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UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number: 811-05151 J.P. Morgan Mutual Fund Group (Exact name of registrant as specified in charter) 245 Park Avenue New York, NY 10167 (Address of principal executive offices) (Zip code) John Fitzgerald 245 Park Avenue New York, NY 10167 (Name and Address of Agent for Service) Registrants telephone number, including area code: (800) 480-4111 Date of fiscal year end: Last day of February Date of reporting period: March 1, 2007 through February 29, 2008 Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
ANNUAL
REPORT FEBRUARY 29, 2008
Presidents
Letter |
1 | |||||
Fund
Commentaries: |
||||||
JPMorgan Bond
Fund |
2 | |||||
JPMorgan
Emerging Markets Debt Fund |
4 | |||||
JPMorgan
Enhanced Income Fund |
6 | |||||
JPMorgan Real
Return Fund |
8 | |||||
JPMorgan
Short Term Bond Fund |
10 | |||||
JPMorgan
Short Term Bond Fund II |
12 | |||||
JPMorgan
Strategic Income Fund |
14 | |||||
Schedules of
Portfolio Investments |
16 | |||||
Financial
Statements |
88 | |||||
Financial
Highlights |
110 | |||||
Notes to
Financial Statements |
128 | |||||
Report of
Independent Registered Public Accounting Firm |
140 | |||||
Trustees
|
141 | |||||
Officers
|
143 | |||||
Schedule of
Shareholder Expenses |
144 | |||||
Tax Letter
|
147 |
Despite market volatility, disarray in the credit and sub-prime mortgage markets, increased risk aversion and decelerating economic growth, the U.S. taxable bond market significantly outperformed the stock market, with higher- quality bonds leading the way. |
Fund Inception
|
July 26, 1993 |
|||||
Fiscal Year End
|
Last Day of February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$1,679,550 |
|||||
Primary Benchmark
|
Lehman Brothers U.S. Aggregate Index |
|||||
Average Credit
Quality |
AA |
|||||
Duration
|
4.6 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Bond Fund, which seeks to provide high total return consistent with moderate risk of capital and maintenance of liquidity,* returned 0.46%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 7.30% return for the Lehman Brothers U.S. Aggregate Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime write-downs, questionable monoline insurance and negative ratings actions caused spreads across the entire ABS sector to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The specific ABS we selected, which were slightly more volatile than those represented in the benchmark, combined with an overweight in the ABS sector detracted from relative performance. An overweight in mortgage-backed securities also detracted from performance, as spreads throughout the mortgage market widened due to liquidity concerns, higher volatility and general risk aversion. Similarly, the Funds investment-grade corporate and high-yield allocations hurt returns. Spreads on investment-grade corporate bonds, in general, widened. As concerns about the credit market increased and the markets flight to quality intensified, the high-yield bond market struggled. |
On the positive side, the Funds yield-curve and duration positioning contributed to performance. These strategies benefited from the yield-curve steepening that occurred as the Federal Reserve continued to cut rates aggressively. The Funds performance also benefited from its modest position in Treasuries and agencies, which rallied in the flight-to-quality environment. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
The portfolio management team balanced top-down macroeconomic themes with bottom-up security selection and interest rate management. The Fund also allocated its investments to extended sectors, such as emerging market and high-yield debt. |
Corporate Bonds
|
32.3 | % | ||||
Collateralized
Mortgage Obligations |
24.9 | |||||
Mortgage
Pass-Through Securities |
19.6 | |||||
Asset-Backed
Securities |
8.3 | |||||
Foreign
Government Securities |
4.7 | |||||
Commercial
Mortgage-Backed Securities |
3.3 | |||||
Options
Purchased |
2.0 | |||||
U.S. Treasury
Obligations |
1.3 | |||||
Others (each
less than 1.0%) |
2.0 | |||||
Short-Term
Investments |
1.6 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total long investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
9/10/01 | |||||||||||||||||
Without Sales
Charge |
(0.60 | )% | 3.05 | % | 4.86 | % | ||||||||||||
With Sales
Charge* |
(4.37 | ) | 2.27 | 4.46 | ||||||||||||||
CLASS B
SHARES |
9/10/01 | |||||||||||||||||
Without
CDSC |
(1.36 | ) | 2.27 | 4.30 | ||||||||||||||
With
CDSC** |
(6.36 | ) | 1.90 | 4.30 | ||||||||||||||
CLASS C
SHARES |
3/31/03 | |||||||||||||||||
Without
CDSC |
(1.33 | ) | 2.37 | 4.36 | ||||||||||||||
With
CDSC*** |
(2.33 | ) | 2.37 | 4.36 | ||||||||||||||
SELECT CLASS
SHARES |
9/10/01 | (0.60 | ) | 3.07 | 4.85 | |||||||||||||
INSTITUTIONAL
CLASS SHARES |
7/26/93 | (0.46 | ) | 3.24 | 5.03 | |||||||||||||
ULTRA
SHARES |
9/10/01 | (0.34 | ) | 3.34 | 5.14 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
Fund Inception
|
April 17, 1997 |
|||||
Fiscal Year End
|
Last Day of February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$300,722 |
|||||
Primary Benchmark
|
JPMorgan Emerging Markets Bond Index Global |
|||||
Average Credit
Quality |
BB+ |
|||||
Duration |
6.9 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Emerging Markets Debt Fund, which seeks to provide high total return from a portfolio of fixed income securities of emerging markets issuers,* returned 4.48%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 5.51% return for the JPMorgan Emerging Markets Bond Index Global for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period, as spreads widened in the Funds emerging markets holdings. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. Concerns about recession in the U.S. economy and the health of the financial sector continued to weigh on these markets. In particular, the Funds positions in Venezuela, Argentina and the Ukraine detracted from performance. In Venezuela, continued high oil prices couldnt offset the effects of political volatility ahead of a constitutional referendum, leading to a sell-off in the bond market. The Funds overweight in Venezuela compounded the impact. Overall, higher-volatility credits, including our Argentinean position, underperformed the market as a whole. On the positive side, the Funds underweight in Turkey contributed to performance. In addition, security selection in Brazil and Uruguay helped returns. Although unrest in the U.S. credit markets had an influence on emerging market debt, it did not alter the emerging markets fundamentals. In particular, commodity prices continued to reach new highs, supporting the trade balance of most emerging market economies. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
Although we remained optimistic toward the long-term outlook of emerging markets countries, we pursued our fundamental investment process with caution, given the volatility in the market. We continued to rely on our sector-specialist teams to identify relative-value security selection opportunities in an effort to overweight undervalued issues and underweight overvalued issues. Throughout the one-year period, we positioned the Fund with a bias toward countries with the potential to be strongly insulated from a higher-rate environment, including those we believed unlikely to require current financing. We also favored commodity-exporting countries and those with trade surpluses. |
Foreign
Government Securities |
73.6 | % | ||||
Corporate Bonds
|
20.1 | |||||
U.S. Treasury
Obligations |
2.2 | |||||
Others (each
less than 1.0%) |
0.8 | |||||
Short-Term
Investment |
3.3 |
Russia
|
14.4 | % | ||||
Brazil
|
13.0 | |||||
Venezuela
|
10.4 | |||||
Argentina
|
10.0 | |||||
Ukraine
|
7.1 | |||||
United States
|
5.5 | |||||
Turkey
|
5.4 | |||||
Philippines
|
3.8 | |||||
Colombia
|
3.4 | |||||
Mexico
|
3.3 | |||||
Dominican
Republic |
3.0 | |||||
Guatemala
|
2.9 | |||||
Indonesia
|
2.7 | |||||
Peru
|
2.4 | |||||
Egypt
|
1.8 | |||||
Costa Rica
|
1.4 | |||||
Chile
|
1.4 | |||||
Uruguay
|
1.2 | |||||
El Salvador
|
1.1 | |||||
Trinidad &
Tobago |
1.1 | |||||
Ghana
|
1.1 | |||||
Others (each
less than 1.0%) |
3.6 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
6/30/06 | |||||||||||||||||
Without Sales
Charge |
4.22 | % | 13.84 | % | 10.80 | % | ||||||||||||
With Sales
Charge* |
0.31 | 12.98 | 10.39 | |||||||||||||||
CLASS C
SHARES |
6/30/06 | |||||||||||||||||
Without
CDSC |
3.63 | 13.65 | 10.71 | |||||||||||||||
With
CDSC** |
2.63 | 13.65 | 10.71 | |||||||||||||||
CLASS R5
SHARES*** |
5/15/06 | 4.67 | 14.03 | 10.90 | ||||||||||||||
SELECT CLASS
SHARES |
4/17/97 | 4.48 | 13.95 | 10.86 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
*** |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
Fund Inception
|
November 30,
2001 |
|||||
Fiscal Year End
|
Last Day of
February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$103,178 |
|||||
Primary Benchmark
|
Merrill Lynch
USD LIBOR 3 Month Constant Maturity Index |
|||||
Average Credit
Quality |
AA |
|||||
Duration
|
0.1
Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Enhanced Income Fund, which seeks to provide high current income consistent with principal preservation,* returned 2.53%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 5.74% return for the Merrill Lynch USD LIBOR 3 Month Constant Maturity Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Funds exposure to certain sub-prime ABS securities performed poorly even though most had quality ratings of AAA and AA. An overweight in mortgage-backed securities also detracted from performance, as spreads widened throughout the sector due to liquidity concerns, higher volatility and general risk aversion. Similarly, the Funds investment-grade corporate allocation also hindered performance, as spreads generally widened. On the positive side, the Funds performance benefited from hedging strategies we implemented to manage the risks associated with spread-widening in the mortgage-backed securities and collateralized mortgage obligation markets. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to balance top-down macroeconomic themes with bottom-up security selection, using interest rate management. We also attempted to utilize allocations in a broad range of sectors and tactically manage duration. The Fund typically maintained a duration of 1.5 years or less. |
Corporate Bonds
|
24.8 | % | ||||
Asset-Backed
Securities |
18.7 | |||||
Collateralized
Mortgage Obligations |
14.1 | |||||
Mortgage
Pass-Through Securities |
5.2 | |||||
Commercial
Mortgage-Backed Securities |
1.7 | |||||
Others (each
less than 1.0%) |
1.5 | |||||
Short-Term
Investments |
34.0 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total long investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE |
1 YEAR |
5 YEAR |
SINCE INCEPTION |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INSTITUTIONAL
CLASS SHARES |
11/30/01 | (2.53 | )% | 1.78 | % | 1.81 | % |
Fund Inception
|
September 1, 2005 |
|||||
Fiscal Year End
|
Last Day of February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$77,695 |
|||||
Primary Benchmark
|
Lehman Brothers U.S. TIPS Index |
|||||
Average Credit
Quality |
AAA |
|||||
Duration
|
7.7 Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Real Return Fund, which seeks to maximize inflation protected return,* returned 12.16%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 14.88% return for the Lehman Brothers U.S. TIPS Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its exposure to mortgage-backed securities (MBS) and asset-backed securities (ABS). In particular, an overweight in MBS detracted from performance, as spreads throughout the mortgage market widened in the wake of liquidity concerns, higher volatility and general risk aversion. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. Spreads also widened dramatically for the Funds ABS, which hurt returns as the ABS market responded to news of sub-prime write-downs, questionable monoline insurance and ratings downgrades. The specific ABS we selected, which were slightly more volatile than those represented in the benchmark, combined with an overweight in the ABS sector detracted from relative performance. |
On the positive side, an overweight in Treasury Inflation-Protected Securities (TIPS) contributed to performance. TIPS outperformed on expectations of rising inflation. Increased commodity and food prices, and strong demand for government securities stemming from recession fears and waning liquidity fueled inflation fears. In addition, the Funds yield-curve and duration positioning were beneficial to performance. These strategies benefited from the yield-curve steepening that occurred as the Federal Reserve continued to cut rates aggressively. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to seek opportunistic, relative-value investments in inflation-linked (TIPS) and non-inflation linked securities, domestically and globally. We balanced top-down macroeconomic themes with bottom-up security selection. In addition, we employed interest rate management as part of our investment and risk management strategy. |
U.S. Treasury
Obligations |
72.3 | % | ||||
Mortgage
Pass-Through Securities |
13.0 | |||||
Collateralized
Mortgage Obligations |
5.1 | |||||
Options
Purchased |
1.7 | |||||
Corporate Bonds
|
1.6 | |||||
Asset-Backed
Securities |
1.5 | |||||
Others (each
less than 1.0%) |
0.6 | |||||
Short-Term
Investments |
4.2 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total long investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
SINCE INCEPTION |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
9/1/05 | |||||||||||||
Without Sales
Charge |
11.83 | % | 5.00 | % | ||||||||||
With Sales
Charge* |
7.67 | 3.40 | ||||||||||||
CLASS C
SHARES |
9/1/05 | |||||||||||||
Without
CDSC |
11.24 | 4.45 | ||||||||||||
With
CDSC** |
10.24 | 4.45 | ||||||||||||
SELECT CLASS
SHARES |
9/1/05 | 12.15 | 5.28 | |||||||||||
INSTITUTIONAL
CLASS SHARES |
9/1/05 | 12.32 | 5.44 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
Fund Inception
|
September 13,
1993 |
|||||
Fiscal Year End
|
Last Day of
February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$1,071,994 |
|||||
Primary Benchmark
|
Merrill Lynch
13 Year Treasury Index |
|||||
Average Credit
Quality |
AA |
|||||
Duration
|
1.8
Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Short Term Bond Fund, which seeks to provide high total return, consistent with low volatility of principal,* returned 1.73%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 9.17% return for the Merrill Lynch 13 Year Treasury Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Funds exposure to certain sub-prime ABS securities performed poorly, even though most had quality ratings of AAA and AA. The Funds allocation to investment-grade corporate bonds also detracted from performance, as spreads on these securities generally widened. The Funds position in commercial mortgage-backed securities also suffered from sector-wide spread-widening, stemming from continued economic uncertainty and general risk aversion. |
On the positive side, the Funds performance benefited from hedging strategies we implemented to manage the risks associated with corporate spread-widening. The Fund also benefited from favorable yield-curve and duration positioning, as the yield curve steepened during the period due to the Federal Reserves aggressive rate cuts. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to balance top-down macroeconomic themes with bottom-up security selection. In addition, we employed interest rate management as part of our investment and risk management strategies. |
Corporate Bonds
|
28.7 | % | ||||
Asset-Backed
Securities |
17.5 | |||||
U.S. Treasury
Obligations |
13.4 | |||||
Mortgage
Pass-Through Securities |
12.2 | |||||
U.S. Government
Agency Securities |
9.0 | |||||
Collateralized
Mortgage Obligations |
7.8 | |||||
Commercial
Mortgage-Backed Securities |
7.3 | |||||
Options
Purchased |
1.0 | |||||
Others (each
less than 1.0%) |
0.2 | |||||
Short-Term
Investments |
2.9 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total long investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
9/10/01 | |||||||||||||||||
Without Sales
Charge |
1.37 | % | 1.99 | % | 3.82 | % | ||||||||||||
With Sales
Charge* |
(0.92 | ) | 1.53 | 3.58 | ||||||||||||||
SELECT CLASS
SHARES |
9/10/01 | 1.58 | 2.19 | 3.96 | ||||||||||||||
INSTITUTIONAL
CLASS SHARES |
9/13/93 | 1.73 | 2.42 | 4.22 |
* |
Sales Charge for Class A Shares is 2.25% |
Fund Inception
|
November 30,
1990 |
|||||
Fiscal Year End
|
Last Day of
February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$249,797 |
|||||
Primary Benchmark
|
Lehman
Brothers 13 Year U.S. Government Bond Index |
|||||
Average Credit
Quality |
AA |
|||||
Duration
|
1.6
Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Short Term Bond Fund II, which seeks a high level of income, consistent with preservation of capital,* returned 3.14%** (Select Class Shares) for the 12 months ended February 29, 2008, compared to the 8.86% return for the Lehman Brothers 13 Year U.S. Government Bond Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its allocation in asset-backed securities (ABS). Concerns surrounding sub-prime writedowns, questionable monoline insurance and negative ratings actions caused spreads on all ABS to widen dramatically. Generally, when spreads of a particular group of securities widen, prices fall, yields increase and total returns decline relative to comparable-duration U.S. Treasuries. The Funds exposure to certain sub-prime ABS securities performed poorly, even though most had quality ratings of AAA and AA. The Funds allocation in investment-grade corporate bonds also experienced spread-widening, as the entire sector fell victim to worries surrounding monoline insurers, commercial real estate and macroeconomic weakness. In addition, the Funds holdings in commercial mortgage-backed securities (CMBS) detracted from performance. Continued economic uncertainty and general risk aversion led to spread widening throughout the CMBS market. |
On the positive side, the Fund benefited from its yield-curve and duration strategies, which responded favorably to the periods yield-curve steepening stemming from the Federal Reserves aggressive rate cuts. The Fund also realized positive results from hedging strategies we implemented to protect against the risks associated with spread widening in the collateralized mortgage obligations market. |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to balance top-down macroeconomic themes with bottom-up security selection across a global set of opportunities. We also employed interest rate management as part of our investment and risk management strategies. In addition, we utilized allocations in a broad range of sectors, including emerging market debt, while tactically managing duration. |
Corporate Bonds
|
31.1 | % | ||||
Asset-Backed
Securities |
18.5 | |||||
Commercial
Mortgage-Backed Securities |
11.8 | |||||
Collateralized
Mortgage Obligations |
10.5 | |||||
Mortgage
Pass-Through Securities |
7.6 | |||||
U.S. Government
Agency Securities |
7.1 | |||||
Foreign
Government Securities |
1.9 | |||||
Others (each
less than 1.0%) |
1.6 | |||||
Short-Term
Investments |
9.9 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
5/6/96 | |||||||||||||||||
Without Sales
Charge |
2.88 | % | 2.11 | % | 3.74 | % | ||||||||||||
With Sales
Charge* |
0.53 | 1.64 | 3.50 | |||||||||||||||
CLASS M
SHARES |
7/1/99 | |||||||||||||||||
Without Sales
Charge |
2.53 | 1.85 | 3.52 | |||||||||||||||
With Sales
Charge** |
0.99 | 1.54 | 3.36 | |||||||||||||||
SELECT CLASS
SHARES |
11/30/90 | 3.13 | 2.39 | 4.04 |
* |
Sales Charge for Class A Shares is 2.25%. |
** |
Sales Charge for Class M Shares is 1.50%. |
Fund Inception
|
March 17,
1997 |
|||||
Fiscal Year End
|
Last Day of
February |
|||||
Net Assets as of
2/29/2008 (In Thousands) |
$15,274 |
|||||
Primary Benchmark
|
Lehman
Brothers U.S. Aggregate Index |
|||||
Average Credit
Quality |
AA |
|||||
Duration
|
4.4
Years |
Q: |
HOW DID THE FUND PERFORM? |
A: |
The JPMorgan Strategic Income Fund, which seeks to provide high total return primarily from a portfolio of fixed income investments of foreign and domestic issuers and counterparties,* returned 0.53%** (Institutional Class Shares) for the 12 months ended February 29, 2008, compared to the 7.30% return for the Lehman Brothers U.S. Aggregate Index for the same period. |
Q: |
WHY DID THE FUND PERFORM THIS WAY? |
A: |
The Fund underperformed its benchmark for the period due primarily to its allocations in asset-backed securities (ABS) and mortgage-backed securities (MBS). |
Q: |
HOW WAS THE FUND MANAGED? |
A: |
We continued to balance top-down macroeconomic themes with bottom-up security selection across a global set of opportunities. In addition, we employed interest-rate-management strategies, including allocations to actively managed higher-volatility sectors. |
Mortgage
Pass-Through Securities |
26.0 | % | ||||
Corporate Bonds
|
24.3 | |||||
Foreign
Government Securities |
11.3 | |||||
Collateralized
Mortgage Obligations |
6.5 | |||||
Private
Placements |
6.1 | |||||
U.S. Treasury
Obligations |
5.4 | |||||
Asset-Backed
Securities |
2.8 | |||||
Commercial
Mortgage Backed Securities |
2.0 | |||||
Others (each
less than 1.0%) |
0.8 | |||||
Short-Term
Investments |
14.8 |
United States
|
78.4 | % | ||||
Russia
|
2.5 | |||||
Mexico
|
2.0 | |||||
Dominican
Republic |
1.9 | |||||
Luxembourg
|
1.9 | |||||
United Kingdom
|
1.8 | |||||
Iceland
|
1.7 | |||||
Ghana |
1.6 | |||||
Cayman Islands
|
1.0 | |||||
Others (each
less than 1.0%) |
7.2 |
* |
The advisor seeks to achieve the Funds objective. There can be no guarantee it will be achieved. |
** |
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
*** |
Percentages indicated are based upon total long investments as of February 29, 2008. The Funds composition is subject to change. |
INCEPTION DATE OF CLASS |
1 YEAR |
5 YEAR |
10 YEAR |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CLASS A
SHARES |
9/10/01 | |||||||||||||||||
Without Sales
Charge |
0.02 | % | 4.78 | % | 4.30 | % | ||||||||||||
With Sales
Charge* |
(3.73 | ) | 3.98 | 3.91 | ||||||||||||||
CLASS B
SHARES |
2/19/05 | |||||||||||||||||
Without
CDSC |
(0.41 | ) | 4.47 | 4.15 | ||||||||||||||
With
CDSC** |
(5.41 | ) | 4.13 | 4.15 | ||||||||||||||
CLASS C
SHARES |
2/19/05 | |||||||||||||||||
Without
CDSC |
(0.39 | ) | 4.48 | 4.15 | ||||||||||||||
With
CDSC*** |
(1.39 | ) | 4.48 | 4.15 | ||||||||||||||
SELECT CLASS
SHARES |
9/10/01 | 0.38 | 5.04 | 4.50 | ||||||||||||||
INSTITUTIONAL
CLASS SHARES |
3/17/97 | 0.53 | 5.33 | 4.82 |
* |
Sales Charge for Class A Shares is 3.75%. |
** |
Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** |
Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 118.3% |
|||||||||||
Asset-Backed Securities 10.2% |
|||||||||||
5,000 | Accredited Mortgage Loan Trust, Series 2006-1, Class A3, FRN, 3.32%, 04/25/36 (m) |
4,386 | |||||||||
923 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) |
921 | |||||||||
1,450 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 3.35%, 11/15/11 (m) |
1,390 | |||||||||
Capital One Auto Finance Trust, |
|||||||||||
1,243 | Series 2004-A, Class A4, FRN, 3.22%, 03/15/11 (m) |
1,240 | |||||||||
8,000 | Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) |
7,799 | |||||||||
Capital One Prime Auto Receivables Trust, |
|||||||||||
1,500 | Series 2005-1, Class A4, FRN, 3.14%, 04/15/11 (m) |
1,493 | |||||||||
4,963 | Series 2007-1, Class A2, 5.43%, 02/15/10 (m) |
5,004 | |||||||||
Carmax Auto Owner Trust, |
|||||||||||
5,000 | Series 2006-1, Class A4, 5.41%, 06/15/11 (m) |
5,165 | |||||||||
5,000 | Series 2007-1, Class A4, 5.24%, 06/15/12 (m) |
5,176 | |||||||||
Citibank Credit Card Issuance Trust, |
|||||||||||
1,555 | Series 2004-A8, Class A8, 4.90%, 12/12/16 (m) |
1,560 | |||||||||
1,145 | Series 2005-A9, Class A9, 5.10%, 11/20/17 (m) |
1,147 | |||||||||
9,950 | Series 2006-C4, Class C4, FRN, 4.44%, 01/09/12 (m) |
9,319 | |||||||||
Citigroup Mortgage Loan Trust, Inc., |
|||||||||||
1,300 | Series 2003-HE3, Class A, FRN, 3.52%, 12/25/33 (m) |
1,075 | |||||||||
5,122 | Series 2007-AHL2, Class A3A, FRN, 3.21%, 05/25/37 (m) |
4,903 | |||||||||
600 | CNH Equipment Trust, Series 2005-B, Class A3, 4.27%, 01/15/10 (m) |
601 | |||||||||
Countrywide Asset Backed Certificates, |
|||||||||||
4,133 | Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) |
3,854 | |||||||||
18 | Series 2004-1, Class 3A, FRN, 3.42%, 04/25/34 (m) |
16 | |||||||||
1,320 | Series 2004-1, Class M1, FRN, 3.64%, 03/25/34 (m) |
1,162 | |||||||||
1,080 | Series 2004-1, Class M2, FRN, 3.69%, 03/25/34 (m) |
937 | |||||||||
511 | Series 2005-3, Class AF3, VAR, 4.82%, 09/25/31 (m) |
511 | |||||||||
940 | Series 2005-11, Class AF3, VAR, 4.78%, 02/25/36 (m) |
889 | |||||||||
Countrywide Home Equity Loan Trust, |
|||||||||||
282 | Series 2004-I, Class A, FRN, 3.41%, 05/15/29 (m) |
257 | |||||||||
336 | Series 2004-K, Class 2A, FRN, 3.42%, 11/15/29 (m) |
298 | |||||||||
49 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB1, Class AF1, SUB, 5.46%, 01/25/36 (m) |
49 | |||||||||
Ford Credit Auto Owner Trust, |
|||||||||||
1,210 | Series 2006-B, Class A2A, 5.42%, 07/15/09 (m) |
1,213 | |||||||||
5,000 | Series 2006-C, Class A3, 5.16%, 11/15/10 (m) |
5,110 | |||||||||
4,000 | Series 2007-A, Class A2A, 5.42%, 04/15/10 (m) |
4,045 | |||||||||
728 | GE Equipment Small Ticket LLC, Series 2005-1A, Class A3, 4.38%, 07/22/09 (e) (m) |
731 | |||||||||
GSAMP Trust, |
|||||||||||
17 | Series 2004-OPT, Class A1, FRN, 3.48%, 11/25/34 (m) |
15 | |||||||||
1,194 | Series 2005-WMC2, Class A2B, FRN, 3.40%, 11/25/35 (m) |
1,172 | |||||||||
10,000 | Harley-Davidson Motorcycle Trust, Series 2007-1, Class A3, 5.22%, 03/15/12 (m) |
10,230 | |||||||||
6,412 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.82%, 10/20/14 (e) (i) |
5,817 | |||||||||
1,465 | Home Equity Asset Trust, Series 2005-8, Class M2, FRN, 3.59%, 02/25/36 (m) |
1,129 | |||||||||
5,000 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 3.33%, 01/25/36 (m) |
4,156 | |||||||||
K2 (USA) LLC, |
|||||||||||
8,000 | Series 2, VAR, 5.61%, 02/15/11 (f) (i) (s) (v) |
1,786 | |||||||||
9,000 | Series 2007-2D, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) |
2,009 | |||||||||
8,500 | Series 2007-2I, VAR, 5.81%, 02/15/10 (f) (i) (s) (v) |
1,897 | |||||||||
9,000 | Series 2007-2J, VAR, 5.81%, 02/15/11 (f) (i) (s) (v) |
2,009 | |||||||||
2,500 | VAR, 5.62%, 02/15/10 (f) (i) (s) (v) |
558 | |||||||||
1,074 | Lehman XS Trust, Series 2005-7N, Class 1A1A, FRN, 3.41%, 11/25/35 (m) |
923 | |||||||||
3,100 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) |
930 | |||||||||
Long Beach Mortgage Loan Trust, |
|||||||||||
2,000 | Series 2003-4, Class M1, FRN, 3.82%, 08/25/33 (m) |
1,723 | |||||||||
2,030 | Series 2004-1, Class M1, FRN, 3.64%, 02/25/34 (m) |
1,831 | |||||||||
1,360 | Series 2004-1, Class M2, FRN, 3.69%, 02/25/34 (m) |
1,202 | |||||||||
1,500 | Series 2004-3, Class M1, FRN, 3.71%, 07/25/34 (m) |
1,316 | |||||||||
MASTR Asset Backed Securities Trust, |
|||||||||||
3,041 | Series 2006-AB1, Class A1, FRN, 3.28%, 02/25/36 (m) |
2,980 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Asset-Backed Securities Continued |
|||||||||||
5,000 | Series 2006-NC1, Class A3, FRN, 3.33%, 01/25/36 (m) |
4,585 | |||||||||
3,000 | MBNA Credit Card Master Note Trust, Series 2001-C2, Class C2, FRN, 4.27%, 12/15/10 (e) (m) |
3,000 | |||||||||
5,000 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) |
4,691 | |||||||||
8,000 | Nationstar Home Equity Loan Trust, Series 2007-C, Class 2AV2, FRN, 3.27%, 06/25/37 (m) |
7,165 | |||||||||
New Century Home Equity Loan Trust, |
|||||||||||
1,350 | Series 2005-1, Class M1, FRN, 3.59%, 03/25/35 (m) |
1,223 | |||||||||
320 | Series 2005-B, Class A2B, FRN, 3.32%, 10/25/35 (m) |
318 | |||||||||
4,000 | Newcastle Mortgage Securities Trust, Series 2006-1, Class A2, FRN, 3.26%, 03/25/36 (m) |
3,922 | |||||||||
Option One Mortgage Loan Trust, |
|||||||||||
507 | Series 2003-1, Class A2, FRN, 3.98%, 02/25/33 (m) |
470 | |||||||||
311 | Series 2003-5, Class A2, FRN, 3.46%, 08/25/33 (m) |
288 | |||||||||
5,307 | Series 2007-4, Class 2A1, FRN, 3.23%, 04/25/37 (m) |
5,021 | |||||||||
2,000 | Peco Energy Transition Trust, Series 2000-A, Class A3, 7.63%, 03/01/10 (m) |
2,081 | |||||||||
2,650 | PSE&G Transition Funding LLC, Series 2001-1, Class A6, 6.61%, 06/15/15 (m) |
2,932 | |||||||||
Residential Asset Mortgage Products, Inc., |
|||||||||||
3,550 | Series 2005-EFC5, Class M1, FRN, 3.54%, 10/01/35 (m) |
3,089 | |||||||||
1,838 | Series 2006-RS1, Class AI2, FRN, 3.37%, 01/25/36 (m) |
1,706 | |||||||||
Residential Asset Securities Corp., |
|||||||||||
297 | Series 2002-KS4, Class AIIB, FRN, 3.64%, 07/25/32 (m) |
270 | |||||||||
478 | Series 2003-KS5, Class AIIB, FRN, 3.72%, 07/25/33 (m) |
409 | |||||||||
4,870 | Series 2005-KS10, Class M1, FRN, 3.55%, 11/25/35 (m) |
4,362 | |||||||||
540 | Specialty Underwriting & Residential Finance, Series 2005-BC3, Class A2B, FRN, 3.39%, 06/25/36 (m) |
538 | |||||||||
6,365 | Structured Asset Securities Corp., Series 2006-WF2, Class M2, FRN, 3.43%, 07/25/36 (m) |
3,020 | |||||||||
7,855 | Triad Auto Receivables Owner Trust, Series 2006-C, Class A3, 5.26%, 11/14/11 (m) |
7,805 | |||||||||
Wachovia Asset Securitization, Inc., |
|||||||||||
658 | Series 2002-HE2, Class A, FRN, 3.57%, 12/25/32 (m) |
621 | |||||||||
412 | Series 2003-HE3, Class A, FRN, 3.39%, 11/25/33 (m) |
370 | |||||||||
918 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A2, 5.28%, 04/20/10 (e) (m) |
920 | |||||||||
Total Asset-Backed Securities (Cost $212,498) |
170,740 | ||||||||||
Collateralized Mortgage Obligations 30.6% |
|||||||||||
Agency CMO 5.7% |
|||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
|||||||||||
392 | Series 2508, Class PE, 5.50%, 05/15/28 (m) |
394 | |||||||||
7,122 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) |
507 | |||||||||
3,220 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) |
268 | |||||||||
10,486 | Series 2701, Class ST, IF, IO, 3.88%, 08/15/21 (m) |
727 | |||||||||
1,839 | Series 2751, Class AI, IO, 5.00%, 04/15/22 (m) |
36 | |||||||||
2,557 | Series 2772 Class GI, IO, 5.00%, 11/15/22 (m) |
80 | |||||||||
6,407 | Series 2779, Class SM, IF, IO, 4.03%, 10/15/18 (m) |
554 | |||||||||
1,916 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) |
51 | |||||||||
24,154 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) |
1,787 | |||||||||
19,751 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) |
1,598 | |||||||||
15,111 | Series 2861, Class GS, IF, IO, 4.08%, 01/15/21 (m) |
665 | |||||||||
6,162 | Series 2891, Class LI, IO, 5.00%, 06/15/24 (m) |
248 | |||||||||
7,207 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) |
568 | |||||||||
4,768 | Series 2931, Class GA, 5.00%, 11/15/28 (m) |
4,882 | |||||||||
4,172 | Series 2971, Class Pl, IO, 5.50%, 03/15/26 (m) |
220 | |||||||||
570 | Series 2980, Class QB, 6.50%, 05/15/35 (m) |
606 | |||||||||
7,969 | Series 3029, Class S, IF, IO, 4.08%, 08/15/35 (m) |
1,011 | |||||||||
7,551 | Series 3149, Class IU, IO, 6.00%, 09/15/25 (m) |
432 | |||||||||
15,774 | Series 3174, Class SA, IF, IO, 4.58%, 04/15/36 (m) |
1,507 | |||||||||
28,602 | Series 3199, Class AD, 6.50%, 12/15/33 (m) |
29,445 | |||||||||
46,557 | Series 3316, Class SB, IF, IO, 4.08%, 08/15/35 (m) |
5,922 | |||||||||
Federal Home Loan Mortgage Corp., STRIPS, |
|||||||||||
17,254 | Series 237, Class S22, IF, IO, 4.03%, 05/15/36 (m) |
2,107 | |||||||||
4,035 | Series 248, Class IO, IO, 5.50%, 07/15/37 (m) |
920 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Agency CMO Continued |
|||||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
5,741 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) |
342 | |||||||||
4,442 | Series 2004-87, Class JI, IO, 5.00%, 11/25/30 (m) |
364 | |||||||||
1,590 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) |
1,631 | |||||||||
6,773 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) |
6,942 | |||||||||
17,245 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) |
17,709 | |||||||||
3,289 | Series 2007-50, Class CS, IF, 20.02%, 09/25/32 (m) |
3,388 | |||||||||
40,261 | Series 2007-55, Class S, IF, IO, 3.63%, 06/25/37 (m) |
3,389 | |||||||||
Federal National Mortgage Association, STRIPS, |
|||||||||||
2,821 | Series 370, Class 2, IO, 6.00%, 06/01/36 (m) |
599 | |||||||||
5,303 | Series 372, Class 2, IO, 6.00%, 08/01/36 (m) |
1,121 | |||||||||
16,194 | Series 378, Class 5, IO, 5.00%, 07/01/36 (m) |
3,432 | |||||||||
Federal National Mortgage Association Whole Loan, |
|||||||||||
156 | Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) |
164 | |||||||||
2,050 | Series 2003-W6, Class 1A41, 5.40%, 10/25/42 (m) |
2,150 | |||||||||
Government National Mortgage Association, |
|||||||||||
339 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) |
4 | |||||||||
2,184 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) |
38 | |||||||||
95,808 | |||||||||||
Non-Agency CMO 24.9% |
|||||||||||
Adjustable Rate Mortgage Trust, |
|||||||||||
296 | Series 2005-4, Class 7A2, FRN, 3.37%, 08/25/35 (m) |
264 | |||||||||
1,393 | Series 2005-5, Class 6A21, FRN, 3.37%, 09/25/35 (m) |
1,216 | |||||||||
244 | Series 2005-6A, Class 2A1, FRN, 3.45%, 11/25/35 (m) |
215 | |||||||||
9,885 | American Home Mortgage Assets, Series 2006-2, Class 2A1, FRN, 3.33%, 09/25/46 (m) |
8,348 | |||||||||
2,188 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) |
2,207 | |||||||||
29,551 | CitiMortgage Alternative Loan Trust, Series 2006-A6, Class 1A4, 6.00%, 11/25/36 (m) |
28,815 | |||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
4,207 | Series 2004-28CB, Class 3A1, 6.00%, 01/25/35 (m) |
4,003 | |||||||||
3,485 | Series 2005-51, Class 1A1, FRN, 3.43%, 11/20/35 (m) |
3,165 | |||||||||
8,598 | Series 2006-OA1, Class 2A1, FRN, 3.32%, 03/20/46 (m) |
7,000 | |||||||||
10,974 | Series 2006-OA2, Class A1, FRN, 3.32%, 05/20/46 (m) |
9,391 | |||||||||
2,972 | Series 2006-OA9, Class 1A1, FRN, 3.31%, 07/20/46 (m) |
2,502 | |||||||||
2,868 | Series 2006-OA9, Class 2A1B, FRN, 3.31%, 07/20/46 (m) |
2,415 | |||||||||
9,360 | Series 2006-OA10, Class 3A1, FRN, 3.33%, 08/25/46 (m) |
8,106 | |||||||||
4,337 | Series 2006-OA12, Class A2, FRN, 3.32%, 09/20/46 (m) |
3,474 | |||||||||
8,899 | Series 2006-OA19, Class A1, FRN, 3.29%, 02/20/47 (m) |
7,541 | |||||||||
23,689 | Series 2007-18CB, Class 2A25, 6.00%, 08/25/37 (m) |
20,136 | |||||||||
11,889 | Series 2007-OH1, Class A1D, FRN, 3.35%, 04/25/47 (m) |
10,018 | |||||||||
7,955 | Countrywide Home Loan Mortgage Pass-Through Trust, Series 2002-22, Class A20, 6.25%, 10/25/32 (m) |
7,937 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
385 | Series 2003-29, Class 7A1, 6.50%, 12/25/33 (m) |
380 | |||||||||
1,825 | Series 2004-5, Class 1A8, 6.00%, 09/25/34 (m) |
1,845 | |||||||||
6,000 | Deutsche ALT-A Securities, Inc. Alternate Loan Trust, Series 2006-AR1, Class 1A2, FRN, 3.35%, 02/25/36 (m) |
5,606 | |||||||||
8,768 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 3.41%, 10/19/45 (m) |
8,090 | |||||||||
3,000 | Granite Master Issuer plc (United Kingdom), Series 2006-2, Class A4, FRN, 3.93%, 12/20/54 (m) |
2,844 | |||||||||
Greenpoint Mortgage Funding Trust, |
|||||||||||
951 | Series 2005-AR4, Class 4A1A, FRN, 3.45%, 10/25/45 (m) |
866 | |||||||||
12,179 | Series 2006-OH1, Class A1, FRN, 3.32%, 01/25/37 (m) |
10,781 | |||||||||
Harborview Mortgage Loan Trust, |
|||||||||||
3,664 | Series 2005-3, Class 2A1A, FRN, 3.36%, 06/19/35 (m) |
3,442 | |||||||||
963 | Series 2005-8, Class 1A2A, FRN, 3.45%, 09/19/35 (m) |
862 | |||||||||
5,068 | Series 2005-13, Class 2A11, FRN, 3.40%, 02/19/36 (m) |
4,652 | |||||||||
2,263 | Series 2006-8, Class 2A1A, FRN, 3.30%, 07/21/36 (m) |
1,931 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Non-Agency CMO Continued |
|||||||||||
Indymac Index Mortgage Loan Trust, |
|||||||||||
746 | Series 2004-AR7, Class A1, FRN, 3.58%, 09/25/34 (m) |
684 | |||||||||
735 | Series 2005-AR14, Class 2A1A, FRN, 3.44%, 08/25/35 (m) |
664 | |||||||||
9,419 | Series 2006-AR2, Class 1A1A, FRN, 3.36%, 04/25/46 (m) |
8,175 | |||||||||
23,105 | Series 2006-AR2, Class 4A1, VAR, 5.94%, 09/25/36 (m) |
23,290 | |||||||||
13,014 | Lehman Mortgage Trust, Series 2007-8, Class 2A1, 6.50%, 09/25/37 (m) |
13,514 | |||||||||
904 | Medallion Trust (Australia), Series 2004-1G, Class A1, FRN, 3.22%, 05/25/35 (m) |
810 | |||||||||
4,125 | Permanent Master Issuer plc (United Kingdom), Series 2006-1, Class 2A, FRN, 4.30%, 10/17/15 (m) |
4,111 | |||||||||
RESI Finance LP (Cayman Islands), |
|||||||||||
6,325 | Series 2003-C, Class B3, FRN, 4.57%, 09/10/35 (e) (m) |
5,817 | |||||||||
1,211 | Series 2003-C, Class B4, FRN, 4.77%, 09/10/35 (e) (m) |
1,146 | |||||||||
1,342 | Series 2003-D, Class B3, FRN, 4.47%, 12/10/35 (e) (m) |
1,216 | |||||||||
1,942 | Series 2003-D, Class B4, FRN, 4.67%, 12/10/35 (e) (m) |
1,782 | |||||||||
2,298 | Series 2005-A, Class B3, FRN, 3.75%, 03/10/37 (e) (m) |
1,769 | |||||||||
769 | Series 2005-A, Class B4, FRN, 3.85%, 03/10/37 (e) (m) |
556 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
849 | Series 2005-QO4, Class 2A1, FRN, 3.42%, 12/25/45 (m) |
769 | |||||||||
6,555 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) |
6,659 | |||||||||
41,059 | Residential Funding Mortgage Securities I, Series 2007-S8, Class 1A1, 6.00%, 09/25/37 (m) |
40,354 | |||||||||
197 | SACO I, Inc., Series 1997-2, Class 1A5, 7.00%, 08/25/36 (e) (i) |
198 | |||||||||
Structured Asset Mortgage Investments, Inc., |
|||||||||||
1,120 | Series 2005-AR2, Class 2A1, FRN, 3.37%, 05/25/45 (m) |
1,029 | |||||||||
7,420 | Series 2006-AR1, Class 3A1, FRN, 3.37%, 02/25/36 (m) |
6,094 | |||||||||
WaMu Mortgage Pass Through Certificates, |
|||||||||||
692 | Series 2005-AR2, Class 2A21, FRN, 3.47%, 01/25/45 (m) |
626 | |||||||||
1,081 | Series 2005-AR9, Class A1A, FRN, 3.46%, 07/25/45 (m) |
1,006 | |||||||||
1,161 | Series 2005-AR15, Class A1A1, FRN, 3.40%, 11/25/45 (m) |
1,054 | |||||||||
695 | Series 2005-AR17, Class A1A1, FRN, 3.41%, 12/25/45 (m) |
632 | |||||||||
6,067 | Series 2007-HY4, Class 5A1, VAR, 5.67%, 11/25/36 (m) |
6,120 | |||||||||
1,331 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-AR6, Class 1A, FRN, 3.33%, 07/25/46 (m) |
1,148 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
1,727 | Series 2003-2, Class A6, 5.25%, 03/25/18 (m) |
1,762 | |||||||||
18,769 | Series 2003-M, Class A1, FRN, 4.71%, 12/25/33 (m) |
18,319 | |||||||||
3,076 | Series 2006-AR3, Class A1, FRN, 5.70%, 03/25/36 (m) |
3,093 | |||||||||
34,685 | Series 2007-10, Class 1A1, 6.00%, 07/25/37 (m) |
34,783 | |||||||||
31,012 | Series 2007-11, Class A96, 6.00%, 08/25/37 (m) |
30,983 | |||||||||
32,035 | Series 2007-AR4, Class A1, VAR, 6.01%, 08/25/37 (m) |
32,179 | |||||||||
418,394 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $529,873) |
514,202 | ||||||||||
Commercial Mortgage-Backed Securities 4.1% |
|||||||||||
Bear Stearns Commercial Mortgage Securities, |
|||||||||||
4,655 | Series 2005-PWR9, Class A4A, 4.87%, 09/11/42 (m) (y) |
4,374 | |||||||||
4,155 | Series 2005-T18, Class A4, VAR, 4.93%, 02/13/42 (m) (y) |
3,920 | |||||||||
2,515 | Series 2005-T20, Class A4A, VAR, 5.15%, 10/12/42 (m) (y) |
2,415 | |||||||||
5,000 | Series 2006-PW12, Class A4, VAR, 5.71%, 09/11/38 (m) (y) |
4,901 | |||||||||
10,000 | Commercial Mortgage Pass Through Certificates, Series 2006-C7, Class A4, VAR, 5.77%, 06/10/46 (m) |
9,834 | |||||||||
17,235 | Credit Suisse Mortgage Capital Certificates, Series 2007-C4, Class A3, VAR, 5.81%, 09/15/39 (m) |
16,532 | |||||||||
Greenwich Capital Commercial Funding Corp., |
|||||||||||
5,405 | Series 2005-GG3, Class A4, VAR, 4.80%, 08/10/42 (m) |
5,100 | |||||||||
5,405 | Series 2005-GG3, Class AJ, VAR, 4.86%, 08/10/42 (m) |
4,470 | |||||||||
LB-UBS Commercial Mortgage Trust, |
|||||||||||
105 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) |
104 | |||||||||
2,170 | Series 2006-C1, Class A4, 5.16%, 02/15/31 (m) |
2,044 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Commercial Mortgage-Backed Securities Continued |
|||||||||||
4,060 | Series 2006-C4, Class A4, VAR, 5.88%, 06/15/38 (m) |
4,020 | |||||||||
6,106 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) (m) |
5,856 | |||||||||
2,610 | Merrill Lynch Mortgage Trust, Series 2006-C1, Class A4, VAR, 5.66%, 05/12/39 (m) |
2,552 | |||||||||
1,755 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) |
1,680 | |||||||||
370 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A4, VAR, 5.08%, 03/15/42 (m) |
353 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $71,612) |
68,155 | ||||||||||
Corporate Bonds 39.7% |
|||||||||||
Aerospace & Defense 0.3% |
|||||||||||
1,145 | L-3 Communications Corp., 5.88%, 01/15/15 (m) |
1,114 | |||||||||
3,500 | United Technologies Corp., FRN, 3.15%, 06/01/09 (m) |
3,484 | |||||||||
4,598 | |||||||||||
Auto Components 0.2% |
|||||||||||
13 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 (m) |
14 | |||||||||
1,295 | Tenneco, Inc., 8.13%, 11/15/15 (e) (m) |
1,298 | |||||||||
TRW Automotive, Inc., |
|||||||||||
800 | 7.00%, 03/15/14 (e) (m) |
738 | |||||||||
825 | 7.25%, 03/15/17 (e) (m) |
751 | |||||||||
2,801 | |||||||||||
Automobiles 0.8% |
|||||||||||
Daimler Finance North America LLC, |
|||||||||||
10,280 | 5.88%, 03/15/11 (m) |
10,729 | |||||||||
3,425 | FRN, 5.54%, 03/13/09 (m) |
3,400 | |||||||||
14,129 | |||||||||||
Beverages 0.1% |
|||||||||||
1,850 | Constellation Brands, Inc., 7.25%, 09/01/16 (m) |
1,790 | |||||||||
Capital Markets 4.7% |
|||||||||||
1,900 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) |
1,872 | |||||||||
7,070 | Bear Stearns Cos., Inc. (The), FRN, 3.19%, 05/18/10 (m) (y) |
6,485 | |||||||||
Credit Suisse USA, Inc., |
|||||||||||
1,845 | 5.50%, 08/16/11 (m) |
1,935 | |||||||||
2,000 | FRN, 3.09%, 06/05/09 (m) |
1,993 | |||||||||
Goldman Sachs Group, Inc. (The), |
|||||||||||
3,865 | 5.95%, 01/15/27 (m) |
3,443 | |||||||||
4,125 | 6.75%, 10/01/37 (m) |
3,851 | |||||||||
3,525 | FRN, 4.97%, 06/23/09 (m) |
3,470 | |||||||||
560 | Hawker Beechcraft Acquisition Co. LLC/Hawker Beechcraft Co., PIK, 8.88%, 04/01/15 (m) |
571 | |||||||||
6,375 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) |
4,781 | |||||||||
Lehman Brothers Holdings, Inc., |
|||||||||||
4,665 | 5.25%, 02/06/12 (m) |
4,631 | |||||||||
3,835 | 5.75%, 01/03/17 (m) |
3,605 | |||||||||
7,000 | FRN, 3.17%, 08/21/09 (m) |
6,794 | |||||||||
3,500 | FRN, 3.23%, 05/25/10 (m) |
3,311 | |||||||||
2,360 | LVB Acquisition Merger Sub, Inc., PIK, 10.38%, 10/15/17 (e) (m) |
2,407 | |||||||||
Merrill Lynch & Co., Inc., |
|||||||||||
3,015 | 6.05%, 08/15/12 (m) |
3,140 | |||||||||
1,845 | 6.11%, 01/29/37 (m) |
1,544 | |||||||||
820 | 6.22%, 09/15/26 (m) |
733 | |||||||||
1,900 | FRN, 3.40%, 02/06/09 (m) |
1,890 | |||||||||
4,750 | FRN, 3.44%, 11/01/11 (m) |
4,422 | |||||||||
Morgan Stanley, |
|||||||||||
5,850 | 5.45%, 01/09/17 (m) |
5,750 | |||||||||
1,800 | 5.63%, 01/09/12 (m) |
1,862 | |||||||||
7,000 | FRN, 3.21%, 02/09/09 (m) |
6,951 | |||||||||
3,500 | FRN, 3.26%, 05/07/10 (m) |
3,382 | |||||||||
78,823 | |||||||||||
Chemicals 0.4% |
|||||||||||
1,060 | Huntsman LLC, 11.50%, 07/15/12 (m) |
1,129 | |||||||||
1,300 | Ineos Group Holdings plc (United Kingdom), 8.50%, 02/15/16 (e) (m) |
975 | |||||||||
Nalco Co., |
|||||||||||
1,210 | 7.75%, 11/15/11 (m) |
1,222 | |||||||||
1,000 | 8.88%, 11/15/13 (m) |
1,020 | |||||||||
765 | PolyOne Corp., 8.88%, 05/01/12 (m) |
771 | |||||||||
1,100 | Terra Capital, Inc., 7.00%, 02/01/17 (m) |
1,081 | |||||||||
6,198 | |||||||||||
Commercial Banks 7.2% |
|||||||||||
7,000 | Banco de Sabadell S.A. (Spain), FRN, 3.95%, 04/23/10 (e) (m) |
6,700 | |||||||||
7,855 | Bank of Scotland plc (United Kingdom), 5.25%, 02/21/17 (e) (m) |
8,275 | |||||||||
4,035 | Barclays Bank plc (United Kingdom), 5.93%, 12/15/16 (e) (m) (x) |
3,673 | |||||||||
620 | BB&T Capital Trust I, 5.85%, 08/18/35 (m) |
516 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Commercial Banks Continued |
|||||||||||
4,300 | BNP Paribas (France), 7.20%, 06/25/37 (e) (m) (x) |
3,950 | |||||||||
6,195 | Commonwealth Bank of Australia (Australia), 6.02%, 03/15/16 (e) (m) (x) |
5,728 | |||||||||
5,045 | Credit Agricole S.A. (France), 6.64%, 05/31/17 (e) (m) (x) |
4,313 | |||||||||
4,770 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) |
5,207 | |||||||||
5,300 | Deutsche Bank AG (Germany), 5.38%, 10/12/12 (m) |
5,562 | |||||||||
Glitnir Banki HF (Iceland), |
|||||||||||
2,375 | FRN, 4.15%, 04/20/10 (e) (m) |
2,192 | |||||||||
6,675 | FRN, 4.33%, 01/21/11 (e) (m) |
5,804 | |||||||||
1,500 | FRN, 4.42%, 10/15/08 (e) (m) |
1,501 | |||||||||
HBOS plc (United Kingdom), |
|||||||||||
5,000 | 5.92%, 10/01/15 (e) (m) (x) |
4,258 | |||||||||
2,015 | 6.66%, 05/21/37 (e) (m) (x) |
1,605 | |||||||||
2,675 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) (m) |
2,575 | |||||||||
1,720 | Industrial Bank of Korea (South Korea), VAR, 4.00%, 05/19/14 (e) (m) |
1,713 | |||||||||
7,500 | Korea Development Bank (South Korea), FRN, 4.84%, 04/03/10 (m) |
7,489 | |||||||||
4,250 | Landsbanki Islands HF (Iceland), 6.10%, 08/25/11 (e) (m) |
4,165 | |||||||||
3,400 | Royal Bank of Scotland Group plc (United Kingdom), 7.64%, 09/29/17 (m) (x) |
3,380 | |||||||||
5,665 | Shinsei Finance II (Cayman Islands), 7.16%, 07/25/16 (e) (m) (x) |
4,240 | |||||||||
5,140 | Societe Generale (France), 5.92%, 04/05/17 (e) (m) (x) |
4,634 | |||||||||
2,200 | Standard Chartered plc (United Kingdom), 6.41%, 01/30/17 (e) (m) (x) |
1,944 | |||||||||
4,500 | VTB 24 Capital plc for Bank VTB 24 OJSC (Ireland), FRN, 3.83%, 12/07/09 |
4,337 | |||||||||
8,525 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) |
8,461 | |||||||||
6,600 | Wachovia Capital Trust III, 5.80%, 03/15/11 (m) (x) |
5,198 | |||||||||
5,000 | Wachovia Corp., 7.98%, 03/15/18 (m) (x) |
5,192 | |||||||||
2,070 | Wells Fargo Bank N.A., 6.45%, 02/01/11 (m) |
2,216 | |||||||||
Woori Bank (South Korea), |
|||||||||||
2,335 | VAR, 5.75%, 03/13/14 (e) (m) |
2,333 | |||||||||
4,615 | VAR, 6.21%, 05/02/37 (e) (m) |
3,627 | |||||||||
120,788 | |||||||||||
Commercial Services & Supplies 0.2% |
|||||||||||
1,320 | ACCO Brands Corp., 7.63%, 08/15/15 (m) |
1,148 | |||||||||
Allied Waste North America, Inc., |
|||||||||||
1,065 | 7.25%, 03/15/15 (m) |
1,058 | |||||||||
495 | 7.38%, 04/15/14 (m) |
476 | |||||||||
415 | Corrections Corp. of America, 6.25%, 03/15/13 (m) |
414 | |||||||||
830 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (d) (m) |
403 | |||||||||
3,499 | |||||||||||
Communications Equipment 0.2% |
|||||||||||
4,000 | Cisco Systems, Inc., FRN, 3.16%, 02/20/09 (m) |
3,996 | |||||||||
Consumer Finance 1.0% |
|||||||||||
6,000 | Discover Financial Services, FRN, 5.66%, 06/11/10 (e) (m) |
5,351 | |||||||||
2,830 | Ford Motor Credit Co. LLC, 7.80%, 06/01/12 (m) |
2,440 | |||||||||
2,250 | General Electric Capital Corp., FRN, 3.27%, 10/26/09 (m) |
2,243 | |||||||||
1,335 | GMAC LLC, 6.88%, 08/28/12 (m) |
1,066 | |||||||||
2,000 | HSBC Finance Corp., FRN, 5.12%, 09/15/08 (m) |
1,985 | |||||||||
2,000 | International Lease Finance Corp., FRN, 3.31%, 05/24/10 (m) |
1,910 | |||||||||
1,655 | SLM Corp., 3.63%, 03/17/08 (m) |
1,651 | |||||||||
16,646 | |||||||||||
Containers & Packaging 0.1% |
|||||||||||
615 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) |
637 | |||||||||
1,130 | Smurfit-Stone Container Enterprises, Inc., 8.38%, 07/01/12 (m) |
1,062 | |||||||||
1,699 | |||||||||||
Diversified Consumer Services 0.1% |
|||||||||||
780 | Service Corp. International, 7.38%, 10/01/14 (m) |
796 | |||||||||
985 | Stewart Enterprises, Inc., 6.25%, 02/15/13 (m) |
923 | |||||||||
1,719 | |||||||||||
Diversified Financial Services 4.5% |
|||||||||||
3,250 | Caterpillar Financial Services Corp., FRN, 3.13%, 05/18/09 (m) |
3,234 | |||||||||
CIT Group, Inc., |
|||||||||||
3,500 | FRN, 3.19%, 08/17/09 (m) |
3,208 | |||||||||
3,100 | FRN, 3.40%, 01/30/09 (m) |
2,907 | |||||||||
Citigroup, Inc., |
|||||||||||
4,870 | 6.00%, 08/15/17 (m) |
4,991 | |||||||||
3,890 | 6.13%, 11/21/17 (m) |
3,993 | |||||||||
8,035 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) |
6,004 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Diversified Financial Services Continued |
|||||||||||
3,750 | IBM International Group Capital LLC, 5.05%, 10/22/12 (m) |
3,949 | |||||||||
Kaupthing Bank HF (Iceland), |
|||||||||||
6,650 | 5.75%, 10/04/11 (e) (m) |
5,881 | |||||||||
5,275 | FRN, 5.96%, 01/15/10 (e) (m) |
4,745 | |||||||||
1,815 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) |
1,834 | |||||||||
7,073 | Mizuho Preferred Capital Co. LLC, 8.79%, 06/30/08 (e) (m) (x) |
7,147 | |||||||||
3,275 | MUFG Capital Finance 1 Ltd. (Cayman Islands), 6.35%, 07/25/16 (x) |
2,870 | |||||||||
6,425 | Pemex Finance Ltd. (Cayman Islands), FRN, 7.04%, 10/15/09 |
6,521 | |||||||||
7,650 | QBE Capital Funding II LP (United Kingdom), 6.80%, 06/01/17 (e) (m) (x) |
7,019 | |||||||||
3,475 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08%, 01/25/17 (e) (m) (x) |
3,020 | |||||||||
1,250 | TIAA Global Markets, Inc., FRN, 4.48%, 01/12/11 (e) (m) |
1,253 | |||||||||
2,960 | TRAINS, Series HY1-2006, VAR, 7.12%, 05/01/16 (e) (m) |
2,893 | |||||||||
1,105 | Visant Corp., 7.63%, 10/01/12 (m) |
1,066 | |||||||||
3,020 | ZFS Finance USA Trust II, VAR, 6.45%, 12/15/65 (e) (m) |
2,743 | |||||||||
75,278 | |||||||||||
Diversified Telecommunication Services 1.7% |
|||||||||||
1,220 | Consolidated Communications Illinois/Texas Holdings, Inc., 9.75%, 04/01/12 (m) |
1,280 | |||||||||
1,475 | Nordic Telephone Co. Holdings (Denmark), 8.88%, 05/01/16 (e) (m) |
1,453 | |||||||||
94 | Qwest Communications International, Inc., FRN, 6.57%, 02/15/09 (m) |
93 | |||||||||
340 | Qwest Corp., 8.88%, 03/15/12 (m) |
355 | |||||||||
5,395 | Sprint Capital Corp., 6.13%, 11/15/08 (m) |
5,260 | |||||||||
Telefonica Emisiones S.A.U. (Spain), |
|||||||||||
9,610 | 5.86%, 02/04/13 (m) |
10,010 | |||||||||
6,000 | FRN, 5.23%, 06/19/09 (m) |
5,926 | |||||||||
4,065 | Verizon Communications, Inc., 6.40%, 02/15/38 (m) |
4,064 | |||||||||
725 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) (m) |
734 | |||||||||
29,175 | |||||||||||
Electrical Equipment 0.0% (g) |
|||||||||||
495 | Baldor Electric Co., 8.63%, 2/15/17 (m) |
485 | |||||||||
Electric Utilities 0.8% |
|||||||||||
10,525 | Abu Dhabi National Energy Co. (United Arab Emirates), 5.62%, 10/25/12 (e) (m) |
10,760 | |||||||||
600 | Mirant Americas Generation LLC, 8.30%, 05/01/11 (m) |
604 | |||||||||
525 | Texas Competitive Electric Holdings Co. LLC, 10.25%, 11/01/15 (e) (m) |
512 | |||||||||
1,635 | Virginia Electric and Power Co., 6.35%, 11/30/37 (m) |
1,693 | |||||||||
13,569 | |||||||||||
Electronic Equipment & Instruments 0.1% |
|||||||||||
1,185 | NXP BV/NXP Funding LLC (Netherlands), 9.50%, 10/15/15 (m) |
983 | |||||||||
Food & Staples Retailing 1.4% |
|||||||||||
5,500 | CVS/Caremark Corp., FRN, 3.38%, 06/01/10 (m) |
5,317 | |||||||||
3,068 | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) |
2,959 | |||||||||
3,070 | Kroger Co. (The), 6.40%, 08/15/17 (m) |
3,260 | |||||||||
3,030 | Safeway, Inc., 6.35%, 08/15/17 (m) |
3,211 | |||||||||
Wal-Mart Stores, Inc., |
|||||||||||
2,785 | 5.25%, 09/01/35 (m) |
2,475 | |||||||||
4,960 | 5.38%, 04/05/17 (m) |
5,169 | |||||||||
1,500 | 6.50%, 08/15/37 (m) |
1,601 | |||||||||
23,992 | |||||||||||
Food Products 0.0% (g) |
|||||||||||
520 | Del Monte Corp., 6.75%, 02/15/15 (m) |
494 | |||||||||
Gas Utilities 0.3% |
|||||||||||
3,520 | Nakilat, Inc. (Qatar), 6.07%, 12/31/33 (e) (m) |
3,072 | |||||||||
1,710 | Sonat, Inc., 7.63%, 07/15/11 (m) |
1,775 | |||||||||
4,847 | |||||||||||
Health Care Equipment & Supplies 0.1% |
|||||||||||
1,645 | Cooper Cos., Inc. (The), 7.13%, 02/15/15 (m) |
1,563 | |||||||||
Health Care Providers & Services 0.6% |
|||||||||||
2,225 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) |
2,183 | |||||||||
HCA, Inc., |
|||||||||||
1,145 | 9.25%, 11/15/16 (m) |
1,174 | |||||||||
2,500 | PIK, 9.63%, 11/15/16 (m) |
2,581 | |||||||||
5,000 | UnitedHealth Group, Inc., FRN, 5.09%, 06/21/10 (m) |
4,882 | |||||||||
10,820 | |||||||||||
Hotels, Restaurants & Leisure 0.2% |
|||||||||||
1,860 | McDonalds Corp., 6.30%, 10/15/37 (m) |
1,903 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Hotels, Restaurants & Leisure Continued |
|||||||||||
MGM Mirage, Inc., |
|||||||||||
1,225 | 5.88%, 02/27/14 (m) |
1,078 | |||||||||
830 | 6.75%, 04/01/13 (m) |
780 | |||||||||
3,761 | |||||||||||
Household Durables 0.3% |
|||||||||||
Beazer Homes USA, Inc., |
|||||||||||
465 | 6.50%, 11/15/13 (m) |
335 | |||||||||
200 | 6.88%, 07/15/15 (m) |
144 | |||||||||
1,610 | Jarden Corp., 7.50%, 05/01/17 (m) |
1,411 | |||||||||
165 | K. Hovnanian Enterprises, Inc., 8.63%, 01/15/17 (m) |
131 | |||||||||
1,795 | Sealy Mattress Co., 8.25%, 06/15/14 (m) |
1,634 | |||||||||
1,620 | Simmons Co., SUB, 10.00%, 12/15/14 (m) |
1,081 | |||||||||
4,736 | |||||||||||
Household Products 0.1% |
|||||||||||
585 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) |
382 | |||||||||
Visant Holding Corp., |
|||||||||||
435 | 8.75%, 12/01/13 (m) |
412 | |||||||||
350 | SUB, 10.25%, 12/01/13 |
320 | |||||||||
1,114 | |||||||||||
Independent Power Producers & Energy Traders 0.2% |
|||||||||||
12 | AES Corp. (The), 8.75%, 05/15/13 (e) (m) |
13 | |||||||||
565 | Energy Future Holdings Corp., 10.88%, 11/01/17 (e) (m) |
557 | |||||||||
2,255 | NRG Energy, Inc., 7.38%, 02/01/16 (m) |
2,173 | |||||||||
2,743 | |||||||||||
Insurance 2.5% |
|||||||||||
1,765 | American International Group, Inc., 6.25%, 05/01/36 (m) |
1,663 | |||||||||
3,750 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) |
3,639 | |||||||||
4,195 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) |
4,060 | |||||||||
4,000 | Metropolitan Life Global Funding I, FRN, 3.11%, 05/17/10 (e) (m) |
3,972 | |||||||||
1,855 | Nationwide Financial Services, 6.75%, 05/15/37 (m) |
1,539 | |||||||||
4,000 | Nationwide Life Global Funding I, FRN, 4.59%, 10/09/09 (e) (m) |
4,000 | |||||||||
4,505 | Protective Life Secured Trusts, 3.70%, 11/24/08 (m) |
4,503 | |||||||||
6,000 | Stancorp Financial Group, Inc., VAR, 6.90%, 05/29/67 (m) |
5,295 | |||||||||
7,630 | Stingray Pass-Through Trust (Cayman Islands), 5.90%, 01/12/15 (e) (m) |
2,594 | |||||||||
6,145 | Swiss RE Capital I LP (United Kingdom), 6.85%, 05/25/16 (e) (m) (x) |
5,803 | |||||||||
6,645 | XL Capital Ltd. (Cayman Islands), 6.50%, 04/15/17 (m) (x) |
4,972 | |||||||||
42,040 | |||||||||||
IT Services 0.3% |
|||||||||||
2,275 | Iron Mountain, Inc., 6.63%, 01/01/16 (m) |
2,167 | |||||||||
SunGard Data Systems, Inc., |
|||||||||||
830 | 9.13%, 08/15/13 (m) |
836 | |||||||||
1,330 | 10.25%, 08/15/15 (m) |
1,324 | |||||||||
4,327 | |||||||||||
Leisure Equipment & Products 0.0% (g) |
|||||||||||
1,000 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) |
880 | |||||||||
Machinery 0.1% |
|||||||||||
1,995 | Terex Corp., 8.00%, 11/15/17 (m) |
1,985 | |||||||||
Media 3.0% |
|||||||||||
1,285 | CCO Holdings LLC/CCO Holdings Capital Corp., 8.75%, 11/15/13 (m) |
1,128 | |||||||||
485 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) |
451 | |||||||||
Comcast Corp., |
|||||||||||
6,400 | 6.95%, 08/15/37 (m) |
6,479 | |||||||||
4,200 | FRN, 4.68%, 07/14/09 (m) |
4,138 | |||||||||
1,950 | Dex Media, Inc., SUB, 0.00%, 11/15/13 (m) |
1,404 | |||||||||
3,000 | Dex Media West LLC/Dex Media Finance Co., 9.88%, 08/15/13 (m) |
2,520 | |||||||||
2,030 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) |
1,883 | |||||||||
2,030 | Echostar DBS Corp., 7.13%, 02/01/16 (m) |
1,994 | |||||||||
1,390 | Quebecor Media, Inc. (Canada), 7.75%, 03/15/16 (e) (m) |
1,275 | |||||||||
Time Warner, Inc., |
|||||||||||
13,365 | 5.50%, 11/15/11 (m) |
13,528 | |||||||||
4,050 | FRN, 3.30%, 11/13/09 (m) |
3,916 | |||||||||
1,820 | Time Warner Cable, Inc., 6.55%, 05/01/37 (m) |
1,755 | |||||||||
1,295 | Time Warner Entertainment Co. LP, 8.38%, 07/15/33 (m) |
1,494 | |||||||||
3,400 | Viacom, Inc., FRN, 5.34%, 06/16/09 (m) |
3,321 | |||||||||
4,650 | Walt Disney Co. (The), FRN, 5.25%, 09/10/09 (m) |
4,637 | |||||||||
740 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) |
585 | |||||||||
50,508 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Metals & Mining 0.9% |
|||||||||||
15,000 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) (m) |
14,560 | |||||||||
Multi-Utilities 0.6% |
|||||||||||
Dominion Resources, Inc., |
|||||||||||
1,220 | 5.00%, 03/15/13 (m) |
1,261 | |||||||||
5,010 | 5.15%, 07/15/15 (m) |
5,001 | |||||||||
2,620 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 (m) |
2,718 | |||||||||
1,135 | Mirant North America LLC, 7.38%, 12/31/13 (m) |
1,139 | |||||||||
10,119 | |||||||||||
Multiline Retail 0.3% |
|||||||||||
2,725 | Kohls Corp., 6.88%, 12/15/37 (m) |
2,504 | |||||||||
700 | Neiman-Marcus Group, Inc., PIK, 9.00%, 10/15/15 (m) |
697 | |||||||||
2,010 | Target Corp., 6.50%, 10/15/37 (m) |
1,974 | |||||||||
5,175 | |||||||||||
Oil, Gas & Consumable Fuels 3.8% |
|||||||||||
5,000 | Anadarko Petroleum Corp., FRN, 5.39%, 09/15/09 (m) |
4,891 | |||||||||
1,980 | Canadian Natural Resources Ltd. (Canada), 6.25%, 03/15/38 (m) |
1,885 | |||||||||
Chesapeake Energy Corp., |
|||||||||||
960 | 6.50%, 08/15/17 (m) |
922 | |||||||||
610 | 7.00%, 08/15/14 (m) |
612 | |||||||||
5,458 | Citic Resources Finance Ltd. (Bermuda), 6.75%, 05/15/14 (e) (m) |
5,076 | |||||||||
1,650 | EnCana Corp. (Canada), 6.63%, 08/15/37 (m) |
1,717 | |||||||||
5,220 | Enterprise Products Operating LP, 6.30%, 09/15/17 (m) |
5,455 | |||||||||
Gaz Capital S.A. for Gazprom (Russia), |
|||||||||||
1,350 | 6.51%, 03/07/22 (e) |
1,230 | |||||||||
6,110 | 7.29%, 08/16/37 (e) (m) |
5,690 | |||||||||
3,887 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 |
3,989 | |||||||||
Kinder Morgan Energy Partners LP, |
|||||||||||
3,420 | 5.85%, 09/15/12 (m) |
3,573 | |||||||||
1,605 | 6.50%, 02/01/37 (m) |
1,542 | |||||||||
3,115 | Nexen, Inc. (Canada), 6.40%, 05/15/37 (m) |
3,014 | |||||||||
3,415 | ONEOK Partners LP, 5.90%, 04/01/12 (m) |
3,566 | |||||||||
15,970 | Petroleos de Venezuela S.A. (Venezuela), 5.50%, 04/12/37 |
9,406 | |||||||||
4,830 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) |
5,016 | |||||||||
2,995 | Ras Laffan Liquefied Natural Gas Co. Ltd. III (Qatar), 5.83%, 09/30/16 (e) (m) |
3,046 | |||||||||
3,385 | Valero Energy Corp., 6.63%, 06/15/37 (m) |
3,335 | |||||||||
63,965 | |||||||||||
Paper & Forest Products 0.1% |
|||||||||||
Georgia Pacific LLC, |
|||||||||||
765 | 7.00%, 01/15/15 (e) (m) |
717 | |||||||||
1,200 | 7.70%, 06/15/15 (m) |
1,134 | |||||||||
1,851 | |||||||||||
Real Estate 0.1% |
|||||||||||
1,090 | Host Hotels & Resorts LP, 7.13%, 11/01/13 (m) |
1,074 | |||||||||
Real Estate Investment Trusts (REITs) 0.4% |
|||||||||||
6,600 | iStar Financial, Inc., FRN, 5.51%, 03/03/08 (m) |
6,597 | |||||||||
Road & Rail 0.0% (g) |
|||||||||||
425 | RSC Equipment Rental, Inc., 9.50%, 12/01/14 (m) |
348 | |||||||||
7 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) |
6 | |||||||||
354 | |||||||||||
Semiconductors & Semiconductor Equipment 0.1% |
|||||||||||
585 | Freescale Semiconductor, Inc., PIK, 9.13%, 12/15/14 (m) |
445 | |||||||||
1,750 | Sensata Technologies BV (Netherlands), 8.00%, 05/01/14 (m) |
1,531 | |||||||||
1,976 | |||||||||||
Software 0.0% (g) |
|||||||||||
700 | Open Solutions, Inc., 9.75%, 02/01/15 (e) (m) |
553 | |||||||||
Specialty Retail 0.2% |
|||||||||||
3,575 | Home Depot, Inc., 5.88%, 12/16/36 (m) |
2,943 | |||||||||
Textiles, Apparel & Luxury Goods 0.1% |
|||||||||||
1,010 | Hanesbrands, Inc., FRN, 8.20%, 12/15/14 (m) |
889 | |||||||||
Thrifts & Mortgage Finance 0.9% |
|||||||||||
5,800 | Bancaja U.S. Debt S.A.U. (Spain), FRN, 4.66%, 07/10/09 (e) (m) |
5,649 | |||||||||
4,000 | CAM U.S. Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) |
3,846 | |||||||||
405 | Countrywide Financial Corp., FRN, 5.10%, 03/24/09 (m) |
363 | |||||||||
1,250 | Sovereign Bancorp, Inc., FRN, 3.29%, 03/01/09 (m) |
1,216 | |||||||||
2,500 | Washington Mutual Bank, FRN, 3.33%, 05/01/09 (m) |
2,342 | |||||||||
2,700 | Washington Mutual Preferred Funding LLC, 6.67%, 12/15/16 (e) (m) (x) |
1,755 | |||||||||
15,171 | |||||||||||
Wireless Telecommunication Services 0.7% |
|||||||||||
5,100 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) |
5,036 | |||||||||
635 | Cricket Communications, Inc., 9.38%, 11/01/14 (m) |
565 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Wireless Telecommunication Services Continued |
|||||||||||
530 | Intelsat Jackson Holdings Ltd. (Bermuda), 9.25%, 06/15/16 (m) |
530 | |||||||||
1,260 | MetroPCS Wireless, Inc., 9.25%, 11/01/14 (m) |
1,109 | |||||||||
6,300 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) |
4,599 | |||||||||
11,839 | |||||||||||
Total Corporate Bonds (Cost $703,153) |
667,052 | ||||||||||
Foreign Government Securities 5.7% |
|||||||||||
6,130 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) |
6,039 | |||||||||
5,250 | Citigroup Funding, Inc., 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) |
4,797 | |||||||||
EGP 17,500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) |
3,159 | |||||||||
TRY 3,600 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) |
2,760 | |||||||||
2,715 | Federal Republic of Brazil (Brazil), 12.25%, 03/06/30 |
4,534 | |||||||||
CAD 11,695 | Government of Canada (Canada), 3.75%, 06/01/12 |
12,157 | |||||||||
3,220 | Government of Ukraine (Ukraine), 6.58%, 11/21/16 (e) |
3,184 | |||||||||
5,590 | IIRSA Norte Finance Ltd. (Peru), 8.75%, 05/30/24 |
6,261 | |||||||||
2,000 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 |
2,040 | |||||||||
Republic of Argentina (Argentina), |
|||||||||||
4,504 | FRN, 3.00%, 04/30/13 (m) |
2,889 | |||||||||
8,263 | FRN, 3.09%, 08/03/12 (m) |
4,503 | |||||||||
Republic of Guatemala (Guatemala), |
|||||||||||
3,860 | 9.25%, 08/01/13 |
4,449 | |||||||||
4,000 | 10.25%, 11/08/11 |
4,620 | |||||||||
4,430 | Republic of Venezuela (Venezuela), 9.38%, 01/13/34 |
4,341 | |||||||||
Russian Federation (Russia), |
|||||||||||
840 | 12.75%, 06/24/28 |
1,513 | |||||||||
1,341 | SUB, 7.50%, 03/31/30 |
1,534 | |||||||||
GBP 4,010 | United Kingdom Treasury Gilt, |
||||||||||
4.50%, 12/07/42 |
8,153 | ||||||||||
United Mexican States (Mexico), |
|||||||||||
6,860 | 8.00%, 09/24/22 |
8,618 | |||||||||
MXN 22,500 | 9.50%, 12/18/14 |
2,362 | |||||||||
8,550 | FRN, 5.08%, 01/13/09 (m) |
8,567 | |||||||||
Total Foreign Government Securities (Cost $95,759) |
96,480 | ||||||||||
Loan Assignments & Participations 0.2% |
|||||||||||
Auto Components 0.0% (g) |
|||||||||||
Allison Transmission, Term Loan B, |
|||||||||||
643 | 5.92%, 08/07/14 (m) |
565 | |||||||||
355 | 7.90%, 08/07/14 (m) |
312 | |||||||||
877 | |||||||||||
Electric Utilities 0.1% |
|||||||||||
Texas Competitive Electric Holdings Co. LLC, Term Loan, Tranche B-2, |
|||||||||||
143 | 6.48%, 08/07/14 (m) |
130 | |||||||||
855 | 6.60%, 08/07/14 (m) |
778 | |||||||||
908 | |||||||||||
IT Services 0.1% |
|||||||||||
First Data Corp., Term Loan B1, |
|||||||||||
69 | 7.58%, 09/24/14 (m) |
62 | |||||||||
929 | 7.63%, 09/24/14 (m) |
842 | |||||||||
904 | |||||||||||
Total Loan Assignments & Participations (Cost $2,939) |
2,689 | ||||||||||
Mortgage Pass-Through Securities 24.0% |
|||||||||||
Federal Home Loan Mortgage Corp., 30 Year, Single Family, |
|||||||||||
49,500 | 5.00%, 03/15/37 |
48,727 | |||||||||
42,745 | TBA, 5.50%, 03/15/37 |
42,985 | |||||||||
Federal Home Loan Mortgage Corp., Gold Pools, 15 Year, Single Family, |
|||||||||||
231 | 6.00%, 02/01/11-04/01/11 (m) |
238 | |||||||||
30 Year, Single Family, |
|||||||||||
186 | 6.00%, 01/01/35 (m) |
190 | |||||||||
61 | 7.00%, 12/01/25-02/01/26 (m) |
66 | |||||||||
136 | 7.50%, 10/01/26-02/01/27 (m) |
148 | |||||||||
114 | 8.00%, 04/01/26-07/01/26 (m) |
125 | |||||||||
| (h) | 9.75%, 11/01/08 (m) |
| (h) | |||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
20,895 | TBA, 5.00%, 03/25/22 |
21,124 | |||||||||
31,000 | TBA, 5.50%, 03/25/22-04/25/22 |
31,675 | |||||||||
13,300 | TBA, 6.00%, 03/25/22 |
13,736 | |||||||||
30 Year, Single Family, |
|||||||||||
14,885 | 5.00%, 12/01/36 |
14,696 | |||||||||
6,774 | 6.00%, 10/01/23-03/01/35 (m) |
6,949 | |||||||||
1,928 | 6.50%, 04/01/29-03/01/35 (m) |
2,003 | |||||||||
46,395 | 7.00%, 02/01/35-05/01/37 (m) |
48,847 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
752 | 7.50%, 03/01/35-01/01/36 (m) |
798 | |||||||||
701 | 8.00%, 08/01/22-01/01/36 (m) |
750 | |||||||||
| (h) | 8.50%, 10/01/25 (m) |
| (h) | |||||||
13,285 | TBA, 5.00%, 03/25/38 |
13,082 | |||||||||
24,085 | TBA, 5.50%, 03/25/37 |
24,220 | |||||||||
8,300 | TBA, 6.00%, 04/25/37 |
8,463 | |||||||||
64,300 | TBA, 7.00%, 03/25/38 |
67,656 | |||||||||
Other, |
|||||||||||
1,123 | 4.96%, 11/01/08 (m) |
1,125 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
1,053 | 7.00%, 09/15/31 (m) |
1,130 | |||||||||
7 | 9.00%, 02/15/10-04/15/11 (m) |
7 | |||||||||
53,000 | TBA, 6.00%, 03/15/37 |
54,822 | |||||||||
Total Mortgage Pass-Through Securities (Cost $400,129) |
403,562 | ||||||||||
Private Placements 0.9% |
|||||||||||
2,887 | 81 Irving Place, Irving Tenants Corp., Secured by First Mortgage and Agreement on Co-op Apartment Building in New York City, 6.95%, 01/01/29
(f) (i) |
3,096 | |||||||||
10,335 | 200 East 57th St., 200 East Tenants Corp., Secured by First Mortgage Agreement on Co-op Apartment Building in New York City, 6.50%, 01/01/14
(f) (i) |
11,069 | |||||||||
715 | 200 East 57th St., 200 East Tenants Corp., Secured by Second Mortgage Agreement and Apartment on Co-op Apartment Building in New York City,
6.72%, 01/01/13 (f) (i) |
764 | |||||||||
Total Private Placements (Cost $13,937) |
14,929 | ||||||||||
Supranational 0.3% |
|||||||||||
5,000 | European Investment Bank, 4.88%, 02/16/16(m) (Cost $4,994) |
5,373 | |||||||||
U.S. Government Agency Securities 0.4% |
|||||||||||
2,315 | Federal Home Loan Mortgage Corp., 6.75%, 03/15/31 (m) |
2,865 | |||||||||
Federal National Mortgage Association, |
|||||||||||
15 | 7.13%, 01/15/30 (m) |
19 | |||||||||
1,005 | 7.25%, 05/15/30 (m) |
1,306 | |||||||||
1,600 | Tennessee Valley Authority, 6.79%, 05/23/12 (m) |
1,828 | |||||||||
Total U.S. Government Agency Securities (Cost $5,835) |
6,018 | ||||||||||
U.S. Treasury Obligations 1.6% |
|||||||||||
U.S. Treasury Bonds, |
|||||||||||
1,515 | 4.75%, 02/15/37 (m) |
1,597 | |||||||||
3,400 | 5.00%, 05/15/37 (m) |
3,727 | |||||||||
350 | 7.25%, 05/15/16 (k) (m) |
446 | |||||||||
U.S. Treasury Notes, |
|||||||||||
1,500 | 2.13%, 01/31/10 (k) (m) |
1,514 | |||||||||
1,500 | 3.38%, 10/15/09 (k) (m) |
1,543 | |||||||||
2,220 | 3.50%, 02/15/10 (k) (m) |
2,299 | |||||||||
1,075 | 3.88%, 05/15/09 (k) (m) |
1,104 | |||||||||
495 | 4.00%, 02/15/15 (k) (m) |
525 | |||||||||
2,795 | 4.13%, 08/15/08 (k) (m) |
2,824 | |||||||||
1,830 | 4.25%, 09/30/12 (m) |
1,974 | |||||||||
1,125 | 4.38%, 11/15/08 (k) (m) |
1,145 | |||||||||
1,275 | 4.50%, 09/30/11 (k) (m) |
1,381 | |||||||||
250 | 4.50%, 02/15/16 (m) |
271 | |||||||||
3,465 | 4.63%, 07/31/09 (k) (m) |
3,613 | |||||||||
1,320 | 4.88%, 08/15/09 (k) (m) |
1,383 | |||||||||
1,000 | 5.00%, 07/31/08 (k) (m) |
1,013 | |||||||||
Total U.S. Treasury Obligations (Cost $25,266) |
26,359 |
SHARES |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Preferred Stocks 0.6% |
||||||||||
Insurance 0.6% |
||||||||||
200 | Aspen Insurance Holdings Ltd. (Bermuda), 7.40%, 01/01/17 (m) (x) |
4,414 | ||||||||
67 | Axis Capital Holdings Ltd. (Bermuda), 7.50%, 12/01/15 (m) (x) |
6,503 | ||||||||
Total Preferred Stocks (Cost $12,150) |
10,917 | |||||||||
Total Long-Term Investments (Cost $2,078,145) |
1,986,476 |
NUMBER OF CONTRACTS |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased 2.5% |
|||||||||||
Call Options Purchased 0.7% |
|||||||||||
310 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style |
1,116 | |||||||||
754 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
566 | |||||||||
35 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.63, American Style |
21 | |||||||||
684 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style |
846 | |||||||||
684 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style |
1,009 | |||||||||
288 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style |
554 |
NUMBER OF CONTRACTS |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased Continued |
|||||||||||
Call Options Purchased Continued |
|||||||||||
650 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style |
508 | |||||||||
166 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
451 | |||||||||
249 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style |
416 | |||||||||
3,380 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style |
3,803 |
NOTIONAL AMOUNT |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
118,000 | FNMA, 30 Year, TBA, 5.50%, Expiring 05/06/08 @ $98.00, European Style |
2,966 | ||||||||
12,256 | ||||||||||
Interest Rate Caps & Floors 0.2% |
||||||||||
224,054 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
121 | ||||||||
224,054 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
2,876 | ||||||||
Total Interest Rate Caps & Floors |
2,997 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps 1.1% |
||||||||||
46,550 | Expiring 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring
02/04/23, European Style. Counterparty: Credit Suisse International (r) |
5,414 | ||||||||
42,777 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring
02/15/23, European Style. Counterparty: Barclays Bank plc (r) |
4,937 | ||||||||
33,348 | Expiring 02/20/13. If exercised the Fund pays/receives semi-annually 5.82% and receives/pays quarterly floating 3 month LIBOR expiring
02/22/23, European Style. Counterparty: Barclays Bank plc (r) |
3,867 | ||||||||
42,780 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring
02/23/23, European Style. Counterparty: Barclays Bank plc (r) |
4,937 | ||||||||
19,155 |
NUMBER OF CONTRACTS |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased 0.5% |
||||||||||
500 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $94.50, American Style |
3 | ||||||||
1,000 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $94.63, American Style |
| ||||||||
754 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
302 | ||||||||
90 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style |
6 | ||||||||
346 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style |
103 | ||||||||
1,014 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style |
206 | ||||||||
166 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
241 | ||||||||
275 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style |
120 |
NOTIONAL AMOUNT |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
57,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $97.56, European Style |
435 | ||||||||
66,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $99.34, European Style |
1,074 | ||||||||
79,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 05/06/08 @ $96.59, European Style |
651 | ||||||||
133,500 | FNMA, 30 Year, TBA, 6.00%, Expiring 04/07/08 @ $100.44, European Style |
174 | ||||||||
Payer Options Purchased on Interest Rate Swaps: |
||||||||||
41,390 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European
Style. Counterparty: Barclays Bank plc (r) |
1,525 | ||||||||
64,438 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European
Style. Counterparty: Lehman Brothers Special Financing (r) |
2,844 | ||||||||
7,684 | ||||||||||
Total Options Purchased (Cost $36,949) |
42,092 |
SHARES |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 2.0% |
|||||||||||
Investment Company 1.1% |
|||||||||||
18,180 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $18,180) |
18,180 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments Continued |
|||||||||||
U.S. Treasury Obligation 0.9% |
|||||||||||
15,210 | U.S. Treasury Bill, 7.77%, 04/03/08 (k) (n) (Cost $15,173) |
15,183 | |||||||||
Total Short-Term Investments (Cost $33,353) |
33,363 | ||||||||||
Total Investments 122.8% (Cost $2,148,447) |
2,061,931 | ||||||||||
Liabilities in Excess of Other Assets (22.8)% |
(382,381 | ) | |||||||||
NET ASSETS 100.0% |
$ | 1,679,550 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
93 |
10
Year Australia Bond |
March,
2008 |
8,123 | 3 | ||||||||||||||
108 |
10
Year Swap |
March,
2008 |
12,349 | 618 | ||||||||||||||
7 |
10
Year U.S. Treasury Note |
March,
2008 |
831 | 59 | ||||||||||||||
194 |
Euro-Bobl |
March,
2008 |
32,793 | 770 | ||||||||||||||
219 |
Euro-Bund |
March,
2008 |
38,920 | 478 | ||||||||||||||
254 |
2
Year U.S. Treasury Note |
June,
2008 |
54,590 | 425 | ||||||||||||||
3,075 |
5
Year U.S. Treasury Note |
June,
2008 |
351,319 | 4,770 | ||||||||||||||
2,065 |
10
Year U.S. Treasury Note |
June,
2008 |
242,186 | 4,806 | ||||||||||||||
684 |
Eurodollar |
June,
2008 |
166,964 | 1,824 | ||||||||||||||
604 |
U.S.
Treasury Bond |
June,
2008 |
71,650 | 1,874 | ||||||||||||||
290 |
90
Day Sterling |
December,
2008 |
68,710 | 46 | ||||||||||||||
807 |
3
Month EURIBOR |
December,
2008 |
295,567 | 104 | ||||||||||||||
4 |
Eurodollar |
December,
2008 |
978 | 5 | ||||||||||||||
33 |
Eurodollar |
March,
2009 |
8,063 | 40 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(251) |
3
Year Australia Bond |
March,
2008 |
(21,832 | ) | (22 | ) | ||||||||||||
(310) |
Eurodollar |
March,
2008 |
(75,322 | ) | (248 | ) | ||||||||||||
(526) |
30
Day Federal Funds |
April,
2008 |
(214,077 | ) | (250 | ) | ||||||||||||
(1,067) |
2
Year U.S. Treasury Note |
June,
2008 |
(229,322 | ) | (1,770 | ) | ||||||||||||
(2,726) |
5
Year U.S. Treasury Note |
June,
2008 |
(311,446 | ) | (5,229 | ) | ||||||||||||
(61) |
10
Year Canadian Bond |
June,
2008 |
(7,307 | ) | (123 | ) | ||||||||||||
(951) |
10
Year U.S. Treasury Note |
June,
2008 |
(111,534 | ) | (2,200 | ) | ||||||||||||
(100) |
Eurodollar |
June,
2008 |
(24,410 | ) | (267 | ) | ||||||||||||
(143) |
U.K.
Treasury Gilt |
June,
2008 |
(31,344 | ) | (522 | ) | ||||||||||||
(197) |
U.S.
Treasury Bond |
June,
2008 |
(23,369 | ) | (586 | ) | ||||||||||||
(93) |
Eurodollar |
September,
2008 |
(22,735 | ) | (472 | ) | ||||||||||||
(54) |
Eurodollar |
December,
2008 |
(13,202 | ) | (199 | ) | ||||||||||||
(54) |
Eurodollar |
March,
2009 |
(13,194 | ) | (191 | ) | ||||||||||||
(738) |
Eurodollar |
June,
2009 |
(180,044 | ) | (576 | ) | ||||||||||||
(54) |
Eurodollar |
September,
2009 |
(13,146 | ) | (83 | ) | ||||||||||||
(47) |
Eurodollar |
December,
2009 |
(11,413 | ) | (146 | ) | ||||||||||||
2,938 |
CONTRACTS TO SELL |
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
12,005 CAD |
03/14/08 |
11,932 | 12,195 | (263 | ) | |||||||||||||
1,400 EUR |
03/14/08 |
2,026 | 2,124 | (98 | ) | |||||||||||||
4,250 GBP |
03/14/08 |
8,310 | 8,439 | (129 | ) | |||||||||||||
(490 | ) |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
(1,590) | FHLMC Gold, 30 Year, Single Family, TBA, 6.00%, 03/25/37 |
(1,624 | ) | |||||||
(33,400) | FNMA, 30 Year, Single Family, TBA, 5.00%, 04/25/38 |
(32,826 | ) | |||||||
(1,900) | FNMA, 30 Year, Single Family, TBA, 5.50%, 04/25/38 |
(1,907 | ) | |||||||
(56,710) | FNMA, 30 Year, Single Family, TBA, 6.00%, 03/25/38 |
(57,933 | ) | |||||||
(48,335) | FNMA, 30 Year, Single Family, TBA, 6.50%, 03/15/34 |
(50,087 | ) | |||||||
(5,865) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 |
(6,064 | ) | |||||||
(3,900) | GNMA, 30 Year, Single Family, TBA, 6.50%, 03/25/38 |
(4,072 | ) | |||||||
(Proceeds received of $154,289.) |
(154,513 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.75 | 06/16/08 | 2,010 | (892 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 09/15/08 | 1,368 | (838 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 12/15/08 | 1,368 | (1,137 | ) | |||||||||||||
1 Year
Eurodollar Mid-Curve, American Style |
97.63 | 06/13/08 | 35 | (31 | ) | |||||||||||||
5 Year U.S.
Treasury Notes Futures, American Style |
113.50 | 03/20/08 | 288 | (342 | ) | |||||||||||||
10 Year U.S.
Treasury Notes Futures, American Style |
116.50 | 05/23/08 | 2,774 | (6,761 | ) | |||||||||||||
10 Year U.S.
Treasury Notes Futures, American Style |
114.50 | 05/23/08 | 644 | (2,385 | ) | |||||||||||||
10 Year U.S.
Treasury Notes Futures, American Style |
120.00 | 05/23/08 | 650 | (640 | ) | |||||||||||||
(Premiums
received of $8,455.) |
(13,026 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year,
TBA, 5.50%, European Style |
99.66 | 05/06/08 | 236,000 | (3,033 | ) | |||||||||||||
(Premiums
received of $1,844.) |
COUNTERPARTY |
|
EXERCISE RATE*(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
4.86%
semi-annually |
02/17/09 | 02/19/19 | 28,459 | (2,344 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.80%
semi-annually |
02/23/09 | 02/25/19 | 31,178 | (2,550 | ) | ||||||||||||||||
Royal Bank of
Scotland |
3.56%
semi-annually |
06/16/08 | 06/18/09 | 184,845 | (2,347 | ) | ||||||||||||||||
(Premiums
received of $5,861.) |
(7,241 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.25 | 06/16/08 | 2,010 | (389 | ) | |||||||||||||
5 Year U.S.
Treasury Note Futures, American Style |
110.00 | 03/20/08 | 90 | (1 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.00 | 05/23/08 | 47 | (51 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.50 | 05/23/08 | 507 | (634 | ) | |||||||||||||
20 Year U.S.
Treasury Note Futures, American Style |
112.00 | 03/20/08 | 275 | (34 | ) | |||||||||||||
(Premiums
received of $1,752.) |
(1,109 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year,
TBA, 5.00%, European Style |
93.84 | 05/06/08 | 158,000 | (419 | ) | |||||||||||||
FNMA, 30 Year,
TBA, 5.00%, European Style |
95.72 | 04/07/08 | 114,000 | (327 | ) | |||||||||||||
FNMA, 30 Year,
TBA, 5.00%, European Style |
97.69 | 04/07/08 | 132,000 | (1,068 | ) | |||||||||||||
(Premiums
received of $2,881.) |
(1,814 | ) |
COUNTERPARTY |
|
EXERCISE RATE**(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
3.90%
semi-annually |
07/15/08 | 07/17/13 | 113,295 | (1,168 | ) | ||||||||||||||||
Credit Suisse
International |
4.08%
semi-annually |
04/07/08 | 04/09/13 | 103,952 | (153 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
3.73%
semi-annually |
07/23/08 | 07/25/13 | 170,697 | (2,349 | ) | ||||||||||||||||
(Premiums
received of $4,347.) |
(3,670 | ) |
* |
The Fund would pay/receive a floating rate based on 3-month USD LIBOR, if exercised. |
** |
The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** |
European Style |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Bank of
America |
5.55%
semi-annually |
3 month LIBOR
quarterly |
06/14/12 | 47,700 | (4,492 | ) | ||||||||||||||||
Barclays Bank
plc |
5.10%
semi-annually |
3 month LIBOR
quarterly |
07/18/12 | 41,680 | (3,196 | ) | ||||||||||||||||
Barclays Bank
plc |
3 month
LIBOR quarterly |
4.21%
semi-annually |
11/29/12 | 87,390 | 4,328 | |||||||||||||||||
Barclays Bank
plc |
4.44%
semi-annually |
3 month LIBOR
quarterly |
05/18/16 | 23,640 | (717 | ) | ||||||||||||||||
Barclays Bank
plc |
4.95%
semi-annually |
3 month LIBOR
quarterly |
11/29/37 | 24,805 | (610 | ) | ||||||||||||||||
Credit Suisse
International |
3 month
LIBOR quarterly |
3.73%
semi-annually |
02/25/13 | 21,000 | 329 | |||||||||||||||||
Credit Suisse
International |
3.94%
semi-annually |
3 month LIBOR
quarterly |
04/09/13 | 41,500 | (991 | ) | ||||||||||||||||
Credit Suisse
International |
4.48%
semi-annually |
3 month LIBOR
quarterly |
02/25/18 | 11,700 | (229 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3.50%
semi-annually |
3 month LIBOR
quarterly |
08/31/12 | 117,455 | (977 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3 month
LIBOR quarterly |
3.57%
semi-annually |
04/30/13 | 44,150 | 276 | |||||||||||||||||
Deutsche Bank AG,
New York |
4.42%
semi-annually |
3 month LIBOR
quarterly |
03/03/18 | 26,000 | (372 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
4.25%
semi-annually |
3 month LIBOR
quarterly |
04/30/18 | 24,240 | 49 | |||||||||||||||||
Goldman Sachs
Capital Management |
4.92%
semi-annually |
3 month LIBOR
quarterly |
05/18/16 | 41,625 | (3,200 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
3 month
LIBOR quarterly |
3.69%
semi-annually |
08/31/12 | 112,470 | 1,756 | |||||||||||||||||
Lehman Brothers
Special Financing |
3 month
LIBOR quarterly |
4.20%
semi-annually |
12/05/13 | 60,920 | 1,304 | |||||||||||||||||
Lehman Brothers
Special Financing |
4.19%
semi-annually |
3 month LIBOR
quarterly |
02/15/15 | 49,804 | (918 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.38%
semi-annually |
3 month LIBOR
quarterly |
08/15/16 | 20,985 | (408 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.65%
semi-annually |
3 month LIBOR
quarterly |
12/05/18 | 34,312 | (479 | ) | ||||||||||||||||
Union Bank of
Switzerland AG |
5.23%
semi-annually |
3 month LIBOR
quarterly |
06/22/17 | 5,085 | (424 | ) | ||||||||||||||||
Union Bank of
Switzerland AG |
5.69%
semi-annually |
3 month LIBOR
quarterly |
06/22/17 | 9,710 | (1,164 | ) | ||||||||||||||||
(10,135 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ArcelorMittal,
9.75%, 04/01/14 |
Morgan
Stanley Capital Services |
Sell |
17 BPS
quarterly |
06/20/08 | 10,900 | (25 | ) | |||||||||||||||||||
Banca Italease
S.p.A., 4.66%, 10/15/09 |
Deutsche
Bank AG, New York |
Sell |
85 BPS
quarterly |
06/20/08 | 23,500 | (259 | ) | |||||||||||||||||||
Chubb Corp.,
6.60%, 08/15/18 |
Goldman
Sachs Capital Management |
Buy |
130 BPS
quarterly |
03/20/13 | 7,000 | (115 | ) | |||||||||||||||||||
Countrywide
Financial Corp., 0.00%, 03/22/11 |
Lehman
Brothers Special Financing |
Sell |
500 BPS
quarterly |
09/20/08 | 11,300 | (24 | ) | |||||||||||||||||||
Countrywide
Financial Corp., 0.00%, 03/22/11 |
Union Bank
of Switzerland AG |
Sell |
615 BPS
quarterly |
09/20/08 | 10,000 | 65 | ||||||||||||||||||||
CDX.EM.8 |
Bear
Stearns Credit Products, Inc. [1] |
Buy |
175 BPS
semi-annually |
12/20/12 | 9,630 | 252 | ||||||||||||||||||||
CDX.EM.8 |
Citibank,
N.A. [2] |
Buy |
175 BPS
semi-annually |
12/20/12 | 10,690 | 292 | ||||||||||||||||||||
CDX.EM.8 |
Deutsche
Bank AG, New York [3] |
Buy |
175 BPS
semi-annually |
12/20/12 | 24,170 | 659 | ||||||||||||||||||||
CDX.EM.8 |
Deutsche
Bank AG, New York [4] |
Buy |
175 BPS
semi-annually |
12/20/12 | 3,810 | 100 | ||||||||||||||||||||
CDX.EM.8 |
Lehman
Brothers Special Financing [5] |
Buy |
175 BPS
semi-annually |
12/20/12 | 19,130 | 552 | ||||||||||||||||||||
CDX.EM.8 |
Lehman
Brothers Special Financing [6] |
Buy |
175 BPS
semi-annually |
12/20/12 | 7,600 | 223 | ||||||||||||||||||||
CDX.EM.8 |
Lehman
Brothers Special Financing [7] |
Buy |
175 BPS
semi-annually |
12/20/12 | 20,270 | 553 | ||||||||||||||||||||
CDX.EM.8 |
Lehman
Brothers Special Financing [8] |
Buy |
175 BPS
semi-annually |
12/20/12 | 23,420 | 639 | ||||||||||||||||||||
CDX.EM.8 |
Lehman
Brothers Special Financing [9] |
Buy |
175 BPS
semi-annually |
12/20/12 | 9,570 | 277 | ||||||||||||||||||||
CDX.EM.8 |
Merrill
Lynch International [10] |
Buy |
175 BPS
semi-annually |
12/20/12 | 4,460 | 117 | ||||||||||||||||||||
CDX.EM.8 |
Union Bank
of Switzerland AG [11] |
Buy |
175 BPS
semi-annually |
12/20/12 | 640 | 17 | ||||||||||||||||||||
CDX.NA.HY.9 |
Barclays
Bank plc [12] |
Sell |
375 BPS
quarterly |
12/20/12 | 12,000 | (1,257 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman
Brothers Special Financing [13] |
Sell |
375 BPS
quarterly |
12/20/12 | 19,130 | (2,239 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman
Brothers Special Financing [14] |
Sell |
375 BPS
quarterly |
12/20/12 | 7,600 | (860 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman
Brothers Special Financing [15] |
Sell |
375 BPS
quarterly |
12/20/12 | 20,000 | (2,251 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.HY.9 |
Lehman
Brothers Special Financing [16] |
Sell |
375 BPS
quarterly |
12/20/12 | 9,570 | (1,121 | ) | |||||||||||||||||||
Gannett Co.,
Inc., 6.38%, 04/01/12 |
Bank of
America |
Buy |
67 BPS
quarterly |
03/20/17 | 7,200 | 681 | ||||||||||||||||||||
Gaz Capital S.A.
for Gazprom, 8.63%, 04/28/34 |
Deutsche
Bank AG, New York |
Sell |
39 BPS
semi-annually |
04/20/08 | 14,560 | (12 | ) | |||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products, Inc. (y) |
Buy |
341 BPS
semi-annually |
07/20/17 | 3,430 | 472 | ||||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products, Inc. (y) |
Buy |
397 BPS
semi-annually |
08/20/17 | 910 | 94 | ||||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Lehman
Brothers Special Financing |
Sell |
169 BPS
semi-annually |
11/20/11 | 1,500 | (38 | ) | |||||||||||||||||||
ICICI Bank, Ltd.,
5.75%, 11/16/10 |
Deutsche
Bank AG, New York |
Sell |
26 BPS
quarterly |
03/20/08 | 8,000 | (3 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan
Stanley Capital Services |
Sell |
175 BPS
semi-annually |
08/20/08 | 9,050 | (162 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan
Stanley Capital Services |
Buy |
300 BPS
semi-annually |
08/20/12 | 1,810 | 234 | ||||||||||||||||||||
Marsh &
McLennan Co., Inc., 5.38%, 07/15/14 |
Bank of
America |
Buy |
100 BPS
quarterly |
09/20/14 | 4,000 | 18 | ||||||||||||||||||||
Marsh &
McLennan Co., Inc., 5.38%, 07/15/14 |
Bank of
America |
Buy |
101 BPS
quarterly |
09/20/14 | 4,000 | 15 | ||||||||||||||||||||
MetLife, Inc.,
5.00%, 06/15/15 |
Goldman
Sachs Capital Management |
Sell |
220 BPS
quarterly |
03/20/13 | 7,000 | 144 | ||||||||||||||||||||
Petroleos de
Venezuela S.A., 5.38%, 04/12/27 |
Deutsche
Bank AG, New York |
Sell |
258.5 BPS
semi-annually |
05/20/12 | 2,790 | (313 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products, Inc. (y) |
Sell |
341 BPS
semi-annually |
07/20/17 | 3,430 | (543 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products, Inc. (y) |
Sell |
407 BPS
semi-annually |
08/20/17 | 910 | (112 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Bear
Stearns Credit Products, Inc. (y) |
Buy |
103 BPS
semi-annually |
12/20/11 | 4,545 | 25 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Bear
Stearns Credit Products, Inc. (y) |
Sell |
100 BPS
semi-annually |
09/20/12 | 5,500 | (63 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Deutsche
Bank AG, New York |
Buy |
108.5 BPS
semi-annually |
12/20/11 | 845 | 3 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman
Brothers Special Financing |
Buy |
111 BPS
semi-annually |
12/20/11 | 10,880 | 26 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman
Brothers Special Financing |
Sell |
84 BPS
semi-annually |
09/20/12 | 6,350 | (120 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Union Bank
of Switzerland AG |
Buy |
102 BPS
semi-annually |
12/20/11 | 9,705 | 56 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Union Bank
of Switzerland AG |
Buy |
103 BPS
semi-annually |
12/20/11 | 9,090 | 49 | ||||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Barclays
Bank plc |
Sell |
68 BPS
semi-annually |
08/20/12 | 3,330 | (243 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Citibank,
N.A. |
Sell |
60 BPS
semi-annually |
03/20/12 | 5,150 | (325 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche
Bank AG, New York |
Sell |
53.51 BPS
semi-annually |
03/20/12 | 8,800 | (580 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche
Bank AG, New York |
Sell |
61 BPS
semi-annually |
03/20/12 | 3,710 | (233 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche
Bank AG, New York |
Sell |
65.5 BPS
semi-annually |
08/20/12 | 9,160 | (678 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche
Bank AG, New York |
Sell |
71 BPS
semi-annually |
08/20/12 | 4,340 | (312 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Deutsche
Bank AG, New York |
Buy |
239 BPS
semi-annually |
08/20/12 | 4,400 | (63 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan
Stanley Capital Services |
Buy |
145 BPS
semi-annually |
07/20/12 | 1,720 | 45 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan
Stanley Capital Services |
Buy |
146 BPS
semi-annually |
07/20/12 | 11,940 | 305 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan
Stanley Capital Services |
Buy |
194 BPS
semi-annually |
08/20/12 | 4,130 | 24 | ||||||||||||||||||||
Russia AG Bank,
7.18%, 05/16/13 |
Credit
Suisse International |
Sell |
72 BPS
semi-annually |
03/20/09 | 1,875 | (28 | ) | |||||||||||||||||||
Russia AG Bank,
7.18%, 05/16/13 |
Union Bank
of Switzerland AG |
Sell |
76 BPS
semi-annually |
02/20/09 | 18,385 | (281 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Bear
Stearns Credit Products, Inc. (y) |
Sell |
45.5 BPS
semi-annually |
12/20/11 | 9,090 | (241 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Credit
Suisse International |
Buy |
30 BPS
semi-annually |
03/20/09 | 1,875 | 7 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche
Bank AG, New York |
Sell |
105 BPS
semi-annually |
06/20/10 | 8,000 | 14 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche
Bank AG, New York |
Sell |
101 BPS
semi-annually |
07/20/10 | 6,000 | 19 |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian Federation, 7.50%, 03/31/30 |
Deutsche
Bank AG, New York |
Sell |
51 BPS
semi-annually |
12/20/11 | 1,690 | (41 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche
Bank AG, New York |
Sell |
52.5 BPS
semi-annually |
12/20/11 | 21,760 | (521 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan
Stanley Capital Services |
Sell |
140 BPS
semi-annually |
04/20/10 | 3,930 | 41 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union Bank
of Switzerland AG |
Buy |
31 BPS
semi-annually |
02/20/09 | 18,385 | 57 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union Bank
of Switzerland AG |
Sell |
45.5 BPS
semi-annually |
12/20/11 | 19,410 | (515 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union Bank
of Switzerland AG |
Sell |
46 BPS
semi-annually |
12/20/11 | 18,180 | (479 | ) | |||||||||||||||||||
Southwest
Airlines, 6.50%, 03/01/12 |
Bank of
America |
Buy |
58 BPS
quarterly |
06/20/14 | 6,900 | 322 | ||||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Deutsche
Bank AG, New York |
Buy |
106 BPS
semi-annually |
06/20/10 | 8,000 | (91 | ) | |||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Deutsche
Bank AG, New York |
Buy |
96 BPS
semi-annually |
07/20/10 | 6,000 | (66 | ) | |||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Morgan
Stanley Capital Services |
Buy |
112 BPS
semi-annually |
04/20/10 | 3,930 | (52 | ) | |||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan
Stanley Capital Services |
Sell |
40 BPS
semi-annually |
03/20/08 | 9,550 | 11 | ||||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan
Stanley Capital Services |
Sell |
64 BPS
semi-annually |
05/20/12 | 4,700 | (413 | ) | |||||||||||||||||||
(8,271 | ) |
[1] |
Premiums paid of $191. |
[2] |
Premium received of $59. |
[3] |
Premium received of $275. |
[4] |
Premiums paid of $37. |
[5] |
Premiums paid of $590. |
[6] |
Premiums paid of $136. |
[7] |
Premium received of $321. |
[8] |
Premium received of $336. |
[9] |
Premiums paid of $208. |
[10] |
Premiums paid of $30. |
[11] |
Premium received of $336. |
[12] |
Premium received of $323. |
[13] |
Premium received of $1,893. |
[14] |
Premium received of $621. |
[15] |
Premium received of $494. |
[16] |
Premium received of $766. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America
(b) |
BA Covered
Bond Issuer, 5.50%, 06/14/12 |
106.55 | 03/12/08 | 47,700 | 332 | |||||||||||||||||
Bank of America
(b) |
Northern
Rock plc, 5.63% 06/22/17 |
102.58 | 03/19/08 | 14,795 | 12 | |||||||||||||||||
Barclays Bank plc
(b) |
FHLB,
5.38%, 05/18/16 |
106.07 | 03/13/08 | 23,290 | 768 | |||||||||||||||||
Barclays Bank plc
(b) |
Nationwide
Building Society, 5.50%, 07/18/12 |
106.02 | 04/16/08 | 41,410 | 207 | |||||||||||||||||
BNP Paribas
(a) |
U.S.
Treasury Note, 4.75%, 08/15/17 |
106.76 | 03/27/08 | 13,575 | (382 | ) | ||||||||||||||||
BNP Paribas
(b) |
U.S.
Treasury Inflation Index Note, 2.63%, 07/15/17 |
110.43 | 03/27/08 | 12,295 | 433 | |||||||||||||||||
Citibank, N.A.
(a) |
FNMA, 30
Year, TBA, 5.00% |
99.21 | 03/05/08 | 28,150 | 218 | |||||||||||||||||
Citibank, N.A.
(a) |
U.S.
Treasury Note, 4.25%, 11/15/17 |
103.20 | 03/14/08 | 88,000 | (2,249 | ) | ||||||||||||||||
Citibank, N.A.
(a) |
FNMA, 30
Year, TBA, 5.50% |
100.15 | 04/07/08 | 97,000 | | |||||||||||||||||
Citibank, N.A.
(a) |
FNMA, 30
Year, TBA, 5.50% |
100.15 | 04/07/08 | 73,330 | | |||||||||||||||||
Citibank, N.A.
(a) |
FNMA, 30
Year, TBA, 6.50% |
103.22 | 04/07/08 | 12,500 | (19 | ) | ||||||||||||||||
Citibank, N.A.
(b) |
FNMA, 30
Year, TBA, 6.00% |
100.84 | 04/07/08 | 4,800 | 53 | |||||||||||||||||
Citibank, N.A.
(b) |
FNMA, 30
Year, TBA, 6.00% |
100.84 | 04/07/08 | 15,600 | 173 | |||||||||||||||||
Citibank, N.A.
(b) |
FNMA, 30
Year, TBA, 6.50% |
103.22 | 04/07/08 | 135,000 | 205 |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse International (a) |
U.S.
Treasury Note, 2.13%, 01/31/10 |
100.47 | 03/27/08 | 98,600 | (493 | ) | ||||||||||||||||
Credit Suisse
International (b) |
FHLB,
5.38%, 05/18/16 |
106.8 | 03/13/08 | 40,910 | 1,040 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FHLMC
Gold, 30 Year, TBA, 6.00% |
102.31 | 03/05/08 | 93,145 | 175 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA, 30
Year, TBA, 5.00% |
100.00 | 03/05/08 | 38,500 | 611 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA, 30
Year, TBA, 6.00% |
100.63 | 03/05/08 | 103,700 | (1,571 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA, 15
Year, TBA, 5.50% |
102.41 | 03/11/08 | 74,000 | 185 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA, 30
Year, TBA, 5.50% |
99.05 | 04/07/08 | 30,600 | (406 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 6.50% |
103.72 | 03/05/08 | 49,500 | 8 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 4.50% |
94.84 | 03/05/08 | 70,000 | 525 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 5.00% |
100.00 | 03/05/08 | 40,300 | (639 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 5.00% |
100.00 | 03/05/08 | 11,000 | (175 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 6.00% |
102.38 | 03/05/08 | 148,595 | (348 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 15
Year, TBA, 5.00% |
100.78 | 03/11/08 | 8,000 | 22 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 15
Year, TBA, 6.00% |
103.19 | 03/11/08 | 52,000 | 41 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
GNMA, 30
Year, TBA, 6.00% |
102.94 | 03/13/08 | 12,000 | 56 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
GNMA, 30
Year, TBA, 6.50% |
104.00 | 03/13/08 | 18,000 | 65 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC,
4.50%, 01/15/14 |
103.19 | 03/26/08 | 10,495 | 139 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
U.S.
Treasury Note, 4.25%, 11/15/17 |
103.65 | 03/26/08 | 100,000 | 2,064 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
U.S.
Treasury Note, 3.50%, 02/15/18 |
98.06 | 03/27/08 | 25,900 | 434 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 5.00% |
97.35 | 04/07/08 | 77,000 | 664 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 5.00% |
100.00 | 04/07/08 | 31,650 | 108 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 6.00% |
100.47 | 04/07/08 | 122,000 | 1,763 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 5.50% |
99.81 | 04/07/08 | 48,400 | 273 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 6.50% |
102.80 | 04/07/08 | 68,000 | 388 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 6.50% |
103.31 | 04/07/08 | 418,100 | | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA, 30
Year, TBA, 6.50% |
103.31 | 04/07/08 | 136,650 | | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA, 30
Year, TBA, 5.50% |
101.22 | 03/05/08 | 30,915 | 200 | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA, 30
Year, TBA, 6.00% |
100.66 | 03/05/08 | 40,000 | (593 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA, 30
Year, TBA, 6.50% |
103.69 | 03/05/08 | 119,000 | 111 | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
GNMA, 30
Year, TBA, 6.00% |
102.88 | 03/13/08 | 18,000 | (95 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA, 30
Year, TBA, 5.00% |
97.94 | 04/07/08 | 277,900 | | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA, 30
Year, TBA, 5.00% |
97.94 | 04/07/08 | 134,985 | | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 5.50% |
98.34 | 03/05/08 | 80,000 | 1,780 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 5.50% |
98.38 | 03/05/08 | 160,000 | 3,510 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 5.50% |
100.23 | 03/05/08 | 43,200 | 148 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 5.50% |
101.22 | 03/05/08 | 81,400 | (528 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 6.00% |
100.73 | 03/05/08 | 59,000 | 834 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 6.00% |
102.47 | 03/05/08 | 500 | (2 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 6.50% |
103.69 | 03/05/08 | 21,800 | (20 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 15
Year, TBA, 6.00% |
103.38 | 03/11/08 | 111,000 | (121 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 4.50% |
94.63 | 04/07/08 | 70,000 | 555 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA, 30
Year, TBA, 6.00% |
100.88 | 04/07/08 | 220,200 | 2,353 | |||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA, 15
Year, TBA, 6.00% |
103.34 | 03/11/08 | 65,000 | 51 | |||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA, 30
Year, TBA, 5.00% |
97.63 | 04/07/08 | 118,000 | (738 | ) | ||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA, 30
Year, TBA, 5.50% |
100.28 | 04/07/08 | 348,000 | | |||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA, 30
Year, TBA, 6.00% |
101.38 | 03/05/08 | 105,000 | 799 | |||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA, 30
Year, TBA, 6.00% |
102.31 | 03/05/08 | 272,100 | (467 | ) | ||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA, 30
Year, TBA, 6.50% |
103.63 | 03/05/08 | 92,000 | (29 | ) | ||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA, 30
Year, TBA, 5.00% |
97.63 | 04/07/08 | 77,000 | 482 | |||||||||||||||||
Union Bank of
Switzerland AG (a) |
FNMA, 30
Year, TBA, 5.50% |
99.56 | 03/05/08 | 110,000 | (1,108 | ) | ||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA, 30
Year, TBA, 5.00% |
97.06 | 03/05/08 | 28,500 | 392 | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA, 30
Year, TBA, 5.50% |
101.34 | 03/05/08 | 8,300 | (64 | ) |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Union Bank of Switzerland AG (b) |
FNMA, 30
Year, TBA, 6.00% |
101.50 | 03/05/08 | 19,500 | 125 | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA, 30
Year, TBA, 6.00% |
102.38 | 03/05/08 | 82,000 | (192 | ) | ||||||||||||||||
Union Bank of
Switzerland AG (b) |
FHLMC
Gold, 30 Year, TBA, 6.00% |
100.47 | 04/07/08 | 81,100 | 1,172 | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA, 30
Year, TBA, 4.50% |
95.22 | 04/07/08 | 67,000 | | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA, 30
Year, TBA, 6.50% |
103.13 | 04/07/08 | 48,000 | 117 | |||||||||||||||||
13,352 |
(a) |
Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) |
Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PAYMENTS MADE BY THE FUND (r) |
|
PAYMENTS RECEIVED BY THE FUND (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan
Stanley Capital Services |
TransCredit Bank, 7.30%, 02/26/09 |
3
Month LIBOR + 20 BPS quarterly |
Total
Return on TransCredit Bank, 7.30%, 02/26/09 quarterly |
02/26/09 |
RUB
486,200 |
769 | ||||||||||||||||||||
Morgan
Stanley Capital Services |
OGK/
Rushydros, 12/13/13 |
3
Month LIBOR + 20 BPS quarterly |
Total
Return on OGK/ Rushydros, 12/13/13 quarterly |
12/25/10 |
RUB
99,840 |
129 | ||||||||||||||||||||
898 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 95.3% |
|||||||||||
Corporate Bonds 19.8% |
|||||||||||
Brazil 2.2% |
|||||||||||
BRL 1,730 | Citibank N.A., Brazilian Real Notes, 15.00%, 07/02/10 (i) |
1,110 | |||||||||
Morgan Stanley & Co., Inc., Brazil Linked Notes, |
|||||||||||
3,600 | 12.15%, 01/05/22 (e) (m) |
4,170 | |||||||||
1,000 | 14.40%, 08/04/16 (e) (m) |
1,316 | |||||||||
6,596 | |||||||||||
China 0.2% |
|||||||||||
715 | Citic Resources Finance Ltd., 6.75%, 05/15/14 (e) (m) |
665 | |||||||||
Mexico 0.7% |
|||||||||||
MXN 40,000 | Depfa Bank plc, Zero Coupon, 06/15/15 |
1,989 | |||||||||
Russia 7.9% |
|||||||||||
1,945 | ALROSA Finance S.A., 8.88%, 11/17/14 (e) (m) |
2,105 | |||||||||
Gaz Capital S.A. for Gazprom, |
|||||||||||
1,590 | 6.21%, 11/22/16 (e) (m) |
1,493 | |||||||||
885 | 6.51%, 03/07/22 (e) (m) |
806 | |||||||||
5,230 | 7.29%, 08/16/37 (e) (m) |
4,871 | |||||||||
1,620 | 8.63%, 04/28/34 (e) (m) |
1,875 | |||||||||
Gazprom International S.A., |
|||||||||||
1,965 | 7.20%, 02/01/20 |
2,016 | |||||||||
Gazstream S.A. for OAO Gazprom, |
|||||||||||
3,034 | 5.63%, 07/22/13 (e) (m) |
3,027 | |||||||||
2,338 | 5.63%, 07/22/13 |
2,330 | |||||||||
720 | RSHB Capital S.A. for OJSC Russian Agricultural Bank, 7.18%, 05/16/13 (m) |
737 | |||||||||
2,980 | TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67%, 03/05/14 (e) (m) |
2,895 | |||||||||
1,600 | VTB Capital S.A. for Vneshtorgbank, 6.25%, 06/30/35 |
1,504 | |||||||||
23,659 | |||||||||||
Singapore 0.2% |
|||||||||||
640 | BW Group Ltd., 6.63%, 06/28/17 (e) (m) |
572 | |||||||||
Trinidad & Tobago 1.1% |
|||||||||||
3,452 | National Gas Co. of Trinidad and Tobago Ltd., 6.05%, 01/15/36 (m) |
3,265 | |||||||||
Ukraine 3.9% |
|||||||||||
Credit Suisse First Boston International for CJSC The EXIM of Ukraine, |
|||||||||||
320 | 6.80%, 10/04/12 |
311 | |||||||||
7,855 | 7.65%, 09/07/11 |
7,933 | |||||||||
1,840 | CS International for City of Kiev Ukraine, 8.25%, 11/26/12 (e) (m) |
1,862 | |||||||||
1,695 | Dresdner Kleinwort Wasserstein for CJSC The EXIM of Ukraine, 7.75%, 09/23/09 |
1,721 | |||||||||
11,827 | |||||||||||
Venezuela 3.6% |
|||||||||||
970 | Petrobras International Finance Co., 5.88%, 03/01/18 (m) |
958 | |||||||||
Petroleos de Venezuela S.A., |
|||||||||||
8,409 | 5.25%, 04/12/17 |
5,844 | |||||||||
6,995 | 5.38%, 04/12/27 |
4,153 | |||||||||
10,955 | |||||||||||
Total Corporate Bonds (Cost $59,984) |
59,528 | ||||||||||
Foreign Government Securities 72.5% |
|||||||||||
Argentina 9.1% |
|||||||||||
Republic of Argentina, |
|||||||||||
2,120 | 7.00%, 10/03/15 (m) |
1,771 | |||||||||
ARS 11,300 | VAR, 0.00%, 09/30/14 (m) |
3,661 | |||||||||
ARS 5,505 | VAR, 0.00%, 01/03/16 (m) |
2,445 | |||||||||
ARS 34,971 | VAR, 0.00%, 02/04/18 (m) |
14,197 | |||||||||
ARS 9,812 | VAR, 0.00%, 12/31/33 (m) |
3,517 | |||||||||
5,654 | VAR, 0.63%, 12/15/35 (m) |
752 | |||||||||
ARS 8,480 | VAR, 0.63%, 12/31/38 (m) |
1,087 | |||||||||
27,430 | |||||||||||
Barbados 0.2% |
|||||||||||
Government of Barbados, |
|||||||||||
239 | 6.63%, 12/05/35 (m) |
229 | |||||||||
390 | 6.63%, 12/05/35 (e) (m) |
374 | |||||||||
603 | |||||||||||
Brazil 10.6% |
|||||||||||
300 | Banco Nacional de Desenvolvimento Economico e Social, VAR, 5.33%, 06/16/08 (m) |
298 | |||||||||
Federal Republic of Brazil, |
|||||||||||
5,605 | 7.13%, 01/20/37 (m) |
6,053 | |||||||||
2,980 | 7.88%, 03/07/15 (m) |
3,412 | |||||||||
1,600 | 8.75%, 02/04/25 (m) |
1,980 | |||||||||
800 | 8.88%, 10/14/19 (m) |
996 | |||||||||
1,197 | 10.13%, 05/15/27 (m) |
1,679 | |||||||||
7,188 | 12.25%, 03/06/30 (m) |
12,004 | |||||||||
BRL 10,055 | Lehman Brothers Holdings, Inc., 10.00%, 01/03/12 (linked to Brazilian Real Notes, 10.00%, 01/03/12) (e) (i) |
5,485 | |||||||||
31,907 | |||||||||||
Chile 1.4% |
|||||||||||
3,650 | Government of Chile, 7.13%, 01/11/12 (m) |
4,079 | |||||||||
Colombia 3.3% |
|||||||||||
COP 3,692,000 | Bogota Distrio Capital, 9.75%, 07/26/28 (e) (m) |
1,743 | |||||||||
Republic of Colombia, |
|||||||||||
1,030 | 7.38%, 01/27/17 (m) |
1,134 | |||||||||
1,640 | 7.38%, 09/18/37 (m) |
1,744 | |||||||||
575 | 11.75%, 02/25/20 (m) |
841 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Colombia Continued |
|||||||||||
COP 7,899,000 | 12.00%, 10/22/15 |
4,554 | |||||||||
10,016 | |||||||||||
Costa Rica 1.4% |
|||||||||||
3,268 | Republic of Costa Rica, 10.00%, 08/01/20 (m) |
4,273 | |||||||||
Dominican Republic 3.0% |
|||||||||||
Citigroup Funding, Inc., |
|||||||||||
1,700 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) |
1,718 | |||||||||
2,615 | 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) |
2,390 | |||||||||
1,030 | 22.00%, 10/03/11 (linked to Dominican Republic Government Bond, 22.00%, 10/03/11) (e) (i) |
952 | |||||||||
2,065 | VAR, 24.00%, 01/11/13 (linked to Dominican Republic Government Bond, 24.00%, 01/11/13) (e) (i) (m) |
2,025 | |||||||||
Government of Dominican Republic, |
|||||||||||
322 | 9.04%, 01/23/18 (e) (m) |
351 | |||||||||
1,350 | 9.04%, 01/23/18 (m) |
1,472 | |||||||||
40 | 9.50%, 09/27/11 (m) |
42 | |||||||||
8,950 | |||||||||||
Egypt 1.8% |
|||||||||||
EGP 17,700 | Arab Republic of Egypt, |
||||||||||
8.75%, 07/18/12 (e) (m) |
3,345 | ||||||||||
Citigroup Funding, Inc., |
|||||||||||
475 | 0.00%, 07/17/08 (linked to Egypt Treasury Bill, 0.00%, 07/17/08) (e) (i) (m) |
477 | |||||||||
1,010 | 0.00%, 10/09/08 (linked to Egypt Treasury Bill, 0.00%, 10/09/08) (e) (i) |
1,088 | |||||||||
520 | 0.00%, 01/08/09 (linked to Egypt Treasury Bill, 0.00%, 01/08/09) (e) (i) (m) |
528 | |||||||||
5,438 | |||||||||||
El Salvador 1.1% |
|||||||||||
Republic of El Salvador, |
|||||||||||
600 | 7.65%, 06/15/35 (m) |
645 | |||||||||
2,360 | 8.25%, 04/10/32 (e) (m) |
2,690 | |||||||||
3,335 | |||||||||||
Gabon 0.9% |
|||||||||||
2,445 | Republic of Gabon, 8.20%, 12/12/17 (e) (m) |
2,558 | |||||||||
Ghana 1.1% |
|||||||||||
1,550 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) (m) |
1,527 | |||||||||
2,000 | Citigroup Funding, Inc., 15.00%, 06/20/12 (linked to Government of Ghana, 15.00%, 06/20/12) (e) (i) |
1,672 | |||||||||
3,199 | |||||||||||
Guatemala 2.8% |
|||||||||||
Republic of Guatemala, |
|||||||||||
1,521 | 8.13%, 10/06/34 (m) |
1,780 | |||||||||
2,930 | 9.25%, 08/01/13 (m) |
3,377 | |||||||||
2,910 | 10.25%, 11/08/11 (m) |
3,361 | |||||||||
8,518 | |||||||||||
Indonesia 2.7% |
|||||||||||
3,160 | Deutsche Bank Financial, Inc., 15.00%, 07/20/18 (linked to Indonesia Government Bond, 15.00%, 07/15/18) (e) (i) |
4,677 | |||||||||
3,320 | Republic of Indonesia, 6.88%, 01/17/18 (e) (m) |
3,453 | |||||||||
8,130 | |||||||||||
Iraq 0.3% |
|||||||||||
1,250 | Republic of Iraq, 5.80%, 01/15/28 (e) |
914 | |||||||||
Mexico 3.3% |
|||||||||||
United Mexican States, |
|||||||||||
MXN 9,300 | 8.00%, 12/19/13 (m) |
889 | |||||||||
3,700 | 8.30%, 08/15/31 (m) |
4,778 | |||||||||
MXN 23,000 | 10.00%, 12/05/24 (m) |
2,629 | |||||||||
1,085 | 11.38%, 09/15/16 (m) |
1,562 | |||||||||
9,858 | |||||||||||
Nigeria 0.5% |
|||||||||||
1,380 | Citigroup Funding, Inc., VAR, 0.00%, 12/17/10 (linked to Republic of Nigeria, VAR, 0.00%, 12/17/10) (e) (i) (m) |
1,377 | |||||||||
Peru 2.4% |
|||||||||||
3,420 | IIRSA Norte Finance Ltd., 8.75%, 05/30/24 (m) |
3,831 | |||||||||
Republic of Peru, |
|||||||||||
1,193 | 6.55%, 03/14/37 (m) |
1,223 | |||||||||
600 | 8.38%, 05/03/16 (m) |
714 | |||||||||
364 | 8.75%, 11/21/33 (m) |
471 | |||||||||
844 | 9.88%, 02/06/15 (m) |
1,060 | |||||||||
7,299 | |||||||||||
Philippines 3.7% |
|||||||||||
Republic of Philippines, |
|||||||||||
4,590 | 7.75%, 01/14/31 (m) |
5,078 | |||||||||
5,449 | 8.25%, 01/15/14 (m) |
6,164 | |||||||||
11,242 | |||||||||||
Russia 6.4% |
|||||||||||
Russian Federation, |
|||||||||||
1,657 | 8.25%, 03/31/10 |
1,736 | |||||||||
1,729 | 12.75%, 06/24/28 (m) |
3,115 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Russia Continued |
|||||||||||
12,548 | SUB, 7.50%, 03/31/30 (m) |
14,352 | |||||||||
19,203 | |||||||||||
Turkey 5.2% |
|||||||||||
TRY 11,535 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11, (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) |
8,852 | |||||||||
TRY 3,500 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11, (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) |
2,728 | |||||||||
Republic of Turkey, |
|||||||||||
2,150 | 6.88%, 03/17/36 (m) |
1,983 | |||||||||
2,000 | 12.38%, 06/15/09 (m) |
2,210 | |||||||||
15,773 | |||||||||||
Uganda 0.4% |
|||||||||||
1,030 | Citigroup Funding, Inc., 0.00%, 03/17/08 (linked to Uganda Treasury Bill, 0.00%, 03/17/08) (e) (i) |
1,147 | |||||||||
Ukraine 3.1% |
|||||||||||
Government of Ukraine, |
|||||||||||
1,750 | 6.58%, 11/21/16 |
1,726 | |||||||||
2,390 | 6.58%, 11/21/16 (e) (m) |
2,363 | |||||||||
2,065 | 7.65%, 06/11/13 |
2,199 | |||||||||
3,000 | FRN, 6.39%, 08/05/09 |
3,060 | |||||||||
9,348 | |||||||||||
Uruguay 1.2% |
|||||||||||
Republic of Uruguay, |
|||||||||||
UYU 15,000 | 3.70%, 06/26/37 (m) |
654 | |||||||||
UYU 30,960 | 5.00%, 09/14/18 (m) |
1,779 | |||||||||
465 | 7.50%, 03/15/15 (m) |
502 | |||||||||
270 | 7.63%, 03/21/36 (m) |
277 | |||||||||
379 | 8.00%, 11/18/22 (m) |
409 | |||||||||
3,621 | |||||||||||
Venezuela 6.6% |
|||||||||||
Republic of Venezuela, |
|||||||||||
2,194 | 8.50%, 10/08/14 (m) |
2,128 | |||||||||
1,311 | 8.50%, 10/08/14 (m) |
1,265 | |||||||||
1,625 | 9.38%, 01/13/34 (m) |
1,593 | |||||||||
12,756 | 10.75%, 09/19/13 (m) |
13,617 | |||||||||
1,020 | 13.63%, 08/15/18 (m) |
1,275 | |||||||||
19,878 | |||||||||||
Total Foreign Government Securities (Cost $216,388) |
218,096 | ||||||||||
U.S. Treasury Obligations 2.2% |
|||||||||||
United States 2.2% |
|||||||||||
U.S. Treasury Notes, |
|||||||||||
6,000 | 2.88%, 01/31/13 (m) |
6,106 | |||||||||
520 | 4.88%, 04/30/08 (k) |
522 | |||||||||
Total U.S. Treasury Obligations (Cost $6,545) |
6,628 |
NUMBER OF WARRANTS |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Warrants 0.8% |
||||||||||
Argentina 0.8% |
||||||||||
Republic of Argentina, |
||||||||||
ARS 43,114 | Expires 12/15/35 (linked to GDP) (a) (m) |
1,191 | ||||||||
EUR 6,430 | Expires 12/15/35 (linked to GDP) (a) (m) |
1,089 | ||||||||
Total Warrants (Cost $1,973) |
2,280 | |||||||||
Total Long-Term Investments (Cost $284,890) |
286,532 |
SHARES |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investment 3.2% |
|||||||||||
Investment Company 3.2% |
|||||||||||
9,742 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $9,742) |
9,742 | |||||||||
Total Investments 98.5% (Cost $294,632) |
296,274 | ||||||||||
Other Assets in Excess of Liabilities 1.5% |
4,448 | ||||||||||
NET ASSETS 100.0% |
$ | 300,722 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
226 | 10
Year U.S. Treasury Note |
June,
2008 |
26,506 | 634 | ||||||||||||||
211 | U.S.
Treasury Bond |
June,
2008 |
25,030 | 577 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(73) | 2
Year U.S. Treasury Note |
June,
2008 |
(15,689 | ) | (121 | ) | ||||||||||||
(250) | 5
Year U.S. Treasury Note |
June,
2008 |
(28,563 | ) | (445 | ) | ||||||||||||
645 |
CONTRACTS TO SELL |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
5,315,000 |
EUR |
03/31/08 | (8,063 | ) | (7,692 | ) | (371 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Gaz Capital S.A.
for Gazprom, 8.63%, 04/28/34 |
Deutsche Bank AG, New York |
Sell |
39
BPS semi-annually |
04/20/08 | 2,340 | (2 | ) | |||||||||||||||||||
Gazprom
International S.A., 7.20%, 02/01/20 |
Lehman Brothers Special Financing |
Buy |
112
BPS semi-annually |
04/20/11 | 5,180 | 5 | ||||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
341
BPS semi-annually |
07/20/17 | 800 | 110 | ||||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
397
BPS semi-annually |
08/20/17 | 210 | 22 | ||||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Morgan Stanley Capital Services |
Sell |
190
BPS semi-annually |
07/20/10 | 500 | (1 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Morgan Stanley Capital Services |
Sell |
170
BPS semi-annually |
08/20/10 | 750 | (9 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Union
Bank of Switzerland AG |
Sell |
184
BPS semi-annually |
08/20/10 | 300 | (2 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Morgan Stanley Capital Services |
Sell |
176
BPS semi-annually |
09/20/10 | 400 | (1 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Morgan Stanley Capital Services |
Sell |
203
BPS semi-annually |
08/20/11 | 660 | (10 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Citibank, N.A. |
Sell |
175
BPS semi-annually |
10/20/11 | 3,030 | (62 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Citibank, N.A. |
Sell |
189
BPS semi-annually |
10/20/11 | 1,670 | (25 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Morgan Stanley Capital Services |
Sell |
162
BPS semi-annually |
11/20/11 | 740 | (20 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Barclays Bank plc |
Sell |
156
BPS semi-annually |
04/20/12 | 530 | (19 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Deutsche Bank AG, New York |
Sell |
158
BPS semi-annually |
04/20/12 | 350 | (12 | ) | |||||||||||||||||||
Government of
Ukraine, 7.65%, 06/11/13 |
Citibank, N.A. |
Sell |
137.75 BPS semi-annually |
06/20/12 | 2,860 | (139 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Sell |
175
BPS semi-annually |
08/20/08 | 2,100 | (37 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Deutsche Bank AG, New York |
Sell |
235
BPS semi-annually |
03/20/12 | 350 | (50 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Sell |
220
BPS semi-annually |
03/20/12 | 640 | (94 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Sell |
230
BPS semi-annually |
03/20/12 | 1,670 | (240 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Buy |
300
BPS semi-annually |
08/20/12 | 420 | 54 | ||||||||||||||||||||
Kazkommertzbank
International BV, 8.00%, 11/03/15 |
Morgan Stanley Capital Services |
Sell |
230
BPS semi-annually |
03/20/12 | 750 | (108 | ) | |||||||||||||||||||
Pemex, 9.50%,
09/15/27 |
Citibank, N.A. |
Buy |
125
BPS semi-annually |
06/20/10 | 1,000 | (13 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.25%, 04/12/17 |
Union
Bank of Switzerland AG |
Sell |
278
BPS semi-annually |
06/20/12 | 510 | (55 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.25%, 04/12/17 |
Union
Bank of Switzerland AG |
Sell |
344
BPS semi-annually |
07/20/12 | 520 | (41 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.25%, 04/12/17 |
Union
Bank of Switzerland AG |
Sell |
355
BPS semi-annually |
07/20/12 | 770 | (57 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.38%, 04/12/27 |
Bear
Stearns Credit Products (y) |
Sell |
342
BPS semi-annually |
07/20/12 | 350 | (18 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.38%, 04/12/27 |
Bear
Stearns Credit Products (y) |
Sell |
361
BPS semi-annually |
07/20/12 | 380 | (27 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.38%, 04/12/27 |
Morgan Stanley Capital Services |
Sell |
340
BPS semi-annually |
07/20/12 | 870 | (69 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.38%, 04/12/27 |
Morgan Stanley Capital Services |
Sell |
355
BPS semi-annually |
07/20/12 | 960 | (71 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
265
BPS semi-annually |
05/20/12 | 3,100 | (340 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
328
BPS semi-annually |
07/20/12 | 190 | (16 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
340
BPS semi-annually |
07/20/12 | 870 | (79 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
341
BPS semi-annually |
07/20/12 | 870 | (69 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
355
BPS semi-annually |
07/20/12 | 170 | (13 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Sell |
343
BPS semi-annually |
09/20/10 | 350 | 1 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Sell |
303.5
BPS semi-annually |
10/20/10 | 750 | (10 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Morgan Stanley Capital Services |
Sell |
338
BPS semi-annually |
10/20/10 | 400 | | (h) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Sell |
295
BPS semi-annually |
03/20/11 | 840 | (19 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Buy |
208.5
BPS semi-annually |
09/20/11 | 550 | 37 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Deutsche Bank AG, New York |
Sell |
196
BPS semi-annually |
04/20/12 | 230 | (22 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Citibank, N.A. |
Sell |
216
BPS semi-annually |
06/20/12 | 720 | (69 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Deutsche Bank AG, New York |
Sell |
214
BPS semi-annually |
06/20/12 | 1,140 | (110 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Morgan Stanley Capital Services |
Sell |
216
BPS semi-annually |
06/20/12 | 1,430 | (137 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Buy |
258
BPS semi-annually |
07/20/12 | 350 | 30 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Deutsche Bank AG, New York |
Sell |
208
BPS semi-annually |
07/20/12 | 830 | (86 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Deutsche Bank AG, New York |
Sell |
232.67 BPS semi-annually |
07/20/12 | 1,450 | (137 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Buy |
258
BPS semi-annually |
07/20/12 | 1,060 | 90 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Buy |
263
BPS semi-annually |
07/20/12 | 870 | 72 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Morgan Stanley Capital Services |
Buy |
262
BPS semi-annually |
07/20/12 | 870 | 73 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Union
Bank of Switzerland AG |
Buy |
262
BPS semi-annually |
07/20/12 | 520 | 43 | ||||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Lehman Brothers Special Financing |
Sell |
397
BPS semi-annually |
11/20/12 | 6,870 | (230 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
341
BPS semi-annually |
07/20/17 | 800 | (127 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
407
BPS semi-annually |
08/20/17 | 210 | (26 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Buy |
300
BPS semi-annually |
09/20/10 | 350 | (22 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Buy |
261.5
BPS semi-annually |
10/20/10 | 750 | (39 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Morgan Stanley Capital Services |
Buy |
290
BPS semi-annually |
10/20/10 | 400 | (24 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Buy |
142
BPS semi-annually |
03/20/11 | 840 | (15 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Sell |
119
BPS semi-annually |
09/20/11 | 270 | 2 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Sell |
120
BPS semi-annually |
09/20/11 | 280 | 2 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Deutsche Bank AG, New York |
Buy |
81
BPS semi-annually |
04/20/12 | 230 | 4 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Citibank, N.A. |
Buy |
69.5
BPS semi-annually |
06/20/12 | 720 | 17 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Deutsche Bank AG, New York |
Buy |
73.21
BPS semi-annually |
06/20/12 | 1,140 | 26 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Morgan Stanley Capital Services |
Buy |
69
BPS semi-annually |
06/20/12 | 1,430 | 35 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Deutsche Bank AG, New York |
Buy |
71.33
BPS semi-annually |
07/20/12 | 1,450 | 36 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Deutsche Bank AG, New York |
Buy |
66
BPS semi-annually |
07/20/12 | 830 | 23 | ||||||||||||||||||||
Republic of
Colombia, 10.38%, 01/28/33 |
Deutsche Bank AG, New York |
Buy |
91.42
BPS semi-annually |
04/20/12 | 410 | 10 | ||||||||||||||||||||
Republic of
Colombia, 10.38%, 01/28/33 |
Lehman Brothers Special Financing |
Buy |
82.5
BPS semi-annually |
06/20/12 | 3,990 | 132 | ||||||||||||||||||||
Republic of
Colombia, 10.38%, 01/28/33 |
Lehman Brothers Special Financing |
Buy |
96
BPS semi-annually |
04/20/12 | 210 | 5 | ||||||||||||||||||||
Republic of
Colombia, 10.38%, 01/28/33 |
Lehman Brothers Special Financing |
Buy |
98
BPS semi-annually |
04/20/12 | 3,000 | 73 | ||||||||||||||||||||
Republic of
Colombia, 10.38%, 01/28/33 |
Morgan Stanley Capital Services |
Buy |
100
BPS semi-annually |
04/20/12 | 750 | 18 | ||||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Citibank, N.A. |
Sell |
185
BPS quarterly |
06/20/11 | 300 | | (h) | |||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Deutsche Bank AG, New York |
Sell |
185
BPS quarterly |
06/20/11 | 730 | | (h) | |||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Deutsche Bank AG, New York |
Sell |
205
BPS quarterly |
06/20/11 | 365 | 2 | ||||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Morgan Stanley Capital Services |
Sell |
127
BPS quarterly |
12/20/11 | 400 | (11 | ) | |||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Deutsche Bank AG, New York |
Sell |
101
BPS quarterly |
06/20/12 | 690 | (32 | ) | |||||||||||||||||||
Republic of
Indonesia, 6.75%, 03/10/14 |
Deutsche Bank AG, New York |
Sell |
115
BPS quarterly |
09/20/12 | 3,820 | (174 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Citibank, N.A. |
Sell |
63
BPS semi-annually |
05/20/11 | 1,600 | (73 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Citibank, N.A. |
Sell |
60
BPS semi-annually |
03/20/12 | 870 | (55 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
53.51
BPS semi-annually |
03/20/12 | 1,510 | (99 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
61
BPS semi-annually |
03/20/12 | 620 | (39 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Barclays Bank plc |
Sell |
68
BPS semi-annually |
08/20/12 | 3,010 | (220 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
65.5
BPS semi-annually |
08/20/12 | 2,210 | (164 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
71
BPS semi-annually |
08/20/12 | 1,090 | (78 | ) | |||||||||||||||||||
Republic of Peru,
8.75%, 11/21/33 |
Lehman Brothers Special Financing |
Sell |
62
BPS semi-annually |
06/20/12 | 5,340 | (144 | ) | |||||||||||||||||||
Republic of Peru,
8.75%, 11/21/33 |
Lehman Brothers Special Financing |
Sell |
108.5
BPS semi-annually |
05/20/17 | 2,155 | (111 | ) | |||||||||||||||||||
Republic of Peru,
8.75%, 11/21/33 |
Lehman Brothers Special Financing |
Sell |
90
BPS semi-annually |
06/20/17 | 1,380 | (88 | ) | |||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Citibank, N.A. |
Buy |
199
BPS quarterly |
06/20/11 | 300 | (2 | ) | |||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Deutsche Bank AG, New York |
Buy |
199
BPS quarterly |
06/20/11 | 730 | (4 | ) | |||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Deutsche Bank AG, New York |
Buy |
221
BPS quarterly |
06/20/11 | 365 | (5 | ) | |||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Morgan Stanley Capital Services |
Buy |
132
BPS quarterly |
12/20/11 | 400 | 10 | ||||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Deutsche Bank AG, New York |
Buy |
103
BPS quarterly |
06/20/12 | 690 | 30 | ||||||||||||||||||||
Republic of
Philippines, 10.63%, 03/16/25 |
Deutsche Bank AG, New York |
Buy |
116
BPS quarterly |
09/20/12 | 3,820 | 165 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
145
BPS semi-annually |
07/20/12 | 370 | 10 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
146
BPS semi-annually |
07/20/12 | 3,850 | 98 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Deutsche Bank AG, New York |
Buy |
239
BPS semi-annually |
08/20/12 | 1,000 | (14 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
194
BPS semi-annually |
08/20/12 | 1,170 | 7 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Barclays Bank plc |
Sell |
172.1
BPS semi-annually |
03/20/12 | 1,520 | (157 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Deutsche Bank AG, New York |
Sell |
160.42 BPS semi-annually |
04/20/12 | 870 | (97 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Deutsche Bank AG, New York |
Sell |
162
BPS semi-annually |
04/20/12 | 410 | (46 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
160.5
BPS semi-annually |
04/20/12 | 210 | (24 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
161
BPS semi-annually |
04/20/12 | 3,000 | (335 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Morgan Stanley Capital Services |
Sell |
169
BPS semi-annually |
04/20/12 | 750 | (82 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
218
BPS semi-annually |
06/20/12 | 3,990 | (395 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
222
BPS semi-annually |
06/20/12 | 860 | (84 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Union
Bank of Switzerland AG |
Buy |
203
BPS semi-annually |
06/20/12 | 510 | 53 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Bear
Stearns Credit Products (y) |
Buy |
266
BPS semi-annually |
07/20/12 | 380 | 33 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Bear
Stearns Credit Products (y) |
Sell |
250.4
BPS semi-annually |
07/20/12 | 1,550 | (142 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Buy |
260
BPS semi-annually |
07/20/12 | 170 | 15 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Morgan Stanley Capital Services |
Buy |
257
BPS semi-annually |
07/20/12 | 960 | 86 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Union
Bank of Switzerland AG |
Buy |
255
BPS semi-annually |
07/20/12 | 770 | 69 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Union
Bank of Switzerland AG |
Sell |
251
BPS semi-annually |
07/20/12 | 1,550 | (142 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
301.3
BPS semi-annually |
08/20/12 | 1,680 | (131 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
570
BPS semi-annually |
08/20/12 | 670 | 12 | ||||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Morgan Stanley Capital Services |
Sell |
340
BPS semi-annually |
08/20/12 | 90 | (6 | ) | |||||||||||||||||||
Republic of
Venezuela, 9.25%, 09/15/27 |
Lehman Brothers Special Financing |
Sell |
312
BPS semi-annually |
10/20/12 | 15,030 | (1,007 | ) | |||||||||||||||||||
Russian AG Bank,
7.18%, 05/16/13 |
Union
Bank of Switzerland AG |
Sell |
76
BPS semi-annually |
02/20/09 | 1,190 | (18 | ) | |||||||||||||||||||
Russian AG Bank,
7.18%, 05/16/13 |
Credit Suisse International |
Sell |
72
BPS semi-annually |
03/20/09 | 120 | (2 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Buy |
31
BPS semi-annually |
02/20/09 | 1,190 | 4 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Credit Suisse International |
Buy |
30
BPS semi-annually |
03/20/09 | 120 | 1 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Buy |
90
BPS semi-annually |
07/20/10 | 500 | | (h) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Sell |
101
BPS semi-annually |
07/20/10 | 2,000 | 6 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche Bank AG, New York |
Sell |
77
BPS semi-annually |
08/20/10 | 70 | | (h) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Buy |
75
BPS semi-annually |
08/20/10 | 750 | 4 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Buy |
90
BPS semi-annually |
08/20/10 | 300 | | (h) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Buy |
64
BPS semi-annually |
09/20/10 | 400 | 3 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Buy |
53
BPS semi-annually |
08/20/11 | 660 | 13 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Morgan Stanley Capital Services |
Buy |
50
BPS semi-annually |
11/20/11 | 740 | 18 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Bear
Stearns Credit Products (y) |
Sell |
45.5
BPS semi-annually |
12/20/11 | 600 | (16 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian
Federation, 7.50%, 03/31/30 |
Deutsche Bank AG, New York |
Sell |
51
BPS semi-annually |
12/20/11 | 1,580 | (39 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche Bank AG, New York |
Sell |
52.5
BPS semi-annually |
12/20/11 | 1,360 | (33 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Sell |
45.5
BPS semi-annually |
12/20/11 | 1,270 | (34 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Sell |
46
BPS semi-annually |
12/20/11 | 1,200 | (32 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Barclays Bank plc |
Buy |
47.5
BPS semi-annually |
04/20/12 | 530 | 15 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche Bank AG, New York |
Buy |
49.5
BPS semi-annually |
04/20/12 | 350 | 10 | ||||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Morgan Stanley Capital Services |
Buy |
96
BPS semi-annually |
07/20/10 | 2,000 | (22 | ) | |||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Deutsche Bank AG, New York |
Buy |
81
BPS semi-annually |
08/20/10 | 70 | | (h) | |||||||||||||||||||
United Mexican
States, 8.30%, 08/15/31 |
Citibank, N.A. |
Sell |
105
BPS semi-annually |
06/20/10 | 1,000 | 11 | ||||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan Stanley Capital Services |
Sell |
40
BPS semi-annually |
03/20/08 | 1,360 | 2 | ||||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 7.50%, 10/12/11 |
Lehman Brothers Special Financing |
Sell |
109
BPS semi-annually |
04/20/11 | 5,180 | 257 | ||||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan Stanley Capital Services |
Sell |
64
BPS semi-annually |
05/20/12 | 790 | (69 | ) | |||||||||||||||||||
(5,144 | ) |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PAYMENTS MADE BY THE FUND (r) |
|
PAYMENTS RECEIVED BY THE FUND (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley
Capital Services |
TransCredit Bank, 7.30%, 02/26/09 |
3 Month
LIBOR + 20 BPS quarterly |
Total
Return on TransCredit Bank, 7.30%, 02/26/09 quarterly |
02/26/09 |
RUB
31,200 |
49 | ||||||||||||||||||||
Morgan Stanley
Capital Services |
OGK/Rushydros, 12/13/13 |
3 Month
LIBOR + 20 BPS quarterly |
Total
Return on OGK/Rushydros, 12/13/13 quarterly |
12/25/10 |
RUB
99,740 |
192 | ||||||||||||||||||||
241 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 70.1% |
|||||||||||
Asset-Backed Securities 19.9% |
|||||||||||
434 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) |
433 | |||||||||
500 | Ameriquest Mortgage Securities, Inc., Series 2005-R2, Class M2, FRN, 3.62%, 04/25/35 (m) |
430 | |||||||||
1,400 | Arkle Master Issuer plc (United Kingdom), Series 2006-1A, Class 3A, FRN, 3.12%, 08/17/11 (e) (m) |
1,390 | |||||||||
400 | Asset Backed Funding Certificates, Series 2005-HE1, Class M2, FRN, 3.58%, 03/25/35 (m) |
357 | |||||||||
279 | Bear Stearns Asset Backed Securities Trust, Series 2005-HE3, Class M1, FRN, 3.57%, 03/25/35 (m) (y) |
240 | |||||||||
Capital One Auto Finance Trust, |
|||||||||||
750 | Series 2007-B, Class A3B, FRN, 3.12%, 04/15/12 (m) |
714 | |||||||||
750 | Series 2007-B, Class A4, FRN, 3.15%, 04/15/14 (m) |
675 | |||||||||
366 | Carrington Mortgage Loan Trust, Series 2006-OPT1, Class A3, FRN, 3.31%, 02/25/36 |
341 | |||||||||
695 | Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, FRN, 3.52%, 12/25/33 |
575 | |||||||||
Countrywide Asset-Backed Certificates, |
|||||||||||
117 | Series 2004-6, Class 2A4, FRN, 3.58%, 11/25/34 (m) |
105 | |||||||||
156 | Series 2005-BC1, Class M2, FRN, 3.58%, 05/25/35 (m) |
133 | |||||||||
659 | Countrywide Home Equity Loan Trust, Series 2003-C, Class A, FRN, 3.39%, 05/15/29 (m) |
543 | |||||||||
2,600 | Credit-Based Asset Servicing and Securitization LLC, Series 2006-CB8, Class A2B, FRN, 3.25%, 10/25/36 (m) |
2,169 | |||||||||
689 | Equifirst Loan Securitization Trust, Series 2007-1, Class A2A, FRN, 3.20%, 04/25/37 |
643 | |||||||||
2,500 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF13, Class A2C, FRN, 3.30%, 10/25/36 |
2,145 | |||||||||
514 | Fleet Home Equity Loan Trust, Series 2003-1, Class A, FRN, 3.36%, 01/20/33 |
429 | |||||||||
500 | Helios Finance LP (Cayman Islands), Series 2001-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) |
454 | |||||||||
800 | HSI Asset Securitization Corp. Trust, Series 2006-OPT3, Class 3A3, FRN, 3.31%, 02/25/36 |
675 | |||||||||
1,500 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/09 (f) (i) (s) (v) |
335 | |||||||||
2,100 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) |
630 | |||||||||
550 | MBNA Credit Card Master Note Trust, Series 2005-A5, Class A5, FRN, 3.12%, 12/15/10 |
549 | |||||||||
150 | Morgan Stanley ABS Capital I, Series 2005-HE2, Class M3, FRN, 3.62%, 01/25/35 |
126 | |||||||||
278 | Nationstar NIM Trust (Cayman Islands), Series 2007-C, Class A, 8.00%, 06/25/37 (e) (i) |
167 | |||||||||
413 | New Century Home Equity Loan Trust, Series 2004-3, Class M1, FRN, 3.76%, 11/25/34 |
367 | |||||||||
308 | Nomura Asset Acceptance Corp., Series 2006-WF1, Class A1, FRN, 3.23%, 06/25/36 |
304 | |||||||||
Option One Mortgage Loan Trust, |
|||||||||||
81 | Series 2002-1, Class A, FRN, 3.71%, 02/25/32 |
78 | |||||||||
300 | Series 2005-2, Class M1, FRN, 3.58%, 05/25/35 |
263 | |||||||||
550 | Park Place Securities, Inc., Series 2004-WHQ2, Class M2, FRN, 3.76%, 02/25/35 |
471 | |||||||||
350 | Residential Asset Securities Corp., Series 2005-KS11, Class M2, FRN, 3.56%, 12/25/35 |
284 | |||||||||
160 | Residential Funding Mortgage Securities II Inc., Series 2003-HS4, Class A1B, FRN, 3.40%, 01/25/29 |
138 | |||||||||
Securitized Asset Backed Receivables LLC Trust, |
|||||||||||
500 | Series 2005-OP1, Class M2, FRN, 3.58%, 01/25/35 |
433 | |||||||||
781 | Series 2006-OP1, Class A2B, FRN, 3.34%, 10/25/35 |
769 | |||||||||
300 | Sigma Finance Corp. (Cayman Islands), FRN, 5.51%, 09/15/08 (e) (f) (i) (s) |
235 | |||||||||
462 | Wachovia Asset Securitization, Inc., Series 2004-HE1, Class A, FRN, 3.35%, 06/25/34 |
440 | |||||||||
1,800 | Wells Fargo Home Equity Trust, Series 2006-3, Class A2, FRN, 3.29%, 01/25/37 |
1,503 | |||||||||
1,000 | William Street Funding Corp., Series 2005-1, Class A, FRN, 4.12%, 01/23/11 (e) (i) |
945 | |||||||||
Total Asset-Backed Securities (Cost $25,694) |
20,488 | ||||||||||
Collateralized Mortgage Obligations 14.9% |
|||||||||||
Agency CMO 3.0% |
|||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
|||||||||||
1,669 | Series 2638, Class KI, IO, 5.00%, 11/15/27 |
122 | |||||||||
2,366 | Series 2645, Class SB, IF, IO, 3.98%, 07/15/27 |
180 | |||||||||
821 | Series 2686, Class FL, FRN, 3.52%, 03/15/28 |
818 | |||||||||
863 | Series 2827, Class AS, IF, IO, 3.98%, 06/15/22 |
50 | |||||||||
1,242 | Series 2928, Class IN, IO, 5.00%, 10/15/24 |
68 | |||||||||
1,103 | Series 2975, Class IO, IO, 5.50%, 06/15/26 |
69 | |||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
224 | Series 2002-36, Class FS, FRN, 3.63%, 06/25/32 |
226 | |||||||||
333 | Series 2002-36, Class FT, FRN, 3.63%, 06/25/32 |
336 | |||||||||
4,786 | Series 2002-81, Class SJ, IF, IO, 4.37%, 04/25/32 |
477 | |||||||||
635 | Series 2003-121, Class FC, FRN, 3.54%, 02/25/28 |
632 | |||||||||
1,529 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 |
69 | |||||||||
1,039 | Series 2005-63, Class PK, IO, 5.50%, 10/25/24 |
42 | |||||||||
3,089 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Non-Agency CMO 11.9% |
|||||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
1,164 | Series 2006-OA2, Class A1, FRN, 3.32%, 05/20/46 (m) |
996 | |||||||||
2,548 | Series 2006-OA19, Class A1, FRN, 3.29%, 02/20/47 (m) |
2,160 | |||||||||
825 | Series 2006-OA21, Class A1, FRN, 3.30%, 03/20/47 |
706 | |||||||||
Countrywide Home Loan Mortgage Pass Through Trust, |
|||||||||||
3 | Series 2002-31, Class A3, 5.75%, 01/25/33 (m) |
3 | |||||||||
1,067 | Series 2005-2, Class 2A3, FRN, 3.48%, 03/25/35 (m) |
998 | |||||||||
604 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR5, Class 2A1A, FRN, 3.45%, 08/19/45 |
546 | |||||||||
Harborview Mortgage Loan Trust, |
|||||||||||
261 | Series 2005-10, Class 2A1A, FRN, 3.43%, 11/19/35 |
222 | |||||||||
1,130 | Series 2006-14, Class 2A1A, FRN, 3.27%, 03/19/38 |
958 | |||||||||
685 | Residential Accredit Loans, Inc., Series 2006-QA9, Class A1, FRN, 3.31%, 11/25/36 |
550 | |||||||||
Thornburg Mortgage Securities Trust, |
|||||||||||
415 | Series 2003-2, Class A1, FRN, 3.81%, 04/25/43 |
405 | |||||||||
3,657 | Series 2006-6, Class A1, FRN, 3.25%, 11/25/46 |
3,473 | |||||||||
WaMu Mortgage Pass Through Certificates, |
|||||||||||
635 | Series 2005-AR9, Class A1A, FRN, 3.45%, 07/25/45 |
591 | |||||||||
784 | Series 2005-AR13, Class A1A1, FRN, 3.43%, 10/25/45 |
717 | |||||||||
12,325 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $16,703) |
15,414 | ||||||||||
Commercial Mortgage-Backed Securities 1.8% |
|||||||||||
500 | CS First Boston Mortgage Securities Corp., Series 2001-CK6, Class A3, 6.39%, 08/15/36 |
511 | |||||||||
953 | LB-UBS Commercial Mortgage Trust, Series 2003-C5, Class A2, 3.48%, 07/15/27 |
944 | |||||||||
423 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) |
405 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $1,884) |
1,860 | ||||||||||
Corporate Bonds 26.3% |
|||||||||||
Capital Markets 2.8% |
|||||||||||
500 | Citigroup Funding, Inc., FRN, 5.30%, 03/02/09 (m) |
498 | |||||||||
1,000 | Citigroup Global Markets Holdings, Inc., FRN, 5.19%, 03/07/08 (m) |
1,000 | |||||||||
850 | Goldman Sachs Group, Inc. (The), FRN, 4.94%, 06/28/10 |
825 | |||||||||
400 | Lehman Brothers Holdings, Inc., FRN, 3.17%, 11/16/09 |
385 | |||||||||
300 | Lehman Brothers Holdings Capital Trust VIII, 3.92%, 05/31/12 (x) |
214 | |||||||||
2,922 | |||||||||||
Commercial Banks 5.6% |
|||||||||||
1,000 | BAC Capital Trust XIII, FRN, 5.39%, 03/15/43 (m) (x) |
740 | |||||||||
800 | Banco Sabadell S.A. (Spain), FRN, 3.95%, 04/23/10 (e) (m) |
766 | |||||||||
1,600 | Glitnir Banki HF (Iceland), FRN, 4.42%, 10/15/08 (e) (m) |
1,601 | |||||||||
200 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) |
192 | |||||||||
600 | Landsbanki Islands HF (Iceland), FRN, 3.79%, 08/25/09 (e) |
581 | |||||||||
1,900 | Wells Fargo & Co., FRN, 3.67%, 01/29/10 |
1,904 | |||||||||
5,784 | |||||||||||
Computers & Peripherals 0.8% |
|||||||||||
800 | Hewlett-Packard Co., FRN, 0.00%, 09/03/09 |
800 | |||||||||
Consumer Finance 4.1% |
|||||||||||
1,400 | Aiful Corp. (Japan), 6.00%, 12/12/11 (e) (m) |
1,363 | |||||||||
1,000 | American Honda Finance Corp., FRN, 5.17%, 09/18/08 (e) (m) |
1,000 | |||||||||
350 | Capital One Financial Corp., FRN, 5.43%, 09/10/09 (m) |
340 | |||||||||
1,550 | International Lease Finance Corp., FRN, 3.31%, 05/24/10 |
1,481 | |||||||||
4,184 | |||||||||||
Diversified Financial Services 2.7% |
|||||||||||
800 | General Electric Capital Corp., FRN, 5.09%, 06/15/09 |
799 | |||||||||
1,400 | IBM International Group Capital LLC, FRN, 3.65%, 07/29/09 |
1,403 | |||||||||
600 | ZFS Finance USA Trust III, FRN, 6.14%, 12/15/65 (e) |
577 | |||||||||
2,779 | |||||||||||
Electric Utilities 0.5% |
|||||||||||
500 | Pepco Holdings Inc., FRN, 5.75%, 06/01/10 |
499 | |||||||||
Household Products 0.8% |
|||||||||||
850 | Procter & Gamble International Funding SCA (Luxembourg), FRN, 3.29%, 08/19/09 |
850 | |||||||||
Insurance 2.4% |
|||||||||||
500 | Allstate Life Global Funding Trusts, FRN, 3.69%, 02/26/10 (m) |
495 | |||||||||
2,000 | Principal Life Income Funding Trusts, FRN, 5.10%, 06/06/08 (m) |
1,998 | |||||||||
2,493 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Media 0.2% |
|||||||||||
200 | Viacom, Inc., FRN, 5.34%, 06/16/09 |
195 | |||||||||
Metals & Mining 0.5% |
|||||||||||
550 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) |
534 | |||||||||
Multi-Utilities 0.7% |
|||||||||||
700 | Dominion Resources Inc., FRN, 3.25%, 11/14/08 (m) |
696 | |||||||||
Real Estate Investment Trusts (REITs) 0.9% |
|||||||||||
iStar Financial Inc., |
|||||||||||
650 | FRN, 5.33%, 09/15/09 |
569 | |||||||||
425 | FRN, 5.54%, 03/16/09 (m) |
382 | |||||||||
951 | |||||||||||
Thrifts & Mortgage Finance 3.9% |
|||||||||||
900 | CAM U.S. Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) |
865 | |||||||||
Countrywide Financial Corp., |
|||||||||||
160 | FRN, 5.10%, 03/24/09 (m) |
144 | |||||||||
950 | FRN, 5.21%, 12/19/08 (m) |
842 | |||||||||
300 | Sovereign Bancorp, Inc., FRN, 5.40%, 03/01/09 (m) |
292 | |||||||||
950 | Washington Mutual Bank, FRN, 3.23%, 11/06/09 |
860 | |||||||||
1,150 | Washington Mutual, Inc., FRN, 3.23%, 08/24/09 |
1,067 | |||||||||
4,070 | |||||||||||
Wireless Telecommunication Services 0.4% |
|||||||||||
400 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) |
395 | |||||||||
Total Corporate Bonds (Cost $28,257) |
27,152 | ||||||||||
Mortgage Pass-Through Securities 5.5% |
|||||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
5,400 | TBA, 6.00%, 03/25/22 |
5,577 | |||||||||
30 Year, Single Family, |
|||||||||||
100 | TBA, 6.50%, 03/25/38 |
104 | |||||||||
Total Mortgage Pass-Through Securities (Cost $5,676) |
5,681 | ||||||||||
U.S. Treasury Obligation 0.7% |
|||||||||||
659 | U.S. Treasury Inflation Indexed Bond, 2.63%, 07/15/17 (k) (Cost $714) |
752 | |||||||||
Certificate of Deposit 1.0% |
|||||||||||
1,000 | Deutsche Bank AG, (Germany) FRN, 3.57%, 02/16/10 (Cost $1,000) |
1,000 | |||||||||
Total Long-Term Investments (Cost $79,928) |
72,347 | ||||||||||
Short-Term Investments 36.1% |
|||||||||||
Certificates of Deposit 5.6% |
|||||||||||
700 | Bank of Ireland, (Ireland) FRN, 0.00%, 03/03/09 (m) |
700 | |||||||||
1,600 | Barclays Bank plc, (United Kingdom) 3.75%, 07/18/08 (m) |
1,604 | |||||||||
1,500 | National Bank of Canada, (Canada) 3.28%, 07/29/08 (m) |
1,502 | |||||||||
2,000 | Societe Generale (France), 3.40%, 04/23/08 (m) |
2,001 | |||||||||
Total Certificates of Deposit (Cost $5,800) |
5,807 | ||||||||||
Commercial Paper 9.0% (n) |
|||||||||||
1,100 | Alpine Securitization Corp., 2.96%, 08/13/08 (m) |
1,084 | |||||||||
1,000 | BNZ International Funding Ltd., 2.98%, 08/20/08 (m) |
986 | |||||||||
2,000 | Charta Corp., 5.34%, 03/25/08 (m) |
1,995 | |||||||||
CRC Funding LLC, |
|||||||||||
1,100 | 2.96%, 08/13/08 (e) (m) |
1,084 | |||||||||
2,000 | 5.34%, 03/25/08 (e) (m) |
1,995 | |||||||||
2,100 | St. George Bank Ltd., 3.29%, 04/22/08 (m) |
2,090 | |||||||||
Total Commercial Paper (Cost $9,233) |
9,234 |
SHARES |
|
|
||||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company 21.3% |
||||||||||
21,994 | JPMorgan Prime Money Market Fund, Institutional Class (b) (Cost $21,994) |
21,994 |
PRINCIPAL AMOUNT($) |
|
|
||||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.2% |
||||||||||
195 | U.S. Treasury Bill, 3.03%, 04/03/08 (k) (n) (Cost $194) |
195 | ||||||||
Total Short-Term Investments (Cost $37,221) |
37,230 | |||||||||
Total Investments 106.2% (Cost $117,149) |
109,577 | |||||||||
Liabilities in Excess of Other Assets (6.2)% |
(6,399 | ) | ||||||||
NET ASSETS 100.0% |
$ | 103,178 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
45 | Eurodollar |
March,
2008 |
$ | 10,934 | $ | 131 | ||||||||||||
19 | 2
Year U.S. Treasury Note |
June,
2008 |
4,084 | 34 | ||||||||||||||
34 | 10
Year U.S. Treasury Note |
June,
2008 |
3,988 | 96 | ||||||||||||||
9 | Eurodollar |
June,
2008 |
2,197 | 1 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(55) | 5
Year U.S. Treasury Note |
June,
2008 |
(6,284 | ) | (105 | ) | ||||||||||||
(16) | 10
Year U.S. Treasury Note |
June,
2008 |
(1,877 | ) | (44 | ) | ||||||||||||
(3) | Eurodollar |
June,
2008 |
(732 | ) | (13 | ) | ||||||||||||
(4) | Eurodollar |
September, 2008 |
(978 | ) | (16 | ) | ||||||||||||
(4) | Eurodollar |
December, 2008 |
(978 | ) | (15 | ) | ||||||||||||
(9) | Eurodollar |
June,
2009 |
(2,196 | ) | | (h) | ||||||||||||
$ | 69 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
$ (100) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 |
$ | (103 | ) | ||||||
(Proceeds received of $110.) |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Merrill Lynch
Capital Services |
5.12%
semi-annually |
3
month LIBOR quarterly |
02/23/12 | $ | 1,330 | $ | (99 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Aiful Corp.,
4.45%, 02/16/10 |
Morgan Stanley Capital Services |
Buy |
52.5
BPS quarterly |
12/20/11 | $ | 1,400 | $ | 115 | ||||||||||||||||||
Ambac Financial
Group, Inc., 9.38%, 08/01/11 |
Deutsche Bank AG, New York |
Sell |
105
BPS quarterly |
09/20/08 | 2,400 | (68 | ) | |||||||||||||||||||
ArcelorMittal,
9.75%, 04/01/14 |
Morgan Stanley Capital Services |
Sell |
17
BPS quarterly |
06/20/08 | 1,000 | (2 | ) | |||||||||||||||||||
Banca Italease
S.p.A., 4.66%, 10/15/09 |
Deutsche Bank AG, New York |
Sell |
85
BPS quarterly |
06/20/08 | 1,800 | (20 | ) | |||||||||||||||||||
CDX.NA.IG.9 |
Lehman Brothers Special Financing [1] |
Buy |
60
BPS quarterly |
12/20/12 | 6,000 | 263 | ||||||||||||||||||||
FHLMC, 5.08%,
02/07/19 |
Deutsche Bank AG, New York |
Sell |
3 BPS
quarterly |
06/20/08 | 4,800 | (6 | ) | |||||||||||||||||||
Hess Corp.,
6.65%, 08/15/11 |
Morgan Stanley Capital Services |
Sell |
20
BPS quarterly |
06/20/08 | 1,300 | (1 | ) | |||||||||||||||||||
ICICI Bank, Ltd.,
5.75%, 11/16/10 |
Deutsche Bank AG, New York |
Sell |
26
BPS quarterly |
03/20/08 | 700 | | (h) | |||||||||||||||||||
Merrill Lynch
& Co., 6.00%, 02/17/09 |
Bear
Stearns Credit Products, Inc. (y) |
Sell |
10
BPS quarterly |
03/20/08 | 3,900 | (5 | ) | |||||||||||||||||||
Morgan Stanley,
6.60%, 04/01/12 |
Royal
Bank of Scotland |
Sell |
20
BPS quarterly |
09/20/08 | 1,500 | (17 | ) | |||||||||||||||||||
$ | 259 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 106.5% |
|||||||||||
Asset-Backed Securities 1.7% |
|||||||||||
597 | GSAMP Trust, Series 2005-WMC2, Class A2B, FRN, 3.40%, 11/25/35 (m) |
586 | |||||||||
587 | Residential Asset Securities Corp, Series 2005-KS10, Class 1A2, FRN, 3.39%, 11/25/35 (m) |
563 | |||||||||
250 | Soundview Home Equity Loan Trust, Series 2005-OPT4, Class M2, FRN, 3.68%, 12/25/35 (i) |
179 | |||||||||
Total Asset-Backed Securities (Cost $1,434) |
1,328 | ||||||||||
Collateralized Mortgage Obligations 5.7% |
|||||||||||
Agency CMO 2.4% |
|||||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
505 | Series 2003-26, Class QF, FRN, 3.54%, 10/25/17 (m) |
507 | |||||||||
412 | Series 2003-90, Class FL, FRN, 3.58%, 03/25/31 (m) |
410 | |||||||||
975 | Series 2006-60, Class DF, FRN, 3.56%, 04/25/35 (m) |
975 | |||||||||
1,892 | |||||||||||
Non-Agency CMO 3.3% |
|||||||||||
Adjustable Rate Mortgage Trust, |
|||||||||||
222 | Series 2005-12, Class 5A1, FRN, 3.39%, 03/25/36 (m) |
184 | |||||||||
572 | Series 2006-3, Class 4A11, FRN, 3.31%, 08/25/36 (m) |
467 | |||||||||
400 | Downey Savings & Loan Association Mortgage Loan Trust, Series 2005-AR6, Class 2A1A, FRN, 3.41%, 10/19/45 (m) |
369 | |||||||||
Harborview Mortgage Loan Trust, |
|||||||||||
361 | Series 2005-8, Class 1A2A, FRN, 3.45%, 09/19/35 (m) |
323 | |||||||||
396 | Series 2005-11, Class 2A1A, FRN, 3.43%, 08/19/45 (m) |
361 | |||||||||
171 | Series 2006-8, Class 2A1A, FRN, 3.30%, 08/21/36 (m) |
146 | |||||||||
412 | Indymac Index Mortgage Loan Trust, Series 2005-AR18, Class 2A1A, FRN, 3.44%, 10/25/36 (m) |
367 | |||||||||
404 | Residential Accredit Loans, Inc., Series 2006-QO4, Class 2A1, FRN, 3.32%, 04/25/46 (m) |
346 | |||||||||
2,563 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $4,828) |
4,455 | ||||||||||
Corporate Bonds 1.9% |
|||||||||||
Capital Markets 0.7% |
|||||||||||
500 | Merrill Lynch & Co., Inc., FRN, 3.33%, 10/27/08 (m) |
493 | |||||||||
Diversified Telecommunication Services 0.3% |
|||||||||||
250 | AT&T, Inc., FRN, 3.28%, 11/14/08 (m) |
250 | |||||||||
Oil, Gas & Consumable Fuels 0.9% |
|||||||||||
683 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 (i) |
701 | |||||||||
Total Corporate Bonds (Cost $1,454) |
1,444 | ||||||||||
Foreign Government Securities 0.7% |
|||||||||||
Citigroup Funding, Inc., |
|||||||||||
105 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) |
106 | |||||||||
50 | 0.00%, 05/12/08 (linked to Dominican Republic Government Bond, 0.00%, 05/12/08) (e) (i) |
50 | |||||||||
170 | 15.00%, 06/20/12 (linked to Government of Ghana, 15.00%, 06/20/12) (e) (i) |
147 | |||||||||
EGP 500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) |
90 | |||||||||
160 | IIRSA Norte Finance Ltd. (Peru), 8.75%, 05/30/24 |
179 | |||||||||
Total Foreign Government Securities (Cost $599) |
572 | ||||||||||
Mortgage Pass-Through Securities 14.7% |
|||||||||||
Federal National Mortgage Association, 30 Year, Single Family, |
|||||||||||
1,190 | TBA, 5.00%, 04/25/37 |
1,170 | |||||||||
1,385 | TBA, 5.50%, 03/25/37 - 04/25/37 |
1,390 | |||||||||
4,800 | TBA, 6.00%, 04/25/37 |
4,894 | |||||||||
3,825 | TBA, 6.50%, 03/25/38 |
3,964 | |||||||||
Total Mortgage Pass-Through Securities (Cost $11,370) |
11,418 | ||||||||||
U.S. Treasury Obligations 81.8% |
|||||||||||
U.S. Treasury Inflation Indexed Bonds, |
|||||||||||
1,064 | 2.38%, 01/15/25 (m) |
1,166 | |||||||||
1,786 | 2.38%, 01/15/27 (m) |
1,970 | |||||||||
805 | 3.63%, 04/15/28 (m) |
1,061 | |||||||||
677 | 3.88%, 04/15/29 (m) |
930 | |||||||||
U.S. Treasury Inflation Indexed Notes, |
|||||||||||
4,757 | 0.88%, 04/15/10 (m) |
4,897 | |||||||||
4,136 | 1.63%, 01/15/15 (m) |
4,379 | |||||||||
7,703 | 1.88%, 07/15/13 (m) |
8,339 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
U.S. Treasury Obligations Continued |
|||||||||||
4,309 | 1.88%, 07/15/15 (m) |
4,642 | |||||||||
3,001 | 2.00%, 01/15/14 (m) |
3,258 | |||||||||
5,102 | 2.00%, 07/15/14 (m) |
5,549 | |||||||||
3,429 | 2.00%, 01/15/16 |
3,717 | |||||||||
3,969 | 2.38%, 04/15/11 |
4,292 | |||||||||
786 | 2.38%, 01/15/17 |
878 | |||||||||
484 | 2.60%, 07/15/16 |
544 | |||||||||
3,188 | 2.63%, 07/15/17 |
3,637 | |||||||||
6,046 | 3.00%, 07/15/12 (m) |
6,828 | |||||||||
2,402 | 3.50%, 01/15/11 (m) |
2,672 | |||||||||
2,651 | 3.88%, 01/15/09 (m) |
2,761 | |||||||||
1,854 | 4.25%, 01/15/10 (m) |
2,026 | |||||||||
Total U.S. Treasury Obligations (Cost $58,629) |
63,546 | ||||||||||
Total Long-Term Investments (Cost $78,314) |
82,763 |
NUMBER OF CONTRACTS |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased 2.0% |
|||||||||||
Call Options Purchased 0.5% |
|||||||||||
7 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style |
25 | |||||||||
23 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
17 | |||||||||
1 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.63, American Style |
1 | |||||||||
25 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style |
31 | |||||||||
25 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style |
37 | |||||||||
10 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style |
19 | |||||||||
32 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style |
25 | |||||||||
8 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
22 | |||||||||
11 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style |
18 | |||||||||
168 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style |
189 |
NOTIONAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver Options Purchased on Interest Rate Swaps: |
||||||||||
AUD 7,200 | Expiring 4/21/08. If exercised the Fund receives quarterly 7.00% and pays quarterly 3 month AUD-BBR-BBSW expiring 04/22/09, European Style.
Counterparty: Union Bank of Switzerland AG (r) |
1 | ||||||||
Total Call Options Purchased |
385 | |||||||||
Interest Rate Caps & Floors 0.2% |
||||||||||
10,459 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
6 | ||||||||
10,459 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
134 | ||||||||
Total Interest Rate Caps & Floors |
140 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps 1.0% |
||||||||||
2,269 | Expires 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring
02/04/23, European Style. Counterparty: Credit Suisse International (r) |
264 | ||||||||
2,289 | Expires 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring
02/15/23, European Style. Counterparty: Barclays Bank plc (r) |
264 | ||||||||
2,316 | Expires 2/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring 02/23/23,
European Style. Counterparty: Barclays Bank plc (r) |
267 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps |
795 |
NUMBER OF CONTRACTS |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased Continued |
|||||||||||
Put Options Purchased 0.3% |
|||||||||||
23 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
9 | |||||||||
3 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style |
| (h) | ||||||||
50 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style |
10 | |||||||||
16 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style |
5 | |||||||||
5 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $113.00, American Style |
3 | |||||||||
8 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
12 | |||||||||
9 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style |
4 | |||||||||
6 | 20 Year U.S. Treasury Bond Futures, Expiring 05/23/08 @ $112.00, American Style |
5 |
NOTIONAL AMOUNT |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: |
||||||||||
AUD 6,130 | Expiring 04/21/08. If exercised the Fund pays quarterly 7.50% and receives quarterly 3 month AUD-BBR-BBSW expiring 04/22/09, European Style.
Counterparty: Deutsche Bank AG, New York (r) |
23 | ||||||||
1,149 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European
Style. Counterparty: Barclays Bank plc (r) |
42 | ||||||||
1,697 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European
Style. Counterparty: Lehman Brothers Special Financing (r) |
75 | ||||||||
Total Put Options Purchased |
188 | |||||||||
Total Options Purchased (Cost $1,276) |
1,508 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 4.7% |
|||||||||||
Investment Company 4.3% |
|||||||||||
3,362 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $3,362) |
3,362 |
PRINCIPAL AMOUNT |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.4% |
||||||||||
300 | U.S. Treasury Bill, 1.96%, 06/12/08 (k) (m) (n) (Cost $298) |
298 | ||||||||
Total Short-Term Investments (Cost $3,660) |
3,660 | |||||||||
Total Investments 113.2% (Cost $83,250) |
87,931 | |||||||||
Liabilities in Excess of Other Assets (13.2)% |
(10,236 | ) | ||||||||
NET ASSETS 100.0% |
$ | 77,695 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
2 |
5
Year Swap |
March,
2008 |
224 | 5 | ||||||||||||||
7 |
10
Year Australia Bond |
March,
2008 |
611 | 1 | ||||||||||||||
5 |
10
Year Swap |
March,
2008 |
572 | 16 | ||||||||||||||
3 |
Euro-Bobl |
March,
2008 |
507 | 5 | ||||||||||||||
30 |
3
Month Euro-Swiss Franc LIFFE |
June,
2008 |
7,012 | | (h) | |||||||||||||
15 |
2
Year U.S. Treasury Note |
June,
2008 |
3,224 | 20 | ||||||||||||||
72 |
5
Year U.S. Treasury Note |
June,
2008 |
8,226 | 111 | ||||||||||||||
78 |
10
Year U.S. Treasury Note |
June,
2008 |
9,148 | 168 | ||||||||||||||
28 |
Eurodollar |
June,
2008 |
6,835 | 60 | ||||||||||||||
2 |
U.S.
Treasury Bond |
June,
2008 |
237 | 7 | ||||||||||||||
109 |
3
Month EURIBOR |
December,
2008 |
39,922 | 34 | ||||||||||||||
3 |
Eurodollar |
March,
2009 |
733 | 8 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(29) |
3
Year Australia Bond |
March,
2008 |
(2,522 | ) | (1 | ) | ||||||||||||
(12) |
Euro-Bund |
March,
2008 |
(2,133 | ) | (27 | ) | ||||||||||||
(7) |
Eurodollar |
March,
2008 |
(1,701 | ) | (5 | ) | ||||||||||||
(18) |
30
Day Federal Funds |
April,
2008 |
(7,326 | ) | (8 | ) | ||||||||||||
(2) |
30
Day Interbank |
April,
2008 |
(426 | ) | | (h) | ||||||||||||
(4) |
2
Year U.S. Treasury Note |
June,
2008 |
(860 | ) | (7 | ) | ||||||||||||
(125) |
5
Year U.S. Treasury Note |
June,
2008 |
(14,281 | ) | (225 | ) | ||||||||||||
(34) |
10
Year U.S. Treasury Note |
June,
2008 |
(3,988 | ) | (83 | ) | ||||||||||||
(1) |
Eurodollar |
June,
2008 |
(244 | ) | | (h) | ||||||||||||
(3) |
U.S.
Treasury Bond |
June,
2008 |
(356 | ) | (9 | ) | ||||||||||||
(11) |
90
Day Bank Bill |
September,
2008 |
(9,438 | ) | (3 | ) | ||||||||||||
(28) |
Eurodollar |
June,
2009 |
(6,831 | ) | (19 | ) | ||||||||||||
48 |
CONTRACTS TO BUY |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
1,346,596 |
AUD |
05/16/08 | 1,199 | 1,242 | 43 | |||||||||||||||||
5,876 |
CAD |
05/16/08 | 6 | 6 | | (h) | ||||||||||||||||
3,644 |
CAD
for |
|||||||||||||||||||||
4,245 |
AUD |
03/26/08 | 4 | # | 4 | # | | (h) | ||||||||||||||
342,001 |
CAD
for |
|||||||||||||||||||||
373,267 |
AUD |
05/16/08 | 344 | # | 347 | # | 3 | |||||||||||||||
13,279 |
CAD
for |
|||||||||||||||||||||
99,615 |
ZAR |
03/26/08 | 13 | # | 13 | # | | (h) | ||||||||||||||
994,813 |
CHF |
05/16/08 | 905 | 955 | 50 | |||||||||||||||||
100,341 |
CZK |
05/16/08 | 6 | 6 | | (h) | ||||||||||||||||
12,620 |
EUR |
03/26/08 | 19 | 19 | | (h) | ||||||||||||||||
263,884 |
EUR |
05/16/08 | 388 | 400 | 12 | |||||||||||||||||
7,399 |
EUR
for |
|||||||||||||||||||||
5,524 |
GBP |
03/26/08 | 11 | # | 11 | # | | (h) |
CONTRACTS TO BUY |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
175,898 |
EUR
for |
|||||||||||||||||||||
132,983 |
GBP |
05/16/08 | 263 | # | 266 | # | 3 | |||||||||||||||
20,472 |
EUR
for |
|||||||||||||||||||||
5,497,645 |
HUF |
05/16/08 | 31 | # | 31 | # | | (h) | ||||||||||||||
11,891 |
EUR
for |
|||||||||||||||||||||
1,189,621 |
ISK |
05/16/08 | 18 | # | 18 | # | | (h) | ||||||||||||||
20,223 |
EUR
for |
|||||||||||||||||||||
74,779 |
RON |
05/16/08 | 30 | # | 31 | # | 1 | |||||||||||||||
206,052 |
EUR
for |
|||||||||||||||||||||
1,919,632 |
SEK |
05/16/08 | 310 | # | 312 | # | 2 | |||||||||||||||
11,897 |
GBP |
03/26/08 | 23 | 24 | 1 | |||||||||||||||||
422,456 |
GBP |
05/16/08 | 825 | 835 | 10 | |||||||||||||||||
6,332 |
GBP
for |
|||||||||||||||||||||
8,431 |
EUR |
03/26/08 | 13 | # | 13 | # | | (h) | ||||||||||||||
129,420 |
GBP
for |
|||||||||||||||||||||
171,298 |
EUR |
05/16/08 | 259 | # | 256 | # | (3 | ) | ||||||||||||||
16,815,824 |
HUF |
05/16/08 | 92 | 95 | 3 | |||||||||||||||||
20,989 |
ILS |
05/16/08 | 6 | 6 | | (h) | ||||||||||||||||
3,533,933 |
ISK |
05/16/08 | 51 | 52 | 1 | |||||||||||||||||
1,523,592 |
ISK
for |
|||||||||||||||||||||
15,186 |
EUR |
05/16/08 | 23 | # | 23 | # | | (h) | ||||||||||||||
46,357,236 |
JPY |
05/16/08 | 433 | 448 | 15 | |||||||||||||||||
27,409,107 |
JPY
for |
|||||||||||||||||||||
133,421 |
GBP |
05/16/08 | 264 | # | 265 | # | 1 | |||||||||||||||
2,675,162 |
MXN |
05/16/08 | 247 | 248 | 1 | |||||||||||||||||
4,011,455 |
NOK |
05/16/08 | 731 | 765 | 34 | |||||||||||||||||
1,835,604 |
NOK
for |
|||||||||||||||||||||
345,203 |
CAD |
05/16/08 | 350 | # | 350 | # | | (h) | ||||||||||||||
312,105 |
NZD |
05/16/08 | 248 | 247 | (1 | ) | ||||||||||||||||
442,909 |
PLN |
03/26/08 | 183 | 190 | 7 | |||||||||||||||||
36,743 |
PLN
for |
|||||||||||||||||||||
10,218 |
EUR |
05/16/08 | 15 | # | 16 | # | 1 | |||||||||||||||
66,627 |
RON |
05/16/08 | 26 | 27 | 1 | |||||||||||||||||
150,706 |
RON
for |
|||||||||||||||||||||
40,790 |
EUR |
05/16/08 | 62 | # | 60 | # | (2 | ) | ||||||||||||||
4,963,495 |
SEK |
05/16/08 | 774 | 802 | 28 | |||||||||||||||||
21,465 |
SEK
for |
|||||||||||||||||||||
368,401 |
JPY |
03/26/08 | 4 | # | 3 | # | (1 | ) | ||||||||||||||
81,878 |
SGD |
05/16/08 | 58 | 59 | 1 | |||||||||||||||||
525,121 |
SKK |
05/16/08 | 23 | 24 | 1 |
CONTRACTS TO BUY |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
169,224 |
SKK
for |
|||||||||||||||||||||
5,112 |
EUR |
05/16/08 | 8 | # | 8 | # | | (h) | ||||||||||||||
182,360 |
TRY |
05/16/08 | 148 | 146 | (2 | ) | ||||||||||||||||
398,194 |
ZAR |
03/26/08 | 58 | 51 | (7 | ) | ||||||||||||||||
138,852 |
ZAR |
05/16/08 | 18 | 17 | (1 | ) | ||||||||||||||||
132,605 |
ZAR
for |
|||||||||||||||||||||
12,682 |
EUR |
03/26/08 | 19 | # | 17 | # | (2 | ) | ||||||||||||||
8,508 | 8,708 | 200 |
CONTRACTS TO SELL |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
12,918 |
AUD |
03/26/08 | 11 | 12 | (1 | ) | ||||||||||||||||
57,783 |
AUD |
05/16/08 | 52 | 53 | (1 | ) | ||||||||||||||||
33,311 |
CAD |
03/26/08 | 33 | 34 | (1 | ) | ||||||||||||||||
504,949 |
CAD |
05/16/08 | 504 | 512 | (8 | ) | ||||||||||||||||
40,000 |
CHF |
03/26/08 | 36 | 38 | (2 | ) | ||||||||||||||||
702,885 |
CHF |
05/16/08 | 638 | 675 | (37 | ) | ||||||||||||||||
308,716 |
CZK |
05/16/08 | 18 | 19 | (1 | ) | ||||||||||||||||
107,561 |
EUR |
03/26/08 | 157 | 163 | (6 | ) | ||||||||||||||||
1,688,226 |
EUR |
05/16/08 | 2,458 | 2,557 | (99 | ) | ||||||||||||||||
50,225 |
GBP |
03/26/08 | 102 | 100 | 2 | |||||||||||||||||
215,573 |
GBP |
05/16/08 | 419 | 426 | (7 | ) | ||||||||||||||||
3,173,186 |
HUF |
05/16/08 | 17 | 18 | (1 | ) | ||||||||||||||||
102,126 |
ILS |
05/16/08 | 28 | 28 | | (h) | ||||||||||||||||
3,161,005 |
JPY |
03/26/08 | 29 | 30 | (1 | ) | ||||||||||||||||
43,807,879 |
JPY |
05/16/08 | 409 | 424 | (15 | ) | ||||||||||||||||
431,351 |
MXN |
05/16/08 | 40 | 40 | | (h) | ||||||||||||||||
491,239 |
NOK |
05/16/08 | 90 | 94 | (4 | ) | ||||||||||||||||
2,462 |
NZD |
03/26/08 | 2 | 2 | | (h) | ||||||||||||||||
1,022,571 |
NZD |
05/16/08 | 792 | 808 | (16 | ) | ||||||||||||||||
510,355 |
PLN |
03/26/08 | 209 | 219 | (10 | ) | ||||||||||||||||
14,308 |
PLN |
05/16/08 | 6 | 6 | | (h) | ||||||||||||||||
29,397 |
RON |
05/16/08 | 12 | 12 | | (h) | ||||||||||||||||
68,243 |
SEK |
03/26/08 | 11 | 11 | | (h) | ||||||||||||||||
589,635 |
SEK |
05/16/08 | 92 | 95 | (3 | ) | ||||||||||||||||
412,068 |
SGD |
05/16/08 | 292 | 296 | (4 | ) | ||||||||||||||||
2,270,983 |
SKK |
05/16/08 | 100 | 106 | (6 | ) | ||||||||||||||||
35,807 |
TRY |
05/16/08 | 29 | 29 | | (h) | ||||||||||||||||
591,966 |
ZAR |
03/26/08 | 81 | 75 | 6 |
CONTRACTS TO SELL |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
160,565 |
ZAR |
05/16/08 | 21 | 20 | 1 | |||||||||||||||||
6,688 | 6,902 | (214 | ) |
# |
For cross-currency exchange contracts, the settlement value is the U.S. Dollar market value at 2/29/08 of the currency being sold, and the value at 02/29/08 is the U.S. Dollar market value of the currency being purchased. |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
(1,190) | FNMA, 30 Year, Single Family, TBA, 5.00%, 03/25/38 |
(1,172 | ) | |||||||
(2,955) | FNMA, 30 Year, Single Family, TBA, 6.00%, 03/25/38 |
(3,019 | ) | |||||||
(425) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 |
(439 | ) | |||||||
(Proceeds received of $4,689.) |
(4,630 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.75 | 06/16/08 | 60 | (27 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 09/15/08 | 50 | (31 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 12/15/08 | 50 | (41 | ) | |||||||||||||
1 Year
Eurodollar Mid-Curve, American Style |
95.75 | 03/14/08 | 3 | (15 | ) | |||||||||||||
1 Year
Eurodollar Mid-Curve, American Style |
97.63 | 06/13/08 | 1 | (1 | ) | |||||||||||||
5 Year U.S.
Treasury Note Futures, American Style |
113.50 | 03/20/08 | 10 | (12 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
114.50 | 05/23/08 | 32 | (118 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
116.50 | 05/23/08 | 139 | (339 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
120.00 | 05/23/08 | 32 | (31 | ) | |||||||||||||
(Premiums
received of $387.) |
(615 | ) |
COUNTERPARTY |
|
EXERCISE RATE(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
3.90% semi-annually* |
07/15/08 |
07/17/13 |
3,145 | (32 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
3.73% semi-annually* |
07/23/08 |
07/25/13 |
4,495 | (62 | ) | ||||||||||||||||
Union Bank of
Switzerland AG |
7.20% semi-annually** |
04/21/08 |
04/22/09 |
AUD 7,200 | (1 | ) | ||||||||||||||||
(Premiums
received of $108.) |
(95 | ) |
COUNTERPARTY |
|
EXERCISE RATE***(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
4.86% semi-annually |
02/17/09 |
02/19/19 |
1,522 | (125 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.80% semi-annually |
02/23/09 |
02/25/19 |
1,688 | (138 | ) | ||||||||||||||||
Royal Bank of
Scotland |
3.56% semi-annually |
06/16/08 |
06/18/09 |
8,629 | (110 | ) | ||||||||||||||||
(Premiums
received of $307.) |
(373 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.25 |
06/16/08 |
60 |
(12) |
||||||||||||||
5 Year U.S.
Treasury Note Futures, American Style |
110.00 |
03/20/08 |
3 |
|
||||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
111.50 |
05/23/08 |
5 |
(2) |
||||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.00 |
05/23/08 |
3 |
(3) |
||||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.50 |
05/23/08 |
25 |
(31) |
||||||||||||||
20 Year U.S.
Treasury Bond Futures, American Style |
110.00 |
05/23/08 |
6 |
(3) |
||||||||||||||
20 Year U.S.
Treasury Bond Futures, American Style |
112.00 |
05/23/08 |
9 |
(1) |
||||||||||||||
(Premiums
received of $83.) |
(52) |
COUNTERPARTY |
|
EXERCISE RATE****(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Deutsche Bank AG,
New York |
7.67% quarterly |
04/21/08 |
04/22/09 |
AUD 12,260 | (32 | ) | ||||||||||||||||
(Premiums
received of $4.) |
* |
The Fund would receive a floating rate based on 3-month USD LIBOR, if exercised. |
** |
The Fund would receive a floating rate based on 3-month AUD-BBR-BBSW, if exercised. |
*** |
The Fund would pay/receive a floating rate based on 3-month USD LIBOR, if exercised. |
**** |
The Fund would pay a floating rate based on 3-month AUD-BBR-BBSW, if exercised. |
***** |
European Style |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Bank of
America |
5.55%
semi-annually |
3
month LIBOR quarterly |
06/14/12 | 1,230 | (116 | ) | ||||||||||||||||
Barclays Bank
plc |
3
month LIBOR quarterly |
4.21%
semi-annually |
11/29/12 | 2,285 | 113 | |||||||||||||||||
Barclays Bank
plc |
4.44%
semi-annually |
3
month LIBOR quarterly |
05/18/16 | 580 | (17 | ) | ||||||||||||||||
Barclays Bank
plc |
Inflation-linked to GBP LIBOR annually |
3.54%
annually |
10/04/32 | GBP 290 | (12 | ) | ||||||||||||||||
Barclays Bank
plc |
Inflation-linked to GBP LIBOR annually |
3.48%
annually |
01/07/33 | GBP 340 | (18 | ) | ||||||||||||||||
Barclays Bank
plc |
4.95%
semi-annually |
3
month LIBOR quarterly |
11/29/37 | 645 | (16 | ) | ||||||||||||||||
BNP
Paribas |
4.34%
annually |
3
month STIBOR quarterly |
05/27/10 | SEK 23,700 | 5 | |||||||||||||||||
BNP
Paribas |
6
month CAD-BA-CDOR semi-annually |
3.85%
semi-annually |
01/26/11 | CAD 3,290 | 9 | |||||||||||||||||
BNP
Paribas |
6
month CAD-BA-CDOR semi-annually |
3.85%
semi-annually |
01/30/11 | CAD 2,400 | 6 | |||||||||||||||||
BNP
Paribas |
6
month CAD-BA-CDOR semi-annually |
4.39%
semi-annually |
01/11/12 | CAD 1,500 | 8 | |||||||||||||||||
BNP
Paribas |
3
month JIBAR quarterly |
8.24%
quarterly |
02/21/12 | ZAR 1,750 | (15 | ) | ||||||||||||||||
BNP
Paribas |
4.18%
annually |
6
month EURIBOR semi-annually |
02/23/12 | EUR 170 | (3 | ) | ||||||||||||||||
BNP
Paribas |
3
month JIBAR quarterly |
8.40%
quarterly |
02/28/12 | ZAR 2,070 | (17 | ) | ||||||||||||||||
BNP
Paribas |
4.10%
annually |
6
month EURIBOR semi-annually |
03/02/12 | EUR 200 | (8 | ) | ||||||||||||||||
BNP
Paribas |
4.25%
semi-annually |
6
month CAD-BA-CDOR semi-annually |
01/26/14 | CAD 1,400 | (8 | ) | ||||||||||||||||
BNP
Paribas |
4.22%
semi-annually |
6
month CAD-BA-CDOR semi-annually |
01/30/14 | CAD 1,030 | (4 | ) | ||||||||||||||||
BNP
Paribas |
6
month CAD-BA-CDOR semi-annually |
4.28%
semi-annually |
02/13/14 | CAD 1,600 | 9 | |||||||||||||||||
BNP
Paribas |
4.55%
semi-annually |
3
month CAD-BA-CDOR quarterly |
01/11/15 | CAD 1,280 | (8 | ) | ||||||||||||||||
BNP
Paribas |
3
month STIBOR quarterly |
4.73%
annually |
05/27/18 | SEK 5,600 | (2 | ) | ||||||||||||||||
BNP
Paribas |
4.68%
semi-annually |
6
month CAD-BA-CDOR semi-annually |
02/13/19 | CAD 900 | (9 | ) | ||||||||||||||||
BNP
Paribas |
6
month CAD-BA-CDOR semi-annually |
4.76%
semi-annually |
01/11/20 | CAD 360 | | (h) | ||||||||||||||||
Citibank,
N.A. |
0.83%
at termination |
3
month TIBOR quarterly |
06/16/10 | JPY 997,700 | 13 | |||||||||||||||||
Citibank,
N.A. |
4.43%
semi-annually |
3
month LIBOR quarterly |
01/11/18 | 340 | | (h) | ||||||||||||||||
Citibank,
N.A. |
6
month TIBOR semi-annually |
1.63%
semi-annually |
01/11/18 | JPY 32,470 | 1 |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||
Credit Suisse International |
3.95%
semi-annually |
3
month LIBOR quarterly |
01/13/12 | 1,490 | (5 | ) | ||||||||||||||||
Credit Suisse
International |
3
month LIBOR quarterly |
4.51%
semi-annually |
01/13/15 | 1,280 | 7 | |||||||||||||||||
Credit Suisse
International |
4.96%
semi-annually |
3
month LIBOR quarterly |
01/13/20 | 350 | (1 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
7.26%
monthly |
AUD-BBR-BBSW monthly |
05/07/08 | AUD 16,000 | 1 | |||||||||||||||||
Deutsche Bank AG,
New York |
3.50%
semi-annually |
3
month LIBOR quarterly |
08/31/12 | 4,270 | (35 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
9.50%
quarterly |
3
month JIBAR quarterly |
11/12/12 | ZAR 6,030 | 21 | |||||||||||||||||
Deutsche Bank AG,
New York |
3
month LIBOR quarterly |
3.57%
semi-annually |
04/30/13 | 1,760 | 11 | |||||||||||||||||
Deutsche Bank AG,
New York |
5.23%
semi-annually |
3
month LIBOR quarterly |
10/19/17 | 575 | (56 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
4.25%
semi-annually |
3
month LIBOR quarterly |
04/30/18 | 972 | 2 | |||||||||||||||||
Deutsche Bank AG,
New York |
Inflation-linked to AUD-BBR-BBSW annually |
3.14%
annually |
08/11/21 | AUD 450 | (17 | ) | ||||||||||||||||
Goldman Sachs
Capital Management |
6
month BUBOR semi-annually |
7.02%
annually |
10/03/09 | HUF 332,710 | (37 | ) | ||||||||||||||||
Goldman Sachs
Capital Management |
9.82%
quarterly |
3
month JIBAR quarterly |
11/28/12 | ZAR 5,100 | 9 | |||||||||||||||||
Goldman Sachs
Capital Management |
9.90%
quarterly |
3
month JIBAR quarterly |
12/04/12 | ZAR 16,990 | 21 | |||||||||||||||||
Goldman Sachs
Capital Management |
4.92%
semi-annually |
3
month LIBOR quarterly |
05/18/16 | 1,100 | (84 | ) | ||||||||||||||||
HSBC Bank,
N.A. |
6.07%
annually |
6
month WIBOR semi-annually |
02/21/10 | PLN 5,150 | 6 | |||||||||||||||||
HSBC Bank,
N.A. |
4.77%
annually |
6
month EURIBOR semi-annually |
07/27/17 | EUR 190 | (24 | ) | ||||||||||||||||
HSBC Bank,
N.A. |
6
month WIBOR semi-annually |
5.60%
annually |
07/27/17 | PLN 730 | 11 | |||||||||||||||||
Lehman Brothers
Special Financing |
3
month LIBOR quarterly |
3.69%
semi-annually |
08/31/12 | 3,993 | 62 | |||||||||||||||||
Lehman Brothers
Special Financing |
3
month LIBOR quarterly |
4.20%
semi-annually |
12/05/13 | 1,875 | 40 | |||||||||||||||||
Lehman Brothers
Special Financing |
4.19%
semi-annually |
3
month LIBOR quarterly |
02/15/15 | 1,713 | (32 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.38%
semi-annually |
3
month LIBOR quarterly |
08/15/16 | 786 | (15 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.65%
semi-annually |
3
month LIBOR quarterly |
12/05/18 | 1,056 | (15 | ) | ||||||||||||||||
Merrill Lynch
Capital Services |
6
month CAD-BA-CDOR semi-annually |
3.53%
semi-annually |
02/19/10 | CAD 4,920 | 11 | |||||||||||||||||
Merrill Lynch
Capital Services |
6
month CAD-BA-CDOR semi-annually |
3.69%
semi-annually |
01/23/11 | CAD 3,260 | | (h) | ||||||||||||||||
Merrill Lynch
Capital Services |
4.04%
semi-annually |
6
month CAD-BA-CDOR semi-annually |
02/19/13 | CAD 2,090 | (17 | ) | ||||||||||||||||
Merrill Lynch
Capital Services |
4.11%
semi-annually |
6
month CAD-BA-CDOR semi-annually |
01/23/14 | CAD 1,380 | (1 | ) | ||||||||||||||||
Morgan Stanley
Capital Services |
6
month WIBOR semi-annually |
5.99%
annually |
06/18/09 | PLN 34,900 | (64 | ) | ||||||||||||||||
Morgan Stanley
Capital Services |
6
month GBP LIBOR semi-annually |
4.87%
semi-annually |
03/20/10 | GBP 2,330 | 3 | |||||||||||||||||
Morgan Stanley
Capital Services |
9.65%
quarterly |
3
month JIBAR quarterly |
11/21/12 | ZAR 5,130 | 13 | |||||||||||||||||
Morgan Stanley
Capital Services |
5.79%
annually |
6
month WIBOR semi-annually |
06/18/17 | PLN 4,810 | 14 | |||||||||||||||||
Morgan Stanley
Capital Services |
4.92%
annually |
6
month EURIBOR semi-annually |
06/26/17 | EUR 190 | (21 | ) | ||||||||||||||||
Morgan Stanley
Capital Services |
6
month WIBOR semi-annually |
5.68%
annually |
06/26/17 | PLN 770 | 4 | |||||||||||||||||
Morgan Stanley
Capital Services |
4.98%
semi-annually |
6
month GBP LIBOR semi-annually |
03/20/18 | GBP 560 | 2 | |||||||||||||||||
Royal Bank of
Scotland |
3
month STIBOR quarterly |
4.33%
annually |
06/03/10 | SEK 22,800 | | |||||||||||||||||
Royal Bank of
Scotland |
5.51%
annually |
6
month NIBOR semi-annually |
06/03/10 | NOK 19,500 | | |||||||||||||||||
Royal Bank of
Scotland |
5.51%
semi-annually |
6
month GBP LIBOR semi-annually |
09/10/17 | GBP 570 | (21 | ) | ||||||||||||||||
Royal Bank of
Scotland |
6
month GBP LIBOR semi-annually |
4.93%
semi-annually |
09/10/37 | GBP 280 | (1 | ) | ||||||||||||||||
(297 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.8 |
Bear
Stearns Credit Products (y) [1] |
Buy |
175
BPS semi-annually |
12/20/12 | 390 | 10 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [2] |
Buy |
175
BPS semi-annually |
12/20/12 | 190 | 5 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [3] |
Buy |
175
BPS semi-annually |
12/20/12 | 300 | 9 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [4] |
Buy |
175
BPS semi-annually |
12/20/12 | 370 | 11 |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.NA.HY.9 |
Lehman Brothers Special Financing [5] |
Sell |
375
BPS quarterly |
12/20/12 | 190 | (22 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman Brothers Special Financing [6] |
Sell |
375
BPS quarterly |
12/20/12 | 300 | (34 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman Brothers Special Financing [7] |
Sell |
375
BPS quarterly |
12/20/12 | 370 | (43 | ) | |||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
341
BPS semi-annually |
07/20/17 | 100 | 14 | ||||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
397
BPS semi-annually |
08/20/17 | 30 | 3 | ||||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Sell |
175
BPS semi-annually |
08/20/08 | 300 | (5 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Buy |
300
BPS semi-annually |
08/20/12 | 60 | 8 | ||||||||||||||||||||
Petroleos De
Venezuela, 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
265
BPS semi-annually |
05/20/12 | 220 | (24 | ) | |||||||||||||||||||
Petroleos De
Venezuela, 5.50%, 04/12/37 |
Barclays Bank plc |
Sell |
397
BPS semi-annually |
10/20/12 | 310 | (21 | ) | |||||||||||||||||||
Petroleos De
Venezuela, 5.50%, 04/12/37 |
Union
Bank of Switzerland AG |
Sell |
398
BPS semi-annually |
10/20/12 | 160 | (11 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
341
BPS semi-annually |
07/20/17 | 100 | (16 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
407
BPS semi-annually |
08/20/17 | 30 | (4 | ) | |||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Bear
Stearns Credit products (y) |
Buy |
103
BPS semi-annually |
12/20/11 | 140 | 1 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Buy |
111
BPS semi-annually |
12/20/11 | 350 | 1 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Union
Bank of Switzerland AG |
Buy |
102
BPS semi-annually |
12/20/11 | 295 | 2 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Union
Bank of Switzerland AG |
Buy |
103
BPS semi-annually |
12/20/11 | 280 | 1 | ||||||||||||||||||||
Republic of
Brazil, 12.25%, 03/06/30 |
Lehman Brothers Special Financing |
Sell |
84
BPS semi-annually |
09/20/12 | 190 | (4 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Citibank, N.A. |
Sell |
60
BPS semi-annually |
03/20/12 | 170 | (11 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
53.51
BPS semi-annually |
03/20/12 | 310 | (20 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
54.8
BPS semi-annually |
03/20/12 | 320 | (21 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
61
BPS semi-annually |
03/20/12 | 130 | (8 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Barclays Bank plc |
Sell |
68
BPS semi-annually |
08/20/12 | 30 | (2 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
65.5
BPS semi-annually |
08/20/12 | 260 | (19 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
71
BPS semi-annually |
08/20/12 | 120 | (9 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
145
BPS semi-annually |
07/20/12 | 50 | 1 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
146
BPS semi-annually |
07/20/12 | 340 | 9 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Deutsche Bank AG, New York |
Buy |
239
BPS semi-annually |
08/20/12 | 130 | (2 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
194
BPS semi-annually |
08/20/12 | 130 | 1 | ||||||||||||||||||||
Russian AG Bank,
7.18%, 05/16/13 |
Union
Bank of Switzerland AG |
Sell |
76
BPS semi-annually |
02/20/09 | 610 | (9 | ) | |||||||||||||||||||
Russian AG Bank,
7.18%, 05/16/13 |
Credit Suisse International |
Sell |
72
BPS semi-annually |
03/20/09 | 60 | (1 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Buy |
31
BPS semi-annually |
02/20/09 | 610 | 2 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Credit Suisse International |
Buy |
30
BPS semi-annually |
03/20/09 | 60 | | (h) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Barclays Bank plc |
Buy |
77
BPS semi-annually |
10/20/10 | 1,000 | 7 | ||||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Lehman Brothers Special Financing |
Sell |
54
BPS semi-annually |
03/20/11 | 960 | (15 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Bear
Stearns Credit Products (y) |
Sell |
45.5
BPS semi-annually |
12/20/11 | 280 | (7 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Deutsche Bank AG, New York |
Sell |
52.5
BPS semi-annually |
12/20/11 | 700 | (17 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Sell |
45.5
BPS semi-annually |
12/20/11 | 590 | (16 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Union
Bank of Switzerland AG |
Sell |
46
BPS semi-annually |
12/20/11 | 560 | (15 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Barclays Bank plc |
Sell |
86.5
BPS semi-annually |
09/20/12 | 570 | (8 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Russian
Federation, 7.50%, 03/31/30 |
Goldman Sachs Capital Management |
Sell |
75
BPS semi-annually |
11/20/12 | 460 | (8 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Goldman Sachs Capital Management |
Sell |
110
BPS semi-annually |
12/20/12 | 430 | (2 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Credit Suisse International |
Sell |
99
BPS semi-annually |
01/20/13 | 710 | (8 | ) | |||||||||||||||||||
Russian
Federation, 7.50%, 03/31/30 |
Credit Suisse International |
Sell |
129
BPS semi-annually |
02/20/13 | 679 | 1 | ||||||||||||||||||||
United Mexican
States, 7.50%, 04/08/33 |
Lehman Brothers Special Financing |
Buy |
53
BPS semi-annually |
03/20/11 | 960 | 6 | ||||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan Stanley Capital Services |
Sell |
40
BPS semi-annually |
03/20/08 | 320 | | (h) | |||||||||||||||||||
VTB Capital S.A.
for Vneshtorgbank, 6.25%, 06/30/35 |
Morgan Stanley Capital Services |
Sell |
64
BPS semi-annually |
05/20/12 | 140 | (12 | ) | |||||||||||||||||||
(302 | ) |
[1] |
Premiums paid of $5. |
[2] |
Premiums paid of $4. |
[3] |
Premiums paid of $5. |
[4] |
Premiums paid of $12. |
[5] |
Premiums received of $15. |
[6] |
Premiums received of $24. |
[7] |
Premiums received of $37. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America
(b) |
BA
Covered Bond Issuer, 5.50%, 06/14/12 |
106.55 | 03/12/08 | 1,230 | 9 | |||||||||||||||||
Barclays Bank plc
(b) |
FHLB,
5.38%, 05/18/16 |
106.07 | 03/13/08 | 570 | 19 | |||||||||||||||||
BNP Paribas
(a) |
U.S.
Treasury Note, 4.75%, 08/15/17 |
106.76 | 03/27/08 | 540 | (15 | ) | ||||||||||||||||
BNP Paribas
(b) |
U.S.
Treasury Inflation Indexed Note, 2.63%, 07/15/17 |
110.43 | 03/27/08 | 490 | 17 | |||||||||||||||||
Citibank, N.A.
(a) |
U.S.
Treasury Note, 4.25%, 11/15/17 |
103.20 | 03/14/08 | 3,000 | (77 | ) | ||||||||||||||||
Credit Suisse
International (b) |
FHLB,
5.38%, 05/18/16 |
106.80 | 03/13/08 | 1,080 | 27 | |||||||||||||||||
Credit Suisse
International (b) |
U.S.
Treasury Inflation Indexed Note, 2.00%, 01/15/26 |
101.77 | 03/28/08 | 6,900 | 150 | |||||||||||||||||
Credit Suisse
International (b) |
U.S.
Treasury Inflation Indexed Note, 3.88%, 04/15/29 |
134.08 | 03/28/08 | 5,405 | 157 | |||||||||||||||||
287 |
(a) |
Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) |
Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PAYMENTS MADE BY THE FUND(r) |
|
PAYMENTS RECEIVED BY THE FUND(r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan Stanley
Capital Services |
TransCredit Bank, 7.30%, 02/26/09 |
3 Month
LIBOR + 20 BPS quarterly |
Total Return on TransCredit Bank, 7.30%, 02/26/09 quarterly |
02/26/09 | RUB 2,600 | 4 | ||||||||||||||||||||
Morgan Stanley
Capital Services |
OGK/Rushydros 12/13/13 |
3 Month
LIBOR + 20 BPS quarterly |
Total Return on OGK/Rushydros 12/13/13 quarterly |
12/25/10 | RUB 14,320 | 31 | ||||||||||||||||||||
35 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 110.1% |
|||||||||||
Asset-Backed Securities 21.8% |
|||||||||||
1,086 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) |
1,083 | |||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
1,718 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) |
1,717 | |||||||||
1,136 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) |
1,136 | |||||||||
3,500 | Bank of America Credit Card Trust, Series 2006-C4, Class C4, FRN, 3.35%, 11/15/11 (m) |
3,355 | |||||||||
Capital One Auto Finance Trust, |
|||||||||||
3,630 | Series 2006-B, Class A3A, 5.45%, 02/15/11 (m) |
3,659 | |||||||||
10,564 | Series 2006-C, Class A3A, 5.07%, 07/15/11 (m) |
10,374 | |||||||||
13,750 | Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) |
13,405 | |||||||||
6,600 | Capital One Prime Auto Receivables Trust, Series 2006-2, Class A4, 4.94%, 07/15/12 (m) |
6,768 | |||||||||
5,600 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) |
5,245 | |||||||||
Citigroup Mortgage Loan Trust Inc, |
|||||||||||
5,650 | Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) |
5,561 | |||||||||
10,250 | Series 2006-WFH2, Class A2A, FRN, 3.29%, 08/25/36 (m) |
9,199 | |||||||||
Countrywide Asset-Backed Certificates, |
|||||||||||
3,125 | Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) |
3,107 | |||||||||
3,750 | Series 2006-3, Class 2A2, FRN, 3.31%, 06/25/36 (m) |
3,452 | |||||||||
9,000 | Series 2006-11, Class 1AF2, VAR, 6.02%, 09/25/46 (m) |
8,863 | |||||||||
5,450 | First Franklin Mortgage Loan Asset Backed Certificates, Series 2006-FF4, Class A2, FRN, 3.32%, 03/25/36 (m) |
4,824 | |||||||||
12,000 | Ford Credit Auto Owner Trust, Series 2006-C, Class A3, 5.16%, 11/15/10 (m) |
12,263 | |||||||||
9,612 | GS Auto Loan Trust, Series 2006-1, Class A3, 5.37%, 12/15/10 (m) |
9,733 | |||||||||
9,000 | GSAA Trust, Series 2006-11, Class 2A2, FRN, 3.30%, 07/25/36 (m) |
6,512 | |||||||||
2,100 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) |
1,905 | |||||||||
6,550 | Home Equity Asset Trust, Series 2006-3, Class2A3, FRN, 3.31%, 07/25/36 (m) |
5,645 | |||||||||
Household Automotive Trust, |
|||||||||||
7,166 | Series 2006-2, Class A3, 5.61%, 08/17/11 (m) |
7,307 | |||||||||
6,959 | Series 2006-3, Class A3, 5.28%, 09/17/11 (m) |
7,051 | |||||||||
8,650 | HSI Asset Securitization Corp. Trust, Series OPT2, Class 2A3, FRN, 3.32%, 01/25/36 (m) |
7,190 | |||||||||
7,100 | Hyundai Auto Receivables Trust, Series 2006-B, Class A3, 5.11%, 04/15/11 (m) |
7,228 | |||||||||
K2 (USA) LLC, |
|||||||||||
7,500 | 5.61%, 02/15/10 (f) (i) (s) (v) |
1,674 | |||||||||
1,000 | 5.62%, 02/15/10 (f) (i) (s) (v) |
223 | |||||||||
9,446 | 5.81%, 02/15/09 (f) (i) (s) (v) |
2,109 | |||||||||
16,200 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) |
4,860 | |||||||||
Long Beach Mortgage Loan Trust, |
|||||||||||
4,000 | Series 2004-3, Class M1, FRN, 3.71%, 07/25/34 (m) |
3,510 | |||||||||
8,850 | Series 2006-2, Class 2A3, FRN, 3.32%, 03/25/36 (m) |
6,488 | |||||||||
4,500 | Series 2006-8, Class 2A3, FRN, 3.30%, 09/25/36 (m) |
3,021 | |||||||||
7,250 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 3.32%, 01/25/36 (m) |
6,649 | |||||||||
4,300 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) |
4,035 | |||||||||
1,115 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, 4.46%, 08/25/35 (m) |
1,104 | |||||||||
4,528 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 3.34%, 02/25/36 (m) |
4,056 | |||||||||
8,000 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 3.32%, 03/25/36 (m) |
7,049 | |||||||||
5,973 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 3.31%, 12/25/35 (m) |
5,777 | |||||||||
Sigma Finance Corp. (Cayman Islands), |
|||||||||||
11,900 | FRN, 2.95%, 08/15/11 (f) (i) (s) |
9,085 | |||||||||
1,600 | FRN, 5.51%, 09/15/08 (e) (f) (i) (s) |
1,252 | |||||||||
7,855 | Triad Auto Receivables Owner Trust, Series 2006-C, Class A3, 5.26%, 11/14/11 (m) |
7,805 | |||||||||
6,500 | Volkswagen Auto Lease Trust, Series 2006-A, Class A3, 5.50%, 09/21/09 (m) |
6,567 | |||||||||
11,500 | Wachovia Auto Loan Owner Trust, Series 2006-1, Class A4, 5.08%, 04/20/12 (e) |
11,806 | |||||||||
Total Asset-Backed Securities (Cost $275,866) |
233,652 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Collateralized Mortgage Obligations 8.9% |
|||||||||||
Agency CMO 4.6% |
|||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
|||||||||||
6,944 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) |
494 | |||||||||
3,033 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) |
20 | |||||||||
3,816 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) |
318 | |||||||||
2,395 | Series 2750, Class IQ, IO, 5.00%, 10/15/21 (m) |
45 | |||||||||
785 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) |
21 | |||||||||
19,323 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) |
1,430 | |||||||||
8,047 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) |
651 | |||||||||
8,680 | Series 2814, Class S, IF, IO, 3.98%, 10/15/30 (m) |
448 | |||||||||
10,840 | Series 2850, Class SM, IF, IO, 4.03%, 12/15/30 (m) |
643 | |||||||||
6,770 | Series 2852, Class IO, IO, 5.00%, 11/15/25 (m) |
453 | |||||||||
7,054 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) |
556 | |||||||||
7,198 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) |
326 | |||||||||
15,894 | Series 3126, Class BS, IF, IO, 4.08%, 02/15/36 (m) |
1,875 | |||||||||
2,113 | Federal Home Loan Mortgage Corp., STRIPS, Series 248, Class IO, IO, 5.50%, 07/15/37 (m) |
482 | |||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
1,836 | Series 2003-3, Class HS, IF, IO, 4.52%, 09/25/16 (m) |
127 | |||||||||
9,657 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) |
575 | |||||||||
3,057 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) |
138 | |||||||||
8,665 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) |
8,879 | |||||||||
3,180 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) |
3,262 | |||||||||
15,335 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) |
15,719 | |||||||||
8,786 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) |
9,005 | |||||||||
32,866 | Series 2007-55, Class S, IF, IO, 3.62%, 06/25/37 (m) |
2,766 | |||||||||
Federal National Mortgage Association Interest, STRIPS, |
|||||||||||
1,451 | Series 370, Class 2, IO, 6.00%, 05/25/36 (m) |
308 | |||||||||
2,983 | Series 372, Class 2, IO, 6.00%, 08/01/36 (m) |
631 | |||||||||
Government National Mortgage Association, |
|||||||||||
15,642 | Series 2003-85, Class CS, IF, IO, 4.09%, 02/20/24 (m) |
626 | |||||||||
137 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) |
2 | |||||||||
5,292 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) |
92 | |||||||||
49,892 | |||||||||||
Non-Agency CMO 4.3% |
|||||||||||
2,791 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) |
2,813 | |||||||||
4,186 | Banc of America Funding Corp. , Series 2005-6, Class 2A8, 5.50%, 10/25/35 (m) |
4,233 | |||||||||
1,651 | Citicorp Mortgage Securities, Inc., Series 2005-6, Class 1A6, 5.50%, 09/25/35 (m) |
1,681 | |||||||||
13,403 | Countrywide Alternative Loan Trust, Series 2005-J14, Class A3, 5.50%, 12/25/35 (m) |
13,113 | |||||||||
7,249 | Countrywide Home Loan Mortgage Pass Through Trust , Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) |
7,340 | |||||||||
3,999 | First Horizon Asset Securities, Inc., Series 2005-6, Class 1A1, 5.50%, 11/25/35 (m) |
4,052 | |||||||||
5,526 | Residential Funding Mortgage Securities I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) |
5,599 | |||||||||
3,102 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 (m) |
3,089 | |||||||||
Wells Fargo Mortgage Backed Securities Trust, |
|||||||||||
2,372 | Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 |
2,361 | |||||||||
1,320 | Series 2004-F, Class A8, FRN, 4.73%, 06/25/34 |
1,332 | |||||||||
45,613 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $92,672) |
95,505 | ||||||||||
Commercial Mortgage-Backed Securities 8.3% |
|||||||||||
1,987 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%,11/10/41 (m) |
1,956 | |||||||||
CS First Boston Mortgage Securities Corp. , |
|||||||||||
7,650 | Series 2001-CK6, Class A3, 6.39%,08/15/36 (m) |
7,811 | |||||||||
11,500 | Series 2001-CP4, Class A4, 6.18%,12/15/35 (m) |
11,670 | |||||||||
4,800 | Series 2002-CKN2, Class A3, 6.13%,04/15/37 (m) |
4,866 | |||||||||
6,200 | Series 2004-C3, Class A3, 4.30%,07/15/36 (m) |
6,116 | |||||||||
Greenwich Capital Commercial Funding Corp., |
|||||||||||
4,500 | Series 2003-C1, Class A2, 3.29%,07/05/35 (m) |
4,400 | |||||||||
4,100 | Series 2005-GG3, Class A2, 4.31%,08/10/42 (m) |
4,032 | |||||||||
11,850 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%,08/10/38 (m) |
11,743 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Commercial Mortgage-Backed Securities Continued |
|||||||||||
LB-UBS Commercial Mortgage Trust, |
|||||||||||
439 | Series 2003-C1, Class A2, 3.32%,03/15/27 (m) |
434 | |||||||||
7,226 | Series 2003-C5, Class A2, 3.48%,07/15/27 (m) |
7,158 | |||||||||
2,300 | Series 2004-C2, Class A2, 3.25%,03/15/29 (m) |
2,257 | |||||||||
11,800 | Series 2004-C7, Class A2, 3.99%,10/15/29 (m) |
11,569 | |||||||||
6,129 | Morgan Stanley Capital I, Series 1998-HF2, Class A2, VAR, 6.48%, 11/15/30 (m) |
6,125 | |||||||||
9,152 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 |
9,062 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $90,283) |
89,199 | ||||||||||
Corporate Bonds 31.1% |
|||||||||||
Auto Components 0.1% |
|||||||||||
1,492 | Tenneco, Inc., 10.25%, 07/15/13 (m) |
1,583 | |||||||||
Automobiles 0.3% |
|||||||||||
3,000 | Daimler Finance North America LLC, 5.75%, 05/18/09 (m) |
3,052 | |||||||||
Beverages 0.4% |
|||||||||||
4,750 | Coca-Cola Enterprises, Inc., 4.25%, 09/15/10 (m) |
4,875 | |||||||||
Capital Markets 2.8% |
|||||||||||
Bear Stearns Cos., Inc. (The), |
|||||||||||
5,700 | 4.55%, 06/23/10 (m) (y) |
5,614 | |||||||||
7,500 | 5.85%, 07/19/10 (m) (y) |
7,572 | |||||||||
9,350 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) |
6,986 | |||||||||
3,050 | Goldman Sachs Group, Inc., 5.30%, 02/14/12 (m) |
3,169 | |||||||||
2,500 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) |
1,875 | |||||||||
4,000 | Lehman Brothers Holdings, Inc., 7.88%, 08/15/10 (m) |
4,274 | |||||||||
29,490 | |||||||||||
Chemicals 0.8% |
|||||||||||
4,000 | Huntsman LLC, 11.50%, 07/15/12 (m) |
4,260 | |||||||||
3,860 | Nalco Co., 7.75%, 11/15/11 (m) |
3,899 | |||||||||
8,159 | |||||||||||
Commercial Banks 12.4% |
|||||||||||
6,900 | BAC Capital Trust XIV, 5.63%, 03/15/12 (m) (x) |
5,557 | |||||||||
3,350 | Citibank Korea, Inc. (South Korea), 4.68%, 06/18/13 |
3,362 | |||||||||
11,900 | Commonwealth Bank of Australia (Australia), 8.50%, 06/01/10 (m) |
13,225 | |||||||||
8,100 | DBS Bank Ltd. (Singapore), VAR, 5.12%, 05/16/17 (e) (m) |
7,658 | |||||||||
5,100 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) |
5,568 | |||||||||
2,050 | Deutsche Bank Capital Funding Trust I, 7.87%, 06/30/09 (e) (m) (x) |
2,119 | |||||||||
2,800 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) |
2,583 | |||||||||
1,700 | Hana Bank (South Korea), 4.13%, 03/11/09 |
1,690 | |||||||||
11,800 | HSBC Capital Funding LP, (United Kingdom) 9.55%, 06/30/10 (e) (m) (x) |
12,832 | |||||||||
7,000 | ICICI Bank Ltd. (India), 5.75%, 11/16/10 (e) (m) |
7,020 | |||||||||
2,000 | KBC Bank Funding Trust III, 9.86%, 11/02/09 (e) (m) (x) |
2,174 | |||||||||
Landsbanki Islands HF (Iceland), |
|||||||||||
2,750 | 6.10%, 08/25/11 (e) (m) |
2,695 | |||||||||
2,700 | FRN, 3.79%, 08/25/09 (e) (m) |
2,617 | |||||||||
9,000 | Mellon Capital IV, 6.24%, 06/20/12 (m) (x) |
7,488 | |||||||||
4,396 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) |
4,442 | |||||||||
13,250 | Mizuho Preferred Capital Co. LLC, 8.79%, 06/30/08 (e) (m) (x) |
13,389 | |||||||||
10,540 | Natexis Ambs Co. LLC, 8.44%, 06/30/08 (e) (m) (x) |
10,719 | |||||||||
11,550 | Royal Bank of Scotland Group plc, 9.12%, 03/31/10 (United Kingdom) (m) (x) |
12,575 | |||||||||
1,000 | SunTrust Preferred Capital I, 5.85%, 12/15/11 (m) (x) |
805 | |||||||||
2,000 | Unicredito Italiano Capital Trust II, 9.20%, 10/05/10 (e) (m) (x) |
2,185 | |||||||||
3,100 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) |
3,077 | |||||||||
9,100 | Wachovia Capital Trust III, 5.80%, 03/15/11 (x) |
7,166 | |||||||||
Woori Bank (South Korea), |
|||||||||||
800 | 4.88%, 07/02/13 |
794 | |||||||||
1,430 | VAR, 5.75%, 03/13/14 (e) |
1,429 | |||||||||
133,169 | |||||||||||
Commercial Services & Supplies 0.9% |
|||||||||||
5,900 | Allied Waste North America, 6.50%, 11/15/10 (m) |
5,826 | |||||||||
3,980 | Corrections Corp. of America, 7.50%, 05/01/11 (m) |
4,060 | |||||||||
9,886 | |||||||||||
Consumer Finance 1.4% |
|||||||||||
4,000 | Ford Motor Credit Co., LLC, 7.38%, 10/28/09 (m) |
3,793 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Consumer Finance Continued |
|||||||||||
3,350 | GMAC LLC, 5.85%, 01/14/09 (m) |
3,233 | |||||||||
7,400 | International Lease Finance Corp., 5.35%, 03/01/12 (m) |
7,570 | |||||||||
14,596 | |||||||||||
Diversified Financial Services 1.4% |
|||||||||||
1,900 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) |
1,693 | |||||||||
5,100 | Premium Asset Trust, 4.13%, 03/12/09 (e) (m) |
4,653 | |||||||||
1,700 | Tokai Preferred Capital Co. LLC, 9.98%, 06/30/08 (e) (m) (x) |
1,723 | |||||||||
7,950 | ZFS Finance USA Trust I, VAR, 5.88%, 05/09/62 (e) |
7,493 | |||||||||
15,562 | |||||||||||
Diversified Telecommunication Services 1.3% |
|||||||||||
5,600 | Deutsche Telekom International Finance BV (Netherlands), 8.00%, 06/15/10 (m) |
6,090 | |||||||||
500 | Qwest Communications International, Inc., FRN, 6.56%, 02/15/09 (m) |
496 | |||||||||
2,500 | Qwest Corp., 7.88%, 09/01/11 (m) |
2,544 | |||||||||
4,650 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 (m) |
4,860 | |||||||||
13,990 | |||||||||||
Electric Utilities 1.6% |
|||||||||||
3,000 | Alabama Power Capital Trust VAR, 5.50%, 10/01/42 (m) |
3,084 | |||||||||
Appalachian Power Co., |
|||||||||||
1,450 | 5.55%, 04/01/11 (m) |
1,504 | |||||||||
3,550 | 5.65%, 08/15/12 (m) |
3,736 | |||||||||
8,350 | MidAmerican Energy Co., 5.65%, 07/15/12 (m) |
8,881 | |||||||||
17,205 | |||||||||||
Food & Staples Retailing 0.4% |
|||||||||||
4,800 | CVS/Caremark Corp., 4.00%, 09/15/09 (m) |
4,827 | |||||||||
Food Products 0.2% |
|||||||||||
2,400 | Dean Holdings Co., 6.63%, 05/15/09 (m) |
2,376 | |||||||||
Hotels, Restaurants & Leisure 0.4% |
|||||||||||
4,015 | MGM Mirage, Inc., 6.00%, 10/01/09 (m) |
3,995 | |||||||||
Independent Power Producers & Energy Traders 0.4% |
|||||||||||
4,383 | AES Corp. (The), 9.50%, 06/01/09 (m) |
4,536 | |||||||||
Insurance 0.5% |
|||||||||||
4,378 | Allstate Corp. (The), 7.20%, 12/01/09 (m) |
4,649 | |||||||||
1,600 | Two-Rock Pass Through Trust (Bermuda), FRN, 4.04%, 12/31/49 (e) (i) (m) (x) |
320 | |||||||||
4,969 | |||||||||||
Media 1.6% |
|||||||||||
3,200 | Comcast Cable Communications, LLC 6.75%, 01/30/11 (m) |
3,384 | |||||||||
4,350 | Echostar DBS Corp., 5.75%, 10/01/08 (m) |
4,344 | |||||||||
9,100 | Time Warner, Inc., 5.50%, 11/15/11 (m) |
9,211 | |||||||||
16,939 | |||||||||||
Metals & Mining 0.4% |
|||||||||||
4,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) |
4,174 | |||||||||
Multi-Utilities 0.2% |
|||||||||||
2,000 | Dominion Resources, Inc., VAR, 6.30%, 09/30/66 (m) |
1,838 | |||||||||
Oil, Gas & Consumable Fuels 2.4% |
|||||||||||
1,750 | El Paso Corp., 7.75%, 06/15/10 (m) |
1,831 | |||||||||
11,045 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) |
11,469 | |||||||||
3,600 | Valero Energy Corp., 3.50%, 04/01/09 (m) |
3,605 | |||||||||
8,550 | XTO Energy, Inc., 5.90%, 08/01/12 |
9,186 | |||||||||
26,091 | |||||||||||
Real Estate Investment Trusts (REITs) 0.7% |
|||||||||||
iStar Financial, Inc., |
|||||||||||
6,138 | 4.88%, 01/15/09 (m) |
5,801 | |||||||||
1,450 | 5.38%, 04/15/10 (m) |
1,285 | |||||||||
7,086 | |||||||||||
Thrifts & Mortgage Finance 0.5% |
|||||||||||
4,000 | Washington Mutual Bank, FRN, 3.33%, 05/01/09 |
3,747 | |||||||||
2,000 | Washington Mutual Preferred Funding II, 6.90%, 06/15/12 (e) (x) |
1,300 | |||||||||
5,047 | |||||||||||
Total Corporate Bonds (Cost $344,524) |
333,445 | ||||||||||
Foreign Government Security 0.3% |
|||||||||||
3,170 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (Cost $3,293) |
3,234 | |||||||||
Mortgage Pass-Through Securities 14.0% |
|||||||||||
Federal National Mortgage Association, Various Pools, |
|||||||||||
15 Year, Single Family, |
|||||||||||
34,000 | TBA, 6.00%, 03/25/22 |
35,116 | |||||||||
20 Year, Single Family, |
|||||||||||
87 | 7.00%, 9/01/15 06/01/17 (m) |
93 | |||||||||
30 Year, Single Family, |
|||||||||||
3,700 | TBA, 5.00%, 04/25/37 |
3,636 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Mortgage Pass-Through Securities Continued |
|||||||||||
108,500 | TBA, 6.00%, 04/25/37 03/25/38 |
110,774 | |||||||||
Total Mortgage Pass-Through Securities (Cost $149,504) |
149,619 | ||||||||||
U.S. Government Agency Securities 10.3% |
|||||||||||
44,650 | Federal Home Loan Mortgage Corp., 4.75%, 11/03/09 (m) |
46,436 | |||||||||
Federal National Mortgage Association, |
|||||||||||
22,600 | 4.75%, 03/12/10 (m) |
23,652 | |||||||||
36,400 | 6.63%, 11/15/10 (m) |
40,109 | |||||||||
Total U.S. Government Agency Securities (Cost $106,433) |
110,197 | ||||||||||
U.S. Treasury Obligations 15.4% |
|||||||||||
8,412 | U.S. Treasury Inflation Indexed Bonds, 2.63%, 07/15/17 (m) |
9,598 | |||||||||
U.S. Treasury Notes, |
|||||||||||
19,300 | 4.00%, 09/30/09 (m) |
20,021 | |||||||||
129,150 | 4.00%, 04/15/10 (m) |
135,436 | |||||||||
Total U.S. Treasury Obligations (Cost $157,513) |
165,055 | ||||||||||
Total Long-Term Investments (Cost $1,220,088) |
1,179,906 |
NUMBER OF CONTRACTS |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased 1.1% |
|||||||||||
Call Options Purchased 0.2% |
|||||||||||
179 | 90 Day Eurodollar Future, Expiring 06/16/08 @ $97.50, American Style |
134 | |||||||||
166 | 90 Day Eurodollar Future, Expiring 09/15/08 @ $97.50, American Style |
205 | |||||||||
166 | 90 Day Eurodollar Future, Expiring 12/15/08 @ $97.50, American Style |
245 | |||||||||
214 | 10 Year U.S. Treasury Note Future, Expiring 03/20/08 @ $118.00, American Style |
167 | |||||||||
53 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $116.00, American Style |
144 | |||||||||
79 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $118.00, American Style |
132 | |||||||||
1,127 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $119.50, American Style |
1,268 | |||||||||
Total Call Options Purchased |
2,295 |
NOTIONAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Interest Rate Caps & Floors 0.1% |
||||||||||
80,550 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland |
43 | ||||||||
80,550 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
1,034 | ||||||||
Total Interest Rate Caps & Floors |
1,077 | |||||||||
Receiver/Payer Straddles on Interest Rate Swaps 0.5% |
||||||||||
14,784 | Expiring 02/04/23. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring
02/04/23, European Style. Counterparty: Credit Suisse International (r) |
1,720 | ||||||||
14,112 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring
02/15/23, European Style. Counterparty: Barclays Bank plc (r) |
1,629 | ||||||||
13,960 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring
02/23/23, European Style. Counterparty: Barclays Bank plc (r) |
1,611 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps |
4,960 |
NUMBER OF CONTRACTS |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased 0.3% |
||||||||||
179 | 90 Day Eurodollar Future, Expiring 06/16/08 @ $97.50, American Style |
72 | ||||||||
334 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $110.00, American Style |
68 | ||||||||
112 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $111.00, American Style |
33 | ||||||||
53 | 10 Year U.S. Treasury Note Future, Expiring 05/23/08 @ $116.00, American Style |
77 |
NOTIONAL AMOUNT($) |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
34,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $97.56, European Style |
259 | ||||||||
40,000 | FNMA, 30 Year, TBA, 5.00%, Expiring 04/07/08 @ $99.34, European Style |
651 | ||||||||
51,000 | FNMA, 30 Year, TBA, 5.50%, Expiring 05/06/08 @ $98.00, European Style |
1,282 |
NOTIONAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | ||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: |
||||||||||
10,286 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38, European
Style. Counterparty: Barclays Bank plc (r) |
379 | ||||||||
15,759 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38, European
Style. Counterparty: Lehman Brothers Special Financing (r) |
696 | ||||||||
Total Put Options Purchased |
3,517 | |||||||||
Total Options Purchased (Cost $9,932) |
11,849 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 3.3% |
|||||||||||
Investment Company 2.5% |
|||||||||||
26,684 | JPMorgan Prime Money Market Fund, Institutional Fund (b) (m) (Cost $26,684) |
26,684 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.8% |
||||||||||
9,145 | U.S. Treasury Bill, 2.82%, 04/03/08 (k) (m) (n) (Cost $9,122) |
9,129 | ||||||||
Total Short-Term Investments (Cost $35,806) |
35,813 | |||||||||
Total Investments 114.5% (Cost $1,265,826) |
1,227,568 | |||||||||
Liabilities in Excess of Other Assets (14.5)% |
(155,574 | ) | ||||||||
NET ASSETS 100.0% |
$ | 1,071,994 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
84 | 10
Year Australian Bond |
March,
2008 |
$ | 7,337 | $ | 2 | ||||||||||||
55 | 10
Year Swap |
March,
2008 |
6,289 | 316 | ||||||||||||||
133 | Euro-Bobl |
March,
2008 |
22,482 | 528 | ||||||||||||||
107 | Euro-Bund |
March,
2008 |
19,015 | 266 | ||||||||||||||
501 | 10
Year U.S. Treasury Note |
June,
2008 |
58,758 | 1,204 | ||||||||||||||
120 | Eurodollar |
June,
2008 |
29,292 | 9 | ||||||||||||||
912 | 2
Year U.S. Treasury Note |
June,
2008 |
196,009 | 1,003 | ||||||||||||||
122 | 3
Month Euro-Swiss Franc LIFFE |
June,
2008 |
28,516 | | (h) | |||||||||||||
255 | 5
Year U.S. Treasury Note |
June,
2008 |
29,134 | 294 | ||||||||||||||
237 | 90
Day LIFFE |
September, 2008 |
55,970 | 346 | ||||||||||||||
215 | 90
Day Sterling |
December, 2008 |
50,940 | 178 | ||||||||||||||
1 | Eurodollar |
December, 2008 |
244 | 1 | ||||||||||||||
526 | Euro
EURIBOR |
December, 2008 |
192,649 | 328 | ||||||||||||||
11 | Eurodollar |
March,
2009 |
2,688 | 10 | ||||||||||||||
20 | Eurodollar |
September, 2009 |
4,869 | (7 | ) | |||||||||||||
20 | Eurodollar |
December, 2009 |
4,857 | (11 | ) | |||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(227) | 3
Year Australian Bond |
March,
2008 |
(19,744 | ) | 1 | |||||||||||||
(127) | 30
Day Federal Funds |
April,
2008 |
(51,688 | ) | (61 | ) | ||||||||||||
(1090) | 5
Year U.S. Treasury Note |
June,
2008 |
(124,533 | ) | (2,066 | ) | ||||||||||||
(522) | 10
Year U.S. Treasury Note |
June,
2008 |
(61,221 | ) | (989 | ) |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
(47) | Eurodollar |
June,
2008 |
$ | (11,473 | ) | $ | (181 | ) | ||||||||||
(71) | U.K.
Treasury Gilt |
June,
2008 |
(15,563 | ) | (260 | ) | ||||||||||||
(42) | Eurodollar |
September, 2008 |
(10,267 | ) | (162 | ) | ||||||||||||
(34) | Eurodollar |
December, 2008 |
(8,312 | ) | (127 | ) | ||||||||||||
(154) | Eurodollar |
June,
2009 |
(37,570 | ) | (98 | ) | ||||||||||||
(34) | Eurodollar |
March,
2009 |
(8,307 | ) | (122 | ) | ||||||||||||
$ | 402 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
$ (500) | FNMA, 30 Year, Single Family, TBA, 5.00%, 03/25/38 |
$ | (492 | ) | ||||||
(143,570) | FNMA, 30 Year, Single Family, TBA, 5.50%, 03/25/38 |
(144,378 | ) | |||||||
(6,530) | FNMA, 30 Year, Single Family, TBA, 5.50%, 04/25/38 |
(6,554 | ) | |||||||
(25,225) | FNMA, 30 Year, Single Family, TBA, 6.50%, 03/25/38 |
(26,139 | ) | |||||||
(21,775) | FNMA, 30 Year, Single Family, TBA, 6.50%, 04/25/38 |
(22,517 | ) | |||||||
(3,000) | FNMA, 30 Year, Single Family, TBA, 7.00%, 03/25/38 |
(3,157 | ) | |||||||
(Proceeds received of $205,179.) |
$ | (203,237 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
$ | 97.75 | 06/16/08 | 478 | $ | (212 | ) | |||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 09/15/08 | 332 | (203 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 12/15/08 | 332 | (276 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
114.50 | 05/23/08 | 213 | (789 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
116.50 | 05/23/08 | 892 | (2,174 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
120.00 | 05/23/08 | 214 | (211 | ) | |||||||||||||
(Premiums
received of $2,525.) |
$ | (3,865 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year,
TBA, 5.50%, European Style |
$ | 99.66 | 05/06/08 | $ | 102,000 | $ | (1,311 | ) | ||||||||||
(Premiums
received of $797.) |
COUNTERPARTY |
|
EXERCISE RATE*(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
4.86% semi-annually |
02/17/09 |
02/19/19 | $ | 9,397 | $ | (774 | ) | ||||||||||||||
Lehman Brothers
Special Financing |
4.80% semi-annually |
02/23/09 |
02/25/19 | 10,174 | (832 | ) | ||||||||||||||||
Royal Bank of
Scotland |
3.56% semi-annually |
06/16/08 |
06/18/09 | 66,453 | (844 | ) | ||||||||||||||||
(Premiums
received of $1,962.) |
$ | (2,450 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
$ | 97.25 | 06/16/08 | 478 | $ | (93 | ) | |||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.00 | 05/23/08 | 6 | (6 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
115.50 | 05/23/08 | 167 | (209 | ) | |||||||||||||
(Premiums
received of $472.) |
$ | (308 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
FNMA, 30 Year,
TBA, 5.00%, European Style |
$ | 95.72 | 04/07/08 | $ | 68,000 | $ | (195 | ) | ||||||||||
FNMA, 30 Year,
TBA, 5.00%, European Style |
97.69 | 04/07/08 | 80,000 | (648 | ) | |||||||||||||
(Premiums
received of $871.) |
$ | (843 | ) |
COUNTERPARTY |
|
EXERCISE RATE**(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
3.90% semi-annually |
07/15/08 |
07/17/13 | $ | 28,155 | $ | (290 | ) | ||||||||||||||
Lehman Brothers
Special Financing |
3.73% semi-annually |
07/23/08 |
07/25/13 | 41,746 | (574 | ) | ||||||||||||||||
(Premiums
received of $858.) |
$ | (864 | ) |
* |
The Fund would pay/receive a floating rate based on 3-month USD LIBOR, if exercised. |
** |
The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** |
European Style |
RATE TYPE(r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Barclays Bank
plc |
3
month LIBOR quarterly |
4.21%
semi-annually |
11/29/12 | $ | 19,825 | $ | 982 | |||||||||||||||
Barclays Bank
plc |
4.95%
semi-annually |
3
month LIBOR quarterly |
11/29/37 | 5,625 | (138 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3.50%
semi-annually |
3
month LIBOR quarterly |
08/31/12 | 28,470 | (237 | ) | ||||||||||||||||
Union Bank of
Switzerland AG |
5.23%
semi-annually |
3
month LIBOR quarterly |
06/22/17 | 1,510 | (126 | ) | ||||||||||||||||
Union Bank of
Switzerland AG |
5.69%
semi-annually |
3
month LIBOR quarterly |
06/22/17 | 2,885 | (346 | ) | ||||||||||||||||
$ | 135 |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE(r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ambac Financial
Group, Inc., 9.38%, 08/01/11 |
Deutsche Bank AG, New York |
Sell |
105
BPS quarterly |
09/20/08 | $ | 20,650 | $ | (583 | ) | |||||||||||||||||
ArcelorMittal,
9.75%, 04/01/14 |
Morgan Stanley Capital Services |
Sell |
17
BPS quarterly |
06/20/08 | 9,400 | (22 | ) | |||||||||||||||||||
Banca Italease
S.p.A., 4.66%, 10/15/09 |
Deutsche Bank AG, New York |
Sell |
85
BPS quarterly |
06/20/08 | 18,600 | (205 | ) | |||||||||||||||||||
Berkshire
Hathaway, Inc., 9.75%, 01/15/08 |
Deutsche Bank AG, New York |
Sell |
20
BPS quarterly |
03/20/10 | 6,000 | (68 | ) | |||||||||||||||||||
CDX.NA.IG.9 |
Goldman Sachs Capital Management [1] |
Buy |
60
BPS quarterly |
12/20/12 | 71,100 | 3,118 | ||||||||||||||||||||
Corning, Inc.,
6.30%, 03/01/09 |
Goldman Sachs Capital Management |
Sell |
43
BPS quarterly |
06/20/11 | 2,000 | (13 | ) | |||||||||||||||||||
Countrywide
Financial Corp., 0.00%, 03/22/11 |
Lehman Brothers Special Financing |
Sell |
500
BPS quarterly |
09/20/08 | 9,150 | (19 | ) | |||||||||||||||||||
FHLMC, 5.08%,
02/07/19 |
Deutsche Bank AG, New York |
Sell |
3 BPS
quarterly |
06/20/08 | 51,600 | (67 | ) | |||||||||||||||||||
Gannett Co.,
Inc., 6.38%, 04/01/12 |
Lehman Brothers Special Financing |
Buy |
63
BPS quarterly |
03/20/14 | 4,950 | 341 | ||||||||||||||||||||
Gannett Co.,
Inc., 6.38%, 04/01/12 |
Merrill Lynch International |
Buy |
63
BPS quarterly |
06/20/17 | 3,200 | 318 | ||||||||||||||||||||
Hess Corp.,
6.65%, 08/15/11 |
Morgan Stanley Capital Services |
Sell |
20
BPS quarterly |
06/20/08 | 12,600 | (12 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE(r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ICICI Bank Ltd.,
5.75%, 11/16/10 |
Deutsche Bank AG, New York |
Sell |
26
BPS quarterly |
03/20/08 | $ | 7,600 | $ | (2 | ) | |||||||||||||||||
Marsh &
McLennan Co., Inc. 5.38%, 07/15/14 |
Merrill Lynch International |
Buy |
101
BPS quarterly |
09/20/14 | 4,000 | 15 | ||||||||||||||||||||
Residential
Capital Corp., 6.50%, 04/17/13 |
Lehman Brothers Special Financing |
Sell |
775
BPS quarterly |
03/20/08 | 10,000 | (85 | ) | |||||||||||||||||||
Southwest
Airlines Co., 6.50%, 03/01/12 |
Goldman Sachs Capital Management |
Buy |
69
BPS quarterly |
06/20/14 | 6,500 | 263 | ||||||||||||||||||||
$ | 2,979 |
[1] |
Premiums received of $160. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America
(b) |
Northern Rock plc, 5.63%, 06/22/17 |
$ | 102.58 | 03/19/08 | $ | 4,395 | $ | 4 | ||||||||||||||
BNP Paribas
(a) |
U.S.
Treasury Note, 4.38%, 08/15/12 |
107.23 | 03/06/08 | 57,000 | (754 | ) | ||||||||||||||||
BNP Paribas
(a) |
U.S.
Treasury Note, 3.63%, 12/31/12 |
102.82 | 04/07/08 | 24,900 | (552 | ) | ||||||||||||||||
BNP Paribas
(b) |
U.S.
Treasury Note, 2.13%, 01/31/10 |
99.98 | 04/07/08 | 62,800 | 627 | |||||||||||||||||
Citibank, N.A.
(a) |
FNMA,
30 Year, TBA, 6.50% |
103.22 | 04/07/08 | 104,000 | (158 | ) | ||||||||||||||||
Citibank, N.A.
(b) |
FNMA,
30 Year, TBA, 5.00% |
99.21 | 03/05/08 | 18,700 | (140 | ) | ||||||||||||||||
Citibank, N.A.
(b) |
FNMA,
30 Year, TBA, 5.50% |
100.15 | 04/07/08 | 4,000 | | |||||||||||||||||
Citibank, N.A.
(b) |
FNMA,
30 Year, TBA, 6.00% |
100.84 | 04/07/08 | 74,500 | 825 | |||||||||||||||||
Credit Suisse
International (b) |
U.S.
Treasury Note, 3.13%, 11/30/09 |
101.04 | 03/03/08 | 164,350 | 2,522 | |||||||||||||||||
Credit Suisse
International (b) |
U.S.
Treasury Note, 3.13%, 11/30/09 |
101.74 | 03/03/08 | 72,900 | 603 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA,
30 Year, TBA, 5.00% |
99.45 | 03/05/08 | 25,600 | 258 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA,
30 Year, TBA, 5.00% |
100.00 | 03/05/08 | 26,700 | 424 | |||||||||||||||||
Deutsche Bank AG,
New York (a) |
FNMA,
30 Year, TBA, 6.00% |
102.38 | 03/05/08 | 34,100 | 80 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA,
30 Year, TBA, 4.50% |
94.84 | 03/05/08 | 30,000 | 225 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA,
30 Year, TBA, 5.00% |
97.75 | 03/05/08 | 58,500 | (402 | ) | ||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 6.00% |
100.47 | 04/07/08 | 66,000 | 954 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA,
30 Year, TBA, 5.50% |
99.81 | 04/07/08 | 2,900 | 16 | |||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA,
30 Year, TBA, 6.50% |
103.31 | 04/07/08 | 239,200 | | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA,
30 Year, TBA, 6.00% |
100.66 | 03/05/08 | 20,000 | (297 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA,
30 Year, TBA, 6.50% |
103.69 | 03/05/08 | 173,800 | 163 | |||||||||||||||||
Lehman Brothers
Special Financing (a) |
FNMA,
15 Year, TBA, 6.00% |
103.28 | 03/11/08 | 34,000 | 5 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 5.50% |
98.34 | 03/05/08 | 40,000 | 890 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 5.50% |
98.38 | 03/05/08 | 46,000 | 1,009 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 5.50% |
101.22 | 03/05/08 | 97,500 | (632 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 6.00% |
100.73 | 03/05/08 | 27,000 | 381 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 6.00% |
102.47 | 03/05/08 | 67,600 | (222 | ) | ||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 4.50% |
94.63 | 04/07/08 | 30,000 | 238 | |||||||||||||||||
Lehman Brothers
Special Financing (b) |
FNMA,
30 Year, TBA, 5.00% |
97.94 | 04/07/08 | 2,700 | | |||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA,
30 Year, TBA, 6.50% |
103.63 | 03/05/08 | 7,500 | 2 | |||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA,
30 Year, TBA, 5.00% |
97.63 | 04/07/08 | 46,000 | (288 | ) | ||||||||||||||||
Morgan Stanley
Capital Services (a) |
FNMA,
30 Year, TBA, 5.50% |
100.28 | 04/07/08 | 90,000 | | |||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA,
30 Year, TBA, 6.00% |
101.38 | 03/05/08 | 45,000 | 343 | |||||||||||||||||
Morgan Stanley
Capital Services (b) |
FNMA,
30 Year, TBA, 6.00% |
102.31 | 03/05/08 | 30,000 | (51 | ) | ||||||||||||||||
Union Bank of
Switzerland AG (a) |
FNMA,
30 Year, TBA, 5.00% |
99.81 | 03/05/08 | 31,000 | 426 | |||||||||||||||||
Union Bank of
Switzerland AG (a) |
FNMA,
30 Year, TBA, 5.50% |
99.56 | 03/05/08 | 22,000 | (222 | ) | ||||||||||||||||
Union Bank of
Switzerland AG (a) |
FNMA,
30 Year, TBA, 6.00% |
102.38 | 03/05/08 | 33,200 | 78 | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA,
30 Year, TBA, 4.50% |
95.22 | 04/07/08 | 28,000 | | |||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA,
30 Year, TBA, 6.50% |
103.13 | 04/07/08 | 37,000 | 91 | |||||||||||||||||
$ | 6,446 |
(a) |
Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) |
Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 91.8% |
|||||||||||
Asset-Backed Securities 19.0% |
|||||||||||
642 | American Express Credit Account Master Trust, Series 2004-C, Class C, FRN, 3.62%, 02/15/12 (e) (m) |
640 | |||||||||
AmeriCredit Automobile Receivables Trust, |
|||||||||||
889 | Series 2004-BM, Class A4, 2.67%, 03/07/11 (m) |
889 | |||||||||
609 | Series 2005-CF, Class A3, 4.47%, 05/06/10 (m) |
609 | |||||||||
2,650 | Capital One Auto Finance Trust, Series 2007-B, Class A3A, 5.03%, 04/15/12 (m) |
2,584 | |||||||||
1,700 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) |
1,592 | |||||||||
3,050 | Citigroup Mortgage Loan Trust, Inc., Series 2005-WF2, Class AF4, SUB, 4.96%, 08/25/35 (m) |
3,002 | |||||||||
2,551 | Countrywide Asset Backed Certificates, Series 2005-4, Class AF3, VAR, 4.46%, 10/25/35 (m) |
2,536 | |||||||||
4,550 | First Franklin Mortgage Loan Asset-Backed Certificates, Series 2006-FF4, Class A2, FRN, 3.32%, 03/25/36 (m) |
4,027 | |||||||||
3,350 | GSAMP Trust, Series 2006-NC1, Class A2, FRN, 3.31%, 02/25/36 (m) |
3,030 | |||||||||
500 | Helios Finance LP (Cayman Islands), Series 2007-S1, Class B1, FRN, 3.81%, 10/20/14 (e) (i) |
454 | |||||||||
3,200 | Home Equity Asset Trust, Series 2006-3, Class 2A3, FRN, 3.31%, 07/25/36 (m) |
2,758 | |||||||||
4,419 | HSI Asset Securitization Corp. Trust, Series 2006-OPT2, Class 2A3, FRN, 3.32%, 01/25/36 (m) |
3,673 | |||||||||
4,000 | K2 (USA) LLC, Series 2007-2D, VAR, 5.81%, 02/15/09 (f) (i) (s) (v) |
893 | |||||||||
3,800 | Links Finance LLC, FRN, 5.24%, 09/15/08 (e) (f) (i) (s) |
1,140 | |||||||||
4,250 | Long Beach Mortgage Loan Trust, Series 2006-2, Class 2A3, FRN, 3.32%, 03/25/36 (m) |
3,116 | |||||||||
3,550 | MASTR Asset Backed Securities Trust, Series 2006-NC1, Class A3, FRN, 3.32%, 01/25/36 (m) |
3,255 | |||||||||
2,100 | Merrill Lynch Mortgage Investors, Inc., Series 2006-WMC1, Class A2C, FRN, 3.34%, 01/25/37 (m) |
1,970 | |||||||||
555 | Nationstar NIM Trust (Cayman Islands), Series 2007-C, Class A, 8.00%, 06/25/37 (e) (i) |
333 | |||||||||
699 | New Century Home Equity Loan Trust, Series 2005-A, Class A2, SUB, 4.46%, 08/25/35 (m) |
692 | |||||||||
2,191 | Residential Asset Mortgage Products, Inc., Series 2006-EFC1, Class A2, FRN, 3.34%, 02/25/36 (m) |
1,963 | |||||||||
3,850 | Residential Asset Securities Corp., Series 2006-KS2, Class A3, FRN, 3.32%, 03/25/36 (m) |
3,393 | |||||||||
2,865 | Securitized Asset Backed Receivables LLC Trust, Series 2006-WM1, Class A2B, FRN, 3.31%, 12/25/35 |
2,771 | |||||||||
2,900 | Sigma Finance Corp. (Cayman Islands), FRN, 2.95%, 08/15/11 (f) (i) (s) |
2,214 | |||||||||
Total Asset-Backed Securities (Cost $58,868) |
47,534 | ||||||||||
Collateralized Mortgage Obligations 10.8% |
|||||||||||
Agency CMO 5.7% |
|||||||||||
Federal Home Loan Mortgage Corp., REMICS, |
|||||||||||
3,739 | Series 2564, Class LS, IF, IO, 4.53%, 01/15/17 (m) |
266 | |||||||||
2,114 | Series 2632, Class IA, IO, 5.00%, 06/15/22 (m) |
14 | |||||||||
2,146 | Series 2643, Class PI, IO, 5.00%, 03/15/28 (m) |
179 | |||||||||
1,175 | Series 2781, Class PI, IO, 5.00%, 10/15/23 (m) |
31 | |||||||||
10,869 | Series 2791, Class SI, IF, IO, 4.03%, 12/15/31 (m) |
804 | |||||||||
12,088 | Series 2813, Class SB, IF, IO, 3.93%, 02/15/34 (m) |
978 | |||||||||
16,260 | Series 2850, Class SM, IF, IO, 4.03%, 12/15/30 (m) |
964 | |||||||||
3,817 | Series 2894, Class S, IF, IO, 4.08%, 03/15/31 (m) |
301 | |||||||||
3,085 | Series 2980, Series LI, IO, 5.50%, 04/15/25 (m) |
140 | |||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
2,754 | Series 2003-3, Class HS, IF, IO, 4.52%, 09/25/16 (m) |
191 | |||||||||
3,519 | Series 2004-61, Class TS, IF, IO, 3.97%, 10/25/31 (m) |
210 | |||||||||
4,586 | Series 2005-51, Class KI, IO, 5.50%, 01/25/25 (m) |
207 | |||||||||
2,623 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) |
2,687 | |||||||||
4,313 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) |
4,421 | |||||||||
2,779 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) |
2,849 | |||||||||
Government National Mortgage Association, |
|||||||||||
9 | Series 2002-24, Class FA, FRN, 3.62%, 04/16/32 (m) |
9 | |||||||||
209 | Series 2004-39, Class IM, IO, 5.50%, 01/20/27 (m) |
2 | |||||||||
1,333 | Series 2004-44, Class PK, IO, 5.50%, 10/20/27 (m) |
23 | |||||||||
14,276 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Non-Agency CMO 5.1% |
|||||||||||
1,645 | Banc of America Alternative Loan Trust, Series 2003-7, Class 1A1, 5.50%, 09/25/33 (m) |
1,658 | |||||||||
3,549 | Countrywide Home Loan Mortgage Pass Through Trust, Series 2005-J4, Class A4, 5.50%, 11/25/35 (m) |
3,594 | |||||||||
1,341 | Residential Asset Securitization Trust, Series 2006-A8, Class 1A1, 6.00%, 08/25/36 (m) |
1,230 | |||||||||
2,865 | Residential Funding Mortgage Section I, Series 2005-S7, Class A5, 5.50%, 11/25/35 (m) |
2,903 | |||||||||
1,852 | Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A1, VAR, 4.97%, 06/25/34 |
1,844 | |||||||||
1,455 | Wells Fargo Mortgage Backed Securities Trust, Series 2003-N, Class 1A4, FRN, 4.60%, 12/25/33 |
1,448 | |||||||||
12,677 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $26,245) |
26,953 | ||||||||||
Commercial Mortgage-Backed Securities 12.1% |
|||||||||||
1,114 | Banc of America Commercial Mortgage, Inc., Series 2004-5, Class A2, 4.18%, 11/10/41 (m) |
1,097 | |||||||||
CS First Boston Mortgage Securities Corp., |
|||||||||||
1,800 | Series 2001-CK6, Class A3, 6.39%, 08/15/36 (m) |
1,838 | |||||||||
2,300 | Series 2001-CP4, Class A4, 6.18%, 12/15/35 (m) |
2,334 | |||||||||
3,700 | Series 2004-C3, Class A3, 4.30%, 07/15/36 (m) |
3,650 | |||||||||
1,350 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A2, 3.29%, 07/05/35 (m) |
1,320 | |||||||||
2,000 | GS Mortgage Securities Corp. II, Series 2004-GG2, Class A3, 4.60%, 08/10/38 (m) |
1,982 | |||||||||
LB-UBS Commercial Mortgage Trust, |
|||||||||||
268 | Series 2003-C1, Class A2, 3.32%, 03/15/27 (m) |
265 | |||||||||
3,679 | Series 2003-C5, Class A2, 3.48%, 07/15/27 (m) |
3,644 | |||||||||
3,400 | Series 2004-C2, Class A2, 3.25%, 03/15/29 (m) |
3,337 | |||||||||
5,200 | Series 2004-C7, Class A2, 3.99%, 10/15/29 (m) |
5,098 | |||||||||
3,717 | Morgan Stanley Capital I, Series 1998-HF2, Class A2, VAR, 6.48%, 11/15/30 (m) |
3,714 | |||||||||
1,940 | Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Class A2, 4.78%, 03/15/42 |
1,921 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $30,998) |
30,200 | ||||||||||
Corporate Bonds 32.1% |
|||||||||||
Automobiles 0.5% |
|||||||||||
1,300 | Daimler Finance North America LLC, 5.75%, 05/18/09 (m) |
1,322 | |||||||||
Beverages 1.1% |
|||||||||||
1,050 | Coca-Cola Enterprises, Inc., 4.25%, 09/15/10 (m) |
1,077 | |||||||||
1,600 | Miller Brewing Co., 4.25%, 08/15/08 (e) (m) |
1,606 | |||||||||
2,683 | |||||||||||
Capital Markets 2.8% |
|||||||||||
Bear Stearns Cos., Inc. (The), |
|||||||||||
1,500 | 4.55%, 06/23/10 (m) (y) |
1,478 | |||||||||
850 | 5.85%, 07/19/10 (m) (y) |
858 | |||||||||
1,800 | Goldman Sachs Capital II, 5.79%, 06/01/12, (m) (x) |
1,345 | |||||||||
600 | Goldman Sachs Group, Inc. (The), 5.30%, 02/14/12 (m) |
623 | |||||||||
500 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) |
375 | |||||||||
2,350 | Morgan Stanley, 4.25%, 05/15/10 (m) |
2,364 | |||||||||
7,043 | |||||||||||
Commercial Banks 11.9% |
|||||||||||
1,600 | BAC Capital Trust XIV, 5.63%, 03/15/12 (m) (x) |
1,289 | |||||||||
1,500 | DBS Bank Ltd. (Singapore), VAR, 5.12%, 05/16/17 (e) (m) |
1,418 | |||||||||
1,400 | DBS Capital Funding Corp. (Cayman Islands), 7.66%, 03/15/11 (e) (m) (x) |
1,528 | |||||||||
1,150 | Deutsche Bank Capital Funding Trust I, 7.87%, 06/30/09 (e) (m) (x) |
1,189 | |||||||||
900 | Glitnir Banki HF (Iceland), VAR, 6.69%, 06/15/16 (e) (m) |
830 | |||||||||
1,000 | Hana Bank (South Korea), 4.13%, 03/11/09 |
994 | |||||||||
2,300 | HSBC Capital Funding LP, 9.55%, 06/30/10 (e) (m) (x) |
2,501 | |||||||||
1,350 | ICICI Bank Ltd. (India), 5.75%, 11/16/10 (e) (m) |
1,354 | |||||||||
Landsbanki Islands HF (Iceland), |
|||||||||||
850 | 6.10%, 08/25/11 (e) (m) |
833 | |||||||||
1,000 | FRN, 3.79%, 08/25/09 (e) (m) |
969 | |||||||||
1,550 | Mellon Capital IV, 6.24%, 06/20/12 (m) (x) |
1,290 | |||||||||
3,800 | Mizuho JGB Investment LLC, 9.87%, 06/30/08 (e) (m) (x) |
3,840 | |||||||||
6,050 | Natexis Ambs Co. LLC, 8.44%, 06/30/08 (e) (m) (x) |
6,153 | |||||||||
2,450 | Royal Bank of Scotland Group plc, 9.12%, 03/31/10 (United Kingdom) (m) (x) |
2,667 | |||||||||
1,950 | Wachovia Capital Trust III, 5.80%, 03/15/11 (x) |
1,536 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Commercial Banks Continued |
|||||||||||
1,150 | Woori Bank (South Korea), VAR, 4.88%, 07/02/13 |
1,142 | |||||||||
29,533 | |||||||||||
Consumer Finance 0.7% |
|||||||||||
1,700 | International Lease Finance Corp., 5.35%, 03/01/12 (m) |
1,739 | |||||||||
Diversified Financial Services 1.9% |
|||||||||||
3,000 | General Electric Capital Corp., 4.13%, 09/01/09 (m) |
3,055 | |||||||||
400 | ILFC E-Capital Trust I, VAR, 5.90%, 12/21/65 (e) (m) |
356 | |||||||||
1,500 | ZFS Finance USA Trust I, VAR, 5.88%, 05/09/32 (e) |
1,414 | |||||||||
4,825 | |||||||||||
Diversified Telecommunication Services 0.8% |
|||||||||||
1,900 | Telefonica Emisones SAU (Spain), 5.98%, 06/20/11 |
1,986 | |||||||||
Electric Utilities 1.7% |
|||||||||||
1,400 | Alabama Power Capital Trust V, VAR, 5.50%, 10/01/42 (m) |
1,439 | |||||||||
Appalachian Power Co., |
|||||||||||
1,000 | 3.60%, 05/15/08 (m) |
1,000 | |||||||||
650 | 5.55%, 04/01/11 (m) |
674 | |||||||||
200 | 5.65%, 08/15/12 (m) |
211 | |||||||||
1,000 | PSEG Power LLC, 3.75%, 04/01/09 (m) |
1,002 | |||||||||
4,326 | |||||||||||
Food & Staples Retailing 0.6% |
|||||||||||
1,400 | CVS/Caremark Corp., 4.00%, 09/15/09 (m) |
1,408 | |||||||||
Food Products 0.3% |
|||||||||||
600 | Kraft Foods, Inc., 6.00%, 02/11/13 (m) |
632 | |||||||||
Insurance 1.3% |
|||||||||||
900 | Allstate Corp. (The), 7.20%, 12/01/09 (m) |
955 | |||||||||
2,150 | Hartford Financial Services Group, Inc., 5.66%, 11/16/08 (m) |
2,185 | |||||||||
3,140 | |||||||||||
Media 3.8% |
|||||||||||
Comcast Cable Communications, Inc., |
|||||||||||
1,200 | 6.20%, 11/15/08 (m) |
1,217 | |||||||||
1,000 | 6.75%, 01/30/11 (m) |
1,057 | |||||||||
2,850 | COX Communications, Inc., 4.63%, 01/15/10 (m) |
2,881 | |||||||||
1,800 | Time Warner Entertainment Co., LP, 7.25%, 09/01/08 (m) |
1,829 | |||||||||
2,500 | Time Warner, Inc., 5.50%, 11/15/11 |
2,530 | |||||||||
9,514 | |||||||||||
Metals & Mining 0.5% |
|||||||||||
1,300 | Xstrata Finance Dubai Ltd. (United Arab Emirates), FRN, 3.42%, 11/13/09 (e) |
1,262 | |||||||||
Multi-Utilities 1.5% |
|||||||||||
2,100 | Dominion Resources, Inc., SUB, 5.69%, 05/15/08 (m) |
2,108 | |||||||||
1,450 | Midamerican Energy Holdings Co., 5.65%, 07/15/12 (m) |
1,542 | |||||||||
3,650 | |||||||||||
Oil, Gas & Consumable Fuels 1.7% |
|||||||||||
2,645 | Qatar Petroleum (Qatar), 5.58%, 05/30/11 (e) (m) |
2,746 | |||||||||
1,450 | XTO Energy, Inc., 5.90%, 08/01/12 |
1,558 | |||||||||
4,304 | |||||||||||
Real Estate Investment Trusts (REITs) 0.9% |
|||||||||||
iStar Financial, Inc., |
|||||||||||
1,750 | 4.88%, 01/15/09 (m) |
1,654 | |||||||||
800 | 5.38%, 04/15/10 (m) |
709 | |||||||||
2,363 | |||||||||||
Thrifts & Mortgage Finance 0.1% |
|||||||||||
400 | Washington Mutual Preferred Funding II, 6.90%, 06/15/12 (e) (x) |
260 | |||||||||
Total Corporate Bonds (Cost $81,883) |
79,990 | ||||||||||
Foreign Government Securities 1.9% |
|||||||||||
4,670 | National Agricultural Cooperative Federation (South Korea), VAR, 5.75%, 06/18/14 (Cost $4,851) |
4,764 | |||||||||
Mortgage Pass-Through Securities 7.8% |
|||||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
11,732 | 6.00%, 08/01/22 (m) |
12,142 | |||||||||
30 Year, Single Family, |
|||||||||||
7,000 | TBA, 6.50%, 04/25/38 |
7,239 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
8 | 8.50%, 08/15/30 (m) |
8 | |||||||||
Total Mortgage Pass-Through Securities (Cost $19,015) |
19,389 | ||||||||||
U.S. Government Agency Securities 7.3% |
|||||||||||
11,100 | Federal Home Loan Bank System, 5.38%, 07/17/09 (m) |
11,563 | |||||||||
6,100 | Federal National Mortgage Association, 6.63%, 11/15/10 (m) |
6,722 | |||||||||
Total U.S. Government Agency Securities (Cost $17,774) |
18,285 |
PRINCIPAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
U.S. Treasury Obligations 0.8% |
|||||||||||
1,824 | U.S. Treasury Inflation Indexed Bonds, 2.63%, 07/15/17 (Cost $1,977) |
2,082 | |||||||||
Total Long-Term Investments (Cost $241,611) |
229,197 |
NUMBER OF CONTRACTS |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Options Purchased 0.8% |
|||||||||||
Call Options Purchased 0.2% |
|||||||||||
40 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
30 | |||||||||
38 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style |
47 | |||||||||
38 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style |
56 | |||||||||
49 | 10 Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $118.00, American Style |
38 | |||||||||
12 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
33 | |||||||||
18 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $118.00, American Style |
30 | |||||||||
257 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $119.50, American Style |
289 | |||||||||
Total Call Options Purchased |
523 |
NOTIONAL AMOUNT($) |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Interest Rate Caps & Floors 0.1% |
||||||||||
16,630 | Fund receives quarterly the excess of floating 3 month LIBOR above 3.50%, expiring 06/18/09. Counterparty: Royal Bank of Scotland |
9 | ||||||||
16,630 | Fund receives quarterly the excess of 3.50% above floating 3 month LIBOR, expiring 06/18/09. Counterparty: Royal Bank of
Scotland |
213 | ||||||||
Total Interest Rate Caps & Floors |
222 |
NOTIONAL AMOUNT($) |
|
SECURITY DESCRIPTION |
|
VALUE($) |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Receiver/Payer Straddles on Interest Rate Swaps 0.4% |
||||||||||
3,351 | Expiring 01/31/13. If exercised the Fund pays/receives semi-annually 5.36% and receives/pays quarterly floating 3 month LIBOR expiring
02/04/23, European Style. Counterparty: Credit Suisse International (r) |
391 | ||||||||
3,154 | Expiring 02/13/13. If exercised the Fund pays/receives semi-annually 5.62% and receives/pays quarterly floating 3 month LIBOR expiring
02/15/23, European Style. Counterparty: Barclays Bank plc (r) |
364 | ||||||||
3,181 | Expiring 02/21/13. If exercised the Fund pays/receives semi-annually 5.60% and receives/pays quarterly floating 3 month LIBOR expiring
02/23/23, European Style. Counterparty: Barclays Bank plc (r) |
368 | ||||||||
Total Receiver/Payer Straddles on Interest Rate Swaps |
1,123 |
NUMBER OF CONTRACTS |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased 0.1% |
||||||||||
40 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
16 | ||||||||
76 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $110.00, American Style |
15 | ||||||||
25 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $111.00, American Style |
7 | ||||||||
12 | 10 Year U.S. Treasury Note Futures, Expiring 05/23/08 @ $116.00, American Style |
17 |
NOTIONAL AMOUNT($) |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: |
||||||||||
2,344 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly 3 month LIBOR expiring 07/17/38, European Style.
Counterparty: Barclays Bank plc (r) |
86 | ||||||||
3,604 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly 3 month LIBOR expiring 07/25/38, European Style.
Counterparty: Lehman Brothers Special Financing (r) |
159 | ||||||||
Total Put Options Purchased |
300 | |||||||||
Total Options Purchased (Cost $1,860) |
2,168 |
SHARES |
|
SECURITY DESCRIPTION |
|
VALUE($) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 10.2% |
|||||||||||
Investment Company 9.4% |
|||||||||||
23,371 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $23,371) |
23,371 |
PRINCIPAL AMOUNT($) |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
U.S. Treasury Obligation 0.8% |
||||||||||
U.S. Treasury Bill, 3.23%, 04/03/08 (k) (n) (Cost $1,990) |
1,991 | |||||||||
Total Short-Term Investments (Cost $25,361) |
25,362 |
PRINCIPAL AMOUNT($) |
|
|
|
VALUE($) |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Total Investments 102.8% (Cost $268,832) |
256,727 | |||||||||
Liabilities in Excess of Other Assets (2.8)% |
(6,930 | ) | ||||||||
NET ASSETS 100.0% |
$ | 249,797 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 2/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
502 | 2
Year U.S. Treasury Note |
June,
2008 |
$ | 107,891 | $ | 781 | ||||||||||||
59 | 5
Year U.S. Treasury Note |
June,
2008 |
6,741 | 68 | ||||||||||||||
164 | 10
Year U.S. Treasury Note |
June,
2008 |
19,234 | 411 | ||||||||||||||
28 | Eurodollar |
June,
2008 |
6,835 | 2 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(30) | 30
Day Federal Funds |
April,
2008 |
(12,210 | ) | (14 | ) | ||||||||||||
(325) | 5
Year U.S. Treasury Note |
June,
2008 |
(37,131 | ) | (595 | ) | ||||||||||||
(47) | 10
Year U.S. Treasury Note |
June,
2008 |
(5,512 | ) | (110 | ) | ||||||||||||
(17) | Eurodollar |
June,
2008 |
(4,150 | ) | (80 | ) | ||||||||||||
(16) | Eurodollar |
September,
2008 |
(3,911 | ) | (64 | ) | ||||||||||||
(5) | Eurodollar |
December,
2008 |
(1,222 | ) | (19 | ) | ||||||||||||
(6) | Eurodollar |
March,
2009 |
(1,466 | ) | (22 | ) | ||||||||||||
(34) | Eurodollar |
June,
2009 |
(8,295 | ) | (18 | ) | ||||||||||||
(6) | Eurodollar |
September,
2009 |
(1,461 | ) | (20 | ) | ||||||||||||
(6) | Eurodollar |
December,
2009 |
(1,457 | ) | (19 | ) | ||||||||||||
$ | 301 |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
$ | 97.75 | 06/16/08 | 108 | $ | (48 | ) | |||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 09/15/08 | 76 | (47 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 12/15/08 | 76 | (63 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
114.50 | 05/23/08 | 49 | (181 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
116.50 | 05/23/08 | 205 | (500 | ) | |||||||||||||
10 Year U.S.
Treasury Note Futures, American Style |
120.00 | 05/23/08 | 49 | (48 | ) | |||||||||||||
(Premiums
received of $579.) |
$ | (887 | ) |
COUNTERPARTY |
|
EXERCISE RATE*(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
4.86% semi-annually |
02/17/09 |
02/19/19 |
$ | 2,096 | $ | (173 | ) | ||||||||||||||
Lehman Brothers
Special Financing |
4.80% semi-annually |
02/23/09 |
02/25/19 |
2,318 | (189 | ) | ||||||||||||||||
Royal Bank of
Scotland |
3.56% semi-annually |
06/16/08 |
06/18/09 |
13,719 | (174 | ) | ||||||||||||||||
(Premiums
received of $434.) |
$ | (536 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
$ | 97.25 | 06/16/08 |
108 | $ | (21 | ) | |||||||||||
10 Year U.S.
Treasury Note Future, American Style |
115.00 | 05/23/08 |
2 | (2 | ) | |||||||||||||
10 Year U.S.
Treasury Note Future, American Style |
115.50 | 05/23/08 |
38 | (48 | ) | |||||||||||||
(Premiums
received of $108.) |
$ | (71 | ) |
COUNTERPARTY |
|
Exercise Rate**(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Lehman Brothers
Special Financing |
3.73%
quarterly |
07/23/08 | 07/25/13 | $ | 9,547 | $ | (131 | ) | ||||||||||||||
Barclays Bank
plc |
3.90%
quarterly |
07/15/08 | 07/17/13 | 6,415 | (66 | ) | ||||||||||||||||
(Premiums
received of $196.) |
$ | (197 | ) |
* |
The Fund would pay/receive a floating rate based on 3-month USD LIBOR, if exercised. |
** |
The Fund would pay a floating rate based on 3-month USD LIBOR, if exercised. |
*** |
European Style |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Barclays Bank
plc |
3
month LIBOR quarterly |
4.21%
semi-annually |
11/29/12 | $ | 4,975 | $ | 246 | |||||||||||||||
Barclays Bank
plc |
4.95%
semi-annually |
3
month LIBOR quarterly |
11/29/37 | 1,410 | (35 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3.50%
semi-annually |
3
month LIBOR quarterly |
08/31/12 | 6,525 | (54 | ) | ||||||||||||||||
$ | 157 |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AES Corp., 8.75%,
06/15/08 |
Goldman Sachs Capital Management |
Sell |
95
BPS quarterly |
06/20/11 | $ | 3,000 | $ | (20 | ) | |||||||||||||||||
Ambac Financial
Group, Inc., 9.38%, 08/01/11 |
Deutsche Bank AG, New York |
Sell |
105
BPS quarterly |
09/20/08 | 3,400 | (96 | ) | |||||||||||||||||||
ArcelorMittal,
9.75%, 04/01/14 |
Morgan Stanley Capital Services |
Sell |
17
BPS quarterly |
06/20/08 | 1,900 | (5 | ) | |||||||||||||||||||
Banca Italease
S.p.A., 4.66%, 10/15/09 |
Deutsche Bank AG, New York |
Sell |
85
BPS quarterly |
06/20/08 | 3,100 | (34 | ) | |||||||||||||||||||
Berskshire
Hathaway, Inc., 9.75%, 01/15/18 |
Deutsche Bank AG, New York |
Sell |
20
BPS quarterly |
03/20/10 | 8,800 | (101 | ) | |||||||||||||||||||
CDX.NA.IG.9 |
Goldman Sachs Capital Management [1] |
Buy |
60
BPS quarterly |
12/20/12 | 16,700 | 733 | ||||||||||||||||||||
Countrywide
Financial Corp., 0.00%, 03/22/11 |
Lehman Brothers Special Financing |
Sell |
500
BPS quarterly |
09/20/08 | 1,600 | (3 | ) | |||||||||||||||||||
FHLMC, 5.08%,
02/07/19 |
Deutsche Bank AG, New York |
Sell |
3 BPS
quarterly |
06/20/08 | 9,600 | (12 | ) | |||||||||||||||||||
Gannett Co.,
Inc., 6.38%, 04/01/12 |
Lehman Brothers Special Financing |
Buy |
63
BPS quarterly |
03/20/14 | 1,350 | 93 |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE | ||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Hess Corp.,
6.65%, 08/15/11 |
Morgan Stanley Capital Services |
Sell |
20
BPS quarterly |
06/20/08 | $ | 2,500 | $ | (2 | ) | |||||||||||||||||
Marsh &
McLennan Co., Inc., 5.38%, 07/15/14 |
Merrill Lynch International |
Buy |
101
BPS quarterly |
09/20/14 | 750 | 3 | ||||||||||||||||||||
Southwest
Airlines, Co., 6.50%, 03/01/12 |
Goldman Sachs Capital Management |
Buy |
69
BPS quarterly |
06/20/14 | 1,100 | 44 | ||||||||||||||||||||
$ | 600 |
[1] |
Premiums received of $25. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Credit Suisse
International (a) |
U.S.
Treasury Note, 4.50%, 02/28/11 |
$ | 105.48 | 03/03/08 | $ | 27,300 | $ | 600 |
(a) |
Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments 108.3% |
|||||||||||
Asset-Backed Securities 3.6% |
|||||||||||
65 | Carmax Auto Owner Trust, Series 2006-2, Class A3, 5.15%, 02/15/11 (m) |
66 | |||||||||
125 | Citibank Credit Card Issuance Trust, Series 2006-C4, Class C4, FRN, 3.44%, 01/09/12 (m) |
117 | |||||||||
250 | Citigroup Mortgage Loan Trust, Inc., Series 2006-WFH2, Class A2A, FRN, 3.29%, 08/25/36 (m) |
224 | |||||||||
69 | Countrywide Asset-Backed Certificates, Series 2003-5, Class MF1, VAR, 5.41%, 01/25/34 (m) |
65 | |||||||||
65 | Lehman XS Trust, Series 2006-12N, Class A1A1, FRN, 3.22%, 08/25/46 (m) |
64 | |||||||||
Option One Mortgage Loan Trust, |
|||||||||||
7 | Series 2003-4, Class A2, FRN, 3.45%, 07/25/33 (m) |
7 | |||||||||
2 | Series 2003-5, Class A2, FRN, 3.45%, 08/25/33 (m) |
2 | |||||||||
Residential Asset Securities Corp., |
|||||||||||
1 | Series 2002-KS4, Class AIIB, FRN, 3.63%, 07/25/32 (m) |
1 | |||||||||
1 | Series 2003-KS5, Class AIIB, FRN, 3.71%, 07/25/33 (m) |
1 | |||||||||
2 | Wachovia Asset Securitization, Inc., Series 2002-HE2, Class A, FRN, 3.57%, 12/25/32 (m) |
2 | |||||||||
Total Asset-Backed Securities (Cost $586) |
549 | ||||||||||
Collateralized Mortgage Obligations 8.4% |
|||||||||||
Agency CMO 1.8% |
|||||||||||
54 | Federal Home Loan Mortgage Corp., REMICS, Series 2931, Class GA , 5.00%, 11/15/28 (m) |
55 | |||||||||
Federal National Mortgage Association, REMICS, |
|||||||||||
33 | Series 2006-43, Class G, 6.50%, 09/25/33 (m) |
34 | |||||||||
38 | Series 2006-59, Class DA, 6.50%, 12/25/33 (m) |
39 | |||||||||
32 | Series 2006-63, Class AB, 6.50%, 10/25/33 (m) |
33 | |||||||||
38 | Series 2006-63, Class AE, 6.50%, 10/25/33 (m) |
39 | |||||||||
38 | Series 2006-78, Class BC, 6.50%, 01/25/34 (m) |
39 | |||||||||
40 | Federal National Mortgage Association Whole Loan, Series 2003-W3, Class 2A5, 5.36%, 06/25/42 (m) |
42 | |||||||||
281 | |||||||||||
Non-Agency CMO 6.6% |
|||||||||||
73 | Citicorp Mortgage Securities, Inc., Series 2003-11, Class 2A1, 5.50%, 12/25/33 (m) |
74 | |||||||||
Countrywide Alternative Loan Trust, |
|||||||||||
50 | Series 2006-12CB, Class A6, 6.00%, 05/25/36 (m) |
49 | |||||||||
60 | Series 2006-23CB, Class 2A1, 6.50%, 08/25/36 (m) |
58 | |||||||||
78 | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB2, Class A2A, SUB, 5.89%, 02/25/37 (m) |
78 | |||||||||
1,194 | CS First Boston Mortgage Securities Corp., Series 1997-2, Class X, IO, VAR, 0.91%, 06/25/20 (e) (m) |
| (h) | ||||||||
1 | DLJ Mortgage Acceptance Corp., Series 1997-D, Class CTFS, HB, VAR, 66.77%, 07/28/27 (e) (i) |
1 | |||||||||
187 | Harborview Mortgage Loan Trust, Series 2006-9, Class 2A1A, FRN, 3.33%, 11/19/36 (m) |
161 | |||||||||
74 | Lehman Mortgage Trust, Series 2005-3, Class 2A3, 5.50%, 01/25/36 (m) |
75 | |||||||||
14 | MASTR Alternative Loans Trust, Series 2004-13, Class 10A1, 8.00%, 01/25/35 (m) |
14 | |||||||||
Residential Accredit Loans, Inc., |
|||||||||||
33 | Series 2006-QS6, Class 1A2, 6.00%, 06/25/36 (m) |
33 | |||||||||
66 | Series 2006-QS11, Class 1A1, 6.50%, 08/25/36 (m) |
67 | |||||||||
79 | Series 2006-QS16, Class A7, 6.00%, 11/25/36 (m) |
77 | |||||||||
51 | Residential Asset Securitization Trust, Series 2006-A2, Class A3, 6.00%, 01/25/46 (m) |
51 | |||||||||
187 | Thornburg Mortgage Securities Trust, Series 2006-6, Class A1, FRN, 3.25%, 12/25/46 (m) |
177 | |||||||||
40 | Washington Mutual Alternative Mortgage Pass-Through Certificates, Series 2006-5, Class 2CB1, 6.00%, 07/25/36 (m) |
41 | |||||||||
46 | Wells Fargo Mortgage Backed Securities Trust, Series 2006-AR3, Class A1, FRN, 5.70%, 03/25/36 (m) |
46 | |||||||||
1,002 | |||||||||||
Total Collateralized Mortgage Obligations (Cost $1,459) |
1,283 | ||||||||||
Commercial Mortgage-Backed Securities 2.5% |
|||||||||||
25 | Bear Stearns Commercial Mortgage Securities, Series 2004-PWR6, Class A4, 4.52%, 11/11/41 (m) (y) |
24 | |||||||||
148 | CS First Boston Mortgage Securities Corp., Series 2001-CK1, Class A3, 6.38%, 12/18/35 (m) |
151 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Commercial Mortgage-Backed Securities Continued |
|||||||||||
45 | Greenwich Capital Commercial Funding Corp., Series 2003-C1, Class A4, 4.11%, 07/05/35 (m) |
42 | |||||||||
60 | LB-UBS Commercial Mortgage Trust, Series 2001-C2, Class A2, 6.65%, 11/15/27 (m) |
62 | |||||||||
94 | Lehman Brothers Floating Rate Commercial Mortgage Trust, Series 2006-LLFA, Class A2, FRN, 3.24%, 09/15/21 (e) (m) |
90 | |||||||||
20 | Morgan Stanley Dean Witter Capital I, Series 2003-HQ2, Class A2, 4.92%, 03/12/35 (m) |
19 | |||||||||
Total Commercial Mortgage-Backed Securities (Cost $391) |
388 | ||||||||||
Corporate Bonds 31.2% |
|||||||||||
Aerospace & Defense 0.1% |
|||||||||||
25 | L-3 Communications Corp., 5.88%, 01/15/15 (m) |
24 | |||||||||
Auto Components 0.2% |
|||||||||||
1 | Goodyear Tire & Rubber Co. (The), 9.00%, 07/01/15 (m) |
1 | |||||||||
20 | Tenneco, Inc., 8.63%, 11/15/14 (m) |
20 | |||||||||
15 | United Components, Inc., 9.38%, 06/15/13 (m) |
14 | |||||||||
35 | |||||||||||
Capital Markets 0.6% |
|||||||||||
35 | Arch Western Finance LLC, 6.75%, 07/01/13 (m) |
34 | |||||||||
60 | Lehman Brothers Holdings Capital Trust V, 5.86%, 05/31/12 (m) (x) |
45 | |||||||||
15 | LVB Acquisition Merger Sub, Inc., PIK, 10.38%, 10/15/17 (e) (m) |
15 | |||||||||
94 | |||||||||||
Chemicals 0.6% |
|||||||||||
15 | Huntsman LLC, 11.50%, 07/15/12 (m) |
16 | |||||||||
20 | Ineos Group Holdings plc (United Kingdom), 8.50%, 02/15/16 (e) (m) |
15 | |||||||||
25 | Nalco Co., 7.75%, 11/15/11 (m) |
25 | |||||||||
30 | PolyOne Corp., 8.88%, 05/01/12 (m) |
30 | |||||||||
86 | |||||||||||
Commercial Banks 6.5% |
|||||||||||
160 | Barclays Bank plc (United Kingdom), 5.93%, 12/15/16 (e) (m) (x) |
146 | |||||||||
10 | Cadets Trust, 4.80%, 07/15/13 (e) (m) |
10 | |||||||||
40 | Credit Agricole S.A. (France), 6.64%, 05/31/17 (e) (m) (x) |
34 | |||||||||
40 | Deutsche Bank AG (Germany), 5.38%, 10/12/12 (m) |
42 | |||||||||
285 | Glitnir Banki HF (Iceland), FRN, 4.33%, 01/21/11 (e) (m) |
248 | |||||||||
100 | ICICI Bank Ltd. (India), FRN, 4.92%, 01/12/10 (e) (m) |
96 | |||||||||
100 | Royal Bank of Scotland Group plc (United Kingdom), 6.99%, 12/31/49 (e) (m) (x) |
96 | |||||||||
100 | Shinsei Finance II (Cayman Islands), 7.16%, 07/25/16 (e) (m) (x) |
75 | |||||||||
250 | VTB Capital S.A. for Vneshtorgbank (Russia), FRN, 3.84%, 08/01/08 (e) (m) |
248 | |||||||||
995 | |||||||||||
Commercial Services & Supplies 0.5% |
|||||||||||
25 | ACCO Brands Corp., 7.63%, 08/15/15 (m) |
22 | |||||||||
25 | Allied Waste North America, Inc., 7.38%, 04/15/14 (m) |
24 | |||||||||
20 | Corrections Corp. of America, 6.25%, 03/15/13 (m) |
20 | |||||||||
25 | Quebecor World Capital Corp. (Canada), 8.75%, 03/15/16 (d) (m) |
12 | |||||||||
78 | |||||||||||
Computers & Peripherals 0.4% |
|||||||||||
55 | Hewlett-Packard Co., 4.50%, 03/01/13 (m) |
56 | |||||||||
Consumer Finance 1.4% |
|||||||||||
Ford Motor Credit Co. LLC, |
|||||||||||
10 | 7.25%, 10/25/11 (m) |
9 | |||||||||
55 | FRN, 5.83%, 01/15/10 (m) |
47 | |||||||||
55 | GMAC LLC, 6.88%, 08/28/12 (m) |
44 | |||||||||
125 | SLM Corp., FRN, 3.47%, 07/27/09 (m) |
112 | |||||||||
212 | |||||||||||
Containers & Packaging 0.3% |
|||||||||||
15 | Crown Americas LLC/Crown Americas Capital Corp., 7.75%, 11/15/15 (m) |
15 | |||||||||
20 | Owens-Brockway Glass Container, Inc., 8.25%, 05/15/13 (m) |
21 | |||||||||
5 | Packaging Dynamics Finance Corp., 10.00%, 05/01/16 (e) (m) |
4 | |||||||||
40 | |||||||||||
Diversified Consumer Services 0.1% |
|||||||||||
15 | Service Corp. International, 7.38%, 10/01/14 (m) |
15 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Diversified Financial Services 2.4% |
|||||||||||
55 | Goldman Sachs Capital II, 5.79%, 06/01/12 (m) (x) |
41 | |||||||||
100 | Kaupthing Bank HF (Iceland), FRN, 4.96%, 01/15/10 (e) (m) |
90 | |||||||||
28 | Mizuho Capital Investment USD1 Ltd. (Cayman Islands), 6.69%, 6/30/16 (e) (m) (x) |
25 | |||||||||
30 | SMFG Preferred Capital USD 1 Ltd. (Cayman Islands), 6.08%, 01/25/17 (e) (m) (x) |
26 | |||||||||
148 | TRAINS, Series HY1-2006, 7.55%, 05/01/16 (e) (m) |
145 | |||||||||
45 | Visant Corp., 7.63%, 10/01/12 (m) |
43 | |||||||||
370 | |||||||||||
Diversified Telecommunication Services 0.9% |
|||||||||||
50 | AT&T, Inc., 6.50%, 09/01/37 (m) |
51 | |||||||||
10 | Citizens Communications Co., 6.25%, 01/15/13 (m) |
9 | |||||||||
29 | Consolidated Communications Illinois/Texas Holdings, Inc., 9.75%, 04/01/12 (m) |
30 | |||||||||
10 | Qwest Communications International, Inc., FRN, 6.56%, 02/15/09 (m) |
10 | |||||||||
Qwest Corp., |
|||||||||||
5 | 7.50%, 10/01/14 (m) |
5 | |||||||||
10 | 8.88%, 03/15/12 (m) |
10 | |||||||||
20 | Wind Acquisition Finance S.A. (Luxembourg), 10.75%, 12/01/15 (e) |
20 | |||||||||
135 | |||||||||||
Electric Utilities 1.5% |
|||||||||||
100 | Abu Dhabi National Energy Co. (United Arab Emirates), 5.62%, 10/25/12 (e) (m) |
102 | |||||||||
125 | Ohio Power Co., FRN, 4.83%, 04/05/10 (m) |
122 | |||||||||
224 | |||||||||||
Energy Equipment & Services 0.1% |
|||||||||||
15 | Transocean, Inc. (Cayman Islands), 6.80%, 03/15/38 (m) |
16 | |||||||||
Food & Staples Retailing 1.4% |
|||||||||||
100 | CVS/Caremark Corp., FRN, 5.44%, 06/01/10 (m) |
97 | |||||||||
44 | CVS Pass-Through Trust, 6.04%, 12/10/28 (e) (m) |
42 | |||||||||
25 | Kroger Co. (The), 6.40%, 08/15/17 (m) |
27 | |||||||||
25 | Safeway, Inc., 6.35%, 08/15/17 (m) |
26 | |||||||||
15 | Wal-Mart Stores, Inc., 6.50%, 08/15/37 (m) |
16 | |||||||||
208 | |||||||||||
Health Care Providers & Services 0.8% |
|||||||||||
15 | Community Health Systems, Inc., 8.88%, 07/15/15 (m) |
15 | |||||||||
HCA, Inc., |
|||||||||||
35 | 9.25%, 11/15/16 (m) |
36 | |||||||||
40 | PIK, 9.63%, 11/15/16 (m) |
41 | |||||||||
30 | Tenet Healthcare Corp., 9.25%, 02/01/15 (m) |
27 | |||||||||
119 | |||||||||||
Hotels, Restaurants & Leisure 0.5% |
|||||||||||
15 | McDonalds Corp., 6.30%, 10/15/37 (m) |
15 | |||||||||
MGM Mirage, Inc., |
|||||||||||
5 | 5.88%, 02/27/14 (m) |
4 | |||||||||
25 | 6.75%, 04/01/13 (m) |
24 | |||||||||
15 | 6.88%, 04/01/16 (m) |
14 | |||||||||
20 | Vail Resorts, Inc., 6.75%, 02/15/14 (m) |
19 | |||||||||
76 | |||||||||||
Household Durables 0.6% |
|||||||||||
25 | ALH Finance LLC/ALH Finance Corp., 8.50%, 01/15/13 (m) |
22 | |||||||||
20 | Ames True Temper, FRN, 8.26%, 01/15/12 (m) |
16 | |||||||||
Beazer Homes USA, Inc., |
|||||||||||
10 | 6.50%, 11/15/13 (m) |
7 | |||||||||
10 | 6.88%, 07/15/15 (m) |
7 | |||||||||
10 | DR Horton, Inc., 5.63%, 09/15/14 (m) |
8 | |||||||||
15 | Jarden Corp., 7.50%, 05/01/17 (m) |
13 | |||||||||
25 | Sealy Mattress Co., 8.25%, 06/15/14 (m) |
23 | |||||||||
96 | |||||||||||
Household Products 0.0% (g) |
|||||||||||
10 | Spectrum Brands, Inc., 7.38%, 02/01/15 (m) |
7 | |||||||||
Independent Power Producers & Energy Traders 0.3% |
|||||||||||
AES Corp. (The), |
|||||||||||
2 | 8.75%, 05/15/13 (e) (m) |
2 | |||||||||
15 | 8.88%, 02/15/11 (m) |
16 | |||||||||
27 | NRG Energy, Inc., 7.38%, 02/01/16 (m) |
26 | |||||||||
44 | |||||||||||
Insurance 2.1% |
|||||||||||
36 | Liberty Mutual Group, Inc., 7.50%, 08/15/36 (e) (m) |
35 | |||||||||
45 | Lincoln National Corp., VAR, 7.00%, 05/17/66 (m) |
44 | |||||||||
30 | Nationwide Financial Services, 6.75%, 05/15/67 (m) |
25 | |||||||||
40 | Reinsurance Group of America, Inc., VAR, 6.75%, 12/15/65 (m) |
35 | |||||||||
100 | Swiss RE Capital I LP (United Kingdom), VAR, 6.85%, 12/31/49 (e) (m) (x) |
94 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Insurance Continued |
|||||||||||
25 | Travelers Cos, Inc., (The) VAR, 6.25%, 03/15/37 (m) |
23 | |||||||||
80 | XL Capital Ltd. (Cayman Islands), 6.50%, 04/15/17 (m) (x) |
60 | |||||||||
316 | |||||||||||
Internet & Catalog Retail 0.1% |
|||||||||||
20 | Brookstone Co., Inc., 12.00%, 10/15/12 (m) |
19 | |||||||||
IT Services 0.2% |
|||||||||||
35 | Iron Mountain, Inc., 7.75%, 01/15/15 (m) |
35 | |||||||||
Leisure Equipment & Products 0.1% |
|||||||||||
15 | Steinway Musical Instruments, Inc., 7.00%, 03/01/14 (e) (m) |
13 | |||||||||
Media 1.9% |
|||||||||||
5 | Cablevision Systems Corp., 8.00%, 04/15/12 (m) |
5 | |||||||||
65 | Charter Communications Operating LLC/Charter Communications Operating Capital, 8.00%, 04/30/12 (e) (m) |
60 | |||||||||
60 | Comcast Corp., 6.95%, 08/15/37 (m) |
61 | |||||||||
50 | DirecTV Holdings LLC/DirecTV Financing Co., 6.38%, 06/15/15 (m) |
46 | |||||||||
Echostar DBS Corp., |
|||||||||||
5 | 6.63%, 10/01/14 (m) |
5 | |||||||||
40 | 7.13%, 02/01/16 (m) |
39 | |||||||||
10 | TCI Communications, Inc., 7.88%, 02/15/26 (m) |
11 | |||||||||
15 | Time Warner Cable, Inc., 6.55%, 05/01/37 (m) |
14 | |||||||||
30 | Videotron Ltee (Canada), 6.88%, 01/15/14 (m) |
29 | |||||||||
20 | WMG Acquisition Corp., 7.38%, 04/15/14 (m) |
16 | |||||||||
286 | |||||||||||
Multi-Utilities 0.7% |
|||||||||||
50 | Dominion Resources, Inc., 6.30%, 03/15/33 (m) |
50 | |||||||||
55 | MidAmerican Energy Holdings Co., 6.50%, 09/15/37 (m) |
57 | |||||||||
107 | |||||||||||
Oil, Gas & Consumable Fuels 3.3% |
|||||||||||
120 | ABN Amro Bank/Deutschland for OAO Gazprom (Russia), 9.63%, 03/01/13 (e) |
137 | |||||||||
25 | Canadian Natural Resources Ltd. (Canada), 6.25%, 03/15/38 (m) |
24 | |||||||||
40 | Chesapeake Energy Corp., 7.00%, 08/15/14 (m) |
40 | |||||||||
25 | Denbury Resources, Inc., 7.50%, 04/01/13 (m) |
25 | |||||||||
34 | Gaz Capital for Gazprom (Russia), 8.63%, 04/28/34 |
40 | |||||||||
56 | Gazprom International S.A. (Russia), 7.20%, 02/01/20 |
57 | |||||||||
25 | Kinder Morgan Energy Partners LP, 6.50%, 02/01/37 (m) |
24 | |||||||||
15 | Newfield Exploration Co., 6.63%, 04/15/16 (m) |
15 | |||||||||
30 | Nexen, Inc. (Canada), 6.40%, 05/15/37 (m) |
29 | |||||||||
40 | ONEOK Partners LP, 5.90%, 04/01/12 (m) |
42 | |||||||||
75 | Valero Energy Corp., 6.63%, 06/15/37 (m) |
74 | |||||||||
507 | |||||||||||
Paper & Forest Products 0.5% |
|||||||||||
75 | Georgia-Pacific LLC, 9.50%, 12/01/11 (m) |
76 | |||||||||
Real Estate Investment Trusts (REITs) 0.5% |
|||||||||||
20 | Host Hotels & Resorts LP, 6.75%, 06/01/16 (m) |
19 | |||||||||
60 | WEA Finance LLC/WEA Finance LLC (Australia), 5.70%, 10/01/16 (e) (m) |
56 | |||||||||
75 | |||||||||||
Road & Rail 0.3% |
|||||||||||
20 | Hertz Corp., (The), 8.88%, 01/01/14 (m) |
19 | |||||||||
27 | United Rentals North America, Inc., 6.50%, 02/15/12 (m) |
24 | |||||||||
43 | |||||||||||
Specialty Retail 0.2% |
|||||||||||
40 | Home Depot, Inc., 5.88%, 12/16/36 (m) |
33 | |||||||||
Thrifts & Mortgage Finance 1.1% |
|||||||||||
100 | CAM US Finance S.A. Sociedad Unipersonal (Spain), FRN, 3.39%, 02/01/10 (e) (m) |
96 | |||||||||
25 | Countrywide Financial Corp., 5.80%, 06/07/12 (m) |
23 | |||||||||
50 | Washington Mutual, Inc., FRN, 3.23%, 08/24/09 (m) |
46 | |||||||||
165 | |||||||||||
Wireless Telecommunication Services 1.0% |
|||||||||||
100 | America Movil S.A.B. de C.V. (Mexico), FRN, 4.96%, 06/27/08 (m) |
99 | |||||||||
15 | Intelsat Jackson Holdings Ltd. (Bermuda), 9.25%, 06/15/16 (m) |
15 | |||||||||
50 | Sprint Nextel Corp., 6.00%, 12/01/16 (m) |
37 | |||||||||
151 | |||||||||||
Total Corporate Bonds (Cost $5,202) |
4,756 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Foreign Government Securities 14.5% |
|||||||||||
Argentina 1.0% |
|||||||||||
180 | Republic of Argentina, 7.00%, 10/03/15 (m) |
147 | |||||||||
Barbados 0.1% |
|||||||||||
11 | Government of Barbados, 7.25%, 12/15/21 |
12 | |||||||||
Brazil 0.8% |
|||||||||||
75 | Federal Republic of Brazil, 12.25%, 03/06/30 (i) |
125 | |||||||||
Colombia 1.0% |
|||||||||||
Republic of Colombia, |
|||||||||||
65 | 8.25%, 12/22/14 |
75 | |||||||||
20 | 10.38%, 01/28/33 |
29 | |||||||||
40 | 10.75%, 01/15/13 |
49 | |||||||||
153 | |||||||||||
Dominican Republic 2.5% |
|||||||||||
250 | Citigroup Funding, Inc., 15.00%, 03/12/12 (linked to Dominican Republic Government Bond, 15.00%, 03/09/12) (e) (i) |
228 | |||||||||
Government of Dominican Republic, |
|||||||||||
101 | 9.04%, 01/23/18 (e) |
110 | |||||||||
34 | 9.50%, 09/27/11 |
36 | |||||||||
374 | |||||||||||
Egypt 0.6% |
|||||||||||
EGP 500 | Credit Suisse First Boston, 0.00%, 05/06/08 (linked to Egypt Treasury Bill, 0.00%, 05/06/08) (e) (i) |
90 | |||||||||
Ghana 2.1% |
|||||||||||
320 | Barclays Bank plc, 0.00%, 04/07/10 (linked to Government of Ghana, 0.00%, 04/07/10) (e) (i) |
315 | |||||||||
Indonesia 0.8% |
|||||||||||
119 | Republic of Indonesia, 7.25%, 04/20/15 |
126 | |||||||||
Mexico 1.9% |
|||||||||||
United Mexican States, |
|||||||||||
40 | 7.50%, 01/14/12 |
45 | |||||||||
25 | 8.00%, 09/24/22 |
31 | |||||||||
35 | 8.30%, 08/15/31 |
45 | |||||||||
MXN 1,000 | 9.50%, 12/18/14 |
105 | |||||||||
60 | FRN, 5.08%, 01/13/09 (m) |
60 | |||||||||
286 | |||||||||||
Peru 0.7% |
|||||||||||
100 | IIRSA Norte Finance Ltd., 8.75%, 05/30/24 |
112 | |||||||||
Philippines 0.3% |
|||||||||||
40 | Bangko Sentral Pilipinas, 8.60%, 06/15/27 |
47 | |||||||||
Russia 0.9% |
|||||||||||
Russian Federation, |
|||||||||||
66 | 8.25%, 03/31/10 |
69 | |||||||||
50 | 11.00%, 07/24/18 |
72 | |||||||||
141 | |||||||||||
Trinidad & Tobago 0.4% |
|||||||||||
50 | Republic of Trinidad & Tobago, 9.75%, 07/01/20 |
67 | |||||||||
Turkey 0.6% |
|||||||||||
TRY 120 | Credit Suisse, Nassau Branch, 14.00%, 01/19/11 (linked to Republic of Turkey Government Bond, 14.00%, 01/19/11) (e) (i) |
92 | |||||||||
Venezuela 0.8% |
|||||||||||
125 | Republic of Venezuela, 9.38%, 01/13/34 |
123 | |||||||||
Total Foreign Government Securities (Cost $2,091) |
2,210 | ||||||||||
Mortgage Pass-Through Securities 33.3% |
|||||||||||
Federal Home Loan Mortgage Corp., Gold Pools, |
|||||||||||
15 | ARM, 5.42%, 06/01/37 (m) |
15 | |||||||||
29 | ARM, 5.46%, 07/01/37 (m) |
30 | |||||||||
21 | ARM, 5.58%, 06/01/37 (m) |
22 | |||||||||
15 Year, Single Family, |
|||||||||||
8 | 6.00%, 05/01/17 (m) |
9 | |||||||||
30 Year, Single Family, |
|||||||||||
27 | 6.00%, 01/01/35 (m) |
28 | |||||||||
100 | 6.00%, 03/15/38 |
102 | |||||||||
695 | TBA, 5.00%, 03/15/37 |
684 | |||||||||
600 | TBA, 5.50%, 03/15/37 |
603 | |||||||||
Federal National Mortgage Association, 15 Year, Single Family, |
|||||||||||
450 | TBA, 4.50%, 03/25/22 |
450 | |||||||||
30 Year, Single Family, |
|||||||||||
565 | 6.00%, 03/01/33 01/01/35 (m) |
579 | |||||||||
1,669 | 6.50%, 01/01/35 03/25/38 (m) |
1,730 | |||||||||
100 | TBA, 5.00%, 04/25/37 |
98 | |||||||||
115 | TBA, 6.50%, 04/25/38 |
119 | |||||||||
Government National Mortgage Association, 30 Year, Single Family, |
|||||||||||
390 | TBA, 6.00%, 03/15/37 |
403 | |||||||||
210 | TBA, 6.50%, 03/15/37 |
219 | |||||||||
Total Mortgage Pass-Through Securities (Cost $5,105) |
5,091 |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE | |||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Long-Term Investments Continued |
|||||||||||
Private Placement 7.8% |
|||||||||||
1,108 | 270 5th Ave., Secured by First Mortgage and Agreement on Co-op Apartment Building in Brooklyn, New York, 6.93%, 08/01/18 (f) (i) (Cost
$1,108) |
1,197 | |||||||||
U.S. Treasury Obligations 7.0% |
|||||||||||
U.S. Treasury Bonds, |
|||||||||||
3 | 4.75%, 02/15/37 (m) |
3 | |||||||||
5 | 5.00%, 05/15/37 (m) |
5 | |||||||||
125 | 5.50%, 08/15/28 (k) (m) |
144 | |||||||||
U.S. Treasury Notes, |
|||||||||||
75 | 3.63%, 10/31/09 (m) |
77 | |||||||||
100 | 3.88%, 10/31/12 (m) |
106 | |||||||||
40 | 4.13%, 08/15/10 (m) |
42 | |||||||||
50 | 4.25%, 09/30/12 (k) (m) |
54 | |||||||||
5 | 4.25%, 11/15/17 (m) |
5 | |||||||||
15 | 4.50%, 05/15/10 (m) |
16 | |||||||||
10 | 4.50%, 11/30/11 (m) |
11 | |||||||||
150 | 4.63%, 07/31/09 (m) |
156 | |||||||||
260 | 4.75%, 08/15/17 (m) |
285 | |||||||||
10 | 5.13%, 06/30/08 (m) |
10 | |||||||||
140 | 5.13%, 06/30/11 (m) |
154 | |||||||||
Total U.S. Treasury Obligations (Cost $999) |
1,068 |
NUMBER OF WARRANTS |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Warrant 0.0% (g) |
||||||||||
| (h) | Startec Global Communications Corp., expires 05/15/08 (a) (e) (m) (Cost $(h)) |
| (h) | ||||||
Total Long-Term Investments (Cost $16,941) |
16,542 |
NUMBER OF CONTRACTS |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Options Purchased 1.1% |
||||||||||
Call Options Purchased 0.5% |
||||||||||
5 | 90 Day Eurodollar Futures, Expiring 03/17/08 @ $95.75, American Style |
18 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
11 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 09/15/08 @ $97.50, American Style |
17 | ||||||||
14 | 90 Day Eurodollar Futures, Expiring 12/15/08 @ $97.50, American Style |
21 | ||||||||
2 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $112.50, American Style |
4 | ||||||||
Total Call Options Purchased |
71 |
NUMBER OF CONTRACTS |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
Put Options Purchased 0.6% |
||||||||||
14 | 90 Day Eurodollar Futures, Expiring 06/16/08 @ $97.50, American Style |
6 | ||||||||
1 | 5
Year U.S. Treasury Note Futures, Expiring 03/20/08 @ $111.50, American Style |
| (h) | |||||||
2 | 20 Year U.S. Treasury Bond Futures, Expiring 03/20/08 @ $115.00, American Style |
1 |
NOTIONAL AMOUNT |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Payer Options Purchased on Interest Rate Swaps: |
||||||||||
778 | Expiring 07/15/08. If exercised the Fund pays semi-annually 4.99% and receives quarterly floating 3 month LIBOR expiring 07/17/38 , European
Style. Counterparty: Barclays Bank plc (r) |
29 | ||||||||
1,205 | Expiring 07/23/08. If exercised the Fund pays semi-annually 5.03% and receives quarterly floating 3 month LIBOR expiring 07/25/38 , European
Style. Counterparty: Lehman Brothers Special Financing (r) |
53 | ||||||||
Total Put Options Purchased |
89 | |||||||||
Total Options Purchased (Cost $117) |
160 |
PRINCIPAL AMOUNT |
|
|
|
|
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Short-Term Investments 19.0% |
|||||||||||
Commercial Paper 9.8% (n) |
|||||||||||
500 | Alpine Securitization Corp. 3.29%, 03/19/08 (m) |
499 | |||||||||
500 | Cancara Asset Securitisation LLC, 3.26%, 03/17/08 (e) (m) |
499 | |||||||||
500 | CRC Funding LLC, 3.26%, 04/09/08 (e) (m) |
498 | |||||||||
Total Commercial Paper (Cost $1,496) |
1,496 |
SHARES |
|
|
|
|
||||||
---|---|---|---|---|---|---|---|---|---|---|
Investment Company 9.2% |
||||||||||
1,412 | JPMorgan Prime Money Market Fund, Institutional Class (b) (m) (Cost $1,412) |
1,412 | ||||||||
Total Short-Term Investments (Cost $2,908) |
2,908 | |||||||||
Total Investments 128.4% (Cost $19,966) |
19,610 | |||||||||
Liabilities in Excess of Other Assets (28.4)% |
(4,336 | ) | ||||||||
NET ASSETS 100.0% |
$ | 15,274 |
NUMBER OF CONTRACTS |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
NOTIONAL VALUE AT 02/29/08 |
|
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Long Futures Outstanding |
||||||||||||||||||
1 | 10
Year Australia Bond |
March,
2008 |
87 | | (h) | |||||||||||||
3 | 10
Year Swap |
March,
2008 |
343 | 18 | ||||||||||||||
1 | Euro-Bobl |
March,
2008 |
169 | 4 | ||||||||||||||
2 | Euro-Bund |
March,
2008 |
355 | 3 | ||||||||||||||
5 | 2
Year U.S. Treasury Note |
June,
2008 |
1,075 | 8 | ||||||||||||||
21 | 5
Year U.S. Treasury Note |
June,
2008 |
2,399 | 24 | ||||||||||||||
4 | 10
Year U.S. Treasury Note |
June,
2008 |
469 | 9 | ||||||||||||||
5 | Eurodollar |
June,
2008 |
1,221 | 14 | ||||||||||||||
3 | U.S
Long Bond |
June,
2008 |
356 | 9 | ||||||||||||||
6 | 3
Month EURIBOR |
December,
2008 |
2,198 | 1 | ||||||||||||||
Short Futures Outstanding |
||||||||||||||||||
(3) | 3
Year Australia Bond |
March,
2008 |
(261 | ) | | (h) | ||||||||||||
(5) | Eurodollar |
March,
2008 |
(1,215 | ) | (4 | ) | ||||||||||||
(10) | 30
Day Federal Funds |
April,
2008 |
(4,070 | ) | (5 | ) | ||||||||||||
(9) | 5
Year U.S. Treasury Note |
June,
2008 |
(1,028 | ) | (18 | ) | ||||||||||||
(8) | 10
Year U.S. Treasury Note |
June,
2008 |
(938 | ) | (20 | ) | ||||||||||||
(5) | Eurodollar |
June,
2009 |
(1,220 | ) | (4 | ) | ||||||||||||
39 |
CONTRACTS TO SELL |
|
|
SETTLEMENT DATE |
|
SETTLEMENT VALUE |
|
VALUE AT 02/29/08 |
|
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
50,000 |
EUR |
3/31/2008 | 73 | (76 | ) | (4 | ) |
PRINCIPAL AMOUNT |
|
SECURITY DESCRIPTION |
|
VALUE |
||||||
---|---|---|---|---|---|---|---|---|---|---|
(100) | FNMA,
30 Year, Single Family, TBA, 5.00%, 03/25/38 |
(98 | ) | |||||||
(Proceeds received of $100.) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.75 | 06/16/08 | 38 | (17 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 06/16/08 | 28 | (17 | ) | |||||||||||||
90 Day
Eurodollar Futures, American Style |
98.00 | 12/15/08 | 28 | (23 | ) | |||||||||||||
5 Year U.S.
Treasury Note Futures, American Style |
113.50 | 09/15/08 | 2 | (3 | ) | |||||||||||||
(Premiums
received of $44.) |
(60 | ) |
DESCRIPTION |
|
EXERCISE PRICE |
|
EXPIRATION DATE |
|
NUMBER OF CONTRACTS |
|
VALUE |
||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
90 Day
Eurodollar Futures, American Style |
97.25 | 06/16/08 | 38 | (7 | ) | |||||||||||||
5 Year U.S.
Treasury Note Futures, American Style |
110.00 | 03/20/08 | 1 | | (h) | |||||||||||||
20 Year U.S.
Treasury Bond Futures, American Style |
112.00 | 03/20/08 | 2 | | (h) | |||||||||||||
(Premiums
received of $12.) |
(7 | ) |
COUNTERPARTY |
|
EXERCISE RATE*(r) |
|
OPTION EXPIRATION DATE |
|
SWAP EXPIRATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Barclays Bank
plc |
3.90%
semi-annually |
07/15/08 |
07/17/13 |
2,130 |
(22) |
|||||||||||||||||
Lehman Brothers
Special Financing |
3.73%
semi-annually |
07/23/08 |
07/25/13 |
3,192 |
(44) |
|||||||||||||||||
(Premiums
received of $65.) |
(66) |
* |
The Fund would pay a floating rate based on 3 month USD LIBOR, if exercised. |
** |
European Style |
RATE TYPE (r) |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
SWAP COUNTERPARTY |
|
PAYMENTS MADE BY THE FUND |
|
PAYMENTS RECEIVED BY THE FUND |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||
Bank of
America |
5.55%
semi-annually |
3
month LIBOR quarterly |
06/14/12 | 920 | (87 | ) | ||||||||||||||||
Barclays Bank
plc |
3
month LIBOR quarterly |
4.21% semi-annually |
11/29/12 | 1,710 | 85 | |||||||||||||||||
Barclays Bank
plc |
4.44%
semi-annually |
3
month LIBOR quarterly |
05/18/16 | 335 | (10 | ) | ||||||||||||||||
Barclays Bank
plc |
4.95%
semi-annually |
3
month LIBOR quarterly |
11/29/37 | 485 | (12 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3.50%
semi-annually |
3
month LIBOR quarterly |
08/31/12 | 2,390 | (20 | ) | ||||||||||||||||
Deutsche Bank AG,
New York |
3
month LIBOR quarterly |
3.57% semi-annually |
04/30/13 | 305 | 2 | |||||||||||||||||
Deutsche Bank AG,
New York |
4.25%
semi-annually |
3
month LIBOR quarterly |
04/30/18 | 167 | | (h) | ||||||||||||||||
Goldman Sachs
Capital Management |
4.92%
semi-annually |
3
month LIBOR quarterly |
05/18/16 | 590 | (45 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
3
month LIBOR quarterly |
3.69% semi-annually |
08/31/12 | 776 | 12 | |||||||||||||||||
Lehman Brothers
Special Financing |
3
month LIBOR quarterly |
4.20% semi-annually |
12/05/13 | 390 | 8 | |||||||||||||||||
Lehman Brothers
Special Financing |
4.19%
semi-annually |
3
month LIBOR quarterly |
02/15/15 | 343 | (6 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.38%
semi-annually |
3
month LIBOR quarterly |
08/15/16 | 112 | (2 | ) | ||||||||||||||||
Lehman Brothers
Special Financing |
4.65%
semi-annually |
3
month LIBOR quarterly |
12/05/18 | 220 | (3 | ) | ||||||||||||||||
(78 | ) |
REFERENCED OBLIGATION |
|
SWAP COUNTERPARTY |
|
BUY/SELL PROTECTION |
|
FUND PAYS/RECEIVES FIXED RATE (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
CDX.EM.8 |
Bear
Stearns Credit Products (y) [1] |
Buy |
175
BPS semi-annually |
12/20/12 | 600 | 16 | ||||||||||||||||||||
CDX.EM.8 |
Citibank, N.A. [2] |
Buy |
175
BPS semi-annually |
12/20/12 | 120 | 3 | ||||||||||||||||||||
CDX.EM.8 |
Deutsche Bank AG, New York [3] |
Buy |
175
BPS semi-annually |
12/20/12 | 80 | 2 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [4] |
Buy |
175
BPS semi-annually |
12/20/12 | 100 | 3 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [5] |
Buy |
175
BPS semi-annually |
12/20/12 | 120 | 3 | ||||||||||||||||||||
CDX.EM.8 |
Lehman Brothers Special Financing [6] |
Buy |
175
BPS semi-annually |
12/20/12 | 60 | 2 | ||||||||||||||||||||
CDX.EM.8 |
Merrill Lynch International [7] |
Buy |
175
BPS semi-annually |
12/20/12 | 110 | 3 | ||||||||||||||||||||
CDX.EM.8 |
Union
Bank of Switzerland AG [8] |
Buy |
175
BPS semi-annually |
12/20/12 | 10 | | (h) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman Brothers Special Financing [9] |
Sell |
375
BPS quarterly |
12/20/12 | 120 | (15 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman Brothers Special Financing [10] |
Sell |
375
BPS quarterly |
12/20/12 | 60 | (7 | ) | |||||||||||||||||||
CDX.NA.HY.9 |
Lehman Brothers Special Financing [11] |
Sell |
375
BPS quarterly |
12/20/12 | 100 | (11 | ) | |||||||||||||||||||
Countrywide
Financial Corp., 0.00%, 03/22/11 |
Goldman Sachs Capital Management |
Sell |
400
BPS quarterly |
09/20/08 | 200 | (2 | ) | |||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
341
BPS semi-annually |
07/20/17 | 120 | 17 | ||||||||||||||||||||
Government of
Jamaica, 11.63%, 01/15/22 |
Bear
Stearns Credit Products (y) |
Buy |
397
BPS semi-annually |
08/20/17 | 30 | 3 | ||||||||||||||||||||
Kazkommertzbank
International BV, 6.25%, 06/30/35 |
Morgan Stanley Capital Services |
Sell |
64
BPS semi-annually |
05/20/12 | 50 | (4 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Sell |
175
BPS semi-annually |
08/20/08 | 300 | (5 | ) | |||||||||||||||||||
Kazkommertzbank
International BV, 7.88%, 04/07/14 |
Morgan Stanley Capital Services |
Buy |
300
BPS semi-annually |
08/20/12 | 60 | 8 | ||||||||||||||||||||
Petroleos De
Venezuela S.A., 5.25%, 04/12/17 |
Union
Bank of Switzerland AG |
Sell |
398
BPS semi-annually |
10/20/12 | 100 | (7 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Lehman Brothers Special Financing |
Sell |
265
BPS semi- annually |
05/20/12 | 75 | (8 | ) | |||||||||||||||||||
Petroleos De
Venezuela S.A., 5.50%, 04/12/37 |
Barclays Bank plc |
Sell |
397
BPS semi-annually |
10/20/12 | 170 | (12 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
341
BPS semi-annually |
07/20/17 | 120 | (19 | ) | |||||||||||||||||||
Republic of
Argentina, 8.28%, 12/31/33 |
Bear
Stearns Credit Products (y) |
Sell |
407
BPS semi-annually |
08/20/17 | 30 | (4 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Barclays Bank plc |
Sell |
53
BPS semi-annually |
08/20/12 | 130 | (10 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Barclays Bank plc |
Sell |
68
BPS semi-annually |
08/20/12 | 150 | (11 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Credit Suisse International |
Sell |
53
BPS semi-annually |
08/20/12 | 210 | (17 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
65.5
BPS semi-annually |
08/20/12 | 310 | (23 | ) | |||||||||||||||||||
Republic of
Kazakhstan, 11.13%, 05/11/07 |
Deutsche Bank AG, New York |
Sell |
71
BPS semi-annually |
08/20/12 | 150 | (11 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
145
BPS semi-annually |
07/20/12 | 70 | 2 | ||||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Deutsche Bank AG, New York |
Buy |
239
BPS semi-annually |
08/20/12 | 150 | (2 | ) | |||||||||||||||||||
Republic of
Turkey, 11.88%, 01/15/30 |
Morgan Stanley Capital Services |
Buy |
194
BPS semi-annually |
08/20/12 | 120 | 1 | ||||||||||||||||||||
(105 | ) |
[1] |
Premiums paid of $5. |
[2] |
Premiums received of $1. |
[3] |
Premiums paid of $1. |
[4] |
Premiums paid of $2. |
[5] |
Premiums paid of $3. |
[6] |
Premiums paid of $1. |
[7] |
Premiums paid of $1. |
[8] |
Premiums received of $5. |
[9] |
Premiums received of $12. |
[10] |
Premiums received of $5. |
[11] |
Premiums received of $8. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PRICE LOCK |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
|
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bank of America
(b) |
BA
Covered Bond Issuer, 5.50%, 06/14/12 |
106.55 | 03/12/08 | 920 | 6 | |||||||||||||||||||||
Barclays Bank plc
(b) |
FHLB,
5.38%, 05/18/16 |
106.07 | 03/13/08 | 330 | 11 | |||||||||||||||||||||
BNP Paribas
(a) |
U.S.
Treasury Inflation Indexed Note, 4.75%, 08/15/17 |
106.76 | 03/27/08 | 110 | (3 | ) | ||||||||||||||||||||
BNP Paribas
(b) |
U.S.
Treasury Inflation Indexed Note, 2.63%, 07/15/17 |
110.43 | 03/27/08 | 100 | 4 | |||||||||||||||||||||
Credit Suisse
International (b) |
FHLB,
5.38%, 05/18/16 |
106.80 | 03/13/08 | 580 | 15 | |||||||||||||||||||||
Deutsche Bank AG,
New York (b) |
FHLMC
Gold, 30 Year, TBA, 5.00% |
100.00 | 04/07/08 | 735 | 3 | |||||||||||||||||||||
Deutsche Bank AG,
New York (b) |
FNMA,
30 Year, TBA, 5.00% |
100.00 | 03/05/08 | 325 | (5 | ) | ||||||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA,
15 Year, TBA, 5.00% |
101.13 | 03/11/08 | 300 | | (h) | ||||||||||||||||||||
Union Bank of
Switzerland AG (b) |
FNMA,
15 Year, TBA, 6.00% |
103.25 | 03/11/08 | 815 | | (h) | ||||||||||||||||||||
31 |
(a) |
Fund pays the excess of the market price over the price lock or receives the excess of the price lock over the market price. |
(b) |
Fund pays the excess of the price lock over the market price or receives the excess of the market price over the price lock. |
SWAP COUNTERPARTY |
|
REFERENCED OBLIGATION |
|
PAYMENTS MADE BY THE FUND (r) |
|
PAYMENTS RECEIVED BY THE FUND (r) |
|
TERMINATION DATE |
|
NOTIONAL AMOUNT |
|
VALUE |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Morgan
Stanley Capital Services |
TransCredit Bank, 7.30%, 02/26/09 |
3
month LIBOR + 20 BPS quarterly |
Total
Return on TransCredit Bank, 7.30%, 02/26/09 quarterly |
02/26/09 |
RUB
5,200 |
8 | ||||||||||||||||||||
Morgan
Stanley Capital Services |
OGK/Rushydros 12/13/13 |
3
month LIBOR + 20 BPS quarterly |
Total
Return on OGK/ Rushydros 12/13/13 quarterly |
12/25/10 |
RUB
15,030 |
19 | ||||||||||||||||||||
27 |
(a) |
Non-income producing security. |
(b) |
Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
(d) |
Defaulted Security. |
(e) |
Security is exempt from registration under Rule 144A of the Investment Company Act of 1933. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(f) |
Fair Valued Investment. The following are approximately the market value and percentage of the investments based on total investments that are fair valued (amounts in thousands): |
|
Market Value |
|
Percentage |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 24,118 | 1.2 | % | ||||||
Enhanced Income
Fund |
1,200 | 1.1 | ||||||||
Short Term Bond
Fund |
19,203 | 1.8 | ||||||||
Short Term Bond
Fund II |
4,247 | 1.7 | ||||||||
Strategic
Income Fund |
1,197 | 6.1 |
(g) |
Amount rounds to less than 0.1%. |
(h) |
Amount rounds to less than one thousand (shares or dollars). |
(i) |
Security has been deemed illiquid pursuant to procedures established by the Board of Trustees and may be difficult to sell. |
(k) |
Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
(m) |
All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements. |
(n) |
The rate shown is the effective yield at the date of purchase. |
(r) |
Rates shown are per annum and payments are as described. |
(s) |
These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the markets assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions. |
(v) |
As a result of the issuer missing its most recent coupon payment, the Fund no longer accrues interest from this security. The issuer has until the securitys maturity date to make any missed payments. |
(x) |
Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust thereafter. The date shown reflects the next call date. The coupon rate shown is the rate in effect as of February 29, 2008. |
(y) |
Subsequent to February 29, 2008, The Bear Stearns Companies Inc. and its affiliates became affiliated with JPMorgan Chase & Co. (See Note 9) |
ADR |
American Depositary Receipt |
ARM |
Adjustable Rate Mortgage |
ARS |
Argentine Peso |
AUD |
Australian Dollar |
AUD-BBR-BBSW |
Australia Bill Bank Rate |
BPS |
Basis Points |
BRL |
Brazilian Real |
BUBOR |
Budapest Interbank Offered Rate |
CAD |
Canadian Dollar |
CAD-BA-CDOR |
Canadian Bank Bill Overnight Rate |
CHF |
Swiss Franc |
CMO |
Collateralized Mortgage Obligation |
COP |
Colombian Peso |
CZK |
Czech Republic Koruna |
EGP |
Egyptian Pound |
EUR |
Euro |
EURIBOR |
Euro Interbank Offered Rate |
FHLB |
Federal Home Loan Bank |
FHLMC |
Federal Home Loan Mortgage Corp. |
FNMA |
Federal National Mortgage Association |
FRN |
Floating Rate Note. The interest rate shown is the rate in effect as of February 29, 2008. |
GBP |
British Pound |
GDP |
Gross Domestic Product |
GNMA |
Government National Mortgage Association |
HB |
High Coupon Bonds (a.k.a. IOettes) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class. |
HUF |
Hungarian Forint |
IF |
Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The rate shown is the rate in effect as of February 29, 2008. The rate may be subject to a cap and floor. |
ILS |
Israeli Shekel |
IO |
Interest Only represents the right to receive the monthly interest payment on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities exceed yields on other mortgage-backed securities because their cash flow patterns are more volatile and there is a greater risk that the initial investment will not be fully recouped. These securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably. |
ISK |
Iceland Krona |
JIBAR |
Johannesburg Interbank Accepted Rate |
JPY |
Japanese Yen |
LIBOR |
London Interbank Offered Rate |
MXN |
Mexican Peso |
NIBOR |
Norwegian Interbank Offered Rate |
NIM |
Net Interest Margin |
NOK |
Norwegian Krone |
NZD |
New Zealand Dollar |
PIK |
Payment-In-Kind |
PLN |
Polish Zloty |
REMICS |
Real Estate Mortgage Investment Conduits |
RON |
Romanian Leu |
RUB |
Russian Ruble |
SEK |
Swedish Krona |
SGD |
Singapore Dollar |
SKK |
Slovak Koruna |
STIBOR |
Stockholm Interbank Offered Rate |
STRIPS |
Separate Trading of Registered Interest and Principal Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities. |
SUB |
Step-Up Bond. The interest rate shown is the rate in effect as of February 29, 2008. |
TBA |
To Be Announced |
TIBOR |
Tokyo Interbank Offered Rate |
TRAINS |
Targeted Return Index |
TRY |
New Turkish Lira |
USD |
United States Dollar |
UYU |
Uruguayan Peso |
VAR |
Variable Rate Note. The interest rate shown is the rate in effect as of February 29, 2008. |
WIBOR |
Warsaw Interbank Offered Rate |
ZAR |
South African Rand |
|
Bond Fund |
|
Emerging Markets Debt Fund |
|
Enhanced Income Fund |
|
Real Return Fund |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: |
||||||||||||||||||
Investments
in non-affiliates, at value |
$ | 2,043,751 | $ | 286,532 | $ | 87,583 | $ | 84,569 | ||||||||||
Investments
in affiliates, at value |
18,180 | 9,742 | 21,994 | 3,362 | ||||||||||||||
Total
investment securities, at value |
2,061,931 | 296,274 | 109,577 | 87,931 | ||||||||||||||
Cash |
1,926 | 8,039 | 1 | 910 | ||||||||||||||
Foreign
currency, at value |
891 | 270 | | 634 | ||||||||||||||
Deposits at
broker for foreign futures contracts |
182 | | | | ||||||||||||||
Receivables: |
||||||||||||||||||
Investment
securities sold |
3,173,306 | 6,033 | 30,015 | 55,275 | ||||||||||||||
Fund shares
sold |
4,150 | 1,936 | | 848 | ||||||||||||||
Interest and
dividends |
14,544 | 5,961 | 353 | 230 | ||||||||||||||
Variation
margin on futures contracts |
10,468 | 818 | 86 | 325 | ||||||||||||||
Unrealized
appreciation on forward foreign currency exchange contracts |
| | | 228 | ||||||||||||||
Outstanding
swap contracts, at value |
38,939 | 2,095 | 378 | 908 | ||||||||||||||
Due from
Advisor |
| | 6 | 85 | ||||||||||||||
Total
Assets |
5,306,337 | 321,426 | 140,416 | 147,374 | ||||||||||||||
LIABILITIES: |
||||||||||||||||||
Payables: |
||||||||||||||||||
Dividends |
2,734 | 497 | 125 | 8 | ||||||||||||||
Investment
securities purchased |
3,362,798 | 11,982 | 36,613 | 61,971 | ||||||||||||||
Securities
sold short, at value |
154,513 | | 103 | 4,630 | ||||||||||||||
Fund shares
redeemed |
24,454 | 51 | | 9 | ||||||||||||||
Variation
margin on futures contracts |
7,709 | 403 | 90 | 264 | ||||||||||||||
Unrealized
depreciation on forward foreign currency exchange contracts |
490 | 371 | | 242 | ||||||||||||||
Outstanding
options written, at fair value |
29,893 | | | 1,167 | ||||||||||||||
Outstanding
swap contracts, at value |
43,095 | 6,998 | 218 | 1,185 | ||||||||||||||
Accrued
liabilities: |
||||||||||||||||||
Investment
advisory fees |
256 | 164 | | | ||||||||||||||
Administration fees |
70 | 24 | 1 | | (c) | |||||||||||||
Shareholder
servicing fees |
258 | 55 | | 8 | ||||||||||||||
Distribution
fees |
12 | 5 | | 3 | ||||||||||||||
Custodian and
accounting fees |
72 | 43 | 16 | 24 | ||||||||||||||
Trustees and Chief Compliance Officers fees |
2 | 2 | 2 | 1 | ||||||||||||||
Other |
431 | 109 | 70 | 167 | ||||||||||||||
Total
Liabilities |
3,626,787 | 20,704 | 37,238 | 69,679 | ||||||||||||||
Net
Assets |
$ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 |
|
Bond Fund |
|
Emerging Markets Debt Fund |
|
Enhanced Income Fund |
|
Real Return Fund |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET
ASSETS: |
||||||||||||||||||
Paid in
capital |
$ | 1,816,726 | $ | 305,502 | $ | 121,978 | $ | 75,181 | ||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
8,104 | 970 | (173 | ) | 338 | |||||||||||||
Accumulated
net realized gains (losses) |
(56,290 | ) | (2,753 | ) | (11,252 | ) | (2,118 | ) | ||||||||||
Net
unrealized appreciation (depreciation) |
(88,990 | ) | (2,997 | ) | (7,375 | ) | 4,294 | |||||||||||
Total Net
Assets |
$ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 | ||||||||||
Net
Assets: |
||||||||||||||||||
Class
A |
$ | 25,579 | $ | 8,140 | $ | | $ | 5,171 | ||||||||||
Class
B |
4,113 | | | | ||||||||||||||
Class
C |
7,659 | 5,154 | | 4,023 | ||||||||||||||
Class R5
(a) |
| 22,347 | | | ||||||||||||||
Select
Class |
1,116,991 | 265,081 | | 61,551 | ||||||||||||||
Institutional
Class |
349,342 | | 103,178 | 6,950 | ||||||||||||||
Ultra |
175,866 | | | | ||||||||||||||
Total |
$ | 1,679,550 | $ | 300,722 | $ | 103,178 | $ | 77,695 | ||||||||||
Outstanding
units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||||||
Class
A |
2,885 | 968 | | 511 | ||||||||||||||
Class
B |
467 | | | | ||||||||||||||
Class
C |
866 | 613 | | 399 | ||||||||||||||
Class R5
(a) |
| 2,654 | | | ||||||||||||||
Select
Class |
127,285 | 31,490 | | 6,060 | ||||||||||||||
Institutional
Class |
39,821 | | 11,479 | 684 | ||||||||||||||
Ultra |
20,051 | | | | ||||||||||||||
Net Asset
Value: |
||||||||||||||||||
Class A
Redemption price per share |
$ | 8.87 | $ | 8.41 | $ | | $ | 10.13 | ||||||||||
Class B
Offering price per share (b) |
8.80 | | | | ||||||||||||||
Class C
Offering price per share (b) |
8.85 | 8.40 | | 10.08 | ||||||||||||||
Class R5 (a)
Offering and redemption price per share |
| 8.42 | | | ||||||||||||||
Select Class
Offering and redemption price per share |
8.78 | 8.42 | | 10.16 | ||||||||||||||
Institutional
Class Offering and redemption price per share |
8.77 | | 8.99 | 10.17 | ||||||||||||||
Ultra
Offering and redemption price per share |
8.77 | | | | ||||||||||||||
Class A
maximum sales charge |
3.75 | % | 3.75 | % | | 3.75 | % | |||||||||||
Class A
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | 9.22 | $ | 8.74 | $ | | $ | 10.52 | ||||||||||
Cost of
investments in non-affiliates |
$ | 2,130,267 | $ | 284,890 | $ | 95,155 | $ | 79,888 | ||||||||||
Cost of
investments in affiliates |
18,180 | 9,742 | 21,994 | 3,362 | ||||||||||||||
Cost of
foreign currency |
886 | 269 | | 608 | ||||||||||||||
Cost of
deposits at broker for foreign futures contracts |
170 | | | | ||||||||||||||
Proceeds
received from short positions |
154,289 | | 110 | 4,689 | ||||||||||||||
Premiums
received from options written |
25,140 | | | 889 | ||||||||||||||
Premiums paid
on swaps |
1,192 | | 39 | 26 | ||||||||||||||
Premiums
received from swaps |
5,424 | | | 76 |
(a) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(b) |
Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
(c) |
Amount rounds to less than $1,000. |
|
Short Term Bond Fund |
|
Short Term Bond Fund II |
|
Strategic Income Fund |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASSETS: |
||||||||||||||
Investments
in non-affiliates, at value |
$ | 1,200,884 | $ | 233,356 | $ | 18,198 | ||||||||
Investments
in affiliates, at value |
26,684 | 23,371 | 1,412 | |||||||||||
Total
investment securities, at value |
1,227,568 | 256,727 | 19,610 | |||||||||||
Cash |
848 | 204 | 22 | |||||||||||
Foreign
currency, at value |
8 | | 17 | |||||||||||
Deposits at
broker for foreign futures contracts |
169 | | | |||||||||||
Receivables: |
||||||||||||||
Investment
securities sold |
937,977 | 6,349 | 5,250 | |||||||||||
Fund shares
sold |
328 | 14 | 4 | |||||||||||
Interest and
dividends |
11,097 | 1,933 | 146 | |||||||||||
Tax
reclaims |
| | | (b) | ||||||||||
Variation
margin on futures contracts |
2,873 | 792 | 66 | |||||||||||
Outstanding
swap contracts, at value |
15,201 | 1,719 | 236 | |||||||||||
Due from
Advisor |
| | 47 | |||||||||||
Due from
affiliate |
| | 2 | |||||||||||
Total
Assets |
2,196,069 | 267,738 | 25,400 | |||||||||||
LIABILITIES: |
||||||||||||||
Payables: |
||||||||||||||
Dividends |
3,845 | 792 | 29 | |||||||||||
Investment
securities purchased |
879,314 | 13,553 | 9,287 | |||||||||||
Securities
sold short, at value |
203,237 | | 98 | |||||||||||
Fund shares
redeemed |
19,629 | 693 | 20 | |||||||||||
Variation
margin on futures contracts |
2,210 | 465 | 34 | |||||||||||
Unrealized
depreciation on forward foreign currency exchange contracts |
| | 4 | |||||||||||
Outstanding
options written, at fair value |
9,641 | 1,691 | 133 | |||||||||||
Outstanding
swap contracts, at value |
5,641 | 362 | 361 | |||||||||||
Accrued
liabilities: |
||||||||||||||
Investment
advisory fees |
79 | 6 | | (b) | ||||||||||
Administration fees |
27 | 9 | | |||||||||||
Shareholder
servicing fees |
174 | 38 | 3 | |||||||||||
Distribution
fees |
2 | 45 | 5 | |||||||||||
Custodian and
accounting fees |
33 | 17 | 24 | |||||||||||
Trustees and Chief Compliance Officers fees |
10 | 7 | | (b) | ||||||||||
Other |
233 | 263 | 128 | |||||||||||
Total
Liabilities |
1,124,075 | 17,941 | 10,126 | |||||||||||
Net
Assets |
$ | 1,071,994 | $ | 249,797 | $ | 15,274 |
|
Short Term Bond Fund |
|
Short Term Bond Fund II |
|
Strategic Income Fund |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NET
ASSETS: |
||||||||||||||
Paid in
capital |
$ | 1,154,696 | $ | 291,276 | $ | 30,429 | ||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
2,585 | (144 | ) | 185 | ||||||||||
Accumulated
net realized gains (losses) |
(56,943 | ) | (30,539 | ) | (14,898 | ) | ||||||||
Net
unrealized appreciation (depreciation) |
(28,344 | ) | (10,796 | ) | (442 | ) | ||||||||
Total Net
Assets |
$ | 1,071,994 | $ | 249,797 | $ | 15,274 | ||||||||
Net
Assets: |
||||||||||||||
Class
A |
$ | 10,944 | $ | 22,655 | $ | 6,355 | ||||||||
Class
B |
| | 3,492 | |||||||||||
Class
C |
| | 2,177 | |||||||||||
Class
M |
| 144,078 | | |||||||||||
Select
Class |
832,289 | 83,064 | 1,086 | |||||||||||
Institutional
Class |
228,761 | | 2,164 | |||||||||||
Total |
$ | 1,071,994 | $ | 249,797 | $ | 15,274 | ||||||||
Outstanding
units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||
Class
A |
1,191 | 2,345 | 729 | |||||||||||
Class
B |
| | 400 | |||||||||||
Class
C |
| | 250 | |||||||||||
Class
M |
| 14,910 | | |||||||||||
Select
Class |
90,512 | 8,578 | 125 | |||||||||||
Institutional
Class |
24,881 | | 248 | |||||||||||
Net Asset
Value: |
||||||||||||||
Class A
Redemption price per share |
$ | 9.19 | $ | 9.66 | $ | 8.72 | ||||||||
Class B
Offering price per share (a) |
| | 8.72 | |||||||||||
Class C
Offering price per share (a) |
| | 8.72 | |||||||||||
Class M
Offering price per share |
| 9.66 | | |||||||||||
Select Class
Offering and redemption price per share |
9.20 | 9.68 | 8.72 | |||||||||||
Institutional
Class Offering and redemption price per share |
9.19 | | 8.72 | |||||||||||
Class A
maximum sales charge |
2.25 | % | 2.25 | % | 3.75 | % | ||||||||
Class A
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | 9.40 | $ | 9.88 | $ | 9.06 | ||||||||
Class M
maximum sales charge |
| 1.50 | % | | ||||||||||
Class M
maximum public offering price per share [net asset value per share/(100% maximum sales charge)] |
$ | | $ | 9.81 | $ | | ||||||||
Cost of
investments in non-affiliates |
$ | 1,239,142 | $ | 245,461 | $ | 18,554 | ||||||||
Cost of
investments in affiliates |
26,684 | 23,371 | 1,412 | |||||||||||
Cost of
foreign currency |
7 | | 17 | |||||||||||
Cost of
deposits at broker for foreign futures contracts |
161 | | | |||||||||||
Proceeds
received from short positions |
205,179 | | 100 | |||||||||||
Premiums
received from options written |
7,485 | 1,317 | 121 | |||||||||||
Premiums paid
on swaps |
| | 13 | |||||||||||
Premiums
received from swaps |
160 | 25 | 31 |
(a) |
Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
(b) |
Amount rounds to less than $1,000. |
|
Bond Fund |
|
Emerging Markets Debt Fund |
|
Enhanced Income Fund |
|
Real Return Fund |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT
INCOME: |
||||||||||||||||||
Interest
income |
$ | 126,712 | $ | 19,720 | $ | 7,620 | $ | 4,188 | ||||||||||
Dividend
income |
370 | | | | ||||||||||||||
Dividend
income from affiliates (a) |
4,009 | 438 | 921 | 170 | ||||||||||||||
Foreign taxes
withheld |
| (36 | ) | | | |||||||||||||
Total
investment income |
131,091 | 20,122 | 8,541 | 4,358 | ||||||||||||||
EXPENSES: |
||||||||||||||||||
Investment
advisory fees |
6,610 | 1,695 | 384 | 250 | ||||||||||||||
Administration fees |
2,188 | 240 | 153 | 71 | ||||||||||||||
Distribution
fees: |
||||||||||||||||||
Class
A |
65 | 19 | | 3 | ||||||||||||||
Class
B |
30 | | | | ||||||||||||||
Class
C |
52 | 26 | | 4 | ||||||||||||||
Shareholder
servicing fees: |
||||||||||||||||||
Class
A |
65 | 19 | | 3 | ||||||||||||||
Class
B |
10 | | | | ||||||||||||||
Class
C |
17 | 8 | | 1 | ||||||||||||||
Class R5
(b) |
| 10 | | | ||||||||||||||
Select
Class |
3,960 | 530 | | 158 | ||||||||||||||
Institutional
Class |
409 | | 154 | 6 | ||||||||||||||
Custodian and
accounting fees |
271 | 115 | 44 | 77 | ||||||||||||||
Interest
expense |
10 | | (c) | | | (c) | ||||||||||||
Professional
fees |
212 | 100 | 77 | 177 | ||||||||||||||
Trustees and Chief Compliance Officers fees |
36 | 4 | 2 | 1 | ||||||||||||||
Printing and
mailing costs |
179 | 26 | 4 | 1 | ||||||||||||||
Registration
and filing fees |
182 | 53 | 21 | 44 | ||||||||||||||
Transfer
agent fees |
289 | 96 | 6 | 53 | ||||||||||||||
Other |
205 | 35 | 8 | 92 | ||||||||||||||
Total
expenses |
14,790 | 2,976 | 853 | 941 | ||||||||||||||
Less amounts
waived |
(1,361 | ) | (13 | ) | (544 | ) | (365 | ) | ||||||||||
Less earnings
credits |
(79 | ) | (2 | ) | (2 | ) | (4 | ) | ||||||||||
Less expense
reimbursements |
| | | (111 | ) | |||||||||||||
Net
expenses |
13,350 | 2,961 | 307 | 461 | ||||||||||||||
Net
investment income (loss) |
117,741 | 17,161 | 8,234 | 3,897 |
|
Bond Fund |
|
Emerging Markets Debt Fund |
|
Enhanced Income Fund |
|
Real Return Fund (a) |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||||||
Net realized
gain (loss) on transactions from: |
||||||||||||||||||
Investments |
$ | 41,848 | $ | (2,610 | ) | $ | (3,482 | ) | $ | 856 | ||||||||
Securities
sold short |
(65,434 | ) | | (230 | ) | (582 | ) | |||||||||||
Written
options |
3,570 | | | 295 | ||||||||||||||
Futures |
(25,035 | ) | 2,599 | (365 | ) | (1,145 | ) | |||||||||||
Swaps |
30,331 | 168 | 271 | 1,078 | ||||||||||||||
Foreign
currency transactions |
1,994 | 356 | 1 | 83 | ||||||||||||||
Net realized
gain (loss) |
(12,726 | ) | 513 | (3,805 | ) | 585 | ||||||||||||
Change in net
unrealized appreciation (depreciation) of: |
||||||||||||||||||
Investments |
(99,490 | ) | (3,757 | ) | (7,748 | ) | 4,753 | |||||||||||
Securities
sold short |
3,705 | | 7 | 103 | ||||||||||||||
Written
options |
(12,124 | ) | | | (513 | ) | ||||||||||||
Futures |
2,673 | 537 | 153 | 73 | ||||||||||||||
Swaps |
(10,561 | ) | (5,253 | ) | 34 | (250 | ) | |||||||||||
Foreign
currency translations |
(574 | ) | (420 | ) | | 17 | ||||||||||||
Change in net
unrealized appreciation (depreciation) |
(116,371 | ) | (8,893 | ) | (7,554 | ) | 4,183 | |||||||||||
Net
realized/unrealized gains (losses) |
(129,097 | ) | (8,380 | ) | (11,359 | ) | 4,768 | |||||||||||
Change in net
assets resulting from operations |
$ | (11,356 | ) | $ | 8,781 | $ | (3,125 | ) | $ | 8,665 |
(a) |
Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(c) |
Amount rounds to less than $1,000. |
|
Short Term Bond Fund |
|
Short Term Bond Fund II |
|
Strategic Income Fund |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
INVESTMENT
INCOME: |
||||||||||||||
Interest
income |
$ | 84,911 | $ | 15,759 | $ | 1,298 | ||||||||
Dividend
income |
256 | | | |||||||||||
Dividend
income from affiliates (a) |
9,149 | 846 | 37 | |||||||||||
Total
investment income |
94,316 | 16,605 | 1,335 | |||||||||||
EXPENSES: |
||||||||||||||
Investment
advisory fees |
4,305 | 790 | 89 | |||||||||||
Administration fees |
1,709 | 314 | 20 | |||||||||||
Distribution
fees: |
||||||||||||||
Class
A |
28 | 65 | 18 | |||||||||||
Class
B |
| | 34 | |||||||||||
Class
C |
| | 19 | |||||||||||
Class
M |
| 552 | 5 | |||||||||||
Shareholder
servicing fees: |
||||||||||||||
Class
A |
28 | 65 | 18 | |||||||||||
Class
B |
| | 11 | |||||||||||
Class
C |
| | 6 | |||||||||||
Class
M |
| 394 | 3 | |||||||||||
Select
Class |
3,212 | 332 | 4 | |||||||||||
Institutional
Class |
426 | | 3 | |||||||||||
Custodian and
accounting fees |
154 | 52 | 46 | |||||||||||
Interest
expense |
1 | | | (b) | ||||||||||
Professional
fees |
240 | 158 | 94 | |||||||||||
Trustees and Chief Compliance Officers fees |
25 | 5 | | (b) | ||||||||||
Printing and
mailing costs |
127 | 31 | 19 | |||||||||||
Registration
and filing fees |
46 | 14 | 62 | |||||||||||
Transfer
agent fees |
82 | 73 | 51 | |||||||||||
Other |
133 | 149 | 46 | |||||||||||
Total
expenses |
10,516 | 2,994 | 548 | |||||||||||
Less amounts
waived |
(2,027 | ) | (554 | ) | (112 | ) | ||||||||
Less earnings
credits |
(59 | ) | (6 | ) | (1 | ) | ||||||||
Less expense
reimbursements |
| | (189 | ) | ||||||||||
Net
expenses |
8,430 | 2,434 | 246 | |||||||||||
Net
investment income (loss) |
85,886 | 14,171 | 1,089 |
|
Short Term Bond Fund |
|
Short Term Bond Fund II |
|
Strategic Income Fund |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||
Net realized
gain (loss) on transactions from: |
||||||||||||||
Investments |
$ | (3,618 | ) | $ | (1,972 | ) | $ | (5 | ) | |||||
Securities
sold short |
(15,944 | ) | 646 | (180 | ) | |||||||||
Written
options |
(341 | ) | 643 | 80 | ||||||||||
Futures |
(9,094 | ) | 998 | (322 | ) | |||||||||
Swaps |
560 | 2,809 | (69 | ) | ||||||||||
Foreign
currency transactions |
(138 | ) | | 101 | ||||||||||
Net realized
gain (loss) |
(28,575 | ) | 3,124 | (395 | ) | |||||||||
Change in net
unrealized appreciation (depreciation) of: |
||||||||||||||
Investments |
(35,597 | ) | (8,709 | ) | (512 | ) | ||||||||
Securities
sold short |
1,883 | 116 | | (b) | ||||||||||
Written
options |
(4,427 | ) | (998 | ) | (280 | ) | ||||||||
Futures |
1,021 | 733 | 36 | |||||||||||
Swaps |
4,798 | 241 | (111 | ) | ||||||||||
Foreign
currency translations |
23 | | (13 | ) | ||||||||||
Change in net
unrealized appreciation (depreciation) |
(32,299 | ) | (8,617 | ) | (880 | ) | ||||||||
Net
realized/unrealized gains (losses) |
(60,874 | ) | (5,493 | ) | (1,275 | ) | ||||||||
Change in net
assets resulting from operations |
$ | 25,012 | $ | 8,678 | $ | (186 | ) |
(a) |
Includes reimbursements of investment advisory, administration and shareholder servicing fees. Please see Fees and Other Transactions with Affiliates in the Notes to Financial Statements. |
(b) |
Amount rounds to less than $1,000. |
Bond Fund |
Emerging Markets Debt Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b)(c) |
||||||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||||||||||
Net
investment income (loss) |
$ | 117,741 | $ | 47,835 | $ | 54,198 | $ | 17,161 | $ | 3,194 | $ | 4,266 | |||||||||||||||
Net realized
gain (loss) |
(12,726 | ) | (3,874 | ) | (31,678 | ) | 513 | 3,159 | 137 | ||||||||||||||||||
Change in net
unrealized appreciation (depreciation) |
(116,371 | ) | 28,712 | 7,040 | (8,893 | ) | 2,325 | 1,186 | |||||||||||||||||||
Change in net
assets resulting from operations |
(11,356 | ) | 72,673 | 29,560 | 8,781 | 8,678 | 5,589 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
From net
investment income |
(1,302 | ) | (440 | ) | (450 | ) | (543 | ) | (30 | ) | | (e) | |||||||||||||||
From net
realized gains |
| | (198 | ) | (205 | ) | (3 | ) | | ||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
From net
investment income |
(173 | ) | (68 | ) | (97 | ) | | | | ||||||||||||||||||
From net
realized gains |
| | (68 | ) | | | | ||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
From net
investment income |
(306 | ) | (90 | ) | (55 | ) | (217 | ) | (16 | ) | | (e) | |||||||||||||||
From net
realized gains |
| | (24 | ) | (79 | ) | (2 | ) | | ||||||||||||||||||
Class R5
(d) |
|||||||||||||||||||||||||||
From net
investment income |
| | | (1,294 | ) | (172 | ) | (33 | ) | ||||||||||||||||||
From net
realized gains |
| | | (363 | ) | (21 | ) | | |||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
From net
investment income |
(82,232 | ) | (35,814 | ) | (35,004 | ) | (14,385 | ) | (3,055 | ) | (4,005 | ) | |||||||||||||||
From net
realized gains |
| | (5,719 | ) | (4,326 | ) | (378 | ) | (6,019 | ) | |||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
From net
investment income |
(21,498 | ) | (9,118 | ) | (11,743 | ) | | | | ||||||||||||||||||
From net
realized gains |
| | (6,859 | ) | | | | ||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
From net
investment income |
(9,393 | ) | (4,125 | ) | (6,786 | ) | | | | ||||||||||||||||||
From net
realized gains |
| | (3,926 | ) | | | | ||||||||||||||||||||
Total
distributions to shareholders |
(114,904 | ) | (49,655 | ) | (70,929 | ) | (21,412 | ) | (3,677 | ) | (10,057 | ) | |||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Change in net
assets from capital transactions |
(244,149 | ) | 286,861 | 1,184,150 | 175,875 | 12,560 | 89,788 | ||||||||||||||||||||
Voluntary
contribution from Advisor |
| | | | | 149 | |||||||||||||||||||||
NET
ASSETS: |
|||||||||||||||||||||||||||
Change in net
assets |
(370,409 | ) | 309,879 | 1,142,781 | 163,244 | 17,561 | 85,469 | ||||||||||||||||||||
Beginning of
period |
2,049,959 | 1,740,080 | 597,299 | 137,478 | 119,917 | 34,448 | |||||||||||||||||||||
End of
period |
$ | 1,679,550 | $ | 2,049,959 | $ | 1,740,080 | $ | 300,722 | $ | 137,478 | $ | 119,917 | |||||||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 8,104 | $ | (2,185 | ) | $ | 961 | $ | 970 | $ | 304 | $ | 96 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Class A and Class C Shares commenced operations on June 30, 2006 for the Emerging Markets Debt Fund. |
(c) |
Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) |
Amount rounds to less than $1,000. |
Enhanced Income Fund |
Real Return Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b) |
||||||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||||||||||
Net
investment income (loss) |
$ | 8,234 | $ | 4,782 | $ | 7,038 | $ | 3,897 | $ | 384 | $ | 2,917 | |||||||||||||||
Net realized
gain (loss) |
(3,805 | ) | (267 | ) | (611 | ) | 585 | (747 | ) | (1,595 | ) | ||||||||||||||||
Change in net
unrealized appreciation (depreciation) |
(7,554 | ) | 147 | (213 | ) | 4,183 | 1,035 | (924 | ) | ||||||||||||||||||
Change in net
assets resulting from operations |
(3,125 | ) | 4,662 | 6,214 | 8,665 | 672 | 398 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
From net
investment income |
| | | (63 | ) | (4 | ) | (12 | ) | ||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
From net
investment income |
| | | (23 | ) | | (c) | (1 | ) | ||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
From net
investment income |
| | | (3,530 | ) | (421 | ) | (2,740 | ) | ||||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
From net
investment income |
(8,070 | ) | (4,780 | ) | (6,984 | ) | (359 | ) | (45 | ) | (22 | ) | |||||||||||||||
Return of
capital |
(189 | ) | | | | | | ||||||||||||||||||||
Total
distributions to shareholders |
(8,259 | ) | (4,780 | ) | (6,984 | ) | (3,975 | ) | (470 | ) | (2,775 | ) | |||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Change in net
assets from capital transactions |
(68,540 | ) | 51,982 | (31,336 | ) | 4,482 | 7,887 | 62,811 | |||||||||||||||||||
NET
ASSETS |
|||||||||||||||||||||||||||
Change in net
assets |
(79,924 | ) | 51,864 | (32,106 | ) | 9,172 | 8,089 | 60,434 | |||||||||||||||||||
Beginning of
period |
183,102 | 131,238 | 163,344 | 68,523 | 60,434 | | |||||||||||||||||||||
End of
period |
$ | 103,178 | $ | 183,102 | $ | 131,238 | $ | 77,695 | $ | 68,523 | $ | 60,434 | |||||||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | (173 | ) | $ | (1 | ) | $ | (1 | ) | $ | 338 | $ | 81 | $ | 23 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Commencement of operations was September 1, 2005. |
(c) |
Amount rounds to less than $1,000. |
Short Term Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||||||||||||||
Net
investment income (loss) |
$ | 85,886 | $ | 32,784 | $ | 33,666 | $ | 14,171 | $ | 10,472 | $ | 31,910 | |||||||||||||||
Net realized
gain (loss) |
(28,575 | ) | (7,569 | ) | (7,631 | ) | 3,124 | (5,863 | ) | (14,116 | ) | ||||||||||||||||
Change in net
unrealized appreciation (depreciation) |
(32,299 | ) | 10,895 | (835 | ) | (8,617 | ) | 6,622 | (649 | ) | |||||||||||||||||
Change in net
assets resulting from operations |
25,012 | 36,110 | 25,200 | 8,678 | 11,231 | 17,145 | |||||||||||||||||||||
Net
equalization credits (debits) |
| | | (204 | ) | (294 | ) | (370 | ) | ||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
From net
investment income |
(548 | ) | (203 | ) | (203 | ) | (1,177 | ) | (641 | ) | (1,562 | ) | |||||||||||||||
Class
M |
|||||||||||||||||||||||||||
From net
investment income |
| | | (6,753 | ) | (4,320 | ) | (10,192 | ) | ||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
From net
investment income |
(63,417 | ) | (23,067 | ) | (14,040 | ) | (6,250 | ) | (5,787 | ) | (18,630 | ) | |||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
From net
investment income |
(21,722 | ) | (10,655 | ) | (19,301 | ) | | | | ||||||||||||||||||
Total
distributions to shareholders |
(85,687 | ) | (33,925 | ) | (33,544 | ) | (14,180 | ) | (10,748 | ) | (30,384 | ) | |||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Change in net
assets from capital transactions |
(520,629 | ) | 624,844 | 400,725 | (96,618 | ) | (265,006 | ) | (214,576 | ) | |||||||||||||||||
NET
ASSETS |
|||||||||||||||||||||||||||
Change in net
assets |
(581,304 | ) | 627,029 | 392,381 | (102,324 | ) | (264,817 | ) | (228,185 | ) | |||||||||||||||||
Beginning of
period |
1,653,298 | 1,026,269 | 633,888 | 352,121 | 616,938 | 845,123 | |||||||||||||||||||||
End of
period |
$ | 1,071,994 | $ | 1,653,298 | $ | 1,026,269 | $ | 249,797 | $ | 352,121 | $ | 616,938 | |||||||||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 2,585 | $ | (551 | ) | $ | 1,310 | $ | (144 | ) | $ | (34 | ) | $ | 190 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
Strategic Income Fund |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||
CHANGE IN
NET ASSETS RESULTING FROM OPERATIONS: |
|||||||||||||||
Net
investment income (loss) |
$ | 1,089 | $ | 573 | $ | 994 | |||||||||
Net realized
gain (loss) |
(395 | ) | (160 | ) | (447 | ) | |||||||||
Change in net
unrealized appreciation (depreciation) |
(880 | ) | 546 | 156 | |||||||||||
Change in net
assets resulting from operations |
(186 | ) | 959 | 703 | |||||||||||
Net
equalization credits (debits) |
(18 | ) | (2 | ) | 5 | ||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: |
|||||||||||||||
Class
A |
|||||||||||||||
From net
investment income |
(380 | ) | (185 | ) | (265 | ) | |||||||||
Class
B |
|||||||||||||||
From net
investment income |
(215 | ) | (133 | ) | (314 | ) | |||||||||
Class
C |
|||||||||||||||
From net
investment income |
(121 | ) | (73 | ) | (136 | ) | |||||||||
Class
M |
|||||||||||||||
From net
investment income |
(40 | ) | (77 | ) | (207 | ) | |||||||||
Select
Class |
|||||||||||||||
From net
investment income |
(87 | ) | (48 | ) | (113 | ) | |||||||||
Institutional Class |
|||||||||||||||
From net
investment income |
(184 | ) | (101 | ) | (151 | ) | |||||||||
Total
distributions to shareholders |
(1,027 | ) | (617 | ) | (1,186 | ) | |||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||
Change in net
assets from capital transactions |
(8,100 | ) | (783 | ) | 3,224 | ||||||||||
NET
ASSETS |
|||||||||||||||
Change in net
assets |
(9,331 | ) | (443 | ) | 2,746 | ||||||||||
Beginning of
period |
24,605 | 25,048 | 22,302 | ||||||||||||
End of
period |
$ | 15,274 | $ | 24,605 | $ | 25,048 | |||||||||
Accumulated
undistributed (distributions in excess of) net investment income |
$ | 185 | $ | (4 | ) | $ | 73 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
Bond Fund |
Emerging Markets Debt Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b) (c) |
||||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 20,591 | $ | 9,853 | $ | 13,249 | $ | 15,321 | $ | 2,130 | $ | 40 | |||||||||||||||
Dividends and
distributions reinvested |
1,043 | 365 | 575 | 579 | 8 | | (e) | ||||||||||||||||||||
Cost of
shares redeemed |
(14,713 | ) | (3,778 | ) | (5,735 | ) | (9,276 | ) | (55 | ) | | ||||||||||||||||
Redemption
fees |
| | | 1 | | (e) | | (e) | |||||||||||||||||||
Change in net
assets from Class A capital transactions |
$ | 6,921 | $ | 6,440 | $ | 8,089 | $ | 6,625 | $ | 2,083 | $ | 40 | |||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 2,256 | $ | 1,112 | $ | 1,245 | $ | | $ | | $ | | |||||||||||||||
Dividends and
distributions reinvested |
124 | 44 | 87 | | | | |||||||||||||||||||||
Cost of
shares redeemed |
(1,593 | ) | (444 | ) | (665 | ) | | | | ||||||||||||||||||
Change in net
assets from Class B capital transactions |
$ | 787 | $ | 712 | $ | 667 | $ | | $ | | $ | | |||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 6,191 | $ | 2,903 | $ | 2,350 | $ | 4,511 | $ | 1,292 | $ | 26 | |||||||||||||||
Dividends and
distributions reinvested |
186 | 54 | 67 | 237 | 15 | | (e) | ||||||||||||||||||||
Cost of
shares redeemed |
(3,436 | ) | (431 | ) | (225 | ) | (710 | ) | (16 | ) | | ||||||||||||||||
Redemption
fees |
| | | 1 | | (e) | | (e) | |||||||||||||||||||
Change in net
assets from Class C capital transactions |
$ | 2,941 | $ | 2,526 | $ | 2,192 | $ | 4,039 | $ | 1,291 | $ | 26 | |||||||||||||||
Class R5
(d) |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | $ | 14,037 | $ | 5,842 | $ | 2,254 | |||||||||||||||
Dividends and
distributions reinvested |
| | | 1,657 | 193 | 33 | |||||||||||||||||||||
Cost of
shares redeemed |
| | | (935 | ) | (130 | ) | | |||||||||||||||||||
Redemption
fees |
| | | 4 | | (e) | | (e) | |||||||||||||||||||
Change in net
assets from Class R5 capital transactions |
$ | | $ | | $ | | $ | 14,763 | $ | 5,905 | $ | 2,287 | |||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 716,798 | $ | 450,726 | $ | 597,386 | $ | 198,351 | $ | 31,105 | $ | 118,045 | |||||||||||||||
Subscriptions
in-kind (Note 8) |
| | 744,265 | | | | |||||||||||||||||||||
Dividends and
distributions reinvested |
26,966 | 3,800 | 10,560 | 6,144 | 1,367 | 7,995 | |||||||||||||||||||||
Cost of
shares redeemed |
(995,991 | ) | (321,936 | ) | (226,087 | ) | (54,085 | ) | (29,193 | ) | (38,629 | ) | |||||||||||||||
Redemption
fees |
| | | 38 | 2 | 24 | |||||||||||||||||||||
Change in net
assets from Select Class capital transactions |
$ | (252,227 | ) | $ | 132,590 | $ | 1,126,124 | $ | 150,448 | $ | 3,281 | $ | 87,435 | ||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 166,454 | $ | 241,014 | $ | 115,518 | $ | | $ | | $ | | |||||||||||||||
Dividends and
distributions reinvested |
13,089 | 5,432 | 12,418 | | | | |||||||||||||||||||||
Cost of
shares redeemed |
(205,895 | ) | (116,742 | ) | (108,417 | ) | | | | ||||||||||||||||||
Change in net
assets from Institutional Class capital transactions |
$ | (26,352 | ) | $ | 129,704 | $ | 19,519 | $ | | $ | | $ | | ||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 46,145 | $ | 24,334 | $ | 54,168 | $ | | $ | | $ | | |||||||||||||||
Dividends and
distributions reinvested |
5,205 | 2,196 | 5,728 | | | | |||||||||||||||||||||
Cost of
shares redeemed |
(27,569 | ) | (11,641 | ) | (32,337 | ) | | | | ||||||||||||||||||
Change in net
assets from Ultra capital transactions |
$ | 23,781 | $ | 14,889 | $ | 27,559 | $ | | $ | | $ | | |||||||||||||||
Total
change in net assets from capital transactions |
$ | (244,149 | ) | $ | 286,861 | $ | 1,184,150 | $ | 175,875 | $ | 12,560 | $ | 89,788 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Class A and Class C Shares commenced operations on June 30, 2006 for the Emerging Markets Debt Fund. |
(c) |
Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) |
Amount rounds to less than $1,000. |
Bond Fund |
Emerging Markets Debt Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b)(c) |
||||||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Issued |
2,226 | 1,053 | 1,415 | 1,738 | 247 | 5 | |||||||||||||||||||||
Reinvested |
114 | 39 | 62 | 68 | 1 | | (e) | ||||||||||||||||||||
Redeemed |
(1,611 | ) | (404 | ) | (615 | ) | (1,085 | ) | (6 | ) | | ||||||||||||||||
Change in
Class A Shares |
729 | 688 | 862 | 721 | 242 | 5 | |||||||||||||||||||||
Class
B |
|||||||||||||||||||||||||||
Issued |
247 | 120 | 134 | | | | |||||||||||||||||||||
Reinvested |
14 | 5 | 9 | | | | |||||||||||||||||||||
Redeemed |
(176 | ) | (48 | ) | (71 | ) | | | | ||||||||||||||||||
Change in
Class B Shares |
85 | 77 | 72 | | | | |||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Issued |
675 | 311 | 251 | 515 | 150 | 3 | |||||||||||||||||||||
Reinvested |
21 | 6 | 7 | 28 | 2 | | (e) | ||||||||||||||||||||
Redeemed |
(378 | ) | (46 | ) | (24 | ) | (83 | ) | (2 | ) | | ||||||||||||||||
Change in
Class C Shares |
318 | 271 | 234 | 460 | 150 | 3 | |||||||||||||||||||||
Class R5
(d) |
|||||||||||||||||||||||||||
Issued |
| | | 1,586 | 686 | 285 | |||||||||||||||||||||
Reinvested |
| | | 193 | 22 | 4 | |||||||||||||||||||||
Redeemed |
| | | (106 | ) | (16 | ) | | |||||||||||||||||||
Change in
Class R5 Shares |
| | | 1,673 | 692 | 289 | |||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Issued |
78,063 | 48,649 | 64,971 | 22,695 | 3,581 | 13,930 | |||||||||||||||||||||
Subscriptions
in-kind |
| | 80,114 | | | | |||||||||||||||||||||
Reinvested |
2,987 | 410 | 1,138 | 717 | 158 | 969 | |||||||||||||||||||||
Redeemed |
(110,580 | ) | (34,689 | ) | (24,545 | ) | (6,279 | ) | (3,373 | ) | (4,616 | ) | |||||||||||||||
Change in
Select Class Shares |
(29,530 | ) | 14,370 | 121,678 | 17,133 | 366 | 10,283 | ||||||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Issued |
18,319 | 25,948 | 12,514 | | | | |||||||||||||||||||||
Reinvested |
1,449 | 586 | 1,339 | | | | |||||||||||||||||||||
Redeemed |
(22,790 | ) | (12,543 | ) | (11,627 | ) | | | | ||||||||||||||||||
Change in
Institutional Class Shares |
(3,022 | ) | 13,991 | 2,226 | | | | ||||||||||||||||||||
Ultra |
|||||||||||||||||||||||||||
Issued |
5,126 | 2,614 | 5,754 | | | | |||||||||||||||||||||
Reinvested |
576 | 237 | 617 | | | | |||||||||||||||||||||
Redeemed |
(3,082 | ) | (1,255 | ) | (3,479 | ) | | | | ||||||||||||||||||
Change in
Ultra Shares |
2,620 | 1,596 | 2,892 | | | |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Class A and Class C Shares commenced operations on June 30, 2006 for the Emerging Markets Debt Fund. |
(c) |
Class R5 Shares commenced operations on May 15, 2006 for the Emerging Markets Debt Fund. |
(d) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(e) |
Amount rounds to less than 1,000. |
Enhanced Income Fund |
Real Return Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Period Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b) |
||||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | $ | 4,834 | $ | 67 | $ | 691 | |||||||||||||||
Dividends and
distributions reinvested |
| | | 49 | 3 | 6 | |||||||||||||||||||||
Cost of
shares redeemed |
| | | (481 | ) | (24 | ) | (107 | ) | ||||||||||||||||||
Change in net
assets from Class A capital transactions |
$ | | $ | | $ | | $ | 4,402 | $ | 46 | $ | 590 | |||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | $ | 3,908 | $ | 3 | $ | 24 | |||||||||||||||
Dividends and
distributions reinvested |
| | | 20 | | (c) | 1 | ||||||||||||||||||||
Cost of
shares redeemed |
| | | (26 | ) | | | (c) | |||||||||||||||||||
Change in net
assets from Class C capital transactions |
$ | | $ | | $ | | $ | 3,902 | $ | 3 | $ | 25 | |||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | $ | 4,331 | $ | 2,300 | $ | 60,834 | |||||||||||||||
Dividends and
distributions reinvested |
| | | 3,530 | 421 | 1,957 | |||||||||||||||||||||
Cost of
shares redeemed |
| | | (12,106 | ) | | (1,530 | ) | |||||||||||||||||||
Change in net
assets from Select Class capital transactions |
$ | | $ | | $ | | $ | (4,245 | ) | $ | 2,721 | $ | 61,261 | ||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 94,077 | $ | 73,528 | $ | 93,886 | $ | 363 | $ | 5,110 | $ | 928 | |||||||||||||||
Dividends and
distributions reinvested |
5,748 | 3,669 | 6,204 | 60 | 7 | 22 | |||||||||||||||||||||
Cost of
shares redeemed |
(168,365 | ) | (25,215 | ) | (131,426 | ) | | | (15 | ) | |||||||||||||||||
Change in net
assets from Institutional Class capital transactions |
$ | (68,540 | ) | $ | 51,982 | $ | (31,336 | ) | $ | 423 | $ | 5,117 | $ | 935 | |||||||||||||
Total
change in net assets from capital transactions |
$ | (68,540 | ) | $ | 51,982 | $ | (31,336 | ) | $ | 4,482 | $ | 7,887 | $ | 62,811 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Commencement of operations was September 1, 2005. |
(c) |
Amount rounds to less than $1,000. |
Enhanced Income Fund |
Real Return Fund |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 (b) |
||||||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Issued |
| | | 490 | 7 | 72 | |||||||||||||||||||||
Reinvested |
| | | 5 | | (c) | | (c) | |||||||||||||||||||
Redeemed |
| | | (50 | ) | (2 | ) | (11 | ) | ||||||||||||||||||
Change in
Class A Shares |
| | | 445 | 5 | 61 | |||||||||||||||||||||
Class
C |
|||||||||||||||||||||||||||
Issued |
| | | 397 | | (c) | 3 | ||||||||||||||||||||
Reinvested |
| | | 2 | | (c) | | (c) | |||||||||||||||||||
Redeemed |
| | | (3 | ) | | | (c) | |||||||||||||||||||
Change in
Class C Shares |
| | | 396 | | (c) | 3 | ||||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Issued |
| | | 460 | 247 | 6,135 | |||||||||||||||||||||
Reinvested |
| | | 372 | 44 | 207 | |||||||||||||||||||||
Redeemed |
| | | (1,244 | ) | | (161 | ) | |||||||||||||||||||
Change in
Select Class Shares |
| | | (412 | ) | 291 | 6,181 | ||||||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Issued |
9,634 | 7,523 | 9,579 | 38 | 539 | 98 | |||||||||||||||||||||
Reinvested |
602 | 376 | 635 | 7 | 1 | 2 | |||||||||||||||||||||
Redeemed |
(17,529 | ) | (2,575 | ) | (13,408 | ) | | | (1 | ) | |||||||||||||||||
Change in
Institutional Class Shares |
(7,293 | ) | 5,324 | (3,194 | ) | 45 | 540 | 99 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Commencement of operations was September 1, 2005. |
(c) |
Amount rounds to less than 1,000. |
Short Term Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 10,776 | $ | 4,315 | $ | 3,712 | $ | 6,310 | $ | 1,081 | $ | 4,577 | |||||||||||||||
Dividends and
distributions reinvested |
514 | 193 | 197 | 1,118 | 582 | 1,410 | |||||||||||||||||||||
Cost of
shares redeemed |
(8,426 | ) | (1,831 | ) | (1,428 | ) | (8,955 | ) | (9,574 | ) | (14,049 | ) | |||||||||||||||
Change in net
assets from Class A capital transactions |
$ | 2,864 | $ | 2,677 | $ | 2,481 | $ | (1,527 | ) | $ | (7,911 | ) | $ | (8,062 | ) | ||||||||||||
Class
M |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | | $ | 1 | $ | | $ | 388 | |||||||||||||||
Dividends and
distributions reinvested |
| | | | (b) | | 1 | ||||||||||||||||||||
Cost of
shares redeemed |
| | | (28,875 | ) | (33,459 | ) | (157,508 | ) | ||||||||||||||||||
Change in net
assets from Class M capital transactions |
$ | | $ | | $ | | $ | (28,874 | ) | $ | (33,459 | ) | $ | (157,119 | ) | ||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 500,278 | $ | 704,823 | $ | 560,733 | $ | 8,986 | $ | 12,169 | $ | 103,808 | |||||||||||||||
Dividends and
distributions reinvested |
3,886 | 1,999 | 2,346 | 272 | 270 | 728 | |||||||||||||||||||||
Cost of
shares redeemed |
(816,136 | ) | (158,187 | ) | (79,887 | ) | (75,475 | ) | (236,075 | ) | (153,931 | ) | |||||||||||||||
Change in net
assets from Select Class capital transactions |
$ | (311,972 | ) | $ | 548,635 | $ | 483,192 | $ | (66,217 | ) | $ | (223,636 | ) | $ | (49,395 | ) | |||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Proceeds from
shares issued |
$ | 128,940 | $ | 240,826 | $ | 141,259 | $ | | $ | | $ | | |||||||||||||||
Dividends and
distributions reinvested |
11,725 | 7,005 | 13,896 | | | | |||||||||||||||||||||
Cost of
shares redeemed |
(352,186 | ) | (174,299 | ) | (240,103 | ) | | | | ||||||||||||||||||
Change in net
assets from Institutional Class capital transactions |
$ | (211,521 | ) | $ | 73,532 | $ | (84,948 | ) | $ | | $ | | $ | | |||||||||||||
Total
change in net assets from capital transactions |
$ | (520,629 | ) | $ | 624,844 | $ | 400,725 | $ | (96,618 | ) | $ | (265,006 | ) | $ | (214,576 | ) |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Amount rounds to less than $1,000. |
Short Term Bond Fund |
Short Term Bond Fund II |
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||||||||||||||
Class
A |
|||||||||||||||||||||||||||
Issued |
1,148 | 454 | 389 | 642 | 110 | 464 | |||||||||||||||||||||
Reinvested |
55 | 20 | 21 | 115 | 59 | 143 | |||||||||||||||||||||
Redeemed |
(906 | ) | (192 | ) | (150 | ) | (916 | ) | (973 | ) | (1,423 | ) | |||||||||||||||
Change in
Class A Shares |
297 | 282 | 260 | (159 | ) | (804 | ) | (816 | ) | ||||||||||||||||||
Class
M |
|||||||||||||||||||||||||||
Issued |
| | | | (b) | | 39 | ||||||||||||||||||||
Reinvested |
| | | | (b) | | | (b) | |||||||||||||||||||
Redeemed |
| | | (2,950 | ) | (3,403 | ) | (15,882 | ) | ||||||||||||||||||
Change in
Class M Shares |
| | | (2,950 | ) | (3,403 | ) | (15,843 | ) | ||||||||||||||||||
Select
Class |
|||||||||||||||||||||||||||
Issued |
52,766 | 73,963 | 58,968 | 914 | 1,234 | 10,490 | |||||||||||||||||||||
Reinvested |
415 | 210 | 247 | 28 | 28 | 74 | |||||||||||||||||||||
Redeemed |
(87,596 | ) | (16,585 | ) | (8,372 | ) | (7,736 | ) | (23,939 | ) | (15,572 | ) | |||||||||||||||
Change in
Select Class Shares |
(34,415 | ) | 57,588 | 50,843 | (6,794 | ) | (22,677 | ) | (5,008 | ) | |||||||||||||||||
Institutional Class |
|||||||||||||||||||||||||||
Issued |
13,637 | 25,250 | 14,788 | | | | |||||||||||||||||||||
Reinvested |
1,250 | 736 | 1,460 | | | | |||||||||||||||||||||
Redeemed |
(37,736 | ) | (18,245 | ) | (25,159 | ) | | | | ||||||||||||||||||
Change in
Institutional Class Shares |
(22,849 | ) | 7,741 | (8,911 | ) | | | |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Amount rounds to less than 1,000. |
Strategic Income Fund |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||
CAPITAL
TRANSACTIONS: |
|||||||||||||||
Class
A |
|||||||||||||||
Proceeds from
shares issued |
$ | 1,979 | $ | 1,526 | $ | 4,254 | |||||||||
Dividends and
distributions reinvested |
211 | 105 | 156 | ||||||||||||
Cost of
shares redeemed |
(3,096 | ) | (683 | ) | (1,650 | ) | |||||||||
Redemption
fees |
| | 1 | ||||||||||||
Change in net
assets from Class A capital transactions |
$ | (906 | ) | $ | 948 | $ | 2,761 | ||||||||
Class
B |
|||||||||||||||
Proceeds from
shares issued |
$ | 422 | $ | 315 | $ | 909 | |||||||||
Dividends and
distributions reinvested |
131 | 78 | 179 | ||||||||||||
Cost of
shares redeemed |
(2,283 | ) | (971 | ) | (1,660 | ) | |||||||||
Redemption
fees |
| | 2 | ||||||||||||
Change in net
assets from Class B capital transactions |
$ | (1,730 | ) | $ | (578 | ) | $ | (570 | ) | ||||||
Class
C |
|||||||||||||||
Proceeds from
shares issued |
$ | 676 | $ | 428 | $ | 1,583 | |||||||||
Dividends and
distributions reinvested |
77 | 46 | 89 | ||||||||||||
Cost of
shares redeemed |
(1,528 | ) | (707 | ) | (970 | ) | |||||||||
Redemption
fees |
| | 1 | ||||||||||||
Change in net
assets from Class C capital transactions |
$ | (775 | ) | $ | (233 | ) | $ | 703 | |||||||
Class
M |
|||||||||||||||
Proceeds from
shares issued |
$ | | $ | | $ | 7 | |||||||||
Dividends and
distributions reinvested |
| | 18 | ||||||||||||
Cost of
shares redeemed |
(2,948 | ) | (509 | ) | (1,518 | ) | |||||||||
Redemption
fees |
| | 1 | ||||||||||||
Change in net
assets from Class M capital transactions |
$ | (2,948 | ) | $ | (509 | ) | $ | (1,492 | ) | ||||||
Select
Class |
|||||||||||||||
Proceeds from
shares issued |
$ | 245 | $ | 191 | $ | 984 | |||||||||
Dividends and
distributions reinvested |
74 | 40 | 94 | ||||||||||||
Cost of
shares redeemed |
(761 | ) | (425 | ) | (1,123 | ) | |||||||||
Redemption
fees |
| | | (b) | |||||||||||
Change in net
assets from Select Class capital transactions |
$ | (442 | ) | $ | (194 | ) | $ | (45 | ) | ||||||
Institutional Class |
|||||||||||||||
Proceeds from
shares issued |
$ | 867 | $ | 106 | $ | 2,481 | |||||||||
Dividends and
distributions reinvested |
71 | 60 | 144 | ||||||||||||
Cost of
shares redeemed |
(2,237 | ) | (383 | ) | (759 | ) | |||||||||
Redemption
fees |
| | 1 | ||||||||||||
Change in net
assets from Institutional Class capital transactions |
$ | (1,299 | ) | $ | (217 | ) | $ | 1,867 | |||||||
Total
change in net assets from capital transactions |
$ | (8,100 | ) | $ | (783 | ) | $ | 3,224 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Amount rounds to less than $1,000. |
Strategic Income Fund |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Year Ended 2/29/2008 |
|
Period Ended 2/28/2007 (a) |
|
Year Ended 8/31/2006 |
||||||||||
SHARE
TRANSACTIONS: |
|||||||||||||||
Class
A |
|||||||||||||||
Issued |
220 | 166 | 469 | ||||||||||||
Reinvested |
24 | 11 | 17 | ||||||||||||
Redeemed |
(349 | ) | (74 | ) | (180 | ) | |||||||||
Change in
Class A Shares |
(105 | ) | 103 | 306 | |||||||||||
Class
B |
|||||||||||||||
Issued |
46 | 34 | 100 | ||||||||||||
Reinvested |
15 | 9 | 20 | ||||||||||||
Redeemed |
(256 | ) | (106 | ) | (182 | ) | |||||||||
Change in
Class B Shares |
(195 | ) | (63 | ) | (62 | ) | |||||||||
Class
C |
|||||||||||||||
Issued |
76 | 47 | 175 | ||||||||||||
Reinvested |
9 | 5 | 10 | ||||||||||||
Redeemed |
(170 | ) | (77 | ) | (107 | ) | |||||||||
Change in
Class C Shares |
(85 | ) | (25 | ) | 78 | ||||||||||
Class
M |
|||||||||||||||
Issued |
| | 1 | ||||||||||||
Reinvested |
| | 2 | ||||||||||||
Redeemed |
(324 | ) | (55 | ) | (166 | ) | |||||||||
Change in
Class M Shares |
(324 | ) | (55 | ) | (163 | ) | |||||||||
Select
Class |
|||||||||||||||
Issued |
27 | 21 | 108 | ||||||||||||
Reinvested |
8 | 4 | 10 | ||||||||||||
Redeemed |
(86 | ) | (46 | ) | (124 | ) | |||||||||
Change in
Select Class Shares |
(51 | ) | (21 | ) | (6 | ) | |||||||||
Institutional Class |
|||||||||||||||
Issued |
99 | 11 | 271 | ||||||||||||
Reinvested |
8 | 7 | 16 | ||||||||||||
Redeemed |
(257 | ) | (42 | ) | (84 | ) | |||||||||
Change in
Institutional Class Shares |
(150 | ) | (24 | ) | 203 |
(a) |
The Fund changed its fiscal year end from August 31 to the last day of February. |
(b) |
Amount rounds to less than 1,000. |
|
Emerging Markets Debt Fund |
|||||
---|---|---|---|---|---|---|
INCREASE
(DECREASE) IN CASH |
||||||
Cash flows
used by operating activities: |
||||||
Net increase
in net assets from operations |
$ | 8,781 | ||||
Adjustments to reconcile net increase in net assets from operations to net cash used by operating activities: |
||||||
Purchase of
investment securities |
(341,116 | ) | ||||
Proceeds from
disposition of investment securities |
180,036 | |||||
Purchases of
short-term investments, net |
(636 | ) | ||||
Net
amortization/accretion |
(198 | ) | ||||
Unrealized
appreciation/depreciation on foreign currency translations |
420 | |||||
Unrealized
appreciation/depreciation on swap contracts |
5,253 | |||||
Unrealized
appreciation/depreciation on investments |
3,757 | |||||
Realized
gain/loss on investments |
2,610 | |||||
Increase in
dividends and interest receivable |
(4,219 | ) | ||||
Increase in
variation margin receivable |
(818 | ) | ||||
Increase in
variation margin payable |
371 | |||||
Decrease in
premiums paid on swaps |
69 | |||||
Increase in
accrued expenses and other liabilities |
226 | |||||
Net cash used
by operating activities |
(145,464 | ) | ||||
Cash flows
provided by financing activities: |
||||||
Net proceeds
from shares issued |
231,126 | |||||
Net cost of
shares redeemed |
(65,088 | ) | ||||
Redemption
fees |
44 | |||||
Cash
distributions paid |
(12,669 | ) | ||||
Net cash
provided by financing activities |
153,413 | |||||
Net increase
in cash |
7,949 | |||||
Cash: |
||||||
Beginning of
period (including foreign currency of $353) |
360 | |||||
End of period
(including foreign currency of $270) |
$ | 8,309 |
|
Strategic Income Fund |
|||||
---|---|---|---|---|---|---|
INCREASE
(DECREASE) IN CASH |
||||||
Cash flows
used by operating activities: |
||||||
Net decrease
in net assets from operations |
$ | (186 | ) | |||
Adjustments to reconcile net decrease in net assets from operations to net cash used by operating activities: |
||||||
Purchase of
investment securities |
(215,724 | ) | ||||
Proceeds from
disposition of investment securities |
221,950 | |||||
Purchases of
short-term investments, net |
4,077 | |||||
Decrease in
proceeds received on short positions |
(596 | ) | ||||
Net
amortization/accretion |
(15 | ) | ||||
Decrease in
premiums received on written options |
(1.397 | ) | ||||
Decrease in
premiums received on swaps |
(40 | ) | ||||
Increase in
premiums payed on swaps |
(13 | ) | ||||
Unrealized
appreciation/depreciation on foreign currency translations |
13 | |||||
Unrealized
appreciation/depreciation on swap contracts |
111 | |||||
Unrealized
appreciation/depreciation on written options |
280 | |||||
Unrealized
appreciation/depreciation on securities sold short |
| (a) | ||||
Unrealized
appreciation/depreciation on investments |
512 | |||||
Realized
gain/loss on investments |
185 | |||||
Decrease in
dividends and interest receivable |
98 | |||||
Increase in
variation margin receivable |
(49 | ) | ||||
Increase in
due from advisor and affiliates |
4 | |||||
Increase in
variation margin payable |
31 | |||||
Decrease in
accrued expenses and other liabilities |
(18 | ) | ||||
Net cash used
by operating activities |
9,223 | |||||
Cash flows
provided by financing activities: |
||||||
Net proceeds
from shares issued |
4,204 | |||||
Net cost of
shares redeemed |
(12,907 | ) | ||||
Cash
distributions paid |
(479 | ) | ||||
Net cash
provided by financing activities |
(9,182 | ) | ||||
Net increase
in cash |
41 | |||||
Cash: |
||||||
Beginning of
period (including foreign currency of $0) |
(2 | ) | ||||
End of period
(including foreign currency of $17) |
$ | 39 |
(a) |
Rounds to less than $1,000. |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Tax return of capital |
|
Total distributions |
||||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.40 | $ | 0.47 | $ | (0.54 | ) | $ | (0.07 | ) | $ | (0.46 | ) | $ | | $ | | $ | (0.46 | ) | |||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.29 | 0.22 | 0.12 | 0.34 | (0.23 | ) | | | (0.23 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.85 | 0.41 | (0.28 | ) | 0.13 | (0.42 | ) | (0.27 | ) | | (0.69 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
10.05 | 0.36 | 0.13 | 0.49 | (0.39 | ) | (0.30 | ) | | (0.69 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
10.03 | 0.32 | 0.32 | 0.64 | (0.32 | ) | (0.30 | ) | | (0.62 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.07 | 0.40 | 0.04 | 0.44 | (0.40 | ) | (0.08 | ) | | (0.48 | ) | ||||||||||||||||||||||||
Emerging
Markets Debt Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.73 | 0.54 | (0.18 | ) | 0.36 | (0.53 | ) | (0.15 | ) | | (0.68 | ) | |||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
8.39 | 0.21 | 0.37 | 0.58 | (0.21 | ) | (0.03 | ) | | (0.24 | ) | ||||||||||||||||||||||||
June 30, 2006
(f) through August 31, 2006 |
7.93 | 0.08 | 0.46 | 0.54 | (0.08 | ) | | | (0.08 | ) | |||||||||||||||||||||||||
Real Return
Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.52 | 0.54 | 0.58 | 1.12 | (0.51 | ) | | | (0.51 | ) | |||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.51 | 0.04 | 0.03 | 0.07 | (0.06 | ) | | | (0.06 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 (g) |
10.00 | 0.42 | (0.46 | ) | (0.04 | ) | (0.45 | ) | | | (0.45 | ) | |||||||||||||||||||||||
Short Term
Bond Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.52 | 0.44 | (0.32 | ) | 0.12 | (0.45 | ) | | | (0.45 | ) | ||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.50 | 0.22 | 0.03 | 0.25 | (0.23 | ) | | | (0.23 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.64 | 0.42 | (0.15 | ) | 0.27 | (0.41 | ) | | | (0.41 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.84 | 0.31 | (0.19 | ) | 0.12 | (0.32 | ) | | | (0.32 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.85 | 0.20 | (0.01 | ) | 0.19 | (0.20 | ) | | | (0.20 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.03 | 0.24 | (0.03 | ) | 0.21 | (0.25 | ) | (0.14 | ) | | (0.39 | ) | |||||||||||||||||||||||
Short Term
Bond Fund II |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.84 | 0.45 | (0.18 | ) | 0.27 | (0.45 | ) | | | (0.45 | ) | ||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.84 | 0.22 | (h) | 0.02 | 0.24 | (0.24 | ) | | | (0.24 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
10.02 | 0.45 | (0.20 | ) | 0.25 | (0.43 | ) | | | (0.43 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
10.21 | 0.31 | (0.20 | ) | 0.11 | (0.30 | ) | | | (0.30 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
10.23 | 0.21 | (h) | (0.02 | ) | 0.19 | (0.21 | ) | | | (i) | (0.21 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.33 | 0.23 | (h) | (0.04 | ) | 0.19 | (0.24 | ) | (0.05 | ) | | (i) | (0.29 | ) | |||||||||||||||||||||
Strategic
Income Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.24 | 0.51 | (h) | (0.54 | ) | (0.03 | ) | (0.49 | ) | | | (0.49 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.11 | 0.22 | (h) | 0.15 | 0.37 | (0.24 | ) | | | (0.24 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.33 | 0.43 | (h) | (0.14 | ) | 0.29 | (0.51 | ) | | | (0.51 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.08 | 0.30 | 0.33 | 0.63 | (0.38 | ) | | | (0.38 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2004 |
8.92 | 0.48 | (h) | 0.15 | 0.63 | (0.47 | ) | | | (0.47 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
8.64 | 0.40 | (h) | 0.31 | 0.71 | (0.43 | ) | | | (0.43 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Commencement of offering of class of shares. |
(g) |
Commencement of operations was September 1, 2005. |
(h) |
Calculated based on average shares outstanding. |
(i) |
Amount rounds to less than $0.01. |
(j) |
Includes interest expense of 0.01%. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
||||||||||||||||||
$ | $ | 8.87 | (0.82 | )% | $ | 25,579 | 0.75 | % | 5.22 | % | 0.97 | % | 821 | % | ||||||||||||||||||
| 9.40 | 3.72 | 20,271 | 0.75 | 4.89 | 0.95 | 357 | |||||||||||||||||||||||||
| 9.29 | 1.42 | 13,632 | 0.75 | 4.55 | 0.97 | 711 | |||||||||||||||||||||||||
| 9.85 | 5.06 | 5,963 | 0.75 | 3.63 | 1.31 | 559 | |||||||||||||||||||||||||
| 10.05 | 6.61 | 3,004 | 0.75 | 3.19 | 1.88 | 571 | |||||||||||||||||||||||||
| 10.03 | 4.32 | 2,000 | 0.75 | 3.86 | 1.59 | 679 | |||||||||||||||||||||||||
| (i) | 8.41 | 4.22 | 8,140 | 1.47 | 7.22 | 1.47 | 80 | ||||||||||||||||||||||||
| (i) | 8.73 | 6.96 | 2,154 | 1.50 | 5.20 | 1.59 | 68 | ||||||||||||||||||||||||
| (i) | 8.39 | 6.82 | 41 | 1.50 | 6.17 | 1.71 | 270 | ||||||||||||||||||||||||
| 10.13 | 12.30 | 5,171 | 0.90 | 4.60 | 1.92 | 494 | |||||||||||||||||||||||||
| 9.52 | 0.78 | 630 | 0.90 | 0.85 | 1.34 | 154 | |||||||||||||||||||||||||
| 9.51 | (0.33 | ) | 584 | 0.90 | 3.96 | 1.45 | 223 | ||||||||||||||||||||||||
| 9.19 | 1.26 | 10,944 | 0.75 | 4.69 | 0.90 | 506 | |||||||||||||||||||||||||
| 9.52 | 2.64 | 8,510 | 0.75 | 4.77 | 0.89 | 143 | |||||||||||||||||||||||||
| 9.50 | 2.93 | 5,819 | 0.75 | 4.49 | 0.91 | 540 | |||||||||||||||||||||||||
| 9.64 | 1.29 | 3,393 | 0.75 | 3.20 | 1.21 | 194 | |||||||||||||||||||||||||
| 9.84 | 1.92 | 3,000 | 0.75 | 2.00 | 1.17 | 261 | |||||||||||||||||||||||||
| 9.85 | 2.08 | 9,000 | 0.75 | 2.39 | 1.10 | 386 | |||||||||||||||||||||||||
| 9.66 | 2.78 | 22,655 | 0.75 | 4.51 | 1.01 | 338 | |||||||||||||||||||||||||
| 9.84 | 2.42 | 24,652 | 0.75 | 4.53 | 0.98 | 246 | |||||||||||||||||||||||||
| 9.84 | 2.56 | 32,557 | 0.75 | 4.46 | 0.95 | 479 | |||||||||||||||||||||||||
| 10.02 | 1.09 | 41,311 | 0.75 | 2.94 | 1.00 | 201 | |||||||||||||||||||||||||
| 10.21 | 1.85 | 55,000 | 0.75 | 2.03 | 1.10 | 253 | |||||||||||||||||||||||||
| 10.23 | 1.88 | 44,000 | 0.75 | 2.31 | 0.96 | 319 | |||||||||||||||||||||||||
| 8.72 | (0.31 | ) | 6,355 | 1.15 | 5.65 | 2.69 | 704 | ||||||||||||||||||||||||
| 9.24 | 4.05 | 7,705 | 1.15 | 4.78 | 3.74 | 223 | |||||||||||||||||||||||||
| (i) | 9.11 | 3.24 | 6,660 | 1.15 | 4.67 | 3.77 | 299 | ||||||||||||||||||||||||
| 9.33 | 7.04 | 3,965 | 1.17 | 4.29 | 2.11 | 461 | |||||||||||||||||||||||||
| 9.08 | 7.20 | 802 | 1.27 | (j) | 5.31 | 4.23 | 152 | ||||||||||||||||||||||||
| 8.92 | 8.33 | 300 | 1.25 | 4.45 | 7.26 | 248 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Tax return of capital |
|
Total distributions |
||||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.34 | $ | 0.41 | $ | (0.55 | ) | $ | (0.14 | ) | $ | (0.40 | ) | $ | | $ | | $ | (0.40 | ) | |||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.23 | 0.19 | 0.12 | 0.31 | (0.20 | ) | | | (0.20 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.78 | 0.36 | (0.28 | ) | 0.08 | (0.36 | ) | (0.27 | ) | | (0.63 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.97 | 0.29 | 0.12 | 0.41 | (0.30 | ) | (0.30 | ) | | (0.60 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.95 | 0.25 | 0.32 | 0.57 | (0.25 | ) | (0.30 | ) | | (h) | (0.55 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.05 | 0.33 | (0.03 | ) | 0.30 | (0.32 | ) | (0.08 | ) | | (0.40 | ) | |||||||||||||||||||||||
Strategic
Income Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.24 | 0.46 | (g) | (0.54 | ) | (0.08 | ) | (0.44 | ) | | | (0.44 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.11 | 0.20 | (g) | 0.14 | 0.34 | (0.21 | ) | | | (0.21 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.32 | 0.39 | (g) | (0.14 | ) | 0.25 | (0.46 | ) | | | (0.46 | ) | |||||||||||||||||||||||
February 18,
2005 (f) through August 31, 2005 |
9.26 | 0.19 | 0.06 | 0.25 | (0.19 | ) | | | (0.19 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Commencement of offering of class of shares. |
(g) |
Calculated based on average shares outstanding. |
(h) |
Amount rounds to less than $0.01. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
||||||||||||||||||
$ | $ | 8.80 | (1.58 | )% | $ | 4,113 | 1.40 | % | 4.56 | % | 1.47 | % | 821 | % | ||||||||||||||||||
| 9.34 | 3.42 | 3,564 | 1.40 | 4.23 | 1.45 | 357 | |||||||||||||||||||||||||
| 9.23 | 0.90 | 2,814 | 1.40 | 3.99 | 1.47 | 711 | |||||||||||||||||||||||||
| 9.78 | 4.23 | 2,283 | 1.44 | 2.93 | 1.90 | 559 | |||||||||||||||||||||||||
| 9.97 | 5.89 | 1,972 | 1.50 | 2.48 | 2.36 | 571 | |||||||||||||||||||||||||
| 9.95 | 2.94 | 2,000 | 1.50 | 3.19 | 2.14 | 679 | |||||||||||||||||||||||||
| 8.72 | (0.86 | ) | 3,492 | 1.65 | 5.13 | 3.16 | 704 | ||||||||||||||||||||||||
| 9.24 | 3.79 | 5,498 | 1.65 | 4.28 | 4.23 | 223 | |||||||||||||||||||||||||
| (h) | 9.11 | 2.80 | 5,996 | 1.65 | 4.21 | 4.08 | 299 | ||||||||||||||||||||||||
| 9.32 | 2.77 | 6,715 | 1.65 | 3.91 | 2.43 | 461 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Total distributions |
||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.39 | $ | 0.42 | $ | (0.56 | ) | $ | (0.14 | ) | $ | (0.40 | ) | $ | | $ | (0.40 | ) | |||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.27 | 0.19 | 0.13 | 0.32 | (0.20 | ) | | (0.20 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.83 | 0.32 | (0.25 | ) | 0.07 | (0.36 | ) | (0.27 | ) | (0.63 | ) | ||||||||||||||||||||
Year Ended
August 31, 2005 |
10.03 | 0.28 | 0.12 | 0.40 | (0.30 | ) | (0.30 | ) | (0.60 | ) | |||||||||||||||||||||
Year Ended
August 31, 2004 |
10.01 | 0.24 | 0.33 | 0.57 | (0.25 | ) | (0.30 | ) | (0.55 | ) | |||||||||||||||||||||
March 31, 2003
(f) through August 31, 2003 |
10.22 | 0.14 | (0.21 | ) | (0.07 | ) | (0.14 | ) | | (0.14 | ) | ||||||||||||||||||||
Emerging
Markets Debt Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.73 | 0.50 | (0.19 | ) | 0.31 | (0.49 | ) | (0.15 | ) | (0.64 | ) | ||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
8.39 | 0.20 | 0.36 | 0.56 | (0.19 | ) | (0.03 | ) | (0.22 | ) | |||||||||||||||||||||
June 30, 2006
(f) through August 31, 2006 |
7.93 | 0.07 | 0.47 | 0.54 | (0.08 | ) | | (0.08 | ) | ||||||||||||||||||||||
Real Return
Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.49 | 0.50 | 0.57 | 1.07 | (0.48 | ) | | (0.48 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.50 | 0.02 | 0.02 | 0.04 | (0.05 | ) | | (0.05 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2006 (g) |
10.00 | 0.41 | (0.50 | ) | (0.09 | ) | (0.41 | ) | | (0.41 | ) | ||||||||||||||||||||
Strategic
Income Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.24 | 0.46 | (h) | (0.54 | ) | (0.08 | ) | (0.44 | ) | | (0.44 | ) | |||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.12 | 0.20 | (h) | 0.13 | 0.33 | (0.21 | ) | | (0.21 | ) | |||||||||||||||||||||
Year Ended
August 31, 2006 |
9.33 | 0.38 | (h) | (0.13 | ) | 0.25 | (0.46 | ) | | (0.46 | ) | ||||||||||||||||||||
February 18,
2005 (f) through August 31, 2005 |
9.26 | 0.19 | 0.07 | 0.26 | (0.19 | ) | | (0.19 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Commencement of offering of class of shares. |
(g) |
Commencement of operations was September 1, 2005. |
(h) |
Calculated based on average shares outstanding. |
(i) |
Amount rounds to less than $0.01. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
||||||||||||||||||
$ | $ | 8.85 | (1.54 | )% | $ | 7,659 | 1.40 | % | 4.57 | % | 1.47 | % | 821 | % | ||||||||||||||||||
| 9.39 | 3.53 | 5,146 | 1.40 | 4.26 | 1.45 | 357 | |||||||||||||||||||||||||
| 9.27 | 0.87 | 2,574 | 1.39 | 3.90 | 1.46 | 711 | |||||||||||||||||||||||||
| 9.83 | 4.13 | 425 | 1.42 | 2.96 | 1.82 | 559 | |||||||||||||||||||||||||
| 10.03 | 5.84 | 211 | 1.50 | 2.45 | 2.36 | 571 | |||||||||||||||||||||||||
| 10.01 | (0.69 | ) | 200 | 1.50 | 3.02 | 1.78 | 679 | ||||||||||||||||||||||||
| (i) | 8.40 | 3.63 | 5,154 | 1.97 | 6.50 | 1.98 | 80 | ||||||||||||||||||||||||
| (i) | 8.73 | 6.73 | 1,332 | 2.00 | 4.66 | 2.09 | 68 | ||||||||||||||||||||||||
| (i) | 8.39 | 6.77 | 27 | 2.00 | 5.87 | 2.20 | 270 | ||||||||||||||||||||||||
| 10.08 | 11.71 | 4,023 | 1.40 | 3.36 | 2.75 | 494 | |||||||||||||||||||||||||
| 9.49 | 0.48 | 27 | 1.40 | 0.41 | 1.85 | 154 | |||||||||||||||||||||||||
| 9.50 | (0.80 | ) | 24 | 1.40 | 4.58 | 1.95 | 223 | ||||||||||||||||||||||||
| 8.72 | (0.84 | ) | 2,177 | 1.65 | 5.10 | 3.19 | 704 | ||||||||||||||||||||||||
| 9.24 | 3.67 | 3,096 | 1.65 | 4.28 | 4.22 | 223 | |||||||||||||||||||||||||
| (i) | 9.12 | 2.82 | 3,285 | 1.65 | 4.20 | 4.16 | 299 | ||||||||||||||||||||||||
| 9.33 | 2.88 | 2,631 | 1.65 | 3.91 | 2.42 | 461 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Tax return of capital |
|
Total distributions |
||||||||||||||||||||
Short Term
Bond Fund II |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.85 | $ | 0.41 | $ | (0.18 | ) | $ | 0.23 | $ | (0.42 | ) | $ | | $ | | $ | (0.42 | ) | ||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.84 | 0.21 | (f) | 0.02 | 0.23 | (0.22 | ) | | | (0.22 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
10.02 | 0.41 | (0.19 | ) | 0.22 | (0.40 | ) | | | (0.40 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
10.21 | 0.28 | (0.20 | ) | 0.08 | (0.27 | ) | | | (0.27 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
10.23 | 0.18 | (f) | (0.02 | ) | 0.16 | (0.18 | ) | | | (g) | (0.18 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.33 | 0.21 | (f) | (0.04 | ) | 0.17 | (0.22 | ) | (0.05 | ) | | (g) | (0.27 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Calculated based on average shares outstanding. |
(g) |
Amount rounds to less than $0.01. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
Net asset value, end of period |
|
Total return (excludes sales charge) (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
|||||||||||||||
$ 9.66 | 2.42 | % | $ | 144,078 | 1.00 | % | 4.26 | % | 1.11 | % | 338 | % | |||||||||||||||
9.85 | 2.39 | 175,836 | 1.00 | 4.29 | 1.08 | 246 | |||||||||||||||||||||
9.84 | 2.30 | 209,284 | 1.00 | 4.19 | 1.05 | 479 | |||||||||||||||||||||
10.02 | 0.83 | 371,756 | 1.00 | 2.67 | 1.03 | 201 | |||||||||||||||||||||
10.21 | 1.58 | 643,278 | 1.00 | 1.75 | 1.04 | 253 | |||||||||||||||||||||
10.23 | 1.64 | 1,168,000 | 1.00 | 2.07 | 1.04 | 319 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Total distributions |
||||||||||||||||||
Emerging
Markets Debt Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 8.73 | $ | 0.60 | $ | (0.19 | ) | $ | 0.41 | $ | (0.57 | ) | $ | (0.15 | ) | $ | (0.72 | ) | |||||||||||||
September 1,
2006 through February 28, 2007 (f) |
8.39 | 0.24 | 0.36 | 0.60 | (0.23 | ) | (0.03 | ) | (0.26 | ) | |||||||||||||||||||||
May 15, 2006
(g) through August 31, 2006 |
8.07 | 0.14 | 0.33 | 0.47 | (0.15 | ) | | (0.15 | ) |
(a) |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
(b) |
Annualized for periods less than one year. |
(c) |
Not annualized for periods less than one year. |
(d) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(e) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(f) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(g) |
Commencement of offering of class of shares. |
(h) |
Amount rounds to less than $0.01. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (b) |
||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (c)(d) |
|
Net assets end of period (000s) |
|
Net expenses (e) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (c) |
||||||||||||||||||
$(h) | $ | 8.42 | 4.79 | % | $ | 22,347 | 1.02 | % | 7.25 | % | 1.03 | % | 80 | % | ||||||||||||||||||
(h) | 8.73 | 7.15 | 8,571 | 1.05 | 5.42 | 1.14 | 68 | |||||||||||||||||||||||||
(h) | 8.39 | 5.88 | 2,426 | 1.05 | 7.23 | 1.23 | 270 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Total distributions |
||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.31 | $ | 0.48 | $ | (0.54 | ) | $ | (0.06 | ) | $ | (0.47 | ) | $ | | $ | (0.47 | ) | |||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.20 | 0.23 | 0.12 | 0.35 | (0.24 | ) | | (0.24 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.76 | 0.42 | (0.28 | ) | 0.14 | (0.43 | ) | (0.27 | ) | (0.70 | ) | ||||||||||||||||||||
Year Ended
August 31, 2005 |
9.97 | 0.36 | 0.13 | 0.49 | (0.40 | ) | (0.30 | ) | (0.70 | ) | |||||||||||||||||||||
Year Ended
August 31, 2004 |
9.94 | 0.33 | 0.33 | 0.66 | (0.33 | ) | (0.30 | ) | (0.63 | ) | |||||||||||||||||||||
Year Ended
August 31, 2003 |
10.04 | 0.40 | (0.01 | ) | 0.39 | (0.41 | ) | (0.08 | ) | (0.49 | ) | ||||||||||||||||||||
Emerging
Markets Debt Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
8.74 | 0.56 | (0.18 | ) | 0.38 | (0.55 | ) | (0.15 | ) | (0.70 | ) | ||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
8.39 | 0.21 | 0.39 | 0.60 | (0.22 | ) | (0.03 | ) | (0.25 | ) | |||||||||||||||||||||
Year Ended
August 31, 2006 |
9.29 | 0.45 | 0.42 | 0.87 | (0.46 | ) | (1.35 | ) | (1.81 | ) | |||||||||||||||||||||
Year Ended
August 31, 2005 |
9.58 | 0.61 | 1.08 | 1.69 | (0.67 | ) | (1.31 | ) | (1.98 | ) | |||||||||||||||||||||
Year Ended
August 31, 2004 |
9.02 | 0.67 | 0.60 | 1.27 | (0.71 | ) | | (0.71 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2003 |
7.53 | 0.68 | 1.53 | 2.21 | (0.72 | ) | | (0.72 | ) | ||||||||||||||||||||||
Real Return
Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.54 | 0.52 | 0.63 | 1.15 | (0.53 | ) | | (0.53 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.53 | 0.06 | 0.02 | 0.08 | (0.07 | ) | | (0.07 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2006 (f) |
10.00 | 0.48 | (0.49 | ) | (0.01 | ) | (0.46 | ) | | (0.46 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Commencement of operations was September 1, 2005. |
(g) |
Includes a voluntary contribution from Advisor. The total return without the voluntary contribution would have been 10.46%. |
(h) |
Amount rounds to less than $0.01. |
(i) |
Includes interest expense of 0.01%. |
|
|
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
|||||||||||||||||||||||||||||||||||
Contribution from affiliate |
|
Redemption fees |
|
Net asset value, end of period |
|
Total return (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
|||||||||||||||||||
$ | $ | | $ | 8.78 | (0.71 | )% | $ | 1,116,991 | 0.65 | % | 5.31 | % | 0.71 | % | 821 | % | |||||||||||||||||||
| | 9.31 | 3.81 | 1,459,959 | 0.65 | 4.97 | 0.70 | 357 | |||||||||||||||||||||||||||
| | 9.20 | 1.55 | 1,310,157 | 0.65 | 4.69 | 0.71 | 711 | |||||||||||||||||||||||||||
| | 9.76 | 5.12 | 202,659 | 0.66 | 3.72 | 0.74 | 559 | |||||||||||||||||||||||||||
| | 9.97 | 6.88 | 188,775 | 0.66 | 3.33 | 0.78 | 571 | |||||||||||||||||||||||||||
| | 9.94 | 3.82 | 308,000 | 0.66 | 3.97 | 0.76 | 679 | |||||||||||||||||||||||||||
| | (h) | 8.42 | 4.48 | 265,081 | 1.22 | 7.10 | 1.23 | 80 | ||||||||||||||||||||||||||
| | (h) | 8.74 | 7.17 | 125,421 | 1.25 | 4.98 | 1.35 | 68 | ||||||||||||||||||||||||||
0.04 | (g) | | (h) | 8.39 | 10.99 | (g) | 117,423 | 1.26 | (i) | 5.77 | 1.42 | 270 | |||||||||||||||||||||||
| | (h) | 9.29 | 19.87 | 34,448 | 1.25 | 6.56 | 1.72 | 337 | ||||||||||||||||||||||||||
| | 9.58 | 14.56 | 36,145 | 1.26 | (i) | 7.01 | 1.65 | 166 | ||||||||||||||||||||||||||
| | 9.02 | 30.49 | 60,000 | 1.25 | 8.11 | 1.52 | 157 | |||||||||||||||||||||||||||
| | 10.16 | 12.63 | 61,551 | 0.65 | 5.50 | 1.31 | 494 | |||||||||||||||||||||||||||
| | 9.54 | 0.83 | 61,757 | 0.65 | 1.18 | 1.09 | 154 | |||||||||||||||||||||||||||
| | 9.53 | 0.01 | 58,882 | 0.65 | 5.20 | 1.21 | 223 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Tax return of capital |
|
Total distributions |
||||||||||||||||||||
Short Term
Bond Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.53 | $ | 0.46 | $ | (0.32 | ) | $ | 0.14 | $ | (0.47 | ) | $ | | $ | | $ | (0.47 | ) | ||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.51 | 0.23 | 0.03 | 0.26 | (0.24 | ) | | | (0.24 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.64 | 0.44 | (0.14 | ) | 0.30 | (0.43 | ) | | | (0.43 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.84 | 0.32 | (0.17 | ) | 0.15 | (0.35 | ) | | | (0.35 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.86 | 0.22 | (0.02 | ) | 0.20 | (0.22 | ) | | | (0.22 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.04 | 0.26 | (0.03 | ) | 0.23 | (0.27 | ) | (0.14 | ) | | (0.41 | ) | |||||||||||||||||||||||
Short Term
Bond Fund II |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.86 | 0.51 | (0.22 | ) | 0.29 | (0.47 | ) | | | (0.47 | ) | ||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.86 | 0.23 | (f) | 0.02 | 0.25 | (0.25 | ) | | | (0.25 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
10.03 | 0.47 | (0.19 | ) | 0.28 | (0.45 | ) | | | (0.45 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
10.22 | 0.32 | (0.18 | ) | 0.14 | (0.33 | ) | | | (0.33 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
10.25 | 0.23 | (f) | (0.03 | ) | 0.20 | (0.23 | ) | | | (g) | (0.23 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.35 | 0.27 | (f) | (0.05 | ) | 0.22 | (0.27 | ) | (0.05 | ) | | (g) | (0.32 | ) | |||||||||||||||||||||
Strategic
Income Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.24 | 0.53 | (f) | (0.54 | ) | (0.01 | ) | (0.51 | ) | | | (0.51 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.12 | 0.23 | (f) | 0.14 | 0.37 | (0.25 | ) | | | (0.25 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.33 | 0.45 | (f) | (0.13 | ) | 0.32 | (0.53 | ) | | | (0.53 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.08 | 0.46 | 0.19 | 0.65 | (0.40 | ) | | | (0.40 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2004 |
8.92 | 0.49 | (f) | 0.16 | 0.65 | (0.49 | ) | | | (0.49 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
8.65 | 0.45 | (f) | 0.27 | 0.72 | (0.45 | ) | | | (0.45 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Calculated based on average shares outstanding. |
(g) |
Amount rounds to less than $0.01. |
(h) |
Includes interest expense of 0.01%. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
||||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
|
|||||||||||||||||||
$ | $ | 9.20 | 1.47 | % | $ | 832,289 | 0.55 | % | 4.94 | % | 0.65 | % | 506 | % | ||||||||||||||||||||
| 9.53 | 2.72 | 1,190,100 | 0.55 | 4.96 | 0.64 | 143 | |||||||||||||||||||||||||||
| 9.51 | 3.22 | 640,217 | 0.55 | 4.73 | 0.65 | 540 | |||||||||||||||||||||||||||
| 9.64 | 1.52 | 159,035 | 0.56 | 3.48 | 0.68 | 194 | |||||||||||||||||||||||||||
| 9.84 | 1.99 | 94,681 | 0.58 | 2.22 | 0.73 | 261 | |||||||||||||||||||||||||||
| 9.86 | 2.28 | 122,000 | 0.56 | 2.59 | 0.71 | 386 | |||||||||||||||||||||||||||
| 9.68 | 3.02 | 83,064 | 0.50 | 4.76 | 0.75 | 338 | |||||||||||||||||||||||||||
| 9.86 | 2.54 | 151,633 | 0.50 | 4.75 | 0.72 | 246 | |||||||||||||||||||||||||||
| 9.86 | 2.91 | 375,097 | 0.50 | 4.71 | 0.70 | 479 | |||||||||||||||||||||||||||
| 10.03 | 1.35 | 432,056 | 0.50 | 3.21 | 0.68 | 201 | |||||||||||||||||||||||||||
| 10.22 | 2.01 | 492,178 | 0.50 | 2.26 | 0.70 | 253 | |||||||||||||||||||||||||||
| 10.25 | 2.15 | 342,000 | 0.50 | 2.58 | 0.70 | 319 | |||||||||||||||||||||||||||
| 8.72 | (0.07 | ) | 1,086 | 0.90 | 5.94 | 2.39 | 704 | ||||||||||||||||||||||||||
| 9.24 | 4.07 | 1,627 | 0.90 | 5.03 | 3.46 | 223 | |||||||||||||||||||||||||||
| (g) | 9.12 | 3.58 | 1,796 | 0.90 | 4.94 | 3.32 | 299 | ||||||||||||||||||||||||||
| 9.33 | 7.30 | 1,892 | 0.95 | 4.30 | 1.86 | 461 | |||||||||||||||||||||||||||
| 9.08 | 7.48 | 2,364 | 1.01 | (h) | 5.44 | 1.95 | 152 | ||||||||||||||||||||||||||
| 8.92 | 8.48 | 3,000 | 1.00 | 5.10 | 1.48 | 248 |
|
|
|
Per share operating performance |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Tax return of capital |
|
Total distributions |
||||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.31 | $ | 0.50 | $ | (0.56 | ) | $ | (0.06 | ) | $ | (0.48 | ) | $ | | $ | | $ | (0.48 | ) | |||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.19 | 0.22 | 0.14 | 0.36 | (0.24 | ) | | | (0.24 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.75 | 0.46 | (0.31 | ) | 0.15 | (0.44 | ) | (0.27 | ) | | (0.71 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.96 | 0.38 | 0.13 | 0.51 | (0.42 | ) | (0.30 | ) | | (0.72 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.94 | 0.35 | 0.32 | 0.67 | (0.35 | ) | (0.30 | ) | | (0.65 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.04 | 0.42 | (0.02 | ) | 0.40 | (0.42 | ) | (0.08 | ) | | (0.50 | ) | |||||||||||||||||||||||
Enhanced
Income Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.75 | 0.53 | (0.76 | ) | (0.23 | ) | (0.51 | ) | | (0.02 | ) | (0.53 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.76 | 0.27 | (0.01 | ) | 0.26 | (0.27 | ) | | | (0.27 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.82 | 0.50 | (0.06 | ) | 0.44 | (0.50 | ) | | | (0.50 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.84 | 0.28 | (0.02 | ) | 0.26 | (0.28 | ) | | | (0.28 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.86 | 0.14 | (0.02 | ) | 0.12 | (0.14 | ) | | | (0.14 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
9.98 | 0.23 | (0.12 | ) | 0.11 | (0.23 | ) | | | (0.23 | ) | ||||||||||||||||||||||||
Real Return
Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.55 | 0.54 | 0.63 | 1.17 | (0.55 | ) | | | (0.55 | ) | |||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.53 | 0.06 | 0.03 | 0.09 | (0.07 | ) | | | (0.07 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 (f) |
10.00 | 0.49 | (0.49 | ) | | (0.47 | ) | | | (0.47 | ) | ||||||||||||||||||||||||
Short Term
Bond Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.53 | 0.52 | (0.37 | ) | 0.15 | (0.49 | ) | | | (0.49 | ) | ||||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.51 | 0.24 | 0.03 | 0.27 | (0.25 | ) | | | (0.25 | ) | |||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.64 | 0.48 | (0.15 | ) | 0.33 | (0.46 | ) | | | (0.46 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.85 | 0.36 | (0.19 | ) | 0.17 | (0.38 | ) | | | (0.38 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
9.86 | 0.25 | (0.02 | ) | 0.23 | (0.24 | ) | | | (0.24 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
10.05 | 0.28 | (0.04 | ) | 0.24 | (0.29 | ) | (0.14 | ) | | (0.43 | ) | |||||||||||||||||||||||
Strategic
Income Fund |
|||||||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
9.25 | 0.55 | (g) | (0.55 | ) | | (h) | (0.53 | ) | | | (0.53 | ) | ||||||||||||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.12 | 0.24 | (g) | 0.15 | 0.39 | (0.26 | ) | | | (0.26 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.33 | 0.48 | (g) | (0.14 | ) | 0.34 | (0.55 | ) | | | (0.55 | ) | |||||||||||||||||||||||
Year Ended
August 31, 2005 |
9.08 | (0.12 | ) | 0.80 | 0.68 | (0.43 | ) | | | (0.43 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2004 |
8.92 | 0.51 | (g) | 0.17 | 0.68 | (0.52 | ) | | | (0.52 | ) | ||||||||||||||||||||||||
Year Ended
August 31, 2003 |
8.65 | 0.48 | (g) | 0.27 | 0.75 | (0.48 | ) | | | (0.48 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
(f) |
Commencement of operations was September 1, 2005. |
(g) |
Calculated based on average shares outstanding. |
(h) |
Amount rounds to less than $0.01. |
(i) |
Includes interest expense of 0.01%. |
Ratios/Supplemental data |
|
|||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
||||||||||||||||||||||||||||||||
Redemption fees |
|
Net asset value, end of period |
|
Total return (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
||||||||||||||||||
$ | $ | 8.77 | (0.68 | )% | $ | 349,342 | 0.49 | % | 5.47 | % | 0.56 | % | 821 | % | ||||||||||||||||||
| 9.31 | 3.99 | 398,771 | 0.49 | 5.15 | 0.55 | 357 | |||||||||||||||||||||||||
| 9.19 | 1.70 | 265,279 | 0.49 | 4.91 | 0.58 | 711 | |||||||||||||||||||||||||
| 9.75 | 5.33 | 259,697 | 0.49 | 3.85 | 0.59 | 559 | |||||||||||||||||||||||||
| 9.96 | 6.96 | 318,100 | 0.49 | 3.51 | 0.62 | 571 | |||||||||||||||||||||||||
| 9.94 | 3.99 | 478,000 | 0.49 | 4.10 | 0.60 | 679 | |||||||||||||||||||||||||
| 8.99 | (2.53 | ) | 103,178 | 0.20 | 5.37 | 0.56 | 269 | ||||||||||||||||||||||||
| 9.75 | 2.66 | 183,102 | 0.20 | 5.53 | 0.55 | 44 | |||||||||||||||||||||||||
| 9.76 | 4.61 | 131,238 | 0.20 | 5.04 | 0.57 | 264 | |||||||||||||||||||||||||
| 9.82 | 2.69 | 163,344 | 0.20 | 2.66 | 0.56 | 128 | |||||||||||||||||||||||||
| 9.84 | 1.28 | 293,752 | 0.20 | 1.47 | 0.56 | 156 | |||||||||||||||||||||||||
| 9.86 | 1.14 | 354,000 | 0.20 | 2.33 | 0.56 | 328 | |||||||||||||||||||||||||
| 10.17 | 12.79 | 6,950 | 0.50 | 5.60 | 1.18 | 494 | |||||||||||||||||||||||||
| 9.55 | 0.96 | 6,109 | 0.50 | 1.22 | 0.94 | 154 | |||||||||||||||||||||||||
| 9.53 | 0.12 | 944 | 0.50 | 7.35 | 0.98 | 223 | |||||||||||||||||||||||||
| 9.19 | 1.62 | 228,761 | 0.30 | 5.20 | 0.50 | 506 | |||||||||||||||||||||||||
| 9.53 | 2.84 | 454,688 | 0.30 | 5.19 | 0.49 | 143 | |||||||||||||||||||||||||
| 9.51 | 3.47 | 380,233 | 0.30 | 4.87 | 0.51 | 540 | |||||||||||||||||||||||||
| 9.64 | 1.75 | 471,460 | 0.30 | 3.60 | 0.53 | 194 | |||||||||||||||||||||||||
| 9.85 | 2.38 | 641,869 | 0.30 | 2.49 | 0.55 | 261 | |||||||||||||||||||||||||
| 9.86 | 2.44 | 806,000 | 0.30 | 2.85 | 0.55 | 386 | |||||||||||||||||||||||||
| 8.72 | 0.08 | 2,164 | 0.65 | 6.15 | 2.23 | 704 | |||||||||||||||||||||||||
| 9.25 | 4.30 | 3,684 | 0.65 | 5.28 | 3.34 | 223 | |||||||||||||||||||||||||
| (h) | 9.12 | 3.81 | 3,851 | 0.65 | 5.20 | 3.20 | 299 | ||||||||||||||||||||||||
| 9.33 | 7.63 | 2,042 | 0.65 | 4.45 | 1.36 | 461 | |||||||||||||||||||||||||
| 9.08 | 7.85 | 40,000 | 0.66 | (i) | 5.63 | 1.22 | 152 | ||||||||||||||||||||||||
| 8.92 | 8.86 | 108,000 | 0.65 | 5.42 | 0.97 | 248 |
|
|
|
|
Per share operating performance |
|
||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Investment operations |
Distributions |
||||||||||||||||||||||||||||||
|
Net asset value, beginning of period |
|
Net investment income (loss) |
|
Net realized and unrealized gains (losses) on investments |
|
Total from investment operations |
|
Net investment income |
|
Net realized gains |
|
Total distributions |
||||||||||||||||||
Bond
Fund |
|||||||||||||||||||||||||||||||
Year Ended
February 29, 2008 |
$ | 9.31 | $ | 0.51 | $ | (0.56 | ) | $ | (0.05 | ) | $ | (0.49 | ) | $ | | $ | (0.49 | ) | |||||||||||||
September 1,
2006 through February 28, 2007 (e) |
9.20 | 0.24 | 0.12 | 0.36 | (0.25 | ) | | (0.25 | ) | ||||||||||||||||||||||
Year Ended
August 31, 2006 |
9.76 | 0.48 | (0.32 | ) | 0.16 | (0.45 | ) | (0.27 | ) | (0.72 | ) | ||||||||||||||||||||
Year Ended
August 31, 2005 |
9.97 | 0.32 | 0.20 | 0.52 | (0.43 | ) | (0.30 | ) | (0.73 | ) | |||||||||||||||||||||
Year Ended
August 31, 2004 |
9.95 | 0.36 | 0.32 | 0.68 | (0.36 | ) | (0.30 | ) | (0.66 | ) | |||||||||||||||||||||
Year Ended
August 31, 2003 |
10.05 | 0.43 | (0.02 | ) | 0.41 | (0.43 | ) | (0.08 | ) | (0.51 | ) |
(a) |
Annualized for periods less than one year. |
(b) |
Not annualized for periods less than one year. |
(c) |
Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
(d) |
Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable. |
(e) |
The Fund changed its fiscal year end from August 31 to the last day in February. |
|
Ratios/Supplemental data |
|
|||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Ratios to average net assets (a) |
|||||||||||||||||||||||||||
Net asset value, end of period |
|
Total return (b)(c) |
|
Net assets end of period (000s) |
|
Net expenses (d) |
|
Net investment income (loss) |
|
Expenses without waivers, reimbursements and earnings credits |
|
Portfolio turnover rate (b) |
|||||||||||||||
$ 8.77 | (0.56 | )% | $ | 175,866 | 0.40 | % | 5.56 | % | 0.47 | % | 821 | % | |||||||||||||||
9.31 | 3.95 | 162,248 | 0.40 | 5.23 | 0.45 | 357 | |||||||||||||||||||||
9.20 | 1.80 | 145,624 | 0.40 | 5.00 | 0.48 | 711 | |||||||||||||||||||||
9.76 | 5.45 | 126,272 | 0.40 | 3.90 | 0.51 | 559 | |||||||||||||||||||||
9.97 | 7.05 | 380,794 | 0.40 | 3.59 | 0.56 | 571 | |||||||||||||||||||||
9.95 | 4.08 | 444,000 | 0.40 | 4.19 | 0.55 | 679 |
|
Classes Offered |
|
Trust |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
Class
A, Class B, Class C, Select Class, Institutional Class and Ultra |
JPM
I |
||||||||
Emerging Markets
Debt Fund |
Class
A, Class C, Class R5 (formerly R Class) and Select Class |
JPM
I |
||||||||
Enhanced Income
Fund |
Institutional Class |
JPM
I |
||||||||
Real Return
Fund |
Class
A, Class C, Select Class and Institutional Class |
JPM
I |
||||||||
Short Term Bond
Fund |
Class
A, Select Class and Institutional Class |
JPM
I |
||||||||
Short Term Bond
Fund II |
Class
A, Class M and Select Class |
MFG |
||||||||
Strategic Income
Fund |
Class
A, Class B, Class C, Select Class and Institutional Class |
JPM
I |
|
Market Value |
|
Percentage |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 46,888 | 2.8 | % | ||||||
Emerging
Markets Debt Fund |
37,753 | 12.6 | ||||||||
Enhanced Income
Fund |
2,766 | 2.7 | ||||||||
Real Return
Fund |
1,273 | 1.6 | ||||||||
Short Term Bond
Fund |
21,428 | 2.0 | ||||||||
Short Term Bond
Fund II |
5,034 | 2.0 | ||||||||
Strategic
Income Fund |
2,048 | 13.4 |
Bond Fund |
|||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Number of Contracts |
|
Premiums Received |
|
Notional Value |
|
Premiums Received |
||||||||||||
Options
outstanding at February 28, 2007 |
4,197 | $ | 753 | $ | 5,217,450 | $ | 38,405 | ||||||||||||
Options
written |
57,399 | 32,765 | 10,269,928 | 86,104 | |||||||||||||||
Options
expired |
| | | | |||||||||||||||
Options
terminated in closing purchase transactions |
(49,530 | ) | (23,311 | ) | (14,214,952 | ) | (109,576 | ) | |||||||||||
Options
outstanding at February 29, 2008 |
12,066 | $ | 10,207 | $ | 1,272,426 | $ | 14,933 |
Real Return Fund |
|||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Number of Contracts |
|
Premiums Received |
|
Notional Value |
|
Notional Value |
|
Notional Value |
|
Premiums Received |
||||||||||||||||
Options
outstanding at February 28, 2007 |
106,181 | $ | 34 | $ | 122,819 | EUR 1,000 | AUD | $ | 1,464 | ||||||||||||||||||
Options
written |
(103,605 | ) | 1,379 | 345,393 | | AUD 19,460 | 2,919 | ||||||||||||||||||||
Options
expired |
(44 | ) | (2 | ) | (13,106 | ) | | | (6 | ) | |||||||||||||||||
Options
terminated in closing purchase transactions |
(2,044 | ) | (941 | ) | (435,627 | ) | (1,000 | ) | | (3,958 | ) | ||||||||||||||||
Options
outstanding at February 29, 2008 |
488 | $ | 470 | $ | 19,479 | EUR | AUD 19,460 | $ | 419 |
Short Term Bond Fund |
|||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Number of Contracts |
|
Premiums Received |
|
Notional Value |
|
Premiums Received |
||||||||||||
Options
outstanding at February 28, 2007 |
533 | $ | 101 | $ | 1,612,870 | $ | 13,046 | ||||||||||||
Options
written |
13,906 | 10,151 | 3,855,218 | 32,191 | |||||||||||||||
Options
expired |
| | | | |||||||||||||||
Options
terminated in closing purchase transactions |
(11,327 | ) | (7,255 | ) | (5,062,163 | ) | (40,749 | ) | |||||||||||
Options
outstanding at February 29, 2008 |
3,112 | $ | 2,997 | $ | 405,925 | $ | 4,488 |
Short Term Bond II Fund |
|||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Number of Contracts |
|
Premiums Received |
|
Notional Value |
|
Premiums Received |
||||||||||||
Options
outstanding at February 28, 2007 |
164 | $ | 32 | $ | 319,031 | $ | 3,477 | ||||||||||||
Options
written |
2,712 | 2,016 | 486,967 | 5,317 | |||||||||||||||
Options
expired |
| | | | |||||||||||||||
Options
terminated in closing purchase transactions |
(2,165 | ) | (1,361 | ) | (771,903 | ) | (8,164 | ) | |||||||||||
Options
outstanding at February 29, 2008 |
711 | $ | 687 | $ | 34,095 | $ | 630 |
Strategic Income Fund |
|||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Number of Contracts |
|
Premiums Received |
|
Notional Value |
|
Premiums Received |
||||||||||||
Options
outstanding at February 28, 2007 |
114 | $ | 23 | $ | 158,040 | $ | 1,495 | ||||||||||||
Options
written |
1,243 | 450 | 191,982 | 1,887 | |||||||||||||||
Options
expired |
| | | | |||||||||||||||
Options
terminated in closing purchase transactions |
(1,220 | ) | (417 | ) | (344,700 | ) | (3,317 | ) | |||||||||||
Options
outstanding at February 29, 2008 |
137 | $ | 56 | $ | 5,322 | $ | 65 |
|
Paid-in-capital |
|
Accumulated Undistributed/ (Overdistributed) Net Investment Income |
|
Accumulated Net Realized Gain (Loss) on Investments |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 3,983 | $ | 7,452 | $ | (11,435 | ) | |||||||
Emerging Markets
Debt Fund |
336 | (56 | ) | (280 | ) | |||||||||
Enhanced Income
Fund |
(188 | ) | (147 | ) | 335 | |||||||||
Real Return
Fund |
| 335 | (335 | ) | ||||||||||
Short Term Bond
Fund |
| 2,937 | (2,937 | ) | ||||||||||
Short Term Bond
Fund II |
| (101 | ) | 101 | ||||||||||
Strategic Income
Fund |
(7,690 | ) | 127 | 7,563 |
|
||||||
---|---|---|---|---|---|---|
Bond
Fund |
0.30 | % | ||||
Emerging
Markets Debt Fund |
0.70 | |||||
Enhanced Income
Fund |
0.25 | |||||
Real Return
Fund |
0.35 | |||||
Short Term Bond
Fund |
0.25 | |||||
Short Term Bond
Fund II |
0.25 | |||||
Strategic
Income Fund |
0.45 |
|
||||||
---|---|---|---|---|---|---|
Bond
Fund |
$ | 147 | ||||
Emerging
Markets Debt Fund |
16 | |||||
Enhanced Income
Fund |
34 | |||||
Real Return
Fund |
6 | |||||
Short Term Bond
Fund |
329 | |||||
Short Term Bond
Fund II |
32 | |||||
Strategic
Income Fund |
1 |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||||
Emerging
Markets Debt Fund |
0.25 | n/a | 0.75 | n/a | ||||||||||||||
Real Return
Fund |
0.25 | n/a | 0.75 | n/a | ||||||||||||||
Short Term Bond
Fund |
0.25 | n/a | n/a | n/a | ||||||||||||||
Short Term Bond
Fund II |
0.25 | n/a | n/a | 0.35 | % | |||||||||||||
Strategic
Income Fund |
0.25 | 0.75 | 0.75 | 0.50 | * |
* |
Class M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
|
Front-End Sales Charge |
|
CDSC |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 20 | $ | 18 | ||||||
Emerging
Markets Debt Fund |
9 | 1 | ||||||||
Real Return
Fund |
5 | | (a) | |||||||
Short Term Bond
Fund |
1 | 2 | ||||||||
Short Term Bond
Fund II |
| (a) | | |||||||
Strategic
Income Fund |
1 | 7 |
(a) |
Amount rounds to less than $1,000. |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|
Class R5 |
|
Select Class |
|
Institutional Class |
|||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
0.25 | % | 0.25 | % | 0.25 | % | n/a | n/a | 0.25 | % | 0.10 | % | ||||||||||||||||||
Emerging
Markets Debt Fund |
0.25 | n/a | 0.25 | n/a | 0.05 | % | 0.25 | n/a | ||||||||||||||||||||||
Enhanced Income
Fund |
n/a | n/a | n/a | n/a | n/a | n/a | 0.10 | |||||||||||||||||||||||
Real Return
Fund |
0.25 | n/a | 0.25 | n/a | n/a | 0.25 | 0.10 | |||||||||||||||||||||||
Short Term Bond
Fund |
0.25 | n/a | n/a | n/a | n/a | 0.25 | 0.10 | |||||||||||||||||||||||
Short Term Bond
Fund II |
0.25 | n/a | n/a | 0.25 | % | n/a | 0.25 | n/a | ||||||||||||||||||||||
Strategic
Income Fund |
0.25 | 0.25 | 0.25 | 0.30 | * | n/a | 0.25 | 0.10 |
* |
Class M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
|
Class A |
|
Class B |
|
Class C |
|
Class M |
|
Class R5 |
|
Select Class |
|
Institutional Class |
|
Ultra |
|||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
0.75 | % | 1.50 | % | 1.50 | % | n/a | n/a | 0.69 | % | 0.49 | % | 0.40 | % | ||||||||||||||||||||
Emerging
Markets Debt Fund |
1.50 | n/a | 2.00 | n/a | 1.05 | % | 1.25 | n/a | n/a | |||||||||||||||||||||||||
Enhanced Income
Fund |
n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | n/a | ||||||||||||||||||||||||||
Real Return
Fund |
0.90 | n/a | 1.40 | n/a | n/a | 0.65 | 0.50 | n/a | ||||||||||||||||||||||||||
Short Term Bond
Fund |
0.75 | n/a | n/a | n/a | n/a | 0.60 | 0.30 | n/a | ||||||||||||||||||||||||||
Short Term Bond
Fund II |
0.75 | n/a | n/a | 1.00 | % | n/a | 0.50 | n/a | n/a | |||||||||||||||||||||||||
Strategic
Income Fund |
1.15 | 1.65 | 1.65 | 1.45 | * | n/a | 0.90 | 0.65 | n/a |
* |
Class M Shares of the Strategic Income Fund were liquidated on July 2, 2007. |
Contractual Waivers |
||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investment Advisory |
|
Administration |
|
Shareholder Servicing |
|
Total |
|
Contractual Reimbursements |
|||||||||||||
Bond
Fund |
$ | 465 | $ | 184 | $ | 80 | $ | 729 | $ | | ||||||||||||
Emerging
Markets Debt Fund |
7 | 6 | | 13 | | |||||||||||||||||
Enhanced Income
Fund |
268 | 46 | 153 | 467 | | |||||||||||||||||
Real Return
Fund |
236 | 58 | 71 | 365 | 111 | |||||||||||||||||
Short Term Bond
Fund |
634 | 320 | 431 | 1,385 | | |||||||||||||||||
Short Term Bond
Fund II |
233 | 83 | 238 | 554 | | |||||||||||||||||
Strategic
Income Fund |
89 | 20 | 3 | 112 | 189 |
Voluntary Waivers |
|||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Investment Advisory |
|
Administration |
|
Total |
||||||||||
Bond
Fund |
$ | 315 | $ | 317 | $ | 632 | |||||||||
Enhanced Income
Fund |
| 77 | 77 | ||||||||||||
Short Term Bond
Fund |
2 | 640 | 642 |
|
Purchases (excluding U.S. Government) |
|
Sales (excluding U.S. Government) |
|
Purchases of U.S. Government |
|
Sales of U.S. Government |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 35,555,817 | $ | 36,146,655 | $ | 1,621,583 | $ | 1,609,886 | ||||||||||
Emerging Markets
Debt Fund |
322,370 | 159,978 | 24,911 | 22,872 | ||||||||||||||
Enhanced Income
Fund |
387,589 | 479,767 | 3,347 | 3,224 | ||||||||||||||
Real Return
Fund |
431,353 | 407,184 | 65,810 | 66,001 | ||||||||||||||
Short Term Bond
Fund |
10,066,062 | 10,228,370 | 458,571 | 314,705 | ||||||||||||||
Short Term Bond
Fund II |
1,248,271 | 1,504,207 | 34,165 | 34,547 | ||||||||||||||
Strategic Income
Fund |
189,187 | 198,164 | 27,374 | 26,893 |
|
Aggregate Cost |
|
Gross Unrealized Appreciation |
|
Gross Unrealized Depreciation |
|
Net Unrealized Appreciation (Depreciation) |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 2,151,927 | $ | 32,479 | $ | 122,475 | $ | (89,996 | ) | |||||||||
Emerging Markets
Debt Fund |
295,654 | 7,575 | 6,955 | 620 | ||||||||||||||
Enhanced Income
Fund |
117,149 | 246 | 7,818 | (7,572 | ) | |||||||||||||
Real Return
Fund |
83,633 | 5,013 | 715 | 4,298 | ||||||||||||||
Short Term Bond
Fund |
1,268,548 | 23,856 | 64,836 | (40,980 | ) | |||||||||||||
Short Term Bond
Fund II |
268,958 | 3,439 | 15,670 | (12,231 | ) | |||||||||||||
Strategic Income
Fund |
19,997 | 332 | 719 | (387 | ) |
Total Distributions Paid From: |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Ordinary Income |
|
Net Long Term Capital Gains |
|
Return of Capital |
|
Total Distributions Paid |
|||||||||||
Bond
Fund |
$ | 114,904 | $ | | $ | | $ | 114,904 | ||||||||||
Emerging Markets
Debt Fund |
19,112 | 2,300 | | 21,412 | ||||||||||||||
Enhanced Income
Fund |
8,070 | | 189 | 8,259 | ||||||||||||||
Real Return
Fund |
3,975 | | | 3,975 | ||||||||||||||
Short Term Bond
Fund |
85,687 | | | 85,687 | ||||||||||||||
Short Term Bond
Fund II |
14,180 | | | 14,180 | ||||||||||||||
Strategic Income
Fund |
1,027 | | | 1,027 |
Total Distributions Paid From: |
||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
|
Ordinary Income |
|
Net Long Term Capital Gains |
|
Total Distributions Paid |
|||||||||
Bond
Fund |
$ | 49,655 | | $ | 49,655 | |||||||||
Emerging Markets
Debt Fund |
3,473 | $ | 204 | 3,677 | ||||||||||
Enhanced Income
Fund |
4,780 | | 4,780 | |||||||||||
Real Return
Fund |
470 | | 470 | |||||||||||
Short Term Bond
Fund |
33,925 | | 33,925 | |||||||||||
Short Term Bond
Fund II |
10,748 | | 10,748 | |||||||||||
Strategic Income
Fund |
617 | | 617 |
|
Current Distributable Ordinary Income |
|
Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) |
|
Unrealized Appreciation (Depreciation) |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 12,154 | $ | (47,666 | ) | $ | (90,266 | ) | ||||||
Emerging Markets
Debt Fund |
1,293 | | (4,293 | ) | ||||||||||
Enhanced Income
Fund |
| (10,940 | ) | (7,444 | ) | |||||||||
Real Return
Fund |
342 | (1,455 | ) | 4,057 | ||||||||||
Short Term Bond
Fund |
7,614 | (45,102 | ) | (28,904 | ) | |||||||||
Short Term Bond
Fund II |
787 | (29,735 | ) | (10,962 | ) | |||||||||
Strategic Income
Fund |
215 | (14,756 | ) | (430 | ) |
|
2009 |
|
2010 |
|
2011 |
|
2012 |
|
2013 |
|
2014 |
|
2015 |
|
2016 |
|
Total |
|||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | | $ | | $ | | $ | | $ | | $ | 6,291 | $ | 14,908 | $ | 26,467 | $ | 47,666 | ||||||||||||||||||||
Enhanced Income
Fund |
| 1,180 | 792 | 3,941 | 526 | 680 | 421 | 3,400 | 10,940 | |||||||||||||||||||||||||||||
Real Return
Fund |
| | | | | 149 | 1,306 | | 1,455 | |||||||||||||||||||||||||||||
Short Term Bond
Fund |
| | | 1,803 | 1,217 | 8,476 | 6,394 | 27,212 | 45,102 | |||||||||||||||||||||||||||||
Short Term Bond
Fund II |
| | | 1,675 | 657 | 14,799 | 10,312 | 2,292 | 29,735 | |||||||||||||||||||||||||||||
Strategic
Income Fund |
5,237 | * | 8,447 | * | | | | | 463 | 609 | 14,756 |
* |
A portion of this capital loss carried forward was acquired though the merger with JPMorgan Strategic Income Fund and may be limited under IRC Sections 381-384. |
|
||||||
---|---|---|---|---|---|---|
Real Return
Fund |
$ | 277 |
|
Capital losses |
|
Currency Losses |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 7,068 | $ | | ||||||
Emerging Markets
Debt Fund |
1,085 | 193 | ||||||||
Enhanced Income
Fund |
241 | | ||||||||
Real Return
Fund |
235 | | ||||||||
Short Term Bond
Fund |
8,742 | 544 | ||||||||
Strategic Income
Fund |
119 | |
Date |
|
Average Borrowings |
|
Number of Days Used |
|
Interest Paid |
||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
$ | 15,796 | 4 | $ | 9 | |||||||||
Strategic Income
Fund |
640 | 1 | | (a) |
(a) |
Amount rounds to less than $1,000. |
|
Market Value of Securities Transferred to the Bond Fund (amounts in thousands) |
|
Number of Select Class Shares Issued (amounts in thousands) |
|||||||
---|---|---|---|---|---|---|---|---|---|---|
JPMorgan Chase
Bank Fixed Income Fund |
$ | 164,784 | 17,738 | |||||||
JPMorgan Chase
Bank Intermediate Fixed Income Fund |
361,940 | 38,960 | ||||||||
JPMorgan Chase
Bank Intermediate Term Bond Trust |
186,712 | 20,098 | ||||||||
JPMorgan Chase
Bank Fixed Income Trust |
30,829 | 3,318 | ||||||||
$ | 744,265 | 80,114 |
Name (Year of Birth); Positions With the Funds (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund Complex Overseen by Trustee (2) |
|
Other Directorships Held Outside Fund Complex |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) |
|||||||||||||||
William J.
Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1987. |
Retired; CFO and
Consultant, EduNeering, Inc. (internet business education supplier) (20002001); Vice President and Treasurer, IngersollRand Company
(manufacturer of industrial equipment) (19722000). |
145 |
None. |
||||||||||||
John F. Finn
(1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. |
President and
Chief Executive Officer, Gardner, Inc. (wholesale distributor to outdoor power equipment industry) (1979present). |
145 |
Director,
Cardinal Health, Inc. (CAH) (1994present); Chairman, The Columbus Association of the Performing Arts (CAPA)
(2003present). |
||||||||||||
Dr. Matthew
Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. |
Chancellor, City
University of New York (1999present); President, Adelphi University (New York) (19981999). |
145 |
Director, Albert
Einstein School of Medicine (1998present); Director, New Plan Excel Realty Trust, Inc. (real estate investment trust) (2000present);
Director, Lincoln Center Institute for the Arts in Education (1999present). |
||||||||||||
Robert J.
Higgins (1945); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2002. |
Retired; Director
of Administration of the State of Rhode Island (20032004); President Consumer Banking and Investment Services, Fleet Boston Financial
(19712001). |
145 |
None. |
||||||||||||
Peter C.
Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. |
Self-employed
business consultant (2001present); Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (20002002); President,
DCI Marketing, Inc. (19922000). |
145 |
None. |
||||||||||||
Marilyn McCoy
(1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. |
Vice President of
Administration and Planning, Northwestern University (1985present). |
145 |
Trustee, Carleton
College (2003present). |
||||||||||||
William G.
Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 2003. |
Retired; Chairman
Emeritus (20012002), and Chairman and Chief Executive Officer, Boston Stock Exchange (19852001). |
145 |
Director, Radio
Shack Corporation (electronics) (1987present); Director, The National Football Foundation and College Hall of Fame (1994present); Trustee,
Stratton Mountain School (2001present). |
Name (Year of Birth); Positions With the Funds (1) |
|
Principal Occupations During Past 5 Years |
|
Number of Portfolios in Fund Complex Overseen by Trustee (2) |
|
Other Directorships Held Outside Fund Complex | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Independent Trustees (3) |
|||||||||||||||
Robert A. Oden,
Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. |
President,
Carleton College (2002present); President, Kenyon College (19952002). |
145 |
Director,
American University in Cairo. |
||||||||||||
Fergus Reid, III
(1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage JPMorgan Funds since 1987. |
Chairman,
Lumelite Corporation (plastics manufacturing) (2003present); Chairman and Chief Executive Officer, Lumelite Corporation
(19852002). |
145 |
Trustee, Morgan
Stanley Funds (196 portfolios) (1995present). |
||||||||||||
Frederick W.
Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. |
Advisor, Jerome
P. Green & Associates, LLC (broker-dealer) (2000present); Chief Investment Officer, Wabash College (2004present); self-employed
consultant (2000present); Director of Investments, Eli Lilly and Company (19881999). |
145 |
Trustee, Wabash
College (1988present); Chairman, Indianapolis Symphony Orchestra Foundation (1994present). |
||||||||||||
James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since
2001. |
Retired; Managing Director of Bankers Trust Company (financial services) (19681998). |
145 |
None. |
||||||||||||
Interested Trustee |
|||||||||||||||
Leonard M.
Spalding, Jr.* (1935); Trustee of Trust since 2005; Trustee of heritage JPMorgan Funds since 1998. |
Retired; Chief
Executive Officer, Chase Mutual Funds (investment company) (19891998); President and Chief Executive Officer, Vista Capital Management
(investment management) (19901998); Chief Investment Executive, Chase Manhattan Private Bank (investment management)
(19901998). |
145 |
Director,
Glenview Trust Company, LLC (2001present); Trustee, St. Catherine College (1998present); Trustee, Bellarmine University
(2000present); Director, Springfield-Washington County Economic Development Authority (1997present); Trustee, Marion and Washington County,
Kentucky Airport Board (1998present); Trustee, Catholic Education Foundation (2005present). |
(1) |
Each Trustee serves for an indefinite term, subject to the Trusts current retirement policy, which is age 75 for all Trustees, except Mr. Reid for whom it is age 78. |
(2) |
A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees serves currently includes eight registered investment companies (145 funds). |
(3) |
Roland R. Eppley, Jr. retired as an Independent Trustee of the Board of Trustees effective December 31, 2007. |
* |
Mr. Spalding is deemed to be an interested person due to his ownership of JPMorgan Chase stock. |
Name (Year of Birth), Positions Held with the Trust (Since) |
|
Principal Occupations During Past 5 Years |
||||
---|---|---|---|---|---|---|
George C.W. Gatch
(1962), President (2005) |
Managing Director, J.P. Morgan Investment Management Inc.; Director and President, JPMorgan Distribution Services, Inc. and JPMorgan Funds
Management, Inc. since 2005. Mr. Gatch is CEO and President of the JPMorgan Funds. Mr. Gatch has been an employee of JPMorgan since 1986 and has held
positions such as President and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo
Bank, as well as positions in business management, marketing, and sales. |
|||||
Robert L. Young
(1963), Senior Vice President (2005)* |
Director and Vice President, JPMorgan Distribution Services, Inc. and JPMorgan Funds Management, Inc.; Chief Operating Officer, JPMorgan Funds
since 2005, and One Group Mutual Funds from 2001 until 2005. Mr. Young was Vice President and Treasurer, JPMorgan Funds Management, Inc. (formerly One
Group Administrative Services), and Vice President and Treasurer, JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from
1999 to 2005. |
|||||
Patricia A.
Maleski (1960), Vice President and Chief Administrative Officer (2005) |
Managing Director, JPMorgan Funds Management, Inc.; Head of Funds Administration and Board Liaison, previously, Treasurer, JPMorgan Funds. Ms.
Maleski has been with JPMorgan Chase & Co. since 2001. |
|||||
Elizabeth A.
Davin (1964),** Secretary (2008)* |
Vice
President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Senior Counsel, JPMorgan Chase & Co. (formerly Bank One Corporation)
from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to
2004. |
|||||
Stephanie J.
Dorsey (1969), Treasurer (2005)* |
Vice
President, JPMorgan Funds Management, Inc.; Director of Mutual Fund Administration, JPMorgan Funds Management, Inc. (formerly One Group Administrative
Services), from 2004 to 2005; Ms. Dorsey worked for JPMorgan Chase & Co. (formerly Bank One Corporation) from 2003 to 2004; prior to joining Bank
One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through
2002. |
|||||
Stephen M.
Ungerman (1953), Chief Compliance Officer (2005) |
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration Pooled Vehicles from 2000 to 2004. Mr.
Ungerman has been with JPMorgan Chase & Co. since 2000. |
|||||
Paul L. Gulinello
(1950), AML Compliance Officer (2005) |
Vice
President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for personal trading and
compliance testing since 2004; Treasury Services Operating Risk Management and Compliance Executive supporting all JPMorgan Treasury Services business
units from July 2000 to 2004. |
|||||
Jessica K.
Ditullio (1962), Assistant Secretary (2005)* |
Vice
President and Assistant General Counsel, JPMorgan Chase & Co. since 2005; Ms. Ditullio has served as an attorney with various titles for JPMorgan
Chase & Co. (formerly Bank One Corporation) since 1990. |
|||||
Nancy E. Fields
(1949), Assistant Secretary (2005)* |
Vice
President, JPMorgan Funds Management, Inc. and JPMorgan Distribution Services, Inc.; from 1999 to 2005, Director, Mutual Fund Administration, JPMorgan
Funds Management, Inc. (formerly One Group Administrative Services) and Senior Project Manager, Mutual Funds, JPMorgan Distribution Services, Inc.
(formerly One Group Dealer Services, Inc.). |
|||||
Jeffrey D. House
(1972), Assistant Treasurer (2006)* |
Vice
President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December
1995 until July 2006. |
|||||
Arthur A. Jensen
(1966), Assistant Treasurer (2005)* |
Vice
President, JPMorgan Funds Management, Inc. since April 2005; formerly, Vice President of Financial Services of BISYS Fund Services, Inc. from 2001
until 2005. |
|||||
Laura S. Melman
(1966), Assistant Treasurer (2006) |
Vice
President, JPMorgan Funds Management, Inc. since August, 2006, responsible for Taxation; Vice President of Structured Products at The Bank of New York
Co., Inc. from 2001 until 2006. |
|||||
Francesco Tango
(1971), Assistant Treasurer (2007) |
Vice
President, JPMorgan Funds Management, Inc. since January 2003: Associate, JPMorgan Funds Management, Inc. since 1999. |
* |
The contact address for the officer is 1111 Polaris Parkway,
Columbus, OH 43240. |
** |
Prior to February 14, 2008, Ms. Davin was an Assistant Secretary. |
|
Beginning Account Value, September 1, 2007 |
|
Ending Account Value, February 29, 2008 |
|
Expenses Paid During September 1, 2007 to February 29, 2008* |
|
Annualized Expense Ratio |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Bond
Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,004.50 | $ | 3.74 | 0.75 | % | ||||||||||
Hypothetical |
1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,001.20 | 6.97 | 1.40 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,001.40 | 6.97 | 1.40 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,005.20 | 3.24 | 0.65 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,005.80 | 2.44 | 0.49 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.43 | 2.46 | 0.49 | ||||||||||||||
Ultra |
||||||||||||||||||
Actual |
1,000.00 | 1,006.50 | 2.00 | 0.40 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.87 | 2.01 | 0.40 |
|
Beginning Account Value, September 1, 2007 |
|
Ending Account Value, February 29, 2008 |
|
Expenses Paid During September 1, 2007 to February 29, 2008* |
|
Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Emerging
Markets Debt Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,062.20 | $ | 7.49 | 1.46 | % | ||||||||||
Hypothetical |
1,000.00 | 1,017.60 | 7.32 | 1.46 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,058.40 | 10.08 | 1.97 | ||||||||||||||
Hypothetical |
1,000.00 | 1,015.07 | 9.87 | 1.97 | ||||||||||||||
Class
R5** |
||||||||||||||||||
Actual |
1,000.00 | 1,064.50 | 5.24 | 1.02 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,063.50 | 6.26 | 1.22 | ||||||||||||||
Hypothetical |
1,000.00 | 1,018.80 | 6.12 | 1.22 | ||||||||||||||
Enhanced
Income Fund |
||||||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 971.10 | 0.98 | 0.20 | ||||||||||||||
Hypothetical |
1,000.00 | 1,023.87 | 1.01 | 0.20 | ||||||||||||||
Real Return
Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,107.50 | 4.72 | 0.90 | ||||||||||||||
Hypothetical |
1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,103.90 | 7.32 | 1.40 | ||||||||||||||
Hypothetical |
1,000.00 | 1,017.90 | 7.02 | 1.40 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,108.20 | 3.41 | 0.65 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.63 | 3.27 | 0.65 | ||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,108.80 | 2.62 | 0.50 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||||
Short Term
Bond Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,010.10 | 3.75 | 0.75 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,012.20 | 2.75 | 0.55 | ||||||||||||||
Hypothetical |
1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,012.50 | 1.50 | 0.30 | ||||||||||||||
Hypothetical |
1,000.00 | 1,023.37 | 1.51 | 0.30 | ||||||||||||||
Short Term
Bond Fund II |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,012.80 | 3.75 | 0.75 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||||
Class
M |
||||||||||||||||||
Actual |
1,000.00 | 1,010.60 | 5.00 | 1.00 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.89 | 5.02 | 1.00 |
|
Beginning Account Value, September 1, 2007 |
|
Ending Account Value, February 29, 2008 |
|
Expenses Paid During September 1, 2007 to February 29, 2008* |
|
Annualized Expense Ratio | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Select
Class |
||||||||||||||||||
Actual |
$ | 1,000.00 | $ | 1,012.90 | $ | 2.50 | 0.50 | % | ||||||||||
Hypothetical |
1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||||
Strategic
Income Fund |
||||||||||||||||||
Class
A |
||||||||||||||||||
Actual |
1,000.00 | 1,030.30 | 5.81 | 1.15 | ||||||||||||||
Hypothetical |
1,000.00 | 1,019.14 | 5.77 | 1.15 | ||||||||||||||
Class
B |
||||||||||||||||||
Actual |
1,000.00 | 1,027.50 | 8.32 | 1.65 | ||||||||||||||
Hypothetical |
1,000.00 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||
Class
C |
||||||||||||||||||
Actual |
1,000.00 | 1,027.70 | 8.32 | 1.65 | ||||||||||||||
Hypothetical |
1,000.00 | 1,016.66 | 8.27 | 1.65 | ||||||||||||||
Select
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,031.40 | 4.55 | 0.90 | ||||||||||||||
Hypothetical |
1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||||
Institutional
Class |
||||||||||||||||||
Actual |
1,000.00 | 1,032.70 | 3.29 | 0.65 | ||||||||||||||
Hypothetical |
1,000.00 | 1,021.63 | 3.27 | 0.65 |
* |
Expenses are equal to the Funds annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
** |
Effective November 30, 2007, R Class Shares were renamed Class R5 Shares. |
|
Long-Term Capital Gain Distribution |
|||||
---|---|---|---|---|---|---|
Emerging
Markets Debt Fund |
$ | 2,300 |
|
Qualified Interest Income |
|||||
---|---|---|---|---|---|---|
Bond
Fund |
$ | 95,004 | ||||
Emerging
Markets Debt Fund |
1,398 | |||||
Enhanced
Income Fund |
6,985 | |||||
Real Return
Fund |
3,686 | |||||
Short Term
Bond Fund |
75,739 | |||||
Short Term
Bond Fund II |
12,154 | |||||
Strategic
Income Fund |
717 |
|
Income from U.S. Treasury Obligations |
|||||
---|---|---|---|---|---|---|
Bond
Fund |
3.09 | % | ||||
Enhanced
Income Fund |
1.00 | |||||
Real Return
Fund |
93.44 | |||||
Short Term
Bond Fund |
5.97 | |||||
Short Term
Bond Fund II |
2.42 | |||||
Strategic
Income Fund |
5.19 |
© JPMorgan Chase &
Co., 2008 All rights reserved. February 2008. |
AN-INC-208 |
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrants principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrants principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrants board of directors has determined that the registrant either:
|
(i) Has at least one audit committee financial expert serving on its audit committee; or |
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrants Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is independent. In order to be considered independent for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an interested person of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is William Armstrong. He is not an interested person of the Registrant and is also independent as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrants annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2008 $91,800
2007 $68,000 *
* The Funds fiscal year end changed to the last day of February effective February 2007. The fees are for the six months ending February 28, 2007, the new fiscal year end of the Fund.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrants financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
|
AUDIT-RELATED FEES (On a calendar year basis) |
|
2007 $15,213,000 |
|
2006 $9,775,000 |
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant (Service Affiliates), that were reasonably related to the performance of the annual audit of the Registrant's financial statements.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
|
TAX FEES |
|
2008 $9,660 |
|
2007 $9,680 * |
* The Funds fiscal year end changed to the last day of February effective February 2007. The fees are for the six months ending February 28, 2007, the new fiscal year end of the Fund.
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended December 31, 2007 and 2006.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
|
ALL OTHER FEES |
|
2008 $20,000* |
|
2007 Not applicable |
* Services for language translation of financial reports.
(e) (1) Disclose the audit committees pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrants Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the Pre-approval Policy), the Audit Committee pre-approves all audit and non-audit services
performed by the Registrants independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditors engagement for non-audit services with the Registrants investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the Pre-approval List). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committees delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committees responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2008 0.0%
2007 100.0%*
* The number shown represents the percentage of services that were pre-approved. The percentage of services that were approved pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X was 0%.
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountants engagement to audit the registrants financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountants full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrants accountant for services rendered to the registrant, and rendered to the registrants investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $19.9 million in 2007 and $21.6 million in 2006.
(h) Disclose whether the registrants audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrants investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountants independence.
The Registrants Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firms independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrants audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the companys investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the companys investment adviser, or any other third party, that the company uses, or that are used on the companys behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrants principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrants disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant's principal executive and principal financial officers have concluded, based on their evaluation of the Registrant's disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant's disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant's management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrants internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting.
There were no changes in the Registrant's internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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.
J.P. Morgan Mutual Fund Group
By: |
/s/_____________________________ |
George C.W. Gatch
President and Principal Executive Officer
May 8, 2008
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/___________________________ |
George C.W. Gatch
President and Principal Executive Officer
May 8, 2008
By: |
/s/____________________________ |
Stephanie J. Dorsey
Treasurer and Principal Financial Officer
May 8, 2008