Statement of Investments July 31, 2017 (Unaudited)

Transcription

1 Statement of Investments Nationwide Amundi Strategic Income Fund Asset-Backed Securities 11.1% Airlines 0.3% Air Canada Pass-Through Trust, Series , Class B, 5.38%, 05/15/21 (a) $ 76,767 $ 80,964 Automobiles 2.9% Drive Auto Receivables Trust Series 2015-BA, Class D, 3.84%, 07/15/21 (a) 200, ,730 Series , Class D, 3.84%, 03/15/23 190, ,428 Series 2016-BA, Class D, 4.53%, 08/15/23 (a) 450, , ,811 Other 7.9% Colony American Homes, Series A, Class E, 4.42%, 07/17/31 (a)(b) 220, ,864 Home Partners of America Trust, Series , Class F, 4.76%, 07/17/34 (a)(b) 465, ,823 Invitation Homes Trust Series 2014-SFR2, Class F, 5.23%, 09/17/31 (a)(b) 255, ,741 Series 2014-SFR3, Class E, 5.73%, 12/17/31 (a)(b) 31,800 31,996 Series 2014-SFR3, Class F, 6.23%, 12/17/31 (a)(b) 110, ,022 Series 2015-SFR2, Class E, 4.38%, 06/17/32 (a)(b) 465, ,023 Series 2015-SFR2, Class F, 4.93%, 06/17/32 (a)(b) 100, ,711 Progress Residential Trust Series 2017-SFR1, Class E, 4.26%, 08/17/34 (a) 110, ,962 Series 2017-SFR1, Class F, 5.35%, 08/17/34 (a) 600, ,719 2,371,861 Total Asset-Backed Securities (cost $3,259,344) 3,309,636 Collateralized Mortgage Obligations 15.1% Angel Oak Mortgage Trust LLC, Series , Class B1, 6.40%, 01/25/47 (a)(b) 470, ,097 Deephaven Residential Mortgage Trust, Series A, Class M1, 3.90%, 06/25/47 (a)(b) 210, ,251 FHLMC REMIC, Series 4395, Class TI, IO, 4.00%, 05/15/26 294,559 29,619 FHLMC Structured Agency Credit Risk Debt Notes Series 2015-HQ1, Class B, 11.98%, 03/25/25 (b) 412, ,829 Series 2015-HQA1, Class B, 10.03%, 03/25/28 (b) 569, ,945 Series 2015-HQA2, Class B, 11.73%, 05/25/28 (b) 324, ,101 FNMA Series 2015-C04, Class 1M2, 6.93%, 04/25/28 (b) 60,000 68,871 Series 2016-C04, Class 1B, 11.48%, 01/25/29 (b) 199, ,177 FNMA REMIC Series 2017-C03, Class 1B1, 6.08%, 10/25/29 (b) 550, ,775 Series 2017-C04, Class 2B1, 6.28%, 11/25/29 (b) 505, ,728 Collateralized Mortgage Obligations (continued) FNMA REMIC (continued) Series 2017-C05, Class 1B1, 4.82%, 01/25/30 (b) $ 230,000 $ 229,686 Series , Class SG, IO, 5.87%, 08/25/33 (b)(c) 185,182 4,854 Series , Class PI, IO, 5.00%, 11/25/38 276,182 43,049 GNMA REMIC Series , Class IO, IO, 5.00%, 12/16/20 200,530 5,865 Series , Class QI, IO, 4.50%, 06/16/41 252,065 42,268 Series , Class IC, IO, 3.50%, 11/20/42 278,778 56,717 Series , Class JS, IO, 4.87%, 02/20/46 (b) 388,113 74,475 Series , Class IO, IO, 4.00%, 06/20/46 244,583 46,601 Series , Class SM, IO, 4.87%, 07/20/46 (b) 368,338 75,720 Series , Class QI, IO, 4.00%, 08/20/46 147,245 34,702 Series , Class UI, IO, 3.50%, 10/20/46 262,107 52,996 Total Collateralized Mortgage Obligations (cost $4,102,666) 4,489,326 Commercial Mortgage-Backed Securities 4.6% CSAIL Commercial Mortgage Trust, Series 2015-C4, Class D 3.58%, 11/15/48 (b) 250, ,763 Wells Fargo Commercial Mortgage Trust Series 2015-C27, Class D, 3.77%, 02/15/48 (a) 300, ,494 Series 2015-C28, Class D, 4.13%, 05/15/48 (b) 550, ,552 Series 2015-LC20, Class D, 4.36%, 04/15/50 (a)(b) 440, ,406 Series 2016-NXS5, Class D, 4.88%, 01/15/59 (b) 125, ,739 Total Commercial Mortgage-Backed Securities (cost $1,168,742) 1,358,954 Corporate Bonds 46.3% Airlines 0.8% Latam Finance Ltd., 6.88%, 04/11/24 (a) 225, ,738 Auto Components 1.8% American Axle & Manufacturing, Inc., 6.50%, 04/01/27 (a) 415, ,812 Grupo-Antolin Irausa SA, 3.25%, 04/30/24 (a) EUR 100, , ,856 Banks 5.8% HSBC Holdings plc, 6.00%, 05/22/27 (d) $ 265, ,945 Intesa Sanpaolo SpA, 5.71%, 01/15/26 (a) 300, ,277 Royal Bank of Scotland Group plc, 4.80%, 04/05/26 280, ,

2 Corporate Bonds (continued) Banks (continued) Standard Chartered plc, 7.50%, 04/02/22 (a)(d) $ 200,000 $ 219,600 UniCredit SpA, 5.86%, 06/19/32 (a)(b) 460, ,239 US Bancorp, Series J, 5.30%, 04/15/27 (d) 130, ,800 1,736,603 Capital s 0.7% Charles Schwab Corp. (The), Series E, 4.62%, 03/01/22 (d) 200, ,358 Chemicals 1.1% NOVA Chemicals Corp. 4.88%, 06/01/24 (a) 145, , %, 06/01/27 (a) 180, , ,356 Construction & Engineering 0.9% Tutor Perini Corp., 6.88%, 05/01/25 (a) 245, ,375 Diversified Financial Services 1.8% Mercury Bondco plc 7.13%, 05/30/21 (a)(e) EUR 190, , %, 05/30/21 (a)(e) 250, , ,210 Diversified Telecommunication Services 2.6% AT&T, Inc., 3.90%, 08/14/27 $ 285, ,701 Frontier Communications Corp., 7.13%, 01/15/23 250, ,375 SFR Group SA, 7.38%, 05/01/26 (a) 255, , ,113 Electric Utilities 4.0% Drax Finco plc, 4.25%, 05/01/22 GBP 100, ,915 Genneia SA, 8.75%, 01/20/22 (a) $ 150, ,388 Pampa Energia SA, 7.50%, 01/24/27 (a) 295, ,062 Stoneway Capital Corp., 10.00%, 03/01/27 (a) 560, ,000 1,187,365 Energy Equipment & Services 1.2% Exterran Energy Solutions LP, 8.13%, 05/01/25 (a) 180, ,100 Noble Holding International Ltd., 7.75%, 01/15/24 (f) 205, , ,250 Equity Real Estate Investment Trusts (REITs) 0.3% Select Income REIT, 4.25%, 05/15/24 100,000 99,532 Food & Staples Retailing 1.3% BI-LO LLC, 9.25%, 02/15/19 (a) 250, ,000 Fresh, Inc. (The), 9.75%, 05/01/23 (a) 195, , ,412 Food Products 1.3% Clearwater Seafoods, Inc., 6.88%, 05/01/25 (a) 145, ,787 JBS USA LUX SA, 5.75%, 06/15/25 (a) 250, , ,287 Health Care Providers & Services 1.2% HomeVi SAS, 4.25%, 11/15/21 (a)(b) EUR 100, ,165 Quorum Health Corp., 11.63%, 04/15/23 (f) $ 285, , ,715 Corporate Bonds (continued) Hotels, Restaurants & Leisure 1.9% Burger King France SAS, 6.00%, 05/01/24 (a) EUR 250,000 $ 316,462 Mohegan Gaming & Entertainment, 7.88%, 10/15/24 (a) $ 235, , ,681 Independent Power and Renewable Electricity Producers 1.4% Calpine Corp., 5.75%, 01/15/25 220, ,425 Talen Energy Supply LLC, 9.50%, 07/15/22 (a) 240, , ,225 Insurance 2.6% American Equity Investment Life Holding Co., 5.00%, 06/15/27 225, ,218 CNO Financial Group, Inc., 5.25%, 05/30/25 360, ,500 XLIT Ltd., 3.25%, 06/29/47 (b) EUR 135, , ,731 Internet Software & Services 1.1% United Group BV, 4.88%, 07/01/24 280, ,392 Marine 1.6% Topaz Marine SA, 9.13%, 07/26/22 (a) $ 470, ,359 Media 1.6% AMC Entertainment Holdings, Inc., 6.38%, 11/15/24 GBP 185, ,345 Salem Media Group, Inc., 6.75%, 06/01/24 (a) $ 140, ,250 Viacom, Inc., 5.88%, 02/28/57 (b) 85,000 87, ,720 Metals & Mining 2.9% AK Steel Corp., 7.00%, 03/15/27 (f) 315, ,569 Aleris International, Inc., 9.50%, 04/01/21 (a) 220, ,100 First Quantum Minerals Ltd., 7.50%, 04/01/25 (a) 200, ,300 FMG Resources August 2006 Pty. Ltd., 5.13%, 05/15/24 (a) 80,000 83, ,969 Multiline Retail 0.5% Neiman Marcus Group Ltd. LLC, 8.00%, 10/15/21 (a) 250, ,125 Oil, Gas & Consumable Fuels 4.7% PBF Holding Co. LLC, 7.25%, 06/15/25 (a) 155, ,900 Petrobras Global Finance BV, 8.38%, 05/23/21 220, ,500 Petroleos Mexicanos 6.75%, 09/21/47 150, , %, 09/21/47 (a) 100, ,200 Tapstone Energy LLC, 9.75%, 06/01/22 (a) 190, ,450 Tullow Oil plc 6.00%, 11/01/20 (a) 215, , %, 04/15/22 (a) 200, ,500 YPF SA, 6.95%, 07/21/27 (a) 190, ,090 1,409,721 Road & Rail 0.4% Park Aerospace Holdings Ltd., 5.25%, 08/15/22 (a) 115, ,013 Technology Hardware, Storage & Peripherals 0.3% Seagate HDD Cayman, 4.88%, 03/01/24 (a) 95,000 93,691 2

3 Corporate Bonds (continued) Textiles, Apparel & Luxury Goods 1.4% Grupo Kaltex SA de CV, 8.88%, 04/11/22 (a) $ 480,000 $ 427,200 Trading Companies & Distributors 1.1% Aircastle Ltd., 5.50%, 02/15/22 300, ,500 Total Corporate Bonds (cost $13,539,608) 13,783,497 Foreign Government Securities 3.7% ARGENTINA 1.6% Provincia de Buenos Aires, 5.38%, 01/20/23 EUR 400, ,543 BRAZIL 0.8% Federative Republic of Brazil, 5.63%, 02/21/47 $ 255, ,625 INDONESIA 1.3% Republic of Indonesia, 3.75%, 06/14/28 (a) EUR 300, ,519 Total Foreign Government Securities (cost $1,035,978) 1,113,687 Loan Participations 17.1% Auto Components 0.5% Superior Industries International, Inc., Term Loan, 5.79%, 03/22/24 $ 135, ,338 Chemicals 2.4% Diversey, Term Loan, 0.00%, 07/25/24 400, ,332 New Arclin US Holding Corp., 2nd Lien Term Loan, 10.17%, 02/14/25 125, ,329 New Arclin US Holding Corp., Term Loan, 5.67%, 02/14/24 190, , ,798 Communications Equipment 1.9% Avaya, 1st Lien Tranche B7 Term Loan, 6.42%, 05/29/20 (g) 298, ,373 Avaya, Inc., DIP Term Loan, 8.73%, 01/24/18 300, , ,290 Consumer Services 0.4% Intrawest, 1st Lien Term Loan B1, 0.00%, 07/31/24 (h) 86,856 86,421 Intrawest, 1st Lien Term Loan B2, 0.00%, 07/31/24 (h) 45,868 45, ,059 Containers & Packaging 1.5% Kloeckner Pentaplast, Term Loan, 5.55%, 06/30/22 460, ,532 Diversified Telecommunication Services 5.4% Centurylink, Inc. 1st Lien Term Loan, 1.38%, 01/31/25 270, ,204 Frontier Communications Corp., Term Loan B, 4.98%, 06/15/24 535, ,375 SFR Group SA, 1st Lien Term Loan B, 4.06%, 07/31/25 448, ,753 Windstream Corp., Term Loan B, 5.23%, 03/29/21 397, ,534 1,619,866 Loan Participations (continued) Electronic Equipment, Instruments and Components 1.4% Dell International LLC, 1st Lien Term Loan, 3.74%, 09/07/23 $ 412,925 $ 415,262 Equity Real Estate Investment Trusts (REITs) 0.7% Communications Sale Leasing, 1st Lien Term Loan, 4.23%, 10/24/22 204, ,574 Food Products 0.6% JBS USA LLC, 1st Lien Term Loan, 3.80%, 10/30/22 189, ,808 Hotels, Restaurants & Leisure 1.2% Mohegan Tribal Gaming Authority, Tranche B Term Loan, 5.23%, 10/13/23 363, ,337 Multiline Retail 0.7% JC Penny Corp., 1st Lien Term Loan B, 5.45%, 06/23/23 195, ,721 Oil, Gas & Consumable Fuels 0.4% Chesapeake Energy Corp., Term loan, 8.69%, 08/23/21 115, ,366 Total Loan Participation (cost $5,096,870) 5,110,951 Short-Term Investments 1.1% U.S. Treasury Obligation 0.5% U.S. Treasury Bill, 0.00%, 09/14/17 (i)(j) 160, ,811 Money Funds 0.6% Shares Fidelity Investments Money Government Portfolio - Institutional Class, 0.91%, (k)(l) 58,901 58,901 Fidelity Investments Money Prime Money Portfolio Institutional Class, 1.22% (k) 112, , ,265 Total Short-Term Investments (cost $331,143) 331,076 Repurchase Agreement 2.3% Royal Bank of Canada, 1.02%, dated 07/31/17, due 08/01/17, repurchase price $694,629, collateralized by U.S. Treasury Notes, ranging from 1.75% %, maturing 10/31/20-04/30/24; total market value $708,503. (l) $ 694, ,609 Total Repurchase Agreement (cost $694,609) 694,609 Total Investments (cost $29,228,960) (m) 101.3% 30,191,736 Liabilities in excess of other assets (1.3)% (393,542) NET ASSETS 100.0% $ 29,798,194 3

4 (a) Rule 144A, Section 4(2), or other security which is restricted as to sale to institutional investors. These securities were deemed liquid pursuant to procedures approved by the Board of Trustees. The aggregate value of these securities at July 31, 2017 was $13,799,017 which represents 46.31% of net assets. (b) Variable Rate Security. The rate reflected in the Statement of Investments is the rate in effect on July 31, The maturity date represents the actual maturity date. (c) Illiquid security. (d) Variable Rate and Perpetual Bond Security. The rate reflected in the Statement of Investments is the rate in effect on July 31, The maturity date reflects the next call date. (e) PIK-- Payment-in-kind security. Income may be paid in cash or additional notes, at the discretion of the issuer. The rate disclosed is the cash rate. (f) The security or a portion of this security is on loan at July 31, The total value of securities on loan at July 31, 2017 was $720,588, which was collateralized by cash used to purchase a money market fund and a repurchase agreement with a value of $58,901 and $694,609, respectively, a total value of $753,510. (g) Security in default. (h) Fair valued security. (i) Security or a portion of the security was used to cover the margin requirement for futures contracts. (j) Zero Coupon Security. Debt security that pays no cash income but is sold at substantial discount from its value at maturity. (k) Represents 7-day effective yield as of July 31, (l) Security was purchased with cash collateral held from securities on loan. The total value of securities purchased with cash collateral as of July 31, 2017 was $753,510. (m) At July 31, 2017, the tax basis cost of the Fund's investments was $29,228,960, tax unrealized appreciation and depreciation were $1,311,239 and $(348,463), respectively. 4

5 BV FHLMC FNMA GNMA IO LLC LP Ltd. plc REIT REMIC SA SA de CV SAS SpA Currency: EUR GBP Private Limited Liability Company Federal Home Loan Mortgage Corporation Federal National Mortgage Association Government National Mortgage Association Interest only (IO) strips are the interest portion of mortgage, Treasury or bond payments, which is separated and sold individually from the principal portion of those same payments. Limited Liability Company Limited Partnership Limited Public Limited Company Real Estate Investment Trust Real Estate Mortgage Investment Conduit Stock Company Public Traded Company with Variable Capital Joint Stock Company Limited Share Company Euro British Pound At July 31, 2017, the Fund's open swap contracts were as follows: Centrally cleared credit default swaps on credit indices buy protection 1 Fixed Annual Rate Received Implied Credit Spread as of July 31, Termination Date Unrealized Appreciation/ (Depreciation) Upfront Premium Reference Entity by Fund Notional 2 (Received)/ Paid 4 Markit CDX North America High Yield Index Series % $2,500, % 06/20/22 $(164,211) $(41,076) Markit CDX North America Investment Grade Index Series % 3,000, % 06/20/22 (43,851) (18,994) CDX Credit Default Swap Index $(208,062) $(60,070) 1 The Fund, as a buyer of credit protection, pays periodic payments and any upfront premium to the protection seller, and is obligated to receive a contingent payment, upon occurrence of a credit event with respect to an underlying reference obligation, as defined under the terms of each individual swap contract.. 2 The notional amount is the maximum amount that a seller of a credit default swap would be obligated to pay and a buyer of credit protection would receive, upon occurrence of a credit event. 3 Implied credit spreads are an indication of the seller s performance risk, related to the likelihood of a credit event occurring that would require a seller to make a payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indices are linked to the weighted average spread across the underlying reference obligations included in a particular index.. 4 Upfront premiums generally related to payments received or paid at the initiation of the swap agreement to compensate for differences between the stated terms of the swap agreement and current market conditions (credit spreads, interest rates and other relevant factors). At July 31, 2017, the Fund's open forward foreign currency contracts against the United States Dollar were as follows: Delivery Date Currency Delivered Contract Unrealized Appreciation/ (Depreciation) Currency Counterparty Short Contracts: British Pound Bank of America NA 08/31/17 (255,000) $ (334,206) $ (336,807) $ (2,601) Euro Bank of America NA 08/31/17 (2,130,000) (2,489,131) (2,525,772) (36,641) Total Short Contracts $ (2,823,337) $ (2,862,579) $ (39,242) 5

6 At July 31, 2017, the Fund's open futures contracts were as follows: Number of Contracts Long Contracts Expiration Notional Covered by Contracts Unrealized Appreciation/ (Depreciation) 2 U.S. Treasury 10 Year Note 09/20/17 $ 251,781 $ 1,917 3 U.S. Treasury Ultra Bond 09/20/17 493,500 3, U.S. Treasury 5 Year Note 09/29/17 1,299, $ 2,044,914 $ 6,500 Number of Contracts Short Contracts Expiration Notional Covered by Contracts Unrealized Appreciation/ (Depreciation) (26) 10 Year USD Deliverable Interest Rate Swap Futures 09/18/17 $ 2,650,375 $ 15,779 (27) 5 Year USD Deliverable Interest Rate Swap Futures 09/18/17 2,707,172 2,886 (19) EURO-BUND Future 09/07/17 3,642,612 56,575 (11) U.S. Treasury Long Bond 09/20/17 1,682,656 (541) $ 10,682,815 $ 74,699 6

7 In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America, Nationwide Mutual Funds' (the Trust ) investment adviser to the Fund, Nationwide Fund Advisors ( NFA ), assigns a fair value to Fund investments in accordance with a hierarchy that prioritizes the various types of inputs used to measure fair value. The hierarchy gives the highest priority to readily available unadjusted quoted prices in active markets for identical assets (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The three levels of the hierarchy are summarized below. Level 1 Quoted prices in active markets for identical assets Level 2 Other significant observable inputs (including quoted prices of similar securities, interest rates, prepayment speeds, credit risk, etc.) Level 3 Significant unobservable inputs (including the Fund s own assumptions in determining the fair value of investments) Changes in valuation techniques may result in transfers into or out of an investment s assigned level within the hierarchy. An investment s categorization within the hierarchy is based on the lowest level of any input that is significant to the fair valuation in its entirety. The inputs or methodology used to value investments are not intended to indicate the risk associated with investing in those investments. The Trust s Board of Trustees (the Board of Trustees ) has delegated authority to NFA, and the Trust s administrator, Nationwide Fund Management LLC ( NFM ), to assign a fair value under certain circumstances, as described below, pursuant to valuation procedures approved by the Board of Trustees. NFA and NFM have established a Fair Valuation Committee ( FVC ) to assign these fair valuations. The fair value of a security may differ from its quoted or published price. Fair valuation of portfolio securities may occur on a daily basis. Securities may be fair valued in certain circumstances, such as where (i) market quotations are not readily available; (ii) an independent pricing service does not provide a value or the value provided by an independent pricing service is determined to be unreliable in the judgment of NFA/NFM or its designee; (iii) a significant event has occurred that affects the value of the Fund s securities after trading has stopped (e.g., earnings announcements or news relating to natural disasters affecting an issuer s operations); (iv) the securities are illiquid; (v) the securities have defaulted or been delisted from an exchange and are no longer trading; or (vi) any other circumstance in which the FVC believes that market quotations do not accurately reflect the value of a security. The FVC will assign a fair value according to fair value methodologies. Information utilized by the FVC to obtain a fair value may include, among others, the following: (i) a multiple of earnings; (ii) the discount from market value of a similar, freely traded security; (iii) the yield-to-maturity for debt issues; or (iv) a combination of these and other methods. To arrive at the appropriate methodology, the FVC may consider a non-exclusive list of factors, which are specific to the security as well as whether the security is traded on the domestic or foreign markets. The FVC monitors the results of fair valuation determinations and regularly reports the results to the Board of Trustees. The Fund attempts to establish a price that it might reasonably expect to receive upon the current sale of that security. That said, there can be no assurance that the fair value assigned to a security is the price at which a security could have been sold during the period in which the particular fair value was used to value the security. To the extent the inputs used are observable, these securities are classified as Level 2 investments; otherwise, they are classified as Level 3 investments within the hierarchy. Equity securities listed on a non-u.s. exchange ( non-u.s. securities ) are generally fair valued daily by an independent fair value pricing service approved by the Board of Trustees. The fair valuations for non-u.s. securities may not be the same as quoted or published prices of the securities on the exchange on which such securities trade. Such securities are categorized as Level 2 investments within the hierarchy. If daily fair value prices from the independent fair value pricing service are not available, such non-u.s. securities are generally valued at the last quoted sale price at the close of an exchange on which the security is traded and categorized as Level 1 investments within the hierarchy. s of foreign securities, currencies, and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of said currencies against the U.S. dollar, as of Valuation Time, as provided by an independent pricing service approved by the Board of Trustees. The following table provides a summary of the inputs used to value the Fund s net assets as of July 31, Please refer to the Statement of Investments for additional information on portfolio holdings. Level 1 Level 2 Level 3 Total Assets: Asset-Backed Securities $ $ 3,309,636 $ $ 3,309,636 Collateralized Mortgage Obligations 4,489,326 4,489,326 Commercial Mortgage-Backed Securities 1,358,954 1,358,954 Corporate Bonds 13,783,497 13,783,497 Foreign Government Securities 1,113,687 1,113,687 Futures Contracts 81,740 81,740 Loan Participations 5,110,951 5,110,951 Repurchase Agreement 694, ,609 Short-Term Investments 171, , ,076 Total Assets $ 253,005 $ 30,020,471 $ $ 30,273,476 Liabilities: Swap Contracts* (60,070) (60,070) Forward Foreign Currency Contracts (39,242) (39,242) Futures Contracts (541) (541) Total Liabilities $ (541) $ (99,312) $ $ (99,853) Total $ 252,464 $ 29,921,159 $ $ 30,173,623 s designated as " ", which may include fair valued securities, are zero or have been rounded to zero. * Centrally cleared credit default swap contracts are included in the table at unrealized appreciation/(depreciation). Transfers between levels are recognized as of the beginning of the reporting period. During the period ended July 31, 2017, there were no transfers into or out of Level 1, Level 2 or Level 3. 7

8 The following is a summary of the Fund s derivative instruments categorized by risk exposure as of July 31, Please see below for information on the Fund s policy regarding the objectives and strategies for using swap contracts, forward foreign currency contracts and financial futures contracts. Swap Contracts Credit Default Swaps. The Fund entered into credit default swap contracts during the period ended July 31, Credit default swap contracts are either privately negotiated agreements between the Fund and a counterparty or traded through a futures commission merchant and cleared through a clearinghouse that serves as a central counterparty. The Fund utilized credit default swap contracts to manage broad credit market spread exposure. Under the terms of the swap agreements, upfront payments may be exchanged between the seller and the buyer. These upfront premiums are amortized and accredited daily and are recorded as realized gains or losses upon maturity or termination of the credit default swap contract. As the protection purchaser in a credit default swap contract, the Fund pays the counterparty a periodic stream of payments over the term of the contract, provided that no credit event or default (or similar event) occurs. However, the Fund is required to receive the par (or other agreed-upon) value of a referenced debt obligation from the counterparty in the event of a default (or similar event) by a third party, such as a U.S. or foreign issuer, on the debt obligation. If a credit event or default (or similar event) occurs, the Fund either (i) receives from the counterparty an amount equal to the notional amount of the swap and the counterparty takes delivery of the referenced obligation, other deliverable obligations or underlying securities comprising the referenced index, or (ii) receives from the counterparty a net settlement amount in the form of cash or securities to the notional amount of the swap and the recovery value of the referenced obligation or underlying securities comprising the referenced index. As the purchaser in a credit default swap contract, the Fund s investment would generate income only in the event of an actual default (or similar event) by the issuer of the underlying obligation. Credit default swaps are marked-to-market daily based on valuations from independent pricing services. Credit default swaps are generally categorized as Level 2 investments within the hierarchy. Implied credit spreads are utilized in determining the market value of credit default swap agreements on credit indices and serve as an indicator of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. Implied credit spreads utilized in valuing the Fund s investments as of July 31, 2017 are disclosed in the Statement of Investments. The implied credit spread of a particular referenced entity reflects the cost of selling protection on such entity s debt, and may include upfront payments required to be made to enter into the agreement. For credit default swap agreements on credit indices, the quoted market prices and resulting value serve as the indicator of the current status of the payment/performance risk. Wider credit spreads represent a deterioration of the referenced entity s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. Forward Foreign Currency Contracts The Fund is subject to foreign currency exchange risk in the normal course of pursuing its objective(s). The Fund entered into forward foreign currency contracts in connection with planned purchases or sales of securities denominated in a foreign currency and/or to hedge the U.S. dollar value of portfolio securities denominated in a foreign currency. A forward foreign currency contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. Forward foreign currency contracts are generally valued at the mean of the last quoted bid and ask prices, as provided by an independent pricing service approved by the Board of Trustees, and are generally categorized as Level 2 investments within the hierarchy. The market value of a forward foreign currency contract fluctuates with changes in foreign currency exchange rates. All commitments are marked-to-market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. Realized gains or losses are recorded at the time of the forward foreign currency contract matures or by delivery of the currency. Forward foreign currency contracts entail the risk of unanticipated movements in the value of the foreign currency relative to the U.S. dollar, and the risk that the counterparties to the contracts may be unable to meet their obligations under the contract. Futures Contracts The Fund is subject to interest rate in the normal course of pursuing its objective(s). The Fund entered into financial futures contracts ( futures contracts ) to gain exposure to and/or hedge against changes in interest rates. Futures contracts are contracts for delayed delivery of securities or currencies at a specific future date and at a specific price or currency amount. Upon entering into a futures contract, the Fund is required to segregate an initial margin deposit of cash and/or other assets equal to a certain percentage of the futures contract s notional value. Under a futures contract, the Fund agrees to receive from or pay to a broker an amount of cash equal to the daily fluctuation in value of the futures contract. Subsequent receipts or payments, known as variation margin receipts or payments, are made each day, depending on the fluctuation in the fair value of the futures contract, and are recognized by the Fund as unrealized gains or losses. Futures contracts are generally valued daily at their settlement price as provided by an independent pricing service approved by the Board of Trustees, and are generally categorized as Level 1 investments within the hierarchy. Should market conditions change unexpectedly, the Fund may not achieve the anticipated benefits of futures contracts and may realize a loss. The use of futures contracts for hedging purposes involves the risk of imperfect correlation in the movements in the price of the futures contracts and the underlying assets. The following tables provide a summary of the Fund s derivative instruments categorized by risk exposure as of July 31, 2017: 8

9 Fair s of Derivatives not Accounted for as Hedging Instruments as of July 31, 2017 Assets: Fair Futures Contracts Interest rate risk Unrealized appreciation from futures contracts $ 81,740 Total $ 81,740 Liabilities: Fair Swap Contracts(a) Credit risk Swap contracts, at value $ (60,070) Forward Foreign Currency Contracts Currency risk Unrealized depreciation on forward foreign currency contracts (39,242) Futures Contracts Interest rate risk Unrealized depreciation from futures contracts (541) Total $ (99,853) (a) Centrally cleared credit default swap contracts are included in the table at unrealized appreciation/(depreciation). 9