|
Schedule of Investments
|
|||||||||
|
June 30, 2012 (Unaudited)
|
|||||||||
|
Principal Amount
|
Security Description
|
Rate
|
Maturity
|
Value $
|
|||||
|
Non-Agency Commercial Mortgage-Backed Obligations - 1.4%
|
|||||||||
|
$ 44,000,000
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Series 2012-CBX-XA
|
2.07%
|
# I/O
|
06/16/2045
|
$ 5,028,144
|
||||
|
Total Non-Agency Commercial Mortgage-Backed Obligations (Cost $5,044,846)
|
5,028,144
|
||||||||
|
Non-Agency Residential Collateralized Mortgage Obligations - 52.3%
|
|||||||||
|
5,253,615
|
Adjustable Rate Mortgage Trust, Series 2006-1-2A1
|
3.30%
|
#
|
03/25/2036
|
3,101,327
|
||||
|
3,980,184
|
Banc of America Alternative Loan Trust, Series 2005-8-2CB1
|
6.00%
|
09/25/2035
|
2,858,775
|
|||||
|
4,784,077
|
Banc of America Funding Corporation, Series 2006-A-4A1
|
5.36%
|
#
|
02/20/2036
|
3,402,467
|
||||
|
5,269,567
|
BCAP LLC Trust, Series 2010-RR6-2216
|
4.95%
|
# ^
|
06/26/2036
|
2,286,336
|
||||
|
3,997,724
|
BCAP LLC Trust, Series 2010-RR6-6A2
|
6.08%
|
# ^
|
07/26/2037
|
2,860,821
|
||||
|
5,464,884
|
Chaseflex Trust, Series 2007-1-1A1
|
6.50%
|
02/25/2037
|
3,143,595
|
|||||
|
1,875,000
|
Citicorp Mortgage Securities, Inc., Series 2006-2-1A14
|
5.50%
|
04/25/2036
|
1,604,738
|
|||||
|
2,509,511
|
Citigroup Mortgage Loan Trust, Inc., Series 2006-8-A4
|
19.00%
|
# ^ I/F
|
10/25/2035
|
3,237,269
|
||||
|
4,399,516
|
Citigroup Mortgage Loan Trust, Inc., Series 2010-9-3A7
|
9.83%
|
^
|
01/25/2036
|
3,166,895
|
||||
|
5,860,374
|
Citigroup Mortgage Loan Trust, Inc., Series 2010-9-4A3
|
7.62%
|
# ^
|
09/25/2035
|
4,464,509
|
||||
|
7,396,999
|
Citimortgage Alternative Loan Trust, Series 2007-A4-1A6
|
5.75%
|
04/25/2037
|
5,334,235
|
|||||
|
5,929,811
|
Citimortgage Alternative Loan Trust, Series 2007-A6-1A16
|
6.00%
|
06/25/2037
|
4,299,703
|
|||||
|
4,120,123
|
Countrywide Alternative Loan Trust, Series 2005-85CB-2A5
|
1.35%
|
#
|
02/25/2036
|
2,334,754
|
||||
|
870,105
|
Countrywide Alternative Loan Trust, Series 2005-85CB-2A6
|
20.73%
|
# I/F
|
02/25/2036
|
1,099,690
|
||||
|
9,467,006
|
Countrywide Home Loans, Series 2006-HYB1-3A1
|
2.80%
|
#
|
03/20/2036
|
5,231,539
|
||||
|
7,133,368
|
Credit Suisse Mortgage Capital Certificates, Series 2006-5-3A3
|
6.50%
|
06/25/2036
|
3,582,278
|
|||||
|
1,981,197
|
Credit Suisse Mortgage Capital Certificates, Series 2006-9-2A1
|
5.50%
|
11/25/2036
|
1,792,835
|
|||||
|
4,000,000
|
Deutsche Bank, Series DB-2542-DS
|
6.66%
|
# I/F
|
07/15/2042
|
3,940,000
|
||||
|
4,446,601
|
First Horizon Asset Securities, Inc., Series 2007-AR3-2A2
|
6.00%
|
#
|
11/25/2037
|
3,503,072
|
||||
|
7,510,673
|
GSAA Home Equity Trust, Series 2007-8-A2
|
0.60%
|
#
|
08/25/2037
|
4,796,331
|
||||
|
4,171,564
|
Indymac Mortgage Loan Trust, Series 2005-AR1-2A1
|
5.07%
|
#
|
11/25/2035
|
3,249,357
|
||||
|
6,236,391
|
Indymac Mortgage Loan Trust, Series 2005-AR23-6A1
|
4.99%
|
#
|
11/25/2035
|
4,569,850
|
||||
|
4,500,000
|
Indymac Mortgage Loan Trust, Series 2007-FLX1-A2
|
0.42%
|
#
|
02/25/2037
|
3,591,974
|
||||
|
4,780,862
|
JP Morgan Alternative Loan Trust, Series 2006-S1-2A5
|
5.50%
|
02/25/2021
|
4,165,333
|
|||||
|
6,000,000
|
JP Morgan Research Trust, Series 2011-1-1A10
|
8.33%
|
# ^
|
12/26/2036
|
3,642,000
|
||||
|
7,801,520
|
JP Morgan Research Trust, Series 2011-1-2A10
|
7.14%
|
# ^
|
06/26/2037
|
4,978,930
|
||||
|
1,500,000
|
LCM Limited Partnership, Series 11A-INC
|
0.00%
|
^
|
04/19/2022
|
1,477,500
|
||||
|
4,540,026
|
Lehman Mortgage Trust, Series 2007-4-1A3
|
5.75%
|
05/25/2037
|
2,838,360
|
|||||
|
7,292,665
|
Lehman Mortgage Trust, Series 2007-10-1A1
|
6.00%
|
01/25/2038
|
6,627,194
|
|||||
|
4,001,777
|
Lehman XS Trust, Series 2005-2-1A2
|
0.60%
|
#
|
08/25/2035
|
3,100,615
|
||||
|
5,023,133
|
Nomura Resecuritization Trust, Series 2010-2RA-A2
|
5.50%
|
^
|
01/26/2036
|
4,219,432
|
||||
|
3,983,735
|
RBSGC Structured Trust, Series 2008-B-A1
|
6.00%
|
^
|
06/25/2037
|
3,196,923
|
||||
|
6,489,201
|
Residential Accredit Loans, Inc., Series 2005-QS13-2A3
|
5.75%
|
09/25/2035
|
5,118,630
|
|||||
|
4,459,676
|
Residential Accredit Loans, Inc., Series 2005-QS14-3A1
|
6.00%
|
09/25/2035
|
3,858,291
|
|||||
|
4,698,628
|
Residential Accredit Loans, Inc., Series 2006-QS10-A1
|
6.00%
|
08/25/2036
|
3,125,189
|
|||||
|
9,468,576
|
Residential Accredit Loans, Inc., Series 2006-QS7-A3
|
6.00%
|
06/25/2036
|
6,251,254
|
|||||
|
2,367,918
|
Residential Accredit Loans, Inc., Series 2007-QS1-1A1
|
6.00%
|
01/25/2037
|
1,560,079
|
|||||
|
9,703,938
|
Residential Accredit Loans, Inc., Series 2007-QS3-A1
|
6.50%
|
02/25/2037
|
6,366,550
|
|||||
|
4,294,409
|
Residential Accredit Loans, Inc., Series 2007-QS6-A1
|
0.58%
|
#
|
04/25/2037
|
1,896,815
|
||||
|
4,546,452
|
Residential Accredit Loans, Inc., Series 2007-QS6-A102
|
5.75%
|
04/25/2037
|
2,808,691
|
|||||
|
978,287
|
Residential Accredit Loans, Inc., Series 2007-QS6-A2
|
53.50%
|
# I/F
|
04/25/2037
|
2,253,677
|
||||
|
3,225,695
|
Residential Asset Securities Corporation, Series 2006-EMX2-A2
|
0.45%
|
#
|
02/25/2036
|
2,730,142
|
||||
|
5,770,685
|
Residential Asset Securities Corporation, Series 2006-EMX6-A3
|
0.40%
|
#
|
07/25/2036
|
3,803,704
|
||||
|
2,773,558
|
Residential Asset Securitization Trust, Series 2006-A6-1A9
|
6.00%
|
07/25/2036
|
1,585,994
|
|||||
|
2,805,067
|
Residential Asset Securitization Trust, Series 2006-A6-1A12
|
6.85%
|
# I/F I/O
|
07/25/2036
|
803,979
|
||||
|
9,366,184
|
Residential Asset Securitization Trust, Series 2007-A2-1A2
|
6.00%
|
04/25/2037
|
7,139,111
|
|||||
|
4,367,552
|
Residential Asset Securitization Trust, Series 2007-A7-A1
|
6.00%
|
07/25/2037
|
3,166,456
|
|||||
|
3,647,472
|
Residential Funding Mortgage Securities Trust, Series 2007-S2-A4
|
6.00%
|
02/25/2037
|
3,132,646
|
|||||
|
4,370,871
|
Residential Funding Mortgage Securities Trust, Series 2007-S6-1A10
|
6.00%
|
06/25/2037
|
3,502,320
|
|||||
|
4,666,484
|
Structured Adjustable Rate Mortgage Loan Trust, Series 2006-1-2A2
|
5.30%
|
#
|
02/25/2036
|
3,237,882
|
||||
|
6,541,000
|
Structured Asset Securities Corporation, Series 2005-11H-A3
|
5.50%
|
06/25/2035
|
4,178,257
|
|||||
|
3,000,000
|
Stifel Institutional, Series SF-2714-INV
|
7.10%
|
# I/F
|
07/01/2042
|
3,000,000
|
||||
|
7,265,415
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-8-A4
|
6.00%
|
#
|
10/25/2036
|
4,513,755
|
||||
|
Total Non-Agency Residential Collateralized Mortgage Obligations (Cost $185,470,889)
|
185,732,059
|
||||||||
|
US Government / Agency Mortgage Backed Securities - 34.2%
|
|||||||||
|
5,934,401
|
Federal Home Loan Mortgage Corporation, Series 3292-SD
|
5.86%
|
# I/F I/O
|
03/15/2037
|
951,313
|
||||
|
12,431,527
|
Federal Home Loan Mortgage Corporation, Series 3314-SH
|
6.16%
|
# I/F I/O
|
11/15/2036
|
1,595,225
|
||||
|
2,778,932
|
Federal Home Loan Mortgage Corporation, Series 3317-DS
|
14.40%
|
# I/F
|
05/15/2037
|
3,542,709
|
||||
|
10,521,844
|
Federal Home Loan Mortgage Corporation, Series 3330-KS
|
6.31%
|
# I/F I/O
|
06/15/2037
|
1,767,672
|
||||
|
9,049,708
|
Federal Home Loan Mortgage Corporation, Series 3382-SU
|
6.06%
|
# I/F I/O
|
11/15/2037
|
1,001,494
|
||||
|
5,346,388
|
Federal Home Loan Mortgage Corporation, Series 3339-AI
|
6.31%
|
# I/F I/O
|
07/15/2037
|
706,420
|
||||
|
9,584,255
|
Federal Home Loan Mortgage Corporation, Series 3374-SD
|
6.21%
|
# I/F I/O
|
10/15/2037
|
1,267,386
|
||||
|
8,007,952
|
Federal Home Loan Mortgage Corporation, Series 3423-GS
|
5.41%
|
# I/F I/O
|
03/15/2038
|
746,682
|
||||
|
7,922,224
|
Federal Home Loan Mortgage Corporation, Series 3508-PS
|
6.41%
|
# I/F I/O
|
02/15/2039
|
1,208,252
|
||||
|
12,912,783
|
Federal Home Loan Mortgage Corporation, Series 3815-ST
|
5.61%
|
# I/F I/O
|
02/15/2041
|
1,539,789
|
||||
|
3,417,176
|
Federal Home Loan Mortgage Corporation, Series 3905-SC
|
21.56%
|
# I/F
|
08/15/2041
|
4,584,229
|
||||
|
8,147,675
|
Federal Home Loan Mortgage Corporation, Series 3924-SJ
|
5.76%
|
# I/F I/O
|
09/15/2041
|
1,148,137
|
||||
|
6,496,154
|
Federal Home Loan Mortgage Corporation, Series 3997-LZ
|
3.50%
|
02/15/2042
|
6,509,878
|
|||||
|
7,093,801
|
Federal Home Loan Mortgage Corporation, Series 3998-AZ
|
4.00%
|
02/15/2042
|
7,565,953
|
|||||
|
4,782,578
|
Federal Home Loan Mortgage Corporation, Series 4003-ST
|
6.50%
|
# I/F
|
11/15/2041
|
4,835,504
|
||||
|
6,966,562
|
Federal Home Loan Mortgage Corporation, Series 4011-S
|
7.11%
|
# I/F
|
03/15/2042
|
7,088,362
|
||||
|
2,273,158
|
Federal National Mortgage Association, Series 2005-72-WS
|
6.50%
|
# I/F I/O
|
08/25/2035
|
267,076
|
||||
|
5,925,022
|
Federal National Mortgage Association, Series 2005-104-SI
|
6.45%
|
# I/F I/O
|
12/25/2033
|
666,897
|
||||
|
12,278,983
|
Federal National Mortgage Association, Series 2006-117-SQ
|
6.30%
|
# I/F I/O
|
12/25/2036
|
1,753,248
|
||||
|
7,638,059
|
Federal National Mortgage Association, Series 2006-119-HS
|
6.40%
|
# I/F I/O
|
12/25/2036
|
1,300,370
|
||||
|
10,917,400
|
Federal National Mortgage Association, Series 2007-20-S
|
6.49%
|
# I/F I/O
|
03/25/2037
|
1,859,121
|
||||
|
6,907,571
|
Federal National Mortgage Association, Series 2007-21-SD
|
6.23%
|
# I/F I/O
|
03/25/2037
|
1,011,559
|
||||
|
12,237,932
|
Federal National Mortgage Association, Series 2007-40-SA
|
5.85%
|
# I/F I/O
|
05/25/2037
|
1,611,710
|
||||
|
5,729,803
|
Federal National Mortgage Association, Series 2007-48-SE
|
5.85%
|
# I/F I/O
|
05/25/2037
|
879,279
|
||||
|
8,515,789
|
Federal National Mortgage Association, Series 2007-64-LI
|
6.31%
|
# I/F I/O
|
07/25/2037
|
1,439,393
|
||||
|
8,364,945
|
Federal National Mortgage Association, Series 2007-68-SA
|
6.40%
|
# I/F I/O
|
07/25/2037
|
1,213,269
|
||||
|
10,910,890
|
Federal National Mortgage Association, Series 2008-68-SB
|
5.85%
|
# I/F I/O
|
08/25/2038
|
1,395,527
|
||||
|
16,418,318
|
Federal National Mortgage Association, Series 2009-26-SM
|
6.10%
|
# I/F I/O
|
08/25/2038
|
1,719,326
|
||||
|
7,618,035
|
Federal National Mortgage Association, Series 2009-47-SA
|
5.85%
|
# I/F I/O
|
07/25/2039
|
986,016
|
||||
|
6,544,686
|
Federal National Mortgage Association, Series 2009-48-WS
|
5.70%
|
# I/F I/O
|
07/25/2039
|
761,845
|
||||
|
3,767,719
|
Federal National Mortgage Association, Series 2009-67-SA
|
4.90%
|
# I/F I/O
|
07/25/2037
|
420,570
|
||||
|
10,599,846
|
Federal National Mortgage Association, Series 2009-87-SA
|
5.75%
|
# I/F I/O
|
11/25/2049
|
1,435,434
|
||||
|
13,102,955
|
Federal National Mortgage Association, Series 2009-91-SD
|
5.90%
|
# I/F I/O
|
11/25/2039
|
1,642,170
|
||||
|
9,511,145
|
Federal National Mortgage Association, Series 2009-111-SE
|
6.00%
|
# I/F I/O
|
01/25/2040
|
1,212,285
|
||||
|
10,501,208
|
Federal National Mortgage Association, Series 2010-8-US
|
4.55%
|
# I/F I/O
|
02/25/2040
|
994,480
|
||||
|
10,045,599
|
Federal National Mortgage Association, Series 2010-9-GS
|
4.50%
|
# I/F I/O
|
02/25/2040
|
886,531
|
||||
|
11,839,153
|
Federal National Mortgage Association, Series 2010-11-SC
|
4.55%
|
# I/F I/O
|
02/25/2040
|
1,125,000
|
||||
|
11,959,535
|
Federal National Mortgage Association, Series 2010-15-SL
|
4.70%
|
# I/F I/O
|
03/25/2040
|
1,083,795
|
||||
|
15,201,684
|
Federal National Mortgage Association, Series 2010-19-AI
|
5.00%
|
I/O
|
08/25/2037
|
672,714
|
||||
|
5,452,327
|
Federal National Mortgage Association, Series 2010-19-SA
|
5.15%
|
# I/F I/O
|
03/25/2050
|
628,679
|
||||
|
8,776,169
|
Federal National Mortgage Association, Series 2010-31-SB
|
4.75%
|
# I/F I/O
|
04/25/2040
|
883,138
|
||||
|
13,261,014
|
Federal National Mortgage Association, Series 2010-39-SL
|
5.42%
|
# I/F I/O
|
05/25/2040
|
1,471,274
|
||||
|
13,564,206
|
Federal National Mortgage Association, Series 2010-40-EI
|
4.50%
|
I/O
|
05/25/2024
|
748,393
|
||||
|
5,337,140
|
Federal National Mortgage Association, Series 2010-115-SD
|
6.35%
|
# I/F I/O
|
11/25/2039
|
664,819
|
||||
|
13,909,953
|
Federal National Mortgage Association, Series 2011-5-PS
|
6.15%
|
# I/F I/O
|
11/25/2040
|
1,917,292
|
||||
|
2,886,018
|
Federal National Mortgage Association, Series 2011-40-SA
|
9.39%
|
# I/F
|
09/25/2040
|
3,006,362
|
||||
|
2,742,909
|
Federal National Mortgage Association, Series 2011-55-BZ
|
3.50%
|
06/25/2041
|
2,755,195
|
|||||
|
16,632,458
|
Federal National Mortgage Assocation, Series 2011-114-S
|
5.75%
|
# I/F I/O
|
09/25/2039
|
2,061,084
|
||||
|
7,093,801
|
Federal National Mortgage Association, Series 2012-15-PZ
|
4.00%
|
03/25/2042
|
7,694,448
|
|||||
|
2,194,509
|
Federal National Mortgage Association, Series 2012-16-BS
|
41.60%
|
# I/F
|
03/25/2042
|
2,919,160
|
||||
|
4,053,601
|
Federal National Mortgage Association, Series 2012-22-AZ
|
4.00%
|
03/25/2042
|
4,325,354
|
|||||
|
13,428,680
|
Federal National Mortgage Association, Series 2012-29-SG
|
5.75%
|
# I/F I/O
|
04/25/2042
|
1,804,173
|
||||
|
4,284,738
|
Federal National Mortgage Association, Series 2012-50-ST
|
6.66%
|
# I/F
|
05/25/2042
|
4,292,771
|
||||
|
4,407,222
|
Federal National Mortgage Association, Series 2012-55-SC
|
6.59%
|
# I/F
|
05/25/2042
|
4,422,984
|
||||
|
3,696,131
|
Federal National Mortgage Association, Series 374-19
|
6.50%
|
I/O
|
09/01/2036
|
730,846
|
||||
|
6,042,804
|
Government National Mortgage Association, Series 2009-104-SD
|
6.11%
|
# I/F I/O
|
11/16/2039
|
943,288
|
||||
|
5,686,099
|
Government National Mortgage Association, Series 2010-98-IA
|
5.95%
|
I/O
|
03/20/2039
|
630,155
|
||||
|
22,830,391
|
Government National Mortgage Association, Series 2011-56-BS
|
5.86%
|
# I/F I/O
|
11/16/2036
|
2,570,875
|
||||
|
6,681,632
|
Government National Mortgage Association, Series 2011-69-SB
|
5.11%
|
# I/F I/O
|
05/20/2041
|
816,339
|
||||
|
5,358,305
|
Government National Mortgage Association, Series 2012-34-LI
|
6.00%
|
# I/F I/O
|
12/16/2039
|
995,221
|
||||
|
23,391,484
|
Government National Mortgage Association, Series 2011-56-KS
|
5.86%
|
# I/F I/O
|
08/16/2036
|
2,734,137
|
||||
|
Total US Government / Agency Mortgage Backed Securities (Cost $116,498,909)
|
121,412,607
|
||||||||
|
Short Term Investments - 14.8%
|
|||||||||
|
20,000,000
|
Federal Home Loan Bank Discount Notes
|
0.00%
|
07/13/2012
|
19,999,466
|
|||||
|
10,000,000
|
Federal Home Loan Bank Discount Notes
|
0.00%
|
07/25/2012
|
9,999,600
|
|||||
|
10,000,000
|
Federal Home Loan Bank Discount Notes
|
0.00%
|
07/11/2012
|
9,999,806
|
|||||
|
12,536,625
|
Fidelity Institutional Government Portfolio-Class I
|
0.01%
|
♦
|
12,536,625
|
|||||
|
Total Short Term Investments (Cost $52,535,497)
|
52,535,497
|
||||||||
|
Total Investments - 102.7% (Cost $359,550,141)
|
364,708,307
|
||||||||
|
Liabilities in Excess of Other Assets - (2.7)%
|
(9,627,177)
|
||||||||
|
NET ASSETS - 100.0%
|
$ 355,081,130
|
||||||||
|
#
|
Variable rate security. Rate disclosed as of June 30, 2012.
|
|
|
^
|
Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. These securities are determined to be liquid by DoubleLine Capital LP, unless otherwise noted, under procedures established by the Fund's Board of Trustees. At June 30, 2012, the value of these securities amounted to $33,530,615 or 9.4% of net assets.
|
|
|
I/F
|
Inverse floating rate security whose interest rate moves in the opposite direction of prevailing interest rates.
|
|
|
I/O
|
Interest only security.
|
|
|
♦
|
Seven-day yield as of June 30, 2012.
|
|
Since the Fund does not have a full fiscal year, the tax cost of investments is the same as noted in the Schedule of Investments.
|
|
Summary of Fair Value Disclosure
|
|
June 30, 2012 (Unaudited)
|
|
Security Valuation. The Fund has adopted accounting principles generally accepted in the United States of America ("US GAAP") fair value accounting standards which establish a definition of fair value and set out a hierarchy for measuring fair value. These standards require additional disclosures about the various inputs and valuation techniques used to develop the measurements of fair value and a discussion of changes in valuation techniques and related inputs during the period. These inputs are summarized in the three broad levels listed below:
|
|
Level 1 — Unadjusted quoted market prices in active markets
|
||||||||||
|
Level 2 — Quoted prices for identical or similar assets in markets that are not active, or inputs derived from observable market data
|
||||||||||
|
Level 3 — Unobservable inputs developed using the reporting entity’s estimates and assumptions, which reflect those that market participants would use
|
|
Market values for domestic and foreign fixed income securities are normally determined on the basis of valuations provided by independent pricing services. Vendors value such securities based on one or more inputs described in the following table. The table provides examples of inputs that are commonly relevant for valuing particular classes of fixed income securities, in which the Fund is authorized to invest. However, these classifications are not exclusive, and any of the inputs may be used to value any other class of fixed-income securities. Securities that use similar valuation techniques and inputs as described in the following table are categorized as Level 2 of the fair value hierarchy.
|
|
Fixed-income class
|
Examples of Standard Inputs
|
|
|
All
|
Benchmark yields, transactions, bids, offers, quotations from dealers and trading systems, new issues, spreads and other relationships observed in the markets among comparable securities; and proprietary pricing models such as yield measures calculated using factors such as cash flows, financial or collateral performance and other reference data (collectively referred to as “standard inputs”)
|
|
|
Corporate bonds and notes; convertible securities
|
Standard inputs and underlying equity of the issuer
|
|
|
Bonds and notes of government and government agencies
|
Standard inputs and interest rate volatilities
|
|
|
Mortgage-backed; asset-backed obligations
(including collateralized loan obligations)
|
Standard inputs and cash flows, prepayment information, default rates, delinquency and loss assumptions, collateral characteristics, credit enhancements and specific deal information, trustee reports
|
|
Investments in registered open-end management investment companies will be valued based upon the net asset values (NAVs) of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in privately held investment funds typically will be valued based upon the NAVs of such investments and are categorized as Level 2 of the fair value hierarchy.
|
|
Short-term investments having a maturity of 60 days or less are generally valued at amortized cost which approximates fair market value. These investments are categorized as Level 2 of the fair value hierarchy.
|
|
Common stocks, exchange-traded funds and financial derivative instruments, such as futures contracts or options contracts that are traded on a national securities or commodities exchange, are typically valued at the last reported sales price, in the case of common stocks and exchange-traded funds, or, in the case of futures contracts or options contracts, the settlement price determined by the relevant exchange. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.
|
|
Over-the-counter financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swaps agreements, derive their values from underlying asset prices, indices, reference rates, other inputs or a combination of these factors. These instruments are normally valued on the basis of broker dealer quotations or pricing service valuations. Depending on the instrument and the terms of the transaction, the value of the derivative instruments can be estimated by a pricing service provider using a series of techniques, such as simulation pricing models. The pricing models use issuer details and other inputs that are observed from actively quoted markets such as indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are normally categorized as Level 2 of the fair value hierarchy.
|
|
Certain securities may be fair valued in accordance with the fair valuation procedures approved by the Board of Trustees. The Valuation Committee is generally responsible for overseeing the day to day valuation processes and reports periodically to the Board. The Valuation Committee is authorized to make all necessary determinations of the fair values of portfolio securities and other assets for which market quotations are not readily available or if it is deemed that the prices obtained from brokers and dealers or independent pricing services are deemed to be unreliable indicators of market value. As of June 30, 2012, the Fund did not hold securities categorized as Level 3 of the fair value hierarchy.
|
|
The end of period timing recognition is used for any transfers between levels of the Fund's assets and liabilities.
|
|
The following is a summary of the inputs used to value the Fund's investments as of June 30, 2012*:
|
|
Valuation Inputs
|
||
|
Investments in Securities
|
|
Level 1
|
||
|
Money Market Funds
|
$ | 12,536,625 |
|
Total Level 1
|
12,536,625 | |
|
Level 2
|
||
|
Non-Agency Commercial Mortgage-Backed Obligations
|
5,028,144 | |
|
Non-Agency Residential Collateralized Mortgage Obligations
|
185,732,059 | |
|
US Government / Agency Mortgage Backed Securities
|
121,412,607 | |
|
Other Short Term Investments
|
39,998,872 | |
|
Collateralized Loan Obligations
|
- | |
|
US Government Bonds and Notes
|
- | |
|
Total Level 2
|
352,171,682 | |
|
Level 3
|
- | |
|
Total
|
$ | 364,708,307 |
|
See the Schedule of Investments for further disaggregation of investment categories.
|
||
|
* There were no transfers into and out of Level 1,2, and 3 during the period ended June 30, 2012.
|
||
|
(a)
|
The Registrant’s principal executive and principal financial officers have concluded that the Registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “1940 Act”)) (17 CFR 270.30a-3(c)) are effective as of a date within 90 days of the filing date of this Form N-Q, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or Rule 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(d)).
|
|
(b)
|
There were no changes in the Registrant's internal controls over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) (17 CFR 270.30a-3(d)) that occurred during the Registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
|