PRINCIPAL AMOUNT($)
|
VALUE($)†
|
|||||
Bank Loan Obligationsµ (5.6%)
|
||||||
All Telecom (0.3%)
|
||||||
738,150
|
Integra Telecom, Term Loan B, 5.25%, due 2/22/19
|
746,454
|
||||
Automotive (0.4%)
|
||||||
1,227,600
|
Navistar, Inc., Term Loan B, 5.75%, due 8/17/17
|
1,250,102
|
||||
Business Equipment & Services (0.3%)
|
||||||
938,331
|
Ceridian Corp., Term Loan, 5.94%, due 5/9/17
|
943,314
|
||||
Chemicals & Plastics (0.2%)
|
||||||
658,350
|
Dupont Performance Coatings, Term Loan B, 4.75%, due 2/1/20
|
664,841
|
||||
Electronics - Electrical (0.3%)
|
||||||
757,052
|
Datatel-Sophia LP, Term Loan B, 4.50%, due 7/19/18
|
763,109
|
||||
Financial Intermediaries (0.2%)
|
||||||
552,007
|
First Data Corporation, Term Loan, 4.19%, due 3/24/17
|
551,489
|
||||
Health Care (0.6%)
|
||||||
1,548,130
|
United Surgical Partners International, Inc., Term Loan B, 4.75%, due 4/3/19
|
1,556,521
|
||||
Lodging & Casinos (1.4%)
|
||||||
4,000
|
Graton Resort & Casino, First Lien Term Loan B, 9.00%, due 8/22/18
|
4,166
|
||||
2,885,000
|
Scientific Games Corp., Term Loan B, due 5/24/20
|
2,875,999
|
¢^^
|
|||
992,513
|
Station Casinos, Term Loan B, 5.00%, due 3/2/20
|
1,001,197
|
||||
3,881,362
|
||||||
Oil & Gas (1.3%)
|
||||||
3,534,000
|
Chesapeake Energy, Term Loan B, 5.75%, due 12/2/17
|
3,619,417
|
¢^^
|
|||
Radio & Television (0.5%)
|
||||||
1,394,000
|
Clear Channel, Term Loan B, due 1/29/16
|
1,301,215
|
¢^^
|
|||
245,385
|
Univision Communications, Inc., Term Loan, 4.00%, due 3/1/20
|
244,669
|
||||
1,545,884
|
||||||
Utilities (0.1%)
|
||||||
188,615
|
Dynegy Holdings Inc., Term Loan B-2, 4.00%, due 4/23/20
|
189,381
|
||||
Total Bank Loan Obligations (Cost $15,487,850)
|
15,711,874
|
|||||
Corporate Debt Securities (129.5%)
|
||||||
Airlines (1.0%)
|
||||||
815,000
|
American Airlines, Inc., Equipment Trust, Ser. 2013-2, Class A, 4.95%, due 1/15/23
|
822,172
|
ñ
|
|||
1,085,000
|
United Airlines, Inc., Senior Secured Notes, 6.75%, due 9/15/15
|
1,120,262
|
ñ
|
|||
632,520
|
United Airlines, Inc., Pass-Through Certificates, Ser. 2009-2, Class A, 9.75%, due 1/15/17
|
722,654
|
||||
2,665,088
|
||||||
Auto Loans (0.2%)
|
||||||
445,000
|
General Motors Financial Co., Inc., Senior Unsecured Notes, 3.25%, due 5/15/18
|
434,988
|
ñ
|
|||
Auto Parts & Equipment (0.8%)
|
||||||
1,785,000
|
Goodyear Tire & Rubber Co., Guaranteed Notes, 6.50%, due 3/1/21
|
1,867,556
|
||||
330,000
|
Schaeffler Holding Finance BV, Senior Secured Notes, 6.88%, due 8/15/18
|
336,600
|
ñc
|
|||
2,204,156
|
||||||
Automakers (1.0%)
|
||||||
840,000
|
Ford Motor Co., Senior Unsecured Notes, 9.98%, due 2/15/47
|
1,171,569
|
||||
1,540,000
|
Navistar Int'l Corp., Guaranteed Notes, 8.25%, due 11/1/21
|
1,574,650
|
||||
2,746,219
|
||||||
Banking (2.7%)
|
||||||
2,915,000
|
Ally Financial, Inc., Guaranteed Notes, 6.25%, due 12/1/17
|
3,159,327
|
||||
3,820,000
|
Ally Financial, Inc., Guaranteed Notes, 8.00%, due 3/15/20
|
4,498,050
|
ØØ
|
|||
7,657,377
|
||||||
Building & Construction (1.4%)
|
||||||
1,245,000
|
D.R. Horton, Inc., Guaranteed Notes, 5.75%, due 8/15/23
|
1,245,000
|
||||
185,000
|
Lennar Corp., Guaranteed Notes, 4.75%, due 12/15/17
|
188,931
|
||||
1,725,000
|
Lennar Corp., Guaranteed Notes, 5.00%, due 11/15/22
|
1,656,000
|
ñ
|
|||
490,000
|
Standard Pacific Corp., Guaranteed Notes, 8.38%, due 1/15/21
|
564,725
|
||||
185,000
|
Taylor Morrison Communities, Inc./Monarch Communities, Inc., Guaranteed Notes, 5.25%, due 4/15/21
|
178,063
|
ñ
|
|||
3,832,719
|
||||||
Building Materials (2.2%)
|
||||||
245,000
|
Associated Materials LLC/AMH New Finance, Inc., Senior Secured Notes, 9.13%, due 11/1/17
|
264,294
|
||||
310,000
|
Associated Materials LLC/AMH New Finance, Inc., Senior Secured Notes, 9.13%, due 11/1/17
|
334,413
|
ñ
|
|||
905,000
|
Masco Corp., Senior Unsecured Notes, 6.13%, due 10/3/16
|
1,009,075
|
||||
1,990,000
|
USG Corp., Senior Unsecured Notes, 9.75%, due 1/15/18
|
2,300,937
|
||||
2,050,000
|
USG Corp., Guaranteed Notes, 8.38%, due 10/15/18
|
2,239,625
|
ñ
|
|||
6,148,344
|
||||||
Chemicals (4.3%)
|
||||||
555,000
|
Huntsman Int'l LLC, Guaranteed Notes, 8.63%, due 3/15/20
|
621,600
|
||||
1,565,000
|
Huntsman Int'l LLC, Guaranteed Notes, 8.63%, due 3/15/21
|
1,764,537
|
||||
300,000
|
INEOS Group Holdings SA, Guaranteed Notes, 6.13%, due 8/15/18
|
292,500
|
ñ
|
|||
785,000
|
Momentive Performance Materials, Inc., Senior Secured Notes, 8.88%, due 10/15/20
|
836,025
|
||||
6,058,000
|
Momentive Performance Materials, Inc., Secured Notes, 9.00%, due 1/15/21
|
5,527,925
|
||||
2,390,000
|
PQ Corp., Secured Notes, 8.75%, due 5/1/18
|
2,521,450
|
ñ
|
|||
535,000
|
US Coatings Acquisition, Inc., Guaranteed Notes, 7.38%, due 5/1/21
|
554,394
|
ñ
|
|||
12,118,431
|
||||||
Computer Hardware (0.6%)
|
||||||
1,505,000
|
Seagate HDD Cayman, Guaranteed Notes, 7.00%, due 11/1/21
|
1,636,688
|
||||
Consumer - Commercial Lease Financing (4.8%)
|
||||||
190,000
|
CIT Group, Inc., Senior Unsecured Notes, 5.25%, due 3/15/18
|
201,875
|
||||
1,215,000
|
CIT Group, Inc., Senior Unsecured Notes, 6.63%, due 4/1/18
|
1,342,575
|
ñ
|
|||
2,600,000
|
CIT Group, Inc., Senior Unsecured Notes, 5.50%, due 2/15/19
|
2,726,750
|
ñ
|
|||
935,000
|
CIT Group, Inc., Senior Unsecured Notes, 5.38%, due 5/15/20
|
977,075
|
||||
1,040,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.63%, due 9/15/15
|
1,151,800
|
||||
2,340,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.75%, due 3/15/17
|
2,685,150
|
||||
1,640,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.88%, due 9/1/17
|
1,902,400
|
||||
180,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 5.88%, due 4/1/19
|
188,100
|
||||
1,420,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 6.25%, due 5/15/19
|
1,498,100
|
||||
575,000
|
Int'l Lease Finance Corp., Senior Unsecured Notes, 8.63%, due 1/15/22
|
682,812
|
||||
13,356,637
|
||||||
Department Stores (1.6%)
|
||||||
4,680,000
|
Sears Holdings Corp., Secured Notes, 6.63%, due 10/15/18
|
4,527,900
|
||||
Electric - Generation (3.3%)
|
||||||
565,000
|
NRG Energy, Inc., Guaranteed Notes, 7.63%, due 1/15/18
|
629,975
|
||||
1,655,000
|
NRG Energy, Inc., Guaranteed Notes, 7.63%, due 5/15/19
|
1,746,025
|
||||
2,775,000
|
NRG Energy, Inc., Guaranteed Notes, 8.25%, due 9/1/20
|
3,080,250
|
||||
3,315,000
|
NRG Energy, Inc., Guaranteed Notes, 7.88%, due 5/15/21
|
3,646,500
|
ØØ
|
|||
9,102,750
|
||||||
Electric - Integrated (0.7%)
|
||||||
1,735,000
|
IPALCO Enterprises, Inc., Senior Secured Notes, 7.25%, due 4/1/16
|
1,912,838
|
ñ
|
|||
Electronics (3.4%)
|
||||||
870,000
|
Amkor Technology, Inc., Senior Unsecured Notes, 6.38%, due 10/1/22
|
865,650
|
||||
615,000
|
Amkor Technology, Inc., Senior Unsecured Notes, 6.38%, due 10/1/22
|
610,388
|
ñ
|
|||
1,655,000
|
Ceridian Corp., Guaranteed Notes, 11.25%, due 11/15/15
|
1,683,962
|
||||
810,125
|
Ceridian Corp., Guaranteed Notes, 12.25%, due 11/15/15
|
826,328
|
c
|
|||
760,000
|
Ceridian Corp., Senior Secured Notes, 8.88%, due 7/15/19
|
860,700
|
ñ
|
|||
835,000
|
Flextronics Int'l Ltd., Guaranteed Notes, 4.63%, due 2/15/20
|
830,825
|
ñ
|
|||
1,360,000
|
Flextronics Int'l Ltd., Guaranteed Notes, 5.00%, due 2/15/23
|
1,339,600
|
ñ
|
|||
1,555,000
|
Freescale Semiconductor, Inc., Senior Secured Notes, 9.25%, due 4/15/18
|
1,685,231
|
ñ
|
|||
870,000
|
Freescale Semiconductor, Inc., Guaranteed Notes, 8.05%, due 2/1/20
|
928,725
|
||||
9,631,409
|
||||||
Energy - Exploration & Production (12.9%)
|
||||||
1,535,000
|
Chesapeake Energy Corp., Guaranteed Notes, 6.50%, due 8/15/17
|
1,673,150
|
||||
1,060,000
|
Chesapeake Energy Corp., Guaranteed Notes, 6.63%, due 8/15/20
|
1,150,100
|
||||
835,000
|
Chesapeake Energy Corp., Guaranteed Notes, 6.13%, due 2/15/21
|
885,100
|
||||
500,000
|
Chesapeake Energy Corp., Guaranteed Notes, 5.75%, due 3/15/23
|
503,750
|
||||
789,000
|
Concho Resources, Inc., Guaranteed Notes, 5.50%, due 4/1/23
|
787,027
|
||||
520,000
|
Denbury Resources, Inc., Guaranteed Notes, 8.25%, due 2/15/20
|
572,000
|
||||
4,337,000
|
EP Energy LLC/EP Energy Finance, Inc., Senior Unsecured Notes, 9.38%, due 5/1/20
|
4,922,495
|
||||
1,025,000
|
EP Energy LLC/Everest Acquisition Finance, Inc., Guaranteed Notes, 7.75%, due 9/1/22
|
1,127,500
|
||||
573,592
|
EPE Holdings LLC/EP Energy Bond Co., Inc., Senior Unsecured Notes, 8.13%, due 12/15/17
|
587,932
|
ñc
|
|||
4,630,000
|
EXCO Resources, Inc., Guaranteed Notes, 7.50%, due 9/15/18
|
4,537,400
|
ØØ
|
|||
705,000
|
Forest Oil Corp., Guaranteed Notes, 7.25%, due 6/15/19
|
696,187
|
||||
325,000
|
Forest Oil Corp., Guaranteed Notes, 7.50%, due 9/15/20
|
316,063
|
ñ
|
|||
2,485,000
|
Linn Energy LLC, Guaranteed Notes, 6.25%, due 11/1/19
|
2,335,900
|
ñ
|
|||
1,255,000
|
Linn Energy LLC, Guaranteed Notes, 8.63%, due 4/15/20
|
1,305,200
|
||||
2,635,000
|
Linn Energy LLC, Guaranteed Notes, 7.75%, due 2/1/21
|
2,661,350
|
||||
3,955,000
|
Newfield Exploration Co., Senior Unsecured Notes, 5.75%, due 1/30/22
|
4,073,650
|
||||
625,000
|
Newfield Exploration Co., Senior Unsecured Notes, 5.63%, due 7/1/24
|
625,000
|
||||
1,085,000
|
Rosetta Resources, Inc., Guaranteed Notes, 5.63%, due 5/1/21
|
1,085,000
|
||||
3,205,000
|
SandRidge Energy, Inc., Guaranteed Notes, 7.50%, due 3/15/21
|
3,172,950
|
||||
905,000
|
SandRidge Energy, Inc., Guaranteed Notes, 8.13%, due 10/15/22
|
918,575
|
||||
530,000
|
SandRidge Energy, Inc., Guaranteed Notes, 7.50%, due 2/15/23
|
519,400
|
||||
555,000
|
WPX Energy, Inc., Senior Unsecured Notes, 5.25%, due 1/15/17
|
586,913
|
||||
945,000
|
WPX Energy, Inc., Senior Unsecured Notes, 6.00%, due 1/15/22
|
961,537
|
||||
36,004,179
|
||||||
Food & Drug Retailers (1.0%)
|
||||||
560,000
|
Rite Aid Corp., Secured Notes, 10.25%, due 10/15/19
|
634,200
|
||||
575,000
|
Rite Aid Corp., Guaranteed Notes, 9.25%, due 3/15/20
|
640,406
|
||||
1,442,000
|
Rite Aid Corp., Senior Secured Notes, 8.00%, due 8/15/20
|
1,616,843
|
||||
2,891,449
|
||||||
Food - Wholesale (0.1%)
|
||||||
348,000
|
US Foods, Inc., Guaranteed Notes, 8.50%, due 6/30/19
|
370,620
|
||||
Gaming (8.2%)
|
||||||
1,055,000
|
Ameristar Casinos, Inc., Guaranteed Notes, 7.50%, due 4/15/21
|
1,126,213
|
||||
465,000
|
Boyd Gaming Corp., Senior Subordinated Notes, 7.13%, due 2/1/16
|
463,838
|
||||
815,000
|
CityCenter Holdings LLC, Senior Secured Notes, 7.63%, due 1/15/16
|
863,900
|
||||
3,085,000
|
Graton Economic Development Authority, Senior Secured Notes, 9.63%, due 9/1/19
|
3,462,912
|
ñ
|
|||
975,000
|
MGM Resorts Int'l, Guaranteed Notes, 7.63%, due 1/15/17
|
1,096,875
|
||||
2,390,000
|
MGM Resorts Int'l, Guaranteed Notes, 7.75%, due 3/15/22
|
2,646,925
|
ØØ
|
|||
885,000
|
Mohegan Tribal Gaming Authority, Secured Notes, 10.50%, due 12/15/16
|
885,000
|
ñ
|
|||
2,935,000
|
Mohegan Tribal Gaming Authority, Guaranteed Notes, 11.00%, due 9/15/18
|
2,890,975
|
ñ
|
|||
1,155,000
|
Peninsula Gaming LLC, Guaranteed Notes, 8.38%, due 2/15/18
|
1,250,287
|
ñ
|
|||
1,255,000
|
Pinnacle Entertainment, Inc., Guaranteed Notes, 7.75%, due 4/1/22
|
1,314,612
|
||||
960,000
|
PNK Finance Corp., Senior Unsecured Notes, 6.38%, due 8/1/21
|
967,200
|
ñØ
|
|||
1,090,000
|
Seminole Indian Tribe of Florida, Secured Notes, 7.75%, due 10/1/17
|
1,159,487
|
ñ
|
|||
2,230,000
|
Station Casinos LLC, Guaranteed Notes, 7.50%, due 3/1/21
|
2,330,350
|
||||
1,916,000
|
Wynn Las Vegas LLC, Unsecured Notes, 7.75%, due 8/15/20
|
2,155,500
|
||||
465,000
|
Wynn Las Vegas LLC, Senior Unsecured Notes, 4.25%, due 5/30/23
|
431,288
|
ñ
|
|||
23,045,362
|
||||||
Gas Distribution (7.4%)
|
||||||
1,070,000
|
Access Midstream Partners L.P., Guaranteed Notes, 6.13%, due 7/15/22
|
1,120,825
|
||||
815,000
|
Access Midstream Partners L.P., Guaranteed Notes, 4.88%, due 5/15/23
|
774,250
|
||||
2,090,000
|
AmeriGas Finance LLC, Guaranteed Notes, 6.75%, due 5/20/20
|
2,220,625
|
||||
2,207,000
|
AmeriGas Finance LLC, Guaranteed Notes, 7.00%, due 5/20/22
|
2,350,455
|
||||
485,000
|
El Paso Corp., Senior Secured Notes, 7.25%, due 6/1/18
|
551,614
|
||||
2,870,000
|
El Paso Corp., Senior Secured Global Medium-Term Notes, 7.80%, due 8/1/31
|
3,032,272
|
||||
1,145,000
|
El Paso Corp., Senior Secured Global Medium-Term Notes, 7.75%, due 1/15/32
|
1,216,778
|
||||
2,700,000
|
Energy Transfer Equity L.P., Senior Secured Notes, 7.50%, due 10/15/20
|
3,040,875
|
ØØ
|
|||
1,990,000
|
Ferrellgas L.P., Senior Unsecured Notes, 9.13%, due 10/1/17
|
2,089,500
|
||||
853,000
|
MarkWest Energy Partners L.P., Guaranteed Notes, 4.50%, due 7/15/23
|
801,820
|
||||
1,500,000
|
Regency Energy Partners L.P., Guaranteed Notes, 6.88%, due 12/1/18
|
1,620,000
|
||||
270,000
|
Regency Energy Partners L.P., Guaranteed Notes, 4.50%, due 11/1/23
|
253,800
|
ñ
|
|||
958,000
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp., Senior Unsecured Notes, 7.50%, due 10/1/18
|
1,034,640
|
||||
487,000
|
Suburban Propane Partners L.P./Suburban Energy Finance Corp., Senior Unsecured Notes, 7.38%, due 8/1/21
|
523,525
|
ØØ
|
|||
20,630,979
|
||||||
Health Facilities (7.6%)
|
||||||
1,140,000
|
CHS/Community Health Systems, Inc., Senior Secured Notes, 5.13%, due 8/15/18
|
1,162,800
|
||||
615,000
|
CHS/Community Health Systems, Inc., Guaranteed Notes, 8.00%, due 11/15/19
|
649,594
|
||||
695,000
|
Columbia Healthcare Corp., Senior Unsecured Notes, 7.50%, due 12/15/23
|
733,225
|
||||
4,000,000
|
Columbia/HCA Corp., Senior Unsecured Notes, 7.69%, due 6/15/25
|
4,240,000
|
||||
545,000
|
Columbia/HCA Corp., Senior Unsecured Notes, 7.05%, due 12/1/27
|
535,463
|
||||
1,370,000
|
DaVita HealthCare Partners, Inc., Guaranteed Notes, 5.75%, due 8/15/22
|
1,387,125
|
||||
600,000
|
HCA Holdings, Inc., Senior Unsecured Notes, 6.25%, due 2/15/21
|
622,500
|
||||
1,035,000
|
Health Management Associates, Inc., Guaranteed Notes, 7.38%, due 1/15/20
|
1,172,137
|
||||
2,110,000
|
IASIS Healthcare LLC/IASIS Capital Corp., Guaranteed Notes, 8.38%, due 5/15/19
|
2,215,500
|
||||
705,000
|
OMEGA Healthcare Investors, Inc., Guaranteed Notes, 7.50%, due 2/15/20
|
771,975
|
||||
2,090,000
|
OMEGA Healthcare Investors, Inc., Guaranteed Notes, 6.75%, due 10/15/22
|
2,267,650
|
||||
1,375,000
|
Tenet Healthcare Corp., Senior Secured Notes, 6.25%, due 11/1/18
|
1,471,250
|
||||
855,000
|
Tenet Healthcare Corp., Senior Unsecured Notes, 6.75%, due 2/1/20
|
850,725
|
||||
825,000
|
Tenet Healthcare Corp., Senior Secured Notes, 4.50%, due 4/1/21
|
769,312
|
ñ
|
|||
505,000
|
Tenet Healthcare Corp., Senior Secured Notes, 4.38%, due 10/1/21
|
464,600
|
ñ
|
|||
1,890,000
|
United Surgical Partners Int'l, Inc., Guaranteed Notes, 9.00%, due 4/1/20
|
2,093,175
|
||||
21,407,031
|
||||||
Health Services (0.7%)
|
||||||
1,040,000
|
Emergency Medical Services Corp., Guaranteed Notes, 8.13%, due 6/1/19
|
1,128,400
|
||||
675,000
|
Envision Healthcare Holdings, Inc., Senior Notes, 9.25%, due 10/1/17
|
689,344
|
ñc
|
|||
1,817,744
|
||||||
Investments & Misc. Financial Services (2.3%)
|
||||||
3,680,000
|
Icahn Enterprises L.P., Guaranteed Notes, 7.75%, due 1/15/16
|
3,822,600
|
ØØ
|
|||
2,465,000
|
Icahn Enterprises L.P., Guaranteed Notes, 8.00%, due 1/15/18
|
2,603,656
|
||||
6,426,256
|
||||||
Leisure (0.6%)
|
||||||
1,155,000
|
Cedar Fair L.P., Guaranteed Notes, 9.13%, due 8/1/18
|
1,273,387
|
||||
535,000
|
Cedar Fair L.P., Guaranteed Notes, 5.25%, due 3/15/21
|
522,963
|
ñ
|
|||
1,796,350
|
||||||
Machinery (1.7%)
|
||||||
2,655,000
|
Case New Holland, Inc., Guaranteed Notes, 7.88%, due 12/1/17
|
3,112,987
|
ØØ
|
|||
725,000
|
Terex Corp., Guaranteed Notes, 6.00%, due 5/15/21
|
743,125
|
||||
910,000
|
The Manitowoc Co., Inc., Guaranteed Notes, 8.50%, due 11/1/20
|
1,023,750
|
||||
4,879,862
|
||||||
Managed Care (0.4%)
|
||||||
1,105,000
|
MPH Intermediate Holding Co. 2, Senior Unsecured Notes, 8.38%, due 8/1/18
|
1,128,481
|
ñc
|
|||
Media - Broadcast (4.4%)
|
||||||
757,000
|
AMC Networks, Inc., Guaranteed Notes, 7.75%, due 7/15/21
|
847,840
|
||||
645,000
|
Clear Channel Communications, Inc., Senior Secured Notes, 9.00%, due 12/15/19
|
643,388
|
||||
3,367,000
|
Clear Channel Communications, Inc., Senior Secured Notes, 11.25%, due 3/1/21
|
3,594,272
|
||||
3,755,000
|
Cumulus Media Holdings, Inc., Guaranteed Notes, 7.75%, due 5/1/19
|
3,820,712
|
||||
95,000
|
Sirius XM Radio, Inc., Senior Unsecured Notes, 4.25%, due 5/15/20
|
88,350
|
ñ
|
|||
660,000
|
Sirius XM Radio, Inc., Guaranteed Notes, 5.75%, due 8/1/21
|
659,700
|
ñ
|
|||
1,080,000
|
Univision Communications, Inc., Senior Secured Notes, 6.88%, due 5/15/19
|
1,152,900
|
ñ
|
|||
375,000
|
Univision Communications, Inc., Senior Secured Notes, 7.88%, due 11/1/20
|
411,563
|
ñ
|
|||
1,095,000
|
XM Satellite Radio, Inc., Guaranteed Notes, 7.63%, due 11/1/18
|
1,207,237
|
ñ
|
|||
12,425,962
|
||||||
Media - Cable (6.0%)
|
||||||
70,000
|
CCO Holdings LLC, Guaranteed Notes, 7.00%, due 1/15/19
|
74,200
|
||||
1,040,000
|
CCO Holdings LLC, Guaranteed Notes, 8.13%, due 4/30/20
|
1,131,000
|
||||
351,000
|
CCO Holdings LLC, Guaranteed Notes, 5.13%, due 2/15/23
|
321,165
|
||||
1,880,000
|
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., Senior Unsecured Notes, 5.13%, due 12/15/21
|
1,804,800
|
ñ
|
|||
1,917,000
|
Cequel Communications Escrow I LLC/Cequel Communications Escrow Capital Corp., Senior Unsecured Notes, 6.38%, due 9/15/20
|
1,979,302
|
ñ
|
|||
270,000
|
CSC Holdings LLC, Senior Unsecured Notes, 7.63%, due 7/15/18
|
310,500
|
||||
272,000
|
CSC Holdings LLC, Senior Unsecured Notes, 6.75%, due 11/15/21
|
297,840
|
||||
5,980,000
|
DISH DBS Corp., Guaranteed Notes, 5.13%, due 5/1/20
|
5,875,350
|
ñ
|
|||
1,365,000
|
DISH DBS Corp., Guaranteed Notes, 6.75%, due 6/1/21
|
1,446,900
|
||||
515,000
|
DISH DBS Corp., Guaranteed Notes, 5.88%, due 7/15/22
|
513,713
|
||||
730,000
|
DISH DBS Corp., Guaranteed Notes, 5.00%, due 3/15/23
|
684,375
|
||||
685,000
|
Lynx I Corp., Senior Secured Notes, 5.38%, due 4/15/21
|
693,562
|
ñ
|
|||
320,000
|
UPC Holding BV, Secured Notes, 9.88%, due 4/15/18
|
348,800
|
ñ
|
|||
1,115,000
|
UPCB Finance III Ltd., Senior Secured Notes, 6.63%, due 7/1/20
|
1,193,050
|
ñ
|
|||
16,674,557
|
||||||
Media - Services (1.1%)
|
||||||
825,000
|
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. B, 7.63%, due 3/15/20
|
870,375
|
||||
1,345,000
|
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. B, 6.50%, due 11/15/22
|
1,405,525
|
||||
495,000
|
Clear Channel Worldwide Holdings, Inc., Guaranteed Notes, Ser. A, 6.50%, due 11/15/22
|
512,325
|
||||
230,000
|
WMG Acquisition Corp., Senior Secured Notes, 6.00%, due 1/15/21
|
240,350
|
ñ
|
|||
3,028,575
|
||||||
Medical Products (1.0%)
|
||||||
1,333,000
|
Biomet, Inc., Guaranteed Notes, 6.50%, due 8/1/20
|
1,399,650
|
||||
235,000
|
DJO Finance LLC/DJO Finance Corp., Guaranteed Notes, 7.75%, due 4/15/18
|
233,238
|
||||
505,000
|
DJO Finance LLC/DJO Finance Corp., Guaranteed Notes, 9.88%, due 4/15/18
|
534,037
|
||||
645,000
|
Hologic, Inc., Guaranteed Notes, 6.25%, due 8/1/20
|
682,894
|
||||
2,849,819
|
||||||
Metals - Mining Excluding Steel (3.0%)
|
||||||
1,315,000
|
Alpha Natural Resources, Inc., Guaranteed Notes, 9.75%, due 4/15/18
|
1,354,450
|
||||
710,000
|
Alpha Natural Resources, Inc., Guaranteed Notes, 6.00%, due 6/1/19
|
608,825
|
||||
555,000
|
Alpha Natural Resources, Inc., Guaranteed Notes, 6.25%, due 6/1/21
|
463,425
|
||||
1,735,000
|
Arch Coal, Inc., Guaranteed Notes, 9.88%, due 6/15/19
|
1,604,875
|
ñ
|
|||
347,000
|
Arch Coal, Inc., Guaranteed Notes, 7.25%, due 10/1/20
|
281,070
|
||||
1,060,000
|
Arch Coal, Inc., Guaranteed Notes, 7.25%, due 6/15/21
|
855,950
|
||||
780,000
|
FMG Resources (August 2006) Pty Ltd., Guaranteed Notes, 7.00%, due 11/1/15
|
797,550
|
ñ
|
|||
135,000
|
FMG Resources (August 2006) Pty Ltd., Guaranteed Notes, 6.00%, due 4/1/17
|
135,000
|
ñ
|
|||
615,000
|
FMG Resources (August 2006) Pty Ltd., Guaranteed Notes, 8.25%, due 11/1/19
|
648,825
|
ñ
|
|||
1,035,000
|
Peabody Energy Corp., Guaranteed Notes, 6.00%, due 11/15/18
|
1,058,287
|
||||
660,000
|
Walter Energy, Inc., Guaranteed Notes, 8.50%, due 4/15/21
|
536,250
|
ñ
|
|||
8,344,507
|
||||||
Packaging (6.1%)
|
||||||
605,000
|
Ball Corp., Guaranteed Notes, 4.00%, due 11/15/23
|
553,575
|
||||
5,055,000
|
Berry Plastics Corp., Secured Notes, 9.75%, due 1/15/21
|
5,914,350
|
ØØ
|
|||
1,125,000
|
Reynolds Group Issuer, Inc., Guaranteed Notes, 8.50%, due 5/15/18
|
1,170,000
|
||||
275,000
|
Reynolds Group Issuer, Inc., Guaranteed Notes, 9.00%, due 4/15/19
|
286,000
|
||||
1,970,000
|
Reynolds Group Issuer, Inc., Senior Secured Notes, 7.88%, due 8/15/19
|
2,167,000
|
||||
3,465,000
|
Reynolds Group Issuer, Inc., Guaranteed Notes, 9.88%, due 8/15/19
|
3,742,200
|
||||
1,640,000
|
Reynolds Group Issuer, Inc., Senior Secured Notes, 5.75%, due 10/15/20
|
1,668,700
|
||||
905,000
|
Reynolds Group Issuer, Inc., Senior Secured Notes, 6.88%, due 2/15/21
|
962,694
|
||||
550,000
|
Reynolds Group Issuer, Inc., Guaranteed Notes, 8.25%, due 2/15/21
|
559,625
|
||||
17,024,144
|
||||||
Pharmaceuticals (3.9%)
|
||||||
770,000
|
Endo Pharmaceutical Holdings, Inc., Guaranteed Notes, 7.00%, due 7/15/19
|
804,650
|
||||
540,000
|
Jaguar Holding Co., Senior Unsecured Notes, 9.38%, due 10/15/17
|
579,150
|
ñc
|
|||
1,695,000
|
Jaguar Holding Co. II/Jaguar Merger Sub, Inc.,, Senior Unsecured Notes, 9.50%, due 12/1/19
|
1,923,825
|
ñ
|
|||
465,000
|
Sky Growth Acquisition Corp., Guaranteed Notes, 7.38%, due 10/15/20
|
483,600
|
ñ
|
|||
465,000
|
Valeant Pharmaceuticals Int'l, Guaranteed Notes, 6.50%, due 7/15/16
|
481,275
|
ñ
|
|||
855,000
|
Valeant Pharmaceuticals Int'l, Guaranteed Notes, 6.75%, due 10/1/17
|
902,025
|
ñ
|
|||
448,000
|
Valeant Pharmaceuticals Int'l, Guaranteed Notes, 6.88%, due 12/1/18
|
471,520
|
ñ
|
|||
4,200,000
|
VPI Escrow Corp., Guaranteed Notes, 6.38%, due 10/15/20
|
4,336,500
|
ñ
|
|||
750,000
|
VPII Escrow Corp., Senior Unsecured Notes, 6.75%, due 8/15/18
|
791,250
|
ñ
|
|||
10,773,795
|
||||||
Printing & Publishing (4.8%)
|
||||||
1,130,000
|
Gannett Co., Inc., Guaranteed Notes, 5.13%, due 7/15/20
|
1,127,175
|
ñ
|
|||
920,000
|
Gannett Co., Inc., Guaranteed Notes, 9.38%, due 11/15/17
|
977,500
|
||||
840,000
|
Gannett Co., Inc., Guaranteed Notes, 7.13%, due 9/1/18
|
896,700
|
||||
3,862,000
|
R. R. Donnelley & Sons Co., Senior Unsecured Notes, 7.25%, due 5/15/18
|
4,161,305
|
||||
2,855,000
|
R. R. Donnelley & Sons Co., Senior Unsecured Notes, 8.25%, due 3/15/19
|
3,154,775
|
||||
1,860,000
|
R. R. Donnelley & Sons Co., Senior Unsecured Notes, 7.63%, due 6/15/20
|
1,994,850
|
||||
1,120,000
|
R. R. Donnelley & Sons Co., Senior Unsecured Notes, 7.88%, due 3/15/21
|
1,209,600
|
||||
13,521,905
|
||||||
Real Estate Dev. & Mgt. (0.4%)
|
||||||
1,100,000
|
Realogy Group LLC, Senior Secured Notes, 7.63%, due 1/15/20
|
1,229,250
|
ñ
|
|||
Software - Services (5.9%)
|
||||||
1,913,000
|
First Data Corp., Guaranteed Notes, 11.25%, due 3/31/16
|
1,903,435
|
ØØ
|
|||
1,055,000
|
First Data Corp., Senior Secured Notes, 7.38%, due 6/15/19
|
1,107,750
|
ñ
|
|||
1,140,000
|
First Data Corp., Senior Secured Notes, 6.75%, due 11/1/20
|
1,189,875
|
ñ
|
|||
1,630,000
|
First Data Corp., Guaranteed Notes, 11.25%, due 1/15/21
|
1,687,050
|
ñ
|
|||
3,400,000
|
First Data Corp., Guaranteed Notes, 12.63%, due 1/15/21
|
3,727,250
|
||||
1,310,000
|
First Data Corp., Guaranteed Notes, 10.63%, due 6/15/21
|
1,329,650
|
ñ
|
|||
150,000
|
First Data Corp., Guaranteed Notes, 11.75%, due 8/15/21
|
143,250
|
ñ
|
|||
2,010,000
|
Sophia, L.P./Sophia Finance, Inc., Guaranteed Notes, 9.75%, due 1/15/19
|
2,180,850
|
ñ
|
|||
1,810,000
|
SunGard Data Systems, Inc., Guaranteed Notes, 6.63%, due 11/1/19
|
1,877,875
|
||||
515,000
|
SunGard Data Systems, Inc., Guaranteed Notes, 7.63%, due 11/15/20
|
558,775
|
||||
690,000
|
Syniverse Holdings, Inc., Guaranteed Notes, 9.13%, due 1/15/19
|
745,200
|
||||
16,450,960
|
||||||
Specialty Retail (3.0%)
|
||||||
1,085,000
|
Michaels FinCo. Holdings LLC / Michaels FinCo., Inc., Senior Unsecured Notes, 7.50%, due 8/1/18
|
1,095,850
|
ñc
|
|||
685,000
|
Party City Holdings, Inc., Senior Unsecured Notes, 8.88%, due 8/1/20
|
750,075
|
ñ
|
|||
4,320,000
|
Toys "R" Us Property Co. I LLC, Guaranteed Notes, 10.75%, due 7/15/17
|
4,568,443
|
ØØ
|
|||
1,896,000
|
Toys "R" Us Property Co. II LLC, Senior Secured Notes, 8.50%, due 12/1/17
|
2,002,650
|
||||
8,417,018
|
||||||
Steel Producers - Products (1.8%)
|
||||||
920,000
|
ArcelorMittal, Senior Unsecured Notes, 6.13%, due 6/1/18
|
966,000
|
||||
3,435,000
|
ArcelorMittal, Senior Unsecured Notes, 5.75%, due 8/5/20
|
3,439,294
|
||||
600,000
|
ArcelorMittal, Senior Unsecured Notes, 7.50%, due 10/15/39
|
565,500
|
||||
4,970,794
|
||||||
Support - Services (3.0%)
|
||||||
730,000
|
Hertz Corp., Guaranteed Notes, 5.88%, due 10/15/20
|
770,150
|
||||
1,220,000
|
Iron Mountain, Inc., Guaranteed Notes, 7.75%, due 10/1/19
|
1,351,150
|
||||
820,000
|
Iron Mountain, Inc., Senior Subordinated Notes, 8.38%, due 8/15/21
|
888,675
|
||||
1,240,000
|
Knowledge Universe Education LLC, Guaranteed Notes, 7.75%, due 2/1/15
|
1,190,400
|
ñ
|
|||
1,395,000
|
ServiceMaster Co., Guaranteed Notes, 7.00%, due 8/15/20
|
1,299,094
|
||||
1,510,000
|
ServiceMaster Co., Guaranteed Notes, 8.00%, due 2/15/20
|
1,476,025
|
||||
70,000
|
United Rental N.A., Inc., Senior Unsecured Notes, 10.25%, due 11/15/19
|
79,450
|
||||
1,010,000
|
United Rental N.A., Inc., Senior Unsecured Notes, 8.25%, due 2/1/21
|
1,128,675
|
||||
380,000
|
United Rental N.A., Inc., Guaranteed Notes, 8.38%, due 9/15/20
|
418,950
|
||||
8.602.569
|
||||||
Telecom - Integrated Services (12.0%)
|
||||||
4,000,000
|
CenturyLink, Inc., Senior Unsecured Notes, Ser. P, 7.60%, due 9/15/39
|
3,790,000
|
||||
4,349,000
|
Citizens Communications Co., Senior Unsecured Notes, 9.00%, due 8/15/31
|
4,240,275
|
ØØ
|
|||
90,000
|
Frontier Communications Corp., Senior Unsecured Notes, 9.25%, due 7/1/21
|
104,400
|
||||
665,000
|
Frontier Communications Corp., Senior Unsecured Notes, 7.63%, due 4/15/24
|
671,650
|
||||
810,000
|
Hughes Satellite Systems Corp., Senior Secured Notes, 6.50%, due 6/15/19
|
860,625
|
||||
1,035,000
|
Intelsat Jackson Holdings SA, Guaranteed Notes, 8.50%, due 11/1/19
|
1,142,381
|
||||
2,280,000
|
Intelsat Jackson Holdings SA, Guaranteed Notes, 5.50%, due 8/1/23
|
2,188,800
|
ñ
|
|||
1,055,000
|
Intelsat Luxembourg SA, Guaranteed Notes, 7.75%, due 6/1/21
|
1,110,388
|
ñ
|
|||
2,795,000
|
Intelsat Luxembourg SA, Guaranteed Notes, 8.13%, due 6/1/23
|
3,004,625
|
ñ
|
|||
355,000
|
Level 3 Communications, Inc., Senior Unsecured Notes, 8.88%, due 6/1/19
|
382,513
|
||||
2,231,000
|
Level 3 Financing, Inc., Guaranteed Notes, 9.38%, due 4/1/19
|
2,476,410
|
||||
2,040,000
|
Level 3 Financing, Inc., Guaranteed Notes, 8.13%, due 7/1/19
|
2,213,400
|
||||
1,750,000
|
Level 3 Financing, Inc., Guaranteed Notes, 8.63%, due 7/15/20
|
1,925,000
|
||||
695,000
|
Qwest Corp., Senior Unsecured Notes, 6.75%, due 12/1/21
|
778,321
|
||||
1,874,000
|
U.S. West Communications Group, Senior Unsecured Notes, 6.88%, due 9/15/33
|
1,850,575
|
||||
1,755,000
|
Windstream Corp., Guaranteed Notes, 7.88%, due 11/1/17
|
1,965,600
|
||||
535,000
|
Windstream Corp., Guaranteed Notes, 7.75%, due 10/15/20
|
569,775
|
||||
1,610,000
|
Windstream Corp., Guaranteed Notes, 7.75%, due 10/1/21
|
1,714,650
|
||||
2,065,000
|
Windstream Corp., Guaranteed Notes, 7.50%, due 6/1/22
|
2,126,950
|
||||
645,000
|
Windstream Corp., Guaranteed Notes, 6.38%, due 8/1/23
|
612,750
|
||||
33,729,088
|
||||||
Telecom - Wireless (2.2%)
|
||||||
880,000
|
MetroPCS Wireless, Inc., Guaranteed Notes, 6.25%, due 4/1/21
|
897,600
|
ñ
|
|||
530,000
|
MetroPCS Wireless, Inc., Guaranteed Notes, 6.63%, due 4/1/23
|
540,600
|
ñ
|
|||
455,000
|
SBA Telecommunications, Inc., Guaranteed Notes, 5.75%, due 7/15/20
|
465,238
|
||||
1,480,000
|
Sprint Capital Corp., Guaranteed Notes, 6.88%, due 11/15/28
|
1,361,600
|
ØØ
|
|||
1,440,000
|
Sprint Capital Corp., Guaranteed Notes, 8.75%, due 3/15/32
|
1,519,200
|
||||
475,000
|
Sprint Nextel Corp., Guaranteed Notes, 9.00%, due 11/15/18
|
562,875
|
ñ
|
|||
895,000
|
Sprint Nextel Corp., Senior Unsecured Notes, 7.00%, due 8/15/20
|
943,106
|
||||
6,290,219
|
||||||
Total Corporate Debt Securities (Cost $352,242,535)
|
362,707,019
|
|||||
NUMBER OF SHARES
|
||||||
Short-Term Investments (4.1%)
|
||||||
11,479,023
|
State Street Institutional Liquid Reserves Fund Institutional Class (Cost $11,479,023)
|
11,479,023
|
||||
Total Investments (139.2%) (Cost $379,209,408)
|
389,897,916
|
##
|
||||
Liabilities, less cash, receivables and other assets [(29.5%)]
|
(82,578,560)
|
±
|
||||
Liquidation Value of Perpetual Preferred Shares [(9.7%)]
|
(27,175,000)
|
|||||
Total Net Assets Applicable to Common Shareholders (100.0%)
|
$280,144,356
|
†
|
In accordance with Accounting Standards Codification (“ASC”) 820 “Fair Value Measurements and Disclosures” (“ASC 820”), all investments held by Neuberger Berman High Yield Strategies Fund Inc. (the “Fund”) are carried at the value that Neuberger Berman Management LLC (“Management”) believes the Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment under current market conditions. Various inputs, including the volume and level of activity for the asset or liability in the market, are considered in valuing the Fund’s investments,
some of which are discussed below. Significant management judgment may be necessary to value investments in accordance with ASC 820.
|
||
ASC 820 established a three-tier hierarchy of inputs to create a classification of value measurements for disclosure purposes. The three-tier hierarchy of inputs is summarized in the three broad Levels listed below.
|
|||
● |
Level 1 – quoted prices in active markets for identical investments
|
||
● |
Level 2 – other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, amortized cost, etc.)
|
||
● |
Level 3 – significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
|
||
The inputs or methodology used for valuing an investment are not necessarily an indication of the risk associated with investing in those securities.
|
|||
The value of the Fund’s investments in debt securities is determined by Management primarily by obtaining valuations from independent pricing services based on readily available bid quotations, or if quotations are not available, by methods which include various considerations based on security type (generally Level 2 inputs). In addition to the consideration of yields or prices of securities of comparable quality, coupon, maturity and type; indications as to values from dealers; and general market conditions, the following is a description of other Level 2 inputs and related valuation techniques used by an independent pricing service to value certain types of debt securities of the
Fund:
|
|||
Corporate Debt Securities. Inputs used to value corporate debt securities generally include relative credit information, observed market movements, sector news, spread to the U.S. Treasury market, and other market information which may include benchmark yields, reported trades, broker-dealer quotes, issuer spreads, benchmark securities, bids, offers, and reference data, such as market research publications, when available (“Other Market Information”).
|
|||
High Yield Securities. Inputs used to value high yield securities generally include a number of observations of equity and credit default swap curves related to the issuer and Other Market Information.
|
|||
The value of bank loan securities is determined by Management primarily by obtaining valuations from independent pricing services based on broker quotes (generally Level 2 or Level 3 inputs depending on the number of quotes available).
|
|||
The value of the Fund’s investments in interest rate swap contracts is determined by Management primarily by obtaining valuations from independent pricing services based on references to the underlying rates including the overnight index swap rate and London Interbank Offered Rate (“LIBOR”) forward rate to produce the daily settlement price (generally Level 2 inputs).
|
|||
Management has developed a process to periodically review information provided by independent pricing services for all types of securities.
|
|||
Investments in investment companies are valued using the fund’s daily calculated net asset value per share (Level 2 inputs).
|
|||
If a valuation is not available from an independent pricing service, or if Management has reason to believe that the valuation received does not represent the amount the Fund might reasonably expect to receive on a current sale in an orderly transaction, the Fund seeks to obtain quotations from principal market makers (generally considered Level 3 inputs). If such quotations are not readily available, the security is valued using methods the Fund’s Board of Directors (the “Board”) has approved on the belief that they reflect fair value. Numerous factors may be considered when determining the fair value of a security based on Level 2 or 3 inputs, including available analyst, media
or other reports, trading in futures or ADRs and whether the issuer of the security being fair valued has other securities outstanding.
|
Asset Valuation Inputs
Investments:
|
Level 1
|
Level 2
|
Level 3§
|
Total
|
||||||||||
Bank Loan Obligations^
|
$
|
-
|
$
|
15,711,874
|
$
|
-
|
$
|
15,711,874
|
||||||
Corporate Debt Securities
|
||||||||||||||
Airlines
|
-
|
-
|
722,654
|
722,654
|
||||||||||
Other Corporate Debt Securities^
|
-
|
361,984,365
|
-
|
361,984,365
|
||||||||||
Total Corporate Debt Securities
|
-
|
361,984,365
|
722,654
|
362,707,019
|
||||||||||
Short-Term Investments
|
-
|
11,479,023
|
-
|
11,479,023
|
||||||||||
Total Investments
|
$
|
-
|
$
|
389,175,262
|
$
|
722,654
|
$
|
389,897,916
|
^
|
The Schedule of Investments provides information on the industry categorization for the portfolio.
|
§
|
The following is a reconciliation between the beginning and ending balances of investments in which significant unobservable inputs (Level 3) were used in determining value:
|
Beginning
balance, as
of 11/1/12
|
Accrued
discounts/
(premiums)
|
Realized
gain/loss
|
Change in
unrealized
appreciation/
(depreciation)
|
Purchases
|
Sales
|
Transfer
in
to Level 3
|
Transfers
out of
Level 3
|
Balance as
of
7/31/13
|
Net change in
unrealized
appreciation/
(depreciation)
from
investments
still held as of
7/31/13
|
|
Investments in Securities:
|
||||||||||
Corporate Debt Securities
|
||||||||||
Airlines
|
$885,996
|
$-
|
$(5,649)
|
$(24,774)
|
$-
|
$(132,919)
|
$-
|
$-
|
$722,654
|
$(24,774)
|
Total
|
$885,996
|
$-
|
$(5,649)
|
$(24,774)
|
$-
|
$(132,919)
|
$-
|
$-
|
$722,654
|
$(24,774)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||
Interest rate swap contracts
|
$-
|
$(2,769,091)
|
$-
|
$(2,769,091)
|
##
|
At July 31, 2013, the cost of investments for U.S. federal income tax purposes was $379,241,636. Gross unrealized appreciation of investments was $13,866,987 and gross unrealized depreciation of investments was $3,210,707, resulting in net unrealized appreciation of $10,656,280 based on cost for U.S. federal income tax purposes.
|
ñ
|
Securities were purchased under Rule 144A of the Securities Act of 1933, as amended (the “1933 Act”), or are private placements and, unless registered under the 1933 Act or exempted from registration, may only be sold to qualified institutional investors. These securities have been deemed by the investment manager to be liquid. At July 31, 2013, these securities amounted to $90,597,590 or 32.3% of net assets applicable to common shareholders.
|
Ø
|
All or a portion of this security was purchased on a when-issued basis. At July 31, 2013 these securities amounted to $967,200 or 0.3% of net assets applicable to common shareholders.
|
ØØ
|
All or a portion of this security is segregated in connection with obligations for interest rate swap contracts, when-issued purchase commitments and delayed delivery purchase commitments. In addition, the Fund had deposited $2,763,863 in a segregated account for interest rate swap contracts.
|
µ
|
Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of July 31, 2013, and their final maturity dates.
|
c
|
Payment-in-kind security for which part of the income earned may be paid as additional principal.
|
¢
|
All or a portion of this security was purchased on a delayed delivery basis.
|
^^
|
All or a portion of this security has not settled as of July 31, 2013 and thus does not have an interest rate in effect. Interest rates do not take effect until settlement.
|
±
|
At July 31, 2013, the Fund had outstanding interest rate swap contracts as follows:
|
Rate Type
|
|||||||
Swap Counterparty
|
Notional
Amount(1)
|
Termination Date
|
Fixed-rate
Payments
Made by the
Fund
|
Variable-rate
Payments
Received by
the Fund
|
Accrued Net
Interest Receivable
(Payable)
|
Unrealized
Appreciation
(Depreciation)
|
Total Fair
Value
|
Citibank, N.A.
|
$25,000,000
|
March 18, 2015
|
1.677%
|
.272%(2)
|
$(146,602)
|
$(516,141)
|
$(662,743)
|
Citibank, N.A.
|
25,000,000
|
August 9, 2015
|
1.120%
|
.275%(3)
|
(116,175)
|
(323,681)
|
(439,856)
|
Citibank, N.A.
|
50,000,000
|
December 7, 2015
|
1.883%
|
.274%(4)
|
(120,316)
|
(1,546,176)
|
(1,666,492)
|
$(383,093)
|
$(2,385,998)
|
$(2,769,091)
|
(a)
|
Based on an evaluation of the disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (“1940 Act”)), as of a date within 90 days of the filing date of this document, the Chief Executive Officer and Treasurer and Principal Financial and Accounting Officer of the Registrant have concluded that such disclosure controls and procedures are effectively designed to ensure that information required to be disclosed by the Registrant on Form N-CSR and Form N-Q is accumulated and communicated to the Registrant’s management to allow timely decisions regarding required disclosure.
|
(b)
|
There were no significant changes in the Registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
|
By:
|
/s/ Robert Conti
|
||
Robert Conti
|
|||
Chief Executive Officer and President
|
By:
|
/s/ Robert Conti
|
||
Robert Conti
|
|||
Chief Executive Officer and President
|
By:
|
/s/ John M. McGovern
|
||
John M. McGovern
|
|||
Treasurer and Principal Financial
and Accounting Officer
|