N-Q 1 d818269dnq.htm NATIXIS FUNDS TRUST II Natixis Funds Trust II

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, DC 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act File Number: 811-00242

 

 

Natixis Funds Trust II

(Exact name of registrant as specified in charter)

 

 

399 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

 

 

Coleen Downs Dinneen, Esq.

NGAM Distribution, L.P.

399 Boylston Street

Boston, Massachusetts 02116

(Name and address of agent for service)

 

 

Registrant’s telephone number, including area code: (617) 449-2810

Date of fiscal year end: December 31

Date of reporting period: September 30, 2014

 

 

 


ITEM 1 SCHEDULE OF INVESTMENTS


CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Global Alternatives Fund

 

Principal
Amount

    

Description

   Value (†)  

 

Short-Term Investments – 92.4% of Net Assets

  
  

Certificates of Deposit – 80.1%

  
  $59,100,000      

Canadian Imperial Bank of Commerce,

0.010%, 10/01/2014

   $ 59,100,000   
  15,000,000      

BNP Paribas,

0.010%, 10/01/2014

     15,000,000   
  10,000,000      

National Bank of Kuwait,

0.050%, 10/01/2014

     10,000,000   
  75,000,000      

Abbey National,

0.080%, 10/01/2014

     75,000,000   
  45,000,000      

Landesbank Hessen Thueringen Girozentrale,

0.145%, 10/02/2014

     45,000,000   
  50,000,000      

Mizuho Corporate Bank,

0.210%, 10/02/2014

     50,000,100   
  100,000,000      

Bank of Tokyo-Mitsubishi UFJ (NY),

0.150%, 10/03/2014

     100,000,000   
  25,000,000      

Bank of Tokyo-Mitsubishi UFJ (NY),

0.080%, 10/07/2014

     25,000,000   
  95,000,000      

Oversea-Chinese Banking Corp.,

0.190%, 10/08/2014

     95,001,520   
  99,650,000      

Toronto Dominion Bank,

0.250%, 10/10/2014

     99,654,385   
  30,000,000      

Oversea-Chinese Banking Corp.,

0.180%, 10/14/2014

     30,000,325   
  37,200,000      

Agricultural Bank of China,

0.380%, 10/14/2014

     37,200,000   
  50,000,000      

Svenska Handelsbanken (NY),

0.170%, 10/16/2014

     50,000,650   
  50,000,000      

Banco Del Estado de Chile,

0.200%, 10/20/2014

     50,001,100   
  40,000,000      

China Construction Bank Corp. (NY),

0.350%, 10/22/2014

     40,000,116   
  45,000,000      

National Australia Bank,

0.224%, 10/23/2014(b)(c)

     45,001,215   
  125,000,000      

Credit Agricole,

0.110%, 11/03/2014

     125,000,000   
  75,000,000      

Westpac Banking Corp. (NY),

0.290%, 11/06/2014(b)

     75,012,300   
  30,000,000      

Sumitomo Mitsui Bank (NY),

0.210%, 11/10/2014

     30,001,020   
  49,550,000      

Banco Del Estado de Chile,

0.233%, 11/10/2014(c)

     49,548,959   
  40,000,000      

Mizuho Corporate Bank,

0.190%, 11/12/2014

     40,000,480   
  100,000,000      

Bank of Nova Scotia (TX),

0.250%, 11/12/2014

     100,020,300   
  120,000,000      

National Bank of Kuwait,

0.280%, 11/13/2014

     120,013,200   
  35,000,000      

Mizuho Corporate Bank,

0.190%, 11/25/2014

     35,000,560   
  50,000,000      

Standard Chartered Bank (NY),

0.190%, 12/02/2014

     50,000,850   
  70,000,000      

Sumitomo Mitsui Bank (NY),

0.360%, 12/05/2014(b)

     70,017,850   


Principal
Amount

    

Description

   Value (†)  
   Certificates of Deposit – continued   
  $100,000,000      

Skandinaviska Enskilda Banken (NY),

0.240%, 12/10/2014(b)

   $ 100,011,800   
  50,000,000      

DNB Bank ASA,

0.180%, 1/05/2015

     49,997,300   
  25,000,000      

Sumitomo Mitsui Bank (NY),

0.230%, 1/05/2015

     24,999,325   
  25,000,000      

Bank of Montreal (IL),

0.180%, 1/08/2015

     24,999,300   
  70,000,000      

Norinchukin Bank,

0.260%, 1/08/2015(d)

     70,003,850   
  25,000,000      

Toronto Dominion Bank,

0.210%, 1/16/2015

     25,005,250   
  25,000,000      

Banco Del Estado de Chile,

0.240%, 1/23/2015

     25,001,600   
  50,000,000      

Societe Generale S.A.,

0.284%, 2/02/2015(c)(e)

     49,997,000   
  20,000,000      

Bank of Nova Scotia (TX),

0.250%, 2/17/2015

     20,003,100   
  75,200,000      

Deutsche Zentral-Genossenschaftsbank,

0.310%, 2/25/2015

     75,203,083   
  50,000,000      

Rabobank Nederland,

0.220%, 4/01/2015

     49,992,400   
  50,000,000      

Rabobank Nederland,

0.284%, 6/15/2015(c)

     49,992,700   
  120,000,000      

Dexia Credit Local,

0.281%, 7/01/2015(c)

     120,000,000   
  30,000,000      

Bank of Montreal (IL),

0.234%, 7/16/2015(c)

     29,995,380   
  40,000,000      

Westpac Banking Corp. (NY),

0.224%, 7/17/2015(c)

     39,993,840   
  25,000,000      

China Construction Bank Corp. (NY),

0.404%, 7/20/2015(c)(e)

     25,000,000   
  70,000,000      

Bank of Montreal (IL),

0.226%, 8/07/2015(b)(c)

     69,988,170   
     

 

 

 
        2,370,759,028   
     

 

 

 
  

Financial Company Commercial Paper – 6.8%

  
  70,000,000      

General Electric Capital Corp.,

0.120%, 10/03/2014(f)

     69,999,720   
  50,000,000      

ING (U.S.) Funding LLC,

0.200%, 10/03/2014(f)

     49,999,600   
  29,500,000      

Swedbank,

0.100%, 11/24/2014(f)

     29,493,864   
  50,000,000      

General Electric Capital Corp.,

0.180%, 12/11/2014(f)

     49,991,400   
     

 

 

 
        199,484,584   
     

 

 

 
   Commercial Paper – 4.0%   
  50,000,000      

Shagang South-Asia (Hong Kong) Trading Co. Ltd., (Credit Support: Bank of China),

0.400%, 10/02/2014(f)

     49,999,444   
  35,000,000      

Cofco Capital Corp., (Credit Support: Bank of China),

0.430%, 10/07/2014(f)

     34,997,492   
  33,750,000      

Vermont Economic Development Authority, (Credit Support: JPMorgan Chase),

0.200%, 11/06/2014

     33,750,000   
     

 

 

 
        118,746,936   
     

 

 

 


Principal
Amount

    

Description

   Value (†)  
  

Other Notes – 1.5%

  
  $20,000,000      

JPMorgan Chase Bank NA, Series 1,

0.353%, 10/07/2015(c)

   $ 20,000,920   
  25,000,000      

Wells Fargo,

0.353%, 10/20/2015(c)

     25,004,550   
     

 

 

 
        45,005,470   
     

 

 

 
  

Total Short-Term Investments

(Identified Cost $2,733,925,739)

     2,733,996,018   
     

 

 

 
  

Total Investments – 92.4%

(Identified Cost $2,733,925,739)(a)

     2,733,996,018   
  

Other assets less liabilities – 7.6%

     224,192,823   
     

 

 

 
  

Net Assets – 100.0%

   $ 2,958,188,841   
     

 

 

 

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2014, the value of the Fund’s investment in the Subsidiary was $39,593,491, representing 1.3% of the Fund’s net assets.

 

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

 

  Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

 

  Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

 

  Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

 

  Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

 

  Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

 

  Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

 

  The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a) Federal Tax Information:

At September 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $2,733,925,739 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

   $ 117,616   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (47,337
  

 

 

 

Net unrealized appreciation

   $ 70,279   
  

 

 

 

Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.

 

(b) A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.


(c) Variable rate security. Rate as of September 30, 2014 is disclosed.
(d) All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(e) Security payable on demand at par including accrued interest.
(f) Interest rate represents discount rate at time of purchase; not a coupon rate.

Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

At September 30, 2014, the Fund had the following open forward foreign currency contracts:

 

Contract
to
Buy/Sell1

   Delivery
Date
     Currency    Units
of
Currency
     Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Buy

     12/17/2014       British Pound      25,875,000       $ 41,919,373       $ 133,344   

Sell

     12/17/2014       Canadian Dollar      315,300,000         281,021,052         5,415,587   

Sell

     12/17/2014       Euro      315,375,000         398,550,619         9,693,995   

Buy

     12/17/2014       Japanese Yen      12,675,000,000         115,648,377         (2,563,622

Sell

     12/17/2014       Japanese Yen      23,225,000,000         211,907,972         6,048,855   

Buy

     12/17/2014       Swedish Krona      672,000,000         93,105,571         (1,485,854

Sell

     12/17/2014       Swiss Franc      52,000,000         54,507,438         1,082,742   
              

 

 

 

Total

  

   $ 18,325,047   
              

 

 

 

 

1  Counterparty is UBS AG.

Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular security or commodity group or index of securities, commodities, currencies or other assets for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2014, open long futures contracts were as follows:

 

Financial Futures

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

DAX

     12/19/2014         1,729       $ 518,137,231       $ (6,675,127

E-mini S&P 500®

     12/19/2014         9,302         914,154,050         (10,069,418

Eurodollar

     3/16/2015         25,297         6,303,063,762         1,471,213   

FTSE 100 Index

     12/19/2014         2,844         304,549,953         (6,837,144

German Euro Bund

     12/08/2014         1,798         339,963,422         1,664,221   


Financial Futures (continued)

   Expiration
Date
   Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Hang Seng Index®

   10/30/2014      2,735       $ 401,892,503       $ (17,750,845

TOPIX

   12/11/2014      2,026         245,041,167         6,798,942   

UK Long Gilt

   12/29/2014      1,097         201,208,373         796,957   

10 Year Japan Government Bond

   12/11/2014      183         243,343,697         333,713   

10 Year U.S. Treasury Note

   12/19/2014      2,964         369,434,813         (1,805,476
           

 

 

 

Total

  

   $ (32,072,964
           

 

 

 

Commodity Futures2

   Expiration
Date
   Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

   12/17/2014      147       $ 7,196,569       $ (569,258

Brent Crude Oil

   11/13/2014      167         15,918,440         —     

Copper LME

   12/17/2014      1,026         171,175,275         (9,413,550

Gas Oil

   11/12/2014      89         7,193,425         (57,850

Gold

   12/29/2014      420         50,887,200         (4,005,120

Natural Gas

   10/29/2014      197         8,118,370         287,620   

New York Harbor ULSD

   10/31/2014      63         7,013,223         (183,368

Nickel LME

   12/15/2014      61         5,967,264         (1,300,398

WTI Crude Oil

   10/21/2014      248         22,607,680         (657,200

Zinc LME

   12/15/2014      129         7,377,187         (411,187
           

 

 

 

Total

  

   $ (16,310,311
           

 

 

 

 

2  Commodity futures are held by ASG Global Alternatives Cayman Fund Ltd., a wholly-owned subsidiary.

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

    Level 1—quoted prices in active markets for identical assets or liabilities;

 

    Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

    Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Short-Term Investments*

   $ —         $ 2,733,996,018       $ —         $ 2,733,996,018   

Forward Foreign Currency Contracts (unrealized appreciation)

     —           22,374,523         —           22,374,523   

Futures Contracts (unrealized appreciation)

     11,352,666         —           —           11,352,666   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 11,352,666       $ 2,756,370,541       $ —         $ 2,767,723,207   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liability Valuation Inputs

 

Description

   Level 1     Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

   $ —        $ (4,049,476   $ —         $ (4,049,476

Futures Contracts (unrealized depreciation)

     (59,735,941     —          —           (59,735,941
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ (59,735,941   $ (4,049,476   $ —         $ (63,785,417
  

 

 

   

 

 

   

 

 

    

 

 

 

 

* Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.


Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to achieve long and short exposure to global equity, bond, currency and commodity markets through a wide range of derivative instruments and direct investments. These investments are intended to provide the Fund with risk and return characteristics similar to those of a diversified portfolio of hedge funds. The Fund uses quantitative models to estimate the market exposures that drive the aggregate returns of a diverse set of hedge funds, and seeks to use a variety of derivative instruments to capture such exposures in the aggregate. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts on global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2014 the Fund used long contracts on U.S. and foreign equity market indices and long and short contracts on U.S. and foreign government bonds, short-term interest rates, commodities (through investments in the Subsidiary) and foreign currencies in accordance with these objectives.

The following is a summary of derivative instruments for the Fund as of September 30, 2014:

 

Assets

   Unrealized
appreciation on
forward foreign
currency contracts
    Unrealized
appreciation on
futures contracts
    Total  

Over-the-counter asset derivatives

      

Foreign exchange contracts

   $ 22,374,523      $ —        $ 22,374,523   
  

 

 

   

 

 

   

 

 

 

Exchange traded asset derivatives

      

Interest rate contracts

   $ —        $ 4,266,104      $ 4,266,104   

Equity contracts

     —          6,798,942        6,798,942   

Commodity contracts

     —          287,620        287,620   
  

 

 

   

 

 

   

 

 

 

Total exchange traded asset derivatives

   $ —        $ 11,352,666      $ 11,352,666   
  

 

 

   

 

 

   

 

 

 

Total asset derivatives

   $ 22,374,523      $ 11,352,666      $ 33,727,189   
  

 

 

   

 

 

   

 

 

 

Liabilities

   Unrealized
depreciation on
forward foreign
currency contracts
    Unrealized
depreciation on
futures contracts
    Total  

Over-the-counter liability derivatives

      

Foreign exchange contracts

   $ (4,049,476   $ —        $ (4,049,476
  

 

 

   

 

 

   

 

 

 

Exchange traded liability derivatives

      

Interest rate contracts

   $ —        $ (1,805,476   $ (1,805,476

Equity contracts

     —          (41,332,534     (41,332,534

Commodity contracts

     —          (16,597,931     (16,597,931
  

 

 

   

 

 

   

 

 

 

Total exchange traded liability derivatives

   $ —        $ (59,735,941   $ (59,735,941
  

 

 

   

 

 

   

 

 

 

Total liability derivatives

   $ (4,049,476   $ (59,735,941   $ (63,785,417
  

 

 

   

 

 

   

 

 

 

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:


     Maximum Amount
of Loss - Gross
     Maximum Amount
of Loss - Net
 

Over-the-counter counterparty credit risk

     

Forward foreign currency contracts

   $ 22,374,523       $ 18,325,047   

Collateral pledged to UBS AG

     6,748,496         6,748,496   
  

 

 

    

 

 

 

Total over-the-counter counterparty credit risk

     29,123,019         25,073,543   
  

 

 

    

 

 

 

Exchange traded counterparty credit risk

     

Futures contracts

     11,352,666         11,352,666   

Margin with brokers

     234,416,405         234,416,405   
  

 

 

    

 

 

 

Total exchange traded counterparty credit risk

     245,769,071         245,769,071   
  

 

 

    

 

 

 

Total counterparty credit risk

   $ 274,892,090       $ 270,842,614   
  

 

 

    

 

 

 

Investment Summary at September 30, 2014 (Unaudited)

 

Certificates of Deposit

     80.1

Financial Company Commercial Paper

     6.8   

Commercial Paper

     4.0   

Other Notes

     1.5   
  

 

 

 

Total Investments

     92.4   

Other assets less liabilities (including forward foreign currency and futures contracts)

     7.6   
  

 

 

 

Net Assets

     100.0
  

 

 

 


CONSOLIDATED PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Managed Futures Strategy Fund

 

Principal
Amount

    

Description

   Value (†)  

 

Short-Term Investments – 89.0% of Net Assets

  

   Certificates of Deposit – 76.2%   
$ 50,000,000      

BNP Paribas,

0.010%, 10/01/2014

   $ 50,000,000   
  7,900,000      

Canadian Imperial Bank of Commerce,

0.010%, 10/01/2014

     7,900,000   
  10,000,000      

National Bank of Kuwait,

0.050%, 10/01/2014

     10,000,000   
  5,000,000      

Sumitomo Mitsui Bank (NY),

0.060%, 10/02/2014

     5,000,000   
  25,000,000      

Landesbank Hessen Thueringen Girozentrale,

0.145%, 10/02/2014

     25,000,000   
  5,000,000      

Mizuho Corporate Bank,

0.210%, 10/02/2014

     5,000,010   
  50,000,000      

Bank of Tokyo-Mitsubishi UFJ (NY),

0.150%, 10/03/2014

     50,000,000   
  15,000,000      

Oversea-Chinese Banking Corp.,

0.190%, 10/08/2014

     15,000,240   
  25,000,000      

Toronto Dominion Bank,

0.250%, 10/10/2014(b)

     25,001,100   
  30,000,000      

Oversea-Chinese Banking Corp.,

0.180%, 10/14/2014

     30,000,325   
  15,000,000      

Agricultural Bank of China,

0.380%, 10/14/2014

     15,000,000   
  25,000,000      

Svenska Handelsbanken (NY),

0.170%, 10/16/2014

     25,000,325   
  15,000,000      

Banco Del Estado de Chile,

0.200%, 10/20/2014

     15,000,330   
  20,000,000      

China Construction Bank Corp. (NY),

0.350%, 10/22/2014

     20,000,058   
  50,000,000      

Credit Agricole,

0.110%, 11/03/2014

     50,000,000   
  30,000,000      

Westpac Banking Corp. (NY),

0.290%, 11/06/2014(c)

     30,004,920   
  25,000,000      

Mizuho Corporate Bank,

0.190%, 11/12/2014

     25,000,300   
  30,000,000      

Bank of Nova Scotia (TX),

0.250%, 11/12/2014

     30,006,090   
  40,000,000      

National Bank of Kuwait,

0.280%, 11/13/2014

     40,004,400   
  15,000,000      

Mizuho Corporate Bank,

0.190%, 11/25/2014

     15,000,240   
  30,000,000      

Standard Chartered Bank (NY),

0.190%, 12/02/2014

     30,000,510   
  25,000,000      

Sumitomo Mitsui Bank (NY),

0.360%, 12/05/2014(c)

     25,006,375   
  35,000,000      

Skandinaviska Enskilda Banken (NY),

0.240%, 12/10/2014(c)

     35,004,130   
  50,000,000      

DNB Bank ASA,

0.180%, 1/05/2015

     49,997,300   
  20,000,000      

Sumitomo Mitsui Bank (NY),

0.230%, 1/05/2015

     19,999,460   
  15,000,000      

Bank of Montreal (IL),

0.180%, 1/08/2015

     14,999,580   


Principal
Amount

    

Description

   Value (†)  
   Certificates of Deposit – continued   
$ 40,000,000      

Norinchukin Bank,

0.260%, 1/08/2015(c)

   $ 40,002,200   
  20,000,000      

Toronto Dominion Bank,

0.210%, 1/16/2015

     20,004,200   
  30,000,000      

Banco Del Estado de Chile,

0.240%, 1/23/2015

     30,001,920   
  30,500,000      

Societe Generale S.A.,

0.284%, 2/02/2015(b)(d)(e)

     30,498,170   
  10,000,000      

Bank of Nova Scotia (TX),

0.250%, 2/17/2015

     10,001,550   
  45,000,000      

Deutsche Zentral-Genossenschaftsbank,

0.310%, 2/25/2015

     45,001,845   
  45,000,000      

Rabobank Nederland,

0.220%, 4/01/2015

     44,993,160   
  5,000,000      

Rabobank Nederland,

0.284%, 6/15/2015(d)

     4,999,270   
  35,000,000      

Dexia Credit Local,

0.281%, 7/01/2015(d)

     35,000,000   
  20,000,000      

Bank of Montreal (IL),

0.234%, 7/16/2015(d)

     19,996,920   
  10,000,000      

Westpac Banking Corp. (NY),

0.224%, 7/17/2015(d)

     9,998,460   
  15,000,000      

China Construction Bank Corp. (NY),

0.404%, 7/20/2015(d)(e)

     15,000,000   
  15,000,000      

Bank of Montreal (IL),

0.226%, 8/07/2015(d)

     14,997,465   
     

 

 

 
        983,420,853   
     

 

 

 
   Financial Company Commercial Paper – 8.3%   
  5,000,000      

General Electric Capital Corp.,

0.120%, 10/03/2014(f)

     4,999,980   
  40,000,000      

ING (U.S.) Funding LLC,

0.200%, 10/03/2014(f)

     39,999,680   
  6,700,000      

ICICI Bank LTD, (Credit Support: Wells Fargo),

0.200%, 11/03/2014(f)

     6,699,022   
  20,000,000      

Swedbank,

0.100%, 11/24/2014(f)

     19,995,840   
  35,000,000      

General Electric Capital Corp.,

0.180%, 12/11/2014(f)

     34,993,980   
     

 

 

 
        106,688,502   
     

 

 

 
   Commercial Paper – 3.0%   
  39,000,000      

Cofco Capital Corp., (Credit Support: Bank of China),

0.430%, 10/09/2014(f)

     38,996,273   
     

 

 

 
        38,996,273   
     

 

 

 
   Other Notes – 1.5%   
  5,000,000      

JPMorgan Chase Bank NA, Series 1,

0.353%, 10/07/2015(d)

     5,000,230   
  15,000,000      

Wells Fargo,

0.353%, 10/20/2015(d)

     15,002,730   
     

 

 

 
        20,002,960   
     

 

 

 
  

Total Short-Term Investments

(Identified Cost $1,149,080,407)

     1,149,108,588   
     

 

 

 

 


    

Description

   Value (†)  
  

Total Investments – 89.0%

(Identified Cost $1,149,080,407)(a)

   $ 1,149,108,588   
   Other assets less liabilities – 11.0%      141,326,705   
     

 

 

 
   Net Assets – 100.0%    $ 1,290,435,293   
     

 

 

 

Consolidation

The Fund invests in commodity-related derivatives through its investment in the ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary (the “Subsidiary”). Investments of the Subsidiary have been consolidated with those of the Fund for reporting purposes. As of September 30, 2014, the value of the Fund’s investment in the Subsidiary was $48,739,337, representing 3.8% of the Fund’s net assets.

 

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Forward foreign currency contracts are valued utilizing interpolated rates determined based on information provided by an independent pricing service.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.

 

(a) Federal Tax Information:

At September 30, 2014, the net unrealized appreciation on short-term investments based on a cost of $1,149,080,407 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

   $ 49,556   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (21,375
  

 

 

 

Net unrealized appreciation

   $ 28,181   
  

 

 

 

Only short-term obligations purchased with an original or remaining maturity of more than sixty days are valued at other than amortized cost.

 

(b) All of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(c) A portion of this security has been designated to cover the Fund’s obligations under open forward foreign currency and futures contracts.
(d) Variable rate security. Rate as of September 30, 2014 is disclosed.
(e) Security payable on demand at par including accrued interest.
(f) Interest rate represents discount rate at time of purchase; not a coupon rate.


Forward Foreign Currency Contracts

The Fund may enter into forward foreign currency contracts, including forward foreign cross currency contracts, to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuation. A contract can also be used to offset a previous contract. These contracts involve market risk in excess of the unrealized gain or loss. The U.S. dollar value of the currencies the Fund has committed to buy or sell represents the aggregate exposure to each currency the Fund has acquired or hedged through currency contracts outstanding at period end. Gains or losses are recorded for financial statement purposes as unrealized until settlement date. Contracts are traded over-the-counter directly with a counterparty. Risks may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar. When the Fund enters into a forward foreign currency contract, it is required to pledge cash or high-quality securities equal to a percentage of the notional amount of the contract to the counterparty as an independent amount of collateral. The Fund may pledge additional collateral to the counterparty to the extent of mark-to-market losses on open contracts.

At September 30, 2014, the Fund had the following open forward foreign currency contracts:

 

Contract

to

Buy/Sell1

  Delivery
Date
    Currency   Units
of
Currency
    Notional
Value
    Unrealized
Appreciation
(Depreciation)
 
Buy     12/17/2014      Australian Dollar     9,600,000      $ 8,359,922      $ (365,057
Sell     12/17/2014      Australian Dollar     24,700,000        21,509,383        497,386   
Sell     12/17/2014      Australian Dollar     18,100,000        15,761,937        (32,530
Sell     12/17/2014      British Pound     1,625,000        2,632,618        (8,374
Sell     12/17/2014      Canadian Dollar     26,100,000        23,262,447        448,293   
Sell     12/17/2014      Euro     65,625,000        82,932,650        1,980,982   
Sell     12/17/2014      Japanese Yen     15,375,000,000        140,283,534        3,011,471   
Sell     12/17/2014      New Zealand Dollar     24,700,000        19,138,014        883,391   
Sell     12/17/2014      New Zealand Dollar     25,000,000        19,370,459        (128,309
Sell     12/17/2014      Norwegian Krone     326,000,000        50,605,597        568,150   
Buy     12/17/2014      Singapore Dollar     64,875,000        50,852,838        (414,766
Sell     12/17/2014      Singapore Dollar     66,000,000        51,734,679        463,163   
Sell     12/17/2014      South African Rand     378,000,000        33,071,599        912,922   
Sell     12/17/2014      Swedish Krona     412,000,000        57,082,582        910,970   
Sell     12/17/2014      Swiss Franc     23,500,000        24,633,169        173,156   
Sell     12/17/2014      Turkish Lira     66,900,000        28,824,776        554,583   
         

 

 

 

Total

  

  $ 9,455,431   
         

 

 

 

 

1  Counterparty is UBS AG.


Futures Contracts

The Fund and the Subsidiary may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund or the Subsidiary enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund or the Subsidiary, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. The aggregate principal amounts of the contracts are not recorded in the financial statements. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund or the Subsidiary enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s or the Subsidiary’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities, commodities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund and the Subsidiary are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2014, open long futures contracts were as follows:

 

Financial Futures

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

AEX-Index®

     10/17/2014         488       $ 51,947,548       $ 554,732   

ASX SPI 200™

     12/18/2014         393         45,445,848         (1,548,410

CAC 40®

     10/17/2014         421         23,471,191         (141,026

DAX

     12/19/2014         49         14,684,051         (188,763

E-mini Dow

     12/19/2014         685         58,105,125         (30,825

E-mini NASDAQ 100

     12/19/2014         826         66,819,270         (638,213

E-mini S&P 500®

     12/19/2014         594         58,375,350         (643,005

Euribor

     3/16/2015         5,259         1,659,433,187         1,577,566   

Euro Schatz

     12/08/2014         4,114         576,803,030         467,657   

EURO STOXX 50®

     12/19/2014         708         28,821,346         187,790   

Euro-BTP

     12/08/2014         891         146,839,317         1,297,620   

Euro-OAT

     12/08/2014         1,402         254,552,034         1,458,053   

Eurodollar

     3/16/2015         8,637         2,152,016,512         598,163   

FTSE 100 Index

     12/19/2014         333         35,659,330         (798,968

FTSE MIB

     12/19/2014         92         12,126,118         128,402   

FTSE/JSE Top 40 Index

     12/18/2014         743         29,326,201         (1,101,434

German Euro BOBL

     12/08/2014         2,341         378,234,003         1,300,993   

German Euro Bund

     12/08/2014         1,149         217,251,375         869,497   

Hang Seng Index®

     10/30/2014         309         45,405,771         (1,932,870

IBEX 35

     10/17/2014         291         39,910,533         367,915   

Mini-Russell 2000

     12/19/2014         161         17,655,260         (1,141,935

MSCI Singapore

     10/30/2014         653         37,807,149         (174,038

MSCI Taiwan Index

     10/30/2014         1,067         34,560,130         (810,920

Nikkei 225™

     12/11/2014         240         35,406,428         1,264,737   

OMXS30®

     10/17/2014         1,758         34,211,079         454,970   

S&P CNX Nifty Futures Index

     10/30/2014         2,664         42,562,728         (1,116,216

S&P/TSX 60 Index

     12/18/2014         355         54,596,366         (1,869,539

Sterling

     3/18/2015         6,257         1,257,354,763         320,349   

TOPIX

     12/11/2014         422         51,040,164         1,419,813   

UK Long Gilt

     12/29/2014         502         92,075,299         422,731   

Ultra Long U.S. Treasury Bond

     12/19/2014         449         68,472,500         (529,688

2 Year U.S. Treasury Note

     12/31/2014         3,400         744,068,750         (12,845

3 Year Australia Government Bond

     12/15/2014         1,865         178,521,270         492,385   


Financial Futures (continued)

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

5 Year U.S. Treasury Note

     12/31/2014         1,098       $ 129,847,079       $ (248,765

10 Year Australia Government Bond

     12/15/2014         688         72,767,464         742,028   

10 Year Canada Government Bond

     12/18/2014         988         119,518,050         (793,973

10 Year Japan Government Bond

     12/11/2014         257         341,744,974         468,657   

10 Year U.S. Treasury Note

     12/19/2014         785         97,842,891         (619,414

30 Year U.S. Treasury Bond

     12/19/2014         539         74,331,469         (644,273
           

 

 

 

Total

  

   $ (591,062
           

 

 

 

 

Commodity Futures2

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

     12/17/2014         367       $ 17,966,944       $ (1,421,207

Cocoa

     12/15/2014         448         14,784,000         98,460   

Coffee

     12/18/2014         41         2,972,756         68,419   

Copper LME

     12/17/2014         11         1,835,213         (100,925

Live Cattle

     12/31/2014         381         24,913,590         716,900   

Nickel LME

     12/15/2014         82         8,021,568         (1,748,076

Zinc LME

     12/15/2014         419         23,961,562         (1,335,562
           

 

 

 

Total

  

   $ (3,721,991
           

 

 

 

At September 30, 2014, open short futures contracts were as follows:

 

Commodity Futures2

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

Aluminum LME

     12/17/2014         377       $ 18,456,506       $ 26,861   

Brent Crude Oil

     11/13/2014         122         11,629,040         —     

Copper High Grade

     12/29/2014         159         11,954,813         120,550   

Copper LME

     12/17/2014         11         1,835,212         45,540   

Corn

     12/12/2014         1,967         31,545,763         5,340,387   

Cotton

     12/08/2014         672         20,620,320         1,631,110   

Gas Oil

     11/12/2014         441         35,643,825         341,100   

Gasoline

     10/31/2014         174         17,811,788         517,944   

Gold

     12/29/2014         445         53,916,200         1,538,400   

Natural Gas

     10/29/2014         263         10,838,230         (383,980

New York Harbor ULSD

     10/31/2014         126         14,026,446         366,735   

Silver

     12/29/2014         185         15,777,725         1,472,125   

Soybean

     11/14/2014         1,113         50,822,363         3,494,837   

Soybean Meal

     12/12/2014         990         29,591,100         658,250   

Soybean Oil

     12/12/2014         1,561         30,317,742         2,424,408   

Sugar

     2/27/2015         1,540         28,372,960         (1,342,398

Wheat

     12/12/2014         1,340         32,009,250         3,021,825   

WTI Crude Oil

     10/21/2014         136         12,397,760         360,400   
           

 

 

 

Total

  

   $ 19,634,094   
           

 

 

 

 

2  Commodity futures are held by ASG Managed Futures Strategy Cayman Fund Ltd., a wholly-owned subsidiary.


Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

    Level 1—quoted prices in active markets for identical assets or liabilities;

 

    Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

    Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:

Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Short-Term Investments*

   $ —         $ 1,149,108,588       $ —         $ 1,149,108,588   

Forward Foreign Currency Contracts (unrealized appreciation)

     —           10,404,467         —           10,404,467   

Futures Contracts (unrealized appreciation)

     36,638,309                 —           36,638,309   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 36,638,309       $ 1,159,513,055       $ —         $ 1,196,151,364   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liability Valuation Inputs

 

Description

   Level 1     Level 2     Level 3      Total  

Forward Foreign Currency Contracts (unrealized depreciation)

   $ —        $ (949,036   $ —         $ (949,036

Futures Contracts (unrealized depreciation)

     (21,317,268     —          —           (21,317,268
  

 

 

   

 

 

   

 

 

    

 

 

 

Total

   $ (21,317,268   $ (949,036   $ —         $ (22,266,304
  

 

 

   

 

 

   

 

 

    

 

 

 

 

* Details of the major categories of the Fund’s investments are reflected within the Consolidated Portfolio of Investments.

For the period ended September 30, 2014, there were no transfers among Levels 1, 2 and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include forward foreign currency contracts and futures contracts.

The Fund seeks to generate positive absolute returns over time. The Fund uses a set of proprietary quantitative models to identify price trends in equity, fixed income, currency and commodity instruments, and may have both short and long exposures within an asset class based on an analysis of asset price trends. Under normal market conditions, the Fund will make extensive use of derivative instruments, in particular futures and forward contracts, to capture the exposures suggested by its absolute return strategy while also adding value through volatility management. These market exposures, which are expected to change over time, may include exposures to global equity and fixed income securities, securities indices, currencies, commodities and other instruments. During the period ended September 30, 2014, the Fund used long and short contracts on foreign equity market indices, U.S. and foreign government bonds, foreign currencies, short-term interest rates and commodities (through investments in the Subsidiary) and long contracts on U.S. equity market indices, to capture the exposures suggested by the quantitative investment models.

The following is a summary of derivative instruments for the Fund, as of September 30, 2014:

 

Assets

   Unrealized
appreciation on
forward foreign
currency contracts
     Unrealized
appreciation on
futures contracts
     Total  

Over-the-counter asset derivatives

        

Foreign exchange contracts

   $ 10,404,467       $ —         $ 10,404,467   
  

 

 

    

 

 

    

 

 

 

Exchange traded asset derivatives

        

Interest rate contracts

   $ —         $ 10,015,699       $ 10,015,699   

Equity contracts

     —           4,378,359         4,378,359   

Commodity contracts

     —           22,244,251         22,244,251   
  

 

 

    

 

 

    

 

 

 

Total exchange traded asset derivatives

   $ —         $ 36,638,309       $ 36,638,309   
  

 

 

    

 

 

    

 

 

 

Total asset derivatives

   $ 10,404,467       $ 36,638,309       $ 47,042,776   
  

 

 

    

 

 

    

 

 

 


Liabilities

   Unrealized
depreciation on
forward foreign
currency contracts
    Unrealized
depreciation on
futures contracts
    Total  

Over-the-counter liability derivatives

      

Foreign exchange contracts

   $ (949,036   $ —        $ (949,036
  

 

 

   

 

 

   

 

 

 

Exchange traded liability derivatives

      

Interest rate contracts

   $ —        $ (2,848,958   $ (2,848,958

Equity contracts

     —          (12,136,162     (12,136,162

Commodity contracts

     —          (6,332,148     (6,332,148
  

 

 

   

 

 

   

 

 

 

Total exchange traded liability derivatives

   $ —        $ (21,317,268   $ (21,317,268
  

 

 

   

 

 

   

 

 

 

Total liability derivatives

   $ (949,036   $ (21,317,268   $ (22,266,304
  

 

 

   

 

 

   

 

 

 

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Over-the-counter derivatives, including forward foreign currency contracts, are entered into pursuant to International Swaps and Derivatives Association, Inc. (“ISDA”) agreements negotiated between the Fund and its counterparties. ISDA agreements typically contain, among other things, terms for the posting of collateral and master netting provisions in the event of a default or other termination event. Master netting provisions allow the Fund and the counterparty, in the event of a default or other termination event, to offset amounts owed by each related to derivative contracts, including any posted collateral, to one net amount payable by either the Fund or the counterparty. The Fund’s ISDA agreements typically contain provisions that allow a counterparty to terminate open contracts early if the NAV of the Fund declines beyond a certain threshold. As of September 30, 2014, the Fund did not hold any derivative positions subject to these provisions that are in a net liability position by counterparty.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. The Fund’s risk of loss from counterparty credit risk on over-the-counter derivatives is generally limited to the Fund’s aggregated unrealized gains and the amount of any collateral pledged to the counterparty, which may be offset by any collateral posted to the Fund by the counterparty. ISDA master agreements can help to manage counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under these ISDA agreements, collateral is routinely transferred if the total net exposure in respect of certain transactions, net of existing collateral already in place, exceeds a specified amount (typically $250,000, depending on the counterparty). With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows (i) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund, and (ii) the amount of loss that the Fund would incur after taking into account master netting provisions pursuant to ISDA agreements, as of September 30, 2014:

 

     Maximum Amount of
Loss - Gross
     Maximum Amount of
Loss - Net
 

Over-the-counter counterparty credit risk

     

Forward foreign currency contracts

   $ 10,404,467       $ 9,455,431   

Collateral pledged to UBS AG

     10,298,540         10,298,540   
  

 

 

    

 

 

 

Total over-the-counter counterparty credit risk

     20,703,007         19,753,971   
  

 

 

    

 

 

 

Exchange traded counterparty credit risk

     

Futures contracts

     36,638,309         36,638,309   

Margin with brokers

     97,589,194         97,589,194   
  

 

 

    

 

 

 

Total exchange traded counterparty credit risk

     134,227,503         134,227,503   
  

 

 

    

 

 

 

Total counterparty credit risk

   $ 154,930,510       $ 153,981,474   
  

 

 

    

 

 

 

Investment Summary at September 30, 2014 (Unaudited)

 

Certificates of Deposit

     76.2

Financial Company Commercial Paper

     8.3   

Commercial Paper

     3.0   

Other Notes

     1.5   
  

 

 

 

Total Investments

     89.0   

Other assets less liabilities (including forward foreign currency and futures contracts)

     11.0   
  

 

 

 

Net Assets

     100.0
  

 

 

 


PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

ASG Tactical U.S. Market Fund

 

Shares

    

Description

   Value (†)  

 

Common Stocks – 49.1% of Net Assets

  

  

Aerospace & Defense – 1.3%

  
  514      

Boeing Co. (The)

   $ 65,473   
  1,869      

Honeywell International, Inc.

     174,041   
  764      

Lockheed Martin Corp.

     139,644   
  718      

Northrop Grumman Corp.

     94,604   
  979      

Rockwell Collins, Inc.

     76,852   
  828      

United Technologies Corp.

     87,437   
     

 

 

 
        638,051   
     

 

 

 
  

Air Freight & Logistics – 0.3%

  
  827      

FedEx Corp.

     133,519   
     

 

 

 
  

Airlines – 0.2%

  
  3,142      

Southwest Airlines Co.

     106,105   
     

 

 

 
  

Auto Components – 0.2%

  
  1,807      

Johnson Controls, Inc.

     79,508   
     

 

 

 
  

Automobiles – 0.3%

  
  8,684      

Ford Motor Co.

     128,436   
     

 

 

 
  

Banks – 3.5%

  
  14,514      

Bank of America Corp.

     247,464   
  6,025      

Citigroup, Inc.

     312,215   
  6,944      

JPMorgan Chase & Co.

     418,307   
  1,383      

PNC Financial Services Group, Inc. (The)

     118,357   
  4,410      

U.S. Bancorp

     184,470   
  8,618      

Wells Fargo & Co.

     447,016   
     

 

 

 
        1,727,829   
     

 

 

 
  

Beverages – 1.5%

  
  3,742      

Coca-Cola Co. (The)

     159,634   
  2,010      

Coca-Cola Enterprises, Inc.

     89,163   
  1,790      

Dr Pepper Snapple Group, Inc.

     115,115   
  4,102      

PepsiCo, Inc.

     381,855   
     

 

 

 
        745,767   
     

 

 

 
  

Biotechnology – 2.1%

  
  1,780      

Amgen, Inc.

     250,019   
  515      

Biogen Idec, Inc.(b)

     170,367   
  1,866      

Celgene Corp.(b)

     176,860   
  3,036      

Gilead Sciences, Inc.(b)

     323,182   
  358      

Regeneron Pharmaceuticals, Inc.(b)

     129,066   
     

 

 

 
        1,049,494   
     

 

 

 
  

Capital Markets – 0.4%

  
  3,500      

Bank of New York Mellon Corp. (The)

     135,555   
  1,865      

Invesco Ltd.

     73,630   
     

 

 

 
        209,185   
     

 

 

 
  

Chemicals – 1.6%

  
  490      

Air Products & Chemicals, Inc.

     63,788   


Shares

    

Description

   Value (†)  

 

Common Stocks – continued

  

  

Chemicals – continued

  
  2,364      

Dow Chemical Co. (The)

   $ 123,968   
  1,676      

E.I. du Pont de Nemours & Co.

     120,270   
  508      

Ecolab, Inc.

     58,334   
  933      

LyondellBasell Industries NV, Class A

     101,380   
  879      

Monsanto Co.

     98,896   
  618      

Praxair, Inc.

     79,722   
  275      

Sherwin-Williams Co. (The)

     60,222   
  479      

Sigma-Aldrich Corp.

     65,149   
     

 

 

 
        771,729   
     

 

 

 
  

Commercial Services & Supplies – 0.2%

  
  513      

Stericycle, Inc.(b)

     59,795   
  1,158      

Tyco International Ltd.

     51,612   
     

 

 

 
        111,407   
     

 

 

 
  

Communications Equipment – 0.9%

  
  8,800      

Cisco Systems, Inc.

     221,496   
  3,301      

QUALCOMM, Inc.

     246,816   
     

 

 

 
        468,312   
     

 

 

 
  

Construction & Engineering – 0.1%

  
  1,454      

Quanta Services, Inc.(b)

     52,766   
     

 

 

 
  

Consumer Finance – 0.3%

  
  1,709      

American Express Co.

     149,606   
     

 

 

 
  

Containers & Packaging – 0.2%

  
  1,304      

MeadWestvaco Corp.

     53,386   
  1,305      

Sealed Air Corp.

     45,518   
     

 

 

 
        98,904   
     

 

 

 
  

Distributors – 0.1%

  
  743      

Genuine Parts Co.

     65,169   
     

 

 

 
  

Diversified Financial Services – 1.1%

  
  3,270      

Berkshire Hathaway, Inc., Class B(b)

     451,718   
  1,279      

McGraw Hill Financial, Inc.

     108,011   
     

 

 

 
        559,729   
     

 

 

 
  

Diversified Telecommunication Services – 1.1%

  
  2,456      

CenturyLink, Inc.

     100,426   
  13,274      

Frontier Communications Corp.

     86,414   
  7,692      

Verizon Communications, Inc.

     384,523   
     

 

 

 
        571,363   
     

 

 

 
  

Electric Utilities – 0.8%

  
  1,514      

American Electric Power Co., Inc.

     79,046   
  1,583      

Duke Energy Corp.

     118,361   
  679      

NextEra Energy, Inc.

     63,745   
  814      

Northeast Utilities

     36,060   
  1,329      

PPL Corp.

     43,644   
  1,688      

Southern Co. (The)

     73,681   
     

 

 

 
        414,537   
     

 

 

 


Shares

    

Description

   Value (†)  

 

Common Stocks – continued

  

  

Electrical Equipment – 0.2%

  
  1,600      

Eaton Corp. PLC

   $ 101,392   
     

 

 

 
  

Electronic Equipment, Instruments & Components – 0.4%

  
  6,246      

Corning, Inc.

     120,798   
  1,860      

TE Connectivity Ltd.

     102,839   
     

 

 

 
        223,637   
     

 

 

 
  

Energy Equipment & Services – 0.9%

  
  2,346      

Halliburton Co.

     151,341   
  1,112      

National Oilwell Varco, Inc.

     84,623   
  2,255      

Schlumberger Ltd.

     229,311   
     

 

 

 
        465,275   
     

 

 

 
  

Food & Staples Retailing – 1.1%

  
  3,498      

CVS Health

     278,406   
  1,769      

Wal-Mart Stores, Inc.

     135,275   
  2,586      

Walgreen Co.

     153,272   
     

 

 

 
        566,953   
     

 

 

 
  

Food Products – 0.9%

  
  2,814      

Archer-Daniels-Midland Co.

     143,796   
  1,265      

Mead Johnson Nutrition Co.

     121,718   
  5,729      

Mondelez International, Inc., Class A

     196,304   
     

 

 

 
        461,818   
     

 

 

 
  

Health Care Equipment & Supplies – 0.6%

  
  508      

CR Bard, Inc.

     72,497   
  2,624      

Medtronic, Inc.

     162,557   
  1,388      

St. Jude Medical, Inc.

     83,460   
     

 

 

 
        318,514   
     

 

 

 
  

Health Care Providers & Services – 0.5%

  
  1,584      

DaVita HealthCare Partners, Inc.(b)

     115,854   
  720      

McKesson Corp.

     140,162   
     

 

 

 
        256,016   
     

 

 

 
  

Hotels, Restaurants & Leisure – 0.4%

  
  101      

Chipotle Mexican Grill, Inc.(b)

     67,326   
  397      

McDonald’s Corp.

     37,639   
  843      

Starwood Hotels & Resorts Worldwide, Inc.

     70,146   
     

 

 

 
        175,111   
     

 

 

 
  

Household Durables – 0.2%

  
  1,215      

Garmin Ltd.

     63,168   
  809      

Lennar Corp., Class A

     31,413   
     

 

 

 
        94,581   
     

 

 

 
  

Household Products – 0.6%

  
  965      

Colgate-Palmolive Co.

     62,937   
  2,648      

Procter & Gamble Co. (The)

     221,744   
     

 

 

 
        284,681   
     

 

 

 
  

Industrial Conglomerates – 1.3%

  
  1,397      

3M Co.

     197,927   
  1,729      

Danaher Corp.

     131,369   


Shares

    

Description

   Value (†)  

 

Common Stocks – continued

  

  

Industrial Conglomerates – continued

  
  12,006      

General Electric Co.

   $ 307,594   
     

 

 

 
        636,890   
     

 

 

 
  

Insurance – 1.6%

  
  3,509      

American International Group, Inc.

     189,556   
  932      

Assurant, Inc.

     59,928   
  626      

Chubb Corp. (The)

     57,016   
  1,288      

Lincoln National Corp.

     69,011   
  1,848      

Marsh & McLennan Cos., Inc.

     96,724   
  2,355      

MetLife, Inc.

     126,511   
  1,415      

Principal Financial Group, Inc.

     74,245   
  1,065      

Torchmark Corp.

     55,774   
  2,256      

XL Group PLC

     74,831   
     

 

 

 
        803,596   
     

 

 

 
  

Internet & Catalog Retail – 0.8%

  
  703      

Amazon.com, Inc.(b)

     226,675   
  714      

Expedia, Inc.

     62,561   
  100      

Priceline Group, Inc. (The)(b)

     115,858   
     

 

 

 
        405,094   
     

 

 

 
  

Internet Software & Services – 1.6%

  
  2,976      

Facebook, Inc., Class A(b)

     235,223   
  458      

Google, Inc., Class A(b)

     269,492   
  460      

Google, Inc., Class C(b)

     265,585   
     

 

 

 
        770,300   
     

 

 

 
  

IT Services – 0.8%

  
  1,657      

International Business Machines Corp.

     314,549   
  1,496      

Paychex, Inc.

     66,123   
     

 

 

 
        380,672   
     

 

 

 
  

Machinery – 0.7%

  
  1,558      

Caterpillar, Inc.

     154,289   
  926      

Dover Corp.

     74,385   
  1,292      

Illinois Tool Works, Inc.

     109,071   
     

 

 

 
        337,745   
     

 

 

 
  

Media – 2.0%

  
  456      

CBS Corp., Class B

     24,396   
  4,604      

Comcast Corp., Class A

     247,603   
  1,240      

DIRECTV(b)

     107,285   
  678      

Time Warner Cable, Inc.

     97,286   
  1,536      

Time Warner, Inc.

     115,522   
  2      

Time, Inc.(b)

     47   
  4,196      

Twenty-First Century Fox, Inc., Class A

     143,881   
  2,858      

Walt Disney Co. (The)

     254,448   
     

 

 

 
        990,468   
     

 

 

 
  

Multi-Utilities – 0.6%

  
  1,829      

CMS Energy Corp.

     54,248   
  681      

Consolidated Edison, Inc.

     38,585   
  1,153      

Dominion Resources, Inc.

     79,661   
  1,716      

NiSource, Inc.

     70,322   


Shares

    

Description

   Value (†)  

 

Common Stocks – continued

  
  

Multi-Utilities – continued

  
  1,585      

PG&E Corp.

   $ 71,388   
     

 

 

 
        314,204   
     

 

 

 
  

Multiline Retail – 0.3%

  
  1,301      

Macy’s, Inc.

     75,692   
  972      

Nordstrom, Inc.

     66,456   
     

 

 

 
        142,148   
     

 

 

 
  

Oil, Gas & Consumable Fuels – 3.9%

  
  2,947      

Chevron Corp.

     351,636   
  2,330      

ConocoPhillips

     178,292   
  2,089      

CONSOL Energy, Inc.

     79,090   
  1,438      

EOG Resources, Inc.

     142,391   
  6,233      

Exxon Mobil Corp.

     586,214   
  913      

Hess Corp.

     86,114   
  2,766      

Kinder Morgan, Inc.

     106,048   
  1,010      

Marathon Petroleum Corp.

     85,517   
  1,406      

Murphy Oil Corp.

     80,015   
  1,607      

Phillips 66

     130,665   
  125      

Pioneer Natural Resources Co.

     24,621   
  2,654      

Spectra Energy Corp.

     104,196   
     

 

 

 
        1,954,799   
     

 

 

 
  

Pharmaceuticals – 3.6%

  
  3,926      

AbbVie, Inc.

     226,766   
  769      

Actavis PLC(b)

     185,544   
  934      

Allergan, Inc.

     166,429   
  4,596      

Johnson & Johnson

     489,888   
  5,323      

Merck & Co., Inc.

     315,547   
  1,688      

Mylan, Inc.(b)

     76,787   
  10,373      

Pfizer, Inc.

     306,730   
     

 

 

 
        1,767,691   
     

 

 

 
  

Professional Services – 0.2%

  
  681      

Equifax, Inc.

     50,898   
  745      

Robert Half International, Inc.

     36,505   
     

 

 

 
        87,403   
     

 

 

 
  

REITs - Apartments – 0.2%

  
  582      

AvalonBay Communities, Inc.

     82,045   
     

 

 

 
  

REITs - Diversified – 0.4%

  
  1,183      

American Tower Corp.

     110,764   
  2,692      

Weyerhaeuser Co.

     85,767   
     

 

 

 
        196,531   
     

 

 

 
  

REITs - Storage – 0.2%

  
  519      

Public Storage

     86,071   
     

 

 

 
  

REITs - Warehouse/Industrials – 0.2%

  
  2,007      

ProLogis, Inc.

     75,664   
     

 

 

 
  

Road & Rail – 0.7%

  
  3,505      

CSX Corp.

     112,370   


Shares

    

Description

   Value (†)  

 

Common Stocks – continued

  
  

Road & Rail – continued

  
  2,025      

Union Pacific Corp.

   $ 219,551   
     

 

 

 
        331,921   
     

 

 

 
  

Semiconductors & Semiconductor Equipment – 1.4%

  
  1,946      

Analog Devices, Inc.

     96,307   
  3,814      

Applied Materials, Inc.

     82,421   
  9,795      

Intel Corp.

     341,062   
  1,006      

Lam Research Corp.

     75,148   
  1,907      

Microchip Technology, Inc.

     90,068   
     

 

 

 
        685,006   
     

 

 

 
  

Software – 1.9%

  
  1,876      

Adobe Systems, Inc.(b)

     129,800   
  11,995      

Microsoft Corp.

     556,088   
  6,792      

Oracle Corp.

     259,998   
     

 

 

 
        945,886   
     

 

 

 
  

Specialty Retail – 1.2%

  
  127      

AutoZone, Inc.(b)

     64,727   
  2,551      

Home Depot, Inc. (The)

     234,029   
  2,431      

Lowe’s Cos., Inc.

     128,649   
  1,901      

TJX Cos., Inc. (The)

     112,482   
  979      

Tractor Supply Co.

     60,218   
     

 

 

 
        600,105   
     

 

 

 
  

Technology Hardware, Storage & Peripherals – 2.5%

  
  9,094      

Apple, Inc.

     916,220   
  5,164      

EMC Corp.

     151,099   
  5,161      

Hewlett-Packard Co.

     183,061   
     

 

 

 
        1,250,380   
     

 

 

 
  

Textiles, Apparel & Luxury Goods – 0.4%

  
  1,524      

NIKE, Inc., Class B

     135,941   
  702      

Under Armour, Inc., Class A(b)

     48,508   
     

 

 

 
        184,449   
     

 

 

 
  

Thrifts & Mortgage Finance – 0.1%

  
  6,681      

Hudson City Bancorp, Inc.

     64,939   
     

 

 

 
  

Tobacco – 0.5%

  
  1,689      

Philip Morris International, Inc.

     140,863   
  1,946      

Reynolds American, Inc.

     114,814   
     

 

 

 
        255,677   
     

 

 

 
  

Total Common Stocks

(Identified Cost $22,077,901)

     24,379,078   
     

 

 

 

 

Exchange Traded Funds – 10.2%

  
  25,720      

SPDR® S&P 500® ETF Trust

(Identified Cost $4,790,422)

     5,067,354   
     

 

 

 

 


Principal

Amount

    

Description

   Value (†)  

 

Short-Term Investments – 36.9%

  
  

Certificates of Deposit – 32.7%

  
  $150,000      

Royal Bank of Canada,

0.010%, 10/01/2014

   $ 150,000   
  850,000      

Landesbank Hessen Thueringen Girozentrale,

0.145%, 10/02/2014 (c)

     850,000   
  800,000      

Bank of Tokyo-Mitsubishi UFJ (NY),

0.150%, 10/03/2014 (c)

     800,000   
  600,000      

Oversea-Chinese Banking Corp.,

0.190%, 10/08/2014 (c)

     600,010   
  350,000      

Toronto Dominion Bank,

0.250%, 10/10/2014 (c)

     350,015   
  800,000      

Agricultural Bank of China,

0.380%, 10/14/2014 (c)

     800,000   
  700,000      

Svenska Handelsbanken (NY),

0.170%, 10/16/2014 (c)

     700,009   
  700,000      

China Construction Bank Corp. (NY),

0.350%, 10/22/2014 (c)

     700,002   
  300,000      

National Australia Bank,

0.224%, 10/23/2014 (c)(d)

     300,008   
  800,000      

Credit Agricole,

0.110%, 11/03/2014 (c)

     800,000   
  700,000      

Westpac Banking Corp. (NY),

0.290%, 11/06/2014 (c)

     700,115   
  650,000      

Sumitomo Mitsui Bank (NY),

0.210%, 11/10/2014 (c)

     650,022   
  600,000      

Mizuho Corporate Bank,

0.190%, 11/12/2014 (c)

     600,007   
  400,000      

Bank of Nova Scotia (TX),

0.250%, 11/12/2014 (c)

     400,081   
  800,000      

National Bank of Kuwait,

0.280%, 11/13/2014 (c)

     800,088   
  250,000      

Mizuho Corporate Bank,

0.190%, 11/25/2014 (c)

     250,004   
  800,000      

Standard Chartered Bank (NY),

0.190%, 12/02/2014 (c)

     800,014   
  700,000      

Skandinaviska Enskilda Banken (NY),

0.240%, 12/10/2014 (c)

     700,083   
  800,000      

DNB Bank ASA,

0.180%, 1/05/2015 (c)

     799,957   
  200,000      

Sumitomo Mitsui Bank (NY),

0.230%, 1/05/2015 (c)

     199,995   
  800,000      

Norinchukin Bank,

0.260%, 1/08/2015 (c)

     800,044   
  300,000      

Toronto Dominion Bank,

0.210%, 1/16/2015 (c)

     300,063   
  800,000      

Banco Del Estado de Chile,

0.240%, 1/23/2015 (c)

     800,051   
  100,000      

Societe Generale S.A.,

0.284%, 2/02/2015 (c)(d)(e)

     99,994   
  800,000      

Deutsche Zentral-Genossenschaftsbank,

0.310%, 2/25/2015 (c)

     800,033   
  300,000      

Rabobank Nederland,

0.220%, 4/01/2015 (c)

     299,954   
  500,000      

Rabobank Nederland,

0.284%, 6/15/2015 (c)(d)

     499,927   
  700,000      

Dexia Credit Local,

0.281%, 7/01/2015 (c)(d)

     700,000   
     

 

 

 
        16,250,476   
     

 

 

 


Principal

Amount

    

Description

   Value (†)  
  

Financial Company Commercial Paper – 4.2%

  
  $700,000      

ING (U.S.) Funding LLC,

0.200%, 10/03/2014 (f)

   $ 699,994   
  150,000      

ING (U.S.) Funding LLC,

0.180%, 11/04/2014 (c)(f)

     149,975   
  500,000      

Swedbank,

0.100%, 11/24/2014 (c)(f)

     499,896   
  700,000      

General Electric Capital Corp.,

0.180%, 12/11/2014 (c)(f)

     699,880   
     

 

 

 
        2,049,745   
     

 

 

 
  

Total Short-Term Investments

(Identified Cost $18,299,705)

     18,300,221   
     

 

 

 
  

Total Investments – 96.2%

(Identified Cost $45,168,028)(a)

     47,746,653   
  

Other assets less liabilities – 3.8%

     1,911,771   
     

 

 

 
  

Net Assets – 100.0%

   $ 49,658,424   
     

 

 

 

 

(†) Fund securities and other investments are valued at market value based on market quotations obtained or determined by independent pricing services recommended by the adviser and subadvisers and approved by the Board of Trustees. Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees, as described below. Market value is determined as follows:

Equity securities (including closed-end investment companies and exchange-traded funds) are valued at the last sale price quoted on the exchange or market where traded most extensively or, if there is no reported sale during the day, the closing bid quotation as reported by an independent pricing service. Securities traded on the NASDAQ Global Select Market, NASDAQ Global Market and NASDAQ Capital Market are valued at the NASDAQ Official Closing Price (“NOCP”), or if lacking an NOCP, at the most recent bid quotations on the applicable NASDAQ Market.

Debt securities (other than short-term obligations purchased with an original or remaining maturity of sixty days or less) and unlisted equity securities are valued based on evaluated bids furnished to the Fund by an independent pricing service using market information, transactions for comparable securities and various relationships between securities, if available, or bid prices obtained from broker-dealers.

Broker-dealer bid prices may be used to value debt and equity securities where an independent pricing service is unable to price a security or where an independent pricing service does not provide a reliable price for the security.

Futures contracts are valued at the current settlement price on the exchange on which the adviser or subadviser believes that, over time, they are traded most extensively.

Short-term obligations (purchased with an original or remaining maturity of sixty days or less) are valued at amortized cost (which approximates market value).

Fund securities and other investments for which market quotations are not readily available are valued at fair value as determined in good faith by the adviser or subadviser pursuant to procedures approved by the Board of Trustees. The Fund may also value securities and other investments at fair value in other circumstances such as when extraordinary events occur after the close of a foreign market but prior to the close of the New York Stock Exchange (“NYSE”). This may include situations relating to a single issuer (such as a declaration of bankruptcy or a delisting of the issuer’s security from the primary market on which it has traded) as well as events affecting the securities markets in general (such as market disruptions or closings and significant fluctuations in U.S. and/or foreign markets). When fair valuing its securities or other investments, the Fund may, among other things, use modeling tools or other processes that may take into account factors such as securities or other market activity and/or significant events that occur after the close of the foreign market and before the time the Fund’s net asset value (“NAV”) is calculated. Fair value pricing may require subjective determinations about the value of a security, and fair values used to determine the Fund’s NAV may differ from quoted or published prices, or from prices that are used by others, for the same securities. In addition, the use of fair value pricing may not always result in adjustments to the prices of securities held by the Fund.

The books and records of the Fund are maintained in U.S. dollars. The values of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the period.


(a) Federal Tax Information (Amounts exclude certain adjustments that will be made at the end of the Fund’s fiscal year for tax purposes. Such adjustments are primarily due to wash sales.):

At September 30, 2014, the net unrealized appreciation on investments based on a cost of $45,168,028 for federal income tax purposes was as follows:

 

Aggregate gross unrealized appreciation for all investments in which there is an excess of value over tax cost

   $ 2,705,346   

Aggregate gross unrealized depreciation for all investments in which there is an excess of tax cost over value

     (126,721
  

 

 

 

Net unrealized appreciation

   $ 2,578,625   
  

 

 

 

 

(b) Non-income producing security.
(c) All of this security has been designated to cover the Fund’s obligations under open futures contracts.
(d) Variable rate security. Rate as of September 30, 2014 is disclosed.
(e) Security payable on demand at par including accrued interest.
(f) Interest rate represents discount rate at time of purchase; not a coupon rate.

 

ETF

REITs

SPDR

  

Exchange Traded Fund

Real Estate Investment Trusts

Standard & Poor’s Depositary Receipt

Futures Contracts

The Fund may enter into futures contracts. Futures contracts are agreements between two parties to buy and sell a particular commodity, instrument or index for a specified price on a specified future date.

When the Fund enters into a futures contract, it is required to deposit with (or for the benefit of) its broker an amount of cash or short-term high-quality securities as “initial margin.” As the value of the contract changes, the value of the futures contract position increases or declines. Subsequent payments, known as “variation margin,” are made or received by the Fund, depending on the price fluctuations in the fair value of the contract and the value of cash or securities on deposit with the broker. Realized gain or loss on a futures position is equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed, minus brokerage commissions. When the Fund enters into a futures contract certain risks may arise, such as illiquidity in the futures market, which may limit the Fund’s ability to close out a futures contract prior to settlement date, and unanticipated movements in the value of securities or interest rates.

Futures contracts are exchange-traded. Exchange-traded futures contracts are standardized contracts and are settled through a clearing house with fulfillment supported by the credit of the exchange. Therefore, counterparty credit risks to the Fund are reduced; however, in the event that a counterparty enters into bankruptcy, the Fund’s claim against initial/variation margin on deposit with the counterparty may be subject to terms of a final settlement in bankruptcy court.

At September 30, 2014, open long futures contracts were as follows:

 

Financial Futures

   Expiration
Date
     Contracts      Notional
Value
     Unrealized
Appreciation
(Depreciation)
 

E-mini S&P 500®

     12/19/2014         359       $ 35,280,725       $ (395,035
           

 

 

 

Fair Value Measurements

In accordance with accounting standards related to fair value measurements and disclosures, the Fund has categorized the inputs utilized in determining the value of the Fund’s assets or liabilities. These inputs are summarized in the three broad levels listed below:

 

    Level 1—quoted prices in active markets for identical assets or liabilities;

 

    Level 2—prices determined using other significant inputs that are observable either directly, or indirectly through corroboration with observable market data (which could include quoted prices for similar assets or liabilities, interest rates, credit risk, etc.); and

 

    Level 3—prices determined using significant unobservable inputs when quoted prices or observable inputs are unavailable such as when there is little or no market activity for an asset or liability (unobservable inputs reflect the Fund’s own assumptions in determining the fair value of assets or liabilities and would be based on the best information available).

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used to value the Fund’s investments as of September 30, 2014, at value:


Asset Valuation Inputs

 

Description

   Level 1      Level 2      Level 3      Total  

Common Stocks*

   $ 24,379,078       $ —         $ —         $ 24,379,078   

Exchange Traded Funds

     5,067,354         —           —           5,067,354   

Short-Term Investments*

     —           18,300,221         —           18,300,221   
  

 

 

    

 

 

    

 

 

    

 

 

 

Total

   $ 29,446,432       $ 18,300,221       $ —         $ 47,746,653   
  

 

 

    

 

 

    

 

 

    

 

 

 

Liability Valuation Inputs

 

Description

   Level 1     Level 2      Level 3      Total  

Futures Contracts (unrealized depreciation)

   $ (395,035   $ —         $ —         $ (395,035
  

 

 

   

 

 

    

 

 

    

 

 

 

 

* Details of the major categories of the Fund’s investments are reflected within the Portfolio of Investments.

For the period ended September 30, 2014 there were no transfers among Levels 1, 2, and 3.

Derivatives

Derivative instruments are defined as financial instruments whose value and performance are based on the value and performance of another security or financial instrument. Derivative instruments that the Fund used during the period include futures contracts.

The Fund is subject to the risk of unpredictable declines in the value of individual equity securities and periods of below-average performance in individual securities or in the equity market as a whole. The Fund may use futures contracts to hedge against a decline in value of an equity security that it owns. The Fund may also use futures contracts to increase its exposure to the U.S. equity market or to manage volatility. During the period ended September 30, 2014, the Fund used long contracts on U.S. equity market indices to gain investment exposure in accordance with its objectives.

The following is a summary of derivative instruments for the Fund, as of September 30, 2014:

 

Liabilities

   Unrealized
depreciation on
futures
contracts
 

Exchange traded liability derivatives

  

Equity contracts

   $ (395,035
  

 

 

 

The Fund’s derivatives do not qualify for hedge accounting under authoritative guidance for derivative instruments. The Fund’s investments in derivatives may represent an economic hedge; however, they are considered to be non-hedge transactions for the purpose of this disclosure.

Counterparty risk is managed based on policies and procedures established by the Fund’s adviser. Such policies and procedures may include, but are not limited to, minimum counterparty credit rating requirements, monitoring of counterparty credit default swap spreads and posting of collateral. With exchange traded derivatives, there is minimal counterparty credit risk to the Fund because the exchange’s clearinghouse, as counterparty to these instruments, stands between the buyer and the seller of the contract. Credit risk still exists in exchange traded derivatives with respect to initial and variation margin that is held in a broker’s customer accounts. While brokers are required to segregate customer margin from their own assets, in the event that a broker becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker for all its clients, U.S. bankruptcy laws will typically allocate that shortfall on a pro rata basis across all of the broker’s customers, potentially resulting in losses to the Fund. The following table shows the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the Fund would incur if parties to the relevant financial instruments failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the Fund:

 

     Maximum Amount of
Loss - Gross
 

Exchange traded counterparty credit risk

  

Margin with brokers

   $ 2,024,895   


Industry Summary at September 30, 2014 (Unaudited)

 

Exchange Traded Funds

     10.2

Oil, Gas & Consumable Fuels

     3.9   

Pharmaceuticals

     3.6   

Banks

     3.5   

Technology Hardware, Storage & Peripherals

     2.5   

Biotechnology

     2.1   

Media

     2.0   

Other Investments, less than 2% each

     31.5   

Short-Term Investments

     36.9   
  

 

 

 

Total Investments

     96.2   

Other assets less liabilities (including futures contracts)

     3.8   
  

 

 

 

Net Assets

     100.0
  

 

 

 


PORTFOLIO OF INVESTMENTS – as of September 30, 2014 (Unaudited)

Loomis Sayles Strategic Alpha Fund

 

Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – 59.3% of Net Assets

  

 

Non-Convertible Bonds – 55.4%

  
   ABS Car Loan – 1.7%   
  $4,050,000      

Ally Master Owner Trust, Series 2014-2, Class A,

0.524%, 1/16/2018(b)(c)

   $ 4,052,118   
  2,259,000      

AmeriCredit Automobile Receivables Trust, Series 2013-4, Class D,

3.310%, 10/08/2019(c)

     2,306,592   
  1,524,213      

Ford Credit Auto Owner Trust, Series 2013-C, Class A2,

0.550%, 4/15/2016(c)

     1,524,762   
  5,575,000      

Honda Auto Receivables Owner Trust, Series 2013-4, Class A3,

0.690%, 9/18/2017(c)

     5,578,077   
  1,889,983      

Nissan Auto Receivables Owner Trust, Series 2013-B, Class A2,

0.520%, 4/15/2016(c)

     1,890,934   
  4,625,000      

Nissan Auto Receivables Owner Trust, Series 2013-C, Class A3,

0.670%, 8/15/2018(c)

     4,614,057   
  1,565,000      

USAA Auto Owner Trust, Series 2012-1, Class A4,

0.570%, 8/15/2017(c)

     1,565,606   
     

 

 

 
        21,532,146   
     

 

 

 
   ABS Credit Card – 3.4%   
  1,015,000      

American Express Credit Account Master Trust, Series 2014-3, Class A,

1.490%, 4/15/2020

     1,013,687   
  3,145,000      

American Express Credit Account Master Trust, Series 2013-1, Class A,

0.574%, 2/16/2021(b)(c)

     3,154,514   
  1,860,000      

American Express Credit Account Master Trust, Series 2013-3, Class A,

0.980%, 5/15/2019(c)

     1,858,268   
  2,050,000      

BA Credit Card Trust, Series 2014-A1, Class A,

0.534%, 6/15/2021(b)(c)

     2,048,237   
  3,075,000      

Capital One Multi-Asset Execution Trust, Series 2013-A3, Class A3,

0.960%, 9/16/2019(c)

     3,066,049   
  6,600,000      

Chase Issuance Trust, Series 2013-A8, Class A8,

1.010%, 10/15/2018(c)

     6,592,126   
  6,700,000      

Citibank Credit Card Issuance Trust, Series 2013-A10, Class A10,

0.730%, 2/07/2018(c)

     6,703,109   
  3,165,000      

Citibank Credit Card Issuance Trust, Series 2013-A6, Class A6,

1.320%, 9/07/2018(c)

     3,186,190   
  5,825,000      

Citibank Credit Card Issuance Trust, Series 2013-A7, Class A7,

0.584%, 9/10/2020(b)(c)

     5,847,508   
  2,925,000      

Citibank Credit Card Issuance Trust, Series 2014-A3, Class A3,

0.353%, 5/09/2018(b)(c)

     2,925,000   
  3,000,000      

Citibank Credit Card Issuance Trust, Series 2014-A4, Class A4,

1.230%, 4/24/2019(c)

     2,993,319   
  3,045,000      

Citibank Credit Card Issuance Trust, Series 2014-A8, Class A8,

1.730%, 4/09/2020

     3,042,019   
  1,990,000      

World Financial Network Credit Card Master Trust, Series 2014-A, Class A,

0.534%, 12/15/2019(b)(c)

     1,991,387   
     

 

 

 
        44,421,413   
     

 

 

 
  

ABS Home Equity – 12.8%

  

  1,080,510      

Adjustable Rate Mortgage Trust, Series 2004-4, Class 3A1,

2.702%, 3/25/2035(b)(c)

     1,032,853   
  1,237,387      

Adjustable Rate Mortgage Trust, Series 2004-5, Class 5A1,

2.590%, 4/25/2035(b)(c)

     1,215,485   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
   ABS Home Equity – continued   
  $2,232,748      

Adjustable Rate Mortgage Trust, Series 2004-5, Class 6A1,

2.632%, 4/25/2035(b)(c)

   $ 2,226,249   
  1,110,921      

Alternative Loan Trust, Series 2003-20CB, Class 2A1,

5.750%, 10/25/2033(c)

     1,166,548   
  900,266      

Alternative Loan Trust, Series 2003-9T1, Class A7,

5.500%, 7/25/2033(c)

     918,056   
  679,240      

Alternative Loan Trust, Series 2004-28CB, Class 5A1,

5.750%, 1/25/2035

     694,618   
  2,318,260      

Alternative Loan Trust, Series 2005-J1, Class 2A1,

5.500%, 2/25/2025(c)

     2,363,514   
  400,000      

American Homes 4 Rent,

6.231%, 10/17/2036, 144A

     400,508   
  300,000      

American Homes 4 Rent, Series 2014-SFR2, Class D,

5.149%, 10/17/2036, 144A

     300,178   
  1,544,464      

Banc of America Alternative Loan Trust, Series 2003-10, Class 1A1,

5.500%, 12/25/2033(c)

     1,589,152   
  2,300,294      

Banc of America Alternative Loan Trust, Series 2003-10, Class 3A1,

5.500%, 12/25/2033(c)

     2,360,037   
  1,387,601      

Banc of America Alternative Loan Trust, Series 2003-8, Class 1CB1,

5.500%, 10/25/2033(c)

     1,429,713   
  1,883,430      

Banc of America Alternative Loan Trust, Series 2005-6, Class CB7,

5.250%, 7/25/2035(c)

     1,696,353   
  808,744      

Banc of America Funding Corp., Series 2008-R4, Class 1A4,

0.605%, 7/25/2037, 144A(b)

     620,995   
  2,312,891      

Banc of America Funding Trust, Series 2004-B, Class 4A2,

2.523%, 11/20/2034(b)(c)

     2,184,933   
  909,480      

Banc of America Funding Trust, Series 2005-5, Class A1,

5.500%, 9/25/2035(c)

     949,851   
  1,784,164      

Banc of America Funding Trust, Series 2005-7, Class 3A1,

5.750%, 11/25/2035(c)

     1,830,303   
  3,108,059      

Bayview Opportunity Master Fund Trust, Series 2014-18NP, Class A,

3.228%, 7/28/2034, 144A(b)(c)

     3,117,079   
  1,787,030      

Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-12, Class 11A1,

2.973%, 2/25/2036(b)

     1,408,938   
  810,604      

Bear Stearns Adjustable Rate Mortgage Trust, Series 2004-6, Class 2A1,

2.656%, 9/25/2034(b)

     759,736   
  1,798,252      

Chase Mortgage Finance Trust, Series 2007-A1, Class 3A1,

2.567%, 2/25/2037(b)(c)

     1,783,116   
  1,827,972      

Citicorp Mortgage Securities Trust, Series 2006-4, Class 1A2,

6.000%, 8/25/2036(c)

     1,869,969   
  1,027,560      

Citigroup Mortgage Loan Trust, Inc., Series 2005-2, Class 1A4,

2.612%, 5/25/2035(b)(c)

     1,016,817   
  594,287      

CitiMortgage Alternative Loan Trust, Series 2006-A3, Class 1A7,

6.000%, 7/25/2036

     532,850   
  2,889,729      

CitiMortgage Alternative Loan Trust, Series 2006-A4, Class 1A1,

6.000%, 9/25/2036(c)

     2,535,289   
  2,078,105      

CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A11,

6.000%, 6/25/2037(c)

     1,745,959   
  1,129,823      

CitiMortgage Alternative Loan Trust, Series 2007-A6, Class 1A3,

6.000%, 6/25/2037

     949,242   
  1,855,000      

Colony American Homes, Series 2014-1A, Class C,

2.100%, 5/17/2031, 144A(c)

     1,826,858   
  2,510,849      

Countrywide Alternative Loan Trust, Series 2003-4CB, Class 1A1,

5.750%, 4/25/2033(d)

     2,559,685   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
   ABS Home Equity – continued   
  $1,235,188      

Countrywide Alternative Loan Trust, Series 2004-14T2, Class A11,

5.500%, 8/25/2034(c)

   $ 1,306,661   
  4,274,063      

Countrywide Alternative Loan Trust, Series 2004-27CB, Class A1,

6.000%, 12/25/2034(d)

     4,279,858   
  1,133,148      

Countrywide Alternative Loan Trust, Series 2004-J3, Class 1A1,

5.500%, 4/25/2034(c)

     1,198,633   
  131,582      

Countrywide Alternative Loan Trust, Series 2004-J7, Class 1A5,

5.527%, 8/25/2034(e)

     133,018   
  1,201,598      

Countrywide Alternative Loan Trust, Series 2005-14, Class 2A1,

0.365%, 5/25/2035(b)(c)

     1,029,618   
  975,855      

Countrywide Alternative Loan Trust, Series 2006-4CB, Class 2A2,

5.500%, 4/25/2036

     903,314   
  748,873      

Countrywide Alternative Loan Trust, Series 2006-J4, Class 1A3,

6.250%, 7/25/2036

     512,875   
  852,967      

Countrywide Alternative Loan Trust, Series 2007-4, Class 1A7,

5.750%, 4/25/2037

     778,986   
  1,409,546      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2003-57, Class A11,

5.500%, 1/25/2034(c)

     1,470,944   
  1,458,135      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-12, Class 8A1,

2.581%, 8/25/2034(b)(c)

     1,373,500   
  225,654      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2004-HYB4, Class 2A1,

2.395%, 9/20/2034(b)

     223,277   
  507,597      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-11, Class 4A1,

0.425%, 4/25/2035(b)

     441,106   
  1,695,398      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-21, Class A17,

5.500%, 10/25/2035(c)

     1,587,657   
  1,956,919      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-10, Class 1A16,

6.000%, 5/25/2036(c)

     1,832,792   
  2,720,346      

Countrywide Home Loan Mortgage Pass Through Trust, Series 2006-20, Class 1A35,

6.000%, 2/25/2037(c)

     2,549,976   
  948,097      

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR26, Class 7A1,

2.565%, 11/25/2033(b)

     917,118   
  826,795      

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR28, Class 4A1,

2.606%, 12/25/2033(b)

     804,190   
  2,529,978      

Credit Suisse First Boston Mortgage Securities Corp., Series 2004-AR3, Class 3A1,

2.579%, 5/25/2034(b)(c)

     2,505,647   
  282,245      

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-1, Class 3A4,

5.250%, 5/25/2028

     285,621   
  1,267,783      

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-10, Class 5A4,

5.500%, 11/25/2035(c)

     1,127,921   
  622,553      

Credit Suisse Mortgage Capital Certificates, Series 2006-8, Class 4A1,

6.500%, 10/25/2021

     545,717   
  1,372,071      

Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-3, Class 4A4,

5.250%, 6/25/2035(c)

     1,392,998   
  1,208,967      

Deutsche Alternative Mortgage Loan Trust Securities, Inc., Series 2005-5, Class 1A4,

5.500%, 11/25/2035(c)

     1,142,889   
  1,492,159      

FDIC Trust, Series 2013-N1, Class A,

4.500%, 10/25/2018, 144A(c)

     1,505,292   
  213,985      

GMAC Mortgage Corp. Loan Trust, Series 2003-J7, Class A7,

5.000%, 11/25/2033

     220,859   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  

   ABS Home Equity – continued   
  $2,139,324      

GMAC Mortgage Corp. Loan Trust, Series 2005-AR3, Class 2A1,

2.738%, 6/19/2035(b)(c)

   $ 2,142,511   
  882,582      

GMAC Mortgage Corp. Loan Trust, Series 2005-AR4, Class 3A1,

2.959%, 7/19/2035(b)

     827,945   
  294,154      

GSR Mortgage Loan Trust, Series 2004-14, Class 3A1,

2.814%, 12/25/2034(b)

     283,604   
  1,773,070      

GSR Mortgage Loan Trust, Series 2004-14, Class 5A1,

2.731%, 12/25/2034(b)(c)

     1,770,029   
  812,338      

GSR Mortgage Loan Trust, Series 2005-AR4, Class 4A1,

2.470%, 7/25/2035(b)

     760,591   
  2,811,480      

GSR Mortgage Loan Trust, Series 2005-AR6, Class 4A5,

2.682%, 9/25/2035(b)(c)

     2,839,572   
  1,630,752      

GSR Mortgage Loan Trust, Series 2006-8F, Class 4A17,

6.000%, 9/25/2036(c)

     1,340,659   
  2,466,242      

Impac Secured Assets CMN Owner Trust, Series 2007-2, Class 1A1A,

0.265%, 5/25/2037(b)(c)

     1,661,811   
  1,200,973      

IndyMac Index Mortgage Loan Trust, Series 2004-AR12, Class A1,

0.935%, 12/25/2034(b)(c)

     995,407   
  2,581,641      

IndyMac Index Mortgage Loan Trust, Series 2005-16IP, Class A1,

0.795%, 7/25/2045(b)(c)

     2,429,121   
  3,035,000      

Invitation Homes Trust, Series 2014-SFR1, Class B,

1.654%, 6/17/2031, 144A(b)(c)

     2,988,871   
  3,053,488      

JPMorgan Alternative Loan Trust, Series 2006-A1, Class 3A1,

2.487%, 3/25/2036(b)(c)

     2,671,316   
  1,279,573      

JPMorgan Mortgage Trust, Series 2003-A2, Class 3A1,

1.990%, 11/25/2033(b)

     1,281,199   
  2,785,250      

JPMorgan Mortgage Trust, Series 2005-A2, Class 3A2,

2.367%, 4/25/2035(b)(c)

     2,722,741   
  1,134,962      

JPMorgan Mortgage Trust, Series 2005-A5, Class 1A2,

2.656%, 8/25/2035(b)(c)

     1,138,417   
  2,841,603      

JPMorgan Mortgage Trust, Series 2005-S3, Class 1A9,

6.000%, 1/25/2036(c)

     2,575,831   
  1,921,885      

JPMorgan Mortgage Trust, Series 2006-A1, Class 1A2,

2.444%, 2/25/2036(b)(c)

     1,678,423   
  3,504,317      

JPMorgan Mortgage Trust, Series 2006-A7, Class 2A4,

2.612%, 1/25/2037(b)(c)

     3,128,230   
  2,903,833      

JPMorgan Mortgage Trust, Series 2007-S1, Class 2A22,

5.750%, 3/25/2037(c)

     2,525,261   
  2,605,565      

Lehman XS Trust, Series 2006-4N, Class A2A,

0.375%, 4/25/2046(b)(c)

     1,886,517   
  448,504      

MASTR Adjustable Rate Mortgages Trust, Series 2004-4, Class 5A1,

2.542%, 5/25/2034(b)(e)

     430,562   
  3,068,920      

MASTR Adjustable Rate Mortgages Trust, Series 2004-7, Class 3A1,

2.484%, 7/25/2034(b)(c)

     3,095,033   
  691,935      

MASTR Adjustable Rate Mortgages Trust, Series 2006-2, Class 1A1,

2.599%, 4/25/2036(b)

     667,646   
  619,365      

MASTR Adjustable Rate Mortgages Trust, Series 2007-1, Class I2A1,

0.315%, 1/25/2047(b)

     471,682   
  943,662      

MASTR Alternative Loan Trust, Series 2003-9, Class 4A1,

5.250%, 11/25/2033(c)

     978,244   
  370,279      

MASTR Alternative Loan Trust, Series 2004-12, Class 6A2,

5.250%, 12/25/2034(e)

     364,420   
  1,072,971      

MASTR Alternative Loan Trust, Series 2004-5, Class 1A1,

5.500%, 6/25/2034(c)

     1,121,842   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  

   ABS Home Equity – continued   
  $1,145,166      

MASTR Alternative Loan Trust, Series 2004-5, Class 2A1,

6.000%, 6/25/2034(c)

   $ 1,207,913   
  2,621,033      

MASTR Alternative Loan Trust, Series 2004-8, Class 2A1,

6.000%, 9/25/2034(c)

     2,684,352   
  2,025,299      

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A7,

6.000%, 3/25/2037(c)

     1,529,806   
  1,868,772      

Merrill Lynch Alternative Note Asset Trust, Series 2007-F1, Class 2A8,

6.000%, 3/25/2037(c)

     1,411,574   
  388,730      

MLCC Mortgage Investors, Inc., Series 2006-2, Class 2A,

2.112%, 5/25/2036(b)

     388,928   
  1,211,637      

Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 4A2,

5.500%, 11/25/2035(c)

     1,146,195   
  2,574,922      

Morgan Stanley Mortgage Loan Trust, Series 2005-7, Class 7A5,

5.500%, 11/25/2035(c)

     2,617,835   
  815,113      

Provident Funding Mortgage Loan Trust, Series 2005-2, Class 2A1A,

2.414%, 10/25/2035(b)

     802,595   
  2,518,739      

Residential Asset Securitization Trust, Series 2005-A8CB, Class A9,

5.375%, 7/25/2035(c)

     2,078,848   
  1,005,298      

Residential Funding Mortgage Securities, Series 2006-S1, Class 1A3,

5.750%, 1/25/2036(c)

     1,033,991   
  1,182,515      

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-12, Class 6A,

2.630%, 9/25/2034(b)(c)

     1,177,543   
  6,852,104      

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-16, Class 2A,

2.433%, 11/25/2034(b)(d)

     6,814,815   
  1,969,152      

Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 1A,

2.360%, 6/25/2034(b)

     1,958,044   
  713,310      

Structured Adjustable Rate Mortgage Loan Trust, Series 2005-14, Class A1,

0.465%, 7/25/2035(b)

     537,527   
  1,586,890      

Structured Asset Securities Corp. Mortgage Pass Through Certificates, Series 2004-20, Class 8A7,

5.750%, 11/25/2034(c)

     1,669,967   
  1,459,409      

Vericrest Opportunity Loan Transferee, Series 2013-NPL4, Class A1,

3.960%, 11/25/2053, 144A(c)

     1,466,004   
  2,108,582      

WaMu Mortgage Pass Through Certificates, Series 2004-AR14, Class A1,

2.396%, 1/25/2035(b)(c)

     2,125,826   
  769,432      

WaMu Mortgage Pass Through Certificates, Series 2004-CB2, Class 2A,

5.500%, 7/25/2034

     811,262   
  6,150,000      

WaMu Mortgage Pass Through Certificates, Series 2005-AR7, Class A3,

2.364%, 8/25/2035(b)

     6,015,297   
  1,364,766      

WaMu Mortgage Pass Through Certificates, Series 2006-AR11, Class 2A,

2.176%, 9/25/2046(b)(c)

     1,276,471   
  2,984,859      

WaMu Mortgage Pass Through Certificates, Series 2006-AR19, Class 2A,

1.926%, 1/25/2047(b)(c)

     2,864,390   
  379,355      

Wells Fargo Mortgage Backed Securities Trust, Series 2003-J, Class 1A9,

2.612%, 10/25/2033(b)

     381,785   
  1,341,995      

Wells Fargo Mortgage Backed Securities Trust, Series 2004-A, Class A1,

2.637%, 2/25/2034(b)(c)

     1,357,248   
  542,977      

Wells Fargo Mortgage Backed Securities Trust, Series 2005-11, Class 2A3,

5.500%, 11/25/2035

     567,057   
  683,566      

Wells Fargo Mortgage Backed Securities Trust, Series 2005-12, Class 1A2,

5.500%, 11/25/2035

     704,202   
  2,625,000      

Wells Fargo Mortgage Backed Securities Trust, Series 2005-16, Class A18,

6.000%, 1/25/2036(c)

     2,597,157   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
   ABS Home Equity – continued   
  $ 993,364      

Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Class 2A4,

2.614%, 6/25/2035(b)(c)

   $ 1,003,614   
     

 

 

 
        166,163,082   
     

 

 

 
   ABS Other – 1.8%   
  1,253,530      

Diamond Resorts Owner Trust, Series 2011-1, Class A,

4.000%, 3/20/2023, 144A(c)

     1,278,452   
  1,495,000      

OneMain Financial Issuance Trust, Series 2014-1A, Class A,

2.430%, 6/18/2024, 144A(c)

     1,494,970   
  1,995,000      

OneMain Financial Issuance Trust, Series 2014-2A, Class A,

2.470%, 9/18/2024, 144A(c)

     1,995,624   
  745,000      

OneMain Financial Issuance Trust, Series 2014-2A, Class B,

3.020%, 9/18/2024, 144A

     744,999   
  6,475,000      

OneMain Financial Issuance Trust, Series 2014-2A, Class D,

5.310%, 9/18/2024, 144A(c)

     6,473,576   
  409,211      

Sierra Timeshare Receivables Funding LLC, Series 2012-1A, Class A,

2.840%, 11/20/2028, 144A

     416,716   
  1,651,194      

Sierra Timeshare Receivables Funding LLC, Series 2013-1A, Class A,

1.590%, 11/20/2029, 144A(c)

     1,652,325   
  3,482,802      

Sierra Timeshare Receivables Funding LLC, Series 2013-3A, Class A,

2.200%, 10/20/2030, 144A(c)

     3,476,059   
  1,895,000      

Springleaf Funding Trust, Series 2014-AA, Class A,

2.410%, 12/15/2022, 144A(c)

     1,891,354   
  3,400,833      

TAL Advantage V LLC, Series 2013-2A, Class A,

3.550%, 11/20/2038, 144A(c)

     3,436,409   
     

 

 

 
        22,860,484   
     

 

 

 
   Aerospace & Defense – 0.9%   
  6,003,000      

Meccanica Holdings USA, Inc.,

6.250%, 1/15/2040, 144A(c)

     5,672,835   
  825,000      

Rockwell Collins, Inc.,

0.584%, 12/15/2016(b)

     824,468   
  5,905,000      

Textron Financial Corp., (fixed rate to 2/15/2017, variable rate thereafter),

6.000%, 2/15/2067, 144A(c)

     5,373,550   
     

 

 

 
        11,870,853   
     

 

 

 
   Automotive – 3.2%   
  6,590,000      

Daimler Finance North America LLC,

0.920%, 8/01/2016, 144A(b)(c)

     6,651,353   
  5,250,000      

Ford Motor Credit Co. LLC,

1.483%, 5/09/2016(b)(c)

     5,322,056   
  2,471,000      

General Motors Financial Co., Inc.,

4.375%, 9/25/2021

     2,526,598   
  5,960,000      

Nissan Motor Acceptance Corp.,

0.784%, 3/03/2017, 144A(b)(c)

     5,979,978   
  6,640,000      

Nissan Motor Acceptance Corp.,

0.935%, 9/26/2016, 144A(b)(c)

     6,693,525   
  10,650,000      

Toyota Motor Credit Corp.,

0.521%, 5/17/2016(b)(c)

     10,688,265   
  3,210,000      

Volkswagen International Finance NV,

0.671%, 11/18/2016, 144A(b)(c)

     3,224,946   
     

 

 

 
        41,086,721   
     

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
   Banking – 4.2%   
  $3,310,000      

Bank of America Corp.,

1.274%, 1/15/2019(b)(c)

   $ 3,357,204   
  6,825,000      

Bank of America Corp., MTN,

4.200%, 8/26/2024

     6,765,984   
  12,955,000      

Intesa Sanpaolo SpA,

5.017%, 6/26/2024, 144A(d)

     12,622,523   
  9,280,000      

JPMorgan Chase & Co.,

4.250%, 11/02/2018, (NZD)(c)

     7,091,407   
  7,200,000      

Morgan Stanley,

4.350%, 9/08/2026

     7,076,282   
  11,135,000      

Royal Bank of Scotland Group PLC,

6.125%, 12/15/2022(c)

     11,785,707   
  6,150,000      

Societe Generale S.A.,

5.000%, 1/17/2024, 144A(c)

     6,191,445   
     

 

 

 
        54,890,552   
     

 

 

 
   Brokerage – 0.2%   
  3,085,000      

Jefferies Finance LLC/JFIN Co-Issuer Corp.,

6.875%, 4/15/2022, 144A

     3,038,725   
     

 

 

 
  

Building Materials – 0.5%

  

  3,660,000      

Atrium Windows & Doors, Inc.,

7.750%, 5/01/2019, 144A(c)

     3,550,200   
  1,745,000      

CPG Merger Sub LLC,

8.000%, 10/01/2021, 144A(c)

     1,771,175   
  3,900,000      

Odebrecht Finance Ltd.,

8.250%, 4/25/2018, 144A, (BRL)(c)

     1,437,953   
     

 

 

 
        6,759,328   
     

 

 

 
   Cable Satellite – 0.2%   
  765,000      

Virgin Media Finance PLC,

6.000%, 10/15/2024, 144A

     765,956   
  800,000      

Virgin Media Finance PLC,

6.375%, 10/15/2024, 144A, (GBP)

     1,291,434   
  720,000      

Wave Holdco LLC/Wave Holdco Corp.,

8.250% (9.000% PIK), 7/15/2019, 144A(f)

     738,000   
     

 

 

 
        2,795,390   
     

 

 

 
   Chemicals – 0.7%   
  3,170,000      

Hercules, Inc.,

6.500%, 6/30/2029(c)

     2,821,300   
  2,950,000      

Mexichem SAB de CV,

5.875%, 9/17/2044, 144A

     2,868,875   
  2,905,000      

Perstorp Holding AB,

11.000%, 8/15/2017, 144A(c)

     2,992,150   
     

 

 

 
        8,682,325   
     

 

 

 
   Collateralized Mortgage Obligations – 0.6%   
  28,611,080      

Government National Mortgage Association, Series 2010-83, Class IO,

0.489%, 7/16/2050(b)(g)

     793,814   
  73,490,447      

Government National Mortgage Association, Series 2012-135, Class IO,

1.046%, 1/16/2053(b)(c)(g)

     5,571,090   
  12,661,738      

Government National Mortgage Association, Series 2012-78, Class IO,

1.046%, 6/16/2052(b)(g)

     881,713   
     

 

 

 
        7,246,617   
     

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
   Construction Machinery – 1.4%   
  $17,660,000      

Caterpillar Financial Services Corp., MTN,

0.475%, 2/26/2016(b)(c)

   $ 17,708,247   
     

 

 

 
  

Consumer Cyclical Services – 0.5%

  

  5,915,000      

ServiceMaster Co. (The),

7.000%, 8/15/2020(c)

     6,151,600   
     

 

 

 
  

Electric – 1.2%

  

  4,205,000      

Cia de Eletricidade do Estado da Bahia,

11.750%, 4/27/2016, 144A, (BRL)(c)

     1,683,546   
  11,740,000      

Enel SpA, (fixed rate to 9/24/2023, variable rate thereafter),

8.750%, 9/24/2073, 144A(c)

     13,604,312   
     

 

 

 
        15,287,858   
     

 

 

 
   Finance Companies – 3.0%   
  8,365,000      

Air Lease Corp.,

4.250%, 9/15/2024

     8,229,069   
  4,700,000      

General Electric Capital Corp., Series A, (fixed rate to 6/15/2022, variable rate thereafter),

7.125%(c)(h)

     5,440,250   
  12,535,000      

iStar Financial, Inc.,

4.000%, 11/01/2017(c)

     12,158,950   
  1,504,000      

iStar Financial, Inc.,

5.000%, 7/01/2019

     1,447,600   
  11,630,000      

Ladder Capital Finance Holdings LLLP/Ladder Capital Finance Corp.,

5.875%, 8/01/2021, 144A(c)

     11,513,700   
     

 

 

 
        38,789,569   
     

 

 

 
   Financial Other – 1.5%   
  630,000      

Corporacion Financiera de Desarrollo S.A.,

3.250%, 7/15/2019, 144A

     628,425   
  1,240,000      

Corporacion Financiera de Desarrollo S.A., (fixed rate to 7/15/2024, variable rate thereafter),

5.250%, 7/15/2029, 144A(c)

     1,257,050   
  6,100,000      

Hyundai Capital Services, Inc.,

1.034%, 3/18/2017, 144A(b)(c)

     6,122,161   
  2,518,000      

Icahn Enterprises LP/Icahn Enterprises Finance Corp.,

4.875%, 3/15/2019(c)

     2,480,230   
  8,700,000      

Rialto Holdings LLC/Rialto Corp.,

7.000%, 12/01/2018, 144A(c)

     8,874,000   
     

 

 

 
        19,361,866   
     

 

 

 
   Food & Beverage – 0.7%   
  10,800,000      

BRF S.A.,

7.750%, 5/22/2018, 144A, (BRL)(c)

     3,860,688   
  2,300,000      

Cosan Luxembourg S.A.,

9.500%, 3/14/2018, 144A, (BRL)

     840,977   
  1,101,000      

Crestview DS Merger Sub II, Inc.,

10.000%, 9/01/2021

     1,216,605   
  3,500,000      

General Mills, Inc.,

0.534%, 1/29/2016(b)(c)

     3,504,326   
     

 

 

 
        9,422,596   
     

 

 

 

 


Principal

Amount (‡)

   

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
  Government Owned—No Guarantee – 1.4%   
  18,670,000,000     

Financiera de Desarrollo Territorial S.A. Findeter,

7.875%, 8/12/2024, 144A, (COP)(c)

   $ 9,387,576   
  6,000,000     

Petroleos de Venezuela S.A.,

5.500%, 4/12/2037

     2,910,000   
  700,000 (††)   

Petroleos Mexicanos,

7.650%, 11/24/2021, 144A, (MXN)(c)

     5,528,168   
    

 

 

 
       17,825,744   
    

 

 

 
  Healthcare – 0.8%   
  5,450,000     

Baxter International, Inc.,

0.405%, 12/11/2014(b)(c)

     5,451,591   
  2,505,000     

BioScrip, Inc.,

8.875%, 2/15/2021, 144A(c)

     2,564,494   
  2,656,000     

Universal Health Services, Inc.,

4.750%, 8/01/2022, 144A(d)

     2,652,680   
    

 

 

 
       10,668,765   
    

 

 

 
  Independent Energy – 0.0%   
  140,000     

Chesapeake Energy Corp.,

6.625%, 8/15/2020

     154,420   
  7,460,000     

OGX Austria GmbH,

8.375%, 4/01/2022, 144A(i)

     246,180   
  4,420,000     

OGX Austria GmbH,

8.500%, 6/01/2018, 144A(i)

     176,800   
    

 

 

 
       577,400   
    

 

 

 
  Industrial Other – 0.2%   
  2,200,000     

Alfa SAB de CV,

6.875%, 3/25/2044, 144A(c)

     2,444,750   
    

 

 

 
  Integrated Energy – 0.2%   
  2,935,000     

BP Capital Markets PLC,

0.657%, 11/07/2016(b)(c)

     2,939,282   
    

 

 

 
  Leisure – 0.2%   
  3,575,000     

24 Hour Holdings III LLC,

8.000%, 6/01/2022, 144A(c)

     3,306,875   
    

 

 

 
  Life Insurance – 1.0%   
  8,600,000     

Assicurazioni Generali SpA, EMTN, (fixed rate to 12/12/2022, variable rate thereafter),

7.750%, 12/12/2042, (EUR)(c)

     13,414,859   
    

 

 

 
  Lodging – 0.2%   
  2,105,000     

Host Hotels & Resorts LP,

5.250%, 3/15/2022(c)

     2,314,132   
    

 

 

 
  Media Entertainment – 0.4%   
  2,820,000     

Clear Channel Worldwide Holdings, Inc.,

7.625%, 3/15/2020(c)

     2,925,750   
  27,290,000     

Grupo Televisa SAB, EMTN,

7.250%, 5/14/2043, (MXN)(c)

     1,709,701   
    

 

 

 
       4,635,451   
    

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
  

Metals & Mining – 0.1%

  

  $975,000      

Emeco Pty Ltd.,

9.875%, 3/15/2019, 144A

   $ 970,125   
     

 

 

 
   Non-Agency Commercial Mortgage-Backed Securities – 3.6%   
  950,000      

Bear Stearns Commercial Mortgage Securities, Series 2003-PWR2, Class E,

6.647%, 5/11/2039, 144A(b)

     963,450   
  4,565,000      

CFCRE Commercial Mortgage Trust, Series 2011-C1, Class D,

5.730%, 4/15/2044, 144A(b)(c)

     4,954,865   
  2,765,000      

Citigroup Commercial Mortgage Trust, Series 2013-375P, Class D,

3.635%, 5/10/2035, 144A(b)(c)

     2,574,035   
  850,000      

Commercial Mortgage Trust, Series 2014-SAVA, Class A,

1.304%, 6/15/2034, 144A(b)

     850,319   
  855,000      

Commercial Mortgage Trust, Series 2014-SAVA, Class B,

1.904%, 6/15/2034, 144A(b)

     854,584   
  1,605,000      

Commercial Mortgage Trust, Series 2014-SAVA, Class C,

2.554%, 6/15/2034, 144A(b)(c)

     1,603,541   
  2,552,340      

DBUBS Mortgage Trust, Series 2011-LC1A, Class E,

5.730%, 11/10/2046, 144A(b)(c)

     2,752,678   
  1,300,000      

Del Coronado Trust, Series 2013-HDMZ, Class M,

5.154%, 3/15/2018, 144A(b)(c)

     1,303,640   
  7,430,000      

Extended Stay America Trust, Series 2013-ESH7, Class D7,

5.521%, 12/05/2031, 144A(b)(c)

     7,704,591   
  4,340,000      

GS Mortgage Securities Corp. II, Series 2007-GG10, Class AM,

5.991%, 8/10/2045(b)(c)

     4,499,747   
  1,915,000      

Hilton USA Trust, Series 2013-HLT, Class CFX,

3.714%, 11/05/2030, 144A(c)

     1,945,560   
  1,460,000      

Hilton USA Trust, Series 2013-HLT, Class DFX,

4.407%, 11/05/2030, 144A(c)

     1,488,493   
  1,580,000      

Hilton USA Trust, Series 2013-HLT, Class EFX,

5.609%, 11/05/2030, 144A(b)(c)

     1,604,496   
  1,520,000      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2007-LDPX, Class AM,

5.464%, 1/15/2049(c)

     1,589,697   
  945,264      

JPMorgan Chase Commercial Mortgage Securities Trust, Series 2013-JWMZ, Class M,

6.154%, 4/15/2018, 144A(b)

     952,070   
  1,325,000      

Morgan Stanley Capital I Trust, Series 2007-HQ12, Class AM,

5.773%, 4/12/2049(b)(c)

     1,422,707   
  2,125,000      

Morgan Stanley Capital I Trust, Series 2011-C2, Class E,

5.481%, 6/15/2044, 144A(b)(c)

     2,204,668   
  2,280,000      

SCG Trust, Series 2013-SRP1, Class B,

2.654%, 11/15/2026, 144A(b)(c)

     2,285,775   
  2,200,000      

SCG Trust, Series 2013-SRP1, Class C,

3.404%, 11/15/2026, 144A(b)(c)

     2,207,966   
  2,587,500      

WFRBS Commercial Mortgage Trust, Series 2011-C2, Class D,

5.647%, 2/15/2044, 144A(b)(c)

     2,734,297   
     

 

 

 
        46,497,179   
     

 

 

 
   Oil Field Services – 0.7%   
  2,230,000      

Paragon Offshore Ltd.,

6.750%, 7/15/2022, 144A(c)

     1,884,350   
  4,115,000      

Paragon Offshore Ltd.,

7.250%, 8/15/2024, 144A(d)

     3,477,175   


Principal

Amount (‡)

   

Description

   Value (†)  

 

Bonds and Notes – continued

  

 

Non-Convertible Bonds – continued

  
 

Oil Field Services – continued

  

  $3,310,000     

Shell International Finance BV,

0.444%, 11/15/2016(b)(c)

   $ 3,319,791   
    

 

 

 
       8,681,316   
    

 

 

 
 

Packaging – 0.1%

  
  800,000     

Ardagh Finance Holdings,

8.375% (8.375% PIK), 6/15/2019, 144A, (EUR)(c)(f)

     985,179   
    

 

 

 
 

Pharmaceuticals – 0.2%

  
  3,070,000     

Johnson & Johnson,

0.308%, 11/28/2016(b)(c)

     3,075,299   
    

 

 

 
 

Property & Casualty Insurance – 0.4%

  
  5,435,000     

Old Republic International Corp.,

4.875%, 10/01/2024

     5,442,218   
    

 

 

 
 

Railroads – 0.4%

  
  4,700,000     

Canadian National Railway Co.,

0.437%, 11/06/2015(b)(c)

     4,705,142   
    

 

 

 
 

Retailers – 0.2%

  
  1,975,000     

Group 1 Automotive, Inc.,

5.000%, 6/01/2022, 144A(c)

     1,910,813   
  1,080,000     

Phillips-Van Heusen Corp.,

7.750%, 11/15/2023(c)

     1,300,730   
    

 

 

 
       3,211,543   
    

 

 

 
 

Technology – 1.4%

  
  1,425,000     

Advanced Micro Devices, Inc.,

7.000%, 7/01/2024

     1,360,875   
  4,000,000     

Blackboard, Inc.,

7.750%, 11/15/2019, 144A(c)

     3,960,000   
  4,900,000     

Jabil Circuit, Inc.,

4.700%, 9/15/2022(c)

     4,930,625   
  3,030,000     

Rolta Americas LLC,

8.875%, 7/24/2019, 144A(c)

     3,109,537   
  5,230,000     

Sanmina Corp.,

4.375%, 6/01/2019, 144A(c)

     5,125,400   
    

 

 

 
       18,486,437   
    

 

 

 
 

Treasuries – 4.5%

  
  4,271,000 (††)   

Mexican Fixed Rate Bonds, Series M,

6.500%, 6/10/2021, (MXN)(c)

     33,158,708   
  465,000 (††)   

Mexican Fixed Rate Bonds, Series M,

6.500%, 6/09/2022, (MXN)(c)

     3,584,362   
  405,000 (††)   

Mexican Fixed Rate Bonds, Series M,

7.750%, 11/13/2042, (MXN)(c)

     3,303,450   
  1,700,500 (††)   

Mexican Fixed Rate Bonds, Series M-10,

8.500%, 12/13/2018, (MXN)(c)

     14,290,708   
  130,000 (††)   

Mexican Fixed Rate Bonds, Series M-20,

8.000%, 12/07/2023, (MXN)(c)

     1,096,287   
  7,091,000     

Republic of Brazil,

8.500%, 1/05/2024, (BRL)(c)

     2,621,736   
    

 

 

 
       58,055,251   
    

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  
  Bonds and Notes – continued   
  Non-Convertible Bonds – continued   
  

Wireless – 0.6%

  

 

3,350,000

  

  

Altice S.A.,

7.250%, 5/15/2022, 144A, (EUR)(c)

   $ 4,379,312   
  3,025,000      

Wind Acquisition Finance S.A.,

4.203%, 7/15/2020, 144A, (EUR)(b)(c)

     3,806,400   
     

 

 

 
     8,185,712   
     

 

 

 
  

Wirelines – 0.3%

  

  12,060,000      

Oi S.A.,

9.750%, 9/15/2016, 144A, (BRL)(c)

     4,487,488   
     

 

 

 
  

Total Non-Convertible Bonds

(Identified Cost $729,235,647)

     718,979,519   
     

 

 

 
  Convertible Bonds – 3.9%   
  

Automotive – 0.6%

  

  3,195,000      

Ford Motor Co.,

4.250%, 11/15/2016(c)

     5,475,431   
  755,000      

TRW Automotive, Inc.,

3.500%, 12/01/2015(c)

     2,583,044   
     

 

 

 
     8,058,475   
     

 

 

 
  

Consumer Products – 0.2%

  

  2,485,000      

Jarden Corp.,

1.125%, 3/15/2034, 144A(c)

     2,477,234   
     

 

 

 
  

Energy – 0.1%

  

  425,000      

Chesapeake Energy Corp.,

2.750%, 11/15/2035

     430,312   
  2,075,000      

Peabody Energy Corp.,

4.750%, 12/15/2066(c)

     1,421,375   
     

 

 

 
     1,851,687   
     

 

 

 
  

Home Construction – 0.1%

  

  635,000      

Lennar Corp.,

3.250%, 11/15/2021, 144A

     1,089,025   
     

 

 

 
  

Pharmaceuticals – 1.1%

  

  449,000      

BioMarin Pharmaceutical, Inc.,

0.750%, 10/15/2018

     475,379   
  1,168,000      

BioMarin Pharmaceutical, Inc.,

1.500%, 10/15/2020(c)

     1,278,960   
  1,600,000      

Emergent Biosolutions, Inc.,

2.875%, 1/15/2021, 144A(c)

     1,608,000   
  1,125,000      

Gilead Sciences, Inc., Series D,

1.625%, 5/01/2016(c)

     5,253,047   
  1,670,000      

Mylan, Inc.,

3.750%, 9/15/2015(d)

     5,705,137   
     

 

 

 
     14,320,523   
     

 

 

 
  

Retailers – 0.6%

  

  4,430,000      

Priceline Group, Inc. (The),

0.350%, 6/15/2020(c)

     4,931,144   
  2,295,000      

Priceline Group, Inc. (The),

0.900%, 9/15/2021, 144A

     2,164,472   
     

 

 

 
     7,095,616   
     

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  
  Bonds and Notes – continued      
  Convertible Bonds – continued      
  

Technology – 1.2%

  

  $1,810,000      

Ciena Corp.,

3.750%, 10/15/2018, 144A(c)

      $ 2,108,650   
  3,815,000      

JDS Uniphase Corp.,

0.625%, 8/15/2033(c)

        3,812,616   
  2,045,000      

MercadoLibre, Inc.,

2.250%, 7/01/2019, 144A(c)

        2,214,991   
  915,000      

Novellus Systems, Inc.,

2.625%, 5/15/2041(c)

        1,994,128   
  1,985,000      

Nuance Communications, Inc.,

2.750%, 11/01/2031(c)

        1,957,706   
  3,145,000      

Palo Alto Networks, Inc.,

Zero Coupon, 7/01/2019, 144A(c)

        3,490,950   
     

 

  

 

 

 
           15,579,041   
     

 

  

 

 

 
  

Total Convertible Bonds

(Identified Cost $46,245,480)

        50,471,601   
     

 

  

 

 

 
  

Total Bonds and Notes

(Identified Cost $775,481,127)

        769,451,120   
     

 

  

 

 

 
  Loan Participations – 0.2%      
  

ABS Other – 0.2%

  

  2,688,281      

Rise Ltd., Series 2014-1, Class A,

4.750%, 2/15/2039(b)(e)(l)(m)

(Identified Cost $2,708,443)

     2,718,524   
     

 

  

 

 

 
  Senior Loans – 15.1%      
  

Aerospace & Defense – 0.2%

  

  638,625      

Sequa Corp., New Term Loan B,

5.250%, 6/19/2017(b)

        607,096   
  690,219      

Transdigm, Inc., Term Loan C,

3.750%, 2/28/2020(b)

        677,795   
  837,900      

Transdigm, Inc., Term Loan D,

3.750%, 6/04/2021(b)

        822,189   
     

 

  

 

 

 
           2,107,080   
     

 

  

 

 

 
  

Automotive – 0.7%

  

  775,035      

American Tire Distributors Holdings, Inc., Term Loan B,

5.750%, 6/01/2018(b)

        773,586   
  899,415      

Dealertrack Technologies, Inc., Term Loan B,

3.500%, 2/28/2021(b)

        884,421   
  4,148,873      

IBC Capital Ltd., 1st Lien Term Loan,

4.750%, 9/09/2021(b)

        4,128,129   
  92,755      

Midas Intermediate Holdco II LLC, Delayed Draw Term Loan,

8/18/2021(j)

        92,465   
  823,196      

Midas Intermediate Holdco II LLC, Term Loan B,

8/18/2021(j)

        820,628   
  1,769,565      

Visteon Corp., Delayed Draw Term Loan B,

3.500%, 4/09/2021(b)

        1,738,049   
     

 

  

 

 

 
           8,437,278   
     

 

  

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  
  Senior Loans – continued   
  

Banking – 0.1%

  

  $1,711,875      

Harland Clarke Holdings Corp., Extended Term Loan B2,

5.483%, 6/30/2017(b)

   $ 1,708,673   
     

 

 

 
  

Building Materials – 0.8%

  

  3,162,015      

ABC Supply Co., Inc., Term Loan,

3.500%, 4/16/2020(b)

     3,097,795   
  2,579,710      

Continental Building Products LLC, 1st Lien Term Loan,

4.000%, 8/28/2020(b)

     2,541,015   
  793,008      

Ply Gem Industries, Inc., Term Loan,

4.000%, 2/01/2021(b)

     776,402   
  1,068,927      

Quikrete Holdings, Inc., 1st Lien Term Loan,

4.000%, 9/28/2020(b)

     1,055,565   
  2,797,295      

Wilsonart LLC, Term Loan B,

4.000%, 10/31/2019(b)

     2,739,615   
     

 

 

 
        10,210,392   
     

 

 

 
  

Cable Satellite – 0.2%

  

  3,295,000      

Virgin Media Bristol LLC, USD Term Loan B,

3.500%, 6/07/2020(b)

     3,205,145   
     

 

 

 
  

Chemicals – 0.9%

  

  1,607,648      

Arysta LifeScience SPC LLC, 1st Lien Term Loan,

4.500%, 5/29/2020(b)

     1,591,572   
  1,556,307      

Axalta Coating Systems U.S. Holdings, Inc., USD Term Loan,

3.750%, 2/01/2020(b)

     1,523,563   
  443,000      

Emerald Performance Materials LLC, New 1st Lien Term Loan,

4.500%, 8/01/2021(b)

     438,459   
  1,185,000      

MacDermid, Inc., USD 1st Lien Term Loan,

4.000%, 6/07/2020(b)

     1,162,485   
  677,127      

Nexeo Solutions LLC, Incremental Term Loan,

5.000%, 9/08/2017(b)

     669,936   
  2,495,596      

Nexeo Solutions LLC, Term Loan B,

5.000%, 9/08/2017(b)

     2,469,093   
  3,302,191      

Univar, Inc., Term Loan B,

5.000%, 6/30/2017(b)

     3,263,654   
     

 

 

 
        11,118,762   
     

 

 

 
  

Consumer Cyclical Services – 0.6%

  

  293,155      

Garda World Security Corp., Delayed Draw Term Loan,

4.000%, 11/06/2020(b)

     288,025   
  1,145,970      

Garda World Security Corp., New Term Loan B,

4.000%, 11/06/2020(b)

     1,125,916   
  2,405,671      

Inmar Holdings, Inc., 1st Lien Term Loan,

4.250%, 1/27/2021(b)

     2,360,564   
  3,173,689      

ServiceMaster Co., 2014 Term Loan B,

4.250%, 7/01/2021(b)

     3,122,624   
  616,782      

Spin Holdco, Inc., New Term Loan B,

4.250%, 11/14/2019(b)

     604,835   
     

 

 

 
        7,501,964   
     

 

 

 
  

Consumer Products – 0.5%

  

  637,621      

Bauer Performance Sports Ltd., Term Loan B,

4.000%, 4/15/2021(b)

     630,053   
  424,163      

Libbey Glass, Inc., Term Loan B,

3.750%, 4/09/2021(b)

     419,658   
  2,275,278      

Tempur-Pedic International, Inc., Refi Term Loan B,

3.500%, 3/18/2020(b)

     2,243,993   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Senior Loans – continued

  
  

Consumer Products – continued

  

  $3,317,932      

Zebra Technologies Corp., Term Loan B,

9/30/2021(j)

   $ 3,293,047   
     

 

 

 
        6,586,751   
     

 

 

 
  

Diversified Manufacturing – 0.0%

  

  620,896      

Doncasters Finance U.S. LLC, USD Term Loan,

4.500%, 4/09/2020(b)

     615,854   
     

 

 

 
  

Electric – 0.1%

  

  1,827,863      

Calpine Construction Finance Co. LP, Original Term Loan B1,

3.250%, 5/03/2020(b)

     1,763,887   
     

 

 

 
  

Finance Companies – 0.3%

  

  1,137,566      

AWAS Finance Luxembourg 2012 S.A., New Term Loan,

3.500%, 7/16/2018(b)

     1,129,511   
  2,955,000      

Delos Finance S.a.r.l., Term Loan B,

3.500%, 3/06/2021(b)

     2,913,128   
     

 

 

 
        4,042,639   
     

 

 

 
  

Financial Other – 0.4%

  

  2,361,933      

American Beacon Advisors, Inc., Term Loan B,

4.750%, 11/22/2019(b)

     2,356,029   
  1,080,333      

Duff & Phelps Investment Management Co., Term Loan B,

4.500%, 4/23/2020(b)

     1,072,230   
  1,235,663      

Grosvenor Capital Management Holdings LLP, New Term Loan B,

3.750%, 1/04/2021(b)

     1,218,672   
  600,695      

Harbourvest Partners LLC, New Term Loan,

3.250%, 2/04/2021(b)

     590,934   
     

 

 

 
        5,237,865   
     

 

 

 
  

Food & Beverage – 0.7%

  

  2,686,500      

Aramark Corp., USD Term Loan F,

3.250%, 2/24/2021(b)

     2,631,104   
  5,124,250      

Big Heart Pet Brands, New Term Loan,

3.500%, 3/08/2020(b)

     4,912,875   
  1,109,425      

Del Monte Foods, Inc., 1st Lien Term Loan,

4.256%, 2/18/2021(k)

     1,037,312   
  823,996      

Reddy Ice Corp., 1st Lien Term Loan,

6.751%, 5/01/2019(k)

     778,676   
     

 

 

 
        9,359,967   
     

 

 

 
  

Health Insurance – 0.2%

  

  3,008,574      

Sedgwick, Inc., 1st Lien Term Loan,

3.750%, 3/01/2021(b)

     2,912,059   
     

 

 

 
  

Healthcare – 0.8%

  

  370,091      

Amsurg Corp., 1st Lien Term Loan B,

3.750%, 7/16/2021(b)

     365,813   
  2,437,474      

Evergreen Skills Lux S.a.r.l., 1st Lien Term Loan,

5.750%, 4/28/2021(b)

     2,389,748   
  3,052,138      

Millennium Laboratories, Inc., Term Loan B,

5.250%, 4/16/2021(b)

     3,037,823   
  1,496,250      

Ortho-Clinical Diagnostics, Inc., Term Loan B,

4.750%, 6/30/2021(b)

     1,476,844   
  1,433,892      

Planet Fitness Holdings LLC, Term Loan,

4.750%, 3/31/2021(b)

     1,429,705   


Principal

Amount (‡)

    

Description

   Value (†)  

 

Senior Loans – continued

  
   Healthcare – continued   
  $1,720,417      

Renaissance Learning, Inc., New 1st Lien Term Loan,

4.500%, 4/09/2021(b)

   $ 1,682,791   
     

 

 

 
        10,382,724   
     

 

 

 
   Independent Energy – 0.2%   
  2,127,549      

SRAM LLC, New Term Loan B,

4.018%, 4/10/2020(k)

     2,053,085   
     

 

 

 
  

Industrial Other – 1.4%

  

  1,040,000      

AECOM Technology Corp., Term Loan B,

10/30/2021(j)

     1,037,213   
  1,091,757      

Brickman Group Ltd. LLC, 1st Lien Term Loan,

4.000%, 12/18/2020(b)

     1,066,734   
  2,321,458      

Crosby U.S. Acquisition Corp., 1st Lien Term Loan,

3.750%, 11/23/2020(b)

     2,216,992   
  1,648,000      

Gates Global, Inc., Term Loan B,

4.250%, 7/05/2021(b)

     1,616,754   
  2,671,967      

Generac Power Systems, Inc., Term Loan B,

3.250%, 5/31/2020(b)

     2,620,210   
  516,691      

Mirror Bidco Corp., New Term Loan,

4.250%, 12/28/2019(b)

     508,620   
  1,935,398      

Pinnacle Operating Corp., Term Loan,

4.750%, 11/15/2018(b)

     1,916,043   
  6,234,295      

Silver II U.S. Holdings LLC, Term Loan,

4.000%, 12/13/2019(b)

     6,119,334   
  751,429      

Virtuoso U.S. LLC, USD Term Loan,

4.750%, 2/11/2021(b)

     743,915   
  92,368      

WESCO Distribution, Inc., Term Loan B,

3.750%, 12/12/2019(b)

     91,945   
     

 

 

 
        17,937,760   
     

 

 

 
   Leisure – 0.1%   
  1,808,468      

Time, Inc., Term Loan B,

4.250%, 4/26/2021(b)

     1,788,122   
     

 

 

 
   Lodging – 0.5%   
  6,169,409      

Hilton Worldwide Finance LLC, USD Term Loan B2,

3.500%, 10/26/2020(b)

     6,066,565   
     

 

 

 
   Media Entertainment – 0.5%   
  621,220      

Sinclair Television Group, Inc., Term Loan B,

3.000%, 4/09/2020(b)

     610,088   
  3,153,210      

Springer Science+Business Media Deutschland GmbH, USD Term Loan B3,

8/16/2021(j)

     3,095,664   
  2,609,582      

Tribune Co., 2013 Term Loan,

4.000%, 12/27/2020(b)

     2,572,891   
     

 

 

 
        6,278,643   
     

 

 

 
   Metals & Mining – 0.1%   
  1,533,096      

Metal Services LLC, Term Loan B,

6.000%, 6/30/2017(b)

     1,532,452   
     

 

 

 
   Midstream – 0.1%   
  1,930,000      

Energy Transfer Equity LP, New Term Loan,

3.250%, 12/02/2019(b)

     1,878,797   
     

 

 

 

 


Principal

Amount (‡)

    

Description

   Value (†)  

 

Senior Loans – continued

  
   Other Utility – 0.2%   
  $3,038,069    &n