Managers Real Estate Securities Fund
Schedule of Portfolio Investments
January 31, 2013 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Common Stocks - 0.7%
|
|
|
|
|
|
|
|
|
CyrusOne, Inc. (Industrials)
(cost $1,249,290)
*
|
|
|
59,980
|
|
|
$
|
1,269,777
|
|
REITs - 97.1%
|
|
|
|
|
|
|
|
|
Apartments - 18.4%
|
|
|
|
|
|
|
|
|
American Campus Communities, Inc.
|
|
|
54,550
|
|
|
|
2,540,394
|
|
Apartment Investment & Management Co., Class A
|
|
|
44,190
|
|
|
|
1,205,503
|
|
AvalonBay Communities, Inc.
|
|
|
41,860
|
|
|
|
5,433,009
|
|
BRE Properties, Inc.
|
|
|
43,980
|
|
|
|
2,237,702
|
|
Camden Property Trust
|
|
|
26,255
|
|
|
|
1,821,834
|
|
Campus Crest Communities, Inc.
|
|
|
44,800
|
|
|
|
541,184
|
|
Equity Residential
|
|
|
155,430
|
|
|
|
8,609,268
|
|
Essex Property Trust, Inc.
|
|
|
27,780
|
|
|
|
4,272,008
|
|
UDR, Inc.
|
|
|
246,940
|
|
|
|
5,899,397
|
|
Total Apartments
|
|
|
|
|
|
|
32,560,299
|
|
Diversified - 9.6%
|
|
|
|
|
|
|
|
|
CapLease, Inc.
|
|
|
46,390
|
|
|
|
268,598
|
|
Digital Realty Trust, Inc.
|
|
|
69,410
|
|
|
|
4,713,633
|
|
Duke Realty Corp.
|
|
|
264,910
|
|
|
|
4,082,263
|
|
Liberty Property Trust
|
|
|
65,570
|
|
|
|
2,568,377
|
|
STAG Industrial, Inc.
|
|
|
24,660
|
|
|
|
486,295
|
|
Vornado Realty Trust
|
|
|
56,980
|
|
|
|
4,812,531
|
|
Total Diversified
|
|
|
|
|
|
|
16,931,697
|
|
Health Care - 13.3%
|
|
|
|
|
|
|
|
|
HCP, Inc.
|
|
|
143,794
|
|
|
|
6,670,604
|
|
Health Care REIT, Inc.
|
|
|
116,940
|
|
|
|
7,348,510
|
|
Omega Healthcare Investors, Inc.
|
|
|
72,460
|
|
|
|
1,852,078
|
|
Ventas, Inc.
|
|
|
114,439
|
|
|
|
7,586,161
|
|
Total Health Care
|
|
|
|
|
|
|
23,457,353
|
|
Hotels - 6.8%
|
|
|
|
|
|
|
|
|
DiamondRock Hospitality Co.
|
|
|
104,970
|
|
|
|
957,326
|
|
Host Hotels & Resorts, Inc.
|
|
|
294,160
|
|
|
|
4,938,946
|
|
LaSalle Hotel Properties
|
|
|
126,490
|
|
|
|
3,453,177
|
|
Pebblebrook Hotel Trust
|
|
|
16,810
|
|
|
|
418,737
|
|
RLJ Lodging Trust
|
|
|
61,132
|
|
|
|
1,278,270
|
|
Sunstone Hotel Investors, Inc.
*
|
|
|
91,060
|
|
|
|
1,053,564
|
|
Total Hotels
|
|
|
|
|
|
|
12,100,020
|
|
Manufactured Homes - 1.0%
|
|
|
|
|
|
|
|
|
Equity Lifestyle Properties, Inc.
|
|
|
24,610
|
|
|
|
1,762,076
|
|
Office Properties - 11.5%
|
|
|
|
|
|
|
|
|
Alexandria Real Estate Equities, Inc.
|
|
|
14,380
|
|
|
|
1,042,550
|
|
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Boston Properties, Inc.
|
|
|
70,650
|
|
|
$
|
7,438,032
|
|
CommonWealth REIT
|
|
|
41,120
|
|
|
|
676,013
|
|
Highwoods Properties, Inc.
|
|
|
42,200
|
|
|
|
1,519,200
|
|
Mack-Cali Realty Corp.
|
|
|
59,550
|
|
|
|
1,617,974
|
|
Piedmont Office Realty Trust, Inc., Class A
|
|
|
171,560
|
|
|
|
3,316,255
|
|
SL Green Realty Corp.
|
|
|
58,030
|
|
|
|
4,664,451
|
|
Total Office Properties
|
|
|
|
|
|
|
20,274,475
|
|
Regional Malls - 17.1%
|
|
|
|
|
|
|
|
|
General Growth Properties, Inc.
|
|
|
228,340
|
|
|
|
4,457,197
|
|
Macerich Co., The
|
|
|
116,690
|
|
|
|
6,968,727
|
|
Simon Property Group, Inc.
|
|
|
81,630
|
|
|
|
13,075,493
|
|
Tanger Factory Outlet Centers
|
|
|
123,150
|
|
|
|
4,361,973
|
|
Taubman Centers, Inc.
|
|
|
16,460
|
|
|
|
1,341,490
|
|
Total Regional Malls
|
|
|
|
|
|
|
30,204,880
|
|
Shopping Centers - 6.7%
|
|
|
|
|
|
|
|
|
Acadia Realty Trust
|
|
|
38,090
|
|
|
|
995,673
|
|
DDR Corp.
|
|
|
203,590
|
|
|
|
3,377,558
|
|
Equity One, Inc.
|
|
|
31,080
|
|
|
|
702,719
|
|
Excel Trust, Inc.
|
|
|
49,680
|
|
|
|
624,974
|
|
Kimco Realty Corp.
|
|
|
296,820
|
|
|
|
6,164,951
|
|
Total Shopping Centers
|
|
|
|
|
|
|
11,865,875
|
|
Storage - 6.4%
|
|
|
|
|
|
|
|
|
Extra Space Storage, Inc.
|
|
|
18,420
|
|
|
|
733,853
|
|
Public Storage
|
|
|
68,850
|
|
|
|
10,598,081
|
|
Total Storage
|
|
|
|
|
|
|
11,331,934
|
|
Warehouse/Industrials - 6.3%
|
|
|
|
|
|
|
|
|
First Industrial Realty Trust, Inc.
*
|
|
|
85,910
|
|
|
|
1,346,210
|
|
Prologis, Inc.
|
|
|
243,010
|
|
|
|
9,696,099
|
|
Total
Warehouse/
Industrials
|
|
|
|
|
|
|
11,042,309
|
|
Total REITs
(cost $159,568,420)
|
|
|
|
|
|
|
171,530,918
|
|
|
|
|
Other Investment Companies - 1.2%
1
|
|
|
|
|
|
|
|
|
Dreyfus Cash Management Fund, Institutional Class Shares, 0.05%
(cost $2,048,795)
|
|
|
2,048,795
|
|
|
|
2,048,795
|
|
Total Investments - 99.0%
(cost $162,866,505)
|
|
|
|
|
|
|
174,849,490
|
|
Other Assets, less Liabilities - 1.0%
|
|
|
|
|
|
|
1,786,316
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
176,635,806
|
|
17
Managers California Intermediate Tax-Free Fund
Schedule of Portfolio Investments
January 31, 2013 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value
|
|
Municipal Bonds - 96.9%
|
|
|
|
|
|
|
|
|
Alvord, CA Unified School District General Obligation, Election 2007, Series A, 5.000%, 08/01/23 (AGM Insured)
|
|
$
|
285,000
|
|
|
$
|
322,737
|
|
Alvord, CA Unified School District General Obligation, Series A, 5.900%, 02/01/17 (National Insured)
|
|
|
110,000
|
|
|
|
125,507
|
|
Alvord, CA Unified School District General Obligation, Series A, 5.900%, 02/01/24 (National Insured)
|
|
|
225,000
|
|
|
|
275,524
|
|
Bakersfield, CA City School District, Series A, 5.250%, 11/01/21 (AGM Insured)
|
|
|
110,000
|
|
|
|
126,243
|
|
Bakersfield, CA Wastewater Revenue, Series A, 5.000%, 09/15/19 (AGM Insured)
|
|
|
175,000
|
|
|
|
204,915
|
|
Bakersfield, CA Wastewater Revenue, Series A, 5.000%, 09/15/22 (AGM Insured)
|
|
|
200,000
|
|
|
|
231,652
|
|
Baldwin Park, CA Unified School District General Obligation, Election 2006, 4.300%, 08/01/24 (AGM Insured)
|
|
|
75,000
|
|
|
|
81,999
|
|
Barstow, CA Unified Unified School District General Obligation, Election 2001, Series B, 5.000%, 08/01/24 (National
Insured)
|
|
|
375,000
|
|
|
|
386,783
|
|
Bay Area, CA Toll Authority Toll Bridge Revenue, Series F, 5.000%, 04/01/17
|
|
|
20,000
|
|
|
|
23,426
|
|
Bay Area, CA Toll Authority Toll Bridge Revenue, Series F, 5.000%, 04/01/22
|
|
|
35,000
|
|
|
|
39,842
|
|
Benicia, CA Unified School District General Obligation, 4.000%, 08/01/19
|
|
|
100,000
|
|
|
|
111,534
|
|
Bonita, CA Unified School District, Election 2004, Series B, 5.000%, 08/01/16 (FGIC Insured)
|
|
|
50,000
|
|
|
|
56,693
|
|
Butte-Glenn Counties, CA Community College District General Obligation, Series B, 5.000%, 08/01/23 (National
Insured)
|
|
|
325,000
|
|
|
|
356,119
|
|
California Resource Efficiency Financing Authority, Series A, 5.000%, 07/01/23 (AMBAC Insured)
|
|
|
50,000
|
|
|
|
50,975
|
|
California State Department of Water Resources, Water System Revenue, Series A, 5.000%, 12/01/20
|
|
|
25,000
|
|
|
|
29,984
|
|
California State Educational Facilities Authority, Santa Clara University, 5.000%, 09/01/23
|
|
|
100,000
|
|
|
|
123,628
|
|
California State Public Works Board, Series A, 6.000%, 04/01/24
|
|
|
500,000
|
|
|
|
610,415
|
|
California State Public Works Board, Series B, 5.250%, 03/01/19 (AMBAC Insured)
|
|
|
200,000
|
|
|
|
200,728
|
|
California State Public Works Board, Series C, 4.500%, 06/01/17
|
|
|
50,000
|
|
|
|
57,889
|
|
Carlsbad, CA Unified School District General Obligation, Election 2006, Series A, 5.000%, 08/01/21 (National
Insured)
|
|
|
20,000
|
|
|
|
23,103
|
|
Carlsbad, CA Unified School District General Obligation, Series B, 5.250%, 05/01/25
|
|
|
70,000
|
|
|
|
81,449
|
|
Centinela Valley Union High School District, Series A, 5.500%, 02/01/24 (National Insured)
|
|
|
100,000
|
|
|
|
124,210
|
|
Central Marin, CA Sanitation Agency Revenue, 5.000%, 09/01/21 (National Insured)
|
|
|
100,000
|
|
|
|
113,023
|
|
Central, CA Unified School District General Obligation, 5.000%, 07/01/21 (National Insured)
|
|
|
75,000
|
|
|
|
78,934
|
|
Central, CA Unified School District General Obligation, 5.000%, 08/01/22 (Assured Guaranty)
|
|
|
25,000
|
|
|
|
28,722
|
|
Central, CA Unified School District General Obligation, 5.000%, 07/01/23 (National Insured)
|
|
|
25,000
|
|
|
|
26,158
|
|
Cerritos, CA Community College General Obligation, Election 2004, Series C, 5.250%, 08/01/25
|
|
|
15,000
|
|
|
|
17,398
|
|
Chaffey, CA Joint Union High School District General Obligation, 5.000%, 08/01/25
|
|
|
25,000
|
|
|
|
29,775
|
|
Citrus, CA Community College District General Obligation, Election 2004, Series B, 5.000%, 06/01/22 (National
Insured)
|
|
|
20,000
|
|
|
|
23,009
|
|
City of Costa Mesa, CA COP, Police Facility Expansion Project, 4.300%, 10/01/26 (National Insured)
|
|
|
25,000
|
|
|
|
27,035
|
|
City of El Paso De Robles, CA General Obligation, 5.000%, 08/01/23 (National Insured)
|
|
|
125,000
|
|
|
|
134,120
|
|
City of El Paso De Robles, CA General Obligation, 5.000%, 08/01/25 (National Insured)
|
|
|
250,000
|
|
|
|
266,297
|
|
City of El Paso De Robles, CA General Obligation, 5.000%, 08/01/27 (National Insured)
|
|
|
20,000
|
|
|
|
21,264
|
|
Clovis, CA Unified School District General Obligation, Election 2004, Series B, 5.000%, 08/01/23 (National
Insured)
|
|
|
115,000
|
|
|
|
132,573
|
|
Clovis, CA Unified School District General Obligation, Election 2004, Series B, 5.000%, 08/01/25 (National
Insured)
|
|
|
65,000
|
|
|
|
69,811
|
|
Colton, CA Public Financing Authority Electric Revenue, Series A, 5.000%, 04/01/26
|
|
|
140,000
|
|
|
|
160,695
|
|
Contra Costa County, CA Public Financing Authority Capital Projects Lease Revenue, Series A-1, 4.000%, 06/01/19
|
|
|
50,000
|
|
|
|
55,440
|
|
Corona-Norca, CA Unified School District, Election 2006, Series A, 5.000%, 08/01/24 (AGM Insured)
|
|
|
75,000
|
|
|
|
86,601
|
|
Corona-Norca, CA Unified School District, Election 2006, Series A, 5.000%, 08/01/25 (AGM Insured)
|
|
|
50,000
|
|
|
|
57,640
|
|
18
Managers California Intermediate Tax-Free Fund
Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value
|
|
Municipal Bonds - 96.9%
(continued)
|
|
|
|
|
|
|
|
|
Covina-Valley, CA Unified School District, Election 2006, Series A, 5.000%, 08/01/21 (National Insured)
|
|
$
|
410,000
|
|
|
$
|
429,828
|
|
Desert Sands, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/16
|
|
|
50,000
|
|
|
|
56,546
|
|
Desert Sands, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/26
|
|
|
175,000
|
|
|
|
204,942
|
|
Desert Sands, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/27
|
|
|
245,000
|
|
|
|
286,358
|
|
Desert Sands, CA Unified School District General Obligation, Election 2001, 5.500%, 08/01/28
|
|
|
25,000
|
|
|
|
29,915
|
|
Desert Sands, CA Unified School District, Election 2001, 5.000%, 06/01/22 (AMBAC Insured)
|
|
|
40,000
|
|
|
|
44,880
|
|
Eastern, CA Municipal Water District, Water & Sewer Revenue, Series A, 5.000%, 07/01/21 (National
Insured)
|
|
|
330,000
|
|
|
|
371,365
|
|
El Monte, CA City School District General Obligation, Election 2004, Series A, 4.250%, 05/01/15 (FGIC Insured)
|
|
|
150,000
|
|
|
|
161,007
|
|
El Monte, CA Union High School District General Obligation, Election 2002, Series C, 5.000%, 06/01/21 (AGM
Insured)
|
|
|
40,000
|
|
|
|
45,724
|
|
Fairfield-Suisun, CA Unified School District General Obligation, Election 2002, 5.000%, 08/01/24 (National
Insured)
|
|
|
565,000
|
|
|
|
604,686
|
|
Fairfield-Suisun, CA Unified School District General Obligation, Election 2002, 5.250%, 08/01/23 (National
Insured)
|
|
|
240,000
|
|
|
|
257,748
|
|
Fairfield-Suisun, CA Unified School District, Election 2002, 5.250%, 08/01/16 (National Insured)
|
|
|
70,000
|
|
|
|
75,177
|
|
Fresno County, CA Unified School District General Obligation, Series C, 5.900%, 08/01/22 (National Insured)
|
|
|
25,000
|
|
|
|
30,077
|
|
Golden West, CA Schools Financing Authority General Obligation, 5.250%, 09/01/24 (National Insured)
|
|
|
365,000
|
|
|
|
465,317
|
|
Grossmont, CA Union High School District General Obligation, 5.000%, 08/01/23 (National Insured)
|
|
|
85,000
|
|
|
|
94,651
|
|
Grossmont-Cuyamaca, CA Community College District General Obligation, Series C, 5.000%, 08/01/24 (Assured
Guaranty)
|
|
|
50,000
|
|
|
|
58,755
|
|
Hemet, CA Unified School District General Obligation, 4.000%, 08/01/23 (AGM Insured)
|
|
|
35,000
|
|
|
|
37,795
|
|
Hemet, CA Unified School District General Obligation, Series A, 5.000%, 08/01/22 (AGM Insured)
|
|
|
125,000
|
|
|
|
134,345
|
|
Imperial, CA Irrigation District Electric System Revenue, Series A, 5.250%, 11/01/24
|
|
|
100,000
|
|
|
|
116,885
|
|
Long Beach, CA Unified School District General Obligation Refunding, Series A, 5.000%, 08/01/25
|
|
|
30,000
|
|
|
|
34,982
|
|
Long Beach, CA Unified School District General Obligation, Series A, 5.500%, 08/01/26
|
|
|
85,000
|
|
|
|
101,705
|
|
Los Angeles County, CA Metropolitan Transportation Authority Sales Tax Revenue, Proposition C, Series E, 5.000%,
07/01/25
|
|
|
35,000
|
|
|
|
40,689
|
|
Los Angeles County, CA Public Works Financing Authority, 5.000%, 10/01/15 (National Insured)
|
|
|
15,000
|
|
|
|
16,728
|
|
Los Angeles County, CA Public Works Financing Authority Revenue, Series A, 5.250%, 10/01/16 (AGM Insured)
|
|
|
25,000
|
|
|
|
29,049
|
|
Los Angeles County, CA Sanitation Districts Financing Authority Capital Projects Revenue, 5.000%, 10/01/23 (FGIC
Insured)
|
|
|
80,000
|
|
|
|
87,239
|
|
Los Angeles, CA Harbor Department Revenue, Series A, 4.000%, 08/01/17
|
|
|
25,000
|
|
|
|
28,556
|
|
Los Angeles, CA Harbor Department Revenue, Series B, 5.000%, 08/01/20 (National Insured)
|
|
|
275,000
|
|
|
|
309,018
|
|
Los Angeles, CA Municipal Improvement Corp. Lease Revenue, Police Headquarters Facility, Series A, 5.000%, 01/01/25 (FGIC
Insured)
|
|
|
780,000
|
|
|
|
849,381
|
|
Los Angeles, CA Municipal Improvement Corp. Lease Revenue, Real Property, Series B, 4.750%, 09/01/26
|
|
|
100,000
|
|
|
|
107,481
|
|
Los Angeles, CA Municipal Improvement Corp. Lease Revenue, Series A, 5.000%, 09/01/24
|
|
|
100,000
|
|
|
|
110,461
|
|
Los Angeles, CA Municipal Improvement Corp. Lease Revenue, Series C, 5.000%, 09/01/18
|
|
|
300,000
|
|
|
|
346,374
|
|
Los Angeles, CA Municipal Improvement Corp. Revenue, Prerefunded, Series B1, 5.000%, 08/01/21 (FGIC Insured)
|
|
|
5,000
|
|
|
|
5,351
|
|
Los Angeles, CA Municipal Improvement Corp. Revenue, Unrefunded, Series B1, 5.000%, 08/01/21 (FGIC Insured)
|
|
|
120,000
|
|
|
|
126,143
|
|
Los Angeles, CA Municipal Improvement Corp. Revenue, Unrefunded, Series B1, 5.000%, 08/01/23 (FGIC Insured)
|
|
|
50,000
|
|
|
|
52,273
|
|
Los Angeles, CA Municipal Improvement Corp. Revenue, Unrefunded, Series B1, 5.000%, 08/01/26 (FGIC Insured)
|
|
|
200,000
|
|
|
|
208,248
|
|
Los Angeles, CA Municipal Improvement Lease Revenue, Capital Equipment, Series A, 5.000%, 09/01/16
|
|
|
160,000
|
|
|
|
178,872
|
|
Los Angeles, CA Municipal Improvement Lease Revenue, Capital Equipment, Series A, 5.000%, 09/01/23
|
|
|
640,000
|
|
|
|
708,678
|
|
Los Angeles, CA Municipal Improvement Revenue, Capital Equipment, Series 2008 A, 5.000%, 09/01/25
|
|
|
50,000
|
|
|
|
55,015
|
|
19
Managers California Intermediate Tax-Free Fund
Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value
|
|
Municipal Bonds - 96.9%
(continued)
|
|
|
|
|
|
|
|
|
Los Angeles, CA Unified School District General Obligation, Election 2004, Series G, 5.000%, 07/01/24 (AMBAC
Insured)
|
|
$
|
35,000
|
|
|
$
|
39,263
|
|
Madera, CA Unified School District General Obligation, 4.000%, 08/01/25 (AGM Insured)
|
|
|
60,000
|
|
|
|
64,512
|
|
Monrovia, CA Unified School District General Obligation, Election 2006, Series B, 5.250%, 08/01/25 (FSA Insured)
|
|
|
30,000
|
|
|
|
34,086
|
|
Montebello, CA Unified School District General Obligation, Election 2004, 4.200%, 08/01/22 (National Insured)
|
|
|
100,000
|
|
|
|
106,698
|
|
Moreland, CA School District General Obligation, Series A, 5.000%, 08/01/15 (AMBAC Insured)
|
|
|
50,000
|
|
|
|
54,285
|
|
Moreno Valley, CA Unified School District, 5.000%, 08/01/17 (National Insured)
|
|
|
50,000
|
|
|
|
56,501
|
|
Moreno Valley, CA Unified School District General Obligation, 5.000%, 08/01/16 (National Insured)
|
|
|
25,000
|
|
|
|
27,783
|
|
Mount Diablo, CA Unified School District General Obligation, Election 2002, 5.000%, 06/01/14 (National Insured)
|
|
|
30,000
|
|
|
|
31,859
|
|
Orange County, CA Sanitation District COP, Series A, 5.000%, 02/01/22
|
|
|
135,000
|
|
|
|
162,826
|
|
Peralta, CA Community College District General Obligation, Election 2006, Series B, 5.250%, 08/01/22 (AGM
Insured)
|
|
|
45,000
|
|
|
|
50,774
|
|
Peralta, CA Community College District General Obligation, Series A, 5.000%, 08/01/24 (National Insured)
|
|
|
50,000
|
|
|
|
54,747
|
|
Perris, CA Union High School District General Obligation, Election 2004, Series A, 5.000%, 09/01/26 (FGIC
Insured)
|
|
|
15,000
|
|
|
|
15,722
|
|
Placentia-Yorba Linda, CA Unified School District General Obligation, Election 2002, Series B, 5.500%, 08/01/27 (FGIC
Insured)
|
|
|
65,000
|
|
|
|
70,048
|
|
Port of Oakland, CA Revenue, Series B, 5.000%, 11/01/17 (National Insured)
|
|
|
10,000
|
|
|
|
11,730
|
|
Port of Oakland, CA Revenue, Series B, 5.000%, 11/01/22 (National Insured)
|
|
|
30,000
|
|
|
|
33,161
|
|
Port of Oakland, CA Revenue, Series B, 5.000%, 11/01/26 (National Insured)
|
|
|
275,000
|
|
|
|
300,132
|
|
Port of Oakland, CA Revenue, Series C, 5.000%, 11/01/15 (National Insured)
|
|
|
310,000
|
|
|
|
345,467
|
|
Port of Oakland, CA Revenue, Series C, 5.000%, 11/01/17 (National Insured)
|
|
|
275,000
|
|
|
|
322,578
|
|
Port of Oakland, CA Series B, 5.000%, 11/01/16 (National Insured)
|
|
|
255,000
|
|
|
|
291,832
|
|
Port of Oakland, CA Series B, 5.000%, 11/01/21 (National Insured)
|
|
|
625,000
|
|
|
|
694,100
|
|
Port of Oakland, CA Series B, 5.000%, 11/01/24 (National Insured)
|
|
|
75,000
|
|
|
|
82,306
|
|
Puerto Rico Sales Tax Financing Corp. Revenue, Prerefunded, Series 2009 A, 5.000%, 08/01/18
|
|
|
20,000
|
|
|
|
24,490
|
|
Puerto Rico Sales Tax Financing Corp. Revenue, Unrefunded Balance, Series 2009 A, 5.000%, 08/01/18
|
|
|
50,000
|
|
|
|
56,539
|
|
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue, Series A, 4.375%, 08/01/20
|
|
|
685,000
|
|
|
|
746,239
|
|
Rescue, CA Union School District General Obligation, 5.000%, 09/01/21 (National Insured)
|
|
|
25,000
|
|
|
|
30,441
|
|
Rescue, CA Union School District General Obligation, 5.000%, 07/01/23 (National Insured)
|
|
|
50,000
|
|
|
|
61,031
|
|
Riverside, CA Community College District, 5.000%, 08/01/24 (AGM Insured)
|
|
|
35,000
|
|
|
|
38,342
|
|
Riverside, CA Unified School District General Obligation, Election 2001, Series B, 4.000%, 08/01/17 (National
Insured)
|
|
|
100,000
|
|
|
|
108,850
|
|
Rosemead, CA School District General Obligation, Election 2000, Series D, 5.250%, 08/01/24 (AGM Insured)
|
|
|
150,000
|
|
|
|
171,858
|
|
Rosemead, CA School District General Obligation, Election 2000, Series D, 5.250%, 08/01/25 (AGM Insured)
|
|
|
55,000
|
|
|
|
62,282
|
|
Rosemead, CA School District General Obligation, Election 2000, Series D, 5.250%, 08/01/26 (AGM Insured)
|
|
|
145,000
|
|
|
|
163,743
|
|
Rosemead, CA School District General Obligation, Election 2000, Series D, 5.500%, 08/01/28 (AGM Insured)
|
|
|
125,000
|
|
|
|
142,354
|
|
Roseville, CA Joint Union High School District General Obligation, Election 2004, Series A, 5.000%, 08/01/26 (FGIC
Insured)
|
|
|
120,000
|
|
|
|
126,947
|
|
Sacramento, CA City Financing Authority Revenue, 5.000%, 12/01/14 (National Insured)
|
|
|
50,000
|
|
|
|
53,546
|
|
Sacramento, CA Municipal Utility District Electric Revenue, Series K, 5.250%, 07/01/24 (AMBAC Insured)
|
|
|
145,000
|
|
|
|
179,119
|
|
Sacramento, CA Municipal Utility District Unrefunded Balance Revenue, Series R, 5.000%, 08/15/18 (National
Insured)
|
|
|
45,000
|
|
|
|
46,061
|
|
San Bernardino, CA Community College District General Obligation, Election 2008, Series A, 6.375%, 08/01/26
|
|
|
480,000
|
|
|
|
597,979
|
|
San Bernardino, CA Community College District General Obligation, Series C, 5.000%, 08/01/26 (AGM Insured)
|
|
|
175,000
|
|
|
|
196,761
|
|
20
Managers California Intermediate Tax-Free Fund
Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value
|
|
Municipal Bonds - 96.9%
(continued)
|
|
|
|
|
|
|
|
|
San Bernardino, CA Community College District, Election 2008, Series A, 6.250%, 08/01/23
|
|
$
|
620,000
|
|
|
$
|
770,548
|
|
San Diego, CA Public Facilities Financing Authority Sewer Revenue, Series B, 5.000%, 05/15/21
|
|
|
50,000
|
|
|
|
59,850
|
|
San Diego, CA Public Facilities Financing Authority Water Revenue, Series B, 5.000%, 08/01/20
|
|
|
30,000
|
|
|
|
36,448
|
|
San Diego, CA Unified Port District Revenue, Series B, 5.000%, 09/01/23 (National Insured)
|
|
|
325,000
|
|
|
|
339,086
|
|
San Francisco, CA City & County Airports Commission Revenue, Second Series Issue 32F, 5.250%, 05/01/17 (FGIC
Insured)
|
|
|
465,000
|
|
|
|
548,295
|
|
San Francisco, CA City & County Airports Commission Revenue, Second Series, Issue 34F, 5.000%, 05/01/16 (Assured
Guaranty)
|
|
|
95,000
|
|
|
|
107,928
|
|
San Francisco, CA City and County General Obligation, Laguna Honda Hospital, Series R3, 5.000%, 06/15/23
|
|
|
50,000
|
|
|
|
54,544
|
|
San Francisco, CA City & County Unified School District General Obligation, Election 2003, Series C, 5.000%, 06/15/22
(National Insured)
|
|
|
55,000
|
|
|
|
62,077
|
|
San Juan, CA Unified School District General Obligation, Election 2002, Series A, 5.000%, 08/01/16 (National
Insured)
|
|
|
150,000
|
|
|
|
160,536
|
|
Santa Ana, CA Unified School District General Obligation, Series A, 5.250%, 08/01/26
|
|
|
500,000
|
|
|
|
567,915
|
|
Santa Ana, CA Unified School District, Election 2008, Series A, 5.250%, 08/01/25
|
|
|
1,300,000
|
|
|
|
1,479,439
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Election 2002, Series D, 5.000%, 08/01/19 (XLCA
Insured)
|
|
|
330,000
|
|
|
|
343,272
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Election 2002, Series H, 5.000%, 08/01/19
(Assured Guaranty)
|
|
|
100,000
|
|
|
|
117,281
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Series A, 4.000%, 09/01/18 (AMBAC
Insured)
|
|
|
75,000
|
|
|
|
81,728
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Series B, 5.100%, 02/01/16 (National
Insured)
|
|
|
250,000
|
|
|
|
277,995
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Series B, 5.100%, 02/01/22 (National
Insured)
|
|
|
500,000
|
|
|
|
588,655
|
|
Santa Clara County, CA East Side Union High School District General Obligation, Series B, 5.250%, 02/01/24 (National
Insured)
|
|
|
40,000
|
|
|
|
48,791
|
|
Santa Clara County, CA Financing Authority Lease Revenue, Series A, 5.000%, 11/15/21
|
|
|
185,000
|
|
|
|
215,246
|
|
Santa Clara County, CA San Jose Unified School District General Obligation, Election 2002, Series C, 5.000%, 08/01/24 (FGIC
Insured)
|
|
|
200,000
|
|
|
|
225,452
|
|
Santa Rosa, CA High School District, Election of 2002, 5.000%, 08/01/19 (National Insured)
|
|
|
100,000
|
|
|
|
101,177
|
|
Sierra Sands, CA Unified School District General Obligation, Series A, 5.000%, 11/01/22 (FGIC Insured)
|
|
|
50,000
|
|
|
|
53,748
|
|
Sierra, CA Joint Community College District, School Facilities District No. 1, Election 2004, 5.000%, 08/01/24 (National
Insured)
|
|
|
100,000
|
|
|
|
115,468
|
|
Sierra, CA Joint Community College District, School Facilities District No. 1, Election 2004, 5.000%, 08/01/25 (National
Insured)
|
|
|
100,000
|
|
|
|
115,280
|
|
Solano County, CA Community College District, 4.000%, 08/01/15 (National Insured)
|
|
|
25,000
|
|
|
|
27,006
|
|
Solano County, CA Community College District, 5.000%, 08/01/16 (National Insured)
|
|
|
40,000
|
|
|
|
44,100
|
|
Sonoma County, CA Junior College District General Obligation, Series D, 5.000%, 08/01/16
|
|
|
15,000
|
|
|
|
17,197
|
|
South Western, CA Community College District General Obligation, 5.000%, 08/01/23 (National Insured)
|
|
|
285,000
|
|
|
|
317,462
|
|
Southern California Public Power Authority Revenue, Southern Transmission Project, Series B, 5.750%, 07/01/24
|
|
|
75,000
|
|
|
|
89,680
|
|
State Center, CA Community College District General Obligation, Election 2002, Series A, 4.000%, 08/01/16 (AGM
Insured)
|
|
|
60,000
|
|
|
|
66,462
|
|
Sweetwater, CA Authority Water Revenue, 5.000%, 04/01/17 (AMBAC Insured)
|
|
|
50,000
|
|
|
|
54,568
|
|
Tahoe-Truckee, CA Unified School District General Obligation, 5.500%, 08/01/19 (National Insured)
|
|
|
75,000
|
|
|
|
93,588
|
|
Tracy, CA Joint Unified School District General Obligation, Election 2006, 5.000%, 08/01/25 (Assured Guaranty)
|
|
|
100,000
|
|
|
|
112,544
|
|
21
Managers California Intermediate Tax-Free Fund
Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal Amount
|
|
|
Value
|
|
Municipal Bonds - 96.9%
(continued)
|
|
|
|
|
|
|
|
|
Tustin, CA Unified School District No. 2002-1 General Obligation, Election 2002, Series B, 4.250%, 06/01/15 (AMBAC
Insured)
|
|
$
|
50,000
|
|
|
$
|
53,852
|
|
Upland, CA Unified School District General Obligation, 5.000%, 08/01/22
|
|
|
25,000
|
|
|
|
31,208
|
|
Vacaville, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/16 (National Insured)
|
|
|
120,000
|
|
|
|
130,284
|
|
Vacaville, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/17 (National Insured)
|
|
|
40,000
|
|
|
|
43,356
|
|
Vacaville, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/22 (National Insured)
|
|
|
15,000
|
|
|
|
16,046
|
|
Vacaville, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/25 (AMBAC Insured)
|
|
|
350,000
|
|
|
|
374,912
|
|
Vacaville, CA Unified School District General Obligation, Election 2001, 5.000%, 08/01/26 (AMBAC Insured)
|
|
|
85,000
|
|
|
|
90,805
|
|
Val Verde, CA Unified School District General Obligation, Election 2008, Series A, 5.500%, 08/01/22
|
|
|
100,000
|
|
|
|
113,268
|
|
Val Verde, CA Unified School District General Obligation, Election 2008, Series A, 5.500%, 08/01/24
|
|
|
615,000
|
|
|
|
691,285
|
|
Wasco, CA Union High School District General Obligation, Election 2008, Series B, 4.000%, 08/01/25 (AGM Insured)
|
|
|
35,000
|
|
|
|
37,305
|
|
West Contra Costa, CA Unified School District General Obligation, Election 2005, Series B, 6.000%, 08/01/21
|
|
|
75,000
|
|
|
|
94,900
|
|
Wiseburn, CA School District, Class A, 5.000%, 08/01/16 (National Insured)
|
|
|
75,000
|
|
|
|
82,279
|
|
Yosemite, CA Community College District General Obligation, Prerefunded, Election 2004, Series A, 5.000%, 08/01/22 (FGIC
Insured)
|
|
|
420,000
|
|
|
|
467,687
|
|
Yosemite, CA Community College District General Obligation, Unrefunded, Election 2004, Series A, 5.000%, 08/01/22 (FGIC
Insured)
|
|
|
95,000
|
|
|
|
104,170
|
|
Yuba, CA Community College District General Obligation, Election 2006, Series A, 5.000%, 08/01/23 (AMBAC Insured)
|
|
|
90,000
|
|
|
|
103,964
|
|
Yuba, CA Community College District General Obligation, Election 2006, Series A, 5.000%, 08/01/24 (AMBAC Insured)
|
|
|
25,000
|
|
|
|
28,867
|
|
Total Municipal Bonds
(cost $25,247,862)
|
|
|
|
|
|
|
27,290,640
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Other Investment Companies - 1.5%
1
|
|
|
|
|
|
|
|
|
BlackRock Liquidity Funds, California Money Fund - Institutional Class Shares, 0.01% (cost $419,492)
|
|
|
419,492
|
|
|
|
419,492
|
|
Total Investments - 98.4%
(cost $25,667,354)
8
|
|
|
|
|
|
|
27,710,132
|
|
Other Assets, less Liabilities - 1.6%
|
|
|
|
|
|
|
448,597
|
|
Net Assets - 100.0%
|
|
|
|
|
|
$
|
28,158,729
|
|
22
Notes to Schedules of Portfolio Investments
(unaudited)
The following footnotes and abbreviations should
be read in conjunction with each of the Schedules of Portfolio Investments previously presented in this report.
At January 31, 2013, the
approximate cost of investments for Federal income tax purposes and the gross aggregate unrealized appreciation and/or depreciation based on tax cost were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Cost
|
|
|
Appreciation
|
|
|
Depreciation
|
|
|
Net
|
|
Managers AMG FQ Tax-Managed U.S. Equity Fund
|
|
$
|
31,762,842
|
|
|
$
|
11,046,566
|
|
|
$
|
(374,730
|
)
|
|
$
|
10,671,836
|
|
Managers AMG FQ U.S. Equity Fund
|
|
|
42,093,331
|
|
|
|
8,020,512
|
|
|
|
(551,736
|
)
|
|
|
7,468,776
|
|
Managers AMG FQ Global Alternatives Fund
|
|
|
158,410,469
|
|
|
|
8,299,098
|
|
|
|
|
|
|
|
8,299,098
|
|
Managers AMG FQ Global Essentials Fund
|
|
|
126,919,504
|
|
|
|
2,352,681
|
|
|
|
(413,848
|
)
|
|
|
1,938,833
|
|
Managers Frontier Small Cap Growth Fund
|
|
|
75,937,685
|
|
|
|
18,371,615
|
|
|
|
(4,421,987
|
)
|
|
|
13,949,628
|
|
Managers AMG TSCM Growth Equity Fund
|
|
|
24,636,405
|
|
|
|
4,376,609
|
|
|
|
(108,312
|
)
|
|
|
4,268,297
|
|
Managers Micro-Cap Fund
|
|
|
117,490,192
|
|
|
|
33,881,687
|
|
|
|
(3,331,959
|
)
|
|
|
30,549,728
|
|
Managers Real Estate Securities Fund
|
|
|
164,106,357
|
|
|
|
12,118,260
|
|
|
|
(1,375,127
|
)
|
|
|
10,743,133
|
|
Managers California Intermediate Tax-Free Fund
|
|
|
25,667,354
|
|
|
|
2,050,924
|
|
|
|
(8,146
|
)
|
|
|
2,042,778
|
|
*
|
Non-income producing security.
|
#
|
Rounds to less than 0.1%.
|
1
|
Yield shown for each investment company represents the January 31, 2013, seven-day average yield, which refers to the sum of the previous seven days dividends
paid, expressed as an annual percentage.
|
2
|
Some or all of this security is held as collateral for options written.
|
3
|
Some or all of these shares were out on loan to various brokers as of January 31, 2013, amounting to:
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Market Value
|
|
|
% of Net Assets
|
|
Managers AMG FQ U.S. Equity Fund
|
|
$
|
328,818
|
|
|
|
0.7
|
%
|
Managers AMG FQ Global Essentials Fund
|
|
|
10,117,516
|
|
|
|
8.5
|
%
|
Managers Frontier Small Cap Growth Fund
|
|
|
3,344,168
|
|
|
|
3.7
|
%
|
4
|
Collateral received from brokers for securities lending was invested in these short-term investments.
|
5
|
Indicates yield to maturity at January 31, 2013
|
6
|
Some or all of these securities were held as collateral for futures contracts as of January 31, 2013, amounting to:
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Market Value
|
|
|
% of Net Assets
|
|
Managers AMG FQ Global Alternatives Fund
|
|
$
|
48,091,278
|
|
|
|
29.3
|
%
|
Managers AMG FQ Global Essentials Fund
|
|
|
8,997,714
|
|
|
|
7.6
|
%
|
7
|
Illiquid Security: A security not readily convertible into cash such as a stock, bond or commodity that is not actively traded and would be difficult to sell in a
timely sale. The Fund may not invest more than 15% of its net assets in illiquid securities. All illiquid securities are valued by an independent pricing agent and are fair valued at Level 2. The market value of illiquid securities at
January 31, 2013, amounted to the following:
|
|
|
|
|
|
|
|
|
|
Fund
|
|
Market Value
|
|
|
% of Net Assets
|
|
Managers Micro Cap Fund
|
|
$
|
121,590
|
|
|
|
0.1
|
%
|
8
|
At January 31, 2013, the concentration of the Funds investments by state or territory determined as a percentage of net assets was as follows: California
94.0% and Puerto Rico 2.9%. At January 31, 2013, 63.0% of the securities in the portfolio were backed by insurance of financial institutions and financial guaranty assurance agencies. Insurers with a concentration greater than 10% of net assets
were as follows: National Insured 36.8% and FGIC Insured 11.4%.
|
23
Notes to Schedules of Portfolio Investments
(continued)
Fair Value Measurements
Generally Accepted Accounting Principles (U.S. GAAP) defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market
participants at the measurement date. U.S. GAAP also establishes a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs
may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability
based on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best
information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputsis summarized below:
Level 1 - inputs are quoted prices in
active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts)
Level 2 - other
observable inputs (including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted
prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and defaults) or other market corroborated inputs) (e.g., debt securities, government
securities, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, fair valued securities with observable inputs)
Level 3 - inputs are significant unobservable inputs (including the Funds own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs)
Changes in inputs or methodologies used for valuing investments may result in a transfer in or out of levels within the fair value hierarchy.
The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments.
As of January 31, 2013, the securities in Managers AMG FQ Tax-Managed U.S. Equity Fund, Managers AMG TSCM Growth Equity Fund, and Managers Real Estate Fund were all Level 1 inputs. For a detailed
break-out of the common stocks by major industry classification, please refer to the respective Schedule of Portfolio Investments previously presented in this report.
The following table summarizes the inputs used to value the Funds net assets by the fair value hierarchy levels as of January 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in Active
Markets for Identical
Investments
Level 1
|
|
|
Significant Other
Observable Inputs
Level 2
|
|
|
Significant Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers AMG FQ U.S. Equity Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
48,927,514
|
|
|
|
|
|
|
|
|
|
|
$
|
48,927,514
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
$
|
331,694
|
|
|
|
|
|
|
|
331,694
|
|
Other Investment Companies
|
|
|
261,999
|
|
|
|
|
|
|
|
|
|
|
|
261,999
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
49,189,513
|
|
|
|
331,694
|
|
|
|
|
|
|
$
|
49,521,207
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Contracts
|
|
$
|
49,016
|
|
|
|
|
|
|
|
|
|
|
$
|
49,016
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Contracts
|
|
|
(90,475
|
)
|
|
|
|
|
|
|
|
|
|
|
(90,475
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivative Instruments
|
|
$
|
(41,459
|
)
|
|
$
|
|
|
|
$
|
|
|
|
$
|
(41,459
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in Active
Markets for Identical
Investments
Level 1
|
|
|
Significant Other
Observable Inputs
Level 2
|
|
|
Significant
Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers AMG FQ Global Alternatives Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds
|
|
$
|
33,251,065
|
|
|
|
|
|
|
|
|
|
|
$
|
33,251,065
|
|
U.S. Government and Agency Obligations
|
|
|
|
|
|
$
|
48,091,278
|
|
|
|
|
|
|
|
48,091,278
|
|
Other Investment Companies
|
|
|
85,367,224
|
|
|
|
|
|
|
|
|
|
|
|
85,367,224
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
118,618,289
|
|
|
$
|
48,091,278
|
|
|
|
|
|
|
$
|
166,709,567
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Exchange Contracts
|
|
|
|
|
|
$
|
9,714,460
|
|
|
|
|
|
|
$
|
9,714,460
|
|
Equity Contracts
|
|
$
|
850,989
|
|
|
|
|
|
|
|
|
|
|
|
850,989
|
|
Interest Rate Contracts
|
|
|
384,474
|
|
|
|
560,319
|
|
|
|
|
|
|
|
944,793
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,235,463
|
|
|
|
10,274,779
|
|
|
|
|
|
|
|
11,510,242
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
(5,403,526
|
)
|
|
|
|
|
|
|
(5,403,526
|
)
|
Equity Contracts
|
|
|
(3,645,530
|
)
|
|
|
|
|
|
|
|
|
|
|
(3,645,530
|
)
|
Interest Rate Contracts
|
|
|
(1,003,678
|
)
|
|
|
(1,778,292
|
)
|
|
|
|
|
|
|
(2,781,970
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(4,649,208
|
)
|
|
|
(7,181,818
|
)
|
|
|
|
|
|
|
(11,831,026
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivative Instruments
|
|
$
|
(3,413,745
|
)
|
|
$
|
3,092,961
|
|
|
|
|
|
|
$
|
(320,784
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in Active
Markets for Identical
Investments
Level 1
|
|
|
Significant Other
Observable Inputs
Level 2
|
|
|
Significant
Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers AMG FQ Global Essentials Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Exchange Traded Funds
|
|
$
|
48,417,927
|
|
|
|
|
|
|
|
|
|
|
$
|
48,417,927
|
|
Exchange Traded Notes
|
|
|
14,333,702
|
|
|
|
|
|
|
|
|
|
|
|
14,333,702
|
|
U.S. Government and Agency Obligations
|
|
|
|
|
|
$
|
8,997,714
|
|
|
|
|
|
|
|
8,997,714
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
10,434,410
|
|
|
|
|
|
|
|
10,434,410
|
|
Other Investment Companies
|
|
|
46,674,584
|
|
|
|
|
|
|
|
|
|
|
|
46,674,584
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
109,426,213
|
|
|
$
|
19,432,124
|
|
|
|
|
|
|
$
|
128,858,337
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Contracts
|
|
$
|
2,223,657
|
|
|
|
|
|
|
|
|
|
|
$
|
2,223,657
|
|
Interest Rate Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,223,657
|
|
|
|
|
|
|
|
|
|
|
|
2,223,657
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Equity Contracts
|
|
|
(30,366
|
)
|
|
|
|
|
|
|
|
|
|
|
(30,366
|
)
|
Interest Rate Contracts
|
|
|
(2,162,829
|
)
|
|
|
|
|
|
|
|
|
|
|
(2,162,829
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivative Instruments
|
|
$
|
30,462
|
|
|
|
|
|
|
|
|
|
|
$
|
30,462
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices
in Active Markets
for Identical Investments
Level
1
|
|
|
Significant
Other Observable Inputs
Level 2
|
|
|
Significant
Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers Frontier Small Cap Growth Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
86,876,574
|
|
|
|
|
|
|
|
|
|
|
$
|
86,876,574
|
|
Warrants
|
|
|
1,382
|
|
|
|
|
|
|
|
|
|
|
|
1,382
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
$
|
3,420,255
|
|
|
|
|
|
|
|
3,420,255
|
|
Other Investment Companies
|
|
|
3,009,357
|
|
|
|
|
|
|
|
|
|
|
|
3,009,357
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
89,887,313
|
|
|
$
|
3,420,255
|
|
|
|
|
|
|
$
|
93,307,568
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices
in Active
Markets
for Identical Investments
Level 1
|
|
|
Significant
Other Observable
Inputs
Level 2
|
|
|
Significant
Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers Micro-Cap Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Common Stocks
|
|
$
|
143,807,926
|
|
|
$
|
121,590
|
|
|
|
|
|
|
$
|
143,929,516
|
|
Exchange Traded Funds
|
|
|
244,606
|
|
|
|
|
|
|
|
|
|
|
|
244,606
|
|
Warrants
|
|
|
1,470
|
|
|
|
|
|
|
|
|
|
|
|
1,470
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Repurchase Agreements
|
|
|
|
|
|
|
14
|
|
|
|
|
|
|
|
14
|
|
Other Investment Companies
|
|
|
3,864,328
|
|
|
|
|
|
|
|
|
|
|
|
3,864,328
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
147,918,330
|
|
|
$
|
121,604
|
|
|
|
|
|
|
$
|
148,039,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices
in Active
Markets
for Identical Investments
Level 1
|
|
|
Significant
Other Observable
Inputs
Level 2
|
|
|
Significant
Unobservable Inputs
Level 3
|
|
|
Total
|
|
Managers California Intermediate Tax-Free Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Municipal Bonds
**
|
|
|
|
|
|
$
|
27,290,640
|
|
|
|
|
|
|
$
|
27,290,640
|
|
Other Investment Companies
|
|
$
|
419,492
|
|
|
|
|
|
|
|
|
|
|
|
419,492
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
419,492
|
|
|
$
|
27,290,640
|
|
|
|
|
|
|
$
|
27,710,132
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
For a detailed break-out of the common stocks by major industry classification, please refer to the Schedule of Portfolio Investments. The only Level 2 security is
classified in the Industrials industry.
|
|
Derivative instruments, such as futures, options and forwards, are not reflected in the Schedule of Portfolio Investments. Futures and forwards are valued at the
unrealized appreciation/depreciation of the instrument and options are shown at value.
|
|
All exchange traded funds and exchange traded notes held in the Fund are level 1 securities. For a detailed breakout of these securities, please refer to the Schedule
of Portfolio Investments.
|
|
All U.S. government and agency obligations held in the Fund are level 2 securities. For a detailed breakout of the U.S. government and agency obligations by major
industry or agency classification, please refer to the Schedule of Portfolio Investments.
|
**
|
All municipal bonds held in the Fund are Level 2 securities. For a detailed break-out of securities, please refer to the Schedule of Portfolio Investments.
|
As of January 31, 2013, the Funds had no transfers between levels from the beginning of the reporting period.
26
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
Options
A written option contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option) or sell to (put option) the writer a designated instrument
at a specified price within a specified period of time. Options written (sold) are recorded as liabilities. When an option expires, the premium (original option value) is realized as a gain if the option was written or as a loss if the option was
purchased. When the exercise of an option results in a cash settlement, the difference between the premium and the settlement proceeds is recognized as realized gain or loss. When securities are acquired or delivered upon exercise of an option, the
acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, the difference between the premium and the cost to close the position is realized as a gain or loss.
At January 31, 2013, the Funds had the following open written options:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Managers AMG FQ U.S. Equity Fund
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Exercise Price
|
|
|
Expiration Date
|
|
|
Number of Contracts
|
|
|
Premium
|
|
|
Unrealized
Gain/(Loss)
|
|
S&P 500 Index (Call)
|
|
|
1,520
|
|
|
|
02/16/13
|
|
|
|
100
|
|
|
$
|
29,850
|
|
|
$
|
(16,150
|
)
|
S&P 500 Index (Call)
|
|
|
1,540
|
|
|
|
02/16/13
|
|
|
|
245
|
|
|
|
32,707
|
|
|
|
6,982
|
|
S&P 500 Index (Put)
|
|
|
1,340
|
|
|
|
02/16/13
|
|
|
|
245
|
|
|
|
31,483
|
|
|
|
19,233
|
|
S&P 500 Index (Put)
|
|
|
1,370
|
|
|
|
02/16/13
|
|
|
|
100
|
|
|
|
19,850
|
|
|
|
13,350
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
113,890
|
|
|
$
|
23,415
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transactions in written put and call options for the period from November 1, 2012 to January 31, 2013, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Amount of
Premiums
|
|
Options outstanding at October 31, 2012
|
|
|
490
|
|
|
$
|
227,265
|
|
Options written
|
|
|
2,030
|
|
|
|
674,880
|
|
Options exercised/expired/closed
|
|
|
(1,830
|
)
|
|
|
(788,255
|
)
|
|
|
|
|
|
|
|
|
|
Options outstanding at January 31, 2013
|
|
|
690
|
|
|
$
|
113,890
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts
A Fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks
associated with futures contracts. Prices may not move as expected or a Fund may not be able to close out the contract when it desires to do so, resulting in losses. Futures are valued at their quoted daily settlement prices. The aggregate principal
amounts of the contracts are not recorded in the financial statements. All futures contracts are exchange traded unless otherwise noted. The counterparty for all OTC contracts is Morgan Stanley.
At January 31, 2013, the Funds had the following open futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Managers AMG FQ U.S. Equity Fund - Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Number of Contracts
|
|
Position
|
|
|
Expiration
Date
|
|
|
Unrealized
Loss
|
|
S&P 500 E-Mini Index
|
|
2
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
$
|
8,116
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
27
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
Managers AMG FQ Global Alternatives Fund - Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Number of Contracts
|
|
Position
|
|
|
Type
|
|
|
Expiration
Date
|
|
|
Unrealized
Gain/(Loss)
|
|
Amsterdam Index
|
|
|
EUR
|
|
|
173
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
02/15/13
|
|
|
$
|
268,971
|
|
Australia 10-Year bond
|
|
|
AUD
|
|
|
140
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/15/13
|
|
|
|
365,024
|
|
Australian SPI 200
|
|
|
AUD
|
|
|
70
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/21/13
|
|
|
|
(383,245
|
)
|
CAC40 Index
|
|
|
EUR
|
|
|
680
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
02/15/13
|
|
|
|
(240,998
|
)
|
Canadian 10-Year bond
|
|
|
CAD
|
|
|
285
|
|
|
Short
|
|
|
|
OTC
|
|
|
|
03/19/13
|
|
|
|
560,319
|
|
DAX Index
|
|
|
EUR
|
|
|
60
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
03/15/13
|
|
|
|
369,988
|
|
Euro-Bund 10-Year
|
|
|
EUR
|
|
|
159
|
|
|
Long
|
|
|
|
OTC
|
|
|
|
03/07/13
|
|
|
|
(534,222
|
)
|
FTSE 100 Index
|
|
|
GBP
|
|
|
26
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
03/15/13
|
|
|
|
149,790
|
|
FTSE/MIB Index
|
|
|
EUR
|
|
|
252
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/15/13
|
|
|
|
(1,759,122
|
)
|
Hang Seng Index
|
|
|
HKD
|
|
|
89
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
02/27/13
|
|
|
|
62,240
|
|
IBEX 35 Index
|
|
|
EUR
|
|
|
135
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
02/15/13
|
|
|
|
(321,112
|
)
|
Japanese 10-Year Bond
|
|
|
JPY
|
|
|
858
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/08/13
|
|
|
|
19,450
|
|
S&P 500 E-Mini Index
|
|
|
USD
|
|
|
292
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/15/13
|
|
|
|
(892,468
|
)
|
S&P/TSX 60 Index
|
|
|
CAD
|
|
|
20
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
03/14/13
|
|
|
|
(21,380
|
)
|
TOPIX Index
|
|
|
JPY
|
|
|
6
|
|
|
Short
|
|
|
|
Exchange
|
|
|
|
03/07/13
|
|
|
|
(27,205
|
)
|
U.K. 10-Year Gilt
|
|
|
GBP
|
|
|
339
|
|
|
Long
|
|
|
|
Exchange
|
|
|
|
03/26/13
|
|
|
|
(1,003,678
|
)
|
U.S. Treasury 10-Year Note
|
|
|
USD
|
|
|
700
|
|
|
Long
|
|
|
|
OTC
|
|
|
|
03/19/13
|
|
|
|
(1,244,070
|
)
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
(4,631,718
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Managers AMG FQ Global Essentials Fund - Futures Contracts
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Number of Contracts
|
|
Position
|
|
|
Expiration
Date
|
|
|
Unrealized
Gain/(Loss)
|
|
Amsterdam Index
|
|
|
EUR
|
|
|
17
|
|
|
Long
|
|
|
|
02/15/13
|
|
|
$
|
30,949
|
|
Australia 10-Year bond
|
|
|
AUD
|
|
|
162
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
(431,731
|
)
|
Australian SPI 200
|
|
|
AUD
|
|
|
26
|
|
|
Long
|
|
|
|
03/21/13
|
|
|
|
174,359
|
|
CAC40 Index
|
|
|
EUR
|
|
|
31
|
|
|
Long
|
|
|
|
02/15/13 to 03/15/13
|
|
|
|
31,979
|
|
Canadian 10-Year bond
|
|
|
CAD
|
|
|
156
|
|
|
Long
|
|
|
|
03/19/13
|
|
|
|
(310,330
|
)
|
DAX Index
|
|
|
EUR
|
|
|
6
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
51,120
|
|
E-Mini MSCI Index
|
|
|
USD
|
|
|
172
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
261,070
|
|
Euro-Bund 10-Year
|
|
|
EUR
|
|
|
74
|
|
|
Long
|
|
|
|
03/07/13
|
|
|
|
(188,033
|
)
|
Euro-Bund 30-Year
|
|
|
EUR
|
|
|
45
|
|
|
Long
|
|
|
|
03/07/13
|
|
|
|
(28,292
|
)
|
28
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Currency
|
|
|
Number of Contracts
|
|
|
Position
|
|
|
Expiration
Date
|
|
|
Unrealized
Gain/(Loss)
|
|
FTSE 100 Index
|
|
|
GBP
|
|
|
|
15
|
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
$
|
87,139
|
|
FTSE/MIB Index
|
|
|
EUR
|
|
|
|
14
|
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
117,236
|
|
Hang Seng Index
|
|
|
HKD
|
|
|
|
11
|
|
|
|
Long
|
|
|
|
02/27/13
|
|
|
|
7,697
|
|
IBEX 35 Index
|
|
|
EUR
|
|
|
|
13
|
|
|
|
Long
|
|
|
|
02/15/13
|
|
|
|
(30,366
|
)
|
Russell 2000 Index
|
|
|
USD
|
|
|
|
108
|
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
824,347
|
|
S&P 500 E-Mini Index
|
|
|
USD
|
|
|
|
37
|
|
|
|
Long
|
|
|
|
03/15/13
|
|
|
|
150,140
|
|
S&P/TSX 60 Index
|
|
|
CAD
|
|
|
|
19
|
|
|
|
Long
|
|
|
|
03/14/13
|
|
|
|
96,922
|
|
TOPIX Index
|
|
|
JPY
|
|
|
|
23
|
|
|
|
Long
|
|
|
|
03/07/13
|
|
|
|
390,699
|
|
U.K. 10-Year Gilt
|
|
|
GBP
|
|
|
|
151
|
|
|
|
Long
|
|
|
|
03/26/13
|
|
|
|
(544,675
|
)
|
U.S. Treasury Long Bond
|
|
|
USD
|
|
|
|
126
|
|
|
|
Long
|
|
|
|
03/19/13
|
|
|
|
(659,768
|
)
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$
|
30,462
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
At January 31, 2013, the Funds had the following foreign currency contracts (in U.S. Dollars):
Managers AMG FQ Global Alternatives Fund - Foreign Currency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency
|
|
Position
|
|
|
Settlement Date
|
|
|
Counterparty
|
|
|
Receivable
Amount
|
|
|
Payable
Amount
|
|
|
Unrealized
Gain/ (Loss)
|
|
Australian Dollar
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
$
|
5,148,449
|
|
|
$
|
5,192,224
|
|
|
$
|
(43,775
|
)
|
British Pound
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
36,211,744
|
|
|
|
36,762,136
|
|
|
|
(550,392
|
)
|
Euro
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
59,971,619
|
|
|
|
57,911,860
|
|
|
|
2,059,759
|
|
Euro
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
41,611,070
|
|
|
|
40,216,603
|
|
|
|
1,394,467
|
|
Japanese Yen
|
|
|
Long
|
|
|
|
03/21/13
|
|
|
|
GS
|
|
|
|
13,706,052
|
|
|
|
14,520,445
|
|
|
|
(814,393
|
)
|
New Zealand Dollar
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
13,740,705
|
|
|
|
13,544,212
|
|
|
|
196,493
|
|
New Zealand Dollar
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
21,588,564
|
|
|
|
21,232,470
|
|
|
|
356,094
|
|
Norwegian Krone
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
23,544,460
|
|
|
|
22,924,084
|
|
|
|
620,376
|
|
Norwegian Krone
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
13,050,014
|
|
|
|
12,662,041
|
|
|
|
387,973
|
|
Singapore Dollar
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
5,139,303
|
|
|
|
5,166,964
|
|
|
|
(27,661
|
)
|
Singapore Dollar
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
2,391,849
|
|
|
|
2,429,529
|
|
|
|
(37,680
|
)
|
Swedish Krona
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
5,801,351
|
|
|
|
5,677,536
|
|
|
|
123,815
|
|
Swedish Krona
|
|
|
Long
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
22,993,293
|
|
|
|
22,139,139
|
|
|
|
854,154
|
|
Australian Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
16,978,920
|
|
|
|
16,961,611
|
|
|
|
17,309
|
|
Australian Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
|
MS
|
|
|
|
42,649,818
|
|
|
|
42,731,219
|
|
|
|
(81,401
|
)
|
British Pound
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
|
GS
|
|
|
|
3,177,283
|
|
|
|
3,129,150
|
|
|
|
48,133
|
|
29
Managers AMG Funds
Notes to Schedules
of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency
|
|
Position
|
|
|
Settlement Date
|
|
|
Counterparty
|
|
Receivable
Amount
|
|
|
Payable Amount
|
|
|
Unrealized
Gain/ (Loss)
|
|
Canadian Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
$
|
33,555,282
|
|
|
$
|
33,373,155
|
|
|
$
|
182,127
|
|
Canadian Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
MS
|
|
|
13,101,568
|
|
|
|
13,033,510
|
|
|
|
68,058
|
|
Canadian Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
MS
|
|
|
4,773,473
|
|
|
|
4,818,255
|
|
|
|
(44,782
|
)
|
Euro
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
17,658,977
|
|
|
|
18,360,549
|
|
|
|
(701,572
|
)
|
Japanese Yen
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
13,799,170
|
|
|
|
12,386,087
|
|
|
|
1,413,083
|
|
Japanese Yen
|
|
|
Short
|
|
|
|
03/21/13
|
|
|
GS
|
|
|
9,733,637
|
|
|
|
9,592,731
|
|
|
|
140,906
|
|
Japanese Yen
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
MS
|
|
|
13,747,317
|
|
|
|
12,386,087
|
|
|
|
1,361,230
|
|
New Zealand Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
73,615,018
|
|
|
|
74,764,867
|
|
|
|
(1,149,849
|
)
|
New Zealand Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
MS
|
|
|
4,033,820
|
|
|
|
4,026,954
|
|
|
|
6,866
|
|
Norwegian Krone
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
14,630,762
|
|
|
|
14,966,283
|
|
|
|
(335,521
|
)
|
Singapore Dollar
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
31,386,698
|
|
|
|
30,903,081
|
|
|
|
483,617
|
|
Swedish Krona
|
|
|
Short
|
|
|
|
03/20/13
|
|
|
GS
|
|
|
40,615,414
|
|
|
|
42,231,914
|
|
|
|
(1,616,500
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
|
|
|
|
|
|
|
|
|
$
|
598,355,630
|
|
|
$
|
594,044,696
|
|
|
$
|
4,310,934
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments Definitions and Abbreviations:
ADR: ADR after the name of a holding stands for American Depositary Receipt, representing ownership of foreign securities on deposit with a domestic custodian bank. The value of the ADR security is
determined or significantly influenced by trading on exchanges not located in the United States or Canada. Sponsored ADRs are initiated by the underlying foreign company.
REIT: Real Estate Investment Trust
Currency and Counterparty Abbreviations:
|
|
|
|
|
|
|
|
|
MS:
|
|
Morgan Stanley
|
|
GS:
|
|
Goldman Sachs Group, Inc.
|
|
|
AUD:
|
|
Australian Dollar
|
|
HKD:
|
|
Hong Kong Dollar
|
|
|
CAD:
|
|
Canadian Dollar
|
|
JPY:
|
|
Japanese Yen
|
|
|
EUR:
|
|
Euro
|
|
USD:
|
|
U.S. Dollar
|
|
|
GBP:
|
|
British Pound
|
|
OTC:
|
|
Over-the-counter
|
|
|
30
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
January 31, 2013 (unaudited)
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Asset-Backed Securities - 2.0%
|
|
|
|
|
|
|
|
|
Amortizing Residential Collateral Trust, Series 2002-BC4, 0.784%, 07/25/32 (02/25/13)
1
|
|
$
|
77,398
|
|
|
$
|
67,010
|
|
Bear Stearns Asset-Backed Securities, Inc., Series 2006-AQ1, Class 2A1, 0.284%, 10/25/36 (02/25/13)
1
|
|
|
65,859
|
|
|
|
63,363
|
|
Countrywide Asset-Backed Certificates, Series 2007-2, Class 2A2, 0.304%, 08/25/37 (02/25/13)
1
|
|
|
8,293,319
|
|
|
|
8,134,647
|
|
EFS Volunteer No. 2 LLC, Series 1, Class A1, 1.090%, 07/26/27 (02/25/13) (a)
1
|
|
|
1,909,001
|
|
|
|
1,927,095
|
|
EMC Mortgage Loan Trust, Series 2001-A, Class A, 0.944%, 05/25/40 (02/25/13) (a)
1
|
|
|
553,429
|
|
|
|
517,341
|
|
First NLC Trust, Series 2007-1, Class A1, 0.274%, 08/25/37
(02/25/13) (a)
1
|
|
|
667,545
|
|
|
|
330,496
|
|
Fremont Home Loan Trust, Series 2006-E, Class 2A1, 0.264%, 01/25/37
(02/25/13)
1
|
|
|
39,711
|
|
|
|
18,320
|
|
Long Beach Mortgage Loan Trust, Series 2004-4, Class 1A1, 0.764%, 10/25/34
(02/25/13)
1
|
|
|
55,661
|
|
|
|
49,830
|
|
Morgan Stanley IXIS Real Estate Capital Trust, Series 2006-2, Class A1, 0.254%, 11/25/36 (02/25/13)
1
|
|
|
11,554
|
|
|
|
5,002
|
|
Park Place Securities, Inc., Series 2005-WCW1, Class A1B, 0.464%, 09/25/35 (02/25/13)
1
|
|
|
1,587,551
|
|
|
|
1,542,078
|
|
Securitized Asset Backed Receivables LLC,
|
|
|
|
|
|
|
|
|
Series 2007-HE1, Class A2A, 0.264%, 12/25/36 (02/25/13)
1
|
|
|
460,045
|
|
|
|
136,603
|
|
Series 2007-NC2, 0.244%, 01/25/37 (02/25/13)
1
|
|
|
113,472
|
|
|
|
107,499
|
|
Small Business Administration Participation Certificates,
|
|
|
|
|
|
|
|
|
Series 2003-20I, Class 1, 5.130%, 09/01/23
|
|
|
67,782
|
|
|
|
74,990
|
|
Series 2007-20K, Class 1, 5.510%, 11/01/27
|
|
|
3,054,927
|
|
|
|
3,516,225
|
|
Series 2008-10E, Class 1, 5.110%, 09/01/18
|
|
|
1,328,288
|
|
|
|
1,427,574
|
|
Series 2008-20I, Class 1, 5.600%, 09/01/28
|
|
|
6,661,498
|
|
|
|
7,722,235
|
|
Series 2009-20E, Class 1, 4.430%, 05/01/29
|
|
|
3,952,721
|
|
|
|
4,370,322
|
|
Structured Asset Securities Corp., Series 2002-HF1, 0.784%, 01/25/33 (02/25/13)
1
|
|
|
46,531
|
|
|
|
44,787
|
|
Total Asset-Backed Securities
(cost $28,688,175)
|
|
|
|
|
|
|
30,055,417
|
|
Bank Loan Obligations - 0.1%
|
|
|
|
|
|
|
|
|
American Governmental Financial Services Funding Co., Term Loan, 5.662%, 05/18/17 (cost $1,194,000)
|
|
|
1,200,000
|
|
|
|
1,206,450
|
|
Corporate Bonds and Notes - 15.6%
|
|
|
|
|
|
|
|
|
Financials - 11.5%
|
|
|
|
|
|
|
|
|
AK Transneft OJSC Via TransCapitalInvest, Ltd., 8.700%, 08/07/18 (a)
|
|
|
600,000
|
|
|
|
768,900
|
|
Allstate Life Global Funding Trusts, MTN, 5.375%, 04/30/13
|
|
|
1,600,000
|
|
|
|
1,619,443
|
|
Ally Financial, Inc.,
|
|
|
|
|
|
|
|
|
3.510%, 02/11/14 (02/11/13)
1
|
|
|
1,000,000
|
|
|
|
1,018,870
|
|
4.500%, 02/11/14
|
|
|
7,700,000
|
|
|
|
7,931,000
|
|
5.500%, 02/15/17
|
|
|
3,300,000
|
|
|
|
3,563,809
|
|
7.500%, 12/31/13
|
|
|
1,500,000
|
|
|
|
1,578,750
|
|
7.500%, 09/15/20
|
|
|
1,100,000
|
|
|
|
1,326,875
|
|
8.300%, 02/12/15
|
|
|
800,000
|
|
|
|
893,000
|
|
American International Group, Inc.,
|
|
|
|
|
|
|
|
|
5.050%, 10/01/15
|
|
|
400,000
|
|
|
|
439,289
|
|
6.250%, 03/15/37
|
|
|
800,000
|
|
|
|
857,000
|
|
8.250%, 08/15/18
|
|
|
4,500,000
|
|
|
|
5,854,604
|
|
MTN, 5.600%, 10/18/16
|
|
|
800,000
|
|
|
|
911,543
|
|
ANZ National International, Ltd., 6.200%, 07/19/13 (a)
|
|
|
1,800,000
|
|
|
|
1,847,018
|
|
Australia and New Zealand Banking Group, Ltd., 2.125%, 01/10/14 (a)
2
|
|
|
2,400,000
|
|
|
|
2,437,128
|
|
Banco Santander Brasil SA, 4.500%, 04/06/15 (a)
|
|
|
200,000
|
|
|
|
208,500
|
|
1
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Financials - 11.5%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Bank of America Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 04/01/15
|
|
|
|
|
|
$
|
10,000,000
|
|
|
$
|
10,650,310
|
|
6.000%, 10/15/36
|
|
|
|
|
|
|
900,000
|
|
|
|
1,092,575
|
|
6.500%, 08/01/16
|
|
|
|
|
|
|
2,800,000
|
|
|
|
3,240,095
|
|
Bank of China (Hong Kong), Ltd., 5.550%, 02/11/20 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
447,753
|
|
Bank of Montreal,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.950%, 01/30/17 (a)
3
|
|
|
|
|
|
|
600,000
|
|
|
|
623,578
|
|
2.850%, 06/09/15 (a)
|
|
|
|
|
|
|
800,000
|
|
|
|
842,560
|
|
Bank of Nova Scotia,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.650%, 10/29/15 (a)
|
|
|
|
|
|
|
900,000
|
|
|
|
924,468
|
|
1.950%, 01/30/17 (a)
|
|
|
|
|
|
|
200,000
|
|
|
|
207,907
|
|
BBVA Bancomer SA,
|
|
|
|
|
|
|
|
|
|
|
|
|
4.500%, 03/10/16 (a)
|
|
|
|
|
|
|
500,000
|
|
|
|
531,250
|
|
6.500%, 03/10/21 (a)
|
|
|
|
|
|
|
900,000
|
|
|
|
1,035,000
|
|
BPCE SA, 2.375%, 10/04/13 (a)
2
|
|
|
|
|
|
|
400,000
|
|
|
|
404,060
|
|
Braskem Finance, Ltd., 5.750%, 04/15/21 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
422,000
|
|
CIT Group, Inc., 5.250%, 04/01/14 (a)
|
|
|
|
|
|
|
300,000
|
|
|
|
313,875
|
|
Citigroup, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.310%, 08/13/13 (02/13/13)
1
|
|
|
|
|
|
|
1,100,000
|
|
|
|
1,110,054
|
|
5.850%, 07/02/13
|
|
|
|
|
|
|
100,000
|
|
|
|
102,028
|
|
6.125%, 08/25/36
3
|
|
|
|
|
|
|
4,200,000
|
|
|
|
4,681,740
|
|
EMTN, Class B, 1.458%, 11/30/17
4
|
|
|
EUR
|
|
|
|
3,800,000
|
|
|
|
4,858,143
|
|
MTN, 5.500%, 10/15/14
|
|
|
|
|
|
|
5,800,000
|
|
|
|
6,215,454
|
|
Commonwealth Bank of Australia, 0.725%, 07/12/13 (04/12/13) (a)
1
|
|
|
|
|
|
|
7,500,000
|
|
|
|
7,517,168
|
|
Credit Suisse New York, 2.200%, 01/14/14
|
|
|
|
|
|
|
800,000
|
|
|
|
812,651
|
|
Dexia Credit Local SA, 0.781%, 04/29/14 (04/29/13) (a)
1
|
|
|
|
|
|
|
4,100,000
|
|
|
|
4,055,515
|
|
Ford Motor Credit Co. LLC,
|
|
|
|
|
|
|
|
|
|
|
|
|
7.000%, 04/15/15
|
|
|
|
|
|
|
1,400,000
|
|
|
|
1,554,087
|
|
8.700%, 10/01/14
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,117,605
|
|
General Electric Capital Corp., 5.500%, 09/15/67 (a)
4
|
|
|
EUR
|
|
|
|
1,900,000
|
|
|
|
2,580,284
|
|
Goldman Sachs Group, Inc., The,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.312%, 02/07/14 (02/07/13)
1
|
|
|
|
|
|
|
2,200,000
|
|
|
|
2,210,261
|
|
5.950%, 01/18/18
|
|
|
|
|
|
|
2,200,000
|
|
|
|
2,558,497
|
|
6.150%, 04/01/18
|
|
|
|
|
|
|
2,000,000
|
|
|
|
2,352,354
|
|
HSBC Bank PLC, 2.000%, 01/19/14 (a)
2
|
|
|
|
|
|
|
800,000
|
|
|
|
807,932
|
|
International Lease Finance Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.750%, 05/15/16
|
|
|
|
|
|
|
300,000
|
|
|
|
324,243
|
|
5.875%, 05/01/13
|
|
|
|
|
|
|
400,000
|
|
|
|
403,350
|
|
6.750%, 09/01/16 (a)
|
|
|
|
|
|
|
800,000
|
|
|
|
906,000
|
|
GMTN, 6.375%, 03/25/13
|
|
|
|
|
|
|
400,000
|
|
|
|
403,200
|
|
Intesa Sanpaolo S.p.A, 2.712%, 02/24/14 (02/25/13) (a)
1,2
|
|
|
|
|
|
|
1,700,000
|
|
|
|
1,711,932
|
|
JPMorgan Chase & Co.,
|
|
|
|
|
|
|
|
|
|
|
|
|
6.000%, 01/15/18
|
|
|
|
|
|
|
1,500,000
|
|
|
|
1,783,681
|
|
EMTN, 0.434%, 09/26/13 (03/26/13)
1
|
|
|
EUR
|
|
|
|
200,000
|
|
|
|
271,888
|
|
2
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Financials - 11.5%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
JPMorgan Chase Bank, NA,
|
|
|
|
|
|
|
|
|
|
|
|
|
0.640%, 06/13/16 (03/13/13)
1
|
|
|
|
|
|
$
|
1,300,000
|
|
|
$
|
1,276,961
|
|
0.878%, 05/31/17
4
|
|
|
EUR
|
|
|
|
900,000
|
|
|
|
1,197,090
|
|
LBG Capital No. 1 PLC,
|
|
|
|
|
|
|
|
|
|
|
|
|
8.500%, 12/29/49 (a)
2,4,5
|
|
|
|
|
|
|
400,000
|
|
|
|
427,804
|
|
Series 8, 7.869%, 08/25/20
3
|
|
|
GBP
|
|
|
|
2,300,000
|
|
|
|
3,861,193
|
|
Lloyds TSB Bank PLC, 6.350%, 10/29/49
4,5
|
|
|
EUR
|
|
|
|
1,800,000
|
|
|
|
1,979,660
|
|
Merrill Lynch & Co., Inc., GMTN, 6.400%, 08/28/17
|
|
|
|
|
|
|
3,400,000
|
|
|
|
3,986,694
|
|
Morgan Stanley,
|
|
|
|
|
|
|
|
|
|
|
|
|
GMTN, 2.810%, 05/14/13 (02/14/13)
1
|
|
|
|
|
|
|
1,200,000
|
|
|
|
1,206,876
|
|
GMTN, 7.300%, 05/13/19
|
|
|
|
|
|
|
200,000
|
|
|
|
245,142
|
|
MTN, 5.950%, 12/28/17
|
|
|
|
|
|
|
1,800,000
|
|
|
|
2,067,775
|
|
National Australia Bank, Ltd., 5.350%, 06/12/13 (a)
|
|
|
|
|
|
|
1,500,000
|
|
|
|
1,527,128
|
|
Nationwide Building Society, 6.250%, 02/25/20 (a)
2,3
|
|
|
|
|
|
|
1,800,000
|
|
|
|
2,082,200
|
|
Nordea Bank AB, 2.125%, 01/14/14 (a)
2
|
|
|
|
|
|
|
400,000
|
|
|
|
403,916
|
|
Principal Life Income Funding Trusts,
|
|
|
|
|
|
|
|
|
|
|
|
|
MTN, 5.300%, 04/24/13
|
|
|
|
|
|
|
1,500,000
|
|
|
|
1,516,042
|
|
MTN, 5.550%, 04/27/15
|
|
|
|
|
|
|
2,300,000
|
|
|
|
2,533,282
|
|
Qatari Diar Finance Q.S.C., 3.500%, 07/21/15
|
|
|
|
|
|
|
900,000
|
|
|
|
945,000
|
|
Resona Bank, Ltd., 5.850%, 09/29/49 (a)
2,4,5
|
|
|
|
|
|
|
500,000
|
|
|
|
537,108
|
|
Royal Bank of Scotland Group PLC, The, 6.990%, 10/29/49 (a)
2,4,5
|
|
|
|
|
|
|
2,600,000
|
|
|
|
2,470,000
|
|
Santander SA US Debt Unipersonal, 2.991%, 10/07/13 (a)
2
|
|
|
|
|
|
|
3,700,000
|
|
|
|
3,724,409
|
|
SLM Corp., MTN, 6.250%, 01/25/16
|
|
|
|
|
|
|
300,000
|
|
|
|
331,592
|
|
Springleaf Finance Corp., 4.125%, 11/29/13
|
|
|
EUR
|
|
|
|
3,900,000
|
|
|
|
5,329,808
|
|
State Bank of India, 4.500%, 07/27/15 (a)
|
|
|
|
|
|
|
2,900,000
|
|
|
|
3,050,287
|
|
State Street Capital Trust IV, 1.308%, 06/15/37 (03/15/13)
1
|
|
|
|
|
|
|
300,000
|
|
|
|
235,500
|
|
Stone Street Trust, 5.902%, 12/15/15 (a)
|
|
|
|
|
|
|
2,800,000
|
|
|
|
3,054,444
|
|
Sumitomo Mitsui Banking Corp., 1.950%, 01/14/14 (a)
2
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,010,227
|
|
Temasek Financial I, Ltd., 4.300%, 10/25/19 (a)
|
|
|
|
|
|
|
900,000
|
|
|
|
1,021,333
|
|
UBS AG,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.875%, 12/20/17
|
|
|
|
|
|
|
1,300,000
|
|
|
|
1,545,019
|
|
Series FRN, 1.301%, 01/28/14 (04/29/13)
1
|
|
|
|
|
|
|
300,000
|
|
|
|
302,154
|
|
Vnesheconombank Via VEB Finance PLC, 5.450%, 11/22/17 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
441,680
|
|
Wachovia Corp., MTN, 0.489%, 08/01/13 (05/01/13)
1
|
|
|
|
|
|
|
300,000
|
|
|
|
300,344
|
|
Wells Fargo & Co., Series K, 7.980%, 03/29/49
4,5
|
|
|
|
|
|
|
14,600,000
|
|
|
|
16,808,250
|
|
Westpac Banking Corp., 3.585%, 08/14/14 (a)
2
|
|
|
|
|
|
|
3,800,000
|
|
|
|
3,975,792
|
|
Total Financials
|
|
|
|
|
|
|
|
|
|
|
169,723,937
|
|
Industrials - 3.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
AbbVie, Inc., 1.072%, 11/06/15 (02/06/13) (a)
1,2
|
|
|
|
|
|
|
2,900,000
|
|
|
|
2,946,374
|
|
Altria Group, Inc., 9.700%, 11/10/18
|
|
|
|
|
|
|
406,000
|
|
|
|
561,002
|
|
Amgen, Inc., 6.150%, 06/01/18
|
|
|
|
|
|
|
4,900,000
|
|
|
|
5,939,030
|
|
AT&T, Inc., 6.300%, 01/15/38
|
|
|
|
|
|
|
1,200,000
|
|
|
|
1,470,326
|
|
Caterpillar, Inc., 0.482%, 05/21/13 (02/21/13)
1
|
|
|
|
|
|
|
4,200,000
|
|
|
|
4,203,339
|
|
3
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Industrials - 3.9%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Comcast Corp., 6.450%, 03/15/37
|
|
|
|
|
|
$
|
100,000
|
|
|
$
|
124,094
|
|
Corp Nacional del Cobre de Chile, 7.500%, 01/15/19 (a)
|
|
|
|
|
|
|
1,500,000
|
|
|
|
1,915,376
|
|
Gazprom OAO Via Gaz Capital SA,
|
|
|
|
|
|
|
|
|
|
|
|
|
5.092%, 11/29/15 (a)
|
|
|
|
|
|
|
200,000
|
|
|
|
213,000
|
|
6.212%, 11/22/16 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
447,000
|
|
Gerdau Trade, Inc., 5.750%, 01/30/21 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
444,000
|
|
Hewlett-Packard Co., 0.592%, 05/24/13 (02/25/13)
1
|
|
|
|
|
|
|
4,900,000
|
|
|
|
4,891,043
|
|
International Business Machines Corp., 5.700%, 09/14/17
|
|
|
|
|
|
|
1,400,000
|
|
|
|
1,680,419
|
|
Noble Group, Ltd., 4.875%, 08/05/15 (a)
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,057,000
|
|
Novatek OAO via Finance, Ltd., 5.326%, 02/03/16 (a)
|
|
|
|
|
|
|
400,000
|
|
|
|
428,200
|
|
Odebrecht Drilling VIII/IX, Ltd., 6.350%, 06/30/21 (a)
|
|
|
|
|
|
|
380,000
|
|
|
|
427,500
|
|
Petrobras International Finance Co.,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.875%, 01/27/16
|
|
|
|
|
|
|
3,300,000
|
|
|
|
3,472,630
|
|
5.875%, 03/01/18
|
|
|
|
|
|
|
2,300,000
|
|
|
|
2,597,162
|
|
Petroleos Mexicanos, 8.000%, 05/03/19
|
|
|
|
|
|
|
5,100,000
|
|
|
|
6,553,500
|
|
Qtel International Finance, Ltd., 4.750%, 02/16/21 (a)
|
|
|
|
|
|
|
200,000
|
|
|
|
222,750
|
|
Ras Laffan Liquefied Natural Gas Co., Ltd., 5.298%, 09/30/20 (a)
|
|
|
|
|
|
|
717,750
|
|
|
|
806,392
|
|
Rohm & Haas Co., 6.000%, 09/15/17
|
|
|
|
|
|
|
1,100,000
|
|
|
|
1,293,557
|
|
Tennessee Gas Pipeline Co., 7.000%, 10/15/28
|
|
|
|
|
|
|
6,145,000
|
|
|
|
8,193,091
|
|
Time Warner, Inc., 5.875%, 11/15/16
|
|
|
|
|
|
|
1,200,000
|
|
|
|
1,402,739
|
|
UAL 2009-1 Pass Through Trust, 10.400%, 11/01/16
|
|
|
|
|
|
|
317,882
|
|
|
|
368,743
|
|
UnitedHealth Group, Inc., 4.875%, 02/15/13
|
|
|
|
|
|
|
1,600,000
|
|
|
|
1,601,914
|
|
Vale Overseas, Ltd., 6.875%, 11/21/36
|
|
|
|
|
|
|
500,000
|
|
|
|
590,547
|
|
Volkswagen International Finance NV, 0.918%, 04/01/14 (04/01/13) (a)
1
|
|
|
|
|
|
|
2,900,000
|
|
|
|
2,909,561
|
|
Total Industrials
|
|
|
|
|
|
|
|
|
|
|
56,760,289
|
|
Utilities - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
ENN Energy Holdings, Ltd., 6.000%, 05/13/21 (a)
|
|
|
|
|
|
|
200,000
|
|
|
|
230,815
|
|
Entergy Corp., 3.625%, 09/15/15
|
|
|
|
|
|
|
2,200,000
|
|
|
|
2,291,333
|
|
Majapahit Holding, B.V., 7.750%, 01/20/20
|
|
|
|
|
|
|
700,000
|
|
|
|
875,000
|
|
Tokyo Electric Power Co., Inc., The,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 513, 1.500%, 05/30/14
|
|
|
JPY
|
|
|
|
1,000,000
|
|
|
|
10,863
|
|
Series 527, 1.850%, 07/28/14
|
|
|
JPY
|
|
|
|
7,000,000
|
|
|
|
76,245
|
|
Total Utilities
|
|
|
|
|
|
|
|
|
|
|
3,484,256
|
|
Total Corporate Bonds and Notes
(cost $207,025,367)
|
|
|
|
|
|
|
|
|
|
|
229,968,482
|
|
Foreign Government and Agency Obligations - 10.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
Banco do Brasil SA,
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds, 5.875%, 01/19/23 (a)
|
|
|
|
|
|
|
200,000
|
|
|
|
217,000
|
|
Notes, Series YCD, 0.384%, 06/28/13
6
|
|
|
|
|
|
|
10,000,000
|
|
|
|
9,984,440
|
|
Banco Nacional de Desenvolvimento Economico e Social Notes, 4.125%, 09/15/17
|
|
|
EUR
|
|
|
|
400,000
|
|
|
|
586,349
|
|
Brazil Notas do Tesouro Nacional, Series F,
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds, 10.000%, 01/01/21
|
|
|
BRL
|
|
|
|
27,000
|
|
|
|
14,139
|
|
Bonds, 10.000%, 01/01/23
|
|
|
BRL
|
|
|
|
16,000
|
|
|
|
8,341
|
|
Notes, 10.000%, 01/01/17
|
|
|
BRL
|
|
|
|
1,939,000
|
|
|
|
1,020,899
|
|
4
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Foreign Government and Agency Obligations - 10.1%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
British Columbia Bonds, Province of, 4.300%, 06/18/42
|
|
|
CAD
|
|
|
|
300,000
|
|
|
$
|
345,355
|
|
Export-Import Bank of Korea, The, Notes, 8.125%, 01/21/14
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,070,374
|
|
Italy Buoni Poliennali Del Tesoro,
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds, Series CPI, 2.100%, 09/15/21
|
|
|
EUR
|
|
|
|
964,503
|
|
|
|
1,262,121
|
|
Notes, 2.500%, 03/01/15
|
|
|
EUR
|
|
|
|
1,600,000
|
|
|
|
2,200,817
|
|
Notes, 3.500%, 06/01/14
|
|
|
EUR
|
|
|
|
400,000
|
|
|
|
558,584
|
|
Notes, 3.500%, 11/01/17
|
|
|
EUR
|
|
|
|
11,100,000
|
|
|
|
15,356,972
|
|
Notes, 4.500%, 07/15/15
|
|
|
EUR
|
|
|
|
500,000
|
|
|
|
717,104
|
|
Notes, 4.750%, 09/15/16
|
|
|
EUR
|
|
|
|
2,400,000
|
|
|
|
3,505,345
|
|
Notes, 6.000%, 11/15/14
|
|
|
EUR
|
|
|
|
200,000
|
|
|
|
292,434
|
|
Korea Development Bank Notes, The, 4.375%, 08/10/15
|
|
|
|
|
|
|
3,500,000
|
|
|
|
3,784,025
|
|
Korea Finance Corp. Notes, 3.250%, 09/20/16
|
|
|
|
|
|
|
800,000
|
|
|
|
851,461
|
|
Korea Housing Finance Corp. Notes, 4.125%, 12/15/15
|
|
|
|
|
|
|
500,000
|
|
|
|
541,160
|
|
Mexican Fixed Rate,
|
|
|
|
|
|
|
|
|
|
|
|
|
Bonds, Series M 20, 10.000%, 12/05/24
|
|
|
MXN
|
|
|
|
900,000
|
|
|
|
101,002
|
|
Notes, Series M, 6.000%, 06/18/15
|
|
|
MXN
|
|
|
|
10,000,000
|
|
|
|
815,481
|
|
Notes, Series M 10, 7.750%, 12/14/17
|
|
|
MXN
|
|
|
|
11,200,000
|
|
|
|
999,189
|
|
Ontario Bonds, Province of,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.850%, 06/02/23
|
|
|
CAD
|
|
|
|
300,000
|
|
|
|
296,589
|
|
4.000%, 06/02/21
|
|
|
CAD
|
|
|
|
4,000,000
|
|
|
|
4,391,899
|
|
4.200%, 06/02/20
|
|
|
CAD
|
|
|
|
2,500,000
|
|
|
|
2,783,312
|
|
4.300%, 03/08/17
|
|
|
CAD
|
|
|
|
1,000,000
|
|
|
|
1,098,296
|
|
4.400%, 06/02/19
|
|
|
CAD
|
|
|
|
1,400,000
|
|
|
|
1,574,712
|
|
4.700%, 06/02/37
|
|
|
CAD
|
|
|
|
2,600,000
|
|
|
|
3,067,552
|
|
Bonds, 3.150%, 06/02/22
|
|
|
CAD
|
|
|
|
4,300,000
|
|
|
|
4,408,772
|
|
MTN, 4.600%, 06/02/39
|
|
|
CAD
|
|
|
|
700,000
|
|
|
|
820,419
|
|
MTN, 5.500%, 06/02/18
|
|
|
CAD
|
|
|
|
400,000
|
|
|
|
468,322
|
|
Ontario Notes, Province of,
|
|
|
|
|
|
|
|
|
|
|
|
|
1.650%, 09/27/19
|
|
|
|
|
|
|
1,300,000
|
|
|
|
1,288,105
|
|
3.000%, 07/16/18
3
|
|
|
|
|
|
|
400,000
|
|
|
|
433,467
|
|
4.200%, 03/08/18
|
|
|
CAD
|
|
|
|
200,000
|
|
|
|
221,247
|
|
Panama Government Bonds, 7.250%, 03/15/15
|
|
|
|
|
|
|
200,000
|
|
|
|
224,000
|
|
Quebec Bonds, Province of,
|
|
|
|
|
|
|
|
|
|
|
|
|
2.750%, 08/25/21
|
|
|
|
|
|
|
900,000
|
|
|
|
927,776
|
|
3.000%, 09/01/23
|
|
|
CAD
|
|
|
|
300,000
|
|
|
|
297,338
|
|
3.500%, 07/29/20
|
|
|
|
|
|
|
500,000
|
|
|
|
550,161
|
|
3.500%, 12/01/22
|
|
|
CAD
|
|
|
|
8,100,000
|
|
|
|
8,452,213
|
|
4.250%, 12/01/21
|
|
|
CAD
|
|
|
|
5,100,000
|
|
|
|
5,663,536
|
|
4.250%, 12/01/43
|
|
|
CAD
|
|
|
|
1,200,000
|
|
|
|
1,330,491
|
|
4.500%, 12/01/16
|
|
|
CAD
|
|
|
|
100,000
|
|
|
|
110,334
|
|
4.500%, 12/01/17
|
|
|
CAD
|
|
|
|
100,000
|
|
|
|
111,622
|
|
MTN, 4.500%, 12/01/18
|
|
|
CAD
|
|
|
|
500,000
|
|
|
|
563,164
|
|
Spain Government Bonds,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.150%, 01/31/16
|
|
|
EUR
|
|
|
|
8,300,000
|
|
|
|
11,316,215
|
|
5
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Foreign Government and Agency Obligations - 10.1%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Spain Government Bonds,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.800%, 01/31/17
|
|
|
EUR
|
|
|
|
600,000
|
|
|
$
|
825,249
|
|
4.400%, 01/31/15
3
|
|
|
EUR
|
|
|
|
900,000
|
|
|
|
1,271,871
|
|
Spain Government Notes,
|
|
|
|
|
|
|
|
|
|
|
|
|
3.000%, 04/30/15
|
|
|
EUR
|
|
|
|
300,000
|
|
|
|
411,492
|
|
3.300%, 10/31/14
|
|
|
EUR
|
|
|
|
1,600,000
|
|
|
|
2,210,322
|
|
3.750%, 10/31/15
|
|
|
EUR
|
|
|
|
17,500,000
|
|
|
|
24,277,142
|
|
4.250%, 10/31/16
|
|
|
EUR
|
|
|
|
17,100,000
|
|
|
|
23,946,130
|
|
4.500%, 01/31/18
|
|
|
EUR
|
|
|
|
1,100,000
|
|
|
|
1,535,403
|
|
Total Foreign Government and Agency Obligations
(cost $142,271,323)
|
|
|
|
|
|
|
|
|
|
|
149,109,743
|
|
Mortgage-Backed Securities - 4.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
American Home Mortgage Investment Trust, Series 2004-4, Class 4A, 2.508%, 02/25/45 (03/25/13)
1
|
|
|
|
|
|
|
493,996
|
|
|
|
485,888
|
|
Arran Residential Mortgages Funding PLC,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2010-1A, Class A1B, 1.391%, 05/16/47 (02/18/13) (a)
1
|
|
|
EUR
|
|
|
|
39,792
|
|
|
|
54,072
|
|
Series 2010-1A, Class A2B, 1.591%, 05/16/47 (02/18/13) (a)
1
|
|
|
EUR
|
|
|
|
2,000,000
|
|
|
|
2,765,325
|
|
Bank of America Funding Corp., Series 2005-D, Class A1, 2.619%, 05/25/35 (03/25/13)
1
|
|
|
|
|
|
|
638,494
|
|
|
|
653,016
|
|
Bear Stearns Adjustable Rate Mortgage Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2000-2, Class A, 2.785%, 11/25/30 (03/25/13)
1
|
|
|
|
|
|
|
16,263
|
|
|
|
16,687
|
|
Series 2002-11, Class 1A1, 2.978%, 02/25/33 (03/25/13)
1
|
|
|
|
|
|
|
22,407
|
|
|
|
22,661
|
|
Series 2003-1, Class 6A1, 2.514%, 04/25/33 (03/25/13)
1
|
|
|
|
|
|
|
244,039
|
|
|
|
247,400
|
|
Series 2005-2, Class A1, 2.570%, 03/25/35 (03/25/13)
1
|
|
|
|
|
|
|
6,956,698
|
|
|
|
7,046,784
|
|
Series 2005-2, Class A2, 2.793%, 03/25/35 (03/25/13)
1
|
|
|
|
|
|
|
3,884,578
|
|
|
|
3,925,718
|
|
Series 2005-5, Class A2, 2.320%, 08/25/35 (03/25/13)
1
|
|
|
|
|
|
|
9,461,511
|
|
|
|
9,661,059
|
|
Series 2005-12, Class 13A, 5.369%, 02/25/36 (03/25/13)
1
|
|
|
|
|
|
|
230,585
|
|
|
|
228,331
|
|
Bear Stearns Alt-A Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-4, Class 23A1, 2.883%, 05/25/35 (03/25/13)
1
|
|
|
|
|
|
|
1,267,985
|
|
|
|
1,162,613
|
|
Series 2005-7, Class 22A1, 2.966%, 09/25/35 (03/25/13)
1
|
|
|
|
|
|
|
611,931
|
|
|
|
512,573
|
|
Bear Stearns Commercial Mortgage Securities, Series 2007-PW18, Class A4, 5.700%, 06/11/50
|
|
|
|
|
|
|
2,800,000
|
|
|
|
3,309,646
|
|
Citigroup Mortgage Loan Trust, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2005-6, Class A1, 2.270%, 09/25/35 (03/25/13)
1
|
|
|
|
|
|
|
5,119,407
|
|
|
|
5,094,842
|
|
Series 2005-11, Class A2A, 2.570%, 10/25/35 (03/25/13)
1
|
|
|
|
|
|
|
290,970
|
|
|
|
286,909
|
|
Countrywide Alternative Loan Trust, Series 2007-OA7, Class A1A, 0.384%, 05/25/47 (02/25/13)
1
|
|
|
|
|
|
|
1,177,067
|
|
|
|
872,491
|
|
Countrywide Home Loans Mortgage Pass Through Trust, Series 2005-HYB9, Class 3A2A, 2.783%, 02/20/36 (03/20/13)
1
|
|
|
|
|
|
|
334,306
|
|
|
|
302,977
|
|
Greenpoint Mortgage Funding Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-AR6, Class A1A, 0.284%, 10/25/46 (02/25/13)
1
|
|
|
|
|
|
|
11
|
|
|
|
11
|
|
Series 2006-AR8, Class 1A1A, 0.284%, 01/25/47 (02/25/13)
1
|
|
|
|
|
|
|
32
|
|
|
|
32
|
|
GS Mortgage Securities Corp., Series 2007-EOP, Class A1, 1.103%, 03/06/20 (02/06/13) (a)
1
|
|
|
|
|
|
|
1,340,153
|
|
|
|
1,342,606
|
|
GSR Mortgage Loan Trust, Series 2005-AR7, Class 6A1, 5.121%, 11/25/35 (03/25/13)
1
|
|
|
|
|
|
|
912,871
|
|
|
|
904,019
|
|
Indymac Index Mortgage Loan Trust, Series 2005-AR31, Class 1A1, 2.511%, 01/25/36 (03/25/13)
1
|
|
|
|
|
|
|
1,418,481
|
|
|
|
1,105,849
|
|
JPMorgan Chase Commercial Mortgage Securities Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2006-LDP9, Class A3, 5.336%, 05/15/47
|
|
|
|
|
|
|
2,100,000
|
|
|
|
2,393,033
|
|
Series 2010-C2, Class A3, 4.070%, 11/15/43 (a)
|
|
|
|
|
|
|
2,000,000
|
|
|
|
2,248,023
|
|
JPMorgan Mortgage Trust, Series 2005-A1, Class 6T1, 4.961%, 02/25/35 (03/25/13)
1
|
|
|
|
|
|
|
312,063
|
|
|
|
317,504
|
|
6
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Mortgage-Backed Securities - 4.1%
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
Merrill Lynch Mortgage Investors, Inc., Series 2005-A10, Class A, 0.414%, 02/25/36 (02/25/13)
1
|
|
|
|
|
|
$
|
739,649
|
|
|
$
|
661,033
|
|
MLCC Mortgage Investors, Inc., Series 2005-3, Class 4A, 0.454%, 11/25/35 (02/25/13)
1
|
|
|
|
|
|
|
146,036
|
|
|
|
140,654
|
|
Morgan Stanley Capital I, Series 2007-IQ16, Class A4, 5.809%, 12/12/49
|
|
|
|
|
|
|
3,000,000
|
|
|
|
3,534,037
|
|
Opera Finance PLC, Series CSC3, Class A, 0.741%, 04/25/17
(04/25/13)
1
|
|
|
GBP
|
|
|
|
2,083,685
|
|
|
|
3,230,352
|
|
Opteum Mortgage Acceptance Corp. Asset Backed Pass-Through Certificates, Series 2005-5, Class 1APT, 0.484%, 12/25/35
(02/25/13)
1
|
|
|
|
|
|
|
2,385,018
|
|
|
|
2,051,558
|
|
Prime Mortgage Trust,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2004-CL1, Class 1A2, 0.604%, 02/25/34 (02/25/13)
1
|
|
|
|
|
|
|
124,445
|
|
|
|
118,039
|
|
Series 2004-CL1, Class 2A2, 0.604%, 02/25/19 (02/25/13)
1
|
|
|
|
|
|
|
5,563
|
|
|
|
5,459
|
|
Silenus European Loan Conduit N25 PLC, Series 25X, Class A, 0.342%, 05/15/19 (02/15/13)
1
|
|
|
EUR
|
|
|
|
69,413
|
|
|
|
88,358
|
|
Structured Asset Mortgage Investments, Inc.,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2002-AR3, Class A1, 0.865%, 09/19/32 (02/19/13)
1
|
|
|
|
|
|
|
289,223
|
|
|
|
287,450
|
|
Series 2005-AR5, Class A2, 0.455%, 07/19/35 (02/19/13)
1
|
|
|
|
|
|
|
794,619
|
|
|
|
795,676
|
|
Structured Asset Securities Corp.,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2001-21A, Class 1A1, 2.552%, 01/25/32 (03/25/13)
1
|
|
|
|
|
|
|
17,395
|
|
|
|
15,765
|
|
Series 2006-11, Class A1, 2.859%, 10/28/35 (03/28/13) (a)
1
|
|
|
|
|
|
|
462,191
|
|
|
|
426,989
|
|
Wachovia Bank Commercial Mortgage Trust, Series 2007-WHL8, Class A1, Series 2007-WHL8, 0.286%, 06/15/20 (02/15/13) (a)
1
|
|
|
|
|
|
|
1,630,541
|
|
|
|
1,611,027
|
|
WaMu Mortgage Pass-Through Certificates,
|
|
|
|
|
|
|
|
|
|
|
|
|
Series 2002-AR17, Class 1A, 1.371%, 11/25/42 (03/25/13)
1
|
|
|
|
|
|
|
127,795
|
|
|
|
123,002
|
|
Series 2005-AR13, Class A1A1, 0.494%, 10/25/45 (02/25/13)
1
|
|
|
|
|
|
|
268,808
|
|
|
|
254,109
|
|
Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2002-AR1, 1.954%, 02/25/31 (03/25/13)
1
|
|
|
|
|
|
|
3,232
|
|
|
|
3,248
|
|
Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR2, Class 2A1, 2.625%, 03/25/36
4
|
|
|
|
|
|
|
1,367,637
|
|
|
|
1,373,980
|
|
Total Mortgage-Backed Securities
(cost $57,566,813)
|
|
|
|
|
|
|
|
|
|
|
59,680,805
|
|
Municipal Bonds - 4.3%
|
|
|
|
|
|
|
|
|
|
|
|
|
American Municipal Power, Inc., Combined Hydroelectric Projects Revenue, Taxable Build America, Series 2010 B, 8.084%,
02/15/50
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,447,930
|
|
Buckeye Tobacco Settlement Financing Authority, Tobacco Settlement Asset-Backed Bonds, Series 2007 A-2, 5.875%,
06/01/30
|
|
|
|
|
|
|
1,000,000
|
|
|
|
913,210
|
|
California Infrastructure & Economic Development Bank Revenue, UCSF Neurosciences Building 19A, Taxable Build America,
Series 2010 B, 6.486%, 05/15/49
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,195,950
|
|
California State General Obligation, Build America Bonds, 7.500%, 04/01/34
|
|
|
|
|
|
|
1,300,000
|
|
|
|
1,835,223
|
|
California State General Obligation, Build America Bonds, 7.550%, 04/01/39
|
|
|
|
|
|
|
1,300,000
|
|
|
|
1,905,865
|
|
California State General Obligation, Build America Bonds, 7.600%, 11/01/40
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,486,200
|
|
California State General Obligation, Build America Bonds, 7.950%, 03/01/36
|
|
|
|
|
|
|
1,100,000
|
|
|
|
1,371,447
|
|
California State General Obligation, Various Purpose, 5.650%, 04/01/39
|
|
|
|
|
|
|
1,200,000
|
|
|
|
1,209,084
|
|
California State University Systemwide Revenue, Series 2009 A, 5.250%, 11/01/38
|
|
|
|
|
|
|
500,000
|
|
|
|
571,810
|
|
California State University Systemwide Revenue, Taxable Build America, Series 2010 B, 6.434%, 11/01/30
|
|
|
|
|
|
|
700,000
|
|
|
|
820,792
|
|
Calleguas-Las Virgenes, CA Public Financing Authority Water Revenue, Calleguas Municipal Water District, Taxable Build America,
Series 2010 B, 5.944%, 07/01/40
|
|
|
|
|
|
|
1,000,000
|
|
|
|
1,195,290
|
|
Chicago, IL Transit Authority, Sales & Transfer Tax Receipts Revenue, Pension Funding, Series 2008 A, 6.300%,
12/01/21
|
|
|
|
|
|
|
100,000
|
|
|
|
115,267
|
|
Chicago, IL Transit Authority, Sales & Transfer Tax Receipts Revenue, Pension Funding, Series 2008 A, 6.899%,
12/01/40
|
|
|
|
|
|
|
1,600,000
|
|
|
|
1,940,320
|
|
7
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal
Amount
|
|
|
Value
|
|
Municipal Bonds - 4.3%
(continued)
|
|
|
|
|
|
|
|
|
Chicago, IL Transit Authority, Sales & Transfer Tax Receipts Revenue, Retiree Health Care, Series 2008 B, 6.300%,
12/01/21
|
|
$
|
200,000
|
|
|
$
|
230,534
|
|
Chicago, IL Transit Authority, Sales & Transfer Tax Receipts Revenue, Retiree Health Care, Series 2008 B, 6.899%,
12/01/40
|
|
|
1,700,000
|
|
|
|
2,061,590
|
|
Chicago, IL Transit Authority, Sales & Transfer Tax Receipts Revenue, Taxable Build America, Series 2010 B, 6.200%,
12/01/40
|
|
|
1,000,000
|
|
|
|
1,128,700
|
|
Chicago, IL Transit Authority, Sales Tax Receipts Revenue, Series 2016, 5.250%, 12/01/36
|
|
|
2,200,000
|
|
|
|
2,547,842
|
|
Clark County, NV Airport Revenue, Taxable Direct Payment Build America, Series C, 6.820%, 07/01/45
|
|
|
800,000
|
|
|
|
1,107,824
|
|
Illinois Municipal Electric Agency Power Supply System Revenue, Series C, 6.832%, 02/01/35
|
|
|
800,000
|
|
|
|
951,232
|
|
Irvine Ranch, CA District Joint Powers Agency Water Revenue, 2.388%, 03/15/14
|
|
|
2,800,000
|
|
|
|
2,807,420
|
|
Los Angeles County Public Works Financing Authority Revenue, Multiple Capital Projects I, Series 2010 B Taxable Build America,
7.488%, 08/01/33
|
|
|
200,000
|
|
|
|
256,958
|
|
Los Angeles County Public Works Financing Authority Revenue, Multiple Capital Projects I, Series 2010 B, Taxable Build America,
7.618%, 08/01/40
|
|
|
300,000
|
|
|
|
397,596
|
|
Los Angeles, CA Unified School District General Obligation, Series A-1, 4.500%, 07/01/22 (AGM Insured)
7
|
|
|
3,600,000
|
|
|
|
4,081,752
|
|
Los Angeles, CA Unified School District General Obligation, Taxable Build America, Series 2010 RY, 6.758%,
07/01/34
|
|
|
4,000,000
|
|
|
|
5,345,880
|
|
Los Angeles, CA Wastewater System Revenue, Series 2010 A, 5.713%, 06/01/39
|
|
|
1,000,000
|
|
|
|
1,159,610
|
|
New Jersey State Turnpike Authority Revenue, Series 2010 A, 7.102%, 01/01/41
|
|
|
800,000
|
|
|
|
1,121,648
|
|
New York City Municipal Finance Authority Revenue, Water and Sewer System General Resolution, Taxable Bond America, Series 2010
GG, 5.724%, 06/15/42
|
|
|
5,000,000
|
|
|
|
6,419,350
|
|
New York City Municipal Finance Authority Revenue, Water and Sewer System Second General Resolution, Taxable Bond America, Series
2011 CC, 5.882%, 06/15/44
|
|
|
1,100,000
|
|
|
|
1,449,217
|
|
New York City Municipal Finance Authority Revenue, Water and Sewer System Second General Resolution, Taxable Bond America, Series
2011 CC, 6.282%, 06/15/42
|
|
|
1,100,000
|
|
|
|
1,316,183
|
|
New York Liberty Development Corp., Liberty Revenue, 4 World Trade Center Project, 5.750%, 11/15/51
|
|
|
1,100,000
|
|
|
|
1,307,559
|
|
New York Metropolitan Transportation Authority Transit Revenue, Series E, 5.000%, 11/15/42
|
|
|
2,700,000
|
|
|
|
3,068,712
|
|
New York State Dormitory Authority, 5.000%, 12/15/30
|
|
|
2,000,000
|
|
|
|
2,407,380
|
|
North Carolina Turnpike Authority State Annual Appropriation Revenue, Triangle Expressway System, Taxable Build America, Series
2009 B, 6.700%, 01/01/39
|
|
|
900,000
|
|
|
|
1,048,761
|
|
Public Power Generation Agency Revenue, Whelan Energy Center Unit 2, Taxable Build America, Series 2009 A, 7.242%,
01/01/41
|
|
|
1,200,000
|
|
|
|
1,416,900
|
|
San Francisco Bay Area Toll Authority Subordinate Toll Bridge Revenue, Series 2010 S-1, 7.043%, 04/01/50
|
|
|
900,000
|
|
|
|
1,279,422
|
|
Texas State Transportation Commission Mobility Fund, Series 2005 A, 4.750%, 04/01/35
|
|
|
700,000
|
|
|
|
745,752
|
|
Truckee Meadows Water Authority Revenue, Series 2005 A, 5.000%, 07/01/36 (NATL-RE)
7
|
|
|
200,000
|
|
|
|
210,926
|
|
University of California General Revenue, Taxable Build America, Series 2009 R, 6.270%, 05/15/31
|
|
|
2,500,000
|
|
|
|
2,896,250
|
|
University of California Medical Center Regents Revenue, Series 2010 H, 6.548%, 05/15/48
|
|
|
300,000
|
|
|
|
387,588
|
|
University of California Medical Center Regents Revenue, Series 2010 H, 6.398%, 05/15/31
|
|
|
200,000
|
|
|
|
247,130
|
|
Total Municipal Bonds
(cost $52,629,304)
|
|
|
|
|
|
|
63,408,104
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Municipal Closed-End Bond Funds - 0.5%
|
|
|
|
|
|
|
|
|
Dreyfus Municipal Income, Inc.
|
|
|
37,500
|
|
|
|
403,875
|
|
DWS Municipal Income Trust
3
|
|
|
55,000
|
|
|
|
830,500
|
|
Invesco Van Kampen Advantage Municipal Income Trust II
|
|
|
61,796
|
|
|
|
841,662
|
|
Invesco Van Kampen Trust for Investment Grade Municipals
|
|
|
55,000
|
|
|
|
869,000
|
|
MFS Municipal Income Trust
|
|
|
53,800
|
|
|
|
421,792
|
|
8
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
Value
|
|
Municipal Closed-End Bond Funds - 0.5%
(continued)
|
|
|
|
|
|
|
|
|
Nuveen Performance Plus Municipal Fund
|
|
|
55,000
|
|
|
$
|
915,750
|
|
Nuveen Premium Income Municipal Fund II
|
|
|
55,000
|
|
|
|
862,400
|
|
Nuveen Premium Income Municipal Fund IV
|
|
|
55,000
|
|
|
|
808,500
|
|
Nuveen Quality Income Municipal Fund
|
|
|
55,000
|
|
|
|
869,000
|
|
Total Municipal Closed-End Bond Funds
(cost $6,147,228)
|
|
|
|
|
|
|
6,822,479
|
|
Preferred Stocks - 0.3%
|
|
|
|
|
|
|
|
|
DG Funding Trust, 0.038% (Financials)
2
(cost $6,037,773)
|
|
|
573
|
|
|
|
4,159,287
|
|
|
|
|
|
|
Principal
|
|
|
|
|
U.S. Government and Agency Obligations - 88.0%
|
|
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corporation - 7.0%
|
|
|
|
|
|
|
|
|
FHLMC,
|
|
|
|
|
|
|
|
|
1.000%, 03/08/17 to 09/29/17
3
|
|
$
|
28,600,000
|
|
|
|
28,795,925
|
|
1.250%, 08/01/19 to 10/02/19
3
|
|
|
4,700,000
|
|
|
|
4,657,787
|
|
1.750%, 05/30/19
3
|
|
|
1,200,000
|
|
|
|
1,230,304
|
|
2.375%, 01/13/22
|
|
|
900,000
|
|
|
|
926,780
|
|
2.533%, 07/01/30 (04/15/13)
1
|
|
|
1,930
|
|
|
|
1,999
|
|
3.035%, 11/01/34 (04/15/13)
1
|
|
|
1,301,467
|
|
|
|
1,393,070
|
|
3.750%, 03/27/19
|
|
|
1,200,000
|
|
|
|
1,374,491
|
|
5.000%, 02/16/17
|
|
|
2,000,000
|
|
|
|
2,340,838
|
|
5.095%, 08/01/35 (04/15/13)
1
|
|
|
80,071
|
|
|
|
86,190
|
|
5.500%, 08/23/17
|
|
|
100,000
|
|
|
|
120,770
|
|
FHLMC Gold Pool,
|
|
|
|
|
|
|
|
|
4.000%, 09/01/40 to 12/01/41
|
|
|
11,142,233
|
|
|
|
11,828,037
|
|
4.000%, TBA
|
|
|
8,000,000
|
|
|
|
8,483,750
|
|
4.500%, 06/01/23 to 07/01/41
|
|
|
5,223,208
|
|
|
|
5,586,940
|
|
5.500%, 11/01/26 to 05/01/40
|
|
|
14,045,107
|
|
|
|
15,210,421
|
|
5.500%, TBA
|
|
|
1,000,000
|
|
|
|
1,080,938
|
|
6.000%, 02/01/16 to 11/01/37
|
|
|
10,716,556
|
|
|
|
11,694,553
|
|
6.500%, 01/01/26
|
|
|
15,369
|
|
|
|
17,780
|
|
FHLMC REMICS,
|
|
|
|
|
|
|
|
|
0.356%, 07/15/19 to 08/15/19 (02/15/13)
1
|
|
|
2,104,864
|
|
|
|
2,105,703
|
|
0.506%, 05/15/36 (02/15/13)
1
|
|
|
893,835
|
|
|
|
895,802
|
|
0.706%, 09/15/30 (02/15/13)
1
|
|
|
29,684
|
|
|
|
29,843
|
|
6.500%, 08/15/31
|
|
|
3,652,775
|
|
|
|
4,145,388
|
|
7.000%, 11/15/20
|
|
|
12,707
|
|
|
|
13,751
|
|
7.500%, 08/15/30
|
|
|
200,046
|
|
|
|
236,546
|
|
FHLMC Structured Pass Through Securities, 1.366%, 02/25/45 (03/25/13)
1
|
|
|
126,412
|
|
|
|
121,238
|
|
Total Federal Home Loan Mortgage Corporation
|
|
|
|
|
|
|
102,378,844
|
|
9
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
Value
|
|
Federal National Mortgage Association - 41.7%
|
|
|
|
|
|
|
|
|
FNMA,
|
|
|
|
|
|
|
|
|
0.875%, 08/28/17 to 02/08/18
|
|
$
|
9,100,000
|
|
|
$
|
9,069,181
|
|
1.250%, 01/30/17
|
|
|
2,400,000
|
|
|
|
2,449,673
|
|
1.366%, 07/01/44 (03/25/13)
1
|
|
|
151,940
|
|
|
|
154,335
|
|
2.310%, 08/01/22
|
|
|
1,800,000
|
|
|
|
1,813,379
|
|
2.500%, 05/01/27 to 10/01/27
|
|
|
3,904,225
|
|
|
|
4,048,194
|
|
2.500%, TBA
|
|
|
7,000,000
|
|
|
|
7,236,250
|
|
2.665%, 09/01/35 (03/25/13)
1
|
|
|
923,212
|
|
|
|
982,877
|
|
2.840%, 06/01/35 (03/25/13)
1
|
|
|
1,974,298
|
|
|
|
2,106,279
|
|
2.870%, 09/01/27
|
|
|
1,100,000
|
|
|
|
1,061,451
|
|
3.000%, TBA
|
|
|
39,000,000
|
|
|
|
40,589,845
|
|
3.330%, 11/01/21
|
|
|
98,080
|
|
|
|
107,106
|
|
3.480%, 05/01/36 (03/25/13)
1
|
|
|
913,293
|
|
|
|
943,799
|
|
3.500%, 10/01/25 to 03/01/41
|
|
|
5,001,694
|
|
|
|
5,302,764
|
|
3.500%, TBA
|
|
|
30,000,000
|
|
|
|
31,620,311
|
|
3.877%, 05/01/36 (03/25/13)
1
|
|
|
455,362
|
|
|
|
482,307
|
|
4.000%, 04/01/20 to 03/01/42
|
|
|
65,491,979
|
|
|
|
69,788,931
|
|
4.000%, TBA
|
|
|
117,000,000
|
|
|
|
124,498,908
|
|
4.500%, 05/01/18 to 05/01/42
|
|
|
60,734,760
|
|
|
|
65,411,832
|
|
4.500%, TBA
|
|
|
81,000,000
|
|
|
|
86,931,719
|
|
5.000%, 02/13/17 to 03/01/35
|
|
|
3,500,172
|
|
|
|
3,931,656
|
|
5.000%, TBA
|
|
|
72,000,000
|
|
|
|
77,737,983
|
|
5.004%, 05/01/35 (03/25/13)
1
|
|
|
119,169
|
|
|
|
127,895
|
|
5.375%, 06/12/17
|
|
|
1,300,000
|
|
|
|
1,552,300
|
|
5.500%, 11/01/17 to 09/01/41
|
|
|
30,581,005
|
|
|
|
33,249,451
|
|
5.500%, TBA
|
|
|
20,000,000
|
|
|
|
21,703,130
|
|
6.000%, 05/01/16 to 01/01/39
|
|
|
9,354,470
|
|
|
|
10,224,170
|
|
6.000%, TBA
|
|
|
5,000,000
|
|
|
|
5,458,595
|
|
6.500%, 11/01/35
|
|
|
159,343
|
|
|
|
187,758
|
|
FNMA REMICS,
|
|
|
|
|
|
|
|
|
0.264%, 12/25/36 (02/25/13)
1
|
|
|
305,718
|
|
|
|
303,113
|
|
0.514%, 04/25/37 (02/25/13)
1
|
|
|
666,710
|
|
|
|
669,593
|
|
0.654%, 09/25/35 (02/25/13)
1
|
|
|
1,343,375
|
|
|
|
1,354,906
|
|
2.711%, 05/25/35 (03/25/13)
1
|
|
|
159,029
|
|
|
|
166,989
|
|
5.000%, 04/25/33
|
|
|
1,196,560
|
|
|
|
1,324,938
|
|
7.200%, 05/25/23
|
|
|
414,139
|
|
|
|
471,598
|
|
FNMA Whole Loan, 6.154%, 12/25/42
4
|
|
|
234,592
|
|
|
|
272,146
|
|
Total Federal National Mortgage Association
|
|
|
|
|
|
|
613,335,362
|
|
10
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
Value
|
|
Government National Mortgage Association - 0.2%
|
|
|
|
|
|
|
|
|
GNMA,
|
|
|
|
|
|
|
|
|
1.625%, 03/20/24 to 11/20/29 (03/20/13)
1
|
|
$
|
267,465
|
|
|
$
|
277,134
|
|
1.750%, 08/20/25 (03/20/13)
1
|
|
|
17,731
|
|
|
|
18,507
|
|
2.000%, 04/20/21 (03/20/13)
1
|
|
|
5,146
|
|
|
|
5,356
|
|
6.500%, 06/20/28
|
|
|
515,035
|
|
|
|
570,271
|
|
6.750%, 10/16/40
4
|
|
|
2,237,864
|
|
|
|
2,586,059
|
|
Total Government National Mortgage Association
|
|
|
|
|
|
|
3,457,327
|
|
U.S. Government Obligations - 39.1%
|
|
|
|
|
|
|
|
|
U.S. Treasury Bonds,
|
|
|
|
|
|
|
|
|
1.625%, 11/15/22
|
|
|
21,800,000
|
|
|
|
21,108,526
|
|
1.750%, 05/15/22
|
|
|
4,300,000
|
|
|
|
4,250,954
|
|
2.750%, 11/15/42
8,9
|
|
|
3,300,000
|
|
|
|
3,034,452
|
|
U.S. Treasury Inflation Indexed Bonds,
|
|
|
|
|
|
|
|
|
0.750%, 02/15/42
|
|
|
5,196,951
|
|
|
|
5,522,166
|
|
2.125%, 02/15/40
8,9
|
|
|
17,577,615
|
|
|
|
25,125,003
|
|
3.625%, 04/15/28
|
|
|
2,277,792
|
|
|
|
3,566,168
|
|
U.S. Treasury Inflation Indexed Notes,
|
|
|
|
|
|
|
|
|
0.125%, 04/15/17 to 07/15/22
|
|
|
6,729,792
|
|
|
|
7,269,573
|
|
0.625%, 07/15/21
|
|
|
6,742,692
|
|
|
|
7,647,163
|
|
1.125%, 01/15/21
|
|
|
11,578,490
|
|
|
|
13,561,306
|
|
U.S. Treasury Inflation Linked Notes, 2.375%, 01/15/25
|
|
|
5,374,776
|
|
|
|
7,190,445
|
|
U.S. Treasury Inflation Protected Securities,
|
|
|
|
|
|
|
|
|
1.750%, 01/15/28
|
|
|
659,454
|
|
|
|
841,422
|
|
2.000%, 01/15/26
|
|
|
8,816,836
|
|
|
|
11,435,022
|
|
2.375%, 01/15/27
|
|
|
13,358,826
|
|
|
|
18,168,003
|
|
2.500%, 01/15/29
|
|
|
3,646,364
|
|
|
|
5,129,410
|
|
3.875%, 04/15/29
|
|
|
1,960,896
|
|
|
|
3,200,090
|
|
U.S. Treasury Notes,
|
|
|
|
|
|
|
|
|
0.250%, 12/15/15
|
|
|
25,200,000
|
|
|
|
25,101,569
|
|
0.375%, 11/15/15 to 01/15/16
|
|
|
243,900,000
|
|
|
|
243,887,472
|
|
0.750%, 10/31/17 to 12/31/17
8,9
|
|
|
94,600,000
|
|
|
|
94,198,021
|
|
0.875%, 01/31/18 to 07/31/19
|
|
|
12,900,000
|
|
|
|
12,764,391
|
|
1.000%, 08/31/19 to 09/30/19
8,9
|
|
|
11,600,000
|
|
|
|
11,390,518
|
|
1.125%, 05/31/19
|
|
|
2,100,000
|
|
|
|
2,089,336
|
|
1.250%, 10/31/19
|
|
|
16,800,000
|
|
|
|
16,733,069
|
|
1.375%, 01/31/20
|
|
|
20,300,000
|
|
|
|
20,290,479
|
|
1.625%, 08/15/22
|
|
|
11,300,000
|
|
|
|
10,995,431
|
|
3.375%, 11/15/19
|
|
|
300,000
|
|
|
|
340,453
|
|
Total U.S. Government Obligations
|
|
|
|
|
|
|
574,840,442
|
|
Total U.S. Government and Agency Obligations
(cost $1,283,342,773)
|
|
|
|
|
|
|
1,294,011,975
|
|
11
Managers PIMCO Bond Fund
Schedule of
Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
Value
|
|
Short-Term Investments - 4.0%
|
|
|
|
|
|
|
|
|
|
|
|
|
Certificates of Deposit - 0.1%
|
|
|
|
|
|
|
|
|
|
|
|
|
Itau Unibanco SA, 1.684%, 10/31/13
|
|
|
|
|
|
$
|
1,100,000
|
|
|
$
|
1,086,318
|
|
Commercial Paper - 0.4%
|
|
|
|
|
|
|
|
|
|
|
|
|
Ford Motor Credit Co. LLC, 0.885%, 03/05/13
|
|
|
|
|
|
|
6,200,000
|
|
|
|
6,195,044
|
|
Japan Treasury Bills - 1.9%
|
|
|
|
|
|
|
|
|
|
|
|
|
Japan Treasury Discount Bills, 0.055%, 02/12/13
6
|
|
|
JPY
|
|
|
|
1,970,000,000
|
|
|
|
21,542,616
|
|
Japan Treasury Discount Bills, 0.093%, 02/25/13
6
|
|
|
JPY
|
|
|
|
560,000,000
|
|
|
|
6,123,508
|
|
Total Japan Treasury Bills
|
|
|
|
|
|
|
|
|
|
|
27,666,124
|
|
Mexico Treasury Bills - 0.2%
|
|
|
|
|
|
|
|
|
|
|
|
|
Mexico Treasury Bills, 4.279%, 02/07/13
6
|
|
|
MXN
|
|
|
|
412,000,000
|
|
|
|
3,237,712
|
|
Repurchase Agreements - 1.4%
10
|
|
|
|
|
|
|
|
|
|
|
|
|
Barclays Capital Inc., dated 01/31/13, due 02/01/13, 0.150%, total to be received $3,500,015 (secured by U.S. Government
Agencies, 3.500% - 4.000%, 05/01/42 -07/01/42, totaling $3,570,000)
|
|
|
|
|
|
|
3,500,000
|
|
|
|
3,500,000
|
|
Citigroup Global Markets, Inc., dated 01/31/13, due 02/01/13, 0.170%, total to be received $4,921,363 (secured by U.S. Government
Agencies, 0.791% - 5.500%, 02/01/19 - 02/01/43, totaling $5,019,767)
|
|
|
|
|
|
|
4,921,340
|
|
|
|
4,921,340
|
|
Deutsche Bank Securities, Inc., dated 01/31/13, due 02/01/13, 0.170%, total to be received $3,500,017 (secured by U.S. Government
Agencies, 2.500% - 7.500%, 05/01/13 - 01/01/43, totaling $3,570,000)
|
|
|
|
|
|
|
3,500,000
|
|
|
|
3,500,000
|
|
Goldman Sachs & Co., Inc., dated 01/31/13, due 02/01/13, 0.160%, total to be received $3,500,016 (secured by U.S.
Government Agencies, 2.226% - 4.500%, 11/01/27 - 01/01/43, totaling $3,570,000)
|
|
|
|
|
|
|
3,500,000
|
|
|
|
3,500,000
|
|
JPMorgan Securities LLC, dated 01/31/13, due 02/01/13, 0.160%, total to be received $3,500,016 (secured by U.S. Government
Agencies, 1.274% - 9.200%, 06/01/13 - 02/01/51, totaling $3,570,004)
|
|
|
|
|
|
|
3,500,000
|
|
|
|
3,500,000
|
|
Merrill Lynch, Pierce, Fenner & Smith, Inc., dated 01/31/13, due 02/01/13, 0.130%, total to be received $1,798,982
(secured by U.S. Government Agencies, 0.000% -3.875%, 08/01/13 - 02/15/42, totaling $1,834,955)
|
|
|
|
|
|
|
1,798,975
|
|
|
|
1,798,975
|
|
Total Repurchase Agreements
|
|
|
|
|
|
|
|
|
|
|
20,720,315
|
|
|
|
|
|
|
|
|
|
|
Shares
|
|
|
|
|
Other Investment Companies - 0.0%
11
|
|
|
|
|
|
|
|
|
|
|
|
|
Dreyfus Cash Management Fund, Institutional Class Shares, 0.050%
|
|
|
|
|
|
|
716,956
|
|
|
|
716,956
|
|
Total Short-Term Investments
(cost $63,363,461)
|
|
|
|
|
|
|
|
|
|
|
59,622,469
|
|
Total Investments - 129.0%
(cost $1,848,266,217)
|
|
|
|
|
|
|
|
|
|
|
1,898,045,211
|
|
Other Assets, less Liabilities - (29.0)%
|
|
|
|
|
|
|
|
|
|
|
(427,182,383
|
)
|
Net Assets - 100.0%
|
|
|
|
|
|
|
|
|
|
$
|
1,470,862,828
|
|
12
Notes to Schedule of Portfolio Investments
(unaudited)
The following footnotes and abbreviations should be read in conjunction with the Schedule of Portfolio Investments previously presented in this report.
Based on the approximate cost of investments of $1,848,449,772 for Federal income tax purposes at January 31, 2013, the aggregate gross unrealized
appreciation and depreciation were $61,259,531 and $11,664,092, respectively, resulting in net unrealized appreciation of investments of $49,595,439.
|
Principal amount stated in U.S. dollars unless otherwise stated.
|
(a)
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. This security may be resold in transactions exempt from registration, normally to
qualified buyers. At January 31, 2013, the value of these securities amounted to $75,807,098, or 5.2% of net assets.
|
1
|
Floating Rate Security: The rate listed is as of January 31, 2013. Date in parentheses represents the securitys next coupon rate reset.
|
2
|
Illiquid Security: A security not readily convertible into cash such as a stock, bond or commodity that is not actively traded and would be difficult to sell in a
timely sale. The Fund may not invest more than 15% of its net assets in illiquid securities. All illiquid securities are valued by an independent pricing agent and are fair valued at Level 2. The market vlaue of illiquid securities at
January 31, 2013, amounted to $27,098,169, or 1.8% of net assets.
|
3
|
Some or all of these securities, amounting to a market value of $20,000,256, or 1.4% of net assets, were out on loan to various brokers.
|
4
|
Variable Rate Security: The rate listed is as of January 31, 2013, and is periodically reset subject to terms and conditions set forth in the debenture.
|
5
|
Perpetuity Bond: The date shown is the final call date.
|
6
|
Represents yield to maturity at January 31, 2013.
|
7
|
Securities in the portfolio backed by insurance of financial institutions and financial guaranty assurance agencies amounted to $4,292,678, or 0.3% of net assets.
|
8
|
Some or all of this security is held with brokers as collateral for futures contracts, amounting to a market value of $869,447, or less than 0.06% of net assets.
|
9
|
Collateral segregated with brokers for swap contracts, amounting to a market value of $4,952,979, or 0.3% of net assets.
|
10
|
Collateral received from brokers for securities lending was invested in this short-term investment.
|
11
|
Yield shown represents the January 31, 2013, seven-day average yield, which refers to the sum of the previous seven days dividends paid, expressed as an
annual percentage.
|
Investments Definitions and Abbreviations:
|
|
|
AGM:
|
|
Assured Guaranty Municipal Corp.
|
EMTN:
|
|
European Medium-Term Note
|
FHLMC:
|
|
Federal Home Loan Mortgage Corp.
|
FNMA:
|
|
Federal National Mortgage Corp.
|
GMTN:
|
|
Global Medium-Term Note
|
GNMA:
|
|
Government National Mortgage Association
|
MTN:
|
|
Medium-Term Note
|
NATL-RE:
|
|
National Public Finance Guarantee Corp.
|
TBA
|
|
To Be Announced
|
Currency Abbreviations have been used throughout the portfolio to indicate amounts shown in currencies other than the
U.S. dollar (USD):
|
|
|
BRL:
|
|
Brazilian Real
|
CAD:
|
|
Canadian Dollar
|
EUR:
|
|
Euro
|
GBP:
|
|
British Pound
|
JPY:
|
|
Japanese Yen
|
MXN:
|
|
Mexican Peso
|
Fair Value Measurements
Generally Accepted Accounting Principles (U.S. GAAP) define fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market
participants at the measurement date. U.S. GAAP also establish a framework for measuring fair value, and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may
be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based
on market data obtained from sources independent of the Fund. Unobservable inputs reflect the Funds own assumptions about the assumptions that market participants would use in pricing the asset or liability developed based on the best
information available in the circumstances. Each investment is assigned a level based upon the observability of the inputs which are significant to the overall valuation.
The three-tier hierarchy of inputs is summarized below:
Level 1 - inputs are quoted prices in
active markets for identical investments (e.g., equity securities, open-end investment companies, futures contracts, options contracts)
13
Notes to Schedule of Portfolio Investments
(continued)
Level 2 - other observable inputs (including, but not limited to: quoted prices for similar assets or
liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield
curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs) (e.g., debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities
utilizing international fair value pricing, broker-quoted securities, fair valued securities with observable inputs)
Level 3 - inputs are
significant unobservable inputs (including the Funds own assumptions used to determine the fair value of investments) (e.g., fair valued securities with unobservable inputs) Changes in inputs or methodologies used for valuing investments may
result in a transfer in or out of levels within the fair value hierarchy. The inputs or methodologies used for valuing investments are not necessarily an indication of the risk associated with investing in those investments. The following tables
summarize the inputs used to value the Funds net assets by the above fair value hierarchy levels as of January 31, 2013:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
Active
Markets for
Identical
Investments
Level 1
|
|
|
Significant
Other
Observable
Inputs
Level
2
|
|
|
Significant
Unobservable
Inputs
Level 3
|
|
|
Total
|
|
Investments in Securities
|
|
|
|
|
|
|
|
|
|
|
|
|
Asset-Backed Securities
|
|
|
|
|
|
$
|
30,055,417
|
|
|
|
|
|
|
$
|
30,055,417
|
|
Bank Loan Obligations
|
|
|
|
|
|
|
1,206,450
|
|
|
|
|
|
|
|
1,206,450
|
|
Corporate Bonds and Notes
|
|
|
|
|
|
|
229,968,482
|
|
|
|
|
|
|
|
229,968,482
|
|
Foreign Government and Agency
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Obligations
|
|
|
|
|
|
|
149,109,743
|
|
|
|
|
|
|
|
149,109,743
|
|
Mortgage-Backed Securities
|
|
|
|
|
|
|
59,680,805
|
|
|
|
|
|
|
|
59,680,805
|
|
Municipal Bonds
|
|
|
|
|
|
|
63,408,104
|
|
|
|
|
|
|
|
63,408,104
|
|
Municipal Closed-End Bond Funds
|
|
$
|
6,822,479
|
|
|
|
|
|
|
|
|
|
|
|
6,822,479
|
|
Preferred Stocks
|
|
|
|
|
|
|
4,159,287
|
|
|
|
|
|
|
|
4,159,287
|
|
U.S. Government and Agency Obligations
|
|
|
|
|
|
|
1,294,011,975
|
|
|
|
|
|
|
|
1,294,011,975
|
|
Short-Term Investments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Certificates of Deposit
|
|
|
|
|
|
|
1,086,318
|
|
|
|
|
|
|
|
1,086,318
|
|
Commercial Paper
|
|
|
|
|
|
|
6,195,044
|
|
|
|
|
|
|
|
6,195,044
|
|
Japan Treasury Bills
|
|
|
|
|
|
|
27,666,124
|
|
|
|
|
|
|
|
27,666,124
|
|
Mexico Treasury Bills
|
|
|
|
|
|
|
3,237,712
|
|
|
|
|
|
|
|
3,237,712
|
|
Repurchase Agreements
|
|
|
|
|
|
|
20,720,315
|
|
|
|
|
|
|
|
20,720,315
|
|
Other Investment Companies
|
|
|
716,956
|
|
|
|
|
|
|
|
|
|
|
|
716,956
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Investments in Securities
|
|
$
|
7,539,435
|
|
|
$
|
1,890,505,776
|
|
|
|
|
|
|
$
|
1,898,045,211
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reverse Repurchase Agreements
|
|
|
|
|
|
$
|
(7,164,000
|
)
|
|
|
|
|
|
$
|
(7,164,000
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quoted Prices in
Active
Markets for
Identical
Investments
Level 1
|
|
|
Significant
Other
Observable
Inputs
Level
2
|
|
|
Significant
Unobservable
Inputs
Level 3
|
|
|
Total
|
|
Financial Derivative Instruments-Assets
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts
|
|
|
|
|
|
$
|
2,614,500
|
|
|
|
|
|
|
$
|
2,614,500
|
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
5,898,068
|
|
|
|
|
|
|
|
5,898,068
|
|
Interest Rate Contracts
|
|
$
|
72,089
|
|
|
|
1,045,716
|
|
|
|
|
|
|
|
1,117,805
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
72,089
|
|
|
|
9,558,284
|
|
|
|
|
|
|
|
9,630,373
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financial Derivative Instruments-Liabilities
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Credit Contracts
|
|
|
|
|
|
|
(1,068,374
|
)
|
|
|
|
|
|
|
(1,068,374
|
)
|
Foreign Exchange Contracts
|
|
|
|
|
|
|
(6,400,803
|
)
|
|
|
|
|
|
|
(6,400,803
|
)
|
Interest Rate Contracts
|
|
|
(517,929
|
)
|
|
|
(805,454
|
)
|
|
|
|
|
|
|
(1,323,383
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(517,929
|
)
|
|
|
(8,274,631
|
)
|
|
|
|
|
|
|
(8,792,560
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total Financial Derivative Instruments
|
|
$
|
(445,840
|
)
|
|
$
|
1,283,653
|
|
|
|
|
|
|
$
|
837,813
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
All corporate bonds and notes and U.S. government and agency obligations held in the Fund are level 2 securities. For a detailed breakout of the corporate bonds and
notes and U.S. government and agency obligations by major industry or agency classification, please refer to the Schedule of Portfolio Investments.
|
|
Derivative instruments, such as futures, options, forwards and swap contracts, are not reflected in the Schedule of Portfolio Investments. Futures, forwards and swap
contracts are valued at the unrealized appreciation/depreciation of the instrument and options are shown at value.
|
As of
January 31, 2013, the Fund had no transfers between levels from the beginning of the reporting period.
Reverse Repurchase
Agreements
The Fund may enter into reverse repurchase agreements. In a reverse repurchase agreement, the Fund sells to a financial
institution a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the
counterparty, which may result in interest income to the Fund. A reverse repurchase agreement involves the risk that the market value of the security sold by the Fund may decline below the repurchase price of the security. The Fund will segregate
assets determined to be liquid by the investment adviser or otherwise cover its obligations under reverse repurchase agreements.
At
January 31, 2013, the Fund had the following reverse repurchase agreements:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty
|
|
Interest
Rate
|
|
|
Trade
Date
|
|
|
Maturity
Date
|
|
|
Net Closing
Amount
|
|
|
Face
Amount
|
|
JPMorgan Securities LLC
|
|
|
0.090
|
%
|
|
|
01/31/13
|
|
|
|
02/08/2013
|
|
|
$
|
7,165,433
|
|
|
$
|
7,164,000
|
|
Futures Contracts
The Fund may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital shares transactions. There are certain risks
associated with futures contracts. Prices may not move as expected or a Fund may not be able to close out the contract when it desires to do so, resulting in losses. Futures are valued at their quoted daily settlement prices. The aggregate principal
amounts of the contracts are not recorded in the financial statements. All futures contracts are exchange traded.
15
Notes to Schedule of Portfolio Investments
(continued)
At January 31, 2013, the Fund had the following futures contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
Type
|
|
Number of Contracts
|
|
Position
|
|
|
Expiration Date
|
|
Unrealized
Gain/(Loss)
|
|
3-Month Euribor
|
|
31
|
|
|
Long
|
|
|
12/15/14 to 09/14/15
|
|
$
|
(30,613
|
)
|
5-Year U.S. Treasury Note
|
|
50
|
|
|
Long
|
|
|
03/28/13
|
|
|
(15,443
|
)
|
90-Day Eurodollar
|
|
1,605
|
|
|
Long
|
|
|
09/16/13 to 09/19/16
|
|
|
(392,779
|
)
|
Euro-Bund 10-Year
|
|
19
|
|
|
Short
|
|
|
03/07/13
|
|
|
72,089
|
|
U.S. Treasury 10-Year Note
|
|
76
|
|
|
Long
|
|
|
03/19/13
|
|
|
(79,094
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
(445,840
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest Rate Caps and Floors, Swap Contracts and Options
The Fund entered into over-the-counter transactions involving interest rate caps and floors, swap contracts, or purchased and written (sold) options to
enter into such contracts, in order to manage its exposure to credit, currency, equity, interest rate and inflation risk.
In interest rate
caps and floor agreements, one party agrees to make payments only when interest rates exceed a specified rate or cap or fall below a specified rate or floor, usually in return for payment of a fee by the other party. Interest
rate caps and floors entitle the purchaser, to the extent that a specified index exceeds or falls below a predetermined interest rate, to receive payments of interest on a notional principal amount from the party selling such interest rate caps or
floors.
Swap contracts represent an agreement between counterparties to exchange cash flows based on the difference between two rates applied
to a notional principal amount for a specified period. The most common type of interest rate swap involves the exchange of fixed-rate cash flows for variable-rate cash flows. Swaps ordinarily do not involve the exchange of principal between the
parties. Purchased options on swap contracts (swaptions) give the holder the right, but not the obligation, to enter into a swap contract with the counterparty which has written the option on a date, at an interest rate, and with a
notional amount as specified in the swaption agreement. If the counterparty to the swap transaction defaults, the Fund will be limited to contractual remedies pursuant to the agreements governing the transaction. There is no assurance that swap or
swaption contract counterparties will be able to meet their obligations under the contracts or that, in the event of default, the Fund will succeed in pursuing contractual remedies. The Fund may thus assume the risk that payments owed to the Fund
under a swap or swaption contract will be delayed, or not received at all. During the term of the swap agreement or swaption, unrealized gains or losses are recorded as a result of marking to market. When the swap agreement or swaption
is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Funds basis in the contract, if any. Accrued interest and interest paid are recognized
as unrealized and realized gain (loss), respectively. In each of the contracts, the Fund pays a premium to the counterparty in return for the swaption. These swaptions may be exercised by entering into a swap contract with the counterparty only on
the date specified in each contract. The Fund also sold credit protection through credit default swaps. Under the terms of the swaps, the seller of the credit protection receives a periodic payment amount (premium) from the buyer that is a fixed
percentage amount applied to a notional principal amount. In return, the seller agrees to pay the buyer the notional amount and take delivery of a debt instrument of the reference issuer of the same notional par amount if the reference entity is
subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap.
A written option
contract is a contract in which the writer of the option grants the buyer of the option the right to purchase from (call option) or sell to (put option) the writer a designated instrument at a specified price within a specified period of time.
Options written (sold) are recorded as liabilities. When an option expires, the premium (original option value) is realized as a gain if the option was written or as a loss if the option was purchased. When the exercise of an option results in a
cash settlement, the difference between the premium and the settlement proceeds is recognized as realized gain or loss. When securities are acquired or delivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the
amount of the premium. When an option is closed, the difference between the premium and the cost to close the position is realized as a gain or loss.
16
Notes to Schedule of Portfolio Investments
(continued)
At January 31, 2013, the Fund had the following swap contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate
|
|
Floating Rate Index
|
|
Fixed Rate
|
|
|
Counterparty
|
|
Maturity
|
|
Currency
|
|
Notional
Amount
|
|
|
Net Premiums
Paid/(Received)
|
|
|
Unrealized
Gain/(Loss)
|
|
|
|
Interest Rate Swaps
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay
|
|
28-Day MXN TIIE
|
|
|
5.50
|
%
|
|
BRC
|
|
09/13/17
|
|
MXN
|
|
$
|
33,000,000
|
|
|
$
|
(19,528
|
)
|
|
$
|
81,385
|
|
Pay
|
|
28-Day MXN TIIE
|
|
|
5.50
|
%
|
|
MS
|
|
09/13/17
|
|
MXN
|
|
|
11,000,000
|
|
|
|
(5,972
|
)
|
|
|
26,590
|
|
Pay
|
|
28-Day MXN TIIE
|
|
|
5.50
|
%
|
|
MS
|
|
09/02/22
|
|
MXN
|
|
|
100,000
|
|
|
|
(147
|
)
|
|
|
91
|
|
Pay
|
|
28-Day MXN TIIE
|
|
|
5.60
|
%
|
|
BRC
|
|
09/06/16
|
|
MXN
|
|
|
61,600,000
|
|
|
|
21,109
|
|
|
|
107,138
|
|
Pay
|
|
28-Day MXN TIIE
|
|
|
6.35
|
%
|
|
MS
|
|
06/02/21
|
|
MXN
|
|
|
4,000,000
|
|
|
|
803
|
|
|
|
18,087
|
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS RATE
|
|
|
1.00
|
%
|
|
GS
|
|
10/15/17
|
|
USD
|
|
|
65,000,000
|
|
|
|
(31,773
|
)
|
|
|
(288,437
|
)
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS RATE
|
|
|
1.00
|
%
|
|
MS
|
|
10/15/17
|
|
USD
|
|
|
31,400,000
|
|
|
|
(36,015
|
)
|
|
|
(118,671
|
)
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS
RATE
|
|
|
1.50
|
%
|
|
BOA
|
|
03/18/16
|
|
USD
|
|
|
24,100,000
|
|
|
|
(729
|
)
|
|
|
140,362
|
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS
RATE
|
|
|
1.50
|
%
|
|
CS
|
|
03/18/16
|
|
USD
|
|
|
9,900,000
|
|
|
|
68,108
|
|
|
|
(10,748
|
)
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS
RATE
|
|
|
1.50
|
%
|
|
GS
|
|
03/18/16
|
|
USD
|
|
|
59,900,000
|
|
|
|
487,357
|
|
|
|
(140,303
|
)
|
Receive
|
|
1-Year-OIS-USD-FEDERAL FUNDS
RATE
|
|
|
1.50
|
%
|
|
MS
|
|
03/18/16
|
|
USD
|
|
|
42,900,000
|
|
|
|
327,618
|
|
|
|
(79,060
|
)
|
Receive
|
|
3 Month USD LIBOR Rate
|
|
|
2.75
|
%
|
|
DUB
|
|
06/19/43
|
|
USD
|
|
|
23,800,000
|
|
|
|
1,420,949
|
|
|
|
81,677
|
|
Receive
|
|
3 Month USD LIBOR Rate
|
|
|
2.75
|
%
|
|
JPM
|
|
06/19/43
|
|
USD
|
|
|
14,400,000
|
|
|
|
991,425
|
|
|
|
(82,272
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
3,223,205
|
|
|
$
|
(264,161
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity
|
|
Fixed Rate
|
|
|
Counterparty
|
|
Maturity
|
|
|
Currency
|
|
|
Notional
Amount
|
|
|
Net Premiums
Paid/(Received)
|
|
|
Unrealized
Gain/(Loss)
|
|
Credit Default Swaps-Buy Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CDX.HY.17 5-Year Index
|
|
|
5.00
|
%
|
|
BNP
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
$
|
1,176,000
|
|
|
$
|
36,858
|
|
|
$
|
(93,916
|
)
|
CDX.HY.17 5-Year Index
|
|
|
5.00
|
%
|
|
CITI
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
1,862,000
|
|
|
|
30,257
|
|
|
|
(120,600
|
)
|
CDX.HY.17 5-Year Index
|
|
|
5.00
|
%
|
|
CS
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
2,434,000
|
|
|
|
65,068
|
|
|
|
(183,164
|
)
|
CDX.HY.18 5-Year Index
|
|
|
5.00
|
%
|
|
BNP
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
3,850,000
|
|
|
|
162,781
|
|
|
|
(313,908
|
)
|
CDX.HY.18 5-Year Index
|
|
|
5.00
|
%
|
|
BOA
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
31,250
|
|
|
|
(70,504
|
)
|
CDX.HY.18 5-Year Index
|
|
|
5.00
|
%
|
|
CS
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
2,600,000
|
|
|
|
93,125
|
|
|
|
(195,185
|
)
|
CDX.HY.18 5-Year Index
|
|
|
5.00
|
%
|
|
DUB
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
14,500
|
|
|
|
366
|
|
|
|
(935
|
)
|
CDX.HY.18 5-Year Index
|
|
|
5.00
|
%
|
|
MS
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
41,750
|
|
|
|
(81,004
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
461,455
|
|
|
$
|
(1,059,216
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity
|
|
Fixed Rate
|
|
|
Counterparty
|
|
Maturity
|
|
|
Currency
|
|
|
Notional
Amount
|
|
|
Net Premiums
Paid/(Received)
|
|
|
Unrealized
Gain/(Loss)
|
|
Credit Default Swaps-Sell Protection
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Arcelormittal
|
|
|
1.00
|
%
|
|
CS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
$
|
500,000
|
|
|
$
|
(16,563
|
)
|
|
$
|
(9,158
|
)
|
Australia Government
|
|
|
1.00
|
%
|
|
MS
|
|
|
09/20/17
|
|
|
|
USD
|
|
|
|
1,600,000
|
|
|
|
18,614
|
|
|
|
25,791
|
|
Berkshire Hathaway Finance
|
|
|
1.00
|
%
|
|
BRC
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
1,200,000
|
|
|
|
(26,934
|
)
|
|
|
30,195
|
|
Berkshire Hathaway Finance
|
|
|
1.00
|
%
|
|
CS
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
900,000
|
|
|
|
(19,482
|
)
|
|
|
21,928
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
CITI
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
7,300,000
|
|
|
|
(14,503
|
)
|
|
|
52,869
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
CS
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
2,200,000
|
|
|
|
(25,971
|
)
|
|
|
43,205
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
DUB
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
1,400,000
|
|
|
|
(3,131
|
)
|
|
|
10,488
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
JPM
|
|
|
09/20/15
|
|
|
|
USD
|
|
|
|
1,400,000
|
|
|
|
(8,194
|
)
|
|
|
18,559
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
JPM
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
500,000
|
|
|
|
(2,153
|
)
|
|
|
4,134
|
|
Brazil Federative Republic Bond
|
|
|
1.00
|
%
|
|
UBS
|
|
|
09/20/15
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
(4,961
|
)
|
|
|
12,365
|
|
Brazil Federative Republic Bond
|
|
|
1.52
|
%
|
|
MS
|
|
|
01/20/17
|
|
|
|
USD
|
|
|
|
3,000,000
|
|
|
|
|
|
|
|
65,325
|
|
Brazil Federative Republic Bond
|
|
|
1.95
|
%
|
|
MS
|
|
|
08/20/16
|
|
|
|
USD
|
|
|
|
3,500,000
|
|
|
|
|
|
|
|
158,885
|
|
CDX.EM.12 Index
|
|
|
5.00
|
%
|
|
DUB
|
|
|
12/20/14
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
37,313
|
|
|
|
17,456
|
|
CDX.EM.13 Index
|
|
|
5.00
|
%
|
|
BRC
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
1,800,000
|
|
|
|
67,632
|
|
|
|
55,587
|
|
CDX.EM.13 Index
|
|
|
5.00
|
%
|
|
CS
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
54,435
|
|
|
|
14,159
|
|
CDX.EM.13 Index
|
|
|
5.00
|
%
|
|
DUB
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
5,600,000
|
|
|
|
328,817
|
|
|
|
55,308
|
|
CDX.EM.13 Index
|
|
|
5.00
|
%
|
|
JPM
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
4,600,000
|
|
|
|
259,438
|
|
|
|
56,094
|
|
CDX.HY.18 10-Year Index
|
|
|
1.00
|
%
|
|
CITI
|
|
|
06/20/22
|
|
|
|
USD
|
|
|
|
1,800,000
|
|
|
|
(130,609
|
)
|
|
|
49,368
|
|
CDX.HY.18 5-Year Index
|
|
|
1.00
|
%
|
|
MS
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
1,800,000
|
|
|
|
(51,809
|
)
|
|
|
36,030
|
|
China Government
|
|
|
1.00
|
%
|
|
CITI
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
1,600,000
|
|
|
|
11,554
|
|
|
|
21,625
|
|
China Government
|
|
|
1.00
|
%
|
|
DUB
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
500,000
|
|
|
|
3,214
|
|
|
|
7,154
|
|
China Government
|
|
|
1.00
|
%
|
|
DUB
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
300,000
|
|
|
|
1,149
|
|
|
|
5,053
|
|
China Government
|
|
|
1.00
|
%
|
|
JPM
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
400,000
|
|
|
|
1,477
|
|
|
|
6,792
|
|
China Government
|
|
|
1.00
|
%
|
|
JRC
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
800,000
|
|
|
|
5,790
|
|
|
|
10,799
|
|
China Government
|
|
|
1.00
|
%
|
|
MS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
10,300,000
|
|
|
|
(226,608
|
)
|
|
|
440,195
|
|
China Government
|
|
|
1.00
|
%
|
|
RBS
|
|
|
06/20/15
|
|
|
|
USD
|
|
|
|
1,900,000
|
|
|
|
14,789
|
|
|
|
19,402
|
|
China Government
|
|
|
1.00
|
%
|
|
RBS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
700,000
|
|
|
|
4,952
|
|
|
|
9,564
|
|
Export-Import Bank of A.S.
|
|
|
1.00
|
%
|
|
DUB
|
|
|
06/20/17
|
|
|
|
USD
|
|
|
|
300,000
|
|
|
|
(11,060
|
)
|
|
|
14,038
|
|
General Electric Capital Corp.
|
|
|
1.00
|
%
|
|
DUB
|
|
|
03/20/16
|
|
|
|
USD
|
|
|
|
300,000
|
|
|
|
(9,646
|
)
|
|
|
13,492
|
|
General Electric Capital Corp.
|
|
|
1.00
|
%
|
|
MS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
700,000
|
|
|
|
(1,759
|
)
|
|
|
9,735
|
|
Japan Government
|
|
|
1.00
|
%
|
|
JPM
|
|
|
03/20/16
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
5,310
|
|
|
|
12,388
|
|
18
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Reference Entity
|
|
Fixed Rate
|
|
|
Counterparty
|
|
Maturity
|
|
|
Currency
|
|
|
Notional
Amount
|
|
|
Net
Premiums
Paid/(Received)
|
|
|
Unrealized
Gain/(Loss)
|
|
Japan Government
|
|
|
1.00
|
%
|
|
MS
|
|
|
03/20/17
|
|
|
|
USD
|
|
|
$
|
2,900,000
|
|
|
$
|
(15,912
|
)
|
|
$
|
65,000
|
|
MetLife, Inc.
|
|
|
1.00
|
%
|
|
JPM
|
|
|
03/20/16
|
|
|
|
USD
|
|
|
|
6,400,000
|
|
|
|
(93,118
|
)
|
|
|
118,085
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
BRC
|
|
|
03/20/15
|
|
|
|
USD
|
|
|
|
700,000
|
|
|
|
(6,544
|
)
|
|
|
15,112
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
CITI
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
9,800,000
|
|
|
|
(1,727
|
)
|
|
|
116,561
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
DUB
|
|
|
03/20/15
|
|
|
|
USD
|
|
|
|
1,100,000
|
|
|
|
(10,494
|
)
|
|
|
23,957
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
DUB
|
|
|
03/20/16
|
|
|
|
USD
|
|
|
|
2,300,000
|
|
|
|
(10,414
|
)
|
|
|
39,174
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
GS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
8,400,000
|
|
|
|
(202,927
|
)
|
|
|
301,356
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
JPM
|
|
|
09/20/17
|
|
|
|
USD
|
|
|
|
4,100,000
|
|
|
|
(50,617
|
)
|
|
|
72,056
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
MS
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
600,000
|
|
|
|
(1,965
|
)
|
|
|
8,526
|
|
Mexico Government
|
|
|
1.00
|
%
|
|
UBS
|
|
|
09/20/15
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
(7,417
|
)
|
|
|
19,805
|
|
NRG Energy
|
|
|
5.00
|
%
|
|
GS
|
|
|
12/20/19
|
|
|
|
USD
|
|
|
|
1,500,000
|
|
|
|
19,467
|
|
|
|
87,546
|
|
Republic of Indonesia
|
|
|
1.00
|
%
|
|
MS
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
2,700,000
|
|
|
|
(150,510
|
)
|
|
|
153,734
|
|
Republic of Indonesia
|
|
|
1.00
|
%
|
|
MS
|
|
|
06/20/21
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
(134,420
|
)
|
|
|
65,785
|
|
Republic of Indonesia
|
|
|
1.00
|
%
|
|
UBS
|
|
|
09/20/16
|
|
|
|
USD
|
|
|
|
300,000
|
|
|
|
(3,349
|
)
|
|
|
3,707
|
|
U.S. Treasury Notes
|
|
|
0.25
|
%
|
|
UBS
|
|
|
09/20/15
|
|
|
|
EUR
|
|
|
|
5,000,000
|
|
|
|
(36,970
|
)
|
|
|
32,130
|
|
United Kingdom Gilt
|
|
|
1.00
|
%
|
|
CITI
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
6,500,000
|
|
|
|
19,170
|
|
|
|
138,369
|
|
United Kingdom Gilt
|
|
|
1.00
|
%
|
|
DUB
|
|
|
03/20/16
|
|
|
|
USD
|
|
|
|
400,000
|
|
|
|
4,723
|
|
|
|
3,983
|
|
United Kingdom Gilt
|
|
|
1.00
|
%
|
|
GS
|
|
|
12/20/16
|
|
|
|
USD
|
|
|
|
1,000,000
|
|
|
|
2,210
|
|
|
|
22,027
|
|
United Kingdom Gilt
|
|
|
1.00
|
%
|
|
MS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
1,800,000
|
|
|
|
20,971
|
|
|
|
19,736
|
|
United Kingdom Gilt
|
|
|
1.00
|
%
|
|
UBS
|
|
|
06/20/16
|
|
|
|
USD
|
|
|
|
900,000
|
|
|
|
10,485
|
|
|
|
9,868
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
(388,257
|
)
|
|
$
|
2,605,342
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
This contract is centrally cleared swap.
|
|
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 (a) pay to the
buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation, or (b) pay a net settlement in the form of cash or securities equal to the notional amount of the swap less the recovery of
the referenced obligation.
|
At January 31, 2013, the Fund had the following written put and call options, swaptions and
inflation floors:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate
|
|
Description
|
|
Counterparty
|
|
Floating Rate Index
|
|
|
Exercise
Rate
|
|
|
Expiration
Date
|
|
|
Notional
Amount
|
|
|
Premium
|
|
|
Unrealized
Gain/(Loss)
|
|
|
|
Interest Rate Swaptions
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Receive
|
|
2-Year Interest Rate Swap (Put)
|
|
DUB
|
|
|
3-Month USD-LIBOR
|
|
|
|
1.20
|
%
|
|
|
07/11/13
|
|
|
$
|
13,400,000
|
|
|
$
|
94,574
|
|
|
$
|
92,510
|
|
Receive
|
|
5-Year Interest Rate Swap (Call)
|
|
GS
|
|
|
3-Month USD-LIBOR
|
|
|
|
0.85
|
%
|
|
|
03/18/13
|
|
|
|
8,300,000
|
|
|
|
5,404
|
|
|
|
2,393
|
|
Receive
|
|
5-Year Interest Rate Swap (Call)
|
|
JPM
|
|
|
3-Month USD-LIBOR
|
|
|
|
0.75
|
%
|
|
|
04/02/13
|
|
|
|
6,800,000
|
|
|
|
2,720
|
|
|
|
2,004
|
|
Receive
|
|
5-Year Interest Rate Swap (Call)
|
|
MS
|
|
|
3-Month USD-LIBOR
|
|
|
|
0.75
|
%
|
|
|
04/02/13
|
|
|
|
7,700,000
|
|
|
|
2,710
|
|
|
|
1,899
|
|
19
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Pay/Receive
Floating Rate
|
|
Description
|
|
Counterparty
|
|
Floating Rate Index
|
|
Exercise
Rate
|
|
|
Expiration
Date
|
|
|
Notional
Amount
|
|
|
Premium
|
|
|
Unrealized
Gain/(Loss)
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
CS
|
|
3-Month USD-LIBOR
|
|
|
1.40
|
%
|
|
|
03/18/13
|
|
|
$
|
800,000
|
|
|
$
|
15,440
|
|
|
$
|
14,885
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
1.05
|
%
|
|
|
03/18/13
|
|
|
|
6,800,000
|
|
|
|
16,898
|
|
|
|
(13,573
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
10,500,000
|
|
|
|
38,588
|
|
|
|
17,538
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
1.30
|
%
|
|
|
04/29/13
|
|
|
|
7,600,000
|
|
|
|
20,350
|
|
|
|
(1,241
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
2.00
|
%
|
|
|
03/18/13
|
|
|
|
6,800,000
|
|
|
|
63,854
|
|
|
|
63,733
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
GS
|
|
3-Month USD-LIBOR
|
|
|
1.25
|
%
|
|
|
03/18/13
|
|
|
|
8,300,000
|
|
|
|
11,844
|
|
|
|
(849
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
JPM
|
|
3-Month USD-LIBOR
|
|
|
1.15
|
%
|
|
|
04/02/13
|
|
|
|
6,800,000
|
|
|
|
12,750
|
|
|
|
(10,782
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
JPM
|
|
3-Month USD-LIBOR
|
|
|
1.30
|
%
|
|
|
04/29/13
|
|
|
|
2,900,000
|
|
|
|
9,715
|
|
|
|
1,476
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
0.85
|
%
|
|
|
03/18/13
|
|
|
|
5,000,000
|
|
|
|
2,250
|
|
|
|
436
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.15
|
%
|
|
|
04/02/13
|
|
|
|
7,700,000
|
|
|
|
12,940
|
|
|
|
(13,707
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
02/19/13
|
|
|
|
9,700,000
|
|
|
|
26,675
|
|
|
|
21,322
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
18,900,000
|
|
|
|
102,841
|
|
|
|
64,952
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.25
|
%
|
|
|
03/18/13
|
|
|
|
5,000,000
|
|
|
|
6,000
|
|
|
|
(1,646
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.40
|
%
|
|
|
03/18/13
|
|
|
|
4,000,000
|
|
|
|
77,600
|
|
|
|
74,825
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
RBS
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
7,100,000
|
|
|
|
36,032
|
|
|
|
21,799
|
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
RBS
|
|
3-Month USD-LIBOR
|
|
|
1.75
|
%
|
|
|
05/30/13
|
|
|
|
18,200,000
|
|
|
|
134,185
|
|
|
|
112,828
|
|
Receive
|
|
7-Year Interest Rate Swap (Call)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
5,000,000
|
|
|
|
7,000
|
|
|
|
6,168
|
|
Receive
|
|
7-Year Interest Rate Swap (Call)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
10,300,000
|
|
|
|
10,820
|
|
|
|
9,106
|
|
Receive
|
|
7-Year Interest Rate Swap (Call)
|
|
RBS
|
|
3-Month USD-LIBOR
|
|
|
1.20
|
%
|
|
|
03/18/13
|
|
|
|
11,600,000
|
|
|
|
10,340
|
|
|
|
8,410
|
|
Receive
|
|
7-Year Interest Rate Swap (Put)
|
|
DUB
|
|
3-Month USD-LIBOR
|
|
|
1.65
|
%
|
|
|
03/18/13
|
|
|
|
5,000,000
|
|
|
|
11,750
|
|
|
|
(9,014
|
)
|
Receive
|
|
7-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.65
|
%
|
|
|
03/18/13
|
|
|
|
10,300,000
|
|
|
|
30,880
|
|
|
|
(11,894
|
)
|
Receive
|
|
7-Year Interest Rate Swap (Put)
|
|
RBS
|
|
3-Month USD-LIBOR
|
|
|
1.65
|
%
|
|
|
03/18/13
|
|
|
|
11,600,000
|
|
|
|
32,680
|
|
|
|
(15,492
|
)
|
Receive
|
|
10-Year Interest Rate Swap (Call)
|
|
BRC
|
|
3-Month USD-LIBOR
|
|
|
1.80
|
%
|
|
|
07/29/13
|
|
|
|
4,800,000
|
|
|
|
22,080
|
|
|
|
529
|
|
Receive
|
|
10-Year Interest Rate Swap (Call)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
1.80
|
%
|
|
|
07/29/13
|
|
|
|
8,500,000
|
|
|
|
42,065
|
|
|
|
3,902
|
|
Receive
|
|
10-Year Interest Rate Swap (Put)
|
|
BRC
|
|
3-Month USD-LIBOR
|
|
|
2.65
|
%
|
|
|
07/29/13
|
|
|
|
4,800,000
|
|
|
|
34,400
|
|
|
|
(2,114
|
)
|
Receive
|
|
10-Year Interest Rate Swap (Put)
|
|
MS
|
|
3-Month USD-LIBOR
|
|
|
2.65
|
%
|
|
|
07/29/13
|
|
|
|
8,500,000
|
|
|
|
60,450
|
|
|
|
(4,209
|
)
|
Receive
|
|
2-Year Interest Rate Swap (Put)
|
|
CS
|
|
Euribor 6 Month
|
|
|
1.15
|
%
|
|
|
07/24/13
|
|
|
|
9,700,000
|
|
|
|
20,086
|
|
|
|
(590
|
)
|
Receive
|
|
2-Year Interest Rate Swap (Put)
|
|
HSBC
|
|
Euribor 6 Month
|
|
|
1.15
|
%
|
|
|
07/24/13
|
|
|
|
1,700,000
|
|
|
|
2,981
|
|
|
|
(642
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
BRC
|
|
Euribor 6 Month
|
|
|
1.70
|
%
|
|
|
07/24/13
|
|
|
|
2,500,000
|
|
|
|
12,669
|
|
|
|
(70
|
)
|
Receive
|
|
5-Year Interest Rate Swap (Put)
|
|
DUB
|
|
Euribor 6 Month
|
|
|
1.70
|
%
|
|
|
07/24/13
|
|
|
|
1,000,000
|
|
|
|
4,956
|
|
|
|
(140
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
|
$
|
996,527
|
|
|
$
|
434,752
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Description
|
|
Counterparty
|
|
Strike Index
|
|
|
Expiration
Date
|
|
|
Notional
Amount
|
|
|
Premium
|
|
|
Unrealized
Gain/(Loss)
|
|
Inflation Floor Options
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Inflation Floor - OTC CPURNSA Index
|
|
DUB
|
|
$
|
216
|
|
|
|
03/10/20
|
|
|
$
|
(11,400,000
|
)
|
|
$
|
85,500
|
|
|
$
|
69,671
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Transactions in written put and call options and swaptions for the fiscal period ended January 31, 2013, were as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Number of
Contracts
|
|
|
Notional
Amount
|
|
|
Amount of
Premiums
|
|
Options and swaptions outstanding at October 31, 2012
|
|
|
|
|
|
$
|
198,100,000
|
|
|
$
|
951,373
|
|
Options and swaptions written
|
|
|
|
|
|
|
168,200,000
|
|
|
|
406,739
|
|
Options and swaptions exercised/expired/closed
|
|
|
|
|
|
|
(97,300,000
|
)
|
|
|
(276,085
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Options and swaptions outstanding at January 31, 2013
|
|
|
|
|
|
$
|
269,000,000
|
|
|
$
|
1,082,027
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Forward Foreign Currency Contracts
A forward currency contract is an obligation to purchase or sell a currency against another currency at a future date and price as agreed upon by the parties. These contracts are traded over-the-counter
and not on organized commodities or securities exchanges.
At January 31, 2013, the Fund had the following forward foreign currency
contracts (in U.S. Dollars):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency
|
|
Position
|
|
Settlement Date
|
|
Counterparty
|
|
Receivable
Amount
|
|
|
Payable
Amount
|
|
|
Unrealized
Gain/(Loss)
|
|
Brazilian Real
|
|
Long
|
|
02/04/13
|
|
BRC
|
|
$
|
103,069
|
|
|
$
|
100,000
|
|
|
$
|
3,069
|
|
Brazilian Real
|
|
Long
|
|
02/04/13
|
|
HSBC
|
|
|
6,044,489
|
|
|
|
5,838,982
|
|
|
|
205,507
|
|
Brazilian Real
|
|
Long
|
|
02/04/13
|
|
MS
|
|
|
206,139
|
|
|
|
200,000
|
|
|
|
6,139
|
|
Brazilian Real
|
|
Long
|
|
02/04/13 to 04/02/13
|
|
UBS
|
|
|
7,956,294
|
|
|
|
7,716,818
|
|
|
|
239,476
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
CITI
|
|
|
2,291,184
|
|
|
|
2,245,743
|
|
|
|
45,441
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
CS
|
|
|
14,259,121
|
|
|
|
14,123,806
|
|
|
|
135,315
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
DUB
|
|
|
7,089,495
|
|
|
|
6,836,135
|
|
|
|
253,360
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
MS
|
|
|
415,591
|
|
|
|
409,164
|
|
|
|
6,427
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
RBS
|
|
|
2,492,188
|
|
|
|
2,420,732
|
|
|
|
71,456
|
|
Euro
|
|
Long
|
|
03/18/13
|
|
UBS
|
|
|
358,549
|
|
|
|
358,410
|
|
|
|
139
|
|
Mexican Peso
|
|
Long
|
|
04/03/13
|
|
DUB
|
|
|
7,121,334
|
|
|
|
6,879,660
|
|
|
|
241,674
|
|
Mexican Peso
|
|
Long
|
|
04/03/13
|
|
HSBC
|
|
|
4,478,059
|
|
|
|
4,426,293
|
|
|
|
51,766
|
|
Mexican Peso
|
|
Long
|
|
04/03/13
|
|
HSBC
|
|
|
20,119
|
|
|
|
20,211
|
|
|
|
(92
|
)
|
Mexican Peso
|
|
Long
|
|
04/03/13
|
|
JPM
|
|
|
446,068
|
|
|
|
441,868
|
|
|
|
4,200
|
|
Mexican Peso
|
|
Long
|
|
04/03/13
|
|
UBS
|
|
|
671,126
|
|
|
|
652,509
|
|
|
|
18,617
|
|
Brazilian Real
|
|
Short
|
|
02/04/13
|
|
UBS
|
|
|
6,968,041
|
|
|
|
7,179,114
|
|
|
|
(211,073
|
)
|
British Pound
|
|
Short
|
|
03/12/13
|
|
JPM
|
|
|
6,808,176
|
|
|
|
6,740,629
|
|
|
|
67,547
|
|
British Pound
|
|
Short
|
|
03/12/13
|
|
JPM
|
|
|
332,833
|
|
|
|
332,988
|
|
|
|
(155
|
)
|
21
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Foreign Currency
|
|
Position
|
|
Settlement Date
|
|
Counterparty
|
|
Receivable
Amount
|
|
|
Payable
Amount
|
|
|
Unrealized
Gain/ (Loss)
|
|
British Pound
|
|
Short
|
|
03/12/13
|
|
UBS
|
|
$
|
126,902
|
|
|
$
|
125,267
|
|
|
$
|
1,635
|
|
Canadian Dollar
|
|
Short
|
|
03/21/13
|
|
BRC
|
|
|
778,143
|
|
|
|
770,206
|
|
|
|
7,937
|
|
Canadian Dollar
|
|
Short
|
|
03/21/13
|
|
CITI
|
|
|
36,098,924
|
|
|
|
35,722,934
|
|
|
|
375,990
|
|
Euro
|
|
Short
|
|
03/18/13
|
|
BRC
|
|
|
3,027,629
|
|
|
|
3,141,380
|
|
|
|
(113,751
|
)
|
Euro
|
|
Short
|
|
03/18/13 to 04/01/14
|
|
CITI
|
|
|
4,841,300
|
|
|
|
5,038,976
|
|
|
|
(197,676
|
)
|
Euro
|
|
Short
|
|
03/18/13 to 06/02/14
|
|
CS
|
|
|
7,628,861
|
|
|
|
7,885,912
|
|
|
|
(257,051
|
)
|
Euro
|
|
Short
|
|
08/01/13
|
|
DUB
|
|
|
19,899,784
|
|
|
|
21,470,707
|
|
|
|
(1,570,923
|
)
|
Euro
|
|
Short
|
|
03/18/13
|
|
HSBC
|
|
|
283,116
|
|
|
|
287,926
|
|
|
|
(4,810
|
)
|
Euro
|
|
Short
|
|
03/18/13
|
|
JPM
|
|
|
63,370
|
|
|
|
65,191
|
|
|
|
(1,821
|
)
|
Euro
|
|
Short
|
|
03/18/13
|
|
MS
|
|
|
159,389
|
|
|
|
164,335
|
|
|
|
(4,946
|
)
|
Euro
|
|
Short
|
|
03/18/13
|
|
RBC
|
|
|
12,188,115
|
|
|
|
12,543,789
|
|
|
|
(355,674
|
)
|
Euro
|
|
Short
|
|
03/18/13
|
|
RBS
|
|
|
44,773,182
|
|
|
|
46,842,278
|
|
|
|
(2,069,096
|
)
|
Euro
|
|
Short
|
|
02/28/13 to 09/20/13
|
|
UBS
|
|
|
39,127,956
|
|
|
|
40,636,521
|
|
|
|
(1,508,565
|
)
|
Japanese Yen
|
|
Short
|
|
04/17/13
|
|
BRC
|
|
|
6,061,784
|
|
|
|
5,903,592
|
|
|
|
158,192
|
|
Japanese Yen
|
|
Short
|
|
02/12/13
|
|
CITI
|
|
|
11,525,977
|
|
|
|
10,061,421
|
|
|
|
1,464,556
|
|
Japanese Yen
|
|
Short
|
|
02/25/13
|
|
JPM
|
|
|
6,996,502
|
|
|
|
6,124,823
|
|
|
|
871,679
|
|
Japanese Yen
|
|
Short
|
|
02/12/13
|
|
UBS
|
|
|
13,151,336
|
|
|
|
11,483,143
|
|
|
|
1,668,193
|
|
Mexican Peso
|
|
Short
|
|
02/07/13
|
|
CS
|
|
|
3,104,586
|
|
|
|
3,197,272
|
|
|
|
(92,686
|
)
|
Mexican Peso
|
|
Short
|
|
04/03/13
|
|
JPM
|
|
|
590,097
|
|
|
|
602,828
|
|
|
|
(12,731
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Total
|
|
$
|
278,488,828
|
|
|
$
|
278,991,563
|
|
|
$
|
(502,735
|
)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Counterparty Abbreviations:
|
|
|
BNP:
|
|
BNP Paribas Bank
|
BOA:
|
|
Bank of America
|
BRC:
|
|
Barclays Bank PLC
|
CITI:
|
|
Citigroup, Inc.
|
CS:
|
|
Credit Suisse
|
DUB:
|
|
Deutsche Bank AG
|
GS:
|
|
Goldman Sachs & Co.
|
HSBC:
|
|
HSBC Bank
|
JPM:
|
|
JPMorgan Chase & Co.
|
JRC:
|
|
Johnson Rice & Co.
|
MS:
|
|
Morgan Stanley
|
RBC:
|
|
Royal Bank of Canada
|
RBS:
|
|
Royal Bank of Scotland Group PLC
|
UBS:
|
|
UBS Warburg LLC
|
|
Currency Abbreviations:
|
|
|
MXN:
|
|
Mexican Peso
|
EUR:
|
|
Euro
|
USD:
|
|
U.S. Dollar
|
|
Investment Abbreviations and Definitions:
|
|
|
CDX.EM:
|
|
Credit Derivatives Index Emerging Markets
|
22
Notes to Schedule of Portfolio Investments
(continued)
|
|
|
CDX.HY:
|
|
Credit Derivatives Index High Yield
|
CPURNSA:
|
|
Consumer Price All Urban Non-Seasonally Adjusted Index
|
LIBOR:
|
|
London Interbank Offered Rate
|
N/A:
|
|
No composite rating is available for this index.
|
OIS:
|
|
Overnight Index Swap
|
OTC:
|
|
Over-the-counter
|
TIIE:
|
|
Interbank Equilibrium Interest rate
|
23
Item 2. Controls and Procedures.
(a)
|
The registrants principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrants
disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act) (17 CFR 270.30a-3 (c))) are effective, as of a date within 90 days of the filing date of the report that
includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of
1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15 (b)).
|
(b)
|
There were no changes in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that
occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
|
Item 3. Exhibits.
Certifications
of principal executive officer and principal financial officer as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached as Exhibit 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.
|
|
|
MANAGERS TRUST I
|
|
|
By:
|
|
/s/ Keitha L. Kinne
|
|
|
Keitha L. Kinne, President
|
|
|
Date:
|
|
March 26, 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/ Keitha L. Kinne
|
|
|
Keitha L. Kinne, President
|
|
|
Date:
|
|
March 26, 2013
|
|
|
By:
|
|
/s/ Donald S. Rumery
|
|
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Donald S. Rumery, Chief Financial Officer
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Date:
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March 26, 2013
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