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 | | 811-07989 |
Metropolitan West Funds
|
| (Exact name of registrant as specified in charter) |
| | |
11766 Wilshire Boulevard, Suite 1580
Los Angeles, CA | | 90025 |
| (Address of principal executive offices) | | (Zip code) |
Metropolitan West Funds
11766 Wilshire Boulevard, Suite 1580
Los Angeles, CA 90025
|
| (Name and address of agent for service) |
registrant’s telephone number, including area code: (310) 966-8900
Date of fiscal year end: March 31
Date of reporting period: September 30, 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, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
| Item 1. | Reports to Stockholders. |
The Report to Shareholders is attached herewith.
METROPOLITAN WEST FUNDS
Dear Fellow Shareholder,
Thank you for your continued investment with the Metropolitan West Funds. We are pleased to provide the following September 30, 2008 Semi-Annual Report for the Metropolitan West Funds, which include:
| | |
Metropolitan West Ultra Short Bond Fund | | M-Class (MWUSX), I-Class (MWUIX) |
Metropolitan West Low Duration Bond Fund | | M-Class (MWLDX), I-Class (MWLIX) |
Metropolitan West Intermediate Bond Fund | | M-Class (MWIMX), I-Class (MWIIX) |
Metropolitan West Total Return Bond Fund | | M-Class (MWTRX), I-Class (MWTIX) |
Metropolitan West High Yield Bond Fund | | M-Class (MWHYX), I-Class (MWHIX) |
Metropolitan West Strategic Income Fund | | M-Class (MWSTX), I-Class (MWSIX) |
Metropolitan West AlphaTrak 500 Fund | | M-Class (MWATX) |
Economic Review and Market Environment
The market’s continuing cataclysm reached a crescendo in a tumultuous September (and early October) as a series of events rocked the banking, brokerage, and insurance firms that comprise the foundation of the US financial system. With an intensity that shattered market confidence and inspired nostalgia for the relative orderliness of the JP Morgan takeover of Bear Stearns in March (the seminal instance of Federal financial intervention of 2008), global stock markets plummeted, corporate yield spreads skyrocketed, and credit markets virtually seized up. As liquidity seemingly evaporated, a crisis unfolded from Wall Street to Main Street, felling investment bank Lehman Brothers and thrift Washington Mutual, while the US Treasury and Federal Reserve pulled out all the stops to contain the fallout.
With an already flagging economy beset by weakness across measures of employment, business sentiment, consumer confidence, retail sales and housing activity, the hit to the financial industry only served to intensify retrenchment, characterized by a pullback in the extension of credit. By most expert accounts, it appeared that the economy had already entered a recession, whether or not the designated two quarters of negative GDP growth historically defining a recession had yet occurred. The deterioration represents a dramatic turn from just a few months ago, when markets were discounting Fed hikes in the presence of soaring commodity prices, particularly oil, which had risen to more than $145 per barrel in late July. By mid-October (just beyond the period covered by the Semi-Annual Report), that price had been halved and the Fed cut the bellwether Funds rate to 1.5% in response to the alarmingly weak pace of economic activity. The monetary stimulus provided a complement to the array of liquidity programs that had been established to aid in the recovery and rehabilitation of a banking system so desperately in need of balance sheet repair.
Meanwhile, financial institutions and structured operators of collateralized debt obligations (CDOs) continued to liquidate troubled residential mortgage-backed securities (RMBS), and Fannie Mae and Freddie Mac remained in the headlines. The July housing bill, followed by increased credit lines and access to the discount window, was the first government attempt to support the government-sponsored enterprises (GSEs), specifically Fannie Mae and Freddie Mac, reinforcing the market’s assumption that the Federal Reserve and Treasury would always choose to rescue any large financial institution that arrived at the brink of failure. Nonetheless, market participants debated the likelihood of a government bailout of the GSEs, keeping equity prices depressed, debt spreads volatile and overseas investors on the sidelines.
Against this backdrop, the markets headed into September with its stunning and historical series of government-sponsored rescues of many of the nation’s largest financial institutions. Given the already low Fed Funds rate, the Fed and Treasury resorted to unprecedented fiscal policy responses to address the breathtaking financial system meltdown. By the end of September, the GSEs had been placed in conservatorship and their managements replaced, Lehman Brothers had filed for Chapter 11 bankruptcy protection, Bank of America had purchased Merrill Lynch, AIG was offered record-breaking government loans and placed in receivership, Goldman Sachs and Morgan Stanley were restructured into bank holding companies, Washington Mutual was seized by federal regulators and sold to JP Morgan, Wells Fargo had purchased Wachovia, the Treasury had moved to guarantee money market funds against losses to stem the tide of withdrawals and avoid “breaking the buck”, and the $700 billion Troubled Assets Relief Plan (TARP) was proposed to purchase distressed mortgage-related assets.
In response, bearing a fury thus far largely reserved for the RMBS markets collateralized by Alt-A and subprime loans, the corporate market was punished in September with both the broad Lehman Bros. Corporate and the Corporate High Yield indexes losing just under 8% for the month. This worst-ever month spared no quality cohort of the corporate market, as AAA-rated issues lost 8.7% (the LB US Treasury Index, by way of contrast, gained 0.6% for the month), while A-rated issues fell 10.5%.
1 / Semi-Annual Report September 2008
The Economy and Market Ahead
Prospects that a sluggish pace of economic growth is likely to persist for several quarters will continue to shape a cautious view by MetWest in the management of the Funds. Heretofore, the focus has been on well-collateralized positions, backed with valuable assets and credit enhancement. Senior tranche RMBS remain attractive for deployment across the Funds, while Agency MBS continue to provide attractive risk-adjusted return prospects. Among corporate issues, sector emphasis is geared toward Non-Cyclicals, including Energy and Utility issues with significant assets, Health Care and selected Financials. With the dislocation in financials, subordinated positions in very large money center banks—investment grade—have layered into the portfolio, bearing attractive risk-adjusted return potential. As consumer spending is expected to remain weak, purchased credit default swaps (CDS) protection in Retailers will continue as a hedge, as will similar protection in Homebuilders. The significant increase in the Option Adjusted Spread (OAS) of the broad high yield market also informs caution, though it does improve the compensation for underwriting the current level of uncertainty. Where lower quality names in stable industries provide suitable yield compensation, good covenant protection and limited near-term funding needs, MetWest will look to take advantage of technically driven pricing to capture premium return potential.
Data sources for the discussion above include Bloomberg, Lehman Brothers, and Merrill Lynch.
Fund Results
General Performance Commentary
At the end of March, we wrote that “the past six to twelve months have seen the most challenging market conditions in years” and that MetWest would “look to take advantage of the considerable risk-adjusted value that presents itself as less committed and less knowledgeable investors head for the exits”. Instead of subsiding as anticipated, deleveraging conditions intensified, particularly in September and early October, a period over which the S&P 500 retreated 30% and risk premiums soared on corporate debt. Nowhere were the circumstances more illustrative of the stress than in LIBOR quotes that climbed to unprecedented levels, at more than 4.5 percentage points above the Fed Funds rate. Given what has appeared to be a wholesale withdrawal of investor sponsorship across the capital markets, performance on residential mortgage-backed securities (RMBS) languished weakly and, as noted, pricing in the corporate market fell sharply. Though the US Treasury outperformed on a relative basis, yields have been of limited attractiveness. This is particularly so given the expansion of the Fed’s balance sheet (of inarguably weaker quality considering the type of collateral now accepted) and the commitments of the US Treasury in recapitalizing the financial system.
The continued repricing across the non-US Treasury sectors of the fixed income market delivered lagging returns across the Funds, with only the HighYield Fund achieving outperformance against its benchmark. Expectations remain that the relative quality positioning-as measured by asset protection and subordination-will recover performance as investor confidence slowly returns and broader market participation improves technical conditions. We stated in our last Shareholder Letter that regarding markets, it can be said that participants lose their heads in frothy markets, and that they lose their nerve when the market tumbles. This remains the case. As for MetWest, our response to such conditions is as always: remain vigilant to the risks and mindful of the opportunities.
The performance data quoted represents past performance and does not guarantee future results. The returns shown do not take into account taxes on fund distributions or redemption of fund shares. Current performance may be lower or higher. Performance data current to the most recent month-end may be obtained at www.mwamllc.com. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost. Unlike a mutual fund, the performance of an unmanaged index assumes no transaction costs, taxes, management fees or other expenses. A direct investment in an index is not possible.
The net expense ratio reflects a contractual agreement by the Adviser to reduce its fees and/or absorb expenses to limit the Fund’s total annual operating expenses for the current fiscal year. The Adviser voluntarily extended the agreement for the current fiscal year and expects to renew contractual expense limitation each year in May. Without fee waivers, returns would have been lower. For additional expense ratio information, please refer to the Financial Highlights section of the report.
Semi-Annual Report September 2008 / 2
Metropolitan West Ultra Short Bond Fund
M-Class (MWUSX), I-Class (MWUIX)
| | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
MWUSX (Inception: June 30, 2003) | | (5.05 | )% | | (10.20 | )% | | (0.95 | )% | | 1.09 | % | | — | | 1.48 | % |
Merrill Lynch 1-Year US Treasury Index | | 0.88 | % | | 4.60 | % | | 4.70 | % | | 3.32 | % | | — | | 3.22 | % |
MWUIX (Inception: July 31, 2004) | | (4.97 | )% | | (10.06 | )% | | (0.72 | )% | | — | | | — | | 0.30 | % |
Merrill Lynch 1-Year US Treasury Index | | 0.88 | % | | 4.60 | % | | 4.70 | % | | — | | | — | | 3.85 | % |
For MWUSX the total expense ratio is 0.54% and the net expense ratio is 0.50%. For MWUIX the total expense ratio is 0.38% and the net expense ratio is 0.34%.
Management Discussion of Ultra Short Bond Fund Performance
Broad diversification of the Ultra Short Fund across the high quality non-US Treasury sectors of the fixed income market resulted in a lag to the index due to repricing across the RMBS and corporate markets. This repricing has, in the view of MetWest, significantly overestimated the potential for home price depreciation in valuing the securities in the RMBS market, particularly those more senior in the payment priority. Additional strategies related to the duration profile and yield curve positioning were of limited attribution over the past six months. Though the deleveraging environment and withdrawal of investor sponsorship provided a difficult performance backdrop, with near-term mark-to-market adjustments, MetWest expects a premium yield carry in the period ahead to be supplemented by self-amortizing bonds paying off and possibly improved market liquidity to drive stronger relative performance going forward.
Metropolitan West Low Duration Bond Fund M-Class (MWLDX), I-Class (MWLIX)
| | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) | |
MWLDX (Inception: March 31, 1997) | | (4.40 | )% | | (7.56 | )% | | 0.54 | % | | 1.65 | % | | 3.58 | % | | 4.06 | % |
Merrill Lynch 1-3 Year US Treasury Index | | 0.82 | % | | 6.27 | % | | 5.26 | % | | 3.54 | % | | 4.51 | % | | 4.98 | % |
MWLIX (Inception: March 31, 2000) | | (4.42 | )% | | (7.49 | )% | | 0.73 | % | | 1.85 | % | | — | | | 3.18 | % |
Merrill Lynch 1-3 Year US Treasury Index | | 0.82 | % | | 6.27 | % | | 5.26 | % | | 3.54 | % | | — | | | 4.71 | % |
For MWLDX the total expense ratio is 0.59% and the net expense ratio is 0.58%. For MWLIX the total expense ratio is 0.40% and the net expense ratio is 0.39%.
Management Discussion of Low Duration Bond Fund Performance
Broad diversification of the Low Duration Fund across the high quality non-US Treasury sectors of the fixed income market resulted in a lag to the index due to repricing across the RMBS and corporate markets. This repricing has, in the view of MetWest, significantly overestimated expectations for home price depreciation in valuing the securities in the RMBS market, particularly those more senior in the payment priority. Additional strategies related to the duration profile and yield curve positioning were of limited attribution over the past six months. Though the deleveraging environment and withdrawal of investor sponsorship provided a difficult performance backdrop, with near-term mark-to-market adjustments, MetWest expects a premium yield carry in the period ahead to be supplemented by self-amortizing bonds paying off and possibly improved market liquidity to drive stronger relative performance going forward.
3 / Semi-Annual Report September 2008
Metropolitan West Intermediate Bond Fund
M-Class (MWIMX), I-Class (MWIIX)
| | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
MWIMX (Inception: June 30, 2003) | | (4.12 | )% | | (0.81 | )% | | 2.66 | % | | 3.07 | % | | — | | 3.13 | % |
Lehman Bros. Intermediate Gov’t. Credit Index | | (2.70 | )% | | 3.13 | % | | 4.03 | % | | 3.24 | % | | — | | 3.08 | % |
MWIIX (Inception: June 28, 2002) | | (4.12 | )% | | (0.71 | )% | | 2.84 | % | | 3.27 | % | | — | | 5.25 | % |
Lehman Bros. Intermediate Gov’t. Credit Index | | (2.70 | )% | | 3.13 | % | | 4.03 | % | | 3.24 | % | | — | | 4.28 | % |
For MWIMX the total expense ratio is 0.76% and the net expense ratio is 0.65%. For MWIIX the total expense ratio is 0.55% and the net expense ratio is 0.44%.
Management Discussion of Intermediate Bond Fund Performance
The challenging returns environment continued over the past six months, as good relative performance in April gave way to repricing associated with capital market deleveraging and culminated in a very difficult September. Though a duration strategy and yield curve positioning predicated on steepening added modestly to relative performance, the lag to the benchmark was attributable to sector allocation and security selection that was affected by the withdrawal of investor sponsorship, even on the highest quality components of the MBS and ABS markets. As market volatility picked up considerably in September and the corporate market sold off, the underweight to corporate issues provided a measure of positive relative performance.
Metropolitan West Total Return Bond Fund
M-Class (MWTRX), I-Class (MWTIX)
| | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | | Since Inception
(Annualized) | |
MWTRX (Inception: March 31, 1997) | | (3.60 | )% | | (0.71 | )% | | 3.51 | % | | 4.40 | % | | 5.50 | % | | 6.38 | % |
Lehman Brothers Aggregate Index | | (1.50 | )% | | 3.65 | % | | 4.15 | % | | 3.78 | % | | 5.19 | % | | 6.13 | % |
MWTIX (Inception: March 31, 2000) | | (3.50 | )% | | (0.50 | )% | | 3.73 | % | | 4.61 | % | | — | | | 5.84 | % |
Lehman Brothers Aggregate Index | | (1.50 | )% | | 3.65 | % | | 4.15 | % | | 3.78 | % | | — | | | 5.92 | % |
For MWTRX the total expense ratio is 0.66% and the net expense ratio is 0.65%. For MWTIX the total expense ratio is 0.44%.
Management Discussion of Total Return Bond Fund Performance
The challenging returns environment continued over the past six months, as good relative performance in April gave way to repricing associated with capital market deleveraging and culminated in a very difficult September. Though a duration strategy and yield curve positioning predicated on steepening added modestly to relative performance, the lag to the benchmark was attributable to sector allocation and security selection that was affected by the withdrawal of investor sponsorship, even on the highest quality components of the MBS and ABS markets. As market volatility picked up considerably in September and the corporate market sold off, the underweight to corporate issues provided a measure of positive relative performance.
Semi-Annual Report September 2008 / 4
Metropolitan West High Yield Bond Fund
M-Class (MWHYX), I-Class (MWHIX)
| | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
MWHYX (Inception: September 30, 2002) | | (4.03 | )% | | (8.02 | )% | | 1.45 | % | | 4.34 | % | | — | | 8.97 | % |
Lehman HY 2% Issuer Cap Index | | (6.77 | )% | | (10.51 | )% | | 1.08 | % | | 4.37 | % | | — | | 8.18 | % |
MWHIX (Inception: March 31, 2003) | | (3.91 | )% | | (7.79 | )% | | 1.70 | % | | 4.58 | % | | — | | 6.69 | % |
Lehman HY 2% Issuer Cap Index | | (6.77 | )% | | (10.51 | )% | | 1.08 | % | | 4.37 | % | | — | | 6.32 | % |
For MWHYX the total expense ratio is 0.98% and the net expense ratio is 0.80%. For MWHIX the total expense ratio is 0.73% and the net expense ratio is 0.55%.
Management Discussion of High Yield Bond Fund Performance
Relatively defensive positioning of the MetWest High Yield Fund, gained through bank loan investments and purchased protection in the form of credit default swaps on Retailers and Homebuilders, enabled the Fund to outperform the index by more than 300 basis points over the past six months. Further, steepening of the yield curve favored an emphasis to the 2-year stretch of the curve, effected via interest rate swaps. Though sponsorship remains weak in the RMBS market, pricing held up relatively well in the rugged September, thus rewarding a very small allocation to high yielding Agency, Alt-A and subprime collateral MBS offering attractive risk-adjusted return prospects.
Metropolitan West Strategic Income Fund
M-Class (MWSTX), I-Class (MWSIX)
| | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months
(Cumulative) | | | 1 Year
(Annualized) | | | 3 Year
(Annualized) | | | 5 Year
(Annualized) | | | 10 Year
(Annualized) | | Since Inception
(Annualized) | |
MWSTX (Inception: June 30, 2003) | | (5.09 | )% | | (17.39 | )% | | (4.03 | )% | | 0.15 | % | | — | | 1.62 | % |
Merrill Lynch 3-Month US Treasury Index + 2% | | 1.96 | % | | 4.98 | % | | 6.29 | % | | 5.33 | % | | — | | 5.22 | % |
MWSIX (Inception: March 31, 2004) | | (4.97 | )% | | (17.18 | )% | | (3.78 | )% | | — | | | — | | (1.21 | )% |
Merrill Lynch 3-Month US Treasury Index + 2% | | 1.96 | % | | 4.98 | % | | 6.29 | % | | — | | | — | | 5.59 | % |
For MWSTX the total expense ratio is 1.61%. For MWSIX the total expense ratio is 1.34%.
Management Discussion of Strategic Income Fund Performance
With ongoing weakness across the non-USTreasury sectors of the fixed income markets, the Strategic Income Fund fell approximately 5% over the past six months. Though Fund allocation has focused on high quality, senior mortgage-related securities with above average collateral characteristics, the markdown to RMBS with subprime and Alt-A loans has accounted for the preponderance of the performance lag in the past year. This repricing has, in the view of MetWest, significantly overestimated the potential for home price depreciation in valuing the securities in the RMBS market, particularly those more senior in the payment priority. While the Fund did benefit from strategies to capitalize on the steepening of the yield curve and some purchased protection (in CDS) on Retailers and Homebuilders, the positive contribution was not substantial enough to overcome the performance drag associated with the repricing of RMBS holding of the Fund. MetWest does maintain a view that considerable value lays trapped within the Fund awaiting improved liquidity or, simply, security maturities. Moreover, the yield (and, thus, prospective return) on the Fund has increased sharply and manager expectations remain that the recent performance deficit is subject to potential reversal in the months and quarters ahead.
5 / Semi-Annual Report September 2008
Metropolitan West AlphaTrak 500 Fund
(MWATX)
| | | | | | | | | | | | | | | | | | |
| | | Performance Through September 30, 2008 | |
| | | 6 Months | | | 1 Year | | | 3 Year | | | 5 Year | | | 10 Year | | | Since Inception | |
| | | (Cumulative) | | | (Annualized) | | | (Annualized) | | | (Annualized) | | | (Annualized) | | | (Annualized) | |
MWATX (Inception: June 29, 1998) | | (15.94 | )% | | (32.58 | )% | | (4.52 | )% | | 2.45 | % | | 2.01 | % | | 0.93 | % |
Standard & Poor’s 500 Index | | (10.87 | )% | | (21.98 | )% | | 0.22 | % | | 5.17 | % | | 3.06 | % | | 1.90 | % |
For MWATX the total expense ratio is 0.13%.
Management Discussion of AlphaTrak 500 Fund Performance
Broad diversification of the AlphaTrak 500 Fund across the high quality non-US Treasury sectors of the fixed income market resulted in a lag to the index due to repricing across RMBS and corporate markets. As noted above, this repricing has, in the view of MetWest, significantly overestimated expectations for home price depreciation in valuing the securities in the RMBS market, particularly those more senior in the payment priority. Additional strategies related to the duration profile and yield curve positioning were of limited attribution over the past six months. Though the deleveraging environment and withdrawal of investor sponsorship provided a difficult performance backdrop, with near-term mark-to-market adjustments, MetWest expects a premium yield carry in the period ahead to be supplemented by self-amortizing bonds paying off and possibly improved market liquidity to drive stronger relative performance going forward.
A Consistent Long-Term Value Orientation
Over periods such as we have seen in the markets since the middle of 2007, the strict adherence to investment discipline is critical, as submitting to the momentum characteristic of less committed and less informed investors can lock in short-term underperformance. MetWest remains committed to a philosophy rooted in a value orientation with a long-term perspective. As such, the investment team strives to target consistent outperformance of the Funds’ benchmarks over normal market cycles by diversifying the sources of value-added in the portfolios. Those value-added strategies include: (1) duration management, (2) yield curve positioning, (3) sector allocation, (4) security selection, and (5) opportunistic execution.
Again, we thank you for your continued support of the Metropolitan West Funds and look forward to the ongoing opportunity to meet your investment objectives.
|
Sincerely, |
|
|
David Lippman |
President and Principal Executive Officer |
US Treasury bonds, unlike mutual funds, are insured direct obligations of the US Government that offer a fixed rate of return when held to maturity. A quality rating, such as “BB,” refers to the credit risk of individual securities, and not to the Fund. Investment by a Fund in lower-rated and non-rated securities presents a greater risk of loss to principal and interest than higher-rated securities.
Bond Funds have similar interest rates, issues and credit risks as those associated with the underlying bonds in their portfolio, all of which could reduce a Fund’s value. As interest rates rise, the value of a Bond Fund can decline and an investor can lose principal. The HighYield Bond Fund purchases more speculative bonds, which are subject to greater risks than higher-rated bonds. The Strategic Income Fund engages in sophisticated investment strategies. The AlphaTrak 500 Fund trades futures and derivative contracts. These Funds may not be suitable for all investors.
The views and forecasts expressed here are as of October 2008, are subject to change without notice and may not come to pass. Investment strategies may not achieve the desired results due to implementation lag, other timing factors, portfolio management decision-making, economic or market conditions or other unanticipated factors.
Funds are distributed by PFPC Distributors, Inc. 760 Moore Rd., King of Prussia, PA 19406. To be preceded or accompanied by a prospectus.
Semi-Annual Report September 2008 / 6
Metropolitan West Funds
Disclosure of Fund Expenses
For the Six Months Ended September 30, 2008 (Unaudited)
We believe it is important for you to understand the impact of fees regarding your investment. All mutual funds have operating expenses. As a shareholder of a mutual fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund. A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing fees (in dollars) of investing in your Fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
This table illustrates your Fund’s costs in two ways:
Actual Fund Return: This section helps you to estimate the actual expenses, after any applicable fee waivers, that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return for the past six month period, the “Expense Ratio” column shows the period’s annualized expense ratio, and the “Expenses Paid During Period” column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund at the beginning of the period.
You may use the information here, together with your account value, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your Fund in the first line under the heading entitled “Expenses Paid During Period.”
Hypothetical 5% Return: This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had an annual return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. This example is useful in making comparisons to other mutual funds because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on an assumed 5% annual return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Please note that the expense shown in the table are meant to highlight and help you compare your ongoing costs only and do not reflect any transactional costs such as sales charges (loads), redemption fees, or exchange fees. The Metropolitan West Funds do not charge any sales loads or exchange fees, but these may be present in other funds to which you compare this data. Therefore, the hypothetical portions of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
| | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/08 | | Ending
Account Value
09/30/08 | | Expense
Ratio1 | | | Expenses
Paid During
Period2 |
ULTRA SHORT BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 949.50 | | 0.50 | % | | $ | 2.45 |
Class I | | $ | 1,000.00 | | $ | 950.30 | | 0.34 | % | | $ | 1.66 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,022.56 | | 0.50 | % | | $ | 2.54 |
Class I | | $ | 1,000.00 | | $ | 1,023.37 | | 0.34 | % | | $ | 1.72 |
LOW DURATION BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 956.00 | | 0.58 | % | | $ | 2.84 |
Class I | | $ | 1,000.00 | | $ | 955.80 | | 0.39 | % | | $ | 1.91 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,022.16 | | 0.58 | % | | $ | 2.94 |
Class I | | $ | 1,000.00 | | $ | 1,023.11 | | 0.39 | % | | $ | 1.98 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. |
7 / Semi-Annual Report September 2008
| | | | | | | | | | | | |
| | | Beginning
Account Value
04/01/08 | | Ending
Account Value
09/30/08 | | Expense
Ratio12 | | | Expenses
Paid During
Period3 |
INTERMEDIATE BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 958.80 | | 0.65 | % | | $ | 3.20 |
Class I | | $ | 1,000.00 | | $ | 958.80 | | 0.44 | % | | $ | 2.16 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,021.80 | | 0.65 | % | | $ | 3.30 |
Class I | | $ | 1,000.00 | | $ | 1,022.86 | | 0.44 | % | | $ | 2.23 |
TOTAL RETURN BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 964.00 | | 0.65 | % | | $ | 3.20 |
Class I | | $ | 1,000.00 | | $ | 965.00 | | 0.44 | % | | $ | 2.17 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,021.81 | | 0.65 | % | | $ | 3.30 |
Class I | | $ | 1,000.00 | | $ | 1,022.86 | | 0.44 | % | | $ | 2.23 |
HIGH YIELD BOND FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 959.70 | | 0.80 | % | | $ | 3.93 |
Class I | | $ | 1,000.00 | | $ | 960.90 | | 0.55 | % | | $ | 2.70 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,021.06 | | 0.80 | % | | $ | 4.05 |
Class I | | $ | 1,000.00 | | $ | 1,022.31 | | 0.55 | % | | $ | 2.79 |
STRATEGIC INCOME FUND | | | | | | | | | | | | |
Actual Fund Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 949.10 | | 0.85 | % | | $ | 4.16 |
Class I | | $ | 1,000.00 | | $ | 950.30 | | 0.60 | % | | $ | 2.93 |
Hypothetical 5% Return | | | | | | | | | | | | |
Class M | | $ | 1,000.00 | | $ | 1,020.80 | | 0.85 | % | | $ | 4.31 |
Class I | | $ | 1,000.00 | | $ | 1,022.06 | | 0.60 | % | | $ | 3.04 |
ALPHATRAK 500 FUND | | | | | | | | | | | | |
Actual Fund Return | | $ | 1,000.00 | | $ | 840.60 | | 0.16 | % | | $ | 0.74 |
Hypothetical 5% Return | | $ | 1,000.00 | | $ | 1,024.27 | | 0.16 | % | | $ | 0.81 |
1 | Annualized, based on the Fund’s most recent fiscal half-year expenses. |
2 | The “Expense Ratio” represents the actual expenses for the last six months and may be different from the expense ratios in the Financial Highlights, which is for the fiscal year. The significant differences for the Strategic Income Fund is attributable to performance based fee adjustments and interest expense and the significant differences for the AlphaTrak 500 Fund is attributable to the performance based fee adjustments. |
3 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year, then divided by 365. |
Semi-Annual Report September 2008 / 8
Metropolitan West Funds
Summary of Portfolio Holdings
September 30, 2008 (Unaudited)
These tables are provided to give you a quick reference to the composition of each Funds’net assets. We hope that this information enhances your understanding of the different kinds of investments in the Funds.
| | | | | | | | | | | | | |
ULTRA SHORT BOND FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
Non-Agency Mortgage-Backed | | 26.14 | % | | U.S. Treasury | | 3.19 | % | | 0 to 1 years | | 19.00 | % |
Asset-Backed Securities | | 23.95 | % | | Agency | | 30.36 | % | | 1 year to 3 years | | 47.71 | % |
U.S. Agency Mortgage-Backed | | 21.08 | % | | AAA | | 49.91 | % | | 3 years to 5 years | | 35.74 | % |
U.S. Agency Discount Notes | | 12.38 | % | | AA | | 6.14 | % | | 5 years to 10 years | | 3.67 | % |
Commercial Mortgage-Backed | | 8.06 | % | | A | | 5.71 | % | | 10 years to 20 years | | (6.12 | )% |
Corporate Bonds | | 5.25 | % | | BBB | | 1.04 | % | | 20 years + | | 0.00 | % |
Money Market RIC | | 4.58 | % | | BB or below | | 3.65 | % | | | | | |
Bank Loans | | 0.31 | % | | | | | | | | | | |
U.S. Treasury Securities | | 0.12 | % | | | | | | | | | | |
Other | | (1.87 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
| | | | | | | | | | | | | |
LOW DURATION BOND FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
Asset-Backed Securities | | 22.26 | % | | U.S. Treasury | | 0.63 | % | | 0 to 1 years | | 9.69 | % |
Corporate Bonds | | 19.64 | % | | Agency | | 23.23 | % | | 1 year to 3 years | | 41.96 | % |
U.S. Agency Mortgage-Backed | | 18.51 | % | | AAA | | 44.53 | % | | 3 years to 5 years | | 36.29 | % |
Non Agency Mortgage-Backed | | 17.86 | % | | AA | | 11.30 | % | | 5 years to 10 years | | 11.83 | % |
U.S. Agency Discount Notes | | 9.19 | % | | A | | 6.31 | % | | 10 years to 20 years | | (1.31 | )% |
U.S. Agency Securities | | 6.27 | % | | BBB | | 8.17 | % | | 20 years + | | 1.54 | % |
Commercial Mortgage-Backed | | 3.43 | % | | BB or below | | 5.83 | % | | | | | |
Municipal Bonds | | 1.67 | % | | | | | | | | | | |
Bank Loans | | 1.43 | % | | | | | | | | | | |
U.S. Treasury Securities | | 0.30 | % | | | | | | | | | | |
Preferred Stock | | 0.15 | % | | | | | | | | | | |
Money Market RIC | | 0.10 | % | | | | | | | | | | |
Other | | (0.81 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
9 / Semi-Annual Report September 2008
| | | | | | | | | | | | | |
INTERMEDIATE BOND FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
U.S. Agency Mortgage-Backed | | 32.24 | % | | U.S. Treasury | | 9.42 | % | | 0 to 1 years | | 7.70 | % |
U.S. Treasury Securities | | 18.49 | % | | Agency | | 57.86 | % | | 1 year to 3 years | | 12.21 | % |
Corporate Bonds | | 14.44 | % | | AAA | | 7.40 | % | | 3 years to 5 years | | 34.03 | % |
Non-Agency Mortgage-Backed | | 9.38 | % | | AA | | 11.05 | % | | 5 years to 10 years | | 45.21 | % |
U.S. Agency Discount Notes | | 9.22 | % | | A | | 5.55 | % | | 10 years to 20 years | | (0.95 | )% |
Asset-Backed Securities | | 8.17 | % | | BBB | | 5.16 | % | | 20 years + | | 1.80 | % |
Commercial Mortgage-Backed | | 7.51 | % | | BB or below | | 3.56 | % | | | | | |
Municipal Bonds | | 1.95 | % | | | | | | | | | | |
Bank Loans | | 1.12 | % | | | | | | | | | | |
Money Market RIC | | 0.63 | % | | | | | | | | | | |
Other | | (3.15 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
| | | | | | | | | | | | | |
TOTAL RETURN BOND FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
U.S. Agency Mortgage-Backed | | 36.04 | % | | U.S. Treasury | | 8.18 | % | | 0 to 1 years | | 4.48 | % |
U.S. Agency Discount Notes | | 19.33 | % | | Agency | | 66.83 | % | | 1 year to 3 years | | 10.24 | % |
Corporate Bonds | | 13.94 | % | | AAA | | (0.85 | )% | | 3 years to 5 years | | 30.13 | % |
U.S. Treasury Securities | | 11.59 | % | | AA | | 11.55 | % | | 5 years to 10 years | | 49.85 | % |
Commercial Mortgage-Backed | | 7.72 | % | | A | | 5.39 | % | | 10 years to 20 years | | 2.85 | % |
Non-Agency Mortgaged-Backed | | 5.60 | % | | BBB | | 4.77 | % | | 20 years + | | 2.45 | % |
Asset-Backed Securities | | 5.53 | % | | BB or below | | 4.13 | % | | | | | |
Municipal Bonds | | 1.89 | % | | | | | | | | | | |
Bank Loans | | 1.89 | % | | | | | | | | | | |
Money Market RIC | | 0.45 | % | | | | | | | | | | |
U.S. Agency Securities | | 0.21 | % | | | | | | | | | | |
Preferred Stock | | 0.07 | % | | | | | | | | | | |
Other | | (4.26 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
| | | | | | | | | | | | | |
HIGH YIELD BOND FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
Corporate Bonds | | 64.64 | % | | Agency | | 4.18 | % | | 0 to 1 years | | 12.64 | % |
Bank Loans | | 25.84 | % | | AAA | | 1.98 | % | | 1 year to 3 years | | 17.86 | % |
U.S. Agency Discount Notes | | 3.74 | % | | AA | | 1.16 | % | | 3 years to 5 years | | 17.24 | % |
Non-Agency Mortgage-Backed | | 2.07 | % | | A | | 9.14 | % | | 5 years to 10 years | | 48.22 | % |
Asset-Backed Securities | | 1.59 | % | | BBB | | 2.26 | % | | 10 years to 20 years | | 1.75 | % |
Preferred Stock | | 1.41 | % | | BB | | 28.22 | % | | 20 years + | | 2.29 | % |
Other | | 0.40 | % | | B | | 42.46 | % | | | | | |
Money Market RIC | | 0.19 | % | | CCC | | 10.42 | % | | | | | |
U.S. Agency Mortgage-Backed | | 0.12 | % | | CC or below | | 0.18 | % | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
Semi-Annual Report September 2008 / 10
| | | | | | | | | | | | | |
STRATEGIC INCOME FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
Asset-Backed Securities | | 39.61 | % | | U.S. Treasury | | 2.76 | % | | 0 to 1 years | | 17.94 | % |
Corporate Bonds | | 19.60 | % | | Agency | | 60.64 | % | | 1 year to 3 years | | 22.53 | % |
Non-Agency Mortgage-Backed | | 17.79 | % | | AAA | | (8.99 | )% | | 3 years to 5 years | | 18.52 | % |
U.S. Agency Discount Notes | | 16.02 | % | | AA | | 10.66 | % | | 5 years to 10 years | | 48.13 | % |
Bank Loans | | 9.88 | % | | A | | 6.42 | % | | 10 years to 20 years | | (8.80 | )% |
U.S. Agency Mortgage-Backed | | 8.81 | % | | BBB | | 11.75 | % | | 20 years + | | 1.68 | % |
Commercial Mortgage-Backed | | 7.29 | % | | BB or below | | 16.76 | % | | | | | |
U.S. Treasury Securities | | 3.07 | % | | | | | | | | | | |
Preferred Stock | | 1.75 | % | | | | | | | | | | |
Money Market RIC | | 0.36 | % | | | | | | | | | | |
Other | | (24.18 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
| | | | | | | | | | | | | |
ALPHATRAK 500 FUND | |
Sector Diversification | | | Distribution by Quality Rating | | | Distribution by Maturity | |
Asset-Backed Securities | | 28.47 | % | | U.S. Treasury | | 0.89 | % | | 0 to 1 years | | 15.44 | % |
Corporate Bonds | | 23.91 | % | | Agency | | 25.16 | % | | 1 year to 3 years | | 32.14 | % |
Non-Agency Mortgage-Backed | | 17.21 | % | | AAA | | 37.56 | % | | 3 years to 5 years | | 37.39 | % |
U.S. Agency Discount Notes | | 15.34 | % | | AA | | 12.16 | % | | 5 years to 10 years | | 14.08 | % |
Commercial Mortgage-Backed | | 7.44 | % | | A | | 4.57 | % | | 10 years to 20 years | | (1.62 | )% |
U.S. Agency Mortgage-Backed | | 6.71 | % | | BBB | | 9.11 | % | | 20 years + | | 2.57 | % |
Bank Loans | | 4.11 | % | | BB or below | | 10.55 | % | | | | | |
U.S. Treasury Securities | | 0.64 | % | | | | | | | | | | |
Preferred Stock | | 0.27 | % | | | | | | | | | | |
Money Market RIC | | 0.07 | % | | | | | | | | | | |
Other | | (4.17 | )% | | | | | | | | | | |
Total | | 100.00 | % | | Total | | 100.00 | % | | Total | | 100.00 | % |
All figures presented as percentages of total net assets. Credit rating distributions for each Fund were determined by giving each fixed income security the highest rating assigned by a nationally recognized statistical rating organization. If a security is not rated, the Adviser has assigned a credit rating based upon the credit rating of comparable quality rated securities.
In addition to its annual and semi-annual reports, the Funds file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ most recent Form N-Q was filed for the quarter ended June 30, 2008. The Funds’Form N-Q is available on the SEC’s website at www.sec.gov and may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.
11 / Semi-Annual Report September 2008
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS – 98.11% | | | | | | | | | |
ASSET-BACKED SECURITIES — 24.80%** | | | | | | | | | |
Aames Mortgage Trust 2002-1 A3 (STEP) | | | | | | | | | |
6.90% | | 06/25/32 | | | $ | 36,529 | | $ | 34,021 |
ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.22% | | 07/15/33 | | | | 5,309 | | | 5,240 |
ABFS Mortgage Loan Trust 2002-3 A (STEP) | | | | | | | | | |
4.26% | | 09/15/33 | | | | 17,363 | | | 16,916 |
ABFS Mortgage Loan Trust 2002-4 A (STEP) | | | | | | | | | |
4.43% | | 12/15/33 | | | | 15,051 | | | 13,655 |
Bayview Financial Acquisition Trust 2004-B A1 | | | | | | | | | |
4.71% | | 05/28/39 | 2,3 | | | 3,109,671 | | | 2,537,299 |
Bayview Financial Acquisition Trust 2005-A A1 | | | | | | | | | |
4.21% | | 02/28/40 | 2,3,† | | | 4,000,000 | | | 3,321,723 |
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | | | | | | | | | |
4.21% | | 12/28/40 | 2,3,† | | | 3,900,000 | | | 3,237,000 |
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP) | | | | | | | | | |
5.96% | | 07/25/36 | | | | 625,204 | | | 617,487 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
3.39% | | 03/25/37 | 2 | | | 2,500,000 | | | 1,576,222 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 A2C | | | | | | | | | |
4.51% | | 07/25/37 | 2 | | | 1,765,000 | | | 906,769 |
Contimortgage Home Equity Trust 1999-3 A6 (STEP) | | | | | | | | | |
8.18% | | 12/25/29 | | | | 3,947 | | | 3,866 |
Countrywide Asset-Backed Certificates 2003-BC1 M1 | | | | | | | | | |
4.13% | | 12/25/32 | 2 | | | 351,357 | | | 223,334 |
Countrywide Asset-Backed Certificates 2007-10 2A2 | | | | | | | | | |
3.33% | | 06/25/47 | 2 | | | 2,975,000 | | | 2,538,557 |
CS First Boston Mortgage Securities Corp. 2001-MH29 A (STEP) | | | | | | | | | |
5.60% | | 09/25/31 | | | | 158,146 | | | 156,141 |
Deutsche Financial Capital Securitization LLC 1997-I A3 | | | | | | | | | |
6.75% | | 09/15/27 | | | | 262,343 | | | 266,451 |
First Alliance Mortgage Loan Trust 1994-3 A1 | | | | | | | | | |
7.82% | | 10/25/25 | | | | 6,872 | | | 6,350 |
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFA M3A | | | | | | | | | |
5.53% | | 03/25/24 | 2,† | | | 3,254,476 | | | 2,701,355 |
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 A2C | | | | | | | | | |
3.52% | | 03/25/35 | 2 | | | 769,995 | | | 751,954 |
GE Capital Mortgage Services, Inc. 1998-HE1 A7 | | | | | | | | | |
6.46% | | 06/25/28 | | | | 1,376 | | | 1,372 |
Green Tree Financial Corp. 1994-1 A5 | | | | | | | | | |
7.65% | | 04/15/19 | | | | 10,992 | | | 11,189 |
Green Tree Financial Corp. 1996-8 A6 | | | | | | | | | |
7.60% | | 10/15/27 | 2 | | | 29,082 | | | 30,142 |
Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | 07/15/20 | | | | 193,488 | | | 142,382 |
Green Tree Home Improvement Loan Trust 1995-F B2 | | | | | | | | | |
7.10% | | 01/15/21 | | | | 57,074 | | | 42,699 |
GSAMP Trust 2004-FM1 M2 | | | | | | | | | |
5.31% | | 11/25/33 | 2 | | | 816,211 | | | 649,402 |
GSAMP Trust 2006-S6 A2 (STEP) | | | | | | | | | |
5.55% | | 10/25/36 | 4,† | | | 2,300,000 | | | 666,866 |
IndyMac Manufactured Housing Contract 1998-2 A4 | | | | | | | | | |
6.64% | | 12/25/27 | 2 | | | 286,851 | | | 273,047 |
Inman Square Funding Ltd. 2005-2A I | | | | | | | | | |
3.24% | | 10/06/40 | 2,3,4,† | | | 1,983,417 | | | 833,035 |
Irwin Home Equity Corp. 2003-A M2 | | | | | | | | | |
5.86% | | 10/25/27 | 2 | | | 1,358,957 | | | 1,165,531 |
Ivy Lane CDO Ltd. 2006-1A A1 | | | | | | | | | |
3.12% | | 02/05/46 | 2,3,4,† | | | 1,778,895 | | | 729,347 |
Keystone Owner Trust 1998-P1 M2 | | | | | | | | | |
7.93% | | 05/25/25 | 3 | | | 22,480 | | | 21,499 |
MASTR Asset Backed Securities Trust 2006-HE4 A1 | | | | | | | | | |
3.26% | | 11/25/36 | 2 | | | 1,038,673 | | | 1,004,099 |
Mid-State Trust 6 A4 | | | | | | | | | |
7.79% | | 07/01/35 | | | | 54,042 | | | 48,475 |
Morgan Stanley ABS Capital I 2004-NC2 M2 | | | | | | | | | |
5.01% | | 12/25/33 | 2 | | | 2,196,197 | | | 1,742,416 |
Morgan Stanley ABS Capital I 2007-HE5 A2A | | | | | | | | | |
3.32% | | 03/25/37 | 2 | | | 1,062,773 | | | 997,574 |
Morgan Stanley ABS Capital I 2007-NC2 A2A | | | | | | | | | |
3.32% | | 02/25/37 | 2 | | | 1,150,048 | | | 1,095,588 |
Morgan Stanley IXIS Real Estate Capital Trust 2006-2 A1 | | | | | | | | | |
3.26% | | 11/25/36 | 2 | | | 845,602 | | | 818,117 |
Nationstar NIM Trust 2007-B A | | | | | | | | | |
8.75% | | 05/25/37 | 3,4,† | | | 143,314 | | | 8,599 |
Oakwood Mortgage Investors, Inc. 1998-A A4 | | | | | | | | | |
6.20% | | 05/15/28 | | | | 6,354 | | | 6,277 |
Oakwood Mortgage Investors, Inc. 1998-B A3 | | | | | | | | | |
6.20% | | 01/15/15 | | | | 9,912 | | | 9,761 |
Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | 03/15/17 | | | | 496,227 | | | 490,079 |
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO) | | | | | | | | | |
6.00% | | 05/15/10 | 4,† | | | 69,062 | | | 5,576 |
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP) | | | | | | | | | |
8.60% | | 09/25/29 | | | | 214,031 | | | 186,620 |
Semi-Annual Report September 2008 / 12
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | | | | | |
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP) | | | | | | | | | |
8.29% | | 02/25/25 | | | $ | 22,280 | | $ | 19,541 |
Saxon Asset Securities Trust 2002-1 M2 | | | | | | | | | |
5.01% | | 11/25/31 | 2 | | | 209,823 | | | 97,449 |
Structured Asset Securities Corp. 2007-EQ1 A4 | | | | | | | | | |
3.46% | | 03/25/37 | 2 | | | 3,000,000 | | | 1,573,680 |
Terwin Mortgage Trust 2004-13AL 2PX (IO) | | | | | | | | | |
0.34% | | 08/25/34 | 3,4 | | | 10,017,406 | | | 115,291 |
UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | 04/15/30 | 2 | | | 1,243 | | | 812 |
Vanderbilt Mortgage Finance 1997-B 1A6 | | | | | | | | | |
7.60% | | 06/07/25 | | | | 2,085,000 | | | 2,085,387 |
Wells Fargo Home Equity Trust 2007-1 A1 | | | | | | | | | |
3.31% | | 03/25/37 | 2 | | | 494,194 | | | 478,842 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $44,553,997) | | | | | | | | | 34,265,034 |
| | | | | | | | | |
CORPORATES — 6.85%* | | | | | | | | | |
Banking — 0.39% | | | | | | | | | |
JPMorgan Chase Bank NA | | | | | | | | | |
8.75% | | 11/28/21 | 2 | | | 557,000 | | | 540,569 |
| | | | | | | | | |
Electric — 0.40% | | | | | | | | | |
Entergy Gulf States, Inc. | | | | | | | | | |
3.21% | | 12/01/09 | 2 | | | 550,000 | | | 545,135 |
| | | | | | | | | |
Finance — 3.90% | | | | | | | | | |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
3.42% | | 03/24/09 | 2 | | | 1,370,000 | | | 1,337,428 |
Countrywide Financial Corp. A (MTN) | | | | | | | | | |
3.33% | | 12/19/08 | 2 | | | 400,000 | | | 376,000 |
Ford Motor Credit Co. LLC | | | | | | | | | |
5.54% | | 01/13/12 | 2 | | | 1,130,000 | | | 711,900 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 2 | | | 825,000 | | | 381,374 |
Goldman Sachs Group LP | | | | | | | | | |
4.50% | | 06/15/10 | | | | 400,000 | | | 371,459 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
5.45% | | 11/01/12 | | | | 500,000 | | | 435,181 |
Goldman Sachs Group, Inc. (The) (MTN) B | | | | | | | | | |
3.19% | | 07/22/15 | 2 | | | 200,000 | | | 151,000 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
2.52% | | 11/24/08 | | | | 850,000 | | | 113,511 |
Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | 11/30/10 | | | | 883,000 | | | 117,917 |
Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
4.61% | | 05/20/09 | 2 | | | 520,000 | | | 507,714 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 790,000 | | | 643,850 |
4.25% | | 05/15/10 | | | | 260,000 | | | 211,345 |
6.75% | | 04/15/11 | | | | 35,000 | | | 25,918 |
| | | | | | | | | |
| | | | | | | | | 5,384,597 |
| | | | | | | | | |
Transportation — 2.16% | | | | | | | | | |
American Airlines, Inc., AMBAC Assurance Corp. 2003-1 | | | | | | | | | |
3.86% | | 07/09/10 | | | | 1,403,962 | | | 1,304,630 |
Continental Airlines, Inc. 1998-3 | | | | | | | | | |
6.32% | | 11/01/08 | | | | 1,700,000 | | | 1,685,125 |
| | | | | | | | | |
| | | | | | | | | 2,989,755 |
| | | | | | | | | |
Total Corporates (Cost $11,631,725) | | | | | | | | | 9,460,056 |
| | | | | | | | | |
BANK LOANS — 1.33%* | | | | | | | | | |
Electric — 0.72% | | | | | | | | | |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/095 | | | | 994,764 | | | 992,278 |
| | | | | | | | | |
Transportation — 0.61% | | | | | | | | | |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/125 | | | | 980,000 | | | 847,291 |
| | | | | | | | | |
Total Bank Loans (Cost $1,979,330) | | | | | | | | | 1,839,569 |
| | | | | | | | | |
MORTGAGE-BACKED — 65.13%** | | | | | | | | | |
Commercial Mortgage-Backed — 9.18% | | | | | | | | | |
Banc of America Mortgage Securities, Inc. 2003-E 2A1 | | | | | | | | | |
4.71% | | 06/25/33 | 2 | | | 1,884,287 | | | 1,877,498 |
Bayview Commercial Asset Trust 2007-3 A1 | | | | | | | | | |
3.45% | | 07/25/37 | 2,3,† | | | 1,613,885 | | | 1,323,456 |
Deutsche Bank Alternate Loan Trust 2006-AR6 A3 | | | | | | | | | |
3.30% | | 02/25/37 | 2 | | | 1,886,094 | | | 1,723,560 |
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR3 2A2A | | | | | | | | | |
3.40% | | 07/19/44 | 2 | | | 790,051 | | | 639,211 |
JPMorgan Alternative Loan Trust 2007-A2 12A2 | | | | | | | | | |
3.31% | | 06/25/37 | 2 | | | 1,079,033 | | | 939,820 |
JPMorgan Mortgage Trust 2005-A2 9A1 | | | | | | | | | |
6.17% | | 04/25/35 | 2 | | | 892,779 | | | 826,073 |
Structured Asset Mortgage Investments, Inc. 2005-AR2 2A1 | | | | | | | | | |
3.44% | | 05/25/45 | 2 | | | 2,971,756 | | | 1,990,977 |
Structured Asset Mortgage Investments, Inc. 2005-AR6 2A1 | | | | | | | | | |
3.52% | | 09/25/45 | 2 | | | 2,378,615 | | | 1,523,505 |
13 / Semi-Annual Report September 2008
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Commercial Mortgage-Backed (continued) | | | | | | | | | |
Structured Asset Mortgage Investments, Inc. 2007-AR3 2A1 | | | | | | | | | |
3.40% | | 09/25/47 | 2 | | $ | 3,061,174 | | $ | 1,839,090 |
| | | | | | | | | |
| | | | | | | | | 12,683,190 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 34.28% | | | | | | | | | |
Adjustable Rate Mortgage Trust 2005-1 1A1 | | | | | | | | | |
5.86% | | 05/25/35 | 2,† | | | 1,691,726 | | | 1,302,629 |
Alliance Bancorp Trust 2007-OA1 A1 | | | | | | | | | |
3.45% | | 07/25/37 | 2 | | | 4,554,739 | | | 2,757,419 |
American Home Mortgage Assets 2006-2 2A1 | | | | | | | | | |
3.40% | | 09/25/46 | 2 | | | 3,256,798 | | | 1,930,375 |
American Home Mortgage Investment Trust 2004-3 3A | | | | | | | | | |
4.85% | | 10/25/34 | 2 | | | 1,343,307 | | | 980,494 |
Banc of America Funding Corp. 2003-2 1A1 | | | | | | | | | |
6.50% | | 06/25/32 | | | | 68,872 | | | 65,152 |
Banc of America Mortgage Securities, Inc. 2003-A 2A2 | | | | | | | | | |
6.86% | | 02/25/33 | 2 | | | 11,006 | | | 10,966 |
Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
4.70% | | 07/25/37 | 2 | | | 2,704,141 | | | 2,546,195 |
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2 | | | | | | | | | |
6.50% | | 06/25/31 | | | | 948,916 | | | 898,789 |
Citigroup Mortgage Loan Trust, Inc. 2003-UST1 A1 | | | | | | | | | |
5.50% | | 12/25/18 | | | | 871,511 | | | 809,727 |
Citigroup Mortgage Loan Trust, Inc. 2004-2 2A1 | | | | | | | | | |
6.50% | | 08/25/18 | 3 | | | 145,654 | | | 147,235 |
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.16% | | 02/25/34 | 2 | | | 518,805 | | | 419,615 |
Countrywide Alternative Loan Trust 2004-J6 2A1 | | | | | | | | | |
6.50% | | 11/25/31 | | | | 667,072 | | | 518,245 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 4,6,† | | | 2,933,104 | | | 46,546 |
Countrywide Alternative Loan Trust 2005-16 A5 | | | | | | | | | |
3.49% | | 06/25/35 | 2 | | | 917,802 | | | 424,201 |
Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
4.21% | | 08/25/35 | 2 | | | 1,859,135 | | | 1,101,776 |
Countrywide Alternative Loan Trust 2005-61 2A1 | | | | | | | | | |
3.49% | | 12/25/35 | 2 | | | 1,530,558 | | | 972,263 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 4 | | | 11,048,946 | | | 288,308 |
CS First Boston Mortgage Securities Corp. 2002-AR31 4A2 | | | | | | | | | |
5.32% | | 11/25/32 | 2 | | | 200,000 | | | 196,211 |
CS First Boston Mortgage Securities Corp. 2003-AR24 2A4 | | | | | | | | | |
4.79% | | 10/25/33 | 2 | | | 1,679,517 | | | 1,645,135 |
CS First Boston Mortgage Securities Corp. 2004-1 2A1 | | | | | | | | | |
6.50% | | 02/25/34 | | | | 1,028,294 | | | 940,260 |
Downey Savings & Loan Association Mortgage Loan Trust 2004-AR1 A2A | | | | | | | | | |
3.44% | | 09/19/44 | 2 | | | 318,578 | | | 213,184 |
Fifth Third Mortgage Loan Trust 2002-FTB1 5A1 | | | | | | | | | |
5.74% | | 11/19/32 | 2 | | | 59,009 | | | 58,953 |
First Horizon Asset Securities, Inc. 2002-AR2 2A1 | | | | | | | | | |
7.13% | | 12/27/32 | 2 | | | 41,584 | | | 41,713 |
First Horizon Asset Securities, Inc. 2003-AR2 1A1 | | | | | | | | | |
5.50% | | 07/25/33 | 2 | | | 102,588 | | | 99,535 |
GMAC Mortgage Corp. Loan Trust 2003-GH1 A5 (STEP) | | | | | | | | | |
5.60% | | 07/25/34 | | | | 91,586 | | | 87,414 |
Harborview Mortgage Loan Trust 2004-8 2A4A | | | | | | | | | |
3.43% | | 11/19/34 | 2 | | | 1,672,771 | | | 1,249,317 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 4,6 | | | 3,680,222 | | | 37,377 |
Harborview Mortgage Loan Trust 2005-12 X2A (IO) | | | | | | | | | |
0.57% | | 10/19/35 | 2,4 | | | 28,106,792 | | | 276,676 |
IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
3.60% | | 12/25/34 | 2 | | | 1,287,444 | | | 843,037 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 4,6 | | | 1,558,426 | | | 14,123 |
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1 | | | | | | | | | |
5.45% | | 10/25/34 | 2 | | | 928,315 | | | 834,102 |
IndyMac Index Mortgage Loan Trust 2005-AR18 2A1B | | | | | | | | | |
3.99% | | 10/25/36 | 2 | | | 1,666,178 | | | 1,067,227 |
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1 | | | | | | | | | |
6.53% | | 01/25/34 | 2 | | | 69,819 | | | 60,279 |
MASTR Adjustable Rate Mortgages Trust 2004-12 5A1 | | | | | | | | | |
5.88% | | 10/25/34 | 2 | | | 1,229,445 | | | 956,458 |
Semi-Annual Report September 2008 / 14
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1 | | | | | | | | | |
6.23% | | 06/25/34 | 2 | | $ | 87,634 | | $ | 62,823 |
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A | | | | | | | | | |
3.93% | | 12/25/46 | 2 | | | 4,168,728 | | | 2,117,658 |
MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
5.58% | | 10/25/32 | 2 | | | 261,385 | | | 241,069 |
MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | 08/25/32 | | | | 1,012,142 | | | 937,481 |
MASTR Seasoned Securities Trust 2005-1 4A1 | | | | | | | | | |
5.59% | | 10/25/32 | 2 | | | 698,032 | | | 576,354 |
Merrill Lynch Mortgage Investors, Inc. 2003-A1 2A | | | | | | | | | |
4.85% | | 12/25/32 | 2 | | | 748,792 | | | 670,527 |
Residential Accredit Loans, Inc. 2002-QS17 NB1 | | | | | | | | | |
6.00% | | 11/25/32 | | | | 34,929 | | | 34,965 |
Residential Accredit Loans, Inc. 2007-QS8 A10 | | | | | | | | | |
6.00% | | 06/25/37 | | | | 2,576,368 | | | 2,491,084 |
Residential Asset Mortgage Products, Inc. 2003-SL1 A11 | | | | | | | | | |
7.12% | | 03/25/16 | | | | 411,272 | | | 419,321 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A2 | | | | | | | | | |
8.50% | | 11/25/31 | | | | 252,884 | | | 265,243 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A7 | | | | | | | | | |
7.00% | | 11/25/31 | | | | 70,322 | | | 72,783 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A8 | | | | | | | | | |
6.50% | | 11/25/31 | | | | 486,605 | | | 496,478 |
Residential Asset Mortgage Products, Inc. 2005-SL1 A5 | | | | | | | | | |
6.50% | | 05/25/32 | | | | 2,541,399 | | | 2,354,116 |
Residential Asset Securitization Trust 2004-IP2 2A1 | | | | | | | | | |
5.23% | | 12/25/34 | 2 | | | 759,255 | | | 648,783 |
Residential Asset Securitization Trust 2007-A7 A4 | | | | | | | | | |
6.00% | | 07/25/37 | | | | 2,961,197 | | | 2,854,044 |
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1 | | | | | | | | | |
5.38% | | 12/27/35 | 2,† | | | 4,176,788 | | | 3,237,046 |
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A | | | | | | | | | |
3.41% | | 10/25/36 | 2 | | | 2,353,938 | | | 1,440,471 |
Structured Asset Securities Corp. 2001-15A 4A1 | | | | | | | | | |
6.00% | | 10/25/31 | 2 | | | 65,194 | | | 64,427 |
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
3.63% | | 04/25/47 | 2 | | | 3,413,979 | | | 1,964,574 |
Washington Mutual Mortgage Pass-Through Certificates 2002-AR6 A | | | | | | | | | |
4.26% | | 06/25/42 | 2 | | | 179,380 | | | 163,183 |
Washington Mutual Mortgage Pass-Through Certificates 2003-AR6 A1 | | | | | | | | | |
3.95% | | 06/25/33 | 2 | | | 706,391 | | | 690,292 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO) | | | | | | | | | |
0.98% | | 02/25/47 | 4,6,† | | | 68,839,955 | | | 839,015 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS1 1A | | | | | | | | | |
5.00% | | 02/25/18 | | | | 420,430 | | | 396,807 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A | | | | | | | | | |
7.00% | | 04/25/33 | | | | 224,343 | | | 230,426 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A | | | | | | | | | |
7.00% | | 03/25/34 | | | | 260,106 | | | 245,529 |
| | | | | | | | | |
| | | | | | | | | 47,355,435 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 21.67% | | | | | | | | | |
Fannie Mae 1988-12 A | | | | | | | | | |
10.00% | | 02/25/18 | 2 | | | 140,315 | | | 154,309 |
Fannie Mae 1993-80 S | | | | | | | | | |
6.75% | | 05/25/23 | 2 | | | 11,922 | | | 11,742 |
Fannie Mae 1994-55 S | | | | | | | | | |
14.97% | | 12/25/23 | 2 | | | 2,930 | | | 2,994 |
Fannie Mae 1997-23 PB | | | | | | | | | |
6.62% | | 01/25/22 | | | | 43,429 | | | 44,190 |
Fannie Mae 1998-58 PC | | | | | | | | | |
6.50% | | 10/25/28 | | | | 1,143,293 | | | 1,178,849 |
Fannie Mae 2000-27 AN | | | | | | | | | |
6.00% | | 08/25/30 | | | | 21,978 | | | 22,375 |
Fannie Mae 2001-42 SB | | | | | | | | | |
8.50% | | 09/25/31 | 2 | | | 7,367 | | | 7,325 |
Fannie Mae 2001-68 PV | | | | | | | | | |
6.00% | | 11/25/18 | | | | 29,092 | | | 29,108 |
Fannie Mae 2003-124 (IO) | | | | | | | | | |
5.25% | | 03/25/31 | | | | 103,911 | | | 10,124 |
Fannie Mae 2003-124 TS | | | | | | | | | |
9.80% | | 01/25/34 | 2 | | | 148,303 | | | 148,032 |
Fannie Mae 2003-37 IG (IO) | | | | | | | | | |
5.50% | | 05/25/32 | | | | 347,024 | | | 52,707 |
Fannie Mae 2003-85 IE (IO) | | | | | | | | | |
5.50% | | 06/25/29 | | | | 120,084 | | | 9,663 |
Fannie Mae 2004-96 MT | | | | | | | | | |
7.00% | | 12/25/34 | 2 | | | 325,254 | | | 313,954 |
15 / Semi-Annual Report September 2008
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Fannie Mae 2005-47 SL | | | | | | | | | |
7.50% | | 06/25/35 | 2 | | $ | 891,142 | | $ | 756,650 |
Fannie Mae Pool 111643 | | | | | | | | | |
6.44% | | 09/01/20 | 2 | | | 30,619 | | | 30,753 |
Fannie Mae Pool 190656 | | | | | | | | | |
6.50% | | 02/01/14 | | | | 258,523 | | | 268,573 |
Fannie Mae Pool 254190 | | | | | | | | | |
5.50% | | 02/01/09 | | | | 296,469 | | | 300,856 |
Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | 11/01/19 | | | | 333,775 | | | 363,474 |
Fannie Mae Pool 555098 | | | | | | | | | |
5.09% | | 11/01/32 | 2 | | | 198,753 | | | 201,305 |
Fannie Mae Pool 555177 | | | | | | | | | |
4.88% | | 01/01/33 | 2 | | | 258,710 | | | 266,327 |
Fannie Mae Pool 555207 | | | | | | | | | |
7.00% | | 11/01/17 | | | | 49,572 | | | 51,768 |
Fannie Mae Pool 555312 | | | | | | | | | |
5.99% | | 01/01/33 | 2 | | | 593,930 | | | 599,429 |
Fannie Mae Pool 555705 | | | | | | | | | |
5.27% | | 07/01/33 | 2 | | | 611,776 | | | 614,644 |
Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | 05/01/23 | | | | 173,551 | | | 188,213 |
Fannie Mae Pool 646884 | | | | | | | | | |
5.48% | | 05/01/32 | 2 | | | 23,295 | | | 23,382 |
Fannie Mae Pool 647903 | | | | | | | | | |
4.27% | | 04/01/27 | 2 | | | 63,355 | | | 63,531 |
Fannie Mae Pool 648860 | | | | | | | | | |
6.50% | | 05/01/17 | | | | 1,044,057 | | | 1,094,085 |
Fannie Mae Pool 655127 | | | | | | | | | |
7.00% | | 07/01/32 | | | | 54,140 | | | 56,665 |
Fannie Mae Pool 655133 | | | | | | | | | |
7.00% | | 08/01/32 | | | | 55,719 | | | 58,312 |
Fannie Mae Pool 655151 | | | | | | | | | |
7.00% | | 08/01/32 | | | | 84,599 | | | 88,342 |
Fannie Mae Pool 735207 | | | | | | | | | |
7.00% | | 04/01/34 | | | | 872,730 | | | 912,251 |
Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | 12/01/22 | | | | 1,276,960 | | | 1,315,408 |
Fannie Mae Pool 735995 | | | | | | | | | |
4.67% | | 04/01/35 | 2 | | | 1,276,609 | | | 1,283,441 |
Fannie Mae Pool 753630 | | | | | | | | | |
6.80% | | 11/01/33 | 2 | | | 292,446 | | | 296,641 |
Fannie Mae Pool 754001 | | | | | | | | | |
7.06% | | 12/01/33 | 2 | | | 755,348 | | | 766,217 |
Fannie Mae Pool 762525 | | | | | | | | | |
6.50% | | 11/01/33 | | | | 235,882 | | | 241,974 |
Fannie Mae Pool 764605 | | | | | | | | | |
6.19% | | 01/01/34 | 2 | | | 754,209 | | | 752,758 |
Fannie Mae Pool 770900 | | | | | | | | | |
4.33% | | 04/01/34 | 2 | | | 700,559 | | | 709,362 |
Fannie Mae Pool 771153 | | | | | | | | | |
5.71% | | 02/01/34 | 2 | | | 1,344,358 | | | 1,362,496 |
Fannie Mae Pool 788986 | | | | | | | | | |
5.54% | | 10/01/34 | 2 | | | 797,948 | | | 795,905 |
Fannie Mae Pool 805268 | | | | | | | | | |
6.03% | | 01/01/35 | 2 | | | 684,120 | | | 699,517 |
Fannie Mae Pool 810557 | | | | | | | | | |
6.40% | | 02/01/35 | 2 | | | 623,332 | | | 632,376 |
Fannie Mae Pool 811267 | | | | | | | | | |
6.59% | | 12/01/34 | 2 | | | 221,328 | | | 222,691 |
Fannie Mae Pool 908412 | | | | | | | | | |
6.15% | | 04/01/37 | 2 | | | 1,970,237 | | | 2,003,627 |
Freddie Mac 1214 KA | | | | | | | | | |
3.33% | | 02/15/22 | 2 | | | 9,244 | | | 9,252 |
Freddie Mac 1526 L | | | | | | | | | |
6.50% | | 06/15/23 | | | | 37,751 | | | 39,239 |
Freddie Mac 1625 FC | | | | | | | | | |
3.60% | | 12/15/08 | 2 | | | 3,470 | | | 3,462 |
Freddie Mac 1662 L | | | | | | | | | |
3.19% | | 01/15/09 | 2 | | | 127 | | | 127 |
Freddie Mac 1695 EA | | | | | | | | | |
7.00% | | 12/15/23 | | | | 3,348 | | | 3,351 |
Freddie Mac 1702 TJ | | | | | | | | | |
7.00% | | 04/15/13 | | | | 184,102 | | | 186,012 |
Freddie Mac 2043 CJ | | | | | | | | | |
6.50% | | 04/15/28 | | | | 85,948 | | | 89,014 |
Freddie Mac 2451 SP | | | | | | | | | |
11.47% | | 05/15/09 | 2 | | | 5,583 | | | 5,675 |
Freddie Mac 2527 TI (IO) | | | | | | | | | |
6.00% | | 02/15/32 | | | | 462,897 | | | 58,887 |
Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | 05/15/17 | | | | 505,733 | | | 45,298 |
Freddie Mac 2587 IH (IO) | | | | | | | | | |
5.00% | | 08/15/25 | | | | 545,083 | | | 4,135 |
Freddie Mac 2594 VK | | | | | | | | | |
5.00% | | 02/15/23 | | | | 436,325 | | | 438,001 |
Freddie Mac 2642 BW (IO) | | | | | | | | | |
5.00% | | 06/15/23 | | | | 75,914 | | | 14,683 |
Freddie Mac 2657 LX (IO) | | | | | | | | | |
6.00% | | 05/15/18 | | | | 326,459 | | | 36,607 |
Freddie Mac 2856 ST | | | | | | | | | |
7.00% | | 09/15/23 | 2 | | | 1,152,219 | | | 1,175,186 |
Freddie Mac 2905 JG | | | | | | | | | |
7.00% | | 09/15/34 | | | | 573,788 | | | 585,289 |
Freddie Mac 2906 NX (IO) | | | | | | | | | |
3.01% | | 12/15/34 | 2 | | | 7,217,783 | | | 350,766 |
Semi-Annual Report September 2008 / 16
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Freddie Mac 2971 AB | | | | | | | | | |
5.00% | | 05/15/20 | | | $ | 21,211 | | $ | 20,399 |
Freddie Mac 3202 HS | | | | | | | | | |
4.16% | | 08/15/36 | 2 | | | 7,173,090 | | | 250,732 |
Freddie Mac Gold C90237 | | | | | | | | | |
6.50% | | 11/01/18 | | | | 203,197 | | | 210,969 |
Freddie Mac Gold C90474 | | | | | | | | | |
7.00% | | 08/01/21 | | | | 276,540 | | | 290,917 |
Freddie Mac Gold D93410 | | | | | | | | | |
6.50% | | 04/01/19 | | | | 197,092 | | | 204,400 |
Freddie Mac Gold O30092 | | | | | | | | | |
5.50% | | 10/01/15 | | | | 177,960 | | | 180,093 |
Freddie Mac Gold P20295 | | | | | | | | | |
7.00% | | 10/01/29 | | | | 94,426 | | | 98,276 |
Freddie Mac Gold P50214 | | | | | | | | | |
6.50% | | 02/01/34 | † | | | 420,873 | | | 428,698 |
Freddie Mac Gold P50230 | | | | | | | | | |
6.50% | | 04/01/34 | † | | | 1,051,108 | | | 1,070,651 |
Freddie Mac Gold P60084 | | | | | | | | | |
6.00% | | 03/01/16 | † | | | 804,725 | | | 814,733 |
Freddie Mac Non Gold Pool 775554 | | | | | | | | | |
5.52% | | 10/01/18 | 2 | | | 6,957 | | | 7,027 |
Freddie Mac Non Gold Pool 782824 | | | | | | | | | |
6.71% | | 11/01/34 | 2 | | | 883,387 | | | 893,708 |
Freddie Mac Non Gold Pool 788498 | | | | | | | | | |
6.36% | | 02/01/30 | 2 | | | 593,085 | | | 596,634 |
Freddie Mac Non Gold Pool 865369 | | | | | | | | | |
5.23% | | 06/01/22 | 2 | | | 5,531 | | | 5,605 |
Freddie Mac Non Gold Pool 972112 | | | | | | | | | |
6.45% | | 01/01/33 | 2 | | | 325,200 | | | 332,003 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 324,826 | | | 34,131 |
Ginnie Mae 2003-58 IG (IO) | | | | | | | | | |
5.50% | | 05/17/29 | | | | 48,386 | | | 637 |
Ginnie Mae 2003-95 SB | | | | | | | | | |
10.81% | | 09/17/31 | 2 | | | 90,092 | | | 91,087 |
Ginnie Mae 2004-2 FW | | | | | | | | | |
3.89% | | 01/16/34 | 2 | | | 333,123 | | | 318,668 |
Ginnie Mae 2004-41 IE (IO) | | | | | | | | | |
5.50% | | 05/20/30 | | | | 2,500,000 | | | 222,266 |
Ginnie Mae II Pool 80546 | | | | | | | | | |
5.00% | | 10/20/31 | 2 | | | 57,422 | | | 57,943 |
Ginnie Mae II Pool 80610 | | | | | | | | | |
5.38% | | 06/20/32 | 2 | | | 720,644 | | | 728,799 |
Ginnie Mae II Pool 80614 | | | | | | | | | |
5.63% | | 07/20/32 | 2 | | | 90,797 | | | 91,782 |
Ginnie Mae II Pool 80687 | | | | | | | | | |
5.50% | | 04/20/33 | 2 | | | 403,588 | | | 409,928 |
Ginnie Mae II Pool 81018 | | | | | | | | | |
5.63% | | 08/20/34 | 2 | | | 290,938 | | | 294,229 |
Ginnie Mae II Pool 8339 | | | | | | | | | |
5.13% | | 12/20/23 | 2 | | | 98,843 | | | 99,894 |
Ginnie Mae II Pool 8684 | | | | | | | | | |
5.63% | | 08/20/25 | 2 | | | 131,514 | | | 133,132 |
| | | | | | | | | |
| | | | | | | | | 29,938,670 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $105,811,250) | | | | | | | | | 89,977,295 |
| | | | | | | | | |
Total Bonds – 98.11% (Cost $163,976,302) | | | | | | | | | 135,541,954 |
| | | | | | | | | |
| | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | Value |
SHORT TERM INVESTMENTS — 13.92% | | | | | | | | | |
Commercial Paper — 2.03% | | | | | | | | | |
BNP Paribas Finance, Inc. | | | | | | | | | |
3.94%7 | | 10/09/08 | | | $ | 1,405,000 | | | 1,403,773 |
National Rural Utilities Co. | | | | | | | | | |
3.10%7 | | 10/10/08 | | | | 1,400,000 | | | 1,398,915 |
| | | | | | | | | |
| | | | | | | | | 2,802,688 |
| | | | | | | | | |
Money Market Fund — 0.10% | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | | | 136,000 | | | 136,000 |
| | | | | | | | | |
U.S. Agency Discount Notes — 10.41% | | | | | | | | | |
Federal Home Loan Bank | | | | | | | | | |
2.12%7 | | 10/22/08 | | | | 2,230,000 | | | 2,227,242 |
2.40%7 | | 10/23/08 | | | | 1,895,000 | | | 1,892,221 |
2.41%7 | | 10/28/08 | | | | 2,710,000 | | | 2,705,122 |
2.43%7 | | 10/03/08 | | | | 3,340,000 | | | 3,339,565 |
2.45%7 | | 10/27/08 | | | | 250,000 | | | 249,559 |
2.67%7 | | 12/18/08 | | | | 1,740,000 | | | 1,730,670 |
2.77%7 | | 12/19/08 | | | | 1,015,000 | | | 1,009,488 |
Freddie Mac | | | | | | | | | |
2.44%7 | | 10/29/08 | | | | 1,230,000 | | | 1,227,689 |
| | | | | | | | | |
| | | | | | | | | 14,381,556 |
| | | | | | | | | |
U.S. Treasury Bills — 1.38% | | | | | | | | | |
0.02%7 | | 10/23/08 | | | | 1,815,000 | | | 1,814,978 |
1.53%7 | | 10/16/08 | 8 | | | 102,000 | | | 101,935 |
| | | | | | | | | |
| | | | | | | | | 1,916,913 |
| | | | | | | | | |
Total Short Term Investments (Cost $19,235,855) | | | | | | | | | 19,237,157 |
| | | | | | | | | |
17 / Semi-Annual Report September 2008
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | |
| | | Value | |
Total Investments – 112.03% (Cost $183,212,157)1 | | $ | 154,779,111 | |
| | | | |
Liabilities in Excess of Other | | | | |
Assets – (12.03)% | | | (16,622,881 | ) |
| | | | |
Net Assets – 100.00% | | $ | 138,156,230 | |
| | | | |
| | | | | | |
Contracts | | | | Unrealized
Appreciation/
(Depreciation) | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | |
| 7 | | Euro Dollar Ninety Day, December 2008 | | $ | (12,058 | ) |
| 10 | | Euro Dollar Ninety Day, June 2009 | | | 23,661 | |
| 10 | | Euro Dollar Ninety Day, September 2009 | | | 20,650 | |
| 10 | | Euro Dollar Ninety Day, December 2009 | | | 22,400 | |
| 35 | | U.S. Treasury Two Year Note, December 2008 | | | (8,441 | ) |
| | | | | | |
| | Net unrealized appreciation | | $ | 46,212 | |
| | | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 2,823 | | $ | (22,378 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 2,000 | | | (11,715 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 03/26/22 | | | 1,790 | | | (113,063 | ) |
| | | | | | | | | |
| | | | | | | $ | (147,156 | ) |
| | | | | | | | | |
| SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 450 | | | 56,870 | |
The Fund pays a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 445 | | | 108,200 | |
| | | | | | | | | |
| | | | | | | $ | 165,070 | |
| | | | | | | | | |
| SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/09 | | | 1,000 | | | (16,809 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 1,160 | | | (555,740 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 2,300 | | | (1,101,949 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 3,350 | | | (1,605,013 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 4,550 | | | (2,245,547 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 1,000 | | | (493,527 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | | 700 | | | (345,207 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 500 | | | (246,763 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | | 500 | | | (246,763 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 500 | | | (384,814 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 1,000 | | | (769,627 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 600 | | | (461,776 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 500 | | | (384,814 | ) |
Semi-Annual Report September 2008 / 18
Ultra Short Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | | | | | | | | |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | |
| | 05/25/46 | | 400 | | $ | (307,851 | ) |
| | | | | | | | |
| | | | | | $ | (9,166,200 | ) |
| | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $183,256,145 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 538,662 | |
Gross unrealized depreciation | | | (29,015,696 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (28,477,034 | ) |
| | | | |
2 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $12,274,484 representing 8.88% of total net assets. |
5 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
05/09/08 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | $ | 999,330 | | $ | 992,278 | | 0.72 | % |
08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 980,000 | | | 847,291 | | 0.61 | % |
| | | | | | | | | | | |
| | | | $ | 1,979,330 | | $ | 1,839,569 | | 1.33 | % |
| | | | | | | | | | | |
6 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
7 | Represents annualized yield at date of purchase. |
8 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $20,566,275 which is 14.89% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(IO): Interest only
(DIP): Defaulted interest payment
(MTN): Medium term note
(STEP): Step coupon bond
19 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS – 101.61% | | | | | | | | | |
ASSET-BACKED SECURITIES — 22.55%** | | | | | | | | | |
ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.22% | | 07/15/33 | | | $ | 107,794 | | $ | 106,400 |
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F | | | | | | | | | |
7.72% | | 06/25/28 | 2,3 | | | 12,020 | | | 3,509 |
Bayview Financial Acquisition Trust 2005-A A1 | | | | | | | | | |
4.21% | | 02/28/40 | 3,4,† | | | 12,500,000 | | | 10,380,384 |
Bayview Financial Acquisition Trust 2006-B 2A2 | | | | | | | | | |
3.91% | | 04/28/36 | 3 | | | 5,467,425 | | | 5,305,150 |
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | | | | | | | | | |
4.21% | | 12/28/40 | 3,4,† | | | 14,000,000 | | | 11,620,001 |
Bear Stearns Asset Backed Securities Trust 2000-2 M2 (STEP) | | | | | | | | | |
8.28% | | 08/25/30 | | | | 5,446,714 | | | 5,234,396 |
Bear Stearns Asset Backed Securities Trust 2007-2 A1 | | | | | | | | | |
3.40% | | 01/25/47 | 3 | | | 2,359,259 | | | 2,235,331 |
Bear Stearns Asset Backed Securities Trust 2007-HE1 1A1 | | | | | | | | | |
3.33% | | 02/25/37 | 3 | | | 2,875,125 | | | 2,673,417 |
Bear Stearns Asset Backed Securities Trust 2007-HE5 1A2 | | | | | | | | | |
3.39% | | 06/25/47 | 3 | | | 5,200,000 | | | 4,271,358 |
Carrington Mortgage Loan Trust 2004-NC2 M1 | | | | | | | | | |
3.90% | | 08/25/34 | 3 | | | 218,633 | | | 168,673 |
Castle Trust 2003-1AW A1 | | | | | | | | | |
3.24% | | 05/15/27 | 3,4,† | | | 3,487,643 | | | 2,929,620 |
Chase Funding Mortgage Loan Asset-Backed Certificates 2001-4 1A6 | | | | | | | | | |
6.24% | | 01/25/13 | 3 | | | 6,349,981 | | | 6,054,268 |
Chase Funding Mortgage Loan Asset-Backed Certificates 2002-2 2M1 | | | | | | | | | |
4.11% | | 02/25/32 | 3 | | | 815,624 | | | 569,837 |
Citicorp Residential Mortgage Securities, Inc. 2006-1 A1 (STEP) | | | | | | | | | |
5.96% | | 07/25/36 | | | | 4,498,752 | | | 4,443,219 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M1 | | | | | | | | | |
4.86% | | 07/25/37 | 3,† | | | 8,432,000 | | | 2,535,610 |
Conseco Finance 2001-D A5 | | | | | | | | | |
6.19% | | 11/15/32 | 3 | | | 653,678 | | | 644,553 |
Credit-Based Asset Servicing and Securitization LLC 2006-CB1 AF2 (STEP) | | | | | | | | | |
5.24% | | 01/25/36 | | | | 6,325,337 | | | 5,914,710 |
Credit-Based Asset Servicing and Securitization LLC 2006-CB9 A4 | | | | | | | | | |
3.44% | | 11/25/36 | 3 | | | 6,000,000 | | | 3,208,500 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP) | | | | | | | | | |
5.89% | | 02/25/37 | | | | 7,440,420 | | | 7,200,935 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2B (STEP) | | | | | | | | | |
5.50% | | 02/25/37 | | | | 20,580,000 | | | 19,007,565 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1 | | | | | | | | | |
3.27% | | 04/25/37 | 3 | | | 5,945,834 | | | 5,330,822 |
First Alliance Mortgage Loan Trust 1994-3 A1 | | | | | | | | | |
7.82% | | 10/25/25 | | | | 2,062 | | | 1,905 |
First Franklin Mortgage Loan Asset Backed Certificates 2005-FFA M2 (STEP) | | | | | | | | | |
5.48% | | 03/25/25 | | | | 9,245,000 | | | 6,260,028 |
First Union Home Equity Loan Trust 1997-3 B | | | | | | | | | |
7.38% | | 03/25/29 | | | | 68,153 | | | 10,228 |
Genesis Funding Ltd. 2006-1A G1 | | | | | | | | | |
3.27% | | 12/19/32 | 3,4,† | | | 8,650,000 | | | 6,142,243 |
GMAC Commercial Mortgage Securities, Inc. 1999-C1 A2 | | | | | | | | | |
6.18% | | 05/15/33 | 3 | | | 5,970,244 | | | 5,955,060 |
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1 | | | | | | | | | |
3.65% | | 06/25/30 | 3 | | | 3,876,568 | | | 2,691,166 |
Green Tree Financial Corp. 1994-1 A5 | | | | | | | | | |
7.65% | | 04/15/19 | | | | 648,515 | | | 660,174 |
Green Tree Financial Corp. 1995-10 A6 | | | | | | | | | |
7.05% | | 01/15/27 | | | | 24,389 | | | 24,390 |
Green Tree Home Improvement Loan Trust 1997-E HEB1 | | | | | | | | | |
7.53% | | 01/15/29 | | | | 5,204,874 | | | 4,987,350 |
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | 12/15/22 | | | | 293,810 | | | 235,970 |
GSAA Trust 2006-9 A4A | | | | | | | | | |
3.45% | | 06/25/36 | 3,† | | | 13,500,000 | | | 7,425,005 |
GSAMP Trust 2006-S6 A2 (STEP) | | | | | | | | | |
5.55% | | 10/25/36 | 2,† | | | 2,228,000 | | | 645,990 |
HFC Home Equity Loan Asset Backed Certificates 2007-1 AS | | | | | | | | | |
3.39% | | 03/20/36 | 3 | | | 14,541,882 | | | 12,470,238 |
HFC Home Equity Loan Asset Backed Certificates 2007-2 A4 | | | | | | | | | |
3.49% | | 07/20/36 | 3 | | | 1,325,000 | | | 974,799 |
HFC Home Equity Loan Trust 2005-3 M1 | | | | | | | | | |
2.89% | | 01/20/35 | 3 | | | 5,203,024 | | | 3,795,628 |
Home Equity Asset Trust 2007-3 2A2 | | | | | | | | | |
3.39% | �� | 08/25/37 | 3 | | | 5,635,000 | | | 4,732,893 |
Home Equity Mortgage Trust 2006-1 A1B | | | | | | | | | |
3.34% | | 05/25/36 | 3 | | | 1,802,797 | | | 1,325,682 |
Ivy Lane CDO Ltd. 2006-1A A1 | | | | | | | | | |
3.12% | | 02/05/46 | 2,3,4,† | | | 8,968,595 | | | 3,677,125 |
Semi-Annual Report September 2008 / 20
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | | | | | |
JPMorgan Mortgage Acquisition Corp. 2006-WMC4 A4 | | | | | | | | | |
3.36% | | 12/25/36 | 3 | | $ | 20,000,000 | | $ | 9,642,074 |
JPMorgan Mortgage Acquisition Corp. 2007-CH1 AF2 (STEP) | | | | | | | | | |
5.45% | | 11/25/36 | | | | 12,415,000 | | | 11,699,048 |
JPMorgan Mortgage Acquisition Corp. 2007-CH2 AF2 (STEP) | | | | | | | | | |
5.48% | | 01/25/37 | | | | 15,300,000 | | | 13,643,559 |
JPMorgan Mortgage Acquisition Corp. 2007-HE1 AV1 | | | | | | | | | |
3.27% | | 04/01/37 | 3 | | | 11,842,090 | | | 10,907,873 |
Lehman ABS Manufactured Housing Contract 2001-B AIOC (IO) | | | | | | | | | |
0.55% | | 05/15/41 | 2,3,† | | | 442,998,341 | | | 7,974,006 |
Lehman XS Trust 2006-12N A1A1 | | | | | | | | | |
3.29% | | 08/25/46 | 3 | | | 940,472 | | | 926,020 |
Lehman XS Trust 2006-GP1 A4A | | | | | | | | | |
3.54% | | 05/25/46 | 2,3 | | | 12,232,915 | | | 3,022,648 |
Long Beach Asset Holdings Corp. 2006-8 N1 | | | | | | | | | |
6.05% | | 10/25/46 | 2,4,† | | | 3,829,304 | | | 55,470 |
Long Beach Asset Holdings Corp. 2006-9 N1 | | | | | | | | | |
6.25% | | 10/25/46 | 2,4,† | | | 2,612,542 | | | 38,106 |
MASTR Asset Backed Securities Trust 2007-HE1 A2 | | | | | | | | | |
3.36% | | 05/25/37 | 3 | | | 6,260,000 | | | 4,886,795 |
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2C | | | | | | | | | |
3.39% | | 06/25/37 | 3 | | | 19,057,200 | | | 10,672,032 |
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B | | | | | | | | | |
3.35% | | 01/25/37 | 3 | | | 522,236 | | | 517,176 |
Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | 08/15/37 | | | | 1,047,632 | | | 915,930 |
Morgan Stanley ABS Capital I 2004-NC2 M2 | | | | | | | | | |
5.01% | | 12/25/33 | 3 | | | 483,163 | | | 383,331 |
Morgan Stanley ABS Capital I 2007-HE7 M2 | | | | | | | | | |
5.21% | | 07/25/37 | 3,† | | | 3,525,000 | | | 1,233,903 |
Morgan Stanley Mortgage Loan Trust 2007-10XS A18 | | | | | | | | | |
6.00% | | 07/25/47 | 3 | | | 21,352,566 | | | 19,377,453 |
Nationstar Home Equity Loan Trust 2007-A AV1 | | | | | | | | | |
3.27% | | 03/25/37 | 3 | | | 5,319,464 | | | 5,006,946 |
Nationstar Home Equity Loan Trust 2007-A AV4 | | | | | | | | | |
3.44% | | 03/25/37 | 3,† | | | 5,758,000 | | | 3,634,428 |
Nationstar Home Equity Loan Trust 2007-C 2AV3 | | | | | | | | | |
3.39% | | 06/25/37 | 3 | | | 7,057,200 | | | 4,857,824 |
Nomura Asset Acceptance Corp. 2006-S1 A1 | | | | | | | | | |
3.35% | | 01/25/36 | 3,4 | | | 1,120,533 | | | 965,337 |
Oakwood Mortgage Investors, Inc. 2002-B A1 | | | | | | | | | |
2.72% | | 05/15/13 | 3 | | | 394,930 | | | 305,835 |
Oakwood Mortgage Investors, Inc. 2002-B A2 | | | | | | | | | |
5.19% | | 09/15/19 | 3 | | | 258,738 | | | 221,059 |
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO) | | | | | | | | | |
6.00% | | 05/15/10 | 2,† | | | 10,156,250 | | | 820,004 |
Option One Mortgage Loan Trust 2007-4 2A4 | | | | | | | | | |
3.52% | | 04/25/37 | 3 | | | 13,734,000 | | | 7,341,249 |
Pegasus Aviation Lease Securitization 2000-1 B1 | | | | | | | | | |
8.08% | | 03/25/30 | 2,4,5 | | | 8,806,150 | | | 2,810 |
Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 3,4 | | | 2,994,417 | | | 2,210,012 |
Saxon Asset Securities Trust 2007-2 A2A | | | | | | | | | |
3.31% | | 05/25/47 | 3 | | | 13,469,463 | | | 12,790,311 |
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A | | | | | | | | | |
3.34% | | 05/25/37 | 3 | | | 17,079,507 | | | 15,922,011 |
SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 3 | | | 2,337,772 | | | 1,976,247 |
Soundview Home Equity Loan Trust 2006-OPT1 2A4 | | | | | | | | | |
3.48% | | 03/25/36 | 3 | | | 7,300,000 | | | 4,470,419 |
Soundview Home Equity Loan Trust 2006-WF2 M8 | | | | | | | | | |
5.56% | | 12/25/36 | 3 | | | 1,500,000 | | | 165,302 |
Structured Asset Investment Loan Trust 2005-HE1 B1 | | | | | | | | | |
5.71% | | 07/25/35 | 3 | | | 218,080 | | | 905 |
Structured Asset Receivables Trust 2003-1 | | | | | | | | | |
3.29% | | 01/21/10 | 3,4,† | | | 2,555,154 | | | 2,363,519 |
Structured Asset Receivables Trust 2003-2 | | | | | | | | | |
3.19% | | 01/21/09 | 3,4,† | | | 383,355 | | | 356,520 |
Terwin Mortgage Trust 2004-7HE A1 | | | | | | | | | |
3.76% | | 07/25/34 | 3,4 | | | 142,962 | | | 121,959 |
Terwin Mortgage Trust 2005-9HGS A1 | | | | | | | | | |
4.00% | | 08/25/35 | 3,4 | | | 886,230 | | | 805,073 |
Terwin Mortgage Trust 2006-4SL A2 | | | | | | | | | |
4.50% | | 05/25/37 | 2,3,4,† | | | 12,500,000 | | | 3,999,274 |
Terwin Mortgage Trust 2006-6 1A2 | | | | | | | | | |
4.75% | | 07/25/37 | 2,3,† | | | 15,000,000 | | | 7,349,135 |
Terwin Mortgage Trust 2007-9SL A1 | | | | | | | | | |
4.41% | | 06/25/38 | 3,4,† | | | 12,883,653 | | | 8,374,198 |
Wells Fargo Home Equity Trust 2007-1 A1 | | | | | | | | | |
3.31% | | 03/25/37 | 3 | | | 694,458 | | | 672,885 |
Wells Fargo Home Equity Trust 2007-2 A1 | | | | | | | | | |
3.30% | | 04/25/37 | 3 | | | 1,498,870 | | | 1,425,309 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $421,733,519) | | | | | | | | | 343,908,127 |
| | | | | | | | | |
21 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES — 28.67%* | | | | | | | | | |
Banking — 4.72% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | |
5.65% | | 05/01/18 | | | $ | 300,000 | | $ | 253,132 |
Bank of America Corp. (MTN) | | | | | | | | | |
4.90% | | 05/01/13 | | | | 3,250,000 | | | 2,943,028 |
BankAmerica Institutional A | | | | | | | | | |
8.07% | | 12/31/26 | 4 | | | 5,250,000 | | | 4,511,362 |
Banponce Trust I A | | | | | | | | | |
8.33% | | 02/01/27 | | | | 7,400,000 | | | 6,874,334 |
Chase Capital II B | | | | | | | | | |
3.30% | | 02/01/27 | 3 | | | 6,455,000 | | | 5,111,063 |
Credit Suisse/New York | | | | | | | | | |
5.00% | | 05/15/13 | | | | 11,000,000 | | | 10,203,853 |
Deutsche Bank AG/London | | | | | | | | | |
4.88% | | 05/20/13 | | | | 7,600,000 | | | 7,266,717 |
JPMorgan Chase & Co. | | | | | | | | | |
4.75% | | 05/01/13 | | | | 10,000,000 | | | 9,315,740 |
JPMorgan Chase & Co. C (MTN) | | | | | | | | | |
8.55% | | 07/23/13 | 3 | | | 1,500,000 | | | 1,319,550 |
JPMorgan Chase Bank NA | | | | | | | | | |
8.75% | | 11/28/21 | 3 | | | 2,084,000 | | | 2,022,522 |
JPMorgan Chase Capital XIII M | | | | | | | | | |
4.71% | | 09/30/34 | 3 | | | 1,541,000 | | | 1,191,346 |
National Australia Bank Ltd. | | | | | | | | | |
5.35% | | 06/12/13 | 4 | | | 3,500,000 | | | 3,138,021 |
National Australia Bank Ltd. A | | | | | | | | | |
8.60% | | 05/19/10 | | | | 9,250,000 | | | 9,688,357 |
Nationsbank Capital Trust III | | | | | | | | | |
3.34% | | 01/15/27 | 3 | | | 7,650,000 | | | 5,407,777 |
NB Capital Trust II | | | | | | | | | |
7.83% | | 12/15/26 | | | | 3,200,000 | | | 2,760,320 |
| | | | | | | | | |
| | | | | | | | | 72,007,122 |
| | | | | | | | | |
Basic Industry — 0.03% | | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc. | | | | | | | | | |
7.08% | | 04/01/15 | 3 | | | 150,000 | | | 143,871 |
Massey Energy Co. | | | | | | | | | |
6.88% | | 12/15/13 | | | | 375,000 | | | 341,250 |
| | | | | | | | | |
| | | | | | | | | 485,121 |
| | | | | | | | | |
Communications — 0.58% | | | | | | | | | |
Cincinnati Bell, Inc. | | | | | | | | | |
7.25% | | 07/15/13 | | | | 225,000 | | | 203,625 |
Citizens Communications Co. | | | | | | | | | |
6.62% | | 03/15/15 | | | | 125,000 | | | 108,125 |
CSC Holdings, Inc. B | | | | | | | | | |
7.62% | | 04/01/11 | | | | 375,000 | | | 362,812 |
Dex Media West LLC/Dex Media Finance Co. B | | | | | | | | | |
8.50% | | 08/15/10 | | | | 800,000 | | | 710,000 |
Hawaiian Telcom Communications, Inc. B | | | | | | | | | |
9.75% | | 05/01/13 | | | | 250,000 | | | 62,500 |
Idearc, Inc. | | | | | | | | | |
8.00% | | 11/15/16 | | | | 300,000 | | | 83,250 |
Level 3 Financing, Inc. | | | | | | | | | |
8.75% | | 02/15/17 | | | | 275,000 | | | 200,750 |
Mediacom LLC/Mediacom Capital Corp. | | | | | | | | | |
9.50% | | 01/15/13 | | | | 250,000 | | | 225,000 |
Qwest Corp. | | | | | | | | | |
5.62% | | 11/15/08 | | | | 500,000 | | | 497,500 |
Sprint Nextel Corp. | | | | | | | | | |
4.17% | | 06/28/10 | 3 | | | 400,000 | | | 372,722 |
Viacom, Inc. | | | | | | | | | |
3.17% | | 06/16/09 | 3 | | | 5,150,000 | | | 5,095,049 |
Videotron Ltd. | | | | | | | | | |
9.12% | | 04/15/18 | 4 | | | 150,000 | | | 152,250 |
Windstream Corp. | | | | | | | | | |
8.12% | | 08/01/13 | | | | 650,000 | | | 620,750 |
8.62% | | 08/01/16 | | | | 150,000 | | | 139,125 |
| | | | | | | | | |
| | | | | | | | | 8,833,458 |
| | | | | | | | | |
Consumer Products — 0.01% | | | | | | | | | |
Visant Holding Corp. | | | | | | | | | |
8.75% | | 12/01/13 | | | | 200,000 | | | 184,500 |
| | | | | | | | | |
Electric — 3.04% | | | | | | | | | |
Appalachian Power Co. | | | | | | | | | |
6.60% | | 05/01/09 | | | | 3,000,000 | | | 3,039,292 |
Aquila, Inc. | | | | | | | | | |
7.95% | | 02/01/11 | | | | 2,500,000 | | | 2,589,925 |
Calpine Construction Finance Co., LP | | | | | | | | | |
11.60% | | 08/26/11 | 3,4 | | | 2,750,000 | | | 2,970,000 |
Cedar Brakes I LLC | | | | | | | | | |
8.50% | | 02/15/14 | 4 | | | 2,458,748 | | | 2,634,952 |
Cedar Brakes II LLC | | | | | | | | | |
9.88% | | 09/01/13 | 4 | | | 8,256,302 | | | 8,988,982 |
Entergy Gulf States, Inc. | | | | | | | | | |
3.57% | | 12/08/08 | 3,4 | | | 2,719,000 | | | 2,713,331 |
Entergy Louisiana LLC | | | | | | | | | |
5.83% | | 11/01/10 | | | | 1,440,000 | | | 1,417,805 |
Ipalco Enterprises, Inc. | | | | | | | | | |
7.25% | | 04/01/16 | 4 | | | 145,000 | | | 139,200 |
Midwest Generation LLC | | | | | | | | | |
8.30% | | 07/02/09 | | | | 1,563,634 | | | 1,584,196 |
Mirant Mid Atlantic LLC A | | | | | | | | | |
8.62% | | 06/30/12 | | | | 4,898,302 | | | 5,124,848 |
Power Contract Financing LLC | | | | | | | | | |
6.26% | | 02/01/10 | 4 | | | 3,265,303 | | | 3,308,732 |
Power Receivables Finance LLC | | | | | | | | | |
6.29% | | 01/01/12 | 4 | | | 1,488,691 | | | 1,541,507 |
Semi-Annual Report September 2008 / 22
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Electric (continued) | | | | | | | | | |
6.29% | | 01/01/12 | | | $ | 1,562,598 | | $ | 1,618,035 |
Reliant Energy, Inc. | | | | | | | | | |
6.75% | | 12/15/14 | | | | 175,000 | | | 150,500 |
SWEPCO Capital Trust I | | | | | | | | | |
5.25% | | 10/01/43 | 3 | | | 1,500,000 | | | 1,503,570 |
TECO Energy, Inc. | | | | | | | | | |
4.80% | | 05/01/10 | 3 | | | 1,715,000 | | | 1,697,850 |
W3A Funding Corp. | | | | | | | | | |
8.09% | | 01/02/17 | | | | 5,180,013 | | | 5,259,019 |
| | | | | | | | | |
| | | | | | | | | 46,281,744 |
| | | | | | | | | |
Energy — 0.50% | | | | | | | | | |
AES Corp. (The) | | | | | | | | | |
8.75% | | 05/15/13 | 4 | | | 219,000 | | | 221,190 |
Allis-Chalmers Energy, Inc. | | | | | | | | | |
9.00% | | 01/15/14 | | | | 250,000 | | | 226,250 |
Chesapeake Energy Corp. | | | | | | | | | |
7.00% | | 08/15/14 | | | | 250,000 | | | 235,000 |
Comstock Resources, Inc. | | | | | | | | | |
6.88% | | 03/01/12 | | | | 150,000 | | | 136,500 |
Corral Finans AB (PIK) | | | | | | | | | |
4.29% | | 04/15/10 | 4 | | | 261,380 | | | 214,332 |
Griffin Coal Mining Co. Ltd. (The) | | | | | | | | | |
9.50% | | 12/01/16 | 4 | | | 250,000 | | | 161,250 |
Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | 11/01/15 | 4 | | | 200,000 | | | 173,000 |
Mirant Americas Generation LLC | | | | | | | | | |
8.30% | | 05/01/11 | | | | 300,000 | | | 290,250 |
NRG Energy, Inc. | | | | | | | | | |
7.38% | | 01/15/17 | | | | 400,000 | | | 365,000 |
OPTI Canada, Inc. | | | | | | | | | |
7.88% | | 12/15/14 | | | | 250,000 | | | 222,500 |
Sempra Energy Employee Stock Ownership Plan & Trust | | | | | | | | | |
5.78% | | 11/01/14 | 4,† | | | 5,000,000 | | | 5,067,967 |
Sonat, Inc. | | | | | | | | | |
7.62% | | 07/15/11 | | | | 350,000 | | | 355,962 |
| | | | | | | | | |
| | | | | | | | | 7,669,201 |
| | | | | | | | | |
Finance — 11.84% | | | | | | | | | |
Bear Stearns Cos., Inc. (The) (MTN) | | | | | | | | | |
2.90% | | 08/21/09 | 3 | | | 4,027,000 | | | 3,902,829 |
2.90% | | 02/23/10 | 3 | | | 2,725,000 | | | 2,683,337 |
3.06% | | 07/16/09 | 3 | | | 7,900,000 | | | 7,864,127 |
Citigroup, Inc. | | | | | | | | | |
4.12% | | 02/22/10 | | | | 10,530,000 | | | 9,866,927 |
5.30% | | 10/17/12 | | | | 6,881,000 | | | 6,131,012 |
5.50% | | 04/11/13 | | | | 11,000,000 | | | 9,610,722 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 3 | | | 6,245,000 | | | 5,870,300 |
3.42% | | 03/24/09 | 3 | | | 8,572,000 | | | 8,368,201 |
5.80% | | 06/07/12 | | | | 2,410,000 | | | 1,938,009 |
Countrywide Financial Corp. A (MTN) | | | | | | | | | |
3.33% | | 12/19/08 | 3 | | | 3,138,000 | | | 2,949,720 |
Countrywide Home Loans, Inc. (MTN) | | | | | | | | | |
4.12% | | 09/15/09 | | | | 2,000,000 | | | 1,760,373 |
Countrywide Home Loans, Inc. L (MTN) | | | | | | | | | |
4.00% | | 03/22/11 | | | | 2,430,000 | | | 2,091,836 |
Credit Suisse Guernsey Ltd. 1 | | | | | | | | | |
3.49% | | 05/29/49 | 3 | | | 8,000,000 | | | 5,104,560 |
Ford Motor Credit Co. LLC | | | | | | | | | |
4.36% | | 01/15/10 | 3 | | | 4,070,000 | | | 3,334,441 |
5.54% | | 01/13/12 | 3 | | | 20,160,000 | | | 12,700,800 |
7.24% | | 04/15/12 | 3 | | | 1,750,000 | | | 1,618,090 |
General Electric Capital Corp. | | | | | | | | | |
4.80% | | 05/01/13 | | | | 10,000,000 | | | 9,130,130 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 3 | | | 14,598,000 | | | 6,748,247 |
6.62% | | 05/15/12 | | | | 2,000,000 | | | 847,282 |
Goldman Sachs Group LP | | | | | | | | | |
4.50% | | 06/15/10 | | | | 2,075,000 | | | 1,926,943 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
3.29% | | 01/12/15 | 3 | | | 2,500,000 | | | 1,629,260 |
5.45% | | 11/01/12 | | | | 8,000,000 | | | 6,962,902 |
6.15% | | 04/01/18 | | | | 2,500,000 | | | 2,082,315 |
Goldman Sachs Group, Inc. (The) (MTN) B | | | | | | | | | |
3.19% | | 07/22/15 | 3 | | | 800,000 | | | 604,000 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | 06/20/16 | | | | 4,835,000 | | | 645,674 |
2.85% | | 12/23/08 | | | | 1,500,000 | | | 200,312 |
8.92% | | 02/16/17 | | | | 4,198,000 | | | 560,608 |
11.00% | | 11/07/16 | | | | 6,776,000 | | | 904,878 |
MBNA Capital A | | | | | | | | | |
8.28% | | 12/01/26 | | | | 924,000 | | | 830,414 |
MBNA Capital B | | | | | | | | | |
3.60% | | 02/01/27 | 3 | | | 2,721,000 | | | 2,222,262 |
Meridian Funding Co. LLC | | | | | | | | | |
2.99% | | 10/06/08 | 3,4 | | | 274,203 | | | 263,594 |
Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
2.84% | | 10/23/08 | 3 | | | 975,000 | | | 974,409 |
4.61% | | 05/20/09 | 3 | | | 9,355,000 | | | 9,133,960 |
9.57% | | 06/06/17 | 3 | | | 5,184,000 | | | 4,215,370 |
Merrill Lynch & Co., Inc. C (MTN) | | | | | | | | | |
3.05% | | 02/06/09 | 3 | | | 5,670,000 | | | 5,387,137 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 5,000,000 | | | 4,075,000 |
23 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
4.25% | | 05/15/10 | | | $ | 2,880,000 | | $ | 2,341,057 |
5.05% | | 01/21/11 | | | | 290,000 | | | 208,922 |
Morgan Stanley (MTN) | | | | | | | | | |
5.62% | | 01/09/12 | | | | 5,000,000 | | | 3,300,000 |
Pemex Finance Ltd. | | | | | | | | | |
8.88% | | 11/15/10 | † | | | 4,400,400 | | | 4,676,645 |
9.69% | | 08/15/09 | † | | | 1,199,000 | | | 1,234,636 |
Toyota Motor Credit Corp. (MTN) | | | | | | | | | |
8.00% | | 10/24/13 | 3 | | | 11,612,000 | | | 11,008,176 |
Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | 05/01/13 | | | | 5,633,000 | | | 4,664,806 |
Westfield Capital Corp. Ltd. | | | | | | | | | |
4.38% | | 11/15/10 | 4 | | | 5,690,000 | | | 5,619,574 |
Woodbourne Capital Trust I | | | | | | | | | |
4.97% | | 04/08/49 | 2,3,4 | | | 1,000,000 | | | 590,000 |
Woodbourne Capital Trust II | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,000,000 | | | 590,000 |
Woodbourne Capital Trust III | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,000,000 | | | 590,000 |
Woodbourne Capital Trust IV | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,000,000 | | | 590,000 |
| | | | | | | | | |
| | | | | | | | | 180,553,797 |
| | | | | | | | | |
Health Care — 0.60% | | | | | | | | | |
Cardinal Health, Inc. | | | | | | | | | |
4.32% | | 10/02/09 | 3 | | | 1,827,000 | | | 1,796,776 |
Community Health Systems, Inc. | | | | | | | | | |
8.88% | | 07/15/15 | | | | 250,000 | | | 238,750 |
UnitedHealth Group, Inc. | | | | | | | | | |
4.88% | | 02/15/13 | | | | 7,348,000 | | | 7,029,949 |
| | | | | | | | | |
| | | | | | | | | 9,065,475 |
| | | | | | | | | |
Insurance — 0.60% | | | | | | | | | |
Farmers Insurance Exchange | | | | | | | | | |
6.00% | | 08/01/14 | 4 | | | 1,900,000 | | | 1,620,631 |
Metropolitan Life Global Funding I | | | | | | | | | |
5.12% | | 04/10/13 | 4 | | | 7,780,000 | | | 7,565,583 |
| | | | | | | | | |
| | | | | | | | | 9,186,214 |
| | | | | | | | | |
Real Estate Investment Trust (REIT) — 4.05% | | | | | | | | | |
Camden Property Trust | | | | | | | | | |
4.38% | | 01/15/10 | | | | 2,068,000 | | | 2,005,234 |
CPG Partners LP | | | | | | | | | |
3.50% | | 03/15/09 | | | | 400,000 | | | 394,508 |
8.25% | | 02/01/11 | | | | 4,640,000 | | | 4,826,059 |
Duke Realty LP | | | | | | | | | |
5.62% | | 08/15/11 | | | | 8,550,000 | | | 8,359,591 |
6.25% | | 05/15/13 | | | | 9,000,000 | | | 8,766,576 |
First Industrial LP | | | | | | | | | |
5.25% | | 06/15/09 | | | | 4,080,000 | | | 4,067,991 |
HCP, Inc. | | | | | | | | | |
6.45% | | 06/25/12 | | | | 4,000,000 | | | 3,911,006 |
Reckson Operating Partnership LP | | | | | | | | | |
7.75% | | 03/15/09 | | | | 7,750,000 | | | 7,658,403 |
Rouse Co. LP (The) | | | | | | | | | |
3.62% | | 03/15/09 | | | | 6,655,000 | | | 5,956,225 |
Shurgard Storage Centers LLC | | | | | | | | | |
7.75% | | 02/22/11 | | | | 1,500,000 | | | 1,568,570 |
Simon Property Group LP | | | | | | | | | |
3.75% | | 01/30/09 | | | | 2,360,000 | | | 2,331,517 |
7.00% | | 07/15/09 | | | | 3,658,000 | | | 3,635,437 |
7.12% | | 02/09/09 | | | | 4,280,000 | | | 4,326,786 |
Weingarten Realty Investors A (MTN) | | | | | | | | | |
8.25% | | 01/22/10 | | | | 3,800,000 | | | 3,931,860 |
| | | | | | | | | |
| | | | | | | | | 61,739,763 |
| | | | | | | | | |
Secured Assets — 0.32% | | | | | | | | | |
Ingress I Ltd. B-A | | | | | | | | | |
7.38% | | 03/30/40 | 4,† | | | 5,490,000 | | | 4,885,241 |
| | | | | | | | | |
Services — 0.05% | | | | | | | | | |
Mobile Mini, Inc. | | | | | | | | | |
6.88% | | 05/01/15 | | | | 375,000 | | | 328,125 |
United Rentals North America, Inc. | | | | | | | | | |
6.50% | | 02/15/12 | | | | 425,000 | | | 357,000 |
7.00% | | 02/15/14 | | | | 125,000 | | | 88,125 |
| | | | | | | | | |
| | | | | | | | | 773,250 |
| | | | | | | | | |
Transportation — 2.33% | | | | | | | | | |
American Airlines, Inc. 1999-1 A2 | | | | | | | | | |
7.02% | | 10/15/09 | | | | 1,375,000 | | | 1,323,438 |
American Airlines, Inc., AMBAC Assurance Corp. 2003-1 | | | | | | | | | |
3.86% | | 07/09/10 | | | | 5,615,848 | | | 5,218,520 |
Continental Airlines, Inc. 1997-1 A | | | | | | | | | |
7.46% | | 04/01/15 | | | | 1,739,742 | | | 1,513,576 |
Continental Airlines, Inc. 1999-2 | | | | | | | | | |
7.06% | | 09/15/09 | | | | 8,500,000 | | | 8,351,250 |
Delta Air Lines, Inc. 2000-1 A1 | | | | | | | | | |
7.38% | | 05/18/10 | | | | 3,663,893 | | | 3,563,136 |
Delta Air Lines, Inc. 2001-1 A1 | | | | | | | | | |
6.62% | | 03/18/11 | | | | 5,759,273 | | | 5,471,310 |
Delta Air Lines, Inc. 2001-1 A2 | | | | | | | | | |
7.11% | | 09/18/11 | | | | 7,861,000 | | | 7,251,772 |
Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | 04/01/11 | | | | 1,500,000 | | | 1,387,500 |
Semi-Annual Report September 2008 / 24
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
United Air Lines, Inc. 2001-1 | | | | | | | | | |
6.20% | | 09/01/08 | 6 | | $ | 1,339,424 | | $ | 1,299,241 |
6.60% | | 09/01/13 | | | | 161,847 | | | 160,229 |
| | | | | | | | | |
| | | | | | | | | 35,539,972 |
| | | | | | | | | |
Total Corporates (Cost $487,271,133) | | | | | | | | | 437,204,858 |
| | | | | | | | | |
BANK LOANS — 1.70%* | | | | | | | | | |
Automotive — 0.01% | | | | | | | | | |
Metaldyne Corp. | | | | | | | | | |
7.31% | | 01/11/14 | 7 | | | 250,000 | | | 117,813 |
| | | | | | | | | |
Communications — 0.16% | | | | | | | | | |
Cebridge 2nd Lien (PIK) | | | | | | | | | |
8.80% | | 05/05/14 | 7 | | | 2,538,696 | | | 2,037,303 |
Charter Communications, Inc. Term Loan 3rd Lien | | | | | | | | | |
6.26% | | 09/06/14 | 7 | | | 500,000 | | | 366,250 |
Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
5.12% | | 03/15/14 | 7 | | | 125,000 | | | 81,063 |
| | | | | | | | | |
| | | | | | | | | 2,484,616 |
| | | | | | | | | |
Electric — 0.39% | | | | | | | | | |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 7 | | | 5,321,990 | | | 5,308,685 |
TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
8.01% | | 12/15/14 | 7 | | | 250,000 | | | 217,708 |
TXU Energy Term Loan B3 | | | | | | | | | |
6.44% | | 10/10/14 | 7 | | | 495,000 | | | 419,424 |
| | | | | | | | | |
| | | | | | | | | 5,945,817 |
| | | | | | | | | |
Health Care — 0.57% | | | | | | | | | |
Carestream Health, Inc. Term Loan | | | | | | | | | |
8.06% | | 10/30/13 | 7 | | | 500,000 | | | 315,834 |
HCA Term Loan A | | | | | | | | | |
5.76% | | 11/18/12 | 7 | | | 9,598,387 | | | 8,441,781 |
| | | | | | | | | |
| | | | | | | | | 8,757,615 |
| | | | | | | | | |
Insurance — 0.02% | | | | | | | | | |
Asurion Corp. Term Loan | | | | | | | | | |
5.74% | | 07/13/14 | 7 | | | 250,000 | | | 218,906 |
| | | | | | | | | |
Materials — 0.02% | | | | | | | | | |
Lyondell Chemical Co. | | | | | | | | | |
7.00% | | 12/20/14 | 7 | | | 350,000 | | | 248,500 |
| | | | | | | | | |
Services — 0.04% | | | | | | | | | |
Cengage Learning Term Loan B | | | | | | | | | |
6.91% | | 07/09/14 | 7 | | | 742,500 | | | 610,706 |
| | | | | | | | | |
Transportation — 0.49% | | | | | | | | | |
Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
5.39% | | 05/01/12 | 7 | | | 1,485,000 | | | 1,190,475 |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/12 | 7 | | | 6,869,899 | | | 5,939,598 |
Swift Transportation Co., Inc. Term Loan | | | | | | | | | |
6.86% | | 05/06/14 | 7 | | | 220,930 | | | 144,157 |
United Air Lines, Inc. | | | | | | | | | |
5.46% | | 02/01/14 | 7 | | | 353,611 | | | 219,239 |
| | | | | | | | | |
| | | | | | | | | 7,493,469 |
| | | | | | | | | |
Total Bank Loans (Cost $29,223,247) | | | | | | | | | 25,877,442 |
| | | | | | | | | |
MORTGAGE-BACKED — 48.69%** | | | | | | | | | |
Commercial Mortgage-Backed — 6.88% | | | | | | | | | |
Banc of America Commercial Mortgage, Inc. 2004-5 A2 | | | | | | | | | |
4.18% | | 11/10/41 | | | | 14,376,918 | | | 14,133,599 |
Bayview Commercial Asset Trust 2006-3A A1 | | | | | | | | | |
3.46% | | 10/25/36 | 3,4,† | | | 5,874,336 | | | 4,831,894 |
Bear Stearns Adjustable Rate Mortgage Trust 2005-4 2A3 | | | | | | | | | |
4.45% | | 08/25/35 | 3 | | | 19,000,000 | | | 18,309,947 |
CS First Boston Mortgage Securities Corp. 2004-C2 A1 | | | | | | | | | |
3.82% | | 05/15/36 | | | | 8,362,228 | | | 7,951,708 |
CS First Boston Mortgage Securities Corp. 2004-C5 A2 | | | | | | | | | |
4.18% | | 11/15/37 | | | | 5,703,247 | | | 5,591,652 |
CS First Boston Mortgage Securities Corp. 2005-C4 A2 | | | | | | | | | |
5.02% | | 08/15/38 | | | | 16,265,000 | | | 15,950,064 |
Harborview Mortgage Loan Trust 2007-2 2A1A | | | | | | | | | |
3.37% | | 05/25/38 | 3 | | | 20,499,523 | | | 12,477,681 |
LB-UBS Commercial Mortgage Trust 2000-C4 A2 | | | | | | | | | |
7.37% | | 08/15/26 | | | | 11,792,401 | | | 11,996,528 |
Morgan Stanley Dean Witter Capital I 2000-LIFE A2 | | | | | | | | | |
7.57% | | 11/15/36 | 3 | | | 13,465,997 | | | 13,623,148 |
| | | | | | | | | |
| | | | | | | | | 104,866,221 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 21.33% | | | | | | | | | |
Adjustable Rate Mortgage Trust 2005-1 1A1 | | | | | | | | | |
5.86% | | 05/25/35 | 3,† | | | 14,358,520 | | | 11,056,060 |
American Home Mortgage Assets 2007-2 A1 | | | | | | | | | |
3.33% | | 03/25/47 | 3 | | | 24,862,844 | | | 14,997,186 |
American Home Mortgage Assets 2007-4 A2 | | | | | | | | | |
3.40% | | 08/25/37 | 3,† | | | 22,400,000 | | | 15,455,030 |
25 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
American Home Mortgage Investment Trust 2004-2 2A | | | | | | | | | |
4.67% | | 02/25/44 | 3 | | $ | 18,395,122 | | $ | 15,317,613 |
Banc of America Funding Corp. 2007-5 3A1 | | | | | | | | | |
6.00% | | 07/25/37 | | | | 13,150,264 | | | 12,496,629 |
Banc of America Mortgage Securities, Inc. 2005-2 1A6 | | | | | | | | | |
5.50% | | 03/25/35 | | | | 18,542,208 | | | 17,132,699 |
Banco de Credito Y Securitizacion SA 2001-1 AF | | | | | | | | | |
8.00% | | 05/31/10 | 2,4,† | | | 1,257,777 | | | 340,683 |
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1 | | | | | | | | | |
3.41% | | 11/25/36 | 3 | | | 17,907,092 | | | 10,670,475 |
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1 | | | | | | | | | |
3.42% | | 06/25/37 | 3 | | | 20,338,932 | | | 11,937,554 |
BHN I Mortgage Fund 2000-1 AF | | | | | | | | | |
8.00% | | 03/31/11 | 2,4 | | | 644,761 | | | 174,086 |
BlackRock Capital Finance LP 1997-R2 AP | | | | | | | | | |
1.30% | | 12/25/35 | 3,4 | | | 16,372 | | | 16,381 |
Chase Mortgage Finance Corp. 2005-A1 1A1 | | | | | | | | | |
5.41% | | 12/25/35 | 3 | | | 9,541,589 | | | 8,072,669 |
Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
4.70% | | 07/25/37 | 3 | | | 18,246,736 | | | 17,180,962 |
Chase Mortgage Finance Corp. 2007-S2 1A7 | | | | | | | | | |
6.00% | | 03/25/37 | | | | 24,152,467 | | | 24,101,252 |
Chevy Chase Mortgage Funding Corp. 2005-2A A1 | | | | | | | | | |
3.39% | | 05/25/36 | 3,4 | | | 3,690,838 | | | 2,970,458 |
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2 | | | | | | | | | |
6.50% | | 06/25/31 | | | | 53,544 | | | 50,715 |
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.16% | | 02/25/34 | 3 | | | 259,403 | | | 209,807 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 2,8,† | | | 8,467,139 | | | 134,367 |
Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
4.21% | | 08/25/35 | 3 | | | 2,619,327 | | | 1,552,287 |
Countrywide Alternative Loan Trust 2005-59 1A1 | | | | | | | | | |
3.54% | | 11/20/35 | 3 | | | 11,293,015 | | | 7,230,534 |
Countrywide Alternative Loan Trust 2006-46 A4 | | | | | | | | | |
6.00% | | 02/25/47 | | | | 16,321,867 | | | 14,976,508 |
Countrywide Alternative Loan Trust 2006-OA12 A2 | | | | | | | | | |
3.40% | | 09/20/46 | 3 | | | 5,395,380 | | | 2,974,723 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 2 | | | 32,302,587 | | | 842,896 |
DLJ Mortgage Acceptance Corp. 1996-QA S (IO) | | | | | | | | | |
0.00% | | 01/25/26 | 2,3,4,† | | | 196,673 | | | 247 |
Downey Savings & Loan Association Mortgage Loan Trust 2005-AR2 2A1A | | | | | | | | | |
3.24% | | 03/19/45 | 3 | | | 4,541,009 | | | 2,952,976 |
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A | | | | | | | | | |
3.80% | | 04/19/47 | 3 | | | 19,448,567 | | | 11,718,402 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 2,8 | | | 10,200,019 | | | 103,594 |
Harborview Mortgage Loan Trust 2006-1 X1 (IO) | | | | | | | | | |
2.93% | | 03/19/37 | 2,3,† | | | 5,220,371 | | | 192,554 |
Harborview Mortgage Loan Trust 2006-4 X1 (IO) | | | | | | | | | |
3.25% | | 05/19/47 | 2,3,† | | | 6,207,191 | | | 217,315 |
Impac CMB Trust 2005-5 A1 | | | | | | | | | |
3.53% | | 08/25/35 | 3 | | | 7,154,695 | | | 4,145,719 |
IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
3.60% | | 12/25/34 | 3 | | | 1,145,015 | | | 749,772 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 2,8 | | | 4,443,404 | | | 40,268 |
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A | | | | | | | | | |
3.61% | | 11/25/34 | 3 | | | 3,266,813 | | | 2,233,783 |
MASTR Adjustable Rate Mortgages Trust 2004-1 2A1 | | | | | | | | | |
6.53% | | 01/25/34 | 3 | | | 274,969 | | | 237,400 |
MASTR Adjustable Rate Mortgages Trust 2004-5 3A1 | | | | | | | | | |
6.23% | | 06/25/34 | 3 | | | 463,207 | | | 332,065 |
MASTR Adjustable Rate Mortgages Trust 2006-OA2 4A1A | | | | | | | | | |
3.93% | | 12/25/46 | 3 | | | 22,416,746 | | | 11,387,405 |
MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
5.58% | | 10/25/32 | 3 | | | 1,045,541 | | | 964,277 |
MASTR Seasoned Securities Trust 2005-1 4A1 | | | | | | | | | |
5.59% | | 10/25/32 | 3 | | | 3,006,790 | | | 2,482,656 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A7 | | | | | | | | | |
7.00% | | 11/25/31 | | | | 1,577,952 | | | 1,633,180 |
Residential Asset Mortgage Products, Inc. 2004-SL4 A3 | | | | | | | | | |
6.50% | | 07/25/32 | | | | 3,975,506 | | | 3,617,866 |
Semi-Annual Report September 2008 / 26
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
Residential Asset Mortgage Products, Inc. 2005-SL1 A5 | | | | | | | | | |
6.50% | | 05/25/32 | | | $ | 7,727,900 | | $ | 7,158,409 |
Residential Asset Securitization Trust 2007-A7 A4 | | | | | | | | | |
6.00% | | 07/25/37 | | | | 16,286,585 | | | 15,697,240 |
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1 | | | | | | | | | |
5.38% | | 12/27/35 | 3,† | | | 19,625,086 | | | 15,209,610 |
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A | | | | | | | | | |
3.41% | | 10/25/36 | 3 | | | 18,537,261 | | | 11,343,708 |
Thornburg Mortgage Securities Trust 2007-1 A2B | | | | | | | | | |
2.61% | | 03/25/37 | 3 | | | 18,829,092 | | | 17,705,914 |
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
3.63% | | 04/25/47 | 3 | | | 17,986,491 | | | 10,350,324 |
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
6.48% | | 01/25/33 | 3 | | | 435,178 | | | 418,891 |
Washington Mutual Mortgage Pass-Through Certificates 2005-AR2 2A21 | | | | | | | | | |
3.54% | | 01/25/45 | 3 | | | 1,814,209 | | | 1,123,069 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X | | | | | | | | | |
0.80% | | 06/25/46 | 2,8,† | | | 326,997,172 | | | 2,248,073 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B | | | | | | | | | |
4.33% | | 07/25/46 | 3,† | | | 12,011,993 | | | 7,687,676 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1 | | | | | | | | | |
5.00% | | 03/25/18 | | | | 3,842,242 | | | 3,512,509 |
| | | | | | | | | |
| | | | | | | | | 325,356,476 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 20.48% | | | | | | | | | |
Fannie Mae 1997-76 FS | | | | | | | | | |
2.98% | | 09/17/27 | 3 | | | 74,814 | | | 72,144 |
Fannie Mae 2003-90 UD (IO) | | | | | | | | | |
5.50% | | 10/25/26 | | | | 3,823,264 | | | 136,043 |
Fannie Mae 2006-77 PD | | | | | | | | | |
6.50% | | 10/25/30 | | | | 20,786,803 | | | 21,335,288 |
Fannie Mae 2006-B2 AB | | | | | | | | | |
5.50% | | 05/25/14 | | | | 11,663,150 | | | 11,839,763 |
Fannie Mae 2007-54 FA | | | | | | | | | |
3.61% | | 06/25/37 | 3 | | | 26,241,912 | | | 25,604,876 |
Fannie Mae 2007-64 FA | | | | | | | | | |
3.68% | | 07/25/37 | 3,† | | | 26,491,378 | | | 25,115,475 |
Fannie Mae 2007-83 PA | | | | | | | | | |
6.00% | | 03/25/29 | | | | 10,881,170 | | | 11,138,004 |
Fannie Mae FNCI (TBA) | | | | | | | | | |
5.00% | | 10/25/23 | | | | 6,940,000 | | | 6,891,205 |
Fannie Mae Pool 555177 | | | | | | | | | |
4.88% | | 01/01/33 | 3 | | | 110,383 | | | 113,633 |
Fannie Mae Pool 567002 | | | | | | | | | |
8.00% | | 05/01/23 | | | | 181,816 | | | 197,176 |
Fannie Mae Pool 691241 | | | | | | | | | |
5.65% | | 04/01/37 | 3 | | | 9,476,402 | | | 9,548,814 |
Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | 12/01/22 | | | | 4,617,676 | | | 4,756,710 |
Fannie Mae Pool 745383 | | | | | | | | | |
5.52% | | 12/01/35 | 3 | | | 3,894,115 | | | 3,941,142 |
Fannie Mae Pool 770333 | | | | | | | | | |
5.03% | | 04/01/34 | 3 | | | 2,424,436 | | | 2,459,477 |
Fannie Mae Pool 770900 | | | | | | | | | |
4.33% | | 04/01/34 | 3 | | | 1,044,306 | | | 1,057,427 |
Fannie Mae Pool 805256 | | | | | | | | | |
5.91% | | 01/01/35 | 3 | | | 1,872,953 | | | 1,884,455 |
Fannie Mae Pool 817611 | | | | | | | | | |
5.33% | | 11/01/35 | 3 | | | 4,651,263 | | | 4,581,805 |
Fannie Mae Pool 887714 | | | | | | | | | |
6.05% | | 08/01/36 | 3 | | | 14,281,179 | | | 14,667,708 |
Fannie Mae Pool 888256 | | | | | | | | | |
5.85% | | 02/01/37 | 3 | | | 12,038,675 | | | 12,214,527 |
Fannie Mae Pool 888412 | | | | | | | | | |
7.00% | | 04/01/37 | | | | 15,613,680 | | | 16,219,893 |
Fannie Mae Pool 889063 | | | | | | | | | |
6.50% | | 11/01/37 | | | | 19,141,193 | | | 19,645,893 |
Fannie Mae Pool 942553 | | | | | | | | | |
5.95% | | 08/01/37 | 3 | | | 25,863,945 | | | 25,608,331 |
Fannie Mae Prepayment Link Note 2005-2 1 | | | | | | | | | |
4.00% | | 02/25/10 | | | | 4,081,690 | | | 4,070,992 |
Freddie Mac 2174 PN | | | | | | | | | |
6.00% | | 07/15/29 | | | | 4,886,327 | | | 5,007,276 |
Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | 05/15/17 | | | | 975,290 | | | 87,356 |
Freddie Mac 3205 PB | | | | | | | | | |
6.00% | | 08/15/29 | | | | 16,145,000 | | | 16,577,654 |
Freddie Mac 3437 BI | | | | | | | | | |
1.55% | | 05/15/12 | † | | | 124,775,167 | | | 3,509,925 |
Freddie Mac 3447 AI | | | | | | | | | |
1.24% | | 03/15/12 | | | | 56,180,728 | | | 1,220,779 |
Freddie Mac Gold A24156 | | | | | | | | | |
6.50% | | 10/01/31 | | | | 1,898,167 | | | 1,963,606 |
Freddie Mac Gold C46104 | | | | | | | | | |
6.50% | | 09/01/29 | | | | 60,539 | | | 62,720 |
Freddie Mac Gold G11707 | | | | | | | | | |
6.00% | | 03/01/20 | | | | 3,784,389 | | | 3,854,921 |
Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | 09/01/22 | | | | 21,863,239 | | | 22,273,175 |
27 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Freddie Mac Non Gold Pool 1B1928 | | | | | | | | | |
5.12% | | 08/01/34 | 3 | | $ | 2,972,727 | | $ | 2,991,280 |
Freddie Mac Non Gold Pool 1L0113 | | | | | | | | | |
6.26% | | 05/01/35 | 3 | | | 2,862,754 | | | 2,969,251 |
Freddie Mac Non Gold Pool 1Q0196 | | | | | | | | | |
5.91% | | 02/01/37 | 3 | | | 19,868,615 | | | 20,301,160 |
Freddie Mac Non Gold Pool 781469 | | | | | | | | | |
4.38% | | 04/01/34 | 3 | | | 2,350,872 | | | 2,378,272 |
Freddie Mac Non Gold Pool 786781 | | | | | | | | | |
6.40% | | 08/01/29 | 3 | | | 226,697 | | | 233,049 |
Freddie Mac Non Gold Pool 847288 | | | | | | | | | |
4.22% | | 05/01/34 | 3 | | | 3,916,448 | | | 3,961,790 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 1,346,840 | | | 141,520 |
Ginnie Mae I Pool 422972 | | | | | | | | | |
6.50% | | 07/15/29 | | | | 74,070 | | | 76,300 |
Ginnie Mae II Pool 1849 | | | | | | | | | |
8.50% | | 08/20/24 | | | | 2,070 | | | 2,284 |
Ginnie Mae II Pool 2020 | | | | | | | | | |
8.50% | | 06/20/25 | | | | 5,268 | | | 5,813 |
Ginnie Mae II Pool 2286 | | | | | | | | | |
8.50% | | 09/20/26 | | | | 5,056 | | | 5,559 |
Ginnie Mae II Pool 2487 | | | | | | | | | |
8.50% | | 09/20/27 | | | | 23,736 | | | 26,085 |
Ginnie Mae II Pool 80589 | | | | | | | | | |
5.50% | | 03/20/32 | 3 | | | 226,628 | | | 231,069 |
Ginnie Mae II Pool 80968 | | | | | | | | | |
5.63% | | 07/20/34 | 3 | | | 1,348,508 | | | 1,363,764 |
| | | | | | | | | |
| | | | | | | | | 312,345,389 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $836,298,579) | | | | | | | | | 742,568,086 |
| | | | | | | | | |
Total Bonds – 101.61% (Cost $1,774,526,478) | | | | | | | | | 1,549,558,513 |
| | | | | | | | | |
| | |
Issues | | | Notional
Amount
(000’s) | | Value |
PURCHASED SWAPTIONS — 0.30% | | | | | | | |
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | | | 128,837 | | | 2,559,605 |
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | | $ | 16,998 | | $ | 2,089,222 |
| | | | | | | |
Total Purchased Swaptions (Cost $1,394,654) | | | | | | | 4,648,827 |
| | | | | | | | | |
| | | | | | | | | | |
| | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | Value | |
SHORT TERM INVESTMENTS — 3.40% | | | | | | | | | | |
Money Market Fund — 0.01% | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | | | 220,000 | | | 220,000 | |
| | | | | | | | | | |
U.S. Agency Discount Notes — 2.82% | | | | | | | | | | |
Federal Home Loan Bank | | | | | | | | | | |
2.05%9 | | 10/10/08 | | | $ | 8,910,000 | | | 8,905,434 | |
2.30%9 | | 10/28/08 | | | | 12,795,000 | | | 12,772,929 | |
2.31%9 | | 12/21/08 | 10 | | | 125,000 | | | 124,381 | |
2.41%9 | | 10/28/08 | | | | 9,785,000 | | | 9,767,387 | |
2.67%9 | | 12/12/08 | 10 | | | 202,000 | | | 201,000 | |
3.17%9 | | 12/18/08 | | | | 4,950,000 | | | 4,923,458 | |
Freddie Mac | | | | | | | | | | |
2.45%9 | | 10/22/08 | | | | 6,285,000 | | | 6,276,018 | |
| | | | | | | | | | |
| | | | | | | | | 42,970,607 | |
| | | | | | | | | | |
U.S. Treasury Bills — 0.57% | | | | | | | | | | |
0.02%9 | | 10/23/08 | | | | 7,094,000 | | | 7,093,913 | |
0.02%9 | | 10/23/08 | | | | 1,025,000 | | | 1,024,894 | |
1.53%9 | | 10/16/08 | 10 | | | 50,000 | | | 49,968 | |
1.56%9 | | 10/16/08 | 10 | | | 390,000 | | | 389,746 | |
1.58%9 | | 10/16/08 | 10 | | | 105,000 | | | 104,931 | |
1.58%9 | | 10/16/08 | 10 | | | 40,000 | | | 39,974 | |
| | | | | | | | | | |
| | | | | | | | | 8,703,426 | |
| | | | | | | | | | |
Total Short Term Investments (Cost $51,886,764) | | | | | | | | | 51,894,033 | |
| | | | | | | | | | |
Total Investments – 105.31% (Cost $1,827,807,896)1 | | | | | | | | | 1,606,101,373 | |
| | | | | | | | | | |
Liabilities in Excess of Other Assets – (5.31)% | | | | | | | | | (81,025,607 | ) |
| | | | | | | | | | |
Net Assets – 100.00% | | | | | | | | $ | 1,525,075,766 | |
| | | | | | | | | | |
Semi-Annual Report September 2008 / 28
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | | | |
Issues | | Notional
Amount
(000’s) | | | Premiums
Received | | | Value | |
WRITTEN SWAPTIONS | |
Option to enter into a 10-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | | |
| | $ | (64,000 | ) | | $ | (1,394,624 | ) | | $ | (4,120,442 | ) |
| | | | | | | | | | | | |
Total Written Swaptions | | | | | | $ | (1,394,624 | ) | | $ | (4,120,442 | ) |
| | | | | | | | | | | | |
| | | | | | |
Contracts | | | | Unrealized
Depreciation | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | |
| 741 | | U.S. Treasury Two Year Note, December 2008 | | $ | (323,460 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (323,460 | ) |
| | | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 31,480 | | $ | (249,547 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/15/10 | | | 65,330 | | | 1,499,454 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 12/15/10 | | | 93,360 | | | 1,927,312 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 12/15/10 | | | 79,400 | | | 1,652,400 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/15/10 | | | 44,060 | | | 916,937 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/11 | | | 109,730 | | | 933,074 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/11 | | | 49,880 | | | 435,268 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/11 | | | 49,880 | | | 610,036 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/11 | | | 83,130 | | | 687,566 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.02% semi-annually. Counterparty: Merrill Lynch & Co., Inc | | | | | | | | | |
| | 06/13/11 | | | 30,000 | | | 642,390 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.03% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/11 | | | 102,630 | | | 98,925 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 04/19/17 | | | 5,900 | | | 601,218 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 05/09/17 | | | 6,000 | | | 635,997 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/19 | | | 26,730 | | | (726,433 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/19 | | | 12,150 | | | (418,179 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/19 | | | 20,250 | | | (557,145 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/19 | | | 12,150 | | | (362,815 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/19 | | | 25,000 | | | (23,594 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 7,000 | | | (41,001 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 03/26/22 | | | 3,320 | | | (209,703 | ) |
| | | | | | | | | |
| | | | | | | $ | 8,052,160 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley | | | | | | | | | |
| | 09/20/12 | | | 4,250 | | | 154,733 | |
29 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | | | | | | | | | |
The Fund pays a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/20/12 | | $ | 4,500 | | $ | 219,941 | |
The Fund pays a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,450 | | | 29,158 | |
The Fund pays a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 4,995 | | | 1,214,509 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 3,200 | | | (152,653 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,000 | | | (51,310 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,275 | | | (119,193 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 3,600 | | | (183,419 | ) |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,350 | | | 72,481 | |
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,350 | | | 74,259 | |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,050 | | | (28,795 | ) |
The Fund pays a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 4,700 | | | (57,536 | ) |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 3,200 | | | (44,949 | ) |
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 850 | | | 23,789 | |
The Fund pays a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,725 | | | 94,295 | |
The Fund pays a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 4,150 | | | 127,737 | |
The Fund pays a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 2,725 | | | 81,792 | |
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,250 | | | 14,209 | |
The Fund pays a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 1,375 | | | 16,703 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 4,250 | | | 41,675 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,750 | | | 26,966 | |
The Fund pays a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 4,250 | | | 191,185 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 850 | | | 36,102 | |
The Fund pays a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 2,750 | | | 59,401 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 4,250 | | | 202,816 | |
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,800 | | | 87,241 | |
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,850 | | | 52,116 | |
Semi-Annual Report September 2008 / 30
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | | | | | | | | | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | $ | 900 | | $ | (6,983 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | | 900 | | | (6,983 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 4,950 | | | 330,705 | |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 1,900 | | | (157,152 | ) |
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 06/20/13 | | | 1,600 | | | 15,828 | |
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/13 | | | 275 | | | (491 | ) |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 4,000 | | | 207,023 | |
The Fund pays a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/14 | | | 2,000 | | | 337,661 | |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 1,900 | | | (171,210 | ) |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 1,800 | | | (24,626 | ) |
| | | | | | | | | |
| | | | | | | $ | 2,707,025 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/09 | | | 6,750 | | | (113,461 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 2,010 | | | (1,771,910 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 11,630 | | | (5,572,031 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 2,015 | | | (1,776,318 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 08/25/37 | | | 2,000 | | | (958,217 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 3,700 | | | (1,772,523 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 6,600 | | | (3,162,116 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 3,200 | | | (1,533,147 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 5,600 | | | (2,683,007 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 7,500 | | | (3,701,451 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | | 6,100 | | | (3,008,943 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 4,000 | | | (1,974,107 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | | 4,250 | | | (2,097,489 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 4,000 | | | (1,974,107 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 6,000 | | | (2,961,161 | ) |
31 / Semi-Annual Report September 2008
Low Duration Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | $ | 2,015 | | $ | (1,769,264 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 6,500 | | | (5,707,304 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 2,020 | | | (1,773,654 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 5,000 | | | (1,559,940 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 4,400 | | | (3,386,359 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 6,000 | | | (4,617,762 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 4,200 | | | (3,232,434 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 3,500 | | | (2,693,695 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | | 3,300 | | | (2,539,769 | ) |
| | | | | | | | | |
| | | | | | | $ | (62,340,169 | ) |
| | | | | | | | | |
Notes: | | | | | | | | | |
1 | Cost for Federal income tax purposes is $1,828,187,171 and net unrealized appreciation/ (depreciation) consists of: |
| | | | | | | | |
| | | |
Gross unrealized appreciation | | | | | | $ | 11,170,355 | |
Gross unrealized depreciation | | | | | | | (233,256,153 | ) |
| | | | | | | | |
Net unrealized (depreciation) | | | | | | $ | (222,085,798 | ) |
| | | | | | | | |
3 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $119,449,099 representing 7.83% of total net assets. |
5 | Security is currently in default with regards to scheduled interest or principal payments. |
7 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
| 07/03/07 | | Asurion Corp. Term Loan, 5.74%, 07/13/14 | | $ | 247,936 | | $ | 218,906 | | 0.02 | % |
| 05/02/08 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | | 5,350,674 | | | 5,308,685 | | 0.35 | % |
| 06/01/07 | | Carestream Health, Inc. Term Loan, 8.06%, 10/30/13 | | | 505,469 | | | 315,834 | | 0.02 | % |
| 04/05/07 | | Cebridge 2nd Lien (PIK), 8.80%, 05/05/14 | | | 2,580,205 | | | 2,037,303 | | 0.13 | % |
| 06/27/07 | | Cengage Learning Term Loan B, 6.91%, 07/09/14 | | | 736,355 | | | 610,706 | | 0.04 | % |
| 06/04/07 | | Charter Communications, Inc. Term Loan 3rd Lien, 6.26%, 09/06/14 | | | 502,562 | | | 366,250 | | 0.02 | % |
| 04/25/07 | | Delta Air Lines, Inc. Term Loan 1st Lien, 5.39%, 05/01/12 | | | 1,485,000 | | | 1,190,475 | | 0.08 | % |
| 10/10/07 | | HCA Term Loan A, 5.76%, 11/18/12 | | | 9,242,125 | | | 8,441,781 | | 0.55 | % |
| 08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 6,670,041 | | | 5,939,598 | | 0.39 | % |
| 06/14/07 | | Swift Transportation Co., Inc. Term Loan, 6.86%, 05/06/14 | | | 220,930 | | | 144,157 | | 0.01 | % |
| 11/06/07 | | TPF Generation Holdings LLC 2nd Lien, 8.01%, 12/15/14 | | | 240,690 | | | 217,708 | | 0.01 | % |
| 02/01/07 | | United Air Lines, Inc., 5.46%, 02/01/14 | | | 353,611 | | | 219,239 | | 0.02 | % |
| 11/30/07 | | Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14 | | | 116,835 | | | 81,063 | | 0.01 | % |
| | | | | | | | | | | |
| | | | $ | 28,252,433 | | $ | 25,091,705 | | 1.65 | % |
| | | | | | | | | | | |
8 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
9 | Represents annualized yield at date of purchase. |
10 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $183,417,939 which is 12.03% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(DIP): Defaulted interest payment
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium term note
(PIK): Payment in kind
(STEP): Step coupon bond
Semi-Annual Report September 2008 / 32
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS – 97.34% | | | | | | | | | |
ASSET-BACKED SECURITIES — 10.00%** | | | | | | | | | |
ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.22% | | 07/15/33 | | | $ | 9,701 | | $ | 9,576 |
Bayview Financial Acquisition Trust 2005-A A1 | | | | | | | | | |
4.21% | | 02/28/40 | 2,3,† | | | 1,500,000 | | | 1,245,646 |
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | | | | | | | | | |
4.21% | | 12/28/40 | 2,3,† | | | 1,500,000 | | | 1,245,000 |
Bear Stearns Asset Backed Securities Trust 2007-2 A1 | | | | | | | | | |
3.40% | | 01/25/47 | 2 | | | 229,333 | | | 217,286 |
Birch Real Estate CDO Ltd. 1A A1 | | | | | | | | | |
5.16% | | 02/10/38 | 3,† | | | 650,000 | | | 565,168 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
3.39% | | 03/25/37 | 2 | | | 1,376,500 | | | 867,868 |
Conseco Finance 2001-D A5 | | | | | | | | | |
6.19% | | 11/15/32 | 2 | | | 217,893 | | | 214,851 |
Conseco Finance 2002-A A5 (STEP) | | | | | | | | | |
7.05% | | 04/15/32 | | | | 261,862 | | | 255,166 |
Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | 06/15/32 | 2,3,† | | | 322,553 | | | 295,467 |
Conseco Finance Home Loan Trust 2000-E M1 | | | | | | | | | |
8.13% | | 08/15/31 | 2 | | | 187,057 | | | 181,815 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB5 A1 | | | | | | | | | |
3.27% | | 04/25/37 | 2 | | | 970,484 | | | 870,102 |
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF18 M1 | | | | | | | | | |
3.44% | | 12/25/37 | 2 | | | 2,500,000 | | | 459,339 |
Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | 07/15/20 | | | | 79 | | | 58 |
Green Tree Home Improvement Loan Trust 1997-E HEB1 | | | | | | | | | |
7.53% | | 01/15/29 | | | | 828,802 | | | 794,164 |
HFC Home Equity Loan Asset Backed Certificates 2007-2 A4 | | | | | | | | | |
3.49% | | 07/20/36 | 2 | | | 150,000 | | | 110,355 |
HFC Home Equity Loan Asset Backed Certificates 2007-2 M1 | | | | | | | | | |
3.50% | | 07/20/36 | 2 | | | 500,000 | | | 328,112 |
IndyMac Manufactured Housing Contract 1997-1 A3 | | | | | | | | | |
6.61% | | 02/25/28 | | | | 727,173 | | | 669,700 |
IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | 02/25/28 | | | | 240,910 | | | 221,078 |
Keystone Owner Trust 1998-P1 M2 | | | | | | | | | |
7.93% | | 05/25/25 | 3 | | | 41,962 | | | 40,132 |
MASTR Asset Backed Securities Trust 2006-WMC3 A4 | | | | | | | | | |
3.37% | | 08/25/36 | 2 | | | 740,000 | | | 337,258 |
MASTR Asset Backed Securities Trust 2007-HE1 A1 | | | | | | | | | |
3.29% | | 05/25/37 | 2 | | | 839,245 | | | 784,161 |
Merrill Lynch First Franklin Mortgage Loan Trust 2007-3 A2D | | | | | | | | | |
3.46% | | 06/25/37 | 2 | | | 1,500,000 | | | 706,171 |
Mid-State Trust 11 A1 | | | | | | | | | |
4.86% | | 07/15/38 | | | | 1,375,640 | | | 1,261,978 |
Mid-State Trust 2004-1 A | | | | | | | | | |
6.00% | | 08/15/37 | | | | 358,401 | | | 328,339 |
Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | 08/15/37 | | | | 261,908 | | | 228,982 |
Mid-State Trust 2005-1 M2 | | | | | | | | | |
7.08% | | 01/15/40 | | | | 329,760 | | | 260,875 |
Morgan Stanley ABS Capital I 2006-HE6 A2B | | | | | | | | | |
3.31% | | 09/25/36 | 2 | | | 270,000 | | | 242,881 |
Oakwood Mortgage Investors, Inc. 2001-D A2 | | | | | | | | | |
5.26% | | 01/15/19 | 2 | | | 201,881 | | | 154,091 |
Oakwood Mortgage Investors, Inc. 2001-D A3 | | | | | | | | | |
5.90% | | 09/15/22 | 2 | | | 240,528 | | | 191,911 |
Oakwood Mortgage Investors, Inc. 2002-B A1 | | | | | | | | | |
2.72% | | 05/15/13 | 2 | | | 43,881 | | | 33,982 |
Option One Mortgage Loan Trust 2007-6 2A4 | | | | | | | | | |
3.46% | | 07/25/37 | 2 | | | 1,200,000 | | | 565,960 |
Residential Funding Mortgage Securities II, Inc. 2003-HS2 AI4 (STEP) | | | | | | | | | |
3.87% | | 07/25/33 | | | | 40,000 | | | 39,245 |
Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 2,3 | | | 169,684 | | | 125,234 |
SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 2 | | | 133,587 | | | 112,928 |
Soundview Home Equity Loan Trust 2007-OPT1 2A2 | | | | | | | | | |
3.36% | | 06/25/37 | 2 | | | 1,122,000 | | | 876,372 |
Soundview Home Equity Loan Trust 2007-OPT3 2A2 | | | | | | | | | |
3.34% | | 08/25/37 | 2 | | | 1,045,000 | | | 745,053 |
Structured Asset Receivables Trust 2003-1 | | | | | | | | | |
3.29% | | 01/21/10 | 2,3,† | | | 193,572 | | | 179,054 |
SVO VOI Mortgage Corp. 2003-AA A | | | | | | | | | |
3.95% | | 02/20/19 | 3 | | | 97,443 | | | 91,625 |
Terwin Mortgage Trust 2005-9HGS A1 | | | | | | | | | |
4.00% | | 08/25/35 | 2,3 | | | 62,680 | | | 56,940 |
UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | 04/15/30 | 2 | | | 3,657 | | | 2,387 |
33 / Semi-Annual Report September 2008
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | | | | | |
UCFC Home Equity Loan 1998-D MF1 | | | | | | | | | |
6.90% | | 04/15/30 | | | $ | 118,429 | | $ | 111,808 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $17,334,631) | | | | | | | | | 16,028,118 |
| | | | | | | | | |
CORPORATES — 19.86%* | | | | | | | | | |
Banking — 4.66% | | | | | | | | | |
ANZ National International Ltd. | | | | | | | | | |
6.20% | | 07/19/13 | 3 | | | 600,000 | | | 596,232 |
Bank of America Corp. | | | | | | | | | |
8.00% | | 12/29/49 | 2 | | | 600,000 | | | 475,837 |
8.13% | | 12/29/49 | 2 | | | 500,000 | | | 404,595 |
Banponce Trust I A | | | | | | | | | |
8.33% | | 02/01/27 | | | | 500,000 | | | 464,482 |
Credit Suisse/New York | | | | | | | | | |
5.00% | | 05/15/13 | | | | 700,000 | | | 649,336 |
Deutsche Bank AG/London | | | | | | | | | |
4.88% | | 05/20/13 | | | | 750,000 | | | 717,110 |
Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | 01/19/49 | 2,3 | | | 120,000 | | | 92,039 |
HBOS PLC | | | | | | | | | |
5.92% | | 09/29/49 | 2,3 | | | 775,000 | | | 457,641 |
6.75% | | 05/21/18 | 3 | | | 595,000 | | | 499,727 |
JPMorgan Chase & Co. 1 | | | | | | | | | |
7.90% | | 12/31/49 | 2 | | | 380,000 | | | 320,770 |
JPMorgan Chase Bank NA | | | | | | | | | |
7.59% | | 03/28/22 | 2 | | | 460,000 | | | 436,494 |
8.75% | | 11/28/21 | 2 | | | 257,000 | | | 249,419 |
JPMorgan Chase Capital XIII M | | | | | | | | | |
4.71% | | 09/30/34 | 2 | | | 1,025,000 | | | 792,426 |
National Australia Bank Ltd. | | | | | | | | | |
5.35% | | 06/12/13 | 3 | | | 1,000,000 | | | 896,578 |
Nationsbank Capital Trust III | | | | | | | | | |
3.34% | | 01/15/27 | 2 | | | 600,000 | | | 424,139 |
| | | | | | | | | |
| | | | | | | | | 7,476,825 |
| | | | | | | | | |
Communications — 0.41% | | | | | | | | | |
Qwest Corp. | | | | | | | | | |
5.62% | | 11/15/08 | | | | 489,000 | | | 486,555 |
7.88% | | 09/01/11 | | | | 175,000 | | | 168,875 |
| | | | | | | | | |
| | | | | | | | | 655,430 |
| | | | | | | | | |
Electric — 1.52% | | | | | | | | | |
Cedar Brakes II LLC | | | | | | | | | |
9.88% | | 09/01/13 | 3 | | | 444,312 | | | 483,742 |
Entergy Louisiana LLC | | | | | | | | | |
5.83% | | 11/01/10 | | | | 698,000 | | | 687,242 |
Power Receivables Finance LLC | | | | | | | | | |
6.29% | | 01/01/12 | | | | 322,022 | | | 333,446 |
Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | 05/15/18 | | | | 475,000 | | | 449,089 |
Southwestern Electric Power Co. | | | | | | | | | |
6.45% | | 01/15/19 | | | | 513,000 | | | 483,538 |
| | | | | | | | | |
| | | | | | | | | 2,437,057 |
| | | | | | | | | |
Energy — 0.20% | | | | | | | | | |
Southern Union Co. | | | | | | | | | |
7.20% | | 11/01/66 | 2 | | | 435,000 | | | 321,642 |
| | | | | | | | | |
Finance — 7.04% | | | | | | | | | |
Capital One Financial Corp. (MTN) | | | | | | | | | |
5.70% | | 09/15/11 | | | | 780,000 | | | 691,175 |
Citigroup, Inc. | | | | | | | | | |
4.12% | | 02/22/10 | | | | 470,000 | | | 440,404 |
5.30% | | 10/17/12 | | | | 300,000 | | | 267,302 |
5.50% | | 04/11/13 | | | | 420,000 | | | 366,955 |
6.50% | | 08/19/13 | | | | 800,000 | | | 711,730 |
8.40% | | 04/30/49 | 2 | | | 670,000 | | | 456,880 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 2 | | | 200,000 | | | 188,000 |
3.42% | | 03/24/09 | 2 | | | 525,000 | | | 512,518 |
5.80% | | 06/07/12 | | | | 570,000 | | | 458,367 |
Countrywide Home Loans, Inc. L (MTN) | | | | | | | | | |
4.00% | | 03/22/11 | | | | 425,000 | | | 365,856 |
Credit Suisse Guernsey Ltd. 1 | | | | | | | | | |
3.49% | | 05/29/49 | 2 | | | 750,000 | | | 478,552 |
Ford Motor Credit Co. LLC | | | | | | | | | |
5.54% | | 01/13/12 | 2 | | | 300,000 | | | 189,000 |
7.25% | | 10/25/11 | | | | 416,000 | | | 264,692 |
8.62% | | 11/01/10 | | | | 319,000 | | | 226,305 |
General Electric Capital Corp. | | | | | | | | | |
4.80% | | 05/01/13 | | | | 775,000 | | | 707,585 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 2 | | | 400,000 | | | 184,909 |
6.62% | | 05/15/12 | | | | 600,000 | | | 254,185 |
6.88% | | 09/15/11 | | | | 474,000 | | | 211,606 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
2.98% | | 02/06/12 | 2 | | | 200,000 | | | 155,361 |
5.12% | | 01/15/15 | | | | 750,000 | | | 619,882 |
6.15% | | 04/01/18 | | | | 600,000 | | | 499,755 |
Goldman Sachs Group, Inc. (The) (MTN) B | | | | | | | | | |
3.19% | | 07/22/15 | 2 | | | 100,000 | | | 75,500 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | 06/20/16 | | | | 452,000 | | | 60,361 |
8.92% | | 02/16/17 | | | | 260,000 | | | 34,721 |
11.00% | | 11/07/16 | | | | 502,000 | | | 67,038 |
Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | 11/30/10 | | | | 271,000 | | | 36,190 |
Semi-Annual Report September 2008 / 34
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
2.62% | | 05/18/17 | 2 | | $ | 380,000 | | $ | 305,672 |
8.68% | | 05/02/17 | 2 | | | 480,000 | | | 366,312 |
9.57% | | 06/06/17 | 2 | | | 272,000 | | | 221,177 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 575,000 | | | 468,625 |
4.25% | | 05/15/10 | | | | 570,000 | | | 463,334 |
6.75% | | 04/15/11 | | | | 55,000 | | | 40,728 |
Pemex Finance Ltd. | | | | | | | | | |
8.88% | | 11/15/10 | † | | | 225,000 | | | 239,125 |
Wachovia Bank NA | | | | | | | | | |
6.00% | | 11/15/17 | | | | 625,000 | | | 465,625 |
Wachovia Corp. (MTN) | | | | | | | | | |
5.50% | | 05/01/13 | | | | 230,000 | | | 190,468 |
| | | | | | | | | |
| | | | | | | | | 11,285,895 |
| | | | | | | | | |
Health Care — 0.45% | | | | | | | | | |
UnitedHealth Group, Inc. | | | | | | | | | |
4.88% | | 02/15/13 | | | | 760,000 | | | 727,104 |
| | | | | | | | | |
Insurance — 1.17% | | | | | | | | | |
Allied World Assurance Co. Holdings Ltd. | | | | | | | | | |
7.50% | | 08/01/16 | | | | 244,000 | | | 215,589 |
Fairfax Financial Holdings Ltd. | | | | | | | | | |
7.75% | | 04/26/12 | | | | 375,000 | | | 371,250 |
Metropolitan Life Global Funding I | | | | | | | | | |
5.12% | | 04/10/13 | 3 | | | 550,000 | | | 534,842 |
Nationwide Mutual Insurance Co. | | | | | | | | | |
6.60% | | 04/15/34 | 3 | | | 440,000 | | | 356,258 |
Stingray Pass-Through Trust | | | | | | | | | |
5.90% | | 01/12/15 | 3,4 | | | 225,000 | | | 29,250 |
ZFS Finance USA Trust I | | | | | | | | | |
6.15% | | 12/15/65 | 2,3 | | | 500,000 | | | 363,280 |
| | | | | | | | | |
| | | | | | | | | 1,870,469 |
| | | | | | | | | |
Materials — 0.25% | | | | | | | | | |
Barrick Gold Finance Co. LLC (MTN) | | | | | | | | | |
6.12% | | 09/15/13 | | | | 410,000 | | | 403,350 |
| | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.85% | | | | | | | | | |
Colonial Realty LP | | | | | | | | | |
4.75% | | 02/01/10 | | | | 586,000 | | | 566,605 |
CPG Partners LP | | | | | | | �� | | |
8.25% | | 02/01/11 | | | | 630,000 | | | 655,262 |
8.62% | | 08/17/09 | | | | 760,000 | | | 772,490 |
Duke Realty LP | | | | | | | | | |
6.25% | | 05/15/13 | | | | 790,000 | | | 769,510 |
HCP, Inc. | | | | | | | | | |
7.07% | | 06/08/15 | | | | 160,000 | | | 143,769 |
HCP, Inc. (MTN) | | | | | | | | | |
5.95% | | 09/15/11 | | | | 800,000 | | | 755,477 |
Prime Property Fund, Inc. | | | | | | | | | |
5.60% | | 06/15/11 | 3 | | | 206,000 | | | 206,329 |
WEA Finance LLC | | | | | | | | | |
7.12% | | 04/15/18 | 3 | | | 775,000 | | | 697,885 |
| | | | | | | | | |
| | | | | | | | | 4,567,327 |
| | | | | | | | | |
Transportation — 1.31% | | | | | | | | | |
Continental Airlines, Inc. 1997-1 A | | | | | | | | | |
7.46% | | 04/01/15 | | | | 297,531 | | | 258,852 |
Continental Airlines, Inc. 1999-2 A1 | | | | | | | | | |
7.26% | | 03/15/20 | | | | 398,966 | | | 356,077 |
Continental Airlines, Inc. A | | | | | | | | | |
5.98% | | 04/19/22 | | | | 123,000 | | | 99,169 |
Delta Air Lines, Inc. 2000-1 A1 | | | | | | | | | |
7.38% | | 05/18/10 | | | | 117,410 | | | 114,181 |
Delta Air Lines, Inc. 2001-1 A2 | | | | | | | | | |
7.11% | | 09/18/11 | | | | 650,000 | | | 599,625 |
Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | 04/01/11 | | | | 400,000 | | | 370,000 |
Northwest Airlines, Inc. 2001-1 A1 | | | | | | | | | |
7.04% | | 10/01/23 | | | | 246,220 | | | 214,211 |
United Air Lines, Inc. 2001-1 | | | | | | | | | |
6.20% | | 09/01/08 | 5 | | | 73,531 | | | 71,325 |
United Air Lines, Inc. 2001-1 A1 | | | | | | | | | |
6.07% | | 03/01/13 | | | | 15,443 | | | 15,212 |
| | | | | | | | | |
| | | | | | | | | 2,098,652 |
| | | | | | | | | |
Total Corporates (Cost $37,246,226) | | | | | | | | | 31,843,751 |
| | | | | | | | | |
BANK LOANS — 0.86%* | | | | | | | | | |
Electric — 0.47% | | | | | | | | | |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 6 | | | 746,073 | | | 744,208 |
| | | | | | | | | |
Health Care — 0.39% | | | | | | | | | |
HCA Term Loan A | | | | | | | | | |
5.76% | | 11/18/12 | 6 | | | 718,347 | | | 631,786 |
| | | | | | | | | |
Total Bank Loans (Cost $1,449,499) | | | | | | | | | 1,375,994 |
| | | | | | | | | |
MORTGAGE-BACKED — 53.44%** | | | | | | | | | |
Commercial Mortgage-Backed — 6.28% | | | | | | | | | |
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2 | | | | | | | | | |
6.48% | | 02/15/35 | | | | 1,305,000 | | | 1,309,531 |
35 / Semi-Annual Report September 2008
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Commercial Mortgage-Backed (continued) | | | | | | | | | |
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4 | | | | | | | | | |
5.54% | | 09/11/41 | | | $ | 470,000 | | $ | 419,768 |
Commercial Mortgage Pass-Through Certificates 2006-C7 AM | | | | | | | | | |
5.99% | | 06/10/46 | 2 | | | 460,000 | | | 383,082 |
Credit Suisse Mortgage Capital Certificates 2006-C5 A3 | | | | | | | | | |
5.31% | | 12/15/39 | | | | 370,000 | | | 321,575 |
GE Capital Commercial Mortgage Corp. 2005-C1 A5 | | | | | | | | | |
4.77% | | 06/10/48 | 2 | | | 1,300,000 | | | 1,166,362 |
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4 | | | | | | | | | |
5.44% | | 03/10/39 | | | | 505,000 | | | 428,024 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4 | | | | | | | | | |
6.07% | | 04/15/45 | 2 | | | 340,000 | | | 308,248 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4 | | | | | | | | | |
5.94% | | 02/12/49 | 2 | | | 1,605,000 | | | 1,433,733 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3 | | | | | | | | | |
5.42% | | 01/15/49 | | | | 290,000 | | | 241,694 |
LB-UBS Commercial Mortgage Trust 2000-C4 A2 | | | | | | | | | |
7.37% | | 08/15/26 | | | | 996,172 | | | 1,013,416 |
Morgan Stanley Capital I 2006-HQ8 A4 | | | | | | | | | |
5.56% | | 03/12/44 | 2 | | | 1,605,000 | | | 1,436,009 |
Morgan Stanley Capital I 2007-IQ16 A4 | | | | | | | | | |
5.81% | | 12/12/49 | | | | 470,000 | | | 401,594 |
Structured Asset Mortgage Investments, Inc. 2005-AR3 1A1 | | | | | | | | | |
3.48% | | 08/25/35 | 2 | | | 1,833,458 | | | 1,207,853 |
| | | | | | | | | |
| | | | | | | | | 10,070,889 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 6.07% | | | | | | | | | |
Adjustable Rate Mortgage Trust 2005-8 4A11 | | | | | | | | | |
5.44% | | 11/25/35 | 2 | | | 970,972 | | | 754,610 |
Banc of America Mortgage Securities, Inc. 2003-1 2A4 | | | | | | | | | |
5.00% | | 02/25/18 | | | | 197,891 | | | 186,840 |
Chevy Chase Mortgage Funding Corp. 2004-1A A1 | | | | | | | | | |
3.49% | | 01/25/35 | 2,3 | | | 441,867 | | | 392,860 |
Chevy Chase Mortgage Funding Corp. 2005-2A A1 | | | | | | | | | |
3.39% | | 05/25/36 | 2,3 | | | 487,180 | | | 392,092 |
Countrywide Alternative Loan Trust 2003-3T1 A2 | | | | | | | | | |
4.50% | | 05/25/33 | | | | 1,072,613 | | | 1,051,393 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 4,7,† | | | 618,394 | | | 9,813 |
Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
4.21% | | 08/25/35 | 2 | | | 397,434 | | | 235,530 |
Countrywide Alternative Loan Trust 2005-27 3A2 | | | | | | | | | |
3.96% | | 08/25/35 | 2 | | | 40,750 | | | 22,413 |
Countrywide Alternative Loan Trust 2005-72 A1 | | | | | | | | | |
3.48% | | 01/25/36 | 2 | | | 1,073,850 | | | 677,097 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 4 | | | 2,566,250 | | | 66,963 |
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1 | | | | | | | | | |
5.07% | | 08/25/34 | 2 | | | 737,696 | | | 630,333 |
First Horizon Asset Securities, Inc. 2002-7 2A2 | | | | | | | | | |
5.25% | | 12/25/17 | | | | 145,474 | | | 144,366 |
First Horizon Asset Securities, Inc. 2003-10 2A1 | | | | | | | | | |
4.75% | | 01/25/19 | | | | 668,422 | | | 648,966 |
First Union Commercial Mortgage Trust 1999-C1 A2 | | | | | | | | | |
6.07% | | 10/15/35 | | | | 60,661 | | | 60,514 |
GS Mortgage Securities Corp. II 2006-GG8 A4 | | | | | | | | | |
5.56% | | 11/10/39 | | | | 935,000 | | | 847,214 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 4,7 | | | 724,270 | | | 7,356 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 4,7 | | | 316,726 | | | 2,870 |
IndyMac Index Mortgage Loan Trust 2004-AR6 6A1 | | | | | | | | | |
5.45% | | 10/25/34 | 2 | | | 230,613 | | | 207,208 |
IndyMac Index Mortgage Loan Trust 2004-AR8 2A2A | | | | | | | | | |
3.61% | | 11/25/34 | 2 | | | 83,055 | | | 56,791 |
Lehman XS Trust 2007-12N 1A3A | | | | | | | | | |
3.41% | | 07/25/47 | 2 | | | 4,500,000 | | | 1,107,143 |
MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | 08/25/32 | | | | 229,631 | | | 212,692 |
Residential Asset Mortgage Products, Inc. 2003-SL1 A41 | | | | | | | | | |
8.00% | | 04/25/31 | | | | 95,704 | | | 95,536 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A7 | | | | | | | | | |
7.00% | | 11/25/31 | | | | 115,774 | | | 119,826 |
Semi-Annual Report September 2008 / 36
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
Residential Asset Securitization Trust 2004-IP2 2A1 | | | | | | | | | |
5.23% | | 12/25/34 | 2 | | $ | 149,550 | | $ | 127,791 |
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
3.63% | | 04/25/47 | 2 | | | 974,158 | | | 560,579 |
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
6.48% | | 01/25/33 | 2 | | | 24,819 | | | 23,890 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2004-RA1 2A | | | | | | | | | |
7.00% | | 03/25/34 | | | | 109,732 | | | 103,582 |
Wells Fargo Mortgage Backed Securities Trust 2006-4 2A2 | | | | | | | | | |
5.50% | | 04/25/36 | | | | 1,144,650 | | | 982,074 |
| | | | | | | | | |
| | | | | | | | | 9,728,342 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 41.09% | | | | | | | | | |
Fannie Mae 1993-225 SG | | | | | | | | | |
13.23% | | 12/25/13 | 2 | | | 192,737 | | | 223,170 |
Fannie Mae 1993-80 S | | | | | | | | | |
6.75% | | 05/25/23 | 2 | | | 37,255 | | | 36,693 |
Fannie Mae 1994-55 S | | | | | | | | | |
14.97% | | 12/25/23 | 2 | | | 11,720 | | | 11,974 |
Fannie Mae 2001-52 YZ | | | | | | | | | |
6.50% | | 10/25/31 | | | | 754,640 | | | 766,014 |
Fannie Mae 2003-53 IA (IO) | | | | | | | | | |
5.50% | | 10/25/28 | | | | 140,704 | | | 8,599 |
Fannie Mae 2006-B2 AB | | | | | | | | | |
5.50% | | 05/25/14 | | | | 829,054 | | | 841,608 |
Fannie Mae 2007-64 FA | | | | | | | | | |
3.68% | | 07/25/37 | 2,† | | | 2,128,771 | | | 2,018,208 |
Fannie Mae FNCL (TBA) | | | | | | | | | |
5.00% | | 10/25/38 | | | | 1,175,000 | | | 1,145,074 |
5.50% | | 10/25/38 | | | | 14,675,000 | | | 14,636,023 |
Fannie Mae Pool 253974 | | | | | | | | | |
7.00% | | 08/01/31 | | | | 44,805 | | | 46,900 |
Fannie Mae Pool 254868 | | | | | | | | | |
5.00% | | 09/01/33 | | | | 1,993,980 | | | 1,949,502 |
Fannie Mae Pool 527247 | | | | | | | | | |
7.00% | | 09/01/26 | | | | 206 | | | 217 |
Fannie Mae Pool 545646 | | | | | | | | | |
7.00% | | 09/01/26 | | | | 128 | | | 136 |
Fannie Mae Pool 549740 | | | | | | | | | |
6.50% | | 10/01/27 | | | | 118,504 | | | 121,907 |
Fannie Mae Pool 701297 | | | | | | | | | |
6.61% | | 03/01/33 | 2 | | | 79,017 | | | 80,152 |
Fannie Mae Pool 725027 | | | | | | | | | |
5.00% | | 11/01/33 | | | | 1,923,936 | | | 1,878,768 |
Fannie Mae Pool 725425 | | | | | | | | | |
5.50% | | 04/01/34 | | | | 1,939,335 | | | 1,937,441 |
Fannie Mae Pool 735224 | | | | | | | | | |
5.50% | | 02/01/35 | | | | 1,940,301 | | | 1,940,935 |
Fannie Mae Pool 735686 | | | | | | | | | |
6.50% | | 12/01/22 | | | | 350,520 | | | 361,074 |
Fannie Mae Pool 735861 | | | | | | | | | |
6.50% | | 09/01/33 | | | | 499,982 | | | 517,309 |
Fannie Mae Pool 764388 | | | | | | | | | |
4.95% | | 03/01/34 | 2 | | | 451,917 | | | 443,215 |
Fannie Mae Pool 770284 | | | | | | | | | |
5.00% | | 04/01/34 | | | | 2,050,286 | | | 2,002,152 |
Fannie Mae Pool 770869 | | | | | | | | | |
4.52% | | 04/01/34 | 2 | | | 641,366 | | | 649,140 |
Fannie Mae Pool 776708 | | | | | | | | | |
5.00% | | 05/01/34 | | | | 1,155,188 | | | 1,128,338 |
Fannie Mae Pool 817611 | | | | | | | | | |
5.33% | | 11/01/35 | 2 | | | 351,776 | | | 346,523 |
Fannie Mae Pool 888430 | | | | | | | | | |
5.00% | | 11/01/33 | | | | 1,536,581 | | | 1,500,508 |
Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | 12/01/21 | | | | 1,869,596 | | | 1,866,894 |
Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | 09/01/36 | | | | 1,854,168 | | | 1,852,357 |
Fannie Mae Pool 895606 | | | | | | | | | |
5.74% | | 06/01/36 | 2 | | | 800,830 | | | 807,889 |
Fannie Mae Pool 939419 | | | | | | | | | |
5.63% | | 05/01/37 | 2 | | | 1,067,174 | | | 1,085,985 |
Freddie Mac 1602 SN | | | | | | | | | |
10.09% | | 10/15/23 | 2 | | | 14,590 | | | 16,176 |
Freddie Mac 2174 PN | | | | | | | | | |
6.00% | | 07/15/29 | | | | 356,522 | | | 365,347 |
Freddie Mac 2451 SP | | | | | | | | | |
11.47% | | 05/15/09 | 2 | | | 40,196 | | | 40,860 |
Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | 05/15/17 | | | | 227,580 | | | 20,384 |
Freddie Mac Gold A25162 | | | | | | | | | |
5.50% | | 05/01/34 | | | | 1,703,124 | | | 1,697,602 |
Freddie Mac Gold A33262 | | | | | | | | | |
5.50% | | 02/01/35 | | | | 200,159 | | | 200,038 |
Freddie Mac Gold A72702 | | | | | | | | | |
5.50% | | 02/01/38 | | | | 1,775,167 | | | 1,767,192 |
Freddie Mac Gold G01548 | | | | | | | | | |
7.50% | | 07/01/32 | | | | 1,142,826 | | | 1,248,906 |
Freddie Mac Gold G01644 | | | | | | | | | |
5.50% | | 02/01/34 | | | | 1,684,112 | | | 1,680,452 |
Freddie Mac Gold G01673 | | | | | | | | | |
5.50% | | 04/01/34 | | | | 87,558 | | | 87,592 |
37 / Semi-Annual Report September 2008
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Freddie Mac Gold G02366 | | | | | | | | | |
6.50% | | 10/01/36 | | | $ | 1,153,730 | | $ | 1,187,036 |
Freddie Mac Gold G03436 | | | | | | | | | |
6.00% | | 11/01/37 | | | | 2,326,905 | | | 2,357,446 |
Freddie Mac Gold G03640 | | | | | | | | | |
5.50% | | 12/01/37 | | | | 1,739,327 | | | 1,731,742 |
Freddie Mac Gold G04079 | | | | | | | | | |
5.50% | | 03/01/38 | | | | 1,961,429 | | | 1,952,875 |
Freddie Mac Gold G12393 | | | | | | | | | |
5.50% | | 10/01/21 | | | | 2,083,573 | | | 2,099,200 |
Freddie Mac Gold G12909 | | | | | | | | | |
6.00% | | 11/01/22 | | | | 1,470,166 | | | 1,498,191 |
Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | 09/01/22 | | | | 1,709,031 | | | 1,741,075 |
Freddie Mac Gold J06246 | | | | | | | | | |
5.50% | | 10/01/21 | | | | 1,436,672 | | | 1,450,154 |
Freddie Mac Non Gold Pool 1B3413 | | | | | | | | | |
5.93% | | 05/01/37 | 2 | | | 1,390,999 | | | 1,417,459 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 152,114 | | | 15,983 |
Ginnie Mae 2004-34 IA (IO) | | | | | | | | | |
5.50% | | 12/20/31 | | | | 22,255 | | | 45 |
Ginnie Mae 2004-8 SE | | | | | | | | | |
7.44% | | 11/26/23 | 2 | | | 228,587 | | | 230,377 |
Ginnie Mae G2SF (TBA) | | | | | | | | | |
6.50% | | 10/15/38 | | | | 1,125,000 | | | 1,150,488 |
Ginnie Mae GNSF (TBA) | | | | | | | | | |
5.50% | | 10/15/38 | | | | 615,000 | | | 615,673 |
6.00% | | 10/15/38 | | | | 980,000 | | | 993,322 |
Ginnie Mae II Pool 80968 | | | | | | | | | |
5.63% | | 07/20/34 | 2 | | | 105,535 | | | 106,729 |
| | | | | | | | | |
| | | | | | | | | 65,877,049 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $89,156,394) | | | | | | | | | 85,676,280 |
| | | | | | | | | |
MUNICIPAL BONDS — 1.40%* | | | | | | | | | |
Georgia — 0.05% | | | | | | | | | |
Metropolitan Atlanta Rapid Transit Authority, Transit Improvements Revenue Bonds, Pre-Refunded 01/01/13 @ 100 (MBIA) | | | | | | | | | |
5.00% | | 07/01/28 | | | | 75,000 | | | 80,008 |
| | | | | | | | | |
Massachusetts — 0.68% | | | | | | | | | |
Commonwealth of Massachusetts, Consolidated Loans, G.O., Series E, Pre-Refunded 01/01/13 @ 100 (MBIA-IBC) | | | | | | | | | |
5.38% | | 01/01/17 | | | | 170,000 | | | 182,461 |
Commonwealth of Massachusetts, G.O., Pre-Refunded 01/01/13 @ 100 (XLCA-ICR) | | | | | | | | | |
5.25% | | 01/01/17 | | | | 245,000 | | | 258,789 |
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA) | | | | | | | | | |
5.25% | | 01/01/18 | | | | 215,000 | | | 229,708 |
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA) | | | | | | | | | |
5.50% | | 03/01/19 | | | | 260,000 | | | 275,972 |
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC) | | | | | | | | | |
5.00% | | 08/01/22 | | | | 140,000 | | | 146,909 |
| | | | | | | | | |
| | | | | | | | | 1,093,839 |
| | | | | | | | | |
South Carolina — 0.10% | | | | | | | | | |
Greenville County School District, School Improvements Revenue Bonds, Pre-Refunded 12/01/12 @ 101 OID | | | | | | | | | |
5.50% | | 12/01/28 | | | | 150,000 | | | 164,649 |
| | | | | | | | | |
Texas — 0.57% | | | | | | | | | |
County of Galveston, Public Improvements G.O., Series C, Pre-Refunded 02/01/13 @ 100 OID (AMBAC) | | | | | | | | | |
5.00% | | 02/01/28 | | | | 240,000 | | | 254,825 |
County of Harris, Flood Control District Contract G.O., Series B, Refunded 10/01/13 @ 100 | | | | | | | | | |
5.25% | | 10/01/20 | | | | 365,000 | | | 395,777 |
5.25% | | 10/01/20 | | | | 30,000 | | | 32,529 |
North Texas Tollway Authority, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 01/01/15 @ 100 (FSA) | | | | | | | | | |
5.00% | | 01/01/30 | | | | 215,000 | | | 226,156 |
| | | | | | | | | |
| | | | | | | | | 909,287 |
| | | | | | | | | |
Total Municipal Bonds (Cost $2,279,851) | | | | | | | | | 2,247,783 |
| | | | | | | | | |
U.S. AGENCY SECURITIES — 4.38% | | | | | | | | | |
U.S. Agency Securities — 4.38% | | | | | | | | | |
Fannie Mae | | | | | | | | | |
6.12% | | 03/15/12 | | | | 2,253,000 | | | 2,433,218 |
Federal Home Loan Bank | | | | | | | | | |
5.75% | | 05/15/12 | | | | 760,000 | | | 807,391 |
Freddie Mac | | | | | | | | | |
5.12% | | 07/15/12 | | | | 885,000 | | | 926,546 |
5.50% | | 08/20/12 | | | | 2,693,000 | | | 2,855,703 |
| | | | | | | | | |
| | | | | | | | | 7,022,858 |
| | | | | | | | | |
Total U.S. Agency Securities (Cost $7,006,256) | | | | | | | | | 7,022,858 |
| | | | | | | | | |
Semi-Annual Report September 2008 / 38
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | | Value | |
U.S. TREASURY SECURITIES — 7.40% | | | | | | | | | | | |
U.S. Treasury Notes — 7.40% | | | | | | | | | | | |
2.50% | | 03/31/13 | | | $ | 3,667,000 | | | $ | 3,609,417 | |
2.00% | | 01/15/16 | 8 | | | 1,443,000 | | | | 1,580,070 | |
3.38% | | 07/31/13 | | | | 1,293,000 | | | | 1,316,941 | |
4.88% | | 08/15/16 | | | | 4,947,000 | | | | 5,356,290 | |
| | | | | | | | | | | |
| | | | | | | | | | 11,862,718 | |
| | | | | | | | | | | |
Total U.S. Treasury Securities (Cost $11,843,501) | | | | | | | | | | 11,862,718 | |
| | | | | | | | | | | |
Total Bonds – 97.34% (Cost $166,316,358) | | | | | | | | | | 156,057,502 | |
| | | | | | | | | | | |
| | | |
Issues | | | | | Contracts | | | Value | |
PUT OPTIONS PURCHASED — 0.06% | | | | | | | | | | | |
U.S. Government — 0.06% | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $118, expires 11/21/08 | | | | | | | | | | | |
| | | | | | 30 | | | | 94,219 | |
| | | | | | | | | | | |
Total Put Options Purchased (Cost $47,877) | | | | | | | | | | 94,219 | |
| | | | | | | | | | | |
| | | |
Issues | | | | | Notional
Amount
(000’s) | | | Value | |
PURCHASED SWAPTIONS — 0.18% | | | | | | | | | | | |
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | |
| | | | | $ | 8,052 | | | | 159,969 | |
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | |
| | | | | | 1,062 | | | | 130,530 | |
| | | | | | | | | | | |
Total Purchased Swaptions (Cost $87,151) | | | | | | | | | | 290,499 | |
| | | | | | | | | | | |
| | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT TERM INVESTMENTS — 18.63% | | | | | | | | | | | |
Commercial Paper — 3.67% | | | | | | | | | | | |
BNP Paribas Finance, Inc. | | | | | | | | | | | |
3.99%9 | | 10/09/08 | | | $ | 2,775,000 | | | $ | 2,772,540 | |
General Electric Capital Corp. | | | | | | | | | | | |
1.75%9 | | 10/01/08 | | | | 1,740,000 | | | | 1,740,000 | |
2.31%9 | | 10/23/08 | | | | 285,000 | | | | 284,599 | |
National Rural Utilities Co. | | | | | | | | | | | |
3.01%9 | | 10/10/08 | | | | 1,090,000 | | | | 1,089,183 | |
| | | | | | | | | | | |
| | | | | | | | | | 5,886,322 | |
| | | | | | | | | | | |
Money Market Fund — 0.45% | | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | | | 725,000 | | | | 725,000 | |
| | | | | | | | | | | |
U.S. Agency Discount Notes — 14.13% | | | | | | | | | | | |
Fannie Mae | | | | | | | | | | | |
0.21%9 | | 10/14/08 | | | | 13,794,000 | | | | 13,792,954 | |
Federal Home Loan Bank | | | | | | | | | | | |
2.05%9 | | 10/17/08 | | | | 1,045,000 | | | | 1,044,048 | |
2.17%9 | | 12/17/08 | | | | 2,697,000 | | | | 2,682,722 | |
2.41%9 | | 12/18/08 | | | | 1,100,000 | | | | 1,094,102 | |
2.45%9 | | 10/27/08 | | | | 1,320,000 | | | | 1,317,674 | |
2.48%9 | | 10/29/08 | | | | 975,000 | | | | 973,168 | |
2.56%9 | | 12/05/08 | | | | 575,000 | | | | 572,430 | |
3.17%9 | | 12/18/08 | | | | 280,000 | | | | 278,499 | |
Freddie Mac | | | | | | | | | | | |
2.41%9 | | 10/20/08 | 10 | | | 895,000 | | | | 893,866 | |
| | | | | | | | | | | |
| | | | | | | | | | 22,649,463 | |
| | | | | | | | | | | |
U.S. Treasury Bills — 0.38% | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | |
0.17%9 | | 10/23/08 | | | | 525,000 | | | | 524,945 | |
1.44%9 | | 10/16/08 | 10 | | | 76,000 | | | | 75,948 | |
| | | | | | | | | | | |
| | | | | | | | | | 600,893 | |
| | | | | | | | | | | |
Total Short Term Investments (Cost $29,863,162) | | | | | | | | | | 29,861,678 | |
| | | | | | | | | | | |
Total Investments – 116.21% (Cost $196,314,548)1 | | | | | | | | | | 186,303,898 | |
| | | | | | | | | | | |
Liabilities in Excess of Other Assets – (16.21)% | | | | | | | | | | (25,986,680 | ) |
| | | | | | | | | | | |
Net Assets – 100.00% | | | | | | | | | $ | 160,317,218 | |
| | | | | | | | | | | |
| | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
CALL OPTIONS WRITTEN | | | | | | | | | | | |
U.S. Long Bond (CBT), Call Strike $122, expires 11/21/08 | | (20 | ) | | $ | (15,582 | ) | | $ | (20,625 | ) |
39 / Semi-Annual Report September 2008
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
CALL OPTIONS WRITTEN (continued) | | | | | | | | | | | |
U.S. Long Bond (CBT), Call Strike $123, expires 11/21/08 | | (20 | ) | | $ | (14,019 | ) | | $ | (16,875 | ) |
| | | | | | | | | | | |
Total Call Options Written | | | | | $ | (29,601 | ) | | $ | (37,500 | ) |
| | | | | | | | | | | |
| | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
WRITTEN PUT OPTIONS | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $116, expires 11/21/08 | | (30 | ) | | $ | (28,997 | ) | | $ | (64,687 | ) |
| | | | | | | | | | | |
Total Written Put Options | | | | | $ | (28,997 | ) | | $ | (64,687 | ) |
| | | | | | | | | | | |
| | | |
Issues | | Notional
Amount
(000’s) | | | Premiums
Received | | | Value | |
WRITTEN SWAPTIONS | | | | | | | | | | | |
Option to enter into a 10-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | |
| | (4,000 | ) | | $ | (87,163 | ) | | $ | (257,528 | ) |
| | | | | | | | | | | |
Total Written Swaptions | | | | | $ | (87,163 | ) | | $ | (257,528 | ) |
| | | | | | | | | | | |
| | | | | |
Contracts | | | | Unrealized
Appreciation |
FUTURES CONTRACTS: LONG POSITIONS | | | |
48 | | U.S. Treasury Five Year Note, December 2008 | | $ | 18,102 |
| | | | | |
| | Net unrealized appreciation | | $ | 18,102 |
| | | | | |
| | |
Contracts | | | | Unrealized
Appreciation |
FUTURES CONTRACTS: SHORT POSITIONS | | | |
10 | | U.S. Treasury Two Year Note, December 2008 | | $ | 18,146 |
| | | | | |
| | Net unrealized appreciation | | $ | 18,146 |
| | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 3,267 | | $ | (25,898 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/15/10 | | | 780 | | | 17,902 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 12/15/10 | | $ | 1,340 | | $ | 27,663 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/15/10 | �� | | 1,880 | | | 39,125 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.26% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 04/30/11 | | | 540 | | | 31,144 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.37% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 04/30/11 | | | 555 | | | 33,659 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/11 | | | 9,480 | | | 80,612 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/11 | | | 4,310 | | | 37,610 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/11 | | | 7,180 | | | 59,385 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/11 | | | 4,310 | | | 52,712 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.03% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/11 | | | 10,630 | | | 10,246 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.40% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 02/26/13 | | | 767 | | | (17,922 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.70% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 02/26/13 | | | 1,523 | | | (16,887 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/19 | | | 2,310 | | | (62,778 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/19 | | | 1,050 | | | (36,139 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/19 | | | 1,050 | | | (31,354 | ) |
Semi-Annual Report September 2008 / 40
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE (continued) | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/19 | | $ | 1,750 | | $ | (48,148 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/19 | | | 2,590 | | | (2,444 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 500 | | | (2,929 | ) |
| | | | | | | | | |
| | | | | | | $ | 145,559 | |
| | | | | | | | | |
| SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley | | | | | | | | | |
| | 09/20/12 | | | 250 | | | 9,102 | |
The Fund pays a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/20/12 | | | 250 | | | 12,219 | |
The Fund pays a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 150 | | | 3,016 | |
The Fund pays a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 440 | | | 106,984 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 135 | | | (6,440 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 40 | | | (2,052 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 90 | | | (4,715 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 135 | | | (6,878 | ) |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 325 | | | 41,073 | |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 175 | | | 5,397 | |
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | $ | 175 | | $ | 5,530 | |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 135 | | | (1,896 | ) |
The Fund pays a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 300 | | | (3,673 | ) |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 190 | | | (2,669 | ) |
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 75 | | | 2,099 | |
The Fund pays a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 175 | | | 6,056 | |
The Fund pays a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 275 | | | 8,464 | |
The Fund pays a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 175 | | | 5,253 | |
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 100 | | | 1,137 | |
The Fund pays a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 75 | | | 911 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 275 | | | 2,697 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 175 | | | 1,716 | |
The Fund pays a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 325 | | | 14,620 | |
41 / Semi-Annual Report September 2008
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | | | | | | | | | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | $ | 50 | | $ | 2,124 | |
The Fund pays a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 150 | | | 3,240 | |
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 175 | | | 5,453 | |
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 120 | | | 3,380 | |
The Fund pays a fixed rate equal to 1.24% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 250 | | | 10,994 | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 75 | | | (582 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | | 75 | | | (582 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 375 | | | 25,053 | |
The Fund pays a fixed rate equal to 3.52% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 125 | | | (5,184 | ) |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 225 | | | (18,610 | ) |
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 06/20/13 | | | 80 | | | 791 | |
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/13 | | | 200 | | | (357 | ) |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 250 | | | 12,939 | |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 150 | | | (2,052 | ) |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 225 | | | (20,275 | ) |
The Fund pays a fixed rate equal to 0.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX NA AAA 4, due 02/17/51. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 02/17/49 | | | 535 | | | 49,936 | |
| | | | | | | | | |
| | | | | | | $ | 264,219 | |
| | | | | | | | | |
| SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/09 | | | 500 | | | (8,405 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 110 | | | (96,970 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 755 | | | (361,727 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 105 | | | (92,562 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 1,500 | | | (718,663 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 580 | | | (277,883 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 180 | | | (86,240 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 900 | | | (431,198 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 1,000 | | | (493,527 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 250 | | | (123,382 | ) |
Semi-Annual Report September 2008 / 42
Intermediate Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | | | | | | | | | |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | $ | 350 | | $ | (172,734 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 200 | | | (98,705 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | | 150 | | | (74,029 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 500 | | | (246,763 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 105 | | | (92,195 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 375 | | | (329,268 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 210 | | | (184,390 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 225 | | | (70,197 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 300 | | | (230,888 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 350 | | | (269,369 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 350 | | | (269,369 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 250 | | | (192,407 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | | 200 | | | (153,925 | ) |
| | | | | | | | | |
| | | | | | | $ | (5,074,796 | ) |
| | | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $196,498,791 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 997,345 | |
Gross unrealized depreciation | | | (11,192,238 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (10,194,893 | ) |
| | | | |
2 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $9,843,021 representing 6.14% of total net assets. |
6 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
| 05/09/08 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | $ | 749,498 | | $ | 744,208 | | 0.47 | % |
| 10/22/07 | | HCA Term Loan A, 5.76%, 11/18/12 | | | 700,001 | | | 631,786 | | 0.39 | % |
| | | | | | | | | | | |
| | | | $ | 1,449,499 | | $ | 1,375,994 | | 0.86 | % |
| | | | | | | | | | | |
7 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
8 | Inflation protected security. Principal amount reflects original security face amount. |
9 | Represents annualized yield at date of purchase. |
10 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $5,797,481 which is 3.62% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(AMBAC): Americian Municipal Bond Insurance
(CBT): Chicago Board of Trade
(FGIC): Financial Guaranty Insurance Corp.
(FSA): Financial Security Assurance
(G.O.): General Obligation
(IBC): Insured Bond Certificate
(ICR): Insured Capital Receipts
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MBIA): Municipal Bond Insurance Association
(MTN): Medium term note
(OID): Original Issue Discount
(STEP): Step coupon bond
43 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS —102.50% | | | | | | | | | |
ASSET-BACKED SECURITIES — 5.82%** | | | | | | | | | |
Amresco Residential Securities Mortgage Loan Trust 1998-2 B1F | | | | | | | | | |
7.72% | | 06/25/28 | 2,3 | | $ | 16,027 | | $ | 4,678 |
Asset Backed Funding Certificates 2006-HE1 A2D | | | | | | | | | |
3.43% | | 01/25/37 | 3 | | | 18,144,000 | | | 9,702,504 |
Asset Backed Funding Certificates 2006-OPT2 A3D | | | | | | | | | |
3.43% | | 10/25/36 | 3 | | | 8,375,000 | | | 3,894,551 |
Asset Backed Funding Certificates 2007-WMC1 A2B | | | | | | | | | |
4.21% | | 06/25/37 | 3 | | | 41,977,000 | | | 22,733,190 |
Asset Backed Securities Corp. Home Equity 2003-HE4 M2 | | | | | | | | | |
4.49% | | 08/15/33 | 3 | | | 6,028,380 | | | 4,558,697 |
Bayview Financial Acquisition Trust 2005-B 1A3 (STEP) | | | | | | | | | |
4.89% | | 04/28/39 | | | | 9,436,996 | | | 8,385,658 |
Bear Stearns Asset Backed Securities Trust 2007-2 A1 | | | | | | | | | |
3.40% | | 01/25/47 | 3 | | | 2,579,992 | | | 2,444,469 |
Birch Real Estate CDO Ltd. 1A A1 | | | | | | | | | |
5.16% | | 02/10/38 | 4,† | | | 2,205,000 | | | 1,917,224 |
BNC Mortgage Loan Trust 2007-1 A3 | | | | | | | | | |
3.31% | | 03/25/37 | 3 | | | 12,881,000 | | | 9,804,458 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH4 M3B | | | | | | | | | |
4.21% | | 07/25/37 | 3,† | | | 3,090,000 | | | 559,515 |
Conseco Finance 2001-C A5 (STEP) | | | | | | | | | |
7.29% | | 08/15/33 | | | | 6,217,766 | | | 6,114,506 |
Countrywide Asset-Backed Certificates 2007-6 2A1 | | | | | | | | | |
3.31% | | 09/25/37 | 3 | | | 13,934,138 | | | 13,066,944 |
Embarcadero Aircraft Securitization Trust 2000-A A1 | | | | | | | | | |
2.97% | | 08/15/25 | 3,4,† | | | 1,619,568 | | | 1,068,984 |
First Union Home Equity Loan Trust 1997-3 B | | | | | | | | | |
7.38% | | 03/25/29 | | | | 156,752 | | | 23,524 |
Genesis Funding Ltd. 2006-1A G1 | | | | | | | | | |
3.27% | | 12/19/32 | 3,4,† | | | 12,600,000 | | | 8,947,082 |
GMAC Commercial Mortgage Securities, Inc. 1998-C2 X (IO) | | | | | | | | | |
0.92% | | 05/15/35 | 2,3 | | | 42,885,481 | | | 1,393,770 |
GMAC Commercial Mortgage Securities, Inc. 2002-C2 A3 | | | | | | | | | |
5.71% | | 10/15/38 | | | | 28,350,000 | | | 27,677,427 |
GMAC Commercial Mortgage Securities, Inc. 2004-C3 A4 | | | | | | | | | |
4.55% | | 12/10/41 | | | | 435,000 | | | 410,267 |
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | 12/15/22 | | | | 381,586 | | | 306,466 |
IndyMac Residential Asset Backed Trust 2007-A 2A4A | | | | | | | | | |
3.53% | | 04/25/47 | 3 | | | 6,256,000 | | | 2,780,187 |
Inman Square Funding Ltd. 2005-2A I | | | | | | | | | |
3.24% | | 10/06/40 | 2,3,4,† | | | 3,526,075 | | | 1,480,952 |
Keystone Owner Trust 1998-P2 A5 (STEP) | | | | | | | | | |
7.90% | | 01/25/29 | 4 | | | 838,346 | | | 835,901 |
Lehman XS Trust 2006-GP1 A4A | | | | | | | | | |
3.54% | | 05/25/46 | 2,3 | | | 33,795,679 | | | 8,350,622 |
Long Beach Mortgage Loan Trust 2006-11 2A4 | | | | | | | | | |
3.44% | | 12/25/36 | 3 | | | 11,750,000 | | | 5,259,656 |
Merrill Lynch First Franklin Mortgage Loan Trust 2007-1 A2C | | | | | | | | | |
3.46% | | 04/25/37 | 3 | | | 14,700,000 | | | 8,232,000 |
Morgan Stanley Mortgage Loan Trust 2007-10XS A18 | | | | | | | | | |
6.00% | | 07/25/47 | 3 | | | 36,173,612 | | | 32,827,553 |
Nomura Asset Acceptance Corp. 2006-S1 A1 | | | | | | | | | |
3.35% | | 01/25/36 | 3,4 | | | 740,352 | | | 637,812 |
Oakwood Mortgage Investors, Inc. 2001-D A3 | | | | | | | | | |
5.90% | | 09/15/22 | 3 | | | 348,766 | | | 278,271 |
Oakwood Mortgage Investors, Inc. 2001-D A4 | | | | | | | | | |
6.93% | | 09/15/31 | 3 | | | 2,505,541 | | | 2,091,656 |
Oakwood Mortgage Investors, Inc. 2002-B A2 | | | | | | | | | |
5.19% | | 09/15/19 | 3 | | | 1,258,115 | | | 1,074,901 |
PAMCO CLO 1998-1A B2 | | | | | | | | | |
4.15% | | 05/01/10 | 3,4,† | | | 2,215,778 | | | 1,939,188 |
Popular ABS Mortgage Pass-Through Trust 2005-3 AF6 (STEP) | | | | | | | | | |
4.76% | | 07/25/35 | | | | 5,810,000 | | | 5,155,523 |
Popular ABS Mortgage Pass-Through Trust 2007-A A3 | | | | | | | | | |
3.52% | | 06/25/47 | 3 | | | 21,277,500 | | | 13,011,706 |
Renaissance Home Equity Loan Trust 2007-1 N | | | | | | | | | |
9.79% | | 04/25/37 | 2,4,† | | | 3,702,916 | | | 299,419 |
Residential Asset Mortgage Products, Inc. 2003-RS11 AI6A (STEP) | | | | | | | | | |
5.98% | | 12/25/33 | | | | 244,291 | | | 191,479 |
Residential Funding Mortgage Securities II, Inc. 1999-HI6 AI7 (STEP) | | | | | | | | | |
8.60% | | 09/25/29 | | | | 676,715 | | | 590,050 |
Residential Funding Mortgage Securities II, Inc. 2000-HI1 AI7 (STEP) | | | | | | | | | |
8.29% | | 02/25/25 | | | | 371,335 | | | 325,678 |
Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 3,4 | | | 6,384,896 | | | 4,712,335 |
Saxon Asset Securities Trust 2007-1 A2C | | | | | | | | | |
3.36% | | 01/25/47 | 3 | | | 8,135,000 | | | 5,476,342 |
Semi-Annual Report September 2008 / 44
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | | | | | |
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A | | | | | | | | | |
3.34% | | 05/25/37 | 3 | | $ | 26,575,726 | | $ | 24,774,662 |
SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 3 | | | 4,646,956 | | | 3,928,327 |
Signature 5 CBO | | | | | | | | | |
4.00% | | 10/15/09 | 2,† | | | 2,000,000 | | | 200,086 |
Soundview Home Equity Loan Trust 2006-EQ1 A3 | | | | | | | | | |
3.37% | | 10/25/36 | 3 | | | 19,051,000 | | | 14,195,281 |
Soundview Home Equity Loan Trust 2006-EQ1 A4 | | | | | | | | | |
3.46% | | 10/25/36 | 3 | | | 6,350,000 | | | 3,701,051 |
Soundview Home Equity Loan Trust 2006-EQ2 A4 | | | | | | | | | |
3.45% | | 01/25/37 | 3 | | | 11,864,000 | | | 5,635,981 |
Soundview Home Equity Loan Trust 2007-NS1 A4 | | | | | | | | | |
3.51% | | 01/25/37 | 3 | | | 12,355,000 | | | 7,041,153 |
Structured Asset Receivables Trust 2003-1 | | | | | | | | | |
3.29% | | 01/21/10 | 3,4,† | | | 5,315,109 | | | 4,916,478 |
Structured Asset Receivables Trust 2003-2 | | | | | | | | | |
3.19% | | 01/21/09 | 3,4,† | | | 1,023,865 | | | 952,195 |
Structured Asset Securities Corp. 2007-EQ1 A4 | | | | | | | | | |
3.46% | | 03/25/37 | 3 | | | 26,325,800 | | | 13,809,462 |
Terwin Mortgage Trust 2005-7SL A1 | | | | | | | | | |
3.48% | | 07/25/35 | 3,4 | | | 176,706 | | | 169,615 |
Terwin Mortgage Trust 2006-4SL A2 | | | | | | | | | |
4.50% | | 05/25/37 | 2,3,4,† | | | 23,030,000 | | | 7,368,262 |
Terwin Mortgage Trust 2006-6 1A2 | | | | | | | | | |
4.75% | | 07/25/37 | 2,3,† | | | 42,500,000 | | | 20,822,549 |
Terwin Mortgage Trust 2007-9SL M1 | | | | | | | | | |
5.71% | | 06/25/38 | 3,4,† | | | 12,000,000 | | | 1,800,535 |
Vanderbilt Acquisition Loan Trust 2002-1 A4 | | | | | | | | | |
6.57% | | 05/07/27 | 3 | | | 5,280,000 | | | 5,033,102 |
| | | | | | | | | |
Total Asset-Backed Securities | | | | | | | | | |
(Cost $424,822,446) | | | | | | | | | 332,913,884 |
| | | | | | | | | |
CORPORATES — 20.80%* | | | | | | | | | |
Automotive — 0.03% | | | | | | | | | |
General Motors Corp. | | | | | | | | | |
7.38% | | 05/23/48 | | | | 5,200,000 | | | 1,742,000 |
Metaldyne Corp. | | | | | | | | | |
10.00% | | 11/01/13 | | | | 200,000 | | | 31,000 |
| | | | | | | | | |
| | | | | | | | | 1,773,000 |
| | | | | | | | | |
Banking — 4.88% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | |
5.75% | | 12/01/17 | | | | 8,500,000 | | | 7,220,129 |
8.00% | | 12/29/49 | 3 | | | 35,778,000 | | | 28,374,172 |
8.13% | | 12/29/49 | 3 | | | 10,000,000 | | | 8,091,900 |
Bank One Corp. (STEP) | | | | | | | | | |
9.88% | | 03/01/19 | | | | 1,165,000 | | | 1,177,802 |
BankAmerica Capital II | | | | | | | | | |
8.00% | | 12/15/26 | | | | 800,000 | | | 685,826 |
BankAmerica Institutional A | | | | | | | | | |
8.07% | | 12/31/26 | 4 | | | 350,000 | | | 300,757 |
Banponce Trust I A | | | | | | | | | |
8.33% | | 02/01/27 | | | | 12,675,000 | | | 11,774,619 |
Credit Suisse/New York | | | | | | | | | |
5.00% | | 05/15/13 | | | | 16,178,000 | | | 15,007,085 |
6.00% | | 02/15/18 | | | | 28,800,000 | | | 25,133,645 |
Deutsche Bank AG/London | | | | | | | | | |
4.88% | | 05/20/13 | | | | 15,490,000 | | | 14,810,717 |
HBOS Capital Funding LP | | | | | | | | | |
6.07% | | 06/24/49 | 3,4 | | | 7,853,000 | | | 5,083,160 |
HBOS PLC | | | | | | | | | |
5.92% | | 09/29/49 | 3,4 | | | 37,572,000 | | | 22,186,454 |
6.75% | | 05/21/18 | 4 | | | 12,570,000 | | | 10,557,254 |
JPMorgan Chase & Co. | | | | | | | | | |
6.40% | | 05/15/38 | | | | 37,114,000 | | | 32,184,222 |
JPMorgan Chase & Co. 1 | | | | | | | | | |
7.90% | | 12/31/49 | 3 | | | 44,027,000 | | | 37,164,556 |
JPMorgan Chase & Co. C (MTN) | | | | | | | | | |
8.55% | | 07/23/13 | 3 | | | 2,500,000 | | | 2,199,250 |
JPMorgan Chase Capital XIII M | | | | | | | | | |
4.71% | | 09/30/34 | 3 | | | 3,250,000 | | | 2,512,572 |
National Australia Bank Ltd. | | | | | | | | | |
5.35% | | 06/12/13 | 4 | | | 25,750,000 | | | 23,086,871 |
National Australia Bank Ltd. A | | | | | | | | | |
8.60% | | 05/19/10 | | | | 13,144,000 | | | 13,766,894 |
National Capital Trust II | | | | | | | | | |
5.49% | | 12/29/49 | 3,4 | | | 2,425,000 | | | 1,983,633 |
Nationsbank Capital Trust III | | | | | | | | | |
3.34% | | 01/15/27 | 3 | | | 8,514,000 | | | 6,018,538 |
Sovereign Capital Trust VI | | | | | | | | | |
7.91% | | 06/13/36 | | | | 13,375,000 | | | 9,811,940 |
| | | | | | | | | |
| | | | | | | | | 279,131,996 |
| | | | | | | | | |
Basic Industry — 0.03% | | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc. | | | | | | | | | |
7.08% | | 04/01/15 | 3 | | | 350,000 | | | 335,699 |
Massey Energy Co. | | | | | | | | | |
6.88% | | 12/15/13 | | | | 1,500,000 | | | 1,365,000 |
| | | | | | | | | |
| | | | | | | | | 1,700,699 |
| | | | | | | | | |
45 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Communications — 0.31% | | | | | | | | | |
Cincinnati Bell, Inc. | | | | | | | | | |
7.25% | | 07/15/13 | | | $ | 525,000 | | $ | 475,125 |
Citizens Communications Co. | | | | | | | | | |
6.62% | | 03/15/15 | | | | 1,400,000 | | | 1,211,000 |
CSC Holdings, Inc. B | | | | | | | | | |
7.62% | | 04/01/11 | | | | 1,575,000 | | | 1,523,813 |
Dex Media West LLC/Dex Media Finance Co. B | | | | | | | | | |
8.50% | | 08/15/10 | | | | 3,075,000 | | | 2,729,062 |
Hawaiian Telcom Communications, Inc. B | | | | | | | | | |
9.75% | | 05/01/13 | | | | 775,000 | | | 193,750 |
Idearc, Inc. | | | | | | | | | |
8.00% | | 11/15/16 | | | | 900,000 | | | 249,750 |
Intelsat Corp. | | | | | | | | | |
9.25% | | 08/15/14 | 4 | | | 880,000 | | | 827,200 |
Level 3 Financing, Inc. | | | | | | | | | |
8.75% | | 02/15/17 | | | | 575,000 | | | 419,750 |
9.25% | | 11/01/14 | | | | 250,000 | | | 190,000 |
Mediacom LLC/Mediacom Capital Corp. | | | | | | | | | |
9.50% | | 01/15/13 | | | | 750,000 | | | 675,000 |
Qwest Communications International, Inc. | | | | | | | | | |
7.25% | | 02/15/11 | | | | 200,000 | | | 190,500 |
Qwest Communications International, Inc. B | | | | | | | | | |
7.50% | | 02/15/14 | | | | 4,000,000 | | | 3,480,000 |
Qwest Corp. | | | | | | | | | |
5.62% | | 11/15/08 | | | | 1,750,000 | | | 1,741,250 |
Sprint Nextel Corp. | | | | | | | | | |
4.17% | | 06/28/10 | 3 | | | 850,000 | | | 792,033 |
Videotron Ltd. | | | | | | | | | |
9.12% | | 04/15/18 | 4 | | | 850,000 | | | 862,750 |
Windstream Corp. | | | | | | | | | |
8.12% | | 08/01/13 | | | | 1,600,000 | | | 1,528,000 |
8.62% | | 08/01/16 | | | | 500,000 | | | 463,750 |
| | | | | | | | | |
| | | | | | | | | 17,552,733 |
| | | | | | | | | |
Consumer Products — 0.01% | | | | | | | | | |
Visant Holding Corp. | | | | | | | | | |
8.75% | | 12/01/13 | | | | 925,000 | | | 853,312 |
| | | | | | | | | |
Electric — 3.01% | | | | | | | | | |
Appalachian Power Co. | | | | | | | | | |
6.60% | | 05/01/09 | | | | 9,671,000 | | | 9,797,664 |
Aquila, Inc. | | | | | | | | | |
7.95% | | 02/01/11 | | | | 7,375,000 | | | 7,640,279 |
14.88% | | 07/01/12 | | | | 1,000,000 | | | 1,107,167 |
Calpine Construction Finance Co., LP | | | | | | | | | |
11.60% | | 08/26/11 | 3,4 | | | 11,625,000 | | | 12,555,000 |
Cedar Brakes I LLC | | | | | | | | | |
8.50% | | 02/15/14 | 4 | | | 6,593,772 | | | 7,066,308 |
Cedar Brakes II LLC | | | | | | | | | |
9.88% | | 09/01/13 | 4 | | | 8,735,556 | | | 9,510,767 |
Cleco Power LLC | | | | | | | | | |
6.65% | | 06/15/18 | | | | 20,000,000 | | | 19,097,340 |
Consolidated Edison Co. of New York, Inc. 08-A | | | | | | | | | |
5.85% | | 04/01/18 | | | | 15,004,000 | | | 14,270,004 |
Entergy Gulf States Louisianna LLC | | | | | | | | | |
6.00% | | 05/01/18 | 4 | | | 17,500,000 | | | 16,107,088 |
Entergy Gulf States, Inc. | | | | | | | | | |
5.25% | | 08/01/15 | | | | 4,600,000 | | | 4,243,758 |
FPL Group Capital, Inc. | | | | | | | | | |
5.35% | | 06/15/13 | | | | 3,235,000 | | | 3,314,055 |
GWF Energy LLC | | | | | | | | | |
6.13% | | 12/30/11 | 4 | | | 2,408,986 | | | 2,502,363 |
Ipalco Enterprises, Inc. | | | | | | | | | |
7.25% | | 04/01/16 | 4 | | | 300,000 | | | 288,000 |
Kansas City Power & Light Co. | | | | | | | | | |
6.38% | | 03/01/18 | | | | 7,025,000 | | | 6,587,595 |
Mirant Mid Atlantic LLC A | | | | | | | | | |
8.62% | | 06/30/12 | | | | 14,804,293 | | | 15,488,991 |
Potomac Electric Power Co. | | | | | | | | | |
5.88% | | 10/15/08 | | | | 125,000 | | | 125,050 |
Power Contract Financing LLC | | | | | | | | | |
6.26% | | 02/01/10 | 4 | | | 4,353,623 | | | 4,411,526 |
Public Service Co. of New Hampshire | | | | | | | | | |
6.00% | | 05/01/18 | | | | 5,000,000 | | | 4,688,050 |
Public Service Co. of New Mexico | | | | | | | | | |
7.95% | | 05/15/18 | | | | 17,849,000 | | | 16,875,337 |
Reliant Energy, Inc. | | | | | | | | | |
6.75% | | 12/15/14 | | | | 2,805,000 | | | 2,412,300 |
SWEPCO Capital Trust I | | | | | | | | | |
5.25% | | 10/01/43 | 3 | | | 14,325,000 | | | 14,359,093 |
| | | | | | | | | |
| | | | | | | | | 172,447,735 |
| | | | | | | | | |
Energy — 0.72% | | | | | | | | | |
AES Corp. (The) | | | | | | | | | |
8.75% | | 05/15/13 | 4 | | | 800,000 | | | 808,000 |
Allis-Chalmers Energy, Inc. | | | | | | | | | |
9.00% | | 01/15/14 | | | | 500,000 | | | 452,500 |
Atlas Energy Resources, LLC | | | | | | | | | |
10.75% | | 02/01/18 | 4 | | | 1,000,000 | | | 917,500 |
Chesapeake Energy Corp. | | | | | | | | | |
7.00% | | 08/15/14 | | | | 500,000 | | | 470,000 |
Comstock Resources, Inc. | | | | | | | | | |
6.88% | | 03/01/12 | | | | 850,000 | | | 773,500 |
Corral Finans AB (PIK) | | | | | | | | | |
4.29% | | 04/15/10 | 4 | | | 522,763 | | | 428,666 |
Semi-Annual Report September 2008 / 46
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Energy (continued) | | | | | | | | | |
Griffin Coal Mining Co. Ltd. (The) | | | | | | | | | |
9.50% | | 12/01/16 | 4 | | $ | 500,000 | | $ | 322,500 |
Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | 11/01/15 | 4 | | | 550,000 | | | 475,750 |
Mirant Americas Generation LLC | | | | | | | | | |
8.30% | | 05/01/11 | | | | 1,500,000 | | | 1,451,250 |
Newfield Exploration Co. | | | | | | | | | |
7.12% | | 05/15/18 | | | | 500,000 | | | 437,500 |
NRG Energy, Inc. | | | | | | | | | |
7.38% | | 01/15/17 | | | | 1,000,000 | | | 912,500 |
OPTI Canada, Inc. | | | | | | | | | |
7.88% | | 12/15/14 | | | | 750,000 | | | 667,500 |
Sabine Pass LNG LP | | | | | | | | | |
7.25% | | 11/30/13 | | | | 16,425,000 | | | 13,057,875 |
Sonat, Inc. | | | | | | | | | |
7.62% | | 07/15/11 | | | | 1,600,000 | | | 1,627,256 |
Southern Union Co. | | | | | | | | | |
7.20% | | 11/01/66 | 3 | | | 10,975,000 | | | 8,115,003 |
Tesoro Corp. | | | | | | | | | |
6.50% | | 06/01/17 | | | | 1,175,000 | | | 945,875 |
Virginia Electric & Power Co. | | | | | | | | | |
5.10% | | 11/30/12 | | | | 9,295,000 | | | 9,106,869 |
| | | | | | | | | |
| | | | | | | | | 40,970,044 |
| | | | | | | | | |
Finance — 6.68% | | | | | | | | | |
ABX Financing Co. | | | | | | | | | |
6.35% | | 10/15/36 | 4 | | | 5,000,000 | | | 4,142,435 |
Bear Stearns Cos., Inc. (The) (MTN) | | | | | | | | | |
3.06% | | 07/16/09 | 3 | | | 8,910,000 | | | 8,869,541 |
Citigroup Capital XXI | | | | | | | | | |
8.30% | | 12/21/57 | 3 | | | 11,637,000 | | | 8,689,336 |
Citigroup, Inc. | | | | | | | �� | | |
5.50% | | 04/11/13 | | | | 6,291,000 | | | 5,496,459 |
6.50% | | 08/19/13 | | | | 29,915,000 | | | 26,614,269 |
6.88% | | 03/05/38 | | | | 24,257,000 | | | 19,896,271 |
8.40% | | 04/30/49 | 3 | | | 30,132,000 | | | 20,547,312 |
Countrywide Financial Corp. (Convertible) | | | | | | | | | |
0.00% | | 04/15/37 | 3 | | | 2,500,000 | | | 2,462,500 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 3 | | | 11,365,000 | | | 10,683,100 |
3.42% | | 03/24/09 | 3 | | | 19,505,000 | | | 19,041,269 |
5.80% | | 06/07/12 | | | | 16,150,000 | | | 12,987,074 |
Countrywide Financial Corp. A (MTN) | | | | | | | | | |
3.33% | | 12/19/08 | 3 | | | 3,480,000 | | | 3,271,200 |
Countrywide Home Loans, Inc. K (MTN) | | | | | | | | | |
5.62% | | 07/15/09 | | | | 7,280,000 | | | 6,611,993 |
Countrywide Home Loans, Inc. L (MTN) | | | | | | | | | |
4.00% | | 03/22/11 | | | | 20,645,000 | | | 17,772,001 |
Credit Suisse Guernsey Ltd. 1 | | | | | | | | | |
3.49% | | 05/29/49 | 3 | | | 15,933,000 | | | 10,166,369 |
Ford Motor Credit Co. LLC | | | | | | | | | |
5.54% | | 01/13/12 | 3 | | | 3,809,000 | | | 2,399,670 |
5.80% | | 01/12/09 | | | | 4,851,000 | | | 4,606,199 |
7.24% | | 04/15/12 | 3 | | | 2,925,000 | | | 2,704,522 |
7.80% | | 06/01/12 | | | | 7,750,000 | | | 4,815,532 |
8.00% | | 12/15/16 | | | | 2,750,000 | | | 1,741,006 |
General Electric Capital Corp. | | | | | | | | | |
5.62% | | 05/01/18 | | | | 12,652,000 | | | 10,713,283 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 3 | | | 46,633,000 | | | 21,557,130 |
6.62% | | 05/15/12 | | | | 8,706,000 | | | 3,688,219 |
7.25% | | 03/02/11 | | | | 2,700,000 | | | 1,277,618 |
Goldman Sachs Group LP | | | | | | | | | |
4.50% | | 06/15/10 | | | | 6,220,000 | | | 5,776,184 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
2.98% | | 02/06/12 | 3 | | | 1,160,000 | | | 901,096 |
3.29% | | 01/12/15 | 3 | | | 3,800,000 | | | 2,476,475 |
4.75% | | 07/15/13 | | | | 19,150,000 | | | 15,779,497 |
6.15% | | 04/01/18 | | | | 21,090,000 | | | 17,566,409 |
Goldman Sachs Group, Inc. (The) (MTN) B | | | | | | | | | |
3.19% | | 07/22/15 | 3 | | | 7,975,000 | | | 6,021,125 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
0.00% | | 06/20/16 | | | | 12,736,000 | | | 1,700,787 |
2.52% | | 11/24/08 | | | | 3,765,000 | | | 502,784 |
2.85% | | 12/23/08 | | | | 2,850,000 | | | 380,594 |
8.92% | | 02/16/17 | | | | 7,103,000 | | | 948,547 |
11.00% | | 11/07/16 | | | | 12,918,000 | | | 1,725,091 |
Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | 11/30/10 | | | | 6,812,000 | | | 909,686 |
Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
2.62% | | 05/18/17 | 3 | | | 2,625,000 | | | 2,111,550 |
4.61% | | 05/20/09 | 3 | | | 7,000,000 | | | 6,834,604 |
8.68% | | 05/02/17 | 3 | | | 1,795,000 | | | 1,369,854 |
9.57% | | 06/06/17 | 3 | | | 10,481,000 | | | 8,522,625 |
Morgan Stanley | | | | | | | | | |
3.07% | | 01/15/10 | 3 | | | 2,625,000 | | | 1,971,567 |
4.00% | | 01/15/10 | | | | 17,940,000 | | | 14,621,100 |
4.25% | | 05/15/10 | | | | 15,030,000 | | | 12,217,391 |
5.38% | | 10/15/15 | | | | 9,480,000 | | | 5,883,335 |
6.75% | | 04/15/11 | | | | 530,000 | | | 392,469 |
Morgan Stanley (MTN) | | | | | | | | | |
6.62% | | 04/01/18 | | | | 1,290,000 | | | 854,625 |
Onbank Capital Trust I | | | | | | | | | |
9.25% | | 02/01/27 | | | | 10,200,000 | | | 10,588,102 |
Pemex Finance Ltd. | | | | | | | | | |
8.88% | | 11/15/10 | † | | | 225,000 | | | 239,125 |
47 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Finance (continued) | | | | | | | | | |
Toyota Motor Credit Corp. (MTN) | | | | | | | | | |
8.00% | | 10/24/13 | 3 | | $ | 7,992,000 | | $ | 7,576,416 |
Wachovia Bank NA | | | | | | | | | |
6.00% | | 11/15/17 | | | | 21,022,000 | | | 15,661,390 |
Wachovia Capital Trust I | | | | | | | | | |
7.64% | | 01/15/27 | 4 | | | 265,000 | | | 152,375 |
Wachovia Capital Trust III | | | | | | | | | |
5.80% | | 03/15/42 | | | | 4,550,000 | | | 1,911,860 |
Wachovia Corp. | | | | | | | | | |
7.98% | | 09/29/49 | 3 | | | 6,185,000 | | | 2,588,361 |
Woodbourne Capital Trust I | | | | | | | | | |
4.97% | | 04/08/49 | 2,3,4 | | | 1,350,000 | | | 796,500 |
Woodbourne Capital Trust II | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,350,000 | | | 796,500 |
Woodbourne Capital Trust III | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,350,000 | | | 796,500 |
Woodbourne Capital Trust IV | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 1,350,000 | | | 796,500 |
| | | | | | | | | |
| | | | | | | | | 382,125,332 |
| | | | | | | | | |
Health Care — 0.03% | | | | | | | | | |
Community Health Systems, Inc. | | | | | | | | | |
8.88% | | 07/15/15 | | | | 1,250,000 | | | 1,193,750 |
Tenet Healthcare Corp. | | | | | | | | | |
7.38% | | 02/01/13 | | | | 400,000 | | | 366,000 |
| | | | | | | | | |
| | | | | | | | | 1,559,750 |
| | | | | | | | | |
Industrials — 0.26% | | | | | | | | | |
General Electric Co. | | | | | | | | | |
5.25% | | 12/06/17 | | | | 16,828,000 | | | 14,750,853 |
| | | | | | | | | |
Insurance — 0.87% | | | | | | | | | |
Fairfax Financial Holdings Ltd. | | | | | | | | | |
7.75% | | 04/26/12 | | | | 6,590,000 | | | 6,524,100 |
Farmers Exchange Capital | | | | | | | | | |
7.05% | | 07/15/28 | 4 | | | 2,926,000 | | | 2,341,096 |
7.20% | | 07/15/48 | 4 | | | 1,392,000 | | | 1,076,447 |
Farmers Insurance Exchange | | | | | | | | | |
8.62% | | 05/01/24 | 4 | | | 11,127,000 | | | 10,642,920 |
MetLife Capital Trust X | | | | | | | | | |
9.25% | | 04/08/38 | 3,4 | | | 11,500,000 | | | 10,942,250 |
Nationwide Mutual Insurance Co. | | | | | | | | | |
6.60% | | 04/15/34 | 4 | | | 15,939,000 | | | 12,905,458 |
ZFS Finance USA Trust I | | | | | | | | | |
6.15% | | 12/15/65 | 3,4 | | | 7,549,000 | | | 5,484,801 |
| | | | | | | | | |
| | | | | | | | | 49,917,072 |
| | | | | | | | | |
Materials — 0.25% | | | | | | | | | |
Barrick Gold Finance Co. LLC (MTN) | | | | | | | | | |
6.12% | | 09/15/13 | | | | 14,760,000 | | | 14,520,593 |
| | | | | | | | | |
Real Estate Investment Trust (REIT) — 2.24% | | | | | | | | | |
BRE Properties, Inc. | | | | | | | | | |
7.45% | | 01/15/11 | | | | 9,280,000 | | | 9,357,349 |
Colonial Realty LP | | | | | | | | | |
4.75% | | 02/01/10 | | | | 176,000 | | | 170,175 |
Developers Diversified Realty Corp. | | | | | | | | | |
4.62% | | 08/01/10 | | | | 620,000 | | | 594,897 |
5.25% | | 04/15/11 | | | | 3,430,000 | | | 3,252,299 |
5.38% | | 10/15/12 | | | | 315,000 | | | 286,646 |
Equity One, Inc. | | | | | | | | | |
3.88% | | 04/15/09 | | | | 270,000 | | | 264,753 |
First Industrial LP | | | | | | | | | |
5.25% | | 06/15/09 | | | | 6,000,000 | | | 5,982,339 |
HCP, Inc. | | | | | | | | | |
6.45% | | 06/25/12 | | | | 11,800,000 | | | 11,537,469 |
Highwoods Properties, Inc. | | | | | | | | | |
7.50% | | 04/15/18 | | | | 6,730,000 | | | 5,973,884 |
Reckson Operating Partnership LP | | | | | | | | | |
7.75% | | 03/15/09 | | | | 9,985,000 | | | 9,866,987 |
Shurgard Storage Centers LLC | | | | | | | | | |
7.75% | | 02/22/11 | | | | 7,200,000 | | | 7,529,134 |
Simon Property Group LP | | | | | | | | | |
4.88% | | 08/15/10 | | | | 24,080,000 | | | 23,518,840 |
5.30% | | 05/30/13 | | | | 10,400,000 | | | 9,723,813 |
5.75% | | 05/01/12 | | | | 2,025,000 | | | 1,969,114 |
6.12% | | 05/30/18 | | | | 1,290,000 | | | 1,144,685 |
7.00% | | 07/15/09 | | | | 1,750,000 | | | 1,739,206 |
UDR, Inc. | | | | | | | | | |
6.05% | | 06/01/13 | | | | 3,100,000 | | | 3,073,861 |
UDR, Inc. (MTN) | | | | | | | | | |
5.00% | | 01/15/12 | | | | 2,550,000 | | | 2,503,447 |
WEA Finance LLC | | | | | | | | | |
7.12% | | 04/15/18 | 4 | | | 33,240,000 | | | 29,932,520 |
| | | | | | | | | |
| | | | | | | | | 128,421,418 |
| | | | | | | | | |
Secured Assets — 0.15% | | | | | | | | | |
Ingress I Ltd. B-A | | | | | | | | | |
7.38% | | 03/30/40 | 4,† | | | 9,745,000 | | | 8,671,525 |
| | | | | | | | | |
Services — 0.03% | | | | | | | | | |
Mobile Mini, Inc. | | | | | | | | | |
6.88% | | 05/01/15 | | | | 750,000 | | | 656,250 |
United Rentals North America, Inc. | | | | | | | | | |
6.50% | | 02/15/12 | | | | 1,000,000 | | | 840,000 |
7.00% | | 02/15/14 | | | | 375,000 | | | 264,375 |
| | | | | | | | | |
| | | | | | | | | 1,760,625 |
| | | | | | | | | |
Transportation — 1.30% | | | | | | | | | |
American Airlines, Inc. 2001-2 A1 | | | | | | | | | |
6.98% | | 04/01/11 | | | | 66,462 | | | 60,813 |
Semi-Annual Report September 2008 / 48
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Transportation (continued) | | | | | | | | | |
American Airlines, Inc., AMBAC Assurance Corp. 2003-1 | | | | | | | | | |
3.86% | | 07/09/10 | | | $ | 4,588,709 | | $ | 4,264,053 |
Continental Airlines, Inc. 1997-1 A | | | | | | | | | |
7.46% | | 04/01/15 | | | | 2,214,089 | | | 1,926,257 |
Continental Airlines, Inc. 1999-2 A1 | | | | | | | | | |
7.26% | | 03/15/20 | | | | 6,784,671 | | | 6,055,319 |
Continental Airlines, Inc. 2000-1 A2 | | | | | | | | | |
7.92% | | 05/01/10 | | | | 2,000,000 | | | 1,910,000 |
Continental Airlines, Inc. 2007-1 B | | | | | | | | | |
6.90% | | 04/19/22 | | | | 2,500,000 | | | 1,750,000 |
Delta Air Lines, Inc. | | | | | | | | | |
6.82% | | 08/10/22 | | | | 3,898,683 | | | 3,216,413 |
Delta Air Lines, Inc. 2000-1 A1 | | | | | | | | | |
7.38% | | 05/18/10 | | | | 4,402,870 | | | 4,281,792 |
Delta Air Lines, Inc. 2001-1 A2 | | | | | | | | | |
7.11% | | 09/18/11 | | | | 26,843,000 | | | 24,762,668 |
Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | 04/01/11 | | | | 23,190,000 | | | 21,450,750 |
United Air Lines, Inc. 2000-2 A1 | | | | | | | | | |
7.03% | | 10/01/10 | | | | 2,045,741 | | | 2,020,169 |
United Air Lines, Inc. 2001-1 A1 | | | | | | | | | |
6.07% | | 03/01/13 | | | | 2,719,652 | | | 2,678,857 |
| | | | | | | | | |
| | | | | | | | | 74,377,091 |
| | | | | | | | | |
Total Corporates | | | | | | | | | |
(Cost $1,386,871,049) | | | | | | | | | 1,190,533,778 |
| | | | | | | | | |
BANK LOANS — 1.17%* | | | | | | | | | |
Automotive — 0.09% | | | | | | | | | |
General Motors Corp. Strip II | | | | | | | | | |
5.24% | | 07/20/11 | 5 | | | 7,350,000 | | | 4,808,127 |
Metaldyne Corp. | | | | | | | | | |
7.31% | | 01/11/14 | 5 | | | 250,000 | | | 117,813 |
| | | | | | | | | |
| | | | | | | | | 4,925,940 |
| | | | | | | | | |
Communications — 0.13% | | | | | | | | | |
Cebridge 2nd Lien (PIK) | | | | | | | | | |
8.80% | | 05/05/14 | 5 | | | 8,114,954 | | | 6,512,250 |
Charter Communications, Inc. Term Loan 3rd Lien | | | | | | | | | |
6.26% | | 09/06/14 | 5 | | | 1,000,000 | | | 732,500 |
Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
5.12% | | 03/15/14 | 5 | | | 375,000 | | | 243,188 |
| | | | | | | | | |
| | | | | | | | | 7,487,938 |
| | | | | | | | | |
Consumer Discretionary — 0.01% | | | | | | | | | |
Tribune - Bridge Unsecured Delayed Drawing Term Loan | | | | | | | | | |
8.29% | | 12/31/08 | 5 | | | 1,523,810 | | | 556,191 |
| | | | | | | | | |
Electric — 0.29% | | | | | | | | | |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 5 | | | 13,443,262 | | | 13,409,654 |
TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
8.01% | | 12/15/14 | 5 | | | 1,000,000 | | | 870,833 |
TXU Energy Term Loan B3 | | | | | | | | | |
6.44% | | 10/10/14 | 5 | | | 2,476,241 | | | 2,098,171 |
| | | | | | | | | |
| | | | | | | | | 16,378,658 |
| | | | | | | | | |
Finance — 0.01% | | | | | | | | | |
Kelson 1st Lien | | | | | | | | | |
7.02% | | 03/16/13 | 5 | | | 862,989 | | | 805,816 |
| | | | | | | | | |
Health Care — 0.40% | | | | | | | | | |
Carestream Health, Inc. Term Loan | | | | | | | | | |
8.06% | | 10/30/13 | 5 | | | 1,000,000 | | | 631,667 |
HCA Term Loan A | | | | | | | | | |
5.76% | | 11/18/12 | 5 | | | 25,685,144 | | | 22,590,084 |
| | | | | | | | | |
| | | | | | | | | 23,221,751 |
| | | | | | | | | |
Insurance — 0.01% | | | | | | | | | |
Asurion Corp. Term Loan | | | | | | | | | |
5.74% | | 07/13/14 | 5 | | | 750,000 | | | 656,719 |
| | | | | | | | | |
Materials — 0.02% | | | | | | | | | |
Lyondell Chemical Co. | | | | | | | | | |
7.00% | | 12/20/14 | 5 | | | 1,645,865 | | | 1,168,564 |
| | | | | | | | | |
Services — 0.03% | | | | | | | | | |
Cengage Learning Term Loan B | | | | | | | | | |
6.91% | | 07/09/14 | 5 | | | 1,980,000 | | | 1,628,550 |
| | | | | | | | | |
Transportation — 0.18% | | | | | | | | | |
Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
5.39% | | 05/01/12 | 5 | | | 495,000 | | | 396,825 |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/12 | 5 | | | 11,067,071 | | | 9,568,401 |
Swift Transportation Co., Inc. Term Loan | | | | | | | | | |
6.86% | | 05/06/14 | 5 | | | 441,860 | | | 288,314 |
| | | | | | | | | |
| | | | | | | | | 10,253,540 |
| | | | | | | | | |
Total Bank Loans
(Cost $75,986,908) | | | | | | | | | 67,083,667 |
| | | | | | | | | |
MORTGAGE-BACKED — 67.25%** | | | | | | | | | |
Commercial Mortgage-Backed — 9.01% | | | | | | | | | |
Bayview Commercial Asset Trust 2006-3A A1 | | | | | | | | | |
3.46% | | 10/25/36 | 3,4,† | | | 8,305,096 | | | 6,831,299 |
Bear Stearns Adjustable Rate Mortgage Trust 2005-4 2A3 | | | | | | | | | |
4.45% | | 08/25/35 | 3 | | | 23,003,000 | | | 22,167,563 |
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2 | | | | | | | | | |
6.48% | | 02/15/35 | | | | 57,915,000 | | | 58,116,064 |
49 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Commercial Mortgage-Backed (continued) | | | | | | | | | |
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP4 A3 | | | | | | | | | |
5.61% | | 11/15/33 | | | $ | 25,000,000 | | $ | 24,665,095 |
Bear Stearns Commercial Mortgage Securities, Inc. 2003-PWR2 A4 | | | | | | | | | |
5.19% | | 05/11/39 | 3 | | | 37,951,000 | | | 35,818,920 |
Bear Stearns Commercial Mortgage Securities, Inc. 2006-PW13 A4 | | | | | | | | | |
5.54% | | 09/11/41 | | | | 2,870,000 | | | 2,563,264 |
Citigroup Commercial Mortgage Trust 2007-C6 AM | | | | | | | | | |
5.89% | | 12/10/49 | 3 | | | 2,040,000 | | | 1,587,532 |
Commercial Mortgage Pass-Through Certificates 2006-C7 AM | | | | | | | | | |
5.99% | | 06/10/46 | 3 | | | 11,613,000 | | | 9,671,154 |
Credit Suisse Mortgage Capital Certificates 2006-C1 A3 | | | | | | | | | |
5.71% | | 02/15/39 | 3 | | | 14,017,000 | | | 13,211,066 |
Credit Suisse Mortgage Capital Certificates 2006-C5 A3 | | | | | | | | | |
5.31% | | 12/15/39 | | | | 21,035,000 | | | 18,281,981 |
CS First Boston Mortgage Securities Corp. 2002-CKS4 A2 | | | | | | | | | |
5.18% | | 11/15/36 | | | | 20,530,000 | | | 19,634,806 |
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | 03/15/33 | | | | 11,094,369 | | | 11,086,899 |
GE Capital Commercial Mortgage Corp. 2005-C1 A5 | | | | | | | | | |
4.77% | | 06/10/48 | 3 | | | 2,040,000 | | | 1,830,291 |
Greenwich Capital Commercial Funding Corp. 2002-C1 A4 | | | | | | | | | |
4.95% | | 01/11/35 | | | | 34,500,000 | | | 32,617,953 |
Greenwich Capital Commercial Funding Corp. 2007-GG9 A4 | | | | | | | | | |
5.44% | | 03/10/39 | | | | 16,885,000 | | | 14,311,267 |
JPMorgan Alternative Loan Trust 2007-A2 12A2 | | | | | | | | | |
3.31% | | 06/25/37 | 3 | | | 31,540,132 | | | 27,470,938 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-CB16 AM | | | | | | | | | |
5.59% | | 05/12/45 | | | | 3,395,000 | | | 2,749,413 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2006-LDP7 A4 | | | | | | | | | |
6.07% | | 04/15/45 | 3 | | | 31,145,000 | | | 28,236,459 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-CB19 A4 | | | | | | | | | |
5.94% | | 02/12/49 | 3 | | | 37,785,000 | | | 33,753,012 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LD12 A4 | | | | | | | | | |
5.88% | | 02/15/51 | 3 | | | 25,000,000 | | | 22,355,248 |
JPMorgan Chase Commercial Mortgage Securities Corp. 2007-LDPX A3 | | | | | | | | | |
5.42% | | 01/15/49 | | | | 15,265,000 | | | 12,722,269 |
LB-UBS Commercial Mortgage Trust 2000-C4 A2 | | | | | | | | | |
7.37% | | 08/15/26 | | | | 32,699,774 | | | 33,265,807 |
Merrill Lynch/Countrywide Commercial Mortgage Trust 2006-4 ASB | | | | | | | | | |
5.13% | | 12/12/49 | 3 | | | 25,000,000 | | | 22,472,085 |
Morgan Stanley Capital I 2006-HQ8 A4 | | | | | | | | | |
5.56% | | 03/12/44 | 3 | | | 16,960,000 | | | 15,174,280 |
Morgan Stanley Capital I 2007-IQ16 A4 | | | | | | | | | |
5.81% | | 12/12/49 | | | | 2,870,000 | | | 2,452,287 |
Morgan Stanley Dean Witter Capital I 2000-LIFE A2 | | | | | | | | | |
7.57% | | 11/15/36 | 3 | | | 5,094,482 | | | 5,153,936 |
Prudential Commercial Mortgage Trust 2003-PWR1 A1 | | | | | | | | | |
3.67% | | 02/11/36 | | | | 8,512,969 | | | 8,216,462 |
Wachovia Bank Commercial Mortgage Trust 2003-C8 A4 | | | | | | | | | |
4.96% | | 11/15/35 | 3 | | | 30,000,000 | | | 27,617,625 |
Wachovia Bank Commercial Mortgage Trust 2007-C31 AM | | | | | | | | | |
5.59% | | 04/15/47 | 3 | | | 2,220,000 | | | 1,707,715 |
| | | | | | | | | |
| | | | | | | | | 515,742,690 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 5.44% | | | | | | | | | |
Adjustable Rate Mortgage Trust 2005-8 4A11 | | | | | | | | | |
5.44% | | 11/25/35 | 3 | | | 20,718,062 | | | 16,101,446 |
American Home Mortgage Assets 2007-4 A2 | | | | | | | | | |
3.40% | | 08/25/37 | 3,† | | | 36,102,000 | | | 24,908,816 |
Banc of America Mortgage Securities, Inc. 2003-1 2A4 | | | | | | | | | |
5.00% | | 02/25/18 | | | | 142,482 | | | 134,525 |
Banc of America Mortgage Securities, Inc. 2006-B 4A1 | | | | | | | | | |
6.21% | | 11/20/46 | 3 | | | 28,178,162 | | | 24,992,852 |
Banco de Credito Y Securitizacion SA 2001-1 AF | | | | | | | | | |
8.00% | | 05/31/10 | 2,4,† | | | 1,437,460 | | | 389,352 |
BHN I Mortgage Fund 1997-2 A1 | | | | | | | | | |
6.60% | | 05/31/17 | 2,3,4,† | | | 13,760 | | | 3,716 |
BHN I Mortgage Fund 1997-2 A2 | | | | | | | | | |
7.54% | | 05/31/17 | 2,4,† | | | 2,500 | | | 676 |
BHN I Mortgage Fund 2000-1 AF | | | | | | | | | |
8.00% | | 03/31/11 | 2,4 | | | 429,841 | | | 116,057 |
BlackRock Capital Finance LP 1997-R2 AP | | | | | | | | | |
1.30% | | 12/25/35 | 3,4 | | | 4,093 | | | 4,095 |
Chase Mortgage Finance Corp. 2005-A1 1A1 | | | | | | | | | |
5.41% | | 12/25/35 | 3 | | | 14,353,528 | | | 12,143,814 |
Semi-Annual Report September 2008 / 50
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
4.70% | | 07/25/37 | 3 | | $ | 27,709,454 | | $ | 26,090,972 |
Chevy Chase Mortgage Funding Corp. 2004-1A A1 | | | | | | | | | |
3.49% | | 01/25/35 | 3,4 | | | 2,204,387 | | | 1,959,904 |
Citigroup Mortgage Loan Trust, Inc. 2004-RR2 A2 | | | | | | | | | |
4.75% | | 05/25/34 | 3,4 | | | 19,094,440 | | | 17,960,637 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 2,6,† | | | 16,467,922 | | | 261,334 |
Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
4.21% | | 08/25/35 | 3 | | | 10,519,985 | | | 6,234,440 |
Countrywide Alternative Loan Trust 2006-46 A4 | | | | | | | | | |
6.00% | | 02/25/47 | | | | 17,731,260 | | | 16,269,729 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 2 | | | 59,211,360 | | | 1,545,046 |
Countrywide Home Loan Mortgage Pass-Through Trust 2004-14 4A1 | | | | | | | | | |
5.07% | | 08/25/34 | 3 | | | 11,825,529 | | | 10,104,464 |
Countrywide Home Loan Mortgage Pass-Through Trust 2005-HYB5 4A1 | | | | | | | | | |
5.08% | | 09/20/35 | 3 | | | 12,913,517 | | | 8,919,715 |
DLJ Mortgage Acceptance Corp. 1996-QA S (IO) | | | | | | | | | |
0.00% | | 01/25/26 | 2,3,4,† | | | 170,667 | | | 214 |
GS Mortgage Securities Corp. II 2006-GG8 A4 | | | | | | | | | |
5.56% | | 11/10/39 | | | | 8,655,000 | | | 7,842,394 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 2,6 | | | 22,177,170 | | | 225,237 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 2,6 | | | 8,849,843 | | | 80,202 |
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B | | | | | | | | | |
3.61% | | 08/25/34 | 3 | | | 36,199 | | | 25,630 |
JPMorgan Mortgage Trust 2003-A2 2A3 | | | | | | | | | |
4.67% | | 11/25/33 | 3 | | | 305,000 | | | 257,652 |
JPMorgan Mortgage Trust 2004-A5 4A4 | | | | | | | | | |
4.82% | | 12/25/34 | 3 | | | 400,000 | | | 344,606 |
JPMorgan Mortgage Trust 2006-A3 3A4 | | | | | | | | | |
5.73% | | 05/25/36 | 3 | | | 23,500,000 | | | 17,558,359 |
MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
5.58% | | 10/25/32 | 3 | | | 66,810 | | | 61,617 |
MASTR Seasoned Securities Trust 2004-2 A2 | | | | | | | | | |
6.50% | | 08/25/32 | | | | 6,712,289 | | | 6,217,149 |
Ocwen Residential MBS Corp. 1998-R2 AP | | | | | | | | | |
9.95% | | 11/25/34 | 3,4,† | | | 31,053 | | | 20,318 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A8 | | | | | | | | | |
6.50% | | 11/25/31 | | | | 86,508 | | | 88,263 |
Residential Asset Securitization Trust 2007-A7 A4 | | | | | | | | | |
6.00% | | 07/25/37 | | | | 25,109,260 | | | 24,200,659 |
Ryland Mortgage Securities Corp. 1994-5 M3 | | | | | | | | | |
4.94% | | 10/25/23 | 3,† | | | 372,928 | | | 180,289 |
Structured Asset Securities Corp. 1997-2 2A4 | | | | | | | | | |
7.25% | | 03/28/30 | | | | 6,064 | | | 6,259 |
Structured Asset Securities Corp. 2001-15A 4A1 | | | | | | | | | |
6.00% | | 10/25/31 | 3 | | | 4,346 | | | 4,295 |
Structured Mortgage Asset Residential Trust 1991-7 I (IO) | | | | | | | | | |
8.50% | | 12/25/22 | 2,3 | | | 4 | | | 1 |
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
3.63% | | 04/25/47 | 3 | | | 30,553,123 | | | 17,581,792 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR7 3A1B | | | | | | | | | |
4.33% | | 07/25/46 | 3,† | | | 4,041,331 | | | 2,586,452 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO) | | | | | | | | | |
0.98% | | 02/25/47 | 2,6,† | | | 172,867,847 | | | 2,106,896 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS2 3A1 | | | | | | | | | |
5.00% | | 03/25/18 | | | | 170,900 | | | 156,234 |
Wells Fargo Mortgage Backed Securities Trust 2004-G A3 | | | | | | | | | |
4.76% | | 06/25/34 | 3 | | | 445,000 | | | 342,518 |
Wells Fargo Mortgage Backed Securities Trust 2005-12 1A1 | | | | | | | | | |
5.50% | | 11/25/35 | | | | 33,194,033 | | | 29,973,176 |
Wells Fargo Mortgage Backed Securities Trust 2005-17 1A1 | | | | | | | | | |
5.50% | | 01/25/36 | | | | 24,408,378 | | | 21,942,554 |
Wells Fargo Mortgage Backed Securities Trust 2006-2 3A1 | | | | | | | | | |
5.75% | | 03/25/36 | | | | 13,064,219 | | | 11,302,846 |
| | | | | | | | | |
| | | | | | | | | 311,247,202 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 52.80% | | | | | | | | | |
Collateralized Mortgage Obligation Trust 57 D | | | | | | | | | |
9.90% | | 02/01/19 | | | | 6,625 | | | 7,123 |
Fannie Mae 1989-27 Y | | | | | | | | | |
6.90% | | 06/25/19 | | | | 1,608 | | | 1,657 |
Fannie Mae 1992-123 Z | | | | | | | | | |
7.50% | | 07/25/22 | | | | 5,703 | | | 6,053 |
51 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Fannie Mae 1992-83 Z | | | | | | | | | |
7.00% | | 06/25/22 | | | $ | 20,688 | | $ | 20,959 |
Fannie Mae 1993-132 D (PO) | | | | | | | | | |
0.00% | | 10/25/22 | 6 | | | 316,335 | | | 274,131 |
Fannie Mae 1993-199 SD (IO) | | | | | | | | | |
0.88% | | 10/25/23 | 3 | | | 1,160,494 | | | 31,026 |
Fannie Mae 1993-29 PK | | | | | | | | | |
7.00% | | 03/25/23 | | | | 202,000 | | | 209,577 |
Fannie Mae 1994-55 H | | | | | | | | | |
7.00% | | 03/25/24 | | | | 130,000 | | | 135,314 |
Fannie Mae 1997-34 SA | | | | | | | | | |
14.95% | | 10/25/23 | 3 | | | 33,440 | | | 38,688 |
Fannie Mae 2003-106 WG | | | | | | | | | |
4.50% | | 11/25/23 | | | | 32,004,000 | | | 28,563,612 |
Fannie Mae 2003-52 SV | | | | | | | | | |
10.30% | | 05/25/31 | 3 | | | 4,197,548 | | | 4,345,535 |
Fannie Mae 2003-53 IA (IO) | | | | | | | | | |
5.50% | | 10/25/28 | | | | 4,223,302 | | | 258,101 |
Fannie Mae 2003-91 IQ (IO) | | | | | | | | | |
5.50% | | 06/25/26 | | | | 3,314,443 | | | 81,144 |
Fannie Mae 2006-80 PG | | | | | | | | | |
6.00% | | 06/25/35 | | | | 23,300,000 | | | 23,627,931 |
Fannie Mae 2007-34 SB (IO) | | | | | | | | | |
2.90% | | 04/25/37 | 3 | | | 38,516,327 | | | 2,448,229 |
Fannie Mae 2007-54 FA | | | | | | | | | |
3.61% | | 06/25/37 | 3 | | | 29,471,893 | | | 28,756,449 |
Fannie Mae 2008-24 NA | | | | | | | | | |
6.75% | | 06/25/37 | | | | 42,598,734 | | | 44,252,128 |
Fannie Mae FNCI (TBA) | | | | | | | | | |
5.00% | | 10/25/23 | | | | 73,480,000 | | | 72,963,362 |
5.50% | | 10/25/23 | | | | 373,110,000 | | | 376,083,314 |
Fannie Mae FNCL (TBA) | | | | | | | | | |
5.00% | | 10/25/38 | | | | 31,890,000 | | | 31,077,794 |
5.50% | | 10/25/38 | | | | 320,800,000 | | | 319,947,955 |
6.50% | | 10/25/38 | | | | 47,255,000 | | | 48,458,538 |
Fannie Mae G92-36 Z | | | | | | | | | |
7.00% | | 07/25/22 | | | | 1,137 | | | 1,192 |
Fannie Mae Pool 233672 | | | | | | | | | |
6.60% | | 09/01/23 | 3 | | | 23,863 | | | 24,461 |
Fannie Mae Pool 254232 | | | | | | | | | |
6.50% | | 03/01/22 | | | | 75,526 | | | 78,136 |
Fannie Mae Pool 254868 | | | | | | | | | |
5.00% | | 09/01/33 | | | | 59,998,910 | | | 58,660,582 |
Fannie Mae Pool 308798 | | | | | | | | | |
5.35% | | 04/01/25 | 3 | | | 8,526 | | | 8,643 |
Fannie Mae Pool 312155 | | | | | | | | | |
6.30% | | 03/01/25 | 3 | | | 29,081 | | | 29,555 |
Fannie Mae Pool 545191 | | | | | | | | | |
7.00% | | 09/01/31 | | | | 33,466 | | | 35,031 |
Fannie Mae Pool 633698 | | | | | | | | | |
7.50% | | 02/01/31 | | | | 16,860 | | | 18,404 |
Fannie Mae Pool 655928 | | | | | | | | | |
7.00% | | 08/01/32 | | | | 130,164 | | | 137,797 |
Fannie Mae Pool 725027 | | | | | | | | | |
5.00% | | 11/01/33 | | | | 68,853,317 | | | 67,236,875 |
Fannie Mae Pool 725257 | | | | | | | | | |
5.50% | | 02/01/34 | | | | 14,116,413 | | | 14,121,025 |
Fannie Mae Pool 725425 | | | | | | | | | |
5.50% | | 04/01/34 | | | | 56,080,314 | | | 56,025,546 |
Fannie Mae Pool 730957 | | | | | | | | | |
5.00% | | 08/01/33 | | | | 22,354,379 | | | 21,829,574 |
Fannie Mae Pool 734922 | | | | | | | | | |
4.50% | | 09/01/33 | | | | 18,944,515 | | | 18,001,416 |
Fannie Mae Pool 735224 | | | | | | | | | |
5.50% | | 02/01/35 | | | | 76,336,814 | | | 76,361,753 |
Fannie Mae Pool 735646 | | | | | | | | | |
4.50% | | 07/01/20 | | | | 23,211,328 | | | 22,804,704 |
Fannie Mae Pool 735651 | | | | | | | | | |
4.50% | | 06/01/35 | | | | 73,633,950 | | | 69,784,205 |
Fannie Mae Pool 735883 | | | | | | | | | |
6.00% | | 03/01/33 | | | | 12,650,428 | | | 12,932,931 |
Fannie Mae Pool 765387 | | | | | | | | | |
6.00% | | 08/01/34 | | | | 211,876 | | | 216,300 |
Fannie Mae Pool 770284 | | | | | | | | | |
5.00% | | 04/01/34 | | | | 9,806,347 | | | 9,576,127 |
Fannie Mae Pool 770332 | | | | | | | | | |
5.00% | | 04/01/34 | | | | 38,016,237 | | | 37,123,745 |
Fannie Mae Pool 817611 | | | | | | | | | |
5.33% | | 11/01/35 | 3 | | | 9,840,105 | | | 9,693,161 |
Fannie Mae Pool 888412 | | | | | | | | | |
7.00% | | 04/01/37 | | | | 22,519,730 | | | 23,394,076 |
Fannie Mae Pool 888430 | | | | | | | | | |
5.00% | | 11/01/33 | | | | 53,709,777 | | | 52,448,854 |
Fannie Mae Pool 888873 | | | | | | | | | |
6.50% | | 08/01/37 | | | | 13,126,836 | | | 13,472,953 |
Fannie Mae Pool 889125 | | | | | | | | | |
5.00% | | 12/01/21 | | | | 67,385,582 | | | 67,288,189 |
Fannie Mae Pool 889184 | | | | | | | | | |
5.50% | | 09/01/36 | | | | 66,903,403 | | | 66,838,065 |
Fannie Mae Pool 896464 | | | | | | | | | |
5.81% | | 07/01/36 | 3 | | | 16,632,216 | | | 16,875,805 |
Fannie Mae Pool 908408 | | | | | | | | | |
5.59% | | 04/01/37 | 3 | | | 34,578,253 | | | 34,570,058 |
Fannie Mae Pool 928920 | | | | | | | | | |
6.50% | | 12/01/37 | | | | 41,275,767 | | | 42,374,914 |
Fannie Mae Pool 933033 | | | | | | | | | |
6.50% | | 10/01/37 | | | | 44,065,986 | | | 44,732,141 |
Semi-Annual Report September 2008 / 52
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Freddie Mac 1004 H | | | | | | | | | |
7.95% | | 10/15/20 | | | $ | 1,290 | | $ | 1,289 |
Freddie Mac 1073 G | | | | | | | | | |
7.00% | | 05/15/21 | | | | 4,776 | | | 5,053 |
Freddie Mac 165 K | | | | | | | | | |
6.50% | | 09/15/21 | | | | 810 | | | 809 |
Freddie Mac 1980 Z | | | | | | | | | |
7.00% | | 07/15/27 | | | | 585,726 | | | 609,160 |
Freddie Mac 2098 TZ | | | | | | | | | |
6.00% | | 01/15/28 | | | | 807,964 | | | 786,964 |
Freddie Mac 2209 TC | | | | | | | | | |
8.00% | | 01/15/30 | | | | 168,455 | | | 175,262 |
Freddie Mac 2627 NI (IO) | | | | | | | | | |
5.00% | | 04/15/29 | | | | 6,007,812 | | | 413,233 |
Freddie Mac 2642 BW (IO) | | | | | | | | | |
5.00% | | 06/15/23 | | | | 149,298 | | | 28,877 |
Freddie Mac Gold A24156 | | | | | | | | | |
6.50% | | 10/01/31 | | | | 2,885,645 | | | 2,985,126 |
Freddie Mac Gold A25162 | | | | | | | | | |
5.50% | | 05/01/34 | | | | 25,993,242 | | | 25,908,967 |
Freddie Mac Gold A54856 | | | | | | | | | |
5.00% | | 01/01/34 | | | | 32,547,355 | | | 31,767,999 |
Freddie Mac Gold A65805 | | | | | | | | | |
6.00% | | 09/01/37 | | | | 5,415,860 | | | 5,485,250 |
Freddie Mac Gold C01492 | | | | | | | | | |
5.00% | | 02/01/33 | | | | 13,444,297 | | | 13,130,772 |
Freddie Mac Gold C46104 | | | | | | | | | |
6.50% | | 09/01/29 | | | | 131,041 | | | 135,763 |
Freddie Mac Gold C55789 | | | | | | | | | |
7.50% | | 10/01/27 | | | | 46,270 | | | 50,307 |
Freddie Mac Gold C90573 | | | | | | | | | |
6.50% | | 08/01/22 | | | | 601,831 | | | 623,035 |
Freddie Mac Gold G01515 | | | | | | | | | |
5.00% | | 02/01/33 | | | | 12,536,885 | | | 12,244,521 |
Freddie Mac Gold G01601 | | | | | | | | | |
4.00% | | 09/01/33 | | | | 226,496 | | | 210,142 |
Freddie Mac Gold G01611 | | | | | | | | | |
4.00% | | 09/01/33 | | | | 74,465 | | | 69,089 |
Freddie Mac Gold G01644 | | | | | | | | | |
5.50% | | 02/01/34 | | | | 51,629,806 | | | 51,517,599 |
Freddie Mac Gold G01673 | | | | | | | | | |
5.50% | | 04/01/34 | | | | 3,203,566 | | | 3,204,799 |
Freddie Mac Gold G02366 | | | | | | | | | |
6.50% | | 10/01/36 | | | | 22,151,609 | | | 22,791,088 |
Freddie Mac Gold G02461 | | | | | | | | | |
6.50% | | 11/01/36 | | | | 21,587,855 | | | 22,271,517 |
Freddie Mac Gold G02579 | | | | | | | | | |
5.00% | | 12/01/34 | | | | 24,508,350 | | | 23,954,011 |
Freddie Mac Gold G02884 | | | | | | | | | |
6.00% | | 04/01/37 | | | | 49,684,294 | | | 50,350,280 |
Freddie Mac Gold G02955 | | | | | | | | | |
5.50% | | 03/01/37 | | | | 33,537,143 | | | 33,552,140 |
Freddie Mac Gold G03357 | | | | | | | | | |
5.50% | | 08/01/37 | | | | 13,808,697 | | | 13,742,351 |
Freddie Mac Gold G03436 | | | | | | | | | |
6.00% | | 11/01/37 | | | | 79,703,457 | | | 80,749,557 |
Freddie Mac Gold G03601 | | | | | | | | | |
6.00% | | 07/01/37 | | | | 53,467,381 | | | 54,152,426 |
Freddie Mac Gold G03676 | | | | | | | | | |
5.50% | | 12/01/37 | | | | 37,938,029 | | | 37,767,603 |
Freddie Mac Gold G03739 | | | | | | | | | |
6.00% | | 11/01/37 | | | | 44,310,204 | | | 44,891,771 |
Freddie Mac Gold G03783 | | | | | | | | | |
5.50% | | 01/01/38 | | | | 16,546,033 | | | 16,471,705 |
Freddie Mac Gold G04048 | | | | | | | | | |
6.00% | | 03/01/38 | | | | 67,281,428 | | | 68,132,955 |
Freddie Mac Gold G04079 | | | | | | | | | |
5.50% | | 03/01/38 | | | | 68,482,611 | | | 68,183,972 |
Freddie Mac Gold G04438 | | | | | | | | | |
5.50% | | 05/01/38 | | | | 65,166,910 | | | 64,882,730 |
Freddie Mac Gold G04703 | | | | | | | | | |
5.50% | | 08/01/38 | | | | 101,490,000 | | | 100,970,655 |
Freddie Mac Gold G11707 | | | | | | | | | |
6.00% | | 03/01/20 | | | | 7,240,945 | | | 7,375,899 |
Freddie Mac Gold G12393 | | | | | | | | | |
5.50% | | 10/01/21 | | | | 70,897,417 | | | 71,429,140 |
Freddie Mac Gold G12824 | | | | | | | | | |
6.00% | | 08/01/22 | | | | 17,000,833 | | | 17,324,911 |
Freddie Mac Gold G12909 | | | | | | | | | |
6.00% | | 11/01/22 | | | | 44,667,083 | | | 45,518,549 |
Freddie Mac Gold G13032 | | | | | | | | | |
6.00% | | 09/01/22 | | | | 16,817,787 | | | 17,133,120 |
Freddie Mac Gold G13058 | | | | | | | | | |
4.50% | | 10/01/20 | | | | 40,654,662 | | | 40,018,686 |
Freddie Mac Non Gold Pool 781415 | | | | | | | | | |
5.23% | | 04/01/34 | 3 | | | 5,589,796 | | | 5,731,636 |
Freddie Mac Non Gold Pool 781469 | | | | | | | | | |
4.38% | | 04/01/34 | 3 | | | 4,268,393 | | | 4,318,142 |
Freddie Mac Non Gold Pool 847288 | | | | | | | | | |
4.22% | | 05/01/34 | 3 | | | 7,081,925 | | | 7,163,914 |
Ginnie Mae 2000-22 SG (IO) | | | | | | | | | |
8.31% | | 05/16/30 | 3 | | | 2,384,777 | | | 383,476 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 3,586,051 | | | 376,805 |
Ginnie Mae 2003-86 ZK | | | | | | | | | |
5.00% | | 10/20/33 | | | | 19,426,110 | | | 17,421,844 |
53 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
U.S. Agency Mortgage-Backed (continued) | | | | | | | | | |
Ginnie Mae 2005-78 ZA | | | | | | | | | |
5.00% | | 10/16/35 | | | $ | 18,043,785 | | $ | 15,260,121 |
Ginnie Mae G2SF (TBA) | | | | | | | | | |
6.50% | | 10/15/38 | | | | 41,520,000 | | | 42,460,685 |
Ginnie Mae GNSF (TBA) | | | | | | | | | |
5.50% | | 10/15/38 | | | | 22,745,000 | | | 22,769,883 |
6.00% | | 10/15/38 | | | | 36,050,000 | | | 36,540,056 |
Ginnie Mae II Pool 81018 | | | | | | | | | |
5.63% | | 08/20/34 | 3 | | | 62,344 | | | 63,049 |
| | | | | | | | | |
| | | | | | | | | 3,021,793,531 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $3,932,448,640) | | | | | | | | | 3,848,783,423 |
| | | | | | | | | |
MUNICIPAL BONDS — 1.57%* | | | | | | | | | |
Georgia — 0.21% | | | | | | | | | |
Metropolitan Atlanta Rapid Transit Authority, Transit Improvements Revenue Bonds, Pre-Refunded 01/01/13 @ 100 (MBIA) | | | | | | | | | |
5.00% | | 07/01/28 | | | | 11,390,000 | | | 12,150,510 |
| | | | | | | | | |
Massachusetts — 0.77% | | | | | | | | | |
Commonwealth of Massachusetts, Consolidated Loans, G.O., Series E, Pre-Refunded 01/01/13 @ 100 (MBIA-IBC) | | | | | | | | | |
5.38% | | 01/01/17 | | | | 10,140,000 | | | 10,883,262 |
Commonwealth of Massachusetts, G.O., Pre-Refunded 01/01/13 @ 100 (XLCA-ICR) | | | | | | | | | |
5.25% | | 01/01/17 | | | | 9,230,000 | | | 9,749,464 |
Commonwealth of Massachusetts, Miscellaneous Taxes G.O., Series E, Pre-Refunded 01/01/13 @ 100 (FSA) | | | | | | | | | |
5.25% | | 01/01/18 | | | | 7,260,000 | | | 7,756,657 |
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 03/01/12 @ 100 (FSA) | | | | | | | | | |
5.50% | | 03/01/17 | | | | 5,135,000 | | | 5,450,443 |
5.50% | | 03/01/18 | | | | 4,870,000 | | | 5,169,164 |
Commonwealth of Massachusetts, Public Improvements G.O., Series B, Pre-Refunded 08/01/14 @ 100 (AMBAC) | | | | | | | | | |
5.00% | | 08/01/22 | | | | 4,790,000 | | | 5,026,387 |
| | | | | | | | | |
| | | | | | | | | 44,035,377 |
| | | | | | | | | |
South Carolina — 0.08% | | | | | | | | | |
Greenville County School District, School Improvements Revenue Bonds, Pre-Refunded 12/01/12 @ 101 OID | | | | | | | | | |
5.50% | | 12/01/28 | | | | 4,095,000 | | | 4,494,918 |
| | | | | | | | | |
Texas — 0.51% | | | | | | | | | |
County of Galveston, Public Improvements G.O., Series C, Pre-Refunded 02/01/13 @ 100 OID (AMBAC) | | | | | | | | | |
5.00% | | 02/01/28 | | | | 8,280,000 | | | 8,791,456 |
County of Harris, Flood Control District Contract G.O., Series B, Refunded 10/01/13 @ 100 | | | | | | | | | |
5.25% | | 10/01/20 | | | | 10,597,000 | | | 11,490,539 |
5.25% | | 10/01/20 | | | | 880,000 | | | 954,201 |
North Texas Tollway Authority, Highway Improvements Revenue Bonds, Series A, Pre-Refunded 01/01/15 @ 100 (FSA) | | | | | | | | | |
5.00% | | 01/01/30 | | | | 7,580,000 | | | 7,973,326 |
| | | | | | | | | |
| | | | | | | | | 29,209,522 |
| | | | | | | | | |
Total Municipal Bonds | | | | | | | | | |
(Cost $91,276,159) | | | | | | | | | 89,890,327 |
| | | | | | | | | |
U.S. AGENCY SECURITIES — 0.20% | | | | | | | | | |
Foreign Sovereign — 0.20% | | | | | | | | | |
Indonesia Government AID Bond | | | | | | | | | |
9.30% | | 07/01/20 | | | | 8,790,000 | | | 11,253,310 |
| | | | | | | | | |
Total U.S. Agency Securities | | | | | | | | | |
(Cost $11,214,202) | | | | | | | | | 11,253,310 |
| | | | | | | | | |
U.S. TREASURY SECURITIES — 5.69% | | | | | | | | | |
U.S. Treasury Bonds — 3.47% | | | | | | | | | |
0.00% | | 11/15/21 | | | | 45,000,000 | | | 24,706,170 |
6.12% | | 11/15/27 | | | | 7,510,000 | | | 9,144,604 |
8.75% | | 08/15/20 | | | | 6,948,000 | | | 9,864,534 |
1.75% | | 01/15/28 | | | | 129,984,000 | | | 119,088,708 |
2.38% | | 01/15/27 | | | | 34,341,000 | | | 36,013,996 |
| | | | | | | | | |
| | | | | | | | | 198,818,012 |
| | | | | | | | | |
U.S. Treasury Notes — 2.22% | | | | | | | | | |
2.00% | | 01/15/16 | 7 | | | 51,844,000 | | | 56,768,627 |
3.38% | | 07/31/13 | | | | 42,939,000 | | | 43,734,058 |
4.88% | | 08/15/16 | | | | 24,522,000 | | | 26,550,828 |
| | | | | | | | | |
| | | | | | | | | 127,053,513 |
| | | | | | | | | |
Total U.S. Treasury Securities (Cost $339,866,853) | | | | | | | | | 325,871,525 |
| | | | | | | | | |
Total Bonds – 102.50% (Cost $6,262,486,257) | | | | | | | | | 5,866,329,914 |
| | | | | | | | | |
| | | |
Issues | | | | | Contracts | | Value |
PUT OPTIONS PURCHASED — 0.05% | | | | | | | | | |
U.S. Government — 0.05% | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $118, expires 11/21/08 | | | | | | | | | |
| | | | | | 870 | | | 2,732,344 |
| | | | | | | | | |
Total Put Options Purchased (Cost $1,385,638) | | | | | | | | | 2,732,344 |
| | | | | | | | | |
Semi-Annual Report September 2008 / 54
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | |
Issues | | Notional
Amount
(000’s) | | Value |
PURCHASED SWAPTIONS — 0.12% | | | | | | |
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | |
| | $ | 195,269,000 | | $ | 3,879,409 |
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | |
| | | 25,762,000 | | | 3,166,405 |
| | | | | | |
Total Purchased Swaptions (Cost $2,113,754) | | | | | | 7,045,814 |
| | | | | | |
| | | | | | | | | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | Value | |
SHORT TERM INVESTMENTS — 21.36% | | | | | | | | | | |
Commercial Paper — 4.06% | | | | | | | | | | |
BNP Paribas Finance, Inc. | | | | | | | | | | |
4.00%8 | | 10/09/08 | | | $ | 83,735,000 | | | 83,660,755 | |
General Electric Capital Corp. | | | | | | | | | | |
2.31%8 | | 10/23/08 | | | | 76,205,000 | | | 76,097,890 | |
National Rural Utilities Co. | | | | | | | | | | |
3.01%8 | | 10/10/08 | | | | 60,590,000 | | | 60,544,557 | |
3.10%8 | | 10/10/08 | | | | 12,000,000 | | | 11,990,700 | |
| | | | | | | | | | |
| | | | | | | | | 232,293,902 | |
| | | | | | | | | | |
Money Market Fund — 0.03% | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | | | 1,615,750 | | | 1,615,750 | |
| | | | | | | | | | |
U.S. Agency Discount Notes — 16.74% | | | | | | | | | | |
Fannie Mae | | | | | | | | | | |
2.40%8 | | 10/15/08 | | | | 40,000,000 | | | 39,964,141 | |
2.51%8 | | 11/10/08 | | | | 10,670,000 | | | 10,644,805 | |
Fannie Mae BB | | | | | | | | | | |
2.41%8 | | 10/16/08 | | | | 11,451,000 | | | 11,440,001 | |
Federal Home Loan Bank | | | | | | | | | | |
2.10%8 | | 10/08/08 | | | | 83,795,000 | | | 83,760,784 | |
2.11%8 | | 10/10/08 | | | | 162,000,000 | | | 161,914,622 | |
2.17%8 | | 12/17/08 | | | | 144,158,000 | | | 143,394,828 | |
2.30%8 | | 10/20/08 | | | | 3,330,000 | | | 3,325,958 | |
2.30%8 | | 10/28/08 | | | | 1,370,000 | | | 1,367,637 | |
2.41%8 | | 10/28/08 | | | | 14,015,000 | | | 13,989,773 | |
2.41%8 | | 12/18/08 | | | | 15,120,000 | | | 15,038,927 | |
2.56%8 | | 12/05/08 | | | | 15,185,000 | | | 15,117,138 | |
2.67%8 | | 12/18/08 | | | | 90,735,000 | | | 90,248,479 | |
2.77%8 | | 12/19/08 | | | | 260,851,000 | | | 259,434,318 | |
3.17%8 | | 12/18/08 | | | | 86,115,000 | | | 85,653,251 | |
Freddie Mac | | | | | | | | | | |
2.44%8 | | 10/29/08 | | | | 5,755,000 | | | 5,744,189 | |
Freddie Mac RB | | | | | | | | | | |
2.41%8 | | 10/28/08 | | | | 16,830,000 | | | 16,800,145 | |
| | | | | | | | | | |
| | | | | | | | | 957,838,996 | |
| | | | | | | | | | |
U.S. Treasury Bills — 0.53% | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | |
0.02%8 | | 10/23/08 | | | | 26,313,000 | | | 26,312,678 | |
1.44%8 | | 10/16/08 | 9 | | | 4,113,000 | | | 4,110,159 | |
| | | | | | | | | | |
| | | | | | | | | 30,422,837 | |
| | | | | | | | | | |
Total Short Term Investments (Cost $1,221,945,060) | | | | | | | | | 1,222,171,485 | |
| | | | | | | | | | |
Total Investments — 124.03% (Cost $7,487,930,709)1 | | | | | | | | $ | 7,098,279,557 | |
| | | | | | | | | | |
Liabilities in Excess of Other Assets — (24.03)% | | | | | | | | | (1,375,150,356 | ) |
| | | | | | | | | | |
NET ASSETS — 100.00% | | | | | | | | $ | 5,723,129,201 | |
| | | | | | | | | | |
| | | | | | | | | | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
CALL OPTIONS WRITTEN | | | | | | | | | | | |
U.S. Long Bond (CBT), Call Strike $122, expires 11/21/08 | | (580 | ) | | $ | (451,866 | ) | | $ | (598,125 | ) |
U.S. Long Bond (CBT), Call Strike $123, expires 11/21/08 | | (580 | ) | | | (406,554 | ) | | | (489,375 | ) |
| | | | | | | | | | | |
Total Call Options Written | | | | | $ | (858,420 | ) | | $ | (1,087,500 | ) |
| | | | | | | | | | | |
WRITTEN PUT OPTIONS | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $116, expires 11/21/08 | | (870 | ) | | $ | (854,518 | ) | | $ | (1,875,938 | ) |
| | | | | | | | | | | |
Total Written Put Options | | | | | $ | (854,518 | ) | | $ | (1,875,938 | ) |
| | | | | | | | | | | |
| | | | | | | | | | | | |
Issues | | Notional
Amount
(000’s) | | | Premiums
Received | | | Value | |
WRITTEN SWAPTIONS | | | | | | | | | | | | |
Option to enter into a 10-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | | |
| | $ | (97,000 | ) | | $ | (2,113,767 | ) | | $ | (6,245,044 | ) |
| | | | | | | | | | | | |
Total Written Swaptions | | | | | | $ | (2,113,767 | ) | | $ | (6,245,044 | ) |
| | | | | | | | | | | | |
55 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | |
Contracts | | Unrealized
Appreciation | |
| FUTURES CONTRACTS: LONG POSITIONS | | | | |
| 505 | | U.S. Treasury Five Year Note, December 2008 | | $ | 79,977 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 79,977 | |
| | | | | | |
| |
Contracts | | Unrealized
Appreciation/
(Depreciation) | |
| FUTURES CONTRACTS: SHORT POSITIONS | | | | |
| 17 | | Euro Dollar Ninety Day, December 2008 | | $ | (26,308 | ) |
| 17 | | Euro Dollar Ninety Day, March 2009 | | | (49,682 | ) |
| 17 | | Euro Dollar Ninety Day, June 2009 | | | (50,745 | ) |
| 17 | | Euro Dollar Ninety Day, September 2009 | | | (51,595 | ) |
| 17 | | Euro Dollar Ninety Day, December 2009 | | | (42,883 | ) |
| 17 | | Euro Dollar Ninety Day, March 2010 | | | (39,907 | ) |
| 345 | | U.S. Treasury Two Year Note, December 2008 | | | 626,044 | |
| 482 | | U.S. Treasury Ten Year Note, December 2008 | | | 1,730,556 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 2,095,480 | |
| | | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 116,997 | | $ | (927,454 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.04% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/15/10 | | | 64,660 | | | 1,484,076 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.94% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 12/15/10 | | | 87,450 | | | 1,805,307 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.95% quarterly. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/15/10 | | | 120,020 | | | 2,497,747 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.26% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 04/30/11 | | | 16,000 | | | 921,823 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.37% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 04/30/11 | | | 16,145 | | | 979,146 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 06/03/11 | | | 6,760 | | | 57,483 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/11 | | | 342,200 | | | 2,909,850 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/11 | | | 159,500 | | | 1,391,845 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/11 | | | 154,590 | | | 1,890,648 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/11 | | | 257,710 | | | 2,131,512 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.45% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 06/13/11 | | | 12,850 | | | 162,876 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.03% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/11 | | | 398,830 | | | 384,432 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.86% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 02/22/13 | | | 51,500 | | | (234,323 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.40% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 02/26/13 | | | 28,555 | | | (667,241 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.70% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 02/26/13 | | | 54,529 | | | (604,598 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 04/19/17 | | | 8,900 | | | 906,922 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 05/09/17 | | | 9,000 | | | 953,995 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/19 | | | 83,360 | | | (2,265,448 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 06/03/19 | | | 1,650 | | | (45,811 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/19 | | | 38,900 | | | (1,338,862 | ) |
Semi-Annual Report September 2008 / 56
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE (continued) | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/19 | | $ | 62,750 | | $ | (1,726,463 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/19 | | | 37,700 | | | (1,125,770 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.03% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 06/13/19 | | | 3,125 | | | (98,723 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/19 | | | 97,140 | | | (91,675 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 11/15/21 | | | 24,457 | | | 0 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 10,100 | | | (59,159 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 03/26/22 | | | 4,960 | | | (313,291 | ) |
| | | | | | | | | |
| | | | | | | $ | 8,978,844 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley | | | | | | | | | |
| | 09/20/12 | | | 8,000 | | | 291,262 | |
The Fund pays a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/20/12 | | | 8,500 | | | 415,444 | |
The Fund pays a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 4,575 | | | 91,999 | |
The Fund pays a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 14,735 | | | 3,582,740 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 4,495 | | | (214,429 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,415 | | | (123,915 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 3,365 | | | (176,301 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 4,550 | | | (231,822 | ) |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 450 | | | 56,870 | |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 5,900 | | | 181,972 | |
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 6,000 | | | 189,598 | |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,175 | | | (16,505 | ) |
The Fund pays a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 6,250 | | | 216,272 | |
The Fund pays a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 9,300 | | | 286,253 | |
The Fund pays a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 6,250 | | | 187,595 | |
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 3,200 | | | 36,375 | |
The Fund pays a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 3,100 | | | 37,658 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 9,250 | | | 90,705 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 6,000 | | | 58,836 | |
57 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | | | | | | | | | |
The Fund pays a fixed rate equal to 1.67% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/20/12. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | $ | 1,825 | | $ | 82,752 | |
The Fund pays a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 8,975 | | | 403,738 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 2,700 | | | 114,679 | |
The Fund pays a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 6,200 | | | 133,923 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 10,250 | | | 489,144 | |
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 6,200 | | | 193,177 | |
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 4,140 | | | 116,626 | |
The Fund pays a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,320 | | | (28,401 | ) |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,425 | | | (20,016 | ) |
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 2,725 | | | 76,266 | |
The Fund pays a fixed rate equal to 1.24% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 6,750 | | | 296,831 | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 2,500 | | | (19,398 | ) |
The Fund pays a fixed rate equal to 3.52% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 4,875 | | | (202,166 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | | 2,550 | | | (19,786 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 14,175 | | | 947,020 | |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 7,885 | | | (652,194 | ) |
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 06/20/13 | | | 5,220 | | | 51,640 | |
The Fund pays a fixed rate equal to 4.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/13 | | | 7,875 | | | (14,063 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: JP Morgan Chase & Co. | | | | | | | | | |
| | 12/20/13 | | | 2,475 | | | (19,286 | ) |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 5,000 | | | 258,778 | |
The Fund pays a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/14 | | | 10,000 | | | (102,596 | ) |
The Fund pays a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/14 | | | 6,500 | | | (66,687 | ) |
The Fund pays a fixed rate equal to 0.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/14 | | | 10,000 | | | 1,688,306 | |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 5,050 | | | (69,090 | ) |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 7,885 | | | (710,521 | ) |
The Fund pays a fixed rate equal to 0.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX NA AAA 4, due 02/17/51. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 02/17/49 | | | 17,360 | | | 1,620,361 | |
Semi-Annual Report September 2008 / 58
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | | | | | | | | | |
The Fund pays a fixed rate equal to 1.09% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX NA AJ 2, due 03/15/49. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 03/15/49 | | $ | 1,075 | | $ | 159,109 | |
The Fund pays a fixed rate equal to 0.35% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX NA AAA 4, due 02/17/51. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 02/17/51 | | | 32,950 | | | 2,973,477 | |
The Fund pays a fixed rate equal to 0.84% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the CMBX NA AJ 1, due 10/12/52. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 10/12/52 | | | 1,310 | | | 121,979 | |
| | | | | | | | | |
| | | | | | | $ | 12,764,209 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 08/25/37 | | | 1,385 | | | (663,565 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 25,470 | | | (12,202,892 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 3,915 | | | (3,451,258 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 08/25/37 | | | 4,640 | | | (2,223,063 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 27,000 | | | (12,935,928 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 24,500 | | | (11,738,157 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 6,280 | | | (3,008,801 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 23,000 | | | (11,019,494 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 3,910 | | | (3,446,850 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 5,830 | | | (5,119,012 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 5,270 | | | (2,600,886 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 4,330 | | | (2,136,971 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 19,700 | | | (9,722,478 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | | 23,350 | | | (11,523,851 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 12,550 | | | (6,193,761 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | | 12,000 | | | (5,922,322 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 14,000 | | | (6,909,375 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 11,450 | | | (5,650,882 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 01/25/38 | | | 7,550 | | | (7,070,675 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 01/25/38 | | | 390 | | | (365,240 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 3,970 | | | (3,485,845 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 12,795 | | | (11,234,607 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 13,810 | | | (4,308,555 | ) |
59 / Semi-Annual Report September 2008
Total Return Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | $ | 15,300 | | $ | (11,775,294 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 19,000 | | | (14,622,914 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 14,000 | | | (10,774,779 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 11,900 | | | (9,158,562 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | | 11,000 | | | (8,465,898 | ) |
| | | | | | | | | |
| | | | | | | $ | (197,731,915 | ) |
| | | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $7,492,908,858 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 27,523,036 | |
Gross unrealized depreciation | | | (422,152,337 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (394,629,301 | ) |
| | | | |
3 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $272,498,624 representing 4.76% of total net assets. |
5 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
07/03/07 | | Asurion Corp. Term Loan, 5.74%, 07/13/14 | | $ | 743,808 | | $ | 656,719 | | 0.01 | % |
03/02/04 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | | 13,582,284 | | | 13,409,654 | | 0.23 | % |
06/01/07 | | Carestream Health, Inc. Term Loan, 8.06%, 10/30/13 | | | 1,010,938 | | | 631,667 | | 0.01 | % |
06/30/06 | | Cebridge 2nd Lien (PIK), 8.80%, 05/05/14 | | | 7,380,670 | | | 6,512,250 | | 0.11 | % |
06/27/07 | | Cengage Learning Term Loan B, 6.91%, 07/09/14 | | | 1,963,614 | | | 1,628,550 | | 0.03 | % |
06/04/07 | | Charter Communications, Inc. Term Loan 3rd Lien, 6.26%, 09/06/14 | | | 1,005,124 | | | 732,500 | | 0.01 | % |
09/11/07 | | Delta Air Lines, Inc. Term Loan 1st Lien, 5.39%, 05/01/12 | | $ | 477,617 | | $ | 396,825 | | 0.01 | % |
06/13/06 | | General Motors Corp. Strip II, 5.24%, 07/20/11 | | | 6,856,750 | | | 4,808,127 | | 0.08 | % |
09/17/07 | | HCA Term Loan A, 5.76%, 11/18/12 | | | 24,617,621 | | | 22,590,084 | | 0.40 | % |
03/07/07 | | Kelson 1st Lien, 7.02%, 03/16/13 | | | 862,989 | | | 805,816 | | 0.01 | % |
08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 10,203,193 | | | 9,568,401 | | 0.17 | % |
06/14/07 | | Swift Transportation Co., Inc. Term Loan, 6.86%, 05/06/14 | | | 441,860 | | | 288,314 | | 0.01 | % |
11/06/07 | | TPF Generation Holdings LLC 2nd Lien, 8.01%, 12/15/14 | | | 962,759 | | | 870,833 | | 0.02 | % |
05/24/07 | | Tribune - Bridge Unsecured Delayed Drawing Term Loan, 8.29%, 12/31/08 | | | 1,523,810 | | | 566,191 | | 0.01 | % |
11/30/07 | | Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14 | | | 350,504 | | | 243,188 | | 0.00 | % |
| | | | | | | | | | | |
| | | | $ | 71,983,541 | | $ | 63,709,119 | | 1.11 | % |
| | | | | | | | | | | |
6 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
7 | Inflation protected security. Principal amount reflects original security face amount. |
8 | Represents annualized yield at date of purchase. |
9 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $98,472,481 which is 1.72% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(AMBAC): American Municipal Bond Insurance
(CBT): Chicago Board of Trade
(DIP): Defaulted interest payment
(FGIC): Financial Guaranty Insurance Corp.
(FSA): Financial Security Assuance
(G.O.): General Obligation
(IBC): Insured Bond Certificate
(ICR): Insured Capital Receipts
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MBIA): Municipal Bond Insurance Association
(MTN): Medium term note
(OID): Original Issue Discount
(PIK): Paid in kind
(PO): Principal only
(STEP): Step coupon bond
(TBA): To be announced
(XLCA): XL Capital Assurance
Semi-Annual Report September 2008 / 60
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS — 94.49% |
ASSET-BACKED SECURITIES — 1.09%** |
Home Equity Asset Trust 2007-1 2A1 | | | | | | | | | |
3.27% | | 05/25/37 | 2 | | $ | 419,295 | | $ | 386,076 |
Morgan Stanley Home Equity Loans 2007-2 A1 | | | | | | | | | |
3.31% | | 04/25/37 | 2 | | | 884,417 | | | 805,070 |
Renaissance Home Equity Loan Trust 2007-1 N | | | | | | | | | |
9.79% | | 04/25/37 | 3,4,† | | | 305,580 | | | 24,709 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $1,510,351) | | | | | | | | | 1,215,855 |
| | | | | | | | | |
CORPORATES — 73.63%* | | | | | | | | | |
Automotive — 0.82% | | | | | | | | | |
Ford Motor Co. | | | | | | | | | |
7.45% | | 07/16/31 | | | | 750,000 | | | 326,250 |
Ford Motor Credit Co. LLC | | | | | | | | | |
7.00% | | 10/01/13 | | | | 900,000 | | | 553,614 |
Metaldyne Corp. | | | | | | | | | |
10.00% | | 11/01/13 | | | | 200,000 | | | 31,000 |
| | | | | | | | | |
| | | | | | | | | 910,864 |
| | | | | | | | | |
Banking — 3.15% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | |
8.00% | | 12/29/49 | 2 | | | 500,000 | | | 396,531 |
Chase Capital II B | | | | | | | | | |
3.30% | | 02/01/27 | 2 | | | 850,000 | | | 673,029 |
HBOS Capital Funding LP | | | | | | | | | |
6.07% | | 06/24/49 | 2,4 | | | 300,000 | | | 194,187 |
HBOS PLC | | | | | | | | | |
5.92% | | 09/29/49 | 2,4 | | | 640,000 | | | 377,923 |
JPMorgan Chase & Co. 1 | | | | | | | | | |
7.90% | | 12/31/49 | 2 | | | 1,000,000 | | | 844,131 |
JPMorgan Chase Bank NA | | | | | | | | | |
7.59% | | 03/28/22 | 2 | | | 175,000 | | | 166,058 |
JPMorgan Chase Capital XIII M | | | | | | | | | |
4.71% | | 09/30/34 | 2 | | | 1,100,000 | | | 850,409 |
| | | | | | | | | |
| | | | | | | | | 3,502,268 |
| | | | | | | | | |
Basic Industry — 1.78% | | | | | | | | | |
Freeport-McMoRan Copper & Gold, Inc. | | | | | | | | | |
8.38% | | 04/01/17 | | | | 400,000 | | | 394,588 |
Massey Energy Co. | | | | | | | | | |
6.88% | | 12/15/13 | | | | 1,250,000 | | | 1,137,500 |
Noranda Aluminium Holding Corp. | | | | | | | | | |
8.58% | | 11/15/14 | 2 | | | 675,000 | | | 448,875 |
| | | | | | | | | |
| | | | | | | | | 1,980,963 |
| | | | | | | | | |
Communications — 20.32% |
CCH I Holdings LLC/CCH I Holdings Capital Corp. | | | | | | | | | |
11.00% | | 10/01/15 | | | | 1,000,000 | | | 665,000 |
CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
8.75% | | 11/15/13 | | | | 1,750,000 | | | 1,526,875 |
Centennial Cellular Operating Co./Centennial Communications Corp. | | | | | | | | | |
10.12% | | 06/15/13 | | | | 250,000 | | | 248,750 |
Cincinnati Bell, Inc. | | | | | | | | | |
7.25% | | 07/15/13 | | | | 1,100,000 | | | 995,500 |
Citizens Communications Co. | | | | | | | | | |
6.62% | | 03/15/15 | | | | 1,475,000 | | | 1,275,875 |
CSC Holdings, Inc. B | | | | | | | | | |
7.62% | | 04/01/11 | | | | 2,050,000 | | | 1,983,375 |
Dex Media West LLC/Dex Media Finance Co. B | | | | | | | | | |
8.50% | | 08/15/10 | | | | 2,450,000 | | | 2,174,375 |
GCI, Inc. | | | | | | | | | |
7.25% | | 02/15/14 | | | | 500,000 | | | 437,500 |
Hawaiian Telcom Communications, Inc. B | | | | | | | | | |
8.49% | | 05/01/13 | 2 | | | 1,475,000 | | | 287,625 |
Idearc, Inc. | | | | | | | | | |
8.00% | | 11/15/16 | | | | 3,100,000 | | | 860,250 |
Intelsat Corp. | | | | | | | | | |
9.25% | | 08/15/14 | 4 | | | 1,120,000 | | | 1,052,800 |
Level 3 Financing, Inc. | | | | | | | | | |
8.75% | | 02/15/17 | | | | 900,000 | | | 657,000 |
9.25% | | 11/01/14 | | | | 500,000 | | | 380,000 |
Mediacom LLC/Mediacom Capital Corp. | | | | | | | | | |
9.50% | | 01/15/13 | | | | 1,750,000 | | | 1,575,000 |
Qwest Communications International, Inc. | | | | | | | | | |
6.30% | | 02/15/09 | 2 | | | 100,000 | | | 99,250 |
7.25% | | 02/15/11 | | | | 500,000 | | | 476,250 |
Qwest Communications International, Inc. B | | | | | | | | | |
7.50% | | 02/15/14 | | | | 2,500,000 | | | 2,175,000 |
Sprint Nextel Corp. | | | | | | | | | |
4.17% | | 06/28/10 | 2 | | | 1,750,000 | | | 1,630,657 |
Videotron Ltd. | | | | | | | | | |
9.12% | | 04/15/18 | 4 | | | 2,000,000 | | | 2,030,000 |
Windstream Corp. | | | | | | | | | |
8.62% | | 08/01/16 | | | | 2,200,000 | | | 2,040,500 |
| | | | | | | | | |
| | | | | | | | | 22,571,582 |
| | | | | | | | | |
Consumer Discretionary — 0.23% | | | | | | | | | |
Jarden Corp. (Subordinated Debenture) | | | | | | | | | |
7.50% | | 05/01/17 | | | | 300,000 | | | 251,250 |
| | | | | | | | | |
Consumer Products — 1.85% | | | | | | | | | |
Steinway Musical Instruments | | | | | | | | | |
7.00% | | 03/01/14 | 4 | | | 785,000 | | | 682,950 |
61 / Semi-Annual Report September 2008
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) |
Consumer Products (continued) |
Visant Corp. | | | | | | | | | |
7.62% | | 10/01/12 | | | $ | 325,000 | | $ | 299,812 |
Visant Holding Corp. | | | | | | | | | |
8.75% | | 12/01/13 | | | | 875,000 | | | 807,188 |
Visant Holding Corp. (STEP) | | | | | | | | | |
0.00% | | 12/01/13 | | | | 290,000 | | | 263,900 |
| | | | | | | | | |
| | | | | | | | | 2,053,850 |
| | | | | | | | | |
Electric — 7.61% | | | | | | | | | |
Aquila, Inc. | | | | | | | | | |
7.95% | | 02/01/11 | | | | 400,000 | | | 414,388 |
14.88% | | 07/01/12 | | | | 1,700,000 | | | 1,882,184 |
Calpine Construction Finance Co., LP | | | | | | | | | |
11.60% | | 08/26/11 | 2,4 | | | 1,000,000 | | | 1,080,000 |
Edison Mission Energy | | | | | | | | | |
7.50% | | 06/15/13 | | | | 500,000 | | | 490,000 |
Ipalco Enterprises, Inc. | | | | | | | | | |
7.25% | | 04/01/16 | 4 | | | 1,055,000 | | | 1,012,800 |
8.62% | | 11/14/11 | | | | 420,000 | | | 424,200 |
PNM Resources, Inc. | | | | | | | | | |
9.25% | | 05/15/15 | | | | 2,125,000 | | | 2,103,750 |
Reliant Energy, Inc. | | | | | | | | | |
6.75% | | 12/15/14 | | | | 1,200,000 | | | 1,041,000 |
| | | | | | | | | |
| | | | | | | | | 8,448,322 |
| | | | | | | | | |
Energy — 17.19% | | | | | | | | | |
AES Corp. (The) | | | | | | | | | |
8.75% | | 05/15/13 | 4 | | | 775,000 | | | 782,750 |
Allis-Chalmers Energy, Inc. | | | | | | | | | |
9.00% | | 01/15/14 | | | | 1,200,000 | | | 1,086,000 |
Atlas Energy Resources, LLC | | | | | | | | | |
10.75% | | 02/01/18 | 4 | | | 1,000,000 | | | 917,500 |
Chaparral Energy, Inc. | | | | | | | | | |
8.88% | | 02/01/17 | | | | 750,000 | | | 566,250 |
Chesapeake Energy Corp. | | | | | | | | | |
7.00% | | 08/15/14 | | | | 630,000 | | | 592,200 |
7.50% | | 06/15/14 | | | | 225,000 | | | 216,562 |
Comstock Resources, Inc. | | | | | | | | | |
6.88% | | 03/01/12 | | | | 1,075,000 | | | 978,250 |
Corral Finans AB (PIK) | | | | | | | | | |
4.29% | | 04/15/10 | 4 | | | 1,045,526 | | | 857,331 |
Energy Future Holdings Corp. | | | | | | | | | |
10.88% | | 11/01/17 | 4 | | | 2,250,000 | | | 2,041,875 |
Griffin Coal Mining Co. Ltd. (The) | | | | | | | | | |
9.50% | | 12/01/16 | 4 | | | 925,000 | | | 596,625 |
Hilcorp Energy I LP/Hilcorp Finance Co. | | | | | | | | | |
7.75% | | 11/01/15 | 4 | | | 625,000 | | | 540,625 |
Mirant Americas Generation LLC | | | | | | | | | |
8.30% | | 05/01/11 | | | | 2,200,000 | | | 2,128,500 |
Newfield Exploration Co. | | | | | | | | | |
7.12% | | 05/15/18 | | | | 500,000 | | | 437,500 |
NRG Energy, Inc. | | | | | | | | | |
7.25% | | 02/01/14 | | | | 1,000,000 | | | 930,000 |
7.38% | | 01/15/17 | | | | 1,475,000 | | | 1,345,938 |
OPTI Canada, Inc. | | | | | | | | | |
7.88% | | 12/15/14 | | | | 1,000,000 | | | 890,000 |
Parker Drilling Co. | | | | | | | | | |
9.62% | | 10/01/13 | | | | 25,000 | | | 24,375 |
Sabine Pass LNG LP | | | | | | | | | |
7.25% | | 11/30/13 | | | | 2,675,000 | | | 2,126,625 |
Southern Union Co. | | | | | | | | | |
7.20% | | 11/01/66 | 2 | | | 500,000 | | | 366,250 |
Tesoro Corp. | | | | | | | | | |
6.50% | | 06/01/17 | | | | 2,075,000 | | | 1,670,375 |
| | | | | | | | | |
| | | | | | | | | 19,095,531 |
| | | | | | | | | |
Finance — 11.82% | | | | | | | | | |
CDX North America High Yield 10 T | | | | | | | | | |
8.88% | | 06/29/13 | 4 | | | 2,500,000 | | | 2,250,000 |
Citigroup Capital XXI | | | | | | | | | |
8.30% | | 12/21/57 | 2 | | | 275,000 | | | 205,342 |
Citigroup, Inc. | | | | | | | | | |
8.40% | | 04/30/49 | 2 | | | 280,000 | | | 190,935 |
Countrywide Financial Corp. (Convertible) | | | | | | | | | |
0.55% | | 05/15/37 | 2 | | | 1,250,000 | | | 1,143,750 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 2 | | | 350,000 | | | 329,000 |
3.42% | | 03/24/09 | 2 | | | 575,000 | | | 561,329 |
5.80% | | 06/07/12 | | | | 950,000 | | | 763,946 |
First Data Corp. | | | | | | | | | |
9.88% | | 09/24/15 | 4 | | | 750,000 | | | 589,688 |
Ford Motor Credit Co. LLC | | | | | | | | | |
5.80% | | 01/12/09 | | | | 1,550,000 | | | 1,471,781 |
7.24% | | 04/15/12 | 2 | | | 550,000 | | | 508,543 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 2 | | | 2,090,000 | | | 966,149 |
5.85% | | 01/14/09 | | | | 700,000 | | | 598,305 |
6.62% | | 05/15/12 | | | | 750,000 | | | 317,731 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
2.98% | | 02/06/12 | 2 | | | 350,000 | | | 271,882 |
3.29% | | 01/12/15 | 2 | | | 300,000 | | | 195,511 |
6.15% | | 04/01/18 | | | | 400,000 | | | 333,170 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
11.00% | | 11/07/16 | | | | 383,000 | | | 51,146 |
Lehman Brothers Holdings, Inc. H (MTN) | | | | | | | | | |
0.00% | | 11/30/10 | | | | 294,000 | | | 39,261 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 675,000 | | | 550,125 |
Semi-Annual Report September 2008 / 62
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) |
Finance (continued) |
Morgan Stanley (MTN) | | | | | | | | | |
6.62% | | 04/01/18 | | | $ | 675,000 | | $ | 447,188 |
Nuveen Investments, Inc. | | | | | | | | | |
10.50% | | 11/15/15 | 4 | | | 1,250,000 | | | 968,750 |
Wachovia Capital Trust I | | | | | | | | | |
7.64% | | 01/15/27 | 4 | | | 650,000 | | | 373,750 |
| | | | | | | | | |
| | | | | | | | | 13,127,282 |
| | | | | | | | | |
Gaming — 0.03% | | | | | | | | | |
Herbst Gaming, Inc. | | | | | | | | | |
8.12% | | 06/01/12 | | | | 575,000 | | | 31,625 |
| | | | | | | | | |
Health Care — 1.79% | | | | | | | | | |
Community Health Systems, Inc. | | | | | | | | | |
8.88% | | 07/15/15 | | | | 1,250,000 | | | 1,193,750 |
HCA, Inc. | | | | | | | | | |
9.12% | | 11/15/14 | | | | 250,000 | | | 243,750 |
Tenet Healthcare Corp. | | | | | | | | | |
7.38% | | 02/01/13 | | | | 600,000 | | | 549,000 |
| | | | | | | | | |
| | | | | | | | | 1,986,500 |
| | | | | | | | | |
Insurance — 0.43% | | | | | | | | | |
MetLife Capital Trust X | | | | | | | | | |
9.25% | | 04/08/38 | 2,4 | | | 500,000 | | | 475,750 |
| | | | | | | | | |
Services — 2.63% | | | | | | | | | |
Cengage Learning Acquisitions, Inc. | | | | | | | | | |
10.50% | | 01/15/15 | 4 | | | 650,000 | | | 516,750 |
Mobile Mini, Inc. | | | | | | | | | |
6.88% | | 05/01/15 | | | | 1,500,000 | | | 1,312,500 |
United Rentals North America, Inc. | | | | | | | | | |
7.00% | | 02/15/14 | | | | 1,550,000 | | | 1,092,750 |
| | | | | | | | | |
| | | | | | | | | 2,922,000 |
| | | | | | | | | |
Transportation — 3.98% | | | | | | | | | |
Continental Airlines, Inc. 1997-1 A | | | | | | | | | |
7.46% | | 04/01/15 | | | | 426,060 | | | 370,672 |
Continental Airlines, Inc. 2007-1 B | | | | | | | | | |
6.90% | | 04/19/22 | | | | 2,400,000 | | | 1,680,000 |
Continental Airlines, Inc. A | | | | | | | | | |
5.98% | | 04/19/22 | | | | 500,000 | | | 403,125 |
Delta Air Lines, Inc. 2001-1 A2 | | | | | | | | | |
7.11% | | 09/18/11 | | | | 1,500,000 | | | 1,383,750 |
Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | 04/01/11 | | | | 250,000 | | | 231,250 |
United Air Lines, Inc. 2001-1 | | | | | | | | | |
6.20% | | 09/01/08 | 5 | | | 361,370 | | | 350,528 |
| | | | | | | | | |
| | | | | | | | | 4,419,325 |
| | | | | | | | | |
Total Corporates (Cost $93,311,485) | | | | | | | | | 81,777,112 |
| | | | | | | | | |
BANK LOANS — 18.26%* |
Automotive — 1.60% |
Delphi Dip - 1st Lien Secured | | | | | | | | | |
7.25% | | 12/31/08 | | | | 1,000,000 | | | 976,875 |
General Motors Corp. Strip II | | | | | | | | | |
5.24% | | 07/20/11 | 6 | | | 500,000 | | | 327,084 |
Metaldyne Corp. | | | | | | | | | |
7.31% | | 01/11/14 | 6 | | | 1,000,000 | | | 471,250 |
| | | | | | | | | |
| | | | | | | | | 1,775,209 |
| | | | | | | | | |
Communications — 1.54% | | | | | | | | | |
Cebridge 2nd Lien (PIK) | | | | | | | | | |
8.80% | | 05/05/14 | 6 | | | 1,719,755 | | | 1,380,104 |
Univision Communications, Inc. 1st Lien Strip | | | | | | | | | |
5.12% | | 03/15/14 | 6 | | | 500,000 | | | 324,250 |
| | | | | | | | | |
| | | | | | | | | 1,704,354 |
| | | | | | | | | |
Consumer Discretionary — 1.20% | | | | | | | | | |
Tribune - Bridge Unsecured Delayed Drawing Term Loan | | | | | | | | | |
8.29% | | 12/31/08 | 6 | | | 761,905 | | | 278,095 |
Tribune 1st Lien Term Loan B | | | | | | | | | |
5.79% | | 05/24/14 | 6 | | | 1,979,962 | | | 1,054,330 |
| | | | | | | | | |
| | | | | | | | | 1,332,425 |
| | | | | | | | | |
Electric — 4.41% | | | | | | | | | |
Boston Generating LLC 1st Lien | | | | | | | | | |
5.29% | | 12/19/13 | 6 | | | 1,993,141 | | | 1,591,665 |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 6 | | | 2,227,378 | | | 2,221,809 |
TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
8.01% | | 12/15/14 | 6 | | | 1,250,000 | | | 1,088,541 |
| | | | | | | | | |
| | | | | | | | | 4,902,015 |
| | | | | | | | | |
Finance — 1.78% | | | | | | | | | |
Kelson 1st Lien | | | | | | | | | |
7.02% | | 03/16/13 | 6 | | | 350,589 | | | 327,363 |
Kelson 2nd Lien (PIK) | | | | | | | | | |
0.00% | | 03/01/14 | 6 | | | 2,000,000 | | | 1,645,000 |
| | | | | | | | | |
| | | | | | | | | 1,972,363 |
| | | | | | | | | |
Health Care — 2.93% | | | | | | | | | |
Carestream Health, Inc. Term Loan | | | | | | | | | |
8.06% | | 10/30/13 | 6 | | | 1,500,000 | | | 947,500 |
HCA Term Loan A | | | | | | | | | |
5.76% | | 11/18/12 | 6 | | | 2,626,439 | | | 2,309,953 |
| | | | | | | | | |
| | | | | | | | | 3,257,453 |
| | | | | | | | | |
63 / Semi-Annual Report September 2008
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BANK LOANS (continued) |
Insurance — 0.79% |
Asurion Corp. Term Loan | | | | | | | | | |
5.74% | | 07/13/14 | 6 | | $ | 1,000,000 | | $ | 875,625 |
| | | | | | | | | |
Materials — 0.96% | | | | | | | | | |
Lyondell Chemical Co. | | | | | | | | | |
7.00% | | 12/20/14 | 6 | | | 1,500,000 | | | 1,065,000 |
| | | | | | | | | |
Transportation — 3.05% | | | | | | | | | |
Delta Air Lines, Inc. Term Loan 1st Lien | | | | | | | | | |
5.39% | | 05/01/12 | 6 | | | 1,245,000 | | | 998,075 |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/12 | 6 | | | 2,222,323 | | | 1,921,383 |
Swift Transportation Co., Inc. Term Loan | | | | | | | | | |
6.86% | | 05/06/14 | 6 | | | 720,930 | | | 470,407 |
| | | | | | | | | |
| | | | | | | | | 3,389,865 |
| | | | | | | | | |
Total Bank Loans (Cost $24,159,793) | | | | | | | | | 20,274,309 |
| | | | | | | | | |
MORTGAGE-BACKED — 1.51%** | | | | | | | | | |
Non-Agency Mortgage-Backed — 1.41% | | | | | | | | | |
BHN I Mortgage Fund 2000-1 AF | | | | | | | | | |
8.00% | | 03/31/11 | 3,4 | | | 207,040 | | | 55,901 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 3,7,† | | | 682,728 | | | 10,834 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 3,7 | | | 943,331 | | | 9,581 |
Harborview Mortgage Loan Trust 2005-12 X2A (IO) | | | | | | | | | |
0.57% | | 10/19/35 | 2,3 | | | 7,253,005 | | | 71,397 |
Harborview Mortgage Loan Trust 2006-4 X1 (IO) | | | | | | | | | |
3.25% | | 05/19/47 | 2,3,† | | | 4,822,007 | | | 168,819 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 3,7 | | | 378,055 | | | 3,426 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR5 X | | | | | | | | | |
0.80% | | 06/25/46 | 3,7,† | | | 15,558,054 | | | 106,960 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO) | | | | | | | | | |
0.83% | | 08/25/46 | 3,7,† | | | 33,449,575 | | | 240,432 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO) | | | | | | | | | |
0.98% | | 02/25/47 | 3,7,† | | | 31,916,427 | | | 388,994 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO) | | | | | | | | | |
0.84% | | 03/25/47 | 3,7,† | | | 15,968,763 | | | 194,626 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO) | | | | | | | | | |
0.98% | | 04/25/47 | 3,7,† | | | 29,008,651 | | | 317,294 |
| | | | | | | | | |
| | | | | | | | | 1,568,264 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 0.10% | | | | | | | | | |
Fannie Mae 1993-225 SG | | | | | | | | | |
13.23% | | 12/25/13 | 2 | | | 85,440 | | | 98,931 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 63,381 | | | 6,660 |
| | | | | | | | | |
| | | | | | | | | 105,591 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $1,150,532) | | | | | | | | | 1,673,855 |
| | | | | | | | | |
Total Bonds — 94.49% (Cost $120,132,161) | | | | | | | | | 104,941,131 |
| | | | | | | | | |
| | | | | |
Issues | | Shares | | Value |
PREFERRED STOCK — 1.78% | | | | | |
Banking — 0.87% | | | | | |
Bank of America Corp. | | | | | |
1.81% | | 1,150 | | | 963,700 |
| | | | | |
Finance — 0.89% | | | | | |
Citigroup, Inc. | | | | | |
0.08% | | 24,000 | | | 984,000 |
| | | | | |
U.S. Agency Securities — 0.02% | | | | | |
Fannie Mae S | | | | | |
8.25% | | 5,000 | | | 10,900 |
Freddie Mac Z | | | | | |
8.38% | | 9,000 | | | 14,670 |
| | | | | 25,570 |
| | | | | |
Total Preferred Stock (Cost $2,552,671) | | | | | 1,973,270 |
| | | | | |
| | |
Issues | | Contracts | | Value |
PUT OPTIONS PURCHASED — 0.32% | | | | | |
Banking — 0.06% | | | | | |
Bank of America Corp., Put Strike $30, expires 01/16/10 | | | | | |
| | 105 | | $ | 66,150 |
| | | | | |
Finance — 0.13% | | | | | |
Citigroup, Inc., Put Strike $15, expires 01/16/10 | | | | | |
| | 320 | | | 74,560 |
Semi-Annual Report September 2008 / 64
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | | |
Issues | | | Contracts | | | Value | |
PUT OPTIONS PURCHASED (continued) | |
Finance (continued) | |
Wachovia Corp., Put Strike $5, expires 04/18/09 | | | | | | | | | | | |
| | | | | | 250 | | | $ | 73,750 | |
| | | | | | | | | | | |
| | | | | | | | | | 148,310 | |
| | | | | | | | | | | |
U.S. Government — 0.13% | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $118, expires 11/21/08 | | | | | | | | | | | |
| | | | | | 45 | | | | 141,328 | |
| | | | | | | | | | | |
Total Put Options Purchased (Cost $213,373) | | | | | | | | | | 355,788 | |
| | | | | | | | | | | |
| | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | | Value | |
SHORT TERM INVESTMENTS — 5.58% | | | | | | | | | | | |
Commercial Paper — 1.08% | | | | | | | | | | | |
General Electric Capital Corp. | | | | | | | | | | | |
1.75%8 | | 10/01/08 | | | $ | 1,205,000 | | | $ | 1,205,000 | |
| | | | | | | | | | | |
Money Market Fund — 0.44% | | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.35% | | | | | | 484,625 | | | | 484,625 | |
| | | | | | | | | | | |
U.S. Agency Discount Notes — 3.92% | | | | | | | | | | | |
Federal Home Loan Bank | | | | | | | | | | | |
2.17%8 | | 12/17/08 | | | | 1,896,000 | | | | 1,885,963 | |
2.41%8 | | 10/28/08 | | | | 580,000 | | | | 578,956 | |
2.41%8 | | 12/18/08 | | | | 583,000 | | | | 579,874 | |
Freddie Mac | | | | | | | | | | | |
2.41%8 | | 10/20/08 | 9 | | | 1,311,000 | | | | 1,309,339 | |
| | | | | | | | | | | |
| | | | | | | | | | 4,354,132 | |
| | | | | | | | | | | |
U.S. Treasury Bills — 0.14% | | | | | | | | | | | |
U.S. Treasury Bills | | | | | | | | | | | |
1.46%8 | | 10/16/08 | 9 | | | 30,000 | | | | 29,982 | |
1.52%8 | | 10/16/08 | 9 | | | 5,000 | | | | 4,997 | |
1.64%8 | | 10/16/08 | 9 | | | 120,000 | | | | 119,917 | |
| | | | | | | | | | | |
| | | | | | | | | | 154,896 | |
| | | | | | | | | | | |
Total Short Term Investments (Cost $6,199,521) | | | | | | | | | | 6,198,653 | |
| | | | | | | | | | | |
Total Investments — 102.17% (Cost $129,097,726)1 | | | | | | | | | | 113,468,842 | |
| | | | | | | | | | | |
Liabilities in Excess of Other Assets — (2.17%) | | | | | | | | | | (2,410,869 | ) |
| | | | | | | | | | | |
Net Assets — 100.00% | | | $ | 111,057,973 | |
| | | | | | | | | | | |
| | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
CALL OPTIONS WRITTEN | | | | | | | | | | | |
U.S. Long Bond (CBT), Call Strike $122, expires 11/21/08 | | (30 | ) | | | (23,372 | ) | | $ | (30,938 | ) |
U.S. Long Bond (CBT), Call Strike $123, expires 11/21/08 | | (30 | ) | | | (21,029 | ) | | | (25,312 | ) |
| | | | | | | | | | | |
Total Call Options Written | | | | | | (44,401 | ) | | | (56,250 | ) |
| | | | | | | | | | | |
WRITTEN PUT OPTIONS | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $116, expires 11/21/08 | | (45 | ) | | $ | (43,965 | ) | | $ | (97,031 | ) |
| | | | | | | | | | | |
Total Written Put Options | | | | | $ | (43,965 | ) | | $ | (97,031 | ) |
| | | | | | | | | | | |
| | | | | | | |
Contracts | | Unrealized
Appreciation |
FUTURES CONTRACTS: SHORT POSITIONS |
| 26 | | U.S. Treasury Two Year Note, December 2008 | | $ | 17,430 |
| | | | | |
| | Net unrealized appreciation | | $ | 17,430 |
| | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 2,330 | | $ | (18,470 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.54 % semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | | 3,500 | | | 7,656 | |
| | | | | | | | | |
| | | | | | | $ | (10,814 | ) |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (PURCHASED) | |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 250 | | | 7,711 | |
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 225 | | | 7,110 | |
The Fund pays a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 150 | | | 5,191 | |
The Fund pays a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 225 | | | 6,925 | |
65 / Semi-Annual Report September 2008
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | |
The Fund pays a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | $ | 150 | | $ | 4,502 | |
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 75 | | | 853 | |
The Fund pays a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 75 | | | 911 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 225 | | | 2,206 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 125 | | | 1,226 | |
The Fund pays a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 450 | | | 20,243 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 100 | | | 4,247 | |
The Fund pays a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 150 | | | 3,016 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 120 | | | (5,724 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 50 | | | (2,566 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 120 | | | (6,287 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 190 | | | (9,680 | ) |
The Fund pays a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 150 | | | 3,240 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM 8.175%, due 12/20/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 500 | | | 23,861 | |
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 250 | | | 6,997 | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 100 | | | (776 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | | 100 | | | (776 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 250 | | | 16,702 | |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 300 | | | (24,814 | ) |
The Fund pays a fixed rate equal to 3.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: UBS AG | | | | | | | | | |
| | 06/20/13 | | | 1,000 | | | 30,826 | |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 500 | | | 25,878 | |
The Fund pays a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/14 | | | 1,000 | | | (10,260 | ) |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 200 | | | (2,736 | ) |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 300 | | | (27,033 | ) |
| | | | | | | | | |
| | | | | | | $ | 80,993 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 615 | | | (294,652 | ) |
Semi-Annual Report September 2008 / 66
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | $ | 105 | | $ | (92,562 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 105 | | | (92,562 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 105 | | | (92,562 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 200 | | | (95,822 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 550 | | | (263,510 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 210 | | | (184,390 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 105 | | | (92,195 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 370 | | | (324,877 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 115 | | | (35,879 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 150 | | | (115,444 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 200 | | | (153,925 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 150 | | | (115,444 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 150 | | | (115,444 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | $ | 100 | | $ | (76,964 | ) |
| | | | | | | | | |
| | | | | | | $ | (2,146,232 | ) |
| | | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $129,294,286 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 685,613 | |
Gross unrealized depreciation | | | (16,511,057 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (15,825,444 | ) |
| | | | |
2 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
4 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $17,422,664 representing 15.69% of total net assets. |
6 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
07/03/07 | | Asurion Corp. Term Loan, 5.74%, 07/13/14 | | $ | 991,744 | | $ | 875,625 | | 0.79 | % |
12/19/06 | | Boston Generating LLC 1st Lien, 5.29%, 12/19/13 | | | 1,764,921 | | | 1,591,665 | | 1.43 | % |
09/17/07 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | | 2,246,062 | | | 2,221,809 | | 2.00 | % |
04/12/07 | | Carestream Health, Inc. Term Loan, 8.06%, 10/30/13 | | | 1,505,450 | | | 947,500 | | 0.85 | % |
06/30/06 | | Cebridge 2nd Lien (PIK), 8.80%, 05/05/14 | | | 1,623,405 | | | 1,380,104 | | 1.24 | % |
09/11/07 | | Delta Airlines, Inc. Term Loan 1st Lien, 5.39%, 05/01/12 | | | 1,113,204 | | | 998,075 | | 0.90 | % |
09/26/07 | | General Motors Corp. Strip II, 5.24%, 07/20/11 | | | 461,250 | | | 327,084 | | 0.30 | % |
09/17/07 | | HCA Term Loan A, 5.76%, 11/18/12 | | | 2,555,884 | | | 2,309,953 | | 2.08 | % |
04/16/08 | | Kelson 1st Lien, 7.02%, 03/16/13 | | | 340,943 | | | 327,363 | | 0.30 | % |
09/16/08 | | Kelson 2nd Lien (PIK), 0.00%, 03/01/14 | | | 1,712,500 | | | 1,645,000 | | 1.48 | % |
08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 1,953,191 | | | 1,921,383 | | 1.73 | % |
06/14/07 | | Swift Transportation Co., Inc. Term Loan, 6.86%, 05/06/14 | | | 620,148 | | | 470,407 | | 0.42 | % |
12/21/06 | | TPF Generation Holdings LLC 2nd Lien, 8.01%, 12/15/14 | | | 1,222,069 | | | 1,088,541 | | 0.98 | % |
05/24/07 | | Tribune - Bridge Unsecured Delayed Drawing Term Loan, 8.29%, 12/31/08 | | | 761,905 | | | 278,095 | | 0.25 | % |
67 / Semi-Annual Report September 2008
High Yield Bond Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
05/17/07 | | Tribune 1st Lien Term Loan B, 5.79%, 05/24/14 | | $ | 1,840,868 | | $ | 1,054,330 | | 0.95 | % |
11/30/07 | | Univision Communications, Inc. 1st Lien Strip, 5.12%, 03/15/14 | | | 467,339 | | | 324,250 | | 0.29 | % |
| | | | | | | | | | | |
| | | | $ | 21,180,883 | | $ | 17,761,184 | | 15.99 | % |
| | | | | | | | | | | |
7 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
8 | Represents annualized yield at date of purchase. |
9 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $1,452,668 which is 1.31% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(CBT): Chicago Board of Trade
(DIP): Defaulted interest payment
(IO): Interest only
(MTN): Medium term note
(PIK): Paid in kind
(STEP): Step coupon bond
Semi-Annual Report September 2008 / 68
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS — 103.81% |
ASSET-BACKED SECURITIES — 34.02%** |
ABFS Mortgage Loan Trust 2002-2 A7 (STEP) | | | | | | | | | |
5.22% | | 07/15/33 | | | $ | 4,985 | | $ | 4,921 |
Aerco Ltd. 2A A3 | | | | | | | | | |
2.95% | | 07/15/25 | 2,3,† | | | 4,010,452 | | | 2,568,415 |
Asset Backed Funding Certificates 2007-WMC1 A2B | | | | | | | | | |
4.21% | | 06/25/37 | 2 | | | 5,000,000 | | | 2,707,815 |
Asset Backed Securities Corp. Home Equity 2007-HE1 A2 | | | | | | | | | |
3.26% | | 12/25/36 | 2 | | | 150,753 | | | 144,536 |
Aviation Capital Group Trust 2003-2A B1 | | | | | | | | | |
6.19% | | 09/20/33 | 2,3,† | | | 2,716,314 | | | 2,146,004 |
Bayview Financial Acquisition Trust 2004-B A1 | | | | | | | | | |
4.71% | | 05/28/39 | 2,3 | | | 5,327,718 | | | 4,347,088 |
Centex Home Equity 2006-A AV4 | | | | | | | | | |
3.46% | | 06/25/36 | 2 | | | 4,300,000 | | | 2,936,574 |
Citicorp Residential Mortgage Securities 2007-1 A5 (STEP) | | | | | | | | | |
6.05% | | 03/25/37 | | | | 1,750,000 | | | 1,223,660 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 A3 | | | | | | | | | |
3.39% | | 03/25/37 | 2 | | | 5,000,000 | | | 3,152,445 |
Citigroup Mortgage Loan Trust, Inc. 2007-WFH2 M1 | | | | | | | | | |
3.61% | | 03/25/37 | 2,4 | | | 6,500,000 | | | 1,836,592 |
Conseco Finance 2002-C BF1 | | | | | | | | | |
8.00% | | 06/15/32 | 2 | | | 3,763,000 | | | 3,177,496 |
Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | 06/15/32 | 2,3,† | | | 1,140,303 | | | 1,044,546 |
Conseco Finance Securitizations Corp. 2002-1 A | | | | | | | | | |
6.68% | | 12/01/33 | 2 | | | 177,604 | | | 170,530 |
Conseco Finance Securitizations Corp. 2002-2 AIO (IO) | | | | | | | | | |
8.50% | | 03/01/33 | 2,4,† | | | 187,931 | | | 22,772 |
Countrywide Asset-Backed NIM Certificates 2006-12N | | | | | | | | | |
7.25% | | 07/25/37 | 3,† | | | 253,658 | | | 15,219 |
Countrywide Asset-Backed NIM Certificates 2007-1 Note | | | | | | | | | |
3.64% | | 01/25/12 | 2,3,† | | | 9,398,148 | | | 5,757,174 |
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV3 | | | | | | | | | |
3.36% | | 05/25/36 | 2 | | | 6,900,000 | | | 5,563,597 |
Crystal River 2005-1A A | | | | | | | | | |
3.17% | | 03/02/46 | 2,3,4,† | | | 1,447,445 | | | 1,422,177 |
Deutsche Financial Capital Securitization LLC 1997-I A3 | | | | | | | | | |
6.75% | | 09/15/27 | | | | 105,858 | | | 107,515 |
First Franklin Mortgage Loan Asset Backed Certificates 2004-FFH3 2A4 | | | | | | | | | |
3.75% | | 10/25/34 | 2 | | | 236,020 | | | 222,731 |
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF1 A2D | | | | | | | | | |
3.43% | | 01/25/38 | 2,† | | | 6,900,000 | | | 2,967,298 |
Fremont Home Loan Trust 2006-3 2A1 | | | | | | | | | |
3.28% | | 02/25/37 | 2 | | | 55,223 | | | 54,130 |
Green Tree Financial Corp. 1996-10 M1 | | | | | | | | | |
7.24% | | 11/15/28 | 2 | | | 2,700,000 | | | 2,362,394 |
Green Tree Financial Corp. 1996-8 A6 | | | | | | | | | |
7.60% | | 10/15/27 | 2 | | | 64,397 | | | 66,743 |
Green Tree Financial Corp. 1998-4 A7 | | | | | | | | | |
6.87% | | 04/01/30 | 2 | | | 882,488 | | | 830,132 |
Green Tree Financial Corp. 1999-1 A5 | | | | | | | | | |
6.11% | | 09/01/23 | | | | 21,088 | | | 20,890 |
Green Tree Financial Corp. 1999-5 A5 | | | | | | | | | |
7.86% | | 03/01/30 | 2 | | | 173,185 | | | 147,899 |
Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | 07/15/20 | | | | 94,384 | | | 69,455 |
Green Tree Home Improvement Loan Trust 1995-D B2 | | | | | | | | | |
7.45% | | 09/15/25 | | | | 201,863 | | | 146,156 |
Green Tree Home Improvement Loan Trust 1995-F B2 | | | | | | | | | |
7.10% | | 01/15/21 | | | | 30,183 | | | 22,581 |
Green Tree Recreational Equipment & Consumer Trust 1996-C Certificates | | | | | | | | | |
7.65% | | 10/15/17 | | | | 19,727 | | | 18,261 |
HFC Home Equity Loan Asset Backed Certificates 2004-1 A | | | | | | | | | |
2.82% | | 09/20/33 | 2 | | | 865,524 | | | 797,333 |
HSI Asset Securitization Corp. Trust 2006-HE2 2A1 | | | | | | | | | |
3.26% | | 12/25/36 | 2 | | | 197,785 | | | 183,766 |
IndyMac Manufactured Housing Contract 1997-1 A3 | | | | | | | | | |
6.61% | | 02/25/28 | | | | 1,027,999 | | | 946,749 |
IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | 02/25/28 | | | | 507,599 | | | 465,814 |
IndyMac Manufactured Housing Contract 1998-1 A4 | | | | | | | | | |
6.49% | | 09/25/28 | | | | 252,217 | | | 218,516 |
IndyMac Manufactured Housing Contract 1998-1 A5 | | | | | | | | | |
6.96% | | 09/25/28 | 2 | | | 910,804 | | | 803,560 |
IndyMac Manufactured Housing Contract 1998-2 A2 | | | | | | | | | |
6.17% | | 12/25/11 | | | | 216,353 | | | 203,974 |
IndyMac Manufactured Housing Contract 1998-2 A4 | | | | | | | | | |
6.64% | | 12/25/27 | 2 | | | 460,555 | | | 438,393 |
Inman Square Funding Ltd. 2004-1A I | | | | | | | | | |
3.39% | | 10/20/34 | 2,3,4,† | | | 1,056,487 | | | 876,884 |
69 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) |
Inman Square Funding Ltd. 2005-2A I | | | | | | | | | |
3.24% | | 10/06/40 | 2,3,4,† | | $ | 14,104,300 | | $ | 5,923,807 |
Ivy Lane CDO Ltd. 2006-1A A1 | | | | | | | | | |
3.12% | | 02/05/46 | 2,3,4,† | | | 14,824,124 | | | 6,077,892 |
Lehman ABS Mortgage Loan Trust 2007-1 2A1 | | | | | | | | | |
3.30% | | 06/25/37 | 2,3 | | | 284,401 | | | 268,892 |
Long Beach Asset Holdings Corp. 2006-11 N1 | | | | | | | | | |
6.75% | | 01/25/47 | 3,† | | | 763,709 | | | 295 |
Long Beach Asset Holdings Corp. 2006-9 N1 | | | | | | | | | |
6.25% | | 10/25/46 | 3,4,† | | | 971,205 | | | 14,166 |
Merrill Lynch Mortgage Investors, Inc. 2004-HE2 A2C | | | | | | | | | |
3.79% | | 08/25/35 | 2 | | | 1,389,210 | | | 1,155,511 |
Mid-State Trust 11 B | | | | | | | | | |
8.22% | | 07/15/38 | | | | 20,000 | | | 16,520 |
Mid-State Trust 2004-1 B | | | | | | | | | |
8.90% | | 08/15/37 | | | | 1,537,263 | | | 1,344,006 |
Mid-State Trust 6 A4 | | | | | | | | | |
7.79% | | 07/01/35 | | | | 62,575 | | | 56,129 |
Morgan Stanley ABS Capital I 2007-HE1 A2D | | | | | | | | | |
3.44% | | 11/25/36 | 2 | | | 6,900,000 | | | 3,395,614 |
Nationstar Home Equity Loan Trust 2007-A AV4 | | | | | | | | | |
3.44% | | 03/25/37 | 2,† | | | 5,000,000 | | | 3,155,982 |
Nationstar NIM Trust 2007-B A | | | | | | | | | |
8.75% | | 05/25/37 | 3,4,† | | | 687,907 | | | 41,274 |
Nationstar NIM Trust 2007-C A | | | | | | | | | |
8.00% | | 06/25/37 | 3,† | | | 296,439 | | | 148,475 |
Oakwood Mortgage Investors, Inc. 1998-A A4 | | | | | | | | | |
6.20% | | 05/15/28 | | | | 4,538 | | | 4,483 |
Oakwood Mortgage Investors, Inc. 1998-B A4 | | | | | | | | | |
6.35% | | 03/15/17 | | | | 270,669 | | | 267,316 |
Oakwood Mortgage Investors, Inc. 1999-A A2 | | | | | | | | | |
5.89% | | 04/15/29 | | | | 258,966 | | | 245,731 |
Oakwood Mortgage Investors, Inc. 2001-D A2 | | | | | | | | | |
5.26% | | 01/15/19 | 2 | | | 201,881 | | | 154,091 |
Oakwood Mortgage Investors, Inc. 2001-D A3 | | | | | | | | | |
5.90% | | 09/15/22 | 2 | | | 12,026 | | | 9,596 |
Oakwood Mortgage Investors, Inc. 2001-D A4 | | | | | | | | | |
6.93% | | 09/15/31 | 2 | | | 727,180 | | | 607,059 |
Oakwood Mortgage Investors, Inc. 2002-A AIO (IO) | | | | | | | | | |
6.00% | | 02/15/10 | 4,† | | | 220,307 | | | 19,922 |
Oakwood Mortgage Investors, Inc. 2002-B A2 | | | | | | | | | |
5.19% | | 09/15/19 | 2 | | | 242,567 | | | 207,243 |
Oakwood Mortgage Investors, Inc. 2002-B AIO (IO) | | | | | | | | | |
6.00% | | 05/15/10 | 4,† | | | 2,167,344 | | | 174,989 |
PAMCO CLO 1998-1A B2 | | | | | | | | | |
4.15% | | 05/01/10 | 2,3,† | | | 1,055,132 | | | 923,423 |
RAAC 2007-RP1 M4 | | | | | | | | | |
5.21% | | 05/25/46 | 2,3,† | | | 16,619 | | | 2,825 |
Renaissance Home Equity Loan Trust 2007-1 N | | | | | | | | | |
9.79% | | 04/25/37 | 3,4,† | | | 1,402,075 | | | 113,372 |
Residential Asset Mortgage Products, Inc. 2007-RZ1 A1 | | | | | | | | | |
3.28% | | 02/25/37 | 2 | | | 178,859 | | | 168,778 |
Residential Asset Securities Corp. 2007-KS2 AI1 | | | | | | | | | |
3.28% | | 02/25/37 | 2 | | | 212,631 | | | 199,508 |
Soundview NIM Trust 2007-OPT1 N | | | | | | | | | |
9.00% | | 06/25/37 | 3,4 | | | 2,917,886 | | | 58,358 |
Specialty Underwriting & Residential Finance 2004-BC4 A2C | | | | | | | | | |
3.70% | | 10/25/35 | 2,† | | | 2,360,738 | | | 1,935,906 |
Structured Asset Receivables Trust 2003-1 | | | | | | | | | |
3.29% | | 01/21/10 | 2,3,† | | | 387,145 | | | 358,109 |
Structured Asset Receivables Trust 2003-2 | | | | | | | | | |
3.19% | | 01/21/09 | 2,3,† | | | 295,183 | | | 274,521 |
Structured Asset Receivables Trust 2005-1 | | | | | | | | | |
3.29% | | 01/21/15 | 2,3,† | | | 14,219,961 | | | 12,015,861 |
Terwin Mortgage Trust 2004-7HE A1 | | | | | | | | | |
3.76% | | 07/25/34 | 2,3 | | | 122,539 | | | 104,536 |
Terwin Mortgage Trust 2007-9SL M1 | | | | | | | | | |
5.71% | | 06/25/38 | 2,3,† | | | 1,000,000 | | | 150,045 |
Terwin Mortgage Trust NIM 2007-4 N1 | | | | | | | | | |
10.00% | | 05/25/38 | 3,† | | | 1,157,719 | | | 52,197 |
UCFC Home Equity Loan 1998-D BF1 | | | | | | | | | |
8.97% | | 04/15/30 | 2 | | | 585 | | | 382 |
Wells Fargo Home Equity Trust 2007-2 M1 | | | | | | | | | |
3.58% | | 04/25/37 | 2 | | | 5,000,000 | | | 1,329,046 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $144,920,750) | | | | | | | | | 91,188,595 |
| | | | | | | | | |
CORPORATES — 24.73%* | | | | | | | | | |
Automotive — 0.33% | | | | | | | | | |
General Motors Corp. | | | | | | | | | |
7.38% | | 05/23/48 | | | | 2,600,000 | | | 871,000 |
| | | | | | | | | |
Banking — 2.48% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | |
8.00% | | 12/29/49 | 2 | | | 1,000,000 | | | 793,062 |
Chase Capital II B | | | | | | | | | |
3.30% | | 02/01/27 | 2 | | | 1,605,000 | | | 1,270,837 |
Deutsche Bank Capital Funding Trust VII | | | | | | | | | |
5.63% | | 01/19/49 | 2,3 | | | 1,000,000 | | | 766,989 |
JPMorgan Chase & Co. 1 | | | | | | | | | |
7.90% | | 12/31/49 | 2 | | | 2,000,000 | | | 1,688,262 |
Semi-Annual Report September 2008 / 70
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) |
Banking (continued) |
JPMorgan Chase Bank NA | | | | | | | | | |
8.75% | | 11/28/21 | 2 | | $ | 2,201,000 | | $ | 2,136,071 |
| | | | | | | | | |
| | | | | | | | | 6,655,221 |
| | | | | | | | | |
Basic Industry — 0.45% | | | | | | | | | |
Noranda Aluminium Holding Corp. | | | | | | | | | |
8.58% | | 11/15/14 | 2 | | | 1,825,000 | | | 1,213,625 |
| | | | | | | | | |
Communications — 1.58% | | | | | | | | | |
CCO Holdings LLC/CCO Holdings Capital Corp. | | | | | | | | | |
8.75% | | 11/15/13 | | | | 3,000,000 | | | 2,617,500 |
Dex Media West LLC/Dex Media Finance Co. B | | | | | | | | | |
8.50% | | 08/15/10 | | | | 1,000,000 | | | 887,500 |
Level 3 Financing, Inc. | | | | | | | | | |
8.75% | | 02/15/17 | | | | 750,000 | | | 547,500 |
9.25% | | 11/01/14 | | | | 250,000 | | | 190,000 |
| | | | | | | | | |
| | | | | | | | | 4,242,500 |
| | | | | | | | | |
Electric — 1.19% | | | | | | | | | |
Calpine Construction Finance Co., LP | | | | | | | | | |
11.60% | | 08/26/11 | 2,3 | | | 750,000 | | | 810,000 |
PNM Resources, Inc. | | | | | | | | | |
9.25% | | 05/15/15 | | | | 650,000 | | | 643,500 |
Power Contract Financing LLC | | | | | | | | | |
6.26% | | 02/01/10 | 3 | | | 1,714,970 | | | 1,737,779 |
| | | | | | | | | |
| | | | | | | | | 3,191,279 |
| | | | | | | | | |
Energy — 0.81% | | | | | | | | | |
Sabine Pass LNG LP | | | | | | | | | |
7.25% | | 11/30/13 | | | | 850,000 | | | 675,750 |
Southern Union Co. | | | | | | | | | |
7.20% | | 11/01/66 | 2 | | | 2,005,000 | | | 1,482,513 |
| | | | | | | | | |
| | | | | | | | | 2,158,263 |
| | | | | | | | | |
Finance — 9.33% | | | | | | | | | |
Bear Stearns Cos., Inc. (The) (MTN) | | | | | | | | | |
2.90% | | 02/23/10 | 2 | | | 3,575,000 | | | 3,520,342 |
Citigroup Capital XXI | | | | | | | | | |
8.30% | | 12/21/57 | 2 | | | 930,000 | | | 694,430 |
Citigroup, Inc. | | | | | | | | | |
8.40% | | 04/30/49 | 2 | | | 810,000 | | | 552,347 |
Countrywide Financial Corp. (Convertible) | | | | | | | | | |
0.55% | | 05/15/37 | 2 | | | 3,250,000 | | | 2,973,750 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 2 | | | 575,000 | | | 540,500 |
3.42% | | 03/24/09 | 2 | | | 4,823,000 | | | 4,708,333 |
Ford Motor Credit Co. LLC | | | | | | | | | |
5.54% | | 01/13/12 | 2 | | | 4,000,000 | | | 2,520,000 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 2 | | | 5,556,000 | | | 2,568,383 |
7.25% | | 03/02/11 | | | | 2,000,000 | | | 946,384 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
2.98% | | 02/06/12 | 2 | | | 750,000 | | | 582,606 |
3.29% | | 01/12/15 | 2 | | | 750,000 | | | 488,778 |
6.15% | | 04/01/18 | | | | 1,000,000 | | | 832,926 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 5,000,000 | | | 4,075,000 |
| | | | | | | | | |
| | | | | | | | | 25,003,779 |
| | | | | | | | | |
Insurance — 0.30% | | | | | | | | | |
Farmers Exchange Capital | | | | | | | | | |
7.05% | | 07/15/28 | 3 | | | 1,000,000 | | | 800,101 |
| | | | | | | | | |
Real Estate Investment Trust (REIT) — 0.81% | | | | | | | | | |
HCP, Inc. | | | | | | | | | |
7.07% | | 06/08/15 | | | | 500,000 | | | 449,279 |
HRPT Properties Trust | | | | | | | | | |
3.42% | | 03/16/11 | 2 | | | 750,000 | | | 681,577 |
Shurgard Storage Centers LLC | | | | | | | | | |
7.75% | | 02/22/11 | | | | 1,000,000 | | | 1,045,713 |
| | | | | | | | | |
| | | | | | | | | 2,176,569 |
| | | | | | | | | |
Secured Assets — 0.33% | | | | | | | | | |
Ingress I Ltd. B-A | | | | | | | | | |
7.38% | | 03/30/40 | 3,† | | | 1,000,000 | | | 889,843 |
| | | | | | | | | |
Transportation — 7.12% | | | | | | | | | |
American Airlines, Inc. 1999-1 A1 | | | | | | | | | |
6.86% | | 10/15/10 | | | | 11,520 | | | 11,174 |
American Airlines, Inc. 2001-2 A1 | | | | | | | | | |
6.98% | | 04/01/11 | | | | 64,916 | | | 59,398 |
Continental Airlines, Inc. 1997-1 A | | | | | | | | | |
7.46% | | 04/01/15 | | | | 3,968,731 | | | 3,452,796 |
Continental Airlines, Inc. 2007-1 B | | | | | | | | | |
6.90% | | 04/19/22 | | | | 2,650,000 | | | 1,855,000 |
Continental Airlines, Inc. A | | | | | | | | | |
5.98% | | 04/19/22 | | | | 2,950,000 | | | 2,378,438 |
Delta Air Lines, Inc. 2001-1 A2 | | | | | | | | | |
7.11% | | 09/18/11 | | | | 11,070,000 | | | 10,212,075 |
Northwest Airlines, Inc. 2001 1A-2 | | | | | | | | | |
6.84% | | 04/01/11 | | | | 1,200,000 | | | 1,110,000 |
United Air Lines, Inc. 2001-1 A1 | | | | | | | | | |
6.07% | | 03/01/13 | | | | 1,404 | | | 1,383 |
| | | | | | | | | |
| | | | | | | | | 19,080,264 |
| | | | | | | | | |
Total Corporates (Cost $76,147,712) | | | | | | | | | 66,282,444 |
| | | | | | | | | |
71 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BANK LOANS — 7.38%* |
Automotive — 0.74% |
Delphi Dip - 1st Lien Secured | | | | | | | | | |
7.25% | | 12/31/08 | | | $ | 1,000,000 | | $ | 976,875 |
General Motors Corp. Strip II | | | | | | | | | |
5.24% | | 07/20/11 | 5 | | | 1,550,000 | | | 1,013,959 |
| | | | | | | | | |
| | | | | | | | | 1,990,834 |
| | | | | | | | | |
Basic Industry — 0.38% | | | | | | | | | |
Murray Bank Loan 3rd Lien | | | | | | | | | |
18.77% | | 07/28/11 | 4,5 | | | 1,086,543 | | | 1,010,485 |
| | | | | | | | | |
Communications — 0.73% | | | | | | | | | |
Cebridge 2nd Lien (PIK) | | | | | | | | | |
8.80% | | 05/05/14 | 5 | | | 2,453,482 | | | 1,968,919 |
| | | | | | | | | |
Consumer Discretionary — 0.70% | | | | | | | | | |
Tribune - Bridge Unsecured Delayed Drawing Term Loan | | | | | | | | | |
8.29% | | 12/31/08 | 5 | | | 1,523,810 | | | 556,191 |
Tribune 1st Lien Term Loan B | | | | | | | | | |
5.79% | | 05/24/14 | 5 | | | 2,469,987 | | | 1,315,268 |
| | | | | | | | | |
| | | | | | | | | 1,871,459 |
| | | | | | | | | |
Electric — 1.39% | | | | | | | | | |
Boston Generating LLC 1st Lien | | | | | | | | | |
5.29% | | 12/19/13 | 5 | | | 2,959,086 | | | 2,363,040 |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 5 | | | 497,382 | | | 496,139 |
TPF Generation Holdings LLC 2nd Lien | | | | | | | | | |
8.01% | | 12/15/14 | 5 | | | 1,000,000 | | | 870,833 |
| | | | | | | | | |
| | | | | | | | | 3,730,012 |
| | | | | | | | | |
Finance — 0.19% | | | | | | | | | |
Kelson 1st Lien | | | | | | | | | |
7.02% | | 03/16/13 | 5 | | | 539,368 | | | 503,635 |
| | | | | | | | | |
Health Care — 0.53% | | | | | | | | | |
Carestream Health, Inc. Term Loan | | | | | | | | | |
8.06% | | 10/30/13 | 5 | | | 2,250,000 | | | 1,421,251 |
| | | | | | | | | |
Insurance — 0.33% | | | | | | | | | |
Asurion Corp. Term Loan | | | | | | | | | |
5.74% | | 07/13/14 | 5 | | | 1,000,000 | | | 875,625 |
| | | | | | | | | |
Transportation — 2.39% | | | | | | | | | |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/12 | 5 | | | 4,909,899 | | | 4,245,015 |
Swift Transportation Co., Inc. Term Loan | | | | | | | | | |
6.86% | | 05/06/14 | 5 | | | 2,151,163 | | | 1,403,634 |
United Air Lines, Inc. | | | | | | | | | |
5.46% | | 02/01/14 | 5 | | | 1,210,385 | | | 750,439 |
| | | | | | | | | |
| | | | | | | | | 6,399,088 |
| | | | | | | | | |
Total Bank Loans (Cost $26,128,396) | | | | | | | | | 19,771,308 |
| | | | | | | | | |
MORTGAGE-BACKED — 37.68%** | | | | | | | | | |
Commercial Mortgage-Backed — 2.75% | | | | | | | | | |
Bayview Commercial Asset Trust 2007-1 A1 | | | | | | | | | |
3.43% | | 03/25/37 | 2,3,† | | | 4,997,149 | | | 4,098,090 |
Morgan Stanley Mortgage Loan Trust 2006-7 5A2 | | | | | | | | | |
5.96% | | 06/25/36 | 2,† | | | 3,500,000 | | | 2,036,694 |
Opteum Mortgage Acceptance Corp. 2005-5 2A1B | | | | | | | | | |
5.64% | | 12/25/35 | 2,† | | | 1,350,000 | | | 954,332 |
Structured Asset Securities Corp. 1996-CFL H | | | | | | | | | |
7.75% | | 02/25/28 | 3 | | | 278,378 | | | 277,236 |
| | | | | | | | | |
| | | | | | | | | 7,366,352 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 6.25% | | | | | | | | | |
Banco de Credito Y Securitizacion SA 2001-1 AF | | | | | | | | | |
8.00% | | 05/31/10 | 3,4,† | | | 898,412 | | | 243,345 |
BHN I Mortgage Fund 2000-1 AF | | | | | | | | | |
8.00% | | 03/31/11 | 3,4 | | | 7,880 | | | 2,128 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 4,6,† | | | 2,499,834 | | | 39,670 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 4 | | | 40,195,649 | | | 1,048,855 |
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A | | | | | | | | | |
3.80% | | 04/19/47 | 2 | | | 1,784,982 | | | 1,075,510 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 4,6 | | | 5,958,454 | | | 60,515 |
Harborview Mortgage Loan Trust 2005-12 X2A (IO) | | | | | | | | | |
0.57% | | 10/19/35 | 2,4 | | | 28,210,167 | | | 277,694 |
Harborview Mortgage Loan Trust 2006-1 X1 (IO) | | | | | | | | | |
2.93% | | 03/19/37 | 2,4,† | | | 25,449,311 | | | 938,702 |
Harborview Mortgage Loan Trust 2006-4 X1 (IO) | | | | | | | | | |
3.25% | | 05/19/47 | 2,4,† | | | 52,179,604 | | | 1,826,816 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 4,6 | | | 1,457,061 | | | 13,205 |
Semi-Annual Report September 2008 / 72
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) |
Non-Agency Mortgage-Backed (continued) |
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B | | | | | | | | | |
3.61% | | 08/25/34 | 2 | | $ | 371,277 | | $ | 262,875 |
Lehman XS Trust 2007-12N 1A3A | | | | | | | | | |
3.41% | | 07/25/47 | 2 | | | 10,120,000 | | | 2,489,842 |
Terwin Mortgage Trust NIM 2007-2 N1 | | | | | | | | | |
7.50% | | 04/25/38 | 3 | | | 2,849,942 | | | 99,992 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR9 1XPP (IO) | | | | | | | | | |
0.83% | | 08/25/46 | 4,6,† | | | 247,592,440 | | | 1,779,670 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA1 XPPP (IO) | | | | | | | | | |
0.98% | | 02/25/47 | 4,6,† | | | 209,077,172 | | | 2,548,212 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA2 1XPP (IO) | | | | | | | | | |
0.84% | | 03/25/47 | 4,6,† | | | 206,717,793 | | | 2,519,456 |
Washington Mutual Mortgage Pass-Through Certificates 2007-OA3 CXPP (IO) | | | | | | | | | |
0.98% | | 04/25/47 | 4,6,† | | | 128,466,881 | | | 1,405,158 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A | | | | | | | | | |
7.00% | | 04/25/33 | | | | 131,966 | | | 135,545 |
| | | | | | | | | |
| | | | | | | | | 16,767,190 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 28.68% | | | | | | | | | |
Fannie Mae 1993-80 S | | | | | | | | | |
6.75% | | 05/25/23 | 2 | | | 21,608 | | | 21,282 |
Fannie Mae 2000-45 SA (IO) | | | | | | | | | |
5.20% | | 12/18/30 | 2 | | | 3,501,038 | | | 302,782 |
Fannie Mae 2001-42 SB | | | | | | | | | |
8.50% | | 09/25/31 | 2 | | | 2,714 | | | 2,699 |
Fannie Mae 2003-107 SQ (IO) | | | | | | | | | |
4.44% | | 05/25/33 | 2 | | | 513,790 | | | 30,495 |
Fannie Mae 2003-124 (IO) | | | | | | | | | |
5.25% | | 03/25/31 | | | | 240,518 | | | 23,434 |
Fannie Mae 2003-124 TS | | | | | | | | | |
9.80% | | 01/25/34 | 2 | | | 50,764 | | | 50,671 |
Fannie Mae 2003-37 IG (IO) | | | | | | | | | |
5.50% | | 05/25/32 | | | | 2,276,478 | | | 345,757 |
Fannie Mae 2003-67 IH (IO) | | | | | | | | | |
5.00% | | 01/25/25 | | | | 313,628 | | | 3,144 |
Fannie Mae 2003-85 IP (IO) | | | | | | | | | |
5.50% | | 12/25/28 | | | | 112,634 | | | 8,282 |
Fannie Mae 2005-47 SL | | | | | | | | | |
7.50% | | 06/25/35 | 2 | | | 1,522,367 | | | 1,292,611 |
Fannie Mae 2007-34 SB (IO) | | | | | | | | | |
2.90% | | 04/25/37 | 2,7 | | | 51,093,086 | | | 3,247,650 |
Fannie Mae FNCL (TBA) | | | | | | | | | |
5.00% | | 10/25/38 | | | | 55,000,000 | | | 53,599,205 |
Fannie Mae Pool 555312 | | | | | | | | | |
5.99% | | 01/01/33 | 2 | | | 431,489 | | | 435,484 |
Freddie Mac 1602 SN | | | | | | | | | |
10.09% | | 10/15/23 | 2 | | | 14,590 | | | 16,176 |
Freddie Mac 2451 SP | | | | | | | | | |
11.47% | | 05/15/09 | 2 | | | 7,369 | | | 7,491 |
Freddie Mac 2527 TI (IO) | | | | | | | | | |
6.00% | | 02/15/32 | | | | 717,358 | | | 91,258 |
Freddie Mac 2561 BX (IO) | | | | | | | | | |
5.00% | | 05/15/17 | | | | 1,580,416 | | | 141,557 |
Freddie Mac 2587 IH (IO) | | | | | | | | | |
5.00% | | 08/15/25 | | | | 560,926 | | | 4,255 |
Freddie Mac 2596 IJ (IO) | | | | | | | | | |
5.00% | | 01/15/17 | | | | 569,043 | | | 32,635 |
Freddie Mac 2642 BW (IO) | | | | | | | | | |
5.00% | | 06/15/23 | | | | 182,194 | | | 35,239 |
Freddie Mac 2657 LX (IO) | | | | | | | | | |
6.00% | | 05/15/18 | | | | 951,811 | | | 106,731 |
Freddie Mac 2692 EI (IO) | | | | | | | | | |
5.50% | | 08/15/33 | | | | 261,436 | | | 71,661 |
Freddie Mac 2764 CT | | | | | | | | | |
7.50% | | 03/15/34 | 2 | | | 484,267 | | | 434,769 |
Freddie Mac 2764 SH | | | | | | | | | |
7.50% | | 03/15/34 | 2 | | | 289,345 | | | 276,411 |
Freddie Mac 2827 JT | | | | | | | | | |
8.50% | | 12/15/32 | 2 | | | 167,342 | | | 166,841 |
Freddie Mac 2856 ST | | | | | | | | | |
7.00% | | 09/15/23 | 2 | | | 722,649 | | | 737,053 |
Freddie Mac 3242 SA (IO) | | | | | | | | | |
3.86% | | 11/15/36 | 2,7 | | | 57,041,115 | | | 4,100,258 |
Freddie Mac 3260 AS (IO) | | | | | | | | | |
3.89% | | 01/15/37 | 2,7,† | | | 66,946,863 | | | 4,581,676 |
Freddie Mac 3280 SI (IO) | | | | | | | | | |
3.95% | | 02/15/37 | 2,7,† | | | 42,701,752 | | | 2,990,612 |
Freddie Mac 3289 SD (IO) | | | | | | | | | |
3.63% | | 03/15/37 | 2,† | | | 22,928,963 | | | 1,409,773 |
Freddie Mac 3430 IA | | | | | | | | | |
0.82% | | 07/15/12 | † | | | 107,361,227 | | | 1,694,160 |
Ginnie Mae 2001-31 SJ | | | | | | | | | |
16.84% | | 02/20/31 | 2 | | | 106,856 | | | 116,793 |
Ginnie Mae 2003-28 LI (IO) | | | | | | | | | |
5.50% | | 02/20/32 | | | | 175,881 | | | 18,481 |
Ginnie Mae 2003-58 IG (IO) | | | | | | | | | |
5.50% | | 05/17/29 | | | | 96,772 | | | 1,274 |
Ginnie Mae 2004-34 IA (IO) | | | | | | | | | |
5.50% | | 12/20/31 | | | | 55,034 | | | 112 |
73 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) |
U.S. Agency Mortgage-Backed (continued) |
Ginnie Mae 2004-8 SE | | | | | | | | | |
7.44% | | 11/26/23 | 2 | | $ | 482,573 | | $ | 486,351 |
| | | | | | | | | |
| | | | | | | | | 76,885,063 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $94,054,926) | | | | | | | | | 101,018,605 |
| | | | | | | | | |
Total Bonds – 103.81% (Cost $341,251,784) | | | | | | | | | 278,260,952 |
| | | | | | | | | |
| | | |
Issues | | Maturity
Date | | | Shares | | Value |
PREFERRED STOCK — 2.22% | | | | | | | | | |
Automotive — 0.02% | | | | | | | | | |
Corts Trust for Ford Motor Co. | | | | | | | | | |
0.10% | | 07/16/31 | | | | 700 | | | 4,788 |
Preferred Plus Trust Ford Motor Co. | | | | | | | | | |
0.10% | | 07/16/31 | | | | 8,100 | | | 58,725 |
| | | | | | | | | |
| | | | | | | | | 63,513 |
| | | | | | | | | |
Banking — 0.88% | | | | | | | | | |
Bank of America Corp. | | | | | | | | | |
1.81% | | | | | | 2,800 | | | 2,346,400 |
| | | | | | | | | |
Communications — 0.34% | | | | | | | | | |
Corts Trust for US West Communications | | | | | | | | | |
0.09% | | 11/15/43 | | | | 7,118 | | | 121,006 |
Preferred Plus Trust Citizens Communications Co. | | | | | | | | | |
0.10% | | | | | | 12,100 | | | 169,884 |
Preferred Plus Trust Qwest Capital Funding | | | | | | | | | |
0.10% | | 02/15/31 | | | | 9,650 | | | 193,000 |
0.10% | | 02/15/31 | | | | 19,500 | | | 292,500 |
Preferred Plus Trust Verizon Global Funding Corp. | | | | | | | | | |
0.10% | | 12/01/30 | | | | 6,100 | | | 134,200 |
| | | | | | | | | |
| | | | | | | | | 910,590 |
| | | | | | | | | |
Finance — 0.98% | | | | | | | | | |
Citigroup, Inc. | | | | | | | | | |
0.08% | | | | | | 64,000 | | | 2,624,000 |
Terwin Mortgage Trust 2005-13SL P | | | | | | | | | |
0.00%3,4 | | | | | | 1,000 | | | 2,200 |
Terwin Mortgage Trust 2005-P1 A | | | | | | | | | |
0.00% | | | | | | 570 | | | 114 |
Terwin Mortgage Trust 2006-1 2P | | | | | | | | | |
0.00%3,4 | | | | | | 1,000 | | | 2,000 |
Terwin Mortgage Trust 2006-4SL P | | | | | | | | | |
0.00%4 | | | | | | 410 | | | 5,740 |
| | | | | | | | | |
| | | | | | | | | 2,634,054 |
| | | | | | | | | |
Total Preferred Stock (Cost $10,877,621) | | | | | | | | | 5,954,557 |
| | | | | | | | | |
| | | | | |
Issues | | Contracts | | Value |
PUT OPTIONS PURCHASED — 0.27% | | | | | |
Banking — 0.06% | | | | | |
Bank of America Corp., Put Strike $30, expires 01/16/10 | | | | | |
| | | 248 | | 156,240 |
| | | | | |
Finance — 0.09% | | | | | |
Citigroup, Inc., Put Strike $15, expires 01/16/10 | | | | | |
| | | 1,040 | | 242,320 |
| | | | | |
U.S. Government — 0.12% | | | | | |
U.S. Long Bond (CBT), Put Strike $118, expires 11/21/08 | | | | | |
| | | 105 | | 329,766 |
| | | | | |
Total Put Options Purchased (Cost $463,999) | | | | | 728,326 |
| | | | | |
| | |
Issues | | Notional
Amount
(000’s) | | Value |
PURCHASED SWAPTIONS — 0.54% | | | | | |
Option to enter into a 2-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.00% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | |
| | $ | 40,261 | | 799,865 |
Option to enter into a 30-year Interest Rate Swap for the Fund to pay a floating rate based on 3-month USD LIBOR in exchange for receiving a fixed rate of 5.32% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | |
| | | 5,312 | | 652,898 |
| | | | | |
Total Purchased Swaptions (Cost $435,830) | | | | | 1,452,763 |
| | | | | |
| | | | | | |
Issues | | Maturity
Date | | Shares/
Principal
Amount | | Value |
SHORT TERM INVESTMENTS — 40.71% |
Commercial Paper — 4.14% |
BNP Paribas Finance, Inc. | | | | | | |
4.00%8 | | 10/09/08 | | 4,830,000 | | 4,825,717 |
Semi-Annual Report September 2008 / 74
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | Value | |
SHORT TERM INVESTMENTS (continued) | |
Commercial Paper (continued) | |
General Electric Capital Corp. | | | | | | | | | | |
2.31%8 | | 10/23/08 | | | $ | 1,350,000 | | $ | 1,348,102 | |
National Rural Utilities Co. | | | | | | | | | | |
2.85%8 | | 10/10/08 | | | | 2,520,000 | | | 2,518,205 | |
3.01%8 | | 10/10/08 | | | | 2,415,000 | | | 2,413,189 | |
| | | | | | | | | | |
| | | | | | | | | 11,105,213 | |
| | | | | | | | | | |
Money Market Fund — 0.27% | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | 734,500 | | | 734,500 | |
| | | | | | | | | | |
U.S. Agency Discount Notes — 33.70% | | | | | | | | | | |
Fannie Mae | | | | | | | | | | |
2.37%8 | | 10/27/08 | | | | 10,260,000 | | | 10,242,403 | |
2.46%8 | | 12/12/08 | | | | 122,000 | | | 121,402 | |
2.72%8 | | 12/12/08 | 7 | | | 95,000 | | | 94,530 | |
Federal Home Loan Bank | | | | | | | | | | |
2.17%8 | | 12/17/08 | | | | 27,494,000 | | | 27,348,447 | |
2.31%8 | | 12/12/08 | 7 | | | 100,000 | | | 99,463 | |
2.35%8 | | 10/22/08 | | | | 561,000 | | | 560,231 | |
2.40%8 | | 10/23/08 | | | | 190,000 | | | 189,721 | |
2.40%8 | | 10/24/08 | | | | 6,245,000 | | | 6,235,424 | |
2.41%8 | | 12/18/08 | | | | 3,505,000 | | | 3,486,206 | |
2.45%8 | | 10/28/08 | | | | 5,365,000 | | | 5,355,019 | |
2.48%8 | | 10/29/08 | | | | 6,012,000 | | | 5,999,235 | |
2.67%8 | | 12/18/08 | | | | 13,790,000 | | | 13,716,058 | |
2.77%8 | | 12/19/08 | | | | 4,050,000 | | | 4,028,005 | |
3.17%8 | | 12/18/08 | | | | 6,900,000 | | | 6,863,002 | |
Freddie Mac | | | | | | | | | | |
2.44%8 | | 10/29/08 | 7 | | | 6,000,000 | | | 5,988,729 | |
| | | | | | | | | | |
| | | | | | | | | 90,327,875 | |
| | | | | | | | | | |
U.S. Treasury Bills — 2.60% | | | | | | | | | | |
0.02%8 | | 10/23/08 | | | | 6,174,000 | | | 6,173,924 | |
1.40%8 | | 10/16/08 | 7 | | | 106,000 | | | 105,938 | |
1.46%8 | | 10/16/08 | 7 | | | 160,000 | | | 159,903 | |
1.53%8 | | 10/16/08 | 7 | | | 520,000 | | | 519,669 | |
| | | | | | | | | | |
| | | | | | | | | 6,959,434 | |
| | | | | | | | | | |
Total Short Term Investments (Cost $109,129,799) | | | | | | | | | 109,127,022 | |
| | | | | | | | | | |
Total Investments – 147.55% (Cost $462,159,033)1 | | | | | | | | | 395,523,620 | |
| | | | | | | | | | |
Liabilities in Excess of Other Assets – (47.55)% | | | | | | | | | (127,466,330 | ) |
| | | | | | | | | | |
NET ASSETS – 100.00% | | | | | | | | $ | 268,057,290 | |
| | | | | | | | | | |
| | | | | | | | | | | |
Issues | | Shares | | | Proceeds | | | Value | |
SECURITIES SOLD SHORT | |
Continental Airlines, Inc. B | | (36,541 | ) | | $ | (483,062 | ) | | $ | (609,504 | ) |
| | | | | | | | | | | |
Total Securities Sold Short | | | | | $ | (483,062 | ) | | $ | (609,504 | ) |
| | | | | | | | | | | |
| | | |
Counterparty | | Maturity
Date | | | Principal
Amount | | | Net Closing
Amount | |
REVERSE REPURCHASE AGREEMENTS | | | | | | | | | | | |
Barclays Bank PLC, 3.80% | | 10/30/08 | | | $ | (7,815,000 | ) | | $ | (7,815,000 | ) |
| | | | | | | | | | | |
Total Reverse Repurchase Agreements | | | | | $ | (7,815,000 | ) | | $ | (7,815,000 | ) |
| | | | | | | | | | | |
| | | |
Issues | | Contracts | | | Premiums
Received | | | Value | |
CALL OPTIONS WRITTEN | | | | | | | | | | | |
U.S. Long Bond (CBT), Call Strike $122, expires 11/21/08 | | (70 | ) | | $ | (54,535 | ) | | $ | (72,187 | ) |
U.S. Long Bond (CBT), Call Strike $123, expires 11/21/08 | | (70 | ) | | | (49,067 | ) | | | (59,063 | ) |
| | | | | | | | | | | |
Total Call Options Written | | | | | $ | (103,602 | ) | | $ | (131,250 | ) |
| | | | | | | | | | | |
WRITTEN PUT OPTIONS | | | | | | | | | | | |
U.S. Long Bond (CBT), Put Strike $116, expires 11/21/08 | | (105 | ) | | $ | (101,491 | ) | | $ | (226,406 | ) |
| | | | | | | | | | | |
Total Written Put Options | | | | | $ | (101,491 | ) | | $ | (226,406 | ) |
| | | | | | | | | | | |
| | | |
Issues | | Notional
Amount
(000’s) | | | Premiums
Received | | | Value | |
WRITTEN SWAPTIONS | | | | | | | | | | | |
Option to enter into a 10-year Interest Rate Swap for the counterparty to pay the Fund a floating rate based on 3-month USD LIBOR in exchange for receiving from the Fund a fixed rate of 5.25% annually; Option Expiration Date of 05/24/10. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | | | |
| | (20,000 | ) | | $ | (435,815 | ) | | $ | (1,287,638 | ) |
| | | | | | | | | | | |
Total Written Swaptions | | | | | $ | (435,815 | ) | | $ | (1,287,638 | ) |
| | | | | | | | | | | |
75 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | |
Contracts | | | | Unrealized
Appreciation/
(Depreciation) | |
FUTURES CONTRACTS: SHORT POSITIONS | |
105 | | Euro Dollar Ninety Day, March 2009 | | $ | (460,563 | ) |
129 | | Euro Dollar Ninety Day, June 2009 | | | (394,964 | ) |
130 | | Euro Dollar Ninety Day, September 2009 | | | (388,550 | ) |
130 | | Euro Dollar Ninety Day, December 2009 | | | (315,688 | ) |
31 | | Euro Dollar Ninety Day, March 2010 | | | (82,648 | ) |
63 | | U.S. Treasury Two Year Note, December 2008 | | | 43,665 | |
113 | | U.S. Treasury Ten Year Note, December 2008 | | | 65,568 | |
34 | | U.S. Treasury Thirty Year Note, December 2008 | | | 11,590 | |
| | | | | | |
| | Net unrealized depreciation | | $ | (1,521,590 | ) |
| | | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | $ | 5,685 | | $ | (45,066 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 3.54% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | | 8,500 | | | 18,593 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/11 | | | 17,610 | | | 149,744 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/11 | | | 8,010 | | | 69,898 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/11 | | | 13,340 | | | 110,335 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/11 | | | 8,010 | | | 97,963 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.03% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/11 | | | 18,470 | | | 17,803 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.35% semi-annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 04/19/17 | | | 7,000 | | | 713,310 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 8.52% annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 05/09/17 | | | 2,000 | | | 211,999 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 9.15% annually. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 05/25/17 | | | 5,000 | | | 666,638 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/19 | | | 4,290 | | | (116,588 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/19 | | | 1,950 | | | (67,115 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/19 | | | 1,950 | | | (58,230 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/19 | | | 3,250 | | | (89,418 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/19 | | | 4,500 | | | (4,247 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 3,000 | | | (17,572 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.75% quarterly. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 03/26/22 | | | 5,930 | | | (374,560 | ) |
| | | | | | | | | |
| | | | | | | $ | 1,283,487 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 1.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM 7.125%, due 06/20/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 06/20/12 | | | 2,000 | | | 110,997 | |
The Fund pays a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX 8 HVOL, due 06/20/12. Counterparty: CS First Boston | | | | | | | | | |
| | 06/20/12 | | | 7,500 | | | 695,384 | |
The Fund pays a fixed rate equal to 0.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX 8 HVOL, due 06/20/12. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 06/20/12 | | | 1,000 | | | 92,715 | |
Semi-Annual Report September 2008 / 76
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | |
The Fund pays a fixed rate equal to 0.53% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Morgan Stanley | | | | | | | | | |
| | 09/20/12 | | $ | 2,500 | | $ | 91,019 | |
The Fund pays a fixed rate equal to 0.76% and the Fund will receive from the counterparty at par including interest accrued in the event of default of Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/20/12 | | | 2,500 | | | 122,190 | |
The Fund pays a fixed rate equal to 1.48% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 500 | | | 10,055 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 400 | | | (19,082 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 45 | | | (2,309 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 100 | | | (5,239 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 155 | | | (7,897 | ) |
The Fund pays a fixed rate equal to 0.74% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,025 | | | 31,614 | |
The Fund pays a fixed rate equal to 0.72% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Home Depot, Inc. 3.75%, due 09/15/09. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,250 | | | 39,500 | |
The Fund pays a fixed rate equal to 1.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.625%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 1,100 | | | 30,786 | |
The Fund pays a fixed rate equal to 0.46% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 700 | | | 24,222 | |
The Fund pays a fixed rate equal to 0.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 1,050 | | | 32,319 | |
The Fund pays a fixed rate equal to 0.58% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Nordstrom, Inc. 6.95%, due 03/15/28. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 700 | | | 21,011 | |
The Fund pays a fixed rate equal to 0.41% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 300 | | | 3,410 | |
The Fund pays a fixed rate equal to 0.39% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 375 | | | 4,555 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 12/20/12 | | | 1,000 | | | 9,806 | |
The Fund pays a fixed rate equal to 0.45% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Lowe’s Cos., Inc. 8.25%, due 06/01/10. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 750 | | | 7,354 | |
The Fund pays a fixed rate equal to 1.68% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 1,000 | | | 44,985 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Limited Brands, Inc. 6.125%, due 12/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 1,300 | | | 55,216 | |
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 700 | | | 21,810 | |
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 475 | | | 13,381 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM 8.175%, due 12/20/12. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 12/20/12 | | | 3,000 | | | 143,164 | |
The Fund pays a fixed rate equal to 1.44% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Macy’s Retail Holdings, Inc. 6.63%, due 04/01/11. Counterparty: Morgan Stanley | | | | | | | | | |
| | 12/20/12 | | | 750 | | | 16,200 | |
The Fund pays a fixed rate equal to 1.75% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX EM, 8.175%, due 12/20/12. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 12/20/12 | | | 2,500 | | | 118,487 | |
The Fund pays a fixed rate equal to 1.24% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 7.88%, due 08/01/11. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/12 | | | 2,000 | | | 87,950 | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 300 | | | (2,328 | ) |
77 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (PURCHASED) (continued) | |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | $ | 300 | | $ | (2,328 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 825 | | | 55,118 | |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 800 | | | (66,169 | ) |
The Fund pays a fixed rate equal to 5.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of any issue in the Dow Jones CDX NA HY 10, 6.125%, due 06/20/13. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 06/20/13 | | | 2,000 | | | 193,912 | |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 3,000 | | | 155,267 | |
The Fund pays a fixed rate equal to 2.49% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: UBS AG | | | | | | | | | |
| | 12/20/14 | | | 2,500 | | | (25,649 | ) |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 800 | | | (72,088 | ) |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 600 | | | (8,209 | ) |
The Fund pays a fixed rate equal to 2.95% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the SABR 2005-EC1 B3, 7.22%, due 01/25/35. Counterparty: Bear Stearns Cos., Inc.2 | | | | | | | | | |
| | 01/25/35 | | | 223 | | | 159,039 | |
The Fund pays a fixed rate equal to 0.09% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the ABX-HE-PENAAA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 4,200 | | | 1,501,955 | |
| | | | | | | | | |
| | | | | | | $ | 3,682,123 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/09 | | | 1,200 | | | (20,171 | ) |
The Fund receives a fixed rate equal to 0.50% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the AMSI 2004-R7 A4, 5.84%, due 08/25/34. Counterparty: Deutsche Bank AG2,4 | | | | | | | | | |
| | 07/25/34 | | | 1,451 | | | 140,598 | |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 505 | | | (445,181 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 5,890 | | | (2,821,949 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 495 | | | (436,366 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 2,110 | | | (1,860,065 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 3,000 | | | (1,437,170 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | | 4,800 | | | (2,299,721 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 1,160 | | | (555,766 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 5,600 | | | (2,683,007 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 5,000 | | | (2,467,634 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | | 5,300 | | | (2,615,234 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 3,200 | | | (1,579,286 | ) |
Semi-Annual Report September 2008 / 78
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | $ | 3,250 | | $ | (1,603,962 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 2,400 | | | (1,184,464 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 01/25/38 | | | 1,320 | | | (1,236,197 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 01/25/38 | | | 180 | | | (168,572 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 495 | | | (434,633 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 130 | | | (114,146 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 1,100 | | | (343,187 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 4,000 | | | (3,078,508 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 5,000 | | | (3,848,135 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 3,900 | | | (3,001,546 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 3,400 | | | (2,616,732 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | | 2,800 | | $ | (2,154,956 | ) |
| | | | | | | | | |
| | | | | | | $ | (38,865,990 | ) |
| | | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $462,852,634 and net unrealized appreciation/ (depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 8,566,620 | |
Gross unrealized depreciation | | | (75,895,634 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (67,329,014 | ) |
| | | | |
2 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $54,435,258 representing 20.31% of total net assets. |
5 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
07/03/07 | | Asurion Corp. Term Loan, 5.74%, 07/13/14 | | $ | 991,744 | | $ | 875,625 | | 0.33 | % |
12/19/06 | | Boston Generating LLC 1st Lien, 5.29%, 12/19/13 | | | 2,959,086 | | | 2,363,040 | | 0.88 | % |
05/09/08 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | | 499,665 | | | 496,139 | | 0.19 | % |
04/12/07 | | Carestream Health, Inc. Term Loan, 8.06%, 10/30/13 | | | 2,266,350 | | | 1,421,251 | | 0.53 | % |
05/24/07 | | Cebridge 2nd Lien (PIK), 8.80%, 05/05/14 | | | 2,522,775 | | | 1,968,919 | | 0.73 | % |
09/26/07 | | General Motors Corp. Strip II, 5.24%, 07/20/11 | | | 1,429,875 | | | 1,013,959 | | 0.38 | % |
04/16/08 | | Kelson 1st Lien, 7.02%, 03/16/13 | | | 524,528 | | | 503,635 | | 0.19 | % |
08/09/06 | | Murray Bank Loan 3rd Lien, 18.77%, 07/28/11 | | | 1,086,543 | | | 1,010,485 | | 0.38 | % |
08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 4,876,391 | | | 4,245,015 | | 1.58 | % |
05/14/07 | | Swift Transportation Co., Inc. Term Loan, 6.86%, 05/06/14 | | | 1,848,815 | | | 1,403,634 | | 0.52 | % |
12/21/06 | | TPF Generation Holdings LLC 2nd Lien, 8.01%, 12/15/14 | | | 1,000,000 | | | 870,833 | | 0.32 | % |
05/24/07 | | Tribune - Bridge Unsecured Delayed Drawing Term Loan, 8.29%, 12/31/08 | | | 1,523,810 | | | 556,191 | | 0.21 | % |
05/17/07 | | Tribune 1st Lien Term Loan B, 5.79%, 05/24/14 | | | 2,394,469 | | | 1,315,268 | | 0.49 | % |
02/01/07 | | United Air Lines, Inc., 5.46%, 02/01/14 | | | 1,210,385 | | | 750,439 | | 0.28 | % |
| | | | | | | | | | | |
| | | | $ | 25,134,436 | | $ | 18,794,433 | | 7.01 | % |
| | | | | | | | | | | |
6 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
79 / Semi-Annual Report September 2008
Strategic Income Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
7 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
8 | Represents annualized yield at date of purchase. |
† | Fair valued security. The aggregate value of fair valued securities is $78,159,759 which is 29.16% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
| * | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
| ** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(CBT): Chicago Board of Trade
(DIP): Defaulted interest payment
(IO): Interest only
(LIBOR): London InterBank Offer Rate
(MTN): Medium term note
(PIK): Paid in kind
(STEP): Step coupon bond
Semi-Annual Report September 2008 / 80
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
BONDS – 100.18% | | | | | | | | | |
ASSET-BACKED SECURITIES — 28.49%** | | | | | | | | | |
ACE Securities Corp. 2004-FM1 B1A | | | | | | | | | |
8.46% | | 09/25/33 | 2 | | $ | 17,188 | | $ | 1,762 |
ACE Securities Corp. 2006-SL1 A | | | | | | | | | |
3.37% | | 09/25/35 | 2 | | | 381,842 | | | 141,248 |
Asset Backed Funding Certificates 2003-WF1 A2 | | | | | | | | | |
3.60% | | 12/25/32 | 2 | | | 95,922 | | | 86,645 |
Asset Backed Securities Corp. Home Equity 2003-HE4 M2 | | | | | | | | | |
4.49% | | 08/15/33 | 2 | | | 39,410 | | | 29,802 |
Asset Backed Securities Corp. Home Equity 2005-HE6 A2D | | | | | | | | | |
3.49% | | 07/25/35 | 2 | | | 97,383 | | | 95,471 |
Bayview Financial Acquisition Trust 2006-B 2A2 | | | | | | | | | |
3.91% | | 04/28/36 | 2 | | | 70,801 | | | 68,700 |
Bayview Financial Revolving Mortgage Loan Trust 2005-E A1 | | | | | | | | | |
4.21% | | 12/28/40 | 2,3,† | | | 2,400,000 | | | 1,992,000 |
Carrington Mortgage Loan Trust 2007-FRE1 A1 | | | | | | | | | |
3.33% | | 02/25/37 | 2 | | | 502,933 | | | 480,889 |
Castle Trust 2003-1AW A1 | | | | | | | | | |
3.24% | | 05/15/27 | 2,3,† | | | 628,919 | | | 528,292 |
Citigroup Mortgage Loan Trust, Inc. 2006-WFH2 A2A | | | | | | | | | |
3.36% | | 08/25/36 | 2 | | | 2,317,410 | | | 2,000,940 |
Citigroup Mortgage Loan Trust, Inc. 2006-WFH4 A1 | | | | | | | | | |
3.26% | | 11/25/36 | 2 | | | 10,288 | | | 10,205 |
Conseco Finance 2002-C BF2 | | | | | | | | | |
8.00% | | 06/15/32 | 2,3,† | | | 552,949 | | | 506,515 |
Contimortgage Home Equity Trust 1999-3 A6 (STEP) | | | | | | | | | |
8.18% | | 12/25/29 | | | | 642,734 | | | 629,661 |
Countrywide Asset-Backed Certificates 2004-1 M2 | | | | | | | | | |
3.76% | | 03/25/34 | 2 | | | 2,250,000 | | | 1,765,305 |
Countrywide Asset-Backed Certificates 2005-12 1A1 | | | | | | | | | |
3.36% | | 02/25/36 | 2 | | | 7,324 | | | 7,305 |
Credit-Based Asset Servicing and Securitization LLC 2003-CB1 AF (STEP) | | | | | | | | | |
3.95% | | 01/25/33 | | | | 109,774 | | | 95,881 |
Credit-Based Asset Servicing and Securitization LLC 2006-CB4 AV1 | | | | | | | | | |
3.25% | | 05/25/36 | 2 | | | 10,569 | | | 10,521 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB1 AF1A | | | | | | | | | |
3.28% | | 01/25/37 | 2 | | | 74,767 | | | 69,839 |
Credit-Based Asset Servicing and Securitization LLC 2007-CB2 A2A (STEP) | | | | | | | | | |
5.89% | | 02/25/37 | | | | 961,729 | | | 930,774 |
Embarcadero Aircraft Securitization Trust 2000-A A1 | | | | | | | | | |
2.97% | | 08/15/25 | 2,3,† | | | 795,494 | | | 525,060 |
First Franklin Mortgage Loan Asset Backed Certificates 2005-FF2 M1 | | | | | | | | | |
3.61% | | 03/25/35 | 2 | | | 1,450,000 | | | 1,184,806 |
First Franklin Mortgage Loan Asset Backed Certificates 2006-FF12 A2 | | | | | | | | | |
3.25% | | 09/25/36 | 2 | | | 63,924 | | | 62,344 |
First Franklin Mortgage Loan Asset Backed Certificates 2007-FF2 A2A | | | | | | | | | |
3.26% | | 03/25/37 | 2 | | | 783,207 | | | 739,941 |
Genesis Funding Ltd. 2006-1A G1 | | | | | | | | | |
3.27% | | 12/19/32 | 2,3,† | | | 1,750,000 | | | 1,242,650 |
GMAC Mortgage Corp. Loan Trust 2000-HE2 A1 | | | | | | | | | |
3.65% | | 06/25/30 | 2 | | | 536,547 | | | 372,478 |
GMAC Mortgage Corp. Loan Trust 2001-HLT2 AII (STEP) | | | | | | | | | |
6.05% | | 04/25/27 | | | | 103,197 | | | 89,626 |
Green Tree Home Improvement Loan Trust 1995-C B2 | | | | | | | | | |
7.60% | | 07/15/20 | | | | 62,813 | | | 46,222 |
Green Tree Home Improvement Loan Trust 1995-F B2 | | | | | | | | | |
7.10% | | 01/15/21 | | | | 132,258 | | | 98,947 |
Green Tree Home Improvement Loan Trust 1996-B A | | | | | | | | | |
6.45% | | 10/15/15 | | | | 3,671 | | | 3,669 |
Green Tree Recreational Equipment & Consumer Trust 1996-D Certificates | | | | | | | | | |
7.24% | | 12/15/22 | | | | 73,453 | | | 58,992 |
GSAMP Trust 2004-FM1 M2 | | | | | | | | | |
5.31% | | 11/25/33 | 2 | | | 580,933 | | | 462,208 |
GSAMP Trust 2006-HE8 A2A | | | | | | | | | |
3.28% | | 01/25/37 | 2 | | | 407,845 | | | 392,806 |
GSAMP Trust 2006-S6 A2 (STEP) | | | | | | | | | |
5.55% | | 10/25/36 | 4,† | | | 100,000 | | | 28,994 |
GSAMP Trust 2007-FM1 A2A | | | | | | | | | |
3.28% | | 12/25/36 | 2 | | | 1,104,951 | | | 1,018,001 |
GSAMP Trust 2007-HE2 A2A | | | | | | | | | |
2.59% | | 03/25/47 | 2 | | | 744,258 | | | 697,940 |
HFC Home Equity Loan Asset Backed Certificates 2007-1 M1 | | | | | | | | | |
3.57% | | 03/20/36 | 2 | | | 1,100,000 | | | 826,876 |
HFC Home Equity Loan Asset Backed Certificates 2007-2 A4 | | | | | | | | | |
3.49% | | 07/20/36 | 2 | | | 125,000 | | | 91,962 |
81 / Semi-Annual Report September 2008
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
ASSET-BACKED SECURITIES (continued) | | | | | | | | | |
HFC Home Equity Loan Asset Backed Certificates 2007-2 M1 | | | | | | | | | |
3.50% | | 07/20/36 | 2 | | $ | 1,300,000 | | $ | 853,092 |
Home Equity Asset Trust 2005-6 1A2 | | | | | | | | | |
3.49% | | 12/25/35 | 2 | | | 1,476,074 | | | 1,358,189 |
Home Equity Asset Trust 2007-3 2A2 | | | | | | | | | |
3.39% | | 08/25/37 | 2 | | | 2,500,000 | | | 2,099,775 |
IndyMac Home Equity Loan Asset-Backed Trust 2002-A M1 | | | | | | | | | |
4.33% | | 05/25/33 | 2 | | | 692,086 | | | 535,335 |
IndyMac Index Mortgage Loan Trust 2006-AR2 1A1A | | | | | | | | | |
3.43% | | 04/25/46 | 2 | | | 69,060 | | | 42,131 |
IndyMac Manufactured Housing Contract 1997-1 A3 | | | | | | | | | |
6.61% | | 02/25/28 | | | | 746,731 | | | 687,711 |
IndyMac Manufactured Housing Contract 1997-1 A4 | | | | | | | | | |
6.75% | | 02/25/28 | | | | 266,690 | | | 244,736 |
IndyMac Residential Asset Backed Trust 2006-A A2 | | | | | | | | | |
3.36% | | 03/25/36 | 2 | | | 847,799 | | | 833,436 |
IndyMac Residential Asset Backed Trust 2007-A 2A1 | | | | | | | | | |
3.34% | | 04/25/47 | 2 | | | 19,686 | | | 18,979 |
Inman Square Funding Ltd. 2005-2A I | | | | | | | | | |
3.24% | | 10/06/40 | 2,3,4,† | | | 2,203,797 | | | 925,595 |
JPMorgan Mortgage Acquisition Corp. 2006-CH2 AV2 | | | | | | | | | |
3.26% | | 10/25/36 | 2 | | | 88,685 | | | 83,985 |
MASTR Asset Backed Securities Trust 2006-HE4 A1 | | | | | | | | | |
3.26% | | 11/25/36 | 2 | | | 51,934 | | | 50,205 |
MASTR Asset Backed Securities Trust 2007-HE1 A2 | | | | | | | | | |
3.36% | | 05/25/37 | 2 | | | 130,000 | | | 101,483 |
Mego Mortgage Home Loan Trust 1997-4 M1 (STEP) | | | | | | | | | |
8.00% | | 09/25/23 | | | | 37,434 | | | 36,080 |
Merrill Lynch Mortgage Investors, Inc. 2006-WMC1 A2B | | | | | | | | | |
3.35% | | 01/25/37 | 2 | | | 9,146 | | | 9,057 |
Morgan Stanley ABS Capital I 2007-NC3 A2A | | | | | | | | | |
3.27% | | 05/25/37 | 2 | | | 1,600,628 | | | 1,451,820 |
Nationstar Home Equity Loan Trust 2007-B 2AV4 | | | | | | | | | |
3.53% | | 04/25/37 | 2 | | | 85,000 | | | 46,753 |
Oakwood Mortgage Investors, Inc. 2002-B A1 | | | | | | | | | |
2.72% | | 05/15/13 | 2 | | | 144,808 | | | 112,139 |
Option One Mortgage Loan Trust 2002-1 A | | | | | | | | | |
3.79% | | 02/25/32 | 2 | | | 94,255 | | | 64,623 |
Option One Mortgage Loan Trust 2003-2 A2 | | | | | | | | | |
3.81% | | 04/25/33 | 2 | | | 125,436 | | | 93,651 |
Option One Mortgage Loan Trust 2003-5 A2 | | | | | | | | | |
3.53% | | 08/25/33 | 2 | | | 86,503 | | | 77,002 |
Renaissance Home Equity Loan Trust 2007-1 N | | | | | | | | | |
9.79% | | 04/25/37 | 3,4,† | | | 334,341 | | | 27,035 |
Residential Asset Mortgage Products, Inc. 2003-RS1 AII | | | | | | | | | |
3.99% | | 02/25/33 | 2 | | | 63,794 | | | 52,673 |
Residential Asset Securities Corp. 2003-KS3 A2 | | | | | | | | | |
3.81% | | 05/25/33 | 2 | | | 44,328 | | | 35,331 |
Residential Asset Securities Corp. 2006-EMX6 A1 | | | | | | | | | |
3.27% | | 07/25/36 | 2 | | | 26,956 | | | 26,802 |
Residential Asset Securities Corp. 2007-KS4 A2 | | | | | | | | | |
3.39% | | 05/25/37 | 2 | | | 100,000 | | | 75,593 |
Residential Funding Mortgage Securities II, Inc. 2006-HSA2 AI1 | | | | | | | | | |
3.32% | | 03/25/36 | 2 | | | 292,014 | | | 248,711 |
Resmae Mortgage Loan Trust 2006-1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 2,3 | | | 359,330 | | | 265,201 |
Securitized Asset Backed Receivables LLC Trust 2007-BR5 A2A | | | | | | | | | |
3.34% | | 05/25/37 | 2 | | | 1,957,419 | | | 1,824,763 |
SG Mortgage Securities Trust 2006-FRE1 A1B | | | | | | | | | |
3.48% | | 02/25/36 | 2 | | | 267,174 | | | 225,857 |
Structured Asset Receivables Trust 2003-1 | | | | | | | | | |
3.29% | | 01/21/10 | 2,3,† | | | 509,095 | | | 470,913 |
Structured Asset Receivables Trust 2003-2 | | | | | | | | | |
3.19% | | 01/21/09 | 2,3,† | | | 122,674 | | | 114,087 |
Structured Asset Receivables Trust 2005-1 | | | | | | | | | |
3.29% | | 01/21/15 | 2,3,† | | | 2,330,982 | | | 1,969,679 |
Structured Asset Securities Corp. 2005-S3 M1 | | | | | | | | | |
3.71% | | 06/25/35 | 2 | | | 7,239 | | | 7,214 |
Structured Asset Securities Corp. 2007-BC2 A3 | | | | | | | | | |
3.34% | | 03/25/37 | 2 | | | 1,840,000 | | | 1,512,529 |
Terwin Mortgage Trust 2004-13AL 2PX (IO) | | | | | | | | | |
0.34% | | 08/25/34 | 3,4 | | | 14,444,452 | | | 166,242 |
Terwin Mortgage Trust 2005-7SL A1 | | | | | | | | | |
3.48% | | 07/25/35 | 2,3 | | | 72,495 | | | 69,586 |
UCFC Home Equity Loan 1998-D MF1 | | | | | | | | | |
6.90% | | 04/15/30 | | | | 260,545 | | | 245,978 |
| | | | | | | | | |
Total Asset-Backed Securities (Cost $40,886,740) | | | | | | | | | 34,459,248 |
| | | | | | | | | |
CORPORATES — 26.31%* | | | | | | | | | |
Banking — 2.99% | | | | | | | | | |
BAC Capital Trust XV | | | | | | | | | |
3.61% | | 06/01/56 | 2 | | | 275,000 | | | 220,865 |
Semi-Annual Report September 2008 / 82
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Banking (continued) | | | | | | | | | |
Banponce Trust I A | | | | | | | | | |
8.33% | | 02/01/27 | | | $ | 900,000 | | $ | 836,068 |
Chase Capital II B | | | | | | | | | |
3.30% | | 02/01/27 | 2 | | | 750,000 | | | 593,849 |
First Chicago NBD Institutional Capital I | | | | | | | | | |
3.35% | | 02/01/27 | 2 | | | 35,000 | | | 25,505 |
JPMorgan Chase Bank NA | | | | | | | | | |
7.59% | | 03/28/22 | 2 | | | 445,000 | | | 422,260 |
JPMorgan Chase Capital XIII M | | | | | | | | | |
4.71% | | 09/30/34 | 2 | | | 825,000 | | | 637,807 |
National Australia Bank Ltd. A | | | | | | | | | |
8.60% | | 05/19/10 | | | | 835,000 | | | 874,571 |
| | | | | | | | | |
| | | | | | | | | 3,610,925 |
| | | | | | | | | |
Electric — 4.06% | | | | | | | | | |
Appalachian Power Co. | | | | | | | | | |
6.60% | | 05/01/09 | | | | 835,000 | | | 845,936 |
Entergy Gulf States, Inc. | | | | | | | | | |
3.57% | | 12/08/08 | 2,3 | | | 750,000 | | | 748,436 |
Entergy Louisiana LLC | | | | | | | | | |
5.83% | | 11/01/10 | | | | 8,000 | | | 7,877 |
Midwest Generation LLC | | | | | | | | | |
8.30% | | 07/02/09 | | | | 715,622 | | | 725,033 |
Mirant Mid Atlantic LLC A | | | | | | | | | |
8.62% | | 06/30/12 | | | | 826,572 | | | 864,801 |
Power Contract Financing LLC | | | | | | | | | |
6.26% | | 02/01/10 | 3 | | | 318,984 | | | 323,227 |
Reliant Energy, Inc. | | | | | | | | | |
6.75% | | 12/15/14 | | | | 700,000 | | | 602,000 |
TECO Energy, Inc. | | | | | | | | | |
4.80% | | 05/01/10 | 2 | | | 800,000 | | | 792,000 |
| | | | | | | | | |
| | | | | | | | | 4,909,310 |
| | | | | | | | | |
Energy — 0.06% | | | | | | | | | |
FPL Group Capital, Inc. | | | | | | | | | |
3.70% | | 06/17/11 | 2 | | | 65,000 | | | 65,576 |
| | | | | | | | | |
Finance — 12.42% | | | | | | | | | |
Bear Stearns Cos., Inc. (The) (MTN) | | | | | | | | | |
2.90% | | 08/21/09 | 2 | | | 800,000 | | | 775,332 |
2.90% | | 02/23/10 | 2 | | | 275,000 | | | 270,795 |
Capital One Financial Corp. (MTN) | | | | | | | | | |
3.10% | | 09/10/09 | 2 | | | 575,000 | | | 536,561 |
Citigroup, Inc. | | | | | | | | | |
3.07% | | 11/05/14 | 2 | | | 1,569,000 | | | 1,331,576 |
4.12% | | 02/22/10 | | | | 65,000 | | | 60,907 |
4.50% | | 05/15/18 | 2 | | | 265,000 | | | 200,076 |
Countrywide Financial Corp. (MTN) | | | | | | | | | |
2.93% | | 01/05/09 | 2 | | | 600,000 | | | 564,000 |
3.42% | | 03/24/09 | 2 | | | 1,400,000 | | | 1,366,715 |
Credit Suisse Guernsey Ltd. 1 | | | | | | | | | |
3.49% | | 05/29/49 | 2 | | | 1,035,000 | | | 660,402 |
Ford Motor Credit Co. LLC | | | | | | | | | |
4.36% | | 01/15/10 | 2 | | | 980,000 | | | 802,888 |
5.54% | | 01/13/12 | 2 | | | 766,000 | | | 482,580 |
GMAC LLC | | | | | | | | | |
5.01% | | 12/01/14 | 2 | | | 2,324,000 | | | 1,074,320 |
Goldman Sachs Group LP | | | | | | | | | |
4.50% | | 06/15/10 | | | | 550,000 | | | 510,756 |
Goldman Sachs Group, Inc. (The) | | | | | | | | | |
5.45% | | 11/01/12 | | | | 500,000 | | | 435,181 |
Goldman Sachs Group, Inc. (The) (MTN) B | | | | | | | | | |
3.19% | | 07/22/15 | 2 | | | 100,000 | | | 75,500 |
Lehman Brothers Holdings, Inc. (MTN) | | | | | | | | | |
2.91% | | 11/16/09 | | | | 1,200,000 | | | 160,250 |
3.00% | | 07/18/11 | | | | 620,000 | | | 82,796 |
MBNA Capital A | | | | | | | | | |
8.28% | | 12/01/26 | | | | 800,000 | | | 718,974 |
MBNA Capital B | | | | | | | | | |
3.60% | | 02/01/27 | 2 | | | 761,000 | | | 621,515 |
Merrill Lynch & Co., Inc. (MTN) | | | | | | | | | |
4.61% | | 05/20/09 | 2 | | | 870,000 | | | 849,444 |
Merrill Lynch & Co., Inc. C (MTN) | | | | | | | | | |
3.05% | | 02/06/09 | 2 | | | 940,000 | | | 893,106 |
Morgan Stanley | | | | | | | | | |
4.00% | | 01/15/10 | | | | 400,000 | | | 326,000 |
4.25% | | 05/15/10 | | | | 500,000 | | | 406,433 |
6.75% | | 04/15/11 | | | | 30,000 | | | 22,215 |
Toyota Motor Credit Corp. (MTN) | | | | | | | | | |
8.00% | | 10/24/13 | 2 | | | 1,521,000 | | | 1,441,908 |
Woodbourne Capital Trust I | | | | | | | | | |
4.97% | | 04/08/49 | 2,3,4 | | | 150,000 | | | 88,500 |
Woodbourne Capital Trust II | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 150,000 | | | 88,500 |
Woodbourne Capital Trust III | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 150,000 | | | 88,500 |
Woodbourne Capital Trust IV | | | | | | | | | |
4.81% | | 04/08/49 | 2,3,4 | | | 150,000 | | | 88,500 |
| | | | | | | | | |
| | | | | | | | | 15,024,230 |
| | | | | | | | | |
Health Care — 1.01% | | | | | | | | | |
Cardinal Health, Inc. | | | | | | | | | |
4.32% | | 10/02/09 | 2 | | | 1,245,000 | | | 1,224,404 |
| | | | | | | | | |
Real Estate Investment Trust (REIT) — 3.78% | | | | | | | | | |
BRE Properties, Inc. | | | | | | | | | |
5.75% | | 09/01/09 | | | | 340,000 | | | 334,579 |
Developers Diversified Realty Corp. | | | | | | | | | |
3.88% | | 01/30/09 | | | | 1,300,000 | | | 1,279,300 |
83 / Semi-Annual Report September 2008
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
CORPORATES (continued) | | | | | | | | | |
Real Estate Investment Trust (REIT) (continued) | | | | | | | | | |
First Industrial LP | | | | | | | | | |
5.25% | | 06/15/09 | | | $ | 425,000 | | $ | 423,749 |
HRPT Properties Trust | | | | | | | | | |
3.42% | | 03/16/11 | 2 | | | 659,000 | | | 598,880 |
Mack-Cali Realty LP | | | | | | | | | |
7.25% | | 03/15/09 | | | | 530,000 | | | 531,997 |
Reckson Operating Partnership LP | | | | | | | | | |
7.75% | | 03/15/09 | | | | 30,000 | | | 29,645 |
Rouse Co. LP (The) | | | | | | | | | |
3.62% | | 03/15/09 | | | | 40,000 | | | 35,800 |
Simon Property Group LP | | | | | | | | | |
4.88% | | 08/15/10 | | | | 1,000,000 | | | 976,696 |
7.12% | | 02/09/09 | | | | 360,000 | | | 363,935 |
| | | | | | | | | |
| | | | | | | | | 4,574,581 |
| | | | | | | | | |
Transportation — 1.99% | | | | | | | | | |
American Airlines, Inc. 2001-2 A1 | | | | | | | | | |
6.98% | | 04/01/11 | 5 | | | 21,639 | | | 19,799 |
Continental Airlines, Inc. 1998-3 | | | | | | | | | |
6.32% | | 11/01/08 | | | | 454,000 | | | 450,028 |
Delta Air Lines, Inc. 2001-1 A1 | | | | | | | | | |
6.62% | | 03/18/11 | | | | 1,477,779 | | | 1,403,890 |
United Air Lines, Inc. 2000-2 A1 | | | | | | | | | |
7.03% | | 10/01/10 | | | | 342,620 | | | 338,337 |
United Air Lines, Inc. 2001-1 | | | | | | | | | |
6.20% | | 09/01/08 | 5 | | | 196,397 | | | 190,505 |
| | | | | | | | | |
| | | | | | | | | 2,402,559 |
| | | | | | | | | |
Total Corporates (Cost $36,043,345) | | | | | | | | | 31,811,585 |
| | | | | | | | | |
BANK LOANS — 4.74%* | | | | | | | | | |
Communications — 0.67% | | | | | | | | | |
Cebridge 2nd Lien | | | | | | | | | |
7.30% | | 05/05/14 | 6 | | | 1,000,000 | | | 815,833 |
| | | | | | | | | |
Consumer Discretionary — 0.43% | | | | | | | | | |
Tribune 1st Lien Term Loan B | | | | | | | | | |
5.79% | | 05/24/14 | 6 | | | 987,500 | | | 525,844 |
| | | | | | | | | |
Electric — 0.66% | | | | | | | | | |
Calpine CCFC I Term Loan | | | | | | | | | |
9.76% | | 08/26/09 | 6 | | | 795,812 | | | 793,822 |
| | | | | | | | | |
Finance — 0.17% | | | | | | | | | |
Kelson 1st Lien | | | | | | | | | |
7.02% | | 03/16/13 | 6 | | | 215,747 | | | 201,454 |
| | | | | | | | | |
Health Care — 1.39% | | | | | | | | | |
Community Health Systems, Inc. 1st Lien | | | | | | | | | |
5.28% | | 07/25/14 | 6 | | | 953,428 | | | 839,016 |
HCA Term Loan A | | | | | | | | | |
5.76% | | 11/18/12 | 6 | | | 957,796 | | | 842,382 |
| | | | | | | | | |
| | | | | | | | | 1,681,398 |
| | | | | | | | | |
Transportation — 1.42% | | | | | | | | | |
Northwest Air Dip | | | | | | | | | |
4.70% | | 05/21/12 | 6 | | | 1,474,949 | | | 1,275,216 |
United Air Lines, Inc. | | | | | | | | | |
5.46% | | 02/01/14 | 6 | | | 707,222 | | | 438,478 |
| | | | | | | | | |
| | | | | | | | | 1,713,694 |
| | | | | | | | | |
Total Bank Loans (Cost $6,966,958) | | | | | | | | | 5,732,045 |
| | | | | | | | | |
MORTGAGE-BACKED — 40.64%** | | | | | | | | | |
Commercial Mortgage-Backed — 6.57% | | | | | | | | | |
Bayview Commercial Asset Trust 2004-1 A | | | | | | | | | |
3.57% | | 04/25/34 | 2,3 | | | 1,489,145 | | | 1,344,624 |
Bayview Commercial Asset Trust 2004-2 A | | | | | | | | | |
3.64% | | 08/25/34 | 2,3 | | | 1,334,160 | | | 1,205,966 |
Bayview Commercial Asset Trust 2005-2A A1 | | | | | | | | | |
3.52% | | 08/25/35 | 2,3 | | | 724,025 | | | 677,885 |
Bayview Commercial Asset Trust 2007-1 A1 | | | | | | | | | |
3.43% | | 03/25/37 | 2,3,† | | | 2,665,146 | | | 2,185,649 |
Bayview Commercial Asset Trust 2007-3 A1 | | | | | | | | | |
3.45% | | 07/25/37 | 2,3,† | | | 2,804,126 | | | 2,299,505 |
Bear Stearns Commercial Mortgage Securities, Inc. 2001-TOP2 A2 | | | | | | | | | |
6.48% | | 02/15/35 | | | | 55,000 | | | 55,191 |
Deutsche Bank Alternate Loan Trust 2006-AR6 A3 | | | | | | | | | |
3.30% | | 02/25/37 | 2 | | | 73,348 | | | 67,027 |
First Union National Bank-Bank of America Commercial Mortgage Trust 2001-C1 A2 | | | | | | | | | |
6.14% | | 03/15/33 | | | | 59,206 | | | 59,167 |
LB-UBS Commercial Mortgage Trust 2000-C4 A2 | | | | | | | | | |
7.37% | | 08/15/26 | | | | 48,061 | | | 48,893 |
Morgan Stanley Mortgage Loan Trust 2004-2AR 1A | | | | | | | | | |
6.43% | | 02/25/34 | 2 | | | 5,040 | | | 4,243 |
| | | | | | | | | |
| | | | | | | | | 7,948,150 |
| | | | | | | | | |
Non-Agency Mortgage-Backed — 20.17% | | | | | | | | | |
Alliance Bancorp Trust 2007-OA1 A1 | | | | | | | | | |
3.45% | | 07/25/37 | 2 | | | 3,110,553 | | | 1,883,116 |
American Home Mortgage Assets 2006-2 2A1 | | | | | | | | | |
3.40% | | 09/25/46 | 2 | | | 1,960,342 | | | 1,161,937 |
American Home Mortgage Assets 2007-4 A2 | | | | | | | | | |
3.40% | | 08/25/37 | 2,† | | | 1,880,000 | | | 1,297,119 |
Semi-Annual Report September 2008 / 84
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
American Home Mortgage Investment Trust 2007-2 11A1 | | | | | | | | | |
3.44% | | 03/25/47 | 2 | | $ | 93,204 | | $ | 74,239 |
Bear Stearns Mortgage Funding Trust 2006-AR3 2A1 | | | | | | | | | |
3.41% | | 11/25/36 | 2 | | | 1,712,248 | | | 1,020,294 |
Bear Stearns Mortgage Funding Trust 2007-AR4 2A1 | | | | | | | | | |
3.42% | | 06/25/37 | 2 | | | 1,701,461 | | | 998,641 |
Chase Mortgage Finance Corp. 2007-A2 2A3 | | | | | | | | | |
4.70% | | 07/25/37 | 2 | | | 85,282 | | | 80,300 |
Chevy Chase Mortgage Funding Corp. 2004-1A A1 | | | | | | | | | |
3.49% | | 01/25/35 | 2,3 | | | 745,238 | | | 662,585 |
Chevy Chase Mortgage Funding Corp. 2005-2A A1 | | | | | | | | | |
3.39% | | 05/25/36 | 2,3 | | | 839,032 | | | 675,269 |
Citigroup Mortgage Loan Trust, Inc. 2003-1 WA2 | | | | | | | | | |
6.50% | | 06/25/31 | | | | 23,797 | | | 22,540 |
Citigroup Mortgage Loan Trust, Inc. 2004-HYB1 A41 | | | | | | | | | |
5.16% | | 02/25/34 | 2 | | | 716,239 | | | 579,302 |
Countrywide Alternative Loan Trust 2005-14 4X (IO) | | | | | | | | | |
2.71% | | 05/25/35 | 4,7,† | | | 1,629,356 | | | 25,857 |
Countrywide Alternative Loan Trust 2005-17 1X3 | | | | | | | | | |
2.89% | | 06/25/35 | 4,7 | | | 160,278 | | | 2,154 |
Countrywide Alternative Loan Trust 2005-27 2A1 | | | | | | | | | |
4.21% | | 08/25/35 | 2 | | | 1,192,301 | | | 706,591 |
Countrywide Alternative Loan Trust 2005-27 3A2 | | | | | | | | | |
3.96% | | 08/25/35 | 2 | | | 115,102 | | | 63,307 |
Countrywide Alternative Loan Trust 2005-59 1A1 | | | | | | | | | |
3.54% | | 11/20/35 | 2 | | | 1,220,941 | | | 781,727 |
Countrywide Alternative Loan Trust 2005-61 2A1 | | | | | | | | | |
3.49% | | 12/25/35 | 2 | | | 608,271 | | | 386,394 |
Countrywide Alternative Loan Trust 2005-72 A1 | | | | | | | | | |
3.48% | | 01/25/36 | 2 | | | 986,949 | | | 622,303 |
Countrywide Alternative Loan Trust 2006-OA12 A2 | | | | | | | | | |
3.40% | | 09/20/46 | 2 | | | 2,307,233 | | | 1,272,084 |
Countrywide Alternative Loan Trust 2006-OA2 X1P (IO) | | | | | | | | | |
2.92% | | 05/20/46 | 4 | | | 6,097,356 | | | 159,103 |
CS First Boston Mortgage Securities Corp. 1997-2 A | | | | | | | | | |
7.50% | | 06/25/20 | 3 | | | 15,307 | | | 15,161 |
Downey Savings & Loan Association Mortgage Loan Trust 2006-AR1 2A1A | | | | | | | | | |
3.80% | | 04/19/47 | 2 | | | 2,490,050 | | | 1,500,337 |
GMAC Commercial Mortgage Securities, Inc. 2002-C1 A1 | | | | | | | | | |
5.78% | | 11/15/39 | | | | 51,891 | | | 51,640 |
Harborview Mortgage Loan Trust 2004-8 2A4A | | | | | | | | | |
3.43% | | 11/19/34 | 2 | | | 46,686 | | | 34,867 |
Harborview Mortgage Loan Trust 2005-1 X (IO) | | | | | | | | | |
2.49% | | 03/19/35 | 4,7 | | | 2,298,769 | | | 23,347 |
Harborview Mortgage Loan Trust 2005-10 X (IO) | | | | | | | | | |
2.58% | | 11/19/35 | 2,4 | | | 224,198 | | | 4,484 |
Harborview Mortgage Loan Trust 2005-11 2A1A | | | | | | | | | |
3.34% | | 08/19/45 | 2 | | | 47,012 | | | 30,166 |
IndyMac Index Mortgage Loan Trust 2004-AR12 A1 | | | | | | | | | |
3.60% | | 12/25/34 | 2 | | | 261,119 | | | 170,985 |
IndyMac Index Mortgage Loan Trust 2004-AR12 AX2 (IO) | | | | | | | | | |
2.63% | | 12/25/34 | 4,7 | | | 979,582 | | | 8,877 |
IndyMac Index Mortgage Loan Trust 2004-AR5 2A1B | | | | | | | | | |
3.61% | | 08/25/34 | 2 | | | 6,961 | | | 4,929 |
IndyMac Index Mortgage Loan Trust 2004-AR7 A2 | | | | | | | | | |
3.64% | | 09/25/34 | 2 | | | 180,411 | | | 126,845 |
Lehman XS Trust 2007-12N 1A3A | | | | | | | | | |
3.41% | | 07/25/47 | 2 | | | 4,000,000 | | | 984,127 |
MASTR Seasoned Securities Trust 2004-1 4A1 | | | | | | | | | |
5.58% | | 10/25/32 | 2 | | | 249,884 | | | 230,462 |
MASTR Seasoned Securities Trust 2005-1 4A1 | | | | | | | | | |
5.59% | | 10/25/32 | 2 | | | 596,107 | | | 492,196 |
Residential Accredit Loans, Inc. 2002-QS17 NB1 | | | | | | | | | |
6.00% | | 11/25/32 | | | | 45,449 | | | 45,496 |
Residential Accredit Loans, Inc. 2005-QO3 A1 | | | | | | | | | |
3.61% | | 10/25/45 | 2 | | | 2,374,845 | | | 1,548,230 |
Residential Asset Mortgage Products, Inc. 2003-SL1 A11 | | | | | | | | | |
7.12% | | 03/25/16 | | | | 281,808 | | | 287,323 |
Residential Asset Mortgage Products, Inc. 2004-SL1 A2 | | | | | | | | | |
8.50% | | 11/25/31 | | | | 29,971 | | | 31,436 |
Structured Asset Mortgage Investments, Inc. 2005-AR7 1A1 | | | | | | | | | |
5.38% | | 12/27/35 | 2,† | | | 2,118,861 | | | 1,642,136 |
85 / Semi-Annual Report September 2008
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Maturity
Date | | | Principal
Amount | | Value |
MORTGAGE-BACKED (continued) | | | | | | | | | |
Non-Agency Mortgage-Backed (continued) | | | | | | | | | |
Structured Asset Mortgage Investments, Inc. 2006-AR8 A1A | | | | | | | | | |
3.41% | | 10/25/36 | 2 | | $ | 2,197,009 | | $ | 1,344,439 |
Structured Asset Securities Corp. 2001-15A 4A1 | | | | | | | | | |
6.00% | | 10/25/31 | 2 | | | 7,485 | | | 7,397 |
Structured Asset Securities Corp. 2002-5A 6A | | | | | | | | | |
6.28% | | 04/25/32 | 2 | | | 28,867 | | | 25,759 |
Summit Mortgage Trust 2000-1 B5 | | | | | | | | | |
6.65% | | 12/28/12 | 2,3 | | | 34 | | | 35 |
Terwin Mortgage Trust NIM 2007-2 N1 | | | | | | | | | |
7.50% | | 04/25/38 | 3 | | | 1,481,970 | | | 51,996 |
Washington Mutual Alternative Mortgage Pass-Through Certificates 2007-OA3 4A1 | | | | | | | | | |
3.63% | | 04/25/47 | 2 | | | 1,939,459 | | | 1,116,062 |
Washington Mutual Mortgage Pass-Through Certificates 2002-AR18 A | | | | | | | | | |
6.48% | | 01/25/33 | 2 | | | 97,462 | | | 93,814 |
Washington Mutual Mortgage Pass-Through Certificates 2006-AR4 1A1A | | | | | | | | | |
3.80% | | 05/25/46 | 2,† | | | 1,973,542 | | | 1,697,245 |
Washington Mutual MSC Mortgage Pass-Through Certificates 2003-MS9 1A | | | | | | | | | |
7.00% | | 04/25/33 | | | | 335,195 | | | 344,284 |
| | | | | | | | | |
| | | | | | | | | 24,388,937 |
| | | | | | | | | |
U.S. Agency Mortgage-Backed — 13.90% | | | | | | | | | |
Fannie Mae 1997-91 SL (IO) | | | | | | | | | |
7.50% | | 11/25/23 | 2 | | | 375,596 | | | 72,072 |
Fannie Mae 2001-48 PD | | | | | | | | | |
6.50% | | 06/25/20 | | | | 9,434 | | | 9,492 |
Fannie Mae 2002-94 BJ | | | | | | | | | |
5.50% | | 04/25/16 | | | | 6,762 | | | 92 |
Fannie Mae 2003-37 IG (IO) | | | | | | | | | |
5.50% | | 05/25/32 | | | | 555,238 | | | 84,331 |
Fannie Mae 2003-62 IG (IO) | | | | | | | | | |
5.00% | | 10/25/31 | | | | 1,000,000 | | | 251,827 |
Fannie Mae 2003-91 IQ (IO) | | | | | | | | | |
5.50% | | 06/25/26 | | | | 260,366 | | | 6,374 |
Fannie Mae 2006-B2 AB | | | | | | | | | |
5.50% | | 05/25/14 | | | | 33,839 | | | 34,351 |
Fannie Mae 2007-83 PA | | | | | | | | | |
6.00% | | 03/25/29 | | | | 1,795,573 | | | 1,837,955 |
Fannie Mae FNCI (TBA) | | | | | | | | | |
5.00% | | 10/25/23 | | | | 2,480,000 | | | 2,462,563 |
5.50% | | 10/25/23 | | | | 6,510,000 | | | 6,576,117 |
Fannie Mae G-36 ZB | | | | | | | | | |
7.00% | | 11/25/21 | | | | 4,125 | | | 4,328 |
Fannie Mae Pool 447965 | | | | | | | | | |
6.00% | | 12/01/18 | | | | 50,496 | | | 51,747 |
Fannie Mae Pool 523829 | | | | | | | | | |
8.00% | | 11/01/19 | | | | 46,215 | | | 50,327 |
Fannie Mae Pool 549740 | | | | | | | | | |
6.50% | | 10/01/27 | | | | 42,793 | | | 44,022 |
Fannie Mae Pool 555312 | | | | | | | | | |
5.99% | | 01/01/33 | 2 | | | 18,123 | | | 18,290 |
Fannie Mae Pool 646884 | | | | | | | | | |
5.48% | | 05/01/32 | 2 | | | 256,243 | | | 257,207 |
Fannie Mae Pool 802665 | | | | | | | | | |
5.82% | | 12/01/34 | 2 | | | 29,606 | | | 30,362 |
Fannie Mae Pool 887714 | | | | | | | | | |
6.05% | | 08/01/36 | 2 | | | 1,890,403 | | | 1,941,568 |
Freddie Mac 2 L | | | | | | | | | |
8.00% | | 11/25/22 | | | | 33,903 | | | 36,882 |
Freddie Mac 2080 PJ | | | | | | | | | |
6.50% | | 08/15/28 | | | | 575,236 | | | 595,628 |
Freddie Mac 2480 NF | | | | | | | | | |
3.49% | | 01/15/32 | 2 | | | 65,269 | | | 65,253 |
Freddie Mac 2657 NX | | | | | | | | | |
5.00% | | 01/15/16 | | | | 4,463 | | | 6 |
Freddie Mac Gold G12393 | | | | | | | | | |
5.50% | | 10/01/21 | | | | 104,878 | | | 105,664 |
Freddie Mac Gold G12797 | | | | | | | | | |
6.50% | | 02/01/22 | | | | 90,426 | | | 93,718 |
Freddie Mac Non Gold Pool 1L0113 | | | | | | | | | |
6.26% | | 05/01/35 | 2 | | | 528,493 | | | 548,153 |
Freddie Mac Non Gold Pool 781186 | | | | | | | | | |
6.18% | | 01/01/34 | 2 | | | 38,562 | | | 39,120 |
Freddie Mac Non Gold Pool 788498 | | | | | | | | | |
6.36% | | 02/01/30 | 2 | | | 475,789 | | | 478,637 |
Freddie Mac Non Gold Pool 847288 | | | | | | | | | |
4.22% | | 05/01/34 | 2 | | | 772,100 | | | 781,039 |
Ginnie Mae 2003-82 IO | | | | | | | | | |
5.50% | | 03/20/29 | | | | 29,113 | | | 695 |
Ginnie Mae 2004-34 IA (IO) | | | | | | | | | |
5.50% | | 12/20/31 | | | | 65,752 | | | 134 |
Ginnie Mae II Pool 80968 | | | | | | | | | |
5.63% | | 07/20/34 | 2 | | | 332,241 | | | 336,000 |
| | | | | | | | | |
| | | | | | | | | 16,813,954 |
| | | | | | | | | |
Total Mortgage-Backed (Cost $61,323,692) | | | | | | | | | 49,151,041 |
| | | | | | | | | |
Total Bonds – 100.18% (Cost $145,220,735) | | | | | | | | | 121,153,919 |
| | | | | | | | | |
Semi-Annual Report September 2008 / 86
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | | |
Issues | | Maturity
Date | | | Shares/
Principal
Amount | | Value | |
SHORT TERM INVESTMENTS — 12.65% | | | | | | | | | | |
Commercial Paper — 1.57% | | | | | | | | | | |
National Rural Utilities Co. | | | | | | | | | | |
2.85%8 | | 10/10/08 | | | $ | 1,895,000 | | $ | 1,893,650 | |
| | | | | | | | | | |
Money Market Fund — 0.00% | | | | | | | | | | |
Goldman Sachs Group, Inc. (The), 2.39% | | | | | | 5,000 | | | 5,000 | |
| | | | | | | | | | |
U.S. Agency Discount Notes — 10.51% | | | | | | | | | | |
Fannie Mae | | | | | | | | | | |
2.18%8 | | 10/14/08 | 9 | | | 70,000 | | | 69,945 | |
2.33%8 | | 10/14/08 | | | | 743,000 | | | 742,384 | |
Federal Home Loan Bank | | | | | | | | | | |
2.17%8 | | 12/17/08 | | | | 2,787,000 | | | 2,772,246 | |
2.27%8 | | 12/21/08 | 9 | | | 6,200,000 | | | 6,169,310 | |
2.41%8 | | 12/12/08 | | | | 205,000 | | | 203,985 | |
3.17%8 | | 12/18/08 | | | | 2,154,000 | | | 2,142,450 | |
Freddie Mac | | | | | | | | | | |
3.18%8 | | 12/26/08 | | | | 609,000 | | | 605,400 | |
| | | | | | | | | | |
| | | | | | | | | 12,705,720 | |
| | | | | | | | | | |
U.S. Treasury Bills — 0.57% | | | | | | | | | | |
0.02%8 | | 10/23/08 | | | | 696,000 | | | 695,991 | |
| | | | | | | | | | |
Total Short Term Investments (Cost $15,300,766) | | | | | | | | | 15,300,361 | |
| | | | | | | | | | |
Total Investments – 112.83% (Cost $160,521,501)1 | | | | | | | | | 136,454,280 | |
| | | | | | | | | | |
Liabilities in Excess of Other Assets – (12.83)% | | | | | | | | | (15,518,450 | ) |
| | | | | | | | | | |
Net Assets – 100.00% | | | | | | | | $ | 120,935,830 | |
| | | | | | | | | | |
| | | | | | |
Contracts | | | | Unrealized
Depreciation | |
FUTURES CONTRACTS: LONG POSITIONS | | | | |
| 2 | | S&P 500 Index E-Mini, December 2008 | | $ | (8,779 | ) |
| 292 | | S&P 500 Index, December 2008 | | | (7,790,016 | ) |
| | | | | | |
| | Net unrealized depreciation | | $ | (7,798,795 | ) |
| | | | | | |
| | |
Contracts | | | | Unrealized
Appreciation | |
FUTURES CONTRACTS: SHORT POSITIONS | | | | |
| 11 | | U.S. Treasury Two Year Note, December 2008 | | $ | 19,961 | |
| | | | | | |
| | Net unrealized appreciation | | $ | 19,961 | |
| | | | | | |
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: TOTAL RETURN | | | | | | | | | |
The Fund pays a floating rate based on 1-month USD LIBOR minus 4 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: CS First Boston | | | | | | | | | |
| | 10/03/08 | | $ | 19,938 | | $ | (1,802,751 | ) |
The Fund pays a floating rate based on 1-month USD LIBOR minus 4 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 10/03/08 | | | 19,938 | | | (1,802,751 | ) |
The Fund pays a floating rate based on 1-month USD LIBOR plus 30 basis points and the Fund receives from the counterparty the price return on the Standard & Poor’s 500 Total Return Index. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 11/05/08 | | | 18,160 | | | — | |
| | | | | | | | | |
| | | | | | | $ | (3,605,502 | ) |
| | | | | | | | | |
SWAPS: INTEREST RATE | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 2.98% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 09/22/10 | | | 2,418 | | | (19,168 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.20% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/11 | | | 9,480 | | | 80,612 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.23% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/11 | | | 4,310 | | | 37,610 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.21% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/11 | | | 7,180 | | | 59,386 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.42% quarterly. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/11 | | | 4,310 | | | 52,712 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.03% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/11 | | | 8,500 | | | 8,193 | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.96% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/03/19 | | | 2,310 | | | (62,778 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.06% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/10/19 | | | 1,050 | | | (36,139 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 5.00% semi-annually. Counterparty: CS First Boston | | | | | | | | | |
| | 06/11/19 | | | 1,050 | | | (31,354 | ) |
87 / Semi-Annual Report September 2008
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: INTEREST RATE (continued) | | | | | | | | | |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.97% semi-annually. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 06/11/19 | | $ | 1,750 | | $ | (48,148 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 4.70% semi-annually. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 09/26/19 | | | 2,070 | | | (1,954 | ) |
The Fund pays a floating rate based on 3-month USD LIBOR and the Fund receives from the counterparty a fixed rate equal to 7.25% quarterly. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/31/22 | | | 900 | | | (5,272 | ) |
| | | | | | | | | |
| | | | | | | $ | 33,700 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (PURCHASED) | | | | | | | | | |
The Fund pays a fixed rate equal to 3.56% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 300 | | | 9,347 | |
The Fund pays a fixed rate equal to 3.65% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Centex Corp. 5.25%, due 06/15/15. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 200 | | | 5,634 | |
The Fund pays a fixed rate equal to 0.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Morgan Stanley 6.60%, due 04/01/12. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 12/20/12 | | | 295 | | | 71,728 | |
The Fund pays a fixed rate equal to 3.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: CS First Boston | | | | | | | | | |
| | 12/20/12 | | | 325 | | | (15,504 | ) |
The Fund pays a fixed rate equal to 3.88% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 100 | | | (5,131 | ) |
The Fund pays a fixed rate equal to 3.91% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 240 | | | (12,574 | ) |
The Fund pays a fixed rate equal to 3.87% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 12/20/12 | | | 390 | | | (19,870 | ) |
The Fund pays a fixed rate equal to 2.83% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.875%, due 11/15/12. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 12/20/12 | | | 220 | | | (3,090 | ) |
The Fund pays a fixed rate equal to 2.78% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Toll Brothers Finance Corp. 6.88%, due 11/15/12. Counterparty: Merrill Lynch & Co., Inc. | | | | | | | | | |
| | 12/20/12 | | | 500 | | | (6,121 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Morgan Stanley | | | | | | | | | |
| | 03/20/13 | | | 75 | | | (582 | ) |
The Fund pays a fixed rate equal to 2.55% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Goldman Sachs Group, Inc. 6.60%, due 01/15/12. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/13 | | | 425 | | | 28,394 | |
The Fund pays a fixed rate equal to 4.62% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 80 | | | (6,617 | ) |
The Fund pays a fixed rate equal to 2.25% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/13 | | | 75 | | | (582 | ) |
The Fund pays a fixed rate equal to 1.85% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 06/20/13 | | | 100 | | | 989 | |
The Fund pays a fixed rate equal to 0.50% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Southwest Airlines Co. 6.50%, due 03/01/12. Counterparty: UBS AG | | | | | | | | | |
| | 03/20/14 | | | 450 | | | 23,290 | |
The Fund pays a fixed rate equal to 4.00% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Pulte Homes, Inc. 5.25%, due 01/15/14. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 03/20/15 | | | 80 | | | (7,209 | ) |
The Fund pays a fixed rate equal to 2.40% and the Fund will receive from the counterparty at par including interest accrued in the event of default of the Darden Restaurants, Inc. 7.125%, due 02/01/16. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 03/20/15 | | | 150 | | | (2,052 | ) |
| | | | | | | | | |
| | | | | | | $ | 60,050 | |
| | | | | | | | | |
SWAPS: CREDIT DEFAULT (WRITTEN) | | | | | | | | | |
The Fund receives a fixed rate equal to 1.60% and the Fund will pay to the counterparty at par including interest accrued in the event of default of Wachovia Corp. 3.625%, due 02/17/09. Counterparty: CS First Boston | | | | | | | | | |
| | 03/20/09 | | | 550 | | | (9,245 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 225 | | | (198,348 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 1,245 | | | (596,490 | ) |
The Fund receives a fixed rate equal to 0.15% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-1, due 08/25/37. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 08/25/37 | | | 225 | | | (198,348 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: CS First Boston | | | | | | | | | |
| | 08/25/37 | | | 1,140 | | | (546,156 | ) |
Semi-Annual Report September 2008 / 88
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
| | | | | | | | | |
Issues | | Expiration
Date | | Notional
Amount
(000’s) | | Value | |
SWAPS: CREDIT DEFAULT (WRITTEN) (continued) | | | | | | | | | |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 08/25/37 | | $ | 300 | | $ | (143,733 | ) |
The Fund receives a fixed rate equal to 0.09% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-1, due 08/25/37. Counterparty: Morgan Stanley | | | | | | | | | |
| | 08/25/37 | | | 380 | | | (182,061 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Barclays Capital, Inc. | | | | | | | | | |
| | 01/25/38 | | | 750 | | | (370,145 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: CS First Boston | | | | | | | | | |
| | 01/25/38 | | | 550 | | | (271,211 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 01/25/38 | | | 500 | | | (246,763 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 01/25/38 | | | 400 | | | (197,411 | ) |
The Fund receives a fixed rate equal to 0.76% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AAA 07-2, due 01/25/38. Counterparty: Morgan Stanley | | | | | | | | | |
| | 01/25/38 | | | 500 | | | (246,763 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Deutsche Bank AG | | | | | | | | | |
| | 01/25/38 | | | 150 | | | (140,477 | ) |
The Fund receives a fixed rate equal to 5.00% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-BBB 07-2, due 01/25/38. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 01/25/38 | | | 55 | | | (51,508 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 225 | | | (197,561 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 520 | | | (456,584 | ) |
The Fund receives a fixed rate equal to 1.92% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 07-2, due 01/25/38. Counterparty: JPMorgan Chase & Co. | | | | | | | | | |
| | 01/25/38 | | | 450 | | | (395,121 | ) |
The Fund receives a fixed rate equal to 0.11% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AAA 06-2, due 05/25/46. Counterparty: Citigroup, Inc. | | | | | | | | | |
| | 05/25/46 | | | 300 | | | (93,596 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Bank of America Corp. | | | | | | | | | |
| | 05/25/46 | | | 350 | | | (269,370 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of the ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 400 | | | (307,851 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: CS First Boston | | | | | | | | | |
| | 05/25/46 | | | 300 | | | (230,888 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Royal Bank of Scotland Group Plc | | | | | | | | | |
| | 05/25/46 | | | 300 | | | (230,888 | ) |
The Fund receives a fixed rate equal to 0.17% and the Fund will pay to the counterparty at par including interest accrued in the event of default of ABX-HE-AA 06-2, due 05/25/46. Counterparty: Goldman Sachs Group, Inc. | | | | | | | | | |
| | 05/25/46 | | | 250 | | | (192,407 | ) |
| | | | | | | | | |
| | | | | | | $ | (5,772,925 | ) |
| | | | | | | | | |
Notes:
1 | Cost for Federal income tax purposes is $160,579,358 and net unrealized appreciation/(depreciation) consists of: |
| | | | |
Gross unrealized appreciation | | $ | 284,545 | |
Gross unrealized depreciation | | | (24,409,623 | ) |
| | | | |
Net unrealized (depreciation) | | $ | (24,125,078 | ) |
| | | | |
2 | Floating rate security. The rate disclosed is that in effect at September 30, 2008. |
3 | Securities exempt from registration under Rule 144A of the Securities Act of 1933, as amended. The securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. The market value of these securities at September 30, 2008 was $19,170,193 representing 15.85% of total net assets. |
89 / Semi-Annual Report September 2008
AlphaTrak 500 Fund
Schedule of Portfolio Investments
September 30, 2008 (Unaudited)
6 | Non-Rule 144A securities determined to be restricted private placements under procedures approved by the Fund’s Board of Trustees. Information related to these securities is as follows: |
| | | | | | | | | | | |
Date of
Purchase | | Security | | Amortized
Cost | | Value | | % of
TNA | |
05/02/08 | | Calpine CCFC I Term Loan, 9.76%, 08/26/09 | | $ | 801,324 | | $ | 793,822 | | 0.66 | % |
06/28/07 | | Community Health Systems, Inc. 1st Lien, 5.28%, 07/25/14 | | | 953,428 | | | 839,016 | | 0.69 | % |
10/22/07 | | HCA Term Loan A, 5.76%, 11/18/12 | | | 932,859 | | | 842,382 | | 0.70 | % |
03/07/07 | | Kelson 1st Lien, 7.02%, 03/16/13 | | | 215,747 | | | 201,454 | | 0.17 | % |
08/21/06 | | Northwest Air Dip, 4.70%, 05/21/12 | | | 1,374,879 | | | 1,275,216 | | 1.05 | % |
05/17/07 | | Tribune 1st Lien Term Loan B, 5.79%, 05/24/14 | | | 981,500 | | | 525,844 | | 0.44 | % |
02/01/07 | | United Air Lines, Inc., 5.46%, 02/01/14 | | | 707,222 | | | 438,478 | | 0.36 | % |
| | | | | | | | | | | |
| | | | $ | 5,966,959 | | $ | 4,916,212 | | 4.07 | % |
| | | | | | | | | | | |
7 | Zero coupon bond. The rate shown is the effective yield as of September 30, 2008. |
8 | Represents annualized yield at date of purchase. |
9 | Securities, or a portion there of, pledged as collateral for futures, written options and reverse repurchase agreements. |
† | Fair valued security. The aggregate value of fair valued securities is $17,478,331 which is 14.45% of total net assets, which have not been valued utilizing an independent quote and were valued pursuant to guidelines established by the Board of Trustees. This figure does not necessarily indicate the treatment of those securities under FAS 157, as discussed in the Notes to Financial Statements. |
* | Securities with a call or reset feature will have an effective maturity date less than the stated maturity. |
** | Securities backed by mortgage or consumer loans where payment is periodically made will have an effective maturity date less than the stated maturity date. |
(DIP): Defaulted interest payment
(IO): Interest only
(MTN): Medium term note
(STEP): Step coupon bond
Semi-Annual Report September 2008 / 90
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2008 (Unaudited)
| | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | |
Investments, at value (Cost $183,212,157, $1,827,807,896, $196,314,548, $7,487,930,709, $129,097,726, $462,159,033, and $160,521,501, respectively) (Note 2) | | $ | 154,779,111 | | | $ | 1,606,101,373 | |
Cash and cash equivalents (Note 2) | | | — | | | | 449,018 | |
Cash on deposit with brokers for securities sold short and written option contracts (Note 3) | | | — | | | | — | |
Dividends and interest receivable | | | 750,964 | | | | 11,787,750 | |
Due from Adviser (Note 6) | | | 19,014 | | | | 51,196 | |
Receivable for securities sold | | | 34,126 | | | | 13,912,364 | |
Receivable for capital stock sold | | | 90,755 | | | | 4,505,770 | |
Receivable for daily variation margin on futures contracts (Note 3) | | | 76,677 | | | | 906,236 | |
Other assets | | | 17,182 | | | | 54,332 | |
| | | | | | | | |
Total Assets | | | 155,767,829 | | | | 1,637,768,039 | |
| | | | | | | | |
Liabilities: | | | | | | | | |
Securities sold short (Proceeds $0, $0, $0, $0, $0, $483,062, and $0, respectively) (Note 3) | | | — | | | | — | |
Swap contracts, at value (Premiums received $9,643,558, $51,744,972, $4,448,530, $171,795,676, $1,359,239, $35,327,209, and $4,512,549, respectively) (Note 3) | | | 9,148,286 | | | | 51,580,984 | |
Written option contracts, at value (Premiums received $0, $1,394,624, $145,761, $3,826,705, $88,366, $640,908, and $0, respectively) (Note 3) | | | — | | | | 4,120,442 | |
Reverse repurchase agreements (Proceeds $0, $0, $0, $0, $0, $7,815,000, and $0, respectively) (Note 3) | | | — | | | | — | |
Payable to Custodian | | | 381,469 | | | | — | |
Payable for securities purchased | | | 7,490,403 | | | | 46,411,762 | |
Payable for capital stock redeemed | | | 238,752 | | | | 9,212,254 | |
Payable for daily variation margin on futures contracts (Note 3) | | | — | | | | — | |
Distributions payable | | | 221,053 | | | | 374,363 | |
Interest payable (Note 3) | | | — | | | | — | |
Due to Adviser (Note 6) | | | 44,515 | | | | 389,879 | |
Accrued trustees fees | | | 16,898 | | | | 93,033 | |
Accrued 12b-1 expenses | | | 7,933 | | | | 177,461 | |
Accrued other expenses | | | 62,290 | | | | 332,095 | |
| | | | | | | | |
Total liabilities | | | 17,611,599 | | | | 112,692,273 | |
| | | | | | | | |
Net assets | | $ | 138,156,230 | | | $ | 1,525,075,766 | |
| | | | | | | | |
Class M Shares: | | | | | | | | |
Net assets (Applicable to 13,018,048, 134,662,061, 2,347,313, 394,677,806, 5,318,328, 4,975,963, and 21,544,592, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 55,733,165 | | | $ | 1,099,785,420 | |
| | | | | | | | |
Net asset value, offering and redemption price per Class M share | | $ | 4.28 | | | $ | 8.17 | |
| | | | | | | | |
Class I Shares: | | | | | | | | |
Net assets (Applicable to 19,253,441, 52,051,271, 14,536,763, 226,863,698, 7,083,090, 28,804,466, and 0, shares of beneficial interest issued and outstanding, respectively, unlimited number of shares authorized with a $0.01 par value) | | $ | 82,423,065 | | | $ | 425,290,346 | |
| | | | | | | | |
Net asset value, offering and redemption price per Class I share | | $ | 4.28 | | | $ | 8.17 | |
| | | | | | | | |
Net Assets Consist of: | | | | | | | | |
Capital paid-in (Note 8) | | $ | 181,956,665 | | | $ | 1,833,935,789 | |
Accumulated undistributed net investment income/(loss) | | | (254,936 | ) | | | (3,446,109 | ) |
Accumulated undistributed net realized (loss) on investments, futures contracts, securities sold short, swap contracts and written options | | | (15,653,937 | ) | | | (80,822,101 | ) |
Net unrealized (depreciation) on investments | | | (28,433,046 | ) | | | (221,706,523 | ) |
Net unrealized appreciation/(depreciation) on futures contracts, securities sold short, swap contracts and written options | | | 541,484 | | | | (2,885,290 | ) |
| | | | | | | | |
| | $ | 138,156,230 | | | $ | 1,525,075,766 | |
| | | | | | | | |
See accompanying notes to financial statements.
91 / Semi-Annual Report September 2008
Metropolitan West Funds
Statements of Assets and Liabilities
September 30, 2008 (Unaudited)
| | | | | | | | | | | | | | | | | | |
INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
| $ | 186,303,898 | | | $ | 7,098,279,557 | | | $ | 113,468,842 | | | $ | 395,523,620 | | | $ | 136,454,280 | |
| | 60,202 | | | | 1,357,209 | | | | 1,294,954 | | | | 152,977 | | | | 2,100,522 | |
| | — | | | | — | | | | 2,793 | | | | 1,476,884 | | | | — | |
| | 1,169,577 | | | | 46,619,129 | | | | 2,480,796 | | | | 3,695,531 | | | | 625,200 | |
| | 16,749 | | | | 29,481 | | | | 19,262 | | | | — | | | | 6,477 | |
| | 29,919 | | | | 410,475,332 | | | | 4,588,519 | | | | 26,317,041 | | | | 12,185,425 | |
| | — | | | | 15,407,064 | | | | 4,419 | | | | 62,238 | | | | 595 | |
| | 246 | | | | 815,684 | | | | 31,798 | | | | 894,850 | | | | 4,087,209 | |
| | 14,004 | | | | 131,822 | | | | 23,876 | | | | 16,704 | | | | 8,671 | |
| | | | | | | | | | | | | | | | | | | |
| | 187,594,595 | | | | 7,573,115,278 | | | | 121,915,259 | | | | 428,139,845 | | | | 155,468,379 | |
| | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | 609,504 | | | | — | |
| | 4,665,018 | | | | 175,988,862 | | | | 2,076,053 | | | | 33,900,380 | | | | 9,284,677 | |
| | 359,715 | | | | 9,208,482 | | | | 153,281 | | | | 1,645,294 | | | | — | |
| | — | | | | — | | | | — | | | | 7,815,000 | | | | — | |
| | — | | | | — | | | | — | | | | — | | | | — | |
| | 21,988,821 | | | | 1,635,230,641 | | | | 8,031,831 | | | | 106,388,254 | | | | 25,207,533 | |
| | 25,896 | | | | 22,864,177 | | | | 448,048 | | | | 9,533,114 | | | | 8,147 | |
| | 48,938 | | | | — | | | | — | | | | — | | | | — | |
| | 92,168 | | | | 3,524,987 | | | | 20,394 | | | | 9,038 | | | | — | |
| | — | | | | — | | | | — | | | | 1,650 | | | | — | |
| | 46,822 | | | | 1,688,144 | | | | 68,171 | | | | 76,299 | | | | — | |
| | 7,987 | | | | 215,140 | | | | 7,724 | | | | 17,559 | | | | — | |
| | 3,740 | | | | 645,849 | | | | 10,384 | | | | 8,282 | | | | — | |
| | 38,272 | | | | 619,795 | | | | 41,400 | | | | 78,181 | | | | 32,192 | |
| | | | | | | | | | | | | | | | | | | |
| | 27,277,377 | | | | 1,849,986,077 | | | | 10,857,286 | | | | 160,082,555 | | | | 34,532,549 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 160,317,218 | | | $ | 5,723,129,201 | | | $ | 111,057,973 | | | $ | 268,057,290 | | | $ | 120,935,830 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 22,291,219 | | | $ | 3,634,493,499 | | | $ | 47,624,247 | | | $ | 39,484,111 | | | $ | 120,935,830 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 9.50 | | | $ | 9.21 | | | $ | 8.95 | | | $ | 7.93 | | �� | $ | 5.61 | |
| | | | | | | | | | | | | | | | | | | |
| $ | 138,025,999 | | | $ | 2,088,635,702 | | | $ | 63,433,726 | | | $ | 228,573,179 | | | | N/A | |
| | | | | | | | | | | | | | | | | | | |
| $ | 9.49 | | | $ | 9.21 | | | $ | 8.96 | | | $ | 7.94 | | | | N/A | |
| | | | | | | | | | | | | | | | | | | |
| $ | 170,953,112 | | | $ | 6,156,521,804 | | | $ | 132,658,178 | | | $ | 393,403,926 | | | $ | 188,619,675 | |
| | (190,877 | ) | | | (4,129,296 | ) | | | (25,637 | ) | | | 514,294 | | | | 3,193,432 | |
| | (40,173 | ) | | | (32,212,649 | ) | | | (5,181,385 | ) | | | (57,999,928 | ) | | | (34,259,094 | ) |
| | (10,010,650 | ) | | | (389,651,152 | ) | | | (15,628,884 | ) | | | (66,635,413 | ) | | | (24,067,221 | ) |
| | (394,194 | ) | | | (7,399,506 | ) | | | (764,299 | ) | | | (1,225,589 | ) | | | (12,550,962 | ) |
| | | | | | | | | | | | | | | | | | | |
| $ | 160,317,218 | | | $ | 5,723,129,201 | | | $ | 111,057,973 | | | $ | 268,057,290 | | | $ | 120,935,830 | |
| | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 92
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2008 (Unaudited)
| | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | |
Investment Income: | | | | | | | | |
Interest | | $ | 5,252,466 | | | $ | 55,183,496 | |
Dividends | | | 16,157 | | | | 318,153 | |
| | | | | | | | |
Total investment income | | | 5,268,623 | | | | 55,501,649 | |
| | | | | | | | |
Expenses: | | | | | | | | |
Investment advisory fees (Note 6) | | | 224,530 | | | | 2,676,604 | |
Administration Fees | | | 55,805 | | | | 311,522 | |
Custodian fees | | | 15,788 | | | | 39,163 | |
Distribution (12b-1) fees | | | 64,063 | | | | 1,196,972 | |
Interest expense | | | 6 | | | | 813 | |
Insurance expense | | | 2,702 | | | | 18,589 | |
Miscellaneous expenses | | | 28,209 | | | | 145,446 | |
Professional fees | | | 17,256 | | | | 58,197 | |
Registration and filing fees | | | 35,738 | | | | 41,405 | |
Reports to shareholders | | | 12,998 | | | | 86,647 | |
Transfer agent fees | | | 19,553 | | | | 255,315 | |
Trustees’ fees and expenses | | | 2,735 | | | | 21,700 | |
| | | | | | | | |
Repayment of reimbursed expenses (Note 5) | | | — | | | | — | |
| | | | | | | | |
Total operating expenses | | | 479,383 | | | | 4,852,373 | |
Expenses waived and reimbursed (Note 6) | | | (109,953 | ) | | | (175,003 | ) |
| | | | | | | | |
Net expenses | | | 369,430 | | | | 4,677,370 | |
| | | | | | | | |
Net investment income | | | 4,899,193 | | | | 50,824,279 | |
| | | | | | | | |
Realized and Change in Unrealized Gain/(Loss) on Investments, Futures Contracts, Securities Sold Short, Swap Contracts and Written Options: | | | | | | | | |
Net realized gain/(loss) on: | | | | | | | | |
Investments | | | (2,546,814 | ) | | | (39,879,489 | ) |
Futures contracts | | | (331,551 | ) | | | (281,693 | ) |
Swap contracts | | | (1,218,695 | ) | | | (30,517,405 | ) |
Written options | | | — | | | | — | |
Net change in unrealized appreciation/depreciation on: | | | | | | | | |
Investments | | | (10,094,919 | ) | | | (80,735,899 | ) |
Futures contracts | | | 531,640 | | | | (396,404 | ) |
Securities sold short | | | — | | | | — | |
Swap contracts | | | 658,150 | | | | 22,584,548 | |
Written options | | | 12,320 | | | | 468,679 | |
| | | | | | | | |
Net change in realized and unrealized loss on investments, futures contracts, securities sold short, swap contracts and written options | | | (12,989,869 | ) | | | (128,757,663 | ) |
| | | | | | | | |
Net Decrease in Net Assets from Operations | | $ | (8,090,676 | ) | | $ | (77,933,384 | ) |
| | | | | | | | |
See accompanying notes to financial statements.
93 / Semi-Annual Report September 2008
Metropolitan West Funds
Statements of Operations
For the Period Ended September 30, 2008 (Unaudited)
| | | | | | | | | | | | | | | | | | |
INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
| $ | 4,502,505 | | | $ | 173,124,555 | | | $ | 4,766,269 | | | $ | 15,433,076 | | | $ | 4,065,657 | |
| | 34,230 | | | | 1,390,327 | | | | 102,074 | | | | 368,143 | | | | 46,301 | |
| | | | | | | | | | | | | | | | | | | |
| | 4,536,735 | | | | 174,514,882 | | | | 4,868,343 | | | | 15,801,219 | | | | 4,111,958 | |
| | | | | | | | | | | | | | | | | | | |
| | 278,035 | | | | 10,247,756 | | | | 283,777 | | | | 381,469 | | | | — | |
| | 48,375 | | | | 920,778 | | | | 41,336 | | | | 74,623 | | | | 40,047 | |
| | 12,426 | | | | 90,966 | | | | 7,394 | | | | 18,165 | | | | 11,308 | |
| | 19,029 | | | | 3,845,876 | | | | 59,639 | | | | 53,697 | | | | — | |
| | — | | | | 3,786 | | | | 60 | | | | 304,835 | | | | 10,486 | |
| | 1,457 | | | | 52,521 | | | | 985 | | | | 3,072 | | | | 1,554 | |
| | 18,510 | | | | 311,717 | | | | 11,326 | | | | 22,525 | | | | 15,971 | |
| | 29,130 | | | | 128,552 | | | | 27,435 | | | | 30,815 | | | | 22,904 | |
| | 19,845 | | | | 101,631 | | | | 22,176 | | | | 23,360 | | | | 12,370 | |
| | 6,083 | | | | 219,189 | | | | 4,828 | | | | 18,789 | | | | 8,220 | |
| | 18,448 | | | | 515,223 | | | | 19,031 | | | | 18,945 | | | | 10,332 | |
| | 1,702 | | | | 58,440 | | | | 1,336 | | | | 4,668 | | | | 2,064 | |
| | | | | | | | | | | | | | | | | | | |
| | — | | | | 236,121 | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | |
| | 453,040 | | | | 16,732,556 | | | | 479,323 | | | | 954,963 | | | | 135,256 | |
| | (84,481) | | | | — | | | | (107,469 | ) | | | — | | | | (14,413 | ) |
| | | | | | | | | | | | | | | | | | | |
| | 368,559 | | | | 16,732,556 | | | | 371,854 | | | | 954,963 | | | | 120,843 | |
| | | | | | | | | | | | | | | | | | | |
| | 4,168,176 | | | | 157,782,326 | | | | 4,496,489 | | | | 14,846,256 | | | | 3,991,115 | |
| | | | | | | | | | | | | | | | | | | |
| | 301,796 | | | | (38,203,841 | ) | | | (2,746,967 | ) | | | (24,133,212 | ) | | | (616,170 | ) |
| | (3,460) | | | | 2,358,643 | | | | 32,217 | | | | (1,420,251 | ) | | | (5,920,802 | ) |
| | (2,371,869) | | | | (91,045,302 | ) | | | (573,091 | ) | | | (16,335,938 | ) | | | (5,961,637 | ) |
| | (11,328) | | | | 6,726,618 | | | | 216,722 | | | | 755,331 | | | | — | |
| | (10,495,821) | | | | (306,704,170 | ) | | | (6,720,779 | ) | | | (4,526,974 | ) | | | (9,284,999 | ) |
| | (11,776) | | | | 125,406 | | | | 17,430 | | | | 3,796,184 | | | | (6,431,754 | ) |
| | — | | | | — | | | | — | | | | 108,661 | | | | — | |
| | 1,853,892 | | | | 63,321,102 | | | | 495,903 | | | | 12,315,986 | | | | 352,058 | |
| | (13,402) | | | | (5,291,244 | ) | | | (167,817 | ) | | | (359,388 | ) | | | 7,546 | |
| | | | | | | | | | | | | | | | | | | |
| | (10,751,968) | | | | (368,712,788 | ) | | | (9,446,382 | ) | | | (29,799,601 | ) | | | (27,855,758 | ) |
| | | | | | | | | | | | | | | | | | | |
| $ | (6,583,792 | ) | | $ | (210,930,462 | ) | | $ | (4,949,893 | ) | | $ | (14,953,345 | ) | | $ | (23,864,643 | ) |
| | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 94
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | ULTRA SHORT
BOND FUND | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | |
Operations: | | | | | | | | |
Net investment income | | $ | 4,899,193 | | | $ | 16,205,037 | |
Net realized gain/(loss) on investments | | | (2,546,814 | ) | | | (10,624,965 | ) |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | (1,550,246 | ) | | | (581,128 | ) |
Net change in unrealized appreciation/depreciation on investments | | | (10,094,919 | ) | | | (17,662,091 | ) |
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options | | | 1,202,110 | | | | (624,881 | ) |
| | | | | | | | |
Net (decrease) in net assets resulting from operations | | | (8,090,676 | ) | | | (13,288,028 | ) |
| | | | | | | | |
Distributions to Shareholders from: | | | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (2,259,848 | ) | | | (8,187,325 | ) |
Class I | | | (2,893,019 | ) | | | (8,144,065 | ) |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (5,152,867 | ) | | | (16,331,390 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 11,604,823 | | | | 168,017,534 | |
Shares issued in reinvestment of distributions | | | 2,222,795 | | | | 8,046,926 | |
Cost of shares redeemed | | | (85,456,548 | ) | | | (147,129,009 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | (71,628,930 | ) | | | 28,935,451 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 41,686,069 | | | | 136,486,559 | |
Shares issued in reinvestment of distributions | | | 1,752,380 | | | | 6,828,930 | |
Cost of shares redeemed | | | (73,840,946 | ) | | | (134,285,273 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | (30,402,497 | ) | | | 9,030,216 | |
| | | | | | | | |
Net increase/(decrease) in net assets resulting from capital share transactions | | | (102,031,427 | ) | | | 37,965,667 | |
| | | | | | | | |
Net increase/(decrease) in net assets | | | (115,274,970 | ) | | | 8,346,249 | |
Redemption fees (Note 8) | | | 150 | | | | 150 | |
Net assets at beginning of period | | | 253,431,050 | | | | 245,084,651 | |
| | | | | | | | |
Net assets at end of period (including undistributed net investment income of $(254,936), $(1,262), $(3,446,109), $1, $(190,877), $(99,348), $(4,129,296) and $99, respectively) | | $ | 138,156,230 | | | $ | 253,431,050 | |
| | | | | | | | |
See accompanying notes to financial statements.
95 / Semi-Annual Report September 2008
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | | | | | | | | | |
LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | |
SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2008 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | |
| $ | 50,824,279 | | $ | 98,393,040 | | | $ | 4,168,176 | | | $ | 6,083,008 | | | $ | 157,782,326 | | | $ | 192,412,691 | |
| | (39,879,489) | | | 11,582,131 | | | | 301,796 | | | | 2,705,433 | | | | (38,203,841 | ) | | | 151,198,687 | |
| | (30,799,098) | | | 5,543,793 | | | | (2,386,657 | ) | | | 540,701 | | | | (81,960,041 | ) | | | 35,106,239 | |
| | (80,735,899) | | | (129,940,260 | ) | | | (10,495,821 | ) | | | 85,956 | | | | (306,704,170 | ) | | | (92,109,230 | ) |
| | 22,656,823 | | | (26,948,140 | ) | | | 1,828,714 | | | | (2,323,741 | ) | | | 58,155,264 | | | | (68,638,515 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (77,933,384) | | | (41,369,436 | ) | | | (6,583,792 | ) | | | 7,091,357 | | | | (210,930,462 | ) | | | 217,969,872 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (37,971,998) | | | (64,286,549 | ) | | | (469,953 | ) | | | (684,080 | ) | | | (99,905,794 | ) | | | (105,872,657 | ) |
| | (16,298,391) | | | (35,942,182 | ) | | | (3,789,752 | ) | | | (5,769,630 | ) | | | (62,005,927 | ) | | | (90,097,721 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (54,270,389) | | | (100,228,731 | ) | | | (4,259,705 | ) | | | (6,453,710 | ) | | | (161,911,721 | ) | | | (195,970,378 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | 290,263,409 | | | 1,032,515,319 | | | | 9,329,452 | | | | 3,478,316 | | | | 993,184,219 | | | | 2,825,655,165 | |
| | 36,561,678 | | | 62,713,569 | | | | 456,706 | | | | 676,439 | | | | 85,745,263 | | | | 90,804,858 | |
| | (446,463,667) | | | (631,930,289 | ) | | | (1,482,992 | ) | | | (1,477,532 | ) | | | (745,211,205 | ) | | | (601,511,509 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (119,638,580) | | | 463,298,599 | | | | 8,303,166 | | | | 2,677,223 | | | | 333,718,277 | | | | 2,314,948,514 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | 34,560,806 | | | 290,410,058 | | | | 9,685,892 | | | | 57,195,447 | | | | 302,675,902 | | | | 1,135,607,294 | |
| | 15,186,646 | | | 32,670,111 | | | | 3,210,658 | | | | 4,617,661 | | | | 55,269,641 | | | | 81,458,888 | |
| | (181,685,040) | | | (392,389,475 | ) | | | (3,938,370 | ) | | | (18,521,649 | ) | | | (356,061,429 | ) | | | (294,396,413 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | (131,937,588) | | | (69,309,306 | ) | | | 8,958,180 | | | | 43,291,459 | | | | 1,884,114 | | | | 922,669,769 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (251,576,168) | | | 393,989,293 | | | | 17,261,346 | | | | 45,968,682 | | | | 335,602,391 | | | | 3,237,618,283 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | (383,779,941) | | | 252,391,126 | | | | 6,417,849 | | | | 46,606,329 | | | | (37,239,792 | ) | | | 3,259,617,777 | |
| | 98 | | | 98 | | | | (287 | ) | | | (287 | ) | | | — | | | | 303 | |
| | 1,908,855,609 | | | 1,656,464,385 | | | | 153,899,656 | | | | 107,293,614 | | | | 5,760,368,993 | | | | 2,500,750,913 | |
| | | | | | | | | | | | | | | | | | | | | | |
| $ | 1,525,075,766 | | $ | 1,908,855,609 | | | $ | 160,317,218 | | | $ | 153,899,656 | | | $ | 5,723,129,201 | | | $ | 5,760,368,993 | |
| | | | | | | | | | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 96
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | |
| | | HIGH YIELD
BOND FUND | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | |
Operations: | | | | | | | | |
Net investment income | | $ | 4,496,489 | | | $ | 8,398,587 | |
Net realized gain/(loss) on investments | | | (2,746,967 | ) | | | (3,683,652 | ) |
Net realized gain/(loss) on futures contracts, securities sold short, swap contracts and written options | | | (324,152 | ) | | | 1,627,745 | |
Net change in unrealized depreciation on investments | | | (6,720,779 | ) | | | (8,850,671 | ) |
Net change in unrealized appreciation/depreciation on futures contracts, securities sold short, swap contracts and written options | | | 345,516 | | | | (1,161,823 | ) |
| | | | | | | | |
Net (decrease) in net assets resulting from operations | | | (4,949,893 | ) | | | (3,669,814 | ) |
| | | | | | | | |
Distributions to Shareholders from: | | | | | | | | |
Net investment income: | | | | | | | | |
Class M | | | (1,857,668 | ) | | | (3,256,924 | ) |
Class I | | | (2,640,580 | ) | | | (5,113,040 | ) |
Net realized gains: | | | | | | | | |
Class M | | | — | | | | — | |
Class I | | | — | | | | — | |
Return of capital: | | | | | | | | |
Class M | | | — | | | | (399,476 | ) |
Class I | | | — | | | | (627,139 | ) |
| | | | | | | | |
Net decrease in net assets resulting from distributions | | | (4,498,248 | ) | | | (9,396,579 | ) |
| | | | | | | | |
Capital Share Transactions: | | | | | | | | |
Class M: | | | | | | | | |
Proceeds from sale of shares | | | 17,160,253 | | | | 21,218,659 | |
Shares issued in reinvestment of distributions | | | 1,737,686 | | | | 3,426,678 | |
Cost of shares redeemed | | | (8,430,072 | ) | | | (16,374,281 | ) |
| | | | | | | | |
Total Class M capital share transactions | | | 10,467,867 | | | | 8,271,056 | |
| | | | | | | | |
Class I: | | | | | | | | |
Proceeds from sale of shares | | | 3,999,174 | | | | 37,358,010 | |
Shares issued in reinvestment of distributions | | | 2,637,803 | | | | 5,447,678 | |
Cost of shares redeemed | | | (1,506,699 | ) | | | (21,994,552 | ) |
| | | | | | | | |
Total Class I capital share transactions | | | 5,130,278 | | | | 20,811,136 | |
| | | | | | | | |
Net increase in net assets resulting from capital share transactions | | | 15,598,145 | | | | 29,082,192 | |
| | | | | | | | |
Net increase in net assets | | | 6,150,004 | | | | 16,015,799 | |
Redemption fees (Note 8) | | | 53,599 | | | | 40,370 | |
Net assets at beginning of period | | | 104,854,370 | | | | 88,798,201 | |
| | | | | | | | |
Net assets at end of period (including undistributed net investment income of $(25,637), $(23,878), $514,294, $2,738,619, $3,193,432 and $(1,836), respectively) | | $ | 111,057,973 | | | $ | 104,854,370 | |
| | | | | | | | |
See accompanying notes to financial statements.
97 / Semi-Annual Report September 2008
Metropolitan West Funds
Statements of Changes in Net Assets
| | | | | | | | | | | | | |
STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | YEAR
ENDED
MARCH 31,
2008 | | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | |
| $ | 14,846,256 | | $ | 36,620,510 | | | $ | 3,991,115 | | | $ | 10,902,313 | |
| | (24,133,212) | | | (12,329,646 | ) | | | (616,170 | ) | | | 347,264 | |
| | (17,000,858) | | | (1,163,680 | ) | | | (11,882,439 | ) | | | (18,235,165 | ) |
| | (4,526,974) | | | (62,280,904 | ) | | | (9,284,999 | ) | | | (14,181,076 | ) |
| | 15,861,443 | | | (16,180,918 | ) | | | (6,072,150 | ) | | | (5,594,630 | ) |
| | | | | | | | | | | | | | |
| | (14,953,345) | | | (55,334,638 | ) | | | (23,864,643 | ) | | | (26,761,294 | ) |
| | | | | | | | | | | | | | |
| | (2,396,199) | | | (6,007,595 | ) | | | (795,847 | ) | | | (10,314,613 | ) |
| | (14,674,382) | | | (29,937,163 | ) | | | — | | | | — | |
| | — | | | — | | | | — | | | | (5,349,411 | ) |
| | — | | | — | | | | — | | | | — | |
| | — | | | — | | | | — | | | | (2,180,831 | ) |
| | — | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | (17,070,581) | | | (35,944,758 | ) | | | (795,847 | ) | | | (17,844,855 | ) |
| | | | | | | | | | | | | | |
| | 4,351,746 | | | 26,935,440 | | | | 20,760,354 | | | | 43,103,283 | |
| | 2,362,164 | | | 5,872,231 | | | | 661,684 | | | | 16,366,233 | |
| | (6,386,082) | | | (73,246,028 | ) | | | (33,469,229 | ) | | | (40,915,845 | ) |
| | | | | | | | | | | | | | |
| | 327,828 | | | (40,438,357 | ) | | | (12,047,191 | ) | | | 18,553,671 | |
| | | | | | | | | | | | | | |
| | 7,686,963 | | | 112,271,449 | | | | — | | | | — | |
| | 14,604,297 | | | 29,886,741 | | | | — | | | | — | |
| | (37,961,523) | | | (163,502,971 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | (15,670,263) | | | (21,344,781 | ) | | | — | | | | — | |
| | | | | | | | | | | | | | |
| | (15,342,435) | | | (61,783,138 | ) | | | (12,047,191 | ) | | | 18,553,671 | |
| | | | | | | | | | | | | | |
| | (47,366,361) | | | (153,062,534 | ) | | | (36,707,681 | ) | | | (26,052,478 | ) |
| | 189 | | | 188 | | | | — | | | | — | |
| | 315,423,462 | | | 468,485,808 | | | | 157,643,511 | | | | 183,695,989 | |
| | | | | | | | | | | | | | |
| $ | 268,057,290 | | $ | 315,423,462 | | | $ | 120,935,830 | | | $ | 157,643,511 | |
| | | | | | | | | | | | | | |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 98
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS M* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | PERIOD
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | | | $ | 5.16 | | | $ | 5.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.12 | # | | | 0.26 | # | | | 0.24 | # | | | 0.20 | # | | | 0.17 | # | | | 0.16 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.35 | ) | | | (0.48 | ) | | | 0.03 | | | | (0.02 | ) | | | (0.05 | ) | | | 0.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.23 | ) | | | (0.22 | ) | | | 0.27 | | | | 0.18 | | | | 0.12 | | | | 0.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.26 | ) | | | (0.24 | ) | | | (0.20 | ) | | | (0.17 | ) | | | (0.16 | ) |
From net capital gains | | | — | | | | — | | | | (0.00 | )1 | | | (0.00 | )1 | | | (0.00 | )1 | | | (0.00 | )1 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.13 | ) | | | (0.26 | ) | | | (0.24 | ) | | | (0.20 | ) | | | (0.17 | ) | | | (0.16 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 4.28 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | | | $ | 5.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (5.05 | )%2 | | | (4.48 | )% | | | 5.52 | % | | | 3.62 | % | | | 2.31 | % | | | 6.48 | %2 |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 55,733 | | | $ | 133,051 | | | $ | 119,957 | | | $ | 200,563 | | | $ | 175,983 | | | $ | 145,581 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.62 | %3 | | | 0.54 | % | | | 0.57 | % | | | 0.57 | % | | | 0.62 | % | | | 0.76 | %3 |
After expense waivers and reimbursements | | | 0.50 | %3 | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | % | | | 0.50 | %3 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.37 | %3 | | | 5.23 | % | | | 4.74 | % | | | 3.93 | % | | | 3.25 | %4 | | | 3.62 | %3 |
Portfolio Turnover Rate | | | 8 | %2 | | | 30 | % | | | 81 | % | | | 20 | % | | | 25 | % | | | 6 | %2 |
* | The Ultra Short Bond Fund Class M Shares commenced operations on June 30, 2003. |
1 | Distributions were less than $0.005. |
4 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.14%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.26%. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
99 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND CLASS I* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | PERIOD
ENDED
MARCH 31,
2005 | |
Net Asset Value, Beginning of Period | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | | | $ | 5.15 | |
| | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.13 | # | | | 0.27 | # | | | 0.25 | # | | | 0.21 | # | | | 0.12 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.36 | ) | | | (0.48 | ) | | | 0.03 | | | | (0.02 | ) | | | (0.04 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.23 | ) | | | (0.21 | ) | | | 0.28 | | | | 0.19 | | | | 0.08 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.13 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.21 | ) | | | (0.12 | ) |
From net capital gains | | | — | | | | — | | | | (0.00 | )1 | | | (0.00 | )1 | | | (0.00 | )1 |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.13 | ) | | | (0.27 | ) | | | (0.25 | ) | | | (0.21 | ) | | | (0.12 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 4.28 | | | $ | 4.64 | | | $ | 5.12 | | | $ | 5.09 | | | $ | 5.11 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.97 | )%2 | | | (4.32 | )% | | | 5.69 | % | | | 3.79 | % | | | 1.52 | %2 |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 82,423 | | | $ | 120,380 | | | $ | 125,128 | | | $ | 66,493 | | | $ | 49,851 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.46 | %3 | | | 0.38 | % | | | 0.40 | % | | | 0.41 | % | | | 0.49 | %3 |
After expense waivers and reimbursements | | | 0.34 | %3 | | | 0.34 | % | | | 0.34 | % | | | 0.34 | % | | | 0.34 | %3 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.53 | %3 | | | 5.40 | % | | | 4.94 | % | | | 4.10 | % | | | 3.43 | %3,4 |
Portfolio Turnover Rate | | | 8 | %2 | | | 30 | % | | | 81 | % | | | 20 | % | | | 25 | %2 |
| * | The Ultra Short Bond Fund Class I Shares commenced operations on July 31, 2004. |
1 | Distributions were less than $0.005. |
4 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.29%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.44%. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 100
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 8.81 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | | | $ | 9.55 | | | $ | 9.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.24 | # | | | 0.48 | # | | | 0.45 | # | | | 0.38 | # | | | 0.35 | # | | | 0.42 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.62 | ) | | | (0.67 | ) | | | 0.16 | | | | (0.07 | ) | | | (0.16 | ) | | | 0.20 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.38 | ) | | | (0.19 | ) | | | 0.61 | | | | 0.31 | | | | 0.19 | | | | 0.62 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.49 | ) | | | (0.44 | ) | | | (0.38 | ) | | | (0.35 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26 | ) | | | (0.49 | ) | | | (0.44 | ) | | | (0.38 | ) | | | (0.35 | ) | | | (0.43 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.17 | | | $ | 8.81 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | | | $ | 9.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.40 | )%1 | | | (2.11 | )% | | | 6.74 | % | | | 3.38 | % | | | 2.02 | % | | | 6.81 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 1,099,785 | | | $ | 1,313,261 | | | $ | 944,867 | | | $ | 334,038 | | | $ | 325,137 | | | $ | 335,686 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.60 | %2 | | | 0.59 | % | | | 0.60 | % | | | 0.60 | % | | | 0.62 | % | | | 0.64 | % |
After expense waivers and reimbursements | | | 0.58 | %2 | | | 0.58 | % | | | 0.58 | % | | | 0.58 | % | | | 0.58 | % | | | 0.58 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.64 | %2 | | | 5.21 | % | | | 4.78 | % | | | 4.01 | % | | | 3.75 | % | | | 4.47 | % |
Portfolio Turnover Rate | | | 21 | %1 | | | 95 | % | | | 80 | % | | | 96 | % | | | 108 | % | | | 94 | % |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
101 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | LOW DURATION
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 8.82 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | | | $ | 9.55 | | | $ | 9.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.25 | # | | | 0.50 | # | | | 0.47 | # | | | 0.40 | # | | | 0.37 | # | | | 0.43 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.63 | ) | | | (0.66 | ) | | | 0.16 | | | | (0.07 | ) | | | (0.17 | ) | | | 0.21 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.38 | ) | | | (0.16 | ) | | | 0.63 | | | | 0.33 | | | | 0.20 | | | | 0.64 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.40 | ) | | | (0.36 | ) | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.27 | ) | | | (0.51 | ) | | | (0.46 | ) | | | (0.40 | ) | | | (0.36 | ) | | | (0.45 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.17 | | | $ | 8.82 | | | $ | 9.49 | | | $ | 9.32 | | | $ | 9.39 | | | $ | 9.55 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.42 | )%1 | | | (1.82 | )% | | | 6.94 | % | | | 3.57 | % | | | 2.22 | % | | | 7.01 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 425,290 | | | $ | 595,595 | | | $ | 711,598 | | | $ | 485,442 | | | $ | 320,192 | | | $ | 222,808 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.41 | %2 | | | 0.40 | % | | | 0.41 | % | | | 0.41 | % | | | 0.43 | % | | | 0.45 | % |
After expense waivers and reimbursements | | | 0.39 | %2 | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % | | | 0.39 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.83 | %2 | | | 5.39 | % | | | 4.96 | % | | | 4.23 | % | | | 3.93 | % | | | 4.58 | % |
Portfolio Turnover Rate | | | 21 | %1 | | | 95 | % | | | 80 | % | | | 96 | % | | | 108 | % | | | 94 | % |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 102
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS M* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | PERIOD
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.28 | | | $ | 10.72 | | | $ | 10.88 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.25 | # | | | 0.48 | # | | | 0.48 | # | | | 0.45 | # | | | 0.49 | # | | | 0.32 | # |
Net realized and unrealized gain/(loss) on investments, swap contracts and written options | | | (0.66 | ) | | | 0.06 | | | | 0.15 | | | | (0.24 | ) | | | (0.31 | ) | | | 0.22 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.41 | ) | | | 0.54 | | | | 0.63 | | | | 0.21 | | | | 0.18 | | | | 0.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.51 | ) | | | (0.48 | ) | | | (0.47 | ) | | | (0.49 | ) | | | (0.40 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | (0.13 | ) | | | (0.30 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26 | ) | | | (0.51 | ) | | | (0.48 | ) | | | (0.50 | ) | | | (0.62 | ) | | | (0.70 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.50 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.28 | | | $ | 10.72 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.12 | )%1 | | | 5.48 | % | | | 6.47 | % | | | 2.08 | % | | | 1.74 | % | | | 5.12 | %1 |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 22,291 | | | $ | 15,231 | | | $ | 12,503 | | | $ | 9,147 | | | $ | 154 | | | $ | 75 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.76 | %2 | | | 0.76 | % | | | 0.82 | % | | | 0.89 | % | | | 0.98 | % | | | 1.05 | %2 |
After expense waivers and reimbursements | | | 0.65 | %2 | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | %2 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursement | | | 5.08 | %2 | | | 4.79 | % | | | 4.82 | % | | | 4.46 | % | | | 4.65 | % | | | 3.93 | %2 |
Portfolio Turnover Rate | | | 63 | %1 | | | 94 | % | | | 76 | % | | | 113 | % | | | 183 | % | | | 165 | %1 |
| * | The Intermediate Bond Fund Class M Shares commenced operations on June 30, 2003. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
103 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | INTERMEDIATE
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.27 | | | $ | 10.71 | | | $ | 10.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.26 | # | | | 0.50 | # | | | 0.51 | # | | | 0.49 | # | | | 0.51 | # | | | 0.56 | # |
Net realized and unrealized gain/(loss) on investments, swap contracts and written options | | | (0.67 | ) | | | 0.06 | | | | 0.14 | | | | (0.25 | ) | | | (0.31 | ) | | | 0.54 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.41 | ) | | | 0.56 | | | | 0.65 | | | | 0.24 | | | | 0.20 | | | | 1.10 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.53 | ) | | | (0.50 | ) | | | (0.49 | ) | | | (0.51 | ) | | | (0.59 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.03 | ) | | | (0.13 | ) | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.27 | ) | | | (0.53 | ) | | | (0.50 | ) | | | (0.52 | ) | | | (0.64 | ) | | | (0.88 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.49 | | | $ | 10.17 | | | $ | 10.14 | | | $ | 9.99 | | | $ | 10.27 | | | $ | 10.71 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.12 | )%1 | | | 5.70 | % | | | 6.70 | % | | | 2.39 | % | | | 1.95 | % | | | 10.86 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 138,026 | | | $ | 138,668 | | | $ | 94,791 | | | $ | 56,353 | | | $ | 45,821 | | | $ | 39,727 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.55 | %2 | | | 0.55 | % | | | 0.61 | % | | | 0.70 | % | | | 0.77 | % | | | 0.79 | % |
After expense waivers and reimbursements | | | 0.44 | %2 | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.27 | %2 | | | 4.97 | % | | | 5.03 | % | | | 4.77 | % | | | 4.86 | % | | | 5.23 | % |
Portfolio Turnover Rate | | | 63 | %1 | | | 94 | % | | | 76 | % | | | 113 | % | | | 183 | % | | | 165 | % |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 104
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | | | $ | 10.06 | | | $ | 9.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.25 | # | | | 0.48 | # | | | 0.48 | # | | | 0.53 | # | | | 0.59 | # | | | 0.55 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.60 | ) | | | 0.04 | | | | 0.33 | | | | (0.24 | ) | | | (0.36 | ) | | | 0.82 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.35 | ) | | | 0.52 | | | | 0.81 | | | | 0.29 | | | | 0.23 | | | | 1.37 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.26 | ) | | | (0.49 | ) | | | (0.48 | ) | | | (0.54 | ) | | | (0.58 | ) | | | (0.59 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.26 | ) | | | (0.49 | ) | | | (0.48 | ) | | | (0.54 | ) | | | (0.58 | ) | | | (0.59 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.21 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | | | $ | 10.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (3.60 | )%1 | | | 5.44 | % | | | 8.80 | % | | | 3.04 | % | | | 2.42 | % | | | 15.15 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 3,634,493 | | | $ | 3,533,010 | | | $ | 1,206,825 | | | $ | 555,873 | | | $ | 463,895 | | | $ | 498,299 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers, reimbursements and recoupment of prior waived fees | | | 0.64 | %2 | | | 0.66 | % | | | 0.66 | % | | | 0.67 | % | | | 0.67 | % | | | 0.67 | % |
After expense waivers, reimbursements and recoupment of prior waived fees | | | 0.65 | %2 | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % | | | 0.65 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.32 | %2 | | | 4.89 | % | | | 5.01 | % | | | 5.49 | % | | | 6.02 | % | | | 5.62 | % |
Portfolio Turnover Rate | | | 107 | %1 | | | 124 | % | | | 101 | % | | | 174 | % | | | 180 | % | | | 165 | % |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
105 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | TOTAL RETURN
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | | | $ | 10.06 | | | $ | 9.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.26 | # | | | 0.50 | # | | | 0.50 | # | | | 0.55 | # | | | 0.61 | # | | | 0.57 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (0.60 | ) | | | 0.04 | | | | 0.33 | | | | (0.24 | ) | | | (0.36 | ) | | | 0.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.34 | ) | | | 0.54 | | | | 0.83 | | | | 0.31 | | | | 0.25 | | | | 1.40 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.27 | ) | | | (0.51 | ) | | | (0.50 | ) | | | (0.56 | ) | | | (0.60 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.27 | ) | | | (0.51 | ) | | | (0.50 | ) | | | (0.56 | ) | | | (0.60 | ) | | | (0.61 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 9.21 | | | $ | 9.82 | | | $ | 9.79 | | | $ | 9.46 | | | $ | 9.71 | | | $ | 10.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (3.50 | )%1 | | | 5.65 | % | | | 9.03 | % | | | 3.25 | % | | | 2.64 | % | | | 15.51 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 2,088,636 | | | $ | 2,227,359 | | | $ | 1,293,926 | | | $ | 965,577 | | | $ | 839,828 | | | $ | 899,263 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers, reimbursements and recoupment of past waived fees | | | 0.43 | %2 | | | 0.44 | % | | | 0.45 | % | | | 0.46 | % | | | 0.46 | % | | | 0.46 | % |
After expense waivers, reimbursements and recoupment of prior waived fees | | | 0.44 | %2 | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % | | | 0.44 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.51 | %2 | | | 5.11 | % | | | 5.25 | % | | | 5.71 | % | | | 6.24 | % | | | 5.83 | % |
Portfolio Turnover Rate | | | 107 | %1 | | | 124 | % | | | 101 | % | | | 174 | % | | | 180 | % | | | 165 | % |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 106
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.89 | | | $ | 11.42 | | | $ | 12.50 | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.38 | # | | | 0.86 | # | | | 0.87 | # | | | 0.81 | # | | | 0.99 | # | | | 0.93 | # |
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.76 | ) | | | (1.16 | ) | | | 0.07 | | | | (0.20 | ) | | | (0.06 | ) | | | 1.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.38 | ) | | | (0.30 | ) | | | 0.94 | | | | 0.61 | | | | 0.93 | | | | 2.43 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.38 | ) | | | (0.92 | ) | | | (0.86 | ) | | | (0.82 | ) | | | (0.98 | ) | | | (0.92 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.32 | ) | | | (1.04 | ) | | | (0.39 | ) |
From return of capital | | | — | | | | (0.04 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.38 | ) | | | (0.96 | ) | | | (0.86 | ) | | | (1.14 | ) | | | (2.02 | ) | | | (1.31 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid in capital (Note 7) | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.01 | | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.95 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.89 | | | $ | 11.42 | | | $ | 12.50 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.03 | )%2 | | | (3.13 | )% | | | 9.00 | % | | | 5.59 | % | | | 7.84 | % | | | 21.99 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 47,624 | | | $ | 41,266 | | | $ | 38,022 | | | $ | 41,037 | | | $ | 25,094 | | | $ | 49,917 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.99 | %3 | | | 0.98 | % | | | 1.05 | % | | | 1.10 | % | | | 1.15 | % | | | 1.09 | % |
After expense waivers and reimbursements | | | 0.80 | %3 | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % | | | 0.80 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 7.80 | %3 | | | 8.15 | % | | | 8.01 | % | | | 7.25 | % | | | 8.14 | %4 | | | 7.51 | %4 |
Portfolio Turnover Rate | | | 48 | %2 | | | 120 | % | | | 97 | % | | | 111 | % | | | 167 | % | | | 268 | % |
1 | Amount is less than $0.01. |
4 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.19% and 7.78%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.48% and 8.13%, respectively. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
107 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | HIGH YIELD
BOND FUND CLASS I | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.90 | | | $ | 11.43 | | | $ | 12.51 | | | $ | 11.38 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.39 | # | | | 0.88 | # | | | 0.90 | # | | | 0.84 | # | | | 1.02 | # | | | 0.98 | # |
Net realized and unrealized (loss)/gain on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.75 | ) | | | (1.16 | ) | | | 0.06 | | | | (0.21 | ) | | | (0.06 | ) | | | 1.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.36 | ) | | | (0.28 | ) | | | 0.96 | | | | 0.63 | | | | 0.96 | | | | 2.47 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.39 | ) | | | (0.91 | ) | | | (0.89 | ) | | | (0.84 | ) | | | (1.01 | ) | | | (0.95 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.32 | ) | | | (1.04 | ) | | | (0.39 | ) |
From return of capital | | | — | | | | (0.07 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.39 | ) | | | (0.98 | ) | | | (0.89 | ) | | | (1.16 | ) | | | (2.05 | ) | | | (1.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Redemption fees added to paid in capital (Note 7) | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.00 | 1 | | | 0.01 | | | | 0.00 | 1 |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 8.96 | | | $ | 9.71 | | | $ | 10.97 | | | $ | 10.90 | | | $ | 11.43 | | | $ | 12.51 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (3.91 | )%2 | | | (2.88 | )% | | | 9.18 | % | | | 5.86 | % | | | 8.12 | % | | | 22.35 | % |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 63,434 | | | $ | 63,589 | | | $ | 50,776 | | | $ | 32,058 | | | $ | 29,735 | | | $ | 19,129 | |
Ratio of Expenses to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.74 | %3 | | | 0.73 | % | | | 0.81 | % | | | 0.85 | % | | | 0.90 | % | | | 0.84 | % |
After expense waivers and reimbursements | | | 0.55 | %3 | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % | | | 0.55 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 8.01 | %3 | | | 8.40 | % | | | 8.31 | % | | | 7.49 | % | | | 8.44 | %4 | | | 7.87 | %4 |
Portfolio Turnover Rate | | | 48 | %2 | | | 120 | % | | | 97 | % | | | 111 | % | | | 167 | % | | | 268 | % |
1 | Amount is less than $0.01. |
4 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.57% and 8.08%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 7.86% and 8.43%, respectively. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 108
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS M* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | PERIOD
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 8.85 | | | $ | 11.09 | | | $ | 11.07 | | | $ | 11.22 | | | $ | 11.27 | | | $ | 10.00 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.41 | # | | | 0.79 | # | | | 0.59 | # | | | 0.55 | # | | | 0.38 | #1 | | | 0.29 | #1 |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.85 | ) | | | (2.21 | ) | | | 0.01 | | | | (0.11 | ) | | | 0.07 | | | | 1.32 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.44 | ) | | | (1.42 | ) | | | 0.60 | | | | 0.44 | | | | 0.45 | | | | 1.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.48 | ) | | | (0.82 | ) | | | (0.58 | ) | | | (0.57 | ) | | | (0.39 | ) | | | (0.33 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.11 | ) | | | (0.01 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.48 | ) | | | (0.82 | ) | | | (0.58 | ) | | | (0.59 | ) | | | (0.50 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.93 | | | $ | 8.85 | | | $ | 11.09 | | | $ | 11.07 | | | $ | 11.22 | | | $ | 11.27 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (5.09 | )%2 | | | (13.44 | )% | | | 5.57 | % | | | 4.04 | % | | | 3.81 | % | | | 16.27 | %2 |
| | | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 39,484 | | | $ | 43,785 | | | $ | 99,001 | | | $ | 86,288 | | | $ | 102,232 | | | $ | 96,802 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.85 | %4 | | | 1.61 | % | | | 1.70 | % | | | 1.91 | % | | | 2.22 | % | | | 2.62 | %4 |
After expense waivers and reimbursements | | | 0.85 | %4 | | | 1.61 | % | | | 1.70 | % | | | 1.91 | % | | | 2.22 | % | | | 2.35 | %4 |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 9.67 | %4 | | | 7.49 | % | | | 5.35 | % | | | 4.94 | % | | | 3.40 | %1 | | | 3.45 | %1,4 |
Portfolio Turnover Rate | | | 100 | %2 | | | 74 | % | | | 27 | % | | | 44 | % | | | 114 | % | | | 96 | %2 |
| * | The Strategic Income Fund Class M Shares commenced operations on June 30, 2003. |
1 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amounts prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were $0.28 and $0.37, respectively. The ratios of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.10% and 3.27%, respectively. The ratios of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2004 and the fiscal year ended March 31, 2005 were 3.37% and 3.27%, respectively. |
3 | The Fund incurred interest expense for the period ended September 30, 2008 and the fiscal years ended March 31, 2008 and March 31, 2007. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the period ended September 30, 2008 and the fiscal years ended March 31, 2008 and March 31, 2007 would have been 0.65%, 1.06% and 1.54%, respectively. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
109 / Semi-Annual Report September 2008
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | |
| | | STRATEGIC
INCOME FUND CLASS I* | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | |
Net Asset Value, Beginning of Period | | $ | 8.85 | | | $ | 11.08 | | | $ | 11.07 | | | $ | 11.22 | | | $ | 11.27 | |
| | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.42 | # | | | 0.85 | # | | | 0.60 | # | | | 0.59 | # | | | 0.45 | #1 |
Net realized and unrealized (loss) on investments, futures contracts, swap contracts, written options and securities sold short | | | (0.84 | ) | | | (2.23 | ) | | | 0.02 | | | | (0.12 | ) | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (0.42 | ) | | | (1.38 | ) | | | 0.62 | | | | 0.47 | | | | 0.43 | |
| | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.49 | ) | | | (0.85 | ) | | | (0.61 | ) | | | (0.60 | ) | | | (0.37 | ) |
From net capital gains | | | — | | | | — | | | | — | | | | (0.02 | ) | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.49 | ) | | | (0.85 | ) | | | (0.61 | ) | | | (0.62 | ) | | | (0.48 | ) |
| | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 7.94 | | | $ | 8.85 | | | $ | 11.08 | | | $ | 11.07 | | | $ | 11.22 | |
| | | | | | | | | | | | | | | | | | | | |
Total Return | | | (4.97 | )%2 | | | (13.22 | )% | | | 5.73 | % | | | 4.30 | % | | | 4.07 | % |
| | | | | |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 228,573 | | | $ | 271,639 | | | $ | 369,484 | | | $ | 121,108 | | | $ | 92,667 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.60 | %4 | | | 1.34 | % | | | 1.63 | % | | | 1.62 | % | | | 1.98 | % |
After expense waivers and reimbursements | | | 0.60 | %4 | | | 1.34 | % | | | 1.63 | % | | | 1.62 | % | | | 1.96 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 9.92 | %4 | | | 8.13 | % | | | 5.44 | % | | | 5.27 | % | | | 3.88 | %1 |
Portfolio Turnover Rate | | | 100 | %2 | | | 74 | % | | | 27 | % | | | 44 | % | | | 114 | % |
| * | The Strategic Income Fund Class I Shares commenced operations on March 31, 2004. |
1 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amounts prior to this reclassification for the fiscal year ended March 31, 2005 was $0.42. The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.71%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.73%. |
3 | The Fund incurred interest expense for the period ended September 30, 2008 and the fiscal years ended March 31, 2008 and March 31, 2007. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the period ended September 30, 2008 and the fiscal years ended March 31, 2008 and March 31, 2007 would have been 0.40%, 0.78% and 1.47%, respectively. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
Semi-Annual Report September 2008 / 110
Metropolitan West Funds
Financial Highlights
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ALPHATRAK
500 FUND CLASS M | |
| | | SIX MONTHS
ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR
ENDED
MARCH 31,
2008 | | | YEAR
ENDED
MARCH 31,
2007 | | | YEAR
ENDED
MARCH 31,
2006 | | | YEAR
ENDED
MARCH 31,
2005 | | | YEAR
ENDED
MARCH 31,
2004 | |
Net Asset Value, Beginning of Period | | $ | 6.71 | | | $ | 8.56 | | | $ | 8.14 | | | $ | 7.61 | | | $ | 7.33 | | | $ | 5.49 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Income from Investment Operations: | | | | | | | | | | | | | | | | | | | | | | | | |
Net investment income | | | 0.18 | # | | | 0.48 | # | | | 0.42 | # | | | 0.36 | # | | | 0.25 | #1 | | | 0.22 | # |
Net realized and unrealized gain/(loss) on investments, futures contracts, swap contracts and written options | | | (1.25 | ) | | | (1.56 | ) | | | 0.61 | | | | 0.56 | | | | 0.27 | | | | 1.85 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total from Investment Operations | | | (1.07 | ) | | | (1.08 | ) | | | 1.03 | | | | 0.92 | | | | 0.52 | | | | 2.07 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Less Distributions: | | | | | | | | | | | | | | | | | | | | | | | | |
From net investment income | | | (0.03 | ) | | | (0.45 | ) | | | (0.61 | ) | | | (0.39 | ) | | | (0.24 | ) | | | (0.23 | ) |
From net capital gains | | | — | | | | (0.23 | ) | | | — | | | | — | | | | — | | | | — | |
From return of capital | | | — | | | | (0.09 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Distributions | | | (0.03 | ) | | | (0.77 | ) | | | (0.61 | ) | | | (0.39 | ) | | | (0.24 | ) | | | (0.23 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Net Asset Value, End of Period | | $ | 5.61 | | | $ | 6.71 | | | $ | 8.56 | | | $ | 8.14 | | | $ | 7.61 | | | $ | 7.33 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total Return | | | (15.94 | )%2 | | | (14.03 | )% | | | 12.85 | % | | | 12.33 | % | | | 7.15 | % | | | 38.16 | % |
Ratios/Supplemental Data: | | | | | | | | | | | | | | | | | | | | | | | | |
Net Assets, end of period (in thousands) | | $ | 120,936 | | | $ | 157,644 | | | $ | 183,696 | | | $ | 156,418 | | | $ | 133,325 | | | $ | 107,551 | |
Ratio of Expenses to Average Net Assets3 | | | | | | | | | | | | | | | | | | | | | | | | |
Before expense waivers and reimbursements | | | 0.18 | %4 | | | 0.13 | % | | | 0.73 | % | | | 0.36 | % | | | 0.52 | % | | | 0.88 | % |
After expense waivers and reimbursements | | | 0.16 | %4 | | | 0.13 | % | | | 0.73 | % | | | 0.36 | % | | | 0.52 | % | | | 0.88 | % |
Ratio of Net Investment Income to Average Net Assets | | | | | | | | | | | | | | | | | | | | | | | | |
After expense waivers and reimbursements | | | 5.27 | %4 | | | 5.74 | % | | | 5.01 | % | | | 4.54 | % | | | 3.41 | %1 | | | 3.25 | % |
Portfolio Turnover Rate | | | 107 | %2 | | | 89 | % | | | 106 | % | | | 64 | % | | | 72 | % | | | 67 | % |
1 | Prior year’s data updated due to reclassification of swap income/(expense) from net investment income to realized and unrealized gain/(loss). The net investment income per share amounts prior to this reclassification for the fiscal year ended March 31, 2005 was $0.24. The ratio of net investment income to average net assets before expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.23%. The ratio of net investment income to average net assets after expense waivers and reimbursements prior to this reclassification for the fiscal year ended March 31, 2005 was 3.23%. |
3 | The Fund incurred interest expense for the period ended September 30, 2008. If interest expense had not been incurred, the ratio of annualized operating expenses to average net assets for the period ended September 30, 2008 would have been 0.15%. |
| # | Per share numbers have been calculated using the average share method, which more appropriately represents the per share data for the period. |
See accompanying notes to financial statements.
111 / Semi-Annual Report September 2008
Notes to Financial Statements
September 30, 2008
| 1. | SUMMARY OF ORGANIZATION |
The Metropolitan West Funds (the “Trust”) is an open-end management investment company organized as a Delaware statutory trust on December 9, 1996 and registered under the Investment Company Act of 1940 (the “1940 Act” as amended. Metropolitan West Asset Management, LLC (the “Adviser”), a federally registered investment adviser, provides the Funds (as defined below) with investment management services. The Trust currently consists of seven separate portfolios (each a “Fund” and collectively, the “Funds”): Metropolitan West Ultra Short Bond Fund (the “Ultra Short Bond Fund”), Metropolitan West Low Duration Bond Fund (the “Low Duration Bond Fund”), Metropolitan West Intermediate Bond Fund (the “Intermediate Bond Fund”), Metropolitan West Total Return Bond Fund (the “Total Return Bond Fund”), Metropolitan West High Yield Bond Fund (the “High Yield Bond Fund”), Metropolitan West Strategic Income Fund (the “Strategic Income Fund”), and Metropolitan West AlphaTrak 500 Fund (the “AlphaTrak 500 Fund”). The Total Return Bond Fund and Low Duration Bond Fund commenced investment operations on March 31, 1997. Effective March 31, 2000, the Low Duration Bond Fund and the Total Return Bond Fund offered two classes of shares: Class M and Class I shares. The AlphaTrak 500 Fund commenced investment operations on June 29, 1998. The Intermediate Bond Fund – Class I commenced operations on June 28, 2002. The High Yield Bond Fund – Class M commenced operations on September 30, 2002. The High Yield Bond Fund – Class I commenced operations on March 31, 2003. Class M shares of the Intermediate Bond Fund, the Ultra Short Bond Fund, and the Strategic Income Fund commenced operations on June 30, 2003. The Strategic Income Fund – Class I commenced operations on March 31, 2004 and the Ultra Short Bond Fund – Class I commenced operations on July 30, 2004.
The Ultra Short Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a portfolio of fixed-income securities of varying maturities with a portfolio duration of up to one year. The Fund’s dollar-weighted average portfolio maturity will normally exceed one year.
The Low Duration Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
The Intermediate Bond Fund seeks to maximize current income, consistent with preservation of capital. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of one to six years. The Fund’s dollar-weighted average maturity is expected to range from three to seven years.
The Total Return Bond Fund seeks to maximize long-term total return. This Fund invests in a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The High Yield Bond Fund seeks to maximize long-term total return consistent with preservation of capital. This Fund invests in a portfolio of high yield fixed-income securities of varying maturities with a portfolio duration of two to eight years. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund. The Fund’s dollar-weighted average maturity is expected to range from two to fifteen years.
The Strategic Income Fund seeks to maximize long-term total return without tracking any particular markets or indices. This Fund uses strategies intended to provide absolute (positive) returns in all markets by employing a strategy intended to produce high income while exploiting disparities or inefficiencies in markets. The Fund will focus on inefficiencies related to secured or asset-backed debt compared with unsecured and subordinated debt or equity of companies and issuers. Additionally, the Fund will focus on longer-term cyclical anomalies in the fixed income markets to both enhance yield and realize potential price appreciation. These anomalies include: shifts in the portfolio’s duration, yield curve anomalies, and sector and issue-specific dislocations. The Fund is non-diversified and may invest a greater percentage of its assets in one or more particular issuers than a diversified fund.
The AlphaTrak 500 Fund seeks to achieve a total return that exceeds the total return of the Standard & Poor’s 500 Index (“S&P 500 Index”). The Fund combines non-leveraged investments in S&P 500 Index futures contracts and swaps with a diversified portfolio of fixed-income securities of varying maturities with a portfolio duration of up to three years. The Fund’s dollar-weighted average maturity is expected to range from one to five years.
A more complete description of the objectives and strategies of each of the Funds can be found in the Prospectus and the Statement of Additional Information, which can be obtained at www.mwamllc.com or by calling (800) 241-4671.
Semi-Annual Report September 2008 / 112
Notes to Financial Statements (continued)
| 2. | SIGNIFICANT ACCOUNTING POLICIES |
The following is a summary of significant accounting policies consistently followed by the Funds:
Security Valuation:
The Funds value securities pursuant to policies and procedures approved by the Board of Trustees (the “Board’). Fixed-income securities for which market quotations are readily available are valued at prices as provided by independent pricing vendors. The Funds receive pricing information from independent pricing vendors (approved by the Board) which also use information provided by market makers or estimates of values obtained from yield data relating to investments of securities with similar characteristics. As appropriate, quotations for high yield bonds may also take additional factors into consideration such as the activity of the underlying equity or sector movements. However, securities with a demand feature exercisable within one to seven days are valued at par. The Funds also use a benchmark pricing system to the extent vendor’s prices for their securities are either inaccurate (such as when the reported prices are different from recent known market transactions) or are not available from another pricing source. For a security priced using this system, the Adviser initially selects a proxy comprised of a relevant security (i.e. U.S. Treasury Note) or benchmark (i.e. LIBOR) and a multiplier, divisor or margin that the Adviser believes would together best reflect changes in the market value of the security. The value of the security changes daily based on changes to the market price of the assigned benchmark. Once each month the Adviser obtains from one or more dealers an independent review of prices produced by the benchmark system as well as a review of the benchmark selected to adjust the price. The benchmark pricing system is continuously reviewed by the Adviser and implemented according to the pricing policy reviewed by the Board. Debt securities, which mature in less than 60 days, are valued at amortized cost if their original maturity was 60 days or less. If their original term to maturity exceeded 60 days, they are valued by amortizing the value as of the 61st day prior to maturity (unless the Board determines that this method does not represent fair value). S&P 500 futures contracts are valued at the first sale price after 4 p.m. ET on the Chicago Mercantile Exchange. All other futures contracts are valued at the official settlement price of the exchange where it is traded. Equity securities, including depository receipts, are valued at the last reported sale price or the market’s closing price on the exchange or market on which such securities are traded, as of the close of business on the day the securities are being valued or, lacking any sales, at the average of the bid and asked prices. In cases where equity securities are traded on more than one exchange, the securities are valued on the exchange or market determined by the Adviser to be the broadest and most representative market, which may be either a securities exchange or the over-the-counter market. Securities and other assets that cannot be valued as described above will be valued at their fair value as determined by the Adviser under guidelines established by and under the general supervision and responsibility of the Board. The fair valued securities at September 30, 2008 are referenced on each Fund’s schedule of portfolio investments by a footnote.
Securities Transactions and Investment Income:
Security transactions are accounted for no later than the first net asset value calculation on the first business day following the trade date. However, for financial reporting purposes, portfolio securities transactions are reported on trade date. Cost is determined and gains and losses are based on the first-in first-out method for both financial statement and federal income tax purposes. Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Discounts and premiums on securities are amortized using the interest method.
Distributions to Shareholders:
The Funds (except the AlphaTrak 500 Fund) expect to declare distributions daily and pay them monthly to shareholders. The AlphaTrak 500 Fund expects to declare and pay distributions to shareholders quarterly. Distributions of net capital gains, if any, will be made at least annually. The Board may determine to declare and make distributions more or less frequently.
Federal Income Taxation:
It is each Fund’s policy to continue to comply with the requirements of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its net taxable income, including any net realized gain on investments, to its shareholders. Therefore, no federal income tax provision is required.
Distributions to shareholders are recorded on the ex-dividend date. Income and long-term capital gain distributions are determined in accordance with federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. Distributions determined in accordance with tax regulations may differ in amount or character from net investment income and realized gains for financial reporting purposes. Financial reporting records are adjusted for permanent book/tax differences to reflect tax character. Financial records are not adjusted for temporary differences.
The Funds adopted the provisions of Financial Accounting Standards Board (“FASB”) Interpretation No. 48 (“FIN48”), Accounting for Uncertainty in Income Taxes, on September 29, 2007. The implementation of FIN48 resulted in no material liability for unrecognized tax benefits and no material change to the beginning net asset value of the Funds.
113 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
As of and during the period ended September 30, 2008, the Funds did not have a liability for any unrecognized tax benefits. The Funds recognize interest and penalties, if any, related to unrecognized tax benefits as income tax expense in the statement of operations. During the period, the Funds did not incur any interest or penalties.
The Funds are not subject to examination by U.S. federal tax authorities for tax years before 2004, by state tax authorities for tax years before 2003 and by tax authorities outside the U.S. for tax years before 2000.
Cash and cash equivalents:
The Funds have defined cash and cash equivalents as cash in interest bearing and non-interest bearing accounts.
Use of estimates:
In preparing financial statements in conformity with accounting principles generally accepted in the United States of America, management makes estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements, as well as the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
Adoption of Statement of Financial Accounting Standards No. 157 “Fair Value Measurements” (“FAS 157”):
In September 2006, the Financial Accounting Standards Board issued FAS 157 effective for fiscal years beginning after November 15, 2007. This standard clarifies the definition of fair value for financial reporting, establishes a framework for measuring fair value and requires additional disclosures about the use of fair value measurements. The Funds have adopted FAS 157 as of April 1, 2008. The three levels of the fair value hierarchy under FAS 157 are described below:
* Level 1 - quoted prices in active markets for identical securities
* Level 2 - other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)
* Level 3 - significant unobservable inputs that are not corroborated by observable market data
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Semi-Annual Report September 2008 / 114
Notes to Financial Statements (continued)
The summary of inputs used to value the Fund’s net assets as of September 30, 2008 is as follows:
| | | | | | | | | | | | | | | |
| | | FAIR VALUE MEASUREMENTS |
| | | | | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 |
PORTFOLIO | | TOTAL
MARKET VALUE AT
SEPTEMBER 30, 2008 | | | QUOTED
PRICE | | | SIGNIFICANT
OBSERVABLE
INPUTS | | | SIGNIFICANT
UNOBSERVABLE
INPUTS |
Ultra Short Bond Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 154,779,111 | | | $ | — | | | $ | 152,775,753 | | | $ | 2,003,358 |
Other Financial Instruments* | | | (9,148,286 | ) | | | — | | | | (9,148,286 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 145,630,825 | | | $ | — | | | $ | 143,627,467 | | | $ | 2,003,358 |
| | | | | | | | | | | | | | | |
Low Duration Bond Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 1,606,101,373 | | | $ | — | | | $ | 1,600,933,570 | | | $ | 5,167,803 |
Other Financial Instruments* | | | (55,701,426 | ) | | | — | | | | (55,701,426 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 1,550,399,947 | | | $ | — | | | $ | 1,545,232,144 | | | $ | 5,167,803 |
| | | | | | | | | | | | | | | |
Intermediate Bond Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 186,303,898 | | | $ | 94,219 | | | $ | 186,106,110 | | | $ | 103,569 |
Other Financial Instruments* | | | (5,024,733 | ) | | | (102,187 | ) | | | (4,922,546 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 181,279,165 | | | $ | (7,968 | ) | | $ | 181,183,564 | | | $ | 103,569 |
| | | | | | | | | | | | | | | |
Total Return Bond Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 7,098,279,557 | | | $ | 2,732,344 | | | $ | 7,091,558,471 | | | $ | 3,988,742 |
Other Financial Instruments* | | | (185,197,344 | ) | | | (2,963,437 | ) | | | (182,233,907 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 6,913,082,213 | | | $ | (231,093 | ) | | $ | 6,909,324,564 | | | $ | 3,988,742 |
| | | | | | | | | | | | | | | |
High Yield Bond Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 113,468,842 | | | $ | 141,328 | | | $ | 113,262,032 | | | $ | 65,482 |
Other Financial Instruments* | | | (2,229,334 | ) | | | (153,281 | ) | | | (2,076,053 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 111,239,508 | | | $ | (11,953 | ) | | $ | 111,185,979 | | | $ | 65,482 |
| | | | | | | | | | | | | | | |
Strategic Income Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 395,523,620 | | | $ | 329,766 | | | $ | 379,528,197 | | | $ | 15,665,657 |
Other Financial Instruments* | | | (43,970,178 | ) | | | (357,656 | ) | | | (43,612,522 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | | 351,553,442 | | | $ | (27,890 | ) | | $ | 335,915,675 | | | $ | 15,665,657 |
| | | | | | | | | | | | | | | |
AlphaTrak 500 Fund | | | | | | | | | | | | | | | |
Investments in Securities | | $ | 136,454,280 | | | $ | — | | | $ | 135,174,135 | | | $ | 1,280,145 |
Other Financial Instruments* | | | (9,284,677 | ) | | | (3,605,502 | ) | | | (5,679,175 | ) | | | — |
| | | | | | | | | | | | | | | |
Total | | $ | 127,169,603 | | | $ | (3,605,502 | ) | | $ | 129,494,960 | | | $ | 1,280,145 |
| | | | | | | | | | | | | | | |
| * | Other financial instruments include (but may not be limited to) swap contracts, futures, written options and short sales. |
115 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
Following is a reconciliation of Level 3 investments for which significant unobservable inputs were used to determine fair value:
| | | | | | | | | | | | | | | | |
| | | ULTRA SHORT
BOND FUND | | | LOW DURATION
BOND FUND | | | INTERMEDIATE
BOND FUND | | | TOTAL RETURN
BOND FUND | |
Balance as of March 31, 2008 | | $ | 3,138,322 | | | $ | 7,813,121 | | | $ | 190,458 | | | $ | 6,689,769 | |
Accrued discounts/premiums | | | 410 | | | | 5,152 | | | | — | | | | 7,349 | |
Realized gain (loss) | | | 545 | | | | 6,174 | | | | — | | | | 25,166 | |
Change in unrealized appreciation (depreciation) | | | (963,372 | ) | | | (2,151,472 | ) | | | (86,889 | ) | | | (1,983,917 | ) |
Net purchases (sales) | | | (172,547 | ) | | | (505,172 | ) | | | — | | | | (749,625 | ) |
| | | | | | | | | | | | | | | | |
Balance as of September 30, 2008 | | $ | 2,003,358 | | | $ | 5,167,803 | | | $ | 103,569 | | | $ | 3,988,742 | |
| | | | |
| | | | | | HIGH YIELD
BOND FUND | | | STRATEGIC
INCOME FUND | | | ALPHATRAK
500 FUND | |
Balance as of March 31, 2008 | | | | | | $ | 103,611 | | | $ | 24,311,269 | | | $ | 1,996,997 | |
Accrued discounts/premiums | | | | | | | — | | | | 68,982 | | | | (998 | ) |
Realized gain (loss) | | | | | | | — | | | | 57,724 | | | | 629 | |
Change in unrealized appreciation (depreciation) | | | | | | | 56,254 | | | | (6,108,268 | ) | | | (542,496 | ) |
Net purchases (sales) | | | | | | | (94,383 | ) | | | (2,664,050 | ) | | | (173,987 | ) |
| | | | | | | | | | | | | | | | |
Balance as of September 30, 2008 | | | | | | $ | 65,482 | | | $ | 15,665,657 | | | $ | 1,280,145 | |
Recent accounting pronouncements:
In March 2008, FASB issued Statement of Financial Accounting Standards No. 161, “Disclosures about Derivative Instruments and Hedging Activities” (“SFAS 161”) and is effective for fiscal years beginning after November 15, 2008. SFAS 161 is intended to improve financial reporting for derivative instruments by requiring enhanced disclosure that enables investors to understand how and why an entity uses derivatives, how derivatives are accounted for, and how derivative instruments affect an entity’s results of operations and financial position. Management is currently evaluating the implications of SFAS 161. The impact on the Funds’ financial statement disclosures, if any, is currently being assessed.
The Funds may invest in mortgage pass-through securities which represent interests in pools of mortgages in which payments of both principal and interest on the securities are generally made monthly, in effect “passing through” monthly payments made by borrowers on the residential or commercial mortgage loans which underlie the securities (net of any fees paid to the issuer or guarantor of the securities). Mortgage pass-through securities differ from other forms of debt securities, which normally provide for periodic payment of interest in fixed amounts with principal payments at maturity or specified call dates.
The Funds may invest in securities issued by the Freddie Mac and similar United States Government sponsored entities such as Fannie Mae, Ginnie Mae and Federal Home Loan Banks (“FHLB”). Freddie Mac, Fannie Mae, Ginnie Mae and FHLB’s, although chartered and sponsored by Congress, are not funded by Congressional appropriations and the debt and mortgaged-backed securities issued by Freddie Mac, Fannie Mae, Ginnie Mae and FHLB’s are neither guaranteed nor insured by the U.S. Government.
The Funds may also invest in Collateralized Mortgage Obligations (“CMOs”). CMOs are debt obligations collateralized by residential or commercial mortgage loans or residential or commercial mortgage pass-through securities. Interest and principal are generally paid monthly. CMOs may be collateralized by whole mortgage loans or private mortgage pass-through securities but are more typically collateralized by portfolios of mortgage pass-through securities guaranteed by GNMA, FHLMC, or FNMA. The issuer of a series of CMOs may elect to be treated for tax purposes as a Real Estate Mortgage Investment Conduit (“REMIC”). CMOs are structured into multiple classes, each bearing a different stated maturity. Monthly payment of principal received from the pool of underlying mortgages, including prepayments, is first returned to investors holding the shortest maturity class. Investors holding the longer maturity classes usually receive principal only after shorter classes have been retired. An investor may be partially protected against a sooner than desired return of principal because of the sequential payments.
Semi-Annual Report September 2008 / 116
Notes to Financial Statements (continued)
The Funds may purchase and write call and put options on securities, securities indices and on foreign currencies. A Fund may purchase put options on securities to seek to protect holdings in an underlying or related security against a substantial decline in market value. A Fund may purchase call options on securities to seek to protect against substantial increases in prices of securities the Fund intends to purchase pending its ability to invest in such securities in an orderly manner. A Fund may write a call or put option only if the option is covered by the Fund’s holding a position in the underlying securities or by other means which would permit immediate satisfaction of the Fund’s obligation as writer of the option. The purchase and writing of options involves certain risks. During the option period, the covered call writer has, in return for the premium on the option, given up the opportunity to profit from a price increase in the underlying securities above the sum of the premium and exercise price, but, as long as its obligation as a writer continues, has retained the risk of loss should the price of the underlying securities decline. The writer of an option has no control over the time when it maybe required to fulfill its obligation as a writer of the option. Once an option writer has received an exercise notice, it cannot effect a closing purchase transaction in order to terminate its obligation under the option and must deliver the underlying securities at the exercise price. If a put or call option purchased by the Fund is not sold when it has remaining value, and if the market price of the underlying security, in the case of a put, remains equal to or greater than the exercise price or, in the case of a call, remains less than or equal to the exercise price, the Fund will lose its entire investment in the option. There can be no assurance that a liquid market will exist when a Fund seeks to close out an option position. Furthermore, if trading restrictions or suspensions are imposed on the options markets, a Fund my be unable to close out a positions.
The Funds may invest in Collateralized Bond Obligations (“CBOs”), Collateralized Loan Obligations (“CLOs”) and other Collateralized Debt Obligations (“CDOs”), which are debt instruments backed solely by a pool of other debt securities. The risks of an investment in a CBO, CLO or other CDO depend largely on the type of the collateral securities and the class of the CBO, CLO or other CDO in which a Fund invests. Some CBOs, CLOs and other CDOs have credit ratings, but are typically issued in various classes with various priorities. Normally, CBOs, CLOs and other CDOs are privately offered and sold (that is, not registered under the securities laws) and may be characterized by the Funds as illiquid securities, but an active dealer market may exist for CBOs, CLOs and other CDOs that qualify for Rule 144A transactions. In addition to the normal interest rate, default and other risks of fixed income securities CBOs, CLOs and other CDOs carry additional risks, including the possibility that distributions from collateral securities will not be adequate to make interest or other payments, the quality of the collateral may decline in value or default, the Funds may invest in CBOs, CLOs and other CDOs that are subordinate to other classes, volatility in value, and the complex structure of the security may not be fully understood at the time of investment and produce disputes with the issuer or unexpected investment results.
The Funds may invest in stripped mortgage-backed securities issued by the U.S. Government, its agencies and instrumentalities. Stripped mortgage-backed securities are usually structured with two classes that receive different proportions of the interest and principal distributions on a pool of mortgage assets. In certain cases, one class will receive all of the interest (the interest-only or “IO” class), while the other class will receive all of the principal (the principal-only or “PO” class). During the six months September 30, 2008, certain interest only securities were held as part of the overall mortgage portfolio holdings. The yield to maturity on IOs is sensitive to the rate of principal repayments (including prepayments) on the related underlying mortgage assets, and principal payments may have a material effect on yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, a Fund may not fully recoup its initial investment in IOs. Such securities will be considered liquid only if so determined in accordance with guidelines established by the Board. The Funds also may invest in stripped mortgage-backed securities that are privately issued. These securities will be considered illiquid for purposes of each Fund’s limit on illiquid securities.
The Funds may purchase participations in commercial loans, or may purchase assignments of such loans. Such indebtedness may be secured or unsecured. Loan participations typically represent direct participation in a loan to a corporate borrower, and generally are offered by banks or other financial institutions or lending syndicates. The Funds may participate in such syndications, or can buy part of a loan, becoming a part lender. When purchasing loan participations, a Fund assumes the credit risk associated with the corporate borrower and may assume the credit risk associated with an interposed bank or other financial intermediary. The participation interests in which a Fund intends to invest may not be rated by any nationally recognized rating service. Participations and assignments also involve special types of risk, including interest rate risk, liquidity risk, and the risk of being a lender. If the Fund purchases a participation, it may only be able to enforce its rights through the lender, and may assume the credit risk of the lender in addition to the borrower.
The Funds may also sell a debt or equity security short that is, without owning it and borrow the same security from a broker or other institution to complete the sale. The Adviser may use short sales when it believes a security is overvalued or as a partial hedge against a position in a related security of the same issuer held by a Fund. The Ultra Short Bond Fund, Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund, will not make total short sales exceeding 25% of the value of that Fund’s assets. The High Yield Bond Fund and Strategic Income Fund will not make total short sales exceeding 33 1/3% of the Fund’s assets. If the value of the security sold short increases, a Fund would lose money because it would need to replace the borrowed security by purchasing it at a higher price. The potential loss is unlimited. (If the short sale was intended as a hedge against another investment, the loss on the short sale may be fully or partially offset by gains in that other investment.)
117 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
A lender may request that the borrowed securities be returned on short notice; if that occurs at a time when other short sellers of the subject security are receiving similar requests, a “short squeeze” can occur. This means that the Fund might be compelled, at the most disadvantageous time, to replace borrowed securities previously sold short, with purchases on the open market at prices significantly greater than those at which the securities were sold short. Short selling also may produce higher than normal portfolio turnover and result in increased transaction costs to the Fund. The Funds also may make short sales “against-the-box”, in which the Funds sell short securities they own. The Funds will incur transaction costs, including interest expenses, in connection with opening, maintaining and closing short sales against-the-box, which result in a “constructive sale”, requiring the Fund to recognize any taxable gain from the transaction.
The Funds may purchase or sell exchange-traded futures contracts, which are contracts that obligate the Fund to make or take delivery of a financial instrument or the cash value of a security index at a specified future date at a specified price. The Funds may use futures contracts to manage exposure to the stock and bond markets or changes in interest rates and currency values, or for gaining exposure to markets. Risks of entering into futures contracts include the possibility that there may be an illiquid market at the time the Adviser to the Fund may be attempting to sell some or all the Fund holdings or that a change in the value of the contract may not correlate with changes in the value of the underlying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin). Subsequent payments (variation margin) are made or received by the Fund, generally on a daily basis. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed or expires. The Statement of Operations reflects net realized and net unrealized gains and losses on these contracts.
The Funds may enter into reverse repurchase agreements, whereby a Fund sells securities concurrently with entering into an agreement to repurchase those securities at a later date at a fixed price. During the reverse repurchase agreement period, the Fund continues to receive principal and interest payments on those securities. Reverse repurchase agreements are speculative techniques involving leverage and are considered borrowings by the Fund for purposes of the percentage limitations applicable to borrowings. The average dollar amount and average interest rate of reverse repurchase agreements in the Strategic Income Fund and the AlphaTrak 500 Fund for the period ended September��30, 2008 were $27,243,066 and 4.47% and $572,831 and 2.40%, respectively.
In addition to the securities listed above, the AlphaTrak 500 Fund may invest in the following equity derivative instruments with a notional or contractual value up to its total assets: S&P 500 Index futures contracts, Mini S&P 500 Index futures contracts, options on the S&P 500 Index and S&P futures, and swap agreements involving the S&P 500 Index. When the above listed S&P Index derivatives appear to be overvalued relative to the S&P 500 Index, the Fund may invest up to 100% in the common stocks that comprise the S&P 500 Index. The Fund may also invest up to 25% of its total assets in these stocks indirectly by purchasing interests in one or more mutual funds, asset pools, or trusts that invest in such stocks.
The Funds may invest in swap agreements. Swap agreements are two-party contracts entered into primarily by institutional investors for periods ranging from a few weeks to more than a year. In a standard swap transaction, two parties agree to exchange the returns earned on specific assets, such as the return on, or increase in value of, a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a basket of securities representing a particular index. A swap contract may not be assigned without the consent of the counter-party (and in certain circumstances may not be assignable), and may result in losses in the event of a default or bankruptcy of the counter-party.
In addition, the Funds may enter into credit default swap agreements. The buyer in a credit default contract is obligated to pay the seller a periodic, stream of payments over the term of the contract provided no event of default has occurred. In the event of default, the seller must pay the buyer the par value (full notional value) of the reference obligation in exchange for the reference obligation. The Funds may be either the buyer or seller in such transactions. If the Fund is a buyer and no event of default occurs, the Fund loses its investment and recovers nothing. However, if an event of default occurs, the buyer receives full notional value for a reference obligation that may have little or no value. As a seller of a credit default swap, the Fund receives a fixed rate of income throughout the term of the contract, provided there is no default event. If an event of default occurs, the seller may pay the notional value of the reference obligation. The value of the reference obligation received by the seller, coupled with the periodic payments previously received may be less than the full notional value it pays to the buyer, resulting in a loss of value to the Fund. Credit default swaps involve greater risks than if the Fund had invested in the reference obligation directly. In addition to general market risks, credit default swaps are subject to illiquidity risk, counter-party risk and credit risk.
The Funds may write (sell) and purchase put and call swaptions. Swaption contracts written by the Funds represent an option that gives the purchaser the right, but not the obligation, to enter into a new swap agreement, or to shorten, extend, cancel or modify an existing swap agreement, on a future date on specified terms. Depending on the terms of the particular option agreement, a Fund will generally incur a greater degree of risk when it writes a swaption than it will incur when it purchases a swaption. When a Fund purchases a swaption, it risks losing only the amount of the premium it has paid should it decide to let the option expire unexercised.
Semi-Annual Report September 2008 / 118
Notes to Financial Statements (continued)
However, when a Fund writes a swaption, upon exercise of the option the Fund will become obligated according to the terms of the underlying agreement.
The Funds also may enter into total return swap agreements. Total Return Swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of LIBOR based cashflows. The Total Return Swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. The Total Return Swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the balance sheet. The other leg of the swap, usually LIBOR, is spread to reflect the non-balance sheet nature of the product. Total Return Swaps can be designed with any underlying asset agreed between two parties.
As a result, unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statements of Assets and Liabilities. The change in the value of the swaps, including periodic amounts of interest paid or received on swaps is reported as unrealized gains or losses in the Statements of Operations. A realized gain or loss is recorded upon payment or termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used upon payment or receipt of a periodic payment or termination of swap agreements to express the extent of involvement in these transactions, but the amounts subject to credit risk are much smaller. At September 30, 2008, the Funds had outstanding swap agreements as listed in the Funds’ Schedules of Portfolio Investments. Swap transactions present risk of loss in excess of the related amounts in the Statements of Assets and Liabilities.
Market Risk: Because the values of the Funds’ investments will fluctuate with market conditions, so will the value of your investment in the Funds. You could lose money on your investment in the Funds or the Funds could underperform other investments.
Liquidity Risk: The Funds’ investments in illiquid securities may reduce the returns of the Funds because they may not be able to sell the illiquid securities at an advantageous time or price. Investments in high yield securities, foreign securities, derivatives or other securities with substantial market and/or credit risk tend to have the greatest exposure to liquidity risk. Certain investments in private placements and Rule 144A securities may be considered illiquid investments. The Funds may invest in private placements and Rule 144A securities.
Interest Rate Risk: The values of the Funds’ investments fluctuate in response to movements in interest rates. If rates rise, the values of debt securities generally fall. The longer the average duration of the Funds’ investment portfolio, the greater the change in value.
Mortgage-Backed and Other Asset-Backed Securities Risk: Each Fund may invest in mortgage-backed or other asset-backed securities. The values of some mortgaged-backed or other asset-backed securities may expose a Fund to a lower rate of return upon reinvestment of principal. When interest rates rise, the value of mortgage-related securities generally will decline; however, when interest rates are declining, the value of mortgage related-securities with prepayment features may not increase as much as other fixed income securities. The rate of prepayments on underlying mortgages will affect the price and volatility of a mortgage-related security, and may shorten or extend the effective maturity of the security beyond what was anticipated at the time of purchase. If unanticipated rate of prepayment on underlying mortgages increase the effective maturity of a mortgage-related security, the volatility of the security can be expected to increase. The value of these securities may fluctuate in response to the market’s perception of the creditworthiness of the issuers. Additionally, although mortgages and mortgage-related securities are generally supported by some form of government or private guarantee and/or insurance, there is no assurance that private guarantors or insurers will meet their obligations.
Derivatives Risk: Use of derivatives, which at times is an important part of the Funds’ investment strategy, involves risks different from, or possibly greater than, the risks associated with investing directly in securities and other traditional investments. Investments in derivatives could cause the Funds to lose more than the principal amount invested. Also, suitable derivative transactions may not be available in all circumstances and there can be no assurance that the Funds will engage in these transactions to reduce exposure to other risks when that would be beneficial.
Credit Risk: The values of any of the Funds’ investments may also decline in response to events affecting the issuer or its credit rating. The lower rated debt securities in which the Fund may invest are considered speculative and are subject to greater volatility and risk of loss than investment grade securities, particularly in deteriorating economic conditions. The value of some mortgage-related securities in which the Funds invest also may fall because of unanticipated levels of principal prepayments that can occur when interest rates decline.
Certain of the Funds invest a material portion of their assets in securities of issuers that hold mortgage and asset backed securities and direct investments in securities backed by commercial and residential mortgage loans and other financial assets. The value and related
119 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
income of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults. Continuing shifts in the market’s perception of credit quality on securities backed by commercial and residential mortgage loans and other financial assets may result in increased volatility of market price and periods of illiquidity that can negatively impact the valuation of certain issuers held by the Funds.
Mortgage-backed securities (MBS) and Asset-backed securities (ABS) are characterized and classified in a variety of different ways. These classifications include a view of the securities’ cash flow structure (pass-through, sequential pay, prepayment-protected, interest-only, principal-only, etc.), the security of the claim on the underlying assets, (senior, mezzanine and subordinated), as well as types of underlying collateral (prime conforming loans, prime non-conforming loans, Alt-A loans, subprime loans, commercial loans, etc.) In many cases, the classification incorporates a degree of subjectivity: a particular loan might be categorized as “prime” by the underwriting standards of one mortgage issuer while another might classify the loan as “subprime.” In addition to other functions, the risk associated with an investment in a mortgage loan must take into account the nature of the collateral, the form and the level of credit enhancement, the vintage of the loan, the geography of the loan, the purpose of the loan (refinance vs. purchase vs. equity take-out), the borrower’s credit quality (e.g. FICO score), and whether the loan is a first trust deed or a second lien.
The mortgage industry lacks a single bright-line as to what separates a subprime loan from an Alt-A loan. Often it is a combination of loan characteristics involving both borrower criteria as well as collateral criteria that determine which category a loan is placed in. However, in order to be both conservative and objective as possible, the Adviser applied the following criteria to the Funds’ residential mortgage and asset-backed holdings in coming up with its categorizations:
Sub Prime - Any asset-backed bond whose collateral was residential mortgages were considered to be subprime, provided that the loans did not belong to the classification of manufactured housing loans.
Alt-A - Any mortgage-backed security whose average borrower FICO score was less than 730 and/or was listed as an Alt-A pool by Bloomberg were considered to be Alt-A bonds.
While no single measure can account for all the risk factors, one of the most commonly referenced aggregate risk metrics is the bond’s ratings per Moody’s and S&P. As of September 30, 2008, the market value exposure of these positions was as follows:
| | | | | | | | | | | | | | | | | | |
| | | | | % OF TOTAL NET ASSETS BY CREDIT QUALITY | |
PORTFOLIO | | MARKET VALUE | | AAA | | | AA | | | A | | | BBB | | | BIG* | |
Ultra Short Bond Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | $ | 47,869,711 | | 34.74 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 36,693,628 | | 16.31 | % | | 2.14 | % | | 4.51 | % | | 0.91 | % | | 2.76 | % |
Low Duration Bond Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 273,279,004 | | 17.97 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 319,623,953 | | 15.43 | % | | 1.92 | % | | 1.30 | % | | 1.22 | % | | 1.13 | % |
Intermediate Bond Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 6,657,389 | | 4.17 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 15,716,034 | | 6.73 | % | | 0.48 | % | | 0.68 | % | | 0.58 | % | | 1.36 | % |
Total Return Bond Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 168,462,786 | | 2.95 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 372,727,984 | | 3.74 | % | | 1.01 | % | | 0.25 | % | | 0.51 | % | | 1.03 | % |
High Yield Bond Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 264,057 | | 0.24 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 2,298,036 | | 1.03 | % | | 0.46 | % | | 0.07 | % | | 0.15 | % | | 0.37 | % |
Strategic Income Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 12,383,915 | | 4.51 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 70,877,425 | | 12.40 | % | | 5.79 | % | | 0.60 | % | | 2.69 | % | | 4.35 | % |
Alpha Trak 500 Fund | | | | | | | | | | | | | | | | | | |
Alt-A | | | 21,676,624 | | 17.93 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % | | 0.00 | % |
Sub Prime | | | 31,408,351 | | 17.63 | % | | 5.45 | % | | 0.28 | % | | 0.46 | % | | 2.16 | % |
Semi-Annual Report September 2008 / 120
Notes to Financial Statements (continued)
| 5. | SECURITIES TRANSACTIONS |
Investment transactions for the period ended September 30, 2008 excluding U.S. Government and short-term investments, were as follows:
| | | | | | |
PORTFOLIO | | PURCHASES | | SALES |
Ultra Short Bond Fund | | $ | 12,079,969 | | $ | 56,005,170 |
Low Duration Bond Fund | | | 371,477,992 | | | 312,062,492 |
Intermediate Bond Fund | | | 67,842,750 | | | 22,930,726 |
Total Return Bond Fund | | | 5,725,059,858 | | | 3,898,314,421 |
High Yield Bond Fund | | | 67,929,991 | | | 49,065,141 |
Strategic Income Fund | | | 257,663,083 | | | 258,097,119 |
AlphaTrak 500 Fund | | | 137,877,230 | | | 137,983,424 |
Investment transactions in U.S. Government securities for the period ended September 30, 2008 were as follows:
| | | | | | |
PORTFOLIO | | PURCHASES | | SALES |
Low Duration Bond Fund | | $ | 31,591,891 | | $ | 31,592,489 |
Intermediate Bond Fund | | | 53,864,219 | | | 69,917,604 |
Total Return Bond Fund | | | 1,505,236,821 | | | 1,819,000,154 |
Transactions in option contracts written for the period ended September 30, 2008 were as follows:
| | | | | | | | | | | | | | |
| | | INTERMEDIATE | | | TOTAL RETURN | |
| | | BOND FUND | | | BOND FUND | |
| | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | |
Outstanding at March 31, 2008 | | — | | | | — | | | 7,450 | | | $ | 11,242,584 | |
Option written during period | | 280 | | | $ | 190,330 | | | 10,030 | | | | 5,996,828 | |
Option exercised during period | | — | | | | — | | | — | | | | — | |
Options expired during period | | (60 | ) | | | (15,339 | ) | | (5,400 | ) | | | (2,775,939 | ) |
Options closed during period | | (150 | ) | | | (116,393 | ) | | (10,050 | ) | | | (12,750,535 | ) |
| | | | | | | | | | | | | | |
Outstanding at September 30, 2008 | | 70 | | | $ | 58,598 | | | 2,030 | | | $ | 1,712,938 | |
| | | | | | | | | | | | | | |
| | |
| | | HIGH YIELD | | | STRATEGIC | |
| | | BOND FUND | | | INCOME FUND | |
| | | CONTRACTS | | | PREMIUMS | | | CONTRACTS | | | PREMIUMS | |
Outstanding at March 31, 2008 | | 165 | | | $ | 249,252 | | | 870 | | | $ | 883,265 | |
Option written during period | | 720 | | | | 323,473 | | | 2,370 | | | | 1,222,185 | |
Option exercised during period | | — | | | | — | | | — | | | | — | |
Options expired during period | | (465 | ) | | | (140,043 | ) | | (1,165 | ) | | | (407,570 | ) |
Options closed during period | | (315 | ) | | | (344,316 | ) | | (1,830 | ) | | | (1,492,787 | ) |
| | | | | | | | | | | | | | |
Outstanding at September 30, 2008 | | 105 | | | $ | 88,366 | | | 245 | | | $ | 205,093 | |
| | | | | | | | | | | | | | |
| 6. | INVESTMENT ADVISORY SERVICES AND OTHER TRANSACTIONS |
As compensation for advisory services, the Adviser charges the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, and the High Yield Bond Fund a fee, computed daily and payable monthly, at an annual rate of 0.25%, 0.30%, 0.35%, 0.35%, and 0.50%, respectively, of each Fund’s average daily net assets. The Adviser charges the AlphaTrak 500 Fund a basic fee of 0.35% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.35% of the Fund’s average daily net assets for the relevant three month performance period), depending on whether, and to what extent, the investment performance of the AlphaTrak 500 Fund before management fees, for the relevant performance period, exceeds or is exceeded by, the performance of the S&P 500 Index plus an annualized margin of 1.00% over the same period. Under this agreement, the basic fee was decreased by 100% resulting in $0 total management fees for the period ended September 30, 2008. The Adviser charges the Strategic Income Fund a basic fee of 1.20% of the Fund’s average daily net assets. The basic fee may be adjusted upward or downward (by up to 0.70% of the Fund’s average daily net assets for the relevant twelve month performance period),
121 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
depending on whether, and to what extent, the investment performance of the Strategic Income Fund, for the relevant performance period, exceeds or is exceeded by, the performance of the Merrill Lynch 3 Month U.S. Treasury Bill Index plus 2.00% over the same period. Under this agreement, the basic fee was decreased by 0.95% resulting in $381,469 of total management fees for the period ended September 30, 2008.
The Adviser has agreed in an operating expenses agreement with the Trust to limit each Fund’s expenses as described in the table below. The operating expenses agreement has a one-year term, renewable at the end of each fiscal year. Each Fund has agreed to reimburse the Adviser, for a period of up to three years, for any such payments to the extent that the Fund’s operating expenses are otherwise below its expense cap (excluding the AlphaTrak 500 Fund and the Strategic Income Fund, which shall reimburse the Adviser to the extent that the Fund’s other expenses as described in the Prospectus, are below an agreed-upon cap). The Adviser’s obligation will not be recorded as a liability on the books of the applicable Fund to the extent that the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of the Fund are at or above the expense cap. However, if the total operating expenses (other expenses with respect to the AlphaTrak 500 Fund and the Strategic Income Fund) of a Fund fall below the expense cap, the reimbursement to the Adviser (up to the cap) will be accrued by the Fund as a liability if the Adviser seeks to recoup those amounts and the independent trustees have approved that reimbursement.TheAdviser may not request or receive reimbursement from a Fund for prior reductions or reimbursements before the payment of a Fund’s operating expenses for the year. Investment advisory fees and related voluntary expense limitations for the period ended September 30, 2008, were as follows:
| | | | | | | | | | | | | | | | |
| | | INVESTMENT ADVISORY FEE
RATE | | | VOLUNTARY EXPENSE
LIMITATION | |
PORTFOLIO | | CLASS M | | | CLASS I | | | CLASS M | | | CLASS I | |
Ultra Short Bond Fund | | | 0.25 | % | | | 0.25 | % | | | 0.50 | % | | | 0.34 | % |
Low Duration Bond Fund | | | 0.30 | | | | 0.30 | | | | 0.58 | | | | 0.39 | |
Intermediate Bond Fund | | | 0.35 | | | | 0.35 | | | | 0.65 | | | | 0.44 | |
Total Return Bond Fund | | | 0.35 | | | | 0.35 | | | | 0.65 | | | | 0.44 | |
High Yield Bond Fund | | | 0.50 | | | | 0.50 | | | | 0.80 | | | | 0.55 | |
Strategic Income Fund | | | 0.50 - 1.90 | | | | 0.50 - 1.90 | | | | 0.95 - 2.35 | | | | 0.70 - 2.10 | |
AlphaTrak 500 Fund | | | 0.00 - 0.70 | | | | N/A | | | | 0.20 - 0.90 | | | | N/A | |
|
| At September 30, 2008, the balance of recoupable expenses with expiration dates for the Funds were as follows: | |
| | | | |
PORTFOLIO | | 2009 | | | 2010 | | | 2011 | | | TOTAL | |
Ultra Short Bond Fund | | $ | 206,505 | | | $ | 178,062 | | | $ | 225,383 | | | $ | 609,950 | |
Low Duration Bond Fund | | | 177,911 | | | | 224,360 | | | | 348,749 | | | | 751,020 | |
Intermediate Bond Fund | | | 147,159 | | | | 158,391 | | | | 215,353 | | | | 520,903 | |
Total Return Bond Fund | | | 19,938 | | | | 225,766 | | | | 155,516 | | | | 401,220 | |
High Yield Bond Fund | | | 182,919 | | | | 191,390 | | | | 288,082 | | | | 662,391 | |
Certain officers and trustees of the Funds are also officers and directors of the Adviser. Such officers and trustees serve without direct compensation from the Funds. Each of the independent trustees receives an annual retainer of $12,000 and $3,000 for each meeting of the Board attended. The Trust has an unfunded, non-qualified deferred compensation plan (the “Plan”) for certain eligible Trustees. The Plan allows Trustees to defer some or all of their annual trustees’ fees otherwise payable by the Trust for a minimum of three years. The fees deferred are posted to a bookkeeping account maintained by the Trust. The various series of the Trust will use the returns on those Funds selected by the Trustee to determine the income, gains and losses to allocate to the account. At the time for commencing distributions from a Trustee’s deferral account, which is no later than when the Trustee ceases to be a member of the Board, deferred fees will be paid out in a single sum in cash or a maximum of ten annual installments.
| 7. | SHARE MARKETING (12b-1) Plan |
The Trust has a Share Marketing Plan (or “the Plan”) pursuant to Rule 12b-1 of the 1940 Act with respect to Class M shares of the Ultra Short Bond Fund, the Low Duration Bond Fund, the Intermediate Bond Fund, the Total Return Bond Fund, the HighYield Bond Fund, the Strategic Income Fund and the AlphaTrak 500 Fund. The Total Return Bond Fund and Low Duration Bond Fund began accruing for Rule 12b-1 expenses on April 1, 2000. The High Yield Bond Fund began accruing for Rule 12b-1 expenses on October 2, 2002. The Ultra Short Bond Fund, the Intermediate Bond Fund, and the Strategic Income Fund began accruing for Rule 12b-1 expenses on July 2, 2003. Under the Plan, the Trust pays PFPC Distributors, Inc., as the Trust’s distribution coordinator, an annual fee up to 0.25% of each Fund’s aggregate average daily net assets to reimburse expenses in connection with the promotion and distribution of shares of the respective Fund. The Adviser has undertaken to limit the Rule 12b-1 expenses to 0.16% for the Ultra Short Bond
Semi-Annual Report September 2008 / 122
Notes to Financial Statements (continued)
Fund, 0.19% for the Low Duration Bond Fund, and 0.21% for the Intermediate Bond Fund and the Total Return Bond Fund, for the year ended September 30, 2008. The AlphaTrak 500 Fund is currently not incurring Rule 12b-1 fees.
| 8. | CAPITAL SHARE TRANSACTIONS |
Each Fund is authorized to issue an unlimited number of shares of beneficial interest with a par value of $0.01 per share. Transactions in shares of beneficial interest were as follows:
| | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 28,656,966 | | | 23,436,843 | | | 25,920,710 | | | 24,434,344 | |
Shares sold | | 2,521,533 | | | 33,240,406 | | | 8,910,030 | | | 26,819,882 | |
Shares issued through reinvestment of distributions | | 495,149 | | | 1,612,220 | | | 388,981 | | | 1,366,444 | |
Shares redeemed | | (18,655,600 | ) | | (29,632,503 | ) | | (15,966,280 | ) | | (26,699,960 | ) |
| | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | (15,638,918 | ) | | 5,220,123 | | | (6,667,269 | ) | | 1,486,366 | |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 13,018,048 | | | 28,656,966 | | | 19,253,441 | | | 25,920,710 | |
| | | | | | | | | | | | |
| |
| | | LOW DURATION BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 148,991,161 | | | 99,580,067 | | | 67,542,055 | | | 74,964,837 | |
Shares sold | | 33,827,079 | | | 110,779,507 | | | 4,010,781 | | | 31,144,327 | |
Shares issued through reinvestment of distributions | | 4,297,352 | | | 6,768,452 | | | 1,781,633 | | | 3,517,600 | |
Shares redeemed | | (52,453,531 | ) | | (68,136,865 | ) | | (21,283,198 | ) | | (42,084,709 | ) |
| | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | (14,329,100 | ) | | 49,411,094 | | | (15,490,784 | ) | | (7,422,782 | ) |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 134,662,061 | | | 148,991,161 | | | 52,051,271 | | | 67,542,055 | |
| | | | | | | | | | | | |
| |
| | | INTERMEDIATE BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 1,498,025 | | | 1,232,679 | | | 13,639,813 | | | 9,346,203 | |
Shares sold | | 955,046 | | | 344,713 | | | 970,392 | | | 5,685,279 | |
Shares issued through reinvestment of distributions | | 46,733 | | | 67,013 | | | 327,961 | | | 457,023 | |
Shares redeemed | | (152,491 | ) | | (146,380 | ) | | (401,403 | ) | | (1,848,692 | ) |
| | | | | | | | | | | | |
Net increase in fund shares | | 849,288 | | | 265,346 | | | 896,950 | | | 4,293,610 | |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 2,347,313 | | | 1,498,025 | | | 14,536,763 | | | 13,639,813 | |
| | | | | | | | | | | | |
123 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
| | | | | | | | | | | | |
| | | TOTAL RETURN BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 359,790,611 | | | 123,292,094 | | | 226,886,418 | | | 132,222,930 | |
Shares sold | | 103,911,833 | | | 288,640,412 | | | 31,664,969 | | | 116,343,673 | |
Shares issued through reinvestment of distributions | | 9,057,172 | | | 9,270,142 | | | 5,834,160 | | | 8,321,343 | |
Shares redeemed | | (78,081,810 | ) | | (61,412,037 | ) | | (37,521,849 | ) | | (30,001,528 | ) |
| | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | 34,887,195 | | | 236,498,517 | | | (22,720 | ) | | 94,663,488 | |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 394,677,806 | | | 359,790,611 | | | 226,863,698 | | | 226,886,418 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | HIGH YIELD BOND FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 4,249,866 | | | 3,466,192 | | | 6,547,588 | | | 4,627,097 | |
Shares sold | | 1,766,204 | | �� | 2,034,170 | | | 413,352 | | | 3,530,901 | |
Shares issued through reinvestment of distributions | | 180,899 | | | 328,696 | | | 274,275 | | | 523,204 | |
Shares redeemed | | (878,641 | ) | | (1,579,192 | ) | | (152,125 | ) | | (2,133,614 | ) |
| | | | | | | | | | | | |
Net increase in fund shares | | 1,068,462 | | | 783,674 | | | 535,502 | | | 1,920,491 | |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 5,318,328 | | | 4,249,866 | | | 7,083,090 | | | 6,547,588 | |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| | | STRATEGIC INCOME FUND | |
| | | CLASS M | | | CLASS M | | | CLASS I | | | CLASS I | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | | | | | | | |
Shares outstanding at beginning of period | | 4,948,984 | | | 8,928,918 | | | 30,705,222 | | | 33,341,918 | |
Shares sold | | 503,475 | | | 2,532,688 | | | 889,660 | | | 10,299,709 | |
Shares issued through reinvestment of distributions | | 280,858 | | | 569,585 | | | 1,736,649 | | | 2,924,258 | |
Shares redeemed | | (757,354 | ) | | (7,082,207 | ) | | (4,527,065 | ) | | (15,860,663 | ) |
| | | | | | | | | | | | |
Net increase/(decrease) in fund shares | | 26,979 | | | (3,979,934 | ) | | (1,900,756 | ) | | (2,636,696 | ) |
| | | | | | | | | | | | |
Shares outstanding at end of period | | 4,975,963 | | | 4,948,984 | | | 28,804,466 | | | 30,705,222 | |
| | | | | | | | | | | | |
Semi-Annual Report September 2008 / 124
Notes to Financial Statements (continued)
| | | | | | |
| | | ALPHATRAK 500 FUND CLASS M | |
| | | PERIOD ENDED
SEPTEMBER 30,
2008
(UNAUDITED) | | | YEAR ENDED
MARCH 31,
2008 | |
Change in Fund shares: | | | | | | |
Shares outstanding at beginning of period | | 23,491,720 | | | 21,454,339 | |
Shares sold | | 3,133,528 | | | 5,098,987 | |
Shares issued through reinvestment of distributions | | 102,428 | | | 1,974,277 | |
Shares redeemed | | (5,183,084 | ) | | (5,035,883 | ) |
| | | | | | |
Net increase/(decrease) in fund shares | | (1,947,128 | ) | | 2,037,381 | |
| | | | | | |
Shares outstanding at end of period | | 21,544,592 | | | 23,491,720 | |
| | | | | | |
Redemption Fee:
The High Yield Bond Fund will charge a 1.00% redemption fee when shares are redeemed (either by selling or by exchanging into another fund) within 6 months of purchase. The redemption fee will be assessed on the net asset value of the shares redeemed or exchanged, will be withheld from the redemption proceeds and paid directly to the Fund.
The High Yield Bond Fund and Strategic Income Fund may borrow money to the extent permitted under the 1940Act, and as interpreted, modified or otherwise permitted by regulatory authority having jurisdiction, from time to time. This means that, in general, these Funds may borrow money from banks for any purpose on a secured basis in an amount up to 1/3 of the Fund’s total assets. These Funds may also borrow for temporary administrative purposes on an unsecured basis in an amount not to exceed 5% of the Fund’s total assets.
The Low Duration Bond Fund, Intermediate Bond Fund, and Total Return Bond Fund each may borrow for temporary, emergency or investment purposes up to 5% of its total assets. This borrowing may be unsecured. The Funds have access to an unsecured line of credit up to $25,000,000 from the custodian for temporary borrowing purposes. There were no borrowings from the line of credit during the period ended September 30, 2008.
| 10. | FEDERAL TAX INFORMATION: |
Capital Loss Carryforwards:
At March 31, 2008, the following Funds had available for federal income tax purposes unused capital losses as follows:
| | | | | | | | | |
FUND | | EXPIRING IN 2014 | | EXPIRING IN 2015 | | EXPIRING IN 2016 |
Ultra Short Bond Fund | | | — | | $ | 171,312 | | $ | 1,489,244 |
Low Duration Bond Fund | | $ | 5,831,064 | | | — | | | — |
High Yield Bond Fund | | | 112,035 | | | — | | | 161,051 |
Strategic Income Fund | | | 61,791 | | | 1,235,093 | | | 9,036,932 |
For the year ended March 31, 2008, the Low Duration Bond Fund, Intermediate Bond Fund, Total Return Bond Fund and AlphaTrak 500 Fund utilized net federal tax capital loss carryforwards of $18,873,533, $386,765, $90,624,360 and $1,056,073, respectively.
125 / Semi-Annual Report September 2008
Notes to Financial Statements (continued)
Tax Basis of Distributions to Shareholders:
| | | | | | | | | | | | |
| | | ULTRA SHORT BOND FUND | | LOW DURATION BOND FUND |
| | | MARCH 31,
2008 | | MARCH 31,
2007 | | MARCH 31,
2008 | | MARCH 31,
2007 |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 16,331,390 | | $ | 13,150,532 | | $ | 100,228,731 | | $ | 60,003,394 |
Net long-term capital gains | | | — | | | 934 | | | — | | | — |
| | | | | | | | | | | | |
Total taxable distributions | | $ | 16,331,390 | | $ | 13,151,466 | | $ | 100,228,731 | | $ | 60,003,394 |
| | | | | | | | | | | | |
| | |
| | | INTERMEDIATE BOND FUND | | TOTAL RETURN BOND FUND |
| | | MARCH 31,
2008 | | MARCH 31,
2007 | | MARCH 31,
2008 | | MARCH 31,
2007 |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 6,453,710 | | $ | 4,700,871 | | $ | 195,970,378 | | $ | 98,005,970 |
Net long-term capital gains | | | — | | | — | | | — | | | — |
| | | | | | | | | | | | |
Total taxable distributions | | $ | 6,453,710 | | $ | 4,700,871 | | $ | 195,970,378 | | $ | 98,005,970 |
| | | | | | | | | | | | |
| | |
| | | HIGH YIELD BOND FUND | | STRATEGIC INCOME FUND |
| | | MARCH 31,
2008 | | MARCH 31,
2007 | | MARCH 31,
2008 | | MARCH 31,
2007 |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | $ | 8,369,964 | | $ | 5,991,043 | | $ | 35,944,758 | | $ | 12,875,828 |
Return of Capital | | | 1,026,615 | | | — | | | — | | | — |
| | | | | | | | | | | | |
Total taxable distributions | | $ | 9,396,579 | | $ | 5,991,043 | | $ | 35,944,758 | | $ | 12,875,828 |
| | | | | | | | | | | | |
| | | |
| | | | | | | ALPHATRAK 500 FUND |
| | | | | | | MARCH 31,
2008 | | MARCH 31,
2007 |
| Distributions from: | | | | | | | | | | | | |
Ordinary income (inclusive of short-term capital gains) | | | | | | | | $ | 10,314,613 | | $ | 12,434,156 |
Net long-term capital gains | | | | | | | | | 5,349,411 | | | — |
Return of Capital | | | | | | | | | 2,180,831 | | | — |
| | | | | | | | | | | | |
Total taxable distributions | | | | | | | | $ | 17,844,855 | | $ | 12,434,156 |
| | | | | | | | | | | | |
Under the Funds’ organizational documents, its officers and trustees are indemnified against certain liability arising out of the performance of their duties to the Funds. In addition, in the normal course of business, the Funds enter into contracts with their vendors and others that provide general indemnification. The Funds’ maximum exposure under these arrangements is unknown, as this would involve further claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
Semi-Annual Report September 2008 / 126
Approval of Investment Management Agreement
(Unaudited)
Factors considered by the Trustees in connection with their approval of the prior agreement
The Trust is a party to an Investment Management Agreement with the Adviser, dated February 21, 2007 (the “Management Agreement”), with respect to each Fund. The initial term of that Agreement was two years. On June 2, 2008, the Trust’s Board approved the renewal of the Management Agreement for an additional one-year term. The Independent Trustees preferred to consider the review of the Management Agreement for a one-year term starting July 1, 2008, rather than the scheduled expiration of the Management Agreement on February 22, 2009, in order to conduct its annual review of this Management Agreement at the same board meeting it considers other annual contract matters. The renewal of the Management Agreement was approved by the Board (including a majority of the Independent Trustees) at an in-person meeting upon the recommendation of the Independent Trustees. The Independent Trustees met separately in executive session to discuss and review the information that had been presented for their consideration before the Board’s vote to renew the Management Agreement. The information, material facts and conclusions that formed the basis for their recommendation and the Board’s subsequent approval are described below.
1. Information received
Materials reviewed - During the course of each year, the Independent Trustees receive a wide variety of materials relating to the services provided by the Adviser, including (but not limited to) reports on each Fund’s investment results, portfolio composition, portfolio trading practices, shareholder services, and other information relating to the nature, extent and quality of services provided by the Adviser to the Funds. In addition, the Board reviewed supplementary information provided by Lipper, which is independent of the Funds and the Adviser, that included extensive materials regarding each Fund’s investment results, independently prepared advisory fee and expense comparisons to other mutual funds, advisory fee comparisons to the range of fees charged by the Adviser to its institutional clients, financial and profitability information regarding the Adviser, descriptions of various functions such as compliance monitoring, operational and portfolio trading practices, and information about the personnel providing investment management services to the Fund.
Review process - The Independent Trustees reviewed advice regarding legal and industry standards provided by legal counsel to the Trust, which is not independent legal counsel. The Independent Trustees discussed the renewal of the Management Agreement with the Adviser’s representatives and in a private session at which no representatives of the Adviser were present. In deciding to recommend the renewal of the Management Agreement with respect to each Fund, the Independent Trustees did not identify any single or particular piece of information that, in isolation, was the controlling factor. This summary describes the most important, but not all, of the factors considered by the Board.
2. Nature, extent and quality of services
The Board considered the depth and quality of the Adviser’s investment management process, including its research and intellectual capabilities; the experience, capability and integrity of its senior management and other personnel; the relatively low turnover rates of its key personnel; the overall resources of its organization; and the ability of its organizational structure to address the growth in assets and products under its management. The Board also considered that the Adviser made available to its investment professionals a variety of resources and systems relating to investment management, compliance, trading, results and portfolio accounting. They considered the Adviser’s commitment to investing in information technology supporting investment management and compliance. They further noted the high level of communication between the Adviser and the Board. Among other favorable public press concerning the Adviser and the Funds in the last several years, the Board recognized the Adviser’s selection by Morningstar, Inc. as fixed-income manager of the year in 2005 for the Total Return Bond Fund. (Morningstar designates a “Fund Manager of the Year” in three categories each year based on its own research and an in-depth evaluation by its editorial staff. Morningstar analysts base this designation on a number of criteria, including calendar year returns, long-term results, durable strategies, and stewardship. Morningstar is independent of the Adviser.) In addition, based on the Board’s ongoing meetings throughout the year with various members of the Adviser’s portfolio management team, the Board concluded that these individuals are competent and able to carry out their responsibilities under the Fund’s Management Agreement.
In determining whether to continue the Fund’s Management Agreement, the Board considered the ongoing, long-term relationship with the Adviser, as well as most of the Board’s similar long-term tenure which gives the Board important insight and knowledge into the Adviser’s overall business operation. The Board concluded that continuing the business relationship based on that knowledge was beneficial to the Funds and the shareholders.
The Board and the Independent Trustees concluded that the nature, extent and quality of the services provided by the Adviser are of a high quality and have benefited and will continue to benefit the Funds and their shareholders.
127 / Semi-Annual Report September 2008
Approval of Investment Management Agreement (continued)
3. Investment results
The Board considered the investment results of each Fund in light of its investment objective. They compared each Fund’s total returns with the total returns of other mutual funds in peer group reports prepared by Lipper, an independent data provider, with respect to various periods. In reviewing each Fund’s relative performance, the Board took into account any unique characteristics and its asset size, diversification and range of investments.
The Board noted that each Fund’s performance was acceptable over the relevant periods, and in some cases very favorable, particularly from a longer-term perspective, which the Board believes is the most relevant. The Adviser explained that the performance comparison benchmark for the Strategic Income Fund does not exemplify the Fund’s investment style and, therefore, the Fund’s relative underperformance does not provide a useful comparison. The Adviser further explained that the Strategic Income Fund is somewhat unique and described to the Board why it is difficult to find a fully adequate comparison group for it. (See further discussion in paragraph 4 below.) The Board also recognized periods of underperformance for certain funds in more recent periods, but that longer term results were still very favorable overall. The Board ultimately concluded that the Adviser was implementing each Fund’s investment objective and the Adviser’s record in managing the Funds indicates that its continued management should benefit the Fund and its shareholders over a longer term.
4. Advisory fees and total expenses
The Board compared the advisory fees and total expenses of each Fund (each as a percentage of average net assets) with the median fee and expense levels of other mutual funds in the relevant Lipper peer groups. These comparisons assisted the Board by providing a reasonable statistical measure to assess each Fund’s fees relative to its relevant peers. The Board observed that each Fund’s advisory fee was at or below the approximate median of the peer group funds on a current basis with the exception of the Strategic Income Fund. The Board discussed why the Lipper peer group was not a suitable comparison for that Fund because the Strategic Income Fund should instead be compared to private absolute value funds, which the Adviser views as that Fund’s closest relevant comparison and to which it compares favorably. The Board further noted that the AlphaTrak 500 Fund and the Strategic Income Fund both employ a fulcrum fee that adjusts upward from a basic fee only if the Fund enjoys favorable performance against its specified benchmark (and adjusts downward in the case of unfavorable relative performance). The Board further noted the relevant contractual expense limitations that the Adviser has agreed to with respect to each Fund and that the Adviser historically has absorbed any expenses in excess of these limits. The Board concluded that the relatively low level of the fees charged by the Adviser will benefit each Fund and its shareholders.
The Board also reviewed information regarding the Adviser’s schedule of advisory fees paid by institutional clients with similar investment mandates. They concluded that, although the fees paid by those clients generally were lower than those paid by the Funds, the differences appropriately reflected the Adviser’s significantly greater responsibilities and expenses with respect to the Funds, including the costs of complying with the more comprehensive regulatory regime applicable to mutual funds.
5. The Adviser’s costs, level of profits and economies of scale
The Independent Trustees reviewed certain financial information regarding the Adviser and discussed its profitability trends. They accepted the Adviser’s assertion that its profit margins have recently flattened or declined with respect to the Funds as a result of increased regulatory and other costs involved with the mutual fund business. For example, in 2008, the Adviser faced challenging market conditions and needed to devote additional resources to managing the Funds as well as to valuation and pricing of portfolio securities. The Independent Trustees recognized that the Adviser should be entitled to earn a reasonable level of profits for the services it provides to each Fund. Based on their review, the Independent Trustees concluded that they were satisfied that the Adviser’s level of profitability from its relationship with each Fund was not unreasonable or excessive.
The Independent Trustees considered the extent to which economies of scale would be realized as the Funds grow and whether the advisory fees reflect those economies of scale. They realized that the advisory fees for the Funds do not have breakpoints, which would result in lower advisory fee rates as the Fund grow larger. And, they accepted the Adviser’s assertion that even without break points, the advisory fees compare favorably to peer group fees and expenses. The Board also recognized the benefits to the Funds of the Adviser’s past investment in the Funds’ operations (through some past subsidies of the Funds’ operating expenses when they were newer and smaller), and its commitment to maintain reasonable overall operating expenses for each Fund. The Board also recognized that the Funds benefit from receiving investment advice from an organization with other types of advisory clients rather than strictly mutual funds.
6. Ancillary benefits
The Board considered other actual and potential financial benefits to the Adviser in concluding that the contractual advisory fees are reasonable for the Funds. In particular, they noted that the Adviser does not have any affiliates that directly benefit from the Adviser’s relationship to the Funds.
Semi-Annual Report September 2008 / 128
Approval of Investment Management Agreement (continued)
7. Conclusions
Based on their overall review, including their consideration of each of the factors referred to above (and others), the Board and the Independent Trustees concluded that the Management Agreement would be fair and reasonable to each Fund and its shareholders, that the Fund’s shareholders received reasonable value in return for the advisory fees and other amounts paid to the Adviser by each Fund, and that the renewal of the Management Agreement was in the best interests of each Fund and its shareholders.
129 / Semi-Annual Report September 2008
BOARD OF TRUSTEES
Andrew Tarica
Scott B. Dubchansky
Laird Landmann
David H. Edington
Martin Luther King III
Daniel D. Villanueva
Ronald J. Consiglio
Scott Sale
OFFICERS
David Lippman
President and Principal Executive Officer
Joseph D. Hattesohl
Treasurer and Chief Financial Officer
Keith T. Kirk
Chief Compliance Officer and Secretary
Erik L. Cuellar
Assistant Treasurer and Principal Accounting Officer
Shang Ni
Assistant Treasurer
ADVISER
Metropolitan West Asset Management, LLC
11766 Wilshire Boulevard, Suite 1500
Los Angeles, CA 90025
CUSTODIAN
The Bank of New York
One Wall Street
New York, NY 10286
| | |
TRANSFER AGENT PNC Global Investment Servicing (U.S.) Inc. 760 Moore Road King of Prussia, PA 19406 INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM Deloitte & Touche LLP 1700 Market Street Philadelphia, PA 19103 DISTRIBUTOR PFPC Distributors, Inc. 760 Moore Road King of Prussia, PA 19406 LEGAL COUNSEL Paul, Hastings, Janofsky & Walker LLP 55 Second Street, 24th Floor San Francisco, CA 94105-3441 | | For Additional Information about the Metropolitan West Funds call: (310) 966-8900 or (800) 241-4671 (toll-free) www.mwamllc.com A description of the Funds’ proxy voting policies, procedures, and how the Funds’ voted proxies relating to portfolio’s securities during the most recent 12 month period ending June 30 are available (i) without charge, upon request, by calling (800) 241-4671; (ii) on the Securities and Exchange Commission’s website at http://www.sec.gov. This report is submitted for general information to the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by an effective Prospectus, which includes details regarding the Funds’ objectives, policies, expenses and other information. 
METSAR2008 |
Not applicable.
| Item 3. | Audit Committee Financial Expert. |
Not applicable.
| Item 4. | Principal Accountant Fees and Services. |
Not applicable.
| Item 5. | Audit Committee of Listed registrants. |
Not applicable.
| (a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders. |
There have been no material changes to the procedures by which the 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 407(c)(2)(iv) of Regulation S-K (17 CFR 229.407) (as required by Item 22(b)(15) of Schedule 14A (17 CFR 240.14a-101)), or this Item.
| Item 11. | Controls and Procedures. |
| | (a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). |
| | (b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 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. |
| | (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| | (b) | Certifications pursuant to Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 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.
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| (registrant) | | Metropolitan West Funds | | |
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| By (Signature and Title)* | | /s/ David Lippman | | |
| | David Lippman, President and Principal Executive Officer | | |
| | (principal executive officer) | | |
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| Date November 26, 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.
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| By (Signature and Title)* | | /s/ David Lippman | | |
| | David Lippman, President and Principal Executive Officer | | |
| | (principal executive officer) | | |
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| Date November 26, 2008 | | |
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| By (Signature and Title)* | | /s/ Joseph D. Hattesohl | | |
| | Joseph D. Hattesohl, Treasurer | | |
| | (principal financial officer) | | |
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| Date November 26, 2008 | | |
| * | Print the name and title of each signing officer under his or her signature. |
