|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
Marine1.94%
|
|
|
|
|
|
CAI International, Inc.
A
|
|
|
1,096
|
|
|
$
|
22
|
|
Martin Midstream Partners LP
B
|
|
|
199
|
|
|
|
6
|
|
Navios Maritime Holdings, Inc.
|
|
|
4,728
|
|
|
|
18
|
|
Safe Bulkers, Inc.
|
|
|
5,926
|
|
|
|
21
|
|
Ship Finance International Ltd.
|
|
|
2,817
|
|
|
|
46
|
|
StealthGas, Inc.
A
|
|
|
1,388
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
123
|
|
|
|
|
|
|
|
|
|
|
Road & Rail0.90%
|
|
|
|
|
|
Marten Transport Ltd.
|
|
|
625
|
|
|
|
11
|
|
Patriot Transportation Holding, Inc.
A
|
|
|
91
|
|
|
|
2
|
|
Quality Distribution, Inc.
A
|
|
|
1,451
|
|
|
|
10
|
|
Roadrunner Transportation Systems, Inc.
A
|
|
|
306
|
|
|
|
6
|
|
Saia, Inc.
A
|
|
|
447
|
|
|
|
10
|
|
TravelCenters of America LLC
D
|
|
|
2,218
|
|
|
|
10
|
|
Universal Truckload Services, Inc.
|
|
|
509
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors0.69%
|
|
|
|
|
|
Textainer Group Holdings Ltd.
|
|
|
1,450
|
|
|
|
44
|
|
Transportation Infrastructure0.32%
|
|
|
|
|
|
Macquarie Infrastructure Co. LLC
D
|
|
|
462
|
|
|
|
20
|
|
|
|
|
|
|
|
|
|
|
Total Industrials
|
|
|
|
|
|
|
1,201
|
|
|
|
|
|
|
|
|
|
|
INFORMATION TECHNOLOGY10.46%
|
|
|
|
|
|
Communications Equipment1.07%
|
|
|
|
|
|
Aware, Inc.
|
|
|
481
|
|
|
|
3
|
|
Black Box Corp.
|
|
|
615
|
|
|
|
15
|
|
CalAmp Corp.
A
|
|
|
295
|
|
|
|
3
|
|
Globecomm Systems, Inc.
A
|
|
|
252
|
|
|
|
3
|
|
Mitel Networks Corp.
A
|
|
|
3,905
|
|
|
|
13
|
|
Symmetricom, Inc.
A
|
|
|
1,004
|
|
|
|
6
|
|
Verint Systems, Inc.
A
|
|
|
895
|
|
|
|
25
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals0.71%
|
|
|
|
|
|
Cray, Inc.
A
|
|
|
1,094
|
|
|
|
16
|
|
Electronics for Imaging, Inc.
A
|
|
|
1,070
|
|
|
|
19
|
|
Super Micro Computer, Inc.
A
|
|
|
1,069
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment & Instruments3.82%
|
|
|
|
|
|
AVX Corp.
|
|
|
3,459
|
|
|
|
36
|
|
Coherent, Inc.
|
|
|
575
|
|
|
|
28
|
|
ePlus, Inc.
|
|
|
303
|
|
|
|
12
|
|
Littelfuse, Inc.
|
|
|
557
|
|
|
|
33
|
|
Measurement Specialties, Inc.
A
|
|
|
355
|
|
|
|
11
|
|
Methode Electronics, Inc.
|
|
|
452
|
|
|
|
4
|
|
MTS Systems Corp.
|
|
|
475
|
|
|
|
23
|
|
Multi-Fineline Electronix, Inc.
A
|
|
|
648
|
|
|
|
11
|
|
Orbotech Ltd.
|
|
|
1,451
|
|
|
|
12
|
|
Sanmina Corp.
A
|
|
|
1,841
|
|
|
|
17
|
|
Scansource, Inc.
A
|
|
|
890
|
|
|
|
26
|
|
Sypris Solutions, Inc.
|
|
|
915
|
|
|
|
4
|
|
Tessco Technologies, Inc.
|
|
|
252
|
|
|
|
5
|
|
TTM Technologies, Inc.
A
|
|
|
1,477
|
|
|
|
13
|
|
Zygo Corp.
A
|
|
|
504
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
242
|
|
|
|
|
|
|
|
|
|
|
Internet Software & Services0.44%
|
|
|
|
|
|
Perficient, Inc.
A
|
|
|
759
|
|
|
|
8
|
|
United Online, Inc.
|
|
|
3,479
|
|
|
|
20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Services1.25%
|
|
|
|
|
|
Computer Task Group, Inc.
A
|
|
|
418
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
Exponent, Inc.
A
|
|
|
248
|
|
|
$
|
13
|
|
iGATE Corp.
A
|
|
|
1,465
|
|
|
|
21
|
|
Lionbridge Technologies
A
|
|
|
1,673
|
|
|
|
7
|
|
Sykes Enterprises, Inc.
A
|
|
|
1,303
|
|
|
|
19
|
|
Virtusa Corp.
A
|
|
|
673
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
79
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment &
Products2.40%
|
|
|
|
|
|
Alpha & Omega Semiconductor Ltd.
A
|
|
|
690
|
|
|
|
6
|
|
Amkor Technology, Inc.
A
|
|
|
4,221
|
|
|
|
18
|
|
Brooks Automation, Inc.
|
|
|
764
|
|
|
|
6
|
|
GSI Group, Inc.
A
|
|
|
926
|
|
|
|
7
|
|
Integrated Silicon Solution, Inc.
A
|
|
|
1,581
|
|
|
|
14
|
|
IXYS Corp.
|
|
|
1,131
|
|
|
|
9
|
|
Magnachip Semiconductor Corp.
A
|
|
|
1,374
|
|
|
|
17
|
|
Microsemi Corp.
|
|
|
2,476
|
|
|
|
48
|
|
Nova Measuring Instruments Ltd.
A
|
|
|
815
|
|
|
|
6
|
|
PDF Solutions, Inc.
A
|
|
|
522
|
|
|
|
7
|
|
Rudolph Technologies, Inc.
A
|
|
|
430
|
|
|
|
5
|
|
Tower Semiconductor Ltd.
|
|
|
1,049
|
|
|
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
152
|
|
|
|
|
|
|
|
|
|
|
Software0.77%
|
|
|
|
|
|
|
|
|
Actuate Corp.
A
|
|
|
625
|
|
|
|
3
|
|
American Software, Inc., Class A
|
|
|
231
|
|
|
|
2
|
|
EPIQ Systems, Inc.
|
|
|
752
|
|
|
|
9
|
|
Magic Software Enterprises Ltd.
|
|
|
1,384
|
|
|
|
6
|
|
Net 1 UEPS Technologies, Inc.
A
|
|
|
2,324
|
|
|
|
18
|
|
Telenav, Inc.
A
|
|
|
1,323
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology
|
|
|
|
663
|
|
|
|
|
|
|
|
|
|
|
MATERIALS4.29%
|
|
|
|
|
|
|
|
|
Chemicals2.77%
|
|
|
|
|
|
|
|
|
A Schulman, Inc.
|
|
|
925
|
|
|
|
24
|
|
China Green Agriculture, Inc.
A
|
|
|
4,143
|
|
|
|
14
|
|
FutureFuel Corp.
|
|
|
1,479
|
|
|
|
17
|
|
Hawkins, Inc.
|
|
|
213
|
|
|
|
9
|
|
Innospec, Inc.
|
|
|
902
|
|
|
|
29
|
|
KMG Chemicals, Inc.
|
|
|
317
|
|
|
|
6
|
|
Landec Corp.
A
|
|
|
615
|
|
|
|
6
|
|
NL Industries, Inc.
|
|
|
2,676
|
|
|
|
29
|
|
OMNOVA Solutions, Inc.
A
|
|
|
1,419
|
|
|
|
11
|
|
Stepan Co.
|
|
|
289
|
|
|
|
28
|
|
Zep, Inc.
|
|
|
276
|
|
|
|
3
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
176
|
|
|
|
|
|
|
|
|
|
|
Construction Materials0.13%
|
|
|
|
|
|
|
|
|
United States Lime & Minerals, Inc.
A
|
|
|
171
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging0.13%
|
|
|
|
|
|
AEP Industries, Inc.
A
|
|
|
139
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining1.17%
|
|
|
|
|
|
|
|
|
China Gerui Advanced Materials Group Ltd.
A
|
|
|
1,951
|
|
|
|
2
|
|
Gibraltar Industries, Inc.
A
|
|
|
645
|
|
|
|
9
|
|
Metals USA Holdings Corp.
|
|
|
1,577
|
|
|
|
25
|
|
MFC Industrial Ltd.
|
|
|
1,266
|
|
|
|
11
|
|
NN, Inc.
A
|
|
|
856
|
|
|
|
7
|
|
Noranda Aluminum Holding Corp.
|
|
|
2,041
|
|
|
|
12
|
|
Olympic Steel, Inc.
|
|
|
404
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
74
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products0.09%
|
|
|
|
|
|
Mercer International, Inc.
A
|
|
|
909
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
Total Materials
|
|
|
|
|
|
|
272
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
TELECOMMUNICATION
SERVICES0.76%
|
|
|
|
|
|
Diversified Telecommunication
Services0.30%
|
|
|
|
|
|
Atlantic Tele-Network, Inc.
|
|
|
373
|
|
|
$
|
13
|
|
Shenandoah Telecommunications Co.
|
|
|
409
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19
|
|
|
|
|
|
|
|
|
|
|
Wireless Telecommunication
Services0.46%
|
|
|
|
|
|
Iridium Communications, Inc.
A
|
|
|
2,536
|
|
|
|
16
|
|
USA Mobility, Inc.
|
|
|
1,091
|
|
|
|
13
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services
|
|
|
|
48
|
|
|
|
|
|
|
|
|
|
|
UTILITIES0.92%
|
|
|
|
|
|
|
|
|
Electric Utilities0.64%
|
|
|
|
|
|
|
|
|
MGE Energy, Inc.
|
|
|
490
|
|
|
|
24
|
|
Otter Tail Corp.
|
|
|
357
|
|
|
|
9
|
|
Pike Electric Corp.
|
|
|
672
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40
|
|
|
|
|
|
|
|
|
|
|
Water Utilities0.28%
|
|
|
|
|
|
|
|
|
Connecticut Water Service, Inc.
|
|
|
148
|
|
|
|
5
|
|
Middlesex Water Co.
|
|
|
273
|
|
|
|
5
|
|
SJW Corp.
|
|
|
343
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18
|
|
|
|
|
|
|
|
|
|
|
Total Utilities
|
|
|
|
|
|
|
58
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $5,671)
|
|
|
|
5,923
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM
INVESTMENTS5.22% (Cost $331)
|
|
|
|
|
|
JPMorgan U.S. Government Money Market Fund, Capital Class
|
|
|
331,363
|
|
|
|
331
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS98.69% (Cost $6,002)
|
|
|
|
6,254
|
|
OTHER ASSETS, NET OF LIABILITIES1.31%
|
|
|
|
83
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS100.00%
|
|
|
$
|
6,337
|
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
A
|
Non-income producing security.
|
D
|
Limited Liability Company.
|
E
|
Business
Development Company.
|
F
|
Valued at Fair Value pursuant to procedures approved by the Board of Trustees.
|
Futures Contracts Open on November 30, 2012 ($000s):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Type
|
|
|
Number of
Contracts
|
|
|
Expiration Date
|
|
|
Contract Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Russell 2000 Mini Index Future
|
|
|
Long
|
|
|
|
4
|
|
|
|
December, 2012
|
|
|
$
|
328
|
|
|
$
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
328
|
|
|
$
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Beacon Zebra Large Cap Equity Fund (Effective 12-31-12 Fund changed to Zebra Global Equity Fund)
Schedule of Investments
November 30, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
COMMON STOCK94.39%
|
|
|
|
|
|
|
|
|
CONSUMER DISCRETIONARY7.66%
|
|
Auto Components1.79%
|
|
|
|
|
|
|
|
|
Autoliv, Inc.
|
|
|
202
|
|
|
$
|
12
|
|
Delphi Automotive plc
A
|
|
|
469
|
|
|
|
16
|
|
LKQ Corp.
A
|
|
|
554
|
|
|
|
12
|
|
Magna International, Inc., Class A
|
|
|
1,227
|
|
|
|
57
|
|
Toyota Industries Corp.
A
|
|
EUR
|
1,900
|
|
|
|
57
|
|
TRW Automotive Holdings Corp.
A
|
|
|
697
|
|
|
|
35
|
|
Westinghouse Air Brake Technologies Corp.
|
|
|
77
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
196
|
|
|
|
|
|
|
|
|
|
|
Automobiles0.52%
|
|
|
|
|
|
|
|
|
Daimler AG
|
|
EUR
|
725
|
|
|
|
36
|
|
General Motors Co.
A
|
|
|
817
|
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57
|
|
|
|
|
|
|
|
|
|
|
Distributors0.16%
|
|
|
|
|
|
|
|
|
Genuine Parts Co.
|
|
|
263
|
|
|
|
17
|
|
|
|
|
|
|
|
|
|
|
Hotels, Restaurants & Leisure0.42%
|
|
|
|
|
|
|
|
|
Icahn Enterprises LP
B
|
|
|
1,153
|
|
|
|
46
|
|
|
|
|
|
|
|
|
|
|
Household Durables0.30%
|
|
|
|
|
|
|
|
|
Garmin Ltd.
|
|
|
557
|
|
|
|
21
|
|
Snap-On, Inc.
|
|
|
146
|
|
|
|
12
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33
|
|
|
|
|
|
|
|
|
|
|
Internet & Catalog Retail0.20%
|
|
|
|
|
|
|
|
|
Liberty Media CorpLiberty Capital, Class A
A
|
|
|
196
|
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
Leisure Equipment & Products0.07%
|
|
|
|
|
|
|
|
|
Mattel, Inc.
|
|
|
222
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
Media3.12%
|
|
|
|
|
|
|
|
|
Comcast Corp., Class A
|
|
|
1,312
|
|
|
|
49
|
|
DIRECTV
A
|
|
|
591
|
|
|
|
29
|
|
John Wiley & Sons, Inc., Class A
|
|
|
156
|
|
|
|
7
|
|
Nielsen Holdings N.V.
A
|
|
|
936
|
|
|
|
27
|
|
Omnicom Group, Inc.
|
|
|
484
|
|
|
|
24
|
|
Thomson Reuters Corp.
|
|
|
2,532
|
|
|
|
70
|
|
Time Warner Cable, Inc.
|
|
|
633
|
|
|
|
60
|
|
Viacom, Inc., Class B
|
|
|
1,488
|
|
|
|
76
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
342
|
|
|
|
|
|
|
|
|
|
|
Multiline Retail0.29%
|
|
|
|
|
|
|
|
|
Dollar General Corp.
A
|
|
|
637
|
|
|
|
32
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail0.46%
|
|
|
|
|
|
|
|
|
Cabelas, Inc.
A
|
|
|
119
|
|
|
|
6
|
|
Copart, Inc.
A
|
|
|
225
|
|
|
|
7
|
|
Inditex
A
|
|
EUR
|
172
|
|
|
|
24
|
|
Penske Automotive Group, Inc.
|
|
|
218
|
|
|
|
6
|
|
Sally Beauty Holdings, Inc.
A
|
|
|
291
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50
|
|
|
|
|
|
|
|
|
|
|
Textiles & Apparel0.33%
|
|
|
|
|
|
|
|
|
LVMH Moet Hennessy Louis Vuitton
A
|
|
EUR
|
205
|
|
|
|
36
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary
|
|
|
|
|
|
|
839
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
(000s)
|
|
CONSUMER STAPLES10.71%
|
|
|
|
|
|
|
|
|
Beverages2.47%
|
|
|
|
|
|
|
|
|
|
|
Anheuser-Busch InBev N.V.
|
|
|
|
EUR
|
456
|
|
|
$
|
40
|
|
Brown-Forman Corp., Class B
|
|
|
|
|
245
|
|
|
|
17
|
|
Coca-Cola Co.
|
|
|
|
|
2,867
|
|
|
|
108
|
|
Constellation Brands, Inc., Class A
A
|
|
|
|
|
567
|
|
|
|
20
|
|
Molson Coors Brewing Co., Class B
|
|
|
|
|
399
|
|
|
|
17
|
|
PepsiCo, Inc.
|
|
|
|
|
977
|
|
|
|
69
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
271
|
|
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailing2.59%
|
|
|
|
|
|
Costco Wholesale Corp.
|
|
|
|
|
227
|
|
|
|
24
|
|
Sysco Corp.
|
|
|
|
|
1,035
|
|
|
|
33
|
|
Wal-Mart Stores, Inc.
|
|
|
|
|
3,153
|
|
|
|
226
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
283
|
|
|
|
|
|
|
|
|
|
|
|
|
Food Products2.08%
|
|
|
|
|
|
|
|
|
|
|
Archer-Daniels-Midland Co.
|
|
|
|
|
1,529
|
|
|
|
41
|
|
Bunge Ltd.
|
|
|
|
|
413
|
|
|
|
30
|
|
Campbell Soup Co.
|
|
|
|
|
613
|
|
|
|
23
|
|
Hormel Foods Corp.
|
|
|
|
|
822
|
|
|
|
25
|
|
Ingredion, Inc.
|
|
|
|
|
186
|
|
|
|
12
|
|
JM Smucker Co.
|
|
|
|
|
186
|
|
|
|
16
|
|
Kellogg Co.
|
|
|
|
|
697
|
|
|
|
39
|
|
McCormick & Co., Inc.
C
|
|
|
|
|
242
|
|
|
|
16
|
|
Seaboard Corp.
|
|
|
|
|
11
|
|
|
|
26
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
228
|
|
|
|
|
|
|
|
|
|
|
|
|
Household Products1.80%
|
|
|
|
|
|
|
|
|
|
|
Church & Dwight Co., Inc.
|
|
|
|
|
201
|
|
|
|
11
|
|
Kimberly-Clark Corp.
|
|
|
|
|
755
|
|
|
|
65
|
|
Procter & Gamble Co.
|
|
|
|
|
1,738
|
|
|
|
121
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
197
|
|
|
|
|
|
|
|
|
|
|
|
|
Tobacco1.77%
|
|
|
|
|
|
|
|
|
|
|
Philip Morris International, Inc.
|
|
|
|
|
1,318
|
|
|
|
119
|
|
Reynolds American, Inc.
|
|
|
|
|
1,724
|
|
|
|
75
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples
|
|
|
|
|
|
|
|
|
1,173
|
|
|
|
|
|
|
|
|
|
|
|
|
ENERGY8.91%
|
|
|
|
|
|
|
|
|
|
|
Energy0.05%
|
|
|
|
|
|
|
|
|
|
|
Access Midstream Partners LP
B
|
|
|
|
|
158
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Equipment & Services0.05%
|
|
|
|
|
|
Unit Corp.
A
|
|
|
|
|
139
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas8.81%
|
|
|
|
|
|
|
|
|
|
|
Alliance Holdings GP LP
B
|
|
|
|
|
214
|
|
|
|
10
|
|
Chevron Corp.
|
|
|
|
|
2,133
|
|
|
|
225
|
|
Energy Transfer Equity LP
B
|
|
|
|
|
349
|
|
|
|
16
|
|
Enterprise Products Partners LP
B
|
|
|
|
|
805
|
|
|
|
42
|
|
Exxon Mobil Corp.
|
|
|
|
|
2,626
|
|
|
|
231
|
|
HollyFrontier Corp.
|
|
|
|
|
773
|
|
|
|
35
|
|
Idemitsu Kosan Co. Ltd.
|
|
|
|
YEN
|
700
|
|
|
|
57
|
|
Kinder Morgan Inc.
|
|
|
|
|
1,961
|
|
|
|
66
|
|
Linn Energy LLC
D
|
|
|
|
|
629
|
|
|
|
25
|
|
Magellan Midstream Partners LP
B
|
|
|
|
|
1,281
|
|
|
|
57
|
|
Marathon Petroleum Corp.
|
|
|
|
|
428
|
|
|
|
25
|
|
NuStar Energy LP
B
|
|
|
|
|
142
|
|
|
|
7
|
|
Occidental Petroleum Corp.
|
|
|
|
|
706
|
|
|
|
53
|
|
Plains All American Pipeline LP
B
|
|
|
|
|
1,243
|
|
|
|
58
|
|
Spectra Energy Corp.
|
|
|
|
|
1,181
|
|
|
|
33
|
|
Sunoco Logistics Partners LP
B
|
|
|
|
|
465
|
|
|
|
24
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
964
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
|
|
976
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
FINANCIALS20.28%
|
|
|
|
|
|
|
|
|
Banks4.77%
|
|
|
|
|
|
|
|
|
Bank of New York Mellon Corp.
|
|
|
4,148
|
|
|
$
|
99
|
|
BB&T Corp.
|
|
|
1,218
|
|
|
|
34
|
|
BOK Financial Corp.
|
|
|
360
|
|
|
|
20
|
|
Commerce Bancshares, Inc.
|
|
|
226
|
|
|
|
8
|
|
East West Bancorp, Inc.
|
|
|
287
|
|
|
|
6
|
|
First Republic Bank
|
|
|
392
|
|
|
|
13
|
|
Hudson City Bancorp, Inc.
|
|
|
1,463
|
|
|
|
12
|
|
M&T Bank Corp.
|
|
|
262
|
|
|
|
26
|
|
Northern Trust Corp.
|
|
|
200
|
|
|
|
10
|
|
Ocwen Financial Corp.
A
|
|
|
355
|
|
|
|
13
|
|
PNC Financial Services Group, Inc.
|
|
|
463
|
|
|
|
26
|
|
U.S. Bancorp
|
|
|
1,570
|
|
|
|
51
|
|
Wells Fargo & Co.
|
|
|
6,192
|
|
|
|
204
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
522
|
|
|
|
|
|
|
|
|
|
|
Diversified Financials4.07%
|
|
|
|
|
|
|
|
|
American Express Co.
|
|
|
871
|
|
|
|
49
|
|
Ameriprise Financial, Inc.
|
|
|
468
|
|
|
|
28
|
|
BlackRock, Inc., Class A
|
|
|
395
|
|
|
|
78
|
|
Credit Acceptance Corp.
A
|
|
|
92
|
|
|
|
8
|
|
Discover Financial Services
|
|
|
1,854
|
|
|
|
77
|
|
Franklin Resources, Inc.
|
|
|
714
|
|
|
|
94
|
|
Raymond James Financial, Inc.
|
|
|
272
|
|
|
|
10
|
|
SEI Investments Co.
|
|
|
311
|
|
|
|
7
|
|
SLM Corp.
|
|
|
2,013
|
|
|
|
33
|
|
State Street Corp.
|
|
|
1,159
|
|
|
|
52
|
|
Towers Watson & Co., Class A
|
|
|
182
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
446
|
|
|
|
|
|
|
|
|
|
|
Insurance9.91%
|
|
|
|
|
|
|
|
|
ACE Ltd.
|
|
|
1,236
|
|
|
|
98
|
|
Aflac, Inc.
|
|
|
2,236
|
|
|
|
118
|
|
Alleghany Corp.
|
|
|
54
|
|
|
|
19
|
|
Allied World Assurance Co. Holdings AG
|
|
|
86
|
|
|
|
7
|
|
Allstate Corp.
|
|
|
420
|
|
|
|
17
|
|
Alterra Capital Holdings Ltd.
|
|
|
225
|
|
|
|
5
|
|
American Financial Group, Inc.
|
|
|
496
|
|
|
|
20
|
|
American National Insurance Co.
|
|
|
137
|
|
|
|
9
|
|
Aon plc
|
|
|
592
|
|
|
|
34
|
|
Arch Capital Group Ltd.
A
|
|
|
565
|
|
|
|
25
|
|
Assurant, Inc.
|
|
|
274
|
|
|
|
9
|
|
Assured Guaranty Ltd.
|
|
|
1,900
|
|
|
|
27
|
|
Axis Capital Holdings Ltd.
|
|
|
167
|
|
|
|
6
|
|
Berkshire Hathaway, Inc., Class A
A
|
|
|
1
|
|
|
|
132
|
|
Chubb Corp.
|
|
|
596
|
|
|
|
46
|
|
CNA Financial Corp.
|
|
|
1,649
|
|
|
|
47
|
|
CNO Financial Group, Inc.
|
|
|
1,137
|
|
|
|
10
|
|
Erie Indemnity Co., Class A
|
|
|
108
|
|
|
|
8
|
|
Everest Re Group Ltd.
|
|
|
61
|
|
|
|
7
|
|
HCC Insurance Holdings, Inc.
|
|
|
272
|
|
|
|
10
|
|
Loews Corp.
|
|
|
1,468
|
|
|
|
60
|
|
Markel Corp.
A
|
|
|
13
|
|
|
|
6
|
|
Marsh & McLennan Cos., Inc.
|
|
|
955
|
|
|
|
34
|
|
Mercury General Corp.
|
|
|
158
|
|
|
|
7
|
|
MetLife, Inc.
|
|
|
1,967
|
|
|
|
65
|
|
PartnerRe Ltd.
|
|
|
72
|
|
|
|
6
|
|
Principal Financial Group, Inc.
|
|
|
682
|
|
|
|
19
|
|
ProAssurance Corp.
|
|
|
104
|
|
|
|
9
|
|
Progressive Corp.
|
|
|
1,132
|
|
|
|
24
|
|
Protective Life Corp.
|
|
|
329
|
|
|
|
9
|
|
Prudential Financial, Inc.
|
|
|
2,186
|
|
|
|
114
|
|
Reinsurance Group of America, Inc.
|
|
|
441
|
|
|
|
23
|
|
RenaissanceRe Holdings Ltd.
|
|
|
60
|
|
|
|
5
|
|
Torchmark Corp.
|
|
|
219
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
(000s)
|
|
WEX, Inc.
A
|
|
|
|
|
|
|
74
|
|
|
$
|
5
|
|
White Mountains Insurance Group Ltd.
|
|
|
|
|
|
|
11
|
|
|
|
6
|
|
Willis Group Holdings plc
|
|
|
|
|
|
|
421
|
|
|
|
15
|
|
WR Berkley Corp.
|
|
|
|
|
|
|
343
|
|
|
|
14
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,086
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate1.53%
|
|
|
|
|
|
|
|
|
|
|
|
|
Brookfield Asset Management, Inc., Class A
|
|
|
|
|
|
|
2,351
|
|
|
|
82
|
|
Brookfield Office Properties, Inc.
E
|
|
|
|
|
|
|
5,257
|
|
|
|
85
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
167
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financials
|
|
|
|
|
|
|
|
|
|
|
2,221
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
HEALTH CARE11.75%
|
|
|
|
|
|
|
|
|
|
|
|
|
Biotechnology0.73%
|
|
|
|
|
|
|
|
|
|
|
|
|
Amgen, Inc.
|
|
|
|
|
|
|
694
|
|
|
|
62
|
|
Biogen Idec, Inc.
A
|
|
|
|
|
|
|
120
|
|
|
|
18
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
80
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Equipment & Supplies2.13%
|
|
|
|
|
|
Baxter International, Inc.
|
|
|
|
|
|
|
374
|
|
|
|
25
|
|
Becton Dickinson and Co.
|
|
|
|
|
|
|
423
|
|
|
|
32
|
|
Bio-Rad Laboratories, Inc., Class A
A
|
|
|
|
|
|
|
61
|
|
|
|
6
|
|
Covidien plc
|
|
|
|
|
|
|
1,084
|
|
|
|
63
|
|
Medtronic, Inc.
|
|
|
|
|
|
|
951
|
|
|
|
40
|
|
Stryker Corp.
|
|
|
|
|
|
|
1,219
|
|
|
|
67
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
233
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care Providers & Services3.23%
|
|
|
|
|
|
Aetna, Inc.
|
|
|
|
|
|
|
1,006
|
|
|
|
43
|
|
Cigna Corp.
|
|
|
|
|
|
|
755
|
|
|
|
39
|
|
Coventry Health Care, Inc.
|
|
|
|
|
|
|
331
|
|
|
|
14
|
|
HCA Holdings, Inc.
|
|
|
|
|
|
|
2,505
|
|
|
|
81
|
|
Henry Schein, Inc.
A
|
|
|
|
|
|
|
213
|
|
|
|
17
|
|
McKesson Corp.
|
|
|
|
|
|
|
454
|
|
|
|
43
|
|
Mednax, Inc.
A
|
|
|
|
|
|
|
87
|
|
|
|
7
|
|
Service Corp International
|
|
|
|
|
|
|
519
|
|
|
|
7
|
|
UnitedHealth Group, Inc.
|
|
|
|
|
|
|
829
|
|
|
|
45
|
|
WellPoint, Inc.
|
|
|
|
|
|
|
1,039
|
|
|
|
58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
354
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pharmaceuticals5.66%
|
|
|
|
|
|
|
|
|
|
|
|
|
Abbott Laboratories
|
|
|
|
|
|
|
1,444
|
|
|
|
94
|
|
Johnson & Johnson
|
|
|
|
|
|
|
2,488
|
|
|
|
173
|
|
Merck & Co., Inc.
|
|
|
|
|
|
|
2,375
|
|
|
|
105
|
|
Pfizer, Inc.
|
|
|
|
|
|
|
6,902
|
|
|
|
173
|
|
Sanofi
|
|
|
EUR
|
|
|
|
623
|
|
|
|
56
|
|
Warner Chilcott plc, Class A
|
|
|
|
|
|
|
1,660
|
|
|
|
19
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
620
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Health Care
|
|
|
|
|
|
|
|
|
|
|
1,287
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS11.79%
|
|
|
|
|
|
|
|
|
|
|
|
|
Aerospace & Defense4.40%
|
|
|
|
|
|
|
|
|
|
|
|
|
General Dynamics Corp.
|
|
|
|
|
|
|
1,759
|
|
|
|
117
|
|
L-3 Communications Holdings, Inc.
|
|
|
|
|
|
|
470
|
|
|
|
36
|
|
Lockheed Martin Corp.
|
|
|
|
|
|
|
1,208
|
|
|
|
113
|
|
Northrop Grumman Corp.
|
|
|
|
|
|
|
1,123
|
|
|
|
75
|
|
Raytheon Co.
|
|
|
|
|
|
|
1,438
|
|
|
|
82
|
|
United Technologies Corp.
|
|
|
|
|
|
|
722
|
|
|
|
58
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines0.79%
|
|
|
|
|
|
|
|
|
|
|
|
|
Alaska Air Group, Inc.
A
|
|
|
|
|
|
|
208
|
|
|
|
9
|
|
Copa Holdings S.A., Class A
|
|
|
|
|
|
|
85
|
|
|
|
8
|
|
Delta Air Lines, Inc.
A
|
|
|
|
|
|
|
4,098
|
|
|
|
41
|
|
United Continental Holdings, Inc.
|
|
|
|
|
|
|
1,424
|
|
|
|
29
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
87
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
(000s)
|
|
Building Products0.06%
|
|
|
|
|
|
|
|
|
|
|
|
|
Crane Co.
|
|
|
|
|
|
|
168
|
|
|
$
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commercial Services & Supplies0.41%
|
|
|
|
|
|
|
|
|
|
|
|
|
Dun & Bradstreet Corp.
|
|
|
|
|
|
|
92
|
|
|
|
7
|
|
Genpact Ltd.
|
|
|
|
|
|
|
529
|
|
|
|
8
|
|
KAR Auction Services, Inc.
|
|
|
|
|
|
|
414
|
|
|
|
7
|
|
Morningstar, Inc.
|
|
|
|
|
|
|
91
|
|
|
|
6
|
|
Rollins, Inc.
|
|
|
|
|
|
|
239
|
|
|
|
5
|
|
Verisk Analytics, Inc., Class A
A
|
|
|
|
|
|
|
214
|
|
|
|
12
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Construction & Engineering0.15%
|
|
|
|
|
|
AECOM Technology Corp.
A
|
|
|
|
|
|
|
414
|
|
|
|
9
|
|
URS Corp.
|
|
|
|
|
|
|
186
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electrical Equipment0.26%
|
|
|
|
|
|
AMETEK, Inc.
|
|
|
|
|
|
|
466
|
|
|
|
17
|
|
Hubbell, Inc., Class B
|
|
|
|
|
|
|
131
|
|
|
|
11
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrial Conglomerates2.28%
|
|
|
|
|
|
3M Co.
|
|
|
|
|
|
|
521
|
|
|
|
47
|
|
Carlisle Cos., Inc.
|
|
|
|
|
|
|
148
|
|
|
|
8
|
|
General Electric Co.
|
|
|
|
|
|
|
7,403
|
|
|
|
157
|
|
Honeywell International, Inc.
|
|
|
|
|
|
|
521
|
|
|
|
32
|
|
Teleflex, Inc.
|
|
|
|
|
|
|
84
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Machinery2.28%
|
|
|
|
|
|
|
|
|
|
|
|
|
CNH Global N.V.
|
|
|
|
|
|
|
1,811
|
|
|
|
87
|
|
Danaher Corp.
|
|
|
|
|
|
|
427
|
|
|
|
23
|
|
Donaldson Co, Inc.
|
|
|
|
|
|
|
245
|
|
|
|
8
|
|
IDEX Corp.
|
|
|
|
|
|
|
186
|
|
|
|
8
|
|
Illinois Tool Works, Inc.
|
|
|
|
|
|
|
926
|
|
|
|
57
|
|
Lincoln Electric Holdings, Inc.
|
|
|
|
|
|
|
206
|
|
|
|
10
|
|
PACCAR, Inc.
|
|
|
|
|
|
|
481
|
|
|
|
21
|
|
Pentair Ltd.
|
|
|
|
|
|
|
170
|
|
|
|
8
|
|
Reliance Steel & Aluminum Co.
|
|
|
|
|
|
|
186
|
|
|
|
10
|
|
Timken Co.
|
|
|
|
|
|
|
236
|
|
|
|
11
|
|
Valmont Industries, Inc.
|
|
|
|
|
|
|
47
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
250
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Road & Rail0.60%
|
|
|
|
|
|
|
|
|
|
|
|
|
Amerco, Inc.
|
|
|
|
|
|
|
90
|
|
|
|
11
|
|
Central Japan Railway Co.
|
|
|
EUR
|
|
|
|
700
|
|
|
|
55
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
66
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading Companies & Distributors0.56%
|
|
|
|
|
|
MSC Industrial Direct Co., Inc., Class A
|
|
|
|
|
|
|
76
|
|
|
|
6
|
|
Toyota Tshusho corp.
A
|
|
|
EUR
|
|
|
|
2,400
|
|
|
|
55
|
|
|
|
|
|
|
|
|
|
|
|
|
61
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Industrials
|
|
|
|
|
|
|
|
|
|
|
1,291
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
INFORMATION
TECHNOLOGY12.97%
|
|
|
|
|
|
Communications Equipment1.14%
|
|
|
|
|
|
|
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
|
|
|
|
|
5,484
|
|
|
|
104
|
|
Harris Corp.
|
|
|
|
|
|
|
446
|
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
125
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals3.87%
|
|
|
|
|
|
Dell, Inc.
|
|
|
|
|
|
|
7,891
|
|
|
|
76
|
|
Hewlett-Packard Co.
|
|
|
|
|
|
|
3,336
|
|
|
|
43
|
|
International Business Machines Corp.
|
|
|
|
|
|
|
1,115
|
|
|
|
212
|
|
Seagate Technology plc
|
|
|
|
|
|
|
1,992
|
|
|
|
50
|
|
Western Digital Corp.
|
|
|
|
|
|
|
1,274
|
|
|
|
43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
424
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Electronic Equipment &
Instruments1.19%
|
|
|
|
|
|
Arrow Electronics, Inc.
|
|
|
|
|
|
|
561
|
|
|
|
21
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
(000s)
|
|
Avnet, Inc.
A
|
|
|
|
|
|
|
546
|
|
|
$
|
16
|
|
Flextronics International Ltd.
A
|
|
|
|
|
|
|
4,152
|
|
|
|
24
|
|
Ingram Micro, Inc., Class A
A
|
|
|
|
|
|
|
390
|
|
|
|
6
|
|
TE Connectivity Ltd.
|
|
|
|
|
|
|
1,621
|
|
|
|
58
|
|
Teledyne Technologies, Inc.
A
|
|
|
|
|
|
|
85
|
|
|
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Services0.92%
|
|
|
|
|
|
Automatic Data Processing, Inc.
|
|
|
|
|
|
|
327
|
|
|
|
19
|
|
Broadridge Financial Solutions, Inc.
|
|
|
|
|
|
|
252
|
|
|
|
6
|
|
Fidelity National Information Services, Inc.
|
|
|
|
|
|
|
620
|
|
|
|
22
|
|
Fiserv, Inc.
A
|
|
|
|
|
|
|
369
|
|
|
|
28
|
|
IHS, Inc., Class A
A
|
|
|
|
|
|
|
87
|
|
|
|
8
|
|
SAIC, Inc.
|
|
|
|
|
|
|
1,060
|
|
|
|
12
|
|
Syntel, Inc.
|
|
|
|
|
|
|
94
|
|
|
|
6
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
101
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Office Electronics0.40%
|
|
|
|
|
|
|
|
|
|
|
|
|
Xerox Corp.
|
|
|
|
|
|
|
6,445
|
|
|
|
44
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment &
Products0.91%
|
|
|
|
|
|
Intel Corp.
|
|
|
|
|
|
|
5,089
|
|
|
|
100
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Software4.54%
|
|
|
|
|
|
|
|
|
|
|
|
|
Activision Blizzard, Inc.
|
|
|
|
|
|
|
2,096
|
|
|
|
24
|
|
Amdocs Ltd.
|
|
|
|
|
|
|
400
|
|
|
|
13
|
|
Ansys, Inc.
A
|
|
|
|
|
|
|
116
|
|
|
|
8
|
|
CA, Inc.
|
|
|
|
|
|
|
1,454
|
|
|
|
32
|
|
DST Systems, Inc.
|
|
|
|
|
|
|
104
|
|
|
|
6
|
|
Microsoft Corp.
|
|
|
|
|
|
|
8,187
|
|
|
|
217
|
|
Oracle Corp.
|
|
|
|
|
|
|
4,918
|
|
|
|
158
|
|
SAP AG
|
|
|
EUR
|
|
|
|
483
|
|
|
|
38
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
496
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology
|
|
|
|
|
|
|
|
|
|
|
1,420
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
MATERIALS3.83%
|
|
|
|
|
|
|
|
|
|
|
|
|
Chemicals2.25%
|
|
|
|
|
|
|
|
|
|
|
|
|
Agrium, Inc.
|
|
|
|
|
|
|
585
|
|
|
|
59
|
|
Air Products & Chemicals, Inc.
|
|
|
|
|
|
|
445
|
|
|
|
37
|
|
Kronos Worldwide, Inc.
|
|
|
|
|
|
|
466
|
|
|
|
8
|
|
LyondellBasell Industries N.V., Class A
|
|
|
|
|
|
|
466
|
|
|
|
23
|
|
NewMarket Corp.
|
|
|
|
|
|
|
29
|
|
|
|
8
|
|
PPG Industries, Inc.
|
|
|
|
|
|
|
303
|
|
|
|
37
|
|
RPM International, Inc.
|
|
|
|
|
|
|
252
|
|
|
|
7
|
|
Sigma-Aldrich Corp.
|
|
|
|
|
|
|
272
|
|
|
|
20
|
|
Terra Nitrogen Co. LP
B
|
|
|
|
|
|
|
56
|
|
|
|
12
|
|
Valhi, Inc.
|
|
|
|
|
|
|
1,209
|
|
|
|
15
|
|
Valspar Corp.
|
|
|
|
|
|
|
159
|
|
|
|
10
|
|
Westlake Chemical Corp.
|
|
|
|
|
|
|
137
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
246
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Containers & Packaging0.25%
|
|
|
|
|
|
Aptargroup, Inc.
|
|
|
|
|
|
|
143
|
|
|
|
7
|
|
Graphic Packaging Holding Co.
A
|
|
|
|
|
|
|
1,006
|
|
|
|
7
|
|
Silgan Holdings, Inc.
|
|
|
|
|
|
|
135
|
|
|
|
6
|
|
Sonoco Products Co.
|
|
|
|
|
|
|
247
|
|
|
|
7
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Metals & Mining1.33%
|
|
|
|
|
|
|
|
|
|
|
|
|
Southern Copper Corp.
|
|
|
|
|
|
|
4,016
|
|
|
|
146
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Materials
|
|
|
|
|
|
|
|
|
|
|
419
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TELECOMMUNICATION
SERVICES0.55%
|
|
|
|
|
|
Diversified Telecommunication0.14%
|
|
|
|
|
|
|
|
|
|
|
|
|
France Telecom S.A.
|
|
|
EUR
|
|
|
|
1,463
|
|
|
|
15
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
Wireless Telecommunication Services0.41%
|
|
NTT DOCOMO
A
|
|
|
YEN 31
|
|
|
$
|
45
|
|
|
|
|
|
|
|
|
|
|
Total Telecommunication Services
|
|
|
|
60
|
|
|
|
|
|
|
|
|
|
|
UTILITIES5.94%
|
|
|
|
|
|
|
|
|
Electric Utilities4.46%
|
|
|
|
|
|
|
|
|
AES Corp.
|
|
|
1,561
|
|
|
|
17
|
|
Alliant Energy Corp.
|
|
|
208
|
|
|
|
9
|
|
Ameren Corp.
|
|
|
428
|
|
|
|
13
|
|
American Electric Power Co., Inc.
|
|
|
1,015
|
|
|
|
43
|
|
Dominion Resources, Inc.
|
|
|
1,133
|
|
|
|
58
|
|
DTE Energy Co.
|
|
|
336
|
|
|
|
20
|
|
Duke Energy Corp.
|
|
|
364
|
|
|
|
23
|
|
Edison International
|
|
|
586
|
|
|
|
27
|
|
Entergy Corp.
|
|
|
475
|
|
|
|
30
|
|
NextEra Energy, Inc.
|
|
|
1,524
|
|
|
|
105
|
|
Northeast Utilities
|
|
|
309
|
|
|
|
12
|
|
OGE Energy Corp.
|
|
|
214
|
|
|
|
12
|
|
PG&E Corp.
|
|
|
881
|
|
|
|
36
|
|
PPL Corp.
|
|
|
1,372
|
|
|
|
40
|
|
Public Service Enterprise Group, Inc.
|
|
|
1,444
|
|
|
|
43
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
488
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities0.76%
|
|
|
|
|
|
|
|
|
AGL Resources, Inc.
|
|
|
293
|
|
|
|
11
|
|
Atmos Energy Corp.
|
|
|
207
|
|
|
|
7
|
|
MDU Resources Group, Inc.
|
|
|
370
|
|
|
|
8
|
|
Sempra Energy
|
|
|
630
|
|
|
|
43
|
|
TC Pipelines LP
B
|
|
|
149
|
|
|
|
6
|
|
UGI Corp.
|
|
|
226
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
83
|
|
|
|
|
|
|
|
|
|
|
Multi-Utilities0.52%
|
|
|
|
|
|
|
|
|
SCANA Corp.
|
|
|
274
|
|
|
|
13
|
|
Wisconsin Energy Corp.
|
|
|
429
|
|
|
|
16
|
|
Xcel Energy, Inc.
|
|
|
1,028
|
|
|
|
28
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57
|
|
|
|
|
|
|
|
|
|
|
Oil & Gas0.20%
|
|
|
|
|
|
|
|
|
GDF Suez
|
|
|
EUR 957
|
|
|
|
22
|
|
|
|
|
|
|
|
|
|
|
Total Utilities
|
|
|
|
|
|
|
650
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $9,955)
|
|
|
|
10,336
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS 3.81% (Cost $417)
|
|
JPMorgan U.S. Government Money Market Fund,
|
|
Capital Class
|
|
|
417,441
|
|
|
|
417
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS98.20%
(Cost $10,372)
|
|
|
|
10,753
|
|
OTHER ASSETS, NET OF
LIABILITIES1.80%
|
|
|
|
197
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS100.00%
|
|
|
$
|
10,950
|
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
A
|
Non-income producing security.
|
C
|
Non-voting participating shares.
|
D
|
Limited Liability Company.
|
E
|
REITReal
Estate Investment Trust.
|
|
|
|
|
|
Glossary:
|
Currency
Abbreviations:
|
|
|
|
EUR
|
|
Euro
|
|
|
YEN
|
|
Japanese Yen
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Open on November 30, 2012 ($000s):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Type
|
|
|
Number of
Contracts
|
|
|
Expiration Date
|
|
|
Contract Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
S&P 500 Mini E Index Future
|
|
|
Long
|
|
|
|
6
|
|
|
|
December, 2012
|
|
|
$
|
424
|
|
|
$
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
424
|
|
|
$
|
9
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Beacon London Company Income Equity Fund
Schedule of Investments
November 30, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
PREFERRED STOCK2.69%
|
|
|
|
|
|
FINANCIALS2.69%
|
|
|
|
|
|
|
|
|
Diversified Financials2.19%
|
|
|
|
|
|
Aegon N.V.,
8.00%, Due 2/15/2042
|
|
|
8,302
|
|
|
$
|
230
|
|
Morgan Stanley Capital Trust VIII, 6.45%, Due 4/15/2067
|
|
|
9,160
|
|
|
|
230
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
460
|
|
|
|
|
|
|
|
|
|
|
Insurance0.50%
|
|
|
|
|
|
|
|
|
Montpelier Re Holdings Ltd., 8.875%, Due 12/31/2049
|
|
|
3,850
|
|
|
|
104
|
|
|
|
|
|
|
|
|
|
|
Total Financials
|
|
|
|
|
|
|
564
|
|
|
|
|
|
|
|
|
|
|
Total Preferred Stock
(Cost $552)
|
|
|
|
564
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCK93.10%
|
|
|
|
|
|
CONSUMER DISCRETIONARY5.79%
|
|
Leisure Equipment &
Products2.89%
|
|
|
|
|
|
Hasbro, Inc.
|
|
|
15,760
|
|
|
|
606
|
|
|
|
|
|
|
|
|
|
|
Specialty Retail2.90%
|
|
|
|
|
|
|
|
|
Lowes Cos., Inc.
|
|
|
16,811
|
|
|
|
607
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Discretionary
|
|
|
|
1,213
|
|
|
|
|
|
|
|
|
|
|
CONSUMER STAPLES19.68%
|
|
|
|
|
|
Beverages3.34%
|
|
|
|
|
|
|
|
|
Coca-Cola Co.
|
|
|
18,478
|
|
|
|
701
|
|
|
|
|
|
|
|
|
|
|
Food & Drug Retailing3.19%
|
|
|
|
|
|
Wal-Mart Stores, Inc.
|
|
|
9,276
|
|
|
|
668
|
|
|
|
|
|
|
|
|
|
|
Food Products2.62%
|
|
|
|
|
|
|
|
|
Hershey Co.
|
|
|
7,513
|
|
|
|
550
|
|
|
|
|
|
|
|
|
|
|
Tobacco10.53%
|
|
|
|
|
|
|
|
|
Altria Group, Inc.
|
|
|
18,898
|
|
|
$
|
639
|
|
Lorillard, Inc.
|
|
|
5,177
|
|
|
|
627
|
|
Philip Morris International, Inc.
|
|
|
5,599
|
|
|
|
503
|
|
Reynolds American, Inc.
|
|
|
9,987
|
|
|
|
437
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,206
|
|
|
|
|
|
|
|
|
|
|
Total Consumer Staples
|
|
|
|
|
|
|
4,125
|
|
|
|
|
|
|
|
|
|
|
ENERGY5.00%
|
|
|
|
|
|
|
|
|
Chevron Corp.
|
|
|
5,764
|
|
|
|
609
|
|
ConocoPhillips
|
|
|
7,726
|
|
|
|
440
|
|
|
|
|
|
|
|
|
|
|
Total Energy
|
|
|
|
|
|
|
1,049
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS18.44%
|
|
|
|
|
|
|
|
|
Banks3.83%
|
|
|
|
|
|
|
|
|
Wells Fargo & Co.
|
|
|
24,317
|
|
|
|
803
|
|
|
|
|
|
|
|
|
|
|
Diversified Financials6.01%
|
|
|
|
|
|
BlackRock, Inc., Class A
|
|
|
3,100
|
|
|
|
611
|
|
Federated Investors, Inc., Class B
|
|
|
32,711
|
|
|
|
649
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,260
|
|
|
|
|
|
|
|
|
|
|
Insurance6.24%
|
|
|
|
|
|
|
|
|
Berkshire Hathaway, Inc., Class B
A
|
|
|
7,091
|
|
|
|
625
|
|
Cincinnati Financial Corp.
|
|
|
16,828
|
|
|
|
681
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,306
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
(000s)
|
|
Real Estate2.36%
|
|
|
|
|
|
|
|
|
Hatteras Financial Corp.
B
|
|
|
18,557
|
|
|
$
|
495
|
|
|
|
|
|
|
|
|
|
|
Total Financials
|
|
|
|
|
|
|
3,864
|
|
|
|
|
|
|
|
|
|
|
HEALTH CARE8.13%
|
|
|
|
|
|
|
|
|
Bristol-Myers Squibb Co.
|
|
|
20,854
|
|
|
|
680
|
|
Johnson & Johnson
|
|
|
4,034
|
|
|
|
281
|
|
Pfizer, Inc.
|
|
|
29,615
|
|
|
|
742
|
|
|
|
|
|
|
|
|
|
|
Total Health Care
|
|
|
|
|
|
|
1,703
|
|
|
|
|
|
|
|
|
|
|
INFORMATION TECHNOLOGY12.32%
|
|
Communications Equipment2.95%
|
|
|
|
|
|
Cisco Systems, Inc.
|
|
|
32,665
|
|
|
|
617
|
|
|
|
|
|
|
|
|
|
|
Computers & Peripherals2.17%
|
|
|
|
|
|
International Business Machines Corp.
|
|
|
2,396
|
|
|
|
455
|
|
|
|
|
|
|
|
|
|
|
IT Consulting & Services2.39%
|
|
|
|
|
|
Paychex, Inc.
|
|
|
15,391
|
|
|
|
501
|
|
|
|
|
|
|
|
|
|
|
Semiconductor Equipment & Products2.10%
|
|
Intel Corp.
|
|
|
22,530
|
|
|
|
441
|
|
|
|
|
|
|
|
|
|
|
Software2.71%
|
|
|
|
|
|
|
|
|
Microsoft Corp.
|
|
|
21,324
|
|
|
|
568
|
|
|
|
|
|
|
|
|
|
|
Total Information Technology
|
|
|
|
|
|
|
2,582
|
|
|
|
|
|
|
|
|
|
|
MATERIALS10.71%
|
|
|
|
|
|
|
|
|
Chemicals8.34%
|
|
|
|
|
|
|
|
|
Albemarle Corp.
|
|
|
14,420
|
|
|
|
862
|
|
NewMarket Corp.
|
|
|
3,341
|
|
|
|
887
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,749
|
|
|
|
|
|
|
|
|
|
|
Paper & Forest Products2.37%
|
|
|
|
|
|
MeadWestvaco Corp.
|
|
|
16,048
|
|
|
|
496
|
|
|
|
|
|
|
|
|
|
|
Total Materials
|
|
|
|
|
|
|
2,245
|
|
|
|
|
|
|
|
|
|
|
TELECOMMUNICATION SERVICES3.57%
|
|
Verizon Communications, Inc.
|
|
|
16,980
|
|
|
|
749
|
|
|
|
|
|
|
|
|
|
|
UTILITIES9.46%
|
|
|
|
|
|
|
|
|
Electric Utilities6.32%
|
|
|
|
|
|
|
|
|
Dominion Resources, Inc.
|
|
|
15,817
|
|
|
|
809
|
|
Duke Energy Corp.
|
|
|
8,074
|
|
|
|
515
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,324
|
|
|
|
|
|
|
|
|
|
|
Gas Utilities3.14%
|
|
|
|
|
|
|
|
|
Kinder Morgan Management LLC
A
C
|
|
|
8,671
|
|
|
|
658
|
|
|
|
|
|
|
|
|
|
|
Total Utilities
|
|
|
|
|
|
|
1,982
|
|
|
|
|
|
|
|
|
|
|
Total Common Stock (Cost $19,296)
|
|
|
|
19,512
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS3.05%
(Cost $640)
|
|
|
|
|
|
JPMorgan U.S. Government Money
|
|
|
|
|
|
|
|
|
Market Fund, Capital Class
|
|
|
639,541
|
|
|
|
640
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
Fair Value
|
|
|
|
(000s)
|
|
TOTAL INVESTMENTS98.84% (Cost $20,488)
|
|
|
20,716
|
|
OTHER ASSETS, NET OF LIABILITIES1.16%
|
|
|
244
|
|
|
|
|
|
|
TOTAL NET ASSETS100.00%
|
|
$
|
20,960
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
A
|
Non-income
producing security.
|
B
|
REITReal
Estate Investment Trust.
|
C
|
Limited Liability
Company.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts Open on November 30, 2012 ($000s):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Type
|
|
|
Number of
Contracts
|
|
|
Expiration Date
|
|
|
Contract Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
S&P 500 Mini E Index Future
|
|
|
Long
|
|
|
|
9
|
|
|
|
December, 2012
|
|
|
$
|
636
|
|
|
$
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
636
|
|
|
$
|
5
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
American Beacon SiM High Yield Opportunities Fund
Schedule of Investments
November 30, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair Value
|
|
|
|
|
|
|
|
|
|
(000s)
|
|
COMMON STOCKS1.42% (Cost $5,031)
|
|
|
|
|
|
|
|
|
|
|
|
|
FINANCIALS1.42%
|
|
|
|
|
|
|
|
|
|
|
|
|
Real Estate1.42%
|
|
|
|
|
|
|
|
|
|
|
|
|
Omega Healthcare Investors, Inc.
A
|
|
|
|
|
|
|
229,000
|
|
|
$
|
5,248
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE PREFERRED STOCKS2.88% (Cost $10,958)
|
|
|
|
|
|
|
|
|
|
|
|
|
INDUSTRIALS2.88%
|
|
|
|
|
|
|
|
|
|
|
|
|
Airlines2.88%
|
|
|
|
|
|
|
|
|
|
|
|
|
Continental Airlines Finance Trust II, 6.00%, Due 11/15/2030
|
|
|
|
|
|
|
321,250
|
|
|
|
10,641
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
E
|
|
|
|
|
|
|
(000s)
|
|
|
|
|
CONVERTIBLE OBLIGATIONS5.31%
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials5.31%
|
|
|
|
|
|
|
|
|
|
|
|
|
Marine Harvest ASA, 4.50%, Due 2/23/2015
|
|
|
EUR
|
|
|
$
|
5,200
|
|
|
|
7,719
|
|
Pescanova S.A.,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.125%, Due 4/20/2017
|
|
|
EUR
|
|
|
|
2,250
|
|
|
|
2,871
|
|
8.75%, Due 2/17/2019
|
|
|
EUR
|
|
|
|
4,500
|
|
|
|
6,241
|
|
Rexlot Holdings Ltd, 6.00%, Due 9/28/2016
|
|
|
HKD
|
|
|
|
20,000
|
|
|
|
2,793
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Obligations (Cost $17,551)
|
|
|
|
|
|
|
|
|
|
|
19,624
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CORPORATE OBLIGATIONS81.32%
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials10.27%
|
|
|
|
|
|
|
|
|
|
|
|
|
Cirsa Funding Luxembourg S.A., 8.75%, Due 5/15/2018
B
|
|
|
EUR
|
|
|
|
7,300
|
|
|
|
9,066
|
|
Logo Merger Sub Corp., 8.375%, Due 10/15/2020
B
|
|
|
|
|
|
|
9,000
|
|
|
|
9,135
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Nuveen Investments, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
9.125%, Due 10/15/2017
B
|
|
|
|
|
|
|
4,000
|
|
|
|
3,970
|
|
9.50%, Due 10/15/2020
B
|
|
|
|
|
|
|
5,000
|
|
|
|
5,050
|
|
Omega Healthcare Investors, Inc., 5.875%, Due 3/15/2024
A,B
|
|
|
|
|
|
|
3,000
|
|
|
|
3,218
|
|
Ono Finance II plc, 11.125%, Due 7/15/2019
B
|
|
|
EUR
|
|
|
|
6,500
|
|
|
|
7,524
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,828
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials66.89%
|
|
|
|
|
|
|
|
|
|
|
|
|
ADS Tactical, Inc., 11.00%, Due 4/1/2018
B
|
|
|
|
|
|
|
9,200
|
|
|
|
9,108
|
|
Alliance HealthCare Services, Inc., 8.00%, Due 12/1/2016
|
|
|
|
|
|
|
8,700
|
|
|
|
7,700
|
|
Calpine Corp., 7.875%, Due 1/15/2023
B
|
|
|
|
|
|
|
5,850
|
|
|
|
6,523
|
|
Ceridian Corp., 11.25%, Due 11/15/2015
|
|
|
|
|
|
|
5,500
|
|
|
|
5,363
|
|
CityCenter Holdings LLC., 10.75%, Due 1/15/2017
C
|
|
|
|
|
|
|
4,365
|
|
|
|
4,703
|
|
Ducommun, Inc., 9.75%, Due 7/15/2018
|
|
|
|
|
|
|
7,385
|
|
|
|
7,847
|
|
Eileme 2 AB, 11.75%, Due 1/31/2020
B
|
|
|
EUR
|
|
|
|
6,400
|
|
|
|
9,540
|
|
Forbes Energy Services Ltd., 9.00%, Due 6/15/2019
|
|
|
|
|
|
|
3,150
|
|
|
|
2,843
|
|
Goodman Networks, Inc., 12.375%, Due 7/1/2018
B
|
|
|
|
|
|
|
7,300
|
|
|
|
8,012
|
|
Griffey Intermediate Inc., 7.00%, Due 10/15/2020
B
|
|
|
|
|
|
|
8,600
|
|
|
|
8,729
|
|
HCA, Inc., 7.50%, Due 2/15/2022
|
|
|
|
|
|
|
8,700
|
|
|
|
9,896
|
|
Kindred Healthcare, Inc., 8.25%, Due 6/1/2019
|
|
|
|
|
|
|
8,800
|
|
|
|
8,536
|
|
Live Nation Entertainment, Inc., 7.00%, Due 9/1/2020
B
|
|
|
|
|
|
|
6,000
|
|
|
|
6,240
|
|
Merge Healthcare, Inc., 11.75%, Due 5/1/2015
|
|
|
|
|
|
|
3,900
|
|
|
|
4,154
|
|
MGM Resorts International, 7.75%, Due 3/15/2022
|
|
|
|
|
|
|
6,000
|
|
|
|
6,315
|
|
Moto Finance plc, 10.25%, Due 3/15/2017
B
|
|
|
GBP
|
|
|
|
4,350
|
|
|
|
6,795
|
|
Multiplan, Inc., 9.875%, Due 9/1/2018
B
|
|
|
|
|
|
|
3,600
|
|
|
|
3,987
|
|
NESCO LLC., 11.75%, Due 4/15/2017
B
C
|
|
|
|
|
|
|
8,500
|
|
|
|
9,148
|
|
Nord Anglia Education UK Holdings plc, 10.25%, Due 4/1/2017
B
|
|
|
|
|
|
|
8,750
|
|
|
|
9,581
|
|
North Atlantic Trading Co.,
|
|
|
|
|
|
|
|
|
|
|
|
|
11.50%, Due 7/15/2016
B
|
|
|
|
|
|
|
1,000
|
|
|
|
1,030
|
|
11.00%, Due 1/15/2017
B
|
|
|
|
|
|
|
7,500
|
|
|
|
7,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
E
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
Obrascon Huarte Lain S.A.,
|
|
|
|
|
|
|
|
|
|
|
|
|
8.75%, Due 3/15/2018
|
|
|
EUR
|
|
|
$
|
2,100
|
|
|
$
|
2,950
|
|
7.625%, Due 3/15/2020
|
|
|
EUR
|
|
|
|
4,500
|
|
|
|
5,926
|
|
OTE plc, 4.625%, Due 5/20/2016
|
|
|
EUR
|
|
|
|
8,150
|
|
|
|
8,824
|
|
Quality Distribution LLC, 9.875%, Due 11/1/2018
C
|
|
|
|
|
|
|
3,450
|
|
|
|
3,726
|
|
Sabre Holdings Corp., 8.35%, Due 3/15/2016
|
|
|
|
|
|
|
7,000
|
|
|
|
7,280
|
|
Saratoga Resources, Inc., 12.50%, Due 7/1/2016
|
|
|
|
|
|
|
6,515
|
|
|
|
6,515
|
|
Satmex Escrow SA de CV, 9.50%, Due 5/15/2017
B
D
|
|
|
|
|
|
|
8,895
|
|
|
|
9,406
|
|
Simmons Foods, Inc., 10.50%, Due 11/1/2017
B
|
|
|
|
|
|
|
6,110
|
|
|
|
5,331
|
|
Syncreon Global Ireland Ltd., 9.50%, Due 5/1/2018
B
|
|
|
|
|
|
|
10,500
|
|
|
|
10,815
|
|
Tenet Healthcare Corp., 8.00%, Due 8/1/2020
|
|
|
|
|
|
|
7,730
|
|
|
|
8,290
|
|
Univision Communications, Inc., 6.75%, Due 9/15/2022
B
|
|
|
|
|
|
|
9,250
|
|
|
|
9,343
|
|
VWR Funding, Inc., 10.75%, Due 6/30/2017
B
|
|
|
EUR
|
|
|
|
6,387
|
|
|
|
8,472
|
|
Western Areas NL, 6.40%, Due 7/2/2015
|
|
|
AUD
|
|
|
|
8,000
|
|
|
|
8,338
|
|
Wynn Las Vegas LLC., 5.375%, Due 3/15/2022
B,
C
|
|
|
|
|
|
|
7,500
|
|
|
|
7,950
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
247,166
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities4.16%
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy Future Intermediate Holding Co. LLC, 10.00%, Due 12/1/2020
C
|
|
|
|
|
|
|
5,650
|
|
|
|
6,300
|
|
NRG Energy, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
8.25%, Due 9/1/2020
|
|
|
|
|
|
|
5,700
|
|
|
|
6,326
|
|
7.875%, Due 5/15/2021
|
|
|
|
|
|
|
2,000
|
|
|
|
2,210
|
|
6.625%, Due 3/15/2023
B
|
|
|
|
|
|
|
500
|
|
|
|
518
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,354
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Obligations (Cost $289,104)
|
|
|
|
|
|
|
|
|
|
|
300,483
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT OBLIGATIONS2.83%
|
|
|
|
|
|
|
|
|
|
|
|
|
Soverign/Government2.83%
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexican Bonos,
|
|
|
|
|
|
|
|
|
|
|
|
|
7.25%, Due 12/15/2016
|
|
|
MXN
|
|
|
|
91,000
|
|
|
|
7,596
|
|
5.00%, Due 6/15/2017
|
|
|
MXN
|
|
|
|
37,000
|
|
|
|
2,847
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Obligations (Cost $10,251)
|
|
|
|
|
|
|
|
|
|
|
10,443
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. AGENCY OBLIGATIONS2.98%
|
|
|
|
|
|
|
|
|
|
|
|
|
Federal National Mortgage Association,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.375%, Due 11/15/2016
|
|
|
|
|
|
|
1,000
|
|
|
|
1,032
|
|
1.25%, Due 1/30/2017
|
|
|
|
|
|
|
7,750
|
|
|
|
7,976
|
|
0.875%, Due 12/20/2017
|
|
|
|
|
|
|
2,000
|
|
|
|
2,012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Agency Obligations (Cost $10,860)
|
|
|
|
|
|
|
|
|
|
|
11,020
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. TREASURY OBLIGATIONS0.34% (Cost $1,254)
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Note, 0.875%, Due 2/28/2017
|
|
|
|
|
|
|
1,250
|
|
|
|
1,270
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
SHORT-TERM INVESTMENTS0.74% (Cost $2,752)
|
|
|
|
|
|
|
|
|
JPMorgan U.S. Government Money Market Fund, Capital Class
|
|
|
2,751,625
|
|
|
|
2,752
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS97.82% (Cost $347,761)
|
|
|
|
|
|
|
361,481
|
|
OTHER ASSETS, NET OF LIABILITIES2.18%
|
|
|
|
|
|
|
8,029
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS100.00%
|
|
|
|
|
|
$
|
369,510
|
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
A
|
REITReal Estate Investment Trust.
|
B
|
Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule
144A. At the period end, the value of these securities amounted to $155,867 or 42.18% of net assets. The Fund has no right to demand registration of these securities.
|
C
|
Limited Liability Company.
|
D
|
Non-income producing security.
|
E
|
In U.S. dollars unless otherwise noted.
|
Futures Contracts Open on November 30, 2012 ($000s):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Type
|
|
|
Number of
Contracts
|
|
|
Expiration Date
|
|
Contract Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
GBP Currency Future
|
|
|
Short
|
|
|
|
41
|
|
|
December, 2012
|
|
$
|
(4,106
|
)
|
|
$
|
10
|
|
Euro Currency Future
|
|
|
Short
|
|
|
|
433
|
|
|
December, 2012
|
|
|
(70,363
|
)
|
|
|
(620
|
)
|
AUD Currency Future
|
|
|
Short
|
|
|
|
83
|
|
|
December, 2012
|
|
|
(8,640
|
)
|
|
|
(43
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(83,109
|
)
|
|
$
|
(653
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC swap agreements outstanding on November 30, 2012:
Credit Default Swaps on Corporate IssuesSell Protection
(1)
:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index/Tranches
|
|
Counterparty
|
|
Fixed
Deal (Pay)
Rate
|
|
|
Maturity
Date
|
|
|
Implied Credit
Spread at
11/30/2012
(2)
|
|
|
Notional
Amount
(3)
|
|
|
Upfront
Premiums
Paid
(Received)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair
Value
|
|
Delta Airline
|
|
GLM
|
|
|
5.000
|
%
|
|
|
12/20/2016
|
|
|
|
6.6980
|
%
|
|
$
|
1,000,000
|
|
|
$
|
174
|
|
|
$
|
118
|
|
|
$
|
56
|
|
Delta Airline
|
|
GLM
|
|
|
5.000
|
%
|
|
|
3/20/2017
|
|
|
|
6.7542
|
%
|
|
|
1,000,000
|
|
|
|
101
|
|
|
|
41
|
|
|
|
60
|
|
Delta Airline
|
|
GLM
|
|
|
5.000
|
%
|
|
|
3/20/2017
|
|
|
|
6.7542
|
%
|
|
|
1,000,000
|
|
|
|
120
|
|
|
|
60
|
|
|
|
60
|
|
Delta Airline
|
|
JPM
|
|
|
5.000
|
%
|
|
|
6/20/2017
|
|
|
|
6.8061
|
%
|
|
|
2,000,000
|
|
|
|
214
|
|
|
|
86
|
|
|
|
128
|
|
Delta Airline
|
|
FBF
|
|
|
5.000
|
%
|
|
|
6/20/2017
|
|
|
|
6.8061
|
%
|
|
|
2,000,000
|
|
|
|
222
|
|
|
|
94
|
|
|
|
128
|
|
Delta Airline
|
|
GLM
|
|
|
5.000
|
%
|
|
|
6/20/2017
|
|
|
|
6.8061
|
%
|
|
|
1,000,000
|
|
|
|
124
|
|
|
|
60
|
|
|
|
64
|
|
Delta Airline
|
|
JPM
|
|
|
5.000
|
%
|
|
|
9/20/2017
|
|
|
|
6.8530
|
%
|
|
|
2,000,000
|
|
|
|
226
|
|
|
|
89
|
|
|
|
137
|
|
Delta Airline
|
|
FBF
|
|
|
5.000
|
%
|
|
|
12/20/2017
|
|
|
|
6.8955
|
%
|
|
|
2,000,000
|
|
|
|
153
|
|
|
|
8
|
|
|
|
145
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
1,334
|
|
|
$
|
556
|
|
|
$
|
778
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
If the Fund is a
seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the
referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation
or underlying securities comprising the referenced index.
|
(2)
|
Implied credit
spreads, represented in absolute terms, utilized in determining the market value of credit default swaps agreements on corporate issues and sovereign 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 entitys credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the
agreement.
|
(3)
|
The maximum
potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement.
|
Glossary:
|
|
|
Counterpary Abbreviations:
|
GLM
|
|
Goldman Sachs Bank USA
|
JPM
|
|
JP Morgan Chase Bank, N.A.
|
FBF
|
|
Credit Suisse Bank
|
|
|
|
Currency Abbreviations:
|
EUR
|
|
Euro
|
GBP
|
|
British Pound
|
HKD
|
|
Hong Kong Dollar
|
MXN
|
|
Mexican Peso
|
|
|
|
Exchange Abbreviations:
|
OTC
|
|
Over-the-Counter
|
American Beacon Flexible Bond Fund
Schedule of Investments
November 30, 2012 (Unaudited)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
H
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
CORPORATE OBLIGATIONS27.47%
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials19.67%
|
|
|
|
|
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc., 4.60%, Due 4/1/2022
A
|
|
|
|
|
|
$
|
50
|
|
|
$
|
54
|
|
American International Group, Inc., 8.25%, Due 8/15/2018
|
|
|
|
|
|
|
235
|
|
|
|
306
|
|
Asian Development Bank,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.75%, Due 5/21/2014
|
|
|
|
|
|
|
500
|
|
|
|
517
|
|
2.00%, Due 8/29/2017
|
|
|
NOK
|
|
|
|
400
|
|
|
|
70
|
|
Bank of America Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
6.50%, Due 8/1/2016
|
|
|
|
|
|
|
285
|
|
|
|
331
|
|
5.75%, Due 12/1/2017
|
|
|
|
|
|
|
60
|
|
|
|
69
|
|
Bank of America NA, 5.30%, Due 3/15/2017
|
|
|
|
|
|
|
250
|
|
|
|
279
|
|
Barclays Bank PLC,
|
|
|
|
|
|
|
|
|
|
|
|
|
6.75%, Due 2/24/2014
|
|
|
AUD
|
|
|
|
300
|
|
|
|
323
|
|
5.20%, Due 7/10/2014
|
|
|
|
|
|
|
250
|
|
|
|
266
|
|
BNP Paribas S.A., 1.250%, Due 1/10/2014
B
|
|
|
|
|
|
|
250
|
|
|
|
251
|
|
Cie de Financement Foncier, 2.25%, Due 3/7/2014
C
|
|
|
|
|
|
|
200
|
|
|
|
203
|
|
Citigroup, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
6.375%, Due 8/12/2014
|
|
|
|
|
|
|
360
|
|
|
|
390
|
|
5.50%, Due 10/15/2014
|
|
|
|
|
|
|
50
|
|
|
|
54
|
|
6.125%, Due 5/15/2018
|
|
|
|
|
|
|
60
|
|
|
|
72
|
|
Danske Bank A/S,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.390%, Due 4/14/2014
B
C
|
|
|
|
|
|
|
200
|
|
|
|
198
|
|
3.875%, Due 4/14/2016
C
|
|
|
|
|
|
|
200
|
|
|
|
210
|
|
Derwent Cap Jersey LTD, 2.75%, Due 7/15/2016
|
|
|
GBP
|
|
|
|
100
|
|
|
|
178
|
|
Dexia Credit Local S.A., 2.75%, Due 4/29/2014
|
|
|
|
|
|
|
250
|
|
|
|
254
|
|
DNB Bank ASA, 3.20%, Due 4/3/2017
C
|
|
|
|
|
|
|
200
|
|
|
|
213
|
|
Eksportfinans ASA,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, Due 11/17/2014
|
|
|
|
|
|
|
50
|
|
|
|
50
|
|
2.375%, Due 5/25/2016
|
|
|
|
|
|
|
100
|
|
|
|
95
|
|
European Investment Bank,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.625%, Due 3/15/2013
|
|
|
|
|
|
|
180
|
|
|
|
181
|
|
2.875%, Due 3/15/2013
|
|
|
|
|
|
|
290
|
|
|
|
292
|
|
1.25%, Due 9/17/2013
|
|
|
|
|
|
|
395
|
|
|
|
398
|
|
6.75%, Due 6/13/2017
|
|
|
RUB
|
|
|
|
3,766
|
|
|
|
125
|
|
6.00%, Due 12/7/2028
|
|
|
GBP
|
|
|
|
150
|
|
|
|
327
|
|
Export-Import Bank of Korea, 5.00%, Due 4/11/2022
|
|
|
|
|
|
|
200
|
|
|
|
235
|
|
Fifth Third Bancorp, 0.799%, Due 12/20/2016
B
|
|
|
|
|
|
|
435
|
|
|
|
422
|
|
General Electric Capital Corp., 1.048%, Due 6/2/2014
B
|
|
|
|
|
|
|
120
|
|
|
|
121
|
|
Goldman Sachs Group, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
0.719%, Due 7/22/2015
B
|
|
|
|
|
|
|
420
|
|
|
|
411
|
|
7.50%, Due 2/15/2019
|
|
|
|
|
|
|
132
|
|
|
|
166
|
|
5.25%, Due 7/27/2021
|
|
|
|
|
|
|
135
|
|
|
|
154
|
|
Hartford Financial Services Group, Inc., 6.625%, Due 4/15/2042
|
|
|
|
|
|
|
285
|
|
|
|
357
|
|
Henderson UK Finance plc, 7.25%, Due 3/24/2016
|
|
|
GBP
|
|
|
|
100
|
|
|
|
171
|
|
HSBC Bank USA, 10.00%, Due 1/5/2017
|
|
|
BRL
|
|
|
|
500
|
|
|
|
254
|
|
Icahn Enterprises LP., 8.00%, Due 1/15/2018
D
|
|
|
|
|
|
|
|
|
|
|
|
|
ING Bank N.V.,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.645%, Due 10/18/2013
C
E
|
|
|
|
|
|
|
180
|
|
|
|
181
|
|
1.808%, Due 6/9/2014
B
C
|
|
|
|
|
|
|
565
|
|
|
|
567
|
|
Jones Lang LaSalle, Inc., 4.40%, Due 11/15/2022
|
|
|
|
|
|
|
30
|
|
|
|
31
|
|
JP Morgan Chase Bank, NA, 0.867%, Due 5/31/2017
E
|
|
|
EUR
|
|
|
|
400
|
|
|
|
501
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.116%, Due 1/24/2014
B
|
|
|
|
|
|
|
120
|
|
|
|
121
|
|
4.40%, Due 7/22/2020
|
|
|
|
|
|
|
10
|
|
|
|
11
|
|
Kookmin Bank, 7.25%, Due 5/14/2014
|
|
|
|
|
|
|
100
|
|
|
|
108
|
|
Landwirtschaftliche Rentenbank,
|
|
|
|
|
|
|
|
|
|
|
|
|
0.33%, Due 2/12/2013
B
C
E
|
|
|
|
|
|
|
180
|
|
|
|
180
|
|
3.25%, Due 3/15/2013
|
|
|
|
|
|
|
215
|
|
|
|
217
|
|
Lloyds Banking Group PLC, 5.49%, Due 10/1/2014
E
|
|
|
AUD
|
|
|
|
100
|
|
|
|
106
|
|
Merrill Lynch & Co. Inc, 7.75%, Due 5/14/2038
|
|
|
|
|
|
|
100
|
|
|
|
131
|
|
Metinvest BV, 10.25%, Due 5/20/2015
C
|
|
|
|
|
|
|
100
|
|
|
|
102
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
H
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
Morgan Stanley,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.293%, Due 4/29/2013
B
,E
|
|
|
|
|
|
$
|
56
|
|
|
$
|
56
|
|
2.81%, Due 5/14/2013
B
,E
|
|
|
|
|
|
|
140
|
|
|
|
141
|
|
4.75%, Due 3/22/2017
|
|
|
|
|
|
|
130
|
|
|
|
141
|
|
7.60%, Due 8/8/2017
|
|
|
NZD
|
|
|
|
430
|
|
|
|
379
|
|
6.25%, Due 8/28/2017
|
|
|
|
|
|
|
145
|
|
|
|
163
|
|
National Australia Bank Ltd, 1.60%, Due 8/7/2015
|
|
|
|
|
|
|
250
|
|
|
|
254
|
|
Nordic Investment Bank, 2.125%, Due 8/9/2017
|
|
|
NOK
|
|
|
|
400
|
|
|
|
71
|
|
Santander US Debt SAU, 3.724%, Due 1/20/2015
C
|
|
|
|
|
|
|
200
|
|
|
|
201
|
|
Scotland International Finance No 2 BV, 4.25%, Due 5/23/2013
C
|
|
|
|
|
|
|
195
|
|
|
|
197
|
|
Societe Generale NA, Inc., 4.58%, Due 10/20/2014
E
|
|
|
AUD
|
|
|
|
250
|
|
|
|
261
|
|
Springleaf Finance Corp., 5.75%, Due 9/15/2016
|
|
|
|
|
|
|
100
|
|
|
|
90
|
|
Standard Bank Plc, 8.125%, Due 12/2/2019
|
|
|
|
|
|
|
100
|
|
|
|
112
|
|
Standard Chartered plc,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.50%, Due 11/18/2014
C
|
|
|
|
|
|
|
100
|
|
|
|
108
|
|
3.85%, Due 4/27/2015
C
|
|
|
|
|
|
|
300
|
|
|
|
317
|
|
Swire Properties Mtn., 4.375%, Due 6/18/2022
|
|
|
|
|
|
|
200
|
|
|
|
219
|
|
Temasek Financial I Ltd., 3.375%, Due 7/23/2042
|
|
|
|
|
|
|
250
|
|
|
|
245
|
|
The Korea Development Bank, 3.00%, Due 9/14/2022
|
|
|
|
|
|
|
200
|
|
|
|
202
|
|
UBS AG, 5.875%, Due 12/20/2017
|
|
|
|
|
|
|
300
|
|
|
|
357
|
|
United Overseas Bank Ltd., 5.375%, Due 9/3/2019
C
E
|
|
|
|
|
|
|
100
|
|
|
|
106
|
|
Virgin Media Finance plc, 4.875%, Due 2/15/2022
|
|
|
|
|
|
|
200
|
|
|
|
206
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,079
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials7.62%
|
|
|
|
|
|
|
|
|
|
|
|
|
African Export Import BA, 5.75%, Due 7/27/2016
|
|
|
|
|
|
|
347
|
|
|
|
376
|
|
American Axle & Manufacturing Holdings, Inc., 9.25%, Due 1/15/2017
C
|
|
|
|
|
|
|
44
|
|
|
|
49
|
|
ARAMARK Corp., 3.813%, Due 2/1/2015
B
|
|
|
|
|
|
|
50
|
|
|
|
50
|
|
ArcelorMittal, 4.25%, Due 8/5/2015
|
|
|
|
|
|
|
210
|
|
|
|
212
|
|
BAA SH PLC., 7.125%, Due 3/1/2017
|
|
|
GBP
|
|
|
|
70
|
|
|
|
121
|
|
BRFBrasil Foods S.A., 5.875%, Due 6/6/2022
C
|
|
|
|
|
|
|
200
|
|
|
|
220
|
|
British Telecommunications plc, 1.504%, Due 12/20/2013
E
|
|
|
|
|
|
|
200
|
|
|
|
201
|
|
Carnival plc, 4.25%, Due 11/27/2013
|
|
|
EUR
|
|
|
|
125
|
|
|
|
167
|
|
Case New Holland, Inc., 7.75%, Due 9/1/2013
|
|
|
|
|
|
|
60
|
|
|
|
63
|
|
Chesapeake Energy Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
7.625%, Due 7/15/2013
|
|
|
|
|
|
|
150
|
|
|
|
155
|
|
6.775%, Due 3/15/2019
|
|
|
|
|
|
|
21
|
|
|
|
21
|
|
China Resources Cement Holdings Ltd., 2.125%, Due 10/5/2017
|
|
|
|
|
|
|
200
|
|
|
|
199
|
|
Continental Airlines 2012-2 Class A Pass Thru Certificates, 4.00%, Due 4/29/2026
|
|
|
|
|
|
|
100
|
|
|
|
105
|
|
CSN Islands XII Corp., 7.00%, Due 12/31/2049
C
|
|
|
|
|
|
|
100
|
|
|
|
103
|
|
Digicel Ltd., 7.00%, Due 2/15/2020
C
|
|
|
|
|
|
|
400
|
|
|
|
422
|
|
DuPont Fabros Technology LP, 8.50%, Due 12/15/2017
D
|
|
|
|
|
|
|
45
|
|
|
|
49
|
|
Fidelity National Information Services, Inc., 5.00%, Due 3/15/2022
|
|
|
|
|
|
|
150
|
|
|
|
157
|
|
Ford Motor Credit Co. LLC, 5.00%, Due 5/15/2018
F
|
|
|
|
|
|
|
200
|
|
|
|
219
|
|
FTI Consulting, Inc., 6.00%, Due 11/15/2022
C
|
|
|
|
|
|
|
30
|
|
|
|
31
|
|
Gibraltar Industries, Inc., 8.00%, Due 12/1/2015
|
|
|
|
|
|
|
50
|
|
|
|
51
|
|
Heathrow Funding Ltd., 2.50%, Due 6/25/2017
C
|
|
|
|
|
|
|
200
|
|
|
|
207
|
|
Hewlett-Packard Co., 4.65%, Due 12/9/2021
|
|
|
|
|
|
|
140
|
|
|
|
135
|
|
Hospitality Properties Trust, 5.00%, Due 8/15/2022
A
|
|
|
|
|
|
|
40
|
|
|
|
43
|
|
Ineos Finance plc, 9.00%, Due 5/15/2015
C
|
|
|
|
|
|
|
145
|
|
|
|
155
|
|
Jaguar Land Rover plc, 8.125%, Due 5/15/2018
|
|
|
GBP
|
|
|
|
100
|
|
|
|
176
|
|
Marriott International, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, Due 3/1/2019
|
|
|
|
|
|
|
75
|
|
|
|
78
|
|
3.25%, Due 9/15/2022
|
|
|
|
|
|
|
30
|
|
|
|
30
|
|
Network Rail Infrastructure Finance plc, 1.75%, Due 3/18/2013
|
|
|
|
|
|
|
205
|
|
|
|
206
|
|
Noble Group Ltd., 8.50%, Due 5/30/2013
|
|
|
|
|
|
|
100
|
|
|
|
103
|
|
Packaging Corp of America, 3.90%, Due 6/15/2022
|
|
|
|
|
|
|
25
|
|
|
|
26
|
|
Petronas Global Sukuk Ltd., 4.25%, Due 8/12/2014
|
|
|
|
|
|
|
|
|
|
|
0
|
|
Plains Exploration & Production Co., 6.50%, Due 11/15/2020
|
|
|
|
|
|
|
80
|
|
|
|
82
|
|
Prospect Medical Holdings, Inc., 8.375%, Due 5/1/2019
C
|
|
|
|
|
|
|
50
|
|
|
|
52
|
|
PTT Global Chemical PCL, 4.25%, Due 9/19/2022
|
|
|
|
|
|
|
200
|
|
|
|
206
|
|
Reynolds Group Issuer Inc,
|
|
|
|
|
|
|
|
|
|
|
|
|
7.125%, Due 4/15/2019
|
|
|
|
|
|
|
100
|
|
|
|
108
|
|
7.875%, Due 8/15/2019
|
|
|
|
|
|
|
100
|
|
|
|
110
|
|
Rock-Tenn Co.,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.50%, Due 3/1/2020
C
|
|
|
|
|
|
|
20
|
|
|
|
21
|
|
4.00%, Due 3/1/2023
C
|
|
|
|
|
|
|
20
|
|
|
|
20
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
H
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
SandRidge Energy, Inc., 7.50%, Due 3/15/2021
|
|
|
|
|
|
$
|
50
|
|
|
$
|
52
|
|
Sinopec Group Overseas Development 2012 Ltd., 3.90%, Due 5/17/2022
|
|
|
|
|
|
|
200
|
|
|
|
217
|
|
Sirius XM Radio, Inc., 5.25%, Due 8/15/2022
C
|
|
|
|
|
|
|
50
|
|
|
|
50
|
|
SP PowerAssets LTD, 2.70%, Due 9/14/2022
|
|
|
|
|
|
|
200
|
|
|
|
197
|
|
Sprint Nextel Corp., 7.00%, Due 8/15/2020
|
|
|
|
|
|
|
30
|
|
|
|
32
|
|
Tenet Healthcare Corp., 4.75%, Due 6/1/2020
C
|
|
|
|
|
|
|
20
|
|
|
|
20
|
|
Vale S.A., 5.625%, Due 9/11/2042
|
|
|
|
|
|
|
100
|
|
|
|
108
|
|
Wyndham Worldwide Corp., 4.25%, Due 3/1/2022
|
|
|
|
|
|
|
50
|
|
|
|
52
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,457
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities0.18%
|
|
|
|
|
|
|
|
|
|
|
|
|
Tokyo Electric Power Co. Inc, 4.50%, Due 3/24/2014
|
|
|
EUR
|
|
|
|
100
|
|
|
|
131
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Corporate Obligations (Cost $18,894)
|
|
|
|
|
|
|
|
|
|
|
19,667
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE OBLIGATIONS1.50%
|
|
|
|
|
|
|
|
|
|
|
|
|
Communications0.04%
|
|
|
|
|
|
|
|
|
|
|
|
|
priceline.com, Inc., 1.00%, Due 3/15/2018
C
|
|
|
|
|
|
|
29
|
|
|
|
32
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials0.15%
|
|
|
|
|
|
|
|
|
|
|
|
|
Billion Express Investment Ltd, 0.75%, Due 10/18/2015
|
|
|
|
|
|
|
100
|
|
|
|
106
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials1.09%
|
|
|
|
|
|
|
|
|
|
|
|
|
ArcelorMittal, 5.00%, Due 5/15/2014
|
|
|
|
|
|
|
196
|
|
|
|
200
|
|
Glencore Finance Europe S.A., 5.00%, Due 12/31/2014
|
|
|
|
|
|
|
100
|
|
|
|
122
|
|
Lukoil International Finance BV, 2.625%, Due 6/16/2015
|
|
|
|
|
|
|
100
|
|
|
|
112
|
|
Microsoft Corp., 0.01%, Due 6/15/2013
C
|
|
|
|
|
|
|
100
|
|
|
|
101
|
|
Seadrill Ltd., 3.375%, Due 10/27/2017
|
|
|
|
|
|
|
100
|
|
|
|
135
|
|
Shire plc, 2.75%, Due 5/9/2014
|
|
|
|
|
|
|
100
|
|
|
|
110
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
780
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Sovereign/Government0.22%
|
|
|
|
|
|
|
|
|
|
|
|
|
KFW, 1.50%, Due 7/30/2014
|
|
|
EUR
|
|
|
|
100
|
|
|
|
157
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Convertible Obligations (Cost $1,039)
|
|
|
|
|
|
|
|
|
|
|
1,075
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
FOREIGN GOVERNMENT OBLIGATIONS18.42%
|
|
|
|
|
|
|
|
|
|
|
|
|
Buoni del Tesoro Poliennali, 2.35%, Due 9/15/2035
|
|
|
EUR
|
|
|
|
236
|
|
|
|
251
|
|
Comunidad De Madrid,
|
|
|
|
|
|
|
|
|
|
|
|
|
4.305%, Due 3/6/2014
|
|
|
EUR
|
|
|
|
100
|
|
|
|
129
|
|
4.20%, Due 9/24/2014
|
|
|
EUR
|
|
|
|
200
|
|
|
|
251
|
|
France (Govt OF) Bond, 4.50%, Due 4/25/2041
|
|
|
EUR
|
|
|
|
80
|
|
|
|
132
|
|
Hungary Government Bond,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.50%, Due 2/12/2016
|
|
|
HUF
|
|
|
|
170,000
|
|
|
|
770
|
|
7.50%, Due 11/12/2020
|
|
|
HUF
|
|
|
|
30,000
|
|
|
|
145
|
|
Instituto de Credito Oficial, 2.375%, Due 3/4/2013
|
|
|
USD
|
|
|
|
200
|
|
|
|
199
|
|
Italy Government International Bond, 3.125%, Due 1/26/2015
|
|
|
USD
|
|
|
|
200
|
|
|
|
203
|
|
KFW, 1.875%, Due 1/14/2013
|
|
|
USD
|
|
|
|
160
|
|
|
|
160
|
|
KommunalBanken AS, 1.375%, Due 6/8/2017
|
|
|
USD
|
|
|
|
200
|
|
|
|
204
|
|
Korea Treasury Bond,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.00%, Due 12/10/2013
|
|
|
KRW
|
|
|
|
352,000
|
|
|
|
326
|
|
5.75%, Due 9/10/2018
|
|
|
KRW
|
|
|
|
574,000
|
|
|
|
608
|
|
Malaysia Government Bond,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.702%, Due 2/25/2013
|
|
|
MYR
|
|
|
|
2,015
|
|
|
|
664
|
|
5.094%, Due 4/30/2014
|
|
|
MYR
|
|
|
|
575
|
|
|
|
194
|
|
Mexican Bonos,
|
|
|
|
|
|
|
|
|
|
|
|
|
7.00%, Due 6/19/2014
|
|
|
MXN
|
|
|
|
11,200
|
|
|
|
894
|
|
8.00%, Due 12/7/2023
|
|
|
MXN
|
|
|
|
2,500
|
|
|
|
232
|
|
8.50%, Due 5/31/2029
|
|
|
|
|
|
|
17,310
|
|
|
|
1,657
|
|
8.50%, Due 11/18/2038
|
|
|
MXN
|
|
|
|
4,350
|
|
|
|
416
|
|
Namibia International, 5.50%, Due 11/3/2021
|
|
|
USD
|
|
|
|
200
|
|
|
|
222
|
|
New Zealand Government Bond, 6.00%, Due 5/15/2021
|
|
|
NZD
|
|
|
|
350
|
|
|
|
343
|
|
Obrigacoes do Tesouro,
|
|
|
|
|
|
|
|
|
|
|
|
|
4.375%, Due 6/16/2014
|
|
|
EUR
|
|
|
|
100
|
|
|
|
131
|
|
3.85%, Due 4/15/2021
|
|
|
EUR
|
|
|
|
260
|
|
|
|
262
|
|
4.95%, Due 10/25/2023
|
|
|
EUR
|
|
|
|
205
|
|
|
|
214
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
H
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
Poland Government Bond,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.25%, Due 10/25/2020
|
|
|
PLN
|
|
|
$
|
3,045
|
|
|
$
|
1,061
|
|
5.75%, Due 9/23/2022
|
|
|
PLN
|
|
|
|
940
|
|
|
|
342
|
|
Republic of Ireland Treasury, 4.50%, Due 4/18/2020
|
|
|
EUR
|
|
|
|
255
|
|
|
|
334
|
|
Republic of Portugal, 3.50%, Due 3/25/2015
C
|
|
|
USD
|
|
|
|
200
|
|
|
|
188
|
|
South Africa Government Bond,
|
|
|
|
|
|
|
|
|
|
|
|
|
6.75%, Due 3/31/2021
|
|
|
ZAR
|
|
|
|
3,690
|
|
|
|
418
|
|
6.50%, Due 2/28/2041
|
|
|
ZAR
|
|
|
|
3,560
|
|
|
|
319
|
|
Turkey Government Bond, 9.00%, Due 3/5/2014
|
|
|
TRY
|
|
|
|
1,505
|
|
|
|
874
|
|
UK Treasury Bond, 1.75%, Due 9/7/2022
|
|
|
GBP
|
|
|
|
80
|
|
|
|
128
|
|
United Kingdom Gilt, 4.50%, Due 3/7/2013
|
|
|
GBP
|
|
|
|
475
|
|
|
|
769
|
|
Uruguay Government International Bond, 4.375%, Due 12/15/2028
|
|
|
UYU
|
|
|
|
2,429
|
|
|
|
147
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Foreign Government Obligations (Cost $12,610)
|
|
|
|
|
|
|
|
|
|
|
13,187
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSET-BACKED SECURITIES0.76%
|
|
|
|
|
|
|
|
|
|
|
|
|
Avenue CLO Fund Ltd., 0.66%, Due 2/15/2017, 2004 1A A1L
B
C
|
|
|
|
|
|
|
99
|
|
|
|
99
|
|
Carrington Mortgage Loan Trust, 0.308%, Due 5/25/2036, 2006 RFC1 A2
B
|
|
|
|
|
|
|
30
|
|
|
|
30
|
|
KGS Alpha SBA, 0.766%, Due 8/25/2038, COOF 8/37 1
I
|
|
|
|
|
|
|
5,000
|
|
|
|
212
|
|
Landmark CDO Ltd., 0.890%, Due 1/15/2016, 2003 3A A1L
B
C
|
|
|
|
|
|
|
13
|
|
|
|
13
|
|
Oakwood Mortgage Investors, Inc., 6.61%, Due 2/15/2021, 2001 C A3
|
|
|
|
|
|
|
340
|
|
|
|
183
|
|
Residential Asset Securities Corp., 0.788%, Due 7/25/2033, 2003 KS5
AIIB
B
|
|
|
|
|
|
|
10
|
|
|
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Asset-Backed Securities (Cost $518)
|
|
|
|
|
|
|
|
|
|
|
545
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NON-AGENCY MORTGAGE-BACKED OBLIGATIONS5.57%
|
|
|
|
|
|
|
|
|
|
|
|
|
Adjustable Rate Mortgage Trust, 3.107%, Due 9/25/2035, 2005 5 2A1
|
|
|
|
|
|
|
95
|
|
|
|
87
|
|
American Home Mortgage Investment Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.533%, Due 10/25/2034, 2004 3 5A
B
|
|
|
|
|
|
|
96
|
|
|
|
96
|
|
2.027%, Due 9/25/2045, 2005 2 4A1
B
|
|
|
|
|
|
|
11
|
|
|
|
10
|
|
Banc of America Alternative Loan Trust, 0.608%, Due 5/25/2035, 2005 4
CB6
B
|
|
|
|
|
|
|
101
|
|
|
|
73
|
|
Banc of America Mortgage Securities, Inc., 3.627%, Due 7/20/2032, 2002 G1A3
B
|
|
|
|
|
|
|
25
|
|
|
|
26
|
|
Bear Stearns Adjustable Rate Mortgage Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.831%, Due 11/25/2030, 2000 2 A1
|
|
|
|
|
|
|
63
|
|
|
|
65
|
|
2.764%, Due 8/25/2033, 2003 5 2A1
B
|
|
|
|
|
|
|
140
|
|
|
|
142
|
|
3.005%, Due 8/25/2033, 2003 5 1A1
B
|
|
|
|
|
|
|
58
|
|
|
|
58
|
|
3.109%, Due 4/25/2034, 2004 1 22A1
B
|
|
|
|
|
|
|
56
|
|
|
|
55
|
|
3.477%, Due 11/25/2034, 2004 9 22A1
B
|
|
|
|
|
|
|
35
|
|
|
|
35
|
|
2.47%, Due 10/25/2035, 2005 9 A1
B
|
|
|
|
|
|
|
79
|
|
|
|
75
|
|
Bear Stearns Alt-A Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.993%, Due 9/25/2034, 2004 9 2A1
B
|
|
|
|
|
|
|
208
|
|
|
|
179
|
|
2.961%, Due 11/25/2036, 2006 6 32A1
|
|
|
|
|
|
|
137
|
|
|
|
87
|
|
Chase Mortgage Finance Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.936%, Due 2/25/2037, 2007 A1 7A1
|
|
|
|
|
|
|
66
|
|
|
|
66
|
|
3.031%, Due 2/25/2037, 2007 A1 1A5
|
|
|
|
|
|
|
66
|
|
|
|
66
|
|
Citigroup Mortgage Loan Trust, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.689%, Due 8/25/2035, 2005 3 2A2A
|
|
|
|
|
|
|
67
|
|
|
|
67
|
|
1.99%, Due 9/25/2035, 2005 6 A3
B
|
|
|
|
|
|
|
68
|
|
|
|
68
|
|
Countrywide Alternative Loan Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
0.658%, Due 8/25/2033, 2003 15T2 A2
B
|
|
|
|
|
|
|
19
|
|
|
|
19
|
|
5.50%, Due 10/25/2033, 2003 20CB 1A4
|
|
|
|
|
|
|
165
|
|
|
|
167
|
|
6.00%, Due 10/25/2033, 2003 J2 A1
|
|
|
|
|
|
|
35
|
|
|
|
36
|
|
0.488%, Due 2/25/2037, 2005 81 A1
B
|
|
|
|
|
|
|
22
|
|
|
|
14
|
|
0.418%, Due 7/20/2046, 2006 OA9 2A1A
B
|
|
|
|
|
|
|
18
|
|
|
|
9
|
|
0.398%, Due 9/25/2046, 2006 OA11 A1B
B
|
|
|
|
|
|
|
23
|
|
|
|
15
|
|
Countrywide Home Loan Mortgage Pass Through Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.990%, Due 6/25/2033, 2003 27 A1
B
|
|
|
|
|
|
|
67
|
|
|
|
68
|
|
0.968%, Due 9/25/2034, 2004 16 1A4A
B
|
|
|
|
|
|
|
63
|
|
|
|
55
|
|
0.498%, Due 4/25/2035, 2005 3 2A1
B
|
|
|
|
|
|
|
282
|
|
|
|
200
|
|
0.438%, Due 5/25/2035, 2005 9 1A3
B
|
|
|
|
|
|
|
179
|
|
|
|
137
|
|
Credit Suisse First Boston Mortgage Securities Corp., 2.876%, Due 9/25/2034, 2004 AR8 2A1
|
|
|
|
|
|
|
59
|
|
|
|
60
|
|
Fastnet Securities plc, 0.666%, Due 3/10/2050, 4 A1
B
|
|
|
EUR
|
|
|
|
142
|
|
|
|
184
|
|
First Horizon Asset Securities, Inc., 2.536%, Due 2/25/2034, 2004 AR1
2A1
B
|
|
|
|
|
|
|
85
|
|
|
|
85
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
H
|
|
|
Fair Value
|
|
|
|
(000s)
|
|
|
(000s)
|
|
GSR Mortgage Loan Trust,
|
|
|
|
|
|
|
|
|
|
|
6.00%, Due 3/25/2032, 2003 2F 3A1
|
|
|
|
$
|
5
|
|
|
$
|
5
|
|
2.559%, Due 6/25/2034, 2004 7 3A1
|
|
|
|
|
60
|
|
|
|
59
|
|
5.133%, Due 11/25/2035, 2005 AR7 6A1
B
|
|
|
|
|
68
|
|
|
|
67
|
|
LB-UBS Commercial Mortgage Trust, 0.452%, Due 9/15/2045, 2007 C7 XW
|
|
|
|
|
1,560
|
|
|
|
22
|
|
Morgan Stanley ABS Capital I, 0.258%, Due 7/25/2036, 2006 A2FP
B
|
|
|
|
|
90
|
|
|
|
33
|
|
Nomura Asset Acceptance Corp., 7.50%, Due 3/25/2034, 2004 R1 A2
C
|
|
|
|
|
142
|
|
|
|
153
|
|
Residential Asset Securitization Trust, 2.850%, Due 12/25/2034, 2004 IP2 4A
|
|
|
|
|
117
|
|
|
|
117
|
|
Structured Adjustable Rate Mortgage Loan Trust,
|
|
|
|
|
|
|
|
|
|
|
2.805%, Due 5/25/2034, 2004 5 3A2
|
|
|
|
|
88
|
|
|
|
88
|
|
2.786%, Due 7/25/2034, 2004 8 3A
B
|
|
|
|
|
85
|
|
|
|
83
|
|
Structured Asset Mortgage Investments, Inc., 0.438%, Due 5/25/2045, 2005 AR2 2A1
B
|
|
|
|
|
125
|
|
|
|
89
|
|
Structured Asset Securities Corp., 5.50%, Due 5/25/2035, 2005 6 2A14
|
|
|
|
|
152
|
|
|
|
150
|
|
Vanderbilt Mortgage Finance, 8.525%, Due 3/7/2025, 2000 B IA4
|
|
|
|
|
38
|
|
|
|
39
|
|
WaMu Mortgage Pass Through Certificates,
|
|
|
|
|
|
|
|
|
|
|
2.473%, Due 3/25/2035, 2005 AR3 A1
|
|
|
|
|
63
|
|
|
|
60
|
|
1.872%, Due 12/19/2039, 2001 AR5 1A
|
|
|
|
|
126
|
|
|
|
126
|
|
0.438%, Due 4/25/2045, 2005 AR6 2A1A
B
|
|
|
|
|
183
|
|
|
|
171
|
|
0.528%, Due 7/25/2045, 2005 AR9 A1A
B
|
|
|
|
|
112
|
|
|
|
105
|
|
0.478%, Due 12/25/2045, 2005 AR17 A1A1
B
|
|
|
|
|
183
|
|
|
|
167
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, 2.343%, Due 2/25/2033, 2003 AR1 2A
B
|
|
|
|
|
4
|
|
|
|
4
|
|
Wells Fargo Mortgage Backed Securities Trust, 2.685%, Due 3/25/2035, 2005 AR3 2A1
B
|
|
|
|
|
144
|
|
|
|
146
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Non-Agency Mortgage-Backed Obligations (Cost $3,416)
|
|
|
|
|
|
|
|
|
3,988
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. AGENCY MORTGAGE-BACKED OBLIGATIONS0.03% (Cost $23)
|
|
|
|
|
|
|
|
|
|
|
Fannie Mae Grantor Trust, 6.00%, Due 2/25/2044, 2004 T3 CL 1A1
|
|
|
|
|
21
|
|
|
|
23
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. TREASURY OBLIGATIONS29.14%
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds8.87%
|
|
|
|
|
|
|
|
|
|
|
2.00%, Due 11/15/2021
|
|
|
|
|
700
|
|
|
|
734
|
|
3.875%, Due 4/15/2029
G
|
|
|
|
|
718
|
|
|
|
1,204
|
|
4.375%, Due 5/15/2041
|
|
|
|
|
325
|
|
|
|
434
|
|
2.375%, Due 1/15/2025
G
|
|
|
|
|
1,755
|
|
|
|
2,391
|
|
2.375%, Due 1/15/2027
G
|
|
|
|
|
184
|
|
|
|
256
|
|
1.75%, Due 1/15/2028
G
|
|
|
|
|
663
|
|
|
|
868
|
|
2.50%, Due 1/15/2029
G
|
|
|
|
|
323
|
|
|
|
467
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,354
|
|
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Notes20.27%
|
|
|
|
|
|
|
|
|
|
|
1.375%, Due 2/15/2013
|
|
|
|
|
800
|
|
|
|
802
|
|
3.125%, Due 4/30/2013
|
|
|
|
|
1,000
|
|
|
|
1,012
|
|
1.375%, Due 5/15/2013
|
|
|
|
|
350
|
|
|
|
352
|
|
0.375%, Due 6/30/2013
|
|
|
|
|
100
|
|
|
|
100
|
|
0.375%, Due 7/31/2013
|
|
|
|
|
500
|
|
|
|
501
|
|
0.75%, Due 8/15/2013
|
|
|
|
|
600
|
|
|
|
602
|
|
0.75%, Due 9/15/2013
|
|
|
|
|
1,100
|
|
|
|
1,105
|
|
0.125%, Due 9/30/2013
|
|
|
|
|
200
|
|
|
|
200
|
|
0.50%, Due 10/15/2013
|
|
|
|
|
1,700
|
|
|
|
1,704
|
|
0.25%, Due 10/31/2013
|
|
|
|
|
300
|
|
|
|
300
|
|
2.00%, Due 11/30/2013
|
|
|
|
|
1,000
|
|
|
|
1,018
|
|
1.875%, Due 4/30/2014
|
|
|
|
|
1,000
|
|
|
|
1,023
|
|
2.00%, Due 7/15/2014
G
|
|
|
|
|
368
|
|
|
|
388
|
|
0.25%, Due 8/31/2014
|
|
|
|
|
1,000
|
|
|
|
1,000
|
|
1.625%, Due 1/15/2015
G
|
|
|
|
|
121
|
|
|
|
129
|
|
1.00%, Due 8/31/2019
|
|
|
|
|
1,400
|
|
|
|
1,402
|
|
2.00%, Due 1/15/2026
G
|
|
|
|
|
117
|
|
|
|
154
|
|
1.75%, Due 5/15/2022
|
|
|
|
|
100
|
|
|
|
102
|
|
1.625%, Due 8/15/2022
|
|
|
|
|
2,600
|
|
|
|
2,614
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,508
|
|
|
|
|
|
|
|
|
|
|
|
|
Total U.S. Treasury Obligations (Cost $20,624)
|
|
|
|
|
|
|
|
|
20,862
|
|
|
|
|
|
|
|
|
|
|
|
|
SHORT-TERM INVESTMENTS14.04%
|
|
|
|
|
|
|
|
|
|
|
Other Investment Companies8.93%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Fair
Value
|
|
|
|
|
|
|
(000s)
|
|
JPMorgan U.S. Government Money Market Fund, Capital Class
|
|
|
6,394,733
|
|
|
$
|
6,395
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Par Amount
|
|
|
|
|
|
|
(000s)
|
|
|
|
|
Certificates Of Deposit0.70%
|
|
|
|
|
|
|
|
|
Banco do Brasil S.A., 0.01%, Due 3/26/2013
|
|
$
|
250
|
|
|
|
250
|
|
Itau Unibanco Holding SA, 0.01%, Due 3/26/2013
|
|
|
250
|
|
|
|
249
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
499
|
|
|
|
|
|
|
|
|
|
|
U.S. Treasury Bills4.41%
|
|
|
|
|
|
|
|
|
0.09%, Due 12/13/2012
|
|
|
2,185
|
|
|
|
2,185
|
|
0.01%, Due 11/14/2013
|
|
|
515
|
|
|
|
514
|
|
0.176%, Due 7/25/2013
|
|
|
460
|
|
|
|
460
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,159
|
|
|
|
|
|
|
|
|
|
|
Total Short-Term Investments (Cost 10,050)
|
|
|
|
|
|
|
10,053
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS96.93% (Cost $67,263)
|
|
|
|
|
|
|
69,400
|
|
PURCHASED OPTIONS0.04% (Cost $88)
|
|
|
|
|
|
|
26
|
|
WRITTEN OPTIONS(0.12%)
|
|
|
|
|
|
|
(89
|
)
|
OTHER ASSETS, NET OF LIABILITIES3.15%
|
|
|
|
|
|
|
2,266
|
|
|
|
|
|
|
|
|
|
|
TOTAL NET ASSETS100.00%
|
|
|
|
|
|
$
|
71,603
|
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
A
|
REITReal Estate Investment Trust.
|
B
|
The coupon rate shown on floating or adjustable rate securities represents the rate at period end. The due date on these types of securities reflects
the final maturity date.
|
C
|
Security exempt from registration under the Securities Act of 1933. These securities may be resold to qualified institutional buyers pursuant to Rule
144A. At the period end, the value of these securities amounted to $4,531 or 6.33% of net assets. The Fund has no right to demand registration of these securities.
|
F
|
Limited Liability Company.
|
G
|
Inflation-Indexed Note.
|
H
|
In U.S. dollars unless otherwise noted.
|
I
|
Valued at Fair Value pursuant to procedures approved by Board of Trustees.
|
Futures Contracts Open on November 30, 2012
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Type
|
|
|
Number of
Contracts
|
|
|
Expiration Date
|
|
|
Contract
Value
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
3-Month Canadian Bankers Acceptance December Futures
|
|
|
Long
|
|
|
|
21
|
|
|
|
December, 2012
|
|
|
$
|
5,216,996
|
|
|
$
|
(5,805
|
)
|
3-Month Canadian Bankers Acceptance March Futures
|
|
|
Short
|
|
|
|
21
|
|
|
|
March, 2013
|
|
|
|
5,218,582
|
|
|
|
7,013
|
|
3-Month Canadian Bankers Acceptance March Futures
|
|
|
Long
|
|
|
|
6
|
|
|
|
March, 2014
|
|
|
|
1,489,664
|
|
|
|
2,466
|
|
3-Month Canadian Bankers Acceptance June Futures
|
|
|
Short
|
|
|
|
6
|
|
|
|
June, 2014
|
|
|
|
1,488,909
|
|
|
|
(2,492
|
)
|
3-Month Sterling Interest Rate December Futures
|
|
|
Long
|
|
|
|
5
|
|
|
|
December, 2013
|
|
|
|
995,367
|
|
|
|
(481
|
)
|
3-Month Sterling Interest Rate March Futures
|
|
|
Short
|
|
|
|
22
|
|
|
|
March, 2014
|
|
|
|
6,609
|
|
|
|
(1,872
|
)
|
3-Month Sterling Interest Rate March Futures
|
|
|
Short
|
|
|
|
5
|
|
|
|
March, 2014
|
|
|
|
995,066
|
|
|
|
501
|
|
3-Month Sterling Interest Rate March Futures
|
|
|
Short
|
|
|
|
15
|
|
|
|
March, 2015
|
|
|
|
2,979,191
|
|
|
|
3,645
|
|
90 Day Eurodollar March Futures
|
|
|
Long
|
|
|
|
10
|
|
|
|
March, 2013
|
|
|
|
2,492,000
|
|
|
|
6,875
|
|
90 Day Eurodollar September Futures
|
|
|
Short
|
|
|
|
10
|
|
|
|
September, 2013
|
|
|
|
2,491,250
|
|
|
|
(6,675
|
)
|
90 Day Eurodollar December Futures
|
|
|
Short
|
|
|
|
21
|
|
|
|
December, 2015
|
|
|
|
5,208,000
|
|
|
|
(5,037
|
)
|
Euro OAT December Futures
|
|
|
Short
|
|
|
|
32
|
|
|
|
December, 2012
|
|
|
|
5,703,911
|
|
|
|
(92,690
|
)
|
Euro OAT December Futures
|
|
|
Short
|
|
|
|
7
|
|
|
|
December, 2012
|
|
|
|
1,247,731
|
|
|
|
(27,234
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
German Euro Bond December Futures
|
|
|
Short
|
|
|
|
22
|
|
|
|
December, 2012
|
|
|
$
|
4,085,679
|
|
|
$
|
(33,555
|
)
|
German Euro Bond December Futures
|
|
|
Short
|
|
|
|
1
|
|
|
|
December, 2012
|
|
|
|
185,713
|
|
|
|
(819
|
)
|
German Euro Bond December Futures
|
|
|
Short
|
|
|
|
52
|
|
|
|
December, 2012
|
|
|
|
7,492,861
|
|
|
|
(7,158
|
)
|
OMX Riksbank (RIBA) December Futures
|
|
|
Long
|
|
|
|
52
|
|
|
|
December, 2013
|
|
|
|
65,104
|
|
|
|
1,414
|
|
UK Long GILT March Futures
|
|
|
Short
|
|
|
|
1
|
|
|
|
March, 2013
|
|
|
|
191,223
|
|
|
|
(1,121
|
)
|
U.S. Treasury Bond ULTRA LNG March Futures
|
|
|
Short
|
|
|
|
2
|
|
|
|
March, 2013
|
|
|
|
331,875
|
|
|
|
2,219
|
|
U.S. Treasury 5 Year Note March Futures
|
|
|
Short
|
|
|
|
4
|
|
|
|
March, 2013
|
|
|
|
498,875
|
|
|
|
(1,219
|
)
|
U.S. Treasury 10 Year Note March Futures
|
|
|
Short
|
|
|
|
25
|
|
|
|
March, 2013
|
|
|
|
3,341,016
|
|
|
|
(10,547
|
)
|
U.S. Treasury 30 Year Note March Futures
|
|
|
Short
|
|
|
|
6
|
|
|
|
March, 2013
|
|
|
|
900,375
|
|
|
|
(94
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
52,625,997
|
|
|
$
|
(172,666
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Centrally cleared swap agreements outstanding on November 30, 2012:
Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/
Receive
Floating Rate
|
|
Floating Rate Index
|
|
|
Fixed
Rate
|
|
|
Maturity
Date
|
|
|
Curr
|
|
|
Notional
Amount
(4)
|
|
|
Upfront
Premiums
Paid
(Received)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair Value
|
|
Receive
|
|
|
6-Month JPY-LIBOR
|
|
|
|
0.500
|
%
|
|
|
1/15/2016
|
|
|
|
JPY
|
|
|
$
|
490,000,000
|
|
|
$
|
(14,412
|
)
|
|
$
|
(17,582
|
)
|
|
$
|
(31,994
|
)
|
Receive
|
|
|
3-Month USD-LIBOR
|
|
|
|
1.500
|
%
|
|
|
6/20/2017
|
|
|
|
USD
|
|
|
|
3,200,000
|
|
|
|
(22,133
|
)
|
|
|
(99,087
|
)
|
|
|
(121,220
|
)
|
Receive
|
|
|
3-Month USD-LIBOR
|
|
|
|
1.000
|
%
|
|
|
6/20/2022
|
|
|
|
USD
|
|
|
|
6,200,000
|
|
|
|
90,817
|
|
|
|
56,986
|
|
|
|
147,803
|
|
Receive
|
|
|
3-Month USD-LIBOR
|
|
|
|
1.750
|
%
|
|
|
12/19/2022
|
|
|
|
USD
|
|
|
|
5,100,000
|
|
|
|
70,813
|
|
|
|
(111,230
|
)
|
|
|
(40,417
|
)
|
Receive
|
|
|
6-Month AUD-BBSW
|
|
|
|
1.000
|
%
|
|
|
3/15/2023
|
|
|
|
AUD
|
|
|
|
1,400,000
|
|
|
|
(24,539
|
)
|
|
|
45,240
|
|
|
|
20,701
|
|
Receive
|
|
|
6-Month AUD-BBSW
|
|
|
|
3.750
|
%
|
|
|
3/15/2023
|
|
|
|
AUD
|
|
|
|
200,000
|
|
|
|
(591
|
)
|
|
|
(841
|
)
|
|
|
(1,432
|
)
|
Receive
|
|
|
6-Month JPY-LIBOR
|
|
|
|
2.500
|
%
|
|
|
6/15/2032
|
|
|
|
JPY
|
|
|
|
180,000,000
|
|
|
|
(26,909
|
)
|
|
|
24,864
|
|
|
|
(2,045
|
)
|
Receive
|
|
|
3-Month USD-LIBOR
|
|
|
|
1.000
|
%
|
|
|
12/19/2042
|
|
|
|
USD
|
|
|
|
3,200,000
|
|
|
|
33,894
|
|
|
|
16,668
|
|
|
|
50,562
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
106,940
|
|
|
$
|
(84,982
|
)
|
|
$
|
21,958
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
OTC Swap Agreements Outstanding on November 30, 2012:
Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/ Receive
Floating Rate
|
|
Floating Rate Index
|
|
Counterparty
|
|
|
Fixed
Rate
|
|
|
Maturity
Date
|
|
|
Curr
|
|
|
Notional
Amount
(4)
|
|
|
Upfront
Premiums
Paid
(Received)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair
Value
|
|
Receive
|
|
6-Month AUD-BBSW
|
|
|
CBK
|
|
|
|
4.750
|
%
|
|
|
6/15/2022
|
|
|
|
AUD
|
|
|
|
1,500,000
|
|
|
$
|
(8,926
|
)
|
|
$
|
136,348
|
|
|
$
|
127,422
|
|
Receive
|
|
6-Month AUD-BBSW
|
|
|
DUB
|
|
|
|
4.750
|
%
|
|
|
6/15/2022
|
|
|
|
AUD
|
|
|
|
600,000
|
|
|
|
(3,414
|
)
|
|
|
54,382
|
|
|
|
50,968
|
|
Receive
|
|
1-Month USD-LIBOR
|
|
|
GLM
|
|
|
|
0.783
|
%
|
|
|
7/10/2016
|
|
|
|
USD
|
|
|
|
2,200,000
|
|
|
|
430
|
|
|
|
5,724
|
|
|
|
6,154
|
|
Receive
|
|
1-Year BRL-CDI
|
|
|
GLM
|
|
|
|
9.930
|
%
|
|
|
1/2/2015
|
|
|
|
BRL
|
|
|
|
800,000
|
|
|
|
2,865
|
|
|
|
13,915
|
|
|
|
16,780
|
|
Pay
|
|
1-Year BRL-CDI
|
|
|
MYC
|
|
|
|
10.605
|
%
|
|
|
1/2/2012
|
|
|
|
BRL
|
|
|
|
4,300,000
|
|
|
|
29,554
|
|
|
|
88,012
|
|
|
|
117,566
|
|
Pay
|
|
1-Year BRL-CDI
|
|
|
BRC
|
|
|
|
10.115
|
%
|
|
|
1/2/2015
|
|
|
|
BRL
|
|
|
|
3,100,000
|
|
|
|
|
|
|
|
70,713
|
|
|
|
70,713
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
20,509
|
|
|
$
|
369,094
|
|
|
$
|
389,603
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Corporate and Sovereign Issues - Buy Protection
(1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index/Obligation
|
|
Counterparty
|
|
Fixed
Rate
|
|
|
Maturity
Date
|
|
|
Implied
Credit Spread
at
11/30/2012
(3)
|
|
|
Notional
Amount
(4)
|
|
|
Upfront
Premiums
Paid
(Received)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair Value
|
|
Credit Agricole SA
|
|
GLM
|
|
|
-1.000
|
%
|
|
|
12/20/2016
|
|
|
|
1.353
|
%
|
|
$
|
50,000
|
|
|
$
|
4,065
|
|
|
$
|
(3,170
|
)
|
|
$
|
895
|
|
Credit Agricole SA
|
|
DUB
|
|
|
-1.000
|
%
|
|
|
12/20/2016
|
|
|
|
1.353
|
%
|
|
|
150,000
|
|
|
|
13,371
|
|
|
|
(10,685
|
)
|
|
|
2,686
|
|
Credit Agricole SA
|
|
CBK
|
|
|
-1.000
|
%
|
|
|
06/20/2017
|
|
|
|
1.527
|
%
|
|
|
100,000
|
|
|
|
15,219
|
|
|
|
(12,333
|
)
|
|
|
2,886
|
|
DDR Corporation
|
|
BOA
|
|
|
-1.000
|
%
|
|
|
09/20/2017
|
|
|
|
1.719
|
%
|
|
|
400,000
|
|
|
|
2,441
|
|
|
|
(528
|
)
|
|
|
1,913
|
|
KIMCO Realty
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporation
|
|
BOA
|
|
|
-5.000
|
%
|
|
|
09/20/2017
|
|
|
|
1.152
|
%
|
|
|
200,000
|
|
|
|
461
|
|
|
|
(256
|
)
|
|
|
205
|
|
Chesapeake Energy
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Corporation
|
|
BOA
|
|
|
-5.000
|
%
|
|
|
06/20/2014
|
|
|
|
2.715
|
%
|
|
|
120,000
|
|
|
|
1,330
|
|
|
|
(5,517
|
)
|
|
|
(4,187
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
36,887
|
|
|
$
|
(32,489
|
)
|
|
$
|
(4,398
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Corporate and Sovereign Issues - Sell Protection
(2)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index/Obligation
|
|
Counterparty
|
|
Fixed
Rate
|
|
|
Maturity
Date
|
|
|
Implied
Credit Spread
at
11/30/2012
(3)
|
|
|
Notional
Amount
(4)
|
|
|
Upfront
Premiums
(Received)
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair Value
|
|
Republic of Italy
|
|
FBF
|
|
|
-1.000
|
%
|
|
|
06/20/2017
|
|
|
|
2.299
|
%
|
|
$
|
200,000
|
|
|
$
|
(24,630
|
)
|
|
$
|
13,559
|
|
|
$
|
(11,071
|
)
|
NRG Energy, Inc.
|
|
CBK
|
|
|
-5.000
|
%
|
|
|
06/20/2017
|
|
|
|
3.649
|
%
|
|
|
40,000
|
|
|
|
(2,224
|
)
|
|
|
4,477
|
|
|
|
2,253
|
|
Citibank N.A, NY
|
|
FBF
|
|
|
-1.000
|
%
|
|
|
09/20/2014
|
|
|
|
0.581
|
%
|
|
|
100,000
|
|
|
|
(1,062
|
)
|
|
|
1,819
|
|
|
|
757
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(27,916
|
)
|
|
$
|
19,855
|
|
|
$
|
(8,061
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Default Swaps on Credit Indices - Buy Protection
(
1)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index/Obligation
|
|
Counterparty
|
|
Fixed Pay
Rate
|
|
|
Maturity
Date
|
|
|
Curr
|
|
|
Notional
Amount
(4)
|
|
|
Premiums
Paid
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
|
Fair Value
(5)
|
|
iTraxx Europe 16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index
|
|
MYC
|
|
|
(5.000
|
)%
|
|
|
12/20/2017
|
|
|
|
EUR
|
|
|
$
|
280,000
|
|
|
$
|
9,994
|
|
|
$
|
(10,549
|
)
|
|
$
|
(555
|
)
|
iTraxx Europe 16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index
|
|
BRC
|
|
|
(5.000
|
)%
|
|
|
12/20/2017
|
|
|
|
EUR
|
|
|
|
800,000
|
|
|
|
10,082
|
|
|
|
(11,667
|
)
|
|
|
(1,585
|
)
|
iTraxx Europe 16
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Index
|
|
FBF
|
|
|
(5.000
|
)%
|
|
|
6/20/2017
|
|
|
|
GBP
|
|
|
|
800,000
|
|
|
|
8,414
|
|
|
|
(37,725
|
)
|
|
|
(29,311
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
28,490
|
|
|
$
|
(59,941
|
)
|
|
$
|
(31,451
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(1)
|
If the Fund is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either
(i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
(2)
|
If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either
(i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form
of cash or securities equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index.
|
(3)
|
Implied credit spreads, represented in absolute terms, utilized in determining the fair value of credit default swaps agreements on corporate issues
and sovereign 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 entitys credit
soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement.
|
(4)
|
The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit
event occurs as defined under the terms of that particular swap agreement.
|
(5)
|
The quoted market prices and resulting values for credit default swaps on asset-backed securities and credit indices serve as an indicator of the
current status of the payment/ performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/ sold as of the period end. Increasing fair
values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the referenced entitys credit soundness and greater likelihood or risk of default or other credit event occurring as defined under the
terms of the agreement.
|
Purchased options outstanding on November 30, 2012:
Interest Rate Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Floating Rate Index
|
|
Pay/Receive
Floating Rate
|
|
Exercise
Rate
|
|
|
Expiration
Date
|
|
Notional
Amount
|
|
|
Fair
Value
|
|
|
Premium
Paid
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Put-OTC 25-Year IRS
|
|
GLM
|
|
3-Month USD-LIBOR
|
|
Pay
|
|
|
3.750
|
%
|
|
1/14/2013
|
|
$
|
300,000
|
|
|
$
|
171
|
|
|
$
|
11,267
|
|
|
$
|
11,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
171
|
|
|
$
|
11,267
|
|
|
$
|
11,096
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on Exchange-Traded Future Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Exercise Price
|
|
|
Expiration Date
|
|
|
# of Contracts
|
|
|
Fair Value
|
|
|
Cost
|
|
|
Unrealized
Appreciation
(Depreciation)
|
|
Put - U.S. Treasury Notes 10 Year Future
|
|
$
|
390.63
|
|
|
|
2/22/2013
|
|
|
|
16
|
|
|
$
|
6,250
|
|
|
$
|
15,000
|
|
|
$
|
(8,750
|
)
|
Put - U.S. Treasury Notes 10 Year Future
|
|
|
250.00
|
|
|
|
2/22/2013
|
|
|
|
16
|
|
|
|
4,000
|
|
|
|
5,000
|
|
|
|
(1,000
|
)
|
Put - CME 90-Day Eurodollar September Future
|
|
|
22.50
|
|
|
|
9/16/2013
|
|
|
|
40
|
|
|
|
2,250
|
|
|
|
12,250
|
|
|
|
(10,000
|
)
|
Put - CME 90-Day Eurodollar September Future
|
|
|
37.50
|
|
|
|
12/16/2013
|
|
|
|
98
|
|
|
|
9,188
|
|
|
|
28,125
|
|
|
|
(18,937
|
)
|
Put - CME 90-Day Eurodollar September Future
|
|
|
107.50
|
|
|
|
12/15/2014
|
|
|
|
15
|
|
|
$
|
4,031
|
|
|
$
|
16,313
|
|
|
|
(12,282
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
25,719
|
|
|
$
|
76,688
|
|
|
$
|
(50,969
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Written options outstanding on November 30, 2012:
Interest Rate Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
|
Floating Rate Index
|
|
|
Exercise
Rate
|
|
|
Expiration
Date
|
|
|
Notional
Amount
|
|
|
Fair Value
|
|
|
Premium
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
Put - OTC 5-Year IRS
|
|
|
GLM
|
|
|
|
3-Month USD-LIBOR
|
|
|
|
3.750
|
%
|
|
|
1/14/2013
|
|
|
$
|
1,100,000
|
|
|
$
|
(65
|
)
|
|
$
|
(13,640
|
)
|
|
$
|
13,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(65
|
)
|
|
$
|
(13,640
|
)
|
|
$
|
13,575
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options on Exchange-Traded Future Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Exercise
Price
|
|
|
Expiration
Date
|
|
|
# of Contracts
|
|
|
Fair Value
|
|
|
Cost
|
|
|
Unrealized
Appreciation/
(Depreciation)
|
|
Put - U.S. Treasury Notes - 10 Year Future
|
|
$
|
31.25
|
|
|
|
12/21/2012
|
|
|
|
16
|
|
|
$
|
(500
|
)
|
|
$
|
(6,500
|
)
|
|
$
|
6,000
|
|
Put - U.S. Treasury Notes - 10 Year Future
|
|
|
156.25
|
|
|
|
2/22/2013
|
|
|
|
32
|
|
|
|
(5,000
|
)
|
|
|
(10,250
|
)
|
|
|
5,250
|
|
Put - CME 90-Day Eurodollar September Future
|
|
|
17.50
|
|
|
|
9/16/2013
|
|
|
|
40
|
|
|
|
(1,750
|
)
|
|
|
(9,750
|
)
|
|
|
8,000
|
|
Put - CME 90-Day Eurodollar December Future
|
|
|
30.00
|
|
|
|
12/16/2013
|
|
|
|
98
|
|
|
|
(7,350
|
)
|
|
|
(23,825
|
)
|
|
|
16,475
|
|
Put - CME 90-Day Eurodollar September Future
|
|
|
115.00
|
|
|
|
9/15/2014
|
|
|
|
29
|
|
|
|
(8,337
|
)
|
|
|
(9,225
|
)
|
|
|
888
|
|
Call - CME 90-Day Eurodollar December Future
|
|
|
132.50
|
|
|
|
12/15/2014
|
|
|
|
30
|
|
|
|
(9,938
|
)
|
|
|
(3,375
|
)
|
|
|
(6,563
|
)
|
Put - CME 90-Day Eurodollar December Future
|
|
|
70.00
|
|
|
|
12/15/2014
|
|
|
|
15
|
|
|
|
(2,625
|
)
|
|
|
(12,375
|
)
|
|
|
9,750
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(35,500
|
)
|
|
$
|
(75,300
|
)
|
|
$
|
39,800
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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Forward Currency Contracts Open at November 30, 2012:
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Type
|
|
Currency
|
|
|
Principal Amount
Covered by Contract
|
|
|
Settlement
Date
|
|
|
Counterparty
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
(Depreciation)
|
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
Buy
|
|
|
AUD
|
|
|
|
430,000
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
$
|
6,685
|
|
|
$
|
|
|
|
$
|
6,685
|
|
Buy
|
|
|
AUD
|
|
|
|
104,500
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
79
|
|
|
|
|
|
|
|
79
|
|
Buy
|
|
|
AUD
|
|
|
|
104,500
|
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|
|
2/20/2013
|
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|
|
JPM
|
|
|
|
1,253
|
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|
|
|
|
|
|
1,253
|
|
Buy
|
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AUD
|
|
|
|
155,500
|
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|
|
2/14/2013
|
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|
UAG
|
|
|
|
3,204
|
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|
|
|
|
|
|
3,204
|
|
Sell
|
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AUD
|
|
|
|
801,000
|
|
|
|
1/10/2013
|
|
|
|
BOA
|
|
|
|
|
|
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|
(5,532
|
)
|
|
|
(5,532
|
)
|
Sell
|
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AUD
|
|
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|
22,000
|
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|
1/10/2013
|
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|
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DUB
|
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|
20
|
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|
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20
|
|
Sell
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AUD
|
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170,000
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|
1/15/2013
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GST
|
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(214
|
)
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(214
|
)
|
Sell
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AUD
|
|
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|
1,987,000
|
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2/11/2013
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HUS
|
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(53,085
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)
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(53,085
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)
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Sell
|
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AUD
|
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163,000
|
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2/20/2013
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JPM
|
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|
2,289
|
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|
2,289
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Sell
|
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AUD
|
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293,000
|
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2/20/2013
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JPM
|
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|
2,330
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|
|
|
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|
2,330
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Sell
|
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AUD
|
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45,150
|
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|
1/15/2013
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JPM
|
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|
|
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|
(34
|
)
|
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|
(34
|
)
|
Sell
|
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AUD
|
|
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|
214,850
|
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|
1/15/2013
|
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JPM
|
|
|
|
740
|
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|
|
|
|
|
|
740
|
|
Sell
|
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AUD
|
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548,500
|
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2/5/2013
|
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JPM
|
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|
|
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(6,340
|
)
|
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|
(6,340
|
)
|
Sell
|
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AUD
|
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|
103,000
|
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|
2/5/2013
|
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JPM
|
|
|
|
354
|
|
|
|
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|
|
354
|
|
Sell
|
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AUD
|
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151,000
|
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|
2/20/2013
|
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JPM
|
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|
|
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|
(402
|
)
|
|
|
(402
|
)
|
Sell
|
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AUD
|
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209,000
|
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|
2/20/2013
|
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|
JPM
|
|
|
|
|
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|
(557
|
)
|
|
|
(557
|
)
|
Sell
|
|
|
AUD
|
|
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|
155,500
|
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|
2/14/2013
|
|
|
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UAG
|
|
|
|
|
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|
(4,313
|
)
|
|
|
(4,313
|
)
|
Buy
|
|
|
BRL
|
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|
581,457
|
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|
|
2/4/2013
|
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|
BCC
|
|
|
|
|
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|
(13,441
|
)
|
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|
(13,441
|
)
|
Buy
|
|
|
BRL
|
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|
581,457
|
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|
|
12/4/2012
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BCC
|
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|
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|
(13,992
|
)
|
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|
(13,992
|
)
|
Buy
|
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BRL
|
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|
2,033,000
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|
12/5/2012
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HUS
|
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|
|
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|
(25,652
|
)
|
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|
(25,652
|
)
|
Buy
|
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|
BRL
|
|
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|
2,033,000
|
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|
3/5/2013
|
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HUS
|
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|
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(13,380
|
)
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(13,380
|
)
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Sell
|
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BRL
|
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|
581,457
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12/4/2012
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BCC
|
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13,416
|
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|
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|
13,416
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Sell
|
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BRL
|
|
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|
2,033,000
|
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|
12/5/2012
|
|
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HUS
|
|
|
|
13,047
|
|
|
|
|
|
|
|
13,047
|
|
Buy
|
|
|
CAD
|
|
|
|
159,296
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
998
|
|
|
|
|
|
|
|
998
|
|
Buy
|
|
|
CAD
|
|
|
|
42,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(231
|
)
|
|
|
(231
|
)
|
Buy
|
|
|
CAD
|
|
|
|
66,500
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
420
|
|
|
|
|
|
|
|
420
|
|
Buy
|
|
|
CAD
|
|
|
|
208,680
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(109
|
)
|
|
|
(109
|
)
|
Buy
|
|
|
CAD
|
|
|
|
239,977
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
2,180
|
|
|
|
|
|
|
|
2,180
|
|
Sell
|
|
|
CAD
|
|
|
|
436,000
|
|
|
|
12/20/2012
|
|
|
|
DUB
|
|
|
|
8,152
|
|
|
|
|
|
|
|
8,152
|
|
Sell
|
|
|
CAD
|
|
|
|
42,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
27
|
|
|
|
|
|
|
|
27
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Principal Amount
Covered by Contract
|
|
|
Settlement
Date
|
|
|
Counterparty
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
(Depreciation)
|
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
Sell
|
|
|
CAD
|
|
|
|
206,176
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
$
|
2,627
|
|
|
$
|
|
|
|
$
|
2,627
|
|
Sell
|
|
|
CHF
|
|
|
|
2,040,000
|
|
|
|
1/18/2013
|
|
|
|
CBK
|
|
|
|
|
|
|
|
(14,709
|
)
|
|
|
(14,709
|
)
|
Sell
|
|
|
CHF
|
|
|
|
347,000
|
|
|
|
1/18/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(5,188
|
)
|
|
|
(5,188
|
)
|
Buy
|
|
|
CLP
|
|
|
|
219,610,000
|
|
|
|
2/12/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(1,899
|
)
|
|
|
(1,899
|
)
|
Buy
|
|
|
CLP
|
|
|
|
106,090,000
|
|
|
|
5/15/2013
|
|
|
|
HUS
|
|
|
|
2,078
|
|
|
|
|
|
|
|
2,078
|
|
Buy
|
|
|
CNY
|
|
|
|
262,752
|
|
|
|
2/1/2013
|
|
|
|
BCC
|
|
|
|
|
|
|
|
(36
|
)
|
|
|
(36
|
)
|
Buy
|
|
|
CNY
|
|
|
|
611,503
|
|
|
|
2/1/2013
|
|
|
|
BCC
|
|
|
|
1,854
|
|
|
|
|
|
|
|
1,854
|
|
Buy
|
|
|
CNY
|
|
|
|
843,500
|
|
|
|
4/7/2016
|
|
|
|
CBK
|
|
|
|
|
|
|
|
(12,562
|
)
|
|
|
(12,562
|
)
|
Buy
|
|
|
CNY
|
|
|
|
2,661,279
|
|
|
|
2/1/2013
|
|
|
|
DUB
|
|
|
|
5,698
|
|
|
|
|
|
|
|
5,698
|
|
Buy
|
|
|
CNY
|
|
|
|
182,323
|
|
|
|
2/1/2013
|
|
|
|
GST
|
|
|
|
119
|
|
|
|
|
|
|
|
119
|
|
Buy
|
|
|
CZK
|
|
|
|
1,071,200
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
1,587
|
|
|
|
|
|
|
|
1,587
|
|
Buy
|
|
|
CZK
|
|
|
|
1,068,803
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
1,722
|
|
|
|
|
|
|
|
1,722
|
|
Sell
|
|
|
CZK
|
|
|
|
664,591
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(1,005
|
)
|
|
|
(1,005
|
)
|
Buy
|
|
|
EUR
|
|
|
|
31,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
945
|
|
|
|
|
|
|
|
945
|
|
Buy
|
|
|
EUR
|
|
|
|
136,500
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
2,269
|
|
|
|
|
|
|
|
2,269
|
|
Buy
|
|
|
EUR
|
|
|
|
46,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
3,095
|
|
|
|
|
|
|
|
3,095
|
|
Buy
|
|
|
EUR
|
|
|
|
72,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
5,160
|
|
|
|
|
|
|
|
5,160
|
|
Buy
|
|
|
EUR
|
|
|
|
37,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
402
|
|
|
|
|
|
|
|
402
|
|
Buy
|
|
|
EUR
|
|
|
|
63,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
235
|
|
|
|
|
|
|
|
235
|
|
Buy
|
|
|
EUR
|
|
|
|
42,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
356
|
|
|
|
|
|
|
|
356
|
|
Buy
|
|
|
EUR
|
|
|
|
103,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
175
|
|
|
|
|
|
|
|
175
|
|
Buy
|
|
|
EUR
|
|
|
|
84,000
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
1,003
|
|
|
|
|
|
|
|
1,003
|
|
Buy
|
|
|
EUR
|
|
|
|
26,000
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
582
|
|
|
|
|
|
|
|
582
|
|
Buy
|
|
|
EUR
|
|
|
|
52,500
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
196
|
|
|
|
|
|
|
|
196
|
|
Sell
|
|
|
EUR
|
|
|
|
1,294,000
|
|
|
|
1/15/2013
|
|
|
|
BOA
|
|
|
|
|
|
|
|
(1,155
|
)
|
|
|
(1,155
|
)
|
Sell
|
|
|
EUR
|
|
|
|
483,000
|
|
|
|
2/5/2013
|
|
|
|
CBK
|
|
|
|
|
|
|
|
(1,755
|
)
|
|
|
(1,755
|
)
|
Sell
|
|
|
EUR
|
|
|
|
30,000
|
|
|
|
1/15/2013
|
|
|
|
DUB
|
|
|
|
|
|
|
|
(222
|
)
|
|
|
(222
|
)
|
Sell
|
|
|
EUR
|
|
|
|
101,000
|
|
|
|
2/14/2013
|
|
|
|
GFX
|
|
|
|
|
|
|
|
(2,171
|
)
|
|
|
(2,171
|
)
|
Sell
|
|
|
EUR
|
|
|
|
306,000
|
|
|
|
1/15/2013
|
|
|
|
GLM
|
|
|
|
|
|
|
|
(2,116
|
)
|
|
|
(2,116
|
)
|
Sell
|
|
|
EUR
|
|
|
|
3,937,000
|
|
|
|
2/5/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(56,630
|
)
|
|
|
(56,630
|
)
|
Sell
|
|
|
EUR
|
|
|
|
46,000
|
|
|
|
2/5/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(957
|
)
|
|
|
(957
|
)
|
Sell
|
|
|
EUR
|
|
|
|
246,000
|
|
|
|
2/5/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(4,363
|
)
|
|
|
(4,363
|
)
|
Sell
|
|
|
EUR
|
|
|
|
69,000
|
|
|
|
2/5/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(21
|
)
|
|
|
(21
|
)
|
Sell
|
|
|
EUR
|
|
|
|
72,838
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,065
|
)
|
|
|
(1,065
|
)
|
Sell
|
|
|
EUR
|
|
|
|
39,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,120
|
)
|
|
|
(1,120
|
)
|
Sell
|
|
|
EUR
|
|
|
|
105,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(276
|
)
|
|
|
(276
|
)
|
Sell
|
|
|
EUR
|
|
|
|
7,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(76
|
)
|
|
|
(76
|
)
|
Sell
|
|
|
EUR
|
|
|
|
136,500
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
28
|
|
|
|
|
|
|
|
28
|
|
Sell
|
|
|
EUR
|
|
|
|
37,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(102
|
)
|
|
|
(102
|
)
|
Sell
|
|
|
EUR
|
|
|
|
42,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,026
|
)
|
|
|
(1,026
|
)
|
Sell
|
|
|
EUR
|
|
|
|
103,000
|
|
|
|
3/1/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(175
|
)
|
|
|
(175
|
)
|
Sell
|
|
|
EUR
|
|
|
|
140,000
|
|
|
|
12/18/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,580
|
)
|
|
|
(2,580
|
)
|
Sell
|
|
|
EUR
|
|
|
|
84,000
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
876
|
|
|
|
|
|
|
|
876
|
|
Sell
|
|
|
EUR
|
|
|
|
103,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,527
|
)
|
|
|
(2,527
|
)
|
Sell
|
|
|
EUR
|
|
|
|
116,000
|
|
|
|
2/8/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,797
|
)
|
|
|
(2,797
|
)
|
Sell
|
|
|
EUR
|
|
|
|
42,000
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(1,284
|
)
|
|
|
(1,284
|
)
|
Sell
|
|
|
EUR
|
|
|
|
52,500
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(145
|
)
|
|
|
(145
|
)
|
Sell
|
|
|
EUR
|
|
|
|
150,000
|
|
|
|
2/5/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(1,456
|
)
|
|
|
(1,456
|
)
|
Sell
|
|
|
EUR
|
|
|
|
134,000
|
|
|
|
2/14/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(1,209
|
)
|
|
|
(1,209
|
)
|
Buy
|
|
|
GBP
|
|
|
|
577,000
|
|
|
|
12/13/2012
|
|
|
|
HUS
|
|
|
|
3,193
|
|
|
|
|
|
|
|
3,193
|
|
Buy
|
|
|
GBP
|
|
|
|
27,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
852
|
|
|
|
|
|
|
|
852
|
|
Buy
|
|
|
GBP
|
|
|
|
42,500
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
1,831
|
|
|
|
|
|
|
|
1,831
|
|
Buy
|
|
|
GBP
|
|
|
|
80,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(30
|
)
|
|
|
(30
|
)
|
Buy
|
|
|
GBP
|
|
|
|
66,495
|
|
|
|
12/18/2012
|
|
|
|
JPM
|
|
|
|
476
|
|
|
|
|
|
|
|
476
|
|
Sell
|
|
|
GBP
|
|
|
|
431,000
|
|
|
|
12/12/2012
|
|
|
|
FBF
|
|
|
|
|
|
|
|
(5,632
|
)
|
|
|
(5,632
|
)
|
Sell
|
|
|
GBP
|
|
|
|
110,000
|
|
|
|
12/13/2012
|
|
|
|
HUS
|
|
|
|
1,480
|
|
|
|
|
|
|
|
1,480
|
|
Sell
|
|
|
GBP
|
|
|
|
27,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
350
|
|
|
|
|
|
|
|
350
|
|
Sell
|
|
|
GBP
|
|
|
|
80,000
|
|
|
|
3/1/2013
|
|
|
|
JPM
|
|
|
|
27
|
|
|
|
|
|
|
|
27
|
|
Sell
|
|
|
GBP
|
|
|
|
108,000
|
|
|
|
12/18/2012
|
|
|
|
JPM
|
|
|
|
126
|
|
|
|
|
|
|
|
126
|
|
Sell
|
|
|
GBP
|
|
|
|
63,500
|
|
|
|
12/18/2012
|
|
|
|
JPM
|
|
|
|
74
|
|
|
|
|
|
|
|
74
|
|
Sell
|
|
|
GBP
|
|
|
|
3,000
|
|
|
|
12/18/2012
|
|
|
|
JPM
|
|
|
|
12
|
|
|
|
|
|
|
|
12
|
|
Sell
|
|
|
GBP
|
|
|
|
80,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(413
|
)
|
|
|
(413
|
)
|
Sell
|
|
|
GBP
|
|
|
|
112,000
|
|
|
|
2/8/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(560
|
)
|
|
|
(560
|
)
|
Sell
|
|
|
GBP
|
|
|
|
210,500
|
|
|
|
2/14/2013
|
|
|
|
UAG
|
|
|
|
967
|
|
|
|
|
|
|
|
967
|
|
Sell
|
|
|
GBP
|
|
|
|
106,500
|
|
|
|
2/14/2013
|
|
|
|
UAG
|
|
|
|
489
|
|
|
|
|
|
|
|
489
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Principal Amount
Covered by Contract
|
|
|
Settlement
Date
|
|
|
Counterparty
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
(Depreciation)
|
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
Buy
|
|
|
HKD
|
|
|
|
3,877,473
|
|
|
|
3/28/2013
|
|
|
|
UAG
|
|
|
$
|
394
|
|
|
$
|
|
|
|
$
|
394
|
|
Buy
|
|
|
IDR
|
|
|
|
1,231,458,000
|
|
|
|
1/30/2013
|
|
|
|
BCC
|
|
|
|
3,113
|
|
|
|
|
|
|
|
3,113
|
|
Sell
|
|
|
IDR
|
|
|
|
1,235,075,000
|
|
|
|
1/30/2013
|
|
|
|
BCC
|
|
|
|
|
|
|
|
(877
|
)
|
|
|
(877
|
)
|
Buy
|
|
|
INR
|
|
|
|
23,000,000
|
|
|
|
3/21/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(769
|
)
|
|
|
(769
|
)
|
Buy
|
|
|
INR
|
|
|
|
23,000,000
|
|
|
|
3/21/2013
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(243
|
)
|
|
|
(243
|
)
|
Buy
|
|
|
JPY
|
|
|
|
4,277,572
|
|
|
|
2/20/2013
|
|
|
|
GST
|
|
|
|
|
|
|
|
(70
|
)
|
|
|
(70
|
)
|
Buy
|
|
|
JPY
|
|
|
|
11,200,350
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(416
|
)
|
|
|
(416
|
)
|
Sell
|
|
|
JPY
|
|
|
|
37,123,000
|
|
|
|
12/10/2012
|
|
|
|
BRC
|
|
|
|
23,437
|
|
|
|
|
|
|
|
23,437
|
|
Sell
|
|
|
JPY
|
|
|
|
429,000,000
|
|
|
|
3/8/2013
|
|
|
|
CBK
|
|
|
|
141,578
|
|
|
|
|
|
|
|
141,578
|
|
Sell
|
|
|
JPY
|
|
|
|
6,772,720
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(457
|
)
|
|
|
(457
|
)
|
Sell
|
|
|
JPY
|
|
|
|
4,442,844
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
374
|
|
|
|
|
|
|
|
374
|
|
Sell
|
|
|
JPY
|
|
|
|
4,123,558
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
1,940
|
|
|
|
|
|
|
|
1,940
|
|
Buy
|
|
|
KRW
|
|
|
|
58,276,500
|
|
|
|
1/14/2013
|
|
|
|
GST
|
|
|
|
160
|
|
|
|
|
|
|
|
160
|
|
Sell
|
|
|
KRW
|
|
|
|
58,276,500
|
|
|
|
1/14/2013
|
|
|
|
GST
|
|
|
|
|
|
|
|
(376
|
)
|
|
|
(376
|
)
|
Sell
|
|
|
KRW
|
|
|
|
69,873,300
|
|
|
|
1/28/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,359
|
)
|
|
|
(1,359
|
)
|
Sell
|
|
|
KRW
|
|
|
|
140,414,400
|
|
|
|
12/17/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(3,591
|
)
|
|
|
(3,591
|
)
|
Sell
|
|
|
KRW
|
|
|
|
70,377,300
|
|
|
|
12/17/2012
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(1,952
|
)
|
|
|
(1,952
|
)
|
Buy
|
|
|
MXN
|
|
|
|
42,688
|
|
|
|
12/3/2012
|
|
|
|
DUB
|
|
|
|
|
|
|
|
(25
|
)
|
|
|
(25
|
)
|
Buy
|
|
|
MXN
|
|
|
|
1,581,250
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
1,871
|
|
|
|
|
|
|
|
1,871
|
|
Buy
|
|
|
MXN
|
|
|
|
1,586,666
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
1,878
|
|
|
|
|
|
|
|
1,878
|
|
Buy
|
|
|
MXN
|
|
|
|
4,051,955
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
4,795
|
|
|
|
|
|
|
|
4,795
|
|
Buy
|
|
|
MXN
|
|
|
|
549,181
|
|
|
|
1/28/2013
|
|
|
|
JPM
|
|
|
|
247
|
|
|
|
|
|
|
|
247
|
|
Buy
|
|
|
MXN
|
|
|
|
545,927
|
|
|
|
12/17/2012
|
|
|
|
JPM
|
|
|
|
160
|
|
|
|
|
|
|
|
160
|
|
Buy
|
|
|
MXN
|
|
|
|
1,049,271
|
|
|
|
12/17/2012
|
|
|
|
JPM
|
|
|
|
32
|
|
|
|
|
|
|
|
32
|
|
Buy
|
|
|
MXN
|
|
|
|
1,468,873
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
2,757
|
|
|
|
|
|
|
|
2,757
|
|
Buy
|
|
|
MXN
|
|
|
|
1,695,881
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
3,183
|
|
|
|
|
|
|
|
3,183
|
|
Sell
|
|
|
MXN
|
|
|
|
42,688
|
|
|
|
12/3/2012
|
|
|
|
BOA
|
|
|
|
|
|
|
|
(142
|
)
|
|
|
(142
|
)
|
Sell
|
|
|
MXN
|
|
|
|
42,688
|
|
|
|
4/3/2013
|
|
|
|
DUB
|
|
|
|
23
|
|
|
|
|
|
|
|
23
|
|
Sell
|
|
|
MXN
|
|
|
|
3,132,500
|
|
|
|
2/14/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(146
|
)
|
|
|
(146
|
)
|
Buy
|
|
|
MYR
|
|
|
|
3,299,604
|
|
|
|
1/25/2013
|
|
|
|
CBK
|
|
|
|
6,352
|
|
|
|
|
|
|
|
6,352
|
|
Buy
|
|
|
MYR
|
|
|
|
140,442
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
1,497
|
|
|
|
|
|
|
|
1,497
|
|
Buy
|
|
|
MYR
|
|
|
|
89,618
|
|
|
|
2/4/2013
|
|
|
|
UAG
|
|
|
|
851
|
|
|
|
|
|
|
|
851
|
|
Sell
|
|
|
MYR
|
|
|
|
89,618
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(112
|
)
|
|
|
(112
|
)
|
Buy
|
|
|
NOK
|
|
|
|
255,500
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
1,819
|
|
|
|
|
|
|
|
1,819
|
|
Buy
|
|
|
NOK
|
|
|
|
399,500
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
3,999
|
|
|
|
|
|
|
|
3,999
|
|
Buy
|
|
|
NOK
|
|
|
|
400,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
181
|
|
|
|
|
|
|
|
181
|
|
Buy
|
|
|
NOK
|
|
|
|
465,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
1,908
|
|
|
|
|
|
|
|
1,908
|
|
Sell
|
|
|
NOK
|
|
|
|
255,500
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(321
|
)
|
|
|
(321
|
)
|
Sell
|
|
|
NOK
|
|
|
|
400,000
|
|
|
|
2/14/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(182
|
)
|
|
|
(182
|
)
|
Sell
|
|
|
NOK
|
|
|
|
400,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,641
|
)
|
|
|
(1,641
|
)
|
Sell
|
|
|
NOK
|
|
|
|
400,000
|
|
|
|
2/14/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,315
|
)
|
|
|
(1,315
|
)
|
Sell
|
|
|
NOK
|
|
|
|
465,000
|
|
|
|
12/5/2012
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,861
|
)
|
|
|
(2,861
|
)
|
Buy
|
|
|
NZD
|
|
|
|
216,366
|
|
|
|
1/15/2013
|
|
|
|
GST
|
|
|
|
520
|
|
|
|
|
|
|
|
520
|
|
Buy
|
|
|
NZD
|
|
|
|
57,492
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
138
|
|
|
|
|
|
|
|
138
|
|
Buy
|
|
|
NZD
|
|
|
|
274,299
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
343
|
|
|
|
|
|
|
|
343
|
|
Sell
|
|
|
NZD
|
|
|
|
1,498,000
|
|
|
|
12/14/2012
|
|
|
|
CBK
|
|
|
|
|
|
|
|
(3,926
|
)
|
|
|
(3,926
|
)
|
Sell
|
|
|
NZD
|
|
|
|
642,000
|
|
|
|
12/14/2012
|
|
|
|
HUS
|
|
|
|
|
|
|
|
(4,321
|
)
|
|
|
(4,321
|
)
|
Sell
|
|
|
NZD
|
|
|
|
146,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
668
|
|
|
|
|
|
|
|
668
|
|
Sell
|
|
|
NZD
|
|
|
|
195,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(180
|
)
|
|
|
(180
|
)
|
Sell
|
|
|
NZD
|
|
|
|
539,768
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,309
|
)
|
|
|
(1,309
|
)
|
Sell
|
|
|
NZD
|
|
|
|
261,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
2,596
|
|
|
|
|
|
|
|
2,596
|
|
Sell
|
|
|
NZD
|
|
|
|
154,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(491
|
)
|
|
|
(491
|
)
|
Sell
|
|
|
PLN
|
|
|
|
131,145
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,876
|
)
|
|
|
(1,876
|
)
|
Buy
|
|
|
RON
|
|
|
|
335,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
1,611
|
|
|
|
|
|
|
|
1,611
|
|
Buy
|
|
|
RUB
|
|
|
|
13,400,000
|
|
|
|
1/14/2013
|
|
|
|
JPM
|
|
|
|
5,389
|
|
|
|
|
|
|
|
5,389
|
|
Sell
|
|
|
RUB
|
|
|
|
3,768,868
|
|
|
|
1/23/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(3,569
|
)
|
|
|
(3,569
|
)
|
Buy
|
|
|
SEK
|
|
|
|
2,585,000
|
|
|
|
2/14/2013
|
|
|
|
FBF
|
|
|
|
6,027
|
|
|
|
|
|
|
|
6,027
|
|
Buy
|
|
|
SEK
|
|
|
|
336,373
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
838
|
|
|
|
|
|
|
|
838
|
|
Buy
|
|
|
SEK
|
|
|
|
60,445
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
36
|
|
|
|
|
|
|
|
36
|
|
Buy
|
|
|
SEK
|
|
|
|
282,702
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
167
|
|
|
|
|
|
|
|
167
|
|
Buy
|
|
|
SEK
|
|
|
|
298,950
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
176
|
|
|
|
|
|
|
|
176
|
|
Buy
|
|
|
SEK
|
|
|
|
290,928
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
51
|
|
|
|
|
|
|
|
51
|
|
Buy
|
|
|
SEK
|
|
|
|
320,602
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
57
|
|
|
|
|
|
|
|
57
|
|
Buy
|
|
|
SEK
|
|
|
|
189,937
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
119
|
|
|
|
|
|
|
|
119
|
|
Buy
|
|
|
SEK
|
|
|
|
349,126
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(588
|
)
|
|
|
(588
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Principal Amount
Covered by Contract
|
|
|
Settlement
Date
|
|
|
Counterparty
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
(Depreciation)
|
|
|
Net Unrealized
Appreciation/
(Depreciation)
|
|
Buy
|
|
|
SEK
|
|
|
|
618,690
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
$
|
|
|
|
$
|
(1,320
|
)
|
|
$
|
(1,320
|
)
|
Buy
|
|
|
SEK
|
|
|
|
191,426
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
223
|
|
|
|
|
|
|
|
223
|
|
Buy
|
|
|
SEK
|
|
|
|
285,479
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
335
|
|
|
|
|
|
|
|
335
|
|
Buy
|
|
|
SEK
|
|
|
|
455,348
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
108
|
|
|
|
|
|
|
|
108
|
|
Sell
|
|
|
SEK
|
|
|
|
805,000
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,227
|
)
|
|
|
(1,227
|
)
|
Sell
|
|
|
SEK
|
|
|
|
284,648
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(311
|
)
|
|
|
(311
|
)
|
Sell
|
|
|
SEK
|
|
|
|
185,332
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
513
|
|
|
|
|
|
|
|
513
|
|
Sell
|
|
|
SEK
|
|
|
|
381,913
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(537
|
)
|
|
|
(537
|
)
|
Sell
|
|
|
SEK
|
|
|
|
287,757
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
6
|
|
|
|
|
|
|
|
6
|
|
Sell
|
|
|
SEK
|
|
|
|
284,499
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(232
|
)
|
|
|
(232
|
)
|
Sell
|
|
|
SEK
|
|
|
|
300,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
57
|
|
|
|
|
|
|
|
57
|
|
Sell
|
|
|
SEK
|
|
|
|
452,368
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,626
|
)
|
|
|
(1,626
|
)
|
Sell
|
|
|
SEK
|
|
|
|
450,768
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,200
|
)
|
|
|
(1,200
|
)
|
Sell
|
|
|
SEK
|
|
|
|
604,809
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,212
|
)
|
|
|
(2,212
|
)
|
Sell
|
|
|
SEK
|
|
|
|
449,178
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,033
|
)
|
|
|
(1,033
|
)
|
Sell
|
|
|
SEK
|
|
|
|
320,498
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(341
|
)
|
|
|
(341
|
)
|
Sell
|
|
|
SEK
|
|
|
|
302,977
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(961
|
)
|
|
|
(961
|
)
|
Sell
|
|
|
SEK
|
|
|
|
191,300
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(204
|
)
|
|
|
(204
|
)
|
Sell
|
|
|
SEK
|
|
|
|
285,236
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(299
|
)
|
|
|
(299
|
)
|
Sell
|
|
|
SEK
|
|
|
|
863,357
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,492
|
)
|
|
|
(2,492
|
)
|
Sell
|
|
|
SEK
|
|
|
|
1,586,156
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(2,620
|
)
|
|
|
(2,620
|
)
|
Sell
|
|
|
SEK
|
|
|
|
453,075
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,483
|
)
|
|
|
(1,483
|
)
|
Sell
|
|
|
SEK
|
|
|
|
455,621
|
|
|
|
2/20/2013
|
|
|
|
UAG
|
|
|
|
|
|
|
|
(200
|
)
|
|
|
(200
|
)
|
Buy
|
|
|
SGD
|
|
|
|
213,373
|
|
|
|
1/25/2013
|
|
|
|
BRC
|
|
|
|
|
|
|
|
(394
|
)
|
|
|
(394
|
)
|
Buy
|
|
|
TRY
|
|
|
|
322,659
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
1,998
|
|
|
|
|
|
|
|
1,998
|
|
Buy
|
|
|
TRY
|
|
|
|
51,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
5
|
|
|
|
|
|
|
|
5
|
|
Sell
|
|
|
TRY
|
|
|
|
317,458
|
|
|
|
1/15/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(1,400
|
)
|
|
|
(1,400
|
)
|
Sell
|
|
|
TRY
|
|
|
|
51,000
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
55
|
|
|
|
|
|
|
|
55
|
|
Buy
|
|
|
TWD
|
|
|
|
5,055,490
|
|
|
|
1/25/2013
|
|
|
|
DUB
|
|
|
|
|
|
|
|
(458
|
)
|
|
|
(458
|
)
|
Buy
|
|
|
ZAR
|
|
|
|
1,502,885
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(4,226
|
)
|
|
|
(4,226
|
)
|
Buy
|
|
|
ZAR
|
|
|
|
372,576
|
|
|
|
2/4/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(3,543
|
)
|
|
|
(3,543
|
)
|
Buy
|
|
|
ZAR
|
|
|
|
1,892,440
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(5,321
|
)
|
|
|
(5,321
|
)
|
Buy
|
|
|
ZAR
|
|
|
|
837,468
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(864
|
)
|
|
|
(864
|
)
|
Sell
|
|
|
ZAR
|
|
|
|
853,931
|
|
|
|
2/20/2013
|
|
|
|
JPM
|
|
|
|
|
|
|
|
(967
|
)
|
|
|
(967
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
320,663
|
|
|
$
|
(333,130
|
)
|
|
$
|
(12,467
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Glossary:
|
|
|
|
|
Counterparty Abbreviations:
|
|
|
|
|
|
|
|
|
|
|
|
|
BCC
|
|
Barclays Capital
|
|
DUB
|
|
Deusche Bank AG
|
|
GST
|
|
Goldman Sachs International
|
BRC
|
|
Barclays Bank PLC
|
|
FBF
|
|
Credit Suisse International
|
|
HUS
|
|
HSBC Bank USA
|
BOA
|
|
Bank of America, N.A.
|
|
GFX
|
|
Credit Suisse London Branch
|
|
JPM
|
|
JP Morgan Chase Bank, N.A.
|
CBK
|
|
Citibank, N.A.
|
|
GLM
|
|
Goldman Sachs Bank
|
|
MYC
|
|
Morgan Stanley Capital Securities, Inc.
|
|
|
|
|
|
|
|
|
UAG
|
|
UBS AG
|
|
|
|
|
|
Currency Abbreviations:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AUD
|
|
Australian Dollar
|
|
IDR
|
|
Indonesian Rupiah
|
|
PHP
|
|
Philippine Peso
|
BRL
|
|
Brazilian Real
|
|
INR
|
|
Indian Rupee
|
|
RON
|
|
New Romanian Leu
|
CAD
|
|
Canadian Dollar
|
|
JPY
|
|
Japanese Yen
|
|
RUB
|
|
Russian Ruble
|
CHF
|
|
Swiss Franc
|
|
KRW
|
|
South Korean Won
|
|
SEK
|
|
Swedish Krona
|
CLP
|
|
Chilean Peco
|
|
MXN
|
|
Mexico Peso
|
|
SGD
|
|
Singapore Dollar
|
CNY
|
|
Chinese Renminbi
|
|
MYR
|
|
Malaysian Ringgit
|
|
TRY
|
|
Turkish New Lira
|
EUR
|
|
Euro
|
|
NOK
|
|
Norwegian Krone
|
|
TWD
|
|
Taiwanese Dollar
|
GBP
|
|
British Pound
|
|
NZD
|
|
New Zealand Dollar
|
|
USD
|
|
United States Dollar
|
HKD
|
|
Hong Kong Dollar
|
|
PLN
|
|
Polish Zloty
|
|
UYU
|
|
Uruguayan Peso
|
HUF
|
|
Hungarian Forint
|
|
|
|
|
|
ZAR
|
|
South African Rand
|
|
|
|
Index Abbreviations:
|
|
|
|
|
iTraxx
|
|
Markit iTraxx Europe
|
|
Exchange
Abbreviations:
|
|
|
CME
|
|
Chicago Mercantile Exchange
|
OTC
|
|
Over-the-Counter
|
|
|
Other Abbreviations:
|
|
|
|
|
BBSW
|
|
Australian Financial Markets Associations Bank-Bill Reference Rate
|
LIBOR
|
|
London Interbank Offer Rate
|
CDI
|
|
Brazil Interbank Deposit Rate
|
EURIBOR
|
|
Euro Interbank Offer Rate
|
IRS
|
|
Interest Rate Swap
|
AMERICAN BEACON FUNDS
SUPPLEMENTARY NOTES TO SCHEDULES OF INVESTMENTS
Security Valuation and Fair Value
Measurements
Investments are valued at the close of the New York Stock Exchange (the Exchange), normally 4
p.m. ET, each day that the Exchange is open for business. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price or last evaluated quote if no sale has occurred) on
the primary market or exchange on which they trade.
Debt securities (other than short-term securities) normally are valued on
the basis of prices provided by an independent pricing service and may take into account appropriate factors such as institution-size trading in similar groups of securities, yield, quality, coupon rate, maturity, type of issue, trading
characteristics and other market data. The prices of debt securities may be determined using quotes obtained from brokers.
Investments in mutual funds are valued at the closing net asset value (NAV) per share of the mutual fund on the day of
valuation. Investment grade short-term obligations with 60 days or less to maturity are valued using the amortized cost method, which approximates fair value.
Securities for which the market prices are not readily available or are not reflective of the fair value of the security, as determined by the Manager, will be priced at a fair value following procedures
approved by the Trusts Board of Trustees (the Board).
Futures contracts are valued based upon their quoted
daily settlement prices. Upon entering into a futures contract, a Fund is required to deposit with its futures broker, an amount of cash or U.S. Government and Agency Obligations in accordance with the initial margin requirements of the broker or
exchange. Futures contracts are marked to market daily and an appropriate payable or receivable for the change in value (variation margin) is recorded by the Fund. Gains or losses are recognized but not considered realized until the
contracts expire or are closed. Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin disclosed on the Statement of Assets and Liabilities.
Other investments, including restricted securities and those financial instruments for which the above valuation procedures are
inappropriate or are deemed not to reflect fair value are stated at fair value as determined in good faith by the Valuation Committee, established by the Funds Board.
For valuation purposes, the last quoted price of non U.S. equity securities may be adjusted under the circumstances described below. If the Fund determines that developments between the close of a foreign
market and the close of the NYSE will, in its judgment, materially affect the value of some or all of its portfolio securities, the Fund will adjust the previous closing prices to reflect what it believes to be the fair value of the securities as of
the close of the NYSE. In deciding whether it is necessary to adjust closing prices to reflect fair value, the Fund reviews a variety of factors, including developments in foreign markets, the performance of U.S. securities markets, and the
performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. A Fund may also fair value securities in other situations, such as when a particular foreign market is closed but the Fund is
open. Adjustments to closing prices to reflect fair value on affected foreign securities may be provided by an independent pricing service.
Valuation Inputs
Various inputs may be used to determine the value of the Funds investments. These inputs are summarized in three broad levels for
financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1Quoted prices in active markets for identical securities.
Level 2Prices determined using other significant observable inputs. These may include quoted prices
for similar securities, interest rates, prepayment speeds, credit risk, and others. Level 2 securities are fixed-income securities that are valued using observable inputs as stated above.
Level 3Prices determined using significant unobservable inputs. Unobservable inputs reflect the Funds own assumptions about the factors market participants would use in pricing an investment,
and would be based on the best information available.
Level 1 and Level 2 trading assets and trading liabilities, at fair value
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S.
treasury obligations, sovereign issues, bank loans, convertible preferred securities, and non-U.S. bonds are normally valued by pricing service providers that use broker dealer quotations, reported trades or valuation estimates from their internal
pricing models. The service providers internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates, and quoted prices for similar assets. Securities
that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date
are categorized as Level 2 of the fair value hierarchy.
Mortgage-related and asset-backed securities are usually issued as
separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for
these securities usually consider tranche-level attributes, current market data, estimated cash flows, and market-based yield spreads for each tranche, and incorporates deal collateral performance, as available. Mortgage-related and asset-backed
securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts that are traded on a national securities exchange, are stated at the last reported sale or settlement
price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that
are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the close of the Exchange. These securities are valued using pricing service providers that consider the correlation of the
trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded
on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.
Investments in registered open-end investment management companies will be valued based upon the NAVs of such investments and are
categorized as Level 1 of the fair value hierarchy. Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair value. These investments are categorized as Level 2 of the fair value
hierarchy.
Over-the-counter (OTC) financial derivative instruments, such as foreign currency contracts, options
contracts, or swaps agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing
service providers. Depending on the product and the terms of the transaction, the value of the financial derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The
pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends, and exchange rates. Financial derivatives that use similar valuation techniques and inputs as
described above are categorized as Level 2 of the fair value hierarchy.
The Funds investments are summarized by level based on the inputs used to determine
their values. U.S. Generally Accepted Accounting Principles (U.S. GAAP) also requires all transfers between levels to be disclosed. The end of period timing recognition has been adopted for transfers between levels of the Funds
assets and liabilities. During the period ended November 30, 2012, there were no transfers between levels. As of November 30, 2012, the investments were classified as described below (in thousands):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zebra Small Cap Equity Fund
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stock
|
|
$
|
5,923
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
5,923
|
|
Short-Term Investments
|
|
|
331
|
|
|
|
|
|
|
|
|
|
|
|
331
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
6,254
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
6,254
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
8
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
8
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Zebra Large Cap Equity Fund
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stock
|
|
$
|
10,336
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
10,336
|
|
Short-Term Investments
|
|
|
417
|
|
|
|
|
|
|
|
|
|
|
|
417
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
10,753
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
10,753
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
9
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
9
|
|
|
|
|
|
|
London Company Income Equity Fund
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Preferred Stock
|
|
$
|
564
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
564
|
|
Common Stock
|
|
|
19,512
|
|
|
|
|
|
|
|
|
|
|
|
19,512
|
|
Short-Term Investments
|
|
|
640
|
|
|
|
|
|
|
|
|
|
|
|
640
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
20,716
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
20,716
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
|
|
$
|
5
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
5
|
|
|
|
|
|
|
SiM High Yield Opportunities Fund
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Common Stock
|
|
$
|
5,248
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
5,248
|
|
Preferred Stock
|
|
|
|
|
|
|
10,641
|
|
|
|
|
|
|
|
10,641
|
|
Convertible Obligations
|
|
|
|
|
|
|
19,624
|
|
|
|
|
|
|
|
19,624
|
|
Corporate Obligations
|
|
|
|
|
|
|
300,483
|
|
|
|
|
|
|
|
300,483
|
|
Sovereign Obligations
|
|
|
|
|
|
|
10,443
|
|
|
|
|
|
|
|
10,443
|
|
U.S. Agency Obligations
|
|
|
|
|
|
|
11,020
|
|
|
|
|
|
|
|
11,020
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
1,270
|
|
|
|
|
|
|
|
1,270
|
|
Short-Term Investments
|
|
|
2,752
|
|
|
|
|
|
|
|
|
|
|
|
2,752
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
8,000
|
|
|
$
|
353,481
|
|
|
$
|
|
|
|
$
|
361,481
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial derivative instruments-assets*
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Credit Contracts
|
|
$
|
|
|
|
$
|
556
|
|
|
$
|
|
|
|
$
|
556
|
|
Futures Contracts
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
10
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
10
|
|
|
$
|
556
|
|
|
$
|
|
|
|
$
|
566
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial derivative instruments-liabilities*
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Futures Contracts
|
|
$
|
(663
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(663
|
)
|
*
|
Financial derivative instruments may include open futures contracts, swap agreements, written swaptions, and foreign currency contracts.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Flexible Bond Fund
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Corporate Obligations
|
|
$
|
|
|
|
$
|
19,667
|
|
|
$
|
|
|
|
$
|
19,667
|
|
Convertible Obligations
|
|
|
|
|
|
|
1,075
|
|
|
|
|
|
|
|
1,075
|
|
Foreign Government Obligations
|
|
|
874
|
|
|
|
12,313
|
|
|
|
|
|
|
|
13,187
|
|
Asset-Backed Securities
|
|
|
|
|
|
|
545
|
|
|
|
|
|
|
|
545
|
|
Non-Agency Mortgage-Backed Obligations
|
|
|
|
|
|
|
3,988
|
|
|
|
|
|
|
|
3,988
|
|
U.S. Agency Mortgage-Backed Obligations
|
|
|
|
|
|
|
23
|
|
|
|
|
|
|
|
23
|
|
U.S. Treasury Obligations
|
|
|
|
|
|
|
20,862
|
|
|
|
|
|
|
|
20,862
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Other Investment Companies
|
|
|
6,395
|
|
|
|
|
|
|
|
|
|
|
|
6,395
|
|
Certificates of Deposit
|
|
|
499
|
|
|
|
|
|
|
|
|
|
|
|
499
|
|
U.S. Treasury Bills
|
|
|
|
|
|
|
3,159
|
|
|
|
|
|
|
|
3,159
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
7,768
|
|
|
$
|
61,632
|
|
|
$
|
|
|
|
$
|
69,400
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial derivative instruments-assets*
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Futures Contracts
|
|
$
|
24
|
|
|
$
|
|
|
|
$
|
|
|
|
$
|
24
|
|
Purchase Options Outstanding
|
|
|
26
|
|
|
|
|
|
|
|
|
|
|
|
26
|
|
Swap Agreements
|
|
|
|
|
|
|
619
|
|
|
|
|
|
|
|
619
|
|
Forward Currency Contracts
|
|
|
321
|
|
|
|
|
|
|
|
|
|
|
|
321
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
371
|
|
|
$
|
619
|
|
|
$
|
|
|
|
$
|
990
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial derivative instruments-liabilities*
|
|
Level 1
|
|
|
Level 2
|
|
|
Level 3
|
|
|
Total
|
|
Futures Contracts
|
|
$
|
(197
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(197
|
)
|
Written Options Outstanding
|
|
|
|
|
|
|
(89
|
)
|
|
|
|
|
|
|
(89
|
)
|
Swap Agreements
|
|
|
|
|
|
|
(242
|
)
|
|
|
|
|
|
|
(242
|
)
|
Forward Currency Contracts
|
|
|
(333
|
)
|
|
|
|
|
|
|
|
|
|
|
(333
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(530
|
)
|
|
$
|
(331
|
)
|
|
$
|
|
|
|
$
|
(861
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
*
|
Financial derivative instruments may include open futures contracts, swap agreements, written swaptions, and foreign currency contracts.
|
Currency Translation
All assets and liabilities initially expressed in foreign currency values are converted into U.S. dollar values at the mean of the bid and ask prices of such currencies against U.S. dollars as last quoted
by a recognized dealer.
Futures Contracts
Futures contracts are contracts to buy or sell a standard quantity of securities at a specified price on a future date. The Funds may enter into financial futures contracts as a method for keeping assets
readily convertible to cash if needed to meet shareholder redemptions or for other needs while maintaining exposure to the stock or bond market, as applicable. The primary risks associated with the use of futures contracts are the possibility of
illiquid markets or imperfect correlation between the values of the contracts and the underlying securities, or that the counterparty will fail to perform its obligations.
Upon entering into a futures contract, the Funds are required to set aside or deposit with a broker an amount, termed the initial margin, which typically represents a portion of the face value of the
futures contract. A Fund usually reflects this amount on the Schedule of Investments as a U.S. Treasury Bill held as collateral or as cash deposited with broker on the Statements of Assets and Liabilities. Payments to and from the broker, known as
variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. Changes in initial settlement values are accounted for as unrealized appreciation or (depreciation) until the contracts are terminated, at
which time realized gains and losses are recognized. Futures contracts are valued at the most recent settlement price established each day by the exchange on which they are traded.
Cost of Investments for Federal Income Tax Purposes
As of
November 30, 2012, the cost of investments for federal income tax purposes was as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cost of Investments
for Federal Income
Tax Purposes
|
|
|
Unrealized
Appreciation
|
|
|
Unrealized
Depreciation
|
|
|
Net Unrealized
Appreciation /
(Depreciation)
|
|
Zebra Small Cap Equity
|
|
$
|
6,076
|
|
|
$
|
537
|
|
|
$
|
(361
|
)
|
|
$
|
178
|
|
Zebra Large Cap Equity
|
|
|
10,401
|
|
|
|
736
|
|
|
|
(384
|
)
|
|
|
352
|
|
The London Company Income
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity
|
|
|
20,507
|
|
|
|
545
|
|
|
|
(336
|
)
|
|
|
209
|
|
SiM High Yield Opportunities
|
|
|
347,740
|
|
|
|
14,946
|
|
|
|
(1,205
|
)
|
|
|
13,741
|
|
Flexible Bond
|
|
|
66,984
|
|
|
|
4,187
|
|
|
|
(1,771
|
)
|
|
|
2,416
|
|
ITEM 2. CONTROLS AND PROCEDURES.
(a) Based upon an evaluation within 90 days of the filing date of this report, the principal executive and financial officers concluded that the disclosure controls and procedures of the Trust are
effective.
(b) There were no changes in the Trusts internal control over financial reporting during the Trusts last fiscal
quarter that materially affected, or were reasonably likely to materially affect, the Trusts internal control over financial reporting.
ITEM 3. EXHIBITS.
(a) A separate certification for each principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the Investment Company Act of 1940 is attached hereto as
EX-99.CERT.
SIGNATURES
Pursuant to
the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AMERICAN BEACON FUNDS
|
|
|
By:
|
|
/s/ Gene L. Needles, Jr.
|
|
|
Gene L. Needles, Jr.
|
|
|
President
|
Date: January 29, 2013
|
|
|
By:
|
|
/s/ Melinda G. Heika
|
|
|
Melinda G. Heika
|
|
|
Treasurer
|
Date: January 29, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in
the capacities and on the dates indicated.
|
|
|
By:
|
|
/s/ Gene L. Needles, Jr.
|
|
|
Gene L. Needles, Jr.
|
|
|
President
|
Date: January 29, 2013
|
|
|
By:
|
|
/s/ Melinda G. Heika
|
|
|
Melinda G. Heika
|
|
|
Treasurer
|
Date: January 29, 2013