensitive to
changes in economic conditions, including delinquencies and/or defaults, and may
be adversely affected by shifts in the market’s perception of the issuers and
changes in interest rates.
Investors receive
principal and interest payments as the underlying mortgages and consumer loans
are paid back. Some of these securities are collateralized mortgage obligations
(CMOs). CMOs are debt securities issued by U.S. government agencies or by
financial institutions and other mortgage lenders, which are collateralized by a
pool of mortgages held under an indenture. Prepayment of mortgages may shorten
the stated maturity of the obligations and can result in a loss of premium, if
any has been paid. Certain of these securities may be stripped (securities which
provide only the principal or interest feature of the underlying security). The
yield to maturity on an interest-only CMO is extremely sensitive not only to
changes in prevailing interest rates, but also to the rate of principal payments
(including prepayments) on the related underlying mortgage assets. A rapid rate
of principal payments may have a material adverse effect on each Fund’s yield to
maturity. If the underlying mortgage assets experience greater than anticipated
prepayments of principal, each Fund may fail to fully recoup its initial
investment in these securities even if the securities are rated in the highest
rating categories.
The Fund invests in
REITs and is subject to some of the risks associated with that industry. If the
Fund holds real estate directly as a result of defaults or receives rental
income directly from real estate holdings, its tax status as a regulated
investment company may be jeopardized. There were no direct real estate holdings
during the period ended February 28, 2010. The Fund's REIT holdings are also
affected by interest rate changes, particularly if the REITs it holds use
floating rate debt to finance their ongoing operations.
The Fund may invest
up to 10% of its net assets in illiquid securities, which may include securities
with contractual restrictions on resale, securities exempt from registration
under Rule 144A of the Securities Act of 1933, as amended, and other securities
which may not be readily marketable. The relative illiquidity of these
securities may impair the Fund from disposing of them in a timely manner and at
a fair price when it is necessary or desirable to do so. While maintaining
oversight, the Fund’s Board has delegated to Delaware Management Company (DMC),
a series of Delaware Management Business Trust, the day-to-day functions of
determining whether individual securities are liquid for purposes of the Fund’s
limitation on investments in illiquid assets. Securities eligible for resale
pursuant to Rule 144A, which are determined to be liquid, are not subject to the
Fund’s 10% limit on investments in illiquid securities. Rule 144A and illiquid
securities have been identified on the schedule of investments.
7. Sale of Delaware Investments to Macquarie
Group
On August 18,
2009, Lincoln National Corporation (former parent company of Delaware
Investments) and Macquarie Group (Macquarie) entered into an agreement pursuant
to which Delaware Investments, including DMC and Delaware Service Company, Inc.
(DSC), would be acquired by Macquarie, an Australia-based global provider of
banking, financial, advisory, investment and funds management services
(Transaction). The Transaction was completed on January 4, 2010. DMC and DSC are
now wholly owned subsidiaries of Macquarie.
The Transaction
resulted in a change of control of DMC which, in turn, caused the termination of
the investment advisory agreement between DMC and the Fund. On January 4, 2010,
the new investment advisory agreement between DMC and the Fund that was approved
by the shareholders became effective.
8. Subsequent Event
Management has evaluated whether any events or
transactions occurred subsequent to February 28, 2010 through April 26, 2010,
the date of issuance of the Fund’s schedule of investments, and determined that
there were no material events or transactions that would require recognition or
disclosure in the Fund’s schedule of investments.
Item 2. Controls and
Procedures.
The registrant’s principal executive officer
and principal financial officer have evaluated the registrant’s disclosure
controls and procedures within 90 days of the filing of this report and have
concluded that they are effective in providing reasonable assurance that the
information required to be disclosed by the registrant in its reports or
statements filed under the Securities Exchange Act of 1934 is recorded,
processed, summarized and reported within the time periods specified in the
rules and forms of the Securities and Exchange Commission.
There were no significant changes in
the registrant’s internal control over financial reporting that occurred during
the registrant’s last fiscal quarter that have materially affected, or are
reasonably likely to materially affect, the registrant’s internal control over
financial reporting.
Item 3. Exhibits.
File as exhibits as part of this Form a
separate certification for each principal executive officer and principal
financial officer of the registrant as required by Rule 30a-2(a) under the Act
(17 CFR 270.30a-2(a)), exactly as set forth below: