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
|
Nuveen Diversified Dividend and Income Fund | ||||||||
|
(Exact name of registrant as specified in charter) | ||||||||
|
|
333 West Wacker Drive, Chicago, Illinois 60606 |
| ||||||
|
|
(Address of principal executive offices) (Zip code) |
| ||||||
|
|
Kevin J. McCarthy—Vice President and Secretary |
| ||||||
|
|
(Name and address of agent for service) |
| ||||||
|
Registrant’s telephone number, including area code: |
312-917-7700 |
| ||||||
|
Date of fiscal year end: |
12/31 |
| ||||||
|
Date of reporting period: |
3/31/2012 |
| ||||||
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
|
|
|
Portfolio of Investments (Unaudited) |
|
|
|
|
|
|
Nuveen Diversified Dividend and Income Fund (JDD) |
|
|
|
|
|
|
March 31, 2012 |
|
|
|
|
Shares |
|
Description (1) |
|
Value |
| |||||||||||
|
|
|
Common Stocks – 36.5% (25.8% of Total Investments) |
|
|
| |||||||||||
|
|
|
Aerospace & Defense – 0.9% |
|
|
| |||||||||||
|
40,500 |
|
Raytheon Company |
|
$ 2,137,590 |
| |||||||||||
|
|
|
Automobiles – 0.8% |
|
|
| |||||||||||
|
73,200 |
|
General Motors Company, (2) |
|
1,877,580 |
| |||||||||||
|
|
|
Building Products – 0.4% |
|
|
| |||||||||||
|
35,400 |
|
Masonite Worldwide Holdings, (2) |
|
1,000,935 |
| |||||||||||
|
|
|
Capital Markets – 0.4% |
|
|
| |||||||||||
|
7,400 |
|
Goldman Sachs Group, Inc. |
|
920,338 |
| |||||||||||
|
|
|
Chemicals – 0.4% |
|
|
| |||||||||||
|
16,500 |
|
Mosaic Company |
|
912,285 |
| |||||||||||
|
|
|
Commercial Banks – 1.1% |
|
|
| |||||||||||
|
76,800 |
|
Wells Fargo & Company |
|
2,621,952 |
| |||||||||||
|
|
|
Commercial Services & Supplies – 0.6% |
|
|
| |||||||||||
|
78,600 |
|
Pitney Bowes Inc. |
|
1,381,788 |
| |||||||||||
|
|
|
Communications Equipment – 1.2% |
|
|
| |||||||||||
|
136,000 |
|
Cisco Systems, Inc. |
|
2,876,400 |
| |||||||||||
|
|
|
Computers & Peripherals – 0.4% |
|
|
| |||||||||||
|
45,800 |
|
Hewlett-Packard Company |
|
1,091,414 |
| |||||||||||
|
|
|
Diversified Financial Services – 2.4% |
|
|
| |||||||||||
|
92,950 |
|
Citigroup Inc. |
|
3,397,323 |
| |||||||||||
|
53,000 |
|
JPMorgan Chase & Co. |
|
2,436,940 |
| |||||||||||
|
|
|
Total Diversified Financial Services |
|
5,834,263 |
| |||||||||||
|
|
|
Diversified Telecommunication Services – 0.3% |
|
|
| |||||||||||
|
181,200 |
|
Frontier Communications Corporation |
|
755,604 |
| |||||||||||
|
|
|
Food & Staples Retailing – 0.7% |
|
|
| |||||||||||
|
40,000 |
|
CVS Caremark Corporation |
|
1,792,000 |
| |||||||||||
|
|
|
Industrial Conglomerates – 0.4% |
|
|
| |||||||||||
|
44,600 |
|
General Electric Company |
|
895,122 |
| |||||||||||
|
|
|
Insurance – 4.7% |
|
|
| |||||||||||
|
187,500 |
|
Genworth Financial Inc., Class A, (2) |
|
1,560,000 |
| |||||||||||
|
128,700 |
|
Hartford Financial Services Group, Inc. |
|
2,712,996 |
| |||||||||||
|
23,400 |
|
Loews Corporation |
|
932,958 |
| |||||||||||
|
72,500 |
|
MetLife, Inc. |
|
2,707,875 |
| |||||||||||
|
90,300 |
|
Symetra Financial Corporation |
|
1,041,159 |
| |||||||||||
|
112,000 |
|
Unum Group |
|
2,741,760 |
| |||||||||||
|
|
|
Total Insurance |
|
11,696,748 |
| |||||||||||
|
|
|
Machinery – 1.3% |
|
|
| |||||||||||
|
37,600 |
|
Ingersoll Rand Company Limited, Class A |
|
1,554,760 |
| |||||||||||
|
36,000 |
|
PACCAR Inc. |
|
1,685,880 |
| |||||||||||
|
|
|
Total Machinery |
|
3,240,640 |
| |||||||||||
|
|
|
Media – 3.2% |
|
|
| |||||||||||
|
147,000 |
|
Interpublic Group Companies, Inc. |
|
1,677,270 |
| |||||||||||
|
16,393 |
|
Metro-Goldwyn-Mayer, (2), (3) |
|
423,759 |
| |||||||||||
|
137,000 |
|
National CineMedia, Inc. |
|
2,096,100 |
| |||||||||||
|
55,000 |
|
Time Warner Inc. |
|
2,076,250 |
| |||||||||||
|
35,700 |
|
Viacom Inc., Class B |
|
1,694,322 |
| |||||||||||
|
|
|
Total Media |
|
7,967,701 |
| |||||||||||
|
|
|
Metals & Mining – 2.3% |
|
|
| |||||||||||
|
56,200 |
|
AngloGold Ashanti Limited, Sponsored ADR |
|
2,074,904 |
| |||||||||||
|
49,500 |
|
Barrick Gold Corporation |
|
2,152,260 |
| |||||||||||
|
21,000 |
|
Freeport-McMoRan Copper & Gold, Inc. |
|
798,840 |
| |||||||||||
|
14,600 |
|
Newmont Mining Corporation |
|
748,542 |
| |||||||||||
|
|
|
Total Metals & Mining |
|
5,774,546 |
| |||||||||||
|
|
|
Oil, Gas & Consumable Fuels – 3.8% |
|
|
| |||||||||||
|
19,500 |
|
Canadian Natural Resources Limited |
|
647,010 |
| |||||||||||
|
16,100 |
|
Occidental Petroleum Corporation |
|
1,533,203 |
| |||||||||||
|
39,000 |
|
Royal Dutch Shell PLC, Class A |
|
2,735,070 |
| |||||||||||
|
225,000 |
|
Talisman Energy Inc. |
|
2,835,000 |
| |||||||||||
|
33,600 |
|
Total S.A., Sponsored ADR |
|
1,717,632 |
| |||||||||||
|
|
|
Total Oil, Gas & Consumable Fuels |
|
9,467,915 |
| |||||||||||
|
|
|
Pharmaceuticals – 6.4% |
|
|
| |||||||||||
|
59,400 |
|
GlaxoSmithKline PLC, Sponsored ADR |
|
2,667,654 |
| |||||||||||
|
71,000 |
|
Merck & Company Inc. |
|
2,726,400 |
| |||||||||||
|
211,200 |
|
Pfizer Inc., (4) |
|
4,785,792 |
| |||||||||||
|
96,000 |
|
Sanofi-Aventis, ADR |
|
3,720,000 |
| |||||||||||
|
40,200 |
|
Teva Pharmaceutical Industries Limited, Sponsored ADR |
|
1,811,412 |
| |||||||||||
|
|
|
Total Pharmaceuticals |
|
15,711,258 |
| |||||||||||
|
|
|
Software – 3.2% |
|
|
| |||||||||||
|
181,000 |
|
CA Inc. |
|
4,988,360 |
| |||||||||||
|
87,000 |
|
Microsoft Corporation, (4) |
|
2,805,750 |
| |||||||||||
|
|
|
Total Software |
|
7,794,110 |
| |||||||||||
|
|
|
Tobacco – 0.7% |
|
|
| |||||||||||
|
19,500 |
|
Philip Morris International |
|
1,727,895 |
| |||||||||||
|
|
|
Wireless Telecommunication Services – 0.9% |
|
|
| |||||||||||
|
85,000 |
|
Vodafone Group PLC, Sponsored ADR |
|
2,351,950 |
| |||||||||||
|
|
|
Total Common Stocks (cost $83,737,805) |
|
89,830,034 |
| |||||||||||
|
|
|
|
|
|
| |||||||||||
|
Shares |
|
Description (1) |
|
Value |
| |||||||||||
|
|
|
Real Estate Investment Trust Common Stocks – 35.9% (25.4% of Total Investments) |
|
|
| |||||||||||
|
|
|
Diversified – 3.1% |
|
|
| |||||||||||
|
170,000 |
|
Colonial Properties Trust |
|
$ 3,694,100 |
| |||||||||||
|
47,000 |
|
Vornado Realty Trust |
|
3,957,400 |
| |||||||||||
|
|
|
Total Diversified |
|
7,651,500 |
| |||||||||||
|
|
|
Hotels, Resaurants & Leisure – 2.9% |
|
|
| |||||||||||
|
225,442 |
|
Host Hotels & Resorts Inc. |
|
3,701,758 |
| |||||||||||
|
63,000 |
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
3,553,830 |
| |||||||||||
|
|
|
Total Hotels, Restaurants & Leisure |
|
7,255,588 |
| |||||||||||
|
|
|
Industrial – 1.7% |
|
|
| |||||||||||
|
119,548 |
|
ProLogis |
|
4,306,119 |
| |||||||||||
|
|
|
Mortgage – 0.3% |
|
|
| |||||||||||
|
56,000 |
|
Redwood Trust Inc. |
|
627,200 |
| |||||||||||
|
|
|
Office – 6.0% |
|
|
| |||||||||||
|
27,600 |
|
Boston Properties, Inc. |
|
2,897,724 |
| |||||||||||
|
133,787 |
|
CommonWealth REIT |
|
2,491,114 |
| |||||||||||
|
95,000 |
|
Corporate Office Properties |
|
2,204,950 |
| |||||||||||
|
114,000 |
|
Mack-Cali Realty Corporation |
|
3,285,480 |
| |||||||||||
|
48,700 |
|
SL Green Realty Corporation |
|
3,776,685 |
| |||||||||||
|
|
|
Total Office |
|
14,655,953 |
| |||||||||||
|
|
|
Residential – 5.9% |
|
|
| |||||||||||
|
134,826 |
|
Apartment Investment & Management Company, Class A |
|
3,560,755 |
| |||||||||||
|
25,875 |
|
AvalonBay Communities, Inc. |
|
3,657,431 |
| |||||||||||
|
62,000 |
|
BRE Properties, Inc. |
|
3,134,100 |
| |||||||||||
|
68,700 |
|
Equity Residential |
|
4,301,994 |
| |||||||||||
|
|
|
Total Residential |
|
14,654,280 |
| |||||||||||
|
|
|
Retail – 7.7% |
|
|
| |||||||||||
|
30,900 |
|
Federal Realty Investment Trust |
|
2,990,811 |
| |||||||||||
|
223,360 |
|
General Growth Properties Inc. |
|
3,794,886 |
| |||||||||||
|
71,791 |
|
Macerich Company |
|
4,145,930 |
| |||||||||||
|
81,500 |
|
Regency Centers Corporation |
|
3,625,120 |
| |||||||||||
|
2 |
|
Rouse Properties Inc., (2) |
|
27 |
| |||||||||||
|
29,485 |
|
Simon Property Group, Inc. |
|
4,295,375 |
| |||||||||||
|
|
|
Total Retail |
|
18,852,149 |
| |||||||||||
|
|
|
Specialized – 8.3% |
|
|
| |||||||||||
|
170,000 |
|
Extra Space Storage Inc. |
|
4,894,300 |
| |||||||||||
|
97,800 |
|
HCP, Inc. |
|
3,859,188 |
| |||||||||||
|
69,350 |
|
Health Care REIT, Inc. |
|
3,811,476 |
| |||||||||||
|
28,524 |
|
Public Storage, Inc. |
|
3,941,161 |
| |||||||||||
|
68,100 |
|
Ventas Inc. |
|
3,888,510 |
| |||||||||||
|
|
|
Total Specialized |
|
20,394,635 |
| |||||||||||
|
|
|
Total Real Estate Investment Trust Common Stocks (cost $62,570,702) |
|
88,397,424 |
| |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Shares |
|
Description (1) |
|
Coupon |
|
|
|
|
|
Value |
| |||||
|
|
|
Real Estate Investment Trust Preferred Stocks – 1.7% (1.2% of Total Investments) |
|
|
|
|
| |||||||||
|
|
|
Residential – 1.7% |
|
|
|
|
|
|
|
|
| |||||
|
168,000 |
|
Equity Lifestyle Properties Inc., Series A, (2) |
|
8.034% |
|
|
|
|
|
$ 4,275,600 |
| |||||
|
|
|
Total Real Estate Investment Trust Preferred Stocks (cost $4,265,280) |
|
|
|
4,275,600 |
| |||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Shares |
|
Description (1) |
|
Coupon |
|
|
|
Ratings (5) |
|
Value |
| |||||
|
|
|
Capital Preferred Securities – 0.7% (0.5% of Total Investments) |
|
|
|
|
|
|
| |||||||
|
|
|
Food Products – 0.7% |
|
|
|
|
|
|
|
|
| |||||
|
15 |
|
HJ Heinz Finance Company, 144A |
|
8.000% |
|
|
|
BBB- |
|
$ 1,623,750 |
| |||||
|
|
|
Total Capital Preferred Securities (cost $1,310,000) |
|
|
|
|
|
|
|
1,623,750 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
|
|
|
|
Weighted |
|
|
|
|
|
|
| |||||
|
Principal |
|
|
|
Average |
|
|
|
|
|
|
| |||||
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (6) |
|
Ratings (5) |
|
Value |
| |||||
|
|
|
Variable Rate Senior Loan Interests – 31.7% (22.4% of Total Investments) (7) |
|
|
|
|
| |||||||||
|
|
|
Auto Components – 0.8% |
|
|
|
|
|
|
|
|
| |||||
|
$ 1,311 |
|
Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.178% |
|
12/29/14 |
|
Ba3 |
|
$ 1,262,761 |
| |||||
|
669 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.178% |
|
12/28/15 |
|
Ba3 |
|
644,266 |
| |||||
|
1,980 |
|
Total Auto Components |
|
|
|
|
|
|
|
1,907,027 |
| |||||
|
|
|
Biotechnology – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
893 |
|
Grifols, Inc., Term Loan |
|
4.500% |
|
6/01/17 |
|
BB |
|
892,882 |
| |||||
|
|
|
Building Products – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
931 |
|
Goodman Global Inc., Term Loan |
|
5.750% |
|
10/28/16 |
|
B+ |
|
937,648 |
| |||||
|
|
|
Chemicals – 1.0% |
|
|
|
|
|
|
|
|
| |||||
|
1,365 |
|
Ashland, Inc., Term Loan |
|
3.750% |
|
8/23/18 |
|
Baa3 |
|
1,367,302 |
| |||||
|
988 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
990,895 |
| |||||
|
2,353 |
|
Total Chemicals |
|
|
|
|
|
|
|
2,358,197 |
| |||||
|
|
|
Commercial Services & Supplies – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
993 |
|
KAR Auction Services, Inc., Term Loan |
|
5.000% |
|
5/19/17 |
|
BB- |
|
995,912 |
| |||||
|
|
|
Communications Equipment – 1.1% |
|
|
|
|
|
|
|
|
| |||||
|
860 |
|
Intelsat, Term Loan |
|
5.250% |
|
4/02/18 |
|
BB- |
|
865,697 |
| |||||
|
1,969 |
|
Avaya, Inc., Term Loan |
|
3.241% |
|
10/27/14 |
|
B1 |
|
1,911,030 |
| |||||
|
2,829 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
2,776,727 |
| |||||
|
|
|
Consumer Finance – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
750 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B2 |
|
692,344 |
| |||||
|
|
|
Containers & Packaging – 1.0% |
|
|
|
|
|
|
|
|
| |||||
|
853 |
|
Reynolds Group Holdings, Inc., Add on Term Loan |
|
6.500% |
|
8/09/18 |
|
BB- |
|
864,941 |
| |||||
|
1,053 |
|
Reynolds Group Holdings, Inc., US Term Loan |
|
6.500% |
|
2/09/18 |
|
BB |
|
1,067,838 |
| |||||
|
462 |
|
Sealed Air Corporation, Term Loan |
|
4.750% |
|
10/03/18 |
|
Ba1 |
|
467,550 |
| |||||
|
2,368 |
|
Total Containers & Packaging |
|
|
|
|
|
|
|
2,400,329 |
| |||||
|
|
|
Diversified Financial Services – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
632 |
|
Pinafore LLC, Term Loan |
|
4.250% |
|
9/29/16 |
|
BB |
|
632,851 |
| |||||
|
|
|
Electric Utilities – 0.6% |
|
|
|
|
|
|
|
|
| |||||
|
2,312 |
|
TXU Corporation, 2014 Term Loan |
|
3.743% |
|
10/10/14 |
|
B2 |
|
1,420,958 |
| |||||
|
|
|
Electrical Equipment – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
397 |
|
Sensata Technologies B.V., Term Loan |
|
4.000% |
|
5/12/18 |
|
BB+ |
|
397,207 |
| |||||
|
297 |
|
Sensus Metering Systems, Inc., Term Loan, First Lien |
|
4.750% |
|
5/09/17 |
|
Ba3 |
|
297,743 |
| |||||
|
694 |
|
Total Electrical Equipment |
|
|
|
|
|
|
|
694,950 |
| |||||
|
|
|
Food & Staples Retailing – 0.8% |
|
|
|
|
|
|
|
|
| |||||
|
1,969 |
|
U.S. Foodservice, Inc., Term Loan |
|
2.740% |
|
7/03/14 |
|
B |
|
1,903,945 |
| |||||
|
|
|
Food Products – 0.9% |
|
|
|
|
|
|
|
|
| |||||
|
993 |
|
JBS USA LLC, Term Loan |
|
4.250% |
|
5/25/18 |
|
BB |
|
995,130 |
| |||||
|
1,324 |
|
Michael Foods Group, Inc., Term Loan |
|
4.253% |
|
2/25/18 |
|
B+ |
|
1,326,106 |
| |||||
|
2,317 |
|
Total Food Products |
|
|
|
|
|
|
|
2,321,236 |
| |||||
|
|
|
Health Care Equipment & Supplies – 0.6% |
|
|
|
|
|
|
|
|
| |||||
|
1,496 |
|
Chiron Merger Sub, Inc., Term Loan |
|
7.000% |
|
5/04/18 |
|
Ba2 |
|
1,528,162 |
| |||||
|
|
|
Health Care Providers & Services – 4.0% |
|
|
|
|
|
|
|
|
| |||||
|
1,027 |
|
Community Health Systems, Inc., Term Loan |
|
2.628% |
|
7/25/14 |
|
BB |
|
1,014,792 |
| |||||
|
1,975 |
|
DaVita, Inc., Tranche B, Term Loan |
|
4.500% |
|
10/20/16 |
|
BB |
|
1,985,853 |
| |||||
|
1,985 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
1,880,448 |
| |||||
|
76 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.720% |
|
3/31/17 |
|
BB |
|
74,657 |
| |||||
|
910 |
|
Kindred Healthcare, Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
875,675 |
| |||||
|
912 |
|
MultiPlan, Inc., Term Loan B |
|
4.750% |
|
8/26/17 |
|
Ba3 |
|
904,720 |
| |||||
|
226 |
|
United Surgical Partners International, Inc., Delayed Term Loan |
2.250% |
|
4/21/14 |
|
Ba3 |
|
223,762 |
| ||||||
|
1,195 |
|
United Surgical Partners International, Inc., Term Loan |
|
2.250% |
|
4/21/14 |
|
Ba3 |
|
1,183,957 |
| |||||
|
1,810 |
|
Universal Health Services, Inc., Term Loan B |
|
3.754% |
|
11/15/16 |
|
BB+ |
|
1,810,863 |
| |||||
|
10,116 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
9,954,727 |
| |||||
|
|
|
Health Care Technology – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
998 |
|
Emdeon Business Services LLC, Term Loan |
|
6.750% |
|
11/02/18 |
|
BB- |
|
1,013,335 |
| |||||
|
|
|
Hotels, Restaurants & Leisure – 3.5% |
|
|
|
|
|
|
|
|
| |||||
|
1,965 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
7.500% |
|
4/22/16 |
|
Ba3 |
|
1,967,456 |
| |||||
|
1,402 |
|
Dunkin Brands, Inc., Term Loan B2 |
|
4.003% |
|
11/23/17 |
|
B |
|
1,403,537 |
| |||||
|
83 |
|
OSI Restaurant Partners LLC, Revolver |
|
4.112% |
|
6/14/13 |
|
B+ |
|
81,968 |
| |||||
|
842 |
|
OSI Restaurant Partners LLC, Term Loan |
|
2.572% |
|
6/14/14 |
|
B+ |
|
828,796 |
| |||||
|
2,047 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB |
|
2,047,172 |
| |||||
|
1,500 |
|
Six Flags Theme Parks, Inc., Term Loan B |
|
4.250% |
|
12/20/18 |
|
BB+ |
|
1,500,516 |
| |||||
|
214 |
|
Venetian Casino Resort LLC, Delayed Term Loan |
|
2.750% |
|
11/23/16 |
|
BB |
|
206,367 |
| |||||
|
677 |
|
Venetian Casino Resort LLC, Tranche B, Term Loan |
|
2.750% |
|
11/23/16 |
|
BB |
|
654,668 |
| |||||
|
8,730 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
8,690,480 |
| |||||
|
|
|
Household Products – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
158 |
|
Visant Corporation, Term Loan |
|
5.250% |
|
12/22/16 |
|
BB- |
|
154,236 |
| |||||
|
|
|
Industrial Conglomerates – 1.2% |
|
|
|
|
|
|
|
|
| |||||
|
2,970 |
|
U.S. Foodservice, Inc., Term Loan, First Lien |
|
5.750% |
|
3/31/17 |
|
B- |
|
2,963,318 |
| |||||
|
|
|
Internet Software & Services – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
630 |
|
Go Daddy Operating Co., LLC, Term Loan, Tranche B1 |
|
5.500% |
|
12/17/18 |
|
Ba3 |
|
632,530 |
| |||||
|
|
|
IT Services – 1.3% |
|
|
|
|
|
|
|
|
| |||||
|
1,247 |
|
First Data Corporation, Extended Term Loan B |
|
5.242% |
|
3/23/17 |
|
B+ |
|
1,196,230 |
| |||||
|
91 |
|
Fidelity National Information Services, Inc., Term Loan B |
|
4.250% |
|
7/18/16 |
|
Ba1 |
|
91,127 |
| |||||
|
662 |
|
Frac Tech International LLC, Term Loan |
|
6.250% |
|
5/06/16 |
|
B+ |
|
660,440 |
| |||||
|
744 |
|
Infor Global Solutions Intermediate Holdings, Ltd., Term Loan B2 |
8.470% |
|
4/02/14 |
|
B+ |
|
743,445 |
| ||||||
|
490 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.993% |
|
2/28/14 |
|
BB |
|
489,671 |
| |||||
|
3,234 |
|
Total IT Services |
|
|
|
|
|
|
|
3,180,913 |
| |||||
|
|
|
Leisure Equipment & Products – 0.5% |
|
|
|
|
|
|
|
|
| |||||
|
1,358 |
|
Cedar Fair LP, Term Loan |
|
4.000% |
|
12/15/17 |
|
BB |
|
1,363,361 |
| |||||
|
|
|
Media – 4.2% |
|
|
|
|
|
|
|
|
| |||||
|
617 |
|
Bresnan Broadband Holdings LLC, Term Loan B |
|
4.500% |
|
12/14/17 |
|
BB+ |
|
617,316 |
| |||||
|
1,000 |
|
Cequel Communications LLC, Term Loan |
|
4.000% |
|
2/14/19 |
|
Ba2 |
|
992,188 |
| |||||
|
997 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
9/17/18 |
|
Ba2 |
|
1,001,717 |
| |||||
|
750 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
3/18/19 |
|
B2 |
|
762,427 |
| |||||
|
1,069 |
|
Emmis Operating Company, Term Loan |
|
4.472% |
|
11/01/13 |
|
Caa2 |
|
1,002,071 |
| |||||
|
1,246 |
|
Interactive Data Corporation, Term Loan B |
|
4.500% |
|
2/11/18 |
|
Ba3 |
|
1,249,840 |
| |||||
|
464 |
|
Knology, Inc., Term Loan |
|
4.000% |
|
8/18/17 |
|
B+ |
|
460,750 |
| |||||
|
542 |
|
Nielsen Finance LLC, Term Loan C |
|
3.493% |
|
5/02/16 |
|
Ba2 |
|
542,382 |
| |||||
|
617 |
|
SuperMedia, Term Loan |
|
11.000% |
|
12/31/15 |
|
Caa3 |
|
337,972 |
| |||||
|
1,956 |
|
Univision Communications, Inc., Term Loan |
|
4.491% |
|
3/31/17 |
|
B+ |
|
1,817,680 |
| |||||
|
1,000 |
|
UPC Broadband Holding BV, Term Loan N |
|
3.744% |
|
12/31/17 |
|
Ba3 |
|
995,625 |
| |||||
|
1,570 |
|
Yell Group PLC, Term Loan |
|
3.991% |
|
7/31/14 |
|
B- |
|
505,517 |
| |||||
|
11,828 |
|
Total Media |
|
|
|
|
|
|
|
10,285,485 |
| |||||
|
|
|
Metals & Mining – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
1,111 |
|
Walter Energy, Term Loan |
|
4.000% |
|
4/02/18 |
|
BB- |
|
1,107,799 |
| |||||
|
|
|
Multiline Retail – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
993 |
|
Bass Pro Group LLC, Term Loan B |
|
5.317% |
|
6/13/17 |
|
BB- |
|
994,981 |
| |||||
|
|
|
Oil, Gas & Consumable Fuels – 0.5% |
|
|
|
|
|
|
|
|
| |||||
|
1,290 |
|
Energy Transfer Partners LP, Term Loan B |
|
3.750% |
|
3/21/17 |
|
Ba1 |
|
1,267,157 |
| |||||
|
|
|
Personal Products – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
806 |
|
NBTY, Inc., Term Loan B1 |
|
4.250% |
|
10/01/17 |
|
BB- |
|
807,867 |
| |||||
|
|
|
Pharmaceuticals – 1.6% |
|
|
|
|
|
|
|
|
| |||||
|
2,000 |
|
Valeant Pharmaceuticals, Term Loan B, First Lien |
|
3.260% |
|
2/01/19 |
|
BBB- |
|
1,986,876 |
| |||||
|
880 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
879,892 |
| |||||
|
440 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
439,946 |
| |||||
|
605 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/17/18 |
|
BBB- |
|
604,926 |
| |||||
|
3,925 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
3,911,640 |
| |||||
|
|
|
Real Estate Investment Trust – 0.2% |
|
|
|
|
|
|
|
|
| |||||
|
581 |
|
iStar Financial, Inc., Term Loan, Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
581,288 |
| |||||
|
|
|
Real Estate Management & Development – 0.5% |
|
|
|
|
|
|
|
|
| |||||
|
933 |
|
Capital Automotive LP, Tranche B |
|
5.250% |
|
3/11/17 |
|
Ba3 |
|
925,672 |
| |||||
|
405 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
405,699 |
| |||||
|
1,338 |
|
Total Real Estate Management & Development |
|
|
|
|
|
|
|
1,331,371 |
| |||||
|
|
|
Road & Rail – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
664 |
|
Swift Transportation Company, Inc., Term Loan, Tranche B2 |
|
5.000% |
|
12/15/17 |
|
BB |
|
669,188 |
| |||||
|
|
|
Semiconductors & Equipment – 0.8% |
|
|
|
|
|
|
|
|
| |||||
|
981 |
|
Freescale Semiconductor, Inc., Term Loan, Tranche B1 |
|
4.494% |
|
12/01/16 |
|
B1 |
|
956,667 |
| |||||
|
990 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/03/17 |
|
B- |
|
971,850 |
| |||||
|
1,971 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
1,928,517 |
| |||||
|
|
|
Software – 0.7% |
|
|
|
|
|
|
|
|
| |||||
|
902 |
|
Datatel Parent Corp, Term Loan B |
|
6.250% |
|
7/19/18 |
|
B+ |
|
917,780 |
| |||||
|
875 |
|
Infor Enterprise Applications, Term Loan, (WI/DD) |
|
TBD |
|
TBD |
|
Ba3 |
|
866,250 |
| |||||
|
1,777 |
|
Total Software |
|
|
|
|
|
|
|
1,784,030 |
| |||||
|
|
|
Specialty Retail – 1.6% |
|
|
|
|
|
|
|
|
| |||||
|
718 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B |
6.250% |
|
2/23/17 |
|
B- |
|
722,128 |
| ||||||
|
993 |
|
J Crew Group, Term Loan |
|
4.750% |
|
3/07/18 |
|
B1 |
|
977,169 |
| |||||
|
1,782 |
|
Jo-Ann Stores, Inc., Term Loan |
|
4.750% |
|
3/16/18 |
|
B+ |
|
1,773,800 |
| |||||
|
486 |
|
Pilot Travel Centers LLC, Term Loan |
|
4.250% |
|
3/30/18 |
|
BBB- |
|
487,626 |
| |||||
|
3,979 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
3,960,723 |
| |||||
|
$ 80,974 |
|
Total Variable Rate Senior Loan Interests (cost $80,214,720) |
|
|
|
|
|
78,046,114 |
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Amount (000)(8) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings(5) |
|
Value |
| |||||
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds – 31.4% (22.2% of Total Investments) |
|
|
| |||||||||||
|
|
|
Argentina – 0.7% |
|
|
|
|
|
|
|
|
| |||||
|
$ 130 |
|
City of Buenos Aires, Argenita, 144A |
|
|
|
|
|
|
|
$ 137,124 |
| |||||
|
766 |
|
Republic of Argentina |
|
8.280% |
|
12/31/33 |
|
B- |
|
548,042 |
| |||||
|
2,560 |
|
Republic of Argentina |
|
2.500% |
|
12/31/38 |
|
B |
|
915,200 |
| |||||
|
571 |
EUR |
Republic of Argentina |
|
2.260% |
|
12/31/38 |
|
B |
|
225,385 |
| |||||
|
|
|
Total Argentina |
|
|
|
|
|
|
|
1,825,751 |
| |||||
|
|
|
Brazil – 3.3% |
|
|
|
|
|
|
|
|
| |||||
|
155 |
|
Banco Bradesco Cayman, 144A |
|
5.900% |
|
1/16/21 |
|
Baa1 |
|
160,425 |
| |||||
|
327 |
|
Banco Bradesco S.A., Cayman Islands, 144A |
|
5.750% |
|
3/01/22 |
|
Baa1 |
|
329,126 |
| |||||
|
525 |
|
Banco Do Brasil, 144A |
|
5.875% |
|
1/26/22 |
|
Baa1 |
|
540,225 |
| |||||
|
255 |
|
Banco do Nordeste do Brasil, 144A |
|
3.625% |
|
11/09/15 |
|
BBB |
|
256,275 |
| |||||
|
330 |
|
Banco Nacional de Desenvolvimento Economico e Social, Reg S |
6.369% |
|
6/16/18 |
|
BBB |
|
383,625 |
| ||||||
|
145 |
|
Braskem Finance Limited, Reg S |
|
7.000% |
|
5/07/20 |
|
BBB- |
|
162,980 |
| |||||
|
300 |
|
Centrais Eletricas Brasileiras S.A., 144A |
|
5.750% |
|
10/27/21 |
|
BBB |
|
328,350 |
| |||||
|
695 |
BRL |
Companhia Energetica de Sao Paulo, 144A |
|
9.750% |
|
1/15/15 |
|
Ba1 |
|
567,123 |
| |||||
|
835 |
|
Federative Republic of Brazil |
|
10.125% |
|
5/15/27 |
|
BBB |
|
1,391,110 |
| |||||
|
86 |
|
Federative Republic of Brazil |
|
8.250% |
|
1/20/34 |
|
BBB |
|
129,860 |
| |||||
|
360 |
|
Federative Republic of Brazil |
|
7.125% |
|
1/20/37 |
|
BBB |
|
494,100 |
| |||||
|
150 |
|
Fibria Overseas Finance, 144A |
|
6.750% |
|
3/03/21 |
|
Ba1 |
|
153,375 |
| |||||
|
191 |
|
Fibria Overseas Finance, 144A |
|
7.500% |
|
5/04/20 |
|
Ba1 |
|
201,753 |
| |||||
|
120 |
|
Globo Comunicacao Participacoes, S.A., 144A |
|
6.250% |
|
7/20/50 |
|
BBB+ |
|
127,620 |
| |||||
|
200 |
|
Itau Unibanco Holdings S.A., 144A |
|
5.650% |
|
3/19/22 |
|
Baa1 |
|
200,600 |
| |||||
|
270 |
|
Itau Unibanco Holdings SA, 144A |
|
5.750% |
|
1/22/21 |
|
Baa1 |
|
276,750 |
| |||||
|
36 |
BRL |
National Treasury Note of Brazil |
|
6.000% |
|
5/15/15 |
|
Baa2 |
|
451,026 |
| |||||
|
200 |
|
OGX Austria GmbH, 144A |
|
8.375% |
|
4/01/22 |
|
B1 |
|
202,000 |
| |||||
|
525 |
|
Petrobras International Finance Company |
|
7.875% |
|
3/15/19 |
|
A3 |
|
647,748 |
| |||||
|
60 |
|
Petrobras International Finance Company |
|
5.750% |
|
1/20/20 |
|
A3 |
|
66,468 |
| |||||
|
145 |
|
Petrobras International Finance Company |
|
5.375% |
|
1/27/21 |
|
A3 |
|
157,325 |
| |||||
|
260 |
|
Petrobras International Finance Company |
|
6.750% |
|
1/27/41 |
|
A3 |
|
301,539 |
| |||||
|
215 |
|
Rearden G Holdings, 144A |
|
7.875% |
|
3/30/20 |
|
BB |
|
226,675 |
| |||||
|
294 |
|
Telemar Norte Leste SA, 144A |
|
5.500% |
|
10/23/20 |
|
Baa2 |
|
302,232 |
| |||||
|
155 |
|
Vale Overseas Limited |
|
6.875% |
|
11/10/39 |
|
A- |
|
181,059 |
| |||||
|
|
|
Total Brazil |
|
|
|
|
|
|
|
8,239,369 |
| |||||
|
|
|
Canada – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
431 |
|
Pacific Rubiales Energy Corporation, 144A |
|
7.250% |
|
12/12/21 |
|
BB |
|
471,730 |
| |||||
|
265 |
|
PTTEP Canada International Limited, 144A |
|
5.692% |
|
4/05/21 |
|
BBB+ |
|
282,754 |
| |||||
|
|
|
Total Canada |
|
|
|
|
|
|
|
754,484 |
| |||||
|
|
|
Chile – 1.2% |
|
|
|
|
|
|
|
|
| |||||
|
150 |
|
Banco del Estado Chile, 144A |
|
3.875% |
|
2/08/22 |
|
Aa3 |
|
148,875 |
| |||||
|
125 |
|
Colbun S.A., 144A |
|
6.000% |
|
1/21/20 |
|
BBB |
|
132,830 |
| |||||
|
640 |
|
Corporacion Nacional del Cobre de Chile, Reg S |
|
3.750% |
|
11/04/20 |
|
A1 |
|
655,677 |
| |||||
|
420 |
|
Corporacion Nacional del Cobre, 144A |
|
3.750% |
|
11/04/20 |
|
A1 |
|
430,288 |
| |||||
|
305 |
|
Corporacion Nacional del Cobre de Chile, Reg S |
|
3.875% |
|
11/03/21 |
|
A1 |
|
311,490 |
| |||||
|
290 |
|
Corporacion Nacional del Cobre, 144A |
|
3.875% |
|
11/03/21 |
|
A1 |
|
296,171 |
| |||||
|
195 |
|
E-CL S.A, 144A |
|
5.625% |
|
1/15/21 |
|
BBB- |
|
209,028 |
| |||||
|
395 |
|
Empresa Nacional del Petroleo, Reg S |
|
4.750% |
|
12/06/21 |
|
A |
|
409,302 |
| |||||
|
55 |
|
Empresa Nacional del Petroleo, 144A |
|
4.875% |
|
3/15/14 |
|
A |
|
57,490 |
| |||||
|
225 |
|
Empresa Nacional del Petroleo, Reg S, 144A |
|
6.250% |
|
7/08/19 |
|
A |
|
257,101 |
| |||||
|
|
|
Total Chile |
|
|
|
|
|
|
|
2,908,252 |
| |||||
|
|
|
China – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
205 |
|
ENN Energy Holdings Limited, 144A |
|
6.000% |
|
5/13/21 |
|
BBB |
|
196,917 |
| |||||
|
|
|
Colombia – 1.4% |
|
|
|
|
|
|
|
|
| |||||
|
395 |
|
Bancolombia S.A. |
|
6.125% |
|
7/26/20 |
|
Baa3 |
|
416,725 |
| |||||
|
708,000 |
COP |
Republic of Colombia |
|
12.000% |
|
10/22/15 |
|
BBB- |
|
496,737 |
| |||||
|
160 |
|
Republic of Colombia |
|
7.375% |
|
3/18/19 |
|
BBB- |
|
205,280 |
| |||||
|
420 |
|
Republic of Colombia |
|
11.750% |
|
2/25/20 |
|
BBB- |
|
668,850 |
| |||||
|
420,000 |
COP |
Republic of Colombia |
|
7.750% |
|
4/14/21 |
|
BBB- |
|
280,078 |
| |||||
|
175,000 |
COP |
Republic of Colombia |
|
9.850% |
|
6/28/27 |
|
BBB- |
|
137,697 |
| |||||
|
535 |
|
Republic of Colombia |
|
10.375% |
|
1/28/33 |
|
BBB- |
|
901,475 |
| |||||
|
145 |
|
Republic of Colombia |
|
7.375% |
|
9/18/37 |
|
BBB- |
|
203,363 |
| |||||
|
100 |
|
Republic of Colombia |
|
6.125% |
|
1/18/41 |
|
BBB- |
|
122,500 |
| |||||
|
|
|
Total Colombia |
|
|
|
|
|
|
|
3,432,705 |
| |||||
|
|
|
Costa Rica – 0.0% |
|
|
|
|
|
|
|
|
| |||||
|
20 |
|
Republic of Costa Rica, Reg S |
|
9.995% |
|
8/01/20 |
|
BB+ |
|
26,830 |
| |||||
|
|
|
Cote d’Ivoire (Ivory Coast) – 0.2% |
|
|
|
|
|
|
|
|
| |||||
|
905 |
|
Ivory Coast Republic, Reg S, (9) |
|
3.750% |
|
12/31/32 |
|
N/A |
|
567,888 |
| |||||
|
|
|
Croatia – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
305 |
|
Republic of Croatia, Reg S |
|
6.375% |
|
3/24/21 |
|
BBB- |
|
292,800 |
| |||||
|
130 |
|
Republic of Croatia, 144A |
|
6.625% |
|
7/14/20 |
|
BBB- |
|
128,700 |
| |||||
|
215 |
|
Republic of Croatia, 144A |
|
6.375% |
|
3/24/21 |
|
BBB- |
|
206,400 |
| |||||
|
|
|
Total Croatia |
|
|
|
|
|
|
|
627,900 |
| |||||
|
|
|
Dominican Republic – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
623 |
|
Dominican Republic, Reg S |
|
9.040% |
|
1/23/18 |
|
B+ |
|
681,559 |
| |||||
|
150 |
|
Dominican Republic, Reg S |
|
7.500% |
|
5/06/21 |
|
B+ |
|
154,500 |
| |||||
|
|
|
Total Dominican Republic |
|
|
|
|
|
|
|
836,059 |
| |||||
|
|
|
El Salvador – 0.5% |
|
|
|
|
|
|
|
|
| |||||
|
345 |
|
Republic of El Salvador, Reg S |
|
7.375% |
|
12/01/19 |
|
BB |
|
372,600 |
| |||||
|
361 |
|
Republic of El Salvador, Reg S |
|
7.750% |
|
1/24/23 |
|
Baa3 |
|
392,407 |
| |||||
|
75 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
9/21/34 |
|
Baa3 |
|
81,675 |
| |||||
|
260 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
2/01/41 |
|
Ba2 |
|
259,740 |
| |||||
|
30 |
|
Republic of El Salvador, Reg S |
|
8.250% |
|
4/10/32 |
|
Baa3 |
|
32,670 |
| |||||
|
|
|
Total El Salvador |
|
|
|
|
|
|
|
1,139,092 |
| |||||
|
|
|
Hungary – 0.4% |
|
|
|
|
|
|
|
|
| |||||
|
20 |
EUR |
Republic of Hungary, Government Bond |
|
4.375% |
|
7/04/17 |
|
BB+ |
|
22,235 |
| |||||
|
90 |
EUR |
Republic of Hungary, Government Bond |
|
5.750% |
|
6/11/18 |
|
BB+ |
|
103,784 |
| |||||
|
385 |
|
Republic of Hungary, Government Bond |
|
6.250% |
|
1/29/20 |
|
BB+ |
|
351,232 |
| |||||
|
205 |
EUR |
Republic of Hungary, Government Bond |
|
3.875% |
|
2/24/20 |
|
BB+ |
|
207,872 |
| |||||
|
46 |
|
Republic of Hungary, Government Bond |
|
6.375% |
|
3/29/21 |
|
BB+ |
|
42,090 |
| |||||
|
360 |
|
Republic of Hungary, Government Bond |
|
7.625% |
|
3/29/41 |
|
BB+ |
|
325,800 |
| |||||
|
|
|
Total Hungary |
|
|
|
|
|
|
|
1,053,013 |
| |||||
|
|
|
India – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
285 |
|
Reliance Holdings USA Inc., 144A |
|
5.400% |
|
2/14/22 |
|
BBB |
|
283,517 |
| |||||
|
|
|
Indonesia – 2.8% |
|
|
|
|
|
|
|
|
| |||||
|
680 |
|
Majapahit Holdings BV, Reg S, 144A |
|
7.750% |
|
10/17/16 |
|
BB |
|
787,100 |
| |||||
|
410 |
|
Majapahit Holdings BV, Reg S |
|
8.000% |
|
8/07/19 |
|
BB |
|
496,100 |
| |||||
|
360 |
|
Republic of Indonesia, 144A |
|
5.250% |
|
1/17/42 |
|
Baa3 |
|
377,550 |
| |||||
|
620 |
|
Republic of Indonesia, Reg S |
|
6.750% |
|
3/10/14 |
|
BBB- |
|
672,700 |
| |||||
|
590 |
|
Republic of Indonesia, Reg S |
|
10.375% |
|
5/04/14 |
|
BBB- |
|
687,350 |
| |||||
|
520 |
|
Republic of Indonesia, Reg S |
|
7.250% |
|
4/20/15 |
|
BBB- |
|
592,150 |
| |||||
|
615 |
|
Republic of Indonesia, Reg S |
|
7.500% |
|
1/15/16 |
|
BBB- |
|
719,550 |
| |||||
|
165 |
|
Republic of Indonesia, Reg S |
|
6.875% |
|
1/17/18 |
|
BBB- |
|
196,763 |
| |||||
|
510 |
|
Republic of Indonesia, Reg S |
|
11.625% |
|
3/04/19 |
|
BBB- |
|
759,900 |
| |||||
|
585 |
|
Republic of Indonesia, Reg S |
|
4.875% |
|
5/05/21 |
|
BBB- |
|
633,994 |
| |||||
|
125 |
|
Republic of Indonesia, Reg S |
|
8.500% |
|
10/12/35 |
|
BBB- |
|
185,625 |
| |||||
|
617 |
|
Republic of Indonesia, Reg S |
|
7.750% |
|
1/17/38 |
|
BBB- |
|
854,545 |
| |||||
|
|
|
Total Indonesia |
|
|
|
|
|
|
|
6,963,327 |
| |||||
|
|
|
Kazakhstan – 1.4% |
|
|
|
|
|
|
|
|
| |||||
|
330 |
|
Kazakhstan Development Bank |
|
6.500% |
|
6/03/20 |
|
BBB+ |
|
332,475 |
| |||||
|
820 |
|
Kazakhstan Development Bank, Reg S |
|
5.500% |
|
12/20/15 |
|
BBB+ |
|
877,400 |
| |||||
|
375 |
|
Kazakhstan Temir Zholy JSC |
|
7.000% |
|
5/13/16 |
|
BBB- |
|
417,188 |
| |||||
|
225 |
|
Kazatomprom, Reg S |
|
6.250% |
|
5/20/15 |
|
Baa3 |
|
243,563 |
| |||||
|
430 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
11.750% |
|
1/23/15 |
|
BBB- |
|
524,716 |
| |||||
|
265 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
9.125% |
|
7/02/18 |
|
BBB- |
|
330,169 |
| |||||
|
505 |
|
KazMuniaGaz Finance Subsidiary, Reg S |
|
9.125% |
|
7/02/18 |
|
Baa1 |
|
629,190 |
| |||||
|
129 |
|
Tengizchevroil LLP, 144A |
|
6.124% |
|
11/15/14 |
|
Baa2 |
|
135,183 |
| |||||
|
|
|
Total Kazakhstan |
|
|
|
|
|
|
|
3,489,884 |
| |||||
|
|
|
Latvia – 0.2% |
|
|
|
|
|
|
|
|
| |||||
|
520 |
|
Latvia Republic, 144A |
|
5.250% |
|
2/22/17 |
|
Baa1 |
|
535,600 |
| |||||
|
|
|
Lithuania – 0.8% |
|
|
|
|
|
|
|
|
| |||||
|
175 |
|
Republic of Lithuania, 144A |
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
204,750 |
| |||||
|
145 |
|
Republic of Lithuania, 144A |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
155,150 |
| |||||
|
670 |
|
Republic of Lithuania, 144A |
|
6.625% |
|
2/01/22 |
|
Baa1 |
|
742,025 |
| |||||
|
460 |
|
Republic of Lithuania, Reg S |
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
538,200 |
| |||||
|
315 |
|
Republic of Lithuania, Reg S |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
337,050 |
| |||||
|
|
|
Total Lithuania |
|
|
|
|
|
|
|
1,977,175 |
| |||||
|
|
|
Malaysia – 0.9% |
|
|
|
|
|
|
|
|
| |||||
|
765 |
|
Pertoliam Nasional Berhad, Reg S, 144A |
|
5.625% |
|
3/15/16 |
|
A- |
|
852,120 |
| |||||
|
565 |
|
Petronas Capital Limited, 144A |
|
5.250% |
|
8/12/19 |
|
A1 |
|
629,848 |
| |||||
|
560 |
|
Petronas Capital Limited, Reg S |
|
5.250% |
|
8/12/19 |
|
A1 |
|
624,274 |
| |||||
|
|
|
Total Malaysia |
|
|
|
|
|
|
|
2,106,242 |
| |||||
|
|
|
Mexico – 2.2% |
|
|
|
|
|
|
|
|
| |||||
|
546 |
|
America Movil S.A. de C.V. |
|
6.125% |
|
3/30/40 |
|
A2 |
|
634,080 |
| |||||
|
550 |
|
Comision Federal de Electricidad of the United States of Mexcio, 144A |
5.750% |
|
2/14/42 |
|
Baa1 |
|
549,450 |
| ||||||
|
8,660 |
MXN |
Mexico Bonos de DeSarrollo |
|
8.000% |
|
6/11/20 |
|
A- |
|
763,360 |
| |||||
|
9,000 |
MXN |
Mexico Bonos de DeSarrollo |
|
6.500% |
|
6/10/21 |
|
A- |
|
717,501 |
| |||||
|
435 |
|
Pemex Project Funding Master Trust |
|
6.625% |
|
6/15/35 |
|
Baa1 |
|
495,900 |
| |||||
|
630 |
|
United Mexican States |
|
5.750% |
|
10/12/11 |
|
Baa1 |
|
647,325 |
| |||||
|
85 |
|
United Mexican States |
|
5.875% |
|
1/15/14 |
|
Baa1 |
|
92,098 |
| |||||
|
816 |
|
United Mexican States |
|
5.875% |
|
2/17/14 |
|
Baa1 |
|
886,176 |
| |||||
|
272 |
|
United Mexican States |
|
5.625% |
|
1/15/17 |
|
Baa1 |
|
314,568 |
| |||||
|
302 |
|
United Mexican States |
|
4.750% |
|
3/08/44 |
|
Baa1 |
|
295,960 |
| |||||
|
|
|
Total Mexico |
|
|
|
|
|
|
|
5,396,418 |
| |||||
|
|
|
Netherlands – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
264 |
|
Waha Aerospace BV, 144A |
|
3.925% |
|
7/28/20 |
|
AA |
|
272,933 |
| |||||
|
|
|
Panama – 0.9% |
|
|
|
|
|
|
|
|
| |||||
|
180 |
|
AES Panama, Reg S |
|
6.350% |
|
12/21/16 |
|
BBB- |
|
194,400 |
| |||||
|
30 |
|
Republic of Panama |
|
7.250% |
|
3/15/15 |
|
BBB |
|
34,740 |
| |||||
|
100 |
|
Republic of Panama |
|
5.200% |
|
1/30/20 |
|
BBB |
|
114,650 |
| |||||
|
240 |
|
Republic of Panama |
|
7.125% |
|
1/29/26 |
|
BBB |
|
320,400 |
| |||||
|
825 |
|
Republic of Panama |
|
8.875% |
|
9/30/27 |
|
BBB |
|
1,262,250 |
| |||||
|
185 |
|
Republic of Panama |
|
6.700% |
|
1/26/36 |
|
Baa3 |
|
243,275 |
| |||||
|
|
|
Total Panama |
|
|
|
|
|
|
|
2,169,715 |
| |||||
|
|
|
Peru – 1.3% |
|
|
|
|
|
|
|
|
| |||||
|
590 |
|
Republic of Peru |
|
8.375% |
|
5/03/16 |
|
BBB |
|
733,075 |
| |||||
|
140 |
|
Republic of Peru |
|
7.125% |
|
3/30/19 |
|
BBB |
|
178,500 |
| |||||
|
770 |
|
Republic of Peru |
|
8.750% |
|
11/21/33 |
|
BBB |
|
1,194,270 |
| |||||
|
835 |
|
Republic of Peru |
|
5.625% |
|
11/18/50 |
|
BBB |
|
935,200 |
| |||||
|
249 |
PEN |
Republic of Peru, Reg S, GDR |
|
7.840% |
|
8/12/20 |
|
BBB+ |
|
108,200 |
| |||||
|
|
|
Total Peru |
|
|
|
|
|
|
|
3,149,245 |
| |||||
|
|
|
Philippines – 0.7% |
|
|
|
|
|
|
|
|
| |||||
|
380 |
|
National Power Corporation |
|
9.625% |
|
5/15/28 |
|
BB |
|
532,000 |
| |||||
|
230 |
|
Republic of the Philippines |
|
9.875% |
|
1/15/19 |
|
BB+ |
|
322,000 |
| |||||
|
270 |
|
Republic of the Philippines |
|
10.625% |
|
3/16/25 |
|
BB+ |
|
436,050 |
| |||||
|
65 |
|
Republic of the Philippines |
|
9.500% |
|
2/02/30 |
|
BB+ |
|
102,700 |
| |||||
|
260 |
|
Republic of the Philippines |
|
6.375% |
|
1/15/32 |
|
BB+ |
|
315,900 |
| |||||
|
|
|
Total Philippines |
|
|
|
|
|
|
|
1,708,650 |
| |||||
|
|
|
Poland – 1.1% |
|
|
|
|
|
|
|
|
| |||||
|
670 |
|
Republic of Poland |
|
3.875% |
|
7/16/15 |
|
A2 |
|
703,969 |
| |||||
|
415 |
|
Republic of Poland |
|
6.375% |
|
7/15/19 |
|
A2 |
|
482,438 |
| |||||
|
790 |
|
Republic of Poland |
|
5.125% |
|
4/21/21 |
|
A2 |
|
843,720 |
| |||||
|
620 |
|
Republic of Poland |
|
5.000% |
|
3/23/22 |
|
A2 |
|
653,492 |
| |||||
|
|
|
Total Poland |
|
|
|
|
|
|
|
2,683,619 |
| |||||
|
|
|
Qatar – 0.6% |
|
|
|
|
|
|
|
|
| |||||
|
282 |
|
Nakilat, Inc., Reg S |
|
6.067% |
|
12/31/33 |
|
AA- |
|
301,740 |
| |||||
|
682 |
|
State of Qatar, Reg S |
|
4.000% |
|
1/20/15 |
|
AA |
|
717,805 |
| |||||
|
215 |
|
State of Qatar, Reg S |
|
5.250% |
|
1/20/20 |
|
AA |
|
237,038 |
| |||||
|
290 |
|
State of Qatar, Reg S |
|
6.400% |
|
1/20/40 |
|
AA |
|
338,575 |
| |||||
|
|
|
Total Qatar |
|
|
|
|
|
|
|
1,595,158 |
| |||||
|
|
|
Romania – 0.2% |
|
|
|
|
|
|
|
|
| |||||
|
390 |
|
Republic of Romania, 144A |
|
6.750% |
|
2/07/22 |
|
Baa3 |
|
407,550 |
| |||||
|
|
|
Russian Federation – 2.8% |
|
|
|
|
|
|
|
|
| |||||
|
290 |
|
Alrosa Finance S.A., 144A |
|
7.750% |
|
11/03/20 |
|
BB- |
|
309,575 |
| |||||
|
800 |
|
Russian Federation, 144A, DD1 |
|
5.625% |
|
4/04/42 |
|
Baa1 |
|
793,600 |
| |||||
|
1,000 |
|
Russian Federation, Reg S |
|
3.625% |
|
4/29/15 |
|
Baa1 |
|
1,040,000 |
| |||||
|
180 |
|
Russian Federation, Reg S |
|
11.000% |
|
7/24/18 |
|
BBB |
|
252,450 |
| |||||
|
1,800 |
|
Russian Federation, Reg S |
|
5.000% |
|
4/29/20 |
|
Baa1 |
|
1,918,530 |
| |||||
|
597 |
|
Russian Federation, Reg S |
|
7.500% |
|
3/31/30 |
|
Baa1 |
|
714,496 |
| |||||
|
200 |
|
Russian Ministry of Finance, Reg S |
|
12.750% |
|
6/24/28 |
|
Baa1 |
|
360,250 |
| |||||
|
195 |
|
RZD Capital Limited, Russian Railways |
|
5.739% |
|
4/03/17 |
|
Baa1 |
|
206,456 |
| |||||
|
200 |
|
Sberbank Capital S.A., Loan Participation Note, 144A |
|
6.125% |
|
2/07/22 |
|
A3 |
|
205,250 |
| |||||
|
355 |
|
Sberbank of Russia Loan |
|
5.717% |
|
6/16/21 |
|
A3 |
|
355,976 |
| |||||
|
270 |
|
VTB Bank, Reg S |
|
6.315% |
|
2/22/18 |
|
Baa1 |
|
271,472 |
| |||||
|
200 |
|
VTB Capital S.A., Reg S |
|
6.875% |
|
5/29/18 |
|
Baa1 |
|
211,250 |
| |||||
|
265 |
|
VTB Capital S.A., Reg S |
|
6.551% |
|
10/13/20 |
|
BBB |
|
264,338 |
| |||||
|
|
|
Total Russian Federation |
|
|
|
|
|
|
|
6,903,643 |
| |||||
|
|
|
Senegal – 0.2% |
|
|
|
|
|
|
|
|
| |||||
|
400 |
|
Republic of Senegal, Reg S |
|
8.750% |
|
5/13/21 |
|
B1 |
|
434,000 |
| |||||
|
|
|
Serbia – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
265 |
|
Republic of Serbia, 144A |
|
7.250% |
|
9/28/21 |
|
BB |
|
278,913 |
| |||||
|
|
|
South Africa – 0.7% |
|
|
|
|
|
|
|
|
| |||||
|
200 |
|
Esckom Holdings Limited, Reg S |
|
5.750% |
|
1/26/21 |
|
A |
|
210,000 |
| |||||
|
190 |
|
Republic of South Africa |
|
7.375% |
|
4/25/12 |
|
A3 |
|
190,475 |
| |||||
|
710 |
|
Republic of South Africa |
|
6.875% |
|
5/27/19 |
|
A3 |
|
854,663 |
| |||||
|
335 |
|
Transnet Limited, 144A |
|
4.500% |
|
2/10/16 |
|
A3 |
|
346,765 |
| |||||
|
|
|
Total South Africa |
|
|
|
|
|
|
|
1,601,903 |
| |||||
|
|
|
South Korea – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
135 |
|
Korea Development Bank |
|
8.000% |
|
1/23/14 |
|
A1 |
|
148,812 |
| |||||
|
140 |
|
Republic of Korea |
|
5.750% |
|
4/16/14 |
|
A1 |
|
150,910 |
| |||||
|
|
|
Total South Korea |
|
|
|
|
|
|
|
299,722 |
| |||||
|
|
|
Sri Lanka – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
170 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
10/04/20 |
|
BB- |
|
169,150 |
| |||||
|
200 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
7/27/21 |
|
BB- |
|
199,054 |
| |||||
|
175 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
10/04/20 |
|
BB- |
|
174,125 |
| |||||
|
200 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
7/27/21 |
|
BB- |
|
199,054 |
| |||||
|
|
|
Total Sri Lanka |
|
|
|
|
|
|
|
741,383 |
| |||||
|
|
|
Turkey – 1.7% |
|
|
|
|
|
|
|
|
| |||||
|
275 |
|
Republic of Turkey, Government Bond |
|
7.250% |
|
3/15/15 |
|
BB+ |
|
305,250 |
| |||||
|
1,015 |
|
Republic of Turkey, Government Bond |
|
7.000% |
|
9/26/16 |
|
BB+ |
|
1,141,875 |
| |||||
|
321 |
|
Republic of Turkey, Government Bond |
|
7.500% |
|
7/14/17 |
|
BB+ |
|
369,953 |
| |||||
|
185 |
|
Republic of Turkey, Government Bond |
|
6.750% |
|
4/03/18 |
|
BB+ |
|
207,431 |
| |||||
|
700 |
|
Republic of Turkey, Government Bond |
|
5.125% |
|
3/25/22 |
|
BB+ |
|
694,750 |
| |||||
|
825 |
|
Republic of Turkey, Government Bond |
|
6.250% |
|
9/26/22 |
|
BB+ |
|
886,875 |
| |||||
|
620 |
|
Republic of Turkey, Government Bond |
|
6.875% |
|
3/17/36 |
|
BB+ |
|
688,200 |
| |||||
|
|
|
Total Turkey |
|
|
|
|
|
|
|
4,294,334 |
| |||||
|
|
|
Ukraine – 0.9% |
|
|
|
|
|
|
|
|
| |||||
|
210 |
|
Naftogaz Ukraine |
|
9.500% |
|
9/30/14 |
|
B |
|
203,175 |
| |||||
|
100 |
|
Republic of Ukraine, 144A |
|
6.875% |
|
9/23/15 |
|
B+ |
|
92,375 |
| |||||
|
660 |
|
Republic of Ukraine, 144A |
|
6.250% |
|
6/17/16 |
|
B+ |
|
574,200 |
| |||||
|
200 |
|
Republic of Ukraine, Reg S |
|
6.875% |
|
9/23/15 |
|
B+ |
|
184,750 |
| |||||
|
430 |
|
Republic of Ukraine, Reg S |
|
6.580% |
|
11/21/16 |
|
B+ |
|
371,950 |
| |||||
|
405 |
|
Republic of Ukraine, Reg S |
|
6.750% |
|
11/14/17 |
|
B+ |
|
354,375 |
| |||||
|
580 |
|
Republic of Ukraine, Reg S |
|
7.750% |
|
9/23/20 |
|
B+ |
|
495,900 |
| |||||
|
|
|
Total Ukraine |
|
|
|
|
|
|
|
2,276,725 |
| |||||
|
|
|
United Arab Emirates – 0.3% |
|
|
|
|
|
|
|
|
| |||||
|
430 |
|
Dolphin Energy Limited, 144A |
|
5.500% |
|
12/15/21 |
|
A1 |
|
453,113 |
| |||||
|
242 |
|
Dubai Electricity and Water Authority, 144A |
|
7.375% |
|
10/21/20 |
|
BBB- |
|
259,545 |
| |||||
|
100 |
|
Emirate of Abu Dhabi, Reg S |
|
6.750% |
|
4/08/19 |
|
Aa2 |
|
122,000 |
| |||||
|
|
|
Total United Arab Emirates |
|
|
|
|
|
|
|
834,658 |
| |||||
|
|
|
United Kingdom – 0.1% |
|
|
|
|
|
|
|
|
| |||||
|
245 |
|
Vedanta Resources PLC, 144A |
|
8.250% |
|
6/07/21 |
|
BB |
|
227,238 |
| |||||
|
|
|
Uruguay – 0.6% |
|
|
|
|
|
|
|
|
| |||||
|
596 |
|
Republic of Uruguay |
|
7.875% |
|
1/15/33 |
|
BBB- |
|
831,767 |
| |||||
|
422 |
|
Republic of Uruguay |
|
7.625% |
|
3/21/36 |
|
BBB- |
|
585,044 |
| |||||
|
|
|
Total Uruguay |
|
|
|
|
|
|
|
1,416,811 |
| |||||
|
|
|
Venezuela – 1.6% |
|
|
|
|
|
|
|
|
| |||||
|
255 |
|
Petroleos de Venezuela S.A., Reg S |
|
5.250% |
|
4/12/17 |
|
B+ |
|
192,930 |
| |||||
|
475 |
|
Petroleos de Venezuela S.A., 144A |
|
8.500% |
|
11/02/17 |
|
B+ |
|
422,270 |
| |||||
|
775 |
|
Petroleos de Venezuela S.A., Reg S |
|
8.500% |
|
11/02/17 |
|
B+ |
|
688,975 |
| |||||
|
510 |
|
Petroleos de Venezuela S.A., Reg S |
|
9.000% |
|
11/17/21 |
|
B+ |
|
413,100 |
| |||||
|
230 |
|
Republic of Venezuela, Reg S |
|
7.000% |
|
12/01/18 |
|
B+ |
|
202,860 |
| |||||
|
332 |
|
Republic of Venezuela, Reg S |
|
9.000% |
|
5/07/23 |
|
B+ |
|
282,774 |
| |||||
|
165 |
|
Republic of Venezuela, Reg S |
|
7.000% |
|
12/01/18 |
|
B2 |
|
137,775 |
| |||||
|
235 |
|
Republic of Venezuela, Reg S |
|
8.250% |
|
10/13/24 |
|
B+ |
|
187,413 |
| |||||
|
825 |
|
Republic of Venezuela, Reg S |
|
9.250% |
|
5/07/28 |
|
B+ |
|
684,750 |
| |||||
|
390 |
|
Republic of Venezuela, Reg S |
|
12.750% |
|
8/23/22 |
|
B+ |
|
409,500 |
| |||||
|
220 |
|
Republic of Venezuela, Reg S |
|
11.950% |
|
8/05/31 |
|
B+ |
|
216,700 |
| |||||
|
|
|
Total Venezuela |
|
|
|
|
|
|
|
3,839,047 |
| |||||
|
|
|
Total Emerging Markets Debt and Foreign Corporate Bonds (cost $73,154,298) |
|
77,495,670 |
| |||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |||||
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
| |||||
|
|
|
Short-Term Investments – 3.6% (2.5% of Total Investments) |
|
|
|
|
|
|
| |||||||
|
$ 1,178 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/12, repurchase price $1,178,147, collateralized by $1,195,000 U.S. Treasury Notes, 0.625%, due 4/30/13, value $1,205,456 |
|
0.010% |
|
4/02/12 |
|
|
|
$ 1,178,146 |
| |||||
|
7,617 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/30/12, repurchase price $7,616,426, collateralized by $7,170,000 U.S. Treasury Notes, 2.625%, due 4/30/16, value $7,770,488 |
|
0.010% |
|
4/02/12 |
|
|
|
7,616,420 |
| |||||
|
$ 8,795 |
|
Total Short-Term Investments (cost $8,794,566) |
|
|
|
|
|
|
|
8,794,566 |
| |||||
|
|
|
Total Investments (cost $314,047,371) – 141.5% |
|
|
|
|
|
|
|
348,463,158 |
| |||||
|
|
|
Borrowings – (39.7)% (10) |
|
|
|
|
|
|
|
(97,800,000) |
| |||||
|
|
|
Other Assets Less Liabilities – (1.8)% (11) |
|
|
|
|
|
|
|
(4,331,880) |
| |||||
|
|
|
Net Assets Applicable to Common Shares – 100% |
|
|
|
|
|
|
|
$ 246,331,278 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Investments in Derivatives at March 31, 2012 |
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Call Options Written outstanding: |
|
|
|
|
|
|
|
|
| |||||||
|
|
|
|
|
|
|
|
|
|
|
|
| |||||
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
| |||||
|
Contracts |
|
Type |
|
Amount (12) |
|
Date |
|
Price |
|
Value |
| |||||
|
(134) |
|
Barrick Gold Corporation |
|
$ (703,500) |
|
4/21/12 |
|
$ 52.5 |
|
$ (469) |
| |||||
|
(353) |
|
Hartford Financial Services Group, Inc. |
|
(847,200) |
|
5/19/12 |
|
24.0 |
|
(8,825) |
| |||||
|
(376) |
|
Ingersoll Rand Company Limited |
|
(1,504,000) |
|
6/16/12 |
|
40.0 |
|
(105,280) |
| |||||
|
(650) |
|
Interpublic Group Companies Inc. |
|
(780,000) |
|
7/21/12 |
|
12.0 |
|
(34,125) |
| |||||
|
(237) |
|
MetLife, Inc. |
|
(948,000) |
|
6/16/12 |
|
40.0 |
|
(20,619) |
| |||||
|
(165) |
|
Mosaic Company |
|
(948,750) |
|
6/16/12 |
|
57.5 |
|
(36,465) |
| |||||
|
(1,915) |
|
Total Call Options Written (premiums received $250,279) |
$ (5,731,450) |
|
|
|
|
|
$ (205,783) |
| ||||||
Forward Foreign Currency Exchange Contracts outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Apprecation |
|
|
|
|
|
|
Amount |
|
In Exchange For |
|
Amount |
|
Settlement |
|
(Depreciation) |
|
|
Counterparty |
|
Currency Contracts to Deliver |
|
(Local Currency) |
|
Currency |
|
(Local Currency) |
|
Date |
|
(U.S. Dollars) |
|
|
Bank of America |
|
Euro |
|
587,000 |
|
U.S. Dollar |
|
764,626 |
|
6/20/12 |
|
$ (18,577 |
) |
|
Citibank |
|
Colombian Peso |
|
1,036,317,000 |
|
U.S. Dollar |
|
582,855 |
|
6/20/12 |
|
8,196 |
|
|
Citibank |
|
U.S. Dollar |
|
46,145 |
|
Euro |
|
35,000 |
|
4/27/12 |
|
540 |
|
|
Credit Suisse |
|
Peruvian Nuevo Sol |
|
240,000 |
|
U.S. Dollar |
|
89,686 |
|
6/20/12 |
|
(164 |
) |
|
HSBC |
|
Mexican Peso |
|
11,408,000 |
|
U.S. Dollar |
|
889,409 |
|
6/20/12 |
|
4,218 |
|
|
JPMorgan Chase |
|
U.S. Dollar |
|
223,147 |
|
Euro |
|
167,000 |
|
6/20/12 |
|
(328 |
) |
|
JPMorgan Chase |
|
U.S. Dollar |
|
403,804 |
|
Malaysian Ringgit |
|
1,240,000 |
|
6/20/12 |
|
(486 |
) |
|
JPMorgan Chase |
|
U.S. Dollar |
|
712,033 |
|
Yuan Renminbi |
|
4,515,000 |
|
9/27/12 |
|
1,816 |
|
|
Morgan Stanley |
|
Brazilian Real |
|
1,717,000 |
|
U.S. Dollar |
|
986,158 |
|
6/04/12 |
|
57,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 52,889 |
|
Interest Rate Swaps Outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
Floating |
|
|
|
Payment |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Rate Index |
|
Fixed Rate * |
|
Frequency |
|
Date |
|
(Depreciation) |
|
|
JPMorgan |
|
$19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.193 |
% |
Monthly |
|
3/21/14 |
|
$ (307,556) |
|
|
Morgan Stanley |
|
19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.064 |
|
Monthly |
|
3/21/16 |
|
(941,593) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (1,249,149) |
|
* 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 March 31, 2012: |
| ||||||||
|
|
|
|
| ||||||||
|
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
|
|
|
Long-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks* |
|
$ 89,406,275 |
|
$ 423,759 |
|
$ – |
|
$ 89,830,034 |
|
|
|
|
REIT Common Stocks |
|
88,397,424 |
|
– |
|
– |
|
88,397,424 |
|
|
|
|
REIT Preferred Stocks |
|
4,275,600 |
|
– |
|
– |
|
4,275,600 |
|
|
|
|
Capital Preferred Securities |
|
– |
|
1,623,750 |
|
– |
|
1,623,750 |
|
|
|
|
Variable Rate Senior Loan Interests |
|
– |
|
78,046,114 |
|
– |
|
78,046,114 |
|
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds |
|
– |
|
77,495,670 |
|
– |
|
77,495,670 |
|
|
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements |
|
– |
|
8,794,566 |
|
– |
|
8,794,566 |
|
|
|
|
Derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written |
|
(205,783 |
) |
– |
|
– |
|
(205,783 |
) |
|
|
|
Forward Foreign Currency Exchange Contracts** |
|
– |
|
52,889 |
|
– |
|
52,889 |
|
|
|
|
Interest Rate Swaps** |
|
– |
|
(1,249,149 |
) |
– |
|
(1,249,149 |
) |
|
|
|
Total |
|
$181,873,516 |
|
$165,187,599 |
|
$ – |
|
$347,061,115 |
|
|
|
|
* 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 table below presents the transfers in and out of the three valuation levels for the Fund as of the end of the reporting period when compared to the valuation levels at the end of the previous fiscal year. Changes in the leveling of investments are due to changes in the leveling methodology, changes in the observability of inputs or changes in the pricing source used by the Fund. |
| ||||||||
|
|
|
|
| ||||||||
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
| |||
|
|
|
Transfers In |
(Transfers Out) |
|
Transfers In |
(Transfers Out) |
|
Transfers In |
(Transfers Out) |
|
|
|
|
|
$ 1,000,935 |
$ - |
|
$ - |
$ (1,000,935) |
|
$ - |
$ - |
|
|
|
|
|
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 March 31, 2012, 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 Optoins written, at value |
|
$ 205,783 |
| |||
|
|
|
Foreign Currency Exchange Rate |
|
Forward Foreign Currency Exchange Contracts |
|
Unrealized apprecation on forward foreign currency exchange contracts |
|
72,444 |
|
Unrealized depreciation on forward foreign currency exchange contracts |
|
19,555 |
| |||
|
|
|
Interest Rate |
|
Swaps |
|
Unrealized appreciation on interest rate swaps* |
|
— |
|
Unrealized depreciation on interest rate swaps* |
|
1,249,149 |
| |||
|
|
|
Total |
|
|
|
|
|
$ 72,444 |
|
|
|
$ 1,474,487 |
| |||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||
|
|
|
* Value represents cumulative unrealized appreciation (depreciation) of interest rate swap contracts as reported in the Fund’s 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 March 31, 2012, the cost of investments (excluding investments in derivatives) was $320,126,836.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at March 31, 2012, were as follows: |
| |||||||||||||
|
|
|
|
| |||||||||||||
|
|
|
|
| |||||||||||||
|
|
|
Gross unrealized: |
|
|
| |||||||||||
|
|
|
Appreciation |
|
$ 47,032,112 |
| |||||||||||
|
|
|
Depreciation |
|
(18,695,790 |
) | |||||||||||
|
|
|
|
|
|
| |||||||||||
|
|
|
Net unrealized appreciation (depreciation) of investments |
|
$ 28,336,322 |
| |||||||||||
|
|
|
|
|
|
| |||||||||||
|
|
|
|
For Fund portfolio compliance purposes, the Fund’s industry classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes or ratings group indexes, and/or as defined by Fund management. This definition may not apply for purposes of this report, which may combine industry sub-classifications 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) |
For fair value measurement disclosure purposes, Common Stock categorized as Level 2. |
|
|
|
|
(4) |
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investments in derivatives. |
|
|
|
|
(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. |
|
|
|
|
(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 28.1%. |
|
|
|
|
(11) |
Other Assets Less Liabilities includes the Value and/or the Net Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at March 31, 2012. |
|
|
|
|
(12) |
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
|
|
|
|
N/A |
Not applicable. |
|
|
|
|
DD1 |
Investment, or portion of investment, purchased on a delayed delivery basis. |
|
|
|
|
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. |
|
|
|
|
GDR |
Global 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 |
|
|
|
|
COP |
Colombian Peso |
|
|
|
|
EUR |
Euro |
|
|
|
|
MXN |
Mexican Peso |
|
|
|
|
PEN |
Peruvian Nuevo Sol |
|
|
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 May 30, 2012
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 May 30, 2012
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date May 30, 2012