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Share Name | Share Symbol | Market | Type |
---|---|---|---|
Credit Suisse High Yield Bond Fund | AMEX:DHY | AMEX | Common Stock |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
-0.01 | -0.48% | 2.06 | 2.07 | 2.04 | 2.07 | 436,103 | 00:37:38 |
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 |
811-09054 |
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CREDIT SUISSE OPPORTUNITY FUNDS |
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(Exact name of registrant as specified in charter) |
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c/o Credit Suisse Asset Management, LLC One Madison Avenue New York, New York |
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10010 |
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(Address of principal executive offices) |
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(Zip code) |
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John G. Popp One Madison Avenue New York, New York 10010 |
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(Name and address of agent for service) |
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Registrants telephone number, including area code: |
(212) 325-2000 |
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Date of fiscal year end: |
October 31st |
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Date of reporting period: |
November 1, 2013 to January 31, 2014 |
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Item 1: Schedule of Investments
Credit Suisse Strategic Income Fund
Schedule of Investments
January 31, 2014 (unaudited)
Par
|
|
|
|
Ratings
|
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
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ASSET BACKED SECURITIES (15.4%) |
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|
|
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|
|
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Collateralized Debt Obligations (15.4%) |
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|
|
|
|
|
|
|
||||
$ |
750 |
|
ALM V Ltd., 2012-5A, Rule 144A# |
|
(NR, Ba2) |
|
02/13/23 |
|
5.739 |
|
$ |
746,011 |
|
500 |
|
Babson CLO Ltd., 2013-IA, Rule 144A# |
|
(BB, NR) |
|
04/20/25 |
|
4.637 |
|
467,626 |
|
||
750 |
|
Black Diamond CLO Ltd., 2012-1A, Rule 144A# |
|
(BB, NR) |
|
02/01/23 |
|
6.242 |
|
746,593 |
|
||
750 |
|
Carlyle Global Market Strategies CLO Ltd., 2012-4A, Rule 144A |
|
(NR, NR) |
|
01/20/25 |
|
0.000 |
|
690,000 |
|
||
750 |
|
CIFC Funding Ltd., 2012-3A, Rule 144A# |
|
(B, NR) |
|
01/29/25 |
|
7.137 |
|
754,326 |
|
||
500 |
|
CIFC Funding Ltd., 2013-3A, Rule 144A# |
|
(BB, NR) |
|
10/24/25 |
|
5.006 |
|
479,917 |
|
||
1,000 |
|
CIFC Funding Ltd., 2013-4A, Rule 144A# |
|
(NR, Ba3) |
|
11/27/24 |
|
5.006 |
|
921,589 |
|
||
500 |
|
Gale Force 4 CLO Ltd., 2007-4A, Rule 144A# |
|
(BBB, Ba1) |
|
08/20/21 |
|
3.737 |
|
495,392 |
|
||
500 |
|
Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A# |
|
(BB, NR) |
|
12/20/24 |
|
5.645 |
|
476,978 |
|
||
250 |
|
Halcyon Loan Advisors Funding Ltd., 2012-2X, Reg S# |
|
(BB, NR) |
|
12/20/24 |
|
5.645 |
|
238,489 |
|
||
500 |
|
Jamestown CLO Ltd., 2013-3A, Rule 144A# |
|
(BB-, NR) |
|
01/15/26 |
|
4.839 |
|
450,554 |
|
||
500 |
|
JFIN CLO Ltd., 2013-1A, Rule 144A# |
|
(BB, NR) |
|
01/20/25 |
|
4.987 |
|
461,418 |
|
||
1,300 |
|
KVK CLO Ltd., 2013-1A, Rule 144A# |
|
(BB, NR) |
|
04/14/25 |
|
5.742 |
|
1,252,094 |
|
||
500 |
|
Neuberger Berman CLO Ltd., 2012-12A, Rule 144A# |
|
(BB, NR) |
|
07/25/23 |
|
7.238 |
|
504,046 |
|
||
1,000 |
|
Neuberger Berman CLO XV, 2013-15A, Rule 144A# |
|
(BB, NR) |
|
10/15/25 |
|
4.839 |
|
912,224 |
|
||
500 |
|
Ocean Trails CLO IV, 2013-4A, Rule 144A# |
|
(BBB, NR) |
|
08/13/25 |
|
4.371 |
|
496,443 |
|
||
500 |
|
OZLM Funding Ltd., 2013-5A, Rule 144A# |
|
(BB, NR) |
|
01/17/26 |
|
5.028 |
|
469,950 |
|
||
1,000 |
|
Shackleton I CLO Ltd., 2012-1A, Rule 144A# |
|
(BB, NR) |
|
08/14/23 |
|
6.439 |
|
999,837 |
|
||
750 |
|
Shackleton II CLO Ltd., 2012-2A, Rule 144A# |
|
(BB, NR) |
|
10/20/23 |
|
5.437 |
|
719,757 |
|
||
500 |
|
Sound Point CLO Ltd., 2013-3A, Rule 144A# |
|
(NR, Ba3) |
|
01/21/26 |
|
4.782 |
|
446,841 |
|
||
750 |
|
Sound Point CLO Ltd., 2013-3A, Rule 144A# |
|
(NR, B2) |
|
01/21/26 |
|
5.232 |
|
646,180 |
|
||
500 |
|
Venture X CLO Ltd., 2012-12A, Rule 144A# |
|
(BB, NR) |
|
02/28/24 |
|
5.538 |
|
485,085 |
|
||
1,000 |
|
Whitehorse VII Ltd., 2013-1A, Rule 144A# |
|
(BB-, NR) |
|
11/24/25 |
|
5.106 |
|
946,618 |
|
||
TOTAL ASSET BACKED SECURITIES (Cost $14,470,938) |
|
|
|
|
|
|
|
14,807,968 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||
Number of
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
||||
COMMON STOCK (2.2%) |
|
|
|
|
|
|
|
|
|
||||
Diversified Capital Goods (2.2%) |
|
|
|
|
|
|
|
|
|
||||
698,462 |
|
Electrical Components International, Inc.^* (Cost $2,130,309) |
|
|
|
|
|
2,165,232 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||
Par
|
|
|
|
|
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|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
SHORT-TERM INVESTMENT (4.5%) |
|
|
|
|
|
|
|
|
|
||||
$ |
4,324 |
|
State Street Bank and Trust Co. Euro Time Deposit (Cost $4,324,000) |
|
|
|
02/03/14 |
|
0.010 |
|
4,324,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS AT VALUE (101.1%) (Cost $95,530,334) |
|
|
|
|
97,479,438 |
|
|||||||
|
|
|
|
|
|
|
|||||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-1.1%) |
|
|
|
|
(1,048,033 |
) |
|||||||
|
|
|
|
|
|
|
|||||||
NET ASSETS (100.0%) |
|
|
|
|
$ |
96,431,405 |
|
INVESTMENT ABBREVIATIONS
NR = Not Rated
PIK = Payment in Kind
Reg S = Regulation S
|
|
Credit ratings given by the Standard & Poors Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) are unaudited. |
|
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2014, these securities amounted to a value of $31,883,516 or 33.1% of net assets. |
|
|
This security is denominated in Euro. |
£ |
|
This security is denominated in British Pound. |
# |
|
Variable rate obligations The interest rate is the rate as of January 31, 2014. |
^ |
|
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
* |
|
Non-income producing security. |
|
|
|
At January 31, 2014, Open Forward Foreign Currency Contracts were as follows:
Forward Foreign
|
|
Forward Foreign
|
|
Expiration
|
|
Counterparty |
|
Value on
|
|
Current
|
|
Net Unrealized
|
|
|||||
USD |
3,648,941 |
|
EUR |
2,670,000 |
|
04/16/14 |
|
Morgan Stanley |
|
$ |
(3,648,941 |
) |
$ |
(3,600,741 |
) |
$ |
48,200 |
|
USD |
2,339,909 |
|
GBP |
1,430,000 |
|
04/16/14 |
|
Morgan Stanley |
|
(2,339,909 |
) |
(2,348,875 |
) |
(8,966 |
) |
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
39,234 |
|
||
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
· |
Level 1quoted prices in active markets for identical investments |
· |
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
· |
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Funds assets and liabilities carried at fair value:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
Corporate Bonds |
|
$ |
|
|
$ |
36,096,923 |
|
$ |
|
|
$ |
36,096,923 |
|
Bank Loans |
|
|
|
36,783,113 |
|
3,302,202 |
|
40,085,315 |
|
||||
Asset Backed Securities |
|
|
|
14,807,968 |
|
|
|
14,807,968 |
|
||||
Common Stocks |
|
|
|
|
|
2,165,232 |
|
2,165,232 |
|
||||
Short-term Investment |
|
|
|
4,324,000 |
|
|
|
4,324,000 |
|
||||
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
||||
Forward Foreign Currency Contracts |
|
|
|
39,234 |
|
|
|
39,234 |
|
||||
|
|
$ |
|
|
$ |
92,051,238 |
|
$ |
5,467,434 |
|
$ |
97,518,672 |
|
* Other financial instruments include unrealized appreciation/(depreciation) on forward foreign currency contracts.
The following is a reconciliation of investments as of January 31, 2014 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
|
|
Asset
|
|
Bank
|
|
Common
|
|
Total |
|
||||
Balance as of October 31, 2013 |
|
$ |
1,794,200 |
|
$ |
|
|
$ |
2,060,463 |
|
$ |
3,854,663 |
|
Accrued discounts/premiums |
|
4,457 |
|
|
|
|
|
4,457 |
|
||||
Purchases |
|
|
|
2,802,764 |
|
|
|
2,802,764 |
|
||||
Sales |
|
|
|
|
|
|
|
|
|
||||
Realized gain/(loss) |
|
|
|
|
|
|
|
|
|
||||
Change in unrealized appreciation/(depreciation) |
|
35,156 |
|
(15,562 |
) |
104,769 |
|
124,363 |
|
||||
Transfers into Level 3 |
|
|
|
515,000 |
|
|
|
515,000 |
|
||||
Transfers out of Level 3 |
|
1,833,813 |
|
|
|
|
|
1,833,813 |
|
||||
Balance as of January 31, 2014 |
|
$ |
|
|
$ |
3,302,202 |
|
$ |
2,165,232 |
|
$ |
5,467,434 |
|
|
|
|
|
|
|
|
|
|
|
||||
Net change in unrealized appreciation/(depreciation) from investments still held as of January 31, 2014 |
|
$ |
35,156 |
|
$ |
(15,562 |
) |
$ |
104,769 |
|
$ |
124,363 |
|
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no significant transfers in and out of Level 1 and Level 2, but there were $515,000 transferred in from Level 2 to Level 3, due to lack of observable market data because of decrease in market activity, and $1,833,813 transferred out from Level 3 to Level 2 as a result of the availability of a pricing source supported by observable inputs. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
Cost of investments |
|
$ |
95,530,334 |
|
Unrealized appreciation |
|
$ |
2,294,163 |
|
Unrealized depreciation |
|
(345,059 |
) |
|
Net unrealized appreciation/(depreciation) |
|
$ |
1,949,104 |
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Managed Futures Strategy Fund
Consolidated Schedule of Investments
January 31, 2014 (unaudited)
|
|
Credit ratings given by the Standard & Poors Division of the McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) are unaudited. |
# |
|
Variable rate obligations The interest rate is the rate as of January 31, 2014. |
^^ |
|
Security or portion thereof held in the subsidiary. |
At January 31, 2014, Open Futures Contracts were as follows:
Contract Description |
|
Currency |
|
Expiration
|
|
Notional
|
|
Net Unrealized
|
|
||
Contracts to Purchase |
|
|
|
|
|
|
|
|
|
||
Foreign Exchange Contracts |
|
|
|
|
|
|
|
|
|
||
EUR Currency Futures |
|
USD |
|
Mar 2014 |
|
$ |
8,090,400 |
|
$ |
(133,841 |
) |
GBP Currency Futures |
|
USD |
|
Mar 2014 |
|
7,392,600 |
|
(2,622 |
) |
||
|
|
|
|
|
|
|
|
$ |
(136,463 |
) |
|
Index Contracts |
|
|
|
|
|
|
|
|
|
||
EURO Stoxx 50 Index Futures |
|
EUR |
|
Mar 2014 |
|
2,767,549 |
|
$ |
(1,020 |
) |
|
FTSE 100 Index Futures |
|
GBP |
|
Mar 2014 |
|
2,865,840 |
|
(107,071 |
) |
||
Nikkei 225 Index Futures OSE |
|
JPY |
|
Mar 2014 |
|
3,057,803 |
|
(168,666 |
) |
||
S&P 500 E Mini Index Futures |
|
USD |
|
Mar 2014 |
|
2,753,730 |
|
(8,679 |
) |
||
|
|
|
|
|
|
|
|
$ |
(285,436 |
) |
|
Interest Rate Contracts |
|
|
|
|
|
|
|
|
|
||
10YR JGB Mini Futures |
|
JPY |
|
Mar 2014 |
|
20,866,980 |
|
$ |
110,714 |
|
|
German EURO Bund Futures |
|
EUR |
|
Mar 2014 |
|
16,492,501 |
|
260,336 |
|
||
Long Gilt Futures |
|
GBP |
|
Mar 2014 |
|
181,421 |
|
(3 |
) |
||
|
|
|
|
|
|
|
|
$ |
371,047 |
|
|
Contracts to Sell |
|
|
|
|
|
|
|
|
|
||
Foreign Exchange Contracts |
|
|
|
|
|
|
|
|
|
||
AUD Currency Futures |
|
USD |
|
Mar 2014 |
|
(5,843,070 |
) |
$ |
243,558 |
|
|
CAD Currency Futures |
|
USD |
|
Mar 2014 |
|
(8,978,000 |
) |
436,525 |
|
||
JPY Currency Futures |
|
USD |
|
Mar 2014 |
|
(5,987,187 |
) |
(24,055 |
) |
||
|
|
|
|
|
|
|
|
$ |
656,028 |
|
|
Interest Rate Contracts |
|
|
|
|
|
|
|
|
|
||
10YR U.S. Treasury Note Futures |
|
USD |
|
Mar 2014 |
|
(251,500 |
) |
$ |
(1,377 |
) |
|
Net unrealized appreciation/(depreciation) |
|
|
|
|
|
|
|
$ |
603,799 |
|
|
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
EUR = Euro
GBP = British Pound
JPY = Japanese Yen
USD = United States Dollar
At January 31, 2014, Outstanding Swaps Contracts were as follows:
TOTAL RETURN SWAP CONTRACTS
Currency |
|
Notional
|
|
Expiration
|
|
Counterparty |
|
Receive |
|
Pay |
|
Net Unrealized
|
|
||
USD |
|
$ |
2,783,755 |
|
02/19/14 |
|
Goldman Sachs |
|
Fixed Rate |
|
Dow Jones - UBS Agriculture Subindex |
|
$ |
7,056 |
|
USD |
|
$ |
2,141,863 |
|
02/19/14 |
|
Goldman Sachs |
|
Fixed Rate |
|
Dow Jones - UBS Precious Metals Subindex |
|
27,460 |
|
|
USD |
|
$ |
1,254,733 |
|
02/19/14 |
|
Goldman Sachs |
|
Dow Jones - UBS Energy Subindex |
|
Fixed Rate |
|
29,985 |
|
|
USD |
|
$ |
3,848,140 |
|
02/19/14 |
|
Goldman Sachs |
|
Dow Jones - UBS Energy Subindex |
|
Fixed Rate |
|
83,288 |
|
|
USD |
|
$ |
512,507 |
|
02/19/14 |
|
Goldman Sachs |
|
Fixed Rate |
|
Dow Jones - UBS Industrial Metals Subindex |
|
6,948 |
|
|
USD |
|
$ |
2,863,978 |
|
02/19/14 |
|
Goldman Sachs |
|
Fixed Rate |
|
Dow Jones - UBS Industrial Metals Subindex |
|
20,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
174,940 |
|
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
· |
|
Level 1quoted prices in active markets for identical investments |
· |
|
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
· |
|
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Funds assets and liabilities carried at fair value:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
United States Agency Obligations |
|
$ |
|
|
$ |
7,006,563 |
|
$ |
|
|
$ |
7,006,563 |
|
Short-term Investment |
|
|
|
26,408,000 |
|
|
|
26,408,000 |
|
||||
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
||||
Futures Contracts |
|
603,799 |
|
|
|
|
|
603,799 |
|
||||
Swap Contracts |
|
|
|
174,940 |
|
|
|
174,940 |
|
||||
|
|
$ |
603,799 |
|
$ |
33,589,503 |
|
$ |
|
|
$ |
34,193,302 |
|
* Other financial instruments include unrealized appreciation/(depreciation) on futures and swap contracts.
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
Cost of investments |
|
$ |
33,407,310 |
|
Unrealized appreciation |
|
$ |
7,253 |
|
Unrealized depreciation |
|
(0) |
|
|
Net unrealized appreciation/(depreciation) |
|
$ |
7,253 |
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Multialternative Strategy Fund
Consolidated Schedule of Investments
January 31, 2014 (unaudited)
|
|
Number of
|
|
Value |
|
|
LONG POSITIONS (25.5%) |
|
|
|
|
|
|
COMMON STOCKS (11.7%) |
|
|
|
|
|
|
CANADA (0.5%) |
|
|
|
|
|
|
Metals & Mining (0.5%) |
|
|
|
|
|
|
Osisko Mining Corp. * |
|
6,701 |
|
$ |
40,148 |
|
|
|
|
|
|
|
|
ISRAEL (0.3%) |
|
|
|
|
|
|
Healthcare Equipment & Supplies (0.3%) |
|
|
|
|
|
|
Given Imaging, Ltd. * |
|
806 |
|
24,140 |
|
|
|
|
|
|
|
|
|
LUXEMBOURG (0.6%) |
|
|
|
|
|
|
Chemicals (0.6%) |
|
|
|
|
|
|
AZ Electronic Materials S.A. |
|
6,973 |
|
45,391 |
|
|
|
|
|
|
|
|
|
NETHERLANDS (0.5%) |
|
|
|
|
|
|
Software (0.5%) |
|
|
|
|
|
|
Unit4 NV |
|
773 |
|
40,186 |
|
|
|
|
|
|
|
|
|
NORWAY (0.6%) |
|
|
|
|
|
|
Biotechnology (0.6%) |
|
|
|
|
|
|
Algeta ASA * |
|
775 |
|
44,367 |
|
|
|
|
|
|
|
|
|
SWITZERLAND (0.6%) |
|
|
|
|
|
|
Construction & Engineering (0.6%) |
|
|
|
|
|
|
Foster Wheeler AG * |
|
1,449 |
|
43,441 |
|
|
|
|
|
|
|
|
|
UNITED STATES (8.6%) |
|
|
|
|
|
|
Banks (0.9%) |
|
|
|
|
|
|
Hudson City Bancorp, Inc. § |
|
5,602 |
|
50,642 |
|
|
Taylor Capital Group, Inc. *§ |
|
981 |
|
21,906 |
|
|
|
|
|
|
72,548 |
|
|
Beverages (0.9%) |
|
|
|
|
|
|
Beam, Inc. |
|
798 |
|
66,473 |
|
|
|
|
|
|
|
|
|
Biotechnology (0.8%) |
|
|
|
|
|
|
Life Technologies Corp. * |
|
808 |
|
61,465 |
|
|
|
|
|
|
|
|
|
Chemicals (0.3%) |
|
|
|
|
|
|
Zoltek Companies, Inc. *§ |
|
1,276 |
|
21,309 |
|
|
|
|
|
|
|
|
|
Communications Equipment (0.6%) |
|
|
|
|
|
|
Riverbed Technology, Inc. *§ |
|
2,357 |
|
46,480 |
|
|
|
|
|
|
|
|
|
Electric Utilities (0.6%) |
|
|
|
|
|
|
UNS Energy Corp. |
|
705 |
|
42,215 |
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure (0.4%) |
|
|
|
|
|
|
CEC Entertainment, Inc. § |
|
511 |
|
27,574 |
|
|
|
|
|
|
|
|
|
Internet Software & Services (0.4%) |
|
|
|
|
|
|
Responsys, Inc. *§ |
|
1,138 |
|
30,737 |
|
|
|
|
|
|
|
|
|
Media (1.3%) |
|
|
|
|
|
|
Omnicom Group, Inc. § |
|
872 |
|
63,290 |
|
|
Valassis Communications, Inc. § |
|
1,027 |
|
34,918 |
|
|
|
|
|
|
98,208 |
|
|
Real Estate (0.8%) |
|
|
|
|
|
|
BRE Properties, Inc. § |
|
1,014 |
|
59,927 |
|
|
|
|
|
|
|
|
|
Semiconductor Equipment & Products (0.7%) |
|
|
|
|
|
|
LSI Corp. |
|
4,991 |
|
55,051 |
|
|
|
|
|
|
|
|
|
Specialty Retail (0.5%) |
|
|
|
|
|
|
Jos. A. Bank Clothiers, Inc. * |
|
700 |
|
39,354 |
|
|
|
|
|
|
|
|
|
Textiles & Apparel (0.4%) |
|
|
|
|
|
|
The Jones Group, Inc. |
|
2,192 |
|
32,332 |
|
|
|
|
|
|
653,673 |
|
|
TOTAL COMMON STOCKS (Cost $890,993) |
|
|
|
891,346 |
|
|
|
|
Number of
|
|
Value |
|
|
EXCHANGE TRADED FUNDS (2.4%) |
|
|
|
|
|
|
UNITED STATES (2.4%) |
|
|
|
|
|
|
Diversified Financial Services (2.4%) |
|
|
|
|
|
|
iShares iBoxx $ High Yield Corporate Bond ETF § |
|
954 |
|
$ |
88,961 |
|
iShares Russell 2000 ETF |
|
815 |
|
91,410 |
|
|
TOTAL EXCHANGE TRADED FUNDS (Cost $155,509) |
|
|
|
180,371 |
|
|
|
|
|
|
|
|
|
INVESTMENT COMPANY (7.4%) |
|
|
|
|
|
|
UNITED STATES (7.4%) |
|
|
|
|
|
|
Credit Suisse Managed Futures Strategy Fund (Cost $543,838)^ |
|
55,494 |
|
561,596 |
|
|
|
|
Number of
|
|
|
|
RIGHTS (0.0%) |
|
|
|
|
|
UNITED STATES (0.0%) |
|
|
|
|
|
Biotechnology (0.0%) |
|
|
|
|
|
Trius Therapeutics, Inc. (Cost $0)* · |
|
400 |
|
52 |
|
|
|
Number of
|
|
|
|
OPTIONS PURCHASED (4.0%) |
|
|
|
|
|
UNITED STATES (4.0%) |
|
|
|
|
|
Put Purchased Options (4.0%) |
|
|
|
|
|
S&P 500 Index, Strike @ $1,950, expires 02/22/14(Cost $194,437) |
|
18 |
|
303,660 |
|
TOTAL LONG POSITIONS (Cost $1,784,777) |
|
|
|
1,937,025 |
|
|
|
Number of
|
|
Value |
|
|
SHORT POSITIONS |
|
|
|
|
|
|
UNITED STATES |
|
|
|
|
|
|
Banks |
|
|
|
|
|
|
MB Financial, Inc. |
|
(631 |
) |
$ |
(17,731 |
) |
|
|
|
|
(70,252 |
) |
|
Real Estate (-0.7%) |
|
|
|
|
|
|
Essex Property Trust, Inc. |
|
(301 |
) |
(47,670 |
) |
|
|
|
|
|
(117,922 |
) |
|
TOTAL SHORT POSITIONS (Proceeds $223,567) |
|
|
|
$ |
(227,101 |
) |
* |
Non-income producing security. |
§ |
Security or portion thereof is out on loan. |
^ |
Affiliated issuer. |
· |
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
§§ |
Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2014. |
^^ |
Security or portion thereof held in the subsidiary. |
At January 31, 2014, Open Forward Foreign Currency Contracts were as follows:
Forward Foreign
|
|
Forward Foreign
|
|
Expiration
|
|
Counterparty |
|
Value on
|
|
Current
|
|
Net Unrealized
|
|
|||||
AUD |
62,811 |
|
USD |
55,200 |
|
02/21/14 |
|
Goldman Sachs |
|
$ |
55,200 |
|
$ |
54,740 |
|
$ |
(460 |
) |
CAD |
25,696 |
|
USD |
23,500 |
|
02/20/14 |
|
Goldman Sachs |
|
23,500 |
|
23,037 |
|
(463 |
) |
|||
EUR |
77,860 |
|
USD |
105,900 |
|
02/21/14 |
|
Goldman Sachs |
|
105,900 |
|
104,998 |
|
(902 |
) |
|||
GBP |
3,672 |
|
USD |
6,000 |
|
02/21/14 |
|
Goldman Sachs |
|
6,000 |
|
6,034 |
|
34 |
|
|||
NOK |
155,986 |
|
USD |
25,200 |
|
02/21/14 |
|
Goldman Sachs |
|
25,200 |
|
24,785 |
|
(415 |
) |
|||
NZD |
67,868 |
|
USD |
56,400 |
|
02/21/14 |
|
Goldman Sachs |
|
56,400 |
|
54,823 |
|
(1,577 |
) |
|||
SEK |
9,057 |
|
USD |
1,400 |
|
02/21/14 |
|
Goldman Sachs |
|
1,400 |
|
1,383 |
|
(17 |
) |
|||
USD |
301,700 |
|
EUR |
221,815 |
|
02/21/14 |
|
Goldman Sachs |
|
(301,700 |
) |
(299,131 |
) |
2,569 |
|
|||
USD |
144,500 |
|
CHF |
130,946 |
|
02/21/14 |
|
Goldman Sachs |
|
(144,500 |
) |
(144,607 |
) |
(107 |
) |
|||
USD |
46,000 |
|
JPY |
4,794,382 |
|
02/21/14 |
|
Goldman Sachs |
|
(46,000 |
) |
(47,015 |
) |
(1,015 |
) |
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(2,353 |
) |
||
Currency Abbreviations:
AUD = Australian Dollar
CAD = Canadian Dollar
CHF = Swiss Franc
EUR = Euro
GBP = British Pound
JPY = Japanese Yen
NOK = Norwegian Krone
NZD = New Zealand Dollar
SEK = Swedish Krona
USD = United States Dollar
At January 31, 2014, Outstanding Swaps Contracts were as follows:
TOTAL RETURN SWAP CONTRACTS
Currency |
|
Notional
|
|
Expiration
|
|
Counterparty |
|
Receive |
|
Pay |
|
Net Unrealized
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
USD |
|
$ |
3,882 |
|
09/17/14 |
|
Goldman Sachs |
|
Fee Plus LIBOR |
|
NASDAQ-100 Total Return |
|
$ |
74 |
|
USD |
|
$ |
678,497 |
|
11/19/14 |
|
Goldman Sachs |
|
S&P 500 Total Return Index |
|
Fee Plus LIBOR |
|
(22,300 |
) |
|
USD |
|
$ |
345,644 |
|
12/17/14 |
|
Goldman Sachs |
|
Fee Plus LIBOR |
|
Energy Select Sector Index |
|
10,780 |
|
|
USD |
|
$ |
33,741 |
|
01/16/15 |
|
Goldman Sachs |
|
Fee Plus LIBOR |
|
Energy Select Sector Index |
|
1,092 |
|
|
TOTAL RETURN SWAP CONTRACTS
Currency |
|
Notional
|
|
Expiration
|
|
Counterparty |
|
Receive |
|
Pay |
|
Net Unrealized
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||
USD |
|
$ |
144,000 |
|
03/20/14 |
|
JPMorgan Chase |
|
iBoxx $ Liquid High Yield Index |
|
Fee Plus LIBOR |
|
$ |
4,404 |
|
USD |
|
$ |
490,000 |
|
03/20/14 |
|
JPMorgan Chase |
|
iBoxx $ Liquid High Yield Index |
|
Fee Plus LIBOR |
|
23,421 |
|
|
USD |
|
$ |
416,000 |
|
03/20/14 |
|
JPMorgan Chase |
|
iBoxx $ Liquid High Yield Index |
|
Fee Plus LIBOR |
|
19,281 |
|
|
USD |
|
$ |
111,000 |
|
06/20/14 |
|
JPMorgan Chase |
|
iBoxx $ Liquid High Yield Index |
|
Fee Plus LIBOR |
|
(1,262 |
) |
|
USD |
|
$ |
368,000 |
|
06/20/14 |
|
JPMorgan Chase |
|
iBoxx $ Liquid High Yield Index |
|
Fee Plus LIBOR |
|
(189 |
) |
|
USD |
|
$ |
344,937 |
|
06/23/14 |
|
JPMorgan Chase |
|
Russell 2000 Total Return Index |
|
Fee Plus LIBOR |
|
(13,091 |
) |
|
USD |
|
$ |
277,638 |
|
11/19/14 |
|
JPMorgan Chase |
|
Fee Plus LIBOR |
|
NASDAQ-100 Total Return |
|
7,311 |
|
|
USD |
|
$ |
74,166 |
|
01/16/15 |
|
JPMorgan Chase |
|
Fee Plus LIBOR |
|
NASDAQ-100 Total Return |
|
1,824 |
|
|
USD |
|
$ |
590,223 |
|
09/17/14 |
|
Societe Generale |
|
S&P 500 Index |
|
Fee Plus LIBOR |
|
(18,011 |
) |
|
USD |
|
$ |
348,345 |
|
01/16/15 |
|
Societe Generale |
|
MSCI EAFE Index |
|
Fee Plus LIBOR |
|
(14,212 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
(878 |
) |
At January 31, 2014 Open Option Contracts were as follows:
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
· Level 1quoted prices in active markets for identical investments
· Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.)
· Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments)
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Funds assets and liabilities carried at fair value:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
Common Stocks |
|
$ |
761,402 |
|
$ |
129,944 |
|
$ |
|
|
$ |
891,346 |
|
Exchange Traded Funds |
|
180,371 |
|
|
|
|
|
180,371 |
|
||||
Investment Companies |
|
561,596 |
|
|
|
|
|
561,596 |
|
||||
Rights |
|
|
|
|
|
52 |
|
52 |
|
||||
Options Purchased |
|
303,660 |
|
|
|
|
|
303,660 |
|
||||
Short-term Investments |
|
|
|
2,227,491 |
|
|
|
2,227,491 |
|
||||
Securities Sold Short |
|
|
|
|
|
|
|
|
|
||||
Common Stocks |
|
(142,298 |
) |
(84,803 |
) |
|
|
(227,101 |
) |
||||
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
||||
Forward Foreign Currency Contracts |
|
|
|
(2,353 |
) |
|
|
(2,353 |
) |
||||
Swap Contracts |
|
|
|
(878 |
) |
|
|
(878 |
) |
||||
Written Options |
|
(157,610 |
) |
|
|
|
|
(157,610 |
) |
||||
|
|
$ |
1,507,121 |
|
$ |
2,269,401 |
|
$ |
52 |
|
$ |
3,776,574 |
|
* Other financial instruments include unrealized appreciation/(depreciation) on forwards, swaps and written options, at value.
As of January 31, 2014, the amounts shown by the Fund as being Level 3 securities that were measured at fair value amounted to less than 0.01% of net assets.
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Affiliated Issuers The Fund may invest in Underlying Credit Suisse Funds. The Underlying Credit Suisse Funds in which the Fund invests are considered to be affiliated investments. The Fund invested 7.4% of the Funds net assets. Investments in affiliated funds are valued at the affiliated funds net asset value per share (NAV) as of the report date. A summary of the Funds transactions with an affiliated Underlying Credit Suisse Fund during the quarter ended January 31, 2014 is as follows:
Issuer |
|
Beginning
|
|
Purchases |
|
Sales |
|
Ending
|
|
Gain/(Loss) |
|
Dividend
|
|
Value
|
|
|||
Credit Suisse Managed Futures Strategy Fund |
|
97,874 |
|
2,689 |
|
45,069 |
|
55,494 |
|
$ |
(1,524 |
) |
$ |
|
|
$ |
561,596 |
|
Federal Income Tax Cost At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
Cost of investments |
|
$ |
4,012,268 |
|
Unrealized appreciation |
|
$ |
160,035 |
|
Unrealized depreciation |
|
(7,787 |
) |
|
Net unrealized appreciation/(depreciation) |
|
$ |
152,248 |
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Floating Rate High Income Fund
Schedule of Investments
January 31, 2014 (unaudited)
Par
|
|
|
|
Ratings
|
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
CORPORATE BONDS |
|
|
|
|
|
|
|
|
|
||||
Energy - Exploration & Production |
|
|
|
|
|
|
|
|
|
||||
$ |
5,000 |
|
Oasis Petroleum, Inc., Company Guaranteed Notes (Callable 11/01/16 @ 103.25) |
|
(B, B3) |
|
11/01/21 |
|
6.500 |
|
$ |
5,350,000 |
|
3,741 |
|
Oasis Petroleum, Inc., Rule 144A, Company Guaranteed Notes (Callable 09/15/17 @ 103.44)§ |
|
(B, B3) |
|
03/15/22 |
|
6.875 |
|
3,984,165 |
|
||
|
|
|
|
|
|
|
|
|
|
21,219,565 |
|
||
Forestry & Paper (0.0%) |
|
|
|
|
|
|
|
|
|
||||
200 |
|
Stone & Webster, Inc.* |
|
(NR, NR) |
|
10/23/19 |
|
0.000 |
|
300 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Gaming (0.0%) |
|
|
|
|
|
|
|
|
|
||||
197 |
|
Choctaw Resort Development Enterprise, Rule 144A, Senior Notes (Callable 11/15/14 @ 100.00) |
|
(B, Caa1) |
|
11/15/19 |
|
7.250 |
|
194,045 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Gas Distribution (0.6%) |
|
|
|
|
|
|
|
|
|
||||
2,250 |
|
Energy Transfer Equity LP, Senior Secured Notes§ |
|
(BB, Ba2) |
|
10/15/20 |
|
7.500 |
|
2,545,312 |
|
||
1,000 |
|
Genesis Energy LP, Global Company Guaranteed Notes (Callable 02/15/17 @ 102.88)§ |
|
(B, B1) |
|
02/15/21 |
|
5.750 |
|
1,020,000 |
|
||
1,000 |
|
Genesis Energy LP, Global Company Guaranteed Notes (Callable 12/15/14 @ 103.94) |
|
(B, B1) |
|
12/15/18 |
|
7.875 |
|
1,085,000 |
|
||
6,250 |
|
Holly Energy Finance Corp., Global Company Guaranteed Notes (Callable 03/01/16 @ 103.25) |
|
(BB-, B1) |
|
03/01/20 |
|
6.500 |
|
6,531,250 |
|
||
|
|
|
|
|
|
|
|
|
|
11,181,562 |
|
||
Health Facilities (0.4%) |
|
|
|
|
|
|
|
|
|
||||
2,925 |
|
MPT Finance Corp., Company Guaranteed Notes (Callable 02/15/17 @ 103.19) |
|
(BB, Ba1) |
|
02/15/22 |
|
6.375 |
|
3,034,687 |
|
||
5,000 |
|
Symbion, Inc., Global Company Guaranteed Notes |
|
(CCC+, Caa2) |
|
08/23/15 |
|
11.000 |
|
5,031,250 |
|
||
|
|
|
|
|
|
|
|
|
|
8,065,937 |
|
||
Health Services (0.2%) |
|
|
|
|
|
|
|
|
|
||||
3,350 |
|
MedAssets, Inc., Global Company Guaranteed Notes (Callable 11/15/14 @ 104.00) |
|
(B, B3) |
|
11/15/18 |
|
8.000 |
|
3,626,375 |
|
||
724 |
|
STHI Holding Corp., Rule 144A, Secured Notes (Callable 03/15/14 @ 106.00) |
|
(B, B2) |
|
03/15/18 |
|
8.000 |
|
773,775 |
|
||
|
|
|
|
|
|
|
|
|
|
4,400,150 |
|
||
Insurance Brokerage (0.3%) |
|
|
|
|
|
|
|
|
|
||||
3,000 |
|
Towergate Finance PLC, Rule 144A, Senior Secured Notes (Callable 05/15/14 @ 101.00)#£ |
|
(NR, B1) |
|
02/15/18 |
|
6.021 |
|
4,989,515 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Investments & Misc. Financial Services (0.2%) |
|
|
|
|
|
|
|
|
|
||||
2,000 |
|
Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 08/01/16 @ 106.28)£ |
|
(BB, B1) |
|
08/01/20 |
|
8.375 |
|
3,614,079 |
|
||
500 |
|
Cabot Financial Luxembourg S.A., Rule 144A, Senior Secured Notes (Callable 10/01/15 @ 107.78)£ |
|
(BB, B1) |
|
10/01/19 |
|
10.375 |
|
953,201 |
|
||
|
|
|
|
|
|
|
|
|
|
4,567,280 |
|
||
Leisure (0.1%) |
|
|
|
|
|
|
|
|
|
||||
1,000 |
|
Six Flags Entertainment Corp., Rule 144A, Company Guaranteed Notes (Callable 01/15/16 @ 103.94) |
|
(BB-, B3) |
|
01/15/21 |
|
5.250 |
|
992,500 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Media - Cable (0.2%) |
|
|
|
|
|
|
|
|
|
||||
3,000 |
|
Altice Financing S.A., Rule 144A, Company Guaranteed Notes (Callable 12/15/16 @ 104.88) |
|
(BB-, B1) |
|
01/15/22 |
|
6.500 |
|
3,045,000 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Media - Diversified (0.5%) |
|
|
|
|
|
|
|
|
|
||||
8,390 |
|
Block Communications, Inc., Rule 144A, Senior Unsecured Notes (Callable 02/01/16 @ 103.63) |
|
(BB-, Ba3) |
|
02/01/20 |
|
7.250 |
|
8,956,325 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Media - Services (0.6%) |
|
|
|
|
|
|
|
|
|
||||
3,000 |
|
Cerved Group SpA, Rule 144A, Senior Secured Notes (Callable 01/15/15 @ 100.00)# |
|
(B, B2) |
|
01/15/19 |
|
5.657 |
|
4,109,370 |
|
||
575 |
|
Clear Channel Worldwide Holdings, Inc., Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25)§ |
|
(B, B1) |
|
11/15/22 |
|
6.500 |
|
590,813 |
|
||
1,400 |
|
Clear Channel Worldwide Holdings, Inc., Series B, Global Company Guaranteed Notes (Callable 11/15/17 @ 103.25) |
|
(B, B1) |
|
11/15/22 |
|
6.500 |
|
1,445,500 |
|
||
Par
|
|
|
|
Ratings
|
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
CORPORATE BONDS |
|
|
|
|
|
|
|
|
|||||
Support-Services (0.5%) |
|
|
|
|
|
|
|
|
|||||
$ |
2,500 |
|
CoreLogic, Inc., Global Company Guaranteed Notes (Callable 06/01/16 @ 103.63)§ |
|
(B+, B1) |
|
06/01/21 |
|
7.250 |
|
$ |
2,690,625 |
|
5,500 |
|
EnergySolutions LLC, Global Company Guaranteed Notes (Callable 08/15/14 @ 105.38) |
|
(B+, Caa2) |
|
08/15/18 |
|
10.750 |
|
5,871,250 |
|
||
|
|
|
|
|
|
|
|
|
|
8,561,875 |
|
||
Telecom - Integrated/Services (0.3%) |
|
|
|
|
|
|
|
|
|
||||
100 |
|
Hellas Telecommunications Luxembourg II S.C.A., Rule 144A, Subordinated Notesø^ |
|
(NR, NR) |
|
01/15/15 |
|
0.000 |
|
|
|
||
5,699 |
|
Hughes Satellite Systems Corp., Global Senior Secured Notes |
|
(B+, Ba3) |
|
06/15/19 |
|
6.500 |
|
6,226,157 |
|
||
|
|
|
|
|
|
|
|
|
|
6,226,157 |
|
||
Telecommunications Equipment (0.3%) |
|
|
|
|
|
|
|
|
|
||||
2,600 |
|
Brightstar Corp., Rule 144A, Company Guaranteed Notes (Callable 12/01/14 @ 104.75) |
|
(B+, B1) |
|
12/01/16 |
|
9.500 |
|
2,873,000 |
|
||
1,690 |
|
Brightstar Corp., Rule 144A, Senior Unsecured Notes (Callable 08/01/15 @ 105.44)§ |
|
(B+, B1) |
|
08/01/18 |
|
7.250 |
|
1,850,550 |
|
||
|
|
|
|
|
|
|
|
|
|
4,723,550 |
|
||
Textiles & Apparel (0.1%) |
|
|
|
|
|
|
|
|
|
||||
275 |
|
IT Holding Finance S.A., Company Guaranteed Notesø |
|
(NR, NR) |
|
11/15/25 |
|
9.875 |
|
3,653 |
|
||
1,000 |
|
Takko Luxembourg 2 S.C.A., Rule 144A, Senior Secured Notes (Callable 04/15/16 @ 104.94) |
|
(B-, B3) |
|
04/15/19 |
|
9.875 |
|
1,267,300 |
|
||
|
|
|
|
|
|
|
|
|
|
1,270,953 |
|
||
Theaters & Entertainment (0.5%) |
|
|
|
|
|
|
|
|
|
||||
1,500 |
|
AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 06/01/14 @ 104.38) |
|
(B-, B2) |
|
06/01/19 |
|
8.750 |
|
1,601,250 |
|
||
1,000 |
|
AMC Entertainment, Inc., Global Company Guaranteed Notes (Callable 12/01/15 @ 104.88) |
|
(CCC+, Caa1) |
|
12/01/20 |
|
9.750 |
|
1,152,500 |
|
||
4,050 |
|
National CineMedia LLC, Global Senior Secured Notes (Callable 04/15/17 @ 103.00) |
|
(BB-, Ba2) |
|
04/15/22 |
|
6.000 |
|
4,232,250 |
|
||
1,619 |
|
National CineMedia LLC, Global Senior Unsecured Notes (Callable 07/15/16 @ 103.94)§ |
|
(B, B2) |
|
07/15/21 |
|
7.875 |
|
1,793,042 |
|
||
|
|
|
|
|
|
|
|
|
|
8,779,042 |
|
||
TOTAL CORPORATE BONDS (Cost $202,313,189) |
|
|
|
|
|
|
|
204,657,883 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
ASSET BACKED SECURITIES (3.1%) |
|
|
|
|
|
|
|
|
|
||||
Collateralized Debt Obligations (3.1%) |
|
|
|
|
|
|
|
|
|
||||
1,000 |
|
ACAS CLO Ltd., 2012-1A, Rule 144A# |
|
(BBB, NR) |
|
09/20/23 |
|
5.095 |
|
999,392 |
|
||
3,000 |
|
ACAS CLO Ltd., 2013-2A, Rule 144A# |
|
(BB, NR) |
|
10/25/25 |
|
4.759 |
|
2,683,428 |
|
||
2,250 |
|
ALM V Ltd., 2012-5A, Rule 144A# |
|
(NR, Ba2) |
|
02/13/23 |
|
5.739 |
|
2,238,032 |
|
||
1,875 |
|
ARES XXV CLO Ltd., 2012-3A, Rule 144A# |
|
(BBB, NR) |
|
01/17/24 |
|
4.888 |
|
1,887,545 |
|
||
2,000 |
|
Atlas Senior Loan Fund III Ltd., 2013-1A, Rule 144A# |
|
(BBB, NR) |
|
08/18/25 |
|
3.770 |
|
1,910,976 |
|
||
1,000 |
|
Avalon IV Capital Ltd., 2012-1A, Rule 144A# |
|
(BBB, NR) |
|
04/17/23 |
|
5.238 |
|
1,002,050 |
|
||
1,750 |
|
Babson CLO Ltd., 2013-IA, Rule 144A# |
|
(BB, NR) |
|
04/20/25 |
|
4.637 |
|
1,636,693 |
|
||
500 |
|
Black Diamond CLO Ltd., 2012-1A, Rule 144A# |
|
(BB, NR) |
|
02/01/23 |
|
6.238 |
|
497,729 |
|
||
1,000 |
|
BlueMountain CLO Ltd., 2013-2A, Rule 144A# |
|
(BB, NR) |
|
01/22/25 |
|
5.287 |
|
958,191 |
|
||
2,000 |
|
Carlyle Global Market Strategies CLO Ltd., 2013-3A, Rule 144A# |
|
(BB, NR) |
|
07/15/25 |
|
4.839 |
|
1,873,598 |
|
||
2,000 |
|
Central Park CLO Ltd., 2011-1A, Rule 144A# |
|
(BB, NR) |
|
07/23/22 |
|
4.737 |
|
1,883,496 |
|
||
1,000 |
|
CIFC Funding Ltd., 2012-3A, Rule 144A# |
|
(BB-, NR) |
|
01/29/25 |
|
6.236 |
|
999,755 |
|
||
2,250 |
|
CIFC Funding Ltd., 2012-3A, Rule 144A# |
|
(B, NR) |
|
01/29/25 |
|
7.136 |
|
2,262,978 |
|
||
2,000 |
|
CIFC Funding Ltd., 2013-3A, Rule 144A# |
|
(BB, NR) |
|
10/24/25 |
|
5.006 |
|
1,919,670 |
|
||
1,500 |
|
Halcyon Loan Advisors Funding Ltd., 2012-2A, Rule 144A# |
|
(BB, NR) |
|
12/20/24 |
|
5.645 |
|
1,430,936 |
|
||
2,000 |
|
Halcyon Structured Asset Management Long Secured/Short Unsecured, 2007-2A, Rule 144A# |
|
(BBB, Ba1) |
|
10/29/21 |
|
3.986 |
|
2,030,666 |
|
||
3,000 |
|
ING Investment Management CLO Ltd., 2011-1A, Rule 144A# |
|
(BB, NR) |
|
06/22/21 |
|
4.746 |
|
2,790,042 |
|
||
2,000 |
|
Jamestown CLO Ltd., 2013-3A, Rule 144A# |
|
(BB-, NR) |
|
01/15/26 |
|
4.843 |
|
1,802,214 |
|
||
1,250 |
|
KKR Financial CLO Corp., 2007-1A, Rule 144A# |
|
(A, A3) |
|
05/15/21 |
|
2.491 |
|
1,232,032 |
|
||
1,850 |
|
KVK CLO Ltd., 2012-1A, Rule 144A# |
|
(BB, NR) |
|
07/15/23 |
|
6.489 |
|
1,878,340 |
|
||
3,000 |
|
KVK CLO Ltd., 2013-1A, Rule 144A# |
|
(BB, NR) |
|
04/14/25 |
|
5.742 |
|
2,889,447 |
|
||
3,000 |
|
Marquette Park CLO Ltd., 2005-1A, Rule 144A# |
|
(AA-, Aa3) |
|
07/12/20 |
|
2.042 |
|
2,932,638 |
|
||
2,000 |
|
Neuberger Berman CLO Ltd., 2012-12A, Rule 144A# |
|
(BB, NR) |
|
07/25/23 |
|
7.239 |
|
2,016,182 |
|
||
Par
|
|
|
|
Ratings
|
|
Maturity |
|
Rate% |
|
Value |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
ASSET BACKED SECURITIES |
|
|
|
|
|
|
|
|
|
||||
Collateralized Debt Obligations |
|
|
|
|
|
|
|
|
|
||||
$ |
1,000 |
|
Ocean Trails CLO II, 2007-2X# |
|
(BBB-, Ba2) |
|
06/27/22 |
|
2.592 |
|
$ |
964,047 |
|
2,500 |
|
OZLM Funding Ltd., 2013-5A, Rule 144A# |
|
(BB, NR) |
|
01/17/26 |
|
5.028 |
|
2,349,752 |
|
||
2,000 |
|
Shackleton I CLO Ltd., 2012-1A, Rule 144A# |
|
(BB, NR) |
|
08/14/23 |
|
6.439 |
|
1,999,674 |
|
||
1,750 |
|
Shackleton II CLO Ltd., 2012-2A, Rule 144A# |
|
(BBB, NR) |
|
10/20/23 |
|
4.287 |
|
1,743,415 |
|
||
2,500 |
|
Sound Point CLO Ltd., 2013-3A, Rule 144A# |
|
(NR, Ba3) |
|
01/21/26 |
|
4.782 |
|
2,234,205 |
|
||
2,750 |
|
Symphony CLO VIII LP, 2012-8A, Rule 144A# |
|
(BBB, NR) |
|
01/09/23 |
|
4.842 |
|
2,753,472 |
|
||
1,666 |
|
Venture X CLO Ltd., 2012-12A, Rule 144A# |
|
(BB, NR) |
|
02/28/24 |
|
5.538 |
|
1,616,303 |
|
||
2,250 |
|
Whitehorse VII Ltd., 2013-1A, Rule 144A# |
|
(BB-, NR) |
|
11/24/25 |
|
5.106 |
|
2,129,890 |
|
||
TOTAL ASSET BACKED SECURITIES (Cost $56,519,210) |
|
|
|
|
|
|
|
57,546,788 |
|
||||
|
|
|
|
|
|
|
|
|
|
|
|
||
Number of
|
|
|
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
COMMON STOCKS (0.0%) |
|
|
|
|
|
|
|
|
|
||||
Automotive (0.0%) |
|
|
|
|
|
|
|
|
|
||||
588 |
|
Safelite Realty Corp.*^ |
|
|
|
|
|
|
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Building & Construction (0.0%) |
|
|
|
|
|
|
|
|
|
||||
6,800 |
|
Ashton Woods U.S.A. LLC, Class B*^ |
|
|
|
|
|
|
|
101,388 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Chemicals (0.0%) |
|
|
|
|
|
|
|
|
|
||||
9,785 |
|
Huntsman Corp. |
|
|
|
|
|
|
|
214,487 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Gaming (0.0%) |
|
|
|
|
|
|
|
|
|
||||
10,150 |
|
Majestic Holdco LLC* |
|
|
|
|
|
|
|
8,120 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Health Services (0.0%) |
|
|
|
|
|
|
|
|
|
||||
22 |
|
Magellan Health Services, Inc.* |
|
|
|
|
|
|
|
1,317 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Printing & Publishing (0.0%) |
|
|
|
|
|
|
|
|
|
||||
1,131 |
|
F & W Media, Inc.* |
|
|
|
|
|
|
|
11,310 |
|
||
TOTAL COMMON STOCKS (Cost $93,165) |
|
|
|
|
|
|
|
336,622 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
WARRANT (0.0%) |
|
|
|
|
|
|
|
|
|
||||
Printing & Publishing (0.0%) |
|
|
|
|
|
|
|
|
|
||||
1,673 |
|
The Readers Digest Association, Inc., strike price $0.00, expires 02/19/14*^ (Cost $) |
|
|
|||||||||
|
|
|
|
|
|
|
|
|
|
|
|
||
SHORT-TERM INVESTMENTS (11.6%) |
|
|
|
|
|
|
|
|
|
||||
10,934,403 |
|
State Street Navigator Prime Portfolio, 0.05%§§ |
|
|
|
|
|
|
|
10,934,403 |
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
Par
|
|
|
|
|
|
Maturity |
|
Rate% |
|
|
|
||
|
|
|
|
|
|
|
|
|
|
|
|
||
$ |
202,716 |
|
State Street Bank and Trust Co. Euro Time Deposit |
|
|
|
02/03/14 |
|
0.010 |
|
202,716,000 |
|
|
TOTAL SHORT-TERM INVESTMENTS (Cost $213,650,403) |
|
|
|
|
|
|
|
213,650,403 |
|
||||
|
|
|
|
|
|
|
|
|
|
||||
TOTAL INVESTMENTS AT VALUE (105.5%) (Cost $1,927,942,737) |
|
|
|
1,939,606,893 |
|
||||||||
|
|
|
|
|
|
|
|
|
|
||||
LIABILITIES IN EXCESS OF OTHER ASSETS (-5.5%) |
|
|
|
|
|
|
|
(101,188,564 |
) |
||||
|
|
|
|
|
|
|
|
|
|
||||
NET ASSETS (100.0%) |
|
|
|
|
|
|
|
$ |
1,838,418,329 |
|
INVESTMENT ABBREVIATION
NR = Not Rated
|
|
Credit ratings given by the Standard & Poors Division of The McGraw-Hill Companies, Inc. (S&P) and Moodys Investors Service, Inc. (Moodys) are unaudited. |
# |
|
Variable rate obligations The interest rate is the rate as of January 31, 2014. |
£ |
|
This security is denominated in British Pound. |
|
|
This security is denominated in Euro. |
§ |
|
Security or portion thereof is out on loan. |
|
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At January 31, 2014, these securities amounted to a value of $139,732,049 or 7.6% of net assets. |
* |
|
Non-income producing security. |
ø |
|
Bond is currently in default. |
^ |
|
Not readily marketable security; security is valued at fair value as determined in good faith by, or under the direction of, the Board of Trustees. |
§§ |
|
Represents security purchased with cash collateral received for securities on loan. The rate shown is the annualized one-day yield at January 31, 2014. |
At January 31, 2014, Open Forward Foreign Currency Contracts were as follows:
Forward Foreign
|
|
Forward Foreign
|
|
Expiration
|
|
Counterparty |
|
Value on
|
|
Current
|
|
Net Unrealized
|
|
|||||||
EUR |
|
2,400,000 |
|
USD |
|
3,236,160 |
|
02/04/14 |
|
Morgan Stanley |
|
$ |
3,236,160 |
|
$ |
3,236,521 |
|
$ |
361 |
|
GBP |
|
2,000,000 |
|
USD |
|
3,287,000 |
|
02/04/14 |
|
Morgan Stanley |
|
3,287,000 |
|
3,286,901 |
|
(99 |
) |
|||
USD |
|
68,833,019 |
|
EUR |
|
50,430,000 |
|
04/16/14 |
|
Morgan Stanley |
|
(68,833,019 |
) |
(68,009,494 |
) |
823,525 |
|
|||
USD |
|
28,114,153 |
|
GBP |
|
17,170,000 |
|
04/16/14 |
|
Morgan Stanley |
|
(28,114,153 |
) |
(28,202,930 |
) |
(88,777 |
) |
|||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
735,010 |
|
||
Currency Abbreviations:
EUR = Euro
GBP = British Pound
USD = United States Dollar
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
· |
|
Level 1quoted prices in active markets for identical investments |
· |
|
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
· |
|
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Funds assets and liabilities carried at fair value:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
Bank Loans |
|
$ |
|
|
$ |
1,457,930,956 |
|
$ |
5,484,241 |
|
$ |
1,463,415,197 |
|
Corporate Bonds |
|
|
|
204,657,843 |
|
40 |
|
204,657,883 |
|
||||
Asset Backed Securities |
|
|
|
57,546,788 |
|
|
|
57,546,788 |
|
||||
Common Stocks |
|
215,804 |
|
19,430 |
|
101,388 |
|
336,622 |
|
||||
Warrants |
|
|
|
|
|
|
|
|
|
||||
Short-term Investments |
|
10,934,403 |
|
202,716,000 |
|
|
|
213,650,403 |
|
||||
Other Financial Instruments* |
|
|
|
|
|
|
|
|
|
||||
Forward Foreign Currency Contracts |
|
|
|
735,010 |
|
|
|
735,010 |
|
||||
|
|
$ |
11,150,207 |
|
$ |
1,923,606,027 |
|
$ |
5,585,669 |
|
$ |
1,940,341,903 |
|
* Other financial instruments include unrealized appreciation/(depreciation) on forward foreign currency contracts.
The following is a reconciliation of investments as of January 31, 2014 in which significant unobservable inputs (Level 3) were used in determining value. Transfers in or out of Level 3 represent the ending value of any security or instrument where a change in the level has occurred from the beginning to the end of the period.
|
|
Bank
|
|
Corporate
|
|
Common
|
|
Warrants |
|
Total |
|
|||||
Balance as of October 31, 2013 |
|
$ |
|
|
$ |
40 |
|
$ |
101,388 |
|
$ |
0 |
|
$ |
101,428 |
|
Accrued discounts/premiums |
|
26,189 |
|
|
|
|
|
|
|
26,189 |
|
|||||
Purchases |
|
1,970,000 |
|
|
|
|
|
|
|
1,970,000 |
|
|||||
Sales |
|
|
|
|
|
|
|
|
|
|
|
|||||
Realized gain/(loss) |
|
|
|
|
|
|
|
|
|
|
|
|||||
Change in unrealized appreciation/(depreciation) |
|
51,311 |
|
0 |
|
0 |
|
|
|
51,311 |
|
|||||
Transfers into Level 3 |
|
3,436,741 |
|
|
|
|
|
|
|
3,436,741 |
|
|||||
Transfers out of Level 3 |
|
|
|
|
|
|
|
|
|
|
|
|||||
Balance as of January 31, 2014 |
|
$ |
5,484,241 |
|
$ |
40 |
|
$ |
101,388 |
|
$ |
0 |
|
$ |
5,585,669 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||
Net change in unrealized appreciation/(depreciation) from investments still held as of January 31, 2014 |
|
$ |
51,311 |
|
$ |
0 |
|
$ |
0 |
|
$ |
0 |
|
$ |
51,311 |
|
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no significant transfers in and out of Level 1 and Level 2, but there was $3,436,741 transferred in from Level 2 to Level 3, due to lack of observable market data because of decrease in market activity. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
Cost of investments |
|
$ |
1,927,942,737 |
|
Unrealized appreciation |
|
$ |
18,137,984 |
|
Unrealized depreciation |
|
(6,473,828 |
) |
|
Net unrealized appreciation/(depreciation) |
|
$ |
11,664,156 |
|
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Credit Suisse Emerging Markets Equity Fund
Schedule of Investments
January 31, 2014 (unaudited)
|
|
Number of
|
|
Value |
|
|
COMMON STOCKS (88.5%) |
|
|
|
|
|
|
BRAZIL (8.9%) |
|
|
|
|
|
|
Capital Markets (0.4%) |
|
|
|
|
|
|
Grupo BTG Pactual (Unit) |
|
8,000 |
|
$ |
82,946 |
|
|
|
|
|
|
|
|
Commercial Banks (1.7%) |
|
|
|
|
|
|
Banco do Brasil S.A. |
|
36,000 |
|
308,567 |
|
|
|
|
|
|
|
|
|
Diversified Consumer Services (1.2%) |
|
|
|
|
|
|
Kroton Educacional S.A. |
|
14,800 |
|
225,380 |
|
|
|
|
|
|
|
|
|
Household Durables (1.6%) |
|
|
|
|
|
|
Cyrela Brazil Realty S.A. |
|
23,400 |
|
137,538 |
|
|
MRV Engenharia e Participacoes S.A. |
|
50,000 |
|
169,610 |
|
|
|
|
|
|
307,148 |
|
|
Insurance (0.8%) |
|
|
|
|
|
|
Porto Seguro S.A. |
|
13,100 |
|
152,269 |
|
|
|
|
|
|
|
|
|
IT Services (0.6%) |
|
|
|
|
|
|
Cielo S.A. |
|
4,400 |
|
116,129 |
|
|
|
|
|
|
|
|
|
Metals & Mining (2.1%) |
|
|
|
|
|
|
Vale S.A., ADR |
|
29,000 |
|
394,400 |
|
|
|
|
|
|
|
|
|
Transportation Infrastructure (0.5%) |
|
|
|
|
|
|
Arteris S.A. |
|
12,500 |
|
85,680 |
|
|
|
|
|
|
1,672,519 |
|
|
CHINA (16.0%) |
|
|
|
|
|
|
Commercial Banks (8.2%) |
|
|
|
|
|
|
Agricultural Bank of China, Ltd., Series H |
|
454,000 |
|
198,167 |
|
|
Bank of China, Ltd., Series H |
|
911,000 |
|
384,465 |
|
|
China CITIC Bank Corp., Ltd., Series H |
|
353,000 |
|
168,850 |
|
|
China Minsheng Banking Corp., Ltd., Series H |
|
129,000 |
|
125,953 |
|
|
Chongqing Rural Commercial Bank, Series H |
|
273,000 |
|
115,508 |
|
|
Industrial & Commercial Bank of China, Ltd., Series H |
|
874,000 |
|
539,924 |
|
|
|
|
|
|
1,532,867 |
|
|
Communications Equipment (0.7%) |
|
|
|
|
|
|
Coolpad Group, Ltd. |
|
240,000 |
|
129,245 |
|
|
|
|
|
|
|
|
|
Construction & Engineering (0.5%) |
|
|
|
|
|
|
China Communications Construction Co., Ltd., Series H |
|
131,000 |
|
95,320 |
|
|
|
|
|
|
|
|
|
Food Products (1.9%) |
|
|
|
|
|
|
Biostime International Holdings, Ltd. |
|
23,500 |
|
202,414 |
|
|
Labixiaoxin Snacks Group, Ltd. |
|
231,000 |
|
148,748 |
|
|
|
|
|
|
351,162 |
|
|
Hotels, Restaurants & Leisure (0.6%) |
|
|
|
|
|
|
Ctrip.com International, Ltd., ADR * |
|
2,800 |
|
110,628 |
|
|
|
|
|
|
|
|
|
Internet Software & Services (0.9%) |
|
|
|
|
|
|
Tencent Holdings, Ltd. |
|
2,400 |
|
168,087 |
|
|
|
|
|
|
|
|
|
Life Sciences Tools & Services (1.3%) |
|
|
|
|
|
|
WuXi PharmaTech Cayman, Inc., ADR * |
|
7,300 |
|
254,770 |
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels (1.0%) |
|
|
|
|
|
|
China Petroleum & Chemical Corp., Series H |
|
238,000 |
|
187,666 |
|
|
|
|
|
|
|
|
|
Software (0.9%) |
|
|
|
|
|
|
Giant Interactive Group, Inc., ADR |
|
16,400 |
|
180,564 |
|
|
|
|
|
|
3,010,309 |
|
|
CYPRUS (0.8%) |
|
|
|
|
|
|
Road & Rail (0.8%) |
|
|
|
|
|
|
Globaltrans Investment PLC, GDR, Reg S |
|
10,800 |
|
143,100 |
|
|
|
|
|
|
|
|
|
HONG KONG (7.0%) |
|
|
|
|
|
|
Chemicals (0.6%) |
|
|
|
|
|
|
Huabao International Holdings, Ltd. |
|
207,000 |
|
105,333 |
|
|
|
|
Number of
|
|
Value |
|
|
COMMON STOCKS |
|
|
|
|
|
|
HONG KONG |
|
|
|
|
|
|
Construction & Engineering (0.7%) |
|
|
|
|
|
|
China Singyes Solar Technologies Holdings, Ltd. |
|
119,000 |
|
$ |
135,221 |
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure (1.4%) |
|
|
|
|
|
|
Galaxy Entertainment Group, Ltd. * |
|
27,000 |
|
263,880 |
|
|
|
|
|
|
|
|
|
Industrial Conglomerates (1.7%) |
|
|
|
|
|
|
Hutchison Whampoa, Ltd. |
|
16,000 |
|
198,220 |
|
|
Jardine Strategic Holdings, Ltd. |
|
3,500 |
|
113,598 |
|
|
|
|
|
|
311,818 |
|
|
Oil, Gas & Consumable Fuels (0.7%) |
|
|
|
|
|
|
CNOOC, Ltd. |
|
91,000 |
|
141,333 |
|
|
|
|
|
|
|
|
|
Real Estate Management & Development (1.4%) |
|
|
|
|
|
|
China Overseas Land & Investment, Ltd. |
|
46,000 |
|
123,464 |
|
|
Shimao Property Holdings, Ltd. |
|
62,500 |
|
136,336 |
|
|
|
|
|
|
259,800 |
|
|
Wireless Telecommunication Services (0.5%) |
|
|
|
|
|
|
China Mobile, Ltd. |
|
9,500 |
|
90,702 |
|
|
|
|
|
|
1,308,087 |
|
|
INDIA (2.4%) |
|
|
|
|
|
|
Automobiles (1.0%) |
|
|
|
|
|
|
Tata Motors, Ltd., ADR |
|
6,600 |
|
183,810 |
|
|
|
|
|
|
|
|
|
Commercial Banks (0.7%) |
|
|
|
|
|
|
State Bank of India, GDR, Reg S |
|
2,800 |
|
134,568 |
|
|
|
|
|
|
|
|
|
Pharmaceuticals (0.7%) |
|
|
|
|
|
|
Dr Reddys Laboratories, Ltd., ADR |
|
3,000 |
|
125,160 |
|
|
|
|
|
|
443,538 |
|
|
INDONESIA (2.2%) |
|
|
|
|
|
|
Food Products (1.4%) |
|
|
|
|
|
|
Indofood Sukses Makmur Tbk PT |
|
439,600 |
|
251,300 |
|
|
|
|
|
|
|
|
|
Gas Utilities (0.8%) |
|
|
|
|
|
|
Perusahaan Gas Negara Persero Tbk PT |
|
392,500 |
|
152,678 |
|
|
|
|
|
|
403,978 |
|
|
JAPAN (0.5%) |
|
|
|
|
|
|
Household Products (0.5%) |
|
|
|
|
|
|
Pigeon Corp. |
|
2,000 |
|
91,242 |
|
|
|
|
|
|
|
|
|
MEXICO (4.0%) |
|
|
|
|
|
|
Metals & Mining (1.5%) |
|
|
|
|
|
|
Grupo Mexico SAB de CV, Series B |
|
89,400 |
|
287,806 |
|
|
|
|
|
|
|
|
|
Transportation Infrastructure (1.2%) |
|
|
|
|
|
|
OHL Mexico SAB de CV * |
|
89,000 |
|
218,081 |
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services (1.3%) |
|
|
|
|
|
|
America Movil SAB de CV, Series L |
|
236,000 |
|
251,489 |
|
|
|
|
|
|
757,376 |
|
|
NETHERLANDS (1.4%) |
|
|
|
|
|
|
Wireless Telecommunication Services (1.4%) |
|
|
|
|
|
|
VimpelCom, Ltd., ADR |
|
27,000 |
|
261,630 |
|
|
|
|
|
|
|
|
|
RUSSIA (6.5%) |
|
|
|
|
|
|
Commercial Banks (1.4%) |
|
|
|
|
|
|
Sberbank of Russia |
|
92,000 |
|
255,292 |
|
|
|
|
|
|
|
|
|
Food & Staples Retailing (0.7%) |
|
|
|
|
|
|
Magnit OJSC, GDR, Reg S |
|
2,600 |
|
137,150 |
|
|
|
|
|
|
|
|
|
Oil, Gas & Consumable Fuels (4.4%) |
|
|
|
|
|
|
Gazprom OAO, ADR |
|
24,000 |
|
199,440 |
|
|
|
|
Number of
|
|
Value |
|
|
COMMON STOCKS |
|
|
|
|
|
|
RUSSIA |
|
|
|
|
|
|
Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
Lukoil OAO, ADR |
|
9,000 |
|
$ |
513,000 |
|
NovaTek OAO |
|
11,000 |
|
122,923 |
|
|
|
|
|
|
835,363 |
|
|
|
|
|
|
1,227,805 |
|
|
SINGAPORE (0.8%) |
|
|
|
|
|
|
Industrial Conglomerates (0.8%) |
|
|
|
|
|
|
Sembcorp Industries, Ltd. |
|
37,000 |
|
151,730 |
|
|
|
|
|
|
|
|
|
SOUTH AFRICA (4.3%) |
|
|
|
|
|
|
Household Durables (1.7%) |
|
|
|
|
|
|
Steinhoff International Holdings, Ltd. |
|
78,400 |
|
322,189 |
|
|
|
|
|
|
|
|
|
Pharmaceuticals (0.9%) |
|
|
|
|
|
|
Aspen Pharmacare Holdings, Ltd. |
|
7,500 |
|
169,194 |
|
|
|
|
|
|
|
|
|
Specialty Retail (1.0%) |
|
|
|
|
|
|
The Foschini Group, Ltd. |
|
22,500 |
|
187,511 |
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services (0.7%) |
|
|
|
|
|
|
MTN Group, Ltd. |
|
7,500 |
|
133,244 |
|
|
|
|
|
|
812,138 |
|
|
SOUTH KOREA (12.4%) |
|
|
|
|
|
|
Automobiles (3.8%) |
|
|
|
|
|
|
Hyundai Motor Co. |
|
1,700 |
|
368,943 |
|
|
Kia Motors Corp. |
|
5,000 |
|
249,466 |
|
|
Kolao Holdings |
|
4,200 |
|
87,377 |
|
|
|
|
|
|
705,786 |
|
|
Construction & Engineering (0.8%) |
|
|
|
|
|
|
Daelim Industrial Co., Ltd. |
|
2,100 |
|
160,648 |
|
|
|
|
|
|
|
|
|
Insurance (0.6%) |
|
|
|
|
|
|
Hyundai Marine & Fire Insurance Co., Ltd. |
|
3,800 |
|
109,112 |
|
|
|
|
|
|
|
|
|
Media (0.5%) |
|
|
|
|
|
|
CJ E&M Corp. * |
|
3,000 |
|
93,851 |
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment (2.8%) |
|
|
|
|
|
|
Samsung Electronics Co., Ltd. |
|
450 |
|
532,894 |
|
|
|
|
|
|
|
|
|
Software (0.9%) |
|
|
|
|
|
|
NCSoft Corp. |
|
900 |
|
165,445 |
|
|
|
|
|
|
|
|
|
Wireless Telecommunication Services (3.0%) |
|
|
|
|
|
|
SK Telecom Co., Ltd. |
|
2,800 |
|
564,159 |
|
|
|
|
|
|
2,331,895 |
|
|
TAIWAN (12.0%) |
|
|
|
|
|
|
Commercial Banks (0.6%) |
|
|
|
|
|
|
Kings Town Bank |
|
124,000 |
|
120,768 |
|
|
|
|
|
|
|
|
|
Computers & Peripherals (2.7%) |
|
|
|
|
|
|
Asustek Computer, Inc. |
|
23,000 |
|
211,015 |
|
|
Catcher Technology Co., Ltd. |
|
29,000 |
|
192,362 |
|
|
Inventec Corp. |
|
105,000 |
|
96,874 |
|
|
|
|
|
|
500,251 |
|
|
Electronic Equipment, Instruments & Components (1.6%) |
|
|
|
|
|
|
Hon Hai Precision Industry Co., Ltd. |
|
107,000 |
|
298,914 |
|
|
|
|
|
|
|
|
|
Semiconductors & Semiconductor Equipment (5.1%) |
|
|
|
|
|
|
Hermes Microvision, Inc. |
|
4,000 |
|
116,407 |
|
|
Radiant Opto-Electronics Corp. |
|
35,000 |
|
151,906 |
|
|
Taiwan Semiconductor Manufacturing Co., Ltd. |
|
198,000 |
|
681,804 |
|
|
|
|
|
|
950,117 |
|
|
|
|
|
|
Value |
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS AT VALUE (99.9%) (Cost $19,887,665) |
|
|
|
$ |
18,738,803 |
|
|
|
|
|
|
|
|
OTHER ASSETS IN EXCESS OF LIABILITIES (0.1%) |
|
|
|
16,010 |
|
|
|
|
|
|
|
|
|
NET ASSETS (100.0%) |
|
|
|
$ |
18,754,813 |
|
INVESTMENT ABBREVIATIONS
ADR = American Depositary Receipt
GDR = Global Depositary Receipt
NVDR = Non-Voting Depository Receipt
Reg S = Regulation S
* Non-income producing security.
SECURITY VALUATION The net asset value of the Fund is determined daily as of the close of regular trading on the New York Stock Exchange, Inc. (the Exchange) on each day the Exchange is open for business. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services, which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Short-term fixed income securities that will mature in 60 days or less may be valued at amortized cost. Structured note agreements are valued in accordance with a dealer-supplied valuation based on changes in the value of the underlying index. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. Forward contracts are valued at the London closing spot rates and the London closing forward point rates on a daily basis. The currency forward contract pricing model derives the differential in point rates to the expiration date of the forward and calculates its present value. The forward is valued at the net of the present value and the spot rate and are generally categorized as Level 2. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The Fund may utilize a service provided by an independent third party which has been approved by the Board of Trustees to fair value certain securities. When fair value pricing is employed, the prices of securities used by the Fund to calculate its net asset value may differ from quoted or published prices for the same securities. If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the investment adviser to be unreliable, the market price may be determined by the investment adviser using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP established a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
· |
Level 1quoted prices in active markets for identical investments |
· |
Level 2other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
· |
Level 3significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used as of January 31, 2014 in valuing the Funds assets and liabilities carried at fair value:
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
||||
Investments in Securities |
|
|
|
|
|
|
|
|
|
||||
Common Stocks |
|
$ |
4,091,193 |
|
$ |
12,500,581 |
|
$ |
|
|
$ |
16,591,774 |
|
Preferred Stocks |
|
|
|
642,851 |
|
|
|
642,851 |
|
||||
Exchange Traded Funds |
|
|
|
863,178 |
|
|
|
863,178 |
|
||||
Short-term Investment |
|
|
|
641,000 |
|
|
|
641,000 |
|
||||
|
|
$ |
4,091,193 |
|
$ |
14,647,610 |
|
$ |
|
|
$ |
18,738,803 |
|
The Fund follows Financial Accounting Standards Board (FASB) amendments to authoritative guidance which require the Fund to disclose details of transfers in and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. For the quarter ended January 31, 2014, there were no transfers in and out of Level 1, Level 2 and Level 3. All transfers are assumed to occur at the end of the reporting period.
Federal Income Tax Cost - At January 31, 2014, the cost of investments (excluding foreign currency related transactions) and net unrealized appreciation/(depreciation) for income tax purposes were as follows:
Cost of investments |
|
$ |
19,887,665 |
|
Unrealized appreciation |
|
$ |
205,658 |
|
Unrealized depreciation |
|
(1,354,520 |
) |
|
Net unrealized appreciation/(depreciation) |
|
$ |
(1,148,862 |
) |
Other information regarding the Fund is available in the most recent Report to Shareholders. This information is also available on the Funds website at www.credit-suisse.com/us/funds as well as on the website of the Securities and Exchange Commission at www.sec.gov.
Item 2: Controls and Procedures
(a) As of a date within 90 days from the filing date of this report, the principal executive officer and principal financial officer concluded that the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the Act)), were effective based on their evaluation of the disclosure controls and procedures required by Rule 30a-3(b) under the Act and Rules 13a-15(b) or 15d-15(b) under the Securities and Exchange Act of 1934.
(b) There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the registrants last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrants internal control over financial reporting.
Item 3: Exhibits
1. The certifications of the registrant as required by Rule 30a-2(a) under the Act are exhibits to this report.
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.
CREDIT SUISSE OPPORTUNITY FUNDS |
||
|
||
/s/John G. Popp |
|
|
Name: |
John G. Popp |
|
Title: |
Chief Executive Officer and President |
|
Date: |
March 18, 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.
/s/John G. Popp |
|
|
Name: |
John G. Popp |
|
Title: |
Chief Executive Officer and President |
|
Date: |
March 18, 2014 |
|
|
|
|
/s/Bruce S. Rosenberg |
|
|
Name: |
Bruce S. Rosenberg |
|
Title: |
Chief Financial Officer |
|
Date: |
March 18, 2014 |
|
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