UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21407
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Nuveen Diversified Dividend and Income Fund | ||||||||
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(Exact name of registrant as specified in charter) | ||||||||
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333 West Wacker Drive, Chicago, Illinois 60606 |
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(Address of principal executive offices) (Zip code) |
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Kevin J. McCarthy—Vice President and Secretary |
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(Name and address of agent for service) |
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Registrant’s telephone number, including area code: |
312-917-7700 |
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Date of fiscal year end: |
12/31 |
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Date of reporting period: |
9/30/2011 |
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Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. Schedule of Investments
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Portfolio of Investments (Unaudited) |
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Nuveen Diversified Dividend and Income Fund (JDD) |
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September 30, 2011 |
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Shares |
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Description (1) |
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Value |
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Common Stocks – 32.2% (22.9% of Total Investments) |
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|
|
|
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Aerospace & Defense – 0.8% |
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|
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40,500 |
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Raytheon Company |
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$ 1,655,235 |
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Automobiles – 0.6% |
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63,300 |
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General Motors Company, (2), (3) |
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1,277,394 |
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Biotechnology – 0.7% |
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|
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|
24,500 |
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Amgen Inc. |
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1,346,275 |
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Building Products – 0.5% |
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|
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|
35,400 |
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Masonite Worldwide Holdings, (2), (4) |
|
955,800 |
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Commercial Banks – 0.9% |
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|
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76,800 |
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Wells Fargo & Company |
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1,852,416 |
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|
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Commercial Services & Supplies – 0.5% |
|
|
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59,600 |
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Pitney Bowes Inc. |
|
1,120,480 |
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|
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Communications Equipment – 1.8% |
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118,000 |
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Cisco Systems, Inc. |
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1,827,820 |
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|
47,428 |
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Motorola Solutions Inc. |
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1,987,233 |
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|
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Total Communications Equipment |
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3,815,053 |
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|
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Diversified Financial Services – 1.4% |
|
|
|
|
70,450 |
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Citigroup Inc. |
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1,804,929 |
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|
38,400 |
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JPMorgan Chase & Co., (3) |
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1,156,608 |
|
|
|
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Total Diversified Financial Services |
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2,961,537 |
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|
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Diversified Telecommunication Services – 0.5% |
|
|
|
|
181,200 |
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Frontier Communications Corporation |
|
1,107,132 |
|
|
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Food & Staples Retailing – 0.6% |
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|
|
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40,000 |
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CVS Caremark Corporation |
|
1,343,200 |
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|
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Hotels, Restaurants & Leisure – 0.6% |
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|
|
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39,200 |
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Hyatt Hotels Corporation, Class A, (2) |
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1,229,704 |
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Industrial Conglomerates – 0.3% |
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44,600 |
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General Electric Company |
|
679,704 |
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|
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Insurance – 3.9% |
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187,500 |
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Genworth Financial Inc., Class A, (2) |
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1,076,250 |
|
|
107,900 |
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Hartford Financial Services Group, Inc. |
|
1,741,506 |
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|
31,200 |
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Loews Corporation |
|
1,077,960 |
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|
61,800 |
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MetLife, Inc. |
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1,731,018 |
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|
90,300 |
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Symetra Financial Corporation |
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735,945 |
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86,500 |
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Unum Group |
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1,813,040 |
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|
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Total Insurance |
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8,175,719 |
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Machinery – 1.0% |
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37,600 |
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Ingersoll Rand Company Limited, Class A |
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1,056,184 |
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30,700 |
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PACCAR Inc. |
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1,038,274 |
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|
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Total Machinery |
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2,094,458 |
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Media – 3.1% |
|
|
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147,000 |
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Interpublic Group Companies, Inc. |
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1,058,400 |
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|
17,337 |
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Metro-Goldwyn-Mayer, (4) |
|
305,565 |
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|
137,000 |
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National CineMedia, Inc. |
|
1,987,870 |
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70,300 |
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Time Warner Inc. |
|
2,106,891 |
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24,000 |
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Viacom Inc., Class B |
|
929,760 |
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|
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Total Media |
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6,388,486 |
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Metals & Mining – 2.7% |
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56,200 |
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AngloGold Ashanti Limited, Sponsored ADR |
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2,324,432 |
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49,500 |
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Barrick Gold Corporation |
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2,309,175 |
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32,400 |
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Nucor Corporation |
|
1,025,136 |
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|
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Total Metals & Mining |
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5,658,743 |
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Oil, Gas & Consumable Fuels – 1.9% |
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|
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14,000 |
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Exxon Mobil Corporation, (3) |
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1,016,820 |
|
|
16,100 |
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Occidental Petroleum Corporation |
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1,151,150 |
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41,000 |
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Total S.A., Sponsored ADR |
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1,798,670 |
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Total Oil, Gas & Consumable Fuels |
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3,966,640 |
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Pharmaceuticals – 6.0% |
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43,400 |
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GlaxoSmithKline PLC, Sponsored ADR |
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1,791,986 |
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56,000 |
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Merck & Company Inc. |
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1,831,760 |
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205,000 |
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Pfizer Inc. |
|
3,624,400 |
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114,200 |
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Sanofi-Aventis, ADR |
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3,745,760 |
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|
40,200 |
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Teva Pharmaceutical Industries Limited, Sponsored ADR |
|
1,496,244 |
|
|
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Total Pharmaceuticals |
|
12,490,150 |
|
|
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Professional Services – 0.3% |
|
|
|
|
25,700 |
|
Nielsen Holdings BV, (2) |
|
670,256 |
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|
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Software – 2.4% |
|
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|
|
156,600 |
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CA Inc. |
|
3,039,606 |
|
|
76,600 |
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Microsoft Corporation |
|
1,906,574 |
|
|
|
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Total Software |
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4,946,180 |
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Tobacco – 0.7% |
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|
|
24,700 |
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Philip Morris International |
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1,540,786 |
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|
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Wireless Telecommunication Services – 1.0% |
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|
85,000 |
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Vodafone Group PLC, Sponsored ADR |
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2,180,250 |
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|
|
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Total Common Stocks (cost $76,209,354) |
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67,455,598 |
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Shares |
|
Description (1) |
|
Value |
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Real Estate Investment Trust Common Stocks – 36.1% (25.7% of Total Investments) |
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Diversified – 2.9% |
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|
|
170 |
|
Colonial Properties Trust |
|
$ 3,087,200 |
|
|
107 |
|
Liberty Property Trust |
|
3,122,048 |
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|
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Total Diversified |
|
6,209,248 |
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|
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Industrial – 1.4% |
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|
120 |
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ProLogis |
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2,899,039 |
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Mortgage – 0.3% |
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|
|
56 |
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Redwood Trust Inc. |
|
625,520 |
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Office – 9.0% |
|
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|
|
170 |
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BioMed Realty Trust Inc. |
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2,816,900 |
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|
28 |
|
Boston Properties, Inc. |
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2,459,160 |
|
|
134 |
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Commonwealth REIT |
|
2,537,939 |
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|
95 |
|
Corporate Office Properties |
|
2,069,100 |
|
|
114 |
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Mack-Cali Realty Corporation |
|
3,049,500 |
|
|
189 |
|
Piedmont Office Realty Trust |
|
3,052,896 |
|
|
49 |
|
SL Green Realty Corporation |
|
2,831,905 |
|
|
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Total Office |
|
18,817,400 |
|
|
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Residential – 6.5% |
|
|
|
|
135 |
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Apartment Investment & Management Company, Class A |
|
2,982,351 |
|
|
26 |
|
AvalonBay Communities, Inc. |
|
2,951,044 |
|
|
168 |
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Equity Lifestyle Properties Inc. |
|
4,196,640 |
|
|
69 |
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Equity Residential |
|
3,563,469 |
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Total Residential |
|
13,693,504 |
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Retail – 7.0% |
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|
|
31 |
|
Federal Realty Investment Trust |
|
2,546,469 |
|
|
238 |
|
General Growth Properties Inc. |
|
2,884,156 |
|
|
72 |
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Macerich Company |
|
3,060,450 |
|
|
81 |
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Regency Centers Corporation |
|
2,879,395 |
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29 |
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Simon Property Group, Inc. |
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3,242,760 |
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Total Retail |
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14,613,230 |
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Specialized – 9.0% |
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|
|
170 |
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Extra Space Storage Inc. |
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3,167,100 |
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|
98 |
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HCP, Inc. |
|
3,428,868 |
|
|
69 |
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Health Care REIT, Inc. |
|
3,245,580 |
|
|
225 |
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Host Hotels & Resorts Inc. |
|
2,466,335 |
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29 |
|
Public Storage, Inc. |
|
3,176,147 |
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|
68 |
|
Ventas Inc. |
|
3,364,141 |
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Total Specialized |
|
18,848,171 |
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Total Real Estate Investment Trust Common Stocks (cost $67,526,195) |
|
75,706,112 |
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Shares |
|
Description (1) |
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Coupon |
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Ratings (5) |
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Value |
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Capital Preferred Securities – 0.8% (0.5% of Total Investments) |
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Food Products - 0.8% |
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15 |
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HJ Heinz Finance Company, 144A |
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8.000% |
|
BBB- |
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$ 1,607,813 |
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Total Capital Preferred Securities (cost $1,310,000) |
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1,607,813 |
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Principal |
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Description (1) |
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Weighted |
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Maturity (6) |
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Ratings (5) |
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Value |
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Variable Rate Senior Loan Interests – 36.1% (25.7% of Total Investments) (7) |
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Aerospace & Defense – 0.2% |
|
|
|
|
|
|
|
|
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|
$ 422 |
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Transdigm, Inc., Term Loan |
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4.000% |
|
6/30/17 |
|
Ba2 |
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$ 413,630 |
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|
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Auto Components – 0.9% |
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|
|
|
|
|
|
|
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|
1,317 |
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Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.159% |
|
12/29/14 |
|
Ba3 |
|
1,217,572 |
| ||||
|
672 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.166% |
|
12/28/15 |
|
Ba3 |
|
621,210 |
| ||||
|
1,989 |
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Total Auto Components |
|
|
|
|
|
|
|
1,838,782 |
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Biotechnology – 0.4% |
|
|
|
|
|
|
|
|
| ||||
|
898 |
|
Grifols, Term Loan |
|
6.000% |
|
6/01/17 |
|
BB |
|
882,488 |
| ||||
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|
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Building Products – 0.5% |
|
|
|
|
|
|
|
|
| ||||
|
931 |
|
Goodman Global Inc., Term Loan |
|
5.750% |
|
10/28/16 |
|
B+ |
|
924,434 |
| ||||
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Chemicals – 1.3% |
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|
|
|
|
|
|
|
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|
1,875 |
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Ashland, Inc., Term Loan |
|
3.750% |
|
8/23/18 |
|
Baa3 |
|
1,863,951 |
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|
993 |
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Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B |
|
931,296 |
| ||||
|
2,868 |
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Total Chemicals |
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|
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|
|
|
2,795,247 |
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Commercial Services & Supplies – 0.5% |
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|
|
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|
998 |
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KAR Auction Services, Inc., Term Loan |
|
5.000% |
|
5/19/17 |
|
BB- |
|
968,198 |
| ||||
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|
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Communications Equipment – 1.2% |
|
|
|
|
| ||||||||
|
658 |
|
Avaya, Inc., Term Loan |
|
2.750% |
|
10/27/14 |
|
B1 |
|
594,991 |
| ||||
|
1,321 |
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Avaya, Inc., Term Loan B3 |
|
4.814% |
|
10/26/17 |
|
B1 |
|
1,129,250 |
| ||||
|
865 |
|
Intelsat, Term Loan |
|
5.250% |
|
4/02/18 |
|
BB- |
|
834,423 |
| ||||
|
2,844 |
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Total Communications Equipment |
|
|
|
|
|
|
|
2,558,664 |
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|
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Consumer Finance – 0.3% |
|
|
|
|
|
|
|
|
| ||||
|
750 |
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Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B+ |
|
659,062 |
| ||||
|
|
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Containers & Packaging – 0.2% |
|
|
|
|
| ||||||||
|
469 |
|
Sealed Air Corporation, Term Loan, WI/DD |
|
TBD |
|
TBD |
|
Ba1 |
|
470,039 |
| ||||
|
|
|
Diversified Financial Services – 0.3% |
|
|
|
|
| ||||||||
|
671 |
|
Pinafore LLC, Term Loan |
|
4.250% |
|
9/29/16 |
|
BB |
|
659,527 |
| ||||
|
|
|
Electric Utilities – 0.8% |
|
|
|
|
|
|
|
|
| ||||
|
2,312 |
|
TXU Corporation, 2014 Term Loan |
|
3.726% |
|
10/10/14 |
|
B2 |
|
1,640,604 |
| ||||
|
|
|
Electrical Equipment – 0.3% |
|
|
|
|
|
|
|
|
| ||||
|
400 |
|
Sensata Technologies B.V., Term Loan |
|
4.000% |
|
5/12/18 |
|
BB+ |
|
390,500 |
| ||||
|
299 |
|
Sensus Metering Systems, Inc., Term Loan, First Lien |
|
4.752% |
|
5/09/17 |
|
Ba3 |
|
287,306 |
| ||||
|
699 |
|
Total Electrical Equipment |
|
|
|
|
|
|
|
677,806 |
| ||||
|
|
|
Electronic Equipment & Instruments – 0.2% |
|
|
|
|
| ||||||||
|
498 |
|
NDS Group, Ltd., Term Loan |
|
4.000% |
|
3/12/18 |
|
Ba2 |
|
478,222 |
| ||||
|
|
|
Food & Staples Retailing – 1.3% |
|
|
|
|
| ||||||||
|
867 |
|
Reynolds Group Holdings, Inc., Add on Term Loan |
|
6.500% |
|
8/09/18 |
|
BB- |
|
841,028 |
| ||||
|
1,979 |
|
U.S. Foodservice, Inc., Term Loan |
|
2.738% |
|
7/03/14 |
|
B- |
|
1,831,498 |
| ||||
|
2,846 |
|
Total Food & Staples Retailing |
|
|
|
|
|
|
|
2,672,526 |
| ||||
|
|
|
Food Products – 1.1% |
|
|
|
|
|
|
|
|
| ||||
|
1,000 |
|
JBS USA LLC, Term Loan |
|
4.250% |
|
5/25/18 |
|
BB |
|
960,000 |
| ||||
|
1,371 |
|
Michael Foods Group, Inc., Term Loan |
|
4.250% |
|
2/25/18 |
|
B+ |
|
1,325,353 |
| ||||
|
2,371 |
|
Total Food Products |
|
|
|
|
|
|
|
2,285,353 |
| ||||
|
|
|
Health Care Providers & Services – 4.8% |
|
|
|
|
| ||||||||
|
65 |
|
Community Health Systems, Inc., Delayed Term Loan |
|
2.569% |
|
7/25/14 |
|
BB |
|
61,110 |
| ||||
|
141 |
|
Community Health Systems, Inc., Extended Term Loan |
|
3.819% |
|
1/25/17 |
|
BB |
|
130,109 |
| ||||
|
1,268 |
|
Community Health Systems, Inc., Term Loan |
|
2.569% |
|
7/25/14 |
|
BB |
|
1,189,323 |
| ||||
|
1,985 |
|
DaVita, Inc., Tranche B, Term Loan |
|
4.500% |
|
10/20/16 |
|
BB |
|
1,961,428 |
| ||||
|
1,995 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
1,781,678 |
| ||||
|
76 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.619% |
|
3/31/17 |
|
BB |
|
71,711 |
| ||||
|
914 |
|
Kindred Healthcare, Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
850,369 |
| ||||
|
962 |
|
MultiPlan, Inc., Term Loan B |
|
4.750% |
|
8/26/17 |
|
Ba3 |
|
908,053 |
| ||||
|
227 |
|
United Surgical Partners International, Inc., Delayed Term Loan |
|
2.240% |
|
4/21/14 |
|
Ba3 |
|
213,992 |
| ||||
|
1,201 |
|
United Surgical Partners International, Inc., Term Loan |
|
2.240% |
|
4/21/14 |
|
Ba3 |
|
1,132,368 |
| ||||
|
1,831 |
|
Universal Health Services, Inc., Term Loan B |
|
4.000% |
|
11/15/16 |
|
BB+ |
|
1,780,015 |
| ||||
|
10,665 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
10,080,156 |
| ||||
|
|
|
Hotels, Restaurants & Leisure – 4.4% |
|
|
|
|
| ||||||||
|
1,975 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
6.750% |
|
4/22/16 |
|
Ba3 |
|
1,915,750 |
| ||||
|
1,424 |
|
Dunkin Brands, Inc., Term Loan B2 |
|
4.000% |
|
11/23/17 |
|
B |
|
1,380,332 |
| ||||
|
83 |
|
OSI Restaurant Partners LLC, Revolver |
|
0.340% |
|
6/14/13 |
|
B+ |
|
77,749 |
| ||||
|
854 |
|
OSI Restaurant Partners LLC, Term Loan |
|
2.563% |
|
6/14/14 |
|
B+ |
|
797,064 |
| ||||
|
1,070 |
|
Reynolds Group Holdings, Inc., US Term Loan |
|
6.500% |
|
2/09/18 |
|
BB |
|
1,038,995 |
| ||||
|
2,052 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB+ |
|
1,998,132 |
| ||||
|
1,050 |
|
Six Flags Theme Parks, Inc., Tranche B, Term Loan |
|
5.250% |
|
6/30/16 |
|
BB |
|
1,040,156 |
| ||||
|
215 |
|
Venetian Casino Resort LLC, Delayed Term Loan |
|
2.740% |
|
11/23/16 |
|
BB |
|
200,978 |
| ||||
|
681 |
|
Venetian Casino Resort LLC, Tranche B, Term Loan |
|
2.740% |
|
11/23/16 |
|
BB |
|
637,730 |
| ||||
|
9,404 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
9,086,886 |
| ||||
|
|
|
Household Products – 0.5% |
|
|
|
|
|
|
|
|
| ||||
|
993 |
|
Visant Corporation, Term Loan |
|
5.250% |
|
12/22/16 |
|
BB- |
|
913,100 |
| ||||
|
|
|
Industrial Conglomerates – 1.4% |
|
|
|
|
| ||||||||
|
2,993 |
|
U.S. Foodservice, Inc., Term Loan, First Lien |
|
5.750% |
|
3/31/17 |
|
B- |
|
2,837,887 |
| ||||
|
|
|
Insurance – 0.3% |
|
|
|
|
|
|
|
|
| ||||
|
619 |
|
Fidelity National Information Services, Inc., Term Loan B |
|
5.250% |
|
7/18/16 |
|
BBB- |
|
619,523 |
| ||||
|
|
|
Internet Software & Services – 0.3% |
|
|
|
|
| ||||||||
|
633 |
|
Go Daddy Operating Co., LLC, Term Loan, First Lien, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
601,139 |
| ||||
|
|
|
IT Services – 1.7% |
|
|
|
|
|
|
|
|
| ||||
|
1,377 |
|
First Data Corporation, Term Loan B1 |
|
2.985% |
|
9/24/14 |
|
B+ |
|
1,209,581 |
| ||||
|
372 |
|
First Data Corporation, Term Loan B2 |
|
2.985% |
|
9/24/14 |
|
B+ |
|
326,771 |
| ||||
|
679 |
|
Frac Tech International LLC, Term Loan |
|
6.250% |
|
5/06/16 |
|
B+ |
|
668,418 |
| ||||
|
746 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2 |
|
7.250% |
|
7/28/15 |
|
B+ |
|
674,689 |
| ||||
|
687 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.977% |
|
2/28/14 |
|
BB |
|
671,945 |
| ||||
|
3,861 |
|
Total IT Services |
|
|
|
|
|
|
|
3,551,404 |
| ||||
|
|
|
Leisure Equipment & Products – 0.6% |
|
|
|
|
| ||||||||
|
1,358 |
|
Cedar Fair LP, Term Loan |
|
4.000% |
|
12/15/17 |
|
Ba2 |
|
1,339,965 |
| ||||
|
|
|
Media – 5.4% |
|
|
|
|
|
|
|
|
| ||||
|
620 |
|
Bresnan Broadband Holdings LLC, Term Loan B |
|
4.500% |
|
12/14/17 |
|
BB+ |
|
600,928 |
| ||||
|
1,000 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
6/15/18 |
|
Ba2 |
|
946,250 |
| ||||
|
750 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B2 |
|
698,438 |
| ||||
|
1,081 |
|
Emmis Operating Company, Term Loan |
|
4.363% |
|
11/01/13 |
|
Caa2 |
|
1,005,856 |
| ||||
|
1,295 |
|
Interactive Data Corporation, Term Loan B |
|
4.500% |
|
2/11/18 |
|
Ba3 |
|
1,249,224 |
| ||||
|
470 |
|
Knology, Inc., Term Loan |
|
4.000% |
|
8/18/17 |
|
B+ |
|
455,647 |
| ||||
|
2,450 |
|
Mediacom Broadband LLC, Tranche D, Term Loan |
|
5.500% |
|
3/31/17 |
|
BB- |
|
2,404,062 |
| ||||
|
545 |
|
Nielsen Finance LLC, Term Loan C |
|
3.476% |
|
5/02/16 |
|
Ba2 |
|
528,721 |
| ||||
|
670 |
|
SuperMedia, Term Loan |
|
8.000% |
|
12/31/15 |
|
B- |
|
300,456 |
| ||||
|
1,956 |
|
Univision Communications, Inc., Term Loan |
|
4.489% |
|
3/31/17 |
|
B+ |
|
1,666,641 |
| ||||
|
1,000 |
|
UPC Broadband Holding BV, Term Loan N |
|
3.722% |
|
12/31/17 |
|
Ba3 |
|
957,500 |
| ||||
|
1,570 |
|
Yell Group PLC, Term Loan |
|
3.989% |
|
7/31/14 |
|
N/R |
|
514,936 |
| ||||
|
13,407 |
|
Total Media |
|
|
|
|
|
|
|
11,328,659 |
| ||||
|
|
|
Metals & Mining – 0.5% |
|
|
|
|
|
|
|
|
| ||||
|
1,164 |
|
Walter Energy, Term Loan |
|
4.000% |
|
4/02/18 |
|
BB- |
|
1,129,128 |
| ||||
|
|
|
Multiline Retail – 0.9% |
|
|
|
|
|
|
|
|
| ||||
|
998 |
|
Bass Pro Group LLC, Term Loan B |
|
5.254% |
|
6/13/17 |
|
BB- |
|
958,223 |
| ||||
|
1,000 |
|
Neiman Marcus Group, Inc., Term Loan |
|
4.750% |
|
5/16/18 |
|
BB- |
|
929,583 |
| ||||
|
1,998 |
|
Total Multiline Retail |
|
|
|
|
|
|
|
1,887,806 |
| ||||
|
|
|
Personal Products – 0.4% |
|
|
|
|
|
|
|
|
| ||||
|
928 |
|
NBTY, Inc., Term Loan B1 |
|
4.250% |
|
10/01/17 |
|
BB- |
|
901,485 |
| ||||
|
|
|
Pharmaceuticals – 0.9% |
|
|
|
|
|
|
|
|
| ||||
|
884 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
861,849 |
| ||||
|
442 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
430,925 |
| ||||
|
608 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
592,521 |
| ||||
|
1,934 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
1,885,295 |
| ||||
|
|
|
Real Estate Investment Trust – 0.3% |
|
|
|
|
| ||||||||
|
714 |
|
iStar Financial, Inc., Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
694,023 |
| ||||
|
|
|
Real Estate Management & Development – 0.7% |
|
|
|
|
| ||||||||
|
975 |
|
Capital Automotive LP, Tranche B |
|
5.000% |
|
3/11/17 |
|
Ba3 |
|
932,483 |
| ||||
|
427 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
419,099 |
| ||||
|
1,402 |
|
Total Real Estate Management & Development |
|
|
|
|
|
|
|
1,351,582 |
| ||||
|
|
|
Road & Rail – 0.4% |
|
|
|
|
|
|
|
|
| ||||
|
901 |
|
Swift Transportation Company, Inc., Term Loan |
|
6.000% |
|
12/21/16 |
|
BB- |
|
878,036 |
| ||||
|
|
|
Semiconductors & Equipment – 1.3% |
|
|
|
|
| ||||||||
|
1,981 |
|
Freescale Semiconductor, Inc., Term Loan |
|
4.472% |
|
12/01/16 |
|
Ba3 |
|
1,819,648 |
| ||||
|
995 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/04/17 |
|
B2 |
|
936,545 |
| ||||
|
2,976 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
2,756,193 |
| ||||
|
|
|
Specialty Retail – 1.8% |
|
|
|
|
|
|
|
|
| ||||
|
741 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B |
|
6.250% |
|
2/23/17 |
|
B- |
|
713,778 |
| ||||
|
998 |
|
J Crew Group, Term Loan |
|
4.750% |
|
3/07/18 |
|
B1 |
|
892,763 |
| ||||
|
1,829 |
|
Jo-Ann Stores, Inc., Term Loan |
|
4.750% |
|
3/16/18 |
|
B+ |
|
1,705,310 |
| ||||
|
488 |
|
Pilot Travel Centers LLC, Term Loan |
|
4.250% |
|
3/30/18 |
|
BB+ |
|
482,829 |
| ||||
|
4,056 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
3,794,680 |
| ||||
|
$ 81,572 |
|
Total Variable Rate Senior Loan Interests (cost $80,687,564) |
|
|
|
75,561,529 |
| ||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
Principal |
|
Description (1) |
|
|
Coupon |
|
Maturity |
|
Ratings (5) |
|
Value |
| |||
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds – 30.1% |
|
|
|
|
|
|
| ||||||
|
|
|
Argentina – 0.9% |
|
|
|
|
|
|
| ||||||
|
250 |
|
City of Buenos Aires, Argentina, 144A |
|
|
12.500% |
|
4/06/15 |
|
B2 |
|
$ 247,500 |
| |||
|
571 EUR |
|
Republic of Argentina |
|
|
2.260% |
|
12/31/38 |
|
B |
|
217,994 |
| |||
|
1,820 |
|
Republic of Argentina |
|
|
2.500% |
|
12/31/38 |
|
B |
|
614,250 |
| |||
|
474 EUR |
|
Republic of Argentina |
|
|
7.820% |
|
12/31/33 |
|
B |
|
364,800 |
| |||
|
487 |
|
Republic of Argentina |
|
|
8.280% |
|
12/31/33 |
|
B- |
|
321,679 |
| |||
|
164 |
|
Republic of Argentina |
|
|
8.280% |
|
12/31/33 |
|
B |
|
112,401 |
| |||
|
|
|
Total Argentina |
|
|
|
|
|
|
|
|
1,878,624 |
| |||
|
|
|
Brazil – 2.0% |
|
|
|
|
|
|
|
|
|
| |||
|
155 |
|
Banco Bradesco Cayman, 144A |
|
|
5.900% |
|
1/16/21 |
|
Baa1 |
|
151,125 |
| |||
|
525 |
|
Banco de Brazil, 144A |
|
|
5.875% |
|
1/26/22 |
|
Baa1 |
|
500,063 |
| |||
|
305 |
|
Banco Nacional de Desenvolvimento Economico e Social, Reg S |
|
|
6.369% |
|
6/16/18 |
|
BBB- |
|
333,975 |
| |||
|
255 |
|
Banco de Nordeste do Brasil, 144A |
|
|
3.625% |
|
11/09/15 |
|
Baa2 |
|
251,175 |
| |||
|
225 |
|
Cia Brasileira de Bebidas |
|
|
8.750% |
|
9/15/13 |
|
A- |
|
254,250 |
| |||
|
695 BRL |
|
Companhia Energetica de Sao Paulo, 144A |
|
|
9.750% |
|
1/15/15 |
|
Ba1 |
|
535,363 |
| |||
|
255 |
|
Federative Republic of Brazil |
|
|
8.750% |
|
2/04/25 |
|
Baa2 |
|
358,913 |
| |||
|
180 |
|
Federative Republic of Brazil |
|
|
10.125% |
|
5/15/27 |
|
Baa2 |
|
284,400 |
| |||
|
125 |
|
Federative Republic of Brazil |
|
|
8.250% |
|
1/20/34 |
|
Baa2 |
|
175,625 |
| |||
|
230 |
|
Federative Republic of Brazil |
|
|
7.125% |
|
1/20/37 |
|
Baa2 |
|
293,825 |
| |||
|
265 |
|
Globo Comunicacao Participacoes, S.A., 144A |
|
|
7.250% |
|
4/26/22 |
|
BBB |
|
272,950 |
| |||
|
120 |
|
Globo Comunicacao Participacoes, S.A., 144A |
|
|
6.250% |
|
7/20/50 |
|
BBB |
|
122,100 |
| |||
|
36 BRL |
|
National Treasury Note of Brazil |
|
|
6.000% |
|
5/15/15 |
|
Baa2 |
|
417,381 |
| |||
|
294 |
|
Telemar Norte Leste S.A., 144A |
|
|
5.500% |
|
10/23/20 |
|
Baa2 |
|
279,300 |
| |||
|
|
|
Total Brazil |
|
|
|
|
|
|
|
|
4,230,445 |
| |||
|
|
|
Canada – 0.3% |
|
|
|
|
|
|
|
|
|
| |||
|
375 |
|
Pacific Rubiales Energy Corporation, 144A |
|
|
8.750% |
|
11/10/16 |
|
BB |
|
402,188 |
| |||
|
265 |
|
PTTEP Canada International Limited, 144A |
|
|
5.692% |
|
4/05/21 |
|
BBB+ |
|
267,783 |
| |||
|
|
|
Total Canada |
|
|
|
|
|
|
|
|
669,971 |
| |||
|
|
|
Cayman Islands – 1.2% |
|
|
|
|
|
|
|
|
|
| |||
|
145 |
|
Braskem Finance Limited, Reg S |
|
|
7.000% |
|
5/07/20 |
|
BBB- |
|
147,175 |
| |||
|
191 |
|
Fibria Overseas Finance, 144A |
|
|
7.500% |
|
5/04/20 |
|
Ba1 |
|
179,540 |
| |||
|
150 |
|
Fibria Overseas Finance, 144A |
|
|
6.750% |
|
3/03/21 |
|
Ba1 |
|
134,250 |
| |||
|
386 |
|
IPIC GMTN LTD, 144A |
|
|
5.000% |
|
11/15/20 |
|
AA |
|
395,650 |
| |||
|
450 |
|
ITAU Unibanco Holdings S.A., 144A |
|
|
5.750% |
|
1/22/21 |
|
Baa1 |
|
436,500 |
| |||
|
551 |
|
Petrobras International Finance Company |
|
|
5.875% |
|
3/01/18 |
|
A3 |
|
573,795 |
| |||
|
480 |
|
Petrobras International Finance Company |
|
|
7.875% |
|
3/15/19 |
|
A3 |
|
556,800 |
| |||
|
|
|
Total Cayman Islands |
|
|
|
|
|
|
|
|
2,423,710 |
| |||
|
|
|
Chile – 0.7% |
|
|
|
|
|
|
|
|
|
| |||
|
125 |
|
Colbun S.A., 144A |
|
|
6.000% |
|
1/21/20 |
|
BBB- |
|
127,629 |
| |||
|
450 |
|
Corporacion Nacional del Cobre de Chile, Reg S |
|
|
5.625% |
|
9/21/35 |
|
A1 |
|
509,458 |
| |||
|
420 |
|
Corporacion Nacional del Cobre, 144A |
|
|
3.750% |
|
11/04/20 |
|
A1 |
|
417,529 |
| |||
|
195 |
|
E CL S.A, 144A |
|
|
5.625% |
|
1/15/21 |
|
BBB- |
|
203,545 |
| |||
|
55 |
|
Empresa Nacional del Petroleo, 144A |
|
|
4.875% |
|
3/15/14 |
|
A3 |
|
57,739 |
| |||
|
225 |
|
Empresa Nacional del Petroleo, Reg S |
|
|
6.250% |
|
7/08/19 |
|
A3 |
|
247,021 |
| |||
|
|
|
Total Chile |
|
|
|
|
|
|
|
|
1,562,921 |
| |||
|
|
|
China – 0.1% |
|
|
|
|
|
|
|
|
|
| |||
|
205 |
|
ENN Energy Holdings Limited, 144A |
|
|
6.000% |
|
5/13/21 |
|
BBB- |
|
198,199 |
| |||
|
500 CNY |
|
Peoples Republic China Governemnt Bond |
|
|
1.800% |
|
12/01/15 |
|
AA- |
|
79,793 |
| |||
|
|
|
Total China |
|
|
|
|
|
|
|
|
277,992 |
| |||
|
|
|
Colombia – 1.5% |
|
|
|
|
|
|
|
|
| ||||
|
395 |
|
Bancolombia S.A. |
|
|
6.125% |
|
7/26/20 |
|
Baa3 |
|
386,606 |
| |||
|
30 |
|
Republic of Colombia |
|
|
8.250% |
|
12/22/14 |
|
BBB- |
|
35,295 |
| |||
|
160 |
|
Republic of Colombia |
|
|
7.375% |
|
3/18/19 |
|
BBB- |
|
197,360 |
| |||
|
465 |
|
Republic of Colombia |
|
|
11.750% |
|
2/25/20 |
|
BBB- |
|
712,613 |
| |||
|
420,000 COP |
|
Republic of Colombia |
|
|
7.750% |
|
4/14/21 |
|
BBB- |
|
233,938 |
| |||
|
200 |
|
Republic of Colombia |
|
|
8.125% |
|
5/21/24 |
|
BBB- |
|
265,200 |
| |||
|
175,000 COP |
|
Republic of Colombia |
|
|
9.850% |
|
6/28/27 |
|
BBB- |
|
113,795 |
| |||
|
535 |
|
Republic of Colombia |
|
|
10.375% |
|
1/28/33 |
|
BBB- |
|
857,338 |
| |||
|
145 |
|
Republic of Colombia |
|
|
7.375% |
|
9/18/37 |
|
BBB- |
|
189,080 |
| |||
|
|
|
Total Colombia |
|
|
|
|
|
|
|
|
2,991,225 |
| |||
|
|
|
Costa Rica – 0.0% |
|
|
|
|
|
|
| ||||||
|
20 |
|
Republic of Costa Rica, Reg S |
|
|
9.995% |
|
8/01/20 |
|
BB+ |
|
26,950 |
| |||
|
|
|
Cote d’Ivoire (Ivory Coast) – 0.2% |
|
|
|
|
| ||||||||
|
690 |
|
Ivory Coast Republic, Reg S, (9) |
|
|
2.500% |
|
12/31/32 |
|
N/A |
|
345,000 |
| |||
|
|
|
Croatia – 0.3% |
|
|
|
|
|
|
|
|
|
| |||
|
325 |
|
Republic of Croatia, 144A |
|
|
6.750% |
|
11/05/19 |
|
BBB- |
|
314,275 |
| |||
|
130 |
|
Republic of Croatia, 144A |
|
|
6.625% |
|
7/14/20 |
|
BBB- |
|
123,825 |
| |||
|
215 |
|
Republic of Croatia, 144A |
|
|
6.375% |
|
3/24/21 |
|
BBB- |
|
198,338 |
| |||
|
|
|
Total Croatia |
|
|
|
|
|
|
|
|
636,438 |
| |||
|
|
|
Dominican Republic – 0.5% |
|
|
|
|
|
|
| ||||||
|
639 |
|
Dominican Republic, Reg S |
|
|
9.040% |
|
1/23/18 |
|
B+ |
|
693,740 |
| |||
|
375 |
|
Dominican Republic, Reg S |
|
|
7.500% |
|
5/06/21 |
|
B+ |
|
365,625 |
| |||
|
|
|
Total Dominican Republic |
|
|
|
|
|
|
|
|
1,059,365 |
| |||
|
|
|
El Salvador – 0.4% |
|
|
|
|
|
|
| ||||||
|
150 |
|
Republic of El Salvador, 144A |
|
|
7.625% |
|
2/01/41 |
|
Ba2 |
|
144,000 |
| |||
|
105 |
|
Republic of El Salvador, Reg S |
|
|
7.375% |
|
12/01/19 |
|
BB- |
|
112,350 |
| |||
|
361 |
|
Republic of El Salvador, Reg S |
|
|
7.750% |
|
1/24/23 |
|
Baa3 |
|
384,465 |
| |||
|
30 |
|
Republic of El Salvador, Reg S |
|
|
8.250% |
|
4/10/32 |
|
Baa3 |
|
31,650 |
| |||
|
75 |
|
Republic of El Salvador, Reg S |
|
|
7.625% |
|
9/21/34 |
|
Baa3 |
|
79,500 |
| |||
|
150 |
|
Republic of El Salvador, Reg S |
|
|
7.625% |
|
2/01/41 |
|
Ba2 |
|
144,000 |
| |||
|
|
|
Total El Salvador |
|
|
|
|
|
|
|
|
895,965 |
| |||
|
|
|
Germany – 0.1% |
|
|
|
|
|
|
|
|
|
| |||
|
215 |
|
Rearden G Holdings, 144A |
|
|
7.875% |
|
3/30/20 |
|
BB- |
|
208,550 |
| |||
|
|
|
Hungary – 0.6% |
|
|
|
|
|
|
|
|
|
| |||
|
20 EUR |
|
Republic of Hungary, Government Bond |
|
|
4.375% |
|
7/04/17 |
|
BBB- |
|
24,148 |
| |||
|
90 EUR |
|
Republic of Hungary, Government Bond |
|
|
5.750% |
|
6/11/18 |
|
BBB- |
|
116,056 |
| |||
|
145 EUR |
|
Republic of Hungary, Government Bond |
|
|
6.000% |
|
1/11/19 |
|
BBB- |
|
185,561 |
| |||
|
140 EUR |
|
Republic of Hungary, Government Bond |
|
|
3.875% |
|
2/24/20 |
|
BBB- |
|
152,397 |
| |||
|
322 |
|
Republic of Hungary, Government Bond |
|
|
6.375% |
|
3/29/21 |
|
BBB- |
|
313,306 |
| |||
|
400 |
|
Republic of Hungary, Government Bond |
|
|
7.625% |
|
3/29/41 |
|
BBB- |
|
390,000 |
| |||
|
|
|
Total Hungary |
|
|
|
|
|
|
|
|
1,181,468 |
| |||
|
|
|
Indonesia – 2.7% |
|
|
|
|
|
|
| ||||||
|
410 |
|
Majapahit Holdings BV, Reg S |
|
|
8.000% |
|
8/07/19 |
|
BB |
|
459,200 |
| |||
|
620 |
|
Republic of Indonesia, Reg S |
|
|
6.750% |
|
3/10/14 |
|
BB+ |
|
666,500 |
| |||
|
590 |
|
Republic of Indonesia, Reg S |
|
|
10.375% |
|
5/04/14 |
|
BB+ |
|
688,825 |
| |||
|
520 |
|
Republic of Indonesia, Reg S |
|
|
7.250% |
|
4/20/15 |
|
BB+ |
|
579,800 |
| |||
|
625 |
|
Republic of Indonesia, Reg S |
|
|
7.500% |
|
1/15/16 |
|
BB+ |
|
710,938 |
| |||
|
330 |
|
Republic of Indonesia, Reg S |
|
|
6.875% |
|
1/17/18 |
|
BB+ |
|
370,425 |
| |||
|
890 |
|
Republic of Indonesia, Reg S |
|
|
11.625% |
|
3/04/19 |
|
BB+ |
|
1,266,025 |
| |||
|
125 |
|
Republic of Indonesia, Reg S |
|
|
8.500% |
|
10/12/35 |
|
BB+ |
|
168,750 |
| |||
|
560 |
|
Republic of Indonesia, Reg S |
|
|
7.750% |
|
1/17/38 |
|
BB+ |
|
702,800 |
| |||
|
|
|
Total Indonesia |
|
|
|
|
|
|
|
|
5,613,263 |
| |||
|
|
|
Ireland – 0.1% |
|
|
|
|
|
|
|
|
|
| |||
|
290 |
|
Vnesheconobank, 144A |
|
|
6.800% |
|
11/22/25 |
|
Baa1 |
|
273,325 |
| |||
|
|
|
Kazakhstan – 0.9% |
|
|
|
|
|
|
| ||||||
|
330 |
|
Kazakhstan Development Bank |
|
|
6.500% |
|
6/03/20 |
|
BBB |
|
326,700 |
| |||
|
240 |
|
Kazakhstan Development Bank, Reg S |
|
|
5.500% |
|
12/20/15 |
|
BBB |
|
227,400 |
| |||
|
225 |
|
Kazatomprom, Reg S |
|
|
6.250% |
|
5/20/15 |
|
Baa3 |
|
226,688 |
| |||
|
430 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
|
11.750% |
|
1/23/15 |
|
BBB- |
|
492,350 |
| |||
|
265 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
|
9.125% |
|
7/02/18 |
|
BBB- |
|
298,125 |
| |||
|
180 |
|
KazMuniaGaz Finance Subsidiary, Reg S |
|
|
9.125% |
|
7/02/18 |
|
Baa1 |
|
202,500 |
| |||
|
150 |
|
Tengizchevroil LLP, 144A |
|
|
6.124% |
|
11/15/14 |
|
Baa2 |
|
151,638 |
| |||
|
|
|
Total Kazakhstan |
|
|
|
|
|
|
|
|
1,925,401 |
| |||
|
|
|
Lithuania – 0.5% |
|
|
|
|
|
|
|
|
|
| |||
|
175 |
|
Republic of Lithuania, 144A |
|
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
188,125 |
| |||
|
145 |
|
Republic of Lithuania, 144A |
|
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
142,100 |
| |||
|
610 |
|
Republic of Lithuania, Reg S |
|
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
655,750 |
| |||
|
115 |
|
Republic of Lithuania, Reg S |
|
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
112,700 |
| |||
|
|
|
Total Lithuania |
|
|
|
|
|
|
|
|
1,098,675 |
| |||
|
|
|
Luxembourg – 0.8% |
|
|
|
|
|
|
|
|
|
| |||
|
290 |
|
Alrosa Finance SA, 144A |
|
|
7.750% |
|
11/03/20 |
|
BB- |
|
273,325 |
| |||
|
755 |
|
Sberbank of Russia Loan |
|
|
5.717% |
|
6/16/21 |
|
Baa1 |
|
683,275 |
| |||
|
470 |
|
VTB Bank, Reg S |
|
|
6.315% |
|
2/22/18 |
|
A3 |
|
440,367 |
| |||
|
265 |
|
VTB Capital S.A. |
|
|
6.551% |
|
10/13/20 |
|
BBB |
|
245,960 |
| |||
|
|
|
Total Luxembourg |
|
|
|
|
|
|
|
|
1,642,927 |
| |||
|
|
|
Malaysia – 0.8% |
|
|
|
|
|
|
|
|
|
| |||
|
765 |
|
Penerbangan Malaysia Berhad, Reg S |
|
|
5.625% |
|
3/15/16 |
|
A- |
|
846,168 |
| |||
|
565 |
|
Petronas Capital Limited, 144A |
|
|
5.250% |
|
8/12/19 |
|
A1 |
|
617,058 |
| |||
|
285 |
|
Petronas Capital Limited, Reg S |
|
|
5.250% |
|
8/12/19 |
|
A1 |
|
311,259 |
| |||
|
|
|
Total Malaysia |
|
|
|
|
|
|
|
|
1,774,485 |
| |||
|
|
|
Mexico – 2.2% |
|
|
|
|
|
|
|
|
|
| |||
|
185 |
|
America Movil S.A. de C.V. |
|
|
6.125% |
|
3/30/40 |
|
A2 |
|
192,400 |
| |||
|
8,660 MXN |
|
Mexico Bonos de DeSarrollo |
|
|
8.000% |
|
6/11/20 |
|
A- |
|
691,437 |
| |||
|
9,000 MXN |
|
Mexico Bonos de DeSarrollo |
|
|
6.500% |
|
6/10/21 |
|
A- |
|
648,877 |
| |||
|
260 |
|
Pemex Project Funding Master Trust |
|
|
6.625% |
|
6/15/35 |
|
Baa1 |
|
278,850 |
| |||
|
325 |
|
Petroleos Mexicanos, 144A |
|
|
6.500% |
|
6/02/41 |
|
Baa1 |
|
336,375 |
| |||
|
396 |
|
United Mexican States |
|
|
5.750% |
|
10/12/11 |
|
Baa1 |
|
390,060 |
| |||
|
790 |
|
United Mexican States |
|
|
5.875% |
|
2/17/14 |
|
Baa1 |
|
854,780 |
| |||
|
272 |
|
United Mexican States |
|
|
5.625% |
|
1/15/17 |
|
Baa1 |
|
303,008 |
| |||
|
77 EUR |
|
United Mexican States |
|
|
11.000% |
|
5/08/17 |
|
Baa1 |
|
134,925 |
| |||
|
114 |
|
United Mexican States |
|
|
5.950% |
|
3/19/19 |
|
Baa1 |
|
129,390 |
| |||
|
180 |
|
United Mexican States |
|
|
5.125% |
|
1/15/20 |
|
Baa1 |
|
194,850 |
| |||
|
120 |
|
United Mexican States |
|
|
7.500% |
|
4/08/33 |
|
Baa1 |
|
158,820 |
| |||
|
200 |
|
United Mexican States |
|
|
6.750% |
|
9/27/34 |
|
Baa1 |
|
246,000 |
| |||
|
44 |
|
United Mexican States |
|
|
6.050% |
|
1/11/40 |
|
Baa1 |
|
49,720 |
| |||
|
|
|
Total Mexico |
|
|
|
|
|
|
|
|
4,609,492 |
| |||
|
|
|
Netherlands – 0.3% |
|
|
|
|
|
|
|
|
|
| |||
|
375 |
|
Kazakhstan Temir Zholy JSC, Reg S |
|
|
7.000% |
|
5/13/16 |
|
BBB- |
|
384,649 |
| |||
|
279 |
|
Waha Aerospace BV, 144A |
|
|
3.925% |
|
7/28/20 |
|
AA |
|
286,673 |
| |||
|
|
|
Total Netherlands |
|
|
|
|
|
|
|
|
671,322 |
| |||
|
|
|
Panama – 1.0% |
|
|
|
|
|
|
|
|
|
| |||
|
180 |
|
AES Panama, Reg S |
|
|
6.350% |
|
12/21/16 |
|
BBB- |
|
192,600 |
| |||
|
43 |
|
Republic of Panama |
|
|
7.250% |
|
3/15/15 |
|
BBB- |
|
49,171 |
| |||
|
135 |
|
Republic of Panama |
|
|
5.200% |
|
1/30/20 |
|
BBB- |
|
147,758 |
| |||
|
585 |
|
Republic of Panama |
|
|
7.125% |
|
1/29/26 |
|
BBB- |
|
732,128 |
| |||
|
615 |
|
Republic of Panama |
|
|
8.875% |
|
9/30/27 |
|
BBB- |
|
879,450 |
| |||
|
|
|
Total Panama |
|
|
|
|
|
|
|
|
2,001,107 |
| |||
|
|
|
Peru – 1.2% |
|
|
|
|
|
|
|
|
|
| |||
|
125 |
|
Republic of Peru |
|
|
9.875% |
|
2/06/15 |
|
BBB |
|
152,938 |
| |||
|
249 PEN |
|
Republic of Peru, Reg S |
|
|
7.840% |
|
8/12/20 |
|
BBB+ |
|
101,629 |
| |||
|
900 |
|
Republic of Peru |
|
|
8.750% |
|
11/21/33 |
|
BBB |
|
1,276,650 |
| |||
|
150 |
|
Republic of Peru |
|
|
5.625% |
|
11/18/50 |
|
BBB |
|
150,000 |
| |||
|
655 |
|
Republic of Peru |
|
|
8.375% |
|
5/03/16 |
|
BBB |
|
799,100 |
| |||
|
|
|
Total Peru |
|
|
|
|
|
|
|
|
2,480,317 |
| |||
|
|
|
Philippines – 1.3% |
|
|
|
|
|
|
| ||||||
|
380 |
|
Power Sector Assets & Liabilities Management (PSALM) |
|
|
9.625% |
|
5/15/28 |
|
BB |
|
511,100 |
| |||
|
201 |
|
Republic of the Philippines |
|
|
8.000% |
|
1/15/16 |
|
BB |
|
239,944 |
| |||
|
220 |
|
Republic of the Philippines |
|
|
9.375% |
|
1/18/17 |
|
BB |
|
278,025 |
| |||
|
230 |
|
Republic of the Philippines |
|
|
9.875% |
|
1/15/19 |
|
BB |
|
308,200 |
| |||
|
115 |
|
Republic of the Philippines |
|
|
8.375% |
|
6/17/19 |
|
BB |
|
145,475 |
| |||
|
530 |
|
Republic of the Philippines |
|
|
7.500% |
|
9/25/24 |
|
BB |
|
638,650 |
| |||
|
270 |
|
Republic of the Philippines |
|
|
10.625% |
|
3/16/25 |
|
BB |
|
407,700 |
| |||
|
65 |
|
Republic of the Philippines |
|
|
9.500% |
|
2/02/30 |
|
BB |
|
95,063 |
| |||
|
|
|
Total Philipines |
|
|
|
|
|
|
|
|
2,624,157 |
| |||
|
|
|
Poland – 0.8% |
|
|
|
|
|
|
|
|
|
| |||
|
670 |
|
Republic of Poland |
|
|
3.875% |
|
7/16/15 |
|
A2 |
|
679,045 |
| |||
|
140 |
|
Republic of Poland |
|
|
6.375% |
|
7/15/19 |
|
A2 |
|
154,000 |
| |||
|
695 |
|
Republic of Poland |
|
|
5.125% |
|
4/21/21 |
|
A2 |
|
693,263 |
| |||
|
120 EUR |
|
Republic of Poland |
|
|
5.250% |
|
1/20/25 |
|
A2 |
|
155,545 |
| |||
|
|
|
Total Poland |
|
|
|
|
|
|
|
|
1,681,853 |
| |||
|
|
|
Qatar – 0.5% |
|
|
|
|
|
|
|
|
|
| |||
|
282 |
|
Nakilat, Inc., Reg S |
|
|
6.067% |
|
12/31/33 |
|
AA- |
|
304,560 |
| |||
|
682 |
|
State of Qatar, Reg S |
|
|
4.000% |
|
1/20/15 |
|
AA |
|
717,805 |
| |||
|
35 |
|
State of Qatar, Reg S |
|
|
9.750% |
|
6/15/30 |
|
AA |
|
56,000 |
| |||
|
|
|
Total Qatar |
|
|
|
|
|
|
|
|
1,078,365 |
| |||
|
|
|
Russian Federation – 2.1% |
|
|
|
|
|
|
| ||||||
|
1,100 |
|
Russian Federation, 144A |
|
|
3.625% |
|
4/29/15 |
|
Baa1 |
|
1,080,750 |
| |||
|
300 |
|
Russian Federation, 144A |
|
|
5.000% |
|
4/29/20 |
|
Baa1 |
|
294,750 |
| |||
|
900 |
|
Russian Federation, Reg S |
|
|
3.625% |
|
4/29/15 |
|
Baa1 |
|
884,250 |
| |||
|
180 |
|
Russian Federation, Reg S |
|
|
11.000% |
|
7/24/18 |
|
BBB |
|
243,711 |
| |||
|
800 |
|
Russian Federation, Reg S |
|
|
5.000% |
|
4/29/20 |
|
Baa1 |
|
786,000 |
| |||
|
476 |
|
Russian Federation, Reg S |
|
|
7.500% |
|
3/31/30 |
|
Baa1 |
|
534,887 |
| |||
|
375 |
|
Russian Ministry of Finance, Reg S |
|
|
12.750% |
|
6/24/28 |
|
Baa1 |
|
620,625 |
| |||
|
|
|
Total Russian Federation |
|
|
|
|
|
|
|
|
4,444,973 |
| |||
|
|
|
Serbia – 0.1% |
|
|
|
|
|
|
|
|
|
| |||
|
265 |
|
Republic of Serbia, 144A |
|
|
7.250% |
|
9/28/21 |
|
BB |
|
243,800 |
| |||
|
|
|
South Africa – 0.9% |
|
|
|
|
|
|
|
|
| ||||
|
200 |
|
Esckom Holdings Limited, Reg S |
|
|
5.750% |
|
1/26/21 |
|
BBB+ |
|
202,000 |
| |||
|
190 |
|
Republic of South Africa |
|
|
7.375% |
|
4/25/12 |
|
A3 |
|
196,175 |
| |||
|
4,765 ZAR |
|
Republic of South Africa |
|
|
8.000% |
|
12/21/18 |
|
A |
|
587,887 |
| |||
|
385 |
|
Republic of South Africa |
|
|
6.875% |
|
5/27/19 |
|
A3 |
|
458,150 |
| |||
|
335 |
|
Transnet Limited, 144A |
|
|
4.500% |
|
2/10/16 |
|
A3 |
|
344,229 |
| |||
|
|
|
Total South Africa |
|
|
|
|
|
|
|
|
1,788,441 |
| |||
|
|
|
South Korea – 0.2% |
|
|
|
|
|
|
|
|
| ||||
|
135 |
|
Korea Development Bank |
|
|
8.000% |
|
1/23/14 |
|
A1 |
|
149,964 |
| |||
|
115 |
|
National Agricutlural Cooperative Federation, Reg S |
|
|
5.000% |
|
9/30/14 |
|
A |
|
120,169 |
| |||
|
140 |
|
Republic of Korea |
|
|
5.750% |
|
4/16/14 |
|
A1 |
|
150,539 |
| |||
|
|
|
Total South Korea |
|
|
|
|
|
|
|
|
420,672 |
| |||
|
|
|
Sri Lanka - 0.2% |
|
|
|
|
|
|
|
|
| ||||
|
170 |
|
Republic of Sri Lanka, 144A |
|
|
6.250% |
|
10/04/20 |
|
B+ |
|
164,050 |
| |||
|
200 |
|
Republic of Sri Lanka, 144A |
|
|
6.250% |
|
7/27/21 |
|
B+ |
|
192,301 |
| |||
|
|
|
Total Sri Lanka |
|
|
|
|
|
|
|
|
356,351 |
| |||
|
|
|
Turkey – 1.3% |
|
|
|
|
|
|
|
|
|
| |||
|
135 |
|
Republic of Turkey, Government Bond |
|
|
7.250% |
|
3/15/15 |
|
BB |
|
149,006 |
| |||
|
1,220 |
|
Republic of Turkey, Government Bond |
|
|
7.000% |
|
9/26/16 |
|
BB |
|
1,348,100 |
| |||
|
160 |
|
Republic of Turkey, Government Bond |
|
|
7.500% |
|
7/14/17 |
|
BB |
|
182,000 |
| |||
|
185 |
|
Republic of Turkey, Government Bond |
|
|
6.750% |
|
4/03/18 |
|
BB |
|
203,038 |
| |||
|
130 |
|
Republic of Turkey, Government Bond |
|
|
7.000% |
|
6/05/20 |
|
BB |
|
145,600 |
| |||
|
225 |
|
Republic of Turkey, Government Bond |
|
|
5.625% |
|
3/30/21 |
|
BB |
|
230,063 |
| |||
|
165 |
|
Republic of Turkey, Government Bond |
|
|
6.875% |
|
3/17/36 |
|
BB |
|
175,725 |
| |||
|
400 |
|
Republic of Turkey, Government Bond |
|
|
6.000% |
|
1/14/41 |
|
Ba2 |
|
381,000 |
| |||
|
|
|
Total Turkey |
|
|
|
|
|
|
|
|
2,814,532 |
| |||
|
|
|
Ukraine – 1.2% |
|
|
|
|
|
|
|
|
|
| |||
|
105 |
|
Naftogaz Ukraine |
|
|
9.500% |
|
9/30/14 |
|
N/A |
|
100,275 |
| |||
|
100 |
|
Republic of Ukraine, 144A |
|
|
6.875% |
|
9/23/15 |
|
B+ |
|
92,000 |
| |||
|
860 |
|
Republic of Ukraine, 144A |
|
|
6.250% |
|
6/17/16 |
|
B+ |
|
764,325 |
| |||
|
1,010 |
|
Republic of Ukraine, Reg S |
|
|
7.650% |
|
6/11/13 |
|
B+ |
|
967,075 |
| |||
|
115 |
|
Republic of Ukraine, Reg S |
|
|
7.750% |
|
9/23/20 |
|
B+ |
|
104,133 |
| |||
|
466 |
|
Ukraine Cabinet Ministers, 144A |
|
|
7.950% |
|
2/23/21 |
|
B+ |
|
421,730 |
| |||
|
|
|
Total Ukraine |
|
|
|
|
|
|
|
|
2,449,538 |
| |||
|
|
|
United Arab Emirates – 0.2% |
|
|
|
|
|
|
|
|
|
| |||
|
242 |
|
Dubai Electricity and Water Authority, 144A |
|
|
7.375% |
|
10/21/20 |
|
Ba2 |
|
233,529 |
| |||
|
100 |
|
Emirate of Abu Dhabi, Reg S |
|
|
6.750% |
|
4/8/2019 |
|
Aa2 |
|
129,999 |
| |||
|
|
|
Total United Arab Emirates |
|
|
|
|
|
|
|
|
353,528 |
| |||
|
|
|
United Kingdom – 0.1% |
|
|
|
|
|
|
|
|
|
| |||
|
245 |
|
Vedanta Resources, PLC, 144A |
|
|
8.250% |
|
6/07/21 |
|
BB |
|
188,650 |
| |||
|
|
|
Uruguay – 0.8% |
|
|
|
|
|
|
|
|
|
| |||
|
565 |
|
Republic of Uruguay |
|
|
9.250% |
|
5/17/17 |
|
Ba1 |
|
717,549 |
| |||
|
596 |
|
Republic of Uruguay |
|
|
7.875% |
|
1/15/33 |
|
BBB- |
|
748,888 |
| |||
|
237 |
|
Republic of Uruguay |
|
|
7.625% |
|
3/21/36 |
|
BBB- |
|
292,265 |
| |||
|
|
|
Total Uruguay |
|
|
|
|
|
|
|
|
1,758,702 |
| |||
|
|
|
Venezuela – 1.1% |
|
|
|
|
|
|
|
|
| ||||
|
410 |
|
Republic of Venezuela, Reg S |
|
|
12.750% |
|
8/23/22 |
|
B+ |
|
324,924 |
| |||
|
370 |
|
Republic of Venezuela |
|
|
9.250% |
|
9/15/27 |
|
B+ |
|
234,949 |
| |||
|
165 |
|
Republic of Venezuela, Reg S |
|
|
7.000% |
|
12/01/18 |
|
B+ |
|
104,362 |
| |||
|
237 |
|
Republic of Venezuela, Reg S |
|
|
9.000% |
|
5/07/23 |
|
B+ |
|
146,753 |
| |||
|
955 |
|
Republic of Venezuela, Reg S |
|
|
9.250% |
|
5/07/28 |
|
B+ |
|
587,324 |
| |||
|
665 |
|
Pertoleos de Venzuela S.A. |
|
|
5.250% |
|
4/12/17 |
|
B+ |
|
373,893 |
| |||
|
485 |
|
Pertoleos de Venzuela S.A., Reg S |
|
|
8.500% |
|
11/02/17 |
|
B+ |
|
318,887 |
| |||
|
475 |
|
Pertoleos de Venzuela S.A., 144A |
|
|
8.500% |
|
11/02/17 |
|
B+ |
|
312,312 |
| |||
|
|
|
Total Venezuela |
|
|
|
|
|
|
|
|
2,403,404 |
| |||
|
|
|
Total Emerging Markets Debt and Foreign Corporate Bonds (cost $62,706,860) |
|
|
|
63,085,904 |
| ||||||||
|
Principal |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
|
|
|
|
Short-Term Investments – 5.3% (3.8% of Total Investments) |
|
|
|
|
| ||||
|
$ 7,148 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/11, repurchase price $7,147,849, collateralized by $6,385,000 U.S. Treasury Notes, 3.500%, due 2/15/18, value $7,294,863 |
|
0.010% |
|
10/03/11 |
|
|
|
$ 7,147,843 |
|
|
3,969 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/11, repurchase price $3,969,069, collateralized by $3,825,000 U.S. Treasury Notes, 2.125%, due 11/30/14, value $4,049,719 |
|
0.010% |
|
10/03/11 |
|
|
|
3,969,066 |
|
|
$ 11,117 |
|
Total Short-Term Investments (cost $11,116,909) |
|
|
|
|
|
|
|
11,116,909 |
|
|
|
|
Total Investments (cost $299,556,881) – 140.6% |
|
|
|
|
|
|
|
294,533,865 |
|
|
|
|
Borrowings – (38.1)% (10) |
|
|
|
|
|
|
|
(79,800,000) |
|
|
|
|
Other Assets Less Liabilities – (2.5)% (11) |
|
|
|
|
|
|
|
(5,218,171) |
|
|
|
|
Net Assets Applicable to Common Shares – 100% |
|
|
|
|
|
|
|
$ 209,515,694 |
|
Investments in Derivatives at September 30, 2011:
Call Options Written outstanding:
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
|
|
Contracts |
|
Type |
|
Amount (12) |
|
Date |
|
Price |
|
Value |
|
|
(200) |
|
Barrick Gold Corporation |
|
$ (1,050,000) |
|
1/21/12 |
|
$ 52.5 |
|
$ (48,700) |
|
|
(200) |
|
Total Call Options Written (premiums received $66,394) |
|
(1,050,000) |
|
|
|
|
|
$ (48,700) |
|
|
Forward Foreign Currency Exchange Contracts outstanding: |
|
|
| ||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation |
|
|
|
|
|
|
Amount |
|
In Exchange For |
|
Amount |
|
Settlement |
|
(Depreciation) |
|
|
Counterparty |
|
Currency Contracts to Deliver |
|
(Local Currency) |
|
Currency |
|
(Local Currency) |
|
Date |
|
(U.S. Dollars) |
|
|
RBC |
|
Brazilian Real |
|
120,000 |
|
U.S. Dollar |
|
68,827 |
|
12/02/11 |
|
$ 5,819 |
|
|
RBC |
|
Brazilian Real |
|
1,647,000 |
|
U.S. Dollar |
|
1,007,956 |
|
12/02/11 |
|
143,169 |
|
|
Bank of America |
|
Colombian Peso |
|
353,872,000 |
|
U.S. Dollar |
|
186,494 |
|
12/21/11 |
|
4,086 |
|
|
Morgan Stanley |
|
Colombian Peso |
|
383,361,000 |
|
U.S. Dollar |
|
201,982 |
|
12/21/11 |
|
4,373 |
|
|
Barclays Bank PLC |
|
Euro |
|
1,093,000 |
|
U.S. Dollar |
|
1,509,050 |
|
12/21/11 |
|
45,185 |
|
|
HSBC |
|
Mexican Peso |
|
1,475,000 |
|
U.S. Dollar |
|
107,024 |
|
12/21/11 |
|
1,437 |
|
|
JPMorgan Chase |
|
Mexican Peso |
|
1,475,000 |
|
U.S. Dollar |
|
107,226 |
|
12/21/11 |
|
1,639 |
|
|
JPMorgan Chase |
|
Mexican Peso |
|
4,482,000 |
|
U.S. Dollar |
|
348,809 |
|
12/21/11 |
|
27,968 |
|
|
Citibank |
|
Mexican Peso |
|
6,706,000 |
|
U.S. Dollar |
|
526,849 |
|
12/21/11 |
|
46,805 |
|
|
Credit Suisse |
|
New Russian Ruble |
|
1,990,000 |
|
U.S. Dollar |
|
60,736 |
|
11/18/11 |
|
(606 |
) |
|
Credit Suisse |
|
New Russian Ruble |
|
7,960,000 |
|
U.S. Dollar |
|
242,794 |
|
11/18/11 |
|
(2,573 |
) |
|
Credit Suisse |
|
South African Rand |
|
4,607,000 |
|
U.S. Dollar |
|
623,537 |
|
12/21/11 |
|
59,222 |
|
|
Brown Brothers Harriman |
|
U.S. Dollar |
|
26,582 |
|
Brazilian Real |
|
50,000 |
|
12/02/11 |
|
(328 |
) |
|
Bank of America |
|
U.S. Dollar |
|
52,116 |
|
Colombian Peso |
|
101,000,000 |
|
12/21/11 |
|
(54 |
) |
|
Barclays Bank PLC |
|
U.S. Dollar |
|
114,257 |
|
Euro |
|
85,000 |
|
12/21/11 |
|
(415 |
) |
|
Deutsche Bank |
|
U.S. Dollar |
|
173,912 |
|
Kazakhstan Tenge |
|
25,579,000 |
|
10/07/11 |
|
(1,297 |
) |
|
JPMorgan Chase |
|
U.S. Dollar |
|
338,710 |
|
Malaysian Ringgit |
|
1,050,000 |
|
12/21/11 |
|
(10,651 |
) |
|
Credit Suisse |
|
U.S. Dollar |
|
343,340 |
|
New Russian Ruble |
|
9,950,000 |
|
11/18/11 |
|
(36,632 |
) |
|
Citibank |
|
U.S. Dollar |
|
121,080 |
|
Peruvian Nuevo Sol |
|
332,000 |
|
12/21/11 |
|
(2,319 |
) |
|
Bank of America |
|
U.S. Dollar |
|
121,356 |
|
Peruvian Nuevo Sol |
|
333,000 |
|
12/21/11 |
|
(2,238 |
) |
|
HSBC |
|
U.S. Dollar |
|
307,504 |
|
Polish Zloty |
|
980,000 |
|
12/21/11 |
|
(13,952 |
) |
|
Standard Chartered Bank |
|
U.S. Dollar |
|
335,076 |
|
South Korean Won |
|
371,030,000 |
|
12/21/11 |
|
(21,420 |
) |
|
JPMorgan Chase |
|
U.S. Dollar |
|
712,033 |
|
Yuan Renminbi |
|
4,515,000 |
|
9/27/12 |
|
827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$248,045 |
|
Interest Rate Swaps outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
Floating Rate |
|
|
|
Payment |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Index |
|
Fixed Rate* |
|
Frequency |
|
Date |
|
(Depreciation) |
|
|
JPMorgan |
|
$19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
0.360% |
|
Monthly |
|
3/21/12 |
|
$ (3,265) |
|
|
JPMorgan |
|
19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.193% |
|
Monthly |
|
3/21/14 |
|
(334,282) |
|
|
Morgan Stanley |
|
19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.064% |
|
Monthly |
|
3/21/16 |
|
(913,518) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (1,251,065) |
|
* Annualized
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
Fair Value Measurements |
| |||||||||||||||||||||||||
|
|
|
Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below: |
| |||||||||||||||||||||||||
|
|
|
Level 1 - Quoted prices in active markets for identical securities. |
| |||||||||||||||||||||||||
|
|
|
Level 2 - Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
| |||||||||||||||||||||||||
|
|
|
Level 3 - Significant unobservable inputs (including management’s assumptions in determining the fair value of investments). |
| |||||||||||||||||||||||||
|
|
|
The inputs or methodologies used for valuing securities are not an indication of the risk associated with investing in those securities. |
| |||||||||||||||||||||||||
|
|
|
The following is a summary of the Fund’s fair value measurements as of September 30, 2011: |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
| |||||||||||||||||
|
|
|
Investments: |
|
|
|
|
|
|
|
|
| |||||||||||||||||
|
|
|
Common Stocks* |
|
$ 66,194,233 |
|
$ 1,261,365 |
|
$ — |
|
$ 67,455,598 |
| |||||||||||||||||
|
|
|
REIT Common Stocks |
|
75,706,112 |
|
— |
|
— |
|
75,706,112 |
| |||||||||||||||||
|
|
|
Capital Preferred Securities |
|
— |
|
1,607,813 |
|
— |
|
1,607,813 |
| |||||||||||||||||
|
|
|
Variable Rate Senior Loan Interests |
|
— |
|
75,561,529 |
|
— |
|
75,561,529 |
| |||||||||||||||||
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds |
|
— |
|
63,085,904 |
|
— |
|
63,085,904 |
| |||||||||||||||||
|
|
|
Short-Term Investments |
|
— |
|
11,116,909 |
|
— |
|
11,116,909 |
| |||||||||||||||||
|
|
|
Derivatives: |
|
|
|
|
|
|
|
|
| |||||||||||||||||
|
|
|
Call Options Written |
|
(48,700 |
) |
— |
|
— |
|
(48,700 |
) | |||||||||||||||||
|
|
|
Forward Foreign Currency Exchange Contracts** |
|
— |
|
248,045 |
|
— |
|
248,045 |
| |||||||||||||||||
|
|
|
Interest Rate Swaps** |
|
— |
|
(1,251,065 |
) |
— |
|
(1,251,065 |
) | |||||||||||||||||
|
|
|
Total |
|
$141,851,645 |
|
$151,630,500 |
|
$ — |
|
$293,482,145 |
| |||||||||||||||||
|
|
|
* Refer to the Fund’s Portfolio of Investments for industry breakdown of Common Stocks classified as Level 2. |
| |||||||||||||||||||||||||
|
|
|
** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
| |||||||||||||||||||||||||
|
|
|
The following is a reconciliation of the Fund’s Level 3 investments held at the beginning and end of the measurement period: |
| |||||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
|
|
|
|
|
Level 3 |
| |||||||||||||||||||||||
|
|
|
|
|
Emerging Markets |
| |||||||||||||||||||||||
|
|
|
|
|
Debt and Foreign |
| |||||||||||||||||||||||
|
|
|
|
|
Corporate Bonds |
| |||||||||||||||||||||||
|
|
|
Balance at the beginning of period |
|
$ 42,700 |
| |||||||||||||||||||||||
|
|
|
Gains (losses): |
|
|
| |||||||||||||||||||||||
|
|
|
Net realized gains (losses) |
|
— |
| |||||||||||||||||||||||
|
|
|
Net change in unrealized appreciation (depreciation) |
|
(12,200 |
) | |||||||||||||||||||||||
|
|
|
Purchases at cost |
|
— |
| |||||||||||||||||||||||
|
|
|
Sales at proceeds |
|
(30,500 |
) | |||||||||||||||||||||||
|
|
|
Net discounts (premiums) |
|
— |
| |||||||||||||||||||||||
|
|
|
Transfers in to |
|
— |
| |||||||||||||||||||||||
|
|
|
Transfers out of |
|
— |
| |||||||||||||||||||||||
|
|
|
Balance at the end of period |
|
$ — |
| |||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
During the period ended September 30, 2011, the Fund recognized no significant transfers to or from Level 1, Level 2 or Level 3. |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
Derivative Instruments and Hedging Activities
The Fund records derivative instruments at fair value, with changes in fair value recognized on the Statement of Operations, when applicable. Even though the Fund’s investments in derivatives may represent economic hedges, they are not considered to be hedge transactions for financial reporting purposes.
The following table presents the fair value of all derivative instruments held by the Fund as of September 30, 2011, the location of these instruments on the Statement of Assets and Liabilities, and the primary underlying risk exposure. |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
|
|
|
Location on the Statement of Assets and Liabilities |
| ||||||||||||||||||||||
|
|
Underlying |
|
Derivative |
|
Asset Derivatives |
|
Liability Derivatives |
| ||||||||||||||||||||
|
|
Risk Exposure |
|
Instrument |
|
Location |
|
Value |
|
Location |
|
Value |
| ||||||||||||||||
|
|
Equity Price |
|
Options |
|
— |
|
|
$ — |
|
Call options written, at value |
|
$ 48,700 |
| |||||||||||||||
|
|
Foreign Currency Exchange Rate |
|
Forward Foreign Currency Exchange Contracts |
|
Unrealized appreciation on forward foreign currency exchange contracts |
|
340,530 |
|
Unrealized depreciation on forward foreign currency exchange contracts |
|
92,485 |
| ||||||||||||||||
|
|
Interest Rate |
|
Swaps |
|
Unrealized appreciation on interest rate swaps* |
|
— |
|
Unrealized depreciation on interest rate swaps* |
|
1,251,065 |
| ||||||||||||||||
|
|
Total |
|
|
|
|
|
|
$340,530 |
|
|
|
$1,392,250 |
| |||||||||||||||
|
|
|
* Value represents cumulative unrealized appreciation (depreciation) of swap contracts as reported on the Portfolio of Investments.
|
| |||||||||||||||||||||||||
|
|
|
Income Tax Information |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
The following information is presented on an income tax basis. Differences between amounts for financial statement and federal income tax purposes are primarily due to the treatment of paydown gains and losses, recognition of premium amortization and timing differences in recognizing certain gains and losses on investment transactions. To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts on the Statement of Assets and Liabilities presented in the annual report, based on their federal tax basis treatment; temporary differences do not require reclassification. Temporary and permanent differences do not impact the net asset value of the Fund. |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
At September 30, 2011, the cost of investments (excluding investments in derivatives) was $306,736,116. |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2011, were as follows: |
| |||||||||||||||||||||||||
|
|
|
|
| |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
|
|
|
Gross unrealized: |
|
|
|
|
| |||||||||||||||||||||
|
|
|
Appreciation |
|
|
|
$ 21,170,270 |
| |||||||||||||||||||||
|
|
|
Depreciation |
|
|
|
(33,372,521 |
) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
| |||||||||||||||||||||
|
|
|
Net unrealized appreciation (depreciation) of investments |
|
|
|
$(12,572,395 |
) | |||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
|
|
|
|
|
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry subclassifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry subclassifications into sectors for reporting ease. |
| |||||||||||||||||||||||
|
|
|
|
|
|
| |||||||||||||||||||||||
|
|
|
(1) |
|
All percentages shown in the Portfolio of Investments are based on net assets applicable to Common shares unless otherwise noted. |
| |||||||||||||||||||||||
|
|
|
(2) |
|
Non-income producing; issuer has not declared a dividend within the past twelve months. |
| |||||||||||||||||||||||
|
|
|
(3) |
|
Investment, or portion of investment, has been pledged to collaterize the net payment obligations for investments in derivatives. |
| |||||||||||||||||||||||
|
|
|
(4) |
|
For fair value measurement disclosure purposes, Common Stock categorized as Level 2. |
| |||||||||||||||||||||||
|
|
|
(5) |
|
Ratings: Using the highest of Standard & Poor’s Group (“Standard & Poor’s”), Moody’s Investors Service, Inc. (“Moody’s”) or Fitch, Inc. (“Fitch”) rating. Ratings below BBB by Standard & Poor’s, Baa by Moody’s or BBB by Fitch are considered to be below investment grade. Holdings designated N/R are not rated by any of these national rating agencies. |
| |||||||||||||||||||||||
|
|
|
(6) |
|
Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown. |
| |||||||||||||||||||||||
|
|
|
(7) |
|
Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks. Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or Borrower prior to the disposition of a Senior Loan. |
| |||||||||||||||||||||||
|
|
|
(8) |
|
Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
| |||||||||||||||||||||||
|
|
|
(9) |
|
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing security, in the case of a bond, generally denotes that the issuer has (1) defaulted on the payment of principal or interest, (2) is under the protection of the Federal Bankruptcy Court or (3) the Fund’s Adviser has concluded that the issue is not likely to meet its future interest payment obligations and has directed the Fund’s custodian to cease accruing additional income on the Fund’s records. |
| |||||||||||||||||||||||
|
|
|
(10) |
|
Borrowings as a percentage of total investments is 27.1%. |
| |||||||||||||||||||||||
|
|
|
(11) |
|
Other Assets Less Liabilities includes value and/or net unrealized appreciation (depreciation) of derivative instruments as noted within investments in derivatives. |
| |||||||||||||||||||||||
|
|
|
(12) |
|
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
| |||||||||||||||||||||||
|
|
|
N/A |
|
Not applicable |
| |||||||||||||||||||||||
|
|
|
N/R |
|
Not rated. |
| |||||||||||||||||||||||
|
|
|
WI/DD |
|
Purchased on a when-issued or delayed delivery basis. |
| |||||||||||||||||||||||
|
|
|
144A |
|
Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers. |
| |||||||||||||||||||||||
|
|
|
ADR |
|
American Depositary Receipt. |
| |||||||||||||||||||||||
|
|
|
Reg S |
|
Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States. |
| |||||||||||||||||||||||
|
|
|
TBD |
|
Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a weighted average coupon rate is not available prior to settlement. At settlement, if still unknown, the Borrower or counterparty will provide the Fund with the final weighted average coupon rate and maturity date. |
| |||||||||||||||||||||||
|
|
|
BRL |
|
Brazilian Real |
| |||||||||||||||||||||||
|
|
|
CNY |
|
Yuan Renminbi |
| |||||||||||||||||||||||
|
|
|
COP |
|
Columbian Peso |
| |||||||||||||||||||||||
|
|
|
EUR |
|
Euro |
| |||||||||||||||||||||||
|
|
|
MXN |
|
Mexican Peso |
| |||||||||||||||||||||||
|
|
|
PEN |
|
Peruvian Nuevo Sol |
| |||||||||||||||||||||||
|
|
|
ZAR |
|
South African Rand |
| |||||||||||||||||||||||
|
USD-LIBOR |
|
United States Dollar–London Inter-Bank Offered Rate |
| |||||||||||||||||||||||||
Item 2. Controls and Procedures.
|
a. |
The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
|
|
|
|
b. |
There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) Nuveen Diversified Dividend and Income Fund
|
By (Signature and Title) |
/s/ Kevin J. McCarthy |
|
|
|
Kevin J. McCarthy |
|
|
|
Vice President and Secretary |
|
Date November 29, 2011
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
|
By (Signature and Title) |
/s/ Gifford R. Zimmerman |
|
|
|
Gifford R. Zimmerman |
|
|
|
Chief Administrative Officer (principal executive officer) |
|
Date November 29, 2011
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date November 29, 2011