UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, DC 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANY
Investment Company Act file number 811-21864
WisdomTree Trust
(Exact name of Registrant as specified in charter)
| 380 Madison Avenue, 21st Floor New York, NY | 10017 | |
| (Address of principal executive offices) | (Zip code) |
The Corporation Trust Company
1209 Orange Street
Wilmington, DE 19801
(Name and address of agent for service)
Registrant’s telephone number, including area code: (866) 909-9473
Date of fiscal year end: August 31
Date of reporting period: November 30, 2010
Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Schedule of Investments. |
Schedule of Investments (unaudited)
WisdomTree Dreyfus Brazilian Real Fund (BZF)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Chinese Yuan Fund (CYB)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Emerging Currency Fund (CEW)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Euro Fund (EU)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Indian Rupee Fund (ICN)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Japanese Yen Fund (JYF)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus New Zealand Dollar Fund (BNZ)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus South African Rand Fund (SZR)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Emerging Markets Local Debt Fund (ELD)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited) (concluded)
WisdomTree Emerging Markets Local Debt Fund (ELD)
November 30, 2010
See Notes to Schedule of Investments.
Schedule of Investments (unaudited)
WisdomTree Dreyfus Commodity Currency Fund (CCX)
November 30, 2010
See Notes to Schedule of Investments.
Notes to Schedule of Investments (unaudited)
1. ORGANIZATION
WisdomTree Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was established as a Delaware statutory trust pursuant to a Trust Instrument dated December 15, 2005. As of November 30, 2010, the Trust offered 44 investment funds. These notes relate only to the Schedule of Investments for the WisdomTree Dreyfus Brazilian Real Fund (“Brazilian Real Fund”), WisdomTree Dreyfus Chinese Yuan Fund (“Chinese Yuan Fund”), WisdomTree Dreyfus Emerging Currency Fund (“Emerging Currency Fund”), WisdomTree Dreyfus Euro Fund (“Euro Fund”), WisdomTree Dreyfus Indian Rupee Fund (“Indian Rupee Fund”), WisdomTree Dreyfus Japanese Yen Fund (“Japanese Yen Fund”), WisdomTree Dreyfus New Zealand Dollar Fund (“New Zealand Dollar Fund”), WisdomTree Dreyfus South African Rand Fund (“South African Rand Fund”), WisdomTree Emerging Markets Local Debt Fund (“Emerging Markets Local Debt Fund”) and WisdomTree Dreyfus Commodity Currency Fund (“Commodity Currency Fund”) (each a “Fund,” collectively, the “Funds”). The Funds commenced operations as follows: the Brazilian Real Fund, the Chinese Yuan Fund, the Euro Fund and the Indian Rupee Fund commenced operations on May 14, 2008; the Japanese Yen Fund commenced operations on May 21, 2008; the New Zealand Dollar Fund and South African Rand Fund commenced operations on June 25, 2008; the Emerging Currency Fund commenced operations on May 6, 2009; the Emerging Markets Local Debt Fund commenced operations on August 9, 2010 and the Commodity Currency Fund commenced operations on September 24, 2010.
2. SIGNIFICANT ACCOUNTING POLICIES
The Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“Codification”) has become the exclusive reference of authoritative U.S. generally accepted accounting principles (“GAAP”) recognized by the FASB to be applied by non governmental entities. Rules and interpretive releases of the Securities and Exchange Commission (“SEC”) under authority of federal laws are also sources of authoritative GAAP for SEC registrants. The Codification has superseded all existing non-SEC accounting and reporting standards.
Guarantees — In the normal course of business the Funds may enter into contracts that contain a variety of representations or that provide indemnification for certain liabilities. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, the Funds have not had prior claims or losses pursuant to these contracts and expect the risk of loss to be remote.
Investment Valuation — The net asset value (“NAV”) of each Fund’s shares is calculated each day the national securities exchanges are open for trading as of the close of regular trading on the New York Stock Exchange, generally 4:00 p.m. Eastern time. NAV per share is calculated by dividing a Fund’s net assets by the number of Fund shares outstanding. In calculating a Fund’s NAV, Fund investments generally are valued using market valuations. Short-term debt securities with remaining maturities of 60 days or less generally are valued on the basis of amortized cost which approximates fair value. U.S. fixed income assets may be valued as of the announced closing time for such securities on any day that the Securities Industry and Financial Markets Association announces an early closing time. Forward foreign currency contracts are valued daily using WM/Reuters closing spot and forward rates as of 4:00 p.m. London time for Europe and the Americas and Tullett Prebon closing spot and forward rates as of 2:00 p.m. Singapore time for Asia. The value of any assets or liabilities denominated in a currency other than the U.S. dollar is converted into U.S. dollars using the exchange rate prevailing on the respective dates of such transactions. In certain instances, such as when reliable market valuations are not readily available or are not deemed to reflect current market values, a Fund’s investments will be valued in accordance with the Fund’s pricing policy and procedures approved by the Board of Trustees. For these purposes, a price based on amortized cost is considered a market valuation. Securities that may be valued using fair value pricing may include, but are not limited to, securities for which there are no current market quotations or whose issuer is in default or bankruptcy, securities subject to corporate actions (such as mergers or reorganizations), securities subject to non-U.S. investment limits or currency controls, and securities affected by “significant events.” An example of a significant event is an event occurring after the close of the market in which a security trades but before a Fund’s next NAV calculation time that may materially affect the value of a Fund’s investment (e.g., government action, natural disaster, or significant market fluctuation). When fair-value pricing is employed, the prices of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities. Each Fund may invest in money market funds which are valued at NAV.
Fair Value Measurement — In accordance with Codification Topic 820 (“ASC 820”), Fair Value Measurements and Disclosures, fair value is defined as the price that each Fund would receive upon selling an investment in an orderly transaction to an independent buyer in the principal or most advantageous market of the investment. ASC 820 established a three-tier hierarchy to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classifications of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk — for example, the risk inherent in a particular valuation technique used to measure fair value (such as a pricing model) and/or the risk inherent in the inputs to the valuation technique. Inputs may be observable or unobservable. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The three-tier hierarchy of inputs is summarized in the three broad levels listed below:
Level 1 – quoted prices in active markets for identical securities
Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
Level 3 – significant unobservable inputs (including each Fund’s assumptions in determining the fair value of investments)
Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s NAV is computed and that may materially affect the value of the Fund’s investments).
The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.
The following is a summary of the inputs used as of November 30, 2010 in valuing each Fund’s assets carried at fair value:
| Brazilian Real Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 19,492,315 | $ | — | ||||||
| Money Market Fund |
— | 2,608,208 | — | |||||||||
| Repurchase Agreement |
— | 12,903,096 | — | |||||||||
| U.S. Government Agencies |
— | 800,558 | — | |||||||||
| U.S. Government Treasury |
— | 101,587,060 | — | |||||||||
| Total |
— | 137,391,237 | — | |||||||||
| Other Financial Instruments* |
— | 38,767 | — | |||||||||
| Total - Net |
$ | — | $ | 137,430,004 | $ | — | ||||||
| Chinese Yuan Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 30,610,112 | $ | — | ||||||
| Money Market Fund |
— | 11,482,100 | — | |||||||||
| Repurchase Agreement |
— | 204,274,553 | — | |||||||||
| U.S. Government Agencies |
— | 18,902,378 | — | |||||||||
| U.S. Government Treasury |
— | 389,451,873 | — | |||||||||
| Total |
— | 654,721,016 | — | |||||||||
| Other Financial Instruments* |
— | 1,577,984 | — | |||||||||
| Total - Net |
$ | — | $ | 656,299,000 | $ | — | ||||||
| Emerging Currency Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 5,916,728 | $ | — | ||||||
| Money Market Fund |
— | 5,142,137 | — | |||||||||
| Repurchase Agreement |
— | 78,015,578 | — | |||||||||
| U.S. Government Agencies |
— | 2,800,217 | — | |||||||||
| U.S. Government Treasury |
— | 201,179,096 | — | |||||||||
| Total |
293,053,756 | |||||||||||
| Other Financial Instruments* |
— | (3,896,691 | ) | — | ||||||||
| Total - Net |
$ | — | $ | 289,157,065 | $ | — | ||||||
| Euro Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 783,472 | $ | — | ||||||
| Foreign Government Obligations |
— | 3,311,008 | — | |||||||||
| Time Deposits |
— | 4,238,089 | — | |||||||||
| Total |
$ | — | $ | 8,332,569 | $ | — | ||||||
| Indian Rupee Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 1,630,586 | $ | — | ||||||
| Money Market Fund |
— | 500,974 | — | |||||||||
| Repurchase Agreement |
— | 7,206,092 | — | |||||||||
| U.S. Government Agencies |
— | 1,400,977 | — | |||||||||
| U.S. Government Treasury |
— | 13,298,872 | — | |||||||||
| Total |
— | 24,037,501 | — | |||||||||
| Other Financial Instruments* |
— | (717,842 | ) | — | ||||||||
| Total - Net |
$ | — | $ | 23,319,659 | $ | — | ||||||
| Japanese Yen Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Foreign Government Obligations |
$ | — | $ | 2,745,325 | $ | — | ||||||
| Repurchase Agreement |
— | 2,726,748 | — | |||||||||
| Time Deposits |
— | 6,084,603 | — | |||||||||
| Total |
$ | — | $ | 11,556,676 | $ | — | ||||||
| New Zealand Dollar Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 1,055,227 | $ | — | ||||||
| Money Market Fund |
— | 522,610 | — | |||||||||
| Repurchase Agreement |
— | 6,537,217 | — | |||||||||
| U.S. Government Agencies |
— | 900,628 | — | |||||||||
| U.S. Government Treasury |
— | 19,147,337 | — | |||||||||
| Total |
— | 28,163,019 | — | |||||||||
| Other Financial Instruments* |
— | 365,510 | — | |||||||||
| Total - Net |
$ | — | $ | 28,528,529 | $ | — | ||||||
| South African Rand Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 615,324 | $ | — | ||||||
| Money Market Fund |
— | 222,335 | — | |||||||||
| Repurchase Agreement |
— | 3,701,680 | — | |||||||||
| U.S. Government Agencies |
— | 100,070 | — | |||||||||
| U.S. Government Treasury |
— | 7,839,290 | — | |||||||||
| Total |
— | 12,478,699 | — | |||||||||
| Other Financial Instruments* |
— | (160,269 | ) | — | ||||||||
| Total - Net |
$ | — | $ | 12,318,430 | $ | — | ||||||
| Emerging Markets Local Debt Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Corporate Bonds |
$ | — | $ | 83,967,867 | $ | — | ||||||
| Foreign Government Obligations |
— | 301,624,033 | — | |||||||||
| Money Market Fund |
— | 6,187,716 | — | |||||||||
| Repurchase Agreement |
— | 35,007,973 | — | |||||||||
| Total |
— | 426,787,589 | — | |||||||||
| Other Financial Instruments* |
— | 363,452 | — | |||||||||
| Total - Net |
$ | — | $ | 427,151,041 | $ | — | ||||||
| Commodity Currency Fund | Level 1 | Level 2 | Level 3 | |||||||||
| Investments in Securities |
||||||||||||
| Money Market Fund |
$ | — | $ | 450,694 | $ | — | ||||||
| Repurchase Agreement |
— | 6,152,033 | — | |||||||||
| U.S. Government Treasury |
— | 18,697,053 | — | |||||||||
| Total |
— | 25,299,780 | — | |||||||||
| Other Financial Instruments* |
— | (315,363 | ) | — | ||||||||
| Total - Net |
$ | — | $ | 24,984,417 | $ | — | ||||||
| * | Other financial instruments include foreign forward currency and swap contracts. The fair value of these contracts is represented by net unrealized appreciation or depreciation in this table. |
In January 2010, FASB issued Accounting Standards Update No. 2010-06 “Improving Disclosures about Fair Value Measurements (“ASU 2010-06”).” ASU 2010-06 will require reporting entities to make new disclosures about amounts and reasons for significant transfers in and out of Level 1 and Level 2 fair value measurements, as well as inputs and valuation techniques used to measure fair value for both recurring and nonrecurring fair value measurements that fall in either Level 2 or Level 3, have been adopted by the Funds. No significant transfers between Level 1 or Level 2 fair value measurements occurred at November 30, 2010. ASU 2010-06 will also require information on purchases and sales, issuances and settlements on a gross basis in the reconciliation of activity in Level 3 fair value measurements. The new and revised disclosures are required to be implemented for fiscal years beginning after December 15, 2009, except for the disclosures surrounding purchases, sales, issuances and settlements on a gross basis in the reconciliation of Level 3 fair value measurements, which are effective for fiscal years beginning after December 15, 2010. Management is currently evaluating the impact the adoption of ASU 2010-06 may have on the Funds’ financial statement disclosures.
Derivative and Hedging Disclosure — Codification Topic 815 (“ASC 815”), Derivatives and Hedging, requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements. The application of this disclosure is effective for fiscal years beginning November 15, 2008 and interim periods within those fiscal years. The Funds have invested in derivatives, specifically forward foreign currency contracts and swaps during the period ended November 30, 2010 which are detailed in the forward foreign currency and swap agreement contract tables herein. The volume of the derivatives that is presented is consistent with the derivative activity during the period ended November 30, 2010. The Funds’ management is not aware of any credit-risk contingent feature on the forward foreign currency contracts held by the Funds.
Investment Transactions and Investment Income — Investment transactions are recorded as of the date that the securities are purchased or sold (trade date).
Foreign Currency Translation — The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates prevailing on the respective dates of such transactions.
Repurchase Agreements — Each Fund’s custodian or a third party custodian under tri-party repurchase agreements may take possession of the collateral pledged for investments in repurchase agreements. The underlying collateral is valued on a daily basis at fair value to ensure that the value, including accrued interest, is at least equal to the repurchase price. In the event of default of the obligation to repurchase, a Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligations. Under certain circumstances, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Forward Currency Contracts — A forward foreign currency contract (“Forward 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. These contracts are principally traded in the inter-bank market conducted directly between currency traders (usually large, commercial banks) and their customers. A forward contract generally has no margin deposit requirement, and no commissions are charged at any stage for trades.
Risks may arise upon entering into forward contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of foreign currencies relative to the U.S. dollar or each other.
Fluctuations in the value of open forward contracts are recorded for book purposes as unrealized gains or losses on forward contracts by the Funds. Realized gains and losses on forward contracts include net gains or losses recognized by the Funds on contracts which have matured. Each Fund may enter into forward contracts to manage its foreign currency exposure or to facilitate settlement of foreign currency denominated portfolio transactions. A Fund may invest in both forward contracts and U.S. dollar denominated money market securities in an attempt to create a “synthetic” investment in a foreign currency denominated instrument.
The following forward contracts were open as of November 30, 2010:
| Fund Name | Settlement Date | Contracts To Deliver |
In Exchange For |
Unrealized Gain (Loss) |
||||||||||||||||||
| Brazilian Real Fund |
||||||||||||||||||||||
| 12/02/10 | BRL | 9,854,673 | USD | 5,714,842 | $ | (27,640 | ) | |||||||||||||||
| 12/02/10 | BRL | 29,564,021 | USD | 17,467,664 | 240,217 | |||||||||||||||||
| 12/02/10 | BRL | 29,564,021 | USD | 17,472,826 | 245,379 | |||||||||||||||||
| 12/02/10 | BRL | 59,128,044 | USD | 34,217,618 | (237,276 | ) | ||||||||||||||||
| 12/02/10 | BRL | 59,128,043 | USD | 34,257,267 | (197,627 | ) | ||||||||||||||||
| 12/02/10 | BRL | 59,128,046 | USD | 34,207,721 | (247,174 | ) | ||||||||||||||||
| 12/02/10 | BRL | 59,128,044 | USD | 34,257,268 | (197,627 | ) | ||||||||||||||||
| 12/02/10 | BRL | 1,970,938 | USD | 1,148,498 | — | |||||||||||||||||
| 12/02/10 | BRL | 106,923,212 | USD | 62,305,933 | — | |||||||||||||||||
| 12/02/10 | BRL | 76,373,723 | USD | 44,504,238 | — | |||||||||||||||||
| 12/02/10 | USD | 44,512,019 | BRL | 76,373,723 | (7,781 | ) | ||||||||||||||||
| 12/02/10 | USD | 62,276,901 | BRL | 106,923,212 | 29,032 | |||||||||||||||||
| 12/02/10 | USD | 35,605,052 | BRL | 61,098,981 | (1,660 | ) | ||||||||||||||||
| 12/02/10 | USD | 35,647,011 | BRL | 61,098,976 | (43,621 | ) | ||||||||||||||||
| 12/02/10 | USD | 16,078,952 | BRL | 27,593,089 | — | |||||||||||||||||
| 12/02/10 | USD | 57,424,824 | BRL | 98,546,740 | — | |||||||||||||||||
| 12/02/10 | USD | 34,454,894 | BRL | 59,128,044 | — | |||||||||||||||||
| 1/04/11 | USD | 34,328,319 | BRL | 59,609,409 | 99,172 | |||||||||||||||||
| 1/04/11 | USD | 34,289,812 | BRL | 59,609,410 | 137,679 | |||||||||||||||||
| 1/04/11 | USD | 34,277,983 | BRL | 59,609,412 | 149,510 | |||||||||||||||||
| 1/04/11 | USD | 34,329,308 | BRL | 59,609,410 | 98,184 | |||||||||||||||||
| $ | 38,767 | |||||||||||||||||||||
| Chinese Yuan Fund |
||||||||||||||||||||||
| 12/21/10 | CNY | 33,506,419 | USD | 5,030,994 | $ | 9,786 | ||||||||||||||||
| 12/21/10 | CNY | 33,506,418 | USD | 5,021,193 | (15 | ) | ||||||||||||||||
| 12/21/10 | USD | 101,222,950 | CNY | 678,193,763 | 409,869 | |||||||||||||||||
| 12/21/10 | USD | 5,055,582 | CNY | 33,710,623 | (3,773 | ) | ||||||||||||||||
| 12/21/10 | USD | 5,062,885 | CNY | 33,759,314 | (3,778 | ) | ||||||||||||||||
| 12/21/10 | USD | 5,055,297 | CNY | 33,794,663 | 9,106 | |||||||||||||||||
| 12/21/10 | USD | 20,228,314 | CNY | 135,165,593 | 27,343 | |||||||||||||||||
| 12/21/10 | USD | 5,052,376 | CNY | 33,765,029 | 7,587 | |||||||||||||||||
| 12/21/10 | USD | 10,099,893 | CNY | 67,537,981 | 21,220 | |||||||||||||||||
| 12/21/10 | USD | 10,274,496 | CNY | 68,741,516 | 26,976 | |||||||||||||||||
| 12/21/10 | USD | 5,051,928 | CNY | 33,767,085 | 8,343 | |||||||||||||||||
| 3/11/11 | USD | 9,445,958 | CNY | 62,744,778 | (11,386 | ) | ||||||||||||||||
| 3/11/11 | USD | 5,362,910 | CNY | 35,574,863 | (13,722 | ) | ||||||||||||||||
| 3/11/11 | USD | 5,041,863 | CNY | 33,604,018 | 10,980 | |||||||||||||||||
| 3/11/11 | USD | 5,042,221 | CNY | 33,616,489 | 12,498 | |||||||||||||||||
| 3/11/11 | USD | 5,038,029 | CNY | 33,643,957 | 20,820 | |||||||||||||||||
| 3/11/11 | USD | 5,036,520 | CNY | 33,643,957 | 22,328 | |||||||||||||||||
| 3/11/11 | USD | 20,172,259 | CNY | 134,266,558 | 16,634 | |||||||||||||||||
| 3/11/11 | USD | 10,089,161 | CNY | 67,133,279 | 5,285 | |||||||||||||||||
| 3/11/11 | USD | 5,062,754 | CNY | 33,578,717 | (13,715 | ) | ||||||||||||||||
| 3/11/11 | USD | 10,126,272 | CNY | 67,157,433 | (28,193 | ) | ||||||||||||||||
| 3/11/11 | USD | 20,249,490 | CNY | 134,314,867 | (53,333 | ) | ||||||||||||||||
| 3/11/11 | USD | 5,058,512 | CNY | 33,555,641 | (12,943 | ) | ||||||||||||||||
| 3/11/11 | USD | 5,058,131 | CNY | 33,555,641 | (12,562 | ) | ||||||||||||||||
| 3/11/11 | USD | 25,281,871 | CNY | 167,858,984 | (41,878 | ) | ||||||||||||||||
| 3/11/11 | USD | 35,004,880 | CNY | 235,442,822 | 397,308 | |||||||||||||||||
| 5/27/11 | USD | 79,893,831 | CNY | 538,564,315 | 1,501,777 | |||||||||||||||||
| 5/27/11 | USD | 40,050,567 | CNY | 268,126,528 | 472,582 | |||||||||||||||||
| 5/27/11 | USD | 5,007,707 | CNY | 33,582,683 | 67,793 | |||||||||||||||||
| 5/27/11 | USD | 70,701,225 | CNY | 467,052,293 | (113,546 | ) | ||||||||||||||||
| 9/30/11 | CNY | 14,676,261 | USD | 2,278,923 | 44,277 | |||||||||||||||||
| 9/30/11 | CNY | 136,382 | USD | 21,092 | 326 | |||||||||||||||||
| 9/30/11 | USD | 47,175,908 | CNY | 309,709,834 | (18,678 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,144,270 | CNY | 33,129,100 | (99,947 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,118,414 | CNY | 33,095,667 | (79,181 | ) | ||||||||||||||||
| 9/30/11 | USD | 15,240,823 | CNY | 99,339,687 | (115,103 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,080,274 | CNY | 33,113,229 | (38,368 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,123,451 | CNY | 33,087,249 | (85,500 | ) | ||||||||||||||||
| 9/30/11 | USD | 15,332,918 | CNY | 99,180,980 | (231,362 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,122,208 | CNY | 33,086,902 | (84,310 | ) | ||||||||||||||||
| 9/30/11 | USD | 15,309,313 | CNY | 99,204,348 | (204,199 | ) | ||||||||||||||||
| 9/30/11 | USD | 5,117,499 | CNY | 33,089,750 | (79,167 | ) | ||||||||||||||||
| 9/30/11 | USD | 10,245,378 | CNY | 66,169,776 | (170,195 | ) | ||||||||||||||||
| $ | 1,577,984 | |||||||||||||||||||||
| Fund Name | Settlement Date | Contracts To Deliver |
In Exchange For |
Unrealized Gain (Loss) |
||||||||||||||||||
| Emerging Currency Fund |
||||||||||||||||||||||
| 12/02/10 | BRL | 10,508,379 | USD | 6,081,238 | $ | (28,640 | ) | |||||||||||||||
| 12/02/10 | BRL | 10,508,380 | USD | 6,088,285 | (21,593 | ) | ||||||||||||||||
| 12/02/10 | BRL | 10,508,379 | USD | 6,088,284 | (21,593 | ) | ||||||||||||||||
| 12/02/10 | BRL | 10,508,381 | USD | 6,079,480 | (30,399 | ) | ||||||||||||||||
| 12/02/10 | BRL | 3,279,362 | USD | 1,910,939 | 4,222 | |||||||||||||||||
| 12/02/10 | BRL | 330,002 | USD | 192,298 | 425 | |||||||||||||||||
| 12/02/10 | BRL | 655,683 | USD | 382,077 | 844 | |||||||||||||||||
| 12/02/10 | BRL | 25,288,829 | USD | 14,736,221 | 32,559 | |||||||||||||||||
| 12/02/10 | USD | 20,704,595 | BRL | 35,797,210 | 108,946 | |||||||||||||||||
| 12/02/10 | USD | 192,365 | BRL | 330,002 | (492 | ) | ||||||||||||||||
| 12/02/10 | USD | 194,769 | BRL | 329,647 | (3,103 | ) | ||||||||||||||||
| 12/02/10 | USD | 379,222 | BRL | 656,813 | 2,668 | |||||||||||||||||
| 12/02/10 | USD | 567,773 | BRL | 984,802 | 4,820 | |||||||||||||||||
| 12/02/10 | USD | 1,902,955 | BRL | 3,279,362 | 3,762 | |||||||||||||||||
| 12/02/10 | USD | 380,327 | BRL | 655,683 | 907 | |||||||||||||||||
| 12/02/10 | USD | 6,123,407 | BRL | 10,508,379 | (13,529 | ) | ||||||||||||||||
| 12/02/10 | USD | 5,740,672 | BRL | 9,851,567 | (12,684 | ) | ||||||||||||||||
| 12/02/10 | USD | 5,357,456 | BRL | 9,193,930 | (11,837 | ) | ||||||||||||||||
| 1/4/2011 | USD | 6,093,535 | BRL | 10,580,815 | 17,428 | |||||||||||||||||
| 1/4/2011 | USD | 6,093,360 | BRL | 10,580,815 | 17,603 | |||||||||||||||||
| 1/4/2011 | USD | 6,086,525 | BRL | 10,580,815 | 24,438 | |||||||||||||||||
| 1/4/2011 | USD | 6,084,426 | BRL | 10,580,816 | 26,538 | |||||||||||||||||
| 1/27/11 | USD | 20,458,484 | CLP | 10,204,691,715 | 367,272 | |||||||||||||||||
| 1/27/11 | USD | 194,401 | CLP | 95,305,178 | 98 | |||||||||||||||||
| 1/27/11 | USD | 198,827 | CLP | 95,357,506 | (4,221 | ) | ||||||||||||||||
| 1/27/11 | USD | 393,003 | CLP | 190,567,183 | (4,093 | ) | ||||||||||||||||
| 1/27/11 | USD | 587,713 | CLP | 285,922,242 | (4,202 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,978,126 | CLP | 953,456,832 | (32,310 | ) | ||||||||||||||||
| 1/27/11 | USD | 396,137 | CLP | 190,641,001 | (7,077 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,730,774 | CNY | 137,590,147 | (94,293 | ) | ||||||||||||||||
| 1/27/11 | USD | 191,477 | CNY | 1,263,171 | (2,020 | ) | ||||||||||||||||
| 1/27/11 | USD | 191,236 | CNY | 1,259,862 | (2,275 | ) | ||||||||||||||||
| 1/27/11 | USD | 385,261 | CNY | 2,554,282 | (2,157 | ) | ||||||||||||||||
| 1/27/11 | USD | 576,582 | CNY | 3,828,214 | (2,406 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,931,769 | CNY | 12,792,173 | (13,133 | ) | ||||||||||||||||
| 1/27/11 | USD | 385,987 | CNY | 2,554,269 | (2,885 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,627,354 | ILS | 75,308,407 | (156,827 | ) | ||||||||||||||||
| 1/27/11 | USD | 192,239 | ILS | 696,993 | (2,781 | ) | ||||||||||||||||
| 1/27/11 | USD | 194,341 | ILS | 697,958 | (4,621 | ) | ||||||||||||||||
| 1/27/11 | USD | 379,202 | ILS | 1,394,486 | (149 | ) | ||||||||||||||||
| 1/27/11 | USD | 569,361 | ILS | 2,091,207 | (924 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,914,728 | ILS | 6,974,206 | (18,981 | ) | ||||||||||||||||
| 1/27/11 | USD | 384,430 | ILS | 1,395,077 | (5,216 | ) | ||||||||||||||||
| 1/27/11 | USD | 10,406,431 | INR | 469,330,046 | (312,845 | ) | ||||||||||||||||
| 1/27/11 | USD | 10,401,818 | INR | 469,330,045 | (308,232 | ) | ||||||||||||||||
| 1/27/11 | USD | 192,151 | INR | 8,623,749 | (6,686 | ) | ||||||||||||||||
| 1/27/11 | USD | 193,033 | INR | 8,593,825 | (8,211 | ) | ||||||||||||||||
| 1/27/11 | USD | 377,294 | INR | 17,223,459 | (6,880 | ) | ||||||||||||||||
| 1/27/11 | USD | 566,109 | INR | 25,825,915 | (10,688 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,876,492 | INR | 85,868,259 | (29,777 | ) | ||||||||||||||||
| 1/27/11 | USD | 376,616 | INR | 17,173,698 | (7,272 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,596,555 | KRW | 23,377,089,972 | (485,806 | ) | ||||||||||||||||
| 1/27/11 | USD | 193,231 | KRW | 216,321,681 | (7,134 | ) | ||||||||||||||||
| 1/27/11 | USD | 195,167 | KRW | 216,654,834 | (8,784 | ) | ||||||||||||||||
| 1/27/11 | USD | 379,664 | KRW | 430,729,018 | (9,118 | ) | ||||||||||||||||
| 1/27/11 | USD | 572,838 | KRW | 648,968,629 | (14,546 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,903,236 | KRW | 2,164,550,724 | (41,125 | ) | ||||||||||||||||
| 1/27/11 | USD | 383,218 | KRW | 432,998,447 | (10,720 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,601,036 | MXN | 258,998,285 | 47,248 | |||||||||||||||||
| 1/27/11 | USD | 193,028 | MXN | 2,395,413 | (2,057 | ) | ||||||||||||||||
| 1/27/11 | USD | 195,192 | MXN | 2,396,338 | (4,147 | ) | ||||||||||||||||
| 1/27/11 | USD | 385,732 | MXN | 4,784,504 | (4,294 | ) | ||||||||||||||||
| 1/27/11 | USD | 574,236 | MXN | 7,176,515 | (2,098 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,934,696 | MXN | 23,933,349 | (26,642 | ) | ||||||||||||||||
| 1/27/11 | USD | 387,264 | MXN | 4,790,360 | (5,359 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,782,495 | MYR | 64,806,053 | (329,004 | ) | ||||||||||||||||
| 1/27/11 | USD | 192,011 | MYR | 596,194 | (3,846 | ) | ||||||||||||||||
| 1/27/11 | USD | 193,174 | MYR | 596,716 | (4,844 | ) | ||||||||||||||||
| 1/27/11 | USD | 379,619 | MYR | 1,192,004 | (3,410 | ) | ||||||||||||||||
| 1/27/11 | USD | 569,387 | MYR | 1,787,876 | (5,114 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,904,689 | MYR | 5,961,675 | (23,119 | ) | ||||||||||||||||
| 1/27/11 | USD | 382,951 | MYR | 1,192,700 | (6,522 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,403,936 | PLN | 59,226,504 | (1,348,085 | ) | ||||||||||||||||
| 1/27/11 | USD | 192,599 | PLN | 553,518 | (14,507 | ) | ||||||||||||||||
| 1/27/11 | USD | 197,419 | PLN | 554,136 | (19,129 | ) | ||||||||||||||||
| 1/27/11 | USD | 380,910 | PLN | 1,106,164 | (25,007 | ) | ||||||||||||||||
| 1/27/11 | USD | 565,675 | PLN | 1,658,532 | (32,050 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,907,983 | PLN | 5,527,521 | (129,529 | ) | ||||||||||||||||
| 1/27/11 | USD | 379,734 | PLN | 1,105,557 | (24,026 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,430,621 | TRY | 30,033,013 | (678,096 | ) | ||||||||||||||||
| 1/27/11 | USD | 193,955 | TRY | 281,113 | (9,069 | ) | ||||||||||||||||
| 1/27/11 | USD | 197,929 | TRY | 280,594 | (13,384 | ) | ||||||||||||||||
| 1/27/11 | USD | 381,490 | TRY | 558,483 | (14,180 | ) | ||||||||||||||||
| 1/27/11 | USD | 566,001 | TRY | 836,691 | (15,715 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,910,634 | TRY | 2,788,571 | (76,609 | ) | ||||||||||||||||
| 1/27/11 | USD | 380,652 | TRY | 557,883 | (13,735 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,665,502 | TWD | 630,504,480 | 96,453 | |||||||||||||||||
| 1/27/11 | USD | 192,752 | TWD | 5,824,975 | (941 | ) | ||||||||||||||||
| 1/27/11 | USD | 195,476 | TWD | 5,844,718 | (3,014 | ) | ||||||||||||||||
| 1/27/11 | USD | 388,945 | TWD | 11,740,302 | (2,347 | ) | ||||||||||||||||
| 1/27/11 | USD | 585,071 | TWD | 17,625,269 | (4,687 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,940,207 | TWD | 58,671,873 | (8,194 | ) | ||||||||||||||||
| 1/27/11 | USD | 390,461 | TWD | 11,763,405 | (3,102 | ) | ||||||||||||||||
| 1/27/11 | USD | 20,471,715 | ZAR | 146,526,297 | 13,515 | |||||||||||||||||
| 1/27/11 | USD | 192,975 | ZAR | 1,369,013 | (1,579 | ) | ||||||||||||||||
| 1/27/11 | USD | 199,155 | ZAR | 1,368,839 | (7,783 | ) | ||||||||||||||||
| 1/27/11 | USD | 386,642 | ZAR | 2,730,118 | (4,956 | ) | ||||||||||||||||
| 1/27/11 | USD | 574,059 | ZAR | 4,093,325 | (1,788 | ) | ||||||||||||||||
| 1/27/11 | USD | 1,923,931 | ZAR | 13,632,207 | (18,069 | ) | ||||||||||||||||
| 1/27/11 | USD | 385,248 | ZAR | 2,726,013 | (4,135 | ) | ||||||||||||||||
| $ | (3,896,691 | ) | ||||||||||||||||||||
| Fund Name | Settlement Date | Contracts To Deliver |
In Exchange For |
Unrealized Gain (Loss) |
||||||||||||||||||
| Indian Rupee Fund |
||||||||||||||||||||||
| 1/27/11 | USD | 12,022,456 | INR | 542,453,201 | $ | (356,255 | ) | |||||||||||||||
| 1/27/11 | USD | 12,027,787 | INR | 542,453,202 | (361,587 | ) | ||||||||||||||||
| $ | (717,842 | ) | ||||||||||||||||||||
| New Zealand Dollar Fund |
||||||||||||||||||||||
| 12/15/10 | USD | 9,245,413 | NZD | 12,815,629 | $ | 278,980 | ||||||||||||||||
| 12/15/10 | USD | 9,245,579 | NZD | 12,815,629 | 278,813 | |||||||||||||||||
| 12/15/10 | USD | 2,395,490 | NZD | 3,201,029 | (16,531 | ) | ||||||||||||||||
| 12/15/10 | USD | 2,370,137 | NZD | 3,201,157 | 8,918 | |||||||||||||||||
| 12/15/10 | USD | 2,476,180 | NZD | 3,200,522 | (97,598 | ) | ||||||||||||||||
| 12/15/10 | USD | 2,465,403 | NZD | 3,200,185 | (87,072 | ) | ||||||||||||||||
| $ | 365,510 | |||||||||||||||||||||
| South African Rand Fund |
||||||||||||||||||||||
| 1/27/11 | USD | 12,490,686 | ZAR | 88,196,732 | $ | (160,269 | ) | |||||||||||||||
| Emerging Markets Local Debt Fund |
||||||||||||||||||||||
| 12/02/10 | RUB | 802,500 | USD | 25,509 | $ | 34 | ||||||||||||||||
| 12/02/10 | USD | 2,675,689 | PLN | 8,347,081 | 19,134 | |||||||||||||||||
| 12/03/10 | USD | 568,667 | MXN | 7,096,278 | (3 | ) | ||||||||||||||||
| 12/03/10 | USD | 173,816 | RUB | 5,471,729 | (119 | ) | ||||||||||||||||
| 12/03/10 | USD | 383,689 | ZAR | 2,719,395 | (257 | ) | ||||||||||||||||
| 12/15/10 | IDR | 16,616,842,000 | USD | 1,812,483 | (24,675 | ) | ||||||||||||||||
| 12/15/10 | IDR | 72,000,000,000 | USD | 8,010,235 | 49,915 | |||||||||||||||||
| 12/15/10 | KRW | 3,249,918,000 | USD | 2,822,825 | 20,398 | |||||||||||||||||
| 12/15/10 | MXN | 28,926,000 | USD | 2,235,774 | (80,882 | ) | ||||||||||||||||
| 12/15/10 | PHP | 264,000,000 | USD | 5,931,251 | (50,396 | ) | ||||||||||||||||
| 12/15/10 | PHP | 5,000,000 | USD | 112,943 | (345 | ) | ||||||||||||||||
| 12/15/10 | PHP | 127,490,000 | USD | 2,896,184 | 7,546 | |||||||||||||||||
| 12/15/10 | PHP | 27,370,000 | USD | 635,330 | 15,187 | |||||||||||||||||
| 12/15/10 | PHP | 101,777,050 | USD | 2,356,496 | 50,456 | |||||||||||||||||
| 12/15/10 | USD | 1,426,001 | IDR | 12,955,221,000 | 6,328 | |||||||||||||||||
| 12/15/10 | USD | 1,096,927 | IDR | 9,965,580,000 | 4,868 | |||||||||||||||||
| 12/15/10 | USD | 1,092,026 | IDR | 9,981,120,000 | 11,486 | |||||||||||||||||
| 12/15/10 | USD | 2,204,789 | IDR | 20,118,700,000 | 19,534 | |||||||||||||||||
| 12/15/10 | USD | 551,009 | IDR | 4,980,570,000 | (357 | ) | ||||||||||||||||
| 12/15/10 | USD | 2,758,704 | IDR | 24,897,300,000 | (6,058 | ) | ||||||||||||||||
| 12/15/10 | USD | 881,993 | IDR | 7,952,928,000 | (2,717 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,150,149 | IDR | 10,362,841,000 | (4,433 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,402,791 | IDR | 12,529,732,800 | (17,504 | ) | ||||||||||||||||
| 12/15/10 | USD | 593,277 | IDR | 5,312,795,000 | (5,894 | ) | ||||||||||||||||
| 12/15/10 | USD | 4,632,725 | IDR | 41,416,560,900 | (53,710 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,195,859 | IDR | 10,679,020,000 | (15,186 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,451,703 | IDR | 13,000,000,000 | (14,423 | ) | ||||||||||||||||
| 12/15/10 | USD | 591,073 | IDR | 5,281,233,000 | (7,179 | ) | ||||||||||||||||
| 12/15/10 | USD | 597,510 | IDR | 5,317,840,000 | (9,570 | ) | ||||||||||||||||
| 12/15/10 | USD | 592,828 | IDR | 5,276,173,000 | (9,495 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,852,579 | KRW | 2,149,918,000 | 1,310 | |||||||||||||||||
| 12/15/10 | USD | 952,793 | KRW | 1,100,000,000 | (4,256 | ) | ||||||||||||||||
| 12/15/10 | USD | 1,098,719 | MXN | 14,413,000 | 55,604 | |||||||||||||||||
| 12/15/10 | USD | 1,101,234 | MXN | 14,513,000 | 61,098 | |||||||||||||||||
| 12/15/10 | USD | 397,786 | PHP | 17,252,000 | (6,895 | ) | ||||||||||||||||
| 12/15/10 | USD | 368,615 | PHP | 16,842,000 | 12,987 | |||||||||||||||||
| 12/15/10 | USD | 367,816 | PHP | 16,743,000 | 11,542 | |||||||||||||||||
| 12/15/10 | USD | 365,951 | PHP | 16,713,000 | 12,728 | |||||||||||||||||
| 12/15/10 | USD | 550,155 | PHP | 24,867,000 | 13,276 | |||||||||||||||||
| 12/15/10 | USD | 5,864,285 | PHP | 260,667,450 | 41,855 | |||||||||||||||||
| 12/15/10 | USD | 367,448 | PHP | 16,300,000 | 1,873 | |||||||||||||||||
| 12/15/10 | USD | 184,413 | PHP | 8,199,000 | 1,358 | |||||||||||||||||
| 12/15/10 | USD | 184,158 | PHP | 8,184,000 | 1,273 | |||||||||||||||||
| 12/15/10 | USD | 183,387 | PHP | 8,120,000 | 594 | |||||||||||||||||
| 12/15/10 | USD | 383,167 | PHP | 16,936,000 | 564 | |||||||||||||||||
| 12/15/10 | USD | 935,612 | PHP | 41,064,000 | (5,194 | ) | ||||||||||||||||
| 12/15/10 | USD | 197,569 | PHP | 8,614,000 | (2,395 | ) | ||||||||||||||||
| 12/15/10 | USD | 119,723 | PHP | 5,193,600 | (2,048 | ) | ||||||||||||||||
| 12/15/10 | USD | 985,230 | PHP | 43,025,000 | (10,380 | ) | ||||||||||||||||
| 12/15/10 | USD | 197,032 | PHP | 8,431,000 | (6,004 | ) | ||||||||||||||||
| 12/15/10 | USD | 198,271 | PHP | 8,486,000 | (5,997 | ) | ||||||||||||||||
| $ | 74,576 | |||||||||||||||||||||
| Fund Name | Settlement Date | Contracts To Deliver |
In Exchange For |
Unrealized Gain (Loss) |
||||||||||||||||||
| Commodity Currency Fund |
||||||||||||||||||||||
| 12/02/10 | AUD | 2,630,910 | USD | 2,535,540 | $ | 12,367 | ||||||||||||||||
| 12/02/10 | AUD | 659,072 | USD | 635,020 | 2,938 | |||||||||||||||||
| 12/02/10 | BRL | 1,337,796 | USD | 775,085 | (2,749 | ) | ||||||||||||||||
| 12/02/10 | BRL | 1,592,521 | USD | 921,331 | (4,607 | ) | ||||||||||||||||
| 12/02/10 | BRL | 1,083,070 | USD | 627,539 | (2,189 | ) | ||||||||||||||||
| 12/02/10 | BRL | 1,337,795 | USD | 774,187 | (3,646 | ) | ||||||||||||||||
| 12/02/10 | BRL | 2,700,350 | USD | 1,573,539 | 3,477 | |||||||||||||||||
| 12/02/10 | BRL | 529,007 | USD | 308,261 | 681 | |||||||||||||||||
| 12/02/10 | CAD | 643,867 | USD | 631,515 | 4,636 | |||||||||||||||||
| 12/02/10 | CAD | 2,560,295 | USD | 2,511,324 | 18,582 | |||||||||||||||||
| 12/02/10 | CLP | 309,913,283 | USD | 642,001 | 6,477 | |||||||||||||||||
| 12/02/10 | CLP | 1,237,456,825 | USD | 2,562,022 | 24,430 | |||||||||||||||||
| 12/02/10 | CLP | 309,395,337 | USD | 634,176 | (286 | ) | ||||||||||||||||
| 12/02/10 | CLP | 309,281,030 | USD | 633,941 | (286 | ) | ||||||||||||||||
| 12/02/10 | CLP | 618,780,458 | USD | 1,268,331 | (572 | ) | ||||||||||||||||
| 12/02/10 | NOK | 3,692,974 | USD | 598,165 | 3,493 | |||||||||||||||||
| 12/02/10 | NOK | 15,090,411 | USD | 2,444,484 | 14,505 | |||||||||||||||||
| 12/02/10 | NZD | 3,413,701 | USD | 2,563,519 | 23,895 | |||||||||||||||||
| 12/02/10 | NZD | 851,818 | USD | 639,571 | 5,860 | |||||||||||||||||
| 12/02/10 | RUB | 19,481,731 | USD | 619,835 | 1,397 | |||||||||||||||||
| 12/02/10 | RUB | 77,577,295 | USD | 2,468,256 | 5,602 | |||||||||||||||||
| 12/02/10 | USD | 625,229 | AUD | 659,072 | 6,854 | |||||||||||||||||
| 12/02/10 | USD | 316,940 | AUD | 329,658 | (781 | ) | ||||||||||||||||
| 12/02/10 | USD | 317,470 | AUD | 329,545 | (1,421 | ) | ||||||||||||||||
| 12/02/10 | USD | 322,025 | AUD | 329,424 | (6,091 | ) | ||||||||||||||||
| 12/02/10 | USD | 324,864 | AUD | 329,324 | (9,026 | ) | ||||||||||||||||
| 12/02/10 | USD | 318,577 | AUD | 329,308 | (2,754 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,668 | AUD | 329,135 | (5,012 | ) | ||||||||||||||||
| 12/02/10 | USD | 322,670 | AUD | 327,308 | (8,765 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,756 | AUD | 327,208 | (6,947 | ) | ||||||||||||||||
| 12/02/10 | USD | 2,176,626 | BRL | 3,763,278 | 11,453 | |||||||||||||||||
| 12/02/10 | USD | 307,117 | BRL | 529,593 | 804 | |||||||||||||||||
| 12/02/10 | USD | 305,603 | BRL | 529,304 | 2,150 | |||||||||||||||||
| 12/02/10 | USD | 305,784 | BRL | 529,007 | 1,796 | |||||||||||||||||
| 12/02/10 | USD | 779,555 | BRL | 1,337,795 | (1,722 | ) | ||||||||||||||||
| 12/02/10 | USD | 631,123 | BRL | 1,083,070 | (1,394 | ) | ||||||||||||||||
| 12/02/10 | USD | 471,122 | BRL | 808,492 | (1,041 | ) | ||||||||||||||||
| 12/02/10 | USD | 625,228 | CAD | 643,867 | 1,650 | |||||||||||||||||
| 12/02/10 | USD | 311,346 | CAD | 319,843 | 58 | |||||||||||||||||
| 12/02/10 | USD | 312,156 | CAD | 319,929 | (669 | ) | ||||||||||||||||
| 12/02/10 | USD | 314,622 | CAD | 320,242 | (2,830 | ) | ||||||||||||||||
| 12/02/10 | USD | 314,538 | CAD | 319,189 | (3,771 | ) | ||||||||||||||||
| 12/02/10 | USD | 309,071 | CAD | 319,225 | 1,731 | |||||||||||||||||
| 12/02/10 | USD | 311,866 | CAD | 319,557 | (741 | ) | ||||||||||||||||
| 12/02/10 | USD | 318,578 | CAD | 321,143 | (5,909 | ) | ||||||||||||||||
| 12/02/10 | USD | 314,655 | CAD | 321,167 | (1,962 | ) | ||||||||||||||||
| 12/02/10 | USD | 625,229 | CLP | 309,913,283 | 10,295 | |||||||||||||||||
| 12/02/10 | USD | 320,335 | CLP | 154,661,043 | (3,179 | ) | ||||||||||||||||
| 12/02/10 | USD | 321,382 | CLP | 154,619,987 | (4,310 | ) | ||||||||||||||||
| 12/02/10 | USD | 319,057 | CLP | 154,678,813 | (1,865 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,665 | CLP | 154,400,172 | (4,044 | ) | ||||||||||||||||
| 12/02/10 | USD | 317,002 | CLP | 154,554,123 | (65 | ) | ||||||||||||||||
| 12/02/10 | USD | 313,649 | CLP | 154,613,236 | 3,409 | |||||||||||||||||
| 12/02/10 | USD | 320,675 | CLP | 154,934,286 | (2,959 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,403 | CLP | 154,995,165 | (2,562 | ) | ||||||||||||||||
| 12/02/10 | USD | 2,536,448 | CLP | 1,237,456,825 | 1,144 | |||||||||||||||||
| 12/02/10 | USD | 625,229 | NOK | 3,692,974 | (30,556 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,742 | NOK | 1,884,101 | (17,349 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,864 | NOK | 1,884,306 | (17,438 | ) | ||||||||||||||||
| 12/02/10 | USD | 322,582 | NOK | 1,885,204 | (19,011 | ) | ||||||||||||||||
| 12/02/10 | USD | 323,325 | NOK | 1,888,528 | (19,219 | ) | ||||||||||||||||
| 12/02/10 | USD | 318,569 | NOK | 1,888,659 | (14,442 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,315 | NOK | 1,890,019 | (15,969 | ) | ||||||||||||||||
| 12/02/10 | USD | 314,377 | NOK | 1,884,816 | (10,869 | ) | ||||||||||||||||
| 12/02/10 | USD | 312,542 | NOK | 1,884,778 | (9,040 | ) | ||||||||||||||||
| 12/02/10 | USD | 625,228 | NZD | 851,818 | 8,482 | |||||||||||||||||
| 12/02/10 | USD | 312,124 | NZD | 426,300 | 5,022 | |||||||||||||||||
| 12/02/10 | USD | 314,780 | NZD | 426,266 | 2,340 | |||||||||||||||||
| 12/02/10 | USD | 319,364 | NZD | 426,353 | (2,179 | ) | ||||||||||||||||
| 12/02/10 | USD | 322,498 | NZD | 427,660 | (4,340 | ) | ||||||||||||||||
| 12/02/10 | USD | 318,279 | NZD | 427,649 | (129 | ) | ||||||||||||||||
| 12/02/10 | USD | 321,438 | NZD | 427,734 | (3,225 | ) | ||||||||||||||||
| 12/02/10 | USD | 329,852 | NZD | 425,896 | (13,007 | ) | ||||||||||||||||
| 12/02/10 | USD | 328,411 | NZD | 425,843 | (11,605 | ) | ||||||||||||||||
| 12/02/10 | USD | 625,229 | RUB | 19,481,731 | (6,790 | ) | ||||||||||||||||
| 12/02/10 | USD | 315,551 | RUB | 9,686,625 | (8,054 | ) | ||||||||||||||||
| 12/02/10 | USD | 316,737 | RUB | 9,687,727 | (9,205 | ) | ||||||||||||||||
| 12/02/10 | USD | 323,493 | RUB | 9,686,019 | (16,015 | ) | ||||||||||||||||
| 12/02/10 | USD | 317,928 | RUB | 9,688,064 | (10,385 | ) | ||||||||||||||||
| 12/02/10 | USD | 315,074 | RUB | 9,689,797 | (7,476 | ) | ||||||||||||||||
| 12/02/10 | USD | 315,583 | RUB | 9,693,764 | (7,859 | ) | ||||||||||||||||
| 12/02/10 | USD | 313,393 | RUB | 9,723,033 | (4,740 | ) | ||||||||||||||||
| 12/02/10 | USD | 310,202 | RUB | 9,722,266 | (1,573 | ) | ||||||||||||||||
| 12/02/10 | USD | 625,229 | ZAR | 4,437,866 | 506 | |||||||||||||||||
| 12/02/10 | USD | 316,671 | ZAR | 2,228,985 | (2,387 | ) | ||||||||||||||||
| 12/02/10 | USD | 318,508 | ZAR | 2,228,329 | (4,316 | ) | ||||||||||||||||
| 12/02/10 | USD | 322,549 | ZAR | 2,226,472 | (8,618 | ) | ||||||||||||||||
| 12/02/10 | USD | 325,173 | ZAR | 2,249,305 | (8,024 | ) | ||||||||||||||||
| 12/02/10 | USD | 320,293 | ZAR | 2,249,017 | (3,184 | ) | ||||||||||||||||
| 12/02/10 | USD | 319,445 | ZAR | 2,246,673 | (2,666 | ) | ||||||||||||||||
| 12/02/10 | USD | 321,153 | ZAR | 2,248,811 | (4,073 | ) | ||||||||||||||||
| 12/02/10 | USD | 319,689 | ZAR | 2,247,944 | (2,731 | ) | ||||||||||||||||
| 12/02/10 | ZAR | 17,925,536 | USD | 2,509,507 | (17,975 | ) | ||||||||||||||||
| 12/02/10 | ZAR | 4,437,866 | USD | 621,096 | (4,639 | ) | ||||||||||||||||
| 1/04/11 | USD | 794,070 | BRL | 1,378,862 | 2,294 | |||||||||||||||||
| 1/04/11 | USD | 943,880 | BRL | 1,641,408 | 4,117 | |||||||||||||||||
| 1/04/11 | USD | 642,470 | BRL | 1,116,317 | 2,260 | |||||||||||||||||
| 1/04/11 | USD | 793,179 | BRL | 1,378,862 | 3,185 | |||||||||||||||||
| 3/02/11 | USD | 2,499,736 | AUD | 2,622,990 | (12,169 | ) | ||||||||||||||||
| 3/02/11 | USD | 626,057 | AUD | 657,088 | (2,894 | ) | ||||||||||||||||
| 3/02/11 | USD | 640,038 | CAD | 653,748 | (4,696 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,545,345 | CAD | 2,599,586 | (18,948 | ) | ||||||||||||||||
| 3/02/11 | USD | 627,213 | CLP | 305,036,728 | (6,418 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,500,996 | CLP | 1,217,985,167 | (22,217 | ) | ||||||||||||||||
| 3/02/11 | USD | 612,081 | NOK | 3,795,855 | (3,479 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,501,441 | NOK | 15,510,811 | (14,539 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,457,479 | NZD | 3,296,152 | (22,776 | ) | ||||||||||||||||
| 3/02/11 | USD | 613,100 | NZD | 822,486 | (5,571 | ) | ||||||||||||||||
| 3/02/11 | USD | 632,360 | RUB | 20,038,860 | (1,612 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,518,012 | RUB | 79,795,813 | (6,341 | ) | ||||||||||||||||
| 3/02/11 | USD | 2,510,802 | ZAR | 18,173,307 | 17,219 | |||||||||||||||||
| 3/02/11 | USD | 621,437 | ZAR | 4,499,207 | 4,431 | |||||||||||||||||
| $ | (315,363 | ) | ||||||||||||||||||||
Currency Legend:
AUD – Australian dollar
BRL – Brazilian real
CAD – Canadian dollar
CLP – Chilean peso
CNY – Chinese yuan
ILS – Israeli new shekel
IDR – Indonesian rupiah
INR – Indian rupee
KRW – South Korean won
MXN – Mexican peso
MYR—Malaysian ringgit
NOK – Norwegian krone
NZD – New Zealand dollar
PHP—Philippine peso
PLN – Polish zloty
RUB—Russian ruble
TRY – Turkish new lira
TWD – New Taiwan dollar
USD – U.S. dollar
ZAR – South African rand
Currency, Interest Rate and Total Return Swaps — Each Fund may enter into swap agreements, including interest rate swaps, currency swaps and total return swaps. A typical interest rate swap involves the exchange of a floating interest rate payment for a fixed interest payment. A typical foreign currency swap involves the exchange of cash flows based on the notional difference among two or more currencies (e.g., the U.S. dollar and the Brazilian real). A typical total return swap involves the payment of the total return on a reference asset in return for payments equal to a rate of interest on another reference asset. The total return includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Swap agreements may be used to achieve exposure to, for example, currencies, interest rates, and money market securities without actually purchasing such currencies or securities. Each Fund will use swap agreements to invest in a market without owning or taking physical custody of the underlying securities in circumstances in which direct investment is restricted for legal reasons or is otherwise impracticable. Swap agreements will tend to shift a Fund’s investment exposure from one type of investment to another or from one payment stream to another. Depending on their structure, swap agreements may increase or decrease a Fund’s exposure to long or short term interest rates (in the United States or abroad), foreign currencies, corporate borrowing rates, or other factors, and may increase or decrease the overall volatility of a Fund’s investments and its share price.
Detailed below are the swap agreements outstanding as of November 30, 2010:
| Fund | Counterparty | ASC 820 Level* |
Termination Date |
Notional Amount (000) |
Fixed Rate Paid** |
Floating Rate Received |
Unrealized Appreciation/ |
|||||||||||||||||||
| Emerging Markets Local Debt Fund |
Citibank, N.A. | Level 2 | 5/15/2016 | $ | 8,039,450 | 10.75 | % | 3 Month LIBOR | $ | (251,977 | ) | |||||||||||||||
| Citibank, N.A. | Level 2 | 5/17/2016 | 6,196,448 | 10.75 | % | 3 Month LIBOR | 54,345 | |||||||||||||||||||
| Citibank, N.A. | Level 2 | 7/15/2017 | 13,826,933 | 10.00 | % | 3 Month LIBOR | 486,508 | |||||||||||||||||||
| $ | 288,876 | |||||||||||||||||||||||||
| * | ASC 820 level is not a part of regular reporting requirements for each security listed. |
| ** | Reference asset is Indonesian Treasury Bond. |
Short-Term Investments — Each Fund may invest a portion of its assets in high-quality money market instruments on an ongoing basis to provide liquidity or for other reasons. The instruments include short-term obligations issued by the U.S. Government, its agencies, non-U.S. Government, agencies, negotiable certificates of deposit (“CDs”), fixed time deposits and bankers’ acceptances of U.S. and foreign banks and similar institutions, commercial papers, repurchase agreements and money market funds. CDs are short-term negotiable obligations of commercial banks. Time deposits are non-negotiable deposits maintained in banking institutions for specified periods of time at stated interest rates. Banker’s acceptances are time drafts drawn on commercial banks by borrowers, usually in connection with international transactions.
3. FEDERAL INCOME TAXES
At November 30, 2010, the cost of investments for Federal income tax purposes was substantially the same, as for book purposes, as indicated below:
| Fund | Tax Cost | Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation/ (Depreciation) |
||||||||||
| Brazilian Real Fund |
$137,387,957 | $ | 4,061 | $ | (781 | ) | $ | 3,280 | ||||||
| Chinese Yuan Fund |
654,714,527 | 8,655 | (2,166 | ) | 6,489 | |||||||||
| Emerging Currency Fund |
293,054,133 | 1,519 | (1,896 | ) | (377 | ) | ||||||||
| Euro Fund |
8,681,237 | 8,623 | (357,291 | ) | (348,668 | ) | ||||||||
| Indian Rupee Fund |
24,037,132 | 462 | (93 | ) | 369 | |||||||||
| Japanese Yen Fund |
11,615,828 | 10,033 | (69,185 | ) | (59,152 | ) | ||||||||
| New Zealand Dollar Fund |
28,162,722 | 459 | (162 | ) | 297 | |||||||||
| South African Rand Fund |
12,478,611 | 169 | (81 | ) | 88 | |||||||||
| Emerging Markets Local Debt Fund |
433,642,583 | 2,210,774 | (9,065,768 | ) | (6,854,994 | ) | ||||||||
| Commodity Currency Fund |
25,299,773 | 91 | (84 | ) | 7 | |||||||||
4. SUBSEQUENT EVENT
In accordance with GAAP provisions, management of the Funds has evaluated the possibility of subsequent events existing through the date this report was issued. Management has determined that there are no material events that would require disclosure in the Funds’ report as of November 30, 2010.
| Item 2. | Controls and Procedures. |
| (a) | Based on their evaluation of the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3 (c) under the Investment Company Act of 1940) as of a date within 90 days prior to the filing date of this report, the President and Treasurer of the Registrant have concluded that such disclosure controls and procedures are reasonably designed and effective to ensure that material information relating to the Registrant, including its consolidated subsidiaries, is made known to them by others within those entities. |
| (b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3 (d) under the Investment Company Act of 1940) 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. |
| Item 3. | Exhibits. |
| (i) | Certification of each principal executive officer and principal financial officer of the Registrant as required by Rule 30a-2 (a) under the Investment Company Act of 1940 (17 CFR 270.30a-2) is attached hereto as a part of EX-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.
| (Registrant) | WisdomTree Trust |
| By: | /s/ Jonathan L. Steinberg | |
| Jonathan L. Steinberg President
| ||
| Date: | January 31, 2011 | |
| By: | /s/ Amit Muni | |
| Amit Muni Treasurer
| ||
| Date: | January 31, 2011 | |
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/ Jonathan L. Steinberg | |
| Jonathan L. Steinberg President
| ||
| Date: | January 31, 2011 | |
| By: | /s/ Amit Muni | |
| Amit Muni Treasurer
| ||
| Date: | January 31, 2011 | |