N-Q 1 c48433nvq.htm FORM N-Q nvq
 
 
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-Q
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-4269
Van Kampen Trust
 
(Exact name of registrant as specified in charter)
522 Fifth Avenue, New York, New York 10036
 
(Address of principal executive offices)     (Zip code)
Edward C. Wood III
522 Fifth Avenue, New York, New York 10036
 
(Name and address of agent for service)
Registrant’s telephone number, including area code: 212-762-4000
Date of fiscal year end: 8/31
Date of reporting period: 11/30/08
 
 

 

 

Item 1. Schedule of Investments.
The Fund’s schedule of investments as of the close of the reporting period prepared pursuant to Rule 12-12 of Regulation S-X is as follows:
Van Kampen Core Plus Fixed Income Fund
Portfolio of Investments § November 30, 2008 (Unaudited)
                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Mortgage Backed Securities 41.0%
                        
$ 7,982    
Federal Home Loan Mortgage Corp., December (a)
    5.000 %   TBA   $ 8,025,654  
  19,511    
Federal Home Loan Mortgage Corp.
     5.500     04/01/37 to 11/01/37     19,812,664  
  6,500    
Federal Home Loan Mortgage Corp., December (a)
    5.500     TBA     6,596,486  
  6,327    
Federal Home Loan Mortgage Corp.
     6.000     05/01/37 to 05/01/38     6,468,780  
  149    
Federal Home Loan Mortgage Corp.
     7.000     08/01/31 to 03/01/32     155,361  
  3,194    
Federal Home Loan Mortgage Corp.
     7.500     12/01/21 to 10/01/32     3,380,295  
  371    
Federal Home Loan Mortgage Corp.
     8.000     05/01/30 to 07/01/31     393,468  
  325    
Federal Home Loan Mortgage Corp.
     8.500     06/01/30     350,106  
  21    
Federal Home Loan Mortgage Corp.
     9.000     01/01/30     22,607  
  23    
Federal Home Loan Mortgage Corp.
     9.500     12/01/22     25,704  
  26    
Federal Home Loan Mortgage Corp.
     10.000     12/01/19     30,670  
  40    
Federal Home Loan Mortgage Corp.
     10.500     12/01/19     48,617  
  5,000    
Federal National Mortgage Association, December (a)
    4.500     TBA     5,000,000  
  379    
Federal National Mortgage Association
    5.000     06/01/37     381,475  
  11,200    
Federal National Mortgage Association, December (a)
    5.000     TBA     11,297,750  
  1    
Federal National Mortgage Association
    5.500     09/01/38     1,421  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        Mortgage Backed Securities (continued)                
$ 5,000    
Federal National Mortgage Association, December (a)
    5.500 %   TBA   $ 5,083,595  
  18,491    
Federal National Mortgage Association
    6.000     05/01/38     18,917,749  
  577    
Federal National Mortgage Association
    6.500     12/01/31 to 10/01/32     596,835  
  1,000    
Federal National Mortgage Association, December (a)
    6.500     TBA     1,027,969  
  1,411    
Federal National Mortgage Association
    7.000     01/01/24 to 10/01/34     1,480,300  
  2,302    
Federal National Mortgage Association
    7.500     03/01/21 to 09/01/32     2,424,291  
  2,531    
Federal National Mortgage Association
    8.000     11/01/25 to 06/01/32     2,681,056  
  654    
Federal National Mortgage Association
    8.500     06/01/30 to 01/01/31     706,111  
  13    
Federal National Mortgage Association
    9.000     08/01/25     13,875  
  237    
Federal National Mortgage Association
    9.500     07/01/16 to 04/01/30     261,026  
  133    
Federal National Mortgage Association
    10.000     10/01/18 to 11/01/18     157,469  
  102    
Federal National Mortgage Association
    10.500     03/01/18 to 03/01/21     118,888  
  273    
Government National Mortgage Association
    8.000     01/15/26 to 11/15/29     292,603  
  22    
Government National Mortgage Association
    8.500     08/15/26     23,191  
  114    
Government National Mortgage Association
    9.000     12/15/19 to 10/15/24     124,395  
  246    
Government National Mortgage Association
    9.500     11/15/17 to 09/15/22     268,156  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Mortgage Backed Securities (continued)
                        
$ 101    
Government National Mortgage Association
    10.000 %     04/15/16 to 12/15/21     $ 118,020  
  31    
Government National Mortgage Association
    10.500       12/15/20       36,276  
  127    
Government National Mortgage Association
    11.000       03/15/16 to 01/15/19       145,096  
       
 
                      
        Total Mortgage Backed Securities 41.0%             96,467,959  
       
 
                      
       
 
                        
       
Corporate Bonds 22.4%
                        
       
Aerospace & Defense 0.0%
                        
  73    
Systems 2001 Asset Trust LLC (Cayman Islands) (b)
    6.664       09/15/13       72,709  
       
 
                      
       
 
                        
       
Automotive 0.1%
                        
  260    
DaimlerChrysler NA Holding LLC
    8.500       01/18/31       193,379  
  210    
Harley-Davidson Funding Corp. (b)
     6.800       06/15/18       135,159  
       
 
                      
       
 
                     328,538  
       
 
                      
       
 
                        
       
Banking 2.1%
                        
  300    
Bank of America Corp.
     5.650       05/01/18       278,568  
  655    
Bank of America Corp.
     5.750       12/01/17       611,953  
  315    
Bank of New York Mellon Corp.
     4.500       04/01/13       305,598  
  365    
Bank of New York Mellon Corp.
     5.125       08/27/13       362,520  
  205    
Citigroup, Inc.
     5.875       05/29/37       169,854  
  330    
Citigroup, Inc.
     6.125       05/15/18       302,139  
  470    
Citigroup, Inc. (c)
    8.400       04/29/49       278,099  
  120    
Credit Suisse USA, Inc.
     5.125       08/15/15       105,786  
  360    
HBOS PLC (United Kingdom) (b)
    6.750       05/21/18       299,666  
  1,130    
JPMorgan Chase & Co.
     4.750       05/01/13       1,082,681  
  160    
Nationwide Building Society (United Kingdom) (b)
    4.250       02/01/10       157,746  
  160    
Wachovia Capital Trust III (c)
    5.800       03/15/42       68,829  
  630    
Wachovia Corp.
     5.500       05/01/13       597,604  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Banking (continued)
                        
$ 300    
Wells Fargo & Co.
     5.625 %     12/11/17     $ 285,082  
       
 
                      
       
 
                     4,906,125  
       
 
                      
       
 
                        
       
Brokerage 1.1%
                        
  195    
Bear Stearns Co., Inc.
     5.550       01/22/17       172,403  
  305    
Bear Stearns Co., Inc.
     7.250       02/01/18       309,296  
  575    
Credit Suisse New York (Switzerland)
    6.000       02/15/18       487,032  
  700    
Goldman Sachs Group, Inc.
     6.150       04/01/18       572,083  
  480    
Goldman Sachs Group, Inc.
     6.750       10/01/37       308,437  
  215    
Merrill Lynch & Co., Inc.
     6.110       01/29/37       156,292  
  580    
Merrill Lynch & Co., Inc.
     6.875       04/25/18       547,070  
       
 
                      
       
 
                     2,552,613  
       
 
                      
       
 
                        
       
Chemicals 0.1%
                        
  230    
E.I. Du Pont de Nemours
    6.000       07/15/18       226,119  
  105    
Monsanto Co.
     5.125       04/15/18       100,035  
       
 
                      
       
 
                     326,154  
       
 
                      
       
 
                        
       
Construction Machinery 0.1%
                        
  115    
Caterpillar Financial Services Corp.
     4.900       08/15/13       108,428  
  270    
John Deere Capital Corp.
     5.750       09/10/18       240,231  
       
 
                      
       
 
                     348,659  
       
 
                      
       
 
                        
       
Consumer Products 0.1%
                        
  385    
Philips Electronics NV (Netherlands)
    5.750       03/11/18       334,476  
       
 
                      
       
 
                        
       
Diversified Manufacturing 0.6%
                        
  70    
Brookfield Asset Management, Inc. (Canada)
    5.800       04/25/17       60,944  
  50    
Brookfield Asset Management, Inc. (Canada)
    8.125       12/15/08       50,008  
  85    
Cooper Industries, Inc.
     5.250       11/15/12       84,755  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Diversified Manufacturing (continued)
                        
$ 735    
General Electric Co.
     5.250 %     12/06/17     $ 674,693  
  270    
Honeywell International, Inc.
     5.300       03/01/18       259,765  
  210    
Parker Hannifin Corp.
     5.500       05/15/18       200,548  
  75    
Tyco Electronics Group SA (Luxembourg)
    5.950       01/15/14       67,512  
       
 
                      
       
 
                     1,398,225  
       
 
                      
       
 
                        
       
Electric 1.3%
                        
  150    
Alabama Power Co.
     5.800       11/15/13       150,141  
  10    
Appalachian Power Co.
     5.650       08/15/12       9,372  
  40    
Arizona Public Service Co.
     5.800       06/30/14       33,415  
  50    
Consumers Energy Co.
     4.400       08/15/09       49,476  
  35    
Detroit Edison Co.
     6.125       10/01/10       34,869  
  160    
Entergy Gulf States, Inc. (d)
    3.210       12/01/09       158,870  
  211    
Entergy Gulf States, Inc. (b)(d)
    3.565       12/08/08       211,015  
  555    
E.ON International Finance BV (Netherlands) (b)
    5.800       04/30/18       501,141  
  105    
Georgia Power Co.
     6.000       11/01/13       105,982  
  350    
NiSource Finance Corp. (d)
    2.723       11/23/09       320,667  
  180    
Nisource Finance Corp.
     6.800       01/15/19       131,434  
  75    
NiSource Finance Corp.
     7.875       11/15/10       67,536  
  25    
Ohio Edison Co.
     6.400       07/15/16       21,237  
  55    
Ohio Power Co., Ser K
    6.000       06/01/16       50,515  
  200    
Peco Energy Co.
     5.350       03/01/18       179,186  
  190    
PPL Energy Supply LLC
    6.300       07/15/13       173,428  
  195    
Public Service Colorado
    6.500       08/01/38       190,520  
  225    
Southwestern Electric Power Co.
     6.450       01/15/19       203,421  
  45    
Union Electric Co.
     6.400       06/15/17       39,746  
  245    
Union Electric Co.
     6.700       02/01/19       219,348  
  240    
Virginia Electric and Power Co.
     8.875       11/15/38       261,451  
       
 
                      
       
 
                     3,112,770  
       
 
                      

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Financial 0.1%
                        
$ 255    
NYSE Euronext
    4.800 %     06/28/13     $ 237,447  
       
 
                      
       
 
                        
       
Food/Beverage 0.9%
                        
  255    
Archer-Daniels-Midland Co.
     5.450       03/15/18       235,106  
  40    
ConAgra Foods, Inc.
     7.000       10/01/28       34,477  
  195    
ConAgra Foods, Inc.
     8.250       09/15/30       190,631  
  475    
Diageo Capital PLC (United Kingdom)
    7.375       01/15/14       495,488  
  285    
Dr. Pepper Snapple Group, Inc. (b)
     6.820       05/01/18       269,581  
  390    
FBG Finance Ltd. (Australia) (b)
    5.125       06/15/15       309,312  
  165    
General Mills, Inc.
     5.250       08/15/13       160,471  
  340    
Kraft Foods, Inc.
     6.125       08/23/18       312,733  
  50    
Yum! Brands, Inc.
     8.875       04/15/11       50,308  
       
 
                      
       
 
                     2,058,107  
       
 
                      
       
 
                        
       
Gaming 0.2%
                        
  240    
MGM Mirage, Inc.
     6.000       10/01/09       195,600  
  390    
MGM Mirage, Inc. (b)
    13.000       11/15/13       327,600  
       
 
                      
       
 
                     523,200  
       
 
                      
       
 
                        
       
Health Care 0.4%
                        
  110    
Baxter International, Inc.
     5.375       06/01/18       106,351  
  290    
Covidien International Finance SA (Luxembourg)
    6.000       10/15/17       268,722  
  245    
Medco Health Solutions, Inc.
     7.125       03/15/18       215,963  
  305    
UnitedHealth Group, Inc.
     6.000       02/15/18       267,475  
       
 
                      
       
 
                     858,511  
       
 
                      
       
 
                        
       
Independent Energy 0.4%
                        
  235    
Devon Financing Corp. ULC (Canada)
    7.875       09/30/31       233,728  
  100    
Gaz Capital SA (Luxembourg) (b)
    6.510       03/07/22       51,500  
  380    
Questar Market Resources, Inc.
     6.800       04/01/18       348,393  

 

 

                                 
Par                        
Amount                        
(kkk000)     Description   Coupon     Maturity     Value  
 
       
Independent Energy (continued)
                        
$ 320    
XTO Energy, Inc.
     5.500 %     06/15/18     $ 277,246  
       
 
                      
       
 
                     910,867  
       
 
                      
       
 
                        
       
Integrated Energy 0.7%
                        
  370    
ConocoPhillips
    5.200       05/15/18       341,705  
  220    
Consumers Energy Co.
     4.000       05/15/10       213,415  
  435    
Consumers Energy Co.
     4.800       02/17/09       433,921  
  155    
Marathon Oil Corp.
     5.900       03/15/18       129,588  
  245    
Marathon Oil Corp.
     6.000       10/01/17       211,794  
  300    
Petro-Canada (Canada)
    6.050       05/15/18       236,371  
       
 
                      
       
 
                     1,566,794  
       
 
                      
       
 
                        
       
Life Insurance 0.3%
                        
  55    
American International Group, Inc. (b)
    8.250       08/15/18       36,749  
  275    
MetLife, Inc.
     6.817       08/15/18       240,428  
  25    
Platinum Underwriters Finance, Inc.
     7.500       06/01/17       25,101  
  140    
Prudential Financial, Inc.
     6.625       12/01/37       99,424  
  430    
Xlliac Global Funding (b)
    4.800       08/10/10       397,014  
       
 
                      
       
 
                     798,716  
       
 
                      
       
 
                        
       
Lodging 0.1%
                        
  210    
Starwood Hotels & Resorts Worldwide, Inc.
     6.750       05/15/18       148,288  
       
 
                      
       
 
                        
       
Media-Cable 0.8%
                        
  30    
Comcast Cable Communications, Inc.
     7.125       06/15/13       28,498  
  710    
Comcast Corp.
     5.700       05/15/18       597,311  
  20    
Comcast Corp.
     6.500       01/15/15       18,352  
  300    
COX Communications, Inc. (b)
    6.250       06/01/18       257,752  
  25    
Echostar DBS Corp.
     6.625       10/01/14       17,938  
  405    
Time Warner Cable, Inc.
     6.750       07/01/18       355,798  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Media-Cable (continued)
                        
$ 340    
Time Warner Cable, Inc.
     8.750 %     02/14/19     $ 334,570  
  360    
Time Warner, Inc.
     5.875       11/15/16       298,153  
       
 
                      
       
 
                     1,908,372  
       
 
                      
       
 
                        
       
Media-Noncable 0.5%
                        
  225    
Grupo Televisa SA (Mexico)
    6.000       05/15/18       182,964  
  175    
Interpublic Group of Cos., Inc.
     6.250       11/15/14       97,125  
  130    
Pearson Dollar Finance Two PLC (United Kingdom) (b)
    6.250       05/06/18       113,655  
  460    
Viacom, Inc.
     6.875       04/30/36       333,351  
  550    
Vivendi (France) (b)
    6.625       04/04/18       478,319  
       
 
                      
       
 
                     1,205,414  
       
 
                      
       
 
                        
       
Metals 0.3%
                        
  270    
ArcelorMittal (Luxembourg)
    6.125       06/01/18       186,981  
  150    
GTL Trade Finance, Inc. (British Virgin Islands) (b)
    7.250       10/20/17       125,764  
  420    
Rio Tinto Finance USA Ltd. (Australia)
    6.500       07/15/18       289,106  
       
 
                      
       
 
                     601,851  
       
 
                      
       
 
                        
       
Noncaptive-Consumer Finance 1.2%
                        
  425    
American Express Credit Corp.
     7.300       08/20/13       403,499  
  35    
American General Finance Corp.
     4.625       05/15/09       29,127  
  1,385    
General Electric Capital Corp.
     5.625       05/01/18       1,279,306  
  15    
Household Finance Corp.
     6.375       10/15/11       14,313  
  115    
Household Finance Corp.
     8.000       07/15/10       114,087  
  1,040    
HSBC Finance Corp.
     5.500       01/19/16       893,614  
  40    
SLM Corp.
     4.000       01/15/10       35,705  
       
 
                      
       
 
                     2,769,651  
       
 
                      
       
Oil Field Services 0.1%
                        
  170    
Weatherford International Ltd. (Bermuda)
    6.000       03/15/18       140,813  
       
 
                      

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Pharmaceuticals 0.8%
                        
$ 350    
Amgen, Inc.
     5.850 %     06/01/17     $ 340,095  
  235    
AstraZeneca PLC (United Kingdom)
    5.900       09/15/17       233,562  
  315    
Biogen Idec, Inc.
     6.875       03/01/18       319,034  
  335    
Bristol-Myers Squibb Co.
     5.450       05/01/18       325,742  
  345    
GlaxoSmithKline Capital, Inc.
     5.650       05/15/18       333,121  
  150    
Hospira, Inc. (d)
    4.242       03/30/10       146,326  
  150    
Wyeth
    5.450       04/01/17       141,960  
  70    
Wyeth
    5.500       02/15/16       68,562  
       
 
                      
       
 
                     1,908,402  
       
 
                      
       
Pipelines 0.6%
                        
  105    
CenterPoint Energy Resources Corp.
     6.250       02/01/37       68,280  
  70    
CenterPoint Energy Resources Corp.
     7.875       04/01/13       60,499  
  239    
Colorado Interstate Gas Co.
     6.800       11/15/15       200,789  
  220    
Equitable Resources, Inc.
     6.500       04/01/18       196,055  
  300    
Kinder Morgan Finance Co. (Canada)
    5.700       01/05/16       211,500  
  440    
Plains All American Pipeline
    6.700       05/15/36       281,581  
  205    
Texas Eastern Transmission Corp.
     7.000       07/15/32       173,954  
  275    
TransCanada Pipelines Ltd. (Canada)
    6.500       08/15/18       253,772  
       
 
                      
       
 
                     1,446,430  
       
 
                      
       
Property & Casualty Insurance 0.6%
                        
  180    
Ace INA Holdings, Inc.
     5.600       05/15/15       154,723  
  730    
AIG SunAmerica Global Financing VI (b)
     6.300       05/10/11       574,618  
  480    
Berkshire Hathaway Finance Corp. (b)
     5.400       05/15/18       439,363  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Property & Casualty Insurance (continued)
                        
$ 60    
Chubb Corp.
     5.750 %     05/15/18     $ 52,395  
  100    
Farmers Exchange Capital (b)
    7.050       07/15/28       68,054  
  185    
Travelers Cos., Inc.
     5.800       05/15/18       166,171  
       
 
                      
       
 
                     1,455,324  
       
 
                      
       
Railroads 0.4%
                        
  440    
Burlington Northern Santa Fe Corp.
     6.125       03/15/09       440,202  
  115    
Canadian National Railway Co. (Canada)
    5.550       05/15/18       110,432  
  60    
Union Pacific Corp.
     5.450       01/31/13       56,237  
  220    
Union Pacific Corp.
     7.875       01/15/19       233,351  
       
 
                      
       
 
                     840,222  
       
 
                      
       
Retailers 0.4%
                        
  260    
CVS Caremark Corp.
     5.750       06/01/17       226,097  
  43    
CVS Lease Pass-Through Trust (b)
    6.036       12/10/28       34,232  
  70    
Home Depot, Inc. (d)
    2.944       12/16/09       64,143  
  230    
Walgreen Co.
     4.875       08/01/13       233,816  
  380    
Wal-Mart Stores, Inc.
     4.250       04/15/13       381,740  
       
 
                      
       
 
                     940,028  
       
 
                      
       
Supermarkets 0.2%
                        
  105    
Delhaize America, Inc.
     9.000       04/15/31       97,193  
  115    
Kroger Co.
     5.000       04/15/13       106,852  
  165    
Kroger Co.
     6.400       08/15/17       155,688  
       
 
                      
       
 
                     359,733  
       
 
                      
       
Technology 0.8%
                        
  200    
Dell, Inc. (b)
    5.650       04/15/18       169,583  
  265    
Fiserv, Inc.
     6.800       11/20/17       217,109  
  120    
Hewlett-Packard Co.
     5.500       03/01/18       111,470  
  200    
IBM Corp.
     7.625       10/15/18       215,346  
  200    
IBM Corp.
     8.000       10/15/38       222,843  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Technology (continued)
                        
$ 265    
KLA Instruments Corp.
     6.900 %     05/01/18     $ 209,660  
  90    
LG Electronics, Inc. (South Korea) (b)
    5.000       06/17/10       83,730  
  370    
Oracle Corp.
     5.750       04/15/18       347,392  
  275    
Xerox Corp.
     6.350       05/15/18       197,538  
       
 
                      
       
 
                     1,774,671  
       
 
                      
       
 
                        
       
Thrifts & Mortgage Finance 4.7%
                        
  3,600    
Federal Home Loan Mortgage Corp.
     5.125       11/17/17       3,873,370  
  3,700    
Federal Home Loan Mortgage Corp.
     5.500       08/23/17       4,064,720  
  3,000    
Federal National Mortgage Association
    5.000       05/11/17       3,186,720  
       
 
                      
       
 
                     11,124,810  
       
 
                      
       
 
                        
       
Tobacco 0.6%
                        
  700    
BAT International Finance PLC (United Kingdom) (a)(b)
    9.500       11/15/18       718,515  
  345    
Philip Morris International, Inc.
     5.650       05/16/18       310,193  
  300    
Reynolds American, Inc.
     6.500       07/15/10       292,258  
       
 
                      
       
 
                     1,320,966  
       
 
                      
       
 
                        
       
Utility 0.1%
                        
  395    
AES Corp. (b)
    8.750       05/15/13       349,575  
       
 
                      
       
 
                        
       
Wireless 0.2%
                        
  270    
Rogers Communications, Inc. (Canada)
    6.800       08/15/18       242,353  
  275    
Vodafone Group PLC (United Kingdom)
    5.625       02/27/17       234,061  
       
 
                      
       
 
                     476,414  
       
 
                      
       
 
                        
       
Wireline 1.5%
                        
  580    
AT&T Corp.
     8.000       11/15/31       535,707  
  120    
AT&T, Inc.
     5.600       05/15/18       104,101  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon       Maturity     Value  
 
       
Wireline (continued)
                        
$ 365    
AT&T, Inc.
     6.300 %     01/15/38     $ 296,060  
  205    
Deutsche Telekom International Finance BV (Netherlands)
    8.750       06/15/30       194,430  
  475    
France Telecom SA (France)
    8.500       03/01/31       475,933  
  200    
Sprint Capital Corp.
     8.750       03/15/32       104,157  
  155    
Sprint Nextel Corp.
     6.000       12/01/16       86,141  
  65    
Telecom Italia Capital (Luxembourg)
    4.875       10/01/10       57,549  
  335    
Telecom Italia Capital (Luxembourg)
    4.950       09/30/14       244,839  
  460    
Telecom Italia Capital (Luxembourg)
    6.999       06/04/18       345,545  
  510    
Telefonica Europe BV (Netherlands)
    8.250       09/15/30       467,848  
  610    
Verizon Communications, Inc.
     5.500       02/15/18       508,813  
  175    
Verizon Communications, Inc.
     8.950       03/01/39       180,023  
       
 
                      
       
 
                     3,601,146  
       
 
                      
       
Total Corporate Bonds 22.4%
                    52,706,021  
       
 
                      
       
 
                        
       
Collateralized Mortgage Obligations 17.7%
                        
  333    
American Home Mortgage Assets (d)
    1.625       05/25/46       89,803  
  204    
American Home Mortgage Assets (d)
    1.695       06/25/47       37,871  
  771    
American Home Mortgage Assets (d)
    3.449       10/25/46       297,332  
  77    
American Home Mortgage Assets (d)
    3.569       10/25/46       13,149  
  166    
American Home Mortgage Investment Trust (d)
    1.585       12/25/46       64,742  
  722    
American Home Mortgage Investment Trust (d)
    1.695     09/25/45 to 03/25/46       207,778  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Collateralized Mortgage Obligations (continued)
                        
$ 4    
Bear Stearns Mortgage Funding Trust (d)
    1.575 %     10/25/36     $ 1,627  
  399    
Bear Stearns Mortgage Funding Trust (d)
    1.605       07/25/36       246,591  
  11,211    
Bear Stearns Structured Products, Inc. (b)(e)(f)
    *     06/26/36 to 04/25/37       1,121  
  14    
Countrywide Alternative Loan Trust (f)
    *       03/20/47       374  
  1,709    
Countrywide Alternative Loan Trust (b)(c)(e)
    0.003       05/25/47       171  
  1,096    
Countrywide Alternative Loan Trust (b)(c)(e)
    1.000       02/25/47       110  
  2    
Countrywide Alternative Loan Trust (d)
    1.565       05/25/47       679  
  1,481    
Countrywide Alternative Loan Trust (d)
    1.585       08/25/46       635,803  
  1,338    
Countrywide Alternative Loan Trust (d)
    1.645       10/25/46       420,040  
  1,140    
Countrywide Alternative Loan Trust (d)
    1.665     07/25/46 to 12/25/46       245,300  
  1,632    
Countrywide Alternative Loan Trust (d)
    1.695       12/25/35       690,046  
  560    
Countrywide Alternative Loan Trust (d)
    1.813       03/20/46       135,665  
  751    
Countrywide Alternative Loan Trust (d)
    1.895       06/25/47       75,128  
  1,881    
Countrywide Alternative Loan Trust (d)
    4.365       02/25/36       700,773  
  100    
Countrywide Home Loans (d)
    1.665       04/25/35       40,707  
  146    
Deutsche Alternative-A Securities, Inc. Alternate Loan Trust (d)
    4.089       02/25/47       24,763  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Collateralized Mortgage Obligations (continued)
                        
$ 8    
Deutsche Alternative-A Securities, Inc. NIM Trust (Cayman Islands) (b)
    6.750 %     02/25/47     $ 7,058  
  173    
Downey Savings & Loan Association Mortgage Loan Trust (d)
    1.654       04/19/38       47,095  
  14,480    
Federal Home Loan Mortgage Corp. (REMIC) (d)
    1.763       05/15/37       13,344,946  
  2,750    
Federal Home Loan Mortgage Corp. (REMIC) (d)
    1.773       12/15/30       2,684,668  
  2,614    
Federal Home Loan Mortgage Corp. (REMIC) (d)
    1.923       07/15/28       2,598,787  
  264    
Federal Home Loan Mortgage Corp. (REMIC) (d)(f)
    4.563       03/15/24       22,244  
  19,735    
Federal National Mortage Association (REMIC) (c)(f)
    1.908       08/25/34       481,771  
  13,834    
Federal National Mortgage Association (REMIC) (d)
    1.735       06/25/37       13,055,741  
  11,961    
Federal National Mortgage Association (REMIC) (c)(f)
    4.038       07/25/36       508,359  
  2,427    
Federal National Mortgage Association (REMIC) (c)(f)
    4.088       03/25/36       24,272  
  184    
Federal National Mortgage Association (REMIC) (f)
    6.000       07/25/33       27,754  
  148    
Federal National Mortgage Association (REMIC) (f)
    6.500       05/25/33       20,459  
  144    
Federal National Mortgage Association (STRIPS) (f)
    6.500       06/01/31       27,846  
  74    
Federal National Mortgage Association (REMIC) (f)
    7.000       05/25/33       9,921  
  274    
Federal National Mortgage Association (STRIPS) (f)
    8.000       12/01/31       61,798  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
       
Collateralized Mortgage Obligations (continued)
                        
$ 2,347    
Government National Mortgage Association (d)
    2.053 %     08/20/30     $ 2,321,133  
  93    
Government National Mortgage Association (d)(f)
    7.177       08/16/29       13,683  
  440    
Greenpoint Mortgage Funding Trust (d)
    1.685       02/25/36       198,404  
  439    
Harborview Mortgage Loan Trust (d)
    1.664       08/21/36       142,854  
  1,212    
Harborview Mortgage Loan Trust (d)
    1.674       01/25/47       397,068  
  288    
Harborview Mortgage Loan Trust (d)
    1.714       11/19/36       96,546  
  90    
Harborview Mortgage Loan Trust (d)
    1.903       06/20/35       33,966  
  400    
Indymac Index Mortgage Loan Trust (d)
    1.495       02/25/37       298,643  
  80    
Indymac Index Mortgage Loan Trust (d)
    1.675       03/25/35       34,918  
  163    
Luminent Mortgage Trust (d)
    1.615       12/25/36       49,898  
  125    
Luminent Mortgage Trust (d)
    1.645       05/25/36       37,224  
  166    
MASTR Adjustable Rate Mortgages Trust (d)
    1.645       04/25/46       45,658  
  754    
MASTR Adjustable Rate Mortgages Trust (d)
    3.419       04/25/46       150,887  
  2,106    
Residential Accredit Loans, Inc. (b)(e)
    *       05/25/47       211  
  1,307    
Residential Accredit Loans, Inc. (b)(c)(e)
    *       03/25/47       131  
  208    
Residential Accredit Loans, Inc. (d)
    1.595       03/25/47       79,372  
  120    
Residential Accredit Loans, Inc. (d)
    1.625       05/25/46       38,080  
  1,673    
Residential Accredit Loans, Inc. (d)
    1.655       05/25/47       466,042  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        Collateralized Mortgage Obligations (continued)                
$ 154    
Structured Adjustable Rate Mortgage Loan Trust (d)
    3.569 %     07/25/35     $ 67,209  
  471    
Structured Asset Mortgage Investments, Inc. (d)
    1.585       02/25/36 to 02/25/37       157,878  
  54    
Structured Asset Mortgage Investments, Inc. (d)
    1.655       05/25/46       18,310  
  86    
Structured Asset Mortgage Investments, Inc. (d)
    1.665       04/25/36       23,481  
  76    
Structured Asset Mortgage Investments, Inc. (d)
    1.675       07/25/46       13,893  
  70    
Structured Asset Mortgage Investments, Inc. (d)
    1.705       02/25/36       21,543  
  54    
Washington Mutual Mortgage Pass-Through Certificates (f)
    *       09/25/46 to 03/25/47       488  
  663    
Washington Mutual Mortgage Pass-Through Certificates (d)
    1.685       11/25/46       122,938  
  225    
Washington Mutual Mortgage Pass-Through Certificates (d)
    1.745       06/25/46       32,106  
  16    
Washington Mutual Mortgage Pass-Through Certificates (c)(f)
    2.888       01/25/45       162  
  57    
Washington Mutual Mortgage Pass-Through Certificates (d)
    3.419       05/25/46       19,194  
  6    
Washington Mutual Mortgage Pass-Through Certificates (d)
    3.605       04/25/46       2,575  
       
 
                      
        Total Collateralized Mortgage Obligations 17.7%             41,736,787  
       
 
                      
       
 
                        
        United States Government Obligations 9.4%                
  9,335    
United States Treasury Bond (STRIPS)
    0.010       11/15/19       6,058,630  
  5,295    
United States Treasury Bond (STRIPS)
    0.010       05/15/21       3,176,428  
  7,015    
United States Treasury Bond (STRIPS)
    0.010       11/15/21       4,132,228  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        United States Treasury Obligations (continued)                
$ 15,035    
United States Treasury Bond (STRIPS)
    0.010 %     11/15/21     $ 8,829,514  
       
 
                      
        Total United States Treasury Obligations 9.4%             22,196,800  
       
 
                      
       
 
                        
        Asset Backed Securities 4.7%                
  172    
Argent Securities, Inc. (d)
    1.845       04/25/34       125,435  
  22    
Bayview Financial Acquisition Trust (d)
    3.350       11/28/36       21,752  
  400    
Capital Auto Receivables Asset Trust (d)
    1.433       04/15/11       380,485  
  2,495    
Capital Auto Receivables Asset Trust (d)
    1.482       07/15/10 to 05/15/11       2,438,227  
  29    
Carrington Mortgage Loan Trust (d)
    1.465       10/25/36       28,967  
  319    
Carrington Mortgage Loan Trust (d)
    1.515       02/25/37       282,811  
  52    
Countrywide Asset-Backed Certificates (d)
    1.595       07/25/34       34,206  
  410    
Countrywide Asset-Backed Certificates (d)
    1.735       06/25/33       335,217  
  413    
Countrywide Asset-Backed Certificates (d)
    1.785       11/25/34       327,697  
  13    
Credit Based Asset Servicing and Securitization LLC (d)
    1.435       07/25/36       12,378  
  110    
Credit Based Asset Servicing and Securitization LLC (d)
    1.465       01/25/37       94,120  
  83    
Credit Based Asset Servicing and Securitization LLC (d)
    3.319       06/25/36       82,168  
  158    
Fieldstone Mortgage Investment Corp. (d)
    1.465       11/25/36       144,767  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        Asset Backed Securities (continued)                
$ 55    
First Franklin Mortgage Loan Certificates (d)
    1.445 %     03/25/37     $ 50,940  
  610    
Ford Credit Auto Owner Trust (d)
    1.433       04/15/10       603,544  
  1,069    
Ford Credit Auto Owner Trust (d)
    2.023       07/15/10       1,041,036  
  293    
GSAMP Trust (d)
    1.465       12/25/36       252,386  
  225    
GSAMP Trust (d)
    1.465       01/25/37       202,616  
  356    
GSAMP Trust (d)
    3.379       03/25/47       314,857  
  60    
Indymac Residential Asset Backed Trust (d)
    1.525       04/25/37       54,009  
  61    
New Century Home Equity Loan Trust (d)
    1.765       08/25/34       36,376  
  12    
Newcastle Mortgage Securities Trust (d)
    1.525       04/25/37       10,220  
  891    
Nissan Auto Receivables Owner Trust (d)
    1.923       05/17/10       878,217  
  654    
Provident Bank Home Equity Loan Trust (d)
    1.935       08/25/31       467,978  
  97    
Renaissance Home Equity Loan Trust (d)
    1.505       06/25/37       88,023  
  330    
Residential Asset Mortgage Products, Inc. (d)
    1.465       08/25/36 to 02/25/37       308,382  
  104    
Residential Asset Mortgage Products, Inc. (d)
    1.485       10/25/36       95,476  
  103    
Residential Asset Securities Corp. (d)
    3.339       10/25/36       99,398  
  144    
Securitized Asset Backed Receivables LLC (d)
    1.475       11/25/36       130,391  
  19    
Securitized Asset Backed Receivables LLC (d)
    1.505       02/25/37       16,265  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        Asset Backed Securities (continued)                
$ 671    
Securitized Asset Backed Receivables LLC (d)
    1.525 %     05/25/37     $ 586,896  
  217    
SLM Student Loan Trust (d)
    3.525       10/27/14       212,157  
  781    
Soundview Home Equity Loan Trust (d)
    1.475       01/25/37 to 06/25/37       683,377  
  42    
Specialty Underwriting & Residential Finance (d)
    3.529       05/25/35       24,079  
  72    
Structured Asset Investment Loan Trust (d)
    1.765       11/25/33       52,601  
  65    
Structured Asset Securities Corp. (d)
    1.485       02/25/37       58,080  
  294    
Structured Asset Securities Corp. (b)(d)
    1.515       01/25/37       265,393  
  125    
TXU Electric Delivery Transition Bond Company
    4.810       11/17/14       123,325  
       
 
                      
        Total Asset Backed Securities 4.7%             10,964,252  
       
 
                      
       
 
                        
        Adjustable Rate Mortgage Backed Securities 3.9%                
  316    
Federal Home Loan Mortgage Corp. (d)
    5.300       04/01/37       320,373  
  534    
Federal Home Loan Mortgage Corp. (d)
    5.694       01/01/37       540,510  
  248    
Federal Home Loan Mortgage Corp. (d)
    5.708       01/01/37       252,120  
  248    
Federal Home Loan Mortgage Corp. (d)
    5.796       04/01/37       249,634  
  213    
Federal Home Loan Mortgage Corp. (d)
    5.847       04/01/37       216,805  
  530    
Federal Home Loan Mortgage Corp. (d)
    5.857       10/01/36       540,801  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
        Adjustable Rate Mortgage Backed Securities (continued)                
$ 632    
Federal National Mortgage Association (d)
    4.596 %     11/01/33     $ 642,903  
  292    
Federal National Mortgage Association (d)
    4.663       03/01/36       274,555  
  1,164    
Federal National Mortgage Association (d)
    4.701       12/01/35       1,173,123  
  1,512    
Federal National Mortgage Association (d)
    4.708       10/01/35       1,524,180  
  1,018    
Federal National Mortgage Association (d)
    4.713       11/01/35       1,025,965  
  335    
Federal National Mortgage Association (d)
    4.729       06/01/36       335,705  
  380    
Federal National Mortgage Association (d)
    5.120       11/01/35       380,908  
  404    
Federal National Mortgage Association (d)
    5.253       03/01/37       403,713  
  454    
Federal National Mortgage Association (d)
    5.471       04/01/37       462,484  
  453    
Federal National Mortgage Association (d)
    5.805       05/01/37       465,370  
  97    
Federal National Mortgage Association (d)
    5.973       04/01/37       99,997  
  198    
Government National Mortgage Association II (d)
    5.375       01/20/25 to 06/20/25       197,078  
       
 
                      
        Total Adjustable Rate Mortgage Backed Securities 3.9%             9,106,224  
       
 
                      
       
 
                        
        Foreign Government Obligations 0.4%                
  135    
Korea Railroad Corp. (Republic of Korea (South Korea)) (b)
     5.375       05/15/13       111,088  

 

 

                                 
Par                        
Amount                        
(000)     Description   Coupon     Maturity     Value  
 
$ 810    
Brazilian Government International Bond (Brazil)
    6.000 %     01/17/17     $ 741,150  
       
 
                      
 
        Total Foreign Government Obligations 0.4%             852,238  
       
 
                      
       
 
                        
        Total Long-Term Investments 99.5%
     (Cost $249,650,440)		           $ 234,030,281  
       
 
                      
                                 
            Expiration     Exercise        
Description   Contracts     Date     Price     Value  
 
Purchased Option 0.2%
                                
 
                                
90-Day EuroDollar Futures Call, March, 2010
(Cost $185,043)
     205       03/21/10       97.750     $ 366,438  
 
                              
 
                                
Short-Term Investments 14.6%
                                
Repurchase Agreements 4.7%
                                
Banc of America Securities ($2,313,688 par collateralized by U.S. Government obligations in a pooled cash account, interest rate of 0.30%, dated 11/28/08, to be sold on 12/01/08 at $2,313,746)
   $ 2,313,688  
Citigroup Global Markets, Inc. ($4,627,376 par collateralized by U.S. Government obligations in a pooled cash account, interest rate of 0.25%, dated 11/28/08, to be sold on 12/01/08 at $4,627,472)
     4,627,376  
JPMorgan Chase & Co. ($1,388,213 par collateralized by U.S. Government obligations in a pooled cash account, interest rate of 0.20%, dated 11/28/08, to be sold on 12/01/08 at $1,388,236)
     1,388,213  
State Street Bank & Trust Co. ($2,772,723 par collateralized by U.S. Government obligations in a pooled cash account, interest rate of 0.03%, dated 11/28/08, to be sold on 12/01/08 at $2,772,731)
     2,772,723  
 
                              
Total Repurchase Agreements 4.7%
     11,102,000  
 
                              

 

 

         
Description   Value  
United States Government Agency Obligations 9.9%
        
Federal Home Loan Bank Discount Notes ($5,000,000 par, yielding 0.764%, 02/03/09 maturity)
     4,996,220  
Federal Home Loan Bank Discount Notes ($1,000,000 par, yielding 0.458%, 01/13/09 maturity)
     999,611  
United States Treasury Bill ($2,200,000 par, yielding 0.355%, 12/04/08 maturity)
     2,199,936  
United States Treasury Bill ($6,935,000 par, yielding 0.334%, 01/15/09 maturity) (g)
     6,932,154  
United States Treasury Bill ($8,000,000 par, yielding 0.010%, 12/11/08 maturity)
     7,999,978  
 
      
 
        
Total United States Government Agency Obligations 9.9%
    23,127,899  
 
      
 
        
Total Short-Term Investments 14.6%
(Cost $34,229,899)
    34,229,899  
 
        
Total Investments 114.3%
(Cost $284,065,382)
    268,626,618  
 
        
Liabilities in Excess of Other Assets (14.2%)
    (33,293,291 )
 
      
 
        
Written Options (0.1%)
    (239,594 )
 
        
Net Assets 100.0%
  $ 235,093,733  
 
      
 
Percentages are calculated as a percentage of net assets.
 
*   Zero coupon bond
 
(a)   Security purchased on a when-issued, delayed delivery or forward commitment basis.
 
(b)   144A-Private Placement security which is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. This security may only be resold in transactions exempt from registration which are normally those transactions with qualified institutional buyers.
 
(c)   Variable Rate Coupon
 
(d)   Floating Rate Coupon
 
(e)   Market value is determined in accordance with procedures established in good faith by the Board of Trustees.
 
(f)   IO — Interest Only
 
(g)   All or a portion of this security has been physically segregated in connection with open futures contracts and swap contracts.
 
REMIC — Real Estate Mortgage Investment Conduits
 
STRIPS — Separate Trading of Registered Interest and Principal of Securities
 
TBA — To be announced, maturity date has not yet been established. Upon settlement and delivery of the mortgage pools, maturity dates will be assigned.

 

 

Futures contracts outstanding as of November 30, 2008:
                 
            Unrealized  
            Appreciation/  
    Contracts     Depreciation  
Long Contracts:
                
5-Year Swap Futures, December 2008 (Current Notional Value of $114,797 per contract)
    173     $ 825,439  
10-Year Swap Future, December 2008 (Current Notional Value of $124,156 per contract)
    8       65,483  
U.S. Treasury Bond 30-Year Futures, December 2008 (Current Notional Value of $128,563 per contract)
    25       137,741  
U.S. Treasury Bond 30-Year Futures, March 2009 (Current Notional Value of $127,484 per contract)
    58       317,878  
U.S. Treasury Notes 2-Year Futures, December 2008 (Current Notional Value of $218,375 per contract)
    154       597,264  
U.S. Treasury Notes 2-Year Futures, March 2009 (Current Notional Value of $216,813 per contract)
    20       12,396  
U.S. Treasury Notes 10-Year Futures, December 2008 (Current Notional Value of $122,891 per contract)
    21       28,701  
 
            
 
                
Total Long Contracts:
     459       1,984,902  
 
            
 
                
Short Contracts:
                
EuroDollar 90-Day Futures, March 2011 (Current Notional Value of $242,988 per contract)
    4       (13,761 )
U.S. Treasury Notes 5-Year Futures, December 2008 (Current Notional Value of $119,344 per contract)
    5       (16,126 )
U.S. Treasury Notes 5-Year Futures, March 2009 (Current Notional Value of $116,711 per contract)
    51       (63,112 )
U.S. Treasury Notes 10-Year Futures, March 2009 (Current Notional Value of $120,969 per contract)
    65       (246,184 )
 
            
Total Short Contracts:
     125       (339,183 )
 
            
Total Futures Contracts
     584     $ 1,645,719  
 
            

 

 

Written options outstanding as of November 30, 2008:
                                         
    Exercise     Expiration     Number of              
Name of Issuer   Price     Date     Contracts     Premium     Value  
90-Day EuroDollar Futures Call, March 2010
   $ 98.25       03/21/10       205     $ (101,957 )   $ (239,594 )
 
                                  

 

 

Swap agreements outstanding as of November 30, 2008:
Credit Default Swaps
                                                       
              Pay/                                
              Receive             Notional                 Credit
        Buy/Sell     Fixed     Expiration     Amount     Upfront           Rating
Counterparty   Reference Entity   Protection     Rate     Date     (000)     Payments     Value     of Issuer*
JP Morgan Chase Bank, N.A.
   Nordstrom, Inc.   Buy        1.070%       03/20/18     $ 150     $ 0     $ 40,715     A-
 
                                              
 
                             150       0       40,715      
 
                                              
Goldman Sachs Capital Markets, L.P.
   Dow Jones CDX NA IG HVOL 9   Sell     1.400       12/20/12       551       (31,211 )     (83,304 )   NR
Goldman Sachs Capital Markets, L.P.
   Dow Jones CDX NA IG HVOL 9   Sell     1.400       12/20/12       575       (31,890 )     (86,957 )   NR
Goldman Sachs Capital Markets, L.P.
   Dow Jones CDX NA IG HVOL 9   Sell     1.400       12/20/12       575       (33,607 )     (86,984 )   NR
Goldman Sachs Capital Markets, L.P.
   Dow Jones CDX NA IG HVOL 9   Sell     1.400       12/20/12       1,242       (73,349 )     (187,799 )   NR
JP Morgan Chase Bank, N.A.
   Dow Jones CDX NA IG 9   Sell     0.600       12/20/12       1,410       (48,587 )     (97,338 )   NR
 
                                              
 
                             4,353       (218,644 )     (542,382 )    
 
                                              
Total Credit Default Swaps
                         $ 4,503     $ (218,644 )   $ (501,667 )    
 
                                              
 
NR-Not Rated
*Credit rating as issued by Standard and Poor’s.

 

 

Interest Rate Swaps
                                         
        Pay/                            
        Receive                   Notional        
        Floating   Fixed     Expiration     Amount        
Counterparty   Floating Rate Index   Rate   Rate     Date     (000)     Value  
Bank of America, N.A.
   EUR-EURIBOR Reuters   Pay     4.415 %     10/07/18     $ 7,817     $ (29,253 )
Bank of America, N.A.
   USD-LIBOR BBA   Pay     3.585     10/08/13     6,500     220,511  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     3.831       09/09/13       7,000       354,606  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     4.779       10/10/18       66,261       3,114,930  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     4.798       10/07/23       17,689       978,378  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     4.983       04/15/18       6,585       361,648  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     5.070       04/14/18       5,620       328,489  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     5.370       02/12/18       2,910       205,766  
Bank of America, N.A.
   USD-LIBOR BBA   Pay     5.558       07/24/23       27,411       2,212,616  
Citibank, N.A.
   USD-LIBOR BBA   Pay     3.772       04/24/13       3,200       139,837  
Citibank, N.A.
   USD-LIBOR BBA   Pay     4.470       01/10/18       2,000       229,325  
Citibank, N.A.
   USD-LIBOR BBA   Pay     5.020       09/11/17       450       68,038  
Citibank, N.A.
   USD-LIBOR BBA   Pay     5.333       05/22/17       750       125,704  
Citibank, N.A.
   USD-LIBOR BBA   Pay     5.368       05/23/17       750       127,646  
Citibank, N.A.
   USD-LIBOR BBA   Pay     5.414       05/25/17       1,725       299,413  
Citibank, N.A.
   USD-LIBOR BBA   Pay     5.440       05/29/17       1,175       206,094  
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Pay     4.958       07/24/18       11,738       369,779  
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Pay     5.239       07/09/23       3,661       91,362  
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Pay     5.240       07/10/23       3,327       83,226  
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Pay     5.268       07/03/23       22,436       590,260  
Goldman Sachs Capital Markets, L.P.
   USD-LIBOR BBA   Pay     5.340       05/24/17       900       151,308  

 

 

                                         
        Pay/                            
        Receive                   Notional        
        Floating   Fixed     Expiration     Amount        
Counterparty   Floating Rate Index   Rate   Rate     Date     (000)     Value  
Goldman Sachs Capital Markets, L.P.
   USD-LIBOR BBA   Pay     5.630 %     02/28/18     $ 18,575     $ 1,507,918  
Goldman Sachs International
   EUR-EURIBOR Reuters   Pay     4.370       10/07/18       3,909       (25,218 )
Goldman Sachs International
   USD-LIBOR BBA   Pay     4.790       10/07/23       8,845       486,984  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     4.070       05/16/13       19,935       1,180,893  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     4.274       06/02/13       3,790       308,567  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     4.476       01/08/18       1,500       173,918  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     4.968       11/06/17       35,000       5,070,827  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     5.164       09/20/17       500       80,538  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     5.370       05/23/17       750       127,811  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Pay     5.448       05/29/17       1,175       206,800  
Merrill Lynch Capital Services, Inc.
   USD-LIBOR BBA   Pay     5.000       04/15/18       8,790       488,988  
 
                                      
 
                                     19,837,709  
 
                                      
Bank of America, N.A.
   EUR-EURIBOR Reuters   Receive     4.390       10/07/23       9,803       40,321  

 

 

                                         
        Pay/                            
        Receive                   Notional        
        Floating   Fixed     Expiration     Amount        
Counterparty   Floating Rate Index   Rate   Rate     Date     (000)     Value  
Bank of America, N.A.
   USD-LIBOR BBA   Receive     3.903 %     09/10/13     $ 18,960     $ (1,022,975 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     4.243       10/10/38       15,041       (3,342,801 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     4.670       08/04/18       18,365       (2,557,286 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     4.800       10/07/18       14,107       (675,735 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     5.380       07/24/18       21,298       (1,507,685 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     5.380       04/15/23       7,985       (596,001 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     5.470       04/14/23       7,200       (559,440 )
Bank of America, N.A.
   USD-LIBOR BBA   Receive     5.815       02/12/23       3,736       (334,223 )
Barclays Bank PLC
   USD-LIBOR BBA   Receive     **       11/15/19       5,715       (837,542 )
Barclays Bank PLC
   USD-LIBOR BBA   Receive     **       11/15/21       3,873       (750,336 )
Citibank, N.A.
   USD-LIBOR BBA   Receive     4.730       12/27/17       1,425       (198,188 )
Citibank, N.A.
   USD-LIBOR BBA   Receive     5.288       09/28/17       550       (93,083 )
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Receive     4.860       07/10/18       2,650       (69,021 )
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Receive     4.861       07/09/18       2,917       (76,277 )
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Receive     4.934       07/01/18       17,909       (552,614 )
Deutsche Bank AG Frankfurt
   EUR-EURIBOR Reuters   Receive     5.188       07/24/23       14,713       (332,962 )
Deutsche Bank AG Frankfurt
   USD-LIBOR BBA   Receive     **       11/15/21       3,242       (515,762 )
Goldman Sachs Capital Markets, L.P.
   USD-LIBOR BBA   Receive     6.035       02/28/23       23,835       (2,310,803 )
Goldman Sachs International
   EUR-EURIBOR Reuters   Receive     4.355       10/07/23       4,899       79,967  

 

 

                                         
        Pay/                            
        Receive                   Notional        
        Floating   Fixed     Expiration     Amount        
Counterparty   Floating Rate Index   Rate   Rate     Date     (000)     Value  
Goldman Sachs International
   USD-LIBOR BBA   Receive     4.800 %     10/07/18     $ 7,053     $ (337,839 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     **       05/15/21       2,976       (567,642 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     **       11/15/21       5,198       (955,141 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     4.408       05/01/18       20,925       (2,155,234 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     4.621       02/22/18       3,500       (460,788 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     5.233       09/27/17       500       (81,191 )
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     5.253       10/11/17       600       97,804  
JP Morgan Chase Bank, N.A.
   USD-LIBOR BBA   Receive     5.300       09/28/17       550       (93,561 )
Merrill Lynch Capital Services, Inc.
   USD-LIBOR BBA   Receive     5.395       04/16/23       11,215       (842,807 )
 
                                      
 
                                     (21,608,845 )
 
                                      
Total Interest Rate Swaps                                 (1,771,136 )
 
                                      
 
                                        
Swap Collateral Received From Counterparty                                    
     Citibank, N.A.                                 (910,000 )
     JP Morgan Chase Bank, N.A                                 (2,540,000 )
 
                                      
Total Swap Collateral Received                                 (3,450,000 )
 
                                      
Total Swap Agreements                               $ (5,722,803 )
 
                                      
 
**   Zero coupon swap. The Fund and/or counterparty will make a net payment on the expiration date.

 

 

Accounting Pronouncements:
The Fund adopted Financial Accounting Standards Board Statement of Financial Accounting Standards No. 157, Fair Value Measurements (“FAS 157’’), effective September 1, 2008. In accordance with FAS 157, fair value is defined as the price that the Fund would receive to sell an investment or pay to transfer a liability in an orderly transaction with an independent buyer in the principal market, or in the absence of a principal market the most advantageous market for the investment or liability. FAS 157 establishes a three-tier hierarchy to distinguish between (1) inputs that reflect the assumptions market participants would use in pricing an asset or liability developed based on market data obtained from sources independent of the reporting entity (observable inputs) and (2) inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing an asset or liability developed based on the best information available in the circumstances (unobservable inputs) and to establish classification of fair value measurements for disclosure purposes. Various inputs are used in determining the value of the Fund’s investments. The inputs are summarized in the three broad levels listed below.
  •   Level 1—quoted prices in active markets for identical investments
 
  •   Level 2—other significant observable inputs (including quoted prices for similar investments, 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)
     The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
     The following is a summary of the inputs used as of November 30, 2008 in valuing the Fund’s investments carried at value:
                 
    Investments   Other
    in   Financial
Valuation Inputs   Securities   Instruments*
Level 1 - Quoted Prices
   $ 366,437     $ 1,406,125  
Level 2 - Other Significant Observable Inputs
     268,258,438       (2,272,803 )
Level 3 - Significant Unobservable Inputs
     1,743       -0-  
     
Total
   $ 268,626,618     $ (866,678 )
     
 
*   Other financial instruments include futures, forwards, options and swap contracts.

 

 

Following is a reconciliation of investments in which significant unobservable inputs (Level 3) were used in determining value:
         
    Investments in Securities  
Balance as of 08/31/08
   $ -0-  
Accrued Discounts/Premiums
     -0-  
Realized Gain/Loss
     61,471  
Change in Unrealized Appreciation/Depreciation
     (61,188 )
Net Purchases/Sales
     -0-  
Net Transfers in and/or out of Level 3
     1,460  
 
      
Balance as of 11/30/08
   $ 1,743  
 
      
Net Change in Unrealized Appreciation/Depreciation from Investments still held as of 11/30/08
   $ (61,188 )
Fixed income investments are stated at value using market quotations or indications of value obtained from an independent pricing service. Investments in securities listed on a securities exchange are valued at their last sale price as of the close of such securities exchange. Listed and unlisted securities for which the last sale price is not available are valued at the mean of the last reported bid and asked prices. For those securities where quotations or prices are not readily available as noted above, valuations are determined in accordance with procedures established in good faith by the Board of Trustees. Options are valued at the last sale price. Futures contracts are valued at the settlement price established each day on the exchange on which they are traded. Swaps are valued using market quotations obtained from brokers. Short-term securities with remaining maturities of 60 days or less are valued at amortized cost, which approximates market value.
     The Fund adopted the provisions of the FASB Staff Position Paper No. FAS 133-1 and FIN 45-4, Disclosures about Credit Derivatives and Certain Guarantees: An Amendment of FASB Statement No. 133 and FASB Interpretation No.45 (“FSP FAS 133-1 and FIN 45-4”), effective November 30, 2008. FSP FAS 133-1 and FIN 45-4 requires the seller of credit derivatives to provide additional disclosure about its credit derivatives.
     The Fund may enter into credit default swap contracts, a type of credit derivative, for hedging purposes or to gain exposure to a credit or index of credits in which the Fund may otherwise invest. A credit default swap is an agreement between two parties to exchange the credit risk of an issuer or index of issuers. A buyer of a credit default swap is said to buy protection by paying periodic fees in return for a contingent payment from the seller if the issuer has a credit event such as bankruptcy, a failure to pay outstanding obligations or deteriorating credit while the swap is outstanding. A seller of a credit default swap is said to sell protection and thus collects the periodic fees and profits if the credit of the issuer remains stable or improves while the swap is outstanding. The seller in a credit default swap contract would be required to pay an agreed-upon amount to the buyer in the event of an adverse credit event of the issuer. This agreed-upon amount approximates the notional amount of the swap as disclosed in the table following the Portfolio of Investments and is estimated to be the maximum potential future payment that the seller could be required to make under the credit default swap contract. In the event of an adverse credit event, the seller generally does not have any contractual remedies against the issuer or any other third party. However, if a physical settlement is elected, the seller would receive the defaulted credit and, as a result, become a creditor of the issuer.
     The current credit rating of each individual issuer is listed in the table following the Portfolio of Investments and serves as an indicator of the current status of the payment/performance risk of the credit derivative. Alternatively, for credit default swaps on an index of credits, the quoted market prices and current values serve as an indicator of the current status of the payment/performance risk of the credit derivative. Generally, lower credit ratings and increasing market values, in absolute terms, represent a deterioration of the credit and a greater likelihood of an adverse credit event of the issuer.
     Credit default swaps may involve greater risks than if a Fund had invested in the issuer directly. Credit default swaps are subject to general market risk, counterparty risk and credit risk. Swap agreements are not entered into or traded on exchanges and there is no central clearing or guaranty function for swaps. Therefore, swaps are subject to the risk of default or non-performance by the counterparty. If there is a default by the counterparty to a swap agreement, the Fund will have contractual remedies pursuant to the agreements related to the transaction. Counterparties are required to pledge collateral daily (based on the valuation of each swap) on behalf of the Fund with a value approximately equal to the amount of any unrealized gain. Reciprocally, when the Fund has an unrealized loss on a swap contract, the Fund has instructed the custodian to pledge cash or liquid securities as collateral with a value approximately equal to the amount of the unrealized loss. Collateral pledges are monitored and subsequently adjusted if and when the swap valuations fluctuate. Cash collateral is disclosed in the table following the Portfolio of Investments. For cash collateral received, the Fund pays a monthly fee to the counterparty based on the effective rate for Federal Funds.

 

 

Item 2. Controls and Procedures.
(a) The Fund’s principal executive officer and principal financial officer have concluded that the Fund’s disclosure controls and procedures are sufficient to ensure that information required to be disclosed by the Fund in this Form N-Q was recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms, based upon such officers’ evaluation of these controls and procedures as of a date within 90 days of the filing date of the report.
(b) There were no changes in the Fund’s internal control over financial reporting that occurred during the registrant’s fiscal quarter that has materially affected, or is reasonably likely to materially affect, the Fund’s internal control over financial reporting.
Item 3. Exhibits.
(a) A certification for the Principal Executive Officer of the registrant is attached hereto as part of EX-99.cert.
(b) A certification for the Principal Financial Officer of the registrant is attached hereto as 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) Van Kampen Trust    
 
        
By:
  /s/ Edward C. Wood III    
 
       
Name: Edward C. Wood III    
Title: Principal Executive Officer    
Date: January 20, 2009    
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
         
By:
  /s/ Edward C. Wood III    
 
       
Name: Edward C. Wood III    
Title: Principal Executive Officer    
Date: January 20, 2009    
 
        
By:
  /s/ Stuart N. Schuldt    
 
       
Name: Stuart N. Schuldt    
Title: Principal Financial Officer    
Date: January 20, 2009