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
   333 West Wacker Drive, Chicago, Illinois 60606   

 

 

(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:

3/31/2013

 

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, 2013

 

 

 

 

Shares

 

Description (1)

 

Value

 

 

 

Common Stocks - 35.9% (24.8% of Total Investments)

 

 

 

 

 

Aerospace & Defense - 0.6%

 

 

 

25,000

 

Raytheon Company

 

$       1,469,750

 

 

 

Automobiles - 0.8%

 

 

 

77,000

 

General Motors Company, (2)

 

2,142,140

 

 

 

Building Products - 0.6%

 

 

 

35,400

 

Masonite Worldwide Holdings, (2)

 

1,584,150

 

 

 

Capital Markets - 0.4%

 

 

 

33,050

 

Bank of New York Company, Inc.

 

925,070

 

 

 

Chemicals - 0.5%

 

 

 

23,000

 

Mosaic Company

 

1,371,030

 

 

 

Commercial Banks - 1.3%

 

 

 

91,800

 

Wells Fargo & Company

 

3,395,682

 

 

 

Communications Equipment - 1.4%

 

 

 

144,800

 

Cisco Systems, Inc.

 

3,027,768

 

44,000

 

LM Ericsson Telefonaktiebolget, Sponsored ADR

 

554,400

 

 

 

Total Communications Equipment

 

3,582,168

 

 

 

Consumer Finance - 1.1%

 

 

 

52,700

 

Capital One Financial Corporation

 

2,895,865

 

 

 

Diversified Financial Services - 2.5%

 

 

 

75,400

 

Citigroup Inc.

 

3,335,696

 

66,000

 

JPMorgan Chase & Co.

 

3,132,360

 

 

 

Total Diversified Financial Services

 

6,468,056

 

 

 

Diversified Telecommunication Services - 0.3%

 

 

 

181,200

 

Frontier Communications Corporation

 

721,176

 

 

 

Energy Equipment & Services - 0.4%

 

 

 

22,800

 

Halliburton Company

 

921,348

 

 

 

Food & Staples Retailing - 0.9%

 

 

 

43,900

 

CVS Caremark Corporation

 

2,414,061

 

 

 

Industrial Conglomerates - 0.4%

 

 

 

45,500

 

General Electric Company

 

1,051,960

 

 

 

Insurance - 4.5%

 

 

 

88,600

 

American International Group, (2)

 

3,439,452

 

120,000

 

Hartford Financial Services Group, Inc.

 

3,096,000

 

37,500

 

MetLife, Inc.

 

1,425,750

 

15,425

 

Symetra Financial Corporation

 

206,849

 

122,600

 

Unum Group

 

3,463,450

 

 

 

Total Insurance

 

11,631,501

 

 

 

Machinery - 0.8%

 

 

 

18,800

 

Ingersoll Rand Company Limited, Class A

 

1,034,188

 

17,400

 

PACCAR Inc.

 

879,744

 

 

 

Total Machinery

 

1,913,932

 

 

 

Media - 4.5%

 

 

 

147,000

 

Interpublic Group Companies, Inc.

 

1,915,410

 

16,393

 

Metro-Goldwyn-Mayer, (2), (3)

 

672,797

 

107,600

 

National CineMedia, Inc.

 

1,697,928

 

32,400

 

News Corporation, Class A

 

988,848

 

50,300

 

Time Warner Inc.

 

2,898,286

 

3,958

 

Tribune Company, (2)

 

225,012

 

3,185

 

Tribune Company, (15)

 

—

 

51,000

 

Viacom Inc., Class B

 

3,140,070

 

 

 

Total Media

 

11,538,351

 

 

 

Metals & Mining - 1.4%

 

 

 

40,000

 

AngloGold Ashanti Limited, Sponsored ADR

 

942,000

 

150,500

 

AuRico Gold Inc.

 

946,645

 

61,550

 

Barrick Gold Corporation

 

1,809,570

 

 

 

Total Metals & Mining

 

3,698,215

 

 

 

Oil, Gas & Consumable Fuels - 3.1%

 

 

 

30,800

 

Canadian Natural Resources Limited

 

989,604

 

9,900

 

Occidental Petroleum Corporation

 

775,863

 

41,650

 

Royal Dutch Shell PLC, Class A

 

2,713,914

 

114,600

 

Talisman Energy Inc.

 

1,403,850

 

43,900

 

Total SA, Sponsored ADR

 

2,106,322

 

 

 

Total Oil, Gas & Consumable Fuels

 

7,989,553

 

 

 

Pharmaceuticals - 5.4%

 

 

 

20,375

 

AstraZeneca PLC, Sponsored ADR

 

1,018,343

 

74,500

 

GlaxoSmithKline PLC, Sponsored ADR

 

3,494,795

 

32,200

 

Merck & Company Inc.

 

1,424,206

 

139,100

 

Pfizer Inc., (4)

 

4,014,426

 

76,900

 

Sanofi-Aventis, ADR

 

3,928,052

 

 

 

Total Pharmaceuticals

 

13,879,822

 

 

 

Semiconductors & Equipment - 0.4%

 

 

 

80,000

 

Applied Materials, Inc.

 

1,078,400

 

 

 

Software - 2.3%

 

 

 

142,500

 

CA Technologies, Inc.

 

3,586,725

 

83,000

 

Microsoft Corporation

 

2,374,630

 

 

 

Total Software

 

5,961,355

 

 

 

Specialty Retail - 0.4%

 

 

 

41,000

 

Best Buy Co., Inc.

 

908,150

 

 

 

Tobacco - 0.9%

 

 

 

25,000

 

Philip Morris International

 

2,317,750

 

 

 

Wireless Telecommunication Services - 1.0%

 

 

 

92,900

 

Vodafone Group PLC, Sponsored ADR

 

2,639,288

 

 

 

Total Common Stocks (cost $78,233,012)

 

92,498,773

 

 

 

 

 

 

 

Shares

 

Description (1)

 

Value

 

 

 

Real Estate Investment Trust Common Stocks - 37.1% (25.6% of Total Investments)

 

 

 

 

 

Diversified - 2.8%

 

 

 

154,550

 

Colonial Properties Trust

 

$       3,494,376

 

43,750

 

Vornado Realty Trust

 

3,659,250

 

 

 

Total Diversified

 

7,153,626

 

 

 

Hotels, Restaurants & Leisure - 2.5%

 

 

 

164,142

 

Host Hotels & Resorts Inc.

 

2,870,844

 

46,450

 

Starwood Hotels & Resorts Worldwide, Inc.

 

2,960,259

 

59,600

 

Sunstone Hotel Investors Inc., (2)

 

733,676

 

 

 

Total Hotels, Restaurants & Leisure

 

6,564,779

 

 

 

Industrial - 1.4%

 

 

 

90,498

 

Prologis Inc.

 

3,618,110

 

 

 

Mortgage - 0.5%

 

 

 

56,000

 

Redwood Trust Inc.

 

1,298,080

 

 

 

Office - 6.9%

 

 

 

164,250

 

BioMed Realty Trust Inc.

 

3,547,800

 

31,350

 

Boston Properties, Inc.

 

3,168,231

 

130,900

 

Douglas Emmett Inc.

 

3,263,337

 

136,500

 

Mack-Cali Realty Corporation

 

3,905,265

 

45,900

 

SL Green Realty Corporation

 

3,952,449

 

 

 

Total Office

 

17,837,082

 

 

 

Residential - 6.8%

 

 

 

130,876

 

Apartment Investment & Management Company, Class A

 

4,012,658

 

45,375

 

AvalonBay Communities, Inc.

 

5,747,651

 

84,700

 

Equity Residential

 

4,663,582

 

130,850

 

UDR Inc.

 

3,165,262

 

 

 

Total Residential

 

17,589,153

 

 

 

Retail - 8.9%

 

 

 

80,660

 

General Growth Properties Inc.

 

1,603,521

 

154,900

 

Kimco Realty Corporation

 

3,469,760

 

57,491

 

Macerich Company

 

3,701,271

 

74,600

 

Regency Centers Corporation

 

3,947,086

 

37,735

 

Simon Property Group, Inc.

 

5,983,258

 

129,750

 

Weingarten Realty Trust

 

4,093,613

 

 

 

Total Retail

 

22,798,509

 

 

 

Specialized - 7.3%

 

 

 

82,400

 

Extra Space Storage Inc.

 

3,235,848

 

79,000

 

HCP, Inc.

 

3,938,940

 

58,650

 

Health Care REIT, Inc.

 

3,982,922

 

24,324

 

Public Storage, Inc.

 

3,705,032

 

52,650

 

Ventas Inc.

 

3,853,980

 

 

 

Total Specialized

 

18,716,722

 

 

 

Total Real Estate Investment Trust Common Stocks (cost $65,757,334)

 

95,576,061

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

Coupon

 

 

 

 

 

Value

 

 

 

Real Estate Investment Trust Preferred Stocks - 1.5% (1.1% of Total Investments)

 

 

 

 

 

 

 

Residential - 1.5%

 

 

 

 

 

 

 

 

 

151,450

 

Equity Lifestyle Properties Inc.

 

6.750%

 

 

 

 

 

$   3,907,410

 

 

 

Total Real Estate Investment Trust Preferred Stocks (cost $3,843,751)

 

 

 

3,907,410

 

 

 

 

 

 

 

 

 

 

 

 

 

Shares

 

Description (1)

 

Coupon

 

 

 

Ratings (5)

 

Value

 

 

 

$1,000 Par (or similar) Institutional Structures - 0.6% (0.4% of Total Investments)

 

 

 

 

 

 

 

Food Products - 0.6%

 

 

 

 

 

 

 

 

 

15

 

HJ Heinz Finance Company, 144A

 

8.000%

 

 

 

BBB-

 

$   1,534,688

 

 

 

Total $1,000 Par (or similar) Institutional Structures (cost $1,310,000)

 

 

 

1,534,688

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal 
Amount (000)

 

Description (1)

 

Coupon

 

Maturity (6)

 

Ratings (5)

 

Value

 

 

 

Variable Rate Senior Loan Interests - 32.3% (22.3% of Total Investments) (7)

 

 

 

 

 

 

 

Aerospace & Defense - 0.2%

 

 

 

 

 

 

 

 

 

$      439

 

Hamilton Sundstrand, Term Loan, First Lien

 

4.000%

 

12/13/19

 

B1

 

$     442,402

 

 

 

Airlines - 0.2%

 

 

 

 

 

 

 

 

 

500

 

Delta Air Lines, Inc., Term Loan B1

 

5.250%

 

10/18/18

 

Ba2

 

508,594

 

 

 

Auto Components - 1.1%

 

 

 

 

 

 

 

 

 

1,297

 

Federal-Mogul Corporation, Tranche B, Term Loan

 

2.138%

 

12/29/14

 

B1

 

1,215,709

 

662

 

Federal-Mogul Corporation, Tranche C, Term Loan

 

2.138%

 

12/28/15

 

B1

 

620,259

 

1,000

 

Goodyear Tire & Rubber Company, Term Loan, Second Lien

 

4.750%

 

4/30/19

 

Ba1

 

1,012,492

 

2,959

 

Total Auto Components

 

 

 

 

 

 

 

2,848,460

 

 

 

Biotechnology - 0.3%

 

 

 

 

 

 

 

 

 

881

 

Grifols, Inc., Term Loan

 

4.250%

 

6/01/17

 

BB

 

891,318

 

 

 

Capital Markets - 0.4%

 

 

 

 

 

 

 

 

 

987

 

Walter Investment Management First Lien, Term Loan

 

5.750%

 

11/28/17

 

B+

 

1,006,348

 

 

 

Chemicals - 0.4%

 

 

 

 

 

 

 

 

 

977

 

Univar, Inc., Term Loan

 

5.000%

 

6/30/17

 

B+

 

988,414

 

 

 

Commercial Services & Supplies - 0.8%

 

 

 

 

 

 

 

 

 

1,042

 

Aramark Corporation, Term Loan D

 

4.000%

 

2/20/20

 

BB-

 

1,054,218

 

983

 

KAR Auction Services, Inc., Term Loan B

 

3.750%

 

5/19/17

 

BB-

 

994,205

 

2,025

 

Total Commercial Services & Supplies

 

 

 

 

 

 

 

2,048,423

 

 

 

Communications Equipment - 0.6%

 

 

 

 

 

 

 

 

 

1,500

 

Arris Group, Inc., Term Loan B, WI/DD

 

TBD

 

TBD

 

BB-

 

1,504,688

 

 

 

Consumer Finance - 0.3%

 

 

 

 

 

 

 

 

 

750

 

Springleaf Financial Funding Company, Term Loan

 

5.500%

 

5/10/17

 

B3

 

756,211

 

 

 

Containers & Packaging - 0.8%

 

 

 

 

 

 

 

 

 

1,590

 

Reynolds Group Holdings, Inc., Term Loan

 

4.750%

 

9/28/18

 

B+

 

1,615,515

 

356

 

Sealed Air Corporation, Term Loan B1

 

4.000%

 

10/03/18

 

Ba1

 

361,862

 

1,946

 

Total Containers & Packaging

 

 

 

 

 

 

 

1,977,377

 

 

 

Diversified Financial Services - 0.3%

 

 

 

 

 

 

 

 

 

451

 

Pinafore LLC, Term Loan

 

3.750%

 

9/29/16

 

BB

 

455,317

 

438

 

WideOpenWest Finance LLC, Term Loan B, WI/DD

 

TBD

 

TBD

 

B1

 

442,451

 

889

 

Total Diversified Financial Services

 

 

 

 

 

 

 

897,768

 

 

 

Diversified Telecommunication Services - 0.6%

 

 

 

 

 

 

 

854

 

Intelsat Jackson Holdings, Ltd., Term Loan B1

 

4.500%

 

4/02/18

 

BB-

 

868,100

 

748

 

Windstream Corporation, Term Loan B

 

3.500%

 

1/23/20

 

Baa3

 

756,541

 

1,602

 

Total Diversified Telecommunication Services

 

 

 

 

 

 

 

1,624,641

 

 

 

Electric Utilities - 0.7%

 

 

 

 

 

 

 

 

 

2,312

 

TXU Corporation, 2014 Term Loan

 

3.733%

 

10/10/14

 

B2

 

1,705,874

 

 

 

Electrical Equipment - 0.1%

 

 

 

 

 

 

 

 

 

294

 

Sensus Metering Systems, Inc., Term Loan, First Lien

 

4.750%

 

5/09/17

 

Ba3

 

294,735

 

 

 

Food Products - 2.3%

 

 

 

 

 

 

 

 

 

998

 

AdvancePierre Foods, Inc., Term Loan, First Lien

 

5.750%

 

7/10/17

 

B1

 

1,013,709

 

1,800

 

H.J Heinz Company, Term Loan B2, WI/DD

 

TBD

 

TBD

 

BB

 

1,817,775

 

1,238

 

Michael Foods Group, Inc., Term Loan

 

4.250%

 

2/25/18

 

Ba3

 

1,259,306

 

1,947

 

U.S. Foodservice, Inc., Extended Term Loan

 

5.750%

 

3/31/17

 

B2

 

1,976,293

 

5,983

 

Total Food Products

 

 

 

 

 

 

 

6,067,083

 

 

 

Health Care Equipment & Supplies - 1.1%

 

 

 

 

 

 

 

 

 

1,481

 

Kinetic Concepts, Inc., Term Loan C1

 

5.500%

 

5/04/18

 

Ba2

 

1,509,978

 

1,410

 

United Surgical Partners International, Inc., Term Loan, First Lien, WI/DD

 

TBD

 

TBD

 

B1

 

1,413,017

 

2,891

 

Total Health Care Equipment & Supplies

 

 

 

 

 

 

 

2,922,995

 

 

 

Health Care Providers & Services - 3.0%

 

 

 

 

 

 

 

 

 

4

 

Community Health Systems, Inc., Extended Term Loan

 

3.787%

 

1/25/17

 

BB

 

4,293

 

998

 

DaVita, Inc., New Term Loan B2

 

4.000%

 

11/01/19

 

Ba2

 

1,009,112

 

1,955

 

DaVita, Inc., Tranche B, Term Loan

 

4.500%

 

10/20/16

 

Ba2

 

1,979,438

 

1,964

 

Golden Living, Term Loan

 

5.000%

 

5/04/18

 

B1

 

1,903,942

 

76

 

HCA, Inc., Tranche B2, Term Loan

 

3.534%

 

3/31/17

 

BB

 

76,677

 

901

 

Kindred Healthcare, Term Loan

 

5.250%

 

6/01/18

 

Ba3

 

910,194

 

993

 

Select Medical Corporation, Tranche B, Term Loan A

 

5.501%

 

6/01/18

 

BB-

 

998,703

 

805

 

Universal Health Services, Inc., Term Loan B

 

3.750%

 

11/15/16

 

BB+

 

813,004

 

7,696

 

Total Health Care Providers & Services

 

 

 

 

 

 

 

7,695,363

 

 

 

Health Care Technology - 0.4%

 

 

 

 

 

 

 

 

 

988

 

Emdeon Business Services LLC, Term Loan B1

 

5.000%

 

11/02/18

 

BB-

 

1,002,030

 

 

 

Hotels, Restaurants & Leisure - 2.7%

 

 

 

 

 

 

 

 

 

1,950

 

24 Hour Fitness Worldwide, Inc., New Term Loan

 

7.500%

 

4/22/16

 

Ba3

 

1,971,532

 

736

 

Cedar Fair LP, Term Loan B

 

3.250%

 

3/06/20

 

BB-

 

746,656

 

182

 

Las Vegas Sands Corporation, Extended Delayed Draw Term Loan

 

2.710%

 

11/23/16

 

BBB-

 

182,848

 

576

 

Las Vegas Sands Corporation, Extended Term Loan B

 

2.710%

 

11/23/16

 

BBB-

 

578,408

 

499

 

MGM Resorts International, Term Loan B

 

4.250%

 

12/20/19

 

BB

 

507,745

 

1,965

 

Seaworld Parks and Entertainment, Inc., Term Loan B

 

4.000%

 

8/17/17

 

BB-

 

1,983,664

 

1,013

 

Six Flags Theme Parks, Inc., Term Loan B, First Lien

 

4.001%

 

12/20/18

 

BB+

 

1,028,415

 

6,921

 

Total Hotels, Restaurants & Leisure

 

 

 

 

 

 

 

6,999,268

 

 

 

Household Durables - 0.4%

 

 

 

 

 

 

 

 

 

1,000

 

AOT Bedding Super Holdings LLC, Term Loan B

 

5.003%

 

10/01/19

 

B+

 

1,015,208

 

 

 

Industrial Conglomerates - 1.5%

 

 

 

 

 

 

 

 

 

1,000

 

DuPont Performance Coatings, Dollar Term Loan B

 

4.750%

 

1/17/20

 

B+

 

1,014,432

 

2,940

 

U.S. Foodservice, Inc., Term Loan, First Lien

 

5.750%

 

3/31/17

 

B2

 

2,974,912

 

3,940

 

Total Industrial Conglomerates

 

 

 

 

 

 

 

3,989,344

 

 

 

Internet & Catalog Retail - 0.3%

 

 

 

 

 

 

 

 

 

653

 

Burlington Coat Factory Warehouse Corporation, Term Loan B1

 

5.500%

 

2/23/17

 

B+

 

662,773

 

 

 

IT Services - 0.1%

 

 

 

 

 

 

 

 

 

302

 

SunGard Data Systems, Inc., Term Loan B

 

1.953%

 

2/28/14

 

BB

 

303,632

 

 

 

Media - 3.3%

 

 

 

 

 

 

 

 

 

582

 

Bresnan Broadband Holdings LLC, Term Loan B

 

4.500%

 

12/14/17

 

BB+

 

586,638

 

969

 

Cequel Communications LLC, Term Loan

 

4.000%

 

2/14/19

 

Ba2

 

979,192

 

987

 

Cumulus Media, Inc., Term Loan B, First Lien

 

4.500%

 

9/18/18

 

Ba2

 

1,000,677

 

750

 

Cumulus Media, Inc., Term Loan, Second Lien

 

7.500%

 

9/16/19

 

B2

 

780,000

 

1,246

 

Interactive Data Corporation, Term Loan

 

3.750%

 

1/31/18

 

Ba3

 

1,262,436

 

537

 

Nielsen Finance LLC, Term Loan E

 

2.952%

 

5/25/16

 

BBB-

 

542,812

 

499

 

Tribune Company, Exit Term Loan B

 

4.000%

 

12/17/19

 

BB+

 

504,112

 

1,564

 

Univision Communications, Inc., Term Loan C1

 

4.750%

 

2/14/20

 

B+

 

1,574,842

 

1,000

 

UPC Broadband Holding BV, Term Loan N

 

3.704%

 

12/31/17

 

Ba3

 

1,007,969

 

1,549

 

Yell Group PLC, Term Loan, (8)

 

0.000%

 

7/31/14

 

N/R

 

282,465

 

9,683

 

Total Media

 

 

 

 

 

 

 

8,521,143

 

 

 

Metals & Mining - 0.2%

 

 

 

 

 

 

 

 

 

635

 

FMG Resources, Ltd., Term Loan B

 

5.250%

 

10/18/17

 

BB+

 

643,285

 

 

 

Multi-Utilities - 0.4%

 

 

 

 

 

 

 

 

 

998

 

ADS Waste Holdings Inc., Term Loan B

 

4.250%

 

8/05/19

 

B+

 

1,009,844

 

 

 

Oil, Gas & Consumable Fuels - 1.4%

 

 

 

 

 

 

 

 

 

500

 

El Paso Corporation, Tranche B1, Term Loan

 

5.000%

 

5/24/18

 

Ba3

 

506,473

 

1,160

 

Energy Transfer Partners LP, Term Loan B

 

3.750%

 

3/24/17

 

BB

 

1,167,734

 

131

 

Frac Tech International LLC, Term Loan

 

8.500%

 

5/06/16

 

B+

 

124,484

 

1,000

 

Plains Exploration and Production Company, Term Loan

 

4.000%

 

11/30/19

 

Ba1

 

1,003,750

 

833

 

Samson Investment Company, Initial Term Loan, Second Lien

 

6.000%

 

9/25/18

 

B1

 

845,417

 

3,624

 

Total Oil, Gas & Consumable Fuels

 

 

 

 

 

 

 

3,647,858

 

 

 

Pharmaceuticals - 3.3%

 

 

 

 

 

 

 

 

 

499

 

Bausch & Lomb, Inc., Delayed Draw, Term Loan

 

4.750%

 

9/30/15

 

B+

 

503,738

 

1,489

 

Bausch & Lomb, Inc., Term Loan B

 

5.250%

 

5/17/19

 

B+

 

1,504,828

 

1,000

 

ConvaTec Healthcare, Incremental Term Loan B

 

5.000%

 

12/22/16

 

Ba3

 

1,017,813

 

912

 

Par Pharmaceutical Companies, Inc., Additional Term Loan B1

 

4.250%

 

9/30/19

 

B+

 

923,392

 

736

 

Quintiles Transnational Corp., Term Loan B2

 

4.500%

 

6/08/18

 

BB-

 

747,660

 

1,990

 

Valeant Pharmaceuticals International, Inc., Series D, Term Loan

 

3.500%

 

2/19/19

 

BBB-

 

2,010,388

 

282

 

Warner Chilcott Corporation, Term Loan B

 

4.250%

 

3/15/18

 

BBB-

 

285,964

 

647

 

Warner Chilcott PLC, Term Loan B1

 

4.250%

 

3/15/18

 

BBB-

 

656,926

 

229

 

Warner Chilcott PLC, Term Loan B2

 

4.250%

 

3/15/18

 

BBB-

 

232,781

 

510

 

Warner Chilcott PLC, Term Loan B3

 

4.250%

 

3/15/18

 

BBB-

 

517,665

 

8,294

 

Total Pharmaceuticals

 

 

 

 

 

 

 

8,401,155

 

 

 

Real Estate Investment Trust - 0.4%

 

 

 

 

 

 

 

 

 

919

 

iStar Financial, Inc., Term Loan

 

4.500%

 

10/16/17

 

B+

 

930,377

 

 

 

Real Estate Management & Development - 0.5%

 

 

 

 

 

 

 

866

 

Capital Automotive LP, Tranche B

 

5.250%

 

3/11/17

 

Ba3

 

871,717

 

361

 

LNR Property Corporation, Term Loan

 

4.750%

 

4/29/16

 

BB+

 

361,953

 

1,227

 

Total Real Estate Management & Development

 

 

 

 

 

 

 

1,233,670

 

 

 

Road & Rail - 0.2%

 

 

 

 

 

 

 

 

 

404

 

Swift Transportation Company, Inc., Term Loan B2

 

4.000%

 

12/01/17

 

BB

 

410,228

 

 

 

Semiconductors & Equipment - 0.7%

 

 

 

 

 

 

 

 

 

748

 

NXP Semiconductor LLC, Incremental Term Loan C

 

4.750%

 

12/06/19

 

B+

 

766,205

 

980

 

NXP Semiconductor LLC, Term Loan

 

4.500%

 

3/03/17

 

B1

 

1,003,888

 

1,728

 

Total Semiconductors & Equipment

 

 

 

 

 

 

 

1,770,093

 

 

 

Software - 1.2%

 

 

 

 

 

 

 

 

 

872

 

Datatel Parent Corp, Term Loan B

 

4.500%

 

7/19/18

 

B+

 

886,812

 

868

 

Infor Enterprise Applications, Term Loan B

 

5.250%

 

4/05/18

 

Ba3

 

884,551

 

1,190

 

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B1

 

5.000%

 

6/07/19

 

BB-

 

1,204,594

 

123

 

SS&C Technologies, Inc./ Sunshine Acquisition II, Inc., Funded Term Loan B2

 

5.000%

 

6/07/19

 

BB-

 

125,075

 

3,053

 

Total Software

 

 

 

 

 

 

 

3,101,032

 

 

 

Specialty Retail - 1.6%

 

 

 

 

 

 

 

 

 

254

 

J Crew Group, Term Loan B1

 

4.000%

 

3/07/18

 

B1

 

257,307

 

1,763

 

Jo-Ann Stores, Inc., Term Loan, First Lien

 

4.000%

 

2/05/18

 

B+

 

1,779,798

 

995

 

Pilot Travel Centers LLC, First Amendment, Tranche B, Term Loan

 

4.250%

 

8/07/19

 

BB

 

1,007,282

 

950

 

Tempur-Pedic International, Inc., Term Loan B

 

5.000%

 

11/20/19

 

BB

 

964,505

 

3,962

 

Total Specialty Retail

 

 

 

 

 

 

 

4,008,892

 

 

 

Wireless Telecommunication Services - 0.5%

 

 

 

 

 

 

 

 

 

442

 

Clear Channel Communications, Inc., Tranche B, Term Loan

 

3.854%

 

1/29/16

 

CCC+

 

393,238

 

1,000

 

Cricket Communications, Inc., Term Loan C, WI/DD

 

TBD

 

TBD

 

Ba3

 

1,007,657

 

1,442

 

Total Wireless Telecommunication Services

 

 

 

 

 

 

 

1,400,895

 

$   84,404

 

Total Variable Rate Senior Loan Interests (cost $83,770,146)

 

 

 

 

 

83,231,421

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (5)

 

Value

 

 

 

Corporate Bonds - 0.2% (0.1% of Total Investments)

 

 

 

 

 

 

 

 

 

Media - 0.1%

 

 

 

 

 

 

 

 

 

$      132

 

Clear Channel Communications, Inc., 144A

 

9.000%

 

12/15/19

 

CCC+

 

$    126,885

 

 

 

Metals & Mining - 0.1%

 

 

 

 

 

 

 

 

 

215

 

Southern Copper Corporation

 

7.500%

 

7/27/35

 

BBB+

 

257,956

 

$     347

 

Total Corporate Bonds (cost $380,740)

 

 

 

 

 

 

 

384,841

 

 

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

 

 

Amount (000) (9)

 

Description (1)

 

Coupon

 

Maturity

 

Ratings (5)

 

Value

 

 

 

Emerging Markets Debt and Foreign Corporate Bonds - 32.4% (22.4% of Total Investments)

 

 

 

 

 

Argentina - 0.5%

 

 

 

 

 

 

 

 

 

130

 

City of Buenos Aires, Argentina, 144A

 

12.500%

 

4/06/15

 

B-

 

$    123,500

 

145

 

Republic of Argentina

 

7.000%

 

10/03/15

 

B-

 

122,525

 

80

 

Republic of Argentina

 

8.750%

 

6/02/17

 

B

 

58,800

 

451

 

Republic of Argentina

 

8.280%

 

12/31/33

 

CC

 

243,688

 

395

 

Republic of Argentina

 

8.280%

 

12/31/33

 

B-

 

205,481

 

228

EUR

Republic of Argentina

 

7.820%

 

12/31/33

 

CC

 

150,839

 

1,388

 

Republic of Argentina

 

2.500%

 

12/31/38

 

CC

 

433,750

 

 

 

Total Argentina

 

 

 

 

 

 

 

1,338,583

 

 

 

Azerbaijan - 0.2%

 

 

 

 

 

 

 

 

 

465

 

Azerbaijan State Oil Company, Reg S

 

5.450%

 

2/09/17

 

BBB-

 

495,225

 

 

 

Brazil - 3.8%

 

 

 

 

 

 

 

 

 

300

 

Banco BTG Pactual SA Cayman, 144A

 

5.750%

 

9/28/22

 

Ba1

 

301,140

 

170

 

Banco do Brasil, Reg S

 

8.500%

 

N/A (10)

 

Baa2

 

203,150

 

340

 

Banco do Brasil, 144A

 

6.250%

 

N/A (10)

 

BB

 

334,900

 

255

 

Banco do Nordeste do Brasil, 144A

 

3.625%

 

11/09/15

 

BBB

 

261,375

 

875

 

Brazil Minas SPE via State of Minas Gerais, Pass Through Notes, 144A, WI/DD

 

5.333%

 

2/15/28

 

BBB

 

963,926

 

36

BRL

Brazil Notas do Tesouro Nacional

 

6.000%

 

5/15/15

 

Baa2

 

438,434

 

300

 

Centrais Eletricas Brasileiras SA, 144A

 

5.750%

 

10/27/21

 

BBB

 

319,875

 

400

 

Centrais Eletricas Brasileiras SA, Reg S

 

5.750%

 

10/27/21

 

BBB

 

426,500

 

695

BRL

Companhia Energetica de Sao Paulo, 144A

 

9.750%

 

1/15/15

 

Ba1

 

535,845

 

291

 

Federative Republic of Brazil

 

8.250%

 

1/20/34

 

BBB

 

442,320

 

1,635

 

Federative Republic of Brazil

 

7.125%

 

1/20/37

 

BBB

 

2,268,541

 

385

 

Federative Republic of Brazil

 

5.625%

 

1/07/41

 

BBB

 

450,450

 

150

 

Fibria Overseas Finance, 144A

 

6.750%

 

3/03/21

 

BB+

 

165,675

 

120

 

Globo Comunicacao Participacoes, SA, 144A

 

6.250%

 

N/A (10)

 

BBB+

 

127,560

 

295

 

Globo Comunicacao Participacoes, SA, 144A

 

5.307%

 

5/11/22

 

BBB+

 

317,863

 

415

 

Itau Unibanco Holdings SA, Reg S

 

5.500%

 

8/06/22

 

BBB

 

431,600

 

200

 

OGX Petroleo e Gas Participacoes SA, 144A

 

8.375%

 

4/01/22

 

B1

 

151,000

 

260

 

Petrobras International Finance Company

 

6.750%

 

1/27/41

 

A3

 

293,876

 

175

 

Petrobras International Finance Company

 

5.375%

 

1/27/21

 

A3

 

188,824

 

215

 

Rearden G Holdings, 144A

 

7.875%

 

3/30/20

 

BB

 

236,500

 

310

 

Samarco Mineracao SA, 144A

 

4.125%

 

11/01/22

 

BBB

 

301,630

 

294

 

Telemar Norte Leste SA, 144A

 

5.500%

 

10/23/20

 

BBB

 

306,495

 

430

 

Vale SA

 

5.625%

 

9/11/42

 

A-

 

425,405

 

 

 

Total Brazil

 

 

 

 

 

 

 

9,892,884

 

 

 

Canada - 0.3%

 

 

 

 

 

 

 

 

 

431

 

Pacific Rubiales Energy Corporation, 144A

 

7.250%

 

12/12/21

 

BB+

 

489,832

 

150

 

Pacific Rubiales Energy Corporation, 144A

 

5.125%

 

3/28/23

 

BB+

 

151,350

 

 

 

Total Canada

 

 

 

 

 

 

 

641,182

 

 

 

Chile - 1.3%

 

 

 

 

 

 

 

 

 

640

 

Coporacion Nacional del Cobre de Chile, Reg S

 

3.750%

 

11/04/20

 

A1

 

670,168

 

305

 

Coporacion Nacional del Cobre de Chile, Reg S

 

3.875%

 

11/03/21

 

A1

 

319,895

 

200

 

Corporacion Geo SA DE CV, Reg S

 

8.875%

 

3/27/22

 

BB-

 

171,000

 

420

 

Corporacion Nacional del Cobre, 144A

 

3.750%

 

11/04/20

 

A1

 

439,798

 

210

 

Corporacion Nacional del Cobre, 144A

 

3.000%

 

7/17/22

 

A1

 

205,170

 

545

 

Corporacion Nacional del Cobre, 144A

 

4.250%

 

7/17/42

 

A1

 

500,490

 

195

 

E-CL SA, 144A

 

5.625%

 

1/15/21

 

BBB-

 

219,626

 

225

 

Empresa Nacional del Petroleo, Reg S

 

6.250%

 

7/08/19

 

A

 

252,062

 

395

 

Empresa Nacional del Petroleo, Reg S, 144A

 

4.750%

 

12/06/21

 

A

 

407,475

 

 

 

Total Chile

 

 

 

 

 

 

 

3,185,684

 

 

 

China - 0.1%

 

 

 

 

 

 

 

 

 

255

 

Sinopec Group Overseas Development 2012, 144A

 

3.900%

 

5/17/22

 

Aa3

 

270,907

 

 

 

Colombia - 1.6%

 

 

 

 

 

 

 

 

 

395

 

Bancolombia SA

 

6.125%

 

7/26/20

 

BBB-

 

423,638

 

275

 

Bancolombia SA

 

5.125%

 

9/11/22

 

BBB-

 

276,375

 

215

 

Grupo Aval Acciones y Valores, 144A

 

4.750%

 

9/26/22

 

Baa3

 

215,538

 

708,000

COP

Republic of Colombia

 

12.000%

 

10/22/15

 

BBB-

 

466,764

 

730

 

Republic of Colombia

 

7.375%

 

3/18/19

 

BBB-

 

939,875

 

420,000

COP

Republic of Colombia

 

7.750%

 

4/14/21

 

BBB-

 

291,688

 

175,000

COP

Republic of Colombia

 

9.850%

 

6/28/27

 

BBB-

 

147,535

 

535

 

Republic of Colombia

 

10.375%

 

1/28/33

 

BBB-

 

920,200

 

245

 

Republic of Colombia

 

7.375%

 

9/18/37

 

BBB-

 

350,350

 

100

 

Republic of Colombia

 

6.125%

 

1/18/41

 

BBB-

 

125,800

 

 

 

Total Colombia

 

 

 

 

 

 

 

4,157,763

 

 

 

Costa Rica - 0.2%

 

 

 

 

 

 

 

 

 

590

 

Republic of Costa Rica, 144A

 

4.250%

 

1/26/23

 

Baa3

 

589,115

 

 

 

Cote d’Ivoire (Ivory Coast) - 0.3%

 

 

 

 

 

 

 

 

 

905

 

Ivory Coast Republic, Reg S

 

5.750%

 

12/31/32

 

D

 

837,125

 

 

 

Croatia - 0.6%

 

 

 

 

 

 

 

 

 

280

 

Republic of Croatia, 144A

 

6.250%

 

4/27/17

 

BBB-

 

299,922

 

590

 

Republic of Croatia

 

5.375%

 

11/29/19

 

BBB-

 

646,103

 

575

 

Republic of Croatia, 144A, WI/DD

 

5.500%

 

4/04/23

 

BBB-

 

572,459

 

130

 

Republic of Croatia, 144A

 

6.625%

 

7/14/20

 

BBB-

 

141,375

 

 

 

Total Croatia

 

 

 

 

 

 

 

1,659,859

 

 

 

Dominican Republic - 0.1%

 

 

 

 

 

 

 

 

 

202

 

Dominican Republic, Reg S

 

9.040%

 

1/23/18

 

B+

 

225,151

 

 

 

El Salvador - 0.6%

 

 

 

 

 

 

 

 

 

260

 

Republic of El Salvador, 144A

 

5.875%

 

1/30/25

 

BB

 

272,610

 

30

 

Republic of El Salvador

 

8.250%

 

4/10/32

 

BB

 

37,425

 

165

 

Republic of El Salvador, Reg S

 

7.375%

 

12/01/19

 

BB

 

195,773

 

616

 

Republic of El Salvador, Reg S

 

7.750%

 

1/24/23

 

BB

 

745,360

 

75

 

Republic of El Salvador, Reg S

 

7.625%

 

9/21/34

 

BB

 

90,188

 

20

 

Republic of El Salvador, Reg S

 

7.650%

 

6/15/35

 

BB

 

22,930

 

260

 

Republic of El Salvador, Reg S

 

7.625%

 

2/01/41

 

BB

 

298,350

 

 

 

Total El Salvador

 

 

 

 

 

 

 

1,662,636

 

 

 

Georgia - 0.1%

 

 

 

 

 

 

 

 

 

225

 

Georgian Railway LLC, 144A

 

7.750%

 

7/11/22

 

BB-

 

257,063

 

 

 

Guatemala - 0.2%

 

 

 

 

 

 

 

 

 

310

 

Republic of Guatemala, 144A

 

4.875%

 

2/13/28

 

Ba1

 

303,025

 

245

 

Republic of Guatemala, 144A

 

5.750%

 

6/06/22

 

Ba1

 

269,868

 

 

 

Total Guatemala

 

 

 

 

 

 

 

572,893

 

 

 

Hungary - 1.0%

 

 

 

 

 

 

 

 

 

395

EUR

Republic of Hungary, Government Bond

 

4.375%

 

7/04/17

 

Ba1

 

489,572

 

276

 

Republic of Hungary, Government Bond

 

4.125%

 

2/19/18

 

Ba1

 

263,580

 

90

EUR

Republic of Hungary, Government Bond

 

5.750%

 

6/11/18

 

Ba1

 

115,789

 

230

EUR

Republic of Hungary, Government Bond

 

3.875%

 

2/24/20

 

Ba1

 

262,256

 

444

 

Republic of Hungary, Government Bond

 

5.375%

 

2/21/23

 

Ba1

 

417,915

 

940

 

Republic of Hungary, Government Bond

 

7.625%

 

3/29/41

 

Ba1

 

958,800

 

 

 

Total Hungary

 

 

 

 

 

 

 

2,507,912

 

 

 

Iceland - 0.1%

 

 

 

 

 

 

 

 

 

231

 

Republic of Iceland, Treasury Obligations, 144A

 

5.875%

 

5/11/22

 

BBB

 

264,844

 

 

 

India - 0.4%

 

 

 

 

 

 

 

 

 

200

 

Bank of India London, 144A, WI/DD

 

3.625%

 

9/21/18

 

BBB-

 

200,800

 

200

 

Bharti Airtel International Company, 144A

 

5.125%

 

3/11/23

 

BBB-

 

200,800

 

285

 

Reliance Holdings USA Inc., 144A

 

5.400%

 

2/14/22

 

BBB

 

317,691

 

245

 

Vedanta Resources PLC, 144A

 

8.250%

 

6/07/21

 

BB

 

279,300

 

 

 

Total India

 

 

 

 

 

 

 

998,591

 

 

 

Indonesia - 1.8%

 

 

 

 

 

 

 

 

 

185

 

Majapahit Holdings BV, Reg S

 

8.000%

 

8/07/19

 

Baa3

 

228,013

 

200

 

Perusahaan Listrik Negaraa PT, Reg S

 

5.500%

 

11/22/21

 

Baa3

 

217,000

 

590

 

Republic of Indonesia, Reg S

 

10.375%

 

5/04/14

 

Baa3

 

645,313

 

520

 

Republic of Indonesia, Reg S

 

7.250%

 

4/20/15

 

Baa3

 

575,900

 

1,445

 

Republic of Indonesia, Reg S

 

7.500%

 

1/15/16

 

Baa3

 

1,656,331

 

165

 

Republic of Indonesia, Reg S

 

6.875%

 

1/17/18

 

Baa3

 

194,700

 

395

 

Republic of Indonesia, Reg S

 

11.625%

 

3/04/19

 

Baa3

 

572,750

 

520

 

Republic of Indonesia, Reg S

 

6.625%

 

2/17/37

 

Baa3

 

640,900

 

 

 

Total Indonesia

 

 

 

 

 

 

 

4,730,907

 

 

 

Ireland - 0.2%

 

 

 

 

 

 

 

 

 

200

 

RZD Capital Limited, Russian Railways, Reg S

 

5.700%

 

4/05/22

 

Baa1

 

220,500

 

200

 

VTB Capital SA, Reg S

 

6.875%

 

5/29/18

 

Baa1

 

220,500

 

 

 

Total Ireland

 

 

 

 

 

 

 

441,000

 

 

 

Isle of Man - 0.1%

 

 

 

 

 

 

 

 

 

305

 

Sasol Financing International

 

4.500%

 

11/14/22

 

Baa1

 

301,569

 

 

 

Kazakhstan - 1.5%

 

 

 

 

 

 

 

 

 

295

 

Halyk Savings Bank of Kazakhstan, Reg S

 

9.250%

 

10/16/13

 

BB

 

301,638

 

330

 

Kazakhstan Development Bank

 

6.500%

 

6/03/20

 

BBB+

 

372,735

 

200

 

Kazakhstan Development Bank, 144A

 

4.125%

 

12/10/22

 

BBB+

 

193,500

 

200

 

Kazakhstan Development Bank, Reg S

 

5.500%

 

12/20/15

 

BBB+

 

215,000

 

375

 

Kazakhstan Temir Zholy JSC

 

7.000%

 

5/13/16

 

BBB

 

420,938

 

200

 

Kazakhstan Temir Zholy JSC, 144A

 

6.950%

 

7/10/42

 

BBB

 

234,000

 

225

 

Kazatomprom, Reg S

 

6.250%

 

5/20/15

 

Baa3

 

239,906

 

435

 

Kazmunaygas National, Reg S

 

11.750%

 

1/23/15

 

BBB

 

504,056

 

430

 

KazMuniaGaz Finance Subsidiary, 144A

 

11.750%

 

1/23/15

 

BBB

 

498,263

 

265

 

KazMuniaGaz Finance Subsidiary, 144A

 

9.125%

 

7/02/18

 

BBB

 

333,868

 

445

 

KazMuniaGaz Finance Subsidiary, Reg S

 

9.125%

 

7/02/18

 

BBB

 

560,647

 

 

 

Total Kazakhstan

 

 

 

 

 

 

 

3,874,551

 

 

 

Latvia - 0.6%

 

 

 

 

 

 

 

 

 

295

 

Latvia Republic

 

5.250%

 

2/22/17

 

BBB

 

326,713

 

520

 

Latvia Republic, 144A

 

5.250%

 

2/22/17

 

BBB

 

575,900

 

715

 

Latvia Republic, 144A

 

3.625%

 

1/12/20

 

BBB

 

687,473

 

 

 

Total Latvia

 

 

 

 

 

 

 

1,590,086

 

 

 

Lithuania - 0.7%

 

 

 

 

 

 

 

 

 

175

 

Republic of Lithuania, 144A

 

7.375%

 

2/11/20

 

Baa1

 

220,063

 

145

 

Republic of Lithuania, 144A

 

6.125%

 

3/09/21

 

Baa1

 

171,825

 

670

 

Republic of Lithuania, 144A

 

6.625%

 

2/01/22

 

Baa1

 

820,750

 

120

 

Republic of Lithuania, Reg S

 

5.125%

 

9/14/17

 

Baa1

 

132,900

 

315

 

Republic of Lithuania, Reg S

 

6.125%

 

3/09/21

 

Baa1

 

373,275

 

 

 

Total Lithuania

 

 

 

 

 

 

 

1,718,813

 

 

 

Luxembourg - 0.1%

 

 

 

 

 

 

 

 

 

250

 

Gaz Capital SA, Reg S

 

8.625%

 

4/28/34

 

Baa1

 

339,375

 

 

 

Malaysia - 0.5%

 

 

 

 

 

 

 

 

 

765

 

Pertoliam Nasional Berhad, 144A

 

5.625%

 

3/15/16

 

A-

 

856,759

 

360

 

Petronas Capital Limited, Reg S

 

5.250%

 

8/12/19

 

A1

 

418,659

 

 

 

Total Malaysia

 

 

 

 

 

 

 

1,275,418

 

 

 

Mexico - 1.7%

 

 

 

 

 

 

 

 

 

200

 

Alpek SA DE CV, Reg S

 

4.500%

 

11/20/22

 

BBB-

 

207,500

 

196

 

America Movil SA de C.V.

 

6.125%

 

3/30/40

 

A2

 

228,148

 

8,018

MXN

Mexico Bonos de DeSarrollo

 

8.000%

 

6/11/20

 

A-

 

774,134

 

230

 

United Mexican States

 

8.300%

 

8/15/31

 

Baa1

 

349,025

 

365

 

United Mexican States

 

7.500%

 

4/08/33

 

Baa1

 

521,950

 

275

 

United Mexican States

 

6.750%

 

9/27/34

 

Baa1

 

365,750

 

386

 

United Mexican States, WI/DD

 

6.050%

 

1/11/40

 

Baa1

 

477,675

 

1,092

 

United Mexican States

 

4.750%

 

3/08/44

 

Baa1

 

1,132,950

 

260

 

United Mexican States

 

5.750%

 

10/12/00

 

Baa1

 

285,220

 

 

 

Total Mexico

 

 

 

 

 

 

 

4,342,352

 

 

 

Morocco - 0.2%

 

 

 

 

 

 

 

 

 

215

 

Kingdom of Morocco, 144A

 

4.250%

 

12/11/22

 

BBB-

 

219,408

 

235

 

Kingdom of Morocco, 144A

 

5.500%

 

12/11/42

 

BBB-

 

233,238

 

 

 

Total Morocco

 

 

 

 

 

 

 

452,646

 

 

 

Panama - 0.7%

 

 

 

 

 

 

 

 

 

180

 

AES Panama

 

6.350%

 

12/21/16

 

BBB-

 

198,000

 

30

 

Republic of Panama

 

7.250%

 

3/15/15

 

BBB

 

33,450

 

490

 

Republic of Panama

 

8.875%

 

9/30/27

 

BBB

 

756,315

 

465

 

Republic of Panama

 

9.375%

 

4/01/29

 

BBB

 

756,323

 

 

 

Total Panama

 

 

 

 

 

 

 

1,744,088

 

 

 

Peru - 0.7%

 

 

 

 

 

 

 

 

 

165

 

El Fondo Mivivienda SA, 144A

 

3.500%

 

1/31/23

 

BBB

 

159,968

 

590

 

Republic of Peru

 

8.375%

 

5/03/16

 

BBB

 

718,620

 

140

 

Republic of Peru

 

7.125%

 

3/30/19

 

BBB

 

179,690

 

110

 

Republic of Peru

 

8.750%

 

11/21/33

 

BBB

 

179,850

 

265

 

Republic of Peru

 

6.550%

 

3/14/37

 

BBB

 

359,075

 

249

PEN

Republic of Peru Treasury Bond

 

7.840%

 

8/12/20

 

BBB+

 

121,126

 

 

 

Total Peru

 

 

 

 

 

 

 

1,718,329

 

 

 

Philippines - 1.1%

 

 

 

 

 

 

 

 

 

185

 

National Power Corporation

 

9.625%

 

5/15/28

 

BB+

 

291,838

 

230

 

Republic of the Philippines

 

9.875%

 

1/15/19

 

BBB-

 

324,875

 

270

 

Republic of the Philippines

 

10.625%

 

3/16/25

 

BBB-

 

452,925

 

425

 

Republic of the Philippines

 

9.500%

 

2/02/30

 

BBB-

 

696,469

 

210

 

Republic of the Philippines

 

7.750%

 

1/14/31

 

BBB-

 

303,713

 

550

 

Republic of the Philippines

 

6.375%

 

1/15/32

 

BBB-

 

710,188

 

 

 

Total Philippines

 

 

 

 

 

 

 

2,780,008

 

 

 

Poland - 0.7%

 

 

 

 

 

 

 

 

 

95

 

Republic of Poland

 

3.875%

 

7/16/15

 

A2

 

100,743

 

190

 

Republic of Poland

 

6.375%

 

7/15/19

 

A2

 

233,425

 

575

 

Republic of Poland

 

5.125%

 

4/21/21

 

A2

 

664,125

 

710

 

Republic of Poland

 

5.000%

 

3/23/22

 

A2

 

811,125

 

 

 

Total Poland

 

 

 

 

 

 

 

1,809,418

 

 

 

Qatar - 0.5%

 

 

 

 

 

 

 

 

 

282

 

Nakilat, Inc., Reg S

 

6.067%

 

12/31/33

 

AA-

 

341,925

 

567

 

State of Qatar, Reg S

 

4.000%

 

1/20/15

 

AA

 

597,618

 

215

 

State of Qatar, Reg S

 

5.250%

 

1/20/20

 

AA

 

251,120

 

 

 

Total Qatar

 

 

 

 

 

 

 

1,190,663

 

 

 

Romania - 0.6%

 

 

 

 

 

 

 

 

 

315

EUR

Republic of Romania

 

4.875%

 

11/07/19

 

Baa3

 

422,571

 

226

 

Republic of Romania, Reg S

 

6.750%

 

2/07/22

 

Baa3

 

263,008

 

390

 

Republic of Romania, 144A

 

6.750%

 

2/07/22

 

Baa3

 

453,863

 

294

 

Republic of Romania, 144A

 

4.375%

 

8/22/23

 

Baa3

 

287,879

 

 

 

Total Romania

 

 

 

 

 

 

 

1,427,321

 

 

 

Russia - 2.2%

 

 

 

 

 

 

 

 

 

290

 

Alrosa Finance SA, 144A

 

7.750%

 

11/03/20

 

BB-

 

339,576

 

215

 

EuroChem Mineral & Chemical GI Limited, 144A

 

5.125%

 

12/12/17

 

BB

 

218,225

 

255

 

Gazprom International SA, Reg S

 

4.375%

 

9/19/22

 

BBB-

 

251,494

 

200

 

Gazprom Neft OAO Via GPN Capital SA, 144A

 

4.375%

 

9/19/22

 

BBB-

 

197,250

 

200

 

Gazprom OAO Via Gaz Capital SA, Reg S

 

5.999%

 

1/23/21

 

Baa1

 

224,000

 

5,995

RUB

Russian Federal Bond - OFZ

 

8.150%

 

2/03/27

 

BBB+

 

207,995

 

200

 

Russian Federation

 

4.500%

 

4/04/22

 

Baa1

 

217,900

 

700

 

Russian Federation, Reg S

 

3.625%

 

4/29/15

 

Baa1

 

730,800

 

600

 

Russian Federation, Reg S

 

5.000%

 

4/29/20

 

Baa1

 

678,000

 

1,422

 

Russian Federation, Reg S

 

7.500%

 

3/31/30

 

Baa1

 

1,761,950

 

200

 

Russian Federation, Reg S

 

5.625%

 

4/04/42

 

Baa1

 

224,500

 

200

 

Sberbank of Russia Loan

 

5.717%

 

6/16/21

 

A3

 

217,500

 

365

 

VTB Capital SA

 

6.551%

 

10/13/20

 

Baa1

 

400,588

 

 

 

Total Russia

 

 

 

 

 

 

 

5,669,778

 

 

 

Senegal - 0.2%

 

 

 

 

 

 

 

 

 

400

 

Republic of Senegal

 

8.750%

 

5/13/21

 

B+

 

474,000

 

 

 

Serbia - 0.5%

 

 

 

 

 

 

 

 

 

455

 

Republic of Serbia, 144A

 

4.875%

 

2/25/20

 

BB-

 

449,768

 

265

 

Republic of Serbia, 144A

 

7.250%

 

9/28/21

 

BB-

 

293,488

 

440

 

Republic of Serbia, Reg S

 

7.250%

 

9/28/21

 

BB-

 

487,300

 

 

 

Total Serbia

 

 

 

 

 

 

 

1,230,556

 

 

 

Singapore - 0.2%

 

 

 

 

 

 

 

 

 

210

 

DBS Bank Limited Singapore, Reg S

 

3.625%

 

9/21/22

 

Aa2

 

219,704

 

210

 

Oversea-Chinese Banking Corporation

 

3.750%

 

11/15/22

 

Aa2

 

220,828

 

 

 

Total Singapore

 

 

 

 

 

 

 

440,532

 

 

 

Slovakia - 0.2%

 

 

 

 

 

 

 

 

 

550

 

Slovakia Government, 144A

 

4.375%

 

5/21/22

 

A+

 

580,349

 

 

 

South Africa - 0.7%

 

 

 

 

 

 

 

 

 

200

 

Esckom Holdings Limited, Reg S

 

5.750%

 

1/26/21

 

BBB+

 

216,500

 

375

 

Republic of South Africa

 

6.875%

 

5/27/19

 

Baa1

 

456,563

 

325

 

Republic of South Africa

 

5.500%

 

3/09/20

 

Baa1

 

371,313

 

180

 

Republic of South Africa

 

4.665%

 

1/17/24

 

Baa1

 

192,600

 

2,590

ZAR

Republic of South Africa

 

8.750%

 

2/28/48

 

BBB+

 

294,655

 

335

 

Transnet SOC Limited, 144A

 

4.500%

 

2/10/16

 

A3

 

351,904

 

 

 

Total South Africa

 

 

 

 

 

 

 

1,883,535

 

 

 

Spain - 0.1%

 

 

 

 

 

 

 

 

 

150

 

Santander Issuances, Reg S

 

4.125%

 

11/09/22

 

BBB+

 

150,750

 

 

 

Sri Lanka - 0.4%

 

 

 

 

 

 

 

 

 

170

 

Republic of Sri Lanka, 144A

 

6.250%

 

10/04/20

 

BB-

 

181,050

 

200

 

Republic of Sri Lanka, 144A

 

6.250%

 

7/27/21

 

BB-

 

211,748

 

290

 

Republic of Sri Lanka, 144A

 

5.875%

 

7/25/22

 

BB-

 

300,875

 

175

 

Republic of Sri Lanka, Reg S

 

6.250%

 

10/04/20

 

BB-

 

186,375

 

200

 

Republic of Sri Lanka, Reg S

 

6.250%

 

7/27/21

 

BB-

 

211,748

 

 

 

Total Sri Lanka

 

 

 

 

 

 

 

1,091,796

 

 

 

Sweden - 0.1%

 

 

 

 

 

 

 

 

 

285

 

PKO Finance AB, 144A

 

4.630%

 

9/26/22

 

A2

 

295,263

 

 

 

Tailand - 0.1%

 

 

 

 

 

 

 

 

 

200

 

PTT Global Chemical PCL, 144A

 

4.250%

 

9/19/22

 

BBB

 

208,736

 

 

 

Turkey - 1.8%

 

 

 

 

 

 

 

 

 

210

 

Akbank TAX, Reg S

 

3.875%

 

10/24/17

 

Baa2

 

213,938

 

775

 

Republic of Turkey, Government Bond

 

7.000%

 

9/26/16

 

BBB-

 

891,250

 

321

 

Republic of Turkey, Government Bond

 

7.500%

 

7/14/17

 

BBB-

 

382,793

 

185

 

Republic of Turkey, Government Bond

 

6.750%

 

4/03/18

 

BBB-

 

218,300

 

1,495

 

Republic of Turkey, Government Bond, WI/DD

 

7.375%

 

2/05/25

 

BBB-

 

1,909,863

 

360

 

Republic of Turkey, Government Bond

 

6.875%

 

3/17/36

 

BBB-

 

443,700

 

215

 

Turkiye Garanti Bankasi AS, 144A

 

4.000%

 

9/13/17

 

Baa2

 

220,913

 

235

 

Turkiye Halk Bankasi, 144A

 

3.875%

 

2/05/20

 

Baa2

 

230,888

 

210

 

Turkiye IS Bankasi (Isbank)

 

3.875%

 

11/07/17

 

Baa2

 

213,150

 

 

 

Total Turkey

 

 

 

 

 

 

 

4,724,795

 

 

 

Ukraine - 0.9%

 

 

 

 

 

 

 

 

 

220

 

Republic of Ukraine

 

9.250%

 

7/24/17

 

B

 

238,172

 

355

 

Republic of Ukraine, 144A

 

6.250%

 

6/17/16

 

B

 

347,510

 

445

 

Republic of Ukraine, 144A

 

9.250%

 

7/24/17

 

B

 

481,757

 

220

 

Republic of Ukraine, 144A

 

7.800%

 

11/28/22

 

B

 

222,750

 

200

 

Republic of Ukraine, Reg S

 

6.875%

 

9/23/15

 

B

 

199,420

 

315

 

Republic of Ukraine, Reg S

 

6.580%

 

11/21/16

 

B

 

309,488

 

440

 

Republic of Ukraine, Reg S

 

6.750%

 

11/14/17

 

B

 

434,500

 

200

 

Republic of Ukraine, Reg S

 

7.800%

 

11/28/22

 

B

 

202,500

 

 

 

Total Ukraine

 

 

 

 

 

 

 

2,436,097

 

 

 

United Arab Emirates - 0.2%

 

 

 

 

 

 

 

 

 

242

 

Dubai Electricity and Water Authority, 144A

 

7.375%

 

10/21/20

 

Baa3

 

294,030

 

65

 

Emirate of Abu Dhabi

 

6.750%

 

4/08/19

 

AA

 

81,250

 

233

 

Waha Aerospace BV, 144A

 

3.925%

 

7/28/20

 

AA

 

247,903

 

 

 

Total United Arab Emirates

 

 

 

 

 

 

 

623,183

 

 

 

Uruguay - 0.2%

 

 

 

 

 

 

 

 

 

243

 

Republic of Uruguay

 

7.875%

 

1/15/33

 

BBB-

 

351,981

 

116

 

Republic of Uruguay

 

6.875%

 

9/28/25

 

BBB-

 

153,120

 

 

 

Total Uruguay

 

 

 

 

 

 

 

505,101

 

 

 

Venezuela - 1.5%

 

 

 

 

 

 

 

 

 

255

 

Petroleos de Venezuela SA

 

5.250%

 

4/12/17

 

B+

 

220,952

 

475

 

Petroleos de Venezuela SA, 144A

 

8.500%

 

11/02/17

 

B+

 

461,938

 

555

 

Petroleos de Venezuela SA, Reg S

 

8.500%

 

11/02/17

 

B+

 

539,738

 

230

 

Republic of Venezuela, Reg S

 

5.750%

 

2/26/16

 

B+

 

216,775

 

325

 

Republic of Venezuela, Reg S

 

12.750%

 

8/23/22

 

B+

 

379,113

 

1,050

 

Republic of Venezuela, Reg S, WI/DD

 

11.750%

 

10/21/26

 

B+

 

1,161,825

 

490

 

Republic of Venezuela, WI/DD

 

9.375%

 

1/13/34

 

B+

 

471,625

 

300

 

Republic of Venezuela, Reg S

 

9.000%

 

5/07/23

 

B+

 

287,250

 

 

 

Total Venezuela

 

 

 

 

 

 

 

3,739,216

 

 

 

Total Emerging Markets Debt and Foreign Corporate Bonds (cost $78,952,349)

 

 

 

83,347,648

 

 

 

 

 

 

 

 

 

 

 

Principal

 

 

 

 

 

 

 

 

 

Amount (000)

 

Description (1)

 

Coupon

 

Maturity

 

Value

 

 

 

Short-Term Investments - 4.8% (3.3% of Total Investments)

 

 

 

 

 

 

 

$    7,612

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/13, repurchase price $7,611,937, collateralized by $7,480,000 U.S. Treasury Notes, 1.500%, due 6/30/16, value $7,768,765

 

0.010%

 

4/01/13

 

$       7,611,929

 

4,720

 

Repurchase Agreement with Fixed Income Clearing Corporation, dated 3/28/13, repurchase price $4,719,526, collateralized by $4,840,000 U.S. Treasury Notes, 0.500%, due 7/31/17, value $4,817,654

 

0.010%

 

4/01/13

 

4,719,521

 

$  12,332

 

Total Short-Term Investments (cost $12,331,450)

 

 

 

 

 

12,331,450

 

 

 

Total Investments (cost $324,578,782) - 144.8%

 

 

 

 

 

372,812,292

 

 

 

Borrowings - (41.9)% (11)

 

 

 

 

 

(107,800,000

)

 

 

Other Assets Less Liabilities - (2.9)% (12)

 

 

 

 

 

(7,604,677

)

 

 

Net Assets Applicable to Common Shares - 100%

 

 

 

 

 

$  257,407,615

 

 

Investments in Derivatives as of March 31, 2013

 

Call Options Written outstanding:

 

Number of

 

 

 

Notional

 

Expiration

 

Strike

 

 

 

Contracts

 

Type

 

Amount (13)

 

Date

 

Price

 

Value (12)

 

(655

)

AuRico Gold Inc.

 

$    (458,500

)

6/22/13

 

$       7

 

$    (18,012

)

(655

)

AuRico Gold Inc.

 

(524,000

)

6/22/13

 

8

 

(6,550

)

(410

)

Best Buy Co., Inc.

 

(779,000

)

6/22/13

 

19

 

(160,925

)

(498

)

CA Technologies, Inc.

 

(1,245,000

)

5/18/13

 

25

 

(43,575

)

(375

)

MetLife, Inc.

 

(1,350,000

)

4/20/13

 

36

 

(85,313

)

(318

)

Talisman Energy Inc.

 

(381,600

)

4/20/13

 

12

 

(15,900

)

(2,911

)

Total Call Options Written (premium received $243,066)

 

$ (4,738,100

)

 

 

 

 

$  (330,275

)

 

Forward Foreign Currency Exchange Contracts outstanding:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Notional

 

 

 

Unrealized

 

 

 

Currency Contracts

 

Notional
Amount

 

In Exchange For

 

Amount
(Local

 

Settlement

 

Appreciation
(Depreciation)

 

Counterparty

 

to Deliver

 

(Local Currency)

 

Currency

 

Currency)

 

Date

 

(U.S. Dollars) (12)

 

Bank of America

 

Colombian Peso

 

1,717,617,000

 

U.S. Dollar

 

947,703

 

6/19/13

 

$              12,959

 

Citibank N.A.

 

U.S. Dollar

 

397,540

 

Nigerian Naira

 

69,331,000

 

12/09/13

 

16,882

 

Credit Suisse

 

U.S. Dollar

 

213,745

 

Turkish Lira

 

390,000

 

6/19/13

 

(333

)

JPMorgan Chase

 

Euro

 

1,116,000

 

U.S. Dollar

 

1,446,883

 

6/19/13

 

15,545

 

JPMorgan Chase

 

Mexican Peso

 

1,572,000

 

U.S. Dollar

 

125,206

 

6/19/13

 

(1,142

)

JPMorgan Chase

 

South African Rand

 

2,555,000

 

U.S. Dollar

 

274,752

 

6/19/13

 

(230

)

JPMorgan Chase

 

U.S. Dollar

 

223,614

 

Israeli Shekel

 

825,000

 

6/19/13

 

2,576

 

JPMorgan Chase

 

U.S. Dollar

 

204,755

 

Malaysian Ringgit

 

645,000

 

6/19/13

 

3,227

 

JPMorgan Chase

 

U.S. Dollar

 

220,988

 

Philippine Peso

 

8,950,000

 

6/19/13

 

(1,479

)

Standard Chartered Bank

 

Chilean Peso

 

104,500,000

 

U.S. Dollar

 

218,140

 

6/19/13

 

(1,074

)

Standard Chartered Bank

 

U.S. Dollar

 

51,526

 

Colombian Peso

 

94,525,000

 

6/19/13

 

(85

)

Standard Chartered Bank

 

U.S. Dollar

 

51,535

 

Colombian Peso

 

94,516,000

 

6/19/13

 

(99

)

Standard Chartered Bank

 

U.S. Dollar

 

102,777

 

Colombian Peso

 

189,059,000

 

6/19/13

 

110

 

State Street Bank and Trust

 

Peruvian Nuevo Sol

 

240,000

 

U.S. Dollar

 

92,546

 

6/19/13

 

69

 

UBS AG

 

Brazilian Real

 

1,482,000

 

U.S. Dollar

 

744,376

 

6/04/13

 

16,050

 

UBS AG

 

U.S. Dollar

 

219,091

 

Chilean Peso

 

104,500,000

 

6/19/13

 

123

 

UBS AG

 

U.S. Dollar

 

431,619

 

Indian Rupee

 

24,080,000

 

6/19/13

 

3,300

 

UBS AG

 

U.S. Dollar

 

211,099

 

Russian Ruble

 

6,600,000

 

6/19/13

 

(1,582

)

 

 

 

 

 

 

 

 

 

 

 

 

$              64,817

 

 

Interest Rate Swaps outstanding:

 

 

 

 

 

Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Pay/Receive

 

 

 

 

 

Fixed Rate

 

 

 

 

 

Unrealized

 

 

 

Notional

 

Floating

 

Floating

 

Fixed Rate

 

Payment

 

Effective

 

Termination

 

Appreciation

 

Counterparty

 

Amount

 

Rate

 

Rate Index

 

(Annualized)

 

Frequency

 

Date (14)

 

Date

 

(Depreciation) (12)

 

JPMorgan

 

$

19,950,000

 

Receive

 

1-Month USD-LIBOR

 

1.193

%

Monthly

 

3/21/11

 

3/21/14

 

$

(189,392

)

JPMorgan

 

30,450,000

 

Receive

 

1-Month USD-LIBOR

 

1.255

 

Monthly

 

12/01/14

 

12/01/18

 

132,479

 

JPMorgan

 

30,450,000

 

Receive

 

1-Month USD-LIBOR

 

1.673

 

Monthly

 

12/01/14

 

12/01/20

 

351,632

 

Morgan Stanley

 

19,950,000

 

Receive

 

1-Month USD-LIBOR

 

2.064

 

Monthly

 

3/21/11

 

3/21/16

 

(977,336

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$

(682,617

)

 

 

 

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

 

$   91,825,976

 

$        672,797

 

$                —

*

$   92,498,773

 

 

 

Real Estate Investment Trust Common Stocks

 

95,576,061

 

—

 

—

 

95,576,061

 

 

 

Real Estate Investment Trust Preferred Stocks

 

3,907,410

 

—

 

—

 

3,907,410

 

 

 

$1,000 Par (or similar) Institutional Structures

 

—

 

1,534,688

 

—

 

1,534,688

 

 

 

Variable Rate Senior Loan Interests

 

—

 

83,231,421

 

—

 

83,231,421

 

 

 

Corporate Bonds

 

—

 

384,841

 

—

 

384,841

 

 

 

Emerging Markets Debt and Foreign Corporate Bonds

 

—

 

83,347,648

 

—

 

83,347,648

 

 

 

Short-Term Investments:

 

 

 

 

 

 

 

 

 

 

 

Repurchase Agreements

 

—

 

12,331,450

 

—

 

12,331,450

 

 

 

Derivatives:

 

 

 

 

 

 

 

 

 

 

 

Call Options Written

 

(330,275

)

—

 

—

 

(330,275

)

 

 

Forward Foreign Currency Exchange Contracts**

 

—

 

64,817

 

—

 

64,817

 

 

 

Interest Rate Swaps**

 

—

 

(682,617

)

—

 

(682,617

)

 

 

Total

 

$ 190,979,172

 

$ 180,885,045

 

$                —

 

$ 371,864,217

 

 

 

* Value equals zero as of the end of the reporting period.

 

 

 

** Represents net unrealized appreciation (depreciation) 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 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.

 

 

 

As of March 31,2013, the cost of investments (excluding investments in derivatives) was $330,519,719.

 

 

 

Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of March 31, 2013, were as follows:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Gross unrealized:

 

 

 

 

 

 

 

Appreciation

 

 

 

$   55,352,765

 

 

 

Depreciation

 

 

 

(13,060,192

)

 

 

 

 

 

 

 

 

 

 

Net unrealized appreciation (depreciation) of investments

 

 

 

 

$   42,292,573

 

 

 

 

 

 

 

 

 

 

 

 

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 classified 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. Holdings designated N/R are not rated by any of these national rating agencies.

 

 

 

(6)

 

Senior Loans generally are subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a Borrower to prepay, prepayments of Senior Loans may occur. As a result, the actual remaining maturity of Senior Loans held may be substantially less than the stated maturities shown.

 

 

 

(7)

 

Senior Loans generally pay interest at rates which are periodically adjusted by reference to a base short-term, floating lending rate plus an assigned fixed rate. These floating lending rates are generally (i) the lending rate referenced by the London Inter-Bank Offered Rate (“LIBOR”), or (ii) the prime rate offered by one or more major United States banks.

 

 

 

 

 

 

 

 

 

 

 

Senior Loans may be considered restricted in that the Fund ordinarily is contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a Senior Loan.

 

 

 

(8)

 

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 fixed-income security, 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.

 

 

 

(9)

 

Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted.

 

 

 

(10)

 

Perpetual security. Maturity date is not applicable.

 

 

 

(11)

 

Borrowings as a percentage of Total Investments is 28.9%.

 

 

 

(12)

 

Other Assets Less Liabilities includes the Value and the Unrealized Appreciation (Depreciation) of derivative instruments as listed within Investments in Derivatives as of the end of the reporting period.

 

 

 

(13)

 

For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100.

 

 

 

(14)

 

Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each swap contract.

 

 

 

(15)

 

Investment valued at fair value using methods determined in good faith by, or at the discretion of, the Board of Trustees. For fair value measurement disclosure purposes, investment classified as Level 3.

 

 

 

N/A

 

Not applicable.

 

 

 

N/R

 

Not rated.

 

 

 

WI/DD

 

Purchased on a when-issued or delayed delivery basis.

 

 

 

144A

 

Investment is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These investments may only be resold in transactions exempt from registration, which are normally those transactions with qualified institutional buyers.

 

 

 

ADR

 

American Depositary Receipt.

 

 

 

Reg S

 

Regulation S allows U.S. companies to sell securities to persons or entities located outside of the United States without registering those securities with the Securities and Exchange Commission. Specifically, Regulation S provides a safe harbor from the registration requirements of the Securities Act for the offers and sales of securities by both foreign and domestic issuers that are made outside the United States.

 

 

 

TBD

 

Senior Loan purchased on a when-issued or delayed-delivery basis. Certain details associated with this purchase are not known prior to the settlement date of the transaction. In addition, Senior Loans typically trade without accrued interest and therefore a coupon rate is not available prior to settlement. At settlement, if still unknown, the borrower or counterparty will provide the Fund with the final coupon rate and maturity date.

 

 

 

BRL

 

Brazilian Real

 

 

 

COP

 

Colombian Peso

 

 

 

EUR

 

Euro

 

 

 

MXN

 

Mexican Peso

 

 

 

PEN

 

Peruvian Nuevo Sol

 

 

 

RUB

 

Russian Ruble

 

 

 

ZAR

 

South African Rand

 

 

USD-LIBOR

 

United States Dollar - London Inter-Bank Offered Rate.

 

 


 

Item 2. Controls and Procedures.

 

a.

The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934 (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

 

b.

There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

File as exhibits as part of this Form a separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the 1940 Act (17 CFR 270.30a-2(a)), exactly as set forth below: EX-99 CERT Attached hereto.

 


 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) Nuveen Diversified Dividend and Income Fund

 

 

By (Signature and Title)

/s/ Kevin J. McCarthy

 

 

Kevin J. McCarthy

 

 

Vice President and Secretary

 

 

 

Date: May 30, 2013

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, 2013

 

 

By (Signature and Title)

/s/ Stephen D. Foy

 

 

Stephen D. Foy

 

 

Vice President and Controller (principal financial officer)

 

 

 

Date: May 30, 2013