·
|
Daily, weekly and monthly data on share prices, net asset values, distributions and more
|
·
|
Portfolio overviews and performance analyses
|
·
|
Announcements, press releases and special notices
|
·
|
Fund and adviser contact information
|
QUESTIONS & ANSWERS (Unaudited) | May 31, 2014 |
·
|
The Fund may invest up to 60% of its total assets in fixed income securities rated below investment grade (commonly referred to as “junk bonds”);
|
·
|
The Fund may invest up to 20% of its total assets in non-U.S. dollar denominated fixed income securities of corporate and governmental issuers located outside the U.S., including up to 10% of total assets in fixed income securities of issuers located in emerging markets;
|
·
|
The Fund may invest up to 50% of its total assets in common equity securities; and
|
·
|
The Fund may invest up to 30% of its total assets in investment funds that primarily hold (directly or indirectly) investments in which the Fund may invest directly, of which amount up to 30% of the Fund’s total assets may be invested in investment funds that are registered as investment companies under the Investment Company Act of 1940 (the “1940 Act”) to the extent permitted by applicable law and related interpretations of the staff of the U.S. Securities and Exchange Commission.
|
QUESTIONS & ANSWERS (Unaudited) continued | May 31, 2014 |
QUESTIONS & ANSWERS (Unaudited) continued | May 31, 2014 |
QUESTIONS & ANSWERS (Unaudited) continued | May 31, 2014 |
·
|
The Fund remains short duration and overweight floating rate securities in the event that we see interest rate volatility. However, we have found value in select fixed rate securities such as preferred debt and fixed rate RMBS.
|
·
|
Among its ABS holdings, the Fund remains focused on aircraft securitizations, CRE CDOs and CLOs.
|
·
|
We continue to see opportunities in floating rate non-Agency RMBS, an area of fixed income that we believe will benefit as the housing market continues its recovery.
|
·
|
Across the Fund we continue to evaluate holdings and selectively reduce risk to assets perceived as overvalued, or where our view has changed from a credit perspective.
|
·
|
We remain focused on U.S. denominated debt, which we find offers the best risk-adjusted valuations.
|
QUESTIONS & ANSWERS (Unaudited) continued | May 31, 2014 |
FUND SUMMARY (Unaudited) | May 31, 2014 |
Fund Statistics
|
||||||||
Share Price
|
$ | 21.83 | ||||||
Common Share Net Asset Value
|
$ | 20.56 | ||||||
Premium/Discount to NAV
|
6.18 | % | ||||||
Net Assets Applicable to Common Shares ($000)
|
$ | 318,001 | ||||||
Total Returns
|
||||||||
(Inception 7/27/07)
|
Market
|
NAV
|
||||||
One Year
|
10.71 | % | 9.20 | % | ||||
Three Year - average annual1
|
9.43 | % | 11.32 | % | ||||
Five Year - average annual1
|
25.75 | % | 22.61 | % | ||||
Since Inception - average annual1
|
12.88 | % | 12.42 | % |
Top Ten Holdings
|
% of Long-Term
Investments
|
|||
SPDR S&P 500 ETF Trust
|
7.2 | % | ||
SPDR Dow Jones Industrial Average ETF Trust
|
3.5 | % | ||
Rockwall CDO Ltd., Series 2007-1A, Class A1LA
|
1.9 | % | ||
iShares Russell 2000 Index Fund
|
1.8 | % | ||
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1
|
1.6 | % | ||
Goldman Sachs Group, Inc., Series J,5.500%
|
1.5 | % | ||
Citigroup, Inc., Series D
|
1.4 | % | ||
Airplanes Pass-Through Trust, Series 2001-1A, Class A9
|
1.4 | % | ||
Attentus CDO Ltd., Series 2007-3A, Class A1B
|
1.1 | % | ||
Nomura Resecuritization Trust, Series 2012-1R, Class A
|
1.0 | % |
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
Amount~ |
Description
|
Rating* |
Coupon
|
Maturity
|
Optional Call
Provisions**
|
Value
|
|||
Long-Term Investments – 136.8%
|
|||||||||
Corporate Bonds – 39.7%
|
|||||||||
Advertising – 1.6%
|
|||||||||
2,350,000
|
MDC Partners, Inc. (Canada)(a) (b)
|
B–
|
6.750
|
%
|
04/01/2020
|
04/01/16 @ 103
|
|
$ 2,485,125
|
|
2,575,000
|
Sitel, LLC / Sitel Finance Corp.(a) (b)
|
B
|
11.000
|
%
|
08/01/2017
|
08/01/15 @ 103
|
2,745,594
|
||
5,230,719
|
|||||||||
Agriculture – 0.5%
|
|||||||||
1,490,000
|
Vector Group Ltd.(b)
|
B+
|
7.750
|
%
|
02/15/2021
|
02/15/16 @ 106
|
1,586,850
|
||
Airlines – 1.4%
|
|||||||||
948,389
|
America West Airlines 2001-1 Pass-Through Trust, Series 011G(b)
|
BB+
|
7.100
|
%
|
10/02/2022
|
N/A |
1,050,341
|
||
459,357
|
Atlas Air 1998-1 Pass-Through Trust, Series 1998-1, Class A(b)
|
NR
|
7.380
|
%
|
07/02/2019
|
N/A |
470,266
|
||
505,204
|
Atlas Air 1999-1 Pass-Through Trust, Series 1999-1, Class A-1(b)
|
NR
|
7.200
|
%
|
07/02/2020
|
N/A
|
526,044
|
||
291,696
|
Atlas Air 2000-1 Pass-Through Trust, Series 2000-1, Class A(b)
|
NR
|
8.707
|
%
|
07/02/2021
|
N/A
|
307,010
|
||
400,000
|
British Airways PLC (United Kingdom)(a) (b)
|
Baa3
|
5.625
|
%
|
06/20/2020
|
N/A
|
424,000
|
||
1,750,000
|
Delta Air Lines Pass-Through Trust, Series 2011-1, Class B(b)
|
BB
|
7.125
|
%
|
04/15/2016
|
N/A
|
1,791,563
|
||
4,569,224
|
|||||||||
Auto Parts & Equipment – 0.2%
|
|||||||||
720,000
|
Stanadyne Corp., Series 1(b)
|
CCC–
|
10.000
|
%
|
08/15/2014
|
N/A
|
720,000
|
||
Banks – 4.3%
|
|||||||||
950,000
|
Barclays Bank PLC (United Kingdom)(b) (d)
|
B+
|
8.250
|
%
|
12/29/2049
|
12/15/18 @ 100
|
1,026,000
|
||
1,200,000
|
Barclays Bank PLC (United Kingdom)(a) (b) (d) (e)
|
BBB–
|
6.860
|
%
|
–
|
06/15/32 @ 100
|
1,353,000
|
||
6,575,000
|
Citigroup, Inc., Series D(b) (d) (e)
|
BB+
|
5.350
|
%
|
–
|
05/15/23 @ 100
|
6,279,125
|
||
500,000
|
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands)(a) (b) (d) (e)
|
A–
|
11.000
|
%
|
–
|
06/30/19 @ 100
|
670,650
|
||
1,000,000
|
KeyCorp Capital III(b)
|
BBB–
|
7.750
|
%
|
07/15/2029
|
N/A |
1,233,844
|
||
500,000
|
M&T Bank Corp., Series E(b) (d) (e)
|
BBB
|
6.450
|
%
|
–
|
02/15/24 @ 100
|
528,750
|
||
1,400,000
|
RBS Capital Trust II(b) (d) (e)
|
BB
|
6.425
|
%
|
–
|
01/03/34 @ 100
|
1,463,000
|
||
1,000,000
|
Wells Fargo & Co., Series S(b) (d) (e)
|
BBB+
|
5.900
|
%
|
–
|
06/15/24 @ 100
|
1,051,250
|
||
13,605,619
|
|||||||||
Building Materials – 1.6%
|
|||||||||
EUR 1,200,000
|
BMBG Bond Finance SCA (Luxembourg)(a) (b) (f)
|
B1
|
5.327
|
%
|
10/15/2020
|
12/31/15 @ 101
|
1,647,920
|
||
1,210,000
|
Cemex SAB de CV (Mexico)(a) (b)
|
B+
|
9.000
|
%
|
01/11/2018
|
01/11/15 @ 105
|
1,306,800
|
||
425,000
|
CPG Merger Sub, LLC(a) (b)
|
CCC+
|
8.000
|
%
|
10/01/2021
|
10/01/16 @ 106
|
449,437
|
||
EUR 1,200,000
|
Xefin Lux SCA (Luxembourg)(a) (f)
|
Ba3
|
4.060
|
%
|
06/01/2019
|
06/01/15 @ 100
|
1,647,925
|
||
5,052,082
|
|||||||||
Chemicals – 0.4%
|
|||||||||
1,300,000
|
TPC Group, Inc.(a) (b)
|
B
|
8.750
|
%
|
12/15/2020
|
12/15/16 @ 104
|
1,433,250
|
||
Commercial Services – 0.3%
|
|||||||||
200,000
|
Ceridian, LLC / Comdata, Inc.(a)
|
CCC
|
8.125
|
%
|
11/15/2017
|
N/A |
202,000
|
||
615,000
|
Laureate Education, Inc.(a) (b)
|
CCC+
|
9.250
|
%
|
09/01/2019
|
09/01/15 @ 107
|
645,750
|
||
847,750
|
|||||||||
Computers – 0.5%
|
|||||||||
1,500,000
|
NCR Corp.(a) (b)
|
BB
|
6.375
|
%
|
12/15/2023
|
12/15/18 @ 103
|
1,616,250
|
||
Diversified Financial Services – 4.1%
|
|||||||||
GBP 350,000
|
Cabot Financial Luxembourg SA (Luxembourg)(a) (b)
|
B+
|
6.500
|
%
|
04/01/2021
|
04/01/17 @ 103
|
590,022
|
||
1,500,000
|
Credit Acceptance Corp.(a) (b)
|
BB
|
6.125
|
%
|
02/15/2021
|
02/15/17 @ 103
|
1,563,750
|
||
1,000,000
|
General Electric Capital Corp., Series A, Class A(b) (d) (e)
|
AA–
|
7.125
|
%
|
–
|
06/15/22 @ 100
|
1,180,000
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
Amount~ |
Description
|
Rating* |
Coupon
|
Maturity
|
Optional Call
Provisions**
|
Value
|
|||
Diversified Financial Services continued
|
|||||||||
2,000,000
|
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.(a) (b)
|
BBB–
|
6.000
|
%
|
08/01/2020
|
02/01/17 @ 105
|
|
$ 2,135,000
|
|
1,300,000
|
Icahn Enterprises, LP / Icahn Enterprises Finance Corp.(a) (b)
|
BBB–
|
5.875
|
%
|
02/01/2022
|
08/01/17 @ 104
|
1,352,000
|
||
350,000
|
Jefferies Finance, LLC / JFIN Co-Issuer Corp.(a)
|
B
|
7.375
|
%
|
04/01/2020
|
04/01/16 @ 106
|
367,500
|
||
400,000
|
Jefferies LoanCore, LLC / JLC Finance Corp.(a)
|
B
|
6.875
|
%
|
06/01/2020
|
06/01/16 @ 105
|
403,000
|
||
645,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
7.875
|
%
|
10/01/2020
|
10/01/16 @ 104
|
651,450
|
||
85,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
6.500
|
%
|
07/01/2021
|
01/01/17 @ 103
|
80,856
|
||
105,000
|
Nationstar Mortgage, LLC / Nationstar Capital Corp.(b)
|
B+
|
6.500
|
%
|
06/01/2022
|
12/01/17 @ 103
|
98,700
|
||
2,650,000
|
QBE Capital Funding III Ltd. (Jersey)(a) (b) (d)
|
BBB
|
7.250
|
%
|
05/24/2041
|
05/24/21 @ 100
|
2,852,063
|
||
1,300,133
|
Schahin II Finance Co. SPV Ltd. (Cayman Islands)(a) (b)
|
BBB–
|
5.875
|
%
|
09/25/2022
|
N/A
|
1,269,580
|
||
500,000
|
Scottrade Financial Services, Inc.(a) (b)
|
Baa3
|
6.125
|
%
|
07/11/2021
|
N/A
|
514,963
|
||
13,058,884
|
|||||||||
Energy-Alternate Sources – 0.7%
|
|||||||||
2,200,000
|
ContourGlobal Power Holdings SA (Luxembourg)(a) (b)
|
BB–
|
7.125
|
%
|
06/01/2019
|
06/01/16 @ 104
|
2,227,500
|
||
Engineering & Construction – 1.4%
|
|||||||||
902,400
|
Alion Science and Technology Corp.(b) (g)
|
CCC–
|
12.000
|
%
|
11/01/2014
|
N/A |
900,144
|
||
1,450,000
|
Odebrecht Offshore Drilling Finance Ltd. (Cayman Islands)(a) (b)
|
BBB–
|
6.625
|
%
|
10/01/2022
|
10/01/21 @ 100
|
1,546,062
|
||
2,124,713
|
Princess Juliana International Airport Operating Co. NV (Saint Maarten)(a) (b)
|
Baa2
|
5.500
|
%
|
12/20/2027
|
N/A
|
2,084,344
|
||
4,530,550
|
|||||||||
Entertainment – 0.3%
|
|||||||||
360,000
|
Agua Caliente Band of Cahuilla Indians(a) (b)
|
BB+
|
6.350
|
%
|
10/01/2015
|
N/A
|
353,462
|
||
375,000
|
Diamond Resorts Corp.(b)
|
B–
|
12.000
|
%
|
08/15/2018
|
08/15/15 @ 103
|
405,713
|
||
100,000
|
DreamWorks Animation SKG, Inc.(a) (b)
|
B
|
6.875
|
%
|
08/15/2020
|
08/15/16 @ 105
|
108,000
|
||
867,175
|
|||||||||
Food – 0.9%
|
|||||||||
2,278,000
|
Bumble Bee Holdings, Inc.(a) (b)
|
B
|
9.000
|
%
|
12/15/2017
|
12/15/14 @ 105
|
2,446,003
|
||
250,000
|
KeHE Distributors, LLC / KeHE Finance Corp.(a)
|
B
|
7.625
|
%
|
08/15/2021
|
08/15/17 @ 104
|
270,625
|
||
2,716,628
|
|||||||||
Forest Products & Paper – 0.2%
|
|||||||||
500,000
|
Unifrax I, LLC / Unifrax Holding Co.(a) (b)
|
B–
|
7.500
|
%
|
02/15/2019
|
02/15/15 @ 104
|
525,000
|
||
Gas – 0.5%
|
|||||||||
900,000
|
LBC Tank Terminals Holding Netherlands BV (Netherlands)(a) (b)
|
B
|
6.875
|
%
|
05/15/2023
|
05/15/18 @ 103
|
954,000
|
||
542,000
|
NGL Energy Partners, LP / NGL Energy Finance Corp.(a) (b)
|
BB–
|
6.875
|
%
|
10/15/2021
|
10/15/16 @ 105
|
569,100
|
||
1,523,100
|
|||||||||
Health Care Products – 0.0%***
|
|||||||||
92,000
|
Physio-Control International, Inc.(a) (b)
|
B+
|
9.875
|
%
|
01/15/2019
|
01/15/15 @ 107
|
102,364
|
||
Holding Companies-Diversified – 0.8%
|
|||||||||
300,000
|
Harbinger Group, Inc.
|
B+
|
7.875
|
%
|
07/15/2019
|
01/15/16 @ 106
|
327,750
|
||
2,075,000
|
Opal Acquisition, Inc.(a) (b)
|
CCC+
|
8.875
|
%
|
12/15/2021
|
12/15/16 @ 107
|
2,178,750
|
||
2,506,500
|
|||||||||
Household Products & Housewares – 0.5%
|
|||||||||
1,538,000
|
Central Garden and Pet Co.(b)
|
CCC+
|
8.250
|
%
|
03/01/2018
|
03/01/15 @ 102
|
1,572,605
|
||
Insurance – 5.0%
|
|||||||||
2,000,000
|
AmTrust Financial Services, Inc.(a) (b)
|
NR
|
6.125
|
%
|
08/15/2023
|
N/A
|
2,033,200
|
||
1,000,000
|
AXA SA (France)(a) (b) (d) (e)
|
BBB–
|
6.379
|
%
|
–
|
12/14/36 @ 100
|
1,083,750
|
||
1,450,000
|
Fidelity & Guaranty Life Holdings, Inc.(a) (b)
|
BB–
|
6.375
|
%
|
04/01/2021
|
04/01/16 @ 105
|
1,555,125
|
||
800,000
|
Ironshore Holdings US, Inc.(a) (b)
|
BBB–
|
8.500
|
%
|
05/15/2020
|
N/A
|
939,556
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
Amount~ |
Description
|
Rating* |
Coupon
|
Maturity
|
Optional Call
Provisions** |
Value
|
|||
Insurance continued
|
|||||||||
1,000,000
|
MetLife Capital Trust IV(a) (b)
|
BBB
|
7.875
|
%
|
12/15/2037
|
12/15/32 @ 100
|
|
$ 1,230,000
|
|
700,000
|
National Life Insurance Co.(a) (b)
|
BBB+
|
10.500
|
%
|
09/15/2039
|
N/A
|
1,004,559
|
||
250,000
|
Nationwide Mutual Insurance Co.(a) (b)
|
A–
|
9.375
|
%
|
08/15/2039
|
N/A
|
390,591
|
||
3,500,000
|
Prudential Financial, Inc.(b) (d)
|
BBB+
|
5.625
|
%
|
06/15/2043
|
06/15/23 @ 100
|
3,683,750
|
||
1,000,000
|
Voya Financial, Inc.(b) (d) (e)
|
BB
|
5.650
|
%
|
–
|
05/15/23 @ 100
|
1,013,750
|
||
2,750,000
|
Wilton RE Finance, LLC(a) (b) (d)
|
BBB
|
5.875
|
%
|
03/30/2033
|
03/30/23 @ 100
|
2,866,875
|
||
15,801,156
|
|||||||||
Internet – 1.2%
|
|||||||||
1,000,000
|
First Data Corp.(a) (b) (h)
|
B–
|
8.750
|
%
|
01/15/2022
|
01/15/16 @ 104
|
1,095,000
|
||
2,450,000
|
Zayo Group LLC / Zayo Capital, Inc.(b)
|
CCC+
|
10.125
|
%
|
07/01/2020
|
07/01/16 @ 105
|
2,829,750
|
||
3,924,750
|
|||||||||
Leisure Time – 0.4%
|
|||||||||
1,111,000
|
Sabre, Inc.(a) (b)
|
B+
|
8.500
|
%
|
05/15/2019
|
05/15/15 @ 106
|
1,237,432
|
||
Lodging – 0.0%***
|
|||||||||
150,000
|
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock
|
||||||||
International, LLC(a) (b)
|
BB–
|
5.875
|
%
|
05/15/2021
|
05/15/16 @ 104
|
150,000
|
|||
Media – 0.4%
|
|||||||||
251,000
|
Baker & Taylor Acquisitions Corp.(a) (b)
|
CCC
|
15.000
|
%
|
04/01/2017
|
10/01/14 @ 108
|
200,800
|
||
500,000
|
DCP, LLC / DCP Corp.(a) (b)
|
B+
|
10.750
|
%
|
08/15/2015
|
08/15/14 @ 100
|
505,000
|
||
640,000
|
Expo Event Transco, Inc.(a) (b)
|
B–
|
9.000
|
%
|
06/15/2021
|
06/15/16 @ 105
|
652,800
|
||
1,358,600
|
|||||||||
Mining – 0.4%
|
|||||||||
300,000
|
KGHM International Ltd. (Canada)(a) (b)
|
BB–
|
7.750
|
%
|
06/15/2019
|
06/15/15 @ 104
|
321,750
|
||
443,559
|
Mirabela Nickel Ltd. (Australia)(a) (b) (h)
|
NR
|
3.500
|
%
|
06/30/2014
|
N/A
|
443,559
|
||
2,170,000
|
Mirabela Nickel Ltd. (Australia)(a) (b) (i)
|
NR
|
8.750
|
%
|
04/15/2018
|
04/15/15 @ 104
|
509,950
|
||
1,275,259
|
|||||||||
Oil & Gas – 4.0%
|
|||||||||
100,000
|
Atlas Energy Holdings Operating Co., LLC / Atlas Resource Finance Corp.(a)
|
Caa1
|
7.750
|
%
|
01/15/2021
|
01/15/17 @ 104
|
100,500
|
||
1,425,000
|
Atlas Energy Holdings Operating Co., LLC / Atlas Resource Finance Corp.(b)
|
B–
|
7.750
|
%
|
01/15/2021
|
01/15/17 @ 104
|
1,432,125
|
||
600,000
|
Atlas Energy Holdings Operating Co., LLC / Atlas Resource Finance Corp.(b)
|
Caa1
|
9.250
|
%
|
08/15/2021
|
08/15/17 @ 105
|
639,000
|
||
1,800,000
|
BreitBurn Energy Partners, LP / BreitBurn Finance Corp.(b)
|
B–
|
7.875
|
%
|
04/15/2022
|
01/15/17 @ 104
|
1,935,000
|
||
300,000
|
Endeavor Energy Resources, LP / EER Finance, Inc.(a) (b)
|
B
|
7.000
|
%
|
08/15/2021
|
08/15/16 @ 105
|
317,250
|
||
1,100,000
|
Jones Energy Holdings, LLC / Jones Energy Finance Corp.(a) (b)
|
B–
|
6.750
|
%
|
04/01/2022
|
04/01/17 @ 105
|
1,160,500
|
||
2,055,000
|
Legacy Reserves, LP / Legacy Reserves Finance Corp.(b)
|
B
|
8.000
|
%
|
12/01/2020
|
12/01/16 @ 104
|
2,193,712
|
||
300,000
|
Legacy Reserves, LP / Legacy Reserves Finance Corp.(b)
|
B
|
6.625
|
%
|
12/01/2021
|
06/01/17 @ 103
|
304,500
|
||
350,000
|
Legacy Reserves, LP / Legacy Reserves Finance Corp.(a) (b)
|
B
|
6.625
|
%
|
12/01/2021
|
06/01/17 @ 103
|
355,250
|
||
345,000
|
Memorial Production Partners, LP / Memorial Production Finance Corp.(b)
|
B–
|
7.625
|
%
|
05/01/2021
|
05/01/17 @ 104
|
357,075
|
||
1,320,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC(b)
|
CCC+
|
10.750
|
%
|
10/01/2020
|
10/01/16 @ 105
|
1,471,800
|
||
100,000
|
Midstates Petroleum Co., Inc. / Midstates Petroleum Co., LLC(b)
|
CCC+
|
9.250
|
%
|
06/01/2021
|
06/01/16 @ 107
|
107,500
|
||
500,000
|
Pacific Drilling SA (Luxembourg)(a) (b)
|
B+
|
5.375
|
%
|
06/01/2020
|
06/01/16 @ 104
|
490,000
|
||
1,800,000
|
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp.(b)
|
B
|
7.500
|
%
|
07/01/2021
|
07/01/16 @ 106
|
1,953,000
|
||
12,817,212
|
|||||||||
Oil & Gas Services – 0.2%
|
|||||||||
500,000
|
IronGate Energy Services, LLC(a)
|
NR
|
11.000
|
%
|
07/01/2018
|
07/01/16 @ 105
|
508,750
|
||
Other Financial Institution – 0.1%
|
|||||||||
500,000
|
Ultra Resources, Inc.(b) (m)
|
BBB
|
4.510
|
%
|
10/12/2020
|
N/A
|
482,050
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
Amount~ |
Description
|
Rating* |
Coupon
|
Maturity
|
Optional Call
Provisions** |
Value
|
|||
Packaging & Containers – 0.2%
|
|||||||||
300,000
|
Pretium Packaging, LLC / Pretium Finance, Inc.(b)
|
B–
|
11.500
|
%
|
04/01/2016
|
04/01/15 @ 100
|
|
$ 317,532
|
|
250,000
|
Prosight Global, Inc.(b) (m)
|
NR
|
7.500
|
%
|
11/20/2020
|
N/A
|
255,100
|
||
572,632
|
|||||||||
Pharmaceuticals – 0.5%
|
|||||||||
1,500,000
|
VPII Escrow Corp. (Canada)(a) (b)
|
B
|
6.750
|
%
|
08/15/2018
|
08/15/15 @ 105
|
1,620,000
|
||
Pipelines – 2.4%
|
|||||||||
330,000
|
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.(b)
|
BB
|
7.750
|
%
|
04/01/2019
|
04/01/15 @ 104
|
353,100
|
||
850,000
|
Crestwood Midstream Partners, LP / Crestwood Midstream Finance Corp.(a) (b)
|
BB
|
6.125
|
%
|
03/01/2022
|
11/01/16 @ 105
|
890,375
|
||
1,600,000
|
Eagle Rock Energy Partners, LP / Eagle Rock Energy Finance Corp.(b)
|
B
|
8.375
|
%
|
06/01/2019
|
06/01/15 @ 104
|
1,734,000
|
||
2,000,000
|
Gibson Energy, Inc. (Canada)(a) (b)
|
BB
|
6.750
|
%
|
07/15/2021
|
07/15/16 @ 105
|
2,165,000
|
||
2,235,000
|
Penn Virginia Resource Partners, LP / Penn Virginia Resource Finance Corp. II(b)
|
BB
|
8.375
|
%
|
06/01/2020
|
06/01/16 @ 104
|
2,531,138
|
||
7,673,613
|
|||||||||
Real Estate Investment Trust – 0.5%
|
|||||||||
1,500,000
|
Entertainment Properties Trust(b)
|
BB+
|
5.750
|
%
|
08/15/2022
|
05/15/22 @ 100
|
1,628,553
|
||
Retail – 1.8%
|
|||||||||
600,000
|
Checkers Drive-In Restaurants, Inc.(a) (b)
|
B–
|
11.000
|
%
|
12/01/2017
|
06/01/15 @ 108
|
667,500
|
||
2,245,000
|
GRD Holdings III Corp.(a) (b)
|
B
|
10.750
|
%
|
06/01/2019
|
06/01/15 @ 108
|
2,497,562
|
||
1,200,000
|
Guitar Center, Inc.(a) (b)
|
B–
|
6.500
|
%
|
04/15/2019
|
04/15/16 @ 103
|
1,156,500
|
||
1,255,000
|
PF Chang’s China Bistro, Inc.(a) (b)
|
CCC
|
10.250
|
%
|
06/30/2020
|
06/30/16 @ 105
|
1,289,513
|
||
5,611,075
|
|||||||||
Software – 0.9%
|
|||||||||
1,660,000
|
Aspect Software, Inc.(b)
|
CCC+
|
10.625
|
%
|
05/15/2017
|
05/15/15 @ 103
|
1,745,075
|
||
950,000
|
Eagle Midco, Inc.(a) (b)
|
CCC+
|
9.000
|
%
|
06/15/2018
|
12/15/14 @ 102
|
991,562
|
||
2,736,637
|
|||||||||
Telecommunications – 0.4%
|
|||||||||
100,000
|
Alcatel-Lucent USA, Inc.(a) (b)
|
CCC+
|
8.875
|
%
|
01/01/2020
|
07/01/16 @ 104
|
112,500
|
||
600,000
|
Alcatel-Lucent USA, Inc.(a) (b)
|
CCC+
|
6.750
|
%
|
11/15/2020
|
11/15/16 @ 103
|
637,500
|
||
380,000
|
Avaya, Inc.(a) (b)
|
B
|
7.000
|
%
|
04/01/2019
|
04/01/15 @ 104
|
376,200
|
||
1,126,200
|
|||||||||
Textiles – 0.0%***
|
|||||||||
45,000
|
Empire Today, LLC / Empire Today Finance Corp.(a) (b)
|
B–
|
11.375
|
%
|
02/01/2017
|
02/01/15 @ 103
|
46,125
|
||
Transportation – 1.1%
|
|||||||||
1,530,000
|
Marquette Transportation Co., LLC / Marquette Transportation Finance Corp.(b)
|
B–
|
10.875
|
%
|
01/15/2017
|
08/21/14 @ 103
|
1,620,270
|
||
1,630,000
|
Quality Distribution, LLC / QD Capital Corp.(b)
|
B–
|
9.875
|
%
|
11/01/2018
|
11/01/14 @ 105
|
1,748,175
|
||
3,368,445
|
|||||||||
Total Corporate Bonds – 39.7%
|
|||||||||
(Cost $119,411,097)
|
126,230,539
|
||||||||
Asset Backed Securities – 39.7%
|
|||||||||
Aircraft – 1.8%
|
|||||||||
1,833,837
|
Aircraft Certificate Owner Trust, Series 2003-1A, Class E(a) (b) (m)
|
BB
|
7.001
|
%
|
09/20/2022
|
N/A
|
1,926,445
|
||
2,430,500
|
Castlelake Aircraft Securitization Trust 2014-1 (m)
|
A
|
5.250
|
%
|
02/15/2029
|
N/A
|
2,439,736
|
||
1,458,300
|
Castlelake Aircraft Securitization Trust 2014-1 (m)
|
BBB
|
7.500
|
%
|
02/15/2029
|
N/A
|
1,460,050
|
||
5,826,231
|
|||||||||
Airlines – 0.6%
|
|||||||||
1,542,599
|
BBAM Acquisition Finance(b) (m)
|
NR
|
5.375
|
%
|
09/17/2016
|
N/A
|
1,546,301
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
Amount~ |
Description
|
Rating* |
Coupon
|
Maturity
|
Optional Call
Provisions** |
Value
|
|||
Airlines continued
|
|||||||||
250,000
|
BBAM Acquisition Finance(b) (m)
|
NR
|
6.250
|
%
|
09/17/2016
|
N/A
|
|
$ 241,875
|
|
1,788,176
|
|||||||||
Automobile – 0.0%***
|
|||||||||
21,607
|
Bush Truck Leasing, LLC, Series 2011-AA, Class C(a) (b)
|
NR
|
5.000
|
%
|
09/25/2018
|
N/A
|
19,663
|
||
Collateralized Debt Obligations – 9.9%
|
|||||||||
4,897,320
|
Cedarwoods, Series 2006-1A, Class A1(a) (b) (f)
|
AAA
|
0.420
|
%
|
07/25/2051
|
N/A
|
4,051,063
|
||
851,208
|
Diversified Asset Securitization Holdings II LP, Series 1A, Class A1L
|
||||||||
(Cayman Islands)(a) (b) (f)
|
BBB+
|
0.723
|
%
|
09/15/2035
|
N/A
|
835,716
|
|||
50,540
|
Diversified Asset Securitization Holdings II LP, Series 1X, Class A1L
|
||||||||
(Cayman Islands)(f)
|
BBB+
|
0.723
|
%
|
09/15/2035
|
N/A
|
49,621
|
|||
4,861,323
|
Gramercy Real Estate CDO 2007-1 Ltd. (Cayman Islands)(a) (b) (f)
|
B3
|
0.504
|
%
|
08/15/2056
|
N/A
|
4,172,960
|
||
2,469,751
|
Highland Park CDO I Ltd., Series 2006-1A, Class A1 (Cayman Islands)(a) (b) (f)
|
B+
|
0.557
|
%
|
11/25/2051
|
N/A
|
2,338,854
|
||
115,170
|
Newcastle CDO IX 1 Ltd., Series 2007-9A, Class A1 (Cayman Islands)(a) (b) (f)
|
Aa3
|
0.410
|
%
|
05/25/2052
|
N/A
|
115,170
|
||
2,785,434
|
N-Star Real Estate CDO Ltd. (Cayman Islands) (b) (m)
|
NR
|
0.472
|
%
|
02/01/2041
|
N/A
|
2,636,970
|
||
1,305,672
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands)(a) (b) (f)
|
A3
|
0.441
|
%
|
02/01/2041
|
N/A
|
1,235,819
|
||
1,750,000
|
N-Star Real Estate CDO VIII Ltd. (Cayman Islands)(a) (b) (f)
|
B1
|
0.511
|
%
|
02/01/2041
|
N/A
|
1,546,650
|
||
955,068
|
Putnam Structured Product CDO, Series 2002-1A, Class A2
|
||||||||
(Cayman Islands)(a) (b) (f)
|
CCC+
|
0.830
|
%
|
01/10/2038
|
N/A
|
862,044
|
|||
379,698
|
Putnam Structured Product CDO, Series 2003-1A, Class A1LT
|
||||||||
(Cayman Islands)(a) (b) (f) (m)
|
CCC
|
0.601
|
%
|
10/15/2038
|
N/A
|
361,207
|
|||
3,213,557
|
RAIT CRE CDO Ltd., Series 2006-1X, Class A1B(b) (f) (m)
|
Aa2
|
0.479
|
%
|
11/20/2046
|
N/A
|
2,730,559
|
||
8,521,798
|
Rockwall CDO Ltd., Series 2007-1A, Class A1LA (Cayman Islands)(a) (b) (f)
|
BBB+
|
0.475
|
%
|
08/01/2024
|
N/A
|
8,083,777
|
||
19,002
|
Saybrook Point CBO Ltd., Series 2001-1A, Class A (Cayman Islands)(a) (b) (f)
|
BB
|
0.707
|
%
|
02/25/2031
|
N/A
|
18,924
|
||
2,528,507
|
SRERS Funding Ltd., Series 2011-RS, Class A1B1 (Cayman Islands)(a) (b) (f)
|
Baa3
|
0.403
|
%
|
05/09/2046
|
N/A
|
2,378,567
|
||
31,417,901
|
|||||||||
Collateralized Loan Obligations – 17.8%
|
|||||||||
400,000
|
Airlie CLO, Series 2006-2A, Class B (Cayman Islands)(a) (b) (f)
|
BBB+
|
0.978
|
%
|
12/20/2020
|
N/A
|
377,045
|
||
1,750,000
|
Ares CLO Ltd., Series 2012-3A (Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
01/17/2024
|
N/A
|
1,390,025
|
||
3,700,000
|
Ares CLO Ltd., Series XXVI (Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
04/15/2025
|
N/A
|
2,994,040
|
||
2,600,000
|
Atlas Senior Loan Fund II Ltd., Series 2012-2A (Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
01/30/2024
|
N/A
|
2,454,400
|
||
2,600,000
|
Carlyle Global Market Strategies CLO 2012-3 Ltd., Series 2012-3A
|
||||||||
(Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
10/14/2024
|
N/A
|
2,441,140
|
|||
250,000
|
Cerberus Onshore II CLO, LLC(a) (b) (f)
|
A2
|
3.726
|
%
|
10/15/2023
|
N/A
|
242,500
|
||
1,250,000
|
Cerberus Onshore II CLO, LLC, Series 2013-1A, Class D(a) (b) (f)
|
Baa2
|
4.226
|
%
|
10/15/2023
|
N/A
|
1,182,625
|
||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (b) (f)
|
A+
|
1.477
|
%
|
07/10/2019
|
N/A
|
943,000
|
||
3,500,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D1 (Cayman Islands)(a) (b) (f)
|
BBB+
|
2.827
|
%
|
07/10/2019
|
N/A
|
3,260,950
|
||
1,000,000
|
Churchill Financial Cayman Ltd., Series 2007-1A, Class D2 (Cayman Islands)(a) (b)
|
BBB+
|
8.370
|
%
|
07/10/2019
|
N/A
|
1,007,700
|
||
500,000
|
COA Summit CLO Ltd., Series 2014-1A, Class C (Cayman Islands)(a) (b) (f) (m)
|
Baa3
|
4.086
|
%
|
04/20/2023
|
N/A
|
497,150
|
||
441,767
|
Connecticut Valley Structured Credit CDO III Ltd. (Cayman Islands)(a) (b) (m)
|
Ba1
|
6.676
|
%
|
03/23/2023
|
N/A
|
435,847
|
||
1,000,000
|
Divcore CLO Ltd.(b) (m)
|
Baa3
|
4.051
|
%
|
11/15/2032
|
N/A
|
999,900
|
||
2,500,000
|
Finn Square CLO Ltd., Series 2012-1A (Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
12/24/2023
|
N/A
|
2,113,000
|
||
7,700,000
|
Fortress Credit Opportunities I LP, Series 2005-1A, Class A1(b)
|
AAA
|
0.571
|
%
|
07/15/2019
|
N/A
|
6,797,560
|
||
1,000,000
|
Fortress Credit Opportunities III CLO, LP(a) (b) (f)
|
NR
|
3.478
|
%
|
04/28/2026
|
N/A
|
995,200
|
||
250,000
|
Gale Force CLO Ltd., Series 2007-3A, Class C (Cayman Islands)(a) (b) (f)
|
A
|
0.928
|
%
|
04/19/2021
|
N/A
|
240,773
|
||
900,000
|
Global Leveraged Capital Credit Opportunity Fund, Series 2006-1A, Class C
|
||||||||
(Cayman Islands)(a) (b) (f)
|
BB+
|
1.228
|
%
|
12/20/2018
|
N/A
|
866,520
|
|||
300,000
|
Golub Capital Partners CLO Ltd. (Cayman Islands)(a) (b) (f) (m)
|
NR
|
4.235
|
%
|
04/25/2026
|
N/A
|
287,760
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Collateralized Loan Obligations continued
|
|||||||||
2,500,000
|
Great Lakes CLO 2012-1 Ltd., Series 2012-1A (Cayman Islands)(a) (b) (j) (m)
|
NR
|
0.000
|
%
|
01/15/2023
|
N/A
|
|
$ 2,304,250
|
|
500,000
|
Great Lakes CLO 2014-1 Ltd. (Cayman Islands)(a) (b) (f)
|
Baa2
|
4.417
|
%
|
04/15/2025
|
N/A
|
485,750
|
||
2,100,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A
|
||||||||
(Cayman Islands)(a) (f)
|
BBB–
|
2.523
|
%
|
08/07/2021
|
N/A
|
2,082,265
|
|||
250,000
|
Halcyon Structured Asset Management Long/Short CLO Ltd., Series 2007-1A, Class C
|
||||||||
(Cayman Islands)(a) (f)
|
A+
|
1.063
|
%
|
08/07/2021
|
N/A
|
239,676
|
|||
250,000
|
Hewett’s Island CDO Ltd., Series 2006-5A, Class C (Cayman Islands)(a) (f)
|
A
|
0.927
|
%
|
12/05/2018
|
N/A
|
244,282
|
||
750,000
|
Ivy Hill Middle Market Credit Fund Ltd. (Cayman Islands)(a) (b) (f)
|
Ba2
|
6.726
|
%
|
01/15/2022
|
N/A
|
749,925
|
||
800,000
|
Katonah IX CLO Ltd., Series 2006-9A, Class A3L (Cayman Islands)(a) (f)
|
A–
|
0.949
|
%
|
01/25/2019
|
N/A
|
760,000
|
||
1,000,000
|
KKR Financial CLO Ltd., Series 2007-1X, Class A(Cayman Islands) (f)
|
BBB+
|
5.264
|
%
|
05/15/2021
|
N/A
|
997,900
|
||
2,000,000
|
KKR Financial CLO Ltd., Series 2007-1X, Class A (Cayman Islands)(a) (b) (f)
|
A3
|
6.726
|
%
|
10/15/2017
|
N/A
|
2,009,800
|
||
500,000
|
Liberty CLO II Ltd., Series 2005-1A, Class A3 (Cayman Islands)(a) (b) (f)
|
A+
|
0.725
|
%
|
11/01/2017
|
N/A
|
489,108
|
||
3,000,000
|
Marathon CLO II Ltd., Series 2005-2A, Class A (Cayman Islands)(a) (b) (j)
|
NR
|
0.000
|
%
|
12/20/2019
|
N/A
|
1,710,000
|
||
500,000
|
Marlborough Street CLO Ltd., Series 2007-1A, Class C (Cayman Islands)(a) (b) (f)
|
A+
|
0.978
|
%
|
04/18/2019
|
N/A
|
473,600
|
||
1,500,000
|
MC Funding Ltd. / MC Funding 2006-1, LLC, Series 2006-1A, Class C
|
||||||||
(Cayman Islands)(a) (b) (f)
|
A–
|
1.185
|
%
|
12/20/2020
|
N/A
|
1,436,250
|
|||
800,000
|
Mountain View Funding CLO, Series 2007-3A, Class A2 (Cayman Islands)(a) (b) (f)
|
AA
|
0.569
|
%
|
04/16/2021
|
N/A
|
774,560
|
||
250,000
|
NewStar Commercial Loan Funding LLC, Series 2013-1A, Class E(a) (b) (f)
|
NR
|
5.535
|
%
|
09/20/2023
|
N/A
|
249,325
|
||
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (b) (f)
|
Baa1
|
1.528
|
%
|
09/30/2022
|
N/A
|
471,424
|
||
500,000
|
NewStar Commercial Loan Trust 2007-1(a) (b) (f)
|
Ba1
|
2.528
|
%
|
09/30/2022
|
N/A
|
467,800
|
||
500,000
|
NewStar Commercial Loan Trust 2014-1 (a) (b) (f) (m)
|
Baa3
|
4.980
|
%
|
04/20/2025
|
N/A
|
494,050
|
||
600,000
|
Northwoods Capital VII Ltd. (Cayman Islands)(a) (b) (f)
|
A1
|
3.728
|
%
|
10/22/2021
|
N/A
|
586,228
|
||
500,000
|
NXT Capital CLO 2013-1, LLC(a) (f)
|
Baa2
|
4.379
|
%
|
04/25/2024
|
N/A
|
487,000
|
||
250,000
|
OFSI Fund Ltd., Series 2006-1A, Class C (Cayman Islands)(a) (b) (f)
|
A
|
1.085
|
%
|
09/20/2019
|
N/A
|
239,600
|
||
300,000
|
Pacifica CDO Ltd., Series 2005-5X, Class B2 (Cayman Islands)(b)
|
AA–
|
5.811
|
%
|
01/26/2020
|
N/A
|
301,950
|
||
1,500,000
|
Rosedale CLO Ltd., Series I-A, Class AIJ (Cayman Islands)(a) (b) (f)
|
AA
|
0.639
|
%
|
07/24/2021
|
N/A
|
1,462,200
|
||
400,000
|
Salus CLO Ltd., Series 2012-1AN, Class DN (Cayman Islands)(a) (b) (f)
|
NR
|
6.986
|
%
|
03/05/2021
|
N/A
|
395,440
|
||
2,500,000 |
Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC6, Series 2006-BC6, Class A4(b) (f)
|
Caa2
|
0.320
|
%
|
01/25/2037
|
08/25/24 @ 100
|
2,057,998
|
||
700,000
|
T2 Income Fund CLO Ltd., Series 2007-1A, Class D (Cayman Islands)(a) (b) (f)
|
A+
|
2.977
|
%
|
07/15/2019
|
N/A
|
681,911
|
||
650,000
|
TCW Global Project Fund, Series 2004-1A, Class A2A (Cayman Islands)(a) (b) (f) (m)
|
A
|
1.577
|
%
|
06/15/2016
|
N/A
|
606,060
|
||
2,000,000
|
TCW Global Project Fund, Series 2004-1A, Class B1 (Cayman Islands)(a) (b) (f) (m)
|
BB–
|
2.176
|
%
|
06/15/2016
|
N/A
|
1,631,600
|
||
500,000
|
TCW Global Project Fund, Series 2005-1A, Class A1 (Cayman Islands)(a) (b) (f) (m)
|
AA+
|
0.877
|
%
|
09/01/2017
|
N/A
|
464,300
|
||
1,000,000
|
TCW Global Project Fund, Series 2005-1A, Class B2 (Cayman Islands)(a) (b) (m)
|
BB+
|
5.793
|
%
|
09/01/2017
|
N/A
|
855,500
|
||
850,038
|
Turbine Engines Securitization Ltd., Series 2013-1A, Class B (Bermuda)(a) (b)
|
BBB
|
6.375
|
%
|
12/15/2048
|
N/A
|
848,848
|
||
56,585,735
|
|||||||||
Credit Cards – 0.3%
|
|||||||||
1,007,220
|
CHLPA Credit Card Pass-Through Trust, Series 2012-BIZ, Class A(a) (b) (e) (j) (m)
|
CCC
|
0.000
|
%
|
12/15/2049
|
N/A
|
875,878
|
||
46,200
|
LCP Dakota Fund, Series 2012-6, Class P(b)
|
NR
|
10.000
|
%
|
08/17/2015
|
N/A
|
46,200
|
||
33,000
|
LCP Dakota Fund, Series 2012-6, Class Q(b)
|
NR
|
12.500
|
%
|
08/17/2015
|
N/A
|
32,996
|
||
955,074
|
|||||||||
Financial – 0.0%***
|
|||||||||
14,804
|
Blue Falcon, Series A-2(a) (b)
|
NR
|
3.150
|
%
|
12/25/2016
|
N/A
|
14,746
|
||
Insurance – 1.3%
|
|||||||||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class B(a) (b)
|
AA+
|
8.370
|
%
|
01/15/2046
|
02/15/28 @ 100
|
680,743
|
||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class C(a) (b)
|
A+
|
9.360
|
%
|
01/15/2048
|
07/15/29 @ 100
|
711,288
|
||
500,000
|
321 Henderson Receivables I, LLC, Series 2008-1A, Class D(a) (b)
|
A–
|
10.810
|
%
|
01/15/2050
|
N/A
|
721,388
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Insurance continued
|
|||||||||
294,400
|
Insurance Note Capital Term, Series 2005-1R1A(a) (f)
|
A
|
0.482
|
%
|
06/09/2033
|
N/A
|
|
$ 276,736
|
|
929,688
|
Northwind Holdings, LLC, Series 2007-1A, Class A1(a) (b) (f)
|
A
|
1.016
|
%
|
12/01/2037
|
N/A
|
841,367
|
||
890,518
|
Structured Asset Receivables Trust, Series 2005-1A, Class CTFS(a) (b) (f)
|
CCC
|
0.728
|
%
|
01/21/2015
|
N/A
|
845,992
|
||
4,077,514
|
|||||||||
Media – 0.6%
|
|||||||||
500,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class B(a) (b)
|
Ba2
|
8.836
|
%
|
12/20/2040
|
N/A
|
539,931
|
||
1,100,000
|
Adams Outdoor Advertising LP, Series 2010-1, Class C(a) (b)
|
B3
|
10.756
|
%
|
12/20/2040
|
N/A
|
1,212,009
|
||
1,751,940
|
|||||||||
Other – 0.9%
|
|||||||||
1,638,021
|
Emerald Aviation Finance Ltd., Series 2013-1, Class B (Cayman Islands)(a) (b) (k)
|
NR
|
6.350
|
%
|
10/15/2038
|
10/15/18 @ 100
|
1,664,557
|
||
1,252,722
|
Glenn Pool Oil & Gas Trust(b) (m)
|
NR
|
6.000
|
%
|
08/02/2021
|
N/A
|
1,305,962
|
||
2,970,519
|
|||||||||
Timeshare – 0.0%***
|
|||||||||
103,452
|
Silverleaf Finance, LLC, Series 2010-A, Class B(a) (b)
|
BBB
|
8.000
|
%
|
07/15/2022
|
09/15/15 @ 100
|
105,399
|
||
Transportation – 5.0%
|
|||||||||
6,958,247
|
Aerco Ltd., Series 2A, Class A3 (Jersey)(a) (b) (f)
|
BB–
|
0.581
|
%
|
07/15/2025
|
N/A
|
4,035,784
|
||
12,703,315
|
Airplanes Pass-Through Trust, Series 2001-1A, Class A9(b) (f)
|
CCC
|
0.701
|
%
|
03/15/2019
|
N/A
|
5,970,558
|
||
1,509,994
|
Babcock & Brown Air Funding I Ltd., Series 2007-1A, Class G1 (Bermuda)(a) (b) (f)
|
BBB–
|
0.451
|
%
|
11/14/2033
|
N/A
|
1,283,495
|
||
1,174,440
|
Babcock & Brown Air Funding I Ltd., Series 2007-1X, Class G1 (Bermuda) (a) (f)
|
BBB+
|
0.453
|
%
|
11/14/2033
|
N/A
|
998,274
|
||
470,074
|
Blade Engine Securitization Ltd., Series 2006-1A, Class B (Cayman Islands)(a) (b) (f)
|
BBB+
|
3.151
|
%
|
09/15/2041
|
N/A
|
188,030
|
||
8,902
|
Castle Trust, Series 2003-1AW, Class A1(a) (b) (f)
|
AA
|
0.901
|
%
|
05/15/2027
|
N/A
|
8,724
|
||
320,904
|
Raspro Trust, Series 2005-1A, Class G(a) (b) (f)
|
A
|
0.635
|
%
|
03/23/2024
|
N/A
|
306,463
|
||
1,968,750
|
Rise Ltd. (m)
|
A+
|
4.750
|
%
|
02/12/2039
|
N/A
|
1,993,359
|
||
492,188
|
Rise Ltd. (m)
|
BBB+
|
6.500
|
%
|
02/12/2039
|
N/A
|
497,109
|
||
549,123
|
Vega Containervessel PLC, Series 2006-1A, Class A (Ireland)(a) (b)
|
Ba3
|
5.562
|
%
|
02/10/2021
|
N/A
|
542,259
|
||
15,824,055
|
|||||||||
Trust Preferred Stocks – 1.5%
|
|||||||||
5,507,026
|
Attentus CDO Ltd., Series 2007-3A, Class A1B (Cayman Islands)(a) (f)
|
AA–
|
0.488
|
%
|
10/11/2042
|
N/A
|
4,708,507
|
||
Total Asset Backed Securities – 39.7%
|
|||||||||
(Cost $122,904,199)
|
126,045,460
|
||||||||
Collateralized Mortgage Obligations – 7.7%
|
|||||||||
Commercial Mortgage Backed Securities – Military Housing -1.1%
|
|||||||||
1,456,315
|
GMAC Commercial Mortgage Asset Corp.(a) (b)
|
NR
|
6.240
|
%
|
10/10/2041
|
N/A
|
1,403,014
|
||
1,000,000
|
GMAC Commercial Mortgage Asset Corp.(a) (b)
|
Baa3
|
6.400
|
%
|
11/10/2043
|
N/A
|
939,200
|
||
733,901
|
Pacific Beacon, LLC(a) (b)
|
A3
|
5.628
|
%
|
07/15/2051
|
N/A
|
636,329
|
||
568,190
|
Tri-Command Military Housing, LLC(a) (b)
|
AA–
|
5.383
|
%
|
02/15/2048
|
N/A
|
504,104
|
||
3,482,647
|
|||||||||
Commercial Mortgage Backed Securities – Non-Traditional – 0.5%
|
|||||||||
1,609,012
|
Business Loan Express SBA Loan Trust 2006-1, Series 2006-AA, Class A(a) (b) (f)
|
CCC+
|
0.389
|
%
|
10/20/2038
|
N/A
|
1,368,593
|
||
428,471
|
Ciena Capital, LLC, Series 2007-AA, Class A(a) (b) (f)
|
CCC+
|
0.549
|
%
|
10/20/2040
|
N/A
|
318,270
|
||
1,686,863
|
|||||||||
Commercial Mortgage Backed Securities – Traditional – 0.8%
|
|||||||||
400,000
|
Bank of America Merrill Lynch-DB Trust, Series 2012-OSI, Class D(a) (b)
|
Baa3
|
6.786
|
%
|
04/13/2029
|
N/A
|
426,440
|
||
1,500,000
|
Barclays Commercial Mortgage Securities, Series 2013-TYSN, Class E(a) (b)
|
Ba2
|
3.708
|
%
|
09/05/2032
|
N/A
|
1,383,837
|
||
730,305
|
Wachovia Bank Commercial Mortgage Trust(a) (b) (f)
|
Caa1
|
0.851
|
%
|
06/15/2020
|
N/A
|
717,040
|
||
2,527,317 |
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Residential Mortgage Backed Securities – 5.3%
|
|||||||||
5,403,006
|
Citigroup Mortgage Loan Trust 2006-FX1(b) (k)
|
Caa3
|
5.775
|
%
|
10/25/2036
|
08/25/23 @ 100
|
|
$ 4,047,392
|
|
65,467
|
Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AB4, Class A1A(b) (f)
|
D
|
6.005
|
%
|
10/25/2036
|
01/25/21 @ 100
|
51,620
|
||
1,764,494
|
GreenPoint Mortgage Funding Trust, Series 2006-AR1, Class A1A(b) (f)
|
Caa2
|
0.440
|
%
|
02/25/2036
|
N/A
|
1,480,755
|
||
2,438,810
|
GSAA Home Equity Trust 2006-18(b) (k)
|
Caa2
|
6.002
|
%
|
11/25/2036
|
02/25/21 @ 100
|
1,702,287
|
||
720,739
|
GSAA Home Equity Trust 2007-7(f)
|
Caa3
|
0.420
|
%
|
07/25/2037
|
08/25/23 @ 100
|
619,471
|
||
71,693
|
New Century Home Equity Loan Trust, Series 2004-A, Class AII9(b) (f)
|
B
|
5.470
|
%
|
08/25/2034
|
08/25/18 @ 100
|
73,386
|
||
662,518
|
New Century Home Equity Loan Trust, Series 2005-1(b) (f)
|
B1
|
0.870
|
%
|
03/25/2035
|
06/25/14 @ 100
|
575,938
|
||
4,671,884
|
Nomura Resecuritization Trust, Series 2012-1R, Class A(a) (b) (f)
|
NR
|
0.592
|
%
|
08/27/2047
|
N/A
|
4,310,747
|
||
2,000,000
|
Structured Asset Securities Corp. Mortgage Loan Trust 2006-OPT1(b) (f)
|
B1
|
0.410
|
%
|
04/25/2036
|
N/A
|
1,785,452
|
||
752,847
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A3(b) (k)
|
D
|
5.750
|
%
|
01/25/2037
|
10/25/20 @ 100
|
463,284
|
||
1,769,509
|
TBW Mortgage Backed Pass-Through Certificates, Series 2006-6, Class A5B(b) (k)
|
D
|
6.040
|
%
|
01/25/2037
|
10/25/20 @ 100
|
1,005,179
|
||
814,490
|
Wachovia Asset Securitization Issuance II, LLC 2007-He1 Trust(a) (b) (f)
|
Caa1
|
0.290
|
%
|
07/25/2037
|
N/A
|
699,877
|
||
16,815,388
|
|||||||||
Total Collateralized Mortgage Obligations – 7.7%
|
|||||||||
(Cost $23,712,513)
|
24,512,215
|
||||||||
Term Loans – 24.2%(l)
|
|||||||||
Aerospace & Defense – 0.4%
|
|||||||||
165,517
|
Doncasters Group Limited, 2nd Lien
|
CCC+
|
9.500
|
%
|
10/09/2020
|
N/A
|
167,449
|
||
896,471
|
Nana Development, 1st Lien
|
B
|
8.000
|
%
|
03/15/2018
|
N/A
|
883,023
|
||
309,112
|
SI International, Inc.
|
B+
|
5.750
|
%
|
11/14/2019
|
N/A
|
309,499
|
||
1,359,971
|
|||||||||
Automotive – 1.0%
|
|||||||||
800,000
|
American Tire Dist, Inc.
|
CCC+
|
5.750
|
%
|
06/01/2018
|
N/A
|
802,000
|
||
124,264
|
Armored Autogroup, Inc.
|
B–
|
6.000
|
%
|
11/05/2016
|
N/A
|
124,523
|
||
98,997
|
Fleetpride
|
B–
|
5.250
|
%
|
11/19/2019
|
N/A
|
97,678
|
||
120,000
|
Fleetpride
|
CCC
|
9.250
|
%
|
05/15/2020
|
N/A
|
117,800
|
||
361,111
|
Navistar, Inc.
|
B
|
5.750
|
%
|
08/17/2017
|
N/A
|
367,091
|
||
1,150,000
|
Thi Tectum
|
B+
|
5.250
|
%
|
09/12/2018
|
N/A
|
1,150,000
|
||
375,000
|
Thi Tectum
|
B–
|
9.000
|
%
|
03/12/2019
|
N/A
|
374,062
|
||
3,033,154
|
|||||||||
Banking – 0.1%
|
|||||||||
200,000
|
Ranpak, 2nd Lien
|
B–
|
8.500
|
%
|
04/23/2020
|
N/A
|
203,500
|
||
Building Materials – 0.2%
|
|||||||||
750,000
|
VAT Holding AG
|
B+
|
4.750
|
%
|
02/11/2021
|
N/A
|
752,813
|
||
Chemicals – 0.1%
|
|||||||||
300,000
|
Ennis-Flint
|
CCC+
|
7.750
|
%
|
09/30/2021
|
N/A
|
297,999
|
||
Consumer Products – 0.7%
|
|||||||||
500,000
|
Authentic Brands
|
B+
|
5.500
|
%
|
05/21/2021
|
N/A
|
496,250
|
||
695,308
|
Mitel Networks Corp.
|
B+
|
5.250
|
%
|
01/31/2020
|
N/A
|
702,261
|
||
395,000
|
Nes Global Talent
|
B
|
6.500
|
%
|
10/03/2019
|
N/A
|
393,025
|
||
400,000
|
Pelican Products
|
B
|
5.250
|
%
|
04/10/2020
|
N/A
|
402,500
|
||
235,598
|
Targus Group International, Inc., 1st Lien
|
B
|
12.000
|
%
|
05/24/2016
|
N/A
|
197,118
|
||
2,191,154 |
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Consumer Services – 1.3%
|
|||||||||
399,000
|
Alexander Mann Solutions
|
BB–
|
5.750
|
%
|
12/20/2019
|
N/A
|
|
$ 400,995
|
|
320,000
|
GCA Services Group, Inc.
|
CCC+
|
9.250
|
%
|
11/01/2020
|
N/A
|
321,600
|
||
221,667
|
Sutherland Global Cayman Tranche
|
BB–
|
7.250
|
%
|
03/06/2019
|
N/A
|
222,221
|
||
490,833
|
Sutherland Global U.S. Tranche
|
BB–
|
7.250
|
%
|
03/06/2019
|
N/A
|
492,060
|
||
2,647,980
|
Travelport Holdings Ltd.
|
B
|
6.250
|
%
|
06/26/2019
|
N/A
|
2,703,694
|
||
99,250
|
Valleycrest Companies LLC
|
B
|
5.500
|
%
|
06/13/2019
|
N/A
|
99,250
|
||
4,239,820
|
|||||||||
Diversified Manufacturing – 0.6%
|
|||||||||
985,898
|
CPM Acquisition Corp.
|
B+
|
6.250
|
%
|
08/29/2017
|
N/A
|
988,363
|
||
530,000
|
CPM Acquisition Corp.
|
B
|
10.250
|
%
|
03/01/2018
|
N/A
|
536,625
|
||
421,715
|
Panolam Industries
|
BB–
|
7.250
|
%
|
08/23/2017
|
N/A
|
419,606
|
||
1,944,594
|
|||||||||
Electric – 0.3%
|
|||||||||
1,010,625
|
Astoria Generating Co. Acquisitions
|
B
|
5.000
|
%
|
05/24/2019
|
N/A
|
1,039,054
|
||
Entertainment – 1.0%
|
|||||||||
96,850
|
CKX Entertainment, Inc.
|
B+
|
9.000
|
%
|
06/21/2017
|
N/A
|
85,712
|
||
2,250,000
|
Lions Gate Entertainment
|
B+
|
5.000
|
%
|
07/19/2020
|
N/A
|
2,280,938
|
||
700,000
|
WME (IMG Worldwide)
|
B
|
5.250
|
%
|
05/06/2021
|
N/A
|
702,975
|
||
3,069,625
|
|||||||||
Food & Beverage – 1.3%
|
|||||||||
1,481,000
|
Advance Pierre Foods, Inc., Lien 2
|
CCC+
|
9.500
|
%
|
10/10/2017
|
N/A
|
1,423,611
|
||
1,003,816
|
Arctic Glacier Holdings Inc., 1st Lien
|
B–
|
5.000
|
%
|
05/10/2019
|
N/A
|
998,797
|
||
450,000
|
CTI Foods Holding Co. LLC, 2nd Lien
|
CCC+
|
8.250
|
%
|
06/28/2021
|
N/A
|
453,375
|
||
300,000
|
Hostess Brands, Inc.
|
B–
|
6.750
|
%
|
04/09/2020
|
N/A
|
311,439
|
||
992,500
|
Performance Food Group
|
CCC+
|
6.250
|
%
|
11/14/2019
|
N/A
|
1,002,425
|
||
4,189,647
|
|||||||||
Forest Products & Paper – 0.2%
|
|||||||||
750,000
|
Hoffmaster Group, Inc.
|
B
|
5.250
|
%
|
05/09/2020
|
N/A
|
749,063
|
||
Gaming – 0.5%
|
|||||||||
383,038
|
Centaur Acquisition, LLC
|
BB–
|
5.250
|
%
|
02/20/2019
|
N/A
|
383,157
|
||
1,132,750
|
Jacobs Entertainment, Inc.
|
B+
|
5.250
|
%
|
10/29/2018
|
N/A
|
1,138,414
|
||
1,521,571
|
|||||||||
Health Care – 0.4%
|
|||||||||
100,000
|
Catalent
|
B
|
6.500
|
%
|
12/31/2017
|
N/A
|
100,750
|
||
1,086,250
|
Nextech(m)
|
B
|
6.000
|
%
|
10/28/2018
|
N/A
|
1,064,525
|
||
1,165,275
|
|||||||||
Home Builders – 0.1%
|
|||||||||
150,000
|
Capital Automotive LP
|
B–
|
6.000
|
%
|
04/30/2020
|
N/A
|
152,625
|
||
Insurance – 0.0%***
|
|||||||||
116,932
|
Cunningham
|
B–
|
9.250
|
%
|
06/10/2020
|
N/A
|
116,493
|
||
Media – 0.8%
|
|||||||||
997,500
|
Anaren, Inc.
|
B+
|
5.500
|
%
|
02/18/2021
|
N/A
|
999,994
|
||
1,000,000
|
Anaren, Inc., Lien 2
|
CCC+
|
9.250
|
%
|
01/22/2021
|
N/A
|
1,000,000
|
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Media continued
|
|||||||||
450,000
|
Cengage Learning Acquisitions, Inc. (Thomson Learning)
|
B+
|
7.000
|
%
|
03/31/2020
|
N/A
|
|
$ 455,625
|
|
198,500
|
Hemisphere Media Group Inc., 1st Lien
|
B
|
6.250
|
%
|
07/30/2020
|
N/A
|
198,996
|
||
2,654,615
|
|||||||||
Oil Field Services – 1.4%
|
|||||||||
1,500,000
|
Floatel International Ltd.
|
B
|
6.000
|
%
|
05/22/2020
|
N/A
|
1,500,000
|
||
1,000,000
|
FTS International
|
B–
|
5.750
|
%
|
04/16/2021
|
N/A
|
1,006,500
|
||
466,895
|
Ocean RIG ASA
|
B+
|
6.000
|
%
|
03/31/2021
|
N/A
|
467,917
|
||
1,350,000
|
PSS Companies
|
B+
|
5.500
|
%
|
01/28/2020
|
N/A
|
1,360,125
|
||
4,334,542
|
|||||||||
Other Financial Institutions – 2.8%
|
|||||||||
485,733
|
American Stock Transfer
|
B
|
5.750
|
%
|
06/26/2020
|
N/A
|
486,544
|
||
3,500,000
|
AP Alternative Assets LP(m)
|
BB
|
6.651
|
%
|
12/21/2015
|
N/A
|
3,508,750
|
||
147,188
|
HDV Holdings
|
B
|
5.750
|
%
|
12/18/2018
|
N/A
|
146,083
|
||
1,596,000
|
National Financial Partners
|
B
|
5.250
|
%
|
07/01/2020
|
N/A
|
1,603,310
|
||
400,000
|
RCS Capital
|
B+
|
6.500
|
%
|
04/29/2019
|
N/A
|
408,168
|
||
1,287,004
|
STG-Fairway Acquisitions, Inc.
|
B
|
6.250
|
%
|
02/28/2019
|
N/A
|
1,283,787
|
||
450,000
|
STG-Fairway Acquisitions, Inc.(m)
|
CCC+
|
10.500
|
%
|
08/28/2019
|
N/A
|
445,500
|
||
972,739
|
Topaz Power Holdings, LLC
|
BB–
|
5.250
|
%
|
02/26/2020
|
N/A
|
969,092
|
||
8,851,234
|
|||||||||
Other Industrials – 2.9%
|
|||||||||
726,027
|
Alliedbarton Security
|
CCC+
|
8.000
|
%
|
08/13/2021
|
N/A
|
726,710
|
||
250,000
|
Brickman Group Holdings, 2 Lien
|
CCC+
|
7.500
|
%
|
12/17/2021
|
N/A
|
254,250
|
||
1,500,000
|
Carecore National LLC
|
B
|
5.500
|
%
|
03/05/2021
|
N/A
|
1,506,870
|
||
1,393,994
|
Emerald Expositions
|
BB–
|
5.500
|
%
|
06/17/2020
|
N/A
|
1,400,964
|
||
EUR 650,000
|
Flakt Woods, 2 Lien
|
B
|
4.750
|
%
|
04/01/2017
|
N/A
|
859,402
|
||
1,500,000
|
Knowledge Learning Corp.
|
B
|
5.250
|
%
|
03/18/2021
|
N/A
|
1,512,195
|
||
487,500
|
Mast Global(m)
|
CCC+
|
8.750
|
%
|
09/12/2019
|
N/A
|
482,625
|
||
700,000
|
Mitchell International, Inc., 2nd Lien
|
CCC
|
8.500
|
%
|
10/11/2021
|
N/A
|
714,000
|
||
1,782,000
|
Sirva Worldwide, Inc.
|
B
|
7.500
|
%
|
03/27/2019
|
N/A
|
1,813,185
|
||
9,270,201
|
|||||||||
Other Services – 0.2%
|
|||||||||
743,745
|
Exgen Renewables I LLC
|
BB–
|
5.250
|
%
|
02/06/2021
|
N/A
|
753,042
|
||
Pharmaceuticals – 0.4%
|
|||||||||
1,156,370
|
Generic Drug Holdings
|
B+
|
5.000
|
%
|
08/16/2020
|
N/A
|
1,159,747
|
||
Retail – 1.7%
|
|||||||||
797,945
|
Asurion Corp.
|
B+
|
5.000
|
%
|
05/24/2019
|
N/A
|
800,539
|
||
2,216,378
|
Blue Coat Systems
|
B+
|
4.000
|
%
|
05/31/2019
|
N/A
|
2,212,500
|
||
606,119
|
Deb Store Holdings, LLC(m)
|
CCC+
|
1.500
|
%
|
10/11/2016
|
N/A
|
248,508
|
||
247,684
|
Grocery Outlet, Inc.
|
B
|
5.500
|
%
|
12/17/2018
|
N/A
|
247,840
|
||
1,200,000
|
National Vision, Inc.
|
CCC+
|
6.750
|
%
|
03/11/2022
|
N/A
|
1,195,500
|
||
738,758
|
Ollies Holdings, Inc.
|
B
|
4.753
|
%
|
09/28/2019
|
N/A
|
735,988
|
||
100,000
|
Rite Aid Corp.
|
B
|
5.750
|
%
|
08/21/2020
|
N/A
|
101,979
|
||
5,542,854
|
|||||||||
Technology – 2.0%
|
|||||||||
200,000
|
Active Network-Lanyon
|
B+
|
5.500
|
%
|
11/13/2020
|
N/A
|
199,000
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Principal
|
Optional Call
|
||||||||
Amount~
|
Description
|
Rating* |
Coupon
|
Maturity
|
Provisions**
|
Value
|
|||
Technology continued
|
|||||||||
389,282
|
Aspect Software, Inc.
|
B
|
7.250
|
%
|
05/07/2016
|
N/A
|
|
$ 391,879
|
|
1,283,750
|
Deltek, Inc.
|
B1
|
4.500
|
%
|
10/10/2018
|
N/A
|
1,284,289
|
||
938,657
|
EIG Investors Corp., 1st Lien
|
B
|
5.000
|
%
|
11/09/2019
|
N/A
|
941,782
|
||
349,125
|
Globallogic Holdings, Inc.
|
B+
|
6.250
|
%
|
05/31/2019
|
N/A
|
335,160
|
||
1,097,250
|
Greenway Medical Technology, 1st Lien
|
B
|
6.000
|
%
|
11/04/2020
|
N/A
|
1,091,764
|
||
125,000
|
Ion Trading Technology
|
CCC+
|
8.250
|
%
|
05/22/2021
|
N/A
|
125,625
|
||
750,000
|
Misys PLC
|
CCC+
|
12.000
|
%
|
06/12/2019
|
N/A
|
855,000
|
||
950,000
|
Mri Software LLC
|
B+
|
5.250
|
%
|
02/04/2021
|
N/A
|
950,000
|
||
99,745
|
Openlink Finance
|
B
|
6.250
|
%
|
10/30/2017
|
N/A
|
100,493
|
||
200,000
|
P2 Energy Solutions
|
CCC+
|
9.000
|
%
|
04/30/2021
|
N/A
|
203,000
|
||
6,477,992
|
|||||||||
Transportation – 1.7%
|
|||||||||
1,013,068
|
AABS, Series 2013-1A (m)
|
A+
|
4.875
|
%
|
01/10/2038
|
N/A
|
1,025,731
|
||
39,522
|
Carey International, Inc.(m)
|
CCC+
|
9.000
|
%
|
07/31/2015
|
N/A
|
15,809
|
||
118,227
|
Ceva Group PLC
|
B–
|
6.500
|
%
|
03/19/2021
|
N/A
|
115,665
|
||
81,281
|
Ceva Group PLC
|
B–
|
6.500
|
%
|
03/19/2021
|
N/A
|
79,520
|
||
14,778
|
Ceva Group PLC
|
B–
|
6.500
|
%
|
03/19/2021
|
N/A
|
14,458
|
||
85,714
|
Ceva Group PLC
|
B–
|
6.500
|
%
|
03/19/2021
|
N/A
|
83,857
|
||
618,730
|
Global Aviation Holdings, Inc.(c) (m)
|
NR
|
10.000
|
%
|
07/13/2017
|
N/A
|
–
|
||
202,291
|
Global Aviation Holdings, Inc.(c) (m)
|
NR
|
3.000
|
%
|
02/13/2018
|
N/A
|
–
|
||
1,240,426
|
Sabre, Inc.
|
B+
|
4.250
|
%
|
02/19/2019
|
N/A
|
1,240,426
|
||
1,000,000
|
Travelport Holdings, 2nd Lien, Tranche 1
|
CCC+
|
9.500
|
%
|
01/31/2016
|
N/A
|
1,028,000
|
||
1,891,458
|
US Shipping Corp., Lien 1
|
B
|
9.000
|
%
|
04/30/2018
|
N/A
|
1,929,287
|
||
5,532,753
|
|||||||||
Wireless – 0.9%
|
|||||||||
987,500
|
Alcatel Lucent, Lien 1
|
B+
|
5.500
|
%
|
01/30/2019
|
N/A
|
988,892
|
||
1,723,473
|
Expert Global Solutions, Lien 1
|
B–
|
8.500
|
%
|
04/03/2018
|
N/A
|
1,657,413
|
||
98,721
|
Gogo LLC, 1st Lien
|
CCC+
|
11.250
|
%
|
06/21/2017
|
N/A
|
103,657
|
||
2,749,962
|
|||||||||
Wirelines – 1.2%
|
|||||||||
1,417,181
|
Avaya, Inc.
|
B
|
4.727
|
%
|
10/26/2017
|
N/A
|
1,369,946
|
||
2,316,109
|
Avaya, Inc.
|
B
|
6.500
|
%
|
03/31/2018
|
N/A
|
2,299,109
|
||
3,669,055
|
|||||||||
Total Term Loans – 24.2%
|
|||||||||
(Cost $77,140,602)
|
77,022,355
|
||||||||
Number
|
|||||||||
of Shares
|
Description
|
Value
|
|||||||
Common Stocks – 0.1%
|
|||||||||
Airlines – 0.0%
|
|||||||||
32,331
|
Global Aviation Holdings, Inc.(b) (m) (n)
|
$ 3
|
|||||||
Media – 0.1%
|
|||||||||
11,126
|
Cengage Learning(n)
|
394,973
|
|||||||
Retail – 0.0%
|
|||||||||
9,389
|
Deb Store Holdings, LLC(m) (n)
|
–
|
|||||||
Total Common Stocks – 0.1%
|
|||||||||
(Cost $357,504)
|
394,976
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Number
|
||||
of Shares
|
Description
|
Value
|
||
Preferred Stocks – 7.1%
|
||||
Banks – 3.8%
|
||||
4,000
|
AgriBank FCB, 6.875%(b) (f)
|
|
$ 414,875
|
|
12,000
|
City National Corp., Series D, 6.750%(b) (f)
|
336,840
|
||
269,144
|
Goldman Sachs Group, Inc., Series J, 5.500%(b) (f)
|
6,464,839
|
||
28,000
|
Morgan Stanley, Series E, 7.125%(b) (f)
|
783,720
|
||
69,000
|
PNC Financial Services Group, Inc., Series P, 6.125%(b) (f)
|
1,869,210
|
||
655,000
|
PNC Financial Services Group, Inc., Series R, 4.850%(b) (f)
|
628,800
|
||
60,000
|
Wells Fargo & Co., 5.850%(b) (f)
|
1,561,200
|
||
12,059,484
|
||||
Diversified Financial Services – 0.7%
|
||||
500
|
Falcons Funding Trust I, 8.875%(a) (b) (f)
|
523,156
|
||
5,200
|
GSC Partners CDO Fund Ltd. V / GSC Partners CDO Fund Corp. (Cayman Islands)(a) (b) (f)
|
1,820,000
|
||
2,343,156
|
||||
Insurance – 1.2%
|
||||
20,000
|
Aegon NV, 6.380% (Netherlands)(b) (f)
|
509,400
|
||
124,000
|
Aspen Insurance Holdings Ltd., 5.950% (Bermuda)(a) (b) (f) (n)
|
3,144,640
|
||
3,800
|
ING Groep NV, 7.050% (Netherlands)(b)
|
97,204
|
||
3,751,244
|
||||
Telecommunications – 0.4%
|
||||
1,000
|
Centaur Funding Corp., 9.080% (Cayman Islands)(a)
|
1,250,313
|
||
Transportation – 1.0%
|
||||
86,000
|
Seaspan Corp., 6.375% (Marshall Islands)(b)
|
2,169,780
|
||
40,000
|
Seaspan Corp., Series C, 9.500% (Marshall Islands)(b)
|
1,090,000
|
||
3,259,780
|
||||
Total Preferred Stocks – 7.1%
|
||||
(Cost $22,318,364)
|
22,663,977
|
|||
Exchange Traded Funds – 18.3%
|
||||
3,200
|
Energy Select Sector SPDR(b) (o)
|
304,896
|
||
10,060
|
iShares MSCI Spain Capped Index Fund (o)
|
430,568
|
||
68,100
|
iShares Russell 2000 Index Fund(b) (o)
|
7,685,766
|
||
28,100
|
ProShares Ultra S&P500(b) (o)
|
3,127,811
|
||
90,100
|
SPDR Dow Jones Industrial Average ETF Trust(b) (o)
|
15,040,393
|
||
163,600
|
SPDR S&P 500 ETF Trust(b) (o)
|
31,514,268
|
||
(Cost $56,433,783)
|
58,103,702
|
|||
Warrants – 0.0%***
|
||||
Engineering & Construction – 0.0%***
|
||||
1,050
|
Alion Science and Technology Corp., expiring 03/15/2017(b) (m) (n)
|
|||
(Cost $11)
|
–
|
|||
Total Long-Term Investments – 136.8%
|
||||
(Cost $422,278,073)
|
434,973,224
|
|||
Money Market Fund – 5.1%
|
||||
16,351,047
|
Dreyfus Treasury Prime Cash Management Institutional Shares
|
|||
(Cost $16,351,047)
|
16,351,047
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
Description
|
Value
|
|||
Total Investment – 141.9%
|
||||
(Cost $438,629,120)
|
|
$451,324,271
|
||
Total Value of Options Written – (0.5%) (Premiums received – $756,021)
|
(1,582,569
|
)
|
||
Borrowings – (19.1% of Net Assets or 14.0% of Total Investments)
|
(60,788,955
|
)
|
||
Reverse Repurchase Agreements – (23.8% of Net Assets or 17.4% of Total Investments)
|
(75,641,024
|
)
|
||
Other Assets in excess of Liabilities – 1.5%
|
4,689,078
|
|||
Net Assets – 100.0%
|
|
$318,000,801
|
~
|
The principal amount is denominated in U.S. Dollars unless otherwise indicated.
|
*
|
Ratings shown are per Standard & Poor’s Rating Group, Moody’s Investor Services, Inc. or Fitch Ratings. Securities classified as NR are not rated. (For securities not rated by Standard & Poor’s Rating Group, the rating by Moody’s Investor Services, Inc. is provided. Likewise, for securities not rated by Standard & Poor’s Rating Group and Moody’s Investor Services, Inc., the rating by Fitch Ratings is provided.) All ratings are unaudited. The ratings apply to the credit worthiness of the issuers of the underlying securities and not to the Fund or its shares.
|
**
|
Date and price of the earliest optional call or put provision. There may be other call provisions at varying prices at later dates.
|
***
|
Less Than 0.1%
|
(a)
|
Securities are exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At May 31, 2014, these securities amounted to $186,027,739, which represents 58.5% of net assets.
|
(b)
|
All or a portion of these securities have been physically segregated in connection with borrowings, unfunded commitments and reverse repurchase agreements. As of May 31, 2014, the total amount segregated was $359,291,007.
|
(c)
|
Company has filed for protection in federal bankruptcy court.
|
(d)
|
Security has a fixed rate coupon which will convert to a floating or variable rate coupon on a future date.
|
(e)
|
Security is perpetual and thus does not have a predetermined maturity date.
|
(f)
|
Floating or variable rate coupon. The rate shown is as of May 31, 2014.
|
(g)
|
The issuer of this security will accrue interest on the secured note at a rate of 12% per annum and will make interest payments as follows: (1) 10% in cash and (2) 2% payment-in-kind shares of the secured note.
|
(h)
|
Paid-in-kind toggle note. The issuer in each interest period has the option to pay interest in cash or to issue payment-in-kind shares of the note.
|
(i)
|
Non-income producing as security is in default.
|
(j)
|
Security has no stated coupon. However, it is expected to receive residual cashflow payments on deal defined payment dates.
|
(k)
|
Security is a “Step-up” bond where the coupon increases or steps up at a predetermined date. The rate shown reflects the rate in effect as of May 31, 2014
|
(l)
|
Term loans held by the Fund have a variable interest rate feature which is periodically adjusted based on an underlying interest rate benchmark. In addition, term loans may include mandatory and/or optional prepayment terms. As a result, the actual maturity dates of the loan may be different than the amounts disclosed in the portfolios of investments. Term loans may be considered restricted in that the Fund may be contractually obligated to secure approval from the Agent Bank and/or Borrower prior to the sale or disposition of loan.
|
PORTFOLIO OF INVESTMENTS continued
|
May 31, 2014 |
(m)
|
Security is valued in accordance with Fair Valuation procedures established in good faith by management and approved by the Board of Trustees and is based, in part on significant unobservable inputs. The total market value of such securities is $5,765,720 which represents 1.8% of net assets.
|
(n)
|
Non-income producing security.
|
(o)
|
Security represents cover for outstanding written options.
|
Contracts
|
||||||||
(100 shares
|
Expiration
|
Exercise
|
||||||
per contract)
|
Options Written – (0.5%) (a)
|
Month
|
Price
|
Value
|
||||
Call Options Written – (0.5%)
|
||||||||
32
|
Energy Select Sector SPDR
|
June 2014
|
$
|
93.00
|
$
|
(8,480
|
)
|
|
100
|
iShares MSCI Spain Capped Index Fund
|
June 2014
|
43.00
|
(5,500
|
)
|
|||
681
|
iShares Russell 2000 Index Fund
|
June 2014
|
111.00
|
(195,787
|
)
|
|||
281
|
ProShares Ultra S&P500
|
June 2014
|
106.00
|
(166,492
|
)
|
|||
901
|
SPDR Dow Jones Industrial Average ETF Trust
|
June 2014
|
164.00
|
(313,098
|
)
|
|||
702
|
SPDR S&P 500 ETF Trust
|
June 2014
|
187.00
|
(417,339
|
)
|
|||
934
|
SPDR S&P 500 ETF Trust
|
June 2014
|
188.00
|
(475,873
|
)
|
|||
Total Value of Call Options Written
|
||||||||
Premiums received ($756,021)
|
$
|
(1,582,569
|
)
|
(a)
|
Non-income producing security.
|
% of Long-Term
|
|||
Country Breakdown
|
Investments
|
||
United States
|
72.0
|
%
|
|
Cayman Islands
|
18.7
|
%
|
|
Jersey
|
1.6
|
%
|
|
Luxembourg
|
1.5
|
%
|
|
Canada
|
1.5
|
%
|
|
Bermuda
|
1.4
|
%
|
|
Marshall Islands
|
0.8
|
%
|
|
United Kingdom
|
0.6
|
%
|
|
Netherlands
|
0.5
|
%
|
|
Saint Maarten
|
0.5
|
%
|
|
Mexico
|
0.3
|
%
|
|
France
|
0.3
|
%
|
|
Australia
|
0.2
|
%
|
|
Ireland
|
0.1
|
%
|
|
Subject to change daily.
|
Assets
|
|||
Investments in securities, at value (cost $438,629,120)
|
$ | 451,324,271 | |
Cash
|
5,219,901 | ||
Interest receivable
|
3,560,374 | ||
Receivable for securities sold
|
2,644,298 | ||
Receivable for fund shares sold through at-the-market offering
|
536,950 | ||
Restricted cash
|
340,000 | ||
Dividends receivable
|
68,504 | ||
Unrealized appreciation on forward exchange currency contracts
|
29,760 | ||
Unrealized appreciation on swaps
|
8,136 | ||
Other assets
|
8,484 | ||
Total assets
|
463,740,678 | ||
Liabilities
|
|||
Reverse repurchase agreements
|
75,641,024 | ||
Borrowings
|
60,788,955 | ||
Payable for securities purchased
|
6,786,450 | ||
Options written, at value (premiums received of $756,021)
|
1,582,569 | ||
Advisory fee payable
|
383,330 | ||
Offering costs payable
|
114,842 | ||
Unrealized depreciation on swaps
|
109,932 | ||
Interest due on borrowings
|
108,823 | ||
Administration fee payable
|
8,695 | ||
Unrealized depreciation on unfunded commitments
|
7,700 | ||
Unrealized depreciation on forward exchange currency contracts
|
1,944 | ||
Accrued expenses and other liabilities
|
205,613 | ||
Total liabilities
|
145,739,877 | ||
Net Assets
|
$ | 318,000,801 | |
Composition of Net Assets
|
|||
Common stock, $.01 par value per share; unlimited number of shares authorized,
|
|||
15,467,075 shares issued and outstanding
|
$ | 154,671 | |
Additional paid-in capital
|
297,235,833 | ||
Accumulated net realized gain on investments
|
3,837,357 | ||
Accumulated net unrealized appreciation on investments
|
11,800,410 | ||
Accumulated undistributed net investment income
|
4,972,530 | ||
Net Assets
|
$ | 318,000,801 | |
Net Asset Value (based on 15,467,075 common shares outstanding)
|
$ | 20.56 |
Investment Income
|
||||||||
Interest
|
$ | 25,752,827 | ||||||
Dividends
|
1,936,107 | |||||||
Total income
|
$ | 27,688,934 | ||||||
Expenses
|
||||||||
Investment advisory fee
|
4,187,960 | |||||||
Interest expense
|
1,497,686 | |||||||
Excise tax expense
|
370,241 | |||||||
Professional fees
|
158,876 | |||||||
Fund accounting fee
|
125,325 | |||||||
Trustees’ fees and expenses
|
110,556 | |||||||
Administration fee
|
98,796 | |||||||
Printing expense
|
59,380 | |||||||
NYSE listing fee
|
38,504 | |||||||
Custodian fee
|
34,093 | |||||||
Transfer agent fee
|
26,008 | |||||||
Insurance
|
23,575 | |||||||
Miscellaneous
|
25,466 | |||||||
Total expenses
|
6,756,466 | |||||||
Net investment income
|
20,932,468 | |||||||
Realized and unrealized gain (loss):
|
||||||||
Net realized gain (loss) on:
|
||||||||
Investments
|
8,883,759 | |||||||
Foreign currency transactions
|
376,286 | |||||||
Written Options
|
1,114,783 | |||||||
Swaps
|
(792,106 | ) | ||||||
Net change in unrealized appreciation (depreciation) on:
|
||||||||
Investments
|
(3,123,423 | ) | ||||||
Written Options
|
(1,406,118 | ) | ||||||
Foreign currency translation
|
34,540 | |||||||
Swaps
|
(643,248 | ) | ||||||
Unfunded commitments
|
8,363 | |||||||
Net realized and unrealized gain on investments and foreign currency
|
4,452,836 | |||||||
Net Increase in Net Assets Resulting from Operations
|
$ | 25,385,304 |
For the
|
For the
|
|||||||
Year Ended
|
Year Ended
|
|||||||
May 31, 2014
|
May 31, 2013
|
|||||||
Increase in Net Assets Resulting from Operations
|
||||||||
Net investment income
|
$ | 20,932,468 | $ | 20,400,139 | ||||
Net realized gain on investments and foreign currency
|
9,582,722 | 7,911,700 | ||||||
Net change in unrealized appreciation (depreciation) on investments
|
||||||||
and foreign currency
|
(5,129,886 | ) | 14,945,104 | |||||
Net increase in net assets resulting from operations
|
25,385,304 | 43,256,943 | ||||||
Distributions to Common Shareholders
|
||||||||
From and in excess of net investment income
|
(26,520,608 | ) | (21,756,314 | ) | ||||
Capital gains
|
(5,245,435 | ) | (2,072,578 | ) | ||||
Total distributions
|
(31,766,043 | ) | (23,828,892 | ) | ||||
Capital Share Transactions
|
||||||||
Net proceeds from common shares issued through at-the-market offering
|
36,604,049 | 59,126,204 | ||||||
Shares issued through dividend reinvestment
|
1,529,910 | 930,367 | ||||||
Common share offering costs charged to paid-in capital
|
(223,160 | ) | (360,152 | ) | ||||
Net increase from capital share transactions
|
37,910,799 | 59,696,419 | ||||||
Total increase in net assets
|
31,530,060 | 79,124,470 | ||||||
Net Assets
|
||||||||
Beginning of period
|
286,470,741 | 207,346,271 | ||||||
End of period (including accumulated undistributed net investment
|
||||||||
income of $4,972,530 and$4,410,377, respectively)
|
$ | 318,000,801 | $ | 286,470,741 |
Cash Flows from Operating Activities:
|
||||
Net increase in net assets resulting from operations
|
$ | 25,385,304 | ||
Adjustments to Reconcile Net Increase in Net Assets Resulting from Operations to
|
||||
Net Cash Used in Operating and Investing Activities:
|
||||
Net change in unrealized depreciation on investments
|
3,123,423 | |||
Net change in unrealized depreciation on written options
|
1,406,118 | |||
Net change in unrealized depreciation on swaps
|
643,248 | |||
Net change in unrealized appreciation on unfunded commitments
|
(8,363 | ) | ||
Net change in unrealized appreciation on foreign currency translation
|
(34,540 | ) | ||
Net realized gain on investments
|
(8,883,759 | ) | ||
Net realized gain on written options
|
(1,114,783 | ) | ||
Net accretion of bond discount and amortization of bond premium
|
(3,913,275 | ) | ||
Net realized gains on paydowns received
|
(3,501,341 | ) | ||
Purchase of long-term investments
|
(469,281,656 | ) | ||
Paydowns received on mortgage and asset backed securities
|
50,422,561 | |||
Proceeds from written options
|
9,334,232 | |||
Corporate actions and other payments
|
4,475,716 | |||
Cost of closing written options
|
(8,444,048 | ) | ||
Proceeds from sale of long-term investments
|
389,500,314 | |||
Net purchases of short-term investments
|
(13,626,107 | ) | ||
Increase in dividends receivable
|
(55,726 | ) | ||
Increase in interest receivable
|
(261,934 | ) | ||
Increase in securities sold receivable
|
(1,070,559 | ) | ||
Decrease in receivable for fund shares sold through at-the-market offering
|
950,760 | |||
Increase in other assets
|
(8,484 | ) | ||
Decrease in payable for securities purchased
|
(4,449,125 | ) | ||
Decrease in interest due on borrowings
|
(47,822 | ) | ||
Increase in advisory fee payable
|
49,286 | |||
Increase in administration fee payable
|
755 | |||
Decrease in accrued expenses and other liabilities
|
(70,404 | ) | ||
Net Cash Used in Operating and Investing Activities
|
(29,480,209 | ) | ||
Cash Flows From Financing Activities:
|
||||
Net proceeds from the issuance of common shares
|
36,604,049 | |||
Distributions to common shareholders
|
(30,236,133 | ) | ||
Increase in reverse repurchase agreements
|
16,167,282 | |||
Proceeds from borrowings
|
8,500,000 | |||
Payments made on borrowings
|
(3,810,000 | ) | ||
Offering costs in connection with the issuance of common shares
|
(150,104 | ) | ||
Net Cash Provided by Financing Activities
|
27,075,094 | |||
Net decrease in cash
|
(2,405,115 | ) | ||
Cash at Beginning of Period (including restricted cash)
|
7,965,016 | |||
Cash at End of Period (including restricted cash)
|
$ | 5,559,901 | ||
Supplemental Disclosure of Cash Flow Information: Cash paid during the period for interest
|
$ | 1,545,508 | ||
Supplemental Disclosure of Non Cash Financing Activity: Dividend reinvestment
|
$ | 1,529,910 | ||
Supplemental Disclosure of Non Cash Operating Activity: Options assigned during the period
|
$ | 1,491,626 | ||
Supplemental Disclosure of Non Cash Operating Activity: Additional principal received on payment-in-kind bonds
|
$ | 43,487 |
FINANCIAL HIGHLIGHTS
|
May 31, 2014 |
Per share operating performance
for a common share outstanding throughout the period |
For the
Year Ended |
For the
Year Ended |
For the
Year Ended |
For the
Year Ended |
For the
Year Ended |
|||||||||||||||
Net asset value, beginning of period
|
$ | 20.95 | $ | 19.00 | $ | 20.11 | $ | 17.56 | $ | 12.42 | ||||||||||
Income from investment operations
|
||||||||||||||||||||
Net investment income(a)
|
1.44 | 1.68 | 1.80 | 1.94 | 1.76 | |||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency
|
0.35 | 2.22 | (1.06 | ) | 2.49 | 5.23 | ||||||||||||||
Total from investment operations
|
1.79 | 3.90 | 0.74 | 4.43 | 6.99 | |||||||||||||||
Distributions to Common Shareholders
|
||||||||||||||||||||
From and in excess of net investment income
|
(1.82 | ) | (1.78 | ) | (1.85 | ) | (1.88 | ) | (1.85 | ) | ||||||||||
Capital gains
|
(0.36 | ) | (0.17 | ) | – | – | – | |||||||||||||
Total distributions
|
(2.18 | ) | (1.95 | ) | (1.85 | ) | (1.88 | ) | (1.85 | ) | ||||||||||
Net asset value, end of period
|
$ | 20.56 | $ | 20.95 | $ | 19.00 | $ | 20.11 | $ | 17.56 | ||||||||||
Market value, end of period
|
$ | 21.83 | $ | 21.91 | $ | 21.08 | $ | 22.32 | $ | 17.46 | ||||||||||
Total investment return(b)
|
||||||||||||||||||||
Net asset value
|
9.20 | % | 21.37 | % | 4.09 | % | 26.14 | % | 59.06 | % | ||||||||||
Market value
|
10.71 | % | 14.10 | % | 3.81 | % | 40.85 | % | 70.37 | % | ||||||||||
Ratios and supplemental data
|
||||||||||||||||||||
Net assets, applicable to common shareholders,
end of period (in thousands) |
$ | 318,001 | $ | 286,471 | $ | 207,346 | $ | 187,333 | $ | 161,783 | ||||||||||
Ratios to Average Net Assets applicable to Common Shares:
|
||||||||||||||||||||
Total expenses, including interest expense(c)(f)
|
2.28 | % | 2.47 | % | 2.55 | % | 2.69 | % | 2.97 | % | ||||||||||
Net investment income, including interest expense
|
7.07 | % | 8.30 | % | 9.45 | % | 10.20 | % | 11.30 | % | ||||||||||
Portfolio turnover(d)
|
95 | % | 165 | % | 112 | % | 64 | % | 67 | % | ||||||||||
Senior Indebtedness
|
||||||||||||||||||||
Total borrowings outstanding (in thousands)
|
$ | 136,430 | $ | 115,573 | $ | 83,842 | $ | 80,670 | $ | 69,117 | ||||||||||
Asset coverage per $1,000 of indebtedness(e)
|
$ | 3,331 | $ | 3,479 | $ | 3,473 | $ | 3,322 | $ | 3,341 |
(a)
|
Based on average shares outstanding during the period.
|
(b)
|
Total investment return is calculated assuming a purchase of a common share at the beginning of the period and a sale on the last day of the period reported either at net asset value (“NAV”) or market price per share. Dividends and distributions are assumed to be reinvested at NAV for NAV returns or the prices obtained under the Fund’s Dividend Reinvestment Plan for market value returns. Total investment return does not reflect brokerage commissions. A return calculated for a period of less than one year is not annualized.
|
(c)
|
The ratios of total expenses to average net assets applicable to common shares do not reflect fees and expenses incurred indirectly by the Fund as a result of its investment in shares of other investment companies. If these fees were included in the expense ratios, the expense ratios would increase by 0.03% for the year ended May 31, 2014, 0.05% for the year ended May 31, 2013, 0.04% for the year ended May 31, 2012, 0.03% for the year ended May 31, 2011, and 0.05% for the year ended May 31, 2010.
|
(d)
|
Portfolio turnover is not annualized for periods of less than one year.
|
(e)
|
Calculated by subtracting the Fund’s total liabilities (not including the borrowings) from the Fund’s total assets and dividing by the total borrowings.
|
(f)
|
Excluding interest expense, the operating expense ratios for the years ended May 31 would be:
|
2014
|
2013
|
2012
|
2011
|
2010
|
||||||
1.78
|
%
|
1.81
|
%
|
1.78
|
%
|
1.85
|
%
|
1.98
|
%
|
NOTES TO FINANCIAL STATEMENTS
|
May 31, 2014 |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Managed Assets
|
Rate
|
|||
First $200,000,000
|
0.0275 | % | ||
Next $300,000,000
|
0.0200 | % | ||
Next $500,000,000
|
0.0150 | % | ||
Over $1,000,000,000
|
0.0100 | % |
Managed Assets
|
Rate
|
|||
First $200,000,000
|
0.0300 | % | ||
Next $300,000,000
|
0.0150 | % | ||
Next $500,000,000
|
0.0100 | % | ||
Over $1,000,000,000
|
0.0075 | % | ||
Minimum Annual Charge Per Fund
|
$ | 50,000 | ||
Certain Out of Pocket Charges
|
Varies
|
Description (value in $000s)
|
Level 1
|
Level 2
|
Level 3
|
Total
|
||||||||||||
Assets:
|
||||||||||||||||
Corporate Bonds
|
$ | – | $ | 125,494 | $ | 737 | $ | 126,231 | ||||||||
Asset Backed Securities
|
– | 99,454 | 26,591 | 126,045 | ||||||||||||
Collateralized
|
||||||||||||||||
Mortgage Obligations
|
– | 24,512 | – | 24,512 | ||||||||||||
Term Loans
|
– | 70,230 | 6,792 | 77,022 | ||||||||||||
Common Stocks
|
395 | – | – | * | 395 | |||||||||||
Preferred Stocks
|
20,844 | 1,820 | – | 22,664 | ||||||||||||
Exchange Traded Funds
|
58,104 | – | – | 58,104 | ||||||||||||
Warrant
|
– | – | – | * | – | |||||||||||
Money Market Fund
|
16,351 | – | – | 16,351 | ||||||||||||
Forward Exchange
|
||||||||||||||||
Currency Contracts
|
– | 30 | – | 30 | ||||||||||||
Index Swaps
|
– | 8 | – | 8 | ||||||||||||
Total Assets
|
$ | 95,694 | $ | 321,548 | $ | 34,120 | $ | 451,362 | ||||||||
Liabilities:
|
||||||||||||||||
Credit Default Swaps
|
$ | – | $ | 110 | $ | – | $ | 110 | ||||||||
Options Written
|
1,583 | – | – | 1,583 | ||||||||||||
Forward Exchange
|
||||||||||||||||
Currency Contracts
|
– | 2 | 2 | |||||||||||||
Unfunded Commitments
|
– | 8 | – | 8 | ||||||||||||
Total Liabilities
|
$ | 1,583 | $ | 120 | $ | – | $ | 1,703 | ||||||||
* Market value is less than minimum amount disclosed.
|
Ending Balance
|
Valuation
|
Unobservable
|
||||
Category
|
at 5/31/14
|
Technique
|
Inputs
|
|||
Corporate Bonds
|
$ 737,150 |
Monthly Broker Quote
|
Indicative Quote
|
|||
Asset Backed Securities
|
$20,201,614 |
Monthly Broker Quote
|
Indicative Quote
|
|||
Term Loans
|
$13,181,702 |
Enterprise Value
|
Valuation Multiple*
|
|||
* Valuation multiples utilized ranged from 4 to 15.
|
Assets (Values in $000s)
|
Total
|
|||
Beginning Balance at 5/31/13
|
$ | 11,350 | ||
Paydowns Received
|
(5,189 | ) | ||
Payment-in-kind Distributions Received
|
43 | |||
Realized Gain/Loss
|
344 | |||
Change in Unrealized Gain/Loss
|
756 | |||
Purchases
|
18,057 | |||
Sales
|
(246 | ) | ||
Transfers into Level 3
|
12,092 | |||
Transfers out of Level 3
|
(3,087 | ) | ||
Ending Balance at 5/31/14
|
$ | 34,120 |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Undistributed Net Investment Income |
Accumulated
Gain/(Loss)Net Realized |
Paid in
Capital |
|||||
$6,150,293 | $(5,780,052) | $(370,241) |
Net Tax
|
|||||||
Cost of
|
Unrealized
|
||||||
Investments
|
Gross Tax
|
Gross Tax
|
Appreciation
|
||||
for Tax
|
Unrealized
|
Unrealized
|
on
|
||||
Purposes
|
Appreciation
|
Depreciation
|
Investments
|
||||
|
$439,509,065
|
|
$21,076,020
|
|
$(9,260,814)
|
|
$11,815,206
|
Undistributed
Long-Term
Capital Gains/
|
|||||
Undistributed
|
Accumulated
|
Net
|
|||
Ordinary
|
Capital and
|
Unrealized
|
|||
Income
|
Other Losses
|
Appreciation
|
|||
$12,007,536
|
$(2,159,032)
|
$10,882,047
|
Distributions paid from
|
2014
|
2013
|
||||||
Ordinary income
|
$ | 26,520,608 | $ | 21,756,314 | ||||
Long-term capital gain
|
5,245,435 | 2,072,578 | ||||||
$ | 31,766,043 | $ | 23,828,892 |
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Details of the transactions were as follows:
|
||||||||
Number of
Contracts |
Premium
Amount |
|||||||
Options outstanding, beginning of the period
|
6,979 | $ | 2,472,246 | |||||
Options written during the period
|
59,158 | 9,334,232 | ||||||
Options expired during the period
|
(557 | ) | (50,621 | ) | ||||
Options closed during the period
|
(52,217 | ) | (9,508,210 | ) | ||||
Options exercised during the period
|
(9,732 | ) | (1,491,626 | ) | ||||
Options outstanding, end of period
|
3,631 | $ | 756,021 |
Credit Default Swap Agreements
|
||||||||
Counterparty
|
Reference
Entity |
Buy/Sell
Protection |
Termination
Date |
Implied Credit
Spread at |
Notional
Amount (000s) |
Receiving
Fixed Rate |
Upfront
Premium |
Unrealized
Appreciation/ |
Basket of distinct
|
||||||||
Goldman Sachs(1)
|
corporate entities
|
Sell
|
09/21/14
|
0.16% | $3,000 | 1.180% |
$ –
|
$8,136 |
Index Swap Agreements
|
||||||||||||||
Counterparty
|
Index
|
Termination
Date |
Number
of Contracts |
Notional
Amount (000s) |
Unrealized
Appreciation/ |
|||||||||
Bank of America
|
Japanese Government 10-Year Bond Future
|
06/30/14
|
19 | $ | (27,128 | ) | $ | (109,932 | ) | |||||
Total Unrealized Depreciation for Swap Agreements
|
$ | (101,796 | ) |
(1)
|
The Fund receives a fixed rate based upon the notional amount of $3 million and if a defined credit event occurs, pays cumulative losses in excess of a stated percentage on an underlying basket of distinct corporate entities. The maximum loss exposure is $3 million.
|
(2)
|
Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues of an emerging country as of period end serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Contracts to Sell
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at
5/31/14 |
Unrealized
Appreciation/ |
||||||
EUR
|
1,200,000
|
||||||||||
for USD
|
1,662,720
|
Bank of America Merrill Lynch
|
6/2/2014
|
$
|
1,662,720
|
$
|
1,635,657
|
$
|
27,063
|
||
EUR
|
1,200,000
|
||||||||||
for USD
|
1,636,200
|
Bank of America Merrill Lynch
|
7/2/2014
|
1,636,200
|
1,636,215
|
(15
|
)
|
||||
EUR
|
1,215,000
|
||||||||||
for USD
|
1,656,671
|
Bank of America Merrill Lynch
|
7/2/2014
|
1,656,671
|
1,656,668
|
3
|
|||||
GBP
|
350,000
|
||||||||||
for USD
|
589,400
|
Bank of America Merrill Lynch
|
6/2/2014
|
589,400
|
586,706
|
2,694
|
|||||
GBP
|
350,000
|
||||||||||
for USD
|
586,815
|
Bank of America Merrill Lynch
|
6/2/2014
|
586,815
|
586,815
|
–
|
|||||
$
|
29,745
|
||||||||||
|
|||||||||||
Contracts to Buy
|
Counterparty
|
Settlement Date
|
Settlement Value
|
Value at
5/31/14 |
Unrealized
Appreciation/ |
||||||
EUR
|
1,200,000
|
||||||||||
for USD
|
1,636,320
|
Bank of America Merrill Lynch
|
6/2/2014
|
$
|
1,636,320
|
$
|
1,635,657
|
$
|
(663
|
)
|
|
EUR
|
1,200,000
|
||||||||||
for USD
|
1,636,680
|
The Bank of New York Mellon
|
6/2/2014
|
1,636,680
|
1,635,657
|
(1,023
|
)
|
||||
GBP
|
350,000
|
||||||||||
for USD
|
586,950
|
Bank of America Merrill Lynch
|
6/2/2014
|
586,950
|
586,707
|
(243
|
)
|
||||
(1,929
|
)
|
||||||||||
Total unrealized appreciation for forward exchange currency contracts
|
$
|
27,816
|
Statement of Asset and Liabilities Presentation of
|
|||||||
Fair Values of Derivative Instruments (value in $000s):
|
|||||||
Asset Derivatives
|
Liability Derivatives
|
||||||
Primary Risk Exposure
|
Statement of Assets and Liabilities Location
|
Fair Value |
Statement of Assets and Liabilities Location
|
Fair Value | |||
Equity risk
|
Investments in securities
|
$ |
–
|
Options Written
|
$
|
1,583
|
|
Foreign exchange risk
|
Unrealized appreciation on forward exchange currency contracts
|
30
|
Unrealized depreciation on forward exchange currency contracts
|
2
|
|||
Interest rate risk
|
Unrealized appreciation on swaps
|
–
|
Unrealized depreciation on swaps
|
110
|
|||
Credit risk
|
Unrealized appreciation on swaps
|
8
|
Unrealized depreciation on swaps
|
–
|
|||
Total
|
$
|
38
|
$
|
1,695
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Effect of Derivative Instruments on the Statement of Operations:
|
||||||||||||||||
Amount of Realized Gain (Loss) on Derivatives (value in $000s)
|
||||||||||||||||
Primary Risk Exposure
|
Written Options
|
Foreign Currency Transactions
|
Swaps |
Total
|
||||||||||||
Equity risk
|
$ | 1,115 | $ | – | $ | – | $ | 1,115 | ||||||||
Foreign exchange risk
|
– | 19 | – | 19 | ||||||||||||
Interest rate risk
|
– | – | (856 | ) | (856 | ) | ||||||||||
Credit risk
|
– | – | 64 | 64 | ||||||||||||
Total
|
$ | 1,115 | $ | 19 | $ | (792 | ) | $ | 342 |
Change in Unrealized Appreciation (Depreciation) on Derivatives (value in $000s) | ||||||||||||||||
Primary Risk Exposure
|
Written Options
|
Foreign Currency Translations
|
Swaps
|
Total | ||||||||||||
Equity risk
|
$ | (1,406 | ) | $ | – | $ | – | $ | (1,406 | ) | ||||||
Foreign exchange risk
|
– | 28 | – | 28 | ||||||||||||
Interest rate risk
|
– | – | (531 | ) | (531 | ) | ||||||||||
Credit risk
|
– | – | (112 | ) | (112 | ) | ||||||||||
Total
|
$ | (1,406 | ) | $ | 28 | $ | (643 | ) | $ | (2,021 | ) |
Forward Exchange Currency Contracts:
|
||||
Average Settlement Value Purchased
|
$ | 1,286,650 | ||
Average Settlement Value Sold
|
1,296,928 | |||
Ending Settlement Value Purchased
|
3,859,950 | |||
Ending Settlement Value Sold
|
5,544,991 |
Description
|
Gross Amounts
of Recognized |
Gross Amounts
Offset in the |
Net Amounts of Assets
Presented in the |
Gross Amounts Not
Offset in the |
Net
Amount |
|||
Credit Default Swap
|
$
|
8,136
|
$ –
|
$
|
8,136
|
$ –
|
$
|
8,136
|
Forward Exchange Currency Contract
|
29,760
|
–
|
29,760
|
1,944
|
27,816
|
|||
Description
|
Gross Amounts
of Recognized |
Gross Amounts
Offset in the |
Net Amounts of Liabilities
Presented in the |
Gross Amounts Not
Offset in the |
Net
Amount |
|||
Index Swap
|
$
|
109,932
|
$ –
|
$
|
109,932
|
$ –
|
$
|
109,932
|
Reverse Repurchase Agreement
|
75,641,024
|
–
|
75,641,024
|
75,641,024
|
–
|
|||
Forward Exchange Currency Contract
|
1,944
|
–
|
1,944
|
1,944
|
–
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
Counterparty
|
Range of Interest Rates
|
Range of Maturity Dates
|
Face Value | |
Barclays Capital, Inc.
|
0.58% - 1.99%
|
06/05/14 – 05/29/15
|
$
|
45,505,884
|
Citigroup, Inc.
|
0.10%
|
Open maturity
|
979,000
|
|
Credit Suisse Securities LLC
|
0.75%-0.95%
|
07/14/14 – 08/05/14
|
6,208,688
|
|
Goldman Sachs
|
1.03%
|
07/09/14
|
387,000
|
|
Merrill Lynch
|
1.57%-2.13%
|
06/05/14 – 08/27/14
|
11,436,502
|
|
Morgan Stanley, Inc.
|
0.65%
|
07/29/14
|
897,750
|
|
Nomura
|
1.23% - 2.34%
|
06/04/14 – 07/09/14
|
9,227,200
|
|
Wells Fargo Bank, Ltd.
|
1.50%
|
06/20/14
|
999,000
|
|
$
|
75,641,024
|
Borrower
|
Principal
Amount |
Unrealized
Appreciation/ |
||||||
AlliedBarton Security
|
$ | 273,973 | $ | (80 | ) | |||
Hearthside Foods
|
350,000 | – | ||||||
IntraWest Holdings
|
200,000 | (15 | ) | |||||
Men’s Wearhouse
|
300,000 | – | ||||||
Post Food Holdings
|
100,000 | – | ||||||
Servicemaster Co.
|
800,000 | (7,656 | ) | |||||
SI Organization
|
40,888 | 51 | ||||||
Total
|
$ | 2,064,861 | $ | (7,700 | ) |
Year ended
May 31, 2014 |
Year ended
May 31, 2013 |
|
Beginning Shares
|
13,672,683
|
10,913,698
|
Common shares issued through at-the-market offering
|
1,720,207
|
2,714,415
|
Shares issued through dividend reinvestment
|
74,185
|
44,570
|
Ending Shares
|
15,467,075
|
13,672,683
|
NOTES TO FINANCIAL STATEMENTS continued
|
May 31, 2014 |
SUPPLEMENTAL INFORMATION (Unaudited)
|
May 31, 2014 |
% Qualifying
|
% STCG Qualifying
|
||
42.85%
|
|
100.00%
|
|
# of Shares in Favor
|
# of Shares Against
|
# of Shares Abstained
|
||
12,348,879
|
371,125
|
143,629
|
||
With regards to the election of the following Trustees by common shareholders of the Fund:
|
||||
# of Shares in Favor
|
# of Shares Against
|
# of Shares Abstained
|
||
Randall II C. Barnes
|
12,470,380
|
290,615
|
102,639
|
|
Donald C. Cacciapaglia
|
12,380,566
|
374,454
|
108,614
|
|
Donald A. Chubb, Jr.
|
12,387,266
|
368,898
|
107,470
|
|
Jerry B. Farley
|
12,360,379
|
401,240
|
102,015
|
|
Roman Friedrich III
|
12,404,378
|
357,756
|
101,500
|
|
Maynard F. Oliverius
|
12,387,323
|
374,526
|
101,785
|
Name, Address*
and Year of Birth |
Position(s)
Held |
Term of Office
and Length |
Principal Occupation(s)
During Past Five Years |
Number of
Portfolios |
Other Directorships
Held by Trustees |
|
Independent Trustees:
|
||||||
Randall C. Barnes
|
Trustee
|
Since 2007
|
Current: Private Investor (2001-present).
|
86
|
None.
|
|
(1951) | ||||||
Former: Senior Vice President and Treasurer, PepsiCo, Inc. (1993-1997); President, Pizza Hut International (1991-1993); Senior Vice President, Strategic Planning and New Business Development, PepsiCo, Inc. (1987-1990).
|
||||||
Donald A. Chubb, Jr. (1946)
|
Trustee and Vice Chairman of the Board
|
Since 2014
|
Current: Business broker and manager of commercial real estate, Griffith & Blair, Inc. (1997-present).
|
82
|
None.
|
|
Jerry B. Farley
(1946) |
Trustee and Vice Chairman of the Audit Committee
|
Since 2014
|
Current: President, Washburn University (1997-present).
|
82
|
Current: Westar Energy, Inc. (2004-present); CoreFirst Bank & Trust (2000-present).
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2014 |
Name, Address*
and Year of Birth |
Position(s)
Held |
Term of Office
and Length |
Principal Occupation(s)
During Past Five Years |
Number of
Portfolios |
Other Directorships
Held by Trustees |
|
Independent Trustees continued
|
||||||
Roman Friedrich III
(1946)
|
Trustee and Chairman of the Contracts Review Committee
|
Since 2010
|
Current: Founder and President, Roman Friedrich & Company (1998-present).
|
82
|
Current: Mercator Minerals Ltd. (2013-present); Zincore Metals, Inc. (2009-present).
|
|
Former: Senior Managing Director, MLV & Co. LLC (2010-2011). |
Former: First Americas Gold Corp. (2012-2014);Blue Sky Uranium Corp. (2011-2012); Axiom Gold and Silver Corp. (2011-2012); Stratagold Corp. (2003-2009); GFM Resources Ltd. (2005-2010).
|
|||||
Robert B. Karn III
(1942)
|
Trustee and
Chairman of the
|
Since 2010
|
Current: Consultant (1998-present).
|
82
|
Current: Peabody Energy Company (2003-present); GP Natural.
|
|
Audit Committee
|
Former: Arthur Andersen (1965-1997) and Managing Partner, Financial and Economic Consulting, St. Louis office (1987-1997).
|
Resource Partners, LLC (2002- present). | ||||
Ronald A. Nyberg
(1953)
|
Trustee and
Chairman of
|
Since 2007
|
Current: Partner, Nyberg & Cassioppi, LLC (2000-present).
|
88
|
Current: Director, Edward-Elmhurst
Healthcare System (2012-present).
|
|
the Nominating
and Governance
Committee
|
Former: Executive Vice President, General Counsel, and
Corporate Secretary, Van Kampen Investments (1982-1999).
|
|||||
Maynard F. Oliverius
(1943)
|
Trustee and
Vice Chairman
|
Since 2014
|
Retired.
|
82
|
None.
|
|
of the Contracts
Review Committee
|
Former: President and CEO, Stormont-Vail HealthCare (1996-2012).
|
|||||
Ronald E. Toupin, Jr.
(1958)
|
Trustee and
Chairman of
|
Since 2007
|
Current: Portfolio Consultant (2010-present).
|
85
|
Former: Bennett Group of Funds
(2011-2013).
|
|
the Board
|
Former: Vice President, Manager and Portfolio Manager, Nuveen
Asset Management (1998-1999); Vice President, Nuveen Investment Advisory Corp. (1992-1999); Vice President and Manager, Nuveen Unit Investment Trusts (1991-1999); and Assistant Vice President and Portfolio Manager, Nuveen Unit Investment Trusts (1988-1999), each of John Nuveen & Co., Inc. (1982-1999).
|
|||||
Interested Trustee:
|
||||||
Donald C.
Cacciapaglia***
(1951)
|
President,
Chief Executive
Officer and
Trustee
|
Since 2012
|
Current: President and CEO, certain other funds in the Fund Complex (2012-present); Vice Chairman, Guggenheim Investments
(2010-present).
|
214
|
Current: Delaware Life (2013-present); Guggenheim Life and Annuity Company (2011-present); Paragon Life Insurance Company of Indiana (2011-present).
|
|
Former: Chairman and CEO, Channel Capital Group, Inc. (2002-2010).
|
*
|
The business address of each Trustee is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
|
**
|
This is the period for which the Trustee began serving the Fund. After a Trustee’s initial term, each Trustee is expected to serve a two-year term concurrent with the class of Trustees for which he serves:
|
|
-
|
Messrs. Barnes, Cacciapaglia, Chubb, Farley, Friedrich and Oliverius are Class I Trustees. Class I Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2016.
|
|
-
|
Messrs. Karn, Nyberg and Toupin are Class II Trustees. Class II Trustees are expected to stand for re-election at the Fund’s annual meeting of shareholders for the fiscal year ended May 31, 2015.
|
|
***
|
This Trustee is deemed to be an “interested person” of the Funds under the 1940 Act by reason of his position with the Funds’ Investment Manager and/or the parent of the Investment Manager.
|
|
(a)
|
As of April 3, 2014. At a special meeting of the shareholders held in April 2014, shareholders of the Trust elected the following individuals to serve as Trustees: Donald A. Chubb, Jerry B. Farley and Maynard F. Oliverius.
|
SUPPLEMENTAL INFORMATION (Unaudited) continued
|
May 31, 2014 |
Name, Address*
and Year of Birth |
Position(s) held
with the Trust |
Term of Office
and Length of |
Principal Occupations During Past Five Years
|
Joseph M. Arruda
(1966)
|
Assistant Treasurer
|
Since 2014
|
Current: Assistant Treasurer, certain other funds in the Fund Complex (2006-present); Vice President, Security Investors, LLC (2010-present); CFO and Manager, Guggenheim Specialized Products, LLC (2009-present).
|
Former: Vice President, Security Global Investors, LLC (2010-2011); Vice President, Rydex Advisors, LLC (2010); Vice President, Rydex Advisors II, LLC (2010).
|
|||
William H. Belden, III (1965)
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (2006-present); Managing Director, Guggenheim Funds Investment Advisors, LLC (2005-present).
|
Former: Vice President of Management, Northern Trust Global Investments (1999-2005).
|
|||
Joanna M. Catalucci
(1966)
|
Chief Compliance Officer
|
Since 2012
|
Current: Managing Director of Compliance and Fund Board Relations, Guggenheim Investments (2012-present).
|
Former: Secretary of certain funds in the Fund Complex.
|
|||
Mark J. Furjanic
(1959) |
Assistant Treasurer
|
Since 2008
|
Current: Vice President, Guggenheim Investments (2005-present); Assistant Treasurer, certain other funds in the Fund Complex (2008-present).
|
Former: Senior Manager, Ernst & Young LLP (1999-2005).
|
|||
James M. Howley
(1972)
|
Assistant Treasurer
|
Since 2007
|
Current: Director, Guggenheim Investments (2004-present); Assistant Treasurer, certain other funds in the Fund Complex (2006-present).
|
|
|||
Former: Manager, Mutual Fund Administration, Van Kampen Investments, Inc. (1996-2004).
|
|||
Amy J. Lee
(1961)
|
Chief Legal Officer
|
Since 2013
|
Current: Chief Legal Officer, certain other funds in the Fund Complex (2013-present); Senior Managing Director, Guggenheim Investments (2012-present).
|
|
|||
Former: Vice President, Associate General Counsel and Assistant Secretary, Security Benefit Life Insurance Company and Security Benefit Corporation (2004-2012).
|
|||
Derek D. Maltbie
(1972)
|
Assistant Treasurer
|
Since 2007
|
Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2011-present).
|
|
|||
Former: Assistant Vice President, Guggenheim Funds Investment Advisors, LLC (2005-2011); Supervisor, Mutual Fund Administration, Van Kampen Investments, Inc. (1995-2005).
|
|||
Mark E. Mathiasen
(1978)
|
Secretary
|
Since 2008
|
Current: Secretary, certain other funds in the Fund Complex (2007-present); Managing Director and Associate General Counsel, Guggenheim Funds Services, LLC, and affiliates (2007-present).
|
Michael P. Megaris
(1984)
|
Assistant Secretary
|
Since 2014
|
Current: Assistant Secretary, certain other funds in the Fund Complex (April 2014-present); Associate, Guggenheim Investments (2012-present).
|
|
|||
Former: J.D., University of Kansas School of Law (2009-2012).
|
|||
Kimberly J. Scott
(1974)
|
Assistant Treasurer
|
Since 2012
|
Current: Vice President, Guggenheim Investments (2012-present); Assistant Treasurer, certain other funds in the Fund Complex (2012-present).
|
|
|||
Former: Financial Reporting Manager, Invesco, Ltd. (2010-2011); Vice President/Assistant Treasurer, Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2009-2010); Manager of Mutual Fund Administration, Van Kampen Investments, Inc./Morgan Stanley Investment Management (2005-2009).
|
|||
Bryan Stone
(1979)
|
Vice President
|
Since 2014
|
Current: Vice President, certain other funds in the Fund Complex (April 2014-present); Director, Guggenheim Investments (2013-present).
|
Former: Senior Vice President, Neuberger Berman Group LLC (2009-2013); Vice President, Morgan Stanley (2002-2009).
|
|||
John L. Sullivan
(1955)
|
Chief Financial Officer, Chief
Accounting
|
Since 2011
|
Current: CFO, Chief Accounting Officer and Treasurer, certain other funds in the Fund Complex (2010-present); Senior Managing Director, Guggenheim Investments (2010-present).
|
Officer and Treasurer
|
Former: Managing Director and CCO, each of the funds in the Van Kampen Investments fund complex (2004-2010); Managing Director and Head of Fund Accounting and Administration, Morgan Stanley Investment Management (2002-2004); CFO and Treasurer, Van Kampen Funds (1996-2004).
|
*
|
The business address of each officer is c/o Guggenheim Investments, 227 West Monroe Street, Chicago, IL 60606.
|
**
|
Each officer serves an indefinite term, until his or her successor is duly elected and qualified. The date reflects the commencement date upon which the officer held any officer position with the Fund.
|
DIVIDEND REINVESTMENT PLAN (Unaudited)
|
May 31, 2014 |
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF)
CONTRACTS REVIEW COMMITTEE continued |
May 31, 2014 |
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF)
CONTRACTS REVIEW COMMITTEE continued |
May 31, 2014 |
REPORT OF THE GUGGENHEIM STRATEGIC OPPORTUNITIES FUND (GOF)
CONTRACTS REVIEW COMMITTEE continued |
May 31, 2014 |
FUND INFORMATION
|
May 31, 2014 |
Board of Trustees
|
Principal Executive
|
Investment Adviser
|
Custodian
|
|
Randall C. Barnes
|
Officers
|
Guggenheim Funds
|
The Bank of New York
|
|
Donald C. Cacciapaglia*
|
Donald C. Cacciapaglia
|
John L. Sullivan
|
Investment Advisors, LLC
|
Mellon
|
Donald A. Chubb
|
Chief Executive Officer
|
Chief Financial
|
Chicago, IL
|
New York, NY
|
Jerry B. Farley |
Officer, Chief
|
|||
Roman Friedrich III
|
Joanna M. Catalucci
|
Accounting Officer |
Investment Sub-Adviser
|
Legal Counsel
|
Robert B. Karn III
|
Chief Compliance Officer
|
and Treasurer
|
Guggenheim Partners |
Skadden, Arps, Slate,
|
Ronald A. Nyberg |
Investment
|
Meagher & Flom LLP
|
||
Maynard F. Oliverius
|
Amy J. Lee
|
Management, LLC
|
New York, NY
|
|
Ronald E. Toupin, Jr.,
|
Chief Legal Officer
|
Santa Monica, CA
|
||
Chairperson
|
Independent Registered
|
|||
Mark E. Mathiasen |
Administrator and
|
Public Accounting Firm
|
||
* Trustee is an “interested
|
Secretary
|
Accounting Agent
|
Ernst & Young LLP
|
|
person” (as defined in
|
Rydex Fund Services, LLC
|
McLean, VA
|
||
section 2(a)(19) of the
|
Rockville, MD
|
|||
1940 Act) (“Interested
|
||||
Trustee”) of the Trust be-
|
||||
cause of his position as
|
||||
the President and CEO of
|
||||
the Investment Adviser
|
||||
and Distributor.
|
·
|
If your shares are held in a Brokerage Account, contact your Broker.
|
·
|
If you have physical possession of your shares in certificate form, contact the Fund’s Transfer Agent:
|
|
Computershare Shareowner Services LLC, P.O. Box 30170 College Station, TX 77842-3170; (866) 488-3559
|
(a)
|
The categories of services to be reviewed and considered for pre-approval include the following:
|
·
|
Annual financial statement audits
|
·
|
Seed audits (related to new product filings, as required)
|
·
|
SEC and regulatory filings and consents
|
·
|
Accounting consultations
|
·
|
Fund merger/reorganization support services
|
·
|
Other accounting related matters
|
·
|
Agreed upon procedures reports
|
·
|
Attestation reports
|
·
|
Other internal control reports
|
·
|
Tax compliance services related to the filing of amendments:
|
o
|
Federal, state and local income tax compliance
|
o
|
Sales and use tax compliance
|
·
|
Timely RIC qualification reviews
|
·
|
Tax distribution analysis and planning
|
·
|
Tax authority examination services
|
·
|
Tax appeals support services
|
·
|
Accounting methods studies
|
·
|
Fund merger support services
|
·
|
Tax compliance, planning and advice services and related projects
|
(b)
|
The Committee has pre-approved those services, which fall into one of the categories of services listed under 2(a) above and for which the estimated fees are less than $25,000.
|
(c)
|
For services with estimated fees of $25,000 or more, but less than $50,000, the Chair is hereby authorized to pre-approve such services on behalf of the Committee.
|
(d)
|
For services with estimated fees of $50,000 or more, such services require pre-approval by the Committee.
|
(e)
|
The independent auditors or the Chief Accounting Officer of the Trust (or an officer of the Trust who reports to the Chief Accounting Officer) shall report to the Committee at each of its regular quarterly meetings all audit, audit-related and permissible non-audit services initiated since the last such report (unless the services were contained in the initial audit plan, as previously presented to, and approved by, the Committee). The report shall include a general description of the services and projected fees, and the means by which such services were approved by the Committee (including the particular category listed above under which pre-approval was obtained).
|
(a)
|
The Chair or any member of the Committee may grant the pre-approval for non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the estimated fees are less than $25,000. All such delegated pre-approvals shall be presented to the Committee no later than the next Committee meeting.
|
(b)
|
For non-audit services to the Adviser (or any “control affiliate” of the Adviser providing ongoing services to the Trust) relating directly to the operations and financial reporting of the Trust for which the estimated fees are $25,000 or more, such services require pre-approval by the Committee.
|
Name
|
Since
|
Professional Experience During the Last Five Years
|
Scott Minerd - CIO
|
2013
|
Guggenheim Partners Investment Management, LLC: CEO and CIO – 2005–Present; Guggenheim Partners, LLC: Managing Partner – Insurance Advisory – 1998–Present.
|
Anne B. Walsh, CFA, FLMI – Senior Managing Director
|
2013
|
Guggenheim Partners Investment Management, LLC: Senior Managing Director and Assistant Chief Investment Officer – 2007–Present. Former, Reinsurance Group of America, Inc.: Senior Vice President and Chief Investment Officer – 2000–2007.
|
James W. Michal – Managing Director
|
2013
|
Guggenheim Partners Investment Management, LLC.: Managing Director – 2008–Present. Formerly, Wachovia Capital Markets, LLC – Structured Finance Division: Associate – 2004–2008.
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts
In Which the Advisory Fee is Based on Performance |
Total Assets in the Accounts
In Which the Advisory Fee is Based on Performance |
Registered investments companies
|
30
|
$8,290,068,918
|
0
|
$0
|
Other pooled investment vehicles
|
69
|
$18,432,033,671
|
26
|
$11,275,128,108
|
Other accounts
|
130
|
$105,681,809,915
|
10
|
$983,812,485
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts
In Which the Advisory Fee is Based on Performance |
Total Assets in the Accounts
In Which the Advisory Fee is Based on Performance |
Registered investments companies
|
22
|
$6,876,547,234
|
0
|
$0
|
Other pooled investment vehicles
|
2
|
$3,248,452,917
|
2
|
$3,248,452,917
|
Other accounts
|
27
|
$84,156,802,200
|
1
|
$516,073,190
|
Type of Account
|
Number of Accounts
|
Total Assets in the Accounts
|
Number of Accounts
In Which the Advisory Fee is Based on Performance |
Total Assets in the Accounts
In Which the Advisory Fee is Based on Performance |
Registered investments companies
|
26
|
$6,609,978,642
|
0
|
$0
|
Other pooled investment vehicles
|
3
|
$3,323,395,506
|
2
|
$3,236,158,577
|
Other accounts
|
11
|
$1,558,119,824
|
3
|
$741,815,226
|
Name of Portfolio Manager
|
Dollar Amount of Equity Securities in Fund
|
Scott Minerd
|
None
|
Anne B. Walsh
|
$100,001-$500,000
|
James W. Michal
|
None
|