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Name | Symbol | Market | Type |
---|---|---|---|
First Trust VI Multi Asset Diversified Income Index Fund | NASDAQ:MDIV | NASDAQ | Exchange Traded Fund |
Price Change | % Change | Price | Bid Price | Offer Price | High Price | Low Price | Open Price | Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 16.105 | 6.48 | 25.60 | 0 | 09:09:36 |
ITEM 1.
|
SCHEDULE OF INVESTMENTS
|
Investment Portfolio | as of June 30, 2013 (Unaudited) |
Principal
Amount ($)
|
Value ($)
|
|||||||||||
Government National Mortgage Association 102.3%
|
||||||||||||
Government National Mortgage Association:
|
||||||||||||
2.99%, with various maturities from 3/15/2042 until 6/15/2042
|
3,735,045
|
3,688,970
|
||||||||||
3.0%, with various maturities from 9/15/2042 until 2/15/2043 (a)
|
99,252,406
|
98,288,271
|
||||||||||
3.1%, with various maturities from 10/15/2041 until 2/15/2042
|
4,517,311
|
4,510,854
|
||||||||||
3.25%, with various maturities from 9/15/2042 until 11/15/2042
|
6,307,396
|
6,368,007
|
||||||||||
3.5%, with various maturities from 11/1/2041 until 3/20/2043 (a)
|
590,164,939
|
606,443,536
|
||||||||||
4.0%, with various maturities from 8/20/2030 until 5/20/2043 (a)
|
313,325,785
|
330,554,179
|
||||||||||
4.2%, 6/15/2040
|
210,041
|
221,713
|
||||||||||
4.25%, with various maturities from 9/15/2040 until 10/15/2041
|
4,386,986
|
4,648,099
|
||||||||||
4.49%, with various maturities from 6/15/2041 until 7/15/2041
|
2,294,946
|
2,448,771
|
||||||||||
4.5%, with various maturities from 6/20/2033 until 5/15/2042
|
312,382,780
|
334,590,939
|
||||||||||
4.55%, 1/15/2041
|
4,337,240
|
4,623,938
|
||||||||||
4.625%, with various maturities from 4/15/2041 until 5/15/2041
|
1,414,699
|
1,517,986
|
||||||||||
5.0%, with various maturities from 3/20/2029 until 2/20/2042
|
317,840,714
|
344,868,527
|
||||||||||
5.5%, with various maturities from 12/15/2025 until 6/15/2042
|
248,484,555
|
274,049,244
|
||||||||||
6.0%, with various maturities from 8/20/2023 until 5/15/2040
|
156,700,318
|
173,718,072
|
||||||||||
6.5%, with various maturities from 11/20/2032 until 3/20/2041
|
41,401,475
|
46,237,873
|
||||||||||
7.0%, with various maturities from 1/15/2036 until 6/20/2039
|
4,610,199
|
5,197,928
|
||||||||||
7.5%, with various maturities from 6/20/2022 until 8/20/2032
|
230,229
|
270,495
|
||||||||||
Total Government National Mortgage Association
(Cost $2,265,732,154)
|
2,242,247,402
|
|||||||||||
Collateralized Mortgage Obligations 20.0%
|
||||||||||||
Federal Home Loan Mortgage Corp.:
|
||||||||||||
"EA", Series 2530, Principal Only, Zero Coupon, 1/15/2032
|
1,228,903
|
1,059,282
|
||||||||||
"OH", Series 3382, Principal Only, Zero Coupon, 11/15/2037
|
1,403,154
|
983,089
|
||||||||||
"CO", Series 3820, Principal Only, Zero Coupon, 3/15/2041
|
12,273,177
|
8,953,599
|
||||||||||
"UF", Series 3807, 1.394% *, 2/15/2041
|
1,445,992
|
1,447,836
|
||||||||||
"BC", Series 4144, 2.5%, 12/15/2042
|
1,200,000
|
965,652
|
||||||||||
"KB", Series 4144, 2.5%, 12/15/2042
|
3,200,000
|
2,582,801
|
||||||||||
"KH"', Series 4153, 2.5%, 1/15/2043
|
2,292,400
|
1,807,043
|
||||||||||
"IY", Series 3955, Interest Only, 3.0%, 3/15/2021
|
9,672,784
|
636,635
|
||||||||||
"YI", Series 3936, Interest Only, 3.0%, 6/15/2025
|
1,638,038
|
88,690
|
||||||||||
"AI", Series 4016, Interest Only, 3.0%, 9/15/2025
|
14,585,028
|
1,050,290
|
||||||||||
"EI", Series 3953, Interest Only, 3.0%, 11/15/2025
|
3,195,830
|
231,574
|
||||||||||
"DI", Series 3952, Interest Only, 3.0%, 11/15/2025
|
2,717,863
|
217,298
|
||||||||||
"IO", Series 3974, Interest Only, 3.0%, 12/15/2025
|
2,794,689
|
262,993
|
||||||||||
"GI", Series 3985, Interest Only, 3.0%, 10/15/2026
|
1,697,727
|
138,081
|
||||||||||
"DI", Series 4010, Interest Only, 3.0%, 2/15/2027
|
2,303,884
|
206,423
|
||||||||||
"PI", Series 4017, Interest Only, 3.0%, 3/15/2027
|
4,121,066
|
408,934
|
||||||||||
"IP", Series 4046, Interest Only, 3.0%, 5/15/2027
|
4,565,200
|
649,457
|
||||||||||
"ZB", Series 4183, 3.0%, 3/15/2043
|
10,075,188
|
8,703,190
|
||||||||||
"PT", Series 3586, 3.017% *, 2/15/2038
|
6,608,352
|
6,757,522
|
||||||||||
"IA", Series 3800, Interest Only, 3.5%, 12/15/2022
|
2,716,471
|
32,862
|
||||||||||
"EI", Series 3749, Interest Only, 3.5%, 3/15/2025
|
6,196,939
|
431,009
|
||||||||||
"DZ", Series 4199, 3.5%, 5/15/2043
|
10,029,167
|
8,913,241
|
||||||||||
"VZ", Series 4212, 4.0%, 6/15/2043
|
20,000,000
|
19,628,868
|
||||||||||
"JI", Series 3558, Interest Only, 4.5%, 12/15/2023
|
2,925,162
|
140,966
|
||||||||||
"PI", Series 3843, Interest Only, 4.5%, 5/15/2038
|
17,815,054
|
2,174,016
|
||||||||||
"ZW", Series 3763, 4.5%, 11/15/2040
|
11,230,325
|
11,377,821
|
||||||||||
"57", Series 256, Interest Only, 5.0%, 3/15/2023
|
2,146,103
|
174,112
|
||||||||||
"CZ", Series 3658, 5.0%, 4/15/2040
|
1,945,317
|
2,108,666
|
||||||||||
"SY", Series 3035, Interest Only, 5.908% **, 9/15/2035
|
2,858,601
|
446,791
|
||||||||||
"SP", Series 3016, Interest Only, 5.918% **, 8/15/2035
|
970,241
|
81,150
|
||||||||||
"PE", Series 2489, 6.0%, 8/15/2032
|
4,271,174
|
4,702,310
|
||||||||||
"IO", Series 2580, Interest Only, 6.0%, 3/15/2033
|
813,424
|
143,846
|
||||||||||
"MI", Series 3871, Interest Only, 6.0%, 4/15/2040
|
3,120,958
|
517,853
|
||||||||||
"SJ", Series 3501, Interest Only, 6.258% **, 1/15/2039
|
12,173,931
|
2,083,455
|
||||||||||
"SG", Series 3033, Interest Only, 6.458% **, 9/15/2035
|
2,068,271
|
343,178
|
||||||||||
"A", Series 172, Interest Only, 6.5%, 1/1/2024
|
243,372
|
36,084
|
||||||||||
"SB", Series 2742, Interest Only, 6.808% **, 1/15/2019
|
3,657,101
|
424,479
|
||||||||||
"SN", Series 3175, Interest Only, 6.958% **, 6/15/2036
|
6,671,996
|
1,393,787
|
||||||||||
Federal National Mortgage Association:
|
||||||||||||
"AY", Series 2013-6, 2.0%, 2/25/2043
|
1,244,000
|
915,818
|
||||||||||
"DI", Series 2011-136, Interest Only, 3.0%, 1/25/2026
|
2,681,980
|
242,500
|
||||||||||
"IG", Sreies 2011-96, Interest Only, 3.0%, 10/25/2026
|
5,217,839
|
584,469
|
||||||||||
"LA", Series 2013-30, 3.0%, 3/25/2043
|
2,015,000
|
1,778,249
|
||||||||||
"PU", Series 2013-30, 3.0%, 4/25/2043
|
12,575,630
|
11,629,392
|
||||||||||
"LZ", Series 2013-45, 3.0%, 5/25/2043
|
12,511,785
|
10,108,440
|
||||||||||
"ZC", Series 2013-53, 3.0%, 6/25/2043
|
13,157,813
|
11,344,211
|
||||||||||
"HI", Series 2010-123, Interest Only, 3.5%, 3/25/2024
|
5,641,705
|
401,971
|
||||||||||
"KI", Series 2011-72, Interest Only, 3.5%, 3/25/2025
|
8,094,380
|
419,034
|
||||||||||
"KI", Series 2012-98, Interest Only, 3.5%, 7/25/2027
|
32,171,031
|
3,698,678
|
||||||||||
''IO", Series 2012-146, Interest Only, 3.5%, 1/25/2043
|
9,750,300
|
2,335,467
|
||||||||||
"ZN", Series 2013-54, 3.5%, 6/25/2043
|
11,706,046
|
11,104,280
|
||||||||||
"KZ", Series 2013-66, 3.5%, 7/25/2043
|
9,000,000
|
8,516,250
|
||||||||||
"CI", Series 2010-112, Interest Only, 4.0%, 12/25/2023
|
7,916,694
|
216,833
|
||||||||||
"BI", Series 2011-42, Interest Only, 4.0%, 8/25/2025
|
2,691,354
|
181,386
|
||||||||||
"25", Series 351, Interest Only, 4.5%, 5/1/2019
|
2,100,570
|
181,830
|
||||||||||
"AI", Series 2011-24, Interest Only, 4.5%, 8/25/2024
|
2,309,386
|
111,978
|
||||||||||
"CZ", Series 2011-99, 4.5%, 10/25/2041
|
6,490,647
|
6,855,461
|
||||||||||
"21", Series 334, Interest Only, 5.0%, 3/1/2018
|
2,215,455
|
165,257
|
||||||||||
"20", Series 334, Interest Only, 5.0%, 3/1/2018
|
1,742,416
|
130,038
|
||||||||||
''23", Series 339, Interest Only, 5.0%, 7/1/2018
|
1,649,102
|
113,363
|
||||||||||
"27", Series 351, Interest Only, 5.0%, 4/1/2019
|
540,395
|
41,388
|
||||||||||
"26", Series 381, Interest Only, 5.0%, 12/25/2020
|
369,453
|
29,493
|
||||||||||
"BI", Series 2010-10, Interest Only, 5.0%, 9/25/2035
|
991,019
|
65,014
|
||||||||||
"PZ", Series 2007-47, 5.0%, 5/25/2037
|
13,602,830
|
14,393,664
|
||||||||||
"ZA", Series 2008-24, 5.0%, 4/25/2038
|
19,492,014
|
21,355,359
|
||||||||||
"ZX", Series 2010-13, 5.0%, 3/25/2040
|
17,714,271
|
19,588,294
|
||||||||||
"KT", Series 2007-32, 5.5%, 4/25/2037
|
1,590,319
|
1,729,220
|
||||||||||
"PJ", Series 2004-46, Interest Only, 5.807% **, 3/25/2034
|
5,494,207
|
714,266
|
||||||||||
"HS", Series 2009-87, Interest Only, 5.957% **, 11/25/2039
|
13,096,814
|
1,700,964
|
||||||||||
"ZB", Series 2005-37, 6.0%, 5/25/2035
|
3,013,230
|
3,374,896
|
||||||||||
"Z", Series 2006-116, 6.0%, 12/25/2036
|
2,965,848
|
3,307,468
|
||||||||||
"WI", Series 2011-59, Interest Only, 6.0%, 5/25/2040
|
6,626,347
|
750,077
|
||||||||||
"PI", Series 2007-75, Interest Only, 6.347% **, 8/25/2037
|
19,034,716
|
3,756,518
|
||||||||||
"SB", Series 2010-107, Interest Only, 6.397% **, 9/25/2040
|
38,405,967
|
5,900,040
|
||||||||||
"PI", Series 2006-20, Interest Only, 6.487% **, 11/25/2030
|
17,433,502
|
3,156,853
|
||||||||||
"HI", Series 2010-2, Interest Only, 6.5%, 2/25/2040
|
1,519,669
|
665,554
|
||||||||||
"SA", Series 2005-17, Interest Only, 6.507% **, 3/25/2035
|
4,816,559
|
1,074,298
|
||||||||||
"SI", Series 2007-23, Interest Only, 6.577% **, 3/25/2037
|
1,549,490
|
274,020
|
||||||||||
"SJ", Series 2007-36, Interest Only, 6.577% **, 4/25/2037
|
4,007,463
|
528,917
|
||||||||||
"SA", Series 2005-42, Interest Only, 6.607% **, 5/25/2035
|
3,620,710
|
448,182
|
||||||||||
"KI", Series 2005-65, Interest Only, 6.807% **, 8/25/2035
|
1,898,412
|
351,954
|
||||||||||
Government National Mortgage Association:
|
||||||||||||
"SY", Series 2008-83, Interest Only, 0.00 **, 8/20/2034 *
|
1,356,457
|
0
|
||||||||||
"PO", Series 2007-18, Principal Only, Zero Coupon, 5/20/2035
|
1,026,089
|
733,741
|
||||||||||
"KO", Series 2013-38, Principal Only, Zero Coupon, 1/20/2043
|
2,325,858
|
1,045,456
|
||||||||||
"HS", Series 2009-121, Interest Only, 1.0%, 2/20/2037
|
8,111,737
|
306,342
|
||||||||||
"IG", Series 2010-147, Interest Only, 2.0%, 11/16/2013
|
20,489,387
|
128,296
|
||||||||||
"HX", Series 2012-91, 3.0%, 9/20/2040
|
11,812,155
|
12,143,107
|
||||||||||
"BZ", Series 2013-79, 3.0%, 5/20/2043
|
6,015,000
|
5,154,796
|
||||||||||
"IE", Series 2011-128, Interest Only, 3.5%, 9/20/2026
|
12,471,471
|
1,303,134
|
||||||||||
"BE", Series 2010-164, 3.5%, 1/20/2039
|
10,483,317
|
10,511,638
|
||||||||||
"LI", Series 2009-104, Interest Only, 4.5%, 12/16/2018
|
3,240,483
|
220,538
|
||||||||||
"BI", Series 2010-95, Interest Only, 4.5%, 8/20/2032
|
5,426,506
|
191,797
|
||||||||||
"AI", Series 2009-22, Interest Only, 4.5%, 10/16/2032
|
117,338
|
759
|
||||||||||
"PI", Series 2010-20, Interest Only, 4.5%, 9/16/2033
|
40,370
|
15
|
||||||||||
"ZC", Series 2003-86, 4.5%, 10/20/2033
|
2,263,575
|
2,451,181
|
||||||||||
"BL", Series 2011-46, 4.5%, 10/20/2037
|
5,143,000
|
5,556,050
|
||||||||||
"TI", Series 2010-115, Interest Only, 4.5%, 10/20/2037
|
4,246,880
|
423,817
|
||||||||||
"CI", Series 2011-111, Interest Only, 4.5%, 11/20/2037
|
3,247,649
|
343,254
|
||||||||||
"PI", Series 2010-94, Interest Only, 4.5%, 12/20/2037
|
4,916,354
|
586,939
|
||||||||||
"CI", Series 2010-87, Interest Only, 4.5%, 11/20/2038
|
1,500,000
|
574,590
|
||||||||||
"GP", Series 2010-67, 4.5%, 3/20/2039
|
10,514,000
|
11,413,968
|
||||||||||
"IN", Series 2011-18, Interest Only, 4.5%, 5/20/2039
|
2,994,024
|
523,424
|
||||||||||
"IP", Series 2011-132, Interest Only, 4.5%, 12/20/2039
|
18,009,850
|
1,498,384
|
||||||||||
"ZA", Series 2010-3, 4.5%, 1/20/2040
|
3,497,592
|
3,680,534
|
||||||||||
"AI", Series 2012-15, Interest Only, 4.5%, 9/20/2040
|
7,919,150
|
2,078,985
|
||||||||||
"ZY", Series 2010-160, 4.5%, 12/20/2040
|
12,307,205
|
12,710,310
|
||||||||||
"ZV", Series 2011-73, 4.5%, 5/20/2041
|
13,177,111
|
13,838,004
|
||||||||||
"QI", Series 2013-20, Interest Only, 4.5%, 12/16/2042
|
15,220,352
|
3,040,675
|
||||||||||
"VB", Series 2010-26, 5.0%, 1/20/2024
|
5,500,000
|
6,198,575
|
||||||||||
"LV", Series 2012-77, 5.0%, 7/20/2026
|
8,000,000
|
8,701,632
|
||||||||||
"UI", Series 2010-45, Interest Only, 5.0%, 5/20/2033
|
1,505,746
|
26,850
|
||||||||||
"Z", Series 2005-25, 5.0%, 3/16/2035
|
6,037,182
|
6,604,673
|
||||||||||
"MI", Series 2009-76, Interest Only, 5.0%, 3/20/2035
|
4,437,072
|
154,468
|
||||||||||
"GZ", Series 2005-44, 5.0%, 7/20/2035
|
4,453,201
|
5,043,345
|
||||||||||
"Z", Series 2008-5, 5.0%, 1/20/2038
|
6,551,595
|
7,132,462
|
||||||||||
"IJ", Series 2010-41, Interest Only, 5.0%, 9/20/2038
|
1,159,382
|
185,392
|
||||||||||
"ZN", Series 2009-64, 5.0%, 7/20/2039
|
24,215,689
|
26,570,135
|
||||||||||
"Z", Series 2009-112, 5.0%, 11/20/2039
|
10,761,974
|
11,943,570
|
||||||||||
"UZ", Series 2010-37, 5.0%, 3/20/2040
|
1,277,943
|
1,405,227
|
||||||||||
"AI", Series 2008-40, Interest Only, 5.5%, 5/16/2023
|
1,744,912
|
176,938
|
||||||||||
"AI", Series 2008-51, Interest Only, 5.5%, 5/16/2023
|
4,482,706
|
397,855
|
||||||||||
"AI", Series 2008-46, Interest Only, 5.5%, 5/16/2023
|
1,529,950
|
144,404
|
||||||||||
"IB", Series 2005-73, Interest Only, 5.5%, 4/20/2032
|
329,713
|
5,338
|
||||||||||
"PC", Series 2003-19, 5.5%, 3/16/2033
|
5,557,421
|
6,175,547
|
||||||||||
"PI", Series 2005-73, Interest Only, 5.5%, 12/20/2034
|
2,630,392
|
325,588
|
||||||||||
"Z", Series 2006-12, 5.5%, 3/20/2036
|
96,759
|
112,759
|
||||||||||
"HZ", Series 2009-43, 5.5%, 6/20/2039
|
2,064,008
|
2,362,660
|
||||||||||
"YI", Series 2010-147, Interest Only, 5.5%, 7/16/2039
|
1,366,379
|
233,811
|
||||||||||
"DZ", Series 2009-106, 5.5%, 11/20/2039
|
94,949
|
108,242
|
||||||||||
"SJ", Series 2011-66, Interest Only, 5.858% **, 5/16/2041
|
16,850,922
|
2,873,664
|
||||||||||
"BS", Series 2011-93, Interest Only, 5.908% **, 7/16/2041
|
23,049,284
|
3,661,870
|
||||||||||
"IL", Series 2009-93, Interest Only, 6.0%, 10/16/2014
|
4,534,536
|
287,617
|
||||||||||
"CI", Series 2009-42, Interest Only, 6.0%, 8/16/2035
|
573,438
|
155,297
|
||||||||||
"AV", Series 2010-14, Interest Only, 6.108% **, 2/16/2040
|
7,014,972
|
1,336,715
|
||||||||||
"SA", Series 2012-84, Interest Only, 6.108% **, 12/20/2038
|
16,443,263
|
2,863,205
|
||||||||||
"ST", Series 2009-31, Interest Only, 6.158% **, 3/20/2039
|
975,614
|
128,857
|
||||||||||
"SM", Series 2009-100, Interest Only, 6.258% **, 5/16/2039
|
2,928,377
|
329,758
|
||||||||||
"AI", Series 2007-38, Interest Only, 6.268% **, 6/16/2037
|
5,045,279
|
684,060
|
||||||||||
"SA", Series 2006-49, Interest Only, 6.268% **, 2/20/2036
|
5,455,658
|
577,646
|
||||||||||
"SI", Series 2008-27, Interest Only, 6.278% **, 3/20/2038
|
4,248,404
|
590,811
|
||||||||||
"SL", Series 2009-100, Interest Only, 6.308% **, 5/16/2039
|
3,384,531
|
523,810
|
||||||||||
"GI", Series 2006-28, Interest Only, 6.308% **, 3/20/2035
|
1,429,963
|
60,967
|
||||||||||
"QA", Series 2007-57, Interest Only, 6.308% **, 10/20/2037
|
3,817,502
|
502,211
|
||||||||||
"S", Series 2003-11, Interest Only, 6.358% **, 2/16/2033
|
1,813,126
|
278,497
|
||||||||||
"IP", Series 2009-118, Interest Only, 6.5%, 12/16/2039
|
1,483,524
|
299,109
|
||||||||||
"SA", Series 2006-69, Interest Only, 6.608% **, 12/20/2036
|
5,805,663
|
954,204
|
||||||||||
"S", Series 1999-17, Interest Only, 8.008% **, 5/16/2029
|
949,258
|
184,071
|
||||||||||
"SA", Series 1999-44, Interest Only, 8.358% **, 12/16/2029
|
846,654
|
152,581
|
||||||||||
Total Collateralized Mortgage Obligations
(Cost $440,525,575)
|
437,460,382
|
|||||||||||
U.S. Government Agency Sponsored Pass-Throughs 3.0%
|
||||||||||||
Federal National Mortgage Association:
|
||||||||||||
3.0%, 11/15/2027
|
23,250,000
|
21,292,064
|
||||||||||
3.5%, 1/1/2042 (a)
|
43,000,000
|
43,671,875
|
||||||||||
Total U.S. Government Agency Sponsored Pass-Throughs
(Cost $67,748,547)
|
64,963,939
|
|||||||||||
Government & Agency Obligations 1.6%
|
||||||||||||
U.S. Treasury Obligations
|
||||||||||||
U.S. Treasury Bill, 0.1% ***, 9/5/2013 (b)
|
6,097,000
|
6,096,774
|
||||||||||
U.S. Treasury Note, 0.75%, 6/15/2014 (c) (d)
|
30,000,000
|
30,158,190
|
||||||||||
Total Government & Agency Obligations
(Cost $36,429,498)
|
36,254,964
|
|||||||||||
Contracts
|
Value ($)
|
|||||||||||
Call Options Purchased 0.6%
|
||||||||||||
Options on Exchange-Traded Futures Contracts 0.0%
|
||||||||||||
10 Year U.S. Treasury Note Future, Expiration Date 8/23/2013, Strike Price $132.5
|
1,050
|
49,219
|
||||||||||
Contract
Amount
|
Value ($)
|
|||||||||||
Options on Interest Rate Swap Contracts 0.6%
|
||||||||||||
Pay Fixed Rate - 3.583% - Receive Floating - LIBOR, Swap Expiration Date 5/11/2026, Option Expiration Date 5/9/2016
1
|
44,600,000
|
2,820,954
|
||||||||||
Pay Fixed Rate - 3.635% - Receive Floating - LIBOR, Swap Expiration Date 4/27/2026, Option Expiration Date 4/25/2016
2
|
42,100,000
|
2,544,234
|
||||||||||
Pay Fixed Rate - 3.72% - Receive Floating - LIBOR, Swap Expiration Date 4/22/2026, Option Expiration Date 4/20/2016
3
|
42,100,000
|
2,389,470
|
||||||||||
Pay Fixed Rate - 4.19% - Receive Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
4
|
48,400,000
|
2,512,400
|
||||||||||
Pay Fixed Rate - 4.32% - Receive Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
5
|
47,000,000
|
2,246,797
|
||||||||||
12,513,855
|
||||||||||||
Options on Mortgage-Backed Securities - TBAs 0.0%
|
||||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $106.203
2
|
30,000,000
|
2,344
|
||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $106.211
4
|
30,000,000
|
1
|
||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $108.805
4
|
30,000,000
|
0
|
||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $108.828
2
|
30,000,000
|
2,344
|
||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $108.828
6
|
30,000,000
|
0
|
||||||||||
30 Year-GNSF, Expiration Date 7/15/2013, Strike Price $106.219
6
|
30,000,000
|
0
|
||||||||||
4,689
|
||||||||||||
Total Call Options Purchased
(Cost $11,508,818)
|
12,567,763
|
|||||||||||
Contract
Amount
|
Value ($)
|
|||||||||||
Put Options Purchased 0.0%
|
||||||||||||
Options on Interest Rate Swap Contracts
|
||||||||||||
Receive Fixed Rate - 2.19% - Pay Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
4
|
48,400,000
|
502,595
|
||||||||||
Receive Fixed Rate - 2.32% - Pay Floating - LIBOR, Swap Expiration Date 2/3/2027, Option Expiration Date 2/1/2017
5
|
47,000,000
|
576,498
|
||||||||||
Total Put Options Purchased
(Cost $3,242,687)
|
1,079,093
|
|||||||||||
% of
Net Assets
|
Value ($)
|
|||||||||||
Total Investment Portfolio
(Cost $2,825,187,279) †
|
127.5
|
2,794,573,543
|
||||||||||
Notes Payable
|
(2.5)
|
(54,230,000)
|
||||||||||
Other Assets and Liabilities, Net
|
(25.0)
|
(548,295,606)
|
||||||||||
Net Assets
|
100.0
|
2,192,047,937
|
For information on the Fund's policies regarding the valuation of investments and other significant accounting policies, please refer to the Fund's most recent semi-annual or annual financial statements.
|
|
*
|
Floating rate securities’ yields vary with a designated market index or market rate, such as the coupon-equivalent of the U.S. Treasury Bill rate. These securities are shown at their current rate as of June 30, 2013.
|
**
|
These securities are shown at their current rate as of June 30, 2013.
|
***
|
Annualized yield at time of purchase; not a coupon rate.
|
†
|
The cost for federal income tax purposes was $2,825,420,249. At June 30, 2013, net unrealized depreciation for all securities based on tax cost was $30,846,706. This consisted of aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost of $55,336,889 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value of $86,183,595.
|
(a)
|
When-issued or delayed delivery security included.
|
(b)
|
At June 30, 2013, this security has been pledged, in whole or in part, to cover initial margin requirements for open futures contracts.
|
(c)
|
At June 30, 2013, this security has been pledged, in whole or in part, as collateral for open swap contracts.
|
(d)
|
At June 30, 2013, this security has been pledged, in whole or in part, as collateral for open written options.
|
Interest Only: Interest Only (IO) bonds represent the "interest only" portion of payments on a pool of underlying mortgages or mortgage-backed securities. IO securities are subject to prepayment risk of the pool of underlying mortgages.
|
|
Principal Only: Principal Only (PO) bonds represent the “principal only” portion of payments on a pool of underlying mortgages or mortgage-backed securities.
|
|
Included in the portfolio are investments in mortgage or asset-backed securities which are interests in separate pools of mortgages or assets. Effective maturities of these investments may be shorter than stated maturities due to prepayments. Some separate investments in the Government National Mortgage Association issues which have similar coupon rates have been aggregated for presentation purposes in this investment portfolio.
|
|
At June 30, 2013, open futures contracts purchased were as follows:
|
Futures
|
Currency
|
Expiration
Date
|
Contracts
|
Notional
Value ($)
|
Unrealized
Depreciation ($)
|
|||||||||
Ultra Long U.S. Treasury Bond
|
USD
|
9/19/2013
|
123 | 18,119,438 | (1,066,860 | ) |
At June 30, 2013, open futures contracts sold were as follows:
|
Futures
|
Currency
|
Expiration
Date
|
Contracts
|
Notional
Value ($)
|
Unrealized
Appreciation ($)
|
|||||||||
10 Year U.S. Treasury Note
|
USD
|
9/19/2013
|
1,500 | 189,843,750 | 483,361 |
Currency Abbreviation
|
||||
USD
|
United States Dollar
|
At June 30, 2013, open written option contracts were as follows:
|
Options on Mortgage-Backed Securities - TBAs
|
||||||||||||||
Coupon
Rate (%)
|
Contract
Amount
|
Expiration
Date
|
Strike
Price ($)
|
Premiums
Received ($)
|
Value ($) (e)
|
|||||||||
Call Options
|
||||||||||||||
30-Year GNSF
|
3.0
|
60,000,000
2
|
7/15/2013
|
105.828
|
300,000
|
(7,031)
|
||||||||
30-Year GNSF
|
3.0
|
60,000,000
6
|
7/15/2013
|
105.766
|
300,000
|
(1)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
4
|
7/15/2013
|
105.875
|
150,000
|
—
|
||||||||
Total Call Options
|
750,000
|
(7,032)
|
||||||||||||
Put Options
|
||||||||||||||
30-Year GNSF
|
3.5
|
30,000,000
6
|
7/15/2013
|
108.328
|
133,594
|
(1,724,701)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
2
|
7/15/2013
|
104.047
|
225,000
|
(1,555,078)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
6
|
7/15/2013
|
104.063
|
225,000
|
(1,556,160)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
9
|
7/15/2013
|
104.063
|
225,000
|
(1,564,314)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
4
|
7/15/2013
|
105.711
|
203,906
|
(2,080,269)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
6
|
7/15/2013
|
105.719
|
214,453
|
(2,052,768)
|
||||||||
30-Year GNSF
|
3.5
|
30,000,000
2
|
7/15/2013
|
108.328
|
119,531
|
(1,728,516)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
2
|
7/15/2013
|
105.703
|
194,531
|
(2,044,922)
|
||||||||
30-Year GNSF
|
3.5
|
30,000,000
4
|
7/15/2013
|
108.305
|
124,219
|
(1,766,353)
|
||||||||
30-Year GNSF
|
3.0
|
60,000,000
2
|
7/15/2013
|
104.828
|
346,875
|
(3,569,531)
|
||||||||
30-Year GNSF
|
3.0
|
60,000,000
6
|
7/15/2013
|
104.766
|
346,875
|
(3,533,797)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
4
|
7/15/2013
|
104.875
|
173,438
|
(1,829,694)
|
||||||||
30-Year GNSF
|
3.5
|
30,000,000
1
|
8/13/2013
|
105.578
|
210,938
|
(1,024,482)
|
||||||||
30-Year GNSF
|
3.5
|
30,000,000
2
|
8/13/2013
|
105.547
|
206,250
|
(1,059,375)
|
||||||||
30-Year GNSF
|
3.5
|
30,000,000
4
|
8/13/2013
|
105.531
|
206,250
|
(1,053,934)
|
||||||||
30-Year GNSF
|
3.0
|
30,000,000
7
|
8/13/2013
|
102.234
|
325,781
|
(1,156,688)
|
||||||||
30-Year GNSF
|
3.0
|
60,000,000
8
|
8/13/2013
|
102.266
|
637,500
|
(2,210,397)
|
||||||||
Total Put Options
|
4,119,141
|
(31,510,979)
|
||||||||||||
Total
|
4,869,141
|
(31,518,011)
|
||||||||||||
(e)
|
Unrealized depreciation on mortgage-backed securities - TBAs at June 30, 2013 was $26,648,870.
|
(f)
|
Unrealized depreciation on written options on exchange-traded futures contracts at June 30, 2013 was $2,505,375.
|
(g)
|
Unrealized depreciation on written options on interest rate swap contracts at June 30, 2013 was $72,705.
|
At June 30, 2013, open interest rate swap contracts were as follows:
|
Counterparty:
|
|
1
|
Bank of America
|
2
|
Citigroup, Inc.
|
3
|
Nomura International PLC
|
4
|
JPMorgan Chase Securities, Inc.
|
5
|
BNP Paribas
|
6
|
Credit Suisse
|
7
|
Morgan Stanley
|
8
|
Barclays Bank PLC
|
9
|
Goldman Sachs
|
GNSF: Government National Single Family
|
|
LIBOR: London Interbank Offered Rate
|
|
TBA: To Be Announced
|
Level 1
|
Level 2
|
Level 3
|
Total
|
|||||||||||||
Assets
|
||||||||||||||||
Fixed Income Investments
(i)
|
|
|||||||||||||||
Government National Mortgage Association
|
$ | — | $ | 2,242,247,402 | $ | — | $ | 2,242,247,402 | ||||||||
Collateralized Mortgage Obligations
|
— | 437,460,382 | — | 437,460,382 | ||||||||||||
US Government Agency Sponsored Pass-Throughs
|
— | 64,963,939 | — | 64,963,939 | ||||||||||||
Government & Agency Obligations
|
— | 36,254,964 | — | 36,254,964 | ||||||||||||
Derivatives
(j)
|
||||||||||||||||
Purchased Options
|
49,219 | 13,597,637 | — | 13,646,856 | ||||||||||||
Futures Contracts
|
483,361 | — | — | 483,361 | ||||||||||||
Interest Rate Swap Contracts
|
— | 450,701 | — | 450,701 | ||||||||||||
Total
|
$ | 532,580 | $ | 2,794,975,025 | $ | — | $ | 2,795,507,605 | ||||||||
Liabilities | ||||||||||||||||
Derivatives (j) |
|
|||||||||||||||
Futures Contracts | $ | (1,066,860) | $ | — | $ | — | $ | (1,066,860) | ||||||||
Written Options | (3,262,500) | (46,701,595) | $ | — | (49,964,095) | |||||||||||
Interest Rate Swap Contracts | — | (2,905,190) | — | (2,905,190) | ||||||||||||
Total | $ | (4,329,360) | $ | (49,606,785) | $ | — | $ | (53,936,145) |
There have been no transfers between fair value measurement levels during the period ended June 30, 2013.
|
(i)
|
See Investment Portfolio for additional detailed categorizations.
|
||
(j)
|
Derivatives include value of options purchased, written options, at value; and unrealized appreciation (depreciation) on futures contracts and interest rate swap contracts.
|
Primary Underlying Risk Disclosure
|
Futures
|
Swaps
|
Options
|
|||||||||
Interest Rate Contracts
|
$ | (583,499 | ) | $ | (2,454,489 | ) | $ | (30,331,599 | ) |
ITEM 2.
|
CONTROLS AND PROCEDURES
|
(a)
The Chief Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on the evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.
|
|
(b)
There have been no changes in the registrant’s internal control over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal controls over financial reporting.
|
|
ITEM 3.
|
EXHIBITS
|
Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is filed and attached hereto as Exhibit 99.CERT.
|
Registrant:
|
DWS GNMA Fund, a series of DWS Income Trust
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
Date:
|
August 19, 2013
|
By:
|
/s/W. Douglas Beck
W. Douglas Beck
President
|
Date:
|
August 19, 2013
|
By:
|
/s/Paul Schubert
Paul Schubert
Chief Financial Officer and Treasurer
|
Date:
|
August 19, 2013
|
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