UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-07989
Metropolitan West Funds
(Exact name of registrant as specified in charter)
865 South Figueroa Street
Los Angeles, CA 90017
(Address of principal executive offices) (Zip code)
David B. Lippman
Metropolitan West Funds
865 South Figueroa Street
Los Angeles, CA 90017
(Name and address of agent for service)
Registrant’s telephone number, including area code: (213) 244-0000
Date of fiscal year end: March 31
Date of reporting period: December 31, 2013
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
|
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507. |
Item 1. Schedule of Investments.
The Schedule(s) of Investments is attached herewith.
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Banking (continued) | ||||||||||||
| National Australia Bank Ltd., Series REGS (Australia) | ||||||||||||
|
0.97% |
04/11/14 | 2,4 | $ | 550,000 | $ | 550,999 | ||||||
|
|
|
|||||||||||
| 4,363,585 | ||||||||||||
|
|
|
|||||||||||
| Communications — 0.86% | ||||||||||||
| AT&T, Inc. | ||||||||||||
|
2.50% |
08/15/15 | 650,000 | 667,618 | |||||||||
| Verizon Communications, Inc. | ||||||||||||
|
1.77% |
09/15/16 | 2 | 900,000 | 927,612 | ||||||||
|
|
|
|||||||||||
| 1,595,230 | ||||||||||||
|
|
|
|||||||||||
| Consumer Discretionary — 0.30% | ||||||||||||
| Anheuser-Busch InBev Worldwide, Inc., Series FRN | ||||||||||||
|
0.79% |
01/27/14 | 2 | 550,000 | 550,195 | ||||||||
|
|
|
|||||||||||
| Electric — 0.32% | ||||||||||||
| NextEra Energy Capital Holdings, Inc. | ||||||||||||
|
1.34% |
09/01/15 | 600,000 | 604,244 | |||||||||
|
|
|
|||||||||||
| Energy — 1.19% | ||||||||||||
| CNOOC Finance 2013 Ltd. (China) | ||||||||||||
|
1.12% |
05/09/16 | 4 | 500,000 | 500,119 | ||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
4.00% |
07/15/15 | 3 | 550,000 | 576,029 | ||||||||
| Petrobras Global Finance BV (Netherlands) | ||||||||||||
|
1.86% |
05/20/16 | 2,4 | 500,000 | 495,847 | ||||||||
| Trans-Canada Pipelines Ltd. (Canada) | ||||||||||||
|
0.93% |
06/30/16 | 2,4 | 650,000 | 655,105 | ||||||||
|
|
|
|||||||||||
| 2,227,100 | ||||||||||||
|
|
|
|||||||||||
| Finance — 2.45% | ||||||||||||
| Citigroup, Inc. | ||||||||||||
|
1.20% |
07/25/16 | 2 | 800,000 | 810,018 | ||||||||
|
5.30% |
01/07/16 | 275,000 | 297,947 | |||||||||
| Ford Motor Credit Co. LLC, Series FRN | ||||||||||||
|
1.49% |
05/09/16 | 2 | 600,000 | 610,911 | ||||||||
| General Electric Capital Corp. (MTN) | ||||||||||||
|
0.38% |
06/20/14 | 2 | 250,000 | 250,168 | ||||||||
|
General Electric Capital Corp.,
Series A (MTN) |
||||||||||||
|
0.50% |
09/15/14 | 2 | 300,000 | 300,664 | ||||||||
|
General Electric Capital Corp.,
Series G (MTN) |
||||||||||||
|
0.89% |
07/12/16 | 2 | 500,000 | 503,912 | ||||||||
| Goldman Sachs Group, Inc. | ||||||||||||
|
1.24% |
02/07/14 | 2 | 430,000 | 430,311 | ||||||||
| Goldman Sachs Group, Inc., Series B (MTN) | ||||||||||||
|
0.64% |
07/22/15 | 2 | 200,000 | 199,617 | ||||||||
| International Lease Finance Corp. | ||||||||||||
|
6.50% |
09/01/14 | 3 | 350,000 | 363,563 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 1
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
2 / N-Q Report December 2013
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Commercial Mortgage-Backed (continued) | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A5 | ||||||||||||
|
4.65% |
01/12/37 | $ | 441,914 | $ | 443,330 | |||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2004-CBX, Class A6 | ||||||||||||
|
4.90% |
01/12/37 | 1,600,000 | 1,640,202 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP2, Class ASB | ||||||||||||
|
4.66% |
07/15/42 | 234,542 | 238,134 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A3 | ||||||||||||
|
5.23% |
12/15/44 | 2 | 551,891 | 558,769 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP5, Class A4 | ||||||||||||
|
5.20% |
12/15/44 | 2 | 425,000 | 453,103 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-CB14, Class ASB | ||||||||||||
|
5.51% |
12/12/44 | 2 | 257,018 | 267,824 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S | ||||||||||||
|
5.24% |
05/15/47 | 3 | 162,462 | 162,213 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class ASB | ||||||||||||
|
5.81% |
06/15/49 | 2 | 380,899 | 407,292 | ||||||||
| LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4 | ||||||||||||
|
5.16% |
02/15/31 | 635,000 | 679,440 | |||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2004-KEY2, Class A4 | ||||||||||||
|
4.86% |
08/12/39 | 2 | 772,953 | 785,378 | ||||||||
| Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A5 | ||||||||||||
|
4.86% |
10/12/41 | 2 | 961,577 | 975,443 | ||||||||
| Morgan Stanley Capital I Trust, Series 2001-C3, Class A2 | ||||||||||||
|
3.22% |
08/15/49 | 624,294 | 652,865 | |||||||||
| Morgan Stanley Capital I Trust, Series 2005-HQ6, Class A2A | ||||||||||||
|
4.88% |
08/13/42 | 236,482 | 238,311 | |||||||||
| Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A | ||||||||||||
|
4.89% |
06/12/47 | 545,000 | 571,920 | |||||||||
| Morgan Stanley Capital I Trust, Series 2006-T23, Class A4 | ||||||||||||
|
5.81% |
08/12/41 | 2 | 520,000 | 572,321 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 3
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
4 / N-Q Report December 2013
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 5
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
|
Fannie Mae, Series 2009-33,
Class FB |
||||||||||||
|
0.98% |
03/25/37 | 2 | $ | 509,079 | $ | 517,379 | ||||||
|
Fannie Mae, Series 2010-109,
Class PF |
||||||||||||
|
0.56% |
10/25/40 | 2 | 299,984 | 301,419 | ||||||||
|
Fannie Mae, Series 2010-119,
Class FK |
||||||||||||
|
0.66% |
04/25/40 | 2 | 1,384,551 | 1,390,122 | ||||||||
|
Fannie Mae, Series 2010-26,
Class S (IO) |
||||||||||||
|
6.06% |
11/25/36 | 2 | 1,646,741 | 235,461 | ||||||||
|
Fannie Mae, Series 2010-35,
Class FL |
||||||||||||
|
0.62% |
07/25/38 | 2 | 1,601,641 | 1,608,901 | ||||||||
|
Fannie Mae, Series 2011-71,
Class FB |
||||||||||||
|
0.66% |
05/25/37 | 2 | 626,776 | 631,381 | ||||||||
| Fannie Mae, Series 2012-33, Class F | ||||||||||||
|
0.68% |
04/25/42 | 2 | 1,841,252 | 1,850,243 | ||||||||
| Freddie Mac Gold Pool C90237 | ||||||||||||
|
6.50% |
11/01/18 | 49,886 | 55,506 | |||||||||
| Freddie Mac Gold Pool C90474 | ||||||||||||
|
7.00% |
08/01/21 | 64,573 | 69,968 | |||||||||
| Freddie Mac Gold Pool D93410 | ||||||||||||
|
6.50% |
04/01/19 | 42,382 | 47,149 | |||||||||
| Freddie Mac Gold Pool G13107 | ||||||||||||
|
5.50% |
07/01/20 | 391,106 | 416,339 | |||||||||
| Freddie Mac Gold Pool P20295 | ||||||||||||
|
7.00% |
10/01/29 | 54,218 | 55,905 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010, Class A1 | ||||||||||||
|
3.32% |
07/25/20 | 816,934 | 867,989 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701, Class A2 | ||||||||||||
|
3.88% |
11/25/17 | 1,045,000 | 1,130,478 | |||||||||
| Freddie Mac Non Gold Pool 775554 | ||||||||||||
|
2.64% |
10/01/18 | 2 | 3,326 | 3,302 | ||||||||
| Freddie Mac Non Gold Pool 865369 | ||||||||||||
|
3.17% |
06/01/22 | 2 | 1,520 | 1,507 | ||||||||
| Freddie Mac REMICS, Series 2733, Class FB | ||||||||||||
|
0.77% |
10/15/33 | 2 | 1,060,000 | 1,078,133 | ||||||||
| Freddie Mac REMICS, Series 2806, Class FV | ||||||||||||
|
0.61% |
11/15/33 | 2 | 975,971 | 976,437 | ||||||||
| Freddie Mac REMICS, Series 2817, Class FC | ||||||||||||
|
0.62% |
07/15/31 | 2 | 1,067,399 | 1,068,040 | ||||||||
| Freddie Mac REMICS, Series 2990, Class DE | ||||||||||||
|
0.55% |
11/15/34 | 2 | 2,569,944 | 2,573,200 | ||||||||
| Freddie Mac REMICS, Series 2990, Class LE | ||||||||||||
|
0.49% |
10/15/34 | 2 | 1,474,997 | 1,478,406 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
6 / N-Q Report December 2013
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 7
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
8 / N-Q Report December 2013
Ultra Short Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount/ Shares |
Value | |||||||||
| SHORT-TERM INVESTMENTS (continued) | ||||||||||||
| Money Market Funds — 1.17% | ||||||||||||
| Dreyfus Cash Advantage Fund | ||||||||||||
|
0.06% 8 |
$ | 1,876,000 | $ | 1,876,000 | ||||||||
| DWS Money Market Series Institutional Funds | ||||||||||||
|
0.05% 8 |
297,000 | 297,000 | ||||||||||
|
|
|
|||||||||||
| 2,173,000 | ||||||||||||
|
|
|
|||||||||||
| U.S. Agency Discount Notes — 0.59% | ||||||||||||
| Federal Home Loan Bank | ||||||||||||
|
0.07% 7 |
02/07/14 | 1,100,000 | 1,099,929 | |||||||||
|
Total Short-Term Investments
(Cost $4,772,629) |
4,772,779 | |||||||||||
|
|
|
|||||||||||
|
Total Investments – 99.82%
(Cost $185,486,919) 1 |
186,152,262 | |||||||||||
|
|
|
|||||||||||
|
Cash and Other Assets, Less
Liabilities – 0.18% |
343,027 | |||||||||||
|
|
|
|||||||||||
| Net Assets – 100.00% | $ | 186,495,289 | ||||||||||
|
|
|
|||||||||||
Notes:
| 1 | Cost for federal income tax purposes is $185,494,078 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 1,602,580 | ||
| Gross unrealized depreciation | (944,396 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 658,184 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $77,524, which is 0.04% of total net assets. |
| 6 | Inflation protected security. Principal amount reflects original security face amount. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of December 31, 2013. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(STEP): Step coupon bond
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 9
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
10 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| SLM Student Loan Trust, Series 2004-2, Class B | ||||||||||||
|
0.71% |
07/25/39 | 2 | $ | 2,562,891 | $ | 2,319,782 | ||||||
| SLM Student Loan Trust, Series 2004-5A, Class A5 | ||||||||||||
|
0.84% |
10/25/23 | 2,3 | 7,000,000 | 7,026,164 | ||||||||
| SLM Student Loan Trust, Series 2004-7, Class A5 | ||||||||||||
|
0.41% |
01/27/20 | 2 | 643,241 | 640,237 | ||||||||
| SLM Student Loan Trust, Series 2004-8, Class B | ||||||||||||
|
0.70% |
01/25/40 | 2 | 953,012 | 841,224 | ||||||||
| SLM Student Loan Trust, Series 2004-9, Class A5 | ||||||||||||
|
0.39% |
01/27/20 | 2 | 161,032 | 160,143 | ||||||||
| SLM Student Loan Trust, Series 2004-A, Class A3 | ||||||||||||
|
0.64% |
06/15/33 | 2 | 1,900,000 | 1,725,709 | ||||||||
| SLM Student Loan Trust, Series 2004-B, Class A3 | ||||||||||||
|
0.57% |
03/15/24 | 2 | 5,100,000 | 4,606,715 | ||||||||
| SLM Student Loan Trust, Series 2004-B, Class A4 | ||||||||||||
|
0.67% |
09/15/33 | 2 | 2,050,000 | 1,663,786 | ||||||||
| SLM Student Loan Trust, Series 2005-2, Class A5 | ||||||||||||
|
0.33% |
04/27/20 | 2 | 3,337,233 | 3,326,060 | ||||||||
| SLM Student Loan Trust, Series 2005-4, Class B | ||||||||||||
|
0.42% |
07/25/40 | 2 | 3,139,621 | 2,725,794 | ||||||||
| SLM Student Loan Trust, Series 2006-2, Class A6 | ||||||||||||
|
0.41% |
01/25/41 | 2 | 6,000,000 | 5,245,251 | ||||||||
| SLM Student Loan Trust, Series 2006-4, Class A4 | ||||||||||||
|
0.32% |
04/25/23 | 2 | 1,249,120 | 1,248,853 | ||||||||
| SLM Student Loan Trust, Series 2006-8, Class A6 | ||||||||||||
|
0.40% |
01/25/41 | 2 | 6,000,000 | 5,247,414 | ||||||||
| SLM Student Loan Trust, Series 2006-B, Class A5 | ||||||||||||
|
0.51% |
12/15/39 | 2 | 1,400,000 | 1,205,260 | ||||||||
| SLM Student Loan Trust, Series 2007-2, Class A2 | ||||||||||||
|
0.24% |
07/25/17 | 2 | 1,971,567 | 1,967,889 | ||||||||
| SLM Student Loan Trust, Series 2007-6, Class B | ||||||||||||
|
1.09% |
04/27/43 | 2 | 1,080,000 | 941,148 | ||||||||
| SLM Student Loan Trust, Series 2007-7, Class A3 | ||||||||||||
|
0.48% |
04/25/17 | 2 | 7,000,000 | 6,969,894 | ||||||||
| SLM Student Loan Trust, Series 2008-2, Class B | ||||||||||||
|
1.44% |
01/25/29 | 2 | 1,080,000 | 945,505 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 11
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| SLM Student Loan Trust, Series 2008-3, Class B | ||||||||||||
|
1.44% |
04/25/29 | 2 | $ | 1,080,000 | $ | 969,420 | ||||||
| SLM Student Loan Trust, Series 2008-4, Class B | ||||||||||||
|
2.09% |
04/25/29 | 2 | 1,080,000 | 1,046,876 | ||||||||
| SLM Student Loan Trust, Series 2008-5, Class A3 | ||||||||||||
|
1.54% |
01/25/18 | 2 | 6,100,000 | 6,154,153 | ||||||||
| SLM Student Loan Trust, Series 2008-5, Class A4 | ||||||||||||
|
1.94% |
07/25/23 | 2 | 7,000,000 | 7,327,390 | ||||||||
| SLM Student Loan Trust, Series 2008-5, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 1,080,000 | 1,069,557 | ||||||||
| SLM Student Loan Trust, Series 2008-6, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 1,080,000 | 1,033,440 | ||||||||
| SLM Student Loan Trust, Series 2008-7, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 1,080,000 | 1,067,796 | ||||||||
| SLM Student Loan Trust, Series 2008-8, Class B | ||||||||||||
|
2.49% |
10/25/29 | 2 | 1,080,000 | 1,089,358 | ||||||||
| SLM Student Loan Trust, Series 2008-9, Class B | ||||||||||||
|
2.49% |
10/25/29 | 2 | 1,080,000 | 1,096,203 | ||||||||
| SLM Student Loan Trust, Series 2012-1, Class A3 | ||||||||||||
|
1.12% |
09/25/28 | 2 | 429,000 | 435,028 | ||||||||
| SLM Student Loan Trust, Series 2012-5, Class A2 | ||||||||||||
|
0.46% |
06/25/19 | 2 | 575,000 | 573,289 | ||||||||
| SLM Student Loan Trust, Series 2012-6, Class A2 | ||||||||||||
|
0.44% |
09/25/19 | 2 | 485,000 | 483,120 | ||||||||
| SLM Student Loan Trust, Series 2012-7, Class A3 | ||||||||||||
|
0.82% |
05/26/26 | 2 | 4,460,000 | 4,409,505 | ||||||||
| SLM Student Loan Trust, Series 2013-4, Class A | ||||||||||||
|
0.72% |
06/25/27 | 2 | 5,716,730 | 5,723,101 | ||||||||
|
Sound Point CLO Ltd., Series
2012-1A, Class C (Cayman Islands) |
||||||||||||
|
3.54% |
10/20/23 | 2,3,4 | 1,750,000 | 1,770,526 | ||||||||
| South Carolina Student Loan Corp., Series A2 | ||||||||||||
|
0.36% |
12/01/20 | 2 | 4,905,000 | 4,856,655 | ||||||||
| Student Loan Consolidation Center Student Loan Trust I, Series 2002-2, Class B2 | ||||||||||||
|
1.67% |
07/01/42 | 2,3 | 4,500,000 | 3,426,462 | ||||||||
|
Symphony CLO Ltd., Series
2012-9A, Class C (Cayman Islands) |
||||||||||||
|
3.50% |
04/16/22 | 2,3,4 | 1,800,000 | 1,801,588 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
12 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Banking (continued) | ||||||||||||
| Westpac Banking Corp. (Australia) | ||||||||||||
|
0.98% |
03/31/14 | 2,3,4 | $ | 5,000,000 | $ | 5,009,346 | ||||||
|
|
|
|||||||||||
| 110,065,317 | ||||||||||||
|
|
|
|||||||||||
| Communications — 0.53% | ||||||||||||
| AT&T, Inc. | ||||||||||||
|
2.50% |
08/15/15 | 5,991,000 | 6,153,380 | |||||||||
| Intelsat Jackson Holdings SA (Luxembourg) | ||||||||||||
|
7.25% |
10/15/20 | 4 | 4,605,000 | 5,053,988 | ||||||||
| Verizon Communications, Inc. | ||||||||||||
|
1.99% |
09/14/18 | 2 | 2,950,000 | 3,114,256 | ||||||||
|
3.65% |
09/14/18 | 3,456,000 | 3,663,567 | |||||||||
|
|
|
|||||||||||
| 17,985,191 | ||||||||||||
|
|
|
|||||||||||
| Consumer Discretionary — 0.39% | ||||||||||||
| Catholic Health Initiatives | ||||||||||||
|
2.60% |
08/01/18 | 13,000,000 | 12,993,727 | |||||||||
|
|
|
|||||||||||
| Electric — 1.74% | ||||||||||||
| Dayton Power & Light Co. | ||||||||||||
|
1.88% |
09/15/16 | 3 | 12,370,000 | 12,475,657 | ||||||||
| FirstEnergy Corp., Series A | ||||||||||||
|
2.75% |
03/15/18 | 6,000,000 | 5,899,041 | |||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
7.90% |
05/15/19 | 3 | 3,320,000 | 4,058,523 | ||||||||
| FPL Energy National Wind Portfolio LLC | ||||||||||||
|
6.12% |
03/25/19 | 3 | 50,442 | 47,668 | ||||||||
| Homer City Generation LP (PIK) | ||||||||||||
|
8.14% |
10/01/19 | 5 | 8,200,000 | 8,692,000 | ||||||||
| Ipalco Enterprises, Inc. | ||||||||||||
|
7.25% |
04/01/16 | 3 | 7,500,000 | 8,268,750 | ||||||||
| Oncor Electric Delivery Co. LLC | ||||||||||||
|
6.80% |
09/01/18 | 14,109,000 | 16,600,575 | |||||||||
| W3A Funding Corp. | ||||||||||||
|
8.09% |
01/02/17 | 2,771,163 | 2,763,378 | |||||||||
|
|
|
|||||||||||
| 58,805,592 | ||||||||||||
|
|
|
|||||||||||
| Energy — 1.80% | ||||||||||||
| CNOOC Finance 2013 Ltd. (China) | ||||||||||||
|
1.12% |
05/09/16 | 4 | 7,000,000 | 7,001,665 | ||||||||
| El Paso Pipeline Partners | ||||||||||||
|
4.10% |
11/15/15 | 3,000,000 | 3,170,301 | |||||||||
| Energy Transfer Partners LP | ||||||||||||
|
3.26% |
11/01/66 | 2 | 3,000,000 | 2,745,000 | ||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
4.00% |
07/15/15 | 3 | 6,450,000 | 6,755,254 | ||||||||
| Petrobras Global Finance BV (Netherlands) | ||||||||||||
|
1.86% |
05/20/16 | 2,4 | 8,000,000 | 7,933,552 | ||||||||
| Sabine Pass LNG LP | ||||||||||||
|
7.50% |
11/30/16 | 10,752,000 | 12,203,520 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 13
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Finance (continued) | ||||||||||||
| JPMorgan Chase Capital XXI, Series U | ||||||||||||
|
1.19% |
02/02/37 | 2 | $ | 5,250,000 | $ | 3,937,500 | ||||||
| JPMorgan Chase Capital XXIII | ||||||||||||
|
1.24% |
05/15/47 | 2 | 7,950,000 | 5,936,694 | ||||||||
| Macquarie Group Ltd. (Australia) | ||||||||||||
|
7.30% |
08/01/14 | 3,4 | 5,000,000 | 5,183,840 | ||||||||
| Merrill Lynch & Co., Inc. (MTN) | ||||||||||||
|
8.68% |
05/02/17 | 2 | 30,000 | 33,450 | ||||||||
|
8.95% |
05/18/17 | 2 | 30,000 | 33,714 | ||||||||
|
9.57% |
06/06/17 | 2 | 5,184,000 | 5,942,419 | ||||||||
| Morgan Stanley | ||||||||||||
|
0.72% |
10/15/15 | 2 | 2,830,000 | 2,825,277 | ||||||||
|
3.80% |
04/29/16 | 3,800,000 | 4,019,875 | |||||||||
|
4.20% |
11/20/14 | 750,000 | 774,019 | |||||||||
|
6.00% |
05/13/14 | 3,890,000 | 3,968,762 | |||||||||
| Morgan Stanley, Series G (MTN) | ||||||||||||
|
0.54% |
01/09/14 | 2 | 1,405,000 | 1,405,027 | ||||||||
| Prudential Holdings LLC (AGM) | ||||||||||||
|
1.12% |
12/18/17 | 2,3 | 9,141,429 | 9,062,700 | ||||||||
| Woodbourne Capital Trust I | ||||||||||||
|
2.67% |
04/29/49 | 2,3,6 | 595,000 | 303,450 | ||||||||
| Woodbourne Capital Trust IV | ||||||||||||
|
2.57% |
04/08/49 | 2,3,6 | 1,000,000 | 510,000 | ||||||||
| ZFS Finance USA Trust II | ||||||||||||
|
6.45% |
12/15/65 | 2,3 | 8,966,000 | 9,638,450 | ||||||||
|
|
|
|||||||||||
| 171,528,365 | ||||||||||||
|
|
|
|||||||||||
| Food — 0.16% | ||||||||||||
| Kraft Foods Group, Inc. | ||||||||||||
|
1.62% |
06/04/15 | 5,325,000 | 5,398,416 | |||||||||
|
|
|
|||||||||||
| Health Care — 0.61% | ||||||||||||
| Catholic Health Initiatives | ||||||||||||
|
1.60% |
11/01/17 | 1,145,000 | 1,112,102 | |||||||||
| HCA, Inc. | ||||||||||||
|
7.25% |
09/15/20 | 1,750,000 | 1,911,875 | |||||||||
| Providence Health & Services Obligated Group | ||||||||||||
|
0.90% |
10/01/15 | 2 | 3,000,000 | 2,994,886 | ||||||||
|
1.05% |
10/01/16 | 2 | 2,750,000 | 2,741,053 | ||||||||
|
1.20% |
10/01/17 | 2 | 11,940,000 | 11,895,803 | ||||||||
|
|
|
|||||||||||
| 20,655,719 | ||||||||||||
|
|
|
|||||||||||
| Industrials — 0.24% | ||||||||||||
| Heathrow Funding Ltd. (United Kingdom) | ||||||||||||
|
2.50% |
06/25/15 | 3,4 | 8,075,000 | 8,190,779 | ||||||||
|
|
|
|||||||||||
| Insurance — 0.74% | ||||||||||||
| Berkshire Hathaway, Inc. | ||||||||||||
|
0.94% |
08/15/14 | 2 | 785,000 | 788,466 | ||||||||
|
2.20% |
08/15/16 | 1,010,000 | 1,045,221 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
14 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 15
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Commercial Mortgage-Backed (continued) | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2005-LDP3, Class ASB | ||||||||||||
|
4.89% |
08/15/42 | 2 | $ | 4,535,834 | $ | 4,675,565 | ||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4 | ||||||||||||
|
5.40% |
05/15/45 | 5,420,000 | 5,911,103 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP9, Class A3S | ||||||||||||
|
5.24% |
05/15/47 | 3 | 2,503,115 | 2,499,276 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB | ||||||||||||
|
5.86% |
02/15/51 | 7,261,391 | 7,778,482 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB20, Class ASB | ||||||||||||
|
5.69% |
02/12/51 | 2,173,842 | 2,322,951 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD11, Class ASB | ||||||||||||
|
5.81% |
06/15/49 | 2 | 14,635,391 | 15,649,529 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-LD12, Class A3 | ||||||||||||
|
5.93% |
02/15/51 | 2 | 2,528,884 | 2,576,416 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2010-C2, Class A1 | ||||||||||||
|
2.75% |
11/15/43 | 3 | 12,560,410 | 12,872,389 | ||||||||
| LB-UBS Commercial Mortgage Trust, Series 2005-C2, Class AAB | ||||||||||||
|
5.01% |
04/15/30 | 2,617,828 | 2,658,257 | |||||||||
| Merrill Lynch Mortgage Trust, Series 2004-BPC1, Class A5 | ||||||||||||
|
4.86% |
10/12/41 | 2 | 2,956,851 | 2,999,487 | ||||||||
| Morgan Stanley Capital I Trust, Series 2001-C3, Class A2 | ||||||||||||
|
3.22% |
08/15/49 | 1,940,114 | 2,028,905 | |||||||||
| Morgan Stanley Capital I Trust, Series 2005-IQ9, Class A5 | ||||||||||||
|
4.70% |
07/15/56 | 2,640,790 | 2,702,210 | |||||||||
| Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A | ||||||||||||
|
4.89% |
06/12/47 | 405,000 | 425,005 | |||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ11, Class A4 | ||||||||||||
|
5.67% |
10/15/42 | 2 | 5,431,511 | 5,838,235 | ||||||||
| Morgan Stanley Capital I Trust, Series 2006-T23, Class A4 | ||||||||||||
|
5.81% |
08/12/41 | 2 | 8,185,000 | 9,008,550 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
16 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| BCAP LLC Trust, Series 2011-RR5, Class 2A3 | ||||||||||||
|
2.84% |
06/26/37 | 2,3 | $ | 6,012,473 | $ | 5,996,844 | ||||||
|
BCAP LLC Trust, Series
2012-R11, Class 11A1 |
||||||||||||
|
2.61% |
09/26/36 | 2,3 | 15,120,208 | 15,458,586 | ||||||||
|
BCAP LLC Trust, Series
2013-RR2, Class 5A1 |
||||||||||||
|
2.71% |
03/26/36 | 2,3 | 11,336,581 | 11,633,157 | ||||||||
| Bear Stearns ARM Trust, Series 2004-3, Class 4A | ||||||||||||
|
4.59% |
07/25/34 | 2 | 7,663,687 | 7,660,778 | ||||||||
| Bear Stearns ARM Trust, Series 2005-2, Class A1 | ||||||||||||
|
2.60% |
03/25/35 | 2 | 7,554,371 | 7,623,637 | ||||||||
| Bear Stearns Asset-Backed Securities Trust, Series 2000-2, Class M2 (STEP) | ||||||||||||
|
8.28% |
08/25/30 | 129,109 | 128,413 | |||||||||
|
Bear Stearns Asset-Backed Securities Trust, Series
2005-HE10, Class M1 |
||||||||||||
|
0.72% |
11/25/35 | 2 | 8,565,127 | 8,533,924 | ||||||||
|
Bear Stearns Asset-Backed Securities Trust, Series
2005-SD1, Class 1A3 |
||||||||||||
|
0.56% |
08/25/43 | 2 | 1,410,078 | 1,394,088 | ||||||||
| BHN I Mortgage Fund, Series 2000-1, Class AF (Argentina) | ||||||||||||
|
8.00% |
01/31/20 | 3,4,6, † | 9,000 | 3 | ||||||||
| CC Mortgage Funding Corp., Series 2005-2A, Class A1 | ||||||||||||
|
0.34% |
05/25/36 | 2,3 | 2,190,862 | 1,893,641 | ||||||||
| Chase Funding Mortgage Loan Asset-Backed Certificates, Series 2002-2, Class 2M1 | ||||||||||||
|
1.06% |
02/25/32 | 2 | 503,185 | 469,597 | ||||||||
| Chase Mortgage Finance Corp., Series 2007-A1, Class 8A1 | ||||||||||||
|
2.65% |
02/25/37 | 2 | 26,236,830 | 26,408,051 | ||||||||
| Chase Mortgage Finance Corp., Series 2007-A2, Class 2A3 | ||||||||||||
|
2.70% |
07/25/37 | 2 | 5,293,724 | 5,304,058 | ||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2004-HYB1, Class A41 | ||||||||||||
|
3.04% |
02/25/34 | 2 | 256,637 | 251,610 | ||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-AMC1, Class A2B | ||||||||||||
|
0.32% |
09/25/36 | 2 | 5,544,630 | 2,704,923 | ||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH4, Class A3 | ||||||||||||
|
0.32% |
11/25/36 | 2 | 5,278,710 | 5,143,591 | ||||||||
| Citigroup Mortgage Loan Trust, Inc., Series 2007-WFH2, Class A2 | ||||||||||||
|
0.32% |
03/25/37 | 2 | 5,193,895 | 5,200,995 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 17
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
18 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 19
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
20 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae Pool 995182 | ||||||||||||
|
5.50% |
06/01/20 | $ | 6,336,945 | $ | 6,807,511 | |||||||
| Fannie Mae Pool 995793 | ||||||||||||
|
5.50% |
09/01/36 | 4,012,137 | 4,427,613 | |||||||||
| Fannie Mae Pool AD0538 | ||||||||||||
|
6.00% |
05/01/24 | 1,867,590 | 2,055,664 | |||||||||
| Fannie Mae Pool AD0791 | ||||||||||||
|
4.76% |
02/01/20 | 12,928,614 | 14,440,395 | |||||||||
| Fannie Mae Pool AE0083 | ||||||||||||
|
6.00% |
01/01/40 | 4,703,621 | 5,233,568 | |||||||||
| Fannie Mae Pool AL0851 | ||||||||||||
|
6.00% |
10/01/40 | 6,102,568 | 6,760,501 | |||||||||
| Fannie Mae Pool FN0002 | ||||||||||||
|
3.31% |
12/01/17 | 5,868,627 | 6,236,986 | |||||||||
|
Fannie Mae REMICS, Series
2009-111, Class DA |
||||||||||||
|
5.00% |
12/25/39 | 5,176,635 | 5,417,232 | |||||||||
|
Fannie Mae REMICS, Series
2009-85, Class LF |
||||||||||||
|
1.36% |
10/25/49 | 2 | 13,235,673 | 13,486,414 | ||||||||
| Fannie Mae REMICS, Series 2010-6, Class BF | ||||||||||||
|
0.92% |
02/25/40 | 2 | 7,901,900 | 7,956,395 | ||||||||
|
Fannie Mae REMICS, Series
2013-75, Class FC |
||||||||||||
|
0.42% |
07/25/42 | 2 | 14,246,846 | 14,171,580 | ||||||||
| Fannie Mae, Series 1997-76, Class FS | ||||||||||||
|
0.61% |
09/17/27 | 2 | 36,553 | 35,966 | ||||||||
| Fannie Mae, Series 2001-60, Class OF | ||||||||||||
|
1.12% |
10/25/31 | 2 | 2,378,942 | 2,425,797 | ||||||||
| Fannie Mae, Series 2003-134, Class FC | ||||||||||||
|
0.76% |
12/25/32 | 2 | 16,784,162 | 16,938,434 | ||||||||
| Fannie Mae, Series 2007-64, Class FA | ||||||||||||
|
0.64% |
07/25/37 | 2 | 2,209,651 | 2,222,851 | ||||||||
| Fannie Mae, Series 2009-33, Class FB | ||||||||||||
|
0.98% |
03/25/37 | 2 | 8,181,527 | 8,314,919 | ||||||||
|
Fannie Mae, Series 2010-109,
Class PF |
||||||||||||
|
0.56% |
10/25/40 | 2 | 4,935,409 | 4,959,026 | ||||||||
| Fannie Mae, Series 2010-26, Class S (IO) | ||||||||||||
|
6.06% |
11/25/36 | 2 | 29,748,499 | 4,253,619 | ||||||||
|
Fannie Mae, Series 2010-39,
Class FE |
||||||||||||
|
0.94% |
06/25/37 | 2 | 15,436,575 | 15,638,987 | ||||||||
|
Fannie Mae, Series 2010-43,
Class DP |
||||||||||||
|
5.00% |
05/25/40 | 4,744,268 | 5,106,811 | |||||||||
| Fannie Mae, Series 2010-95, Class S (IO) | ||||||||||||
|
6.44% |
09/25/40 | 2 | 16,778,599 | 2,861,632 | ||||||||
|
Fannie Mae, Series 2010-M1,
Class A1 |
||||||||||||
|
3.30% |
06/25/19 | 3,685,463 | 3,845,621 | |||||||||
|
Fannie Mae, Series 2011-71,
Class FB |
||||||||||||
|
0.66% |
05/25/37 | 2 | 10,624,003 | 10,702,069 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 21
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae, Series 2012-33, Class F | ||||||||||||
|
0.68% |
04/25/42 | 2 | $ | 17,879,177 | $ | 17,966,477 | ||||||
| Fannie Mae, Series 2013-M11, Class A | ||||||||||||
|
1.50% |
01/25/18 | 13,409,730 | 13,552,175 | |||||||||
| Fannie Mae, Series G92-10, Class Z | ||||||||||||
|
7.75% |
01/25/22 | 6,300 | 6,900 | |||||||||
| Freddie Mac Gold Pool A45796 | ||||||||||||
|
7.00% |
01/01/33 | 16,801 | 19,045 | |||||||||
| Freddie Mac Gold Pool C46104 | ||||||||||||
|
6.50% |
09/01/29 | 21,440 | 24,414 | |||||||||
| Freddie Mac Gold Pool E04113 | ||||||||||||
|
2.50% |
11/01/27 | 11,490,268 | 11,399,154 | |||||||||
| Freddie Mac Gold Pool G13032 | ||||||||||||
|
6.00% |
09/01/22 | 3,308,809 | 3,627,814 | |||||||||
| Freddie Mac Gold Pool G13475 | ||||||||||||
|
6.00% |
01/01/24 | 423,607 | 463,486 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K004, Class A2 | ||||||||||||
|
4.19% |
08/25/19 | 3,080,000 | 3,350,061 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K005, Class A2 | ||||||||||||
|
4.32% |
11/25/19 | 2,367,000 | 2,587,796 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K033, Class A1 | ||||||||||||
|
2.87% |
02/25/23 | 16,494,202 | 16,774,139 | |||||||||
| Freddie Mac Multifamily Structured Pass-Through Certificates, Series K701, Class A2 | ||||||||||||
|
3.88% |
11/25/17 | 9,097,000 | 9,841,106 | |||||||||
| Freddie Mac REMICS, Series 2733, Class FB | ||||||||||||
|
0.77% |
10/15/33 | 2 | 5,335,000 | 5,426,265 | ||||||||
| Freddie Mac REMICS, Series 3084, Class FN | ||||||||||||
|
0.67% |
12/15/34 | 2 | 11,524,352 | 11,590,264 | ||||||||
| Freddie Mac REMICS, Series 3524, Class FC | ||||||||||||
|
1.11% |
06/15/38 | 2 | 5,760,461 | 5,820,059 | ||||||||
| Freddie Mac REMICS, Series 3531, Class FM | ||||||||||||
|
1.07% |
05/15/39 | 2 | 6,447,141 | 6,517,143 | ||||||||
| Freddie Mac REMICS, Series 3828, Class TF | ||||||||||||
|
0.57% |
04/15/29 | 2 | 2,961,627 | 2,975,070 | ||||||||
| Freddie Mac REMICS, Series 4170, Class FW | ||||||||||||
|
1.12% |
01/15/33 | 2 | 16,624,460 | 16,477,450 | ||||||||
| Freddie Mac REMICS, Series 4235, Class FA | ||||||||||||
|
0.52% |
01/15/34 | 2 | 15,231,245 | 15,243,960 | ||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Freddie Mac Strips, Series 263, Class F5 | ||||||||||||
|
0.67% |
06/15/42 | 2 | $ | 7,266,577 | $ | 7,289,660 | ||||||
| Freddie Mac Strips, Series 319, Class F2 | ||||||||||||
|
0.67% |
11/15/43 | 2 | 30,425,204 | 30,302,286 | ||||||||
| Freddie Mac, Series 2174, Class PN | ||||||||||||
|
6.00% |
07/15/29 | 1,375,055 | 1,508,546 | |||||||||
| Freddie Mac, Series 240, Class F30 | ||||||||||||
|
0.47% |
07/15/36 | 2 | 11,447,100 | 11,447,290 | ||||||||
| Freddie Mac, Series 2454, Class FQ | ||||||||||||
|
1.17% |
06/15/31 | 2 | 22,315 | 22,803 | ||||||||
| Freddie Mac, Series 2657, Class LX (IO) | ||||||||||||
|
6.00% |
05/15/18 | 3,880 | 77 | |||||||||
| Freddie Mac, Series 3294, Class CB | ||||||||||||
|
5.50% |
03/15/37 | 1,767,936 | 1,930,728 | |||||||||
| Freddie Mac, Series 3300, Class FA | ||||||||||||
|
0.47% |
08/15/35 | 2 | 3,330,852 | 3,335,085 | ||||||||
| Freddie Mac, Series 3325, Class NF | ||||||||||||
|
0.47% |
08/15/35 | 2 | 8,589,757 | 8,600,736 | ||||||||
| Freddie Mac, Series 3345, Class FP | ||||||||||||
|
0.37% |
11/15/36 | 2 | 3,473,737 | 3,475,193 | ||||||||
| Freddie Mac, Series 3345, Class PF | ||||||||||||
|
0.35% |
05/15/36 | 2 | 1,561,646 | 1,562,085 | ||||||||
| Freddie Mac, Series 3346, Class FA | ||||||||||||
|
0.40% |
02/15/19 | 2 | 15,021,775 | 15,040,803 | ||||||||
| Freddie Mac, Series 3626, Class MA | ||||||||||||
|
5.00% |
02/15/30 | 3,106,103 | 3,168,852 | |||||||||
| Freddie Mac, Series 3672, Class A | ||||||||||||
|
6.00% |
05/15/40 | 1,063,580 | 1,136,383 | |||||||||
| Freddie Mac, Series 4109, Class KF | ||||||||||||
|
0.57% |
05/15/32 | 2 | 34,928,163 | 34,829,488 | ||||||||
| Ginnie Mae I Pool 422972 | ||||||||||||
|
6.50% |
07/15/29 | 43,524 | 48,596 | |||||||||
| Ginnie Mae II Pool (TBA) | ||||||||||||
|
3.00% |
01/20/43 | 15,075,000 | 14,569,752 | |||||||||
| Ginnie Mae II Pool 1849 | ||||||||||||
|
8.50% |
08/20/24 | 861 | 973 | |||||||||
| Ginnie Mae II Pool 2020 | ||||||||||||
|
8.50% |
06/20/25 | 1,994 | 2,293 | |||||||||
| Ginnie Mae II Pool 2286 | ||||||||||||
|
8.50% |
09/20/26 | 2,376 | 2,752 | |||||||||
| Ginnie Mae II Pool 2487 | ||||||||||||
|
8.50% |
09/20/27 | 16,541 | 19,195 | |||||||||
| Ginnie Mae II Pool 80059 | ||||||||||||
|
1.62% |
04/20/27 | 2 | 37,884 | 39,265 | ||||||||
| Ginnie Mae II Pool 80589 | ||||||||||||
|
1.62% |
03/20/32 | 2 | 79,511 | 82,012 | ||||||||
| Ginnie Mae II Pool 80610 | ||||||||||||
|
1.62% |
06/20/32 | 2 | 26,926 | 27,909 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
22 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Ginnie Mae II Pool 80968 | ||||||||||||
|
1.62% |
07/20/34 | 2 | $ | 758,360 | $ | 785,024 | ||||||
| Ginnie Mae II Pool 81201 | ||||||||||||
|
2.12% |
01/20/35 | 2 | 19,704 | 20,515 | ||||||||
| Ginnie Mae II Pool 8599 | ||||||||||||
|
3.00% |
02/20/25 | 2 | 32,096 | 33,682 | ||||||||
| Ginnie Mae II Pool MA0949 | ||||||||||||
|
3.00% |
04/20/43 | 2 | 13,806,365 | 14,370,068 | ||||||||
| Ginnie Mae, Series 2003-11, Class FK | ||||||||||||
|
0.47% |
02/16/33 | 2 | 3,276,718 | 3,288,281 | ||||||||
| Ginnie Mae, Series 2004-5, Class PF | ||||||||||||
|
0.72% |
02/20/33 | 2 | 4,856,993 | 4,884,826 | ||||||||
| Ginnie Mae, Series 2009-106, Class XI (IO) | ||||||||||||
|
6.63% |
05/20/37 | 2 | 16,244,777 | 2,738,897 | ||||||||
| Ginnie Mae, Series 2010-118, Class B | ||||||||||||
|
2.81% |
07/16/39 | 12,268,706 | 12,402,881 | |||||||||
| Ginnie Mae, Series 2011-78, Class AB | ||||||||||||
|
2.45% |
02/16/39 | 3,674,196 | 3,714,042 | |||||||||
| Ginnie Mae, Series 2012-13, Class KF | ||||||||||||
|
0.47% |
07/20/38 | 2 | 6,180,180 | 6,191,223 | ||||||||
| Ginnie Mae, Series 2013-53, Class AD | ||||||||||||
|
1.50% |
12/20/26 | 11,201,615 | 10,817,512 | |||||||||
| Mortgage-Linked Amortizing Notes, Series 2012-1, Class A10 | ||||||||||||
|
2.06% |
01/15/22 | 11,686,588 | 11,783,223 | |||||||||
| NCUA Guaranteed Notes, Series 2010-R1, Class 1A | ||||||||||||
|
0.62% |
10/07/20 | 2 | 13,595,730 | 13,668,875 | ||||||||
| NCUA Guaranteed Notes, Series 2010-R2, Class 1A | ||||||||||||
|
0.54% |
11/06/17 | 2 | 16,394,156 | 16,437,383 | ||||||||
| NCUA Guaranteed Notes, Series 2010-R2, Class 2A | ||||||||||||
|
0.64% |
11/05/20 | 2 | 11,258,193 | 11,321,081 | ||||||||
| NCUA Guaranteed Notes, Series 2010-R3, Class 1A | ||||||||||||
|
0.73% |
12/08/20 | 2 | 15,642,787 | 15,812,047 | ||||||||
| NCUA Guaranteed Notes, Series 2010-R3, Class 2A | ||||||||||||
|
0.73% |
12/08/20 | 2 | 6,769,902 | 6,836,278 | ||||||||
| NCUA Guaranteed Notes, Series 2011-C1, Class 2A | ||||||||||||
|
0.70% |
03/09/21 | 2 | 14,480,818 | 14,518,483 | ||||||||
| NCUA Guaranteed Notes, Series 2011-R1, Class 1A | ||||||||||||
|
0.62% |
01/08/20 | 2 | 9,711,587 | 9,775,888 | ||||||||
| NCUA Guaranteed Notes, Series 2011-R2, Class 1A | ||||||||||||
|
0.57% |
02/06/20 | 2 | 9,368,701 | 9,412,983 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 23
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Notional Amount (000’s) |
Value | ||||||||
| PURCHASED SWAPTIONS — 0.03% | ||||||||||
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 6.00% annually; Option Expiration Date of 12/24/23. Counterparty: Goldman Sachs Group, Inc. | ||||||||||
| 3 | 1,067,008 | |||||||||
|
|
|
|||||||||
|
Total Purchased Swaptions
(Cost $939,000) |
1,067,008 | |||||||||
|
|
|
|||||||||
| Issues |
Maturity Date |
Principal Amount/ Share |
Value | |||||||||
| Money Market Funds — 2.00% | ||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio | ||||||||||||
|
0.05% 9 |
$ | 13,506,000 | $ | 13,506,000 | ||||||||
| Dreyfus Cash Advantage Fund | ||||||||||||
|
0.06% 9,10 |
33,806,000 | 33,806,000 | ||||||||||
| DWS Money Market Series Institutional Funds | ||||||||||||
|
0.05% 9 |
20,293,000 | 20,293,000 | ||||||||||
|
|
|
|||||||||||
| 67,605,000 | ||||||||||||
|
|
|
|||||||||||
| Repurchase Agreements — 2.61% | ||||||||||||
| Deutsche Bank AG (Dated 12/31/13, total to be received $25,000,028, (collateralized by U.S. Treasury Note, 2.13%, due 12/31/15, original par and fair value of $24,652,600 and $25,500,038, respectively)) | ||||||||||||
|
0.02% |
01/02/14 | 25,000,000 | 25,000,000 | |||||||||
| Deutsche Bank AG (Dated 12/31/13, total to be received $63,000,070, (collateralized by U.S. government sponsored agency obligations, 0.00% to 7.00%, due from 5/15/14 to 11/23/35, original par and fair value of $77,338,000 and $64,260,014, respectively)) | ||||||||||||
|
0.02% |
01/02/14 | 63,000,000 | 63,000,000 | |||||||||
|
|
|
|||||||||||
| 88,000,000 | ||||||||||||
|
|
|
|||||||||||
| U.S. Agency Discount Notes — 5.69% | ||||||||||||
| Fannie Mae | ||||||||||||
|
0.08% 8 |
01/21/14 | 147,400,000 | 147,398,459 | |||||||||
|
0.09% 8 |
02/19/14 | 45,000,000 | 44,997,617 | |||||||||
|
|
|
|||||||||||
| 192,396,076 | ||||||||||||
|
|
|
|||||||||||
|
Total Short-Term Investments
(Cost $396,135,553) |
396,147,168 | |||||||||||
|
|
|
|||||||||||
|
Total Investments – 100.71%
(Cost $3,375,012,041) 1 |
3,402,636,098 | |||||||||||
|
|
|
|||||||||||
|
Liabilities in Excess of Other
Assets – (0.71)% |
(23,949,313 | ) | ||||||||||
|
|
|
|||||||||||
| Net Assets – 100.00% | $ | 3,378,686,785 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
24 / N-Q Report December 2013
Low Duration Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| b | The values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $3,375,687,918 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 49,485,077 | ||
| Gross unrealized depreciation | (22,536,897 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 26,948,180 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 6 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $6,054,149, which is 0.18% of total net assets. |
| 7 | Inflation protected security. Principal amount reflects original security face amount. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Represents the current yield as of December 31, 2013. |
| 10 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $8,000. |
| † | Fair valued security. The aggregate value of fair valued securities is $8,026,914, which is 0.24% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(TBA): To be announced
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 25
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
|
GE Business Loan Trust, Series
2004-1, Class B |
||||||||||||
|
0.87% |
05/15/32 | 2,3 | $ | 272,657 | $ | 254,254 | ||||||
|
GE Business Loan Trust, Series
2004-2A, Class A |
||||||||||||
|
0.39% |
12/15/32 | 2,3 | 755,605 | 715,727 | ||||||||
|
GE Business Loan Trust, Series
2005-1A, Class A3 |
||||||||||||
|
0.42% |
06/15/33 | 2,3 | 868,823 | 814,869 | ||||||||
| ING Investment Management Ltd., Series 2012-4A, Class A1 (Cayman Islands) | ||||||||||||
|
1.63% |
10/15/23 | 2,3,4 | 800,000 | 795,850 | ||||||||
|
J.G. Wentworth XXX LLC, Series
2013-3A, Class A |
||||||||||||
|
4.08% |
01/17/73 | 3 | 665,629 | 661,648 | ||||||||
| LCM VI Ltd., Series 6A, Class A (Cayman Islands) | ||||||||||||
|
0.47% |
05/28/19 | 2,3,4 | 953,000 | 930,144 | ||||||||
| National Collegiate Student Loan Trust, Series 2007-4, Class A2A3 | ||||||||||||
|
3.67% |
12/26/25 | 2 | 75,000 | 75,538 | ||||||||
|
Oak Hill Credit Partners, Series
2012-7A, Class A (Cayman Islands) |
||||||||||||
|
1.66% |
11/20/23 | 2,3,4 | 775,000 | 772,284 | ||||||||
| Peach Finance Co., Series 2000, Class A | ||||||||||||
|
4.71% |
04/15/48 | 3 | 392,922 | 408,954 | ||||||||
|
SLC Student Loan Trust, Series
2004-1, Class B |
||||||||||||
|
0.53% |
08/15/31 | 2 | 309,500 | 274,361 | ||||||||
|
SLC Student Loan Trust, Series
2008-1, Class A4A |
||||||||||||
|
1.84% |
12/15/32 | 2 | 625,000 | 646,118 | ||||||||
|
SLM Student Loan Trust, Series
2004-2, Class B |
||||||||||||
|
0.71% |
07/25/39 | 2 | 344,753 | 312,050 | ||||||||
|
SLM Student Loan Trust, Series
2004-8, Class B |
||||||||||||
|
0.70% |
01/25/40 | 2 | 345,186 | 304,695 | ||||||||
|
SLM Student Loan Trust, Series
2005-4, Class B |
||||||||||||
|
0.42% |
07/25/40 | 2 | 392,453 | 340,724 | ||||||||
|
SLM Student Loan Trust, Series
2006-2, Class A6 |
||||||||||||
|
0.41% |
01/25/41 | 2 | 925,000 | 808,643 | ||||||||
|
SLM Student Loan Trust, Series
2006-8, Class A6 |
||||||||||||
|
0.40% |
01/25/41 | 2 | 925,000 | 808,976 | ||||||||
|
SLM Student Loan Trust, Series
2007-6, Class B |
||||||||||||
|
1.09% |
04/27/43 | 2 | 160,000 | 139,429 | ||||||||
|
SLM Student Loan Trust, Series
2008-2, Class B |
||||||||||||
|
1.44% |
01/25/29 | 2 | 160,000 | 140,075 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
26 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 27
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Banking (continued) | ||||||||||||
| Royal Bank of Scotland PLC (United Kingdom) | ||||||||||||
|
2.55% |
09/18/15 | 4 | $ | 1,370,000 | $ | 1,402,143 | ||||||
| Svenska Handelsbanken AB (Sweden) | ||||||||||||
|
4.88% |
06/10/14 | 3,4 | 825,000 | 841,402 | ||||||||
|
|
|
|||||||||||
| 13,266,407 | ||||||||||||
|
|
|
|||||||||||
| Communications — 0.36% | ||||||||||||
| Verizon Communications, Inc. | ||||||||||||
|
3.65% |
09/14/18 | 1,500,000 | 1,590,090 | |||||||||
|
|
|
|||||||||||
| Consumer Discretionary — 0.23% | ||||||||||||
| Catholic Health Initiatives | ||||||||||||
|
2.60% |
08/01/18 | 1,000,000 | 999,517 | |||||||||
|
|
|
|||||||||||
| Electric — 2.28% | ||||||||||||
| DPL, Inc. | ||||||||||||
|
6.50% |
10/15/16 | 700,000 | 759,500 | |||||||||
| FirstEnergy Corp., Series A | ||||||||||||
|
2.75% |
03/15/18 | 1,140,000 | 1,120,818 | |||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
7.90% |
05/15/19 | 3 | 500,000 | 611,223 | ||||||||
| Ipalco Enterprises, Inc. (WI) | ||||||||||||
|
5.00% |
05/01/18 | 1,000,000 | 1,051,250 | |||||||||
| Metropolitan Edison Co. | ||||||||||||
|
7.70% |
01/15/19 | 500,000 | 604,411 | |||||||||
| Mirant Mid Atlantic Pass-Through Trust, Series C | ||||||||||||
|
10.06% |
12/30/28 | 682,006 | 762,142 | |||||||||
| Oncor Electric Delivery Co. LLC | ||||||||||||
|
6.80% |
09/01/18 | 900,000 | 1,058,935 | |||||||||
| PG&E Corp. | ||||||||||||
|
5.75% |
04/01/14 | 910,000 | 921,288 | |||||||||
| Public Service Co. of New Mexico | ||||||||||||
|
7.95% |
05/15/18 | 475,000 | 567,045 | |||||||||
| Southwestern Electric Power Co. | ||||||||||||
|
6.45% |
01/15/19 | 1,109,000 | 1,286,835 | |||||||||
| Texas-New Mexico Power Co. | ||||||||||||
|
9.50% |
04/01/19 | 3 | 500,000 | 637,632 | ||||||||
| Tucson Electric Power | ||||||||||||
|
3.85% |
03/15/23 | 700,000 | 674,672 | |||||||||
|
|
|
|||||||||||
| 10,055,751 | ||||||||||||
|
|
|
|||||||||||
| Energy — 1.98% | ||||||||||||
| CNOOC Finance 2013 Ltd. (China) | ||||||||||||
|
1.12% |
05/09/16 | 4 | 1,000,000 | 1,000,238 | ||||||||
| Energy Transfer Partners LP | ||||||||||||
|
3.26% |
11/01/66 | 2 | 910,000 | 832,650 | ||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
3.88% |
07/15/22 | 3 | 1,000,000 | 980,004 | ||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Energy (continued) | ||||||||||||
| Petrobras Global Finance BV (Netherlands) | ||||||||||||
|
2.38% |
01/15/19 | 2,4 | $ | 1,194,000 | $ | 1,176,220 | ||||||
| Ruby Pipeline LLC | ||||||||||||
|
6.00% |
04/01/22 | 3 | 1,250,000 | 1,316,979 | ||||||||
| Spectra Energy Partners LP | ||||||||||||
|
2.95% |
09/25/18 | 1,275,000 | 1,295,164 | |||||||||
| Tennessee Gas Pipeline Co. LLC | ||||||||||||
|
8.00% |
02/01/16 | 1,250,000 | 1,420,051 | |||||||||
| Valero Energy Corp. | ||||||||||||
|
9.38% |
03/15/19 | 471,000 | 607,670 | |||||||||
| Williams Cos., Inc. | ||||||||||||
|
7.88% |
09/01/21 | 70,000 | 80,836 | |||||||||
|
|
|
|||||||||||
| 8,709,812 | ||||||||||||
|
|
|
|||||||||||
| Finance — 5.58% | ||||||||||||
| Bear Stearns Cos. LLC | ||||||||||||
|
7.25% |
02/01/18 | 1,140,000 | 1,366,236 | |||||||||
| Chase Capital III, Series C | ||||||||||||
|
0.79% |
03/01/27 | 2 | 500,000 | 412,500 | ||||||||
| CIT Group, Inc. | ||||||||||||
|
4.25% |
08/15/17 | 1,049,000 | 1,101,450 | |||||||||
| Citigroup, Inc. | ||||||||||||
|
0.79% |
08/25/36 | 2 | 205,000 | 160,139 | ||||||||
|
1.30% |
11/15/16 | 1,000,000 | 997,637 | |||||||||
|
1.94% |
05/15/18 | 2 | 583,000 | 607,811 | ||||||||
|
5.30% |
01/07/16 | 625,000 | 677,151 | |||||||||
|
5.50% |
10/15/14 | 371,000 | 384,856 | |||||||||
|
6.00% |
08/15/17 | 250,000 | 285,175 | |||||||||
|
6.12% |
05/15/18 | 345,000 | 399,653 | |||||||||
|
6.38% |
08/12/14 | 535,000 | 554,055 | |||||||||
| Ford Motor Credit Co. LLC | ||||||||||||
|
2.75% |
05/15/15 | 500,000 | 513,094 | |||||||||
| Ford Motor Credit Co. LLC, Series FRN | ||||||||||||
|
1.49% |
05/09/16 | 2 | 1,000,000 | 1,018,185 | ||||||||
| General Electric Capital Corp. | ||||||||||||
|
4.62% |
01/07/21 | 700,000 | 764,463 | |||||||||
|
5.62% |
05/01/18 | 730,000 | 839,863 | |||||||||
| General Electric Capital Corp. (MTN) | ||||||||||||
|
0.62% |
05/05/26 | 2 | 1,610,000 | 1,475,489 | ||||||||
|
3.35% |
10/17/16 | 750,000 | 796,603 | |||||||||
| General Electric Capital Corp., | ||||||||||||
| Series A (MTN) | ||||||||||||
|
0.50% |
09/15/14 | 2 | 694,000 | 695,536 | ||||||||
| General Electric Capital Corp., Series E (MTN) | ||||||||||||
|
0.37% |
03/20/14 | 2 | 300,000 | 299,954 | ||||||||
| Goldman Sachs Group, Inc. | ||||||||||||
|
5.95% |
01/18/18 | 350,000 | 398,291 | |||||||||
|
6.15% |
04/01/18 | 1,100,000 | 1,262,540 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
28 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Insurance (continued) | ||||||||||||
| Nationwide Mutual Insurance Co. | ||||||||||||
|
5.81% |
12/15/24 | 2,3 | $ | 1,002,000 | $ | 1,018,283 | ||||||
|
6.60% |
04/15/34 | 3 | 440,000 | 451,550 | ||||||||
| Pricoa Global Funding I | ||||||||||||
|
5.45% |
06/11/14 | 3 | 850,000 | 868,275 | ||||||||
|
|
|
|||||||||||
| 6,272,903 | ||||||||||||
|
|
|
|||||||||||
| Materials — 0.10% | ||||||||||||
| Barrick Gold Corp. (WI)(Canada) | ||||||||||||
|
4.10% |
05/01/23 | 4 | 475,000 | 429,542 | ||||||||
|
|
|
|||||||||||
| Real Estate Investment Trust (REIT) — 2.74% | ||||||||||||
| HCP, Inc. | ||||||||||||
|
2.62% |
02/01/20 | 750,000 | 715,940 | |||||||||
|
3.75% |
02/01/19 | 525,000 | 544,101 | |||||||||
|
6.00% |
01/30/17 | 1,000,000 | 1,121,529 | |||||||||
|
7.07% |
06/08/15 | 200,000 | 216,393 | |||||||||
| HCP, Inc. (MTN) | ||||||||||||
|
6.30% |
09/15/16 | 500,000 | 563,408 | |||||||||
| Health Care REIT, Inc. | ||||||||||||
|
4.70% |
09/15/17 | 1,000,000 | 1,087,926 | |||||||||
| Host Hotels & Resorts LP (WI) | ||||||||||||
|
5.88% |
06/15/19 | 1,245,000 | 1,351,613 | |||||||||
| Mid-America Apartments LP | ||||||||||||
|
5.50% |
10/01/15 | 3 | 1,000,000 | 1,076,544 | ||||||||
| Simon Property Group LP | ||||||||||||
|
4.20% |
02/01/15 | 400,000 | 412,427 | |||||||||
| SL Green Realty Corp./SL Green Operating Partnership | ||||||||||||
|
7.75% |
03/15/20 | 650,000 | 763,348 | |||||||||
| UDR, Inc. (MTN) | ||||||||||||
|
5.25% |
01/15/15 | 1,000,000 | 1,041,898 | |||||||||
| Ventas Realty LP/Ventas Capital Corp. | ||||||||||||
|
1.55% |
09/26/16 | 1,000,000 | 1,006,673 | |||||||||
|
4.00% |
04/30/19 | 1,200,000 | 1,255,446 | |||||||||
| WEA Finance LLC | ||||||||||||
|
7.12% |
04/15/18 | 3 | 775,000 | 921,048 | ||||||||
|
|
|
|||||||||||
| 12,078,294 | ||||||||||||
|
|
|
|||||||||||
| Transportation — 1.27% | ||||||||||||
| American Airlines Pass-Through Trust, Series 2013-2, Class A | ||||||||||||
|
4.95% |
01/15/23 | 3 | 1,050,000 | 1,105,125 | ||||||||
| Continental Airlines Pass-Through Trust, Series 1997, Class 4A | ||||||||||||
|
6.90% |
01/02/18 | 59,343 | 63,682 | |||||||||
| Continental Airlines Pass-Through Trust, Series 1999, Class C2 | ||||||||||||
|
7.26% |
03/15/20 | 334,857 | 373,366 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 29
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
30 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 31
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
32 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 33
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
|
Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae Pool 844773 | ||||||||||||
|
5.21% |
12/01/35 | 2 | $ | 5,158 | $ | 5,549 | ||||||
| Fannie Mae Pool 889125 | ||||||||||||
|
5.00% |
12/01/21 | 375,438 | 402,724 | |||||||||
| Fannie Mae Pool 889184 | ||||||||||||
|
5.50% |
09/01/36 | 363,489 | 400,901 | |||||||||
| Fannie Mae Pool 890221 | ||||||||||||
|
5.50% |
12/01/33 | 551,288 | 610,062 | |||||||||
| Fannie Mae Pool 895606 | ||||||||||||
|
5.78% |
06/01/36 | 2 | 123,401 | 132,945 | ||||||||
| Fannie Mae Pool 918445 | ||||||||||||
|
6.02% |
05/01/37 | 2 | 10,245 | 11,038 | ||||||||
| Fannie Mae Pool 939419 | ||||||||||||
|
5.80% |
05/01/37 | 2 | 179,037 | 192,696 | ||||||||
| Fannie Mae Pool AB3685 | ||||||||||||
|
4.00% |
10/01/41 | 2,335,398 | 2,412,029 | |||||||||
| Fannie Mae Pool AE0605 | ||||||||||||
|
4.67% |
07/01/20 | 969,906 | 1,074,402 | |||||||||
| Fannie Mae Pool AH3428 | ||||||||||||
|
3.50% |
01/01/26 | 2,220,506 | 2,328,534 | |||||||||
| Fannie Mae Pool AJ0764 | ||||||||||||
|
4.50% |
09/01/41 | 873,082 | 926,183 | |||||||||
| Fannie Mae Pool AJ7696 | ||||||||||||
|
4.50% |
12/01/41 | 3,488,140 | 3,701,380 | |||||||||
| Fannie Mae Pool AL0209 | ||||||||||||
|
4.50% |
05/01/41 | 896,918 | 959,399 | |||||||||
| Fannie Mae Pool AL2602 | ||||||||||||
|
2.65% |
10/01/22 | 1,470,931 | 1,415,479 | |||||||||
| Fannie Mae Pool FN0005 | ||||||||||||
|
3.38% |
11/01/20 | 1,413,796 | 1,463,513 | |||||||||
| Fannie Mae Pool FN0007 | ||||||||||||
|
3.46% |
11/01/20 | 1,390,000 | 1,445,925 | |||||||||
| Fannie Mae Pool MA1527 | ||||||||||||
|
3.00% |
07/01/33 | 3,410,192 | 3,382,484 | |||||||||
| Fannie Mae Pool MA1561 | ||||||||||||
|
3.00% |
09/01/33 | 3,432,926 | 3,405,033 | |||||||||
| Fannie Mae Whole Loan, Series 2003-W6, Class 5T (IO) | ||||||||||||
|
0.55% |
09/25/42 | 2 | 23,971,050 | 518,408 | ||||||||
| Fannie Mae, Pool MA1608 | ||||||||||||
|
3.50% |
10/01/33 | 3,776,973 | 3,853,102 | |||||||||
|
Fannie Mae, Series 1989-25,
Class G |
||||||||||||
|
6.00% |
06/25/19 | 2,180 | 2,357 | |||||||||
|
Fannie Mae, Series 1992-116,
Class B |
||||||||||||
|
6.50% |
06/25/22 | 228 | 243 | |||||||||
|
Fannie Mae, Series 1993-80,
Class S |
||||||||||||
|
10.68% |
05/25/23 | 2 | 11,959 | 13,293 | ||||||||
|
Fannie Mae, Series 2001-52,
Class YZ |
||||||||||||
|
6.50% |
10/25/31 | 238,772 | 267,304 | |||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
|
Fannie Mae, Series 2007-64, Class FA |
|
|||||||||||
|
0.64% |
07/25/37 | 2 | $ | 356,523 | $ | 358,653 | ||||||
|
Fannie Mae, Series 2008-50, Class SA (IO) |
|
|||||||||||
|
5.88% |
11/25/36 | 2 | 3,979,071 | 594,148 | ||||||||
|
Fannie Mae, Series 2009-M1, Class A2 |
|
|||||||||||
|
4.29% |
07/25/19 | 101,000 | 109,907 | |||||||||
|
Fannie Mae, Series 2012-M12, Class 1A |
|
|||||||||||
|
2.84% |
08/25/22 | 2 | 2,061,423 | 2,018,020 | ||||||||
|
Fannie Mae, Series 2012-M15, Class A |
|
|||||||||||
|
2.66% |
10/25/22 | 2 | 1,618,040 | 1,554,914 | ||||||||
| Freddie Mac Gold Pool A25162 | ||||||||||||
|
5.50% |
05/01/34 | 472,879 | 519,136 | |||||||||
| Freddie Mac Gold Pool A33262 | ||||||||||||
|
5.50% |
02/01/35 | 94,062 | 105,250 | |||||||||
| Freddie Mac Gold Pool A68781 | ||||||||||||
|
5.50% |
10/01/37 | 21,222 | 23,337 | |||||||||
| Freddie Mac Gold Pool A94843 | ||||||||||||
|
4.00% |
11/01/40 | 1,823,061 | 1,878,323 | |||||||||
| Freddie Mac Gold Pool C03813 | ||||||||||||
|
3.50% |
04/01/42 | 1,902,322 | 1,889,244 | |||||||||
| Freddie Mac Gold Pool C90504 | ||||||||||||
|
6.50% |
12/01/21 | 1,882 | 2,097 | |||||||||
| Freddie Mac Gold Pool E01279 | ||||||||||||
|
5.50% |
01/01/18 | 2,077 | 2,219 | |||||||||
| Freddie Mac Gold Pool E90474 | ||||||||||||
|
6.00% |
07/01/17 | 3,908 | 4,107 | |||||||||
| Freddie Mac Gold Pool G01548 | ||||||||||||
|
7.50% |
07/01/32 | 629,748 | 756,152 | |||||||||
| Freddie Mac Gold Pool G01601 | ||||||||||||
|
4.00% |
09/01/33 | 10,071 | 10,420 | |||||||||
| Freddie Mac Gold Pool G01611 | ||||||||||||
|
4.00% |
09/01/33 | 3,736 | 3,866 | |||||||||
| Freddie Mac Gold Pool G01644 | ||||||||||||
|
5.50% |
02/01/34 | 297,462 | 328,036 | |||||||||
| Freddie Mac Gold Pool G02366 | ||||||||||||
|
6.50% |
10/01/36 | 247,210 | 275,841 | |||||||||
| Freddie Mac Gold Pool G06499 | ||||||||||||
|
4.00% |
03/01/41 | 1,314,993 | 1,354,649 | |||||||||
| Freddie Mac Gold Pool G11707 | ||||||||||||
|
6.00% |
03/01/20 | 4,197 | 4,498 | |||||||||
| Freddie Mac Gold Pool G12393 | ||||||||||||
|
5.50% |
10/01/21 | 312,000 | 336,752 | |||||||||
| Freddie Mac Gold Pool G12909 | ||||||||||||
|
6.00% |
11/01/22 | 412,595 | 453,221 | |||||||||
| Freddie Mac Gold Pool G13032 | ||||||||||||
|
6.00% |
09/01/22 | 264,879 | 290,416 | |||||||||
| Freddie Mac Gold Pool J06246 | ||||||||||||
|
5.50% |
10/01/21 | 134,700 | 146,418 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
34 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 35
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount/ Shares |
Value | |||||||||
| SHORT-TERM INVESTMENTS (continued) | ||||||||||||
| Money Market Funds (continued) | ||||||||||||
| DWS Money Market Series Institutional Funds | ||||||||||||
|
0.05% 8 |
$ | 4,232,000 | $ | 4,232,000 | ||||||||
|
|
|
|||||||||||
| 8,831,000 | ||||||||||||
|
|
|
|||||||||||
| U.S. Agency Discount Notes — 12.86% | ||||||||||||
| Fannie Mae | ||||||||||||
|
0.04% 7 |
01/22/14 | 4,000,000 | 3,999,956 | |||||||||
|
0.06% 7 |
02/12/14 | 14,980,000 | 14,979,142 | |||||||||
| Federal Home Loan Bank | ||||||||||||
|
0.05% 7 |
02/03/14 | 5,500,000 | 5,499,803 | |||||||||
|
0.07% 7 |
02/07/14 | 8,665,000 | 8,664,437 | |||||||||
|
0.07% 7 |
02/14/14 | 3,000,000 | 2,999,749 | |||||||||
|
0.08% 7 |
02/21/14 | 5,800,000 | 5,799,676 | |||||||||
|
0.08% 7 |
01/15/14 | 2,605,000 | 2,604,939 | |||||||||
|
0.09% 7 |
02/21/14 | 3,650,000 | 3,649,796 | |||||||||
| Freddie Mac | ||||||||||||
|
0.07% 7 |
02/24/14 | 8,485,000 | 8,484,498 | |||||||||
|
|
|
|||||||||||
| 56,681,996 | ||||||||||||
|
|
|
|||||||||||
| U.S. Treasury Bills — 0.01% | ||||||||||||
| U.S. Treasury Bills | ||||||||||||
|
0.06% 7 |
03/20/14 | 9 | 51,000 | 50,994 | ||||||||
|
|
|
|||||||||||
|
Total Short-Term Investments (Cost $72,600,737) |
|
72,602,679 | ||||||||||
|
|
|
|||||||||||
|
Total Investments – 107.18% (Cost $462,737,469) 1 |
|
472,270,806 | ||||||||||
|
|
|
|||||||||||
|
Liabilities in Excess of Other
Assets – (7.18)% |
(31,624,277 | ) | ||||||||||
|
|
|
|||||||||||
| Net Assets – 100.00% | $ | 440,646,529 | ||||||||||
|
|
|
|||||||||||
| Contracts |
Unrealized
|
|||||||||
| FUTURES CONTRACTS: SHORT POSITIONS | ||||||||||
|
30 |
U.S. Treasury Ten Year Note, Expiration March 2014 | $75,092 | ||||||||
|
|
||||||||||
|
Net unrealized appreciation |
$75,092 | |||||||||
|
|
||||||||||
See accompanying notes to Schedule of Portfolio Investments.
36 / N-Q Report December 2013
Intermediate Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
|
Expiration Date |
Premiums (Received) |
Notional Amount (000’s) a |
Appreciation | Value b | ||||||||||||||||||
| SWAPTION: RATE FLOOR INFLATION | ||||||||||||||||||||||
| The Fund received a fixed payment equal to $13,685 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | ||||||||||||||||||||||
| 11/23/20 | $ | (13,685 | ) | $ | 1,190 | $ | 12,376 | $ | (1,309 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| $ | (13,685 | ) | $ | 1,190 | $ | 12,376 | $ | (1,309 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| b | The values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $462,746,074 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 12,709,758 | ||
| Gross unrealized depreciation | (3,185,026 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 9,524,732 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Zero coupon bond. The rate shown is the effective yield as of December 31, 2013. |
| 6 | Inflation protected security. Principal amount reflects original security face amount. |
| 7 | Represents annualized yield at date of purchase. |
| 8 | Represents the current yield as of December 31, 2013. |
| 9 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $50,994. |
| † | Fair valued security. The aggregate value of fair valued securities is $1,564,674, which is 0.36% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA (Financial Security Assurance, Inc.))
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 37
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| Bayview Commercial Asset Trust, Series 2004-3, Class A1 | ||||||||||||
|
0.54% |
01/25/35 | 2,3 | $ | 4,388,836 | $ | 4,038,172 | ||||||
| Bayview Commercial Asset Trust, Series 2005-1A, Class A1 | ||||||||||||
|
0.46% |
04/25/35 | 2,3 | 4,508,681 | 4,011,315 | ||||||||
| Bayview Commercial Asset Trust, Series 2005-2A, Class A1 | ||||||||||||
|
0.48% |
08/25/35 | 2,3 | 27,969,100 | 23,390,475 | ||||||||
| Bayview Commercial Asset Trust, Series 2006-4A, Class A1 | ||||||||||||
|
0.40% |
12/25/36 | 2,3 | 248,965 | 212,568 | ||||||||
| Bayview Commercial Asset Trust, Series 2007-1, Class A1 | ||||||||||||
|
0.38% |
03/25/37 | 2,3 | 10,676,957 | 8,990,978 | ||||||||
| Bayview Commercial Asset Trust, Series 2007-2A, Class A1 | ||||||||||||
|
0.44% |
07/25/37 | 2,3 | 16,507,700 | 13,575,974 | ||||||||
| Bayview Commercial Asset Trust, Series 2007-3, Class A1 | ||||||||||||
|
0.40% |
07/25/37 | 2,3 | 2,531,994 | 2,147,013 | ||||||||
| Beacon Container Finance LLC, Series 2012-1A, Class A | ||||||||||||
|
3.72% |
09/20/27 | 3 | 15,117,565 | 15,178,795 | ||||||||
| BlueMountain CLO Ltd., Series 2012-2A, Class A1 (Cayman Islands) | ||||||||||||
|
1.66% |
11/20/24 | 2,3,4 | 50,000,000 | 49,798,600 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2003 I, Class A3 | ||||||||||||
|
0.38% |
09/26/22 | 2 | 50,000 | 49,546 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2005-1, Class 1A4 | ||||||||||||
|
0.42% |
03/26/29 | 2 | 10,000,000 | 9,592,800 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2010-1, Class A2 | ||||||||||||
|
1.44% |
02/25/35 | 2 | 12,790,000 | 12,759,259 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2011-1, Class A2 | ||||||||||||
|
1.04% |
02/25/30 | 2 | 58,769 | 59,250 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2011-1, Class A3 | ||||||||||||
|
1.31% |
11/25/33 | 2 | 16,050,000 | 16,330,584 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A2 | ||||||||||||
|
1.09% |
07/25/29 | 2 | 4,100,000 | 4,133,544 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2011-2, Class A3 | ||||||||||||
|
1.24% |
10/27/36 | 2 | 24,490,000 | 24,274,366 | ||||||||
| Brazos Higher Education Authority, Inc., Series 2012-1, Class A1 | ||||||||||||
|
0.86% |
12/26/35 | 2 | 53,831 | 53,398 | ||||||||
| CAL Funding II Ltd., Series 2012-1A, Class A (Bermuda) | ||||||||||||
|
3.47% |
10/25/27 | 3,4 | 220,833 | 217,599 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
38 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 39
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
40 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| ASSET-BACKED SECURITIES (continued) | ||||||||||||
| SLM Student Loan Trust, Series 2006-9, Class A5 | ||||||||||||
|
0.34% |
01/26/26 | 2 | $ | 8,350,000 | $ | 8,149,957 | ||||||
| SLM Student Loan Trust, Series 2007-1, Class A5 | ||||||||||||
|
0.33% |
01/26/26 | 2 | 9,550,000 | 9,217,951 | ||||||||
| SLM Student Loan Trust, Series 2007-3, Class A4 | ||||||||||||
|
0.30% |
01/25/22 | 2 | 7,285,000 | 6,911,855 | ||||||||
| SLM Student Loan Trust, Series 2007-6, Class B | ||||||||||||
|
1.09% |
04/27/43 | 2 | 7,603,000 | 6,625,509 | ||||||||
| SLM Student Loan Trust, Series 2008-2, Class B | ||||||||||||
|
1.44% |
01/25/29 | 2 | 38,909,000 | 34,063,565 | ||||||||
| SLM Student Loan Trust, Series 2008-3, Class A3 | ||||||||||||
|
1.24% |
10/25/21 | 2 | 40,000 | 40,633 | ||||||||
| SLM Student Loan Trust, Series 2008-3, Class B | ||||||||||||
|
1.44% |
04/25/29 | 2 | 1,750,000 | 1,570,819 | ||||||||
| SLM Student Loan Trust, Series 2008-4, Class A4 | ||||||||||||
|
1.89% |
07/25/22 | 2 | 365,000 | 381,406 | ||||||||
| SLM Student Loan Trust, Series 2008-4, Class B | ||||||||||||
|
2.09% |
04/25/29 | 2 | 4,384,000 | 4,249,543 | ||||||||
| SLM Student Loan Trust, Series 2008-5, Class A4 | ||||||||||||
|
1.94% |
07/25/23 | 2 | 245,000 | 256,459 | ||||||||
| SLM Student Loan Trust, Series 2008-5, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 32,444,000 | 32,130,294 | ||||||||
| SLM Student Loan Trust, Series 2008-6, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 31,779,000 | 30,408,960 | ||||||||
| SLM Student Loan Trust, Series 2008-7, Class B | ||||||||||||
|
2.09% |
07/25/29 | 2 | 17,437,000 | 17,239,954 | ||||||||
| SLM Student Loan Trust, Series 2008-8, Class B | ||||||||||||
|
2.49% |
10/25/29 | 2 | 560,000 | 564,852 | ||||||||
|
SLM Student Loan Trust,
Series 2008-9, Class B |
||||||||||||
|
2.49% |
10/25/29 | 2 | 31,692,000 | 32,167,459 | ||||||||
|
Sound Point CLO Ltd., Series
2012-1A, Class C (Cayman Islands) |
||||||||||||
|
3.54% |
10/20/23 | 2,3,4 | 11,500,000 | 11,634,883 | ||||||||
| South Carolina Student Loan Corp., Series A2 | ||||||||||||
|
0.36% |
12/01/20 | 2 | 50,000 | 49,507 | ||||||||
|
0.36% |
12/01/22 | 2 | 29,000,000 | 28,257,890 | ||||||||
| Stone Tower CLO Ltd., Series 2006-5A, Class C1 | ||||||||||||
|
1.85% |
07/16/20 | 2,3 | 900,000 | 849,343 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 41
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
42 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 43
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Energy (continued) | ||||||||||||
| Continental Resources, Inc. | ||||||||||||
|
5.00% |
09/15/22 | $ | 7,000,000 | $ | 7,293,125 | |||||||
| Dynegy Escrow Holdings | ||||||||||||
|
0.00% |
01/01/50 | 5, † | 54,205,000 | – | ||||||||
| El Paso Pipeline Partners | ||||||||||||
|
4.10% |
11/15/15 | 46,175,000 | 48,796,216 | |||||||||
|
5.00% |
10/01/21 | 2,000,000 | 2,104,626 | |||||||||
| Energy Transfer Partners LP | ||||||||||||
|
3.26% |
11/01/66 | 2 | 75,433,000 | 69,021,195 | ||||||||
| Newfield Exploration Co. | ||||||||||||
|
5.62% |
07/01/24 | 51,020,000 | 50,956,225 | |||||||||
| Panhandle Eastern Pipeline Co. LP | ||||||||||||
|
8.12% |
06/01/19 | 2,392,000 | 2,881,888 | |||||||||
| Petrobras Global Finance BV (Netherlands) | ||||||||||||
|
1.86% |
05/20/16 | 2,4 | 18,970,000 | 18,812,434 | ||||||||
|
4.38% |
05/20/23 | 4 | 20,000,000 | 17,902,110 | ||||||||
| Petrobras International Finance Co. - Pifco (Cayman Islands) | ||||||||||||
|
5.38% |
01/27/21 | 4 | 23,475,000 | 23,423,460 | ||||||||
|
5.75% |
01/20/20 | 4 | 8,000,000 | 8,261,072 | ||||||||
|
6.88% |
01/20/40 | 4 | 150,000 | 143,409 | ||||||||
| Plains Exploration & Production Co. | ||||||||||||
|
6.12% |
06/15/19 | 7,915,000 | 8,721,341 | |||||||||
|
6.50% |
11/15/20 | 11,000,000 | 12,179,063 | |||||||||
|
6.75% |
02/01/22 | 17,555,000 | 19,417,618 | |||||||||
|
6.88% |
02/15/23 | 27,775,000 | 31,108,000 | |||||||||
| Ruby Pipeline LLC | ||||||||||||
|
6.00% |
04/01/22 | 3 | 51,505,000 | 54,264,813 | ||||||||
| Sabine Pass LNG LP | ||||||||||||
|
7.50% |
11/30/16 | 33,822,000 | 38,387,970 | |||||||||
|
7.50% |
11/30/16 | 3 | 19,273,000 | 21,296,665 | ||||||||
| Sinopec Capital 2013 Ltd. (China) | ||||||||||||
|
1.25% |
04/24/16 | 3,4 | 5,020,000 | 5,003,364 | ||||||||
| Tennessee Gas Pipeline Co. LLC | ||||||||||||
|
7.62% |
04/01/37 | 40,000 | 50,992 | |||||||||
|
8.00% |
02/01/16 | 25,955,000 | 29,485,944 | |||||||||
|
8.38% |
06/15/32 | 5,224,000 | 6,765,064 | |||||||||
| Trans-Canada Pipelines Ltd. (Canada) | ||||||||||||
|
6.35% |
05/15/67 | 2,4 | 85,000 | 87,379 | ||||||||
| Williams Cos., Inc. | ||||||||||||
|
7.88% |
09/01/21 | 5,881,000 | 6,791,420 | |||||||||
|
8.75% |
03/15/32 | 2,589,000 | 3,030,052 | |||||||||
|
|
|
|||||||||||
| 518,984,645 | ||||||||||||
|
|
|
|||||||||||
| Finance — 5.35% | ||||||||||||
| Alta Wind Holdings LLC | ||||||||||||
|
7.00% |
06/30/35 | 3 | 15,500,342 | 16,475,159 | ||||||||
| Astoria Depositor Corp. | ||||||||||||
|
8.14% |
05/01/21 | 3 | 47,522,000 | 46,571,560 | ||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Finance (continued) | ||||||||||||
| Bear Stearns Cos. LLC | ||||||||||||
|
4.65% |
07/02/18 | $ | 4,330,000 | $ | 4,704,126 | |||||||
|
7.25% |
02/01/18 | 20,725,000 | 24,837,938 | |||||||||
| Cantor Fitzgerald LP | ||||||||||||
|
6.38% |
06/26/15 | 3 | 10,320,000 | 10,707,000 | ||||||||
| Chase Capital II, Series B | ||||||||||||
|
0.74% |
02/01/27 | 2 | 31,185,000 | 25,727,625 | ||||||||
| Chase Capital III, Series C | ||||||||||||
|
0.79% |
03/01/27 | 2 | 4,500,000 | 3,712,500 | ||||||||
| Chase Capital VI | ||||||||||||
|
0.87% |
08/01/28 | 2 | 17,175,000 | 14,169,375 | ||||||||
| CIT Group, Inc. | ||||||||||||
|
4.25% |
08/15/17 | 8,708,000 | 9,143,400 | |||||||||
|
5.25% |
04/01/14 | 3 | 22,795,000 | 23,165,419 | ||||||||
|
6.62% |
04/01/18 | 3 | 6,385,000 | 7,207,069 | ||||||||
| Citigroup Capital III | ||||||||||||
|
7.62% |
12/01/36 | 7,438,000 | 8,330,560 | |||||||||
| Citigroup, Inc. | ||||||||||||
|
0.52% |
11/05/14 | 2 | 14,309,000 | 14,306,453 | ||||||||
|
0.79% |
08/25/36 | 2 | 61,134,000 | 47,755,711 | ||||||||
|
1.20% |
07/25/16 | 2 | 36,535,000 | 36,992,525 | ||||||||
|
1.30% |
11/15/16 | 5,625,000 | 5,611,707 | |||||||||
|
1.75% |
05/01/18 | 14,800,000 | 14,572,261 | |||||||||
|
2.50% |
09/26/18 | 8,500,000 | 8,571,213 | |||||||||
|
4.59% |
12/15/15 | 4,650,000 | 4,971,394 | |||||||||
|
5.30% |
01/07/16 | 23,609,000 | 25,578,983 | |||||||||
|
5.38% |
08/09/20 | 8,425,000 | 9,598,131 | |||||||||
|
5.50% |
10/15/14 | 72,000 | 74,689 | |||||||||
|
5.85% |
08/02/16 | 155,000 | 172,521 | |||||||||
|
6.00% |
08/15/17 | 28,913,000 | 32,981,059 | |||||||||
|
6.12% |
11/21/17 | 10,055,000 | 11,600,665 | |||||||||
|
6.12% |
05/15/18 | 2,850,000 | 3,301,483 | |||||||||
|
6.38% |
08/12/14 | 3,950,000 | 4,090,686 | |||||||||
| Countrywide Capital III, Series B | ||||||||||||
|
8.05% |
06/15/27 | 3,000,000 | 3,551,250 | |||||||||
| Discover Financial Services | ||||||||||||
|
3.85% |
11/21/22 | 11,834,000 | 11,241,412 | |||||||||
|
5.20% |
04/27/22 | 4,515,000 | 4,706,255 | |||||||||
| Ford Motor Credit Co. LLC | ||||||||||||
|
1.70% |
05/09/16 | 9,225,000 | 9,310,962 | |||||||||
|
2.75% |
05/15/15 | 7,425,000 | 7,619,438 | |||||||||
|
3.88% |
01/15/15 | 26,042,000 | 26,878,391 | |||||||||
|
7.00% |
04/15/15 | 31,214,000 | 33,623,721 | |||||||||
| Ford Motor Credit Co. LLC, Series FRN | ||||||||||||
|
1.49% |
05/09/16 | 2 | 10,525,000 | 10,716,399 | ||||||||
| General Electric Capital Corp. | ||||||||||||
|
4.62% |
01/07/21 | 20,325,000 | 22,196,729 | |||||||||
|
5.62% |
05/01/18 | 295,000 | 339,397 | |||||||||
|
5.90% |
05/13/14 | 50,000 | 51,016 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
44 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 45
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
46 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 47
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
48 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 49
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
50 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Conseco Finance, Series 2002-A, Class A5 (STEP) | ||||||||||||
|
7.55% |
04/15/32 | $ | 61,341 | $ | 63,242 | |||||||
|
Conseco Finance, Series
2002-C, Class BF2 |
||||||||||||
|
8.00% |
06/15/32 | 2,3 | 430,104 | 473,149 | ||||||||
| Conseco Financial Corp., Series 1996-7, Class M1 | ||||||||||||
|
7.70% |
10/15/27 | 2 | 15,645,010 | 16,920,783 | ||||||||
| Conseco Financial Corp., Series 1998-2, Class A5 | ||||||||||||
|
6.24% |
12/01/28 | 2 | 126,896 | 131,201 | ||||||||
| Conseco Financial Corp., Series 1998-3, Class A6 | ||||||||||||
|
6.76% |
03/01/30 | 2 | 7,006,041 | 7,488,069 | ||||||||
| Conseco Financial Corp., Series 1998-6, Class A8 | ||||||||||||
|
6.66% |
06/01/30 | 9,127,475 | 9,839,619 | |||||||||
| Countryplace Manufactured Housing Contract Trust, Series 2007-1, Class A4 | ||||||||||||
|
5.85% |
07/15/37 | 2,3 | 9,150,000 | 9,226,602 | ||||||||
| Countrywide Alternative Loan Trust, Series 2004-J6, Class 2A1 | ||||||||||||
|
6.50% |
11/25/31 | 16,162 | 17,037 | |||||||||
| Countrywide Alternative Loan Trust, Series 2005-27, Class 3A2 | ||||||||||||
|
1.23% |
08/25/35 | 2 | 8,640 | 6,587 | ||||||||
| Countrywide Alternative Loan Trust, Series 2005-84, Class 1A1 | ||||||||||||
|
2.84% |
02/25/36 | 2 | 183,627 | 140,576 | ||||||||
| Countrywide Alternative Loan Trust, Series 2006-24CB, Class A19 | ||||||||||||
|
0.66% |
06/25/36 | 2 | 2,326,468 | 1,680,787 | ||||||||
|
Countrywide Alternative Loan Trust, Series 2006-HY13,
Class 4A1 |
||||||||||||
|
2.89% |
02/25/37 | 2 | 4,979,417 | 4,305,782 | ||||||||
|
Countrywide Alternative Loan Trust, Series 2006-OC5,
Class 2A2A |
||||||||||||
|
0.34% |
06/25/36 | 2 | 2,477,245 | 1,994,522 | ||||||||
| Countrywide Alternative Loan Trust, Series 2007-J1, Class 2A1 | ||||||||||||
|
0.36% |
03/25/37 | 2 | 1,189,734 | 589,611 | ||||||||
| Countrywide Asset-Backed Certificates, Series 2005-11, Class AF4 | ||||||||||||
|
5.14% |
02/25/36 | 2 | 7,000,000 | 5,653,067 | ||||||||
| Countrywide Asset-Backed Certificates, Series 2005-12, Class 2A5 | ||||||||||||
|
5.24% |
02/25/36 | 2 | 8,610,152 | 8,871,436 | ||||||||
| Countrywide Asset-Backed Certificates, Series 2005-13, Class AF4 | ||||||||||||
|
5.13% |
04/25/36 | 2 | 275,000 | 199,620 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 51
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
52 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 53
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
54 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 55
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
|
Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A |
|
|||||||||||
|
0.48% |
10/25/36 | 2 | $ | 314,894 | $ | 246,663 | ||||||
|
Indymac Index Mortgage Loan Trust, Series 2005-AR25, Class 1A21 |
|
|||||||||||
|
5.04% |
12/25/35 | 2 | 10,332,065 | 8,786,192 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2005-AR31, Class 3A1 | ||||||||||||
|
2.46% |
01/25/36 | 2 | 4,300,983 | 3,637,617 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2005-AR6, Class 2A1 | ||||||||||||
|
0.40% |
04/25/35 | 2 | 1,313,182 | 1,168,322 | ||||||||
|
Indymac Index Mortgage Loan Trust, Series 2006-AR14, Class 1A4A |
|
|||||||||||
|
0.34% |
11/25/46 | 2 | 22,464,430 | 20,806,925 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2006-AR19, Class 1A2 | ||||||||||||
|
2.79% |
08/25/36 | 2 | 29,860,873 | 20,760,474 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2006-AR21, Class A1 | ||||||||||||
|
0.28% |
08/25/36 | 2 | 384,728 | 261,431 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2006-AR4, Class A1A | ||||||||||||
|
0.38% |
05/25/46 | 2 | 2,009,014 | 1,704,722 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2006-AR7, Class 1A1 | ||||||||||||
|
2.95% |
05/25/36 | 2 | 8,207,349 | 5,971,593 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2006-AR8, Class A3A | ||||||||||||
|
0.40% |
07/25/46 | 2 | 42,929,915 | 33,512,122 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2007-AR1, Class 1A2 | ||||||||||||
|
3.06% |
03/25/37 | 2 | 2,195,998 | 1,997,131 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2007-AR11, Class 1A1 | ||||||||||||
|
2.46% |
06/25/37 | 2 | 7,909,557 | 5,192,743 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2007-AR5, Class 2A1 | ||||||||||||
|
2.74% |
05/25/37 | 2 | 419,057 | 303,795 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2007-AR7, Class 1A1 | ||||||||||||
|
2.80% |
11/25/37 | 2 | 7,506,329 | 6,909,666 | ||||||||
| Indymac Index Mortgage Loan Trust, Series 2007-AR9, Class 2A1 | ||||||||||||
|
4.80% |
04/25/37 | 2 | 687,224 | 476,474 | ||||||||
| Indymac Manufactured Housing Contract, Series 1997-1, Class A3 | ||||||||||||
|
6.61% |
02/25/28 | 298,362 | 296,521 | |||||||||
| JPMorgan Alternative Loan Trust, Series 2006-A2, Class 1A3 | ||||||||||||
|
0.34% |
05/25/36 | 2 | 5,793,018 | 5,406,386 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
56 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Lehman XS Trust, Series 2006-19, Class A2 | ||||||||||||
|
0.34% |
12/25/36 | 2 | $ | 32,246,570 | $ | 25,740,502 | ||||||
| Lehman XS Trust, Series 2006-9, Class A1B | ||||||||||||
|
0.32% |
05/25/46 | 2 | 59,638,472 | 47,698,909 | ||||||||
| Long Beach Mortgage Loan Trust, Series 2004-4, Class M1 | ||||||||||||
|
1.06% |
10/25/34 | 2 | 75,000 | 71,027 | ||||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2003-6, Class 4A2 | ||||||||||||
|
4.53% |
01/25/34 | 2 | 248,239 | 245,745 | ||||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2003-7, Class 3A1 | ||||||||||||
|
2.10% |
11/25/33 | 2 | 2,521,759 | 2,603,968 | ||||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Class 3A1 | ||||||||||||
|
2.62% |
11/21/34 | 2 | 22,609,276 | 23,046,664 | ||||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2004-15, Class 9A1 | ||||||||||||
|
2.81% |
10/25/34 | 2 | 2,330,495 | 2,328,064 | ||||||||
| MASTR Adjustable Rate Mortgages Trust, Series 2004-5, Class 3A1 | ||||||||||||
|
2.63% |
06/25/34 | 2 | 917 | 854 | ||||||||
| MASTR Alternative Loan Trust, Series 2004-6, Class 3A1 | ||||||||||||
|
4.75% |
07/25/19 | 5,140,544 | 5,378,661 | |||||||||
| MASTR Asset Securitization Trust, Series 2002-8, Class 1A1 | ||||||||||||
|
5.50% |
12/25/17 | 33,937 | 34,973 | |||||||||
| MASTR Asset Securitization Trust, Series 2003-8, Class 3A12 | ||||||||||||
|
5.25% |
09/25/33 | 2,358,838 | 2,525,765 | |||||||||
| MASTR Asset Securitization Trust, Series 2004-3, Class 3A2 | ||||||||||||
|
4.50% |
03/25/19 | 2,692,856 | 2,798,904 | |||||||||
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A3 | ||||||||||||
|
0.32% |
11/25/36 | 2 | 21,774,626 | 9,908,583 | ||||||||
| MASTR Asset-Backed Securities Trust, Series 2006-HE4, Class A4 | ||||||||||||
|
0.38% |
11/25/36 | 2 | 6,048,507 | 2,773,870 | ||||||||
| MASTR Asset-Backed Securities Trust, Series 2007-HE1, Class A3 | ||||||||||||
|
0.38% |
05/25/37 | 2 | 26,441,000 | 16,882,772 | ||||||||
| MASTR Seasoned Securities Trust, Series 2004-1, Class 4A1 | ||||||||||||
|
2.60% |
10/25/32 | 2 | 38,345 | 38,878 | ||||||||
| Mellon Residential Funding Corp., Series 2001-TBC1, Class A1 | ||||||||||||
|
0.87% |
11/15/31 | 2 | 4,521,508 | 4,467,460 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 57
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
58 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Residential Accredit Loans, Inc., Series 2003-QS3, Class A4 | ||||||||||||
|
5.50% |
02/25/18 | $ | 121,668 | $ | 125,587 | |||||||
| Residential Accredit Loans, Inc., Series 2005-QA10, Class A31 | ||||||||||||
|
3.53% |
09/25/35 | 2 | 1,193,015 | 987,375 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QA12, Class CB1 | ||||||||||||
|
3.65% |
12/25/35 | 2 | 8,022,325 | 5,899,939 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QA4, Class A41 | ||||||||||||
|
3.04% |
04/25/35 | 2 | 8,097,727 | 7,922,844 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QA7, Class A1 | ||||||||||||
|
3.18% |
07/25/35 | 2 | 7,446,377 | 5,681,124 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QA8, Class CB21 | ||||||||||||
|
3.31% |
07/25/35 | 2 | 6,399,837 | 5,328,465 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QA9, Class CB11 | ||||||||||||
|
3.16% |
08/25/35 | 2 | 13,165,495 | 11,191,691 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QO4, Class 2A1 | ||||||||||||
|
0.44% |
12/25/45 | 2 | 2,634,059 | 1,933,157 | ||||||||
| Residential Accredit Loans, Inc., Series 2005-QO5, Class A1 | ||||||||||||
|
1.14% |
01/25/46 | 2 | 14,630,829 | 10,330,433 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-Q09, Class 1A2A | ||||||||||||
|
0.32% |
12/25/46 | 2 | 14,224,408 | 13,962,793 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QA1, Class A11 | ||||||||||||
|
3.35% |
01/25/36 | 2 | 217,089 | 164,515 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QA1, Class A21 | ||||||||||||
|
3.80% |
01/25/36 | 2 | 4,960,423 | 3,831,743 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS10, Class AV (IO) | ||||||||||||
|
0.55% |
08/25/36 | 2,5 | 69,974,807 | 1,798,003 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS12, Class 2A9 | ||||||||||||
|
0.54% |
09/25/36 | 2 | 616,446 | 414,497 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS2, Class 1AV (IO) | ||||||||||||
|
0.48% |
02/25/36 | 2,5 | 238,954,388 | 4,503,095 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS7, Class AV (IO) | ||||||||||||
|
0.67% |
06/25/36 | 2,5 | 122,411,276 | 3,671,849 | ||||||||
| Residential Accredit Loans, Inc., Series 2006-QS8, Class AV (IO) | ||||||||||||
|
0.77% |
08/25/36 | 2,5 | 295,384,632 | 9,496,173 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 59
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
60 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Structured Asset Mortgage Investments, Inc., Series 2007-AR6, Class A1 | ||||||||||||
|
1.64% |
08/25/47 | 2 | $ | 145,995,158 | $ | 127,253,027 | ||||||
| Structured Asset Securities Corp. Mortgage Loan Trust, Series 2006-BC4, Class A3 | ||||||||||||
|
0.28% |
12/25/36 | 2 | 11,028,618 | 10,994,878 | ||||||||
| Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2004-23XS, Class 2A1 | ||||||||||||
|
0.46% |
01/25/35 | 2 | 5,542,902 | 5,007,158 | ||||||||
| Structured Asset Securities Corp. Trust, Series 2005-5, Class 2A4 | ||||||||||||
|
5.50% |
04/25/35 | 10,862,990 | 10,847,890 | |||||||||
| Structured Asset Securities Corp., Series 1997-2, Class 2A4 | ||||||||||||
|
7.25% |
03/28/30 | 3,336 | 3,377 | |||||||||
| Structured Asset Securities Corp., Series 2001-15A, Class 4A1 | ||||||||||||
|
2.18% |
10/25/31 | 2 | 11,579 | 11,593 | ||||||||
| Structured Asset Securities Corp., Series 2003-26A, Class 3A5 | ||||||||||||
|
2.45% |
09/25/33 | 2 | 623,685 | 613,484 | ||||||||
| Structured Asset Securities Corp., Series 2003-34A, Class 5A4 | ||||||||||||
|
2.41% |
11/25/33 | 2 | 4,453,220 | 4,464,327 | ||||||||
| Structured Asset Securities Corp., Series 2003-7H, Class A12 | ||||||||||||
|
6.50% |
03/25/33 | 50,182 | 52,953 | |||||||||
| Structured Asset Securities Corp., Series 2005-17, Class 4A4 | ||||||||||||
|
5.50% |
10/25/35 | 10,083,689 | 10,255,793 | |||||||||
| Structured Asset Securities Corp., Series 2005-WF4, Class A4 | ||||||||||||
|
0.52% |
11/25/35 | 2 | 11,684,304 | 11,663,705 | ||||||||
| Structured Asset Securities Corp., Series 2006-WF1, Class A5 | ||||||||||||
|
0.46% |
02/25/36 | 2 | 19,029,659 | 18,646,811 | ||||||||
| Structured Asset Securities Corp., Series 2006-WF2, Class A3 | ||||||||||||
|
0.32% |
07/25/36 | 2 | 11,136,794 | 11,020,052 | ||||||||
| Structured Asset Securities Corp., Series 2006-WF2, Class A4 | ||||||||||||
|
0.48% |
07/25/36 | 2 | 43,826,000 | 40,651,814 | ||||||||
| Structured Asset Securities Corp., Series 2006-WF3, Class A3 | ||||||||||||
|
0.32% |
09/25/36 | 2 | 5,222,115 | 5,104,470 | ||||||||
| Structured Asset Securities Corp., Series 2007-BC4, Class A3 | ||||||||||||
|
0.42% |
11/25/37 | 2 | 6,501,889 | 6,420,855 | ||||||||
| Suntrust Adjustable Rate Mortgage Loan Trust, Series 2007-3, Class 1A1 | ||||||||||||
|
2.83% |
06/25/37 | 2 | 14,921,659 | 13,376,043 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 61
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Thornburg Mortgage Securities Trust, Series 2004-4, Class 2A | ||||||||||||
|
2.16% |
12/25/44 | 2 | $ | 387,762 | $ | 375,719 | ||||||
| Vanderbilt Acquisition Loan Trust, Series 2002-1, Class A4 | ||||||||||||
|
6.57% |
05/07/27 | 2 | 2,314,852 | 2,428,075 | ||||||||
|
Wachovia Bank Commercial Mortgage Trust, Series
2006-AMN1, Class A3 |
||||||||||||
|
0.40% |
08/25/36 | 2 | 1,913,457 | 1,202,018 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2005-3, Class 2A3 |
||||||||||||
|
0.72% |
05/25/35 | 2 | 9,525,979 | 7,526,838 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2005-4, Class CB13 |
||||||||||||
|
0.66% |
06/25/35 | 2 | 15,041,755 | 11,491,768 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2006-AR2, Class A1A |
||||||||||||
|
1.08% |
04/25/46 | 2 | 18,573,544 | 14,373,007 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2006-AR3, Class A1A |
||||||||||||
|
1.11% |
05/25/46 | 2 | 33,721,843 | 24,070,820 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2006-AR7, Class A1A |
||||||||||||
|
1.06% |
09/25/46 | 2 | 9,734,063 | 5,867,567 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2007-1, Class 2A1 |
||||||||||||
|
6.00% |
01/25/22 | 867,792 | 848,386 | |||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2007-OA1, Class 2A |
||||||||||||
|
0.87% |
12/25/46 | 2 | 9,426,439 | 5,642,185 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2007-OA2, Class 2A |
||||||||||||
|
0.84% |
01/25/47 | 2 | 23,232,037 | 15,862,416 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2007-OA3, Class 2A |
||||||||||||
|
0.89% |
02/25/47 | 2 | 44,445,575 | 30,210,946 | ||||||||
|
WaMu Alternative Mortgage Pass-Through Certificates, Series
2007-OA3, Class 4A1 |
||||||||||||
|
0.91% |
04/25/47 | 2 | 2,811,509 | 2,206,203 | ||||||||
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A2 | ||||||||||||
|
0.28% |
01/25/37 | 2 | 6,120,557 | 3,404,315 | ||||||||
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A3 | ||||||||||||
|
0.32% |
01/25/37 | 2 | 56,499,619 | 31,401,370 | ||||||||
| WaMu Asset-Backed Certificates, Series 2007-HE1, Class 2A4 | ||||||||||||
|
0.40% |
01/25/37 | 2 | 18,965,968 | 10,604,233 | ||||||||
| WaMu Asset-Backed Certificates, Series 2007-HE2, Class 2A4 | ||||||||||||
|
0.52% |
04/25/37 | 2 | 1,590,238 | 806,229 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
62 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 63
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae Pool 889125 | ||||||||||||
|
5.00% |
12/01/21 | $ | 13,227,644 | $ | 14,188,990 | |||||||
| Fannie Mae Pool 889184 | ||||||||||||
|
5.50% |
09/01/36 | 12,919,903 | 14,249,685 | |||||||||
| Fannie Mae Pool 895606 | ||||||||||||
|
5.78% |
06/01/36 | 2 | 104,747 | 112,849 | ||||||||
| Fannie Mae Pool 908408 | ||||||||||||
|
5.26% |
04/01/37 | 2 | 6,860,218 | 7,332,524 | ||||||||
| Fannie Mae Pool 918445 | ||||||||||||
|
6.02% |
05/01/37 | 2 | 134,807 | 145,233 | ||||||||
| Fannie Mae Pool 933033 | ||||||||||||
|
6.50% |
10/01/37 | 2,999,081 | 3,281,417 | |||||||||
| Fannie Mae Pool AB1613 | ||||||||||||
|
4.00% |
10/01/40 | 79,124,588 | 81,714,909 | |||||||||
| Fannie Mae Pool AB1803 | ||||||||||||
|
4.00% |
11/01/40 | 83,525,690 | 86,388,075 | |||||||||
| Fannie Mae Pool AB1960 | ||||||||||||
|
4.00% |
12/01/40 | 48,586,347 | 50,127,441 | |||||||||
| Fannie Mae Pool AB2051 | ||||||||||||
|
3.50% |
01/01/26 | 107,963,714 | 113,214,845 | |||||||||
| Fannie Mae Pool AB2127 | ||||||||||||
|
3.50% |
01/01/26 | 59,712,713 | 62,562,935 | |||||||||
| Fannie Mae Pool AB3679 | ||||||||||||
|
3.50% |
10/01/41 | 28,196,111 | 28,077,159 | |||||||||
| Fannie Mae Pool AB3864 | ||||||||||||
|
3.50% |
11/01/41 | 22,989,850 | 22,900,045 | |||||||||
| Fannie Mae Pool AB3866 | ||||||||||||
|
3.50% |
11/01/41 | 82,908,726 | 82,523,308 | |||||||||
| Fannie Mae Pool AB4044 | ||||||||||||
|
3.50% |
12/01/41 | 35,279,734 | 35,115,728 | |||||||||
| Fannie Mae Pool AB4045 | ||||||||||||
|
3.50% |
12/01/41 | 24,062,633 | 23,983,678 | |||||||||
| Fannie Mae Pool AD0791 | ||||||||||||
|
4.76% |
02/01/20 | 18,939,058 | 21,153,659 | |||||||||
| Fannie Mae Pool AD0849 | ||||||||||||
|
4.25% |
02/01/20 | 29,368,130 | 31,774,229 | |||||||||
| Fannie Mae Pool AD0850 | ||||||||||||
|
4.31% |
02/01/20 | 49,221,815 | 53,894,619 | |||||||||
| Fannie Mae Pool AE0482 | ||||||||||||
|
5.50% |
01/01/38 | 30,472,573 | 33,625,168 | |||||||||
| Fannie Mae Pool AE0600 | ||||||||||||
|
3.98% |
11/01/20 | 41,257,441 | 44,320,440 | |||||||||
| Fannie Mae Pool AE0605 | ||||||||||||
|
4.67% |
07/01/20 | 32,947,279 | 36,496,956 | |||||||||
| Fannie Mae Pool AE0918 | ||||||||||||
|
3.66% |
10/01/20 | 6,206,227 | 6,542,200 | |||||||||
| Fannie Mae Pool AH3428 | ||||||||||||
|
3.50% |
01/01/26 | 184,767 | 193,756 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
64 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 65
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae, Series 1993-199, Class SD (IO) | ||||||||||||
|
0.88% |
10/25/23 | 2 | $ | 167,626 | $ | 2,105 | ||||||
| Fannie Mae, Series 1993-29, Class PK | ||||||||||||
|
7.00% |
03/25/23 | 28,059 | 31,110 | |||||||||
| Fannie Mae, Series 1994-55, Class H | ||||||||||||
|
7.00% |
03/25/24 | 42,982 | 48,188 | |||||||||
| Fannie Mae, Series 1997-34, Class SA | ||||||||||||
|
5.34% |
10/25/23 | 2 | 10,565 | 12,347 | ||||||||
| Fannie Mae, Series 1999-11, Class Z | ||||||||||||
|
5.50% |
03/25/29 | 120,965 | 132,150 | |||||||||
| Fannie Mae, Series 2001-52, Class YZ | ||||||||||||
|
6.50% |
10/25/31 | 287,044 | 321,344 | |||||||||
| Fannie Mae, Series 2003-106, Class WG | ||||||||||||
|
4.50% |
11/25/23 | 32,004,000 | 34,316,219 | |||||||||
| Fannie Mae, Series 2005-104, Class NI (IO) | ||||||||||||
|
6.54% |
03/25/35 | 2 | 54,454,666 | 7,504,594 | ||||||||
| Fannie Mae, Series 2005-117, Class LC | ||||||||||||
|
5.50% |
11/25/35 | 28,759,128 | 30,739,217 | |||||||||
| Fannie Mae, Series 2005-92, Class US (IO) | ||||||||||||
|
5.94% |
10/25/25 | 2 | 19,975,273 | 2,791,004 | ||||||||
| Fannie Mae, Series 2006-18, Class PD | ||||||||||||
|
5.50% |
08/25/34 | 807,124 | 839,450 | |||||||||
| Fannie Mae, Series 2006-4, Class WE | ||||||||||||
|
4.50% |
02/25/36 | 259,296 | 272,298 | |||||||||
| Fannie Mae, Series 2006-80, Class PG | ||||||||||||
|
6.00% |
06/25/35 | 4,101,532 | 4,139,623 | |||||||||
| Fannie Mae, Series 2007-34, Class SB (IO) | ||||||||||||
|
5.94% |
04/25/37 | 2 | 14,485,639 | 2,562,786 | ||||||||
| Fannie Mae, Series 2008-24, Class NA | ||||||||||||
|
6.75% |
06/25/37 | 4,458,443 | 4,831,420 | |||||||||
| Fannie Mae, Series 2010-17, Class SB (IO) | ||||||||||||
|
6.18% |
03/25/40 | 2 | 25,377,911 | 3,956,185 | ||||||||
| Fannie Mae, Series 2010-43, Class KS (IO) | ||||||||||||
|
6.26% |
05/25/40 | 2 | 47,119,136 | 7,035,610 | ||||||||
| Fannie Mae, Series 2011-101, Class HE | ||||||||||||
|
4.00% |
10/25/41 | 10,100,000 | 9,184,686 | |||||||||
| Fannie Mae, Series 2011-111, Class DB | ||||||||||||
|
4.00% |
11/25/41 | 24,977,334 | 25,174,130 | |||||||||
| Fannie Mae, Series 2012-M12, Class 1A | ||||||||||||
|
2.84% |
08/25/22 | 2 | 146,521,927 | 143,436,879 | ||||||||
| Fannie Mae, Series 2012-M15, Class A | ||||||||||||
|
2.66% |
10/25/22 | 2 | 115,398,841 | 110,896,682 | ||||||||
| Fannie Mae, Series G92-36, Class Z | ||||||||||||
|
7.00% |
07/25/22 | 367 | 402 | |||||||||
| Fannie Mae, Series G93-21, Class Z | ||||||||||||
|
7.20% |
05/25/23 | 8,253 | 9,358 | |||||||||
| Freddie Mac Gold Pool A14189 | ||||||||||||
|
4.00% |
10/01/33 | 85,677 | 88,648 | |||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Freddie Mac Gold Pool A24156 | ||||||||||||
|
6.50% |
10/01/31 | $ | 810,301 | $ | 907,148 | |||||||
| Freddie Mac Gold Pool A25162 | ||||||||||||
|
5.50% |
05/01/34 | 7,217,129 | 7,923,097 | |||||||||
| Freddie Mac Gold Pool A39012 | ||||||||||||
|
5.50% |
06/01/35 | 114,147 | 125,414 | |||||||||
| Freddie Mac Gold Pool A54856 | ||||||||||||
|
5.00% |
01/01/34 | 10,316,638 | 11,181,115 | |||||||||
| Freddie Mac Gold Pool A61164 | ||||||||||||
|
5.00% |
04/01/36 | 41,677 | 45,086 | |||||||||
| Freddie Mac Gold Pool A97038 | ||||||||||||
|
4.00% |
02/01/41 | 29,793,687 | 30,678,190 | |||||||||
| Freddie Mac Gold Pool C01492 | ||||||||||||
|
5.00% |
02/01/33 | 2,354,593 | 2,546,196 | |||||||||
| Freddie Mac Gold Pool C46104 | ||||||||||||
|
6.50% |
09/01/29 | 46,410 | 52,846 | |||||||||
| Freddie Mac Gold Pool C55789 | ||||||||||||
|
7.50% |
10/01/27 | 23,252 | 26,397 | |||||||||
| Freddie Mac Gold Pool C90573 | ||||||||||||
|
6.50% |
08/01/22 | 167,167 | 187,576 | |||||||||
| Freddie Mac Gold Pool E02402 | ||||||||||||
|
6.00% |
10/01/22 | 45,454 | 49,778 | |||||||||
| Freddie Mac Gold Pool G00992 | ||||||||||||
|
7.00% |
11/01/28 | 3,098 | 3,524 | |||||||||
| Freddie Mac Gold Pool G01515 | ||||||||||||
|
5.00% |
02/01/33 | 2,276,269 | 2,461,812 | |||||||||
| Freddie Mac Gold Pool G01601 | ||||||||||||
|
4.00% |
09/01/33 | 390,238 | 403,788 | |||||||||
| Freddie Mac Gold Pool G01611 | ||||||||||||
|
4.00% |
09/01/33 | 102,174 | 105,726 | |||||||||
| Freddie Mac Gold Pool G02579 | ||||||||||||
|
5.00% |
12/01/34 | 3,018,780 | 3,273,423 | |||||||||
| Freddie Mac Gold Pool G02884 | ||||||||||||
|
6.00% |
04/01/37 | 11,634,962 | 12,962,745 | |||||||||
| Freddie Mac Gold Pool G02955 | ||||||||||||
|
5.50% |
03/01/37 | 10,278,076 | 11,495,743 | |||||||||
| Freddie Mac Gold Pool G03357 | ||||||||||||
|
5.50% |
08/01/37 | 3,482,572 | 3,829,605 | |||||||||
| Freddie Mac Gold Pool G03676 | ||||||||||||
|
5.50% |
12/01/37 | 8,664,661 | 9,543,755 | |||||||||
| Freddie Mac Gold Pool G03783 | ||||||||||||
|
5.50% |
01/01/38 | 5,017,002 | 5,519,290 | |||||||||
| Freddie Mac Gold Pool G03985 | ||||||||||||
|
6.00% |
03/01/38 | 94,090 | 103,811 | |||||||||
| Freddie Mac Gold Pool G04438 | ||||||||||||
|
5.50% |
05/01/38 | 17,340,904 | 19,083,636 | |||||||||
| Freddie Mac Gold Pool G04703 | ||||||||||||
|
5.50% |
08/01/38 | 18,434,915 | 20,176,868 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
66 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Freddie Mac Gold Pool G04706 | ||||||||||||
|
5.50% |
09/01/38 | $ | 491,830 | $ | 544,523 | |||||||
| Freddie Mac Gold Pool G05866 | ||||||||||||
|
4.50% |
02/01/40 | 42,880,840 | 45,844,189 | |||||||||
| Freddie Mac Gold Pool G06361 | ||||||||||||
|
4.00% |
03/01/41 | 53,156 | 54,784 | |||||||||
| Freddie Mac Gold Pool G06498 | ||||||||||||
|
4.00% |
04/01/41 | 55,475,973 | 57,157,594 | |||||||||
| Freddie Mac Gold Pool G06499 | ||||||||||||
|
4.00% |
03/01/41 | 25,834,994 | 26,614,084 | |||||||||
| Freddie Mac Gold Pool G06620 | ||||||||||||
|
4.50% |
07/01/41 | 67,577,407 | 71,806,276 | |||||||||
| Freddie Mac Gold Pool G11707 | ||||||||||||
|
6.00% |
03/01/20 | 1,414,928 | 1,516,161 | |||||||||
| Freddie Mac Gold Pool G12393 | ||||||||||||
|
5.50% |
10/01/21 | 10,337,220 | 11,157,313 | |||||||||
| Freddie Mac Gold Pool G12399 | ||||||||||||
|
6.00% |
09/01/21 | 5,667 | 6,165 | |||||||||
| Freddie Mac Gold Pool G12824 | ||||||||||||
|
6.00% |
08/01/22 | 4,635,754 | 5,094,522 | |||||||||
| Freddie Mac Gold Pool G12909 | ||||||||||||
|
6.00% |
11/01/22 | 12,535,596 | 13,769,911 | |||||||||
| Freddie Mac Gold Pool G13032 | ||||||||||||
|
6.00% |
09/01/22 | 2,583,866 | 2,832,978 | |||||||||
| Freddie Mac Gold Pool G13058 | ||||||||||||
|
4.50% |
10/01/20 | 7,867,660 | 8,355,785 | |||||||||
| Freddie Mac Gold Pool H00790 | ||||||||||||
|
5.50% |
05/01/37 | 116,337 | 125,448 | |||||||||
| Freddie Mac Gold Pool H03161 | ||||||||||||
|
6.50% |
08/01/37 | 13,966 | 15,050 | |||||||||
| Freddie Mac Gold Pool H05069 | ||||||||||||
|
5.50% |
05/01/37 | 5,949,118 | 6,321,634 | |||||||||
| Freddie Mac Gold Pool H09082 | ||||||||||||
|
6.50% |
09/01/37 | 22,147 | 24,246 | |||||||||
| Freddie Mac Gold Pool J13884 | ||||||||||||
|
3.50% |
12/01/25 | 116,236,222 | 121,560,425 | |||||||||
| Freddie Mac Gold Pool Q05804 | ||||||||||||
|
4.00% |
01/01/42 | 84,380,098 | 86,990,615 | |||||||||
| Freddie Mac Gold Pool Q09896 | ||||||||||||
|
3.50% |
08/01/42 | 32,880,755 | 32,654,702 | |||||||||
| Freddie Mac Gold Pool Q17324 | ||||||||||||
|
3.50% |
04/01/43 | 63,634,261 | 63,196,779 | |||||||||
|
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K010,
Class A2 |
||||||||||||
|
4.33% |
10/25/20 | 60,000 | 65,033 | |||||||||
|
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013,
Class A2 |
||||||||||||
|
3.97% |
01/25/21 | 2 | 22,640,000 | 23,975,726 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 67
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
|
Freddie Mac, Series 2971,
Class AB |
||||||||||||
|
5.00% |
05/15/20 | $ | 9,109 | $ | 9,885 | |||||||
|
Freddie Mac, Series 3063,
Class YG |
||||||||||||
|
5.50% |
11/15/35 | 8,794,000 | 9,718,015 | |||||||||
|
Freddie Mac, Series 3067,
Class SI (IO) |
||||||||||||
|
6.48% |
11/15/35 | 2 | 30,820,567 | 5,040,871 | ||||||||
|
Freddie Mac, Series 3210,
Class PD |
||||||||||||
|
6.00% |
08/15/35 | 277,645 | 287,109 | |||||||||
|
Freddie Mac, Series 3345,
Class FP |
||||||||||||
|
0.37% |
11/15/36 | 2 | 8,509,837 | 8,513,402 | ||||||||
|
Freddie Mac, Series 3345,
Class PF |
||||||||||||
|
0.35% |
05/15/36 | 2 | 9,454,222 | 9,456,876 | ||||||||
|
Freddie Mac, Series 3707,
Class EI (IO) |
||||||||||||
|
5.00% |
12/15/38 | 56,128,526 | 7,685,730 | |||||||||
|
Freddie Mac, Series 3752,
Class XL |
||||||||||||
|
4.50% |
11/15/40 | 66,277,000 | 70,483,038 | |||||||||
|
Freddie Mac, Series 3904,
Class JB |
||||||||||||
|
4.50% |
08/15/41 | 18,155,000 | 19,133,636 | |||||||||
|
Freddie Mac, Series 3925,
Class LB |
||||||||||||
|
4.50% |
09/15/41 | 9,215,000 | 9,432,215 | |||||||||
|
Freddie Mac, Series 3928,
Class JD |
||||||||||||
|
4.00% |
09/15/41 | 32,095,702 | 32,558,272 | |||||||||
|
Freddie Mac, Series 4161,
Class BA |
||||||||||||
|
2.50% |
12/15/41 | 59,296,312 | 58,001,186 | |||||||||
|
Freddie Mac, Series K020,
Class A2 |
||||||||||||
|
2.37% |
05/25/40 | 110,305,000 | 103,118,629 | |||||||||
| Ginnie Mae I Pool 782817 | ||||||||||||
|
4.50% |
11/15/39 | 50,929,468 | 54,630,879 | |||||||||
| Ginnie Mae II Pool (TBA) | ||||||||||||
|
3.00% |
01/20/43 | 172,670,000 | 166,882,861 | |||||||||
|
3.50% |
12/20/43 | 95,355,000 | 96,222,883 | |||||||||
| Ginnie Mae II Pool 2631 | ||||||||||||
|
7.00% |
08/20/28 | 5,161 | 6,018 | |||||||||
| Ginnie Mae II Pool 80968 | ||||||||||||
|
1.62% |
07/20/34 | 2 | 36,793 | 38,086 | ||||||||
| Ginnie Mae II Pool 81267 | ||||||||||||
|
1.62% |
03/20/35 | 2 | 69,378 | 72,030 | ||||||||
| Ginnie Mae II Pool 8631 | ||||||||||||
|
2.00% |
05/20/25 | 2 | 11,135 | 11,627 | ||||||||
| Ginnie Mae II Pool 8644 | ||||||||||||
|
2.50% |
06/20/25 | 2 | 18,384 | 19,196 | ||||||||
| Ginnie Mae II Pool G281432 | ||||||||||||
|
1.62% |
08/20/35 | 2 | 70,699 | 73,516 | ||||||||
| Ginnie Mae II Pool G281497 | ||||||||||||
|
1.62% |
10/20/35 | 2 | 62,278 | 64,638 | ||||||||
| Ginnie Mae, Series 2000-22, Class SG (IO) | ||||||||||||
|
10.63% |
05/16/30 | 2 | 435,879 | 69,445 | ||||||||
| Ginnie Mae, Series 2003-86, Class ZK | ||||||||||||
|
5.00% |
10/20/33 | 24,318,560 | 26,613,184 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
68 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 69
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| U.S. TREASURY SECURITIES (continued) | ||||||||||||
| U.S. Treasury Notes (continued) | ||||||||||||
|
3.50% |
02/15/18 | $ | 289,560,000 | $ | 314,432,625 | |||||||
| U.S. Treasury Notes - Treasury Inflation Indexed Notes | ||||||||||||
|
0.12% |
04/15/16 | 11 | 485,560,000 | 527,879,783 | ||||||||
|
0.12% |
04/15/17 | 11 | 790,100,000 | 835,515,808 | ||||||||
|
0.12% |
04/15/18 | 11 | 411,280,000 | 424,012,181 | ||||||||
|
0.50% |
04/15/15 | 11 | 405,205,000 | 446,591,807 | ||||||||
|
1.25% |
04/15/14 | 11 | 228,925,000 | 254,413,974 | ||||||||
|
2.00% |
07/15/14 | 11 | 260,025,000 | 329,467,421 | ||||||||
|
|
|
|||||||||||
| 6,573,286,578 | ||||||||||||
|
|
|
|||||||||||
|
Total U.S. Treasury Securities (Cost $7,778,257,971) |
|
7,565,756,770 | ||||||||||
|
|
|
|||||||||||
|
Total Bonds – 106.15% (Cost $26,270,433,432) |
|
26,843,513,388 | ||||||||||
|
|
|
|||||||||||
| Issues | Shares | Value | ||||||||
| COMMON STOCK — 0.11% | ||||||||||
| Electric — 0.11% | ||||||||||
|
Dynegy, Inc. 8 |
1,255,250 | 27,012,976 | ||||||||
|
|
|
|||||||||
|
Total Common Stock (Cost $24,138,454) |
||||||||||
| Issues |
Notional
Amount (000’s) |
Value | ||||||||
| PURCHASED SWAPTIONS — 0.26% | ||||||||||
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Barclays, Inc. | 166 | 1,875,383 | ||||||||
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Citigroup, Inc. | 1,066 | 12,005,266 | ||||||||
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Deutsche Bank AG | 1,571 | 17,698,995 | ||||||||
| Issues |
Notional
Amount (000’s) |
Value | ||||||||
| PURCHASED SWAPTIONS (continued) | ||||||||||
| Option to enter into a 30-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 4.50% annually; Option Expiration Date of 03/13/18. Counterparty: Goldman Sachs Group, Inc. | 994 | $ | 11,201,610 | |||||||
| Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Barclays, Inc. | 654 | 7,445,906 | ||||||||
| Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 4.50% annually; Option Expiration Date of 04/09/18. Counterparty: Deutsche Bank AG | 1,500 | 17,064,720 | ||||||||
|
|
|
|||||||||
|
Total Purchased Swaptions (Cost $40,976,721) |
|
67,291,880 | ||||||||
|
|
|
|||||||||
See accompanying notes to Schedule of Portfolio Investments.
70 / N-Q Report December 2013
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Contracts |
Unrealized Appreciation/ (Depreciation) |
|||||||
|
FUTURES CONTRACTS: LONG POSITIONS |
||||||||
|
6,056 |
Euro Dollar Ninety Day, | |||||||
| Expiration December 2014 | $ | 550,974 | ||||||
|
1,779 |
Euro Dollar Ninety Day, | |||||||
| Expiration March 2015 | (21,392 | ) | ||||||
|
4,343 |
U.S. Treasury Five Year Note, | |||||||
| Expiration March 2014 | (6,619,495 | ) | ||||||
|
2,143 |
U.S. Treasury Ten Year Note, | |||||||
| Expiration March 2014 | (5,797,576 | ) | ||||||
|
|
|
|||||||
|
Net unrealized depreciation |
$ | (11,887,489 | ) | |||||
|
|
|
|||||||
| Contracts |
Unrealized Appreciation |
|||||||
|
FUTURES CONTRACTS: SHORT POSITIONS |
||||||||
|
2,968 |
Euro Dollar Ninety Day, | |||||||
| Expiration December 2015 | $ | 1,022,325 | ||||||
|
4,867 |
Euro Dollar Ninety Day, | |||||||
| Expiration March 2016 | 2,631,303 | |||||||
|
|
|
|||||||
|
Net unrealized appreciation |
$ | 3,653,628 | ||||||
|
|
|
|||||||
|
Expiration Date |
Premiums
Paid |
Notional
Amount (000’s) a |
(Depreciation) | Value | ||||||||||||||
|
SWAPS: CREDIT DEFAULT (PURCHASED) - SINGLE ISSUES |
|
|||||||||||||||||
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | ||||||||||||||||||
| 09/20/16 | $ | 973,326 | $ | 24,400 | $ | (1,297,004 | ) | $ | (323,678 | ) | ||||||||
| The Fund pays a fixed rate equal to 1.00% and the Fund will receive from the counterparty at par, including interest accrued in the event of default of the Goldman Sachs Group, Inc., 6.60%, due 01/15/12. Counterparty: Deutsche Bank AG | ||||||||||||||||||
| 09/20/16 | 390,926 | 9,800 | (520,928 | ) | (130,002 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
| $ | 1,364,252 | $ | 34,200 | $ | (1,817,932 | ) | $ | (453,680 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 71
Total Return Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
|
Expiration Date |
Premiums (Received) |
Notional Amount (000’s) a |
Appreciation | Value b | ||||||||||||
|
SWAPTION: RATE FLOOR INFLATION |
|
|||||||||||||||
| The Fund received a fixed payment equal to $735,540 and the Fund will pay to the counterparty a floating rate based on the Consumer Price Indexes-Urban at expiration of the swaption 11/23/20. Counterparty: Citigroup, Inc. | ||||||||||||||||
|
11/23/20 |
$ | (735,540 | ) | $ | 63,960 | $ | 665,184 | $ | (70,356 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | (735,540 | ) | $ | 63,960 | $ | 665,184 | $ | (70,356 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| b | The values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| Notes: |
| 1 | Cost for federal income tax purposes is $26,278,408,883 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 1,054,507,384 | ||
| Gross unrealized depreciation | (460,171,932 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 594,335,452 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $37,173,486, which is 0.15% of total net assets. |
| 6 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 7 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest. |
| 8 | Non-income producing security. |
| 9 | Security is currently in default with regard to scheduled interest or principal payments. |
| 10 | Zero coupon bond. The rate shown is the effective yield as of December 31, 2013. |
| 11 | Inflation protected security. Principal amount reflects original security face amount. |
| 12 | Represents annualized yield at date of purchase. |
| 13 | Represents the current yield as of December 31, 2013. |
| 14 | Securities, or a portion thereof, pledged as collateral for swaps. The total market value of collateral pledged is $360,000. |
| 15 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $11,789,467. |
| † | Fair valued security. The aggregate value of fair valued securities is $96,874,872, which is 0.38% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term Note
(PIK): Payment in kind
(PO): Principal only
(STEP): Step coupon bond
(TBA): To be announced
(USD): U.S. dollar
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
72 / N-Q Report December 2013
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 73
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
74 / N-Q Report December 2013
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Communications (continued) | ||||||||||||
| CenturyLink, Inc., Series V | ||||||||||||
|
5.62% |
04/01/20 | $ | 1,000,000 | $ | 1,030,041 | |||||||
| CenturyLink, Inc., Series W | ||||||||||||
|
6.75% |
12/01/23 | 2,850,000 | 2,886,992 | |||||||||
| Clear Channel Worldwide Holdings, Inc. | ||||||||||||
|
6.50% |
11/15/22 | 31,358,000 | 32,181,147 | |||||||||
|
6.50% |
11/15/22 | 2,000,000 | 2,037,500 | |||||||||
| CSC Holdings LLC | ||||||||||||
|
6.75% |
11/15/21 | 9,665,000 | 10,462,363 | |||||||||
| DISH DBS Corp. | ||||||||||||
|
5.88% |
07/15/22 | 5,250,000 | 5,256,563 | |||||||||
| DISH DBS Corp. (WI) | ||||||||||||
|
6.75% |
06/01/21 | 12,500,000 | 13,312,500 | |||||||||
| GCI, Inc. (WI) | ||||||||||||
|
8.62% |
11/15/19 | 17,175,000 | 18,334,313 | |||||||||
| Intelsat Jackson Holdings SA (Luxembourg) | ||||||||||||
|
5.50% |
08/01/23 | 2,4 | 5,000,000 | 4,775,000 | ||||||||
|
7.25% |
10/15/20 | 2 | 16,000,000 | 17,560,000 | ||||||||
|
7.50% |
04/01/21 | 2 | 20,597,000 | 22,862,670 | ||||||||
| Level 3 Financing, Inc. | ||||||||||||
|
6.12% |
01/15/21 | 4 | 2,350,000 | 2,379,375 | ||||||||
|
7.00% |
06/01/20 | 6,033,000 | 6,417,604 | |||||||||
| Level 3 Financing, Inc. (WI) | ||||||||||||
|
8.12% |
07/01/19 | 11,165,000 | 12,309,413 | |||||||||
|
9.38% |
04/01/19 | 7,973,000 | 8,959,659 | |||||||||
| Lynx I Corp. | ||||||||||||
|
5.38% |
04/15/21 | 4 | 2,460,000 | 2,472,300 | ||||||||
| MetroPCS Wireless, Inc. | ||||||||||||
|
6.25% |
04/01/21 | 4 | 7,375,000 | 7,670,000 | ||||||||
|
6.62% |
04/01/23 | 4 | 7,400,000 | 7,659,000 | ||||||||
| Qwest Corp. | ||||||||||||
|
6.75% |
12/01/21 | 5,155,000 | 5,628,448 | |||||||||
|
7.25% |
09/15/25 | 5,055,000 | 5,403,637 | |||||||||
| Sinclair Television Group, Inc. | ||||||||||||
|
5.38% |
04/01/21 | 10,000,000 | 9,768,750 | |||||||||
|
6.12% |
10/01/22 | 7,640,000 | 7,735,500 | |||||||||
| Softbank Corp. (Japan) | ||||||||||||
|
4.50% |
04/15/20 | 2,4 | 21,965,000 | 21,470,787 | ||||||||
| Sprint Corp. | ||||||||||||
|
7.12% |
06/15/24 | 4 | 2,000,000 | 2,035,000 | ||||||||
|
7.88% |
09/15/23 | 4 | 12,000,000 | 12,945,000 | ||||||||
| Sprint Nextel Corp. | ||||||||||||
|
9.00% |
11/15/18 | 4 | 23,874,000 | 28,827,855 | ||||||||
|
9.25% |
04/15/22 | 12,870,000 | 15,411,825 | |||||||||
| T-Mobile USA, Inc. | ||||||||||||
|
5.25% |
09/01/18 | 4 | 2,500,000 | 2,637,500 | ||||||||
|
6.46% |
04/28/19 | 14,700,000 | 15,637,125 | |||||||||
|
6.73% |
04/28/22 | 3,000,000 | 3,135,000 | |||||||||
|
6.84% |
04/28/23 | 3,440,000 | 3,573,300 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 75
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Electric (continued) | ||||||||||||
| DPL, Inc. | ||||||||||||
|
7.25% |
10/15/21 | $ | 15,318,000 | $ | 15,586,065 | |||||||
| Dynegy Escrow Holdings | ||||||||||||
|
0.00% |
06/01/15 | 6, † | 8,350,000 | 62,625 | ||||||||
| Dynegy, Inc. | ||||||||||||
|
5.88% |
06/01/23 | 4 | 10,570,000 | 10,041,500 | ||||||||
| Electricite de France SA (France) | ||||||||||||
|
5.25% |
07/29/49 | 2,3,4 | 3,000,000 | 3,015,000 | ||||||||
| FPL Energy National Wind Portfolio LLC | ||||||||||||
|
6.12% |
03/25/19 | 4 | 2,272,772 | 2,147,770 | ||||||||
| GenOn Americas Generation LLC | ||||||||||||
|
8.50% |
10/01/21 | 11,874,000 | 12,556,755 | |||||||||
|
9.12% |
05/01/31 | 13,085,000 | 13,379,413 | |||||||||
| Homer City Generation LP (PIK) | ||||||||||||
|
8.14% |
10/01/19 | 10 | 7,377,360 | 7,820,002 | ||||||||
|
8.73% |
10/01/26 | 11 | 13,027,869 | 13,744,402 | ||||||||
| Indiantown Cogeneration LP, Series A-10 | ||||||||||||
|
9.77% |
12/15/20 | 908,609 | 1,004,013 | |||||||||
| Mirant Mid Atlantic Pass-Through Trust, Series C | ||||||||||||
|
10.06% |
12/30/28 | 12,358,925 | 13,811,098 | |||||||||
|
|
|
|||||||||||
| 120,163,625 | ||||||||||||
|
|
|
|||||||||||
| Energy — 23.42% | ||||||||||||
| Access Midstream Partners LP/ACMP Finance Corp. | ||||||||||||
|
5.88% |
04/15/21 | 4,145,000 | 4,435,150 | |||||||||
| Approach Resources, Inc. | ||||||||||||
|
7.00% |
06/15/21 | 9,000,000 | 9,270,000 | |||||||||
| Arch Coal, Inc. | ||||||||||||
|
7.00% |
06/15/19 | 14,900,000 | 11,920,000 | |||||||||
|
8.00% |
01/15/19 | 4 | 4,750,000 | 4,773,750 | ||||||||
| Chaparral Energy, Inc. | ||||||||||||
|
8.25% |
09/01/21 | 13,768,000 | 15,007,120 | |||||||||
|
9.88% |
10/01/20 | 6,738,000 | 7,647,630 | |||||||||
| Chesapeake Energy Corp. | ||||||||||||
|
2.50% |
05/15/37 | 25,690,000 | 26,176,825 | |||||||||
| Cimarex Energy Co. | ||||||||||||
|
5.88% |
05/01/22 | 4,995,000 | 5,307,187 | |||||||||
| Concho Resources, Inc. | ||||||||||||
|
5.50% |
04/01/23 | 16,615,000 | 17,196,525 | |||||||||
| Continental Resources, Inc. | ||||||||||||
|
5.00% |
09/15/22 | 6,605,000 | 6,881,584 | |||||||||
| Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp. | ||||||||||||
|
6.12% |
03/01/22 | 4 | 2,850,000 | 2,942,625 | ||||||||
| Dynegy Escrow Holdings | ||||||||||||
|
0.00% |
01/01/50 | 6, † | 23,846,000 | 0 | ||||||||
| El Paso LLC | ||||||||||||
|
6.50% |
09/15/20 | 8,578,000 | 9,241,268 | |||||||||
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Energy (continued) | ||||||||||||
| El Paso LLC, Series G (MTN) | ||||||||||||
|
7.75% |
01/15/32 | $ | 5,897,000 | $ | 6,015,258 | |||||||
|
7.80% |
08/01/31 | 8,739,000 | 8,911,744 | |||||||||
|
8.05% |
10/15/30 | 7,658,000 | 7,804,268 | |||||||||
| Energy Transfer Partners LP | ||||||||||||
|
3.26% |
11/01/66 | 3 | 33,367,000 | 30,530,805 | ||||||||
| Energy XXI Gulf Coast, Inc. | ||||||||||||
|
7.50% |
12/15/21 | 4 | 7,180,000 | 7,539,000 | ||||||||
| EP Energy LLC/EP Energy Finance, Inc. | ||||||||||||
|
9.38% |
05/01/20 | 2,045,000 | 2,361,975 | |||||||||
| Linn Energy LLC/Linn Energy Finance Corp. | ||||||||||||
|
8.62% |
04/15/20 | 22,045,000 | 23,973,937 | |||||||||
| MEG Energy Corp. (Canada) | ||||||||||||
|
6.50% |
03/15/21 | 2,4 | 3,000,000 | 3,153,750 | ||||||||
|
7.00% |
03/31/24 | 2,4 | 14,300,000 | 14,550,250 | ||||||||
| Memorial Production Partners LP/Memorial Production Finance Corp. | ||||||||||||
|
7.62% |
05/01/21 | 4 | 5,935,000 | 6,127,887 | ||||||||
| Natural Resource Partners LP | ||||||||||||
|
9.12% |
10/01/18 | 4 | 5,000,000 | 5,150,000 | ||||||||
| Newfield Exploration Co. | ||||||||||||
|
5.62% |
07/01/24 | 12,810,000 | 12,793,987 | |||||||||
|
5.75% |
01/30/22 | 1,000,000 | 1,035,000 | |||||||||
|
6.88% |
02/01/20 | 4,875,000 | 5,246,719 | |||||||||
| Pacific Drilling SA (Luxembourg) | ||||||||||||
|
5.38% |
06/01/20 | 2,4 | 11,000,000 | 11,110,000 | ||||||||
| Pacific Drilling V Ltd. (Luxembourg) | ||||||||||||
|
7.25% |
12/01/17 | 2,4 | 22,440,000 | 24,347,400 | ||||||||
| Peabody Energy Corp. | ||||||||||||
|
4.75% |
12/15/41 | 29,295,000 | 23,307,834 | |||||||||
| Penn Virginia Corp. | ||||||||||||
|
8.50% |
05/01/20 | 12,220,000 | 13,197,600 | |||||||||
| Plains Exploration & Production Co. | ||||||||||||
|
6.12% |
06/15/19 | 8,900,000 | 9,806,687 | |||||||||
|
6.75% |
02/01/22 | 2,000,000 | 2,212,204 | |||||||||
|
6.88% |
02/15/23 | 17,950,000 | 20,104,000 | |||||||||
| QEP Resources, Inc. | ||||||||||||
|
5.25% |
05/01/23 | 18,298,000 | 17,245,865 | |||||||||
|
6.88% |
03/01/21 | 8,000,000 | 8,620,000 | |||||||||
| Quicksilver Resources, Inc. | ||||||||||||
|
7.00% |
06/21/19 | 3,4 | 12,295,000 | 12,110,575 | ||||||||
| RKI Exploration & Production LLC/RKI | ||||||||||||
| Finance Corp. | ||||||||||||
|
8.50% |
08/01/21 | 4 | 9,395,000 | 9,935,213 | ||||||||
| Rosetta Resources, Inc. | ||||||||||||
|
5.62% |
05/01/21 | 5,385,000 | 5,398,463 | |||||||||
| Sabine Pass Liquefaction LLC | ||||||||||||
|
5.62% |
02/01/21 | 4 | 11,400,000 | 11,200,500 | ||||||||
|
5.62% |
04/15/23 | 4 | 4,765,000 | 4,479,100 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
76 / N-Q Report December 2013
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Finance (continued) | ||||||||||||
| International Lease Finance Corp. | ||||||||||||
|
7.12% |
09/01/18 | 4 | $ | 13,255,000 | $ | 15,400,653 | ||||||
| JPMorgan Chase Capital XIII, Series M | ||||||||||||
|
1.20% |
09/30/34 | 3 | 10,917,000 | 8,715,861 | ||||||||
| JPMorgan Chase Capital XXI, Series U | ||||||||||||
|
1.19% |
02/02/37 | 3 | 7,750,000 | 5,812,500 | ||||||||
| JPMorgan Chase Capital XXIII | ||||||||||||
|
1.24% |
05/15/47 | 3 | 2,320,000 | 1,732,469 | ||||||||
| Nielsen Co., Luxembourg SARL (Luxembourg) | ||||||||||||
|
5.50% |
10/01/21 | 2,4 | 5,020,000 | 5,145,500 | ||||||||
| ZFS Finance USA Trust I | ||||||||||||
|
6.50% |
05/09/37 | 3,4 | 10,154,000 | 10,864,780 | ||||||||
| ZFS Finance USA Trust II | ||||||||||||
|
6.45% |
12/15/65 | 3,4 | 4,450,000 | 4,783,750 | ||||||||
|
|
|
|||||||||||
| 140,357,381 | ||||||||||||
|
|
|
|||||||||||
| Food — 0.52% | ||||||||||||
| Post Holdings, Inc. | ||||||||||||
|
6.75% |
12/01/21 | 4 | 1,150,000 | 1,187,375 | ||||||||
|
7.38% |
02/15/22 | 9,990,000 | 10,739,250 | |||||||||
|
|
|
|||||||||||
| 11,926,625 | ||||||||||||
|
|
|
|||||||||||
| Gaming — 0.02% | ||||||||||||
| Churchill Downs, Inc. | ||||||||||||
|
5.38% |
12/15/21 | 4 | 500,000 | 510,000 | ||||||||
|
|
|
|||||||||||
| Health Care — 6.90% | ||||||||||||
| Accellent, Inc. | ||||||||||||
|
8.38% |
02/01/17 | 17,528,000 | 18,404,400 | |||||||||
| Alere, Inc. | ||||||||||||
|
7.25% |
07/01/18 | 6,000,000 | 6,622,500 | |||||||||
| CHS/Community Health Systems, Inc. | ||||||||||||
|
5.12% |
08/15/18 | 6,115,000 | 6,329,025 | |||||||||
|
7.12% |
07/15/20 | 3,500,000 | 3,631,250 | |||||||||
|
8.00% |
11/15/19 | 15,685,000 | 17,096,650 | |||||||||
| DaVita, Inc. | ||||||||||||
|
5.75% |
08/15/22 | 7,735,000 | 7,870,363 | |||||||||
| Fresenius Medical Care U.S. Finance II, Inc. | ||||||||||||
|
5.62% |
07/31/19 | 4 | 710,000 | 770,350 | ||||||||
| HCA, Inc. | ||||||||||||
|
5.88% |
03/15/22 | 3,500,000 | 3,622,500 | |||||||||
|
7.25% |
09/15/20 | 26,269,000 | 28,698,883 | |||||||||
|
7.50% |
12/15/23 | 3,965,000 | 4,311,937 | |||||||||
| Health Management Associates, Inc. | ||||||||||||
|
7.38% |
01/15/20 | 7,690,000 | 8,612,800 | |||||||||
| LifePoint Hospitals, Inc. | ||||||||||||
|
5.50% |
12/01/21 | 4 | 7,000,000 | 7,105,000 | ||||||||
| Salix Pharmaceuticals Ltd. | ||||||||||||
|
6.00% |
01/15/21 | 4 | 1,750,000 | 1,802,500 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 77
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Health Care (continued) | ||||||||||||
| Tenet Healthcare Corp. | ||||||||||||
|
4.50% |
04/01/21 | $ | 7,590,000 | $ | 7,267,425 | |||||||
| Valeant Pharmaceuticals International, Inc. (Canada) | ||||||||||||
|
5.62% |
12/01/21 | 2,4 | 7,400,000 | 7,474,000 | ||||||||
|
6.75% |
08/15/21 | 2,4 | 14,391,000 | 15,326,415 | ||||||||
|
6.88% |
12/01/18 | 2,4 | 500,000 | 537,500 | ||||||||
|
7.00% |
10/01/20 | 2,4 | 1,500,000 | 1,616,250 | ||||||||
|
7.25% |
07/15/22 | 2,4 | 2,900,000 | 3,132,000 | ||||||||
| VPII Escrow Corp. (Canada) | ||||||||||||
|
7.50% |
07/15/21 | 2,4 | 6,885,000 | 7,607,925 | ||||||||
|
|
|
|||||||||||
| 157,839,673 | ||||||||||||
|
|
|
|||||||||||
| Industrials — 3.39% | ||||||||||||
| ARD Finance SA (PIK) (Luxembourg) | ||||||||||||
|
11.12% |
06/01/18 | 2,4,12 | 5,671,920 | 6,068,954 | ||||||||
| Ardagh Packaging Finance PLC (Ireland) | ||||||||||||
|
9.12% |
10/15/20 | 2,4 | 17,045,000 | 18,706,887 | ||||||||
| Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. (Ireland) | ||||||||||||
|
4.88% |
11/15/22 | 2,4 | 5,350,000 | 5,323,250 | ||||||||
| Ball Corp. | ||||||||||||
|
4.00% |
11/15/23 | 4,340,000 | 3,906,000 | |||||||||
|
5.00% |
03/15/22 | 2,000,000 | 1,990,000 | |||||||||
| Bombardier, Inc. (Canada) | ||||||||||||
|
6.12% |
01/15/23 | 2,4 | 4,700,000 | 4,700,000 | ||||||||
| BWAY Holding Co. | ||||||||||||
|
10.00% |
06/15/18 | 6,015,000 | 6,541,313 | |||||||||
| Cequel Communications Escrow 1 LLC/Cequel Communications Escrow | ||||||||||||
| Capital Corp. | ||||||||||||
|
6.38% |
09/15/20 | 4 | 9,490,000 | 9,750,975 | ||||||||
| Flexi-Van Leasing, Inc. | ||||||||||||
|
7.88% |
08/15/18 | 4 | 3,750,000 | 3,993,750 | ||||||||
| Howard Hughes Corp. | ||||||||||||
|
6.88% |
10/01/21 | 4 | 7,000,000 | 7,297,500 | ||||||||
| MasTec, Inc. | ||||||||||||
|
4.88% |
03/15/23 | 6,690,000 | 6,355,500 | |||||||||
| Plastipak Holdings, Inc. | ||||||||||||
|
6.50% |
10/01/21 | 4 | 2,860,000 | 2,974,400 | ||||||||
|
|
|
|||||||||||
| 77,608,529 | ||||||||||||
|
|
|
|||||||||||
| Information Technology — 3.19% | ||||||||||||
| Audatex North America, Inc. | ||||||||||||
|
6.00% |
06/15/21 | 4 | 8,300,000 | 8,735,750 | ||||||||
| First Data Corp. | ||||||||||||
|
6.75% |
11/01/20 | 4 | 13,434,000 | 14,038,530 | ||||||||
|
7.38% |
06/15/19 | 4 | 27,840,000 | 29,788,800 | ||||||||
|
8.88% |
08/15/20 | 4 | 4,370,000 | 4,856,163 | ||||||||
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Information Technology (continued) | ||||||||||||
| Freescale Semiconductor, Inc. | ||||||||||||
|
5.00% |
05/15/21 | 4 | $ | 7,200,000 | $ | 7,002,000 | ||||||
| NXP BV/NXP Funding LLC (Netherlands) | ||||||||||||
|
3.75% |
06/01/18 | 2,4 | 6,000,000 | 6,060,000 | ||||||||
|
5.75% |
03/15/23 | 2,4 | 2,450,000 | 2,514,313 | ||||||||
|
|
|
|||||||||||
| 72,995,556 | ||||||||||||
|
|
|
|||||||||||
| Insurance — 0.47% | ||||||||||||
| Nationwide Mutual Insurance Co. | ||||||||||||
|
5.81% |
12/15/24 | 3,4 | 10,497,000 | 10,667,576 | ||||||||
|
|
|
|||||||||||
| Materials — 1.62% | ||||||||||||
| ArcelorMittal (Luxembourg) | ||||||||||||
|
6.75% |
02/25/22 | 2 | 5,435,000 | 5,964,913 | ||||||||
|
10.35% |
06/01/19 | 2 | 13,420,000 | 17,043,400 | ||||||||
| Exopack Holdings SA (Luxembourg) | ||||||||||||
|
7.88% |
11/01/19 | 2,4 | 1,850,000 | 1,900,875 | ||||||||
| Nova Chemicals Corp. (Canada) | ||||||||||||
|
5.25% |
08/01/23 | 2,4 | 11,740,000 | 12,128,887 | ||||||||
|
|
|
|||||||||||
| 37,038,075 | ||||||||||||
|
|
|
|||||||||||
| Real Estate Investment Trust (REIT) — 0.98% | ||||||||||||
| DuPont Fabros Technology LP (WI) | ||||||||||||
|
5.88% |
09/15/21 | 4,500,000 | 4,657,500 | |||||||||
| Geo Group, Inc. | ||||||||||||
|
5.88% |
01/15/22 | 4 | 7,320,000 | 7,310,850 | ||||||||
| Realogy Group LLC | ||||||||||||
|
7.62% |
01/15/20 | 4 | 9,260,000 | 10,417,500 | ||||||||
|
|
|
|||||||||||
| 22,385,850 | ||||||||||||
|
|
|
|||||||||||
| Services — 0.48% | ||||||||||||
| Ceridian Corp. | ||||||||||||
|
8.88% |
07/15/19 | 4 | 9,545,000 | 11,024,475 | ||||||||
|
|
|
|||||||||||
| Transportation — 2.30% | ||||||||||||
| American Airlines Pass-Through Trust, Series 2013-1, Class B | ||||||||||||
|
5.62% |
01/15/21 | 4 | 12,282,000 | 12,343,410 | ||||||||
| American Airlines Pass-Through Trust, Series 2013-2, Class A | ||||||||||||
|
4.95% |
01/15/23 | 4 | 8,790,000 | 9,251,475 | ||||||||
| Continental Airlines Pass-Through Trust, Series 2007, Class 1B | ||||||||||||
|
6.90% |
04/19/22 | 4,600,229 | 4,835,761 | |||||||||
| Continental Airlines Pass-Through Trust, Series 2009, Class 1 | ||||||||||||
|
9.00% |
07/08/16 | 1,364,780 | 1,566,085 | |||||||||
| Delta Air Lines Pass-Through Trust, Series 2002, Class G1 | ||||||||||||
|
6.72% |
01/02/23 | 13,699,792 | 15,446,516 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
78 / N-Q Report December 2013
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues | Shares | Value | ||||||||
| COMMON STOCK — 0.71% | ||||||||||
| Electric — 0.71% | ||||||||||
| Dynegy, Inc. 5 | 755,707 | 16,262,807 | ||||||||
|
|
|
|||||||||
|
Total Common Stock (Cost $14,505,785) |
||||||||||
| Issues | Shares | Value | ||||||||||
| PREFERRED STOCK — 0.26% | ||||||||||||
| Finance — 0.26% | ||||||||||||
| Citigroup Capital XIII | ||||||||||||
|
0.05% |
217,702 | $ | 5,932,380 | |||||||||
|
|
|
|||||||||||
|
Total Preferred Stock
(Cost $5,913,010) |
||||||||||||
| Issues |
Maturity
Date |
Principal
Amount/ Shares |
Value | |||||||||
| SHORT-TERM INVESTMENTS — 7.23% | ||||||||||||
| Commercial Paper — 0.87% | ||||||||||||
| Macquarie Bank Ltd. (Australia) | ||||||||||||
|
0.22% 14 |
02/24/14 | 2,4 | 20,000,000 | 19,994,767 | ||||||||
|
|
|
|||||||||||
| Money Market Funds — 2.01% | ||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio | ||||||||||||
|
0.05% 15 |
4,067,000 | 4,067,000 | ||||||||||
| Dreyfus Cash Advantage Fund | ||||||||||||
|
0.06% 15 |
23,142,000 | 23,142,000 | ||||||||||
| DWS Money Market Series Institutional Funds | ||||||||||||
|
0.05% 15 |
18,735,000 | 18,735,000 | ||||||||||
|
|
|
|||||||||||
| 45,944,000 | ||||||||||||
|
|
|
|||||||||||
| U.S. Agency Discount Notes — 4.35% | ||||||||||||
| Fannie Mae | ||||||||||||
|
0.08% 14 |
01/03/14 | 44,730,000 | 44,729,963 | |||||||||
| Federal Home Loan Bank | ||||||||||||
|
0.07% 14 |
02/14/14 | 14,400,000 | 14,398,950 | |||||||||
|
0.07% 14 |
03/03/14 | 22,500,000 | 22,498,875 | |||||||||
| Freddie Mac | ||||||||||||
|
0.08% 14 |
03/31/14 | 17,810,000 | 17,808,700 | |||||||||
|
|
|
|||||||||||
| 99,436,488 | ||||||||||||
|
|
|
|||||||||||
| U.S. Treasury Bills — 0.00% | ||||||||||||
| U.S. Treasury Bills | ||||||||||||
|
0.06% 14 |
03/20/14 | 16 | 6,000 | 5,999 | ||||||||
|
|
|
|||||||||||
|
Total Short-Term Investments
(Cost $165,376,264) |
165,381,254 | |||||||||||
|
|
|
|||||||||||
|
Total Investments – 98.77%
(Cost $2,238,346,545) 1 |
2,260,309,314 | |||||||||||
|
|
|
|||||||||||
| Cash and Other Assets, Less Liabilities – 1.23% | 28,246,756 | |||||||||||
|
|
|
|||||||||||
| Net Assets – 100.00% | $ | 2,288,556,070 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 79
High Yield Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $2,239,163,810 and net unrealized appreciation/(depreciation) consists of: |
|
Grossunrealized appreciation |
$ | 61,990,539 | ||
|
Gross unrealized depreciation |
(40,845,035 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 21,145,504 | ||
|
|
|
| 2 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 3 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | Non-income producing security. |
| 6 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $63,079, which is 0.00% of total net assets. |
| 7 | Security is currently in default with regard to scheduled interest or principal payments. |
| 8 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
| 9 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
| 10 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 11 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.73% cash or 9.23% payment-in-kind interest. |
| 12 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 11.12% cash or payment-in-kind interest. |
| 13 | Inflation protected security. Principal amount reflects original security face amount. |
| 14 | Represents annualized yield at date of purchase. |
| 15 | Represents the current yield as of December 31, 2013. |
| 16 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $5,999. |
| † | Fair valued security. The aggregate value of fair valued securities is $62,626, which is 0.00% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(MTN): Medium-term note
(PIK): Payment in kind
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
80 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 81
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
82 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 83
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Banking (continued) | ||||||||||||
| Royal Bank of Scotland PLC (United Kingdom) | ||||||||||||
|
2.55% |
09/18/15 | 4 | $ | 350,000 | $ | 358,212 | ||||||
|
6.10% |
06/10/23 | 4 | 700,000 | 716,672 | ||||||||
|
6.12% |
12/15/22 | 4 | 100,000 | 103,100 | ||||||||
| Sberbank of Russia via SB Capital SA (Luxembourg) | ||||||||||||
|
5.25% |
05/23/23 | 3,4 | 500,000 | 468,150 | ||||||||
| VTB Bank OJSC via VTB Capital SA (Luxembourg) | ||||||||||||
|
6.95% |
10/17/22 | 3,4 | 500,000 | 515,000 | ||||||||
| Yapi ve Kredi Bankasi AS (Turkey) | ||||||||||||
|
5.50% |
12/06/22 | 3,4 | 1,100,000 | 946,000 | ||||||||
|
|
|
|||||||||||
| 10,517,274 | ||||||||||||
|
|
|
|||||||||||
| Communications — 0.99% | ||||||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||||||
|
7.38% |
06/01/20 | 560,000 | 609,000 | |||||||||
| CCO Holdings LLC/CCO Holdings Capital Corp. (WI) | ||||||||||||
|
8.12% |
04/30/20 | 65,000 | 70,687 | |||||||||
| CSC Holdings LLC | ||||||||||||
|
6.75% |
11/15/21 | 60,000 | 64,950 | |||||||||
| Intelsat Jackson Holdings SA (Luxembourg) | ||||||||||||
|
7.25% |
10/15/20 | 4 | 860,000 | 943,850 | ||||||||
| Myriad International Holdings BV (Netherlands) | ||||||||||||
|
6.00% |
07/18/20 | 3,4 | 500,000 | 546,250 | ||||||||
| Qwest Corp. | ||||||||||||
|
7.25% |
09/15/25 | 300,000 | 320,691 | |||||||||
| Sprint Nextel Corp. | ||||||||||||
|
9.00% |
11/15/18 | 3 | 1,250,000 | 1,509,375 | ||||||||
|
9.25% |
04/15/22 | 810,000 | 969,975 | |||||||||
| VimpelCom Holdings BV (Netherlands) | ||||||||||||
|
5.95% |
02/13/23 | 3,4 | 500,000 | 473,000 | ||||||||
| Windstream Corp. (WI) | ||||||||||||
|
8.12% |
09/01/18 | 785,000 | 848,781 | |||||||||
|
|
|
|||||||||||
| 6,356,559 | ||||||||||||
|
|
|
|||||||||||
| Consumer Discretionary — 0.58% | ||||||||||||
| Catholic Health Initiatives | ||||||||||||
|
4.20% |
08/01/23 | 2,700,000 | 2,643,603 | |||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC | ||||||||||||
|
7.88% |
08/15/19 | 500,000 | 555,000 | |||||||||
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC (WI) | ||||||||||||
|
5.75% |
10/15/20 | 150,000 | 153,750 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
84 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Consumer Discretionary (continued) | ||||||||||||
| Virgolino de Oliveira Finance Ltd. (Luxembourg) | ||||||||||||
|
10.50% |
01/28/18 | 3,4 | $ | 500,000 | $ | 352,500 | ||||||
|
|
|
|||||||||||
| 3,704,853 | ||||||||||||
|
|
|
|||||||||||
| Electric — 3.22% | ||||||||||||
| Calpine Corp. | ||||||||||||
|
7.50% |
02/15/21 | 3 | 316,000 | 346,415 | ||||||||
| DPL, Inc. | ||||||||||||
|
6.50% |
10/15/16 | 545,000 | 591,325 | |||||||||
| Duquesne Light Holdings, Inc. | ||||||||||||
|
6.40% |
09/15/20 | 3 | 1,641,000 | 1,879,608 | ||||||||
| Electricite de France SA (France) | ||||||||||||
|
5.25% |
07/29/49 | 2,3,4 | 125,000 | 125,625 | ||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
7.90% |
05/15/19 | 3 | 1,375,000 | 1,680,864 | ||||||||
| GenOn Americas Generation LLC | ||||||||||||
|
8.50% |
10/01/21 | 150,000 | 158,625 | |||||||||
|
9.12% |
05/01/31 | 1,300,000 | 1,329,250 | |||||||||
| Homer City Generation LP (PIK) | ||||||||||||
|
8.14% |
10/01/19 | 5 | 2,100,000 | 2,226,000 | ||||||||
| Hrvatska Elektroprivreda (Croatia) | ||||||||||||
|
6.00% |
11/09/17 | 3,4 | 500,000 | 511,250 | ||||||||
| Instituto Costarricense de Electricidad (Costa Rica) | ||||||||||||
|
6.95% |
11/10/21 | 3,4 | 1,520,000 | 1,570,920 | ||||||||
| Ipalco Enterprises, Inc. | ||||||||||||
|
7.25% |
04/01/16 | 3 | 2,850,000 | 3,142,126 | ||||||||
| Metropolitan Edison Co. | ||||||||||||
|
7.70% |
01/15/19 | 2,230,000 | 2,695,675 | |||||||||
| Mirant Mid Atlantic Pass-Through Trust, Series B | ||||||||||||
|
9.12% |
06/30/17 | 668,190 | 717,469 | |||||||||
| Mirant Mid Atlantic Pass-Through Trust, Series C | ||||||||||||
|
10.06% |
12/30/28 | 97,429 | 108,877 | |||||||||
| Oncor Electric Delivery Co. LLC | ||||||||||||
|
6.80% |
09/01/18 | 1,000,000 | 1,176,595 | |||||||||
| PNM Resources, Inc. | ||||||||||||
|
9.25% |
05/15/15 | 200,000 | 223,500 | |||||||||
| Public Service Co. of New Mexico | ||||||||||||
|
5.35% |
10/01/21 | 50,000 | 53,886 | |||||||||
| Southwestern Electric Power Co. | ||||||||||||
|
6.45% |
01/15/19 | 1,885,000 | 2,187,272 | |||||||||
|
|
|
|||||||||||
| 20,725,282 | ||||||||||||
|
|
|
|||||||||||
| Energy — 2.67% | ||||||||||||
| Arch Coal, Inc. | ||||||||||||
|
7.00% |
06/15/19 | 25,000 | 20,000 | |||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Energy (continued) | ||||||||||||
| Chaparral Energy, Inc. | ||||||||||||
|
8.25% |
09/01/21 | $ | 116,000 | $ | 126,440 | |||||||
| CNOOC Finance 2013 Ltd. (China) | ||||||||||||
|
1.12% |
05/09/16 | 4 | 1,000,000 | 1,000,238 | ||||||||
| EDC Finance Ltd. | ||||||||||||
|
4.88% |
04/17/20 | 3 | 500,000 | 486,875 | ||||||||
| Florida Gas Transmission Co. LLC | ||||||||||||
|
4.00% |
07/15/15 | 3 | 500,000 | 523,663 | ||||||||
| GeoPark Latin America Ltd., Agencia En Chile (Bermuda) | ||||||||||||
|
7.50% |
02/11/20 | 3,4 | 600,000 | 613,500 | ||||||||
| Newfield Exploration Co. | ||||||||||||
|
5.62% |
07/01/24 | 165,000 | 164,794 | |||||||||
|
6.88% |
02/01/20 | 125,000 | 134,531 | |||||||||
| Pacific Drilling SA (Luxembourg) | ||||||||||||
|
5.38% |
06/01/20 | 3,4 | 1,400,000 | 1,414,000 | ||||||||
| Pacific Drilling V Ltd. (Luxembourg) | ||||||||||||
|
7.25% |
12/01/17 | 3,4 | 725,000 | 786,625 | ||||||||
| Pacific Rubiales Energy Corp., Series REGS (Canada) | ||||||||||||
|
7.25% |
12/12/21 | 2 | 500,000 | 532,187 | ||||||||
| Peabody Energy Corp. | ||||||||||||
|
4.75% |
12/15/41 | 900,000 | 716,063 | |||||||||
| Petrobras Global Finance BV (Netherlands) | ||||||||||||
|
2.38% |
01/15/19 | 2,4 | 1,200,000 | 1,182,131 | ||||||||
|
4.38% |
05/20/23 | 4 | 1,000,000 | 895,105 | ||||||||
| Petroleos de Venezuela SA, Series REGS (Venezuela) | ||||||||||||
|
8.50% |
11/02/17 | 4 | 1,100,000 | 918,500 | ||||||||
| Petroleos Mexicanos (Mexico) | ||||||||||||
|
1.70% |
12/20/22 | 4 | 135,000 | 131,588 | ||||||||
| Plains Exploration & Production Co. | ||||||||||||
|
6.88% |
02/15/23 | 900,000 | 1,008,000 | |||||||||
| QGOG Constellation SA (Luxembourg) | ||||||||||||
|
6.25% |
11/09/19 | 3,4 | 500,000 | 481,250 | ||||||||
| Ruby Pipeline LLC | ||||||||||||
|
6.00% |
04/01/22 | 3 | 1,600,000 | 1,685,733 | ||||||||
| Sabine Pass LNG LP | ||||||||||||
|
7.50% |
11/30/16 | 1,550,000 | 1,759,250 | |||||||||
|
7.50% |
11/30/16 | 3 | 500,000 | 552,500 | ||||||||
| SandRidge Energy, Inc. | ||||||||||||
|
8.12% |
10/15/22 | 550,000 | 587,125 | |||||||||
| SM Energy Co. | ||||||||||||
|
6.50% |
01/01/23 | 165,000 | 173,869 | |||||||||
| Tennessee Gas Pipeline Co. LLC | ||||||||||||
|
8.00% |
02/01/16 | 225,000 | 255,609 | |||||||||
| Walter Energy, Inc. | ||||||||||||
|
9.50% |
10/15/19 | 3 | 1,000,000 | 1,060,000 | ||||||||
|
|
|
|||||||||||
| 17,209,576 | ||||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 85
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Finance — 4.43% | ||||||||||||
| Astoria Depositor Corp. | ||||||||||||
|
8.14% |
05/01/21 | 3 | $ | 440,000 | $ | 431,200 | ||||||
| CIT Group, Inc. | ||||||||||||
|
6.62% |
04/01/18 | 3 | 1,000,000 | 1,128,750 | ||||||||
| Citigroup, Inc. | ||||||||||||
|
0.79% |
08/25/36 | 2 | 4,050,000 | 3,163,716 | ||||||||
|
1.20% |
07/25/16 | 2 | 1,000,000 | 1,012,523 | ||||||||
|
4.59% |
12/15/15 | 125,000 | 133,640 | |||||||||
|
6.12% |
05/15/18 | 100,000 | 115,841 | |||||||||
| Ford Motor Credit Co. LLC | ||||||||||||
|
3.88% |
01/15/15 | 400,000 | 412,847 | |||||||||
| General Electric Capital Corp. (MTN) | ||||||||||||
|
0.72% |
08/15/36 | 2 | 4,085,000 | 3,375,311 | ||||||||
|
4.65% |
10/17/21 | 70,000 | 76,733 | |||||||||
| Goldman Sachs Group, Inc. | ||||||||||||
|
2.90% |
07/19/18 | 1,000,000 | 1,018,283 | |||||||||
|
5.95% |
01/18/18 | 75,000 | 85,348 | |||||||||
| Goldman Sachs Group, Inc., (MTN) | ||||||||||||
|
1.84% |
11/29/23 | 2 | 1,000,000 | 1,019,884 | ||||||||
| Grupo Aval Ltd. (Cayman Islands) | ||||||||||||
|
4.75% |
09/26/22 | 3,4 | 600,000 | 561,000 | ||||||||
| Hyundai Capital America | ||||||||||||
|
1.88% |
08/09/16 | 3 | 1,250,000 | 1,255,321 | ||||||||
| Industrial Senior Trust (Cayman Islands) | ||||||||||||
|
5.50% |
11/01/22 | 3,4 | 600,000 | 556,500 | ||||||||
| International Lease Finance Corp. | ||||||||||||
|
6.50% |
09/01/14 | 3 | 175,000 | 181,781 | ||||||||
|
6.75% |
09/01/16 | 3 | 400,000 | 448,000 | ||||||||
| JPMorgan Chase Capital XIII, Series M | ||||||||||||
|
1.20% |
09/30/34 | 2 | 225,000 | 179,634 | ||||||||
| JPMorgan Chase Capital XXI, Series U | ||||||||||||
|
1.19% |
02/02/37 | 2 | 6,410,000 | 4,807,500 | ||||||||
| JPMorgan Chase Capital XXIII | ||||||||||||
|
1.24% |
05/15/47 | 2 | 3,750,000 | 2,800,327 | ||||||||
| KKR Group Finance Co. LLC | ||||||||||||
|
6.38% |
09/29/20 | 3 | 400,000 | 449,803 | ||||||||
| Macquarie Bank Ltd. (Australia) | ||||||||||||
|
5.00% |
02/22/17 | 3,4 | 170,000 | 182,691 | ||||||||
|
6.62% |
04/07/21 | 3,4 | 1,074,000 | 1,189,508 | ||||||||
| Raymond James Financial, Inc. | ||||||||||||
|
8.60% |
08/15/19 | 530,000 | 667,294 | |||||||||
| Reckson Operating Partnership LP | ||||||||||||
|
5.00% |
08/15/18 | 145,000 | 153,473 | |||||||||
| Schahin II Finance Co. SPV Ltd. (Cayman Islands) | ||||||||||||
|
5.88% |
09/25/22 | 3,4 | 479,000 | 459,840 | ||||||||
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| CORPORATES (continued) | ||||||||||||
| Finance (continued) | ||||||||||||
| ZFS Finance USA Trust II | ||||||||||||
|
6.45% |
12/15/65 | 2,3 | $ | 2,475,000 | $ | 2,660,625 | ||||||
|
|
|
|||||||||||
| 28,527,373 | ||||||||||||
|
|
|
|||||||||||
| Food — 0.14% | ||||||||||||
| Pesquera Exalmar SAA (Peru) | ||||||||||||
|
7.38% |
01/31/20 | 3,4 | 500,000 | 462,500 | ||||||||
| Tonon Bioenergia SA (Brazil) | ||||||||||||
|
9.25% |
01/24/20 | 3,4 | 500,000 | 430,000 | ||||||||
|
|
|
|||||||||||
| 892,500 | ||||||||||||
|
|
|
|||||||||||
| Health Care — 1.31% | ||||||||||||
| CHS/Community Health Systems, Inc. | ||||||||||||
|
5.12% |
08/15/18 | 225,000 | 232,875 | |||||||||
|
8.00% |
11/15/19 | 175,000 | 190,750 | |||||||||
| DaVita, Inc. | ||||||||||||
|
5.75% |
08/15/22 | 120,000 | 122,100 | |||||||||
| HCA, Inc. | ||||||||||||
|
7.25% |
09/15/20 | 275,000 | 300,437 | |||||||||
| Hospira, Inc. | ||||||||||||
|
5.20% |
08/12/20 | 1,000,000 | 1,042,980 | |||||||||
| North Shore Long Island Jewish Health Care, Inc. | ||||||||||||
|
6.15% |
11/01/43 | 2,250,000 | 2,418,821 | |||||||||
| Providence Health & Services Obligated Group | ||||||||||||
|
1.20% |
10/01/17 | 2 | 3,200,000 | 3,188,155 | ||||||||
| Tenet Healthcare Corp. | ||||||||||||
|
4.50% |
04/01/21 | 1,000,000 | 957,500 | |||||||||
|
|
|
|||||||||||
| 8,453,618 | ||||||||||||
|
|
|
|||||||||||
| Industrials — 0.65% | ||||||||||||
| Cemex Espana Luxembourg (Spain) | ||||||||||||
|
9.88% |
04/30/19 | 3,4 | 600,000 | 689,250 | ||||||||
| Flexi-Van Leasing, Inc. | ||||||||||||
|
7.88% |
08/15/18 | 3 | 1,000,000 | 1,065,000 | ||||||||
| Heathrow Funding Ltd. (United Kingdom) | ||||||||||||
|
2.50% |
06/25/15 | 3,4 | 200,000 | 202,868 | ||||||||
|
4.88% |
07/15/21 | 3,4 | 700,000 | 735,753 | ||||||||
| Odebrecht Offshore Drilling Finance Ltd. (Cayman Islands) | ||||||||||||
|
6.75% |
10/01/22 | 3,4 | 492,300 | 507,069 | ||||||||
| Sydney Airport Finance Co. Pty Ltd. (Australia) | ||||||||||||
|
3.90% |
03/22/23 | 3,4 | 325,000 | 308,731 | ||||||||
| Sydney Airport Finance Co., Pty Ltd. (Australia) | ||||||||||||
|
5.12% |
02/22/21 | 3,4 | 660,000 | 698,076 | ||||||||
|
|
|
|||||||||||
| 4,206,747 | ||||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
86 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 87
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Commercial Mortgage-Backed (continued) | ||||||||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2006-5, Class A2 | ||||||||||||
|
5.32% |
09/10/47 | $ | 473,538 | $ | 476,321 | |||||||
| Banc of America Merrill Lynch Commercial Mortgage, Inc., Series 2007-3, Class A2 | ||||||||||||
|
5.80% |
06/10/49 | 2 | 44,466 | 44,437 | ||||||||
| Bayview Commercial Asset Trust, Series 2004-2, Class A | ||||||||||||
|
0.60% |
08/25/34 | 2,3 | 1,235,325 | 1,144,903 | ||||||||
| Bayview Commercial Asset Trust, Series 2005-3A, Class A1 | ||||||||||||
|
0.48% |
11/25/35 | 2,3 | 332,271 | 287,181 | ||||||||
| Bayview Commercial Asset Trust, Series 2006-1A, Class A1 | ||||||||||||
|
0.44% |
04/25/36 | 2,3 | 2,005,983 | 1,720,174 | ||||||||
| Bayview Commercial Asset Trust, Series 2006-3A, Class A1 | ||||||||||||
|
0.42% |
10/25/36 | 2,3 | 3,329,561 | 2,816,845 | ||||||||
| Bayview Commercial Asset Trust, Series 2008-4, Class A3 | ||||||||||||
|
2.92% |
07/25/38 | 2,3 | 1,200,000 | 1,140,042 | ||||||||
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWR4, Class A3 |
|
|||||||||||
|
5.47% |
06/11/41 | 2 | 905,715 | 911,111 | ||||||||
|
Bear Stearns Commercial Mortgage Securities Trust, Series 2004-PWRC, Class A4 |
|
|||||||||||
|
4.72% |
02/11/41 | 13,193 | 13,216 | |||||||||
| Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PW14, Class A3 | ||||||||||||
|
5.21% |
12/11/38 | 539,857 | 544,138 | |||||||||
| Bear Stearns Commercial Mortgage Securities Trust, Series 2006-PWR11, Class A2 | ||||||||||||
|
5.39% |
03/11/39 | 2 | 1,704 | 1,702 | ||||||||
| Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T22, Class A4 | ||||||||||||
|
5.58% |
04/12/38 | 2 | 120,000 | 129,853 | ||||||||
| Bear Stearns Commercial Mortgage Securities Trust, Series 2007-PW17, Class A3 | ||||||||||||
|
5.74% |
06/11/50 | 918,394 | 935,585 | |||||||||
| Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B | ||||||||||||
|
5.20% |
12/11/49 | 20,741 | 20,747 | |||||||||
| Commercial Mortgage Trust, Series 2006-C8, Class AAB | ||||||||||||
|
5.29% |
12/10/46 | 466,927 | 474,371 | |||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C5, Class A4 | ||||||||||||
|
5.10% |
08/15/38 | 2 | 65,000 | 68,276 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
88 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Commercial Mortgage-Backed (continued) | ||||||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2006-LDP8, Class A4 | ||||||||||||
|
5.40% |
05/15/45 | $ | 175,000 | $ | 190,857 | |||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-C1, Class ASB | ||||||||||||
|
5.86% |
02/15/51 | 443,444 | 475,022 | |||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2007-CB19, Class ASB | ||||||||||||
|
5.69% |
02/12/49 | 2 | 242,651 | 258,670 | ||||||||
| JPMorgan Chase Commercial Mortgage Securities Corp., Series 2011-C5, Class A3 | ||||||||||||
|
4.17% |
08/15/46 | 1,355,000 | 1,426,585 | |||||||||
| LB-UBS Commercial Mortgage Trust, Series 2004-C7, Class A1A | ||||||||||||
|
4.48% |
10/15/29 | 193,000 | 197,441 | |||||||||
| Lehman Brothers Small Balance Commercial Mortgage Trust, Series 2006-2A, Class 1A | ||||||||||||
|
0.36% |
09/25/36 | 2,3 | 1,478,318 | 1,365,277 | ||||||||
| Merrill Lynch Mortgage Investors, Inc., Series 2005-LC1, Class A4 | ||||||||||||
|
5.29% |
01/12/44 | 2 | 51,737 | 55,306 | ||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A3 | ||||||||||||
|
2.51% |
11/15/45 | 947,000 | 916,464 | |||||||||
| Morgan Stanley Bank of America Merrill Lynch Trust, Series 2012-C6, Class A4 | ||||||||||||
|
2.86% |
11/15/45 | 1,360,000 | 1,285,674 | |||||||||
| Morgan Stanley Capital I Trust, Series 2001-C3, Class A2 | ||||||||||||
|
3.22% |
08/15/49 | 139,266 | 145,639 | |||||||||
| Morgan Stanley Capital I Trust, Series 2005-T19, Class A4A | ||||||||||||
|
4.89% |
06/12/47 | 125,000 | 131,174 | |||||||||
| Morgan Stanley Capital I Trust, Series 2006-IQ12, Class A4 | ||||||||||||
|
5.33% |
12/15/43 | 99,332 | 108,851 | |||||||||
| Morgan Stanley Capital I Trust, Series 2006-T21, Class A4 | ||||||||||||
|
5.16% |
10/12/52 | 2 | 295,000 | 314,696 | ||||||||
| Morgan Stanley Capital I Trust, Series 2006-T23, Class A2 | ||||||||||||
|
5.75% |
08/12/41 | 2 | 11,820 | 11,803 | ||||||||
| Morgan Stanley Capital I Trust, Series 2006-T23, Class A4 | ||||||||||||
|
5.81% |
08/12/41 | 2 | 940,000 | 1,034,580 | ||||||||
| Morgan Stanley Capital I Trust, Series 2007-T27, Class A4 | ||||||||||||
|
5.65% |
06/11/42 | 2 | 1,100,000 | 1,237,449 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 89
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
90 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity Date |
Principal Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-4, Class 4A1 | ||||||||||||
|
0.46% |
02/25/35 | 2 | $ | 99,961 | $ | 78,398 | ||||||
| Countrywide Home Loan Mortgage Pass-Through Trust, Series 2005-9, Class 1A1 | ||||||||||||
|
0.46% |
05/25/35 | 2 | 121,314 | 107,002 | ||||||||
|
Countrywide Home Loan Mortgage Pass-Through Trust, Series
2007-J2, Class 2A1 |
||||||||||||
|
0.82% |
07/25/37 | 2 | 3,707,267 | 2,523,199 | ||||||||
| Credit Suisse First Boston Commercial Mortgage Trust, Series 2005-11, Class 1A1 | ||||||||||||
|
6.50% |
12/25/35 | 1,082,034 | 859,276 | |||||||||
| Credit Suisse First Boston Commercial Mortgage Trust, Series 2006-8, Class 3A1 | ||||||||||||
|
6.00% |
10/25/21 | 707,482 | 679,036 | |||||||||
| Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR5, Class 9A1 | ||||||||||||
|
2.31% |
06/25/34 | 2 | 1,031,074 | 1,029,679 | ||||||||
| Credit Suisse Mortgage Capital Certificates, Series 2013-3R, Class 5A1 | ||||||||||||
|
2.50% |
10/27/36 | 2,3 | 987,148 | 993,523 | ||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2006-CB1, Class AF4 (STEP) |
||||||||||||
|
3.64% |
01/25/36 | 3,022,035 | 2,243,443 | |||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2006-CB2, Class AF3 (STEP) |
||||||||||||
|
3.90% |
12/25/36 | 1,000,000 | 661,052 | |||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2006-CB3, Class AV4 |
||||||||||||
|
0.42% |
03/25/36 | 2 | 2,900,000 | 1,940,329 | ||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2007-BR2, Class A2 |
||||||||||||
|
0.40% |
02/25/37 | 2 | 2,117,040 | 1,083,632 | ||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2007-BR4, Class A2B |
||||||||||||
|
0.36% |
05/25/37 | 2 | 3,287,509 | 2,040,304 | ||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series
2007-CB1, Class AF2 (STEP) |
||||||||||||
|
4.40% |
01/25/37 | 327,150 | 163,538 | |||||||||
|
Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP) |
|
|||||||||||
|
4.94% |
02/25/37 | 3,501,941 | 2,562,258 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 91
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
92 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 93
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
94 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 95
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
96 / N-Q Report December 2013
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Contracts |
Unrealized Appreciation |
||||||
| FUTURES CONTRACTS: SHORT POSITIONS | |||||||
|
188 |
U.S. Treasury Five Year Note, Expiration March 2014 | $ | 309,487 | ||||
|
323 |
U.S. Treasury Ten Year Note, Expiration March 2014 | 830,882 | |||||
|
33 |
U.S. Treasury Thirty Year Long Bond, Expiration March 2014 | 86,561 | |||||
|
|
|
||||||
| Net unrealized appreciation | $ | 1,226,930 | |||||
|
|
|
||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 97
Unconstrained Bond Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| a | The maximum potential payment the Fund could be required to make as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of the swap agreement. |
| b | The values for credit default swap agreements serve as an indicator of the current status of the payment/performance risk and represents the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement been closed/sold as of the period-end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
Notes:
| 1 | Cost for federal income tax purposes is $642,289,996 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 9,074,756 | ||
| Gross unrealized depreciation | (5,520,497 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 3,554,259 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. 8.14% cash or 8.64% payment-in-kind interest. |
| 6 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $98,856, which is 0.02% of total net assets. |
| 7 | Zero coupon bond. The rate shown is the effective yield as of December 31, 2013. |
| 8 | Represents the current yield as of December 31, 2013. |
| 9 | Inflation protected security. Principal amount reflects original security face amount. |
| 10 | Represents annualized yield at date of purchase. |
| 11 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $758,901. |
| † | Fair valued security. The aggregate value of fair valued securities is $6,525,240, which is 1.01% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(IO): Interest only
(MTN): Medium-term note
(PIK): Payment in kind
(PO): Principal only
(STEP): Step coupon bond
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
98 / N-Q Report December 2013
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| BONDS – 95.46% | ||||||||||||
| BANK LOANS — 80.70%* | ||||||||||||
| Automotive — 2.22% | ||||||||||||
| Allison Transmission, Inc., Term Loan B2, 1st Lien | ||||||||||||
|
3.17% |
08/07/17 | 2 | $ | 347,685 | $ | 349,750 | ||||||
| Allison Transmission, Inc., Term Loan B3, 1st Lien | ||||||||||||
|
0.00% |
08/23/19 | 2 | 1,000,000 | 1,007,190 | ||||||||
| Chrysler Group LLC, Term Loan B | ||||||||||||
|
3.50% |
05/24/17 | 2 | 492,991 | 497,201 | ||||||||
| Goodyear Tire & Rubber Co., Term Loan, 2nd Lien | ||||||||||||
|
4.75% |
04/30/19 | 2 | 500,000 | 506,125 | ||||||||
| Metaldyne LLC, Term Loan B, 1st Lien | ||||||||||||
|
5.00% |
12/19/18 | 2 | 746,858 | 756,429 | ||||||||
|
|
|
|||||||||||
| 3,116,695 | ||||||||||||
|
|
|
|||||||||||
| Communications — 4.78% | ||||||||||||
| Cincinnati Bell, Term Loan, 1st Lien | ||||||||||||
|
4.00% |
08/20/20 | 2 | 498,750 | 500,580 | ||||||||
| Consolidated Communications, Inc., Term Loan B, 1st Lien | ||||||||||||
|
0.00% |
12/13/20 | 2 | 500,000 | 504,687 | ||||||||
| eResearchTechnology, Inc., Term Loan B, 1st Lien | ||||||||||||
|
6.00% |
05/02/18 | 2 | 663,412 | 667,144 | ||||||||
| Intelsat Jackson Holdings SA, Term Loan B1, 1st Lien (Luxembourg) | ||||||||||||
|
3.75% |
04/02/18 | 2,3 | 481,872 | 486,389 | ||||||||
| Level 3 Financing, Inc., Term Loan B, 1st Lien | ||||||||||||
|
4.00% |
01/15/20 | 2 | 1,240,000 | 1,251,371 | ||||||||
| Level 3 Financing, Inc., Term Loan, Tranche B-III 2019 | ||||||||||||
|
4.00% |
08/01/19 | 2 | 270,000 | 271,997 | ||||||||
|
Media General, Inc., Term Loan B-DD, 1st Lien |
|
|||||||||||
|
4.25% |
07/31/20 | 2 | 1,000,000 | 1,011,880 | ||||||||
| RentPath, Inc., Term Loan B | ||||||||||||
|
0.00% |
05/29/20 | 2 | 329,175 | 320,946 | ||||||||
| Univision Communications, Inc. | ||||||||||||
|
4.50% |
03/01/20 | 2 | 274,153 | 275,888 | ||||||||
| Univision Communications, Inc., Incremental Term Loan 2013 | ||||||||||||
|
4.00% |
03/01/20 | 2 | 178,650 | 179,729 | ||||||||
| WideOpenWest Finance LLC, Term Loan B, 1st Lien | ||||||||||||
|
4.75% |
04/01/19 | 2 | 735,694 | 740,660 | ||||||||
| Windstream Corp., Term Loan B4, 1st Lien | ||||||||||||
|
3.50% |
01/23/20 | 2 | 497,487 | 499,199 | ||||||||
|
|
|
|||||||||||
| 6,710,470 | ||||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 99
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| BANK LOANS (continued) | ||||||||||||
| Electric (continued) | ||||||||||||
| Dynegy, Inc., Term Loan B2, 1st Lien | ||||||||||||
|
4.00% |
04/23/20 | 2 | $ | 597,000 | $ | 601,012 | ||||||
| EFS Cogen Holdings I LLC, Term Loan B, 1st Lien | ||||||||||||
|
3.75% |
11/21/20 | 2 | 1,000,000 | 1,008,750 | ||||||||
| Equipower Resources Holdings LLC, Term B, 1st Lien | ||||||||||||
|
4.25% |
12/21/18 | 2 | 498,053 | 500,855 | ||||||||
| Equipower Resources Holdings LLC, Term Loan C, 1st Lien | ||||||||||||
|
4.25% |
12/21/19 | 2 | 1,492,502 | 1,500,711 | ||||||||
| Essential Power LLC, Term Loan B | ||||||||||||
|
4.25% |
08/08/19 | 2 | 884,583 | 858,045 | ||||||||
| FR Utility Services LLC, Term Loan B, 1st Lien | ||||||||||||
|
6.75% |
10/18/19 | 2 | 1,000,000 | 1,000,000 | ||||||||
| GIM Channelview Cogeneration LLC, Term Loan B, 1st Lien | ||||||||||||
|
4.25% |
05/02/20 | 2 | 1,482,525 | 1,495,497 | ||||||||
| La Frontera Generation LLC, Term Loan B, 1st Lien | ||||||||||||
|
4.50% |
09/30/20 | 2 | 2,335,326 | 2,363,794 | ||||||||
| LSP Madison Funding LLC, Term Loan | ||||||||||||
|
5.50% |
06/28/19 | 2 | 411,277 | 416,163 | ||||||||
| Topaz Power Holdings LLC, Term Loan, 1st Lien | ||||||||||||
|
5.25% |
02/26/20 | 2 | 497,487 | 497,798 | ||||||||
|
|
|
|||||||||||
| 11,248,527 | ||||||||||||
|
|
|
|||||||||||
| Energy — 16.77% | ||||||||||||
| Alinta Energy Finance Pty Ltd., Term Loan B, 1st Lien | ||||||||||||
|
6.38% |
08/07/19 | 2 | 936,250 | 939,368 | ||||||||
| Alinta Energy Finance Pty Ltd., Term Loan DD, 1st Lien | ||||||||||||
|
0.50% |
08/07/19 | 2 | 61,404 | 61,608 | ||||||||
| Atlas Energy LP, Term Loan B, 1st Lien | ||||||||||||
|
6.50% |
07/22/19 | 2 | 997,500 | 1,024,931 | ||||||||
| Chesapeake Energy Corp., Term Loan B, 1st Lien | ||||||||||||
|
5.75% |
12/02/17 | 2 | 1,500,000 | 1,533,645 | ||||||||
| Drillships Financing Holding, Term Loan B1, 1st Lien | ||||||||||||
|
6.00% |
02/17/21 | 2 | 498,750 | 510,845 | ||||||||
| EMG Utica LLC, Term Loan B, 1st Lien | ||||||||||||
|
4.75% |
03/27/20 | 2 | 1,100,000 | 1,106,875 | ||||||||
| Energy Transfer Equity LP, Term Loan, 1st Lien | ||||||||||||
|
3.25% |
11/15/19 | 2 | 1,500,000 | 1,497,375 | ||||||||
| EP Energy LLC, Term Loan B2, 1st Lien | ||||||||||||
|
4.50% |
04/30/19 | 2 | 187,500 | 188,203 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
100 / N-Q Report December 2013
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| BANK LOANS (continued) | ||||||||||||
| Gaming (continued) | ||||||||||||
| Caesars Entertainment Operating Co., Inc., Term Loan B5 | ||||||||||||
|
4.49% |
01/28/18 | 2 | $ | 308,538 | $ | 292,726 | ||||||
| CityCenter Holdings LLC, Term Loan B, 1st Lien | ||||||||||||
|
5.00% |
10/16/20 | 2 | 1,500,000 | 1,524,953 | ||||||||
| Golden Nugget, Inc., Delayed Draw Term Loan, 1st Lien | ||||||||||||
|
0.00% |
11/06/19 | 2 | 300,000 | 305,063 | ||||||||
| Golden Nugget, Inc., Term Loan B, 1st Lien | ||||||||||||
|
5.50% |
11/06/19 | 2 | 700,000 | 711,813 | ||||||||
| Las Vegas Sands LLC, Term Loan B, 1st Lien | ||||||||||||
|
3.25% |
12/16/20 | 2 | 1,000,000 | 1,000,835 | ||||||||
| Penn National Gaming, Inc., Term Loan B | ||||||||||||
|
0.00% |
10/30/20 | 2 | 30,000 | 30,094 | ||||||||
| Tropicana Entertainment, Inc., Term Loan, 1st Lien | ||||||||||||
|
4.00% |
11/26/20 | 2 | 997,500 | 999,744 | ||||||||
| Yonkers Racing Corp., Term Loan, 1st Lien | ||||||||||||
|
4.25% |
07/22/19 | 2 | 1,000,000 | 997,500 | ||||||||
|
|
|
|||||||||||
| 7,300,114 | ||||||||||||
|
|
|
|||||||||||
| Health Care — 4.92% | ||||||||||||
| Biomet, Inc., Term Loan B, 1st Lien | ||||||||||||
|
3.67% |
07/25/17 | 2 | 497,500 | 501,283 | ||||||||
| Carestream Health (Onex) LLC, Term Loan, 1st Lien | ||||||||||||
|
5.00% |
06/07/19 | 2 | 351,000 | 355,958 | ||||||||
| DJO Finance LLC/DJO Finance Corp., Term Loan B | ||||||||||||
|
4.75% |
09/15/17 | 2 | 284,947 | 288,480 | ||||||||
| Healogics, Inc., Term Loan, 1st Lien | ||||||||||||
|
5.25% |
02/05/19 | 2 | 785,319 | 792,925 | ||||||||
| Hologic, Inc., Term Loan B, 1st Lien | ||||||||||||
|
3.75% |
08/01/19 | 2 | 863,862 | 870,431 | ||||||||
| INC Research LLC, Term Loan | ||||||||||||
|
6.00% |
07/12/18 | 2 | 373,533 | 376,024 | ||||||||
| Kinetic Concepts, Inc., Term Loan D1 | ||||||||||||
|
4.50% |
05/04/18 | 2 | 415,133 | 417,987 | ||||||||
| Pharmaceutical Product Development, Inc., 2013 Term Loan | ||||||||||||
|
4.00% |
12/05/18 | 2 | 198,000 | 199,629 | ||||||||
| Salix Pharmaceuticals, Ltd., Term Loan B, 1st Lien | ||||||||||||
|
4.25% |
12/17/19 | 2 | 1,000,000 | 1,011,250 | ||||||||
| Surgery Center Holdings, Inc., Term Loan, 1st Lien | ||||||||||||
|
6.00% |
04/11/19 | 2 | 137,900 | 138,327 | ||||||||
| Surgical Care Affiliates, Inc., Term Loan C | ||||||||||||
|
4.25% |
06/29/18 | 2 | 497,500 | 501,231 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 101
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
102 / N-Q Report December 2013
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 103
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| U.S. AGENCY SECURITIES — 0.67% | ||||||||||||
| U.S. Agency Securities — 0.67% | ||||||||||||
| Freddie Mac | ||||||||||||
|
0.40% |
04/30/15 | $940,000 | $ | 940,844 | ||||||||
|
|
|
|||||||||||
|
Total U.S. Agency Securities
(Cost $940,000) |
||||||||||||
|
Total Bonds – 95.46%
(Cost $132,518,018) |
133,986,221 | |||||||||||
|
|
|
|||||||||||
| Issues |
Maturity
Date |
Principal
Amount/ Shares |
Value | |||||||||
| SHORT-TERM INVESTMENTS — 12.19% | ||||||||||||
| Commercial Paper — 0.65% | ||||||||||||
| Macquarie Bank Ltd. (Australia) | ||||||||||||
|
0.22% 5 |
02/25/14 | 3,4 | 920,000 | 919,760 | ||||||||
|
|
|
|||||||||||
| Money Market Funds — 2.34% | ||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio | ||||||||||||
|
0.05% 6 |
296,000 | 296,000 | ||||||||||
| Dreyfus Cash Advantage Fund | ||||||||||||
|
0.06% 6 |
1,407,000 | 1,407,000 | ||||||||||
| DWS Money Market Series Institutional Funds | ||||||||||||
|
0.05% 6 |
1,111,000 | 1,111,000 | ||||||||||
| Fidelity Institutional Money Market Funds - Prime Money Market Portfolio | ||||||||||||
|
0.01% 6 |
467,000 | 467,000 | ||||||||||
|
|
|
|||||||||||
| 3,281,000 | ||||||||||||
|
|
|
|||||||||||
| U.S. Agency Discount Notes — 9.20% | ||||||||||||
| Fannie Mae | ||||||||||||
|
0.06% 5 |
02/12/14 | 4,530,000 | 4,529,741 | |||||||||
| Federal Home Loan Bank | ||||||||||||
|
0.08% 5 |
02/21/14 | 3,880,000 | 3,879,783 | |||||||||
| Freddie Mac | ||||||||||||
|
0.07% 5 |
02/11/14 | 1,500,000 | 1,499,917 | |||||||||
|
0.07% 5 |
02/24/14 | 3,000,000 | 2,999,822 | |||||||||
|
|
|
|||||||||||
| 12,909,263 | ||||||||||||
|
|
|
|||||||||||
|
Total Short-Term Investments
(Cost $17,109,513) |
17,110,023 | |||||||||||
|
|
|
|||||||||||
|
Total Investments – 107.65%
(Cost $149,627,531) 1 |
151,096,244 | |||||||||||
|
|
|
|||||||||||
|
Liabilities in Excess of Other
Assets – (7.65%) |
(10,741,494 | ) | ||||||||||
|
|
|
|||||||||||
| Net Assets – 100.00% | $ | 140,354,750 | ||||||||||
|
|
|
|||||||||||
See accompanying notes to Schedule of Portfolio Investments.
104 / N-Q Report December 2013
Floating Rate Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $ 149,627,838 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 1,574,321 | ||
| Gross unrealized depreciation | (105,915 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 1,468,406 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 5 | Represents annualized yield at date of purchase. |
| 6 | Represents the current yield as of December 31, 2013. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(BKNT): Banker’s Note, Inc.
(MTN): Medium-term note
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 105
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
106 / N-Q Report December 2013
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 107
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
108 / N-Q Report December 2013
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 109
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| Non-Agency Mortgage-Backed (continued) | ||||||||||||
| Conseco Financial Corp., Series 1996-7, Class M1 | ||||||||||||
|
7.70% |
10/15/27 | 2 | $ | 956,464 | $ | 1,034,458 | ||||||
| Conseco Financial Corp., Series 1997-3, Class A7 | ||||||||||||
|
7.64% |
03/15/28 | 2 | 356,397 | 387,919 | ||||||||
| Conseco Financial Corp., Series 1998-3, Class A6 | ||||||||||||
|
6.76% |
03/01/30 | 2 | 746,972 | 798,365 | ||||||||
| Conseco Financial Corp., Series 1998-4, Class A6 | ||||||||||||
|
6.53% |
04/01/30 | 2 | 892,644 | 936,221 | ||||||||
| Conseco Financial Corp., Series 1998-4, Class A7 | ||||||||||||
|
6.87% |
04/01/30 | 2 | 442,010 | 472,658 | ||||||||
| Conseco Financial Corp., Series 1999-5, Class A5 | ||||||||||||
|
7.86% |
03/01/30 | 2 | 114,861 | 104,132 | ||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-BR4, Class A2C | ||||||||||||
|
0.46% |
05/25/37 | 2 | 2,262,447 | 1,412,173 | ||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2B (STEP) | ||||||||||||
|
4.94% |
02/25/37 | 1,767,647 | 1,293,330 | |||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2C (STEP) | ||||||||||||
|
4.94% |
02/25/37 | 583,690 | 427,017 | |||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A1 (STEP) | ||||||||||||
|
4.34% |
03/25/37 | 2,243,013 | 1,239,882 | |||||||||
| Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB3, Class A3 (STEP) | ||||||||||||
|
4.34% |
03/25/37 | 1,377,795 | 807,979 | |||||||||
| First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF18, Class A2B | ||||||||||||
|
0.28% |
12/25/37 | 2 | 1,208,361 | 719,717 | ||||||||
| First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF1, Class A2D | ||||||||||||
|
0.38% |
01/25/38 | 2 | 3,465,250 | 2,101,047 | ||||||||
| First Franklin Mortgage Loan Asset-Backed Certificates, Series 2007-FF2, Class A2B | ||||||||||||
|
0.26% |
03/25/37 | 2 | 1,228,346 | 743,222 | ||||||||
| GMAC Mortgage Corp. Loan Trust, Series 2006-AR1, Class 1A1 | ||||||||||||
|
3.90% |
04/19/36 | 2 | 1,010,528 | 867,864 | ||||||||
| Green Tree Home Improvement Loan Trust, Series 1995-D, Class B2 | ||||||||||||
|
7.45% |
09/15/25 | 28,381 | 28,379 | |||||||||
See accompanying notes to Schedule of Portfolio Investments.
110 / N-Q Report December 2013
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 111
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
112 / N-Q Report December 2013
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 113
Strategic Income Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $ 231,381,151 and net unrealized appreciation/(depreciation) consists of: |
| Gross unrealized appreciation | $ | 10,825,708 | ||
| Gross unrealized depreciation | (976,296 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 9,849,412 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $64,755, which is 0.03% of total net assets. |
| 6 | Non-income producing security. |
| 7 | Security is currently in default with regard to scheduled interest or principal payments. |
| 8 | Payment-in-kind (“PIK”) security. Income may be paid in additional securities or cash at the discretion of the issuer. |
| 9 | Represents the current yield as of December 31, 2013. |
| 10 | Inflation protected security. Principal amount reflects original security face amount. |
| 11 | Represents annualized yield at date of purchase. |
| 12 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $20,996. |
| † | Fair valued security. The aggregate value of fair valued securities is $4,902,302, which is 1.92% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure represents securities that are priced using a benchmark pricing system and securities that have been deemed permanently stale, see Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(IO): Interest only
(MTN): Medium-term note
(PIK): Payment in kind
(STEP): Step coupon bond
(TBA): To be announced
(WI): When issued
See accompanying notes to Schedule of Portfolio Investments.
114 / N-Q Report December 2013
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 115
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
116 / N-Q Report December 2013
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 117
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Issues |
Maturity
Date |
Principal
Amount |
Value | |||||||||
| MORTGAGE-BACKED (continued) | ||||||||||||
| U.S. Agency Mortgage-Backed (continued) | ||||||||||||
| Fannie Mae, Series 2010-109, Class PF | ||||||||||||
|
0.56% |
10/25/40 | 2 | $25,627 | $ | 25,749 | |||||||
| Fannie Mae, Series G-36, Class ZB | ||||||||||||
|
7.00% |
11/25/21 | 1,696 | 1,946 | |||||||||
| Freddie Mac REMICS, Series 2581, Class F | ||||||||||||
|
0.62% |
12/15/32 | 2 | 14,482 | 14,514 | ||||||||
| Freddie Mac REMICS, Series 2684, Class F | ||||||||||||
|
1.07% |
01/15/33 | 2 | 27,855 | 28,393 | ||||||||
| Freddie Mac REMICS, Series 3831, Class PV | ||||||||||||
|
5.00% |
05/15/25 | 60,797 | 65,987 | |||||||||
|
Freddie Mac Strips, Series 263,
Class F5 |
||||||||||||
|
0.67% |
06/15/42 | 2 | 51,662 | 51,826 | ||||||||
| Freddie Mac, Series 3501, Class JA | ||||||||||||
|
4.00% |
04/15/37 | 42,791 | 44,105 | |||||||||
| Freddie Mac-Ginnie Mae, Series 2, Class L | ||||||||||||
|
8.00% |
11/25/22 | 7,209 | 7,765 | |||||||||
|
NCUA Guaranteed Notes, Series
2010-R1, Class 1A |
||||||||||||
|
0.62% |
10/07/20 | 2 | 60,794 | 61,121 | ||||||||
|
NCUA Guaranteed Notes, Series
2010-R3, Class 1A |
||||||||||||
|
0.73% |
12/08/20 | 2 | 52,732 | 53,303 | ||||||||
|
NCUA Guaranteed Notes, Series
2011-R5, Class 1A |
||||||||||||
|
0.55% |
04/06/20 | 2 | 41,617 | 41,706 | ||||||||
|
|
|
|||||||||||
| 682,975 | ||||||||||||
|
|
|
|||||||||||
| Total Mortgage-Backed | ||||||||||||
| (Cost $2,045,388) | 2,077,511 | |||||||||||
|
|
|
|||||||||||
| MUNICIPAL BONDS — 1.02%* | ||||||||||||
| California — 0.69% | ||||||||||||
| State of California, Taxable, Various Purpose | ||||||||||||
|
4.85% |
10/01/14 | 50,000 | 51,595 | |||||||||
|
|
|
|||||||||||
| Illinois — 0.33% | ||||||||||||
| State of Illinois, Taxable Bonds | ||||||||||||
|
4.07% |
01/01/14 | 25,000 | 25,000 | |||||||||
|
|
|
|||||||||||
| Total Municipal Bonds | ||||||||||||
| (Cost $75,351) | 76,595 | |||||||||||
|
|
|
|||||||||||
| U.S. AGENCY SECURITIES — 6.49% | ||||||||||||
| Fannie Mae | ||||||||||||
|
0.50% |
10/22/15 | 30,000 | 30,051 | |||||||||
|
0.50% |
01/15/16 | 65,000 | 64,966 | |||||||||
|
0.50% |
01/29/16 | 65,000 | 65,000 | |||||||||
|
0.62% |
05/23/16 | 65,000 | 64,907 | |||||||||
| Federal Home Loan Bank | ||||||||||||
|
0.22% |
10/07/15 | 2 | 30,000 | 30,010 | ||||||||
See accompanying notes to Schedule of Portfolio Investments.
118 / N-Q Report December 2013
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
| Contracts |
Unrealized Appreciation |
|||||||
| FUTURES CONTRACTS: LONG POSITIONS | ||||||||
| 1 | S&P 500 E Mini Index, | |||||||
| Expiration March 2014 | $3,410 | |||||||
| 5 | S&P 500 Index, | |||||||
| Expiration March 2014 | 85,529 | |||||||
|
|
||||||||
|
Net unrealized appreciation |
$88,939 | |||||||
|
|
||||||||
See accompanying notes to Schedule of Portfolio Investments.
N-Q Report December 2013 / 119
AlphaTrak 500 Fund
Schedule of Portfolio Investments
December 31, 2013 (Unaudited)
Notes:
| 1 | Cost for federal income tax purposes is $7,360,378 and net unrealized appreciation/ (depreciation) consists of: |
| Gross unrealized appreciation | $ | 246,472 | ||
| Gross unrealized depreciation | (195,610 | ) | ||
|
|
|
|||
|
Net unrealized appreciation |
$ | 50,862 | ||
|
|
|
| 2 | Floating rate security. The rate disclosed was in effect at December 31, 2013. |
| 3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
| 4 | U.S. dollar-denominated security issued by foreign-domiciled entity. |
| 5 | Illiquid security as determined under procedures approved by the Fund’s Board of Trustees. The aggregate value of illiquid securities is $152,585, which is 2.04% of total net assets. |
| 6 | Inflation protected security. Principal amount reflects original security face amount. |
| 7 | Represents the current yield as of December 31, 2013. |
| 8 | Represents annualized yield at date of purchase. |
| 9 | Zero coupon bond. The rate shown is the effective yield as of December 31, 2013. |
| 10 | Securities, or a portion thereof, pledged as collateral for futures. The total market value of collateral pledged is $114,985. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
Note: For Fund compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications for more meaningful presentation for investors.
(AGM): Assurance Guaranty Municipal Corp. (formerly known as FSA
(Financial Security Assurance, Inc.))
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium-term note
(STEP): Step coupon bond
(USD): U.S. dollar
See accompanying notes to Schedule of Portfolio Investments.
120 / N-Q Report December 2013
Notes to Financial Statements (Unaudited)
December 31, 2013
| 1. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds:
Net Asset Value:
The Net Asset Value of each Fund’s shares is determined by dividing the net assets attributable to each class of shares of the Fund by the number of issued and outstanding shares of the Class/Fund on each business day as of 4 p.m. ET.
Security Valuation:
Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors or broker quotes.The Funds receive pricing information from independent pricing vendors approved by the Board ofTrustees (the “Board”). Securities with a demand feature exercisable within one to seven days are valued at par.The Funds also use a benchmark pricing system to the extent vendors’ prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy composed of a relevant security (i.e., U.S.Treasury Note) or benchmark (e.g., LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark.The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities which mature in less than 60 days are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 Index futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by theAdviser under guidelines established by and under the general supervision and responsibility of the Board.
Investments in registered open-ended investment companies, including those classified as money market funds, are valued based upon the reported net asset value of such investments.
Fair value methods used by the Board include, but are not limited to, obtaining market quotations from secondary pricing services, broker-dealers, or widely used quotation systems. General factors considered in determining the fair value of securities include fundamental analytical data, the nature and duration of any restrictions on disposition of the securities, and an evaluation of the forces that influenced the market in which the investments are purchased and sold. These securities are either categorized as Level 2 or 3 depending on the relevant inputs used. In the event that the security or asset cannot be valued pursuant to one of the valuation methods established by the Board, the value of the security or asset will be determined in good faith by the Pricing Committee of the Board, generally based upon recommendation provided by MetropolitanWest (“MetWest”). When the Fund uses these fair valuation methods applied by MetWest that use significant unobservable inputs to determine its NAV, securities will be priced by a method that the Board or persons acting at their direction believe accurately reflect fair value and are categorized as Level 3 of the fair value hierarchy. These methods may require subjective determinations about the value of a security. While the Fund’s policy is intended to result in a calculation of the Fund’s NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Board or persons acting at their direction would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.
Foreign Currency Translation:
The books and records of each Fund are maintained in U.S. dollars as follows: (1) the foreign currency market value of investment securities, and other assets and liabilities stated in foreign currencies, are translated using the daily spot rate; and (2) purchases, sales, income and expenses are translated at the rate of exchange prevailing on the respective dates of such transactions. The resultant exchange gains and losses are included in net realized or net unrealized gain (loss) in the statements of operations. Pursuant to U.S. federal income tax regulations, certain foreign exchange gains and losses included in realized and unrealized gains and losses are reclassified to ordinary income for federal income tax purposes.
N-Q Report December 2013 / 121
Notes to Financial Statements (Unaudited) (Continued)
Foreign Taxes:
The Funds may be subject to withholding taxes on income and capital gains imposed by certain countries in which they invest. The withholding tax on income is netted against the income accrued or received. Any reclaimable taxes are recorded as income. The withholding tax on realized or unrealized gain is recorded as a liability.
Securities and Derivatives Transactions and Investment Income:
Securities transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in, first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts, including original issue discount, and premiums on securities are amortized using the interest method.
Distributions to Shareholders:
Distributions to shareholders are recorded on the ex-dividend date. The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders.TheAlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders.Therefore, no federal income tax provision is required.
Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America (“GAAP”). Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
Management has analyzed the Funds’ tax positions taken on federal income tax returns for all open tax years (current and prior three tax years), and has concluded that no provision for federal income tax is required in the Funds’ financial statements. The Funds are subject to examination by U.S. federal and state tax authorities for returns files for the prior three and four fiscal years, respectively.
As of and during the period ended December 31, 2013, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.
Recent Accounting Pronouncements:
In June 2013, the Financial Accounting Standards Board (the “FASB”) issued guidance that creates a two-tiered approach to assess whether an entity is an investment company. The guidance will also require an investment company to measure non-controlling ownership interests in other investment companies at fair value and will require additional disclosures relating to investment company status, any changes thereto and information about financial support provided or contractually required to be provided to any of the investment company’s investees. The guidance is effective for financial statements with fiscal years beginning on or after December 15, 2013 and interim periods within those fiscal years. Management is evaluating the impact of this guidance on the Fund’s financial statement disclosures.
Cash and cash equivalents:
The Trust has defined cash and cash equivalents as cash which can be in interest-bearing accounts. The Funds also maintain cash in bank account deposits that, at times, may exceed federally insured limits. The Funds have not experienced any losses in any such accounts.
Use of estimates:
The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
122 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
Fair Value Measurements:
Various inputs are used in determining the fair value of investments, which are as follows:
* Level 1 - unadjusted quoted prices in active markets for identical securities
* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
* Level 3 - significant unobservable inputs that are not corroborated by observable market data
The inputs or methodology used for valuing investments are not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.
In periods of market dislocation, the observability of prices and inputs may be reduced for many instruments. This condition, as well as changes related to liquidity of investments, could cause a security to be reclassified between Level 1, Level 2, or Level 3.
In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.
Money market funds. Money market funds are open-ended mutual funds that invest in short-term debt securities To the extent that these funds are valued based upon the reported net asset value, they are categorized in Level 1 of the fair value hierarchy.
Short-term investments. Short-term investments (commercial paper and repurchase agreements) having a maturity of 60 days or less generally are valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
Equity securities. Securities are generally valued based on quoted prices from the applicable exchange. To the extent these securities are actively traded, valuation adjustments are not applied and they are categorized in Level 1 of the fair value hierarchy. Restricted securities issued by publicly held companies are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3. Restricted securities held in non-public entities are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable.
Corporate bonds. The fair value of corporate bonds is estimated using recently executed transactions, market price quotations (where observable), bond spreads, or credit default swap spreads adjusted for any basis difference between cash and derivative instruments. Corporate bonds are generally categorized in Level 2 of the fair value hierarchy; in instances where prices, spreads, or any of the other aforementioned key inputs are unobservable, they are categorized in Level 3 of the hierarchy.
Asset-backed securities and mortgage-backed securities. The fair value of asset-backed securities and mortgage-backed securities is estimated based on models that consider the estimated cash flows of each debt tranche of the issuer, establish a benchmark yield, and develop an estimated tranche specific spread to the benchmark yield based on the unique attributes of the tranche including, but not limited to, the prepayment speed assumptions and attributes of the collateral. To the extent the inputs are observable and timely, the values would be categorized in Level 2 of the fair value hierarchy, otherwise they would be categorized as Level 3.
Bank loans. The fair value of bank loans is estimated using recently executed transactions, market price quotations, credit/market events, and cross-asset pricing. Inputs are generally observable market inputs obtained from independent sources . Bank Loans are generally categorized in Level 2 of the fair value hierarchy, unless key inputs are unobservable which would then be in Level 3.
Municipal bonds. Municipal bonds are fair valued based on pricing models that take into account, among other factors, information received from market makers and broker-dealers, current trades, bid-want lists, offerings, market movements, the callability of the bond, state of issuance, benchmark yield curves, and bond insurance. To the extent that these inputs are observable and timely, the fair values of municipal bonds would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
N-Q Report December 2013 / 123
Notes to Financial Statements (Unaudited) (Continued)
U.S. and Foreign government and agency securities. U.S. and Foreign government and agency securities are normally valued using a model that incorporates market observable data such as reported sales of similar securities, broker quotes, yields, bids, offers, quoted market prices, and reference data. Some government securities are actively traded and transparent in the market place. As such, they can be level 1. Other government and agencies securities are quoted based in similar securities and yields and therefore, would be in level 2.
Restricted securities. Restricted securities that are deemed to be both Rule 144A securities and illiquid, as well as restricted securities held in non-public entities, are included in Level 3 of the fair value hierarchy because they trade infrequently, and, therefore, the inputs are unobservable. Any other restricted securities are valued at a discount to similar publicly traded securities and may be categorized as Level 2 of the fair value hierarchy to the extent that the discount is considered to be insignificant to the fair value measurement in its entirety, otherwise they may be categorized as Level 3.
Foreign currency contracts. The fair value of foreign currency contracts are derived from indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or by pricing service providers. Depending on the product and the terms of the transaction, the value of financial derivatives can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as indices and exchange rates. Foreign currency contracts are categorized as Level 2 of the fair value hierarchy.
Futures contracts. Futures contracts and options on futures contracts are traded on commodity exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied to futures contracts, they are categorized as Level 1. To the extent that valuation adjustments are observable and timely, the fair values of futures contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Options and Swaptions contracts. Exchange listed options contracts are traded on securities exchanges and are fair valued based on quoted prices from the applicable exchange, and to the extent valuation adjustments are not applied or mean variation to exchange listed options contracts, they are categorized as Level 1. If valuation adjustments are applied and such adjustments are observable and timely, the fair values of exchange listed options contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3. Options and swaptions contracts traded over the counter (“OTC”) are fair valued based on pricing models and incorporate various inputs such as interest rates, credit spreads, currency exchange rates and volatility measurements for in-the-money, at-the-money, and out-of-the-money contracts based on a given strike price. To the extent that these inputs are observable and timely, the fair values of OTC options and swaptions contracts would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Interest rate swaps. Interest rate swaps are fair valued using pricing models that are based on real-time intraday snap shots of relevant interest rate curves that are built using the most actively traded securities for a given maturity. The pricing models also incorporate cash and money market rates. In addition, market data pertaining to interest rate swaps are monitored regularly to ensure that interest rates are properly depicting the current market rate. To the extent that these inputs are observable and timely, the fair values of interest rate swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Credit default swaps. Credit default swaps are fair valued using pricing models that take into account, among other factors, information received from market makers and broker-dealers, default probabilities from index specific credit spread curves, recovery rates, and cash flows. To the extent that these inputs are observable and timely, the fair values of credit default swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
Total return swaps. Total return swaps are fair valued using pricing models that take into account among other factors, index spread curves, nominal values, modified duration values and cash flows. To the extent that these inputs are observable and timely, the fair values of total return swaps would be categorized as Level 2; otherwise the fair values would be categorized as Level 3.
As of December 31, 2013, Level 3 securities consist of certain asset-backed securities, bank loans, collateralized mortgage obligations and corporate bonds.
124 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
The summary of inputs used to value each Fund’s net assets as of December 31, 2013 is as follows:
|
ULTRA SHORT BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 1,499,850 | $ | – | $ | 1,499,850 | ||||||||||||||||
|
Money Market Funds |
2,173,000 | – | – | 2,173,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 1,099,929 | – | 1,099,929 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 2,187,694 | – | 2,187,694 | ||||||||||||||||||||
|
Bank Loans |
– | 640,171 | – | 640,171 | ||||||||||||||||||||
|
Corporates |
– | 24,295,894 | – | 24,295,894 | ||||||||||||||||||||
|
Foreign Government Obligations |
– | 644,922 | – | 644,922 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 133,410,699 | 77,524 | 133,488,223 | ||||||||||||||||||||
|
Municipal Bonds |
– | 1,232,289 | – | 1,232,289 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 7,293,188 | – | 7,293,188 | ||||||||||||||||||||
|
U.S. Treasury Securities |
11,597,102 | – | – | 11,597,102 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 13,770,102 | $ | 172,304,636 | $ | 77,524 | $ | 186,152,262 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
LOW DURATION BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 48,146,092 | $ | – | $ | 48,146,092 | ||||||||||||||||
|
Money Market Funds |
67,605,000 | – | – | 67,605,000 | ||||||||||||||||||||
|
Repurchase Agreements |
– | 88,000,000 | – | 88,000,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 192,396,076 | – | 192,396,076 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 333,908,919 | – | 333,908,919 | ||||||||||||||||||||
|
Bank Loans |
– | 38,086,898 | – | 38,086,898 | ||||||||||||||||||||
|
Corporates |
– | 672,062,497 | 813,450 | 672,875,947 | ||||||||||||||||||||
|
Foreign Government Obligations |
– | 18,066,752 | – | 18,066,752 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 1,577,557,875 | 5,240,700 | 1,582,798,575 | ||||||||||||||||||||
|
Municipal Bonds |
– | 28,769,285 | – | 28,769,285 | ||||||||||||||||||||
|
Purchased Swaptions |
– | 1,067,008 | – | 1,067,008 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 146,367,645 | – | 146,367,645 | ||||||||||||||||||||
|
U.S. Treasury Securities |
184,547,901 | – | – | 184,547,901 | ||||||||||||||||||||
|
Other Financial Instruments * |
||||||||||||||||||||||||
|
Liabilities: |
||||||||||||||||||||||||
|
Interest rate contracts |
– | (11,088) | – | (11,088) | ||||||||||||||||||||
|
Written swaptions |
– | (667,841) | – | (667,841) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 252,152,901 | $ | 3,143,750,118 | $ | 6,054,150 | $ | 3,401,957,169 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*Other financial instruments include swaptions and written swaptions. Interest rate contracts include swaptions.
N-Q Report December 2013 / 125
Notes to Financial Statements (Unaudited) (Continued)
|
INTERMEDIATE BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 7,038,689 | $ | – | $ | 7,038,689 | ||||||||||||||||
|
Money Market Funds |
8,831,000 | – | – | 8,831,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 56,681,996 | – | 56,681,996 | ||||||||||||||||||||
|
U.S. Treasury Bills |
50,994 | – | – | 50,994 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 26,872,400 | – | 26,872,400 | ||||||||||||||||||||
|
Bank Loans |
– | 741,885 | – | 741,885 | ||||||||||||||||||||
|
Corporates |
– | 87,420,871 | – | 87,420,871 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 181,750,657 | – | 181,750,657 | ||||||||||||||||||||
|
Municipal Bonds |
– | 5,227,015 | – | 5,227,015 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 15,440,302 | – | 15,440,302 | ||||||||||||||||||||
|
U.S. Treasury Securities |
82,214,997 | – | – | 82,214,997 | ||||||||||||||||||||
|
Other Financial Instruments * |
||||||||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Interest rate contracts |
75,092 | 197,386 | – | 272,478 | ||||||||||||||||||||
|
Liabilities: |
||||||||||||||||||||||||
|
Interest rate contracts |
– | (1,309) | – | (1,309) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 91,172,083 | $ | 381,369,892 | $ | – | $ | 472,541,975 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*Other financial instruments include futures, swap contracts and swaptions. Interest rate contracts include futures, interest rate swaps and swaptions.
126 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
|
TOTAL RETURN BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 369,750,531 | $ | – | $ | 369,750,531 | ||||||||||||||||
|
Money Market Funds |
459,168,000 | – | – | 459,168,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 461,086,767 | – | 461,086,767 | ||||||||||||||||||||
|
U.S. Treasury Bills |
11,789,615 | – | – | 11,789,615 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 1,587,906,100 | 67,628,219 | 1,655,534,319 | ||||||||||||||||||||
|
Bank Loans |
– | 161,427,150 | – | 161,427,150 | ||||||||||||||||||||
|
Common Stock |
27,012,976 | – | – | 27,012,976 | ||||||||||||||||||||
|
Corporates |
– | 4,394,341,764 | 1,708,500 | 4,396,050,264 | ||||||||||||||||||||
|
Foreign Government Obligations |
– | 78,913,706 | – | 78,913,706 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 12,319,730,069 | 35,329,841 | 12,355,059,910 | ||||||||||||||||||||
|
Municipal Bonds |
– | 461,424,972 | – | 461,424,972 | ||||||||||||||||||||
|
Purchased Swaptions |
– | 67,291,880 | – | 67,291,880 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 169,346,297 | – | 169,346,297 | ||||||||||||||||||||
|
U.S. Treasury Securities |
7,565,756,770 | – | – | 7,565,756,770 | ||||||||||||||||||||
|
Other Financial Instruments * |
||||||||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Interest rate contracts |
4,204,602 | 103,339,846 | – | 107,544,448 | ||||||||||||||||||||
|
Liabilities: |
||||||||||||||||||||||||
|
Credit contracts |
– | (453,680) | – | (453,680) | ||||||||||||||||||||
|
Interest rate contracts |
(12,438,463) | (54,456,459) | – | (66,894,922) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 8,055,493,500 | $ | 20,119,648,943 | $ | 104,666,560 | $ | 28,279,809,003 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*Other financial instruments include futures, swap contracts and swaptions. Credit contracts include credit default swaps. Interest rate contracts include futures, interest rate swaps and swaptions.
|
HIGH YIELD BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 19,994,767 | $ | – | $ | 19,994,767 | ||||||||||||||||
|
Money Market Funds |
45,944,000 | – | – | 45,944,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 99,436,488 | – | 99,436,488 | ||||||||||||||||||||
|
U.S. Treasury Bills |
5,999 | – | – | 5,999 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 31,570,883 | – | 31,570,883 | ||||||||||||||||||||
|
Bank Loans |
– | 268,404,361 | – | * | 268,404,361 | |||||||||||||||||||
|
Common Stock |
16,262,807 | – | – | 16,262,807 | ||||||||||||||||||||
|
Corporates |
– | 1,765,847,756 | 62,625 | 1,765,910,381 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 415,488 | 1 | 415,489 | ||||||||||||||||||||
|
Preferred Stock |
– | 5,932,380 | – | 5,932,380 | ||||||||||||||||||||
|
U.S. Treasury Securities |
6,431,759 | – | – | 6,431,759 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 68,644,565 | $ | 2,191,602,123 | $ | 62,626 | $ | 2,260,309,314 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*As of December31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
N-Q Report December 2013 / 127
Notes to Financial Statements (Unaudited) (Continued)
|
UNCONSTRAINED BOND FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 7,043,698 | $ | – | $ | 7,043,698 | ||||||||||||||||
|
Money Market Funds |
12,852,000 | – | – | 12,852,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 92,401,852 | – | 92,401,852 | ||||||||||||||||||||
|
U.S. Treasury Bills |
758,908 | – | – | 758,908 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 93,433,457 | – | 93,433,457 | ||||||||||||||||||||
|
Bank Loans |
– | 2,345,935 | – | 2,345,935 | ||||||||||||||||||||
|
Common Stock |
3,152,275 | – | – | 3,152,275 | ||||||||||||||||||||
|
Corporates |
– | 142,663,799 | – | 142,663,799 | ||||||||||||||||||||
|
Foreign Government Obligations |
– | 4,176,479 | – | 4,176,479 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 248,508,501 | 98,856 | 248,607,357 | ||||||||||||||||||||
|
Municipal Bonds |
– | 11,259,023 | – | 11,259,023 | ||||||||||||||||||||
|
Mutual Funds |
2,865,997 | – | – | 2,865,997 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 17,049,857 | – | 17,049,857 | ||||||||||||||||||||
|
U.S. Treasury Securities |
7,233,618 | – | – | 7,233,618 | ||||||||||||||||||||
|
Other Financial Instruments * |
||||||||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Credit contracts |
– | 58,644 | – | 58,644 | ||||||||||||||||||||
|
Interest rate contracts |
1,226,930 | – | – | 1,226,930 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 28,089,728 | $ | 618,941,245 | $ | 98,856 | $ | 647,129,829 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*Other financial instruments include swap contracts and futures. Credit contracts include credit default swaps. Interest rate contracts include futures.
|
FLOATING RATE INCOME FUND *
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 919,760 | $ | – | $ | 919,760 | ||||||||||||||||
|
Money Market Funds |
3,281,000 | – | – | 3,281,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 12,909,263 | – | 12,909,263 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Bank Loans |
– | 113,264,573 | – | 113,264,573 | ||||||||||||||||||||
|
Corporates |
– | 19,206,514 | – | 19,206,514 | ||||||||||||||||||||
|
Municipal Bonds |
– | 574,290 | – | 574,290 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 940,844 | – | 940,844 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 3,281,000 | $ | 147,815,244 | $ | – | $ | 151,096,244 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*The Floating Rate Income Fund commenced operations on June 28, 2013.
128 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
|
STRATEGIC INCOME FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Commercial Paper |
$ | – | $ | 4,364,198 | $ | – | $ | 4,364,198 | ||||||||||||||||
|
Money Market Funds |
5,109,000 | – | – | 5,109,000 | ||||||||||||||||||||
|
U.S. Agency Discount Notes |
– | 29,483,892 | – | 29,483,892 | ||||||||||||||||||||
|
U.S. Treasury Bills |
20,996 | – | – | 20,996 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 38,535,495 | 2,062,532 | 40,598,027 | ||||||||||||||||||||
|
Bank Loans |
– | 1,883,754 | – * | 1,883,754 | ||||||||||||||||||||
|
Common Stock |
1,557,910 | – | – | 1,557,910 | ||||||||||||||||||||
|
Corporates |
– | 23,037,900 | – | 23,037,900 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 120,381,638 | 400 | 120,382,038 | ||||||||||||||||||||
|
Mutual Funds |
1,299,225 | – | – | 1,299,225 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 1,029,106 | – | 1,029,106 | ||||||||||||||||||||
|
U.S. Treasury Securities |
12,464,517 | – | – | 12,464,517 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 20,451,648 | $ | 218,715,983 | $ | 2,062,932 | $ | 241,230,563 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*As of December 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
|
ALPHATRAK 500 FUND
|
LEVEL 1
|
LEVEL 2
|
LEVEL 3
|
TOTAL
|
||||||||||||||||||||
|
Investments in Securities |
||||||||||||||||||||||||
|
Assets |
||||||||||||||||||||||||
|
Short-Term Investments: |
||||||||||||||||||||||||
|
Money Market Funds |
$ | 146,000 | $ | – | $ | – | $ | 146,000 | ||||||||||||||||
|
U.S. Agency Discount Notes |
– | 1,989,934 | – | 1,989,934 | ||||||||||||||||||||
|
U.S. Treasury Bills |
289,971 | – | – | 289,971 | ||||||||||||||||||||
|
Long-Term Investments: |
||||||||||||||||||||||||
|
Asset-Backed Securities |
– | 476,258 | – | 476,258 | ||||||||||||||||||||
|
Corporates |
– | 1,253,008 | 40,800 | 1,293,808 | ||||||||||||||||||||
|
Mortgage-Backed |
– | 1,965,726 | 111,785 | 2,077,511 | ||||||||||||||||||||
|
Municipal Bonds |
– | 76,595 | – | 76,595 | ||||||||||||||||||||
|
U.S. Agency Securities |
– | 484,737 | – | 484,737 | ||||||||||||||||||||
|
U.S. Treasury Securities |
576,426 | – | – | 576,426 | ||||||||||||||||||||
|
Other Financial Instruments * |
||||||||||||||||||||||||
|
Assets: |
||||||||||||||||||||||||
|
Equity contracts |
214,204 | – | – | 214,204 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
|
Total |
$ | 1,226,601 | $ | 6,246,258 | $ | 152,585 | $ | 7,625,444 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||||
*Other financial instruments include total return swap contracts and futures. Equity contracts include total return swaps and futures.
N-Q Report December 2013 / 129
Notes to Financial Statements (Unaudited) (Continued)
Certain of the Fund’s investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are unobservable.A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.
There were no financial assets transferred between levels for the period ended December 31, 2013.
For the period ended December 31, 2013, a reconciliation of level 3 investments is presented when the Fund had a significant amount of 1evel 3 investments at the beginning and/or end of the period in relation to net assets. The following tables are a reconciliation of level 3 investments for which significant unobservable inputs were used in determining fair value:
|
ULTRA SHORT BOND FUND
|
MORTGAGE-BACKED
|
||||||
|
Balance as of April 1, 2013 |
$ | 71,286 | |||||
|
Realized (loss) |
(9,857 | ) | |||||
|
Change in unrealized appreciation * |
16,095 | ||||||
|
Purchases |
– | ||||||
|
Sales |
– | ||||||
|
Transfers into Level 3 ** |
– | ||||||
|
Transfers out of Level 3 ** |
– | ||||||
|
|
|
||||||
|
Balance as of December 31, 2013 |
$ | 77,524 | |||||
|
|
|
||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $16,095 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
|
LOW DURATION BOND FUND
|
ASSET-BACKED
|
CORPORATES
|
MORTGAGE-BACKED
|
||||||||||||||
|
Balance as of April 1, 2013 |
$ | 4,160,478 | $ | 813,450 | $ | 3,839,878 | |||||||||||
|
Accrued discounts/premiums |
– | 69 | – | ||||||||||||||
|
Realized gain/(loss) |
23 | – | (173,236 | ) | |||||||||||||
|
Change in unrealized appreciation/ (depreciation) * |
(1,416 | ) | (69 | ) | 1,574,058 | ||||||||||||
|
Purchases |
– | – | – | ||||||||||||||
|
Sales |
(4,159,085 | ) | – | – | |||||||||||||
|
Transfers into Level 3 ** |
– | – | – | ||||||||||||||
|
Transfers out of Level 3 ** |
– | – | – | ||||||||||||||
|
|
|
|
|
|
|
||||||||||||
|
Balance as of December
|
$ | – | $ | 813,450 | $ | 5,240,700 | |||||||||||
|
|
|
|
|
|
|
||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $1,572,573 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
130 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
|
TOTAL RETURN BOND FUND
|
ASSET-BACKED
|
BANK
|
CORPORATES
|
MORTGAGE-BACKED
|
||||||||||||||||||
|
Balance as of April 1, 2013 |
$ | 109,382,430 | $ | 15,347,377 | $ | 3,063,625 | $ | 42,639,350 | ||||||||||||||
|
Accrued discounts/premiums |
125 | 18,666 | 5,178 | – | ||||||||||||||||||
|
Realized (loss) |
(2,900,469 | ) | (1,359,850 | ) | – | (5,425,138 | ) | |||||||||||||||
|
Change in unrealized appreciation/(depreciation) * |
(142,001 | ) | (135,998 | ) | 536,872 | (1,884,371 | ) | |||||||||||||||
|
Purchases |
– | – | – | – | ||||||||||||||||||
|
Sales |
(38,711,866 | ) | (13,870,195 | ) | (1,897,175 | ) | – | |||||||||||||||
|
Transfers into Level 3 ** |
– | – | – | |||||||||||||||||||
|
Transfers out of Level 3 ** |
– | – | – | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
|
Balance as of December 31, 2013 |
$ | 67,628,219 | $ | – | $ | 1,708,500 | $ | 35,329,841 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $(1,512,863) and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
|
HIGH YIELD BOND FUND
|
BANK
|
CORPORATE
|
MORTGAGE-BACKED
|
||||||||||||||
|
Balance as of April 1, 2013 |
$ | 3,836,574 | *** | $ | 658,775 | $ | 29 | ||||||||||
|
Realized (loss) |
(3,802,577 | ) | (542,167) | – | |||||||||||||
|
Change in unrealized appreciation/(depreciation) * |
(33,997 | ) | 238,460 | (28 | ) | ||||||||||||
|
Purchases |
– | – | – | ||||||||||||||
|
Sales |
– | (292,443) | – | ||||||||||||||
|
Transfers into Level 3 ** |
– | – | |||||||||||||||
|
Transfers out of Level 3 ** |
– | – | |||||||||||||||
|
|
|
|
|
|
|
||||||||||||
|
Balance as of December 31, 2013 |
$ | – | *** | $ | 62,625 | $ | 1 | ||||||||||
|
|
|
|
|
|
|
||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $204,435 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
*** As of December 31, 2013 and March 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
N-Q Report December 2013 / 131
Notes to Financial Statements (Unaudited) (Continued)
|
UNCONSTRAINED BOND FUND
|
ASSET-BACKED
|
MORTGAGE-BACKED SECURITIES
|
||||||||||||||||
|
Balance as of April 1, 2013 |
$ | 703,410 | $ | 118,466 | ||||||||||||||
|
Realized (loss) |
(42,204 | ) | (13,599 | ) | ||||||||||||||
|
Change in unrealized (depreciation) * |
(420 | ) | (6,011 | ) | ||||||||||||||
|
Purchases |
— | — | ||||||||||||||||
|
Sales |
(660,786 | ) | — | |||||||||||||||
|
Transfers into Level 3 ** |
— | — | ||||||||||||||||
|
Transfers out of Level 3 ** |
— | — | ||||||||||||||||
|
|
|
|
|
|||||||||||||||
|
Balance as of December 31, 2013 |
$ | — | $ | 98,856 | ||||||||||||||
|
|
|
|
|
|||||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $0 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
|
STRATEGIC INCOME FUND
|
ASSET-BACKED
|
BANK
|
CORPORATES
|
MORTGAGE-BACKED
|
PREFERRED
|
||||||||||||||||||||||
|
Balance as of April 1, 2013 |
$ | 3,327,677 | $ | – | *** | $ | 29,375 | $ | 353 | $ | 1 | ||||||||||||||||
|
Realized (loss) |
(361,471 | ) | – | (26,715 | ) | – | – | ||||||||||||||||||||
|
Change in unrealized appreciation/ (depreciation) * |
(20,619 | ) | – | 11,750 | 84 | 2,892 | |||||||||||||||||||||
|
Purchases |
– | – | – | – | – | ||||||||||||||||||||||
|
Sales |
(883,055 | ) | – | (14,410 | ) | (37 | ) | (2,893 | ) | ||||||||||||||||||
|
Transfers into Level 3 ** |
– | – | – | – | – | ||||||||||||||||||||||
|
Transfers out of Level 3 ** |
– | – | – | – | – | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
|
Balance as of December 31, 2013 |
$ | 2,062,532 | $ | – | *** | $ | – | $ | 400 | $ | – | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $0 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
*** As of December 31, 2013 and March 31, 2013, Boston Generating LLC, Term Loan 1st Lien had a $0 market value.
132 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
|
ALPHATRAK 500 FUND
|
CORPORATES
|
MORTGAGE-BACKED SECURITIES
|
||||||||||||||||
|
Balance as of April 1, 2013 |
$ | 40,800 | $ | 102,790 | ||||||||||||||
|
Realized (loss) |
– | (14,436 | ) | |||||||||||||||
|
Change in unrealized appreciation * |
– | 23,431 | ||||||||||||||||
|
Purchases |
– | – | ||||||||||||||||
|
Sales |
– | – | ||||||||||||||||
|
Transfers into Level 3 ** |
– | – | ||||||||||||||||
|
Transfers out of Level 3 ** |
– | – | ||||||||||||||||
|
|
|
|
|
|||||||||||||||
|
Balance as of December 31, 2013 |
$ | 40,800 | $ | 111,785 | ||||||||||||||
|
|
|
|
|
|||||||||||||||
* The change in unrealized appreciation/(depreciation) on securities still held at December 31, 2013 was $23,431 and is included in the related realized gains/(losses) and net change in appreciation/(depreciation) in the statements of operations.
** Transfers into and transfers out of level 3 represent the values as of the end of the reporting period. As of December 31, 2013, the Fund used unobservable inputs in determining the value of certain investments. As of December 31, 2013, the Fund used significant observable inputs in determining the value of the same investments. As a result, investments with a end of period value of $0 transferred from level 2 to level 3 in the disclosure hierarchy.
Significant unobservable valuations inputs for Level 3 investments as of December 31, 2013, are as follows:
|
STRATEGIC INCOME FUND
|
FAIR
VALUE
|
VALUATION TECHNIQUE*
|
UNOBSERVABLE
|
RANGE
|
WEIGHTED
|
|||||
|
Asset-Backed Securities |
$2,062,532 | Methods of Comparables/Consensus Pricing | Offered Quote | 20.00 - 100.01 | 97.51 | |||||
|
Mortgage-Backed Securities- Non-Agency |
$400 | Methods of Comparables/Consensus Pricing | Offered Quote | 0.03 - 8.00 | 8.00 | |||||
|
ALPHATRAK 500 FUND
|
FAIR
VALUE
|
VALUATION TECHNIQUE*
|
UNOBSERVABLE
|
RANGE
|
WEIGHTED
|
|||||
|
Corporate Securities |
$40,800 | Methods of Comparables/Consensus Pricing | Offered Quote | 51.00 | 51.00 | |||||
|
Mortgage-Backed Securities- Non Agency |
$111,785 | Methods of Comparables/Consensus Pricing | Offered Quote | 1.47 | 1.47 | |||||
* The Methods of Comparables/Consensus Pricing valuation technique for Level 3 securities involves gathering observable and unobservable data related to securities that exhibit characteristics that are comparable to that of the Level 3 security, and using such information as an input into the valuation of the Level 3 security. Such observable and unobservable data may include offered quotes (prices offered to the Fund by potential buyers in the market), broker quotes, and vendor prices for the comparable securities.
Level 3 Valuation Process:
Investments classified within Level 3 of the fair value hierarchy may be fair valued by the Advisor with consent by the Fund’s Pricing Committee in accordance with procedures approved by the Board of Trustees, and under the general oversight of the Board of Trustees. The Fund’s Pricing Committee employs various methods to determine fair valuations including a regular review of key inputs and assumptions and review of any related market activity. The Fund’s Pricing Committee reports to the Board of Trustees at their regularly scheduled meetings. It is possible that fair value prices will be used by the Fund to a significant extent. The value determined for an investment using the Fund’s fair value procedures may differ from recent market prices for the investment and may be significantly different from the value realized upon the sale of such investment. The Advisor, as part of the daily process, conducts back-testing of prices based on daily trade activities.
The Pricing Committee consists of the Chief Risk Officer, Chief Compliance Officer, Treasurer, Assistant Treasurer, Secretary, and a representative from the portfolio management team as well as alternate members as the Board of Trustees may from time to time designate. The Pricing Committee reviews and makes recommendations concerning the fair valuation of portfolio securities and the Fund’s pricing procedures in general.
N-Q Report December 2013 / 133
Notes to Financial Statements (Unaudited) (Continued)
Derivative Instruments Categorized by Risk Exposure:
The following is a summary of the location of derivative instruments on the Funds’ statements of assets and liabilities as of December 31, 2013:
| LOCATION ON THE STATEMENTS OF ASSETS AND LIABILITIES | ||||
|
DERIVATIVE TYPE
|
ASSET DERIVATIVES
|
LIABILITY DERIVATIVES
|
||
|
Interest rate contracts |
Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
| Premiums paid for swap contracts | Premiums received on swap contracts | |||
| Receivable for daily variation margin | Payable for daily variation margin | |||
|
Credit contracts |
Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
| Premiums paid for swap contracts | Premiums received for swap contracts | |||
|
Equity contracts |
Unrealized appreciation on swap contracts | Unrealized depreciation on swap contracts | ||
| Premiums paid for swap contracts | Premiums received for swap contracts | |||
| Receivable for daily variation margin | Payable for daily variation margin | |||
|
Written swaptions |
Options written receivable | Options written at value | ||
The following is a summary of the Funds’ derivative instrument holdings categorized by primary risk exposure as of December 31, 2013:
|
ASSET DERIVATIVE INVESTMENTS |
||||||||||||||||||||
|
ULTRA SHORT
|
LOW DURATION
|
INTERMEDIATE
|
TOTAL RETURN
|
|||||||||||||||||
|
Interest contracts: |
||||||||||||||||||||
|
Futures 1 |
$ | – | $ | – | $ | 75,092 | $ | 4,204,602 | ||||||||||||
|
Swaps |
– | – | 197,386 | 103,339,846 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
Total |
$ | – | $ | – | $ | 272,478 | $ | 107,544,448 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||||||
|
ASSET DERIVATIVE INVESTMENTS |
|||||||||||||||||||||||||
|
HIGH YIELD BOND FUND
|
UNCONSTRAINED
|
FLOATING RATE
|
STRATEGIC
|
ALPHATRAK
|
|||||||||||||||||||||
|
Credit contracts: |
|||||||||||||||||||||||||
|
Swaps |
$ | – | $ | 58,644 | $ | – | $ | – | $ | – | |||||||||||||||
|
Equity contracts: |
|||||||||||||||||||||||||
|
Futures 1 |
– | – | – | – | 88,939 | ||||||||||||||||||||
|
Interest contracts: |
|||||||||||||||||||||||||
|
Futures 1 |
– | 1,226,930 | – | – | – | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
|
Total |
$ | – | $ | 1,285,574 | $ | – | $ | – | $ | 88,939 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
||||||||||||||||
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments.
* The Floating Rate Income Fund commenced operations on June 28, 2013.
134 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
| LIABILITY DERIVATIVE INVESTMENTS | ||||||||
|
ULTRA SHORT
|
LOW DURATION
|
INTERMEDIATE
|
TOTAL RETURN
|
|||||
|
Credit contracts: |
||||||||
|
Swaps |
$– | $ – | $ – | $ (453,680) | ||||
|
Interest contracts: |
||||||||
|
Futures 1 |
– | – | – | (12,438,463) | ||||
|
Swaps |
– | – | – | (54,386,103) | ||||
|
Swaptions |
– | (678,929) | (1,309) | (70,356) | ||||
|
Total |
$– | $(678,929) | $(1,309) | $(67,348,602) | ||||
1 Includes cumulative appreciation/(depreciation) of financial futures contracts as reported in the Schedule of Portfolio Investments. *The Floating Rate Income Fund commenced operations on June 28, 2013.
| 2. | PORTFOLIO INVESTMENTS |
The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.
The Funds may invest in securities issued by Federal National Mortgage Association (“FNMA”) and Federal Home Loan Mortgage Corp. (“FHLMC”). These are fixed-income securities that derive their value from or represent interests in a pool of mortgages or mortgage securities. An unexpectedly high rate of defaults on the mortgages held by a mortgage pool may adversely affect the value of a mortgage-backed security and could result in losses to the Funds. The risk of such defaults is generally higher in the case of mortgage pools that include sub-prime mortgages. Sub-prime mortgages refer to loans made to borrowers with weakened credit histories or with a lower capacity to make timely payments on their mortgages.
Additionally, securities issued by FNMA and FHLMC are not backed by or entitled to the full faith and credit of the United States and are supported by the right to the issuer to borrow from the Treasury.
On September 7, 2008, the Federal Housing Finance Agency was appointed as conservator of FNMA and FHLMC. In addition, the U.S. Department of the Treasury has agreed to provide capital as needed to ensure FNMA and FHLMC continue to provide liquidity to the housing and mortgage markets.
The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by Government National MortgageAssociation (“GNMA”), FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit. CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.
The Funds may enter into to be announced (“TBA”) commitments to purchase or sell securities for a fixed price at a future date. TBA commitments are considered securities in themselves, and involve a risk of loss if the value of the security to be purchased or sold declines or increases prior to settlement date, which is in addition to the risk of decline in the value of the Funds’ other assets. Unsettled TBA commitments are valued at the current market value of the underlying securities, according to the procedures described in Note 2 under “Security Valuation”.
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various
N-Q Report December 2013 / 135
Notes to Financial Statements (Unaudited) (Continued)
priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities, CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months ended December 31, 2013, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary.The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.) At December 31, 2013, the Funds did not hold any short debt or equity.
A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own.The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.
The Funds may invest in payment-in-kind securities (“PIKs”). PIKs give the issuer the option at each interest payment date of making interest payments in either cash or additional debt securities. Those additional debt securities usually have the same terms, including maturity dates and interest rates, and associated risks as the original bonds. The daily market quotations of the original bonds may include the accrued interest (referred to as a dirty price) and require a pro-rata adjustment from the unrealized appreciation or depreciation on investments to interest receivable on the Statement of Assets and Liabilities.
For the period ended December 31, 2013, the High Yield Bond Fund received in-kind payments with respect to PIK securities was $1,049,413.
The Funds may invest in repurchase agreements. In a repurchase agreement, the Funds purchase a security from a counterparty who agrees to repurchase the same security at a mutually agreed upon date and price. On a daily basis, the counterparty is required to maintain collateral subject to the agreement and in value no less than the agreed repurchase amount. The agreements are conditioned
136 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
upon the collateral being deposited under the Federal Reserve book entry system or held in a segregated account by the Funds’ custodian or designated sub-custodians under tri-party repurchase agreements. In the event the counterparty defaults and the fair value of the collateral declines, the Funds could experience losses, delays and costs in liquidating the collateral.
Master RepurchaseAgreements (MRA) permit each Fund, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from each Fund. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, each Fund receives securities as collateral with a market value in excess of the repurchase price to be received by each Fund upon the maturity of the repurchase transaction. Upon a bankruptcy or insolvency of the MRA counterparty, each Fund recognizes a liability with respect to such excess collateral to reflect each Fund’s obligation under bankruptcy law to return the excess to the counterparty. As of December 31, 2013, the Low Duration Bond Fund held repurchase agreements.
The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings.
Reverse repurchase transactions and treasury roll transactions are entered into by a Fund under Master Repurchase Agreements (MRA), which permit a Fund, under certain circumstances, including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from a Fund. With reverse repurchase transactions and treasury roll transactions, typically the Funds and the counterparties are permitted to sell, re-pledge, or use the collateral associated with the transaction. However, bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against such a right of offset in the event of a MRA counterparty’s bankruptcy or insolvency. Pursuant to the terms of the MRA, a Fund receives or posts securities as collateral with a market value in excess of the repurchase price to be paid or received by a Fund upon the maturity of the transaction. Upon a bankruptcy or insolvency of the MRA counterparty, a Fund is considered an unsecured creditor with respect to excess collateral and, as such, the return of excess collateral may be delayed. There were no reverse repurchase agreements for the period ended December 31, 2013.
Each Fund may enter into when-issued, delayed-delivery, or forward commitment transactions in order to lock in the purchase price of the underlying security, or in order to adjust the interest rate exposure of the Fund’s existing portfolio. In when-issued, delayed-delivery, or forward commitment transactions, a Fund commits to purchase or sell particular securities, with payment and delivery to take place at a future date. Although a Fund does not pay for the securities or start earning interest on them until they are delivered, it immediately assumes the risks of ownership, including the risk of price fluctuation. If a Fund’s counterparty fails to deliver a security purchased on a when-issued, delayed-delivery, or forward commitment basis, there may be a loss, and that Fund may have missed an opportunity to make an alternative investment.
Prior to settlement of these transactions, the value of the subject securities will fluctuate, reflecting interest rate changes. In addition, because a Fund is not required to pay for when-issued, delayed-delivery, or forward commitment securities until the delivery date, they must result in a form of leverage to the extent a Fund does not maintain liquid assets equal to the face amount of the contract. The Funds segregate assets (cash and/or securities) to cover the amounts outstanding related to these transactions.
Derivatives:
The Funds engaged in various portfolio investment strategies both to increase the return of the Fund and to economically hedge, or protect, their exposure to interest rate movements and movements in the securities markets. Losses may arise if the value of the contract decreases due to an unfavorable change in the price of the underlying security or if the counterparty does not perform under the contract.The Funds are subject to credit risk, equity price risk and interest rate risk in the normal course of pursuing its investment objectives by investing in various derivative financial instruments, as described below:
Over the reporting period, the Funds engaged in interest rate futures contracts, foreign currency exchange contracts, swap agreements and swaptions as a means of managing interest rate risk and yield curve positioning consistent with the advisor’s current market perspectives.Additionally, credit default swaps were held for the purposes of (1) hedging valuation risks specific to identified market segments, industries and credits and (2) efficiently gaining income-bearing exposures to selected market segments, industries and credits.The market value of these instruments, realized and changes in unrealized gains and losses, the types of contracts are included in the Schedule of Portfolio Investments and the Notes to Financial Statements.
Options - The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value.A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the
N-Q Report December 2013 / 137
Notes to Financial Statements (Unaudited) (Continued)
Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it may be required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund may be unable to close out a position.
The Funds may execute transactions in both listed and over-the-counter options. Listed options involve minimal counterparty risk since listed options are guaranteed against default by the exchange on which they trade. Transactions in certain over-the-counter options may expose the Funds to the risk of default by the counterparty to the transaction. In the event of default by the counterparty to the over-the-counter option transaction, the Fund’s maximum amount of loss is the premium paid (as purchaser) or the unrealized loss of the contract (as writer). As of December 31, 2013, the Funds did not hold any options.
Futures - The Funds purchased or sold exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires.
Futures transactions involve minimal counterparty risk since futures contracts are guaranteed against default by the exchange on which they trade.
Foreign Currency - The Funds may hold foreign currency as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk).
Foreign Currency Exchange Contracts - The Funds entered into foreign currency exchange contracts as an economic hedge against either specific transactions or portfolio instruments or to obtain exposure to foreign currencies (foreign currency exchange rate risk). A foreign currency exchange contract is an agreement between two parties to buy and sell a currency at a set exchange rate on a future date. Foreign currency exchange contracts, when used by a Fund, help to manage the overall exposure to the currencies in which some of the investments held by a Fund are denominated. The contract is marked-to-market daily and the change in market value is recorded by a Fund as an unrealized gain or loss. When the contract is closed, a Fund records a realized gain or loss equal to the difference between the value at the time it was opened and the value at the time it was closed. The use of foreign currency exchange contracts involves the risk that the value of a foreign currency exchange contract changes unfavorably due to movements in the value of the referenced foreign currencies and the risk that a counterparty to the contract does not perform its obligations under the agreement. As of December 31, 2013, the Funds did not hold any foreign currency exchange contracts.
Swaps - The Funds invested in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counterparty (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counterparty.
The Funds entered into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may
138 / N-Q Report December 2013
Notes to Financial Statements (Unaudited) (Continued)
have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counterparty risk and credit risk.
The aggregate fair value of credit default swaps in a net liability position is reflected as unrealized depreciation and is disclosed in the Notes to Schedules of Investments. The collateral posted, net of assets received as collateral, for swap contracts is also disclosed in the Notes to Schedules of Investments. The maximum potential amount of future payments (undiscounted) that a portfolio as a seller of protection could be required to make under a credit default swap agreement is an amount equal to the notional amount of the agreement. Notional amounts of all credit default swap agreements outstanding as of December 31, 2013, for which a portfolio is the seller of protection are disclosed in the Notes to Schedules of Investments.These potential amounts are partially offset by any recovery values of the respective referenced obligations, upfront payments received upon entering into the agreement, or net amounts received from the settlement of buy protection credit default swap agreements entered into by a portfolio for the same referenced entity or entities.
The Funds entered into interest rate swap agreements. Interest rate swaps are agreements in which one party pays a floating rate of interest on a notional principal amount and receives a fixed rate of interest on the same notional principal amount for a specified period of time. Alternatively, a party may pay a fixed rate and receive a floating rate. In more complex swaps, the notional principal amount may decline (or amortize) over time. The Funds’ maximum risk of loss due to counterparty default is the discounted net asset value of the cash flows paid to/received from the counterparty over the interest rate swap’s remaining life. The Funds enter into interest rate swaps to manage duration, the yield curve or interest rate risk by economically hedging the value of the fixed-rate bonds which may decrease when interest rates rise (interest rate risk).
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised. However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.At December 31, 2013, the Low Duration Bond Fund, the Intermediate Bond Fund, and the Total Return Bond Fund held swaptions.
In addition to the securities listed above, the AlphaTrak 500 Fund invested in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may enter into total return swap agreements. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cash flows. The total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages.The total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total return swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability in the statements of assets and liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in both the statements of assets and liabilities and the statements of operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller.At December 31, 2013, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the statements of assets and liabilities.
N-Q Report December 2013 / 139
Notes to Financial Statements (Unaudited) (Continued)
| 3. | FEDERAL TAX INFORMATION |
Capital Loss Carryforwards:
At March 31, 2013, the following Funds had available for federal income tax purposes unused capital losses as follows:
|
FUND
|
EXPIRING IN
|
EXPIRING IN
|
EXPIRING IN
|
EXPIRING IN
|
EXPIRING IN
|
EXPIRING IN
|
NON-EXPIRING
|
|||||||||||||||||||||
|
Ultra Short Bond Fund |
$ – | $ 171,312 | $ 1,489,245 | $ 17,068,161 | $ 14,894,875 | $110,083,524 | $ 3,025,438 | |||||||||||||||||||||
|
Low Duration Bond Fund |
5,831,064 | – | – | 99,373,584 | 21,084,552 | 42,394,541 | 49,502,792 | |||||||||||||||||||||
|
Strategic Income Fund |
– | – | 6,866,611 | 47,852,416 | 18,806,808 | 41,914,736 | 6,810,067 | |||||||||||||||||||||
|
AlphaTrak 500 Fund |
– | – | – | 65,155,560 | 15,892,244 | 12,617,196 | – | |||||||||||||||||||||
| * |
Under the recently enacted Modernization Act of 2010, capital losses incurred by the Funds after March 31, 2011 will not be subject to expiration. In addition, these losses must be utilized prior to the losses incurred in the years preceding enactment. All such losses are long term in character. |
For additional information regarding the accounting policies of the Metropolitan West Funds, refer to the most recent financial statements in the N-CRS filing atwww.sec.gov.
140 / N-Q Report December 2013
Item 2. Controls and Procedures.
| (a) |
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| (b) |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| (Registrant) | Metropolitan West Funds |
| By (Signature and Title)* | /s/ David B. Lippman | |
|
David B. Lippman, President and Principal Executive Officer (principal executive officer) |
| Date | February 24, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By (Signature and Title)* | /s/ David B. Lippman | |
|
David B. Lippman, President and Principal Executive Officer (principal executive officer) |
| Date | February 24, 2014 |
| By (Signature and Title)* | /s/ David S. DeVito | |
|
David S. DeVito, Treasurer (principal financial officer) |
| Date | February 24, 2014 |
* Print the name and title of each signing officer under his or her signature.