for the period ended December 31, 2011TD Mutual Funds Annual Financial Report TD High Yield Bond Fund... The Manager is also responsible for the development of internal controls over th
Trang 1for the period ended December 31, 2011
TD Mutual Funds
Annual Financial Report
TD High Yield Bond Fund
Trang 2n Management’s Responsibility for Financial Reporting
The accompanying financial statements have been prepared by TD Asset
Management Inc as Manager of the Fund and approved by its Board
of Directors The Manager is responsible for the integrity, objectivity and
reliability of the data presented This responsibility includes selecting
appropriate accounting principles and making judgments and estimates
consistent with Canadian generally accepted accounting principles The
Manager is also responsible for the development of internal controls over
the financial reporting process, which are designed to provide reasonable
assurance that relevant and reliable financial information is produced,
and the safeguarding of all assets of the Fund.
The Board of Directors of TD Asset Management Inc is responsible for
reviewing and approving the financial statements and overseeing manage
-ment’s performance of its financial reporting responsibilities.
PricewaterhouseCoopers LLP is the external auditor of the Fund The
auditor has audited the financial statements in accordance with Canadian
generally accepted auditing standards to enable it to express its opinion
on the financial statements The auditor’s report is included on the
following page of this Annual Report.
On behalf of TD Asset Management Inc.,
Manager of the Fund
Sandra Cimoroni Francesca Shaw
Director and Officer, Director and
TD Mutual Funds Chief Financial Officer
March 7, 2012 March 7, 2012
Trang 3n Independent Auditor’s Report
We have audited the financial statements of each of the Funds, which
comprise the statement of investment portfolio as at December 31, 2011
and the statements of net assets, investment operations and changes in
net assets as at and for the periods indicated in note 1, and the related
notes and supplementary schedules, which comprise a summary of
significant accounting policies and other explanatory information.
Management’s responsibility for the financial statements
Management is responsible for the preparation and fair presentation of
the financial statements of each of the Funds in accordance with Canadian
generally accepted accounting principles, and for such internal control as
management determines is necessary to enable the preparation of financial
statements that are free from material misstatement, whether due to fraud
or error.
Auditor’s responsibility
Our responsibility is to express an opinion on the financial statements of
each of the Funds based on each of our audits We conducted our audits
in accordance with Canadian generally accepted auditing standards
Those standards require that we comply with ethical requirements and
plan and perform an audit to obtain reasonable assurance about whether
the financial statements are free from material misstatement.
An audit involves performing procedures to obtain audit evidence about
the amounts and disclosures in the financial statements The procedures
selected depend on the auditor’s judgment, including the assessment of
the risks of material misstatement of the financial statements, whether due
to fraud or error In making those risk assessments, the auditor considers internal control relevant to the entity’s preparation and fair presentation
of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity’s internal control An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well
as evaluating the overall presentation of the financial statements.
We believe that the audit evidence we have obtained in each of our audits
is sufficient and appropriate to provide a basis for our audit opinion.
Opinion
In our opinion, the financial statements of each of the Funds present fairly,
in all material respects, the financial position of each of the Funds, the results of each of their investment operations and the changes in each of their net assets as at and for the periods indicated in note 1 in accordance with Canadian generally accepted accounting principles.
Chartered Accountants, Licensed Public Accountants Toronto, Ontario
March 7, 2012
To the Unitholders and Trustee of:
(collectively, the “Funds”)
TD Canadian T-Bill Fund
TD Canadian Money Market Fund
TD Premium Money Market Fund
TD U.S Money Market Fund
TD Ultra Short Term Bond Fund
TD Short Term Bond Fund
TD Mortgage Fund
TD Canadian Bond Fund
TD Income Advantage Portfolio
TD Canadian Core Plus Bond Fund
TD Corporate Bond Capital Yield Fund
TD Real Return Bond Fund
TD Global Bond Fund
TD High Yield Bond Fund
TD Monthly Income Fund
TD U.S Monthly Income Fund
TD Balanced Income Fund
TD Diversified Monthly Income Fund
TD Balanced Growth Fund
TD Dividend Income Fund
TD Dividend Growth Fund
TD Canadian Blue Chip Equity Fund
TD Canadian Equity Fund
TD Canadian Value Fund
TD Canadian Small-Cap Equity Fund
TD North American Dividend Fund
TD U.S Blue Chip Equity Fund
TD U.S Quantitative Equity Fund
TD U.S Large-Cap Value Fund
TD U.S Large-Cap Value Currency Neutral Fund
TD U.S Equity Portfolio
TD U.S Equity Currency Neutral Portfolio
TD U.S Mid-Cap Growth Fund
TD U.S Small-Cap Equity Fund
TD Global Low Volatility Fund
TD Global Dividend Fund
TD Global Value Fund
TD Global Growth Fund
TD Global Equity Portfolio
TD Global Multi-Cap Fund
TD Global Sustainability Fund
TD International Value Fund
TD International Growth Fund
TD European Growth Fund
TD Japanese Growth Fund
TD Asian Growth Fund
TD Pacific Rim Fund
TD Emerging Markets Fund
TD Latin American Growth Fund
TD Resource Fund
TD Energy Fund
TD Precious Metals Fund
TD Entertainment & Communications Fund
TD Science & Technology Fund
TD Health Sciences Fund
TD Canadian Bond Index Fund
TD Balanced Index Fund
TD Canadian Index Fund
TD Dow Jones Industrial AverageSMIndex Fund
TD U.S Index Fund
TD U.S Index Currency Neutral Fund
TD Nasdaq®Index Fund
TD International Index Fund
TD International Index Currency Neutral Fund
TD European Index Fund
TD Japanese Index Fund
TD Advantage Balanced Income Portfolio
TD Advantage Balanced Portfolio
TD Advantage Balanced Growth Portfolio
TD Advantage Growth Portfolio
TD Advantage Aggressive Growth Portfolio
TD Comfort Conservative Income Portfolio
TD Comfort Balanced Income Portfolio
TD Comfort Balanced Portfolio
TD Comfort Balanced Growth Portfolio
TD Comfort Growth Portfolio
TD Comfort Aggressive Growth Portfolio
TD Target Return Conservative Fund
TD Target Return Balanced Fund
Trang 4n TD High Yield Bond Fund
Statements of Net Assets (in 000s except per unit amounts and number of units)
Receivable for Investment Sales 0 3,151
Unrealized Gain on Open Foreign
Exchange Forward Contracts 20,844 25,912
1,488,201 1,337,588
Liabilities
Accrued Liabilities 607 642
Redemptions Payable 712 1,610
Unrealized Loss on Open Foreign
Exchange Forward Contracts 2,411 3,460
3,730 5,712
Net Assets (Note 2) $ 1,484,471 $ 1,331,876
Net Assets Representing Unitholders’ Equity (Note 3)
Statements of Investment Operations (in 000s except per unit amounts)
for the periods ended December 31, 2011 and 2010
2011 2010
Investment Income
Interest $ 101,152 $ 94,558Dividends 120 398Foreign Exchange (10,111) 40,147Securities Lending 1 1Less: Withholding Taxes (199) (36) 90,963 135,068
Expenses (Note 4)
Management Fees 7,147 7,582Administration Fees 525 477Independent Review Committee Fees 5 6Bank Charges and Interest 6 6 7,683 8,071Less: Waived Expenses (9) (9) 7,674 8,062Net Investment Income (Loss) 83,289 127,006Net Realized Gain (Loss) on
Sale of Investments (8,557) (53,248)Net Change in Unrealized Appreciation/
Depreciation of Investments (45,117) 101,651Transaction Costs on Purchases
and Sales of Investments (15) (9)Net Gain (Loss) on Investments (53,689) 48,394
Increase (Decrease) in Net Assets from Investment Operations† $ 29,600 $ 175,400
†Increase (Decrease) in Net Assets from Investment Operations
Investor Series $ 598 $ 11,604Institutional Series $ 1,684 $ 66,711Advisor Series $ 1,494 $ 23,327F-Series $ 806 $ 6,295H-Series $ (18) $ 39S-Series $ (1) $ 248T-Series $ 27 $ 340Q-Series $ 561 $ 4,121O-Series $ 24,449 $ 62,715 $ 29,600 $ 175,400
Increase (Decrease) in Net Assets from Investment Operations – Per Unit (Note 2)
Investor Series $ 0.04 $ 0.76Institutional Series $ 0.15 $ 0.95Advisor Series $ 0.05 $ 0.89F-Series $ 0.12 $ 0.91H-Series $ 0.13 $ 2.09S-Series $ 0.31 $ 2.26T-Series $ 0.13 $ 2.09Q-Series $ 0.35 $ 2.28O-Series $ 0.27 $ 0.80
Trang 5Statements of Changes in Net Assets (in 000s except number of units)
for the periods ended December 31, 2011 and 2010
Investor Series Institutional Series Advisor Series
2011 2010 2011 2010 2011 2010
Net Assets, Beginning of the Period $ 99,343 $ 90,909 $ 90,427 $ 905,359 $ 210,078 $ 171,152 Increase (Decrease) in Net Assets from Investment Operations 598 11,604 1,684 66,711 1,494 23,327 Capital Unit Transactions† Proceeds from Sale of Units 38,469 53,404 55,581 28,090 67,861 90,560 Reinvestments of Distributions 4,745 7,959 836 16,278 8,289 14,272 Early Redemption Fees 1 2 2 6 3 3
Amounts Paid on Redemptions (50,287) (55,967) (31,982) (901,967) (78,956) (71,479) (7,072) 5,398 24,437 (857,593) (2,803) 33,356 Distributions to Unitholders From Net Investment Income (5,109) (8,568) (6,651) (24,050) (10,549) (17,757) From Net Realized Gains on Investments 0 0 0 0 0 0
(5,109) (8,568) (6,651) (24,050) (10,549) (17,757) Increase (Decrease) in Net Assets for the Period (11,583) 8,434 19,470 (814,932) (11,858) 38,926 Net Assets, End of the Period $ 87,760 $ 99,343 $ 109,897 $ 90,427 $ 198,220 $ 210,078 †Capital Unit Transactions Units Outstanding, Beginning of the Period 16,048,577 15,191,043 13,084,315 135,472,462 29,020,306 24,459,686 Units Issued 6,146,863 8,530,900 8,079,309 3,996,889 9,402,916 12,380,691 Units Issued on Reinvestments 770,001 1,279,082 121,445 2,366,472 1,151,158 1,960,925 Units Redeemed (8,136,908) (8,952,448) (4,668,307) (128,751,508) (10,939,792) (9,780,996) Units Outstanding, End of the Period 14,828,533 16,048,577 16,616,762 13,084,315 28,634,588 29,020,306 F-Series H-Series S-Series 2011 2010 2011 2010 2011 2010
Net Assets, Beginning of the Period $ 50,085 $ 45,503 $ 977 $ 90 $ 6 $ 4,654 Increase (Decrease) in Net Assets from Investment Operations 806 6,295 (18) 39 (1) 248
Capital Unit Transactions† Proceeds from Sale of Units 22,029 16,751 1,419 1,040 473 265
Reinvestments of Distributions 2,063 2,803 88 42 11 5
Early Redemption Fees 1 1 0 0 0 0
Amounts Paid on Redemptions (17,355) (16,466) (1,031) (174) (54) (5,090) 6,738 3,089 476 908 430 (4,820) Distributions to Unitholders From Net Investment Income (3,283) (4,802) (76) (52) (12) (59)
From Net Realized Gains on Investments 0 0 0 0 0 0
From Return of Capital 0 0 (46) (8) (8) (17)
(3,283) (4,802) (122) (60) (20) (76)
Increase (Decrease) in Net Assets for the Period 4,261 4,582 336 887 409 (4,648) Net Assets, End of the Period $ 54,346 $ 50,085 $ 1,313 $ 977 $ 415 $ 6
†Capital Unit Transactions Units Outstanding, Beginning of the Period 7,352,307 6,910,478 58,513 5,480 359 284,422 Units Issued 3,241,032 2,428,405 84,331 60,583 29,336 15,786 Units Issued on Reinvestments 305,130 409,336 5,339 2,470 705 304
Units Redeemed (2,557,087) (2,395,912) (63,416) (10,020) (3,475) (300,153) Units Outstanding, End of the Period 8,341,382 7,352,307 84,767 58,513 26,925 359
Trang 6Statements of Changes in Net Assets (in 000s except number of units)
for the periods ended December 31, 2011 and 2010
T-Series Q-Series
2011 2010 2011 2010
Net Assets, Beginning of the Period $ 7,366 $ 717 $ 38,686 $ 24,553
Increase (Decrease) in Net Assets
from Investment Operations 27 340 561 4,121
Capital Unit Transactions†
Proceeds from Sale of Units 3,419 7,467 42,600 22,384
Reinvestments of Distributions 143 120 0 0
Early Redemption Fees 0 0 0 0
Amounts Paid on Redemptions (1,581) (784) (14,394) (8,283)
1,981 6,803 28,206 14,101
Distributions to Unitholders
From Net Investment Income (420) (412) (3,302) (3,494)
From Net Realized Gains on Investments 0 0 0 0
From Return of Capital (258) (82) (1,711) (595)
(678) (494) (5,013) (4,089)
Increase (Decrease) in Net Assets
for the Period 1,330 6,649 23,754 14,133
Net Assets, End of the Period $ 8,696 $ 7,366 $ 62,440 $ 38,686
†Capital Unit Transactions
Units Outstanding, Beginning of the Period 441,319 43,686 2,357,859 1,520,918
Net Assets, Beginning of the Period $ 834,908 $ 0 $ 1,331,876 $ 1,242,937
Increase (Decrease) in Net Assets
from Investment Operations 24,449 62,715 29,600 175,400
Capital Unit Transactions†
Proceeds from Sale of Units 183,002 985,023 414,853 1,204,984
Reinvestments of Distributions 61,542 73,204 77,717 114,683
Early Redemption Fees 12 10 19 22
Amounts Paid on Redemptions (80,986) (212,840) (276,626) (1,273,050)
163,570 845,397 215,963 46,639
Distributions to Unitholders
From Net Investment Income (61,543) (73,204) (90,945) (132,398)
From Net Realized Gains on Investments 0 0 0 0
From Return of Capital 0 0 (2,023) (702)
(61,543) (73,204) (92,968) (133,100)
Increase (Decrease) in Net Assets
for the Period 126,476 834,908 152,595 88,939
Net Assets, End of the Period $ 961,384 $ 834,908 $ 1,484,471 $ 1,331,876
†Capital Unit Transactions
Units Outstanding, Beginning of the Period 84,226,905 0
Units Issued 19,035,484 97,791,573
Units Issued on Reinvestments 6,255,811 7,325,678
Units Redeemed (8,144,012) (20,890,346)
Units Outstanding, End of the Period 101,374,188 84,226,905
Trang 7370,039 Postmedia Network Canada Corp.,
Class “NC” Variable Voting Shares 2,172,641 2,638,378
522,794 Cooper-Standard Holdings Inc 19,157,618 17,700,138
105,326 Cooper-Standard Holdings Inc.,
Warrants 27/11/2017 1,728,372 1,567,432
74,914 Lazy Days’ R.V Center Inc 12,172,867 630,845
262,313 Movie Gallery Inc 11,840,394 668
11,300,000 Movie Gallery Inc., Escrow Shares 0 0
94,071 Muzak Holdings LLC, Units 3,348,437 903,279
48,247,688 20,802,362
FINANCIALS – 0.0%
132 Leucadia National Corporation 3,645 3,054
PREFERRED – 0.5%
41,666 Cooper-Standard Holdings Inc., Pref 6,554,869 6,166,714
5,285 Dayton Superior Corporation,
Class “A” Pref 2,451,568 679,119
900 Lazy Days’ R.V Center Inc., Pref 917,073 870,604
9,923,510 7,716,437
INDEX EQUIVALENTS – 0.8%
132,900 iShares iBoxx $ High Yield
Corporate Bond Fund 12,150,138 12,098,093
Total U.S Equities 88,091,266 43,083,036
8,000,000 8.875% due September 22, 2017 8,000,000 5,200,000 Baytex Energy Corp (USD)
1,000,000 Callable 6.75% due February 17, 2021 995,800 1,023,341 Black Press Group Ltd
2,000,000 10.00% due February 04, 2014 2,000,000 2,000,000 Bombardier Inc
5,500,000 Callable 7.35% due December 22, 2026 4,986,816 5,525,208 Bombardier Inc (EUR)
2,000,000 6.125% due May 15, 2021 2,796,057 2,485,052 Bombardier Inc (USD)
6,683,000 7.50% due March 15, 2018 6,915,515 7,281,312 Bowater Incorporated
10,500,000 Callable 10.85% due November 30, 2014 0 0 Cara Operations Ltd
6,340,000 9.125% due December 01, 2015 6,401,875 6,329,433 Cascades Inc
14,000,000 7.75% due December 15, 2016 14,107,077 13,976,667 Catalyst Paper Corporation (USD)
15,800,000 Callable 7.375% due March 01, 2014 12,557,405 764,197 5,000,000 11.00% due December 15, 2016 4,153,348 2,698,363 CHC Helicopter SA (USD)
13,185,000 9.25% due October 15, 2020 13,283,884 12,083,064 Corus Entertainment Inc
70,000 7.25% due February 10, 2017 73,850 73,267 Data & Audio-Visual Enterprises Wireless Inc
3,000,000 Callable 9.50% due April 29, 2018 3,000,000 2,705,625 Domtar Corporation (USD)
13,000,000 5.375% due December 01, 2013 12,526,852 13,369,623 Fairfax Financial Holdings Limited
7,000,000 6.40% due May 25, 2021 6,971,440 7,082,545 Fairfax Financial Holdings Limited (USD)
3,000,000 7.375% due April 15, 2018 3,318,997 3,284,162 Ford Credit Canada Limited
10,000,000 4.20% due November 14, 2013 9,994,900 10,005,275 13,200,000 4.875% due March 17, 2014 13,228,507 13,300,324 14,000,000 Callable 7.50% due August 18, 2015 14,846,500 14,975,625 Harvest Operations Corp (USD)
3,160,000 6.875% due October 01, 2017 3,201,795 3,330,288 Iron Mountain Nova Scotia Funding Company
11,000,000 Callable 7.50% due March 15, 2017 10,587,500 11,221,860 Kruger Products L.P
2,150,000 8.00% due August 09, 2018 2,150,000 2,096,250 Masonite International Inc (USD)
6,100,000 Callable 8.25% due April 15, 2021 5,860,808 6,087,099 MPL 2 Acquisition Canco Inc (USD)
2,212,000 Callable 9.875% due August 15, 2018 2,087,585 1,970,823 Newalta Corporation
4,000,000 7.625% due November 23, 2017 4,132,500 4,093,333 1,000,000 7.75% due November 14, 2019 1,000,000 1,021,250 NOVA Chemicals Corporation (USD)
32,500,000 Callable 6.50% due January 15, 2012 29,454,851 33,134,491 2,100,000 8.375% due November 01, 2016 2,260,820 2,330,774
$ $ $
Par Value Description Cost Fair Value
Statement of Investment Portfolio as at December 31, 2011
No of Shares
or Units Description Cost Fair Value
Trang 8Precision Drilling Corporation
2,500,000 Callable 6.50% due March 15, 2019 2,536,250 2,529,167
Russel Metals Inc (USD)
5,838,000 Callable 6.375% due March 01, 2014 6,097,127 5,944,544
Sherritt International Corporation
1,900,000 Callable 7.75% due October 15, 2015 1,831,625 1,969,667
11,250,000 Callable 8.00% due November 15, 2018 11,250,000 11,418,750
Teck Resources Limited (USD)
186,000 9.75% due May 15, 2014 230,561 222,569
Tembec Industries Inc (USD)
6,000,000 Callable 11.25% due December 15, 2018 5,997,433 6,292,785
Trident Exploration Corp
10,000,000 Callable 8.25% due April 13, 2018 9,998,750 9,150,000
Trinidad Drilling Ltd (USD)
1,000,000 Callable 7.875% due January 15, 2019 1,017,996 1,048,798
Videotron Ltee
4,000,000 6.875% due July 15, 2021 4,000,000 4,010,000
West Fraser Timber Co., Ltd (USD)
7,500,000 Callable 5.20% due October 15, 2014 6,218,325 7,646,421
Xplornet Communications Inc
6,117,699 13.00% due May 15, 2017 6,117,699 6,117,699
Total Canadian Bonds 260,290,448 249,439,651
Global Bonds – 71.2%
AUSTRALIA – 1.5%
FMG Resources (August 2006) Pty Ltd (USD)
15,550,000 Callable 7.00% due November 01, 2012 15,626,061 15,992,125
4,400,000 Callable 6.375% due February 01, 2016 4,243,263 4,345,891
2,400,000 Callable 6.875% due February 01, 2018 2,420,778 2,339,939
Seagate Technology HDD Holdings (USD)
27,052,000 Callable 6.80% due October 01, 2016 24,208,552 29,473,898
UPCB Finance II Limited (EUR)
2,000,000 Callable 6.375% due July 01, 2020 2,676,198 2,458,615
Votorantim Overseas III (USD)
5,500,000 7.875% due January 23, 2014 6,976,077 6,160,413
43,366,405 48,220,504
FRANCE – 0.1%
Crown European Holdings SA (EUR)
1,000,000 Callable 7.125% due August 15, 2018 1,365,852 1,334,618
Smurfit Kappa Funding PLC (USD)
11,834,000 Callable 7.75% due April 01, 2015 10,942,404 12,049,971
JAPAN – 0.4%
eAccess Ltd (EUR) 1,000,000 8.375% due April 01, 2018 1,390,345 1,141,075 eAccess Ltd (USD)
5,000,000 Callable 8.25% due April 01, 2018 4,909,317 4,836,688 6,299,662 5,977,763
12,500,000 Callable 8.875% due April 24, 2013 13,280,353 13,196,775 16,313,503 15,923,139
625,000 6.00% due November 15, 2021 635,375 660,271 1,274,556 1,284,839
NEW ZEALAND – 0.1%
Reynolds Group Holdings Limited (USD) 400,000 Callable 6.875% due February 15, 2021 397,300 405,264 500,000 Callable 8.25% due February 15, 2021 496,625 450,576 893,925 855,840
SOUTH KOREA – 0.2%
MagnaChip Semiconductor SA/MagnaChip
Semiconductor Finance Company, Conv (USD) 3,500,000 Callable 10.50% due April 15, 2018 3,683,197 3,706,430
12,300,000 8.125% due December 15, 2013 12,676,315 12,994,143 7,525,000 Callable 7.75% due August 01, 2020 7,529,784 7,873,045
AK Steel Holding Corporation (USD) 3,750,000 Callable 7.625% due May 15, 2020 3,662,068 3,589,331 Aleris International Inc (USD)
4,000,000 Callable 7.625% due February 15, 2018 3,804,378 3,971,175 Algoma Acquisition Corp (USD)
7,535,000 Callable 9.875% due June 15, 2015 7,025,804 6,598,362
Trang 9Ally Financial Inc (USD)
AMC Entertainment Inc (USD)
2,000,000 Callable 8.75% due June 01, 2019 2,101,659 2,107,778
1,000,000 9.75% due December 01, 2020 1,003,900 967,338
American Greetings Corporation (USD)
1,500,000 Callable 7.375% due December 01, 2021 1,534,500 1,546,467
Appleton Papers Inc (USD)
12,300,000 Callable 9.75% due June 15, 2014 14,371,370 10,708,426
1,500,000 10.50% due June 15, 2015 1,544,223 1,506,374
Apria Healthcare Group Inc (USD)
5,000,000 Callable 11.25% due November 01, 2014 5,549,088 5,256,716
ArvinMeritor Inc (USD)
5,788,000 Callable
8.125% due September 15, 2015 4,173,383 5,274,800
Ashtead Capital Inc (USD)
1,000,000 Callable 9.00% due August 15, 2016 609,964 1,061,526
Baker & Taylor Inc (USD)
6,000,000 Callable 11.50% due July 01, 2013 6,798,970 4,765,410
Belden Inc (USD)
3,500,000 9.25% due June 15, 2019 3,892,581 3,804,437
Boise Cascade LLC (USD)
4,560,000 Callable 7.125% due October 15, 2014 4,492,003 4,614,200
The Bon-Ton Stores Inc (USD)
20,750,000 Callable 10.25% due March 15, 2014 17,160,116 13,548,771
Broder Bros., Co (USD)
5,659,296 12.00% due October 15, 2013 13,356,411 5,647,327
Brookstone Inc (USD)
10,000,000 13.00% due October 15, 2014 10,216,000 8,133,272
Calpine Corporation (USD)
11,500,000 Callable 7.25% due October 15, 2017 11,680,734 12,295,369
Cenveo Corporation (USD)
5,505,000 Callable 7.875% due December 01, 2013 6,060,720 4,400,291
2,000,000 8.875% due February 01, 2018 2,123,552 1,776,846
3,000,000 Callable 8.875% due February 01, 2018 2,731,422 2,665,269
Chiron Merger Sub Inc (USD)
2,000,000 Callable 10.5% due November 01, 2018 1,973,387 1,995,770
Chrysler Group LLC/CG Co-Issuer Inc (USD)
13,650,000 8.00% due June 15, 2019 12,852,588 12,717,688
Cincinnati Bell Inc (USD)
4,000,000 Callable 7.00% due February 15, 2015 3,939,972 4,088,274
10,000,000 Callable 8.25% due October 15, 2017 9,852,655 10,233,413
7,000,000 8.375% due October 15, 2020 7,128,800 7,109,931
$ $
Par Value Description Cost Fair Value
CIT Group Inc (USD) 1,000,000 7.00% due May 01, 2015 957,099 1,020,287 12,000,000 Callable 7.00% due May 04, 2015 12,083,024 12,234,274 2,900,000 7.00% due May 01, 2016 2,914,295 2,952,925 7,900,000 Callable 7.00% due May 02, 2016 7,773,166 8,034,120 1,650,000 Callable 7.00% due May 02, 2017 1,602,440 1,678,012 CityCenter Holdings LLC/
CityCenter Finance Corp (USD) 2,000,000 Callable 7.625% due January 15, 2016 1,978,500 2,087,413 Commercial Barge Line Company (USD)
645,000 12.50% due July 15, 2017 679,022 707,671 Constellation Brands Inc (USD)
9,084,000 8.375% due December 15, 2014 9,889,514 10,382,881 3,940,000 Callable 7.25% due September 01, 2016 4,318,255 4,408,081 Crown Americas LLC/
Crown Americas Capital Corp III (USD) 250,000 Callable 6.25% due February 01, 2021 248,213 266,018 Dana Holding Corporation (USD)
9,700,000 Callable 6.50% due February 15, 2019 9,448,107 9,975,795 DirectBuy Holdings Inc (USD)
8,000,000 Callable 12.00% due February 01, 2017 7,724,692 1,955,040 Dole Food Company Inc (USD)
2,794,000 Callable 8.00% due October 01, 2016 2,909,556 2,965,903 EarthLink Inc (USD)
5,500,000 Callable 8.875% due May 15, 2019 5,151,150 5,152,345 Easton-Bell Sports Inc (USD)
1,000,000 9.75% due December 01, 2012 1,105,363 1,109,893 EchoStar DBS Corporation (USD)
5,000,000 7.00% due October 01, 2013 5,249,995 5,434,909 28,660,000 Callable 6.625% due October 01, 2014 29,771,347 31,152,901 1,000,000 7.125% due February 01, 2016 1,071,425 1,097,164 Exide Technologies (USD)
3,000,000 Callable 8.625% due February 01, 2018 3,109,043 2,352,158 Ford Motor Credit Company LLC (USD)
15,000,000 8.00% due June 01, 2014 15,874,219 16,624,866 800,000 3.875% due January 15, 2015 815,694 811,553 Gannett Co Inc (USD)
6,500,000 8.75% due November 15, 2014 6,993,534 7,090,202 4,000,000 6.375% due September 01, 2015 4,027,100 4,134,095 2,500,000 10.00% due April 01, 2016 2,842,950 2,838,372 1,600,000 9.375% due November 15, 2017 1,784,869 1,767,682 850,000 Callable
7.125% due September 01, 2018 809,258 852,530 General Cable Corporation (USD)
17,140,000 Callable 7.125% due April 01, 2017 15,148,817 17,409,173 Goodman Networks Inc (USD)
2,000,000 Callable 12.125% due July 01, 2018 1,926,347 1,944,858 The Goodyear Tire & Rubber Company (USD)
2,275,000 10.50% due May 15, 2016 2,566,858 2,553,962 11,800,000 8.25% due August 15, 2020 12,276,686 13,096,732 Great Lakes Dredge & Dock Corporation (USD)
500,000 Callable 7.375% due February 01, 2019 498,825 504,034 Harland Clarke Holdings Corp (USD)
3,900,000 Callable 9.50% due May 15, 2015 3,959,199 2,898,958 HCA Inc (USD)
5,900,000 Callable 8.50% due April 15, 2019 6,508,423 6,578,404 1,250,000 Callable 7.875% due February 15, 2020 1,267,306 1,374,638 The Hertz Corporation (EUR)
4,000,000 Callable 7.875% due January 01, 2014 4,764,976 5,287,344
$ $
Par Value Description Cost Fair Value
Trang 10The Hertz Corporation (USD)
1,628,000 Callable 8.875% due January 01, 2014 1,535,718 1,666,000
Hertz Holdings Netherlands BV (EUR)
2,000,000 Callable 8.50% due July 31, 2015 2,552,404 2,716,373
Host Hotels & Resorts, L.P (USD)
600,000 Callable 6.375% due March 15, 2015 673,347 621,642
Houghton Mifflin Harcourt Publishing Company (USD)
3,000,000 Callable 10.50% due June 01, 2019 2,938,115 1,863,398
Icon Health & Fitness (USD)
1,700,000 Callable 8.25% due March 15, 2018 1,626,899 1,995,006
Jarden Corporation (USD)
7,650,000 Callable 7.50% due May 01, 2017 7,048,674 8,256,989
Lamar Media Corp (USD)
1,500,000 Callable 6.625% due August 15, 2015 1,362,199 1,556,650
Levi Strauss & Co (USD)
7,000,000 Callable 8.875% due April 01, 2016 6,926,828 7,412,860
13,200,000 7.625% due May 15, 2020 13,029,332 13,726,519
Limited Brands Inc (USD)
2,000,000 Callable 6.625% due April 01, 2021 2,024,564 2,158,690
Lyondell Chemical Company (USD)
336,000 Callable 8.00% due November 01, 2017 378,333 373,779
The Manitowoc Company Inc (USD)
18,000,000 Callable 7.125% due November 01, 2013 16,246,099 18,374,321
3,000,000 8.50% due November 01, 2020 2,988,784 3,218,943
Media General Inc (USD)
8,000,000 Callable 11.75% due February 15, 2017 8,265,013 7,779,430
MEMC Electronic Materials Inc (USD)
4,955,000 Callable 7.75% due April 01, 2019 4,621,964 3,645,322
MetroPCS Wireless Inc (USD)
9,000,000 7.875% due September 01, 2018 9,340,398 9,290,258
12,483,000 6.625% due November 15, 2020 12,149,529 11,852,835
MGM Resorts International (USD)
500,000 Callable 11.125% due May 15, 2013 551,925 580,403
3,000,000 10.375% due May 15, 2014 3,334,183 3,490,052
Navistar International Corporation (USD)
500,000 Callable 8.25% due November 01, 2021 537,686 541,582
Neenah Foundry Company (USD)
980,000 15.00% due July 29, 2015 949,254 987,906
$ $
Par Value Description Cost Fair Value
The New York Times Company (USD) 2,070,000 Callable 5.00% due March 15, 2015 1,597,849 2,086,700 Nextel Communications Inc (USD)
4,950,000 Callable 6.875% due October 31, 2013 4,908,154 5,015,136 3,650,000 7.375% due August 01, 2015 3,480,418 3,400,700 NRG Energy Inc (USD)
17,500,000 Callable 7.625% due January 15, 2018 17,496,396 17,819,375 13,700,000 7.625% due May 15, 2019 13,172,228 13,671,025 Pilgrim’s Pride Corporation (USD)
7,500,000 7.875% due December 15, 2018 7,389,570 7,178,663 Pregis Corporation (USD)
5,000,000 Callable 12.375% due October 15, 2013 5,807,231 4,862,144 Quiksilver Inc (USD)
15,000,000 Callable 6.875% due April 15, 2015 12,984,117 14,185,495 Qwest Communications International Inc (USD)
10,800,000 Callable 7.50% due February 15, 2014 11,229,691 11,038,559 R.R Donnelley & Sons Company (USD)
11,450,000 Callable 8.60% due August 15, 2016 11,487,806 11,673,536 3,550,000 Callable 6.125% due January 15, 2017 3,130,220 3,361,752 3,170,000 7.25% due May 15, 2018 3,083,301 3,131,017 2,250,000 Callable 11.25% due February 01, 2019 2,646,746 2,497,258 1,200,000 7.625% due June 15, 2020 1,088,505 1,142,477 RailAmerica Inc (USD)
1,600,000 9.25% due July 01, 2017 1,739,122 1,779,901 RathGibson Inc (USD)
8,771,740 Callable 11.25% due February 15, 2014 10,076,321 893 Reichhold Industries Inc (USD)
4,500,000 Callable 9.00% due August 15, 2014 5,015,783 2,428,526 Reliance Intermediate Holdings LP (USD)
2,000,000 Callable 9.50% due December 15, 2019 2,063,297 2,158,690 Reynolds Group Issuer Inc (USD)
2,775,000 7.125% due April 15, 2019 2,680,070 2,875,093 750,000 9.00% due April 15, 2019 758,100 725,503 RSC Equipment Rental Inc (USD)
3,244,000 Callable 9.50% due December 01, 2014 2,839,449 3,394,041 Sears Holdings Corporation (USD)
27,800,000 Callable 6.625% due October 15, 2018 26,131,718 21,513,586 Solo Cup Company (USD)
100,000 Callable 10.50% due November 01, 2013 112,842 103,352 7,695,000 Callable 8.50% due February 15, 2014 7,807,027 7,208,599 Spirit Aerosystems Inc (USD)
750,000 7.50% due October 01, 2017 798,888 828,601 Sprint Nextel Corporation (USD)
13,305,000 Callable 6.00% due December 01, 2016 11,594,162 11,244,687 12,600,000 Callable 8.375% due August 15, 2017 12,199,624 11,498,843 3,250,000 9.00% due November 15, 2018 3,329,455 3,475,605 2,000,000 11.50% due November 15, 2021 1,985,553 1,958,441 Steel Dynamics Inc (USD)
6,400,000 7.375% due November 01, 2012 6,455,128 6,785,618 1,553,000 6.75% due April 01, 2015 1,581,137 1,616,922 1,400,000 Callable 7.75% due April 15, 2016 1,447,035 1,486,136 1,000,000 7.625% due March 15, 2020 1,066,237 1,074,254 SunGard Data Systems Inc (USD)
1,500,000 7.375% due November 15, 2018 1,411,139 1,563,650 Swift Services Holdings Inc (USD)
4,000,000 Callable 10.00% due November 15, 2018 4,016,200 4,286,833 Terex Corporation (USD)
5,000,000 Callable 10.875% due June 01, 2016 5,329,541 5,625,831 10,000,000 Callable 8.00% due November 15, 2017 9,859,069 9,978,850
$ $
Par Value Description Cost Fair Value
Trang 11Ticketmaster Entertainment Inc (USD)
10,735,000 Callable 10.75% due July 28, 2016 10,165,889 11,641,423
Tomkins LLC/Tomkins Inc (USD)
7,349,000 Callable 9.00% due October 01, 2018 7,852,329 8,296,908
Tower Automotive Holdings USA LLC/
TA Holdings Finance Inc (USD)
6,874,000 Callable
10.625% due September 01, 2017 7,324,498 7,034,448
TRW Automotive Inc (EUR)
2,000,000 6.375% due March 15, 2014 2,709,623 2,696,546
TRW Automotive Inc (USD)
1,600,000 Callable 7.00% due March 15, 2014 1,505,067 1,739,171
Tube City IMS Corporation (USD)
4,400,000 Callable 9.75% due February 01, 2015 4,386,634 4,525,103
United States Steel Corporation (USD)
3,750,000 Callable 5.65% due June 01, 2013 3,390,500 3,909,125
11,750,000 Callable 6.05% due June 01, 2017 10,912,807 11,426,038
11,550,000 Callable 7.00% due February 01, 2018 11,491,206 11,643,180
1,000,000 7.375% due April 01, 2020 1,005,078 992,794
Valassis Communications Inc (USD)
6,100,000 Callable 6.625% due February 01, 2021 5,849,496 5,776,532
Valeant Pharmaceuticals International (USD)
6,900,000 Callable 6.50% due July 15, 2016 6,726,856 7,017,143
1,500,000 Callable 6.75% due August 15, 2021 1,486,500 1,473,917
250,000 Callable 7.25% due July 15, 2022 238,493 246,926
Vertis Inc (USD)
3,563,505 Callable 13.50% due April 01, 2014 1,735,992 108,856
VICORP Restaurants Inc (USD)
4,500,000 Callable 10.50% due April 15, 2011 5,604,996 458
Visteon Corporation (USD)
8,000,000 Callable 6.75% due April 15, 2019 7,485,135 8,125,635
Wendy’s/Arby’s Restaurants LLC (USD)
14,000,000 Callable 10.00% due July 15, 2016 15,346,186 15,681,050
WMG Acquisition Corp (USD)
250,000 9.50% due June 15, 2016 274,580 276,200
928,222,524 900,211,516
Total Global Bonds 1,083,351,134 1,056,899,265
Transaction Costs (Note 2) (89) 0
OTHER NET ASSETS – 1.9% 28,730,341 28,724,859
TOTAL NET ASSETS – 100.0% $1,580,045,079 $1,484,470,603
$ $
Par Value Description Cost Fair Value