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: |
9/30/2012 |
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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, 2012 |
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Shares |
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Description (1) |
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Value |
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Common Stocks – 36.3% (24.7% of Total Investments) |
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Aerospace & Defense – 0.6% |
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25,000 |
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Raytheon Company |
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$ 1,429,000 |
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Automobiles – 0.7% |
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|
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77,000 |
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General Motors Company, (2) |
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1,751,750 |
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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) |
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1,239,000 |
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Chemicals – 0.5% |
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|
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23,000 |
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Mosaic Company |
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1,325,030 |
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Commercial Banks – 1.3% |
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|
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95,000 |
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Wells Fargo & Company |
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3,280,350 |
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Communications Equipment – 1.2% |
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|
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130,000 |
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Cisco Systems, Inc. |
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2,481,700 |
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44,000 |
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LM Ericsson Telefonaktiebolget, Sponsored ADR |
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401,720 |
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Total Communications Equipment |
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2,883,420 |
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Computers & Peripherals – 0.3% |
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45,800 |
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Hewlett-Packard Company |
|
781,348 |
| ||||||
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Consumer Finance – 0.7% |
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|
| ||||||
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32,000 |
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Capital One Financial Corporation |
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1,824,320 |
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Diversified Financial Services – 2.1% |
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|
| ||||||
|
78,000 |
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Citigroup Inc. |
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2,552,160 |
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68,000 |
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JP Morgan Chase & Co. |
|
2,752,640 |
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Total Diversified Financial Services |
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5,304,800 |
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Diversified Telecommunication Services – 0.4% |
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|
| ||||||
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181,200 |
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Frontier Communications Corporation |
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887,880 |
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Energy Equipment & Services – 0.4% |
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|
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26,500 |
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Halliburton Company |
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892,785 |
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Food & Staples Retailing – 1.0% |
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|
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50,000 |
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CVS Caremark Corporation |
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2,421,000 |
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Hotels, Restaurants & Leisure – 1.4% |
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|
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59,150 |
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Starwood Hotels, & Resorts Worldwide, Inc. |
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3,428,334 |
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Industrial Conglomerates – 0.4% |
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|
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45,500 |
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General Electric Company |
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1,033,305 |
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Insurance – 3.8% |
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|
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73,900 |
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American International Group, (2) |
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2,423,181 |
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120,000 |
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Hartford Financial Services Group, Inc. |
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2,332,800 |
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37,500 |
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MetLife, Inc. |
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1,292,250 |
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63,000 |
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Symetra Financial Corporation |
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774,900 |
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132,500 |
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Unum Group |
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2,546,650 |
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Total Insurance |
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9,369,781 |
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Machinery – 0.6% |
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|
| ||||||
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18,800 |
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Ingersoll Rand Company Limited, Class A |
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842,616 |
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17,400 |
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PACCAR Inc. |
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696,435 |
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Total Machinery |
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1,539,051 |
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Media – 4.0% |
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147,000 |
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Interpublic Group Companies, Inc. |
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1,634,640 |
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16,393 |
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Metro-Goldwyn-Mayer, (2), (8) |
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516,380 |
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107,600 |
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National CineMedia, Inc. |
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1,761,412 |
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37,000 |
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News Corporation, Class A |
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907,610 |
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50,300 |
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Time Warner Inc. |
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2,280,099 |
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51,000 |
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Viacom Inc., Class B |
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2,733,090 |
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Total Media |
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9,833,231 |
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Metals & Mining – 2.0% |
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56,200 |
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AngloGold Ashanti Limited, Sponsored ADR |
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1,969,810 |
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49,500 |
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Barrick Gold Corporation |
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2,067,120 |
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14,600 |
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Newmont Mining Corporation |
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817,746 |
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Total Metals & Mining |
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4,854,676 |
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Oil, Gas & Consumable Fuels – 2.8% |
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9,900 |
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Occidental Petroleum Corporation |
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851,994 |
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24,000 |
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Royal Dutch Shell PLC, Class A |
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1,665,840 |
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200,100 |
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Talisman Energy Inc. |
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2,665,332 |
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36,000 |
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Total SA, Sponsored ADR |
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1,803,600 |
| ||||||
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Total Oil, Gas & Consumable Fuels |
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6,986,766 |
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Pharmaceuticals – 6.4% |
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58,600 |
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GlaxoSmithKline PLC |
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2,709,664 |
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60,000 |
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Merck & Company Inc. |
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2,706,000 |
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|
195,500 |
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Pfizer Inc., (3) |
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4,858,175 |
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|
94,500 |
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Sanofi-Aventis |
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4,069,170 |
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40,200 |
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Teva Pharmaceutical Industries Limited, Sponsored ADR |
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1,664,682 |
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Total Pharmaceuticals |
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16,007,691 |
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Semiconductors & Equipment – 0.4% |
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|
| ||||||
|
116,900 |
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Intersil Holding Corporation, Class A |
|
1,022,875 |
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Software – 2.6% |
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|
| ||||||
|
156,400 |
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CA Inc. |
|
4,029,646 |
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83,000 |
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Microsoft Corporation, (3) |
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2,471,740 |
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Total Software |
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6,501,386 |
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Specialty Retail – 0.3% |
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|
41,000 |
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Best Buy Co., Inc. |
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704,790 |
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Tobacco – 0.9% |
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|
25,000 |
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Philip Morris International |
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2,248,500 |
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Wireless Telecommunication Services – 1.0% |
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|
| ||||||
|
85,000 |
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Vodafone Group PLC, Sponsored ADR |
|
2,422,075 |
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Total Common Stocks (cost $83,369,923) |
|
89,973,144 |
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Shares |
|
Description (1) |
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Value |
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Real Estate Investment Trust Common Stocks – 34.4% (23.5% of Total Investments) |
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|
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Diversified – 2.8% |
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|
| ||||||
|
160,600 |
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Colonial Properties Trust |
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$ 3,380,630 |
| ||||||
|
45,500 |
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Vornado Realty Trust |
|
3,687,775 |
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Total Diversified |
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7,068,405 |
| ||||||
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Industrial – 1.7% |
|
|
| ||||||
|
117,498 |
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Prologis Inc. |
|
4,115,955 |
| ||||||
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Mortgage – 0.3% |
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|
| ||||||
|
56,000 |
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Redwood Trust Inc. |
|
809,760 |
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Office – 6.0% |
|
|
| ||||||
|
202,050 |
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BioMed Realty Trust Inc. |
|
3,782,376 |
| ||||||
|
32,550 |
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Boston Properties, Inc. |
|
3,600,356 |
| ||||||
|
141,800 |
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Mack-Cali Realty Corporation |
|
3,771,880 |
| ||||||
|
47,700 |
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SL Green Realty Corporation |
|
3,819,339 |
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Total Office |
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14,973,951 |
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Residential – 5.5% |
|
|
| ||||||
|
135,326 |
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Apartment Investment & Management Company, Class A |
|
3,517,123 |
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|
24,875 |
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AvalonBay Communities, Inc. |
|
3,382,751 |
| ||||||
|
56,900 |
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Equity Residential |
|
3,273,457 |
| ||||||
|
135,950 |
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UDR Inc. |
|
3,374,279 |
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Total Residential |
|
13,547,610 |
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Retail – 9.1% |
|
|
| ||||||
|
35,500 |
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Federal Realty Investment Trust |
|
3,738,150 |
| ||||||
|
46,310 |
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General Growth Properties Inc. |
|
902,119 |
| ||||||
|
190,000 |
|
Kimco Realty Corporation |
|
3,851,300 |
| ||||||
|
65,041 |
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Macerich Company |
|
3,722,296 |
| ||||||
|
77,500 |
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Regency Centers Corporation |
|
3,776,575 |
| ||||||
|
43,435 |
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Simon Property Group, Inc. |
|
6,593,867 |
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|
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Total Retail |
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22,584,307 |
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Specialized – 9.0% |
|
|
| ||||||
|
114,600 |
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Extra Space Storage Inc. |
|
3,810,450 |
| ||||||
|
82,100 |
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HCP, Inc. |
|
3,651,808 |
| ||||||
|
60,900 |
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Health Care REIT, Inc. |
|
3,516,975 |
| ||||||
|
258,742 |
|
Host Hotels, & Resorts Inc. |
|
4,152,809 |
| ||||||
|
25,224 |
|
Public Storage, Inc. |
|
3,510,424 |
| ||||||
|
58,900 |
|
Ventas Inc. |
|
3,666,525 |
| ||||||
|
|
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Total Specialized |
|
22,308,991 |
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|
|
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Total Real Estate Investment Trust Common Stocks (cost $60,394,382) |
|
85,408,979 |
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Shares |
|
Description (1) |
|
Coupon |
|
|
|
|
|
Value |
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Real Estate Investment Trust Preferred Stocks – 1.7% (1.2% of Total Investments) |
|
|
|
|
| ||||
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|
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Residential – 1.7% |
|
|
|
|
|
|
|
|
|
|
168,000 |
|
Equity Lifestyle Properties Inc. |
|
6.750% |
|
|
|
|
|
$ 4,322,640 |
|
|
|
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Total Real Estate Investment Trust Preferred Stocks (cost $4,265,280) |
|
4,322,640 |
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|
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Shares |
|
Description (1) |
|
Coupon |
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|
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Ratings (4) |
|
Value |
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|
|
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Capital Preferred Securities – 0.6% (0.4% of Total Investments) |
|
|
| ||||||
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Food Products – 0.6% |
|
|
|
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|
|
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|
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15 |
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HJ Heinz Finance Company, 144A |
|
8.000% |
|
|
|
BBB- |
|
$ 1,583,437 |
|
|
|
|
Total Capital Preferred Securities (cost $1,310,000) |
|
|
|
|
|
|
|
1,583,437 |
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Principal |
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Amount (000) |
|
Description (1) |
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Coupon |
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Maturity (5) |
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Ratings (4) |
|
Value |
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|
|
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Variable Rate Senior Loan Interests – 33.0% (22.5% of Total Investments) (6) |
|
|
| ||||||
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|
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Auto Components – 1.2% |
|
|
|
|
|
|
|
|
|
|
$ 1,304 |
|
Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.166% |
|
12/29/14 |
|
Ba3 |
|
$ 1,274,922 |
|
|
665 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.159% |
|
12/28/15 |
|
Ba3 |
|
650,471 |
|
|
1,000 |
|
Goodyear Tire & Rubber Company, Term Loan, Second Lien |
|
4.750% |
|
4/30/19 |
|
Ba1 |
|
1,010,417 |
|
|
2,969 |
|
Total Auto Components |
|
|
|
|
|
|
|
2,935,810 |
|
|
|
|
Biotechnology – 0.4% |
|
|
|
|
|
|
|
|
|
|
887 |
|
Grifols, Inc., Term Loan |
|
4.500% |
|
6/01/17 |
|
BB |
|
895,898 |
|
|
|
|
Building Products – 0.4% |
|
|
|
|
|
|
|
|
|
|
931 |
|
Goodman Global Inc., Term Loan |
|
5.750% |
|
10/28/16 |
|
B+ |
|
934,989 |
|
|
|
|
Chemicals – 0.8% |
|
|
|
|
|
|
|
|
|
|
1,016 |
|
Ashland, Inc., Term Loan |
|
3.750% |
|
8/23/18 |
|
Baa3 |
|
1,024,277 |
|
|
983 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
980,274 |
|
|
1,999 |
|
Total Chemicals |
|
|
|
|
|
|
|
2,004,551 |
|
|
|
|
Commercial Services & Supplies – 0.4% |
|
|
|
|
|
|
|
|
|
|
988 |
|
KAR Auction Services, Inc., Term Loan |
|
5.000% |
|
5/19/17 |
|
BB- |
|
993,877 |
|
|
|
|
Communications Equipment – 1.1% |
|
|
|
|
|
|
|
|
|
|
856 |
|
Intelsat Jackson Holdings, Ltd., Term Loan B1 |
|
4.500% |
|
4/02/18 |
|
B1 |
|
860,113 |
|
|
1,958 |
|
Avaya, Inc., Term Loan |
|
3.177% |
|
10/27/14 |
|
B1 |
|
1,902,670 |
|
|
2,814 |
|
Total Communications Equipment |
|
|
|
|
|
|
|
2,762,783 |
|
|
|
|
Consumer Finance – 0.3% |
|
|
|
|
|
|
|
|
|
|
750 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B3 |
|
735,750 |
|
|
|
|
Containers & Packaging – 0.8% |
|
|
|
|
|
|
|
|
|
|
1,599 |
|
Reynolds Group Holdings, Inc., Term Loan, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
1,607,000 |
|
|
459 |
|
Sealed Air Corporation, Term Loan |
|
4.750% |
|
10/03/18 |
|
Ba1 |
|
463,025 |
|
|
2,058 |
|
Total Containers & Packaging |
|
|
|
|
|
|
|
2,070,025 |
|
|
|
|
Diversified Financial Services – 0.6% |
|
|
|
|
|
|
|
|
|
|
1,000 |
|
ADS Waste Holdings, Inc., Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
1,008,333 |
|
|
460 |
|
Pinafore LLC, Term Loan |
|
4.250% |
|
9/29/16 |
|
BB |
|
463,479 |
|
|
1,460 |
|
Total Diversified Financial Services |
|
|
|
|
|
|
|
1,471,812 |
|
|
|
|
Electric Utilities – 0.7% |
|
|
|
|
|
|
|
|
|
|
2,312 |
|
TXU Corporation, 2014 Term Loan |
|
3.757% |
|
10/10/14 |
|
B2 |
|
1,727,982 |
|
|
|
|
Electrical Equipment – 0.3% |
|
|
|
|
|
|
|
|
|
|
395 |
|
Sensata Technologies B.V., Term Loan |
|
4.000% |
|
5/12/18 |
|
BB+ |
|
397,688 |
|
|
296 |
|
Sensus Metering Systems, Inc., Term Loan, First Lien |
|
4.750% |
|
5/09/17 |
|
Ba3 |
|
296,608 |
|
|
691 |
|
Total Electrical Equipment |
|
|
|
|
|
|
|
694,296 |
|
|
|
|
Food Products – 1.3% |
|
|
|
|
|
|
|
|
|
|
1,320 |
|
Michael Foods Group, Inc., Term Loan |
|
4.250% |
|
2/25/18 |
|
B+ |
|
1,330,659 |
|
|
1,959 |
|
U.S. Foodservice, Inc., Extended Term Loan |
|
5.750% |
|
3/31/17 |
|
B- |
|
1,937,671 |
|
|
3,279 |
|
Total Food Products |
|
|
|
|
|
|
|
3,268,330 |
|
|
|
|
Health Care Equipment & Supplies – 0.6% |
|
|
|
|
|
|
|
|
|
|
1,489 |
|
Chiron Merger Sub, Inc., Term Loan |
|
7.000% |
|
5/04/18 |
|
Ba2 |
|
1,512,012 |
|
|
|
|
Health Care Providers & Services – 4.8% |
|
|
|
|
|
|
|
|
|
|
4 |
|
Community Health Systems, Inc., Extended Term Loan |
|
3.921% |
|
1/25/17 |
|
BB |
|
4,267 |
|
|
1,000 |
|
ConvaTec Healthcare, Incremental Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
Ba3 |
|
1,005,000 |
|
|
1,000 |
|
DaVita, Inc., New Term Loan B2, WI/DD |
|
TBD |
|
TBD |
|
Ba2 |
|
1,003,750 |
|
|
1,965 |
|
DaVita, Inc., Tranche B, Term Loan |
|
4.500% |
|
10/20/16 |
|
Ba2 |
|
1,978,509 |
|
|
993 |
|
Emdeon Business Services LLC, Term Loan B1 |
|
5.000% |
|
11/02/18 |
|
BB- |
|
1,001,197 |
|
|
1,974 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B+ |
|
1,910,235 |
|
|
76 |
|
HCA, Inc., Tranche B2, Term Loan |
|
3.612% |
|
3/31/17 |
|
BB |
|
76,169 |
|
|
905 |
|
Kindred Healthcare, Term Loan |
|
5.250% |
|
6/01/18 |
|
Ba3 |
|
894,165 |
|
|
851 |
|
MultiPlan, Inc., Term Loan B |
|
4.750% |
|
8/26/17 |
|
Ba3 |
|
855,402 |
|
|
998 |
|
Select Medical Corporation, Tranche B, Term Loan A |
|
5.502% |
|
6/01/18 |
|
BB- |
|
1,006,228 |
|
|
1,414 |
|
United Surgical Partners International, Inc., Extended Term Loan |
|
5.250% |
|
4/19/17 |
|
B1 |
|
1,421,006 |
|
|
805 |
|
Universal Health Services, Inc., Term Loan B |
|
3.750% |
|
11/15/16 |
|
BB+ |
|
806,795 |
|
|
11,985 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
11,962,723 |
|
|
|
|
Hotels, Restaurants & Leisure – 3.2% |
|
|
|
|
|
|
|
|
|
|
1,955 |
|
24 Hour Fitness Worldwide, Inc., New Term Loan |
|
7.500% |
|
4/22/16 |
|
Ba3 |
|
1,981,881 |
|
|
183 |
|
Venetian Casino Resort LLC, Delayed Term Loan |
|
2.720% |
|
11/23/16 |
|
BBB- |
|
181,907 |
|
|
579 |
|
Venetian Casino Resort LLC, Tranche B, Term Loan |
|
2.720% |
|
11/23/16 |
|
BBB- |
|
577,689 |
|
|
1,395 |
|
Dunkin Brands, Inc., Term Loan B2 |
|
4.000% |
|
11/23/17 |
|
B |
|
1,395,271 |
|
|
32 |
|
OSI Restaurant Partners LLC, Revolver |
|
0.673% |
|
6/14/13 |
|
BB- |
|
32,314 |
|
|
326 |
|
OSI Restaurant Partners LLC, Term Loan |
|
2.500% |
|
6/14/14 |
|
BB- |
|
324,622 |
|
|
1,975 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B |
|
4.000% |
|
8/17/17 |
|
BB- |
|
1,984,776 |
|
|
1,500 |
|
Six Flags Theme Parks, Inc., Term Loan B |
|
4.250% |
|
12/20/18 |
|
BB+ |
|
1,511,243 |
|
|
7,945 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
7,989,703 |
|
|
|
|
Household Durables – 0.4% |
|
|
|
|
|
|
|
|
|
|
1,000 |
|
AOT Bedding Super Holdings LLC, Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
B+ |
|
997,411 |
|
|
|
|
Industrial Conglomerates – 1.2% |
|
|
|
|
|
|
|
|
|
|
2,955 |
|
U.S. Foodservice, Inc., Term Loan, First Lien |
|
5.750% |
|
3/31/17 |
|
B- |
|
2,918,060 |
|
|
|
|
Internet & Catalog Retail – 0.3% |
|
|
|
|
|
|
|
|
|
|
706 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B1 |
|
5.500% |
|
2/23/17 |
|
B |
|
715,736 |
|
|
|
|
Internet Software & Services – 0.3% |
|
|
|
|
|
|
|
|
|
|
627 |
|
Go Daddy Operating Co. LLC, Term Loan, Tranche B1 |
|
5.500% |
|
12/17/18 |
|
Ba3 |
|
625,234 |
|
|
|
|
IT Services – 0.8% |
|
|
|
|
|
|
|
|
|
|
490 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.975% |
|
2/28/14 |
|
BB |
|
491,311 |
|
|
1,247 |
|
First Data Corporation, Extended Term Loan B |
|
5.217% |
|
3/24/17 |
|
B+ |
|
1,228,278 |
|
|
306 |
|
Frac Tech International LLC, Term Loan |
|
6.250% |
|
5/06/16 |
|
B+ |
|
295,804 |
|
|
2,043 |
|
Total IT Services |
|
|
|
|
|
|
|
2,015,393 |
|
|
|
|
Leisure Equipment & Products – 0.5% |
|
|
|
|
|
|
|
|
|
|
1,329 |
|
Cedar Fair LP, Term Loan |
|
4.000% |
|
12/15/17 |
|
BB |
|
1,338,978 |
|
|
|
|
Media – 3.6% |
|
|
|
|
|
|
|
|
|
|
265 |
|
Emmis Operating Company, Term Loan |
|
4.362% |
|
11/01/13 |
|
B2 |
|
261,354 |
|
|
540 |
|
Nielsen Finance LLC, Term Loan C |
|
3.478% |
|
5/02/16 |
|
Ba2 |
|
542,477 |
|
|
1,564 |
|
Univision Communications, Inc., Term Loan |
|
4.466% |
|
3/31/17 |
|
B+ |
|
1,551,755 |
|
|
1,000 |
|
UPC Broadband Holding BV, Term Loan N |
|
3.731% |
|
12/31/17 |
|
Ba3 |
|
997,188 |
|
|
1,515 |
|
Yell Group PLC, Term Loan |
|
4.459% |
|
7/31/14 |
|
N/R |
|
411,658 |
|
|
614 |
|
Bresnan Broadband Holdings LLC, Term Loan B |
|
4.500% |
|
12/14/17 |
|
BB+ |
|
617,747 |
|
|
995 |
|
Cequel Communications LLC, Term Loan |
|
4.000% |
|
2/14/19 |
|
Ba2 |
|
1,000,284 |
|
|
992 |
|
Cumulus Media, Inc., Term Loan, First Lien |
|
5.750% |
|
9/17/18 |
|
Ba2 |
|
998,604 |
|
|
750 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B2 |
|
759,375 |
|
|
1,246 |
|
Interactive Data Corporation, Term Loan B |
|
4.500% |
|
2/11/18 |
|
BB- |
|
1,255,026 |
|
|
439 |
|
WideOpenWest Finance LLC, Term Loan B |
|
6.250% |
|
7/12/18 |
|
B1 |
|
443,561 |
|
|
9,920 |
|
Total Media |
|
|
|
|
|
|
|
8,839,029 |
|
|
|
|
Multiline Retail – 0.4% |
|
|
|
|
|
|
|
|
|
|
931 |
|
Bass Pro Group LLC, Term Loan B |
|
5.250% |
|
6/13/17 |
|
BB- |
|
943,292 |
|
|
|
|
Oil, Gas & Consumable Fuels – 1.0% |
|
|
|
|
|
|
|
|
|
|
500 |
|
El Paso Corporation, Tranche B1, Term Loan |
|
5.000% |
|
5/24/18 |
|
BB- |
|
505,310 |
|
|
1,160 |
|
Energy Transfer Partners LP, Term Loan B |
|
3.750% |
|
3/24/17 |
|
BB |
|
1,161,047 |
|
|
833 |
|
Samson Investment Company, Initial Term Loan, Second Lien |
|
6.000% |
|
9/25/18 |
|
B+ |
|
839,795 |
|
|
2,493 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
2,506,152 |
|
|
|
|
Pharmaceuticals – 2.8% |
|
|
|
|
|
|
|
|
|
|
500 |
|
Bausch & Lomb, Inc., Delayed Draw, Term Loan |
|
4.750% |
|
11/10/15 |
|
B+ |
|
505,623 |
|
|
1,496 |
|
Bausch & Lomb, Inc., Term Loan B |
|
5.250% |
|
5/17/19 |
|
B+ |
|
1,514,577 |
|
|
917 |
|
Par Pharmaceutical Companies, Inc., Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
B1 |
|
916,094 |
|
|
1,995 |
|
Valeant Pharmaceuticals International, Term Loan B, First Lien |
|
4.250% |
|
2/01/19 |
|
BBB- |
|
2,003,313 |
|
|
283 |
|
Warner Chilcott Company LLC, Term Loan B1 Additional |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
283,936 |
|
|
746 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
747,673 |
|
|
373 |
|
Warner Chilcott Corporation, Term Loan B2 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
373,836 |
|
|
513 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
4.250% |
|
3/15/18 |
|
BBB- |
|
514,025 |
|
|
6,823 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
6,859,077 |
|
|
|
|
Real Estate Investment Trust – 0.1% |
|
|
|
|
|
|
|
|
|
|
332 |
|
iStar Financial, Inc., Term Loan, Tranche A1 |
|
5.000% |
|
6/28/13 |
|
BB- |
|
333,183 |
|
|
|
|
Real Estate Management & Development – 0.5% |
|
|
|
|
|
|
|
|
|
|
895 |
|
Capital Automotive LP, Tranche B |
|
5.250% |
|
3/11/17 |
|
Ba3 |
|
901,590 |
|
|
383 |
|
LNR Property Corporation, Term Loan |
|
4.750% |
|
4/29/16 |
|
BB+ |
|
384,246 |
|
|
1,278 |
|
Total Real Estate Management & Development |
|
|
|
|
|
|
|
1,285,836 |
|
|
|
|
Road & Rail – 0.2% |
|
|
|
|
|
|
|
|
|
|
609 |
|
Swift Transportation Company, Inc., Term Loan, Tranche B2 |
|
5.000% |
|
12/21/17 |
|
BB |
|
613,272 |
|
|
|
|
Semiconductors & Equipment – 0.8% |
|
|
|
|
|
|
|
|
|
|
981 |
|
Freescale Semiconductor, Inc., Term Loan, Tranche B1 |
|
4.481% |
|
12/01/16 |
|
B1 |
|
960,467 |
|
|
985 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/03/17 |
|
B- |
|
996,079 |
|
|
1,966 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
1,956,546 |
|
|
|
|
Software – 1.3% |
|
|
|
|
|
|
|
|
|
|
885 |
|
Datatel Parent Corp, Term Loan B |
|
6.250% |
|
7/19/18 |
|
B+ |
|
897,950 |
|
|
873 |
|
Infor Enterprise Applications, Term Loan B |
|
5.250% |
|
4/05/18 |
|
Ba3 |
|
877,356 |
|
|
1,309 |
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B1 |
|
5.000% |
|
6/07/19 |
|
BB- |
|
1,322,900 |
|
|
135 |
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B2 |
|
5.000% |
|
6/07/19 |
|
BB- |
|
137,421 |
|
|
3,202 |
|
Total Software |
|
|
|
|
|
|
|
3,235,627 |
|
|
|
|
Specialty Retail – 1.7% |
|
|
|
|
|
|
|
|
|
|
988 |
|
J Crew Group, Term Loan |
|
4.750% |
|
3/07/18 |
|
B1 |
|
989,085 |
|
|
1,773 |
|
Jo-Ann Stores, Inc., Term Loan |
|
4.750% |
|
3/16/18 |
|
B+ |
|
1,779,855 |
|
|
1,000 |
|
Pilot Travel Centers LLC, First Amendment, Tranche B, Term Loan |
|
4.250% |
|
8/07/19 |
|
BB |
|
1,006,250 |
|
|
486 |
|
Pilot Travel Centers LLC, Term Loan |
|
4.250% |
|
3/30/18 |
|
BB |
|
488,111 |
|
|
4,247 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
4,263,301 |
|
|
|
|
Wireless Telecommunication Services – 0.2% |
|
|
|
|
|
|
|
|
|
|
574 |
|
Clear Channel Communications, Inc., Tranche B, Term Loan, WI/DD |
|
TBD |
|
TBD |
|
CCC+ |
|
471,056 |
|
|
$ 83,592 |
|
Total Variable Rate Senior Loan Interests (cost $82,908,389) |
|
81,877,724 |
| ||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) (7) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (4) |
|
Value |
|
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds- 33.6% (23.0% of Total Investments) |
| ||||||||
|
|
|
Argentina – 0.7% |
|
|
|
|
|
|
|
|
|
|
$ 130 |
|
City of Buenos Aires, Argentina, 144A |
|
|
|
|
|
|
|
$ 131,300 |
|
|
390 |
|
Republic of Argentina |
|
8.280% |
|
12/31/33 |
|
B- |
|
290,743 |
|
|
2,940 |
|
Republic of Argentina |
|
2.500% |
|
12/31/38 |
|
B |
|
1,083,390 |
|
|
451 |
|
Republic of Argentina |
|
2.260% |
|
12/31/38 |
|
B |
|
176,050 |
|
|
|
|
Total Argentina |
|
|
|
|
|
|
|
1,681,483 |
|
|
|
|
Azerbaijan – 0.2% |
|
|
|
|
|
|
|
|
|
|
465 |
|
Azerbaijan State Oil Company, Reg S |
|
5.450% |
|
2/09/17 |
|
BBB- |
|
497,448 |
|
|
|
|
Brazil – 3.0% |
|
|
|
|
|
|
|
|
|
|
300 |
|
Banco BTG Pactual SA Cayman, 144A |
|
5.750% |
|
9/28/22 |
|
Ba1 |
|
303,750 |
|
|
170 |
|
Banco do Brasil, Reg S |
|
8.500% |
|
12/31/49 |
|
Baa2 |
|
202,300 |
|
|
255 |
|
Banco do Nordeste do Brasil, 144A |
|
3.625% |
|
11/09/15 |
|
BBB |
|
261,375 |
|
|
140 |
|
BM&FBovespa SA, Reg S |
|
5.500% |
|
7/16/20 |
|
BBB+ |
|
159,110 |
|
|
36 |
|
Brazil Notas do Tesouro Nacional |
|
6.000% |
|
5/15/15 |
|
Baa2 |
|
427,787 |
|
|
300 |
|
Centrais Eletricas Brasileiras S.A, 144A |
|
5.750% |
|
10/27/21 |
|
BBB |
|
333,750 |
|
|
695 |
|
Companhia Energetica de Sao Paulo, 144A |
|
9.750% |
|
1/15/15 |
|
Ba1 |
|
498,252 |
|
|
496 |
|
Federative Republic of Brazil |
|
8.250% |
|
1/20/34 |
|
BBB |
|
819,640 |
|
|
545 |
|
Federative Republic of Brazil |
|
7.125% |
|
1/20/37 |
|
BBB |
|
821,588 |
|
|
250 |
|
Federative Republic of Brazil |
|
5.625% |
|
1/07/41 |
|
BBB |
|
320,000 |
|
|
191 |
|
Fibria Overseas Finance, 144A |
|
7.500% |
|
5/04/20 |
|
Ba1 |
|
208,190 |
|
|
150 |
|
Fibria Overseas Finance, 144A |
|
6.750% |
|
3/03/21 |
|
Ba1 |
|
160,125 |
|
|
120 |
|
Globo Comunicacao Participacoes, SA, 144A |
|
6.250% |
|
7/20/50 |
|
BBB+ |
|
129,600 |
|
|
295 |
|
Globo Comunicacao Participacoes, SA, 144A |
|
5.307% |
|
5/11/22 |
|
BBB+ |
|
320,813 |
|
|
200 |
|
OGX Petroleo e Gas Participacoes SA, 144A |
|
8.375% |
|
4/01/22 |
|
B1 |
|
174,000 |
|
|
525 |
|
Petrobras International Finance Company |
|
7.875% |
|
3/15/19 |
|
A3 |
|
659,441 |
|
|
220 |
|
Petrobras International Finance Company |
|
5.750% |
|
1/20/20 |
|
A3 |
|
250,756 |
|
|
240 |
|
Petrobras International Finance Company |
|
6.750% |
|
1/27/41 |
|
A3 |
|
297,875 |
|
|
215 |
|
Rearden G Holdings |
|
7.875% |
|
3/30/20 |
|
BB |
|
237,038 |
|
|
294 |
|
Telemar Norte Leste SA, 144A |
|
5.500% |
|
10/23/20 |
|
BBB |
|
308,700 |
|
|
325 |
|
Vale Overseas Limited |
|
6.875% |
|
11/10/39 |
|
A- |
|
379,068 |
|
|
85 |
|
Vale SA |
|
5.625% |
|
9/11/42 |
|
A- |
|
86,472 |
|
|
|
|
Total Brazil |
|
|
|
|
|
|
|
7,359,630 |
|
|
|
|
Canada – 0.2% |
|
|
|
|
|
|
|
|
|
|
431 |
|
Pacific Rubiales Energy Corporation, 144A |
|
7.250% |
|
12/12/21 |
|
BB+ |
|
506,425 |
|
|
|
|
Chile – 1.5% |
|
|
|
|
|
|
|
|
|
|
150 |
|
Banco del Estado Chile, 144A |
|
3.875% |
|
2/08/22 |
|
Aa3 |
|
158,904 |
|
|
305 |
|
Corporacion Nacional del Cobre de Chile, Reg S |
|
3.875% |
|
11/03/21 |
|
A1 |
|
331,462 |
|
|
640 |
|
Corporacion Nacional del Cobre de Chile, Reg S |
|
3.750% |
|
11/04/20 |
|
A1 |
|
691,556 |
|
|
420 |
|
Corporacion Nacional del Cobre, 144A |
|
3.750% |
|
11/04/20 |
|
A1 |
|
453,834 |
|
|
290 |
|
Corporacion Nacional del Cobre, 144A |
|
3.875% |
|
11/03/21 |
|
A1 |
|
315,161 |
|
|
210 |
|
Corporacion Nacional del Cobre, 144A |
|
3.000% |
|
7/17/22 |
|
A1 |
|
211,648 |
|
|
545 |
|
Corporacion Nacional del Cobre, 144A |
|
4.250% |
|
7/17/42 |
|
A1 |
|
538,972 |
|
|
195 |
|
E-CL S.A, 144A |
|
5.625% |
|
1/15/21 |
|
BBB- |
|
218,061 |
|
|
55 |
|
Empresa Nacional del Petroleo, 144A |
|
4.875% |
|
3/15/14 |
|
A |
|
57,056 |
|
|
225 |
|
Empresa Nacional del Petroleo, Reg S |
|
6.250% |
|
7/08/19 |
|
A |
|
259,520 |
|
|
395 |
|
Empresa Nacional del Petroleo, Reg S |
|
4.750% |
|
12/06/21 |
|
A |
|
422,650 |
|
|
|
|
Total Chile |
|
|
|
|
|
|
|
3,658,824 |
|
|
|
|
China – 0.2% |
|
|
|
|
|
|
|
|
|
|
255 |
|
Sinopec Group Overseas Development 2012, 144A |
|
3.900% |
|
5/17/22 |
|
Aa3 |
|
273,236 |
|
|
205 |
|
ENN Energy Holdings Limited, 144A |
|
6.000% |
|
5/13/21 |
|
BBB |
|
230,053 |
|
|
|
|
Total China |
|
|
|
|
|
|
|
503,289 |
|
|
|
|
Colombia – 1.3% |
|
|
|
|
|
|
|
|
|
|
395 |
|
Bancolombia SA |
|
6.125% |
|
7/26/20 |
|
Baa3 |
|
431,538 |
|
|
275 |
|
Bancolombia SA |
|
5.125% |
|
9/11/22 |
|
Baa3 |
|
277,750 |
|
|
200 |
|
PTT Global Chemical PCL, 144A |
|
4.250% |
|
9/19/22 |
|
BBB |
|
202,048 |
|
|
708,000 |
COP |
Republic of Colombia |
|
12.000% |
|
10/22/15 |
|
BBB- |
|
484,411 |
|
|
160 |
|
Republic of Colombia |
|
7.375% |
|
3/18/19 |
|
BBB- |
|
211,600 |
|
|
420,000 |
COP |
Republic of Colombia |
|
7.750% |
|
4/14/21 |
|
BBB- |
|
287,293 |
|
|
175,000 |
COP |
Republic of Colombia |
|
9.850% |
|
6/28/27 |
|
BBB- |
|
147,349 |
|
|
535 |
|
Republic of Colombia |
|
10.375% |
|
1/28/33 |
|
BBB- |
|
979,050 |
|
|
100 |
|
Republic of Colombia |
|
6.125% |
|
1/18/41 |
|
BBB- |
|
135,500 |
|
|
|
|
Total Colombia |
|
|
|
|
|
|
|
3,156,539 |
|
|
|
|
Cote d’Ivoire (Ivory Coast) – 0.3% |
|
|
|
|
|
|
|
|
|
|
905 |
|
Ivory Coast Republic, Reg S |
|
3.750% |
|
12/31/32 |
|
D |
|
778,300 |
|
|
|
|
Croatia – 0.4% |
|
|
|
|
|
|
|
|
|
|
130 |
|
Republic of Croatia, 144A |
|
6.625% |
|
7/14/20 |
|
BBB- |
|
145,730 |
|
|
305 |
|
Republic of Croatia, Reg S |
|
6.375% |
|
3/24/21 |
|
BBB- |
|
338,291 |
|
|
280 |
|
Republic of Croatia, 144A |
|
6.250% |
|
4/27/17 |
|
BBB- |
|
303,100 |
|
|
230 |
|
Republic of Croatia, Reg S |
|
5.375% |
|
11/29/19 |
|
BBB- |
|
259,325 |
|
|
|
|
Total Croatia |
|
|
|
|
|
|
|
1,046,446 |
|
|
|
|
Dominican Republic – 0.3% |
|
|
|
|
|
|
|
|
|
|
623 |
|
Dominican Republic, Reg S |
|
9.040% |
|
1/23/18 |
|
B+ |
|
696,199 |
|
|
|
|
El Salvador – 0.6% |
|
|
|
|
|
|
|
|
|
|
345 |
|
Republic of El Salvador, Reg S |
|
7.375% |
|
12/01/19 |
|
Ba2 |
|
396,750 |
|
|
481 |
|
Republic of El Salvador, Reg S |
|
7.750% |
|
1/24/23 |
|
Ba2 |
|
562,770 |
|
|
75 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
9/21/34 |
|
Ba2 |
|
84,750 |
|
|
260 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
2/01/41 |
|
Ba2 |
|
289,900 |
|
|
30 |
|
Republic of El Salvador, Reg S |
|
8.250% |
|
4/10/32 |
|
Ba2 |
|
35,625 |
|
|
|
|
Total El Salvador |
|
|
|
|
|
|
|
1,369,795 |
|
|
|
|
Georgia – 0.1% |
|
|
|
|
|
|
|
|
|
|
225 |
|
Georgian Railway LLC, 144A |
|
7.750% |
|
7/11/22 |
|
BB- |
|
256,741 |
|
|
|
|
Guatemala – 0.1% |
|
|
|
|
|
|
|
|
|
|
245 |
|
Republic of Guatemala, 144A |
|
5.750% |
|
6/06/22 |
|
Ba1 |
|
271,950 |
|
|
|
|
Hungary – 0.9% |
|
|
|
|
|
|
|
|
|
|
395 |
EUR |
Republic of Hungary, Government Bond |
|
4.375% |
|
7/04/17 |
|
BB+ |
|
478,936 |
|
|
90 |
EUR |
Republic of Hungary, Government Bond |
|
5.750% |
|
6/11/18 |
|
BB+ |
|
114,282 |
|
|
395 |
EUR |
Republic of Hungary, Government Bond |
|
3.875% |
|
2/24/20 |
|
BB+ |
|
445,617 |
|
|
46 |
|
Republic of Hungary, Government Bond |
|
6.375% |
|
3/29/21 |
|
BB+ |
|
50,085 |
|
|
940 |
|
Republic of Hungary, Government Bond |
|
7.625% |
|
3/29/41 |
|
BB+ |
|
1,062,200 |
|
|
|
|
Total Hungary |
|
|
|
|
|
|
|
2,151,120 |
|
|
|
|
Iceland – 0.1% |
|
|
|
|
|
|
|
|
|
|
231 |
|
Republic of Iceland, Treasury Obligations, 144A |
|
5.875% |
|
5/11/22 |
|
BBB- |
|
251,790 |
|
|
|
|
India – 0.2% |
|
|
|
|
|
|
|
|
|
|
285 |
|
Reliance Holdings USA Inc., 144A |
|
5.400% |
|
2/14/22 |
|
BBB |
|
303,578 |
|
|
245 |
|
Vedanta Resources PLC, 144A |
|
8.250% |
|
6/07/21 |
|
BB |
|
237,650 |
|
|
|
|
Total India |
|
|
|
|
|
|
|
541,228 |
|
|
|
|
Indonesia – 2.9% |
|
|
|
|
|
|
|
|
|
|
680 |
|
Majapahit Holdings BV, Reg S |
|
7.750% |
|
10/17/16 |
|
Baa3 |
|
805,800 |
|
|
185 |
|
Majapahit Holdings BV, Reg S |
|
8.000% |
|
8/07/19 |
|
Baa3 |
|
233,563 |
|
|
200 |
|
Perusahaan Listrik Negaraa PT, Reg S |
|
5.500% |
|
11/22/21 |
|
Baa3 |
|
223,750 |
|
|
620 |
|
Republic of Indonesia, Reg S |
|
6.750% |
|
3/10/14 |
|
Baa3 |
|
664,175 |
|
|
590 |
|
Republic of Indonesia, Reg S |
|
10.375% |
|
5/04/14 |
|
Baa3 |
|
670,388 |
|
|
520 |
|
Republic of Indonesia, Reg S |
|
7.250% |
|
4/20/15 |
|
Baa3 |
|
591,500 |
|
|
615 |
|
Republic of Indonesia, Reg S |
|
7.500% |
|
1/15/16 |
|
Baa3 |
|
723,394 |
|
|
165 |
|
Republic of Indonesia, Reg S |
|
6.875% |
|
1/17/18 |
|
Baa3 |
|
202,125 |
|
|
510 |
|
Republic of Indonesia, Reg S |
|
11.625% |
|
3/04/19 |
|
Baa3 |
|
779,025 |
|
|
585 |
|
Republic of Indonesia, Reg S |
|
4.875% |
|
5/05/21 |
|
Baa3 |
|
669,825 |
|
|
125 |
|
Republic of Indonesia, Reg S |
|
6.625% |
|
2/17/37 |
|
Baa3 |
|
165,625 |
|
|
807 |
|
Republic of Indonesia, Reg S |
|
7.750% |
|
1/17/38 |
|
Baa3 |
|
1,202,430 |
|
|
210 |
|
Republic of Indonesia, Reg S |
|
5.250% |
|
1/17/42 |
|
Baa3 |
|
239,138 |
|
|
|
|
Total Indonesia |
|
|
|
|
|
|
|
7,170,738 |
|
|
|
|
Kazakhstan – 1.6% |
|
|
|
|
|
|
|
|
|
|
195 |
|
Halyk Savings Bank of Kazakhstan, Reg S |
|
9.250% |
|
10/16/13 |
|
BB |
|
204,142 |
|
|
450 |
|
Kazakhstan Development Bank, Reg S |
|
5.500% |
|
12/20/15 |
|
BBB+ |
|
488,250 |
|
|
330 |
|
Kazakhstan Development Bank |
|
6.500% |
|
6/03/20 |
|
BBB+ |
|
355,575 |
|
|
225 |
|
Kazatomprom, Reg S |
|
6.250% |
|
5/20/15 |
|
Baa3 |
|
245,250 |
|
|
435 |
|
Kazmunaygas National, Reg S |
|
11.750% |
|
1/23/15 |
|
BBB- |
|
524,797 |
|
|
430 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
11.750% |
|
1/23/15 |
|
BBB- |
|
518,765 |
|
|
265 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
9.125% |
|
7/02/18 |
|
BBB- |
|
342,974 |
|
|
340 |
|
KazMuniaGaz Finance Subsidiary, Reg S |
|
9.125% |
|
7/02/18 |
|
BBB- |
|
440,042 |
|
|
200 |
|
Kazakhstan Temir Zholy JSC, 144A |
|
6.950% |
|
7/10/42 |
|
BBB- |
|
242,750 |
|
|
375 |
|
Kazakhstan Temir Zholy JSC, Reg S |
|
7.000% |
|
5/13/16 |
|
BBB- |
|
425,869 |
|
|
107 |
|
Tengizchevroil LLP, 144A |
|
6.124% |
|
11/15/14 |
|
Baa2 |
|
112,416 |
|
|
|
|
Total Kazakhstan |
|
|
|
|
|
|
|
3,900,830 |
|
|
|
|
Latvia – 0.4% |
|
|
|
|
|
|
|
|
|
|
295 |
|
Latvia Republic, Reg S |
|
5.250% |
|
2/22/17 |
|
BBB- |
|
324,500 |
|
|
520 |
|
Latvia Republic, 144A |
|
5.250% |
|
2/22/17 |
|
BBB- |
|
572,000 |
|
|
|
|
Total Latvia |
|
|
|
|
|
|
|
896,500 |
|
|
|
|
Lithuania – 0.6% |
|
|
|
|
|
|
|
|
|
|
175 |
|
Republic of Lithuania, 144A |
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
222,250 |
|
|
145 |
|
Republic of Lithuania, 144A |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
172,913 |
|
|
670 |
|
Republic of Lithuania, 144A |
|
6.625% |
|
2/01/22 |
|
Baa1 |
|
830,800 |
|
|
315 |
|
Republic of Lithuania, Reg S |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
375,638 |
|
|
|
|
Total Lithuania |
|
|
|
|
|
|
|
1,601,601 |
|
|
|
|
Luxembourg – 0.0% |
|
|
|
|
|
|
|
|
|
|
65 |
|
Gaz Capital SA, Reg S |
|
8.625% |
|
4/28/34 |
|
Baa1 |
|
91,000 |
|
|
|
|
Malaysia – 0.9% |
|
|
|
|
|
|
|
|
|
|
765 |
|
Pertoliam Nasional Berhad, Reg S |
|
5.625% |
|
3/15/16 |
|
A- |
|
864,861 |
|
|
565 |
|
Petronas Capital Limited, 144A |
|
5.250% |
|
8/12/19 |
|
A1 |
|
668,721 |
|
|
560 |
|
Petronas Capital Limited, Reg S |
|
5.250% |
|
8/12/19 |
|
A1 |
|
662,803 |
|
|
|
|
Total Malaysia |
|
|
|
|
|
|
|
2,196,385 |
|
|
|
|
Mexico – 2.0% |
|
|
|
|
|
|
|
|
|
|
196 |
|
America Movil S.A. de C.V. |
|
6.125% |
|
3/30/40 |
|
A2 |
|
255,029 |
|
|
8,018 |
MXN |
Mexico Bonos de DeSarrollo |
|
8.000% |
|
6/11/20 |
|
A- |
|
733,533 |
|
|
640 |
|
Pemex Project Funding Master Trust |
|
6.625% |
|
6/15/35 |
|
Baa1 |
|
803,200 |
|
|
245 |
|
Pemex Project Funding Master Trust |
|
6.625% |
|
6/15/38 |
|
Baa1 |
|
307,475 |
|
|
183 |
|
Petroleos Mexicanos |
|
5.500% |
|
6/27/44 |
|
Baa1 |
|
201,300 |
|
|
85 |
|
United Mexican States |
|
5.875% |
|
1/15/14 |
|
Baa1 |
|
89,888 |
|
|
816 |
|
United Mexican States |
|
5.875% |
|
2/17/14 |
|
Baa1 |
|
867,000 |
|
|
140 |
|
United Mexican States |
|
3.625% |
|
3/15/22 |
|
Baa1 |
|
152,670 |
|
|
365 |
|
United Mexican States |
|
7.500% |
|
4/08/33 |
|
Baa1 |
|
555,713 |
|
|
166 |
|
United Mexican States |
|
6.050% |
|
1/11/40 |
|
Baa1 |
|
221,195 |
|
|
200 |
|
United Mexican States |
|
4.750% |
|
3/08/44 |
|
Baa1 |
|
222,500 |
|
|
458 |
|
United Mexican States |
|
5.750% |
|
10/12/00 |
|
Baa1 |
|
547,310 |
|
|
|
|
Total Mexico |
|
|
|
|
|
|
|
4,956,813 |
|
|
|
|
Nigeria – 0.1% |
|
|
|
|
|
|
|
|
|
|
200 |
|
Nigerian Republic Treasury Bond, Reg S |
|
6.750% |
|
1/28/21 |
|
BB- |
|
226,000 |
|
|
|
|
Panama – 1.0% |
|
|
|
|
|
|
|
|
|
|
180 |
|
AES Panama, Reg S |
|
6.350% |
|
12/21/16 |
|
BBB- |
|
196,650 |
|
|
30 |
|
Republic of Panama |
|
7.250% |
|
3/15/15 |
|
BBB |
|
34,350 |
|
|
490 |
|
Republic of Panama |
|
8.875% |
|
9/30/27 |
|
BBB |
|
793,800 |
|
|
590 |
|
Republic of Panama |
|
9.375% |
|
4/01/29 |
|
BBB |
|
1,004,475 |
|
|
255 |
|
Republic of Panama |
|
6.700% |
|
1/26/36 |
|
BBB |
|
358,275 |
|
|
|
|
Total Panama |
|
|
|
|
|
|
|
2,387,550 |
|
|
|
|
Peru – 0.9% |
|
|
|
|
|
|
|
|
|
|
590 |
|
Republic of Peru |
|
8.375% |
|
5/03/16 |
|
BBB |
|
734,550 |
|
|
140 |
|
Republic of Peru |
|
7.125% |
|
3/30/19 |
|
BBB |
|
185,500 |
|
|
565 |
|
Republic of Peru |
|
8.750% |
|
11/21/33 |
|
BBB |
|
984,513 |
|
|
196 |
|
Republic of Peru |
|
5.625% |
|
11/18/50 |
|
BBB |
|
255,290 |
|
|
249 |
PEN |
Republic of Peru, Reg S, GDR |
|
7.840% |
|
8/12/20 |
|
BBB+ |
|
118,724 |
|
|
|
|
Total Peru |
|
|
|
|
|
|
|
2,278,577 |
|
|
|
|
Philipines – 1.3% |
|
|
|
|
|
|
|
|
|
|
380 |
|
National Power Corporation |
|
9.625% |
|
5/15/28 |
|
BB+ |
|
585,200 |
|
|
230 |
|
Republic of the Philippines |
|
9.875% |
|
1/15/19 |
|
BB+ |
|
332,925 |
|
|
270 |
|
Republic of the Philippines |
|
10.625% |
|
3/16/25 |
|
BB+ |
|
473,175 |
|
|
250 |
|
Republic of the Philippines |
|
9.500% |
|
2/02/30 |
|
BB+ |
|
432,188 |
|
|
190 |
|
Republic of the Philippines |
|
7.750% |
|
1/14/31 |
|
BB+ |
|
290,700 |
|
|
860 |
|
Republic of the Philippines |
|
6.375% |
|
1/15/32 |
|
BB+ |
|
1,163,150 |
|
|
|
|
Total Philipines |
|
|
|
|
|
|
|
3,277,338 |
|
|
|
|
Poland – 1.1% |
|
|
|
|
|
|
|
|
|
|
285 |
|
PKO Finance AB, 144A |
|
4.630% |
|
9/26/22 |
|
A2 |
|
285,855 |
|
|
95 |
|
Republic of Poland |
|
3.875% |
|
7/16/15 |
|
A2 |
|
101,413 |
|
|
920 |
|
Republic of Poland |
|
6.375% |
|
7/15/19 |
|
A2 |
|
1,136,200 |
|
|
425 |
|
Republic of Poland |
|
5.125% |
|
4/21/21 |
|
A2 |
|
495,125 |
|
|
620 |
|
Republic of Poland |
|
5.000% |
|
3/23/22 |
|
A2 |
|
719,200 |
|
|
|
|
Total Poland |
|
|
|
|
|
|
|
2,737,793 |
|
|
|
|
Qatar – 0.6% |
|
|
|
|
|
|
|
|
|
|
282 |
|
Nakilat, Inc., Reg S |
|
6.067% |
|
12/31/33 |
|
AA- |
|
332,760 |
|
|
567 |
|
State of Qatar, Reg S |
|
4.000% |
|
1/20/15 |
|
AA |
|
601,871 |
|
|
215 |
|
State of Qatar, Reg S |
|
5.250% |
|
1/20/20 |
|
AA |
|
254,238 |
|
|
290 |
|
State of Qatar, Reg S |
|
6.400% |
|
1/20/40 |
|
AA |
|
395,850 |
|
|
|
|
Total Qatar |
|
|
|
|
|
|
|
1,584,719 |
|
|
|
|
Romania – 0.3% |
|
|
|
|
|
|
|
|
|
|
226 |
|
Republic of Romania, Reg S |
|
6.750% |
|
2/07/22 |
|
Baa3 |
|
254,250 |
|
|
390 |
|
Republic of Romania, 144A |
|
6.750% |
|
2/07/22 |
|
Baa3 |
|
438,750 |
|
|
|
|
Total Romania |
|
|
|
|
|
|
|
693,000 |
|
|
|
|
Russian Federation – 3.0% |
|
|
|
|
|
|
|
|
|
|
290 |
|
Alrosa Finance SA, 144A |
|
7.750% |
|
11/03/20 |
|
BB- |
|
328,425 |
|
|
200 |
|
Gazprom Neft OAO Via GPN Capital SA, 144A |
|
4.375% |
|
9/19/22 |
|
BBB- |
|
199,000 |
|
|
600 |
|
Russian Federation, 144A |
|
3.250% |
|
4/04/17 |
|
Baa1 |
|
631,368 |
|
|
900 |
|
Russian Federation, Reg S |
|
3.625% |
|
4/29/15 |
|
Baa1 |
|
947,250 |
|
|
1,400 |
|
Russian Federation, Reg S |
|
5.000% |
|
4/29/20 |
|
Baa1 |
|
1,606,500 |
|
|
1,027 |
|
Russian Federation, Reg S |
|
7.500% |
|
3/31/30 |
|
Baa1 |
|
1,296,108 |
|
|
200 |
|
Russian Federation, Reg S |
|
5.625% |
|
4/04/42 |
|
Baa1 |
|
240,020 |
|
|
395 |
|
Russian Ministry of Finance, Reg S |
|
12.750% |
|
6/24/28 |
|
Baa1 |
|
765,313 |
|
|
570 |
|
Sberbank of Russia Loan, Reg S |
|
5.717% |
|
6/16/21 |
|
A3 |
|
615,030 |
|
|
270 |
|
Vnesheconombank |
|
6.315% |
|
2/22/18 |
|
Baa1 |
|
285,525 |
|
|
200 |
|
VTB Capital SA, Reg S |
|
6.875% |
|
5/29/18 |
|
Baa1 |
|
215,260 |
|
|
265 |
|
VTB Capital SA, Reg S |
|
6.551% |
|
10/13/20 |
|
Baa1 |
|
279,920 |
|
|
|
|
Total Russian Federation |
|
|
|
|
|
|
|
7,409,719 |
|
|
|
|
Serbia – 0.1% |
|
|
|
|
|
|
|
|
|
|
265 |
|
Republic of Serbia, 144A |
|
7.250% |
|
9/28/21 |
|
BB- |
|
280,238 |
|
|
|
|
Senegal – 0.2% |
|
|
|
|
|
|
|
|
|
|
400 |
|
Republic of Senegal, Reg S |
|
8.750% |
|
5/13/21 |
|
B+ |
|
484,000 |
|
|
|
|
Singapore – 0.2% |
|
|
|
|
|
|
|
|
|
|
210 |
|
DBS Bank Limited Singapore, Reg S |
|
3.625% |
|
9/21/22 |
|
Aa2 |
|
215,783 |
|
|
210 |
|
Oversea-Chinese Banking Corporation |
|
3.750% |
|
11/15/22 |
|
Aa2 |
|
217,017 |
|
|
|
|
Total Singapore |
|
|
|
|
|
|
|
432,800 |
|
|
|
|
Slovakia – 0.2% |
|
|
|
|
|
|
|
|
|
|
550 |
|
Slovakia Government, 144A |
|
4.375% |
|
5/21/22 |
|
A+ |
|
578,655 |
|
|
|
|
South Africa – 0.7% |
|
|
|
|
|
|
|
|
|
|
200 |
|
Esckom Holdings Limited, Reg S |
|
5.750% |
|
1/26/21 |
|
A |
|
228,000 |
|
|
710 |
|
Republic of South Africa |
|
6.875% |
|
5/27/19 |
|
Baa1 |
|
893,748 |
|
|
180 |
|
Republic of South Africa |
|
4.665% |
|
1/17/24 |
|
Baa1 |
|
202,050 |
|
|
335 |
|
Transnet Limited, 144A |
|
4.500% |
|
2/10/16 |
|
A3 |
|
355,833 |
|
|
|
|
Total South Africa |
|
|
|
|
|
|
|
1,679,631 |
|
|
|
|
South Korea – 0.1% |
|
|
|
|
|
|
|
|
|
|
135 |
|
Korea Development Bank |
|
8.000% |
|
1/23/14 |
|
Aa3 |
|
146,778 |
|
|
140 |
|
Republic of Korea |
|
5.750% |
|
4/16/14 |
|
Aa3 |
|
150,245 |
|
|
|
|
Total South Korea |
|
|
|
|
|
|
|
297,023 |
|
|
|
|
Sri Lanka – 0.4% |
|
|
|
|
|
|
|
|
|
|
170 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
10/04/20 |
|
BB- |
|
184,875 |
|
|
200 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
7/27/21 |
|
BB- |
|
217,462 |
|
|
290 |
|
Republic of Sri Lanka, 144A |
|
5.875% |
|
7/25/22 |
|
BB- |
|
312,475 |
|
|
175 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
10/04/20 |
|
BB- |
|
190,311 |
|
|
200 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
7/27/21 |
|
BB- |
|
217,462 |
|
|
|
|
Total Sri Lanka |
|
|
|
|
|
|
|
1,122,585 |
|
|
|
|
Turkey – 1.7% |
|
|
|
|
|
|
|
|
|
|
275 |
|
Republic of Turkey, Government Bond |
|
7.250% |
|
3/15/15 |
|
Ba1 |
|
304,563 |
|
|
775 |
|
Republic of Turkey, Government Bond |
|
7.000% |
|
9/26/16 |
|
Ba1 |
|
897,063 |
|
|
321 |
|
Republic of Turkey, Government Bond |
|
7.500% |
|
7/14/17 |
|
Ba1 |
|
385,200 |
|
|
185 |
|
Republic of Turkey, Government Bond |
|
6.750% |
|
4/03/18 |
|
BBB- |
|
217,606 |
|
|
275 |
|
Republic of Turkey, Government Bond |
|
5.625% |
|
3/30/21 |
|
Ba1 |
|
313,500 |
|
|
500 |
|
Republic of Turkey, Government Bond |
|
5.125% |
|
3/25/22 |
|
Ba1 |
|
550,625 |
|
|
225 |
|
Republic of Turkey, Government Bond |
|
6.250% |
|
9/26/22 |
|
Ba1 |
|
269,256 |
|
|
430 |
|
Republic of Turkey, Government Bond |
|
7.375% |
|
2/05/25 |
|
Ba1 |
|
557,925 |
|
|
360 |
|
Republic of Turkey, Government Bond |
|
6.875% |
|
3/17/36 |
|
Ba1 |
|
456,750 |
|
|
215 |
|
Turkiye Garanti Bankasi AS, 144A |
|
4.000% |
|
9/13/17 |
|
Baa2 |
|
215,129 |
|
|
|
|
Total Turkey |
|
|
|
|
|
|
|
4,167,617 |
|
|
|
|
Ukraine – 1.0% |
|
|
|
|
|
|
|
|
|
|
100 |
|
Republic of Ukraine, 144A |
|
6.875% |
|
9/23/15 |
|
B+ |
|
98,750 |
|
|
660 |
|
Republic of Ukraine, 144A |
|
6.250% |
|
6/17/16 |
|
B+ |
|
634,115 |
|
|
445 |
|
Republic of Ukraine, 144A |
|
9.250% |
|
7/24/17 |
|
B+ |
|
467,455 |
|
|
200 |
|
Republic of Ukraine, Reg S |
|
6.875% |
|
9/23/15 |
|
B+ |
|
197,500 |
|
|
425 |
|
Republic of Ukraine, Reg S |
|
6.580% |
|
11/21/16 |
|
B+ |
|
408,850 |
|
|
405 |
|
Republic of Ukraine, Reg S |
|
6.750% |
|
11/14/17 |
|
B+ |
|
386,775 |
|
|
355 |
|
Republic of Ukraine, Reg S |
|
7.750% |
|
9/23/20 |
|
B+ |
|
350,990 |
|
|
|
|
Total Ukraine |
|
|
|
|
|
|
|
2,544,435 |
|
|
|
|
United Arab Emirates – 0.5% |
|
|
|
|
|
|
|
|
|
|
242 |
|
Dubai Electricity and Water Authority, 144A |
|
7.375% |
|
10/21/20 |
|
Baa3 |
|
282,898 |
|
|
630 |
|
Emirate of Abu Dhabi, Reg S |
|
6.750% |
|
4/08/19 |
|
AA |
|
796,003 |
|
|
248 |
|
Waha Aerospace BV, 144A |
|
3.925% |
|
7/28/20 |
|
AA |
|
266,600 |
|
|
|
|
Total United Arab Emirates |
|
|
|
|
|
|
|
1,345,501 |
|
|
|
|
Uruguay – 0.2% |
|
|
|
|
|
|
|
|
|
|
116 |
|
Republic of Uruguay |
|
6.875% |
|
9/28/25 |
|
BBB- |
|
160,370 |
|
|
83 |
|
Republic of Uruguay |
|
7.875% |
|
1/15/33 |
|
BBB- |
|
129,866 |
|
|
185 |
|
Republic of Uruguay |
|
7.625% |
|
3/21/36 |
|
BBB- |
|
288,635 |
|
|
|
|
Total Uruguay |
|
|
|
|
|
|
|
578,871 |
|
|
|
|
Venezuela – 1.5% |
|
|
|
|
|
|
|
|
|
|
775 |
|
Petroleos de Venezuela SA, Reg S |
|
8.500% |
|
11/02/17 |
|
B+ |
|
701,375 |
|
|
255 |
|
Petroleos de Venezuela SA, Reg S |
|
5.250% |
|
4/12/17 |
|
B+ |
|
201,213 |
|
|
475 |
|
Petroleos de Venezuela SA, Reg S |
|
8.500% |
|
11/02/17 |
|
B+ |
|
429,875 |
|
|
441 |
|
Petroleos de Venezuela SA, Reg S |
|
9.000% |
|
11/17/21 |
|
B+ |
|
379,260 |
|
|
250 |
|
Petroleos de Venezuela SA, Reg S |
|
9.750% |
|
5/17/35 |
|
B+ |
|
208,750 |
|
|
300 |
|
Republic of Venezuela, Reg S |
|
9.000% |
|
5/07/23 |
|
B+ |
|
264,000 |
|
|
850 |
|
Republic of Venezuela, Reg S |
|
8.250% |
|
10/13/24 |
|
B+ |
|
705,500 |
|
|
300 |
|
Republic of Venezuela, Reg S |
|
12.750% |
|
8/23/22 |
|
B+ |
|
318,750 |
|
|
625 |
|
Republic of Venezuela, Reg S |
|
11.750% |
|
10/21/26 |
|
B+ |
|
628,123 |
|
|
|
|
Total Venezuela |
|
|
|
|
|
|
|
3,836,846 |
|
|
|
|
Total Emerging Markets Debt and Foreign Corporate Bonds (cost $75,928,385) |
|
|
83,483,972 |
| |||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
|
|
|
|
Short-Term Investments – 6.8% (4.7% of Total Investments) |
|
|
|
|
| ||||
|
|
|
Repurchase Agreements – 6.8% |
|
|
|
|
|
|
|
|
|
|
$ 7,994 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/12, repurchase price $7,993,609, collateralized by $6,000,000 U.S. Treasury Bonds, 4.500%, due 8/15/39, value $8,157,594 |
|
0.010% |
|
10/01/12 |
|
|
|
$ 7,993,602 |
|
|
8,941 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/28/12, repurchase price $8,940,596, collateralized by $8,170,000 U.S. Treasury Notes, 3.125%, due 4/30/17, value $9,121,356 |
|
0.010% |
|
10/01/12 |
|
|
|
8,940,589 |
|
|
$ 16,935 |
|
Total Short-Term Investments (cost $16,934,191) |
|
|
|
|
|
|
|
16,934,191 |
|
|
|
|
Total Investments (cost $325,110,550) – 146.4% |
|
|
|
|
|
|
|
363,584,087 |
|
|
|
|
Borrowings – (43.4)% (9) |
|
|
|
|
|
|
|
(107,800,000 |
) |
|
|
|
Other Assets Less Liabilities – (3.0)% (10) |
|
|
|
|
|
|
|
(7,510,140 |
) |
|
|
|
Net Assets Applicable to Common Shares – 100% |
|
|
|
|
|
|
|
$ 248,273,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Derivatives at September 30, 2012 |
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written outstanding: |
|
|
|
|
|
|
|
|
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
|
|
Contracts |
|
Type |
|
Amount (11) |
|
Date |
|
Price |
|
Value (10) |
|
|
(165) |
|
Mosaic Company |
|
$ (990,000) |
|
12/22/12 |
|
$ 60.0 |
|
$ (30,113) |
|
|
(1,351) |
|
Talisman Energy Inc. |
|
(1,621,200) |
|
10/20/12 |
|
12.0 |
|
(189,140) |
|
|
(1,516) |
|
Total Call Options Written (premium received $158,241) |
|
$ (2,611,200) |
|
|
|
|
|
$ (219,253) |
|
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) (10) |
|
|
Morgan Stanley |
|
Brazilian Real |
|
1,062,000 |
|
U.S. Dollar |
|
510,601 |
|
12/04/12 |
|
(9,307) |
|
|
Citibank |
|
Colombian Peso |
|
1,699,317,000 |
|
U.S. Dollar |
|
933,434 |
|
12/19/12 |
|
(1,207) |
|
|
JPMorgan Chase |
|
Euro |
|
895,000 |
|
U.S. Dollar |
|
1,160,871 |
|
12/19/12 |
|
9,788 |
|
|
JPMorgan Chase |
|
Mexican Peso |
|
14,533,000 |
|
U.S. Dollar |
|
1,104,835 |
|
12/19/12 |
|
(15,600) |
|
|
Citibank |
|
Peruvian Nuevo Sol |
|
240,000 |
|
U.S. Dollar |
|
91,568 |
|
12/19/12 |
|
(387) |
|
|
UBS |
|
U.S. Dollar |
|
208,259 |
|
Malaysian Ringgit |
|
645,000 |
|
12/19/12 |
|
1,129 |
|
|
Citibank |
|
U.S. Dollar |
|
818,713 |
|
Mexican Peso |
|
10,501,000 |
|
12/19/12 |
|
(9,129) |
|
|
Bank of America |
|
U.S. Dollar |
|
429,421 |
|
Turkish Lira |
|
780,000 |
|
12/19/12 |
|
(8) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (24,721) |
|
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) (10) |
|
|
JPMorgan |
|
$19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.193 |
% |
Monthly |
|
3/21/14 |
|
$ (288,016) |
|
|
Morgan Stanley |
|
19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.064 |
|
Monthly |
|
3/21/16 |
|
(1,149,419) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$(1,437,435) |
|
*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 following is a summary of the three-tiered hierarchy of valuation input levels. |
|
|
|
|
Level 1 – Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities. |
|
|
|
|
Level 2 – Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). |
|
|
|
|
Level 3 – Prices are determined using 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 risks associated with investing in those securities. The following is a summary of the Fund’s fair value measurements as of the end of the reporting period: |
|
|
|
|
|
|
Level 1 |
|
Level 2 |
|
Level 3 |
|
Total |
|
|
|
|
Long-Term Investments*: |
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks |
|
$ 89,456,764 |
|
$ 516,380 |
|
$ – |
|
$ 89,973,144 |
|
|
|
|
Real Estate Investment Trust Common Stocks |
|
85,408,979 |
|
– |
|
– |
|
85,408,979 |
|
|
|
|
Real Estate Investment Trust Preferred Stocks |
|
4,322,640 |
|
– |
|
– |
|
4,322,640 |
|
|
|
|
Capital Preferred Securities |
|
– |
|
1,583,437 |
|
– |
|
1,583,437 |
|
|
|
|
Variable Rate Senior Loan Interests |
|
– |
|
81,877,724 |
|
– |
|
81,877,724 |
|
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds |
|
– |
|
83,483,972 |
|
– |
|
83,483,972 |
|
|
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements |
|
– |
|
16,934,191 |
|
– |
|
16,934,191 |
|
|
|
|
Derivatives: |
|
|
|
|
|
|
|
|
|
|
|
|
Call Options Written |
|
(219,253 |
) |
– |
|
– |
|
(219,253 |
) |
|
|
|
Forward Foreign Currency Exchange Contracts** |
|
– |
|
(24,721 |
) |
– |
|
(24,721 |
) |
|
|
|
Interest Rate Swaps** |
|
– |
|
(1,421,810 |
) |
– |
|
(1,421,810 |
) |
|
|
|
Total |
|
$178,969,130 |
|
$182,949,173 |
|
$ – |
|
$361,918,303 |
|
|
|
|
* Refer to the Fund’s Portfolio of Investments for industry classification and breakdown of Common Stock classified as Level 2. |
|
|
|
|
** Represents net unrealized appreciation (depreciation) as reported in the Fund’s Portfolio of Investments. |
|
|
|
|
The Nuveen funds’ Board of Directors/Trustees is responsible for the valuation process and has delegated the oversight of the daily valuation process to the Adviser’s Valuation Committee. The Valuation Committee, pursuant to the valuation policies and procedures adopted by the Board of Directors/Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the funds’ pricing policies, and reporting to the Board of Directors/Trustees. The Valuation Committee is aided in its efforts by the Adviser’s dedicated Securities Valuation Team, which is responsible for administering the daily valuation process and applying fair value methodologies as approved by the Valuation Committee. When determining the reliability of independent pricing services for investments owned by the funds, the Valuation Committee, among other things, conducts due diligence reviews of the pricing services and monitors the quality of security prices received through various testing reports conducted by the Securities Valuation Team. |
|
|
|
|
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuer’s financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts’ research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Directors/Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such testing and fair valuation occurrences are reported to the Board of Directors/Trustees. |
|
|
|
|
|
|
|
|
|
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, 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 Derivative |
|
Liability Derivative |
| ||||||
|
|
|
Risk Exposure |
|
Instrument |
|
Location |
|
Value |
|
Location |
|
Value |
| ||
|
|
|
Equity Price |
|
Options |
|
— |
|
$ — |
|
Call options written, at value |
|
$ (219,253) |
| ||
|
|
|
Foreign Currency Exchange Rate |
|
Forward Foreign Currency Exchange Contracts |
|
Unrealized appreciation on forward foreign currency exchange contracts |
|
10,917 |
|
Unrealized depreciation on forward foreign currency exchange contracts |
|
(35,638) |
| ||
|
|
|
Interest Rate |
|
Swaps |
|
— |
|
— |
|
Unrealized depreciation on interest rate swaps |
|
(1,437,435) |
| ||
|
|
|
Total |
|
|
|
|
|
$ 36,038 |
|
|
|
$ (1,667,605) |
| ||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| ||
|
|
|
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, 2012, the cost of investments (excluding investments in derivatives) was $331,353,876. |
| ||||||||||||
|
|
|
|
|
|
| ||||||||||
|
|
|
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) at September 30, 2012, were as follows: |
| ||||||||||||
|
|
|
|
|
|
| ||||||||||
|
|
|
|
|
|
| ||||||||||
|
|
|
Gross unrealized: |
|
|
| ||||||||||
|
|
|
Appreciation |
|
$ 47,806,638 |
| ||||||||||
|
|
|
Depreciation |
|
(15,576,427 |
) | ||||||||||
|
|
|
|
|
|
| ||||||||||
|
|
|
Net unrealized appreciation (depreciation) of investments |
|
$ 32,230,211 |
| ||||||||||
|
|
|
|
|
|
| ||||||||||
|
|
|
|
|
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) |
|
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investment in derivatives. |
|
|
|
|
(4) |
|
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. |
|
|
|
|
(5) |
|
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. |
|
|
|
|
(6) |
|
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. |
|
|
|
|
(7) |
|
Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
|
|
|
|
(8) |
|
For fair value measurement disclosure purposes, Common Stock categorized as Level 2. |
|
|
|
|
(9) |
|
Borrowings as a percentage of total investments is 29.6%. |
|
|
|
|
(10) |
|
Other Assets Less Liabilities includes the Unrealized Appreciation (Depreciation) of derivative instruments as noted within Investments in Derivatives at September 30, 2012. |
|
|
|
|
(11) |
|
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
|
|
|
|
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. |
|
|
|
|
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. |
|
|
|
|
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. |
|
|
|
|
COP |
|
Columbian 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: November 29, 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: November 29, 2012
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date: November 29, 2012