Semiannual Report | Delaware Enhanced Global Dividend and Income Fund |
May 31, 2010 | |
The figures in the semiannual report for Delaware Enhanced
Global Dividend and Income Fund represent past results, which are not a
guarantee of future results. A rise or fall in interest rates can have a
significant impact on bond prices. Funds that invest in bonds can lose
their value as interest rates rise.
|
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Closed-end fund | |
> Security type and country allocations | 1 |
> Statement of net assets | 3 |
> Statement of operations | 19 |
> Statements of changes in net assets | 20 |
> Statement of cash flows | 21 |
> Financial highlights | 22 |
> Notes to financial statements | 23 |
> Other Fund information | 30 |
> About the organization | 33 |
Percentage | |||
Security Type | of Net Assets | ||
Common Stock | 51.50 | % | |
Consumer Discretionary | 7.87 | % | |
Consumer Staples | 4.45 | % | |
Diversified REITs | 1.10 | % | |
Energy | 4.54 | % | |
Financials | 7.41 | % | |
Health Care | 4.00 | % | |
Health Care REITs | 0.13 | % | |
Industrial REITs | 0.39 | % | |
Industrials | 6.66 | % | |
Information Technology | 4.86 | % | |
Malls REITs | 0.47 | % | |
Manufactured Housing REITs | 0.08 | % | |
Materials | 2.80 | % | |
Mortgage REITs | 0.10 | % | |
Multifamily REITs | 0.12 | % | |
Office REITs | 0.48 | % | |
Real Estate Management & Development | 0.38 | % | |
Shopping Center REITs | 0.55 | % | |
Single Tenant REITs | 0.14 | % | |
Telecommunications | 2.37 | % | |
Utilities | 2.60 | % | |
Convertible Preferred Stock | 1.25 | % | |
Agency Collateralized Mortgage Obligations | 0.34 | % | |
Agency Mortgage-Backed Securities | 2.33 | % | |
Commercial Mortgage-Backed Securities | 2.53 | % | |
Convertible Bonds | 10.78 | % | |
Aerospace & Defense | 0.33 | % | |
Automobiles & Automotive Parts | 0.21 | % | |
Banking, Finance & Insurance | 0.40 | % | |
Basic Materials | 1.24 | % | |
Building & Materials | 0.06 | % | |
Computers & Technology | 2.18 | % | |
Energy | 0.66 | % | |
Health Care & Pharmaceuticals | 1.94 | % | |
Leisure, Lodging & Entertainment | 0.70 | % | |
Real Estate | 0.48 | % | |
Telecommunications | 2.36 | % | |
Transportation | 0.22 | % | |
Corporate Bonds | 31.44 | % | |
Banking | 1.87 | % | |
Basic Industry | 3.14 | % | |
Brokerage | 1.05 | % | |
Capital Goods | 1.87 | % | |
Consumer Cyclical | 2.20 | % | |
Consumer Non-Cyclical | 1.74 | % | |
Energy | 6.47 | % | |
Finance & Investments | 1.25 | % | |
Media | 2.39 | % | |
Real Estate | 0.15 | % | |
Services Cyclical | 1.96 | % | |
Services Non-Cyclical | 1.60 | % | |
Technology | 0.79 | % | |
Telecommunications | 3.63 | % | |
Utilities | 1.33 | % | |
Non-Agency Asset-Backed Securities | 0.43 | % | |
Non-Agency Collateralized Mortgage Obligations | 0.38 | % | |
Senior Secured Loans | 0.45 | % | |
Sovereign Debt | 6.69 | % | |
Supranational Banks | 4.46 | % | |
U.S. Treasury Obligations | 0.35 | % | |
Leveraged Non-Recourse Security | 0.00 | % | |
Exchange Traded Fund | 0.01 | % | |
Preferred Stock | 0.25 | % | |
Residual Interest Trust Certificate | 0.00 | % | |
Right | 0.04 | % | |
Discount Note | 7.44 | % | |
Securities Lending Collateral | 10.23 | % | |
Total Value of Securities | 130.90 | % | |
Obligation to Return Securities Lending Collateral | (10.45 | %) | |
Borrowing Under Line of Credit | (26.68 | %) | |
Receivables and Other Assets Net of Liabilities | 6.23 | % | |
Total Net Assets | 100.00 | % |
Percentage | |||
Country | of Net Assets | ||
Australia | 1.43 | % | |
Austria | 0.07 | % | |
Barbados | 1.33 | % | |
Bermuda | 1.09 | % | |
Brazil | 1.26 | % | |
Canada | 3.65 | % | |
Cayman Islands | 0.96 | % | |
China | 0.52 | % | |
Colombia | 0.38 | % | |
Finland | 0.44 | % | |
France | 4.43 | % | |
Germany | 1.53 | % | |
Hong Kong | 2.42 | % | |
Indonesia | 2.92 | % | |
Italy | 1.46 | % | |
Japan | 3.09 | % | |
Liberia | 0.08 | % | |
Luxembourg | 4.75 | % | |
Marshall Islands | 0.10 | % | |
Mexico | 0.56 | % | |
Netherlands | 2.15 | % | |
Pakistan | 1.20 | % | |
Republic of Korea | 0.45 | % | |
Singapore | 0.81 | % | |
Supranational | 4.46 | % | |
South Africa | 0.52 | % | |
Spain | 0.57 | % | |
Sweden | 0.79 | % | |
Switzerland | 0.37 | % | |
Taiwan | 1.00 | % | |
United Kingdom | 2.00 | % | |
United States | 66.44 | % | |
Total | 113.23 | % |
|
Number of | Value | |||
Shares | (U.S. $) | ||||
Common Stock – 51.50%v | |||||
Consumer Discretionary – 7.87% | |||||
* | Autoliv | 11,700 | $ | 555,750 | |
*± | Bayerische Motoren Werke | 19,215 | 879,302 | ||
Comcast Class A | 35,800 | 647,622 | |||
† | DIRECTV Class A | 1,900 | 71,611 | ||
* | Disney (Walt) | 18,000 | 601,560 | ||
*± | Don Quijote | 29,100 | 750,965 | ||
± | Esprit Holdings | 52,932 | 298,732 | ||
Home Depot | 19,200 | 650,112 | |||
* | KB HOME | 17,000 | 246,160 | ||
Lowe’s | 24,900 | 616,275 | |||
Mattel | 29,700 | 643,302 | |||
McGraw-Hill | 19,500 | 542,100 | |||
*± | PPR | 4,857 | 571,666 | ||
*± | Publicis Groupe | 19,411 | 796,816 | ||
± | Round One | 53,382 | 362,441 | ||
Target | 12,200 | 665,266 | |||
± | Techtronic Industries | 858,500 | 746,781 | ||
± | Toyota Motor | 21,184 | 766,961 | ||
*± | Vivendi | 35,235 | 757,781 | ||
*± | Yue Yuen Industrial Holdings | 210,000 | 635,366 | ||
11,806,569 | |||||
Consumer Staples – 4.45% | |||||
Archer-Daniels-Midland | 19,300 | 487,711 | |||
± | Chaoda Modern | ||||
Agriculture Holdings | 988,000 | 949,271 | |||
± | Coca-Cola Amatil | 77,328 | 706,702 | ||
CVS Caremark | 18,400 | 637,192 | |||
± | Greggs | 85,308 | 552,353 | ||
Kimberly-Clark | 9,200 | 558,440 | |||
Kraft Foods Class A | 21,700 | 620,620 | |||
*± | Metro | 13,914 | 727,451 | ||
± | Parmalat | 342,883 | 819,748 | ||
* | Safeway | 27,800 | 615,492 | ||
6,674,980 | |||||
Diversified REITs – 1.10% | |||||
± | Corio | 2,648 | 125,405 | ||
* | Digital Realty Trust | 4,400 | 250,404 | ||
* | Duke Realty | 8,600 | 102,168 | ||
Entertainment Properties Trust | 8,236 | 337,182 | |||
± | Goodman Group | 247,237 | 128,304 | ||
* | Investors Real Estate Trust | 10,260 | 89,570 | ||
Lexington Reality Trust | 28,070 | 174,315 | |||
± | Stockland | 70,059 | 227,230 | ||
*± | Unibail-Rodamco | 1,399 | 213,133 | ||
1,647,711 | |||||
Energy – 4.54% | |||||
* | Anadarko Petroleum | 9,500 | 497,135 | ||
Chevron | 7,700 | 568,799 | |||
± | CNOOC | 571,000 | 881,045 | ||
ConocoPhillips | 11,700 | 606,762 | |||
Devon Energy | 8,300 | 529,955 | |||
Exxon Mobil | 8,600 | 519,956 | |||
Marathon Oil | 18,800 | 584,492 | |||
National Oilwell Varco | 13,500 | 514,755 | |||
Occidental Petroleum | 7,300 | 602,323 | |||
Petroleo Brasiliero ADR | 21,300 | 659,661 | |||
*± | Total | 6,572 | 304,445 | ||
Williams | 27,400 | 541,150 | |||
6,810,478 | |||||
Financials – 7.41% | |||||
Allstate | 20,000 | 612,600 | |||
*± | AXA | 29,912 | 486,618 | ||
± | Banco Santander | 75,771 | 762,377 | ||
Bank of New York Mellon | 21,500 | 584,800 | |||
BB&T | 23,000 | 695,520 | |||
Comerica | 20,100 | 765,810 | |||
* | Fifth Street Finance | 26,754 | 305,263 | ||
JPMorgan Chase | 14,100 | 558,078 | |||
Marsh & McLennan | 27,100 | 591,051 | |||
± | Mitsubishi UFJ Financial Group | 162,789 | 788,204 | ||
± | Nordea Bank | 77,142 | 628,553 | ||
Solar Capital | 43,539 | 929,123 | |||
†± | Standard Chartered | 33,184 | 780,576 | ||
State Street | 13,500 | 515,295 | |||
SunTrust Banks | 28,400 | 765,380 | |||
Travelers | 12,100 | 598,587 | |||
*± | UniCredit | 358,620 | 743,944 | ||
11,111,779 | |||||
Health Care – 4.00% | |||||
Abbott Laboratories | 10,900 | 518,404 | |||
*† | Alliance Health Care Services | 6,522 | 36,262 | ||
†± | AstraZeneca | 7,735 | 325,012 | ||
Bristol-Myers Squibb | 22,700 | 526,867 | |||
Cardinal Health | 18,200 | 627,718 | |||
Johnson & Johnson | 9,200 | 536,360 | |||
Merck | 16,100 | 542,409 | |||
± | Novartis | 10,978 | 494,934 | ||
†± | Pace | 217,944 | 764,542 | ||
Pfizer | 31,844 | 484,984 | |||
Quest Diagnostics | 9,500 | 501,125 | |||
*± | Sanofi-Aventis | 10,587 | 633,716 | ||
5,992,333 | |||||
Health Care REITs – 0.13% | |||||
Cogdell Spencer | 15,000 | 100,650 | |||
Nationwide Health Properties | 2,800 | 99,372 | |||
200,022 | |||||
Industrial REITs – 0.39% | |||||
± | Cambridge Industrial Trust | 1,170,000 | 396,106 | ||
* | DCT Industrial Trust | 16,877 | 81,685 | ||
± | ING Industrial Fund | 307,371 | 100,416 | ||
578,207 |
Number of | Value | ||||
Shares | (U.S. $) | ||||
Common Stock (continued) | |||||
Industrials – 6.66% | |||||
± | Asahi Glass | 87,000 | $ | 912,761 | |
*± | Compagnie de Saint-Gobain | 12,981 | 492,691 | ||
± | Deutsche Post | 46,188 | 685,783 | ||
*± | Finmeccanica | 60,549 | 628,305 | ||
† | Flextronics International | 6,400 | 41,984 | ||
Fluor | 12,300 | 577,116 | |||
General Electric | 34,300 | 560,805 | |||
Honeywell International | 13,200 | 564,564 | |||
± | ITOCHU | 98,398 | 810,293 | ||
± | Koninklijke Philips Electronics | 23,613 | 700,061 | ||
*† | Mobile Mini | 2,394 | 38,304 | ||
Northrop Grumman | 9,200 | 556,508 | |||
* | Pitney Bowes | 24,700 | 559,208 | ||
± | Singapore Airlines | 76,000 | 768,422 | ||
± | Teleperformance | 28,050 | 771,519 | ||
*± | Vallourec | 4,034 | 738,765 | ||
* | Waste Management | 18,000 | 585,180 | ||
9,992,269 | |||||
Information Technology – 4.86% | |||||
† | CGI Group Class A | 110,615 | 1,728,688 | ||
† | EMC | 52,500 | 977,550 | ||
± | HTC | 62,000 | 837,231 | ||
Intel | 29,600 | 634,032 | |||
International Business Machines | 4,600 | 576,196 | |||
† | Motorola | 73,200 | 501,420 | ||
± | Nokia | 65,219 | 655,138 | ||
*† | Sohu.com | 16,500 | 729,300 | ||
* | Xerox | 69,100 | 643,321 | ||
7,282,876 | |||||
Malls REITs – 0.47% | |||||
Simon Property Group | 8,264 | 702,688 | |||
702,688 | |||||
Manufactured Housing REITs – 0.08% | |||||
* | Equity Lifestyle Properties | 2,300 | 119,140 | ||
119,140 | |||||
Materials – 2.80% | |||||
Agrium | 5,800 | 318,362 | |||
*± | ArcelorMittal | 13,776 | 415,803 | ||
Dow Chemical | 22,000 | 592,020 | |||
duPont (E.I.) deNemours | 18,100 | 654,677 | |||
*± | Lafarge | 11,521 | 656,998 | ||
* | Nucor | 13,100 | 563,955 | ||
± | Rexam | 65,006 | 293,731 | ||
* | Vale ADR | 25,900 | 704,221 | ||
4,199,767 | |||||
Mortgage REITs – 0.10% | |||||
Chimera Investment | 12,100 | 47,674 | |||
Cypress Sharpridge Investments | 8,200 | 107,338 | |||
155,012 | |||||
Multifamily REITs – 0.12% | |||||
* | Camden Property Trust | 3,900 | 177,996 | ||
177,996 | |||||
Office REITs – 0.48% | |||||
* | Government Properties | ||||
Income Trust | 3,852 | 102,540 | |||
Mack-Cali Realty | 8,300 | 273,734 | |||
± | Orix REIT | 17 | 74,249 | ||
* | Parkway Properties | 3,500 | 58,975 | ||
SL Green Realty | 3,300 | 205,557 | |||
715,055 | |||||
Real Estate Management & Development – 0.38% | |||||
± | Mitsubishi Estate | 10,549 | 161,888 | ||
± | Renhe Commercial Holdings | 198,000 | 42,866 | ||
± | Shimao Property Holdings | 25,500 | 37,188 | ||
Starwood Property Trust | 17,700 | 322,672 | |||
564,614 | |||||
Shopping Center REITs – 0.55% | |||||
± | Charter Hall Retail REIT | 355,587 | 156,868 | ||
* | Kimco Realty | 8,157 | 116,645 | ||
*± | Link REIT | 33,000 | 78,599 | ||
* | Ramco-Gershenson | ||||
Properties Trust | 13,783 | 148,994 | |||
* | Regency Centers | 3,900 | 143,325 | ||
± | Westfield Group | 16,989 | 182,483 | ||
826,914 | |||||
Single Tenant REITs – 0.14% | |||||
* | National Retail Properties | 9,337 | 205,227 | ||
205,227 | |||||
Telecommunications – 2.37% | |||||
AT&T | 21,300 | 517,590 | |||
Chunghwa Telecom ADR | 35,001 | 667,119 | |||
* | Frontier Communications | 25,700 | 204,315 | ||
† | GeoEye | 500 | 15,885 | ||
± | Telstra | 128,729 | 320,484 | ||
* | TELUS | 26,384 | 964,773 | ||
Verizon Communications | 17,900 | 492,608 | |||
± | Vodafone Group | 188,736 | 373,817 | ||
3,556,591 | |||||
Utilities – 2.60% | |||||
American Electric Power | 17,000 | 543,320 | |||
Duke Energy | 34,400 | 549,024 | |||
Edison International | 16,800 | 543,648 | |||
± | National Grid | 79,634 | 574,864 | ||
NorthWestern | 3,800 | 100,092 | |||
Progress Energy | 14,400 | 555,696 | |||
Public Service | |||||
Enterprise Group | 17,800 | 545,214 | |||
Sempra Energy | 10,600 | 487,600 | |||
3,899,458 | |||||
Total Common Stock (cost $89,722,883) | 77,219,686 |
Number of | Value | ||||||
Shares | (U.S. $) | ||||||
Convertible Preferred Stock – 1.25% | |||||||
Banking, Finance & Insurance – 0.13% | |||||||
Citigroup 7.50% | |||||||
exercise price $3.94, | |||||||
expiration date 12/15/12 | 1,400 | $ | 167,496 | ||||
@† | Fannie Mae 8.75% | ||||||
exercise price $32.45, | |||||||
expiration date 5/13/11 | 20,000 | 30,200 | |||||
197,696 | |||||||
Energy – 0.21% | |||||||
Whiting Petroleum 6.25% | |||||||
exercise price $43.42, | |||||||
expiration date 12/31/49 | 1,500 | 310,110 | |||||
310,110 | |||||||
Health Care & Pharmaceuticals – 0.40% | |||||||
Merck 6.00% | |||||||
exercise price $52.85, | |||||||
expiration date 8/13/10 | 22 | 5,454 | |||||
Mylan 6.50% | |||||||
exercise price $17.08, | |||||||
expiration date 11/15/10 | 505 | 594,132 | |||||
599,586 | |||||||
Telecommunications – 0.51% | |||||||
Lucent Technologies | |||||||
Capital Trust I 7.75% | |||||||
exercise price $24.80, | |||||||
expiration date 3/15/17 | 1,000 | 760,250 | |||||
760,250 | |||||||
Total Convertible Preferred Stock | |||||||
(cost $2,859,914) | 1,867,642 | ||||||
Principal | |||||||
Amount° | |||||||
Agency Collateralized Mortgage Obligations – 0.34% | |||||||
Fannie Mae REMICs | |||||||
Series 2001-50 BA | |||||||
7.00% 10/25/41 | USD | 167,532 | 187,321 | ||||
Series 2003-122 | |||||||
4.50% 2/25/28 | 90,811 | 94,251 | |||||
Freddie Mac REMICs | |||||||
Series 2557 WE | |||||||
5.00% 1/15/18 | 60,000 | 64,971 | |||||
Series 3094 US | |||||||
6.75% 9/15/34 | 23,873 | 23,774 | |||||
Series 3131 MC | |||||||
5.50% 4/15/33 | 40,000 | 43,417 | |||||
Series 3173 PE | |||||||
6.00% 4/15/35 | 65,000 | 71,532 | |||||
Series 3337 PB | |||||||
5.50% 7/15/30 | 25,000 | 26,166 | |||||
Total Agency Collateralized | |||||||
Mortgage Obligations | |||||||
(cost $471,499) | 511,432 | ||||||
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Agency Mortgage-Backed Securities – 2.33% | |||||||
· | Fannie Mae ARM | ||||||
4.952% 3/1/38 | USD | 49,866 | 52,703 | ||||
5.14% 11/1/35 | 26,058 | 27,596 | |||||
5.352% 4/1/36 | 32,470 | 34,056 | |||||
5.946% 10/1/36 | 15,188 | 16,142 | |||||
6.013% 10/1/36 | 27,439 | 29,098 | |||||
6.2130% 4/1/36 | 100,701 | 107,704 | |||||
Fannie Mae S.F. 15 yr | |||||||
5.50% 1/1/23 | 60,114 | 64,642 | |||||
Fannie Mae S.F. 15 yr TBA | |||||||
4.00% 6/1/25 | 500,000 | 512,735 | |||||
Fannie Mae S.F. 30 yr | |||||||
5.00% 12/1/36 | 206,300 | 216,711 | |||||
5.00% 12/1/37 | 26,738 | 28,015 | |||||
5.00% 2/1/38 | 19,911 | 20,862 | |||||
6.50% 6/1/36 | 40,534 | 44,225 | |||||
6.50% 10/1/36 | 31,572 | 34,447 | |||||
6.50% 12/1/37 | 45,621 | 49,704 | |||||
Freddie Mac | |||||||
6.00% 1/1/17 | 67,806 | 70,811 | |||||
· | Freddie Mac ARM | ||||||
5.68% 7/1/36 | 19,755 | 20,810 | |||||
5.789% 10/1/36 | 48,827 | 51,680 | |||||
Freddie Mac S.F. 15 yr | |||||||
5.00% 6/1/18 | 22,142 | 23,757 | |||||
5.00% 12/1/22 | 133,386 | 142,328 | |||||
Freddie Mac S.F. 30 yr | |||||||
5.00% 1/1/34 | 1,023,361 | 1,080,325 | |||||
7.00% 11/1/33 | 56,843 | 63,353 | |||||
9.00% 9/1/30 | 56,104 | 65,629 | |||||
GNMA I S.F. 30 yr | |||||||
7.50% 12/15/23 | 113,637 | 128,353 | |||||
7.50% 1/15/32 | 85,882 | 97,859 | |||||
9.50% 9/15/17 | 78,017 | 88,785 | |||||
12.00% 5/15/15 | 54,149 | 61,633 | |||||
GNMA II S.F. 30 yr | |||||||
6.00% 11/20/28 | 100,072 | 110,273 | |||||
6.50% 2/20/30 | 221,921 | 246,995 | |||||
Total Agency Mortgage-Backed | |||||||
Securities (cost $3,253,959) | 3,491,231 | ||||||
Commercial Mortgage-Backed Securities – 2.53% | |||||||
# | American Tower Trust 144A | ||||||
Series 2007-1A AFX | |||||||
5.42% 4/15/37 | 75,000 | 79,956 | |||||
Series 2007-1A D | |||||||
5.957% 4/15/37 | 25,000 | 26,315 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Commercial Mortgage-Backed Securities (continued) | |||||||
Bank of America Commercial | |||||||
Mortgage Securities | |||||||
·Series 2004-3 A5 | |||||||
5.413% 6/10/39 | USD | 50,000 | $ | 52,391 | |||
Series 2004-5 A3 | |||||||
4.561% 11/10/41 | 475,000 | 484,256 | |||||
Series 2005-1 A3 | |||||||
4.877% 11/10/42 | 55,461 | 55,433 | |||||
·Series 2005-6 A4 | |||||||
5.178% 9/10/47 | 180,000 | 187,466 | |||||
Bear Stearns Commercial | |||||||
Mortgage Securities | |||||||
·Series 2005-PW10 A4 | |||||||
5.405% 12/11/40 | 100,000 | 102,671 | |||||
·Series 2005-T20 A4A | |||||||
5.149% 10/12/42 | 230,000 | 241,135 | |||||
·Series 2006-PW12 A4 | |||||||
5.722% 9/11/38 | 25,000 | 26,008 | |||||
Series 2006-PW14 A4 | |||||||
5.201% 12/11/38 | 60,000 | 59,707 | |||||
Series 2007-PW15 A4 | |||||||
5.331% 2/11/44 | 75,000 | 72,786 | |||||
·Series 2007-T28 A4 | |||||||
5.742% 9/11/42 | 65,000 | 66,645 | |||||
w· | Commercial Mortgage Pass | ||||||
Through Certificates | |||||||
Series 2005-C6 A5A | |||||||
5.116% 6/10/44 | 95,000 | 97,751 | |||||
Goldman Sachs Mortgage | |||||||
Securities II | |||||||
·Series 2004-GG2 A6 | |||||||
5.396% 8/10/38 | 60,000 | 62,503 | |||||
Series 2005-GG4 A4A | |||||||
4.751% 7/10/39 | 420,000 | 428,546 | |||||
·Series 2006-GG6 A4 | |||||||
5.553% 4/10/38 | 60,000 | 59,702 | |||||
· | Greenwich Capital | ||||||
Commercial Funding | |||||||
Series 2004-GG1 A7 | |||||||
5.317% 6/10/36 | 25,000 | 26,223 | |||||
· | JPMorgan Chase | ||||||
Commercial Mortgage | |||||||
Securities | |||||||
Series 2005-LDP3 A4A | |||||||
4.936% 8/15/42 | 35,000 | 35,455 | |||||
· | LB-UBS Commercial | ||||||
Mortgage Trust Series | |||||||
2004-C4 A4 2004-C4 A4 | |||||||
5.263% 6/15/29 | 475,000 | 492,865 | |||||
· | Merrill Lynch/Countrywide | ||||||
Commercial Mortgage | |||||||
Trust Series 2007-7 A4 | |||||||
5.747% 6/12/50 | 150,000 | 143,297 | |||||
Morgan Stanley Capital I | |||||||
Series 2005-IQ9 A4 | |||||||
4.66% 7/15/56 | 350,000 | 359,039 | |||||
·Series 2006-HQ9 A4 | |||||||
5.731% 7/12/44 | 315,000 | 326,575 | |||||
·Series 2007-IQ14 A4 | |||||||
5.692% 4/15/49 | 150,000 | 138,510 | |||||
·Series 2007-T27 A4 | |||||||
5.649% 6/13/42 | 160,000 | 164,221 | |||||
Total Commercial Mortgage-Backed | |||||||
Securities (cost $3,539,187) | 3,789,456 | ||||||
Convertible Bonds – 10.78% | |||||||
Aerospace & Defense – 0.33% | |||||||
L-3 Communications | |||||||
Holdings 3.00% | |||||||
exercise price $100.14, | |||||||
expiration date 8/1/35 | 460,000 | 467,475 | |||||
*# | L-3 Communications | ||||||
Holdings 144A 3.00% | |||||||
exercise price $100.14, | |||||||
expiration date 8/1/35 | 25,000 | 25,406 | |||||
492,881 | |||||||
Automobiles & Automotive Parts – 0.21% | |||||||
ArvinMeritor 4.00% | |||||||
exercise price $26.73, | |||||||
expiration date 2/15/27 | 380,000 | 309,700 | |||||
309,700 | |||||||
Banking, Finance & Insurance – 0.40% | |||||||
Jefferies Group 3.875% | |||||||
exercise price $39.20, | |||||||
expiration date 11/1/29 | 615,000 | 594,244 | |||||
594,244 | |||||||
Basic Materials – 1.24% | |||||||
# | Owens-Brockway Glass | ||||||
Container 144A 3.00% | |||||||
exercise price $47.47, | |||||||
expiration date 5/28/15 | 525,000 | 509,250 | |||||
Rayonier TRS Holdings 3.75% | |||||||
exercise price $54.81, | |||||||
expiration date 10/15/12 | 910,000 | 945,263 | |||||
# | Sino-Forest 144A 5.00% | ||||||
exercise price $20.29, | |||||||
expiration date 8/1/13 | 360,000 | 399,150 | |||||
1,853,663 | |||||||
Building & Materials – 0.06% | |||||||
Beazer Homes USA 4.625% | |||||||
exercise price $49.64, | |||||||
expiration date 6/15/24 | 90,000 | 90,788 | |||||
90,788 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Convertible Bonds (continued) | |||||||
Computers & Technology – 2.18% | |||||||
* | Advanced Micro Devices 6.00% | ||||||
exercise price $28.08, | |||||||
expiration date 5/1/15 | USD | 775,000 | $ | 755,625 | |||
Euronet Worldwide 3.50% | |||||||
exercise price $40.48, | |||||||
expiration date 10/15/25 | 900,000 | 842,625 | |||||
Intel 2.95% exercise price $31.14, | |||||||
expiration date 12/15/35 | 395,000 | 388,581 | |||||
Linear Technology 3.00% | |||||||
exercise price $46.12, | |||||||
expiration date 5/1/27 | 665,000 | 664,169 | |||||
# | Rovi 144A 2.625% | ||||||
exercise price $47.36, | |||||||
expiration date 2/15/40 | 385,000 | 390,775 | |||||
SanDisk 1.00% | |||||||
exercise price $82.35, | |||||||
expiration date 5/15/13 | 245,000 | 221,725 | |||||
3,263,500 | |||||||
Energy – 0.66% | |||||||
Chesapeake Energy 2.25% | |||||||
exercise price $85.89, | |||||||
expiration date 12/15/38 | 750,000 | 546,562 | |||||
* | Peabody Energy 4.75% | ||||||
exercise price $58.45, | |||||||
expiration date 12/15/41 | 245,000 | 246,838 | |||||
Transocean 1.50% | |||||||
exercise price $168.61, | |||||||
expiration date 12/15/37 | 220,000 | 195,525 | |||||
988,925 | |||||||
Health Care & Pharmaceuticals – 1.94% | |||||||
Amgen 0.375% | |||||||
exercise price $79.48, | |||||||
expiration date 2/1/13 | 435,000 | 431,194 | |||||
Φ | Hologic 2.00% | ||||||
exercise price $38.59, | |||||||
expiration date 12/15/37 | 910,000 | 781,462 | |||||
Inverness Medical | |||||||
Innovations 3.00% | |||||||
exercise price $43.98, | |||||||
expiration date 5/15/16 | 530,000 | 535,963 | |||||
LifePoint Hospitals 3.25% | |||||||
exercise price $61.22, | |||||||
expiration date 8/15/25 | 665,000 | 632,581 | |||||
Medtronic 1.625% | |||||||
exercise price $55.41, | |||||||
expiration date 4/15/13 | 525,000 | 534,844 | |||||
2,916,044 | |||||||
Leisure, Lodging & Entertainment – 0.70% | |||||||
# | Gaylord Entertainment | ||||||
144A 3.75%
|
|||||||
exercise price $27.25, | |||||||
expiration date 9/29/14 | 310,000 | 359,213 | |||||
* | International Game | ||||||
Technology 3.25% | |||||||
exercise price $19.97, | |||||||
expiration date 5/1/14 | 540,000 | 652,724 | |||||
Live Nation | |||||||
Entertainment 2.875% | |||||||
exercise price $27.14, | |||||||
expiration date 7/14/27 | 47,000 | 41,008 | |||||
1,052,945 | |||||||
Real Estate – 0.48% | |||||||
*# | Digital Realty Trust 144A 5.50% | ||||||
exercise price $43.00, | |||||||
expiration date 4/15/29 | 380,000 | 531,525 | |||||
# | Lexington Realty Trust | ||||||
144A 6.00% | |||||||
exercise price $7.09, | |||||||
expiration date 1/15/30 | 185,000 | 191,695 | |||||
723,220 | |||||||
Telecommunications – 2.36% | |||||||
Alaska Communications | |||||||
System 5.75% | |||||||
exercise price $12.90, | |||||||
expiration date 3/1/13 | 795,000 | 749,287 | |||||
* | Leap Wireless | ||||||
International 4.50% | |||||||
exercise price $93.21, | |||||||
expiration date 7/15/14 | 790,000 | 666,562 | |||||
Level 3 Communications 5.25% | |||||||
exercise price $3.98, | |||||||
expiration date 12/15/11 | 690,000 | 665,850 | |||||
NII Holdings 3.125% | |||||||
exercise price $118.32, | |||||||
expiration date 6/15/12 | 700,000 | 647,500 | |||||
SBA Communications 4.00% | |||||||
exercise price $30.38, | |||||||
expiration date 10/1/14 | 285,000 | 360,169 | |||||
VeriSign 3.25% | |||||||
exercise price $34.37, | |||||||
expiration date 8/15/37 | 480,000 | 451,200 | |||||
3,540,568 | |||||||
Transportation – 0.22% | |||||||
Bristow Group 3.00% | |||||||
exercise price $77.34, | |||||||
expiration date 6/14/38 | 401,000 | 337,341 | |||||
337,341 | |||||||
Total Convertible Bonds | |||||||
(cost $14,803,588) | 16,163,819 | ||||||
Corporate Bonds – 31.44% | |||||||
Banking – 1.87% | |||||||
Credit Suisse | |||||||
5.40% 1/14/20 | 25,000 | 24,487 | |||||
·# | HBOS Capital Funding | ||||||
144A 6.071% 6/29/49 | 185,000 | 133,200 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
JPMorgan Chase Capital XXV | |||||||
6.80% 10/1/37 | USD | 55,000 | $ | 53,355 | |||
· | Kazkommerts Finance | ||||||
8.625% 7/27/16 | 1,000,000 | 830,000 | |||||
PNC Funding | |||||||
5.125% 2/8/20 | 30,000 | 30,509 | |||||
5.25% 11/15/15 | 60,000 | 64,008 | |||||
5.625% 2/1/17 | 35,000 | 36,585 | |||||
·# | Rabobank Nederland 144A | ||||||
11.00% 12/29/49 | 280,000 | 340,606 | |||||
Regions Financial | |||||||
7.75% 11/10/14 | 40,000 | 42,526 | |||||
# | Russian Agricultural Bank | ||||||
144A 9.00% 6/11/14 | 1,000,000 | 1,110,003 | |||||
· | USB Capital IX | ||||||
6.189% 4/15/49 | 80,000 | 63,200 | |||||
Wachovia 5.625% 10/15/16 | 55,000 | 58,532 | |||||
· | Wells Fargo Capital XIII | ||||||
7.70% 12/29/49 | 5,000 | 4,950 | |||||
Zions Bancorporation | |||||||
5.65% 5/15/14 | 15,000 | 14,046 | |||||
2,806,007 | |||||||
Basic Industry – 3.14% | |||||||
* | AK Steel 7.625% 5/15/20 | 120,000 | 119,100 | ||||
# | Algoma Acquisition 144A | ||||||
9.875% 6/15/15 | 166,000 | 155,210 | |||||
*# | Appleton Papers 144A | ||||||
10.50% 6/15/15 | 125,000 | 114,375 | |||||
ArcelorMittal | |||||||
9.85% 6/1/19 | 5,000 | 6,113 | |||||
Century Aluminum | |||||||
8.00% 5/15/14 | 116,100 | 112,762 | |||||
Cytec Industries | |||||||
8.95% 7/1/17 | 30,000 | 36,901 | |||||
Dow Chemical | |||||||
8.55% 5/15/19 | 25,000 | 29,698 | |||||
# | Essar Steel Algoma 144A | ||||||
9.375% 3/15/15 | 15,000 | 15,450 | |||||
# | Evraz Group 144A | ||||||
8.25% 11/10/15 | 1,000,000 | 967,499 | |||||
# | FMG Finance 144A | ||||||
10.625% 9/1/16 | 248,000 | 274,040 | |||||
Freeport-McMoRan | |||||||
Copper & Gold | |||||||
8.375% 4/1/17 | 65,000 | 70,780 | |||||
* | International Paper | ||||||
9.375% 5/15/19 | 35,000 | 43,988 | |||||
* | Lyondell Chemical | ||||||
11.00% 5/1/18 | 135,000 | 143,775 | |||||
# | MacDermid 144A | ||||||
9.50% 4/15/17 | 351,000 | 353,633 | |||||
Millar Western | |||||||
7.75% 11/15/13 | 75,000 | 66,375 | |||||
* | NewPage | ||||||
11.375% 12/31/14 | 26,000 | 24,440 | |||||
# | NewPage 144A | ||||||
11.375% 12/31/14 | 120,000 | 112,800 | |||||
· | Noranda Aluminium | ||||||
Acquisition PIK | |||||||
5.373% 5/15/15 | 191,596 | 156,630 | |||||
Novelis | |||||||
7.25% 2/15/15 | 33,000 | 31,096 | |||||
11.50% 2/15/15 | 108,000 | 117,720 | |||||
# | PE Paper Escrow 144A | ||||||
12.00% 8/1/14 | 100,000 | 109,680 | |||||
Reliance Steel & | |||||||
Aluminum | |||||||
6.85% 11/15/36 | 24,000 | 22,228 | |||||
Rio Tinto Finance USA | |||||||
9.00% 5/1/19 | 10,000 | 12,659 | |||||
Ryerson | |||||||
·7.719% 11/1/14 | 118,000 | 110,478 | |||||
12.00% 11/1/15 | 100,000 | 102,250 | |||||
*# | Steel Dynamics 144A | ||||||
7.625% 3/15/20 | 110,000 | 109,450 | |||||
Teck Resources | |||||||
9.75% 5/15/14 | 40,000 | 47,060 | |||||
10.75% 5/15/19 | 118,000 | 142,404 | |||||
Vale Overseas | |||||||
*6.875% 11/21/36 | 979,000 | 978,217 | |||||
6.875% 11/10/39 | 10,000 | 10,011 | |||||
* | Verso Paper Holdings | ||||||
11.375% 8/1/16 | 125,000 | 109,063 | |||||
4,705,885 | |||||||
Brokerage – 1.05% | |||||||
* | E Trade Financial PIK | ||||||
12.50% 11/30/17 | 245,000 | 273,175 | |||||
Goldman Sachs Group | |||||||
5.375% 3/15/20 | 35,000 | 33,829 | |||||
Jefferies Group | |||||||
6.25% 1/15/36 | 5,000 | 4,315 | |||||
6.45% 6/8/27 | 60,000 | 55,597 | |||||
Lazard Group | |||||||
6.85% 6/15/17 | 30,000 | 30,936 | |||||
7.125% 5/15/15 | 4,000 | 4,240 | |||||
# | Morgan Stanley 144A | ||||||
10.09% 5/3/17 | BRL | 2,000,000 | 1,024,089 | ||||
# | Penson Worldwide 144A | ||||||
12.50% 5/15/17 | USD | 145,000 | 144,456 | ||||
1,570,637 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Capital Goods – 1.87% | |||||||
AMH Holdings | |||||||
11.25% 3/1/14 | USD | 146,000 | $ | 146,000 | |||
# | Associated Materials 144A | ||||||
9.875% 11/15/16 | 15,000 | 16,200 | |||||
# | BAE Systems Holdings 144A | ||||||
5.20% 8/15/15 | 20,000 | 21,173 | |||||
*# | Cemex Espana | ||||||
Luxembourg 144A | |||||||
9.25% 5/12/20 | 104,000 | 89,440 | |||||
# | Cemex Finance 144A | ||||||
9.50% 12/14/16 | 140,000 | 128,450 | |||||
# | DAE Aviation 144A | ||||||
11.25% 8/1/15 | 125,000 | 125,938 | |||||
# | Express 144A 8.75% 3/1/18 | 93,000 | 94,163 | ||||
* | Graham Packaging | ||||||
9.875% 10/15/14 | 141,000 | 142,763 | |||||
* | Hexion US/ | ||||||
Nova Scotia Finance | |||||||
9.75% 11/15/14 | 212,000 | 203,520 | |||||
Intertape Polymer | |||||||
8.50% 8/1/14 | 88,000 | 72,160 | |||||
L-3 Communications | |||||||
4.75% 7/15/20 | 30,000 | 29,979 | |||||
* | Manitowoc 9.50% 2/15/18 | 146,000 | 144,175 | ||||
* | NXP BV/NXP Funding | ||||||
9.50% 10/15/15 | 165,000 | 142,519 | |||||
# | Plastipak Holdings 144A | ||||||
10.625% 8/15/19 | 108,000 | 118,260 | |||||
# | Ply Gem Industries 144A | ||||||
13.125% 7/15/14 | 151,000 | 153,265 | |||||
Pregis 12.375% 10/15/13 | 297,000 | 294,029 | |||||
* | RBS Global/Rexnord | ||||||
11.75% 8/1/16 | 242,000 | 254,099 | |||||
* | Solo Cup 8.50% 2/15/14 | 71,000 | 65,853 | ||||
# | Susser Holdings & Finance | ||||||
144A 8.50% 5/15/16 | 130,000 | 129,025 | |||||
Thermadyne Holdings | |||||||
11.50% 2/1/14 | 201,000 | 207,281 | |||||
Thermo Fisher Scientific | |||||||
3.20% 5/1/15 | 35,000 | 35,620 | |||||
4.70% 5/1/20 | 5,000 | 5,210 | |||||
# | Trimas 144A 9.75% 12/15/17 | 120,000 | 122,400 | ||||
* | United Technologies | ||||||
4.50% 4/15/20 | 20,000 | 20,929 | |||||
# | USG 144A 9.75% 8/1/14 | 45,000 | 47,363 | ||||
2,809,814 | |||||||
Consumer Cyclical – 2.20% | |||||||
# | Allison Transmission 144A | ||||||
11.00% 11/1/15 | 206,000 | 216,300 | |||||
American Axle & | |||||||
Manufacturing | |||||||
7.875% 3/1/17 | 196,000 | 174,440 | |||||
Ames True Temper | |||||||
10.00% 7/15/12 | 90,000 | 87,300 | |||||
* | ArvinMeritor | ||||||
8.125% 9/15/15 | 176,000 | 164,120 | |||||
10.625% 3/15/18 | 78,000 | 80,340 | |||||
Beazer Homes USA | |||||||
8.125% 6/15/16 | 94,000 | 86,480 | |||||
*9.125% 6/15/18 | 55,000 | 51,975 | |||||
Burlington Coat Factory | |||||||
Investment Holdings | |||||||
14.50% 10/15/14 | 276,000 | 291,179 | |||||
w# | CVS Pass Through Trust | ||||||
144A 8.353% 7/10/31 | 78,893 | 94,480 | |||||
# | Dave & Buster’s 144A | ||||||
11.00% 6/1/18 | 115,000 | 113,850 | |||||
* | Ford Motor 7.45% 7/16/31 | 279,000 | 249,704 | ||||
Ford Motor Credit | |||||||
12.00% 5/15/15 | 155,000 | 180,744 | |||||
‡ | General Motors | ||||||
7.20% 1/15/11 | 250,000 | 78,750 | |||||
* | GMAC 8.00% 12/31/18 | 151,000 | 143,450 | ||||
Interface 9.50% 2/1/14 | 20,000 | 20,550 | |||||
# | Interface 144A | ||||||
11.375% 11/1/13 | 42,000 | 47,145 | |||||
K Hovnanian Enterprises | |||||||
6.25% 1/15/15 | 107,000 | 84,530 | |||||
7.50% 5/15/16 | 68,000 | 51,340 | |||||
# | Landry’s Restaurants 144A | ||||||
11.625% 12/1/15 | 213,000 | 223,118 | |||||
M/I Homes 6.875% 4/1/12 | 93,000 | 90,908 | |||||
Norcraft Holdings | |||||||
9.75% 9/1/12 | 69,000 | 63,221 | |||||
# | Norcraft Holdings 144A | ||||||
10.50% 12/15/15 | 104,000 | 109,720 | |||||
* | OSI Restaurant Partners | ||||||
10.00% 6/15/15 | 148,000 | 145,780 | |||||
Quiksilver 6.875% 4/15/15 | 200,000 | 176,000 | |||||
* | Rite Aid 9.375% 12/15/15 | 84,000 | 69,510 | ||||
Standard Pacific | |||||||
8.375% 5/15/18 | 50,000 | 48,125 | |||||
10.75% 9/15/16 | 78,000 | 85,020 | |||||
* | Tenneco 8.625% 11/15/14 | 73,000 | 72,635 | ||||
3,300,714 | |||||||
Consumer Non-Cyclical – 1.74% | |||||||
Abbott Laboratories | |||||||
4.125% 5/27/20 | 35,000 | 35,285 | |||||
# | Alion Science & | ||||||
Technology 144A | |||||||
12.00% 11/1/14 | 115,249 | 115,247 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
# | Alliance One | ||||||
International 144A | |||||||
*10.00% 7/15/16 | USD | 174,000 | $ | 178,350 | |||
10.00% 7/15/16 | 35,000 | 35,875 | |||||
# | Anheuser-Busch InBev | ||||||
Worldwide 144A | |||||||
3.625% 4/15/15 | 30,000 | 30,292 | |||||
*5.00% 4/15/20 | 20,000 | 20,333 | |||||
Baxter International | |||||||
4.50% 8/15/19 | 35,000 | 36,678 | |||||
Beckman Coulter | |||||||
6.00% 6/1/15 | 15,000 | 16,741 | |||||
# | Brambles USA 144A | ||||||
3.95% 4/1/15 | 10,000 | 10,254 | |||||
5.35% 4/1/20 | 15,000 | 15,669 | |||||
# | Cott Beverages 144A | ||||||
8.375% 11/15/17 | 88,000 | 89,100 | |||||
Dean Foods | |||||||
7.00% 6/1/16 | 80,000 | 73,900 | |||||
Dole Food | |||||||
13.875% 3/15/14 | 91,000 | 105,560 | |||||
General Mills | |||||||
5.65% 2/15/19 | 20,000 | 22,209 | |||||
Iron Mountain | |||||||
8.375% 8/15/21 | 140,000 | 142,800 | |||||
JBS USA Finance | |||||||
11.625% 5/1/14 | 68,000 | 75,011 | |||||
# | JohnsonDiversey Holdings | ||||||
144A 10.50% 5/15/20 | 312,000 | 336,960 | |||||
Kraft Foods | |||||||
5.375% 2/10/20 | 20,000 | 20,810 | |||||
LVB Acquisition | |||||||
11.625% 10/15/17 | 130,000 | 139,425 | |||||
Medco Health Solutions | |||||||
7.125% 3/15/18 | 35,000 | 41,050 | |||||
# | Mylan 144A | ||||||
7.875% 7/15/20 | 65,000 | 65,406 | |||||
Novartis Capital | |||||||
4.40% 4/24/20 | 15,000 | 15,550 | |||||
Novartis Securities | |||||||
Investment | |||||||
5.125% 2/10/19 | 5,000 | 5,502 | |||||
# | Novasep Holding 144A | ||||||
9.75% 12/15/16 | 140,000 | 136,588 | |||||
Pfizer 6.20% 3/15/19 | 30,000 | 34,906 | |||||
# | Quintiles Transnational | ||||||
144A 9.50% 12/30/14 | 68,000 | 68,000 | |||||
# | ServiceMaster PIK 144A | ||||||
10.75% 7/15/15 | 140,000 | 140,700 | |||||
Smithfield Foods | |||||||
7.75% 7/1/17 | 74,000 | 69,930 | |||||
# | TOPS Markets 144A | ||||||
10.125% 10/15/15 | 140,000 | 145,250 | |||||
# | Viskase 144A | ||||||
9.875% 1/15/18 | 151,000 | 153,265 | |||||
Yale University | |||||||
2.90% 10/15/14 | 45,000 | 46,189 | |||||
Yankee Acquisition | |||||||
9.75% 2/15/17 | 150,000 | 151,875 | |||||
Zimmer Holdings | |||||||
4.625% 11/30/19 | 30,000 | 30,812 | |||||
2,605,522 | |||||||
Energy – 6.47% | |||||||
# | American Petroleum | ||||||
Tankers 144A | |||||||
10.25% 5/1/15 | 70,000 | 69,650 | |||||
Anadarko Finance | |||||||
7.50% 5/1/31 | 10,000 | 10,437 | |||||
# | Antero Resources Finance | ||||||
144A 9.375% 12/1/17 | 114,000 | 112,290 | |||||
# | Aquilex Holdings 144A | ||||||
11.125% 12/15/16 | 104,000 | 104,520 | |||||
Chesapeake Energy | |||||||
9.50% 2/15/15 | 105,000 | 114,188 | |||||
* | Complete Production Services | ||||||
8.00% 12/15/16 | 133,000 | 131,670 | |||||
Copano Energy | |||||||
7.75% 6/1/18 | 128,000 | 122,240 | |||||
# | Crosstex Energy 144A | ||||||
8.875% 2/15/18 | 115,000 | 113,850 | |||||
# | Drummond 144A | ||||||
9.00% 10/15/14 | 140,000 | 140,000 | |||||
* | Dynegy Holdings | ||||||
7.75% 6/1/19 | 216,000 | 157,140 | |||||
El Paso | |||||||
6.875% 6/15/14 | 44,000 | 44,335 | |||||
7.00% 6/15/17 | 205,000 | 201,264 | |||||
*· | Enbridge Energy Partners | ||||||
8.05% 10/1/37 | 20,000 | 19,777 | |||||
Energy Transfer Partners | |||||||
9.70% 3/15/19 | 20,000 | 24,472 | |||||
Enterprise Products Operating | |||||||
5.20% 9/1/20 | 20,000 | 20,041 | |||||
·7.034% 1/15/68 | 35,000 | 32,158 | |||||
9.75% 1/31/14 | 45,000 | 54,347 | |||||
EOG Resources | |||||||
2.95% 6/1/15 | 30,000 | 30,193 | |||||
4.40% 6/1/20 | 10,000 | 10,131 | |||||
# | Gazprom 144A | ||||||
8.625% 4/28/34 | 1,000,000 | 1,107,500 | |||||
# | Global Geophysical | ||||||
Services 144A | |||||||
10.50% 5/1/17 | 60,000 | 57,900 | |||||
* | Headwaters | ||||||
11.375% 11/1/14 | 145,000 | 146,813 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Energy (continued) | |||||||
# | Helix Energy Solutions | ||||||
Group 144A | |||||||
9.50% 1/15/16 | USD | 241,000 | $ | 237,385 | |||
*# | Hercules Offshore 144A | ||||||
10.50% 10/15/17 | 145,000 | 135,575 | |||||
# | Hilcorp Energy I 144A | ||||||
8.00% 2/15/20 | 150,000 | 146,250 | |||||
# | Holly 144A 9.875% 6/15/17 | 119,000 | 120,785 | ||||
International Coal Group | |||||||
9.125% 4/1/18 | 141,000 | 141,705 | |||||
* | Key Energy Services | ||||||
8.375% 12/1/14 | 255,000 | 255,000 | |||||
Kinder Morgan | |||||||
Energy Partners | |||||||
*5.30% 9/15/20 | 20,000 | 19,806 | |||||
9.00% 2/1/19 | 20,000 | 24,484 | |||||
# | Linn Energy Finance 144A | ||||||
8.625% 4/15/20 | 145,000 | 144,275 | |||||
Lukoil International | |||||||
Finance 6.356% 6/7/17 | 1,000,000 | 990,000 | |||||
# | Midcontinent Express | ||||||
Pipeline 144A | |||||||
5.45% 9/15/14 | 25,000 | 26,117 | |||||
*6.70% 9/15/19 | 10,000 | 10,546 | |||||
# | Murray Energy 144A | ||||||
10.25% 10/15/15 | 141,000 | 141,000 | |||||
Nexen 7.50% 7/30/39 | 15,000 | 16,976 | |||||
*# | NFR Energy 144A |
|
|||||
9.75% 2/15/17 | 146,000 | 137,240 | |||||
Noble Energy | |||||||
8.25% 3/1/19 | 25,000 | 29,767 | |||||
OPTI Canada | |||||||
7.875% 12/15/14 | 261,000 | 223,155 | |||||
8.25% 12/15/14 | 57,000 | 49,020 | |||||
* | Pemex Project Funding | ||||||
Master Trust | |||||||
6.625% 6/15/35 | 1,000,000 | 984,997 | |||||
Petrobras International Finance | |||||||
5.75% 1/20/20 | 20,000 | 19,948 | |||||
PetroHawk Energy | |||||||
7.875% 6/1/15 | 135,000 | 131,456 | |||||
Petroleum Development | |||||||
12.00% 2/15/18 | 151,000 | 156,285 | |||||
# | Pioneer Drilling 144A | ||||||
9.875% 3/15/18 | 68,000 | 67,660 | |||||
Plains All American | |||||||
PipeLine 8.75% 5/1/19 | 15,000 | 17,843 | |||||
Pride International | |||||||
8.50% 6/15/19 | 35,000 | 38,500 | |||||
Quicksilver Resources | |||||||
7.125% 4/1/16 | 208,000 | 188,760 | |||||
# | Rockies Express Pipeline | ||||||
144A 5.625% 4/15/20 | 15,000 | 14,830 | |||||
# | SandRidge Energy 144A | ||||||
*8.75% 1/15/20 | 18,000 | 16,380 | |||||
9.875% 5/15/16 | 189,000 | 187,110 | |||||
# | Semco Energy 144A | ||||||
5.15% 4/21/20 | 30,000 | 31,350 | |||||
TNK-BP Finance | |||||||
7.875% 3/13/18 | 2,000,000 | 2,050,000 | |||||
· | TransCanada Pipelines | ||||||
6.35% 5/15/67 | 35,000 | 31,794 | |||||
Transocean 6.80% 3/15/38 | 10,000 | 9,524 | |||||
Weatherford International | |||||||
9.625% 3/1/19 | 30,000 | 36,794 | |||||
# | Woodside Finance 144A | ||||||
4.50% 11/10/14 | 20,000 | 20,797 | |||||
8.125% 3/1/14 | 15,000 | 17,339 | |||||
9,695,369 | |||||||
Finance & Investments – 1.25% | |||||||
· | American International Group I | ||||||
8.175% 5/15/58 | 245,000 | 192,938 | |||||
Capital One Capital V | |||||||
10.25% 8/15/39 | 200,000 | 216,249 | |||||
Cardtronics 9.25% 8/15/13 | 85,000 | 85,425 | |||||
City National Capital Trust I | |||||||
9.625% 2/1/40 | 140,000 | 142,942 | |||||
General Electric Capital | |||||||
6.00% 8/7/19 | 105,000 | 111,432 | |||||
· | Genworth Financial | ||||||
6.15% 11/15/66 | 266,000 | 186,865 | |||||
·# | ILFC E-Capital Trust II 144A | ||||||
6.25% 12/21/65 | 205,000 | 126,075 | |||||
# | International Lease | ||||||
Finance 144A | |||||||
8.75% 3/15/17 | 73,000 | 66,978 | |||||
·# | Liberty Mutual Group | ||||||
144A 7.00% 3/15/37 | 180,000 | 139,990 | |||||
MetLife 6.40% 12/15/36 | 100,000 | 87,000 | |||||
Nuveen Investments | |||||||
10.50% 11/15/15 | 463,000 | 419,014 | |||||
Prudential Financial | |||||||
3.875% 1/14/15 | 35,000 | 35,223 | |||||
∏· | XL Capital 6.50% 12/31/49 | 85,000 | 60,350 | ||||
1,870,481 | |||||||
Media – 2.39% | |||||||
Affinion Group | |||||||
11.50% 10/15/15 | 103,000 | 106,863 | |||||
Cablevision Systems | |||||||
8.00% 4/15/20 | 15,000 | 14,850 | |||||
# | Cablevision Systems 144A | ||||||
8.625% 9/15/17 | 63,000 | 63,630 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Media (continued) | |||||||
# | CCO Holdings 144A | ||||||
*7.875% 4/30/18 | USD | 30,000 | $ | 29,588 | |||
8.125% 4/30/20 | 40,000 | 39,800 | |||||
# | Charter Communications | ||||||
Operating 144A | |||||||
10.875% 9/15/14 | 63,000 | 69,143 | |||||
* | Clear Channel | ||||||
Communications | |||||||
10.75% 8/1/16 | 138,000 | 102,810 | |||||
# | Columbus International | ||||||
144A 11.50% 11/20/14 | 130,000 | 138,450 | |||||
Comcast | |||||||
5.15% 3/1/20 | 10,000 | 10,302 | |||||
6.30% 11/15/17 | 30,000 | 33,429 | |||||
# | COX Communications 144A | ||||||
6.25% 6/1/18 | 15,000 | 16,466 | |||||
6.95% 6/1/38 | 5,000 | 5,535 | |||||
DirecTV Holdings/Financing | |||||||
7.625% 5/15/16 | 85,000 | 91,910 | |||||
Discovery Communications | |||||||
5.05% 6/1/20 | 20,000 | 20,023 | |||||
DISH DBS 7.875% 9/1/19 | 140,000 | 142,100 | |||||
# | Gray Television 144A | ||||||
10.50% 6/29/15 | 135,000 | 128,250 | |||||
@ | Grupo Televisa | ||||||
8.49% 5/11/37 | MXN | 10,000,000 | 697,506 | ||||
# | GXS Worldwide 144A | ||||||
9.75% 6/15/15 | USD | 145,000 | 136,663 | ||||
# | MDC Partners 144A | ||||||
11.00% 11/1/16 | 73,000 | 78,475 | |||||
# | NBC Universal 144A | ||||||
5.15% 4/30/20 | 35,000 | 35,803 | |||||
# | Nexstar Broadcasting/ | ||||||
Mission Broadcasting | |||||||
144A 8.875% 4/15/17 | 135,000 | 134,325 | |||||
Nielsen Finance | |||||||
10.00% 8/1/14 | 113,000 | 115,401 | |||||
11.50% 5/1/16 | 40,000 | 42,600 | |||||
11.625% 2/1/14 | 85,000 | 91,375 | |||||
*W12.50% 8/1/16 | 101,000 | 93,930 | |||||
# | Sinclair Television Group | ||||||
144A 9.25% 11/1/17 | 98,000 | 97,510 | |||||
# | Sitel 144A 11.50% 4/1/18 | 141,000 | 134,655 | ||||
# | Terremark Worldwide 144A | ||||||
12.25% 6/15/17 | 130,000 | 148,200 | |||||
Time Warner Cable | |||||||
8.25% 4/1/19 | 30,000 | 36,580 | |||||
# | Univision Communications | ||||||
144A 12.00% 7/1/14 | 99,000 | 106,920 | |||||
# | Univision Communications PIK | ||||||
144A 9.75% 3/15/15 | 88,200 | 75,301 | |||||
# | UPC Holding 144A | ||||||
9.875% 4/15/18 | 100,000 | 101,500 | |||||
# | Vivendi 144A | ||||||
5.75% 4/4/13 | 55,000 | 58,745 | |||||
6.625% 4/4/18 | 25,000 | 27,506 | |||||
# | XM Satellite Radio 144A | ||||||
13.00% 8/1/13 | 323,000 | 355,300 | |||||
3,581,444 | |||||||
Real Estate – 0.15% | |||||||
Developers Diversified | |||||||
Realty 7.50% 4/1/17 | 5,000 | 4,983 | |||||
# | Digital Realty Trust 144A | ||||||
5.875% 2/1/20 | 10,000 | 10,082 | |||||
* | Felcor Lodging | ||||||
10.00% 10/1/14 | 146,000 | 146,729 | |||||
ProLogis | |||||||
6.25% 3/15/17 | 15,000 | 14,443 | |||||
7.375% 10/30/19 | 35,000 | 34,598 | |||||
Regency Centers | |||||||
5.875% 6/15/17 | 20,000 | 20,820 | |||||
231,655 | |||||||
Services Cyclical – 1.96% | |||||||
* | ARAMARK 8.50% 2/1/15 | 150,000 | 150,375 | ||||
# | Ashtead Capital 144A | ||||||
9.00% 8/15/16 | 100,000 | 100,000 | |||||
# | Avis Budget Car Rental | ||||||
144A 9.625% 3/15/18 | 146,000 | 146,730 | |||||
Burlington Northern Santa Fe | |||||||
4.70% 10/1/19 | 35,000 | 35,997 | |||||
# | Delta Air Lines 144A | ||||||
12.25% 3/15/15 | 130,000 | 135,525 | |||||
# | Equinox Holdings 144A | ||||||
9.50% 2/1/16 | 146,000 | 143,810 | |||||
# | General Maritime 144A | ||||||
12.00% 11/15/17 | 146,000 | 150,380 | |||||
Global Cash Access | |||||||
8.75% 3/15/12 | 33,000 | 33,000 | |||||
* | Harrah’s Operating | ||||||
10.00% 12/15/18 | 70,000 | 55,650 | |||||
# | Harrah’s Operating 144A | ||||||
10.00% 12/15/18 | 180,000 | 143,100 | |||||
# | Kansas City Southern | ||||||
de Mexico 144A | |||||||
8.00% 2/1/18 | 144,000 | 144,540 | |||||
* | Kansas City | ||||||
Southern Railway | |||||||
13.00% 12/15/13 | 2,000 | 2,320 | |||||
*# | MCE Finance 144A | ||||||
10.25% 5/15/18 | 165,000 | 165,000 | |||||
MGM Mirage | |||||||
13.00% 11/15/13 | 95,000 | 108,775 | |||||
# | MGM Mirage 144A | ||||||
11.125% 11/15/17 | 2,000 | 2,175 | |||||
*11.375% 3/1/18 | 390,000 | 362,699 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Services Cyclical (continued) | |||||||
* | Mohegan Tribal | ||||||
Gaming Authority | |||||||
6.875% 2/15/15 | USD | 42,000 | $ | 30,765 | |||
7.125% 8/15/14 | 99,000 | 73,755 | |||||
# | NCL 144A | ||||||
11.75% 11/15/16 | 141,000 | 151,575 | |||||
*# | Peninsula Gaming 144A | ||||||
10.75% 8/15/17 | 150,000 | 148,500 | |||||
# | Pinnacle Entertainment | ||||||
144A 8.75% 5/15/20 | 75,000 | 69,750 | |||||
Royal Caribbean Cruises | |||||||
6.875% 12/1/13 | 125,000 | 123,438 | |||||
* | RSC Equipment Rental | ||||||
9.50% 12/1/14 | 138,000 | 131,790 | |||||
*# | RSC Equipment | ||||||
Rental 144A | |||||||
10.25% 11/15/19 | 3,000 | 2,895 | |||||
# | Shingle Springs Tribal | ||||||
Gaming Authority | |||||||
144A 9.375% 6/15/15 | 161,000 | 126,385 | |||||
# | United Air Lines 144A | ||||||
12.00% 11/1/13 | 201,000 | 206,528 | |||||
2,945,457 | |||||||
Services Non-Cyclical – 1.60% | |||||||
Accellent 10.50% 12/1/13 | 104,000 | 100,880 | |||||
Allied Waste | |||||||
North America | |||||||
6.875% 6/1/17 | 40,000 | 43,661 | |||||
7.125% 5/15/16 | 30,000 | 32,252 | |||||
* | Amgen 5.70% 2/1/19 | 25,000 | 28,328 | ||||
* | Bausch & Lomb | ||||||
9.875% 11/1/15 | 210,000 | 215,250 | |||||
# | BioScrip 144A | ||||||
10.25% 10/1/15 | 141,000 | 138,180 | |||||
#CareFusion 144A | |||||||
6.375% 8/1/19 | 65,000 | 72,639 | |||||
Casella Waste Systems | |||||||
9.75% 2/1/13 | 310,000 | 305,350 | |||||
Community Health Systems | |||||||
8.875% 7/15/15 | 135,000 | 138,544 | |||||
DJO Finance | |||||||
11.75% 11/15/14 | 144,000 | 147,960 | |||||
HCA 9.25% 11/15/16 | 175,000 | 183,750 | |||||
Hospira 6.40% 5/15/15 | 95,000 | 108,137 | |||||
Inverness Medical Innovations | |||||||
9.00% 5/15/16 | 164,000 | 161,950 | |||||
Life Technologies | |||||||
4.40% 3/1/15 | 5,000 | 5,172 | |||||
*6.00% 3/1/20 | 40,000 | 42,433 | |||||
# | Radiation Therapy | ||||||
Services 144A | |||||||
9.875% 4/15/17 | 140,000 | 136,500 | |||||
# | Radnet Management 144A | ||||||
10.375% 4/1/18 | 140,000 | 128,730 | |||||
# | Roche Holdings 144A | ||||||
6.00% 3/1/19 | 55,000 | 62,286 | |||||
Select Medical | |||||||
7.625% 2/1/15 | 104,000 | 98,280 | |||||
Universal Hospital Services | |||||||
PIK 8.50% 6/1/15 | 123,000 | 118,695 | |||||
· | US Oncology Holdings | ||||||
6.643% 3/15/12 | 150,000 | 138,375 | |||||
2,407,352 | |||||||
Technology – 0.79% | |||||||
# | Aspect Software 144A | ||||||
10.625% 5/15/17 | 140,000 | 139,475 | |||||
Cisco Systems | |||||||
4.45% 1/15/20 | 55,000 | 56,581 | |||||
*First Data | |||||||
9.875% 9/24/15 | 317,000 | 259,940 | |||||
# | International Wire Group | ||||||
144A 9.75% 4/15/15 | 125,000 | 124,531 | |||||
# | MagnaChip | ||||||
Semiconductor 144A | |||||||
10.50% 4/15/18 | 100,000 | 103,125 | |||||
National Semiconductor | |||||||
3.95% 4/15/15 | 5,000 | 5,023 | |||||
6.60% 6/15/17 | 5,000 | 5,547 | |||||
Sanmina-SCI | |||||||
8.125% 3/1/16 | 236,000 | 225,970 | |||||
* | Sungard Data Systems | ||||||
10.25% 8/15/15 | 255,000 | 259,144 | |||||
1,179,336 | |||||||
Telecommunications – 3.63% | |||||||
American Tower | |||||||
7.00% 10/15/17 | 30,000 | 33,225 | |||||
Citizens Utilities | |||||||
7.125% 3/15/19 | 120,000 | 111,000 | |||||
# | Clearwire Communications | ||||||
144A 12.00% 12/1/15 | 290,000 | 283,475 | |||||
* | Cricket Communications | ||||||
10.00% 7/15/15 | 135,000 | 139,050 | |||||
# | Digicel Group 144A | ||||||
*8.25% 9/1/17 | 100,000 | 98,500 | |||||
8.875% 1/15/15 | 1,100,000 | 1,069,749 | |||||
9.125% 1/15/15 | 100,000 | 97,750 | |||||
*# | GCI 144A | ||||||
8.625% 11/15/19 | 105,000 | 102,375 | |||||
# | Global Crossing 144A | ||||||
12.00% 9/15/15 | 193,000 | 211,335 | |||||
Intelsat 6.50% 11/1/13 | 135,000 | 123,863 | |||||
Intelsat Bermuda | |||||||
11.25% 2/4/17 | 515,000 | 509,849 | |||||
11.50% 2/4/17 | 7,000 | 6,913 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Telecommunications (continued) | |||||||
# | Level 3 Financing 144A | ||||||
10.00% 2/1/18 | USD | 153,000 | $ | 135,405 | |||
* | MetroPCS Wireless | ||||||
9.25% 11/1/14 | 116,000 | 120,060 | |||||
NII Capital | |||||||
10.00% 8/15/16 | 205,000 | 220,375 | |||||
* | PAETEC Holding | ||||||
8.875% 6/30/17 | 108,000 | 107,190 | |||||
9.50% 7/15/15 | 78,000 | 76,245 | |||||
# | Primus Telecommunications | ||||||
Holding 144A | |||||||
13.00% 12/15/16 | 81,000 | 81,405 | |||||
Qwest 8.375% 5/1/16 | 30,000 | 32,700 | |||||
Qwest Communications | |||||||
International | |||||||
7.50% 2/15/14 | 85,000 | 84,150 | |||||
Rogers Communications | |||||||
7.50% 3/15/15 | 15,000 | 17,699 | |||||
Sprint Capital | |||||||
8.75% 3/15/32 | 239,000 | 228,843 | |||||
# | Telcordia Technologies | ||||||
144A 11.00% 5/1/18 | 145,000 | 141,194 | |||||
Telecom Italia Capital | |||||||
5.25% 10/1/15 | 90,000 | 90,030 | |||||
Telesat Canada | |||||||
11.00% 11/1/15 | 123,000 | 134,070 | |||||
12.50% 11/1/17 | 147,000 | 166,845 | |||||
Viasat 8.875% 9/15/16 | 73,000 | 74,095 | |||||
* | Virgin Media | ||||||
6.50% 11/15/16 | 307,000 | 349,213 | |||||
* | Virgin Media Finance | ||||||
8.375% 10/15/19 | 100,000 | 100,250 | |||||
West 11.00% 10/15/16 | 151,000 | 153,265 | |||||
# | Wind Acquisition | ||||||
Finance 144A | |||||||
11.75% 7/15/17 | 140,000 | 143,500 | |||||
12.00% 12/1/15 | 150,000 | 155,250 | |||||
Windstream | |||||||
7.875% 11/1/17 | 45,000 | 42,638 | |||||
5,441,506 | |||||||
Utilities – 1.33% | |||||||
AES | |||||||
7.75% 3/1/14 | 105,000 | 105,525 | |||||
8.00% 6/1/20 | 9,000 | 8,775 | |||||
# | American Transmission | ||||||
Systems 144A | |||||||
5.25% 1/15/22 | 25,000 | 26,155 | |||||
CMS Energy | |||||||
6.55% 7/17/17 | 10,000 | 10,050 | |||||
*8.75% 6/15/19 | 10,000 | 10,963 | |||||
Duke Energy | |||||||
5.45% 4/1/19 | 15,000 | 16,665 | |||||
* | Edison Mission Energy | ||||||
7.00% 5/15/17 | 4,000 | 2,725 | |||||
7.50% 6/15/13 | 80,000 | 71,400 | |||||
Elwood Energy | |||||||
8.159% 7/5/26 | 157,828 | 150,331 | |||||
Energy Future Holdings | |||||||
5.55% 11/15/14 | 104,000 | 73,503 | |||||
*10.875% 11/1/17 | 103,000 | 76,220 | |||||
Florida Power | |||||||
5.65% 6/15/18 | 15,000 | 16,655 | |||||
Illinois Power | |||||||
9.75% 11/15/18 | 80,000 | 103,182 | |||||
Korea Southern Power | |||||||
5.375% 4/18/13 | 630,000 | 669,616 | |||||
* | Mirant Americas | ||||||
Generation | |||||||
8.50% 10/1/21 | 215,000 | 197,800 | |||||
NRG Energy | |||||||
7.375% 2/1/16 | 60,000 | 58,200 | |||||
* | PacifiCorp 5.50% 1/15/19 | 20,000 | 22,048 | ||||
Pennsylvania Electric | |||||||
5.20% 4/1/20 | 45,000 | 46,117 | |||||
PPL Electric Utilities | |||||||
7.125% 11/30/13 | 25,000 | 29,128 | |||||
· | Public Service Oklahoma | ||||||
5.15% 12/1/19 | 30,000 | 30,844 | |||||
Puget Sound Energy | |||||||
6.974% 6/1/67 | 165,000 | 151,283 | |||||
* | Texas Competitive | ||||||
Electric Holdings | |||||||
10.25% 11/1/15 | 125,000 | 84,375 | |||||
Xcel Energy | |||||||
4.70% 5/15/20 | 35,000 | 35,421 | |||||
1,996,981 | |||||||
Total Corporate Bonds (cost $46,333,505) | 47,148,160 | ||||||
Non-Agency Asset-Backed Securities – 0.43% | |||||||
·# | AH Mortgage Advance | ||||||
Trust 144A | |||||||
Series 2009-ADV3 A1 | |||||||
2.227% 10/6/21 | 40,000 | 39,965 | |||||
Caterpillar Financial Asset | |||||||
Trust Series 2007-A | |||||||
A3A 5.34% 6/25/12 | 4,633 | 4,675 | |||||
@ | Centex Home Equity | ||||||
Series 2005-D AF4 | |||||||
5.27% 10/25/35 | 39,488 | 39,306 | |||||
Citicorp Residential | |||||||
Mortgage Securities | |||||||
Series 2006-3 A5 | |||||||
5.948% 11/25/36 | 100,000 | 77,821 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Non-Agency Asset-Backed Securities (continued) | |||||||
CNH Equipment Trust | |||||||
Series 2008-A A3 | |||||||
4.12% 5/15/12 | USD | 5,221 | $ | 5,262 | |||
Series 2008-A A4 | |||||||
4A.93% 8/15/14 | 30,000 | 31,154 | |||||
Series 2008-B A3A | |||||||
4.78% 7/16/12 | 11,067 | 11,215 | |||||
Series 2009-C A3 | |||||||
1.85% 12/16/13 | 15,000 | 15,115 | |||||
Discover Card Master | |||||||
Trust Series 2007-A1 | |||||||
A1 5.65% 3/16/20 | 100,000 | 113,808 | |||||
# | Dunkin Securitization | ||||||
144A Series 2006-1 | |||||||
A2 5.779% 6/20/31 | 150,000 | 148,027 | |||||
Harley-Davidson | |||||||
Motorcycle Trust | |||||||
Series 2006-2 A2 | |||||||
5.35% 3/15/13 | 49,079 | 50,107 | |||||
Hyundai Auto | |||||||
Receivables Trust | |||||||
Series 2007-A A3A | |||||||
5.04% 1/17/12 | 4,056 | 4,095 | |||||
Series 2008-A A3 | |||||||
4.93% 12/17/12 | 29,538 | 30,393 | |||||
John Deere Owner Trust | |||||||
Series 2010-A 4A | |||||||
2.13% 10/17/16 | 15,000 | 15,060 | |||||
· | MBNA Credit Card | ||||||
Master Note Trust | |||||||
Series 2005-A4 A4 | |||||||
0.377% 11/15/12 | 30,000 | 29,998 | |||||
· | Merrill Auto Trust | ||||||
Securitization | |||||||
Series 2007-1 A4 | |||||||
0.397% 12/15/13 | 22,290 | 22,176 | |||||
World Omni Auto Lease | |||||||
Securitization Trust | |||||||
Series 2009-A A3A | |||||||
1.65% 2/15/13 | 10,000 | 10,047 | |||||
Total Non-Agency Asset-Backed | |||||||
Securities (cost $641,635) | 648,224 | ||||||
Non-Agency Collateralized Mortgage Obligations – 0.38% | |||||||
@· | Bear Stearns ARM Trust | ||||||
Series 2007-1 3A2 | |||||||
5.668% 2/25/47 | 227,036 | 26,328 | |||||
Citicorp Mortgage | |||||||
Securities | |||||||
Series 2006-4 3A1 | |||||||
5.50% 8/25/21 | 23,608 | 22,988 | |||||
Series 2007-1 2A1 | |||||||
5.50% 1/25/22 | 149,233 | 140,447 | |||||
·Series 2007-AR8 1A3A | |||||||
5.764% 8/25/37 | 77,001 | 58,317 | |||||
· | First Horizon | ||||||
Asset Securities | |||||||
Series 2007-AR2 1A1 | |||||||
5.805% 8/25/37 | 114,709 | 87,211 | |||||
· | GSR Mortgage Loan Trust | ||||||
Series 2006-AR1 3A1 | |||||||
5.307% 1/25/36 | 162,757 | 147,178 | |||||
· | MASTR ARMs Trust | ||||||
Series 2006-2 4A1 | |||||||
4.983% 2/25/36 | 77,552 | 72,587 | |||||
· | Wells Fargo Mortgage- | ||||||
Backed Securities Trust | |||||||
Series 2005-AR16 6A4 | |||||||
3.981% 10/25/35 | 52,741 | 19,710 | |||||
Total Non-Agency Collateralized | |||||||
Mortgage Obligations | |||||||
(cost $873,989) | 574,766 | ||||||
«Senior Secured Loans – 0.45% | |||||||
BWAY Holding Bridge | |||||||
Loan 9.50% 12/30/11 | 290,000 | 290,000 | |||||
Chester Downs & Marina | |||||||
12.375% 12/31/16 | 101,063 | 101,063 | |||||
Energy Futures Holdings | |||||||
Term Tranche Loan B2 | |||||||
3.729% 10/10/14 | 166,918 | 128,874 | |||||
PQ 6.73% 7/30/15 | 165,000 | 150,975 | |||||
Total Senior Secured Loans | |||||||
(cost $649,407) | 670,912 | ||||||
Sovereign Debt – 6.69% | |||||||
Barbados – 1.24% | |||||||
# | Republic of Barbados 144A | ||||||
6.625% 12/5/35 | 2,000,000 | 1,854,326 | |||||
1,854,326 | |||||||
Brazil – 0.35% | |||||||
Banco Nacional | |||||||
de Desenvolvime | |||||||
Economico e Social | |||||||
6.369% 6/16/18 | 500,000 | 523,750 | |||||
523,750 | |||||||
Colombia – 0.38% | |||||||
# | Santa Fe de Bogota D.C. | ||||||
144A 9.75% 7/26/28 | COP | 1,000,000,000 | 570,284 | ||||
570,284 | |||||||
Indonesia – 2.92% | |||||||
Indonesia Treasury Bond | |||||||
11.00% 11/15/20 | IDR | 35,825,000,000 | 4,379,552 | ||||
4,379,552 | |||||||
Pakistan – 1.20% | |||||||
@# | Republic of Pakistan 144A | ||||||
6.875% 6/1/17 | USD | 2,000,000 | 1,806,000 | ||||
1,806,000 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Sovereign Debt (continued) | |||||||
United Kingdom – 0.60% | |||||||
@# | CS International for City | ||||||
of Kyiv Ukraine 144A
|
|||||||
8.25% 11/26/12
|
USD | 1,000,000 | $ | 898,000 | |||
898,000 | |||||||
Total Sovereign Debt | |||||||
(cost $10,392,806) | 10,031,912 | ||||||
Supranational Banks – 4.46% | |||||||
European Bank for | |||||||
Reconstruction &
|
|||||||
Development
|
|||||||
7.00% 7/30/12
|
INR | 41,000,000 | 950,722 | ||||
9.25% 9/10/12
|
BRL | 2,935,000 | 1,611,523 | ||||
European Investment Bank | |||||||
8.00% 10/21/13
|
ZAR | 6,880,000 | 907,087 | ||||
9.625% 4/1/15
|
TRY | 1,800,000 | 1,143,598 | ||||
Inter-American | |||||||
Development Bank
|
|||||||
9.00%
8/6/10
|
BRL | 2,081,000 | 1,145,825 | ||||
International Bank | |||||||
for
Reconstruction
|
|||||||
&
Development
|
|||||||
9.75%
8/2/10
|
ZAR | 7,000,000 | 924,141 | ||||
Total Supranational Banks | |||||||
(cost $6,943,361) | 6,682,896 | ||||||
U.S. Treasury Obligations – 0.35% | |||||||
U.S. Treasury Bond | |||||||
4.625%
2/15/40
|
USD | 30,000 | 32,039 | ||||
U.S. Treasury Notes | |||||||
2.125%
5/31/15
|
360,000 | 360,506 | |||||
*3.50%
5/15/20
|
130,000 | 132,173 | |||||
Total U.S. Treasury Obligations | |||||||
(cost $523,666) | 524,718 | ||||||
Leveraged Non-Recourse Security – 0.00% | |||||||
@w# | JPMorgan Pass Through | ||||||
Trust Series 2007-B 144A
|
|||||||
0.00% 1/15/87
|
500,000 | 0 | |||||
Total Leveraged Non-Recourse | |||||||
Security (cost $425,000) | 0 | ||||||
Number of | |||||||
Shares | |||||||
Exchange Traded Fund – 0.01% | |||||||
ProShares UltraShort Real Estate | 520 | 14,217 | |||||
Total Exchange Traded Fund | |||||||
(cost $54,032) | 14,217 | ||||||
Preferred Stock – 0.25% | |||||||
Developers Diversified | |||||||
Realty Series I 7.50%
|
1,925 | $ | 41,099 | ||||
* | Digital Realty | ||||||
Series A 8.50%
|
2,650 | 68,238 | |||||
† | Freddie Mac 6.02% | 32,000 | 27,200 | ||||
· | PNC Financial Services | ||||||
Group 8.25%
|
10,000 | 10,187 | |||||
* | ProLogis Series G 6.75% | 7,050 | 143,185 | ||||
Vornado Realty Trust 6.625% | 3,700 | 80,401 | |||||
Total Preferred Stock | |||||||
(cost $1,095,330) | 370,310 | ||||||
Principal | |||||||
Amount° | |||||||
Residual Interest Trust Certificate – 0.00% | |||||||
@=w# | Freddie Mac Auction | ||||||
Pass Through Trust
|
|||||||
Series 2007-6
|
|||||||
Series 7-6B 144A
|
USD | 200,000 | 0 | ||||
Total Residual Interest Trust | |||||||
Certificate (cost $217,676) | 0 | ||||||
Number of | |||||||
Shares | |||||||
Right – 0.04% | |||||||
± | National Grid | 31,854 | 63,196 | ||||
Total Right (cost $0) | 63,196 | ||||||
Principal | |||||||
Amount° | |||||||
¹Discount Note – 7.44% | |||||||
Federal Home Loan Bank | |||||||
0.06% 6/1/10
|
USD | 11,164,082 | 11,164,082 | ||||
Total Discount Note | |||||||
(cost $11,164,082) | 11,164,082 | ||||||
Total Value of Securities Before Securities Lending | |||||||
Collateral – 120.67% | |||||||
(cost $193,965,519) | 180,936,659 | ||||||
Number of | |||||||
Shares | |||||||
Securities Lending Collateral** – 10.23% | |||||||
Investment Companies | |||||||
Mellon GSL DBT II
|
|||||||
Collateral Fund
|
13,848,897 | 13,848,897 | |||||
BNY Mellon SL DBT II
|
|||||||
Liquidating Fund
|
1,499,978 | 1,482,278 | |||||
@†Mellon
GSL
|
|||||||
Reinvestment Trust II
|
328,120 | 13,945 | |||||
Total Securities Lending Collateral | |||||||
(cost $15,676,995) | 15,345,120 |
Total Value of Securities – 130.90% | ||||
(cost $209,642,514)
|
$ | 196,281,779 | © | |
Obligation to Return Securities | ||||
Lending Collateral** –
(10.45%)
|
(15,676,995 | ) | ||
Borrowing Under Line of Credit – (26.68%) | (40,000,000 | ) | ||
Receivables and Other Assets | ||||
Net of Liabilities –
6.23%
|
9,337,816 | |||
Net Assets Applicable to 12,983,409 | ||||
Shares Outstanding; Equivalent
to
|
||||
$11.55 – 100.00%
|
$ | 149,942,600 | ||
Components of Net Assets at May 31, 2010: | ||||
Shares of beneficial interest | ||||
(unlimited authorization – no
par)
|
$ | 218,989,067 | ||
Distributions in excess of net investment income | (232,907 | ) | ||
Accumulated net realized loss on investments | (55,563,115 | ) | ||
Net unrealized depreciation of investments | ||||
and foreign currencies | (13,250,445 | ) | ||
Total net assets | $ | 149,942,600 |
v |
Securities have
been classified by type of business. Classification by country of origin
has been presented in Security type and country allocations on page
2.
|
* |
Fully or partially
on loan.
|
± |
Security is being
valued based on international fair value pricing. At May 31, 2010, the
aggregate amount of international fair value priced securities was
$30,540,899, which represented 20.37% of the Fund’s net assets. See Note 1
in “Notes to financial statements.”
|
† |
Non income
producing security.
|
@ |
Illiquid security.
At May 31, 2010, the aggregate amount of illiquid securities was
$3,511,285 ,which represented 2.34% of the Fund’s net assets. See Note 10
in “Notes to financial statements.”
|
· |
Variable rate
security. The rate shown is the rate as of May 31,
2010.
|
# |
Security exempt
from registration under Rule 144A of the Securities Act of 1933, as
amended. At May 31, 2010, the aggregate amount of Rule 144A securities was
$27,322,347, which represented 18.22% of the Fund’s net assets. See Note
10 in “Notes to financial statements.”
|
w |
Pass 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.
|
Φ |
Step coupon bond.
Coupon decreases periodically based on a predetermined schedule. Stated
rate in effect at May 31, 2010.
|
W |
Step 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.
|
‡ |
Non income producing security. Security is
currently in default.
|
∏ |
Restricted
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 May 31, 2010, the aggregate
amount of the restricted securities was $60,350 or 0.04% of the Fund’s net
assets. See Note 10 in “Notes to financial statements.”
|
« |
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. Stated rate in effect at May 31,
2010.
|
= |
Security is being
fair valued in accordance with the Fund’s fair valuation policy. At May
31, 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 to
financial statements.”
|
¹ |
The rate shown is
the effective yield at the time of purchase.
|
** |
See Note 9 in
“Notes to financial statements.”
|
© |
Includes
$15,221,424 of securities loaned.
|
1The following foreign currency exchange contracts and swap contracts were outstanding at May 31, 2010: |
Unrealized | ||||||||||||||||
Contracts to | Settlement | Appreciation | ||||||||||||||
Receive (Deliver) | In Exchange For | Date | (Depreciation) | |||||||||||||
BRL | 1,000,000 | USD | (538,793 | ) | 7/1/10 | $ | 7,838 | |||||||||
BRL | 2,000,000 | USD | (1,079,797 | ) | 7/1/10 | 13,465 | ||||||||||
CAD | (17,838 | ) | USD | 16,833 | 6/1/10 | (113 | ) | |||||||||
JPY | (32,749,146 | ) | USD | 360,039 | 6/1/10 | (158 | ) | |||||||||
$ | 21,032 |
Annual | Unrealized | ||||||||||||||||
Counterparty & | Notional | Protection | Termination | Appreciation | |||||||||||||
Referenced Obligation | Value | Payments | Date | (Depreciation) | |||||||||||||
Protection Purchased: | |||||||||||||||||
Barclays | |||||||||||||||||
ITRAXX
Europe
|
|||||||||||||||||
Subordinate | |||||||||||||||||
Financials
12.1
|
|||||||||||||||||
5 yr
CDS
|
$ | 175,000 | 1.00 | % | 6/20/15 | $ | 1,058 | ||||||||||
JPMorgan Chase | |||||||||||||||||
Penney
(J.C.)
|
|||||||||||||||||
5 yr CDS | 85,000 | 1.00 | % | 3/20/15 | 194 | ||||||||||||
Sunoco 5 yr CDS | 40,000 | 1.00 | % | 3/20/15 | 1,801 | ||||||||||||
$ | 300,000 | $ | 3,053 | ||||||||||||||
Protection Sold: | |||||||||||||||||
JPMorgan Chase | |||||||||||||||||
MetLife 5 yr CDS | $ | 25,000 | 5.00 | % | 9/20/14 | $ | (61 | ) | |||||||||
Valero Energy | |||||||||||||||||
5 yr CDS | 40,000 | 1.00 | % | 3/20/15 | (1,097 | ) | |||||||||||
$ | 65,000 | $ | (1,158 | ) | |||||||||||||
Total | $ | 1,895 |
Investment Income: | $ | 1,536,878 | ||||||
Dividends
|
3,923,199 | |||||||
Interest | 38,244 | |||||||
Securities lending income | (72,574 | ) | $ | 5,425,747 | ||||
Foreign tax withheld | ||||||||
Expenses: | ||||||||
Management fees | 986,644 | |||||||
Reports to shareholders | 70,268 | |||||||
Accounting and administration expenses | 39,241 | |||||||
Custodian fees | 25,854 | |||||||
Dividend disbursing and transfer agent fees and expenses | 22,620 | |||||||
Pricing fees | 18,483 | |||||||
Leverage expenses | 14,555 | |||||||
NYSE fees | 11,909 | |||||||
Audit and tax | 11,582 | |||||||
Legal fees | 5,082 | |||||||
Trustees’ fees | 4,533 | |||||||
Dues and services | 3,365 | |||||||
Insurance fees | 2,740 | |||||||
Consulting fees | 807 | |||||||
Trustee’s expenses | 425 | |||||||
Registration fees | 173 | |||||||
Total operating expenses (before interest expense) | 1,218,281 | |||||||
Interest expense | 314,606 | |||||||
Total operating expenses (after interest expense) | 1,532,887 | |||||||
Net Investment Income | 3,892,860 | |||||||
Net Realized and Unrealized Gain (Loss) on Investments and Foreign Currencies: | ||||||||
Net realized gain (loss) on: | ||||||||
Investments
|
3,131,088 | |||||||
Foreign
currencies
|
(916,361 | ) | ||||||
Swap contracts | 2,777 | |||||||
Net realized gain | 2,217,504 | |||||||
Net change in unrealized appreciation/depreciation of investments and foreign currencies | (4,759,281 | ) | ||||||
Net Realized and Unrealized Loss on Investments and Foreign Currencies | (2,541,777 | ) | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 1,351,083 |
Six Months | Year | |||||||
Ended | Ended | |||||||
5/31/10 | 11/30/09 | |||||||
(Unaudited) | ||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment
income
|
$ | 3,892,860 | $ | 8,855,334 | ||||
Net realized gain (loss) on investments and foreign currencies | 2,217,504 | (22,022,484 | ) | |||||
Net change in unrealized appreciation/depreciation of investments and foreign currencies | (4,759,281 | ) | 72,084,301 | |||||
Net increase in net assets resulting from operations | 1,351,083 | 58,917,151 | ||||||
Dividends and Distributions to Shareholders from:1 | ||||||||
Net investment income | (7,971,237 | ) | (8,632,951 | ) | ||||
Tax return of capital | — | (7,780,966 | ) | |||||
(7,971,237 | ) | (16,413,917 | ) | |||||
Capital Share Transactions:2 | ||||||||
Cost of shares reinvested | 514,858 | 144,672 | ||||||
Increase in net assets derived from capital stock transactions | 514,858 | 144,672 | ||||||
Net Increase (Decrease) in Net Assets | (6,105,296 | ) | 42,647,906 | |||||
Net Assets: | ||||||||
Beginning of period | 156,047,896 | 113,399,990 | ||||||
End of period (including distributions in excess of net investment income of $232,907 | ||||||||
and $309,863, respectively) | $ | 149,942,600 | $ | 156,047,896 |
Net Cash (Including Foreign Currency) Provided by Operating Activities: | ||||
Net Increase in net assets resulting from operations | $ | 1,351,083 | ||
Adjustments to
reconcile net decrease in net assets from
|
||||
operations to cash provided by operating activities: | ||||
Amortization of premium and discount on investments purchased | (347,669 | ) | ||
Purchase of investment securities | (76,105,212 | ) | ||
Purchase of short-term investment securities, net | (928,017 | ) | ||
Proceeds from disposition of investment securities | 85,088,631 | |||
Net realized gain on investment transactions | (2,359,204 | ) | ||
Net change in unrealized appreciation/depreciation of investments and foreign currencies | 4,759,281 | |||
Increase in receivable for investments sold | (1,908,525 | ) | ||
Decrease in interest and dividends receivable | 89,461 | |||
Increase in payable for investments purchased | 924,790 | |||
Increase in interest payable | 159,634 | |||
Decrease in accrued expenses and other liabilities | (35,616 | ) | ||
Total adjustments | 9,337,554 | |||
Net cash provided by operating activities | 10,688,637 | |||
Cash Flows Used for Financing Activities: | ||||
Cash dividends and distributions paid | (7,971,237 | ) | ||
Net cash used for financing activities | (7,971,237 | ) | ||
Effect of exchange rates on cash | 684,632 | |||
Net increase in cash | 3,402,032 | |||
Cash at beginning of period | 3,970,963 | |||
Cash at end of period | $ | 7,372,995 | ||
Interest paid for borrowings during the period | $ | 154,972 |
Six Months | 6/29/072 | ||||||||||||||
Ended | Year Ended | to | |||||||||||||
5/31/101 | 11/30/09 | 11/30/08 | 11/30/07 | ||||||||||||
(Unaudited) | |||||||||||||||
Net asset value, beginning of period | $12.060 | $8.770 | $17.640 | $19.100 | |||||||||||
Income (loss) from investment operations: | |||||||||||||||
Net investment income3 | 0.300 | 0.685 | 0.769 | 0.288 | |||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | (0.195 | ) | 3.875 | (7.935 | ) | (1.285 | ) | ||||||||
Total from investment operations | 0.105 | 4.560 | (7.166 | ) | (0.997 | ) | |||||||||
Less dividends and distributions from: | |||||||||||||||
Net investment income | (0.615 | ) | (0.668 | ) | (0.644 | ) | (0.284 | ) | |||||||
Return of capital | — | (0.602 | ) | (1.060 | ) | (0.142 | ) | ||||||||
Total dividends and distributions | (0.615 | ) | (1.270 | ) | (1.704 | ) | (0.426 | ) | |||||||
Capital share transactions | |||||||||||||||
Common share offering costs charged to paid in capital | — | — | — | (0.037 | ) | ||||||||||
Total capital share transactions | — | — | — | (0.037 | ) | ||||||||||
Net asset value, end of period | $11.550 | $12.060 | $8.770 | $17.640 | |||||||||||
Market value, end of period | $11.040 | $12.290 | $6.080 | $15.370 | |||||||||||
Total return based on:4 | |||||||||||||||
Net asset value | 0.82% | 59.12% | (42.25% | ) | (4.97% | ) | |||||||||
Market value | (5.44% | ) | 134.96% | (54.14% | ) | (17.24% | ) | ||||||||
Ratios and supplemental data: | |||||||||||||||
Net assets, end of period (000 omitted) | $149,943 | $156,048 | $113,400 | $228,204 | |||||||||||
Ratio of expenses to average net assets | 1.95% | 2.14% | 1.66% | 1.17% | |||||||||||
Ratio of expenses to adjusted average net assets (before interest expense)5 | 1.23% | 1.26% | 1.24% | 1.17% | |||||||||||
Ratio of interest expense to adjusted average net assets5 | 0.32% | 0.35% | 0.29% | — | |||||||||||
Ratio of net investment income to average net assets | 4.95% | 6.73% | 5.33% | 3.68% | |||||||||||
Ratio of net investment income to adjusted average net assets5 | 3.95% | 5.06% | 4.91% | 3.68% | |||||||||||
Portfolio turnover | 84% | 88% | 97% | 175% | |||||||||||
Leverage Analysis: | |||||||||||||||
Debt outstanding at end of period at par (000 omitted) | $40,000 | $40,000 | $40,000 | — | |||||||||||
Asset coverage per $1,000 of debt outstanding at end of period | $4,749 | $4,901 | $3,835 | — |
Investment management fee payable to DMC | $ | 164,819 |
Fees and other expenses payable to DSC | 824 | |
Other expenses payable to DMC and affiliates* | 8,825 |
Level 1 | Level 2 | Level 3 | Total | |||||||||
Asset- & Mortgage- | ||||||||||||
Backed
Securities
|
$ | — | $ | 8,975,144 | $ | 39,965 | $ | 9,015,109 | ||||
Common Stock | 46,741,983 | 30,477,703 | — | 77,219,686 | ||||||||
Corporate Debt | 310,110 | 65,348,728 | 191,695 | 65,850,533 | ||||||||
Foreign Debt | — | 13,957,460 | 2,757,348 | 16,714,808 | ||||||||
Investment Companies | 14,217 | — | — | 14,217 | ||||||||
U.S. Treasury Obligations | 524,718 | — | — | 524,718 | ||||||||
Short-Term | ||||||||||||
Investments | — | 11,164,082 | — | 11,164,082 | ||||||||
Securities Lending | ||||||||||||
Collateral | 13,848,897 | 1,482,278 | 13,945 | 15,345,120 | ||||||||
Other | — | 433,506 | — | 433,506 | ||||||||
Total | $ | 61,439,925 | $ | 131,838,901 | $ | 3,002,953 | $ | 196,281,779 | ||||
Foreign Currency | ||||||||||||
Exchange Contracts | $ | — | $ | 21,032 | $ | — | $ | 21,032 | ||||
Swap Contracts | $ | — | $ | 1,895 | $ | — | $ | 1,895 |
Asset- 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 | 1,662,152 | — | 1,847,152 | |||||||||||||
Sales | (18,742 | ) | — | (2,280,758 | ) | — | (2,299,500 | ) | ||||||||||
Net realized gain | 12 | — | 34,883 | — | 34,895 | |||||||||||||
Transfers out of | ||||||||||||||||||
Level 3 | (231,020 | ) | — | — | — | (231,020 | ) | |||||||||||
Net change in | ||||||||||||||||||
unrealized | ||||||||||||||||||
appreciation/ | ||||||||||||||||||
depreciation | 158,645 | 6,695 | (137,929 | ) | — | 27,411 | ||||||||||||
Balance as of | ||||||||||||||||||
5/31/10 | $ | 39,965 | $ | 191,695 | $ | 2,757,348 | $ | 13,945 | $ | 3,002,953 | ||||||||
Net change in | ||||||||||||||||||
unrealized | ||||||||||||||||||
appreciation/ | ||||||||||||||||||
depreciation | ||||||||||||||||||
from investments | ||||||||||||||||||
still held as of | ||||||||||||||||||
5/31/10 | $ | 163,069 | $ | 6,695 | $ | (96,462 | ) | $ | — | $ | 73,302 |
Six Months | Year | |||||
Ended | Ended | |||||
5/31/10* | 11/30/09 | |||||
Ordinary income | $ | 7,971,237 | $ | 8,632,951 | ||
Return of capital | — | 7,780,966 | ||||
Total | $ | 7,971,237 | $ | 16,413,917 |
Shares of beneficial interest | $ | 218,989,067 | ||
Realized gains 12/1/09 – 5/31/10 | 3,478,202 | |||
Capital loss carryforwards as of 11/30/09 | (58,412,011 | ) | ||
Other temporary differences | (191,577 | ) | ||
Unrealized depreciation of investments, swap | ||||
contracts and foreign currencies | (13,921,081 | ) | ||
Net assets | $ | 149,942,600 |
Distributions in excess of net investment income | $ | 4,155,333 | ||
Accumulated net realized loss | 875,694 | |||
Paid-in capital | (5,031,027 | ) |
Asset Derivatives | Liability Derivatives | ||||||||||
Statement of | Statement of | ||||||||||
Net Assets | Net Assets | ||||||||||
Location | Fair Value | Location | Fair Value | ||||||||
Foreign exchange | Payables/ | ||||||||||
contracts (Forward | Net Assets | ||||||||||
Currency Contracts) | unrealized | ||||||||||
Receivables | $ | 21,303 | depreciation | $ | (271 | ) | |||||
Payables/ | |||||||||||
Net Assets | |||||||||||
unrealized | |||||||||||
Credit contracts (Swaps) | Receivables | 1,895 | depreciation | — | |||||||
Total | $ | 23,198 | $ | (271 | ) |
Change in | ||||||||||
Location of Gain | Realized Gain | Unrealized | ||||||||
or Loss on | or Loss on | Appreciation | ||||||||
Derivatives | Derivatives | on Derivatives | ||||||||
Recognized in | Recognized in | Recognized in | ||||||||
Income | Income | Income | ||||||||
Foreign | Net realized loss | |||||||||
exchange | on foreign | |||||||||
contracts | currencies and | |||||||||
(Forward | net change | |||||||||
Currency | in unrealized | |||||||||
Contracts) | appreciation/ | |||||||||
depreciation | ||||||||||
of investments | ||||||||||
and foreign | ||||||||||
currencies | $(136,245 | ) | $21,032 | |||||||
Credit contracts | Net realized | |||||||||
(Swaps) | gain on swap | |||||||||
contracts and | ||||||||||
net change | ||||||||||
in unrealized | ||||||||||
appreciation/ | ||||||||||
depreciation | ||||||||||
of investments | ||||||||||
and foreign | ||||||||||
currencies | 2,777 | 935 | ||||||||
Total | $(133,468 | ) | $21,967 |
Board of
Directors
|
Affiliated
officers
|
Contact
information
|
Patrick P. Coyne
Chairman, President, and Chief Executive Officer Delaware Investments® Family of Funds Philadelphia, PA Thomas L. Bennett†
Private Investor Rosemont, PA John A. Fry
President Franklin & Marshall College Lancaster, PA Anthony D. Knerr
Founder and Managing Director Anthony Knerr & Associates New York, NY President-Elect Drexel University Philadelphia, PA Lucinda S.
Landreth
Former Chief Investment Officer Assurant Inc. Philadelphia, PA Ann R. Leven
Consultant ARL Associates New York, NY Thomas F. Madison†
President and Chief Executive Officer MLM Partners Inc. Minneapolis, MN Janet L. Yeomans†
Vice President and Treasurer 3M Corporation St. Paul, MN J. Richard Zecher†
Founder Investor Analytics Scottsdale, AZ |
David F. Connor
Vice President, Deputy General Counsel, and Secretary Delaware Investments Family of Funds Philadelphia, PA Daniel V. Geatens
Vice President and Treasurer Delaware Investments Family of Funds Philadelphia, PA David P. O’Connor
Senior Vice President, General Counsel, and Chief Legal Officer Delaware Investments Family of Funds Philadelphia, PA Richard Salus
Senior Vice President and Chief Financial Officer Delaware Investments Family of Funds Philadelphia, PA The Fund files its
complete schedule of portfolio holdings with the Securities and Exchange
Commission (SEC) for the first and third quarters of each fiscal year on
Form N-Q. The Fund’s Forms N-Q, as well as a description of the policies
and procedures that the Fund uses to determine how to vote proxies (if
any) relating to portfolio securities is available without charge (i) upon
request, by calling 800 523-1918; (ii) on the Fund’s Web site at
www.delawareinvestments.com; and (iii) on the SEC’s Web site at
www.sec.gov. The Fund’s Forms N-Q may be reviewed and copied at the SEC’s
Public Reference Room in Washington, DC; information on the operation of
the Public Reference Room may be obtained by calling 800
SEC-0330.
Information (if
any) regarding how the Fund voted proxies relating to portfolio securities
during the most recently disclosed 12-month period ended June 30 is
available without charge (i) through the Fund’s Web site at
http://www.delawareinvestments.com; and (ii) on the SEC’s Web site at
www.sec.gov.
|
Investment
manager
Delaware Management Company a series of Delaware Management Business Trust Philadelphia, PA Principal office of the
Fund
2005 Market Street Philadelphia, PA 19103-7094 Independent registered
public
accounting firm PricewaterhouseCoopers LLP Two Commerce Square Suite 1700 2001 Market Street Philadelphia, PA 19103-7042 Registrar and stock
transfer
agent BNY Mellon Shareowner Services 480 Washington Blvd. Jersey City, NJ 07310 800 851-9677 For securities dealers
and financial institutions representatives 800 362-7500 Web site
www.delawareinvestments.com Delaware Investments, a member of Macquarie Group, refers to Delaware Management Holdings, Inc. and its subsidiaries. Macquarie Group refers to Macquarie Group Limited and its subsidiaries and affiliates worldwide. Your reinvestment
options
Delaware Enhanced Global Dividend and Income Fund offers an automatic dividend reinvestment program. If you would like to change your reinvestment option, and shares are registered in your name, contact BNY Mellon Shareowner Services, at 800 851-9677. You will be asked to put your request in writing. If you have shares registered in “street” name, contact the broker/dealer holding the shares or your financial advisor. |
PATRICK P. COYNE | |
By: | Patrick P. Coyne |
Title: | Chief Executive Officer |
Date: | July 30, 2010 |
PATRICK P. COYNE | |
By: | Patrick P. Coyne |
Title: | Chief Executive Officer |
Date: | July 30, 2010 |
RICHARD SALUS | |
By: | Richard Salus |
Title: | Chief Financial Officer |
Date: | July 30, 2010 |