| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Total
value at
9-30-17 |
|
|
Level 1
quoted
price |
|
|
Level 2
significant
observable
inputs |
|
|
Level 3
significant
unobservable
inputs |
|
| |
Exchange-traded funds |
|
|
133,730 |
|
|
133,730 |
|
|
— |
|
|
— |
|
| |
Foreign government obligations |
|
|
415,845 |
|
|
— |
|
|
415,845 |
|
|
— |
|
| |
Corporate bonds |
|
|
28,982,442 |
|
|
— |
|
|
28,982,442 |
|
|
— |
|
| |
Convertible bonds |
|
|
687,996 |
|
|
— |
|
|
687,996 |
|
|
— |
|
| |
Term loans |
|
|
391,739 |
|
|
— |
|
|
391,739 |
|
|
— |
|
| |
Rights |
|
|
7,086 |
|
|
— |
|
|
7,086 |
|
|
— |
|
| |
Short-term investments |
|
|
3,800,000 |
|
|
— |
|
|
3,800,000 |
|
|
— |
|
| |
Total investments in securities |
|
|
$215,130,422 |
|
|
$67,450,582 |
|
|
$147,590,656 |
|
|
$89,184 |
|
| |
Other financial instruments: |
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Futures |
|
|
$(316,918 |
) |
|
$(316,918 |
) |
|
— |
|
|
— |
|
| |
Forward foreign currency contracts |
|
|
20,271 |
|
|
— |
|
|
$20,271 |
|
|
— |
|
| |
Written options |
|
|
(337,980 |
) |
|
(337,980 |
) |
|
— |
|
|
— |
|
Repurchase agreements. The fund may enter into repurchase agreements. When the fund enters
into a repurchase agreement, it receives collateral that is held in a
segregated account by the fund's custodian, or for tri-party
repurchase agreements, collateral is held at a third-party custodian
bank in a segregated account for the benefit of the fund. The
collateral amount is marked-to-market and monitored on a daily basis
to ensure that the collateral held is in an amount not less than the
principal amount of the repurchase agreement plus any accrued
interest. Collateral received by the fund for repurchase agreements
is disclosed in the Fund's investments as part of the caption related
to the repurchase agreement.
Repurchase agreements are typically governed by the terms and
conditions of the Master Repurchase Agreement and/or Global Master
Repurchase Agreement (collectively, MRA). Upon an event of default,
the non-defaulting party may close out all transactions traded under
the MRA and net amounts owed. Absent an event of default, assets and
liabilities resulting from repurchase agreements are not offset. In
the event of a default by the counterparty, realization of the
collateral proceeds could be delayed, during which time the
collateral value may decline or the counterparty may have
insufficient assets to pay back claims resulting from close-out of
the transactions.
Derivative instruments. The fund may invest in derivatives in order to meet its investment
objective. Derivatives include a variety of different instruments
that may be traded in the over-the-counter (OTC) market, on a
regulated exchange or through a clearing facility. The risks in using
derivatives vary depending upon the structure of the instruments,
including the use of leverage, optionality, the liquidity or lack of
liquidity of the contract, the creditworthiness of the counterparty
or clearing organization and the volatility of the position. Some
derivatives involve risks that are potentially greater than the risks
associated with investing directly in the referenced securities or
other referenced underlying instrument. Specifically, the fund is
exposed to the risk that the counterparty to an OTC derivatives
contract will be unable or unwilling to make timely settlement
payments or otherwise honor its obligations. OTC derivatives
transactions typically can only be closed out with the other party to
the transaction.
Futures. A futures contract is a contractual agreement to buy or sell a
particular currency or financial instrument at a pre-determined price
in the future. Risks related to the use of futures contracts include
possible illiquidity of the futures markets and contract prices that
can be highly volatile and imperfectly correlated to movements in the
underlying financial instrument. Use of long futures contracts
subjects the fund to the risk of loss up to the notional value of the
futures contracts. Use of short futures contracts subjects the fund
to unlimited risk of loss.
During the period ended
September 30, 2017, the fund used futures contracts to manage against anticipated
changes in securities markets.
Forward foreign currency contracts. A forward foreign currency contract is an agreement between two
parties to buy and sell specific currencies at a price that is set on
the date of the contract. The forward contract calls for delivery of
the currencies on a future date that is specified in the contract.
Risks related to the use of forwards include the possible failure of
counterparties to meet the terms of the forward agreement, the
failure of the counterparties to timely post collateral if
applicable, and the risk that currency movements will not favor the
fund thereby reducing the fund's total return.
The market value of a forward foreign currency contract fluctuates
with changes in foreign currency exchange rates. Forward foreign
currency contracts are marked-to-market daily and the change in value
is recorded by the fund as an unrealized gain or loss. Realized gains
or losses, equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed,
are recorded upon delivery or receipt of the currency or settlement
with the counterparty.
During the period ended
September 30, 2017, the fund used forward foreign currency contracts to manage against
anticipated changes in currency exchange rates.
Options. There are two types of options, put options and call options.
Options are traded either OTC or on an exchange. A call option gives
the purchaser of the option the right to buy (and the seller the
obligation to sell) the underlying instrument at the exercise price.
A put option gives the purchaser of the option the right to sell (and
the writer the obligation to buy) the underlying instrument at the
exercise price. Writing puts and buying calls may increase the fund's
exposure to changes in the value of the underlying instrument. Buying
puts and writing calls may decrease the fund's exposure to such
changes. Risks related to the use of options include the loss of
premiums, possible illiquidity of the options markets, trading
restrictions imposed by an exchange and movements in underlying
security values. In addition, OTC options are subject to the risks of
all OTC derivatives contracts.
