LA PENA EN EL MARCO CONSTITUCIONAL DEL ECUADOR
PRIVACIÓN DE LIBERTAD.
Nominal Value Notional Value (000’s) Unrealised Appreciation/ (Depreciation) of Contracts (000’s)
U.S. Ultra Bond (CBT) December 2015 (11) $ (1,742) $ 60
Total Market Value of Futures Contracts (11) $ (1,742) $ 60
Unrealised Appreciation of Futures Contracts 60
Unrealised Depreciation of Futures Contracts –
Portfolio of Investments as at August 31, 2015
Face Value (000’s) Value (000’s) $ % of Net Asset Value Mortgage-Backed Securities — 3.52%2,368 Alternative Loan Trust 2007-16CB, Series 2007 16CB, Class 4A2,
38.404%, due 8/25/2037 * 4,517 0.36 146 American Home Mortgage
Assets Trust 2006-4, Series 2006 4, Class 1A12,
0.409%, due 10/25/2046 * 97 0.01 3,140 Credit Suisse Commercial
Mortgage Trust Series 2015- 8R 8R, Class 2A1,
4.500%, due 6/25/2036
∞
3,128 0.25 6,500 CSMC Trust 2015-SAND MZ,Series 2015 SAMZ, Class MZ, 144A,
5.926%, due 8/15/2022 * 6,500 0.52 6,750 Fannie Mae Connecticut
Avenue Securities, Series 2015 C03, Class 1M2,
5.199%, due 7/25/2025 * 6,771 0.54 3,220 Fannie Mae Connecticut
Avenue Securities, Series 2015 C03, Class 2M2,
5.199%, due 7/25/2025 * 3,214 0.25 6,000 LSTAR Securities Investment
Trust 2015-9,
zero coupon, due 9/1/2020
∞
6,000 0.48 7,246 Structured Asset SecuritiesCorp Mortgage Loan Trust Series 2007-RF2, Series 2007 RF2, Class 1A1, 144A,
0.619%, due 11/25/2037 * 4,510 0.36 16,296 WaMu Mortgage
Pass-Through Certificates Series 2005-AR15 Trust, Series 2005 AR15, Class A1C3,
0.679%, due 11/25/2045 * 9,437 0.75
Total Mortgage-Backed Securities
(Cost $44,346) 44,174 3.52
Corporate Bonds and Notes — 54.83% Australia — 0.42%
640 Ausdrill Finance Pty Ltd, 144A,
6.875%, due 11/1/2019 475 0.04 540 Barminco Finance Pty Ltd,
144A, 9.000%, due 6/1/2018 421 0.03 4,510 FMG Resources August 2006 Pty Ltd, 144A, 9.750%, due 3/1/2022 4,121 0.33 230 St Barbara Ltd, 144A, 8.875%, due 4/15/2018 214 0.02 5,231 0.42 Belgium — % 30 Anheuser-Busch Cos LLC, 6.500%, due 5/1/2042 39 – Brazil — 4.11% 211 Braskem Finance Ltd, 7.000%, due 5/7/2020 211 0.02 4,508 Braskem Finance Ltd, 5.750%, due 4/15/2021 4,080 0.32 1,710 Braskem Finance Ltd, 5.375%, due 5/2/2022 1,496 0.12 3,293 BRF SA, 4.750%, due 5/22/2024 3,219 0.26 2,680 CIMPOR Financial Operations
BV, 144A,
5.750%, due 7/17/2024 1,997 0.16 2,900 Gerdau Trade Inc,
4.750%, due 4/15/2023 2,440 0.19 3,504 GTL Trade Finance Inc,
5.893%, due 4/29/2024 3,054 0.24 5,300 Odebrecht Finance Ltd,
4.375%, due 4/25/2025 3,485 0.28 4,626 Odebrecht Finance Ltd,
5.250%, due 6/27/2029 2,914 0.23 2,180 Odebrecht Offshore Drilling
Finance Ltd, 144A, 6.625%, due 10/1/2022 1,199 0.09 Face Value (000’s) Value (000’s) $ % of Net Asset Value
14,644 Petrobras Global Finance BV,
6.250%, due 3/17/2024 12,825 1.02 3,845 Petrobras Global Finance
BV,
6.875%, due 1/20/2040 2,999 0.24 6,190 Petrobras Global Finance
BV,
6.750%, due 1/27/2041 4,740 0.38 1,197 Telemar Norte Leste SA,
5.500%, due 10/23/2020 954 0.08 7,895 Vale SA,
5.625%, due 9/11/2042 6,049 0.48 51,662 4.11
Canada — 0.49%
2,280 1011778 BC ULC / New Red Finance Inc, 144A,
6.000%, due 4/1/2022 2,348 0.19 3,670 Concordia Healthcare Corp,
144A,
7.000%, due 4/15/2023 3,790 0.30 6,138 0.49
Chile — 0.36%
2,440 AES Gener SA,
5.250%, due 8/15/2021 2,557 0.20 1,970 Empresa Nacional de Telecomunicaciones SA, 4.875%, due 10/30/2024 1,950 0.16 4,507 0.36 Colombia — 0.88% 1,660 Ecopetrol SA, 5.875%, due 9/18/2023 1,674 0.13 2,120 Ecopetrol SA, 4.125%, due 1/16/2025 1,868 0.15 1,380 Empresa de Energia de Bogota SA ESP, 6.125%, due 11/10/2021 1,446 0.12 3,980 Pacific Exploration and
Production Corp, 5.375%, due 1/26/2019 2,149 0.17 3,830 Transportadora de Gas Internacional SA ESP, 5.700%, due 3/20/2022 3,901 0.31 11,038 0.88 France — 1.80%
EUR 641 AXA SA,
3.941%, Perpetual * 705 0.06 134 CGG SA,
7.750%, due 5/15/2017 106 0.01 2,000 CGG SA,
6.500%, due 6/1/2021 1,125 0.09 10,280 Electricite de France SA,
5.250%, Perpetual * 10,383 0.83 3,750 Electricite de France SA,
5.625%, Perpetual * 3,816 0.30 EUR 1,130 Europcar Groupe SA,
5.750%, due 6/15/2022 1,302 0.10 EUR 2,810 Numericable-SFR SAS,
5.625%, due 5/15/2024 3,216 0.25 1,980 Rexel SA, 144A,
5.250%, due 6/15/2020 2,025 0.16 22,678 1.80
Germany — 0.83%
1,370 Fresenius Medical Care US Finance II Inc, 144A,
4.125%, due 10/15/2020 1,394 0.11 807 Schaeffler Holding Finance
BV, 144A,
6.875%, due 8/15/2018 833 0.07 EUR 660 Schaeffler Holding Finance
BV,
6.875%, due 8/15/2018 767 0.06 720 Schaeffler Holding Finance
BV, 144A,
6.750%, due 11/15/2022 768 0.06 EUR 2,830 Volkswagen International
Finance NV,
4.625%, Perpetual * 3,288 0.26 1,540 ZF North America Capital
Inc, 144A, 4.000%, due 4/29/2020 1,540 0.12 Face Value (000’s) Value (000’s) $ % of Net Asset Value
800 ZF North America Capital Inc, 144A,
4.500%, due 4/29/2022 775 0.06 1,130 ZF North America Capital
Inc, 144A,
4.750%, due 4/29/2025 1,071 0.09 10,436 0.83
Greece — 0.24%
2,860 FAGE Dairy Industry SA / FAGE USA Dairy Industry Inc,
9.875%, due 2/1/2020 2,996 0.24
India — 0.26%
3,120 Bharti Airtel International Netherlands BV, 144A, 5.350%, due 5/20/2024 3,332 0.26 Indonesia — 0.78% 3,680 Pertamina Persero PT, 5.250%, due 5/23/2021 3,708 0.30 6,250 Pertamina Persero PT, 4.875%, due 5/3/2022 6,055 0.48 9,763 0.78 Ireland — 0.22%
1,250 Ardagh Packaging Finance Plc, 144A,
9.125%, due 10/15/2020 1,312 0.10 600 Ardagh Packaging Finance
Plc / Ardagh Holdings USA Inc, 144A,
9.125%, due 10/15/2020 627 0.05 476 Ardagh Packaging Finance
Plc / Ardagh Holdings USA Inc, 144A,
7.000%, due 11/15/2020 481 0.04 250 Smurfit Kappa Treasury
Funding Ltd, 7.500%, due 11/20/2025 308 0.03 2,728 0.22 Jamaica — 0.33% 4,500 Digicel Group Ltd, 8.250%, due 9/30/2020 4,162 0.33 Japan — 0.13%
EUR 1,450 SoftBank Group Corp,
4.000%, due 7/30/2022 1,666 0.13
Luxembourg — 1.55%
CHF 714 Aguila 3 SA,
7.875%, due 1/31/2018 749 0.06 EUR 390 Altice Financing SA,
5.250%, due 2/15/2023 442 0.04 1,890 Altice Financing SA, 144A,
6.625%, due 2/15/2023 1,880 0.15 1,797 Ardagh Finance Holdings
SA, 144A,
8.625%, due 6/15/2019 1,895 0.15 EUR 473 ConvaTec Healthcare E SA,
10.875%, due 12/15/2018 559 0.04 1,480 Coveris Holdings SA, 144A,
7.875%, due 11/1/2019 1,436 0.11 710 DH Services Luxembourg
Sarl, 144A,
7.750%, due 12/15/2020 724 0.06 3,370 Intelsat Jackson Holdings
SA,
7.250%, due 10/15/2020 3,239 0.26 230 Intelsat Jackson Holdings
SA,
7.500%, due 4/1/2021 223 0.02 EUR 2,420 LSF9 Balta Issuer SA,
7.750%, due 9/15/2022 2,733 0.22 EUR 1,970 SIG Combibloc Holdings
SCA,
7.750%, due 2/15/2023 2,282 0.18 EUR 2,840 Unilabs Subholding AB,
8.500%, due 7/15/2018 3,296 0.26 19,458 1.55
Mexico — 1.96%
1,626 Alpek SAB de CV, 144A,
4.500%, due 11/20/2022 1,626 0.13 2,465 Axtel SAB de CV,
9.000%, due 1/31/2020 2,342 0.19
Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — (continued)
Mexico — (continued) MXN 2,811 Axtel SAB de CV, 9.000%, due 1/31/2020 311 0.02 4,745 Cemex Finance LLC, 9.375%, due 10/12/2022 5,303 0.42 4,600 Cemex SAB de CV, 5.700%, due 1/11/2025 4,313 0.34 780 Empresas ICA SAB de CV,
8.875%, due 5/29/2024 341 0.03 2,650 Empresas ICA SAB de CV,
144A, 8.875%, due 5/29/2024 1,159 0.09 2,105 Petroleos Mexicanos, 6.500%, due 6/2/2041 2,105 0.17 6,180 Petroleos Mexicanos, 5.500%, due 6/27/2044 5,347 0.43 1,820 Petroleos Mexicanos, 6.375%, due 1/23/2045 1,774 0.14 24,621 1.96 Morocco — 0.60% 4,100 OCP SA, 5.625%, due 4/25/2024 4,203 0.34 3,530 OCP SA, 4.500%, due 10/22/2025 3,324 0.26 7,527 0.60 Netherlands — 1.07%
EUR 1,800 ABN AMRO Bank NV,
2.875%, due 6/30/2025 * 2,055 0.17 GBP 3,000 Cooperatieve Centrale
Raiffeisen-Boerenleenbank BA/Netherlands,
4.625%, due 5/23/2029 4,649 0.37 2,960 JLL/Delta Dutch Pledgeco
BV, 144A, 8.750%, due 5/1/2020 3,034 0.24 2,910 NXP BV / NXP Funding LLC, 144A, 4.625%, due 6/15/2022 2,881 0.23 290 UPCB Finance IV Ltd, 144A, 5.375%, due 1/15/2025 282 0.02 540 Ziggo Bond Finance BV,
144A,
5.875%, due 1/15/2025 521 0.04 13,422 1.07
New Zealand — 0.02%
210 Reynolds Group Issuer Inc / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu,
8.500%, due 5/15/2018 213 0.02
Peru — 1.02%
6,980 Southern Copper Corp,
3.875%, due 4/23/2025 6,655 0.53 1,220 Southern Copper Corp,
5.250%, due 11/8/2042 992 0.08 5,450 Transportadora de Gas del
Peru SA,
4.250%, due 4/30/2028 5,164 0.41 12,811 1.02
Poland — 0.12%
EUR 950 Play Finance 1 SA, Series Regs,
6.500%, due 8/1/2019 1,104 0.09 EUR 397 TVN Finance Corp III AB,
7.875%, due 11/15/2018 459 0.03 1,563 0.12
Russia — 1.43%
306 EDC Finance Ltd,
4.875%, due 4/17/2020 256 0.02 100 Evraz Group SA, 144A,
9.500%, due 4/24/2018 102 0.01 4,390 Evraz Group SA,
6.750%, due 4/27/2018 4,159 0.33 4,700 Evraz Group SA,
6.500%, due 4/22/2020 4,095 0.33 5,320 Lukoil International Finance
BV, 6.656%, due 6/7/2022 5,337 0.42 Face Value (000’s) Value (000’s) $ % of Net Asset Value
1,350 Lukoil International Finance BV, 144A,
4.563%, due 4/24/2023 1,177 0.09 870 TMK OAO Via TMK Capital
SA,
6.750%, due 4/3/2020 725 0.06 1,010 Vimpel Communications Via
VIP Finance Ireland Ltd OJSC, 9.125%, due 4/30/2018 1,072 0.09 1,076 VimpelCom Holdings BV, 7.504%, due 3/1/2022 1,038 0.08 17,961 1.43 Singapore — 0.26% 3,250 Puma International Financing SA, 144A,
6.750%, due 2/1/2021 3,266 0.26 South Africa — 0.14% 1,696 AngloGold Ashanti Holdings Plc, 8.500%, due 7/30/2020 1,798 0.14 Spain — 0.37%
EUR 3,450 Grupo Isolux Corsan Finance BV, 6.625%, due 4/15/2021 2,051 0.16 GBP 1,600 Telefonica Europe BV, 6.750%, Perpetual * 2,583 0.21 4,634 0.37 Switzerland — 0.09%
EUR 950 gategroup Finance Luxembourg SA,
6.750%, due 3/1/2019 1,108 0.09
Turkey — 0.68%
2,180 Turk Telekomunikasyon AS, 144A,
3.750%, due 6/19/2019 2,149 0.17 6,750 Turk Telekomunikasyon AS,
144A, 4.875%, due 6/19/2024 6,435 0.51 8,584 0.68 United Kingdom — 7.95% GBP 960 AA Bond Co Ltd, 5.500%, due 7/31/2022 1,451 0.12 GBP 1,085 Anglian Water Osprey
Financing Plc,
7.000%, due 1/31/2018 1,800 0.14 GBP 2,275 Anglian Water Osprey
Financing Plc, 5.000%, due 4/30/2023 3,456 0.27 GBP 2,400 Annington Finance No 4 Plc, Series M, 1.748%, due 1/10/2023 * 3,662 0.29 GBP 610 Annington Finance No 4 Plc, Series C1, 8.070%, due 1/10/2023 1,225 0.10 EUR 4,850 Barclays Plc, 8.000%, Perpetual * 5,891 0.47 GBP 1,960 Boparan Finance Plc, 5.250%, due 7/15/2019 2,891 0.23 GBP 1,500 BUPA Finance Plc, 5.000%, due 4/25/2023 2,348 0.19 GBP 2,890 Centrica Plc, 5.250%, due 4/10/2075 * 4,343 0.35 GBP 1,180 Coventry Building Society,
6.375%, Perpetual * 1,741 0.14 GBP 2,740 Direct Line Insurance Group
Plc, 9.250%, due 4/27/2042 * 5,165 0.41 EUR 1,580 EC Finance Plc, 5.125%, due 7/15/2021 1,817 0.14 GBP 2,119 Equiniti Newco 2 plc, Series ReGs, 7.125%, due 12/15/2018 3,321 0.26 725 Globe Luxembourg SCA,
144A,
9.625%, due 5/1/2018 594 0.05 GBP 800 Grainger Plc,
5.000%, due 12/16/2020 1,254 0.10 GBP 1,459 Greene King Finance Plc,
Series B2, 2.651%, due 3/15/2036 * 1,926 0.15 Face Value (000’s) Value (000’s) $ % of Net Asset Value GBP 1,180 HSBC Bank Plc, 5.375%, due 8/22/2033 1,928 0.15 4,310 HSBC Holdings Plc, 6.375%, Perpetual * 4,283 0.34 3,990 KCA Deutag UK Finance
Plc, 144A,
7.250%, due 5/15/2021 2,853 0.23 GBP 3,370 Kelda Finance No 3 Plc,
5.750%, due 2/17/2020 5,378 0.43 EUR 4,980 Lloyds Banking Group Plc,
6.375%, Perpetual * 5,844 0.47 GBP 2,545 Marstons Issuer Plc, Series B1, 5.641%, due 7/15/2035 * 3,690 0.29 GBP 2,700 Priory Group No 3 Plc, 8.875%, due 2/15/2019 4,278 0.34 EUR 180 R&R Ice Cream Plc,
4.750%, due 5/15/2020 205 0.02 GBP 260 R&R Ice Cream Plc,
5.500%, due 5/15/2020 406 0.03 AUD 1,870 R&R Ice Cream Plc,
8.250%, due 5/15/2020 1,354 0.11 AUD 1,340 Royal Bank of Scotland Plc/
The, 13.125%, due 3/19/2022 * 1,069 0.08 GBP 770 Santander UK Group Holdings Plc, 7.375%, Perpetual * 1,202 0.10 GBP 2,300 Scottish Widows Plc, 5.500%, due 6/16/2023 3,653 0.29 GBP 900 Scottish Widows Plc, 5.125%, Perpetual * 1,365 0.11 GBP 3,094 Standard Chartered Plc, 5.125%, due 6/6/2034 4,410 0.35 GBP 803 Tesco Property Finance 5
Plc,
5.661%, due 10/13/2041 1,155 0.09 GBP 4,478 Tesco Property Finance 6
Plc,
5.411%, due 7/13/2044 6,312 0.50 450 Virgin Media Finance Plc,
144A,
6.375%, due 4/15/2023 468 0.04 GBP 1,250 Virgin Media Finance Plc,
6.375%, due 10/15/2024 1,979 0.16 GBP 2,300 Virgin Media Secured
Finance Plc, 5.500%, due 1/15/2021 3,698 0.29 GBP 380 Vougeot Bidco Plc, 7.875%, due 7/15/2020 621 0.05 GBP 487 Zurich Finance UK Plc, 6.625%, Perpetual * 832 0.07 99,868 7.95 United States — 26.72%
1,990 Acadia Healthcare Co Inc,
12.875%, due 11/1/2018 2,139 0.17 850 Acadia Healthcare Co Inc,
5.125%, due 7/1/2022 854 0.07 534 Actavis Funding SCS, 3.800%, due 3/15/2025 517 0.04 1,284 Actavis Funding SCS, 4.550%, due 3/15/2035 1,180 0.09 3,850 Actavis Funding SCS, 4.850%, due 6/15/2044 3,522 0.28 4,124 Actavis Funding SCS, 4.750%, due 3/15/2045 3,761 0.30 530 Activision Blizzard Inc,
144A, 6.125%, due 9/15/2023 570 0.05 1,040 AECOM, 144A, 5.875%, due 10/15/2024 1,048 0.08 10 AES Corp/VA, 8.000%, due 6/1/2020 12 – 110 Alliance One International
Inc,
9.875%, due 7/15/2021 93 0.01 660 Ally Financial Inc,
8.000%, due 12/31/2018 733 0.06 1,007 Ally Financial Inc,
7.500%, due 9/15/2020 1,168 0.09 2,244 American Airlines 2013-2
Class B Pass Through Trust, 144A,
Portfolio of Investments as at August 31, 2015 –(continued)
Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — (continued)United States — (continued)
50 Anadarko Petroleum Corp,
5.950%, due 9/15/2016 52 – 1,260 Antero Resources Corp,
5.125%, due 12/1/2022 1,141 0.09 1,170 Appvion Inc, 144A,
9.000%, due 6/1/2020 655 0.05 700 Arch Coal Inc,
7.000%, due 6/15/2019 91 0.01 740 Atwood Oceanics Inc,
6.500%, due 2/1/2020 633 0.05 1,220 Axiall Corp,
4.875%, due 5/15/2023 1,183 0.09 3,080 Ball Corp,
5.250%, due 7/1/2025 3,065 0.24 6,460 Bank of America Corp,
Series Z,
6.500%, Perpetual * 6,654 0.53 8,620 Bank of America Corp,
Series U,
5.200%, Perpetual * 8,139 0.65 810 Baxalta Inc, 144A,
5.250%, due 6/23/2045 815 0.07 1,500 Blue Racer Midstream LLC /
Blue Racer Finance Corp, 144A,
6.125%, due 11/15/2022 1,470 0.12 300 BreitBurn Energy Partners LP
/ BreitBurn Finance Corp,
8.625%, due 10/15/2020 161 0.01 170 Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 8.000%, due 10/1/2020 168 0.01 280 Caesars Entertainment Resort Properties LLC / Caesars Entertainment Resort Prope, 11.000%, due 10/1/2021 260 0.02 7,300 California Resources Corp,
6.000%, due 11/15/2024 5,413 0.43 720 Calumet Specialty Products
Partners LP / Calumet Finance Corp,
7.625%, due 1/15/2022 702 0.06 2,290 Carrizo Oil & Gas Inc,
6.250%, due 4/15/2023 2,061 0.16 280 CCO Holdings LLC / CCO
Holdings Capital Corp, 144A, 5.375%, due 5/1/2025 272 0.02 4,000 Celgene Corp, 5.000%, due 8/15/2045 4,036 0.32 980 Century Intermediate Holding Co 2, 144A, 9.750%, due 2/15/2019 1,017 0.08 880 CenturyLink Inc, Series W,
6.750%, due 12/1/2023 856 0.07 2,390 CenturyLink Inc, 144A,
5.625%, due 4/1/2025 2,134 0.17 970 Chesapeake Energy Corp,
6.875%, due 11/15/2020 778 0.06 1,350 Chesapeake Energy Corp,
6.125%, due 2/15/2021 1,045 0.08 30 Chesapeake Energy Corp,
4.875%, due 4/15/2022 22 – 1,220 Chesapeake Energy Corp,
5.750%, due 3/15/2023 910 0.07 49 Choctaw Resort
Development Enterprise, 144A,
7.250%, due 11/15/2019 48 – 501 Cincinnati Bell Telephone
Co LLC,
6.300%, due 12/1/2028 466 0.04 570 CIT Group Inc,
5.375%, due 5/15/2020 596 0.05 2,210 CIT Group Inc,
5.000%, due 8/15/2022 2,246 0.18 5,620 Citigroup Inc, Series D,
5.350%, Perpetual * 5,257 0.42 9,590 Citigroup Inc, Series M,
6.300%, Perpetual * 9,302 0.74 Face Value (000’s) Value (000’s) $ % of Net Asset Value
500 Cloud Peak Energy Resources LLC / Cloud Peak Energy Finance Corp,
6.375%, due 3/15/2024 287 0.02 260 Colorado Interstate Gas Co
LLC,
6.800%, due 11/15/2015 263 0.02 320 Comcast Corp,
3.600%, due 3/1/2024 327 0.03 2,290 Communications Sales &
Leasing Inc / CSL Capital LLC, 144A,
8.250%, due 10/15/2023 2,084 0.17 2,460 Compiler Finance Sub Inc,
144A,
7.000%, due 5/1/2021 1,660 0.13 390 Comstock Resources Inc,
10.000%, due 3/15/2020 313 0.03 1,440 Concho Resources Inc,
5.500%, due 4/1/2023 1,423 0.11 380 ConocoPhillips,
6.500%, due 2/1/2039 459 0.04 1,670 Constellation Brands Inc,
6.000%, due 5/1/2022 1,841 0.15 210 Constellation Brands Inc,
4.750%, due 11/15/2024 215 0.02 1,790 Crestwood Midstream
Partners LP / Crestwood Midstream Finance Corp,
6.000%, due 12/15/2020 1,692 0.14 890 Crestwood Midstream
Partners LP / Crestwood Midstream Finance Corp,
6.125%, due 3/1/2022 810 0.06 875 CSC Holdings LLC, 6.750%, due 11/15/2021 918 0.07 1,820 CSC Holdings LLC, 5.250%, due 6/1/2024 1,689 0.13 380 CST Brands Inc, 5.000%, due 5/1/2023 377 0.03 2,740 CTR Partnership LP /
CareTrust Capital Corp,
5.875%, due 6/1/2021 2,774 0.22 720 DaVita HealthCare Partners
Inc,
5.125%, due 7/15/2024 717 0.06 1,760 DaVita HealthCare Partners
Inc,
5.000%, due 5/1/2025 1,725 0.14 716 Delta Air Lines 2007-1
Class B Pass Through Trust, Series 071B, 8.021%, due 8/10/2022 815 0.07 170 DISH DBS Corp, 7.875%, due 9/1/2019 184 0.02 850 DISH DBS Corp, 6.750%, due 6/1/2021 853 0.07 2,275 DISH DBS Corp, 5.875%, due 7/15/2022 2,151 0.17 2,810 DISH DBS Corp, 5.875%, due 11/15/2024 2,561 0.20 2,125 DJO Finance LLC / DJO
Finance Corp,
10.750%, due 4/15/2020 2,157 0.17 3,060 DJO Finco Inc / DJO Finance
LLC / DJO Finance Corp, 144A,
8.125%, due 6/15/2021 3,166 0.25 850 Dole Food Co Inc, 144A,
7.250%, due 5/1/2019 858 0.07 390 Dollar Tree Inc, 144A,
5.250%, due 3/1/2020 409 0.03 360 Dollar Tree Inc, 144A,
5.750%, due 3/1/2023 377 0.03 660 DPx Holdings BV, 144A,
7.500%, due 2/1/2022 688 0.06 1,170 Eagle Spinco Inc,
4.625%, due 2/15/2021 1,141 0.09 200 El Paso Natural Gas Co LLC,
8.375%, due 6/15/2032 231 0.02 3,110 Endo Ltd / Endo Finance LLC
/ Endo Finco Inc, 144A,
6.000%, due 7/15/2023 3,234 0.26 865 Enterprise Products Operating LLC, Series A, 8.375%, due 8/1/2066 * 848 0.07 Face Value (000’s) Value (000’s) $ % of Net Asset Value 875 Enterprise Products Operating LLC, Series B, 7.034%, due 1/15/2068 * 934 0.07 3,720 ExamWorks Group Inc,
5.625%, due 4/15/2023 3,808 0.30 470 FCA US LLC / CG Co-Issuer
Inc,
8.250%, due 6/15/2021 504 0.04 300 First Cash Financial Services
Inc,
6.750%, due 4/1/2021 309 0.03 900 First Data Corp,
12.625%, due 1/15/2021 1,034 0.08 456 First Data Corp,
11.750%, due 8/15/2021 514 0.04 3,370 FirstEnergy Corp, Series C,
7.375%, due 11/15/2031 4,034 0.32 1,760 Florida East Coast Holdings
Corp, 144A,
6.750%, due 5/1/2019 1,773 0.14 290 Florida East Coast Holdings
Corp, 144A,
9.750%, due 5/1/2020 261 0.02 50 Fontainebleau Las Vegas
Holdings LLC, 144A,
10.250%, due 6/15/2015 – – 1,560 FTS International Inc,
6.250%, due 5/1/2022 585 0.05 50 General Electric Capital
Corp,
6.750%, due 3/15/2032 66 0.01 3,650 General Electric Capital
Corp,
6.875%, due 1/10/2039 4,905 0.39 EUR 606 General Electric Capital
Corp,
4.625%, due 9/15/2066 * 694 0.06 750 General Electric Capital
Corp,
6.375%, due 11/15/2067 * 801 0.06 5,460 General Motors Co,
6.250%, due 10/2/2043 5,848 0.47 130 General Motors Financial Co
Inc,
2.750%, due 5/15/2016 131 0.01 10 General Motors Financial Co
Inc,
3.250%, due 5/15/2018 10 – 760 Genesis Energy LP / Genesis
Energy Finance Corp,
6.750%, due 8/1/2022 737 0.06 1,570 Genesis Energy LP / Genesis
Energy Finance Corp,
6.000%, due 5/15/2023 1,437 0.11 9,030 Goldman Sachs Capital II,
4.000%, Perpetual * 6,633 0.53 450 Greektown Holdings LLC/
Greektown Mothership Corp, 144A,
8.875%, due 3/15/2019 470 0.04 1,600 Guitar Center Inc, 144A,
9.625%, due 4/15/2020 1,400 0.11 240 Gulfport Energy Corp,
7.750%, due 11/1/2020 233 0.02 3,080 Halcon Resources Corp,
8.875%, due 5/15/2021 1,016 0.08 690 Hardwoods Acquisition Inc,
144A, 7.500%, due 8/1/2021 655 0.05 290 HCA Inc, 7.500%, due 2/15/2022 333 0.03 1,840 HCA Inc, 4.750%, due 5/1/2023 1,865 0.15 4,120 HCA Inc, 5.375%, due 2/1/2025 4,182 0.33 810 Hearthside Group Holdings
LLC/Hearthside Finance Co, 144A,
6.500%, due 5/1/2022 761 0.06 1,650 Hercules Offshore Inc,
144A,
10.250%, due 4/1/2019 379 0.03 1,110 Hercules Offshore Inc,
144A,
7.500%, due 10/1/2021 250 0.02
Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — (continued)
United States — (continued)
800 Hercules Offshore Inc, 144A,
6.750%, due 4/1/2022 180 0.01 450 Hiland Partners LP / Hiland
Partners Finance Corp, 144A,
7.250%, due 10/1/2020 476 0.04 1,240 Howard Hughes Corp/The,
144A,
6.875%, due 10/1/2021 1,293 0.10 1,740 IASIS Healthcare LLC / IASIS
Capital Corp,
8.375%, due 5/15/2019 1,803 0.14 5,860 JPMorgan Chase & Co,
3.375%, due 5/1/2023 5,629 0.45 95 JPMorgan Chase & Co,
Series 1,
7.900%, Perpetual * 100 0.01 1,810 JPMorgan Chase & Co,
Series U,
6.125%, Perpetual * 1,810 0.14 430 Jurassic Holdings III Inc,
144A,
6.875%, due 2/15/2021 302 0.02 40 Kerr-McGee Corp,
7.875%, due 9/15/2031 50 – 1,370 Key Energy Services Inc,
6.750%, due 3/1/2021 575 0.05 40 Kinder Morgan Inc/DE,
7.000%, due 6/15/2017 43 – 10 Kinder Morgan Inc/DE,
7.250%, due 6/1/2018 11 – 550 Kinder Morgan Inc/DE,
8.050%, due 10/15/2030 620 0.05 1,735 Kinder Morgan Inc/DE,
7.800%, due 8/1/2031 1,886 0.15 565 Kinder Morgan Inc/DE,
7.750%, due 1/15/2032 607 0.05 6,260 Kraft Heinz Foods Co,
5.200%, due 7/15/2045 6,551 0.52 541 Lehman Escrow Receipt,
zero coupon, Perpetual †
∞
141 0.01 1,450 Linn Energy LLC / LinnEnergy Finance Corp,
6.500%, due 5/15/2019 620 0.05 1,340 Magnum Hunter Resources
Corp,
9.750%, due 5/15/2020 921 0.07 4,610 MarkWest Energy Partners
LP / MarkWest Energy Finance Corp,
4.875%, due 12/1/2024 4,276 0.34 2,290 MedImpact Holdings Inc,
144A,
10.500%, due 2/1/2018 2,402 0.19 1,070 MGM Resorts International,
6.625%, due 12/15/2021 1,137 0.09 780 Michael Baker International
LLC / CDL Acquisition Co Inc, 144A,
8.250%, due 10/15/2018 760 0.06 4,000 Micron Technology Inc,
5.500%, due 2/1/2025 3,720 0.30 3,201 Miran Mid-Atlantic Series C
Pass Through Trust, Series C,
10.060%, due 12/30/2028 3,305 0.26 1,280 Murphy Oil USA Inc,
6.000%, due 8/15/2023 1,318 0.11 4,860 Murray Energy Corp, 144A,
11.250%, due 4/15/2021 2,248 0.18 670 Natural Resource Partners LP
/ NRP Finance Corp, 9.125%, due 10/1/2018 494 0.04 2,400 Navient Corp, 8.000%, due 3/25/2020 2,430 0.19 3,670 Navient Corp, 5.875%, due 10/25/2024 3,101 0.25 170 Navient Corp, 5.625%, due 8/1/2033 116 0.01 760 Navios Maritime Acquisition
Corp / Navios Acquisition Finance US Inc, 144A,
8.125%, due 11/15/2021 726 0.06 Face Value (000’s) Value (000’s) $ % of Net Asset Value
1,130 Neiman Marcus Group Ltd LLC, 144A,
8.750%, due 10/15/2021 1,209 0.10 970 NES Rentals Holdings Inc,
144A,
7.875%, due 5/1/2018 963 0.08 2,650 Netflix Inc, 144A,
5.875%, due 2/15/2025 2,753 0.22 210 Novelis Inc,
8.750%, due 12/15/2020 209 0.02 780 NRG REMA LLC, Series C,
9.681%, due 7/2/2026 796 0.06 650 NWH Escrow Corp, 144A,
7.500%, due 8/1/2021 601 0.05 340 Outfront Media Capital LLC
/ Outfront Media Capital Corp,
5.250%, due 2/15/2022 342 0.03 1,250 Pacific Drilling SA, 144A,
5.375%, due 6/1/2020 900 0.07 1,040 Pacific Drilling V Ltd, 144A,
7.250%, due 12/1/2017 801 0.06 2,865 Pactiv LLC,
8.375%, due 4/15/2027 2,793 0.22 660 Parker Drilling Co,
6.750%, due 7/15/2022 515 0.04 2,340 Parsley Energy LLC / Parsley
Finance Corp, 144A,
7.500%, due 2/15/2022 2,293 0.18 1,060 QEP Resources Inc,
6.875%, due 3/1/2021 1,007 0.08 2,140 QEP Resources Inc,
5.250%, due 5/1/2023 1,852 0.15 2,850 Quicken Loans Inc, 144A,
5.750%, due 5/1/2025 2,779 0.22 930 Quicksilver Resources Inc,
11.000%, due 7/1/2021 60 0.01 EUR 2,169 Rain CII Carbon LLC / CII
Carbon Corp,
8.500%, due 1/15/2021 2,303 0.18 940 Range Resources Corp,
5.000%, due 3/15/2023 860 0.07 970 Regency Energy Partners LP
/ Regency Energy Finance Corp,
5.875%, due 3/1/2022 998 0.08 580 Regency Energy Partners LP
/ Regency Energy Finance Corp,
5.000%, due 10/1/2022 568 0.05 90 Regency Energy Partners LP
/ Regency Energy Finance Corp,
4.500%, due 11/1/2023 84 0.01 1,410 Resolute Forest Products
Inc,
5.875%, due 5/15/2023 1,156 0.09 6,120 Reynolds American Inc,
5.850%, due 8/15/2045 6,590 0.52 1,210 Rice Energy Inc,
6.250%, due 5/1/2022 1,077 0.09 990 Rice Energy Inc, 144A,
7.250%, due 5/1/2023 921 0.07 1,765 Ryerson Inc / Joseph T
Ryerson & Son Inc,
9.000%, due 10/15/2017 1,611 0.13 680 Sabine Pass Liquefaction
LLC,
5.625%, due 2/1/2021 670 0.05 2,710 Samson Investment Co,
9.750%, due 2/15/2020 7 – 1,560 Sanchez Energy Corp,
7.750%, due 6/15/2021 1,318 0.11 1,670 Sanchez Energy Corp,
Series WI,
6.125%, due 1/15/2023 1,252 0.10 35 Service Corp International/
US,
7.625%, due 10/1/2018 39 – 55 Service Corp International/
US,
7.500%, due 4/1/2027 63 0.01 1,230 Simmons Foods Inc,
7.875%, due 10/1/2021 1,147 0.09 Face Value (000’s) Value (000’s) $ % of Net Asset Value
355 Southern Natural Gas Co LLC,
8.000%, due 3/1/2032 418 0.03 7,650 Sprint Capital Corp,
8.750%, due 3/15/2032 7,239 0.58 110 Sprint Communications Inc,
144A, 9.000%, due 11/15/2018 122 0.01 1,960 Sprint Corp, 7.875%, due 9/15/2023 1,884 0.15 3,420 Sprint Corp, 7.625%, due 2/15/2025 3,191 0.25 1,290 Suburban Propane Partners
LP/Suburban Energy Finance Corp,
5.500%, due 6/1/2024 1,222 0.10 1,270 Suburban Propane Partners
LP/Suburban Energy Finance Corp,
5.750%, due 3/1/2025 1,216 0.10 1,700 Targa Resources Partners LP
/ Targa Resources Partners Finance Corp,
4.250%, due 11/15/2023 1,487 0.12 2,050 Taylor Morrison
Communities Inc / Monarch Communities Inc, 144A,
5.250%, due 4/15/2021 2,060 0.16 3,950 Tenet Healthcare Corp,
8.125%, due 4/1/2022 4,375 0.35 1,800 TerraForm Power Operating
LLC, 144A,
5.875%, due 2/1/2023 1,710 0.14 780 Tesoro Logistics LP / Tesoro
Logistics Finance Corp, 144A,
6.250%, due 10/15/2022 780 0.06 1,740 Time Warner Cable Inc,
8.750%, due 2/14/2019 2,056 0.16 1,060 Time Warner Cable Inc,
8.250%, due 4/1/2019 1,240 0.10 280 Time Warner Cable Inc,
4.125%, due 2/15/2021 285 0.02 1,900 Time Warner Inc,
4.000%, due 1/15/2022 1,948 0.16 1,120 T-Mobile USA Inc,
6.633%, due 4/28/2021 1,170 0.09 760 T-Mobile USA Inc,
6.125%, due 1/15/2022 784 0.06 1,250 T-Mobile USA Inc,
6.000%, due 3/1/2023 1,274 0.10 520 TMX Finance LLC / TitleMax
Finance Corp, 144A,
8.500%, due 9/15/2018 422 0.03 2,487 Ultra Petroleum Corp,
144A,
5.750%, due 12/15/2018 2,002 0.16 680 United Airlines 2014-2
Class B Pass Through Trust, Series B,
4.625%, due 9/3/2022 680 0.05 1,110 United Rentals North
America Inc,
7.375%, due 5/15/2020 1,178 0.09 850 United Rentals North
America Inc,
6.125%, due 6/15/2023 867 0.07 1,960 UnitedHealth Group Inc,
4.750%, due 7/15/2045 2,059 0.16 2,660 Universal Hospital Services
Inc,
7.625%, due 8/15/2020 2,565 0.20 6,930 Valeant Pharmaceuticals
International Inc, 144A,
6.125%, due 4/15/2025 7,138 0.57 930 Verizon Communications Inc, 6.900%, due 4/15/2038 1,110 0.09 5,801 Verizon Communications Inc, 6.550%, due 9/15/2043 6,871 0.55 3,070 Verizon Communications Inc, 5.012%, due 8/21/2054 2,811 0.22
Portfolio of Investments as at August 31, 2015 –(continued)
Face Value (000’s) Value (000’s) $ % of Net Asset Value Corporate Bonds and Notes — (continued)United States — (continued)
25 Verizon New York Inc, Series B,
7.375%, due 4/1/2032 29 – 4,890 Wells Fargo & Co, Series U,
5.875%, Perpetual * 5,006 0.40 3,670 West Corp, 144A,
5.375%, due 7/15/2022 3,450 0.28 640 William Lyon Homes Inc,
7.000%, due 8/15/2022 661 0.05 452 Williams Cos Inc/The,
Series A,
7.500%, due 1/15/2031 468 0.04 850 Williams Partners LP /
ACMP Finance Corp,
4.875%, due 3/15/2024 793 0.06 3,000 Windstream Services LLC, 7.500%, due 4/1/2023 2,348 0.19 1,050 WPX Energy Inc, 7.500%, due 8/1/2020 1,008 0.08 1,750 WPX Energy Inc, 8.250%, due 8/1/2023 1,684 0.13 610 XPO Logistics Inc, 144A,
7.875%, due 9/1/2019 647 0.05 EUR 1,730 XPO Logistics Inc,
5.750%, due 6/15/2021 1,874 0.15 100 XPO Logistics Inc, 144A,
6.500%, due 6/15/2022 98 0.01 335,778 26.72
Total Corporate Bonds and Notes
(Cost $747,614) 688,988 54.83
Government Bonds and Notes — 28.80% Brazil — 4.66%
BRL 27,868 Brazil Notas do Tesouro Nacional Serie B, Series NTNB,
6.000%, due 8/15/2050 17,978 1.43 BRL 105,394 Brazil Notas do Tesouro
Nacional Serie F, Series NTNF, 10.000%, due 1/1/2017 27,692 2.20 13,890 Brazilian Government International Bond, 4.250%, due 1/7/2025 12,883 1.03 58,553 4.66 Canada — 0.02%
CAD 160 Canadian Government Bond, Series CPI,
4.000%, due 12/1/2031 262 0.02
Colombia — 1.75%
22,590 Colombia Government International Bond,
5.625%, due 2/26/2044 21,940 1.75 COP 171,800 Colombian TES, Series B,
10.000%, due 7/24/2024 65 – 22,005 1.75
Cote d’Ivoire (Ivory Coast) — 0.25%
3,490 Ivory Coast Government International Bond, 5.375%, due 7/23/2024 3,153 0.25 Croatia — 0.39% 4,800 Croatia Government International Bond, 5.500%, due 4/4/2023 4,950 0.39 Dominican Republic — 0.25% 3,240 Dominican Republic International Bond, 5.500%, due 1/27/2025 3,208 0.25 Germany — 4.24% EUR 121 Bundesrepublik Deutschland, Series 00, 5.500%, due 1/4/2031 218 0.02 EUR 21,105 Deutsche Bundesrepublik
Inflation Linked Bond, Series I/L, 0.100%, due 4/15/2023 25,507 2.03 Face Value (000’s) Value (000’s) $ % of Net Asset Value
EUR 21,940 Deutsche Bundesrepublik Inflation Linked Bond, Series I/L, 0.500%, due 4/15/2030 27,534 2.19 53,259 4.24 Honduras — 0.26% 3,060 Honduras Government International Bond, 7.500%, due 3/15/2024 3,228 0.26 Indonesia — 1.12% 990 Indonesia Government International Bond, 3.750%, due 4/25/2022 949 0.08 355 Indonesia Government International Bond, 6.625%, due 2/17/2037 382 0.03 13,690 Indonesia Government International Bond, 5.250%, due 1/17/2042 12,697 1.01 14,028 1.12 Italy — 4.10%
EUR 37,972 Italy Buoni Poliennali Del Tesoro, 4.500%, due 3/1/2024 51,497 4.10 Kenya — 0.24% 3,140 Kenya Government International Bond, 6.875%, due 6/24/2024 3,037 0.24 Mexico — 2.82%
MXN 242,847 Mexican Bonos, Series M,
6.500%, due 6/9/2022 15,096 1.20 MXN 300,080 Mexican Bonos, Series M,
7.750%, due 11/13/2042 20,315 1.62 35,411 2.82 Turkey — 1.31% 610 Turkey Government International Bond, 7.000%, due 3/11/2019 678 0.05 6,139 Turkey Government International Bond, 6.250%, due 9/26/2022 6,716 0.53 8,620 Turkey Government International Bond, 5.750%, due 3/22/2024 9,133 0.73 16,527 1.31 United States — 7.39%
55,050 United States Treasury Note/Bond,
1.250%, due 10/31/2019 54,677 4.35 360 United States Treasury
Note/Bond,
2.250%, due 11/15/2024 362 0.03 36,539 United States Treasury
Note/Bond,
3.125%, due 2/15/2043 37,790 3.01 92,829 7.39
Total Government Bonds and Notes
(Cost $408,488) 361,947 28.80
Loan Notes — 2.77%
4,987 American Airlines Inc,
3.500%, due 6/27/2020 4,950 0.39 6,826 Energy Future Intermediate
Holding Co LLC / EFIH Finance Inc,
4.250%, due 6/19/2016 6,834 0.54 5,250 First Data Corp,
3.700%, due 3/24/2018 5,227 0.42 320 FMG Resources, 3.750%, due 6/30/2019 260 0.02 3,680 MPH Acquisition Holdings LLC, 3.750%, due 3/31/2021 3,645 0.29 1,990 Patheon Inc,
zero coupon, due 3/11/2021 1,974 0.16 6,983 Petsmart Inc, 4.250%, due 2/9/2022 6,981 0.55 Face Value (000’s) Value (000’s) $ % of Net Asset Value 4,988 Valeant Pharmaceuticals International, 4.000%, due 3/13/2022 4,995 0.40
Total Loan Notes (Cost $35,030) 34,866 2.77
Collective Investment Schemes — 9.58%
1,001 Legg Mason China Funds – Western Asset China
Bond Fund, Class M 11,871 0.95 162 Legg Mason Global Funds
Plc – Western Asset Emerging Markets Corporate Bond Fund – LM Class US$ Distributing
(M) 15,111 1.20
EUR 158 Legg Mason Global Funds Plc – Western Asset Euro High Yield Fund LM Class
Euro (Accumulating) 25,538 2.03 551 Legg Mason Global Funds
Plc – Western Asset US High Yield Fund – LM
Class US$ Distributing (M) 48,252 3.84 210 Legg Mason Qualified
Investor Funds (II) Plc – Legg Mason Western Asset Senior Loans Fund – LM Class US$ Distributing
(monthly) 19,660 1.56
Total Collective Investment Schemes
(Cost $126,582) 120,432 9.58
Common Stock — 0.03% United States — 0.03%
52 Deep Ocean Group
Holdings †
∞
334 0.03Total Common Stock (Cost $847) 334 0.03
Total Investments Excluding Options
(Cost $1,362,907) 1,250,741 99.53 Contracts (000’s) Value (000’s) $ % of Net Asset Value Options — (0.02)% Purchased Options — 0.02%
64,650 USD Call/KRW Put
1,210, due 9/18/2015 227 0.02
Written Options — (0.04%)
(1) U.S. 5 Year October 2015 Call
119.50, due 9/25/2015 (296) (0.03) – U.S. Bond October 2015
Call
158.00, due 9/25/2015 (126) (0.01) (422) (0.04)
Total Options (Cost $(22)) (195) (0.02)
Total Investments (Cost $1,362,885) 1,250,546 99.51
Other Assets in Excess of Liabilities 6,100 0.49
Total Net Assets $1,256,646 100.00 – Amounts designated as “–” are either $0, less than
$1,000 or less than 1,000 shares.
144A Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. These securities may only be resold, in transactions exempt from registration, to qualified institutional buyers. As at August 31, 2015, these securities amounted to $141,011,000 or 11.21% of net assets.
* Variable rate security. The interest rate shown reflects the rate in effect at August 31, 2015.
† Illiquid.
∞
Security is valued in good faith at fair value by or at the discretion of the Investment Manager. Security is in default as at August 31, 2015.
 The rate of interest on this type of security is tied to the Consumer Price Index (CPI)/Retail Price Index (RPI). The coupon rate is the rate as of August 31, 2015.
ABBREVIATIONS:
Perpetual – A bond with no maturity date. Perpetual bonds are not redeemable but pay a steady stream of interest
AUD – Australian Dollar BRL – Brazilian Real CAD – Canadian Dollar CHF – Swiss Franc COP – Colombia Peso EUR – Euro