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: |
9/30/2013 |
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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
Portfolio of Investments (Unaudited)
Nuveen Diversified Dividend and Income Fund (JDD)
September 30, 2013
|
Shares |
|
Description (1) |
|
Value |
|
|
|
|
Long-Term Investments 142.3% (97.1% of Total Investments) |
|
|
|
|
|
|
Common Stocks - 38.8% (26.5% of Total Investments) |
|
|
|
|
|
|
Aerospace & Defense - 0.7% |
|
|
|
|
23,500 |
|
Raytheon Company |
|
$ 1,811,145 |
|
|
|
|
Airlines - 0.2% |
|
|
|
|
41,300 |
|
Controladora Vuela Compania de Aviacion SAB de CV, (2) |
|
598,850 |
|
|
|
|
Automobiles - 1.1% |
|
|
|
|
77,000 |
|
General Motors Company, (2) |
|
2,769,690 |
|
|
|
|
Building Products - 0.7% |
|
|
|
|
35,400 |
|
Masonite International Corporation, (2) |
|
1,732,122 |
|
|
|
|
Capital Markets - 1.4% |
|
|
|
|
57,800 |
|
Ares Capital Corporation |
|
999,362 |
|
|
50,200 |
|
Bank of New York Company, Inc. |
|
1,515,538 |
|
|
63,600 |
|
Medley Capital Corporation |
|
877,044 |
|
|
|
|
Total Capital Markets |
|
3,391,944 |
|
|
|
|
Chemicals - 0.4% |
|
|
|
|
23,000 |
|
Mosaic Company |
|
989,460 |
|
|
|
|
Commercial Banks - 1.3% |
|
|
|
|
79,000 |
|
Wells Fargo & Company |
|
3,264,280 |
|
|
|
|
Communications Equipment - 2.0% |
|
|
|
|
144,800 |
|
Cisco Systems, Inc. |
|
3,391,216 |
|
|
129,900 |
|
Ericsson LM Telefonaktiebolaget |
|
1,734,165 |
|
|
|
|
Total Communications Equipment |
|
5,125,381 |
|
|
|
|
Consumer Finance - 0.9% |
|
|
|
|
32,000 |
|
Capital One Financial Corporation |
|
2,199,680 |
|
|
|
|
Diversified Financial Services - 2.6% |
|
|
|
|
66,000 |
|
Citigroup Inc. |
|
3,201,660 |
|
|
66,000 |
|
JPMorgan Chase & Co. |
|
3,411,540 |
|
|
|
|
Total Diversified Financial Services |
|
6,613,200 |
|
|
|
|
Diversified Telecommunication Services - 0.4% |
|
|
|
|
14,600 |
|
CenturyLink Inc. |
|
458,148 |
|
|
110,200 |
|
Frontier Communications Corporation |
|
459,534 |
|
|
|
|
Total Diversified Telecommunication Services |
|
917,682 |
|
|
|
|
Electric Utilities - 0.2% |
|
|
|
|
19,700 |
|
NRG Yield Inc., Class A Shares, (2) |
|
596,713 |
|
|
|
|
Food & Staples Retailing - 1.2% |
|
|
|
|
81,000 |
|
Carrefour SA, (3) |
|
550,800 |
|
|
43,900 |
|
CVS Caremark Corporation |
|
2,491,325 |
|
|
|
|
Total Food & Staples Retailing |
|
3,042,125 |
|
|
|
|
Household Products - 0.5% |
|
|
|
|
15,100 |
|
Procter & Gamble Company |
|
1,141,409 |
|
|
|
|
Industrial Conglomerates - 0.4% |
|
|
|
|
45,500 |
|
General Electric Company |
|
1,086,995 |
|
|
|
|
Insurance - 3.6% |
|
|
|
|
80,000 |
|
American International Group |
|
3,890,400 |
|
|
80,000 |
|
Hartford Financial Services Group, Inc. |
|
2,489,600 |
|
|
6,300 |
|
Swiss Re AG, (3) |
|
521,139 |
|
|
71,000 |
|
Unum Group |
|
2,161,240 |
|
|
|
|
Total Insurance |
|
9,062,379 |
|
|
|
|
Machinery - 0.8% |
|
|
|
|
16,100 |
|
Ingersoll Rand Company Limited, Class A |
|
1,045,534 |
|
|
17,400 |
|
PACCAR Inc. |
|
968,484 |
|
|
|
|
Total Machinery |
|
2,014,018 |
|
|
|
|
Media - 5.0% |
|
|
|
|
147,000 |
|
Interpublic Group Companies, Inc. |
|
2,525,460 |
|
|
15,760 |
|
Metro-Goldwyn-Mayer, (2) |
|
851,040 |
|
|
97,500 |
|
National CineMedia, Inc. |
|
1,838,850 |
|
|
48,000 |
|
Time Warner Inc. |
|
3,158,880 |
|
|
3,958 |
|
Tribune Company, (2) |
|
249,710 |
|
|
3,184 |
|
Tribune Company, (4) |
|
- |
|
|
30,000 |
|
Twenty First Century Fox Inc., Class A Shares |
|
1,005,000 |
|
|
34,500 |
|
Viacom Inc., Class B |
|
2,883,510 |
|
|
|
|
Total Media |
|
12,512,450 |
|
|
|
|
Metals & Mining - 0.9% |
|
|
|
|
40,000 |
|
AngloGold Ashanti Limited, Sponsored ADR |
|
531,200 |
|
|
150,500 |
|
AuRico Gold Inc. |
|
573,405 |
|
|
56,100 |
|
Barrick Gold Corporation |
|
1,044,582 |
|
|
|
|
Total Metals & Mining |
|
2,149,187 |
|
|
|
|
Oil, Gas & Consumable Fuels - 2.9% |
|
|
|
|
30,800 |
|
Canadian Natural Resources Limited |
|
968,352 |
|
|
39,500 |
|
Royal Dutch Shell PLC, Class A |
|
2,594,360 |
|
|
164,900 |
|
Talisman Energy Inc. |
|
1,896,350 |
|
|
31,700 |
|
Total SA, Sponsored ADR |
|
1,836,064 |
|
|
|
|
Total Oil, Gas & Consumable Fuels |
|
7,295,126 |
|
|
|
|
Pharmaceuticals - 6.0% |
|
|
|
|
27,700 |
|
AstraZeneca PLC, Sponsored ADR |
|
1,438,461 |
|
|
68,600 |
|
GlaxoSmithKline PLC |
|
3,441,662 |
|
|
29,900 |
|
Merck & Company Inc. |
|
1,423,539 |
|
|
150,000 |
|
Pfizer Inc., (5) |
|
4,306,500 |
|
|
15,800 |
|
Roche Holdings AG, Sponsored ADR, (3) |
|
1,066,974 |
|
|
65,000 |
|
Sanofi-Aventis |
|
3,290,950 |
|
|
|
|
Total Pharmaceuticals |
|
14,968,086 |
|
|
|
|
Semiconductors & Equipment - 1.2% |
|
|
|
|
20,600 |
|
Analog Devices, Inc. |
|
969,230 |
|
|
60,300 |
|
Applied Materials, Inc. |
|
1,057,662 |
|
|
25,400 |
|
Microchip Technology Incorporated |
|
1,023,366 |
|
|
|
|
Total Semiconductors & Equipment |
|
3,050,258 |
|
|
|
|
Software - 2.5% |
|
|
|
|
83,000 |
|
CA Inc. |
|
2,462,610 |
|
|
91,800 |
|
Microsoft Corporation |
|
3,057,858 |
|
|
22,500 |
|
Oracle Corporation |
|
746,325 |
|
|
|
|
Total Software |
|
6,266,793 |
|
|
|
|
Tobacco - 0.6% |
|
|
|
|
16,500 |
|
Philip Morris International |
|
1,428,735 |
|
|
|
|
Wireless Telecommunication Services - 1.3% |
|
|
|
|
90,000 |
|
Vodafone Group PLC, Sponsored ADR |
|
3,166,200 |
|
|
|
|
Total Common Stocks (cost $75,382,079) |
|
97,193,908 |
|
|
Shares |
|
Description (1) |
|
Value |
|
|
|
|
Real Estate Investment Trust (REIT) Common Stocks - 37.1% (25.3% of Total Investments) |
|
|
|
|
|
|
Diversified - 1.9% |
|
|
|
|
33,500 |
|
Colonial Properties Trust |
|
$ 753,415 |
|
|
46,350 |
|
Vornado Realty Trust |
|
3,896,181 |
|
|
|
|
Total Diversified |
|
4,649,596 |
|
|
|
|
Hotels, Restaurants & Leisure - 2.9% |
|
|
|
|
209,542 |
|
Host Hotels & Resorts Inc. |
|
3,702,607 |
|
|
35,800 |
|
RLJ Lodging Trust |
|
840,942 |
|
|
16,400 |
|
Starwood Hotels & Resorts Worldwide, Inc. |
|
1,089,780 |
|
|
118,750 |
|
Sunstone Hotel Investors Inc. |
|
1,512,875 |
|
|
|
|
Total Hotels, Restaurants & Leisure |
|
7,146,204 |
|
|
|
|
Industrial - 3.0% |
|
|
|
|
45,750 |
|
EastGroup Properties Inc. |
|
2,708,858 |
|
|
127,648 |
|
Prologis Inc. |
|
4,802,118 |
|
|
|
|
Total Industrial |
|
7,510,976 |
|
|
|
|
Mortgage - 0.8% |
|
|
|
|
45,300 |
|
PennyMac Mortgage Investment Trust |
|
1,027,404 |
|
|
56,000 |
|
Redwood Trust Inc. |
|
1,102,640 |
|
|
|
|
Total Mortgage |
|
2,130,044 |
|
|
|
|
Office - 4.5% |
|
|
|
|
21,200 |
|
Alexandria Real Estate Equities Inc. |
|
1,353,620 |
|
|
133,100 |
|
BioMed Realty Trust Inc. |
|
2,474,329 |
|
|
31,350 |
|
Boston Properties, Inc. |
|
3,351,315 |
|
|
54,500 |
|
Douglas Emmett Inc. |
|
1,279,115 |
|
|
30,500 |
|
SL Green Realty Corporation |
|
2,709,620 |
|
|
|
|
Total Office |
|
11,167,999 |
|
|
|
|
Residential - 7.2% |
|
|
|
|
130,876 |
|
Apartment Investment & Management Company, Class A |
|
3,656,675 |
|
|
29,925 |
|
AvalonBay Communities, Inc. |
|
3,803,168 |
|
|
85,700 |
|
Equity Residential |
|
4,590,949 |
|
|
16,950 |
|
Essex Property Trust Inc. |
|
2,503,515 |
|
|
149,600 |
|
UDR Inc. |
|
3,545,520 |
|
|
|
|
Total Residential |
|
18,099,827 |
|
|
|
|
Retail - 10.0% |
|
|
|
|
100,000 |
|
Developers Diversified Realty Corporation |
|
1,571,000 |
|
|
9,300 |
|
Federal Realty Investment Trust |
|
943,485 |
|
|
217,860 |
|
General Growth Properties Inc. |
|
4,202,519 |
|
|
83,250 |
|
Kimco Realty Corporation |
|
1,679,985 |
|
|
71,391 |
|
Macerich Company |
|
4,029,308 |
|
|
41,750 |
|
Regency Centers Corporation |
|
2,018,613 |
|
|
46,635 |
|
Simon Property Group, Inc. |
|
6,912,706 |
|
|
36,450 |
|
Taubman Centers Inc. |
|
2,453,450 |
|
|
46,500 |
|
Weingarten Realty Trust |
|
1,363,845 |
|
|
|
|
Total Retail |
|
25,174,911 |
|
|
|
|
Specialized - 6.8% |
|
|
|
|
38,800 |
|
Extra Space Storage Inc. |
|
1,775,100 |
|
|
95,200 |
|
Health Care Property Investors Inc. |
|
3,898,440 |
|
|
54,750 |
|
Health Care REIT, Inc. |
|
3,415,305 |
|
|
29,574 |
|
Public Storage, Inc. |
|
4,748,106 |
|
|
52,650 |
|
Ventas Inc. |
|
3,237,974 |
|
|
|
|
Total Specialized |
|
17,074,925 |
|
|
|
|
Total Real Estate Investment Trust (REIT) Common Stocks (cost $72,209,447) |
|
92,954,482 |
|
|
Shares |
|
Description (1) |
|
Coupon |
|
|
|
Ratings (6) |
|
Value |
|
|
|
|
$25 Par (or similar) Retail Structures - 0.3% (0.2% of Total Investments) |
|
|
|
|
| ||||
|
|
|
Commercial Banks - 0.3% |
|
|
|
|
|
|
|
|
|
|
38,000 |
|
Texas Capital Bancshares Inc. |
|
6.500% |
|
|
|
BB |
|
$ 850,820 |
|
|
|
|
Total $25 Par (or similar) Retail Structures (cost $950,581) |
|
|
|
|
|
850,820 |
| ||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (6) |
|
Value |
| |
|
|
|
$1,000 (or similar) Institutional Structures - 0.4% (0.2% of Total Investments) |
|
|
|
|
| |||||
|
|
|
Diversified Financial Services - 0.4% |
|
|
|
|
|
|
|
|
| |
|
$ |
978 |
|
JPMorgan Chase & Company |
|
6.000% |
|
12/31/49 |
|
BBB |
|
$ 916,875 |
|
|
$ |
978 |
|
Total $1,000 (or similar) Institutional Structures (cost $978,000) |
|
|
|
|
|
916,875 |
| ||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity (7) |
|
Ratings (6) |
|
Value |
| |
|
|
|
Variable Rate Senior Loan Interests - 32.8% (22.4% of Total Investments) (8) |
|
|
|
|
| |||||
|
|
|
Aerospace & Defense - 0.2% |
|
|
|
|
|
|
|
|
| |
|
$ |
437 |
|
Hamilton Sundstrand, Term Loan, First Lien |
|
4.000% |
|
12/13/19 |
|
B+ |
|
$ 434,288 |
|
|
|
|
Airlines - 0.4% |
|
|
|
|
|
|
|
|
| |
|
499 |
|
American Airlines, Inc., Exit Term Loan |
|
4.750% |
|
6/27/19 |
|
Baa2 |
|
496,256 |
| |
|
498 |
|
Delta Air Lines, Inc., Term Loan B1 |
|
4.000% |
|
10/18/18 |
|
Ba1 |
|
499,764 |
| |
|
997 |
|
Total Airlines |
|
|
|
|
|
|
|
996,020 |
| |
|
|
|
Auto Components - 1.3% |
|
|
|
|
|
|
|
|
| |
|
1,290 |
|
Federal-Mogul Corporation, Tranche B, Term Loan |
|
2.116% |
|
12/29/14 |
|
B1 |
|
1,270,292 |
| |
|
658 |
|
Federal-Mogul Corporation, Tranche C, Term Loan |
|
2.118% |
|
12/28/15 |
|
B1 |
|
648,108 |
| |
|
1,000 |
|
Goodyear Tire & Rubber Company, Term Loan, Second Lien |
|
4.750% |
|
4/30/19 |
|
Ba1 |
|
1,008,125 |
| |
|
447 |
|
Tomkins, LLC / Tomkins, Inc., Term Loan B2 |
|
3.750% |
|
9/29/16 |
|
BB |
|
448,506 |
| |
|
3,395 |
|
Total Auto Components |
|
|
|
|
|
|
|
3,375,031 |
| |
|
|
|
Biotechnology - 0.4% |
|
|
|
|
|
|
|
|
| |
|
875 |
|
Grifols, Inc., Term Loan |
|
4.250% |
|
6/01/17 |
|
BB+ |
|
882,574 |
| |
|
|
|
Capital Markets - 0.6% |
|
|
|
|
|
|
|
|
| |
|
500 |
|
Guggenheim Partners LLC, Initial Term Loan |
|
4.000% |
|
7/22/20 |
|
N/R |
|
502,375 |
| |
|
1,111 |
|
Walter Investment Management Corporation, Tranche B, Term Loan |
|
5.750% |
|
11/28/17 |
|
B+ |
|
1,123,042 |
| |
|
1,611 |
|
Total Capital Markets |
|
|
|
|
|
|
|
1,625,417 |
| |
|
|
|
Chemicals - 0.4% |
|
|
|
|
|
|
|
|
| |
|
973 |
|
Univar, Inc., Term Loan |
|
5.000% |
|
6/30/17 |
|
B+ |
|
940,038 |
| |
|
|
|
Commercial Services & Supplies - 0.8% |
|
|
|
|
|
|
|
|
| |
|
1,042 |
|
Aramark Corporation, Term Loan, Tranche D |
|
4.000% |
|
9/09/19 |
|
BB- |
|
1,046,380 |
| |
|
958 |
|
KAR Auction Services, Inc., Term Loan B |
|
3.750% |
|
5/19/17 |
|
BB- |
|
963,076 |
| |
|
2,000 |
|
Total Commercial Services & Supplies |
|
|
|
|
|
|
|
2,009,456 |
| |
|
|
|
Computers & Peripherals - 0.4% |
|
|
|
|
|
|
|
|
| |
|
1,000 |
|
Dell, Inc., Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
BB+ |
|
985,104 |
| |
|
|
|
Consumer Finance - 0.1% |
|
|
|
|
|
|
|
|
| |
|
360 |
|
Springleaf Financial Funding Company, Term Loan |
|
5.500% |
|
5/10/17 |
|
B |
|
360,990 |
| |
|
|
|
Containers & Packaging - 1.0% |
|
|
|
|
|
|
|
|
| |
|
683 |
|
Pact Group, Inc., Term Loan B |
|
3.750% |
|
5/22/20 |
|
Ba3 |
|
674,395 |
| |
|
1,576 |
|
Reynolds Group Holdings, Inc., Term Loan |
|
4.750% |
|
9/28/18 |
|
B+ |
|
1,583,038 |
| |
|
355 |
|
Sealed Air Corporation, Term Loan B1 |
|
4.000% |
|
10/03/18 |
|
Ba1 |
|
358,613 |
| |
|
2,614 |
|
Total Containers & Packaging |
|
|
|
|
|
|
|
2,616,046 |
| |
|
|
|
Diversified Consumer Services - 0.8% |
|
|
|
|
|
|
|
|
| |
|
2,000 |
|
Hilton Hotels Corporation, Term Loan B2, WI/DD |
|
TBD |
|
TBD |
|
BB |
|
2,000,208 |
| |
|
|
|
Diversified Financial Services - 0.2% |
|
|
|
|
|
|
|
|
| |
|
436 |
|
WideOpenWest Finance LLC, Term Loan B |
|
4.750% |
|
4/01/19 |
|
B1 |
|
439,060 |
| |
|
|
|
Diversified Other - 0.2% |
|
|
|
|
|
|
|
|
| |
|
500 |
|
Rexnord LLC, Term Loan B |
|
4.000% |
|
8/21/20 |
|
B+ |
|
495,000 |
| |
|
|
|
Diversified Telecommunication Services - 0.6% |
|
|
|
|
|
|
|
|
| |
|
849 |
|
Intelsat Jackson Holdings, Ltd., Term Loan B1 |
|
4.250% |
|
4/02/18 |
|
BB- |
|
852,954 |
| |
|
744 |
|
Windstream Corporation, Term Loan B4 |
|
3.500% |
|
1/23/20 |
|
BBB- |
|
746,422 |
| |
|
1,593 |
|
Total Diversified Telecommunication Services |
|
|
|
|
|
|
|
1,599,376 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Food Products - 4.0% |
|
|
|
|
|
|
|
|
| |
|
993 |
|
AdvancePierre Foods, Inc., Term Loan, First Lien |
|
5.750% |
|
7/10/17 |
|
B1 |
|
999,323 |
| |
|
2,793 |
|
H.J. Heinz Company, Term Loan B2 |
|
3.500% |
|
6/05/20 |
|
BB+ |
|
2,807,141 |
| |
|
1,238 |
|
Michael Foods Group, Inc., Term Loan |
|
4.250% |
|
2/25/18 |
|
Ba3 |
|
1,248,212 |
| |
|
4,875 |
|
US Foods, Inc., Incremental Term Loan |
|
4.500% |
|
3/31/19 |
|
B2 |
|
4,863,916 |
| |
|
9,899 |
|
Total Food Products |
|
|
|
|
|
|
|
9,918,592 |
| |
|
|
|
Health Care Equipment & Supplies - 0.6% |
|
|
|
|
|
|
|
|
| |
|
1,474 |
|
Kinetic Concepts, Inc., Term Loan D1 |
|
4.500% |
|
5/04/18 |
|
BB- |
|
1,485,387 |
| |
|
|
|
Health Care Providers & Services - 3.9% |
|
|
|
|
|
|
|
|
| |
|
998 |
|
Apria Healthcare Group, Inc., Term Loan, First Lien |
|
6.750% |
|
4/06/20 |
|
BB- |
|
1,008,714 |
| |
|
4 |
|
Community Health Systems, Inc., Extended Term Loan |
|
3.760% |
|
1/25/17 |
|
BB |
|
4,249 |
| |
|
993 |
|
DaVita, Inc., New Term Loan B2 |
|
4.000% |
|
11/01/19 |
|
Ba2 |
|
997,959 |
| |
|
1,945 |
|
DaVita, Inc., Tranche B, Term Loan |
|
4.500% |
|
10/20/16 |
|
Ba2 |
|
1,957,123 |
| |
|
1,954 |
|
Golden Living, Term Loan |
|
5.000% |
|
5/04/18 |
|
B1 |
|
1,873,501 |
| |
|
1,000 |
|
HCA, Inc., Tranche B4, Term Loan |
|
2.929% |
|
5/01/18 |
|
BB+ |
|
999,583 |
| |
|
76 |
|
HCA, Inc., Tranche B5, Term Loan |
|
2.998% |
|
3/31/17 |
|
BB |
|
75,898 |
| |
|
898 |
|
Kindred Healthcare, Inc., Term Loan B1 |
|
4.250% |
|
6/01/18 |
|
Ba3 |
|
898,374 |
| |
|
466 |
|
Select Medical Corporation, Term Loan B |
|
4.001% |
|
6/01/18 |
|
Ba2 |
|
468,075 |
| |
|
1,400 |
|
United Surgical Partners International, Inc., Term Loan, First Lien |
|
4.250% |
|
4/19/17 |
|
B1 |
|
1,404,065 |
| |
|
9,734 |
|
Total Health Care Providers & Services |
|
|
|
|
|
|
|
9,687,541 |
| |
|
|
|
Hotels, Restaurants & Leisure - 2.5% |
|
|
|
|
|
|
|
|
| |
|
1,935 |
|
24 Hour Fitness Worldwide, Inc., Term Loan B |
|
5.250% |
|
4/22/16 |
|
Ba3 |
|
1,954,982 |
| |
|
994 |
|
MGM Resorts International, Term Loan B |
|
3.500% |
|
12/20/19 |
|
BB |
|
991,614 |
| |
|
1,904 |
|
Seaworld Parks and Entertainment, Inc., Term Loan B2 |
|
3.000% |
|
5/14/20 |
|
BB- |
|
1,884,743 |
| |
|
733 |
|
Six Flags Theme Parks, Inc., Term Loan B, First Lien |
|
4.000% |
|
12/20/18 |
|
BB+ |
|
739,771 |
| |
|
181 |
|
Venetian Casino Resort LLC, Delayed Term Loan |
|
2.680% |
|
11/23/16 |
|
BBB- |
|
180,844 |
| |
|
573 |
|
Venetian Casino Resort LLC, Tranche B, Term Loan |
|
2.680% |
|
11/23/16 |
|
BBB- |
|
573,516 |
| |
|
6,320 |
|
Total Hotels, Restaurants & Leisure |
|
|
|
|
|
|
|
6,325,470 |
| |
|
|
|
Household Durables - 1.1% |
|
|
|
|
|
|
|
|
| |
|
993 |
|
AOT Bedding Super Holdings LLC, Term Loan B |
|
5.000% |
|
10/01/19 |
|
B+ |
|
996,636 |
| |
|
1,000 |
|
Jarden Corporation, Term Loan B1, WI/DD |
|
TBD |
|
TBD |
|
BB |
|
1,001,250 |
| |
|
809 |
|
Tempur-Pedic International, Inc., New Term Loan B |
|
3.500% |
|
3/18/20 |
|
BB |
|
803,915 |
| |
|
2,802 |
|
Total Household Durables |
|
|
|
|
|
|
|
2,801,801 |
| |
|
|
|
Household Products - 0.2% |
|
|
|
|
|
|
|
|
| |
|
400 |
|
Spectrum Brands, Inc., Term Loan A |
|
3.000% |
|
9/11/17 |
|
BB+ |
|
400,177 |
| |
|
|
|
Industrial Conglomerates - 0.4% |
|
|
|
|
|
|
|
|
| |
|
995 |
|
DuPont Performance Coatings, Dollar Term Loan B |
|
4.750% |
|
2/03/20 |
|
B+ |
|
999,531 |
| |
|
|
|
Internet & Catalog Retail - 0.3% |
|
|
|
|
|
|
|
|
| |
|
652 |
|
Burlington Coat Factory Warehouse Corporation, Term Loan B2 |
|
4.250% |
|
2/16/17 |
|
B+ |
|
654,416 |
| |
|
|
|
IT Services - 0.0% |
|
|
|
|
|
|
|
|
| |
|
110 |
|
SunGard Data Systems, Inc., Term Loan B |
|
1.929% |
|
2/28/14 |
|
BB |
|
110,176 |
| |
|
|
|
Machinery - 0.1% |
|
|
|
|
|
|
|
|
| |
|
270 |
|
Gardner Denver, Inc., Term Loan |
|
4.250% |
|
7/30/20 |
|
B1 |
|
267,900 |
| |
|
|
|
Media - 3.0% |
|
|
|
|
|
|
|
|
| |
|
248 |
|
Clear Channel Communications, Inc., Tranche D, Term Loan |
|
6.929% |
|
1/30/19 |
|
CCC+ |
|
229,548 |
| |
|
428 |
|
Cumulus Media, Inc., Term Loan B, First Lien |
|
4.500% |
|
9/18/18 |
|
Ba2 |
|
431,336 |
| |
|
726 |
|
Cumulus Media, Inc., Term Loan, Second Lien |
|
7.500% |
|
9/16/19 |
|
B3 |
|
739,938 |
| |
|
1,244 |
|
Interactive Data Corporation, Term Loan |
|
3.750% |
|
1/31/18 |
|
Ba3 |
|
1,241,379 |
| |
|
500 |
|
Media General, Inc., Delayed Draw, Term Loan, (10) |
|
0.500% |
|
7/31/20 |
|
BB- |
|
501,871 |
| |
|
534 |
|
Nielsen Finance LLC, Term Loan E |
|
2.932% |
|
5/01/16 |
|
BBB- |
|
536,141 |
| |
|
500 |
|
Springer Science & Business Media, Inc., Term Loan |
|
5.000% |
|
8/14/20 |
|
B |
|
497,500 |
| |
|
496 |
|
Tribune Company, Exit Term Loan B |
|
4.000% |
|
12/17/19 |
|
BB+ |
|
498,108 |
| |
|
1,556 |
|
Univision Communications, Inc., Term Loan C1 |
|
4.500% |
|
3/01/20 |
|
B+ |
|
1,551,798 |
| |
|
1,000 |
|
UPC Broadband Holding BV, Term Loan AH |
|
3.250% |
|
6/30/21 |
|
BB |
|
995,625 |
| |
|
1,554 |
|
Yell Group PLC, Term Loan, (9) |
|
0.000% |
|
7/31/14 |
|
N/R |
|
339,267 |
| |
|
8,786 |
|
Total Media |
|
|
|
|
|
|
|
7,562,511 |
| |
|
|
|
Multi-Utilities - 0.4% |
|
|
|
|
|
|
|
|
| |
|
993 |
|
ADS Waste Holdings, Inc., Term Loan B |
|
4.250% |
|
8/05/19 |
|
B+ |
|
993,918 |
| |
|
|
|
Oil, Gas & Consumable Fuels - 1.0% |
|
|
|
|
|
|
|
|
| |
|
250 |
|
Drill Rigs Holdings, Inc., Tranche B1, Term Loan |
|
6.000% |
|
3/31/21 |
|
B+ |
|
252,708 |
| |
|
522 |
|
Energy Transfer Partners LP, Term Loan B |
|
3.750% |
|
3/24/17 |
|
BB+ |
|
525,299 |
| |
|
333 |
|
EP Energy LLC, Term Loan B3, Second Lien |
|
3.500% |
|
5/24/18 |
|
Ba3 |
|
331,875 |
| |
|
500 |
|
Fieldwood Energy LLC, Term Loan, First Lien, WI/DD |
|
TBD |
|
TBD |
|
Ba2 |
|
500,250 |
| |
|
131 |
|
Frac Tech International LLC, Term Loan |
|
8.500% |
|
5/06/16 |
|
B3 |
|
128,512 |
| |
|
833 |
|
Samson Investment Company, Initial Term Loan, Second Lien |
|
6.000% |
|
9/25/18 |
|
B1 |
|
836,354 |
| |
|
2,569 |
|
Total Oil, Gas & Consumable Fuels |
|
|
|
|
|
|
|
2,574,998 |
| |
|
|
|
Pharmaceuticals - 3.0% |
|
|
|
|
|
|
|
|
| |
|
970 |
|
ConvaTec Healthcare, Incremental Term Loan B |
|
4.000% |
|
12/22/16 |
|
Ba3 |
|
977,265 |
| |
|
908 |
|
Par Pharmaceutical Companies, Inc., Additional Term Loan B1 |
|
4.250% |
|
9/30/19 |
|
B+ |
|
905,627 |
| |
|
736 |
|
Quintiles Transnational Corp., Term Loan B2 |
|
4.000% |
|
6/08/18 |
|
BB- |
|
737,220 |
| |
|
1,489 |
|
Valeant Pharmaceuticals International, Inc., Term Loan E |
|
4.500% |
|
8/05/20 |
|
Ba1 |
|
1,501,544 |
| |
|
1,965 |
|
Valeant Pharmaceuticals International, Inc., Tranche B, Term Loan D2 |
|
3.750% |
|
2/13/19 |
|
BBB- |
|
1,968,073 |
| |
|
280 |
|
Warner Chilcott Company LLC, Term Loan B1 Additional |
|
5.500% |
|
3/15/18 |
|
BBB- |
|
280,903 |
| |
|
644 |
|
Warner Chilcott Corporation, Term Loan B1 |
|
5.500% |
|
3/15/18 |
|
BBB- |
|
645,247 |
| |
|
507 |
|
Warner Chilcott Corporation, Term Loan B3 |
|
5.500% |
|
3/15/18 |
|
BBB- |
|
508,470 |
| |
|
7,499 |
|
Total Pharmaceuticals |
|
|
|
|
|
|
|
7,524,349 |
| |
|
|
|
Real Estate Investment Trust - 0.3% |
|
|
|
|
|
|
|
|
| |
|
811 |
|
iStar Financial, Inc., Term Loan |
|
4.500% |
|
10/15/17 |
|
BB- |
|
814,069 |
| |
|
|
|
Real Estate Management & Development - 0.3% |
|
|
|
|
|
|
|
|
| |
|
663 |
|
Capital Automotive LP, Term Loan, Tranche B1 |
|
4.000% |
|
4/10/19 |
|
Ba2 |
|
666,319 |
| |
|
|
|
Road & Rail - 0.2% |
|
|
|
|
|
|
|
|
| |
|
404 |
|
Swift Transportation Company, Inc., Term Loan B2 |
|
4.000% |
|
12/21/17 |
|
BB |
|
406,744 |
| |
|
|
|
Semiconductors & Equipment - 0.7% |
|
|
|
|
|
|
|
|
| |
|
744 |
|
NXP Semiconductor LLC, Incremental Term Loan C |
|
4.750% |
|
1/10/20 |
|
BB- |
|
756,936 |
| |
|
975 |
|
NXP Semiconductor LLC, Term Loan |
|
4.500% |
|
3/03/17 |
|
Ba3 |
|
990,844 |
| |
|
1,719 |
|
Total Semiconductors & Equipment |
|
|
|
|
|
|
|
1,747,780 |
| |
|
|
|
Software - 1.7% |
|
|
|
|
|
|
|
|
| |
|
500 |
|
Activision Blizzard, Inc., Term Loan B, WI/DD |
|
TBD |
|
TBD |
|
BBB |
|
500,625 |
| |
|
840 |
|
Datatel Parent Corp, Term Loan B |
|
4.500% |
|
7/19/18 |
|
B+ |
|
844,858 |
| |
|
983 |
|
Emdeon Business Services LLC, Term Loan B2 |
|
3.750% |
|
11/02/18 |
|
BB- |
|
984,942 |
| |
|
786 |
|
Infor Enterprise Applications, Term Loan B |
|
5.250% |
|
4/05/18 |
|
Ba3 |
|
789,883 |
| |
|
1,035 |
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc. 2013 Replacement Term Loan B1 |
|
3.500% |
|
6/07/19 |
|
BB |
|
1,037,139 |
| |
|
107 |
|
SS&C Technologies, Inc./ Sunshine Acquisition II, Inc. 2013 Replacement Term Loan B2 |
|
3.500% |
|
6/07/19 |
|
BB |
|
107,134 |
| |
|
4,251 |
|
Total Software |
|
|
|
|
|
|
|
4,264,581 |
| |
|
|
|
Specialty Retail - 1.2% |
|
|
|
|
|
|
|
|
| |
|
253 |
|
J Crew Group, Term Loan B1 |
|
4.000% |
|
3/07/18 |
|
B1 |
|
252,617 |
| |
|
1,755 |
|
Jo-Ann Stores, Inc., Term Loan, First Lien |
|
4.000% |
|
3/16/18 |
|
B+ |
|
1,755,765 |
| |
|
990 |
|
Pilot Travel Centers LLC, First Amendment, Tranche B, Term Loan |
|
4.250% |
|
8/07/19 |
|
BB |
|
994,022 |
| |
|
2,998 |
|
Total Specialty Retail |
|
|
|
|
|
|
|
3,002,404 |
| |
|
|
|
Wireless Telecommunication Services - 0.5% |
|
|
|
|
|
|
|
|
| |
|
995 |
|
Charter Communications Operating Holdings LLC, Term Loan E |
3.000% |
|
7/01/20 |
|
Baa3 |
|
986,767 |
| ||
|
195 |
|
Clear Channel Communications, Inc., Tranche B, Term Loan |
|
3.829% |
|
1/29/16 |
|
CCC+ |
|
184,052 |
| |
|
1,190 |
|
Total Wireless Telecommunication Services |
|
|
|
|
|
|
|
1,170,819 |
| |
|
$ |
83,330 |
|
Total Variable Rate Senior Loan Interests (cost $82,753,768) |
|
|
|
|
|
82,138,091 |
| ||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (6) |
|
Value |
| |
|
|
|
Corporate Bonds - 0.1% (0.1% of Total Investments) |
|
|
|
|
|
|
|
|
| |
|
|
|
Media - 0.0% |
|
|
|
|
|
|
|
|
| |
|
$ |
132 |
|
Clear Channel Communications, Inc. |
|
9.000% |
|
12/15/19 |
|
CCC+ |
|
$ 129,360 |
|
|
|
|
Metals & Mining - 0.1% |
|
|
|
|
|
|
|
|
| |
|
215 |
|
Southern Copper Corporation |
|
7.500% |
|
7/27/35 |
|
BBB+ |
|
225,864 |
| |
|
$ |
347 |
|
Total Corporate Bonds (cost $379,731) |
|
|
|
|
|
|
|
355,224 |
|
|
Principal |
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000) |
(11) |
Description (1) |
|
Coupon |
|
Maturity |
|
Ratings (6) |
|
Value |
|
|
|
|
Emerging Markets Debt and Foreign Corporate Bonds - 32.8% (22.4% of Total Investments) |
|
|
|
|
|
|
|
|
|
|
|
|
Argentina - 0.6% |
|
|
|
|
|
|
|
|
|
|
130 |
|
City of Buenos Aires, Argentina, 144A |
|
12.500% |
|
4/06/15 |
|
B- |
|
$ 135,200 |
|
|
145 |
|
Republic of Argentina |
|
7.000% |
|
10/03/15 |
|
B- |
|
133,400 |
|
|
80 |
|
Republic of Argentina |
|
8.750% |
|
6/02/17 |
|
B |
|
65,400 |
|
|
263 |
|
Republic of Argentina |
|
8.280% |
|
12/31/33 |
|
CC |
|
168,375 |
|
|
400 |
|
Republic of Argentina |
|
8.280% |
|
12/31/33 |
|
B- |
|
248,072 |
|
|
231 |
EUR |
Republic of Argentina |
|
7.820% |
|
12/31/33 |
|
CC |
|
195,172 |
|
|
1,348 |
|
Republic of Argentina |
|
2.500% |
|
12/31/38 |
|
CC |
|
478,540 |
|
|
|
|
Total Argentina |
|
|
|
|
|
|
|
1,424,159 |
|
|
|
|
Azerbaijan - 0.2% |
|
|
|
|
|
|
|
|
|
|
465 |
|
Azerbaijan State Oil Company, Reg S |
|
5.450% |
|
2/09/17 |
|
BBB- |
|
491,156 |
|
|
|
|
Bolivia - 0.1% |
|
|
|
|
|
|
|
|
|
|
220 |
|
Bolivia Government, 144A |
|
5.950% |
|
8/22/23 |
|
BB- |
|
210,100 |
|
|
200 |
|
Bolivia Government, Reg S |
|
4.875% |
|
10/29/22 |
|
BB- |
|
180,250 |
|
|
|
|
Total Bolivia |
|
|
|
|
|
|
|
390,350 |
|
|
|
|
Brazil - 2.9% |
|
|
|
|
|
|
|
|
|
|
255 |
|
Banco do Nordeste do Brasil, 144A |
|
3.625% |
|
11/09/15 |
|
BBB |
|
258,825 |
|
|
215 |
|
Banco Nacional de Desenvolvimento Economico e Social, 144A |
|
5.750% |
|
9/26/23 |
|
BBB |
|
215,000 |
|
|
875 |
|
Brazil Minas SPE via State of Minas Gerais, Pass Through Notes, 144A |
|
5.333% |
|
2/15/28 |
|
BBB |
|
842,188 |
|
|
1,130 |
BRL |
Brazil Nota do Tesouro Nacional |
|
10.000% |
|
1/01/21 |
|
A- |
|
484,535 |
|
|
1,167 |
BRL |
Brazil Nota do Tesouro Nacional |
|
10.000% |
|
1/01/23 |
|
A- |
|
492,084 |
|
|
300 |
|
Centrais Eletricas Brasileiras S.A, 144A |
|
5.750% |
|
10/27/21 |
|
BBB |
|
289,950 |
|
|
755 |
|
Centrais Eletricas Brasileiras S.A, Reg S |
|
5.750% |
|
10/27/21 |
|
BBB |
|
729,708 |
|
|
695 |
BRL |
Companhia Energetica de Sao Paulo, 144A |
|
9.750% |
|
1/15/15 |
|
Ba1 |
|
465,650 |
|
|
600 |
|
Federative Republic of Brazil |
|
6.000% |
|
1/17/17 |
|
BBB |
|
671,100 |
|
|
460 |
|
Federative Republic of Brazil |
|
8.000% |
|
1/15/18 |
|
BBB |
|
517,499 |
|
|
671 |
|
Federative Republic of Brazil |
|
8.250% |
|
1/20/34 |
|
BBB |
|
873,978 |
|
|
1,003 |
|
Federative Republic of Brazil |
|
7.125% |
|
1/20/37 |
|
BBB |
|
1,178,524 |
|
|
260 |
|
Petrobras International Finance Company |
|
6.750% |
|
1/27/41 |
|
A3 |
|
251,425 |
|
|
|
|
Total Brazil |
|
|
|
|
|
|
|
7,270,466 |
|
|
|
|
Canada - 0.2% |
|
|
|
|
|
|
|
|
|
|
431 |
|
Pacific Rubiales Energy Corporation, 144A |
|
7.250% |
|
12/12/21 |
|
BB+ |
|
452,550 |
|
|
150 |
|
Pacific Rubiales Energy Corporation, 144A |
|
5.125% |
|
3/28/23 |
|
BB+ |
|
134,438 |
|
|
|
|
Total Canada |
|
|
|
|
|
|
|
586,988 |
|
|
|
|
Colombia - 2.3% |
|
|
|
|
|
|
|
|
|
|
395 |
|
Bancolombia SA |
|
6.125% |
|
7/26/20 |
|
BBB- |
|
402,900 |
|
|
235 |
|
EcoPetrol SA |
|
5.875% |
|
9/18/23 |
|
BBB |
|
244,400 |
|
|
190 |
|
EcoPetrol SA |
|
7.375% |
|
9/18/43 |
|
BBB |
|
205,675 |
|
|
215 |
|
Grupo Aval Acciones y Valores, 144A |
|
4.750% |
|
9/26/22 |
|
Baa3 |
|
192,963 |
|
|
708,000 |
COP |
Republic of Colombia |
|
12.000% |
|
10/22/15 |
|
BBB |
|
424,141 |
|
|
580 |
|
Republic of Colombia |
|
7.375% |
|
3/18/19 |
|
BBB |
|
702,380 |
|
|
900 |
|
Republic of Colombia |
|
11.750% |
|
2/25/20 |
|
BBB |
|
1,298,250 |
|
|
420,000 |
COP |
Republic of Colombia |
|
7.750% |
|
4/14/21 |
|
BBB |
|
249,009 |
|
|
175,000 |
COP |
Republic of Colombia |
|
9.850% |
|
6/28/27 |
|
BBB |
|
119,847 |
|
|
535 |
|
Republic of Colombia |
|
10.375% |
|
1/28/33 |
|
BBB |
|
802,500 |
|
|
1,000 |
|
Republic of Colombia |
|
7.375% |
|
9/18/37 |
|
BBB |
|
1,248,500 |
|
|
|
|
Total Colombia |
|
|
|
|
|
|
|
5,890,565 |
|
|
|
|
Chile - 1.0% |
|
|
|
|
|
|
|
|
|
|
640 |
|
Coporacion Nacional del Cobre de Chile, Reg S |
|
3.750% |
|
11/04/20 |
|
AA- |
|
635,372 |
|
|
655 |
|
Coporacion Nacional del Cobre de Chile, Reg S |
|
3.875% |
|
11/03/21 |
|
AA- |
|
641,960 |
|
|
420 |
|
Corporacion Nacional del Cobre, 144A |
|
3.750% |
|
11/04/20 |
|
AA- |
|
416,963 |
|
|
195 |
|
E-CL S.A, 144A |
|
5.625% |
|
1/15/21 |
|
BBB- |
|
199,276 |
|
|
395 |
|
Empresa Nacional del Petroleo, 144A |
|
4.750% |
|
12/06/21 |
|
A |
|
388,485 |
|
|
225 |
|
Empresa Nacional del Petroleo, Reg S |
|
6.250% |
|
7/08/19 |
|
A |
|
244,901 |
|
|
|
|
Total Chile |
|
|
|
|
|
|
|
2,526,957 |
|
|
|
|
China - 0.1% |
|
|
|
|
|
|
|
|
|
|
255 |
|
Sinopec Group Overseas Development 2012, 144A |
|
3.900% |
|
5/17/22 |
|
Aa3 |
|
249,554 |
|
|
|
|
Costa Rica - 0.3% |
|
|
|
|
|
|
|
|
|
|
315 |
|
Banco de Costa Rica, 144A |
|
5.250% |
|
8/12/18 |
|
Baa3 |
|
319,093 |
|
|
590 |
|
Republic of Costa Rica, 144A |
|
4.250% |
|
1/26/23 |
|
Baa3 |
|
528,050 |
|
|
|
|
Total Costa Rica |
|
|
|
|
|
|
|
847,143 |
|
|
|
|
Cote d’Ivoire (Ivory Coast) - 0.4% |
|
|
|
|
|
|
|
|
|
|
1,075 |
|
Ivory Coast Republic, Reg S |
|
5.750% |
|
12/31/32 |
|
D |
|
946,000 |
|
|
|
|
Croatia - 0.8% |
|
|
|
|
|
|
|
|
|
|
280 |
|
Republic of Croatia, 144A |
|
6.250% |
|
4/27/17 |
|
BB+ |
|
294,230 |
|
|
130 |
|
Republic of Croatia, 144A |
|
6.625% |
|
7/14/20 |
|
BB+ |
|
137,800 |
|
|
200 |
|
Republic of Croatia, Reg S |
|
6.250% |
|
4/27/17 |
|
BB+ |
|
210,164 |
|
|
400 |
|
Republic of Croatia, Reg S |
|
5.375% |
|
11/29/19 |
|
BB+ |
|
426,500 |
|
|
880 |
|
Republic of Croatia, Reg S |
|
6.625% |
|
7/14/20 |
|
BB+ |
|
932,800 |
|
|
|
|
Total Croatia |
|
|
|
|
|
|
|
2,001,494 |
|
|
|
|
Dominican Republic - 0.2% |
|
|
|
|
|
|
|
|
|
|
405 |
|
Dominican Republic, 144A |
|
5.875% |
|
4/18/24 |
|
B+ |
|
375,638 |
|
|
182 |
|
Dominican Republic, Reg S |
|
9.040% |
|
1/23/18 |
|
B+ |
|
197,904 |
|
|
|
|
Total Dominican Republic |
|
|
|
|
|
|
|
573,542 |
|
|
|
|
El Salvador - 0.6% |
|
|
|
|
|
|
|
|
|
|
145 |
|
Republic of El Salvador, 144A |
|
5.875% |
|
1/30/25 |
|
BB- |
|
137,388 |
|
|
30 |
|
Republic of El Salvador, Reg S |
|
8.250% |
|
4/10/32 |
|
BB- |
|
32,325 |
|
|
165 |
|
Republic of El Salvador, Reg S |
|
7.375% |
|
12/01/19 |
|
BB- |
|
179,438 |
|
|
616 |
|
Republic of El Salvador, Reg S |
|
7.750% |
|
1/24/23 |
|
BB- |
|
669,900 |
|
|
75 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
9/21/34 |
|
BB- |
|
78,750 |
|
|
120 |
|
Republic of El Salvador, Reg S |
|
7.650% |
|
6/15/35 |
|
BB- |
|
121,800 |
|
|
260 |
|
Republic of El Salvador, Reg S |
|
7.625% |
|
2/01/41 |
|
BB- |
|
261,300 |
|
|
|
|
Total El Salvador |
|
|
|
|
|
|
|
1,480,901 |
|
|
|
|
Hungary - 1.1% |
|
|
|
|
|
|
|
|
|
|
276 |
|
Republic of Hungary, Government Bond |
|
4.125% |
|
2/19/18 |
|
Ba1 |
|
273,240 |
|
|
480 |
|
Republic of Hungary, Government Bond |
|
5.375% |
|
2/21/23 |
|
Ba1 |
|
466,800 |
|
|
1,210 |
|
Republic of Hungary, Government Bond |
|
7.625% |
|
3/29/41 |
|
Ba1 |
|
1,294,700 |
|
|
395 |
EUR |
Republic of Hungary, Government Bond, Reg S |
|
4.375% |
|
7/04/17 |
|
Ba1 |
|
536,348 |
|
|
90 |
EUR |
Republic of Hungary, Government Bond, Reg S |
|
5.750% |
|
6/11/18 |
|
Ba1 |
|
126,627 |
|
|
|
|
Total Hungary |
|
|
|
|
|
|
|
2,697,715 |
|
|
|
|
Iceland - 0.1% |
|
|
|
|
|
|
|
|
|
|
231 |
|
Republic of Iceland, Treasury Obligations, 144A |
|
5.875% |
|
5/11/22 |
|
BBB |
|
237,353 |
|
|
|
|
India - 0.1% |
|
|
|
|
|
|
|
|
|
|
285 |
|
Reliance Holdings USA Inc., 144A |
|
5.400% |
|
2/14/22 |
|
BBB+ |
|
285,602 |
|
|
|
|
Indonesia - 2.4% |
|
|
|
|
|
|
|
|
|
|
760 |
|
Majapahit Holdings BV, Reg S |
|
8.000% |
|
8/07/19 |
|
Baa3 |
|
843,600 |
|
|
215 |
|
Pertamina PT, Reg S |
|
6.000% |
|
5/03/42 |
|
Baa3 |
|
174,150 |
|
|
200 |
|
Perusahaan Listrik Negaraa PT, Reg S |
|
5.500% |
|
11/22/21 |
|
Baa3 |
|
191,000 |
|
|
385 |
|
Republic of Indonesia, 144A |
|
5.375% |
|
10/17/23 |
|
Baa3 |
|
383,075 |
|
|
1,445 |
|
Republic of Indonesia, Reg S |
|
7.500% |
|
1/15/16 |
|
Baa3 |
|
1,591,306 |
|
|
395 |
|
Republic of Indonesia, Reg S |
|
11.625% |
|
3/04/19 |
|
Baa3 |
|
524,856 |
|
|
235 |
|
Republic of Indonesia, Reg S |
|
4.875% |
|
5/05/21 |
|
Baa3 |
|
232,650 |
|
|
475 |
|
Republic of Indonesia, Reg S |
|
3.750% |
|
4/25/22 |
|
Baa3 |
|
427,500 |
|
|
395 |
|
Republic of Indonesia, Reg S |
|
3.375% |
|
4/15/23 |
|
Baa3 |
|
336,738 |
|
|
100 |
|
Republic of Indonesia, Reg S |
|
8.500% |
|
10/12/35 |
|
Baa3 |
|
121,250 |
|
|
1,180 |
|
Republic of Indonesia, Reg S |
|
6.625% |
|
2/17/37 |
|
Baa3 |
|
1,194,750 |
|
|
|
|
Total Indonesia |
|
|
|
|
|
|
|
6,020,875 |
|
|
|
|
Ireland - 0.2% |
|
|
|
|
|
|
|
|
|
|
400 |
|
RZD Capital Limited, Russian Railways, Reg S |
|
5.700% |
|
4/05/22 |
|
Baa1 |
|
407,500 |
|
|
|
|
Kazakhstan - 1.5% |
|
|
|
|
|
|
|
|
|
|
220 |
|
KazAgro National Management Holding JSC, 144A |
|
4.625% |
|
5/24/23 |
|
BBB+ |
|
200,200 |
|
|
330 |
|
Kazakhstan Development Bank |
|
6.500% |
|
6/03/20 |
|
BBB+ |
|
342,375 |
|
|
200 |
|
Kazakhstan Development Bank, 144A |
|
4.125% |
|
12/10/22 |
|
BBB+ |
|
184,500 |
|
|
200 |
|
Kazakhstan Development Bank, Reg S |
|
5.500% |
|
12/20/15 |
|
BBB+ |
|
210,000 |
|
|
375 |
|
Kazakhstan Temir Zholy JSC, Reg S |
|
7.000% |
|
5/13/16 |
|
BBB |
|
409,686 |
|
|
200 |
|
Kazakhstan Temir Zholy JSC, 144A |
|
6.950% |
|
7/10/42 |
|
BBB |
|
201,740 |
|
|
225 |
|
Kazatomprom, Reg S |
|
6.250% |
|
5/20/15 |
|
Baa3 |
|
236,250 |
|
|
635 |
|
KazMunayGas National Company, 144A |
|
5.750% |
|
4/30/43 |
|
BBB |
|
557,213 |
|
|
435 |
|
Kazmunaygas National, Reg S |
|
11.750% |
|
1/23/15 |
|
BBB |
|
485,569 |
|
|
250 |
|
Kazmunaygas National, Reg S |
|
5.750% |
|
4/30/43 |
|
BBB |
|
219,375 |
|
|
430 |
|
KazMuniaGaz Finance Subsidiary, 144A |
|
11.750% |
|
1/23/15 |
|
BBB |
|
479,988 |
|
|
210 |
|
KazMuniaGaz Finance Subsidiary, Reg S |
|
9.125% |
|
7/02/18 |
|
BBB |
|
257,250 |
|
|
|
|
Total Kazakhstan |
|
|
|
|
|
|
|
3,784,146 |
|
|
|
|
Latvia - 0.6% |
|
|
|
|
|
|
|
|
|
|
520 |
|
Latvia Republic, 144A |
|
5.250% |
|
2/22/17 |
|
BBB+ |
|
566,280 |
|
|
715 |
|
Latvia Republic, 144A |
|
3.625% |
|
1/12/20 |
|
BBB+ |
|
677,767 |
|
|
295 |
|
Latvia Republic, Reg S |
|
5.250% |
|
2/22/17 |
|
BBB+ |
|
321,255 |
|
|
|
|
Total Latvia |
|
|
|
|
|
|
|
1,565,302 |
|
|
|
|
Lithuania - 0.9% |
|
|
|
|
|
|
|
|
|
|
175 |
|
Republic of Lithuania, 144A |
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
212,188 |
|
|
145 |
|
Republic of Lithuania, 144A |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
165,481 |
|
|
670 |
|
Republic of Lithuania, 144A |
|
6.625% |
|
2/01/22 |
|
Baa1 |
|
785,575 |
|
|
120 |
|
Republic of Lithuania, Reg S |
|
5.125% |
|
9/14/17 |
|
Baa1 |
|
131,100 |
|
|
195 |
|
Republic of Lithuania, Reg S |
|
7.375% |
|
2/11/20 |
|
Baa1 |
|
236,438 |
|
|
695 |
|
Republic of Lithuania, Reg S |
|
6.125% |
|
3/09/21 |
|
Baa1 |
|
793,169 |
|
|
|
|
Total Lithuania |
|
|
|
|
|
|
|
2,323,951 |
|
|
|
|
Luxembourg - 0.3% |
|
|
|
|
|
|
|
|
|
|
210 |
|
Gaz Capital SA, Reg S |
|
9.250% |
|
4/23/19 |
|
Baa1 |
|
258,342 |
|
|
330 |
|
Gaz Capital SA, Reg S |
|
8.625% |
|
4/28/34 |
|
Baa1 |
|
394,350 |
|
|
|
|
Total Luxembourg |
|
|
|
|
|
|
|
652,692 |
|
|
|
|
Malaysia - 0.5% |
|
|
|
|
|
|
|
|
|
|
765 |
|
Penerbangan Malaysia Berhad, Reg S |
|
5.625% |
|
3/15/16 |
|
AA- |
|
838,206 |
|
|
360 |
|
Petronas Capital Limited, Reg S |
|
5.250% |
|
8/12/19 |
|
A1 |
|
398,727 |
|
|
|
|
Total Malaysia |
|
|
|
|
|
|
|
1,236,933 |
|
|
|
|
Mexico - 1.6% |
|
|
|
|
|
|
|
|
|
|
200 |
|
Alpek SA DE CV, Reg S |
|
4.500% |
|
11/20/22 |
|
BBB- |
|
186,000 |
|
|
230 |
|
Pemex Project Funding Master Trust |
|
6.625% |
|
6/15/35 |
|
Baa1 |
|
242,910 |
|
|
420 |
|
Petroleos Mexicanos |
|
4.875% |
|
1/18/24 |
|
Baa1 |
|
420,000 |
|
|
340 |
|
Petroleos Mexicanos |
|
6.500% |
|
6/02/41 |
|
Baa1 |
|
352,369 |
|
|
210 |
|
United Mexican States |
|
6.625% |
|
3/03/15 |
|
Baa1 |
|
226,590 |
|
|
365 |
|
United Mexican States |
|
7.500% |
|
4/08/33 |
|
Baa1 |
|
463,550 |
|
|
1,004 |
|
United Mexican States |
|
6.050% |
|
1/11/40 |
|
Baa1 |
|
1,097,872 |
|
|
244 |
|
United Mexican States |
|
4.750% |
|
3/08/44 |
|
Baa1 |
|
220,820 |
|
|
940 |
|
United Mexican States |
|
5.750% |
|
10/12/00 |
|
Baa1 |
|
883,600 |
|
|
|
|
Total Mexico |
|
|
|
|
|
|
|
4,093,711 |
|
|
|
|
Morocco - 0.2% |
|
|
|
|
|
|
|
|
|
|
215 |
|
Kingdom of Morocco, 144A |
|
4.250% |
|
12/11/22 |
|
BBB- |
|
195,693 |
|
|
235 |
|
Kingdom of Morocco, 144A |
|
5.500% |
|
12/11/42 |
|
BBB- |
|
195,638 |
|
|
|
|
Total Morocco |
|
|
|
|
|
|
|
391,331 |
|
|
|
|
Nigeria - 0.2% |
|
|
|
|
|
|
|
|
|
|
240 |
|
Nigerian Government International Bond, 144A |
|
5.125% |
|
7/12/18 |
|
BB- |
|
243,600 |
|
|
200 |
|
Nigerian Government International Bond, 144A |
|
6.375% |
|
7/12/23 |
|
BB- |
|
204,000 |
|
|
|
|
Total Nigeria |
|
|
|
|
|
|
|
447,600 |
|
|
|
|
Panama - 0.5% |
|
|
|
|
|
|
|
|
|
|
180 |
|
AES Panama, Reg S |
|
6.350% |
|
12/21/16 |
|
BBB- |
|
189,017 |
|
|
30 |
|
Republic of Panama |
|
7.250% |
|
3/15/15 |
|
BBB |
|
32,550 |
|
|
490 |
|
Republic of Panama |
|
8.875% |
|
9/30/27 |
|
BBB |
|
673,750 |
|
|
200 |
|
Republic of Panama |
|
9.375% |
|
4/01/29 |
|
BBB |
|
285,500 |
|
|
|
|
Total Panama |
|
|
|
|
|
|
|
1,180,817 |
|
|
|
|
Peru - 0.7% |
|
|
|
|
|
|
|
|
|
|
165 |
|
El Fondo Mivivienda SA, 144A |
|
3.500% |
|
1/31/23 |
|
BBB+ |
|
143,138 |
|
|
745 |
|
Republic of Peru |
|
8.375% |
|
5/03/16 |
|
BBB+ |
|
860,473 |
|
|
140 |
|
Republic of Peru |
|
7.125% |
|
3/30/19 |
|
BBB+ |
|
169,750 |
|
|
130 |
|
Republic of Peru |
|
7.350% |
|
7/21/25 |
|
BBB+ |
|
166,075 |
|
|
335 |
|
Republic of Peru |
|
6.550% |
|
3/14/37 |
|
BBB+ |
|
396,138 |
|
|
249 |
PEN |
Republic of Peru Treasury Bond |
|
7.840% |
|
8/12/20 |
|
A- |
|
103,497 |
|
|
|
|
Total Peru |
|
|
|
|
|
|
|
1,839,071 |
|
|
|
|
Philippines - 1.2% |
|
|
|
|
|
|
|
|
|
|
185 |
|
National Power Corporation |
|
9.625% |
|
5/15/28 |
|
BBB- |
|
262,700 |
|
|
230 |
|
Republic of the Philippines |
|
9.875% |
|
1/15/19 |
|
BBB- |
|
304,175 |
|
|
515 |
|
Republic of the Philippines |
|
6.500% |
|
1/20/20 |
|
BBB- |
|
605,125 |
|
|
420 |
|
Republic of the Philippines |
|
10.625% |
|
3/16/25 |
|
BBB- |
|
636,300 |
|
|
555 |
|
Republic of the Philippines |
|
9.500% |
|
2/02/30 |
|
BBB- |
|
824,175 |
|
|
250 |
|
Republic of the Philippines |
|
7.750% |
|
1/14/31 |
|
BBB- |
|
325,625 |
|
|
|
|
Total Philippines |
|
|
|
|
|
|
|
2,958,100 |
|
|
|
|
Poland - 0.6% |
|
|
|
|
|
|
|
|
|
|
95 |
|
Republic of Poland |
|
3.875% |
|
7/16/15 |
|
A2 |
|
99,636 |
|
|
91 |
|
Republic of Poland |
|
6.375% |
|
7/15/19 |
|
A2 |
|
106,197 |
|
|
395 |
|
Republic of Poland |
|
5.125% |
|
4/21/21 |
|
A2 |
|
429,563 |
|
|
710 |
|
Republic of Poland |
|
5.000% |
|
3/23/22 |
|
A2 |
|
763,605 |
|
|
|
|
Total Poland |
|
|
|
|
|
|
|
1,399,001 |
|
|
|
|
Romania - 0.7% |
|
|
|
|
|
|
|
|
|
|
390 |
|
Republic of Romania, 144A |
|
6.750% |
|
2/07/22 |
|
Baa3 |
|
444,678 |
|
|
315 |
EUR |
Republic of Romania, Reg S |
|
4.875% |
|
11/07/19 |
|
Baa3 |
|
442,810 |
|
|
536 |
|
Republic of Romania, Reg S |
|
6.750% |
|
2/07/22 |
|
Baa3 |
|
611,147 |
|
|
266 |
|
Republic of Romania, Reg S |
|
4.375% |
|
8/22/23 |
|
Baa3 |
|
254,363 |
|
|
|
|
Total Romania |
|
|
|
|
|
|
|
1,752,998 |
|
|
|
|
Russia - 2.8% |
|
|
|
|
|
|
|
|
|
|
290 |
|
Alrosa Finance SA, 144A |
|
7.750% |
|
11/03/20 |
|
BB- |
|
321,958 |
|
|
230 |
|
EDC Finance Limited, 144A |
|
4.875% |
|
4/17/20 |
|
BB+ |
|
219,650 |
|
|
555 |
|
Gazprom International SA, Reg S |
|
4.375% |
|
9/19/22 |
|
BBB- |
|
510,600 |
|
|
200 |
|
Gazprom Neft OAO Via GPN Capital SA, 144A |
|
4.375% |
|
9/19/22 |
|
BBB- |
|
184,000 |
|
|
635 |
|
Gazprom OAO Via Gaz Capital SA, Reg S |
|
5.999% |
|
1/23/21 |
|
Baa1 |
|
664,369 |
|
|
435 |
|
Lukoil International Finance, 144A |
|
4.563% |
|
4/24/23 |
|
BBB |
|
404,659 |
|
|
5,995 |
RUB |
Russian Federal Bond - OFZ |
|
8.150% |
|
2/03/27 |
|
BBB+ |
|
193,718 |
|
|
7,275 |
RUB |
Russian Federation |
|
6.800% |
|
12/11/19 |
|
BBB+ |
|
222,955 |
|
|
4,255 |
RUB |
Russian Federation |
|
7.050% |
|
1/19/28 |
|
Baa1 |
|
124,427 |
|
|
600 |
|
Russian Federation, 144A |
|
4.875% |
|
9/16/23 |
|
Baa1 |
|
613,500 |
|
|
700 |
|
Russian Federation, Reg S |
|
3.625% |
|
4/29/15 |
|
Baa1 |
|
727,300 |
|
|
200 |
|
Russian Federation, Reg S |
|
4.500% |
|
4/04/22 |
|
Baa1 |
|
204,240 |
|
|
1,572 |
|
Russian Federation, Reg S |
|
7.500% |
|
3/31/30 |
|
Baa1 |
|
1,852,777 |
|
|
700 |
|
VTB Capital SA, Reg S |
|
6.875% |
|
5/29/18 |
|
BBB |
|
752,500 |
|
|
|
|
Total Russia |
|
|
|
|
|
|
|
6,996,653 |
|
|
|
|
Singapore - 0.2% |
|
|
|
|
|
|
|
|
|
|
210 |
|
DBS Bank Limited Singapore, Reg S |
|
3.625% |
|
9/21/22 |
|
Aa3 |
|
214,721 |
|
|
210 |
|
Oversea-Chinese Banking Corporation, Reg S |
|
3.750% |
|
11/15/22 |
|
Aa3 |
|
215,960 |
|
|
|
|
Total Singapore |
|
|
|
|
|
|
|
430,681 |
|
|
|
|
Senegal - 0.2% |
|
|
|
|
|
|
|
|
|
|
400 |
|
Republic of Senegal, Reg S |
|
8.750% |
|
5/13/21 |
|
B+ |
|
421,000 |
|
|
|
|
Serbia - 0.3% |
|
|
|
|
|
|
|
|
|
|
805 |
|
Republic of Serbia, Reg S |
|
7.250% |
|
9/28/21 |
|
BB- |
|
836,194 |
|
|
|
|
Slovenia - 0.2% |
|
|
|
|
|
|
|
|
|
|
475 |
|
Republic of Slovenia, 144A |
|
5.850% |
|
5/10/23 |
|
A- |
|
451,250 |
|
|
|
|
South Africa - 0.7% |
|
|
|
|
|
|
|
|
|
|
400 |
|
Esckom Holdings Limited, Reg S |
|
5.750% |
|
1/26/21 |
|
BBB+ |
|
397,000 |
|
|
415 |
|
Eskom Holdings Limited, 144A |
|
6.750% |
|
8/06/23 |
|
BBB |
|
426,496 |
|
|
295 |
|
Republic of South Africa |
|
5.875% |
|
9/16/25 |
|
Baa1 |
|
310,119 |
|
|
2,590 |
ZAR |
Republic of South Africa |
|
8.750% |
|
2/28/48 |
|
BBB+ |
|
251,656 |
|
|
335 |
|
Transnet SOC Limited, 144A |
|
4.500% |
|
2/10/16 |
|
A3 |
|
345,469 |
|
|
|
|
Total South Africa |
|
|
|
|
|
|
|
1,730,740 |
|
|
|
|
Spain - 0.1% |
|
|
|
|
|
|
|
|
|
|
225 |
|
BBVA Banco Continental SA, 144A |
|
3.250% |
|
4/08/18 |
|
BBB+ |
|
219,938 |
|
|
150 |
|
Santander Issuances, Reg S |
|
4.125% |
|
11/09/22 |
|
BBB+ |
|
137,625 |
|
|
|
|
Total Spain |
|
|
|
|
|
|
|
357,563 |
|
|
|
|
Sri Lanka - 0.4% |
|
|
|
|
|
|
|
|
|
|
170 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
10/04/20 |
|
BB- |
|
164,688 |
|
|
200 |
|
Republic of Sri Lanka, 144A |
|
6.250% |
|
7/27/21 |
|
BB- |
|
190,500 |
|
|
290 |
|
Republic of Sri Lanka, 144A |
|
5.875% |
|
7/25/22 |
|
BB- |
|
265,350 |
|
|
175 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
10/04/20 |
|
BB- |
|
169,531 |
|
|
200 |
|
Republic of Sri Lanka, Reg S |
|
6.250% |
|
7/27/21 |
|
BB- |
|
190,500 |
|
|
|
|
Total Sri Lanka |
|
|
|
|
|
|
|
980,569 |
|
|
|
|
Thailand - 0.1% |
|
|
|
|
|
|
|
|
|
|
200 |
|
PTT Global Chemical PCL, 144A |
|
4.250% |
|
9/19/22 |
|
BBB |
|
189,445 |
|
|
|
|
Turkey - 1.7% |
|
|
|
|
|
|
|
|
|
|
210 |
|
Akbank TAX, Reg S |
|
3.875% |
|
10/24/17 |
|
Baa2 |
|
204,225 |
|
|
775 |
|
Republic of Turkey, Government Bond |
|
7.000% |
|
9/26/16 |
|
Baa3 |
|
862,188 |
|
|
321 |
|
Republic of Turkey, Government Bond |
|
7.500% |
|
7/14/17 |
|
Baa3 |
|
363,131 |
|
|
185 |
|
Republic of Turkey, Government Bond |
|
6.750% |
|
4/03/18 |
|
BBB- |
|
204,240 |
|
|
160 |
|
Republic of Turkey, Government Bond |
|
5.625% |
|
3/30/21 |
|
Baa3 |
|
166,240 |
|
|
1,495 |
|
Republic of Turkey, Government Bond |
|
7.375% |
|
2/05/25 |
|
Baa3 |
|
1,687,855 |
|
|
360 |
|
Republic of Turkey, Government Bond |
|
6.875% |
|
3/17/36 |
|
Baa3 |
|
382,590 |
|
|
215 |
|
Turkiye Garanti Bankasi AS, 144A |
|
4.000% |
|
9/13/17 |
|
Baa2 |
|
209,625 |
|
|
210 |
|
Turkiye IS Bankasi (Isbank), Reg S |
|
3.875% |
|
11/07/17 |
|
Baa2 |
|
201,338 |
|
|
|
|
Total Turkey |
|
|
|
|
|
|
|
4,281,432 |
|
|
|
|
Ukraine - 0.9% |
|
|
|
|
|
|
|
|
|
|
355 |
|
Republic of Ukraine, 144A |
|
6.250% |
|
6/17/16 |
|
B |
|
305,300 |
|
|
445 |
|
Republic of Ukraine, 144A |
|
9.250% |
|
7/24/17 |
|
B |
|
411,202 |
|
|
200 |
|
Republic of Ukraine, Reg S |
|
6.875% |
|
9/23/15 |
|
B |
|
175,500 |
|
|
885 |
|
Republic of Ukraine, Reg S |
|
6.580% |
|
11/21/16 |
|
B |
|
761,100 |
|
|
440 |
|
Republic of Ukraine, Reg S |
|
6.750% |
|
11/14/17 |
|
B |
|
376,200 |
|
|
220 |
|
Republic of Ukraine, Reg S |
|
9.250% |
|
7/24/17 |
|
B |
|
203,291 |
|
|
|
|
Total Ukraine |
|
|
|
|
|
|
|
2,232,593 |
|
|
|
|
United Arab Emirates - 0.2% |
|
|
|
|
|
|
|
|
|
|
242 |
|
Dubai Electricity and Water Authority, 144A |
|
7.375% |
|
10/21/20 |
|
Baa3 |
|
283,140 |
|
|
217 |
|
Waha Aerospace BV, 144A |
|
3.925% |
|
7/28/20 |
|
AA |
|
226,763 |
|
|
|
|
Total United Arab Emirates |
|
|
|
|
|
|
|
509,903 |
|
|
|
|
Uruguay - 0.7% |
|
|
|
|
|
|
|
|
|
|
1,329 |
|
Republic of Uruguay |
|
4.500% |
|
8/14/24 |
|
BBB- |
|
1,348,935 |
|
|
11 |
|
Republic of Uruguay |
|
6.875% |
|
9/28/25 |
|
BBB- |
|
12,417 |
|
|
243 |
|
Republic of Uruguay |
|
7.875% |
|
1/15/33 |
|
BBB- |
|
312,575 |
|
|
|
|
Total Uruguay |
|
|
|
|
|
|
|
1,673,927 |
|
|
|
|
Venezuela - 1.2% |
|
|
|
|
|
|
|
|
|
|
530 |
|
Petroleos de Venezuela SA, Reg S |
|
9.750% |
|
5/17/35 |
|
B+ |
|
405,450 |
|
|
335 |
|
Republic of Venezuela |
|
9.250% |
|
9/15/27 |
|
B+ |
|
272,188 |
|
|
1,325 |
|
Republic of Venezuela |
|
9.375% |
|
1/13/34 |
|
B+ |
|
1,046,750 |
|
|
230 |
|
Republic of Venezuela, Reg S |
|
5.750% |
|
2/26/16 |
|
B+ |
|
207,575 |
|
|
880 |
|
Republic of Venezuela, Reg S |
|
9.000% |
|
5/07/23 |
|
B+ |
|
714,120 |
|
|
261 |
|
Republic of Venezuela, Reg S |
|
11.750% |
|
10/21/26 |
|
B+ |
|
240,773 |
|
|
255 |
|
Republic of Venezuela, Reg S |
|
11.950% |
|
8/05/31 |
|
B+ |
|
235,238 |
|
|
|
|
Total Venezuela |
|
|
|
|
|
|
|
3,122,094 |
|
|
|
|
Total Emerging Markets Debt and Foreign Corporate Bonds (cost $83,012,179) |
|
|
|
82,168,017 |
| ||||
|
|
|
Total Long-Term Investments (cost $315,665,785) |
|
|
|
|
|
356,577,417 |
| ||
|
Principal |
|
|
|
|
|
|
|
|
|
|
| |
|
Amount (000) |
|
Description (1) |
|
Coupon |
|
Maturity |
|
|
|
Value |
| |
|
|
|
Short-Term Investments - 4.3% (2.9% of Total Investments) |
|
|
|
|
|
|
| |||
|
$ |
7,892 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/13, repurchase price $7,891,780, collateralized by 7,665,000 U.S. Treasury Notes, 2.625%, due 11/15/20, value $8,051,845 |
|
0.000% |
|
10/01/13 |
|
|
|
$ 7,891,780 |
|
|
2,848 |
|
Repurchase Agreement with Fixed Income Clearing Corporation, dated 9/30/13, repurchase price $2,848,449, collateralized by 2,700,000 U.S. Treasury Notes, 3.000%, due 2/28/17, value $2,905,875 |
|
0.000% |
|
10/01/13 |
|
|
|
2,848,449 |
| |
|
$ |
10,740 |
|
Total Short-Term Investments (cost $10,740,229) |
|
|
|
|
|
|
|
10,740,229 |
|
|
|
|
Total Investments (cost $326,406,014) - 146.6% |
|
|
|
|
|
|
|
367,317,646 |
| |
|
|
|
Borrowings - (46.3)% (12), (13) |
|
|
|
|
|
|
|
(116,000,000 |
) | |
|
|
|
Other Assets Less Liabilities - (0.3)% (14) |
|
|
|
|
|
|
|
(715,162 |
) | |
|
|
|
Net Assets Applicable to Common Shares - 100% |
|
|
|
|
|
|
|
$ 250,602,484 |
| |
Investments in Derivatives as of September 30, 2013
Call Options Written outstanding:
|
Number of |
|
|
|
Notional |
|
Expiration |
|
Strike |
|
|
| |||
|
Contracts |
|
Type |
|
Amount (15) |
|
Date |
|
Price |
|
Value (14) |
| |||
|
(133) |
|
Anglogold Limited |
|
$ |
(199,500) |
|
1/18/14 |
|
$ |
15.0 |
|
$ |
(11,637) |
|
|
(284) |
|
Interpublic Group Companies, Inc. |
|
(426,000) |
|
10/19/13 |
|
15.0 |
|
(61,770) |
| |||
|
(317) |
|
Talisman Energy Inc. |
|
(380,400) |
|
10/19/13 |
|
12.0 |
|
(7,133) |
| |||
|
(146) |
|
Vodafone Group PLC |
|
(467,200) |
|
10/19/13 |
|
32.0 |
|
(45,990) |
| |||
|
(139) |
|
Vodafone Group PLC |
|
(458,700) |
|
10/19/13 |
|
33.0 |
|
(30,928) |
| |||
|
(315) |
|
Vodafone Group PLC |
|
(1,071,000) |
|
1/18/14 |
|
34.0 |
|
(61,425) |
| |||
|
(1,334) |
|
Total Call Options Written (premiums received $120,940) |
|
$ |
(3,002,800) |
|
|
|
|
|
$ |
(218,883) |
| |
Forward Foreign Currency Exchange Contracts outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Appreciation |
|
|
|
|
|
|
Notional Amount |
|
In Exchange For |
|
Notional Amount |
|
Settlement |
|
(Depreciation) |
|
|
Counterparty |
|
Currency Contracts to Deliver |
|
(Local Currency) |
|
Currency |
|
(Local Currency) |
|
Date |
|
(U.S. Dollars) (14) |
|
|
Bank of America |
|
Peruvian Nuevo Sol |
|
42,000 |
|
U.S. Dollar |
|
14,990 |
|
12/18/13 |
|
$ 46 |
|
|
Citibank N.A. |
|
U.S. Dollar |
|
397,540 |
|
Nigerian Naira |
|
69,331,000 |
|
12/09/13 |
|
24,432 |
|
|
Credit Suisse |
|
Euro |
|
945,000 |
|
U.S. Dollar |
|
1,256,670 |
|
12/18/13 |
|
(22,030 |
) |
|
Credit Suisse |
|
Russian Ruble |
|
16,006,000 |
|
U.S. Dollar |
|
479,458 |
|
12/18/13 |
|
(7,687 |
) |
|
Credit Suisse |
|
South African Rand |
|
2,115,000 |
|
U.S. Dollar |
|
210,223 |
|
12/18/13 |
|
1,959 |
|
|
Credit Suisse |
|
U.S. Dollar |
|
196,718 |
|
Malaysian Ringgit |
|
645,000 |
|
12/18/13 |
|
295 |
|
|
Credit Suisse |
|
U.S. Dollar |
|
205,087 |
|
Philippine Peso |
|
8,950,000 |
|
12/18/13 |
|
1,255 |
|
|
HSBC Bank |
|
U.S. Dollar |
|
407,431 |
|
Mexican Peso |
|
5,372,000 |
|
12/18/13 |
|
426 |
|
|
Royal Bank of Canada |
|
Brazilian Real |
|
3,082,000 |
|
U.S. Dollar |
|
1,272,187 |
|
12/03/13 |
|
(98,945 |
) |
|
Standard Chartered Bank |
|
U.S. Dollar |
|
41,571 |
|
Brazilian Real |
|
100,000 |
|
12/03/13 |
|
2,917 |
|
|
State Street Bank |
|
Peruvian Nuevo Sol |
|
42,000 |
|
U.S. Dollar |
|
14,984 |
|
12/18/13 |
|
40 |
|
|
State Street Bank |
|
Peruvian Nuevo Sol |
|
42,000 |
|
U.S. Dollar |
|
15,008 |
|
12/18/13 |
|
64 |
|
|
UBS AG |
|
Colombian Peso |
|
1,517,717,000 |
|
U.S. Dollar |
|
782,167 |
|
12/18/13 |
|
(8,659 |
) |
|
UBS AG |
|
Peruvian Nuevo Sol |
|
44,000 |
|
U.S. Dollar |
|
15,656 |
|
12/18/13 |
|
(1 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ (105,888 |
) |
Swaps outstanding:
|
|
|
|
|
Fund |
|
|
|
|
|
Fixed Rate |
|
|
|
|
|
Unrealized |
|
|
|
|
Notional |
|
Pay/Receive |
|
|
|
Fixed Rate |
|
Payment |
|
Effective |
|
Termination |
|
Appreciation |
|
|
Counterparty |
|
Amount |
|
Floating Rate |
|
Floating Rate Index |
|
(Annualized) |
|
Frequency |
|
Date (16) |
|
Date |
|
(Depreciation) (14) |
|
|
JPMorgan |
|
$ 19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.193 |
% |
Monthly |
|
3/21/11 |
|
3/21/14 |
|
$ (98,729) |
|
|
JPMorgan |
|
30,450,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.255 |
|
Monthly |
|
12/01/14 |
|
12/01/18 |
|
754,961 |
|
|
JPMorgan |
|
30,450,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
1.673 |
|
Monthly |
|
12/01/14 |
|
12/01/20 |
|
1,443,704 |
|
|
Morgan Stanley |
|
19,950,000 |
|
Receive |
|
1-Month USD-LIBOR |
|
2.064 |
|
Monthly |
|
3/21/11 |
|
3/21/16 |
|
(779,886) |
|
|
|
|
$ 100,800,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
$ 1,320,050 |
|
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 |
|
$ 95,054,995 |
|
$ 2,138,913 |
|
$ – |
* |
$ 97,193,908 |
|
|
Real Estate Investment Trust (REIT) Common Stocks |
|
92,954,482 |
|
– |
|
– |
|
92,954,482 |
|
|
$25 Par (or similar) Retail Structures |
|
850,820 |
|
– |
|
– |
|
850,820 |
|
|
$1,000 (or similar) Institutional Structures |
|
– |
|
916,875 |
|
– |
|
916,875 |
|
|
Variable Rate Senior Loan Interests |
|
– |
|
82,138,091 |
|
– |
|
82,138,091 |
|
|
Corporate Bonds |
|
– |
|
355,224 |
|
– |
|
355,224 |
|
|
Emerging Markets Debt and Foreign Corporate Bonds |
|
– |
|
82,168,017 |
|
– |
|
82,168,017 |
|
|
Short-Term Investments: |
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements |
|
– |
|
10,740,229 |
|
– |
|
10,740,229 |
|
|
Derivatives: |
|
|
|
|
|
|
|
|
|
|
Call Options Written |
|
(218,883 |
) |
– |
|
– |
|
(218,883 |
) |
|
Forward Foreign Currency Exchange Contracts** |
|
– |
|
(105,888 |
) |
– |
|
(105,888 |
) |
|
Swaps** |
|
– |
|
1,320,050 |
|
– |
|
1,320,050 |
|
|
Total |
|
$188,641,414 |
|
$179,671,511 |
|
$ – |
* |
$368,312,925 |
|
* Value equals zero as of the end of the reporting period.
**Represents net unrealized appreciation (depreciation).
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 September 30, 2013, the cost of investments (excluding investments in derivatives) was $332,419,566.
Gross unrealized appreciation and gross unrealized depreciation of investments (excluding investments in derivatives) as of September 30, 2013, were as follows:
|
Gross unrealized: |
|
|
|
|
Appreciation |
|
$ 50,560,489 |
|
|
Depreciation |
|
(15,662,409 |
) |
|
Net unrealized appreciation (depreciation) of investments |
|
$ 34,898,080 |
|
|
|
|
|
|
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 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. |
|
(5) |
|
Investment, or portion of investment, has been pledged to collateralize the net payment obligations for investment in derivatives. |
|
(6) |
|
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. |
|
(7) |
|
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. |
|
(8) |
|
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. |
|
(9) |
|
At or subsequent to the end of the reporting period, this security is non-income producing. Non-income producing, 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. |
|
(10) |
|
Investment, or portion of investment, represents an unfunded senior loan commitment outstanding. As of September 30, 2013, the Fund had unfunded senior loan commitments outstanding of $500,000. |
|
(11) |
|
Principal Amount (000) denominated in U.S. Dollars, unless otherwise noted. |
|
(12) |
|
Borrowings as a percentage of Total Investments is 31.6%. |
|
(13) |
|
The Fund segregates 100% of its eligible investments in the Portfolio of Investments as collateral for Borrowings. |
|
(14) |
|
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. |
|
(15) |
|
For disclosure purposes, Notional Amount is calculated by multiplying the Number of Contracts by the Strike Price by 100. |
|
(16) |
|
Effective date represents the date on which both the Fund and Counterparty commence interest payment accruals on each swap contract. |
|
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. |
|
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. |
|
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. |
|
BRL |
|
Brazilian Real |
|
COP |
|
Colombian Peso |
|
EUR |
|
Euro |
|
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: November 27, 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: November 27, 2013
|
By (Signature and Title) |
/s/ Stephen D. Foy |
|
|
|
Stephen D. Foy |
|
|
|
Vice President and Controller (principal financial officer) |
|
Date: November 27, 2013