Semiannual Report |
Delaware
Enhanced Global Dividend and Income Fund |
May 31, 2011 | |
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/sector/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 | 31 | |
About the organization | 35 |
Percentage | ||
Security type/sector | of Net Assets | |
Common Stock | 54.27 | % |
Consumer Discretionary | 5.39 | % |
Consumer Staples | 5.75 | % |
Diversified REITs | 0.62 | % |
Energy | 4.30 | % |
Financials | 6.42 | % |
Healthcare | 6.55 | % |
Healthcare REITs | 0.12 | % |
Hotel REITs | 0.13 | % |
Industrial REITs | 0.99 | % |
Industrials | 7.93 | % |
Information Technology | 4.45 | % |
Mall REITs | 0.46 | % |
Manufactured Housing REIT | 0.08 | % |
Materials | 2.89 | % |
Mixed REIT | 0.29 | % |
Mortgage REITs | 0.09 | % |
Multifamily REITs | 0.22 | % |
Office REITs | 0.59 | % |
Real Estate Management & Development | 0.35 | % |
Self-Storage REIT | 0.04 | % |
Shopping Center REITs | 0.83 | % |
Single Tenant REIT | 0.14 | % |
Telecommunications | 3.75 | % |
Utilities | 1.89 | % |
Convertible Preferred Stock | 2.59 | % |
Agency Collateralized Mortgage Obligations | 0.24 | % |
Agency Mortgage-Backed Securities | 1.54 | % |
Commercial Mortgage-Backed Securities | 1.16 | % |
Convertible Bonds | 10.37 | % |
Aerospace & Defense | 0.29 | % |
Auto Parts & Equipment | 0.32 | % |
Banking, Finance & Insurance | 0.48 | % |
Basic Materials | 0.55 | % |
Cable, Media & Publishing | 0.15 | % |
Computers & Technology | 2.11 | % |
Energy | 0.41 | % |
Healthcare & Pharmaceuticals | 1.78 | % |
Leisure, Lodging & Entertainment | 0.75 | % |
Machinery | 0.11 | % |
Real Estate | 0.94 | % |
Telecommunications | 2.48 | % |
Corporate Bonds | 33.65 | % |
Banking | 1.09 | % |
Basic Industry | 3.21 | % |
Brokerage | 0.34 | % |
Capital Goods | 2.95 | % |
Consumer Cyclical | 3.67 | % |
Consumer Non-Cyclical | 2.91 | % |
Energy | 5.32 | % |
Finance & Investments | 1.68 | % |
Media | 2.50 | % |
Real Estate | 0.42 | % |
Services Cyclical | 2.43 | % |
Services Non-Cyclical | 1.06 | % |
Technology | 1.43 | % |
Telecommunications | 3.90 | % |
Utilities | 0.74 | % |
Non-Agency Asset-Backed Securities | 0.15 | % |
Non-Agency Collateralized Mortgage Obligations | 0.19 | % |
Senior Secured Loans | 0.79 | % |
Sovereign Bonds | 4.92 | % |
Supranational Bank | 0.67 | % |
U.S. Treasury Obligations | 0.28 | % |
Leveraged Non-Recourse Security | 0.00 | % |
Residual Interest Trust Certificate | 0.00 | % |
Exchange-Traded Fund | 2.61 | % |
Preferred Stock | 0.83 | % |
Short-Term Investments | 5.53 | % |
Securities Lending Collateral | 18.74 | % |
Total Value of Securities | 138.53 | % |
Obligation to Return Securities Lending Collateral | (18.92 | %) |
Borrowing Under Line of Credit | (22.63 | %) |
Receivables and Other Assets Net of Other Liabilities | 3.02 | % |
Total Net Assets | 100.00 | % |
Percentage | ||
Country | of Net Assets | |
Australia | 1.01 | % |
Barbados | 0.18 | % |
Belgium | 0.01 | % |
Bermuda | 0.38 | % |
Brazil | 1.20 | % |
Canada | 2.52 | % |
Cayman Islands | 0.56 | % |
Chile | 0.68 | % |
China | 0.74 | % |
Colombia | 0.61 | % |
Croatia | 0.17 | % |
France | 7.99 | % |
Germany | 2.01 | % |
Hong Kong | 0.99 | % |
Indonesia | 1.18 | % |
Ireland | 0.55 | % |
Israel | 0.64 | % |
Italy | 1.89 | % |
Japan | 3.30 | % |
Luxembourg | 1.43 | % |
Mexico | 0.70 | % |
Netherlands | 1.60 | % |
Panama | 0.61 | % |
Peru | 0.23 | % |
Philippines | 0.61 | % |
Poland | 0.62 | % |
Qatar | 0.17 | % |
Republic of Korea | 0.44 | % |
Russia | 0.84 | % |
Singapore | 0.88 | % |
Supranational | 0.67 | % |
Spain | 1.33 | % |
Sweden | 1.39 | % |
Switzerland | 1.41 | % |
Taiwan | 0.88 | % |
Turkey | 0.11 | % |
United Kingdom | 4.12 | % |
United States | 69.36 | % |
Uruguay | 0.25 | % |
Total | 114.26 | % |
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock – 54.27%v | ||||||
Consumer Discretionary – 5.39% | ||||||
Bayerische Motoren Werke | 9,381 | $ | 832,249 | |||
† | DIRECTV Class A | 1,900 | 95,494 | |||
* | Don Quijote | 14,500 | 506,829 | |||
* | Genuine Parts | 13,100 | 717,880 | |||
Home Depot | 15,700 | 569,596 | ||||
Hyundai Department Store | 3,546 | 604,247 | ||||
Mattel | 25,800 | 680,991 | ||||
* | PPR | 3,440 | 600,292 | |||
* | Publicis Groupe | 10,729 | 591,128 | |||
Sumitomo Rubber Industries | 12,409 | 143,765 | ||||
* | Techtronic Industries | 537,000 | 657,999 | |||
Toyota Motor | 33,284 | 1,390,824 | ||||
Vivendi | 41,336 | 1,157,660 | ||||
* | Yue Yuen Industrial Holdings | 280,500 | 975,483 | |||
9,524,437 | ||||||
Consumer Staples – 5.75% | ||||||
* | Aryzta | 23,314 | 1,297,068 | |||
Coca-Cola Amatil | 41,168 | 517,867 | ||||
ConAgra Foods | 41,700 | 1,060,431 | ||||
Greggs | 100,081 | 867,370 | ||||
Heinz (H.J.) | 18,900 | 1,037,988 | ||||
Kimberly-Clark | 15,400 | 1,051,820 | ||||
Kraft Foods Class A | 30,600 | 1,070,082 | ||||
Lorillard | 9,000 | 1,037,520 | ||||
Metro | 13,726 | 917,013 | ||||
Parmalat | 354,438 | 1,314,691 | ||||
10,171,850 | ||||||
Diversified REITs – 0.62% | ||||||
Cyrela Brazil Realty | 4,100 | 43,919 | ||||
* | Duke Realty | 8,600 | 129,344 | |||
* | Entertainment Properties Trust | 8,236 | 400,104 | |||
Lexington Reality Trust | 28,070 | 264,981 | ||||
Stockland | 70,059 | 264,445 | ||||
1,102,793 | ||||||
Energy – 4.30% | ||||||
Chevron | 6,500 | 681,915 | ||||
CNOOC | 415,000 | 1,042,010 | ||||
ConocoPhillips | 10,900 | 798,098 | ||||
Petroleo Brasileiro ADR | 30,900 | 965,934 | ||||
* | Royal Dutch Shell ADR | 14,300 | 1,034,176 | |||
Spectra Energy | 37,600 | 1,037,384 | ||||
* | Total | 19,083 | 1,102,015 | |||
* | Total ADR | 16,400 | 944,476 | |||
7,606,008 | ||||||
Financials – 6.42% | ||||||
Allstate | 32,500 | 1,019,850 | ||||
* | AXA | 60,009 | 1,286,569 | |||
Banco Santander | 60,743 | 723,790 | ||||
BB&T | 19,100 | 526,014 | ||||
* | Fifth Street Finance | 26,754 | 329,877 | |||
Gallagher (Arthur J.) | 28,900 | 829,719 | ||||
Marsh & McLennan | 23,300 | 714,611 | ||||
* | Mitsubishi UFJ Financial Group | 190,989 | 880,525 | |||
Nordea Bank | 90,500 | 1,063,284 | ||||
Solar Capital | 43,539 | 1,077,590 | ||||
Standard Chartered | 38,931 | 1,045,174 | ||||
Travelers | 14,300 | 887,744 | ||||
UniCredit | 420,721 | 959,653 | ||||
11,344,400 | ||||||
Healthcare – 6.55% | ||||||
Abbott Laboratories | 14,900 | 778,525 | ||||
*† | Alliance HealthCare Services | 6,522 | 28,240 | |||
Baxter International | 9,400 | 559,488 | ||||
Bristol-Myers Squibb | 33,700 | 969,212 | ||||
Johnson & Johnson | 14,000 | 942,060 | ||||
* | Meda Class A | 124,711 | 1,392,279 | |||
Merck | 37,400 | 1,374,450 | ||||
Novartis | 18,471 | 1,191,486 | ||||
Pfizer | 53,944 | 1,157,099 | ||||
* | Sanofi | 14,228 | 1,128,092 | |||
* | Sanofi ADR | 23,100 | 914,991 | |||
Teva Pharmaceutical | ||||||
Industries ADR | 22,300 | 1,135,070 | ||||
11,570,992 | ||||||
Healthcare REITs – 0.12% | ||||||
Cogdell Spencer | 15,000 | 90,000 | ||||
Nationwide Health Properties | 2,800 | 122,640 | ||||
212,640 | ||||||
Hotel REITs – 0.13% | ||||||
Ashford Hospitality Trust | 4,500 | 64,215 | ||||
DiamondRock Hospitality | 15,000 | 172,500 | ||||
236,715 | ||||||
Industrial REITs – 0.99% | ||||||
Cambridge Industrial Trust | 1,170,000 | 474,221 | ||||
DCT Industrial Trust | 16,877 | 95,524 | ||||
*† | First Industrial Realty Trust | 47,109 | 592,631 | |||
Goodman Group | 247,237 | 194,229 | ||||
STAG Industrial | 31,263 | 397,040 | ||||
1,753,645 | ||||||
Industrials – 7.93% | ||||||
Alstom | 18,889 | 1,173,101 | ||||
Asahi Glass | 58,000 | 685,308 | ||||
Compaigne de Saint-Gobain | 15,228 | 1,010,342 | ||||
Deutsche Post | 77,364 | 1,459,822 | ||||
* | Finmeccanica | 85,107 | 1,062,105 | |||
† | Flextronics International | 6,400 | 46,336 | |||
ITOCHU | 116,398 | 1,204,155 | ||||
Koninklijke Philips Electronics | 32,279 | 898,775 | ||||
*† | Mobile Mini | 2,394 | 53,865 |
Number of | Value | |||||
Shares | (U.S. $) | |||||
Common Stock (continued) | ||||||
Industrials (continued) | ||||||
* | Northrop Grumman | 11,200 | $ | 731,248 | ||
Raytheon | 21,100 | 1,063,018 | ||||
Singapore Airlines | 90,000 | 1,033,677 | ||||
* | Teleperformance | 39,480 | 1,352,034 | |||
Vallourec | 9,466 | 1,189,285 | ||||
* | Waste Management | 27,200 | 1,057,536 | |||
14,020,607 | ||||||
Information Technology – 4.45% | ||||||
Automatic Data Processing | 16,400 | 903,804 | ||||
Canon ADR | 15,600 | 748,488 | ||||
† | CGI Group Class A | 107,484 | 2,477,627 | |||
HTC | 36,450 | 1,557,561 | ||||
Intel | 53,100 | 1,195,281 | ||||
Microsoft | 30,300 | 757,803 | ||||
† | Sohu.com | 2,800 | 225,764 | |||
7,866,328 | ||||||
Mall REITs – 0.46% | ||||||
General Growth Properties | 12,763 | 210,334 | ||||
Simon Property Group | 5,095 | 601,516 | ||||
811,850 | ||||||
Manufactured Housing REIT – 0.08% | ||||||
Equity Lifestyle Properties | 2,300 | 135,125 | ||||
135,125 | ||||||
Materials – 2.89% | ||||||
ArcelorMittal | 16,161 | 541,003 | ||||
duPont (E.I.) deNemours | 11,000 | 586,300 | ||||
* | Lafarge | 15,702 | 1,087,332 | |||
MeadWestvaco | 18,900 | 642,978 | ||||
Rexam | 193,041 | 1,274,161 | ||||
Rio Tinto | 14,011 | 976,259 | ||||
5,108,033 | ||||||
Mixed REIT – 0.29% | ||||||
* | Digital Realty Trust | 8,300 | 517,671 | |||
517,671 | ||||||
Mortgage REITs – 0.09% | ||||||
* | Chimera Investment | 12,100 | 47,311 | |||
* | Cypress Sharpridge Investments | 8,200 | 105,288 | |||
152,599 | ||||||
Multifamily REITs – 0.22% | ||||||
Camden Property Trust | 4,469 | 287,268 | ||||
* | Investors Real Estate Trust | 10,260 | 99,419 | |||
386,687 | ||||||
Office REITs – 0.59% | ||||||
@ | Alstria Office REIT | 9,710 | 152,141 | |||
* | Government Properties | |||||
Income Trust | 3,852 | 102,001 | ||||
Mack-Cali Realty | 8,300 | 293,488 | ||||
Orix JREIT | 17 | 92,025 | ||||
Parkway Properties | 3,500 | 64,260 | ||||
SL Green Realty | 3,679 | 331,147 | ||||
1,035,062 | ||||||
Real Estate Management & Development – 0.35% | ||||||
Mitsubishi Estate | 10,549 | 188,439 | ||||
* | Renhe Commercial Holdings | 264,000 | 47,220 | |||
Starwood Property Trust | 17,700 | 384,798 | ||||
620,457 | ||||||
Self-Storage REIT – 0.04% | ||||||
Extra Space Storage | 3,455 | 75,181 | ||||
75,181 | ||||||
Shopping Center REITs – 0.83% | ||||||
∏ | Charter Hall Retail REIT | 71,117 | 254,011 | |||
Corio | 2,648 | 181,893 | ||||
* | Kimco Realty | 8,157 | 159,143 | |||
Link REIT | 33,000 | 112,286 | ||||
* | Ramco-Gershenson | |||||
Properties Trust | 13,783 | 181,109 | ||||
Regency Centers | 900 | 41,679 | ||||
Unibail-Rodamco | 1,399 | 316,368 | ||||
Westfield Group | 16,989 | 165,117 | ||||
Westfield Retail Trust | 21,112 | 60,019 | ||||
1,471,625 | ||||||
Single Tenant REIT – 0.14% | ||||||
* | National Retail Properties | 9,337 | 240,708 | |||
240,708 | ||||||
Telecommunications – 3.75% | ||||||
AT&T | 33,500 | 1,057,260 | ||||
CenturyLink | 17,100 | 738,549 | ||||
* | Frontier Communications | 65,000 | 575,250 | |||
† | GeoEye | 500 | 16,585 | |||
Mobile TeleSystems ADR | 38,300 | 776,341 | ||||
† | NII Holdings | 25,100 | 1,095,866 | |||
Telefonica | 44,444 | 1,080,572 | ||||
Verizon Communications | 18,100 | 668,433 | ||||
Vodafone Group | 221,417 | 615,633 | ||||
6,624,489 | ||||||
Utilities – 1.89% | ||||||
Edison International | 13,300 | 523,488 | ||||
National Grid | 105,742 | 1,091,643 | ||||
* | National Grid ADR | 14,000 | 728,140 | |||
NorthWestern | 3,800 | 125,666 | ||||
Progress Energy | 18,400 | 876,208 | ||||
3,345,145 | ||||||
Total Common Stock (cost $87,765,157) | 95,935,047 | |||||
Convertible Preferred Stock – 2.59% | ||||||
Auto Parts & Equipment – 0.12% | ||||||
Goodyear Tire & Rubber 5.875% | ||||||
exercise price $18.21, | ||||||
expiration date 4/1/14 | 3,750 | 221,016 | ||||
221,016 |
Number of | Value | |||||
Shares | (U.S. $) | |||||
Convertible Preferred Stock (continued) | ||||||
Banking, Finance & Insurance – 0.81% | ||||||
Aspen Insurance Holdings | ||||||
5.625% exercise price $29.28, | ||||||
expiration date 12/31/49 | 5,024 | $ | 270,354 | |||
* | Bank of America 7.25% | |||||
exercise price $50.00, | ||||||
expiration date 12/31/49 | 412 | 430,642 | ||||
Citigroup 7.50% | ||||||
exercise price $39.38, | ||||||
expiration date 12/15/12 | 3,440 | 414,520 | ||||
MetLife 5.00% | ||||||
exercise price $44.27, | ||||||
expiration date 9/11/13 | 3,810 | 315,125 | ||||
1,430,641 | ||||||
Computers & Technology – 0.04% | ||||||
* | Unisys 6.25% | |||||
exercise price $45.66, | ||||||
expiration date 3/1/14 | 800 | 65,700 | ||||
65,700 | ||||||
Energy – 0.74% | ||||||
* | Apache 6.00% | |||||
exercise price $109.12, | ||||||
expiration date 8/1/13 | 3,100 | 206,243 | ||||
*# | Chesapeake Energy 144A | |||||
5.75% exercise price $27.94, | ||||||
expiration date 12/31/49 | 400 | 530,500 | ||||
SandRidge Energy 8.50% | ||||||
exercise price $8.01, | ||||||
expiration date 12/31/49 | 3,485 | 568,926 | ||||
1,305,669 | ||||||
Healthcare & Pharmaceuticals – 0.32% | ||||||
HealthSouth 6.50% | ||||||
exercise price $30.50, | ||||||
expiration date 12/31/49 | 479 | 565,340 | ||||
565,340 | ||||||
Telecommunications – 0.56% | ||||||
Lucent Technologies | ||||||
Capital Trust I 7.75% | ||||||
exercise price $24.80, | ||||||
expiration date 3/15/17 | 1,000 | 990,000 | ||||
990,000 | ||||||
Total Convertible Preferred Stock | ||||||
(cost $4,154,445) | 4,578,366 |
Principal | ||||||||
Amount° | ||||||||
Agency Collateralized Mortgage Obligations – 0.24% | ||||||||
Fannie Mae REMICs | ||||||||
Series 2001-50 BA | ||||||||
7.00% 10/25/41 | USD | 130,616 | 150,932 | |||||
Series 2003-122 | ||||||||
4.50% 2/25/28 | 64,478 | 66,933 | ||||||
Freddie Mac REMICs | ||||||||
Series 2557 WE | ||||||||
5.00% 1/15/18 | 60,000 | 66,252 | ||||||
Series 3131 MC | ||||||||
5.50% 4/15/33 | 40,000 | 43,572 | ||||||
Series 3173 PE | ||||||||
6.00% 4/15/35 | 65,000 | 72,470 | ||||||
Series 3337 PB | ||||||||
5.50% 7/15/30 | 24,563 | 24,952 | ||||||
Total Agency Collateralized | ||||||||
Mortgage Obligations (cost $385,612) | 425,111 | |||||||
Agency Mortgage-Backed Securities – 1.54% | ||||||||
• | Fannie Mae ARM | |||||||
2.572% 4/1/36 | 14,338 | 15,055 | ||||||
5.031% 3/1/38 | 29,806 | 31,891 | ||||||
5.141% 11/1/35 | 18,559 | 19,782 | ||||||
5.997% 10/1/36 | 8,296 | 8,824 | ||||||
6.013% 10/1/36 | 14,499 | 15,393 | ||||||
6.264% 4/1/36 | 71,128 | 77,018 | ||||||
Fannie Mae S.F. 15 yr | ||||||||
4.00% 7/1/25 | 122,580 | 127,993 | ||||||
4.00% 8/1/25 | 169,716 | 177,211 | ||||||
4.00% 11/1/25 | 178,412 | 186,625 | ||||||
5.50% 1/1/23 | 41,942 | 45,512 | ||||||
Fannie Mae S.F. 30 yr | ||||||||
5.00% 12/1/36 | 144,755 | 154,818 | ||||||
5.00% 12/1/37 | 17,146 | 18,284 | ||||||
5.00% 2/1/38 | 13,243 | 14,116 | ||||||
6.50% 6/1/36 | 29,915 | 33,855 | ||||||
6.50% 10/1/36 | 20,052 | 22,676 | ||||||
6.50% 12/1/37 | 34,872 | 39,587 | ||||||
Freddie Mac 6.00% 1/1/17 | 37,263 | 39,568 | ||||||
• | Freddie Mac ARM | |||||||
5.619% 7/1/36 | 15,077 | 15,839 | ||||||
5.801% 10/1/36 | 35,635 | 38,399 | ||||||
Freddie Mac S.F. 15 yr | ||||||||
5.00% 6/1/18 | 16,024 | 17,214 | ||||||
5.00% 12/1/22 | 85,139 | 91,701 | ||||||
Freddie Mac S.F. 30 yr | ||||||||
5.00% 1/1/34 | 730,777 | 782,517 | ||||||
7.00% 11/1/33 | 45,816 | 52,990 | ||||||
9.00% 9/1/30 | 52,496 | 62,573 | ||||||
GNMA I S.F. 30 yr | ||||||||
7.50% 12/15/23 | 92,310 | 109,545 | ||||||
7.50% 1/15/32 | 73,515 | 86,195 | ||||||
9.50% 9/15/17 | 70,202 | 81,665 | ||||||
12.00% 5/15/15 | 38,679 | 44,251 | ||||||
GNMA II S.F. 30 yr | ||||||||
6.00% 11/20/28 | 82,794 | 92,125 | ||||||
6.50% 2/20/30 | 192,158 | 217,748 | ||||||
Total Agency Mortgage-Backed | ||||||||
Securities (cost $2,506,039) | 2,720,970 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Commercial Mortgage-Backed Securities – 1.16% | |||||||
# | American Tower Trust 144A | ||||||
Series 2007-1A AFX | |||||||
5.42% 4/15/37 | USD | 75,000 | $ | 80,839 | |||
Bank of America | |||||||
Commercial Mortgage | |||||||
•Series 2004-3 A5 | |||||||
5.441% 6/10/39 | 49,548 | 53,645 | |||||
Series 2004-5 A3 | |||||||
4.561% 11/10/41 | 358,591 | 361,055 | |||||
Series 2005-1 A3 | |||||||
4.877% 11/10/42 | 25,437 | 25,436 | |||||
•Series 2005-6 A4 | |||||||
5.195% 9/10/47 | 180,000 | 198,132 | |||||
Bear Stearns Commercial | |||||||
Mortgage Securities | |||||||
•Series 2005-PW10 A4 | |||||||
5.405% 12/11/40 | 100,000 | 110,262 | |||||
•Series 2006-PW12 A4 | |||||||
5.722% 9/11/38 | 25,000 | 27,877 | |||||
Series 2007-PW15 A4 | |||||||
5.331% 2/11/44 | 75,000 | 80,497 | |||||
w• | Commercial Mortgage Pass | ||||||
Through Certificates | |||||||
Series 2005-C6 A5A | |||||||
5.116% 6/10/44 | 95,000 | 103,586 | |||||
Goldman Sachs Mortgage | |||||||
Securities II | |||||||
*•Series 2004-GG2 A6 | |||||||
5.396% 8/10/38 | 60,000 | 65,346 | |||||
Series 2005-GG4 A4A | |||||||
4.751% 7/10/39 | 115,000 | 123,760 | |||||
•Series 2006-GG6 A4 | |||||||
5.553% 4/10/38 | 60,000 | 65,403 | |||||
• | JPMorgan Chase Commercial | ||||||
Mortgage Securities | |||||||
Series 2005-LDP3 A4A | |||||||
4.936% 8/15/42 | 35,000 | 38,018 | |||||
• | LB-UBS Commercial | ||||||
Mortgage Trust | |||||||
Series 2004-C4 A4 | |||||||
5.323% 6/15/29 | 475,000 | 514,480 | |||||
• | Morgan Stanley Capital I | ||||||
Series 2007-T27 A4 | |||||||
5.641% 6/11/42 | 160,000 | 179,835 | |||||
# | Timberstar Trust | ||||||
Series 2006-1A A 144A | |||||||
5.668% 10/15/36 | 25,000 | 26,501 | |||||
Total Commercial Mortgage-Backed | |||||||
Securities (cost $1,808,341) | 2,054,672 | ||||||
Convertible Bonds – 10.37% | |||||||
Aerospace & Defense – 0.29% | |||||||
AAR 1.75% | |||||||
exercise price $29.43, | |||||||
expiration date 2/1/26 | 462,000 | 507,045 | |||||
507,045 | |||||||
Auto Parts & Equipment – 0.32% | |||||||
* | ArvinMeritor 4.00% | ||||||
exercise price $26.73, | |||||||
expiration date 2/15/27 | 583,000 | 569,883 | |||||
569,883 | |||||||
Banking, Finance & Insurance – 0.48% | |||||||
# | Ares Capital 144A 5.75% | ||||||
exercise price $19.13, | |||||||
expiration date 2/1/16 | 225,000 | 236,250 | |||||
* | Jefferies Group 3.875% | ||||||
exercise price $38.72, | |||||||
expiration date 11/1/29 | 615,000 | 624,225 | |||||
860,475 | |||||||
Basic Materials – 0.55% | |||||||
# | Owens-Brockway Glass | ||||||
Container 144A 3.00% | |||||||
exercise price $47.47, | |||||||
expiration date 5/28/15 | 528,000 | 550,440 | |||||
# | Sino-Forest 144A 5.00% | ||||||
exercise price $20.29, | |||||||
expiration date 8/1/13 | 377,000 | 426,953 | |||||
977,393 | |||||||
Cable, Media & Publishing – 0.15% | |||||||
Φ | General Cable 4.50% | ||||||
exercise price $36.75, | |||||||
expiration date 11/15/29 | 196,000 | 268,520 | |||||
268,520 | |||||||
Computers & Technology – 2.11% | |||||||
Advanced Micro Devices 6.00% | |||||||
exercise price $28.08, | |||||||
expiration date 5/1/15 | 626,000 | 653,387 | |||||
Euronet Worldwide 3.50% | |||||||
exercise price $40.48, | |||||||
expiration date 10/15/25 | 900,000 | 904,499 | |||||
* | Intel 3.25% exercise price $22.68, | ||||||
expiration date 8/1/39 | 338,000 | 420,810 | |||||
Linear Technology 3.00% | |||||||
exercise price $44.11, | |||||||
expiration date 5/1/27 | 850,000 | 921,187 | |||||
Rovi 2.625% | |||||||
exercise price $47.36, | |||||||
expiration date 2/15/40 | 326,000 | 449,473 | |||||
* | SanDisk 1.50% | ||||||
exercise price $52.37, | |||||||
expiration date 8/15/17 | 327,000 | 375,233 | |||||
3,724,589 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Convertible Bonds (continued) | |||||||
Energy – 0.41% | |||||||
Peabody Energy 4.75% | |||||||
exercise price $58.31, | |||||||
expiration date 12/15/41 | USD | 245,000 | $ | 309,925 | |||
Transocean | |||||||
1.50% exercise price $166.65, | |||||||
expiration date 12/15/37 | 400,000 | 395,500 | |||||
*1.50% exercise price $166.65, | |||||||
expiration date 12/15/37 | 14,000 | 14,035 | |||||
719,460 | |||||||
Healthcare & Pharmaceuticals – 1.78% | |||||||
Alere 3.00% | |||||||
exercise price $43.98, | |||||||
expiration date 5/15/36 | 613,000 | 711,846 | |||||
* | Amgen 0.375% | ||||||
exercise price $79.48, | |||||||
expiration date 2/1/13 | 510,000 | 517,650 | |||||
* | Dendreon 2.875% | ||||||
exercise price $51.24, | |||||||
expiration date 1/15/16 | 331,000 | 377,340 | |||||
ϕ
|
Hologic 2.00% | ||||||
exercise price $38.59, | |||||||
expiration date 12/15/37 | 910,000 | 892,938 | |||||
Medtronic 1.625% | |||||||
exercise price $54.00, | |||||||
expiration date 4/15/13 | 280,000 | 290,500 | |||||
Mylan 3.75% | |||||||
exercise price $13.32, | |||||||
expiration date 9/15/15 | 193,000 | 366,459 | |||||
3,156,733 | |||||||
Leisure, Lodging & Entertainment – 0.75% | |||||||
# | Gaylord Entertainment | ||||||
144A 3.75% | |||||||
exercise price $27.25, | |||||||
expiration date 10/1/14 | 310,000 | 418,888 | |||||
Live Nation | |||||||
Entertainment 2.875% | |||||||
exercise price $27.14, | |||||||
expiration date 7/15/27 | 959,000 | 901,459 | |||||
1,320,347 | |||||||
Machinery – 0.11% | |||||||
# | Altra Holdings 144A 2.75% | ||||||
exercise price $27.70, | |||||||
expiration date 3/1/31 | 165,000 | 191,606 | |||||
191,606 | |||||||
Real Estate – 0.94% | |||||||
# | Digital Realty Trust 144A 5.50% | ||||||
exercise price $42.49, | |||||||
expiration date 4/15/29 | 380,000 | 576,888 | |||||
* | Health Care REIT 3.00% | ||||||
exercise price $51.08, | |||||||
expiration date 12/1/29 | 574,000 | 651,490 | |||||
# | Lexington Realty | ||||||
Trust 144A 6.00% | |||||||
exercise price $7.09, | |||||||
expiration date 1/15/30 | 305,000 | 431,575 | |||||
1,659,953 | |||||||
Telecommunications – 2.48% | |||||||
# | Alaska Communications | ||||||
Systems Group 144A 6.25% | |||||||
exercise price $10.28, | |||||||
expiration date 5/1/18 | 459,000 | 462,443 | |||||
# | Ciena 144A 3.75% | ||||||
exercise price $20.17, | |||||||
expiration date 10/15/18 | 318,000 | 488,925 | |||||
# | Clearwire Communications | ||||||
144A 8.25% | |||||||
exercise price $7.08, | |||||||
expiration date 12/1/40 | 252,000 | 253,890 | |||||
Equinix 4.75% | |||||||
exercise price $84.32, | |||||||
expiration date 6/15/16 | 178,000 | 253,873 | |||||
* | Leap Wireless | ||||||
International 4.50% | |||||||
exercise price $93.21, | |||||||
expiration date 7/15/14 | 710,000 | 698,462 | |||||
Level 3 Communications 6.50% | |||||||
exercise price $1.23, | |||||||
expiration date 10/1/16 | 200,000 | 403,750 | |||||
NII Holdings 3.125% | |||||||
exercise price $118.32, | |||||||
expiration date 6/15/12 | 700,000 | 703,499 | |||||
SBA Communications 4.00% | |||||||
exercise price $30.38, | |||||||
expiration date 10/1/14 | 378,000 | 545,738 | |||||
* | VeriSign 3.25% | ||||||
exercise price $34.37, | |||||||
expiration date 8/15/37 | 480,000 | 571,799 | |||||
4,382,379 | |||||||
Total Convertible Bonds | |||||||
(cost $15,754,686) | 18,338,383 | ||||||
Corporate Bonds – 33.65% | |||||||
Banking – 1.09% | |||||||
Abbey National | |||||||
Treasury Services | |||||||
4.00% 4/27/16 | 30,000 | 30,194 | |||||
BAC Capital Trust VI | |||||||
5.625% 3/8/35 | 440,000 | 407,246 | |||||
Bank of America | |||||||
*5.625% 7/1/20 | 5,000 | 5,260 | |||||
6.50% 8/1/16 | 5,000 | 5,662 | |||||
City National | |||||||
5.25% 9/15/20 | 15,000 | 15,593 | |||||
* | Fifth Third Bancorp | ||||||
3.625% 1/25/16 | 20,000 | 20,480 | |||||
• | Fifth Third Capital Trust IV | ||||||
6.50% 4/15/37 | 270,000 | 270,000 | |||||
Goldman Sachs Group | |||||||
*3.625% 2/7/16 | 15,000 | 15,058 | |||||
5.375% 3/15/20 | 10,000 | 10,330 | |||||
6.25% 2/1/41 | 5,000 | 5,071 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Banking (continued) | |||||||
#• | HBOS Capital Funding 144A | ||||||
6.071% 6/29/49 | USD | 285,000 | $ | 257,925 | |||
JPMorgan Chase | |||||||
4.40% 7/22/20 | 20,000 | 19,856 | |||||
*4.625% 5/10/21 | 25,000 | 25,139 | |||||
JPMorgan Chase Capital XXV | |||||||
6.80% 10/1/37 | 55,000 | 56,421 | |||||
KeyCorp 5.10% 3/24/21 | 20,000 | 20,856 | |||||
PNC Funding | |||||||
5.125% 2/8/20 | 30,000 | 32,579 | |||||
5.25% 11/15/15 | 60,000 | 65,663 | |||||
5.625% 2/1/17 | 35,000 | 38,837 | |||||
Santander Holdings USA | |||||||
4.625% 4/19/16 | 10,000 | 10,304 | |||||
SunTrust Banks | |||||||
3.60% 4/15/16 | 5,000 | 5,125 | |||||
• | SunTrust Capital VIII | ||||||
6.10% 12/15/36 | 420,000 | 417,132 | |||||
SVB Financial Group | |||||||
5.375% 9/15/20 | 25,000 | 25,363 | |||||
US Bancorp | |||||||
4.125% 5/24/21 | 20,000 | 20,130 | |||||
• | USB Capital IX | ||||||
3.50% 10/29/49 | 80,000 | 67,390 | |||||
Wachovia | |||||||
•0.648% 10/15/16 | 10,000 | 9,515 | |||||
5.25% 8/1/14 | 20,000 | 21,789 | |||||
5.625% 10/15/16 | 35,000 | 39,133 | |||||
Wells Fargo 4.60% 4/1/21 | 10,000 | 10,259 | |||||
• | Wells Fargo Capital XIII | ||||||
7.70% 12/29/49 | 5,000 | 5,163 | |||||
1,933,473 | |||||||
Basic Industry – 3.21% | |||||||
* | AK Steel 7.625% 5/15/20 | 346,000 | 361,570 | ||||
Alcoa 6.75% 7/15/18 | 30,000 | 34,203 | |||||
# | Algoma Acquisition 144A | ||||||
9.875% 6/15/15 | 248,000 | 232,500 | |||||
# | APERAM 144A 7.75% 4/1/18 | 225,000 | 233,438 | ||||
# | Appleton Papers 144A | ||||||
10.50% 6/15/15 | 188,000 | 200,220 | |||||
ArcelorMittal | |||||||
5.50% 3/1/21 | 25,000 | 25,232 | |||||
9.85% 6/1/19 | 25,000 | 32,250 | |||||
# | Barrick North America | ||||||
Finance 144A | |||||||
4.40% 5/30/21 | 15,000 | 15,091 | |||||
5.70% 5/30/41 | 10,000 | 10,021 | |||||
# | Corp Nacional de Cobre | ||||||
de Chile 144A | |||||||
3.75% 11/4/20 | 500,000 | 482,631 | |||||
Dow Chemical | |||||||
4.25% 11/15/20 | 6,000 | 5,958 | |||||
8.55% 5/15/19 | 34,000 | 44,343 | |||||
duPont (E.I.) de Nemours | |||||||
3.625% 1/15/21 | 5,000 | 4,928 | |||||
# | FMG Resources | ||||||
August 2006 144A | |||||||
6.875% 2/1/18 | 90,000 | 94,500 | |||||
7.00% 11/1/15 | 180,000 | 188,100 | |||||
Georgia-Pacific | |||||||
8.00% 1/15/24 | 255,000 | 308,550 | |||||
#144A 5.40% 11/1/20 | 15,000 | 15,623 | |||||
# | Headwaters 144A | ||||||
7.625% 4/1/19 | 265,000 | 259,700 | |||||
* | Hexion US Finance | ||||||
9.00% 11/15/20 | 222,000 | 239,760 | |||||
International Coal Group | |||||||
9.125% 4/1/18 | 344,000 | 419,680 | |||||
* | International Paper | ||||||
9.375% 5/15/19 | 30,000 | 39,476 | |||||
*# | James River Escrow 144A | ||||||
7.875% 4/1/19 | 230,000 | 235,750 | |||||
# | JMC Steel Group 144A | ||||||
8.25% 3/15/18 | 260,000 | 269,750 | |||||
*# | Longview Fiber Paper & | ||||||
Packaging 144A | |||||||
8.00% 6/1/16 | 260,000 | 265,200 | |||||
Lyondell Chemical | |||||||
11.00% 5/1/18 | 325,000 | 367,656 | |||||
# | MacDermid 144A | ||||||
9.50% 4/15/17 | 238,000 | 255,255 | |||||
# | Millar Western Forest | ||||||
Products 144A | |||||||
8.50% 4/1/21 | 245,000 | 235,200 | |||||
# | Momentive Performance | ||||||
Materials 144A | |||||||
9.00% 1/15/21 | 416,000 | 446,159 | |||||
Reliance Steel & Aluminum | |||||||
6.85% 11/15/36 | 9,000 | 9,125 | |||||
Ryerson | |||||||
•7.648% 11/1/14 | 141,000 | 143,644 | |||||
12.00% 11/1/15 | 166,000 | 179,695 | |||||
Teck Resources | |||||||
9.75% 5/15/14 | 13,000 | 15,889 | |||||
5,671,097 | |||||||
Brokerage – 0.34% | |||||||
E Trade Financial | |||||||
6.75% 6/1/16 | 100,000 | 100,500 | |||||
PIK 12.50% 11/30/17 | 331,000 | 399,682 | |||||
Jefferies Group | |||||||
6.25% 1/15/36 | 5,000 | 4,880 | |||||
6.45% 6/8/27 | 60,000 | 61,294 | |||||
Lazard Group | |||||||
6.85% 6/15/17 | 34,000 | 38,084 | |||||
604,440 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Capital Goods – 2.95% | |||||||
# | Associated Materials | ||||||
144A 9.125% 11/1/17 | USD | 150,000 | $ | 155,438 | |||
Berry Plastics | |||||||
9.75% 1/15/21 | 267,000 | 268,669 | |||||
10.25% 3/1/16 | 130,000 | 131,300 | |||||
# | Building Materials | ||||||
of America 144A | |||||||
6.75% 5/1/21 | 263,000 | 265,630 | |||||
# | Cemex Espana | ||||||
Luxembourg 144A | |||||||
9.25% 5/12/20 | 529,000 | 544,208 | |||||
# | DAE Aviation Holdings 144A | ||||||
11.25% 8/1/15 | 184,000 | 194,350 | |||||
Kratos Defense & | |||||||
Security Solutions | |||||||
10.00% 6/1/17 | 225,000 | 248,625 | |||||
* | Manitowoc | ||||||
9.50% 2/15/18 | 215,000 | 239,188 | |||||
*# | Masonite International | ||||||
144A 8.25% 4/15/21 | 255,000 | 258,188 | |||||
* | Mueller Water Products | ||||||
7.375% 6/1/17 | 255,000 | 256,913 | |||||
# | Nortek 144A | ||||||
8.50% 4/15/21 | 265,000 | 254,069 | |||||
* | Ply Gem Industries | ||||||
13.125% 7/15/14 | 230,000 | 251,850 | |||||
# | Polypore International | ||||||
144A 7.50% 11/15/17 | 245,000 | 261,538 | |||||
Pregis 12.375% 10/15/13 | 244,000 | 243,390 | |||||
* | RBS Global/Rexnord | ||||||
11.75% 8/1/16 | 302,000 | 323,894 | |||||
Temple-Inland | |||||||
6.875% 1/15/18 | 10,000 | 11,180 | |||||
TriMas 9.75% 12/15/17 | 180,000 | 200,925 | |||||
# | Votorantim Cimentos | ||||||
144A 7.25% 4/5/41 | 1,118,000 | 1,109,614 | |||||
5,218,969 | |||||||
Consumer Cyclical – 3.67% | |||||||
* | American Axle & | ||||||
Manufacturing | |||||||
7.875% 3/1/17 | 395,000 | 406,850 | |||||
ArvinMeritor | |||||||
8.125% 9/15/15 | 246,000 | 259,530 | |||||
Beazer Homes USA | |||||||
9.125% 6/15/18 | 65,000 | 62,075 | |||||
#144A 9.125% 5/15/19 | 305,000 | 290,513 | |||||
# | Brown Group 144A | ||||||
7.125% 5/15/19 | 205,000 | 199,875 | |||||
# | Burlington Coat Factory | ||||||
Warehouse 144A | |||||||
10.00% 2/15/19 | 405,000 | 408,037 | |||||
*# | Chrysler Group 144A | ||||||
8.25% 6/15/21 | 250,000 | 250,625 | |||||
CKE Restaurants | |||||||
11.375% 7/15/18 | 171,000 | 188,100 | |||||
CVS Caremark | |||||||
5.75% 5/15/41 | 25,000 | 24,875 | |||||
* | Dana Holding | ||||||
6.75% 2/15/21 | 210,000 | 211,050 | |||||
Dave & Buster’s | |||||||
11.00% 6/1/18 | 280,000 | 306,600 | |||||
*# | DineEquity 144A | ||||||
9.50% 10/30/18 | 225,000 | 247,500 | |||||
*# | Dunkin Finance 144A | ||||||
9.625% 12/1/18 | 198,000 | 200,721 | |||||
Express 8.75% 3/1/18 | 93,000 | 101,370 | |||||
Family Dollar Stores | |||||||
5.00% 2/1/21 | 15,000 | 14,925 | |||||
* | Ford Motor | ||||||
7.45% 7/16/31 | 235,000 | 268,014 | |||||
Ford Motor Credit | |||||||
12.00% 5/15/15 | 195,000 | 249,423 | |||||
Hanesbrands | |||||||
6.375% 12/15/20 | 280,000 | 276,500 | |||||
Interface 7.625% 12/1/18 | 175,000 | 188,125 | |||||
# | International Automotive | ||||||
Components Group | |||||||
144A 9.125% 6/1/18 | 175,000 | 179,813 | |||||
# | Jaguar Land Rover 144A | ||||||
8.125% 5/15/21 | 260,000 | 266,500 | |||||
# | M/I Homes 144A | ||||||
8.625% 11/15/18 | 421,000 | 415,210 | |||||
*# | Needle Merger Sub 144A | ||||||
8.125% 3/15/19 | 210,000 | 213,675 | |||||
Norcraft | |||||||
10.50% 12/15/15 | 151,000 | 158,928 | |||||
#144A 10.50% 12/15/15 | 135,000 | 142,088 | |||||
# | Pinafore 144A | ||||||
9.00% 10/1/18 | 376,000 | 414,539 | |||||
Quiksilver | |||||||
6.875% 4/15/15 | 250,000 | 245,625 | |||||
Standard Pacific | |||||||
10.75% 9/15/16 | 119,000 | 138,040 | |||||
WMG Acquisition | |||||||
9.50% 6/15/16 | 150,000 | 159,938 | |||||
6,489,064 | |||||||
Consumer Non-Cyclical – 2.91% | |||||||
# | Accellent 144A | ||||||
10.00% 11/1/17 | 115,000 | 114,425 | |||||
Amgen 3.45% 10/1/20 | 25,000 | 24,231 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Consumer Non-Cyclical (continued) | |||||||
# | AMGH Merger Sub 144A | ||||||
9.25% 11/1/18 | USD | 245,000 | $ | 264,294 | |||
Anheuser-Busch | |||||||
InBev Worldwide | |||||||
5.375% 11/15/14 | 20,000 | 22,412 | |||||
# | Armored Autogroup | ||||||
144A 9.25% 11/1/18 | 290,000 | 295,438 | |||||
Bio-Rad Laboratories | |||||||
4.875% 12/15/20 | 20,000 | 20,400 | |||||
# | Blue Merger Sub 144A | ||||||
7.625% 2/15/19 | 255,000 | 261,534 | |||||
# | Bumble Bee Acquisition | ||||||
144A 9.00% 12/15/17 | 165,000 | 170,363 | |||||
CareFusion | |||||||
6.375% 8/1/19 | 65,000 | 74,606 | |||||
Celgene 3.95% 10/15/20 | 20,000 | 19,562 | |||||
Cott Beverages | |||||||
8.375% 11/15/17 | 132,000 | 141,900 | |||||
Covidien International Finance | |||||||
4.20% 6/15/20 | 20,000 | 20,599 | |||||
* | Dean Foods | ||||||
7.00% 6/1/16 | 364,000 | 366,729 | |||||
Delhaize Group | |||||||
5.70% 10/1/40 | 7,000 | 6,819 | |||||
6.50% 6/15/17 | 5,000 | 5,818 | |||||
# | DJO Finance 144A | ||||||
9.75% 10/15/17 | 374,000 | 391,297 | |||||
Dole Food | |||||||
13.875% 3/15/14 | 91,000 | 110,679 | |||||
Express Scripts | |||||||
3.125% 5/15/16 | 20,000 | 20,238 | |||||
Hospira 6.40% 5/15/15 | 95,000 | 108,268 | |||||
Kraft Foods | |||||||
6.125% 8/23/18 | 20,000 | 23,064 | |||||
Laboratory Corp. of | |||||||
America Holdings | |||||||
4.625% 11/15/20 | 25,000 | 25,615 | |||||
Lantheus Medical Imaging | |||||||
9.75% 5/15/17 | 321,000 | 330,629 | |||||
Life Technologies | |||||||
6.00% 3/1/20 | 5,000 | 5,482 | |||||
LVB Acquisition | |||||||
11.625% 10/15/17 | 244,000 | 275,110 | |||||
McKesson 4.75% 3/1/21 | 10,000 | 10,530 | |||||
Medco Health Solutions | |||||||
4.125% 9/15/20 | 20,000 | 19,847 | |||||
7.125% 3/15/18 | 10,000 | 12,033 | |||||
Merck 3.875% 1/15/21 | 15,000 | 15,142 | |||||
# | NBTY 144A | ||||||
9.00% 10/1/18 | 263,000 | 283,383 | |||||
PHH 9.25% 3/1/16 | 186,000 | 207,855 | |||||
Pinnacle Foods Finance | |||||||
10.625% 4/1/17 | 180,000 | 193,950 | |||||
Quest Diagnostics | |||||||
4.70% 4/1/21 | 5,000 | 5,161 | |||||
# | Quintiles Transnational PIK | ||||||
144A 9.50% 12/30/14 | 106,000 | 109,180 | |||||
# | Reynolds Group Issuer 144A | ||||||
8.25% 2/15/21 | 125,000 | 127,813 | |||||
9.00% 4/15/19 | 310,000 | 330,537 | |||||
* | Safeway 3.95% 8/15/20 | 15,000 | 14,823 | ||||
# | STHI Holding 144A | ||||||
8.00% 3/15/18 | 235,000 | 243,225 | |||||
Tops Holding | |||||||
10.125% 10/15/15 | 131,000 | 140,661 | |||||
# | Viskase 144A | ||||||
9.875% 1/15/18 | 228,000 | 240,255 | |||||
# | Woolworths 144A | ||||||
4.55% 4/12/21 | 15,000 | 15,389 | |||||
Yale University | |||||||
2.90% 10/15/14 | 45,000 | 47,371 | |||||
Zimmer Holdings | |||||||
4.625% 11/30/19 | 30,000 | 32,176 | |||||
5,148,843 | |||||||
Energy – 5.32% | |||||||
American Petroleum | |||||||
Tankers Parent | |||||||
10.25% 5/1/15 | 268,000 | 286,090 | |||||
Antero Resources Finance | |||||||
9.375% 12/1/17 | 156,000 | 170,820 | |||||
Aquilex Holdings | |||||||
11.125% 12/15/16 | 178,000 | 176,220 | |||||
# | Calumet Specialty | ||||||
Products Partners | |||||||
144A 9.375% 5/1/19 | 255,000 | 269,184 | |||||
CenterPoint Energy | |||||||
5.95% 2/1/17 | 13,000 | 14,479 | |||||
*# | Chaparral Energy 144A | ||||||
8.25% 9/1/21 | 330,000 | 343,199 | |||||
Chesapeake Energy | |||||||
6.50% 8/15/17 | 135,000 | 146,475 | |||||
6.625% 8/15/20 | 87,000 | 91,894 | |||||
6.875% 11/15/20 | 13,000 | 13,748 | |||||
Comstock Resources | |||||||
7.75% 4/1/19 | 260,000 | 264,225 | |||||
Copano Energy | |||||||
7.75% 6/1/18 | 169,000 | 177,873 | |||||
Crosstex Energy | |||||||
8.875% 2/15/18 | 175,000 | 190,750 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Energy (continued) | |||||||
Ecopetrol | |||||||
7.625% 7/23/19 | USD | 900,000 | $ | 1,072,124 | |||
El Paso | |||||||
6.875% 6/15/14 | 44,000 | 50,203 | |||||
7.00% 6/15/17 | 205,000 | 238,700 | |||||
• | Enbridge Energy Partners | ||||||
8.05% 10/1/37 | 20,000 | 22,149 | |||||
Energy Transfer Partners | |||||||
4.65% 6/1/21 | 40,000 | 39,950 | |||||
9.70% 3/15/19 | 25,000 | 33,329 | |||||
Enterprise Products Operating | |||||||
•7.034% 1/15/68 | 35,000 | 36,974 | |||||
9.75% 1/31/14 | 5,000 | 6,023 | |||||
# | Helix Energy Solutions | ||||||
Group 144A | |||||||
9.50% 1/15/16 | 291,000 | 309,915 | |||||
*# | Hercules Offshore 144A | ||||||
10.50% 10/15/17 | 187,000 | 199,623 | |||||
*# | Hilcorp Energy I 144A | ||||||
8.00% 2/15/20 | 226,000 | 241,820 | |||||
Holly 9.875% 6/15/17 | 171,000 | 192,803 | |||||
Kinder Morgan Energy | |||||||
Partners 9.00% 2/1/19 | 30,000 | 38,997 | |||||
# | Laredo Petroleum 144A | ||||||
9.50% 2/15/19 | 275,000 | 293,563 | |||||
Linn Energy | |||||||
8.625% 4/15/20 | 201,000 | 221,100 | |||||
#144A 6.50% 5/15/19 | 55,000 | 55,138 | |||||
MarkWest Energy Partners | |||||||
6.50% 8/15/21 | 270,000 | 273,713 | |||||
# | Murray Energy 144A | ||||||
10.25% 10/15/15 | 230,000 | 248,975 | |||||
*# | NFR Energy 144A | ||||||
9.75% 2/15/17 | 224,000 | 221,200 | |||||
* | Noble Energy | ||||||
8.25% 3/1/19 | 20,000 | 25,834 | |||||
Noble Holding International | |||||||
4.625% 3/1/21 | 30,000 | 30,997 | |||||
# | Oasis Petroleum 144A | ||||||
7.25% 2/1/19 | 200,000 | 202,000 | |||||
Offshore Group Investments | |||||||
11.50% 8/1/15 | 185,000 | 204,888 | |||||
#144A 11.50% 8/1/15 | 20,000 | 22,100 | |||||
*# | OPTI Canada 144A | ||||||
9.00% 12/15/12 | 200,000 | 202,000 | |||||
Pemex Project Funding | |||||||
Master Trust | |||||||
6.625% 6/15/35 | 1,000,000 | 1,047,982 | |||||
Petrobras International Finance | |||||||
5.375% 1/27/21 | 20,000 | 20,621 | |||||
Petrohawk Energy | |||||||
7.25% 8/15/18 | 255,000 | 268,706 | |||||
Petroleum Development | |||||||
12.00% 2/15/18 | 217,000 | 245,210 | |||||
Pioneer Drilling | |||||||
9.875% 3/15/18 | 106,000 | 115,408 | |||||
Plains All American Pipeline | |||||||
8.75% 5/1/19 | 10,000 | 12,899 | |||||
Pride International | |||||||
6.875% 8/15/20 | 20,000 | 23,677 | |||||
Quicksilver Resources | |||||||
7.125% 4/1/16 | 190,000 | 188,100 | |||||
# | SandRidge Energy 144A | ||||||
7.50% 3/15/21 | 265,000 | 274,606 | |||||
TNK-BP Finance | |||||||
7.875% 3/13/18 | 400,000 | 464,999 | |||||
• | TransCanada Pipelines | ||||||
6.35% 5/15/67 | 35,000 | 35,795 | |||||
Transocean | |||||||
6.50% 11/15/20 | 10,000 | 11,356 | |||||
Weatherford Bermuda | |||||||
9.625% 3/1/19 | 15,000 | 19,610 | |||||
Williams Partners | |||||||
7.25% 2/1/17 | 10,000 | 12,045 | |||||
# | Woodside Finance 144A | ||||||
8.125% 3/1/14 | 15,000 | 17,485 | |||||
8.75% 3/1/19 | 15,000 | 19,373 | |||||
9,406,947 | |||||||
Finance & Investments – 1.68% | |||||||
• | American International Group | ||||||
8.175% 5/15/58 | 270,000 | 299,025 | |||||
Cardtronics 8.25% 9/1/18 | 84,000 | 92,190 | |||||
• | Chubb 6.375% 3/29/67 | 15,000 | 15,975 | ||||
General Electric Capital | |||||||
4.375% 9/16/20 | 5,000 | 4,991 | |||||
5.30% 2/11/21 | 15,000 | 15,785 | |||||
6.00% 8/7/19 | 95,000 | 106,575 | |||||
• | Genworth Financial | ||||||
6.15% 11/15/66 | 171,000 | 132,953 | |||||
# | Health Care Services | ||||||
144A 4.70% 1/15/21 | 10,000 | 10,372 | |||||
#• | ILFC E-Capital Trust I | ||||||
144A 5.97% 12/21/65 | 265,000 | 223,970 | |||||
#• | ILFC E-Capital Trust II | ||||||
144A 6.25% 12/21/65 | 355,000 | 314,175 | |||||
• | ING Groep | ||||||
5.775% 12/29/49 | 345,000 | 322,575 | |||||
International | |||||||
lease Finance | |||||||
6.25% 5/15/19 | 32,000 | 32,170 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Finance & Investments (continued) | |||||||
#• | Liberty Mutual Group | ||||||
144A 7.00% 3/15/37 | USD | 355,000 | $ | 354,208 | |||
MetLife 6.40% 12/15/36 | 100,000 | 100,173 | |||||
* | Nuveen Investments | ||||||
10.50% 11/15/15 | 378,000 | 402,569 | |||||
#144A 10.50% 11/15/15 | 110,000 | 116,600 | |||||
Prudential Financial | |||||||
3.875% 1/14/15 | 35,000 | 36,922 | |||||
• | XL Group | ||||||
6.50% 12/29/49 | 410,000 | 391,038 | |||||
2,972,266 | |||||||
Media – 2.50% | |||||||
# | Affinion Group 144A | ||||||
7.875% 12/15/18 | 352,000 | 336,160 | |||||
# | AMO Escrow 144A | ||||||
11.50% 12/15/17 | 126,000 | 137,025 | |||||
Cablevision Systems | |||||||
8.00% 4/15/20 | 114,000 | 125,685 | |||||
* | CCO Holdings | ||||||
8.125% 4/30/20 | 315,000 | 342,169 | |||||
#144A 7.00% 1/15/19 | 20,000 | 20,475 | |||||
# | Clear Channel | ||||||
Communications | |||||||
144A 9.00% 3/1/21 | 260,000 | 261,950 | |||||
# | Columbus International | ||||||
144A 11.50% 11/20/14 | 270,000 | 312,039 | |||||
* | DIRECTV Holdings | ||||||
5.00% 3/1/21 | 15,000 | 15,627 | |||||
Entravision Communications | |||||||
8.75% 8/1/17 | 350,000 | 373,624 | |||||
* | GXS Worldwide | ||||||
9.75% 6/15/15 | 247,000 | 252,558 | |||||
# | inVentiv Health 144A | ||||||
10.00% 8/15/18 | 175,000 | 182,656 | |||||
# | Kabel BW Erste | ||||||
Beteiligungs 144A | |||||||
7.50% 3/15/19 | 185,000 | 193,556 | |||||
MDC Partners | |||||||
11.00% 11/1/16 | 222,000 | 247,808 | |||||
#144A 11.00% 11/1/16 | 110,000 | 121,688 | |||||
# | NBC Universal Media | ||||||
144A 4.375% 4/1/21 | 25,000 | 24,900 | |||||
Nexstar Broadcasting | |||||||
8.875% 4/15/17 | 200,000 | 218,000 | |||||
*# | Ono Finance II 144A | ||||||
10.875% 7/15/19 | 240,000 | 267,600 | |||||
# | Sinclair Television Group | ||||||
144A 9.25% 11/1/17 | 147,000 | 165,008 | |||||
Time Warner | |||||||
4.75% 3/29/21 | 5,000 | 5,108 | |||||
Time Warner Cable | |||||||
4.125% 2/15/21 | 5,000 | 4,829 | |||||
8.25% 4/1/19 | 20,000 | 25,058 | |||||
# | UPC Holding 144A | ||||||
9.875% 4/15/18 | 345,000 | 388,124 | |||||
* | Visant 10.00% 10/1/17 | 120,000 | 127,500 | ||||
# | Vivendi 144A | ||||||
6.625% 4/4/18 | 25,000 | 28,688 | |||||
# | XM Satellite Radio 144A | ||||||
7.625% 11/1/18 | 225,000 | 240,188 | |||||
4,418,023 | |||||||
Real Estate – 0.42% | |||||||
Brandywine Operating | |||||||
Partnership | |||||||
4.95% 4/15/18 | 15,000 | 15,434 | |||||
Developers Diversified | |||||||
Realty | |||||||
4.75% 4/15/18 | 5,000 | 5,004 | |||||
7.50% 4/1/17 | 5,000 | 5,813 | |||||
*7.875% 9/1/20 | 20,000 | 23,430 | |||||
Digital Realty Trust | |||||||
5.25% 3/15/21 | 20,000 | 20,376 | |||||
5.875% 2/1/20 | 10,000 | 10,761 | |||||
Health Care REIT | |||||||
5.25% 1/15/22 | 30,000 | 30,328 | |||||
Host Marriott | |||||||
6.375% 3/15/15 | 245,000 | 251,738 | |||||
# | Qatari Diar Finance 144A | ||||||
5.00% 7/21/20 | 300,000 | 308,249 | |||||
Regency Centers | |||||||
5.875% 6/15/17 | 20,000 | 22,591 | |||||
UDR 4.25% 6/1/18 | 10,000 | 9,983 | |||||
Ventas Realty | |||||||
4.75% 6/1/21 | 20,000 | 19,976 | |||||
# | WEA Finance | ||||||
4.625% 5/10/21 | 20,000 | 19,999 | |||||
743,682 | |||||||
Services Cyclical – 2.43% | |||||||
ARAMARK 8.50% 2/1/15 | 150,000 | 156,750 | |||||
# | ARAMARK Holdings 144A | ||||||
PIK 8.625% 5/1/16 | 255,000 | 262,013 | |||||
# | Brambles USA 144A | ||||||
3.95% 4/1/15 | 15,000 | 15,496 | |||||
5.35% 4/1/20 | 15,000 | 15,505 | |||||
Burlington Northern Santa Fe | |||||||
4.70% 10/1/19 | 10,000 | 10,707 | |||||
5.65% 5/1/17 | 5,000 | 5,710 | |||||
# | CMA CGM 144A | ||||||
8.50% 4/15/17 | 260,000 | 237,900 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Services Cyclical (continued) | |||||||
CSX | |||||||
4.25% 6/1/21 | USD | 15,000 | $ | 15,054 | |||
5.50% 4/15/41 | 5,000 | 5,025 | |||||
# | Delta Air Lines 144A | ||||||
12.25% 3/15/15 | 193,000 | 217,366 | |||||
# | Equinox Holdings 144A | ||||||
9.50% 2/1/16 | 221,000 | 237,575 | |||||
# | ERAC USA Finance 144A | ||||||
5.25% 10/1/20 | 35,000 | 37,497 | |||||
* | Harrah’s Operating | ||||||
10.00% 12/15/18 | 572,000 | 531,959 | |||||
# | Icon Health & | ||||||
Fitness 144A | |||||||
11.875% 10/15/16 | 108,000 | 113,670 | |||||
Kansas City Southern | |||||||
de Mexico | |||||||
8.00% 2/1/18 | 187,000 | 208,038 | |||||
#144A 6.125% 6/15/21 | 60,000 | 60,600 | |||||
Kansas City Southern Railway | |||||||
13.00% 12/15/13 | 2,000 | 2,365 | |||||
*# | Marina District Finance | ||||||
144A 9.875% 8/15/18 | 133,000 | 139,650 | |||||
MGM MIRAGE | |||||||
11.125% 11/15/17 | 2,000 | 2,330 | |||||
11.375% 3/1/18 | 658,000 | 759,989 | |||||
* | Pinnacle Entertainment | ||||||
8.75% 5/15/20 | 198,000 | 214,335 | |||||
# | Pokagon Gaming | ||||||
Authority 144A | |||||||
10.375% 6/15/14 | 10,000 | 10,313 | |||||
RSC Equipment Rental | |||||||
8.25% 2/1/21 | 135,000 | 140,063 | |||||
10.25% 11/15/19 | 5,000 | 5,688 | |||||
Ryder System | |||||||
3.50% 6/1/17 | 25,000 | 25,383 | |||||
# | Seven Seas Cruises 144A | ||||||
9.125% 5/15/19 | 250,000 | 258,125 | |||||
*# | Swift Services | ||||||
Holdings 144A | |||||||
10.00% 11/15/18 | 95,000 | 105,925 | |||||
*# | Swift Transportation 144A | ||||||
12.50% 5/15/17 | 151,000 | 162,703 | |||||
# | United Air Lines 144A | ||||||
12.00% 11/1/13 | 292,000 | 316,820 | |||||
Wyndham Worldwide | |||||||
5.625% 3/1/21 | 10,000 | 10,164 | |||||
5.75% 2/1/18 | 5,000 | 5,290 | |||||
4,290,008 | |||||||
Services Non-Cyclical – 1.06% | |||||||
Allied Waste North America | |||||||
6.875% 6/1/17 | 40,000 | 43,504 | |||||
# | Casella Waste Systems | ||||||
144A 7.75% 2/15/19 | 265,000 | 269,638 | |||||
Community Health Systems | |||||||
8.875% 7/15/15 | 240,000 | 248,400 | |||||
# | Darling International | ||||||
144A 8.50% 12/15/18 | 125,000 | 136,875 | |||||
*# | HCA Holdings 144A | ||||||
7.75% 5/15/21 | 235,000 | 247,044 | |||||
HealthSouth | |||||||
7.75% 9/15/22 | 50,000 | 53,625 | |||||
# | Highmark 144A | ||||||
4.75% 5/15/21 | 10,000 | 10,141 | |||||
6.125% 5/15/41 | 5,000 | 5,083 | |||||
Iron Mountain | |||||||
8.375% 8/15/21 | 140,000 | 150,500 | |||||
# | Multiplan 144A | ||||||
9.875% 9/1/18 | 273,000 | 296,204 | |||||
* | Radiation Therapy Services | ||||||
9.875% 4/15/17 | 216,000 | 220,050 | |||||
Radnet Management | |||||||
10.375% 4/1/18 | 174,000 | 181,830 | |||||
Republic Services | |||||||
4.75% 5/15/23 | 15,000 | 15,102 | |||||
1,877,996 | |||||||
Technology – 1.43% | |||||||
* | Advanced Micro Devices | ||||||
7.75% 8/1/20 | 325,000 | 342,875 | |||||
Aspect Software | |||||||
10.625% 5/15/17 | 194,000 | 210,490 | |||||
* | First Data | ||||||
9.875% 9/24/15 | 306,000 | 317,475 | |||||
11.25% 3/31/16 | 260,000 | 261,950 | |||||
Hewlett-Packard | |||||||
4.30% 6/1/21 | 15,000 | 15,152 | |||||
*# | iGate 144A | ||||||
9.00% 5/1/16 | 250,000 | 258,125 | |||||
# | International Wire Group | ||||||
144A 9.75% 4/15/15 | 155,000 | 163,525 | |||||
MagnaChip Semiconductor | |||||||
10.50% 4/15/18 | 156,000 | 176,865 | |||||
# | MedAssets 144A | ||||||
8.00% 11/15/18 | 137,000 | 141,966 | |||||
National Semiconductor | |||||||
6.60% 6/15/17 | 20,000 | 23,933 | |||||
# | Seagate HDD Cayman | ||||||
144A 7.75% 12/15/18 | 255,000 | 269,663 | |||||
# | Seagate Technology | ||||||
International 144A | |||||||
10.00% 5/1/14 | 10,000 | 11,700 | |||||
* | SunGard Data Systems | ||||||
10.25% 8/15/15 | 314,000 | 327,345 | |||||
Symantec | |||||||
4.20% 9/15/20 | 5,000 | 4,870 | |||||
2,525,934 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Telecommunications – 3.90% | |||||||
AT&T 4.45% 5/15/21 | USD | 25,000 | $ | 25,514 | |||
Avaya | |||||||
9.75% 11/1/15 | 40,000 | 41,750 | |||||
#144A 7.00% 4/1/19 | 255,000 | 250,538 | |||||
PIK 10.125% 11/1/15 | 160,000 | 167,200 | |||||
# | Buccaneer Merger 144A | ||||||
9.125% 1/15/19 | 200,000 | 215,250 | |||||
# | Clearwire Communications 144A | ||||||
12.00% 12/1/15 | 408,000 | 447,269 | |||||
*12.00% 12/1/17 | 315,000 | 344,531 | |||||
Cricket Communications | |||||||
7.75% 5/15/16 | 130,000 | 138,775 | |||||
*7.75% 10/15/20 | 135,000 | 133,988 | |||||
# | Crown Castle Towers | ||||||
144A 4.883% 8/15/20 | 30,000 | 30,466 | |||||
# | Digicel Group 144A | ||||||
9.125% 1/15/15 | 120,000 | 124,500 | |||||
10.50% 4/15/18 | 230,000 | 261,050 | |||||
# | EH Holding 144A | ||||||
7.625% 6/15/21 | 210,000 | 215,775 | |||||
* | Frontier Communications | ||||||
7.125% 3/15/19 | 120,000 | 124,650 | |||||
Historic TW | |||||||
6.875% 6/15/18 | 20,000 | 23,690 | |||||
# | Integra Telecom Holdings | ||||||
144A 10.75% 4/15/16 | 190,000 | 200,450 | |||||
Intelsat Bermuda | |||||||
11.25% 2/4/17 | 640,000 | 694,399 | |||||
PIK 11.50% 2/4/17 | 273,217 | 297,465 | |||||
* | Level 3 Financing | ||||||
10.00% 2/1/18 | 252,000 | 274,050 | |||||
MetroPCS Wireless | |||||||
6.625% 11/15/20 | 165,000 | 165,000 | |||||
*7.875% 9/1/18 | 90,000 | 97,313 | |||||
# | MTS International | ||||||
Funding 144A | |||||||
8.625% 6/22/20 | 275,000 | 315,983 | |||||
NII Capital | |||||||
*7.625% 4/1/21 | 130,000 | 138,613 | |||||
10.00% 8/15/16 | 56,000 | 64,540 | |||||
# | PAETEC Holding 144A | ||||||
9.875% 12/1/18 | 165,000 | 177,788 | |||||
Qwest 8.375% 5/1/16 | 40,000 | 47,700 | |||||
Qwest Communications | |||||||
International | |||||||
7.50% 2/15/14 | 85,000 | 86,381 | |||||
*# | Satmex Escrow 144A | ||||||
9.50% 5/15/17 | 125,000 | 128,750 | |||||
Sprint Capital | |||||||
8.75% 3/15/32 | 248,000 | 274,970 | |||||
# | Telcordia Technologies | ||||||
144A 11.00% 5/1/18 | 415,000 | 471,024 | |||||
Telecom Italia Capital | |||||||
5.25% 10/1/15 | 40,000 | 42,435 | |||||
Telefonica Emisiones | |||||||
5.462% 2/16/21 | 10,000 | 10,409 | |||||
Telesat Canada | |||||||
12.50% 11/1/17 | 164,000 | 196,800 | |||||
Virgin Media Finance | |||||||
8.375% 10/15/19 | 120,000 | 135,600 | |||||
# | West 144A | ||||||
7.875% 1/15/19 | 255,000 | 260,419 | |||||
Windstream | |||||||
7.50% 4/1/23 | 205,000 | 212,175 | |||||
7.875% 11/1/17 | 45,000 | 49,444 | |||||
6,886,654 | |||||||
Utilities – 0.74% | |||||||
AES | |||||||
7.75% 3/1/14 | 129,000 | 141,900 | |||||
8.00% 6/1/20 | 44,000 | 47,850 | |||||
9.75% 4/15/16 | 10,000 | 11,625 | |||||
Ameren Illinois | |||||||
9.75% 11/15/18 | 80,000 | 106,183 | |||||
# | American Transmission | ||||||
Systems 144A | |||||||
5.25% 1/15/22 | 25,000 | 26,841 | |||||
CMS Energy | |||||||
4.25% 9/30/15 | 10,000 | 10,435 | |||||
6.25% 2/1/20 | 5,000 | 5,478 | |||||
Commonwealth Edison | |||||||
4.00% 8/1/20 | 5,000 | 5,009 | |||||
5.80% 3/15/18 | 5,000 | 5,681 | |||||
Dominion Resources | |||||||
4.45% 3/15/21 | 20,000 | 20,599 | |||||
Duke Energy Carolinas | |||||||
3.90% 6/15/21 | 10,000 | 10,120 | |||||
Elwood Energy | |||||||
8.159% 7/5/26 | 154,853 | 154,078 | |||||
Florida Power | |||||||
5.65% 6/15/18 | 5,000 | 5,758 | |||||
* | GenOn Energy | ||||||
9.50% 10/15/18 | 127,000 | 134,303 | |||||
Great Plains Energy | |||||||
4.85% 6/1/21 | 20,000 | 20,389 | |||||
# | Ipalco Enterprises 144A | ||||||
5.00% 5/1/18 | 10,000 | 10,100 | |||||
* | Mirant Americas | ||||||
8.50% 10/1/21 | 245,000 | 255,412 | |||||
NiSource Finance | |||||||
6.40% 3/15/18 | 10,000 | 11,488 | |||||
*6.80% 1/15/19 | 5,000 | 5,855 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Corporate Bonds (continued) | |||||||
Utilities (continued) | |||||||
Pennsylvania Electric | |||||||
5.20% 4/1/20 | USD | 25,000 | $ | 26,590 | |||
Public Service Oklahoma | |||||||
5.15% 12/1/19 | 30,000 | 32,408 | |||||
# | Puget Energy 144A | ||||||
6.00% 9/1/21 | 25,000 | 25,000 | |||||
• | Puget Sound Energy | ||||||
6.974% 6/1/67 | 165,000 | 168,711 | |||||
Sempra Energy | |||||||
6.15% 6/15/18 | 20,000 | 22,976 | |||||
Southern California | |||||||
Edison 5.50% 8/15/18 | 20,000 | 22,971 | |||||
• | Wisconsin Energy | ||||||
6.25% 5/15/67 | 10,000 | 10,137 | |||||
1,297,897 | |||||||
Total Corporate Bonds | |||||||
(cost $56,648,559) | 59,485,293 | ||||||
Non-Agency Asset-Backed Securities – 0.15% | |||||||
• | Citibank Credit Card | ||||||
Issuance Trust Series | |||||||
2004-C1 C1 | |||||||
0.848% 7/15/13 | 10,000 | 9,998 | |||||
• | Citicorp Residential | ||||||
Mortgage Securities | |||||||
2006-3 A5 | |||||||
5.948% 11/25/36 | 100,000 | 81,873 | |||||
Discover Card Master | |||||||
Trust Series 2007-A1 | |||||||
A1 5.65% 3/16/20 | 100,000 | 114,916 | |||||
John Deere Owner Trust | |||||||
Series 2009-A A4 | |||||||
3.96% 5/16/16 | 25,000 | 25,771 | |||||
Series 2010-A 4A | |||||||
2.13% 10/17/16 | 15,000 | 15,364 | |||||
• | Merrill Auto Trust | ||||||
Securitization | |||||||
Series 2007-1 A4 | |||||||
0.258% 12/15/13 | 8,871 | 8,869 | |||||
Total Non-Agency Asset-Backed | |||||||
Securities (cost $246,859) | 256,791 | ||||||
Non-Agency Collateralized Mortgage Obligations – 0.19% | |||||||
@• | Bear Stearns ARM Trust | ||||||
Series 2007-1 3A2 | |||||||
5.447% 2/25/47 | 169,287 | 24,633 | |||||
Citicorp Mortgage Securities | |||||||
Series 2006-4 3A1 | |||||||
5.50% 8/25/21 | 9,586 | 9,656 | |||||
Series 2007-1 2A1 | |||||||
5.50% 1/25/22 | 73,490 | 73,218 | |||||
• | Citigroup Mortgage Loan | ||||||
Trust Series 2007-AR8 | |||||||
1A3A 5.714% 8/25/37 | 71,542 | 52,985 | |||||
• | GSR Mortgage Loan Trust | ||||||
Series 2006-AR1 3A1 | |||||||
5.075% 1/25/36 | 138,798 | 124,618 | |||||
• | MASTR ARM Trust | ||||||
Series 2006-2 4A1 | |||||||
4.98% 2/25/36 | 54,007 | 50,428 | |||||
Total Non-Agency Collateralized | |||||||
Mortgage Obligations (cost $510,704) | 335,538 | ||||||
«Senior Secured Loans – 0.79% | |||||||
Brock Holdings III | |||||||
10.50% 2/15/18 | 85,000 | 87,656 | |||||
Endo Pharmaceuticals Holdings | |||||||
7.25% 4/10/12 | 175,000 | 175,000 | |||||
Level 3 Financing | |||||||
14.00% 4/11/12 | 215,000 | 215,000 | |||||
PQ 6.72% 7/30/15 | 265,000 | 262,847 | |||||
Silgan Holdings | |||||||
7.75% 1/20/12 | 390,000 | 390,000 | |||||
Texas Competitive | |||||||
Electric Holdings | |||||||
3.50% 10/10/14 | 310,000 | 264,514 | |||||
Total Senior Secured Loans | |||||||
(cost $1,371,681) | 1,395,017 | ||||||
Sovereign Bonds – 4.92%Δ | |||||||
Chile – 0.40% | |||||||
Chile Government | |||||||
International Bond | |||||||
5.50% 8/5/20 | CLP | 330,000,000 | 712,490 | ||||
712,490 | |||||||
Croatia – 0.17% | |||||||
*# | Croatia Government | ||||||
International Bond | |||||||
144A 6.75% 11/5/19 | USD | 280,000 | 300,885 | ||||
300,885 | |||||||
Indonesia – 1.18% | |||||||
Indonesia Treasury Bond | |||||||
11.00% 11/15/20 | IDR | 14,399,000,000 | 2,090,527 | ||||
2,090,527 | |||||||
Mexico – 0.48% | |||||||
Mexican Bonos | |||||||
7.75% 12/14/17 | MXN | 9,049,700 | 838,612 | ||||
838,612 | |||||||
Panama – 0.47% | |||||||
Panama Government | |||||||
International Bond | |||||||
6.70% 1/26/36 | USD | 700,000 | 820,750 | ||||
820,750 |
Principal | Value | ||||||
Amount° | (U.S. $) | ||||||
Sovereign Bonds (continued) | |||||||
Peru – 0.23% | |||||||
Republic of Peru | |||||||
7.35% 7/21/25 | USD | 340,000 | $ | 413,100 | |||
413,100 | |||||||
Philippines – 0.61% | |||||||
Philippine Government | |||||||
International Bond | |||||||
6.375% 10/23/34 | 1,000,000 | 1,085,000 | |||||
1,085,000 | |||||||
Poland – 0.62% | |||||||
Poland Government Bond | |||||||
5.00% 10/24/13 | PLN | 1,700,000 | 619,102 | ||||
Poland Government | |||||||
International Bond | |||||||
5.125% 4/21/21 | USD | 450,000 | 468,563 | ||||
1,087,665 | |||||||
Russia – 0.40% | |||||||
Russia-Eurobond | |||||||
7.50% 3/31/30 | 596,850 | 704,659 | |||||
704,659 | |||||||
Turkey – 0.11% | |||||||
Turkey Government | |||||||
International Bond | |||||||
7.375% 2/5/25 | 170,000 | 201,663 | |||||
201,663 | |||||||
Uruguay – 0.25% | |||||||
Uruguay Government | |||||||
International Bond | |||||||
8.00% 11/18/22 | 350,000 | 447,650 | |||||
447,650 | |||||||
Total Sovereign Bonds | |||||||
(cost $8,396,083) | 8,703,001 | ||||||
Supranational Bank – 0.67% | |||||||
European Investment | |||||||
Bank 9.625% 4/1/15 | TRY | 1,800,000 | 1,176,905 | ||||
Total Supranational Bank | |||||||
(cost $1,189,579) | 1,176,905 | ||||||
U.S. Treasury Obligations – 0.28% | |||||||
U.S. Treasury Bonds | |||||||
4.25% 11/15/40 | USD | 20,000 | 20,091 | ||||
4.75% 2/15/41 | 20,000 | 21,838 | |||||
U.S. Treasury Notes | |||||||
1.75% 5/31/16 | 315,000 | 315,984 | |||||
*3.125% 5/15/21 | 140,000 | 140,919 | |||||
Total U.S. Treasury Obligations | |||||||
(cost $494,587) | 498,832 | ||||||
Leveraged Non-Recourse Security – 0.00% | |||||||
w#@ | JPMorgan Fixed Income | ||||||
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 | |||||||
Residual Interest Trust Certificate – 0.00% | |||||||
=w#@ | Freddie Mac Auction Pass | ||||||
Through Trust Series | |||||||
2007-6 144A | 175,000 | 0 | |||||
Total Residual Interest Trust | |||||||
Certificate (cost $190,466) | 0 | ||||||
Exchange-Traded Fund – 2.61% | |||||||
* | iShares IBOXX $ High Yield | ||||||
Corporate Bond Fund | 50,000 | 4,620,000 | |||||
Total Exchange-Traded Fund | |||||||
(cost $4,499,835) | 4,620,000 | ||||||
Preferred Stock – 0.83% | |||||||
Alabama Power 5.625% | 410 | 10,199 | |||||
Ally Financial | |||||||
∏•8.50 % | 10,000 | 263,400 | |||||
#144A 7.00% | 400 | 386,413 | |||||
* | Developers Diversified | ||||||
Realty 7.50% | 1,925 | 48,606 | |||||
† | Freddie Mac 6.02% | 33,000 | 87,830 | ||||
• | GMAC Capital | ||||||
Trust I 8.125% | 15,000 | 394,049 | |||||
• | PNC Financial Services | ||||||
Group 8.25% | 10,000 | 10,710 | |||||
ProLogis 6.75% | 7,050 | 173,571 | |||||
* | Vornado Realty 6.625% | 3,700 | 91,945 | ||||
Total Preferred Stock | |||||||
(cost $2,046,059) | 1,466,723 | ||||||
Principal | |||||||
Amount° | |||||||
≠Short-Term Investments – 5.53% | |||||||
Discount Notes – 5.53% | |||||||
Federal Home Loan Bank | |||||||
0.01% 6/1/11 | USD | 9,454,005 | 9,454,005 | ||||
0.06% 6/7/11 | 314,584 | 314,584 | |||||
Total Short-Term Investments | |||||||
(cost $9,768,586) | 9,768,589 | ||||||
Total Value of Securities | |||||||
Before Securities Lending | |||||||
Collateral – 119.79% | |||||||
(cost $198,162,278) | 211,759,238 |
Number of | Value | |||||
Shares | (U.S. $) | |||||
Securities Lending Collateral** – 18.74% | ||||||
Investment Companies | ||||||
BNY Mellon SL DBT II | ||||||
Liquidating Fund | 213,233 | $ | 207,987 | |||
Delaware Investments Collateral | ||||||
Fund No. 1 | 32,921,835 | 32,921,835 | ||||
@†Mellon GSL Reinvestment | ||||||
Trust II | 311,516 | 0 | ||||
Total Securities Lending Collateral | ||||||
(cost $33,446,584) | 33,129,822 | |||||
Total Value of Securities – 138.53% | ||||||
(cost $231,608,862) | 244,889,060 | © | ||||
Obligation to Return Securities | ||||||
Lending Collateral** – (18.92%) | (33,446,584 | ) | ||||
Borrowing Under Line of Credit – (22.63%) | (40,000,000 | ) | ||||
Receivables and Other Assets | ||||||
Net of Other Liabilities – 3.02% | 5,328,961 | |||||
Net Assets Applicable to 13,061,153 | ||||||
Shares Outstanding; Equivalent to | ||||||
$13.53 Per Share – 100.00% | $ | 176,771,437 | ||||
Components of Net Assets at May 31, 2011: | ||||||
Shares of beneficial interest | ||||||
(unlimited authorization – no par) | $ | 212,762,315 | ||||
Distributions in excess of net investment income | (856,259 | ) | ||||
Accumulated net realized loss on investments | (48,890,310 | ) | ||||
Net unrealized appreciation of investments | ||||||
and foreign currencies | 13,755,691 | |||||
Total net assets | $ | 176,771,437 |
v |
Securities have been classified by type of business. Classification by country of origin has been presented in Security type/sector/country allocations on page 2.
|
† |
Non income producing security.
|
* | Fully or partially on loan. |
@ | Illiquid security. At May 31, 2011, the aggregate amount of illiquid securities was $176,774, which represented 0.10% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
∏ | 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, 2011, the aggregate amount of the restricted securities was $517,411, which represented 0.29% of the Fund’s net assets. See Note 10 in “Notes to financial statements.” |
# |
Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At May 31, 2011, the aggregate amount of Rule 144A securities was $32,633,990, which represented 18.46% 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, 2011. Interest rates reset periodically.
|
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 increases or decreases periodically based on a predetermined schedule. Stated rate in effect at May 31, 2011. |
« | 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, 2011. |
Δ |
Securities have been classified by country of origin.
|
= |
Security is being fair valued in accordance with the Fund’s fair valuation policy. At May 31, 2011, 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.”
|
≠ |
The rate shown is the effective yield at the time of purchase.
|
** |
See Note 9 in “Notes to financial statements.”
|
© |
Includes $32,612,835 of securities loaned.
|
Foreign Currency Exchange Contract | ||||||||
Unrealized | ||||||||
Contract to | Settlement | Appreciation | ||||||
Counterparty | Receive | In Exchange For | Date | (Depreciation) | ||||
BAML | PHP10,000,000 | USD (229,832) | 6/30/11 | $1,101 |
Swap Contracts | ||||||||||||||
CDS Contracts | ||||||||||||||
Swap | Annual | Unrealized | ||||||||||||
Referenced | Notional | Protection | Termination | Appreciation | ||||||||||
Counterparty | Obligation | Value | Payments | Date | (Depreciation) | |||||||||
Protection | ||||||||||||||
Purchased: | ||||||||||||||
BCLY | ITRAXX Europe | |||||||||||||
Subordinate | ||||||||||||||
Financials 15.1 | ||||||||||||||
5 yr CDS | $ | 95,000 | 1.00% | 6/20/16 | $ | 319 | ||||||||
CITI | Sara Lee 5 yr CDS | 7,000 | 1.00% | 3/20/16 | (493 | ) | ||||||||
JPMC | ITRAXX Europe Subordinate | |||||||||||||
Financials 15.1 | ||||||||||||||
5 yr CDS | 80,000 | 1.00% | 6/20/16 | 269 | ||||||||||
JPMC | Viacom | |||||||||||||
5 yr CDS | 25,000 | 1.00% | 9/20/15 | (390 | ) | |||||||||
$ | 207,000 | $ | (295 | ) | ||||||||||
Protection Sold / | ||||||||||||||
Moody’s Rating: | ||||||||||||||
CITI | MetLife 5 yr | |||||||||||||
CDS/A | $ | 25,000 | 5.00% | 9/20/14 | $ | 1,819 | ||||||||
JPMC | Comcast 5 yr | |||||||||||||
CDS/Baa | 25,000 | 1.00% | 9/20/15 | 481 | ||||||||||
JPMC | Tyson Foods | |||||||||||||
CDS/Ba | 15,000 | 1.00% | 3/20/16 | 195 | ||||||||||
$ | 65,000 | $ | 2,495 | |||||||||||
Total | $ | 2,200 |
Investment Income: | |||||||
Interest | $ | 3,668,376 | |||||
Dividends | 2,129,960 | ||||||
Securities lending income | 103,697 | ||||||
Foreign tax withheld | (102,356 | ) | $ | 5,799,677 | |||
Expenses: | |||||||
Management fees | 1,052,667 | ||||||
Reports to shareholders | 43,070 | ||||||
Accounting and administration expenses | 41,404 | ||||||
Legal fees | 36,954 | ||||||
Dividend disbursing and transfer agent fees and expenses | 20,042 | ||||||
Custodian fees | 17,000 | ||||||
Leverage expenses | 12,639 | ||||||
NYSE fees | 11,987 | ||||||
Audit and tax | 10,009 | ||||||
Pricing fees | 9,298 | ||||||
Trustees’ fees | 4,456 | ||||||
Dues and services | 4,062 | ||||||
Insurance fees | 3,007 | ||||||
Consulting fees | 958 | ||||||
Trustees’ expenses | 338 | ||||||
Registration fees | 332 | ||||||
Total operating expenses (before interest expense) | 1,268,223 | ||||||
Interest expense | 315,972 | ||||||
Total operating expenses (after interest expense) | 1,584,195 | ||||||
Net Investment Income | 4,215,482 | ||||||
Net Realized and Unrealized Gain on Investments and Foreign Currencies: | |||||||
Net realized gain on: | |||||||
Investments | 5,598,662 | ||||||
Options written | 49,412 | ||||||
Foreign currencies | 32,470 | ||||||
Foreign currency exchange contracts | 7,733 | ||||||
Swap contracts | 6,686 | ||||||
Net realized gain | 5,694,963 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currencies | 13,936,576 | ||||||
Net Realized and Unrealized Gain on Investments and Foreign Currencies | 19,631,539 | ||||||
Net Increase in Net Assets Resulting from Operations | $ | 23,847,021 |
Six Months | Year | |||||||
Ended | Ended | |||||||
5/31/11 | 11/30/10 | |||||||
(Unaudited) | ||||||||
Increase in Net Assets from Operations: | ||||||||
Net investment income | $ | 4,215,482 | $ | 7,373,688 | ||||
Net realized gain on investments and foreign currencies | 5,694,963 | 3,678,581 | ||||||
Net change in unrealized appreciation/depreciation of investments and foreign currencies | 13,936,576 | 8,310,279 | ||||||
Net increase in net assets resulting from operations | 23,847,021 | 19,362,548 | ||||||
Dividends and Distributions to Shareholders from:1 | ||||||||
Net investment income | (8,018,905 | ) | (11,913,695 | ) | ||||
Return of capital | — | (4,052,200 | ) | |||||
(8,018,905 | ) | (15,965,895 | ) | |||||
Capital Share Transactions:2 | ||||||||
Cost of shares reinvested | 478,707 | 1,020,065 | ||||||
Increase in net assets derived from capital share transactions | 478,707 | 1,020,065 | ||||||
Net Increase in Net Assets | 16,306,823 | 4,416,718 | ||||||
Net Assets: | ||||||||
Beginning of period | 160,464,614 | 156,047,896 | ||||||
End of period (including distributions in excess of net investment income of $856,259 | ||||||||
and $787,504, respectively) | $ | 176,771,437 | $ | 160,464,614 |
Net Cash (Including Foreign Currency) Provided by Operating Activities: | |||
Net increase in net assets resulting from operations | $ | 23,847,021 | |
Adjustments to reconcile net increase in net assets from | |||
operations to cash provided by operating activities: | |||
Amortization of premium and discount on investments purchased | (39,407 | ) | |
Proceeds from disposition of investment securities | 94,437,925 | ||
Purchase of short-term investment securities, net | (1,386,311 | ) | |
Purchase of investment securities | (89,010,989 | ) | |
Net realized gain on investment transactions | (5,612,860 | ) | |
Net change in unrealized appreciation/depreciation of investments and foreign currencies | (13,936,576 | ) | |
Increase in receivable for investments sold | (1,736,493 | ) | |
Increase in interest and dividends receivable | (101,675 | ) | |
Increase in payable for investments purchased | 823,795 | ||
Decrease in accrued expenses and other liabilities | (29,619 | ) | |
Total adjustments | (16,592,210 | ) | |
Net cash provided by operating activities | 7,254,811 | ||
Cash Flows Used for Financing Activities: | |||
Cash dividends and distributions paid | (8,018,905 | ) | |
Cost of fund shares reinvested | 478,707 | ||
Net cash used for financing activities | (7,540,198 | ) | |
Effect of exchange rates on cash | 248,622 | ||
Net decrease in cash | (36,765 | ) | |
Cash at beginning of period | 4,079,857 | ||
Cash at end of period | $ | 4,043,092 | |
Interest paid for borrowings during the period | $ | 315,972 |
Six Months | 6/29/072 | ||||||||||||||||
Ended | Year Ended | to | |||||||||||||||
5/31/111 | 11/30/10 | 11/30/09 | 11/30/08 | 11/30/07 | |||||||||||||
(Unaudited) | |||||||||||||||||
Net asset value, beginning of period | $12.320 | $12.060 | $ 8.770 | $17.640 | $19.100 | ||||||||||||
Income (loss) from investment operations: | |||||||||||||||||
Net investment income3 | 0.323 | 0.568 | 0.685 | 0.769 | 0.288 | ||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currencies | 1.502 | 0.922 | 3.875 | (7.935 | ) | (1.285 | ) | ||||||||||
Total from investment operations | 1.825 | 1.490 | 4.560 | (7.166 | ) | (0.997 | ) | ||||||||||
Less dividends and distributions from: | |||||||||||||||||
Net investment income | (0.615 | ) | (0.918 | ) | (0.668 | ) | (0.644 | ) | (0.284 | ) | |||||||
Return of capital | — | (0.312 | ) | (0.602 | ) | (1.060 | ) | (0.142 | ) | ||||||||
Total dividends and distributions | (0.615 | ) | (1.230 | ) | (1.270 | ) | (1.704 | ) | (0.426 | ) | |||||||
Capital share transactions: | |||||||||||||||||
Common share offering cost charged to paid in capital | — | — | — | — | (0.037 | ) | |||||||||||
Total capital share transactions | — | — | — | — | (0.037 | ) | |||||||||||
Net asset value, end of period | $13.530 | $12.320 | $12.060 | $ 8.770 | $17.640 | ||||||||||||
Market value, end of period | $13.620 | $12.310 | $12.290 | $ 6.080 | $15.370 | ||||||||||||
Total return based on:4 | |||||||||||||||||
Market value | 15.92% | 10.92% | 134.96% | (54.14% | ) | (17.24% | ) | ||||||||||
Net asset value | 15.07% | 13.13% | 59.12% | (42.25% | ) | (4.97% | ) | ||||||||||
Ratios and supplemental data: | |||||||||||||||||
Net assets, end of period (000 omitted) | $176,771 | $160,465 | $156,048 | $113,400 | $228,204 | ||||||||||||
Ratio of expenses to average net assets | 1.86% | 1.95% | 2.14% | 1.66% | 1.17% | ||||||||||||
Ratio of expenses to adjusted average net assets (before interest expense)5 | 1.20% | 1.22% | 1.26% | 1.24% | 1.17% | ||||||||||||
Ratio of interest expense to adjusted average net assets5 | 0.30% | 0.33% | 0.35% | 0.29% | — | ||||||||||||
Ratio of net investment income to average net assets | 4.94% | 4.68% | 6.73% | 5.33% | 3.68% | ||||||||||||
Ratio of net investment income to adjusted average net assets5 | 4.00% | 3.73% | 5.06% | 4.91% | 3.68% | ||||||||||||
Portfolio turnover | 45% | 83% | 88% | 97% | 175% | ||||||||||||
Leverage Analysis: | |||||||||||||||||
Debt outstanding at end of period at par (000 omitted) | $40,000 | $40,000 | $40,000 | $40,000 | — | ||||||||||||
Asset coverage per $1,000 of debt outstanding at end of period | $5,419 | $5,012 | $4,901 | $3,835 | — |
Investment management fee payable to DMC | $183,118 |
Fees and other expenses payable to DSC | 904 |
Other expenses payable to DMC and affiliates* | 8,171 |
Level 1 – | inputs are quoted prices in active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts) |
Level 2 – | other observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing) |
Level 3 – |
inputs are significant unobservable inputs (including the Fund’s own assumptions used to determine the fair value of investments) (e.g., broker-quoted securities, fair valued securities)
|
Level 1 | Level 2 | Level 3 | Total | ||||||||
Agency, Asset-Backed | |||||||||||
& Mortgage-Backed | |||||||||||
Securities | $ | — | $ | 5,793,082 | $ | — | $ | 5,793,082 | |||
Common Stock | 49,950,503 | 45,984,544 | — | 95,935,047 | |||||||
Corporate Debt | — | 83,319,889 | 565,000 | 83,884,889 | |||||||
Foreign Debt | — | 9,879,906 | — | 9,879,906 | |||||||
Exchange-Traded Fund | 4,620,000 | — | — | 4,620,000 | |||||||
U.S. Treasury Obligations | — | 498,832 | — | 498,832 | |||||||
Preferred Stock | 971,572 | 407,321 | — | 1,378,893 | |||||||
Short-Term Investments | — | 9,768,589 | — | 9,768,589 | |||||||
Securities Lending | |||||||||||
Collateral | — | 33,129,822 | — | 33,129,822 | |||||||
Total | $ | 55,542,075 | $ | 188,781,985 | $ | 565,000 | $ | 244,889,060 | |||
Foreign Currency | |||||||||||
Exchange Contract | $ | — | $ | 1,101 | $ | — | $ | 1,101 | |||
Swap Contracts | $ | — | $ | 2,200 | $ | — | $ | 2,200 |
Agency, | ||||||||||||||||||||
Asset-Backed | ||||||||||||||||||||
and Mortgage- | Common | Corporate | ||||||||||||||||||
Backed Securities | Stock | Debt | Other | Total | ||||||||||||||||
Balance as of | ||||||||||||||||||||
11/30/10 | $ | 54,625 | $ | 10,866 | $ | 353,027 | $ | 1 | $ | 418,519 | ||||||||||
Purchases | — | (11,491 | ) | 565,000 | — | 553,509 | ||||||||||||||
Sales | (13,552 | ) | — | (355,164 | ) | (1 | ) | (368,717 | ) | |||||||||||
Net realized gain | 9 | — | 2,165 | 1 | 2,175 | |||||||||||||||
Transfers out of | ||||||||||||||||||||
Level 3 | (37,239 | ) | — | — | — | (37,239 | ) | |||||||||||||
Net change in | ||||||||||||||||||||
unrealized | ||||||||||||||||||||
appreciation/ | ||||||||||||||||||||
depreciation | (3,843 | ) | 625 | (28 | ) | (1 | ) | (3,247 | ) | |||||||||||
Balance as of | ||||||||||||||||||||
5/31/11 | $ | — | $ | — | $ | 565,000 | $ | — | $ | 565,000 | ||||||||||
Net change in | ||||||||||||||||||||
unrealized | ||||||||||||||||||||
appreciation/ | ||||||||||||||||||||
depreciation | ||||||||||||||||||||
from investments | ||||||||||||||||||||
still held as of | ||||||||||||||||||||
5/31/11 | $ | — | $ | — | $ | — | $ | — | $ | — |
Six Months | Year | |||||
Ended | Ended | |||||
5/31/11* | 11/30/10 | |||||
Ordinary income | $ | 8,018,905 | $ | 11,913,695 | ||
Return of capital | — | 4,052,200 | ||||
Total | $ | 8,018,905 | $ | 15,965,895 |
Shares of beneficial interest | $ | 212,762,315 | ||
Capital loss carryforwards as of 11/30/10 | (53,576,805 | ) | ||
Realized gains 12/1/10–5/31/11 | 5,523,354 | |||
Other temporary differences | (15,716 | ) | ||
Unrealized appreciation of investments | ||||
and foreign currencies | 12,078,289 | |||
Net assets | $ | 176,771,437 |
Distributions in excess of net investment income | $ | 3,734,668 | ||
Accumulated net realized loss | (392,150 | ) | ||
Paid-in capital | (3,342,518 | ) |
Number of | |||||||
contracts | Premiums | ||||||
Options outstanding at November 30, 2010 | — | $ | — | ||||
Options written | 1,214 | 62,038 | |||||
Options expired | (1,010 | ) | (49,412 | ) | |||
Options terminated in | |||||||
closing purchase transactions | (204 | ) | (12,626 | ) | |||
Options outstanding at May 31, 2011 | — | $ | — |
Asset Derivatives | Liability Derivatives | ||||||||||||
Statement of | Statement of | ||||||||||||
Net Assets | Net Assets | ||||||||||||
Location | Fair Value | Location | Fair Value | ||||||||||
Foreign currency exchange contracts
(Forward currency exchange contracts) |
Receivables and other assets net of other liabilities
|
$
|
1,101 |
Receivables and other assets net of other liabilities
|
$—
|
||||||||
Credit contracts
(Swap contracts) |
Receivables and other assets net of other liabilities
|
2,200
|
Receivables and other assets net of other liabilities
|
—
|
|||||||||
Total
|
$
|
3,301
|
$—
|
Change in | |||||||||||||
Unrealized | |||||||||||||
Location of Gain | Realized Gain | Appreciation | |||||||||||
or Loss on | or Loss on | (Depreciation) | |||||||||||
Derivatives | Derivatives | on Derivatives | |||||||||||
Recognized in | Recognized in | Recognized in | |||||||||||
Income | Income | Income | |||||||||||
Foreign currency exchange contracts
(Forward currency exchange contracts) |
Net realized gain on foreign currency exchange contracts and net change in unrealized appreciation/ depreciation of investments and foreign currencies
|
$
|
7,773
|
$
|
(2,346
|
)
|
|||||||
Credit contracts
(Swap contracts) |
Net realized gain on swap contracts and net change in unrealized appreciation/ depreciation of investments and foreign currencies
|
6,686
|
(13,576
|
)
|
|||||||||
Total
|
$
|
14,459
|
$
|
(15,922
|
)
|
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 Drexel University Philadelphia, PA Anthony D. Knerr
Founder and Managing Director Anthony Knerr & Associates New York, NY 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 are available without charge (i) upon request, by calling 800 523-1918; (ii) on the Fund’s website at www.delawareinvestments.com; and (iii) on the SEC’s website 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 website at www.delawareinvestments.com; and (ii) on the SEC’s website 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 Website
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 25, 2011 |
PATRICK P. COYNE |
By: Patrick P. Coyne |
Title: Chief Executive Officer |
Date: July 25, 2011 |
RICHARD SALUS |
By: Richard Salus |
Title: Chief Financial Officer |
Date: July 25, 2011 |